UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-5669
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FIFTH THIRD FUNDS
(Exact Name of Registrant as Specified in Charter)
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38 Fountain Square Plaza
Cincinnati, Ohio 45263
(Address of Principal Executive Office) (Zip Code)
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Registrant's Telephone Number, including area code: (800) 282-5706
(Name and Address of Agent for Service)
E. Keith Wirtz with a copy to:
President Alan G. Priest
Fifth Third Funds Ropes & Gray LLP
38 Fountain Square Plaza One Metro Center
Cincinnati, Ohio 45263 700 12th Street NW
Suite 900
Washington, DC 20005-3948
Date of fiscal year end: July 31
Date of reporting period: July 31, 2008
ITEM 1. REPORT TO STOCKHOLDERS.
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Fifth Third Funds
[GRAPHIC]
2008
Stock and Bond
Mutual Funds
Annual Report to Shareholders
July 31, 2008
Advised by
[FTAM LOGO]
FIFTH THIRD ASSET MANAGEMENT
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NOTICE OF DELIVERY OF PROSPECTUSES,
SEMI-ANNUAL REPORTS AND ANNUAL REPORTS
In order to reduce expenses of the Fifth Third Funds incurred in connection with
the mailing of prospectuses, prospectus supplements, semi-annual reports and
annual reports to multiple shareholders at the same address, Fifth Third Funds
may in the future deliver one copy of a prospectus, prospectus supplement, semi-
annual report or annual report to a single investor sharing a street address or
post office box with other investors, provided that all such investors have the
same last name or are believed to be members of the same family. If you share an
address with another investor and wish to receive your own prospectus,
prospectus supplements, semi-annual reports and annual reports, please call the
Trust toll-free at 1-800-282-5706.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by a prospectus for the Funds, which contains facts
concerning the objectives and policies, management fees, expenses and other
information.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to the portfolio securities and information regarding
how the Funds voted relating to portfolio securities during the most recent
12-month period ended June 30 is available without charge, upon request, on the
Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on
the Securities and Exchange Commission's website at http://www.sec.gov.
Schedules of Investments for periods ending April 30 and October 31 are
available, without charge, on the Securities and Exchange Commission's website
at http://www.sec.gov. They may be viewed at the SEC's Public Reference Room in
Washington, D.C. (information on the operation of the Public Reference Room may
be obtained by calling 800.SEC.0330).
Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA.
FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth
Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management,
Inc. serves as Investment Adviser to Fifth Third Funds and receives a fee for
its services.
Fifth Third Funds, like all mutual funds:
o are NOT FDIC insured
o have no bank guarantee
o may lose value
TABLE OF CONTENTS
Economic Outlook and Commentary Section .................................. 1
Management Discussion of Fund Performance
Small Cap Growth ......................................................... 4
Mid Cap Growth ........................................................... 6
Quality Growth ........................................................... 8
Dividend Growth .......................................................... 10
Micro Cap Value .......................................................... 12
Small Cap Value .......................................................... 14
All Cap Value ............................................................ 16
Disciplined Large Cap Value .............................................. 18
Structured Large Cap Plus ................................................ 20
Equity Index ............................................................. 22
International Equity ..................................................... 24
Strategic Income ......................................................... 26
Fifth Third LifeModel Aggressive(SM) ..................................... 28
Fifth Third LifeModel Moderately Aggressive(SM) .......................... 32
Fifth Third LifeModel Moderate(SM) ....................................... 36
Fifth Third LifeModel Moderately Conservative(SM) ........................ 40
Fifth Third LifeModel Conservative(SM) ................................... 44
High Yield Bond .......................................................... 48
Total Return Bond ........................................................ 50
Short Term Bond .......................................................... 52
Municipal Bond ........................................................... 54
Intermediate Municipal Bond .............................................. 56
Ohio Municipal Bond ...................................................... 58
Michigan Municipal Bond .................................................. 60
Schedules of Investments ................................................. 63
Notes to Schedules of Investments ........................................ 130
Statements of Assets and Liabilities ..................................... 132
Statements of Operations ................................................. 137
Statements of Changes in Net Assets ...................................... 142
Statement of Cash Flows .................................................. 166
Financial Highlights ..................................................... 168
Notes to Financial Highlights ............................................ 204
Notes to Financial Statements ............................................ 205
Report of Independent Registered Public Accounting Firm .................. 222
Supplemental Information ................................................. 223
Our Message to You
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The past fiscal year proved trying for equity and fixed income markets alike,
generating losses for investors worldwide, including many Fifth Third Funds
shareholders.
In the weeks following the close of the fiscal year, dramatic volatility,
particularly in the financial sector, continued to disrupt equity and fixed
income markets. The bailouts of government-sponsored enterprises such as Freddie
Mac and Fannie Mae, coupled with the bankruptcy of Lehman Brothers Holdings and
issues with other entities such as insurer American International Group, rattled
confidence in the entire financial system, which heightened anxieties. During
such periods of uncertainty, your Fifth Third Funds portfolio managers steadily
monitor developments and revisit all holdings to ensure that fundamentals remain
sound and our reasons for investing still ring true, regardless of the broader
market's actions.
o A 11.09% decline for the S&P 500 Index of large cap stocks.
o A 4.96% decline for the S&P 400 Index of mid cap stocks.
o A 8.28% decline for the S&P 600 Index of small cap stocks.
o A 12.19% decline for the MSCI EAFE Index of international stocks.
Few corners of the market were spared from the broad-based selloff as the U.S.
contended with a slowing economy, tumbling housing market and rising
inflationary pressures. Growth stocks generally outperformed value holdings
during the period and investors tended to avoid companies with any hint of a
problem. Globally, developing economies generally benefited from soaring
commodity prices and in turn, emerging market stocks outperformed those from
established economies during the 12-month period.
We know periods such as these can be discouraging for investors of all stripes,
as no one enjoys seeing hard-earning savings eroded by market forces. But in the
face of such turmoil, we believe it is important to remember the value of a
well-diversified portfolio to help mitigate volatility in near-term storms.
Taking a step back, a number of factors contributed to the financial market's
malaise during the fiscal year, including:
1. The dramatic downturn in the financials sector, fueled by collapsing debt
markets, a deteriorating housing industry and a wide-scale push to raise
capital. After feasting on cheap credit and growing increasingly sloppy
with lending standards over the past few years, many banks had their
comeuppance during the period and struggled with plummeting share prices.
2. Credit market woes. From municipal market issues to high yield bonds,
fixed income investments saw minimal appreciation - if any - during the
period. Much of the performance stemmed from a wide-scale aversion to
risk, which started in the mortgage-related securities and spread to
asset-backed and corporate bonds. With little discrimination between
varied quality profiles, we believe that the broad downturn potentially
resulted in attractive opportunities for long-term investors to add high
quality bonds on the cheap.
3. Spiking commodity prices. As oil surged to more than $140 a barrel, grains
climbed to new highs and raw materials soared, inflationary concerns swept
across the globe. Driven in part by strong demand from developing
economies, the rising prices propped up costs on everything from breakfast
cereal to jet fuel.
4. The U.S. economic slowdown. As housing values kept retreating and gasoline
prices marched steadily higher, consumer confidence eroded through the
latter portion of the period. The Federal Reserve responded by slashing
its key lending rate from 5.25% to 2.00% over the 12-month period.
Risk-averse financial institutions scaled back credit operations none the
less. The economic stimulus payments distributed during the summer
provided a lift in consumer spending, but the long-term effect remains
unclear.
5. Reasonably sound corporate profit growth. Aside from the well-documented
challenges facing the financials sector, many U.S. corporations reported
relatively healthy financial results, especially those with exposure to
international markets. But since most equities were painted with a
negative brush during the market's retreat, FTAM believes historically low
price-to-earnings ratios on some stocks potentially indicated attractive
entry points in some cases.
1
6. Enduring economic growth rates around the world. Despite modest slowdowns
and rising prices in 2008, many global economies remained generally robust
during the period. Most remarkable was the performance of developing
countries, which didn't collapse as soon as warning flags emerged in well-
established economies. Instead, solid contributions from energy and
materials producers buffered the emerging markets sector.
Within the bond market, U.S. Treasury issues benefited from a general flight to
quality and led the way during the 12-month period covered by this annual
report. Riskier securities lagged significantly, with bonds tied to subprime
mortgages trailing the market. Municipal bonds also slid as monoline insurers,
which back debt issued by less-stable municipalities, sustained rating
downgrades during the period. Cash investments contended with shrinking yields
as the Federal Reserve trimmed its key lending rate from 5.25% to 2.00% over the
12-month period. While long-term interest rates fluctuated during the period,
the U.S. Treasury yield curve steepened, with short-term yields falling farther
than long-term rates.
Although markets have struggled during the past 12 months, we believe
investments in higher quality instruments may offer opportunities to benefit
once the markets begin to recover.
Packed with high quality stocks and bonds supported by solid fundamentals, we
believe the family of Fifth Third Funds is well-positioned to weather the
current turbulence. Enhancing my optimism is my belief that the Fifth Third
portfolio managers are committed to seeking out the market's true drivers -
today and down the road.
Looking ahead, our expectations on the macro front include:
o We predict no further rate cuts by the Federal Reserve in 2008.
o We predict U.S. economic growth conditions slowing in the second half of
2008. We expect increased anxiety about an actual contraction in the
economy during early 2009.
o We predict all troubles lead to housing. We expect near-term weakness,
but our early 2009 thoughts are potentially more positive at present. We
believe we may be close to the bottom.
o We predict global economic growth around 4% for 2008, although the
economic climate is slowing worldwide.
o Absent financials, which have pushed the average earnings results into
negative territory, we predict respectable profit growth among U.S.
corporations with annual earnings per share figures rising about 8%.
o We predict a rebound in the value of the U.S. dollar.
o We predict a possible restoration of traditional risk-reward profiles in
the fixed income market.
In closing, market developments since the fiscal year's start on August 1, 2007,
have been challenging and investors' patience has been tested. More successful
investors, however, tend to recognize that markets swing both up and down and
recognize the importance of an overall well-diversified investment portfolio to
help achieve their investment goal. Importantly, our holdings are quality
oriented and reflect strong fundamentals. Knowing from past experience that such
stocks and bonds historically lead the market, I am confident that your patience
in our Funds will ultimately be rewarded.
Thank you for your confidence in Fifth Third Funds.
/s/ Keith Wirtz
Keith Wirtz, CFA
Chief Investment Officer
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Terms and Definitions
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The Standard & Poor's 500 Stock Index ("S&P 500 Index") is an index of 500
selected common stocks, most of which are listed on the New York Stock Exchange,
and is a measure of the U.S. stock market as a whole.
The Standard and Poor's MidCap 400 Index ("S&P 400 Index") is an index of 400
selected common stocks that tracks U.S. firms with market capitalizations of
$1.5 billion to $5.5 billion.
The Standard and Poor's SmallCap 600 Index ("S&P 600 Index") is an index of 600
selected common stocks that tracks U.S. firms with market capitalizations of
$300 million to $2 billion.
The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East
(EAFE)(R) Index is generally representative of a sample of companies of the
market structure of 20 European and Pacific Basin countries.
The above indices do not reflect the deduction of fees associated with a mutual
fund such as investment management and fund accounting fees. Investors cannot
invest directly in an index, although they can invest in its underlying
securities.
The Moody's quality rating scale ranges from "Aaa" on the high end to "C" on the
low end with seven intermediate categories.
The P/E Ratio, or Price-to-Earnings Ratio, is a valuation ratio of a company's
current share price to its per-share earnings.
The P/B Ratio, or Price-to-Book Ratio, is used to compare a stock's market value
to its book value.
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3
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
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Small Cap Growth Fund
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For the 12-month period ended July 31, 2008, the Fifth Third Small Cap Growth
Fund (Institutional) declined 10.17% on a net of fee basis, underperforming its
benchmark, the Russell 2000(R) Growth Index, which slipped 3.76%.
The U.S. economy weakened significantly through the period, undermined by credit
market problems, a near- doubling of the price of oil and a collapsing housing
market. Though the Federal Reserve responded aggressively with seven rate cuts,
which slashed the prime lending rate from 5.25% to 2.00% over the 12-month
period, consumer confidence slumped and unemployment figures climbed through the
latter months. Along with the macroeconomic issues, small cap equities contended
with unusual hedge fund interest during the period, and the resulting trading
impact generally contributed positively to the benchmark's performance.
As for the Fund, it was weighed down by poor stock selection in the information
technology sector in particular. Holdings from an assortment of industries,
including software, Internet software, communications equipment and
semiconductors, all struggled during the period. In addition, exposure in the
consumer discretionary and telecommunication services sectors hindered returns,
as did a significant underweight position, relative to the benchmark, in the
surging biotechnology group.
Despite these negatives, investments in health care equipment and supplies
companies aided performance, as did investments in oilfield equipment and
services stocks in the energy sector and industrials sector holdings in the
electrical equipment and machinery industries. The Fund also received a relative
lift from a lack of exposure to the struggling hotel and leisure, household
durables and automobile components industries within consumer discretionary.
During the period, the Fund reduced exposure in the technology area.
Additionally, a continued distaste for consumer-related stocks prompted a move
out of textile and apparel manufacturers and retailers. Proceeds were directed
into select names in the energy sector and in the electrical equipment, health
care provider, capital market and chemical industries.
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Investment Risk Considerations
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Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
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Average Annual Total Returns as of July 31, 2008
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Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- --------
Institutional -10.17% 7.58% 4.51% $15,541
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Class A Shares -14.98% 6.20% 3.70% $15,131
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Class B Shares -13.98% 6.35% 3.44% $14,030
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Class C Shares -11.14% 6.48% 3.45% $14,033
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Russell 2000(R)
Growth Index(1) -3.76% 9.27% 3.94% $14,715
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Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.09% (Institutional Shares), 1.34% (Class A) and 2.09% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29, 2001,
the quoted performance of the Small Cap Growth Fund Institutional Shares
reflects the performance of the Kent Small Company Growth Fund Institutional
Shares with an inception date of November 2, 1992. Prior to October 29, 2001,
the quoted performance for Class A Shares reflects the performance of the Kent
Small Company Growth Investment Shares, with an inception date of December 4,
1992, adjusted for maximum sales charge. The inception date for Class B and
Class C Shares is October 29, 2001.
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Top Ten Equity Holdings as of July 31, 2008*
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as a percentage of value of investments +
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AZZ, Inc. .............................................................. 1.79%
NuVasive, Inc. ......................................................... 1.60%
Complete Production Services, Inc. ..................................... 1.60%
Digital Realty Trust, Inc. ............................................. 1.48%
DXP Enterprises, Inc. .................................................. 1.48%
American Public Education, Inc. ........................................ 1.47%
T-3 Energy Services, Inc. .............................................. 1.44%
Titan Machinery, Inc. .................................................. 1.43%
Icon PLC ADR ........................................................... 1.40%
BioMartin Pharmaceuticals, Inc. ........................................ 1.39%
* Long-term securities.
+ Portfolio composition is subject to change.
4
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
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Small Cap Growth Fund
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GROWTH OF A $10,000 INVESTMENT
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[LINE GRAPH]
Fifth Third Small Cap Growth Russell 2000(R)
(Institutional Shares) Growth Index
---------------------------- ---------------
7/31/98 $ 10,000 $ 10,000
$ 8,553 $ 8,471
12/98 $ 9,766 $ 10,474
$ 8,966 $ 10,298
$ 10,739 $ 11,816
$ 10,404 $ 11,235
12/99 $ 12,498 $ 14,987
$ 13,521 $ 16,379
$ 13,346 $ 15,171
$ 13,586 $ 14,568
12/00 $ 12,450 $ 11,626
$ 10,617 $ 9,858
$ 12,168 $ 11,630
$ 9,895 $ 8,364
12/01 $ 11,939 $ 10,553
$ 12,197 $ 10,346
$ 10,793 $ 8,722
$ 8,724 $ 6,845
12/02 $ 8,954 $ 7,359
$ 8,663 $ 7,074
$ 10,107 $ 8,782
$ 11,118 $ 9,702
12/03 $ 12,577 $ 10,932
$ 12,823 $ 11,542
$ 12,741 $ 11,553
$ 11,933 $ 10,858
12/04 $ 13,337 $ 12,496
$ 12,861 $ 11,643
$ 13,193 $ 12,048
$ 13,758 $ 12,809
12/05 $ 13,955 $ 13,015
$ 16,318 $ 14,884
$ 15,106 $ 13,805
$ 14,719 $ 13,562
12/06 $ 15,637 $ 14,752
$ 16,591 $ 15,117
$ 18,137 $ 16,128
$ 17,905 $ 16,130
12/07 $ 17,366 $ 15,791
$ 14,657 $ 13,766
$ 15,714 $ 14,381
07/31/08 $ 15,541 $ 14,715
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
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The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Growth
Index. The Russell 2000(R) Growth Index tracks the performance of common
stocks that measure the performance of the securities found in the Russell
2000(R) universe with higher forecasted growth values.
The Russell 2000(R) Growth Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
5
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
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Mid Cap Growth Fund
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For the 12-month period ended July 31, 2008, the Fifth Third Mid Cap Growth Fund
(Institutional) declined 11.24% on a net of fee basis, trailing its benchmark,
the Russell Midcap(R) Growth Index, which fell 7.92%.
The U.S. economy weakened significantly through the period, undermined by credit
market problems, a near- doubling of the price of oil and a collapsing housing
market. Though the Federal Reserve responded aggressively with seven rate cuts,
which slashed the prime lending rate from 5.25% to 2.00% over the 12-month
period, consumer confidence slumped and unemployment figures climbed through the
latter months.
Against this backdrop, the Fund was pulled down by poor stock selection in the
energy, consumer discretionary, telecommunication services and financials
sectors. Within the energy space, weak stock selection in the oilfield equipment
and services hindered return, as did a lack of exposure to the coal industry,
which thrived amid climbing commodity markets. In addition, wireless service
providers hurt the telecom stake and the Fund's financial holdings struggled
with the broader market challenges.
Positive contributors hailed from the health care sector, most notably within
the providers and services industries. Information technology stocks, including
select holdings in the software and computer peripherals groups, further boosted
performance.
Over the course of the period, the Fund shifted funds out of consumer- and
credit-related sectors such as financials, consumer discretionary and telecom
services, as well as a move away from the health care providers and services. In
turn, it heightened its focus on the materials sector, especially within the
chemicals industry, and the industrials group, most notably among commercial
services and supply firms. It also padded its weighting in the utilities and
information technology sectors.
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Investment Risk Considerations
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Mid capitalization funds typically carry additional risk since mid- size
companies generally have a higher risk of failure. Historically, mid-size
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
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Average Annual Total Returns as of July 31, 2008
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Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- --------
Institutional -11.24% 7.74% 4.22% $15,114
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Class A Shares -15.86% 6.39% 3.40% $13,968
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Class B Shares -15.87 6.39% 3.12% $13,591
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Class C Shares -11.88% 6.74% 3.21% $13,721
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Russell Midcap(R)
Growth Index(1) -7.92% 10.67% 5.69% $17,398
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Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.11% (Institutional Shares), 1.36% (Class A) and 2.11% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception dates for
the Institutional, Class B and Class C Shares of the Mid Cap Growth Fund are
August 11, 1998, October 11, 2000 and April 24, 1996, respectively. Prior to
such dates, quoted performance reflects the performance of Class A Shares
adjusted to reflect expenses and applicable sales charges for Class B and Class
C Shares.
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Top Ten Equity Holdings as of July 31, 2008*
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as a percentage of value of investments+
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American Tower Corp., Class A .......................................... 1.89%
Stericycle, Inc. ....................................................... 1.84%
Mettler Toledo International, Inc. ..................................... 1.80%
Joy Global, Inc. ....................................................... 1.75%
Activision Blizzard, Inc. .............................................. 1.63%
CF Industries Holdings, Inc. ........................................... 1.61%
Corrections Corp. of America ........................................... 1.60%
PerkinElmer, Inc. ...................................................... 1.57%
Burger King Holdings, Inc. ............................................. 1.56%
Herbalife, Ltd. ........................................................ 1.55%
* Long-term securities.
+ Portfolio composition is subject to change.
6
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
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Mid Cap Growth Fund
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GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Mid Cap Growth Russell MidCap(R)
(Institutional Shares) Growth Index
---------------------- -----------------
7/31/98 $ 10,000 $ 10,000
$ 8,894 $ 8,704
12/98 $ 10,578 $ 11,008
$ 10,096 $ 11,384
$ 11,223 $ 12,570
$ 10,056 $ 11,940
12/99 $ 12,383 $ 16,654
$ 14,018 $ 20,172
$ 13,514 $ 18,678
$ 14,631 $ 19,149
12/00 $ 13,241 $ 14,697
$ 11,001 $ 11,010
$ 13,056 $ 12,792
$ 10,094 $ 9,236
12/01 $ 12,409 $ 11,735
$ 12,123 $ 11,528
$ 9,889 $ 9,423
$ 8,105 $ 7,804
12/02 $ 8,633 $ 8,519
$ 8,408 $ 8,518
$ 10,010 $ 10,116
$ 10,539 $ 10,840
12/03 $ 11,872 $ 12,158
$ 12,201 $ 12,746
$ 12,132 $ 12,880
$ 11,422 $ 12,322
12/04 $ 12,859 $ 14,040
$ 12,418 $ 13,806
$ 13,240 $ 14,279
$ 13,968 $ 15,215
12/05 $ 14,312 $ 15,739
$ 16,049 $ 16,936
$ 15,145 $ 16,141
$ 15,023 $ 16,285
12/06 $ 15,747 $ 17,416
$ 16,680 $ 18,105
$ 17,830 $ 19,326
$ 17,840 $ 19,741
12/07 $ 17,074 $ 19,406
$ 15,340 $ 17,281
$ 15,692 $ 18,084
7/31/08 $ 15,114 $ 17,398
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell Midcap(R) Growth
Index. The Russell Midcap(R) Growth Index measures the performance of
those Russell midcap companies with higher price-to-book ratios and higher
forecasted growth values. The stocks are also members of the Russell
1000(R) Growth Index.
The Russell Midcap(R) Growth Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
7
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Quality Growth Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Quality Growth Fund
(Institutional) gained 2.85% on a net of fee basis, significantly outperforming
its benchmarks, the Russell 1000(R) Growth Index, which declined 6.29%.
The financial credit crisis dominated the period, contributing to market
volatility and unsettling investors worldwide. Stocks reacted to the disruption
in the credit markets by moving sharply lower starting in October 2007.
Inflation anxieties stemming in part from soaring oil and commodity prices
extended the fall through the second half of the period, along with economic
concerns stirred in part by the deepening of the housing market tumble.
Favorable stock selection within the materials and energy sectors - which both
benefited from spiking commodity markets - keyed the Fund's performance. Within
the materials sector, agriculture-related names were standouts as higher grain
prices prompted farmers to seek improved crop yields. As stock prices steadily
climbed, however, the Fund booked some profits and directed the proceeds into
metal miners and processors. In the energy space, a mix of services and
equipment companies and exploration and production firms provided a lift.
The Fund also benefited from effective stock selection in two of the worst
performing sectors in the primary benchmark - financials and consumer
discretionary. Select investment companies and fast food restaurants aided
returns, while an aversion to banks and retailers helped on a relative basis as
well.
In contrast, stock selection within the consumer staples sector diminished
returns, and the Fund finished the period with an underweight position, relative
to the primary benchmark, in the sector.
At the period's end, international economic prospects appeared modestly better
than those of the U.S., especially among emerging markets. As a growing
percentage of U.S. corporate profits are attributed to overseas business, we
believe the global component is an increasingly important factor in assessing
the growth potential of the Fund's possible investments.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 2.79% 6.46% 2.66% $13,001
- --------------------------------------------------------------------------------
Class A Shares -2.62% 5.11% 1.88% $12,048
- --------------------------------------------------------------------------------
Class B Shares -2.61% 5.09% 1.59% $11,712
- --------------------------------------------------------------------------------
Class C Shares 1.70% 5.39% 1.68% $11,818
- --------------------------------------------------------------------------------
Russell 1000(R) Growth Index(1) -6.29% 6.39% 0.83% $10,862
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.11% (Institutional Shares), 1.36% (Class A) and 2.11% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception dates for
the Institutional, Class B and Class C Shares of the Quality Growth Fund are
August 11, 1998, October 11, 2000 and April 25,1996, respectively. Prior to such
dates, quoted performance reflects the performance of Class A Shares adjusted to
reflect expenses and applicable sales charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Microsoft Corp. ........................................................ 2.66%
International Business Machines Corp. .................................. 2.39%
Northern Trust Corp. ................................................... 2.12%
McDonald's Corp. ....................................................... 2.06%
Baxter International, Inc. ............................................. 1.97%
Gilead Sciences, Inc. .................................................. 1.96%
Praxair, Inc. .......................................................... 1.95%
Monsanto Co. ........................................................... 1.94%
Kellogg Co. ............................................................ 1.92%
Qualcomm, Inc. ......................................................... 1.91%
* Long-term securities.
+ Portfolio composition is subject to change.
8
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Quality Growth Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Quality Growth Russell 1000(R)
(Institutional Shares) Growth Index
---------------------- ---------------
7/31/98 $ 10,000 $ 10,000
$ 9,077 $ 9,152
12/98 $ 11,638 $ 11,599
$ 12,039 $ 12,336
$ 12,783 $ 12,811
$ 12,408 $ 12,342
12/99 $ 14,415 $ 15,445
$ 15,457 $ 16,546
$ 15,184 $ 16,099
$ 14,905 $ 15,233
12/00 $ 13,865 $ 11,982
$ 11,528 $ 9,478
$ 12,182 $ 10,276
$ 10,026 $ 8,281
12/01 $ 11,957 $ 9,535
$ 11,643 $ 9,288
$ 9,345 $ 7,554
$ 7,616 $ 6,417
12/02 $ 8,070 $ 6,876
$ 7,796 $ 6,803
$ 9,032 $ 7,776
$ 9,500 $ 8,080
12/03 $ 10,602 $ 8,922
$ 10,636 $ 8,992
$ 10,495 $ 9,166
$ 9,674 $ 8,687
12/04 $ 10,509 $ 9,484
$ 9,987 $ 9,096
$ 10,369 $ 9,320
$ 10,824 $ 9,694
12/05 $ 11,166 $ 9,983
$ 11,588 $ 10,292
$ 10,938 $ 9,890
$ 11,172 $ 10,279
12/06 $ 11,718 $ 10,889
$ 11,863 $ 11,018
$ 12,799 $ 11,773
$ 13,762 $ 12,269
12/07 $ 14,230 $ 12,175
$ 12,825 $ 10,936
$ 13,150 $ 11,072
7/31/08 $ 13,001 $ 10,862
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Growth
Index. The Russell 1000(R) Growth Index measures the performance of 1,000
securities found in the Russell universe with higher price-to-book ratios
and higher forecasted growth values.
The Russell 1000(R) Growth Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
9
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Dividend Growth Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Dividend Growth
Fund (Institutional) declined 5.69% on a net of fee basis, compared to its
primary benchmark, the Standard & Poor's 500 Index, which dropped 11.09%.
As economic concerns gained traction, due in part to soaring oil prices and
rallies in other commodity markets, the equity market responded accordingly. The
financials sector, facing lengthy credit market issues and riddled with
deteriorating fundamentals, tumbled. Meanwhile, the energy and materials
sectors, bolstered by rising energy and raw materials prices, advanced, joined
by the defense-oriented consumer staples sector.
Against this negative backdrop, strong stock selection in the financials sector
aided the Fund's outperformance of the benchmark. Along with effective
investments in wealth management, discount brokerage and capital market firms,
the Fund also avoided thrifts and other home lenders, which suffered as the
housing market tumbled.
Health care sector stocks also contributed positively to performance relative to
the benchmark, bolstered by selections among biotechnology and medical equipment
outfits and an underweight position, relative to the primary benchmark, in
pharmaceutical companies. Additionally, an underweight stake in the consumer
discretionary sector, keyed by an aversion to automotive suppliers and airlines,
enhanced returns relative to the primary benchmark.
Detractors from performance included a modestly underweight position in the
energy sector and stock selections in the information technology sector.
Midway through the period, the Fund booked some profits in the energy sector,
which appeared vulnerable following a considerable runup, and steered some of
the proceeds into what we perceived to be attractive opportunities in the health
care and technology sectors. The decision proved beneficial as health care and
technology generally remained immune to the troubles afflicting the financial
sector and offered exposure to better-positioned international economies.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Because the Fund may invest in a single industry, its shares do not represent a
complete investment program. As a non-diversified Fund, the value of the shares
may fluctuate more than shares invested in a broader range of industries and
companies.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- --------
Institutional -5.69% 6.42% -1.99% $ 8,181
- --------------------------------------------------------------------------------
Class A Shares -10.64% 5.13% -2.71% $ 7,599
- --------------------------------------------------------------------------------
Class B Shares -11.30% 5.06% -2.90% $ 7,452
- --------------------------------------------------------------------------------
Class C Shares -6.83% 5.36% -2.92% $ 7,434
- --------------------------------------------------------------------------------
S&P 500 Index(1) -11.09% 7.03% 2.91% $ 13,317
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.76% (Institutional Shares), 2.00% (Class A) and 2.74% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
March 6, 1998 the quoted performance of the Dividend Growth Fund reflects the
performance of the Class A Shares of the Pinnacle Fund. The inception dates for
the Institutional, Class B and Class C of the Fund are August 11, 1998, October
11, 2000 and March 9, 1998, respectively. Prior to such dates, quoted
performance reflects the performance of Class A Shares adjusted to reflect
expenses and applicable sales charges for Class B and Class C.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ..................................................... 3.25%
United Technologies Corp. ............................................. 2.28%
Emerson Electric Co. .................................................. 2.27%
US Bancorp ............................................................ 2.00%
Procter & Gamble Co. .................................................. 1.94%
Qualcomm, Inc. ........................................................ 1.85%
Becton Dickinson & Co. ................................................ 1.82%
General Dynamics Corp. ................................................ 1.77%
Wells Fargo & Co. ..................................................... 1.73%
Phillip Morris International Inc. ..................................... 1.57%
* Long-term securities.
+ Portfolio composition is subject to change.
10
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Dividend Growth Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Dividend Growth
(Institutional Shares) S&P 500 Index
---------------------- --------------
7/31/98 $ 10,000 $ 10,000
$ 8,974 $ 9,102
12/98 $ 11,211 $ 11,041
$ 11,636 $ 11,591
$ 11,945 $ 12,407
$ 11,331 $ 11,634
12/99 $ 12,516 $ 13,365
$ 12,963 $ 13,669
$ 12,503 $ 13,305
$ 11,937 $ 13,177
12/00 $ 10,043 $ 12,146
$ 8,170 $ 10,706
$ 8,533 $ 11,332
$ 7,226 $ 9,669
12/01 $ 7,853 $ 10,702
$ 7,639 $ 10,732
$ 6,498 $ 9,294
$ 5,432 $ 7,688
12/02 $ 5,521 $ 8,337
$ 5,310 $ 8,075
$ 5,877 $ 9,318
$ 5,894 $ 9,564
12/03 $ 6,646 $ 10,729
$ 6,837 $ 10,910
$ 6,847 $ 11,098
$ 6,293 $ 10,890
12/04 $ 6,946 $ 11,896
$ 6,554 $ 11,640
$ 6,709 $ 11,800
$ 7,042 $ 12,225
12/05 $ 7,256 $ 12,481
$ 7,503 $ 13,007
$ 7,395 $ 12,819
$ 7,793 $ 13,546
12/06 $ 8,201 $ 14,453
$ 8,280 $ 14,545
$ 8,835 $ 15,458
$ 9,299 $ 15,772
12/07 $ 9,174 $ 15,247
$ 8,524 $ 13,807
$ 8,012 $ 13,430
7/31/08 $ 8,181 $ 13,317
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the S&P 500 Index. The S&P 500
Index measures the performance of 500 selected common stocks, most of
which are listed on the New York Stock Exchange, and is a measure of the
U.S. stock market as a whole.
The S&P 500 Index is unmanaged and does not reflect the deduction of fees
associated with a mutual fund such as investment management and fund
accounting fees. However, the Fund's performance reflects the deduction of
fees for these value-added services. Investors cannot invest directly in
an index, although they can invest in its underlying mutual funds or
securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
11
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Micro Cap Value Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2007, the Fifth Third Micro Cap Value
Fund (Institutional) declined 12.23% on a net of fee basis, compared to its
benchmarks, the Russell Microcap(R) Value Index, which fell 17.25%, and the
Russell 2000(R) Value Index, which retreated 9.95%.
Despite seven rate cuts from the Federal Reserve, which slashed its key lending
rate from 5.25% to 2.00%, the U.S. economy decelerated during the period.
Furthermore, with the housing industry stumbling, credit market problems
continuing and consumer confidence waning, the near-term outlook remained
uncertain at best. The challenging conditions affected the majority of the
sectors of the economy, with energy the only consistent gainer as oil prices
spiked.
Within the Fund, good stock selection in the beleaguered financials sector, most
notably in the insurance industry - where a number of buyouts boosted Fund
performance - and among capital markets firms, helped relative returns.
Additionally, semiconductor investments aided the Fund's information technology
sector exposure and stakes in specialty chemical companies lifted its materials
sector performance, along with an avoidance of manufacturers of commodity
chemicals.
Stock selection in the energy sector detracted from returns, as did poor
performers from the health care service and providers industry.
As the broader economic landscape became more problematic, the Fund trimmed its
exposure to the smallest companies within the micro cap universe - those with
market capitalizations between $50 million and $100 million - which tend to be
more vulnerable to slowing economies. Alternatively, the Fund focused on larger
micro cap stocks - those in the $400 million to $500 million range.
At a sector level, shifts included a move from an underweight position, relative
to the benchmark, to an overweight stake in the health care sector, and a
reduction in the size of the overweight position in the industrials sector.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Micro capitalization funds typically carry additional risk since micro-cap
companies generally have a higher risk of failure. Historically, micro-cap
stocks have experienced a greater degree of market volatility than large company
stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- --------
Institutional -12.23% 8.77% 11.79% $ 30,487
- --------------------------------------------------------------------------------
Class A Shares -16.74% 7.40% 11.02% $ 28,458
- --------------------------------------------------------------------------------
Class B Shares -15.70% 7.78% 10.88% $ 28,087
- --------------------------------------------------------------------------------
Class C Shares -12.95% 7.95% 11.07% $ 28,572
- --------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) -9.95% 10.04% 8.89% $ 23,440
- --------------------------------------------------------------------------------
Russell Microcap(R) Value Index(1) -17.25% 8.15% 11.69%(3) $ 24,445
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.82% (Institutional Shares), 2.06% (Class A) and 2.81% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The inception dates for
the Institutional, Class B and Class C are August 11, 1998, October 11, 2000 and
April 25, 1996, respectively. Prior to such dates, quoted performance reflects
the performance of Class A Shares adjusted to reflect expenses and applicable
sales charges for Class B and Class.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Overhill Farms, Inc. .................................................. 1.45%
Bluegreen Corp. ....................................................... 1.25%
Ness Technologies, Inc. ............................................... 1.23%
Hersha Hospitality Trust, A Shares .................................... 1.14%
Stealthgas, Inc. ...................................................... 1.12%
Jo-Ann Stores, Inc. ................................................... 1.10%
Ciber, Inc. ........................................................... 1.09%
Semitool, Inc. ........................................................ 1.08%
Monro Muffler, Inc. ................................................... 1.08%
Berkshire Hills Bancorp, Inc. ......................................... 1.04%
* Long-term securities.
+ Portfolio composition is subject to change.
12
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Micro Cap Value Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Micro Cap Value Russell 2000(R) Russell Microcap(R)
(Institutional Shares) Value Index Value Index
---------------------- --------------- -------------------
7/31/98 $ 10,000 $ 10,000
$ 8,551 $ 8,910
12/98 $ 9,911 $ 9,719
$ 10,425 $ 8,777
$ 12,646 $ 10,230
$ 11,535 $ 9,429
12/99 $ 12,040 $ 9,574
$ 13,270 $ 9,940
$ 12,625 $ 10,134 $ 10,000
$ 12,819 $ 10,878 $ 10,391
12/00 $ 11,891 $ 11,759 $ 10,441
$ 12,967 $ 11,874 $ 11,090
$ 15,148 $ 13,255 $ 13,347
$ 12,894 $ 11,488 $ 11,372
12/01 $ 14,615 $ 13,408 $ 13,315
$ 16,142 $ 14,693 $ 14,540
$ 16,166 $ 14,381 $ 15,070
$ 12,821 $ 11,319 $ 11,767
12/02 $ 14,651 $ 11,876 $ 12,544
$ 14,480 $ 11,273 $ 12,228
$ 19,022 $ 13,835 $ 15,395
$ 21,293 $ 14,904 $ 17,433
12/03 $ 24,819 $ 17,343 $ 20,506
$ 26,984 $ 18,543 $ 22,202
$ 27,680 $ 18,700 $ 22,168
$ 26,984 $ 18,728 $ 21,669
12/04 $ 30,586 $ 21,201 $ 24,798
$ 29,430 $ 20,358 $ 23,505
$ 28,219 $ 21,391 $ 24,236
$ 30,063 $ 22,052 $ 25,299
12/05 $ 30,491 $ 22,199 $ 25,577
$ 33,708 $ 25,197 $ 29,130
$ 32,096 $ 24,516 $ 28,021
$ 31,375 $ 25,141 $ 28,290
12/06 $ 34,390 $ 27,411 $ 31,154
$ 35,627 $ 27,812 $ 31,525
$ 36,963 $ 28,452 $ 32,162
$ 34,588 $ 26,671 $ 29,783
12/07 $ 31,060 $ 24,731 $ 27,065
$ 29,642 $ 23,117 $ 25,072
$ 28,617 $ 22,297 $ 23,134
7/31/08 $ 30,487 $ 23,440 $ 24,445
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Value Index
and the Russell Microcap(R) Value Index. The Russell 2000(R) Value Index
measures the performance of those Russell 2000(R) companies with a
less-than-average growth orientation. The Russell Microcap(R) Value Index
measures the performance of those Russell Microcap companies with lower
price-to-book ratios and lower forecasted growth values.
The Russell 2000(R) Value Index and the Russell Microcap(R) Value Index
are unmanaged and do not reflect the deduction of fees associated with a
mutual fund such as investment management and fund accounting fees.
However, the Fund's performance reflects the deduction of fees for these
value-added services. Investors cannot invest directly in an index,
although they can invest in its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2008.
(3) The average annual total return for the Russell Microcap(R) Value Index
since its inception.
13
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Value Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Small Cap Value
Fund (Institutional) declined 3.68% on a net of fee basis, outperforming its
benchmark, the Russell 2000(R) Value Index, which declined 9.95%.
The U.S. economy generally struggled during the period, bogged down by the
troubles in the credit market and increasing inflationary pressures. Consumers
generally reacted by reining in spending and directing more of their incomes
toward soaring energy costs. Overseas economies generally fared better, although
signs of weakness emerged late in the period.
Equities experienced considerable volatility during the 12-month period and
small cap stocks fared better than other equities during the second half of the
period. While negative within the Fund, traditionally defensive sectors such as
consumer staples and health care led performance, relative to the benchmark,
through the first five months, while financials, consumer discretionary and
industrials stocks provided the best relative returns through the final seven
months.
Looking at the entire 12-month period, despite negative performance the Fund
benefited from an underweight position, relative to the benchmark, in the
industrials sector and benefited from a lack of exposure to the beleaguered
media and auto supplier industries. Within the financials sector, by focusing on
banks that maintained conservative lending practices the Fund appeared to have
sidestepped many of the current credit-related issues facing other financial
institutions, also aiding performance relative to the benchmark.
In addition, investments in the resurgent U.S. trucking industry and in
electrical equipment manufacturers with global customers lifted the Fund's
industrials sector exposure.
On the downside, exposure in the health care sector, where poor stock selection
outweighed an overweight stake, hindered performance. So did an aversion to
red-hot fertilizer stocks, which helped prop up the materials sector but
featured valuations that far exceeded the Fund's targets.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------ ------ --------- --------
Institutional 4/1/03 -3.68% 10.20% 12.78% $ 18,996
- --------------------------------------------------------------------------------
Class A Shares 4/1/03 -8.76% 8.80% 11.41% $ 17,795
- --------------------------------------------------------------------------------
Class B Shares 4/1/03 -8.85% 8.84% 11.54% $ 17,905
- --------------------------------------------------------------------------------
Class C Shares 4/1/03 -4.69% 9.07% 11.63% $ 17,979
- --------------------------------------------------------------------------------
Russell 2000(R) Value Index(1) -9.95% 10.04% 14.71% $ 20,793
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.24% (Institutional Shares), 1.50% (Class A) and 2.25% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Iowa Telecommunications Services, Inc. ................................ 1.87%
Sybase, Inc. .......................................................... 1.78%
UMB Financial Corp. ................................................... 1.73%
Kindred Healthcare, Inc. .............................................. 1.62%
Ferro Corp. ........................................................... 1.58%
Platinum Underwriters Holdings, Ltd. .................................. 1.57%
Trinity Industries, Inc. .............................................. 1.55%
EnPro Industries, Inc. ................................................ 1.55%
Vectren Corp. ......................................................... 1.45%
Cleco Corp. ........................................................... 1.44%
* Long-term securities.
+ Portfolio composition is subject to change.
14
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Value Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Small Cap Value Russell 2000(R)
(Institutional Shares) Value Index
---------------------- ---------------
4/1/03 $ 10,000 $ 10,000
$ 11,240 $ 12,272
$ 11,860 $ 13,220
12/03 $ 13,841 $ 15,384
$ 14,837 $ 16,449
$ 14,732 $ 16,588
$ 14,346 $ 16,613
12/04 $ 15,471 $ 18,807
$ 16,041 $ 18,058
$ 16,520 $ 18,975
$ 16,741 $ 19,562
12/05 $ 17,326 $ 19,692
$ 18,519 $ 22,351
$ 18,281 $ 21,747
$ 18,460 $ 22,302
12/06 $ 19,692 $ 24,315
$ 20,421 $ 24,671
$ 21,092 $ 25,238
$ 20,081 $ 23,659
12/07 $ 18,851 $ 21,938
$ 17,859 $ 20,506
$ 18,059 $ 19,779
7/31/08 $ 18,996 $ 20,793
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 2000(R) Value
Index. The Russell 2000(R) Value Index measures the performance of those
Russell 2000(R) companies with a less-than-average growth orientation.
Companies in this index generally have low price-to-book and
price-to-earnings ratios.
The Russell 2000(R) Value Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
15
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
All Cap Value Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third All Cap Value Fund
(Institutional) retreated 17.47% on a net of fee basis, compared to its
benchmarks, the Russell 3000(R) Value Index, which declined 14.75%, and the
Russell Midcap(R) Value Index, which slid 13.20%.
Economic woes that appeared through the first part of the period blossomed
during the second half as the U.S. growth rate slowed and consumer confidence
wilted. Surging oil prices, plummeting housing values and extended challenges in
the credit markets all factored into the deteriorating conditions.
Interestingly, among value stocks, small cap names - which tended to benefit
from an early 2008 bounce off a dreary 2007 - outperformed larger and mid cap
holdings over the 12-month period. Although the Fund trimmed its average
weighted market cap to $61 billion - considerably smaller than the Russell
3000(R) Value Index's $94 billion - an underweight stake in small cap names
diminished performance relative to the primary benchmark. At the period's end,
the Fund was also modestly underexposed to the large cap space and held an
overweight position in mid cap stocks relative to the primary benchmark.
From a sector standpoint, positions in the consumer staples and energy sectors
hindered returns during the 12-month period. More specifically, inflationary
worries hit the bottom lines of the Fund's food retailer and beverage bottling
stocks within the staples sector. In the energy space, modest exposure to
oilfield equipment and services firms with international operations hurt, as did
holdings in the oil refinery industry, which saw margins squeezed by oil's price
spike.
Solid stock selection within two sectors that otherwise struggled - consumer
discretionary and financials - contributed positively to Fund returns. Exposure
to companies with international exposure lifted the consumer discretionary
stake, as well as timely investments in discount retailers and auto parts
suppliers, which enjoyed a mid-period resurgence. The Fund's financials sector
performance stemmed largely from minimal exposure to companies tainted by the
subprime mortgage mess and discount brokerage stocks.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Small capitalization funds typically carry additional risk since smaller
companies generally have a higher risk of failure. Historically, smaller
companies' stocks have experienced a greater degree of market volatility than
large company stocks on average.
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- ---------
Institutional -17.47% 9.24% 8.21% $ 22,022
- --------------------------------------------------------------------------------
Class A Shares -21.76% 7.86% 7.38% $ 20,383
- --------------------------------------------------------------------------------
Class B Shares -21.71% 7.88% 7.40% $ 20,415
- --------------------------------------------------------------------------------
Class C Shares -18.25% 8.15% 7.39% $ 20,403
- --------------------------------------------------------------------------------
Russell 3000(R) Value Index(1) -14.75% 8.63% 5.32% $ 16,791
- --------------------------------------------------------------------------------
Russell Midcap(R) Value Index(1) -13.20% 12.05% 8.88% $ 23,425
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.34% (Institutional Shares), 1.59% (Class A) and 2.34% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
August 13, 2001, the quoted performance of the All Cap Value Fund Institutional
Shares reflects the performance of the Fifth Third/Maxus Equity Fund
Institutional Shares with an inception date of April 1, 1999. Prior to April 1,
1999, the quoted performance reflects the performance of the Fifth Third/Maxus
Equity Fund Investor Shares with an inception date of September 30, 1989. The
inception date for the Class A, Class B and Class C Shares is August 13, 2001.
Prior to such date, the quoted performance for Class A Shares reflects
performance of the Advisor Shares and is adjusted for maximum sales charges. The
quoted performance of Class B and Class C Shares reflects the performance of the
All Cap Value Fund Advisor Shares and is adjusted to reflect expenses and
applicable sales charges for Class B and Class C Shares. Prior to August 13,
2001, the quoted performance of the All Cap Value Fund Advisor Shares reflects
the performance of the Fifth Third/ Maxus Equity Fund Investor Shares with an
inception date of September 30, 1989.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
JPMorgan Chase & Co. .................................................. 2.18%
ConocoPhillips ........................................................ 2.09%
Marathon Oil Corp. .................................................... 2.06%
Exxon Mobil Corp. ..................................................... 1.98%
Bank of America Corp. ................................................. 1.74%
Goldman Sachs Group, Inc. (The) ....................................... 1.74%
Nabors Industries, Ltd. ............................................... 1.68%
Amgen, Inc. ........................................................... 1.61%
Chevron Corp. ......................................................... 1.60%
International Business Machines Corp. ................................. 1.53%
* Long-term securities.
+ Portfolio composition is subject to change.
16
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
All Cap Value Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
All Cap Value Russell 3000(R) Russell MidCap(R)
(Institutional Shares) Value Index Value Index
---------------------- --------------- -----------------
7/31/98 $ 10,000 $ 10,000 $ 10,000
$ 8,464 $ 8,993 $ 9,095
12/98 $ 9,431 $ 10,429 $ 10,329
$ 9,490 $ 10,487 $ 10,008
$ 11,268 $ 11,709 $ 11,127
$ 10,249 $ 10,579 $ 9,943
12/99 $ 10,664 $ 11,123 $ 10,318
$ 12,019 $ 11,202 $ 10,422
$ 11,922 $ 10,727 $ 10,247
$ 12,526 $ 11,568 $ 11,236
12/00 $ 13,198 $ 12,017 $ 12,297
$ 13,021 $ 11,368 $ 11,863
$ 13,800 $ 11,976 $ 12,698
$ 11,996 $ 10,645 $ 11,232
12/01 $ 14,246 $ 11,496 $ 12,583
$ 14,217 $ 12,012 $ 13,577
$ 13,033 $ 11,048 $ 12,942
$ 10,986 $ 8,953 $ 10,619
12/02 $ 11,991 $ 9,751 $ 11,369
$ 11,217 $ 9,275 $ 10,908
$ 13,822 $ 10,912 $ 12,860
$ 14,563 $ 11,182 $ 13,624
12/03 $ 16,867 $ 12,787 $ 15,697
$ 17,599 $ 13,213 $ 16,536
$ 17,647 $ 13,329 $ 16,823
$ 17,411 $ 13,518 $ 17,114
12/04 $ 19,465 $ 14,954 $ 19,418
$ 19,392 $ 14,914 $ 19,569
$ 19,796 $ 15,207 $ 20,489
$ 20,684 $ 15,786 $ 21,586
12/05 $ 20,959 $ 15,978 $ 21,874
$ 22,697 $ 17,032 $ 23,541
$ 22,385 $ 17,080 $ 23,410
$ 23,586 $ 18,084 $ 24,236
12/06 $ 25,277 $ 19,548 $ 26,296
$ 25,998 $ 19,795 $ 27,574
$ 27,839 $ 20,723 $ 28,581
$ 27,307 $ 20,567 $ 27,567
12/07 $ 25,871 $ 19,350 $ 25,922
$ 23,269 $ 17,696 $ 23,682
$ 22,059 $ 16,782 $ 23,697
7/31/08 $ 22,022 $ 16,791 $ 23,425
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 3000(R) Value Index
and the Russell Midcap(R) Value Index. The Russell 3000(R) Value Index
measures the performance of those companies in the Russell 3000(R) Index
with lower price-to-book ratios and lower forecasted growth values. The
Russell Midcap(R) Value Index measures the performance of those Russell
mid cap companies with lower price-to-book ratios and lower forecasted
growth values.
The Russell 3000(R) Value and the Russell Midcap(R) Value Indices are
unmanaged and do not reflect the deduction of fees associated with a
mutual fund such as investment management and fund accounting fees.
However, the Fund's performance reflects the deduction of fees for these
value-added services. Investors cannot invest directly in an index,
although they can invest in its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
17
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Disciplined Large Cap Value Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Disciplined Large
Cap Value Fund (Institutional) declined 13.52% on a net of fee basis,
outperforming its benchmark, the Russell 1000(R) Value Index, which dropped
15.15%.
The persistent credit crisis weighed on the broader economy during the period,
especially as soaring foreclosure rates permeated the housing industry, the
unemployment rate climbed and consumer confidence faltered. Although the Federal
Reserve reduced its key lending rate from 5.25% to 2.00% during the 12-month
period, conditions proved challenging at the sector, industry and company level.
From a style standpoint, growth stocks generally outperformed value stocks
during the period, while smaller capitalization indices outperformed larger
capitalization indices. Not surprisingly, the leading sectors within the Fund's
benchmark were fairly defensive: energy, utilities and consumer staples. The
poorest performers were generally cyclical in nature: financials, consumer
discretionary, telecommunications services and information technology.
While negative within the Fund, outperformance of the benchmark stemmed
primarily from solid stock selection within the financials, consumer
discretionary, information technology and telecommunication services sectors.
Furthermore, an underweight stake, relative to the benchmark, in the troubled
financials group helped relative returns, along with an overweight position in
the surging energy sector.
More broadly, the Fund's cautious posturing with respect to risk proved
advantageous relative to the benchmark, as it was less exposed to highly
leveraged companies, companies with highly variable earnings and those with more
volatile trading profiles.
Detractors from performance included positions in the industrials and materials
sectors, as well as an underweight stake in the utilities sector, which
advanced.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Value-based investments are subject to the risk that the broad market may not
recognize their intrinsic value.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------- ------ ------- --------
Institutional -13.52% 8.41% 4.51% $ 15,538
- --------------------------------------------------------------------------------
Class A Shares -18.01% 7.05% 3.70% $ 14,382
- --------------------------------------------------------------------------------
Class B Shares -18.39% 7.04% 3.53% $ 14,153
- --------------------------------------------------------------------------------
Class C Shares -14.40% 7.34% 3.50% $ 14,113
- --------------------------------------------------------------------------------
Russell 1000(R) Value Index(1) -15.15% 8.52% 5.06% $ 16,387
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.08% (Institutional Shares), 1.33% (Class A) and 2.08% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. The quoted performance of
the Disciplined Large Cap Value Fund includes performance of certain
collectively managed accounts advised by Fifth Third Bank, prior to the
Disciplined Large Cap Value Fund's commencement of operations on January 27,
1997, as adjusted to reflect the expenses associated with the Fund (without
waivers or reimbursements). These collectively managed accounts were not
registered with the Securities and Exchange Commission and, therefore, were not
subject to the investment restrictions imposed by law on registered mutual
funds. If such accounts had been registered, the performance may have been
adversely affected. The performance shown reflects the deduction of fees for
value-added services associated with a mutual fund, such as investment
management and fund accounting fees. The performance also reflects reinvestment
of all dividends and capital-gains distributions. The inception dates for the
Institutional, Class B and Class C of the Disciplined Large Cap Value Fund are
August 11, 1998, October 11, 2000 and January 27, 1997, respectively. Prior to
such dates, quoted performance reflects performance of Class A Shares and is
adjusted to reflect expenses and applicable sales charges of Class B and Class
C.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
ConocoPhillips ........................................................ 3.59%
Chevron Corp. ......................................................... 3.42%
MetLife, Inc. ......................................................... 2.99%
Exxon Mobil Corp. ..................................................... 2.92%
Kraft Foods, Inc., Class A ............................................ 2.84%
Marathon Oil Corp. .................................................... 2.83%
Bank of America Corp. ................................................. 2.81%
Amgen, Inc. ........................................................... 2.57%
Schering-Plough Corp. ................................................. 2.45%
Time Warner, Inc. ..................................................... 2.45%
* Long-term securities.
+ Portfolio composition is subject to change.
18
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Disciplined Large Cap Value Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Disciplined Large Cap Value Russell 1000(R)
(Institutional Shares) Value Index
--------------------------- ---------------
7/31/98 $ 10,000 $ 10,000
$ 9,589 $ 9,000
12/98 $ 10,959 $ 10,495
$ 10,497 $ 10,645
$ 11,300 $ 11,846
$ 10,013 $ 10,685
12/99 $ 10,443 $ 11,266
$ 9,737 $ 11,320
$ 10,386 $ 10,789
$ 11,149 $ 11,638
12/00 $ 11,774 $ 12,056
$ 10,509 $ 11,350
$ 10,743 $ 11,904
$ 9,765 $ 10,601
12/01 $ 10,320 $ 11,382
$ 10,492 $ 11,848
$ 9,462 $ 10,839
$ 8,150 $ 8,804
12/02 $ 8,904 $ 9,615
$ 8,433 $ 9,148
$ 10,042 $ 10,728
$ 10,363 $ 10,949
12/03 $ 11,944 $ 12,503
$ 12,288 $ 12,882
$ 12,588 $ 12,995
$ 12,689 $ 13,196
12/04 $ 13,583 $ 14,565
$ 13,637 $ 14,578
$ 13,794 $ 14,822
$ 14,499 $ 15,398
12/05 $ 14,396 $ 15,593
$ 15,240 $ 16,518
$ 15,445 $ 16,615
$ 16,330 $ 17,649
12/06 $ 17,423 $ 19,061
$ 17,625 $ 19,298
$ 18,666 $ 20,248
$ 18,659 $ 20,199
12/07 $ 17,699 $ 19,028
$ 16,406 $ 17,369
$ 15,565 $ 16,446
7/31/08 $ 15,538 $ 16,387
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Value
Index. The Russell 1000(R) Value Index measures the performance of 1,000
securities found in the Russell universe with a less-than-average growth
orientation. Companies in this index generally have low price-to-book and
price-to-earning ratios, higher dividend yields and lower forecasted
growth values.
The Russell 1000(R) Value Index is unmanaged and does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
19
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Structured Large Cap Plus Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Structured Large
Cap Plus Fund (Institutional) declined 12.31% on a net of fee basis, trailing
its benchmarks, the Standard & Poor's 500 Index, which retreated 11.09%, and the
Russell 1000(R) Index, which dropped 10.62%.
Contending with a weakening U.S. economy, collapsing housing industry and
deteriorating credit market, equities struggled throughout the period. Soaring
oil prices and rising commodity prices added generally to inflationary
pressures, which further spooked investors. Meanwhile, the Federal Reserve, cut
its prime lending rate from 5.25% to 2.00% over the 12-month span during the
period.
The Fund's quantitative approach struggled for much of the period as stock
market leadership was very narrow and generally concentrated in companies with
considerable exposure to emerging markets and commodity prices. The Fund
generally maintained underweight positions, relative to the benchmark, in these
stocks as they generally experienced high price volatility and had high capital
expenditure levels - characteristics that the market has historically punished.
Meanwhile, sentiment factors influenced the markets to degrees not seen since
the Internet bubble and the underperformance of valuation factors was of
historic proportions.
Through the final two months of the period, however, sentiment factors reverted
to more traditional patterns and two other factor groups, earnings quality and
capital use, produced positive returns. This enabled the Fund to recoup a
significant portion of its previous losses during the period.
From a sector standpoint, the Fund's overweight position relative to the
benchmark in the economically sensitive consumer discretionary sector stocks
hindered returns, along with an underweight stake relative to the benchmark in
the defensively oriented consumer staples sector. Within the energy sector,
underweight stakes relative to the benchmark in the coal and consumable fuels
and exploration and production industries also dragged on performance.
Positive contributions came from an underweight exposure relative to the
benchmark to the sliding financials sector and a modest overweight in the
materials sector. Further boosting returns was the Fund's short positioning -
shares borrowed and sold with the expectation of a price drop that will allow
for replacement shares to be purchased at a lower price.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
The Fund is subject to risks associated with short selling, which may result in
the Fund sustaining greater losses or lower returns than if the Fund held only
long positions.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional -12.31% 6.32% 1.70% $11,833
- --------------------------------------------------------------------------------
Class A Shares -17.02% 4.93% 0.91% $10,949
- --------------------------------------------------------------------------------
Class B Shares -17.56% 4.93% 0.67% $10,688
- --------------------------------------------------------------------------------
Class C Shares -13.29% 5.25% 0.67% $10,691
- --------------------------------------------------------------------------------
Russell 1000(R) Index(1) -10.62% 7.55% 3.38% $13,947
- --------------------------------------------------------------------------------
S&P 500 Index(1) -11.09% 7.03% 2.91% $13,317
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees as well as dividends on
short sales. Without such waiver of fees, the total returns would have been
lower. As of 7/31/08, the gross expense ratios are 1.76% (Institutional Shares),
2.01% (Class A) and 2.76% (Classes B & C). The total return figures for
Institutional Shares reflect a sales charge of 0.0%. The total return figures
for A Shares reflect the maximum sales charge of 5.0%. The total return figures
for B Shares and C Shares reflect the maximum contingent deferred sales charge
(CDSC) of 5.0% and 1.0% within the first year, respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
October 29, 2001, the quoted performance of the Structured Large Cap Plus Fund
Institutional Shares reflects the performance of the Kent Growth and Income Fund
Institutional Shares with an inception date of November 2, 1992. Prior to
October 29, 2001, the quoted performance for the Class A Shares reflects
performance of the Kent Growth and Income Fund Investment Shares, with an
inception date of December 1, 1992, adjusted for maximum sales charge. The
inception date of Class B and Class C Shares is October 29, 2001. The quoted
performance of Class B and Class C Shares reflects the performance of the
Institutional Shares and is adjusted to reflect expenses and applicable sales
charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ...................................................... 3.54%
Qualcomm, Inc. ......................................................... 2.07%
Microsoft Corp. ........................................................ 1.89%
JPMorgan Chase & Co. ................................................... 1.76%
Procter & Gamble Co. ................................................... 1.73%
Intel Corp. ............................................................ 1.68%
AT&T, Inc. ............................................................. 1.65%
Gilead Sciences, Inc. .................................................. 1.62%
McDonald's Corp. ....................................................... 1.56%
ConocoPhillips ......................................................... 1.44%
+ Portfolio composition is subject to change.
20
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Structured Large Cap Plus Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Structured Large Cap Plus Russell 1000(R) S&P 500
(Institutional Shares) Index Index
------------------------- --------------- --------
7/31/98 $ 10,000 $ 10,000 $ 10,000
$ 9,161 $ 9,078 $ 9,102
12/98 $ 11,102 $ 11,064 $ 11,041
$ 11,592 $ 11,520 $ 11,591
$ 12,365 $ 12,341 $ 12,407
$ 11,588 $ 11,526 $ 11,634
12/99 $ 13,188 $ 13,378 $ 13,365
$ 13,325 $ 13,962 $ 13,669
$ 12,927 $ 13,482 $ 13,305
$ 12,680 $ 13,579 $ 13,177
12/00 $ 11,704 $ 12,336 $ 12,146
$ 10,310 $ 10,786 $ 10,706
$ 10,845 $ 11,466 $ 11,332
$ 9,307 $ 9,720 $ 9,669
12/01 $ 10,204 $ 10,800 $ 10,702
$ 10,221 $ 10,880 $ 10,732
$ 8,849 $ 9,416 $ 9,294
$ 7,244 $ 7,823 $ 7,688
12/02 $ 7,778 $ 8,461 $ 8,337
$ 7,506 $ 8,213 $ 8,075
$ 8,553 $ 9,505 $ 9,318
$ 8,741 $ 9,790 $ 9,564
12/03 $ 9,809 $ 10,991 $ 10,729
$ 10,050 $ 11,200 $ 10,910
$ 10,145 $ 11,357 $ 11,098
$ 9,915 $ 11,151 $ 10,890
12/04 $ 10,853 $ 12,244 $ 11,896
$ 10,816 $ 12,011 $ 11,640
$ 10,934 $ 12,257 $ 11,800
$ 11,222 $ 12,741 $ 12,225
12/05 $ 11,470 $ 13,011 $ 12,481
$ 12,047 $ 13,596 $ 13,007
$ 11,829 $ 13,370 $ 12,819
$ 12,539 $ 14,046 $ 13,546
12/06 $ 13,382 $ 15,023 $ 14,453
$ 13,525 $ 15,205 $ 14,545
$ 14,202 $ 16,101 $ 15,458
$ 14,003 $ 16,420 $ 15,772
12/07 $ 13,693 $ 15,890 $ 15,247
$ 12,078 $ 14,383 $ 13,807
$ 11,800 $ 14,111 $ 13,430
7/31/08 $ 11,833 $ 13,947 $ 13,317
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Russell 1000(R) Index and
the S&P 500 Index. The Russell 1000(R) Index measures the performance of
1,000 largest securities found in the Russell universe. The S&P 500 Index
measures the performance of 500 selected common stocks, most of which are
listed on the New York Stock Exchange, and is a measure of the U.S. stock
market as a whole.
The Russell 1000(R) Index and the S&P 500 Index are unmanaged and do not
reflect the deduction of fees associated with a mutual fund such as
investment management and fund accounting fees. However, the Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
21
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Equity Index Fund
(Institutional) dropped 11.27% on a net of fee basis, compared to its benchmark,
the S&P 500 Index, which fell 11.09%.
As the Fund seeks to duplicate the returns of the S&P 500 Index, slight
underperformance is expected, due primarily to Fund management fees.
Opportunities to make up a modest measure of performance can arise when the
Index changes its membership. During the period, 31 Index changes were
implemented, including 20 related to merger and acquisition activity, which
slowed considerably starting in January 2008.
Systemic problems swept through the U.S. credit markets during the period,
crippling the mortgage-backed securities industry and severely restricting
opportunities in other bond markets. Yet instead of jumping into equities, many
investors turned to commodity markets, where prices on oil, grain and raw
materials soared, partially reflecting strong global demand. Stock prices
suffered as a result, especially as the credit market woes, collapsing housing
market and climbing inflationary pressures contributed to a worsening
macroeconomic outlook.
For the fund the poorest performing sector by far during the period was
financials, which suffered the brunt of the fallout from the credit market mess.
Highly leveraged institutions tumbled amid dramatic markdowns on all types of
debt and the virtual collapse of Wall Street giant Bear Stearns upended the
entire financial system. Other top detractors in the portfolio included the
telecommunication services and consumer discretionary sectors, which both took
hits as consumer confidence fell.
Gainers offered modest returns in the portfolio, led by the energy sector, which
soared amid spiking prices on oil and natural gas, but gave back a sizable
portion of gains in the period's closing weeks. The consumer staples sector
lived up to its traditional defensive role and provided a relative lift, as did
the materials sector, which benefited from surging grain and raw materials
prices.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests substantially all of its assets in common stock of companies
that make up the S&P 500 Index. The Advisor attempts to track the performance of
the S&P 500 Index to achieve a correlation of 95% between the performance of the
Fund and that of the S&P 500 Index without taking into account the Fund's
expenses.
It is important to remember that there are risks associated with index
investing, including the potential risk of market decline, as well as the risks
associated with investing in specific companies.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional -11.27% 6.80% 2.64% $12,972
- --------------------------------------------------------------------------------
Class A Shares -15.94% 5.45% 1.85% $12,017
- --------------------------------------------------------------------------------
Class B Shares -16.51% 5.41% 1.61% $11,733
- --------------------------------------------------------------------------------
Class C Shares -12.17% 5.74% 1.62% $11,739
- --------------------------------------------------------------------------------
Select Shares -11.32% 6.71% 2.56% $12,874
- --------------------------------------------------------------------------------
Preferred Shares -11.38% 6.63% 2.48% $12,781
- --------------------------------------------------------------------------------
Trust Shares -11.51% 6.53% 2.38% $12,656
- --------------------------------------------------------------------------------
S&P 500 Index(1) -11.09% 7.03% 2.91% $13,317
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.60% (Institutional Shares), 0.85% (Class A), 0.68% (Select Shares),
0.75% (Preferred Shares), 0.85% (Trust shares) and 1.60% (Classes B & C). The
total return figures for Institutional Shares reflect a sales charge of 0.0%.
The total return figures for A Shares reflect the maximum sales charge of 5.0%.
The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
October 29, 2001,the quoted performance of the Equity Index Fund Institutional
Shares reflects the performance of the Kent Index Equity Fund Institutional
Shares with an inception date of November 2, 1992. Prior to October 29, 2001,
the quoted performance for the Class A Shares reflects the performance of the
Kent Index Equity Fund Investment Shares, with an inception date of November 25,
1992, adjusted for maximum sales charge. The inception date for the Class B and
Class C is October 29, 2001. Prior to such date, quoted performance of Class B
and Class C reflects performance of the Institutional Shares and is adjusted to
reflect expenses and applicable sales charges for Class Band Class C. The
inception date for the Select, Preferred and Trust Shares is October 20, 2003.
Prior to such date, quoted performance of the Select, Preferred and Trust Shares
reflects performance of the Institutional Shares and is adjusted to reflect
expenses for Select, Preferred and Trust Shares.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ...................................................... 3.47%
General Electric Co. ................................................... 2.30%
Microsoft Corp. ........................................................ 1.68%
Procter & Gamble Co. ................................................... 1.63%
Johnson & Johnson ...................................................... 1.57%
AT&T, Inc. ............................................................. 1.49%
International Business Machines Corp. .................................. 1.44%
Chevron Corp. .......................................................... 1.43%
Bank of America Corp. .................................................. 1.22%
JPMorgan Chase & Co. ................................................... 1.14%
* Long-term securities.
+ Portfolio composition is subject to change.
22
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Equity Index
(Institutional Shares) S&P 500 Index
---------------------- -------------
7/31/98 $ 10,000 $ 10,000
$ 9,099 $ 9,102
12/98 $ 11,033 $ 11,041
$ 11,577 $ 11,591
$ 12,382 $ 12,407
$ 11,592 $ 11,634
12/99 $ 13,300 $ 13,365
$ 13,595 $ 13,669
$ 13,222 $ 13,305
$ 13,089 $ 13,177
12/00 $ 12,064 $ 12,146
$ 10,624 $ 10,706
$ 11,235 $ 11,332
$ 9,578 $ 9,669
12/01 $ 10,590 $ 10,702
$ 10,609 $ 10,732
$ 9,181 $ 9,294
$ 7,589 $ 7,688
12/02 $ 8,223 $ 8,337
$ 7,961 $ 8,075
$ 9,179 $ 9,318
$ 9,410 $ 9,564
12/03 $ 10,541 $ 10,729
$ 10,712 $ 10,910
$ 10,887 $ 11,098
$ 10,679 $ 10,890
12/04 $ 11,662 $ 11,896
$ 11,406 $ 11,640
$ 11,557 $ 11,800
$ 11,968 $ 12,225
12/05 $ 12,212 $ 12,481
$ 12,725 $ 13,007
$ 12,533 $ 12,819
$ 13,239 $ 13,546
12/06 $ 14,119 $ 14,453
$ 14,203 $ 14,545
$ 15,096 $ 15,458
$ 15,392 $ 15,772
12/07 $ 14,868 $ 15,247
$ 13,453 $ 13,807
$ 13,085 $ 13,430
7/31/08 $ 12,972 $ 13,317
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the S&P 500 Index. The S&P 500
Index measures the performance of 500 selected common stocks, most of
which are listed on the New York Stock Exchange, and is a measure of the
U.S. stock market as a whole.
The S&P 500 Index is an unmanaged index and does not reflect the deduction
of fees associated with a mutual fund such as investment management and
fund accounting fees. However, the Fund's performance reflects the
deduction of fees for these value-added services. Investors cannot invest
directly in an index, although they can invest in its underlying mutual
funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
23
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
International Equity Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third International
Equity Fund (Institutional) fell 13.56% on a net of fee basis, lagging its
benchmark, the MSCI EAFE Index, which declined 12.19%.
Financial market woes stemming from the floundering U.S. mortgage market spread
elsewhere across the globe during the period. In turn, the credit market
troubles exacerbated slowing economic growth rates, while soaring prices of oil,
grains and raw materials - due in part to solid demand from robust emerging
economies - prompted increased worries over inflation. In general, the rapid
growth of developing countries insulated emerging market stocks, which generally
have more exposure to commodity markets and generally fared better than equities
from established economies.
The Fund's strategy changed on November 29, 2007, from a broad approach to a
more focused approach driven by quantitative analysis that emphasizes stock
selection as the primary driver of investment decisions, with secondary
contributions at the country and sector levels. During the transition period,
the number of holdings in the Fund was reduced from more than 1,000 stocks to
fewer than 225.
Despite negative performance, in the first quarter of 2008 stock selection in
the financials, industrials and consumer staples sectors aided performance
relative to the benchmark, as did holdings in Germany and Switzerland.
Detractors included exposure in the consumer discretionary sector, especially
among positions the United Kingdom and Australia, as well as stock selection in
the utilities sector.
Performance suffered, however, in the final four months of the period as
dramatic price volatility and gloomy global growth prospects challenged stock
selection in the commercial banks and metals and mining industries, as well as
in the industrials sector. Select energy and telecommunication services holdings
provided a lift relative to the benchmark.
Among the four factors that drive stock selection in the quantitative model
employed by the Fund - valuation, sentiment, capital use and earnings quality -
sentiment thrived for much of the period amid strong momentum swings. The other
three generally suffered in the wake of varied market challenges.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
An investment in this Fund entails the special risks of international investing,
including currency exchange fluctuation, government regulations, and the
potential for political and economic instability. The Fund's share price is
expected to be more volatile than that of a U.S.-only fund.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional -13.56% 13.85% 4.59% $15,665
- --------------------------------------------------------------------------------
Class A Shares -18.13% 12.38% 3.84% $14,579
- --------------------------------------------------------------------------------
Class B Shares -18.38% 12.46% 3.58% $14,218
- --------------------------------------------------------------------------------
Class C Shares -14.43% 12.72% 3.60% $14,242
- --------------------------------------------------------------------------------
MSCI EAFE Index(1) -12.19% 15.35% 5.38% $16,889
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.36% (Institutional Shares), 1.60% (Class A) and 2.36% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. Class A Shares were
initially offered on August 18, 1994. Class B and Class C Shares were initially
offered on October 11, 2000 and April 25, 1996, respectively. The performance
figures for Class B and Class C Shares for periods prior to such date represent
the performance for Class A Shares adjusted to reflect expenses and applicable
sales charges for Class B and Class C Shares. Institutional Shares were
initially offered on October 9, 1998.The performance figures for Institutional
Shares for periods prior to such date represent the performance for Class A
Shares.
- --------------------------------------------------------------------------------
Top Ten Equity Holdings as of July 31, 2008*
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
Nestle SA .............................................................. 2.05%
BP PLC ................................................................. 1.83%
Banco Santander Central Hispano SA ..................................... 1.69%
ENI SpA ................................................................ 1.52%
Total SA ............................................................... 1.50%
AstraZeneca PLC ........................................................ 1.46%
ING Groep NV ........................................................... 1.45%
France Telecom SA ...................................................... 1.37%
Telefonica SA .......................................................... 1.36%
BASF SE ................................................................ 1.35%
* Long-term securities.
+ Portfolio composition is subject to change.
24
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
International Equity Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
International Equity
(Institutional Shares) MSCI EAFE(R) Index
---------------------- ------------------
7/31/98 $ 10,000 $ 10,000
$ 8,623 $ 8,493
12/98 $ 9,872 $ 10,243
$ 9,994 $ 10,386
$ 10,198 $ 10,674
$ 10,574 $ 11,140
12/99 $ 12,450 $ 13,010
$ 12,156 $ 12,997
$ 11,746 $ 12,504
$ 10,970 $ 11,493
12/00 $ 10,676 $ 11,167
$ 9,470 $ 9,636
$ 9,418 $ 9,536
$ 8,459 $ 8,201
12/01 $ 8,765 $ 8,772
$ 8,901 $ 8,817
$ 8,786 $ 8,630
$ 7,209 $ 6,927
12/02 $ 7,559 $ 7,374
$ 6,928 $ 6,768
$ 8,042 $ 8,073
$ 8,631 $ 8,729
12/03 $ 10,073 $ 10,219
$ 10,233 $ 10,663
$ 10,383 $ 10,686
$ 10,233 $ 10,656
12/04 $ 11,681 $ 12,289
$ 11,550 $ 12,268
$ 11,419 $ 12,145
$ 12,704 $ 13,405
12/05 $ 13,312 $ 13,952
$ 14,526 $ 15,263
$ 14,401 $ 15,370
$ 14,877 $ 15,973
12/06 $ 16,281 $ 17,627
$ 17,027 $ 18,345
$ 18,472 $ 19,520
$ 19,031 $ 19,945
12/07 $ 18,685 $ 19,596
$ 17,213 $ 17,851
$ 16,369 $ 17,449
7/31/08 $ 15,665 $ 16,889
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifthirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Morgan Stanley Capital
International (MSCI) Europe, Australasia and Far East (EAFE)(R) Index. The
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far
East (EAFE)(R) Index is generally representative of a sample of companies
of the market structure of 20 European and Pacific Basin countries.
The MSCI EAFE(R) Index does not reflect the deduction of fees associated
with a mutual fund such as investment management and fund accounting fees.
However, the Fund's performance reflects the deduction of fees for these
value-added services. Investors cannot invest directly in an index,
although they can invest in its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2008.
25
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Strategic Income Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Strategic Income
Fund (Institutional) declined 8.30% on a net of fee basis, lagging its primary
benchmark, the Lehman Brothers U.S. Aggregate Bond Index, which advanced 6.15%,
and its secondary benchmark, the Lehman Brothers Intermediate Credit Bond Index,
which returned 3.72%.
In the wake of what was admittedly an ugly period, it's worth repeating that the
Fund's objective is to seek a high level of income consistent with reasonable
risk. The Fund's secondary objective is to seek capital appreciation. To that
end, the Fund successfully maintained its income payment levels during the
12-month span, despite significant downturns in many of its holdings.
By far, the poorest performing assets in the Fund were preferred stocks, which
lagged 10-year Treasury notes by more than 24% during the period. Predominantly
issued by financial institutions, preferred stocks were hard hit by the credit
crunch and housing market collapse, which prompted many investors to flee
bank-related securities. Although the Fund's exposure had been trimmed
significantly over the past several years and the remaining issues were
generally of high quality, its still-considerable weighting in the group hurt.
In general, Treasuries benefited from a flight to quality during the 12-month
period and outperformed all other types of investments. As a result, the Fund's
corporate bond, real estate investment trusts and dividend-paying common stocks
diminished returns relative to the primary benchmark.
Positive contributions came from a small stake in foreign-based investments,
which received a lift from a weaker U.S. dollar, and select high quality
corporate bond holdings in sectors such as consumer staples and industrials.
Overall, the Fund is not built to be a core bond strategy, but is designed to be
an income-generating Fund, which can be subject to market volatility. To that
end, it maintains a minimal exposure to Treasuries while seeking out solid
investment opportunities that the Advisor believes offer high potential for
benchmark-beating returns over the long haul.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Equity securities (stocks) are more volatile and carry more risk than other
forms of investments, including investments in high-grade fixed income
securities. The net asset value per share of this Fund will fluctuate as the
value of the securities in the portfolio changes.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional -8.30% 2.73% 4.89% $16,112
- --------------------------------------------------------------------------------
Class A Shares -13.06% 1.43% 4.05% $14,872
- --------------------------------------------------------------------------------
Class B Shares -13.35% 1.43% 3.95% $14,735
- --------------------------------------------------------------------------------
Class C Shares -9.12% 1.74% 3.91% $14,674
- --------------------------------------------------------------------------------
Lehman Brothers
U.S. Aggregate Bond
Index(1) 6.15% 4.55% 5.63% $17,331
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Credit
Bond Index(1) 3.72% 3.84% 5.56% $17,184
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.35% (Institutional Shares), 1.60% (Class A) and 2.35% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
For the period prior to October 22,2001,the quoted performance for the Fifth
Third Strategic Income Fund Institutional Shares reflects the performance of the
Fifth Third/ Maxus Income Fund Institutional Shares with an inception date of
September 1, 1998. Prior to September 1, 1998 the quoted performance reflects
the performance for the Fifth Third/Maxus Income Fund Investor Shares. Class A,
Class B and Class C Shares were initially offered on April 1, 2004, April 1,
2004 and October 29, 2001, respectively. The performance figures for Class A,
Class B and Class C Shares for periods prior to such dates represent the
performance for Advisor Shares and is adjusted to reflect expenses and
applicable sales charges for the respective share class. Prior to October 22,
2001, the quoted performance for Advisor Shares reflects the performance of the
Fifth Third/Maxus Income Fund Investor Shares with an inception date of March
10, 1985.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Preferred Stocks 44.00%
Investment Companies 22.60%
Corporate Bonds 14.80%
Foreign Bonds 6.30%
Investments in Affiliates 5.70%
Mortgage-Backed Securities 5.10%
Common Stocks 4.30%
U.S. Government Agencies 3.70%
Asset-Backed Securities 1.80%
+ Portfolio composition is subject to change.
26
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Strategic Income Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Lehman Brothers
Strategic Income Intermediate Credit Lehman Brothers
(Institutional Shares) Bond Index Aggregate Bond Index
---------------------- ------------------- --------------------
7/31/98 $ 10,000 $ 10,000 $ 10,000
$ 10,020 $ 10,373 $ 10,401
12/98 $ 10,113 $ 10,415 $ 10,436
$ 10,046 $ 10,416 $ 10,384
$ 10,351 $ 10,331 $ 10,293
$ 10,019 $ 10,403 $ 10,363
12/99 $ 9,534 $ 10,432 $ 10,350
$ 9,937 $ 10,561 $ 10,578
$ 10,531 $ 10,714 $ 10,763
$ 10,843 $ 11,057 $ 11,087
12/00 $ 11,110 $ 11,419 $ 11,553
$ 11,715 $ 11,872 $ 11,904
$ 12,103 $ 11,992 $ 11,971
$ 12,308 $ 12,491 $ 12,523
12/01 $ 12,569 $ 12,534 $ 12,529
$ 12,735 $ 12,513 $ 12,540
$ 13,086 $ 12,910 $ 13,004
$ 13,345 $ 13,451 $ 13,600
12/02 $ 13,559 $ 13,805 $ 13,814
$ 13,829 $ 14,116 $ 14,006
$ 14,574 $ 14,683 $ 14,356
$ 14,481 $ 14,701 $ 14,335
12/03 $ 14,959 $ 14,759 $ 14,381
$ 15,522 $ 15,176 $ 14,763
$ 14,800 $ 14,748 $ 14,402
$ 15,525 $ 15,244 $ 14,863
12/04 $ 15,997 $ 15,361 $ 15,004
$ 15,642 $ 15,182 $ 14,932
$ 16,224 $ 15,601 $ 15,382
$ 16,247 $ 15,520 $ 15,278
12/05 $ 16,307 $ 15,580 $ 15,369
$ 16,559 $ 15,497 $ 15,270
$ 16,448 $ 15,506 $ 15,258
$ 17,175 $ 16,075 $ 15,839
12/06 $ 17,654 $ 16,280 $ 16,035
$ 17,924 $ 16,555 $ 16,276
$ 17,749 $ 16,489 $ 16,192
$ 17,771 $ 16,827 $ 16,653
12/07 $ 17,075 $ 17,192 $ 17,152
$ 17,072 $ 17,414 $ 17,524
$ 16,693 $ 17,239 $ 17,345
7/31/08 $ 16,112 $ 17,184 $ 17,331
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers
Intermediate Credit Bond Index and the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Intermediate Credit Bond Index is generally
representative of investment grade corporate bonds with maturities from
one to ten years. The Lehman Brothers Aggregate Bond Index is generally
representative of the bond market as a whole.
The Lehman Brothers Intermediate Credit Bond Index and the Lehman Brothers
Aggregate Bond Index are unmanaged and do not reflect the deduction of
fees associated with a mutual fund such as investment management and fund
accounting fees. However, the Fund's performance reflects the deduction of
fees for these value-added services. Investors cannot invest directly in
an index, although they can invest in its underlying mutual funds or
securities.
(2) The Ending Value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
27
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Aggressive Fund(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third LifeModel
Aggressive Fund (Institutional) declined 9.45% on a net of fee basis, while its
benchmark, a blend of the Dow Jones Wilshire 5000 Index and the Lehman Brothers
Intermediate Government/Credit Bond Index, declined 8.48%.
Volatility roiled investors throughout the period, which featured an all-time
high for the Standard & Poor's 500 Index, as well as a 20% fall from that peak.
Economic growth slowed in the U.S., commodity prices hit record highs and the
U.S. housing market continued to implode. Fixed income markets featured a
massive flight to quality as an early period aversion to mortgage backed
securities spread to asset backed securities, municipal bonds and corporate
bonds.
Most stock indices posted considerable losses for the 12- month period, but with
less exposure to banks forced to write off billions of dollars worth of devalued
mortgage-related bonds, small and mid cap stocks generally outperformed large
cap equities. International stocks also struggled, although emerging market
equities tended to perform somewhat better than those in established economies
due to robust demand for raw materials. Within fixed income markets, short-term
issues outperformed long- term bonds as the Federal Reserve slashed its key
lending rate from 5.25% to 2.00% over the 12-month period.
While negative within the Fund, a timely shift in exposure to international
stocks aided performance as it benefited from a larger position earlier in the
period and a smaller position through the closing months. Conversely, an
underweight position, relative to the benchmark, in Treasury securities weighed
on the fixed income portion of the Fund.
At the period's end, global economies were slowing, commodity prices remained
elevated, inflationary pressures kept building and financial strains seemed to
continue unabated. Nevertheless, we believe some positive developments exist.
For example, preliminary signs of a housing market bottom seemed to have
emerged, commodity prices started the third quarter well off recent highs and
corporate earnings outside of the financials sector held up relatively well.
While we expect that a rebound in economic activity likely remains months away,
we believe high quality, large company growth stocks are priced at compelling
valuations. Concerns linger, however, over the fixed income market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests. Stocks are more
volatile and carry more risk and return potential than other forms of
investments. Bonds offer a relatively stable level of income, although bond
prices will fluctuate, providing the potential for principal gain or loss. Cash
equivalents offer low risk and low return potential.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------- ------ --------- --------
Institutional 8/1/02 -9.45% 8.10% 9.05% $16,819
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 -14.26% 6.70% 7.81% $15,706
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 -14.48% 6.71% 7.82% $15,713
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 -10.44% 7.01% 7.94% $15,816
- --------------------------------------------------------------------------------
Dow Jones
Wilshire 5000 Index(1) -11.94% 6.16% 6.93% $14,954
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Government/
Credit Bond Index(1) 6.56% 4.10% 4.50% $13,028
- --------------------------------------------------------------------------------
LifeModel Aggressive
Target Neutral Asset
Class Index Blend(3) -8.48% 7.73% 8.49% $16,315
- --------------------------------------------------------------------------------
LifeModel Aggressive
Target Neutral Style
Class Index Blend(4) 2.55% 5.64% 5.96% $14,161
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.49% (Institutional Shares), 0.74% (Class A) and 1.49% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments(1)
- --------------------------------------------------------------------------------
[BAR CHART]
Fifth Third International Equity Fund 22.20%
Fifth Third Structured Large Cap Plus Fund 15.10%
Fifth Third Disciplined Large Cap Value Fund 13.10%
Fifth Third Quality Growth Fund 12.70%
Fifth Third All Cap Value Fund 9.30%
Fifth Third Mid Cap Growth Fund 9.00%
Fifth Third Total Return Bond Fund 6.10%
Fifth Third Small Cap Value Fund 4.90%
Fifth Third Small Cap Growth Fund 4.60%
Fifth Third Short Term Bond Fund 2.20%
Fifth Third High Yield Bond Fund 0.40%
Fifth Third Institutional Money Market Fund 0.40%
+ Portfolio composition is subject to change.
28
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Aggressive Fund(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Lehman Brothers LifeModel Aggressive LifeModel Aggressive
LifeModel Aggressive Dow Jones Wilshire Intermediate Target Neutral Asset Class Target Neutral Style
(Institutional Shares) 5000 Index Government/Credit Bond Index Index Blend Class Index Blend
---------------------- ------------------ ---------------------------- -------------------------- ------------------------
8/1/02 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
$ 9,070 $ 9,021 $ 10,331 $ 9,177 $ 10,019
12/02 $ 9,798 $ 9,682 $ 10,506 $ 9,844 $ 10,320
$ 9,346 $ 9,344 $ 10,664 $ 9,585 $ 10,362
$ 10,990 $ 10,842 $ 10,954 $ 11,031 $ 10,928
$ 11,562 $ 11,198 $ 10,952 $ 11,400 $ 11,058
12/03 $ 13,136 $ 12,533 $ 10,959 $ 12,672 $ 11,405
$ 13,455 $ 12,811 $ 11,230 $ 13,002 $ 11,689
$ 13,491 $ 12,933 $ 10,946 $ 13,119 $ 11,527
$ 13,062 $ 12,642 $ 11,242 $ 12,944 $ 11,746
12/04 $ 14,267 $ 13,870 $ 11,292 $ 14,150 $ 12,108
$ 14,010 $ 13,505 $ 11,193 $ 13,834 $ 12,024
$ 14,399 $ 13,760 $ 11,471 $ 14,176 $ 12,320
$ 15,038 $ 14,254 $ 11,411 $ 14,668 $ 12,420
12/05 $ 15,344 $ 14,503 $ 11,470 $ 14,982 $ 12,545
$ 16,372 $ 15,228 $ 11,426 $ 15,721 $ 12,699
$ 15,981 $ 14,865 $ 11,450 $ 15,453 $ 12,670
$ 16,488 $ 15,461 $ 11,816 $ 16,103 $ 13,112
12/06 $ 17,511 $ 16,498 $ 11,938 $ 17,178 $ 13,457
$ 17,958 $ 16,658 $ 12,128 $ 17,437 $ 13,690
$ 19,147 $ 17,597 $ 12,110 $ 18,374 $ 13,830
$ 19,460 $ 17,776 $ 12,458 $ 18,665 $ 14,148
12/07 $ 19,124 $ 17,122 $ 12,820 $ 18,203 $ 14,351
$ 17,389 $ 15,416 $ 13,205 $ 16,676 $ 14,308
$ 17,067 $ 15,106 $ 13,003 $ 16,436 $ 14,204
7/31/08 $ 16,819 $ 14,954 $ 13,028 $ 16,315 $ 14,161
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Dow Jones Wilshire 5000
Index, and the Lehman Brothers Intermediate Government/Credit Bond Index.
The Dow Jones Wilshire 5000 Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The
Lehman Brothers Intermediate Government/Credit Bond Index is composed of
investment grade corporate debt issues as well as debt issues of U.S.
government agencies and the U.S. Treasury. The debt issues all maintain
maturities within a range of one to ten years.
The Dow Jones Wilshire 5000 Index and the Lehman Brothers Intermediate
Government/Credit Bond Index are unmanaged and do not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
(3) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Dow Jones Wilshire 5000 Index (90%) and the Lehman
Brothers Intermediate Government/Credit Bond Index (10%). The LifeModel
Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
(4) The LifeModel Aggressive Target Neutral Style Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
29
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Aggressive Fund(SM)
- --------------------------------------------------------------------------------
LifeModel Aggressive Target Neutral Style Class Index Blend
Small Cap Growth Index(5) ............................................. 4.5%
Small Cap Value Index(6) .............................................. 4.5%
International Index(7) ................................................ 18.0%
Mid Cap Growth Index(8) ............................................... 9.0%
Mid Cap Value Index(9) ................................................ 9.0%
Large Cap Growth Index(10) ............................................ 15.5%
Large Cap Value Index(11) ............................................. 15.5%
Large Cap Core Index(12) .............................................. 14.0%
High Yield Bond Index(13) ............................................. 0.5%
Total Return Bond Index(14) ........................................... 7.0%
Short Term Bond Index(15) ............................................. 2.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies that have higher price-to-book values and higher forecasted
growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The
Russell 2000(R) Value Index measures the performance of those Russell 2000
companies that have lower price-to-book ratios and lower forecasted growth
values.
(7) The International Index represents the MSCI EAFE(R) Index. The MSCI
EAFE(R) Index is a widely recognized, unmanaged index composed of a
sample of companies representative of the market structure of 20 European
and Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell MidCap(R) Growth Index.
The Russell MidCap(R) Growth Index measures the performance of those
Russell MidCap companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell MidCap(R) Value Index. The
Russell MidCap(R) Value Index measures the performance of those Russell
MidCap companies with lower price-to-book ratios and lower forecasted
growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000 companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The
Russell 1000(R) Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth
values.
(12) The Large Cap Core Index represents the Standard & Poor's 500(R) Index.
The Standard & Poor's 500(R) Index is comprised of 500 selected common
stocks, most of which are listed on the New York Stock Exchange, and is a
measure of the U.S. Stock market as a whole.
(13) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index. The Merrill Lynch High Yield Master Index tracks the performance of
below investment grade, U.S. dollar-denominated corporate bonds publicly
issued in the U.S. domestic market. Qualifying bonds must have at least
one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
(14) The Total Return Bond Index represents the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Aggregate Bond Index is a market value-weighted
performance benchmark for investment-grade fixed-rate debt issues,
including government, corporate, asset-backed and mortgage-backed
securities with maturities of at least one year.
(15) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government
Corporate Bond Index. The Merrill Lynch 1-3 Year Government Corporate Bond
Index tracks the trading of short-term U.S. government securities and
short-term domestic investment-grade corporate bonds with maturities
between 1 and 2.99 years.
30
This page intentionally left blank.
31
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Aggressive Fund(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third LifeModel
Moderately Aggressive Fund (Institutional) declined 7.76% on a net of fee basis,
while its benchmark, a blend of the Dow Jones Wilshire 5000 Index and the Lehman
Brothers Intermediate Government/Credit Bond Index, dropped 5.17%.
Volatility roiled investors throughout the period, which featured an all-time
high for the Standard & Poor's 500 Index, as well as a 20% fall from that peak.
Economic growth slowed in the U.S., commodity prices hit record highs and the
U.S. housing market continued to implode. Fixed income markets featured a
massive flight to quality as an early period aversion to mortgage backed
securities spread to asset backed securities, municipal bonds and corporate
bonds.
Most stock indices posted considerable losses for the 12-month period, but with
less exposure to banks forced to write off billions of dollars worth of devalued
mortgage-related bonds, small and mid cap stocks generally outperformed large
cap equities. International stocks also struggled, although emerging market
equities tended to perform somewhat better than those in established economies
due to robust demand for raw materials. Within fixed income markets, short-term
issues outperformed long-term bonds as the Federal Reserve slashed its key
lending rate from 5.25% to 2.00% over the 12-month period.
While negative within the Fund, a timely shift in exposure to international
stocks aided performance as it benefited from a larger position earlier in the
period and a smaller position through the closing months. Conversely, an
underweight position, relative to the benchmark, in Treasury securities weighed
on the fixed income portion of the Fund.
At the period's end, global economies were slowing, commodity prices remained
elevated, inflationary pressures kept building and financial strains seemed to
continue unabated. Nevertheless, we believe some positive developments exist.
For example, preliminary signs of a housing market bottom seemed to have
emerged, commodity prices started the third quarter well off recent highs and
corporate earnings outside of the financials sector held up relatively well.
While we expect that a rebound in economic activity likely remains months away,
we believe high quality, large company growth stocks are priced at compelling
valuations. Concerns linger, however, over the fixed income market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests. Stocks are more
volatile and carry more risk and return potential than other forms of
investments. Bonds offer a relatively stable level of income, although bond
prices will fluctuate, providing the potential for principal gain or loss. Cash
equivalents offer low risk and low return potential.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------- ------ --------- --------
Institutional 8/1/02 -7.76% 6.94% 8.52% $16,333
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 -12.55% 5.59% 7.33% $15,284
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 -12.80% 5.56% 7.34% $15,295
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 -8.60% 5.89% 7.46% $15,401
- --------------------------------------------------------------------------------
Dow Jones Wilshire
5000 Index(1) -11.94% 6.16% 6.93% $14,954
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Government/
Credit Bond Index(1) 6.56% 4.10% 4.50% $13,028
- --------------------------------------------------------------------------------
LifeModel Moderately
Aggressive Target Neutral
Asset Class Index Blend(3) -5.17% 7.00% 7.72% $15,631
- --------------------------------------------------------------------------------
LifeModel Moderately
Aggressive Target Neutral
Style Class Index Blend(4) -2.38% 7.39% 7.80% $15,699
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.48% (Institutional Shares), 0.73% (Class A) and 1.48% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Fifth Third Total Return Bond Fund 19.80%
Fifth Third International Equity Fund 17.40%
Fifth Third Structured Large Cap Plus Fund 12.20%
Fifth Third Disciplined Large Cap Value Fund 10.10%
Fifth Third Quality Growth Fund 9.80%
Fifth Third All Cap Value Fund 7.30%
Fifth Third Short Term Bond Fund 7.10%
Fifth Third Mid Cap Growth Fund 7.00%
Fifth Third Small Cap Value Fund 3.80%
Fifth Third Small Cap Growth Fund 3.60%
Fifth Third High Yield Bond Fund 1.40%
Fifth Third Institutional Money Market Fund 0.40%
+ Portfolio composition is subject to change.
32
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Aggressive Fund(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
LifeModel
Moderately LifeModel
Aggressive Moderately
Target Aggressive
LifeModel Lehman Brothers Neutral Target
Moderately Intermediate Asset Neutral Style
Aggressive Dow Jones Wilshire Government/Credit Class Class
(Institutional Shares) 5000 Index Bond Index Index Blend Index Blend
---------------------- ------------------ ----------------- ----------- -------------
8/1/02 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
$ 9,700 $ 9,021 $ 10,331 $ 9,432 $ 9,643
12/02 $ 10,290 $ 9,682 $ 10,506 $ 10,009 $ 10,110
$ 10,011 $ 9,344 $ 10,664 $ 9,838 $ 9,983
$ 11,406 $ 10,842 $ 10,954 $ 11,044 $ 10,978
$ 11,866 $ 11,198 $ 10,952 $ 11,334 $ 11,280
12/03 $ 13,125 $ 12,533 $ 10,959 $ 12,312 $ 12,075
$ 13,421 $ 12,811 $ 11,230 $ 12,630 $ 12,419
$ 13,385 $ 12,933 $ 10,946 $ 12,647 $ 12,365
$ 13,117 $ 12,642 $ 11,242 $ 12,592 $ 12,443
12/04 $ 14,086 $ 13,870 $ 11,292 $ 13,513 $ 13,237
$ 13,871 $ 13,505 $ 11,193 $ 13,252 $ 13,098
$ 14,234 $ 13,760 $ 11,471 $ 13,583 $ 13,401
$ 14,710 $ 14,254 $ 11,411 $ 13,934 $ 13,754
12/05 $ 14,956 $ 14,503 $ 11,470 $ 14,184 $ 13,969
$ 15,757 $ 15,228 $ 11,426 $ 14,714 $ 14,441
$ 15,475 $ 14,865 $ 11,450 $ 14,526 $ 14,334
$ 15,981 $ 15,461 $ 11,816 $ 15,105 $ 14,857
12/06 $ 16,827 $ 16,498 $ 11,938 $ 15,922 $ 15,542
$ 17,222 $ 16,658 $ 12,128 $ 16,166 $ 15,852
$ 18,120 $ 17,597 $ 12,110 $ 16,836 $ 16,300
$ 18,422 $ 17,776 $ 12,458 $ 17,154 $ 16,597
12/07 $ 18,165 $ 17,122 $ 12,820 $ 16,936 $ 16,546
$ 16,857 $ 15,416 $ 13,205 $ 15,935 $ 15,925
$ 16,575 $ 15,106 $ 13,003 $ 15,715 $ 15,805
7/31/08 $ 16,333 $ 14,954 $ 13,028 $ 15,631 $ 15,699
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Dow Jones Wilshire 5000
Index, and the Lehman Brothers Intermediate Government/Credit Bond Index.
The Dow Jones Wilshire 5000 Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The
Lehman Brothers Intermediate Government/Credit Bond Index is composed of
investment grade corporate debt issues as well as debt issues of U.S.
government agencies and the U.S. Treasury. The debt issues all maintain
maturities within a range of one to ten years.
The Dow Jones Wilshire 5000 Index and the Lehman Brothers Intermediate
Government/Credit Bond Index are unmanaged and do not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
(3) The LifeModel Moderately Aggressive Target Neutral Asset Class Index Blend
is an unmanaged custom-blended index, created by Fifth Third Asset
Management, Inc., comprised of the Dow Jones Wilshire 5000 Index (70%) and
the Lehman Brothers Intermediate Government/Credit Bond Index (30%). The
LifeModel Moderately Aggressive Target Neutral Asset Class Index Blend is
a hypothetical blend only and does not represent underlying allocations in
the Fund.
(4) The LifeModel Moderately Aggressive Target Neutral Style Class Index Blend
is an index-based baseline style class allocation determined by the
Advisor to be optimal under static market and economic conditions. The
target neutral style class index blend is a hypothetical blend only and
does not represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
33
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Aggressive Fund(SM)
- --------------------------------------------------------------------------------
LifeModel Moderately Aggressive Target Neutral
Style Class Index Blend
Small Cap Growth Index(5) ............................................. 3.5%
Small Cap Value Index(6) .............................................. 3.5%
International Index(7) ................................................ 14.0%
Mid Cap Growth Index(8) ............................................... 7.0%
Mid Cap Value Index(9) ................................................ 7.0%
Large Cap Growth Index(10) ............................................ 12.0%
Large Cap Value Index(11) ............................................. 12.0%
Large Cap Core Index(12) .............................................. 11.0%
High Yield Bond Index(13) ............................................. 1.5%
Total Return Bond Index(14) ........................................... 21.0%
Short Term Bond Index(15) ............................................. 7.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies that have higher price-to-book values and higher forecasted
growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The
Russell 2000(R) Value Index measures the performance of those Russell 2000
companies that have lower price-to-book ratios and lower forecasted growth
values.
(7) The International Index represents the MSCI EAFE(R) Index. The MSCI
EAFE(R) Index is a widely recognized, unmanaged index composed of a sample
of companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell MidCap(R) Growth Index.
The Russell MidCap(R) Growth Index measures the performance of those
Russell MidCap companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell MidCap(R) Value Index. The
Russell MidCap(R) Value Index measures the performance of those Russell
MidCap companies with lower price-to-book ratios and lower forecasted
growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000 companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The
Russell 1000(R) Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth
values.
(12) The Large Cap Core Index represents the Standard & Poor's 500(R) Index.
The Standard & Poor's 500(R) Index is comprised of 500 selected common
stocks, most of which are listed on the New York Stock Exchange, and is a
measure of the U.S. Stock market as a whole.
(13) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index. The Merrill Lynch High Yield Master Index tracks the performance of
below investment grade, U.S. dollar-denominated corporate bonds publicly
issued in the U.S. domestic market. Qualifying bonds must have at least
one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
(14) The Total Return Bond Index represents the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Aggregate Bond Index is a market value-weighted
performance benchmark for investment-grade fixed-rate debt issues,
including government, corporate, asset-backed and mortgage-backed
securities with maturities of at least one year.
(15) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government
Corporate Bond Index. The Merrill Lynch 1-3 Year Government Corporate Bond
Index tracks the trading of short-term U.S. government securities and
short-term domestic investment-grade corporate bonds with maturities
between 1 and 2.99 years.
34
This page intentionally left blank.
35
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderate Fund(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third LifeModel Moderate
Fund (Institutional) declined 6.02% on a net of fee basis, while its benchmark,
a blend of the Dow Jones Wilshire 5000 Index and the Lehman Brothers
Intermediate Government/Credit Bond Index, retreated 1.83%.
Volatility roiled investors throughout the period, as economic growth slowed in
the U.S., commodity prices hit record highs and the U.S. housing market
continued to implode. Fixed income markets featured a massive flight to quality
as an early period aversion to mortgage backed securities spread to asset backed
securities, municipal bonds and corporate bonds. Within the equity markets, the
Standard & Poor's 500 Index hit an all-time high, but subsequently fell 20% from
that peak.
Most stock indices posted considerable losses for the 12-month period, but with
less exposure to banks forced to write off billions of dollars worth of devalued
mortgage-related bonds, small and mid cap stocks generally outperformed large
cap equities. International stocks also struggled, although emerging market
equities tended to perform somewhat better than those in established economies
due to robust demand for raw materials. Within fixed income markets, short-term
issues outperformed long-term bonds as the Federal Reserve slashed its key
lending rate from 5.25% to 2.00% over the 12-month period.
While negative within the Fund, a timely shift in exposure to international
stocks aided performance as it benefited from a larger position earlier in the
period and a smaller position through the closing months. Conversely, large cap
stocks proved a drag on performance, as did an underweight position, relative to
the benchmark, in Treasury securities within the fixed income portion of the
Fund.
At the period's end, global economies were slowing, commodity prices remained
elevated, inflationary pressures kept building and financial strains seemed to
continue unabated. Nevertheless, we believe some positive developments exist.
For example, preliminary signs of a housing market bottom seemed to have
emerged, commodity prices started the third quarter well off recent highs and
corporate earnings outside of the financials sector held up relatively well.
While we expect that a rebound in economic activity likely remains months away,
we believe high quality, large company growth stocks are priced at compelling
valuations. Concerns linger, however, over the fixed income market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests. Stocks are more
volatile and carry more risk and return potential than other forms of
investments. Bonds offer a relatively stable level of income, although bond
prices will fluctuate, providing the potential for principal gain or loss. Cash
equivalents offer low risk and low return potential.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------- ------ --------- --------
Institutional 8/1/02 -6.02% 5.80% 6.60% $14,671
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 -10.89% 4.44% 5.43% $13,730
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 -11.16% 4.43% 5.43% $13,730
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 -6.95% 4.74% 5.55% $13,826
- --------------------------------------------------------------------------------
Dow Jones
Wilshire 5000 Index(1) -11.94% 6.16% 6.93% $14,954
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Government/
Credit Bond Index(1) 6.56% 4.10% 4.50% $13,028
- --------------------------------------------------------------------------------
LifeModel Moderate
Target Neutral Style
Class Index Blend(3) -5.63% 8.51% 8.95% $16,734
- --------------------------------------------------------------------------------
LifeModel Moderate
Target Neutral Asset
Class Index Blend(4) -1.83% 6.23% 6.88% $14,914
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.43% (Institutional Shares), 0.68% (Class A) and 1.43% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Fifth Third Total Return Bond Fund 33.90%
Fifth Third International Equity Fund 12.60%
Fifth Third Short Term Bond Fund 12.20%
Fifth Third Structured Large Cap Plus Fund 8.20%
Fifth Third Disciplined Large Cap Value Fund 7.60%
Fifth Third Quality Growth Fund 7.40%
Fifth Third All Cap Value Fund 5.30%
Fifth Third Mid Cap Growth Fund 5.10%
Fifth Third Small Cap Value Fund 2.70%
Fifth Third Small Cap Growth Fund 2.60%
Fifth Third High Yield Bond Fund 2.50%
Fifth Third Institutional Money Market Fund 0.00%
+ Portfolio composition is subject to change.
36
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderate Fund(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Lehman Brothers LifeModel Moderate
Intermediate Target Neutral LifeModel Moderate
LifeModel Moderate Dow Jones Wilshire Government/Credit Asset Class Target Neutral Style
(Institutional Shares) 5000 Index Bond Index Index Blend Class Index Blend
---------------------- ------------------ ----------------- ------------------ -------------------
8/1/02 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
$ 9,594 $ 9,021 $ 10,331 $ 9,688 $ 9,393
12/02 $ 10,053 $ 9,682 $ 10,506 $ 10,164 $ 9,959
$ 9,894 $ 9,344 $ 10,664 $ 10,083 $ 9,724
$ 10,944 $ 10,842 $ 10,954 $ 11,040 $ 10,992
$ 11,269 $ 11,198 $ 10,952 $ 11,247 $ 11,407
12/03 $ 12,129 $ 12,533 $ 10,959 $ 11,938 $ 12,514
$ 12,449 $ 12,811 $ 11,230 $ 12,243 $ 12,900
$ 12,367 $ 12,933 $ 10,946 $ 12,167 $ 12,927
$ 12,220 $ 12,642 $ 11,242 $ 12,223 $ 12,898
12/04 $ 12,892 $ 13,870 $ 11,292 $ 12,873 $ 14,009
$ 12,736 $ 13,505 $ 11,193 $ 12,665 $ 13,827
$ 13,045 $ 13,760 $ 11,471 $ 12,981 $ 14,133
$ 13,354 $ 14,254 $ 11,411 $ 13,203 $ 14,676
12/05 $ 13,547 $ 14,503 $ 11,470 $ 13,392 $ 14,961
$ 14,078 $ 15,228 $ 11,426 $ 13,733 $ 15,682
$ 13,876 $ 14,865 $ 11,450 $ 13,617 $ 15,510
$ 14,334 $ 15,461 $ 11,816 $ 14,129 $ 16,093
12/06 $ 14,948 $ 16,498 $ 11,938 $ 14,715 $ 17,049
$ 15,265 $ 16,658 $ 12,128 $ 14,944 $ 17,419
$ 15,845 $ 17,597 $ 12,110 $ 15,380 $ 18,121
$ 16,123 $ 17,776 $ 12,458 $ 15,716 $ 18,392
12/07 $ 15,971 $ 17,122 $ 12,820 $ 15,704 $ 18,121
$ 15,117 $ 15,416 $ 13,205 $ 15,170 $ 17,029
$ 14,903 $ 15,106 $ 13,003 $ 14,963 $ 16,889
7/31/08 $ 14,671 $ 14,954 $ 13,028 $ 14,914 $ 16,734
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Dow Jones Wilshire 5000
Index, and the Lehman Brothers Intermediate Government/Credit Bond Index.
The Dow Jones Wilshire 5000 Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The
Lehman Brothers Intermediate Government/Credit Bond Index is composed of
investment grade corporate debt issues as well as debt issues of U.S.
government agencies and the U.S. Treasury. The debt issues all maintain
maturities within a range of one to ten years.
The Dow Jones Wilshire 5000 Index and the Lehman Brothers Intermediate
Government/Credit Bond Index are unmanaged and do not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
(3) The LifeModel Moderate Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Dow Jones Wilshire 5000 Index (50%) and the Lehman
Brothers Intermediate Government/Credit Bond Index (50%). The LifeModel
Moderate Target Neutral Asset Class Index Blend is a hypothetical blend
only and does not represent underlying allocations in the Fund.
(4) The LifeModel Moderate Target Neutral Asset Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
37
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderate Fund(SM)
- --------------------------------------------------------------------------------
LifeModel Moderate Target Neutral Style
Class Index Blend
Small Cap Growth Index(5) ............................................. 2.5%
Small Cap Value Index(6) .............................................. 2.5%
International Index(7) ................................................ 10.0%
Mid Cap Growth Index(8) ............................................... 5.0%
Mid Cap Value Index(9) ................................................ 5.0%
Large Cap Growth Index(10) ............................................ 8.5%
Large Cap Value Index(11) ............................................. 8.5%
Large Cap Core Index(12) .............................................. 8.0%
High Yield Bond Index(13) ............................................. 2.5%
Total Return Bond Index(14) ........................................... 35.0%
Short Term Bond Index(15) ............................................. 12.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies that have higher price-to-book values and higher forecasted
growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The
Russell 2000(R) Value Index measures the performance of those Russell 2000
companies that have lower price-to-book ratios and lower forecasted growth
values.
(7) The International Index represents the MSCI EAFE(R) Index. The MSCI
EAFE(R) Index is a widely recognized, unmanaged index composed of a sample
of companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell MidCap(R) Growth Index.
The Russell MidCap(R) Growth Index measures the performance of those
Russell MidCap companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell MidCap(R) Value Index. The
Russell MidCap(R) Value Index measures the performance of those Russell
MidCap companies with lower price-to-book ratios and lower forecasted
growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000 companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The
Russell 1000(R) Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth
values.
(12) The Large Cap Core Index represents the Standard & Poor's 500(R) Index.
The Standard & Poor's 500(R) Index is comprised of 500 selected common
stocks, most of which are listed on the New York Stock Exchange, and is a
measure of the U.S. Stock market as a whole.
(13) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index. The Merrill Lynch High Yield Master Index tracks the performance of
below investment grade, U.S. dollar-denominated corporate bonds publicly
issued in the U.S. domestic market. Qualifying bonds must have at least
one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
(14) The Total Return Bond Index represents the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Aggregate Bond Index is a market value-weighted
performance benchmark for investment-grade fixed-rate debt issues,
including government, corporate, asset-backed and mortgage-backed
securities with maturities of at least one year.
(15) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government
Corporate Bond Index. The Merrill Lynch 1-3 Year Government Corporate Bond
Index tracks the trading of short-term U.S. government securities and
short-term domestic investment-grade corporate bonds with maturities
between 1 and 2.99 years.
38
This page intentionally left blank.
39
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Conservative Fund(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third LifeModel
Moderately Conservative Fund (Institutional) declined 4.95% on a net of fee
basis, while its benchmark, a blend of the Dow Jones Wilshire 5000 Index and the
Lehman Brothers Intermediate Government/Credit Bond Index, declined 0.16%.
Volatility roiled investors throughout the period, as economic growth slowed in
the U.S., commodity prices hit record highs and the U.S. housing market
continued to implode. Fixed income markets featured a massive flight to quality
as an early period aversion to mortgage backed securities spread to asset backed
securities, municipal bonds and corporate bonds. Within the equity markets, the
Standard & Poor's 500 Index hit an all-time high, but subsequently fell 20% from
that peak.
Among fixed income investments, short-term issues generally outperformed
long-term bonds as the Federal Reserve slashed its key lending rate from 5.25%
to 2.00% over the 12-month period. Most stock indices posted considerable losses
for the period, but with less exposure to banks forced to write off billions of
dollars worth of devalued mortgage-related bonds, small and mid cap stocks
outperformed large cap equities. International stocks also struggled.
Within the Fund, an underweight position, relative to the benchmark, in Treasury
securities hindered performance in the fixed income portion of the Fund. Large
cap stocks also proved a drag on performance, while a small exposure to
international stocks contributed positively to performance.
At the period's end, global economies were slowing, commodity prices remained
elevated, inflationary pressures kept building and financial strains seemed to
continue unabated. Nevertheless, we believe some positive developments exist.
For example, preliminary signs of a housing market bottom seemed to have
emerged, commodity prices started the third quarter well off recent highs and
corporate earnings outside of the financials sector held up relatively well.
While we expect that a rebound in economic activity likely remains months away,
we believe high quality, large company growth stocks are priced at compelling
valuations. Concerns linger, however, over the fixed income market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests. Stocks are more
volatile and carry more risk and return potential than other forms of
investments. Bonds offer a relatively stable level of income, although bond
prices will fluctuate, providing the potential for principal gain or loss. Cash
equivalents offer low risk and low return potential.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------- ------ --------- --------
Institutional 8/1/02 -4.95% 5.10% 5.56% $ 13,834
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 -10.05% 3.76% 4.38% $ 12,931
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 -10.27% 3.72% 4.37% $ 12,927
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 -5.93% 4.05% 4.51% $ 13,027
- --------------------------------------------------------------------------------
Dow Jones Wilshire
5000 Index(1) -11.94% 6.16% 6.93% $ 14,954
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Government/
Credit Bond Index(1) 6.56% 4.10% 4.50% $ 13,028
- --------------------------------------------------------------------------------
LifeModel Moderately
Conservative Target Neutral
Asset Class Index Blend(3) -0.16% 5.82% 6.44% $ 14,545
- --------------------------------------------------------------------------------
LifeModel Moderately
Conservative Target Neutral
Style Class Index Blend(4) -0.74% 6.82% 7.20% $ 15,185
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.53% (Institutional Shares), 0.79% (Class A) and 1.54% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Fifth Third Total Return Bond Fund 41.30%
Fifth Third Short Term Bond Fund 14.70%
Fifth Third International Equity Fund 9.60%
Fifth Third Structured Large Cap Plus Fund 8.00%
Fifth Third Disciplined Large Cap Value Fund 5.10%
Fifth Third Quality Growth Fund 5.00%
Fifth Third All Cap Value Fund 4.10%
Fifth Third Mid Cap Growth Fund 4.00%
Fifth Third High Yield Bond Fund 2.90%
Fifth Third Small Cap Value Fund 2.20%
Fifth Third Small Cap Growth Fund 2.00%
Fifth Third Institutional Money Market Fund 1.10%
+ Portfolio composition is subject to change.
40
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Conservative Fund(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Lehman Brothers LifeModel Moderately LifeModel Moderately
LifeModel Moderately Intermediate Conservative Target Conservative
Conservative Dow Jones Wilshire Government/Credit Neutral Asset Target Neutral
(Institutional Shares) 5000 Index Bond Index Class Index Blend Style Class Index Blend
---------------------- ------------------ ----------------- -------------------- -----------------------
8/1/02 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
$ 9,517 $ 9,021 $ 10,331 $ 9,816 $ 9,768
12/02 $ 9,958 $ 9,682 $ 10,506 $ 10,237 $ 10,182
$ 9,844 $ 9,344 $ 10,664 $ 10,203 $ 10,110
$ 10,726 $ 10,842 $ 10,954 $ 11,031 $ 10,965
$ 10,988 $ 11,198 $ 10,952 $ 11,197 $ 11,210
12/03 $ 11,674 $ 12,533 $ 10,959 $ 11,747 $ 11,853
$ 11,925 $ 12,811 $ 11,230 $ 12,045 $ 12,177
$ 11,817 $ 12,933 $ 10,946 $ 11,924 $ 12,085
$ 11,751 $ 12,642 $ 11,242 $ 12,033 $ 12,213
12/04 $ 12,291 $ 13,870 $ 11,292 $ 12,554 $ 12,857
$ 12,158 $ 13,505 $ 11,193 $ 12,370 $ 12,737
$ 12,437 $ 13,760 $ 11,471 $ 12,679 $ 13,039
$ 12,673 $ 14,254 $ 11,411 $ 12,839 $ 13,304
12/05 $ 12,822 $ 14,503 $ 11,470 $ 13,000 $ 13,487
$ 13,217 $ 15,228 $ 11,426 $ 13,254 $ 13,846
$ 13,073 $ 14,865 $ 11,450 $ 13,171 $ 13,767
$ 13,507 $ 15,461 $ 11,816 $ 13,651 $ 14,262
12/06 $ 14,009 $ 16,498 $ 11,938 $ 14,131 $ 14,825
$ 14,294 $ 16,658 $ 12,128 $ 14,353 $ 15,108
$ 14,725 $ 17,597 $ 12,110 $ 14,683 $ 15,444
$ 14,982 $ 17,776 $ 12,458 $ 15,025 $ 15,750
12/07 $ 14,856 $ 17,122 $ 12,820 $ 15,104 $ 15,793
$ 14,207 $ 15,416 $ 13,205 $ 14,781 $ 15,381
$ 14,048 $ 15,106 $ 13,003 $ 14,578 $ 15,269
7/31/08 $ 13,834 $ 14,954 $ 13,028 $ 14,545 $ 15,185
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Dow Jones Wilshire 5000
Index, and the Lehman Brothers Intermediate Government/Credit Bond Index.
The Dow Jones Wilshire 5000 Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The
Lehman Brothers Intermediate Government/Credit Bond Index is composed of
investment grade corporate debt issues as well as debt issues of U.S.
government agencies and the U.S. Treasury. The debt issues all maintain
maturities within a range of one to ten years.
The Dow Jones Wilshire 5000 Index and the Lehman Brothers Intermediate
Government/Credit Bond Index are unmanaged and do not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
(3) The LifeModel Moderately Conservative Target Neutral Asset Class Index
Blend is an unmanaged custom-blended index, created by Fifth Third Asset
Management, Inc., comprised of the Dow Jones Wilshire 5000 Index (40%) and
the Lehman Brothers Intermediate Government/Credit Bond Index (60%). The
LifeModel Moderately Conservative Target Neutral Asset Class Index Blend
is a hypothetical blend only and does not represent underlying allocations
in the Fund.
(4) The LifeModel Moderately Conservative Target Neutral Asset Class Index
Blend is an index-based baseline style class allocation determined by the
Advisor to be optimal under static market and economic conditions. The
target neutral style class index blend is a hypothetical blend only and
does not represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
41
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Moderately Conservative Fund(SM)
- --------------------------------------------------------------------------------
LifeModel Moderately Conservative Target Neutral
Style Class Index Blend
Small Cap Growth Index(5) ............................................ 2.0%
Small Cap Value Index(6) ............................................. 2.0%
International Index(7) ............................................... 8.0%
Mid Cap Growth Index(8) .............................................. 4.0%
Mid Cap Value Index(9) ............................................... 4.0%
Large Cap Growth Index(10) ........................................... 7.0%
Large Cap Value Index(11) ............................................ 7.0%
Large Cap Core Index(12) ............................................. 6.0%
High Yield Bond Index(13) ............................................ 3.0%
Total Return Bond Index(14) .......................................... 42.0%
Short Term Bond Index(15) ............................................ 15.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies that have higher price-to-book values and higher forecasted
growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The
Russell 2000(R) Value Index measures the performance of those Russell 2000
companies that have lower price-to-book ratios and lower forecasted growth
values.
(7) The International Index represents the MSCI EAFE(R) Index. The MSCI
EAFE(R) Index is a widely recognized, unmanaged index composed of a sample
of companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell MidCap(R) Growth Index.
The Russell MidCap(R) Growth Index measures the performance of those
Russell MidCap companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell MidCap(R) Value Index. The
Russell MidCap(R) Value Index measures the performance of those Russell
MidCap companies with lower price-to-book ratios and lower forecasted
growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000 companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The
Russell 1000(R) Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth
values.
(12) The Large Cap Core Index represents the Standard & Poor's 500(R) Index.
The Standard & Poor's 500(R) Index is comprised of 500 selected common
stocks, most of which are listed on the New York Stock Exchange, and is a
measure of the U.S. Stock market as a whole.
(13) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index. The Merrill Lynch High Yield Master Index tracks the performance of
below investment grade, U.S. dollar-denominated corporate bonds publicly
issued in the U.S. domestic market. Qualifying bonds must have at least
one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
(14) The Total Return Bond Index represents the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Aggregate Bond Index is a market value-weighted
performance benchmark for investment-grade fixed-rate debt issues,
including government, corporate, asset-backed and mortgage-backed
securities with maturities of at least one year.
(15) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government
Corporate Bond Index. The Merrill Lynch 1-3 Year Government Corporate Bond
Index tracks the trading of short-term U.S. government securities and
short-term domestic investment-grade corporate bonds with maturities
between 1 and 2.99 years.
42
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43
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Conservative Fund(SM)
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third LifeModel
Conservative Fund (Institutional) declined 3.67% on a net of fee basis, while
its benchmark, a blend of the Dow Jones Wilshire 5000 Index and the Lehman
Brothers Intermediate Government/Credit Bond Index, advanced 3.20%.
Volatility roiled investors throughout the period, as economic growth slowed in
the U.S., commodity prices hit record highs and the U.S. housing market
continued to implode. Fixed income markets featured a massive flight to quality
as an early period aversion to mortgage backed securities spread to asset backed
securities, municipal bonds and corporate bonds. Within the equity markets, the
Standard & Poor's 500 Index hit an all-time high, but subsequently fell 20% from
that peak.
Among fixed income investments, short-term issues generally outperformed
long-term bonds as the Federal Reserve slashed its key lending rate from 5.25%
to 2.00% over the 12-month period. Most stock indices posted considerable losses
for the period, but with less exposure to banks forced to write off billions of
dollars worth of devalued mortgage-related bonds, small and mid cap stocks
outperformed large cap equities. International stocks also struggled.
Within the Fund, an underweight position, relative to the benchmark, in Treasury
securities hindered performance in the fixed income portion of the Fund. Large
cap stocks also proved a drag on performance, while a small exposure to
international stocks contributed positively to performance.
At the period's end, global economies were slowing, commodity prices remained
elevated, inflationary pressures kept building and financial strains seemed to
continue unabated. Nevertheless, we believe some positive developments did
exist. For example, preliminary signs of a housing market bottom seemed to have
emerged, commodity prices started the third quarter well off recent highs and
corporate earnings outside of the financials sector held up relatively well.
While we expect that a rebound in economic activity likely remains months away,
we believe high quality, large company growth stocks are priced at compelling
valuations. Concerns linger, however, over the fixed income market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The Fund invests in underlying funds, so its investment performance is directly
related to the performance of those underlying funds. Before investing,
investors should assess the risks associated with and types of investments made
by each of the underlying funds in which the Fund invests. Stocks are more
volatile and carry more risk and return potential than other forms of
investments. Bonds offer a relatively stable level of income, although bond
prices will fluctuate, providing the potential for principal gain or loss. Cash
equivalents offer low risk and low return potential.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year 5 Year Inception Value(2)
--------- ------- ------ --------- --------
Institutional 8/1/02 -3.67% 3.83% 4.45% $ 12,985
- --------------------------------------------------------------------------------
Class A Shares 8/1/02 -8.76% 2.51% 3.29% $ 12,140
- --------------------------------------------------------------------------------
Class B Shares 8/1/02 -9.18% 2.45% 3.27% $ 12,126
- --------------------------------------------------------------------------------
Class C Shares 8/1/02 -4.70% 2.78% 3.40% $ 12,224
- --------------------------------------------------------------------------------
Dow Jones
Wilshire 5000 Index(1) -11.94% 6.16% 6.93% $ 14,954
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Government/
Credit Bond Index(1) 6.56% 4.10% 4.50% $ 13,028
- --------------------------------------------------------------------------------
LifeModel Conservative
Target Neutral Asset
Class Index Blend(3) 3.20% 4.98% 5.50% $ 13,793
- --------------------------------------------------------------------------------
LifeModel Conservative
Target Neutral Style
Class Index Blend(4) -8.87% 9.59% 10.04% $ 17,766
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.62% (Institutional Shares), 0.88% (Class A) and 1.63% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
5.0%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Fifth Third Total Return Bond Fund 54.60%
Fifth Third Short Term Bond Fund 19.70%
Fifth Third International Equity Fund 4.80%
Fifth Third Structured Large Cap Plus Fund 4.10%
Fifth Third High Yield Bond Fund 4.00%
Fifth Third Disciplined Large Cap Value Fund 2.60%
Fifth Third Quality Growth Fund 2.60%
Fifth Third All Cap Value Fund 2.10%
Fifth Third Mid Cap Growth Fund 2.00%
Fifth Third Institutional Money Market Fund 1.50%
Fifth Third Small Cap Value Fund 1.10%
Fifth Third Small Cap Growth Fund 1.00%
+ Portfolio composition is subject to change.
44
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Conservative Fund(SM)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Lehman Brothers
Intermediate LifeModel Conservative LifeModel Conservative
LifeModel Conservative Dow Jones Wilshire Government/Credit Target Neutral Asset Target Neutral Style
(Institutional Shares) 5000 Index Bond Index Class Index Blend Class Index Blend
---------------------- ------------------ ----------------- ---------------------- ----------------------
8/1/02 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
$ 9,909 $ 9,021 $ 10,331 $ 10,073 $ 9,145
12/02 $ 10,233 $ 9,682 $ 10,506 $ 10,377 $ 9,800
$ 10,245 $ 9,344 $ 10,664 $ 10,437 $ 9,460
$ 10,840 $ 10,842 $ 10,954 $ 11,000 $ 10,990
$ 10,996 $ 11,198 $ 10,952 $ 11,082 $ 11,517
12/03 $ 11,383 $ 12,533 $ 10,959 $ 11,356 $ 12,944
$ 11,609 $ 12,811 $ 11,230 $ 11,642 $ 13,374
$ 11,450 $ 12,933 $ 10,946 $ 11,436 $ 13,489
$ 11,500 $ 12,642 $ 11,242 $ 11,643 $ 13,341
12/04 $ 11,819 $ 13,870 $ 11,292 $ 11,919 $ 14,793
$ 11,714 $ 13,505 $ 11,193 $ 11,779 $ 14,563
$ 11,979 $ 13,760 $ 11,471 $ 12,073 $ 14,869
$ 12,086 $ 14,254 $ 11,411 $ 12,118 $ 15,621
12/05 $ 12,194 $ 14,503 $ 11,470 $ 12,226 $ 15,981
$ 12,414 $ 15,228 $ 11,426 $ 12,321 $ 16,984
$ 12,345 $ 14,865 $ 11,450 $ 12,295 $ 16,737
$ 12,737 $ 15,461 $ 11,816 $ 12,716 $ 17,384
12/06 $ 13,074 $ 16,498 $ 11,938 $ 13,004 $ 18,650
$ 13,305 $ 16,658 $ 12,128 $ 13,210 $ 19,087
$ 13,528 $ 17,597 $ 12,110 $ 13,353 $ 20,085
$ 13,756 $ 17,776 $ 12,458 $ 13,701 $ 20,319
12/07 $ 13,696 $ 17,122 $ 12,820 $ 13,936 $ 19,781
$ 13,339 $ 15,416 $ 13,205 $ 13,995 $ 18,146
$ 13,195 $ 15,106 $ 13,003 $ 13,795 $ 17,975
7/31/08 $ 12,985 $ 14,954 $ 13,028 $ 13,793 $ 17,766
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Dow Jones Wilshire 5000
Index, and the Lehman Brothers Intermediate Government/Credit Bond Index.
The Dow Jones Wilshire 5000 Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The
Lehman Brothers Intermediate Government/Credit Bond Index is composed of
investment grade corporate debt issues as well as debt issues of U.S.
government agencies and the U.S. Treasury. The debt issues all maintain
maturities within a range of one to ten years.
The Dow Jones Wilshire 5000 Index and the Lehman Brothers Intermediate
Government/Credit Bond Index are unmanaged and do not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
(3) The LifeModel Conservative Target Neutral Asset Class Index Blend is an
unmanaged custom-blended index, created by Fifth Third Asset Management,
Inc., comprised of the Dow Jones Wilshire 5000 Index (20%) and the Lehman
Brothers Intermediate Government/Credit Bond Index (80%). The LifeModel
Conservative Target Neutral Asset Class Index Blend is a hypothetical
blend only and does not represent underlying allocations in the Fund.
(4) The LifeModel Conservative Target Neutral Asset Class Index Blend is an
index-based baseline style class allocation determined by the Advisor to
be optimal under static market and economic conditions. The target neutral
style class index blend is a hypothetical blend only and does not
represent underlying allocations in the Fund. The Advisor will
periodically adjust the baseline style class allocation.
45
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Fifth Third LifeModel
Conservative Fund(SM)
- --------------------------------------------------------------------------------
LifeModel Conservative Target Neutral Style
Class Index Blend
Small Cap Growth Index(5) ............................................. 1.0%
Small Cap Value Index(6) .............................................. 1.0%
International Index(7) ................................................ 4.0%
Mid Cap Growth Index(8) ............................................... 2.0%
Mid Cap Value Index(9) ................................................ 2.0%
Large Cap Growth Index(10) ............................................ 3.5%
Large Cap Value Index(11) ............................................. 3.5%
Large Cap Core Index(12) .............................................. 3.0%
High Yield Bond Index(13) ............................................. 4.0%
Total Return Bond Index(14) ........................................... 56.0%
Short Term Bond Index(15) ............................................. 20.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index.
