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 811-10263
AB Funds Trust
------------------------------------------------
(Exact name of registrant as specified in charter)
2401 Cedar Springs Road
Dallas, TX 75201-1407
------------------------------------------------
(Address of principal executive offices) (Zip code)
Rodney R. Miller, Esq.
Annuity Board of the Southern Baptist Convention
2401 Cedar Springs Road
Dallas, TX 75201-1407
--------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 214-720-1171
Date of fiscal year end: December 31, 2003
Date of reporting period: June 30, 2003
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
[AB FUNDS LOGO]
[AB FUNDS TRUST LOGO]
Semi-Annual Report
JUNE 30, 2003
(UNAUDITED)
BLENDED FUNDS:
- FLEXIBLE INCOME FUND
- GROWTH & INCOME FUND
- CAPITAL OPPORTUNITIES FUND
- GLOBAL EQUITY FUND
SELECT FUNDS:
- MONEY MARKET FUND
- LOW-DURATION BOND FUND
- MEDIUM-DURATION BOND FUND
- EXTENDED-DURATION BOND FUND
- EQUITY INDEX FUND
- VALUE EQUITY FUND
- GROWTH EQUITY FUND
- SMALL CAP EQUITY FUND
- INTERNATIONAL EQUITY FUND
AB Funds Trust
Annuity Board of the Southern Baptist Convention ("Annuity Board")
SBC Financial Services, Inc. ("SBC Financial")
SBC Trust Services, Inc. ("SBC Trust")
PFPC Distributors, Inc. ("PFPC")
NOTICE CONCERNING YOUR PRIVACY RIGHTS
This notice will provide you with information concerning our policies with
respect to nonpublic personal information that we collect about you in
connection with the following financial products and services provided and/or
serviced by the entities listed above: individual retirement accounts ("IRAs")
and/or personal mutual fund accounts.
The confidentiality of your information is important to us as we recognize
that you depend on us to keep your information confidential, as described in
this notice.
We collect nonpublic personal information about you with regard to your IRA
and/or personal mutual fund accounts from the following sources:
- Information we receive from you on applications or other forms;
- Information about your transactions with us, our affiliates or others
(including our third-party service providers);
- Information we receive from others such as service providers,
broker-dealers and your personal agents or representatives; and
- Information you and others provide to us in correspondence sent to us,
whether written, electronic or by telephone.
We may disclose such nonpublic personal financial information about you to
one or more of our affiliates. An affiliate of an organization means any entity
that controls, is controlled by, or is under common control with that
organization. For example, the Annuity Board, SBC Financial and SBC Trust are
affiliates of one another. AB Funds Trust, Annuity Board, SBC Financial, SBC
Trust and PFPC do not sell your personal information to nonaffiliated third
parties.
We may also disclose any of the personal information that we collect about
you to nonaffiliated third parties as permitted by law. For example, we may
provide your information to nonaffiliated companies that provide account
services or that perform marketing services on our behalf and to other financial
institutions with whom we have joint marketing agreements. We restrict access to
nonpublic personal information about you to those of our employees who need to
know that information in order for us to provide and/or service products or
services to you. We also maintain physical, electronic, and procedural
safeguards to guard your personal information.
These procedures will continue to remain in effect after you cease to
receive financial products and services from us.
If you have any questions concerning our customer information policy,
please contact a customer service representative at 1-800-262-0511.
TABLE OF CONTENTS
<Table>
Letter from the President 2
From the Chief Investment Officer 3
Blended Funds:
Flexible Income 4
Growth & Income 6
Capital Opportunities 8
Global Equity 10
Financial Statements 12
Select Funds:
Money Market 20
Low-Duration Bond 23
Medium-Duration Bond 31
Extended-Duration Bond 45
Equity Index 50
Value Equity 57
Growth Equity 67
Small Cap Equity 75
International Equity 93
Financial Statements 102
Notes to Financial Statements 119
Fund Management 135
</Table>
This report has been prepared for shareholders of AB Funds Trust. It is not
authorized for distribution to prospective investors unless accompanied or
preceded by a current prospectus, which contains more complete information about
the Funds. Investors are reminded to read the prospectus carefully before
investing.
1
LETTER FROM THE PRESIDENT
August 11, 2003
[O. S. HAWKINS PHOTO]
Dear Shareholder:
The attached shareholder report encompasses a period that should equate to
positive news for shareholders. Two major events transpired. First, Congress, in
reaction to several incidents of corporate malfeasance, enacted the new
Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002.
The Act requires every mutual fund to certify that its annual and semiannual
reports fully and fairly present its financial position to shareholders. This is
intended to strengthen investor protection and information disclosure.
Second, the stock markets signaled a possible economic recovery. At June 30, the
Standard & Poor's 500(R) Index was at 974, a value that is 25.46% above the
market trough on October 9, 2002. Strong market rallies, such as the one
experienced over the past nine months, are common occurrences during periods of
economic transition, and political and social uncertainty. Although there can be
no certainty that past trends will repeat themselves, history shows that
investors' long-term returns have been significantly diminished when they are on
the sidelines during such periods.
AB Funds Trust's commitment to a strategic and disciplined investment philosophy
has kept each Fund true to its stated objectives over the recent years of
turbulent market conditions. World-class investment management sub-advisers have
navigated your portfolios on a daily basis through the treacherous waters of the
past several years. These sub-advisers have, we believe, positioned the Funds to
take advantage of the investment opportunities that lie within each Fund's
defined investment set. Our diversified portfolio strategies have limited the
Funds' exposure to the risks that can unexpectedly befall a particular company
or sector.
We remain committed to providing you with the best ideas to help you achieve
your financial goals and to act at all times in accordance with the highest
standards of integrity keeping our Fund shareholders interests at the forefront.
If you have questions concerning your AB Funds Trust investment, please call us
at 1-800-262-0511 or visit our Web site at www.absbc.org.
Sincerely,
/s/ O. S. Hawkins
O. S. Hawkins
Past performance is no guarantee of future results. Share prices will fluctuate
and there may be a gain or loss when shares are redeemed.
Not Part of the Semi-Annual Report
2
FROM THE CHIEF INVESTMENT OFFICER
[RODRIC E. CUMMINS PHOTO]
Rodric E. Cummins, CFA
The strong rally in financial markets during the second quarter represented a
welcome change in fortunes for equity investors. The massive amount of monetary
and fiscal stimulus injected into the financial system over the past three years
may finally be showing positive effects on economic growth and corporate
earnings. Stock investors enjoyed the strongest period since 1998 as the S&P
500(R) Index gained 15.39% during the quarter, bringing the year-to-date
performance to 11.78%. The market advance was led by small cap stocks (as
represented by the Russell 2000(R) Index) and international stocks (as
represented by the MSCI-ACWI Free Ex-US) which posted returns of 23.42% and
19.85%, respectively.
Bond investments also posted impressive gains during the second quarter
following: (1) comments by Federal Reserve Chairman Alan Greenspan designed to
bring longer-term interest rates down; and (2) action by the Federal Reserve
("Fed") to again lower short-term interest rates. The bond market rallied on
belief that the Fed would use unconventional methods, if necessary, to keep
longer-term interest rates low. The yield on 10-year U.S. Treasury bonds reached
a 45-year low during the quarter on speculation the Fed would do everything in
its power to avert a Japan-like deflationary spiral where lower prices cripple
economic growth. The Fed's "open-mouth policy is designed to instill
expectations of super-low overnight rates for a long, long time," said Paul
McCulley of Pacific Investment Management Company. McCulley added, "The flatter
yield curve, weaker dollar, and rally in corporate bonds are all votes of
confidence that the Fed is, indeed, going to reflate the economy. The Fed is
earning its 'anti-deflationary' credibility."
The Lehman Brothers Aggregate Bond Index posted a return of 2.50% during the
quarter, bringing the year-to-date performance to 3.93%. Long-maturity corporate
securities led the bond market advance on the strength of lower interest rates
and an improving economic outlook.
OUTLOOK
Recent gains in the stock market suggest that investors are anticipating an
improvement in the economy and corporate earnings. Buoyed by the successful end
to the Iraqi war and the Fed's signaled commitment of continued low interest
rates, investors are gaining greater confidence that the balance of economic
growth is favoring a stronger rather than weaker future.
The combination of factors shaping the current financial landscape is unique in
U.S. history. The U.S. economy and financial systems have endured an
extraordinary barrage of exogenous shocks in recent years, including: the
bursting of one of the largest asset bubbles in history, the terrorist attacks
of 9/11, disappointing bouts of corporate malfeasance in America, and two wars.
Yet, the economic impact has been only that the U.S. has suffered one of the
shortest and mildest recessions in history. The economy's performance in the
face of such adverse conditions reflects the effects of powerful monetary and
fiscal stimulus, the economy's resilience, and the strong U.S. global leadership
position.
Reduced geo-political tensions and aggressive monetary and fiscal policy create
a favorable backdrop for the performance of equity securities. However, history
shows that assets that have experienced a major boom/bust cycle, as have U.S.
stocks, do not embark on a new secular bull market for many years. This is
likely the result of: (1) the need for financial systems to purge excesses
developed in boom phases and (2) investors' memories of past speculative
environments and their reluctance to extend valuations past levels that can be
supported by tangible fundamentals. While these two factors have and will likely
remain a headwind for further market gains, post-bubble markets can stage
impressive cyclical rallies, and the U.S. equity markets are in the midst of
such a rally.
Uncertain times are on the horizon for bond investors. The Fed is encouraging
the purchase of fixed-income securities in efforts to reduce yields on long-term
bonds. Yet, the Fed has set explicit targets of stronger economic growth and
increased inflation, both of which are archenemies for fixed income securities.
If the Fed is successful in its pursuit, bond investors will likely experience
investment returns far lower than those experienced in recent years.
Not Part of the Semi-Annual Report
3
FLEXIBLE INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 3.84% 3.69% 3.81%
Since Inception (8/27/01 -- 6/30/03) 2.25% 2.04% 2.47%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
8/27/01 10000 10000
8/31/01 9940 9926
9/30/01 9789 9819
10/31/01 9947 9948
11/30/01 10068 10105
12/31/01 10079 10142
1/31/02 10072 10107
2/28/02 10079 10109
3/31/02 10133 10175
4/30/02 10133 10163
5/31/02 10156 10178
6/30/02 10033 10076
7/31/02 9842 9957
8/31/02 9911 9992
9/30/02 9719 9791
10/31/02 9880 9987
11/30/02 10018 10108
12/31/02 9968 10051
1/31/03 9920 9983
2/28/03 9920 9971
3/31/03 9944 9993
4/30/03 10153 10220
5/31/03 10362 10405
6/30/03 10419 10461
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Fund's weighted composite
benchmark index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**Represents a weighted composite benchmark index consisting of the Russell
3000(R) Index, the Morgan Stanley Capital International All Country World Free
Index ex-U.S. Index and the Merrill Lynch 1-3 Year Treasury Index.
The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents approximately
98% of the investable U.S. equity market.
The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of
the market structure of developed and emerging market countries in the Americas
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes
closed markets and those shares in otherwise free markets that are not
purchasable by foreigners.
The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes
and Bonds with maturities greater than or equal to one year and less than three
years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
4
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.3%
AB Funds Trust -- Equity Index Fund 248,453 $ 3,292,004
AB Funds Trust -- Growth Equity Fund 1,838,662 23,608,421
AB Funds Trust -- International Equity
Fund 1,749,441 18,404,123
AB Funds Trust -- Low-Duration Bond
Fund 15,684,157 208,599,290
AB Funds Trust -- Money Market Fund 4,423,203 4,423,203
AB Funds Trust -- Small Cap Equity
Fund 331,391 3,993,256
AB Funds Trust -- Value Equity Fund 1,795,601 23,594,193
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $242,381,817) 285,914,490
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Bill
1.14%, 07/17/03++++ $ 90,000 89,962
U.S. Treasury Bond
2.00%, 11/30/04 1,850,000 1,872,548
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,959,244) 1,962,510
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $244,341,061) 287,877,000
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0% (79,718)
------------
NET ASSETS -- 100.0% $287,797,282
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
5
GROWTH & INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 4.84% 4.60% 5.45%
Since Inception (8/27/01 -- 6/30/03) 0.71% 0.51% 1.10%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
GROWTH & INC. RETIREMENT CLASS BENCHMARK INDEX**
------------------------------ -----------------
8/27/01 10000 10000
8/31/01 9854 9843
9/31/01 9410 9443
10/31/01 9643 9658
11/30/01 9920 9924
12/31/01 9953 9961
1/31/02 9901 9900
2/28/02 9901 9882
3/31/02 10049 10030
4/30/02 9953 9941
5/31/02 9960 9955
6/30/02 9664 9677
7/31/02 9234 9328
8/31/02 9345 9423
9/30/02 8916 9003
10/31/02 9160 9311
11/30/02 9442 9576
12/31/02 9319 9434
1/31/03 9217 9310
2/28/03 9201 9293
3/31/03 9217 9302
4/30/03 9642 9738
5/31/03 10044 10127
6/30/03 10131 10204
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Fund's weighted composite
benchmark index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**Represents a weighted composite benchmark index consisting of the Russell
3000(R) Index, the Morgan Stanley Capital International All Country World Free
ex-U.S. Index and the Lehman Brothers Aggregate Bond Index.