The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies that have higher price-to-book values and higher forecasted
growth rates.
(6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The
Russell 2000(R) Value Index measures the performance of those Russell 2000
companies that have lower price-to-book ratios and lower forecasted growth
values.
(7) The International Index represents the MSCI EAFE(R) Index. The MSCI
EAFE(R) Index is a widely recognized, unmanaged index composed of a sample
of companies representative of the market structure of 20 European and
Pacific Basin countries.
(8) The Mid Cap Growth Index represents the Russell MidCap(R) Growth Index.
The Russell MidCap(R) Growth Index measures the performance of those
Russell MidCap companies with higher price-to-book ratios and higher
forecasted growth values.
(9) The Mid Cap Value Index represents the Russell MidCap(R) Value Index. The
Russell MidCap(R) Value Index measures the performance of those Russell
MidCap companies with lower price-to-book ratios and lower forecasted
growth values.
(10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index.
The Russell 1000(R) Growth Index measures the performance of those Russell
1000 companies with higher price-to-book ratios and higher forecasted
growth values.
(11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The
Russell 1000(R) Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth
values.
(12) The Large Cap Core Index represents the Standard & Poor's 500(R) Index.
The Standard & Poor's 500(R) Index is comprised of 500 selected common
stocks, most of which are listed on the New York Stock Exchange, and is a
measure of the U.S. Stock market as a whole.
(13) The High Yield Bond Index represents the Merrill Lynch High Yield Master
Index. The Merrill Lynch High Yield Master Index tracks the performance of
below investment grade, U.S. dollar-denominated corporate bonds publicly
issued in the U.S. domestic market. Qualifying bonds must have at least
one year remaining term to maturity, at least $100,000,000 par
outstanding, and a fixed coupon schedule.
(14) The Total Return Bond Index represents the Lehman Brothers Aggregate Bond
Index. The Lehman Brothers Aggregate Bond Index is a market value-weighted
performance benchmark for investment-grade fixed-rate debt issues,
including government, corporate, asset-backed and mortgage-backed
securities with maturities of at least one year.
(15) The Short Term Bond Index represents the Merrill Lynch 1-3 Year Government
Corporate Bond Index. The Merrill Lynch 1-3 Year Government Corporate Bond
Index tracks the trading of short-term U.S. government securities and
short-term domestic investment-grade corporate bonds with maturities
between 1 and 2.99 years.
46
This page intentionally left blank.
47
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
High Yield Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third High Yield Bond
Fund (Institutional) advanced 2.98% on a net of fee basis, outperforming its
benchmark, the Merrill Lynch High Yield Master Index, which declined 0.48%.
Despite the relatively lackluster returns and a generally unhealthy credit
environment, high yield bonds ranked among the best performing assets in the
market during the period. We expect that weak economic growth and increased
inflationary pressures tempered the possibility of larger gains, however,
especially with few prospects for potential near-term positive catalysts in the
marketplace.
During the 12-month period, macroeconomic conditions worsened as problems in the
housing and credit markets proved stubborn, undermined in part by falling
housing values and instability among investment banks and commercial banks. A
considerable spike in oil prices took an added toll on the economy, sapping
consumer confidence, gobbling up personal incomes and stressing corporate bottom
lines. Although the federal economic stimulus package proved effective in
bolstering consumer spending during the second quarter of 2008, its extended
impact remains to be seen.
Against this backdrop, the Fund benefited from a reduced exposure to the
automotive industry, which faced concerns surrounding the long-term viability of
domestic vehicle manufacturers. Other positions that enhanced returns included
an underweight stake, relative to the benchmark, in the gaming industry and
effective security selection among coal mining concerns. Gaming companies are
grappling with overcapacity and reduced spending on leisure activities, while
coal has enjoyed a renaissance as a core energy source.
A lack of exposure to select companies within the telecommunication services
sector hurt performance as a large acquisition propped up the wireless
communications industry.
Allowing for the market's recent turmoil, we believe that valuations in the high
yield space seem fair and offer attractive relative returns at the period's end.
Nonetheless, the Fund remains focused on delivering solid risk-adjusted returns
with lower volatility than the broader market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Inception Since Ending
Date 1 Year Inception Value(2)
--------- ------ --------- --------
Institutional 11/29/05 2.98% 3.90% $ 11,075
- --------------------------------------------------------------------------------
Class A Shares 11/29/05 -2.41% 1.64% $ 10,443
- --------------------------------------------------------------------------------
Class B Shares 11/29/05 -2.84% 1.88% $ 10,509
- --------------------------------------------------------------------------------
Class C Shares 11/29/05 2.00% 2.86% $ 10,782
- --------------------------------------------------------------------------------
Merrill Lynch High
Yield Master Index(1) -0.48% -4.30% $ 10,626
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.15% (Institutional Shares), 1.40% (Class A) and 2.15% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
4.75%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
0.00%
0.00%
Corporate Bonds 83.00%
Investment Companies 21.30%
Foreign Bonds 11.80%
0.00%
0.00%
0.00%
+ Portfolio composition is subject to change.
48
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
High Yield Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
High Yield Bond Merrill Lynch
(Institutional Shares) High Yield Master Index
---------------------- -----------------------
11/29/05 $ 10,000 $ 10,000
12/05 $ 10,002 $ 10,092
03/06 $ 10,231 $ 10,380
06/06 $ 10,094 $ 10,396
09/06 $ 10,420 $ 10,817
12/06 $ 10,817 $ 11,267
03/07 $ 11,096 $ 11,569
06/07 $ 11,100 $ 11,605
09/07 $ 11,209 $ 11,645
12/07 $ 11,165 $ 11,512
03/08 $ 10,934 $ 11,169
06/08 $ 11,216 $ 10,968
7/31/08 $ 11,075 $ 10,626
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Merrill Lynch High Yield
Master Index, an unmanaged index which tracks the performance of below
investment grade, U.S. dollar-denominated corporate bonds publicly issued
in the U.S. domestic market. Qualifying bonds must have at least one year
remaining term to maturity, at least $100,000,000 par outstanding, and a
fixed coupon schedule. The index does not reflect the deduction of fees
associated with a mutual fund such as investment management and fund
accounting fees. Investors cannot invest directly in an index, although
they can invest in its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class from its inception to the period ended July 31,
2008.
49
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Total Return Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Total Return Bond
Fund (Institutional) declined 1.86% on a net of fee basis, trailing its
benchmark, the Lehman Brothers Aggregate Bond Index, which advanced 6.15%.
U.S. Treasury securities led the fixed income market for much of the 12-month
period as investors sought out safe havens amid credit market problems and
liquidity issues. Extended woes in the mortgage and housing industries resulted
in steep losses in mortgage-related bonds, and an economic slowdown hit
corporate bonds as well. Meanwhile, the short end of the yield curve
outperformed the long end, helped in part by the Federal Reserve, which reduced
its prime lending rate from 5.25% to 2.00%.
Bonds that weighed on Fund performance during this challenging period included
commercial mortgage backed securities (CMBS), residential mortgage backed
securities (RMBS) and consumer asset backed securities (ABS). One of the most
volatile sectors in the fixed income market, CMBS plummeted in March. A recovery
followed, but uncertainties remained amid questions surrounding the ability of
shopping malls and office buildings to endure the economic downturn.
The RMBS market hit its 12-month low in April, but securities backed by prime
loans have rebounded much better than those tied to subprime mortgages. Consumer
ABS, most notably issues backed by automobile and credit card loans, experienced
significant downward pressure as sagging consumer confidence exacerbated the
impact of the broader economic stumble.
Positive contributions to performance came from an underweight position,
relative to the benchmark, in corporate bonds, as well as a modest exposure to
international bonds and currencies, which benefited from a weaker U.S. dollar.
At the period's end, the fixed income markets continued to face considerable
unknowns as the system extended its purge of excesses created during the Fed's
most-recent easing cycle. While contending with the related market strains, the
Fund remains patiently focused on the potential for long-term performance
historically generated by securities with sound fundamentals.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ --------- --------
Institutional -1.86% 2.54% 4.06% $ 14,887
- --------------------------------------------------------------------------------
Class A Shares -6.63% 1.29% 3.31% $ 13,850
- --------------------------------------------------------------------------------
Class B Shares -7.46% 1.17% 3.02% $ 13,462
- --------------------------------------------------------------------------------
Class C Shares -2.72% 1.53% 3.02% $ 13,470
- --------------------------------------------------------------------------------
Lehman Brothers
Aggregate Bond
Index(1) 6.15% 4.55% 5.65% $ 17,331
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08 the gross expense
ratios are 0.88% (Institutional Shares), 1.13 % (Class A) and 1.88% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
4.75%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October
29,2001,the quoted performance for the Fifth Third Total Return Bond Fund
Institutional Shares reflects the performance of the Kent Income Fund
Institutional Shares with an inception date of March 20, 1995. Prior to October
29, 2001, the performance figures for the Fifth Third Total Return Bond Fund
Class A Shares reflects the performance of the Kent Income Fund Investment
Shares with an inception date of March 22, 1995, adjusted for the maximum sales
charge. Class B and Class C Shares were initially offered on October 29,
2001.The performance figures for Class B and Class C Shares for periods prior to
such date represent the performance for Institutional Shares and is adjusted to
reflect expenses and applicable sales charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
U.S. Government Agencies 32.30%
Mortgage-Backed Securities 31.90%
Corporate Bonds 8.40%
Asset-Backed Securities 8.40%
Investment Companies 6.10%
Investments in Affiliates 4.80%
U.S. Treasury Obligations 4.40%
Foreign Bonds 1.80%
Preferred Stocks 1.80%
Demand Notes 0.10%
+ Portfolio composition is subject to change.
50
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Total Return Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Total Return Bond Lehman Brothers
(Institutional Shares) Aggregate Bond Index
---------------------- --------------------
7/31/98 $ 10,000 $ 10,000
$ 10,439 $ 10,401
12/98 $ 10,499 $ 10,436
$ 10,335 $ 10,384
$ 10,119 $ 10,293
$ 10,112 $ 10,363
12/99 $ 10,037 $ 10,350
$ 10,343 $ 10,578
$ 10,402 $ 10,763
$ 10,736 $ 11,087
12/00 $ 11,232 $ 11,553
$ 11,607 $ 11,904
$ 11,623 $ 11,971
$ 12,232 $ 12,523
12/01 $ 12,046 $ 12,529
$ 11,923 $ 12,540
$ 12,430 $ 13,004
$ 13,018 $ 13,600
12/02 $ 13,181 $ 13,814
$ 13,353 $ 14,006
$ 13,618 $ 14,356
$ 13,577 $ 14,335
12/03 $ 13,603 $ 14,381
$ 13,929 $ 14,763
$ 13,571 $ 14,402
$ 13,978 $ 14,863
12/04 $ 14,103 $ 15,004
$ 14,062 $ 14,932
$ 14,451 $ 15,382
$ 14,334 $ 15,278
12/05 $ 14,401 $ 15,369
$ 14,315 $ 15,270
$ 14,280 $ 15,258
$ 14,807 $ 15,839
12/06 $ 14,970 $ 16,035
$ 15,189 $ 16,276
$ 15,075 $ 16,192
$ 15,341 $ 16,653
12/07 $ 15,631 $ 17,152
$ 15,502 $ 17,524
$ 15,228 $ 17,345
7/31/08 $ 14,887 $ 17,331
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers Aggregate
Bond Index. The Lehman Brothers Aggregate Bond Index is representative of
investment-grade fixed-rate debt issues, including government, corporate,
asset- backed, and mortgage-backed securities, with maturities of at least
one year.
The Lehman Brothers Aggregate Bond Index is an unmanaged index and does
not reflect the deduction of fees associated with a mutual fund such as
investment management and fund accounting fees. However, the Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2008.
51
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Short Term Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Short Term Bond
Fund (Institutional) advanced 3.80% on a net of fee basis, compared to its
benchmarks, the Merrill Lynch 1-3 Year Government/Corporate Bond Index, which
returned 6.23%; the U.S. consumer price index, which advanced 5.60%; and the
91-day Treasury bill, which gained 3.40%.
U.S. Treasury securities led the fixed income market for much of the period as
investors sought out safe havens amid credit market problems and liquidity
issues. Extended woes in the mortgage and housing industries resulted in steep
losses in mortgage-related bonds, and an economic slowdown hit corporate bonds
as well. Meanwhile, short term bonds outperformed long term issues, helped in
part by the Federal Reserve, which reduced its prime lending rate from 5.25% to
2.00%.
Bonds that weighed on Fund performance during this challenging period included
commercial mortgage backed securities (CMBS), residential mortgage backed
securities (RMBS) and consumer asset backed securities (ABS). One of the most
volatile sectors in the fixed income market, CMBS plummeted in March. A recovery
followed, but uncertainties remained amid questions surrounding the ability of
shopping malls and office buildings to endure the economic downturn.
The RMBS market hit its 12-month low in April, but the Fund benefited slightly
from a greater focus on non-government agency RMBS while Fannie Mae and Freddie
Mac suffered amid solvency questions. Consumer ABS, most notably issues backed
by automobile and credit card loans, experienced significant downward pressure
as sagging consumer confidence exacerbated the impact of the broader economic
stumble.
Positive contributions to performance came from an underweight position,
relative to the benchmark, in corporate bonds; a modestly short duration, which
helped as rates edged up late in the period; and select use of Treasury futures.
Historically, Treasury securities have not led the fixed income markets, and the
Fund therefore has not attempted to time periods of under- and overperformance.
We continue to believe that a focus on sound credit analysis, along with
patience through trying times such as these, is an optimal strategy for
achieving long-term success in the short term bond market.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 3.80% 2.83% 4.10% $14,945
- -------------------------------------------------------------------------------
Class A Shares 0.02% 1.89% 3.56% $14,184
- -------------------------------------------------------------------------------
Class C Shares 2.87% 1.81% 3.07% $13,527
- -------------------------------------------------------------------------------
Merrill Lynch 1-3 Year
Government/Corporate Bond Index(1) 6.23% 3.55% 4.84% $16,050
- -------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.79% (Institutional Shares), 1.04% (Class A) and 1.79% (Class C).
The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
4.75%. The total return figures for C Shares reflect the maximum contingent
deferred sales charge (CDSC) of 1.0% within the first year.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29, 2001,
the quoted performance for the Fifth Third Short Term Bond Fund Institutional
Shares reflects the performance of the Kent Short Term Bond Fund Institutional
Shares with an inception date of November 2, 1992. Prior to October 29, 2001,
the performance for the Fifth Third Short Term Bond Fund Class A Shares reflects
the performance of the Kent Short Term Bond Fund Investment Shares with an
inception date of December 4, 1992, adjusted for the maximum sales charge. Class
C Shares were initially offered on August 1, 2003. The performance figures for
Class C Shares for the periods prior to such date represent the performance for
Institutional Shares and are adjusted to reflect expenses and applicable sales
charges for Class C Shares.
- --------------------------------------------------------------------------------
Fund Holdings as of July 31, 2008
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
Mortgage-Backed Securities 28.50%
U.S. Government Agencies 26.40%
Corporate Bonds 18.90%
Asset-Backed Securities 17.30%
U.S. Treasury Obligations 4.40%
Foreign Bonds 2.60%
Investments in Affiliates 1.70%
Municipal Bonds 0.20%
+ Portfolio composition is subject to change.
52
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Short Term Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Short Term Bond Merrill Lynch 1-3 Year
(Institutional Shares) Government/Corporate Bond Index
---------------------- -------------------------------
7/31/98 $ 10,000 $ 10,000
$ 10,200 $ 10,248
12/98 $ 10,280 $ 10,332
$ 10,347 $ 10,406
$ 10,371 $ 10,468
$ 10,489 $ 10,595
12/99 $ 10,537 $ 10,668
$ 10,658 $ 10,800
$ 10,834 $ 10,982
$ 11,094 $ 11,229
12/00 $ 11,393 $ 11,528
$ 11,716 $ 11,863
$ 11,846 $ 12,017
$ 12,223 $ 12,435
12/01 $ 12,293 $ 12,532
$ 12,239 $ 12,535
$ 12,492 $ 12,837
$ 12,748 $ 13,140
12/02 $ 12,888 $ 13,296
$ 12,995 $ 13,411
$ 13,096 $ 13,560
$ 13,150 $ 13,626
12/03 $ 13,149 $ 13,661
$ 13,265 $ 13,814
$ 13,122 $ 13,658
$ 13,236 $ 13,813
12/04 $ 13,246 $ 13,827
$ 13,212 $ 13,788
$ 13,365 $ 13,958
$ 13,386 $ 13,976
12/05 $ 13,465 $ 14,069
$ 13,526 $ 14,136
$ 13,610 $ 14,229
$ 13,874 $ 14,519
12/06 $ 14,015 $ 14,667
$ 14,213 $ 14,879
$ 14,304 $ 14,987
$ 14,550 $ 15,344
12/07 $ 14,796 $ 15,675
$ 14,947 $ 16,091
$ 14,986 $ 16,003
7/31/08 $ 14,945 $ 16,050
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Merrill Lynch 1-3 Year
Government/Corporate Bond Index. The Merrill Lynch 1-3 Year
Government/Corporate Bond Index is composed of U.S. Treasury issues and
publicly issued debt of U.S. Government agencies with maturities of one to
three years.
The Merrill Lynch 1-3 Year Government/Corporate Bond Index is unmanaged
and does not reflect the deduction of fees associated with a mutual fund
such as investment management and fund accounting fees. However, the
Fund's performance reflects the deduction of fees for these value-added
services. Investors cannot invest directly in an index, although they can
invest in its underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
53
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Municipal Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Municipal Bond Fund
(Institutional) advanced 2.87% on a net of fee basis, outperforming its
benchmark, the Lehman Brothers Municipal Bond Index, which gained 2.83%.
The municipal bond market spent most of the 12-month period in a state of
disarray, enduring stunning downgrades among so-called monoline insurers, a
virtual shutdown of the auction rate securities market and broad selloffs by
non-traditional municipal bond investors. Meanwhile, the yield curve steepened
drastically, with short-term rates falling and long-term yields rising.
The deterioration of the monoline insurance industry, which traditionally
provided municipal issuers with financial backing but experienced eroding
fundamentals in the wake of subprime mortgage market woes, undermined all
insured municipal issues. Support for auction rate securities - which offered
municipalities more flexible credit - collapsed as investment banks, which
historically absorbed any bonds that failed to sell at auction, stopped taking
on new debt amid their own balance sheet challenges. As for non-traditional
municipal bond investors, many highly leveraged investors such as hedge funds
bailed out of municipal bonds when the market's liquidity troubles heightened.
While contending with such volatility, the Fund benefited from an overweight
position, relative to the benchmark, in short-term bonds, which generally
outperformed long-term issues over the period. The Fund's higher quality
orientation further enhanced returns, as low grade securities lagged
significantly. Select exposure to pre-refunded bonds, which tend to spike when
the original issuers announce they will be refinanced, also provided a lift.
The Fund's insured holdings hindered performance as the market punished issues
backed by a monoline insurer.
Interestingly, supply through the first seven months of 2008 was comparable to
2007 levels as $260 billion worth of bonds were brought to market. Refinancing
deals - driven largely by the collapse of the auction rate market - accounted
for $75 billion of the total issuance, a 31% jump over the same period in 2007.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 2.87% 3.54% 4.30% $15,234
- -------------------------------------------------------------------------------
Class A Shares -2.30% 2.26% 3.54% $14,166
- -------------------------------------------------------------------------------
Class B Shares -3.05% 2.18% 3.25% $13,773
- -------------------------------------------------------------------------------
Class C Shares 1.79% 2.50% 3.26% $13,788
- -------------------------------------------------------------------------------
Lehman Brothers Municipal Bond Index(1) 2.83% 4.34% 4.91% $16,154
- -------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 1.07% (Institutional Shares), 1.32% (Class A) and 2.08% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
4.75%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29, 2001,
the quoted performance for the Fifth Third Municipal Bond Fund Institutional
Shares reflects the performance of the Kent Tax-Free Income Fund Institutional
Shares with an inception date of March 20, 1995. Prior to October 29, 2001, the
performance for the Fifth Third Municipal Bond Fund Class A Shares reflects the
performance of the Kent Tax-Free Income Fund Investment Shares with an inception
date of March 31, 1995, and is adjusted to reflect applicable sales charge.
Class B and Class C Shares were initially offered on October 29, 2001.The
performance figures for Class B and Class C Shares for periods prior to such
date represent the performance for Institutional Shares and is adjusted to
reflect expenses and applicable sales charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
Bond Quality as of July 31, 2008
as represented by Standard and Poor's/Moody's Rating Agencies
- --------------------------------------------------------------------------------
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
AAA/Aaa 28.51%
AA+/Aa1 7.84%
AA/Aa2 23.95%
AA-/Aa3 4.73%
A+/A1 4.59%
A/A2 11.93%
A-/A3 3.48%
BBB+/Baa1 1.70%
BBB-/Baa3 6.75%
NR/NR 1.40%
Net Cash and Equivalents 5.12%
+ Portfolio composition is subject to change.
54
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Municipal Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Municipal Bond Lehman Brothers
(Institutional Shares) Municipal Bond Index
---------------------- --------------------
7/31/98 $ 10,000 $ 10,000
$ 10,305 $ 10,281
12/98 $ 10,327 $ 10,343
$ 10,375 $ 10,435
$ 10,142 $ 10,250
$ 10,094 $ 10,210
12/99 $ 9,991 $ 10,130
$ 10,310 $ 10,426
$ 10,449 $ 10,584
$ 10,694 $ 10,840
12/00 $ 11,229 $ 11,314
$ 11,438 $ 11,565
$ 11,482 $ 11,640
$ 11,783 $ 11,967
12/01 $ 11,685 $ 11,894
$ 11,795 $ 12,006
$ 12,238 $ 12,445
$ 12,838 $ 13,036
12/02 $ 12,813 $ 13,036
$ 12,948 $ 13,193
$ 13,281 $ 13,533
$ 13,265 $ 13,544
12/03 $ 13,413 $ 13,729
$ 13,598 $ 13,966
$ 13,248 $ 13,636
$ 13,718 $ 14,167
12/04 $ 13,826 $ 14,344
$ 13,768 $ 14,339
$ 14,110 $ 14,759
$ 14,055 $ 14,741
12/05 $ 14,099 $ 14,848
$ 14,108 $ 14,885
$ 14,084 $ 14,889
$ 14,571 $ 15,397
12/06 $ 14,709 $ 15,567
$ 14,792 $ 15,693
$ 14,686 $ 15,589
$ 14,987 $ 15,873
12/07 $ 15,181 $ 16,090
$ 15,172 $ 15,991
$ 15,180 $ 16,093
7/31/08 $ 15,234 $ 16,154
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers Municipal
Bond Index. The Lehman Brothers Municipal Bond Index is generally
representative of the municipal bond market.
The Lehman Brothers Municipal Bond Index is unmanaged and does not reflect
the deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value-added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-year period ended July 31, 2008.
55
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Intermediate
Municipal Bond Fund (Institutional) returned 3.83% on a net of fee basis,
trailing its benchmark, the Lehman Brothers Quality Intermediate Municipal Bond
Index, which gained 5.71%.
The municipal bond market spent most of the 12-month period in a state of
disarray, enduring stunning downgrades among so-called monoline insurers, a
virtual shutdown of the auction rate securities market and broad selloffs by
non-traditional municipal bond investors. Meanwhile, the yield curve steepened
drastically, with short-term rates falling and long-term yields rising.
The deterioration of the monoline insurance industry, which traditionally
provided municipal issuers with financial backing but experienced eroding
fundamentals in the wake of subprime mortgage market woes, undermined all
insured municipal issues. Support for auction rate securities - which offered
municipalities more flexible credit - collapsed as investment banks, which
historically absorbed any bonds that failed to sell at auction, stopped taking
on new debt amid their own balance sheet challenges. As for non-traditional
municipal bond investors, many highly leveraged investors such as hedge funds
bailed out of municipal bonds when the market's liquidity troubles heightened.
While contending with such volatility, the Fund benefited from an overweight
position, relative to the benchmark, in short-term bonds, which generally
outperformed long-term issues. Conversely, the quality of the Fund's holdings,
which was modestly lower than the benchmark, weighed on returns, as lower grade
securities lagged. Further hindering performance was the Fund's exposure to
alternative minimum tax-eligible bonds, especially those issued by airports and
housing authorities, which struggled with the slowing economy.
Interestingly, supply through the first seven months of 2008 was comparable to
2007 levels as $260 billion worth of bonds were brought to market. Refinancing
deals - driven largely by the collapse of the auction rate market - accounted
for $75 billion of the total issuance, a 31% jump over the same period in 2007.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 3.83% 2.98% 3.86% $14,601
- -------------------------------------------------------------------------------
Class A Shares -0.03% 1.97% 3.23% $13,742
- -------------------------------------------------------------------------------
Class B Shares -1.50% 2.30% 3.16% $13,649
- -------------------------------------------------------------------------------
Class C Shares 2.77% 1.95% 2.81% $13,199
- -------------------------------------------------------------------------------
Lehman Brothers Quality Intermediate
Municipal Bond Index(1) 5.71% 3.95% 4.68% $15,856
- -------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.85% (Institutional Shares), 1.10% (Class A) and 1.85% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figure for A Shares reflects the maximum sales charge of
3.50%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. For the period prior to October 29, 2001,
the quoted performance for the Fifth Third Intermediate Municipal Bond Fund
Institutional Shares reflects the performance of the Kent Intermediate Tax-Free
Fund Institutional Shares with an inception date of December 16, 1992. Prior to
October 29, 2001, the performance figures for the Fifth Third Intermediate Bond
Fund Class A Shares reflects the performance of the Kent Intermediate Tax-Free
Fund Investment Shares with an inception date of December 18, 1992, adjusted for
the maximum sales charge. Class B and Class C Shares were initially offered on
October 29, 2001. The performance figures for Class B and Class C Shares for
periods prior to such date represent the performance for the Kent Intermediate
Tax-Free Fund Institutional Shares and is adjusted to reflect expenses and
applicable sales charges for Class B and Class C Shares.
- --------------------------------------------------------------------------------
Bond Quality as of July 31, 2008
- --------------------------------------------------------------------------------
as represented by Standard and Poor's/Moody's Rating Agencies
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
AAA/Aaa 29.51%
AA+/Aa1 4.64%
AA/Aa2 23.25%
AA-/Aa3 9.93%
A+/A1 5.16%
A/A2 6.42%
A-/A3 6.73%
BBB+/Baa1 5.69%
BBB/Baa2 1.91%
BBB-/Baa3 3.55%
NR/NR 2.43%
Net Cash and Equivalents 0.78%
+ Portfolio composition is subject to change.
NR - Not Rated
56
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Intermediate Municipal Bond Lehman Brothers Quality Intermediate
(Institutional Shares) Municipal Bond Index
--------------------------- ------------------------------------
7/31/98 $ 10,000 $ 10,000
$ 10,261 $ 10,281
12/98 $ 10,319 $ 10,361
$ 10,370 $ 10,451
$ 10,201 $ 10,303
$ 10,230 $ 10,390
12/99 $ 10,214 $ 10,391
$ 10,419 $ 10,556
$ 10,558 $ 10,718
$ 10,761 $ 10,944
12/00 $ 11,132 $ 11,287
$ 11,379 $ 11,575
$ 11,462 $ 11,665
$ 11,756 $ 11,986
12/01 $ 11,659 $ 11,910
$ 11,739 $ 12,014
$ 12,156 $ 12,478
$ 12,589 $ 12,977
12/02 $ 12,619 $ 13,010
$ 12,739 $ 13,155
$ 12,962 $ 13,454
$ 12,988 $ 13,521
12/03 $ 13,031 $ 13,614
$ 13,161 $ 13,789
$ 12,894 $ 13,500
$ 13,245 $ 13,933
12/04 $ 13,300 $ 14,027
$ 13,185 $ 13,904
$ 13,464 $ 14,227
$ 13,409 $ 14,189
12/05 $ 13,461 $ 14,258
$ 13,441 $ 14,252
$ 13,453 $ 14,275
$ 13,862 $ 14,692
12/06 $ 13,962 $ 14,798
$ 14,055 $ 14,930
$ 13,965 $ 14,874
$ 14,252 $ 15,239
12/07 $ 14,421 $ 15,522
$ 14,566 $ 15,744
$ 14,491 $ 15,679
7/31/08 $ 14,601 $ 15,856
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmarks,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers Quality
Intermediate Municipal Bond Index. The Lehman Brothers Quality
Intermediate Municipal Bond Index is generally representative of
intermediate term municipal bonds with a maturity between two and twelve
years.
The Lehman Brothers Quality Intermediate Municipal Bond Index does not
reflect the deduction of fees associated with a mutual fund such as
investment management and fund accounting fees. Investors cannot invest
directly in an index, although they can invest in its underlying mutual
funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
57
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Ohio Municipal Bond
Fund (Institutional) advanced 3.95% on a net of fee basis, trailing its
benchmark, the Lehman Brothers Quality Intermediate Municipal Bond Index, which
gained 5.71%.
Housing market woes continued to weigh on the Ohio economy as the state's
foreclosure rate consistently has ranked among the country's worst. Yet while
the state's unemployment rate remained higher than the national average, its job
market was essentially flat through the first six months of 2008 as new service
sector jobs offset losses in the manufacturing and construction industries.
Another potential bright spot was the passage of a bipartisan $1.6 billion
stimulus package, which was designed to boost the state's employment
environment.
Against this backdrop, the state issued $7.0 billion worth of municipal bonds
through the first seven months of 2008, a 16% rise over the same time period in
2007. Nationally, issuance was flat through the first seven months of 2008.
Broadly speaking, the municipal bond market spent most of the 12-month period in
a state of disarray, enduring stunning downgrades among so-called monoline
insurers, a virtual shutdown of the auction rate securities market and broad
selloffs by non-traditional municipal bond investors. Meanwhile, the yield curve
steepened drastically, with short-term rates falling and long-term yields
rising.
While contending with such volatility, the Fund benefited from an overweight
position, relative to the benchmark, in short-term bonds, which generally
outperformed long-term issues. Select exposure to pre-refunded bonds, which tend
to spike when the original issuers announce they will be refinanced, also
provided a lift. Conversely, the quality of the Fund's holdings, which was
modestly lower than the benchmark, hindered returns, as lower grade securities
lagged.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Single state funds may be subject to additional risk, since issuers they invest
in are more likely to be subject to the same political and/or economic risks.
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 3.95% 2.99% 3.65% $14,309
- -------------------------------------------------------------------------------
Class A Shares -1.36% 1.74% 2.89% $13,302
- -------------------------------------------------------------------------------
Class B Shares -2.06% 1.61% 2.48% $12,779
- -------------------------------------------------------------------------------
Class C Shares 2.96% 1.96% 2.67% $13,016
- -------------------------------------------------------------------------------
Lehman Brothers Quality Intermediate
Municipal Bond Index(1) 5.71% 3.95% 4.68% $15,856
- -------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.89% (Institutional Shares), 1.14% (Class A) and 1.89% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflects the maximum sales charge of
4.75%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The quoted performance does not reflect the deduction of taxes on Fund
distributions or redemption of shares. Institutional Shares were initially
offered on August 11, 1998. The performance figures for Institutional Shares for
periods prior to such date represent the performance for Class A Shares. Class
B, and Class C Shares were initially offered on May 27, 1993, October 11, 2000,
and April 24, 1996 respectively. The performance figures for Class B and Class C
Shares for periods prior to such date represent the performance for Class A
Shares and are adjusted to reflect expenses and applicable sales charges for
Class B and Class C Shares.
- --------------------------------------------------------------------------------
Bond Quality as of July 31, 2008
- --------------------------------------------------------------------------------
as represented by Standard and Poor's/Moody's Rating Agencies
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
AAA/Aaa 17.29%
AA+/Aa1 6.24%
AA/Aa2 25.41%
AA-/Aa3 15.98%
A+/A1 4.59%
A/A2 12.31%
A-/A3 4.03%
BBB-/Baa3 2.24%
NR/NR 11.83%
Net Cash and Equivalents 0.08%
+ Portfolio composition is subject to change.
NR - Not Rated
58
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Ohio Municipal Bond Lehman Brothers Quality Intermediate
(Institutional Shares) Municipal Bond Index
---------------------- ------------------------------------
7/31/98 $ 10,000 $ 10,000
$ 10,301 $ 10,281
12/98 $ 10,350 $ 10,361
$ 10,371 $ 10,451
$ 10,135 $ 10,303
$ 10,110 $ 10,390
12/99 $ 10,046 $ 10,391
$ 10,259 $ 10,556
$ 10,373 $ 10,718
$ 10,577 $ 10,944
12/00 $ 10,937 $ 11,287
$ 11,170 $ 11,575
$ 11,238 $ 11,665
$ 11,515 $ 11,986
12/01 $ 11,436 $ 11,910
$ 11,494 $ 12,014
$ 11,892 $ 12,478
$ 12,318 $ 12,977
12/02 $ 12,334 $ 13,010
$ 12,444 $ 13,155
$ 12,679 $ 13,454
$ 12,715 $ 13,521
12/03 $ 12,807 $ 13,614
$ 12,935 $ 13,789
$ 12,653 $ 13,500
$ 13,004 $ 13,933
12/04 $ 13,061 $ 14,027
$ 12,949 $ 13,904
$ 13,224 $ 14,227
$ 13,153 $ 14,189
12/05 $ 13,203 $ 14,258
$ 13,205 $ 14,252
$ 13,190 $ 14,275
$ 13,575 $ 14,692
12/06 $ 13,656 $ 14,798
$ 13,744 $ 14,930
$ 13,643 $ 14,874
$ 13,940 $ 15,239
12/07 $ 14,148 $ 15,522
$ 14,221 $ 15,744
$ 14,177 $ 15,679
7/31/08 $ 14,309 $ 15,856
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers Quality
Intermediate Municipal Bond Index. The Lehman Brothers Quality
Intermediate Municipal Bond Index is generally representative of
intermediate term municipal bonds with a maturity between two and twelve
years.
The Lehman Brothers Quality Intermediate Municipal Bond Index does not
reflect the deduction of fees associated with a mutual fund such as
investment management and fund accounting fees. Investors cannot invest
directly in an index, although they can invest in its underlying mutual
funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
59
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
For the 12-month period ended July 31, 2008, the Fifth Third Michigan Municipal
Bond Fund (Institutional) gained 4.43% on a net of fee basis, underperforming
its benchmark, the Lehman Brothers 1-5 year Municipal Bond Index, which returned
6.04%.
Michigan's economic prospects eroded further during the period as state
officials forecast deeper declines in economic growth and employment for 2008
and 2009. The struggles of the automotive industry, including falling vehicle
sales and shrinking market share for domestic vehicle manufacturers, accounted
for much of the gloomy outlook. The state's fiscal health received a short-term
reprieve as the new Michigan business tax and higher income tax rate generated
new revenues, but the long-term view remains clouded by the overhang of
still-soaring home foreclosure rates.
Against this backdrop, the state issued $7.0 billion worth of municipal bonds
through the first seven months of 2008, a 27% rise over the same time period in
2007. Nationally, issuance was flat through the first seven months of 2008.
Broadly speaking, the municipal bond market spent most of the 12-month period in
a state of disarray, enduring stunning downgrades among so-called monoline
insurers, a virtual shutdown of the auction rate securities market and broad
selloffs by non-traditional municipal bond investors. Meanwhile, the yield curve
steepened drastically, with short-term rates falling and long-term yields
rising.
While contending with such volatility, the Fund faltered along with Michigan
bonds and lagged the national-based benchmark. In an effort to maximize yield,
the Fund held modestly lower quality issues and alternative minimum tax-
eligible bonds, all of which were punished by investors spooked by the market's
volatility. Holdings that contributed positively to performance included high
quality general obligation bonds and essential revenue issues.
- --------------------------------------------------------------------------------
Investment Risk Considerations
- --------------------------------------------------------------------------------
The fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Single state funds may be subject to additional risk, since issuers they invest
in are more likely to be subject to the same political and/or economic risks.
Bonds offer a relatively stable level of income, although bond prices will
fluctuate providing the potential for principal gain or loss. Intermediate-term,
higher-quality bonds generally offer less risk than longer-term bonds and a
lower rate of return.
Investors in any bond fund may be subject to fluctuations in price due to issuer
and credit quality, rising interest rates, inflation and call risks associated
with the underlying bonds owned by the fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns as of July 31, 2008
- --------------------------------------------------------------------------------
Ending
1 Year 5 Year 10 Year Value(2)
------ ------ ------- --------
Institutional 4.43% 2.36% 3.36% $13,918
- -------------------------------------------------------------------------------
Class A Shares -0.66% 1.25% 2.71% $13,064
- -------------------------------------------------------------------------------
Class B Shares -1.64% 0.97% 2.32% $12,583
- -------------------------------------------------------------------------------
Class C Shares 3.33% 1.36% 2.33% $12,593
- -------------------------------------------------------------------------------
Lehman Brothers 1-5 Year Municipal
Bond Index(1) 6.04% 3.24% 4.12% $14,977
- -------------------------------------------------------------------------------
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. The
investment return and net asset value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than the original cost. To
obtain performance information current to the most recent month end, visit
www.fifththirdfunds.com.
During the period shown, the total return figures reflect the waiver of a
portion of the fund's advisory or administrative fees. Without such waiver of
fees, the total returns would have been lower. As of 7/31/08, the gross expense
ratios are 0.92% (Institutional Shares), 1.18% (Class A) and 1.92% (Classes B &
C). The total return figures for Institutional Shares reflect a sales charge of
0.0%. The total return figures for A Shares reflect the maximum sales charge of
4.75%. The total return figures for B Shares and C Shares reflect the maximum
contingent deferred sales charge (CDSC) of 5.0% and 1.0% within the first year,
respectively.
The Fund's performance in the above table does not reflect the deduction of
taxes on Fund distributions, or redemption of shares. For the period prior to
October 29, 2001, the quoted performance for the Michigan Municipal Bond Fund
Institutional Shares reflects the performance of the Kent Michigan Municipal
Bond Fund Institutional Shares with an inception date of May 3, 1993. Prior to
October 29, 2001, the quoted performance for the Fifth Third Michigan Municipal
Bond Fund Class A Shares reflects the performance of the Kent Michigan Municipal
Bond Fund Investment Shares with an inception date of May 11, 1993, adjusted for
the maximum sales charge. Class B and Class C Shares were initially offered on
October 29, 200. The performance figures for Class B and Class C Shares for
periods prior to such date represent the performance for Institutional Shares
and is adjusted to reflect expenses and applicable sales charges for Class B and
Class C Shares.
- --------------------------------------------------------------------------------
Bond Quality as of July 31, 2008
- --------------------------------------------------------------------------------
as represented by Standard and Poor's/Moody's Rating Agencies
as a percentage of value of investments+
- --------------------------------------------------------------------------------
[BAR CHART]
AAA/Aaa 30.28%
AA+/Aa1 3.88%
AA/Aa2 42.51%
AA-/Aa3 7.33%
A+/A1 2.70%
A/A2 1.95%
A-/A3 6.50%
BBB/Baa2 1.78%
BBB-/Baa3 2.21%
NR/NR 0.77%
Net Cash and Equivalents 0.09%
+ Portfolio composition is subject to change.
NR - Not Rated
60
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
- --------------------------------------------------------------------------------
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH]
Michigan Municipal Bond Lehman Brothers 1-5 Year
(Institutional Shares) Municipal Bond Index
----------------------- ------------------------
7/31/98 $ 10,000 $ 10,000
$ 10,175 $ 10,180
12/98 $ 10,254 $ 10,274
$ 10,336 $ 10,385
$ 10,246 $ 10,322
$ 10,308 $ 10,422
12/99 $ 10,322 $ 10,450
$ 10,431 $ 10,565
$ 10,552 $ 10,714
$ 10,728 $ 10,893
12/00 $ 10,973 $ 11,134
$ 11,230 $ 11,419
$ 11,331 $ 11,550
$ 11,575 $ 11,817
12/01 $ 11,574 $ 11,828
$ 11,632 $ 11,890
$ 11,966 $ 12,264
$ 12,215 $ 12,562
12/02 $ 12,293 $ 12,666
$ 12,399 $ 12,775
$ 12,523 $ 12,922
$ 12,609 $ 13,045
12/03 $ 12,583 $ 13,048
$ 12,657 $ 13,178
$ 12,482 $ 12,994
$ 12,690 $ 13,261
12/04 $ 12,718 $ 13,317
$ 12,629 $ 13,213
$ 12,780 $ 13,400
$ 12,778 $ 13,411
12/05 $ 12,820 $ 13,452
$ 12,818 $ 13,471
$ 12,848 $ 13,511
$ 13,087 $ 13,793
12/06 $ 13,161 $ 13,883
$ 13,258 $ 14,013
$ 13,269 $ 14,027
$ 13,493 $ 14,318
12/07 $ 13,676 $ 14,570
$ 13,888 $ 14,862
$ 13,810 $ 14,801
7/31/08 $ 13,918 $ 14,977
Past performance does not guarantee future results. The performance data quoted
represents past performance and current returns may be lower or higher. Total
return figures include change in share price, reinvestment of dividends and
capital gains. The investment return and principal value will fluctuate so that
an investor's shares, when redeemed may be worth more or less than the original
cost. For performance data current to the most recent month end, visit our
website at www.fifththirdfunds.com.
- --------------------------------------------------------------------------------
The chart above represents a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark,
and represents the reinvestment of dividends and capital gains in the Fund.
However, the performance does not reflect the deduction of taxes on Fund
distributions, or redemption of shares.
(1) The Fund's performance is measured against the Lehman Brothers 1-5 Year
Municipal Bond Index. The Lehman Brothers 1-5 Year Municipal Bond Index is
representative of short term municipal bonds with a maturity between one
and six years.
The Lehman Brothers 1-5 Year Municipal Bond Index does not reflect the
deduction of fees associated with a mutual fund such as investment
management and fund accounting fees. However, the Fund's performance
reflects the deduction of fees for these value- added services. Investors
cannot invest directly in an index, although they can invest in its
underlying mutual funds or securities.
(2) The ending value represents the value of a $10,000 investment in the
indicated share class for the 10-Year period ended July 31, 2008.
61
This page intentionally left blank.
62
Small Cap Growth
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (97.2%)
Aerospace & Defense (1.2%)
Heico Corp. (a) 27,677 $ 963,713
------------
Biotechnology (1.8%)
BioMarin Pharmaceuticals, Inc. * (a) 43,054 1,401,408
------------
Capital Markets (2.9%)
BGC Partners, Inc., Class A * (a) 129,453 919,116
Waddell & Reed Financial, Inc.,
Class A (a) 40,154 1,341,144
------------
2,260,260
------------
Chemicals (1.2%)
Innophos Holdings, Inc. (a) 33,564 985,775
------------
Commercial Services & Supplies (5.1%)
CoStar Group, Inc. * (a) 24,163 1,205,492
Geo Group, Inc. (The) * (a) 45,162 1,085,694
Huron Consulting Group, Inc. * (a) 17,134 893,709
Mobile Mini, Inc. * (a) 40,242 804,035
------------
3,988,930
------------
Communications Equipment (3.2%)
Nice Systems, Ltd. ADR * 41,560 1,228,514
Polycom, Inc. * (a) 53,597 1,264,889
------------
2,493,403
------------
Construction Materials (1.2%)
Texas Industries, Inc. (a) 18,539 958,466
------------
Consumer Finance (2.8%)
Cardronics, Inc. * (a) 118,968 1,023,125
Cash America International, Inc. (a) 28,468 1,200,211
------------
2,223,336
------------
Distributors (3.6%)
DXP Enterprises, Inc. * (a) 31,016 1,483,805
LKQ Corp. * (a) 65,195 1,336,498
------------
2,820,303
------------
Diversified Consumer Services (1.9%)
American Public Education, Inc. * (a) 32,569 1,479,610
------------
Diversified Financial Services (0.5%)
NewStar Financial, Inc. * (a) 72,400 397,476
------------
Diversified Telecommunication Services (1.2%)
TW Telecom, Inc. * (a) 56,848 908,431
------------
Electrical Components & Equipment (7.7%)
AZZ, Inc. * (a) 39,275 1,797,617
Belden, Inc. (a) 30,401 1,122,405
Energy Conversion Devices, Inc. * 19,769 1,382,446
GT Solar International, Inc. * (a) 51,236 628,153
Polypore International, Inc. * (a) 42,614 1,114,356
------------
6,044,977
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Electronic Equipment & Instruments (2.0%)
IPG Photonics Corp. * (a) 30,401 $ 539,922
Itron, Inc. * 10,983 1,014,060
------------
1,553,982
------------
Energy Equipment & Service (6.9%)
Complete Production Services,
Inc. * (a) 50,522 1,608,620
Core Laboratories NV (a) 9,226 1,195,782
T-3 Energy Services, Inc. * (a) 21,087 1,445,936
Willbros Group, Inc. * 30,753 1,155,698
------------
5,406,036
------------
Healthcare Equipment & Supplies (3.4%)
Masimo Corp. * (a) 29,374 1,109,456
NuVasive, Inc. * (a) 28,644 1,608,933
------------
2,718,389
------------
Healthcare Providers & Services (11.0%)
Emergency Medical Services Corp.,
Class A * (a) 50,858 1,374,183
Genoptix, Inc. * 33,200 967,780
HMS Holdings Corp. * (a) 55,794 1,388,155
inVentiv Health, Inc. * (a) 41,033 991,357
MWI Veterinary Supply, Inc. * (a) 34,047 1,193,007
Providence Service Corp. (The) * (a) 48,589 529,620
Psychiatric Solutions, Inc. * (a) 34,794 1,218,486
Sun Healthcare Group, Inc. * (a) 67,335 962,217
------------
8,624,805
------------
Healthcare Technology (1.6%)
Phase Forward, Inc. * (a) 69,255 1,274,292
------------
Hotels Restaurants & Leisure (1.9%)
Bally Technologies, Inc. * (a) 21,703 689,938
Jack in the Box, Inc. * (a) 36,024 777,398
------------
1,467,336
------------
Internet Software & Services (2.4%)
comScore, Inc. * (a) 50,083 955,584
Vocus, Inc. * (a) 28,644 1,019,440
------------
1,975,024
------------
IT Services (1.4%)
Cybersource Corp. * (a) 60,626 1,076,112
------------
Life Sciences Tools & Services (2.5%)
Icon PLC ADR * 17,485 1,404,745
Varian, Inc. * 12,219 603,618
------------
2,008,363
------------
Machinery (1.8%)
Titan Machinery, Inc. * (a) 52,587 1,441,936
------------
Marine (1.1%)
Ultrapetrol Bahamas, Ltd. * (a) 76,618 853,525
------------
Continued
63
Small Cap Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Media (2.9%)
Dolan Media Co. * (a) 49,123 $ 1,036,986
RRSat Global Communications
Network, Ltd. 89,007 1,245,208
------------
2,282,194
------------
Oil & Gas (2.7%)
Carrizo Oil & Gas, Inc. * 17,573 884,625
Penn Virginia Corp. (a) 21,087 1,281,035
------------
2,165,660
------------
Real Estate Investment Trusts (1.9%)
Digital Realty Trust, Inc. (a) 34,794 1,493,011
------------
Semiconductors & Semiconductor
Equipment (4.3%)
Atheros Communications, Inc. * (a) 40,681 1,261,111
AuthenTec, Inc. * (a) 39,748 303,675
Diodes, Inc. * (a) 39,100 1,015,427
Hittite Microwave Corp. * (a) 24,694 788,232
------------
3,368,445
------------
Software (6.6%)
Concur Technologies, Inc. * (a) 31,340 1,291,835
Micros Systems, Inc. * (a) 41,472 1,313,833
Nuance Communications, Inc. * 73,982 1,148,201
PROS Holdings, Inc. * (a) 84,845 887,479
Ultimate Software Group, Inc. * (a) 20,681 542,462
------------
5,183,810
------------
Specialty Retail (2.3%)
Aeropostale, Inc. * (a) 35,761 1,153,292
J Crew Group, Inc. * (a) 22,230 639,335
------------
1,792,627
------------
Textiles Apparel & Luxury Goods (4.4%)
Deckers Outdoor Corp. * (a) 6,502 734,791
Iconix Brand Group, Inc. * (a) 77,452 929,424
Skechers U.S.A., Inc., Class A * (a) 41,560 785,484
Warnaco Group, Inc. * (a) 24,470 1,026,516
------------
3,476,215
------------
Transportation (1.8%)
Aegean Marine Petroleum Network,
Inc. (a) 38,309 1,386,786
------------
Total Common Stocks 76,474,636
------------
Investment Companies (28.2%)
State Street Navigator Securities
Lending Portfolio (c) 22,191,345 22,191,345
------------
Total Investment Companies 22,191,345
------------
Continued
Shares Value
------------ ------------
Investments in Affiliates (2.4%)
Fifth Third Institutional Money
Market Fund (b) 1,920,211 $ 1,920,211
------------
Total Investments in Affiliates 1,920,211
------------
Total Investments (Cost $94,035,636) - 127.8% 100,586,192
Liabilities in excess of other assets - (27.8)% (21,893,234)
------------
NET ASSETS - 100.0% $ 78,692,958
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviation is used in the Schedule of Investments:
ADR - American Depositary Receipt
See notes to schedules of investments
and notes to financial statements.
64
Mid Cap Growth
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (98.4%)
Aerospace & Defense (3.8%)
BE Aerospace, Inc. * (a) 127,645 $ 3,277,924
Precision Castparts Corp. 43,537 4,067,662
Spirit Aerosystems Holdings, Inc.,
Class A * (a) 70,598 1,529,153
------------
8,874,739
------------
Auto Components (1.5%)
Wabco Holding, Inc. (a) 80,078 3,616,322
------------
Biotechnology (1.2%)
BioMarin Pharmaceuticals, Inc. * (a) 85,371 2,778,826
------------
Capital Markets (3.7%)
T Rowe Price Group, Inc. (a) 72,991 4,368,511
Waddell & Reed Financial, Inc.,
Class A 127,021 4,242,501
------------
8,611,012
------------
Chemicals (3.8%)
CF Industries Holdings, Inc. (a) 29,454 4,814,551
FMC Corp. (a) 56,515 4,203,021
------------
9,017,572
------------
Commercial Services & Supplies (5.5%)
Corrections Corp. of America * (a) 170,742 4,785,898
Manpower, Inc. (a) 56,515 2,712,720
Stericycle, Inc. * (a) 91,860 5,488,635
------------
12,987,253
------------
Communications Equipment (1.9%)
CommScope, Inc. * (a) 50,072 2,232,711
Juniper Networks, Inc. * (a) 84,404 2,197,036
------------
4,429,747
------------
Computers & Peripherals (1.2%)
Logitech International SA * 44,181 1,158,868
NetApp, Inc. * 68,297 1,744,988
------------
2,903,856
------------
Containers & Packaging (1.4%)
Owens-Illinois, Inc. * 76,489 3,230,895
------------
Distributors (1.6%)
LKQ Corp. * (a) 187,309 3,839,834
------------
Diversified Consumer Services (1.9%)
Apollo Group, Inc., Class A * 69,401 4,322,988
------------
Diversified Financial Services (0.8%)
IntercontinentalExchange, Inc. * (a) 18,869 1,883,126
------------
Electric Utilities (1.4%)
PPL Corp. (a) 70,598 3,315,282
------------
Electrical Components & Equipment (1.2%)
General Cable Corp. * (a) 48,323 2,784,854
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Electronic Equipment & Instruments (3.8%)
Flir Systems, Inc. * (a) 44,534 $ 1,814,315
Itron, Inc. * 19,421 1,793,141
Mettler Toledo International, Inc. * 50,072 5,383,241
------------
8,990,697
------------
Energy Equipment & Service (8.1%)
Core Laboratories NV (a) 20,618 2,672,299
Exterran Holdings, Inc. * (a) 76,489 4,317,039
Noble Corp. 58,908 3,055,558
Oceaneering International, Inc. * (a) 70,598 4,281,063
Superior Energy Services, Inc. * (a) 95,910 4,549,011
Transocean, Inc. * 1 136
------------
18,875,106
------------
Healthcare Equipment & Supplies (5.0%)
Dentsply International, Inc. 107,139 4,312,345
Gen-Probe, Inc. * (a) 48,301 2,575,409
Hologic, Inc. * (a) 110,637 2,043,465
Varian Medical Systems, Inc. * (a) 47,127 2,827,620
------------
11,758,839
------------
Healthcare Providers & Services (2.0%)
Express Scripts, Inc. * 65,351 4,609,860
------------
Hotels Restaurants & Leisure (2.9%)
Burger King Holdings, Inc. (a) 173,687 4,660,022
International Game Technology (a) 96,554 2,096,187
------------
6,756,209
------------
Household Durables (1.7%)
Snap-On, Inc. (a) 72,255 4,067,234
------------
Industrial Conglomerates (1.9%)
McDermott International, Inc. * 94,161 4,488,655
------------
Insurance (1.5%)
ProAssurance Corp. * (a) 70,045 3,428,002
------------
Internet Software & Services (0.7%)
Akamai Technologies, Inc. * (a) 67,085 1,565,764
------------
IT Services (1.0%)
Cognizant Technology Solutions
Corp., Class A * 40,039 1,123,895
Paychex, Inc. (a) 38,843 1,278,712
------------
2,402,607
------------
Life Sciences Tools & Services (3.3%)
PerkinElmer, Inc. (a) 161,261 4,692,695
Pharmaceutical Product
Development, Inc. 77,133 2,941,853
------------
7,634,548
------------
Machinery (5.5%)
IDEX Corp. (a) 99,684 3,771,046
ITT Corp. (a) 58,264 3,901,357
Joy Global, Inc. 72,439 5,231,545
------------
12,903,948
------------
Continued
65
Mid Cap Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Metals/Mining (1.5%)
Cleveland-Cliffs, Inc. 33,136 $ 3,592,274
------------
Oil & Gas (3.3%)
Range Resources Corp. 71,334 3,463,979
Ultra Petroleum Corp. * 60,657 4,329,697
------------
7,793,676
------------
Personal Products (2.0%)
Herbalife, Ltd. (a) 107,139 4,627,333
------------
Real Estate Investment Trusts (0.8%)
CapitalSource, Inc. (a) 154,266 1,792,571
------------
Semiconductors & Semiconductor
Equipment (4.6%)
Broadcom Corp., Class A * (a) 75,476 1,833,312
Kla-Tencor Corp. (a) 60,565 2,276,638
Linear Technology Corp. (a) 74,556 2,314,964
MEMC Electronic Materials, Inc. * 16,625 768,241
Xilinx, Inc. (a) 141,288 3,508,181
------------
10,701,336
------------
Software (7.9%)
Activision Blizzard, Inc. * 135,377 4,870,865
Ansys, Inc. * (a) 47,127 2,162,187
Electronic Arts, Inc. * 59,641 2,575,298
Intuit, Inc. * (a) 134,200 3,667,686
Nuance Communications, Inc. * (a) 188,414 2,924,185
Salesforce.com, Inc. * (a) 34,701 2,213,577
------------
18,413,798
------------
Specialty Retail (5.2%)
GameStop Corp., Class A * (a) 74,556 3,020,264
Guess ?, Inc. (a) 91,860 2,909,206
J Crew Group, Inc. * (a) 67,652 1,945,672
Urban Outfitters, Inc. * (a) 131,899 4,353,986
------------
12,229,128
------------
Textiles Apparel & Luxury Goods (1.2%)
Warnaco Group, Inc. * (a) 68,849 2,888,216
------------
Utilities (1.2%)
NRG Energy, Inc. * (a) 79,434 2,882,660
------------
Wireless Telecommunication
Services (2.4%)
American Tower Corp., Class A * 134,844 5,649,964
------------
Total Common Stocks 230,648,731
------------
Continued
Shares Value
------------ ------------
Investment Companies (27.1%)
State Street Navigator Securities
Lending Portfolio (c) 63,530,259 $ 63,530,259
------------
Total Investment Companies 63,530,259
------------
Investments in Affiliates (2.0%)
Fifth Third Institutional Money
Market Fund (b) 4,690,601 4,690,601
------------
Total Investments in Affiliates 4,690,601
------------
Total Investments (Cost $287,739,620) - 127.5% 298,869,591
Liabilities in excess of other assets - (27.5)% (64,516,447)
------------
NET ASSETS - 100.0% $234,353,144
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments
and notes to financial statements.
66
Quality Growth
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (96.6%)
Aerospace & Defense (1.1%)
United Technologies Corp. 80,527 $ 5,152,117
------------
Auto Components (1.0%)
Johnson Controls, Inc. 161,055 4,857,419
------------
Biotechnology (2.1%)
Gilead Sciences, Inc. * 189,476 10,227,914
------------
Capital Markets (5.7%)
BlackRock, Inc. (c) 33,158 7,185,670
Northern Trust Corp. (c) 142,107 11,108,504
T Rowe Price Group, Inc. (c) 146,844 8,788,614
------------
27,082,788
------------
Chemicals (4.3%)
Monsanto Co. 85,264 10,155,795
Praxair, Inc. (c) 108,949 10,211,790
------------
20,367,585
------------
Commercial Services & Supplies (1.8%)
Stericycle, Inc. * 142,107 8,490,893
------------
Communications Equipment (5.3%)
Cisco Systems, Inc. * 435,796 9,583,154
Qualcomm, Inc. 180,003 9,961,366
Research In Motion, Ltd. * 46,000 5,649,720
------------
25,194,240
------------
Computers & Peripherals (6.6%)
Apple, Inc. * 58,738 9,336,405
EMC Corp. * 236,845 3,555,044
Hewlett-Packard Co. 142,107 6,366,394
International Business Machines
Corp. (c) 97,580 12,488,288
------------
31,746,131
------------
Construction & Engineering (1.6%)
Fluor Corp. 90,949 7,398,701
------------
Diversified Financial Services (1.0%)
JPMorgan Chase & Co. 123,160 5,003,991
------------
Electric Utilities (1.4%)
FPL Group, Inc. (c) 104,212 6,724,800
------------
Electrical Components & Equipment (2.6%)
Emerson Electric Co. 161,055 7,843,379
Roper Industries, Inc. (c) 75,791 4,636,893
------------
12,480,272
------------
Energy Equipment & Service (4.6%)
Nabors Industries, Ltd. * (c) 198,950 7,253,717
Transocean, Inc. * 59,685 8,118,951
Weatherford International, Ltd. * 180,003 6,791,513
------------
22,164,181
------------
Food & Staples Retailing (1.3%)
Kroger Co. (The) 227,372 6,430,080
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Food Products (3.6%)
HJ Heinz Co. 142,107 $ 7,159,351
Kellogg Co. 189,476 10,053,596
------------
17,212,947
------------
Healthcare Equipment & Supplies (5.5%)
Alcon, Inc. 18,687 3,222,200
Baxter International, Inc. 150,000 10,291,500
Becton Dickinson & Co. 61,580 5,228,758
St Jude Medical, Inc. * (c) 165,792 7,722,591
------------
26,465,049
------------
Hotels Restaurants & Leisure (3.8%)
Burger King Holdings, Inc. 274,741 7,371,301
McDonald's Corp. 180,003 10,762,379
------------
18,133,680
------------
Household Products (2.5%)
Colgate-Palmolive Co. 71,054 5,277,181
Procter & Gamble Co. 99,475 6,513,623
------------
11,790,804
------------
Insurance (1.0%)
Aflac, Inc. (c) 85,264 4,741,531
------------
Internet Software & Services (1.8%)
Google, Inc., Class A * 18,000 8,527,500
------------
IT Services (0.9%)
Mastercard, Inc., Class A 17,053 4,163,490
------------
Leisure Equipment & Products (1.3%)
Hasbro, Inc. 161,055 6,236,050
------------
Life Sciences Tools & Services (3.2%)
Illumina, Inc. * (c) 65,000 6,060,600
Thermo Fisher Scientific, Inc. * 151,581 9,173,682
------------
15,234,282
------------
Machinery (5.9%)
Caterpillar, Inc. (c) 90,001 6,256,870
Danaher Corp. (c) 104,212 8,300,486
Flowserve Corp. 58,738 7,832,125
Illinois Tool Works, Inc. 127,897 5,991,974
------------
28,381,455
------------
Medical-Biomedical/Genetics (1.0%)
Alexion Pharmaceuticals, Inc. * 50,000 4,687,500
------------
Metals & Mining (2.5%)
Freeport-McMoRan Copper &
Gold, Inc. (c) 61,580 5,957,865
United States Steel Corp. 37,895 6,076,842
------------
12,034,707
------------
Multi-Utilities (1.3%)
MDU Resources Group, Inc. 189,476 6,046,179
------------
Continued
67
Quality Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Oil & Gas (4.4%)
Chevron Corp. 75,791 $ 6,408,887
Consol Energy, Inc. 83,370 6,201,894
Devon Energy Corp. 85,264 8,090,701
Occidental Petroleum Corp. 3,790 298,766
------------
21,000,248
------------
Pharmaceuticals (3.9%)
Abbott Laboratories 156,318 8,806,956
Johnson & Johnson 142,107 9,730,066
------------
18,537,022
------------
Road & Rail (1.6%)
Union Pacific Corp. 94,738 7,810,201
------------
Semiconductors & Semiconductor
Equipment (1.6%)
Intel Corp. 350,531 7,778,283
------------
Software (7.0%)
Activision Blizzard, Inc. * 274,741 9,885,181
Microsoft Corp. 540,008 13,889,006
Oracle Corp. * 450,006 9,688,629
------------
33,462,816
------------
Specialty Retail (2.4%)
Best Buy Co., Inc. (c) 75,791 3,010,418
GameStop Corp., Class A * (c) 56,843 2,302,710
Urban Outfitters, Inc. * (c) 189,476 6,254,603
------------
11,567,731
------------
Textiles Apparel & Luxury Goods (1.0%)
Nike, Inc., Class B 85,264 5,003,292
------------
Total Common Stocks 462,135,879
------------
Investment Companies (7.4%)
State Street Navigator Securities
Lending Portfolio (f) 35,511,535 35,511,535
------------
Total Investment Companies 35,511,535
------------
Principal
Amount
------------
Asset-Backed Securities (0.1%)
Home Equity Other (0.1%)
GMAC Mortgage Corp. Loan Trust,
Series 2004-HE5, Class A4, 4.34%,
9/25/34 (a) $ 254,971 247,360
------------
Manufactured Housing ABS Other (0.0%)
Green Tree Financial Corp., Series
1995-4, Class M1, 7.60%, 6/15/25 (a) 189,919 192,491
------------
Continued
Principal
Amount Value
------------ ------------
Asset-Backed Securities, continued
Other ABS (0.0%)
Aerco, Ltd., Series 2A, Class A3,
2.92%, 7/15/25 (a) (b) (e) $ 82,691 $ 63,672
------------
Total Asset-Backed Securities 503,523
------------
Corporate Bonds (0.0%)
Commercial Banks-Central U.S. (0.0%)
Bank One Capital III, 8.75%, 9/1/30 165,792 174,902
------------
Total Corporate Bonds 174,902
------------
Mortgage-Backed Securities (1.1%)
WL Collateral CMO Other (1.0%)
American Home Mortgage Investment
Trust, Series 2005-2, Class 5A4D,
5.33%, 9/25/35 1,421,073 1,192,231
Banc of America Funding Corp.,
Series 2006-G, Class 3A2, 5.75%,
7/20/36 (a) 1,501,600 1,243,391
Bear Stearns Adjustable Rate
Mortgage Trust, Series 2005-12,
Class 13A1, 5.45%, 2/25/36 (a) 756,031 663,540
Chaseflex Trust, Series 2006-1,
Class A2A, 5.94%, 6/25/36 (a) 378,953 362,888
Indymac Index Mortgage Loan Trust,
Series 2005-AR9, Class 1A1, 5.05%,
7/25/35 (a) 150,456 120,973
JP Morgan Mortgage Trust, Series
2005-A1, Class 2A1, 4.85%,
2/25/35 (a) 297,665 273,138
Morgan Stanley Mortgage Loan Trust,
Series 2004-4, Class 3A, 5.00%,
8/25/19 568,749 555,774
WaMu Mortgage Pass Through
Certificates, Series 2004-AR3,
Class A2, 4.24%, 6/25/34 (a) 287,202 258,738
------------
4,670,673
------------
WL Collateral CMO Sequential (0.1%)
Countrywide Alternative Loan Trust,
Series 2005-J3, Class 3A1, 6.50%,
9/25/34 169,056 155,943
Countrywide Alternative Loan Trust,
Series 2005-74T1, Class A1, 6.00%,
1/25/36 316,353 238,649
------------
394,592
------------
WL Collateral Support (0.0%)
Bear Stearns Alt-A Trust, Series
2005-9, Class 21A2, 5.71%,
11/25/35 (a) 128,708 67,347
------------
Total Mortgage-Backed Securities 5,132,612
------------
Continued
68
Quality Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
U.S. Government Agencies (0.1%)
Fannie Mae (0.1%)
6.00%, 8/25/33 (a) $ 334,597 $ 309,875
5.50%, 4/25/37 239,595 211,395
------------
521,270
------------
Freddie Mac (0.0%)
5.50%, 3/15/35 222,635 215,843
------------
Government National Mortgage
Association (0.0%)
0.55%, 4/16/46, , IO (a) (b) (e) 3,163,528 105,042
------------
Total U.S. Government Agencies 842,155
------------
Shares
------------
Investments in Affiliates (3.9%)
Fifth Third Institutional Money
Market Fund (d) 18,534,723 18,534,723
------------
Total Investments in Affiliates 18,534,723
------------
Total Investments (Cost $447,741,256) - 109.2% 522,835,329
Liabilities in excess of other assets - (9.2)% (44,235,638)
------------
NET ASSETS - 100.0% $478,599,691
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) The Fund's securities were fair valued at July 31, 2008 using procedures
approved by the Board of Trustees.
(f) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
CMO - Collateralized Mortgage Obligation
IO - Interest Only
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
Dividend Growth
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (99.5%)
Aerospace & Defense (5.1%)
General Dynamics Corp. (a) 5,052 $ 450,335
United Technologies Corp. 9,046 578,763
------------
1,029,098
------------
Air Freight & Logistics (0.8%)
CH Robinson Worldwide, Inc. (a) 3,552 171,206
------------
Auto Components (1.2%)
BorgWarner, Inc. (a) 5,882 237,162
------------
Beverages (4.9%)
Coca-Cola Co. (The) (a) 4,508 232,162
Diageo PLC ADR 4,595 323,395
Hansen National Corp. * (a) 3,025 69,151
PepsiCo, Inc. 5,476 364,483
------------
989,191
------------
Biotechnology (3.1%)
Celgene Corp. * (a) 4,841 365,447
Genentech, Inc. * (a) 2,783 265,081
------------
630,528
------------
Capital Markets (4.6%)
Charles Schwab Corp. (The) (a) 11,921 272,872
Franklin Resources, Inc. (a) 2,095 210,778
Northern Trust Corp. (a) 3,328 260,150
State Street Corp. 2,391 171,291
------------
915,091
------------
Chemicals (2.8%)
Ecolab, Inc. (a) 5,597 250,186
Praxair, Inc. (a) 3,325 311,652
------------
561,838
------------
Commercial Banks (5.6%)
PNC Financial Services Group, Inc. (a) 2,569 183,144
US Bancorp (a) 16,613 508,524
Wells Fargo & Co. (a) 14,522 439,581
------------
1,131,249
------------
Communications Equipment (3.8%)
Qualcomm, Inc. 8,492 469,947
Research In Motion, Ltd. * (a) 2,391 293,663
------------
763,610
------------
Computers & Peripherals (3.0%)
Apple, Inc. * 2,109 335,225
Hewlett-Packard Co. (a) 5,840 261,632
------------
596,857
------------
Diversified Financial Services (3.3%)
Bank of America Corp. (a) 8,187 269,352
Citigroup, Inc. (a) 6,203 115,934
JPMorgan Chase & Co. 7,050 286,442
------------
671,728
------------
Continued
69
Dividend Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Electrical Components & Equipment (3.9%)
Emerson Electric Co. 11,860 $ 577,582
Roper Industries, Inc. (a) 3,298 201,772
------------
779,354
------------
Energy Equipment & Service (1.9%)
Schlumberger, Ltd. 3,782 384,251
------------
Food & Staples Retailing (4.0%)
Costco Wholesale Corp. (a) 3,237 202,896
CVS Caremark Corp. 7,993 291,743
Wal-Mart Stores, Inc. (a) 5,095 298,669
------------
793,308
------------
Food Products (1.1%)
Kellogg Co. 4,145 219,934
------------
Healthcare Equipment & Supplies (7.0%)
Becton Dickinson & Co. 5,446 462,420
Dentsply International, Inc. (a) 9,388 377,867
Medtronic, Inc. 3,688 194,837
Stryker Corp. (a) 5,627 361,197
------------
1,396,321
------------
Healthcare Providers & Services (1.0%)
Aetna, Inc. 4,992 204,722
------------
Hotels Restaurants & Leisure (2.3%)
Carnival Corp. (a) 4,089 151,048
McDonald's Corp. (a) 5,294 316,528
------------
467,576
------------
Household Products (2.5%)
Procter & Gamble Co. 7,543 493,916
------------
Industrial Conglomerates (1.6%)
General Electric Co. 11,618 328,673
------------
Insurance (3.3%)
MetLife, Inc. 7,231 367,118
Prudential Financial, Inc. (a) 4,205 290,019
------------
657,137
------------
IT Services (0.9%)
Fiserv, Inc. * (a) 3,963 189,511
------------
Media (1.5%)
Comcast Corp., Class A (a) 14,626 301,588
------------
Metals & Mining (1.2%)
Freeport-McMoRan Copper & Gold, Inc. (a) 2,514 243,230
------------
Multiline Retail (0.9%)
Kohl's Corp. * (a) 4,356 182,560
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Oil & Gas (9.6%)
Apache Corp. (a) 2,178 $ 244,306
Chevron Corp. (a) 4,266 360,733
Exxon Mobil Corp. 10,286 827,303
Marathon Oil Corp. 4,236 209,555
XTO Energy, Inc. (a) 5,854 276,485
------------
1,918,382
------------
Pharmaceuticals (4.7%)
Abbott Laboratories 5,759 324,462
Allergan, Inc. (a) 5,385 279,643
Johnson & Johnson (a) 4,870 333,449
------------
937,554
------------
Road & Rail (1.0%)
Canadian Pacific Railway, Ltd. 3,176 199,485
------------
Semiconductors & Semiconductor Equipment (5.9%)
Intel Corp. (a) 15,581 345,742
Intersil Corp., Class A (a) 11,406 275,227
Microchip Technology, Inc. (a) 10,246 327,155
Xilinx, Inc. (a) 9,525 236,506
------------
1,184,630
------------
Software (1.6%)
Oracle Corp. * 14,581 313,929
------------
Textiles Apparel & Luxury Goods (3.4%)
Nike, Inc., Class B (a) 5,022 294,691
VF Corp. (a) 5,484 392,545
------------
687,236
------------
Tobacco (2.0%)
Philip Morris International, Inc. 7,731 399,306
------------
Total Common Stocks 19,980,161
------------
Investment Companies (26.6%)
State Street Navigator Securities
Lending Portfolio (c) 5,344,714 5,344,714
------------
Total Investment Companies 5,344,714
------------
Investments in Affiliates (0.5%)
Fifth Third Institutional Money
Market Fund (b) 93,723 93,723
------------
Total Investments in Affiliates 93,723
------------
Continued
70
Dividend Growth
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Value
------------
Total Investments (Cost $24,154,481) - 126.6% $ 25,418,598
Liabilities in excess of other assets - (26.6)% (5,335,998)
------------
NET ASSETS - 100.0% $ 20,082,600
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviation is used in the Schedule of Investments:
ADR - American Depositary Receipt
See notes to schedules of investments
and notes to financial statements.
Micro Cap Value
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (94.9%)
Aerospace & Defense (2.1%)
Ducommun, Inc. * (a) 14,390 $ 394,430
LMI Aerospace, Inc. * (a) 22,253 411,013
------------
805,443
------------
Biotechnology (1.1%)
Emergent Biosolutions, Inc. * (a) 30,028 404,477
------------
Capital Markets (4.4%)
Gladstone Capital Corp. (a) 22,261 367,529
MVC Capital, Inc. 9,286 130,747
Penson Worldwide, Inc. * 25,481 469,360
Sanders Morris Harris Group, Inc. (a) 41,209 319,370
SWS Group, Inc. (a) 20,960 396,563
------------
1,683,569
------------
Commercial Banks (10.9%)
Bank of Florida Corp. * (a) 22,661 148,203
Center Bancorp, Inc. 33,062 317,726
Center Financial Corp. (a) 30,260 332,860
First Merchants Corp. (a) 17,290 363,090
First State Bancorporation (a) 41,512 211,711
MainSource Financial Group, Inc. (a) 24,978 445,858
Northrim BanCorp, Inc. (a) 15,100 240,392
Old Second Bancorp, Inc. (a) 24,000 365,280
Pacific Continental Corp. (a) 24,700 279,110
Renasant Corp. (a) 20,190 357,565
Rurban Financial Corp. 10,876 111,370
Simmons First National Corp., Class A (a) 16,341 486,145
Southcoast Financial Corp. * 9,572 114,481
Washington Trust Bancorp, Inc. 15,065 359,752
------------
4,133,543
------------
Commercial Services & Supplies (5.0%)
Barrett Business Services, Inc. (a) 30,174 496,061
CBIZ, Inc. * (a) 41,655 341,154
ICT Group, Inc. * (a) 32,256 258,693
Schawk, Inc., Class A (a) 27,103 350,442
Spherion Corp.* 52,100 254,769
Standard Register Co. (The) (a) 20,516 181,156
------------
1,882,275
------------
Communications Equipment (2.1%)
Radyne Corp. * 30,795 353,835
Symmetricom, Inc. * (a) 94,520 456,532
------------
810,367
------------
Computers & Peripherals (1.2%)
ActivIdentity Corp. * (a) 52,655 135,850
Dot Hill Systems Corp. * 116,576 307,761
------------
443,611
------------
Continued
71
Micro Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Construction Materials (1.1%)
Headwaters, Inc. * (a) 31,080 $ 407,459
------------
Distributors (0.9%)
Audiovox Corp., Class A * (a) 36,308 331,492
------------
Diversified Financial Services (1.2%)
NGP Capital Resources Co.(a) 27,952 454,220
------------
Diversified Telecommunication Services (1.3%)
D&E Communications, Inc. (a) 19,422 173,050
Iowa Telecommunications Services, Inc. (a) 17,600 326,304
------------
499,354
------------
Electronic Equipment & Instruments (6.5%)
Agilysys, Inc. (a) 29,864 358,368
CTS Corp. (a) 23,538 302,699
GSI Group, Inc. * 47,817 248,648
OSI Systems, Inc. * (a) 17,072 359,707
PAR Technology Corp. * (a) 56,585 462,299
TTM Technologies, Inc. * 38,474 432,832
Zygo Corp. * (a) 27,942 302,053
------------
2,466,606
------------
Energy Equipment & Services (1.4%)
Mitcham Industries, Inc. * (a) 18,400 282,992
Trico Marine Services, Inc. * (a) 9,773 249,407
------------
532,399
------------
Food & Staples Retailing (0.9%)
Nash Finch Co. (a) 8,420 332,337
------------
Food Products (3.1%)
B&G Foods, Inc., Class A (a) 30,633 272,634
Monterey Gourmet Foods, Inc. * (a) 61,076 101,386
Overhill Farms, Inc. * 73,628 705,356
Tasty Baking Co. (a) 22,479 104,752
------------
1,184,128
------------
Gas-Distribution (0.8%)
Chesapeake Utilities Corp. (a) 10,915 312,060
------------
Healthcare Equipment & Supplies (3.9%)
Datascope Corp. (a) 9,323 435,198
Greatbatch, Inc. * (a) 21,750 445,005
Medical Action Industries, Inc. * (a) 34,983 347,731
National Dentex Corp. * 26,401 265,330
------------
1,493,264
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Healthcare Providers & Services (2.7%)
American Dental Partners, Inc. * (a) 21,614 $ 220,679
Cross Country Healthcare, Inc. * (a) 27,290 435,276
Res-Care, Inc. * (a) 20,120 369,403
------------
1,025,358
------------
Hotels Restaurants & Leisure (3.1%)
Benihana, Inc. * 3,830 25,508
Benihana, Inc., Class A * 37,778 251,979
Bluegreen Corp. * (a) 52,770 609,494
Frisch's Restaurants, Inc. 6,646 139,765
Steak N Shake Co. (The) * (a) 22,499 155,018
------------
1,181,764
------------
Household Durables (0.5%)
La-Z-Boy, Inc. (a) 24,625 181,732
------------
Insurance (3.0%)
Amerisafe, Inc. * 20,141 365,962
Fpic Insurance Group, Inc. * (a) 6,270 313,186
Procentury Corp. 10,433 171,623
SeaBright Insurance Holdings, Inc. * (a) 25,072 288,328
------------
1,139,099
------------
Internet Software & Services (0.6%)
Vignette Corp. * (a) 20,644 232,451
------------
IT Services (3.0%)
Ciber, Inc. *(a) 74,887 529,451
Ness Technologies, Inc. *(a) 48,384 598,510
------------
1,127,961
------------
Machinery (2.4%)
Flanders Corp. * (a) 69,774 438,878
NN, Inc. (a) 18,565 247,286
Trimas Corp. * (a) 30,900 211,047
------------
897,211
------------
Marine (1.4%)
Stealthgas, Inc. (a) 36,193 542,895
------------
Multiline Retail (0.6%)
Tuesday Morning Corp. * 65,941 253,213
------------
Oil & Gas (1.9%)
Callon Petroleum Co. * (a) 16,844 387,244
Gulfport Energy Corp. * (a) 24,000 346,080
------------
733,324
------------
Paper & Forest Products (0.9%)
Schweitzer-Mauduit International, Inc. (a) 18,473 343,783
------------
Continued
72
Micro Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Real Estate Investment Trusts (3.6%)
Hersha Hospitality Trust, A Shares (a) 77,981 $ 553,665
MHI Hospitality Corp. (a) 35,120 183,326
Monmouth Real Estate Investment
Corp., Class A (a) 40,943 295,199
U-Store-It Trust (a) 29,460 343,209
------------
1,375,399
------------
Road & Rail (4.1%)
Celadon Group, Inc. * (a) 36,830 487,261
Marten Transport, Ltd. * 20,385 424,416
Saia, Inc. * (a) 24,250 424,375
USA Truck, Inc. * 14,800 236,504
------------
1,572,556
------------
Semiconductors & Semiconductor Equipment (6.4%)
Applied Micro Circuits Corp. * (a) 44,690 346,794
AXT, Inc. * (a) 56,200 220,304
IXYS Corp. * 29,648 362,892
Nanometrics, Inc. * 30,436 133,005
Rudolph Technologies, Inc. * (a) 34,214 298,688
Semitool, Inc. * (a) 58,597 525,615
Ultratech, Inc. * (a) 17,444 257,125
White Electronic Designs Corp. * (a) 59,811 280,514
------------
2,424,937
------------
Software (0.9%)
Secure Computing Corp. * (a) 86,810 341,163
------------
Specialty Retail (5.0%)
Casual Male Retail Group, Inc. * (a) 75,680 307,261
Charlotte Russe Holdings, Inc. * (a) 21,782 282,295
Jo-Ann Stores, Inc. * (a) 24,385 535,738
Monro Muffler, Inc. (a) 28,848 525,322
Stein Mart, Inc. (a) 57,064 255,076
------------
1,905,692
------------
Thrifts & Mortgage Finance (6.0%)
American Bancorp of New Jersey (a) 31,662 315,354
B of I Holding, Inc. * 46,762 328,737
Benjamin Franklin Bancorp, Inc. (a) 19,441 220,461
Berkshire Hills Bancorp, Inc. (a) 19,090 505,885
Citizens Community Bancorp, Inc. 18,769 159,161
First Clover Leaf Financial Corp. (a) (d) 19,567 178,451
United Western Bancorp, Inc. (a) 22,247 266,297
WSFS Financial Corp. (a) 5,860 319,077
------------
2,293,423
------------
Trading Companies & Distributors (0.9%)
Aceto Corp. (a) 45,822 344,581
------------
Total Common Stocks 36,093,146
------------
Continued
Shares Value
------------ ------------
Investment Companies (28.8%)
State Street Navigator Securities
Lending Portfolio (c) 10,927,545 $ 10,927,545
------------
Total Investment Companies 10,927,545
------------
Investments in Affiliates (4.4%)
Fifth Third Institutional Money
Market Fund (b) 1,663,530 1,663,530
------------
Total Investments in Affiliates 1,663,530
------------
Total Investments (Cost $49,795,585) - 128.1% 48,684,221
Liabilities in excess of other assets - (28.1)% (10,689,290)
------------
NET ASSETS - 100.0% $ 37,994,931
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
(d) Illiquid Securities.
See notes to schedules of investments
and notes to financial statements.
73
Small Cap Value
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (96.7%)
Aerospace & Defense (1.4%)
AAR Corp. * (a) 70,331 $ 1,208,990
------------
Beverages (1.1%)
PepsiAmericas, Inc. (a) 41,446 981,027
------------
Capital Markets (2.2%)
Apollo Investment Corp. (a) 65,548 1,044,180
Gladstone Capital Corp. (a) 58,183 960,601
------------
2,004,781
------------
Chemicals (3.6%)
Ferro Corp. (a) 83,845 1,824,467
PolyOne Corp. * (a) 190,503 1,428,773
------------
3,253,240
------------
Commercial Banks (10.7%)
Community Bank System, Inc. (a) 69,923 1,650,183
MainSource Financial Group, Inc. (a) 80,877 1,443,654
Old National Bancorp (a) 108,147 1,641,672
Renasant Corp. (a) 69,951 1,238,832
UMB Financial Corp. (a) 36,391 2,004,052
United Bankshares, Inc. (a) 61,487 1,548,858
------------
9,527,251
------------
Commercial Services & Supplies (1.5%)
Schawk, Inc., Class A (a) 101,585 1,313,494
------------
Communications Equipment (1.9%)
ADC Telecommunications, Inc. * (a) 110,411 1,044,488
Extreme Networks, Inc. * (a) 231,884 679,420
------------
1,723,908
------------
Construction & Engineering (1.7%)
MasTec, Inc. * (a) 108,245 1,553,316
------------
Construction Materials (1.6%)
Headwaters, Inc. * (a) 109,465 1,435,086
------------
Diversified Consumer Services (1.4%)
Stewart Enterprises, Inc.,
Class A (a) 141,800 1,263,438
------------
Diversified Telecommunication Services (2.4%)
Iowa Telecommunications Services, Inc. (a) 116,739 2,164,341
------------
Electric Utilities (3.6%)
Cleco Corp. (a) 66,034 1,659,435
Westar Energy, Inc. (a) 68,817 1,519,479
------------
3,178,914
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Electrical Components & Equipment (1.7%)
EnerSys * (a) 45,785 $ 1,477,940
------------
Electronic Equipment & Instruments (1.7%)
CTS Corp. (a) 114,732 1,475,454
------------
Energy Equipment & Services (3.6%)
CARBO Ceramics, Inc. (a) 26,391 1,444,116
Oil States International, Inc. * (a) 18,660 1,024,061
Trico Marine Services, Inc. * (a) 30,889 788,287
------------
3,256,464
------------
Food & Staples Retailing (1.8%)
Casey's General Stores, Inc. (a) 65,544 1,612,382
------------
Healthcare Providers & Services (3.8%)
Kindred Healthcare, Inc. * 69,505 1,874,550
Molina Healthcare, Inc. * (a) 51,481 1,536,193
------------
3,410,743
------------
Hotels Restaurants & Leisure (1.7%)
Bluegreen Corp. * (a) 134,924 1,558,372
------------
Household Durables (1.3%)
La-Z-Boy, Inc. (a) 156,567 1,155,464
------------
Insurance (3.3%)
Endurance Specialty Holdings, Ltd. (a) 36,713 1,123,418
Platinum Underwriters Holdings, Ltd. (a) 50,127 1,809,584
------------
2,933,002
------------
IT Services (1.5%)
Perot Systems Corp., Class A * (a) 82,313 1,376,273
------------
Machinery (7.0%)
Albany International Corp., Class A (a) 49,487 1,420,277
EnPro Industries, Inc. * (a) 49,724 1,790,561
Toro Co. (a) 37,014 1,204,806
Trinity Industries, Inc. (a) 47,715 1,795,992
------------
6,211,636
------------
Marine (1.1%)
Alexander & Baldwin, Inc. (a) 22,728 986,168
------------
Metals & Mining (1.4%)
Coeur d'Alene Mines Corp. * (a) 432,640 1,250,330
------------
Multiline Retail (1.3%)
Dollar Tree, Inc. * 29,880 1,120,500
------------
Continued
74
Small Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Multi-Utilities (1.9%)
Vectren Corp. (a) 57,573 $ 1,681,132
------------
Oil & Gas (2.4%)
Rosetta Resources, Inc. * (a) 44,900 1,060,538
Tsakos Energy Navigation, Ltd. 32,212 1,113,891
------------
2,174,429
------------
Paper & Forest Products (1.8%)
Schweitzer-Mauduit International,
Inc. (a) 87,391 1,626,346
------------
Pharmaceuticals (2.4%)
Biovail Corp. 96,239 976,826
Par Pharmaceutical Cos., Inc. * (a) 69,736 1,206,433
------------
2,183,259
------------
Real Estate Investment Trusts (4.2%)
LaSalle Hotel Properties (a) 58,265 1,323,198
U-Store-It Trust (a) 135,714 1,581,068
Weingarten Realty Investors (a) 27,563 840,396
------------
3,744,662
------------
Road & Rail (3.4%)
Marten Transport, Ltd. * 75,613 1,574,263
Werner Enterprises, Inc. (a) 63,019 1,500,482
------------
3,074,745
------------
Semiconductors & Semiconductor Equipment (4.8%)
Cabot Microelectronics Corp. * (a) 42,103 1,643,701
Semitool, Inc. * (a) 155,254 1,392,628
Teradyne, Inc. * (a) 135,318 1,267,930
------------
4,304,259
------------
Software (2.3%)
Sybase, Inc. * (a) 61,297 2,060,192
------------
Specialty Retail (4.2%)
American Eagle Outfitters, Inc. (a) 58,282 815,948
Group 1 Automotive, Inc. (a) 43,669 858,096
Jo-Ann Stores, Inc. * (a) 42,730 938,778
Monro Muffler, Inc. (a) 60,754 1,106,330
------------
3,719,152
------------
Textiles Apparel & Luxury Goods (2.5%)
Brown Shoe Co., Inc. (a) 75,275 1,214,939
Phillips-Van Heusen Corp. (a) 28,796 1,019,378
------------
2,234,317
------------
Thrifts & Mortgage Finance (1.8%)
NewAlliance Bancshares, Inc. (a) 127,052 1,649,135
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Trading Companies & Distributors (0.7%)
United Rentals, Inc. * (a) 36,145 $ 584,826
------------
Total Common Stocks 86,468,968
------------
Investment Companies (28.8%)
State Street Navigator Securities
Lending Portfolio (c) 25,743,204 25,743,204
------------
Total Investment Companies 25,743,204
------------
Investments in Affiliates (3.8%)
Fifth Third Institutional Money
Market Fund (b) 3,376,965 3,376,965
------------
Total Investments in Affiliates 3,376,965
------------
Total Investments (Cost $114,437,537) - 129.3% 115,589,137
------------
Liabilities in excess of other assets - (29.3)% (26,226,449)
------------
NET ASSETS - 100.0% $ 89,362,688
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments
and notes to financial statements.
75
All Cap Value
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (97.7%)
Aerospace & Defense (3.5%)
AAR Corp. * (a) 129,905 $ 2,233,067
General Dynamics Corp. 29,258 2,608,058
Honeywell International, Inc. 35,111 1,785,043
United Technologies Corp. (a) 29,257 1,871,863
------------
8,498,031
------------
Auto Components (0.3%)
Autoliv, Inc. (a) 17,554 685,308
------------
Beverages (0.6%)
Coca-Cola Enterprises, Inc. (a) 78,995 1,337,385
------------
Biotechnology (2.0%)
Amgen, Inc. * 79,580 4,984,095
------------
Capital Markets (5.0%)
Bank of New York Mellon Corp. (The) 75,741 2,688,806
Goldman Sachs Group, Inc. (The) (a) 29,259 5,384,826
Lazard, Ltd., Class A (a) 29,260 1,194,101
Legg Mason, Inc. (a) 71,390 2,880,586
------------
12,148,319
------------
Chemicals (3.2%)
Dow Chemical Co. (The) 70,221 2,339,062
E.I. du Pont de Nemours & Co. (a) 70,221 3,076,382
Lubrizol Corp. (a) 46,813 2,331,287
------------
7,746,731
------------
Commercial Banks (3.5%)
Comerica, Inc. (a) 46,811 1,344,412
Marshall & Ilsley Corp. (a) 84,850 1,289,720
Old National Bancorp (a) 58,515 888,258
SunTrust Banks, Inc. (a) 35,108 1,441,534
United Bankshares, Inc. (a) 30,430 766,532
US Bancorp (a) 87,775 2,686,793
------------
8,417,249
------------
Commercial Services & Supplies (1.9%)
ICT Group, Inc. * (a) 99,475 797,789
Manpower, Inc. (a) 23,405 1,123,440
Pitney Bowes, Inc. (a) 52,666 1,668,986
Standard Register Co. (The) (a) 116,196 1,026,011
------------
4,616,226
------------
Communications Equipment (0.5%)
Symmetricom, Inc. * (a) 234,064 1,130,529
------------
Computers & Peripherals (2.9%)
International Business Machines
Corp. (a) 36,865 4,717,983
SanDisk Corp. * (a) 104,745 1,476,904
Seagate Technology 58,515 875,970
------------
7,070,857
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Consumer Finance (0.8%)
Discover Financial Services (a) 131,660 $ 1,928,819
------------
Diversified Financial Services (6.7%)
Bank of America Corp. (a) 163,846 5,390,533
Citigroup, Inc. (a) 222,360 4,155,908
JPMorgan Chase & Co. 165,598 6,728,247
------------
16,274,688
------------
Diversified Telecommunication
Services (3.9%)
AT&T, Inc. 87,775 2,704,348
Qwest Communications International,
Inc. (a) 327,690 1,255,052
Verizon Communications, Inc. 99,475 3,386,129
Windstream Corp. (a) 179,465 2,139,223
------------
9,484,752
------------
Electric Utilities (3.9%)
American Electric Power Co., Inc. 58,518 2,311,461
Duke Energy Corp. 64,365 1,131,537
Edison International 43,887 2,121,498
FPL Group, Inc. 29,257 1,887,954
Pepco Holdings, Inc. 81,924 2,043,184
------------
9,495,634
------------
Electronic Equipment & Instruments (0.7%)
Avnet, Inc. * (a) 29,257 797,546
Vishay Intertechnology, Inc. * 87,773 787,324
------------
1,584,870
------------
Energy Equipment & Service (4.6%)
ENSCO International, Inc. (a) 23,405 1,618,222
Nabors Industries, Ltd. * (a) 142,780 5,205,759
Tidewater, Inc. (a) 52,664 3,156,680
Trico Marine Services, Inc. * (a) 43,885 1,119,945
------------
11,100,606
------------
Food & Staples Retailing (2.0%)
Safeway, Inc. (a) 102,401 2,736,155
SUPERVALU, Inc. (a) 87,775 2,248,795
------------
4,984,950
------------
Food Products (3.6%)
ConAgra Foods, Inc. (a) 108,252 2,346,903
Kraft Foods, Inc., Class A 118,789 3,779,866
Tyson Foods, Inc., Class A (a) 175,550 2,615,695
------------
8,742,464
------------
Healthcare Providers & Services (2.5%)
Laboratory Corp. of America
Holdings * (a) 26,333 1,779,584
Continued
76
All Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Healthcare Providers & Services, continued
Lincare Holdings, Inc. * (a) 17,554 $ 565,590
Omnicare, Inc. (a) 21,945 646,061
UnitedHealth Group, Inc. 110,010 3,089,081
------------
6,080,316
------------
Hotels Restaurants & Leisure (2.3%)
Bob Evans Farms, Inc. (a) 33,354 955,259
Carnival Corp. (a) 63,195 2,334,423
Darden Restaurants, Inc. (a) 73,145 2,382,333
------------
5,672,015
------------
Household Durables (2.6%)
Snap-On, Inc. (a) 26,334 1,482,341
Stanley Works (The) (a) 43,887 1,952,094
Tupperware Brands Corp. (a) 76,070 2,966,730
------------
6,401,165
------------
Industrial Conglomerates (2.9%)
3M Co. 43,887 3,089,206
General Electric Co. 138,098 3,906,792
------------
6,995,998
------------
Insurance (7.0%)
Allstate Corp. (The) 52,662 2,434,038
American International Group,
Inc. (a) 114,106 2,972,461
Hartford Financial Services Group,
Inc. (a) 58,516 3,709,329
MetLife, Inc. (a) 52,662 2,673,650
Prudential Financial, Inc. 47,985 3,309,525
Travelers Cos., Inc. (The) 40,960 1,807,155
------------
16,906,158
------------
IT Services (0.8%)
Computer Sciences Corp. * (a) 42,129 1,995,651
------------
Leisure Equipment & Products (0.5%)
Mattel, Inc. 64,365 1,290,518
------------
Machinery (3.5%)
Caterpillar, Inc. (a) 40,963 2,847,748
Dover Corp. 23,405 1,161,590
Joy Global, Inc. 23,405 1,690,309
Pall Corp. 67,294 2,720,023
------------
8,419,670
------------
Media (1.5%)
Time Warner, Inc. 130,490 1,868,617
Viacom, Inc., Class B * 63,195 1,765,036
------------
3,633,653
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Metals & Mining (1.2%)
Alcoa, Inc. (a) 87,775 $ 2,962,406
------------
Multiline Retail (0.4%)
Dollar Tree, Inc. * 29,260 1,097,250
------------
Multi-Utilities (0.4%)
NiSource, Inc. (a) 52,662 899,467
------------
Oil & Gas (11.7%)
Anadarko Petroleum Corp. 42,132 2,439,864
Chevron Corp. 58,518 4,948,282
ConocoPhillips (a) 78,995 6,447,572
Exxon Mobil Corp. 76,073 6,118,551
Marathon Oil Corp. (a) 128,735 6,368,521
Spectra Energy Corp. 32,185 874,466
Sunoco, Inc. (a) 29,845 1,212,006
------------
28,409,262
------------
Pharmaceuticals (4.7%)
Forest Laboratories, Inc. * 45,640 1,620,676
Johnson & Johnson (a) 43,887 3,004,943
Pfizer, Inc. 117,031 2,184,969
Schering-Plough Corp. (a) 127,565 2,689,070
Wyeth 46,815 1,896,944
------------
11,396,602
------------
Real Estate Investment Trusts (0.6%)
Duke Realty Corp. (a) 58,515 1,447,076
------------
Road & Rail (0.8%)
Union Pacific Corp. (a) 23,408 1,929,756
------------
Semiconductors & Semiconductor
Equipment (2.5%)
Applied Materials, Inc. 175,550 3,040,526
Cabot Microelectronics Corp. * 51,494 2,010,326
International Rectifier Corp. * (a) 62,610 1,056,857
------------
6,107,709
------------
Software (0.4%)
Cadence Design Systems, Inc. * (a) 117,030 864,852
------------
Textiles Apparel & Luxury Goods (0.7%)
Jones Apparel Group, Inc. (a) 102,405 1,714,260
------------
Thrifts & Mortgage Finance (0.8%)
New York Community Bancorp,
Inc. (a) 117,031 1,945,055
------------
Tobacco (0.3%)
UST, Inc. (a) 14,631 769,737
------------
Total Common Stocks 237,170,089
------------
Continued
77
All Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investment Companies (27.2%)
State Street Navigator Securities
Lending Portfolio (c) 66,082,044 $ 66,082,044
------------
Total Investment Companies 66,082,044
------------
Investments in Affiliates (2.4%)
Fifth Third Institutional Money
Market Fund (b) 5,916,928 5,916,928
------------
Total Investments in Affiliates 5,916,928
------------
Total Investments (Cost $297,825,734) - 127.3% 309,169,061
Liabilities in excess of other assets - (27.3)% (66,378,446)
------------
NET ASSETS - 100.0% $242,790,615
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments
and notes to financial statements.
Disciplined Large Cap Value
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (97.0%)
Aerospace & Defense (1.8%)
Northrop Grumman Corp. 71,021 $ 4,786,105
United Technologies Corp. 71,021 4,543,924
------------
9,330,029
------------
Beverages (0.8%)
Anheuser-Busch Cos., Inc. (a) 62,143 4,210,810
------------
Biotechnology (2.7%)
Amgen, Inc. * 216,613 13,566,472
------------
Capital Markets (1.1%)
Morgan Stanley 142,041 5,607,779
------------
Chemicals (2.4%)
Dow Chemical Co. (The) 275,205 9,167,079
E.I. du Pont de Nemours & Co. 71,021 3,111,430
------------
12,278,509
------------
Commercial Banks (2.8%)
Marshall & Ilsley Corp. (a) 284,083 4,318,062
SunTrust Banks, Inc. (a) 142,041 5,832,203
Wells Fargo & Co. 141,353 4,278,755
------------
14,429,020
------------
Commercial Services & Supplies (2.5%)
Pitney Bowes, Inc. (a) 221,940 7,033,279
RR Donnelley & Sons Co. 213,063 5,688,782
------------
12,722,061
------------
Computers & Peripherals (2.1%)
International Business
Machines Corp. 42,613 5,453,612
Seagate Technology 355,104 5,315,907
------------
10,769,519
------------
Consumer Finance (0.8%)
Discover Financial Services 284,083 4,161,816
------------
Diversified Financial Services (7.4%)
Bank of America Corp. 450,564 14,823,556
Citigroup, Inc. 609,003 11,382,266
JPMorgan Chase & Co. 286,569 11,643,298
------------
37,849,120
------------
Diversified Telecommunication
Services (5.4%)
AT&T, Inc. 399,492 12,308,348
Qwest Communications International,
Inc. (a) 1,313,885 5,032,180
Windstream Corp. 870,004 10,370,448
------------
27,710,976
------------
Electric Utilities (1.2%)
Edison International 120,735 5,836,330
------------
Continued
78
Disciplined Large Cap Value
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Energy Equipment & Service (2.2%)
ENSCO International, Inc. 62,143 $ 4,296,567
Halliburton Co. 151,985 6,811,968
------------
11,108,535
------------
Food Products (2.9%)
Kraft Foods, Inc., Class A (a) 470,867 14,982,988
------------
Healthcare Providers & Services (1.3%)
UnitedHealth Group, Inc. (a) 241,471 6,780,506
------------
Hotels Restaurants & Leisure (2.9%)
Carnival Corp. 195,308 7,214,677
Darden Restaurants, Inc. (a) 239,695 7,806,866
------------
15,021,543
------------
Household Durables (0.8%)
Fortune Brands, Inc. (a) 67,361 3,860,459
------------
Industrial Conglomerates (3.7%)
3M Co. 88,776 6,248,943
General Electric Co. 443,880 12,557,365
------------
18,806,308
------------
Insurance (9.2%)
Allstate Corp. (The) 168,674 7,796,112
American International Group, Inc. 234,368 6,105,286
Hartford Financial Services
Group, Inc. 124,286 7,878,489
MetLife, Inc. 310,716 15,775,051
Prudential Financial, Inc. 53,265 3,673,687
Travelers Cos., Inc. (The) 133,164 5,875,196
------------
47,103,821
------------
IT Services (2.5%)
Computer Sciences Corp. * 131,388 6,223,849
Fiserv, Inc. * 142,041 6,792,401
------------
13,016,250
------------
Leisure Equipment & Products (1.6%)
Mattel, Inc. 399,492 8,009,815
------------
Machinery (1.0%)
Caterpillar, Inc. (a) 71,021 4,937,380
------------
Media (4.3%)
Time Warner, Inc. 901,128 12,904,153
Viacom, Inc., Class B * 323,346 9,031,054
------------
21,935,207
------------
Metals & Mining (1.2%)
Alcoa, Inc. (a) 177,551 5,992,346
------------
Multi-Utilities (1.5%)
PG&E Corp. (a) 195,308 7,525,217
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Oil & Gas (15.1%)
Apache Corp. 85,225 $ 9,559,688
Chevron Corp. 213,063 18,016,607
ConocoPhillips 232,238 18,955,265
Exxon Mobil Corp. 191,756 15,422,935
Marathon Oil Corp. 301,838 14,931,926
------------
76,886,421
------------
Pharmaceuticals (8.8%)
Eli Lilly & Co. 150,919 7,109,794
Forest Laboratories, Inc. * 301,838 10,718,267
Johnson & Johnson 127,838 8,753,068
Schering-Plough Corp. 612,554 12,912,638
Wyeth 131,388 5,323,842
------------
44,817,609
------------
Real Estate Investment Trusts (1.9%)
Duke Realty Corp. (a) 390,614 9,659,884
------------
Semiconductors & Semiconductor
Equipment (0.7%)
Applied Materials, Inc. 213,063 3,690,251
------------
Tobacco (4.4%)
Altria Group, Inc. 494,737 10,067,898
Philip Morris International, Inc. 142,041 7,336,418
UST, Inc. (a) 97,654 5,137,577
------------
22,541,893
------------
Total Common Stocks 495,148,874
------------
Investment Companies (3.2%)
State Street Navigator Securities
Lending Portfolio (c) 16,324,034 16,324,034
------------
Total Investment Companies 16,324,034
------------
Investments in Affiliates (3.1%)
Fifth Third Institutional Money
Market Fund (b) 15,874,134 15,874,134
------------
Total Investments in Affiliates 15,874,134
------------
Total Investments (Cost $519,858,685) - 103.3% 527,347,042
Liabilities in excess of other assets - (3.3)% (16,894,237)
------------
NET ASSETS - 100.0% $510,452,805
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments
and notes to financial statements.
79
Structured Large Cap Plus
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (127.8%)
Aerospace & Defense (2.3%)
Boeing Co. 657 $ 40,149
Honeywell International, Inc. (c) 12,254 622,993
L-3 Communications Holdings, Inc. 12,656 1,249,021
Northrop Grumman Corp. 328 22,104
Raytheon Co. (c) 24,389 1,388,466
------------
3,322,733
------------
Air Freight & Logistics (0.4%)
United Parcel Service, Inc., Class B 8,783 554,032
------------
Airlines (1.7%)
Southwest Airlines Co. (c) 162,319 2,530,553
------------
Beverages (2.7%)
Molson Coors Brewing Co., Class B 4,035 217,769
Pepsi Bottling Group, Inc. (c) 57,387 1,598,228
PepsiCo, Inc. (c) 31,822 2,118,072
------------
3,934,069
------------
Biotechnology (2.7%)
Cephalon, Inc. * (c) 10,333 755,962
Genentech, Inc. * 1,584 150,876
Gilead Sciences, Inc. * (c) 56,528 3,051,382
------------
3,958,220
------------
Capital Markets (3.7%)
Ameriprise Financial, Inc. 83 3,527
Charles Schwab Corp. (The) (c) 8,506 194,702
Federated Investors, Inc., Class B 8,836 290,351
Goldman Sachs Group, Inc. (The) (c) 14,245 2,621,650
Janus Capital Group, Inc. (c) 49,197 1,492,637
Lehman Brothers Holdings, Inc. (c) 6,905 119,733
Morgan Stanley (c) 17,085 674,516
T Rowe Price Group, Inc. 2,135 127,780
------------
5,524,896
------------
Chemicals (2.4%)
Air Products & Chemicals, Inc. 150 14,281
Ashland, Inc. (c) 28,925 1,208,197
Dow Chemical Co. (The) (c) 15,657 521,535
Eastman Chemical Co. 743 44,550
Ecolab, Inc. (c) 9,464 423,041
Praxair, Inc. 12,935 1,212,398
Sigma-Aldrich Corp. 1,654 100,464
------------
3,524,466
------------
Commercial Banks (1.9%)
US Bancorp 3,418 104,625
Wachovia Corp. (c) 41,100 709,797
Wells Fargo & Co. (c) 66,788 2,021,673
------------
2,836,095
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Commercial Services & Supplies (0.8%)
Allied Waste Industries, Inc. * (c) 27,892 $ 337,493
Monster Worldwide, Inc. * 99 1,756
Robert Half International, Inc. (c) 20,563 520,039
Waste Management, Inc. (c) 9,491 337,310
------------
1,196,598
------------
Communications Equipment (3.6%)
Cisco Systems, Inc. * (c) 42,796 941,084
Juniper Networks, Inc. * (c) 17,393 452,740
Qualcomm, Inc. (c) 70,312 3,891,066
------------
5,284,890
------------
Computers & Peripherals (4.9%)
Apple, Inc. * (c) 15,453 2,456,254
International Business Machines
Corp. (c) 17,570 2,248,609
QLogic Corp. * (c) 134,370 2,531,531
------------
7,236,394
------------
Construction & Engineering (0.3%)
Fluor Corp. 5,072 412,607
------------
Consumer Finance (0.7%)
Capital One Financial Corp. (c) 22,159 927,576
Discover Financial Services (c) 6,546 95,899
------------
1,023,475
------------
Containers & Packaging (1.5%)
Ball Corp. (c) 38,257 1,705,497
Bemis Co., Inc. 7,827 220,408
Sealed Air Corp. 14,523 315,149
------------
2,241,054
------------
Diversified Consumer Services (0.3%)
H&R Block, Inc. 17,698 430,592
------------
Diversified Financial Services (4.8%)
Bank of America Corp. (c) 44,222 1,454,904
Citigroup, Inc. (c) 63,725 1,191,020
IntercontinentalExchange, Inc. * 1,889 188,522
JPMorgan Chase & Co. (c) 81,439 3,308,867
Leucadia National Corp. 9,807 439,059
Nasdaq OMX Group (The) * (c) 16,153 448,569
------------
7,030,941
------------
Diversified Telecommunication Services (4.9%)
AT&T, Inc. (c) 100,666 3,101,519
CenturyTel, Inc. (c) 46,470 1,728,219
Embarq Corp. (c) 18,037 825,554
Verizon Communications, Inc. 45,203 1,538,710
------------
7,194,002
------------
Continued
80
Structured Large Cap Plus
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Electric Utilities (3.1%)
Duke Energy Corp. (c) 44,640 $ 784,771
Edison International (c) 20,503 991,115
FirstEnergy Corp. (c) 34,226 2,517,322
Pepco Holdings, Inc. 2,899 72,301
Pinnacle West Capital Corp. (c) 5,552 186,381
------------
4,551,890
------------
Electrical Components &
Equipment (0.6%)
Emerson Electric Co. (c) 18,588 905,236
------------
Electronic Equipment &
Instruments (0.1%)
Molex, Inc. 3,895 95,544
------------
Energy Equipment & Service (4.0%)
Cameron International Corp. * (c) 19,105 912,455
FMC Technologies, Inc. * 1,360 84,021
Halliburton Co. 36,118 1,618,809
National Oilwell Varco, Inc. * (c) 7,648 601,362
Noble Corp. 1,511 78,375
Patterson-UTI Energy, Inc. (c) 28,530 810,823
Schlumberger, Ltd. 3,900 396,240
Smith International, Inc. 17,752 1,320,394
------------
5,822,479
------------
Food & Staples Retailing (2.6%)
Safeway, Inc. (c) 12,680 338,810
SUPERVALU, Inc. (c) 60,726 1,555,800
Wal-Mart Stores, Inc. (c) 32,083 1,880,705
------------
3,775,315
------------
Food Products (3.3%)
General Mills, Inc. (c) 36,480 2,348,947
HJ Heinz Co. (c) 2,032 102,372
Kellogg Co. 39,972 2,120,915
WM Wrigley Jr. Co. 2,829 223,378
------------
4,795,612
------------
Gas-Distribution (1.3%)
Oneok, Inc. (c) 40,378 1,836,391
------------
Healthcare Equipment & Supplies (1.7%)
Baxter International, Inc. (c) 19,976 1,370,553
Becton Dickinson & Co. (c) 754 64,022
Medtronic, Inc. (c) 20,084 1,061,038
------------
2,495,613
------------
Healthcare Providers & Services (3.6%)
AmerisourceBergen Corp. (c) 7,467 312,643
Cigna Corp. (c) 29,634 1,097,051
Express Scripts, Inc. * (c) 17,836 1,258,152
Medco Health Solutions, Inc. * (c) 23,915 1,185,706
UnitedHealth Group, Inc. (c) 26,878 754,734
WellPoint, Inc. * (c) 12,183 638,998
------------
5,247,284
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Healthcare Technology (0.3%)
IMS Health, Inc. 17,797 $ 371,957
------------
Hotels Restaurants & Leisure (3.0%)
Darden Restaurants, Inc. 2,505 81,588
International Game Technology (c) 35,835 777,978
McDonald's Corp. (c) 48,998 2,929,590
Yum! Brands, Inc. (c) 17,297 619,579
------------
4,408,735
------------
Household Durables (0.3%)
DR Horton, Inc. (c) 46,092 512,543
------------
Household Products (2.2%)
Procter & Gamble Co. (c) 49,775 3,259,267
------------
Industrial Conglomerates (2.9%)
3M Co. 1,504 105,867
General Electric Co. (b) (c) 66,116 1,870,422
Tyco International, Ltd. 49,858 2,221,672
------------
4,197,961
------------
Insurance (4.1%)
Aflac, Inc. (c) 27,864 1,549,517
American International Group, Inc. (c) 34,762 905,550
Chubb Corp. (c) 32,782 1,574,848
MetLife, Inc. (c) 20,061 1,018,497
Travelers Cos., Inc. (The) (c) 21,493 948,271
------------
5,996,683
------------
Internet & Catalog Retail (0.7%)
Amazon.Com, Inc. * (c) 10,146 774,546
Expedia, Inc. * (c) 11,707 229,106
------------
1,003,652
------------
Internet Software & Services (2.3%)
eBay, Inc. * (c) 53,321 1,342,090
VeriSign, Inc. * (c) 50,691 1,649,485
Yahoo!, Inc. * 18,315 364,285
------------
3,355,860
------------
IT Services (3.2%)
Affiliated Computer Services, Inc.,
Class A * 19,229 926,838
Automatic Data Processing, Inc. (c) 15,195 648,978
Computer Sciences Corp. * (c) 43,051 2,039,326
DST Systems, Inc. * 6,137 370,859
Paychex, Inc. 1,299 42,763
Western Union Co. (The) (c) 22,373 618,390
------------
4,647,154
------------
Leisure Equipment & Products (0.4%)
Hasbro, Inc. 15,918 616,345
------------
Life Sciences Tools & Services (1.3%)
Applied Biosystems, Inc. (c) 10,287 379,899
PerkinElmer, Inc. (c) 20,077 584,241
Thermo Fisher Scientific, Inc. * 15,457 935,457
------------
1,899,597
------------
Continued
81
Structured Large Cap Plus
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Machinery (1.9%)
Caterpillar, Inc. (c) 8,872 $ 616,781
Cummins, Inc. 2,385 158,221
Ingersoll-Rand Co., Ltd., Class A 33,424 1,203,264
Parker Hannifin Corp. (c) 13,476 831,200
------------
2,809,466
------------
Media (3.7%)
CBS Corp., Class B (c) 77,020 1,260,047
DIRECTV Group, Inc. (The) * (c) 26,109 705,465
News Corp., Class A (c) 7,812 110,384
Omnicom Group, Inc. 1,817 77,568
Time Warner, Inc. (c) 38,372 549,487
Viacom, Inc., Class B * (c) 5,481 153,084
Walt Disney Co. (The) (c) 83,585 2,536,805
------------
5,392,840
------------
Metals & Mining (0.8%)
Alcoa, Inc. (c) 30,913 1,043,314
Newmont Mining Corp. (c) 2,577 123,593
------------
1,166,907
------------
Multiline Retail (1.2%)
Big Lots, Inc. * (c) 11,823 360,129
Dollar Tree, Inc. * (c) 2,643 99,112
Family Dollar Stores, Inc. (c) 25,173 586,531
Macy's, Inc. (c) 34,249 644,224
------------
1,689,996
------------
Multi-Utilities (2.8%)
Dominion Resources, Inc. (c) 38,285 1,691,431
DTE Energy Co. (c) 56,194 2,302,830
NiSource, Inc. 8,950 152,866
------------
4,147,127
------------
Oil & Gas (9.9%)
Apache Corp. 10,253 1,150,079
Chevron Corp. (c) 15,470 1,308,143
ConocoPhillips (c) 33,274 2,715,824
Exxon Mobil Corp. (c) 82,890 6,666,843
Hess Corp. (c) 6,392 648,149
Sunoco, Inc. (c) 24,146 980,569
Tesoro Corp. (c) 15,607 240,972
Valero Energy Corp. (c) 26,711 892,414
------------
14,602,993
------------
Pharmaceuticals (6.1%)
Bristol-Myers Squibb Co. (c) 35,884 757,870
Eli Lilly & Co. (c) 36,468 1,718,008
Forest Laboratories, Inc. * (c) 37,248 1,322,676
Johnson & Johnson (c) 20,322 1,391,447
Merck & Co., Inc. (c) 58,652 1,929,651
Pfizer, Inc. 28,163 525,803
Watson Pharmaceuticals, Inc. * (c) 42,800 1,237,348
------------
8,882,803
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Real Estate Investment Trusts (2.5%)
CapitalSource, Inc. (c) 8,445 $ 98,131
Equity Residential 19,265 831,670
HCP, Inc. 3,536 127,543
Host Hotels & Resorts, Inc. (c) 25,571 335,236
Plum Creek Timber Co., Inc. (c) 34,198 1,666,127
Prologis (c) 13,012 636,026
------------
3,694,733
------------
Real Estate Management &
Development (0.1%)
CB Richard Ellis Group, Inc.,
Class A * 6,010 84,440
------------
Road & Rail (1.6%)
Norfolk Southern Corp. (c) 31,759 2,284,107
Union Pacific Corp. (c) 1,648 135,861
------------
2,419,968
------------
Semiconductors & Semiconductor
Equipment (4.7%)
Applied Materials, Inc. (c) 73,236 1,268,447
Intel Corp. (c) 142,620 3,164,738
National Semiconductor Corp. (c) 37,881 793,607
Nvidia Corp. * (c) 10,036 114,812
Texas Instruments, Inc. (c) 66,713 1,626,463
------------
6,968,067
------------
Software (4.6%)
BMC Software, Inc. * (c) 64,331 2,115,847
Microsoft Corp. (b) (c) 138,267 3,556,227
Oracle Corp. * (c) 50,653 1,090,559
------------
6,762,633
------------
Specialty Retail (3.0%)
AutoZone, Inc. * (c) 6,134 799,199
Best Buy Co., Inc. (c) 14,946 593,655
GameStop Corp., Class A * 20,733 839,894
Gap, Inc. (The) (c) 31,430 506,651
Home Depot, Inc. 382 9,103
Tiffany & Co. 3,805 143,791
TJX Cos., Inc. (c) 47,676 1,607,158
------------
4,499,451
------------
Textiles Apparel & Luxury Goods (1.1%)
Coach, Inc. * (c) 4,840 123,469
Nike, Inc., Class B (c) 18,649 1,094,323
Polo Ralph Lauren Corp., Class A (c) 6,673 394,841
------------
1,612,633
------------
Tobacco (2.2%)
Altria Group, Inc. (c) 72,970 1,484,940
Philip Morris International, Inc. (c) 35,191 1,817,615
------------
3,302,555
------------
Continued
82
Structured Large Cap Plus
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Utilities (0.6%)
AES Corp. (The) * (c) 53,099 $ 857,018
------------
Wireless Telecommunication
Services (0.4%)
American Tower Corp., Class A * 15,571 652,425
------------
Total Common Stocks 187,576,790
------------
Investments in Affiliates (0.4%)
Fifth Third Institutional Money
Market Fund (a) 689,415 689,415
------------
Total Investments in Affiliates 689,415
------------
Total Investments (Cost $191,901,677) - 128.2% 188,266,205
------------
Securities Sold Short
(Proceeds $52,319,066) - (28.2)% $(41,481,544)
Other assets in excess of liabilities - 0.0% 23,985
------------
NET ASSETS - 100.0% $146,808,646
============
See notes to schedules of investments
and notes to financial statements.
Structured Large Cap Plus
Schedule of Investments Sold Short
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (28.2)%
Aerospace & Defense (0.2)%
Precision Castparts Corp. (1,774) $ (165,745)
Rockwell Collins, Inc. (3,093) (153,691)
------------
(319,436)
------------
Building & Construction
Production-Miscellaneous (0.1)%
Owens Corning, Inc. * (5,052) (131,403)
------------
Capital Markets (0.2)%
Franklin Resources, Inc. (2,558) (257,360)
------------
Casino Hotels (0.0)%
Wynn Resorts, Ltd. * (165) (16,084)
------------
Cellular Telecom (0.3)%
NII Holdings, Inc., Class B * (7,174) (392,131)
------------
Commercial Services & Supplies (1.0)%
Equifax, Inc. (8,468) (297,142)
Pitney Bowes, Inc. (38,051) (1,205,836)
------------
(1,502,978)
------------
Communications Equipment (0.1)%
Motorola, Inc. (21,311) (184,127)
Nortel Networks Corp. * (3,405) (26,014)
------------
(210,141)
------------
Computers & Peripherals (0.1)%
SanDisk Corp. * (8,222) (115,930)
------------
Containers & Packaging (0.3)%
Pactiv Corp. * (21,155) (510,047)
------------
Diversified Financial Services (0.1)%
Moody's Corp. (4,819) (167,749)
------------
Diversified Telecommunication
Services (1.6)%
Frontier Communications Corp. (137,980) (1,595,049)
Qwest Communications
International, Inc. (194,975) (746,754)
Windstream Corp. (1,534) (18,285)
------------
(2,360,088)
------------
Electric Utilities (0.5)%
Allegheny Energy, Inc. (15,464) (748,458)
------------
Electrical Components &
Equipment (0.2)%
Energizer Holdings, Inc. * (339) (24,184)
General Cable Corp. * (3,588) (206,777)
------------
(230,961)
------------
Continued
83
Structured Large Cap Plus
Schedule of Investments Sold Short, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Food & Staples Retailing (0.4)%
Whole Foods Market, Inc. (26,755) $ (593,158)
------------
Food Products (0.9)%
ConAgra Foods, Inc. (23,715) (514,141)
Hershey Co. (The) (4,511) (165,870)
Sara Lee Corp. (49,232) (672,509)
------------
(1,352,520)
------------
Food-Meat Products (0.9)%
Smithfield Foods, Inc. * (64,847) (1,392,914)
------------
Gas-Distribution (0.7)%
Nicor, Inc. (26,427) (1,052,323)
------------
Gold (0.1)%
Barrick Gold Corp. (4,015) (170,035)
------------
Healthcare Equipment
& Supplies (0.8)%
Intuitive Surgical, Inc. * (324) (100,858)
Zimmer Holdings, Inc. * (14,886) (1,025,795)
------------
(1,126,653)
------------
Healthcare Providers
& Services (1.8)%
Cardinal Health, Inc. (6,783) (364,451)
Humana, Inc. * (18,389) (807,461)
McKesson Corp. (4,469) (250,219)
Omnicare, Inc. (37,661) (1,108,740)
Quest Diagnostics, Inc. (3,734) (198,500)
------------
(2,729,371)
------------
Healthcare Technology (0.1)%
Cerner Corp. * (1,690) (75,475)
------------
Hotels Restaurants & Leisure (0.6)%
Starbucks Corp. * (64,396) (945,977)
------------
Household Durables (0.9)%
Fortune Brands, Inc. (12,950) (742,164)
Newell Rubbermaid, Inc. (30,994) (512,331)
------------
(1,254,495)
------------
Household Products (0.3)%
Clorox Co. (7,992) (435,564)
------------
Independent Power Producer (0.1)%
Reliant Energy, Inc. * (10,982) (198,884)
------------
Insurance (0.1)%
CNA Financial Corp. (3,536) (94,376)
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Insurance Brokers (0.9)%
Brown & Brown, Inc. (46,875) $ (823,594)
Willis Group Holdings, Ltd. (13,772) (430,650)
------------
(1,254,244)
------------
IT Services (1.8)%
Cognizant Technology Solutions
Corp., Class A * (48,333) (1,356,707)
Fidelity National Information
Services, Inc. (30,301) (574,204)
Fiserv, Inc. * (3,339) (159,671)
Lender Processing Services, Inc. * (15,150) (505,253)
------------
(2,595,835)
------------
Leisure Equipment & Products (1.1)%
Mattel, Inc. (78,924) (1,582,426)
------------
Machinery (0.0)%
Terex Corp. * (890) (42,124)
------------
Medical-Drugs (0.1)%
Endo Pharmaceuticals
Holdings, Inc. * (3,669) (84,937)
------------
Medical-HMO (0.1)%
Health Net, Inc. * (5,305) (148,328)
------------
Medical-Hospitals (0.5)%
Community Health Systems, Inc. * (23,631) (779,350)
------------
Multi-Line Insurance (0.1)%
Old Republic International Corp. (20,216) (212,268)
------------
Multiline Retail (0.4)%
JC Penney Co., Inc. (2,593) (79,942)
Kohl's Corp. * (10,497) (439,929)
------------
(519,871)
------------
Multi-Utilities (2.6)%
Ameren Corp. (1,556) (63,936)
CMS Energy Corp. (7,707) (104,045)
Consolidated Edison, Inc. (20,874) (828,698)
Integrys Energy Group, Inc. (45,220) (2,308,993)
MDU Resources Group, Inc. (11,662) (372,134)
Public Service Enterprise Group, Inc. (756) (31,601)
TECO Energy, Inc. (4,118) (76,389)
------------
(3,785,736)
------------
Non-Ferrous Metals (0.7)%
Cameco Corp. (28,699) (1,031,155)
------------
Office Electronics (1.1)%
Xerox Corp. (118,362) (1,614,458)
------------
Continued
84
Structured Large Cap Plus
Schedule of Investments Sold Short, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Paper & Forest Products (0.5)%
Weyerhaeuser Co. (13,003) $ (695,140)
------------
Pharmaceuticals (0.9)%
Amylin Pharmaceuticals, Inc. * (35,795) (1,129,332)
Schering-Plough Corp. (7,217) (152,135)
------------
(1,281,467)
------------
Real Estate Operations/
Development (0.1)%
Brookfield Properties Corp. (5,334) (100,706)
------------
Rental Auto/Equipment (0.1)%
Hertz Global Holdings, Inc. * (24,888) (212,295)
------------
Road & Rail (0.4)%
Canadian Pacific Railway, Ltd. (8,661) (543,997)
------------
S&L/Thrifts-Eastern U.S. (0.1)%
People's United Financial, Inc. (11,266) (191,297)
------------
Semiconductor Equipment (0.4)%
Marvell Technology Group, Ltd. * (36,983) (546,979)
------------
Semiconductors & Semiconductor
Equipment (0.5)%
Micron Technology, Inc. * (161,882) (781,890)
------------
Software (1.3)%
Citrix Systems, Inc. * (67,318) (1,793,352)
Intuit, Inc. * (4,481) (122,466)
------------
(1,915,818)
------------
Specialty Retail (0.6)%
Limited Brands, Inc. (14,989) (247,169)
Lowe's Cos., Inc. (1,168) (23,734)
Office Depot, Inc. * (48,403) (329,140)
OfficeMax, Inc. (27,569) (351,780)
------------
(951,823)
------------
Telecom Services (0.3)%
Amdocs, Ltd. * (14,142) (430,058)
------------
Textiles Apparel & Luxury Goods (0.0)%
Jones Apparel Group, Inc. (4,194) (70,208)
------------
Thrifts & Mortgage Finance (0.1)%
Sovereign Bancorp, Inc. (14,210) (135,279)
------------
Utilities (0.7)%
Dynegy, Inc., Class A * (156,625) (1,054,086)
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Wireless Equipment (0.4)%
Crown Castle International Corp. * (14,012) $ (535,258)
------------
Total Common Stocks (41,481,544)
TOTAL SECURITIES SOLD SHORT
(Proceeds $52,319,066) - (28.2)% $(41,481,544)
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
(b) All or part of this security has been designated as collateral for futures
contracts.
(c) All or part of this security has been designated as collateral for short
sales.
See notes to schedules of investments
and notes to financial statements.
85
Equity Index
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks (99.2%)
Aerospace & Defense (2.7%)
Boeing Co. 23,718 $ 1,449,407
General Dynamics Corp. 12,622 1,125,125
Goodrich Corp. (a) 3,897 191,499
Honeywell International, Inc. 23,275 1,183,301
L-3 Communications Holdings, Inc.(a) 3,921 386,963
Lockheed Martin Corp. 10,655 1,111,636
Northrop Grumman Corp. 10,675 719,388
Precision Castparts Corp. 4,436 414,455
Raytheon Co. 13,345 759,731
Rockwell Collins, Inc. 5,185 257,643
United Technologies Corp. 30,642 1,960,475
------------
9,559,623
------------
Air Freight & Logistics (0.9%)
CH Robinson Worldwide, Inc. 5,370 258,834
Expeditors International
Washington, Inc. 6,627 235,325
FedEx Corp. (a) 9,777 770,819
United Parcel Service, Inc., Class B 32,265 2,035,276
------------
3,300,254
------------
Airlines (0.1%)
Southwest Airlines Co. 23,251 362,483
------------
Auto Components (0.2%)
Goodyear Tire & Rubber Co. (The) * (a) 7,524 147,696
Johnson Controls, Inc. 18,481 557,387
------------
705,083
------------
Automobiles (0.2%)
Ford Motor Co. * (a) 69,911 335,573
General Motors Corp. (a) 17,605 194,887
Harley-Davidson, Inc. (a) 7,470 282,665
------------
813,125
------------
Beverages (2.5%)
Anheuser-Busch Cos., Inc. (a) 22,505 1,524,939
Brown-Forman Corp., Class B 2,690 193,572
Coca-Cola Co. (The) (a) 62,865 3,237,547
Coca-Cola Enterprises, Inc. (a) 8,869 150,152
Constellation Brands, Inc., Class
A * (a) 6,036 129,895
Molson Coors Brewing Co., Class B 4,504 243,081
Pepsi Bottling Group, Inc. 4,359 121,398
PepsiCo, Inc. 49,980 3,326,669
------------
8,927,253
------------
Biotechnology (1.7%)
Amgen, Inc. * 34,477 2,159,294
Biogen Idec, Inc. * 9,233 644,094
Celgene Corp. * 13,680 1,032,703
Genzyme Corp. * 8,417 645,163
Gilead Sciences, Inc. * 29,170 1,574,597
------------
6,055,851
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Building Products (0.1%)
Masco Corp. (a) 11,423 $ 188,365
------------
Capital Markets (3.0%)
American Capital, Ltd. (a) 6,248 126,959
Ameriprise Financial, Inc. 7,037 299,072
Bank of New York Mellon Corp. (The) 36,057 1,280,023
Charles Schwab Corp. (The) (a) 29,487 674,957
E*Trade Financial Corp. * (a) 13,231 39,958
Federated Investors, Inc., Class B 2,724 89,511
Franklin Resources, Inc. 4,897 492,687
Goldman Sachs Group, Inc. (The) 12,445 2,290,378
Janus Capital Group, Inc. (a) 4,429 134,376
Legg Mason, Inc. 4,473 180,486
Lehman Brothers Holdings, Inc. (a) 22,002 381,515
Merrill Lynch & Co., Inc. (a) 43,052 1,147,336
Morgan Stanley 34,785 1,373,312
Northern Trust Corp. 5,957 465,659
State Street Corp. 13,314 953,815
T Rowe Price Group, Inc. 8,250 493,762
------------
10,423,806
------------
Chemicals (2.1%)
Air Products & Chemicals, Inc. (a) 6,722 640,002
Ashland, Inc. 1,739 72,638
Dow Chemical Co. (The) (a) 29,558 984,577
E.I. du Pont de Nemours & Co. (a) 28,464 1,247,008
Eastman Chemical Co. (a) 2,406 144,264
Ecolab, Inc. 5,419 242,229
Hercules, Inc. 3,609 72,360
International Flavors & Fragrances, Inc. 2,531 101,797
Monsanto Co. 17,262 2,056,077
PPG Industries, Inc. (a) 5,104 309,506
Praxair, Inc. 9,930 930,739
Rohm & Haas Co. 3,951 296,325
Sigma-Aldrich Corp. (a) 4,085 248,123
------------
7,345,645
------------
Commercial Banks (2.5%)
BB&T Corp. (a) 17,172 481,159
Comerica, Inc. (a) 4,760 136,707
First Horizon National Corp. (a) 6,216 58,430
Huntington Bancshares, Inc. (a) 11,385 79,923
Keycorp 15,370 162,154
M&T Bank Corp. (a) 2,510 176,654
Marshall & Ilsley Corp. (a) 8,293 126,054
National City Corp. (a) 24,382 115,327
PNC Financial Services Group, Inc. 10,954 780,911
Regions Financial Corp. (a) 21,901 207,621
SunTrust Banks, Inc. (a) 11,106 456,012
US Bancorp (a) 55,146 1,688,019
Wachovia Corp. (a) 67,807 1,171,027
Wells Fargo & Co. 104,390 3,159,885
Zions Bancorporation (a) 3,347 97,967
------------
8,897,850
------------
Continued
86
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Commercial Services & Supplies (0.5%)
Allied Waste Industries, Inc. * 10,692 $ 129,373
Avery Dennison Corp. 3,313 145,805
Cintas Corp. 4,197 119,363
Equifax, Inc. (a) 4,102 143,939
Monster Worldwide, Inc. * 4,118 73,053
Pitney Bowes, Inc. (a) 6,438 204,020
Robert Half International, Inc. 5,100 128,979
RR Donnelley & Sons Co. 6,439 171,921
Waste Management, Inc. 15,290 543,407
------------
1,659,860
------------
Communications Equipment (2.6%)
Ciena Corp. * 2,674 55,272
Cisco Systems, Inc. * 186,343 4,097,682
Corning, Inc. 49,616 992,816
JDS Uniphase Corp. * (a) 7,691 84,063
Juniper Networks, Inc. * (a) 16,465 428,584
Motorola, Inc. 70,487 609,008
Qualcomm, Inc. 51,066 2,825,992
Tellabs, Inc. * (a) 13,636 70,089
------------
9,163,506
------------
Computers & Peripherals (4.8%)
Apple, Inc. * 27,803 4,419,287
Dell, Inc. * 63,645 1,563,758
EMC Corp. * 65,210 978,802
Hewlett-Packard Co. 77,923 3,490,950
International Business Machines
Corp. (a) 43,318 5,543,838
Lexmark International, Inc., Class A * 2,940 103,135
NetApp, Inc. * (a) 11,070 282,838
QLogic Corp. * (a) 4,259 80,239
SanDisk Corp. * (a) 7,089 99,955
Sun Microsystems, Inc. * (a) 24,871 264,379
Teradata Corp. * 5,616 131,527
------------
16,958,708
------------
Construction & Engineering (0.2%)
Fluor Corp. 5,652 459,790
Jacobs Engineering Group, Inc. * 3,769 291,495
------------
751,285
------------
Construction Materials (0.1%)
Vulcan Materials Co. (a) 3,361 215,743
------------
Consumer Finance (0.7%)
American Express Co. 36,488 1,354,435
Capital One Financial Corp. (a) 11,790 493,529
Discover Financial Services 14,848 217,523
SLM Corp. * 14,805 253,610
------------
2,319,097
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Containers & Packaging (0.1%)
Ball Corp. (a) 3,186 $ 142,032
Bemis Co., Inc. (a) 3,251 91,548
Pactiv Corp. * 4,067 98,055
Sealed Air Corp. (a) 5,025 109,043
------------
440,678
------------
Distributors (0.1%)
Genuine Parts Co. 4,939 198,103
------------
Diversified Consumer Services (0.1%)
Apollo Group, Inc., Class A * 4,456 277,564
H&R Block, Inc. 10,100 245,733
------------
523,297
------------
Diversified Financial Services (4.0%)
Bank of America Corp. (c) 143,694 4,727,533
CIT Group, Inc. (a) 9,140 77,507
Citigroup, Inc. (c) 171,749 3,209,989
CME Group, Inc. * (a) 1,719 619,063
IntercontinentalExchange, Inc. * 2,272 226,746
JPMorgan Chase & Co. 108,796 4,420,381
Leucadia National Corp. (a) 5,459 244,399
Moody's Corp. (a) 6,469 225,186
NYSE Euronext 8,453 399,320
------------
14,150,124
------------
Diversified Telecommunication
Services (2.7%)
AT&T, Inc. (c) 187,226 5,768,433
CenturyTel, Inc. 3,482 129,496
Embarq Corp. 4,747 217,270
Frontier Communications Corp. 10,586 122,374
Qwest Communications
International, Inc. (a) 49,707 190,378
Verizon Communications, Inc. 89,783 3,056,213
Windstream Corp. (a) 13,676 163,018
------------
9,647,182
------------
Electric Utilities (2.2%)
Allegheny Energy, Inc. 5,441 263,344
American Electric Power Co., Inc. 12,773 504,534
Duke Energy Corp. 40,010 703,376
Edison International 10,137 490,023
Entergy Corp. 6,088 650,929
Exelon Corp. 20,612 1,620,515
FirstEnergy Corp. 9,510 699,460
FPL Group, Inc. 12,889 831,727
Pepco Holdings, Inc. 6,568 163,806
Pinnacle West Capital Corp. 3,121 104,772
PPL Corp. 11,919 559,716
Progress Energy, Inc. (a) 8,399 355,362
Southern Co. (a) 24,371 862,490
------------
7,810,054
------------
Continued
87
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Electrical Components
& Equipment (0.5%)
Cooper Industries, Ltd., Class A (a) 5,330 $ 224,766
Emerson Electric Co. (a) 24,642 1,200,066
Rockwell Automation, Inc. (a) 4,471 199,004
------------
1,623,836
------------
Electronic Equipment
& Instruments (0.3%)
Agilent Technologies, Inc. * 11,499 414,654
Jabil Circuit, Inc. (a) 6,458 105,007
Molex, Inc. 4,468 109,600
Tyco Electronics, Ltd. 15,077 499,652
------------
1,128,913
------------
Energy Equipment & Service (3.2%)
Baker Hughes, Inc. 9,726 806,383
BJ Services Co. 9,073 266,746
Cameron International Corp. * (a) 6,842 326,774
ENSCO International, Inc. 4,605 318,390
Halliburton Co. 27,365 1,226,499
Nabors Industries, Ltd. * (a) 8,748 318,952
National Oilwell Varco, Inc. * 13,176 1,036,029
Noble Corp. 8,580 445,045
Rowan Cos., Inc. (a) 3,438 136,832
Schlumberger, Ltd. 37,693 3,829,609
Smith International, Inc. (a) 6,422 477,668
Transocean, Inc. * 10,069 1,369,686
Weatherford International, Ltd. * 21,416 808,026
------------
11,366,639
------------
Food & Staples Retailing (2.7%)
Costco Wholesale Corp. 13,625 854,015
CVS Caremark Corp. 45,058 1,644,617
Kroger Co. (The) 20,783 587,743
Safeway, Inc. (a) 13,661 365,022
SUPERVALU, Inc. (a) 6,537 167,478
SYSCO Corp. (a) 18,978 538,216
Walgreen Co. 31,305 1,075,014
Wal-Mart Stores, Inc. 73,448 4,305,522
Whole Foods Market, Inc. (a) 4,324 95,863
------------
9,633,490
------------
Food Products (1.6%)
Archer-Daniels-Midland Co. 20,360 582,907
Campbell Soup Co. 6,991 254,333
ConAgra Foods, Inc. (a) 15,239 330,382
Dean Foods Co. * (a) 4,802 102,283
General Mills, Inc. 10,614 683,435
Hershey Co. (The) (a) 5,260 193,410
HJ Heinz Co. 9,929 500,223
Kellogg Co. 7,968 422,782
Kraft Foods, Inc., Class A 47,815 1,521,473
McCormick & Co., Inc. (a) 4,035 161,803
Sara Lee Corp. 22,542 307,924
Tyson Foods, Inc., Class A 8,558 127,514
WM Wrigley Jr. Co. 6,759 533,691
------------
5,722,160
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Gas-Distribution (0.1%)
Nicor, Inc. (a) 1,404 $ 55,907
Questar Corp. 5,371 284,019
------------
339,926
------------
Healthcare Equipment & Supplies (2.2%)
Baxter International, Inc. 19,791 1,357,861
Becton Dickinson & Co. 7,733 656,609
Boston Scientific Corp. * 42,641 507,001
Covidien, Ltd. 15,800 777,992
CR Bard, Inc. 3,051 283,255
Hospira, Inc. * 4,888 186,526
Intuitive Surgical, Inc. * 1,215 378,217
Medtronic, Inc. 35,285 1,864,106
St Jude Medical, Inc. * (a) 10,584 493,003
Stryker Corp. (a) 7,611 488,550
Varian Medical Systems, Inc. * 3,933 235,980
Zimmer Holdings, Inc. * 7,348 506,351
------------
7,735,451
------------
Healthcare Providers & Services (2.0%)
Aetna, Inc. 15,282 626,715
AmerisourceBergen Corp. (a) 5,239 219,357
Cardinal Health, Inc. 11,341 609,352
Cigna Corp. 8,800 325,776
Coventry Health Care, Inc. * 4,863 172,004
DaVita, Inc. * 3,302 184,417
Express Scripts, Inc. * 8,027 566,225
Humana, Inc. * 5,244 230,264
Laboratory Corp. of America Holdings * 3,460 233,827
McKesson Corp. 8,759 490,416
Medco Health Solutions, Inc. * 16,006 793,578
Patterson Cos., Inc. * 3,954 123,483
Quest Diagnostics, Inc. (a) 4,863 258,517
Tenet Healthcare Corp. * (a) 14,743 85,362
UnitedHealth Group, Inc. 38,813 1,089,869
WellPoint, Inc. * 16,625 871,981
------------
6,881,143
------------
Healthcare Technology (0.0%)
IMS Health, Inc. 5,437 113,633
------------
Hotels Restaurants & Leisure (1.3%)
Carnival Corp. (a) 13,576 501,497
Darden Restaurants, Inc. (a) 4,408 143,569
International Game Technology 9,882 214,538
Marriott International, Inc.,
Class A (a) 9,477 245,549
McDonald's Corp. 35,741 2,136,954
Starbucks Corp. * 23,188 340,632
Starwood Hotels & Resorts
Worldwide, Inc. 5,909 202,620
Wendy's International, Inc. 2,717 62,355
Wyndham Worldwide Corp. 5,557 99,693
Yum! Brands, Inc. 14,956 535,724
------------
4,483,131
------------
Continued
88
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Household Durables (0.4%)
Black & Decker Corp. (a) 1,796 $ 107,796
Centex Corp. (a) 3,732 54,786
DR Horton, Inc. (a) 8,502 94,542
Fortune Brands, Inc. (a) 4,766 273,139
Harman International Industries,
Inc. (a) 1,882 77,482
KB Home (a) 2,395 42,128
Leggett & Platt, Inc. (a) 5,435 105,982
Lennar Corp., Class A (a) 4,338 52,490
Newell Rubbermaid, Inc. 8,596 142,092
Pulte Homes, Inc. 6,608 80,684
Snap-On, Inc. 1,802 101,435
Stanley Works (The) (a) 2,554 113,602
Whirlpool Corp. (a) 2,427 183,724
------------
1,429,882
------------
Household Products (2.4%)
Clorox Co. 4,305 234,622
Colgate-Palmolive Co. 16,050 1,192,034
Kimberly-Clark Corp. 13,242 765,785
Procter & Gamble Co. 96,256 6,302,843
------------
8,495,284
------------
Industrial Conglomerates (3.2%)
3M Co. 22,270 1,567,585
General Electric Co. (c) 314,428 8,895,168
Textron, Inc. 7,769 337,719
Tyco International, Ltd. 15,130 674,193
------------
11,474,665
------------
Insurance (3.4%)
Aflac, Inc. (a) 15,075 838,321
Allstate Corp. (The) 17,270 798,219
American International Group, Inc. 84,751 2,207,764
AON Corp. 9,294 425,665
Assurant, Inc. 3,002 180,480
Chubb Corp. 11,601 557,312
Cincinnati Financial Corp. 5,351 148,972
Genworth Financial, Inc., Class A 13,773 219,955
Hartford Financial Services
Group, Inc. 9,884 626,547
Lincoln National Corp. 8,124 387,515
Loews Corp. (a) 11,378 507,004
Marsh & McLennan Cos., Inc. 16,220 458,215
MBIA, Inc. (a) 6,778 40,193
MetLife, Inc. 22,304 1,132,374
Principal Financial Group, Inc. 8,264 351,303
Progressive Corp. (The) (a) 21,637 438,149
Prudential Financial, Inc. 13,741 947,717
Safeco Corp. 2,722 180,087
Torchmark Corp. 2,738 158,941
Travelers Cos., Inc. (The) 19,034 839,780
Unum Group 11,225 271,196
XL Capital, Ltd., Class A (a) 9,581 171,404
------------
11,887,113
------------
Continued
Shares Value
------------ ------------
Common Stocks, continued
Internet & Catalog Retail (0.3%)
Amazon.Com, Inc. * 9,686 $ 739,429
Expedia, Inc. * (a) 6,358 124,426
IAC/InterActiveCorp * 5,944 103,783
------------
967,638
------------
Internet Software & Services (1.6%)
Akamai Technologies, Inc. * 5,152 120,248
eBay, Inc. * 34,978 880,396
Google, Inc., Class A * 7,331 3,473,061
VeriSign, Inc. * 6,194 201,553
Yahoo!, Inc. * (a) 43,440 864,022
------------
5,539,280
------------
IT Services (1.1%)
Affiliated Computer Services, Inc.,
Class A * 3,098 149,324
Automatic Data Processing, Inc. 16,178 690,962
Cognizant Technology Solutions
Corp., Class A * 8,998 252,574
Computer Sciences Corp. * 4,755 225,244
Convergys Corp. * 4,218 53,569
Electronic Data Systems Corp. 15,834 392,842
Fidelity National Information
Services, Inc. 5,286 100,170
Fiserv, Inc. * 5,192 248,281
Mastercard, Inc., Class A 2,296 560,568
Paychex, Inc. 10,136 333,677
Total System Services, Inc. 6,259 122,551
Unisys Corp. * 10,888 40,177
Western Union Co. (The) 23,361 645,698
------------
3,815,637
------------
Leisure Equipment & Products (0.2%)
Eastman Kodak Co. (a) 8,929 130,720
Hasbro, Inc. 4,576 177,183
Mattel, Inc. 11,413 228,831
------------
536,734
------------
Life Sciences Tools & Services (0.4%)
Applied Biosystems, Inc. 5,180 191,297
Millipore Corp. * 1,679 118,118
PerkinElmer, Inc. 3,774 109,823
Thermo Fisher Scientific, Inc. * 13,272 803,221
Waters Corp. * 3,105 210,954
------------
1,433,413
------------
Machinery (1.9%)
Caterpillar, Inc. (a) 19,388 1,347,854
Cummins, Inc. (a) 6,474 429,485
Danaher Corp. (a) 8,098 645,006
Deere & Co. 13,536 949,686
Dover Corp. 6,016 298,574
Eaton Corp. 5,227 371,326
Illinois Tool Works, Inc. (a) 12,613 590,919
Ingersoll-Rand Co., Ltd., Class A 10,181 366,513
ITT Corp. (a) 5,634 377,252
Continued
89
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Machinery, continued
Manitowoc Co., Inc. (The) 4,237 $ 111,687
Paccar, Inc. (a) 11,602 487,980
Pall Corp. 3,814 154,162
Parker Hannifin Corp. 5,206 321,106
Terex Corp. * (a) 3,170 150,036
------------
6,601,586
------------
Media (2.7%)
CBS Corp., Class B 21,310 348,632
Comcast Corp., Class A (a) 93,457 1,927,083
DIRECTV Group, Inc. (The) * (a) 22,336 603,519
Gannett Co., Inc. (a) 7,246 131,297
Interpublic Group of Cos., Inc. * (a) 14,668 128,932
McGraw-Hill Cos., Inc. (The) 10,182 414,102
Meredith Corp. 1,197 30,595
News Corp., Class A 72,807 1,028,763
New York Times Co. (The), Class A (a) 4,478 56,378
Omnicom Group, Inc. 10,214 436,036
Scripps Networks Interactive, Inc.,
Class A * 2,792 113,188
Time Warner, Inc. 113,145 1,620,236
Viacom, Inc., Class B * 19,744 551,450
Walt Disney Co. (The) (a) 60,136 1,825,128
Washington Post Co. (The), Class B 181 111,903
------------
9,327,242
------------
Metals & Mining (1.2%)
AK Steel Holding Corp. 3,532 224,282
Alcoa, Inc. 25,698 867,308
Allegheny Technologies, Inc. (a) 3,180 150,382
Freeport-McMoRan Copper &
Gold, Inc. (a) 12,035 1,164,386
Newmont Mining Corp. (a) 14,340 687,746
Nucor Corp. (a) 9,908 566,936
Titanium Metals Corp. (a) 2,725 30,684
United States Steel Corp. 3,678 589,804
------------
4,281,528
------------
Multiline Retail (0.7%)
Big Lots, Inc. * (a) 2,621 79,836
Dillard's, Inc., Class A (a) 1,893 19,138
Family Dollar Stores, Inc. (a) 4,529 105,526
JC Penney Co., Inc. 6,896 212,604
Kohl's Corp. * 9,560 400,659
Macy's, Inc. 13,488 253,709
Nordstrom, Inc. (a) 5,697 163,732
Sears Holdings Corp. * (a) 2,164 175,284
Target Corp. (a) 24,639 1,114,422
------------
2,524,910
------------
Multi-Utilities (1.2%)
Ameren Corp. 6,459 265,400
Centerpoint Energy, Inc. (a) 9,993 157,590
CMS Energy Corp. (a) 6,987 94,324
Consolidated Edison, Inc. (a) 8,431 334,711
Dominion Resources, Inc. 18,237 805,711
Continued
Shares Value
------------ ------------
Common Stocks, continued
Multi-Utilities, continued
DTE Energy Co. (a) 4,972 $ 203,753
Integrys Energy Group, Inc. (a) 2,364 120,706
NiSource, Inc. (a) 8,530 145,692
PG&E Corp. (a) 11,382 438,548
Public Service Enterprise Group, Inc. (a) 16,141 674,694
Sempra Energy 7,833 439,901
TECO Energy, Inc. (a) 6,550 121,502
Xcel Energy, Inc. (a) 13,779 276,407
------------
4,078,939
------------
Office Electronics (0.1%)
Xerox Corp. 28,072 382,902
------------
Oil & Gas (10.7%)
Anadarko Petroleum Corp. 14,873 861,296
Apache Corp. 10,565 1,185,076
Cabot Oil & Gas Corp. 3,072 135,199
Chesapeake Energy Corp. (a) 15,150 759,772
Chevron Corp. 65,181 5,511,705
ConocoPhillips 48,590 3,965,916
Consol Energy, Inc. 5,806 431,908
Devon Energy Corp. 14,023 1,330,643
El Paso Corp. 22,498 403,389
EOG Resources, Inc. 7,794 783,531
Exxon Mobil Corp. (c) 166,527 13,393,767
Hess Corp. 8,906 903,068
Marathon Oil Corp. 22,258 1,101,103
Massey Energy Co. 2,550 189,338
Murphy Oil Corp. 6,055 482,765
Noble Energy, Inc. 5,375 397,051
Occidental Petroleum Corp. 25,846 2,037,440
Peabody Energy Corp. 8,559 579,016
Range Resources Corp. 4,881 237,021
Southwestern Energy Co. * 10,758 390,623
Spectra Energy Corp. 19,740 536,336
Sunoco, Inc. (a) 3,745 152,085
Tesoro Corp. (a) 4,257 65,728
Valero Energy Corp. 16,825 562,123
Williams Cos., Inc. 18,293 586,291
XTO Energy, Inc. 16,927 799,462
------------
37,781,652
------------
Paper & Forest Products (0.3%)
International Paper Co. (a) 13,367 370,533
MeadWestvaco Corp. 5,707 153,005
Weyerhaeuser Co. 6,761 361,443
------------
884,981
------------
Personal Products (0.2%)
Avon Products, Inc. 13,461 570,746
Estee Lauder Cos., Inc. (The),
Class A (a) 3,566 157,261
------------
728,007
------------
Continued
90
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Pharmaceuticals (6.2%)
Abbott Laboratories 48,634 $ 2,740,040
Allergan, Inc. 9,832 510,576
Barr Pharmaceuticals, Inc. * 3,336 220,109
Bristol-Myers Squibb Co. 62,111 1,311,784
Eli Lilly & Co. 31,288 1,473,978
Forest Laboratories, Inc. * 9,382 333,155
Johnson & Johnson 88,832 6,082,327
King Pharmaceuticals, Inc. * (a) 7,597 87,441
Merck & Co., Inc. 67,663 2,226,113
Mylan Laboratories, Inc. * (a) 9,405 121,983
Pfizer, Inc. 213,662 3,989,069
Schering-Plough Corp. 50,994 1,074,953
Watson Pharmaceuticals, Inc. * 3,189 92,194
Wyeth 42,184 1,709,296
------------
21,973,018
------------
Real Estate Investment Trusts (1.2%)
Apartment Investment & Management
Co., Class A (a) 2,742 93,694
AvalonBay Communities, Inc. (a) 2,481 247,380
Boston Properties, Inc. 3,703 356,192
Developers Diversified Realty Corp. 3,864 123,493
Equity Residential (a) 8,622 372,212
General Growth Properties, Inc. (a) 8,509 233,232
HCP, Inc. (a) 7,455 268,902
Host Hotels & Resorts, Inc. (a) 16,249 213,024
Kimco Realty Corp. (a) 7,847 276,921
Plum Creek Timber Co., Inc. (a) 5,431 264,598
Prologis (a) 8,239 402,722
Public Storage (a) 3,873 317,160
Simon Property Group, Inc. (a) 7,101 657,766
Vornado Realty Trust (a) 4,336 412,224
------------
4,239,520
------------
Real Estate Management
& Development (0.0%)
CB Richard Ellis Group, Inc.,
Class A * (a) 5,370 75,448
------------
Road & Rail (1.2%)
Burlington Northern Santa Fe Corp. 9,206 958,621
CSX Corp. 12,735 860,631
Norfolk Southern Corp. 11,896 855,560
Ryder System, Inc. 1,861 122,752
Union Pacific Corp. 16,316 1,345,091
------------
4,142,655
------------
Semiconductors & Semiconductor
Equipment (2.4%)
Advanced Micro Devices, Inc. * (a) 18,636 78,458
Altera Corp. 9,654 211,905
Analog Devices, Inc. 9,163 279,563
Applied Materials, Inc. 42,876 742,612
Broadcom Corp., Class A * (a) 14,052 341,323
Intel Corp. 180,798 4,011,908
Kla-Tencor Corp. 5,309 199,565
Continued
Shares Value
------------ ------------
Common Stocks, continued
Semiconductors & Semiconductor
Equipment, continued
Linear Technology Corp. (a) 6,907 $ 214,462
LSI Corp. * 20,215 140,292
MEMC Electronic Materials, Inc. * 7,177 331,649
Microchip Technology, Inc. 5,946 189,856
Micron Technology, Inc. * (a) 23,548 113,737
National Semiconductor Corp. 6,831 143,110
Novellus Systems, Inc. * 2,949 60,071
Nvidia Corp. * 17,530 200,543
Teradyne, Inc. * 5,402 50,617
Texas Instruments, Inc. 41,756 1,018,011
Xilinx, Inc. 8,676 215,425
------------
8,543,107
------------
Software (3.5%)
Adobe Systems, Inc. * 16,731 691,827
Autodesk, Inc. * 7,156 228,205
BMC Software, Inc. * (a) 5,874 193,196
CA, Inc. (a) 12,092 288,515
Citrix Systems, Inc. * 5,902 157,229
Compuware Corp. * 8,904 97,944
Electronic Arts, Inc. * 9,947 429,511
Intuit, Inc. * 10,041 274,421
Microsoft Corp. (c) 252,671 6,498,698
Novell, Inc. * 10,885 60,629
Oracle Corp. * 125,175 2,695,018
Symantec Corp. * 26,269 553,488
------------
12,168,681
------------
Specialty Retail (1.5%)
Abercrombie & Fitch Co., Class A 2,696 148,873
AutoNation, Inc. * (a) 4,293 44,304
AutoZone, Inc. * 1,298 169,116
Bed Bath & Beyond, Inc. * (a) 7,944 221,082
Best Buy Co., Inc. (a) 10,918 433,663
GameStop Corp., Class A * (a) 5,257 212,961
Gap, Inc. (The) (a) 13,708 220,973
Home Depot, Inc. 53,735 1,280,505
Limited Brands, Inc. (a) 9,141 150,735
Lowe's Cos., Inc. 46,002 934,761
Office Depot, Inc. * 8,487 57,712
RadioShack Corp. 4,287 71,507
Sherwin-Williams Co. (The) (a) 3,106 165,394
Staples, Inc. 22,212 499,770
Tiffany & Co. (a) 3,865 146,058
TJX Cos., Inc. 13,387 451,276
------------
5,208,690
------------
Textiles Apparel & Luxury Goods (0.4%)
Coach, Inc. * (a) 10,636 271,324
Jones Apparel Group, Inc. (a) 2,653 44,411
Liz Claiborne, Inc. 3,182 41,589
Nike, Inc., Class B (a) 12,029 705,862
Polo Ralph Lauren Corp., Class A 1,864 110,293
VF Corp. 2,765 197,919
------------
1,371,398
------------
Continued
91
Equity Index
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Common Stocks, continued
Thrifts & Mortgage Finance (0.4%)
Fannie Mae (a) 33,654 $ 387,021
Freddie Mac (a) 20,260 165,524
Hudson City Bancorp, Inc. (a) 16,546 302,130
MGIC Investment Corp. (a) 4,217 26,989
Sovereign Bancorp, Inc. (a) 15,057 143,342
Washington Mutual, Inc. (a) 46,784 249,359
------------
1,274,365
------------
Tobacco (1.6%)
Altria Group, Inc. 66,375 1,350,731
Lorillard, Inc. * 5,477 367,562
Philip Morris International, Inc. 66,375 3,428,269
Reynolds American, Inc. (a) 5,323 297,183
UST, Inc. (a) 4,702 247,372
------------
5,691,117
------------
Trading Companies & Distributors (0.1%)
WW Grainger, Inc. (a) 2,096 187,613
------------
Utilities (0.3%)
AES Corp. (The) * 21,532 347,526
Constellation Energy Group, Inc. 5,616 467,027
Dynegy, Inc., Class A * 15,754 106,024
------------
920,577
------------
Wireless Telecommunication
Services (0.4%)
American Tower Corp., Class A * 12,447 521,529
Sprint Nextel Corp. 90,348 735,433
------------
1,256,962
------------
Total Common Stocks 348,669,841
------------
Investment Companies (9.4%)
State Street Navigator Securities
Lending Portfolio (d) 33,029,455 33,029,455
------------
Total Investment Companies 33,029,455
------------
Investments in Affiliates (1.3%)
Cash & Cash Equivalents (1.2%)
Fifth Third Institutional Money
Market Fund (b) 4,274,338 4,274,338
------------
Commercial Banks (0.1%)
Fifth Third Bancorp 18,250 254,953
------------
Total Investments in Affiliates 4,529,291
------------
Total Investments (Cost $198,846,236) - 109.9% 386,228,587
------------
Liabilities in excess of other assets - (9.9)% (34,723,003)
------------
NET ASSETS - 100.0% $351,505,584
============
Continued
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) All or part of this security has been designated as collateral for futures
contracts.
(d) Represents investments of cash collateral received in connection with
securities lending.
See notes to schedules of investments
and notes to financial statements.
92
International Equity
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Foreign Stocks(c) (97.4%)
Australia (5.7%)
ASX, Ltd. 109,768 $ 3,530,582
Australia & New Zealand Banking
Group, Ltd. 20,517 308,157
BHP Billiton, Ltd. 17,366 648,625
BlueScope Steel, Ltd. 428,015 4,644,225
Coca-Cola Amatil, Ltd. 19,435 139,950
Commonwealth Bank of Australia (a) 1,768 65,161
Goodman Fielder, Ltd. (a) 1,171,824 1,440,467
Macquarie Infrastructure Group (a) 1,664,461 3,969,405
National Australia Bank, Ltd. 80,624 1,836,041
Qantas Airways, Ltd. 1,375,076 4,229,291
St George Bank, Ltd. 20,466 525,827
Telstra Corp., Ltd. 610,765 2,567,978
Wesfarmers, Ltd. (a) 2,486 79,741
Westpac Banking Corp. (a) 68,938 1,374,523
------------
25,359,973
------------
Austria (0.9%)
OMV AG 38,793 2,673,195
Voestalpine AG (a) 17,239 1,131,684
------------
3,804,879
------------
Belgium (1.0%)
Belgacom SA 39,569 1,554,165
Dexia SA (a) 103,811 1,415,773
InBev NV (a) 21,804 1,467,898
------------
4,437,836
------------
Bermuda (0.7%)
Orient Overseas
(International), Ltd. 155,564 677,701
Pacific Basin Shipping, Ltd. 1,885,009 2,646,067
------------
3,323,768
------------
Denmark (1.5%)
Danisco A/S (a) 30,100 2,053,012
FLSmidth & Co. A/S 2,625 254,540
Novo Nordisk A/S, Class B 72,076 4,585,351
------------
6,892,903
------------
Finland (0.6%)
Kesko Oyj, B Shares 35,134 970,277
Neste Oil Oyj 72 1,739
Nokia Oyj 37,995 1,038,541
Outokumpu Oyj 22,706 529,524
------------
2,540,081
------------
France (9.5%)
AXA SA (a) 14,285 421,923
BNP Paribas * 283 28,164
Bouygues 38,313 2,466,124
Carrefour SA 16,487 838,662
Casino Guichard Perrachon SA (a) 10,272 1,021,649
Cie de Saint-Gobain (a) 52,869 3,286,412
CNP Assurances 31,927 3,556,049
France Telecom SA (a) 206,333 6,551,324
Continued
Shares Value
------------ ------------
Foreign Stocks, continued
France, continued
Imerys SA 287 $ 17,155
Lafarge SA (a) 24,079 3,271,724
Legrand SA (a) 58,468 1,490,193
Natixis (a) 15,698 127,839
Sanofi-Aventis SA (a) 86,858 6,095,652
Total SA (d) 93,492 7,167,970
Vivendi 144,765 6,050,789
------------
42,391,629
------------
Germany (8.4%)
BASF SE (d) 101,758 6,452,200
Bayerische Motoren Werke AG 106,961 4,801,659
Deutsche Lufthansa AG (a) 204,759 4,697,486
E.ON AG 1,224 233,551
Hannover Rueckversicherung AG 58,949 2,818,204
MAN AG 31,499 3,176,425
Muenchener Rueckversicherungs AG 27,013 4,499,139
RWE AG 48,207 5,781,837
Salzgitter AG 2,789 457,037
ThyssenKrupp AG 79,223 4,432,526
------------
37,350,064
------------
Great Britain (18.9%)
Antofagasta PLC 421,020 4,796,251
AstraZeneca PLC 144,225 6,990,735
Aviva PLC 35,419 351,432
BP PLC (d) 850,558 8,736,044
British American Tobacco PLC 88,866 3,205,948
BT Group PLC 291,583 980,400
Centrica PLC 429,741 2,667,338
GKN PLC 920,530 3,864,667
GlaxoSmithKline PLC 136,763 3,183,960
HBOS PLC 192,094 1,102,544
HSBC Holdings PLC 208,840 3,455,292
ICAP PLC 129,293 1,274,228
Investec PLC 545,228 3,647,894
J Sainsbury PLC 128,345 800,404
Kazakhmys PLC 145,259 4,272,925
Legal & General Group PLC 2,024,247 3,892,658
Lloyds TSB Group PLC 202,413 1,181,647
National Grid PLC 86,746 1,143,216
Next PLC 74,358 1,397,469
Old Mutual PLC 2,116,656 4,036,987
Scottish & Southern Energy PLC 33,911 938,639
Severn Trent PLC 3,305 86,716
Smith & Nephew PLC 115,861 1,235,484
Stagecoach Group PLC 312,813 1,750,610
Standard Chartered PLC 177,805 5,405,120
Tate & Lyle PLC 258,521 1,992,503
Tesco PLC 51,740 367,625
Tomkins PLC 1,037,380 2,531,048
Unilever PLC 46,355 1,269,493
United Utilities Group PLC * 342,431 1,153,874
United Utilities Group PLC 264,605 3,635,846
Vedanta Resources PLC 28,947 1,150,111
Vodafone Group PLC 499,465 1,341,053
------------
83,840,161
------------
Continued
93
International Equity
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Foreign Stocks, continued
Greece (0.5%)
Alpha Bank AE 13,602 $ 401,027
EFG Eurobank Ergasias SA 60,972 1,510,810
Hellenic Petroleum SA 11,505 151,114
------------
2,062,951
------------
Hong Kong (2.4%)
BOC Hong Kong Holdings, Ltd. 1,515,978 3,821,447
Hang Seng Bank, Ltd. 28,004 550,509
Hong Kong Exchanges and
Clearing, Ltd. 115,600 1,710,930
HongKong Electric Holdings 190,500 1,101,923
Hopewell Holdings 149,000 534,220
Wharf Holdings, Ltd. 535,000 2,368,882
Wheelock & Co., Ltd. 167,000 454,261
Wing Hang Bank, Ltd. 1,000 13,417
------------
10,555,589
------------
Ireland (1.0%)
Anglo Irish Bank Corp. PLC 518,529 4,080,128
Bank of Ireland 36,703 310,154
------------
4,390,282
------------
Italy (4.5%)
Enel SpA 650,707 6,029,864
ENI SpA (d) 214,448 7,254,180
Fiat SpA 280,778 4,801,366
Fondiaria-Sai SpA 39,780 1,322,573
Mediaset SpA 54,031 383,052
------------
19,791,035
------------
Japan (21.3%)
Aeon Credit Service Co., Ltd. (a) 132,500 1,688,347
Aisin Seiki Co., Ltd. 98,800 2,571,988
Alps Electric Co., Ltd. (a) 123,600 1,263,108
Asahi Breweries, Ltd. (a) 19,900 372,477
Asahi Kasei Corp. 138,000 705,185
Brother Industries, Ltd. (a) 132,700 1,671,313
Canon, Inc. 53,700 2,453,880
Coca-Cola West Holdings Co., Ltd. (a) 29,400 649,291
Daihatsu Motor Co., Ltd. (a) 28,000 332,025
Dena Co., Ltd. (a) 195 939,927
Fujitsu, Ltd. 116,000 844,014
Hino Motors, Ltd. 359,000 1,877,107
Hitachi Chemical Co., Ltd. 32,200 613,580
Hitachi Construction Machinery
Co., Ltd. 45,900 1,191,828
Isuzu Motors, Ltd. 151,000 647,233
JFE Holdings, Inc. 35,600 1,719,281
Kawasaki Kisen Kaisha, Ltd. 82,000 641,262
Kobe Steel, Ltd. 1,503,000 4,223,055
Konica Minolta Holdings, Inc. 256,500 4,200,311
Lawson, Inc. 8,400 434,465
Minebea Co., Ltd. 11,000 58,075
Mitsubishi Corp. 155,800 4,517,877
Mitsubishi Tanabe Pharma Corp. 104,000 1,350,793
Continued
Shares Value
------------ ------------
Foreign Stocks, continued
Japan, continued
Mitsubishi UFJ Lease & Finance
Co., Ltd. 68,720 $ 3,001,126
Mitsui OSK Lines, Ltd. 258,000 3,324,616
NHK Spring Co., Ltd. 110,000 775,112
Nippon Telegraph & Telephone Corp. 736 3,730,922
Nippon Yusen KK 189,000 1,605,878
Nissan Motor Co., Ltd. 628,221 4,830,640
Nisshin Steel Co., Ltd. 462,000 1,428,269
Nitto Denko Corp. 74,100 2,119,624
NSK, Ltd. 339,000 2,798,285
NTN Corp. (a) 122,000 759,957
NTT DoCoMo, Inc. 1,930 3,111,049
Promise Co., Ltd. 15,200 387,546
Ricoh Co., Ltd. 59,000 949,693
Sankyo Co., Ltd. 55,000 3,318,471
Shinsei Bank, Ltd. 916,000 3,151,213
Stanley Electric Co., Ltd. 106,700 2,190,198
Sumitomo Mitsui Financial
Group, Inc. 364 2,804,439
Sumitomo Trust & Banking
Co., Ltd. (The) 295,000 2,013,744
Suzuki Motor Corp. 10,200 221,527
Takefuji Corp. (a) 42,320 581,453
TDK Corp. 64,800 3,763,963
Tokai Rika Co., Ltd. 93,394 1,587,871
Tokyo Electron, Ltd. 55,500 3,114,704
Tosoh Corp. 811,000 3,486,875
Toyota Motor Corp. 105,200 4,520,408
------------
94,544,005
------------
Netherlands (3.5%)
Heineken Holding NV 24,893 1,061,706
ING Groep NV (a) (d) 211,984 6,929,790
Koninklijke Ahold NV 181,280 2,063,997
Royal Dutch Shell PLC, A Shares 13,001 463,142
Royal Dutch Shell PLC, B Shares 141,781 4,994,271
------------
15,512,906
------------
Norway (1.3%)
StatoilHydro ASA 178,715 5,806,311
------------
Singapore (2.2%)
DBS Group Holdings, Ltd. 108,000 1,508,422
Jardine Cycle & Carriage, Ltd. (a) 47,515 603,794
Neptune Orient Lines, Ltd. (a) 612,000 1,252,884
Olam International, Ltd. (a) 538,000 887,984
Oversea-Chinese Banking Corp. 668,000 4,102,507
Singapore Airlines, Ltd. 55,270 608,370
United Overseas Bank, Ltd. 44,000 624,739
Wilmar International, Ltd. (a) 43,000 137,245
------------
9,725,945
------------
Spain (5.1%)
ACS Actividades de Construccion y
Servicios SA 19,226 944,804
Banco Bilbao Vizcaya Argentaria SA 133,626 2,444,513
Continued
94
International Equity
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Foreign Stocks, continued
Spain, continued
Banco Santander Central Hispano
SA (a) (d) 419,110 $ 8,087,317
Repsol YPF SA 110,126 3,697,809
Telefonica SA (d) 249,670 6,504,263
Union Fenosa SA 39,615 1,061,373
------------
22,740,079
------------
Sweden (1.6%)
Boliden AB 153,481 901,076
Nordea Bank AB 76,200 1,086,618
Scania AB, B Shares (a) 65,500 1,027,263
SKF AB, B Shares (a) 226,600 3,841,143
Telefonaktiebolaget LM Ericsson,
B Shares 17,000 178,148
------------
7,034,248
------------
Switzerland (6.8%)
Baloise Holding AG 39,546 3,702,475
Compagnie Financiere Richemont SA 742 44,525
Holcim, Ltd. 34,877 2,484,817
Nestle SA (d) 223,360 9,788,892
Novartis AG 98,596 5,844,287
Roche Holding AG 2,932 541,448
Swiss Life Holding 14,468 3,719,879
Swisscom AG 9,674 3,121,993
Xstrata PLC 13,695 981,749
------------
30,230,065
------------
Total Foreign Stocks 432,334,710
------------
Investment Companies (9.0%)
United States (9.0%)
iShares MSCI EAFE Index Fund 60,600 4,023,234
State Street Navigator Securities
Lending Portfolio (e) 36,115,304 36,115,304
------------
40,138,538
------------
Total Investment Companies 40,138,538
------------
Preferred Stocks(c)(0.2%)
Germany (0.2%)
Bayerische Motoren Werke AG (a) 16,478 606,641
RWE AG 5,445 522,959
------------
1,129,600
------------
Total Preferred Stocks 1,129,600
------------
Rights (0.0%)
Japan (0.0%)
Dowa Holdings Co., Ltd. * 28,000 --
------------
Total Rights 0
------------
Continued
Shares Value
------------ ------------
Investments in Affiliates (1.0%)
United States (1.0%)
Fifth Third Institutional Money
Market Fund(b) 4,246,813 $ 4,246,813
------------
Total Investments in Affiliates 4,246,813
------------
Total Investments (Cost $494,506,481) - 107.6% 477,849,661
Liabilities in excess of other assets - (7.6)% (33,797,953)
------------
NET ASSETS - 100.0% $444,051,708
============
Notes to Schedule of Investments
* Non-income producing security.
(a) All or part of this security was on loan.
(b) Investment is in Institutional Shares of underlying fund.
(c) The Fund's securities were fair valued at July 31, 2008 using procedures
approved by the Board of Trustees.
(d) All or part of this security has been designated as collateral for futures
contracts.
(e) Represents investments of cash collateral received in connection with
securities lending.
Investment concentration as a percentage of net assets, by industry:
Consumer, Non-cyclic 1.2%
Agricultural Operations --^
Airlines 2.1%
Auto Parts & Equipment 0.2%
Auto/Truck Parts & Equipment Orig 0.9%
Auto-Cars/Light Trucks 3.4%
Auto-Med & Heavy Duty Trucks 0.7%
Automobile Manufacturers 1.3%
Automobiles & Components 1.4%
Banks 3.3%
Beverages-Non Alcoholic 0.2%
Brewery 0.8%
Building & Construction Production-Miscellaneous 0.7%
Building Production-Cement/Aggregate 1.3%
Building & Construct-Miscellaneous 1.3%
Building-Heavy Construction 0.2%
Capital Goods 1.0%
Cash & Cash Equivalents 1.0%
Cellular Telecom 1.0%
Chemicals-Diversified 2.4%
Commercial Banks Non-U.S. 8.6%
Communications 0.2%
Computers-Integrated Systems 0.2%
Computers-Memory Devices 0.8%
Consumer Durables & Apparel --^
Distribution/Wholesale 0.1%
Distributors 0.1%
Diversified Financial Services 1.6%
Diversified Manufacturing Operations 0.6%
Diversified Minerals 1.4%
Electric Products-Miscellaneous 0.7%
Electric-Integrated 3.2%
Electric-Transmission 0.3%
Electronic Components-Miscellaneous 0.3%
Continued
95
International Equity
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Investment concentration as a percentage of net assets,
by industry, continued:
Finance-Consumer Loans 0.2%
Finance-Investment Banker/Broker --^
Finance-Leasing Company 0.7%
Finance-Other Services 1.1%
Financial Services --^
Food & Staples Retailing 0.2%
Food-Miscellaneous/Diversified 3.3%
Food-Retail 1.1%
Food-Wholesale/Distribution 0.2%
Gas-Distribution 0.6%
Import/Export 1.0%
Insurance 0.9%
Investment Companies 9.0%
Life/Health Insurance 1.8%
Materials 1.2%
Medical Products 0.3%
Medical-Drugs 6.4%
Metal Processors & Fabrications 1.7%
Metal-Copper 1.0%
Metal-Diversified 0.5%
Miscellaneous 1.5%
Multi-Line Insurance 2.8%
Multimedia 1.4%
Non-Ferrous Metals --^
Office Automation & Equipment 0.8%
Oil Company-Integrated 9.2%
Oil Refining & Marketing --^
Property Trust 0.1%
Real Estate 0.5%
Regional Banks 0.1%
Reinsurance 1.0%
Retail-Apparel/Shoe 0.3%
Retail-Convenience Store 0.1%
Semiconductor Equipment 0.7%
Steel-Producers 3.3%
Steel-Specialty 0.1%
Sugar 0.4%
Technology Hardware & Equipment 1.0%
Telecommunication Services 0.6%
Telephone-Integrated 5.1%
Television 0.1%
Tobacco 0.7%
Transportation 2.1%
Transport-Marine 1.2%
Transport-Services 0.4%
Utilities 0.3%
Water 1.1%
Wireless Equipment 0.2%
__^ Amount is less than 0.05%
See notes to schedules of investments
and notes to financial statements.
Strategic Income
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Asset-Backed Securities (2.3%)
Automobile ABS Other (0.9%)
Susquehanna Auto Lease Trust, Series
2007-1, Class B, 5.31%, 7/14/10 (b) $ 1,000,000 $ 997,425
------------
Other ABS (1.4%)
Aerco, Ltd., Series 2A, Class A3,
2.92%, 7/15/25 (a) (b) (e) 909,602 700,393
Residential Asset Securities Corp.,
Series 2006-KS3, Class AI3, 2.63%,
4/25/36 (a) 1,000,000 921,690
------------
1,622,083
------------
Total Asset-Backed Securities 2,619,508
------------
Corporate Bonds (18.2%)
Beverages-Non Alcoholic (0.4%)
PepsiCo, Inc., 4.65%, 2/15/13 (c) 500,000 507,736
------------
Cable TV (0.9%)
COX Communications, Inc.,
7.75%, 11/1/10 1,000,000 1,051,488
------------
Commercial Banks-Eastern U.S. (0.8%)
Emigrant Capital Trust, 5.21%,
12/10/33 (a) (b) 1,000,000 978,367
------------
Commercial Banks-Southern U.S. (1.4%)
First Tennessee Capital II, Series B,
6.30%, 4/15/34,
(Callable 4/15/09 @100) 1,500,000 1,102,914
Union Planters Corp.,
4.38%, 12/1/10 500,000 475,128
------------
1,578,042
------------
Electric-Integrated (1.2%)
FPL Group Capital, Inc., 6.65%,
6/15/67,
(Callable 6/15/17 @ 100) (a) 1,000,000 864,961
Public Service Co. of Oklahoma,
Series C, 4.85%, 9/15/10 500,000 501,566
------------
1,366,527
------------
Finance-Consumer Loans (1.5%)
SLM Corp., Series CPI, 5.06%,
4/1/09 (a) 1,000,000 939,760
SLM Corp., Series CPI, 6.06%,
11/21/13 (a) 1,000,000 763,140
------------
1,702,900
------------
Finance-Investment Banker/Broker (1.2%)
Bear Stearns Cos., Inc. (The), 4.65%,
7/2/18 1,000,000 850,406
Lehman Brothers Holdings Capital
Trust V, 5.86%, 5/31/12 (a) (f) 1,000,000 530,000
------------
1,380,406
------------
Continued
96
Strategic Income
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Finance-Mortgage Loan/Banker (0.1%)
Countrywide Home Loans, Inc.,
5.63%, 7/15/09 (c) $ 100,000 $ 98,079
------------
Finance-Other Services (0.8%)
Cullen Frost Cap Trust I, 4.23%,
3/1/34, (Callable 3/01/09 @100) (a) 1,000,000 929,635
------------
Financial Guarantee Insurance (0.4%)
Radian Group, Inc., 5.63%, 2/15/13 1,000,000 463,759
------------
Food-Miscellaneous/Diversified (0.8%)
General Mills, Inc., 5.20%, 3/17/15 400,000 393,609
Kellogg Co., 5.13%, 12/3/12 500,000 505,470
------------
899,079
------------
Insurance Brokers (0.3%)
Marsh & McLennan Cos., Inc., 5.88%,
8/1/33 500,000 403,632
------------
Money Center Banks (1.3%)
Deutsche Bankers Trust Corp., 7.25%,
10/15/11 1,000,000 1,065,120
RBS Capital Trust B, 6.80%,
9/30/08 (f) 500,000 443,125
------------
1,508,245
------------
Multimedia (1.8%)
Time Warner Entertainment Co. L.P.,
8.88%, 10/1/12 1,500,000 1,632,074
Walt Disney Co. (The), 4.70%,
12/1/12 (c) 500,000 503,468
------------
2,135,542
------------
Reinsurance (0.4%)
Berkshire Hathaway Finance Corp.,
4.60%, 5/15/13 (b) 500,000 498,140
------------
Real Estate Investment Trusts (0.9%)
Developers Diversified Realty Corp.,
3.88%, 1/30/09 1,000,000 990,365
------------
Retail-Discount (0.8%)
Wal-Mart Stores, Inc., 4.25%,
4/15/13 (c) 900,000 895,193
------------
Retail-Drug Store (0.6%)
CVS Pass Through Trust, 7.77%,
1/10/12 (b) 720,277 749,041
------------
Special Purpose Entity (0.8%)
HVB Funding Trust I, 8.74%,
6/30/31, (Callable 6/30/29 @ 100) (b) 1,000,000 874,915
------------
Continued
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Super-Regional Banks-U.S. (1.5%)
Bank of America Corp., 8.00%,
1/30/18 (a) (c) (f) $ 400,000 $ 369,000
PNC Financial Services Group, Inc.,
8.25%, 5/21/13 (a) (g) 500,000 479,238
Wells Fargo Bank NA,
5.95%, 8/26/36 (c) 1,000,000 877,064
------------
1,725,302
------------
Wireless Equipment (0.3%)
Motorola, Inc., 6.50%, 11/15/28 (c) 500,000 371,538
------------
Total Corporate Bonds 21,107,931
------------
Foreign Bonds (7.8%)
Commercial Banks Non-U.S. (1.4%)
HBOS PLC, 5.38%, 11/1/13 (a) (b) (f) 2,000,000 1,691,728
------------
Diversified Operations (0.9%)
Hutchison Whampoa International,
Ltd., 6.50%, 2/13/13 (b) 1,000,000 1,026,560
------------
Investment Management/Advisor
Services (0.4%)
Amvescap PLC, 5.38%, 2/27/13 500,000 462,112
------------
Multi-Line Insurance (0.7%)
AXA SA, 6.46%, 12/14/18 (a) (b) (f) 1,000,000 803,520
------------
Sovereign (3.5%)
Australia Government Bond, Series
909, 7.50%, 9/15/09 AUD 1,500,000 1,427,244
Brazil, Federal Republic, 6.00%,
8/15/10 (e) BRL 1,000,000 1,091,311
Mexico Government International Bond,
6.75%, 9/27/34 (c) $ 1,000,000 1,075,500
Russia Government International Bond,
8.25%, 3/31/10 (b) 444,469 461,670
------------
4,055,725
------------
Special Purpose Banks (0.9%)
Korea Development Bank,
3.88%, 3/2/09 1,000,000 998,203
------------
Total Foreign Bonds 9,037,848
------------
Mortgage-Backed Securities (6.2%)
CMBS Other (1.7%)
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Series 2007-CD5,
Class A2, 5.66%, 11/15/44 1,000,000 973,750
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 1,000,000 998,363
------------
1,972,113
------------
Continued
97
Strategic Income
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
WL Collateral CMO Other (3.2%)
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 $ 546,979 $ 489,350
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2003-48, Class
2A3, 4.56%, 10/25/33 (a) 1,168,906 1,074,628
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2004-HYB5,
Class 4A1, 5.01%, 4/20/35 (a) 342,242 299,536
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
4.76%, 12/25/32 (a) 30,910 30,583
Wells Fargo Mortgage Backed
Securities Trust, Series 2004-X,
Class 1A5, 4.93%, 11/25/34 (a) 1,000,000 892,730
Wells Fargo Mortgage Backed
Securities Trust, Series 2005-AR10,
Class 2A14, 4.11%, 6/25/35 (a) 1,000,000 970,361
------------
3,757,188
------------
WL Collateral CMO Sequential (1.3%)
JP Morgan Mortgage Trust, Series
2006-A3, Class 2A1, 5.63%,
5/25/36 (a) 826,903 781,108
JP Morgan Mortgage Trust, Series
2007-A2, Class 4A1M, 5.80%,
4/25/37 (a) 811,875 746,123
------------
1,527,231
------------
Total Mortgage-Backed Securities 7,256,532
------------
U.S. Government Agencies (4.6%)
Fannie Mae (0.4%)
4.22%, 7/1/18 (a) 418,322 420,111
------------
Freddie Mac (2.4%)
6.50%, 9/1/22 872,303 903,875
5.00%, 9/15/25 727,849 736,002
7.23%, 10/1/32 (a) 155,936 157,723
4.83%, 1/1/37 (a) 951,109 956,418
------------
2,754,018
------------
Government National Mortgage
Association (1.8%)
5.49%, 8/16/27 (a) 1,150,000 1,163,066
4.89%, 7/16/34 1,000,000 952,494
------------
2,115,560
------------
Total U.S. Government Agencies 5,289,689
------------
Continued
Shares Value
------------ ------------
Common Stocks (5.2%)
Beverages (0.3%)
Diageo PLC ADR (c) 4,200 $ 295,596
PepsiCo, Inc. (c) 1,100 73,216
------------
368,812
------------
Commercial Banks (0.8%)
US Bancorp (c) 11,600 355,076
Wells Fargo & Co. (c) 18,390 556,665
------------
911,741
------------
Diversified Financial Services (0.3%)
Bank of America Corp. (c) 11,500 378,350
------------
Electric Utilities (0.7%)
Duke Energy Corp. (c) 14,900 261,942
Entergy Corp. (c) 2,750 294,030
Southern Co. (c) 8,700 307,893
------------
863,865
------------
Food Products (0.2%)
Kraft Foods, Inc., Class A (c) 8,974 285,553
------------
Multi-Utilities (0.3%)
Wisconsin Energy Corp. (c) 8,300 374,496
------------
Oil & Gas (0.2%)
Spectra Energy Corp. (c) 7,500 203,775
------------
Real Estate Investment Trusts (1.6%)
Annaly Capital Management, Inc. (c) 28,000 421,960
HCP, Inc. (c) 7,650 275,935
Kimco Realty Corp. (c) 8,550 301,730
Public Storage, A Shares (c) 12,000 301,200
Vornado Realty Trust 2,800 266,196
Weingarten Realty Investors (c) 7,025 214,192
------------
1,781,213
------------
Tobacco (0.8%)
Altria Group, Inc. 12,850 261,498
Philip Morris International, Inc. 12,850 663,702
------------
925,200
------------
Total Common Stocks 6,093,005
------------
Investment Companies (27.8%)
American Income Fund, Inc. (c) 135,400 970,818
BlackRock Income Opportunity
Trust, Inc. (c) 47,500 456,475
Eaton Vance Tax-Advantaged Dividend
Income Fund 23,600 516,368
ING Prime Rate Trust (c) 160,400 872,576
MFS Government Markets Income
Trust (c) 51,484 355,240
Rivus Bond Fund 77,000 1,247,400
State Street Navigator Securities
Lending Portfolio (h) 26,566,223 26,566,223
Continued
98
Strategic Income
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investment Companies, continued
Templeton Global Income Fund (c) 61,374 $ 544,387
Van Kampen Senior Income Trust 152,000 834,480
------------
Total Investment Companies 32,363,967
------------
Preferred Stocks (44.0%)
Cable TV (1.4%)
Comcast Corp., 7.00% (c) 20,000 457,600
Comcast Corp., Series B, 7.00% (c) 50,000 1,166,000
------------
1,623,600
------------
Closed-End Funds (1.0%)
Source Capital, Inc., 2.40% 35,600 1,155,932
------------
Commercial Banks-Eastern U.S. (0.7%)
HSBC USA, Inc., Series G, 4.00% (a) 60,000 828,000
------------
Commercial Banks Non-U.S. (1.5%)
Barclays Bank PLC, 8.13% (c) 36,000 860,400
Barclays Bank PLC, Series 2, 6.63% (c) 46,900 939,407
------------
1,799,807
------------
Diversified Financial Services (3.9%)
Citigroup Capital VII, 7.13% (c) 124,925 2,603,437
General Electric Capital Corp.,
6.10% (c) 19,000 470,060
General Electric Capital Corp.,
6.63% (c) 59,000 1,489,160
------------
4,562,657
------------
Electric-Integrated (3.3%)
American Electric Power Co., Inc.,
8.75% (c) 16,000 417,280
Constellation Energy Group, Inc.,
Series A, 8.63% (c) 38,000 948,860
Entergy Arkansas, Inc., 6.00% (c) 70,600 1,741,702
Entergy Mississippi, Inc., 6.00% 29,300 720,780
------------
3,828,622
------------
Electric Utilities (0.7%)
Xcel Energy, Inc., 7.60% 33,000 828,300
------------
Finance-Consumer Loans (0.6%)
HSBC Finance Corp., 6.88% (c) 32,800 720,288
------------
Finance-Credit Card (0.8%)
MBNA Capital D, Series D, 8.13% 37,800 907,200
------------
Finance-Investment Banker/Broker (3.0%)
Bear Stearns Capital Trust III,
7.80% (c) 26,100 618,048
Credit Suisse Guernsey, Ltd.,
7.90% (c) 16,000 394,560
Goldman Sachs Group, Inc. (The),
Series A, 3.75% (a) (c) 40,000 618,400
Lehman Brothers Holdings, Inc.,
Series G, 3.21% (a) (c) 19,900 177,707
Continued
Shares Value
------------ ------------
Preferred Stocks, continued
Finance-Investment Banker/Broker, continued
Lehman Brothers Holdings, Inc.,
Series J, 7.95% (c) 26,000 $ 410,280
Merrill Lynch & Co., Inc., Series
G, 3.40% (a) 80,000 864,000
Merrill Lynch Preferred Capital
Trust III, 7.00% (c) 9,800 182,868
Morgan Stanley Capital Trust VIII,
6.45% 10,800 211,680
------------
3,477,543
------------
Financial Guarantee Insurance (0.7%)
Financial Security Assurance
Holdings, Ltd., 6.25% 100,350 804,807
------------
Investment Managment/
Advisor Services (0.7%)
Deutsche Bank Contingent Capital
Trust III, 7.60% 36,000 844,200
------------
Life/Health Insurance (0.4%)
AAG Holding Co., Inc., 7.25% (c) 20,000 407,000
------------
Miscellaneous (0.5%)
Duke Realty Corp., Series L,
6.60% (c) 30,000 550,200
------------
Multi-Line Insurance (2.9%)
Aegon NV, Series 1, 4.00% (a) (c) 51,900 804,450
ING Groep NV, 7.20% (c) 41,200 881,680
ING Groep NV, 8.50% (c) 20,000 500,000
MetLife, Inc., Series A, 4.00% (a) 40,000 614,000
MetLife, Inc., Series B, 6.50% (c) 30,000 619,200
------------
3,419,330
------------
Real Estate (0.9%)
Realty Income Corp., Series E, 6.75% 50,000 1,062,000
------------
Real Estate Investment Trusts (6.4%)
CBL & Associates Properties, Inc.,
Series D, 7.38% (c) 20,500 354,650
Duke Realty Corp., Series M,
6.95% (c) 10,000 194,200
Harris Preferred Capital Corp.,
Series A, 7.38% (c) 31,800 609,288
HRPT Properties Trust, Series B,
8.75% (c) 13,358 312,577
Huntington Preferred Capital, Inc.,
7.88% 15,507 340,224
Kimco Realty Corp., Series F,
6.65% (c) 39,994 789,881
Kimco Realty Corp., Series G,
7.75% (c) 40,000 927,600
Public Storage, Series L, 6.75% 30,000 601,500
Public Storage, Series M, 6.63% (c) 40,000 796,400
Continued
99
Strategic Income
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Preferred Stocks, continued
Real Estate Investment Trusts, continued
Public Storage, Series N, 7.00% (c) 40,000 $ 864,400
Wachovia Preferred Funding Corp.,
Series A, 7.25% (c) 84,500 1,571,700
------------
7,362,420
------------
S&L/Thrifts-Southern U.S. (0.3%)
BBC Capital Trust II, 8.50% 31,000 358,050
------------
Semiconductors & Semiconductor
Equipment (0.6%)
First Tennessee Bank NA, 3.75% (a) (b) 1,000 745,625
------------
Sovereign Agency (5.9%)
Fannie Mae, 7.63% 40,000 683,600
Fannie Mae, 8.25% 40,000 699,600
Fannie Mae, 8.25% (c) 160,000 2,686,400
Freddie Mac, 5.00% (c) 20,000 403,000
Freddie Mac, 5.10% (c) 10,000 221,000
Freddie Mac, 5.70% 25,500 650,250
Freddie Mac, 8.38% (a) (c) 90,000 1,525,500
------------
6,869,350
------------
Special Purpose Entity (1.8%)
Corporate-Backed Trust Certificates,
Series AIG, 6.13% 60,000 1,014,000
Corporate-Backed Trust Certificates,
Series HSBC, 6.25% 33,500 637,505
CORTS Trust for Sherwin-Williams,
Series III, 7.25% (c) 17,600 408,144
------------
2,059,649
------------
Super-Regional Banks-U.S. (5.5%)
BAC Capital Trust I, 7.00% (c) 24,500 544,145
BAC Capital Trust III, 7.00% (c) 48,600 1,099,818
Bank of America Corp., 8.20% (c) 20,000 485,000
US Bancorp, 7.88% (c) 36,000 928,080
US Bancorp, Series B, 3.50% (a) (c) 20,000 272,200
USB Capital XII, 6.30% 40,000 840,000
Wells Fargo Capital VII, 5.85% 33,500 722,930
Wells Fargo Capital XII, 7.88% 58,000 1,470,880
------------
6,363,053
------------
Television (0.5%)
CBS Corp., 7.25% 26,000 569,660
------------
Total Preferred Stocks 51,147,293
------------
Continued
Shares Value
------------ ------------
Investments in Affiliates (7.0%)
Fifth Third Institutional Money
Market Fund (d) 8,128,372 $ 8,128,372
------------
Total Investments in Affiliates 8,128,372
------------
Total Investments (Cost $160,200,220) - 123.1% 143,044,145
Liabilities in excess of other assets - (23.1)% (26,878,555)
------------
------------
NET ASSETS - 100.0% $116,165,590
============
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) The Fund's securities were fair valued at July 31, 2008 using procedures
approved by the Board of Trustees.
(f) Perpetual Maturity. Callable any time after first call date. Maturity date
is next call date.
(g) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
ADR - American Depositary Receipt
AUD - Australian Dollar
BRL - Brazilian Real
CMBS - Commercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
CORTS - Corporate-Backed Trust Security
CPI - Consumer Price Index
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
100
LifeModel Aggressive(SM)
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (a) (100.1%)
Fifth Third All Cap Value Fund 872,536 $ 15,688,194
Fifth Third Disciplined Large Cap
Value Fund 1,920,403 22,046,227
Fifth Third High Yield Bond Fund 81,384 743,852
Fifth Third Institutional Money
Market Fund 599,554 599,554
Fifth Third International
Equity Fund 3,057,453 37,423,223
Fifth Third Mid Cap Growth Fund* 1,255,945 15,109,018
Fifth Third Quality Growth Fund 1,293,398 21,444,545
Fifth Third Short Term Bond Fund 398,469 3,701,775
Fifth Third Small Cap Growth Fund* 956,504 7,738,115
Fifth Third Small Cap Value Fund 480,235 8,183,212
Fifth Third Structured Large Cap
Plus Fund 1,739,056 25,494,565
Fifth Third Total Return Bond Fund 1,138,070 10,276,773
------------
Total Investments in Affiliates 168,449,053
------------
Total Investments (Cost $164,550,846) - 100.11% 168,449,053
Liabilities in excess of other assets - (0.11)% (190,954)
------------
NET ASSETS - 100.0% $168,258,099
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments
and notes to financial statements.
LifeModel Moderately Aggressive(SM)
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (a) (100.2%)
Fifth Third All Cap Value Fund 1,150,339 $ 20,683,105
Fifth Third Disciplined Large Cap
Value Fund 2,501,379 28,715,827
Fifth Third High Yield Bond Fund 445,618 4,072,948
Fifth Third Institutional Money
Market Fund 993,237 993,237
Fifth Third International
Equity Fund 4,034,447 49,381,628
Fifth Third Mid Cap Growth Fund* 1,657,837 19,943,782
Fifth Third Quality Growth Fund 1,685,425 27,944,339
Fifth Third Short Term Bond Fund 2,180,743 20,259,099
Fifth Third Small Cap Growth Fund* 1,263,159 10,218,954
Fifth Third Small Cap Value Fund 632,973 10,785,868
Fifth Third Structured Large Cap
Plus Fund 2,363,326 34,646,359
Fifth Third Total Return Bond Fund 6,227,123 56,230,924
------------
Total Investments in Affiliates 283,876,070
------------
Total Investments (Cost $277,422,597) - 100.2% 283,876,070
Liabilities in excess of other assets - 0.2% (631,744)
------------
NET ASSETS - 100.0% $283,244,326
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments
and notes to financial statements.
101
LifeModel Moderate(SM)
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (a) (100.1%)
Fifth Third All Cap Value Fund 1,232,274 $ 22,156,293
Fifth Third Disciplined Large Cap
Value Fund 2,786,285 31,986,551
Fifth Third High Yield Bond Fund 1,126,222 10,293,670
Fifth Third Institutional Money
Market Fund 36,677 36,677
Fifth Third International
Equity Fund 4,321,308 52,892,805
Fifth Third Mid Cap Growth Fund* 1,775,855 21,363,531
Fifth Third Quality Growth Fund 1,877,295 31,125,556
Fifth Third Short Term Bond Fund 5,524,584 51,323,386
Fifth Third Small Cap Growth Fund* 1,352,637 10,942,832
Fifth Third Small Cap Value Fund 677,840 11,550,391
Fifth Third Structured Large Cap
Plus Fund 2,363,908 34,654,889
Fifth Third Total Return
Bond Fund 15,770,567 142,408,222
------------
Total Investments in Affiliates 420,734,803
------------
Total Investments (Cost $431,370,008) - 100.1% 420,734,803
Liabilities in excess of other assets - (0.1)% (624,758)
------------
NET ASSETS - 100.0% $420,110,045
============
Notes to Schedule of Investments
* Non-income producing security
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments
and notes to financial statements.
LifeModel Moderately Conservative(SM)
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (a) (100.0%)
Fifth Third All Cap Value Fund 192,754 $ 3,465,720
Fifth Third Disciplined Large Cap
Value Fund 375,523 4,311,005
Fifth Third High Yield Bond Fund 270,514 2,472,496
Fifth Third Institutional Money
Market Fund 908,728 908,728
Fifth Third International
Equity Fund 658,872 8,064,600
Fifth Third Mid Cap Growth Fund* 277,866 3,342,730
Fifth Third Quality Growth Fund 252,770 4,190,921
Fifth Third Short Term Bond Fund 1,336,921 12,419,994
Fifth Third Small Cap Growth Fund* 212,051 1,715,489
Fifth Third Small Cap Value Fund 106,147 1,808,748
Fifth Third Structured Large Cap
Plus Fund 461,796 6,769,927
Fifth Third Total Return Bond Fund 3,855,489 34,815,061
------------
Total Investments in Affiliates 84,285,419
------------
Total Investments (Cost $85,449,475) - 100.0% 84,285,419
Liabilities in excess of other assets - (0.0)% (30,173)
------------
NET ASSETS - 100.0% $ 84,255,246
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments
and notes to financial statements.
102
LifeModel Conservative(SM)
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (a) (100.1%)
Fifth Third All Cap Value Fund 59,324 $ 1,066,644
Fifth Third Disciplined Large Cap
Value Fund 116,079 1,332,586
Fifth Third High Yield Bond Fund 218,733 1,999,220
Fifth Third Institutional Money
Market Fund 742,962 742,962
Fifth Third International
Equity Fund 197,765 2,420,641
Fifth Third Mid Cap Growth Fund * 85,632 1,030,160
Fifth Third Quality Growth Fund 78,206 1,296,653
Fifth Third Short Term Bond Fund 1,072,607 9,964,521
Fifth Third Small Cap Growth Fund * 65,210 527,547
Fifth Third Small Cap Value Fund 32,391 551,940
Fifth Third Structured Large Cap
Plus Fund 142,257 2,085,494
Fifth Third Total Return Bond Fund 3,062,029 27,650,118
------------
Total Investments in Affiliates 50,668,486
------------
Total Investments (Cost $53,653,608) - 100.1% 50,668,486
Liabilities in excess of other assets - (0.1%) (42,242)
------------
NET ASSETS - 100.0% $ 50,626,244
============
Notes to Schedule of Investments
* Non-income producing security.
(a) Investment is in Institutional Shares of underlying fund.
See notes to schedules of investments
and notes to financial statements.
High Yield Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds (83.2%)
Aerospace (1.1%)
BE Aerospace, Inc., 8.50%, 7/1/18,
(Callable 7/1/13 @ 104.25) (b) $ 246,000 $ 253,995
Moog, Inc., 7.25%, 6/15/18, (Callable
6/15/13 @ 103.625) 324,000 316,710
------------
570,705
------------
Automotive & Auto Parts (7.4%)
American Axle & Manufacturing, Inc.,
7.88%, 3/1/17, (Callable 3/1/12
@ 103.938) (b) 708,000 467,280
Asbury Automotive Group, Inc., 8.00%,
3/15/14, (Callable 3/15/09 @ 104) (b) 750,000 615,000
Asbury Automotive Group, Inc., 7.63%,
3/15/17, (Callable 3/15/12 @ 103.813) 18,000 13,298
AutoNation, Inc., 7.00%, 4/15/14,
(Callable 4/15/09 @ 105.25) 112,000 96,460
Ford Motor Credit Co. LLC, 7.88%,
6/15/10 875,000 745,205
Ford Motor Credit Co. LLC, 8.00%,
12/15/16 (b) 601,000 424,740
GMAC LLC, 6.88%, 9/15/11 750,000 495,226
GMAC LLC, 8.00%, 11/1/31 (b) 750,000 420,256
Penske Auto Group, Inc., 7.75%,
12/15/16, (Callable 12/15/11
@ 103.875) 548,000 452,100
------------
3,729,565
------------
Broadcasting (2.4%)
Clear Channel Communications, Inc.,
4.25%, 5/15/09 642,000 621,135
Fisher Communications, Inc., 8.63%,
9/15/14, (Callable 9/15/09
@ 104.3125) 504,000 516,600
Radio One, Inc., Series B, 8.88%,
7/1/11 (b) 72,000 60,660
------------
1,198,395
------------
Building Materials (2.9%)
Gibraltar Industries, Inc., Series B,
8.00%, 12/1/15, (Callable 12/1/10
@ 104) (b) 750,000 622,500
US Concrete, Inc., 8.38%, 4/1/14,
(Callable 4/1/09 @ 104.188) (b) 1,000,000 830,000
------------
1,452,500
------------
Cable/Satellite TV (1.0%)
GCI, Inc., 7.25%, 2/15/14, (Callable
2/15/09 @ 103.625) 582,000 506,340
------------
Cable TV (1.3%)
Direct Holdings LLC, 7.63%, 5/15/16,
(Callable 5/15/12 @ 103.813) 648,000 643,140
------------
Capital Goods (2.1%)
Baldor Electric Co., 8.63%, 2/15/17,
(Callable 2/15/12 @ 104.313) (b) 101,000 101,253
Continued
103
High Yield Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Capital Goods, continued
Belden, Inc., 7.00%, 3/15/17,
(Callable 3/15/12 @ 103.5) $ 110,000 $ 104,225
General Cable Corp., 7.13%, 4/1/17,
(Callable 4/1/12 @ 103.563) (b) 18,000 17,010
Mueller Water Products, Inc., 7.38%,
6/1/17, (Callable 6/1/12 @ 103.688)(b) 1,060,000 869,200
------------
1,091,688
------------
Chemicals (1.5%)
PolyOne Corp., 8.88%, 5/1/12 (b) 750,000 746,250
------------
Consumer Products (4.9%)
Jarden Corp., 7.50%, 5/1/17,
(Callable 5/1/12 @ 103.75) (b) 1,098,000 955,260
Sealy Mattress Co., 8.25%, 6/15/14,
(Callable 6/15/09 @ 104.125) (b) 630,000 522,900
Visant Holding Corp., 8.75%,
12/1/13, (Callable 12/1/08
@ 106.563) (b) 1,077,000 1,025,842
------------
2,504,002
------------
Containers (1.3%)
Solo Cup Co., 8.50%, 2/15/14,
(Callable 2/15/09 @ 104.25) (b) 750,000 641,250
------------
Distribution/Wholesale (1.6%)
Ace Hardware Corp., 9.13%, 6/1/16
(Callable 6/1/12 @ 104.563) 864,000 786,240
------------
Energy (8.3%)
Basic Energy Services, Inc., 7.13%,
4/15/16, (Callable 4/15/11
@ 103.563) 750,000 701,250
Berry Petroleum Co., 8.25%, 11/1/16
(Callable 11/1/11 @ 104.125) 854,000 841,190
Chesapeake Energy Corp., 6.50%,
8/15/17 (b) 149,000 139,315
Dresser-Rand Group, Inc., 7.38%,
11/1/14, (Callable 11/1/09
@ 103.688) (b) 850,000 841,500
Forest Oil Corp., 7.25%, 6/15/19,
(Callable 6/15/12 @ 103.625) (b) 12,000 11,280
Helix Energy Solutions Group, Inc.,
9.50%, 1/15/16, (Callable 1/15/12
@ 104.75) 255,000 255,000
Hilcorp Energy I L.P./Hilcorp Finance
Co., 7.75%, 11/1/15, (Callable
11/1/10 @ 103.875) 409,000 375,257
Hilcorp Energy I L.P./Hilcorp Finance
Co., 9.00%, 6/1/16, (Callable 6/1/11
@ 104.5) 87,000 85,260
United Refining Co., Series 2,
10.50%, 8/15/12, (Callable 8/15/08
@ 105.25) (b) 1,022,000 950,460
------------
4,200,512
------------
Continued
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Financial Services (0.7%)
Nuveen Investments, Inc., 10.50%,
11/15/15, (Callable 11/15/11
@ 105.25) $ 412,000 $ 370,800
------------
Food/Beverage/Tobacco (0.1%)
Del Monte Corp., 8.63%, 12/15/12 (b) 79,000 80,778
------------
Healthcare (7.8%)
Advanced Medical Optics, Inc., 7.50%,
5/1/17, (Callable 5/1/12 @ 103.75) (b) 742,000 667,800
Axcan Intermediate Holdings, Inc.,
9.25%, 3/1/15, (Callable 3/1/11
@ 106.9375) 500,000 502,500
Community Health Systems, Inc.,
8.88%, 7/15/15, (Callable 7/15/11
@ 104.438) (b) 258,000 259,935
HCA, Inc., 5.75%, 3/15/14 769,000 640,192
HCA, Inc., 6.50%, 2/15/16 (b) 31,000 25,808
HCA, Inc., 9.63%, 11/15/16,
(Callable 11/15/11 @ 104.813) (d) 357,000 367,710
IASIS Healthcare LLC/IASIS Capital
Corp., 8.75%, 6/15/14, (Callable
6/15/09 @ 104.375) 371,000 371,928
Invacare Corp., 9.75%, 2/15/15,
(Callable 2/15/11 @ 104.875) 637,000 637,000
Stewart Enterprises, Inc., 6.25%,
2/15/13, (Callable 2/15/09
@ 103.125) 250,000 240,625
Universal Hospital Services, Inc.,
6.30%, 6/1/15, (Callable 6/1/09
@ 102) (a) 275,000 255,750
------------
3,969,248
------------
Homebuilders/Real Estate (3.7%)
Beazer Homes USA, Inc., 6.88%,
7/15/15, (Callable 7/15/10
@ 103.438) (b) 750,000 513,750
KB Home, 7.25%, 6/15/18 (b) 750,000 622,500
M/I Homes, Inc., 6.88%, 4/1/12 (b) 850,000 739,500
------------
1,875,750
------------
Media (1.6%)
Lamar Media Corp., 7.25%, 1/1/13 (b) 311,000 297,005
Lamar Media Corp., 6.63%, 8/15/15,
(Callable 8/15/10 @ 103.313) (b) 70,000 63,000
Lamar Media Corp., Series B, 6.63%,
8/15/15, (Callable 8/15/10
@ 103.313) 209,000 188,100
WMG Acquisition Corp., 7.38%,
4/15/14, (Callable 4/15/09
@ 103.688) (b) 362,000 285,980
------------
834,085
------------
Paper (2.3%)
Buckeye Technologies, Inc., 8.50%,
10/1/13, (Callable 10/1/08
@ 104.25) 750,000 748,125
Continued
104
High Yield Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Paper, continued
International Paper Co., 7.95%,
6/15/18 $ 432,000 $ 429,579
------------
1,177,704
------------
Publishing/Printing (3.6%)
Cenveo Corp., 7.88%, 12/1/13,
(Callable 12/1/08 @ 103.938) 1,112,000 931,300
Dex Media West LLC, Series B, 9.88%,
8/15/13, (Callable 8/15/08
@ 104.938) 195,000 153,075
Dex Media, Inc., 8.00%, 11/15/13,
(Callable 11/15/08 @ 104) (b) 184,000 112,240
Idearc, Inc., 8.00%, 11/15/16,
(Callable 11/15/11 @ 104) (b) 216,000 98,280
RH Donnelley Corp., 8.88%, 10/15/17 231,000 110,880
Valassis Communications, Inc., 8.25%,
3/1/15, (Callable 3/1/11
@ 104.125) (b) 521,000 437,640
------------
1,843,415
------------
Services (3.5%)
ARAMARK Corp., 8.50%, 2/1/15,
(Callable 2/1/11 @ 104.25) (b) 616,000 613,690
Ashtead Capital, Inc., 9.00%,
8/15/16, (Callable 8/15/11
@ 104.5) (b) 480,000 422,400
Expedia, Inc., 8.50%, 7/1/16,
(Callable 7/1/12 @ 104.25) (b) 311,000 295,450
United Rentals North America, Inc.,
6.50%, 2/15/12 (b) 231,000 208,478
United Rentals North America, Inc.,
7.75%, 11/15/13, (Callable
11/15/08 @ 103.875) (b) 272,000 218,960
------------
1,758,978
------------
Steel (2.0%)
PNA Group, Inc., 10.75%, 9/1/16,
(Callable 9/1/11 @ 105.375) 299,000 355,062
Ryerson, Inc., 12.00%, 11/1/15,
(Callable 11/1/11 @ 106) 58,000 56,550
Steel Dynamics, Inc., 6.75%, 4/1/15
(Callable 4/1/11 @ 103.375) 221,000 207,740
Tube City IMS Corp., 9.75%, 2/1/15 (b)
(Callable 2/1/11 @ 104.875) (b) 405,000 376,650
------------
996,002
------------
Steel-Specialty (0.6%)
Steel Dynamics, Inc., 7.38%, 11/1/12 314,000 310,860
------------
Technology (4.3%)
First Data Corp., 9.88%, 9/24/15,
(Callable 9/30/11 @ 104.938) 756,000 669,060
IKON Office Solutions, Inc., 7.75%,
9/15/15, (Callable 9/15/10 @ 103.875) 750,000 750,000
Sungard Data Systems, Inc., 9.13%,
8/15/13, (Callable 8/15/09
@ 104.563) (b) 750,000 766,875
------------
2,185,935
------------
Continued
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Telecommunications (7.5%)
Centennial Communications Corp.,
10.13%, 6/15/13 $ 867,000 $ 901,680
Cincinnati Bell, Inc., 8.38%, 1/15/14
(Callable 1/15/09 @ 104.1885) 1,011,000 962,978
Citizens Communications Co., 6.25%,
1/15/13 (b) 314,000 298,300
Cricket Communications, Inc., 9.38%,
11/1/14, (Callable 11/1/10
@ 104.6875) (b) 360,000 352,800
Cricket Communications, Inc., 10.00%,
7/15/15, (Callable 7/15/12 @ 105) 360,000 362,700
Nextel Communications, Inc., Series
E, 6.88%, 10/31/13,
(Callable 10/31/08 @ 103.438) 277,000 217,445
Sprint Capital Corp., 8.75%, 3/15/32 277,000 247,222
Windstream Corp., 8.13%, 8/1/13 (b) 181,000 182,810
Windstream Corp., 8.63%, 8/1/16
(Callable 8/1/11 @ 104.313) 258,000 261,225
------------
3,787,160
------------
Transportation Ex Air/Rail (0.6%)
Overseas Shipholding Group, Inc.,
8.75%, 12/1/13 280,000 291,200
------------
Utilities (9.1%)
AES Corp. (The), 8.00%, 10/15/17 (b) 201,000 197,985
Atlas Pipeline Partners L.P., 8.75%,
6/15/18, (Callable 6/15/13
@ 104.375) 328,000 322,260
Copano Energy LLC, 8.13%, 3/1/16,
(Callable 3/1/11 @ 104.0625) 190,000 185,250
Dynegy Holdings, Inc., 7.75%, 6/1/19 647,000 595,240
Edison Mission Energy, 7.50%,
6/15/13 (b) 165,000 165,825
Edison Mission Energy, 7.00%,
5/15/17 251,000 237,195
Holly Energy Partners L.P., 6.25%,
3/1/15, (Callable 3/1/10
@ 103.125) 500,000 442,500
Markwest Energy Partners L.P.,
8.75%, 4/15/18, (Callable 4/15/13
@ 104.375) 83,000 82,585
Mirant North America LLC, 7.38%,
12/31/13, (Callable 12/31/09
@ 103.688) (b) 250,000 250,000
PNM Resources, Inc., 9.25%,
5/15/15 (b) 430,000 437,525
Reliant Energy, Inc., 7.63%, 6/15/14 85,000 82,025
Sabine Pass Liquified Natural Gas
L.P., 7.25%, 11/30/13 (b) 734,000 634,910
Targa Resources Partners L.P., 8.25%,
7/1/16, (Callable 7/1/12 @ 104.125) 517,000 485,980
TEPPCO Partners L.P., 7.00%, 6/1/67,
(Callable 6/1/17 @ 100) (a) 550,000 475,336
------------
4,594,616
------------
Total Corporate Bonds 42,147,118
------------
Continued
105
High Yield Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Foreign Bonds (14.7%)
Cable/Satellite TV (0.8%)
Videotron Ltee, 9.13%, 4/15/18
(Callable 4/15/13 @ 104.563) $ 300,000 $ 312,750
Virgin Media Finance PLC, 8.75%,
4/15/14, (Callable 4/15/09 @ 104.375) 72,000 67,140
------------
379,890
------------
Chemicals (1.6%)
LyondellBasell Industries AF SCA,
8.38%, 8/15/15, (Callable 8/15/10
@ 104.188) 1,308,000 804,420
------------
Electronic Components-Miscellaneous (0.5%)
NXP BV/NXP Funding LLC, 9.50%,
10/15/15, (Callable 10/15/11
@104.75) (b) 391,000 270,768
------------
Energy (2.9%)
CHC Helicopter Corp., 7.38%, 5/1/14,
(Callable 5/1/09 @ 103.688) 770,000 799,838
Connacher Oil and Gas, Ltd., 10.25%,
12/15/15, (Callable 12/15/11
@ 105.125) 615,000 644,212
------------
1,444,050
------------
Media (2.0%)
Quebecor Media, Inc., 7.75%, 3/15/16
(Callable 3/15/11 @ 103.875) 1,111,000 1,024,898
------------
Metals/Mining (2.0%)
Novelis, Inc., 7.25%, 2/15/15,
(Callable 2/15/10 @ 103.625) 1,100,000 1,017,500
------------
Technology (1.4%)
NXP BV/NXP Funding LLC, 7.88%,
10/15/14 100,000 83,250
Sensata Technologies BV, 8.00%,
5/1/14, (Callable 5/1/10 @ 104) (b) 714,000 606,900
------------
690,150
------------
Transportation Ex Air/Rail (1.9%)
Stena AB, 7.50%, 11/1/13, (Callable
11/1/08 @ 103.75) 750,000 735,000
Stena AB, 7.00%, 12/1/16, (Callable
12/1/09 @ 103.5) 250,000 239,062
------------
974,062
------------
Utilities (1.6%)
Intergen NV, 9.00%, 6/30/17, (Callable
6/30/12 @ 104.5) 800,000 816,000
------------
Total Foreign Bonds 7,421,738
------------
Continued
Shares
------------
Investment Companies (26.5%)
State Street Navigator Securities
Lending Portfolio (c) 13,409,342 $ 13,409,342
------------
Total Investment Companies 13,409,342
------------
Total Investments (Cost $67,692,251) - 124.4% 62,978,198
Liabilities in excess of other assets - (24.4)% (12,349,844)
------------
NET ASSETS - 100.0% $ 50,628,354
============
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) All or part of this security was on loan.
(c) Represents investments of cash collateral received in connection with
securities lending.
(d) PIK (payment-in-kind) security. Bond that pays interest in the form of
additional bonds.
See notes to schedules of investments
and notes to financial statements.
106
Total Return Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Asset-Backed Securities (9.1%)
Automobile ABS Other (1.0%)
Harley-Davidson Motorcycle Trust,
Series 2004-2, Class B, 2.96%, 2/15/12 $ 72,404 $ 72,072
Hyundai Auto Receivables Trust,
Series 2006-B, Class C, 5.25%,
5/15/13 (h) 2,665,000 2,607,524
Susquehanna Auto Lease Trust, Series
2007-1, Class B, 5.31%, 7/14/10 (b) 1,000,000 997,425
Truck Retail Installment Paper Corp.,
Series 2005-1A, Class A, 2.73%,
12/15/16 (a) (b) (h) 1,950,000 1,920,837
------------
5,597,858
------------
Automobiles Sequential (0.9%)
Hertz Vehicle Financing LLC, Series
2005-2A, Class A6, 5.08%,
11/25/11 (b) 3,000,000 2,821,012
Long Beach Auto Receivables Trust,
Series 2007-A, Class A3, 4.97%,
10/15/11 1,200,000 1,186,080
Prestige Auto Receivables Trust,
Series 2006-1A, Class A2, 5.25%,
6/17/13 (b) 1,430,178 1,433,790
------------
5,440,882
------------
Home Equity Other (2.3%)
Flagstar Home Equity Loan Trust,
Series 2007-1A, Class AF2, 5.77%,
1/25/35 (b) 1,915,000 1,700,511
GMAC Mortgage Corp. Loan Trust,
Series 2004-HE5, Class A4, 4.34%,
9/25/34 (a) 1,232,903 1,196,100
JP Morgan Mortgage Acquisition Corp.,
Series 2006-WF1, Class A4, 6.13%,
7/25/36 3,191,000 2,408,413
JP Morgan Mortgage Acquisition Corp.,
Series 2006-WF1, Class A5, 6.41%,
7/25/36 4,286,000 2,442,454
New Century Home Equity Loan Trust,
Series 2005-A, Class A5W, 5.29%,
8/25/35 4,000,000 3,061,703
Renaissance Home Equity Loan Trust,
Series 2005-2, Class AF4, 4.93%,
8/25/35 2,620,000 2,432,454
------------
13,241,635
------------
Home Equity Sequential (0.3%)
Irwin Home Equity Corp., Series
2006-3, Class 2A2, 5.83%,
9/25/37 (b) 1,225,000 921,904
Residential Funding Mortgage
Securities II, Inc., Series 2006-HI3,
Class A4, 6.31%, 2/25/36 (k) 1,500,000 765,723
------------
1,687,627
------------
Continued
Principal
Amount Value
------------ ------------
Asset-Backed Securities, continued
Manufactured Housing ABS Other (0.2%)
Mid-State Trust, Series 2005-1, Class
M2, 7.08%, 1/15/40 $ 1,211,944 $ 948,652
------------
Manufactured Housing Sequential (0.5%)
Vanderbilt Acquisition Loan Trust,
Series 2002-1, Class A4, 6.57%,
5/7/27 (a) 2,840,000 2,622,788
------------
Other ABS (3.9%)
Aerco, Ltd., Series 2A, Class A3,
2.92%, 7/15/25 (a) (b) (e) (h) 1,877,087 1,445,357
Credit-Based Asset Servicing and
Securitization LLC, Series 2005-CB7,
Class AF4, 5.43%, 11/25/35 2,475,000 2,358,339
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB1,
Class AF4, 5.44%, 1/25/36 6,375,000 5,041,229
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB2,
Class AF2, 5.50%, 12/25/36 2,206,302 2,146,211
First Franklin Mortgage Loan Asset
Backed Certificates, Series 2005-FFA,
Class M3, 5.52%, 3/25/25 600,000 135,392
First Franklin Mortgage Loan Asset
Backed Certificates, Series
2004-FF11, Class 1A2, 2.81%,
1/25/35 (a) 51,824 38,385
Marlin Leasing Receivables LLC,
Series 2005-1A, Class A4, 4.75%,
8/15/12 (b) 1,848,626 1,854,765
Popular ABS Mortgage Pass-Through
Trust, Series 2005-4, Class AF3,
4.98%, 9/25/35 (a) 1,003,822 1,000,416
Renaissance Home Equity Loan Trust,
Series 2006-1, Class AF4, 6.01%,
5/25/36 1,645,000 1,503,934
Residential Asset Mortgage Products,
Inc., Series 2002-RZ3, Class M1,
5.28%, 8/25/32 (e) 502,003 429,095
Residential Asset Mortgage Products,
Inc., Series 2003-RZ5, Class A7,
4.97%, 9/25/33 2,955,269 2,639,931
SACO I, Inc., Series 2006-1, Class A,
2.63%, 9/25/35 (a) (h) 3,246,764 1,564,388
Small Business Administration, Series
2005-P10B, Class 1, 4.94%,
8/10/15 (h) 2,797,680 2,754,004
Squared CDO, Ltd., Series 2007-1A,
Class B, 4.64%,
5/11/57 (a) (b) (e) (f) (k) 4,000,000 --
------------
22,911,446
------------
Total Asset-Backed Securities 52,450,888
------------
Continued
107
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds (9.1%)
Cable TV (0.1%)
COX Communications, Inc., 5.50%,
10/1/15 $ 800,000 $ 764,747
------------
Commercial Banks-Central U.S. (0.2%)
National City Bank, 5.25%,
12/15/16 (b) 1,340,000 898,851
------------
Commercial Banks-Eastern U.S. (0.2%)
Manufacturers & Traders Trust Co.,
4.29%, 4/1/13,
(Callable 10/1/08 @ 100) (a) 1,075,000 930,316
Mercantile Bankshares Corp., Series
B, 4.63%, 4/15/13 500,000 477,930
------------
1,408,246
------------
Commercial Banks Non-U.S. (0.2%)
Westpac Capital Trust IV, 5.26%,
3/31/16 (a) (b) (i) 1,445,000 1,183,585
------------
Commercial Banks-Southern U.S. (1.2%)
Hibernia Corp., 5.35%, 5/1/14 2,845,000 2,506,613
Regions Financial Corp.,
7.00%, 3/1/11 1,275,000 1,223,174
Wachovia Bank NA, 5.85%,
2/1/37 (c) (h) 4,500,000 3,224,290
------------
6,954,077
------------
Diversified Financial Services (0.2%)
American Express Travel Related
Services Co., Inc., 5.25%,
11/21/11 (b) 1,000,000 978,325
------------
Electric-Integrated (0.8%)
Florida Power Corp., Series A, 5.80%,
9/15/17 1,000,000 1,022,572
Public Service Electric & Gas Co.,
5.00%, 8/15/14 1,200,000 1,185,805
Virginia Electric and Power Co.,
5.95%, 9/15/17 1,000,000 1,006,841
Virginia Electric and Power Co.,
6.35%, 11/30/37 1,450,000 1,411,142
------------
4,626,360
------------
Finance-Commercial (0.2%)
Caterpillar Financial Services Corp.,
5.13%, 10/12/11 (c) 950,000 971,518
------------
Finance-Consumer Loans (1.3%)
HSBC Finance Corp., 6.38%,
10/15/11 (c) 2,000,000 2,047,974
John Deere Capital Corp., 7.00%,
3/15/12 (c) 3,950,000 4,241,328
John Deere Capital Corp., 5.50%,
4/13/17 1,225,000 1,215,553
------------
7,504,855
------------
Continued
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Finance-Investment Banker/Broker (0.5%)
Bear Stearns Cos., Inc. (The), 6.40%,
10/2/17 $ 350,000 $ 342,771
Goldman Sachs Group, Inc. (The),
6.13%, 2/15/33 (c) 1,100,000 955,658
Merrill Lynch & Co., Inc., 5.70%,
5/2/17 2,000,000 1,710,988
------------
3,009,417
------------
Finance-Leasing Company (0.4%)
International Lease Finance Corp.,
5.88%, 5/1/13 2,500,000 2,126,548
------------
Investment Managment/
Advisor Services (0.2%)
Ameriprise Financial, Inc., 5.65%,
11/15/15 1,480,000 1,353,969
------------
Money Center Banks (0.2%)
UBS Preferred Funding Trust I, 8.62%,
10/1/10 (a) (c) (i) 925,000 930,776
------------
Multi-Line Insurance (0.2%)
MetLife, Inc., 5.00%, 6/15/15 1,100,000 1,049,654
------------
Multimedia (0.4%)
Time Warner, Inc., 7.70%, 5/1/32 (c) 492,000 491,591
Walt Disney Co. (The), 4.70%, 12/1/12 1,800,000 1,812,485
------------
2,304,076
------------
Oil Refining & Marketing (0.3%)
Premcor Refining Group, Inc. (The),
7.50%, 6/15/15 1,500,000 1,548,910
------------
Property/Casualty Ins (0.0%)
Travelers Property Casualty Corp.,
7.75%, 4/15/26 85,000 89,360
------------
Real Estate Investment Trusts (0.3%)
Simon Property Group L.P., 5.63%,
8/15/14 1,790,000 1,723,516
------------
Retail-Discount (0.2%)
Target Corp., 5.38%, 5/1/17 1,150,000 1,118,669
------------
Special Purpose Entity (0.5%)
JP Morgan Chase Capital XXI, Series U,
3.80%, 2/2/37, (Callable
2/2/12 @ 100) (a) 1,000,000 720,436
MassMutual Global Funding II, 3.80%,
4/15/09 (b) 1,390,000 1,389,427
Principal Life Global Funding I,
5.13%, 10/15/13 (b) 1,090,000 1,072,886
------------
3,182,749
------------
Continued
108
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Super-Regional Banks-U.S. (1.1%)
BAC Capital Trust XIII, 3.18%,
3/15/12 (a) (i) $ 2,000,000 $ 1,321,590
Bank of America Corp., 5.63%,
10/14/16 4,000,000 3,772,568
Bank of America Corp., 8.00%,
1/30/18 (a) (i) 1,450,000 1,337,625
------------
6,431,783
------------
Telephone-Integrated (0.2%)
AT&T, Inc., 6.30%, 1/15/38 1,450,000 1,364,135
------------
Transport-Rail (0.2%)
Burlington Northern Santa Fe Corp.,
5.65%, 5/1/17 1,000,000 971,074
------------
Total Corporate Bonds 52,495,200
------------
Foreign Bonds (1.9%)
Oil Company-Exploration & Production (0.6%)
Canadian Natural Resources, Ltd.,
6.25%, 3/15/38 1,000,000 944,002
Gazprom International SA, 7.20%,
2/1/20 (b) 2,581,157 2,571,478
------------
3,515,480
------------
Sovereign (1.2%)
Australia Government Bond, Series
909, 7.50%, 9/15/09 AUD 2,250,000 2,140,867
Brazil, Federal Republic, 6.00%,
8/15/10 (e) BRL 4,500,000 4,910,898
------------
7,051,765
------------
Special Purpose Entity (0.0%)
Preferred Term Securities,
Ltd./Preferred Term Securities, Inc.,
4.61%, 7/3/32 (a) (b) $ 207,534 181,925
------------
Telephone-Integrated (0.1%)
France Telecom SA, 8.50%, 3/1/31 650,000 769,244
------------
Total Foreign Bonds 11,518,414
------------
Mortgage-Backed Securities (34.1%)
Agency Collateral Other (0.6%)
Restructured Assets Certificates,
Series 2006-9, Class P, 12.07%,
12/31/49 (a) (b) (e)(k) 5,250,000 3,622,500
------------
CMBS Other (8.1%)
Bear Stearns Commercial Mortgage
Securities, Series 2000-WF2, Class
A1, 7.11%, 10/15/32 (a) 249,388 249,150
Bear Stearns Commercial Mortgage
Securities, Series 2004-T14, Class
A4, 5.20%, 1/12/41 (a) 2,000,000 1,935,408
Continued
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
CMBS Other, continued
Citigroup Commercial Mortgage Trust,
Series 2005-EMG, Class A3, 4.38%,
9/20/51 (b) (h) $ 5,000,000 $ 4,894,130
Commercial Mortgage Asset Trust,
Series 1999-C1, Class B, 7.23%,
1/17/32 (a) 1,620,000 1,711,089
Crown Castle Towers LLC, Series
2005-1A, Class AFX, 4.64%,
6/15/35 (b) 4,000,000 3,946,480
CS First Boston Mortgage Securities
Corp., Series 2001-CK3, Class A4,
6.53%, 6/15/34 2,922,180 2,992,369
GE Capital Commercial Mortgage Corp.,
Series 2000-1, Class A2, 6.50%,
1/15/33 2,458,187 2,511,125
Greenwich Capital Commercial Funding
Corp., Series 2002-C1, Class A4,
4.95%, 1/11/35 1,000,000 969,235
Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A5,
4.88%, 6/10/36 5,125,000 5,054,114
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 (h) 4,900,000 4,891,977
JP Morgan Chase Commercial Mortgage
Securities Corp., Series 2003-CB6,
Class A2, 5.26%, 7/12/37 (a) 4,460,000 4,380,673
LB-UBS Commercial Mortgage Trust,
Series 2003-C8, Class A4, 5.12%,
11/15/32 (a) 2,924,000 2,831,431
LB-UBS Commercial Mortgage Trust,
Series 2005-C3, Class A2, 4.55%,
7/15/30 330,000 327,648
Morgan Stanley Capital I, Series
2004-IQ8, Class A5, 5.11%,
6/15/40 (a) 3,200,000 3,045,735
Morgan Stanley Dean Witter Capital I,
Series 2003-TOP9, Class A2, 4.74%,
11/13/36 2,590,000 2,484,597
Nomura Asset Securities Corp., Series
1998-D6, Class A2, 6.96%,
3/15/30 (a) 1,000,000 1,050,902
Nomura Asset Securities Corp., Series
1998-D6, Class A4, 7.54%,
3/15/30 (a) 1,600,000 1,725,408
Salomon Brothers Mortgage Securities
VII, Inc., Series 2002-KEY2, Class
A3, 4.87%, 3/18/36 2,270,000 2,203,112
------------
47,204,583
------------
CMBS Subordinated (4.1%)
Crown Castle Towers LLC, Series
2006-1A, Class E, 6.07%,
11/15/36 (b) 6,100,000 5,328,167
CS First Boston Mortgage Securities
Corp., Series 2002-CKN2, Class C1,
6.38%, 4/15/37 (a) 1,180,000 1,179,091
Continued
109
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
CMBS Subordinated, continued
Global Signal Trust, Series 2006-1,
Class C, 5.71%, 2/15/36 (b) $ 2,550,000 $ 2,381,649
Global Signal Trust, Series 2006-1,
Class D, 6.05%, 2/15/36 (b) (e) 3,000,000 2,776,350
GS Mortgage Securities Corp. II,
Series 2004-C1, Class B, 4.46%,
10/10/28 (a) 2,740,000 2,682,236
GS Mortgage Securities Corp. II,
Series 2004-C1, Class C, 4.52%,
10/10/28 (a) 4,093,000 4,009,638
Salomon Brothers Mortgage Securities
VII, Inc., Series 2002-KEY2, Class C,
5.05%, 3/18/36 (a) 1,417,000 1,377,342
SBA CMBS Trust, Series 2006-1A, Class
D, 5.85%, 11/15/36 (b) 3,100,000 2,751,374
SBA CMBS Trust, Series 2006-1A, Class
E, 6.17%, 11/15/36 (b) 1,350,000 1,176,754
------------
23,662,601
------------
WL Collateral CMO Mezzanine (0.0%)
Homebanc Mortgage Trust, Series
2004-1, Class 2M2, 4.19%,
8/25/29 (a) 375,952 174,100
------------
WL Collateral CMO Other (12.9%)
Banc of America Funding Corp., Series
2006-G, Class 3A2, 5.75%,
7/20/36 (a) (h) 9,895,000 8,193,500
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2004-10, Class 12A3,
4.64%, 1/25/35 (a) 973,004 939,648
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2005-12, Class 13A1,
5.45%, 2/25/36 (a) 3,192,087 2,801,572
Chase Mortgage Finance Corp., Series
2006-A1, Class 4A1, 6.03%,
9/25/36 (a) 7,972,774 6,920,598
Chase Mortgage Finance Corp., Series
2006-S2, Class 2A6, 6.00%, 10/25/36 5,105,000 4,875,137
Chaseflex Trust, Series 2006-1, Class
A2A, 5.94%, 6/25/36 (a) 1,600,000 1,532,172
Chaseflex Trust, Series 2006-1, Class
A4, 6.30%, 6/25/36 (a) 7,344,000 5,285,331
Chaseflex Trust, Series 2006-2, Class
A4, 6.34%, 9/25/36 (a) 2,815,000 1,950,255
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust, Series 2005-4,
Class A2, 5.05%, 9/25/35 (a) 1,265,553 1,243,513
Deutsche Mortgage Securities, Inc.,
Series 2005-WF1, Class 1A1, 5.09%,
6/26/35 (a) (k) 1,063,727 1,057,764
Continued
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
WL Collateral CMO Other, continued
GMAC Mortgage Corp. Loan Trust,
Series 2003-GH2, Class A4, 5.00%,
10/25/33 $ 2,380,182 $ 2,150,077
Homebanc Mortgage Trust, Series
2004-2, Class A2, 2.91%,
12/25/34 (a) (h) 1,409,761 1,224,617
Homebanc Mortgage Trust, Series
2006-1, Class 1A1, 6.08%,
4/25/37 (a) (h) 518,735 489,523
Homebanc Mortgage Trust, Series
2006-1, Class 2A1, 5.99%,
4/25/37 (a) 3,349,354 2,545,670
Indymac Index Mortgage Loan Trust,
Series 2005-AR9, Class 1A1, 5.05%,
7/25/35 (a) 2,082,027 1,674,041
JP Morgan Mortgage Trust, Series
2005-A1, Class 2A1, 4.85%,
2/25/35 (a) 837,861 768,822
JP Morgan Mortgage Trust, Series
2005-A1, Class 3A4, 5.03%,
2/25/35 (a) 6,217,810 4,691,055
JP Morgan Mortgage Trust, Series
2005-A2, Class 3A2, 4.89%,
4/25/35 (a) 3,000,000 2,669,768
JP Morgan Mortgage Trust, Series
2005-A2, Class 5A1, 4.35%,
4/25/35 (a) 3,420,481 3,090,081
JP Morgan Mortgage Trust, Series
2005-A2, Class 7CB1, 4.88%,
4/25/35 (a) 2,900,717 2,591,352
JP Morgan Mortgage Trust, Series
2005-A3, Class 7CA1, 5.11%,
6/25/35 (a) 1,882,811 1,818,934
JP Morgan Mortgage Trust, Series
2005-ALT1, Class 4A1, 5.64%,
10/25/35 (a) 3,181,010 2,705,590
JP Morgan Mortgage Trust, Series
2006-A2, Class 3A2, 5.67%,
4/25/36 (a) 8,035,415 6,579,915
Morgan Stanley Mortgage Loan Trust,
Series 2004-4, Class 3A, 5.00%,
8/25/19 1,700,958 1,662,154
Nomura Asset Acceptance Corp., Series
2005-AR1, Class 1A2, 5.32%,
2/25/35 (a) 1,679,427 1,237,503
Residential Accredit Loans, Inc.,
Series 2004-QA1, Class A1, 2.73%,
3/25/34 (a) (h) 1,124,030 1,092,781
Residential Accredit Loans, Inc.,
Series 2005-QA12, Class CB1, 5.78%,
12/25/35 (a) 2,293,821 1,415,749
Structured Asset Securities Corp.,
Series 2004-21XS, Class 2A6B, 5.15%,
12/25/34 1,214,000 1,228,893
WaMu Mortgage Pass Through
Certificates, Series 2004-AR3, Class
A2, 4.24%, 6/25/34 (a) 1,340,668 1,207,796
------------
75,643,811
------------
Continued
110
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
WL Collateral CMO Sequential (4.5%)
Chase Mortgage Finance Corp., Series
2006-A1, Class 2A3, 6.00%,
9/25/36 (a) $ 2,000,000 $ 1,561,001
Countrywide Alternative Loan Trust,
Series 2005-J3, Class 3A1, 6.50%,
9/25/34 418,570 386,103
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust, Series
2006-AB3, Class A3, 6.51%,
7/25/36 (a) 2,575,000 1,852,246
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust, Series
2006-AB4, Class A3A1, 5.90%,
10/25/36 (a) 5,425,000 4,770,215
JP Morgan Alternative Loan Trust,
Series 2005-S1, Class 1A2, 5.50%,
12/25/35 1,793,302 1,707,500
JP Morgan Mortgage Trust, Series
2006-A4, Class 2A2, 5.82%,
6/25/36 (a) 730,976 675,841
JP Morgan Alternative Loan Trust,
Series 2006-A5, Class 2A6, 5.80%,
10/25/36 (a) 5,640,000 3,266,335
JP Morgan Mortgage Trust, Series
2006-A7, Class 3A2, 5.94%,
1/25/37 (a) 5,075,000 4,943,830
JP Morgan Alternative Loan Trust,
Series 2006-S3, Class A3A, 6.00%,
8/25/36 4,529,000 4,067,417
Wells Fargo Mortgage Backed
Securities Trust, Series 2003-N,
Class 2A3, 4.74%, 12/25/33 (a) 4,095,000 3,373,762
------------
26,604,250
------------
WL Collateral PAC (0.3%)
Countrywide Alternative Loan Trust,
Series 2004-2CB, Class 1A1, 4.25%,
3/25/34 2,092,234 2,026,470
------------
WL Collateral Support (3.6%)
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2005-12, Class 11A2,
5.45%, 2/25/36 (a) 2,466,800 2,440,031
Bear Stearns Alt-A Trust, Series
2005-9, Class 21A2, 5.71%,
11/25/35 (a) 608,841 318,580
Chaseflex Trust, Series 2006-1, Class
A6, 6.29%, 6/25/36 (a) 5,265,000 4,801,006
JP Morgan Alternative Loan Trust,
Series 2006-A4, Class A7, 6.30%,
9/25/36 (a) 5,000,000 2,495,831
JP Morgan Alternative Loan Trust,
Series 2006-S1, Class 1A18, 6.00%,
3/25/36 3,473,731 3,072,259
Nomura Asset Acceptance Corp., Series
2004-AR4, Class 1A2, 4.88%,
12/25/34 (a) 922,529 777,662
Continued
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
WL Collateral Support, continued
Nomura Asset Acceptance Corp.,
Series 2005-AR2, Class 2A2,
5.54%, 5/25/35 (a) $ 1,174,925 $ 970,158
Nomura Asset Acceptance Corp.,
Series 2005-AR3, Class 3A2, 5.65%,
7/25/35 (a) 1,780,291 1,468,693
Nomura Asset Acceptance Corp.,
Series 2005-AR5, Class 2A2, 5.64%,
10/25/35 (a) 1,290,814 879,694
Nomura Asset Acceptance Corp.,
Series 2006-AF1, Class 3A2,
6.60%, 6/25/36 (a) 2,358,745 1,535,039
Residential Funding Mortgage
Securities I, Series 2007-S2, Class
A10, 6.00%, 2/25/37 430,000 376,649
Wells Fargo Mortgage Backed
Securities Trust, Series 2005-AR7,
Class 2A2, 5.14%, 5/25/35 (a) 2,566,989 2,045,078
------------
21,180,680
------------
Total Mortgage-Backed Securities 200,118,995
------------
U.S. Government Agencies (34.5%)
Fannie Mae (17.2%)
6.05%, 12/1/08 2,730,220 2,734,765
3.88%, 7/12/13 5,900,000 5,859,438
6.50%, 7/1/16 488,926 508,560
6.00%, 5/1/17 139,902 143,378
6.50%, 6/1/17 162,436 168,908
6.00%, 5/1/18 479,811 491,132
5.50%, 12/25/20 2,355,701 2,383,622
6.00%, 2/1/22 3,155,507 3,214,998
5.50%, 2/1/25 1,071,170 1,064,410
5.00%, 5/1/25 1,796,024 1,736,748
7.50%, 6/1/28 147,513 159,158
6.50%, 8/1/28 149,111 154,672
6.50%, 6/1/29 99,881 103,543
6.50%, 4/1/32 248,096 256,573
6.50%, 6/1/32 587,053 607,110
7.00%, 6/1/32 170,427 180,986
6.50%, 7/1/32 974,275 1,007,912
7.00%, 8/1/32 412,362 434,717
6.00%, 1/1/33 318,964 322,542
5.50%, 3/1/33 8,105,661 7,980,192
6.50%, 3/1/33 165,773 171,282
6.00%, 8/25/33 (a) 2,007,580 1,859,251
5.50%, 12/25/33 900,000 907,078
5.00%, 1/1/34 9,133,699 8,737,049
5.50%, 5/25/34 3,150,000 2,799,812
5.14%, 8/1/34 (a) 100,369 100,724
7.00%, 9/1/34 88,677 93,276
5.50%, 12/1/34 4,314,980 4,241,445
5.50%, 6/1/35 558,689 548,557
6.00%, 7/1/35 3,476,618 3,501,497
6.00%, 9/1/35 1,799,591 1,812,469
5.00%, 11/1/35 3,462,431 3,302,329
Continued
111
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
U.S. Government Agencies, continued
Fannie Mae, continued
5.50%, 11/1/35 $ 950,562 $ 933,323
6.00%, 1/1/36 3,371,853 3,402,580
2.78%, 4/25/36 (a) (h) 4,652,973 4,553,785
6.50%, 8/1/36 800,860 817,211
7.00%, 9/1/36 1,236,687 1,294,232
5.50%, 11/1/36 1,589,076 1,558,023
6.00%, 12/1/36 (h) 12,962,543 13,041,129
6.00%, 12/1/36 1,147,198 1,154,153
5.50%, 1/1/37 3,835,943 3,760,105
6.00%, 1/1/37 4,211,628 4,237,161
5.50%, 4/25/37 3,034,063 2,676,953
5.50%, 8/1/37 3,148,479 3,084,316
5.50%, 12/1/37 1,886,974 1,848,519
2.73%, 8/25/44 (a) 855,837 840,838
------------
100,790,461
------------
Freddie Mac (11.1%)
4.00%, 1/15/17 7,500,000 7,311,226
4.00%, 5/1/19 3,131,783 2,934,456
6.00%, 12/15/21 3,717,156 3,805,369
5.00%, 2/15/25 3,245,000 3,058,007
7.00%, 6/1/26 523,769 548,438
6.50%, 1/1/29 1,193,712 1,238,601
7.00%, 1/1/32 107,301 113,939
6.50%, 7/1/32 195,520 202,383
4.74%, 7/15/32, IO (a) (b) 9,939,496 793,904
6.50%, 9/1/32 97,828 101,201
5.00%, 8/1/33 372,255 355,740
6.00%, 9/1/33 356,528 360,416
5.00%, 5/1/34 184,286 175,880
6.50%, 5/15/34 (a) 2,673,526 2,356,067
4.50%, 6/1/34 818,662 753,834
4.50%, 9/1/34 1,031,608 949,917
5.50%, 3/15/35 5,505,000 5,337,055
5.00%, 7/1/35 473,458 451,270
5.00%, 8/1/35 1,025,310 977,260
5.00%, 11/1/35 3,812,948 3,634,256
5.00%, 4/1/36 434,479 414,117
5.00%, 7/1/36 1,937,269 1,842,847
2.86%, 7/15/36 (a) (h) 1,512,608 1,479,056
3.01%, 9/15/36 (a) 459,821 463,042
5.82%, 10/1/36 (a) 2,285,299 2,305,806
6.10%, 1/1/37 (a) 5,718,166 5,815,703
6.15%, 2/1/37 (a) 5,356,790 5,446,777
5.27%, 3/1/37 (a) 709,135 717,505
5.93%, 3/1/37 (a) 6,515,287 6,598,210
5.72%, 4/1/37 (a) 3,260,647 3,295,693
6.00%, 2/1/38 1,082,810 1,090,220
------------
64,928,195
------------
Government National Mortgage
Association (6.2%)
9.50%, 12/15/09 240,547 244,638
5.30%, 7/16/28 (a) 3,000,000 3,002,283
4.82%, 10/16/29 (a) 2,660,000 2,631,037
Continued
Principal
Amount Value
------------ ------------
U.S. Government Agencies, continued
Government National Mortgage
Association, continued
5.32%, 8/16/30 (a) $ 2,560,000 $ 2,569,959
5.03%, 11/16/33 (a) 5,640,000 5,446,362
4.42%, 5/16/34 10,250,000 10,111,009
0.92%, 6/17/45, IO (a) (b) (e) 12,495,103 536,102
0.51%, 3/16/46, IO (a) (b) (e) 13,555,253 460,242
0.55%, 4/16/46, IO (a) (b) (e) 60,106,179 1,995,766
0.79%, 5/16/46, IO (a) (b) (e) 43,570,194 2,147,183
0.99%, 2/16/48, IO (a) (b) (e) 14,756,913 784,861
1.05%, 2/16/48, IO (a) (e) 57,073,469 2,819,715
1.05%, 6/16/49, IO (a) (b) (e) 66,057,675 3,798,713
------------
36,547,870
------------
Total U.S. Government Agencies 202,266,526
------------
U.S. Treasury Obligations (4.8%)
U.S. Treasury Notes (3.7%)
3.38%, 6/30/13 (c) 13,010,000 13,073,021
4.25%, 11/15/17 (c) 500,000 511,211
3.88%, 5/15/18 (c) 3,835,000 3,802,042
4.50%, 2/15/36 (c) 615,000 603,132
5.00%, 5/15/37 (c) 2,000,000 2,124,844
4.38%, 2/15/38 (c) 1,500,000 1,445,508
------------
21,559,758
------------
U.S. Treasury Strips (1.1%)
6.12%, 2/15/18 ** (c) 5,000,000 3,319,710
8.21%, 11/15/27 ** (h) 7,400,000 2,919,707
------------
6,239,417
------------
Total U.S. Treasury Obligations 27,799,175
------------
Shares
------------
Investment Companies (6.5%)
State Street Navigator Securities
Lending Portfolio (l) 37,951,578 37,951,578
------------
Total Investment Companies 37,951,578
------------
Preferred Stocks (1.8%)
Commercial Banks Non-U.S. (0.4%)
Barclays Bank PLC ADR, 8.13% (c) 106,000 2,533,400
------------
Finance-Investment Banker/Broker (0.2%)
Lehman Brothers Holdings, Inc.,
Series J, 7.95% (c) 63,400 1,000,452
------------
Sovereign Agency (0.9%)
Fannie Mae, 8.25% (c) 160,000 2,686,400
Freddie Mac, 8.38% (a) (c) 161,000 2,728,950
------------
5,415,350
------------
Continued
112
Total Return Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Preferred Stocks, continued
Super-Regional Banks-U.S. (0.3%)
Wells Fargo Capital XII, 7.88% 80,000 $ 2,028,800
------------
Total Preferred Stocks 10,978,002
------------
Principal
Amount
------------
Demand Notes (0.2%)
Electric-Integrated (0.2%)
Alabama Power Capital Trust V,
5.50%, 10/1/08,
(Callable 10/1/09 @ 100)(a) (j) $ 874,000 883,284
------------
Total Demand Notes 883,284
------------
Shares
------------
Investments in Affiliates (5.1%)
Fifth Third Institutional Money
Market Fund (d) 30,021,652 30,021,652
------------
Total Investments in Affiliates 30,021,652
------------
Total Investments (Cost $679,176,690) - 107.1% 626,483,714
Liabilities in excess of other assets - (7.1)% (41,421,132)
------------
NET ASSETS - 100.0% $585,062,582
============
Continued
Notes to Schedule of Investments
** Rate represents the effective yield at purchase.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) All or part of this security was on loan.
(d) Investment is in Institutional Shares of underlying fund.
(e) The Fund's securities were fair valued at July 31, 2008 using procedures
approved by the Board of Trustees.
(f) Defaulted security.
(g) When-issued security.
(h) All or part of this security has been designated as collateral for futures
contracts, when issued and swaps/transactions.
(i) Perpetual Maturity. Callable any time after first call date. Maturity date
is next call date.
(j) Maturity date is next rate reset date.
(k) Illiquid Securities.
(l) Represents investments of cash collateral received in connection with
securities lending.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
ADR - American Depository Receipt
AUD - Australian Dollar
BRL - Brazilian Real
CDO - Collateralized Debt Obligation
CMBS - Commercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
IO - Interest Only
PAC - Planned Amortization Class
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
113
Short Term Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Asset-Backed Securities (17.2%)
Automobile ABS Other (0.2%)
Harley-Davidson Motorcycle Trust,
Series 2004-2, Class B, 2.96%,
2/15/12 $ 420,989 $ 419,057
------------
Automobiles Sequential (10.1%)
Banc of America Securities Auto
Trust, Series 2005-WF1, Class A4,
4.08%, 4/18/10 2,118,584 2,119,858
Bay View Auto Trust, Series 2005-LJ2,
Class A4, 4.55%, 2/25/14 1,887,040 1,899,929
Capital One Auto Finance Trust,
Series 2006-C, Class A3A, 5.07%,
7/15/11 1,182,071 1,162,281
Harley-Davidson Motorcycle Trust,
Series 2006-2, Class A2, 5.35%,
3/15/13 (e) 3,305,000 3,360,113
Harley-Davidson Motorcycle Trust,
Series 2007-3, Class A2A, 5.34%,
9/15/10 1,164,786 1,170,938
Hertz Vehicle Financing LLC, Series
2005-2A, Class A2, 4.93%, 2/25/10 (b) 3,375,000 3,366,643
Hyundai Auto Receivables Trust,
Series 2005-A, Class A4, 4.18%,
2/15/12 3,000,000 3,017,851
Nissan Auto Lease Trust, Series
2006-A, Class A4, 5.10%, 7/16/12 (e) 4,000,000 4,071,152
USAA Auto Owner Trust, Series 2006-2,
Class A4, 5.37%, 2/15/12 1,500,000 1,531,009
Wachovia Auto Owner Trust, Series
2005-A, Class A4, 4.23%, 11/21/11 (e) 3,456,505 3,472,388
------------
25,172,162
------------
Credit Card Bullet (4.7%)
Bank One Issuance Trust, Series
2004-A1, Class A1, 3.45%, 10/17/11 810,000 810,795
Chase Issuance Trust, Series
2005-A10, Class A10, 4.65%,
12/17/12 3,000,000 3,019,487
GE Capital Credit Card Master Note
Trust, Series 2005-3, Class A, 4.13%,
6/15/13 2,000,000 1,977,765
MBNA Master Credit Card Trust, Series
1999-B, Class A, 5.90%, 8/15/11 3,000,000 3,047,989
Nordstrom Private Label Credit Card
Master Note Trust, Series 2007-1A,
Class A, 4.92%, 5/15/13 (b) 3,000,000 2,996,848
------------
11,852,884
------------
Home Equity Other (0.9%)
GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class A3, 4.24%,
10/25/33 (a) (d) (e) 1,696,534 1,372,560
GMAC Mortgage Corp. Loan Trust,
Series 2005-HE2, Class A3, 4.62%,
11/25/35 (a) 937,694 859,023
------------
2,231,583
------------
Continued
Principal
Amount Value
------------ ------------
Asset-Backed Securities, continued
Home Equity Sequential (0.9%)
GMAC Mortgage Corp. Loan Trust,
Series 2006-HE2, Class A2, 6.18%,
5/25/36 (e) $ 3,000,000 $ 2,173,834
------------
Other ABS (0.4%)
SVO VOI Mortgage Corp., Series
2005-AA, Class A, 5.25%, 2/20/21 (b) 987,437 945,353
------------
Total Asset-Backed Securities 42,794,873
------------
Corporate Bonds (18.7%)
Beverages-Non Alcoholic (0.9%)
Coca Cola Enterprises, Inc., 4.38%,
9/15/09 2,250,000 2,272,682
------------
Cable TV (0.5%)
Comcast Cable Communications LLC,
6.88%, 6/15/09 1,250,000 1,281,110
------------
Cellular Telecom (0.5%)
AT&T Wireless, 7.88%, 3/1/11 1,250,000 1,331,847
------------
Diversified Financial Services (2.5%)
General Electric Capital Corp.,
5.25%, 10/27/09 6,000,000 6,122,766
------------
Electric-Integrated (2.0%)
Duke Energy Carolinas LLC, Series D,
7.38%, 3/1/10 1,250,000 1,308,940
Florida Power Corp., 4.50%, 6/1/10 2,500,000 2,526,455
Pepco Holdings, Inc., 4.00%, 5/15/10 1,000,000 982,463
------------
4,817,858
------------
Finance-Consumer Loans (1.2%)
HSBC Finance Corp., 4.75%, 5/15/09 3,000,000 3,022,887
------------
Finance-Investment Banker/Broker (3.1%)
Bear Stearns Cos., Inc. (The), 7.63%,
12/7/09 2,500,000 2,594,148
Citigroup, Inc., 5.13%, 2/14/11 2,000,000 1,986,476
Goldman Sachs Group, Inc. (The),
6.65%, 5/15/09 3,000,000 3,068,106
------------
7,648,730
------------
Finance-Mortgage Loan/Banker (0.1%)
Countrywide Home Loans, Inc., 5.63%,
7/15/09 250,000 245,197
------------
Finance-Other Services (1.0%)
National Rural Utilities, 4.38%,
10/1/10 2,500,000 2,511,878
------------
Food-Retail (0.5%)
Kroger Co. (The), 7.25%, 6/1/09 1,250,000 1,280,284
------------
Continued
114
Short Term Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Corporate Bonds, continued
Life/Health Insurance (0.6%)
Protective Life Secured Trusts,
3.70%, 11/24/08 $ 1,590,000 $ 1,586,430
------------
Networking Products (1.0%)
Cisco Systems, Inc., 5.25%, 2/22/11 2,500,000 2,573,385
------------
Retail-Discount (0.9%)
Wal-Mart Stores, Inc., 4.13%, 2/15/11 2,250,000 2,264,886
------------
Super-Regional Banks-U.S. (3.9%)
Bank of America Corp., 4.38%, 12/1/10 1,000,000 998,225
US Bancorp, 3.17%, 5/6/10 (a) 2,750,000 2,752,329
Wachovia Corp., 4.38%, 6/1/10 3,000,000 2,908,761
Wells Fargo & Co., 4.20%, 1/15/10 3,000,000 3,001,464
------------
9,660,779
------------
Total Corporate Bonds 46,620,719
------------
Foreign Bonds (2.6%)
Finance-Other Services (0.1%)
Pemex Finance, Ltd., 9.69%, 8/15/09 202,500 206,224
------------
Oil Company-Integrated (1.2%)
BP Capital Markets PLC, 4.88%,
3/15/10 3,000,000 3,082,236
------------
Sovereign (1.0%)
Australia Government Bond, Series
909, 7.50%, 9/15/09 AUD 925,000 880,134
Brazil, Federal Republic, 6.00%,
8/15/10 (d) BRL 1,500,000 1,636,966
------------
2,517,100
------------
Telephone-Integrated (0.3%)
Telecom Italia Capital SA, 4.00%,
11/15/08 $ 650,000 649,955
------------
Total Foreign Bonds 6,455,515
------------
Mortgage-Backed Securities (28.3%)
CMBS Other (5.5%)
Banc of America Commercial Mortgage,
Inc., Series 2004-4, Class A3, 4.13%,
7/10/42 (e) 2,500,000 2,486,294
Bear Stearns Commercial Mortgage
Securities, Series 2000-WF2, Class
A1, 7.11%, 10/15/32 (a) 155,294 155,146
CS First Boston Mortgage Securities
Corp., Series 2001-CK6, Class A2,
6.10%, 8/15/36 443,740 444,162
CS First Boston Mortgage Securities
Corp., Series 2004-C3, Class A3,
4.30%, 7/15/36 (e) 2,500,000 2,488,487
GE Capital Commercial Mortgage Corp.,
Series 2005-C1, Class A2, 4.35%,
6/10/48 2,750,000 2,727,918
Continued
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
CMBS Other, continued
Greenwich Capital Commercial Funding
Corp., Series 2005-GG3, Class A2,
4.31%, 8/10/42 (e) $ 3,000,000 $ 2,980,637
GS Mortgage Securities Corp. II,
Series 2004-GG2, Class A3, 4.60%,
8/10/38 2,500,000 2,495,907
------------
13,778,551
------------
CMBS Subordinated (1.3%)
GMAC Commercial Mortgage Securities,
Inc., Series 1999-C2, Class B, 7.14%,
9/15/33 (a) (e) 3,250,000 3,303,102
------------
WL Collateral CMO Other (15.4%)
Banc of America Mortgage Securities,
Inc., Series 2004-F, Class 2A6,
4.14%, 7/25/34 (a) 2,500,000 2,427,707
Banc of America Mortgage Securities,
Inc., Series 2004-F, Class 2A7,
4.14%, 7/25/34 (a) 2,653,443 2,590,549
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2004-1, Class 13A3,
4.77%, 4/25/34 (a) 2,492,792 2,338,328
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2005-4, Class 2A2,
4.57%, 8/25/35 (a) 3,000,000 2,870,882
Bear Stearns Asset Backed Securities
Trust, Series 2003-AC7, Class A2,
5.25%, 1/25/34 1,099,428 983,594
Countrywide Home Loan Mortgage Pass
Through Trust, Series 2004-HYB5,
Class 4A1, 5.01%, 4/20/35 (a) 1,777,948 1,556,091
Harborview Mortgage Loan Trust,
Series 2004-5, Class 2A6, 3.94%,
6/19/34 (a) (e) 5,730,000 4,779,952
Homebanc Mortgage Trust, Series
2004-2, Class A2, 2.91%, 12/25/34 (a) 1,136,267 987,042
Homebanc Mortgage Trust, Series
2006-1, Class 1A1, 6.08%, 4/25/37 (a) 1,815,574 1,713,330
Indymac Index Mortgage Loan Trust,
Series 2006-AR29, Class A2, 2.54%,
11/25/36 (a) 802,197 764,621
JP Morgan Alternative Loan Trust,
Series 2006-S2, Class A2, 5.81%,
5/25/36 2,075,000 2,066,611
JP Morgan Mortgage Trust, Series
2005-A1, Class 3A3, 4.90%,
2/25/35 (a) 2,165,321 1,995,458
JP Morgan Mortgage Trust, Series
2005-A2, Class 5A1, 4.35%,
4/25/35 (a) 2,077,429 1,876,761
JP Morgan Mortgage Trust, Series
2005-A3, Class 7CA1, 5.11%,
6/25/35 (a) (e) 3,017,205 2,914,841
Merrill Lynch Mortgage Investors,
Inc., Series 2003-A1, Class 2A,
4.76%, 12/25/32 (a) 98,293 97,253
Continued
115
Short Term Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Mortgage-Backed Securities, continued
WL Collateral CMO Other, continued
Provident Funding Mortgage Loan
Trust, Series 2005-2, Class 2A1A,
4.70%, 10/25/35 (a) $ 2,157,741 $ 2,001,486
Residential Funding Mortgage
Securities I, Series 2007-SA1, Class
1A1, 5.66%, 2/25/37 (a) 3,210,424 3,113,750
Wells Fargo Mortgage Backed
Securities Trust, Series 2005-AR10,
Class 2A14, 4.11%, 6/25/35 (a) (e) 3,500,000 3,396,264
------------
38,474,520
------------
WL Collateral CMO Sequential (5.6%)
Chase Mortgage Finance Corp., Series
2005-A1, Class 2A2, 5.24%,
12/25/35 (a) 2,231,885 2,148,265
JP Morgan Alternative Loan Trust,
Series 2006-S3, Class A2A, 5.87%,
8/25/36 3,000,000 2,944,284
JP Morgan Mortgage Trust, Series
2006-A3, Class 2A1, 5.63%,
5/25/36 (a) 2,480,710 2,343,326
JP Morgan Mortgage Trust, Series
2006-A4, Class 2A2, 5.82%,
6/25/36 (a) 2,302,574 2,128,901
JP Morgan Mortgage Trust, Series
2007-A2, Class 4A1M, 5.80%,
4/25/37 (a) 2,435,626 2,238,368
RAAC Series, Series 2005-SP1, Class
2A2, 5.25%, 9/25/34 2,151,267 2,032,172
------------
13,835,316
------------
WL Collateral PAC (0.5%)
Countrywide Alternative Loan Trust,
Series 2004-2CB, Class 1A1, 4.25%,
3/25/34 1,192,087 1,154,617
------------
Total Mortgage-Backed Securities 70,546,106
------------
Municipal Bonds (0.2%)
Ohio (0.2%)
State Economic Enterprise, Series 3,
4.05%, 3/1/11 (b) 490,000 485,507
------------
Total Municipal Bonds 485,507
------------
U.S. Government Agencies (26.3%)
Fannie Mae (3.4%)
5.00%, 2/25/25 (e) 3,153,378 3,181,095
4.70%, 4/1/33 (a) 1,678,396 1,693,656
5.11%, 9/1/34 (a) 2,127,986 2,157,943
4.94%, 4/1/35 (a) 1,482,338 1,493,494
------------
8,526,188
------------
Continued
Principal
Amount Value
------------ ------------
U.S. Government Agencies, continued
Fannie Mae Prepayment Link Note,
Series 2005-4, Class 1 (1.0%)
4.65%, 12/25/12 IO $ 2,536,392 $ 2,472,063
------------
Federal Farm Credit Bank (2.4%)
2.63%, 4/21/11 6,000,000 5,861,958
------------
Federal Home Loan Bank (3.5%)
5.00%, 9/18/09 1,000,000 1,022,662
5.00%, 12/11/09 5,000,000 5,131,845
4.75%, 10/25/10 IO 2,556,445 2,578,022
------------
8,732,529
------------
Freddie Mac (8.4%)
4.88%, 2/9/10 7,000,000 7,190,785
5.00%, 9/15/25 (e) 2,911,395 2,944,009
4.50%, 7/15/28 (e) 2,916,312 2,922,170
3.98%, 3/1/34 (a) 1,677,863 1,682,212
4.67%, 7/1/35 (a) (e) 3,220,307 3,246,568
5.71%, 4/1/37 (a) 2,903,116 2,934,319
------------
20,920,063
------------
Government National Mortgage
Association (7.6%)
2.87%, 2/16/20 (e) 3,378,488 3,378,309
3.27%, 1/16/23 1,634,841 1,621,627
6.01%, 2/16/24 (a) 831,607 844,679
3.72%, 12/16/26 3,082,649 3,058,801
4.00%, 5/16/27 1,820,900 1,803,573
4.29%, 1/16/30 2,799,747 2,795,425
4.09%, 8/16/30 2,109,143 2,093,784
3.95%, 11/16/30 (e) 3,292,435 3,259,259
------------
18,855,457
------------
Total U.S. Government Agencies 65,368,258
------------
U.S. Treasury Obligations (4.3%)
U.S. Treasury Notes (4.3%)
3.13%, 11/30/09 5,500,000 5,560,588
4.50%, 5/15/10 1,000,000 1,036,406
4.88%, 7/31/11 4,000,000 4,233,124
------------
10,830,118
------------
Total U.S. Treasury Obligations 10,830,118
------------
Continued
116
Short Term Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Shares Value
------------ ------------
Investments in Affiliates (1.7%)
Fifth Third Institutional Money
Market Fund (c) 4,149,326 $ 4,149,326
------------
Total Investments in Affiliates 4,149,326
------------
Total Investments (Cost $250,753,899) - 99.3% 247,250,422
Other assets in excess of liabilities - 0.7% 1,823,666
------------
NET ASSETS - 100.0% $249,074,088
============
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund.