The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents approximately
98% of the investable U.S. equity market.
The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of
the market structure of developed and emerging market countries in the Americas
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes
closed markets and those shares in otherwise free markets that are not purchased
by foreigners.
The Lehman Brothers Aggregate Bond Index is composed of investment grade
securities from the Lehman Brothers Government/Credit Bond Index,
Mortgage-Backed Securities Index, and Asset Backed Securities Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
6
GROWTH & INCOME
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ----------- --------------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity
Index Fund 1,952,414 $ 25,869,480
AB Funds Trust -- Extended-
Duration Bond Fund 6,858,612 108,914,752
AB Funds Trust -- Growth
Equity Fund 13,277,756 170,486,388
AB Funds Trust --
International Equity Fund 13,651,896 143,617,950
AB Funds Trust -- Low-
Duration Bond Fund 11,941,612 158,823,438
AB Funds Trust -- Medium-
Duration Bond Fund 17,942,515 252,092,329
AB Funds Trust -- Money
Market Fund 15,203,716 15,203,716
AB Funds Trust -- Small Cap
Equity Fund 2,385,216 28,741,854
AB Funds Trust -- Value
Equity Fund 13,284,080 174,552,812
--------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $974,574,970) 1,078,302,719
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bill
1.14%, 07/17/03++++ $ 630,000 629,732
U.S. Treasury Note
3.25%, 08/15/07 9,600,000 10,021,882
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,553,125) 10,651,614
--------------
TOTAL INVESTMENTS -- 100.0%
(Cost $985,128,095) 1,088,954,333
OTHER ASSETS LESS LIABILITIES -- 0.0% 319,348
--------------
NET ASSETS -- 100.0% $1,089,273,681
==============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
7
CAPITAL OPPORTUNITIES FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 1.37% 1.00% 2.61%
Since Inception (8/27/01 -- 6/30/03) (3.22%) (3.45%) (2.92%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
CAPITAL OPP. RETIREMENT CLASS BENCHMARK INDEX**
----------------------------- -----------------
8/27/01 10000 10000
8/31/01 9759 9736
9/30/01 9081 9087
10/31/01 9314 9301
11/30/01 9759 9751
12/31/01 9832 9837
1/31/02 9714 9708
2/28/02 9663 9633
3/31/02 9972 9929
4/30/02 9751 9698
5/31/02 9722 9676
6/30/02 9288 9227
7/31/02 8655 8673
8/31/02 8721 8733
9/30/02 8067 8079
10/31/02 8435 8512
11/30/02 8802 8878
12/31/02 8529 8588
1/31/03 8361 8415
2/28/03 8277 8334
3/31/03 8300 8351
4/30/03 8820 8903
5/31/03 9293 9353
6/30/03 9415 9468
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Fund's weighted composite
benchmark index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**Represents a weighted composite benchmark index consisting of the Russell
3000(R) Index, the Morgan Stanley Capital International All Country World Free
ex-U.S. Index and the Lehman Brothers Aggregate Bond Index.
The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents approximately
98% of the investable U.S. equity market.
The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of
the market structure of developed and emerging market countries in the Americas
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes
closed markets and those shares in otherwise free markets that are not
purchasable by foreigners.
The Lehman Brothers Aggregate Bond Index is composed of investment grade
securities from the Lehman Brothers Government/Credit Bond Index,
Mortgage-Backed Securities Index, and Asset Backed Securities Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
8
CAPITAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.3%
AB Funds Trust -- Equity Index Fund 2,255,150 $ 29,880,741
AB Funds Trust -- Extended-Duration
Bond Fund 2,658,309 42,213,939
AB Funds Trust -- Growth Equity Fund 15,092,683 193,790,047
AB Funds Trust -- International Equity
Fund 15,039,773 158,218,413
AB Funds Trust -- Low-Duration Bond
Fund 4,476,594 59,538,705
AB Funds Trust -- Medium-Duration Bond
Fund 6,734,819 94,624,209
AB Funds Trust -- Money Market Fund 17,664,356 17,664,356
AB Funds Trust -- Small Cap Equity
Fund 2,733,779 32,942,037
AB Funds Trust -- Value Equity Fund 15,111,763 198,568,568
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $807,959,435) 827,441,015
------------
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Bills
1.14%, 07/17/03++++ $ 740,000 739,686
0.78%, 10/16/03++++ 50,000 49,873
0.88%, 10/16/03++++ 25,000 24,936
0.95%, 10/16/03++++ 40,000 39,898
------------
854,393
------------
U.S. Treasury Note
3.25%, 08/15/07 4,450,000 4,645,560
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,463,333) 5,499,953
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $813,422,768) 832,940,968
OTHER ASSETS LESS LIABILITIES -- 0.0% 39,210
------------
NET ASSETS -- 100.0% $832,980,178
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
9
GLOBAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year (2.41%) (2.64%) (0.47%)
Since Inception (8/27/01 -- 6/30/03) (7.36%) (7.46%) (7.06%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
GLOBAL EQUITY RETIREMENT CLASS BENCHMARK INDEX**
------------------------------ -----------------
08/27/01 10000.00 10000.00
08/31/01 9654.00 9629.00
09/30/01 8747.00 8737.00
10/31/01 8968.00 8950.00
11/30/01 9587.00 9570.00
12/31/01 9704.00 9701.00
01/31/02 9527.00 9506.00
02/28/02 9424.00 9377.00
03/31/02 9896.00 9813.00
04/30/02 9542.00 9443.00
05/31/02 9475.00 9386.00
06/30/02 8899.00 8778.00
07/31/02 8080.00 8041.00
08/31/02 8109.00 8070.00
09/30/02 7252.00 7220.00
10/31/02 7732.00 7748.00
11/30/02 8161.00 8193.00
12/31/02 7760.00 7779.00
01/31/03 7543.00 7569.00
02/28/03 7394.00 7437.00
03/31/03 7424.00 7459.00
04/30/03 8021.00 8096.00
05/31/03 8536.00 8591.00
06/30/03 8685.00 8738.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Fund's weighted composite
benchmark index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**Represents a weighted composite benchmark index consisting of the Russell
3000(R) Index and the Morgan Stanley Capital International All Country World
Free ex-U.S. Index.
The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents approximately
98% of the investable U.S. equity market.
The Morgan Stanley Capital International All Country World Free ex-U.S. Index is
a market-capitalization weighted index composed of companies representative of
the market structure of developed and emerging market countries in the Americas
(excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes
closed markets and those shares in otherwise free markets that are not
purchasable by foreigners.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
10
GLOBAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.8%
AB Funds Trust -- Equity Index
Fund 2,569,859 $ 34,050,631
AB Funds Trust -- Growth
Equity Fund 16,768,307 215,305,059
AB Funds Trust --
International Equity Fund 16,628,338 174,930,120
AB Funds Trust -- Money Market
Fund 18,063,825 18,063,825
AB Funds Trust -- Small Cap
Equity Fund 3,062,511 36,903,263
AB Funds Trust -- Value Equity
Fund 16,723,543 219,747,351
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $719,954,037) 699,000,249
------------
</Table>
<Table>
<Caption>
PAR
--------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
1.14%, 07/02/03++++ $130,000 129,945
1.14%, 07/17/03++++ 960,000 959,592
1.16%, 07/17/03++++ 70,000 69,970
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,159,412) 1,159,507
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $721,113,449) 700,159,756
OTHER ASSETS LESS
LIABILITIES -- 0.0% 167,026
------------
NET ASSETS -- 100.0% $700,326,782
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
11
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
JUNE 30, 2003 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
------------- ------------ -------------- ------------------ ------------
ASSETS
Investments at value (1) $287,877,000 $1,088,954,333 $832,940,968 $700,159,756
Receivables:
Dividends 1,830 9,972 11,421 11,567
Interest 3,140 117,205 54,327 --
Fund shares sold 12,070 445,204 223,307 252,099
Prepaid expenses and other assets 25,150 25,953 24,658 24,411
------------ -------------- ------------ ------------
Total Assets 287,919,190 1,089,552,667 833,254,681 700,447,833
------------ -------------- ------------ ------------
LIABILITIES
Payables:
Fund shares redeemed 70,982 142,424 165,520 25,872
Variation margin 4,112 -- -- --
Accrued expenses:
Advisory fee payable 15,406 90,728 66,248 53,567
Distribution fee payable 863 943 551 725
Other accrued expenses payable 30,071 44,891 40,981 39,092
Other liabilities 474 -- 1,203 1,795
------------ -------------- ------------ ------------
Total Liabilities 121,908 278,986 274,503 121,051
------------ -------------- ------------ ------------
NET ASSETS $287,797,282 $1,089,273,681 $832,980,178 $700,326,782
============ ============== ============ ============
NET ASSETS CONSIST OF:
Paid-in-capital $240,172,315 $ 964,466,425 $804,619,422 $723,145,181
Undistributed net investment income 2,399,944 11,036,619 5,357,987 1,578,425
Accumulated net realized gain (loss) on
investments 1,704,707 10,120,082 3,739,973 (3,143,946)
Net unrealized appreciation (depreciation) on
investments and futures transactions 43,520,316 103,650,555 19,262,796 (21,252,878)
------------ -------------- ------------ ------------
NET ASSETS $287,797,282 $1,089,273,681 $832,980,178 $700,326,782
============ ============== ============ ============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the Retail Class $ 17,662,257 $ 19,106,518 $ 11,096,898 $ 14,665,932
------------ -------------- ------------ ------------
Retail shares outstanding 1,855,134 2,109,682 1,256,366 1,714,470
------------ -------------- ------------ ------------
Net asset value, offering price and
redemption price per Retail share $ 9.52 $ 9.06 $ 8.83 $ 8.55
============ ============== ============ ============
Net assets applicable to the Retirement Class $270,135,025 $1,070,167,163 $821,883,280 $685,660,850
------------ -------------- ------------ ------------
Retirement shares outstanding 20,836,295 83,264,062 66,669,956 58,887,013
------------ -------------- ------------ ------------
Net asset value, offering and redemption
price per Retirement share $ 12.96 $ 12.85 $ 12.33 $ 11.64
============ ============== ============ ============
- ---------------
(1) Investments at cost $244,341,061 $ 985,128,095 $813,422,768 $721,113,449
============ ============== ============ ============
</Table>
See Notes to Financial Statements.
12
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE SIX MONTHS ENDED JUNE 30, 2003 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- -------------------------------------- ----------- ----------- ------------------ -----------
INVESTMENT INCOME
Income distributions received from affiliated
funds $ 2,319,760 $ 9,219,199 $ 4,637,053 $ 1,938,672
Interest 22,751 109,104 49,031 6,183
----------- ----------- ----------- -----------
Total Investment Income 2,342,511 9,328,303 4,686,084 1,944,855
----------- ----------- ----------- -----------
EXPENSES
Investment advisory fees 140,384 520,449 386,336 320,327
Transfer agent fees
Retail shares 8,528 10,889 9,575 8,842
Retirement shares 9,780 10,191 10,019 10,149
Custodian fees 4,744 11,196 8,653 7,625
Distribution fees -- Retail shares 4,980 5,233 3,018 3,909
Accounting and administration fees 41,259 89,696 76,349 69,790
Professional fees 21,515 21,515 21,515 21,515
Registration fees 5,948 5,751 5,672 5,873
Shareholder reporting fees
Retail shares 5,127 10,871 7,565 5,601
Retirement shares 240 (828) (500) (328)
Trustee fees 771 1,584 1,289 1,134
Line of credit facility fees 2,142 3,821 3,211 2,923
Other expenses 7,646 7,646 7,645 7,645
----------- ----------- ----------- -----------
Total Expenses 253,064 698,014 540,347 465,005
Expenses waived (53,462) (2,805) (27,431) (36,352)
Fees paid indirectly (274) (151) (189) (161)
----------- ----------- ----------- -----------
Net expenses 199,328 695,058 512,727 428,492
----------- ----------- ----------- -----------
NET INVESTMENT INCOME 2,143,183 8,633,245 4,173,357 1,516,363
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investment
securities 932,451 7,832,007 2,537,513 (1,513,753)
Net realized gain on futures transactions 72,542 742,460 1,033,068 1,348,250
----------- ----------- ----------- -----------
Net realized gain (loss) 1,004,993 8,574,467 3,570,581 (165,503)
----------- ----------- ----------- -----------
Change in net unrealized appreciation on
investment securities 9,364,562 69,881,450 70,048,086 72,969,160
Change in net unrealized appreciation
(depreciation) on futures transactions 5,704 (35,050) (86,012) (29,372)
----------- ----------- ----------- -----------
Net change in unrealized appreciation 9,370,266 69,846,400 69,962,074 72,939,788
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN 10,375,259 78,420,867 73,532,655 72,774,285
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $12,518,442 $87,054,112 $77,706,012 $74,290,648
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
13
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND GROWTH & INCOME FUND
----------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/03 ENDED 12/31/02 06/30/03 ENDED 12/31/02
------------ -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 2,143,183 $ 9,879,521 $ 8,633,245 $ 37,212,677
Net realized gain (loss) on investment
securities and futures transactions 1,004,993 3,962,897 8,574,467 27,579,592
Net change in unrealized appreciation
(depreciation) on investment securities
and future transactions 9,370,266 (17,163,347) 69,846,400 (139,143,771)
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
resulting from operations 12,518,442 (3,320,929) 87,054,112 (74,351,502)
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME
Retail shares -- (703,267) (459) (742,069)
Retirement shares -- (8,918,457) -- (34,065,901)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL
GAINS
Retail shares -- (277,139) -- (647,836)
Retirement shares -- (3,345,180) -- (27,969,982)
------------ ------------ -------------- --------------
Total dividends and distributions -- (13,244,043) (459) (63,425,788)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS (4,601,297) 9,491,230 (34,488,426) 17,107,697
------------ ------------ -------------- --------------
Total increase (decrease) in net assets 7,917,145 (7,073,742) 52,565,227 (120,669,593)
------------ ------------ -------------- --------------
NET ASSETS:
Beginning of the Period 279,880,137 286,953,879 1,036,708,454 1,157,378,047
------------ ------------ -------------- --------------
End of the Period $287,797,282 $279,880,137 $1,089,273,681 $1,036,708,454
============ ============ ============== ==============
</Table>
See Notes to Financial Statements.
14
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND
----------------------------- -----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/03 ENDED 12/31/02 06/30/03 ENDED 12/31/02
------------ -------------- ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 4,173,357 $ 17,002,655 $ 1,516,363 $ 4,857,408
3,570,581 10,078,427 (165,503) (2,839,043)
69,962,074 (145,265,886) 72,939,788 (164,655,197)
------------ ------------- ------------ -------------
77,706,012 (118,184,804) 74,290,648 (162,636,832)
------------ ------------- ------------ -------------
(1) (250,945) -- (97,128)
-- (15,568,234) -- (4,698,218)
-- (221,031) -- (45,607)
-- (12,144,045) -- (1,611,830)
------------ ------------- ------------ -------------
(1) (28,184,255) -- (6,452,783)
------------ ------------- ------------ -------------
(552,913) 18,216,951 (2,812,082) (12,776,613)
------------ ------------- ------------ -------------
77,153,098 (128,152,108) 71,478,566 (181,866,228)
------------ ------------- ------------ -------------
755,827,080 883,979,188 628,848,216 810,714,444
------------ ------------- ------------ -------------
$832,980,178 $ 755,827,080 $700,326,782 $ 628,848,216
============ ============= ============ =============
</Table>
See Notes to Financial Statements.
15
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FLEXIBLE INCOME FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.12 $ 9.83 $ 10.00 $ 12.40 $ 13.15 $ 13.29
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.07 0.31 0.15 0.10 0.46 0.22
Capital gain distributions received -- 0.02 0.01 -- 0.02 0.01
Realized and unrealized gain (loss) on
investments securities and futures
transactions -- net 0.33 (0.45) (0.08) 0.46 (0.62) (0.12)
------- ------- ------- -------- -------- --------
Total from investment operations 0.40 (0.12) 0.08 0.56 (0.14) 0.11
------- ------- ------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- (0.42) (0.22) -- (0.44) (0.22)
Distributions from capital gains -- (0.17) (0.03) -- (0.17) (0.03)
------- ------- ------- -------- -------- --------
Total dividends and distributions -- (0.59) (0.25) -- (0.61) (0.25)
------- ------- ------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 9.52 $ 9.12 $ 9.83 $ 12.96 $ 12.40 $ 13.15
======= ======= ======= ======== ======== ========
TOTAL RETURN (2) 4.39% (1.27%) 0.72% 4.52% (1.10%) 0.79%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.35% 0.32% 0.48% 0.13% 0.13% 0.13%
Expenses -- including expense reduction
(3)(4) 0.35% 0.32% 0.48% 0.13% 0.13% 0.13%
Expenses -- before waivers and expense
reductions (3)(4) 0.39% 0.43% 66.47% 0.17% 0.17% 0.18%
Investment income -- net (1)(3) 1.33% 3.46% 7.69% 1.56% 3.50% 4.67%
Investment income -- excluding waivers
and expense reduction (1)(3) 1.29% 3.35% (58.30%) 1.52% 3.46% 4.62%
Portfolio turnover rate (2) 4.16% 13.56% 4.02% 4.16% 13.56% 4.02%
Net Assets -- end of the period (000's) $17,662 $16,234 $ 325 $270,135 $263,646 $286,628
======= ======= ======= ======== ======== ========
</Table>
- ---------------
* Commencement of operations
(1) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying investment companies in
which the Fund invests.
(2) Non-annualized.
(3) Annualized.
(4) Does not include expenses of the investment companies in which the Fund
invests.
See Notes to Financial Statements.
16
<Table>
<Caption>
GROWTH & INCOME FUND
-------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- ---------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- ---------- ------------
(UNAUDITED) (UNAUDITED)
$ 8.34 $ 9.72 $ 10.00 $ 11.82 $ 13.44 $ 13.74
------- ------- --------- ---------- ---------- ----------
0.06 0.30 0.12 0.10 0.45 0.19
-- 0.03 0.01 -- 0.03 0.01
0.66 (0.96) (0.18) 0.93 (1.33) (0.27)
------- ------- --------- ---------- ---------- ----------
0.72 (0.63) (0.05) 1.03 (0.85) (0.07)
------- ------- --------- ---------- ---------- ----------
-- (0.40) (0.19) -- (0.42) (0.19)
-- (0.35) (0.04) -- (0.35) (0.04)
------- ------- --------- ---------- ---------- ----------
-- (0.75) (0.23) -- (0.77) (0.23)
------- ------- --------- ---------- ---------- ----------
$ 9.06 $ 8.34 $ 9.72 $ 12.85 $ 11.82 $ 13.44
======= ======= ========= ========== ========== ==========
8.63% (6.59%) (0.52%) 8.71% (6.37%) (0.47%)
0.44% 0.37% 0.48% 0.13% 0.13% 0.13%
0.44% 0.37% 0.48% 0.13% 0.13% 0.13%
0.44% 0.45% 6.53% 0.13% 0.13% 0.17%
1.37% 3.36% 5.62% 1.68% 3.40% 4.05%
1.37% 3.28% (0.43%) 1.68% 3.40% 4.01%
4.30% 12.04% 4.27% 4.30% 12.04% 4.27%
$19,107 $17,009 $ 1,334 $1,070,167 $1,019,700 $1,156,044
======= ======= ========= ========== ========== ==========
</Table>
See Notes to Financial Statements.
17
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 8.01 $ 9.73 $ 10.00 $ 11.17 $ 13.37 $ 13.71
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.03 0.16 0.06 0.06 0.26 0.11
Capital gain distributions received -- 0.02 --++ -- 0.02 --++
Realized and unrealized gain (loss) on
investments securities and futures
transactions -- net 0.79 (1.50) (0.22) 1.10 (2.05) (0.34)
------- ------- ------- -------- -------- --------
Total from investment operations 0.82 (1.32) (0.16) 1.16 (1.77) (0.23)
------- ------- ------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- (0.21) (0.11) -- (0.24) (0.11)
Distributions from capital gains -- (0.19) --++ -- (0.19) --++
------- ------- ------- -------- -------- --------
Total dividends and distributions -- (0.40) (0.11) -- (0.43) (0.11)
------- ------- ------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 8.83 $ 8.01 $ 9.73 $ 12.33 $ 11.17 $ 13.37
======= ======= ======= ======== ======== ========
TOTAL RETURN (2) 10.24% (13.56%) (1.64%) 10.39% (13.25%) (1.68%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.48% 0.42% 0.48% 0.13% 0.13% 0.13%
Expenses -- including expense reduction
(3)(4) 0.48% 0.42% 0.48% 0.13% 0.13% 0.13%
Expenses -- before waivers and expense
reductions (3)(4) 0.54% 0.55% 43.03% 0.14% 0.14% 0.17%
Investment income -- net (1)(3) 0.75% 1.90% 4.49% 1.10% 2.08% 2.38%
Investment income -- excluding waivers
and expense reduction (1)(3) 0.69% 1.77% (38.06%) 1.09% 2.07% 2.34%
Portfolio turnover rate (2) 2.87% 10.33% 3.42% 2.87% 10.33% 3.42%
Net Assets -- end of the period (000's) $11,097 $ 9,859 $ 331 $821,883 $745,968 $883,648
======= ======= ======= ======== ======== ========
</Table>
- ---------------
* Commencement of operations.
(1) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying investment companies in
which the Fund invests.
(2) Non-annualized.
(3) Annualized.
(4) Does not include expenses of the investment companies in which the Fund
invests.
++ Amount represents less than $0.01 per share.
See Notes to Financial Statements.
18
<Table>
<Caption>
GLOBAL EQUITY FUND
-------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- ---------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- ---------- ------------
(UNAUDITED) (UNAUDITED)
$ 7.65 $ 9.70 $ 10.00 $ 10.40 $ 13.14 $ 13.57
------- ------- --------- ---------- ---------- ----------
0.01 0.04 0.02 0.03 0.08 0.03
-- --++ -- -- --++ --
(2.00) (0.29) 1.21 (2.71) (0.43)
0.89
------- ------- --------- ---------- ---------- ----------
0.90 (1.96) (0.27) 1.24 (2.63) (0.40)
------- ------- --------- ---------- ---------- ----------
-- (0.06) (0.03) -- (0.08) (0.03)
-- (0.03) --++ -- (0.03) --++
------- ------- --------- ---------- ---------- ----------
-- (0.09) (0.03) -- (0.11) (0.03)
------- ------- --------- ---------- ---------- ----------
$ 8.55 $ 7.65 $ 9.70 $ 11.64 $ 10.40 $ 13.14
======= ======= ========= ========== ========== ==========
11.77% (20.25%) (2.75%) 11.92% (20.04%) (2.96%)
0.41% 0.35% 0.48% 0.13% 0.13% 0.13%
% 0.35% 0.48% 0.13% 0.13% 0.13%
0.41
% 0.44% 66.34% 0.14% 0.14% 0.17%
0.42
0.21% 0.53% 1.60% 0.49% 0.68% 0.64%
% 0.44% (64.26%) 0.48% 0.67% 0.60%
0.20
1.29% 6.33% 2.70% 1.29% 6.33% 2.70%
$14,666 $12,805 $ 207 $ 685,661 $ 616,043 $ 810,507
======= ======= ========= ========== ========== ==========
</Table>
See Notes to Financial Statements.