(d) The Fund's securities were fair valued at July 31, 2008 using procedures
approved by the Board of Trustees.
(e) All or part of this security has been designated as collateral for futures
contracts.
The following abbreviations are used in the Schedule of Investments:
ABS - Asset-Backed Security
AUD - Australian Dollar
BRL - Brazilian Real
CMBS - Commercial Mortgage-Backed Security
CMO - Collateralized Mortgage Obligation
IO - Interest Only
PAC - Planned Amortization Class
WL - Whole Loan
See notes to schedules of investments
and notes to financial statements.
Municipal Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds (92.9%)
Arizona (5.9%)
City of Tempe Transportation Excise
Tax, 4.75%, 7/1/38,
(Callable 7/1/18 @ 100) $ 1,000,000 $ 961,370
Mesa Street and Highway, FSA, 5.25%,
7/1/23 600,000 648,462
Tucson Water, MBIA, 4.25%, 7/1/21,
(Callable 7/1/16 @ 100) 1,000,000 985,310
------------
2,595,142
------------
California (13.2%)
California Polytechnical Pomona
Foundation, Inc., MBIA, 5.50%,
2/1/20, (Prerefunded 2/1/11 @ 101) 265,000 286,759
California State Department of Water
Resources, Central Valley Project,
Series AE, 5.00%, 12/1/28, (Callable
6/1/18 @ 100) 1,000,000 1,024,900
La Canada Unified School District,
Series A, GO, MBIA, 5.50%, 8/1/24,
(Callable 8/1/14 @ 100) 1,000,000 1,049,840
Placentia-Yorba Linda Unified School
District, Series B, GO, FGIC, 5.38%,
8/1/22, (Callable 8/1/14 @ 100) 1,000,000 1,041,760
Sacramento County Sanitation
District, Series A, 6.00%, 12/1/15,
(Callable 12/1/10 @ 101) 250,000 269,667
State of California, Variable
Purpose, GO, 5.25%, 3/1/38,
(Callable 3/1/18 @ 100) 1,000,000 997,570
State Public Works Board, Department
of Corrections and Rehabilitation,
Series F, FGIC, 5.25%, 11/1/19 1,020,000 1,094,287
------------
5,764,783
------------
Colorado (2.5%)
Douglas County School District No
Re-1, GO, FGIC, 5.75%, 12/15/21,
(Callable 12/15/14 @ 100) 1,000,000 1,078,740
------------
Connecticut (1.1%)
State Health & Educational Facility
Authority, Loomis Chafee School,
Series G, 5.00%, 7/1/38,
(Callable 7/1/18 @ 100) 500,000 479,040
------------
Florida (4.6%)
Orange County Health Facilities
Authority, Series B, FSA, 5.00%,
12/1/32, (Callable 11/15/18 @ 100) 1,000,000 973,850
Volusia County School Board, Series
A, CP, FSA, 5.00%, 8/1/19,
(Callable 8/1/15 @ 100) 1,010,000 1,046,118
------------
2,019,968
------------
Continued
117
Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Illinois (3.1%)
Chicago Metropolitan Water
Reclamation District-Greater Chicago
Capital Improvements, GO, ETM,
7.25%, 12/1/12 $ 500,000 $ 587,065
City of Chicago Single Family
Mortgage, Series A, AMT,
GNMA-FNMA, 4.70%, 10/1/17,
(Callable 4/1/09 @ 102) 125,000 124,626
Finance Authority, Metropolis
Project, 5.00%, 12/1/14, (Callable
12/1/13 @ 100) 300,000 311,904
State of Illinois, GO, FGIC, 5.88%,
10/1/17, (Callable 10/1/09 @ 100) 300,000 308,985
------------
1,332,580
------------
Iowa (5.1%)
Finance Authority, Drake University
Project, MBIA, 6.50%, 12/1/11 (c) 2,055,000 2,220,530
------------
Kansas (4.2%)
Geary County Unified School District
No. 475, GO, MBIA, 5.25%, 9/1/17,
(Callable 9/1/15 @ 100) 1,675,000 1,826,504
------------
Louisiana (2.3%)
State Citizens Property Insurance
Corp., Series B, AMBAC, 5.00%,
6/1/18, (Callable 6/1/16 @ 100) 1,000,000 1,001,850
------------
Michigan (8.8%)
Detroit Water Supply System, Series A,
FSA, 5.00%, 7/1/16 1,000,000 1,065,080
Higher Education Student Loan
Authority, Series XII-W, AMT,
AMBAC, 4.75%, 3/1/09 (c) 1,000,000 1,014,460
State Hospital Finance Authority,
Henry Ford Health System, Series A,
5.00%, 11/15/20, (Callable
11/15/16 @ 100) 500,000 497,695
State of Michigan, Grant Antic
Buildings, FSA, 5.25%, 9/15/20,
(Callable 9/15/17 @ 100) 250,000 267,735
Strategic Fund, Hope Network Project,
Series B, 5.13%, 9/1/13,
(LOC: First of America Bank),
(Callable 9/1/08 @ 102) 1,000,000 1,020,880
------------
3,865,850
------------
Minnesota (2.2%)
State Municipal Power Agency, 5.00%,
10/1/30, (Callable 10/1/15 @ 100) 1,000,000 978,950
------------
Nebraska (3.7%)
City of Omaha, Series A, GO, ETM,
6.50%, 12/1/13 1,365,000 1,593,201
------------
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
New Mexico (4.7%)
County of Bernalillo, 5.25%, 4/1/27 $ 475,000 $ 504,502
Mortgage Finance Authority, Single
Family Mortgage, Series A, AMT,
GNMA-FNMA-FHLMC, 5.50%,
7/1/36, (Callable 1/1/15 @ 102) (a) 500,000 504,310
University of New Mexico, System
Implements, Series A, FSA, 5.00%,
6/1/21, (Callable 6/1/17 @ 100) 1,000,000 1,047,140
------------
2,055,952
------------
New York (3.0%)
City of New York, Series E, GO,
5.00%, 8/1/16 250,000 269,252
State Housing Finance Agency,
Economic Development and
Housing, Series A, 5.00%, 9/15/23,
(Callable 9/15/15 @ 100) 1,000,000 1,036,870
------------
1,306,122
------------
Ohio (8.7%)
City of Columbus Sewer Revenue,
Series A, 5.00%, 6/1/23, (Callable
12/1/17 @ 100) 1,000,000 1,046,970
County of Cuyahoga Capital
Improvements, GO, 5.25%, 12/1/18,
(Callable 12/1/14 @ 100) 1,500,000 1,616,760
State of Ohio, Common Schools,
Series D, GO, 5.50%, 9/15/19 1,000,000 1,126,750
------------
3,790,480
------------
Oklahoma (2.4%)
Oklahoma County, Series A, GO, W/I,
4.00%, 8/1/19,
(Callable 8/1/18 @ 100) 500,000 492,565
Tulsa International Airport,
Improvement Trust, Series B, AMT,
FGIC, 5.50%, 6/1/10 530,000 539,779
------------
1,032,344
------------
Oregon (2.4%)
Sunrise Water Authority, FSA, 5.25%,
3/1/24, (Callable 3/1/14 @ 100) 1,000,000 1,048,610
------------
Pennsylvania (6.0%)
Central Dauphin School District, GO,
MBIA, 6.75%, 2/1/24, (Prerefunded
2/1/16 @ 100) 1,000,000 1,205,170
Higher Educational Facilities
Authority, Widener University, 3.85%,
7/15/13 430,000 428,267
Lancaster Higher Education Authority,
Franklin and Marshall College, 5.00%,
4/15/25, (Callable 4/15/16 @ 100) 1,000,000 1,006,270
------------
2,639,707
------------
Continued
118
Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Puerto Rico (4.8%)
Commonwealth of Puerto Rico, Series A,
GO, 5.00%, 7/1/30, (Mandatory Put
7/1/12 @ 100) (a) $ 1,000,000 $ 1,010,550
Public Buildings Authority, Series I,
5.50%, 7/1/23, (Prerefunded
7/1/14 @ 100) 1,000,000 1,094,670
------------
2,105,220
------------
Texas (1.9%)
State Public Finance Authority,
Series A, ACA, 5.00%, 2/15/28,
(Callable 2/15/14 @ 100) 1,000,000 841,230
------------
Washington (2.3%)
Metropolitan Park District of Tacoma,
GO, FGIC, 5.00%, 12/1/22,
(Callable 12/1/15 @ 100) 1,000,000 1,023,320
------------
Total Municipal Bonds 40,600,123
------------
Municipal Demand Notes (1.8%)
Illinois (1.4%)
Lake Zurich Rose Road LLC Project,
AMT, 3.45%, 8/1/08, (LOC: JP
Morgan, Inc.) (a) (d) 610,000 610,000
------------
Kentucky (0.4%)
Shelby County Lease Program, Series
A, 2.05%, 8/1/08, (LOC: U.S.
Bancorp) (a) (d) 185,000 185,000
------------
Total Municipal Demand Notes 795,000
------------
Shares
------------
Money Markets (5.1%)
AIM TFIT Tax-Free Cash Reserve
Portfolio (b) 112 112
Dreyfus Tax Exempt Cash
Management (b) 888,755 888,755
Goldman Sachs Financial Square
Funds - Tax-Free Money Market
Fund (b) 4,892 4,892
Merrill Lynch Funds For Institutions
Series - Institutional Tax-Exempt
Fund (b) 1,338,025 1,338,025
------------
Total Money Markets 2,231,784
------------
Total Investments (Cost $43,376,559) - 99.8% 43,626,907
Other assets in excess of liabilities - 0.2% 99,975
------------
NET ASSETS - 100.0% $ 43,726,882
============
Continued
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) All or part of this security has been designated as collateral for when
issued transactions.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
ACA - American Capital Access Holding Ltd.
AMBAC - American Municipal Bond Assurance Corp.
AMT - Alternative Minimum Tax Paper
CP - Certificates of Participation
ETM - Escrowed to Maturity
FGIC - Financial Guaranty Insurance Co.
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
FSA - Financial Security Assurance, Inc.
GNMA - Government National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
W/I - When Issued
Investment concentration as a percentage of net assets, by industry:
Airport 1.2%
Development 1.4%
Education 1.9%
Facilities 2.5%
General 3.9%
General Obligation 20.1%
Healthcare 1.1%
Higher Education 11.4%
Housing 2.4%
Investment Companies 5.1%
Medical 6.4%
Municipal 1.1%
Power 2.3%
School District 16.6%
Single Family Housing 1.5%
Student Loan 2.3%
Transportation 3.7%
Utilities 5.5%
Water 9.4%
See notes to schedules of investments
and notes to financial statements.
119
Intermediate Municipal Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds (96.4%)
Alabama (5.6%)
Birmingham Baptist Medical Centers
Special Care Facilities Financing
Authority, Series A, 5.00%, 11/15/14 $ 4,000,000 $ 4,001,840
County of Mobile, GO, FSA, 5.25%,
8/1/17, (Callable 8/1/14 @ 100) (c) 3,080,000 3,325,753
------------
7,327,593
------------
Alaska (1.5%)
State of Alaska, Sport Fishing, CIFG,
4.25%, 4/1/15 1,000,000 1,004,560
State of Alaska, Sport Fishing, CIFG,
4.38%, 4/1/16 1,000,000 1,003,500
------------
2,008,060
------------
Arizona (6.7%)
City of Tempe Performing Arts Center,
AMBAC, 5.25%, 7/1/17, (Callable
7/1/14 @ 100) (c) 2,000,000 2,156,440
Health Facilities Authority, Phoenix
Children's Hospital, Series B, 3.09%,
2/1/42, (Callable 2/2/15 @ 100) (a) 1,000,000 945,580
Mesa Street and Highway, FGIC, 6.25%,
7/1/12 1,000,000 1,112,270
Mesa Street and Highway, FGIC, 6.25%,
7/1/13, (Prerefunded 7/1/11 @ 100) 1,000,000 1,099,710
Pima County Industrial Development
Authority, Series A, 5.13%, 7/1/15 1,140,000 1,130,447
Tucson Street and Highway, Series
1994-E, FGIC, 6.75%, 7/1/13 2,000,000 2,302,240
------------
8,746,687
------------
Arkansas (0.8%)
University of Arkansas, UAMS Campus,
FGIC, 5.00%, 3/1/16 1,000,000 1,074,210
------------
California (3.5%)
California State Department of Water
Resources, Central Valley Project,
Series AE, 5.00%, 12/1/22, (Callable
6/1/18 @ 100) 500,000 526,130
Chaffey Community College District,
Series C, GO, MBIA, 5.42%,
6/1/16 ** 750,000 534,000
City of San Jose, Series A, AMBAC,
AMT, 5.00%, 3/1/14 1,000,000 1,037,340
City of San Jose, Series A, AMBAC,
AMT, 5.00%, 3/1/15 500,000 516,945
East Bay Regional Park District, GO,
5.25%, 9/1/20 750,000 826,192
La Canada Unified School District,
Series A, GO, MBIA, 5.50%, 8/1/24,
(Callable 8/1/14 @ 100) 375,000 393,690
Placentia-Yorba Linda Unified School
District, Series B, GO, FGIC, 5.38%,
8/1/22, (Callable 8/1/14 @ 100) 675,000 703,188
------------
4,537,485
------------
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Colorado (2.1%)
El Paso County School District No.
38, GO, 6.38%, 12/1/18,
(Prerefunded 12/1/10 @ 100) $ 1,005,000 $ 1,097,048
Summit County School District No
Re001, GO, FSA, 5.75%, 12/1/12,
(Callable 12/1/11 @ 100) 1,465,000 1,593,832
------------
2,690,880
------------
Florida (0.3%)
City of Pembroke Pines, GO, MBIA,
4.00%, 9/1/15 185,000 187,501
City of Pembroke Pines, GO, MBIA,
4.13%, 9/1/16 250,000 253,165
------------
440,666
------------
Hawaii (0.6%)
State of Hawaii Highways, FSA, 5.50%,
7/1/10 765,000 809,485
------------
Illinois (7.9%)
Chicago Metropolitan Water
Reclamation District-Greater
Chicago Capital Improvements, GO,
ETM, 5.50%, 12/1/10 3,000,000 3,215,760
Chicago O'Hare International Airport,
Series A, FSA, 4.00%, 1/1/15 1,000,000 1,008,980
City of Greenville, Greenville
College Project, 3.45%, 11/1/36,
(LOC: National City Corp.),
(Mandatory Put 11/1/08 @ 100) (a) 1,000,000 1,000,000
Educational Facilities Authority, The
Art Institute of Chicago, Series A,
4.13%, 3/1/30, (Mandatory Put
3/1/13 @ 100) (a) 1,000,000 1,009,730
Finance Authority, Children's
Memorial Hospital, Series B, 5.50%,
8/15/21, (Callable 8/15/18 @ 100) 2,000,000 2,043,260
Finance Authority, Children's
Memorial Hospital, Series B, 5.50%,
8/15/23, (Callable 8/15/18 @ 100) 1,000,000 1,012,280
Finance Authority, Metropolis
Project, 4.75%, 12/1/10 200,000 207,468
Finance Authority, Metropolis
Project, 5.00%, 12/1/11 250,000 261,332
Finance Authority, Metropolis
Project, 5.00%, 12/1/12 275,000 288,472
Finance Authority, Metropolis
Project, 5.00%, 12/1/13 275,000 288,319
------------
10,335,601
------------
Indiana (8.8%)
Ball State University, Student Fee,
Series N, FSA, 4.00%, 7/1/15 500,000 512,120
Fort Wayne International Airport
Building Corp., Series B, AMT,
XLCA, 5.00%, 7/1/12 1,615,000 1,659,267
Continued
120
Intermediate Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Indiana, continued
Fort Wayne International Airport
Building Corp., Series B, AMT,
XLCA, 5.00%, 7/1/13 $ 1,695,000 $ 1,737,867
Health & Educational Facilities
Financing Authority, Clarian Health
Obligation Group, Series B, 5.00%,
2/15/16 500,000 512,915
Health & Educational Facilities
Financing Authority, Clarian Health
Obligation Group, Series B, 5.00%,
2/15/19, (Callable 2/15/16 @ 100) 1,000,000 999,980
Local Public Improvement Bond Bank,
Airport Authority, Series F, AMT,
AMBAC, 5.00%, 1/1/19,
(Callable 7/1/16 @ 100) 2,550,000 2,442,390
Municipal Power Supply Agency, Series
B, MBIA, 6.00%, 1/1/13 3,000,000 3,295,920
State Finance Authority, Revolving
Fund Project, Series A, 5.00%,
2/1/15 250,000 271,902
------------
11,432,361
------------
Iowa (0.1%)
Iowa State University, Science and
Technology, 3.75%, 7/1/10 140,000 143,577
------------
Kentucky (1.4%)
Area Development Districts, City of
Versailles, Series C, CP, ETM, 3.00%,
12/1/09 255,000 256,576
Area Development Districts, Lease
Acquisition, 3.00%, 6/1/09,
(LOC: Wachovia Corp.) 240,000 241,747
Housing Corp., Series A, AMT, 3.45%,
1/1/10 275,000 277,173
Kenton County Airport Board, Series
C, AMT, MBIA, 5.00%, 3/1/10 730,000 737,110
Munfordville Industrial Development,
Louisville Bedding Co. Project,
AMT, 3.50%, 6/1/09, (LOC: JP
Morgan, Inc.) 310,000 310,564
------------
1,823,170
------------
Louisiana (1.1%)
Public Facilities Authority,
Pennington Medical Foundation
Project, 5.00%, 7/1/16 1,000,000 1,022,350
State Citizens Property Insurance
Corp., Series B, AMBAC, 5.00%,
6/1/18, (Callable 6/1/16 @ 100) 400,000 400,740
------------
1,423,090
------------
Michigan (14.5%)
Detroit Sewer Disposal, FGIC, 5.50%,
7/1/36, (Callable 7/1/18 @ 100) 1,000,000 1,037,840
Detroit Water Supply System, Series
A, FSA, 5.00%, 7/1/16 500,000 532,540
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Michigan, continued
Higher Education Facilities
Authority, Hope College Project,
4.70%, 10/1/09 $ 200,000 $ 200,568
Higher Education Facilities
Authority, Hope College Project,
4.80%, 10/1/10,
(Callable 10/1/09 @ 100) 590,000 591,280
Higher Education Student Loan
Authority, Series XVII-I, AMT,
AMBAC, 3.95%, 3/1/11 1,000,000 987,780
Kent Hospital Finance Authority,
Spectrum Health, Series A, 5.50%,
1/15/13, (Prerefunded
7/15/11 @ 101) 125,000 135,403
Montague Public School District, GO,
Q-SBLF, 5.50%, 5/1/12, (Callable
11/1/11 @ 100) 430,000 463,200
Montague Public School District, GO,
Q-SBLF, 5.50%, 5/1/12, (Prerefunded
11/1/11 @ 100) 575,000 623,467
State Building Authority, Facilities
Program, Series I, AMBAC, 5.00%,
10/15/29, (Mandatory Put
10/15/11 @ 100) (a) 1,500,000 1,588,785
State Building Authority, Police
Communications, ETM, 5.50%,
10/1/12 350,000 382,784
State Hospital Finance Authority,
Crittenton Hospital, Series A, 4.35%,
3/1/09 500,000 505,185
State Hospital Finance Authority,
Edward W. Sparrow Hospital, 5.00%,
11/15/15 500,000 522,275
State Hospital Finance Authority,
Henry Ford Health System, Series A,
5.00%, 11/15/18,
(Callable 11/15/16 @ 100) 500,000 506,730
State Hospital Finance Authority,
Holland Community Hospital, Series
A, 5.00%, 1/1/15, (Callable
1/1/14 @ 100) 505,000 521,867
State Hospital Finance Authority,
Marquette General Hospital, Series
A, 5.00%, 5/15/13 1,505,000 1,518,891
State Hospital Finance Authority,
Oakwood Healthcare System, Series
A, 5.00%, 7/15/15 500,000 509,675
State Housing Development Authority,
Multi-Family, Series A, AMT, GNMA,
4.15%, 4/20/11 320,000 320,554
State Housing Development Authority,
Multi-Family, Series A, AMT, GNMA,
4.40%, 4/20/13 175,000 175,432
State Housing Development Authority,
Series A, AMT, 3.95%, 12/1/12 660,000 656,423
State of Michigan, Grant Antic
Buildings, FSA, 4.50%, 9/15/15 500,000 523,520
Continued
121
Intermediate Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Michigan, continued
State of Michigan, Grant Antic
Buildings, FSA, 5.25%, 9/15/18,
(Callable 9/15/17 @ 100) $ 500,000 $ 545,710
State of Michigan, Trunk Line, Series
A, 5.25%, 11/1/13 600,000 657,954
Strategic Fund, International
Project, 4.75%, 8/1/11 (c) 2,240,000 2,341,472
Strategic Fund, International
Project, 5.00%, 8/1/13 820,000 873,538
Strategic Fund, Solid Waste
Management Project, AMT,
4.63%, 12/1/12 1,000,000 957,410
Wyandotte Electric, Series A, AMT,
MBIA, 5.00%, 10/1/13 600,000 629,382
Wyandotte Electric, Series A, AMT,
MBIA, 4.50%, 10/1/14 600,000 612,258
------------
18,921,923
------------
Minnesota (2.4%)
Housing Finance Agency, Series F,
AMT, 4.55%, 7/1/12,
(Callable 7/1/11 @ 100) 1,130,000 1,135,424
St Paul Housing & Redevelopment
Authority, Smith Avenue Transit
Center, 3.50%, 6/1/12,
(Callable 6/1/10 @ 100) 2,000,000 2,002,740
------------
3,138,164
------------
Missouri (2.6%)
City of Brentwood, Brentwood Square
Project, 4.13%, 5/1/11 245,000 246,722
Missouri State Highways & Transit
Commission, 4.00%, 5/1/15 425,000 437,899
Missouri State Highways & Transit
Commission, 4.25%, 5/1/16 525,000 546,404
Missouri State Highways & Transit
Commission, 4.25%, 5/1/17 1,030,000 1,065,690
Missouri State Highways & Transit
Commission, 4.50%, 5/1/17 1,070,000 1,126,828
------------
3,423,543
------------
Nebraska (0.7%)
Investment Finance Authority, Single
Family Housing, Series C, AMT,
3.75%, 9/1/11 220,000 218,922
Investment Finance Authority, Single
Family Housing, Series C, AMT,
3.85%, 3/1/12 130,000 128,927
Investment Finance Authority, Single
Family Mortgage, Series D, AMT,
GNMA-FNMA-FHLMC, 4.10%,
9/1/10 240,000 239,801
Investment Finance Authority, Single
Family Mortgage, Series D, AMT,
GNMA-FNMA-FHLMC, 4.25%,
9/1/11 340,000 339,990
------------
927,640
------------
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Nevada (1.1%)
County of Clark, GO, FSA, 4.50%,
6/1/17, (Callable 6/1/16 @ 100) $ 1,325,000 $ 1,381,723
Douglas County, Solid Waste Disposal,
GO, AMT, MBIA, 3.75%, 12/1/09 100,000 100,962
------------
1,482,685
------------
New Jersey (2.1%)
State Turnpike Authority, Series A,
ETM, MBIA, 6.00%, 1/1/13 1,925,000 2,155,692
State Turnpike Authority, Series A,
MBIA, 6.00%, 1/1/13 575,000 632,948
------------
2,788,640
------------
New Mexico (3.2%)
County of Bernalillo, 5.25%, 4/1/27 500,000 531,055
Mortgage Finance Authority, Single
Family Mortgage, Class I, AMT,
GNMA-FNMA-FHLMC, 4.05%,
7/1/26, (Callable 7/1/15 @ 100) 515,000 496,090
Mortgage Finance Authority, Single
Family Mortgage, Series A, AMT,
GNMA-FNMA-FHLMC, 5.50%,
7/1/36, (Callable 1/1/15 @ 102) (a) 200,000 201,724
Mortgage Finance Authority, Single
Family Mortgage, Series A2, Class I,
AMT, GNMA-FNMA-FHLMC, 3.90%,
1/1/19, (Callable 1/1/16 @ 100) 75,000 74,619
Mortgage Finance Authority, Single
Family Mortgage, Series A2, Class I,
AMT, GNMA-FNMA-FHLMC, 4.40%,
1/1/27, (Callable 1/1/16 @ 100) 2,000,000 1,972,800
Taos County, Educational
Improvements, ETM, 3.88%, 10/1/11 565,000 583,899
University of New Mexico, System
Implements, Series A, FSA, 5.00%,
6/1/21, (Callable 6/1/17 @ 100) 365,000 382,206
------------
4,242,393
------------
New York (1.4%)
City of New York, Series E, GO,
5.00%, 8/1/16 750,000 807,758
New York State Thruway Authority,
Series A, 5.00%, 4/1/21,
(Callable 4/1/18 @ 100) 500,000 526,585
New York State Thruway Authority,
Series A, 5.00%, 4/1/22,
(Callable 4/1/18 @ 100) 500,000 524,165
------------
1,858,508
------------
Ohio (3.6%)
Berea, GO, 5.13%, 12/1/13 785,000 826,668
County of Cuyahoga Capital
Improvements, GO, 5.25%, 12/1/18,
(Callable 12/1/14 @ 100) 915,000 986,224
Housing Finance Agency, Residential
Mortgage, Series C, AMT,
GNMA-FNMA, 3.55%, 3/1/10 990,000 995,395
Continued
122
Intermediate Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Ohio, continued
Housing Finance Agency, Residential
Mortgage, Series C, AMT,
GNMA-FNMA, 3.70%, 3/1/11 $ 995,000 $ 990,851
Housing Finance Agency, Residential
Mortgage, Series C, AMT,
GNMA-FNMA, 4.00%, 3/1/14 500,000 487,095
State Economic Enterprise, Series 3,
AMT, 4.08%, 6/1/13 395,000 401,486
------------
4,687,719
------------
Oklahoma (0.7%)
Housing Finance Agency, Single Family
Housing, Home Ownership Loan
Program, Series B, AMT,
GNMA-FNMA-FHLMC, 4.25%,
9/1/25, (Callable 9/1/15 @ 100) 420,000 417,438
Oklahoma County, Series A, GO, W/I,
4.00%, 8/1/19, (Callable
8/1/18 @ 100) 500,000 492,565
------------
910,003
------------
Oregon (1.5%)
State Department of Transportation,
Series A, 5.25%, 11/15/16,
(Prerefunded 11/15/14 @ 100) 1,775,000 1,975,042
------------
Pennsylvania (3.0%)
Allegheny County Airport Authority,
Series B, AMT, FGIC, 5.00%, 1/1/16 1,000,000 991,420
Allegheny County Hospital
Development Authority, University
of Pittsburgh Medical Center, Series
A, 5.00%, 9/1/17 1,000,000 1,057,480
Higher Educational Facilities
Authority, Widener University, 3.60%,
7/15/11 250,000 249,788
Higher Educational Facilities
Authority, Widener University, 3.75%,
7/15/12 405,000 404,992
Lehigh Northampton Airport Authority,
Series A, AMT, MBIA, 5.00%, 1/1/19,
(Callable 1/1/15 @ 100) 1,175,000 1,185,845
------------
3,889,525
------------
Puerto Rico (3.5%)
Commonwealth of Puerto Rico, Series
A, GO, 5.25%, 7/1/22,
(Callable 7/1/16 @ 100) 1,000,000 999,950
Commonwealth of Puerto Rico, Series
A, GO, 5.00%, 7/1/30, (Mandatory
Put 7/1/12 @ 100) (a) 2,000,000 2,021,100
Government Development Bank, Series
C, AMT, 5.25%, 1/1/15 1,500,000 1,491,870
------------
4,512,920
------------
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
South Carolina (0.7%)
Anderson County School District No.
2, Series B, GO, 6.00%, 3/1/13,
(Prerefunded 3/1/10 @101) $ 890,000 $ 951,997
------------
Tennessee (2.9%)
Housing Development Agency, Series
A, 4.00%, 7/1/10 1,100,000 1,114,894
Metropolitan Nashville Airport
Authority, Series C, AMT, FGIC,
5.38%, 7/1/14, (Callable
9/8/08 @ 102) 2,570,000 2,623,610
------------
3,738,504
------------
Texas (5.7%)
Dallas-Fort Worth International
Airport Facilities Improvement Corp.,
Series A, AMT, XLCA, 5.00%,
11/1/15, (Callable 11/1/09 @ 100) 2,000,000 2,000,080
Longview Independent School District,
GO, PSF, W/I, 4.75%, 2/15/36,
(Callable 8/15/18 @ 100) 500,000 477,100
Lower Colorado River Authority,
5.75%, 5/15/28,
(Callable 5/15/15 @ 100) 1,500,000 1,559,505
North Texas Tollway Authority, Series
A, 6.00%, 1/1/23,
(Callable 1/1/18 @ 100) 1,000,000 1,053,540
Spring Independent School District,
Series A, GO, PSF, W/I, 5.00%,
8/15/16 1,000,000 1,088,840
Texas Municipal Power Agency,
AMBAC, 4.00%, 9/1/12, (Callable
9/8/08 @ 100) 500,000 500,355
White Settlement Independent School
District, GO, PSF, 4.50%, 8/15/15 1,000,000 755,480
------------
7,434,900
------------
Virginia (1.7%)
City of Richmond, GO, FGIC, 5.38%,
7/15/13, (Prerefunded
7/15/11 @ 101) 2,000,000 2,171,280
------------
Washington (4.7%)
Grant County Public Utility District
No. 2 Priest Rapids, Series H, FSA,
5.00%, 1/1/11 (c) 2,485,000 2,617,202
King County School District No. 415
Kent, Series A, GO, 5.55%, 12/1/11 2,000,000 2,165,960
Valley Regional Fire Authority, King
& Pierce Counties, GO, 4.00%,
12/1/19, (Callable 12/1/18 @ 100) 870,000 849,042
Yakima County, GO, AMBAC, 5.25%,
12/1/16, (Callable 12/1/12 @ 100) 425,000 447,423
------------
6,079,627
------------
Total Municipal Bonds 125,927,878
------------
Continued
123
Intermediate Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Demand Notes (0.8%)
Michigan (0.8%)
Michigan Technical University, Series
A, AMBAC, 5.00%, 8/6/08 (a) (d) $ 1,000,000 $ 1,000,000
------------
Total Municipal Demand Notes 1,000,000
------------
Shares
------------
Money Markets (0.8%)
AIM TFIT Tax-Free Cash Reserve
Portfolio (b) 111 111
Dreyfus Tax Exempt Cash
Management (b) 160,272 160,272
Goldman Sachs Financial Square Funds -
Tax-Free Money Market Fund (b) 11,751 11,751
Merrill Lynch Funds For Institutions
Series - Institutional Tax-Exempt
Fund (b) 820,974 820,974
------------
Total Money Markets 993,108
------------
Total Investments (Cost $126,181,688) - 98.0% 127,920,986
Other assets in excess of liabilities - 2.0% 2,635,172
------------
NET ASSETS - 100.0% $130,556,158
============
Notes to Schedule of Investments
** Rate represents the effective yield at purchase.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) All or part of this security has been designated as collateral for when
issued transactions.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
AMBAC - American Municipal Bond Assurance Corp.
AMT - Alternative Minimum Tax Paper
CIFG - CDC IXIX Financial Guaranty Services, Inc.
CP - Certificates of Participation
ETM - Escrowed to Maturity
FGIC - Financial Guaranty Insurance Co.
FHLMC - Federal National Mortgage Association
FNMA - Federal National Mortgage Association
FSA - Financial Security Assurance, Inc.
GNMA - Government National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
PSF - Public School Fund
Q-SBLF - Qualified School Bond Loan Fund
W/I - When Issued
XLCA - XL Capital Assurance
Continued
Investment concentration as a percentage of net assets, by industry:
Airport 10.3%
Bond Bank 1.9%
Development 4.7%
Education 1.2%
Facilities 2.3%
General 8.1%
General Obligation 14.3%
Higher Education 5.5%
Housing 5.4%
Investment Companies 0.7%
Medical 9.8%
Multifamily Housing 0.4%
Municipal 1.0%
Pollution 0.7%
Power 5.9%
School District 7.5%
Single Family Housing 3.6%
Student Loan 0.8%
Transportation 12.3%
Utilities 0.8%
Water 0.8%
See notes to schedules of investments
and notes to financial statements.
124
Ohio Municipal Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds (95.7%)
California (0.5%)
California State Department of Water
Resources, Central Valley Project,
Series AE, 5.00%, 12/1/22, (Callable
6/1/18 @ 100) $ 500,000 $ 526,130
------------
Colorado (1.9%)
Denver City & County Airport System,
Series A, FGIC, 5.00%, 11/15/19,
(Callable 11/15/16 @ 100) 1,765,000 1,800,847
------------
Michigan (0.5%)
Calumet Laurium & Keweenah Public
Schools, GO, FSA, Q-SBLF, 4.00%,
5/1/15 460,000 478,731
------------
New Mexico (0.6%)
County of Bernalillo, 5.25%, 4/1/27 500,000 531,055
------------
Ohio (87.2%)
Akron Bath Copley Joint Township
Hospital District, Akron General
Health System, Series A, 5.00%,
1/1/14 200,000 206,486
Akron Bath Copley Joint Township
Hospital District, Akron General
Health System, Series A, 5.00%,
1/1/15 320,000 329,703
Akron Bath Copley Joint Township
Hospital District, Summa Health
System, Series A, RADIAN, 5.25%,
(Callable 11/15/14 @ 100) (c) 1,000,000 1,053,400
American Municipal Power-Ohio, Inc.,
AMBAC, 5.25%, 1/1/11 1,825,000 1,928,259
Barberton City School District, GO,
W/I, 4.50%, 12/1/33, (Callable
6/1/18 @ 100) 355,000 330,125
Beavercreek Local School District,
GO, FGIC, 6.60%, 12/1/15 1,500,000 1,725,240
Cincinnati City School District,
Classroom Construction and
Improvements, GO, FGIC, 5.00%,
12/1/17 1,000,000 1,073,900
Cincinnati City School District,
Classroom Facilities Construction
and Improvements, GO, FSA, 5.25%,
12/1/14, (Prerefunded
12/1/13 @ 100) (c) 1,500,000 1,655,490
City of Cleveland, GO, AMBAC, 5.25%,
12/1/17, (Callable 12/1/14 @ 100) 1,125,000 1,206,056
City of Cleveland, GO, FSA, CR,
AMBAC, 5.50%, 10/1/19 2,000,000 2,250,460
City of Columbus Sewer Revenue,
Series A, 5.00%, 6/1/23, (Callable
12/1/17 @ 100) 1,000,000 1,046,970
City of North Olmsted, GO, AMBAC,
6.20%, 12/1/11 3,000,000 3,173,700
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Ohio, continued
City of Olentangy Local School
District, GO, FSA, 5.00%, 12/1/22,
(Callable 6/1/16 @ 100) $ 2,000,000 $ 2,082,600
County of Cuyahoga Capital
Improvements, GO, 5.25%, 12/1/18,
(Callable 12/1/14 @ 100) 2,000,000 2,155,680
County of Cuyahoga Jail Facilities,
GO, MBIA-IBC, 5.25%, 10/1/13 3,000,000 3,179,970
County of Erie Hospital Facilities,
Firelands Regional Medical Center,
Series A, 5.00%, 8/15/08 400,000 400,204
County of Erie Hospital Facilities,
Firelands Regional Medical Center,
Series A, 5.50%, 8/15/12 250,000 260,890
County of Hamilton Hospital
Facilities, Cincinnati Children's
Hospital, Series J, FGIC, 4.50%,
5/15/14 1,510,000 1,519,830
County of Lucas, GO, AMBAC-TCRS,
6.65%, 12/1/12, (Callable
12/1/08 @ 100) 100,000 101,229
Dayton-Montgomery County Port
Authority, Series A, AMT, 4.75%,
11/15/15 470,000 473,506
Dayton-Montgomery County Port
Authority, Parking Garage Project,
Series A, 5.00%, 11/15/17, (Callable
5/15/14 @ 100) 860,000 865,943
Franklin County, American Chemical
Society Project, 5.50%, 10/1/12,
(Callable 10/1/09 @ 101) 2,270,000 2,347,906
Franklin County Convention Facilities
Authority, AMBAC, 5.00%, 12/1/26,
(Callable 12/1/15 @ 100) 3,000,000 3,045,720
Franklin County, Online Computer
Library Center, 5.00%, 4/15/10 2,270,000 2,349,700
Franklin County, Trinity Health
Credit, Series A, 5.00%, 6/1/13 475,000 506,122
Housing Finance Agency, Residential
Mortgage, Series C, AMT,
GNMA-FNMA, 3.90%, 3/1/13 995,000 985,896
Housing Finance Agency, Series A,
AMT, GNMA, 3.65%, 9/1/11 570,000 557,460
Housing Finance Agency, Series A,
AMT, GNMA, 3.30%, 9/1/30,
(Callable 3/1/13 @ 100) 610,000 593,682
Housing Finance Agency, Series A3,
AMT, 3.95%, 9/1/08 225,000 225,225
Housing Finance Agency, Series A3,
AMT, 4.35%, 9/1/10 140,000 140,906
Housing Finance Agency, Series A3,
AMT, 4.55%, 9/1/11 145,000 146,162
Housing Finance Agency, Series C,
AMT, GNMA, 4.63%, 9/1/31,
(Callable 1/1/11 @ 100) 785,000 777,888
Kettering City School District, GO,
FSA, 4.75%, 12/1/20, (Callable
6/1/17 @ 100) 1,860,000 1,929,118
Continued
125
Ohio Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Ohio, continued
Miami County Hospital Facilities,
Upper Valley Medical Center,
5.25%, 5/15/15 $ 500,000 $ 508,795
Municipal Electric Generation Agency,
Joint Venture, AMBAC, 5.00%,
2/15/14 1,885,000 2,021,078
Ohio State Higher Educational
Facility Commission, Denison
University Project, 5.50%, 11/1/12,
(Callable 11/1/11 @ 101) 1,000,000 1,083,060
Ohio State Higher Educational
Facility Commission, John Carroll
University, 5.25%, 11/15/14,
(Callable 11/15/13 @ 100) 1,435,000 1,533,570
Ohio State Higher Educational
Facility Commission, John Carroll
University, 5.25%, 11/15/15,
(Callable 11/15/13 @ 100) 1,490,000 1,581,367
Ohio State Higher Educational
Facility Commission, Xavier
University Project, ETM, CIFG,
5.00%, 5/1/16 2,010,000 2,170,298
Ohio State Higher Educational
Facility Commission, Xavier
University Project, CIFG, 5.00%,
5/1/19, (Prerefunded
5/1/16 @ 100) 3,115,000 3,363,421
Ohio State University, Series B,
5.25%, 6/1/18, (Callable
6/1/13 @ 100) 5,880,000 6,241,503
Orrville City School District, School
Facilities Construction, GO,
AMBAC, 4.50%, 12/1/18,
(Callable 12/1/17 @ 100) 415,000 423,537
Orrville City School District, School
Facilities Construction, GO,
AMBAC, 5.00%, 12/1/20, (Callable
12/1/17 @ 100) 350,000 362,103
Orrville City School District, School
Facilities Construction, GO, AMBAC,
5.00%, 12/1/22, (Callable
12/1/17 @ 100) 500,000 510,805
Richland County Hospital Facilities,
Medcentral Health Systems, 5.00%,
11/15/15 770,000 784,522
State Economic Enterprise, Series
2002-6, AMT, 4.40%, 12/1/12 740,000 757,767
State Higher Educational Facility
Commission, Case Western Reserve
University, Series D, 6.25%, 7/1/14 6,500,000 7,235,085
State of Ohio, Common Schools, GO,
5.00%, 6/15/13 1,000,000 1,081,810
State of Ohio, Higher Education,
Series A, GO, 4.25%, 5/1/16 2,310,000 2,402,608
State of Ohio, Higher Educational
Facility Commission, Mount Union
College Project, 4.75%, 10/1/15 385,000 406,722
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Ohio, continued
State of Ohio, Higher Educational
Facility Commission, Mount Union
College Project, 4.75%, 10/1/16 $ 300,000 $ 315,726
State of Ohio, Higher Educational
Facility Commission, Mount Union
College Project, 5.25%, 10/1/21,
(Callable 10/1/16 @ 100) 980,000 1,018,798
State of Ohio, Higher Educational
Facility Commission, Ohio
Northern University Project,
3.50%, 5/1/10 475,000 479,702
State of Ohio, Higher Educational
Facility Commission, Ohio
Northern University Project,
3.88%, 5/1/13 645,000 651,798
Steubenville Hospital Facilities,
Trinity Health, 2.84%, 10/1/30 (a) 970,000 756,396
Toledo-Lucas County Port Authority,
Crocker Park Public Improvement
Project, 5.00%, 12/1/08 1,155,000 1,163,628
Toledo-Lucas County Port Authority,
Crocker Park Public Improvement
Project, 5.00%, 12/1/09 1,110,000 1,136,773
University of Akron, FGIC, 5.50%,
1/1/20, (Prerefunded
1/1/10 @ 101) 2,015,000 2,126,026
University of Cincinnati, University
Center Project, CP, MBIA,
5.00%, 6/1/10 300,000 312,069
------------
81,054,393
------------
Pennsylvania (1.1%)
Allegheny County Hospital
Development Authority, University
of Pittsburgh Medical Center, Series
A, 5.00%, 9/1/16 1,000,000 1,053,560
------------
Puerto Rico (2.2%)
Commonwealth of Puerto Rico, Series
A, GO, 5.00%, 7/1/30, (Mandatory
Put 7/1/12 @ 100) (a) 2,000,000 2,021,100
------------
Texas (1.7%)
City of Pflugerville Independent
School District, GO, PSF, 5.00%,
2/15/33, (Callable 2/15/17 @ 100) 1,000,000 1,006,890
Spring Independent School District,
Series A, GO, PSF, 5.00%, 8/15/15 500,000 544,415
------------
1,551,305
------------
Total Municipal Bonds 89,017,121
------------
Municipal Demand Notes (1.4%)
Ohio (1.4%)
Air Quality Development Authority,
Pollution Control, Series C, 2.30%,
8/1/08, (LOC: Wachovia Corp.) (a) (d) 300,000 300,000
Continued
126
Ohio Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Demand Notes, continued
Ohio, continued
Air Quality Development Authority,
Pollution Control, Series C, AMT,
2.40%, 8/1/08, (LOC: Wachovia
Corp.) (a) (d) $ 1,000,000 $ 1,000,000
------------
1,300,000
------------
Total Municipal Demand Notes 1,300,000
------------
Shares
------------
Money Markets (0.1%)
Dreyfus Tax Exempt Cash
Management (b) 46,640 46,640
Goldman Sachs Financial Square
Funds - Tax-Free Money Market
Fund (b) 27,002 27,002
------------
Total Money Markets 73,642
------------
Total Investments (Cost $89,532,832) - 97.2% 90,390,763
Other assets in excess of liabilities - 2.8% 2,601,371
------------
NET ASSETS - 100.0% $ 92,992,134
============
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Investment is in Institutional Shares of underlying fund.
(c) All or part of this security has been designated as collateral for a when
issued transaction.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
AMBAC - American Municipal Bond Assurance Corp.
AMT - Alternative Minimum Tax Paper
CIFG - CDC IXIS Financial Guaranty Services, Inc.
CP - Certificates of Participation
CR - Custodian Receipt
ETM - Escrowed to Maturity
FGIC - Financial Guaranty Insurance Co.
FNMA - Federal National Mortgage Association
FSA - Financial Security Assurance, Inc.
GNMA - Government National Mortgage Association
GO - General Obligation
IBC - Bond Certificate
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
PSF - Public School Fund
Q-SBLF - Qualified School Bond Loan Fund
Radian - Radian Guaranty, Inc.
TCRS - Temporary Custodian Receipts
W/I - When Issued
Continued
Investment concentration as a percentage of net assets, by industry:
Airport 1.9%
Development 3.3%
Education 0.4%
Facilities 3.3%
General 5.6%
General Obligation 18.9%
Higher Education 30.7%
Housing 2.8%
Investment Companies 0.1%
Medical 7.9%
Pollution 1.4%
Power 4.3%
School District 12.7%
Single Family Housing 0.8%
Transportation 1.4%
Utilities 1.1%
Water 0.6%
See notes to schedules of investments
and notes to financial statements.
127
Michigan Municipal Bond
Schedule of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds (96.7%)
Michigan (95.5%)
Avondale School District, GO, Q-SBLF,
5.00%, 5/1/10 $ 800,000 $ 833,240
Calumet Laurium & Keweenah Public
Schools, GO, FSA, Q-SBLF, 3.75%,
5/1/13 220,000 226,838
Calumet Laurium & Keweenah Public
Schools, GO, FSA, Q-SBLF, 4.00%,
5/1/14 455,000 474,656
Canton Charter Township Capital
Improvements, GO, FSA, 5.00%,
4/1/14 100,000 108,379
Chippewa Valley Schools, GO, FSA,
Q-SBLF, 5.00%, 5/1/14 500,000 542,180
City of Ann Arbor Water Supply
System, Series Y, MBIA, 5.00%,
2/1/10 880,000 913,396
City of Grand Haven, GO, FSA, 3.75%,
4/1/16 245,000 249,733
City of Zeeland Water Supply System,
AMT, 4.00%, 10/1/08 270,000 270,578
City of Zeeland Water Supply System,
AMT, 4.00%, 10/1/09 280,000 282,638
Clarkston Community Schools, GO,
FSA-CR, Q-SBLF, 5.25%, 5/1/29,
(Prerefunded 5/1/13 @ 100) 1,000,000 1,095,420
Coldwater Electric, AMT, XLCA,
4.50%, 8/1/11 515,000 530,084
Coldwater Electric, AMT, XLCA,
4.50%, 8/1/13 570,000 585,367
Detroit, Cobo Hall, MBIA, 5.00%,
9/30/08 1,600,000 1,605,552
Detroit Sewer Disposal, MBIA,
5.50%, 7/1/16 1,500,000 1,637,340
Detroit Water Supply System, Series
A, FSA, 5.00%, 7/1/15 1,000,000 1,067,240
Essexville-Hampton Public Schools,
GO, FSA, Q-SBLF, 4.00%, 5/1/14 250,000 260,800
Fremont Public School District, GO,
FSA, Q-SBLF, 3.25%, 5/1/13 330,000 333,026
Goodrich Area School District, GO,
FSA, Q-SBLF, 3.50%, 5/1/13 395,000 400,333
Grand Rapids & Kent County Joint
Building Authority, GO, 5.50%,
10/1/09 605,000 630,114
Higher Education Facilities
Authority, Hope College Project,
4.60%, 10/1/08 320,000 320,118
Higher Education Student Loan
Authority, Series XII-W, AMT,
AMBAC, 4.60%, 9/1/08 1,000,000 999,170
Higher Education Student Loan
Authority, Series XII-W, AMT,
AMBAC, 4.75%, 3/1/09 200,000 202,892
Higher Education Student Loan
Authority, Series XVII-I, AMT,
AMBAC, 3.65%, 3/1/10 1,000,000 1,006,370
Continued
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Michigan, continued
Kalamazoo Water Supply System,
AMBAC, 5.00%, 9/1/14 $ 450,000 $ 490,738
Kalamazoo Water Supply System,
AMBAC, 5.00%, 9/1/15 510,000 557,879
Kent Hospital Finance Authority,
Spectrum Health, Series A, 5.25%,
1/15/09 1,075,000 1,089,502
Kent Hospital Finance Authority,
Spectrum Health, Series B, 5.00%,
7/15/11 600,000 623,256
Michigan State South Central Power
Agency, AMBAC, 4.50%, 11/1/11 500,000 512,080
Michigan State Trunk Line, FGIC,
5.00%, 9/1/14 1,000,000 1,079,120
Michigan State University, Series A,
AMBAC, 4.00%, 2/15/12 450,000 463,887
Mount Clemens Community School
District, GO, Q-SBLF, 5.50%, 5/1/12,
(Prerefunded 11/1/11 @ 100) 1,075,000 1,165,612
Municipal Bond Authority,
Government Loan Program, Series
C, 5.00%, 5/1/10 1,000,000 1,039,470
Municipal Bond Authority, State Clean
Water Revolving Fund, 5.00%,
10/1/13 1,000,000 1,084,880
Ovid Elsie Area Schools, GO, FSA,
Q-SBLF, 4.00%, 5/1/15 525,000 546,378
Portage Public Schools, Building and
Site, GO, FSA, 3.25%, 5/1/13 250,000 250,648
South Lyon Community Schools, Series
II, GO, MBIA, 5.25%, 5/1/18,
(Prerefunded 5/1/14 @ 100) 675,000 743,270
State Building Authority, Facilities
Program, Series I, AMBAC,
5.00%, 10/15/29,
(Mandatory Put10/15/11 @ 100) (a) 1,000,000 1,059,190
State Hospital Finance Authority,
Edward W. Sparrow Hospital,
5.00%, 11/15/12 250,000 260,925
State Hospital Finance Authority,
Henry Ford Health System, Series
A, 5.00%, 11/15/14 250,000 261,762
State Hospital Finance Authority,
Holland Community Hospital,
Series A, 4.15%, 1/1/12 450,000 452,686
State Hospital Finance Authority,
Marquette General Hospital, Series
A, 5.00%, 5/15/10 905,000 916,448
State Hospital Finance Authority,
McLaren Health Care, Series C,
4.00%, 8/1/08 405,000 405,000
State Hospital Finance Authority,
Oakwood Healthcare System, Series
A, 5.00%, 7/15/11 530,000 544,718
State Housing Development Authority,
Parkway Meadows Project, FSA,
3.50%, 10/15/09 710,000 722,659
Continued
128
Michigan Municipal Bond
Schedule of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
Principal
Amount Value
------------ ------------
Municipal Bonds, continued
Michigan, continued
State Housing Development Authority,
Rental Housing, Series B, AMT,
FSA, 4.00%, 4/1/12 $ 145,000 $ 144,458
State Housing Development Authority,
Rental Housing, Series B, AMT,
FSA, 4.00%, 10/1/12 195,000 194,179
State Housing Development Authority,
Rental Housing, Series B, AMT,
FSA, 4.05%, 4/1/13 100,000 99,200
State Housing Development Authority,
Rental Housing, Series B, AMT,
FSA, 4.05%, 10/1/13 210,000 208,160
State Housing Development Authority,
Rental Housing, Series D, AMT,
3.75%, 10/1/11 500,000 493,800
State of Michigan, Series A, CP,
MBIA, 5.00%, 9/1/31, (Mandatory
Put 9/1/11 @ 100) (a) 2,000,000 2,105,700
State of Michigan Comprehensive
Transportation, Series A, FSA,
5.50%, 5/15/11 950,000 1,019,626
State of Michigan, Grant Antic
Buildings, FSA, 4.25%, 9/15/12 1,000,000 1,034,270
Strategic Fund, Solid Waste
Management Project, AMT, 4.63%,
12/1/12 250,000 239,352
University of Michigan Hospital,
5.00%, 12/1/09 510,000 528,493
Warren Consolidated School District,
GO, FSA, 5.00%, 5/1/16 750,000 816,630
Wayne County Airport Authority,
AMT, MBIA, 5.00%, 12/1/09 1,000,000 1,022,420
Wayne County Community College,
GO, FGIC, 5.25%, 7/1/09 1,000,000 1,025,360
Wayne Westland Community Schools,
GO, FSA, Q-SBLF, 5.00%, 5/1/10 1,000,000 1,045,730
Wyandotte Electric, Series A, AMT,
MBIA, 4.50%, 10/1/11 600,000 618,840
Wyandotte Electric, Series A, AMT,
MBIA, 5.00%, 10/1/12 600,000 629,292
------------
40,071,082
------------
Puerto Rico (1.2%)
Government Development Bank, Series
C, AMT, 5.25%, 1/1/15 500,000 497,290
------------
Total Municipal Bonds 40,568,372
------------
Municipal Demand Notes (2.0%)
Michigan (2.0%)
Michigan Technical University, Series
A, AMBAC, 5.00%, 8/6/08 (a) (c) 850,000 850,000
------------
Total Municipal Demand Notes 850,000
------------
Continued
Shares Value
------------ ------------
Money Markets (0.1%)
AIM TFIT Tax-Free Cash Reserve
Portfolio (b) 188 $ 188
Dreyfus Tax Exempt Cash
Management (b) 30,260 30,260
Goldman Sachs Financial Square
Funds - Tax-Free Money Market
Fund (b) 495 495
Merrill Lynch Funds For Institutions
Series - Institutional Tax-Exempt
Fund (b) 5,812 5,812
------------
Total Money Markets 36,755
------------
Total Investments (Cost $41,126,406) - 98.8% 41,455,127
Other assets in excess of liabilities - 1.2% 487,376
------------
NET ASSETS - 100.0% $ 41,942,503
============
Notes to Schedule of Investments
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
AMBAC - American Municipal Bond Assurance Corp.
AMT - Alternative Minimum Tax Paper
CP - Certificates of Participation
CR - Custodian Receipt
FGIC - Financial Guaranty Insurance Co.
FSA - Financial Security Assurance, Inc.
GO - General Obligation
MBIA - Municipal Bond Investors Assurance
Q-SBLF - Qualifed School Bond Loan Fund
XLCA - XL Capital Assurance
Investment concentration as a percentage of net assets, by industry:
Airport 2.4%
Development 1.2%
Facilities 7.9%
General 10.1%
General Obligation 3.3%
Higher Education 6.3%
Housing 4.4%
Investment Companies 0.1%
Medical 12.1%
Pollution 0.6%
Power 6.9%
School District 20.8%
Student Loan 5.3%
Transportation 5.0%
Utilities 3.9%
Water 8.5%
See notes to schedules of investments
and notes to financial statements.
129
Fifth Third Funds
Notes to Schedules of Investments
July 31, 2008
- --------------------------------------------------------------------------------
Cost and appreciation (depreciation) of investments for federal income tax
purposes at July 31, 2008 is as follows:
Cost of Net
Investments Gross Gross Unrealized
for Federal Unrealized Unrealized Appreciation/
Tax Purposes Appreciation (Depreciation) (Depreciation)
------------- ------------- -------------- --------------
Small Cap Growth $ 94,665,098 $ 13,864,832 $ (7,943,738) $ 5,921,094
Mid Cap Growth 288,239,748 31,508,330 (20,878,487) 10,629,843
Quality Growth 448,178,212 84,265,051 (9,607,934) 74,657,117
Structured Large Cap Plus 139,670,647 30,641,042 (23,527,028) 7,114,014
Equity Index 202,537,413 204,864,794 (21,173,620) 183,691,174
Micro Cap Value 50,921,483 4,529,645 (6,766,907) (2,237,262)
Small Cap Value 114,608,833 9,732,505 (8,752,201) 980,304
All Cap Value 300,429,011 41,219,443 (32,479,393) 8,740,050
Disciplined Large Cap Value 523,321,130 67,619,486 (63,593,574) 4,025,912
LifeModel Aggressive(SM) 168,219,469 9,234,598 (9,005,014) 229,584
LifeModel Moderately Aggressive(SM) 281,326,430 16,674,032 (14,124,392) 2,549,640
LifeModel Moderate(SM) 436,358,906 18,761,560 (34,385,663) (15,624,103)
LifeModel Moderately Conservative(SM) 86,772,570 4,069,902 (6,557,053) (2,487,151)
LifeModel Conservative(SM) 54,400,800 1,167,887 (4,900,201) (3,732,314)
Strategic Income 160,600,942 2,025,379 (19,582,176) (17,556,797)
Dividend Growth 24,228,400 2,237,211 (1,047,013) 1,190,198
International Equity 494,585,571 27,044,848 (43,780,758) (16,735,910)
High Yield 67,692,251 219,270 (4,933,323) (4,714,053)
Total Return Bond 679,561,366 3,460,780 (56,538,432) (53,077,652)
Short Term Bond 250,783,360 1,745,580 (5,278,518) (3,532,938)
Municipal Bond 43,343,530 781,471 (498,094) 283,377
Intermediate Municipal Bond 126,162,848 2,909,737 (1,151,599) 1,758,138
Ohio Municipal Bond 89,518,492 1,506,221 (633,950) 872,271
Michigan Municipal Bond 41,105,736 460,292 (110,901) 349,391
Open futures contracts as of July 31, 2008:
Unrealized
Number of Notional Appreciation/ Market
Contracts Contract Type Amount (Depreciation) Value
--------- ---------------------------------- ------------ -------------- ------------
Structured Large Cap Plus 2 S&P 500 Index, 9/18/08 $ 614,258 $ 19,292 $ 633,550
==== ============ ============ ============
Equity Index 12 S&P 500 Index, 9/18/08 3,924,813 (123,513) 3,801,300
==== ============ ============ ============
International Equity 5 Australian Dollar Futures, 9/15/08 482,072 (13,622) 468,450
11 British Pound Futures, 9/15/08 1,364,938 (6,232) 1,358,706
13 Euro Currency Futures, 9/15/08 2,577,308 (49,295) 2,528,013
13 FTSE 100 Index Futures, 9/19/08 1,359,296 33,590 1,392,886
16 Japanese Yen Futures, 9/15/08 1,889,843 (31,443) 1,858,400
5 Share Price Index 200 Futures,
9/18/08 576,631 9,280 585,911
50 STOXX 50 Index, 9/19/08 2,497,485 137,883 2,635,368
15 TOPIX Index Futures, 9/12/08 1,763,103 46,463 1,809,566
---- ------------ ------------ ------------
128 12,510,676 126,624 12,637,300
==== ============ ============ ============
Total Return Bond 85 U.S. Treasury 10-Year Note,
9/19/08 9,830,998 (70,607) 9,760,391
295 U.S. Treasury 5-Year Note, 9/30/08 32,382,549 461,553 32,844,102
---- ------------ ------------ ------------
380 42,213,547 390,946 42,604,493
==== ============ ============ ============
Short Term Bond 160 U.S. Treasury 2-Year Note, 9/30/08 33,764,939 155,061 33,920,000
==== ============ ============ ============
See notes to financial statements.
130
Fifth Third Funds
Notes to Schedules of Investments, continued
July 31, 2008
- --------------------------------------------------------------------------------
The table below reflects Dividend Growth's activities in written options, all of
which were for purposes of earning additional income during the period. No other
Funds engaged in written option contracts during the period ended July 31, 2008.
Balance at Options Options Options Balance at
Number of Contracts July 31, 2007 Written terminated Expired January 31, 2008
------------- ------- ---------- -------- ----------------
Dividend Growth 0 280 (125) (155) 0
Premiums
Dividend Growth $ 0 20,795 (3,625) (17,170) $ 0
Open Credit Default Swaps as of July 31, 2008:
Unrealized
Buy/Sell (Pay)/Receive Notional Appreciation/
Counterparty Contract Type Protection Fixed Rate Expiration Date Amount (Depreciation)
------------ ---------------------- ---------- ------------- --------------- --------- --------------
Total Return Bond UBS Warburg Dow Jones CDX N.A. IG9 Sell 0.60% 12/20/12 5,000,000 $ (152,941)
-----------
See notes to financial statements.
131
Fifth Third Funds
Statements of Assets and Liabilities
July 31, 2008
- --------------------------------------------------------------------------------
Small Cap Mid Cap Quality
Growth Growth Growth
------------- ------------- -------------
Assets:
Investments, at cost $ 92,115,425 $ 283,049,019 $ 429,206,533
Net unrealized appreciation/(depreciation) 6,550,556 11,129,971 75,094,073
------------- ------------- -------------
Investments, at value 98,665,981 294,178,990 504,300,606
Investment in affiliates, at value (cost $1,920,211, $4,690,601,
$18,534,723, $93,723, $1,663,530, $3,376,965, $5,916,928,
$15,874,134, $689,415, and $4,610,621; respectively) 1,920,211 4,690,601 18,534,723
------------- ------------- -------------
Total Investments 100,586,192 298,869,591 522,835,329
Cash -- -- --
Interest, dividends and other receivables 30,066 92,635 300,665
Receivable for investments sold 635,848 4,559,718 14,186,741
Receivable for Fund shares sold 19,501 19,947 183,997
Receivable from Advisor and affiliates -- -- --
Prepaid expenses and other assets 23,840 77,387 40,553
------------- ------------- -------------
Total Assets 101,295,447 303,619,278 537,547,285
------------- ------------- -------------
Liabilities:
Securities sold short at value (Proceeds $--, $--, $--, $--
$--, $--, $--, $--, $--, $52,319,066 and $--; respectively) -- -- --
Cash overdraft -- 3,236,878 8,250,705
Payable for investments purchased 266,909 2,021,370 14,354,629
Payable upon return of securities loaned 22,191,345 63,530,259 35,511,535
Payable for Fund shares redeemed 50,575 195,797 246,279
Payable for variation margin on futures contracts -- -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 51,633 190,743 376,417
Distribution and administrative servicing fee 3,073 8,292 33,483
Payable for dividends on securities sold short -- -- --
Other 38,954 82,795 174,546
------------- ------------- -------------
Total Liabilities 22,602,489 69,266,134 58,947,594
------------- ------------- -------------
Net Assets:
Paid-in Capital 73,154,477 206,308,687 393,671,264
Accumulated net investment income/(loss) (5,370) 246,177 (1)
Accumulated net realized gain/(loss) from investment
transactions, options contracts, futures and foreign currency (1,006,705) 16,668,309 9,834,355
Net unrealized appreciation/(depreciation) on
investments, futures and foreign currency 6,550,556 11,129,971 75,094,073
------------- ------------- -------------
Net Assets $ 78,692,958 $ 234,353,144 $ 478,599,691
============= ============= =============
Market value of securities loaned $ 21,878,933 $ 64,326,137 $ 35,071,710
============= ============= =============
Net Assets:
Institutional Shares $ 66,801,071 $ 209,073,675 $ 371,614,626
Class A Shares 10,721,813 20,378,357 90,014,796
Class B Shares 897,361 4,187,412 14,165,239
Class C Shares 272,713 713,700 2,805,030
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------- ------------- -------------
Total $ 78,692,958 $ 234,353,144 $ 478,599,691
============= ============= =============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 8,260,804 17,375,450 22,421,348
Class A Shares 1,421,183 1,762,320 5,575,937
Class B Shares 129,689 392,085 932,669
Class C Shares 39,343 70,458 190,553
Select Shares NA NA NA
Preferred Shares NA NA NA
Trust Shares NA NA NA
------------- ------------- -------------
Total 9,851,019 19,600,313 29,120,507
============= ============= =============
Net Asset Value
Institutional Shares $ 8.09 $ 12.03 $ 16.57
============= ============= =============
Class A Shares - redemption price per share $ 7.54 $ 11.56 $ 16.14
============= ============= =============
Class B Shares - offering price per share* $ 6.92 $ 10.68 $ 15.19
============= ============= =============
Class C Shares - offering price per share* $ 6.93 $ 10.13 $ 14.72
============= ============= =============
Select Shares NA NA NA
============= ============= =============
Preferred Shares NA NA NA
============= ============= =============
Trust Shares NA NA NA
============= ============= =============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00%
Maximum Offering Price (100%/(100%-Maximum sales charge) of net charge)
of net asset value adjusted to the nearest cent) per share
Class A Shares $ 7.94 $ 12.17 $ 16.99
============= ============= =============
- ----------
* Redemption price per share varies by length of time shares are held.
See notes to financial statements.
132
Fifth Third Funds
Statements of Assets and Liabilities
July 31, 2008
- --------------------------------------------------------------------------------
Dividend Micro Cap Small Cap All Cap
Growth Value Value Value
------------- ------------ ------------- -------------
Assets:
Investments, at cost $ 24,060,758 $ 48,132,055 $ 111,060,572 $ 291,908,806
Net unrealized appreciation/(depreciation) 1,264,117 (1,111,364) 1,151,600 11,343,327
------------- ------------ ------------- -------------
Investments, at value 25,324,875 47,020,691 112,212,172 303,252,133
Investment in affiliates, at value (cost $1,920,211, $4,690,601,
$18,534,723, $93,723, $1,663,530, $3,376,965, $5,916,928,
$15,874,134, $689,415, and $4,610,621; respectively) 93,723 1,663,530 3,376,965 5,916,928
------------- ------------ ------------- -------------
Total Investments 25,418,598 48,684,221 115,589,137 309,169,061
Cash -- -- -- 1,805
Interest, dividends and other receivables 17,550 11,549 41,695 329,861
Receivable for investments sold -- 479,341 -- --
Receivable for Fund shares sold 1,841 42,760 78,895 147,539
Receivable from Advisor and affiliates 3,367 -- -- --
Prepaid expenses and other assets 13,448 26,993 27,793 51,935
------------- ------------ ------------- -------------
Total Assets 25,454,804 49,244,864 115,737,520 309,700,201
------------- ------------ ------------- -------------
Liabilities:
Securities sold short at value (Proceeds $--, $--, $--, $--
$--, $--, $--, $--, $--, $52,319,066 and $--; respectively) -- -- -- --
Cash overdraft -- 1,637 -- --
Payable for investments purchased 607 79,219 455,470 13,329
Payable upon return of securities loaned 5,344,714 10,927,545 25,743,204 66,082,044
Payable for Fund shares redeemed 2,154 144,702 72,823 496,433
Payable for variation margin on futures contracts -- -- -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates -- 10,246 77,433 195,951
Distribution and administrative servicing fee 1,227 5,486 1,353 30,410
Payable for dividends on securities sold short -- -- -- --
Other 23,502 81,098 24,549 91,419
------------- ------------ ------------- -------------
Total Liabilities 5,372,204 11,249,933 26,374,832 66,909,586
------------- ------------ ------------- -------------
Net Assets:
Paid-in Capital 32,378,909 42,558,204 89,115,358 221,128,385
Accumulated net investment income/(loss) 45,157 30,996 531,599 474,171
Accumulated net realized gain/(loss) from investment
transactions, options contracts, futures and foreign currency (13,605,583) (3,482,905) (1,435,869) 9,844,732
Net unrealized appreciation/(depreciation) on
investments, futures and foreign currency 1,264,117 (1,111,364) 1,151,600 11,343,327
------------- ------------ ------------- -------------
Net Assets $ 20,082,600 $ 37,994,931 $ 89,362,688 $ 242,790,615
============= ============ ============= =============
Market value of securities loaned $ 5,616,201 $ 10,600,034 $ 25,057,559 $ 68,036,286
============= ============ ============= =============
Net Assets:
Institutional Shares $ 16,555,778 $ 22,662,252 $ 86,462,833 $ 165,713,571
Class A Shares 3,073,969 10,551,766 1,681,840 52,998,504
Class B Shares 224,575 3,031,887 834,272 15,431,223
Class C Shares 228,278 1,749,026 383,743 8,647,317
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
------------- ------------ ------------- -------------
Total $ 20,082,600 $ 37,994,931 $ 89,362,688 $ 242,790,615
============= ============ ============= =============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 696,766 6,041,256 5,075,302 9,215,707
Class A Shares 131,658 3,023,756 99,892 2,996,141
Class B Shares 9,951 958,355 51,795 913,257
Class C Shares 10,415 552,444 23,880 513,007
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
------------- ------------ ------------- -------------
Total 848,790 10,575,811 5,250,869 13,638,112
============= ============ ============= =============
Net Asset Value
Institutional Shares $ 23.76 $ 3.75 $ 17.04 $ 17.98
============= ============ ============= =============
Class A Shares - redemption price per share $ 23.35 $ 3.49 $ 16.84 $ 17.69
============= ============ ============= =============
Class B Shares - offering price per share* $ 22.57 $ 3.16 $ 16.11 $ 16.90
============= ============ ============= =============
Class C Shares - offering price per share* $ 21.92 $ 3.17 $ 16.07 $ 16.86
============= ============ ============= =============
Select Shares NA NA NA NA
============= ============ ============= =============
Preferred Shares NA NA NA NA
============= ============ ============= =============
Trust Shares NA NA NA NA
============= ============ ============= =============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00% 5.00%
Maximum Offering Price (100%/(100%-Maximum sales charge) of net charge)
of net asset value adjusted to the nearest cent) per share
Class A Shares $ 24.58 $ 3.67 $ 17.73 $ 18.62
============= ============ ============= =============
Disciplined Structured
Large Cap Large Cap Equity
Value Plus Index
------------- ------------- -------------
Assets:
Investments, at cost $ 503,984,551 $191,212,262 $ 194,316,945
Net unrealized appreciation/(depreciation) 7,488,357 (3,635,472) 187,382,351
------------- ------------ -------------
Investments, at value 511,472,908 187,576,790 381,699,296
Investment in affiliates, at value (cost $1,920,211, $4,690,601,
$18,534,723, $93,723, $1,663,530, $3,376,965, $5,916,928,
$15,874,134, $689,415, and $4,610,621; respectively) 15,874,134 689,415 4,529,291
------------- ------------ -------------
Total Investments 527,347,042 188,266,205 386,228,587
Cash 801 -- 195
Interest, dividends and other receivables 709,128 215,648 448,536
Receivable for investments sold 9,312,240 -- --
Receivable for Fund shares sold 361,450 268 252,081
Receivable from Advisor and affiliates -- -- --
Prepaid expenses and other assets 36,345 8,971 36,164
------------- ------------ -------------
Total Assets 537,767,006 188,491,092 386,965,563
------------- ------------ -------------
Liabilities:
Securities sold short at value (Proceeds $--, $--, $--, $--
$--, $--, $--, $--, $--, $52,319,066 and $--; respectively) -- 41,481,544 --
Cash overdraft -- -- --
Payable for investments purchased 9,773,848 302 609,667
Payable upon return of securities loaned 16,324,034 -- 33,029,455
Payable for Fund shares redeemed 705,590 10,571 1,652,826
Payable for variation margin on futures contracts -- 4,174 52,800
Accrued expenses and other payables:
Payable to Advisor and affiliates 383,039 84,806 9,483
Distribution and administrative servicing fee 47,141 4,069 35,421
Payable for dividends on securities sold short -- 52,161 --
Other 80,549 44,819 70,327
------------- ------------ -------------
Total Liabilities 27,314,201 41,682,446 35,459,979
------------- ------------ -------------
Net Assets:
Paid-in Capital 498,036,497 159,229,161 171,457,684
Accumulated net investment income/(loss) 1,984,946 734,778 1,085,044
Accumulated net realized gain/(loss) from investment
transactions, options contracts, futures and foreign currency 2,943,005 (20,376,684) (8,295,981)
Net unrealized appreciation/(depreciation) on
investments, futures and foreign currency 7,488,357 7,221,391 187,258,837
------------- ------------ -------------
Net Assets $ 510,452,805 $146,808,646 $ 351,505,584
============= ============ =============
Market value of securities loaned $ 18,277,189 $ -- $ 36,830,354
============= ============ =============
Net Assets:
Institutional Shares $ 487,005,553 $133,505,968 $ 169,015,564
Class A Shares 17,758,512 12,505,421 55,639,525
Class B Shares 3,932,417 722,541 3,028,636
Class C Shares 1,756,323 74,716 1,875,842
Select Shares NA NA 11,174,733
Preferred Shares NA NA 56,847,112
Trust Shares NA NA 53,924,172
------------- ------------ -------------
Total $ 510,452,805 $146,808,646 $ 351,505,584
============= ============ =============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 42,423,775 9,109,546 7,026,468
Class A Shares 1,551,643 865,206 2,320,784
Class B Shares 339,853 50,144 127,018
Class C Shares 155,129 5,184 78,624
Select Shares NA NA 464,707
Preferred Shares NA NA 2,364,006
Trust Shares NA NA 2,241,965
------------- ------------ -------------
Total 44,470,400 10,030,080 14,623,572
============= ============ =============
Net Asset Value
Institutional Shares $ 11.48 $ 14.66 $ 24.05
============= ============ =============
Class A Shares - redemption price per share $ 11.44 $ 14.45 $ 23.97
============= ============ =============
Class B Shares - offering price per share* $ 11.57 $ 14.41 $ 23.84
============= ============ =============
Class C Shares - offering price per share* $ 11.32 $ 14.41 $ 23.86
============= ============ =============
Select Shares NA NA $ 24.05
============= ============ =============
Preferred Shares NA NA $ 24.05
============= ============ =============
Trust Shares NA NA $ 24.05
============= ============ =============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00%
Maximum Offering Price (100%/(100%-Maximum sales charge) of net charge)
of net asset value adjusted to the nearest cent) per share
Class A Shares $ 12.04 $ 15.21 $ 25.23
============= ============ =============
See notes to financial statements.
133
Fifth Third Funds
Statements of Assets and Liabilities
July 31, 2008
- --------------------------------------------------------------------------------
LifeModel
International Strategic LifeModel Moderately
Equity Income Aggressive(SM) Aggressive(SM)
------------- ------------- -------------- --------------
Assets:
Investments, at cost $ 490,259,668 $ 152,071,848 $ -- $ --
Net unrealized appreciation/(depreciation) (16,656,820) (17,156,075) -- --
------------- ------------- -------------- --------------
Investments, at value 473,602,848 134,915,773 -- --
Investment in affiliates, at value (cost $4,246,813, $8,128,372,
$164,550,846, $277,422,597, $431,370,008, $85,449,475,
$53,653,608, $--, $30,021,652, $4,149,326, and
$--; respectively) 4,246,813 8,128,372 168,449,053 283,876,070
------------- ------------- -------------- --------------
Total Investments 477,849,661 143,044,145 168,449,053 283,876,070
------------- ------------- -------------- --------------
Cash -- 2,763,340 -- --
Cash collateral for futures 515,575 -- -- --
Foreign currency, at value (cost $4,309,361, $--, $--, $--, $--,
$--, $--, $--, $--, $-- and $--; respectively) 4,282,527 -- -- --
Interest, dividends and other receivables 812,832 757,405 2,088+ 4,028+
Receivable for investments sold -- 19,882 -- --
Receivable for Fund shares sold 42,258 10,125 77,939 143,636
Receivable for variation margin on futures contracts -- -- -- --
Reclaims receivable 492,576 -- -- --
Receivable from Advisor and affiliates -- -- 17,119 24,617
Prepaid expenses and other assets 53,416 27,382 11,163 11,086
------------- ------------- -------------- --------------
Total Assets 484,048,845 146,622,279 168,557,362 284,059,437
------------- ------------- -------------- --------------
Liabilities:
Cash overdraft -- -- -- --
Distributions payable -- 429,055 -- --
Payable for investments purchased 2,730,140 2,954,355 2,083+ 4,022+
Payable upon return of securities loaned 36,115,304 26,566,223 -- --
Payable for Fund shares redeemed 544,464 370,132 220,208 656,974
Payable for variation margin on futures contracts 1,568 -- -- --
Unrealized depreciation on credit default agreements -- -- -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 380,234 76,229 -- --
Distribution and administrative servicing fee 8,685 12,551 22,796 63,336
Other 216,742 48,144 54,176 90,779
------------- ------------- -------------- --------------
Total Liabilities 39,997,137 30,456,689 299,263 815,111
------------- ------------- -------------- --------------
Net Assets:
Paid-in Capital 416,231,964 134,928,886 153,060,646 259,296,615
Accumulated net investment income/(loss) 7,073,147 (716,566) 524,464 2,112,567
Accumulated net realized gain/(loss) from investment
transactions, swaps, futures and foreign currency 37,326,217 (890,780) 10,774,782 15,381,671
Net unrealized appreciation/(depreciation) on
investments, swaps, futures and foreign currency (16,579,620) (17,155,950) 3,898,207 6,453,473
------------- ------------- -------------- --------------
Net Assets $ 444,051,708 $ 116,165,590 $ 168,258,099 $ 283,244,326
============= ============= ============== ==============
Market value of securities loaned $ 34,340,106 $ 25,881,499 $ -- $ --
============= ============= ============== ==============
Net Assets:
Institutional Shares $ 420,992,965 $ 90,638,866 $ 107,928,664 $ 135,473,575
Class A Shares 20,160,426 14,767,890 44,891,633 98,658,170
Class B Shares 2,176,905 979,262 13,201,530 43,035,858
Class C Shares 721,412 9,779,572 2,236,272 6,076,723
------------- ------------- -------------- --------------
Total $ 444,051,708 $ 116,165,590 $ 168,258,099 $ 283,244,326
============= ============= ============== ==============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 34,396,593 9,660,873 7,952,797 10,541,508
Class A Shares 1,648,717 1,577,598 3,327,640 7,687,411
Class B Shares 182,120 104,627 1,006,447 3,384,146
Class C Shares 62,157 1,053,262 170,625 477,920
------------- ------------- -------------- --------------
Total 36,289,587 12,396,360 12,457,509 22,090,985
============= ============= ============== ==============
Net Asset Value
Institutional Shares $ 12.24 $ 9.38 $ 13.57 $ 12.85
============= ============= ============== ==============
Class A Shares-redemption price per share $ 12.23 $ 9.36 $ 13.49 $ 12.83
============= ============= ============== ==============
Class B Shares - offering price per share* $ 11.95 $ 9.36 $ 13.12 $ 12.72
============= ============= ============== ==============
Class C Shares - offering price per share* $ 11.61 $ 9.29 $ 13.11 12.71
============= ============= ============== ==============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00% 5.00%
Maximum Offering Price (100%/(100%-Maximum sales charge)
of net asset value adjusted to the nearest cent) per share
Class A Shares $ 12.87 $ 9.86 $ 14.20 $ 13.51
============= ============= ============== ==============
- ----------
* Redemption price per share varies by length of time shares are held.
+ Represents receivable from or payable to affiliates.
See notes to financial statements.
134
Fifth Third Funds
Statements of Assets and Liabilities
July 31, 2008
- --------------------------------------------------------------------------------
LifeModel
LifeModel Moderately LifeModel High Yield
Moderate(SM) Conservative(SM) Conservative(SM) Bond
------------- ---------------- ---------------- ------------
Assets:
Investments, at cost $ -- $ -- $ -- $ 67,692,251
Net unrealized appreciation/(depreciation) -- -- -- (4,714,053)
------------- ---------------- ---------------- ------------
Investments, at value -- -- -- 62,978,198
Investment in affiliates, at value (cost $4,246,813,
$8,128,372, $164,550,846, $277,422,597, $431,370,008,
$85,449,475, $53,653,608, $--, $30,021,652, $4,149,326,
and $--; respectively) 420,734,803 84,285,419 50,668,486 --
------------- ---------------- ---------------- ------------
Total Investments 420,734,803 84,285,419 50,668,486 62,978,198
------------- ---------------- ---------------- ------------
Cash -- -- -- --
Cash collateral for futures -- -- -- --
Foreign currency, at value (cost $4,309,361, $--, $--, $--,
$--, $--, $--, $--, $--, $-- and $--; respectively) -- -- -- --
Interest, dividends and other receivables 2,270+ 2,265+ 801+ 1,179,402
Receivable for investments sold -- -- -- --
Receivable for Fund shares sold 177,082 29,961 27,859 --
Receivable for variation margin on futures contracts -- -- -- --
Reclaims receivable -- -- -- --
Receivable from Advisor and affiliates 25,233 12,083 11,412 --
Prepaid expenses and other assets 14,356 10,540 10,293 18,529
------------- ---------------- ---------------- ------------
Total Assets 420,953,744 84,340,268 50,718,851 64,176,129
------------- ---------------- ---------------- ------------
Liabilities:
Cash overdraft -- -- -- 37,709
Distributions payable -- -- -- --
Payable for investments purchased 2,268+ 2,271+ 801+ --
Payable upon return of securities loaned -- -- -- 13,409,342
Payable for Fund shares redeemed 690,538 33,520 58,311 60,608
Payable for variation margin on futures contracts -- -- -- --
Unrealized depreciation on credit default agreements -- -- -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates -- -- -- 17,350
Distribution and administrative servicing fee 46,618 19,338 10,967 274
Other 104,275 29,893 22,528 22,492
------------- ---------------- ---------------- ------------
Total Liabilities 843,699 85,022 92,607 13,547,775
------------- ---------------- ---------------- ------------
Net Assets:
Paid-in Capital 413,470,746 82,193,723 53,159,708 56,381,974
Accumulated net investment income/(loss) 3,563,523 700,057 380,904 74,934
Accumulated net realized gain/(loss) from investment
transactions, swaps, futures and foreign currency 13,710,981 2,525,522 70,754 (1,114,501)
Net unrealized appreciation/(depreciation) on
investments, swaps, futures and foreign currency (10,635,205) (1,164,056) (2,985,122) (4,714,053)
------------- ---------------- ---------------- ------------
Net Assets $ 420,110,045 $ 84,255,246 $ 50,626,244 $ 50,628,354
============= ================ ================ ============
Market value of securities loaned $ -- $ -- $ -- $ 13,134,765
============= ================ ================ ============
Net Assets:
Institutional Shares $ 312,435,127 $ 43,093,099 $ 28,215,286 $ 50,153,435
Class A Shares 71,338,438 25,199,934 12,908,345 206,061
Class B Shares 32,003,221 13,891,405 7,252,850 155,276
Class C Shares 4,333,259 2,070,808 2,249,763 113,582
------------- ---------------- ---------------- ------------
Total $ 420,110,045 $ 84,255,246 $ 50,626,244 $ 50,628,354
============= ================ ================ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 27,323,406 4,168,157 2,854,044 5,487,097
Class A Shares 6,245,647 2,440,937 1,308,309 22,603
Class B Shares 2,815,943 1,349,912 737,613 17,004
Class C Shares 380,963 201,046 228,571 12,439
------------- ---------------- ---------------- ------------
Total 36,765,959 8,160,052 5,128,537 5,539,143
============= ================ ================ ============
Net Asset Value
Institutional Shares $ 11.43 $ 10.34 $ 9.89 $ 9.14
============= ================ ================ ============
Class A Shares-redemption price per share $ 11.42 $ 10.32 $ 9.87 $ 9.12
============= ================ ================ ============
Class B Shares - offering price per share* $ 11.37 $ 10.29 $ 9.83 $ 9.13
============= ================ ================ ============
Class C Shares - offering price per share* $ 11.37 $ 10.30 $ 9.84 $ 9.13
============= ================ ================ ============
Maximum Sales Charge
Class A Shares 5.00% 5.00% 5.00% 5.00%
Maximum Offering Price (100%/(100%-Maximum sales charge)
of net asset value adjusted to the nearest cent) per
share Class A Shares $ 12.02 $ 10.86 $ 10.39 $ 9.60
============= ================ ================ ============
Total Return Short Term Municipal
Bond Bond Bond
------------- ---------------- ----------------
Assets:
Investments, at cost $ 649,155,038 $ 246,604,573 $ 43,376,559
Net unrealized appreciation/(depreciation) (52,692,976) (3,503,477) 250,348
------------- ---------------- ----------------
Investments, at value 596,462,062 243,101,096 43,626,907
Investment in affiliates, at value (cost $4,246,813,
$8,128,372, $164,550,846, $277,422,597, $431,370,008,
$85,449,475, and $53,653,608, $--, $30,021,652,
$4,149,326, $--; respectively) 30,021,652 4,149,326 --
------------- ---------------- ----------------
Total Investments 626,483,714 247,250,422 43,626,907
------------- ---------------- ----------------
Cash 7 -- --
Cash collateral for futures 397,000 144,000 --
Foreign currency, at value (cost $4,309,361, $--, $--, $--,
$--, $--, $--, $--, $--, $-- and $--; respectively) -- -- --
Interest, dividends and other receivables 3,836,475 1,586,262 539,851
Receivable for investments sold 150 115,818 --
Receivable for Fund shares sold 13,670 205,327 95,623
Receivable for variation margin on futures contracts 210,899 72,500 --
Reclaims receivable -- -- --
Receivable from Advisor and affiliates -- -- --
Prepaid expenses and other assets 34,109 11,071 6,526
------------- ---------------- ----------------
Total Assets 630,976,024 249,385,400 44,268,907
------------- ---------------- ----------------
Liabilities:
Cash overdraft -- -- --
Distributions payable -- -- --
Payable for investments purchased 6,996,519 8,176 503,592
Payable upon return of securities loaned 37,951,578 -- --
Payable for Fund shares redeemed 363,745 136,481 8,503
Payable for variation margin on futures contracts -- -- --
Unrealized depreciation on credit default agreements 152,941 -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 294,731 105,500 8,377
Distribution and administrative servicing fee 7,703 1,655 1,076
Other 146,225 59,500 20,477
------------- ---------------- ----------------
Total Liabilities 45,913,442 311,312 542,025
------------- ---------------- ----------------
Net Assets:
Paid-in Capital 684,445,537 273,568,338 43,306,300
Accumulated net investment income/(loss) 562,408 207,920 89,878
Accumulated net realized gain/(loss) from investment
transactions, swaps, futures and foreign currency (47,491,369) (21,354,141) 80,356
Net unrealized appreciation/(depreciation) on
investments, swaps, futures and foreign currency (52,453,994) (3,348,029) 250,348
------------- ---------------- ----------------
Net Assets $ 585,062,582 $ 249,074,088 $ 43,726,882
============= ================ ================
Market value of securities loaned $ 37,126,301 $ -- $ --
============= ================ ================
Net Assets:
Institutional Shares $ 559,547,731 $ 241,775,871 $ 41,945,666
Class A Shares 20,496,787 7,127,215 1,131,629
Class B Shares 3,490,207 NA 620,528
Class C Shares 1,527,857 171,002 29,059
------------- ---------------- ----------------
Total $ 585,062,582 $ 249,074,088 $ 43,726,882
============= ================ ================
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 61,939,479 26,017,146 4,563,181
Class A Shares 2,270,067 767,417 122,517
Class B Shares 386,381 NA 67,754
Class C Shares 169,041 18,422 3,164
------------- ---------------- ----------------
Total 64,764,968 26,802,985 4,756,616
============= ================ ================
Net Asset Value
Institutional Shares $ 9.03 $ 9.29 $ 9.19
============= ================ ================
Class A Shares-redemption price per share $ 9.03 $ 9.29 $ 9.24
============= ================ ================
Class B Shares - offering price per share* $ 9.03 NA $ 9.16
============= ================ ================
Class C Shares - offering price per share* $ 9.04 $ 9.28 $ 9.18
============= ================ ================
Maximum Sales Charge
Class A Shares 4.75% 4.75% 3.50%
Maximum Offering Price (100%/(100%-Maximum sales charge)
of net asset value adjusted to the nearest cent) per
share Class A Shares $ 9.48 $ 9.75 $ 9.58
============= ================ ================
See notes to financial statements.
135
Fifth Third Funds
Statements of Assets and Liabilities
July 31, 2008
- --------------------------------------------------------------------------------
Intermediate Ohio Michigan
Municipal Municipal Municipal
Bond Bond Bond
------------- ------------ ------------
Assets:
Investments, at cost $ 126,181,688 $ 89,532,832 $ 41,126,406
Net unrealized appreciation 1,739,298 857,931 328,721
------------- ------------ ------------
Investments, at value 127,920,986 90,390,763 41,455,127
Interest, dividends and other receivables 1,222,785 910,373 516,492
Receivable for investments sold 2,555,464 2,099,990 --
Prepaid expenses and other assets 11,747 19,175 9,581
------------- ------------ ------------
Total Assets 131,710,982 93,420,301 41,981,200
------------- ------------ ------------
Liabilities:
Cash overdraft -- -- 7,596
Payable for investments purchased 993,691 339,942 379
Payable for Fund shares redeemed 77,263 14,122 --
Accrued expenses and other payables:
Payable to Advisor and affiliates 53,859 45,554 11,919
Distribution and administrative servicing fee 689 4,995 866
Other 29,322 23,554 17,937
------------- ------------ ------------
Total Liabilities 1,154,824 428,167 38,697
------------- ------------ ------------
Net Assets:
Paid-in Capital 128,517,308 91,816,107 41,909,267
Accumulated net investment income 27,184 282,487 1,613
Accumulated net realized gain/(loss) from investment transactions 272,368 35,609 (297,098)
Net unrealized appreciation on investments 1,739,298 857,931 328,721
------------- ------------ ------------
Net Assets $ 130,556,158 $ 92,992,134 $ 41,942,503
============= ============ ============
Market value of securities loaned $ -- $ -- $ --
============= ============ ============
Net Assets:
Institutional Shares $ 128,343,266 $ 77,337,985 $ 38,691,984
Class A Shares 1,731,834 13,083,583 2,621,204
Class B Shares 357,383 2,013,445 553,220
Class C Shares 123,675 557,121 76,095
------------- ------------ ------------
Total $ 130,556,158 $ 92,992,134 $ 41,942,503
============= ============ ============
Shares of beneficial interest outstanding
(Unlimited number of shares authorized, no par value):
Institutional Shares 12,911,360 7,752,752 3,857,665
Class A Shares 174,140 1,310,594 261,688
Class B Shares 35,970 206,753 55,254
Class C Shares 12,451 56,071 7,594
------------- ------------ ------------
Total 13,133,921 9,326,170 4,182,201
============= ============ ============
Net Asset Value
Institutional Shares $ 9.94 $ 9.98 $ 10.03
============= ============ ============
Class A Shares - redemption price per share $ 9.95 $ 9.98 $ 10.02
============= ============ ============
Class B Shares - offering price per share* $ 9.94 $ 9.74 $ 10.01
============= ============ ============
Class C Shares - offering price per share* $ 9.93 $ 9.94 $ 10.02
============= ============ ============
Maximum Sales Charge
Class A Shares 4.75% 4.75% 3.50%
Maximum Offering Price (100%/(100%-Maximum sales
charge) of net asset value adjusted to the nearest
cent) per share
Class A Shares $ 10.45 $ 10.48 $ 10.38
============= ============ ============
- ----------
* Redemption price per share varies by length of time shares are held.
See notes to financial statements.
136
Fifth Third Funds
Statements of Operations
For the year ended July 31, 2008
- --------------------------------------------------------------------------------
Small Cap Mid Cap Quality
Growth Growth Growth
------------- ------------ ------------
Investment Income:
Interest income $ -- $ -- $ 194,046
Dividend income 255,516 1,723,795 7,118,235
Income from affiliates 145,293 428,531 383,514
Foreign tax withholding (8,440) (3,696) (3,075)
Income from securities lending 32,524 95,771 125,096
Other income -- -- 1,676
------------- ------------ ------------
Total Investment Income 424,893 2,244,401 7,819,492
------------- ------------ ------------
Expenses:
Investment advisory fees 732,808 2,520,379 4,916,538
Administration fees 180,996 544,694 1,063,649
Distribution servicing fees - Class A Shares 33,992 65,279 232,670
Distribution servicing fees - Class B Shares 10,861 52,553 130,411
Distribution servicing fees - Class C Shares 2,625 6,032 19,066
Distribution servicing fees - Advisor Shares 662 1,423 2,796
Administrative servicing fees - Class C Shares 875 2,011 6,355
Accounting fees 59,445 93,398 156,142
Registration and filing fees 47,485 79,199 81,112
Transfer and dividend disbursing agent fees 59,299 137,818 375,806
Professional fees and other expenses 58,066 134,361 209,368
------------- ------------ ------------
Total expenses 1,187,114 3,637,147 7,193,913
------------- ------------ ------------
Less: Waiver and/or reimbursement from Advisor and/or affiliates (81,002) (76,295) (269,508)
------------- ------------ ------------
Net Expenses 1,106,112 3,560,852 6,924,405
------------- ------------ ------------
Net Investment Income/(Loss) (681,219) (1,316,451) 895,087
------------- ------------ ------------
Realized and Unrealized Gains/(Losses) from Investments:
Net realized gains on investments 11,149,456 34,385,207 34,541,802
Change in unrealized appreciation/depreciation on investments (20,241,491) (67,734,776) (14,991,297)
------------- ------------ ------------
Net realized and unrealized gains/(losses) on investments (9,092,035) (33,349,569) 19,550,505
------------- ------------ ------------
Change in net assets resulting from operations $ (9,773,254) $(34,666,020) $ 20,445,592
============= ============ ============
See notes to financial statements.
137
Fifth Third Funds
Statements of Operations
For the year ended July 31, 2008
- --------------------------------------------------------------------------------
Dividend Micro Cap Small Cap
Growth Value Value
------------- ------------- ------------
Investment Income:
Interest income $ -- $ -- $ --
Dividend income 447,822 805,598 2,119,592
Income from affiliates 11,298 84,615 105,560
Foreign tax withholding (2,745) -- (17,323)
Income from securities lending 8,799 22,416 46,455
------------- ------------- ------------
Total Investment Income 465,174 912,629 2,254,284
------------- ------------- ------------
Expenses:
Investment advisory fees 180,389 529,258 903,878
Administration fees 39,000 91,512 173,812
Distribution servicing fees - Class A Shares 8,840 28,118 4,850
Distribution servicing fees - Class B Shares 3,072 37,861 9,415
Distribution servicing fees - Class C Shares 2,327 15,941 4,180
Distribution servicing fees - Advisor Shares 20 13,927 1,332
Administrative servicing fees - Class C Shares 776 5,314 1,393
Administrative servicing fees - Select NA NA NA
Administrative servicing fees - Trust NA NA NA
Administrative servicing fees - Preferred NA NA NA
Accounting fees 61,942 61,328 62,162
Registration and filing fees 52,964 59,498 38,813
Transfer and dividend disbursing agent fees 29,800 86,397 9,006
Professional fees and other expenses 33,800 137,829 57,789
Interest expense -- -- --
Dividends on securities sold short -- -- --
------------- ------------- ------------
Total expenses 412,930 1,066,983 1,266,630
------------- ------------- ------------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (233,441) (251,593) (45,629)
------------- ------------- ------------
Net Expenses 179,489 815,390 1,221,001
------------- ------------- ------------
Net Investment Income 285,685 97,239 1,033,283
------------- ------------- ------------
Realized and Unrealized Gains/(Losses)
from Investments/Options, Futures and Foreign Currency:
Net realized gains/(losses) on investment, option and foreign
currency transactions 130,202 1,986,947 1,352,438
Net realized gains/(losses) on futures transactions 20,295 -- --
Realized gain distributions from underlying funds -- -- --
Change in unrealized appreciation/depreciation on investments
and futures (1,682,949) (11,154,974) (5,745,550)
------------- ------------- ------------
Net realized and unrealized gains/(losses) on investments and futures (1,532,452) (9,168,027) (4,393,112)
------------- ------------- ------------
Change in net assets resulting from operations $ (1,246,767) $ (9,070,788) $ (3,359,829)
============= ============= ============
- ----------
+ Represents realized gains/(losses) from investment transactions with
affiliates.
See notes to financial statements.
138
Fifth Third Funds
Statements of Operations
For the year ended July 31, 2008
- --------------------------------------------------------------------------------
Disciplined Structured
All Cap Large Cap Large Cap Equity
Value Value Plus Index
------------- ------------- ------------- --------------
Investment Income:
Interest income $ -- $ -- $ -- $ --
Dividend income 7,275,569 17,415,289 4,129,710 8,156,225
Income from affiliates 275,210 604,011 147,981 321,169
Foreign tax withholding (10) -- -- --
Income from securities lending 123,523 130,573 -- 105,195
------------- ------------- ------------- --------------
Total Investment Income 7,674,292 18,149,873 4,277,691 8,582,589
------------- ------------- ------------- --------------
Expenses:
Investment advisory fees 2,927,978 5,026,273 1,250,884 1,196,095
Administration fees 506,255 1,087,298 309,261 689,977
Distribution servicing fees - Class A Shares 139,602 60,812 41,071 154,436
Distribution servicing fees - Class B Shares 199,176 50,420 9,167 35,950
Distribution servicing fees - Class C Shares 70,075 16,576 742 14,946
Distribution servicing fees - Advisor Shares 51,848 594 802 3,339
Administrative servicing fees - Class C Shares 23,358 5,525 247 4,982
Administrative servicing fees - Select NA NA NA 11,213
Administrative servicing fees - Trust NA NA NA 158,244
Administrative servicing fees - Preferred NA NA NA 98,238
Accounting fees 88,904 151,140 77,181 157,905
Registration and filing fees 61,973 64,720 50,576 51,749
Transfer and dividend disbursing agent fees 246,297 160,360 61,665 119,498
Professional fees and other expenses 79,757 280,276 344,617 187,900
Interest expense -- -- 184,595 --
Dividends on securities sold short -- -- 862,547 --
------------- ------------- ------------- --------------
Total expenses 4,395,223 6,903,994 3,193,355 2,884,472
------------- ------------- ------------- --------------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (427,281) (430,323) (450,482) (1,646,248)
------------- ------------- ------------- --------------
Net Expenses 3,967,942 6,473,671 2,742,873 1,238,224
------------- ------------- ------------- --------------
Net Investment Income 3,706,350 11,676,202 1,534,818 7,344,365
------------- ------------- ------------- --------------
Realized and Unrealized Gains/(Losses)
from Investments/Options, Futures and Foreign Currency:
Net realized gains/(losses) on investment, option and foreign
currency transactions 16,380,198 13,782,753 (13,472,078) 13,028,282
Net realized gains/(losses) on futures transactions -- -- (558,529) (1,429,781)
Realized gain distributions from underlying funds -- -- -- --
Change in unrealized appreciation/depreciation on investments
and futures (74,072,456) (110,250,509) (8,974,769) (63,983,252)
------------- ------------- ------------- --------------
Net realized and unrealized gains/(losses) on investments and
futures (57,692,258) (96,467,756) (23,005,376) (52,384,751)
------------- ------------- ------------- --------------
Change in net assets resulting from operations $ (53,985,908) $ (84,791,554) $ (21,470,558) $ (45,040,386)
============= ============= ============= ==============
International Strategic LifeModel
Equity Income Aggressive(SM)
-------------- ------------- --------------
Investment Income:
Interest income $ 11,690 $ 3,170,539 $ --
Dividend income 22,814,908 4,810,188 --
Income from affiliates 353,638 218,627 2,715,822
Foreign tax withholding (1,731,839) (11,885) --
Income from securities lending 417,685 31,571 --
-------------- ------------- --------------
Total Investment Income 21,866,082 8,219,040 2,715,822
-------------- ------------- --------------
Expenses:
Investment advisory fees 4,991,488 1,319,826 284,736
Administration fees 864,826 228,427 328,503
Distribution servicing fees - Class A Shares 60,358 34,086 134,214
Distribution servicing fees - Class B Shares 25,458 12,266 162,839
Distribution servicing fees - Class C Shares 6,497 96,784 20,490
Distribution servicing fees - Advisor Shares 15,709 27,133 1,882
Administrative servicing fees - Class C Shares 2,166 32,261 6,830
Administrative servicing fees - Select NA NA NA
Administrative servicing fees - Trust NA NA NA
Administrative servicing fees - Preferred NA NA NA
Accounting fees 142,123 68,971 66,932
Registration and filing fees 59,292 50,417 41,837
Transfer and dividend disbursing agent fees 122,619 66,893 149,399
Professional fees and other expenses 594,054 51,361 59,753
Interest expense -- -- --
Dividends on securities sold short 534 -- --
-------------- ------------- --------------
Total expenses 6,885,124 1,988,425 1,257,415
-------------- ------------- --------------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (494,238) (470,601) (779,619)
-------------- ------------- --------------
Net Expenses 6,390,886 1,517,824 477,796
-------------- ------------- --------------
Net Investment Income 15,475,196 6,701,216 2,238,026
-------------- ------------- --------------
Realized and Unrealized Gains/(Losses)
from Investments/Options, Futures and Foreign Currency:
Net realized gains/(losses) on investment, option and foreign
currency transactions 60,759,191 1,648,109 (4,227,220)+
Net realized gains/(losses) on futures transactions (6,567,479) -- --
Realized gain distributions from underlying funds -- -- 18,471,397+
Change in unrealized appreciation/depreciation on investments
and futures (138,618,987) (18,166,047) (34,532,247)
-------------- ------------- --------------
Net realized and unrealized gains/(losses) on investments and futures (84,427,275) (16,517,938) (20,288,070)
-------------- ------------- --------------
Change in net assets resulting from operations $ (68,952,079) $ (9,816,722) $ (18,050,044)
============== ============= ==============
See notes to financial statements.
139
Fifth Third Funds
Statements of Operations
For the year ended July 31, 2008
- --------------------------------------------------------------------------------
LifeModel LifeModel
Moderately LifeModel Moderately LifeModel
Aggressive(SM) Moderate(SM) Conservative(SM) Conservative(SM)
-------------- ------------ ---------------- ----------------
Investment Income:
Interest income $ -- $ -- $ -- $ --
Dividend income -- -- -- --
Income from affiliate 7,056,077 14,287,573 3,113,951 2,169,231
Foreign tax withholding -- -- -- --
Income from securities lending -- -- -- --
Other income -- -- -- --
-------------- ------------ ---------------- ----------------
Total Investment Income 7,056,077 14,287,573 3,113,951 2,169,231
-------------- ------------ ---------------- ----------------
Expenses:
Investment advisory fees 481,555 727,621 140,871 79,916
Administration fees 555,578 839,468 162,525 92,198
Distribution servicing fees - Class A Shares 294,683 216,197 79,808 36,277
Distribution servicing fees - Class B Shares 512,926 389,783 167,757 85,546
Distribution servicing fees - Class C Shares 56,902 40,193 19,654 19,441
Distribution servicing fees - Advisor Shares 3,052 743 111 76
Administrative servicing fees - Class C Shares 18,967 13,398 6,552 6,480
Accounting fees 93,055 125,803 58,648 59,015
Registration and filing fees 50,400 43,376 38,745 37,917
Transfer and dividend disbursing agent fees 311,169 204,078 62,416 28,753
Professional fees and other expenses 53,243 129,551 37,148 34,683
-------------- ------------ ---------------- ----------------
Total expenses 2,431,530 2,730,211 774,235 480,302
-------------- ------------ ---------------- ----------------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (1,288,687) (1,682,451) (425,456) (290,058)
Distribution services - Class A Shares and Class B
Shares waived -- -- -- --
-------------- ------------ ---------------- ----------------
Net Expenses 1,142,843 1,047,760 348,779 190,244
-------------- ------------ ---------------- ----------------
Net Investment Income 5,913,234 13,239,813 2,765,172 1,978,987
-------------- ------------ ---------------- ----------------
Realized and Unrealized Gains/(Losses) from
Investments, Swaps, Futures and Foreign Currency:
Net realized gains/(losses) on investment
and foreign currency transactions (2,747,279)+ (6,026,303)+ (187,557)+ (481,097)+
Net realized gains on futures transactions -- -- -- --
Realized gain distributions from underlying funds 24,039,269+ 26,088,658+ 4,027,567+ 1,169,223+
Change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency (52,255,957) (61,882,940) (11,259,892) (4,740,349)
-------------- ------------ ---------------- ----------------
Net realized and unrealized gains/(losses) on
investments, swaps, futures and foreign currency (30,963,967) (41,820,585) (7,419,882) (4,052,223)
-------------- ------------ ---------------- ----------------
Change in net assets resulting from operations $ (25,050,733) $(28,580,772) $ (4,654,710) $ (2,073,236)
============== ============ ================ ================
- ----------
+ Represents realized gains/(losses) from investment transactions with
affiliates.
See notes to financial statements.
140
Fifth Third Funds
Statements of Operations
For the year ended July 31, 2008
- --------------------------------------------------------------------------------
High Yield Total Return Short Term Municipal
Bond Bond Bond Bond
----------- ------------ ------------ -----------
Investment Income:
Interest income $ 4,947,264 $ 29,300,622 $ 12,172,159 $ 1,939,650
Dividend income -- 519,239 -- 11,597
Income from affiliate 40,161 332,832 181,760 --
Foreign tax withholding -- (16,314) (7,636) --
Income from securities lending 15,328 49,296 -- --
Other income -- 66,044 6,964 --
----------- ------------ ------------ -----------
Total Investment Income 5,002,753 30,251,719 12,353,247 1,951,247
----------- ------------ ------------ -----------
Expenses:
Investment advisory fees 417,490 3,177,457 1,328,744 242,383
Administration fees 103,225 916,368 459,894 76,269
Distribution servicing fees - Class A Shares 796 48,362 22,015 3,054
Distribution servicing fees - Class B Shares 1,246 32,135 -- 7,310
Distribution servicing fees - Class C Shares 939 9,279 1,256 266
Distribution servicing fees - Advisor Shares 23 385 -- 278
Administrative servicing fees - Class C Shares 313 3,093 419 88
Accounting fees 70,235 164,831 76,090 63,552
Registration and filing fees 39,164 98,183 48,881 35,079
Transfer and dividend disbursing agent fees 8,247 119,799 75,305 15,406
Professional fees and other expenses 48,567 190,020 104,332 39,148
----------- ------------ ------------ -----------
Total expenses 690,245 4,759,912 2,116,936 482,833
----------- ------------ ------------ -----------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (245,795) (1,036,530) (392,819) (203,486)
Distribution services - Class A Shares and Class B
Shares waived -- -- -- --
----------- ------------ ------------ -----------
Net Expenses 444,450 3,723,382 1,724,117 279,347
----------- ------------ ------------ -----------
Net Investment Income 4,558,303 26,528,337 10,629,130 1,671,900
----------- ------------ ------------ -----------
Realized and Unrealized Gains/(Losses) from
Investments, Swaps, Futures and Foreign Currency:
Net realized gains/(losses) on investment
and foreign currency transactions (663,376) (17,612,216) 1,136,154 104,766
Net realized gains on futures transactions -- 2,659,320 255,815 --
Realized gain distributions from underlying funds -- -- -- --
Change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency (1,771,658) (30,127,802) (1,546,312) (507,533)
----------- ------------ ------------ -----------
Net realized and unrealized gains/(losses) on
investments, swaps, futures and foreign currency (2,435,034) (45,080,698) (154,343) (402,767)
----------- ------------ ------------ -----------
Change in net assets resulting from operations $ 2,123,269 $(18,552,361) $ 10,474,787 $ 1,269,133
=========== ============ ============ ===========
Intermediate Ohio Michigan
Municipal Municipal Municipal
Bond Bond Bond
------------ ------------ -----------
Investment Income:
Interest income $ 6,064,436 $ 4,023,376 $ 1,655,827
Dividend income 17,083 36,453 9,572
Income from affiliate -- -- --
Foreign tax withholding -- -- --
Income from securities lending -- -- --
Other income -- -- --
------------ ------------ -----------
Total Investment Income 6,081,519 4,059,829 1,665,399
------------ ------------ -----------
Expenses:
Investment advisory fees 787,124 533,758 208,249
Administration fees 247,685 167,944 80,088
Distribution servicing fees - Class A Shares 4,915 34,808 9,383
Distribution servicing fees - Class B Shares 3,663 23,289 5,671
Distribution servicing fees - Class C Shares 753 4,894 791
Distribution servicing fees - Advisor Shares -- -- --
Administrative servicing fees - Class C Shares 251 1,631 264
Accounting fees 63,530 57,205 57,009
Registration and filing fees 48,116 39,888 39,126
Transfer and dividend disbursing agent fees 13,501 13,725 5,717
Professional fees and other expenses 58,176 51,801 33,546
------------ ------------ -----------
Total expenses 1,227,714 928,943 439,844
------------ ------------ -----------
Less: Waiver and/or reimbursement from
Advisor and/or affiliates (290,489) (97,885) (109,240)
Distribution services - Class A Shares and Class B
Shares waived (2,747) -- (3,753)
------------ ------------ -----------
Net Expenses 934,478 831,058 326,851
------------ ------------ -----------
Net Investment Income 5,147,041 3,228,771 1,338,548
------------ ------------ -----------
Realized and Unrealized Gains/(Losses) from
Investments, Swaps, Futures and Foreign Currency:
Net realized gains/(losses) on investment
and foreign currency transactions 310,951 39,798 50,516
Net realized gains on futures transactions -- -- --
Realized gain distributions from underlying funds -- -- --
Change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency 97,442 373,692 666,194
------------ ------------ -----------
Net realized and unrealized gains/(losses) on
investments, swaps, futures and foreign currency 408,393 413,490 716,710
------------ ------------ -----------
Change in net assets resulting from operations $ 5,555,434 $ 3,642,261 $ 2,055,258
============ ============ ===========
See notes to financial statements.
141
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Small Cap Growth Mid Cap Growth
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Change in Net Assets:
Operations:
Net investment income/(loss) $ (681,219) $ (958,716) $ (1,316,451) $ (1,962,157)
Net realized gains on investment and
option transactions 11,149,456 31,785,115 34,385,207 48,398,218
Net realized gains on futures transactions -- -- -- --
Net change in unrealized appreciation/depreciation on
investment and futures (20,241,491) (950,255) (67,734,776) 15,158,814
Increase from payment by the Advisor -- -- -- 179,962
-------------- -------------- -------------- --------------
Change in net assets resulting from operations (9,773,254) 29,876,144 (34,666,020) 61,774,837
-------------- -------------- -------------- --------------
Distributions to shareholders from net investment income:
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- -- --
Class C Shares -- -- --
Advisor Shares -- -- -- --
Distributions from net realized gains:
Institutional Shares (33,959,747) (28,824,886) (43,019,418) (66,351,426)
Class A Shares (5,435,340) (3,859,214) (4,511,911) (6,624,674)
Class B Shares (451,736) (317,682) (930,995) (1,326,080)
Class C Shares (153,157) (93,164) (145,930) (235,491)
Advisor Shares -- (101,447) -- (156,309)
-------------- -------------- -------------- --------------
Change in net assets from shareholder distributions (39,999,980) (33,196,393) (48,608,254) (74,693,980)
-------------- -------------- -------------- --------------
Change in net assets from Fund share transactions (2,327,175) (12,946,804) (31,875,985) 1,409,353
-------------- -------------- -------------- --------------
Change in net assets (52,100,409) (16,267,053) (115,150,259) (11,509,790)
Net Assets:
Beginning of period 130,793,367 147,060,420 349,503,403 361,013,193
-------------- -------------- -------------- --------------
End of period $ 78,692,958 $ 130,793,367 $ 234,353,144 $ 349,503,403
============== ============== ============== ==============
Accumulated net investment income/(loss) $ (5,370) $ (7,768) $ 246,177 $ --
============== ============== ============== ==============
See notes to financial statements.
142
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Quality Growth Dividend Growth
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Change in Net Assets:
Operations:
Net investment income/(loss) $ 895,087 $ 3,278,293 $ 285,685 $ 520,170
Net realized gains on investment and
option transactions 34,541,802 95,370,132 130,202 1,313,651
Net realized gains on futures transactions -- -- 20,295 --
Net change in unrealized appreciation/depreciation on
investment and futures (14,991,297) 36,701,094 (1,682,949) 1,854,192
Increase from payment by the Advisor -- 748,501 -- 65,762
-------------- -------------- -------------- --------------
Change in net assets resulting from operations 20,445,592 136,098,020 (1,246,767) 3,753,775
-------------- -------------- -------------- --------------
Distributions to shareholders from net investment income:
Institutional Shares (986,849) (2,836,719) (221,444) (412,378)
Class A Shares (29,511) (377,088) (37,566) (76,234)
Class B Shares -- (8,087) (2,178) (4,205)
Class C Shares -- (1,356) (2,147) (4,135)
Advisor Shares -- (5,211) (69) (213)
Distributions from net realized gains:
Institutional Shares (73,562,502) (8,983,115) -- --
Class A Shares (12,508,805) (1,649,039) -- --
Class B Shares (1,645,398) (202,006) -- --
Class C Shares (335,123) (46,784) -- --
Advisor Shares -- (35,580) -- --
-------------- -------------- -------------- --------------
Change in net assets from shareholder distributions (89,068,188) (14,144,985) (263,404) (497,165)
-------------- -------------- -------------- --------------
Change in net assets from Fund share transactions (96,435,268) (228,194,908) (1,945,651) (921,162)
-------------- -------------- -------------- --------------
Change in net assets (165,057,864) (106,241,873) (3,455,822) 2,335,448
Net Assets:
Beginning of period 643,657,555 749,899,428 23,538,422 21,202,974
-------------- -------------- -------------- --------------
End of period $ 478,599,691 $ 643,657,555 $ 20,082,600 $ 23,538,422
============== ============== ============== ==============
Accumulated net investment income/(loss) $ (1) $ 50,207 $ 45,157 $ 23,016
============== ============== ============== ==============
Micro Cap Value Small Cap Value
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Change in Net Assets:
Operations:
Net investment income/(loss) $ 97,239 $ (33,117) $ 1,033,283 $ 759,452
Net realized gains on investment and
option transactions 1,986,947 18,680,011 1,352,438 12,223,175
Net realized gains on futures transactions -- -- -- --
Net change in unrealized appreciation/depreciation on
investment and futures (11,154,974) (4,849,351) (5,745,550) 1,349,877
Increase from payment by the Advisor -- -- -- --
-------------- -------------- -------------- --------------
Change in net assets resulting from operations (9,070,788) 13,797,543 (3,359,829) 14,332,504
-------------- -------------- -------------- --------------
Distributions to shareholders from net investment income:
Institutional Shares (63,089) (409,273) (889,871) (510,279)
Class A Shares (5,157) (84,561) (16,068) (8,534)
Class B Shares -- (8,097) -- (2,220)
Class C Shares -- (2,506) -- (1,411)
Advisor Shares -- (62,794) -- (3,248)
Distributions from net realized gains:
Institutional Shares (14,388,607) (14,807,475) (12,045,339) (15,396,805)
Class A Shares (6,281,771) (3,754,132) (287,581) (302,648)
Class B Shares (1,765,824) (1,399,143) (130,804) (154,875)
Class C Shares (1,025,048) (699,227) (78,802) (97,202)
Advisor Shares -- (3,728,972) -- (135,905)
-------------- -------------- -------------- --------------
Change in net assets from shareholder distributions (23,529,496) (24,956,180) (13,448,465) (16,613,127)
-------------- -------------- -------------- --------------
Change in net assets from Fund share transactions (9,723,760) (27,752,409) (9,599,208) (4,131,972)
-------------- -------------- -------------- --------------
Change in net assets (42,324,044) (38,911,046) (26,407,502) (6,412,595)
Net Assets:
Beginning of period 80,318,975 119,230,021 115,770,190 122,182,785
-------------- -------------- -------------- --------------
End of period $ 37,994,931 $ 80,318,975 $ 89,362,688 $ 115,770,190
============== ============== ============== ==============
Accumulated net investment income/(loss) $ 30,996 $ -- $ 531,599 $ 433,836
============== ============== ============== ==============
See notes to financial statements.
143
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Disciplined
All Cap Value Large Cap Value
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 3,706,350 $ 4,462,597 $ 11,676,202 $ 9,685,948
Net realized gains/(losses) on investment, and foreign
currency transactions 16,380,198 43,764,398 13,782,753 49,837,685
Net realized gains/(losses) on futures transactions -- -- -- --
Net change in unrealized appreciation/depreciation on
investment, futures, and foreign currency (74,072,456) 14,548,930 (110,250,509) 24,717,826
Increase from payment by the Advisor -- -- -- 96,896
------------- ------------- ------------- -------------
Change in net assets resulting from operations (53,985,908) 62,775,925 (84,791,554) 84,338,355
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (2,580,974) (3,577,122) (10,224,754) (9,176,075)
Class A Shares (635,762) (487,371) (357,749) (333,360)
Class B Shares (86,310) (121,463) (33,647) (30,168)
Class C Shares (47,817) (34,918) (15,288) (11,314)
Advisor Shares (72,498) (306,792) (1,192) (3,314)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
Distributions from net realized gains:
Institutional Shares (30,182,996) (37,807,043) (39,371,152) (83,951,662)
Class A Shares (10,927,567) (6,142,386) (1,695,234) (3,384,424)
Class B Shares (3,267,630) (3,664,755) (346,596) (818,793)
Class C Shares (1,556,725) (913,524) (150,963) (291,921)
Advisor Shares -- (5,236,445) -- (43,831)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (49,358,279) (58,291,819) (52,196,575) (98,044,862)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions 13,054,375 4,698,249 (40,555,797) 89,072,024
------------- ------------- ------------- -------------
Change in net assets (90,289,812) 9,182,355 (177,543,926) 75,365,517
Net Assets:
Beginning of period 333,080,427 323,898,072 687,996,731 612,631,214
------------- ------------- ------------- -------------
End of period $ 242,790,615 $ 333,080,427 $ 510,452,805 $ 687,996,731
============= ============= ============= =============
Accumulated net investment income/(loss) $ 474,171 $ 190,486 $ 1,984,946 $ 940,547
============= ============= ============= =============
See notes to financial statements.
144
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Structured
Large Cap Plus Equity Index
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 1,534,818 $ 2,136,525 $ 7,344,365 $ 7,383,949
Net realized gains/(losses) on investment, and foreign
currency transactions (13,472,078) 26,175,821 13,028,282 20,347,897
Net realized gains/(losses) on futures transactions (558,529) 1,023,508 (1,429,781) 2,136,924
Net change in unrealized appreciation/depreciation on
investment, futures, and foreign currency (8,974,769) (724,354) (63,983,252) 32,586,089
Increase from payment by the Advisor -- -- -- --
------------- ------------- ------------- -------------
Change in net assets resulting from operations (21,470,558) 28,611,500 (45,040,386) 62,454,859
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (1,309,150) (1,484,856) (3,419,524) (3,548,007)
Class A Shares (79,171) (121,744) (974,595) (1,052,389)
Class B Shares -- (733) (26,956) (34,579)
Class C Shares -- (74) (15,089) (17,671)
Advisor Shares -- (332) (6,714) (26,537)
Select Shares NA NA (242,811) (316,520)
Preferred Shares NA NA (1,084,340) (1,143,158)
Trust Shares NA NA (978,975) (1,095,858)
Distributions from net realized gains:
Institutional Shares (856,424) (679,080) -- --
Class A Shares (93,043) (74,897) -- --
Class B Shares (5,094) (3,687) -- --
Class C Shares (525) (364) -- --
Advisor Shares -- (86) -- --
Select Shares NA NA -- --
Preferred Shares NA NA -- --
Trust Shares NA NA -- --
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (2,343,407) (2,365,853) (6,749,004) (7,234,719)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions (30,109,974) (14,015,622) (19,736,578) (39,858,523)
------------- ------------- ------------- -------------
Change in net assets (53,923,939) 12,230,025 (71,525,968) 15,361,617
Net Assets:
Beginning of period 200,732,585 188,502,560 423,031,552 407,669,935
------------- ------------- ------------- -------------
End of period $ 146,808,646 $ 200,732,585 $ 351,505,584 $ 423,031,552
============= ============= ============= =============
Accumulated net investment income/(loss) $ 734,778 $ 599,045 $ 1,085,044 $ 581,901
============= ============= ============= =============
International Equity Strategic Income
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 15,475,196 $ 6,269,734 $ 6,701,216 $ 7,298,467
Net realized gains/(losses) on investment, and foreign
currency transactions 60,759,191 43,926,186 1,648,109 1,943,371
Net realized gains/(losses) on futures transactions (6,567,479) 3,024,220 -- --
Net change in unrealized appreciation/depreciation on
investment, futures, and foreign currency (138,618,987) 55,245,318 (18,166,047) (1,791,447)
Increase from payment by the Advisor -- 133,673 -- --
------------- ------------- ------------- -------------
Change in net assets resulting from operations (68,952,079) 108,599,131 (9,816,722) 7,450,391
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (14,619,372) (3,673,902) (5,673,906) (5,548,644)
Class A Shares (856,639) (207,957) (794,429) (216,474)
Class B Shares (58,009) (10,848) (58,570) (65,273)
Class C Shares (18,544) (4,732) (619,788) (701,647)
Advisor Shares -- (63,954) (244,710) (851,612)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
Distributions from net realized gains:
Institutional Shares (29,176,707) (8,232,074) (3,176,817) (1,091,194)
Class A Shares (1,897,616) (541,904) (620,947) (42,722)
Class B Shares (173,109) (44,609) (38,921) (16,681)
Class C Shares (55,581) (20,357) (404,863) (179,985)
Advisor Shares -- (191,144) -- (195,089)
Select Shares NA NA NA NA
Preferred Shares NA NA NA NA
Trust Shares NA NA NA NA
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (46,855,577) (12,991,481) (11,632,951) (8,909,321)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions 55,866,818 (66,740,905) (18,073,057) 3,101,095
------------- ------------- ------------- -------------
Change in net assets (59,940,838) 28,866,745 (39,522,730) 1,642,165
Net Assets:
Beginning of period 503,992,546 475,125,801 155,688,320 154,046,155
------------- ------------- ------------- -------------
End of period $ 444,051,708 $ 503,992,546 $ 116,165,590 $ 155,688,320
============= ============= ============= =============
Accumulated net investment income/(loss) $ 7,073,147 $ 8,389,512 $ (716,566) $ (95,781)
============= ============= ============= =============
See notes to financial statements.
145
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
LifeModel LifeModel
Aggressive(SM) Moderately Aggressive(SM)
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 2,238,026 $ 1,330,931 $ 5,913,234 $ 4,830,168
Net realized gains/(losses) on investment transactions (4,227,220)+ 537,578+ (2,747,279)+ 3,573,348+
Realized gain distributions from underlying funds 18,471,397+ 14,140,124+ 24,039,269+ 20,709,745+
Net change in unrealized appreciation/depreciation on
investments (34,532,247) 14,305,489 (52,255,957) 18,609,617
------------- ------------- ------------- -------------
Change in net assets resulting from operations (18,050,044) 30,314,122 (25,050,733) 47,722,878
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (3,783,500) (869,582) (4,509,630) (2,531,973)
Class A Shares (1,680,334) (318,268) (3,524,519) (1,911,642)
Class B Shares (411,221) (30,098) (1,300,458) (409,881)
Class C Shares (69,660) (5,163) (195,768) (65,919)
Advisor Shares -- (4,048) (5,068) (22,630)
Distributions from net realized gains:
Institutional Shares (8,295,757) (2,955,413) (10,423,566) (3,622,789)
Class A Shares (4,002,116) (1,460,321) (8,979,268) (3,243,447)
Class B Shares (1,226,345) (497,605) (3,903,239) (1,409,226)
Class C Shares (204,489) (78,485) (591,434) (227,990)
Advisor Shares -- (26,126) -- (45,549)
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (19,673,422) (6,245,109) (33,432,950) (13,491,046)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions 6,391,352 3,367,814 (726,476) (18,845,143)
------------- ------------- ------------- -------------
Change in net assets (31,332,114) 27,436,827 (59,210,159) 15,386,689
Net Assets:
Beginning of period 199,590,213 172,153,386 342,454,485 327,067,796
------------- ------------- ------------- -------------
End of period $ 168,258,099 $ 199,590,213 $ 283,244,326 $ 342,454,485
============= ============= ============= =============
Accumulated net investment income/(loss) $ 524,464 $ 1,211,087 $ 2,112,567 $ 1,835,251
============= ============= ============= =============
- ----------
+ Represents realized gains/(losses) from investment transactions with
affiliates.
See notes to financial statements.
146
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
LifeModel LifeModel
Moderate(SM) Moderately Conservative(SM)
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 13,239,813 $ 12,474,849 $ 2,765,172 $ 2,689,068
Net realized gains/(losses) on investment transactions (6,026,303)+ 6,017,287+ (187,557)+ 1,713,854+
Realized gain distributions from underlying funds 26,088,658+ 23,818,817+ 4,027,567+ 3,988,943+
Net change in unrealized appreciation/depreciation on
investments (61,882,940) 20,732,210 (11,259,892) 2,577,426
------------- ------------- ------------- -------------
Change in net assets resulting from operations (28,580,772) 63,043,163 (4,654,710) 10,969,291
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (12,600,615) (9,594,733) (1,585,793) (1,282,492)
Class A Shares (2,899,679) (2,218,057) (1,110,928) (998,689)
Class B Shares (997,130) (677,732) (448,916) (386,763)
Class C Shares (138,359) (96,295) (69,482) (59,483)
Advisor Shares (2,191) (9,396) (427) (1,621)
Distributions from net realized gains:
Institutional Shares (20,515,914) (8,746,834) (2,364,527) (1,187,658)
Class A Shares (5,226,919) (2,291,027) (1,864,924) (1,034,738)
Class B Shares (2,353,782) (1,031,609) (992,900) (557,096)
Class C Shares (326,437) (146,415) (154,214) (87,821)
Advisor Shares -- (10,750) -- (1,777)
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (45,061,026) (24,822,848) (8,592,111) (5,598,138)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions (18,448,288) (46,663,141) (1,172,289) (10,465,909)
------------- ------------- ------------- -------------
Change in net assets (92,090,086) (8,442,826) (14,419,110) (5,094,756)
Net Assets:
Beginning of period 512,200,131 520,642,957 98,674,356 103,769,112
------------- ------------- ------------- -------------
End of period $ 420,110,045 $ 512,200,131 $ 84,255,246 $ 98,674,356
============= ============= ============= =============
Accumulated net investment income/(loss) $ 3,563,523 $ 2,712,831 $ 700,057 $ 498,544
============= ============= ============= =============
LifeModel
Conservative(SM) High Yield Bond
------------------------------ ------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Change in Net Assets:
Operations:
Net investment income $ 1,978,987 $ 1,832,505 $ 4,558,303 $ 4,664,937
Net realized gains/(losses) on investment transactions (481,097)+ 345,687+ (663,376) (451,025)
Realized gain distributions from underlying funds 1,169,223+ 1,100,198+ -- --
Net change in unrealized appreciation/depreciation on
investments (4,740,349) 1,103,773 (1,771,658) (938,554)
------------- ------------- ------------- -------------
Change in net assets resulting from operations (2,073,236) 4,382,163 2,123,269 3,275,358
------------- ------------- ------------- -------------
Distributions to shareholders from net investment income:
Institutional Shares (1,120,483) (942,214) (4,492,490) (4,609,852)
Class A Shares (539,011) (545,964) (24,449) (12,961)
Class B Shares (262,530) (276,669) (8,415) (7,741)
Class C Shares (79,687) (89,559) (8,177) (5,066)
Advisor Shares (386) (1,516) (347) (733)
Distributions from net realized gains:
Institutional Shares (748,020) (509,013) -- (212,690)
Class A Shares (393,285) (314,648) -- (564)
Class B Shares (245,318) (206,588) -- (350)
Class C Shares (73,460) (67,298) -- (193)
Advisor Shares -- (935) -- (34)
------------- ------------- ------------- -------------
Change in net assets from shareholder distributions (3,462,180) (2,954,404) (4,533,878) (4,850,184)
------------- ------------- ------------- -------------
Change in net assets from Fund share transactions 4,128,475 (3,986,340) (15,626,247) 3,818,475
------------- ------------- ------------- -------------
Change in net assets (1,406,941) (2,558,581) (18,036,856) 2,243,649
Net Assets:
Beginning of period 52,033,185 54,591,766 68,665,210 66,421,561
------------- ------------- ------------- -------------
End of period $ 50,626,244 $ 52,033,185 $ 50,628,354 $ 68,665,210
============= ============= ============= =============
Accumulated net investment income/(loss) $ 380,904 $ 225,838 $ 74,934 $ 50,423
============= ============= ============= =============
See notes to financial statements.