19
MONEY MARKET FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
SALOMON BROTHERS
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* 90 DAY TREASURY BILL INDEX**
----------------- -------------------- ------------- ----------------------------
One Year 1.23% 1.42% 1.02% 1.41%
Since Inception
(8/27/01 -- 6/30/03) 1.65% 1.65% 1.38% 1.80%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
SALOMON BROTHERS 90 DAY TREASURY
MONEY MARKET RETIREMENT CLASS BILL INDEX**
----------------------------- --------------------------------
08/27/01 10000.00 10000.00
08/31/01 10008.00 10008.00
09/30/01 10033.00 10036.00
10/31/01 10057.00 10063.00
11/30/01 10079.00 10084.00
12/31/01 10094.00 10102.00
01/31/02 10108.00 10118.00
02/28/02 10122.00 10131.00
03/31/02 10138.00 10146.00
04/30/02 10153.00 10161.00
05/31/02 10167.00 10176.00
06/30/02 10180.00 10191.00
07/31/02 10194.00 10206.00
08/31/02 10207.00 10220.00
09/30/02 10220.00 10234.00
10/31/02 10232.00 10249.00
11/30/02 10243.00 10262.00
12/31/02 10255.00 10274.00
01/31/03 10265.00 10285.00
02/28/03 10273.00 10294.00
03/31/03 10282.00 10305.00
04/30/03 10290.00 10315.00
05/31/03 10298.00 10325.00
06/30/03 10306.00 10334.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Salomon Brothers 90-Day
Treasury Bill Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Salomon Brothers 90-Day Treasury Bill Index is composed of the monthly
return equivalents of yield averages that are not marked to market. The 3-Month
Treasury Bill Index consists of the last three 3-month Treasury bill issues.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
20
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 PAR VALUE
- ------------- ----------- ------------
AGENCY OBLIGATIONS -- 20.0%
Federal Farm Credit Bank
5.00%, 09/22/03 $ 3,000,000 $ 3,026,758
Federal Home Loan Bank
4.50%, 07/07/03 18,000,000 18,006,133
4.88%, 04/16/04 25,000,000 25,698,819
1.45%, 05/12/04 10,000,000 10,000,000
1.40%, 05/14/04 10,000,000 10,000,000
Federal Home Loan Mortgage
Corporation
3.50%, 09/15/03 5,000,000 5,025,126
1.00%, 09/24/03 15,000,000 14,964,584
1.02%, 09/30/03 15,000,000 14,961,325
1.61%, 10/09/03 17,000,000 16,924,208
1.22%, 03/25/04 12,000,000 11,891,013
Federal National Mortgage
Association
4.75%, 11/14/03 10,000,000 10,105,561
5.13%, 02/13/04 10,000,000 10,232,660
5.63%, 05/14/04 5,000,000 5,184,124
3.00%, 06/15/04 10,000,000 10,168,548
Student Loan Mortgage
Association
4.75%, 04/23/04 19,750,000 20,304,429
------------
TOTAL AGENCY OBLIGATIONS
(Cost $186,493,288) 186,493,288
------------
CERTIFICATES OF DEPOSIT -- 6.8%
Barclays Bank PLC NY
2.10%, 07/14/03 15,000,000 15,000,000
Canadian Imperial Bank of
Commerce NY
2.01%, 08/22/03 10,000,000 10,000,000
Citibank NA
1.23%, 08/20/03 18,000,000 18,000,000
Washington Mutual Bank
1.27%, 07/10/03 20,000,000 19,999,950
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $62,999,950) 62,999,950
------------
COMMERCIAL PAPER -- 44.1%
Barclays U.S. Funding
Corporation
1.24%, 08/04/03 5,000,000 4,994,144
BASF AG
1.23%, 07/16/03 6,000,000 5,996,925
1.22%, 08/07/03 10,000,000 9,987,461
Bear Stearns Cos., Inc.
1.27%, 07/30/03 13,000,000 12,986,700
BMW US Capital Corporation
1.07%, 09/12/03 11,000,000 10,976,133
Citicorp
1.26%, 07/18/03 7,223,000 7,218,719
Citigroup Global Markets
Holdings, Inc.
1.23%, 08/13/03 15,000,000 14,977,963
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
Concord Minutemen Capital Co.
LLC
1.22%, 07/10/03 $12,000,000 $ 11,996,340
1.24%, 08/18/03 13,000,000 12,978,507
Crown Point Capital Co. LLC
1.09%, 09/10/03 10,000,000 9,978,503
Edison Asset Securitization
LLC
1.04%, 09/05/03 21,000,000 20,959,960
Fairway Finance Corporation
1.09%, 09/10/03 7,736,000 7,719,370
General Electric Capital
Corporation
1.23%, 07/07/03 28,000,000 27,994,260
Goldman Sachs Group, Inc.
1.26%, 08/08/03 15,000,000 14,980,050
Grampian Funding LLC
1.23%, 08/14/03 20,000,000 19,969,933
HBOS Treasury Services PLC
1.23%, 08/05/03 6,900,000 6,891,749
1.23%, 08/07/03 2,800,000 2,796,460
1.21%, 08/26/03 10,575,000 10,555,096
1.10%, 09/09/03 23,500,000 23,449,736
K2 (USA) LLC
1.24%, 08/12/03 2,000,000 1,997,107
Lexington Parker Capital
Corporation
1.25%, 07/18/03 14,000,000 13,991,736
1.23%, 08/06/03 28,000,000 27,965,560
Natexis Banques Populaires
U.S. Finance Co. LLC
1.24%, 07/08/03 22,448,000 22,442,588
1.25%, 07/23/03 13,000,000 12,990,109
Ness LLC
1.24%, 08/15/03 5,000,000 4,992,250
1.05%, 09/15/03 9,000,000 8,980,050
0.96%, 09/25/03 19,436,000 19,391,427
Scaldis Capital LLC
1.26%, 07/14/03 21,000,000 20,990,445
Tannehill Capital Co. LLC
1.22%, 08/18/03 10,000,000 9,983,733
0.96%, 09/19/03 20,000,000 19,957,333
UBS Finance (Delaware) LLC
1.31%, 07/01/03 8,748,000 8,748,000
------------
TOTAL COMMERCIAL PAPER
(Cost $409,838,347) 409,838,347
------------
MASTER NOTES -- 1.6%
Merrill Lynch Mortgage
Capital, Inc.
1.46%, 07/01/03
(Cost $15,000,000) 15,000,000 15,000,000
------------
</Table>
See Notes to Financial Statements.
21
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- ------------
VARIABLE RATE OBLIGATIONS -- 27.4%
American Express Centurion
Bank
1.21%, 07/14/03++ $25,000,000 $ 25,000,000
Bear Stearns Cos., Inc.
1.11%, 07/01/03++ 15,000,000 15,000,000
1.25%, 09/05/03++ 7,000,000 7,000,000
Donaldson Lufkin & Jenrette,
Inc.
1.85%, 07/18/03++ 10,000,000 10,002,447
General Electric Capital
Corporation
1.37%, 08/04/03++ 17,000,000 17,004,142
Goldman Sachs Group, Inc.
1.22%, 09/08/03++ 30,000,000 30,000,000
John Hancock Global Funding
II
1.25%, 09/11/03++ 10,000,000 10,012,810
1.27%, 09/15/03++ 8,000,000 8,002,967
1.19%, 09/29/03++ 13,000,000 13,003,622
Metlife Global Funding
1.12%, 07/28/03++ 10,000,000 10,000,000
National City Bank of Indiana
1.04%, 07/01/03++ 30,000,000 29,994,184
1.05%, 07/01/03++ 10,000,000 9,998,670
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Salomon Smith Barney
Holdings, Inc.
1.53%, 08/18/03++ $ 4,800,000 $ 4,804,135
U.S. Bank NA
1.05%, 07/01/03++ 25,000,000 24,998,566
Wells Fargo Bank NA
1.04%, 07/01/03++ 30,000,000 30,000,000
1.05%, 07/01/03++ 10,000,000 10,000,000
--------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $254,821,543) 254,821,543
--------------
<Caption>
SHARES
-----------
MUTUAL FUND -- 14.0%
Northern Institutional
Liquid Assets
Portfolio sec.
(Cost $130,579,380) 130,579,380 130,579,380
TOTAL INVESTMENTS -- 113.9%
(Cost $1,059,732,508) 1,059,732,508
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (13.9%) (129,250,452)
--------------
NET ASSETS -- 100.0% $ 930,482,056
==============
</Table>
See Notes to Financial Statements.
22
LOW-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
MERRILL LYNCH 1-3
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* YEAR TREASURY INDEX**
----------------- -------------------- ------------- ---------------------
One Year 5.80% 5.94% 5.65% 4.65%
Since Inception (8/27/01 -- 6/30/03) 5.33% 5.20% 5.01% 5.31%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
MERRILL LYNCH 1-3 YEAR TREASURY
LOW-DURATION RETIREMENT CLASS INDEX**
----------------------------- -------------------------------
08/27/01 10000 10000
08/31/01 10023 10025
09/30/01 10150 10190
10/31/01 10256 10286
11/30/01 10217 10264
12/31/01 10196 10268
01/31/02 10242 10289
02/28/02 10288 10339
03/31/02 10208 10269
04/30/02 10334 10383
05/31/02 10381 10425
06/30/02 10402 10513
07/31/02 10459 10641
08/31/02 10550 10678
09/30/02 10633 10766
10/31/02 10661 10790
11/30/02 10663 10758
12/31/02 10778 10859
01/31/03 10800 10857
02/28/03 10866 10902
03/31/03 10890 10922
04/30/03 10919 10943
05/31/03 10991 10984
06/30/03 11006 11001
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Merrill Lynch 1-3 Year Treasury
Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury
Notes and Bonds with maturities greater than or equal to one year and less than
three years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
23
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 PAR VALUE
------------- ----------- ------------
AGENCY OBLIGATIONS -- 14.0%
Federal Home Loan Bank
1.17%, 08/01/03 $ 1,600,000 $ 1,598,520
1.14%, 08/15/03 300,000 299,663
1.17%, 08/29/03 16,700,000 16,676,431
Federal Home Loan Mortgage
Corporation
1.20%, 07/17/03 13,700,000 13,693,463
1.18%, 07/30/03 3,700,000 3,696,774
1.20%, 08/01/03 2,100,000 2,098,058
1.19%, 09/05/03 2,300,000 2,296,079
1.12%, 09/30/03 4,400,000 4,389,656
4.25%, 06/15/05 2,350,000 2,479,530
7.00%, 07/15/05 4,000,000 4,447,428
4.25%, 03/22/06 STEP++ 3,850,000 3,938,947
Federal National Mortgage
Association
1.23%, 07/02/03 700,000 699,979
1.17%, 07/23/03 10,100,000 10,093,490
1.16%, 07/30/03 7,000,000 6,993,896
0.90%, 09/03/03 6,300,000 6,289,586
0.98%, 09/24/03 16,600,000 16,563,545
0.98%, 10/31/03 9,000,000 8,971,632
4.45%, 05/03/05 3,325,000 3,429,126
Small Business Administration
6.95%, 11/10/16 2,619,835 2,929,340
------------
TOTAL AGENCY OBLIGATIONS
(Cost $110,899,997) 111,585,143
------------
ASSET-BACKED SECURITIES -- 10.7%
Aames Mortgage Trust
1.63%, 07/15/03 STEP++ 278,959 279,234
Bank One Issuance Trust
4.16%, 01/15/08 2,050,000 2,150,080
Bayview Financial Acquisition
Trust
1.71%, 07/25/03 144A++ 733,483 733,598
7.01%, 05/25/29 144A 834,645 864,667
Business Loan Express
3.25%, 07/15/03 144A++ 1,084,248 1,041,556
Capital Auto Receivables
Asset Trust
3.58%, 10/16/06 2,400,000 2,487,750
Capital One Auto Finance
Trust
5.40%, 05/15/08 2,000,000 2,115,812
Capital One Master Trust
3.85%, 10/12/04 2,300,000 2,370,689
4.55%, 04/24/05 750,000 777,944
Chase Funding Mortgage Loan
Asset-Backed Certificates
5.04%, 05/30/05 1,200,000 1,259,207
Citibank Credit Card Issuance
Trust
4.10%, 12/07/06 4,350,000 4,515,843
2.50%, 04/07/08 3,950,000 4,005,229
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
Citibank Credit Card Master
Trust I
1.14%, 08/15/06 PO (2) $ 2,600,000 $ 2,566,865
Conseco Finance
Securitizations Corporation
1.55%, 07/15/03++ 348,909 348,374
8.07%, 12/01/30 2,225,683 2,275,008
7.30%, 05/01/31 972,139 981,180
Daimler Chrysler Master Owner
Trust
1.24%, 07/15/03++ 3,000,000 3,001,769
Equity One ABS, Inc.
7.55%, 02/25/32 443,948 448,336
FMAC Loan Receivables Trust
5.99%, 11/15/04 144A 581,345 558,091
Ford Credit Auto Owner Trust
4.83%, 02/15/05 1,981,840 1,999,783
Green Tree Financial
Corporation
6.06%, 04/01/18 1,645,968 1,660,181
6.04%, 11/01/29 54,118 54,885
Honda Auto Receivables Owner
Trust
2.48%, 07/18/08 4,000,000 4,062,003
Mellon Auto Grantor Trust
7.18%, 10/15/06 684,325 694,452
MMCA Automobile Trust
7.55%, 04/15/06 1,258,214 1,266,713
Nissan Auto Receivables Owner
Trust
4.31%, 05/16/05 2,053,224 2,074,077
3.58%, 09/15/05 3,500,000 3,543,750
3.99%, 12/15/05 4,000,000 4,082,031
5.35%, 10/15/06 3,275,000 3,388,381
4.80%, 02/15/07 4,225,000 4,391,360
PBG Equipment Trust
6.27%, 01/20/12 1,315,759 1,383,737
Sears Credit Account Master
Trust
1.36%, 07/15/03++ 2,500,000 2,489,595
7.00%, 07/15/08 1,497,708 1,542,002
5.25%, 10/16/08 1,816,667 1,865,515
Sequoia Mortgage Trust
2.24%, 10/25/24++ 1,513,766 1,506,197
SLM Student Loan Trust
1.15%, 09/15/03++ 2,400,000 2,400,238
1.29%, 09/15/03++ 2,325,849 2,325,849
1.40%, 01/25/07++ 655,337 655,635
1.37%, 01/25/09++ 2,117,429 2,117,545
1.37%, 01/25/11++ 2,054,658 2,054,807
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 4,400,471 4,552,947
The Money Store Business Loan
Backed Certificates
2.15%, 04/15/28+ 774,922 763,802
</Table>
See Notes to Financial Statements.