147
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Total Return Bond Short Term Bond
--------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ------------ ------------
Change in Net Assets:
Operations:
Net investment income $ 26,528,337 $ 12,591,353 $ 10,629,130 $ 10,491,667
Net realized gains/(losses) on investment and foreign
currency transactions (17,612,216) 1,238,558 1,136,154 (537,549)
Net realized gains/(losses) on futures transactions 2,659,320 (69,567) 255,815 --
Net change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency (30,127,802) (566,211) (1,546,312) 2,844,759
Increase from payment by the Advisor -- 124,462 -- --
------------ ------------ ------------ ------------
Change in net assets resulting from operations (18,552,361) 13,318,595 10,474,787 12,798,877
------------ ------------ ------------ ------------
Distributions to shareholders from net investment income:
Institutional Shares (25,360,147) (12,367,710) (10,362,660) (10,427,392)
Class A Shares (922,989) (450,582) (334,432) (413,016)
Class B Shares (131,997) (91,051) NA NA
Class C Shares (49,925) (9,599) (5,308) (5,770)
Advisor Shares (3,634) (9,583) -- (71)
Distributions to shareholders from paid-in capital
(tax return of capital):
Institutional Shares -- -- -- (224,278)
Class A Shares -- -- -- (9,513)
Class B Shares -- -- NA NA
Class C Shares -- -- -- (165)
Advisor Shares -- -- -- --
Distributions from net realized gains:
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- NA NA
Class C Shares -- -- -- --
Advisor Shares -- -- -- --
------------ ------------ ------------ ------------
Change in net assets from shareholder distributions (26,468,692) (12,928,525) (10,702,400) (11,080,205)
------------ ------------ ------------ ------------
Change in net assets from Fund share transactions 389,099,037 (26,437,149) (27,910,267) 4,500,453
------------ ------------ ------------ ------------
Change in net assets 344,077,984 (26,047,079) (28,137,880) 6,219,125
Net Assets:
Beginning of period 240,984,598 267,031,677 277,211,968 270,992,843
------------ ------------ ------------ ------------
End of period $585,062,582 $240,984,598 $249,074,088 $277,211,968
============ ============ ============ ============
Accumulated net investment income/(loss) $ 562,408 $ 83,477 $ 207,920 $ (2,296)
============ ============ ============ ============
See notes to financial statements.
148
Fifth Third Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Intermediate
Municipal Bond Municipal Bond
------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
----------- ----------- ------------ ------------
Change in Net Assets:
Operations:
Net investment income $ 1,671,900 $ 1,627,850 $ 5,147,041 $ 5,747,792
Net realized gains/(losses) on investment and foreign
currency transactions 104,766 259,291 310,951 844,549
Net realized gains/(losses) on futures transactions -- -- -- --
Net change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency (507,533) (281,781) 97,442 (900,898)
Increase from payment by the Advisor -- 90,858 -- --
----------- ----------- ------------ ------------
Change in net assets resulting from operations 1,269,133 1,696,218 5,555,434 5,691,443
----------- ----------- ------------ ------------
Distributions to shareholders from net investment income:
Institutional Shares (1,596,302) (1,556,226) (5,027,945) (5,651,880)
Class A Shares (43,053) (47,917) (65,029) (77,019)
Class B Shares (20,128) (27,999) (11,924) (3,808)
Class C Shares (1,028) (1,156) (2,723) (2,247)
Advisor Shares (2,299) (4,854) -- (58)
Distributions to shareholders from paid-in capital
(tax return of capital):
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- -- --
Class C Shares -- -- -- --
Advisor Shares -- -- -- --
Distributions from net realized gains:
Institutional Shares (138,279) (419,055) (383,431) (483,765)
Class A Shares (4,009) (14,111) (5,481) (7,190)
Class B Shares (2,289) (10,633) (971) (1,371)
Class C Shares (141) (209) (258) (249)
Advisor Shares -- (1,827) -- (8)
----------- ----------- ------------ ------------
Change in net assets from shareholder distributions (1,807,528) (2,083,987) (5,497,762) (6,227,595)
----------- ----------- ------------ ------------
Change in net assets from Fund share transactions (2,279,399) 4,763,910 (21,014,365) (15,585,411)
----------- ----------- ------------ ------------
Change in net assets (2,817,794) 4,376,141 (20,956,693) (16,121,563)
Net Assets:
Beginning of period 46,544,676 42,168,535 151,512,851 167,634,414
----------- ----------- ------------ ------------
End of period $43,726,882 $46,544,676 $130,556,158 $151,512,851
=========== =========== ============ ============
Accumulated net investment income/(loss) $ 89,878 $ 85,389 $ 27,184 $ 6,879
=========== =========== ============ ============
Ohio Michigan
Municipal Bond Municipal Bond
--------------------------- -------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ----------- -----------
Change in Net Assets:
Operations:
Net investment income $ 3,228,771 $ 3,724,891 $ 1,338,548 $ 1,548,171
Net realized gains/(losses) on investment and foreign
currency transactions 39,798 521,345 50,516 (66,883)
Net realized gains/(losses) on futures transactions -- -- -- --
Net change in unrealized appreciation/depreciation on
investments, swaps, futures and foreign currency 373,692 (817,563) 666,194 167,130
Increase from payment by the Advisor -- 134,906 -- --
------------ ------------ ----------- -----------
Change in net assets resulting from operations 3,642,261 3,563,579 2,055,258 1,648,418
------------ ------------ ----------- -----------
Distributions to shareholders from net investment income:
Institutional Shares (2,702,156) (2,913,543) (1,218,526) (1,404,825)
Class A Shares (435,904) (675,791) (100,878) (136,176)
Class B Shares (58,629) (80,433) (11,281) (12,180)
Class C Shares (15,917) (25,127) (2,061) (3,508)
Advisor Shares -- (57) -- (48)
Distributions to shareholders from paid-in capital
(tax return of capital):
Institutional Shares -- -- -- --
Class A Shares -- -- -- --
Class B Shares -- -- -- --
Class C Shares -- -- -- --
Advisor Shares -- -- -- --
Distributions from net realized gains:
Institutional Shares (324,279) (84,349) -- --
Class A Shares (54,564) (21,948) -- --
Class B Shares (9,604) (3,291) -- --
Class C Shares (2,586) (1,011) -- --
Advisor Shares -- (3) -- --
------------ ------------ ----------- -----------
Change in net assets from shareholder distributions (3,603,639) (3,805,553) (1,332,746) (1,556,737)
------------ ------------ ----------- -----------
Change in net assets from Fund share transactions (7,694,114) (12,503,836) (7,909,267) (7,166,187)
------------ ------------ ----------- -----------
Change in net assets (7,655,492) (12,745,810) (7,186,755) (7,074,506)
Net Assets:
Beginning of period 100,647,626 113,393,436 49,129,258 56,203,764
------------ ------------ ----------- -----------
End of period $ 92,992,134 $100,647,626 $41,942,503 $49,129,258
============ ============ =========== ===========
Accumulated net investment income/(loss) $ 282,487 $ 234,745 $ 1,613 $ (1,904)
============ ============ =========== ===========
See notes to financial statements.
149
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Small Cap Growth Mid Cap Growth
----------------------------- -----------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Capital Transactions:
Institutional Shares
Shares issued $ 18,351,493 $ 17,552,948 $ 26,012,871 $ 40,250,401
Shares issued in connection with acquisition -- -- 9,065,539~ --
Dividends reinvested 33,829,024 28,550,838 42,839,455 66,135,860
Shares redeemed (55,968,785) (57,730,073) (107,998,188) (100,373,690)
------------- ------------- ------------- -------------
Total Institutional Shares (3,788,268) (11,626,287) (30,080,323) 6,012,571
------------- ------------- ------------- -------------
Class A Shares
Shares issued 549,712 2,120,194 2,412,496 1,292,476
Shares issued in connection with acquistion -- -- 1,816,718~ --
Shares issued in conversion from Advisor Class @ 340,223 -- 2,477,345 --
Dividends reinvested 5,302,771 3,793,080 4,385,458 6,388,469
Shares redeemed (4,524,347) (7,035,076) (12,389,580) (11,595,939)
------------- ------------- ------------- -------------
Total Class A Shares 1,668,359 (1,121,802) (1,297,563) (3,914,994)
------------- ------------- ------------- -------------
Class B Shares
Shares issued 3,630 29,585 7,578 94,097
Shares issued in connection with acquistion -- -- 675,360~ --
Dividends reinvested 436,500 304,615 890,447 1,245,390
Shares redeemed (279,380) (363,716) (1,526,052) (1,775,831)
------------- ------------- ------------- -------------
Total Class B Shares 160,750 (29,516) 47,333 (436,344)
------------- ------------- ------------- -------------
Class C Shares
Shares issued 15,275 33,903 66,627 79,010
Shares issued in connection with acquistion -- -- 156,826~ --
Dividends reinvested 145,603 89,145 136,279 228,555
Shares redeemed (115,621) (58,394) (204,003) (548,531)
------------- ------------- ------------- -------------
Total Class C Shares 45,257 64,654 155,729 (240,966)
------------- ------------- ------------- -------------
Advisor Shares @
Shares issued 12,829 5,107 381,515 67,468
Shares issued in connection with acquistion -- -- 1,479,482~ --
Dividends reinvested -- 97,666 -- 146,288
Shares redeemed (426,102) (336,626) (2,562,158) (224,670)
------------- ------------- ------------- -------------
Total Advisor Shares (413,273) (233,853) (701,161) (10,914)
------------- ------------- ------------- -------------
Change from capital transactions $ (2,327,175) $ (12,946,804) $ (31,875,985) $ 1,409,353
============= ============= ============= =============
- ----------
* Shares acquired February 22, 2008 from Balanced Fund. See Note 1.
~ Shares acquired November 16, 2007 from Technology Fund. See Note 1.
@ Advisor Shares merged into Class A Shares on November 26, 2007.
See Note 1.
See notes to financial statements.
150
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Quality Growth Dividend Growth
----------------------------- -----------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Capital Transactions:
Institutional Shares
Shares issued $ 40,540,736 $ 31,611,068 $ 4,569,462 $ 9,365,905
Shares issued in connection with acquisition 11,574,529* -- -- --
Dividends reinvested 74,027,252 9,949,366 54,887 126,384
Shares redeemed (232,457,281) (223,621,470) (5,685,681) (8,981,013)
------------------------------ ------------- -------------
Total Institutional Shares (106,314,764) (182,061,036) (1,061,332) 511,276
------------------------------ ------------- -------------
Class A Shares
Shares issued 2,687,367 1,574,406 106,632 247,917
Shares issued in connection with acquistion 17,415,058* -- -- --
Shares issued in conversion from Advisor Class @ 1,716,200 -- 12,276 --
Dividends reinvested 11,361,475 1,864,612 35,470 73,439
Shares redeemed (26,576,497) (43,604,110) (791,239) (1,622,397)
------------------------------ ------------- -------------
Total Class A Shares 6,603,603 (40,165,092) (636,861) (1,301,041)
------------------------------ ------------- -------------
Class B Shares
Shares issued 156,529 124,998 5,135 58,942
Shares issued in connection with acquistion 5,332,543* -- -- --
Dividends reinvested 1,602,919 206,299 1,754 3,560
Shares redeemed (2,965,588) (4,286,444) (134,198) (110,410)
------------------------------ ------------- -------------
Total Class B Shares 4,126,403 (3,955,147) (127,309) (47,908)
------------------------------ ------------- -------------
Class C Shares
Shares issued 107,557 75,493 1,858 19,808
Shares issued in connection with acquistion 1,010,925* -- -- --
Dividends reinvested 329,184 47,159 1,667 3,428
Shares redeemed (650,609) (1,510,454) (111,450) (103,891)
------------------------------ ------------- -------------
Total Class C Shares 797,057 (1,387,802) (107,925) (80,655)
------------------------------ ------------- -------------
Advisor Shares @
Shares issued 188,281 395,882 -- 2
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested -- 32,432 52 169
Shares redeemed (1,835,848) (1,054,145) (12,276) (3,005)
------------------------------ ------------- -------------
Total Advisor Shares (1,647,567) (625,831) (12,224) (2,834)
------------------------------ ------------- -------------
Change from capital transactions $ (96,435,268) $(228,194,908) $ (1,945,651) $ (921,162)
============================== ============= =============
Micro Cap Value Small Cap Value
----------------------------- -----------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------- -------------
Capital Transactions:
Institutional Shares
Shares issued $ 6,066,051 $ 6,467,923 $ 26,579,330 $ 18,879,208
Shares issued in connection with acquisition -- -- -- --
Dividends reinvested 14,340,480 14,684,836 12,679,817 15,350,809
Shares redeemed (29,004,091) (35,811,649) (47,594,887) (37,711,569)
------------- ------------- ------------- -------------
Total Institutional Shares (8,597,560) (14,658,890) (8,335,740) (3,481,552)
------------- ------------- ------------- -------------
Class A Shares
Shares issued 2,244,932 2,105,315 301,793 287,560
Shares issued in connection with acquistion -- -- -- --
Shares issued in conversion from Advisor Class @ 7,212,083 -- 607,582 --
Dividends reinvested 5,254,257 3,541,744 261,145 259,321
Shares redeemed (8,048,233) (10,249,425) (1,306,456) (727,534)
------------- ------------- ------------- -------------
Total Class A Shares 6,663,039 (4,602,366) (135,936) (180,653)
------------- ------------- ------------- -------------
Class B Shares
Shares issued 12,049 108,130 4,339 66,754
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested 1,658,928 1,322,564 110,053 112,855
Shares redeemed (1,314,436) (1,651,994) (195,184) (262,809)
------------- ------------- ------------- -------------
Total Class B Shares 356,541 (221,300) (80,792) (83,200)
------------- ------------- ------------- -------------
Class C Shares
Shares issued 410,289 976,858 29,724 76,091
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested 799,698 597,148 68,484 85,685
Shares redeemed (935,561) (3,651,710) (308,994) (269,137)
------------- ------------- ------------- -------------
Total Class C Shares 274,426 (2,077,704) (210,786) (107,361)
------------- ------------- ------------- -------------
Advisor Shares @
Shares issued 140,108 607,556 6,367 43,411
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested -- 3,508,359 -- 119,477
Shares redeemed (8,560,314) (10,308,064) (842,321) (442,094)
------------- ------------- ------------- -------------
Total Advisor Shares (8,420,206) (6,192,149) (835,954) (279,206)
------------- ------------- ------------- -------------
Change from capital transactions $ (9,723,760) $ (27,752,409) $ (9,599,208) $ (4,131,972)
============= ============= ============= =============
See notes to financial statements.
151
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Small Cap Growth Mid Cap Growth
----------------------- -----------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
---------- ---------- ---------- ----------
Share Transactions:
Institutional Shares
Shares issued 2,224,928 1,292,571 1,922,486 2,506,523
Shares issued in connection with acquistion -- -- 589,027~ --
Dividends reinvested 3,689,098 2,340,233 3,093,101 4,477,764
Shares redeemed (6,044,587) (4,235,153) (8,179,685) (6,253,257)
---------- ---------- ---------- ----------
Total Institutional Shares (130,561) (602,349) (2,575,071) 731,030
---------- ---------- ---------- ----------
Class A Shares
Shares issued 59,687 167,412 133,865 82,965
Shares issued in connection with acquistion -- -- 121,948~ --
Shares issued in conversion from Advisor Class @ 27,415 -- 171,206 --
Dividends reinvested 618,760 324,195 328,745 445,811
Shares redeemed (533,471) (545,708) (907,634) (744,405)
---------- ---------- ---------- ----------
Total Class A Shares 172,391 (54,101) (151,870) (215,629)
---------- ---------- ---------- ----------
Class B Shares
Shares issued 440 2,337 389 6,297
Shares issued in connection with acquistion -- -- 48,285~ --
Dividends reinvested 55,253 27,246 71,637 91,911
Shares redeemed (33,934) (28,696) (127,139) (119,035)
---------- ---------- ---------- ----------
Total Class B Shares 21,759 887 (6,828) (20,827)
---------- ---------- ---------- ----------
Class C Shares
Shares issued 1,858 2,593 5,665 5,572
Shares issued in connection with acquistion -- -- 11,743~ --
Dividends reinvested 18,407 7,959 11,708 17,676
Shares redeemed (15,732) (4,759) (17,421) (39,559)
---------- ---------- ---------- ----------
Total Class C Shares 4,533 5,793 11,695 (16,311)
---------- ---------- ---------- ----------
Advisor Shares @
Shares issued 1,021 334 25,997 4,379
Shares issued in connection with acquistion -- -- 100,989~ --
Dividends reinvested -- 8,355 -- 10,360
Shares redeemed (33,998) (24,860) (178,278) (14,290)
---------- ---------- ---------- ----------
Total Advisor Shares (32,977) (16,171) (51,292) 449
---------- ---------- ---------- ----------
Change from capital transactions 35,145 (665,941) (2,773,366) 478,712
========== ========== ========== ==========
- ----------
* Shares acquired February 22, 2008 from Balanced Fund. See Note 1.
~ Shares acquired November 16, 2007 from Technology Fund. See Note 1.
@ Advisor Shares merged into Class A Shares on November 26, 2007. See Note
1.
See notes to financial statements.
152
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Quality Growth Dividend Growth
------------------------- -------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
----------- ----------- -------- --------
Share Transactions:
Institutional Shares
Shares issued 2,239,699 1,832,376 177,404 403,705
Shares issued in connection with acquistion 710,146* -- -- --
Dividends reinvested 4,062,751 573,875 2,067 5,210
Shares redeemed (13,513,980) (12,831,507) (222,940) (367,016)
----------- ----------- -------- --------
Total Institutional Shares (6,501,384) (10,425,256) (43,469) 41,899
----------- ----------- -------- --------
Class A Shares
Shares issued 154,719 91,875 4,210 10,204
Shares issued in connection with acquistion 1,096,929* -- -- --
Shares issued in conversion from Advisor Class @ 89,853 487
Dividends reinvested 640,172 110,013 1,348 3,074
Shares redeemed (1,523,617) (2,561,574) (30,992) (67,195)
----------- ----------- -------- --------
Total Class A Shares 458,056 (2,359,686) (24,947) (53,917)
----------- ----------- -------- --------
Class B Shares
Shares issued 9,329 7,624 207 2,522
Shares issued in connection with acquistion 355,892* -- -- --
Dividends reinvested 95,526 12,703 68 154
Shares redeemed (183,836) (264,049) (5,510) (4,721)
----------- ----------- -------- --------
Total Class B Shares 276,911 (243,722) (5,235) (2,045)
----------- ----------- -------- --------
Class C Shares
Shares issued 6,897 4,753 79 911
Shares issued in connection with acquistion 69,597* -- -- --
Dividends reinvested 20,232 2,980 67 152
Shares redeemed (41,209) (95,450) (4,781) (4,574)
----------- ----------- -------- --------
Total Class C Shares 55,517 (87,717) (4,635) (3,511)
----------- ----------- -------- --------
Advisor Shares @
Shares issued 9,314 24,964 -- --
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested -- 1,935 2 7
Shares redeemed (97,307) (62,452) (489) (120)
----------- ----------- -------- --------
Total Advisor Shares (87,993) (35,553) (487) (113)
----------- ----------- -------- --------
Change from capital transactions (5,798,893) (13,151,934) (78,773) (17,687)
=========== =========== ======== ========
Micro Cap Value Small Cap Value
----------------------- -----------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
---------- ---------- ---------- ----------
Share Transactions:
Institutional Shares
Shares issued 1,337,937 858,864 1,597,844 895,117
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested 3,668,554 2,153,627 728,695 753,368
Shares redeemed (6,304,922) (4,744,080) (2,714,594) (1,762,829)
---------- ---------- ---------- ----------
Total Institutional Shares (1,298,431) (1,731,589) (388,055) (114,344)
---------- ---------- ---------- ----------
Class A Shares
Shares issued 500,792 297,220 17,466 13,615
Shares issued in connection with acquistion -- -- -- --
Shares issued in conversion from Advisor Class @ 1,208,054 -- 32,491 --
Dividends reinvested 1,447,533 540,626 15,198 12,842
Shares redeemed (1,838,902) (1,409,466) (74,668) (34,441)
---------- ---------- ---------- ----------
Total Class A Shares 1,317,477 (571,620) (9,513) (7,984)
---------- ---------- ---------- ----------
Class B Shares
Shares issued 3,994 15,769 299 3,236
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested 501,186 212,247 6,694 5,782
Shares redeemed (340,190) (237,169) (12,283) (12,456)
---------- ---------- ---------- ----------
Total Class B Shares 164,990 (9,153) (5,290) (3,438)
---------- ---------- ---------- ----------
Class C Shares
Shares issued 117,306 144,832 1,806 3,659
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested 241,601 95,795 4,176 4,401
Shares redeemed (252,716) (481,078) (19,033) (12,785)
---------- ---------- ---------- ----------
Total Class C Shares 106,191 (240,451) (13,051) (4,725)
---------- ---------- ---------- ----------
Advisor Shares @
Shares issued 21,671 83,979 319 2,078
Shares issued in connection with acquistion -- -- -- --
Dividends reinvested -- 543,274 -- 5,984
Shares redeemed (1,435,231) (1,456,794) (44,745) (21,258)
---------- ---------- ---------- ----------
Total Advisor Shares (1,413,560) (829,541) (44,426) (13,196)
---------- ---------- ---------- ----------
Change from capital transactions (1,123,333) (3,382,354) (460,335) (143,687)
========== ========== ========== ==========
See notes to financial statements.
153
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Disciplined
All Cap Value Large Cap Value
--------------------------- -----------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ------------- -------------
Capital Transactions:
Institutional Shares
Shares issued $ 54,056,402 $ 40,510,028 $ 144,979,786 $ 152,582,434
Dividends reinvested 31,374,511 38,232,651 43,348,231 84,554,208
Shares redeemed (75,018,207) (85,610,125) (220,635,610) (156,187,029)
------------ ------------ ------------- -------------
Total Institutional Shares 10,412,706 (6,867,446) (32,307,593) 80,949,613
------------ ------------ ------------- -------------
Class A Shares
Shares issued 18,824,047 12,552,089 6,003,641 14,523,995
Shares issued in conversion from Advisor Class @ 29,310,119 -- 310,464 --
Dividends reinvested 9,627,571 5,675,246 1,751,053 3,225,559
Shares redeemed (27,523,714) (12,340,817) (14,854,391) (10,380,042)
------------ ------------ ------------- -------------
Total Class A Shares 30,238,023 5,886,518 (6,789,233) 7,369,512
------------ ------------ ------------- -------------
Class B Shares
Shares issued 227,256 1,731,692 83,847 684,831
Dividends reinvested 3,104,922 3,517,456 312,285 697,579
Shares redeemed (4,672,578) (2,947,164) (1,216,232) (1,211,672)
------------ ------------ ------------- -------------
Total Class B Shares (1,340,400) 2,301,984 (820,100) 170,738
------------ ------------ ------------- -------------
Class C Shares
Shares issued 6,212,110 4,727,963 387,669 735,313
Dividends reinvested 702,368 564,141 107,176 245,778
Shares redeemed (2,891,566) (1,472,122) (781,046) (631,116)
------------ ------------ ------------- -------------
Total Class C Shares 4,022,912 3,819,982 (286,201) 349,976
------------ ------------ ------------- -------------
Advisor Shares @
Shares issued 569,796 2,036,000 1,410 205,985
Dividends reinvested 69,066 5,367,971 954 35,079
Shares redeemed (30,917,728) (7,846,760) (355,034) (8,879)
------------ ------------ ------------- -------------
Total Advisor Shares (30,278,866) (442,789) (352,670) 232,185
------------ ------------ ------------- -------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------- -------------
Total Select Shares NA NA NA NA
------------ ------------ ------------- -------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------- -------------
Total Preferred Shares NA NA NA NA
------------ ------------ ------------- -------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------- -------------
Total Trust Shares NA NA NA NA
------------ ------------ ------------- -------------
Change from capital transactions $ 13,054,375 $ 4,698,249 $ (40,555,797) $ 89,072,024
============ ============ ============= =============
- ----------
@ Advisor Shares merged into Class A Shares on November 26, 2007. See Note 1.
See notes to financial statements.
154
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Structured
Large Cap Plus Equity Index
--------------------------- -----------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ------------- -------------
Capital Transactions:
Institutional Shares
Shares issued $ 9,364,536 $ 32,727,844 $ 59,212,272 $ 71,765,032
Dividends reinvested 1,897,645 766,315 3,073,842 2,966,822
Shares redeemed (36,455,733) (43,437,005) (61,716,059) (90,566,479)
------------ ------------ ------------- -------------
Total Institutional Shares (25,193,552) (9,942,846) 570,055 (15,834,625)
------------ ------------ ------------- -------------
Class A Shares
Shares issued 841,577 1,639,657 17,939,461 13,919,274
Shares issued in conversion from Advisor Class @ 475,004 -- 1,644,628 --
Dividends reinvested 161,295 186,350 938,144 1,019,330
Shares redeemed (5,711,578) (6,337,106) (22,359,455) (23,375,690)
------------ ------------ ------------- -------------
Total Class A Shares (4,233,702) (4,511,099) (1,837,222) (8,437,086)
------------ ------------ ------------- -------------
Class B Shares
Shares issued 27,342 146,483 37,119 249,753
Dividends reinvested 3,452 3,272 22,886 29,804
Shares redeemed (224,507) (174,980) (536,422) (1,106,990)
------------ ------------ ------------- -------------
Total Class B Shares (193,713) (25,225) (476,417) (827,433)
------------ ------------ ------------- -------------
Class C Shares
Shares issued 3,970 41,922 789,910 464,010
Dividends reinvested 125 136 12,603 13,504
Shares redeemed (43,347) (40,412) (878,853) (536,264)
------------ ------------ ------------- -------------
Total Class C Shares (39,252) 1,646 (76,340) (58,750)
------------ ------------ ------------- -------------
Advisor Shares @
Shares issued 25,250 478,077 98,888 980,198
Dividends reinvested -- 367 6,327 22,473
Shares redeemed (475,005) (16,542) (2,338,049) (798,958)
------------ ------------ ------------- -------------
Total Advisor Shares (449,755) 461,902 (2,232,834) 203,713
------------ ------------ ------------- -------------
Select Shares
Shares issued NA NA 2,650,941 2,182,509
Dividends reinvested NA NA 189,097 258,738
Shares redeemed NA NA (8,021,420) (4,586,055)
------------ ------------ ------------- -------------
Total Select Shares NA NA (5,181,382) (2,144,808)
------------ ------------ ------------- -------------
Preferred Shares
Shares issued NA NA 13,337,348 12,352,597
Dividends reinvested NA NA 1,031,374 1,086,916
Shares redeemed NA NA (18,226,313) (17,954,481)
------------ ------------ ------------- -------------
Total Preferred Shares NA NA (3,857,591) (4,514,968)
------------ ------------ ------------- -------------
Trust Shares
Shares issued NA NA 1,419,562 751,520
Dividends reinvested NA NA 211,891 224,722
Shares redeemed NA NA (8,276,300) (9,220,808)
------------ ------------ ------------- -------------
Total Trust Shares NA NA (6,644,847) (8,244,566)
------------ ------------ ------------- -------------
Change from capital transactions $(30,109,974) $(14,015,622) $ (19,736,578) $ (39,858,523)
============ ============ ============= =============
International Equity Strategic Income
----------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------- ------------ ------------
Capital Transactions:
Institutional Shares
Shares issued $ 107,442,491 $ 88,895,499 $ 21,983,904 $ 25,799,720
Dividends reinvested 37,795,968 9,336,286 4,073,364 1,928,693
Shares redeemed (84,685,323) (151,154,015) (35,830,867) (17,153,564)
------------- ------------- ------------ ------------
Total Institutional Shares 60,553,136 (52,922,230) (9,773,599) 10,574,849
------------- ------------- ------------ ------------
Class A Shares
Shares issued 2,896,227 5,000,432 1,249,377 1,441,940
Shares issued in conversion from Advisor Class @ 9,645,937 -- 15,920,156 --
Dividends reinvested 2,514,901 710,851 1,125,496 188,854
Shares redeemed (9,970,244) (17,514,209) (5,938,850) (1,094,835)
------------- ------------- ------------ ------------
Total Class A Shares 5,086,821 (11,802,926) 12,356,179 535,959
------------- ------------- ------------ ------------
Class B Shares
Shares issued 301,088 461,138 57,385 403,747
Dividends reinvested 149,739 37,477 55,348 50,473
Shares redeemed (347,766) (323,095) (460,088) (500,115)
------------- ------------- ------------ ------------
Total Class B Shares 103,061 175,520 (347,355) (45,895)
------------- ------------- ------------ ------------
Class C Shares
Shares issued 338,590 124,212 917,581 516,524
Dividends reinvested 63,241 20,879 816,495 711,565
Shares redeemed (343,340) (587,938) (5,538,549) (5,510,754)
------------- ------------- ------------ ------------
Total Class C Shares 58,491 (442,847) (3,804,473) (4,282,665)
------------- ------------- ------------ ------------
Advisor Shares @
Shares issued 102,711 354,645 114,121 1,816,296
Dividends reinvested -- 235,222 155,553 904,714
Shares redeemed (10,037,402) (2,338,289) (16,773,483) (6,402,163)
------------- ------------- ------------ ------------
Total Advisor Shares (9,934,691) (1,748,422) (16,503,809) (3,681,153)
------------- ------------- ------------ ------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------- ------------- ------------ ------------
Total Select Shares NA NA NA NA
------------- ------------- ------------ ------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------- ------------- ------------ ------------
Total Preferred Shares NA NA NA NA
------------- ------------- ------------ ------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------- ------------- ------------ ------------
Total Trust Shares NA NA NA NA
------------- ------------- ------------ ------------
Change from capital transactions $ 55,866,818 $ (66,740,905) $(18,073,057) $ 3,101,095
============= ============= ============ ============
See notes to financial statements.
155
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Disciplined
All Cap Value Large Cap Value
------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
----------- ----------- ------------ ------------
Share Transactions:
Institutional Shares
Shares issued 2,610,095 1,564,867 11,460,724 10,138,877
Dividends reinvested 1,429,339 1,573,035 3,192,740 6,073,483
Shares redeemed (3,546,567) (3,221,883) (17,353,887) (10,589,688)
----------- ----------- ------------ ------------
Total Institutional Shares 492,867 (83,981) (2,700,423) 5,622,672
----------- ----------- ------------ ------------
Class A Shares
Shares issued 865,717 485,218 442,042 986,486
Shares issued in conversion from Advisor Class @ 1,247,239 -- 22,896 --
Dividends reinvested 446,442 236,445 129,520 231,921
Shares redeemed (1,331,075) (478,613) (1,114,026) (711,058)
----------- ----------- ------------ ------------
Total Class A Shares 1,228,323 243,050 (519,568) 507,349
----------- ----------- ------------ ------------
Class B Shares
Shares issued 11,141 69,465 5,935 45,718
Dividends reinvested 150,389 152,646 22,786 49,815
Shares redeemed (232,910) (118,351) (93,999) (80,791)
----------- ----------- ------------ ------------
Total Class B Shares (71,380) 103,760 (65,278) 14,742
----------- ----------- ------------ ------------
Class C Shares
Shares issued 289,994 188,790 28,721 50,586
Dividends reinvested 34,095 24,509 7,986 17,910
Shares redeemed (146,217) (59,334) (59,831) (43,183)
----------- ----------- ------------ ------------
Total Class C Shares 177,872 153,965 (23,124) 25,313
----------- ----------- ------------ ------------
Advisor Shares @
Shares issued 22,635 78,829 97 13,860
Dividends reinvested 2,668 225,276 64 2,530
Shares redeemed (1,319,178) (311,225) (26,037) (618)
----------- ----------- ------------ ------------
Total Advisor Shares (1,293,875) (7,120) (25,876) 15,772
----------- ----------- ------------ ------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Select Shares NA NA NA NA
----------- ----------- ------------ ------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Preferred Shares NA NA NA NA
----------- ----------- ------------ ------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Trust Shares NA NA NA NA
----------- ----------- ------------ ------------
Change from capital transactions 533,807 409,674 (3,334,269) 6,185,848
=========== =========== ============ ============
- ----------
@ Advisor Shares merged into Class A Shares on November 26, 2007.
See Note 1.
See notes to financial statements.
156
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Structured
Large Cap Plus Equity Index
------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
----------- ----------- ------------ ------------
Share Transactions:
Institutional Shares
Shares issued 585,317 2,106,786 2,234,919 2,657,398
Dividends reinvested 114,438 45,850 114,790 109,758
Shares redeemed (2,219,177) (2,509,205) (2,321,873) (3,367,121)
----------- ----------- ------------ ------------
Total Institutional Shares (1,519,422) (356,569) 27,836 (599,965)
----------- ----------- ------------ ------------
Class A Shares
Shares issued 51,661 99,092 684,184 510,858
Shares issued in conversion from Advisor Class @ 29,339 -- 61,758 --
Dividends reinvested 9,832 11,355 35,041 37,908
Shares redeemed (360,870) (373,930) (846,425) (861,780)
----------- ----------- ------------ ------------
Total Class A Shares (270,038) (263,483) (65,442) (313,014)
----------- ----------- ------------ ------------
Class B Shares
Shares issued 1,621 9,010 1,392 9,506
Dividends reinvested 200 198 852 1,072
Shares redeemed (14,215) (10,270) (20,101) (41,816)
----------- ----------- ------------ ------------
Total Class B Shares (12,394) (1,062) (17,857) (31,238)
----------- ----------- ------------ ------------
Class C Shares
Shares issued 243 2,494 30,437 17,237
Dividends reinvested 7 8 471 503
Shares redeemed (2,580) (2,495) (33,474) (19,718)
----------- ----------- ------------ ------------
Total Class C Shares (2,330) 7 (2,566) (1,978)
----------- ----------- ------------ ------------
Advisor Shares @
Shares issued 1,478 28,294 3,539 35,407
Dividends reinvested -- 22 219 833
Shares redeemed (29,022) (958) (86,159) (29,232)
----------- ----------- ------------ ------------
Total Advisor Shares (27,544) 27,358 (82,401) 7,008
----------- ----------- ------------ ------------
Select Shares
Shares issued NA NA 99,285 81,744
Dividends reinvested NA NA 6,996 9,597
Shares redeemed NA NA (288,574) (169,033)
----------- ----------- ------------ ------------
Total Select Shares NA NA (182,293) (77,692)
----------- ----------- ------------ ------------
Preferred Shares
Shares issued NA NA 500,849 453,928
Dividends reinvested NA NA 38,431 40,274
Shares redeemed NA NA (685,113) (664,625)
----------- ----------- ------------ ------------
Total Preferred Shares NA NA (145,833) (170,423)
----------- ----------- ------------ ------------
Trust Shares
Shares issued NA NA 53,269 27,754
Dividends reinvested NA NA 7,891 8,324
Shares redeemed NA NA (307,364) (343,720)
----------- ----------- ------------ ------------
Total Trust Shares NA NA (246,204) (307,642)
----------- ----------- ------------ ------------
Change from capital transactions (1,831,728) (593,749) (714,760) (1,494,944)
=========== =========== ============ ============
International Equity Strategic Income
------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
----------- ----------- ------------ ------------
Share Transactions:
Institutional Shares
Shares issued 7,675,377 6,855,630 2,262,109 2,238,431
Dividends reinvested 2,466,260 19,539 385,400 166,799
Shares redeemed (5,925,937) (10,576,978) (3,402,388) (1,489,559)
----------- ----------- ------------ ------------
Total Institutional Shares 4,215,700 (3,701,809) (754,879) 915,671
----------- ----------- ------------ ------------
Class A Shares
Shares issued 190,419 350,503 119,016 124,977
Shares issued in conversion from Advisor Class @ 608,573 -- 1,483,705 --
Dividends reinvested 165,597 51,405 108,234 16,419
Shares redeemed (701,535) (1,175,636) (573,107) (95,311)
----------- ----------- ------------ ------------
Total Class A Shares 263,054 (773,728) 1,137,848 46,085
----------- ----------- ------------ ------------
Class B Shares
Shares issued 21,339 33,438 5,647 35,106
Dividends reinvested 10,032 2,760 5,271 4,386
Shares redeemed (25,184) (23,219) (43,372) (43,621)
----------- ----------- ------------ ------------
Total Class B Shares 6,187 12,979 (32,454) (4,129)
----------- ----------- ------------ ------------
Class C Shares
Shares issued 24,176 9,116 88,856 45,117
Dividends reinvested 4,363 1,580 78,296 62,248
Shares redeemed (25,632) (43,978) (530,122) (483,076)
----------- ----------- ------------ ------------
Total Class C Shares 2,907 (33,282) (362,970) (375,711)
----------- ----------- ------------ ------------
Advisor Shares @
Shares issued 6,258 24,565 10,234 157,665
Dividends reinvested -- 17,036 13,901 78,659
Shares redeemed (633,597) (165,057) (1,560,928) (557,004)
----------- ----------- ------------ ------------
Total Advisor Shares (627,339) (123,456) (1,536,793) (320,680)
----------- ----------- ------------ ------------
Select Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Select Shares NA NA NA NA
----------- ----------- ------------ ------------
Preferred Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Preferred Shares NA NA NA NA
----------- ----------- ------------ ------------
Trust Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
----------- ----------- ------------ ------------
Total Trust Shares NA NA NA NA
----------- ----------- ------------ ------------
Change from capital transactions 3,860,509 (4,619,296) (1,549,248) 261,236
=========== =========== ============ ============
See notes to financial statements.
157
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
LifeModel LifeModel
Aggressive(SM) Moderately Aggressive(SM)
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Capital Transactions:
Institutional Shares
Shares issued $ 36,651,093 $ 34,927,679 $ 35,765,190 $ 40,365,993
Dividends reinvested 11,973,027 3,800,909 14,649,716 5,982,606
Shares redeemed (36,991,479) (35,137,023) (35,921,085) (49,433,158)
-------------- -------------- -------------- --------------
Total Institutional Shares 11,632,641 3,591,565 14,493,821 (3,084,559)
-------------- -------------- -------------- --------------
Class A Shares
Shares issued 6,578,900 10,153,495 11,129,345 16,757,098
Shares issued in conversion from Advisor Class @ 1,025,921 -- 1,726,994 --
Dividends reinvested 5,129,311 1,601,098 11,137,882 4,649,043
Shares redeemed (14,482,942) (11,631,308) (31,570,465) (35,182,475)
-------------- -------------- -------------- --------------
Total Class A Shares (1,748,810) 123,285 (7,576,244) (13,776,334)
-------------- -------------- -------------- --------------
Class B Shares
Shares issued 251,759 1,342,781 867,984 4,627,115
Dividends reinvested 1,437,622 465,834 4,594,307 1,634,030
Shares redeemed (3,781,777) (2,440,273) (9,610,608) (8,599,177)
-------------- -------------- -------------- --------------
Total Class B Shares (2,092,396) (631,658) (4,148,317) (2,338,032)
-------------- -------------- -------------- --------------
Class C Shares
Shares issued 256,370 678,624 575,356 1,687,050
Dividends reinvested 225,654 69,289 588,739 221,513
Shares redeemed (712,318) (733,790) (2,699,330) (1,985,103)
-------------- -------------- -------------- --------------
Total Class C Shares (230,294) 14,123 (1,535,235) (76,540)
-------------- -------------- -------------- --------------
Advisor Shares @
Shares issued 62,490 354,426 87,212 681,514
Dividends reinvested -- 21,086 4,049 50,951
Shares redeemed (1,232,279) (105,015) (2,051,762) (302,143)
-------------- -------------- -------------- --------------
Total Advisor Shares (1,169,789) 270,498 (1,960,501) 430,322
-------------- -------------- -------------- --------------
Change from capital transactions $ 6,391,352 $ 3,367,814 $ (726,476) $ (18,845,143)
============== ============== ============== ==============
- ----------
@ Advisor Shares merged into Class A on November 26, 2007. See Note 1.
See notes to financial statements.
158
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
LifeModel LifeModel
Moderate(SM) Moderately Conservative(SM)
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Capital Transactions:
Institutional Shares
Shares issued $ 63,815,563 $ 59,249,615 $ 20,168,978 $ 12,947,962
Dividends reinvested 32,832,009 18,093,490 3,836,684 2,372,312
Shares redeemed (100,326,429) (104,703,184) (16,227,791) (18,923,660)
-------------- -------------- -------------- --------------
Total Institutional Shares (3,678,857) (27,360,079) 7,777,871 (3,603,386)
-------------- -------------- -------------- --------------
Class A Shares
Shares issued 15,105,360 11,504,247 2,584,086 3,504,603
Shares issued in conversion from Advisor Class @ 490,793 -- 67,850 --
Dividends reinvested 7,377,426 4,118,547 2,757,705 1,891,131
Shares redeemed (31,148,455) (30,724,498) (11,387,672) (9,111,508)
-------------- -------------- -------------- --------------
Total Class A Shares (8,174,876) (15,101,704) (5,978,031) (3,715,774)
-------------- -------------- -------------- --------------
Class B Shares
Shares issued 1,084,157 2,795,247 472,662 729,678
Dividends reinvested 2,916,318 1,505,425 1,286,727 840,400
Shares redeemed (9,160,343) (7,684,255) (4,348,925) (4,255,270)
-------------- -------------- -------------- --------------
Total Class B Shares (5,159,868) (3,383,583) (2,589,536) (2,685,192)
-------------- -------------- -------------- --------------
Class C Shares
Shares issued 325,086 832,622 440,591 593,835
Dividends reinvested 385,650 209,656 177,134 121,197
Shares redeemed (1,721,243) (1,836,745) (932,535) (1,179,434)
-------------- -------------- -------------- --------------
Total Class C Shares (1,010,507) (794,467) (314,810) (464,402)
-------------- -------------- -------------- --------------
Advisor Shares @
Shares issued 78,341 175,828 -- 886
Dividends reinvested 1,867 17,550 427 3,399
Shares redeemed (504,388) (216,686) (68,210) (1,440)
-------------- -------------- -------------- --------------
Total Advisor Shares (424,180) (23,308) (67,783) 2,845
-------------- -------------- -------------- --------------
Change from capital transactions $ (18,448,288) $ (46,663,141) $ (1,172,289) $ (10,465,909)
============== ============== ============== ==============
LifeModel
Conservative(SM) High Yield Bond
------------------------------- -------------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Capital Transactions:
Institutional Shares
Shares issued $ 18,340,781 $ 8,971,554 $ 11,952,468 $ 23,930,806
Dividends reinvested 1,823,371 1,412,143 2,386,235 908,825
Shares redeemed (13,605,138) (10,839,119) (30,016,314) (21,120,553)
-------------- -------------- -------------- --------------
Total Institutional Shares 6,559,014 (455,422) (15,677,611) 3,719,078
-------------- -------------- -------------- --------------
Class A Shares
Shares issued 3,811,460 1,624,590 1,737,216 42,518
Shares issued in conversion from Advisor Class @ 46,710 -- 13,971 --
Dividends reinvested 886,855 821,482 9,811 10,126
Shares redeemed (5,438,575) (3,922,289) (1,691,250) (101,594)
-------------- -------------- -------------- --------------
Total Class A Shares (693,550) (1,476,217) 69,748 (48,950)
-------------- -------------- -------------- --------------
Class B Shares
Shares issued 360,223 595,136 73,109 63,689
Dividends reinvested 434,348 421,743 2,954 2,388
Shares redeemed (1,907,057) (2,250,550) (72,393) --
-------------- -------------- -------------- --------------
Total Class B Shares (1,112,486) (1,233,671) 3,670 66,077
-------------- -------------- -------------- --------------
Class C Shares
Shares issued 223,628 400,660 556 75,737
Dividends reinvested 125,660 136,798 2,039 1,979
Shares redeemed (927,467) (1,359,289) (10,787) (57)
-------------- -------------- -------------- --------------
Total Class C Shares (578,179) (821,831) (8,192) 77,659
-------------- -------------- -------------- --------------
Advisor Shares @
Shares issued -- 2,072 -- 4,542
Dividends reinvested 386 379 109 69
Shares redeemed (46,710) (1,650) (13,971) --
-------------- -------------- -------------- --------------
Total Advisor Shares (46,324) 801 (13,862) 4,611
-------------- -------------- -------------- --------------
Change from capital transactions 4,128,475 $ (3,986,340) $ (15,626,247) $ 3,818,475
============== ============== ============== ==============
See notes to financial statements.
159
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
LifeModel LifeModel
Aggressive(SM) Moderately Aggressive(SM)
------------------------ -------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
---------- ---------- ---------- ----------
Share Transactions:
Institutional Shares
Shares issued 2,420,541 2,179,846 2,524,975 2,687,689
Dividends reinvested 747,918 242,859 991,426 401,622
Shares redeemed (2,420,205) (2,169,598) (2,491,206) (3,266,867)
---------- ---------- ---------- ----------
Total Institutional Shares 748,254 253,107 1,025,195 (177,556)
---------- ---------- ---------- ----------
Class A Shares
Shares issued 426,168 633,575 778,679 1,114,345
Shares issued in conversion from Advisor Class @ 62,824 -- 113,097 --
Dividends reinvested 321,974 102,601 754,334 312,808
Shares redeemed (961,357) (727,219) (2,250,245) (2,346,840)
---------- ---------- ---------- ----------
Total Class A Shares (150,391) 8,957 (604,135) (919,687)
---------- ---------- ---------- ----------
Class B Shares
Shares issued 17,098 86,995 60,488 312,920
Dividends reinvested 92,484 30,558 313,003 110,765
Shares redeemed (254,078) (155,066) (683,464) (572,303)
---------- ---------- ---------- ----------
Total Class B Shares (144,496) (37,513) (309,973) (148,618)
---------- ---------- ---------- ----------
Class C Shares
Shares issued 17,035 43,671 39,854 115,061
Dividends reinvested 14,531 4,545 40,139 15,015
Shares redeemed (48,144) (47,834) (189,582) (132,570)
---------- ---------- ---------- ----------
Total Class C Shares (16,578) 382 (109,589) (2,494)^
---------- ---------- ---------- ----------
Advisor Shares @
Shares issued 3,820 21,831 5,575 46,065
Dividends reinvested -- 1,350 256 3,432
Shares redeemed (74,630) (6,370) (133,454) (20,069)
---------- ---------- ---------- ----------
Total Advisor Shares (70,810) 16,811 (127,623) 29,428
---------- ---------- ---------- ----------
Change from capital transactions 365,979 241,744 (126,125) (1,218,927)
========== ========== ========== ==========
- ----------
@ Advisor Shares merged into Class A on November 26, 2007. See Note 1.
See notes to financial statements.
160
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
LifeModel LifeModel
Moderate(SM) Moderately Conservative(SM)
------------------------ ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
---------- ---------- ---------- ----------
Share Transactions:
Institutional Shares
Shares issued 5,027,555 4,525,729 1,796,229 1,091,799
Dividends reinvested 2,572,715 1,386,712 337,217 201,548
Shares redeemed (7,999,852) (7,959,327) (1,425,032) (1,589,759)
---------- ---------- ---------- ----------
Total Institutional Shares (399,582) (2,046,886) 708,414 (296,412)
---------- ---------- ---------- ----------
Class A Shares
Shares issued 1,182,729 878,183 233,445 295,938
Shares issued in conversion from Advisor Class @ 37,069 -- 5,726 --
Dividends reinvested 577,991 316,151 242,334 160,913
Shares redeemed (2,510,605) (2,342,029) (1,031,296) (769,645)
---------- ---------- ---------- ----------
Total Class A Shares (712,816) (1,147,695) (549,791) (312,794)
---------- ---------- ---------- ----------
Class B Shares
Shares issued 87,734 215,547 43,140 62,156
Dividends reinvested 228,926 116,307 113,227 71,792
Shares redeemed (745,942) (588,231) (391,623) (361,131)
---------- ---------- ---------- ----------
Total Class B Shares (429,282) (256,377) (235,256) (227,183)
---------- ---------- ---------- ----------
Class C Shares
Shares issued 25,884 64,016 39,191 50,888
Dividends reinvested 30,248 16,173 15,573 10,346
Shares redeemed (139,443) (141,599) (85,312) (99,868)
---------- ---------- ---------- ----------
Total Class C Shares (83,311) (61,410) (30,548) (38,634)
---------- ---------- ---------- ----------
Advisor Shares @
Shares issued 5,704 13,528 -- 74
Dividends reinvested 138 1,349 35 289
Shares redeemed (38,164) (16,616) (5,760) (122)
---------- ---------- ---------- ----------
Total Advisor Shares (32,322) (1,739) (5,725) 241
---------- ---------- ---------- ----------
Change from capital transactions (1,657,313) (3,514,107) (112,906) (874,782)
========== ========== ========== ==========
LifeModel
Conservative(SM) High Yield Bond
------------------------ ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
---------- ---------- ---------- ----------
Share Transactions:
Institutional Shares
Shares issued 1,720,311 815,900 1,247,164 2,403,226
Dividends reinvested 172,275 128,946 250,007 91,135
Shares redeemed (1,273,251) (985,860) (3,135,169) (2,148,591)
---------- ---------- ---------- ----------
Total Institutional Shares 619,335 (41,014) (1,637,998) 345,770
---------- ---------- ---------- ----------
Class A Shares
Shares issued 362,875 147,932 174,624 4,259
Shares issued in conversion from Advisor Class @ 4,277 -- 1,468 --
Dividends reinvested 83,839 75,155 1,035 944
Shares redeemed (517,198) (357,413) (172,818) (10,201)
---------- ---------- ---------- ----------
Total Class A Shares (66,207) (134,326) 4,309 (4,998)
---------- ---------- ---------- ----------
Class B Shares
Shares issued 34,927 54,249 7,898 6,289
Dividends reinvested 41,089 38,657 314 145
Shares redeemed (182,825) (205,371) (7,478) --
---------- ---------- ---------- ----------
Total Class B Shares (106,809) (112,465) 734 6,434
---------- ---------- ---------- ----------
Class C Shares
Shares issued 20,812 36,684 60 7,486
Dividends reinvested 11,881 12,526 215 198
Shares redeemed (86,320) (124,578) (1,144) (7)
---------- ---------- ---------- ----------
Total Class C Shares (53,627) (75,368) (869) 7,677
---------- ---------- ---------- ----------
Advisor Shares @
Shares issued -- 189 -- 445
Dividends reinvested 35 34 11 7
Shares redeemed (4,281) (151) (1,463) --
---------- ---------- ---------- ----------
Total Advisor Shares (4,246) 72 (1,452) 452
---------- ---------- ---------- ----------
Change from capital transactions 388,446 (363,101) (1,635,276) 355,335
========== ========== ========== ==========
See notes to financial statements.
161
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Total Return Bond (a) Short Term Bond
---------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------- ------------ ------------ ------------
Capital Transactions:
Institutional Shares
Shares issued $ 55,448,603 $ 70,896,657 $ 38,778,368 $ 76,453,299
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 432,862,663 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 22,356,315 -- -- --
Dividends reinvested 15,233,723 3,479,976 5,752,008 2,207,601
Shares redeemed (153,495,216) (96,716,563) (69,879,465) (71,369,693)
------------- ------------ ------------ ------------
Total Institutional Shares 372,406,088 (22,339,930) (25,349,089) 7,291,207
------------- ------------ ------------ ------------
Class A Shares
Shares issued 4,757,347 563,966 1,555,050 1,051,806
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 12,706,128 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 2,629,403 -- -- --
Shares issued in conversion from Advisor Class @ 339,216 -- -- --
Dividends reinvested 761,624 414,760 296,526 377,495
Shares redeemed (7,293,118) (4,448,268) (4,423,619) (4,172,146)
------------- ------------ ------------ ------------
Total Class A Shares 13,900,600 (3,469,542) (2,572,043) (2,742,845)
------------- ------------ ------------ ------------
Class B Shares
Shares issued 755,230 21,115 NA NA
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 1,750,919 -- NA NA
Dividends reinvested 109,788 76,174 NA NA
Shares redeemed (1,009,669) (605,497) NA NA
------------- ------------ ------------ ------------
Total Class B Shares 1,606,268 (508,208) NA NA
------------- ------------ ------------ ------------
Class C Shares
Shares issued 45,337 16,152 119,629 12,861
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 450,228 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 1,153,974 -- -- --
Dividends reinvested 34,380 9,312 2,401 5,315
Shares redeemed (262,540) (116,453) (111,142) (63,505)
------------- ------------ ------------ ------------
Total Class C Shares 1,421,379 (90,989) 10,888 (45,329)
------------- ------------ ------------ ------------
Advisor Shares @
Shares issued 7,096 40,155 (23) --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 101,035 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 2,939 7,984 -- 71
Shares redeemed (346,368) (76,619) -- (2,651)
------------- ------------ ------------ ------------
Total Advisor Shares (235,298) (28,480) (23) (2,580)
------------- ------------ ------------ ------------
Change from capital transactions $ 389,099,037 $(26,437,149) $(27,910,267) $ 4,500,453
============= ============ ============ ============
- ----------
(a) Formerly the Bond Fund
@ Advisor Shares merged into Class A on November 26, 2007. See Note 1.
~ Shares acquired November 16, 2007. See Note 1.
See notes to financial statements.
162
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Intermediate
Municipal Bond Municipal Bond
--------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ------------ ------------
Capital Transactions:
Institutional Shares
Shares issued $ 11,143,061 $ 14,848,286 $ 6,756,337 $ 10,952,293
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 403,907 542,920 438,565 572,507
Shares redeemed (13,322,989) (10,305,152) (27,923,595) (26,521,625)
------------ ------------ ------------ ------------
Total Institutional Shares (1,776,021) 5,086,054 (20,728,693) (14,996,825)
------------ ------------ ------------ ------------
Class A Shares
Shares issued 177,313 8,213 113,780 5,362
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Shares issued in conversion from Advisor Class @ 173,416 -- -- --
Dividends reinvested 29,984 42,352 51,914 64,362
Shares redeemed (464,042) (185,459) (473,769) (583,115)
------------ ------------ ------------ ------------
Total Class A Shares (83,329) (134,894) (308,075) (513,391)
------------ ------------ ------------ ------------
Class B Shares
Shares issued 12,398 2,308 (140) 10,000
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Dividends reinvested 16,506 26,857 12,442 4,129
Shares redeemed (262,613) (172,034) (12,804) (100,164)
------------ ------------ ------------ ------------
Total Class B Shares (233,709) (142,869) (502) (86,035)
------------ ------------ ------------ ------------
Class C Shares
Shares issued (5) 22,992 25,661 21,265
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 444 1,022 2,978 2,491
Shares redeemed (13,996) (68,508) (5,710) (10,368)
------------ ------------ ------------ ------------
Total Class C Shares (13,557) (44,494) 22,929 13,388
------------ ------------ ------------ ------------
Advisor Shares @
Shares issued (1) 1,764 (24) --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 633 2,479 -- 66
Shares redeemed (173,415) (4,130) -- (2,614)
------------ ------------ ------------ ------------
Total Advisor Shares (172,783) 113 (24) (2,548)
------------ ------------ ------------ ------------
Change from capital transactions $ (2,279,399) $ 4,763,910 $(21,014,365) $(15,585,411)
============ ============ ============ ============
Ohio Michigan
Municipal Bond Municipal Bond
--------------------------- ---------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ------------ ------------ ------------
Capital Transactions:
Institutional Shares
Shares issued $ 7,042,580 $ 7,512,232 $ 2,067,009 $ 4,476,722
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 363,069 137,160 16,579 23,597
Shares redeemed (11,848,920) (11,391,139) (7,929,585) (11,351,909)
------------ ------------ ------------ ------------
Total Institutional Shares (4,443,271) (3,741,747) (5,845,997) (6,851,590)
------------ ------------ ------------ ------------
Class A Shares
Shares issued 45,529 429,180 12,849 3,454
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Shares issued in conversion from Advisor Class @ -- -- -- --
Dividends reinvested 123,712 178,284 55,670 93,788
Shares redeemed (2,570,900) (8,148,051) (2,037,810) (318,852)
------------ ------------ ------------ ------------
Total Class A Shares (2,401,659) (7,540,587) (1,969,291) (221,610)
------------ ------------ ------------ ------------
Class B Shares
Shares issued (563) 2,008 (95) 38,572
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Dividends reinvested 43,399 60,664 6,762 7,002
Shares redeemed (712,882) (799,988) (29,256) (84,622)
------------ ------------ ------------ ------------
Total Class B Shares (670,046) (737,316) (22,589) (39,048)
------------ ------------ ------------ ------------
Class C Shares
Shares issued (149) 70 59 66
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 15,046 20,242 2,061 3,014
Shares redeemed (194,007) (501,957) (73,485) (54,203)
------------ ------------ ------------ ------------
Total Class C Shares (179,110) (481,645) (71,365) (51,123)
------------ ------------ ------------ ------------
Advisor Shares @
Shares issued (28) -- (25) --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested -- 59 -- 48
Shares redeemed -- (2,600) -- (2,864)
------------ ------------ ------------ ------------
Total Advisor Shares (28) (2,541) (25) (2,816)
------------ ------------ ------------ ------------
Change from capital transactions $ (7,694,114) $(12,503,836) $ (7,909,267) $ (7,166,187)
============ ============ ============ ============
See notes to financial statements.
163
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Total Return Bond Short Term Bond
-------------------------- -------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ----------- ----------- -----------
Share Transactions:
Institutional Shares
Shares issued 5,808,716 7,256,961 4,132,887 8,207,407
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 44,475,085 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 2,297,031 -- -- --
Dividends reinvested 1,599,833 357,171 613,604 237,823
Shares redeemed (16,017,321) (9,872,966) (7,423,354) (7,678,952)
------------ ----------- ----------- -----------
Total Institutional Shares 38,163,344 (2,258,834) (2,676,863) 766,278
------------ ----------- ----------- -----------
Class A Shares
Shares issued 490,264 57,474 165,297 113,156
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 1,306,274 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 270,320 -- -- --
Shares issued in conversion from Advisor Class @ 34,614 -- -- --
Dividends reinvested 79,925 42,438 31,641 40,674
Shares redeemed (761,289) (454,429) (471,481) (448,729)
------------ ----------- ----------- -----------
Total Class A Shares 1,420,108 (354,517) (274,543) (294,899)
------------ ----------- ----------- -----------
Class B Shares
Shares issued 78,326 2,149 NA NA
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 179,884 -- NA NA
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- NA NA
Dividends reinvested 11,512 7,787 NA NA
Shares redeemed (105,506) (61,957) NA NA
------------ ----------- ----------- -----------
Total Class B Shares 164,216 (52,021) NA NA
------------ ----------- ----------- -----------
Class C Shares
Shares issued 4,698 1,646 12,753 1,387
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 46,240 -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ 118,517 -- -- --
Dividends reinvested 3,612 952 256 491
Shares redeemed (27,256) (11,887) (11,825) (6,821)
------------ ----------- ----------- -----------
Total Class C Shares 145,811 (9,289) 1,184 (4,943)
------------ ----------- ----------- -----------
Advisor Shares @
Shares issued 733 4,099 -- --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ 10,380 -- -- --
Dividends reinvested 303 816 -- 8
Shares redeemed (35,330) (7,837) -- (284)
------------ ----------- ----------- -----------
Total Advisor Shares (23,914) (2,922) -- (276)
------------ ----------- ----------- -----------
Change from capital transactions 39,869,565 (2,677,583) (2,950,222) 466,160
============ =========== =========== ===========
- ----------
@ Advisor Shares merged into Class A on November 26, 2007. See Note 1.
- ----------
~ Shares acquired November 16, 2007. See Note 1.
See notes to financial statements.
164
Fifth Third Funds
Statements of Changes in Net Assets, continued -- Fund Share Transactions
- --------------------------------------------------------------------------------
Intermediate
Municipal Bond Municipal Bond
-------------------------- -------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ----------- ----------- -----------
Share Transactions:
Institutional Shares
Shares issued 1,197,990 1,578,169 674,217 1,094,007
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 43,469 57,169 43,706 56,392
Shares redeemed (1,425,594) (1,089,395) (2,785,691) (2,633,817)
------------ ----------- ----------- -----------
Total Institutional Shares (184,135) 545,943 (2,067,768) (1,483,418)
------------ ----------- ----------- -----------
Class A Shares
Shares issued 18,877 803 11,257 535
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Shares issued in conversion from Advisor Class @ 18,429 -- -- --
Dividends reinvested 3,213 4,405 5,188 6,394
Shares redeemed (49,554) (19,561) (47,019) (58,079)
------------ ----------- ----------- -----------
Total Class A Shares (9,035) (14,353) (30,574) (51,150)
------------ ----------- ----------- -----------
Class B Shares
Shares issued 1,356 198 -- --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 1,783 2,850 1,246 1,407
Shares redeemed (28,463) (18,378) (1,287) (10,037)
------------ ----------- ----------- -----------
Total Class B Shares (25,324) (15,330) (41) (8,630)
------------ ----------- ----------- -----------
Class C Shares
Shares issued -- 2,442 2,558 2,023
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 48 108 298 248
Shares redeemed (1,483) (7,193) (570) (1,026)
------------ ----------- ----------- -----------
Total Class C Shares (1,435) (4,643) 2,286 1,245
------------ ----------- ----------- -----------
Advisor Shares @
Shares issued -- 178 -- --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Dividends reinvested 68 221 -- 7
Shares redeemed (18,530) (434) -- (259)
------------ ----------- ----------- -----------
Total Advisor Shares (18,462) (35) -- (252)
------------ ----------- ----------- -----------
Change from capital transactions (238,391) 511,582 (2,096,097) (1,542,205)
============ =========== =========== ===========
Ohio Michigan
Municipal Bond Municipal Bond
-------------------------- -------------------------
Year Year Year Year
ended ended ended ended
July 31, July 31, July 31, July 31,
2008 2007 2008 2007
------------ ----------- ----------- -----------
Share Transactions:
Institutional Shares
Shares issued 697,365 746,843 206,961 450,836
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 36,146 13,532 1,655 2,378
Shares redeemed (1,181,942) (1,131,141) (787,994) (1,142,603)
------------ ----------- ----------- -----------
Total Institutional Shares (448,431) (370,766) (579,378) (689,389)
------------ ----------- ----------- -----------
Class A Shares
Shares issued 5,459 42,256 1,322 357
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Shares issued in conversion from Advisor Class @ -- -- -- --
Dividends reinvested 12,350 17,710 5,576 9,470
Shares redeemed (255,481) (813,526) (201,745) (32,256)
------------ ----------- ----------- -----------
Total Class A Shares (237,672) (753,560) (194,847) (22,429)
------------ ----------- ----------- -----------
Class B Shares
Shares issued -- 203 -- 3,873
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 4,437 6,164 676 706
Shares redeemed (72,825) (81,368) (2,937) (8,534)
------------ ----------- ----------- -----------
Total Class B Shares (68,388) (75,001) (2,261) (3,955)
------------ ----------- ----------- -----------
Class C Shares
Shares issued 7 7 7 7
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Shares issued in connection with acquistion of
Government Bond Fund ~ -- -- -- --
Dividends reinvested 1,508 2,019 206 304
Shares redeemed (19,360) (50,211) (7,335) (5,480)
------------ ----------- ----------- -----------
Total Class C Shares (17,845) (48,185) (7,122) (5,169)
------------ ----------- ----------- -----------
Advisor Shares @
Shares issued -- -- -- --
Shares issued in connection with acquistion of
Intermediate Bond Fund ~ -- -- -- --
Dividends reinvested -- 6 -- 5
Shares redeemed -- (258) -- (260)
------------ ----------- ----------- -----------
Total Advisor Shares -- (252) -- (255)
------------ ----------- ----------- -----------
Change from capital transactions (772,336) (1,247,764) (783,608) (721,197)
============ =========== =========== ===========
See notes to financial statements.
165
Fifth Third Funds
Statement of Cash Flows
For the period ended July 31, 2008
- --------------------------------------------------------------------------------
Structured
Large Cap
Plus
-------------
Increase (Decrease) in Cash:
Cash flows from operating activities:
Net decrease in net assets from operations $ (21,470,558)
Adjustments to reconcile net decrease in net assets from
operations to net cash used in operating activities:
Purchases of long-term securities (311,622,930)
Proceeds from sales of long-term securities 343,455,223
Sale of short-term investment securities, net 4,480,132
Decrease in proceeds from securities sold short (6,897,054)
Decrease in dividends receivable (20,593)
Increase in receivable for securities sold 1,843,543
Increase in other assets 1,370
Proceeds from futures contracts transactions (297,984)
Increase in payable for investments purchased 302
Decrease in payable to manager (52,381)
Decrease in distribution and administration services fee (1,495)
Increase in dividends payable on securities sold short 52,113
Decrease in other liabilities (1,396)
Unrealized depreciation on investments 8,974,769
Net realized loss on investments/futures 14,030,607
-------------
Net cash received from operating activities 32,473,668
-------------
Cash flows from financing activities:
Cash distributions paid* (280,890)
Proceeds from shares sold 10,749,885
Payments on shares redeemed (42,942,663)
-------------
Net cash used for financing activities (32,473,668)
-------------
Net Increase (Decrease) in Cash 0
Cash:
Beginning of year 0
-------------
End of year $ 0
=============
- ----------
* Noncash financing activities not included herein consist of reinvestment
of dividends of $2,062,517.
See notes to financial statements.
166
This page intentionally left blank.
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- --------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Institutional Shares
Year ended 7/31/08 $13.42 (0.06)## (0.77) (0.83) -- (4.50)
Year ended 7/31/07 $14.10 (0.08)## 2.64 2.56 -- (3.24)
Year ended 7/31/06 $15.58 (0.11)## 0.50 0.39 -- (1.87)
Year ended 7/31/05 $15.48 (0.10)## 3.07 2.97 -- (2.87)
Year ended 7/31/04 $15.90 (0.12)## 1.43 1.31 -- (1.73)
- --------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Class A Shares
Year ended 7/31/08 $12.84 (0.08)## (0.72) (0.80) -- (4.50)
Year ended 7/31/07 $13.65 (0.11)## 2.54 2.43 -- (3.24)
Year ended 7/31/06 $15.17 (0.14)## 0.49 0.35 -- (1.87)
Year ended 7/31/05 $15.18 (0.14)## 3.00 2.86 -- (2.87)
Year ended 7/31/04 $15.65 (0.17)## 1.43 1.26 -- (1.73)
- --------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Class B Shares
Year ended 7/31/08 $12.21 (0.14)## (0.65) (0.79) -- (4.50)
Year ended 7/31/07 $13.21 (0.20)## 2.44 2.24 -- (3.24)
Year ended 7/31/06 $14.85 (0.25)## 0.48 0.23 -- (1.87)
Year ended 7/31/05 $15.02 (0.24)## 2.94 2.70 -- (2.87)
Year ended 7/31/04 $15.61 (0.29)## 1.43 1.14 -- (1.73)
- --------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Class C Shares
Year ended 7/31/08 $12.23 (0.14)## (0.66) (0.80) -- (4.50)
Year ended 7/31/07 $13.23 (0.20)## 2.44 2.24 -- (3.24)
Year ended 7/31/06 $14.86 (0.25)## 0.49 0.24 -- (1.87)
Year ended 7/31/05 $15.03 (0.24)## 2.94 2.70 -- (2.87)
Year ended 7/31/04 $15.62 (0.29)## 1.43 1.14 -- (1.73)
- --------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- -------------------------------------------------------------------------------------
Small Cap Growth Institutional Shares
Year ended 7/31/08 (4.50) $ 8.09 (10.17)%
Year ended 7/31/07 (3.24) $13.42 20.45%
Year ended 7/31/06 (1.87) $14.10 2.71%
Year ended 7/31/05 (2.87) $15.58 20.81%
Year ended 7/31/04 (1.73) $15.48 7.31%
- -------------------------------------------------------------------------------------
Small Cap Growth Class A Shares
Year ended 7/31/08 (4.50) $ 7.54 (10.48)%
Year ended 7/31/07 (3.24) $12.84 20.11%
Year ended 7/31/06 (1.87) $13.65 2.50%
Year ended 7/31/05 (2.87) $15.17 20.45%
Year ended 7/31/04 (1.73) $15.18 7.16%
- -------------------------------------------------------------------------------------
Small Cap Growth Class B Shares
Year ended 7/31/08 (4.50) $ 6.92 (11.15)%
Year ended 7/31/07 (3.24) $12.21 19.31%
Year ended 7/31/06 (1.87) $13.21 1.69%
Year ended 7/31/05 (2.87) $14.85 19.51%
Year ended 7/31/04 (1.73) $15.02 6.30%
- -------------------------------------------------------------------------------------
Small Cap Growth Class C Shares
Year ended 7/31/08 (4.50) $ 6.93 (11.14)%
Year ended 7/31/07 (3.24) $12.23 19.18%
Year ended 7/31/06 (1.87) $13.23 1.75%
Year ended 7/31/05 (2.87) $14.86 19.57%
Year ended 7/31/04 (1.73) $15.03 6.29%
- -------------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ----------------------------------------------------------------------------------------------------------
Small Cap Growth Institutional Shares
Year ended 7/31/08 $ 66,801 1.09% 1.01% (0.60)% 105%
Year ended 7/31/07 $112,591 1.06% 1.01% (0.59)% 90%
Year ended 7/31/06 $126,809 1.03% 1.02% (0.75)% 67%
Year ended 7/31/05 $213,892 1.01% 1.01% (0.68)% 65%
Year ended 7/31/04 $223,439 1.00% 1.00% (0.72)% 95%
- -----------------------------------------------------------------------------------------------------------
Small Cap Growth Class A Shares
Year ended 7/31/08 $ 10,722 1.34% 1.26% (0.86)% 105%
Year ended 7/31/07 $ 16,036 1.30% 1.26% (0.84)% 90%
Year ended 7/31/06 $ 17,783 1.28% 1.27% (0.99)% 67%
Year ended 7/31/05 $ 22,714 1.26% 1.26% (0.93)% 65%
Year ended 7/31/04 $ 25,921 1.25% 1.25% (0.99)% 95%
- ----------------------------------------------------------------------------------------------------------
Small Cap Growth Class B Shares
Year ended 7/31/08 $ 897 2.09% 2.01% (1.61)% 105%
Year ended 7/31/07 $ 1,318 2.06% 2.01% (1.59)% 90%
Year ended 7/31/06 $ 1,414 2.03% 2.02% (1.74)% 67%
Year ended 7/31/05 $ 1,805 2.01% 2.01% (1.68)% 65%
Year ended 7/31/04 $ 1,784 2.00% 2.00% (1.74)% 95%
- ----------------------------------------------------------------------------------------------------------
Small Cap Growth Class C Shares
Year ended 7/31/08 $ 273 2.09% 2.01% (1.61)% 105%
Year ended 7/31/07 $ 426 2.05% 2.01% (1.60)% 90%
Year ended 7/31/06 $ 384 2.03% 2.02% (1.75)% 67%
Year ended 7/31/05 $ 618 2.01% 2.01% (1.68)% 65%
Year ended 7/31/04 $ 810 2.00% 2.00% (1.74)% 95%
- ----------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 168-169
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -------------------------------------------------------------------------------------------------------------------------
Mid Cap Growth Institutional Shares
Year ended 7/31/08 $15.70 (0.05)## (1.43) (1.48) -- (2.19)
Year ended 7/31/07 $16.55 (0.07)##@ 2.72 2.65 -- (3.50)
Year ended 7/31/06 $16.03 (0.04)## 0.77 0.73 (0.02) (0.19)
Year ended 7/31/05 $12.96 --^ 3.07 3.07 -- --
Year ended 7/31/04 $12.02 (0.09) 1.03 0.94 -- --
- -------------------------------------------------------------------------------------------------------------------------
Mid Cap Growth Class A Shares
Year ended 7/31/08 $15.20 (0.08)## (1.37) (1.45) -- (2.19)
Year ended 7/31/07 $16.17 (0.11)##@ 2.64 2.53 -- (3.50)
Year ended 7/31/06 $15.69 (0.08)## 0.76 0.68 (0.01) (0.19)
Year ended 7/31/05 $12.72 (0.05) 3.02 2.97 -- --
Year ended 7/31/04 $11.82 (0.12) 1.02 0.90 -- --
- -------------------------------------------------------------------------------------------------------------------------
Mid Cap Growth Class B Shares
Year ended 7/31/08 $14.31 (0.17)## (1.27) (1.44) -- (2.19)
Year ended 7/31/07 $15.50 (0.21)##@ 2.52 2.31 -- (3.50)
Year ended 7/31/06 $15.16 (0.20)## 0.73 0.53 -- (0.19)
Year ended 7/31/05 $12.38 (0.15) 2.93 2.78 -- --
Year ended 7/31/04 $11.59 (0.21) 1.00 0.79 -- --
- -------------------------------------------------------------------------------------------------------------------------
Mid Cap Growth Class C Shares
Year ended 7/31/08 $13.65 (0.16)## (1.17) (1.33) -- (2.19)
Year ended 7/31/07 $14.94 (0.20)##@ 2.41 2.21 -- (3.50)
Year ended 7/31/06 $14.61 (0.19)## 0.71 0.52 -- (0.19)
Year ended 7/31/05 $11.94 (0.16) 2.83 2.67 -- --
Year ended 7/31/04 $11.17 (0.21) 0.98 0.77 -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- -------------------------------------------------------------------------------------
Mid Cap Growth Institutional Shares
Year ended 7/31/08 (2.19) $12.03 (11.24)%
Year ended 7/31/07 (3.50) $15.70 17.32%@
Year ended 7/31/06 (0.21) $16.55 4.56%
Year ended 7/31/05 -- $16.03 23.69%
Year ended 7/31/04 -- $12.96 7.82%
- -------------------------------------------------------------------------------------
Mid Cap Growth Class A Shares
Year ended 7/31/08 (2.19) $11.56 (11.43)%
Year ended 7/31/07 (3.50) $15.20 16.93%@
Year ended 7/31/06 (0.20) $16.17 4.34%
Year ended 7/31/05 -- $15.69 23.35%
Year ended 7/31/04 -- $12.72 7.61%
- -------------------------------------------------------------------------------------
Mid Cap Growth Class B Shares
Year ended 7/31/08 (2.19) $10.68 (12.14)%
Year ended 7/31/07 (3.50) $14.31 16.14%@
Year ended 7/31/06 (0.19) $15.50 3.51%
Year ended 7/31/05 -- $15.16 22.46%
Year ended 7/31/04 -- $12.38 6.82%
- -------------------------------------------------------------------------------------
Mid Cap Growth Class C Shares
Year ended 7/31/08 (2.19) $10.13 (11.88)%
Year ended 7/31/07 (3.50) $13.65 16.07%@
Year ended 7/31/06 (0.19) $14.94 3.57%
Year ended 7/31/05 -- $14.61 22.36%
Year ended 7/31/04 -- $11.94 6.89%
- -------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- --------------------------------------------------------------------------------------------------------
Mid Cap Growth Institutional Shares
Year ended 7/31/08 $209,074 1.11% 1.09% (0.38)% 96%
Year ended 7/31/07 $313,124 1.09% 1.09% (0.48)% 55%
Year ended 7/31/06 $318,133 1.08% 1.08% (0.24)% 69%
Year ended 7/31/05 $392,929 1.09% 1.09% (0.03)% 54%
Year ended 7/31/04 $335,815 1.09% 1.09% (0.68)% 83%
- --------------------------------------------------------------------------------------------------------
Mid Cap Growth Class A Shares
Year ended 7/31/08 $ 20,378 1.36% 1.34% (0.62)% 96%
Year ended 7/31/07 $ 29,103 1.35% 1.34% (0.73)% 55%
Year ended 7/31/06 $ 34,437 1.33% 1.33% (0.49)% 69%
Year ended 7/31/05 $ 41,921 1.34% 1.34% (0.29)% 54%
Year ended 7/31/04 $ 49,586 1.34% 1.34% (0.93)% 83%
- --------------------------------------------------------------------------------------------------------
Mid Cap Growth Class B Shares
Year ended 7/31/08 $ 4,187 2.11% 2.09% (1.38)% 96%
Year ended 7/31/07 $ 5,707 2.09% 2.09% (1.48)% 55%
Year ended 7/31/06 $ 6,507 2.08% 2.08% (1.24)% 69%
Year ended 7/31/05 $ 6,874 2.09% 2.09% (1.03)% 54%
Year ended 7/31/04 $ 6,730 2.09% 2.09% (1.68)% 83%
- --------------------------------------------------------------------------------------------------------
Mid Cap Growth Class C Shares
Year ended 7/31/08 $ 714 2.11% 2.09% (1.37)% 96%
Year ended 7/31/07 $ 802 2.09% 2.09% (1.47)% 55%
Year ended 7/31/06 $ 1,122 2.08% 2.08% (1.22)% 69%
Year ended 7/31/05 $ 1,600 2.09% 2.09% (1.03)% 54%
Year ended 7/31/04 $ 1,700 2.09% 2.09% (1.68)% 83%
- --------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 170-171
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Institutional Shares
Year ended 7/31/08 $18.52 0.04## 0.72 0.76 (0.04) (2.67)
Year ended 7/31/07 $15.67 0.11##@ 3.07 3.18 (0.08) (0.25)
Year ended 7/31/06 $16.34 (0.03)## (0.64) (0.67) -- --
Year ended 7/31/05 $14.61 0.03 1.74 1.77 (0.04) --
Year ended 7/31/04 $14.23 (0.04) 0.42 0.38 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class A Shares
Year ended 7/31/08 $18.12 (0.01)## 0.71 0.70 (0.01) (2.67)
Year ended 7/31/07 $15.36 0.06##@ 3.01 3.07 (0.06) (0.25)
Year ended 7/31/06 $16.05 (0.07)## (0.62) (0.69) -- --
Year ended 7/31/05 $14.38 (0.02) 1.72 1.70 (0.03) --
Year ended 7/31/04 $14.04 (0.08) 0.42 0.34 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class B Shares
Year ended 7/31/08 $17.30 (0.13)## 0.69 0.56 -- (2.67)
Year ended 7/31/07 $14.74 (0.06)##@ 2.88 2.82 (0.01) (0.25)
Year ended 7/31/06 $15.52 (0.18)## (0.60) (0.78) -- --
Year ended 7/31/05 $13.99 (0.14) 1.67 1.53 --^ --
Year ended 7/31/04 $13.75 (0.19) 0.43 0.24 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class C Shares
Year ended 7/31/08 $16.85 (0.12)## 0.66 0.54 -- (2.67)
Year ended 7/31/07 $14.36 (0.06)##@ 2.81 2.75 (0.01) (0.25)
Year ended 7/31/06 $15.12 (0.18)## (0.58) (0.76) -- --
Year ended 7/31/05 $13.63 (0.15) 1.64 1.49 --^ --
Year ended 7/31/04 $13.40 (0.20) 0.43 0.23 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- -------------------------------------------------------------------------------------
Quality Growth Institutional Shares
Year ended 7/31/08 (2.71) $16.57 2.79%
Year ended 7/31/07 (0.33) $18.52 20.51%@
Year ended 7/31/06 -- $15.67 (4.10)%
Year ended 7/31/05 (0.04) $16.34 12.13%
Year ended 7/31/04 -- $14.61 2.67%
- -------------------------------------------------------------------------------------
Quality Growth Class A Shares
Year ended 7/31/08 (2.68) $16.14 2.51%
Year ended 7/31/07 (0.31) $18.12 20.18%@
Year ended 7/31/06 -- $15.36 (4.30)%
Year ended 7/31/05 (0.03) $16.05 11.83%
Year ended 7/31/04 -- $14.38 2.42%
- -------------------------------------------------------------------------------------
Quality Growth Class B Shares
Year ended 7/31/08 (2.67) $15.19 1.78%
Year ended 7/31/07 (0.26) $17.30 19.29%@
Year ended 7/31/06 -- $14.74 (5.03)%
Year ended 7/31/05 --^ $15.52 10.95%
Year ended 7/31/04 -- $13.99 1.75%
- -------------------------------------------------------------------------------------
Quality Growth Class C Shares
Year ended 7/31/08 (2.67) $14.72 1.70%
Year ended 7/31/07 (0.26) $16.85 19.30%@
Year ended 7/31/06 -- $14.36 (5.03)%
Year ended 7/31/05 --^ $15.12 10.95%
Year ended 7/31/04 -- $13.63 1.72%
- -------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Institutional Shares
Year ended 7/31/08 $371,615 1.11% 1.07% 0.21% 57%
Year ended 7/31/07 $535,734 1.10% 1.08% 0.52% 98%
Year ended 7/31/06 $616,737 1.08% 1.08% (0.18)% 108%
Year ended 7/31/05 $707,766 1.08% 1.08% 0.16% 71%
Year ended 7/31/04 $882,256 1.07% 1.07% (0.24)% 35%
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class A Shares
Year ended 7/31/08 $ 90,015 1.36% 1.32% (0.03)% 57%
Year ended 7/31/07 $ 92,728 1.35% 1.33% 0.27% 98%
Year ended 7/31/06 $114,828 1.33% 1.33% (0.42)% 108%
Year ended 7/31/05 $165,836 1.33% 1.33% (0.08)% 71%
Year ended 7/31/04 $220,904 1.32% 1.32% (0.49)% 35%
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class B Shares
Year ended 7/31/08 $ 14,165 2.11% 2.07% (0.77)% 57%
Year ended 7/31/07 $ 11,347 2.10% 2.08% (0.49)% 98%
Year ended 7/31/06 $ 13,259 2.08% 2.08% (1.18)% 108%
Year ended 7/31/05 $ 17,791 2.08% 2.08% (0.85)% 71%
Year ended 7/31/04 $ 20,947 2.07% 2.07% (1.24)% 35%
- ------------------------------------------------------------------------------------------------------------------------------------
Quality Growth Class C Shares
Year ended 7/31/08 $ 2,805 2.11% 2.07% (0.77)% 57%
Year ended 7/31/07 $ 2,275 2.10% 2.08% (0.45)% 98%
Year ended 7/31/06 $ 3,199 2.08% 2.08% (1.17)% 108%
Year ended 7/31/05 $ 5,238 2.08% 2.08% (0.83)% 71%
Year ended 7/31/04 $ 7,536 2.07% 2.07% (1.24)% 35%
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 172-173
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------- ------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ----------------------------------------------------------------------------------------------------------------------
Dividend Growth Institutional Shares
Year ended 7/31/08 $ 25.50 0.34## (1.77) (1.43) (0.31) --
Year ended 7/31/07 $ 22.56 0.57##@ 2.85 3.42 (0.48) --
Year ended 7/31/06 $ 21.71 0.28## 0.83 1.11 (0.26) --
Year ended 7/31/05 $ 19.10 (0.15)## 2.76 2.61 -- --
Year ended 7/31/04 $ 18.17 (0.19) 1.12 0.93 -- --
- ----------------------------------------------------------------------------------------------------------------------
Dividend Growth Class A Shares
Year ended 7/31/08 $ 25.07 0.27## (1.74) (1.47) (0.25) --
Year ended 7/31/07 $ 22.18 0.49##@ 2.82 3.31 (0.42) --
Year ended 7/31/06 $ 21.34 0.23## 0.85 1.08 (0.24) --
Year ended 7/31/05 $ 18.82 (0.19)## 2.71 2.52 -- --
Year ended 7/31/04 $ 17.94 (0.20) 1.08 0.88 -- --
- ----------------------------------------------------------------------------------------------------------------------
Dividend Growth Class B Shares
Year ended 7/31/08 $ 24.31 0.08## (1.67) (1.59) (0.15) --
Year ended 7/31/07 $ 21.53 0.31##@ 2.71 3.02 (0.24) --
Year ended 7/31/06 $ 20.83 0.06## 0.80 0.86 (0.16) --
Year ended 7/31/05 $ 18.51 (0.33)## 2.65 2.32 -- --
Year ended 7/31/04 $ 17.77 (0.31) 1.05 0.74 -- --
- ----------------------------------------------------------------------------------------------------------------------
Dividend Growth Class C Shares
Year ended 7/31/08 $ 23.67 0.08## (1.68) (1.60) (0.15) --
Year ended 7/31/07 $ 20.97 0.29##@ 2.66 2.95 (0.25) --
Year ended 7/31/06 $ 20.27 0.07## 0.78 0.85 (0.15) --
Year ended 7/31/05 $ 18.01 (0.32)## 2.58 2.26 -- --
Year ended 7/31/04 $ 17.30 (0.36) 1.07 0.71 -- --
- ----------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- -------------------------------------------------------------------------------------
Dividend Growth Institutional Shares
Year ended 7/31/08 (0.31) $23.76 (5.69)%
Year ended 7/31/07 (0.48) $25.50 15.22%@
Year ended 7/31/06 (0.26) $22.56 5.14%
Year ended 7/31/05 -- $21.71 13.66%
Year ended 7/31/04 -- $19.10 5.12%
- ------------------------------------------------------------------------------------
Dividend Growth Class A Shares
Year ended 7/31/08 (0.25) $23.35 (5.93)%
Year ended 7/31/07 (0.42) $25.07 14.97%@
Year ended 7/31/06 (0.24) $22.18 5.05%
Year ended 7/31/05 -- $21.34 13.39%
Year ended 7/31/04 -- $18.82 4.91%
- ------------------------------------------------------------------------------------
Dividend Growth Class B Shares
Year ended 7/31/08 (0.15) $22.57 (6.62)%
Year ended 7/31/07 (0.24) $24.31 14.11%@
Year ended 7/31/06 (0.16) $21.53 4.13%
Year ended 7/31/05 -- $20.83 12.53%
Year ended 7/31/04 -- $18.51 4.16%
- ------------------------------------------------------------------------------------
Dividend Growth Class C Shares
Year ended 7/31/08 (0.15) $21.92 (6.83)%
Year ended 7/31/07 (0.25) $23.67 14.12%@
Year ended 7/31/06 (0.15) $20.97 4.22%
Year ended 7/31/05 -- $20.27 12.55%
Year ended 7/31/04 -- $18.01 4.10%
- ------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ------------------------------------------------------------------------------------------------------
Dividend Growth Institutional Shares
Year ended 7/31/08 $ 16,556 1.76% 0.73% 1.33% 76%
Year ended 7/31/07 $ 18,875 1.67% 0.73% 2.08% 68%
Year ended 7/31/06 $ 15,759 2.72% 0.73% 1.25% 147%
Year ended 7/31/05 $ 5,973 1.99% 1.45% (0.73)% 28%
Year ended 7/31/04 $ 7,166 1.74% 1.43% (0.68)% 81%
- ------------------------------------------------------------------------------------------------------
Dividend Growth Class A Shares
Year ended 7/31/08 $ 3,074 2.00% 0.98% 1.08% 76%
Year ended 7/31/07 $ 3,926 1.92% 0.98% 1.80% 68%
Year ended 7/31/06 $ 4,670 2.93% 0.98% 1.08% 147%
Year ended 7/31/05 $ 7,087 2.24% 1.70% (0.98)% 28%
Year ended 7/31/04 $ 9,391 2.00% 1.68% (0.98)% 81%
- ------------------------------------------------------------------------------------------------------
Dividend Growth Class B Shares
Year ended 7/31/08 $ 225 2.74% 1.73% 0.34% 76%
Year ended 7/31/07 $ 369 2.66% 1.73% 1.08% 68%
Year ended 7/31/06 $ 371 3.70% 1.73% 0.27% 147%
Year ended 7/31/05 $ 311 2.97% 2.45% (1.73)% 28%
Year ended 7/31/04 $ 441 2.74% 2.43% (1.74)% 81%
- ------------------------------------------------------------------------------------------------------
Dividend Growth Class C Shares
Year ended 7/31/08 $ 228 2.74% 1.73% 0.34% 76%
Year ended 7/31/07 $ 356 2.67% 1.73% 1.02% 68%
Year ended 7/31/06 $ 389 3.71% 1.73% 0.32% 147%
Year ended 7/31/05 $ 516 3.00% 2.45% (1.73)% 28%
Year ended 7/31/04 $ 580 2.75% 2.43% (1.71)% 81%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 174-175
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ---------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------
Micro Cap Value Institutional Shares
Year ended 7/31/08 $ 7.02 0.02## (0.78) (0.76) (0.01) (2.50)
Year ended 7/31/07 $ 8.05 0.01## 0.93 0.94 (0.05) (1.92)
Year ended 7/31/06 $ 11.00 0.02## 0.17 0.19 (0.01) (3.13)
Year ended 7/31/05 $ 10.32 (0.01)## 1.41 1.40 -- (0.72)
Year ended 7/31/04 $ 8.20 (0.02)## 2.66 2.64 -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------
Micro Cap Value Class A Shares
Year ended 7/31/08 $ 6.73 0.01## (0.75) (0.74) -- (2.50)
Year ended 7/31/07 $ 7.80 (0.01)## 0.90 0.89 (0.04) (1.92)
Year ended 7/31/06 $ 10.78 --^## 0.15 0.15 --^ (3.13)
Year ended 7/31/05 $ 10.14 (0.03)## 1.39 1.36 -- (0.72)
Year ended 7/31/04 $ 8.08 (0.05)## 2.63 2.58 -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------
Micro Cap Value Class B Shares
Year ended 7/31/08 $ 6.39 (0.02)## (0.71) (0.73) -- (2.50)
Year ended 7/31/07 $ 7.52 (0.06)## 0.86 0.80 (0.01) (1.92)
Year ended 7/31/06 $ 10.56 (0.06)## 0.15 0.09 -- (3.13)
Year ended 7/31/05 $ 9.96 (0.04)## 1.36 1.32 -- (0.72)
Year ended 7/31/04 $ 7.97 (0.08)## 2.59 2.51 -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------
Micro Cap Value Class C Shares
Year ended 7/31/08 $ 6.39 (0.02)## (0.70) (0.72) -- (2.50)
Year ended 7/31/07 $ 7.52 (0.05)## 0.84 0.79 -- (1.92)
Year ended 7/31/06 $ 10.56 (0.06)## 0.15 0.09 -- (3.13)
Year ended 7/31/05 $ 9.96 (0.04)## 1.36 1.32 -- (0.72)
Year ended 7/31/04 $ 7.97 (0.08)## 2.59 2.51 -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------
Small Cap Value Institutional Shares
Year ended 7/31/08 $ 20.29 0.19## (0.91) (0.72) (0.16) (2.37)
Year ended 7/31/07 $ 20.89 0.13## 2.12 2.25 (0.08) (2.77)
Year ended 7/31/06 $ 22.82 0.09 0.46 0.55 (0.05) (2.43)
Year ended 7/31/05 $ 20.01 (0.04)## 4.51 4.47 -- (1.66)
Year ended 7/31/04 $ 17.54 (0.03)## 3.50 3.47 (0.02) (0.98)
- ------------------------------------------------------------------------------------------------------------------------
Small Cap Value Class A Shares
Year ended 7/31/08 $ 20.09 0.14## (0.90) (0.76) (0.12) (2.37)
Year ended 7/31/07 $ 20.74 0.08## 2.11 2.19 (0.07) (2.77)
Year ended 7/31/06 $ 22.68 0.02 0.47 0.49 -- (2.43)
Year ended 7/31/05 $ 19.95 (0.10)## 4.49 4.39 -- (1.66)
Year ended 7/31/04 $ 17.52 (0.11)## 3.52 3.41 --^ (0.98)
- ------------------------------------------------------------------------------------------------------------------------
Small Cap Value Class B Shares
Year ended 7/31/08 $ 19.34 --##^ (0.86) (0.86) -- (2.37)
Year ended 7/31/07 $ 20.18 (0.08)## 2.05 1.97 (0.04) (2.77)
Year ended 7/31/06 $ 22.29 (0.13) 0.45 0.32 -- (2.43)
Year ended 7/31/05 $ 19.76 (0.24)## 4.43 4.19 -- (1.66)
Year ended 7/31/04 $ 17.48 (0.25)## 3.51 3.26 -- (0.98)
- ------------------------------------------------------------------------------------------------------------------------
Small Cap Value Class C Shares
Year ended 7/31/08 $ 19.31 --##^ (0.87) (0.87) -- (2.37)
Year ended 7/31/07 $ 20.14 (0.08)## 2.06 1.98 (0.04) (2.77)
Year ended 7/31/06 $ 22.25 (0.14) 0.46 0.32 -- (2.43)
Year ended 7/31/05 $ 19.74 (0.24)## 4.41 4.17 -- (1.66)
Year ended 7/31/04 $ 17.48 (0.26)## 3.50 3.24 -- (0.98)
- ------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
Micro Cap Value Institutional Shares
Year ended 7/31/08 (2.51) $ 3.75 (12.23)%
Year ended 7/31/07 (1.97) $ 7.02 12.53%
Year ended 7/31/06 (3.14) $ 8.05 1.93%
Year ended 7/31/05 (0.72) $ 11.00 13.86%
Year ended 7/31/04 (0.52) $ 10.32 32.84%
- --------------------------------------------------------------------------------------
Micro Cap Value Class A Shares
Year ended 7/31/08 (2.50) $ 3.49 (12.41)%
Year ended 7/31/07 (1.96) $ 6.73 12.24%
Year ended 7/31/06 (3.13) $ 7.80 1.59%
Year ended 7/31/05 (0.72) $ 10.78 13.60%
Year ended 7/31/04 (0.52) $ 10.14 32.56%
- --------------------------------------------------------------------------------------
Micro Cap Value Class B Shares
Year ended 7/31/08 (2.50) $ 3.16 (13.23)%
Year ended 7/31/07 (1.93) $ 6.39 11.38%
Year ended 7/31/06 (3.13) $ 7.52 0.86%
Year ended 7/31/05 (0.72) $ 10.56 13.54%
Year ended 7/31/04 (0.52) $ 9.96 32.13%
- --------------------------------------------------------------------------------------
Micro Cap Value Class C Shares
Year ended 7/31/08 (2.50) $ 3.17 (12.95)%
Year ended 7/31/07 (1.92) $ 6.39 11.28%
Year ended 7/31/06 (3.13) $ 7.52 0.86%
Year ended 7/31/05 (0.72) $ 10.56 13.54%
Year ended 7/31/04 (0.52) $ 9.96 32.13%
- --------------------------------------------------------------------------------------
Small Cap Value Institutional Shares
Year ended 7/31/08 (2.53) $ 17.04 (3.68)%
Year ended 7/31/07 (2.85) $ 20.29 10.77%
Year ended 7/31/06 (2.48) $ 20.89 2.62%
Year ended 7/31/05 (1.66) $ 22.82 23.59%
Year ended 7/31/04 (1.00) $ 20.01 20.11%
- --------------------------------------------------------------------------------------
Small Cap Value Class A Shares
Year ended 7/31/08 (2.49) $ 16.84 (3.95)%
Year ended 7/31/07 (2.84) $ 20.09 10.53%
Year ended 7/31/06 (2.43) $ 20.74 2.36%
Year ended 7/31/05 (1.66) $ 22.68 23.24%
Year ended 7/31/04 (0.98) $ 19.95 19.81%
- --------------------------------------------------------------------------------------
Small Cap Value Class B Shares
Year ended 7/31/08 (2.37) $ 16.11 (4.68)%
Year ended 7/31/07 (2.81) $ 19.34 9.63%
Year ended 7/31/06 (2.43) $ 20.18 1.59%
Year ended 7/31/05 (1.66) $ 22.29 22.35%
Year ended 7/31/04 (0.98) $ 19.76 19.02%
- --------------------------------------------------------------------------------------
Small Cap Value Class C Shares
Year ended 7/31/08 (2.37) $ 16.07 (4.74)%
Year ended 7/31/07 (2.81) $ 19.31 9.66%
Year ended 7/31/06 (2.43) $ 20.14 1.59%
Year ended 7/31/05 (1.66) $ 22.25 22.39%
Year ended 7/31/04 (0.98) $ 19.74 18.85%
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
-----------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ---------------------------------------------------------------------------------------------------------
Micro Cap Value Institutional Shares
Year ended 7/31/08 $ 22,662 1.82% 1.35% 0.37% 49%
Year ended 7/31/07 $ 51,541 1.52% 1.35% 0.17% 72%
Year ended 7/31/06 $ 72,981 1.40% 1.37% 0.23% 42%
Year ended 7/31/05 $ 98,885 1.35% 1.35% (0.07)% 12%
Year ended 7/31/04 $ 155,798 1.33% 1.33% (0.25)% 23%
- ---------------------------------------------------------------------------------------------------------
Micro Cap Value Class A Shares
Year ended 7/31/08 $ 10,552 2.06% 1.60% 0.16% 49%
Year ended 7/31/07 $ 11,486 1.77% 1.60% (0.08)% 72%
Year ended 7/31/06 $ 17,759 1.65% 1.62% (0.05)% 42%
Year ended 7/31/05 $ 29,172 1.60% 1.60% (0.31)% 12%
Year ended 7/31/04 $ 41,402 1.58% 1.58% (0.49)% 23%
- ---------------------------------------------------------------------------------------------------------
Micro Cap Value Class B Shares
Year ended 7/31/08 $ 3,032 2.81% 2.35% (0.62)% 49%
Year ended 7/31/07 $ 5,069 2.53% 2.35% (0.87)% 72%
Year ended 7/31/06 $ 6,032 2.40% 2.37% (0.73)% 42%
Year ended 7/31/05 $ 7,348 2.36% 1.73% (0.40)% 12%
Year ended 7/31/04 $ 6,937 2.33% 1.89% (0.81)% 23%
- ---------------------------------------------------------------------------------------------------------
Micro Cap Value Class C Shares
Year ended 7/31/08 $ 1,749 2.81% 2.35% (0.62)% 49%
Year ended 7/31/07 $ 2,853 2.51% 2.35% (0.75)% 72%
Year ended 7/31/06 $ 5,161 2.40% 2.37% (0.71)% 42%
Year ended 7/31/05 $ 6,143 2.36% 1.73% (0.39)% 12%
Year ended 7/31/04 $ 5,624 2.33% 1.81% (0.82)% 23%
- ---------------------------------------------------------------------------------------------------------
Small Cap Value Institutional Shares
Year ended 7/31/08 $ 86,463 1.24% 1.19% 1.05% 60%
Year ended 7/31/07 $ 110,873 1.25% 1.20% 0.61% 46%
Year ended 7/31/06 $ 116,503 1.24% 1.21% 0.39% 99%
Year ended 7/31/05 $ 158,505 1.20% 1.20% (0.20)% 105%
Year ended 7/31/04 $ 107,344 1.41% 1.25% (0.15)% 279%
- ---------------------------------------------------------------------------------------------------------
Small Cap Value Class A Shares
Year ended 7/31/08 $ 1,682 1.50% 1.45% 0.77% 60%
Year ended 7/31/07 $ 2,198 1.50% 1.45% 0.36% 46%
Year ended 7/31/06 $ 2,434 1.49% 1.46% 0.11% 99%
Year ended 7/31/05 $ 2,715 1.45% 1.45% (0.48)% 105%
Year ended 7/31/04 $ 2,277 1.63% 1.49% (0.53)% 279%
- ---------------------------------------------------------------------------------------------------------
Small Cap Value Class B Shares
Year ended 7/31/08 $ 834 2.25% 2.20% 0.03% 60%
Year ended 7/31/07 $ 1,104 2.25% 2.20% (0.39)% 46%
Year ended 7/31/06 $ 1,221 2.24% 2.21% (0.64)% 99%
Year ended 7/31/05 $ 1,142 2.20% 2.19% (1.18)% 105%
Year ended 7/31/04 $ 503 2.38% 2.24% (1.26)% 279%
- ---------------------------------------------------------------------------------------------------------
Small Cap Value Class C Shares
Year ended 7/31/08 $ 384 2.25% 2.20% 0.01% 60%
Year ended 7/31/07 $ 713 2.25% 2.20% (0.39)% 46%
Year ended 7/31/06 $ 839 2.24% 2.21% (0.64)% 99%
Year ended 7/31/05 $ 927 2.20% 2.19% (1.21)% 105%
Year ended 7/31/04 $ 561 2.38% 2.24% (1.31)% 279%
- ---------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 176-177
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ---------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ---------------------------------------------------------------------------------------------------------------------
All Cap Value Institutional Shares
Year ended 7/31/08 $25.65 0.31## (4.14) (3.83) (0.28) (3.56)
Year ended 7/31/07 $25.68 0.37## 4.19 4.56 (0.36) (4.23)
Year ended 7/31/06 $26.04 0.26 1.77 2.03 (0.24) (2.15)
Year ended 7/31/05 $22.58 0.10 4.85 4.95 (0.11) (1.38)
Year ended 7/31/04 $19.02 0.06 3.62 3.68 (0.05) (0.07)
- ---------------------------------------------------------------------------------------------------------------------
All Cap Value Class A Shares
Year ended 7/31/08 $25.30 0.25## (4.07) (3.82) (0.23) (3.56)
Year ended 7/31/07 $25.39 0.30## 4.13 4.43 (0.29) (4.23)
Year ended 7/31/06 $25.76 0.19 1.77 1.96 (0.18) (2.15)
Year ended 7/31/05 $22.36 0.04 4.79 4.83 (0.05) (1.38)
Year ended 7/31/04 $18.85 --^ 3.59 3.59 (0.01) (0.07)
- ---------------------------------------------------------------------------------------------------------------------
All Cap Value Class B Shares
Year ended 7/31/08 $24.35 0.09## (3.89) (3.80) (0.09) (3.56)
Year ended 7/31/07 $24.61 0.10## 3.99 4.09 (0.12) (4.23)
Year ended 7/31/06 $25.11 --^ 1.71 1.71 (0.06) (2.15)
Year ended 7/31/05 $21.94 (0.14) 4.69 4.55 -- (1.38)
Year ended 7/31/04 $18.63 (0.14) 3.52 3.38 -- (0.07)
- ---------------------------------------------------------------------------------------------------------------------
All Cap Value Class C Shares
Year ended 7/31/08 $24.32 0.09## (3.89) (3.80) (0.10) (3.56)
Year ended 7/31/07 $24.59 0.11## 3.98 4.09 (0.13) (4.23)
Year ended 7/31/06 $25.09 --^ 1.71 1.71 (0.06) (2.15)
Year ended 7/31/05 $21.93 (0.15) 4.69 4.54 -- (1.38)
Year ended 7/31/04 $18.61 (0.13) 3.52 3.39 -- (0.07)
- ---------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- -------------------------------------------------------------------------------------
All Cap Value Institutional Shares
Year ended 7/31/08 (3.84) $17.98 (17.47)%
Year ended 7/31/07 (4.59) $25.65 18.93%
Year ended 7/31/06 (2.39) $25.68 8.38%
Year ended 7/31/05 (1.49) $26.04 22.51%
Year ended 7/31/04 (0.12) $22.58 19.36%
- -------------------------------------------------------------------------------------
All Cap Value Class A Shares
Year ended 7/31/08 (3.79) $17.69 (17.65)%
Year ended 7/31/07 (4.52) $25.30 18.58%
Year ended 7/31/06 (2.33) $25.39 8.16%
Year ended 7/31/05 (1.43) $25.76 22.22%
Year ended 7/31/04 (0.08) $22.36 19.07%
- -------------------------------------------------------------------------------------
All Cap Value Class B Shares
Year ended 7/31/08 (3.65) $16.90 (18.24)%
Year ended 7/31/07 (4.35) $24.35 17.65%
Year ended 7/31/06 (2.21) $24.61 7.33%
Year ended 7/31/05 (1.38) $25.11 21.33%
Year ended 7/31/04 (0.07) $21.94 18.15%
- -------------------------------------------------------------------------------------
All Cap Value Class C Shares
Year ended 7/31/08 (3.66) $16.86 (18.25)%
Year ended 7/31/07 (4.36) $24.32 17.67%
Year ended 7/31/06 (2.21) $24.59 7.33%
Year ended 7/31/05 (1.38) $25.09 21.24%
Year ended 7/31/04 (0.07) $21.93 18.22%
- -------------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ----------------------------------------------------------------------------------------------------
All Cap Value Institutional Shares
Year ended 7/31/08 $165,714 1.34% 1.19% 1.43% 43%
Year ended 7/31/07 $223,709 1.31% 1.22% 1.40% 23%
Year ended 7/31/06 $226,189 1.31% 1.29% 0.99% 40%
Year ended 7/31/05 $270,131 1.30% 1.30% 0.41% 24%
Year ended 7/31/04 $235,228 1.30% 1.30% 0.29% 17%
- ----------------------------------------------------------------------------------------------------
All Cap Value Class A Shares
Year ended 7/31/08 $ 52,999 1.59% 1.44% 1.19% 43%
Year ended 7/31/07 $ 44,717 1.56% 1.47% 1.14% 23%
Year ended 7/31/06 $ 38,714 1.56% 1.54% 0.74% 40%
Year ended 7/31/05 $ 39,433 1.55% 1.55% 0.15% 24%
Year ended 7/31/04 $ 33,156 1.55% 1.55% 0.04% 17%
- ----------------------------------------------------------------------------------------------------
All Cap Value Class B Shares
Year ended 7/31/08 $ 15,431 2.34% 2.19% 0.43% 43%
Year ended 7/31/07 $ 23,974 2.31% 2.22% 0.40% 23%
Year ended 7/31/06 $ 21,679 2.31% 2.29% (0.01)% 40%
Year ended 7/31/05 $ 22,278 2.30% 2.30% (0.60)% 24%
Year ended 7/31/04 $ 18,795 2.30% 2.30% (0.71)% 17%
- ----------------------------------------------------------------------------------------------------
All Cap Value Class C Shares
Year ended 7/31/08 $ 8,647 2.34% 2.19% 0.43% 43%
Year ended 7/31/07 $ 8,150 2.31% 2.22% 0.40% 23%
Year ended 7/31/06 $ 4,455 2.31% 2.29% (0.01)% 40%
Year ended 7/31/05 $ 4,553 2.30% 2.30% (0.58)% 24%
Year ended 7/31/04 $ 3,824 2.30% 2.30% (0.71)% 17%
- ----------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 178-179
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
----------------------------- ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Institutional Shares
Year ended 7/31/08 $14.39 0.25## (2.03) (1.78) (0.23) (0.90)
Year ended 7/31/07 $14.72 0.22##@ 1.80 2.02 (0.22) (2.13)
Year ended 7/31/06 $15.08 0.21 1.07 1.28 (0.20) (1.44)
Year ended 7/31/05 $13.52 0.18 1.95 2.13 (0.18) (0.39)
Year ended 7/31/04 $11.85 0.15 2.08 2.23 (0.16) (0.40)
- -----------------------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class A Shares
Year ended 7/31/08 $14.35 0.21## (2.03) (1.82) (0.19) (0.90)
Year ended 7/31/07 $14.69 0.18##@ 1.79 1.97 (0.18) (2.13)
Year ended 7/31/06 $15.05 0.17 1.07 1.24 (0.16) (1.44)
Year ended 7/31/05 $13.50 0.14 1.94 2.08 (0.14) (0.39)
Year ended 7/31/04 $11.83 0.12 2.08 2.20 (0.13) (0.40)
- -----------------------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class B Shares
Year ended 7/31/08 $14.49 0.12## (2.05) (1.93) (0.09) (0.90)
Year ended 7/31/07 $14.81 0.08##@ 1.80 1.88 (0.07) (2.13)
Year ended 7/31/06 $15.17 0.06 1.08 1.14 (0.06) (1.44)
Year ended 7/31/05 $13.61 0.04 1.95 1.99 (0.04) (0.39)
Year ended 7/31/04 $11.93 0.03 2.09 2.12 (0.04) (0.40)
- -----------------------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class C Shares
Year ended 7/31/08 $14.21 0.11## (2.01) (1.90) (0.09) (0.90)
Year ended 7/31/07 $14.56 0.08##@ 1.77 1.85 (0.07) (2.13)
Year ended 7/31/06 $14.94 0.06 1.06 1.12 (0.06) (1.44)
Year ended 7/31/05 $13.40 0.03 1.94 1.97 (0.04) (0.39)
Year ended 7/31/04 $11.76 0.02 2.07 2.09 (0.05) (0.40)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
Disciplined Large Cap Value Institutional Shares
Year ended 7/31/08 (1.13) $11.48 (13.52)%
Year ended 7/31/07 (2.35) $14.39 14.52%@
Year ended 7/31/06 (1.64) $14.72 9.29%
Year ended 7/31/05 (0.57) $15.08 16.07%
Year ended 7/31/04 (0.56) $13.52 19.22%
- --------------------------------------------------------------------------------------
Disciplined Large Cap Value Class A Shares
Year ended 7/31/08 (1.09) $11.44 (13.67)%
Year ended 7/31/07 (2.31) $14.35 14.13%@
Year ended 7/31/06 (1.60) $14.69 9.05%
Year ended 7/31/05 (0.53) $15.05 15.74%
Year ended 7/31/04 (0.53) $13.50 18.96%
- --------------------------------------------------------------------------------------
Disciplined Large Cap Value Class B Shares
Year ended 7/31/08 (0.99) $11.57 (14.40)%
Year ended 7/31/07 (2.20) $14.49 13.38%@
Year ended 7/31/06 (1.50) $14.81 8.22%
Year ended 7/31/05 (0.43) $15.17 14.85%
Year ended 7/31/04 (0.44) $13.61 18.07%
- --------------------------------------------------------------------------------------
Disciplined Large Cap Value Class C Shares
Year ended 7/31/08 (0.99) $11.32 (14.40)%
Year ended 7/31/07 (2.20) $14.21 13.34%@
Year ended 7/31/06 (1.50) $14.56 8.21%
Year ended 7/31/05 (0.43) $14.94 14.96%
Year ended 7/31/04 (0.45) $13.40 18.07%
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Institutional Shares
Year ended 7/31/08 $487,006 1.08% 1.01% 1.88% 47%
Year ended 7/31/07 $649,497 1.07% 1.03% 1.50% 49%
Year ended 7/31/06 $581,507 1.07% 1.07% 1.40% 57%
Year ended 7/31/05 $574,251 1.07% 1.07% 1.27% 31%
Year ended 7/31/04 $632,120 1.07% 1.07% 1.27% 22%
- ------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class A Shares
Year ended 7/31/08 $ 17,759 1.33% 1.26% 1.63% 47%
Year ended 7/31/07 $ 29,725 1.32% 1.27% 1.24% 49%
Year ended 7/31/06 $ 22,968 1.32% 1.32% 1.16% 57%
Year ended 7/31/05 $ 24,805 1.32% 1.32% 1.01% 31%
Year ended 7/31/04 $ 21,738 1.32% 1.32% 1.00% 22%
- ------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class B Shares
Year ended 7/31/08 $ 3,932 2.08% 2.01% 0.88% 47%
Year ended 7/31/07 $ 5,872 2.07% 2.03% 0.50% 49%
Year ended 7/31/06 $ 5,783 2.07% 2.07% 0.40% 57%
Year ended 7/31/05 $ 5,739 2.07% 2.07% 0.26% 31%
Year ended 7/31/04 $ 4,807 2.07% 2.07% 0.27% 22%
- ------------------------------------------------------------------------------------------------------------------
Disciplined Large Cap Value Class C Shares
Year ended 7/31/08 $ 1,756 2.08% 2.01% 0.88% 47%
Year ended 7/31/07 $ 2,533 2.07% 2.02% 0.50% 49%
Year ended 7/31/06 $ 2,227 2.07% 2.07% 0.41% 57%
Year ended 7/31/05 $ 2,313 2.07% 2.07% 0.26% 31%
Year ended 7/31/04 $ 1,832 2.06% 2.06% 0.27% 22%
- ------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 180-181
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
--------------------------- ---------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Institutional Shares
Year ended 7/31/08 $16.95 0.14## (2.22) (2.08) (0.13) (0.08)
Year ended 7/31/07 $15.16 0.17## 1.80 1.97 (0.12) (0.06)
Year ended 7/31/06 $14.61 0.17 0.72 0.89 (0.16) (0.18)
Year ended 7/31/05 $13.20 0.18 1.76 1.94 (0.18) (0.35)
Year ended 7/31/04 $11.84 0.12 1.36 1.48 (0.12) --
- -----------------------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class A Shares
Year ended 7/31/08 $16.71 0.10## (2.20) (2.10) (0.08) (0.08)
Year ended 7/31/07 $14.96 0.12## 1.78 1.90 (0.09) (0.06)
Year ended 7/31/06 $14.42 0.13 0.71 0.84 (0.12) (0.18)
Year ended 7/31/05 $13.04 0.14 1.73 1.87 (0.14) (0.35)
Year ended 7/31/04 $11.70 0.07 1.36 1.43 (0.09) --
- -----------------------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class B Shares
Year ended 7/31/08 $16.69 (0.02)## (2.18) (2.20) -- (0.08)
Year ended 7/31/07 $14.98 --## 1.78 1.78 (0.01) (0.06)
Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18)
Year ended 7/31/05 $13.08 0.04 1.74 1.78 (0.05) (0.35)
Year ended 7/31/04 $11.75 (0.02) 1.36 1.34 (0.01) --
- -----------------------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class C Shares
Year ended 7/31/08 $16.70 (0.02)## (2.19) (2.21) -- (0.08)
Year ended 7/31/07 $14.98 --## 1.79 1.79 (0.01) (0.06)
Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18)
Year ended 7/31/05 $13.08 0.03 1.74 1.77 (0.04) (0.35)
Year ended 7/31/04 $11.76 (0.01) 1.35 1.34 (0.02) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
Structured Large Cap Plus Institutional Shares
Year ended 7/31/08 (0.21) $14.66 (12.31)%
Year ended 7/31/07 (0.18) $16.95 12.94%
Year ended 7/31/06 (0.34) $15.16 6.12%
Year ended 7/31/05 (0.53) $14.61 14.92%
Year ended 7/31/04 (0.12) $13.20 12.50%
- --------------------------------------------------------------------------------------
Structured Large Cap Plus Class A Shares
Year ended 7/31/08 (0.16) $14.45 (12.65)%
Year ended 7/31/07 (0.15) $16.71 12.70%
Year ended 7/31/06 (0.30) $14.96 5.84%
Year ended 7/31/05 (0.49) $14.42 14.58%
Year ended 7/31/04 (0.09) $13.04 12.21%
- --------------------------------------------------------------------------------------
Structured Large Cap Plus Class B Shares
Year ended 7/31/08 (0.08) $14.41 (13.24)%
Year ended 7/31/07 (0.07) $16.69 11.86%
Year ended 7/31/06 (0.21) $14.98 5.07%
Year ended 7/31/05 (0.40) $14.46 13.67%
Year ended 7/31/04 (0.01) $13.08 11.47%
- --------------------------------------------------------------------------------------
Structured Large Cap Plus Class C Shares
Year ended 7/31/08 (0.08) $14.41 (13.29)%
Year ended 7/31/07 (0.07) $16.70 11.93%
Year ended 7/31/06 (0.21) $14.98 5.07%
Year ended 7/31/05 (0.39) $14.46 13.73%
Year ended 7/31/04 (0.02) $13.08 11.38%
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Institutional Shares
Year ended 7/31/08 $133,506 1.76%+ 1.51%+ 0.89% 99%
Year ended 7/31/07 $180,126 1.02%+ 0.92%+ 0.99% 141%
Year ended 7/31/06 $166,510 1.03% 0.92% 1.09% 126%
Year ended 7/31/05 $169,723 1.05% 0.92% 1.17% 102%
Year ended 7/31/04 $ 90,222 1.04% 0.92% 0.84% 101%
- -------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class A Shares
Year ended 7/31/08 $ 12,505 2.01%+ 1.76%+ 0.63% 99%
Year ended 7/31/07 $ 18,972 1.27%+ 1.17%+ 0.75% 141%
Year ended 7/31/06 $ 20,923 1.27% 1.17% 0.85% 126%
Year ended 7/31/05 $ 24,026 1.31% 1.17% 0.99% 102%
Year ended 7/31/04 $ 25,573 1.29% 1.17% 0.58% 101%
- -------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class B Shares
Year ended 7/31/08 $ 723 2.76%+ 2.51%+ (0.11)% 99%
Year ended 7/31/07 $ 1,044 2.03%+ 1.92%+ (0.01)% 141%
Year ended 7/31/06 $ 953 2.03% 1.92% 0.09% 126%
Year ended 7/31/05 $ 1,007 2.06% 1.92% 0.18% 102%
Year ended 7/31/04 $ 783 2.04% 1.92% (0.17)% 101%
- -------------------------------------------------------------------------------------------------------------------
Structured Large Cap Plus Class C Shares
Year ended 7/31/08 $ 75 2.76%+ 2.51%+ (0.11)% 99%
Year ended 7/31/07 $ 125 2.03%+ 1.92%+ (0.02)% 141%
Year ended 7/31/06 $ 112 2.02% 1.92% 0.13% 126%
Year ended 7/31/05 $ 193 2.06% 1.92% 0.21% 102%
Year ended 7/31/04 $ 158 2.03% 1.92% (0.23)% 101%
- -------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 182-183
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Institutional Shares
Year ended 7/31/08 $27.60 0.52## (3.58) (3.06) (0.49) --
Year ended 7/31/07 $24.24 0.50## 3.35 3.85 (0.49) --
Year ended 7/31/06 $23.46 0.42## 0.79 1.21 (0.43) --
Year ended 7/31/05 $21.01 0.44## 2.45 2.89 (0.44) --
Year ended 7/31/04 $18.93 0.29## 2.12 2.41 (0.33) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Class A Shares
Year ended 7/31/08 $27.51 0.46## (3.58) (3.12) (0.42) --
Year ended 7/31/07 $24.16 0.43## 3.34 3.77 (0.42) --
Year ended 7/31/06 $23.38 0.36## 0.80 1.16 (0.38) --
Year ended 7/31/05 $20.94 0.37## 2.46 2.83 (0.39) --
Year ended 7/31/04 $18.87 0.25## 2.10 2.35 (0.28) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Class B Shares
Year ended 7/31/08 $27.34 0.26## (3.56) (3.30) (0.20) --
Year ended 7/31/07 $24.01 0.22## 3.33 3.55 (0.22) --
Year ended 7/31/06 $23.24 0.18## 0.79 0.97 (0.20) --
Year ended 7/31/05 $20.83 0.20## 2.44 2.64 (0.23) --
Year ended 7/31/04 $18.78 0.09## 2.09 2.18 (0.13) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Class C Shares
Year ended 7/31/08 $27.37 0.26## (3.57) (3.31) (0.20) --
Year ended 7/31/07 $24.03 0.22## 3.34 3.56 (0.22) --
Year ended 7/31/06 $23.26 0.18## 0.78 0.96 (0.19) --
Year ended 7/31/05 $20.84 0.20## 2.44 2.64 (0.22) --
Year ended 7/31/04 $18.78 0.09## 2.10 2.19 (0.13) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Select Shares
Year ended 7/31/08 $27.59 0.50## (3.58) (3.08) (0.46) --
Year ended 7/31/07 $24.23 0.47## 3.35 3.82 (0.46) --
Year ended 7/31/06 $23.45 0.40## 0.80 1.20 (0.42) --
Year ended 7/31/05 $21.00 0.41## 2.47 2.88 (0.43) --
10/20/03(c) to 7/31/04 $19.86 0.22## 1.18 1.40 (0.26) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Preferred Shares
Year ended 7/31/08 $27.59 0.48## (3.58) (3.10) (0.44) --
Year ended 7/31/07 $24.23 0.45## 3.37 3.82 (0.46) --
Year ended 7/31/06 $23.45 0.39## 0.79 1.18 (0.40) --
Year ended 7/31/05 $21.01 0.43## 2.41 2.84 (0.40) --
10/20/03(c) to 7/31/04 $19.86 0.22## 1.18 1.40 (0.25) --
- -----------------------------------------------------------------------------------------------------------------------
Equity Index Trust Shares
Year ended 7/31/08 $27.60 0.46## (3.60) (3.14) (0.41) --
Year ended 7/31/07 $24.23 0.43## 3.36 3.79 (0.42) --
Year ended 7/31/06 $23.45 0.36## 0.79 1.15 (0.37) --
Year ended 7/31/05 $21.01 0.37## 2.46 2.83 (0.39) --
10/20/03(c) to 7/31/04 $19.86 0.20## 1.18 1.38 (0.23) --
- -----------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
Equity Index Institutional Shares
Year ended 7/31/08 (0.49) $24.05 (11.27)%
Year ended 7/31/07 (0.49) $27.60 15.92%
Year ended 7/31/06 (0.43) $24.24 5.21%
Year ended 7/31/05 (0.44) $23.46 13.86%
Year ended 7/31/04 (0.33) $21.01 12.75%
- --------------------------------------------------------------------------------------
Equity Index Class A Shares
Year ended 7/31/08 (0.42) $23.97 (11.51)%
Year ended 7/31/07 (0.42) $27.51 15.65%
Year ended 7/31/06 (0.38) $24.16 4.97%
Year ended 7/31/05 (0.39) $23.38 13.58%
Year ended 7/31/04 (0.28) $20.94 12.48%
- --------------------------------------------------------------------------------------
Equity Index Class B Shares
Year ended 7/31/08 (0.20) $23.84 (12.15)%
Year ended 7/31/07 (0.22) $27.34 14.79%
Year ended 7/31/06 (0.20) $24.01 4.17%
Year ended 7/31/05 (0.23) $23.24 12.74%
Year ended 7/31/04 (0.13) $20.83 11.64%
- --------------------------------------------------------------------------------------
Equity Index Class C Shares
Year ended 7/31/08 (0.20) $23.86 (12.17)%
Year ended 7/31/07 (0.22) $27.37 14.81%
Year ended 7/31/06 (0.19) $24.03 4.15%
Year ended 7/31/05 (0.22) $23.26 12.72%
Year ended 7/31/04 (0.13) $20.84 11.66%
- --------------------------------------------------------------------------------------
Equity Index Select Shares
Year ended 7/31/08 (0.46) $24.05 (11.32)%
Year ended 7/31/07 (0.46) $27.59 15.83%
Year ended 7/31/06 (0.42) $24.23 5.13%
Year ended 7/31/05 (0.43) $23.45 13.79%
10/20/03(c) to 7/31/04 (0.26) $21.00 7.03%*
- --------------------------------------------------------------------------------------
Equity Index Preferred Shares
Year ended 7/31/08 (0.44) $24.05 (11.38)%
Year ended 7/31/07 (0.46) $27.59 15.76%
Year ended 7/31/06 (0.40) $24.23 5.06%
Year ended 7/31/05 (0.40) $23.45 13.62%
10/20/03(c) to 7/31/04 (0.25) $21.01 7.03%*
- --------------------------------------------------------------------------------------
Equity Index Trust Shares
Year ended 7/31/08 (0.41) $24.05 (11.51)%
Year ended 7/31/07 (0.42) $27.60 15.69%
Year ended 7/31/06 (0.37) $24.23 4.95%
Year ended 7/31/05 (0.39) $23.45 13.53%
10/20/03(c) to 7/31/04 (0.23) $21.01 6.95%*
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ------------------------------------------------------------------------------------------------------
Equity Index Institutional Shares
Year ended 7/31/08 $169,016 0.60% 0.19% 1.97% 4%
Year ended 7/31/07 $193,180 0.61% 0.19% 1.84% 4%
Year ended 7/31/06 $184,177 0.60% 0.19% 1.75% 6%
Year ended 7/31/05 $168,279 0.62% 0.19% 1.97% 4%
Year ended 7/31/04 $193,734 0.58% 0.27% 1.43% 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Class A Shares
Year ended 7/31/08 $ 55,640 0.85% 0.44% 1.71% 4%
Year ended 7/31/07 $ 65,640 0.86% 0.44% 1.59% 4%
Year ended 7/31/06 $ 65,204 0.85% 0.44% 1.52% 6%
Year ended 7/31/05 $ 70,261 0.87% 0.44% 1.69% 4%
Year ended 7/31/04 $ 72,944 0.86% 0.47% 1.19% 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Class B Shares
Year ended 7/31/08 $ 3,029 1.60% 1.19% 0.97% 4%
Year ended 7/31/07 $ 3,961 1.61% 1.19% 0.84% 4%
Year ended 7/31/06 $ 4,229 1.60% 1.19% 0.76% 6%
Year ended 7/31/05 $ 4,399 1.63% 1.19% 0.93% 4%
Year ended 7/31/04 $ 3,776 1.60% 1.23% 0.44% 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Class C Shares
Year ended 7/31/08 $ 1,876 1.60% 1.19% 0.97% 4%
Year ended 7/31/07 $ 2,223 1.61% 1.19% 0.83% 4%
Year ended 7/31/06 $ 1,998 1.60% 1.19% 0.77% 6%
Year ended 7/31/05 $ 2,301 1.63% 1.19% 0.90% 4%
Year ended 7/31/04 $ 1,990 1.60% 1.23% 0.44% 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Select Shares
Year ended 7/31/08 $ 11,175 0.68% 0.27% 1.87% 4%
Year ended 7/31/07 $ 17,852 0.69% 0.27% 1.76% 4%
Year ended 7/31/06 $ 17,558 0.68% 0.27% 1.67% 6%
Year ended 7/31/05 $ 18,690 0.71% 0.27% 1.83% 4%
10/20/03(c) to 7/31/04 $ 14,315 0.69%** 0.27%** 1.32%** 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Preferred Shares
Year ended 7/31/08 $ 56,847 0.75% 0.34% 1.81% 4%
Year ended 7/31/07 $ 69,251 0.76% 0.34% 1.68% 4%
Year ended 7/31/06 $ 64,939 0.75% 0.34% 1.62% 6%
Year ended 7/31/05 $ 78,132 0.77% 0.34% 1.98% 4%
10/20/03(c) to 7/31/04 $165,845 0.76%** 0.34%** 1.31%** 14%
- ------------------------------------------------------------------------------------------------------
Equity Index Trust Shares
Year ended 7/31/08 $ 53,924 0.85% 0.44% 1.72% 4%
Year ended 7/31/07 $ 68,661 0.86% 0.44% 1.59% 4%
Year ended 7/31/06 $ 67,747 0.85% 0.44% 1.52% 6%
Year ended 7/31/05 $ 76,295 0.87% 0.44% 1.69% 4%
10/20/03(c) to 7/31/04 $ 80,759 0.86%** 0.44%** 1.22%** 14%
- ------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 184-185
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ----------------------------------------------------------------------------------------------------------------------------
International Equity Institutional Shares
Year ended 7/31/08 $15.55 0.45## (2.30) (1.85) (0.46) (1.00)
Year ended 7/31/07 $12.83 0.18##@ 2.92 3.10 (0.11) (0.27)
Year ended 7/31/06 $10.79 0.15## 2.37 2.52 (0.20) (0.28)
Year ended 7/31/05 $ 9.32 0.13 1.54 1.67 (0.20) --
Year ended 7/31/04 $ 7.79 0.06## 1.61 1.67 (0.14) --
- ----------------------------------------------------------------------------------------------------------------------------
International Equity Class A Shares
Year ended 7/31/08 $15.54 0.40## (2.28) (1.88) (0.43) (1.00)
Year ended 7/31/07 $12.84 0.15##@ 2.92 3.07 (0.10) (0.27)
Year ended 7/31/06 $10.80 0.13## 2.36 2.49 (0.17) (0.28)
Year ended 7/31/05 $ 9.33 0.10 1.54 1.64 (0.17) --
Year ended 7/31/04 $ 7.81 0.05## 1.59 1.64 (0.12) --
- ----------------------------------------------------------------------------------------------------------------------------
International Equity Class B Shares
Year ended 7/31/08 $15.21 0.29## (2.23) (1.94) (0.32) (1.00)
Year ended 7/31/07 $12.64 0.04##@ 2.86 2.90 (0.06) (0.27)
Year ended 7/31/06 $10.66 0.04## 2.32 2.36 (0.10) (0.28)
Year ended 7/31/05 $ 9.23 0.02 1.52 1.54 (0.11) --
Year ended 7/31/04 $ 7.71 (0.02)## 1.59 1.57 (0.05) --
- ----------------------------------------------------------------------------------------------------------------------------
International Equity Class C Shares
Year ended 7/31/08 $14.81 0.30## (2.18) (1.88) (0.32) (1.00)
Year ended 7/31/07 $12.31 0.02##@ 2.81 2.83 (0.06) (0.27)
Year ended 7/31/06 $10.39 0.03## 2.28 2.31 (0.11) (0.28)
Year ended 7/31/05 $ 8.99 0.02 1.49 1.51 (0.11) --
Year ended 7/31/04 $ 7.50 (0.02)## 1.54 1.52 (0.03) --
- ----------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
International Equity Institutional Shares
Year ended 7/31/08 (1.46) $12.24 (13.56)%
Year ended 7/31/07 (0.38) $15.55 24.57%@
Year ended 7/31/06 (0.48) $12.83 23.86%
Year ended 7/31/05 (0.20) $10.79 17.99%
Year ended 7/31/04 (0.14) $ 9.32 21.56%
- --------------------------------------------------------------------------------------
International Equity Class A Shares
Year ended 7/31/08 (1.43) $12.23 (13.81)%
Year ended 7/31/07 (0.37) $15.54 24.35%@
Year ended 7/31/06 (0.45) $12.84 23.53%
Year ended 7/31/05 (0.17) $10.80 17.79%
Year ended 7/31/04 (0.12) $ 9.33 21.11%
- --------------------------------------------------------------------------------------
International Equity Class B Shares
Year ended 7/31/08 (1.32) $11.95 (14.45)%
Year ended 7/31/07 (0.33) $15.21 23.36%@
Year ended 7/31/06 (0.38) $12.64 22.59%
Year ended 7/31/05 (0.11) $10.66 16.76%
Year ended 7/31/04 (0.05) $ 9.23 20.43%
- --------------------------------------------------------------------------------------
International Equity Class C Shares
Year ended 7/31/08 (1.32) $11.61 (14.43)%
Year ended 7/31/07 (0.33) $14.81 23.40%@
Year ended 7/31/06 (0.39) $12.31 22.61%
Year ended 7/31/05 (0.11) $10.39 16.83%
Year ended 7/31/04 (0.03) $ 8.99 20.32%
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -----------------------------------------------------------------------------------------------------------
International Equity Institutional Shares
Year ended 7/31/08 $420,993 1.36% 1.26% 3.13% 155%
Year ended 7/31/07 $469,183 1.36% 1.35% 1.29% 20%
Year ended 7/31/06 $434,572 1.37% 1.35% 1.24% 23%
Year ended 7/31/05 $282,476 1.39% 1.35% 1.15% 21%
Year ended 7/31/04 $324,852 1.42% 1.36% 0.61% 50%
- -----------------------------------------------------------------------------------------------------------
International Equity Class A Shares
Year ended 7/31/08 $ 20,160 1.60% 1.50% 2.80% 155%
Year ended 7/31/07 $ 21,533 1.61% 1.60% 1.06% 20%
Year ended 7/31/06 $ 27,725 1.62% 1.60% 1.03% 23%
Year ended 7/31/05 $ 20,509 1.64% 1.60% 0.88% 21%
Year ended 7/31/04 $ 22,999 1.67% 1.61% 0.51% 50%
- -----------------------------------------------------------------------------------------------------------
International Equity Class B Shares
Year ended 7/31/08 $ 2,177 2.36% 2.26% 2.10% 155%
Year ended 7/31/07 $ 2,677 2.35% 2.35% 0.32% 20%
Year ended 7/31/06 $ 2,060 2.37% 2.35% 0.32% 23%
Year ended 7/31/05 $ 1,280 2.39% 2.35% 0.23% 21%
Year ended 7/31/04 $ 793 2.42% 2.36% (0.21)% 50%
- -----------------------------------------------------------------------------------------------------------
International Equity Class C Shares
Year ended 7/31/08 $ 721 2.36% 2.26% 2.19% 155%
Year ended 7/31/07 $ 878 2.35% 2.35% 0.16% 20%
Year ended 7/31/06 $ 1,139 2.37% 2.35% 0.29% 23%
Year ended 7/31/05 $ 962 2.39% 2.35% 0.26% 21%
Year ended 7/31/04 $ 555 2.42% 2.36% (0.22)% 50%
- -----------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 186-187
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investment from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ---------------------------------------------------------------------------------------------------------------------------------
Strategic Income Institutional Shares
Year ended 7/31/08 $11.18 0.55## (1.41) (0.85) (0.61) (0.33)
Year ended 7/31/07 $11.28 0.55## 0.01 0.56 (0.55) (0.11)
Year ended 7/31/06 $11.54 0.52## (0.23) 0.29 (0.52) (0.03)
Year ended 7/31/05 $11.15 0.51 0.39 0.90 (0.50) (0.01)
Year ended 7/31/04 $10.91 0.51 0.25 0.76 (0.52) --
- ---------------------------------------------------------------------------------------------------------------------------------
Strategic Income Class A Shares
Year ended 7/31/08 $11.15 0.53## (1.41) (0.87) (0.58) (0.33)
Year ended 7/31/07 $11.25 0.52## 0.02 0.54 (0.52) (0.12)
Year ended 7/31/06 $11.51 0.48## (0.22) 0.26 (0.49) (0.03)
Year ended 7/31/05 $11.12 0.49 0.38 0.87 (0.47) (0.01)
4/1/04(c) to 7/31/04 $11.65 0.17 (0.54) (0.37) (0.16) --
- ---------------------------------------------------------------------------------------------------------------------------------
Strategic Income Class B Shares
Year ended 7/31/08 $11.15 0.45## (1.41) (0.96) (0.50) (0.33)
Year ended 7/31/07 $11.25 0.43## 0.02 0.45 (0.44) (0.11)
Year ended 7/31/06 $11.51 0.40## (0.23) 0.17 (0.40) (0.03)
Year ended 7/31/05 $11.12 0.40 0.39 0.79 (0.39) (0.01)
4/1/04(c) to 7/31/04 $11.65 0.15 (0.54) (0.39) (0.14) --
- ---------------------------------------------------------------------------------------------------------------------------------
Strategic Income Class C Shares
Year ended 7/31/08 $11.07 0.45## (1.40) (0.95) (0.50) (0.33)
Year ended 7/31/07 $11.17 0.43## 0.02 0.45 (0.44) (0.11)
Year ended 7/31/06 $11.43 0.40## (0.23) 0.17 (0.40) (0.03)
Year ended 7/31/05 $11.05 0.39 0.39 0.78 (0.39) (0.01)
Year ended 7/31/04 $10.82 0.39 0.25 0.64 (0.41) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ------------------------------------------------------------------------------------
Strategic Income Institutional Shares
Year ended 7/31/08 (0.94) $ 9.38 (8.30)%
Year ended 7/31/07 (0.66) $11.18 4.97%
Year ended 7/31/06 (0.55) $11.28 2.61%
Year ended 7/31/05 (0.51) $11.54 8.21%
Year ended 7/31/04 (0.52) $11.15 7.04%
- ------------------------------------------------------------------------------------
Strategic Income Class A Shares
Year ended 7/31/08 (0.91) $ 9.36 (8.46)%
Year ended 7/31/07 (0.64) $11.15 4.72%
Year ended 7/31/06 (0.52) $11.25 2.36%
Year ended 7/31/05 (0.48) $11.51 7.96%
4/1/04(c) to 7/31/04 (0.16) $11.12 (3.15)%*
- ------------------------------------------------------------------------------------
Strategic Income Class B Shares
Year ended 7/31/08 (0.83) $ 9.36 (9.15)%
Year ended 7/31/07 (0.55) $11.15 3.94%
Year ended 7/31/06 (0.43) $11.25 1.60%
Year ended 7/31/05 (0.40) $11.51 7.16%
4/1/04(c) to 7/31/04 (0.14) $11.12 (3.36)%*
- ------------------------------------------------------------------------------------
Strategic Income Class C Shares
Year ended 7/31/08 (0.83) $ 9.29 (9.12)%
Year ended 7/31/07 (0.55) $11.07 3.98%
Year ended 7/31/06 (0.43) $11.17 1.62%
Year ended 7/31/05 (0.40) $11.43 7.12%
Year ended 7/31/04 (0.41) $11.05 6.07%
- ------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ----------------------------------------------------------------------------------------------------------------
Strategic Income Institutional Shares
Year ended 7/31/08 $ 90,639 1.35% 0.96% 5.28% 32%
Year ended 7/31/07 $116,454 1.34% 1.06% 4.75% 18%
Year ended 7/31/06 $107,130 1.34% 1.31% 4.56% 8%
Year ended 7/31/05 $ 97,921 1.36% 1.36% 4.47% 17%
Year ended 7/31/04 $ 90,995 1.33% 1.33% 4.64% 36%
- ----------------------------------------------------------------------------------------------------------------
Strategic Income Class A Shares
Year ended 7/31/08 $ 14,768 1.60% 1.21% 5.21% 32%
Year ended 7/31/07 $ 4,904 1.59% 1.31% 4.49% 18%
Year ended 7/31/06 $ 4,429 1.59% 1.56% 4.30% 8%
Year ended 7/31/05 $ 4,423 1.62% 1.62% 4.25% 17%
4/1/04(c) to 7/31/04 $ 954 1.63%** 1.63%** 5.02%** 36%
- ----------------------------------------------------------------------------------------------------------------
Strategic Income Class B Shares
Year ended 7/31/08 $ 979 2.35% 1.96% 4.27% 32%
Year ended 7/31/07 $ 1,528 2.34% 2.05% 3.76% 18%
Year ended 7/31/06 $ 1,588 2.34% 2.31% 3.57% 8%
Year ended 7/31/05 $ 1,909 2.37% 2.37% 3.49% 17%
4/1/04(c) to 7/31/04 $ 389 2.37%** 2.37%** 4.27%** 36%
- ----------------------------------------------------------------------------------------------------------------
Strategic Income Class C Shares
Year ended 7/31/08 $ 9,780 2.35% 1.96% 4.26% 32%
Year ended 7/31/07 $ 15,676 2.34% 2.06% 3.75% 18%
Year ended 7/31/06 $ 20,019 2.34% 2.32% 3.53% 8%
Year ended 7/31/05 $ 29,176 2.35% 2.35% 3.47% 17%
Year ended 7/31/04 $ 39,298 2.33% 2.33% 3.62% 36%
- ----------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 188-189
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------- ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Institutional Shares
Year ended 7/31/08 $16.58 0.20### (1.56)# (1.36) (0.49) (1.16)
Year ended 7/31/07 $14.58 0.14### 2.39# 2.53 (0.12) (0.41)
Year ended 7/31/06 $14.36 0.21# 0.52# 0.73 (0.20) (0.31)
Year ended 7/31/05 $12.49 0.16# 1.94# 2.10 (0.15) (0.08)
Year ended 7/31/04 $11.35 0.14# 1.31# 1.45 (0.13) (0.18)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class A Shares
Year ended 7/31/08 $16.51 0.18### (1.58)# (1.40) (0.46) (1.16)
Year ended 7/31/07 $14.53 0.10### 2.38# 2.48 (0.09) (0.41)
Year ended 7/31/06 $14.32 0.17# 0.51# 0.68 (0.16) (0.31)
Year ended 7/31/05 $12.45 0.12# 1.95# 2.07 (0.12) (0.08)
Year ended 7/31/04 $11.33 0.11# 1.30# 1.41 (0.11) (0.18)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class B Shares
Year ended 7/31/08 $16.11 0.06### (1.52)# (1.46) (0.37) (1.16)
Year ended 7/31/07 $14.24 (0.02)### 2.33# 2.31 (0.02) (0.42)
Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31)
Year ended 7/31/05 $12.30 0.03# 1.90# 1.93 (0.07) (0.08)
Year ended 7/31/04 $11.26 0.05# 1.27# 1.32 (0.10) (0.18)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class C Shares
Year ended 7/31/08 $16.11 0.05### (1.52)# (1.47) (0.37) (1.16)
Year ended 7/31/07 $14.24 (0.04)### 2.35# 2.31 (0.03) (0.41)
Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31)
Year ended 7/31/05 $12.30 0.03# 1.90# 1.93 (0.07) (0.08)
Year ended 7/31/04 $11.26 0.03# 1.28# 1.31 (0.09) (0.18)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Institutional Shares
Year ended 7/31/08 $15.44 0.29### (1.32)# (1.03) (0.45) (1.11)
Year ended 7/31/07 $13.98 0.25### 1.84# 2.09 (0.26) (0.37)
Year ended 7/31/06 $13.91 0.28# 0.34# 0.62 (0.28) (0.27)
Year ended 7/31/05 $12.48 0.22# 1.50# 1.72 (0.21) (0.08)
Year ended 7/31/04 $11.59 0.19# 1.03# 1.22 (0.19) (0.14)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class A Shares
Year ended 7/31/08 $15.42 0.27### (1.34)# (1.07) (0.41) (1.11)
Year ended 7/31/07 $13.96 0.21### 1.83# 2.04 (0.22) (0.36)
Year ended 7/31/06 $13.89 0.26# 0.33# 0.59 (0.25) (0.27)
Year ended 7/31/05 $12.47 0.19# 1.49# 1.68 (0.18) (0.08)
Year ended 7/31/04 $11.58 0.16# 1.04# 1.20 (0.17) (0.14)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class B Shares
Year ended 7/31/08 $15.34 0.17### (1.33)# (1.16) (0.35) (1.11)
Year ended 7/31/07 $13.90 0.10### 1.82# 1.92 (0.11) (0.37)
Year ended 7/31/06 $13.83 0.15# 0.34# 0.49 (0.15) (0.27)
Year ended 7/31/05 $12.42 0.09# 1.48# 1.57 (0.08) (0.08)
Year ended 7/31/04 $11.55 0.07# 1.03# 1.10 (0.09) (0.14)
- -----------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class C Shares
Year ended 7/31/08 $15.34 0.19### (1.36)# (1.17) (0.35) (1.11)
Year ended 7/31/07 $13.89 0.10### 1.83# 1.93 (0.11) (0.37)
Year ended 7/31/06 $13.83 0.15# 0.33# 0.48 (0.15) (0.27)
Year ended 7/31/05 $12.41 0.09# 1.49# 1.58 (0.08) (0.08)
Year ended 7/31/04 $11.55 0.07# 1.02# 1.09 (0.09) (0.14)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- --------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Institutional Shares
Year ended 7/31/08 (1.65) $13.57 (9.45)%
Year ended 7/31/07 (0.53) $16.58 17.59%
Year ended 7/31/06 (0.51) $14.58 5.13%
Year ended 7/31/05 (0.23) $14.36 16.91%
Year ended 7/31/04 (0.31) $12.49 12.83%
- --------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class A Shares
Year ended 7/31/08 (1.62) $13.49 (9.74)%
Year ended 7/31/07 (0.50) $16.51 17.29%
Year ended 7/31/06 (0.47) $14.53 4.80%
Year ended 7/31/05 (0.20) $14.32 16.59%
Year ended 7/31/04 (0.29) $12.45 12.49%
- --------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class B Shares
Year ended 7/31/08 (1.53) $13.12 (10.41)%
Year ended 7/31/07 (0.44) $16.11 16.44%
Year ended 7/31/06 (0.41) $14.24 4.10%
Year ended 7/31/05 (0.15) $14.08 15.73%
Year ended 7/31/04 (0.28) $12.30 11.70%
- --------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class C Shares
Year ended 7/31/08 (1.53) $13.11 (10.44)%
Year ended 7/31/07 (0.44) $16.11 16.45%
Year ended 7/31/06 (0.41) $14.24 4.11%
Year ended 7/31/05 (0.15) $14.08 15.80%
Year ended 7/31/04 (0.27) $12.30 11.67%
- --------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Institutional Shares
Year ended 7/31/08 (1.56) $12.85 (7.76)%
Year ended 7/31/07 (0.63) $15.44 15.16%
Year ended 7/31/06 (0.55) $13.98 4.60%
Year ended 7/31/05 (0.29) $13.91 13.87%
Year ended 7/31/04 (0.33) $12.48 10.54%
- --------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class A Shares
Year ended 7/31/08 (1.52) $12.83 (7.95)%
Year ended 7/31/07 (0.58) $15.42 14.82%
Year ended 7/31/06 (0.52) $13.96 4.36%
Year ended 7/31/05 (0.26) $13.89 13.53%
Year ended 7/31/04 (0.31) $12.47 10.32%
- --------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class B Shares
Year ended 7/31/08 (1.46) $12.72 (8.65)%
Year ended 7/31/07 (0.48) $15.34 13.97%
Year ended 7/31/06 (0.42) $13.90 3.63%
Year ended 7/31/05 (0.16) $13.83 12.68%
Year ended 7/31/04 (0.23) $12.42 9.47%
- --------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class C Shares
Year ended 7/31/08 (1.46) $12.71 (8.73)%
Year ended 7/31/07 (0.48) $15.34 13.98%
Year ended 7/31/06 (0.42) $13.89 3.53%
Year ended 7/31/05 (0.16) $13.83 12.75%
Year ended 7/31/04 (0.23) $12.41 9.45%
- --------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- ------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Institutional Shares
Year ended 7/31/08 $107,929 0.49% 0.08% 1.31% 26%
Year ended 7/31/07 $119,437 0.49% 0.08% 0.87% 14%
Year ended 7/31/06 $101,365 0.48% 0.08% 1.38% 14%
Year ended 7/31/05 $ 70,072 0.47% 0.08% 1.15% 35%
Year ended 7/31/04 $ 52,085 0.51% 0.08% 1.09% 22%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class A Shares
Year ended 7/31/08 $ 44,892 0.74% 0.33% 1.19% 26%
Year ended 7/31/07 $ 57,421 0.73% 0.33% 0.62% 14%
Year ended 7/31/06 $ 50,416 0.72% 0.33% 1.15% 14%
Year ended 7/31/05 $ 47,172 0.72% 0.33% 0.91% 35%
Year ended 7/31/04 $ 38,249 0.76% 0.33% 0.80% 22%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class B Shares
Year ended 7/31/08 $ 13,202 1.49% 1.08% 0.39% 26%
Year ended 7/31/07 $ 18,547 1.49% 1.08% (0.13)% 14%
Year ended 7/31/06 $ 16,926 1.47% 1.08% 0.39% 14%
Year ended 7/31/05 $ 16,203 1.47% 1.08% 0.15% 35%
Year ended 7/31/04 $ 12,106 1.51% 1.08% 0.03% 22%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Aggressive(SM) Class C Shares
Year ended 7/31/08 $ 2,236 1.49% 1.08% 0.36% 26%
Year ended 7/31/07 $ 3,016 1.49% 1.08% (0.24)% 14%
Year ended 7/31/06 $ 2,661 1.47% 1.08% 0.37% 14%
Year ended 7/31/05 $ 2,164 1.47% 1.08% 0.14% 35%
Year ended 7/31/04 $ 1,916 1.51% 1.08% 0.06% 22%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Institutional Shares
Year ended 7/31/08 $135,474 0.48% 0.08% 2.06% 26%
Year ended 7/31/07 $146,973 0.47% 0.08% 1.68% 20%
Year ended 7/31/06 $135,542 0.45% 0.08% 2.09% 19%
Year ended 7/31/05 $110,379 0.44% 0.08% 1.62% 35%
Year ended 7/31/04 $ 82,264 0.45% 0.08% 1.56% 16%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class A Shares
Year ended 7/31/08 $ 98,658 0.73% 0.33% 1.89% 26%
Year ended 7/31/07 $127,824 0.72% 0.33% 1.42% 20%
Year ended 7/31/06 $128,564 0.70% 0.33% 1.86% 19%
Year ended 7/31/05 $125,130 0.69% 0.33% 1.38% 35%
Year ended 7/31/04 $ 94,739 0.70% 0.33% 1.32% 16%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class B Shares
Year ended 7/31/08 $ 43,036 1.48% 1.08% 1.20% 26%
Year ended 7/31/07 $ 56,679 1.47% 1.08% 0.68% 20%
Year ended 7/31/06 $ 53,395 1.45% 1.08% 1.10% 19%
Year ended 7/31/05 $ 50,000 1.44% 1.08% 0.62% 35%
Year ended 7/31/04 $ 39,636 1.45% 1.08% 0.53% 16%
- ------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Aggressive(SM) Class C Shares
Year ended 7/31/08 $ 6,077 1.48% 1.08% 1.35% 26%
Year ended 7/31/07 $ 9,012 1.47% 1.08% 0.68% 20%
Year ended 7/31/06 $ 8,196 1.45% 1.08% 1.11% 19%
Year ended 7/31/05 $ 9,034 1.44% 1.08% 0.62% 35%
Year ended 7/31/04 $ 8,046 1.45% 1.08% 0.48% 16%
- ------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 190-191
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Institutional Shares
Year ended 7/31/08 $13.34 0.36### (1.06)# (0.70) (0.45) (0.76)
Year ended 7/31/07 $12.43 0.33### 1.21# 1.54 (0.33) (0.30)
Year ended 7/31/06 $12.52 0.33# 0.15# 0.48 (0.33) (0.24)
Year ended 7/31/05 $11.57 0.27# 0.97# 1.24 (0.26) (0.03)
Year ended 7/31/04 $10.93 0.21# 0.76# 0.97 (0.21) (0.12)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class A Shares
Year ended 7/31/08 $13.32 0.33### (1.06)# (0.73) (0.41) (0.76)
Year ended 7/31/07 $12.41 0.29### 1.22# 1.51 (0.30) (0.30)
Year ended 7/31/06 $12.50 0.30# 0.15# 0.45 (0.30) (0.24)
Year ended 7/31/05 $11.56 0.24# 0.96# 1.20 (0.23) (0.03)
Year ended 7/31/04 $10.93 0.19# 0.74# 0.93 (0.18) (0.12)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class B Shares
Year ended 7/31/08 $13.25 0.24### (1.05)# (0.81) (0.31) (0.76)
Year ended 7/31/07 $12.35 0.19### 1.21# 1.40 (0.20) (0.30)
Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.21) (0.24)
Year ended 7/31/05 $11.51 0.14# 0.97# 1.11 (0.14) (0.03)
Year ended 7/31/04 $10.89 0.12# 0.73# 0.85 (0.11) (0.12)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class C Shares
Year ended 7/31/08 $13.26 0.24### (1.06)# (0.82) (0.31) (0.76)
Year ended 7/31/07 $12.36 0.19### 1.21# 1.40 (0.20) (0.30)
Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.20) (0.24)
Year ended 7/31/05 $11.51 0.15# 0.96# 1.11 (0.14) (0.03)
Year ended 7/31/04 $10.90 0.12# 0.73# 0.85 (0.12) (0.12)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Institutional Shares
Year ended 7/31/08 $11.95 0.37### (0.90)# (0.53) (0.42) (0.66)
Year ended 7/31/07 $11.36 0.34### 0.93# 1.27 (0.35) (0.33)
Year ended 7/31/06 $11.59 0.34# 0.04# 0.38 (0.34) (0.27)
Year ended 7/31/05 $10.95 0.27# 0.73# 1.00 (0.27) (0.09)
Year ended 7/31/04 $10.62 0.27# 0.51# 0.78 (0.25) (0.20)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class A Shares
Year ended 7/31/08 $11.93 0.33### (0.89)# (0.56) (0.39) (0.66)
Year ended 7/31/07 $11.35 0.31### 0.92# 1.23 (0.32) (0.33)
Year ended 7/31/06 $11.58 0.32# 0.03# 0.35 (0.31) (0.27)
Year ended 7/31/05 $10.93 0.25# 0.73# 0.98 (0.24) (0.09)
Year ended 7/31/04 $10.60 0.22# 0.53# 0.75 (0.22) (0.20)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class B Shares
Year ended 7/31/08 $11.88 0.25### (0.89)# (0.64) (0.29) (0.66)
Year ended 7/31/07 $11.30 0.22### 0.92# 1.14 (0.23) (0.33)
Year ended 7/31/06 $11.54 0.24# 0.02# 0.26 (0.23) (0.27)
Year ended 7/31/05 $10.90 0.17# 0.72# 0.89 (0.16) (0.09)
Year ended 7/31/04 $10.58 0.14# 0.53# 0.67 (0.15) (0.20)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class C Shares
Year ended 7/31/08 $11.89 0.25### (0.89)# (0.64) (0.29) (0.66)
Year ended 7/31/07 $11.32 0.22### 0.91# 1.13 (0.23) (0.33)
Year ended 7/31/06 $11.54 0.24# 0.03# 0.27 (0.22) (0.27)
Year ended 7/31/05 $10.90 0.17# 0.72# 0.89 (0.16) (0.09)
Year ended 7/31/04 $10.59 0.14# 0.52# 0.66 (0.15) (0.20)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ---------------------------------------------------------------------------------------
LifeModel Moderate(SM) Institutional Shares
Year ended 7/31/08 (1.21) $11.43 (6.02)%
Year ended 7/31/07 (0.63) $13.34 12.60%
Year ended 7/31/06 (0.57) $12.43 3.90%
Year ended 7/31/05 (0.29) $12.52 10.79%
Year ended 7/31/04 (0.33) $11.57 8.84%
- ---------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class A Shares
Year ended 7/31/08 (1.17) $11.42 (6.21)%
Year ended 7/31/07 (0.60) $13.32 12.32%
Year ended 7/31/06 (0.54) $12.41 3.65%
Year ended 7/31/05 (0.26) $12.50 10.43%
Year ended 7/31/04 (0.30) $11.56 8.53%
- ---------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class B Shares
Year ended 7/31/08 (1.07) $11.37 (6.87)%
Year ended 7/31/07 (0.50) $13.25 11.47%
Year ended 7/31/06 (0.45) $12.35 2.82%
Year ended 7/31/05 (0.17) $12.45 9.58%
Year ended 7/31/04 (0.23) $11.51 7.80%
- ---------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class C Shares
Year ended 7/31/08 (1.07) $11.37 (6.95)%
Year ended 7/31/07 (0.50) $13.26 11.46%
Year ended 7/31/06 (0.44) $12.36 2.88%
Year ended 7/31/05 (0.17) $12.45 9.64%
Year ended 7/31/04 (0.24) $11.51 7.76%
- ---------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Institutional Shares
Year ended 7/31/08 (1.08) $10.34 (5.03)%
Year ended 7/31/07 (0.68) $11.95 11.24%
Year ended 7/31/06 (0.61) $11.36 3.39%
Year ended 7/31/05 (0.36) $11.59 9.24%
Year ended 7/31/04 (0.45) $10.95 7.39%
- ---------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class A Shares
Year ended 7/31/08 (1.05) $10.32 (5.30)%
Year ended 7/31/07 (0.65) $11.93 10.96%
Year ended 7/31/06 (0.58) $11.35 3.14%
Year ended 7/31/05 (0.33) $11.58 8.97%
Year ended 7/31/04 (0.42) $10.93 7.15%
- ---------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class B Shares
Year ended 7/31/08 (0.95) $10.29 (5.94)%
Year ended 7/31/07 (0.56) $11.88 10.17%
Year ended 7/31/06 (0.50) $11.30 2.28%
Year ended 7/31/05 (0.25) $11.54 8.10%
Year ended 7/31/04 (0.35) $10.90 6.35%
- ---------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class C Shares
Year ended 7/31/08 (0.95) $10.30 (5.93)%
Year ended 7/31/07 (0.56) $11.89 10.08%
Year ended 7/31/06 (0.49) $11.32 2.43%
Year ended 7/31/05 (0.25) $11.54 8.18%
Year ended 7/31/04 (0.35) $10.90 6.29%
- ---------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Institutional Shares
Year ended 7/31/08 $312,435 0.43% 0.08% 2.85% 23%
Year ended 7/31/07 $369,880 0.44% 0.08% 2.48% 18%
Year ended 7/31/06 $369,903 0.43% 0.08% 2.70% 30%
Year ended 7/31/05 $340,163 0.42% 0.08% 2.17% 41%
Year ended 7/31/04 $315,055 0.43% 0.08% 1.76% 14%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class A Shares
Year ended 7/31/08 $ 71,338 0.68% 0.33% 2.67% 23%
Year ended 7/31/07 $ 92,719 0.69% 0.33% 2.23% 18%
Year ended 7/31/06 $100,588 0.68% 0.33% 2.46% 30%
Year ended 7/31/05 $106,044 0.67% 0.33% 1.92% 41%
Year ended 7/31/04 $ 98,293 0.68% 0.33% 1.79% 14%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class B Shares
Year ended 7/31/08 $ 32,003 1.43% 1.08% 1.93% 23%
Year ended 7/31/07 $ 43,013 1.44% 1.08% 1.48% 18%
Year ended 7/31/06 $ 43,234 1.43% 1.08% 1.70% 30%
Year ended 7/31/05 $ 44,111 1.42% 1.08% 1.17% 41%
Year ended 7/31/04 $ 36,778 1.43% 1.08% 1.05% 14%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderate(SM) Class C Shares
Year ended 7/31/08 $ 4,333 1.43% 1.08% 1.92% 23%
Year ended 7/31/07 $ 6,158 1.44% 1.08% 1.48% 18%
Year ended 7/31/06 $ 6,495 1.43% 1.08% 1.70% 30%
Year ended 7/31/05 $ 7,912 1.42% 1.08% 1.16% 41%
Year ended 7/31/04 $ 7,442 1.43% 1.08% 1.04% 14%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Institutional Shares
Year ended 7/31/08 $ 43,093 0.53% 0.08% 3.28% 25%
Year ended 7/31/07 $ 41,336 0.54% 0.08% 2.89% 30%
Year ended 7/31/06 $ 42,683 0.50% 0.08% 3.05% 22%
Year ended 7/31/05 $ 38,606 0.47% 0.08% 2.44% 38%
Year ended 7/31/04 $ 38,097 0.49% 0.08% 2.33% 19%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class A Shares
Year ended 7/31/08 $ 25,200 0.79% 0.33% 2.92% 25%
Year ended 7/31/07 $ 35,676 0.79% 0.33% 2.63% 30%
Year ended 7/31/06 $ 37,479 0.75% 0.33% 2.80% 22%
Year ended 7/31/05 $ 41,446 0.72% 0.33% 2.18% 38%
Year ended 7/31/04 $ 40,851 0.74% 0.33% 2.09% 19%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class B Shares
Year ended 7/31/08 $ 13,891 1.54% 1.08% 2.25% 25%
Year ended 7/31/07 $ 18,839 1.54% 1.08% 1.89% 30%
Year ended 7/31/06 $ 20,488 1.50% 1.08% 2.05% 22%
Year ended 7/31/05 $ 22,752 1.47% 1.08% 1.44% 38%
Year ended 7/31/04 $ 21,122 1.49% 1.08% 1.31% 19%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Moderately Conservative(SM) Class C Shares
Year ended 7/31/08 $ 2,071 1.54% 1.08% 2.23% 25%
Year ended 7/31/07 $ 2,755 1.54% 1.08% 1.88% 30%
Year ended 7/31/06 $ 3,058 1.50% 1.08% 2.05% 22%
Year ended 7/31/05 $ 4,029 1.47% 1.08% 1.42% 38%
Year ended 7/31/04 $ 3,576 1.49% 1.08% 1.26% 19%
- -------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 192-193
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Institutional Shares
Year ended 7/31/08 $10.99 0.43### (0.80)# (0.37) (0.43) (0.30)
Year ended 7/31/07 $10.72 0.41### 0.49# 0.90 (0.41) (0.22)
Year ended 7/31/06 $10.92 0.40### (0.09)# 0.31 (0.40) (0.11)
Year ended 7/31/05 $10.66 0.31# 0.36# 0.67 (0.32) (0.09)
Year ended 7/31/04 $10.54 0.31# 0.26# 0.57 (0.29) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class A Shares
Year ended 7/31/08 $10.97 0.39### (0.79)# (0.40) (0.40) (0.30)
Year ended 7/31/07 $10.70 0.38### 0.49# 0.87 (0.38) (0.22)
Year ended 7/31/06 $10.90 0.37### (0.09)# 0.28 (0.37) (0.11)
Year ended 7/31/05 $10.64 0.30# 0.34# 0.64 (0.29) (0.09)
Year ended 7/31/04 $10.53 0.26# 0.28# 0.54 (0.27) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class B Shares
Year ended 7/31/08 $10.95 0.31### (0.80)# (0.49) (0.33) (0.30)
Year ended 7/31/07 $10.67 0.29### 0.50# 0.79 (0.30) (0.21)
Year ended 7/31/06 $10.87 0.29### (0.09)# 0.20 (0.29) (0.11)
Year ended 7/31/05 $10.61 0.22# 0.34# 0.56 (0.21) (0.09)
Year ended 7/31/04 $10.50 0.19# 0.27# 0.46 (0.19) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class C Shares
Year ended 7/31/08 $10.95 0.31### (0.79)# (0.48) (0.33) (0.30)
Year ended 7/31/07 $10.67 0.29### 0.51# 0.80 (0.30) (0.22)
Year ended 7/31/06 $10.88 0.29### (0.11)# 0.18 (0.28) (0.11)
Year ended 7/31/05 $10.61 0.23# 0.34# 0.57 (0.21) (0.09)
Year ended 7/31/04 $10.51 0.18# 0.28# 0.46 (0.20) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ---------------------------------------------------------------------------------------
LifeModel Conservative(SM) Institutional Shares
Year ended 7/31/08 (0.73) $ 9.89 (3.67)%
Year ended 7/31/07 (0.63) $10.99 8.58%
Year ended 7/31/06 (0.51) $10.72 2.88%
Year ended 7/31/05 (0.41) $10.92 6.38%
Year ended 7/31/04 (0.45) $10.66 5.44%
- ---------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class A Shares
Year ended 7/31/08 (0.70) $ 9.87 (3.93)%
Year ended 7/31/07 (0.60) $10.97 8.33%
Year ended 7/31/06 (0.48) $10.70 2.62%
Year ended 7/31/05 (0.38) $10.90 6.13%
Year ended 7/31/04 (0.43) $10.64 5.11%
- ---------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class B Shares
Year ended 7/31/08 (0.63) $ 9.83 (4.78)%
Year ended 7/31/07 (0.51) $10.95 7.53%
Year ended 7/31/06 (0.40) $10.67 1.83%
Year ended 7/31/05 (0.30) $10.87 5.34%
Year ended 7/31/04 (0.35) $10.61 4.37%
- ---------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class C Shares
Year ended 7/31/08 (0.63) $ 9.84 (4.70)%
Year ended 7/31/07 (0.52) $10.95 7.59%
Year ended 7/31/06 (0.39) $10.67 1.72%
Year ended 7/31/05 (0.30) $10.88 5.30%
Year ended 7/31/04 (0.36) $10.61 4.34%
- ---------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Institutional Shares
Year ended 7/31/08 $ 28,215 0.62% 0.08% 4.04% 23%
Year ended 7/31/07 $ 24,570 0.64% 0.08% 3.69% 24%
Year ended 7/31/06 $ 24,385 0.58% 0.08% 3.72% 15%
Year ended 7/31/05 $ 22,236 0.54% 0.08% 3.00% 46%
Year ended 7/31/04 $ 14,201 0.58% 0.08% 2.79% 27%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class A Shares
Year ended 7/31/08 $ 12,908 0.88% 0.33% 3.68% 23%
Year ended 7/31/07 $ 15,083 0.89% 0.33% 3.44% 24%
Year ended 7/31/06 $ 16,138 0.82% 0.33% 3.45% 15%
Year ended 7/31/05 $ 20,014 0.79% 0.33% 2.76% 46%
Year ended 7/31/04 $ 20,461 0.84% 0.33% 2.59% 27%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class B Shares
Year ended 7/31/08 $ 7,253 1.63% 1.08% 2.97% 23%
Year ended 7/31/07 $ 9,242 1.64% 1.07% 2.69% 24%
Year ended 7/31/06 $ 10,208 1.57% 1.08% 2.69% 15%
Year ended 7/31/05 $ 12,688 1.54% 1.08% 2.01% 46%
Year ended 7/31/04 $ 13,524 1.58% 1.08% 1.80% 27%
- -------------------------------------------------------------------------------------------------------------------
LifeModel Conservative(SM) Class C Shares
Year ended 7/31/08 $ 2,250 1.63% 1.08% 2.91% 23%
Year ended 7/31/07 $ 3,091 1.64% 1.07% 2.67% 24%
Year ended 7/31/06 $ 3,816 1.57% 1.08% 2.68% 15%
Year ended 7/31/05 $ 5,304 1.54% 1.08% 2.01% 46%
Year ended 7/31/04 $ 6,563 1.58% 1.08% 1.81% 27%
- -------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 194-195
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investments from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Institutional Shares
Year ended 7/31/08 $ 9.57 0.73## (0.44) 0.29 (0.72) --
Year ended 7/31/07 $ 9.74 0.71## (0.14) 0.57 (0.71) (0.03)
Year ended 7/31/06 $10.00 0.44 (0.28) 0.16 (0.42) --
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Class A Shares
Year ended 7/31/08 $ 9.57 0.69## (0.46) 0.23 (0.68) --
Year ended 7/31/07 $ 9.74 0.68## (0.13) 0.55 (0.69) (0.03)
Year ended 7/31/06 $10.00 0.41 (0.27) 0.14 (0.40) --
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Class B Shares
Year ended 7/31/08 $ 9.56 0.64## (0.45) 0.19 (0.62) --
Year ended 7/31/07 $ 9.73 0.61## (0.13) 0.48 (0.62) (0.03)
Year ended 7/31/06 $10.00 0.33 (0.24) 0.09 (0.36) --
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Class C Shares
Year ended 7/31/08 $ 9.57 0.64## (0.45) 0.19 (0.63) --
Year ended 7/31/07 $ 9.74 0.60## (0.12) 0.48 (0.62) (0.03)
Year ended 7/31/06 $10.00 0.35 (0.25) 0.10 (0.36) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Bond Institutional Shares
Year ended 7/31/08 $ 9.68 0.48## (0.64) (0.16) (0.49) --
Year ended 7/31/07 $ 9.68 0.45##@ 0.01 0.46 (0.46) --
Year ended 7/31/06 $10.07 0.42 (0.30) 0.12 (0.45) (0.06)
Year ended 7/31/05 $10.02 0.34 0.10 0.44 (0.38) (0.01)
Year ended 7/31/04 $ 9.96 0.28 0.14 0.42 (0.36) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Bond Class A Shares
Year ended 7/31/08 $ 9.67 0.46## (0.64) (0.18) (0.46) --
Year ended 7/31/07 $ 9.68 0.43##@ -- 0.43 (0.44) --
Year ended 7/31/06 $10.07 0.39 (0.30) 0.09 (0.42) (0.06)
Year ended 7/31/05 $10.02 0.30 0.11 0.41 (0.35) (0.01)
Year ended 7/31/04 $ 9.95 0.25 0.16 0.41 (0.34) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Bond Class B Shares
Year ended 7/31/08 $ 9.68 0.39## (0.65) (0.26) (0.39) --
Year ended 7/31/07 $ 9.68 0.35##@ 0.01 0.36 (0.36) --
Year ended 7/31/06 $10.07 0.32 (0.30) 0.02 (0.35) (0.06)
Year ended 7/31/05 $10.02 0.23 0.10 0.33 (0.27) (0.01)
Year ended 7/31/04 $ 9.95 0.15 0.18 0.33 (0.26) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Bond Class C Shares
Year ended 7/31/08 $ 9.68 0.39## (0.64) (0.25) (0.39) --
Year ended 7/31/07 $ 9.69 0.35##@ -- 0.35 (0.36) --
Year ended 7/31/06 $10.07 0.31 (0.28) 0.03 (0.35) (0.06)
Year ended 7/31/05 $10.02 0.23 0.10 0.33 (0.27) (0.01)
Year ended 7/31/04 $ 9.96 0.17 0.15 0.32 (0.26) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ---------------------------------------------------------------------------------------
High Yield Bond Institutional Shares
Year ended 7/31/08 (0.72) $ 9.14 2.98%
Year ended 7/31/07 (0.74) $ 9.57 5.85%
Year ended 7/31/06 (0.42) $ 9.74 1.59%*
- ---------------------------------------------------------------------------------------
High Yield Bond Class A Shares
Year ended 7/31/08 (0.68) $ 9.12 2.38%
Year ended 7/31/07 (0.72) $ 9.57 5.47%
Year ended 7/31/06 (0.40) $ 9.74 1.44%*
- ---------------------------------------------------------------------------------------
High Yield Bond Class B Shares
Year ended 7/31/08 (0.62) $ 9.13 1.94%
Year ended 7/31/07 (0.65) $ 9.56 4.83%
Year ended 7/31/06 (0.36) $ 9.73 0.91%*
- ---------------------------------------------------------------------------------------
High Yield Bond Class C Shares
Year ended 7/31/08 (0.63) $ 9.13 2.00%
Year ended 7/31/07 (0.65) $ 9.57 4.72%
Year ended 7/31/06 (0.36) $ 9.74 0.94%*
- ---------------------------------------------------------------------------------------
Total Return Bond Institutional Shares
Year ended 7/31/08 (0.49) $ 9.03 (1.86)%
Year ended 7/31/07 (0.46) $ 9.68 4.83%@
Year ended 7/31/06 (0.51) $ 9.68 1.21%
Year ended 7/31/05 (0.39) $10.07 4.43%
Year ended 7/31/04 (0.36) $10.02 4.26%
- ---------------------------------------------------------------------------------------
Total Return Bond Class A Shares
Year ended 7/31/08 (0.46) $ 9.03 (1.99)%
Year ended 7/31/07 (0.44) $ 9.67 4.45%@
Year ended 7/31/06 (0.48) $ 9.68 0.97%
Year ended 7/31/05 (0.36) $10.07 4.17%
Year ended 7/31/04 (0.34) $10.02 4.00%
- ---------------------------------------------------------------------------------------
Total Return Bond Class B Shares
Year ended 7/31/08 (0.39) $ 9.03 (2.80)%
Year ended 7/31/07 (0.36) $ 9.68 3.75%@
Year ended 7/31/06 (0.41) $ 9.68 0.20%
Year ended 7/31/05 (0.28) $10.07 3.38%
Year ended 7/31/04 (0.26) $10.02 3.19%
- ---------------------------------------------------------------------------------------
Total Return Bond Class C Shares
Year ended 7/31/08 (0.39) $ 9.04 (2.72)%
Year ended 7/31/07 (0.36) $ 9.68 3.65%@
Year ended 7/31/06 (0.41) $ 9.69 0.30%
Year ended 7/31/05 (0.28) $10.07 3.37%
Year ended 7/31/04 (0.26) $10.02 3.20%
- ---------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------------------
High Yield Bond Institutional Shares
Year ended 7/31/08 $ 50,153 1.15% 0.74% 7.65% 36%
Year ended 7/31/07 $ 68,193 1.14% 0.74% 7.12% 42%
Year ended 7/31/06 $ 66,033 1.15%** 0.74%** 6.77%** 41%
- -------------------------------------------------------------------------------------------------------------------
High Yield Bond Class A Shares
Year ended 7/31/08 $ 206 1.40% 0.99% 7.17% 36%
Year ended 7/31/07 $ 175 1.39% 0.99% 6.83% 42%
Year ended 7/31/06 $ 227 2.98%** 0.99%** 6.74%** 41%
- -------------------------------------------------------------------------------------------------------------------
High Yield Bond Class B Shares
Year ended 7/31/08 $ 155 2.15% 1.74% 6.67% 36%
Year ended 7/31/07 $ 156 2.15% 1.74% 6.12% 42%
Year ended 7/31/06 $ 96 7.16%** 1.74%** 5.98%** 41%
- -------------------------------------------------------------------------------------------------------------------
High Yield Bond Class C Shares
Year ended 7/31/08 $ 114 2.15% 1.74% 6.67% 36%
Year ended 7/31/07 $ 127 2.15% 1.74% 6.04% 42%
Year ended 7/31/06 $ 55 8.04%** 1.74%** 5.93%** 41%
- -------------------------------------------------------------------------------------------------------------------
Total Return Bond Institutional Shares
Year ended 7/31/08 $559,548 0.88% 0.69% 5.03% 36%
Year ended 7/31/07 $230,154 0.91% 0.72% 4.57% 65%
Year ended 7/31/06 $252,145 0.90% 0.74% 4.23% 352%
Year ended 7/31/05 $292,043 0.91% 0.78% 3.28% 385%
Year ended 7/31/04 $277,706 0.90% 0.79% 2.75% 389%
- -------------------------------------------------------------------------------------------------------------------
Total Return Bond Class A Shares
Year ended 7/31/08 $ 20,497 1.13% 0.94% 4.78% 36%
Year ended 7/31/07 $ 8,223 1.16% 0.97% 4.32% 65%
Year ended 7/31/06 $ 11,657 1.15% 0.99% 3.97% 352%
Year ended 7/31/05 $ 15,876 1.16% 1.03% 3.01% 385%
Year ended 7/31/04 $ 22,559 1.15% 1.04% 2.51% 389%
- -------------------------------------------------------------------------------------------------------------------
Total Return Bond Class B Shares
Year ended 7/31/08 $ 3,490 1.88% 1.69% 4.02% 36%
Year ended 7/31/07 $ 2,151 1.91% 1.72% 3.57% 65%
Year ended 7/31/06 $ 2,655 1.91% 1.74% 3.20% 352%
Year ended 7/31/05 $ 3,907 1.91% 1.78% 2.27% 385%
Year ended 7/31/04 $ 4,512 1.90% 1.79% 1.76% 389%
- -------------------------------------------------------------------------------------------------------------------
Total Return Bond Class C Shares
Year ended 7/31/08 $ 1,528 1.88% 1.69% 4.07% 36%
Year ended 7/31/07 $ 225 1.90% 1.72% 3.57% 65%
Year ended 7/31/06 $ 315 1.91% 1.74% 3.16% 352%
Year ended 7/31/05 $ 649 1.91% 1.78% 2.26% 385%
Year ended 7/31/04 $ 768 1.90% 1.79% 1.76% 389%
- -------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 196-197
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ --------------------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investment from Investment Paid-in Realized
of Period Income/(Loss) Transactions Operations Income Capital Gains
- -----------------------------------------------------------------------------------------------------------------------------------
Short Term Bond Institutional Shares
Year ended 7/31/08 $9.32 0.38## (0.03) 0.35 (0.38) -- --
Year ended 7/31/07 $9.25 0.37## 0.09 0.46 (0.38) (0.01) --
Year ended 7/31/06 $9.37 0.31 (0.06) 0.25 (0.37) -- --
Year ended 7/31/05 $9.57 0.20 (0.08) 0.12 (0.32) -- --
Year ended 7/31/04 $9.75 0.19## (0.06) 0.13 (0.31) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Short Term Bond Class A Shares
Year ended 7/31/08 $9.31 0.35## (0.01) 0.34 (0.36) -- --
Year ended 7/31/07 $9.25 0.35## 0.08 0.43 (0.36) (0.01) --
Year ended 7/31/06 $9.36 0.28 (0.04) 0.24 (0.35) -- --
Year ended 7/31/05 $9.56 0.19 (0.09) 0.10 (0.30) -- --
Year ended 7/31/04 $9.74 0.18## (0.07) 0.11 (0.29) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Short Term Bond Class C Shares
Year ended 7/31/08 $9.32 0.28## (0.02) 0.26 (0.30) -- --
Year ended 7/31/07 $9.25 0.28## 0.09 0.37 (0.29) (0.01) --
Year ended 7/31/06 $9.36 0.21 (0.04) 0.17 (0.28) -- --
Year ended 7/31/05 $9.56 0.10 (0.08) 0.02 (0.22) -- --
Year ended 7/31/04 $9.75 0.09## (0.06) 0.03 (0.22) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ------------------------------------------------------------------------------------
Short Term Bond Institutional Shares
Year ended 7/31/08 (0.38) $9.29 3.80%
Year ended 7/31/07 (0.39) $9.32 5.08%
Year ended 7/31/06 (0.37) $9.25 2.75%
Year ended 7/31/05 (0.32) $9.37 1.16%
Year ended 7/31/04 (0.31) $9.57 1.31%
- ------------------------------------------------------------------------------------
Short Term Bond Class A Shares
Year ended 7/31/08 (0.36) $9.29 3.67%
Year ended 7/31/07 (0.37) $9.31 4.70%
Year ended 7/31/06 (0.35) $9.25 2.60%
Year ended 7/31/05 (0.30) $9.36 1.00%
Year ended 7/31/04 (0.29) $9.56 1.12%
- ------------------------------------------------------------------------------------
Short Term Bond Class C Shares
Year ended 7/31/08 (0.30) $9.28 2.76%
Year ended 7/31/07 (0.30) $9.32 3.93%
Year ended 7/31/06 (0.28) $9.25 1.81%
Year ended 7/31/05 (0.22) $9.36 0.23%
Year ended 7/31/04 (0.22) $9.56 0.39%
- ------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------
Short Term Bond Institutional Shares
Year ended 7/31/08 $241,776 0.79% 0.64% 4.01% 33%
Year ended 7/31/07 $267,348 0.80% 0.64% 3.99% 75%
Year ended 7/31/06 $258,423 0.78% 0.67% 3.33% 53%
Year ended 7/31/05 $333,909 0.77% 0.73% 2.35% 68%
Year ended 7/31/04 $495,271 0.77% 0.74% 1.96% 90%
- -------------------------------------------------------------------------------------------------------
Short Term Bond Class A Shares
Year ended 7/31/08 $ 7,127 1.04% 0.89% 3.73% 33%
Year ended 7/31/07 $ 9,704 1.05% 0.89% 3.72% 75%
Year ended 7/31/06 $ 12,362 1.03% 0.92% 3.07% 53%
Year ended 7/31/05 $ 17,117 1.02% 0.98% 2.10% 68%
Year ended 7/31/04 $ 28,262 1.02% 0.89% 1.81% 90%
- -------------------------------------------------------------------------------------------------------
Short Term Bond Class C Shares
Year ended 7/31/08 $ 171 1.79% 1.64% 2.98% 33%
Year ended 7/31/07 $ 160 1.81% 1.64% 2.97% 75%
Year ended 7/31/06 $ 205 1.79% 1.67% 2.31% 53%
Year ended 7/31/05 $ 362 1.77% 1.73% 1.34% 68%
Year ended 7/31/04 $ 526 1.77% 1.74% 0.97% 90%
- -------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 198-199
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
--------------------------- ---------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investment from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -----------------------------------------------------------------------------------------------------------------------------------
Municipal Bond Institutional Shares
Year ended 7/31/08 $ 9.32 0.36## (0.11) 0.25 (0.35) (0.03)
Year ended 7/31/07 $ 9.40 0.39##@ -- 0.39 (0.37) (0.10)
Year ended 7/31/06 $10.07 0.37 (0.23) 0.14 (0.37) (0.44)
Year ended 7/31/05 $10.40 0.40 0.06 0.46 (0.40) (0.39)
Year ended 7/31/04 $10.49 0.43## 0.08 0.51 (0.43) (0.17)
- -----------------------------------------------------------------------------------------------------------------------------------
Municipal Bond Class A Shares
Year ended 7/31/08 $ 9.36 0.33## (0.09) 0.24 (0.33) (0.03)
Year ended 7/31/07 $ 9.45 0.36##@ (0.01) 0.35 (0.34) (0.10)
Year ended 7/31/06 $10.11 0.36 (0.23) 0.13 (0.35) (0.44)
Year ended 7/31/05 $10.43 0.38 0.06 0.44 (0.37) (0.39)
Year ended 7/31/04 $10.54 0.40## 0.06 0.46 (0.40) (0.17)
- -----------------------------------------------------------------------------------------------------------------------------------
Municipal Bond Class B Shares
Year ended 7/31/08 $ 9.29 0.26## (0.10) 0.16 (0.26) (0.03)
Year ended 7/31/07 $ 9.37 0.29##@ -- 0.29 (0.27) (0.10)
Year ended 7/31/06 $10.04 0.28 (0.24) 0.04 (0.27) (0.44)
Year ended 7/31/05 $10.37 0.29 0.06 0.35 (0.29) (0.39)
Year ended 7/31/04 $10.47 0.32## 0.07 0.39 (0.32) (0.17)
- -----------------------------------------------------------------------------------------------------------------------------------
Municipal Bond Class C Shares
Year ended 7/31/08 $ 9.32 0.26## (0.10) 0.16 (0.27) (0.03)
Year ended 7/31/07 $ 9.39 0.29##@ -- 0.29 (0.26) (0.10)
Year ended 7/31/06 $10.05 0.28 (0.23) 0.05 (0.27) (0.44)
Year ended 7/31/05 $10.38 0.31 0.04 0.35 (0.29) (0.39)
Year ended 7/31/04 $10.48 0.32## 0.07 0.39 (0.32) (0.17)
- -----------------------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Institutional Shares
Year ended 7/31/08 $ 9.95 0.36## 0.02 0.38 (0.36) (0.03)
Year ended 7/31/07 $ 9.99 0.36## (0.01) 0.35 (0.36) (0.03)
Year ended 7/31/06 $10.33 0.36## (0.21) 0.15 (0.36) (0.13)
Year ended 7/31/05 $10.53 0.37 (0.07) 0.30 (0.42) (0.08)
Year ended 7/31/04 $10.64 0.37 (0.03) 0.34 (0.36) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class A Shares
Year ended 7/31/08 $ 9.95 0.34## 0.03 0.37 (0.34) (0.03)
Year ended 7/31/07 $10.00 0.34## (0.02) 0.32 (0.34) (0.03)
Year ended 7/31/06 $10.33 0.33## (0.20) 0.13 (0.33) (0.13)
Year ended 7/31/05 $10.54 0.33 (0.07) 0.26 (0.39) (0.08)
Year ended 7/31/04 $10.65 0.34 (0.02) 0.32 (0.34) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class B Shares
Year ended 7/31/08 $ 9.94 0.34## 0.02 0.36 (0.33) (0.03)
Year ended 7/31/07 $ 9.98 0.34## (0.01) 0.33 (0.34) (0.03)
Year ended 7/31/06 $10.31 0.33## (0.20) 0.13 (0.33) (0.13)
Year ended 7/31/05 $10.51 0.34 (0.07) 0.27 (0.39) (0.08)
Year ended 7/31/04 $10.63 0.30 (0.03) 0.27 (0.30) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class C Shares
Year ended 7/31/08 $ 9.95 0.26## 0.02 0.28 (0.27) (0.03)
Year ended 7/31/07 $ 9.99 0.27## (0.02) 0.25 (0.26) (0.03)
Year ended 7/31/06 $10.33 0.26## (0.21) 0.05 (0.26) (0.13)
Year ended 7/31/05 $10.53 0.24 (0.05) 0.19 (0.31) (0.08)
Year ended 7/31/04 $10.63 0.28 (0.04) 0.24 (0.25) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ---------------------------------------------------------------------------------------
Municipal Bond Institutional Shares
Year ended 7/31/08 (0.38) $ 9.19 2.75%
Year ended 7/31/07 (0.47) $ 9.32 4.04%@
Year ended 7/31/06 (0.81) $ 9.40 1.49%
Year ended 7/31/05 (0.79) $10.07 4.53%
Year ended 7/31/04 (0.60) $10.40 4.84%
- ---------------------------------------------------------------------------------------
Municipal Bond Class A Shares
Year ended 7/31/08 (0.36) $ 9.24 2.61%
Year ended 7/31/07 (0.44) $ 9.36 3.76%@
Year ended 7/31/06 (0.79) $ 9.45 1.32%
Year ended 7/31/05 (0.76) $10.11 4.35%
Year ended 7/31/04 (0.57) $10.43 4.35%
- ---------------------------------------------------------------------------------------
Municipal Bond Class B Shares
Year ended 7/31/08 (0.29) $ 9.16 1.78%
Year ended 7/31/07 (0.37) $ 9.29 2.98%@
Year ended 7/31/06 (0.71) $ 9.37 0.47%
Year ended 7/31/05 (0.68) $10.04 3.50%
Year ended 7/31/04 (0.49) $10.37 3.71%
- ---------------------------------------------------------------------------------------
Municipal Bond Class C Shares
Year ended 7/31/08 (0.30) $ 9.18 1.69%
Year ended 7/31/07 (0.36) $ 9.32 3.04%@
Year ended 7/31/06 (0.71) $ 9.39 0.56%
Year ended 7/31/05 (0.68) $10.05 3.45%
Year ended 7/31/04 (0.49) $10.38 3.71%
- ---------------------------------------------------------------------------------------
Intermediate Municipal Bond Institutional Shares
Year ended 7/31/08 (0.39) $ 9.94 3.83%
Year ended 7/31/07 (0.39) $ 9.95 3.59%
Year ended 7/31/06 (0.49) $ 9.99 1.43%
Year ended 7/31/05 (0.50) $10.33 2.83%
Year ended 7/31/04 (0.45) $10.53 3.27%
- ---------------------------------------------------------------------------------------
Intermediate Municipal Bond Class A Shares
Year ended 7/31/08 (0.37) $ 9.95 3.69%
Year ended 7/31/07 (0.37) $ 9.95 3.23%
Year ended 7/31/06 (0.46) $10.00 1.27%
Year ended 7/31/05 (0.47) $10.33 2.44%
Year ended 7/31/04 (0.43) $10.54 3.03%
- ---------------------------------------------------------------------------------------
Intermediate Municipal Bond Class B Shares
Year ended 7/31/08 (0.36) $ 9.94 3.60%
Year ended 7/31/07 (0.37) $ 9.94 3.34%
Year ended 7/31/06 (0.46) $ 9.98 1.28%
Year ended 7/31/05 (0.47) $10.31 2.54%
Year ended 7/31/04 (0.39) $10.51 2.54%
- ---------------------------------------------------------------------------------------
Intermediate Municipal Bond Class C Shares
Year ended 7/31/08 (0.30) $ 9.93 2.77%
Year ended 7/31/07 (0.29) $ 9.95 2.55%
Year ended 7/31/06 (0.39) $ 9.99 0.41%
Year ended 7/31/05 (0.39) $10.33 1.76%
Year ended 7/31/04 (0.34) $10.53 2.29%
- ---------------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- -------------------------------------------------------------------------------------------------------------------
Municipal Bond Institutional Shares
Year ended 7/31/08 $ 41,946 1.07% 0.61% 3.82% 58%
Year ended 7/31/07 $ 44,234 1.13% 0.61% 3.87% 27%
Year ended 7/31/06 $ 39,514 1.06% 0.65% 3.87% 87%
Year ended 7/31/05 $ 49,802 1.04% 0.78% 3.86% 83%
Year ended 7/31/04 $ 57,638 0.98% 0.79% 4.05% 35%
- -------------------------------------------------------------------------------------------------------------------
Municipal Bond Class A Shares
Year ended 7/31/08 $ 1,132 1.32% 0.86% 3.57% 58%
Year ended 7/31/07 $ 1,231 1.38% 0.86% 3.63% 27%
Year ended 7/31/06 $ 1,378 1.31% 0.90% 3.62% 87%
Year ended 7/31/05 $ 1,637 1.29% 1.03% 3.63% 83%
Year ended 7/31/04 $ 2,462 1.24% 1.04% 3.81% 35%
- -------------------------------------------------------------------------------------------------------------------
Municipal Bond Class B Shares
Year ended 7/31/08 $ 621 2.08% 1.61% 2.82% 58%
Year ended 7/31/07 $ 864 2.13% 1.61% 2.88% 27%
Year ended 7/31/06 $ 1,016 2.06% 1.66% 2.86% 87%
Year ended 7/31/05 $ 1,479 2.04% 1.78% 2.85% 83%
Year ended 7/31/04 $ 1,528 1.99% 1.79% 3.06% 35%
- -------------------------------------------------------------------------------------------------------------------
Municipal Bond Class C Shares
Year ended 7/31/08 $ 29 2.08% 1.61% 2.81% 58%
Year ended 7/31/07 $ 43 2.12% 1.61% 2.89% 27%
Year ended 7/31/06 $ 87 2.06% 1.66% 2.86% 87%
Year ended 7/31/05 $ 179 2.03% 1.78% 2.91% 83%
Year ended 7/31/04 $ 363 1.98% 1.79% 3.05% 35%
- -------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Institutional Shares
Year ended 7/31/08 $128,343 0.85% 0.65% 3.60% 49%
Year ended 7/31/07 $149,016 0.89% 0.68% 3.63% 37%
Year ended 7/31/06 $164,537 0.87% 0.71% 3.53% 60%
Year ended 7/31/05 $205,078 0.86% 0.70% 3.45% 60%
Year ended 7/31/04 $255,026 0.84% 0.73% 3.42% 84%
- -------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class A Shares
Year ended 7/31/08 $ 1,732 1.10% 0.90% 3.35% 49%
Year ended 7/31/07 $ 2,038 1.15% 0.94% 3.37% 37%
Year ended 7/31/06 $ 2,559 1.12% 0.96% 3.28% 60%
Year ended 7/31/05 $ 3,064 1.10% 0.95% 3.20% 60%
Year ended 7/31/04 $ 4,479 1.09% 0.98% 3.17% 84%
- -------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class B Shares
Year ended 7/31/08 $ 357 1.85% 0.90% 3.35% 49%
Year ended 7/31/07 $ 358 1.90% 0.94% 3.37% 37%
Year ended 7/31/06 $ 446 1.87% 0.96% 3.27% 60%
Year ended 7/31/05 $ 987 1.86% 0.95% 3.20% 60%
Year ended 7/31/04 $ 1,269 1.84% 1.44% 2.71% 84%
- -------------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond Class C Shares
Year ended 7/31/08 $ 124 1.85% 1.65% 2.60% 49%
Year ended 7/31/07 $ 101 1.89% 1.67% 2.64% 37%
Year ended 7/31/06 $ 89 1.87% 1.71% 2.52% 60%
Year ended 7/31/05 $ 157 1.85% 1.69% 2.45% 60%
Year ended 7/31/04 $ 366 1.83% 1.73% 2.42% 84%
- -------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 200-201
Fifth Third Funds
Financial Highlights
(For a share of beneficial interest outstanding throughout each period)
Change in Net Assets Less Dividends and
Resulting from Operations Distributions from
------------------------------ ----------------------
Net Realized
and
Unrealized Change in
Net Asset Gains/(Losses) Net Assets
Value, Net from Resulting Net Net
Beginning Investment Investment from Investment Realized
of Period Income/(Loss) Transactions Operations Income Gains
- -------------------------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Institutional Shares
Year ended 7/31/08 $ 9.97 0.34## 0.05 0.39 (0.34) (0.04)
Year ended 7/31/07 $10.00 0.37##@ (0.04) 0.33 (0.35) (0.01)
Year ended 7/31/06 $10.24 0.36## (0.21) 0.15 (0.36) (0.03)
Year ended 7/31/05 $10.39 0.36 (0.09) 0.27 (0.35) (0.07)
Year ended 7/31/04 $10.39 0.36 0.02 0.38 (0.35) (0.03)
- -------------------------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class A Shares
Year ended 7/31/08 $ 9.98 0.32## 0.03 0.35 (0.31) (0.04)
Year ended 7/31/07 $10.01 0.34##@ (0.04) 0.30 (0.32) (0.01)
Year ended 7/31/06 $10.25 0.33## (0.21) 0.12 (0.33) (0.03)
Year ended 7/31/05 $10.39 0.33 (0.08) 0.25 (0.32) (0.07)
Year ended 7/31/04 $10.39 0.33 0.03 0.36 (0.33) (0.03)
- -------------------------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class B Shares
Year ended 7/31/08 $ 9.75 0.24## 0.03 0.27 (0.24) (0.04)
Year ended 7/31/07 $ 9.78 0.26##@ (0.03) 0.23 (0.25) (0.01)
Year ended 7/31/06 $10.03 0.25## (0.21) 0.04 (0.26) (0.03)
Year ended 7/31/05 $10.18 0.25 (0.08) 0.17 (0.25) (0.07)
Year ended 7/31/04 $10.19 0.24 0.03 0.27 (0.25) (0.03)
- -------------------------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class C Shares
Year ended 7/31/08 $ 9.94 0.24## 0.04 0.28 (0.24) (0.04)
Year ended 7/31/07 $ 9.97 0.26##@ (0.03) 0.23 (0.25) (0.01)
Year ended 7/31/06 $10.20 0.25## (0.20) 0.05 (0.25) (0.03)
Year ended 7/31/05 $10.35 0.25 (0.09) 0.16 (0.24) (0.07)
Year ended 7/31/04 $10.35 0.26 0.02 0.28 (0.25) (0.03)
- -------------------------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Institutional Shares
Year ended 7/31/08 $ 9.90 0.29## 0.13 0.42 (0.29) --
Year ended 7/31/07 $ 9.88 0.30## 0.02 0.32 (0.30) --
Year ended 7/31/06 $10.03 0.28 (0.15) 0.13 (0.28) --
Year ended 7/31/05 $10.17 0.28 (0.13) 0.15 (0.28) (0.01)
Year ended 7/31/04 $10.31 0.28 (0.13) 0.15 (0.28) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class A Shares
Year ended 7/31/08 $ 9.88 0.28## 0.14 0.42 (0.28) --
Year ended 7/31/07 $ 9.87 0.28## 0.02 0.30 (0.29) --
Year ended 7/31/06 $10.02 0.27 (0.15) 0.12 (0.27) --
Year ended 7/31/05 $10.16 0.26 (0.13) 0.13 (0.26) (0.01)
Year ended 7/31/04 $10.30 0.27 (0.13) 0.14 (0.27) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class B Shares
Year ended 7/31/08 $ 9.88 0.19## 0.14 0.33 (0.20) --
Year ended 7/31/07 $ 9.88 0.20## -- 0.20 (0.20) --
Year ended 7/31/06 $10.02 0.19 (0.15) 0.04 (0.18) --
Year ended 7/31/05 $10.16 0.17 (0.13) 0.04 (0.17) (0.01)
Year ended 7/31/04 $10.30 0.18 (0.13) 0.05 (0.18) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class C Shares
Year ended 7/31/08 $ 9.89 0.19## 0.14 0.33 (0.20) --
Year ended 7/31/07 $ 9.88 0.20## 0.01 0.21 (0.20) --
Year ended 7/31/06 $10.02 0.19 (0.15) 0.04 (0.18) --
Year ended 7/31/05 $10.16 0.18 (0.14) 0.04 (0.17) (0.01)
Year ended 7/31/04 $10.29 0.19 (0.13) 0.06 (0.18) (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
Net Total
Total Asset Return
Dividends Value, (excludes
and End of sales
Distributions Period charge)
- ----------------------------------------------------------------------------------
Ohio Municipal Bond Institutional Shares
Year ended 7/31/08 (0.38) $ 9.98 3.95%
Year ended 7/31/07 (0.36) $ 9.97 3.32%@
Year ended 7/31/06 (0.39) $10.00 1.46%
Year ended 7/31/05 (0.42) $10.24 2.61%
Year ended 7/31/04 (0.38) $10.39 3.66%
- ----------------------------------------------------------------------------------
Ohio Municipal Bond Class A Shares
Year ended 7/31/08 (0.35) $ 9.98 3.58%
Year ended 7/31/07 (0.33) $ 9.98 3.06%@
Year ended 7/31/06 (0.36) $10.01 1.19%
Year ended 7/31/05 (0.39) $10.25 2.36%
Year ended 7/31/04 (0.36) $10.39 3.40%
- ----------------------------------------------------------------------------------
Ohio Municipal Bond Class B Shares
Year ended 7/31/08 (0.28) $ 9.74 2.84%
Year ended 7/31/07 (0.26) $ 9.75 2.26%@
Year ended 7/31/06 (0.29) $ 9.78 0.37%
Year ended 7/31/05 (0.32) $10.03 1.66%
Year ended 7/31/04 (0.28) $10.18 2.62%
- ----------------------------------------------------------------------------------
Ohio Municipal Bond Class C Shares
Year ended 7/31/08 (0.28) $ 9.94 2.86%
Year ended 7/31/07 (0.26) $ 9.94 2.19%@
Year ended 7/31/06 (0.28) $ 9.97 0.44%
Year ended 7/31/05 (0.31) $10.20 1.60%
Year ended 7/31/04 (0.28) $10.35 2.65%
- ----------------------------------------------------------------------------------
Michigan Municipal Bond Institutional Shares
Year ended 7/31/08 (0.29) $10.03 4.32%
Year ended 7/31/07 (0.30) $ 9.90 3.17%
Year ended 7/31/06 (0.28) $ 9.88 1.35%
Year ended 7/31/05 (0.29) $10.03 1.49%
Year ended 7/31/04 (0.29) $10.17 1.43%
- ----------------------------------------------------------------------------------
Michigan Municipal Bond Class A Shares
Year ended 7/31/08 (0.28) $10.02 4.27%
Year ended 7/31/07 (0.29) $ 9.88 3.05%
Year ended 7/31/06 (0.27) $ 9.87 1.20%
Year ended 7/31/05 (0.27) $10.02 1.33%
Year ended 7/31/04 (0.28) $10.16 1.37%
- ----------------------------------------------------------------------------------
Michigan Municipal Bond Class B Shares
Year ended 7/31/08 (0.20) $10.01 3.36%
Year ended 7/31/07 (0.20) $ 9.88 2.06%
Year ended 7/31/06 (0.18) $ 9.88 0.42%
Year ended 7/31/05 (0.18) $10.02 0.46%
Year ended 7/31/04 (0.19) $10.16 0.43%
- ----------------------------------------------------------------------------------
Michigan Municipal Bond Class C Shares
Year ended 7/31/08 (0.20) $10.02 3.33%
Year ended 7/31/07 (0.20) $ 9.89 2.16%
Year ended 7/31/06 (0.18) $ 9.88 0.43%
Year ended 7/31/05 (0.18) $10.02 0.43%
Year ended 7/31/04 (0.19) $10.16 0.48%
- ----------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios of Ratios of
Net Expenses Expenses Ratios of Net
Assets, to to Investment
End of Average Average Income Portfolio
Period Net Net to Average Turnover
(000's) Assets (a) Assets (b) Net Assets Rate (d)
- --------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Institutional Shares
Year ended 7/31/08 $ 77,338 0.89% 0.79% 3.39% 42%
Year ended 7/31/07 $ 81,780 0.93% 0.79% 3.50% 12%
Year ended 7/31/06 $ 85,716 0.90% 0.80% 3.54% 25%
Year ended 7/31/05 $104,554 0.87% 0.79% 3.37% 19%
Year ended 7/31/04 $126,343 0.86% 0.78% 3.39% 15%
- --------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class A Shares
Year ended 7/31/08 $ 13,084 1.14% 1.04% 3.15% 42%
Year ended 7/31/07 $ 15,451 1.18% 1.04% 3.25% 12%
Year ended 7/31/06 $ 23,032 1.15% 1.05% 3.29% 25%
Year ended 7/31/05 $ 27,870 1.12% 1.04% 3.13% 19%
Year ended 7/31/04 $ 26,962 1.11% 1.03% 3.14% 15%
- --------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class B Shares
Year ended 7/31/08 $ 2,013 1.89% 1.79% 2.40% 42%
Year ended 7/31/07 $ 2,682 1.93% 1.79% 2.50% 12%
Year ended 7/31/06 $ 3,426 1.90% 1.80% 2.54% 25%
Year ended 7/31/05 $ 4,279 1.87% 1.79% 2.37% 19%
Year ended 7/31/04 $ 4,714 1.86% 1.78% 2.39% 15%
- --------------------------------------------------------------------------------------------------------------
Ohio Municipal Bond Class C Shares
Year ended 7/31/08 $ 557 1.89% 1.79% 2.40% 42%
Year ended 7/31/07 $ 734 1.93% 1.79% 2.50% 12%
Year ended 7/31/06 $ 1,217 1.90% 1.80% 2.50% 25%
Year ended 7/31/05 $ 3,820 1.87% 1.79% 2.37% 19%
Year ended 7/31/04 $ 4,328 1.86% 1.78% 2.39% 15%
- --------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Institutional Shares
Year ended 7/31/08 $ 38,692 0.92% 0.68% 2.92% 25%
Year ended 7/31/07 $ 43,905 0.98% 0.68% 3.00% 28%
Year ended 7/31/06 $ 50,670 0.88% 0.68% 2.84% 12%
Year ended 7/31/05 $ 74,099 0.80% 0.68% 2.70% 11%
Year ended 7/31/04 $105,361 0.78% 0.69% 2.75% 21%
- --------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class A Shares
Year ended 7/31/08 $ 2,621 1.18% 0.83% 2.77% 25%
Year ended 7/31/07 $ 4,511 1.22% 0.83% 2.85% 28%
Year ended 7/31/06 $ 4,728 1.13% 0.83% 2.70% 12%
Year ended 7/31/05 $ 4,713 1.05% 0.83% 2.55% 11%
Year ended 7/31/04 $ 7,294 1.03% 0.84% 2.60% 21%
- --------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class B Shares
Year ended 7/31/08 $ 553 1.92% 1.68% 1.92% 25%
Year ended 7/31/07 $ 568 1.98% 1.68% 2.00% 28%
Year ended 7/31/06 $ 607 1.88% 1.68% 1.83% 12%
Year ended 7/31/05 $ 1,175 1.80% 1.68% 1.71% 11%
Year ended 7/31/04 $ 1,574 1.78% 1.69% 1.76% 21%
- --------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond Class C Shares
Year ended 7/31/08 $ 76 1.92% 1.68% 1.92% 25%
Year ended 7/31/07 $ 145 1.98% 1.68% 2.00% 28%
Year ended 7/31/06 $ 196 1.88% 1.68% 1.83% 12%
Year ended 7/31/05 $ 449 1.80% 1.68% 1.69% 11%
Year ended 7/31/04 $ 1,794 1.78% 1.69% 1.76% 21%
- --------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
Spread 202-203
Fifth Third Funds
Notes to Financial Highlights
- --------------------------------------------------------------------------------
(a) Before waivers and reimbursements
(b) Net of waivers and reimbursements
(c) Reflects date of commencement of operations.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole
without distinguishing between the classes of shares issued.
^ Amount is less than $0.005 per share.
* Not annualized.
** Annualized.
# Represents income or gains/(losses) from affiliates.
## Average shares method used in calculation.
+ Includes Dividend and interest expense for securities sold short. Dividend
and interest expense was less than 0.005% for the year ended July 31, 2007
and 0.59% for the year ended July 31, 2008.
@ During the year ended July 31, 2007, the Advisor paid money to certain
Funds related to an SEC investigation of BISYS Fund Services, a former
service provider to the Funds. See Note 3 in Notes to Financial Statements
for further information. The payment is reported as Increase from payment
by the advisor in the Statement of Operations. See additional information
below regarding per share impacts and total return from the year ended
July 31, 2007 had this payment not occurred.
Amount per
share for Payment
Total return excluding Payment by the Advisor (excludes sales charge) by the Advisor &
--------------------------------------------------------------------- -----------------
Institutional Class A Class B Class C Advisor All Classes
------------- ------- ------- ------- ------- -----------------
Mid Cap Growth 17.24% 16.93% 16.06% 16.07% 16.65% $ 0.01
Quality Growth 20.38% 20.05% 19.15% 19.15% 19.72% $ 0.02
Disciplined Large Cap Value 14.44% 14.13% 13.38% 13.34% 13.90% $ -- ^
Dividend Growth 14.90% 14.64% 13.78% 13.79% 14.37% $ 0.07
International Equity 24.57% 24.27% 23.36% 23.31% 23.94% $ -- ^
Total Return Bond 4.72% 4.45% 3.75% 3.65% 4.29% $ 0.01
Municipal Bond 3.81% 3.53% 2.76% 2.82% 3.29% $ 0.02
Ohio Municipal 3.22% 2.86% 2.15% 2.09% NA $ 0.01
^ Amount is less than $.005.
& Per share impact of the Payment by the Advisor was recognized by all
classes on July 30, 2007. Calculation is based on outstanding shares
as of July 30, 2007. Net Investment Income/(Loss) in these Financial
Highlights includes the Payment by the Advisor.
See notes to financial statements.
204
Fifth Third Funds
Notes to Financial Statements
July 31, 2008
- --------------------------------------------------------------------------------
(1) Organization
Fifth Third Funds (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "Act"), as an open-end management investment company
established as a Massachusetts business trust. The Trust consists of thirty-one
separate investment portfolios, one of which has not commenced investment
operations.
The accompanying financial statements and notes relate only to the series of the
Trust (individually a "Fund" and collectively the "Funds") listed below. Each
Fund is a diversified investment company for purposes of the Act, except for
Fifth Third Dividend Growth Fund and Fifth Third Ohio Municipal Bond Fund, each
of which is a non-diversified investment company.
Fund Name
Fifth Third Small Cap Growth Fund ("Small Cap Growth")
Fifth Third Mid Cap Growth Fund ("Mid Cap Growth")
Fifth Third Quality Growth Fund ("Quality Growth")
Fifth Third Structured Large Cap Plus Fund ("Structured Large Cap Plus")
Fifth Third Equity Index Fund ("Equity Index")
Fifth Third Micro Cap Value Fund ("Micro Cap Value")
Fifth Third Small Cap Value Fund ("Small Cap Value")
Fifth Third All Cap Value Fund ("All Cap Value")
Fifth Third Disciplined Large Cap Value Fund ("Disciplined Large Cap Value")
Fifth Third LifeModel Aggressive Fund(SM) ("LifeModel Aggressive(SM)")
Fifth Third LifeModel Moderately Aggressive Fund(SM) ("LifeModel Moderately
Aggressive(SM)")
Fifth Third LifeModel Moderate Fund(SM) ("LifeModel Moderate(SM)")
Fifth Third LifeModel Moderately Conservative Fund(SM) ("LifeModel Moderately
Conservative(SM)")
Fifth Third LifeModel Conservative Fund(SM) ("LifeModel Conservative(SM)")
(the foregoing five funds collectively the "LifeModel Funds(SM)")
Fifth Third Strategic Income Fund ("Strategic Income")
Fifth Third Dividend Growth Fund ("Dividend Growth")
Fifth Third International Equity Fund ("International Equity")
Fifth Third High Yield Bond Fund ("High Yield Bond")
Fifth Third Total Return Bond Fund ("Total Return Bond")
Fifth Third Short Term Bond Fund ("Short Term Bond")
Fifth Third Municipal Bond Fund ("Municipal Bond")
Fifth Third Intermediate Municipal Bond Fund ("Intermediate Municipal Bond")
Fifth Third Ohio Municipal Bond Fund ("Ohio Municipal Bond")
Fifth Third Michigan Municipal Bond Fund ("Michigan Municipal Bond")
Short Term Bond has three classes of shares: Institutional, Class A, and Class C
shares. Equity Index has seven classes of shares: Institutional, Class A, Class
B, Class C, Select, Preferred and Trust shares. The remainder of the Funds each
have four classes of shares: Institutional, Class A, Class B, and Class C
shares. Advisor shares for Short Term Bond, Intermediate Municipal Bond, Ohio
Municipal Bond and Michigan Municipal Bond were liquidated May 11, 2007 and for
the remaining funds, Advisor shares outstanding on November 26, 2007 were
exchanged for Class A shares of their respective funds. No Financial Highlights
information is presented for Advisor Shares. Certain activity regarding Advisor
shares for the period from August 1, 2007 through November 26, 2007 is included
in the Statements of Operations, Statements of Changes in Net Assets and these
Notes to Financial Statements. All Funds' Class B shares are closed for
purchases as of this report date. Class A shares are subject to initial sales
charges imposed at the time of purchase, as described in the Funds' prospectus.
Certain redemptions of each of Class A shares made within eighteen months of
purchase, Class B
205
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
shares made within six years of purchase and Class C shares made within one year
of purchase are subject to contingent deferred sales charges, as described in
the Funds' prospectus. Each class of shares for each Fund has identical rights
and privileges except with respect to administrative services fees paid by Class
C, Select, Preferred and Trust shares, distribution services fees paid by Class
A, Class B, and Class C shares, voting rights on matters affecting a single
class of shares, and the exchange privileges of each class of shares.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
may enter into contracts with their vendors and others that provide for the
general indemnification of Trustees and Officers. The Funds' maximum exposure
under these arrangements is unknown, as this would involve future claims that
may be made against the Funds. However, based on experience, the Funds expect
that risk of loss to be remote.
Fund Mergers--On November 16, 2007 (the "Closing Date"), certain funds of the
Trust (each an "Acquiring Fund") acquired the respective net assets of certain
other funds of the Trust (each an "Acquired Fund"), pursuant to Agreements and
Plans of Reorganization approved by shareholders of each respective Acquired
Fund on November 16, 2007. The acquisitions were accomplished by a tax-free
exchange of shares of each class of each Acquiring Fund for the corresponding
class of the corresponding Acquired Fund as of the Closing Date. Information
about the combining funds as of the Closing Date is as follows; the shares
issued by each Acquiring Fund are disclosed in the Statements of Changes in Net
Assets.
Net Assets as of
Fund Description November 16, 2007
- ---- ----------- -----------------
Mid Cap Growth Acquiring Fund $ 329,322,202
Technology Acquired Fund 13,193,848
-------------
Mid Cap Growth After Acquisition $ 342,516,050
=============
Total Return Bond Acquiring Fund $ 237,605,488
Intermediate Bond Acquired Fund 447,870,973
U.S. Government Bond Acquired Fund 26,139,716
-------------
Total Return Bond After Acquisition $ 711,616,177
=============
The components of net assets of each Acquired Fund as of November 16, 2007 were
as follows:
Intermediate U.S. Government
Components of Net Assets Acquired Technology Bond Bond
- --------------------------------- ------------ ------------- ---------------
Paid-in capital $ 49,198,085 $ 507,776,613 $ 27,001,412
Accumulated net investment loss (70,475) (42,220) (88,594)
Accumulated net realized loss on investments (37,128,172) (41,848,762) (1,005,750)
Net unrealized appreciation (depreciation)
on investments 1,194,410 (18,014,658) 232,648
------------ ------------- ---------------
Total net assets $ 13,193,848 $ 447,870,973 $ 26,139,716
============ ============= ===============
On February 22, 2008, Quality Growth ("Acquiring Fund") acquired the respective
net assets of Balanced ("Acquired Fund"), pursuant to an Agreement and Plan of
Reorganization approved by shareholders the Acquired Fund on February 22, 2008
(the Closing and Shareholder Meeting Dates). The acquisition was accomplished by
a tax-free exchange of shares of each class of the Acquiring Fund for the
corresponding class of the Acquired Fund as of the Closing Date. Information
about the combining funds as of this date is as follows; the shares issued by
the Acquiring Fund are disclosed in the Statement of Changes in Net Assets.
Net Assets as of
Fund Description February 22, 2008
- ---- ----------- -----------------
Quality Growth Acquiring Fund $ 555,121,327
Balanced Acquired Fund 35,333,054
-------------
Quality Growth After Acquisition $ 590,454,381
=============
206
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
The components of net assets of the Acquired Fund as of February 22, 2008 were
as follows:
Components of Net Assets Acquired Balanced
- --------------------------------- -------------
Paid-in capital $ 71,035,459
Accumulated net investment loss (68,460)
Accumulated net realized loss on investments (37,460,921)
Net unrealized appreciation (depreciation) on investments 1,826,977
-------------
Total net assets $ 35,333,055
=============
Capital losses of the Acquired Funds are carried over to the Acquiring Fund on
Closing Date. The Internal Revenue Code may limit the ability of Acquiring Funds
to utilize capital losses of Acquired Funds (See Note 6).
(2) Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with accounting principles generally accepted in the
United States of America. The preparation of financial statements in conformity
with generally accepted accounting principles 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, as well as the reported amounts of increases and
decreases in net assets from operations during the period. Actual results could
differ from those estimates.
Securities Valuations--Portfolio securities listed or traded on domestic
securities exchanges or the NASDAQ/NMS, including American Depositary Receipts
("ADR"), are valued at the closing price on the exchange or system where the
security is principally traded. If there have been no sales for that day on any
exchange or system, a security is valued at the mean between the closing bid and
asked quotes on the exchange or system where the security is principally traded,
or at the NASDAQ Official Closing Price ("NOCP"), if applicable. Securities in
International Equity listed or traded on non-domestic exchanges are valued at
the closing price on the exchanges on which they trade. Corporate debt
securities and debt securities of U.S. government issuers (other than short-term
investments maturing in 60 days or less), including municipal securities, are
valued at fair value on the basis of the closing bid as supplied by an
independent pricing service approved by the Board of Trustees ("Trustees") or
valuations provided by dealers. Short-term investments maturing in 60 days or
less are valued at either amortized cost, which approximates market value, or at
original cost, which, combined with accrued interest, approximates market value.
Investments in open-end investment companies are valued at net asset value as
reported by such investment companies. Investments for which such quotations are
not readily available, or quotations which appear suspect, are valued at fair
value as determined in good faith by the investment adviser's Pricing Committee
under the direction of the Trustees. In addition, if events materially affecting
the value of foreign securities occur between the time when the exchange on
which such securities are traded closes and the time when the Funds' net asset
values are calculated, such securities may be valued using fair value pricing in
accordance with procedures adopted by the Trustees. Management identifies
possible fluctuations in foreign securities by monitoring the rise or fall in
the value of a designated benchmark index. In the event of a rise or fall
greater than predetermined levels, International Equity may use a systematic
valuation model provided by an independent third party to value its foreign
securities. When International Equity uses this fair value pricing method, the
value assigned to International Equity's foreign securities may not be the
quoted or published prices of the investments on their primary markets or
exchanges.
The market value of fair valued securities as a percentage of total net assets
as of this report date was 0.1%, 1.5%, 97.6%, 4.4% and 1.2% for Quality Growth,
Strategic Income, International Equity, Total Return Bond and Short Term Bond,
respectively.
207
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Repurchase Agreements--The Funds will enter into repurchase agreements only with
banks and other recognized financial institutions, such as broker/dealers, which
are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor") to be
creditworthy pursuant to guidelines and/or standards reviewed or established by
the Board of Trustees of the Fund (the "Trustees"). It is the policy of the
Funds to require the custodian or sub-custodian bank to take possession, have
legally segregated in the Federal Reserve Book Entry System, or have segregated
within the custodian bank's vault, all securities segregated as collateral under
repurchase agreement transactions. Additionally, procedures have been
established by the Funds to monitor, on a daily basis, the market value of each
repurchase agreement's collateral to ensure that the value of collateral at
least equals the repurchase price to be paid under the relevant repurchase
agreement transaction. Risks may arise from the potential inability or
unwillingness of counterparties to honor the terms of a repurchase agreement.
Accordingly, the Funds could receive less than the repurchase price on the sale
of collateral securities.
Securities Transactions and Related Income--Securities transactions are
accounted for on the date the security is purchased or sold (trade date).
Interest income is recognized on an accrual basis and includes, where
applicable, amortization of premium or accretion of discount. Dividend income is
recorded on the ex-dividend date. Gains or losses realized on sales of
securities are determined by comparing the identified cost of the security lot
sold with the net sales proceeds. Paydown gains and losses on mortgage-and
asset-backed securities are recorded as adjustments to interest income.
Withholding taxes on foreign dividends have been provided for in accordance with
the applicable country's tax rules and rates.
Foreign Currency Translation--International Equity does not isolate that portion
of its results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in the market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gains or losses from investments. Realized foreign exchange gains or
losses arise from sales and maturities of securities, sales of foreign
currencies, currency exchange fluctuations between the trade and settlement
dates of securities transactions, and the difference between the amount of
assets and liabilities recorded and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized foreign exchange gains and losses
arise from changes in the fair value of assets and liabilities, including
investments in securities, resulting from changes in the currency exchange
rates.
Forward Foreign Currency Contracts--International Equity may enter into forward
foreign currency contracts ("forwards"), which are agreements between two
parties to buy and sell a currency at a set price on a future date. The market
value of a forward fluctuates with changes in currency exchange rates. A forward
is marked- to-market daily and the change in market value is recorded by a Fund
as unrealized appreciation or depreciation. When the forward is closed, the Fund
records a realized gain or loss equal to the difference between the value at the
time it was opened and the value at the time it was closed. The Fund could be
exposed to risk if a counterparty is unable or unwilling to meet the terms of a
forward or if the value of the currency changes unfavorably. International
Equity has segregated cash and/or securities in a sufficient amount as
collateral to the extent the Fund has open forward contracts as of this report
date. See Notes to Schedules of Investments. As of July 31, 2008, International
Equity had no open forward foreign currency contracts.
Foreign Currency Commitments--International Equity may enter into foreign
currency commitments for the settlement of security transactions in foreign
currencies. Risks may arise upon entering into these transactions from the
potential inability or unwillingness of counterparties to meet the terms of
their commitments and from unanticipated movements in security prices or foreign
exchange rates. Foreign currency transactions are adjusted by the daily spot
exchange rate of the underlying currency and any gains or losses are recorded
for financial statement purposes as unrealized until the settlement date.
Futures Contracts--The Funds, with the exception of Dividend Growth,
Intermediate Municipal Bond and Ohio Municipal Bond, may enter into futures
contracts for the delayed delivery of securities at a fixed price at
208
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
some future date or for the change in the value of a specified financial index
or interest rate over a predetermined time period. Cash and/or securities are
segregated or delivered to dealers in order to maintain a position ("initial
margin"). Subsequent payments made or received by a Fund based on the daily
change in the market value of the position ("variation margin") are recorded as
unrealized appreciation or depreciation until the contract is closed out, at
which time the gain or loss is realized. The use of futures contracts involves,
to varying degrees, elements of market risk. Risks arise from the possible
imperfect correlation in movements in the price of futures contracts, interest
rates and the underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts. However, the Fund's
activities in futures contracts are conducted through regulated exchanges which
minimize counterparty credit risks. To the extent these Funds have open futures
contracts at period end, a sufficient amount of cash and/or securities, which is
restricted as to its use by these Funds, is segregated as collateral. See Notes
to Schedules of Investments.
Options Written Contracts -- When a Fund writes or sells put or call option
contracts, it records the proceeds on sales (premium) received and the
corresponding liability. The risk in writing a call option is that a Fund may
incur a loss when the associated security market price or index value increases.
The risk in writing a put option is that a Fund may incur a loss when the
associated security market price or index value decreases. A Fund also has the
additional risk of being unable to enter into a closing transaction if a liquid
secondary market does not exist for the relevant security. Option contracts are
valued daily and unrealized appreciation or depreciation is recorded. A Fund
will realize a gain or loss upon expiration or closing of an option transaction.
When an option is exercised, the proceeds on sales (premium) for a written call
option and the purchase cost for a written put option is adjusted by the amount
of premium received or paid. See Notes to Schedules of Investments.
Short Sales -- Structured Large Cap Plus enters into short sales whereby it
sells a security it generally does not own (the security is borrowed) in
anticipation of a decline in the security's price. The initial amount of a short
sale is recorded as a liability, which is marked to market daily. Fluctuations
in the value of the short liability are recorded as unrealized gains or losses.
The Fund also may short a security when also holding a long position in the
security (a "short against the box"), as the security's price declines, the
short position increases in value, offsetting the long position's decrease in
value. The opposite effect occurs if the security's price rises. The Fund
realizes a gain or loss upon closing of the short sale (returning the security
to the counterparty by way of purchase or delivery of a long position owned).
Possible losses from short sales may be unlimited, whereas losses from purchases
cannot exceed the total amount invested. The Fund is liable to the buyer for any
dividends payable on securities while those securities are in a short position.
These dividends are an expense of the Fund. The Fund segregates cash and/or
securities in a sufficient amount as collateral to the extent of open short
positions at period end. See Notes to Schedule of Investments.
Swap Agreements -- The Funds may enter into swap transactions, which are
privately negotiated agreements between a Fund and a counterparty (usually a
broker-dealer) to exchange or swap investment cash flows, assets, or
market-linked returns at specified, future intervals. A Fund may enter into
interest rate, total return, credit default, and other forms of swap agreements
to manage its exposure to interest rates and credit risk. In connection with
these agreements, securities may be identified as collateral in accordance with
the terms of the respective swap agreements. Total Return Bond has entered into
a credit default swap agreement with a recognized counterparty.
Credit default swap agreements involve one party making a stream of payments to
another party in exchange for the right to receive a specified return in the
event of a default by a third party - typically, a corporate issuer or sovereign
issuer of an emerging country - on its obligation. A Fund may use credit default
swaps to provide a measure of protection against defaults of the issuers (i.e.,
to reduce risk where a Fund owns or has exposure to the issuer) or to take an
active long or short position with respect to the likelihood of a particular
issuer's default. When it is a seller of protection, a Fund generally receives
an upfront payment or a fixed rate of
209
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
income throughout the term of the swap, provided that there is no credit event.
If a Fund is a seller of protection and a credit event occurs, as defined under
the terms of the particular swap agreement, a Fund must pay to the buyer of the
protection an amount up to the notional value of the swap and, in certain
instances, take delivery of the security. As the seller, a Fund would
effectively add leverage to its portfolio because, in addition to its total net
assets, a Fund would be subject to investment exposure on the notional amount of
the swap. When it is a buyer of protection, a Fund generally makes an upfront
payment or pays a fixed rate throughout the term of the swap. In addition, as a
buyer of protection, a Fund generally receives an amount up to the notional
value of the swap if a credit event occurs. The treatment of credit default
swaps and other swap agreements that provide for contingent, non-periodic,
"bullet-type" payments as "notional principal contracts" for U.S. federal income
tax purposes is uncertain. If the U.S. Internal Revenue Service were to take the
position that a credit default swap or other bullet-type swap is not a "notional
principal contract" for U.S. federal income tax purposes, payments received by a
Fund from such investments may be subject to U.S. excise or income taxes.
Swaps are marked to market daily based upon quotations from market makers and
the change in value, if any, is recorded as unrealized gain or loss in the
Statements of Operations. Payments received or made at the beginning of the
measurement period are reflected as such in the Statements of Assets and
Liabilities. These upfront payments are recorded as realized gain or loss in the
Statements of Operations upon termination or maturity of the swap. A liquidation
payment received or made at the termination of the swap is recorded as realized
gain or loss in the Statements of Operations. Net periodic payments received or
paid by a Fund are included in realized gain or loss in the Statements of
Operations. Entering into swap agreements involves, to varying degrees, elements
of credit, market and documentation risk in excess of the amounts recognized in
the Statements of Assets and Liabilities. Such risks involve the possibility
that there will be no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform or that the parties
may disagree as to the meaning of contractual terms in the agreements, and that
there may be unfavorable changes in interest rates.
When-Issued and Delayed Delivery Transactions ("TBAs")--The Funds may engage in
when-issued or delayed delivery transactions. The Funds record when-issued
securities on the trade date and maintain security positions such that
sufficient liquid assets will be available to make payment for the securities
purchased. Securities purchased on a when-issued or delayed delivery basis are
valued daily and begin earning interest on the settlement date. To the extent
the Funds hold these types of securities at period end, a sufficient amount of
cash and/or securities is segregated as collateral. See Notes to Schedules of
Investments.
Lending Portfolio Securities-- Each Fund may lend securities up to 33 1/3% of
the Fund's total assets (plus the amount of securities out on loan) to qualified
borrowers (typically broker-dealers) in order to enhance fund earnings by
investing cash collateral received in making such loans. The Funds continue to
earn interest and dividends on securities loaned by way of receiving substitute
payments (substitute dividend payments are generally not classified as Qualified
Dividend Income for federal income tax purposes). Loans will be made only to
borrowers deemed by the Lending Agent to be of sufficiently strong financial
standing, organizational stability and creditworthiness under guidelines
established by the Trustees and when, in the judgment of the Lending Agent, the
consideration that can be earned currently from such securities loans justifies
the attendant risks.
The Trust has engaged its custodian bank, State Street Bank and Trust Company
("State Street" or "Lending Agent"), to act as lending agent and to administer
its securities lending program. The Funds commenced lending securities on April
16, 2008. State Street will earn a portion of program net income for its
services. When a Fund makes a security loan, it receives cash collateral as
protection against borrower default on the loaned security position and records
an asset for the cash/invested collateral and a liability for the return of the
collateral. Securities on loan continue to be included in investment securities
at market value on the Statements of Assets and Liabilities and remain on the
Schedule of Investments.
210
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Loans of securities are required at the time the loan is made to be secured by
collateral at least equal to 105% of the prior day's market value of loaned
equity securities not denominated in U.S. dollars or Canadian dollars or not
primarily traded on a U.S. exchange; or 102% of the prior day's market value of
the securities on loan (including accrued interest) of any other loaned
securities, and not less than 100% thereafter. The Funds may invest cash
collateral in short-term money market instruments including: U.S. Treasury
Bills, U.S. agency sponsored obligations, commercial paper, money market mutual
funds, repurchase agreements and other highly rated, liquid investments. As of
July 31, 2008, cash collateral received for the Funds engaged in securities
lending was invested in the State Street Navigator Prime Securities Lending
Portfolio. Additionally, certain funds received non-cash collateral, which they
are not permitted to sell or re-pledge. The non-cash collateral is made up of
U.S. Treasury and U.S. agency notes, bonds and discount notes. The maturities
range from August 4, 2008 to April 18, 2036, with interest rates ranging from 2%
to 8.125%.
MV of
Securities Cash Non-Cash
Fund on Loan Collateral Collateral
- ---- ------------ ------------ -----------
Small Cap Growth $ 21,878,933 $ 22,191,345 $ 232,885
Mid Cap Growth 64,326,137 63,530,259 2,379,731
Quality Growth 35,071,710 35,511,535 334,429
Equity Index 36,830,354 33,029,455 4,703,421
Micro Cap Value 10,600,034 10,927,545 --
Small Cap Value 25,057,559 25,743,205 13,522
All Cap Value 68,036,286 66,082,044 3,644,241
Disciplined Large Cap Value 18,277,189 16,324,034 2,521,167
Strategic Income 25,881,499 26,566,223 --
Dividend Growth 5,616,201 5,344,714 401,835
International Equity 34,340,106 36,115,304 --
High Yield Bond 13,134,765 13,409,343 --
Total Return Bond 37,126,301 37,951,578 --
During the life of securities loans, the collateral and securities loaned remain
subject to fluctuation in market value. State Street marks to market securities
loaned and the collateral each business day. If additional collateral is due,
State Street collects additional cash collateral from the borrowers. Although
securities loaned will be fully collateralized at all times, State Street may
experience delays in, or may be prevented from, recovering the collateral on
behalf of a Fund. State Street may on behalf of a Fund recall a loaned security
position at any time from a borrower, who is obligated to return the security
recalled. In the event the borrower fails to return a recalled security in a
timely fashion, State Street reserves the right to use the collateral to
purchase like securities in the open market. State Street indemnifies the Funds
against borrower default by agreeing to fund any shortfall between the
collateral held and the cost of obtaining replacement securities. If replacement
securities are not available, State Street will credit the equivalent cash value
to the Fund(s).
Other--Expenses directly attributable to a Fund are charged to the Fund, while
expenses which are attributable to more than one Fund of the Trust are allocated
among the respective Funds based on their relative net assets or another
appropriate basis. Income, expenses, and realized and unrealized gains or losses
on investments are allocated to each class of shares based on its relative net
assets, except that each class separately bears expenses related specifically to
that class, such as administrative and distribution fees.
Distributions to Shareholders--Dividends, if any, from net investment income are
declared/paid generally as follows:
Declared daily/paid monthly Declared/paid monthly Declared/paid quarterly Declared/paid annually
- --------------------------- --------------------- ----------------------- ----------------------
Strategic Income High Yield Bond Mid Cap Growth Small Cap Growth
Total Return Bond Quality Growth Small Cap Value
Short Term Bond Structured Large Cap Plus International Equity
Municipal Bond Equity Index
Intermediate Municipal Bond Micro Cap Value
Ohio Municipal Bond All Cap Value
Michigan Municipal Bond Disciplined Large Cap Value
The LifeModel Funds(SM)
Dividend Growth
211
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Distributable net realized gains, if any, are declared and distributed at least
annually. Dividends declared and payable to shareholders are recorded on the
ex-dividend date.
Dividends from net investment income and from net realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from generally accepted accounting principles. These differences are primarily
due to differing treatments for mortgage-backed securities, amortization and/or
accretion of securities, foreign currency transactions, expiring capital loss
carryforwards and deferrals of certain losses. To the extent distributions would
exceed net investment income and net realized gains for tax purposes, they are
reported as a return of capital. These "book/tax" differences are either
considered temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the composition of net
assets based on their federal tax basis treatment; temporary differences do not
require reclassifications. Accordingly, at July 31, 2008, reclassifications were
recorded as follows:
Increase Increase
Increase (Decrease) (Decrease)
(Decrease) Accumulated Accumulated
Paid-in net investment net realized
capital income/(loss) gain/(loss)
------------ -------------- ------------
Small Cap Growth $ (616,927) $ 683,595 $ (66,668)
Mid Cap Growth (35,651,689) 1,633,026 34,018,663
Quality Growth (28,704,918) 139,526 28,565,393
Dividend Growth 571 (739) 168
Micro Cap Value 209 51 (260)
Small Cap Value 1,382,266 (29,581) (1,352,685)
All Cap Value (466) 467 (1)
Disciplined Large Cap Value 326,595 807 (327,402)
Structured Large Cap Plus (1,774) (9,406) 11,180
Equity Index (516) (91,536) 92,052
International Equity (6,142) (1,238,997) 1,245,139
Strategic Income 2,382 69,843 (72,225)
LifeModel Aggressive(SM) (207) 3,018,988 (3,018,781)
LifeModel Moderately Aggressive(SM) (549) 3,899,653 (3,899,104)
LifeModel Moderate(SM) (637) 4,248,854 (4,248,217)
LifeModel Moderately Conservative(SM) (223) 651,987 (651,764)
LifeModel Conservative(SM) (66) 178,176 (178,110)
High Yield Bond (86) 86 --
Total Return Bond (14,460,872) 550,101 13,910,771
Short Term Bond (1,136,998) 283,486 853,512
Municipal Bond 1,539 (6,195) 4,656
Intermediate Municipal Bond 1,097 (19,115) 18,018
Ohio Municipal Bond 1,921 31,577 (33,498)
Michigan Municipal Bond (52) (2,285) 2,337
Federal Taxes--It is the intention of each Fund to qualify or continue to
qualify as a regulated investment company by complying with the provisions
available to certain investment companies, as defined in applicable sections of
the U.S. Internal Revenue Code, and to make distributions of net investment
income and net realized capital gains sufficient to relieve a Fund from all, or
substantially all, federal income taxes. Accordingly, no provision for federal
income or excise taxes has been made.
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"), in June 2006. FIN 48 requires the recognition of tax
benefits of an uncertain tax position only when the position is "more likely
than not" to be sustained assuming examination by taxing authorities. The Funds
adopted the provisions of FIN 48 on January 31, 2008. Management has reviewed
the Funds' tax positions for all open tax years, and concluded that adoption had
no effect on each Fund's financial position or results of operations. At July
31, 2008, the Funds have recorded no liability for net unrecognized tax benefits
relating to uncertain income tax positions taken or expected to be taken in
future tax returns.
The Funds file U.S. tax returns and returns in various foreign jurisdictions in
which they invest. While the statute of limitations remains open to examine the
Funds' U.S. tax returns filed for the fiscal years from 2005-2007, no
examinations are in progress or anticipated as of this report date. The Funds
are not aware of
212
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
any tax positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
New Accounting Pronouncements--In September 2006, FASB issued Statement on
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157").
This statement establishes a single authoritative definition of fair value, sets
out a framework for measuring fair value, and requires additional disclosures
about fair value measurements. FAS 157 applies to fair value measurements
already required or permitted by existing standards. The changes to current
generally accepted accounting principles from the application of this statement
relate to the definition of fair value, the methods used to measure fair value,
and expanded disclosures about fair value measurements. FAS 157 is effective for
financial statements issued for fiscal years beginning after November 15, 2007
and interim periods within those fiscal years. While Management is currently
assessing the likely impact of FAS 157, as of this report date, Management does
not believe the adoption of FAS 157 will have an impact on the financial
statements. Additional disclosures may be required however, relating to the
inputs used to develop the measurements and the effect of certain measurements
on changes in net assets.
In March 2008, FASB issued Statement on Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and Hedging Activities ("FAS 161"). FAS
161 may require enhanced disclosures about Funds' derivative and hedging
activities. FAS 161 is effective for financial statements issued for fiscal
years beginning after November 15, 2008 and interim periods within those fiscal
years. Management is currently evaluating the impact the adoption of FAS 161
will have on the Funds' financial statement disclosures.
(3) Related Party Transactions
Investment Advisory Fee-- FTAM is the Funds' investment advisor. FTAM, a wholly
owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third
Bancorp, a publicly traded financial services company. For its advisory services
to the Funds, FTAM receives an investment advisory fee computed daily based on
each Fund's average daily net assets and paid monthly. Until November 28, 2007,
FTAM subcontracted with Morgan Stanley Investment Management Inc., which served
as International Equity's Sub-Advisor. Effective November 28, 2007 this
subadvisory arrangement was terminated and FTAM undertook full portfolio
management responsibilities for the Fund. Pursuant to a sub-advisory arrangement
with FTAM, Fort Washington Investment Advisors, Inc. is High Yield Bond's
Sub-Advisor. The Advisor compensates Fort Washington monthly at rates indicated
in the prospectus applied to the Fund's average daily net assets. For certain
Funds, FTAM has voluntarily agreed to waive a portion of its advisory fee. In
addition, FTAM has contractually agreed to waive fees and/or reimburse certain
Funds pursuant to an expense limitation agreement. See below, including the
table of advisory fees, waivers and expense limitations.
Administration Fee-- FTAM is the Trust's administrator (the "Administrator") and
generally assists in all aspects of the Trust's administration and operations,
including providing the Funds with certain administrative personnel and services
necessary to operate the Funds. FTAM receives administration fees at the annual
rates shown below, which are computed daily and paid monthly based on average
daily net assets of the Trust; the fees are prorated among the Funds based upon
their relative average daily net assets.
Administration Fee Trust Average Daily Net Assets
------------------ ------------------------------
0.20% Up to $1 billion
0.18% In excess of $1 billion up to $2 billion
0.17% In excess of $2 billion
For certain Funds, FTAM has voluntarily agreed to waive a portion of its
administration fee. In addition, $10,000 annual, per class, per Fund fee applies
beyond the first four classes per Fund (only Equity Index has more than four
classes as of November 26, 2007), and each Fund that commences operations after
September 18, 2002 is subject to an annual $20,000 minimum fee. FTAM has
contractually agreed to waive fees and/or reimburse certain Funds pursuant to an
expense limitation agreement. See the table of advisory fee, waiver and expense
limitations below.
213
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Advisory Fee, Waivers, Expense Limitations-- In its capacity as Advisor and
Administrator, FTAM has entered into an expense limitation agreement with the
Funds. Under the terms of the expense limitation agreement, to the extent that
ordinary operating expenses incurred by a Fund in any fiscal year exceed the
specified expense limit for the Fund, the excess amount will be borne by FTAM.
If the operating expenses are less than the specified expense limit for the
Fund, FTAM shall be entitled to reimbursement of the fees waived or reduced to
the extent that the operating expenses and the amount reimbursed do not exceed
such expense limit for the Fund, under the period of the agreement (currently
the period for the 12 months commencing November 29, 2007 for the Funds, except
Dividend Growth, which is the 40 month period from August 1, 2005 through
November 28, 2008). Such reimbursement shall be paid only while the expense
limitation agreement is in effect and only if such amount paid, together with
all other amounts reimbursed under this plan in the fiscal year, does not cause
the Fund to exceed the expense limitation. All waivers not recovered at the end
of the period expire on November 28, 2008. The Funds' various annual fee rates,
waivers and expense limitations as of this report date are as follows:
Class Expense Limitations*
-----------------------------------------------
Advisory Expense Administration Reimbursement
Advisory Fee Limitation Fee Recover-
Fund Fee Waiver ** Waiver Institutional A B C able***
- ---- -------- -------- ---------- -------------- ------------- ------ ------ ----- -------------
Small Cap Growth 0.70% NA V NA 1.01% 1.26% 2.01% 2.01% NA
Mid Cap Growth 0.80% NA C NA 1.09% 1.34% 2.09% 2.09% $ 59,548
Quality Growth * 0.80% NA C 0.02% 1.06% 1.31% 2.06% 2.06% $ 204,699
Dividend Growth 0.80% 0.20% C NA 0.73% 0.98% 1.73% 1.73% $ 875,441
Micro Cap Value 1.00% NA V NA 1.35% 1.60% 2.35% 2.35% NA
Small Cap Value 0.90% NA V NA 1.20% 1.45% 2.20% 2.20% NA
All Cap Value 1.00% NA C 0.10% 1.19% 1.44% 2.19% 2.19% $ 235,085
Disciplined Large Cap Value 0.80% NA C 0.06% 1.01% 1.26% 2.01% 2.01% $ 292,440
Structured Large Cap Plus+++ 0.70% NA C NA 0.92% 1.17% 1.92% 1.92% $ 347,682
Equity Index^ 0.30% 0.20% C 0.065% 0.19% 0.44% 1.19% 1.19% $ 1,053,331
International Equity +* 1.00% 0.14% C NA 1.21% 1.46% 2.21% 2.21% $ 493,896
Strategic Income 1.00% 0.30% C 0.05% 0.96% 1.21% 1.96% 1.96% $ 330,853
LifeModel Aggressive(SM) 0.15% 0.12% C NA 0.08% 0.33% 1.08% 1.08% $ 472,032
LifeModel Moderately Aggressive(SM) 0.15% 0.12% C NA 0.08% 0.33% 1.08% 1.08% $ 792,951
LifeModel Moderate(SM) 0.15% 0.12% C NA 0.08% 0.33% 1.08% 1.08% $ 1,002,727
LifeModel Moderately Conservative(SM) 0.15% 0.12% C NA 0.08% 0.33% 1.08% 1.08% $ 253,245
LifeModel Conservative(SM) 0.15% 0.12% C NA 0.08% 0.33% 1.08% 1.08% $ 174,900
High Yield Bond 0.70% NA C NA 0.74% 0.99% 1.74% 1.74% $ 141,920
Total Return Bond * 0.60% 0.10% C 0.08% 0.68% 0.93% 1.68% 1.68% $ 857,811
Short Term Bond 0.50% 0.10% V NA 0.64% 0.89% NA 1.64% NA
Municipal Bond 0.55% 0.15% V NA 0.61% 0.86% 1.61% 1.61% NA
Intermediate Municipal Bond * 0.55% 0.15% V 0.06% 0.65% 0.90% 0.90%# 1.65% NA
Ohio Municipal Bond 0.55% NA V 0.08% 0.79% 1.04% 1.79% 1.79% NA
Michigan Municipal Bond 0.45% NA C NA 0.68% 0.83%# 1.68% 1.68% $ 59,494
* The Funds' expense limitation for each class decreased by the following
annual amounts during the period ended as of this report date. FTAM often
accompanies a decrease in limitation with a corresponding increase in an
advisory or administration waiver.
Fund Decrease in Limitation Effective Date
- ---- ---------------------- -----------------
Quality Growth 0.01% November 17, 2007
International Equity 0.14% November 29, 2007
Total Return Bond 0.04% November 17, 2007
Intermediate Municipal Bond 0.02% November 17, 2007
** C - Contractual, V - Voluntary as of November 29, 2007.
*** The cumulative amounts waived and/or reimbursed in thousands and which may
be potentially recoverable by FTAM under the expense limitation agreements
for the period from November 29, 2007 through July 31, 2008. For Dividend
Growth, this amount represents the period from August 1, 2005 through
July 31, 2008.
+++ Because dividend expenses on short sales are excluded from this fund's
expense limitation, Net Expenses are expected to exceed the applicable
expense limitation by the estimated amount of dividend expense on short
sales.
^ The annual limitations shown include 12b-1 or administrative services fees
and are net of all waivers, voluntary or contractual. The limitations are
0.27%, 0.34% and 0.44% for Equity Index Select, Preferred and Trust
Shares, respectively.
+ International Equity's Advisory Fee is 0.85% for net assets in excess of
$750 million.
# In addition to any other expense limitations applicable to certain Funds,
the Distributor has voluntarily agreed to limit the expenses of certain
classes by means of waiving a portion of the annual 12b-1 fee as follows:
Intermediate Municipal Bond Fund Class B - 0.75%; Michigan Municipal Bond
Fund Class A - 0.10%.
214
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Accounting and Custody Fees-- FTAM is the Funds' accounting agent. FTAM receives
accounting fees at the annual rates shown below which are computed daily and
paid monthly based on average daily net assets of each Fund, subject to a
$30,000 per fund annual minimum, plus out-of-pocket expenses.
Accounting Fee Fund Average Daily Net Assets
-------------- -----------------------------
0.020% Up to $500 million
0.015% In excess of $500 million up to $1 billion
0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the
initial class of shares.
Fees may be voluntarily reduced or reimbursed to assist the Funds in maintaining
competitive expense ratios.
Distribution and/or Servicing Fees, Waivers--The Trust has adopted a
Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds
Distributor, Inc. is the Trust's distributor/principal underwriter (the
"Distributor"). Under the terms of the Plan, the Funds will compensate the
Distributor from the net assets of the Funds' Class A, Class B and Class C
shares to finance activities intended to result in the sales of each Fund's
shares. The Plan provides that the Funds will incur fees accrued daily and paid
monthly to the Distributor at annual rates up to that shown below based on
average daily net assets of the respective classes in the Plan. The Distributor
has voluntarily agreed to limit the expenses of certain classes of certain funds
by way of waiving a portion of the Distribution and/or Servicing Fee; annual
12b-1 fees and voluntary waivers are shown below.
Class Distribution/Servicing Fee Distribution/Servicing Fee Waiver
------- -------------------------- ------------------------------------
Class A 0.25% 0.10% - Michigan Municipal Bond
Class B 1.00% 0.75% - Intermediate Municipal Bond
Class C 0.75% NA
Advisor 0.50% NA
In addition, the Distributor earned commissions on certain sales of Class A and
Advisor shares (most of which commissions are reallowed to the selling
broker-dealer) as well as contingent deferred sales commissions (CDSC) on
certain redemptions of Class A, B and C shares (all of which is paid to the
finance agent who financed advance commissions, as applicable, on sales of these
shares). FTAM is the Class C advance commission finance agent. CDSCs on Class C
shares for the period ended as of this report date were $11,998 for the Trust, a
majority of which was attributed to FTAM. Affiliates of FTAM earned reallowed
sales commissions of $470,999 and 12b-1 distribution/servicing fees as well as
administrative servicing fees (see below) of $3,843,408 for the period ended as
of the report date.
Administrative Servicing Fee--The Trust has an Administrative Servicing
Agreement with the Distributor with respect to Class C, Select, Preferred and
Trust Shares. Under the Agreements, certain administrative services, including
those relating to the maintenance of shareholder accounts, were provided to
these shareholders during the year. The Distributor, as well as other financial
institutions (which may include affiliates of the Advisor) receive fees computed
at rates up to those shown below, based on average daily net assets of the
respective classes.
Class Administrative Services Fee
----- ---------------------------
Class C 0.25%
Select 0.08%
Preferred 0.15%
Trust 0.25%
Transfer and Dividend Disbursing Agent--Pursuant to a Services Agreement with
the Trust dated May 14, 2007, FTAM provides certain services on behalf of the
Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily
based upon each Fund of the Trust's relative average daily net assets, at the
aggregate annual rate of $370,000. FTAM earned $370,000 from the Trust in
service fees for the period ended as of this report date.
215
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Other--Certain officers of the Trust are also officers of FTAM and/or its
affiliates. Certain non-principal officers of the Trust are also employees of
State Street. None of these officers are paid any fees by the Trust.
Payments by Affiliates--BISYS Fund Services, Inc. ("BISYS"), which formerly
provided various services to the Trust, reached a settlement and entered into an
order (the "Order") with the Securities and Exchange Commission ("SEC")
regarding the SEC's investigation of BISYS's past payment of certain marketing
and other expenses with respect to certain of its mutual fund clients. Neither
the Trust nor FTAM was a party to the Order, nor is the Trust or FTAM bound by
the Order or its findings. It is unclear the extent to which the Trust, FTAM and
certain of its former service providers are or may be affected by the SEC's
investigation of BISYS or by the Order. In response to the SEC's inquiries
related to this matter, including those of the Trust's former service
arrangements with BISYS, FTAM made a one time contribution of money to certain
Funds of the Trust during the year ended July 31, 2007. The affected Funds and
the amounts paid to such Funds were determined based on various factors such as
certain Fund expenses during 1999 through 2001 as well as the applicable Funds'
net assets during this time period. The amount credited to each class of the
applicable Funds was determined according to the relative net assets of such
classes on the date the amounts were recognized. The amounts paid to each Fund
are disclosed in the Statements of Changes in Net Assets as Increase from
payment by the Advisor for the fiscal year ended July 31, 2007. The amounts were
allocated among the components of net assets for the year then ended for each
applicable Fund based upon its character for federal income tax purposes. The
total returns for the year ended July 31, 2007 for each class of the applicable
Funds would have been lower had the payments not been made; see Notes to
Financial Highlights.
(4) Investment Transactions
Cost of purchases and proceeds from sales of investments (excluding short-term
securities) for the period ended as of this report date were as follows:
Non U.S. Government Securities U.S. Government Securities
------------------------------ ----------------------------
Fund Purchases Sales Purchases Sales
- ---- ------------- ------------- ------------- ------------
Small Cap Growth $ 106,501,690 $ 149,413,834 $ -- $ --
Mid Cap Growth 295,583,066 369,640,027 -- --
Quality Growth 347,019,839 534,853,611 918,563 57,871
Dividend Growth 16,993,965 18,735,281 -- --
Micro Cap Value 25,180,762 56,674,487 -- --
Small Cap Value 58,973,982 79,495,649 -- --
All Cap Value 124,125,585 145,647,995 -- --
Disciplined Large Cap Value 286,132,634 361,238,392 -- --
Structured Large Cap Plus 172,481,535 205,217,501 -- --
Equity Index 17,342,919 23,570,149 -- --
International Equity 773,334,458 749,457,582 -- --
Strategic Income 37,921,080 53,198,352 2,998,439 3,659,863
LifeModel Aggressive(SM) 59,141,378 49,663,672 -- --
LifeModel Moderately Aggressive(SM) 83,790,157 86,722,298 -- --
LifeModel Moderate(SM) 109,941,191 132,092,626 -- --
LifeModel Moderately Conservative(SM) 23,527,069 27,376,008 -- --
LifeModel Conservative(SM) 16,414,727 12,346,514 -- --
High Yield Bond 20,656,002 35,290,689 -- --
Total Return Bond 356,384,718 92,542,099 217,903,133 95,127,290
Short Term Bond 39,628,910 46,584,897 46,782,065 59,060,263
Municipal Bond 24,939,191 28,732,391 -- --
Intermediate Municipal Bond 68,944,664 99,817,913 -- --
Ohio Municipal Bond 40,331,774 51,403,085 -- --
Michigan Municipal Bond 11,109,619 18,792,951 -- --
216
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
(5) Line of Credit
As of February 1, 2008, the Funds of the Trust have an uncommitted unsecured
line of credit facility with State Street. Under the terms of the agreement, the
Funds of the Trust may borrow up to $100 million in the aggregate. The purpose
of the facility is to borrow funds if necessary to meet temporary or emergency
cash needs, including to fund redemption requests that might otherwise require
the untimely disposition of securities. Borrowings may not exceed 33 1/3%
(except that with respect to Structured Large Cap Plus, whose borrowings may not
exceed 10% of the Funds' net assets) of the Fund's net assets and must be repaid
within 60 days. Drawn loans will be priced at a bid rate, though, in any event,
not less than State Street's overnight federal funds annual rate plus the annual
rate of 0.50%. There were no borrowings against the line of credit during the
period the agreement was in place.
(6) Federal Tax Information
The tax character of distributions paid during the fiscal years ended July 31,
2008 and 2007 was as follows:
Year ended July 31, 2008
------------------------------------------------------
Distributions paid from
------------------------------------------------------
Net
Long
Term Tax Total
Ordinary Capital Exempt Distributions
Fund Income Gains Income Paid
- ---- ----------- ----------- ---------- -------------
Small Cap Growth $ 8,873,764 $31,126,216 $ -- $ 39,999,980
Mid Cap Growth 3,389,553 45,218,701 -- 48,608,254
Quality Growth 21,265,643 67,802,545 -- 89,068,188
Dividend Growth 263,404 -- -- 263,404
Micro Cap Value 1,172,603 22,356,893 -- 23,529,496
Small Cap Value 2,310,779 11,137,686 -- 13,448,465
All Cap Value 7,678,070 41,680,209 -- 49,358,279
Disciplined Large Cap Value 20,522,118 31,674,457 -- 52,196,575
Structured Large Cap Plus 1,388,324 955,083 -- 2,343,407
Equity Index 6,749,004 -- -- 6,749,004
International Equity 16,880,862 29,974,715 -- 46,855,577
Strategic Income 7,586,002 4,046,949 -- 11,632,951
LifeModel Aggressive(SM) 6,109,169 13,564,253 -- 19,673,422
LifeModel Moderately Aggressive(SM) 11,696,334 21,736,616 -- 33,432,950
LifeModel Moderate(SM) 20,278,652 24,782,374 -- 45,061,026
LifeModel Moderately Conservative(SM) 3,820,869 4,771,242 -- 8,592,111
LifeModel Conservative(SM) 2,234,699 1,227,481 -- 3,462,180
High Yield Bond 4,533,878 -- -- 4,533,878
Total Return Bond 26,468,692 -- -- 26,468,692
Short Term Bond 10,702,400 -- -- 10,702,400
Municipal Bond 60,735 87,268 1,659,525 1,807,528
Intermediate Municipal Bond 214,806 325,407 4,957,549 5,497,762
Ohio Municipal Bond 36,630 391,033 3,175,976 3,603,639
Michigan Municipal Bond -- -- 1,332,746 1,332,746
Year ended July 31, 2007
-----------------------------------------------------------------
Distributions paid from
-----------------------------------------------------------------
Net
Long
Term Tax Return Total
Ordinary Capital Exempt of Distributions
Fund Income Gains Income Capital Paid
- ---- ----------- ----------- ---------- -------- -------------
Small Cap Growth $ 3,010,766 $30,185,627 $ -- $ -- $ 33,196,393
Mid Cap Growth -- 74,693,980 -- -- 74,693,980
Quality Growth 3,228,460 10,916,524 -- -- 14,144,984
Dividend Growth 497,165 -- -- -- 497,165
Micro Cap Value 2,786,879 22,169,301 -- -- 24,956,180
Small Cap Value 8,327,480 8,285,647 -- -- 16,613,127
All Cap Value 8,223,082 50,068,737 -- -- 58,291,819
Disciplined Large Cap Value 9,554,231 88,490,631 -- -- 98,044,862
Structured Large Cap Plus 1,607,730 758,123 -- -- 2,365,853
Equity Index 7,234,719 -- -- -- 7,234,719
International Equity 3,961,393 9,030,088 -- -- 12,991,481
Strategic Income 7,383,650 1,525,671 -- -- 8,909,321
LifeModel Aggressive(SM) 1,226,436 5,018,673 -- -- 6,245,109
LifeModel Moderately Aggressive(SM) 5,443,188 8,047,858 -- -- 13,491,046
LifeModel Moderate(SM) 14,206,604 10,616,244 -- -- 24,822,848
LifeModel Moderately Conservative(SM) 3,084,150 2,513,988 -- -- 5,598,138
LifeModel Conservative(SM) 1,982,695 971,709 -- -- 2,954,404
High Yield Bond 4,850,184 -- -- -- 4,850,184
Total Return Bond 12,928,525 -- -- -- 12,928,525
Short Term Bond 10,846,249 -- -- 233,956 11,080,205
Municipal Bond 9,692 438,022 1,637,272 -- 2,084,986
Intermediate Municipal Bond 42,331 492,583 5,692,681 -- 6,227,595
Ohio Municipal Bond 54,312 110,602 3,641,827 -- 3,806,741
Michigan Municipal Bond -- -- 1,547,338 9,399 1,556,737
217
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
As of July 31, 2008, the components of accumulated earnings/(deficit) on a tax
basis were as follows:
Undistributed Undistributed Accumulated Total
Tax Undistributed Long-Term Capital and Unrealized Accumulated
Exempt Ordinary Capital Other Appreciation/ Earnings/
Fund Income Income Gains/(Loss) Losses (Depreciation)* (Deficit)
- ---- ------------- ------------- ------------- ------------ --------------- ------------
Small Cap Growth $ -- $ -- $ -- $ (382,613) $ 5,921,094 $ 5,538,481
Mid Cap Growth -- -- 18,599,422 (1,184,808) 10,629,843 28,044,457
Quality Growth -- 833,831 12,504,390 (3,066,911) 74,657,117 84,928,427
Dividend Growth -- 45,157 -- (13,531,662) 1,190,196 (12,296,309)
Micro Cap Value -- 80,218 12,490 (2,418,719) (2,237,262) (4,563,273)
Small Cap Value -- 456,279 20,850 (1,210,103) 980,304 247,330
All Cap Value -- 474,171 12,448,010 (1) 8,740,050 21,662,230
Disciplined Large Cap Value -- 1,984,946 6,405,451 (1) 4,025,912 12,416,308
Structured Large Cap Plus -- 737,523 -- (20,272,101) 7,114,063 (12,420,515)
Equity Index -- 1,076,762 -- (4,720,036) 183,691,174 180,047,900
International Equity -- 8,795,719 42,624,633 (7,011,047) (16,589,561) 27,819,744
Strategic Income -- (377,778) 92,440 (921,285) (17,556,673) (18,763,296)
LifeModel Aggressive(SM) -- 524,464 14,443,404 -- 229,585 15,197,453
LifeModel Moderately
Aggressive(SM) -- 2,112,567 19,285,503 1 2,549,640 23,947,711
LifeModel Moderate(SM) -- 3,563,524 18,699,879 (1) (15,624,103) 6,639,299
LifeModel Moderately
Conservative(SM) -- 700,057 3,848,615 2 (2,487,151) 2,061,523
LifeModel Conservative(SM) -- 380,904 817,946 -- (3,732,314) (2,533,464)
High Yield Bond -- 74,934 -- (1,114,501) (4,714,053) (5,753,620)
Total Return Bond -- 517,191 -- (46,823,450) (53,076,696) (99,382,955)
Short Term Bond -- 209,101 -- (21,170,802) (3,532,549) (24,494,250)
Municipal Bond 90,781 26,553 20,773 (902) 283,377 420,582
Intermediate Municipal Bond 25,007 -- 253,528 2,177 1,758,138 2,038,850
Ohio Municipal Bond 282,487 -- 21,270 -- 872,270 1,176,027
Michigan Municipal Bond 2,410 -- -- (318,565) 349,391 33,236
* The difference between the book-basis and tax-basis unrealized
appreciation (depreciation) is attributable primarily to: tax deferral of
losses on wash sales, the difference between book and tax amortization
methods for premium and market discounts, passive foreign investment
company losses, and return of capital distributions.