24
<Table>
<Caption>
PAR VALUE
----------- ------------
TMS SBA Loan Trust
2.11%, 04/15/24++ $ 682,833 $ 707,763
2.00%, 01/15/25++ 823,013 800,800
2.48%, 01/25/25++ 493,808 490,949
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $84,315,414) 85,656,229
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 23.7%
Asset Securitization
Corporation
7.32%, 01/13/30 1,124,491 1,192,284
Bank One Mortgage-Backed
Pass-Through Certificates
4.84%, 03/15/30++ 607,152 615,147
Bear Stearns Adjustable Rate
Mortgage Trust
6.60%, 07/01/03++ 628,180 629,917
6.87%, 07/01/03++ 362,816 372,659
Countrywide Funding
Corporation
6.50%, 11/25/08 2,008,782 2,005,909
Countrywide Home Loans, Inc.
6.05%, 04/25/29 3,281,447 3,314,601
4.09%, 06/19/31++ 597,019 603,642
Credit-Based Asset Servicing
and Securitization LLC
1.64%, 07/25/03++ 1,392,984 1,389,912
CS First Boston Mortgage
Securities Corporation
1.72%, 02/25/32++ 922,701 925,865
DLJ Mortgage Acceptance
Corporation
6.82%, 10/15/30 144A 1,816,345 2,020,394
Federal Home Loan Mortgage
Corporation
3.18%, 07/01/03 STRIP++ 881,709 882,811
4.37%, 07/01/03++ 197,258 201,843
1.53%, 07/15/03++ 3,043,629 3,041,727
1.60%, 01/28/04++ 81,013 81,010
9.50%, 10/01/04 19,936 20,708
9.50%, 12/01/04 24,929 25,895
9.50%, 01/01/05 21,460 22,292
9.50%, 06/01/05 25,655 27,258
5.74%, 07/28/05++ 4,049,630 4,178,712
10.00%, 12/01/05 4,027 4,149
8.00%, 03/01/06 5,784 6,088
7.00%, 05/01/06 6,548 6,756
8.75%, 08/01/06 10,193 10,518
6.50%, 08/15/07 970,216 998,960
8.50%, 12/01/07 26,096 27,645
8.50%, 01/01/08 22,559 24,089
8.00%, 05/01/08 35,989 37,529
8.50%, 06/01/08 23,984 25,071
8.25%, 07/01/08 37,298 39,489
8.75%, 07/01/08 20,547 22,165
8.00%, 01/01/09 11,507 12,338
7.50%, 03/01/09 128,890 132,959
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
5.50%, 04/01/09 $ 2,133,524 $ 2,232,867
6.00%, 06/01/09 898,140 939,398
6.00%, 07/01/10 1,847,449 1,932,316
6.50%, 06/01/11 2,037,299 2,145,531
16.25%, 07/01/11 2,581 3,179
15.25%, 08/01/11 4,197 5,098
5.00%, 05/01/18 7,970,435 8,239,438
10.75%, 02/01/19 176,827 199,981
5.09%, 09/01/23++ 1,480,593 1,525,625
7.32%, 03/01/31++ 294,546 303,306
6.00%, 08/13/33 6,000,000 6,217,500
Federal Housing Authority
7.43%, 09/01/22 263,494 288,368
Federal National Mortgage
Association
4.12%, 07/01/03 CONV++ 425,408 439,458
5.01%, 07/01/03++ 248,321 255,667
5.23%, 07/01/03++ 2,878,056 2,960,763
6.39%, 07/01/03++ 2,815,985 2,925,825
7.00%, 06/01/04 1,682 1,696
6.00%, 08/01/08 821,863 862,956
6.50%, 11/01/08 1,129,909 1,199,822
5.50%, 06/01/09 1,480,266 1,551,503
5.50%, 07/01/09 1,082,919 1,135,034
6.00%, 11/01/10 2,236,575 2,344,910
6.00%, 12/01/10 1,097,946 1,152,844
6.00%, 03/01/11 576,593 603,981
6.00%, 08/01/11 1,114,080 1,166,999
5.50%, 04/01/13 1,229,563 1,281,819
6.00%, 05/01/13 976,353 1,022,730
6.00%, 09/01/13 585,487 610,371
6.00%, 10/01/13 490,153 510,985
6.00%, 11/01/13 3,224,358 3,361,393
6.00%, 02/01/14 807,444 843,780
6.00%, 03/01/14 1,293,536 1,351,748
6.00%, 04/01/14 291,827 304,959
6.00%, 12/01/14 7,013,992 7,328,496
5.00%, 07/01/18 7,720,000 7,973,312
5.00%, 07/17/18 28,000,000 28,918,749
4.31%, 08/01/22++ 1,034,026 1,058,953
4.42%, 02/01/24++ 2,010,449 2,067,866
9.00%, 05/01/25 595,383 662,177
9.00%, 07/01/25 662,687 737,654
5.25%, 12/01/30++ 182,983 188,592
6.64%, 02/01/31++ 727,852 739,460
5.50%, 07/14/33 2,500,000 2,583,594
Federal National Mortgage
Association Grantor Trust
3.31%, 03/25/32 1,412,979 1,405,914
FFCA Secured Lending
Corporation
7.27%, 02/18/11 144A 2,844,176 2,946,223
First Republic Mortgage Loan
Trust
4.35%, 06/25/30++ 1,673,038 1,699,475
</Table>
See Notes to Financial Statements.
25
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- ------------
Government National Mortgage
Association
5.63%, 07/01/03++ $ 413,899 $ 425,995
1.38%, 07/16/03++ 2,287,073 2,285,662
1.78%, 07/16/03++ 1,549,667 1,559,199
7.25%, 11/15/03 569 574
8.25%, 08/15/04 4,280 4,410
8.25%, 03/15/06 7,692 8,168
8.25%, 05/15/06 18,798 19,960
7.00%, 10/15/07 6,186 6,573
7.00%, 11/15/07 118,913 126,345
7.00%, 12/15/07 78,839 83,767
7.00%, 01/15/08 3,788 4,072
7.00%, 05/15/08 66,237 71,205
7.00%, 06/15/08 13,016 13,993
7.00%, 07/15/08 251,439 270,297
7.00%, 08/15/08 172,021 184,922
7.00%, 09/15/08 313,722 337,252
7.00%, 09/18/08 176,207 189,422
7.00%, 11/15/08 322,674 346,874
6.00%, 12/15/08 812,153 856,822
7.00%, 04/15/09 80,655 86,653
6.00%, 02/15/11 1,260,538 1,329,081
13.50%, 02/15/11 4,475 5,318
7.00%, 05/12/12 207,332 222,558
7.00%, 05/15/12 445,197 477,891
5.38%, 06/20/17++ 64,807 67,029
5.38%, 06/20/21++ 45,854 47,509
7.00%, 08/15/28 92,894 98,264
7.00%, 11/15/28 295,408 312,487
7.00%, 07/15/29 91,921 97,149
8.50%, 10/15/29 236,094 254,465
8.50%, 01/15/30 120,269 129,589
8.50%, 03/15/30 74,828 80,627
8.50%, 04/15/30 318,832 343,541
8.50%, 05/15/30 956,248 1,030,357
8.50%, 06/15/30 476,915 513,875
8.50%, 07/15/30 1,293,759 1,394,023
8.50%, 08/15/30 325,175 350,375
8.50%, 09/15/30 39,344 42,393
8.50%, 10/15/30 207,809 223,914
8.50%, 11/15/30 569,032 613,132
8.50%, 12/15/30 653,332 703,965
7.00%, 01/15/31 96,436 101,860
8.50%, 01/15/31 203,360 219,057
7.00%, 02/15/31 94,680 100,006
8.50%, 02/15/31 457,611 492,933
7.00%, 04/15/31 277,884 293,515
7.00%, 06/15/31 386,909 408,673
7.00%, 07/15/31 443,186 468,116
7.00%, 08/15/31 2,536,975 2,679,679
7.00%, 09/15/31 993,460 1,049,341
7.00%, 10/15/31 121,153 127,968
7.00%, 12/15/31 333,830 352,608
7.00%, 02/15/32 146,994 155,262
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
7.00%, 04/15/32 $ 61,263 $ 64,709
7.00%, 05/15/32 486,215 513,565
7.00%, 07/15/32 2,060,694 2,176,608
7.00%, 09/15/32 315,389 333,130
7.00%, 10/15/32 1,308,550 1,382,156
6.75%, 10/16/40 3,394,866 3,849,451
GS Mortgage Securities
Corporation II
1.08%, 07/01/03 IO 144A++ 45,435,000 2,067,647
6.04%, 08/15/18 144A 606,523 669,798
IFC SBA Loan-Backed ADJ Rate
Certificate
2.25%, 01/15/24 144A++ 1,054,361 1,033,274
Mellon Residential Funding
Corporation
6.75%, 01/25/13 140,038 142,387
MLCC Mortgage Investors, Inc.
1.56%, 07/15/03 STEP++ 1,825,188 1,827,798
Morgan Stanley Capital I
6.22%, 02/07/04 1,463,844 1,555,279
PNC Mortgage Securities
Corporation
1.77%, 07/25/03++ 284,032 284,254
7.50%, 02/25/31 219,270 220,899
Residential Accredit Loans,
Inc.
6.00%, 12/25/16 1,679,939 1,707,238
7.75%, 10/25/30 202,136 203,727
Residential Asset
Securitization Trust
8.00%, 02/25/30 309,520 315,336
Residential Funding Mortgage
Securities I
6.33%, 07/01/03++ 260,677 261,119
6.50%, 03/25/32 1,312,372 1,352,598
Salomon Brothers Mortgage
Securities IV
7.15%, 03/25/25 144A 4,806,579 5,156,945
Security National Mortgage
Loan Trust
5.79%, 07/25/03 144A 792,782 793,852
Sequoia Mortgage Trust
1.50%, 10/20/27++ 1,877,804 1,862,835
1.55%, 10/20/33++ 1,416,608 1,409,885
Structured Asset Mortgage
Investments, Inc.
6.13%, 11/25/13 573,867 587,728
Structured Asset Securities
Corporation
7.50%, 06/28/31 1,057,638 1,083,342
United Mortgage Securities
Corporation
4.59%, 07/01/03++ 1,083,568 1,098,591
Wachovia Asset
Securitization, Inc.
6.25%, 10/25/33 944,666 967,324
</Table>
See Notes to Financial Statements.
26
<Table>
<Caption>
PAR VALUE
----------- ------------
Washington Mutual
4.05%, 07/01/03++ $ 1,286,389 $ 1,301,339
1.33%, 06/25/24++ 245,169 245,183
Washington Mutual Mortgage
Securities Corporation
4.34%, 07/25/31++ 702,015 709,035
Washington Mutual MSC
Mortgage Pass-Through
Certificates
4.76%, 03/25/32++ 1,217,785 1,233,007
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $186,002,943) 189,211,421
------------
COMMERCIAL PAPER -- 6.9%
ABN AMRO NA Finance, Inc.
0.92%, 08/25/03 4,500,000 4,493,819
CBA (Delaware) Finance, Inc.
1.05%, 07/31/03 1,800,000 1,798,425
Danske Corporation
1.20%, 08/13/03 2,800,000 2,796,670
1.20%, 08/28/03 6,000,000 5,990,463
General Electric Capital
Corporation
1.03%, 07/23/03 200,000 199,874
1.05%, 08/11/03 4,100,000 4,095,097
HBOS Treasury Services PLC
1.24%, 07/14/03 3,000,000 2,998,678
1.21%, 09/03/03 400,000 399,275
0.99%, 09/18/03 1,600,000 1,596,419
Lloyds TSB Bank PLC
1.22%, 07/10/03 6,000,000 5,998,170
1.24%, 07/29/03 1,100,000 1,098,973
Royal Bank of Scotland PLC
1.22%, 07/08/03 13,500,000 13,496,745
Shell Finance (UK) PLC
1.22%, 07/18/03 4,000,000 3,997,705
UBS Finance LLC
1.21%, 07/07/03 500,000 499,899
0.92%, 09/24/03 1,000,000 997,592
Westpac Trust Securities,
Ltd.
1.18%, 08/05/03 1,500,000 1,498,323
1.19%, 08/07/03 3,000,000 2,996,540
------------
TOTAL COMMERCIAL PAPER
(Cost $54,949,778) 54,952,667
------------
CORPORATE BONDS -- 13.9%
AIF, Inc.
3.50%, 06/15/26 1,621,277 1,621,277
Alcoa, Inc.
1.54%, 12/06/04++ 930,000 932,608
Allstate Corporation
7.88%, 05/01/05 830,000 922,474
American Express Credit
Corporation
1.30%, 07/16/03++ 1,200,000 1,200,378
American International Group
2.85%, 12/01/05 1,300,000 1,328,544
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
AOL Time Warner, Inc.
6.88%, 05/01/12 $ 5,000,000 $ 5,719,655
AT&T Corporation
4.38%, 08/21/03++(E) 3,000,000 3,463,632
Bank One Corporation
7.63%, 08/01/05 1,200,000 1,345,266
Bear Stearns Cos., Inc. (The)
1.60%, 09/29/03++ 690,000 697,623
Capital One Bank
6.62%, 08/04/03 5,770,000 5,781,638
Centerior Energy Corporation
7.67%, 07/01/04 1,500,000 1,583,469
Citigroup, Inc.
6.75%, 12/01/05 1,600,000 1,784,923
Coca-Cola Co. (The)
4.00%, 06/01/05 1,240,000 1,298,280
Dominion Resources, Inc.
7.63%, 07/15/05 650,000 723,374
Ford Motor Credit Co.
1.77%, 07/18/03++ 1,500,000 1,450,655
6.88%, 02/01/06 3,190,000 3,385,314
FPL Group Capital, Inc.
3.25%, 04/11/06 1,280,000 1,314,532
Fred Meyer Holding Co., Inc.
7.38%, 03/01/05 2,000,000 2,160,804
General Dynamics Corporation
2.13%, 05/15/06 1,205,000 1,222,056
General Electric Capital
Corporation
2.85%, 01/30/06 1,500,000 1,535,438
9.83%, 12/15/08 350,000 461,118
General Motors Acceptance
Corporation
2.05%, 07/21/03++ 3,100,000 3,096,965
6.75%, 01/15/06 1,455,000 1,545,590
4.50%, 07/15/06 670,000 669,477
Golden West Financial
Corporation
5.50%, 08/08/06 3,000,000 3,310,134
Household Finance Corporation
1.46%, 08/01/03++ 1,470,000 1,470,419
IBM Corporation
1.33%, 09/10/04++ 1,200,000 1,201,762
International Paper Co.
8.13%, 07/08/05 680,000 758,483
Masco Corporation
6.75%, 03/15/06 700,000 779,069
Mellon Bank
6.50%, 08/01/05 1,000,000 1,094,792
Merrill Lynch and Co., Inc.
2.94%, 01/30/06 1,400,000 1,427,136
MetLife, Inc.
3.91%, 05/15/05 1,300,000 1,354,643
</Table>
See Notes to Financial Statements.
27
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- ------------
Morgan Stanley TRACER
5.88%, 09/01/03 144A++ $11,600,000 $ 12,771,310
National Rural Utilities
3.00%, 02/15/06 1,120,000 1,151,591
New York Telephone Co.
6.50%, 03/01/05++++ 2,300,000 2,473,054
Niagara Mohawk Power
Corporation
7.75%, 05/15/06 5,000,000 5,728,335
Pemex Project Funding Master
Trust
8.50%, 02/15/08 350,000 409,500
Phillips Petroleum Co.
8.50%, 05/25/05 1,045,000 1,177,662
Premium Asset Trust
1.67%, 08/27/03 144A++ 4,000,000 4,013,820
Procter & Gamble Co.
6.60%, 12/15/04 1,200,000 1,288,403
Qwest Capital Funding, Inc.
5.88%, 08/03/04 3,000,000 2,887,500
SLM Corporation
1.39%, 07/25/03++ 675,000 673,945
1.45%, 07/25/03++ 1,200,000 1,202,042
Southtrust Bank NA
1.36%, 08/25/03++ 1,200,000 1,201,643
Sprint Capital Corporation
7.13%, 01/30/06 3,000,000 3,285,615
Time Warner, Inc.
7.75%, 06/15/05 3,200,000 3,515,424
Toyota Motor Credit
Corporation
2.80%, 01/18/06 1,060,000 1,087,627
Unilever Capital Corporation
6.88%, 11/01/05 1,200,000 1,340,345
Virginia Electric & Power Co.
5.75%, 03/31/06 3,000,000 3,278,265
Wachovia Corporation
7.55%, 08/18/05 950,000 1,066,116
Washington Mutual Bank FA
1.67%, 07/25/06++ 1,500,000 1,507,704
Wells Fargo Co.
7.25%, 08/24/05 1,270,000 1,419,531
Weyerhaeuser Co.
2.24%, 09/15/03++ 700,000 700,088
5.50%, 03/15/05 865,000 915,476
Worldcom, Inc.-WorldCom Group
7.38%, 01/15/11 144A# 3,900,000 1,160,250
------------
TOTAL CORPORATE BONDS
(Cost $107,828,289) 110,896,774
------------
FOREIGN BONDS -- 7.0%
BERMUDA -- 0.1%
Tyco International Group SA
6.38%, 06/15/05 860,000 900,850
------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
CANADA -- 1.5%
Canadian Government
4.50%, 09/01/07(C) 11,815,000 $ 9,012,878
Province of Ontario
2.63%, 12/15/05 $ 1,230,000 1,256,409
Quebec Province
6.50%, 01/17/06 1,190,000 1,326,424
------------
11,595,711
------------
CHILE -- 0.4%
Republic of Chile
5.63%, 07/23/07 750,000 815,025
7.13%, 01/11/12 2,300,000 2,682,030
------------
3,497,055
------------
CROATIA -- 0.1%
Croatia Government
2.19%, 07/31/03++ 1,022,727 1,018,892
------------
FRANCE -- 0.5%
France Telecom
8.70%, 03/01/06 2,200,000 2,511,304
Total Fina Elf SA
7.00%, 10/05/05 1,470,000 1,635,737
------------
4,147,041
------------
GERMANY -- 1.1%
Bundesobligation
4.50%, 08/17/07(E) 7,210,000 8,812,756
------------
MALAYSIA -- 0.1%
Government of Malaysia
8.75%, 06/01/09 300,000 384,210
Petroliam Nasional BHD
7.13%, 10/18/06 350,000 399,559
------------
783,769
------------
MEXICO -- 0.9%
Grupo Televisa SA
8.63%, 08/08/05 350,000 395,063
United Mexican States
6.38%, 01/16/13 2,280,000 2,422,500
11.38%, 09/15/16 700,000 1,020,250
8.00%, 09/24/22 2,700,000 3,024,000
------------
6,861,813
------------
NETHERLANDS -- 0.4%
Deutsche Telekom
International Finance BV
8.25%, 06/15/05 3,000,000 3,347,220
------------
SOUTH AFRICA -- 0.1%
Republic of South Africa
9.13%, 05/19/09 600,000 745,500
7.38%, 04/25/12 300,000 345,000
------------
1,090,500
------------
SUPRANATIONAL -- 0.4%
European Investment Bank
5.63%, 01/24/06 1,850,000 2,036,886
</Table>
See Notes to Financial Statements.
28
<Table>
<Caption>
PAR VALUE
----------- ------------
International Bank for
Reconstruction and
Development
6.02%, 06/21/04 $ 1,200,000 $ 1,254,469
------------
3,291,355
------------
TUNISIA -- 0.4%
Banque Cent de Tunisie
7.38%, 04/25/12 2,400,000 2,802,000
------------
UNITED KINGDOM -- 1.0%
BP Capital Markets PLC
4.00%, 04/29/05 860,000 899,160
British Telecom PLC
7.88%, 12/15/05 230,000 262,111
HBOS Treasury Services PLC
1.17%, 03/14/05 144A++ 1,200,000 1,200,472
Holmes Financing PLC
1.44%, 01/15/08++ 2,600,000 2,600,000
Permanent Financing PLC
1.36%, 09/10/07++ 2,800,000 2,800,000
------------
7,761,743
------------
TOTAL FOREIGN BONDS
(Cost $52,628,758) 55,910,705
------------
MUNICIPAL BONDS -- 0.2%
California State Department
of Water Resources, Series
E Revenue Bond (Non-
Callable)
3.59%, 05/01/04 975,000 987,363
Missouri Higher Education
Loan Authority, Revenue
Bond (GTD STD LNS Insured)
(Callable 04/01/05 @ $100)
1.45%, 07/25/08++ 1,001,600 1,002,226
------------
TOTAL MUNICIPAL BONDS
(Cost $1,962,618) 1,989,589
------------
<Caption>
SHARES
-----------
SHORT-TERM INVESTMENTS -- 2.4%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 17,961,139 17,961,139
Northern Institutional Liquid
Assets Portfolio sec. 314,325 314,325
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $18,275,464) 18,275,464
------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
RIGHTS -- 0.0%
United Mexican States
Recovery Rights Series B 2,700,000 $ 28,350
United Mexican States
Recovery Rights Series C 2,700,000 8,100
United Mexican States
Recovery Rights Series D 2,700,000 2,295
United Mexican States
Recovery Rights Series E 2,700,000 1,620
------------
TOTAL RIGHTS
(Cost $0) 40,365
------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 26.0%
U.S. Treasury Bills
1.11%, 08/07/03++++ $ 235,000 234,764
0.84%, 12/18/03 7,500,000 7,467,173
------------
7,701,937
------------
U.S. Treasury Bonds
2.00%, 11/30/04 24,895,000 25,198,421
6.75%, 05/15/05 19,825,000 21,839,260
10.38%, 11/15/12 2,125,000 2,831,314
------------
49,868,995
------------
U.S. Treasury Inflationary
Index Bond
3.63%, 01/15/08 12,000,000 15,321,637
------------
U.S. Treasury Notes
2.13%, 08/31/04 5,270,000 5,336,086
1.88%, 09/30/04 8,350,000 8,434,811
2.13%, 10/31/04 1,565,000 1,586,336
5.88%, 11/15/04 13,620,000 14,499,457
1.63%, 01/31/05 9,300,000 9,366,848
1.50%, 02/28/05++++ 12,770,000 12,835,357
1.63%, 03/31/05 2,355,000 2,371,928
1.63%, 04/30/05 5,870,000 5,910,362
5.75%, 11/15/05 9,234,000 10,165,701
5.88%, 11/15/05 8,700,000 9,602,973
5.63%, 02/15/06 5,920,000 6,547,384
2.00%, 05/15/06 9,560,000 9,664,567
3.50%, 11/15/06 3,250,000 3,426,849
4.38%, 05/15/07 10,875,000 11,818,069
3.00%, 11/15/07 3,560,000 3,673,197
3.00%, 02/15/08 920,000 946,989
2.63%, 05/15/08 7,005,000 7,071,225
8.75%, 11/15/08 5,049,000 5,193,568
9.13%, 05/15/09 1,250,000 1,336,426
10.38%, 11/15/09 2,700,000 3,034,233
10.00%, 05/15/10 1,700,000 1,968,947
------------
134,791,313
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $204,691,920) 207,683,882
------------
TOTAL INVESTMENTS -- 104.8%
(Cost $821,555,181) 836,202,239
------------
</Table>
See Notes to Financial Statements.
29
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- ------------
WRITTEN OPTIONS -- (0.1)%
CALL SWAPTIONS
3-Month LIBOR, Strike
Price 4.00,
Expires 12/17/03
(Cost $(400,920)) (3,120) $ (714,917)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (4.7%) (37,238,978)
------------
NET ASSETS -- 100.0% $798,248,344
============
</Table>
Interest rate swap agreements outstanding at June 30, 2003:
<Table>
<Caption>
EXPIRATION NOTIONAL UNREALIZED
DESCRIPTION DATE VALUE APPRECIATION
----------- ---------- ----------- ------------
BRITISH POUNDS
Receive fixed rate
payments of 4.25% and
pay variable rate
payments on the six
month LIBOR floating
rate(d) 03/17/05 $23,500,000 $238,180
EURODOLLARS
Receive fixed rate
payments of 4.00% and
pay variable rate
payments on the six
month LIBOR floating
rate(b) 03/15/07 15,600,000 229,373
--------
$467,553
========
</Table>
See Notes to Financial Statements.