As of July 31, 2008, for Federal income tax purposes, the following Funds have
capital loss carryforwards available to offset future capital gains, if any, to
the extent provided by the treasury regulations:
Expiration Year
------------------------------------------------------------------------------------------------
Fund 2009 2010 2011 2012 2013 2014 2015 2016 Total
- ---- ---------- ----------- ---------- ---------- ---------- ----------- ---------- ---------- -----------
Dividend Growth $ -- $10,084,841 $3,023,983 $ 39,378 $ -- $ -- $ -- $ -- $13,148,202
Structured Large Cap 5,734,447 -- -- 793,432 -- -- -- 1,246,518 7,774,397
Equity Index -- -- 4,108,854 605,734 -- -- -- -- 4,714,588
High Yield Bond -- -- -- -- -- -- 382,634 -- 382,634
Short Term Bond -- -- -- 212,104 6,363,164 9,778,491 4,709,395 -- 21,063,154
Michigan Municipal
Bond Fund -- -- -- -- -- 44,887 272,882 -- 317,769
As of July 31, 2008, the following Funds have additional capital loss
carryforwards and built in losses, subject to certain limitations on
availability, to offset future capital gains, if any, as the successor of a
merger:
Expiration Year
------------------------------------------------------------------------------------------------
Fund 2009 2010 2011 2012 2013 2014 2015 2016 Total
- ---- ---------- ----------- ---------- ---------- ---------- ----------- ---------- ---------- -----------
Mid Cap Growth $ 592,404 $ 592,404 $ -- $ -- $ -- $ -- $ -- $ -- $ 1,184,808
Quality Growth -- 3,066,910 -- -- -- -- -- -- 3,066,910
International Equity 867,797 1,405,848 5,161,371 -- -- -- -- -- 7,435,016
Total Return Bond 313,458 -- 2,967,989 3,490,975 6,705,683 12,507,496 4,893,287 1,172,463 32,051,351
218
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Net capital losses incurred after October 31, and within the taxable year are
deemed to arise on the first business day of the Funds' next taxable year. For
the year ended July 31, 2008, the fund deferred to August 1, 2008 post October
capital losses, post October currency losses and post October passive foreign
investment company losses of:
Capital
Losses
-----------
Small Cap Growth Fund $ 377,242
Dividend Growth Fund 383,460
Structured Large Cap Plus 12,491,593
Micro Cap Value Fund 2,418,717
Small Cap Value Fund 1,210,103
Strategic Income Fund 921,285
High Yield Bond 731,867
Total Return Bond 14,779,728
Short Term Bond 106,468
During the tax year ended July 31, 2008, the funds utilized/expired capital loss
carryforwards in the following amounts:
Amount Utilized Amount Expired
--------------- --------------
Mid Cap Growth $ 417,596 $ --
Quality Growth 670,363 --
Dividend Growth 544,599 --
Equity Index 11,838,860 --
International Equity 9,204,482 --
High Yield Bond 68,491 --
Total Return Bond -- 970,107
Short Term Bond 521,381 1,126,162
Michigan Municipal Bond 7,485 --
The following funds have a capital loss carryforwards that will not be utilized
due to merger limitations:
Mid Cap Growth $35,583,828
Quality Growth 33,689,461
As of July 31, 2008, the following fund has a current year Investment Company
taxable loss:
Mid Cap Growth $1,485,605
(7) Restricted Securities
The Funds may own investments that were purchased through private placement
transactions or under Rule 144A of the Securities Act of 1933 (the "Securities
Act") and which cannot be sold without prior registration under the Securities
Act or which may be limited due to certain restrictions. These securities are
generally deemed to be illiquid and are valued at fair value as determined by
FTAM's Pricing Committee, comprised of personnel of the Advisor, subject to
oversight by the Board of Directors, and in accordance with Board-approved
Pricing Policies and Procedures. If and when such securities are registered, the
costs of registering such securities are paid by the issuer. At July 31, 2008,
Total Return Bond held the following restricted securities:
Value as
Acquisition Acquisition Fair % of
Security Type Date Cost Value Net Assets
-------------------------- ------------ ----------- ---------- ----------
Total Return Bond
Deutsche Mortgage Securities, Inc.,
Series 2005-WF1 Mortgage-Backed Securities 09/16/2005 $ 1,062,278 $1,057,764 0.18%
Residential Funding Mortgage
Securities II, Inc., Series 2006-HI3 Asset-Backed Securities 07/16/2006 1,499,491 765,723 0.13%
Restructured Assets Certificates,
Series 2006-9 Mortgage-Backed Securities 08/10/2006 5,234,953 3,622,500 0.62%
Squared CDO, Ltd., Series 2007-1A Mortgage-Backed Securities 05/01/2007 3,955,319 -- --
----------- ---------- -----
$11,752,041 $5,445,987 0.93%
=========== ========== =====
219
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
(8) Concentrations
International Equity invests in equity and fixed income securities of non-U.S.
issuers. Although the Fund maintains a diversified investment portfolio,
political or economic developments within a particular country or region may
have an adverse effect on the ability of domiciled issuers to meet their
obligations. Additionally, political or economic developments may have an
adverse effect on the liquidity and volatility of portfolio securities and
currency holdings.
Intermediate Municipal Bond held a significant amount of its investments in debt
obligations issued by the State of Michigan and its political subdivisions,
agencies and public authorities as of this report date. Ohio Municipal Bond and
Michigan Municipal Bond hold a significant portion of their investments in debt
obligations issued by each of the States of Ohio and Michigan, respectively, and
each state's respective political subdivisions, agencies and public authorities.
These funds are more susceptible to factors adversely affecting issuers of
municipal securities from these states than a fund that is not concentrated in
these issuers to the same extent.
(9) Market and Credit Risk
In the normal course of business the Funds trade financial instruments and enter
into financial transactions where risk of potential loss exists due to changes
in the market (market risk) or failure of the other party to a transaction to
perform (credit risk). Similar to credit risk, the Funds may be exposed to
counterparty risk, or the risk that an institution or other entity with which
the Funds have unsettled or open transactions will default. The potential loss
could exceed the value of the financial assets recorded in the financial
statements. Financial assets, which potentially expose the Funds to credit risk,
consist principally of cash due from counterparties and investments. The extent
of the Funds' exposure to credit and counterparty risks in respect to these
financial assets approximates their carrying value as recorded in the Funds'
Statements of Assets and Liabilities.
(10) Subsequent Event
Proposed Fund Mergers--At a special meeting of the Board of Trustees on July 30,
2008, the Trustees approved Agreements and Plans of Reorganization (the "Plans")
relating to the proposed reorganizations of certain funds of the Trust with and
into certain series of Intermediate Municipal Trust or Federated Municipal
Securities Income Trust (the "Proposed Reorganizations") as described below.
Several Funds within these financial statements are parties to proposed
reorganizations, whereby the "Acquiring Fund" proposes to acquire the "Acquired
Fund" as shown below. Each of the proposed reorganizations is independent and
not conditioned on the others. A proxy/prospectus relating to the Proposed
Reorganizations was filed with the Securities and Exchange Commission on
September 2, 2008, indicating anticipated shareholder meeting and closing dates
to be held on or about November 21, 2008. The Plans are subject to approval of
the shareholders of the Acquired Funds.
Acquiring Fund Acquired Fund
- -------------- -------------
Federated Intermediate Municipal Trust, a series of Intermediate Municipal Trust Intermediate Municipal Bond
Federated Intermediate Municipal Trust, a series of Intermediate Municipal Trust Municipal Bond
Federated Michigan Intermediate Municipal Trust, a series of Federated Municipal Securities
Income Trust Michigan Municipal Bond
Federated Ohio Municipal Income, a series of Federated Municipal Securities Income Trust Ohio Municipal Bond
220
Fifth Third Funds
Notes to Financial Statements, continued
July 31, 2008
- --------------------------------------------------------------------------------
Market Conditions (unaudited) --Recent events in the financial sector have
resulted in an unusually high degree of volatility in the financial markets and
the net asset value of many mutual funds, including the Fifth Third Funds. Such
events occurring subsequent to the date of this report have included, but are
not limited to, the seizure of the Federal National Mortgage Association and the
Federal Home Loan Mortgage Corporation by U.S. banking regulators, the
bankruptcy filing of Lehman Brothers and sale of Merrill Lynch to Bank of
America, and the government bailout of AIG. These companies represent financial
institutions with which certain of the Funds conduct business and/or whose
securities are or may be held with in the Funds. The potential investment of
each Fund's investments in these issuers, and the financial sector in general,
as reflected in each Fund's schedule of investments, exposes investors to the
negative (or positive) performance resulting from these and other events. U.S.
Government Agency securities and collateral received by the Funds under various
arrangements may include bonds issued by the Federal National Mortgage
Association and the Federal Home Loan Mortgage Corporation.
Short Sales (unaudited) -- As of September 18, 2008, and as subsequently
amended, the Securities and Exchange Commission enacted rules which, among other
things, restrict management's ability to conduct short sales on certain
specified securities issued primarily by financial institutions. Structured
Large Cap Plus' investment strategy includes short exposure and it is possible
that these rules could impact this Fund's ability to execute its investment
strategies. While the impact of the rules is not currently expected to be
material to this Fund or its operations, the ultimate outcome and related impact
to this Fund cannot currently be predicted with certainty. Possible impacts
include a reduced inventory of shares available for borrowing, and increased
transaction costs relating to short selling.
As of July 31, 2008, Lehman Brothers, Inc. served as the primary counterparty
for all short selling agreements in Structured Large Cap Plus. On September 17,
2008, Barclays announced it would acquire Lehman Bothers' North American
investment banking and capital markets operations and supporting infrastructure.
The acquisition is not currently anticipated to significantly impact Fund
operations.
221
Report of Independent Registered Public Accounting Firm
- --------------------------------------------------------------------------------
To the Board of Trustees and
Shareholders of The Fifth Third Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations, of
changes in net assets and of cash flows and the financial highlights present
fairly, in all material respects, the financial position of the Fifth Third
Small Cap Growth Fund, Fifth Third Mid Cap Growth Fund, Fifth Third Quality
Growth Fund, Fifth Third Structured Large Cap Plus Fund, Fifth Third Equity
Index Fund, Fifth Third Micro Cap Value Fund, Fifth Third Small Cap Value Fund,
Fifth Third All Cap Value Fund (formerly Fifth Third Multi Cap Value Fund),
Fifth Third Disciplined Large Cap Value Fund, Fifth Third LifeModel Aggressive
Fund, Fifth Third LifeModel Moderately Aggressive Fund, Fifth Third LifeModel
Moderate Fund, Fifth Third LifeModel Moderately Conservative Fund, Fifth Third
LifeModel Conservative Fund, Fifth Third Strategic Income Fund, Fifth Third
Dividend Growth Fund, Fifth Third International Equity Fund, Fifth Third High
Yield Bond Fund, Fifth Third Total Return Bond Fund (formerly Fifth Third Bond
Fund), Fifth Third Short Term Bond Fund, Fifth Third Municipal Bond Fund, Fifth
Third Intermediate Municipal Bond Fund, Fifth Third Ohio Municipal Bond Fund,
and Fifth Third Michigan Municipal Bond Fund (the "Funds") at July 31, 2008,
the results of their operations for the year then ended, the changes in their
net assets for each of the two years in the period then ended, the cash flows
for the Fifth Third Structured Large Cap Plus Fund for the year then ended, and
the financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at July 31, 2008 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Kansas City, MO
October 1, 2008
222
Fifth Third Funds
Supplemental Information (unaudited)
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS MANAGEMENT^
The Trustees and Officers of the Funds, age, the position they hold with the
Funds, their term of office and length of time served, a description of their
principal occupations during the past five years, the number of portfolios in
the fund complex that the Trustee oversees and any other directorships held by
the Trustee are listed in the two tables immediately following. The business
address of the persons listed below is 38 Fountain Square Plaza, Cincinnati,
Ohio 45202.
Independent Trustees
--------------------
Number of
Portfolios
Position(s) Term of in Fund
Held Office and Complex
Name and with the Length of Principal Occupation(s) Overseen by Other Directorships
Age Funds Time Served During the Past 5 Years Trustee Held by Trustee
- ------------------ -------------- ------------- ------------------------------------- ----------- ------------------------
Edward Burke Carey Chairman-Board Indefinite, Carey Realty Investments, Inc. 31 Canisius College-Trustee
Age: 63 of Trustees January 1989- (real estate development and
Present consulting), President, 1990-Present.
David J. Durham Trustee Indefinite, Chairman of Clipper Products, 31 None
Age: 63 June 2001- Inc., a wholesale distributor,
Present 2005-present. Chairman of
Norris Products Corp., a
wholesale distributor,
2005-present. President and
Chief Executive Officer
of Clipper Products, Inc.,
1997-Present.
J. Joseph Hale Jr. Trustee Indefinite, EVP and Managing Director, 31 Trustee for Hanover
Age: 58 March 2001- DHR International (executive College, National
Present recruiter), April 2007-Present. Underground Freedom
Consultant, Duke Energy Center, The Cincinnati
April 2006-March 2007. Zoo, The Ohio Arts
President, Cinergy Council, The Cincinnati
Foundation, November Parks Foundation and
2001-March 2006. Playhouse in the Park.
John E. Jaymont Trustee Indefinite, AVP, PIANKO, Feb. 2002- 31 Printing Industries of
Age: 63 October 2001- Present. Business America: Web Offset
Present Management Consultant, Assoc., Director; Master
April 2000-February 2002. Printers of America,
Director.
David J. Gruber Trustee Indefinite, President, DJG Financial 31 None
Age: 44 December 2003- Consulting (accounting and
Present finance consultant), June 2007-
Present. Resources Global
Professionals, Project Professional,
December 2004-June 2007. Ohio
Arts & Sports Facilities Commission
(state funding oversight agency),
CFO, April 2003-December 2004.
Ohio Expositions Commission
(state fair and expo center), Finance
Director, April 1996-March 2003.
- ----------
^ Additional disclosures can be found in the Statement of Additional
Information, which can be obtained by calling 1-800-282-5706.
223
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Officers
--------
Name and Position(s) Held Term of Office and Principal Occupation(s)
Age with the Funds Length of Time Served During the Past 5 Years
- -------------------- ---------------------------- --------------------- ------------------------------------------------------
E. Keith Wirtz President Indefinite, President, Fifth Third Asset Management, Inc. 2003-
Age: 48 April 2007- Present, Managing Partner, Paladin Investment
Present Associates, LLC, 2000-2003.
Matthew A. Ebersbach Vice President Indefinite, Vice President of Fifth Third Bank since 2001.
Age: 38 March 2006-
Present
Richard B. Ille Vice President Indefinite, Managing Director, Products and Marketing, Fifth Third
Age: 43 April 2007- Asset Management, Inc., 2001-Present.
Present
James A. Mautino Anti-Money Laundering Indefinite, Vice President and Chief Compliance Officer, Fifth
Age: 40 and Chief Compliance Officer February 2007- Third Asset Management, Inc. August 2005-Present,
Present Director of Risk and Compliance, State Street Bank and
Trust Company, October 1995-July 2005.
Shannon King Treasurer Indefinite, Vice President, Fifth Third Asset Management, Inc.
Age: 36 April 2007- September 2007-Present, Assistant Vice President and
Present Capital Markets Derivative Manager, Fifth Third Bank
2005-2007, Capital Markets Accounting Manager, Fifth
Third Bank 2001-2005.
Matthew A. Swendiman Secretary Indefinite, Vice President and Counsel of Fifth Third Bank, March
Age: 35 March 2008- 2006 to Present. Attorney, Kirkpatrick & Lockhart
Present Nicholson Graham, LLP, May 2005-March 2006. Counsel,
The Phoenix Companies, Inc., July 2002-April 2005.
Assistant Vice President and Assistant Counsel,
Conseco Capital Management, Inc., December 2000-June
2002.
Christopher Roetzer Assistant Treasurer Indefinite, Vice President, State Street Bank and Trust Company (a
Age: 45 June 2007- Massachusetts trust company) from 2004 to Present.
Present Vice President, Assistant Treasurer and Principal
Accounting Officer, IDEX Mutual Funds,
AEGON/Transamerica Series Fund, Inc.; various AEGON
USA affiliates, 1986-2003.
Tracy Kaufman Assistant Treasurer Indefinite, Assistant Vice President State Street Bank and Trust
Age: 49 June 2007- Company (a Massachusetts trust company) from 1986 to
Present Present.
Francine S. Hayes Assistant Secretary Indefinite, Vice President and Counsel, State Street Bank and
Age: 40 June 2007- Trust Company (a Massachusetts trust company) from
Present 2004 to Present; and Assistant Vice President and
Counsel, State Street Bank and Trust Company, from
2001 to 2004.
224
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
ADDITIONAL TAX INFORMATION
For the taxable year ended July 31, 2008, the following percentage of income
dividends paid by the Fund qualify for the dividends received deduction
available to corporations:
Percentage
----------
Small Cap Growth 9%
Mid Cap Growth 27%
Quality Growth 67%
Dividend Growth 100%
Micro Cap Value 73%
Small Cap Value 77%
All Cap Value 100%
Disciplined Large Cap Value 84%
Structured Large Cap Plus 100%
Equity Index 100%
Strategic Income 50%
LifeModel Aggressive(SM) 43%
LifeModel Moderately Aggressive(SM) 26%
LifeModel Moderate(SM) 16%
LifeModel Moderately Conservative(SM) 12%
LifeModel Conservative(SM) 6%
For the fiscal year ended July 31, 2008, certain dividends paid by the Funds are
subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax
Relief Reconciliation Act of 2003. To the extent dividends are paid during the
calendar year 2008, complete information will be reported on shareholders' 2008
Form 1099-DIV. The Funds hereby designate up to the maximum amount allowable as
qualified dividend income for the fiscal year ended July 31, 2008:
Amount
------------
Small Cap Growth $ 766,450
Mid Cap Growth 834,847
Quality Growth 14,187,580
Dividend Growth 263,404
Micro Cap Value 875,659
Small Cap Value 1,761,874
All Cap Value 7,667,022
Disciplined Large Cap Value 17,121,951
Structured Large Cap Plus 1,388,321
Equity Index 6,749,004
International Equity 17,041,717
Strategic Income 4,075,152
LifeModel Aggressive(SM) 2,232,634
LifeModel Moderately Aggressive(SM) 2,867,749
LifeModel Moderate(SM) 3,175,796
LifeModel Moderately Conservative(SM) 469,057
LifeModel Conservative(SM) 142,104
225
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
The Funds designate the following amounts as long term capital gain
distributions qualifying for the maximum 15% income tax rate for individuals.
The amounts designated may not agree with the long term capital gains in the tax
character of distribution table due to utilization of earnings and profits
distributed to shareholders on redemption of shares.
Amount
------------
Small Cap Growth $ 31,126,216
Mid Cap Growth 45,218,701
Quality Growth 67,802,545
Micro Cap Value 22,356,893
Small Cap Value 11,141,924
All Cap Value 41,680,209
Disciplined Large Cap Value 31,674,457
Structured Large Cap Plus 955,083
International Equity 29,974,715
Strategic Income 4,046,949
LifeModel Aggressive(SM) 13,564,253
LifeModel Moderately Aggressive(SM) 21,736,616
LifeModel Moderate(SM) 24,782,374
LifeModel Moderately Conservative(SM) 4,771,242
LifeModel Conservative(SM) 1,227,481
Municipal Bond 87,268
Intermediate Municipal Bond 325,407
Ohio Municipal Bond 391,033
International Equity may elect to pass through to shareholders the income tax
credit for taxes paid to foreign countries. Foreign source income and foreign
tax expense per outstanding share on July 31, 2008 are as follows:
Foreign Foreign
Source Tax
Income Expense
------- -------
International Equity $0.62 $0.03
If elected, the pass-through of the foreign tax credit will affect only those
persons who are shareholders on the dividend record date in December 2008. These
shareholders will receive more detailed information along with their 2008 Form
1099-DIV.
The tax-exempt percentage of ordinary income and short-term capital gain
distributions paid during fiscal year 2008 was as follows:
Percentage
----------
Municipal Bond 96%
Intermediate Municipal Bond 96%
Ohio Municipal Bond 99%
Michigan Municipal Bond 100%
226
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
RESULTS OF SHAREHOLDER PROXY
At a special meeting of shareholders of the Fifth Third Technology Fund (the
"Technology Fund"), a series of the Fifth Third Funds (the "Trust") held on
November 16, 2007, the results of the proposal were as follows:
Proposal: To approve an Agreement and Plan of Reorganization providing for the
transfer of all of the assets of the Technology Fund to the Fifth Third Mid Cap
Growth Fund.
Votes
-------------------------------
Affirmative 2,620,763
Against 89,518
Abstain 179,827
Broker non-votes 0
At a special meeting of shareholders of the Fifth Third Intermediate Bond Fund
(the "Intermediate Bond Fund"), a series of the Fifth Third Funds (the "Trust")
held on November 16, 2007, the results of the proposal were as follows:
Proposal: To approve an Agreement and Plan of Reorganization providing for the
transfer of all of the assets of the Intermediate Bond Fund to the Fifth Third
Bond Fund.
Votes
-------------------------------
Affirmative 27,361,756
Against 373,776
Abstain 17,461
Broker non-votes 0
At a special meeting of shareholders of the Fifth Third U.S. Government Bond
Fund (the "U.S. Government Bond Fund"), a series of the Fifth Third Funds (the
"Trust") held on November 16, 2007, the results of the proposal were as follows:
Proposal: To approve an Agreement and Plan of Reorganization providing for the
transfer of all of the assets of the U.S. Government Bond Fund to the Fifth
Third Bond Fund.
Votes
-------------------------------
Affirmative 1,858,650
Against 103,918
Abstain 12,141
Broker non-votes 0
227
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
At a special meeting of shareholders of the Fifth Third Balanced Fund (the
"Balanced Fund"), a series of the Fifth Third Funds (the "Trust") held on
February 22, 2008, the results of the proposal were as follows:
Proposal: To approve an Agreement and Plan of Reorganization providing for the
transfer of all of the assets of the Balanced Fund to the Fifth Third Quality
Growth Fund.
Votes
-------------------------------
Affirmative 1,801,403
Against 285,719
Abstain 33,573
Broker non-votes 0
228
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
EXPENSE EXAMPLE
As a shareholder of the Fifth Third Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; and (2)
ongoing costs, including management fees; distribution and/or service 12b-1
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fifth Third Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from February 1, 2008 through July 31,
2008.
Actual Expenses
The table below provides information about actual account values and actual
expenses. You may use the information below, 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, and $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $ 990.20 $ 4.95 1.00%
Class A Shares 1,000.00 986.90 6.18 1.25%
Class B Shares 1,000.00 984.40 9.92 2.01%
Class C Shares 1,000.00 984.40 9.92 2.01%
Mid Cap Growth Institutional Shares 1,000.00 949.50 5.28 1.09%
Class A Shares 1,000.00 948.40 6.44 1.33%
Class B Shares 1,000.00 945.40 10.06 2.08%
Class C Shares 1,000.00 944.50 10.06 2.08%
Quality Growth Institutional Shares 1,000.00 1,005.60 5.29 1.06%
Class A Shares 1,000.00 1,001.60 6.52 1.31%
Class B Shares 1,000.00 1,000.70 10.25 2.06%
Class C Shares 1,000.00 1,002.70 10.26 2.06%
Dividend Growth Institutional Shares 1,000.00 943.40 3.48 0.73%
Class A Shares 1,000.00 942.30 4.73 0.98%
Class B Shares 1,000.00 938.40 8.34 1.73%
Class C Shares 1,000.00 936.80 8.33 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,018.80 6.73 1.34%
Class A Shares 1,000.00 1,018.00 7.98 1.59%
Class B Shares 1,000.00 1,012.80 11.76 2.35%
Class C Shares 1,000.00 1,016.00 11.78 2.35%
Small Cap Value Institutional Shares 1,000.00 1,024.00 6.04 1.20%
Class A Shares 1,000.00 1,022.50 7.29 1.45%
Class B Shares 1,000.00 1,018.30 11.04 2.20%
Class C Shares 1,000.00 1,018.40 11.04 2.20%
Alli Cap Value Institutional Shares 1,000.00 902.20 5.63 1.19%
Class A Shares 1,000.00 901.40 6.76 1.43%
Class B Shares 1,000.00 898.20 10.29 2.18%
Class C Shares 1,000.00 898.10 10.34 2.19%
Disciplined Large Cap Value Institutional Shares 1,000.00 915.40 4.81 1.01%
Class A Shares 1,000.00 914.60 6.00 1.26%
Class B Shares 1,000.00 910.80 9.55 2.01%
Class C Shares 1,000.00 910.50 9.55 2.01%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
229
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Structured Large Cap Plus Institutional Shares $1,000.00 $ 931.90 $ 4.42 0.92%
Class A Shares 1,000.00 930.30 5.62 1.17%
Class B Shares 1,000.00 926.70 9.20 1.92%
Class C Shares 1,000.00 926.70 9.25 1.93%
Equity Index Institutional Shares 1,000.00 928.30 0.91 0.19%
Class A Shares 1,000.00 927.20 2.11 0.44%
Class B Shares 1,000.00 923.70 5.69 1.19%
Class C Shares 1,000.00 923.50 5.69 1.19%
Select shares 1,000.00 928.20 1.29 0.27%
Preferred Shares 1,000.00 927.90 1.63 0.34%
Trust Shares 1,000.00 927.00 2.11 0.44%
International Equity Institutional Shares 1,000.00 911.40 5.75 1.21%
Class A Shares 1,000.00 910.60 6.94 1.46%
Class B Shares 1,000.00 906.70 10.48 2.21%
Class C Shares 1,000.00 907.00 10.48 2.21%
Strategic Income Institutional Shares 1,000.00 904.50 4.55 0.96%
Class A Shares 1,000.00 904.00 5.73 1.21%
Class B Shares 1,000.00 900.70 9.26 1.96%
Class C Shares 1,000.00 900.90 9.26 1.96%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 943.00 0.39 0.08%
Class A Shares 1,000.00 942.00 1.59 0.33%
Class B Shares 1,000.00 938.50 5.21 1.08%
Class C Shares 1,000.00 939.10 5.21 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 946.80 0.39 0.08%
Class A Shares 1,000.00 946.20 1.60 0.33%
Class B Shares 1,000.00 942.90 5.22 1.08%
Class C Shares 1,000.00 942.90 5.22 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 950.50 0.39 0.08%
Class A Shares 1,000.00 949.10 1.60 0.33%
Class B Shares 1,000.00 946.40 5.23 1.08%
Class C Shares 1,000.00 945.60 5.22 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 954.20 0.39 0.08%
Class A Shares 1,000.00 951.90 1.60 0.33%
Class B Shares 1,000.00 948.50 5.23 1.08%
Class C Shares 1,000.00 948.50 5.23 1.08%
LifeModel Conservative(SM) Institutional Shares 1,000.00 955.30 0.39 0.08%
Class A Shares 1,000.00 953.90 1.60 0.33%
Class B Shares 1,000.00 949.40 5.23 1.08%
Class C Shares 1,000.00 949.50 5.23 1.08%
High Yield Bond Institutional Shares 1,000.00 1,004.10 3.69 0.74%
Class A Shares 1,000.00 1,003.00 4.93 0.99%
Class B Shares 1,000.00 999.60 8.65 1.74%
Class C Shares 1,000.00 999.60 8.65 1.74%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
230
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Total Return Bond Institutional Shares $1,000.00 $ 939.80 $ 3.23 0.67%
Class A Shares 1,000.00 939.80 4.44 0.92%
Class B Shares 1,000.00 935.80 8.09 1.68%
Class C Shares 1,000.00 935.80 8.09 1.68%
Short Term Bond Institutional Shares 1,000.00 995.30 3.18 0.64%
Class A Shares 1,000.00 995.30 4.42 0.89%
Class C Shares 1,000.00 991.10 8.12 1.64%
Municipal Bond Institutional Shares 1,000.00 990.20 3.02 0.61%
Class A Shares 1,000.00 989.20 4.25 0.86%
Class B Shares 1,000.00 985.80 7.95 1.61%
Class C Shares 1,000.00 985.00 7.95 1.61%
Intermediate Municipal Bond Institutional Shares 1,000.00 992.00 3.17 0.64%
Class A Shares 1,000.00 990.90 4.41 0.89%
Class B Shares 1,000.00 990.90 4.41 0.89%
Class C Shares 1,000.00 986.80 8.10 1.64%
Ohio Municipal Bond Institutional Shares 1,000.00 993.90 3.92 0.79%
Class A Shares 1,000.00 991.80 5.15 1.04%
Class B Shares 1,000.00 989.30 8.85 1.79%
Class C Shares 1,000.00 989.40 8.85 1.79%
Michigan Municipal Bond Institutional Shares 1,000.00 999.60 3.38 0.68%
Class A Shares 1,000.00 998.90 4.13 0.83%
Class B Shares 1,000.00 994.30 8.33 1.68%
Class C Shares 1,000.00 994.30 8.33 1.68%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
231
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and
hypothetical expenses based on each Fifth Third Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may however use this information to compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Small Cap Growth Institutional Shares $1,000.00 $1,019.89 $ 5.02 1.00%
Class A Shares 1,000.00 1,018.65 6.27 1.25%
Class B Shares 1,000.00 1,014.87 10.07 2.01%
Class C Shares 1,000.00 1,014.87 10.07 2.01%
Mid Cap Growth Institutional Shares 1,000.00 1,019.44 5.47 1.09%
Class A Shares 1,000.00 1,018.25 6.67 1.33%
Class B Shares 1,000.00 1,014.52 10.42 2.08%
Class C Shares 1,000.00 1,014.52 10.42 2.08%
Quality Growth Institutional Shares 1,000.00 1,019.59 5.32 1.06%
Class A Shares 1,000.00 1,018.35 6.57 1.31%
Class B Shares 1,000.00 1,014.62 10.32 2.06%
Class C Shares 1,000.00 1,014.62 10.32 2.06%
Dividend Growth Institutional Shares 1,000.00 1,021.28 3.62 0.73%
Class A Shares 1,000.00 1,019.99 4.92 0.98%
Class B Shares 1,000.00 1,016.26 8.67 1.73%
Class C Shares 1,000.00 1,016.26 8.67 1.73%
Micro Cap Value Institutional Shares 1,000.00 1,018.20 6.72 1.34%
Class A Shares 1,000.00 1,016.96 7.97 1.59%
Class B Shares 1,000.00 1,013.18 11.76 2.35%
Class C Shares 1,000.00 1,013.18 11.76 2.35%
Small Cap Value Institutional Shares 1,000.00 1,018.90 6.02 1.20%
Class A Shares 1,000.00 1,017.65 7.27 1.45%
Class B Shares 1,000.00 1,013.92 11.02 2.20%
Class C Shares 1,000.00 1,013.92 11.02 2.20%
All Cap Value Institutional Shares 1,000.00 1,018.95 5.97 1.19%
Class A Shares 1,000.00 1,017.75 7.17 1.43%
Class B Shares 1,000.00 1,014.02 10.92 2.18%
Class C Shares 1,000.00 1,013.97 10.97 2.19%
Disciplined Large Cap Value Institutional Shares 1,000.00 1,019.84 5.07 1.01%
Class A Shares 1,000.00 1,018.60 6.32 1.26%
Class B Shares 1,000.00 1,014.87 10.07 2.01%
Class C Shares 1,000.00 1,014.87 10.07 2.01%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
232
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Structured Large Cap Plus Institutional Shares $1,000.00 $1,020.29 $ 4.62 0.92%
Class A Shares 1,000.00 1,019.05 5.87 1.17%
Class B Shares 1,000.00 1,015.32 9.62 1.92%
Class C Shares 1,000.00 1,015.27 9.67 1.93%
Equity Index Institutional Shares 1,000.00 1,023.92 0.96 0.19%
Class A Shares 1,000.00 1,022.68 2.21 0.44%
Class B Shares 1,000.00 1,018.95 5.97 1.19%
Class C Shares 1,000.00 1,018.95 5.97 1.19%
Select shares 1,000.00 1,023.52 1.36 0.27%
Preferred Shares 1,000.00 1,023.17 1.71 0.34%
Trust Shares 1,000.00 1,022.68 2.21 0.44%
International Equity Institutional Shares 1,000.00 1,018.85 6.07 1.21%
Class A Shares 1,000.00 1,017.60 7.32 1.46%
Class B Shares 1,000.00 1,013.87 11.07 2.21%
Class C Shares 1,000.00 1,013.87 11.07 2.21%
Strategic Income Institutional Shares 1,000.00 1,020.09 4.82 0.96%
Class A Shares 1,000.00 1,018.85 6.07 1.21%
Class B Shares 1,000.00 1,015.12 9.82 1.96%
Class C Shares 1,000.00 1,015.12 9.82 1.96%
LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,024.47 0.40 0.08%
Class A Shares 1,000.00 1,023.27 1.66 0.33%
Class B Shares 1,000.00 1,019.49 5.42 1.08%
Class C Shares 1,000.00 1,019.49 5.42 1.08%
LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,024.47 0.40 0.08%
Class A Shares 1,000.00 1,023.22 1.66 0.33%
Class B Shares 1,000.00 1,019.49 5.42 1.08%
Class C Shares 1,000.00 1,019.49 5.42 1.08%
LifeModel Moderate(SM) Institutional Shares 1,000.00 1,024.47 0.40 0.08%
Class A Shares 1,000.00 1,023.27 1.66 0.33%
Class B Shares 1,000.00 1,019.49 5.42 1.08%
Class C Shares 1,000.00 1,019.49 5.42 1.08%
LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,024.47 0.40 0.08%
Class A Shares 1,000.00 1,023.22 1.66 0.33%
Class B Shares 1,000.00 1,019.49 5.42 1.08%
Class C Shares 1,000.00 1,019.49 5.42 1.08%
LifeModel Conservative(SM) Institutional Shares 1,000.00 1,024.47 0.40 0.08%
Class A Shares 1,000.00 1,023.22 1.66 0.33%
Class B Shares 1,000.00 1,019.49 5.42 1.08%
Class C Shares 1,000.00 1,019.49 5.42 1.08%
High Yield Bond Institutional Shares 1,000.00 1,021.18 3.72 0.74%
Class A Shares 1,000.00 1,019.94 4.97 0.99%
Class B Shares 1,000.00 1,016.21 8.72 1.74%
Class C Shares 1,000.00 1,016.21 8.72 1.74%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
233
Fifth Third Funds
Supplemental Information (unaudited), continued
- --------------------------------------------------------------------------------
Expense Expense
Beginning Ending Paid Ratio
Account Account During During
Value Value Period* Period
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
--------- --------- ---------------- ----------------
Total Return Bond Institutional Shares $1,000.00 $1,021.53 $3.37 0.67%
Class A Shares 1,000.00 1,020.29 4.62 0.92%
Class B Shares 1,000.00 1,016.51 8.42 1.68%
Class C Shares 1,000.00 1,016.51 8.42 1.68%
Short Term Bond Institutional Shares 1,000.00 1,021.68 3.22 0.64%
Class A Shares 1,000.00 1,020.44 4.47 0.89%
Class C Shares 1,000.00 1,016.71 8.22 1.64%
Municipal Bond Institutional Shares 1,000.00 1,021.83 3.07 0.61%
Class A Shares 1,000.00 1,020.59 4.32 0.86%
Class B Shares 1,000.00 1,016.86 8.07 1.61%
Class C Shares 1,000.00 1,016.86 8.07 1.61%
Intermediate Municipal Bond Institutional Shares 1,000.00 1,021.68 3.22 0.64%
Class A Shares 1,000.00 1,020.44 4.47 0.89%
Class B Shares 1,000.00 1,020.44 4.47 0.89%
Class C Shares 1,000.00 1,016.71 8.22 1.64%
Ohio Municipal Bond Institutional Shares 1,000.00 1,020.93 3.97 0.79%
Class A Shares 1,000.00 1,019.69 5.22 1.04%
Class B Shares 1,000.00 1,015.96 8.97 1.79%
Class C Shares 1,000.00 1,015.96 8.97 1.79%
Michigan Municipal Bond Institutional Shares 1,000.00 1,021.48 3.42 0.68%
Class A Shares 1,000.00 1,020.79 4.17 0.83%
Class B Shares 1,000.00 1,016.51 8.42 1.68%
Class C Shares 1,000.00 1,016.51 8.42 1.68%
- ----------
* Expenses are equal to the average account value times the Fund's
annualized expense ratio multiplied by the number of days in the most
recent fiscal half-year divided by the number of days in the fiscal year.
234
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Addresses
- --------------------------------------------------------------------------------
Fifth Third Funds Fifth Third Funds
38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Investment Advisor, Administrator Fifth Third Asset Management, Inc.
and Accountant 38 Fountain Square Plaza
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Sub-Advisor (High Yield Bond) Fort Washington Investment
Advisors, Inc.
420 East Fourth Street
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
Distributor FTAM Funds Distributor, Inc.
1290 Broadway, Suite 1100
Denver, Colorado 80203
- --------------------------------------------------------------------------------
Custodian, Sub-Accountant and State Street Bank and Trust Company
Sub-Administrator 801 Pennsylvania Avenue
Kansas City, Missouri 64105
- --------------------------------------------------------------------------------
Transfer and Dividend Disbursing Agent Boston Financial Data Services, Inc.
30 Dan Road
Canton, Massachusetts 02021
- --------------------------------------------------------------------------------
Independent Registered Public PricewaterhouseCoopers LLP
Accounting Firm 1055 Broadway, 10th Floor
Kansas City, MO 64105
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Advised by
[LOGO]
FIFTH THIRD ASSET MANAGEMENT
[GRAPHIC] BEYOND THE TRADITIONAL
1-800-282-5706
FTF1358 073109 AR-STBD-08
9/08
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS
2008 MONEY MARKET MUTUAL FUNDS
Annual Report to Shareholders
July 31, 2008
Advised by FTAM
FIFTH THIRD ASSET MANAGEMENT
NOTICE OF DELIVERY OF PROSPECTUSES,
SEMI-ANNUAL REPORTS AND ANNUAL REPORTS
In order to reduce expenses of the Fifth Third Funds incurred in connection with
the mailing of prospectuses, prospectus supplements, semi-annual reports and
annual reports to multiple shareholders at the same address, Fifth Third Funds
may in the future deliver one copy of a prospectus, prospectus supplement,
semi-annual report or annual report to a single investor sharing a street
address or post office box with other investors, provided that all such
investors have the same last name or are believed to be members of the same
family. If you share an address with another investor and wish to receive your
own prospectus, prospectus supplements, semi-annual reports and annual reports,
please call the Trust toll-free at 1-800-282-5706.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by a prospectus for the Funds, which contains facts
concerning the objectives and policies, management fees, expenses and other
information.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to the portfolio securities and information regarding
how the Funds voted relating to portfolio securities during the most recent
12-month period ended June 30 is available without charge, upon request, on the
Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on
the Securities and Exchange Commission's website at http://www.sec.gov.
Schedules of Investments for periods ending April 30 and October 31 are
available, without charge, on the Securities and Exchange Commission's website
at http://www.sec.gov. They may be viewed at the SEC's Public Reference Room in
Washington, D.C. (information on the operation of the Public Reference Room may
be obtained by calling 800.SEC.0330).
Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA.
FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth
Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management,
Inc. serves as Investment Adviser to Fifth Third Funds and receives a fee for
its services.
FIFTH THIRD FUNDS, LIKE ALL MUTUAL FUNDS:
o ARE NOT FDIC INSURED
o HAVE NO BANK GUARANTEE
o MAY LOSE VALUE
TABLE OF CONTENTS OUR MESSAGE TO YOU
Economic Outlook and
Commentary Section ................ 1
Manager Commentary ................... 3
Schedules of Investments ............. 5
Statements of Assets
and Liabilities ................... 32
Statements of Operations ............. 34
Statements of Changes
in Net Assets ..................... 36
Financial Highlights ................. 40
Notes to Financial Statements ........ 46
Report of Independent Registered
Public Accounting Firm ............ 55
Supplemental Information ............. 56
The past fiscal year proved trying for equity and fixed income markets alike,
generating losses for investors worldwide, including many Fifth Third Funds
shareholders.
In the weeks following the close of the fiscal year, dramatic volatility,
particularly in the financial sector, continued to disrupt equity and fixed
income markets. The bailouts of government-sponsored enterprises such as Freddie
Mac and Fannie Mae, coupled with the bankruptcy of Lehman Brothers Holdings and
issues with other entities such as insurer American International Group, rattled
confidence in the entire financial system, which heightened anxieties. During
such periods of uncertainty, your Fifth Third Funds portfolio managers steadily
monitor developments and revisit all holdings to ensure that fundamentals remain
sound and our reasons for investing still ring true, regardless of the broader
market's actions.
Returning to the time frame covered by this annual report - the 12-month period
ending July 31, 2008 - stock market losses were considerable, including:
o A 11.09% decline for the S&P 500 Index of large cap stocks.
o A 4.96% decline for the S&P 400 Index of mid cap stocks.
o A 8.28% decline for the S&P 600 Index of small cap stocks.
o A 12.19% decline for the MSCI EAFE Index of international stocks.
Few corners of the market were spared from the broad-based selloff as the U.S.
contended with a slowing economy, tumbling housing market and rising
inflationary pressures. Growth stocks generally outperformed value holdings
during the period and investors tended to avoid companies with any hint of a
problem. Globally, developing economies generally benefited from soaring
commodity prices and in turn, emerging market stocks outperformed those from
established economies during the 12-month period.
We know periods such as these can be discouraging for investors of all stripes,
as no one enjoys seeing hard-earning savings eroded by market forces. But in the
face of such turmoil, we believe it is important to remember the value of a
well-diversified portfolio to help mitigate volatility in near-term storms.
Taking a step back, a number of factors contributed to the financial market's
malaise during the fiscal year, including:
1. The dramatic downturn in the financials sector, fueled by collapsing debt
markets, a deteriorating housing industry and a wide-scale push to raise
capital. After feasting on cheap credit and growing increasingly sloppy
with lending standards over the past few years, many banks had their
comeuppance during the period and struggled with plummeting share prices.
2. Credit market woes. From municipal market issues to high yield bonds, fixed
income investments saw minimal appreciation - if any - during the period.
Much of the performance stemmed from a wide-scale aversion to risk, which
started in the mortgage-related securities and spread to asset-backed and
corporate bonds. With little discrimination between varied quality
profiles, we believe that the broad downturn potentially resulted in
attractive opportunities for long-term investors to add high quality bonds
on the cheap.
3. Spiking commodity prices. As oil surged to more than $140 a barrel, grains
climbed to new highs and raw materials soared, inflationary concerns swept
across the globe. Driven in part by strong demand from developing
economies, the rising prices propped up costs on everything from breakfast
cereal to jet fuel.
4. The U.S. economic slowdown. As housing values kept retreating and gasoline
prices marched steadily higher, consumer confidence eroded through the
latter portion of the period. The Federal Reserve responded by slashing its
key lending rate from 5.25% to 2.00% over the 12-month period. Risk-averse
financial institutions scaled back credit operations none the less. The
economic stimulus payments distributed during the summer provided a lift in
consumer spending, but the long-term effect remains unclear.
5. Reasonably sound corporate profit growth. Aside from the well-documented
challenges facing the financials sector, many U.S. corporations reported
relatively healthy financial results, especially those with exposure to
international markets. But since most equities were
1
painted with a negative brush during the market's retreat, FTAM believes
historically low price-to-earnings ratios on some stocks potentially
indicated attractive entry points in some cases.
6. Enduring economic growth rates around the world. Despite modest slowdowns
and rising prices in 2008, many global economies remained generally robust
during the period. Most remarkable was the performance of developing
countries, which didn't collapse as soon as warning flags emerged in
well-established economies. Instead, solid contributions from energy and
materials producers buffered the emerging markets sector.
Within the bond market, U.S. Treasury issues benefited from a general flight to
quality and led the way during the 12-month period covered by this annual
report. Riskier securities lagged significantly, with bonds tied to subprime
mortgages trailing the market. Municipal bonds also slid as monoline insurers,
which back debt issued by less-stable municipalities, sustained rating
downgrades during the period. Cash investments contended with shrinking yields
as the Federal Reserve trimmed its key lending rate from 5.25% to 2.00% over the
12-month period. While long-term interest rates fluctuated during the period,
the U.S. Treasury yield curve steepened, with short-term yields falling farther
than long-term rates.
Although markets have struggled during the past 12 months, we believe
investments in higher quality instruments may offer opportunities to benefit
once the markets begin to recover.
Packed with high quality stocks and bonds supported by solid fundamentals, we
believe the family of Fifth Third Funds is well-positioned to weather the
current turbulence. Enhancing my optimism is my belief that the Fifth Third
portfolio managers are committed to seeking out the market's true drivers -
today and down the road.
Looking ahead, our expectations on the macro front include:
o We predict no further rate cuts by the Federal Reserve in 2008.
o We predict U.S. economic growth conditions slowing in the second half of
2008. We expect increased anxiety about an actual contraction in the
economy during early 2009.
o We predict all troubles lead to housing. We expect near-term weakness, but
our early 2009 thoughts are potentially more positive at present. We
believe we may be close to the bottom.
o We predict global economic growth around 4% for 2008, although the economic
climate is slowing worldwide.
o Absent financials, which have pushed the average earnings results into
negative territory, we predict respectable profit growth among U.S.
corporations with annual earnings per share figures rising about 8%.
o We predict a rebound in the value of the U.S. dollar.
o We predict a possible restoration of traditional risk-reward profiles in
the fixed income market.
In closing, market developments since the fiscal year's start on August 1, 2007,
have been challenging and investors' patience has been tested. More successful
investors, however, tend to recognize that markets swing both up and down and
recognize the importance of an overall well-diversified investment portfolio to
help achieve their invesment goal. Importantly, our holdings are quality
oriented and reflect strong fundamentals. Knowing from past experience that such
stocks and bonds historically lead the market, I am confident that your patience
in our Funds will ultimately be rewarded.
Thank you for your confidence in Fifth Third Funds.
/s/ Keith Wirtz
Keith Wirtz, CFA
Chief Investment Officer
(1)TERMS AND DEFINITIONS
- --------------------------------------------------------------------------------
The Standard & Poor's 500 Stock Index ("S&P 500 Index") is an index of 500
selected common stocks, most of which are listed on the New York Stock Exchange,
and is a measure of the U.S. stock market as a whole.
The Standard and Poor's MidCap 400 Index ("S&P 400 Index") is an index of 400
selected common stocks that tracks U.S. firms with market capitalizations of
$1.5 billion to $5.5 billion.
The Standard and Poor's SmallCap 600 Index ("S&P 600 Index") is an index of 600
selected common stocks that tracks U.S. firms with market capitalizations of
$300 million to $2 billion.
The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East
(EAFE)(R) Index is generally representative of a sample of companies of the
market structure of 20 European and Pacific Basin countries.
The above indices do not reflect the deduction of fees associated with a mutual
fund such as investment management and fund accounting fees. Investors cannot
invest directly in an index, although they can invest in its underlying
securities.
2
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
MONEY MARKET FUNDS
For the 12-month period ending July 31, 2008, the Fifth Third Money Market Funds
experienced steadily declining yields on an absolute basis. The descent resulted
primarily from an easing monetary policy in which the Federal Reserve's Federal
Open Market Committee (FOMC) cut the Federal Funds target rate seven times,
moving from 5.25% to 2.00% over the 12-month period.
Challenging financial and economic conditions throughout the period resulted in
significant stress for the financial services industry. In an effort to restore
capital market liquidity, the FOMC and Federal Reserve Chairman Ben Bernanke
aggressively lowered short-term interest rates and initiated a number of other
measures. Though these efforts lowered benchmark U.S. Treasury interest rates,
they had a muted impact on liquidity and the broader fixed income market. At the
period's end, the FOMC appeared focused on elevated inflation expectations as
well as the downside risks to economic growth due to the threat of continued
weakness in the housing and labor markets.
A longer duration+ strategy designed to capture additional yield proved
beneficial for the Funds as interest rates declined following the multiple
reductions in the Federal Funds target rate. The taxable Money Market Funds
continued to heavily utilize more traditional, liquid money market securities
such as commercial paper, U.S. government agency discount notes and repurchase
agreements, particularly in the Fifth Third U.S. Treasury Money Market Fund and
the Fifth Third Institutional Government Money Market Fund. The Funds benefited
from the active duration management and higher yields on floating interest rate
securities. Furthermore, the additional liquidity allowed the Funds to readily
cope with volatile cash flows.
The Fifth Third Institutional Money Market and Fifth Third Prime Money Market
Funds maintained a conservative orientation with continued emphasis on high
quality security selection to achieve the principal preservation objective.
Specifically, the Funds maintained no exposure to many of the problematic
structures such as collateralized debt obligations (CDOs), structured investment
vehicles (SIVs), and securities backed by subprime mortgages.
Concerns over monoline insurers, which back certain municipal bonds, plagued
municipal money markets for much of the period, resulting in greater demand for
securities from higher quality issuers. In addition, market demand for money
market investments increased further amid dramatic volatility in the equity and
fixed income markets. In turn, both the Fifth Third Municipal Money Market Fund
and the Fifth Third Michigan Municipal Money Market Fund faced difficulties in
maintaining average maturities either in line or slightly longer than the
iMoneyNet peer group.
Managed conservatively, both Funds consisted of about 80% weekly and daily
floater programs, most of which were backed by letters of credit. The balance
generally consisted of commercial paper, notes and bonds that have a final
maturity within 397 days. To capture slightly higher yields, the Funds sought
smaller issues, which tend to be subject to lighter demand, although supply for
Michigan-specific issues remained tight.
+ Duration is the weighted average maturity of a bond's cash flows.
MATURITY COMPOSITION AS OF JULY 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Weighted Average Maturity#
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DAYS DAYS
AS OF 1/31/08 AS OF 7/31/08
- --------------------------------------------------------------------------------
Fifth Third Prime 47 48
Money Market
- --------------------------------------------------------------------------------
Fifth Third Institutional 47 47
MoneyMarket
- --------------------------------------------------------------------------------
Fifth Third Institutional 52 58
Government Money
Market
- --------------------------------------------------------------------------------
Fifth Third U.S. Treasury 30 31
Money Market
- --------------------------------------------------------------------------------
Fifth Third Michigan 19 20
Municipal Money
Market
- --------------------------------------------------------------------------------
Fifth Third Municipal 19 16
Money Market
- --------------------------------------------------------------------------------
# Portfolio composition is subject to change.
INVESTMENT RISK CONSIDERATIONS
- --------------------------------------------------------------------------------
An investment in any of the funds is not insured or guaranteed by the FDIC or
any government agency. Although each money market fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in a money market fund.
(1) The Fifth Third Michigan Municipal Money Market Fund's income may be subject
to certain state and local taxes and, depending on one's tax status, the federal
alternative minimum tax. Single state funds may be subject to additional risk,
since issuers they invest in are more likely to be subject to the same political
and/or economic risks.
3
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
MONEY MARKET MATURITY SCHEDULES (AS OF JULY 31, 2008)
- --------------------------------------------------------------------------------
as a percentage of value of investments
INSTITUTIONAL MICHIGAN
PRIME INSTITUTIONAL GOVERNMENT U.S. TREASURY MUNICIPAL MUNICIPAL
MONEY MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET MARKET
- ------------------------------------------------------------------------------------------------------------------------------------
Fewer than 8 Days 46.5% 45.9% 36.6% 75.8% 90.3% 91.5%
- ------------------------------------------------------------------------------------------------------------------------------------
8 to 14 Days 1.6% 2.1% 2.1% 0.0% 0.0% 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
15 to 30 Days 13.8% 12.4% 13.7% 2.4% 1.2% 1.7%
- ------------------------------------------------------------------------------------------------------------------------------------
31 to 180 Days 31.6% 34.8% 40.3% 16.4% 4.2% 5.4%
- ------------------------------------------------------------------------------------------------------------------------------------
181 to 365 Days 6.5% 4.8% 7.3% 5.4% 4.3% 1.4%
- ------------------------------------------------------------------------------------------------------------------------------------
366 to 397 Days 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
4
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
CORPORATE BONDS (19.8%)
COMMERCIAL BANKS-CENTRAL U.S. (3.6%)
US Bank NA, 4.40%, 8/15/08 $ 8,310,000 $ 8,307,933
US Bank NA, 2.78%, 9/3/08 10,000,000 10,000,000
US Bank NA, 2.82%, 10/21/08 25,000,000 25,000,000
US Bank NA, 2.95%, 4/27/09 15,000,000 15,000,000
------------
58,307,933
------------
COMPUTERS (0.5%)
International Business Machines
Corp., 4.38%, 6/1/09 7,423,000 7,502,512
------------
COSMETICS & TOILETRIES (0.9%)
Procter & Gamble Co., 3.50%,
12/15/08 15,000,000 15,027,200
------------
DIVERSIFIED FINANCIAL SERVICES (3.3%)
General Electric Capital Corp.,
2.53%, 8/22/08 (a) (d) 5,000,000 4,999,999
General Electric Capital Corp.,
2.88%, 9/15/08 (a) (d) 5,000,000 4,999,540
General Electric Capital Corp.,
3.60%, 10/15/08 7,500,000 7,495,790
General Electric Capital Corp.,
4.00%, 2/17/09 5,000,000 5,027,458
General Electric Capital Corp.,
3.13%, 4/1/09 5,000,000 5,004,651
General Electric Capital Corp.,
4.00%, 6/15/09 8,000,000 8,057,375
IBM International Group Capital LLC,
3.13%, 10/29/08 (a) (d) 17,930,000 17,990,304
------------
53,575,117
------------
FIDUCIARY BANKS (0.6%)
Mellon Funding Corp., 3.25%,
4/1/09 10,000,000 10,011,697
------------
FINANCE-CONSUMER LOANS (0.6%)
HSBC Finance Corp., Series EXL,
2.48%, 8/7/08 (a) (d) 10,000,000 10,000,000
------------
FINANCE-INVESTMENT BANKER/BROKER (1.6%)
Bear Stearns Cos., Inc. (The), 2.56%,
8/7/08 (a) (d) 20,000,000 20,000,000
Credit Suisse USA, Inc., 3.88%,
1/15/09 5,819,000 5,835,009
------------
25,835,009
------------
INTEGRATED OIL & GAS (1.4%)
BP Capital Markets PLC, 2.79%,
9/11/08 (a) (d) 15,000,000 15,000,000
Texaco Capital, Inc., 5.50%, 1/15/09 7,500,000 7,587,006
------------
22,587,006
------------
MEDICAL-DRUGS (0.3%)
Abbott Laboratories, 5.38%,
5/15/09 5,000,000 5,094,740
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
CORPORATE BONDS, CONTINUED
RETAIL (0.5%)
Wal-Mart Stores, Inc., 3.38%,
10/1/08 $ 7,640,000 $ 7,632,077
------------
SPECIAL PURPOSE ENTITY (1.3%)
Florida Hurricane Catastrophe Fund,
Series 2006-B, 2.67%, 8/15/08 (a) (d) 10,000,000 9,975,796
Florida Hurricane Catastrophe Fund,
Series 2006-B, 2.67%, 8/15/08 (a) (d) 12,000,000 12,000,000
------------
21,975,796
------------
SUPER-REGIONAL BANKS-U.S. (5.2%)
Bank One Corp., 6.00%, 8/1/08 13,534,000 13,534,000
SunTrust Banks, Inc., 4.00%, 10/15/08 6,190,000 6,192,269
Wachovia Bank NA, 2.12%,
8/1/08 (a) (d) 5,000,000 4,994,276
Wachovia Bank NA, 2.76%,
10/3/08 (a) (d) 12,000,000 12,001,649
Wachovia Corp., 3.63%, 2/17/09 1,707,000 1,708,774
Wells Fargo & Co., 2.61%,
8/15/08 (a) (d) 25,000,000 25,000,000
Wells Fargo & Co., 4.00%, 8/15/08 6,300,000 6,299,467
Wells Fargo & Co., 3.13%, 4/1/09 13,207,000 13,209,991
------------
82,940,426
------------
TOTAL CORPORATE BONDS 320,489,513
------------
FOREIGN BONDS (2.7%)
COMMERCIAL BANKS-EASTERN U.S. (1.3%)
Deutsche Bank AG, 2.27%,
8/1/08 (a) (d) 15,000,000 15,000,000
Deutsche Bank AG, 2.46%,
8/9/08 (a) (d) 5,000,000 4,994,967
------------
19,994,967
------------
COMMERCIAL BANKS NON-U.S. (0.9%)
BNP Paribas, 2.90%, 8/13/08 (a) (d) 15,000,000 15,000,000
------------
SPECIAL PURPOSE ENTITY (0.5%)
Procter & Gamble International
Funding SCA, 2.79%, 8/19/08 (a) (d) 8,000,000 8,000,000
------------
TOTAL FOREIGN BONDS 42,994,967
------------
U.S. GOVERNMENT AGENCIES (6.5%)
FANNIE MAE (0.6%)
5.25%, 1/15/09 10,000,000 10,109,766
------------
FEDERAL HOME LOAN BANK (5.4%)
2.33%, 8/7/08 ** 25,000,000 24,990,292
2.56%, 8/20/08 (a) (d) 8,000,000 8,000,000
3.88%, 8/22/08 790,000 789,556
2.44%, 9/3/08 ** 10,000,000 9,977,633
4.63%, 11/21/08 5,850,000 5,884,030
2.70%, 12/10/08 ** 10,000,000 9,901,750
5.48%, 1/8/09 5,000,000 5,056,312
2.90%, 2/27/09 10,000,000 10,000,000
2.63%, 6/4/09 12,040,000 12,011,827
------------
86,611,400
------------
Continued
5
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FREDDIE MAC (0.5%)
2.55%, 4/21/09 $ 8,000,000 $ 7,999,395
------------
TOTAL U.S. GOVERNMENT AGENCIES 104,720,561
------------
CERTIFICATES OF DEPOSIT (3.4%)
COMMERCIAL BANKS-CENTRAL U.S. (0.9%)
Bank of Montreal, 2.95%, 8/18/08 15,000,000 15,000,000
------------
COMMERCIAL BANKS-EASTERN U.S. (2.2%)
Allied Irish Banks, 2.65%, 8/21/08 15,000,000 15,000,041
Barclays PLC, 2.85%, 10/2/08 20,000,000 20,000,000
------------
35,000,041
------------
MONEY CENTER BANKS (0.3%)
Bank of New York, 5.41%, 5/15/09 5,000,000 5,083,409
------------
TOTAL CERTIFICATES OF DEPOSIT 55,083,450
------------
COMMERCIAL PAPER (28.6%)
COMMERCIAL BANKS NON-U.S. (5.4%)
Bank of Nova Scotia, 2.49%, 8/8/08 ** 10,000,000 9,995,158
Bank of Nova Scotia, 2.73%,
9/23/08 ** 25,000,000 24,899,521
Barclays US Funding LLC, 2.60%,
9/4/08 ** 2,700,000 2,693,370
Barclays US Funding LLC, 2.69%,
9/4/08 ** 10,000,000 9,974,595
National Australia Funding, 2.66%,
8/4/08 ** 10,000,000 9,997,783
National Australia Funding, 2.71%,
10/1/08 ** 20,000,000 19,908,331
Toronto Dominion Holding, 2.55%,
9/5/08 ** 10,000,000 9,975,208
------------
87,443,966
------------
DIVERSIFIED FINANCIAL SERVICES (2.9%)
General Electric Capital Co.,
2.52%, 8/6/08 ** 15,000,000 14,994,750
General Electric Capital Co.,
2.45%, 9/22/08 ** 15,000,000 14,946,917
General Electric Capital Co.,
2.83%, 1/7/09 ** 7,500,000 7,406,256
Rabobank USA Financial Co., 2.64%,
10/24/08 10,000,000 9,938,400
------------
47,286,323
------------
FIDUCIARY BANKS (0.6%)
State Street Boston Corp., 2.36%,
9/9/08 ** 10,000,000 9,974,433
------------
FINANCE-AUTO LOANS (5.8%)
American Honda Finance, 2.42%,
9/10/08 ** 20,000,000 19,946,222
American Honda Finance, 2.45%,
9/11/08 ** 10,000,000 9,972,097
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
COMMERCIAL PAPER, CONTINUED
FINANCE-AUTO LOANS, CONTINUED
Toyota Motor Credit Co., 2.25%,
8/29/08 ** $ 15,000,000 $ 14,973,750
Toyota Motor Credit Corp., 2.40%,
9/17/08 ** 10,000,000 9,968,667
Toyota Motor Credit Corp., 2.63%,
10/21/08 ** 10,000,000 9,940,825
Toyota Motor Credit Corp., 2.61%,
11/7/08 ** 10,000,000 9,928,950
Toyota Motor Credit Corp., 2.58%,
12/1/08 ** 10,000,000 9,912,567
Toyota Motor Credit Corp., 2.85%,
12/9/08 ** 10,000,000 9,897,083
------------
94,540,161
------------
FINANCE-CREDIT CARD (0.9%)
American Express Credit Card,
2.39%, 8/28/08 ** 15,000,000 14,973,112
------------
FINANCE-INVESTMENT BANKER/BROKER (2.2%)
BNP Paribas Finance, Inc., 2.72%,
10/24/08 ** 15,000,000 14,904,765
Citigroup Funding, Inc., 2.82%,
9/16/08 ** 10,000,000 9,963,967
Citigroup Funding, Inc., 2.82%,
10/16/08 ** 10,000,000 9,940,467
------------
34,809,199
------------
MEDICAL-HOSPITALS (0.9%)
Essential Health, 2.80%, 9/8/08 ** 13,945,000 13,903,785
------------
REGIONAL AUTHORITY (1.4%)
Michigan State Multifamily Housing
Project, 4.85%, 10/28/08 10,000,000 10,000,000
San Jose International Airport,
2.65%, 9/11/08 ** 12,879,000 12,840,130
------------
22,840,130
------------
SPECIAL PURPOSE ENTITY (7.5%)
AIG Funding , Inc., 2.50%, 8/5/08 20,000,000 19,994,445
Nestle Capital Corp., 2.35%,
10/31/08 ** (b) 7,000,000 6,958,418
Old Line Funding LLC, 2.52%,
8/5/08 ** (b) 15,000,000 14,995,800
Old Line Funding LLC, 2.50%,
8/19/08 ** (b) 16,649,000 16,628,189
Societe General, 2.62%, 8/6/08 ** 21,965,000 21,957,007
Societe General, 2.72%, 8/6/08 ** 14,185,000 14,179,641
Societe General, 2.63%, 8/12/08 ** 10,000,000 9,991,964
Societe General, 2.80%, 9/12/08 ** 15,300,000 15,250,020
------------
119,955,484
------------
Continued
6
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
COMMERCIAL PAPER, CONTINUED
SUPER-REGIONAL BANKS-U.S. (1.0%)
Bank of America Corp., 2.75%,
8/11/08 ** $ 5,900,000 $ 5,895,493
Wells Fargo & Co., 2.43%, 8/13/08 ** 10,000,000 9,991,900
------------
15,887,393
------------
TOTAL COMMERCIAL PAPER 461,613,986
------------
DEMAND NOTES (8.9%)
DIVERSIFIED FINANCIAL SERVICES (0.6%)
Harry W. Albright JR, Series 1996,
3.00%, 8/7/08, (LOC: Bank of
America) (a) (d) 5,485,000 5,485,000
Woods Group LLC, Series 2007-A,
2.71%, 9/1/32, (LOC: Regions
Bank) (b) 3,975,000 3,975,000
------------
9,460,000
------------
FINANCE-OTHER SERVICES (0.5%)
Mortgage Bankers Association of
America, 2.66%, 8/1/08, (LOC: PNC
Bank NA) (a) (d) 8,000,000 8,000,000
------------
FINANCIAL (0.4%)
Cornerstone Funding Corp., Series
2001-C, 2.50%, 12/1/11, (LOC:
SunTrust Banks, Inc.) (a) 7,457,000 7,457,000
------------
SPECIAL PURPOSE ENTITY (7.4%)
Buckeye Corrugated, Inc., Series
1997, 3.00%, 8/6/08, (LOC: KeyBank
NA) (a) (b) (d) 4,100,000 4,100,000
Bybee Foods LLC Taxable Adjustable
Rate Notes, Series 2006, 3.00%,
8/6/08, (LOC: KeyBank NA) (a) (d) 1,600,000 1,600,000
Capital One Funding Corp., Series
1996-H, 3.46%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 660,000 660,000
Capital One Funding Corp., Series
1997-D, 2.76%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 507,000 507,000
Capital One Funding Corp., Series
1999-D, 2.76%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 885,000 885,000
Capital One Funding Corp., Series
2001-C, 2.66%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 2,163,000 2,163,000
Central Michigan Inns, 2.75%,
8/7/08, (LOC: Wachovia Corp.) (a) (d) 960,000 960,000
CHF - Elon LLC, Series 2005, 2.66%,
8/7/08, (LOC: Regions Bank) (a) (b) (d) 19,850,000 19,850,000
Clare at Water Tower (The), Series
2005, 2.55%, 8/7/08, (LOC: Bank of
America) (a) (d) 12,500,000 12,500,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
DEMAND NOTES, CONTINUED
SPECIAL PURPOSE ENTITY, CONTINUED
Doctors Park LLP, 2.75%, 8/7/08,
(LOC: US Bancorp) (a) (d) $ 9,310,000 $ 9,310,000
Erickson Foundation, Inc. (The),
2.55%, 8/7/08, (LOC: FHLB) (a) (d) 15,000,000 15,000,000
Fort Bend Church (The), 3.01%,
8/7/08, (LOC: Regions Bank) (a) (d) 6,200,000 6,200,000
Iowa 80 Group, Inc., 2.78%, 9/1/08,
(LOC: Wells Fargo & Co.) (a) (d) 3,230,000 3,230,000
Jackson 2000 LLC, Series 1999,
3.00%, 8/6/08, (LOC:
KeyBank NA) (a) (d) 8,440,000 8,440,000
Landmark Medical LLC, Series 2000,
3.46%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 6,480,000 6,480,000
Lincoln Hills Development Corp.,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (d) 3,080,000 3,080,000
New Belgium Brewing Co., Inc.,
Series 2000, 2.56%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (d) 2,110,000 2,110,000
PCI Paper Conversions, Inc., Series
2000, 3.00%, 8/6/08, (LOC: KeyBank
NA) (a) (d) 940,000 940,000
Royal Town Center LLC, Series 1997,
3.00%, 8/6/08, (LOC: FHLB) (a) (b) (d) 5,095,000 5,095,000
SDK Cameron LLC, Series 2005,
2.76%, 8/7/08, (LOC: Comerica
Bank) (a) (b) (d) 3,090,000 3,090,000
SGS Tool Co., Series 1999, 2.71%,
8/6/08, (LOC: JP Morgan, Inc.) (a) (d) 2,450,000 2,450,000
St. Andrew United Methodist Church,
2.55%, 8/7/08, (LOC: Wachovia
Corp.) (a) (d) 10,835,000 10,835,000
------------
119,485,000
------------
TOTAL DEMAND NOTES 144,402,000
------------
MUNICIPAL DEMAND NOTES (12.2%)
ALABAMA (0.5%)
Albertville Industrial Development
Board, Mitchell Grocery, 2.71%,
8/7/08, (LOC: Regions Bank) (a) (d) 7,245,000 7,245,000
------------
ALASKA (0.3%)
Four Dam Pool Power Agency, Series B,
2.42%, 8/7/08, (LOC: Dexia
Banque SA) (a) (d) 3,870,000 3,870,000
------------
CALIFORNIA (2.4%)
County of Sacramento, 2.65%, 8/6/08,
(LOC: Bayerische Landesbank) (a) (d) 32,430,000 32,430,000
County of Riverside, CP, 2.65%,
8/6/08, (LOC: State Street
Corp.) (a) (d) 6,500,000 6,500,000
------------
38,930,000
------------
Continued
7
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
COLORADO (0.1%)
Pueblo Housing Authority, 2.56%,
8/7/08, (LOC: Wells Fargo &
Co.) (a) (b) (d) $ 1,620,000 $ 1,620,000
------------
DELAWARE (0.7%)
Revenue Bond Certificate Series Trust
Various States, 2.71%, 8/7/08,
(LOC: AIG) (a) (b) (d) 3,580,000 3,580,000
Metrodev Newark LLC, 2.85%, 8/7/08,
(LOC: PNC Bank NA) (a) (d) 8,000,000 8,000,000
------------
11,580,000
------------
FLORIDA (0.6%)
County of Washington, Series B,
2.71%, 8/7/08, (LOC: SunTrust Banks,
Inc.) (a) (d) 2,800,000 2,800,000
Development Finance Corp., Royal
Enterprise Building Fund, Series B,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (b) (d) 7,085,000 7,085,000
------------
9,885,000
------------
GEORGIA (1.0%)
Columbus Development Authority,
Litho-Krome Co. Project, 2.49%,
8/7/08, (LOC: Bank of America) (a) (d) 10,125,000 10,125,000
Mc Duffie County Development
Authority, Thomson Plastics, Inc.,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (d) 6,505,000 6,505,000
------------
16,630,000
------------
ILLINOIS (0.7%)
Finance Authority, Fairview, Series
D, 2.55%, 8/7/08, (LOC: Bank of
America) (a) (d) 4,455,000 4,455,000
Finance Authority, Franciscan
Communities, Series B, 2.55%, 8/7/08,
(LOC: Bank of America) (a) (d) 5,955,000 5,955,000
------------
10,410,000
------------
INDIANA (0.1%)
State Finance Authority, Series B,
2.56%, 8/7/08, (LOC: Bank of
America) (a) (d) 2,150,000 2,150,000
------------
IOWA (0.4%)
Dallas County Industrial Development,
Sioux City Brick and Tile, Series B,
3.31%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 6,305,000 6,305,000
------------
LOUISIANA (0.5%)
Denham Springs Economic Development
District, Bass Pro Shops Project,
2.66%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 8,460,000 8,460,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MISSISSIPPI (0.1%)
Business Finance Corp., CPX Gulfport
ES OPAG LLC, Series B, 2.56%,
8/7/08, (LOC: Wachovia Corp.) (a) (d) $ 2,095,000 $ 2,095,000
------------
NEW YORK (0.7%)
New York City Housing Development
Corp., Multi-Family Housing, Chelsea
Centro, Series A, 2.56%, 8/6/08,
(LOC: Bayerische Landesbank) (a) (d) 11,885,000 11,885,000
------------
NORTH CAROLINA (0.7%)
Roman Catholic Diocese of Raleigh,
2.51%, 8/7/08, (LOC: Bank of
America) (a) (d) 11,880,000 11,880,000
------------
OHIO (0.8%)
Cleveland-Cuyahoga County Port
Authority, Science Park LLC,
Series B, 2.80%, 8/7/08, (LOC:
KeyBank NA) (a) (d) 12,700,000 12,700,000
------------
UTAH (1.2%)
Utah Telecommunication Open
Infrastructure Agency, 2.80%, 8/7/08,
(LOC: KeyBank NA) (a) (d) 20,000,000 20,000,000
------------
VIRGINIA (0.4%)
Alexandria Industrial Development
Authority, Series A, 2.61%, 8/7/08,
(LOC: SunTrust Banks, Inc.) (a) (d) 5,950,000 5,950,000
------------
WASHINGTON (1.0%)
State Housing Finance Commission,
Eaglepointe Apartments, Series B,
2.71%, 8/7/08, (LOC: AIG) (a) (d) 1,610,000 1,610,000
State Housing Finance Commission,
Monticello Park Project, Series B,
2.57%, 8/7/08, (LOC: FNMA) (a) (d) 3,655,000 3,655,000
State Housing Finance Commission,
Skyline At First, Series D, 2.55%,
8/7/08, (LOC: Bank of America) (a) (d) 11,100,000 11,100,000
------------
16,365,000
------------
TOTAL MUNICIPAL DEMAND NOTES 197,960,000
------------
Continued
8
PRIME MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
SHARES VALUE
- -----------------------------------------------------------------------------
MONEY MARKETS (5.4%)
AIM STIT Liquid Assets Portfolio (c) 62,206,291 $ 62,206,291
Goldman Sachs Financial Square
Funds - Prime Obligations Fund (c) 25,830,328 25,830,328
------------
TOTAL MONEY MARKETS 88,036,619
------------
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS (12.4%)
Deutsche Bank, 2.18%, dated 7/31/08,
due 8/1/08, (Proceeds at maturity,
$160,009,689, Collateralized by
various U.S. Government Agency
Securities, 0.00%-5.76%,
3/12/11-6/23/33,
value $163,200,301) $160,000,000 160,000,000
UBS Investment Bank, 2.15%, dated
7/31/08, due 8/1/08, (Proceeds at
maturity, $40,388,488, Collateralized
by various U.S. Government Agency
Securities, 0.00%, 2/17/09-4/27/09,
value $41,196,258) 40,387,000 40,387,000
--------------
TOTAL REPURCHASE AGREEMENTS 200,387,000
--------------
TOTAL INVESTMENTS (COST $1,615,688,096)+ - 99.9% 1,615,688,096
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 2,048,358
--------------
NET ASSETS - 100.0% $1,617,736,454
==============
Continued
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund / portfolio.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
CP - Certificates of Participation
FHLB - Federal Home Loan Bank
FNMA - Federal National Mortgage Association
LOC - Letter of Credit
See notes to schedules of investments
and notes to financial statements.
9
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
CORPORATE BONDS (16.4%)
COMMERCIAL BANKS-CENTRAL U.S. (3.0%)
M&I Marshall & Ilsley Bank, Series
BK, 2.45%, 8/25/08 (a) (d) $ 5,000,000 $ 4,999,188
US Bank NA, 4.40%, 8/15/08 12,957,000 12,955,483
US Bank NA, 2.78%, 9/3/08 25,000,000 25,000,000
US Bank NA, 2.82%, 10/21/08 25,000,000 25,000,000
US Bank NA, 2.95%, 4/27/09 20,000,000 20,000,000
------------
87,954,671
------------
COMPUTERS (0.3%)
International Business Machines
Corp., 4.38%, 6/1/09 9,000,000 9,097,214
------------
COSMETICS & TOILETRIES (0.9%)
Procter & Gamble Co., 3.50%, 12/15/08 25,000,000 25,045,333
------------
DIVERSIFIED FINANCIAL SERVICES (2.8%)
General Electric Capital Corp.,
2.53%, 8/22/08 (a) (d) 5,000,000 4,999,999
General Electric Capital Corp.,
2.88%, 9/15/08 ** (a) (d) 13,410,000 13,409,151
General Electric Capital Corp.,
3.60%, 10/15/08 21,125,000 21,121,613
General Electric Capital Corp.,
4.00%, 2/17/09 5,000,000 5,027,458
General Electric Capital Corp.,
3.13%, 4/1/09 5,000,000 5,004,651
General Electric Capital Corp.,
4.00%, 6/15/09 12,000,000 12,086,063
IBM International Group Capital LLC,
3.13%, 10/29/08 (a) (d) 20,000,000 20,067,266
------------
81,716,201
------------
FIDUCIARY BANKS (0.3%)
Mellon Funding Corp., 3.25%, 4/1/09 10,000,000 10,011,697
------------
FINANCE-CONSUMER LOANS (0.5%)
HSBC Finance Corp., Series EXL,
2.48%, 8/7/08 (a) (d) 15,000,000 15,000,000
------------
FINANCE-INVESTMENT BANKER/BROKER (1.3%)
Bear Stearns Cos., Inc. (The), 2.56%,
8/7/08 (a) (d) 16,000,000 16,000,000
Credit Suisse USA, Inc., 2.81%,
9/9/08 (a) (d) 9,000,000 9,002,735
Credit Suisse USA, Inc., 3.88%,
1/15/09 13,000,000 13,035,765
------------
38,038,500
------------
INTEGRATED OIL & GAS (1.5%)
BP Capital Markets PLC, 2.79%,
9/11/08 (a) (d) 35,000,000 35,000,000
Texaco Capital, Inc., 5.50%, 1/15/09 9,865,000 9,977,247
------------
44,977,247
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
CORPORATE BONDS, CONTINUED
MEDICAL-DRUGS (0.2%)
Abbott Laboratories, 5.38%, 5/15/09 $ 5,000,000 $ 5,076,333
------------
RETAIL (0.5%)
Wal-Mart Stores, Inc., 3.38%, 10/1/08 15,000,000 14,970,024
------------
SPECIAL PURPOSE ENTITY (1.4%)
Florida Hurricane Catastrophe Fund,
Series 2006-B, 2.67%, 8/15/08 (a) (d) 20,000,000 20,000,000
Florida Hurricane Catastrophe Fund,
Series 2006-B, 2.67%, 8/15/08 (a) (d) 20,000,000 19,951,591
------------
39,951,591
------------
SUPER-REGIONAL BANKS-U.S. (3.7%)
Bank One Corp., 6.00%, 8/1/08 19,000,000 19,000,000
SunTrust Banks, Inc., 4.00%, 10/15/08 8,000,000 8,002,932
Wachovia Bank NA, 2.12%, 8/1/08 (a) (d) 15,000,000 14,982,828
Wachovia Bank NA, 4.38%, 8/15/08 8,082,000 8,079,983
Wachovia Bank NA, 2.76%, 10/3/08 (a) (d) 17,000,000 17,002,147
Wachovia Bank NA, 2.87%,
10/25/08 (a) (d) 10,000,000 9,997,171
Wachovia Corp., 3.50%, 8/15/08 4,000,000 3,997,463
Wells Fargo & Co., 2.61%, 8/15/08 (a) (d) 10,000,000 10,000,000
Wells Fargo & Co., 4.00%, 8/15/08 5,000,000 4,998,113
Wells Fargo & Co., 3.13%, 4/1/09 12,000,000 11,994,769
------------
108,055,406
------------
TOTAL CORPORATE BONDS 479,894,217
------------
FOREIGN BONDS (2.8%)
COMMERCIAL BANKS-EASTERN U.S. (1.3%)
Deutsche Bank AG, 2.27%, 8/1/08 (a) (d) 25,000,000 25,000,000
Deutsche Bank AG, 2.46%, 8/9/08 (a) (d) 15,000,000 14,984,901
------------
39,984,901
------------
COMMERCIAL BANKS NON-U.S. (0.9%)
BNP Paribas, 2.90%, 8/13/08 (a) (d) 25,000,000 25,000,000
------------
SPECIAL PURPOSE ENTITY (0.6%)
Procter & Gamble International
Funding SCA, 2.79%, 8/19/08 (a) (d) 17,000,000 17,000,000
------------
TOTAL FOREIGN BONDS 81,984,901
------------
MORTGAGE-BACKED SECURITIES (0.3%)
CMBS OTHER (0.3%)
Freddie Mac, 2.46%, 8/7/08 (a) (d) 7,574,424 7,574,424
------------
TOTAL MORTGAGE-BACKED SECURITIES 7,574,424
------------
U.S. GOVERNMENT AGENCIES (7.6%)
FANNIE MAE (0.9%)
3.88%, 11/17/08 5,000,000 5,017,323
5.25%, 1/15/09 20,000,000 20,219,532
------------
25,236,855
------------
Continued
10
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL HOME LOAN BANK (6.0%)
2.23%, 8/22/08 ** $ 50,000,000 $ 49,934,958
5.80%, 9/2/08 12,555,000 12,588,189
2.44%, 9/3/08 ** 20,000,000 19,955,267
2.40%, 9/10/08 ** 4,535,000 4,522,907
2.38%, 11/3/08 ** 15,478,000 15,381,813
2.70%, 12/10/08 ** 20,100,000 19,902,518
5.48%, 1/8/09 5,000,000 5,056,312
2.90%, 2/27/09 25,000,000 25,000,000
2.63%, 6/4/09 24,000,000 23,943,841
------------
176,285,805
------------
FREDDIE MAC (0.7%)
4.75%, 10/17/08 4,000,000 4,017,562
4.75%, 3/5/09 5,000,000 5,053,191
2.55%, 4/21/09 12,000,000 11,999,093
------------
21,069,846
------------
TOTAL U.S. GOVERNMENT AGENCIES 222,592,506
------------
CERTIFICATES OF DEPOSIT (4.8%)
COMMERCIAL BANKS-CENTRAL U.S. (1.2%)
Bank of Montreal, 2.95%, 8/18/08 35,000,000 35,000,000
------------
COMMERCIAL BANKS-EASTERN U.S. (2.6%)
Allied Irish Banks, 2.65%, 8/21/08 20,000,000 20,000,055
Allied Irish Banks, 2.45%, 8/29/08 ** (b) 25,000,000 24,952,361
Barclays PLC, 2.85%, 10/2/08 30,000,000 30,000,000
------------
74,952,416
------------
COMMERCIAL BANKS-SOUTHERN U.S. (0.5%)
Branch Banking & Trust Co., 2.80%,
10/27/08 15,000,000 15,000,000
------------
MONEY CENTER BANKS (0.5%)
Bank of New York, 5.41%, 5/15/09 15,000,000 15,250,228
------------
TOTAL CERTIFICATES OF DEPOSIT 140,202,644
------------
COMMERCIAL PAPER (31.2%)
COMMERCIAL BANKS NON-U.S. (5.7%)
Bank of Nova Scotia, 2.49%, 8/8/08 ** 25,000,000 24,987,896
Bank of Nova Scotia, 2.73%, 9/23/08 ** 25,000,000 24,899,521
Barclays US Funding LLC, 2.69%,
9/4/08 ** 25,000,000 24,936,486
National Australia Funding, 2.66%,
8/4/08 ** 20,000,000 19,995,566
National Australia Funding, 2.71%,
10/1/08 ** 30,000,000 29,862,496
Toronto Dominion Holding, 2.55%,
9/5/08 ** 25,000,000 24,938,021
Toronto Dominion Holding, 2.57%,
9/11/08 ** (b) 19,585,000 19,527,676
------------
169,147,662
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
COMMERCIAL PAPER, CONTINUED
DIVERSIFIED FINANCIAL SERVICES (2.8%)
General Electric Capital Co., 2.40%,
8/1/08 ** $ 20,000,000 $ 20,000,000
General Electric Capital Co., 2.44%,
9/22/08 ** 15,000,000 14,947,133
General Electric Capital Co., 2.83%,
1/7/09 ** 15,000,000 14,812,512
General Electric Capital Co., 2.84%,
1/26/09 ** 15,000,000 14,789,367
Rabobank USA Financial Co., 2.64%,
10/24/08 20,000,000 19,876,800
------------
84,425,812
------------
FIDUCIARY BANKS (0.7%)
State Street Boston Corp., 2.36%,
9/9/08 ** 20,000,000 19,948,867
------------
FINANCE-AUTO LOANS (6.0%)
American Honda Finance, 2.42%,
9/10/08 ** 35,000,000 34,905,889
American Honda Finance, 2.45%,
9/11/08 ** 15,000,000 14,958,146
Toyota Motor Credit Co., 2.25%,
8/29/08 ** 25,000,000 24,956,250
Toyota Motor Credit Corp., 2.40%,
9/17/08 ** 25,000,000 24,921,666
Toyota Motor Credit Corp., 2.70%,
10/21/08 ** 25,000,000 24,848,125
Toyota Motor Credit Corp., 2.61%,
11/7/08 ** 10,000,000 9,928,950
Toyota Motor Credit Corp., 2.58%,
12/1/08 ** 20,000,000 19,825,133
Toyota Motor Credit Corp., 2.85%,
12/9/08 ** 20,000,000 19,794,167
------------
174,138,326
------------
FINANCE-CREDIT CARD (0.9%)
American Express Credit Card, 2.39%,
8/28/08 ** 25,000,000 24,955,188
------------
FINANCE-INVESTMENT BANKER/BROKER (3.1%)
BNP Paribas Finance, Inc., 2.57%,
8/1/08 ** 17,025,000 17,025,000
BNP Paribas Finance, Inc., 2.72%,
10/24/08 ** 25,000,000 24,841,275
Citigroup Funding, Inc., 2.82%,
9/16/08 ** 25,000,000 24,909,917
Citigroup Funding, Inc., 2.82%,
10/16/08 ** 25,000,000 24,851,166
------------
91,627,358
------------
INDUSTRIAL (0.3%)
Mississippi Business Finance Corp.,
2.64%, 8/25/08 8,100,000 8,100,000
------------
Continued
11
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
COMMERCIAL PAPER, CONTINUED
INSURANCE (0.5%)
Prudential Funding LLC, 2.38%,
8/25/08 ** $ 15,000,000 $ 14,976,200
------------
MEDICAL-HOSPITALS (0.9%)
Essential Health, 2.80%, 9/8/08 ** 25,000,000 24,926,111
------------
REGIONAL AUTHORITY (2.1%)
Michigan State Multifamily Housing
Project, 4.85%, 10/28/08 25,000,000 25,000,000
San Jose International Airport,
2.65%, 9/11/08 ** 36,013,000 35,904,309
------------
60,904,309
------------
SPECIAL PURPOSE ENTITY (5.6%)
AIG Funding , Inc., 2.50%, 8/5/08 20,000,000 19,994,444
Nestle Capital Corp., 2.35%,
10/31/08 ** (b) 12,000,000 11,928,717
Old Line Funding LLC, 2.52%,
8/5/08 ** (b) 25,000,000 24,993,000
Old Line Funding LLC, 2.50%,
8/19/08 ** (b) 30,000,000 29,962,500
Societe General, 2.65%, 8/6/08 ** 5,750,000 5,747,883
Societe General, 2.72%, 8/6/08 ** 27,000,000 26,989,800
Societe General, 2.75%, 8/6/08 ** 10,250,000 10,246,085
Societe General, 2.63%, 8/12/08 ** 25,000,000 24,979,910
Societe General, 2.80%, 9/10/08 ** 10,100,000 10,068,578
------------
164,910,917
------------
SUPER-REGIONAL BANKS-U.S. (2.6%)
Bank of America Corp., 2.58%,
8/5/08 ** 5,800,000 5,798,337
Wells Fargo & Co., 2.41%, 8/7/08 ** 35,000,000 34,985,942
Wells Fargo & Co., 2.43%, 8/13/08 ** 35,000,000 34,971,650
------------
75,755,929
------------
TOTAL COMMERCIAL PAPER 913,816,679
------------
DEMAND NOTES (6.6%)
BUILDING PRODUCTION-CEMENT/AGGREGATE (0.9%)
Sioux City Brick & Tile Co., 2.61%,
8/7/08, (LOC: U.S. Bancorp) (a) (b) (d) 24,850,000 24,850,000
------------
FINANCE-OTHER SERVICES (1.3%)
Lexington Financial Services LLC,
2.55%, 8/7/08, (LOC: Bank of
America) (a) (d) 20,920,000 20,920,000
Mortgage Bankers Association of
America, 2.66%, 8/1/08, (LOC:
PNC Bank NA) (a) (d) 17,000,000 17,000,000
------------
37,920,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
DEMAND NOTES, CONTINUED
FINANCIAL (0.4%)
Cornerstone Funding Corp., Series
2003-F, 2.50%, 11/1/23, (LOC:
Comerica Bank) (a) $ 4,080,000 $ 4,080,000
Cornerstone Funding Corp., Series
2003-H, 2.59%, 1/1/34, (LOC: U.S.
Bancorp) (a) 4,066,000 4,066,000
Praise Tabernacle Outreach, 2.71%,
6/1/24, (LOC: Comerica Bank) (a) 3,260,000 3,260,000
------------
11,406,000
------------
REAL ESTATE (0.2%)
Appletree Properties LLC, 2.51%,
7/1/26, (LOC: Regions Bank) 5,645,000 5,645,000
------------
SPECIAL PURPOSE ENTITY (3.8%)
Aquarium Parking Deck LLC, Series
2005, 2.65%, 8/6/08, (LOC: SunTrust
Banks, Inc.) (a) (d) 8,400,000 8,400,000
Baldwin County Sewer Service LLC,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (d) 12,279,000 12,279,000
Capital Markets Access Co. LC, Series
2005, 2.65%, 8/6/08, (LOC: SunTrust
Banks, Inc.) (a) (d) 7,980,000 7,980,000
Capital One Funding Corp., Series
2001-A, 3.96%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 2,805,000 2,805,000
Capital One Funding Corp., Series
2001-D, 3.96%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 418,000 418,000
CHF - Elon LLC, Series 2005, 2.66%,
8/7/08, (LOC: Regions Bank) (a) (b) (d) 6,900,000 6,900,000
Erickson Foundation, Inc. (The),
2.55%, 8/7/08, (LOC: FHLB) (a) (d) 25,000,000 25,000,000
Foster/Schweihofer Real Estate Co.
LLC, Series 2003, 2.76%, 8/7/08,
(LOC: Comerica Bank) (a) (d) 13,690,000 13,690,000
Gulf Gate Apartments, Series 2003,
2.46%, 8/7/08, (LOC: Wells Fargo &
Co.) (a) (b) (d) 4,000,000 4,000,000
J&S Properties, Inc., Series 2006,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (d) 3,925,000 3,925,000
McCullough Snappy Service Oil, 2.71%,
8/7/08, (LOC: Regions Bank) (a) (b) (d) 4,125,000 4,125,000
Metaltec Steel Abrasive Co., Series
2004, 2.68%, 8/6/08, (LOC: Comerica
Bank) (a) (d) 3,960,000 3,960,000
Northport Baptist Church, Series
2004, 2.71%, 8/7/08, (LOC: Regions
Bank) (a) (d) 2,800,000 2,800,000
Park Street Properties I LLC, Series
2004, 2.75%, 8/6/08, (LOC: US
Bancorp) (a) (d) 11,535,000 11,535,000
Continued
12
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
DEMAND NOTES, CONTINUED
SPECIAL PURPOSE ENTITY, CONTINUED
Pershing Drive Associates L.P.,
2.80%, 8/7/08, (LOC: Royal Bank of
Canada) (a) (d) $ 3,905,000 $ 3,905,000
------------
111,722,000
------------
TOTAL DEMAND NOTES 191,543,000
------------
MUNICIPAL DEMAND NOTES (13.1%)
ARIZONA (0.2%)
Glendale Industrial Development
Authority, Thunderbird Garvin, Series
B, 2.50%, 8/7/08, (LOC: Bank of New
York Co., Inc.) (a) (d) 6,250,000 6,250,000
------------
CALIFORNIA (0.8%)
County of Sacramento, 2.65%, 8/6/08,
(LOC: Bayerische Landesbank) (a) (d) 13,160,000 13,160,000
Kern Water Bank Authority, Series B,
2.46%, 8/7/08, (LOC: Wells Fargo &
Co.) (a) (d) 4,159,000 4,159,000
Sacramento County Housing Authority,
Multi-Family, Natomas Park
Apartments, Series B, 2.58%, 8/7/08,
(LOC: FNMA) (a) (d) 1,550,000 1,550,000
Statewide Communities Development
Authority, Multi-Family Housing,
Series X-T, 2.58%, 8/7/08,
(LOC: FNMA) (a) (d) 900,000 900,000
Statewide Communities Development
Authority, Multi-Family, Valley Palms
Apartments, 2.56%, 8/7/08,
(LOC: FNMA) (a) (d) 2,445,000 2,445,000
------------
22,214,000
------------
FLORIDA (0.7%)
City of Homestead, Speedway Project,
2.65%, 8/6/08, (LOC: SunTrust Banks,
Inc.) (a) (d) 8,875,000 8,875,000
Development Finance Corp., Royal
Enterprise Building Fund, Series B,
2.71%, 8/7/08, (LOC: Regions
Bank) (a) (b) (d) 10,945,000 10,945,000
------------
19,820,000
------------
GEORGIA (0.5%)
Augusta Housing Authority,
Multi-Family, Westbury Creek
Apartments, Series B, 3.00%, 8/6/08,
(LOC: FNMA) (a) (d) 500,000 500,000
Georgia Municipal Gas Authority,
2.49%, 8/7/08, (LOC: Wachovia
Corp.) (a) (d) 14,765,000 14,765,000
------------
15,265,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
ILLINOIS (0.6%)
Finance Authority, Fairview, Series
E, 2.55%, 8/7/08, (LOC: Bank of
America) (a) (d) $ 6,250,000 $ 6,250,000
Finance Authority, Franciscan
Communities, Series B, 2.55%,
8/7/08, (LOC: Bank of America) (a) (d) 12,000,000 12,000,000
------------
18,250,000
------------
INDIANA (1.2%)
City of Indianapolis Economic
Development, Multi-Family Housing,
Pedcor Investments, Series B, 3.20%,
8/7/08, (LOC: FHLB) (a) (d) 970,000 970,000
Health Facility Financing Authority,
Clark Memorial Hospital, Series B,
3.96%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 3,360,000 3,360,000
Health Facility Financing Authority,
Community Foundation of Northwest
Indiana, Series B, 2.55%, 8/7/08,
(LOC: Bank of Montreal) (a) (d) 22,410,000 22,410,000
Terre Haute, Westminister Village,
Series B, 2.57%, 8/7/08, (LOC:
Sovereign Bank FSB) (a) (d) 9,300,000 9,300,000
------------
36,040,000
------------
KENTUCKY (0.2%)
Boone County, Northern Kentucky
University Metropolitan Education and
Training Services Center Project,
2.75%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 4,860,000 4,860,000
------------
LOUISIANA (0.8%)
Denham Springs Economic Development
District, Bass Pro Shops, Series B,
2.71%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 15,680,000 15,680,000
St. Tammany Parish Economic &
Industrial Development District,
2.71%, 8/6/08, (LOC: Regions
Bank) (a) (d) 8,760,000 8,760,000
------------
24,440,000
------------
MARYLAND (1.3%)
Health & Higher Educational
Facilities Authority, Adventist
Healthcare, Series B, 2.55%, 8/7/08,
(LOC: Bank of America) (a) (d) 19,060,000 19,060,000
Health & Higher Educational
Facilities Authority, Charlestown
Community, Series B, 2.55%, 8/6/08,
(LOC: Bank of America) (a) (d) 17,400,000 17,400,000
------------
36,460,000
------------
Continued
13
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MASSACHUSETTS (0.7%)
Simmons College, 2.65%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (d) $ 18,730,000 $ 18,730,000
------------
MICHIGAN (0.1%)
Canton Charter Township, GO, 2.56%,
8/6/08, (LOC: Comerica Bank) (a) (d) 1,500,000 1,500,000
Charter Township of Ypsilanti Capital
Improvements, Series B, GO, 2.56%,
8/6/08, (LOC: Comerica Bank) (a) (d) 2,280,000 2,280,000
------------
3,780,000
------------
MINNESOTA (0.1%)
City of Plymouth, Carlson Center
Project, 2.65%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 800,000 800,000
St. Paul Port Authority, Series S,
2.70%, 8/1/08, (LOC: Dexia
Banque SA) (a) (d) 3,400,000 3,400,000
------------
4,200,000
------------
MISSISSIPPI (0.6%)
Business Finance Corp., Cellular
South, Inc., 2.50%, 8/7/08,
(LOC: Bank of America) (a) (b) (d) 13,000,000 13,000,000
Business Finance Corp., Cellular
South, Inc., 2.50%, 8/6/08,
(LOC: Bank of America) (a) (b) (d) 3,850,000 3,850,000
------------
16,850,000
------------
NEW MEXICO (0.2%)
City of Albuquerque Industrial, KTECH
Corp. Project, 2.46%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (d) 4,545,000 4,545,000
City of Albuquerque Industrial, KTECH
Corp. Project, 2.46%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (d) 1,570,000 1,570,000
------------
6,115,000
------------
NEW YORK (1.3%)
New York City Housing Development
Corp., Multi-Family Housing, Chelsea
Centro, Series A, 2.56%, 8/6/08,
(LOC: Bayerische Landesbank) (a) (d) 38,705,000 38,705,000
------------
NORTH CAROLINA (0.2%)
Roman Catholic Diocese of Raleigh,
2.51%, 8/7/08, (LOC: Bank of
America) (a) (d) 6,360,000 6,360,000
------------
OHIO (1.5%)
Air Quality Development Authority,
Steel Corp., Series B, 2.65%, 8/6/08,
(LOC: Royal Bank of Scotland) (a) (d) 13,000,000 13,000,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
OHIO, CONTINUED
Cleveland-Cuyahoga County Port
Authority, Science Park LLC,
Series B, 2.80%, 8/7/08, (LOC:
KeyBank NA) (a) (d) $ 23,000,000 $ 23,000,000
County of Cuyahoga Health Care
Facilities, Franciscan Communities,
Series F, 2.51%, 8/7/08, (LOC: Bank of
America) (a) (d) 1,915,000 1,915,000
County of Hamilton Health Care,
Series C, 3.50%, 8/7/08, (LOC: PNC
Bank NA) (a) (d) 6,635,000 6,635,000
------------
44,550,000
------------
PENNSYLVANIA (0.1%)
Berks County Industrial Development
Authority, Lebanon Valley Mall,
Series B, 2.71%, 8/6/08, (LOC: First
Union National Bank) (a) (b) (d) 1,200,000 1,200,000
Berks County Municipal Authority,
Phoebe-Devitt Homes, Series C,
2.51%, 8/7/08, (LOC: Sovereign
Bank FSB) (a) (d) 2,770,000 2,770,000
------------
3,970,000
------------
UTAH (1.1%)
Tooele City Industrial Development,
Series A, 2.65%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 1,400,000 1,400,000
Utah Telecommunication Open
Infrastructure Agency, 2.80%, 8/7/08,
(LOC: KeyBank NA) (a) (d) 30,000,000 30,000,000
------------
31,400,000
------------
VIRGINIA (0.7%)
Alexandria Industrial Development
Authority, American Academy of
Otolaryngology, Series A, 2.51%,
8/7/08, (LOC: Bank of America) (a) (d) 8,690,000 8,690,000
Alexandria Industrial Development
Authority, Series A, 2.61%, 8/7/08,
(LOC: SunTrust Banks, Inc.) (a) (d) 10,000,000 10,000,000
------------
18,690,000
------------
WASHINGTON (0.1%)
State Housing Finance Commission,
Multi-Family, Granite Falls
Retirement Plaza, Series B, 2.56%,
8/7/08, (LOC: Wells Fargo &
Co.) (a) (d) 1,030,000 1,030,000
State Housing Finance Commission,
Multi-Family, Sir Summer Ridge
Associates, Series B, 2.70%, 8/1/08,
(LOC: U.S. Bancorp) (a) (d) 605,000 605,000
Continued
14
INSTITUTIONAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
WASHINGTON, CONTINUED
State Housing Finance Commission,
Multi-Family, Vintage At Everett,
Series B, 2.57%, 8/7/08, (LOC:
FNMA) (a) (d) $ 2,000,000 $ 2,000,000
--------------
3,635,000
--------------
WISCONSIN (0.1%)
Health & Educational Facilities
Authority, Upland Hills, Series D,
2.65%, 8/6/08, (LOC: Allied Irish Bank
PLC) (a) (d) 1,845,000 1,845,000
--------------
TOTAL MUNICIPAL DEMAND NOTES 382,429,000
--------------
SHARES
- -----------------------------------------------------------------------------
MONEY MARKETS (4.0%)
AIM STIT Liquid Assets Portfolio (c) 112,635,467 112,635,467
Goldman Sachs Financial Square
Funds - Prime Obligations Fund (c) 4,591,025 4,591,025
--------------
117,226,492
--------------
TOTAL MONEY MARKETS 117,226,492
--------------
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS (13.0%)
Deutsche Bank, 2.18%, dated 7/31/08,
due 8/1/08, (Proceeds at maturity,
$240,014,533, Collateralized by
various U.S. Government Agency
Securities, 0.00%-5.63%,
6/30/09-3/14/36,
value $244,800,288) $240,000,000 240,000,000
UBS Investment Bank, 2.15%, dated
7/31/08, due 8/1/08, (Proceeds at
maturity, $141,167,835, Collateralized
by various U.S. Government Agency
Securities, 0.00%, 9/2/08-11/29/19,
value $143,991,192) 141,166,000 141,166,000
--------------
381,166,000
--------------
TOTAL REPURCHASE AGREEMENTS 381,166,000
--------------
TOTAL INVESTMENTS (COST $2,918,429,863)+ - 99.8% 2,918,429,863
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 5,394,369
--------------
NET ASSETS - 100.0% $2,923,824,232
==============
Continued
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
CMBS - Commercial Mortgage-Backed Security
FHLB - Federal Home Loan Bank
FNMA - Federal National Mortgage Association
GO - General Obligation
LOC - Letter of Credit
See notes to schedules of investments
and notes to financial statements.
15
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES (4.7%)
CMBS OTHER (4.7%)
Freddie Mac, 2.46%, 8/7/08 (a) (c) $ 1,734,190 $ 1,734,190
Freddie Mac, 2.46%, 8/7/08 (a) (c) 15,647,232 15,647,232
Freddie Mac, 2.46%, 8/7/08 (a) (c) 42,606,133 42,606,133
------------
59,987,555
------------
TOTAL MORTGAGE-BACKED SECURITIES 59,987,555
------------
U.S. GOVERNMENT AGENCIES (73.9%)
FANNIE MAE (14.8%)
2.30%, 8/1/08 ** 5,765,000 5,765,000
3.25%, 8/15/08 6,280,000 6,282,470
2.20%, 8/18/08 ** 10,000,000 9,989,611
4.75%, 8/25/08 14,000,000 14,022,247
5.13%, 9/2/08 35,000,000 35,087,642
2.20%, 9/3/08 ** 15,000,000 14,969,750
2.35%, 9/10/08 ** 10,000,000 9,973,889
3.75%, 9/15/08 5,000,000 5,007,405
2.48%, 9/17/08 ** 16,900,000 16,845,282
2.19%, 10/8/08 ** 10,000,000 9,958,633
4.90%, 11/3/08 10,085,000 10,152,847
3.88%, 11/17/08 11,350,000 11,393,432
2.46%, 11/26/08 ** 10,000,000 9,920,050
3.38%, 12/15/08 9,936,000 9,972,437
2.33%, 12/26/08 ** 7,495,000 7,423,569
5.25%, 1/15/09 9,444,000 9,546,421
4.88%, 4/15/09 5,008,000 5,078,934
------------
191,389,619
------------
FEDERAL FARM CREDIT BANK (4.2%)
2.33%, 8/2/08 (a) (c) 4,200,000 4,198,564
2.36%, 8/20/08 (a) (c) 15,000,000 15,000,000
2.31%, 8/23/08 (a) (c) 20,000,000 20,000,000
2.31%, 8/24/08 (a) (c) 12,000,000 11,998,184
3.75%, 1/15/09 2,355,000 2,373,101
4.13%, 4/15/09 1,253,000 1,267,621
------------
54,837,470
------------
FEDERAL HOME LOAN BANK (36.7%)
2.09%, 8/1/08 (a) (c) 15,000,000 15,000,000
2.19%, 8/1/08 ** 10,000,000 10,000,000
2.20%, 8/6/08 ** 10,000,000 9,996,944
4.50%, 8/8/08 6,100,000 6,100,064
2.60%, 8/11/08 (a) (c) 4,000,000 4,000,564
2.29%, 8/12/08 (a) (c) 11,400,000 11,399,779
2.36%, 8/13/08 (a) (c) 14,000,000 13,999,175
5.25%, 8/14/08 15,000,000 15,016,068
2.59%, 8/15/08 (a) (c) 4,000,000 4,000,017
2.60%, 8/18/08 (a) (c) 3,750,000 3,750,624
2.56%, 8/20/08 (a) (c) 12,000,000 12,000,000
2.23%, 8/21/08 ** 25,000,000 24,969,028
2.48%, 8/21/08 (a) (c) 25,345,000 25,343,479
3.88%, 8/22/08 6,315,000 6,313,219
2.38%, 8/27/08 (a) (c) 25,000,000 25,000,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES, CONTINUED
FEDERAL HOME LOAN BANK, CONTINUED
2.44%, 9/4/08 (a) (c) $ 45,000,000 $ 45,002,026
4.25%, 9/12/08 10,650,000 10,652,079
2.38%, 9/17/08 ** 10,000,000 9,968,993
2.66%, 9/17/08 (a) (c) 4,000,000 4,000,000
2.48%, 9/24/08 ** 10,000,000 9,962,875
2.64%, 9/26/08 (a) (c) 14,000,000 13,990,085
4.25%, 9/26/08 1,000,000 999,719
2.57%, 10/2/08 (a) (c) 20,000,000 20,002,320
2.62%, 10/5/08 (a) (c) 25,000,000 25,005,989
2.35%, 10/8/08 ** 4,486,000 4,466,087
2.64%, 10/24/08 (a) (c) 5,000,000 5,001,145
2.62%, 10/30/08 (a) (c) 15,000,000 14,998,959
2.38%, 11/3/08 ** 5,000,000 4,968,928
3.63%, 11/14/08 9,205,000 9,231,304
5.00%, 11/21/08 7,885,000 7,943,875
5.48%, 1/8/09 5,000,000 5,056,312
5.25%, 1/16/09 5,895,000 5,975,251
2.69%, 1/28/09 ** 9,587,000 9,458,295
5.75%, 2/13/09 5,000,000 5,082,139
2.70%, 2/20/09 6,350,000 6,350,000
2.90%, 2/27/09 10,000,000 10,000,000
2.90%, 3/5/09 10,000,000 10,000,000
2.38%, 3/10/09 7,050,000 7,055,344
5.25%, 3/13/09 10,840,000 11,035,798
2.30%, 4/3/09 12,500,000 12,485,865
3.00%, 4/15/09 5,020,000 5,040,093
2.52%, 4/21/09 10,000,000 10,000,000
5.38%, 5/15/09 3,115,000 3,181,619
------------
473,804,061
------------
FREDDIE MAC (11.2%)
2.20%, 8/7/08 ** 14,400,000 14,394,720
2.37%, 8/7/08 (a) (c) 20,000,000 19,999,433
2.46%, 8/7/08 (a) (c) 7,875,000 7,875,000
4.88%, 9/12/08 4,000,000 4,006,391
2.39%, 9/15/08 ** 10,000,000 9,970,125
5.00%, 9/16/08 14,095,000 14,133,142
2.45%, 9/22/08 ** 3,794,000 3,780,574
2.34%, 9/23/08 ** 15,000,000 14,948,325
4.30%, 9/24/08 2,000,000 2,004,573
2.18%, 10/14/08 ** 3,272,000 3,257,351
5.13%, 10/15/08 3,420,000 3,440,171
4.75%, 10/17/08 10,466,000 10,521,897
4.63%, 12/19/08 3,333,000 3,360,811
5.00%, 1/16/09 25,000,000 25,286,864
3.38%, 4/15/09 2,000,000 2,015,321
2.55%, 4/21/09 5,000,000 4,999,622
------------
143,994,320
------------
OVERSEAS PRIVATE INVESTMENT CORP. (7.0%)
2.45%, 8/6/08 (a) (c) 18,824,000 18,824,000
2.45%, 8/6/08 (a) (c) 28,900,000 28,900,000
Continued
16
INSTITUTIONAL GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES, CONTINUED
OVERSEAS PRIVATE INVESTMENT CORP., CONTINUED
2.45%, 8/6/08 (a) (c) $ 42,148,000 $ 42,148,000
--------------
89,872,000
--------------
TOTAL U.S. GOVERNMENT AGENCIES 953,897,470
--------------
SHARES
- -----------------------------------------------------------------------------
MONEY MARKETS (4.0%)
AIM STIT Government & Agency
Portfolio (b) 1,120,948 1,120,948
Goldman Sachs Financial Square
Funds - Government Fund (b) 50,543,007 50,543,007
--------------
51,663,955
--------------
TOTAL MONEY MARKETS 51,663,955
--------------
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS (17.1%)
Bank of America Securities, LLC, 2.13%,
dated 7/31/08, due 8/1/08, (Proceeds
at maturity, $16,500,976,
Collateralized by Freddie Mac Discount
Note, 0.00%, 11/25/08, value
$16,830,846) $ 16,500,000 16,500,000
Deutsche Bank, 2.18%, dated 7/31/08,
due 8/1/08, (Proceeds at maturity,
$140,006,478, Collateralized by
various U.S. Government Agency
Securities, 3.25%-5.13%,
8/8/08-7/7/15, value $142,801,915) 140,000,000 140,000,000
UBS Investment Bank, 2.15%, dated
7/31/08, due 8/1/08, (Proceeds at
maturity, $64,794,792, Collateralized
by various U.S. Government Agency
Securities, 0.00%, 11/17/08-4/27/09,
value $66,090,689) 64,794,000 64,794,000
--------------
221,294,000
--------------
TOTAL REPURCHASE AGREEMENTS 221,294,000
--------------
TOTAL INVESTMENTS (COST $1,286,842,980)+ - 99.7% 1,286,842,980
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% 3,727,018
--------------
NET ASSETS - 100.0% $1,290,569,998
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Investment is in Institutional Shares of underlying fund/portfolio.
(c) Maturity date is next rate reset date.
The following abbreviation is used in the Schedule of Investments:
CMBS - Commercial Mortgage-Backed Security
See notes to schedules of investments
and notes to financial statements.
17
U.S. TREASURY MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
TREASURY BILLS (11.5%)
1.20%, 8/21/08 ** $ 25,000,000 $ 24,983,333
1.30%, 9/4/08 ** 25,000,000 24,969,400
1.53%, 9/18/08 ** 25,000,000 24,949,000
1.63%, 10/16/08 ** 15,000,000 14,948,542
1.69%, 10/23/08 ** 15,000,000 14,941,554
2.00%, 11/6/08 ** 35,000,000 34,823,312
2.16%, 11/13/08 ** 30,000,000 29,819,300
2.19%, 12/18/08 ** 15,000,000 14,872,873
1.94%, 1/8/09 ** 15,000,000 14,870,700
1.93%, 1/29/09 ** 15,000,000 14,854,483
------------
TOTAL TREASURY BILLS 214,032,497
------------
TREASURY NOTES (12.7%)
4.13%, 8/15/08 20,000,000 19,999,984
4.63%, 9/30/08 20,000,000 20,041,667
3.13%, 10/15/08 25,000,000 25,094,866
4.88%, 10/31/08 20,000,000 20,068,003
3.38%, 12/15/08 25,000,000 25,187,212
4.75%, 12/31/08 40,000,000 40,562,001
4.50%, 3/31/09 25,000,000 25,375,855
3.13%, 4/15/09 30,000,000 30,208,835
3.88%, 5/15/09 30,000,000 30,436,659
------------
TOTAL TREASURY NOTES 236,975,082
------------
SHARES
- -----------------------------------------------------------------------------
MONEY MARKETS (0.1%)
AIM STIT Treasury Portfolio (a) 372,379 372,379
Goldman Sachs Financial Square
Funds - Treasury Obligations
Fund (a) 1,749,425 1,749,425
------------
TOTAL MONEY MARKETS 2,121,804
------------
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS (75.7%)
Bank of America Securities, LLC, 2.02%,
dated 7/31/08, due 8/1/08, (Proceeds
at maturity, $170,009,539,
Collateralized by various U.S.
Treasury Securities, 4.50%-4.75%,
12/31/08-7/31/09,
value $173,400,094) $170,000,000 170,000,000
Barclays PLC, 2.07%, dated 7/31/08,
due 8/1/08, (Proceeds at maturity,
$425,024,438, Collateralized by
various U.S. Treasury Securities,
1.63%-2.00%, 1/15/15-1/15/16,
value $433,500,024) 425,000,000 425,000,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS, CONTINUED
Deutsche Bank, 2.07%, dated 7/31/08,
due 8/1/08, (Proceeds at maturity,
$400,023,000, Collateralized by U.S.
Treasury Security, 2.00%, 1/15/26,
value $408,000,046) $400,000,000 $400,000,000
UBS Investment Bank, 2.06%, dated
7/31/08, due 8/1/08, (Proceeds at
maturity, $414,543,897, Collateralized
by various U.S. Treasury Securities,
1.75%-3.63%, 1/15/25-4/15/32, value
$422,834,769) 414,542,000 414,542,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,409,542,000
--------------
TOTAL INVESTMENTS (COST $1,862,671,383)+ - 100.0% 1,862,671,383
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.0)% (116,160)
--------------
NET ASSETS - 100.0% $1,862,555,223
==============
NOTES TO SCHEDULE OF INVESTMENTS
** Rate represents the effective yield at purchase.
+ Also represents cost for federal income tax purposes.
(a) Investment is in Institutional Shares of underlying fund/portfolio.
See notes to schedules of investments
and notes to financial statements.
18
MICHIGAN MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL BONDS (5.5%)
MICHIGAN (5.5%)
Farmington Hills Economic Development
Corp., Marketing Displays Project,
AMT, 2.87%, 9/1/08, (LOC: Comerica
Bank) (a) (d) $ 50,000 $ 50,000
Grand Haven Michigan Public Imps.,
GO, FSA, 3.00%, 4/1/09 150,000 150,734
Grand Rapids Michigan Water Supply,
1.80%, 1/1/09 1,000,000 1,000,000
Grand Valley State University, Series
A, FSA, 3.00%, 12/1/08 570,000 571,206
Hudsonville Building Authority, GO,
3.00%, 10/1/08 150,000 150,170
Municipal Bond Authority, Clean Water
Revolving Fund, 5.00%, 10/1/08,
(LOC: Michigan Muni Bond
Authority) 360,000 360,876
Municipal Bond Authority, Series B-2,
4.50%, 8/20/08, (LOC: Scotiabank) 3,000,000 3,001,230
Novi Street and Highway, GO, FSA,
5.00%, 10/1/08 2,320,000 2,328,871
State Housing Development Authority,
Parkway Meadows Project, FSA, 3.50%,
10/15/08 930,000 931,614
State Housing Development Authority,
Rental Housing, Series D, AMT, 3.63%,
10/1/08 530,000 530,000
State of Michigan, Series A, 4.00%,
9/30/08, (LOC: Depfa Bank PLC) 1,000,000 1,001,712
Traverse City Area Public Schools,
GO, 3.00%, 5/1/09 1,600,000 1,611,788
Wayne State University, FSA, 5.00%,
11/15/08 2,000,000 2,015,794
------------
TOTAL MUNICIPAL BONDS 13,703,995
------------
COMMERCIAL PAPER (2.1%)
Michigan State Building Authority,
1.70%, 8/7/08, ((LOC: Bank of
New York (60%), (State Street Bank
Corp. (40%)) 5,155,000 5,155,000
------------
TOTAL COMMERCIAL PAPER 5,155,000
------------
MUNICIPAL DEMAND NOTES (85.9%)
ILLINOIS (1.6%)
Chicago Industrial Development
Revenue, John Hofuelster and Son,
Inc. Project, AMT, 2.52%, 8/7/08,
(LOC: Bank of Montreal) (a) (d) 3,945,000 3,945,000
------------
MICHIGAN (74.6%)
Detroit Economic Development Corp.,
Waterfront Reclamation, Series A,
2.20%, 8/7/08, (LOC: Deutshe
Bank AG) (a) (d) 500,000 500,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
East Grand Rapids Public School
District, GO, FSA, Q-SBLF, 5.75%,
5/1/21, (Prerefunded 5/1/09 @ 100) $ 3,220,000 $ 3,336,933
Eastern Michigan University, 2.20%,
8/7/08, (LOC: Dexia Banque SA) (a) (d) 5,000,000 5,000,000
Farmington Hills Economic Development
Corp., Center For Humanistic Studies,
2.40%, 8/7/08, (LOC: Comerica
Bank) (a) (d) 470,000 470,000
Higher Education Facilities
Authority, Adrian College, 2.37%,
8/7/08, (LOC: Comerica Bank) (a) (d) 565,000 565,000
Iron County Economic Development
Corp., Pine River Hardwoods LLC,
2.55%, 8/7/08, (LOC: Marshall & Isley
Bank) (a) (d) 8,000,000 8,000,000
Kent Hospital Finance Authority,
Spectrum Health, Series B-1, 2.15%,
8/6/08, (LOC: RBS Citizens NA) (a) (d) 1,670,000 1,670,000
Livonia Economic Development Corp.,
Madonna University Project, 2.39%,
8/1/08, (LOC: RBS Citizens NA) (a) (d) 4,000,000 4,000,000
Macomb County Hospital Finance
Authority, Mount Clemens General
Hospital, Series A-1, 2.10%, 8/1/08,
(LOC: Comerica Bank) (a) (d) 1,175,000 1,175,000
Manistee Area Public Schools, GO,
FGIC, Q-SBLF, 5.75%, 5/1/19,
(Prerefunded 5/1/09 @ 100) 500,000 517,175
Marquette City Hospital Finance
Authority, Marquette General
Hospital, Series A, 2.33%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 780,000 780,000
Marquette County Economic Development
Corp., Pioneer Laboratories, Series
A, AMT, 2.60%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (d) 450,000 450,000
Michigan Strategic Fund, The Detroit
Edison Co., Series ET, 2.20%, 8/6/08,
(LOC: Scotiabank) (a) (d) 4,000,000 4,000,000
Oakland County Economic Development
Corp., Cadillac Iron, Inc. Project,
AMT, 2.50%, 8/7/08, (LOC: Comerica
Bank) (a) (d) 600,000 600,000
Oakland County Economic Development
Corp., Graph-Tech, Inc. Project, AMT,
2.40%, 8/7/08, (LOC: Bank of
America) (a) (d) 1,090,000 1,090,000
Oakland County Economic Development
Corp., IBC North America, Inc.
Project, AMT, 2.50%, 8/7/08,
(LOC: Comerica Bank) (a) (b) (d) 895,000 895,000
Continued
19
MICHIGAN MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
Oakland County Economic Development
Corp., Moody Family, Ltd. Project,
AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) $ 2,000,000 $ 2,000,000
Oakland County Economic Development
Corp., Openings Project, AMT, 2.40%,
8/7/08, (LOC: Bank of America) (a) (d) 2,755,000 2,755,000
Saline Economic Development Corp.,
Brecon Village Project, 2.20%,
8/6/08, (LOC: JP Morgan, Inc.) (a) (d) 2,900,000 2,900,000
Southfield Economic Development
Corp., Lawrence Technological
University Project, 2.20%, 8/6/08,
(LOC: JP Morgan, Inc.) (a) (d) 3,015,000 3,015,000
State Building Authority, Multi-Modal
Facilities Program IIA, 2.17%,
8/7/08, (LOC: Depfa Bank PLC) (a) (d) 4,890,000 4,890,000
State Building Authority, Multi-Modal
Facilities Program IIB, 2.17%,
8/7/08, (LOC: Depfa Bank PLC) (a) (d) 4,295,000 4,295,000
State Hospital Finance Authority,
Balmoral, 3.90%, 9/1/08, (LOC:
Comerica Bank), (Mandatory Put
9/1/08 @ 100) (a) (b) (d) 415,000 415,000
State Hospital Finance Authority,
Crittenton Hospital, Series A, 2.30%,
8/1/08, (LOC: Comerica Bank) (a) (d) 2,000,000 2,000,000
State Hospital Finance Authority,
Crittenton Hospital, Series B, 2.30%,
8/1/08, (LOC: Comerica Bank) (a) (d) 3,105,000 3,105,000
State Hospital Finance Authority,
Henry Ford Health System, Series C,
2.16%, 8/6/08, (LOC: Royal Bank of
Scotland) (a) (d) 6,000,000 6,000,000
State Housing Development Authority,
Hunt Club Apartments, AMT, 2.34%,
8/7/08, (LOC: FNMA) (a) (d) 475,000 475,000
State Housing Development Authority,
Jewish Apartments and Services
Nonprofit Housing, 2.20%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (d) 5,000,000 5,000,000
State Housing Development Authority,
JFA Nonprofit Housing Corp. Project,
3.20%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (b) (d) 1,000,000 1,000,000
State Housing Development Authority,
Multi-Family, Series A, AMT, 2.40%,
8/7/08, (LOC: FHLB) (a) (d) 6,810,000 6,810,000
Strategic Fund, Agape Plastics, Inc.
Project, AMT, 3.45%, 8/6/08,
(LOC: U.S. Bancorp) (a) (d) 2,200,000 2,200,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
Strategic Fund, APS Kundinger
Project, AMT, 2.50%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) $ 1,000,000 $ 1,000,000
Strategic Fund, Artex Label &
Graphics, AMT, 2.34%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 1,165,000 1,165,000
Strategic Fund, Aspen Realty LLC
Project, AMT, 4.20%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 100,000 100,000
Strategic Fund, Automatic Spring
Products Project, AMT, 2.60%, 8/6/08,
(LOC: Bank of America) (a) (d) 350,000 350,000
Strategic Fund, Bank Real Estate LLC
Project, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 1,990,000 1,990,000
Strategic Fund, Banks Hardwoods, Inc.
Project, AMT, 2.41%, 8/7/08,
(LOC: KeyBank NA) (a) (b) (d) 477,000 477,000
Strategic Fund, Baruch SLS, Inc.
Project, 2.19%, 8/6/08, (LOC:
Wachovia Corp.) (a) (d) 420,000 420,000
Strategic Fund, Biewer of Lansing LLC
Project, AMT, 2.41%, 8/7/08,
(LOC: Bank of America) (a) (b) (d) 225,000 225,000
Strategic Fund, Blair Equipment Co.
Project, AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (d) 700,000 700,000
Strategic Fund, Bowers Manufacturing
Co. Project, AMT, 4.20%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) 300,000 300,000
Strategic Fund, Cayman Chemical Co.
Project, AMT, 2.46%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 760,000 760,000
Strategic Fund, Consumers Energy Co.
Project, AMT, 2.13%, 8/6/08,
(LOC: Wells Fargo & Co.) (a) (d) 4,000,000 4,000,000
Strategic Fund, Continental Carbonic
Products, AMT, 2.35%, 8/7/08, (LOC:
JP Morgan, Inc.) (a) (d) 6,720,000 6,720,000
Strategic Fund, Creative Foam Corp.
Project, AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 2,000,000 2,000,000
Strategic Fund, Delta Containers,
Inc. Project, AMT, 3.43%, 8/7/08,
(LOC: Comerica Bank) (a) (d) 1,200,000 1,200,000
Strategic Fund, Diagnostic Real
Estate LLC, AMT, 3.45%, 8/6/08, (LOC:
JP Morgan, Inc.) (a) (b) (d) 500,000 500,000
Strategic Fund, Eclipse Mold, Inc.
Project, AMT, 4.20%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 200,000 200,000
Continued
20
MICHIGAN MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
Strategic Fund, Emerson School
Project, 2.29%, 8/7/08, (LOC:
KeyBank NA) (a) (b) (d) $ 2,415,000 $ 2,415,000
Strategic Fund, Father Gabriel High
School Project, 2.20%, 8/7/08,
(LOC: Allied Irish Bank PLC) (a) (d) 4,700,000 4,700,000
Strategic Fund, Flyer Fund Leasing
LLC Project, AMT, 3.45%, 8/6/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) 1,065,000 1,065,000
Strategic Fund, Frank Street LLC
Project, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 1,750,000 1,750,000
Strategic Fund, Frederick Wolfgang
Industries Project, AMT, 2.84%,
8/7/08, (LOC: U.S. Bancorp) (a) (d) 765,000 765,000
Strategic Fund, Gebara Management Co.
LLC Project, AMT, 3.45%, 8/6/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) 300,000 300,000
Strategic Fund, Glastender, Inc.
Project, AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 215,000 215,000
Strategic Fund, Great Lake Metal
Stamping, AMT, 3.45%, 8/6/08, (LOC:
JP Morgan, Inc.) (a) (d) 800,000 800,000
Strategic Fund, Harbor Industries,
Inc. Project, AMT, 2.60%, 8/6/08,
(LOC: Bank of America) (a) (d) 400,000 400,000
Strategic Fund, J. G. Kern
Enterprises Project, AMT, 2.40%,
8/7/08, (LOC: Bank of America) (a) (d) 3,950,000 3,950,000
Strategic Fund, JC Gibbons
Manufacturing, Inc. Project, AMT,
2.50%, 8/7/08, (LOC: Comerica
Bank) (a) (d) 720,000 720,000
Strategic Fund, Jet Enterprises LLC
Project, 2.40%, 8/7/08, (LOC: Bank of
America) (a) (b) (d) 300,000 300,000
Strategic Fund, John H. Dekker and
Sons Project, AMT, 2.84%, 8/7/08,
(LOC: Bank of America) (a) (d) 290,000 290,000
Strategic Fund, Joy Properties LLC
Project, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 480,000 480,000
Strategic Fund, Landscape Forms, Inc.
Project, AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 800,000 800,000
Strategic Fund, Lansing Saint Vincent
Home Project, 2.20%, 8/7/08,
(LOC: Comerica Bank) (a) (d) 2,555,000 2,555,000
Strategic Fund, LaPeer Industries,
Inc. Project, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 2,965,000 2,965,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
Strategic Fund, Louisiana-Pacific
Corp., 2.19%, 8/7/08, (LOC: Wachovia
Corp.) (a) (b) (d) $ 4,470,000 $ 4,470,000
Strategic Fund, MacArthur Corp.
Project, AMT, 3.45%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 1,700,000 1,700,000
Strategic Fund, Merrill Group
Project, AMT, 2.52%, 8/7/08,
(LOC: Bank of America) (a) (b) (d) 1,000,000 1,000,000
Strategic Fund, Middleville Tool and
Die Project, AMT, 3.43%, 8/6/08,
(LOC: U.S. Bancorp) (a) (b) (d) 1,500,000 1,500,000
Strategic Fund, Mold Masters Co.
Project, AMT, 4.20%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 1,100,000 1,100,000
Strategic Fund, MOT LLC Project,
2.20%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 960,000 960,000
Strategic Fund, Nicholas Plastics
Project, AMT, 2.34%, 9/2/08, (LOC:
U.S. Bancorp), 9/2/08 @ 100) (a) (d) 1,625,000 1,625,000
Strategic Fund, Non-Ferrous Cast
Alloys Project, AMT, 3.45%, 8/6/08,
(LOC: JP Morgan, Inc.) (a) (d) 235,000 235,000
Strategic Fund, Oak Project, AMT,
2.50%, 8/7/08, (LOC: U.S.
Bancorp) (a) (b) (d) 145,000 145,000
Strategic Fund, Patten Monument
Project, AMT, 2.84%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 475,000 475,000
Strategic Fund, Peachwood Center
Associates, 2.26%, 8/6/08,
(LOC: Comerica Bank) (a) (d) 2,115,000 2,115,000
Strategic Fund, Phipps Emmett
Associates LLC Project, Series A,
AMT, 2.60%, 8/6/08, (LOC: Bank of
America) (a) (d) 2,000,000 2,000,000
Strategic Fund, Premier Property
Holdings, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 2,490,000 2,490,000
Strategic Fund, Production
Engineering Project, AMT,
2.40%, 8/7/08, (LOC: Bank of
America) (a) (b) (d) 1,000,000 1,000,000
Strategic Fund, R.A. Rink LLC
Project, AMT, 3.45%, 8/6/08,
(LOC: Bank of America) (a) (b) (d) 840,000 840,000
Strategic Fund, R.L. Adams Plastics,
Inc. Project, AMT, 2.50%, 8/7/08,
(LOC: Comerica Bank) (a) (b) (d) 1,130,000 1,130,000
Strategic Fund, RL Enterprises LLC
Project, AMT, 4.30%, 8/7/08,
(LOC: Comerica Bank) (a) (b) (d) 200,000 200,000
Continued
21
MICHIGAN MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MICHIGAN, CONTINUED
Strategic Fund, Solid Waste Disposal,
Grayling Generating Project, AMT,
2.13%, 8/6/08, (LOC: Barclays Bank
PLC) (a) (d) $ 2,414,000 $ 2,414,000
Strategic Fund, Stegner East
Investments LLC Project, AMT, 2.50%,
8/7/08, (LOC: Comerica Bank) (a) (b) (d) 3,185,000 3,185,000
Strategic Fund, Trenton Forging Co.
Project, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (b) (d) 780,000 780,000
Strategic Fund, Ultra Tech Printing
Co., AMT, 2.84%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 930,000 930,000
Strategic Fund, Universal Forest
Production Project, 2.34%, 8/7/08, 2,800,000 2,800,000
(LOC: JP Morgan, Inc.) (a) (d)
Strategic Fund, Waltec American
Forgings, AMT, 3.45%, 8/7/08, (LOC:
JP Morgan, Inc.) (a) (b) (d) 1,115,000 1,115,000
Strategic Fund, Warren Screw
Products, Inc. Project, AMT, 4.20%,
8/6/08, (LOC: JP Morgan, Inc.) (a) (b) (d) 400,000 400,000
Strategic Fund, Whitehall Industries,
Inc., AMT, 3.45%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 900,000 900,000
Strategic Fund, Whitehall Industries,
Inc. Project, AMT, 2.70%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (d) 4,800,000 4,800,000
Strategic Fund, YMCA of Metro Detroit
Project, 2.40%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 1,000,000 1,000,000
University of Michigan Hospital,
Series A, 2.25%, 8/1/08, (LOC:
University of Michigan) (a) (d) 5,200,000 5,200,000
University of Michigan Hospital,
Series A-2, 2.25%, 8/1/08,
(LOC: University of Michigan) (a) (d) 1,500,000 1,500,000
Wayne Charter County Airport Revenue,
Series B, MBIA, 5.00%, 12/1/28,
(Prerefunded 12/1/08 @ 101) 1,000,000 1,027,410
Wayne County Airport Authority
Revenue, Series C1, AMT, 2.25%,
8/7/08, (LOC: Wachovia Corp.) (a) (d) 9,500,000 9,500,000
------------
185,022,518
------------
MINNESOTA (0.6%)
St Paul Housing and Redevelopment
Authority, Kendrick Apartments
Project, AMT, 2.50%, 8/6/08,
(LOC: U.S. Bancorp) (a) (d) 1,595,000 1,595,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
OHIO (2.0%)
Air Quality Development Authority,
Pollution Control, Series C, 2.30%,
8/1/08, (LOC: Wachovia Corp.) (a) (d) $ 5,000,000 $ 5,000,000
------------
PUERTO RICO (4.5%)
Industrial Medical and Environmental
Pollution Control Facilities
Financing Authority, 2.25%, 3/1/09,
(LOC: Abbott) (a) (b) (d) 5,195,000 5,195,000
Puerto Rico Highway & Transportation
Authority, Series A, 2.10%, 8/6/08,
(LOC: ScotiaBank) (a) (d) 6,000,000 6,000,000
------------
11,195,000
------------
TEXAS (2.0%)
Lower Neches Valley Authority
Industrial Development Corp.,
Series B-2, AMT, 2.05%, 8/1/08,
(LOC: Standalone) (a) (d) 5,000,000 5,000,000
------------
WASHINGTON (0.6%)
Economic Development Finance
Authority, Hillstrom Ventures LLC,
AMT, 2.32%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 1,400,000 1,400,000
------------
TOTAL MUNICIPAL DEMAND NOTES 213,157,518
------------
SHARES
- -----------------------------------------------------------------------------
MONEY MARKETS (7.0%)
AIM TFIT Tax-Free Cash Reserve
Portfolio (c) 113,289 113,289
Dreyfus Tax Exempt Cash
Management (c) 35,545 35,545
Goldman Sachs Financial Square Funds -
Tax-Free Money Market Fund (c) 17,113 17,114
Merrill Lynch Funds For Institutions
Series - Institutional Tax-Exempt
Fund (c) 17,165,967 17,165,967
------------
TOTAL MONEY MARKETS 17,331,915
------------
TOTAL INVESTMENTS (COST $249,348,428)+ - 100.5% 249,348,428
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5%) (1,212,276)
------------
NET ASSETS - 100.0% $248,136,152
============
Continued
22
MICHIGAN MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
AMT - Alternative Minimum Tax Paper
FGIC - Financial Guaranty Insurance Co.