30
MEDIUM-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
LEHMAN BROTHERS
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* AGGREGATE BOND INDEX**
----------------- -------------------- ------------- ----------------------
One Year 11.69% 11.77% 11.39% 10.40%
Since Inception (8/27/01 -- 6/30/03) 8.76% 8.50% 8.43% 8.70%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
LEHMAN BROTHERS AGGREGATE BOND
MED.-DURATION RETIREMENT CLASS INDEX**
------------------------------ ------------------------------
08/27/01 10000 10000
08/31/01 10051 10056
09/30/01 10123 10173
10/31/01 10364 10386
11/30/01 10223 10243
12/31/01 10149 10177
01/31/02 10253 10259
02/28/02 10387 10359
03/31/02 10223 10187
04/30/02 10422 10384
05/31/02 10479 10472
06/30/02 10453 10563
07/31/02 10466 10690
08/31/02 10685 10871
09/30/02 10774 11047
10/31/02 10752 10996
11/30/02 10833 10994
12/31/02 11079 11221
01/31/03 11165 11231
02/28/03 11316 11386
03/31/03 11313 11377
04/30/03 11462 11471
05/31/03 11672 11685
06/30/03 11675 11662
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Lehman Brothers Aggregate Bond
Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Lehman Brothers Aggregate Bond Index is composed of investment grade
securities from the Lehman Brothers Government/Credit Bond Index,
Mortgage-Backed Securities Index, and Asset Backed Securities Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
31
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 PAR VALUE
- ------------- ----------- --------------
AGENCY OBLIGATIONS -- 3.6%
Federal Home Loan Mortgage
Corporation
1.17%, 09/09/03 $10,140,000 $ 10,121,667
4.50%, 07/23/07 3,000,000 3,097,464
Federal National Mortgage
Association
1.14%, 09/30/03 7,500,000 7,482,368
1.22%, 10/22/03++++ 1,900,000 1,894,454
3.32%, 09/27/06 2,500,000 2,560,730
Financing Corporation
Principle STRIPS
4.94%, 11/30/17 (2) 1,130,000 559,303
5.11%, 04/05/19 (2) 620,000 279,949
Resolution Funding
Corporation STRIPS
4.69%, 01/15/17 (2) 5,176,000 2,763,342
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $26,935,737) 28,759,277
--------------
ASSET-BACKED SECURITIES -- 5.2%
AmeriCredit Automobile
Receivables Trust
7.15%, 08/12/04 12,912 12,920
5.96%, 03/12/06 812,358 812,908
Amortizing Residential
Collateral Trust
1.32%, 07/25/03++ 734,019 733,446
AQ Finance NIM Trust
1.69%, 12/25/07 144A++ 2,109,634 2,104,360
9.50%, 06/25/32 144A 148,865 148,865
8.74%, 03/25/35 144A 250,000 249,982
Associates Automobile
Receivables Trust
6.82%, 02/15/05 60,487 60,738
Bayview Financial
Acquisition Trust
1.42%, 07/25/03 144A++ 2,619,986 2,624,538
Bear Stearns Asset Backed
Securities, Inc.
5.29%, 06/15/16 182,953 183,138
Capital One Multi-Asset
Execution Trust
4.32%, 04/15/09 310,000 307,816
3.73%, 03/15/11++ 200,000 211,094
Chase Funding Net Interest
Margin
6.88%, 06/27/36 144A 300,000 299,681
Citibank Credit Card
Issuance Trust
2.28%, 08/07/03++ 670,000 668,642
Conseco Finance
Securitizations
Corporation
6.77%, 09/01/32 2,200,000 2,275,330
2.50%, 02/01/33 IO@ 15,318,000 1,035,803
5.16%, 05/01/33 400,000 406,878
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Countrywide Asset-Backed
Certificates
6.89%, 08/25/27 $ 517,146 $ 550,850
Countrywide Home Equity
Loan Trust
1.44%, 07/15/03++ 637,447 636,545
CS First Boston Mortgage
Securities Corporation
1.44%, 07/15/03++ 186,023 186,114
Daimler Chrysler Master
Owner Trust
1.24%, 07/15/03++ 910,000 910,537
Embarcadero Aircraft
Securitization Trust
1.79%, 08/15/25 144A++ 2,600,000 1,035,887
EQCC Trust
1.34%, 07/25/03++ 1,199,166 1,200,229
Fleet Home Equity Loan
Trust
1.31%, 05/30/31++ 1,736,723 1,733,397
Green Tree Home Improvement
Loan Trust
1.35%, 07/15/03 STEP++ 401,200 401,186
HFC Home Equity Loan Asset
Backed Certificates
1.65%, 07/20/03++ 3,075,304 3,089,165
Long Beach Asset Holdings
Corporation
7.26%, 06/15/35 144A 250,000 249,992
Madison Avenue Manufactured
Housing Contract
1.39%, 07/25/03++ 2,683,594 2,679,663
Merrill Lynch Mortgage
Investors, Inc.
1.36%, 08/25/09++ 477,329 477,301
Metropolitan Asset Funding,
Inc.
1.50%, 07/25/03 STEP
144A++ 414,158 414,001
New Century Home Equity
Loan Trust
7.22%, 11/25/27 706,104 732,163
Nextcard Credit Card Master
Note Trust
1.38%, 07/15/03 144A++ 103,226 86,086
3.59%, 12/15/06 144A++ 910,000 44,078
Novastar NIM Trust
7.50%, 07/01/07 144A 120,543 120,543
Option One Mortgage
Securities Corporation
NIM Trust
1.33%, 04/26/09 144A++ 1,039,206 1,039,238
8.83%, 06/26/32 144A++ 270,831 270,831
Provident Bank Home Equity
Loan Trust
1.31%, 08/25/31++ 1,036,461 1,035,135
</Table>
See Notes to Financial Statements.
32
<Table>
<Caption>
PAR VALUE
----------- --------------
Residential Asset
Securities Corporation
1.28%, 04/25/28++ $ 171,885 $ 171,949
Residential Funding
Mortgage Securities II
8.09%, 03/25/20 1,354,945 1,397,709
7.18%, 12/25/22 455,596 458,909
Salomon Brothers Mortgage
Securities VII
1.28%, 07/25/03 STEP++ 193,149 193,036
1.32%, 07/25/03++ 1,172,253 1,172,882
Saxon Asset Securities
Trust
7.55%, 10/25/26 418,995 429,216
1.36%, 06/25/33++ 370,376 370,635
Spiegel Credit Card Master
Note Trust
1.46%, 03/10/05++ 5,115,571 4,847,403
Structured Asset Securities
Corporation
1.49%, 02/25/33++ 2,679,239 2,686,755
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 766,537 793,098
Xerox Equipment Lease Owner
Trust
3.18%, 02/15/08 144A++ 49,505 49,544
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $44,676,686) 41,600,216
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 50.7%
ARC Net Asset Margin Trust
7.75%, 01/27/32 144A 172,972 171,243
7.75%, 07/27/32 144A 232,207 229,886
Bear Stearns Adjustable
Rate Mortgage Trust
6.33%, 07/01/03++ 498,270 499,500
5.68%, 02/25/33++ 2,289,480 2,329,783
Bear Stearns Mortgage
Securities, Inc.
6.00%, 01/28/09 109,717 109,717
6.50%, 10/28/09 209,062 208,909
Chase Mortgage Finance
Corporation
6.75%, 11/25/24 1,000,000 1,003,791
Commercial Mortgage Pass-
Through Certificates
1.42%, 07/15/03 144A++ 1,079,591 1,078,847
Commerical Mortgage Asset
Trust
7.55%, 01/17/10++ 440,000 533,341
Countrywide Funding
Corporation
6.63%, 02/25/24 280,000 282,363
Credit-Based Asset
Servicing and
Securitization
1.33%, 08/25/33++ 1,468,071 1,467,393
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
CS First Boston Mortgage
Securities Corporation
1.63%, 07/15/03 144A++ $ 912,531 $ 911,350
1.39%, 07/25/03++ 47,320 47,314
Deutsche Mortgage and Asset
Receiving Corporation
6.54%, 06/15/31 2,900,000 3,275,715
Federal Home Loan Mortgage
Corporation
8.00%, 10/01/07 2,662 2,735
7.00%, 11/01/14 516,673 548,804
7.00%, 04/01/15 519,009 551,285
8.00%, 06/01/15 31,623 32,493
7.00%, 12/01/15 355,231 377,433
8.50%, 06/01/16 54,765 59,745
8.50%, 06/01/18 48,083 52,456
6.50%, 02/17/21 1,477,026 1,492,690
0.78%, 04/15/22 PO@ (2) 160,315 157,156
6.79%, 03/15/24 IO++@ 984,775 15,500
8.00%, 08/01/24 36,624 39,645
7.50%, 11/01/29 149,793 159,295
7.50%, 12/01/29 232,602 247,357
6.00%, 07/15/30 2,000,000 2,060,529
7.50%, 02/01/31 329,263 349,945
7.50%, 11/01/31 194,536 206,756
7.00%, 07/01/32 1,000,000 1,048,438
6.50%, 08/01/32 7,000,700 7,285,103
5.00%, 08/13/33 100,000 101,219
Federal Housing
Administration
7.43%, 07/01/03 566,633 577,977
Federal National Mortgage
Association
1.56%, 07/18/03++ 429,857 432,022
6.50%, 04/26/06 500,000 542,984
6.50%, 03/25/11 3,464,178 3,590,146
5.50%, 09/25/13 3,000,000 3,065,190
8.00%, 06/01/15 266,250 285,719
8.00%, 06/15/15 137,027 147,048
8.00%, 07/01/15 419,459 450,132
8.00%, 09/01/15 378,124 405,775
6.00%, 04/01/16 524,169 547,101
6.00%, 05/01/16 1,165,564 1,216,557
6.00%, 07/01/16 1,642,916 1,714,793
5.50%, 07/19/16 1,100,000 1,142,281
6.00%, 07/19/16 1,000,000 1,043,750
6.00%, 10/01/16 1,529,007 1,595,901
6.00%, 01/01/17 425,932 444,567
6.00%, 04/01/17 123,581 128,988
6.00%, 05/01/17 543,461 567,237
5.50%, 07/01/17 8,999,106 9,347,821
6.00%, 09/01/17 1,811,376 1,890,624
5.50%, 10/01/17 1,161,712 1,206,728
5.50%, 11/01/17 8,253,844 8,573,680
5.50%, 03/01/18 5,082,999 5,279,965
4.50%, 07/15/18 41,500,000 42,329,999
</Table>
See Notes to Financial Statements.
33
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
5.00%, 07/15/18 $ 600,000 $ 619,688
4.00%, 07/17/18 15,700,000 15,758,875
4.50%, 07/17/18 3,000,000 3,060,000
5.50%, 07/17/18 10,700,000 11,111,281
6.00%, 07/17/18 13,500,000 14,090,626
4.50%, 08/01/18 10,000,000 10,168,750
4.00%, 08/18/18 11,300,000 11,300,000
8.00%, 09/25/19 812,852 825,919
52.03%, 08/25/21 IO@ (2) 1,288 24,556
60.09%, 10/25/21 IO@ (2) 1,841 30,904
2.56%, 10/25/21++ 500,249 500,629
22.41%, 01/25/22++@ 1,028,593 1,241,704
2.86%, 03/25/22++ 1,774,572 1,805,546
9.50%, 05/01/22 26,978 29,996
7.00%, 09/25/22 3,409,000 3,482,906
6.00%, 11/01/22 1,545,331 1,603,764
7.00%, 12/25/22 3,719,000 3,811,356
6.00%, 01/01/23 774,551 807,711
9.50%, 07/01/24 54,638 60,751
6.50%, 06/01/28 15,855 16,534
8.00%, 10/01/30 589,194 635,409
6.12%, 05/01/31++ 639,270 657,403
6.00%, 01/01/32 315,532 328,054
6.00%, 01/01/32 174,491 181,416
6.00%, 03/01/32 2,513,188 2,612,930
8.00%, 03/01/32 65,851 70,769
6.00%, 04/01/32 2,979,140 3,097,376
5.35%, 08/01/32++ 1,811,705 1,875,064
7.00%, 07/01/33 2,400,000 2,527,500
6.50%, 07/14/33 18,000,000 18,770,625
6.00%, 08/13/33 5,000,000 5,192,188
5.00%, 09/15/33 3,000,000 3,023,438
4.30%, 05/01/36++ 1,510,511 1,546,714
FFCA Secured Lending
Corporation
1.68%, 07/18/20 IO 144A++ 4,467,784 291,255
Financial Asset
Securitization, Inc.
7.25%, 07/25/27 707,475 717,740
First Nationwide Trust
8.50%, 09/25/31 635,670 657,217
First Union Commercial
Mortgage Securities, Inc.
7.38%, 04/18/07 6,500,000 7,467,795
First Union National Bank
Commercial Mortgage Trust
7.20%, 09/15/10 1,500,000 1,808,623
GE Capital Mortgage
Services, Inc.
6.50%, 07/25/29 1,905,557 1,937,939
GMAC Commercial Mortgage
Securities, Inc.