FHLB - Federal Home Loan Bank
FNMA - Federal National Mortgage Association
FSA - Financial Security Assurance, Inc.
GO - General Obligation
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
Q-SBLF - Qualified School Bond Loan Fund
Continued
INVESTMENT CONCENTRATION AS A PERCENTAGE OF NET ASSETS,
BY INDUSTRY:
Airport 0.4%
Cash & Cash Equivalents 7.0%
Development 7.0%
Education 3.7%
Facilities 4.2%
General 5.5%
General Obligation 1.7%
Higher Education 5.4%
Housing 0.8%
Industrial 32.5%
Medical 9.2%
Multifamily Housing 5.8%
Pollution 4.1%
Regional Authority 2.1%
Retirement/Aged Care 1.2%
Revenue Bonds 6.1%
Transportation 3.4%
Utilities 0.4%
See notes to schedules of investments
and notes to financial statements.
23
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL BONDS (5.3%)
COLORADO (0.2%)
Denver City and County Airport,
Series D, AMT, FSA, 5.00%,
11/15/08 $ 1,020,000 $ 1,027,227
------------
DISTRICT OF COLUMBIA (1.3%)
Metropolitan Washington Airports
Authority, Series C, AMT, FSA, 5.00%,
10/1/08 6,000,000 6,027,186
------------
ILLINOIS (0.1%)
Du Page County Water Revenue, Series
A, 3.00%, 1/1/09 200,000 200,818
East Chicago Multi School Building
Corp., 3.50%, 1/15/09 245,000 245,981
------------
446,799
------------
INDIANA (1.6%)
Brownsburg 1999 School Building
Corp., FSA, 3.25%, 1/15/09 1,140,000 1,146,903
Fort Wayne-South Side School Building
Corp., FSA, 3.25%, 1/15/09 1,000,000 1,006,739
Lake County Building Corp., MBIA,
4.75%, 8/1/08 600,000 600,000
MSD Warren Township Vision 2005
School Building Corp., FSA, 3.25%,
1/10/09 1,425,000 1,431,515
South Bend Community School Corp.,
FSA, 3.00%, 1/5/09 535,000 536,575
West Lafayette Junior-Senior High
School Building Corp., FSA, 3.25%,
1/10/09 920,000 926,215
Western Boone Multi-School Building
Corp., GO, FSA, 3.50%, 1/10/09 685,000 687,828
Whitley County Middle School Building
Corp., FSA, 3.25%, 1/15/09 885,000 889,152
------------
7,224,927
------------
MICHIGAN (0.7%)
Municipal Bond Authority, Series B-2,
4.50%, 8/20/08, (LOC: Scotiabank) 2,000,000 2,000,820
State Hospital Finance Authority,
Edward W. Sparrow Hospital, 5.25%,
11/15/08 1,125,000 1,131,130
------------
3,131,950
------------
TEXAS (1.0%)
Dallas-Fort Worth International
Airport Facilities Improvement Corp.,
Series A, AMT, FGIC, 5.50%, 11/1/08 3,560,000 3,576,877
Greater Texoma Utility Authority,
City of Sherman Project, FSA, 4.00%,
10/1/08 375,000 375,303
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL BONDS, CONTINUED
TEXAS, CONTINUED
Round Rock Independent School
District, GO, PSF, 5.50%, 8/1/08 $ 500,000 $ 500,000
------------
4,452,180
------------
WISCONSIN (0.4%)
Chippewa Valley Technical College
District, Series A, GO, 3.00%, 4/1/09 340,000 341,664
Middleton-Cross Plains Area School
District, GO, 3.00%, 4/1/09 1,280,000 1,288,375
------------
1,630,039
------------
TOTAL MUNICIPAL BONDS 23,940,308
------------
COMMERCIAL PAPER (1.3%)
Michigan State Building Authority,
1.70%, 8/7/08, ((LOC: Bank of
New York (60%), (State Street Bank
Corp. (40%)) 5,000,000 5,000,000
Municipal Power Agency, 1.45%,
8/5/08 840,000 840,000
------------
TOTAL COMMERCIAL PAPER 5,840,000
------------
MUNICIPAL DEMAND NOTES (90.7%)
ALABAMA (2.7%)
Birmingham Industrial Development
Board, American Cast Iron Pipe Co.
Project, AMT, 2.60%, 8/1/08,
(LOC: Wachovia Corp.) (a) (d) 3,470,000 3,470,000
Stevenson Industrial Development
Board Environmental Improvement
Revenue, Mead Corp. Project, AMT,
2.35%, 8/6/08, (LOC: JP Morgan,
Inc.) (a) (d) 1,300,000 1,300,000
Stevenson Industrial Development
Board Environmental Improvement
Revenue, Mead Corp. Project, Series
A, AMT, 2.35%, 8/6/08, (LOC: JP
Morgan, Inc.) (a) (d) 7,400,000 7,400,000
------------
12,170,000
------------
ARIZONA (0.7%)
Pima County Industrial Development
Authority, Multi-Family Housing,
Eastside Apartments, Series B, AMT,
2.41%, 8/7/08, (LOC: FNMA) (a) (d) 3,000,000 3,000,000
------------
ARKANSAS (0.4%)
City of Sheridan, H.H. Robertson Co.
Project, Series A, 2.19%, 8/7/08,
(LOC: PNC Bank NA) (a) (b) (d) 2,000,000 2,000,000
------------
Continued
24
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
CALIFORNIA (2.1%)
City of Los Angeles, Multi-Family
Housing Project, Asbury Apartments
Project, Series A, AMT, 2.46%,
8/1/08, (LOC: Citigroup, Inc.) (a) (d) $ 5,400,000 $ 5,400,000
Concord Multifamily Housing,
Maplewood & Golden Glen, Series A,
AMT, 2.44%, 8/7/08, (LOC:
Citigroup, Inc.) (a) (d) 1,940,000 1,940,000
Los Angeles Community Redevelopment
Agency, Wilshire Station Apartments,
Series A, AMT, 2.16%, 8/1/08,
(LOC: Bank of America) (a) (d) 2,000,000 2,000,000
------------
9,340,000
------------
COLORADO (3.5%)
Boulder Housing Authority, Broadway
East Apartments Project, AMT, 2.34%,
8/7/08, (LOC: U.S. Bancorp) (a) (d) 1,875,000 1,875,000
Central Platte Valley Metropolitan
District, Series B, GO, 3.50%,
12/1/08, (LOC: BNP Paribas),
(Mandatory Put 12/1/08 @ 100) (a) (d) 2,000,000 2,000,000
City of Colorado Springs, Catalono
Family LLP Project, AMT, 4.20%,
8/7/08, (LOC: JP Morgan, Inc.) (a) (b) (d) 585,000 585,000
City of Colorado Springs, National
Strength and Condition, 2.34%,
8/7/08, (LOC: Wells Fargo & Co.) (a) (d) 635,000 635,000
Commerce City Northern Infrastructure
General Improvement District,
GO, 2.24%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 1,500,000 1,500,000
Durango Community Health and Human
Services, 2.34%, 8/7/08, (LOC: Wells
Fargo & Co.) (a) (d) 515,000 515,000
Housing and Finance Authority, High
Desert Properties Project, Series A,
AMT, 2.34%, 8/7/08, (LOC: Wells
Fargo & Co.) (a) (d) 2,180,000 2,180,000
Housing and Finance Authority, Ready
Foods, Inc. Project, Series A,
AMT, 2.32%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 2,000,000 2,000,000
Parker Automotive Metropolitan
District, GO, 3.50%, 12/1/08, (LOC:
U.S. Bancorp), (Mandatory Put
12/1/08 @ 100) (a) (d) 2,000,000 2,000,000
Solaris Metropolitan District No. 1,
2.29%, 8/6/08, (LOC: KeyBank
NA) (a) (d) 2,500,000 2,500,000
------------
15,790,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
DELAWARE (2.7%)
Sussex County Development, Perdue
Agrirecycle LLC Project, AMT, 2.35%,
8/6/08, (LOC: SunTrust Banks,
Inc.) (a) (d) $ 5,000,000 $ 5,000,000
Sussex County Development, Perdue
Farms, Inc. Project, AMT, 2.40%,
8/7/08, (LOC: Rabobank
Nederland NV) (a) (d) 7,000,000 7,000,000
------------
12,000,000
------------
DISTRICT OF COLUMBIA (0.7%)
District of Columbia Enterprise,
American Immigration Association,
AMT, MBIA, 2.27%, 8/7/08,
(LOC: Wachovia Corp.) (a) (d) 3,000,000 3,000,000
------------
FLORIDA (6.6%)
Capital Trust Agency, Aero Miami FX
Project, Air Cargo, AMT, 2.35%,
8/7/08, (LOC: JP Morgan, Inc.) (a) (d) 8,960,000 8,960,000
Collier County Housing Finance
Authority, George Washington Carver
Apartments Project, AMT, 2.35%,
8/6/08, (LOC: PNC Bank NA) (a) (d) 1,295,000 1,295,000
Hillsborough County Housing Finance
Authority Multi-Family Housing,
Claymore Crossings Apartments, AMT,
2.30%, 8/6/08, (LOC: Citigroup,
Inc.) (a) (d) 1,340,000 1,340,000
Lake County Industrial Development
Authority, Locklando Door & Millwork,
AMT, 2.29%, 8/7/08, (LOC: RBC
Centura Bank) (a) (d) 2,883,000 2,883,000
Ocean Highway and Port Authority,
AMT, 2.75%, 8/6/08, (LOC: Wachovia
Corp.) (a) (d) 1,615,000 1,615,000
Orange County Industrial Development
Authority, Goodwill Industries, Inc.
Project, 2.20%, 8/6/08, (LOC:
SunTrust Banks, Inc.) (a) (b) (d) 2,100,000 2,100,000
Palm Beach County, Galaxy Aviation
Airport Project, AMT, 2.35%, 8/6/08,
(LOC: Citigroup, Inc.) (a) (d) 7,700,000 7,700,000
Palm Beach County Housing Finance
Authority, Multi-Family Housing,
Azalea Place Apartments Project,
Series A, AMT, 2.49%, 8/6/08,
(LOC: FHLMC) (a) (b) (d) 3,825,000 3,825,000
------------
29,718,000
------------
Continued
25
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
GEORGIA (3.4%)
De Kalb County Housing Authority,
Stone Mill Run Apartments Project,
Series A, AMT, 2.54%, 8/7/08,
(LOC: Regions Bank) (a) (d) $ 7,475,000 $ 7,475,000
Emanuel County Development
Authority, Jabo Metal Fabrication
Project, AMT, 2.40%, 8/6/08,
(LOC: SunTrust Banks, Inc.) (a) (d) 1,020,000 1,020,000
Kennesaw Development Authority,
Multi-Family Housing, Walton
Ridenour Apartments, AMT,
2.34%, 8/6/08, (LOC:
SunTrust Banks, Inc.) (a) (d) 1,500,000 1,500,000
Smyrna Housing Authority, Walton
Grove Project, AMT, 2.24%, 8/7/08,
(LOC: Wachovia Corp.) (a) (d) 5,200,000 5,200,000
------------
15,195,000
------------
IDAHO (0.5%)
Hailey Industrial Development Corp.,
Rocky Mountain Hardware Project,
AMT, 2.44%, 8/7/08, (LOC: Wells
Fargo & Co.) (a) (b) (d) 915,000 915,000
Power County, Pollution Control, FMC
Corp. Project, 2.50%, 8/1/08,
(LOC: Wachovia Corp.) (a) (d) 1,200,000 1,200,000
------------
2,115,000
------------
ILLINOIS (9.8%)
Chicago O'Hare International Airport,
Compagnie National Air France,
AMT, 2.30%, 8/6/08, (LOC: Societe
Generale) (a) (d) 3,000,000 3,000,000
City of Chicago Solid Waste Disposal,
Groot Industries, Inc. Project, AMT,
3.20%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (b) (d) 2,000,000 2,000,000
City of Crystal Lake Development,
Millennium Electronics Project,
AMT, 2.89%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 1,440,000 1,440,000
City of Peoria, Peoria Academy, Inc.
Project, 3.20%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 4,100,000 4,100,000
City of Savanna, Metform Corp.,
Series A, AMT, 2.70%, 8/6/08, (LOC:
JP Morgan, Inc.) (a) (d) 1,800,000 1,800,000
County of Lake, Northpoint Associates
LLC Project, AMT, 2.68%, 8/6/08,
(LOC: Northern Trust Corp.) (a) (d) 1,200,000 1,200,000
Finance Authority, Diamond-Star
Motors Corp. Project, 2.10%, 8/1/08,
(LOC: KeyBank NA) (a) (b) (d) 900,000 900,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
ILLINOIS, CONTINUED
Finance Authority, Florence Corp.
Project, AMT, 4.20%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) $ 615,000 $ 615,000
Finance Authority, Northwest Pallet
Supply Project, AMT, 2.52%, 8/7/08,
(LOC: Bank of Montreal) (a) (d) 3,320,000 3,320,000
Finance Authority, Quality Metal
Finishing Co., AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 1,300,000 1,300,000
Finance Authority, Reliable Materials
Project, AMT, 2.34%, 8/6/08,
(LOC: Marshall & Isley Bank) (a) (d) 3,435,000 3,435,000
Finance Authority, Stromberg Allen &
Co. Project, AMT, 2.70%, 8/7/08,
(LOC: Bank of America) (a) (d) 7,500,000 7,500,000
Finance Authority, Transparent
Container Project, AMT, 2.70%,
8/7/08, (LOC: JP Morgan, Inc.) (a) (d) 1,500,000 1,500,000
Finance Authority, Waste Management
Project, AMT, 2.40%, 8/7/08,
(LOC: Wachovia Corp.) (a) (d) 1,900,000 1,900,000
Lake Villa Allendale Association
Project, 2.27%, 8/7/08, (LOC: Bank of
America) (a) (b) (d) 1,225,000 1,225,000
Quad Cities Regional Economic
Development Authority, AMT,
2.50%, 8/7/08, (LOC: Wells
Fargo & Co.) (a) (d) 1,055,000 1,055,000
Rock Island County Metropolitan
Airport Authority, Elliot Aviation,
AMT, 2.40%, 8/6/08, (LOC: U.S.
Bancorp) (a) (d) 2,155,000 2,155,000
Southwestern Illinois Development
Authority, Waste Management, Inc.
Project, AMT, 3.45%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 1,400,000 1,400,000
Village of Arlington Heights
Industrial Revenue, 3E Graphics &
Printing Project, AMT, 2.60%, 8/7/08,
(LOC: Bank of Montreal) (a) (d) 1,155,000 1,155,000
West Chicago Industrial, Bison Gear
and Engineering, AMT, 2.40%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) 1,484,000 1,484,000
Wheeling Industrial, Circuit Service,
Inc. Project, AMT, 3.45%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) 1,000,000 1,000,000
Woodridge Development, Home Run Inn
Frozen Foods, AMT, 4.20%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (d) 900,000 900,000
------------
44,384,000
------------
Continued
26
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
INDIANA (3.7%)
County of St Joseph Family and
Children's Center Project, 2.34%,
8/7/08, (LOC: Wells Fargo & Co.) (a) (d) $ 1,900,000 $ 1,900,000
Dekko Foundation Educational
Facilities Tax Exempt Income Trust,
Series 1, 2.35%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 750,000 750,000
Development Finance Authority, BHAR,
Inc. Project, AMT, 3.45%, 8/7/08,
(LOC: JP Morgan, Inc.) (a) (d) 1,100,000 1,100,000
Development Finance Authority, I.V.C.
Industrial Coatings, Inc. Project,
AMT, 3.45%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 2,335,000 2,335,000
Development Finance Authority,
Republic Services, Inc. Project, AMT,
2.27%, 8/1/08, (LOC: SunTrust Banks,
Inc.) (a) (d) 2,000,000 2,000,000
Development Finance Authority, South
Central Mental Health, 2.34%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (b) (d) 3,000,000 3,000,000
Gary Chicago International Airport
Authority, AMT, 2.79%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 4,100,000 4,100,000
Indianapolis Economic Development
Revenue, Roth Co., Inc. Project,
AMT 2.55%, 8/6/08, (LOC: Comerica
Bank) (a) (d) 1,300,000 1,300,000
------------
16,485,000
------------
IOWA (0.6%)
Scott County Industrial, M.A. Ford
Manufacturing Co., Inc. Project, AMT,
2.34%, 8/7/08, (LOC: Wells Fargo &
Co.) (a) (d) 2,805,000 2,805,000
------------
KENTUCKY (2.0%)
Economic Development Finance
Authority, Republic Services, Inc.
Project, AMT, 2.35%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (d) 6,075,000 6,075,000
Economic Development Finance
Authority, Republic Services, Inc.
Project, AMT, 2.72%, 8/7/08,
(LOC: Bank of America) (a) (d) 3,000,000 3,000,000
------------
9,075,000
------------
LOUISIANA (1.1%)
Calcasieu Parish Industrial
Development Board, AMT, 2.70%,
8/6/08, (LOC: JP Morgan, Inc.) (a) (d) 4,900,000 4,900,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MAINE (0.7%)
Finance Authority of Maine, William
Arthur, Inc., AMT, 3.45%, 8/6/08,
(LOC: JP Morgan, Inc.) (a) (b) (d) $ 3,100,000 $ 3,100,000
------------
MARYLAND (0.8%)
Maryland Industrial Development
Financing Authority, Paul Reed Smith
Guitar, AMT, 2.45%, 8/1/08,
(LOC: PNC Bank NA) (a) (d) 3,500,000 3,500,000
------------
MICHIGAN (3.7%)
Grand Rapids, Clipper Belt Lacer Co.,
Project, AMT, 2.40%, 8/7/08,
(LOC: Bank of America) (a) (d) 4,000,000 4,000,000
Grand Valley State University, Series
B, 2.09%, 8/7/08, (LOC: RBS Citizens
NA) (a) (d) 3,500,000 3,500,000
Higher Education Facilities
Authority, University of Detroit
Mercy, 2.10%, 8/1/08, (LOC: JP
Morgan, Inc.) (a) (d) 565,000 565,000
Macomb County Hospital Finance
Authority, Mount Clemens General
Hospital, Series A-1, 2.10%, 8/1/08,
(LOC: Comerica Bank) (a) (d) 535,000 535,000
Michigan Strategic Fund, R.Z. Co.
Project, AMT, 2.50%, 8/7/08,
(LOC: Comerica Bank) (a) (b) (d) 695,000 695,000
State Hospital Finance Authority,
Henry Ford Health System, Series C,
2.16%, 8/6/08, (LOC: Royal Bank of
Scotland) (a) (d) 6,550,000 6,550,000
Strategic Fund, Heartland Goodwill
Project, 2.20%, 8/7/08, (LOC: Bank of
America) (a) (d) 900,000 900,000
------------
16,745,000
------------
MINNESOTA (2.3%)
City of Blue Earth Development,
Nortech Systems, Inc. Project, AMT,
2.44%, 8/7/08, (LOC: Wells Fargo &
Co.) (a) (d) 1,180,000 1,180,000
City of Minneapolis, Minnehaha
Academy Project, 2.32%, 8/1/08,
(LOC: U.S. Bancorp) (a) (d) 3,386,000 3,386,000
Lauderdale, Children's Home Society
Project, 2.32%, 8/1/08, (LOC: U.S.
Bancorp) (a) (d) 100,000 100,000
Little Canada, Wellington III
Project, AMT, 2.50%, 8/7/08,
(LOC: U.S. Bancorp) (a) (b) (d) 1,010,000 1,010,000
Continued
27
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
MINNESOTA, CONTINUED
Roseville Health Care Facilities,
Presbyterian Homes Project, 2.25%,
8/1/08, (LOC: U.S. Bancorp) (a) (d) $ 2,525,000 $ 2,525,000
St Paul Housing and Redevelopment
Authority, Kendrick Apartments
Project, AMT, 2.50%, 8/6/08,
(LOC: U.S. Bancorp) (a) (d) 975,000 975,000
St. Paul Port Authority, AMT,
2.34%,8/7/08, (LOC: Wells
Fargo & Co.) (a) (d) 990,000 990,000
------------
10,166,000
------------
MISSOURI (1.6%)
Missouri State Development Finance
Board, St Louis Air Cargo Services,
AMT, 2.30%, 8/7/08, (LOC: American
National B&T) (a) (d) 2,000,000 2,000,000
State Health & Educational Facilities
Authority, Bethesda Health Group,
2.25%, 8/1/08, (LOC: U.S.
Bancorp) (a) (d) 3,000,000 3,000,000
State Health & Educational Facilities
Authority, Drury College, 2.25%,
8/1/08, (LOC: Bank of America) (a) (d) 965,000 965,000
State Health & Educational Facilities
Authority, Drury University, 2.25%,
8/1/08, (LOC: Bank of America) (a) (d) 1,485,000 1,485,000
------------
7,450,000
------------
MONTANA (0.2%)
Cascade County, Montana Milling, Inc.
Project, AMT, 2.44%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (d) 1,100,000 1,100,000
------------
NEBRASKA (0.5%)
County of Washington Industrial
Development, Cargill Dow Polymers
LLC, Series D, AMT, 2.22%, 8/1/08,
(LOC: Wachovia Corp.) (a) (d) 2,300,000 2,300,000
------------
NEVADA (1.5%)
Housing Division, Multi-Family
Housing, Golden Apartments, AMT,
2.35%, 8/7/08, (LOC: FHLMC) (a) (d) 1,200,000 1,200,000
Housing Division, Multi-Family
Housing, Series A, AMT, 2.40%,
8/7/08, (LOC: Wachovia Corp.) (a) (d) 3,000,000 3,000,000
Housing Division, Multi-Unit Housing
Revenue Project, Series A, AMT,
2.35%, 8/7/08, (LOC: Wachovia
Corp.) (a) (d) 2,500,000 2,500,000
------------
6,700,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
NEW MEXICO (0.7%)
Bernalillo County Multifamily Housing
Project, AMT, 2.30%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) $ 3,200,000 $ 3,200,000
------------
NORTH CAROLINA (2.0%)
Capital Facilities Finance Agency,
Duke Energy Carolinas Project,
Series A, AMT, 2.40%, 8/7/08, (LOC:
Wachovia Corp.) (a) (d) 4,000,000 4,000,000
Capital Facilities Finance Agency,
Duke Energy Carolinas Project, Series B,
AMT, 2.22%, 8/7/08, (LOC:
Wachovia Corp.) (a) (d) 4,500,000 4,500,000
Montgomery County Industrial
Facilities & Pollution Control
Financing Authority, AMT,
2.27%, 8/1/08, (LOC: SunTrust
Banks, Inc.) (a) (d) 700,000 700,000
------------
9,200,000
------------
NORTH DAKOTA (0.1%)
Hebron Industrial, Dacco, Inc.
Project, AMT, 2.45%, 8/7/08,
(LOC: U.S. Bancorp) (a) (b) (d) 520,000 520,000
------------
OHIO (1.8%)
Air Quality Development Authority,
Pollution Control, Series C, 2.30%,
8/1/08, (LOC: Wachovia Corp.) (a) (d) 4,500,000 4,500,000
Cleveland-Cuyahoga County Port
Authority, CBT Project, AMT, 2.84%,
8/7/08, (LOC: Royal Bank of
Scotland) (a) (d) 1,700,000 1,700,000
County of Coshocton Hospital
Facilities, Echoing Hills Village,
Inc. Project, 3.13%, 8/7/08, (LOC: JP
Morgan, Inc.) (a) (b) (d) 165,000 165,000
County of Montgomery Health Care,
Community Blood Center Project,
3.13%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 1,370,000 1,370,000
Summit County Industrial, SSP
Fittings Corp. Project, 4.13%,
8/7/08, (LOC: JP Morgan, Inc.) (a) (d) 575,000 575,000
------------
8,310,000
------------
OKLAHOMA (0.4%)
Oklahoma Industries Authority, Casady
School Project, 3.20%, 8/7/08, (LOC:
JP Morgan, Inc.) (a) (d) 1,980,000 1,980,000
------------
Continued
28
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
OREGON (0.6%)
Port of Portland, Portland Bulk
Terminal, AMT, 2.40%, 8/7/08,
(LOC: Canadian Imperial Bank of
Commerce) (a) (d) $ 2,000,000 $ 2,000,000
State of Oregon Economic Development,
McFarland Cascade, Series 175,
AMT, 2.45%, 8/7/08, (LOC: U.S.
Bancorp) (a) (b) (d) 500,000 500,000
------------
2,500,000
------------
PENNSYLVANIA (3.5%)
Allegheny County Industrial
Development Authority, Sacred Heart
High School, 2.23%, 8/7/08,
(LOC: PNC Bank NA) (a) (d) 1,140,000 1,140,000
Allegheny County Industrial
Development Authority, Sewickley
Academy, Series A, 2.24%, 8/7/08,
(LOC: PNC Bank NA) (a) (d) 900,000 900,000
Berks County Industrial Development
Authority, Manufacturing Facilities,
Ram Industries, Inc. Project, AMT,
2.35%, 8/6/08, (LOC: PNC Bank
NA) (a) (d) 960,000 960,000
Chester County Industrial Development
Authority, 2.15%, 8/1/08,
(LOC: Wachovia Corp.) (a) (d) 3,590,000 3,590,000
Higher Educational Facilities
Authority, Associated Independent
Colleges & Universities, Series G3,
3.38%, 11/1/08, (LOC: PNC Bank NA),
(Mandatory Put 11/1/08 @ 100) (a) (d) 1,200,000 1,200,000
Higher Educational Facilities
Authority, Gwynedd Mercy College,
Series P1, RADIAN, 2.15%, 5/1/09,
(LOC: Commerce Bank/PA NA),
(Mandatory Put 5/1/09 @ 100) (a) (d) 5,000,000 5,000,000
Schuyulkill County, Industrial
Development Authority, AMT, 2.25%,
8/1/08, (LOC: Dexia Banque SA) (a) (d) 600,000 600,000
Union County Hospital Authority,
Evangelical Community Hospital,
RADIAN, 2.23%, 8/7/08, (LOC: Bank of
America) (a) (d) 1,150,000 1,150,000
Westmoreland County Industrial
Development Authority, Greensburg
Thermal, Series A, 2.19%, 8/7/08,
(LOC: PNC Bank NA) (a) (d) 1,425,000 1,425,000
------------
15,965,000
------------
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
RHODE ISLAND (0.1%)
Warwick Housing Authority, Trafalgar
East Apartments Project, AMT,
2.25%, 8/1/08, (LOC: Bank of
America) (a) (b) (d) $ 600,000 $ 600,000
------------
SOUTH CAROLINA (0.3%)
South Carolina Jobs-Economic
Development Authority, Accutrex
Products Precision, AMT, 2.34%,
8/1/08 , (LOC: PNC Bank NA) (a) (d) 1,290,000 1,290,000
------------
SOUTH DAKOTA (0.1%)
County of Lawrence Solid Waste
Disposal, Series A, AMT, 2.22%,
8/1/08, (LOC: JP Morgan, Inc.) (a) (d) 500,000 500,000
------------
TENNESSEE (4.1%)
Covington Industrial Development
Board, Charms Co. Project, AMT,
2.72%, 8/6/08, (LOC: Bank of
America) (a) (d) 5,000,000 5,000,000
Greeneville Industrial Development
Board, Pet, Inc. Project, 2.19%,
8/7/08, (LOC: BNP Paribas) (a) (b) (d) 500,000 500,000
Jackson Industrial Development Board,
General Cable Corp. Project, AMT,
2.34%, 8/7/08, (LOC: PNC Bank
NA) (a) (d) 8,000,000 8,000,000
Lewisburg Industrial Development
Board, Waste Management, Inc.
Project, AMT, 2.29%, 8/7/08,
(LOC: Wachovia Corp.) (a) (d) 3,000,000 3,000,000
Loudon Industrial Development Board,
Continental Carbonic Products, AMT,
3.45%, 8/7/08, (LOC: JP Morgan,
Inc.) (a) (d) 1,875,000 1,875,000
------------
18,375,000
------------
TEXAS (9.4%)
Beaumont Independent School District,
GO, PSF, 4.00%, 8/15/08, (LOC: BNP
Paribas), (Mandatory Put
8/15/08 @ 100) (a) (d) 2,000,000 2,006,273
Brazos Harbor Industrial Development
Corp., American Rice, Inc. Project,
Series B, AMT, 2.35%, 8/7/08,
(LOC: HSBC Holdings PLC) (a) (d) 9,950,000 9,950,000
Brazos River Authority, Series D-2,
AMT, 2.38%, 8/6/08, (LOC: Citigroup,
Inc.) (a) (d) 1,010,000 1,010,000
Colorado River Municipal Water
District, Republic Waste Services,
Inc. Project, AMT, 2.43%, 8/7/08,
(LOC: Bank of America) (a) (d) 4,000,000 4,000,000
Continued
29
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
TEXAS, CONTINUED
Lower Neches Valley Authority
Industrial Development Corp.,
ExxonMobil Project, Series B,
AMT, 2.05%, 8/1/08, (LOC:
Standalone) (a) (d) $ 12,000,000 $ 12,000,000
Lower Neches Valley Authority
Industrial Development Corp.,
ExxonMobil Project, Series B-4,
AMT, 2.05%, 8/1/08, (LOC:
Standalone) (a) (d) 7,300,000 7,300,000
Mission Economic Development Corp.,
Allied Waste No America, Inc.
Project, AMT, Series A, 2.40%,
8/7/08, (LOC: Bank of America) (a) (d) 4,200,000 4,200,000
Waco Industrial Development Corp.,
Patriot Homes of Texas Project, AMT,
2.50%, 8/6/08, (LOC: Wells Fargo &
Co.) (a) (d) 1,800,000 1,800,000
------------
42,266,273
------------
UTAH (0.6%)
County of Salt Lake, Community
Foundation Disabled Project, 2.34%,
8/7/08, (LOC: Wells Fargo & Co.) (a) (d) 1,515,000 1,515,000
Housing Corp., Multi-Family Housing,
Pointe Apartments Project, AMT,
2.32%, 8/7/08, (LOC: U.S.
Bancorp) (a) (d) 1,100,000 1,100,000
West Valley City, Johnson Matthey,
Inc. Project, 2.10%, 8/1/08,
(LOC: HSBC Holdings PLC) (a) (b) (d) 300,000 300,000
------------
2,915,000
------------
VIRGINIA (0.5%)
Brunswick County Industrial
Development Authority, Aegis Waste
Solutions, Inc., AMT, 4.20%, 8/7/08,
(LOC: Credit Suisse Group) (a) (d) 1,000,000 1,000,000
Suffolk Redevelopment and Housing
Authority, North Beach Apartments,
2.34%, 8/7/08, (LOC: SunTrust Banks,
Inc.) (a) (b) (d) 1,200,000 1,200,000
------------
2,200,000
------------
WASHINGTON (4.9%)
Economic Development Finance
Authority, B & H Dental Laboratory
Project, Series B, AMT, 2.32%,
8/7/08, (LOC: U.S. Bancorp) (a) (d) 1,715,000 1,715,000
Economic Development Finance
Authority, Novelty Hill Properties
LLC, Series C, AMT, 2.12%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 3,210,000 3,210,000
Continued
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
WASHINGTON, CONTINUED
Health Care Facilities Authority,
Swedish Health Services, 2.28%,
8/6/08, (LOC: Citigroup, Inc.) (a) (b) (d) $ 4,000,000 $ 4,000,000
Kitsap County Industrial Development
Corp., Cara Land Co. LLC Project,
AMT, 2.34%, 8/7/08, (LOC: Wells Fargo
& Co.) (a) (d) 2,500,000 2,500,000
Pierce County Economic Development
Corp., Quality Stamping Project, AMT,
2.34%, 8/7/08, (LOC: Wells Fargo &
Co.) (a) (d) 2,225,000 2,225,000
Seattle Housing Authority, High Point
Project, AMT, 2.41%, 8/7/08,
(LOC: KeyBank NA) (a) (d) 1,500,000 1,500,000
Seattle Housing Authority, Rainier
Vista Project, AMT, 2.12%, 8/7/08,
(LOC: KeyBank NA) (a) (d) 100,000 100,000
State Housing Finance Commission,
Clark Island Portfolio, AMT, 2.35%,
8/7/08, (LOC: FHLMC) (a) (d) 3,560,000 3,560,000
Washington Economic Development
Finance Authority, American Mill Work
Project, Series C, AMT, 2.35%,
8/7/08, (LOC: KeyBank NA) (a) (d) 3,355,000 3,355,000
------------
22,165,000
------------
WISCONSIN (5.5%)
Baraboo Wisconsin Industrial
Development Revenue, Teel Plastics,
Inc. Project, AMT, 2.30%, 8/7/08,
(LOC: Marshall & Isley Bank) (a) (d) 10,000,000 10,000,000
City of Whitehall, Industrial
Development Revenue, AMT, 2.70%,
8/7/08, (LOC: JP Morgan, Inc.) (a) (d) 1,900,000 1,900,000
Farmington Industrial Development
Revenue, Swiss Valley Farms Co.
Project, AMT, 2.34%, 8/7/08,
(LOC: Wells Fargo & Co.) (a) (b) (d) 500,000 500,000
Kiel Industries, Polar Ware Co.
Project, AMT, 2.89%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 1,325,000 1,325,000
Manitowoc Development, Cher-Make
Sausage Co. Project, AMT, 2.89%,
8/7/08, (LOC: U.S. Bancorp) (a) (d) 2,080,000 2,080,000
Oconomowoc Community Development
Authority, AMT, 2.75%, 8/7/08,
(LOC: Bank of America) (a) (d) 1,200,000 1,200,000
Onalaska Industrial, Empire Screen
Printing Project, AMT, 2.89%, 8/7/08,
(LOC: U.S. Bancorp) (a) (d) 945,000 945,000
Continued
30
MUNICIPAL MONEY MARKET
SCHEDULE OF INVESTMENTS, CONTINUED
JULY 31, 2008
- -----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------
MUNICIPAL DEMAND NOTES, CONTINUED
WISCONSIN, CONTINUED
Village of Ashwaubenon Industrial
Development, AMT, 2.55%, 8/7/08,
(LOC: Marshall & Isley Bank) (a) (d) $ 5,035,000 $ 5,035,000
West Bend Industrial, Jackson
Concrete, Inc. Project, AMT, 2.89%,
8/7/08, (LOC: U.S. Bancorp) (a) (d) 1,750,000 1,750,000
------------
24,735,000
------------
WYOMING (4.3%)
County of Sweetwater, Environment,
Pacificorp Project, AMT, 2.20%,
8/1/08, (LOC: Barclays Bank
PLC) (a) (d) 19,200,000 19,200,000
------------
TOTAL MUNICIPAL DEMAND NOTES 408,959,273
------------
SHARES
- -----------------------------------------------------------------------------
MONEY MARKETS (2.9%)
AIM TFIT Tax-Free Cash Reserve
Portfolio (c) 33,976 33,976
Dreyfus Tax Exempt Cash
Management (c) 12,994,915 12,994,915
Goldman Sachs Financial Square
Funds - Tax-Free Money Market
Fund (c) 59,015 59,015
------------
TOTAL MONEY MARKETS 13,087,906
------------
TOTAL INVESTMENTS (COST $451,827,487)+ - 100.2% 451,827,487
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% (786,772)
------------
NET ASSETS - 100.0% $451,040,715
============
Continued
NOTES TO SCHEDULE OF INVESTMENTS
+ Also represents cost for federal income tax purposes.
(a) Variable rate security. Rate presented represents rate in effect at July
31, 2008.
(b) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund's advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees.
(c) Investment is in Institutional Shares of underlying fund/portfolio.
(d) Maturity date is next rate reset date.
The following abbreviations are used in the Schedule of Investments:
AMT - Alternative Minimum Tax Paper
FGIC - Financial Guaranty Insurance Co.
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
FSA - Financial Security Assurance, Inc.
GO - General Obligation
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
PSF - Public School Fund
Radian - Radian Guaranty, Inc.
INVESTMENT CONCENTRATION AS A PERCENTAGE OF NET ASSETS,
BY INDUSTRY:
Airport 7.2%
Development 8.7%
Education 3.9%
Facilities 0.6%
General 4.6%
General Obligation 1.3%
Higher Education 2.0%
Housing 6.2%
Industrial 27.9%
Investment Companies 2.9%
Medical 3.9%
Miscellaneous 0.7%
Multifamily Housing 3.2%
Pollution 3.5%
Regional Authority 1.3%
Resource Recovery 11.5%
Retirement/Aged Care 0.7%
Revenue Bonds 7.8%
Transportation 2.2%
Utilities 0.1%
Water --^
- ----------------
^ Amount is less than 0.05%.
See notes to schedules of investments
and notes to financial statements.
31
FIFTH THIRD FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2008
- --------------------------------------------------------------------------------
PRIME INSTITUTIONAL
Assets: MONEY MARKET MONEY MARKET
-------------- --------------
Investments, at amortized cost and value $1,415,301,096 $2,537,263,863
Repurchase agreement, at cost and value 200,387,000 381,166,000
-------------- --------------
Total Investments 1,615,688,096 2,918,429,863
Cash 302 327
Interest Receivable 4,566,558 8,356,719
Receivable for Fund shares sold 111,164 872,242
Prepaid expenses and other assets 19,895 24,085
-------------- --------------
Total Assets 1,620,386,015 2,927,683,236
-------------- --------------
Liabilities:
Distributions payable 1,357,411 2,967,575
Payable for investments purchased 186,161 --
Payable for Fund shares redeemed 35,685 66,522
Accrued expenses and other payables:
Payable to Advisor and affiliates 614,520 315,743
Distribution and administrative servicing fee 153,082 85,578
Other 302,702 423,586
-------------- --------------
Total Liabilities 2,649,561 3,859,004
-------------- --------------
Net Assets:
Paid-in Capital $1,617,856,349 $2,923,889,399
Accumulated net investment income (loss) 87,088 53,070
Accumulated net realized gain (loss) from
investment transactions (206,983) (118,237)
-------------- --------------
Net Assets $1,617,736,454 $2,923,824,232
============== ==============
Net Assets:
Institutional Shares $ 892,765,160 $2,380,397,319
Class A Shares 721,478,497 NA
Class B Shares 2,390,071 NA
Class C Shares 1,102,726 NA
Select Shares NA 110,409,738
Preferred Shares NA 121,489,082
Trust Shares NA 311,528,093
-------------- --------------
Total $1,617,736,454 $2,923,824,232
============== ==============
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value):
Institutional Shares 892,928,286 2,380,464,820
Class A Shares 721,603,345 NA
Class B Shares 2,391,707 NA
Class C Shares 1,102,779 NA
Select Shares NA 110,412,539
Preferred Shares NA 121,485,530
Trust Shares NA 311,529,034
-------------- --------------
Total 1,618,026,117 2,923,891,923
============== ==============
Net Asset Value
Offering and redemption price per share -
Institutional Shares, Class A Shares,
Class B Shares, Class C Shares,
Select Shares, Preferred Shares and Trust Shares (a) $ 1.00 $ 1.00
============== ==============
INSTITUTIONAL
GOVERNMENT U.S. TREASURY MICHIGAN MUNICIPAL MUNICIPAL
Assets: MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
-------------- -------------- ------------ ------------
Investments, at amortized cost and value $1,065,548,980 $ 453,129,383 $249,348,428 $451,827,487
Repurchase agreement, at cost and value 221,294,000 1,409,542,000 -- --
-------------- -------------- ------------ ------------
Total Investments 1,286,842,980 1,862,671,383 249,348,428 451,827,487
Cash 289 36 -- --
Interest Receivable 5,550,257 2,484,420 756,018 1,137,311
Receivable for Fund shares sold -- 28,542 -- --
Prepaid expenses and other assets 42,003 73,673 3,318 17,218
-------------- -------------- ------------ ------------
Total Assets 1,292,435,529 1,865,258,054 250,107,764 452,982,016
-------------- -------------- ------------ ------------
Liabilities:
Distributions payable 1,427,499 2,109,013 209,653 521,923
Payable for investments purchased -- 60,586 1,637,827 1,300,000
Payable for Fund shares redeemed -- 21,577 -- --
Accrued expenses and other payables:
Payable to Advisor and affiliates 147,325 194,307 85,958 40,774
Distribution and administrative servicing fee 83,608 95,094 1,530 24,608
Other 207,099 222,254 36,644 53,996
-------------- -------------- ------------ ------------
Total Liabilities 1,865,531 2,702,831 1,971,612 1,941,301
-------------- -------------- ------------ ------------
Net Assets:
Paid-in Capital $1,290,544,578 $1,862,603,597 $248,156,254 $451,038,664
Accumulated net investment income (loss) 12,376 10,442 (7,507) 2,056
Accumulated net realized gain (loss) from
investment transactions 13,044 (58,816) (12,595) (5)
-------------- -------------- ------------ ------------
Net Assets $1,290,569,998 $1,862,555,223 $248,136,152 $451,040,715
============== ============== ============ ============
Net Assets:
Institutional Shares $ 780,909,777 $1,217,027,820 $237,005,359 $311,282,900
Class A Shares NA NA 11,130,793 66,877,002
Class B Shares NA NA NA NA
Class C Shares NA NA NA NA
Select Shares 43,792,931 20,532,012 NA 26,266,869
Preferred Shares 245,994,733 480,906,544 NA 9,514,946
Trust Shares 219,872,557 144,088,847 NA 37,098,998
-------------- -------------- ------------ ------------
Total $1,290,569,998 $1,862,555,223 $248,136,152 $451,040,715
============== ============== ============ ============
Shares of beneficial interest outstanding
(unlimited number of shares authorized,
no par value):
Institutional Shares 780,911,580 1,216,938,051 236,975,274 311,275,153
Class A Shares NA NA 11,129,768 66,888,853
Class B Shares NA NA NA NA
Class C Shares NA NA NA NA
Select Shares 43,792,851 20,527,263 NA 26,266,650
Preferred Shares 245,990,985 480,864,007 NA 9,514,887
Trust Shares 219,870,480 144,081,198 NA 37,098,081
-------------- -------------- ------------ ------------
Total 1,290,565,896 1,862,410,519 248,105,042 451,043,624
============== ============== ============ ============
Net Asset Value
Offering and redemption price per share -
Institutional Shares, Class A Shares,
Class B Shares, Class C Shares,
Select Shares, Preferred Shares and Trust Shares (a) $ 1.00 $ 1.00 $ 1.00 $ 1.00
============== ============== ============ ============
- -----------------------
(a) Redemption price per share for Class B Shares and Class C Shares varies by
length of time shares are held.
See notes to financial statements.
32-33 spread
FIFTH THIRD FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2008
- --------------------------------------------------------------------------------
PRIME INSTITUTIONAL
Investment Income: MONEY MARKET MONEY MARKET
----------- ------------
Interest income $55,321,095 $103,637,830
Dividend income 2,148,483 4,946,269
Security lending income 511 196
----------- ------------
Total Income 57,470,089 108,584,295
----------- ------------
Expenses:
Investment advisory fees 5,757,221 10,807,625
Administration fees 2,490,592 4,675,515
Distribution servicing fees - Class A 1,667,308 NA
Distribution servicing fees - Class B 18,862 NA
Distribution servicing fees - Class C 8,093 NA
Distribution servicing fees - Advisor Shares 378 NA
Administrative servicing fees - Class C 2,698 NA
Administrative servicing fees - Select Shares NA 81,128
Administrative servicing fees - Preferred Shares NA 216,081
Administrative servicing fees - Trust Shares NA 687,012
Accounting Fees 253,451 374,426
Registration and filing fees 83,382 42,332
Transfer and dividend disbursing agent fees 144,311 283,120
Custody fees 74,968 117,048
Trustees' fees and expenses 75,946 156,229
Other expenses 578,372 770,516
----------- ------------
Total expenses 11,155,582 18,211,032
----------- ------------
Less: Waiver and/or reimbursement from Advisor
and/or affiliates (1,687,362) (11,558,323)
Distribution services - Class A Shares waived -- --
----------- ------------
Net Expenses 9,468,220 6,652,709
----------- ------------
Net Investment Income 48,001,869 101,931,586
----------- ------------
Net realized gains (losses) on investments (114,669) (117,541)
----------- ------------
Change in net assets resulting from operations $47,887,200 $101,814,045
=========== ============
INSTITUTIONAL
GOVERNMENT U.S. TREASURY MICHIGAN MUNICIPAL MUNICIPAL
Investment Income: MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
----------- ----------- ---------- -----------
Interest income $45,950,473 $44,329,662 $6,538,275 $11,036,279
Dividend income 636,140 312,039 86,370 73,857
Security lending income 1,109 79,939 -- --
----------- ----------- ---------- -----------
Total Income 46,587,722 44,721,640 6,624,645 11,110,136
----------- ----------- ---------- -----------
Expenses:
Investment advisory fees 5,210,479 5,654,311 919,973 1,952,357
Administration fees 2,253,827 2,446,032 397,990 675,681
Distribution servicing fees - Class A NA NA 34,390 128,035
Distribution servicing fees - Class B NA NA NA NA
Distribution servicing fees - Class C NA NA NA NA
Distribution servicing fees - Advisor Shares NA NA NA NA
Administrative servicing fees - Class C NA NA NA NA
Administrative servicing fees - Select Shares 24,900 37,814 NA 14,677
Administrative servicing fees - Preferred Shares 403,953 728,433 NA 19,777
Administrative servicing fees - Trust Shares 392,052 287,302 NA 92,082
Accounting Fees 230,475 242,788 62,956 113,502
Registration and filing fees 37,917 30,398 11,424 41,122
Transfer and dividend disbursing agent fees 114,771 146,407 23,299 38,912
Custody fees 65,411 103,751 18,318 28,715
Trustees' fees and expenses 56,300 64,236 9,201 16,460
Other expenses 338,879 248,942 61,907 134,550
----------- ----------- ---------- -----------
Total expenses 9,128,964 9,990,414 1,539,458 3,255,870
----------- ----------- ---------- -----------
Less: Waiver and/or reimbursement from Advisor
and/or affiliates (5,576,480) (5,972,980) (263,359) (2,181,845)
Distribution services - Class A Shares waived -- -- (12,380) --
----------- ----------- ---------- -----------
Net Expenses 3,552,484 4,017,434 1,263,719 1,074,025
----------- ----------- ---------- -----------
Net Investment Income 43,035,238 40,704,206 5,360,926 10,036,111
----------- ----------- ---------- -----------
Net realized gains (losses) on investments 13,340 1,029 (12,595) (5)
----------- ----------- ---------- -----------
Change in net assets resulting from operations $43,048,578 $40,705,235 $5,348,331 $10,036,106
=========== =========== ========== ===========
See notes to financial statements.
34-35 spread
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
PRIME INSTITUTIONAL
MONEY MARKET MONEY MARKET
------------------------------ --------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Change in Net Assets:
Operations:
Net investment income $ 48,001,869 $ 54,637,505 $ 101,931,586 $ 93,463,727
Net realized gains (losses) from
investment transactions (114,669) -- (117,541) (696)
Increase from payment by the Advisor -- 479,232 -- --
-------------- -------------- -------------- --------------
Change in net assets resulting from operations 47,887,200 55,116,737 101,814,045 93,463,031
-------------- -------------- -------------- --------------
Distributions to shareholders from net investment income:
Institutional Shares (26,717,961) (28,254,223) (83,234,532) (75,047,003)
Class A Shares (21,685,963) (26,216,460) NA NA
Class B Shares (45,877) (46,076) NA NA
Class C Shares (27,756) (46,150) NA NA
Advisor Shares (3,368) (76,527) NA NA
Select Shares NA NA (3,522,646) (2,360,883)
Preferred Shares NA NA (5,293,072) (5,814,332)
Trust Shares NA NA (9,880,880) (10,221,901)
-------------- -------------- -------------- --------------
Change in net assets from Fund
shareholder distributions (48,480,925) (54,639,436) (101,931,130) (93,444,119)
-------------- -------------- -------------- --------------
Change in net assets from fund
share transactions 384,210,602 211,185,327 858,112,405 507,577,063
-------------- -------------- -------------- --------------
Change in net assets 383,616,877 211,662,628 857,995,320 507,595,975
Net Assets:
Beginning of period 1,234,119,577 1,022,456,949 2,065,828,912 1,558,232,937
-------------- -------------- -------------- --------------
End of period $1,617,736,454 $1,234,119,577 $2,923,824,232 $2,065,828,912
============== ============== ============== ==============
Accumulated Net Investment Income/(Loss) $ 90,403 $ 563,569 $ 53,070 $ 49,243
============== ============== ============== ==============
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET
----------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
-------------- ------------ -------------- --------------
Change in Net Assets:
Operations:
Net investment income $ 43,035,238 $ 36,305,780 $ 40,704,206 $ 55,947,595
Net realized gains (losses) from
investment transactions 13,340 (294) 1,029 20,067
Increase from payment by the Advisor -- -- -- 665,288
-------------- ------------ -------------- --------------
Change in net assets resulting from operations 43,048,578 36,305,486 40,705,235 56,632,950
-------------- ------------ -------------- --------------
Distributions to shareholders from net investment income:
Institutional Shares (28,163,923) (18,791,265) (21,579,960) (21,023,230)
Class A Shares NA NA NA NA
Class B Shares NA NA NA NA
Class C Shares NA NA NA NA
Advisor Shares NA NA NA NA
Select Shares (931,736) (728,142) (1,810,814) (3,333,767)
Preferred Shares (8,964,667) (11,432,776) (14,936,228) (27,812,865)
Trust Shares (4,974,914) (5,350,264) (3,042,493) (3,770,741)
-------------- ------------ -------------- --------------
Change in net assets from Fund
shareholder distributions (43,035,240) (36,302,447) (41,369,495) (55,940,603)
-------------- ------------ -------------- --------------
Change in net assets from fund
share transactions 435,693,670 257,928,435 831,633,466 (156,175,780)
-------------- ------------ -------------- --------------
Change in net assets 435,707,008 257,931,474 830,969,206 (155,483,433)
Net Assets:
Beginning of period 854,862,990 596,931,516 1,031,586,017 1,187,069,450
-------------- ------------ -------------- --------------
End of period $1,290,569,998 $854,862,990 $1,862,555,223 $1,031,586,017
============== ============ ============== ==============
Accumulated Net Investment Income/(Loss) $ 12,376 $ 10,899 $ 10,442 $ 673,377
============== ============ ============== ==============
MICHIGAN MUNICIPAL MUNICIPAL
MONEY MARKET MONEY MARKET
----------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
------------ ------------ ------------ ------------
Change in Net Assets:
Operations:
Net investment income $ 5,360,926 $ 6,206,487 $ 10,036,111 $ 10,038,543
Net realized gains (losses) from
investment transactions (12,595) -- (5) 5,710
Increase from payment by the Advisor -- -- -- 81,314
------------ ------------ ------------ ------------
Change in net assets resulting from operations 5,348,331 6,206,487 10,036,106 10,125,567
------------ ------------ ------------ ------------
Distributions to shareholders from net investment income:
Institutional Shares (5,047,039) (6,030,330) (7,188,406) (7,505,507)
Class A Shares (313,887) (174,960) (1,195,698) (1,007,959)
Class B Shares NA NA NA NA
Class C Shares NA NA NA NA
Advisor Shares NA NA NA NA
Select Shares NA NA (469,485) (346,718)
Preferred Shares NA NA (348,654) (63,987)
Trust Shares NA NA (915,183) (1,115,489)
------------ ------------ ------------ ------------
Change in net assets from Fund
shareholder distributions (5,360,926) (6,205,290) (10,117,426) (10,039,660)
------------ ------------ ------------ ------------
Change in net assets from fund
share transactions 37,468,917 19,297,981 138,585,786 31,447,039
------------ ------------ ------------ ------------
Change in net assets 37,456,322 19,299,178 138,504,466 31,532,946
Net Assets:
Beginning of period 210,679,830 191,380,652 312,536,249 281,003,303
------------ ------------ ------------ ------------
End of period $248,136,152 $210,679,830 $451,040,715 $312,536,249
============ ============ ============ ============
Accumulated Net Investment Income/(Loss) $ (7,507) $ (7,790) $ 2,056 $ 80,486
============ ============ ============ ============
See notes to financial statements.
36-37 spread
FIFTH THIRD FUNDS
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
PRIME INSTITUTIONAL
MONEY MARKET MONEY MARKET
-------------------------------- --------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
-------------- -------------- -------------- ------------
Share Transactions:*
Institutional Shares
Shares issued 1,815,668,264 2,013,772,249 9,279,562,987 6,970,997,642
Shares issued in connection with acquisition of
Government Money Market Fund ~ 114,584,790 -- -- --
Dividends reinvested 4,257,721 5,180,833 43,313,612 34,131,030
Shares redeemed (1,647,434,091) (1,976,757,489) (8,629,779,632) (6,581,343,201)
-------------- -------------- -------------- ------------
Total Institutional Shares 287,076,684 42,195,593 693,096,967 423,785,471
-------------- -------------- -------------- ------------
Class A Shares
Shares issued 772,343,518 713,016,829 NA NA
Shares issued in connection with acquisition of
Government Money Market Fund ~ 90,753,659 -- NA NA
Shares issued in conversion from Advisor Class 178,339 -- NA NA
Dividends reinvested 21,637,624 24,501,078 NA NA
Shares redeemed (788,502,287) (567,575,766) NA NA
-------------- -------------- -------------- ------------
Total Class A Shares 96,410,853 169,942,141 NA NA
-------------- -------------- -------------- ------------
Class B Shares
Shares issued 1,647,430 720,114 NA NA
Dividends reinvested 18,913 23,782 NA NA
Shares redeemed (742,961) (492,579) NA NA
-------------- -------------- -------------- ------------
Total Class B Shares 923,382 251,317 NA NA
-------------- -------------- -------------- ------------
Class C Shares
Shares issued 261,703 1,032,571 NA NA
Dividends reinvested 27,058 45,089 NA NA
Shares redeemed (251,679) (891,509) NA NA
-------------- -------------- -------------- ------------
Total Class C Shares 37,082 186,151 NA NA
-------------- -------------- -------------- ------------
Advisor Shares
Shares issued 3,046 3,062,582 NA NA
Dividends reinvested 2,730 76,629 NA NA
Shares redeemed (242,902) (4,529,086) NA NA
-------------- -------------- -------------- ------------
Total Advisor Shares (237,126) (1,389,875) NA NA
-------------- -------------- -------------- ------------
Select Shares
Shares issued NA NA 667,561,897 228,248,494
Dividends reinvested NA NA 2,537,089 1,741,040
Shares redeemed NA NA (619,584,202) (205,670,204)
-------------- -------------- -------------- ------------
Total Select Shares NA NA 50,514,784 24,319,330
-------------- -------------- -------------- ------------
Preferred Shares
Shares issued NA NA 2,661,633,186 523,728,346
Dividends reinvested NA NA 4,179,027 5,486,199
Shares redeemed NA NA (2,631,945,550) (539,857,256)
-------------- -------------- -------------- ------------
Total Preferred Shares NA NA 33,866,663 (10,642,711)
-------------- -------------- -------------- ------------
Trust Shares
Shares issued NA NA 455,625,287 406,473,254
Dividends reinvested NA NA 1,074,751 975,803
Shares redeemed NA NA (376,068,648) (337,334,084)
-------------- -------------- -------------- ------------
Total Trust Shares NA NA 80,631,390 70,114,973
-------------- -------------- -------------- ------------
INSTITUTIONAL GOVERNMENT U.S. TREASURY
MONEY MARKET MONEY MARKET
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
-------------- -------------- -------------- --------------
Share Transactions:*
Institutional Shares
Shares issued 4,218,113,932 2,062,016,022 3,009,576,882 901,051,485
Shares issued in connection with acquisition of
Government Money Market Fund ~ -- -- -- --
Dividends reinvested 8,297,672 3,915,090 3,265,423 2,671,305
Shares redeemed (3,932,555,301) (1,883,204,644) (2,215,814,929) (870,500,782)
-------------- -------------- -------------- --------------
Total Institutional Shares 293,856,303 182,726,468 797,027,376 33,222,008
-------------- -------------- -------------- --------------
Class A Shares
Shares issued NA NA NA NA
Shares issued in connection with acquisition of
Government Money Market Fund ~ NA NA NA NA
Shares issued in conversion from Advisor Class NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
-------------- -------------- -------------- --------------
Total Class A Shares NA NA NA NA
-------------- -------------- -------------- --------------
Class B Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
-------------- -------------- -------------- --------------
Total Class B Shares NA NA NA NA
-------------- -------------- -------------- --------------
Class C Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
-------------- -------------- -------------- --------------
Total Class C Shares NA NA NA NA
-------------- -------------- -------------- --------------
Advisor Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
-------------- -------------- -------------- --------------
Total Advisor Shares NA NA NA NA
-------------- -------------- -------------- --------------
Select Shares
Shares issued 213,606,505 34,585,100 348,155,051 460,675,581
Dividends reinvested 615,050 94,766 10,580 --
Shares redeemed (184,411,112) (27,034,939) (391,477,414) (458,826,239)
-------------- -------------- -------------- --------------
Total Select Shares 29,810,443 7,644,927 (43,311,783) 1,849,342
-------------- -------------- -------------- --------------
Preferred Shares
Shares issued 1,172,811,192 1,050,751,241 2,317,188,382 3,869,084,458
Dividends reinvested 5,900,344 6,798,376 1,231,619 4,701,696
Shares redeemed (1,157,858,627) (1,022,670,593) (2,310,106,806) (4,026,406,029)
-------------- -------------- -------------- --------------
Total Preferred Shares 20,852,909 34,879,024 8,313,195 (152,619,875)
-------------- -------------- -------------- --------------
Trust Shares
Shares issued 360,941,316 200,948,581 577,531,488 376,505,381
Dividends reinvested 515,231 674,246 -- --
Shares redeemed (270,265,761) (168,944,811) (507,943,553) (415,132,636)
-------------- -------------- -------------- --------------
Total Trust Shares 91,190,786 32,678,016 69,587,935 (38,627,255)
-------------- -------------- -------------- --------------
MICHIGAN MUNICIPAL MUNICIPAL
MONEY MARKET MONEY MARKET
---------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JULY 31, JULY 31, JULY 31, JULY 31,
2008 2007 2008 2007
------------ ------------ ------------ ------------
Share Transactions:*
Institutional Shares
Shares issued 495,157,784 462,394,174 650,038,940 508,704,474
Shares issued in connection with acquisition of
Government Money Market Fund ~ -- -- -- --
Dividends reinvested 1,239,591 1,936,498 466,703 758,884
Shares redeemed (455,351,753) (458,054,973) (569,864,377) (493,819,741)
------------ ------------ ------------ ------------
Total Institutional Shares 41,045,622 6,275,699 80,641,266 15,643,617
------------ ------------ ------------ ------------
Class A Shares
Shares issued 22,749,155 35,069,595 168,182,361 141,051,757
Shares issued in connection with acquisition of
Government Money Market Fund ~ -- -- -- --
Shares issued in conversion from Advisor Class -- -- -- --
Dividends reinvested 313,887 174,646 1,179,696 940,275
Shares redeemed (26,641,513) (22,221,959) (140,990,878) (130,512,864)
------------ ------------ ------------ ------------
Total Class A Shares (3,578,471) 13,022,282 28,371,179 11,479,168
------------ ------------ ------------ ------------
Class B Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Class B Shares NA NA NA NA
------------ ------------ ------------ ------------
Class C Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Class C Shares NA NA NA NA
------------ ------------ ------------ ------------
Advisor Shares
Shares issued NA NA NA NA
Dividends reinvested NA NA NA NA
Shares redeemed NA NA NA NA
------------ ------------ ------------ ------------
Total Advisor Shares NA NA NA NA
------------ ------------ ------------ ------------
Select Shares
Shares issued NA NA 74,713,309 42,757,841
Dividends reinvested NA NA 3,068 5,007
Shares redeemed NA NA (58,644,501) (43,118,790)
------------ ------------ ------------ ------------
Total Select Shares NA NA 16,071,876 (355,942)
------------ ------------ ------------ ------------
Preferred Shares
Shares issued NA NA 39,470,111 3,179,635
Dividends reinvested NA NA -- 942
Shares redeemed NA NA (31,353,417) (4,184,161)
------------ ------------ ------------ ------------
Total Preferred Shares NA NA 8,116,694 (1,003,584)
------------ ------------ ------------ ------------
Trust Shares
Shares issued NA NA 144,426,897 114,876,538
Dividends reinvested NA NA 83,727 44,712
Shares redeemed NA NA (139,124,474) (109,237,470)
------------ ------------ ------------ ------------
Total Trust Shares NA NA 5,386,150 5,683,780
------------ ------------ ------------ ------------
- ------------------
* Share transactions are at a Net Asset Value of $1.00 per share.
~ Shares merged November 16, 2007. See Note 1.
See notes to financial statements.
38-39 spread
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
NET ASSET NET REALIZED LESS
VALUE, NET AND UNREALIZED DISTRIBUTIONS
BEGINNING INVESTMENT GAINS/(LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
Year ended 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS A SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
Year ended 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS B SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.04(3)@ --^ (0.04)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
Year ended 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS C SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.04(3)@ --^ (0.04)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
Year ended 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
Year ended 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
---------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000 'S) ASSETS (a) ASSETS (b) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 3.65% $ 892,765 0.66% 0.54% 3.44%
Year ended 7/31/07 $1.00 4.94% $ 605,987 0.66% 0.54% 4.82%
Year ended 7/31/06 $1.00 3.97% $ 563,551 0.66% 0.54% 3.81%
Year ended 7/31/05 $1.00 1.91% $ 958,735 0.65% 0.54% 1.86%
Year ended 7/31/04 $1.00 0.65% $1,064,622 0.66% 0.54% 0.64%
- ------------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS A SHARES
Year ended 7/31/08 $1.00 3.40% $ 721,478 0.91% 0.79% 3.22%
Year ended 7/31/07 $1.00 4.67% $ 625,362 0.91% 0.79% 4.57%
Year ended 7/31/06 $1.00 3.71% $ 455,183 0.91% 0.79% 3.65%
Year ended 7/31/05 $1.00 1.66% $ 464,391 0.90% 0.79% 1.67%
Year ended 7/31/04 $1.00 0.40% $ 387,424 0.91% 0.79% 0.40%
- ------------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS B SHARES
Year ended 7/31/08 $1.00 2.62% $ 2,390 1.66% 1.54% 2.40%
Year ended 7/31/07 $1.00 3.90% $ 1,468 1.66% 1.54% 3.83%
Year ended 7/31/06 $1.00 2.94% $ 1,216 1.66% 1.54% 2.84%
Year ended 7/31/05 $1.00 0.95% $ 1,340 1.66% 1.51% 1.14%
Year ended 7/31/04 $1.00 0.24% $ 1,651 1.66% 0.95% 0.23%
- ------------------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET CLASS C SHARES
Year ended 7/31/08 $1.00 2.63% $ 1,103 1.66% 1.54% 2.53%
Year ended 7/31/07 $1.00 3.90% $ 1,066 1.66% 1.54% 3.82%
Year ended 7/31/06 $1.00 2.93% $ 879 1.66% 1.54% 2.80%
Year ended 7/31/05 $1.00 0.95% $ 1,474 1.65% 1.46% 0.85%
Year ended 7/31/04 $1.00 0.23% $ 2,843 1.66% 0.98% 0.25%
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 3.96% $2,380,397 0.64% 0.21% 3.82%
Year ended 7/31/07 $1.00 5.27% $1,687,392 0.64% 0.21% 5.14%
Year ended 7/31/06 $1.00 4.30% $1,263,609 0.65% 0.21% 4.25%
Year ended 7/31/05 $1.00 2.24% $1,077,260 0.65% 0.21% 2.24%
Year ended 7/31/04 $1.00 0.98% $1,049,608 0.65% 0.22% 0.98%
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 3.87% $ 110,410 0.73% 0.29% 3.47%
Year ended 7/31/07 $1.00 5.19% $ 59,901 0.72% 0.28% 5.07%
Year ended 7/31/06 $1.00 4.22% $ 35,579 0.73% 0.29% 4.16%
Year ended 7/31/05 $1.00 2.15% $ 23,924 0.73% 0.29% 2.23%
10/20/03(c) to 7/31/04 $1.00 0.70%* $ 13,267 0.73%** 0.30%** 0.92%**
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 3.80% $ 121,489 0.79% 0.36% 3.66%
Year ended 7/31/07 $1.00 5.12% $ 87,627 0.79% 0.35% 5.00%
Year ended 7/31/06 $1.00 4.15% $ 98,263 0.81% 0.36% 4.21%
Year ended 7/31/05 $1.00 2.08% $ 23,178 0.80% 0.36% 1.99%
10/20/03(c) to 7/31/04 $1.00 0.65%* $ 27,206 0.80%** 0.37%** 0.85%**
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 3.70% $ 311,528 0.89% 0.46% 3.60%
Year ended 7/31/07 $1.00 5.01% $ 230,909 0.89% 0.45% 4.90%
Year ended 7/31/06 $1.00 4.04% $ 160,782 0.91% 0.46% 4.18%
Year ended 7/31/05 $1.00 1.98% $ 25,047 0.90% 0.46% 2.01%
10/20/03(c) to 7/31/04 $1.00 0.57%* $ 17,591 0.90%** 0.47%** 0.75%**
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
40-41 spread
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
NET ASSET NET REALIZED LESS
VALUE, NET AND UNREALIZED DISTRIBUTIONS
BEGINNING INVESTMENT GAINS/(LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
Year ended 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 0.04(3) --^ (0.04)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3) --^ (0.05)
Year ended 7/31/06 $1.00 0.04 -- (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
Year ended 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.05(3)@ --^ (0.05)
Year ended 7/31/06 $1.00 0.04 --^ (0.04)
Year ended 7/31/05 $1.00 0.02 --^ (0.02)
10/20/03(c) to 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
-----------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000 'S) ASSETS (a) ASSETS (b) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 3.66% $ 780,910 0.64% 0.21% 3.33%
Year ended 7/31/07 $1.00 5.21% $ 487,057 0.66% 0.21% 5.08%
Year ended 7/31/06 $1.00 4.23% $ 304,332 0.66% 0.21% 4.24%
Year ended 7/31/05 $1.00 2.17% $ 264,707 0.66% 0.21% 2.16%
Year ended 7/31/04 $1.00 0.86% $ 223,852 0.66% 0.31% 0.79%
- -----------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 3.58% $ 43,793 0.72% 0.29% 2.99%
Year ended 7/31/07 $1.00 5.13% $ 13,983 0.74% 0.29% 5.00%
Year ended 7/31/06 $1.00 4.14% $ 6,337 0.75% 0.29% 4.22%
Year ended 7/31/05 $1.00 2.09% $ 2,176 0.74% 0.30% 1.83%
10/20/03(c) to 7/31/04 $1.00 0.65%* $ 5,202 0.75%** 0.30%** 0.82%**
- -----------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 3.51% $ 245,995 0.79% 0.36% 3.33%
Year ended 7/31/07 $1.00 5.05% $ 225,141 0.81% 0.36% 4.93%
Year ended 7/31/06 $1.00 4.07% $ 190,260 0.82% 0.36% 3.98%
Year ended 7/31/05 $1.00 2.02% $ 228,555 0.81% 0.36% 1.96%
10/20/03(c) to 7/31/04 $1.00 0.59%* $ 276,373 0.82%** 0.37%** 0.75%**
- -----------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL GOVERNMENT MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 3.41% $ 219,872 0.89% 0.46% 3.17%
Year ended 7/31/07 $1.00 4.95% $ 128,682 0.91% 0.46% 4.83%
Year ended 7/31/06 $1.00 3.97% $ 96,003 0.92% 0.46% 3.85%
Year ended 7/31/05 $1.00 1.92% $ 120,743 0.91% 0.46% 1.96%
10/20/03(c) to 7/31/04 $1.00 0.51%* $ 70,270 0.92%** 0.47%** 0.66%**
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 3.21% $1,217,028 0.63% 0.21% 2.78%
Year ended 7/31/07 $1.00 5.15% $ 420,260 0.65% 0.21% 5.02%
Year ended 7/31/06 $1.00 4.13% $ 386,757 0.65% 0.21% 4.11%
Year ended 7/31/05 $1.00 2.08% $ 295,584 0.65% 0.21% 2.01%
Year ended 7/31/04 $1.00 0.80% $ 399,195 0.65% 0.30% 0.74%
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET SELECT SHARES
Year ended 7/31/08 $1.00 3.10% $ 20,532 0.72% 0.29% 3.74%
Year ended 7/31/07 $1.00 5.06% $ 63,885 0.73% 0.29% 4.93%
Year ended 7/31/06 $1.00 4.05% $ 61,992 0.73% 0.29% 3.95%
Year ended 7/31/05 $1.00 2.00% $ 83,171 0.73% 0.29% 2.01%
10/20/03(c) to 7/31/04 $1.00 0.59%* $ 93,233 0.73%** 0.30%** 0.76%**
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET PREFERRED SHARES
Year ended 7/31/08 $1.00 3.06% $ 480,906 0.79% 0.36% 3.01%
Year ended 7/31/07 $1.00 4.99% $ 472,893 0.80% 0.36% 4.87%
Year ended 7/31/06 $1.00 3.98% $ 625,196 0.80% 0.36% 3.85%
Year ended 7/31/05 $1.00 1.93% $ 766,688 0.80% 0.36% 1.85%
10/20/03(c) to 7/31/04 $1.00 0.54%* $1,102,963 0.80%** 0.37%** 0.69%**
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY MONEY MARKET TRUST SHARES
Year ended 7/31/08 $1.00 2.95% $ 144,089 0.88% 0.46% 2.61%
Year ended 7/31/07 $1.00 4.88% $ 74,548 0.90% 0.46% 4.77%
Year ended 7/31/06 $1.00 3.87% $ 113,124 0.90% 0.46% 3.79%
Year ended 7/31/05 $1.00 1.83% $ 118,018 0.90% 0.46% 1.78%
10/20/03(c) to 7/31/04 $1.00 0.46%* $ 165,402 0.90%** 0.47%** 0.58%**
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights
and notes to financial statements.
42-43 spread
FIFTH THIRD FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD)
NET ASSET NET REALIZED LESS
VALUE, NET AND UNREALIZED DISTRIBUTIONS
BEGINNING INVESTMENT GAINS/(LOSSES) FROM TO
OF PERIOD INCOME INVESTMENTS SHAREHOLDERS
- -------------------------------------------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL
MONEY MARKET INSTITUTIONAL
SHARES
Year ended 7/31/08 $1.00 0.02(3) --^ (0.02)
Year ended 7/31/07 $1.00 0.03(3) -- (0.03)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
Year ended 7/31/04 $1.00 0.01 -- (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL
MONEY MARKET CLASS A SHARES
Year ended 7/31/08 $1.00 0.02(3) --^ (0.02)
Year ended 7/31/07 $1.00 0.03(3) -- (0.03)
Year ended 7/31/06 $1.00 0.02 --^ (0.02)
Year ended 7/31/05 $1.00 0.01 --^ (0.01)
Year ended 7/31/04 $1.00 --^ -- --^
- -------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.04(3)@ --^ (0.04)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.02 -- (0.02)
Year ended 7/31/04 $1.00 0.01 --^ (0.01)
- -------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
CLASS A SHARES
Year ended 7/31/08 $1.00 0.02(3) --^ (0.02)
Year ended 7/31/07 $1.00 0.03(3)@ --^ (0.03)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 -- (0.01)
Year ended 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
SELECT SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.03(3)@ --^ (0.03)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 -- (0.01)
10/20/03(c) to 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
PREFERRED SHARES
Year ended 7/31/08 $1.00 0.03(3) --^ (0.03)
Year ended 7/31/07 $1.00 0.03(3)@ --^ (0.03)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 -- (0.01)
10/20/03(c) to 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
TRUST SHARES
Year ended 7/31/08 $1.00 0.02(3) --^ (0.02)
Year ended 7/31/07 $1.00 0.03(3)@ --^ (0.03)
Year ended 7/31/06 $1.00 0.03 --^ (0.03)
Year ended 7/31/05 $1.00 0.01 -- (0.01)
10/20/03(c) to 7/31/04 $1.00 --^ --^ --^
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
---------------------------------------------------------------
RATIOS OF RATIOS OF RATIOS OF
NET EXPENSES EXPENSES NET
NET ASSET ASSETS, TO TO INVESTMENT
VALUE, END OF AVERAGE AVERAGE INCOME
END OF TOTAL PERIOD NET NET TO AVERAGE
PERIOD RETURN (000 'S) ASSETS (a) ASSETS (b) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL
MONEY MARKET INSTITUTIONAL
SHARES
Year ended 7/31/08 $1.00 2.41% $ 237,005 0.65% 0.54% 2.33%
Year ended 7/31/07 $1.00 3.22% $ 195,970 0.67% 0.54% 3.17%
Year ended 7/31/06 $1.00 2.65% $ 189,695 0.67% 0.54% 2.63%
Year ended 7/31/05 $1.00 1.45% $ 164,404 0.67% 0.54% 1.42%
Year ended 7/31/04 $1.00 0.59% $ 197,225 0.67% 0.54% 0.59%
- -----------------------------------------------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL
MONEY MARKET CLASS A SHARES
Year ended 7/31/08 $1.00 2.25% $ 11,131 0.91% 0.70% 2.28%
Year ended 7/31/07 $1.00 3.04% $ 14,710 0.92% 0.70% 3.07%
Year ended 7/31/06 $1.00 2.48% $ 1,686 0.93% 0.70% 2.77%
Year ended 7/31/05 $1.00 1.30% $ 110 0.93% 0.69% 1.45%
Year ended 7/31/04 $1.00 0.49% $ 18 0.91% 0.64% 0.48%
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
INSTITUTIONAL SHARES
Year ended 7/31/08 $1.00 2.75% $ 311,283 0.77% 0.21% 2.63%
Year ended 7/31/07 $1.00 3.56% $ 230,703 0.79% 0.21% 3.49%
Year ended 7/31/06 $1.00 2.88% $ 214,995 0.81% 0.25% 2.88%
Year ended 7/31/05 $1.00 1.55% $ 187,829 0.80% 0.38% 1.55%
Year ended 7/31/04 $1.00 0.68% $ 136,302 0.80% 0.38% 0.67%
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
CLASS A SHARES
Year ended 7/31/08 $1.00 2.50% $ 66,877 1.02% 0.46% 2.32%
Year ended 7/31/07 $1.00 3.30% $ 38,516 1.04% 0.46% 3.24%
Year ended 7/31/06 $1.00 2.62% $ 27,027 1.06% 0.50% 2.62%
Year ended 7/31/05 $1.00 1.30% $ 25,516 1.06% 0.63% 1.30%
Year ended 7/31/04 $1.00 0.43% $ 17,590 1.05% 0.63% 0.42%
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
SELECT SHARES
Year ended 7/31/08 $1.00 2.67% $ 26,267 0.85% 0.29% 2.54%
Year ended 7/31/07 $1.00 3.47% $ 10,198 0.87% 0.29% 3.43%
Year ended 7/31/06 $1.00 2.80% $ 10,551 0.89% 0.29% 3.23%
Year ended 7/31/05 $1.00 1.47% $ 86 0.89% 0.46% 0.99%
10/20/03(c) to 7/31/04 $1.00 0.47%* $ 863 0.91%** 0.46%** 0.62%**
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
PREFERRED SHARES
Year ended 7/31/08 $1.00 2.60% $ 9,515 0.92% 0.36% 2.64%
Year ended 7/31/07 $1.00 3.40% $ 1,398 0.94% 0.36% 3.34%
Year ended 7/31/06 $1.00 2.73% $ 2,402 0.96% 0.36% 3.27%
Year ended 7/31/05 $1.00 1.40% $ 36 0.97% 0.53% 0.97%
10/20/03(c) to 7/31/04 $1.00 0.42%* $ 637 0.98%** 0.53%** 0.55%**
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET
TRUST SHARES
Year ended 7/31/08 $1.00 2.49% $ 37,099 1.02% 0.46% 2.46%
Year ended 7/31/07 $1.00 3.30% $ 31,721 1.04% 0.46% 3.26%
Year ended 7/31/06 $1.00 2.62% $ 26,028 1.06% 0.49% 2.81%
Year ended 7/31/05 $1.00 1.30% $ 8,625 1.04% 0.63% 1.70%
10/20/03(c) to 7/31/04 $1.00 0.34%* $ 244 1.06%** 0.63%** 0.44%**
- ------------------------------------------------------------------------------------------------------------------------------------
Notes to Financial Highlights
(a) Before waivers and reimbursements.
(b) Net of waivers and reimbursements.
(c) Reflects date of commencement of operations.
^ Amount is less than $0.005.
* Not annualized.
** Annualized.
(3) Average shares method used in calculation.
@ During the year ended July 31, 2007, the Advisor paid money to certain
Funds related to an SEC investigation of BISYS Fund Services, a former
service provider to the Funds. See Note 3 in Notes to Financial Statements
for further information. The payment was reported as Increase from payment
by the advisor in the Statements of Operations. Net Investment Income per
share in these Financial Highlights includes the impact of this payment
however the amount per share is less than $.005. The Funds distributed the
income related to this payment after July 31, 2007. This payment into the
Funds had no impact on total return for the year ended July 31, 2007.
See notes to financial statements.
44-45 spread
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS
JULY 31, 2008
- --------------------------------------------------------------------------------
(1) ORGANIZATION
Fifth Third Funds (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "Act"), as an open-end management investment company
established as a Massachusetts business trust. The Trust consists of thirty-one
separate investment portfolios, one of which has not commenced investment
operations.
The accompanying financial statements and notes relate only to the following
series of the Trust, each of which is diversified (individually a "Fund" and
collectively the "Funds").
FUND NAME
Fifth Third Prime Money Market Fund ("Prime Money Market")
Fifth Third Institutional Money Market Fund ("Institutional Money Market")
Fifth Third Institutional Government Money Market Fund
("Institutional Government Money Market")
Fifth Third U.S. Treasury Money Market Fund ("U.S. Treasury Money Market")
Fifth Third Michigan Municipal Money Market Fund
("Michigan Municipal Money Market")
Fifth Third Municipal Money Market Fund ("Municipal Money Market")
Michigan Municipal Money Market has two classes of shares: Institutional and
Class A shares. Institutional Money Market, Institutional Government Money
Market and U.S. Treasury Money Market have four classes of shares:
Institutional, Select, Preferred and Trust shares. Prime Money Market has four
classes of shares: Institutional, Class A, Class B and Class C shares. Prime
Money Market Advisor shares outstanding on November 26, 2007 were exchanged for
Class A shares of the Fund. No Financial Highlights information is presented for
Advisor shares. Certain activity for the period from August 1, 2007 through
November 26, 2007 for Advisor shares is included in the Statements of
Operations, Statements of Changes in Net Assets and these Notes to Financial
Statements. Municipal Money Market has five classes of shares: Institutional,
Class A, Select, Preferred and Trust shares. All Funds' Class B shares are
closed for purchases as of this report date. Each class of shares for each Fund
has identical rights and privileges except with respect to administrative
services fees paid by Class C, Select, Preferred and Trust shares, distribution
services fees paid by Class A, Class B, and Class C shares, voting rights on
matters affecting a single class of shares, and the exchange privileges of each
class of shares.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
may enter into contracts with their vendors and others that provide for the
general indemnification of Trustees and Officers. The Funds' maximum exposure
under these arrangements is unknown, as this would involve future claims that
may be made against the Funds. However, based on experience, the Funds expect
that risk of loss to be remote.
Fund Merger--On November 16, 2007 (the "Closing Date"), Prime Money Market
("Acquiring Fund") acquired the net assets of Government Money Market ("Acquired
Fund") pursuant to an Agreement and Plan of Reorganization approved by
shareholders of the Acquired Fund on November 16, 2007. The acquisition was
accomplished by a tax-free exchange of shares of each class of Prime Money
Market for the corresponding class of Government Money Market as of the Closing
Date. Information about the combining funds as of the Closing Date is as
follows; the shares issued by the Acquired Fund are disclosed in the Statement
of Changes in Net Assets.
NET ASSETS AS OF
FUND DESCRIPTION NOVEMBER 16, 2007
- -------------------------------------------------------------------------
Prime Money Market Acquiring Fund $1,268,851,875
Government Money Market Acquired Fund 205,338,449
--------------
Prime Money Market After Acquisition $1,474,190,324
==============
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with accounting principles generally accepted in the
United States of America. The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the
46
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements, as well as the reported
amounts of increases and decreases in net assets from operations during the
period. Actual results could differ from those estimates.
Securities Valuations--Investments of the Funds are valued at either amortized
cost, which approximates market value, or at original cost, which, combined with
accrued interest, approximates market value. Under the amortized cost method,
discount or premium is accreted or amortized on a constant basis to the maturity
of the security. Investments in other open-end investment companies are valued
at net asset value as reported by such investment companies.
Repurchase Agreements--The Funds will enter into repurchase agreements only with
banks and other recognized financial institutions, such as broker/dealers, which
are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor") to be
creditworthy pursuant to guidelines and/or standards reviewed or established by
the Board of Trustees of the Funds (the "Trustees"). It is the policy of the
Funds to require the custodian or sub-custodian bank to take possession, have
legally segregated in the Federal Reserve Book Entry System, or have segregated
within the custodian bank's vault, all securities segregated as collateral under
repurchase agreement transactions. Additionally, procedures have been
established by the Funds to monitor, on a daily basis, the market value of each
repurchase agreement's collateral to ensure that the value of collateral at
least equals the repurchase price to be paid under the relevant repurchase
agreement transaction. Risks may arise from the potential inability or
unwillingness of counterparties to honor the terms of a repurchase agreement.
Accordingly, the Funds could receive less than the repurchase price on the sale
of collateral securities.
Securities Transactions and Related Income--Securities transactions are
accounted for on the date the security is purchased or sold (trade date).
Interest income is recognized on the accrual basis and includes, where
applicable, amortization of premium or accretion of discount. Dividend or
capital gain distributions from investment company securities are recorded on
the ex-dividend date. Gains or losses realized on sales of securities are
determined by comparing the identified cost of the security lot sold with the
net sales proceeds.
When-Issued and Delayed Delivery Transactions ("TBAs")--The Funds may engage in
when-issued or delayed delivery transactions. The Funds record when-issued
securities on the trade date and maintain security positions such that
sufficient liquid assets will be available to make payment for the securities
purchased. Securities purchased on a when-issued or delayed delivery basis are
valued daily and begin earning interest on the settlement date. To the extent
the Funds hold these types of securities at period end, a sufficient amount of
cash and/or securities is segregated as collateral. As of July 31, 2008, the
Funds did not hold when-issued or delayed delivery securities.
Lending Portfolio Securities-- Each Fund (except U.S. Treasury Money Market) may
lend securities up to 33 1/3% of the Fund's total assets (plus the amount of
securities out on loan) to qualified borrowers (typically broker-dealers) in
order to enhance fund earnings by investing cash collateral received in making
such loans. The Funds continue to earn interest and dividends on securities
loaned by way of receiving substitute payments (substitute dividend payments are
generally not classified as Qualified Dividend Income for federal income tax
purposes). Loans will be made only to borrowers deemed by the Lending Agent to
be of sufficiently strong financial standing, organizational stability and
creditworthiness under guidelines established by the Trustees and when, in the
judgment of the Lending Agent, the consideration that can be earned currently
from such securities loans justifies the attendant risks.
The Trust has engaged its custodian bank, State Street Bank and Trust Company
("State Street" or "Lending Agent"), to act as lending agent and to administer
its securities lending program. The Funds commenced lending securities on April
16, 2008. U.S. Treasury Money Market inadvertently lent securities through April
29, 2008 resulting in $79,939 of securities lending income, but has not
participated in securities lending subsequent to that date. State Street will
earn a portion of program net income for its services. When a Fund makes a
security loan, it receives cash collateral as protection against borrower
default on the loaned security position and records an asset for the
cash/invested collateral and a liability for the return of the collateral.
Securities on loan continue to be included in investment securities at market
value on the Statements of Assets and Liabilities and remain on the Schedule of
Investments. As of July 31, 2008, no funds had securities on loan.
47
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
Loans of securities are required at the time the loan is made to be secured by
collateral at least equal to 105% of the prior day's market value of loaned
equity securities not denominated in U.S. dollars or Canadian dollars or not
primarily traded on a U.S. exchange; or 102% of the prior day's market value of
the securities on loan (including accrued interest) of any other loaned
securities, and not less than 100% thereafter. The Funds may invest cash
collateral in short-term money market instruments including: U.S. Treasury
Bills, U.S. agency sponsored obligations, commercial paper, money market mutual
funds, repurchase agreements and other highly rated, liquid investments.
During the life of securities loans, the collateral and securities loaned remain
subject to fluctuation in market value. State Street marks to market securities
loaned and the collateral each business day. If additional collateral is due,
State Street collects additional cash collateral from the borrowers. Although
securities loaned will be fully collateralized at all times, State Street may
experience delays in, or may be prevented from, recovering the collateral on
behalf of a Fund. State Street may on behalf of a Fund recall a loaned security
position at any time from a borrower, who is obligated to return the security
recalled. In the event the borrower fails to return a recalled security in a
timely fashion, State Street reserves the right to use the collateral to
purchase like securities in the open market. State Street indemnifies the Funds
against borrower default by agreeing to compensate for any shortfall between the
collateral held and the cost of obtaining replacement securities. If replacement
securities are not available, State Street will credit the equivalent cash value
to the Fund(s).
Other--Expenses directly attributable to a Fund are charged to the Fund, while
expenses attributable to more than one Fund of the Trust are allocated among the
respective Funds based on their relative net assets or another appropriate
basis. Income, expenses, and realized and unrealized gains or losses on
investments are allocated to each class of shares based on its relative net
assets, except that each class separately bears expenses specifically related to
that class, such as administrative services and distribution fees.
Distributions to Shareholders-- Dividends from net investment income are
declared daily and paid monthly and distributable net realized gains, if any,
are declared and distributed at least annually. Dividends from net investment
income and from net realized capital gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for expiring capital loss carryforwards and deferrals of certain
losses. To the extent distributions would exceed net investment income and net
realized gains for tax purposes, they are reported as a return of capital. These
"book/tax" differences are either considered temporary or permanent in nature.
To the extent these differences are permanent in nature, such amounts are
reclassified within the composition of net assets based on their federal tax
basis treatment; temporary differences do not require reclassifications.
Accordingly, at July 31, 2008, reclassifications were recorded as follows:
INCREASE INCREASE (DECREASE) DECREASE
UNDISTRIBUTED NET UNDISTRIBUTED NET PAID-IN-CAPITAL IN
INVESTMENT INCOME REALIZED GAIN (LOSS) EXCESS OF PAR
----------------- -------------------- -------------
Prime Money Market $5,890 $ 3,316 $ (9,206)
Institutional Money Market 3,371 -- (3,371)
Institutional Government Money Market 1,479 -- (1,479)
U.S. Treasury Money Market 2,354 61,932 (64,286)
Michigan Municipal Money Market 283 -- (283)
Municipal Money Market 2,885 (2,399) (486)
Federal Taxes--It is the intention of each Fund to qualify as a regulated
investment company by complying with the provisions available to certain
investment companies, as defined in applicable sections of the U.S. Internal
Revenue Code, and to make distributions of net investment income and net
realized capital gains sufficient to relieve it from all, or substantially all,
federal income taxes. Accordingly, no provision for federal income or excise
taxes has been made.
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"), in June 2006. FIN 48 requires the recognition of tax
benefits of an uncertain tax position only when the position is "more likely
than not" to be sustained assuming examination by taxing authorities. The Funds
adopted the provisions of FIN 48 on January 31, 2008. Management has reviewed
the Funds' tax positions for all open tax years, and concluded that adoption had
no effect on each Fund's financial position or results of operations. At July
31, 2008, the Funds have recorded no liability for net unrecognized tax benefits
relating to uncertain income tax positions taken or expected to be taken in
future tax returns.
48
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
The Funds file U.S. tax returns. While the statute of limitations remains open
to examine the Funds' U.S. tax returns filed for the fiscal years from
2004-2007, no examinations are in progress or anticipated as of this report
date. The Funds are not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months.
New Accounting Pronouncements--In September 2006, FASB issued Statement on
Financial Accounting Standards No. 157, Fair Value Measurements. ("FAS 157").
This standard establishes a single authoritative definition of fair value, sets
out a framework for measuring fair value and requires additional disclosures
about fair value measurements. FAS 157 applies to fair value measurements
already required or permitted by existing standards. The changes to current
generally accepted accounting principles from the application of this statement
relate to the definition of fair value, the methods used to measure fair value,
and the expanded disclosures about fair value measurements. FAS 157 is effective
for financial statements issued for fiscal years beginning after November 15,
2007 and interim periods within those fiscal years. While Management is
currently assessing the likely impact of FAS 157, as of this report date,
Management does not believe the adoption of FAS 157 will have a significant
impact to the Funds' financial statements. Additional disclosures may be
required however, relating to the inputs used to develop the measurements and
the effect of certain of the measurements on changes in net assets.
In March 2008, FASB issued Statement on Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and Hedging Activities ("FAS 161"). FAS
161 may require enhanced disclosures about Funds' derivative and hedging
activities. FAS 161 is effective for financial statements issued for fiscal
years beginning after November 15, 2008 and interim periods within those fiscal
years. Management is currently evaluating the impact the adoption of FAS 161
will have on the Funds' financial statement disclosures.
(3) RELATED PARTY TRANSACTIONS
Investment Advisory Fee--FTAM is the Funds' investment advisor. FTAM, a wholly
owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third
Bancorp, a publicly traded financial services company. For its advisory services
to the Funds, FTAM receives an investment advisory fee computed daily based on
each Fund's average daily net assets and paid monthly. For certain Funds, FTAM
has voluntarily agreed to waive a portion of its advisory fee. In addition, FTAM
has contractually agreed to waive fees and/or reimburse certain Funds pursuant
to an expense limitation agreement. See below, including the table of advisory
fee, waiver and expense limitations.
Administration Fee-- FTAM is the Trust's administrator (the "Administrator") and
generally assists in all aspects of the Trust's administration and operations
including providing the Funds with certain administrative personnel and services
necessary to operate the Funds. FTAM receives administration fees at the annual
rates shown below which are computed daily and paid monthly based on average
daily net assets of the Trust; the fees are prorated among the Funds based upon
their relative average daily net assets.
ADMINISTRATION FEE TRUST AVERAGE DAILY NET ASSETS
------------------ ------------------------------
0.20% Up to $1 billion
0.18% In excess of $1 billion up to $2 billion
0.17% In excess of $2 billion
For certain Funds, FTAM has voluntarily agreed to waive a portion of its
administration fee. In addition, a $10,000 annual per class, per Fund fee
applies beyond the first four classes per Fund, and each Fund that commences
operations after September 18, 2002 is subject to an annual $20,000 minimum fee.
FTAM has contractually agreed to waive fees and/or reimburse certain Funds
pursuant to an expense limitation agreement. See the table of advisory fees,
waivers and expense limitations below.
Advisory Fee, Waivers, Expense Limitations-- In its capacity as Advisor and
Administrator, FTAM has entered into an expense limitation agreement with the
Funds. Under the terms of the expense limitation agreement, to the extent that
ordinary operating expenses incurred by a Fund in any fiscal year exceed the
specified expense limit for the Fund, the excess amount will be borne by FTAM.
If the operating expenses are less than the specified expense limit for the
Fund, FTAM shall be entitled to reimbursement of the fees waived or reduced to
the extent that the operating expenses and the amount reimbursed do not exceed
such expense limit for the Fund, under the period of the agreement (currently
the period for the 12 months commencing November 29, 2007). Such reimbursement
shall be paid only while the expense limitation agreement is in effect and only
if such
49
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
amount paid, together with all other amounts reimbursed under this plan in the
fiscal year, does not cause the Fund to exceed the expense limitation. All
waivers not recovered at the end of the period expire on November 28, 2008. The
Funds' various annual fee rates, waivers and expense limitations as of this
report date are as follows:
CLASS EXPENSE LIMITATION *
-------------------------------------------------
ADMINI- REIMBURSE-
ADVISORY EXPENSE STRATION MENT
ADVISORY FEE LIMITA- FEE INSTITU- RECOVER-
FUND FEE WAIVER TION ** WAIVER TIONAL A B C ABLE***
- -----------------------------------------------------------------------------------------------------------------------------
Prime Money Market 0.40% NA C 0.08% 0.54% 0.79% 1.54% 1.54% $1,232,322
Institutional Money Market 0.40% 0.30% C 0.07% 0.21% NA NA NA 8,249,741
Institutional Government Money Market 0.40% 0.30% C 0.045% 0.21% NA NA NA 4,089,130
U.S. Treasury Money Market 0.40% 0.30% C 0.10% 0.21% NA NA NA 4,278,151
Michigan Municipal Money Market 0.40% NA C 0.065% 0.54% 0.70%# NA NA 168,981
Municipal Money Market 0.50% 0.40% C 0.04% 0.21% 0.46% NA NA 1,528,180
* The annual limitations shown include 12b-1 or administrative services fees
and are net of all waivers, voluntary or contractual. The annual
limitations are 0.29%, 0.36% and 0.46%, respectively, for the Select,
Preferred and Trust Shares of each of Institutional Money Market,
Institutional Government Money Market, U.S. Treasury Money Market and
Municipal Money Market.
** C - Contractual
*** The cumulative amounts waived and/or reimbursed in thousands and which may
be potentially recoverable by FTAM under the expense limitation agreements
for the period from November 29, 2007 through July 31, 2008.
# In addition to any other expense limitations applicable to certain Funds,
the Distributor has voluntarily agreed to limit the expenses of certain
classes by means of waiving a portion of the annual 12b-1 fee as follows:
Michigan Municipal Money Market Class A - 0.09%.
Accounting Fees-- FTAM is the Funds' accounting agent. FTAM receives accounting
fees at the annual rates shown below which are computed daily and paid monthly
based on average daily net assets of each Fund, subject to a $30,000 per fund
annual minimum, plus out-of-pocket expenses.
ACCOUNTING FEE FUND AVERAGE DAILY NET ASSETS
-------------- -----------------------------
0.020% Up to $500 million
0.015% In excess of $500 million up to $1 billion
0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the
initial class of shares.
Fees may be voluntarily reduced or reimbursed to assist the Funds in maintaining
competitive expense ratios.
Distribution and/or Servicing Fees, Waivers--The Trust has adopted a
Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds
Distributor, Inc. is the Trust's distributor/principal underwriter (the
"Distributor"). Under the terms of the Plan, the Funds will compensate the
Distributor from the net assets of the Funds' Class A, Class B and Class C
shares to finance activities intended to result in the sales of each Fund's
shares. The Plan provides that the Funds will incur fees accrued daily and paid
monthly to the Distributor at annual rates up to that shown below based on
average daily net assets of the respective classes in the Plan. The Distributor
has voluntarily agreed to limit the expenses of certain classes of certain funds
by way of waiving a portion of the Distribution and/or Servicing Fee; annual
12b-1 fees and voluntary waivers are shown below.
CLASS DISTRIBUTION/SERVICING FEE DISTRIBUTION/SERVICING FEE WAIVER
----------------------------------------------------------------------------
Class A 0.25% 0.09% - Michigan Municipal Money Market
Class B 1.00% NA
Class C 0.75% NA
Advisor 0.50% NA
50
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
In addition, the Distributor earned contingent deferred sales commissions (CDSC)
on certain redemptions of Class A, B and C shares (all of which is paid to the
finance agent who financed advance commissions, as applicable, on sales of these
shares). FTAM is the Class C advance commission finance agent. CDSCs on Class C
shares for the period ended as of this report date were $11,998 for the Trust, a
majority of which was attributed to FTAM. Affiliates of FTAM earned reallowed
12b-1 distribution/servicing fees as well as administrative servicing fees (see
below) of $3,843,408 for the period ended as of the report date.
Administrative Servicing Fee--The Trust has an Administrative Servicing
Agreement with the Distributor with respect to Class C, Select, Preferred and
Trust shares. Under the Agreements, certain administrative services, including
those relating to the maintenance of shareholder accounts were provided to these
shareholders during the year. The Distributor, as well as other financial
institutions (which may include affiliates of the Advisor) receive fees computed
at annual rates up to those shown below, based on average daily net assets of
the respective classes.
CLASS ADMINISTRATIVE SERVICES FEE
----- ---------------------------
Class C 0.25%
Select 0.08%
Preferred 0.15%
Trust 0.25%
Transfer and Dividend Disbursing Agent--Pursuant to a Services Agreement with
the Trust dated May 14, 2007, FTAM provides certain services on behalf of the
Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily
based upon each Fund of the Trust's relative average daily net assets, at the
aggregate annual rate of $370,000. FTAM earned $370,000 from the Trust in
service fees for the period ended as of this report date.
Other--Certain officers of the Trust are also officers of FTAM and/or its
affiliates. Effective June 28, 2007, certain non-principal officers of the Trust
are also employees of State Street. None of these officers are paid any fees by
the Trust.
Payments by Affiliates-- BISYS Fund Services, Inc. ("BISYS"), which formerly
provided various services to the Trust, reached a settlement and entered into an
order (the "Order") with the Securities and Exchange Commission ("SEC")
regarding the SEC's investigation of BISYS's past payment of certain marketing
and other expenses with respect to certain of its mutual fund clients. Neither
the Trust nor FTAM was a party to the Order, nor is the Trust or FTAM bound by
the Order or its findings. It is unclear the extent to which the Trust, FTAM and
certain of its former service providers are or may be affected by the SEC's
investigation of BISYS or by the Order. In response to the SEC's inquiries
related to this matter, including those of the Trust's former service
arrangements with BISYS, FTAM made a one time contribution of money to certain
Funds of the Trust during the year ended July 31, 2007. The affected Funds and
the amounts paid to such Funds were determined based on various factors such as
certain Fund expenses during 1999 through 2001 as well as the applicable Funds'
net assets during this time period. The amount credited to each class of the
applicable Funds was determined according to the relative net assets of such
classes on the date the amounts were recognized. The amounts paid to each Fund
are disclosed in the Statements of Changes in Net Assets as Increase from
payment by the advisor for the fiscal year ended July 31, 2007. The amounts were
allocated among the components of net assets for the year then ended for each
applicable Fund based upon its character for federal income tax purposes. The
total returns for the year ended July 31, 2007 for each class of the applicable
Funds would have been lower had the payments not been made; see the Notes to
Financial Highlights.
51
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
(4) LINE OF CREDIT
As of February 1, 2008, the Funds of the Trust have an uncommitted, unsecured
line of credit facility with State Street Bank and Trust Company. Under the
terms of the agreement, the Funds of the Trust may borrow up to $100 million in
the aggregate. The purpose of the facility is to permit the Funds to borrow cash
if necessary to meet temporary or emergency cash needs, including to pay
redemption requests that might otherwise require the untimely disposition of
securities. Borrowings may not exceed 33 1/3% of a Fund's net assets and must be
repaid within 60 days. Drawn loans will be priced at a bid rate, though, in any
event, not less than State Street's overnight federal funds annual rate plus the
annual rate of 0.50%. There were no borrowings against the line of credit during
the period the agreement was in place.
(5) FEDERAL TAX INFORMATION
The tax character of distributions paid during the fiscal years ended July 31,
2008 and 2007 was as follows:
JULY 31, 2008 JULY 31, 2007
---------------------------------------------- ---------------------------------------------
TAX TOTAL TAX TOTAL
ORDINARY INCOME EXEMPT DISTRIBUTIONS ORDINARY INCOME EXEMPT DISTRIBUTIONS
DISTRIBUTIONS DISTRIBUTIONS PAID DISTRIBUTIONS DISTRIBUTIONS PAID
---------------- ------------- ------------- --------------- ------------- -------------
Prime Money Market $ 48,480,925 $ -- $ 48,480,925 $54,639,437 $ -- $54,639,437
Institutional Money Market 101,931,130 -- 101,931,130 93,444,119 -- 93,444,119
Institutional Government
Money Market 43,035,240 -- 43,035,240 36,302,447 -- 36,302,447
U.S. Treasury Money Market 41,369,495 -- 41,369,495 55,940,604 -- 55,940,604
Michigan Municipal Money Market -- 5,360,926 5,360,926 -- 6,205,290* 6,205,290
Municipal Money Market -- 10,117,426 10,117,426 -- 10,039,660* 10,039,660
* In addition, for Federal tax purposes, the following amounts were
distributions payable at July 31, 2006 that were paid in the year ending
July 31, 2007:
Michigan Municipal Money Market $499,803
Municipal Money Market 803,007
As of July 31, 2008, the components of accumulated earnings/(deficit) on a tax
basis were as follows:
TOTAL
ACCUMULATED ACCUMULATED
UNDISTRIBUTED TAX UNDISTRIBUTED CAPITAL AND EARNINGS/
EXEMPT INCOME ORDINARY INCOME OTHER LOSSES (DEFICIT)
--------------- ---------------- ------------ ------------
Prime Money Market $ -- $82,621 $(202,516) $(119,895)
Institutional Money Market -- 53,183 (118,350) (65,167)
Institutional Government
Money Market -- 26,879 (1,459) 25,420
U.S. Treasury Money Market -- 10,442 (58,816) (48,374)
Michigan Municipal
Money Market (5,549) -- (14,553) (20,102)
Municipal Money Market 2,056 -- (5) 2,051
52
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
As of July 31, 2008, the following Funds have net capital loss carryforwards to
offset future net capital gains, if any, to the extent provided by Treasury
regulations:
EXPIRATION YEAR TOTAL
--------------------------------------- -----
2009 2010 2014 2015
------- ---- ------- ----
Prime Money Market $ -- $-- $92,314 $-- $92,314
Institutional Money Market -- -- 696 -- 696
U.S. Treasury Money Market 58,816 -- -- -- 58,816
Net capital losses incurred after October 31, and within the taxable year, are
deemed to arise on the first business day of the Funds' next taxable year. For
the year ended July 31, 2008, the Funds deferred to August 1, 2008 post October
capital losses of:
CAPITAL LOSSES
--------------
Prime Money Market $114,669
Institutional Money Market 117,541
Michigan Municipal Money Market 12,595
Municipal Money Market 5
During the tax year ended July 31, 2008, the Funds utilized capital loss
carryforwards in the following amounts:
CAPITAL LOSSES
--------------
Institutional Government Money Market $ 295
U.S. Treasury Money Market 62,960
(6) CONCENTRATIONS
Michigan Municipal Money Market holds a significant portion of its investments
in debt obligations issued by the state of Michigan, and its respective
political subdivisions, agencies and public authorities at this report date. The
Fund is more susceptible to factors adversely affecting issuers of municipal
securities from this state than a Fund that is not concentrated in these issuers
to the same extent.
(7) MARKET AND CREDIT RISK
In the normal course of business the Funds trade financial instruments and enter
into financial transactions where risk of potential loss exists due to changes
in the market (market risk) or failure of the other party to a transaction to
perform (credit risk). Similar to credit risk, the Funds may be exposed to
counterparty risk, or the risk that an institution or other entity with which
the Funds have unsettled or open transactions will default. The potential loss
could exceed the value of the financial assets recorded in the financial
statements. Financial assets, which potentially expose the Funds to credit risk,
consist principally of cash due from counterparties and investments. The extent
of the Funds' exposure to credit and counterparty risks in respect to these
financial assets approximates their carrying value as recorded in the Funds'
Statements of Assets and Liabilities.
53
FIFTH THIRD FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
JULY 31, 2008
- --------------------------------------------------------------------------------
(8) SUBSEQUENT EVENT
Proposed Fund Mergers--At a special meeting of the Board of Trustees on July 30,
2008, the Trustees approved Agreements and Plans of Reorganization (the
"Plans"), relating to the proposed reorganizations of certain funds of the Trust
with and into certain series of Money Market Obligations Trust (the "Proposed
Reorganizations"). Several Funds within these financial statements are parties
to proposed reorganizations, whereby the "Acquiring Fund" proposes to acquire
the "Acquired Fund" as shown below. Each of the proposed reorganizations is
independent and not conditioned on the others. A proxy/prospectus relating to
the Proposed Reorganizations was filed with the Securities and Exchange
Commission on September 2, 2008, indicating anticipated shareholder meeting and
closing dates to be held on or about November 21, 2008. The Plans are subject to
approval of the shareholders of the Acquired Funds.
ACQUIRING FUND ACQUIRED FUND
Federated Michigan Municipal Cash Trust Michigan Municipal Money Market
Federated Municipal Obligations Fund Municipal Money Market
Market Conditions (Unaudited) Recent events in the financial sector have
resulted in an unusually high degree of volatility in the financial markets and
the net asset value of many mutual funds, including the Fifth Third Funds. Such
events occurring subsequent to the date of this report have included, but are
not limited to, the seizure of the Federal National Mortgage Association and the
Federal Home Loan Mortgage Corporation by U.S. banking regulators, the
bankruptcy filing of Lehman Brothers and sale of Merrill Lynch to Bank of
America, and the government bailout of AIG. These companies represent financial
institutions with which certain of the Funds conduct business, and/or whose
securities are or may be held within the Funds. The potential investment of each
Funds' investments in these issuers, and the financial sector in general, as
reflected in each Fund's schedule of investments, exposes investors to the
negative (or positive) performance resulting from these and other events. U.S.
Government Agency securities and collateral received by the Funds under various
arrangements may include bonds issued by the Federal National Mortgage
Association and the Federal Home Loan Mortgage Corporation.
54
REPORT OF INDEPENDENT
REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and
Shareholders of The Fifth Third Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Fifth Third Prime Money Market
Fund, Fifth Third Institutional Money Market Fund, Fifth Third Institutional
Government Money Market Fund, Fifth Third U.S. Treasury Money Market Fund, Fifth
Third Michigan Municipal Money Market Fund and Fifth Third Municipal Money
Market Fund (the "Funds") at July 31, 2008, and the results of their operations
for the year then ended, the changes in their net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods presented, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at July 31, 2008 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Kansas City, MO
September 26, 2008
55
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FIFTH THIRD FUNDS MANAGEMENT ^
The Trustees and Officers of the Funds, age, the position they hold with the
Funds, their term of office and length of time served, a description of their
principal occupations during the past five years, the number of portfolios in
the fund complex that the Trustee oversees and any other directorships held by
the Trustee are listed in the two tables immediately following. The business
address of the persons listed below is 38 Fountain Square Plaza, Cincinnati,
Ohio 45202.
INDEPENDENT TRUSTEES
NUMBER OF
PORTFOLIOS
POSITION(S) TERM OF IN FUND
HELD OFFICE AND COMPLEX OTHER
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS
AGE FUNDS TIME SERVED DURING THE PAST 5 YEARS TRUSTEE HELD BY TRUSTEE
- ---------------------------------------------------------------------------------------------------------------------------
Edward Burke Carey Chairman-Board Indefinite, Carey Realty Investments, Inc. 31 Canisius
Age: 63 of Trustees January (real estate development and College-Trustee.
1989-Present consulting), President, 1990-Present.
David J. Durham Trustee Indefinite, Chairman of Clipper Products, Inc., 31 None
Age: 63 June 2001- a wholesale distributor, 2005-Present.
Present Chairman of Norris Products Corp.,
a wholesale distributor, 2005-Present.
President and Chief Executive Officer
of Clipper Products, Inc., 1997-Present.
J. Joseph Hale Jr. Trustee Indefinite, EVP and Managing Director, DHR 31 Trustee for
Age: 58 March International (executive recruiter), Hanover College.
2001-Present April 2007-Present. Consultant, Duke National Underground
Energy, April 2006-March 2007. Freedom Center,
President, Cinergy Foundation, The Cincinnati Zoo,
November 2001-March 2006. The Ohio Arts Council,
The Cincinnati
Parks Foundation,
and Playhouse
in the Park.
John E. Jaymont Trustee Indefinite, AVP, PIANKO, Feb. 2002- 31 Printing
Age: 63 October Present. Business Industries of
2001- Present Management Consultant, April America: Web Offset
2000-February 2002. Assoc., Director; Master
Printers of America,
Director.
David J. Gruber Trustee Indefinite, President, DJG Financial Consulting 31 None
Age: 44 December (accounting and finance consultant),
2003-Present June 2007-Present. Resources Global
Professionals, Project Professional,
December 2004-June 2007. Ohio Arts
& Sports Facilities Commission
(state funding oversight agency),
CFO, April 2003-December 2004. Ohio
Expositions Commission (state fair
and expo center), Finance Director,
April 1996-March 2003.
^ Additional disclosure can be found in the Statement of Additional
Information, which can be obtained by calling 1-800-282-5706.
56
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
OFFICERS
TERM OF
POSITION(S) OFFICE AND
HELD LENGTH OF
NAME WITH THE TIME PRINCIPAL OCCUPATION(S)
AND AGE FUNDS SERVED DURING THE PAST 5 YEARS
- --------------------------------------------------------------------------------------------------------------------------------
E. Keith Wirtz President Indefinite, April President, Fifth Third Asset Management,
Age: 48 2007-Present Inc. 2003- Present, Managing Partner,
Paladin Investment Associates, LLC,
2000-2003.
Matthew A. Ebersbach Vice President Indefinite, March Vice President of Fifth Third Bank
Age: 38 2006-Present since 2001.
Richard B. Ille Vice President Indefinite, April Managing Director, Products and Marketing,
Age: 43 2007-Present Fifth Third Asset Management, Inc.,
2001-Present.
James A. Mautino Anti-Money Indefinite, Vice President and Chief Compliance Officer,
Age: 40 Laundering and February 2007- Fifth Third Asset Management, Inc. August
Chief Compliance Present 2005-Present, Director of Risk and
Officer Compliance, State Street Bank and Trust
Company, October 1995-July 2005.
Shannon King Treasurer Indefinite, March Vice President, Fifth Third Asset
Age: 36 2008-Present Management, Inc. September 2007-Present,
Assistant Vice President and Capital
Markets Derivative Manager, Fifth Third
Bank, 2005- 2007, Capital Markets
Accounting Manager, Fifth Third Bank
2001-2005.
Matthew A. Swendiman Secretary Indefinite, April Vice President and Counsel of Fifth Third
Age: 35 2007-Present Bank, March 2006 to Present. Attorney,
Kirkpatrick & Lockhart Nicholson Graham,
LLP, May 2005-March 2006. Counsel, The
Phoenix Companies, Inc., July 2002-April
2005. Assistant Vice President and Assistant
Counsel, Conseco Capital Management, Inc.,
December 2000-June 2002.
Christopher Roetzer Assistant Treasurer Indefinite, June Vice President, State Street Bank and Trust
Age: 45 2007-Present Company (a Massachusetts trust company)
from 2004 to Present. Vice President,
Assistant Treasurer and Principal
Accounting Officer, IDEX Mutual Funds,
AEGON/Transamerica Series Fund, Inc.;
various AEGON USA affiliates, 1986-2003.
Tracy Kaufman Assistant Treasurer Indefinite, June Assistant Vice President, State Street Bank
Age: 49 2007-Present and Trust Company (a Massachusetts trust
company) from 1986 to Present.
Francine S. Hayes Assistant Secretary Indefinite, June Vice President and Counsel, State Street
Age: 40 2007-Present Bank and Trust Company (a Massachusetts
trust company) from 2004 to Present; and
Assistant Vice President and Counsel, State
Street Bank and Trust Company, from 2001
to 2004.
57
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
ADDITIONAL TAX INFORMATION
The tax-exempt percentage of ordinary income and short-term capital gain
distributions paid during fiscal year 2008 was as follows:
PERCENTAGE
----------
Michigan Municipal Money Market 100%
Municipal Money Market 100%
RESULTS OF SHAREHOLDER PROXY
At a special meeting of shareholders of the Fifth Third Government Money Market
Fund (the "Fund"), a series of the Fifth Third Funds (the "Trust") held on
November 16, 2007, the results of the proposal were as follows:
Proposal: To approve an Agreement and Plan of Reorganization providing for the
transfer of all of the assets of the Fund to the Fifth Third Prime Money Market
Fund.
VOTES
--------------------------------------
Affirmative 182,512,135
Against 3,836,364
Abstain 372,288
58
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
EXPENSE EXAMPLE
As a shareholder of the Fifth Third Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; and (2)
ongoing costs, including management fees; distribution and/or service 12b-1
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fifth Third Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from February 1, 2008 through July 31,
2008.
ACTUAL EXPENSES
The table below provides information about actual account values and actual
expenses. You may use the information below, 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, and $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
- ----------------------------------------------------------------------------------------------------------------------------
Prime Money Market Institutional Shares $1,000.00 $1,012.50 $2.70 0.54%
Class A Shares 1,000.00 1,011.20 3.95 0.79%
Class B Shares 1,000.00 1,007.50 7.69 1.54%
Class C Shares 1,000.00 1,007.50 7.69 1.54%
Institutional Money Market Institutional Shares 1,000.00 1,014.30 1.05 0.21%
Select Shares 1,000.00 1,013.90 1.45 0.29%
Preferred Shares 1,000.00 1,013.60 1.80 0.36%
Trust Shares 1,000.00 1,013.10 2.30 0.46%
Institutional Government Money Market Institutional Shares 1,000.00 1,012.70 1.05 0.21%
Select Shares 1,000.00 1,012.30 1.45 0.29%
Preferred Shares 1,000.00 1,011.40 1.80 0.36%
Trust Shares 1,000.00 1,022.40 2.31 0.46%
U.S. Treasury Money Market Institutional Shares 1,000.00 1,010.30 1.05 0.21%
Select Shares 1,000.00 1,009.90 1.45 0.29%
Preferred Shares 1,000.00 1,009.60 1.80 0.36%
Trust Shares 1,000.00 1,009.10 2.30 0.46%
Michigan Municipal Money Market Institutional Shares 1,000.00 1,008.70 2.70 0.54%
Class A Shares 1,000.00 1,007.80 3.49 0.70%
Municipal Money Market Institutional Shares 1,000.00 1,010.20 1.05 0.21%
Class A Shares 1,000.00 1,008.90 2.30 0.46%
Select Shares 1,000.00 1,009.80 1.45 0.29%
Preferred Shares 1,000.00 1,009.40 1.80 0.36%
Trust Shares 1,000.00 1,008.90 2.30 0.46%
- --------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
59
FIFTH THIRD FUNDS
SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED
- --------------------------------------------------------------------------------
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below provides information about hypothetical account values and
hypothetical expenses based on each Fifth Third Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may however use this information to compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
EXPENSE EXPENSE
BEGINNING ENDING PAID RATIO
ACCOUNT ACCOUNT DURING DURING
VALUE VALUE PERIOD* PERIOD
2/1/08 7/31/08 2/1/08 - 7/31/08 2/1/08 - 7/31/08
- ----------------------------------------------------------------------------------------------------------------------------
Prime Money Market Institutional Shares $1,000.00 $1,022.18 $2.72 0.54%
Class A Shares 1,000.00 1,020.93 3.97 0.79%
Class B Shares 1,000.00 1,017.21 7.72 1.54%
Class C Shares 1,000.00 1,017.21 7.72 1.54%
Institutional Money Market Institutional Shares 1,000.00 1,023.82 1.06 0.21%
Select Shares 1,000.00 1,023.42 1.46 0.29%
Preferred Shares 1,000.00 1,023.07 1.81 0.36%
Trust Shares 1,000.00 1,022.58 2.31 0.46%
Institutional Government Money Market Institutional Shares 1,000.00 1,023.82 1.06 0.21%
Select Shares 1,000.00 1,023.42 1.46 0.29%
Preferred Shares 1,000.00 1,023.07 1.81 0.36%
Trust Shares 1,000.00 1,022.58 2.31 0.46%
U.S. Treasury Money Market Institutional Shares 1,000.00 1,023.82 1.06 0.21%
Select Shares 1,000.00 1,023.42 1.46 0.29%
Preferred Shares 1,000.00 1,023.07 1.81 0.36%
Trust Shares 1,000.00 1,022.58 2.31 0.46%
Michigan Municipal Money Market Institutional Shares 1,000.00 1,022.18 2.72 0.54%
Class A Shares 1,000.00 1,021.38 3.52 0.70%
Municipal Money Market Institutional Shares 1,000.00 1,023.82 1.06 0.21%
Class A Shares 1,000.00 1,022.58 2.31 0.46%
Select Shares 1,000.00 1,023.42 1.46 0.29%
Preferred Shares 1,000.00 1,023.07 1.81 0.36%
Trust Shares 1,000.00 1,022.58 2.31 0.46%
- -----------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
60
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64
ADDRESSES
- -------------------------------------------------------------------------------------------------------
Fifth Third Funds Fifth Third Funds
38 Fountain Square Plaza
Cincinnati, Ohio 45202
- -------------------------------------------------------------------------------------------------------
Investment Advisor, Administrator and Accountant Fifth Third Asset Management, Inc.
38 Fountain Square Plaza
Cincinnati, Ohio 45202
- -------------------------------------------------------------------------------------------------------
Distributor FTAM Funds Distributor, Inc.
1290 Broadway, Suite 1100
Denver, Colorado 80203
- -------------------------------------------------------------------------------------------------------
Custodian, Sub-Accountant and Sub-Administrator State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, Missouri 64105
- -------------------------------------------------------------------------------------------------------
Transfer and Dividend Disbursing Agent Boston Financial Data Services, Inc.
30 Dan Road
Canton, Massachusetts 02021
- -------------------------------------------------------------------------------------------------------
Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP
1055 Broadway, 10th Floor
Kansas City, MO 64105
- -------------------------------------------------------------------------------------------------------
Advised by
FTAM
FIFTH THIRD ASSET MANAGEMENT
BEYOND THE TRADITIONAL
1-800-282-5706
FTF1359 073109 AR-MMF-08
9/08
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these individuals
are employed by the registrant or a third party (the "Code of Ethics").
On September 24, 2008, the Code of Ethics was amended to include (i) additional
obligations with respect to reporting of certain financial interests or
relationships of officers covered by the Code of Ethics, (ii) additional
recordkeeping requirements, and (iii) other non-material changes. The Code of
Ethics, as amended, is attached hereto as Exhibit 12(a)(1).
There have been no waivers granted by the registrant to individuals covered by
the Code of Ethics during the period covered by this report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that it has one audit
committee financial expert serving on the registrant's Audit Committee that
possess the attributes identified in Item 3(b) of Form N-CSR. The name of the
audit committee financial expert is David J. Gruber and Mr. Gruber is
"independent" as that term is defined in Item 3(a)(2) of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees billed for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services normally provided in connection with statutory and regulatory filings
and engagements for the last two fiscal years ended July 31, 2007 and July 31,
2008 were $319,400 and $403,642, respectively.
(b) Audit Related Fees
The registrant was not billed any fees by the principal accountant for the
fiscal year ended July 31, 2007 or July 31, 2008 for assurance and related
services that were reasonably related to the performance of the audit of the
registrant's financial statements and not otherwise included under paragraph (a)
of this Item 4.
(c) Tax Fees
The aggregate fees billed for professional services rendered by the principal
accountant for tax compliance, tax advice and tax planning in the form of
preparation of excise filings and income tax returns for the last two fiscal
years ended July 31, 2007 and July 31, 2008 were $104,850 and $145,575,
respectively.
(d) All Other Fees
The aggregate fees billed for products and services provided by the principal
accountant, other than the services reported in paragraphs (a) through (c) of
this Item for the last two fiscal years ended July 31, 2007 and July 31, 2008
were $0 and $0, respectively.
(e) Pre-Approval Policies and Procedures
(1) Audit and Non-Audit Services Pre-Approval Policies and Procedures
I. Purpose
Under the Sarbanes-Oxley act of 2002 (the "Act"), the audit committee (the
"Committee") of the Board of Trustees of Fifth Third Funds (the "Trust") is
responsible for the appointment, compensation and oversight of the work of the
Trust's independent auditor. As part of this responsibility, the Committee is
required to grant approval for audit and non-audit services performed by the
independent auditor for the Trust in order assure that they do not impair the
auditor's independence from the Trust. To implement these provisions of the Act,
the Securities and Exchange Commission (the "SEC") has issued rules specifying
the types of services that the Trust's independent auditor may not provide to
the Trust, as well as the committee's administration of the engagement of the
independent auditor. Under these rules, the SEC has provided that a permissible
approval of audit and non-audit services can take the form of either (i) an
express approval of a particular engagement, or (ii) a pre-approval (where a
specific type of service is authorized, generally subject to a fee maximum). The
latter type of approvals are authorized by SEC rules only subject to detailed
policies and procedures. Accordingly, the Committee has adopted these audit and
non-audit services pre-approval policies and procedures, which set forth the
procedures and the conditions pursuant to which services for the Trust may be
performed by the independent auditor under pre-approvals.
II. General Pre-Approval Policies
It is the policy of the committee that audit and non-audit services to be
performed by the Trust's independent auditor be pre-approved only when in the
best interests of the Trust's shareholders and fully consistent with applicable
law and, particularly, the maintenance of the auditor's independence. In
granting any pre-approval, consideration shall be given to:
1. The qualifications of the auditor to perform the services involved;
2. The proposed costs (which may be presented as an estimate or based on
professional time charges subject to a ceiling) of the services and
the reasonableness thereof;
3. The permissibility of the services under applicable rules and guidance
of the SEC;
4. The effect, if any, of the performance of the proposed services on the
auditor's independence;
5. The effect of the compensation for the proposed services on the
auditor's independence; and
6. The effect, if any, of the proposed services on the Trust's ability to
manage or control risk or to improve audit quality.
While non-audit services may include reviewing and/or validating procedures or
work products of the Trust, they may not include the production or modification
of such procedures or work products. While non-audit services may include market
research and strategic insights, such services shall be limited to factual
reports and shall not include recommendations. No pre-approval shall be made in
a manner that would constitute a delegation to the Trust's management.
III. Procedures for Pre-Approval by the Committee
1. Requests for pre-approval shall be in writing and may be made by either the
independent auditors or by management of the Trust.
2. All requests for pre-approval shall be made to the full Committee at
regularly scheduled meetings thereof (or at a special meeting of the
Committee set to coincide with regular meetings of the Trust's Board of
Trustees) whenever practicable.
3. Under normal circumstances, requests for pre-approval should be presented
at least 14 days prior (and in no event later than 48 hours prior) to the
proposed commencement of the engagement.
4. If consideration of a request for pre-approval on the dates identified in
Section III (2) would not be timely, the requesting party shall notify the
Committee's chairman. The Committee's chairman shall then determine whether
to schedule a special meeting of the Committee (which may be conducted
telephonically) on an alternative date or whether the request may
appropriately be presented to a delegate of the Committee under procedures
set forth in Section IV below.
5. Requests for pre-approval may include, but are not limited to, the
following services:
A. Audit engagement, particularly for interim periods;
B. Preparation of fund tax returns;
C. Review and consents with respect to use of reports in post-effective
amendments to the registration statements of the Trust;
D. Review of its shareholder materials;
E. Review and validation of fund procedures (e.g., valuation, interfund
lending, etc.), and
F. Market research and strategic insights.
6. Requests for pre-approval should identify the nature of the services to be
provided in a manner sufficiently specific to allow evaluation of the
considerations identified above in Section II.
7. Requests for pre-approval must include an assessment by the independent
auditor of their independence should the request be granted and the
proposed services rendered.
8. The Committee's action on a request for pre-approval shall be recorded in
the Committee's minutes.
9. The Committee's action on a request for pre-approval shall be communicated
in writing to the independent auditor and, under normal circumstances, a
copy of this communication shall be provided to the Trust's management.
10. The Committee's action on a request for pre-approval shall be reported to
the full board of Trustees.
11. Pre-approvals will be granted for a period of no more than one year.
IV. Procedures for Pre-Approval by a Delegate of the Committee
1. Where it has been determined by the Committee's chairman that consideration
of a request for pre-approval by the full Committee would not be timely,
the chairman may determine that the request be presented to a member(s) of
the Committee appointed by the Committee as its delegate (the "delegate")
for this purpose. (as of the date of the adoption of these guidelines and
procedures, John E. Jaymont has been so appointed, and such appointment may
be revoked or modified by the Committee at any time.)
2. Requests for pre-approval shall be in writing and may be made by either the
independent auditors or by management of the Trust.
3. Under normal circumstances, requests for pre-approval should be presented
at least 14 days prior (and in no event later than 48 hours prior) to the
proposed commencement of the engagement.
4. Requests for pre-approval may include, but are not limited to, the
following services:
a. Audit engagement, particularly for interim periods;
b. Preparation of fund tax returns;
c. Review and consents with respect to use of reports in post-effective
amendments to the registration statements of the Trust;
d. Review of its shareholder materials;
e. Review and validation of fund procedures (e.g., valuation, interfund
lending, etc.); and
f. Market research and strategic insights.
5. Requests for pre-approval should identify the nature of the services to be
provided in a manner sufficiently specific to allow evaluation of the
considerations identified above in Section II.
6. Requests for pre-approval must include an assessment by the independent
auditor of their independence should the request be granted and the
proposed services rendered.
7. The delegate's action on a request for pre-approval shall be communicated
in writing to the independent auditor, with a copy to each other member of
the Committee and, under normal circumstances, to the Trust's management.
8. Pre-approvals by the delegate shall be reviewed by the Committee at a
meeting held no later than the next scheduled meeting of the Board of
Trustees or the Committee, whichever occurs sooner. An earlier review shall
be conducted upon the written request of one or more Committee members
addressed to the Committee's Chairman.
9. Pre-approvals by the delegate may be modified or revoked by the Committee,
but will not absolve the Trust of its responsibility to compensate the
independent auditor for services rendered prior to such modification or
revocation.
10. The results of the Committee's review of the delegate's action on a request
for pre-approval shall be recorded in the Committee's minutes and reported
to the full board of Trustees.
11. Pre-approvals will be granted by the delegate for a period of no more than
one year.
V. Procedures for Monitoring Engagements Authorized under Pre-Approval
Procedures
The independent auditor shall inform the Committee in writing upon the
Commencement of services rendered under a pre-approval. The independent auditor
shall thereafter provide the Committee with written quarterly progress reports
within one month of the close of each calendar quarter detailing the work done
and fees and other charges incurred during said calendar quarter. Should fees
and expenses exceed those specified in a pre-approval (or appear likely to do so
prior to completion of the work), the independent auditor or management shall so
apprise the Committee and an additional express approval or pre-approval must be
obtained.
VI. Amendment
These policies and procedures may be amended or revoked at any time by the
Committee and shall be reviewed at least annually in conjunction with review of
the Audit Committee charter.
(2) None, or 0% of services relating to the Audit-Related Fees, Tax Fees and All
Other Fees disclosed above were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) The aggregate non-audit fees billed for the fiscal year ended July 31, 2007
and July 31, 2008 for services rendered by the principal accountant to the
registrant were $104,850 and $145,575, respectively.
The aggregate non-audit fees billed for the fiscal year ended July 31, 2007 and
July 31, 2008 for services rendered by the principal accountant to the
investment adviser were $81,100 and $54,173, respectively.
(h) The Audit Committee has considered that the provision of non-audit services
that were rendered to the registrant's investment adviser (not including any
subadviser whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
A Schedule of Investments is included as a part of the reports to shareholders
filed under Item 1 of this Form N-CSR.
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.
There were no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board of Trustees since the registrant
last disclosed its procedures pursuant to Item 22(b)(15) of Schedule 14A or this
Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have concluded based on their evaluation of the registrant's disclosure controls
and procedures as conducted within 90 days of the filing date of this report,
that the design and operation of such procedures are effective to provide
reasonable assurance that information required to be disclosed by the registrant
on Form N-CSR is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940,
as amended) that occurred during the registrant's second fiscal quarter of the
period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) The Code of Ethics is attached hereto.
(a)(2) The certifications required by Rule 30a-2(a) of the Investment Company
Act of 1940, as amended, are attached hereto.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) of the Investment Company Act
of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are
attached hereto.
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.
FIFTH THIRD FUNDS
/s/ E. Keith Wirtz
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E. Keith Wirtz
President
Date: October 7, 2008
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.
/s/ E. Keith Wirtz
- ------------------
E. Keith Wirtz
President
(Principal Executive Officer)
Date: October 7, 2008
/s/ Shannon King
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Shannon King
Treasurer
(Principal Financial and Accounting Officer)
Date: October 7, 2008