6.87%, 08/15/07 600,000 682,964
6.70%, 05/15/30 2,900,000 3,296,910
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
GMAC Mortgage Corporation
Loan Trust
3.25%, 11/25/30++ $ 1,274,682 $ 1,274,682
Government National
Mortgage Association
32.06%, 02/08/06++@ 1,068,378 1,392,081
6.50%, 02/15/24 34,751 36,684
7.00%, 10/15/25 159,488 169,257
7.00%, 01/15/26 173,535 183,838
7.00%, 07/15/27 1,164,358 1,232,400
7.00%, 12/15/27 11,394 12,060
7.00%, 01/15/28 109,752 116,097
7.00%, 03/15/28 1,692,086 1,789,910
6.00%, 06/20/28 IO@ 1,918,065 48,652
7.00%, 07/15/28 252,873 267,492
7.50%, 07/15/28 173,493 184,499
6.50%, 08/15/28 263,432 277,015
7.00%, 08/15/28 247,619 261,934
7.50%, 08/15/28 225,491 239,795
6.50%, 09/15/28 706,048 742,453
7.00%, 10/15/28 389,672 412,200
7.50%, 12/15/28 96,258 102,365
6.50%, 02/15/29 43,859 46,106
7.50%, 03/15/29 402,124 427,508
6.50%, 04/15/29 100,713 105,875
6.50%, 05/15/29 35,367 37,180
6.50%, 07/15/29 982,616 1,032,975
7.50%, 11/15/29 525,785 558,975
6.00%, 11/20/29++ 809,661 841,176
7.50%, 02/15/30 190,289 202,242
8.50%, 08/15/30 55,520 59,823
6.50%, 08/20/30 1,442,320 1,468,907
8.50%, 11/20/30 386,150 413,301
6.50%, 02/15/31 47,530 49,907
7.50%, 02/15/31 213,600 226,950
6.50%, 07/15/31 373,884 392,578
6.50%, 08/15/31 49,709 52,195
7.50%, 08/15/31 1,217,363 1,293,449
6.50%, 09/15/31 294,780 309,519
6.50%, 10/15/31 1,426,903 1,498,248
6.50%, 11/15/31 1,466,766 1,540,104
6.50%, 12/15/31 2,459,718 2,582,704
6.00%, 01/15/32 2,428,770 2,547,172
6.50%, 01/15/32 227,546 238,923
6.50%, 02/15/32 992,823 1,042,464
7.50%, 02/15/32 190,087 201,967
6.50%, 03/15/32 53,129 55,785
6.00%, 04/15/32 2,540,661 2,664,518
7.50%, 04/15/32 2,189,277 2,326,107
6.50%, 05/15/32 1,701,427 1,786,499
6.50%, 06/15/32 2,889,595 3,034,075
6.50%, 07/15/32 645,641 677,923
6.00%, 08/01/32 4,630,000 4,844,138
6.50%, 08/15/32 388,675 408,109
6.50%, 09/15/32 932,265 978,878
6.50%, 10/15/32 54,359 57,077
</Table>
See Notes to Financial Statements.
34
<Table>
<Caption>
PAR VALUE
----------- --------------
6.00%, 11/15/32 $ 801,461 $ 840,532
6.50%, 11/15/32 1,783,491 1,872,666
6.00%, 07/01/33 29,800,000 31,215,500
6.50%, 07/01/33 38,650,000 40,537,500
6.50%, 08/20/33 8,000,000 8,357,500
Impac CMB Trust
1.32%, 07/25/31++ 1,165,837 1,168,123
1.32%, 08/25/32++ 2,402,445 2,400,531
Indymac ARM Trust
6.47%, 09/28/31++ 618,059 635,156
LB-UBS Commercial Mortgage
Trust
7.95%, 01/15/10 1,400,000 1,741,960
0.99%, 06/15/36 IO 144A++ 5,420,090 308,433
Lehman Brothers Floating
Rate Commercial Mortgage
Trust
1.37%, 07/17/03 144A++ 526,182 526,110
Lomas & Nettleton Mortgage
I
9.50%, 09/01/03 8,394 8,429
Merrill Lynch Mortgage
Investors, Inc.
5.32%, 05/25/32++ 818,936 827,368
MLCC Mortgage Investors,
Inc.
1.43%, 03/25/28++ 1,361,983 1,362,029
1.45%, 03/25/28++ 486,422 486,736
1.71%, 01/01/49++ 1,000,000 1,000,000
NC Finance Trust
9.00%, 03/01/30 144A 157,090 156,902
Nomura Asset Securities
Corporation
7.07%, 04/13/36 700,226 738,032
7.12%, 04/13/36 2,000,000 2,241,028
PNC Mortgage Securities
Corporation
1.49%, 07/25/03++ 86,948 87,016
7.50%, 02/25/31 73,090 73,633
Residential Asset
Securitization Trust
1.49%, 04/25/33++ 1,691,227 1,696,498
Salomon Brothers Mortgage
Securities VII
1.42%, 07/25/03 STEP++ 152,090 152,354
1.90%, 10/25/23 IO++@ 695,084 1,064
2.12%, 06/25/24 IO++@ 472,411 839
Saxon Mortgage Securities
Corporation
6.75%, 04/25/24 1,705,353 1,707,655
Sequoia Mortgage Trust
1.48%, 02/20/33++ 1,457,543 1,418,532
Structured Asset Securities
Corporation
7.50%, 07/25/16 1,057,638 1,083,342
6.50%, 01/25/32 416,007 419,135
Trizec Hahn Office
Properties Trust
1.46%, 07/15/03 144A++ 3,107,730 3,091,426
Washington Mutual
4.51%, 07/01/03++ 900,472 910,937
6.53%, 07/01/03++ 1,398,542 1,403,007
0.37%, 05/25/08 IO@ 5,956,402 39,267
1.01%, 06/25/08 IO++@ 8,100,000 101,153
4.68%, 02/25/33++ 1,013,669 1,037,023
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $400,046,352) 403,589,733
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
CORPORATE BONDS -- 18.5%
Ace Capital Trust II
9.70%, 04/01/30 $ 60,000 $ 81,138
Ace INA Holdings, Inc.
8.20%, 08/15/04 550,000 586,978
8.30%, 08/15/06 550,000 640,390
Adelphia Communications
9.25%, 10/01/04# 250,000 152,500
9.38%, 11/15/09# 250,000 161,250
AES Corporation (The)
10.00%, 07/15/05 144A 116,000 120,930
9.50%, 06/01/09 42,000 42,630
9.38%, 09/15/10 10,000 10,100
AGCO Corporation
9.50%, 05/01/08 67,000 72,695
AK Steel Corporation
7.88%, 02/15/09 190,000 162,450
Allied Waste North America
8.88%, 04/01/08 715,000 779,350
American Airlines, Inc.
10.19%, 05/26/16@ 700,000 290,822
American Axle &
Manufacturing, Inc.
9.75%, 03/01/09 133,000 143,640
American Standard, Inc.
7.38%, 02/01/08 170,000 188,700
American Tower Corporation
9.38%, 02/01/09 250,000 252,500
AMFM, Inc.
8.00%, 11/01/08 1,137,000 1,327,448
Anthem Insurance Cos., Inc.
9.13%, 04/01/10 144A 100,000 126,083
Anthem, Inc.
6.80%, 08/01/12 450,000 526,270
AOL Time Warner, Inc.
7.70%, 05/01/32 1,420,000 1,664,064
Apache Corporation
6.25%, 04/15/12 340,000 396,576
Astoria Financial
Corporation
5.75%, 10/15/12 144A 450,000 474,590
AT&T Broadband Corporation
8.38%, 03/15/13 650,000 815,774
</Table>
See Notes to Financial Statements.
35
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
AT&T Corporation
8.50%, 11/15/31 $ 320,000 $ 364,107
AT&T Wireless Services,
Inc.
7.88%, 03/01/11 250,000 295,780
8.13%, 05/01/12 150,000 181,083
8.75%, 03/01/31 150,000 186,070
Avis Group Holdings, Inc.
11.00%, 05/01/09 161,000 181,125
AXA Financial, Inc.
7.75%, 08/01/10 500,000 609,938
Bank One Corporation
4.13%, 09/01/07 1,100,000 1,165,192
Bear Stearns Cos., Inc.
(The)
5.70%, 11/15/14 550,000 610,899
Beazer Homes USA, Inc.
8.38%, 04/15/12 81,000 90,113
BellSouth Capital Funding
7.88%, 02/15/30 460,000 602,544
BellSouth Corporation
6.88%, 10/15/31 10,000 11,819
Boeing Co. (The)
6.63%, 02/15/38 210,000 230,841
Calpine Corporation
7.75%, 04/15/09 96,000 71,520
8.50%, 02/15/11 519,000 391,845
Cendant Corporation
6.88%, 08/15/06 350,000 391,825
CenterPoint Energy Houston
Electric LLC
5.70%, 03/15/13 144A 150,000 162,967
Centerpoint Energy
Resources Corporation
7.88%, 04/01/13 144A 300,000 345,677
Centerpoint Energy, Inc.
5.88%, 06/01/08 144A 300,000 302,263
Chesapeake Energy
Corporation
8.13%, 04/01/11 31,000 33,558
Chrysler Corporation
7.45%, 02/01/49 320,000 324,983
Citigroup, Inc.
5.00%, 03/06/07 2,200,000 2,395,883
7.25%, 10/01/10 500,000 606,689
Citizens Communications Co.
9.00%, 08/15/31 300,000 405,708
Cleveland Electric
Illuminating Co. (The)
7.88%, 11/01/17 2,050,000 2,582,593
CMS Panhandle Holding Co.
6.13%, 03/15/04 720,000 738,900
7.00%, 07/15/29 900,000 951,750
CNA Financial Corporation
6.50%, 04/15/05 125,000 130,612
6.75%, 11/15/06 130,000 135,960
Comcast Cable
Communications
8.38%, 05/01/07 650,000 767,789
6.75%, 01/30/11 740,000 850,965
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Commonwealth Edison Co.
1.73%, 09/30/03 144A++ $ 500,000 $ 499,393
Conoco, Inc.
6.95%, 04/15/29 970,000 1,170,892
ConocoPhillips
8.75%, 05/25/10 1,375,000 1,792,061
Continental Airlines, Inc.
6.70%, 06/15/21 446,955 433,271
Countrywide Home Loans,
Inc.
5.50%, 08/01/06 1,150,000 1,257,800
5.63%, 05/15/07 300,000 330,702
3.25%, 05/21/08 200,000 201,191
Cox Communications, Inc.
4.63%, 06/01/13 170,000 170,663
Credit Suisse First Boston
USA, Inc.
4.63%, 01/15/08 600,000 641,381
6.13%, 11/15/11 710,000 796,687
CRH America, Inc.
6.95%, 03/15/12 200,000 233,759
CSC Holdings, Inc.
7.63%, 04/01/11 30,000 30,450
7.63%, 07/15/18 30,000 30,075
DaimlerChrysler NA Holding
Corporation
7.30%, 01/15/12 760,000 858,507
Delta Air Lines, Inc.
6.42%, 07/02/12 400,000 432,762
6.72%, 01/02/23 792,305 858,583
Devon Energy Corporation
7.95%, 04/15/32 60,000 77,484
Devon Financing Corporation
6.88%, 09/30/11 10,000 11,749
Dominion Resources, Inc.
4.13%, 02/15/08 70,000 73,357
5.13%, 12/15/09 230,000 248,307
5.70%, 09/17/12 310,000 340,952
Dryden Investor Trust
7.16%, 07/23/08 144A 1,906,161 2,052,364
Dynegy Holdings, Inc.
8.75%, 02/15/12 1,030,000 963,050
Echostar DBS Corporation
9.13%, 01/15/09 146,000 163,885
9.38%, 02/01/09 53,000 56,776
El Paso CGP Co.
7.75%, 06/15/10 1,000,000 937,499
El Paso Corporation
4.67%, 02/28/21 CONV (2) 2,750,000 1,216,875
8.05%, 10/15/30 600,000 522,000
7.80%, 08/01/31 1,150,000 974,624
7.75%, 01/15/32 1,100,000 932,250
</Table>
See Notes to Financial Statements.
36
<Table>
<Caption>
PAR VALUE
----------- --------------
El Paso Natural Gas Co.
8.38%, 06/15/32 144A $ 210,000 $ 223,650
Entergy Mississippi, Inc.
1.96%, 08/01/03++ 2,100,000 2,099,999
EOP Operating LP
7.75%, 11/15/07 100,000 117,235
Firstar Bank NA
7.13%, 12/01/09 170,000 205,781
FirstEnergy Corporation
6.45%, 11/15/11 270,000 296,868
7.38%, 11/15/31 430,000 483,446
Fisher Scientific
International
7.13%, 12/15/05 500,000 525,000
Ford Motor Co.
6.63%, 10/01/28 550,000 458,918
7.45%, 07/16/31 850,000 780,815
8.90%, 01/15/32 770,000 785,686
7.70%, 05/15/49 2,020,000 1,820,006
Ford Motor Credit Co.
7.38%, 10/28/09 100,000 104,990
7.88%, 06/15/10 590,000 633,097
7.38%, 02/01/11 320,000 331,317
7.25%, 10/25/11 1,100,000 1,132,637
Forest Oil Corporation
7.75%, 05/01/14 115,000 120,175
Fort James Corporation
4.75%, 06/29/04(E) 500,000 571,301
Fred Meyer, Inc. Holding
Co.
7.45%, 03/01/08 150,000 174,953
Fresenius Medical Care
Capital Trust II
7.88%, 02/01/08 170,000 179,350
General Electric Capital
Corporation
6.00%, 06/15/12 1,010,000 1,142,064
6.75%, 03/15/32 1,700,000 1,995,110
General Electric Co.
5.00%, 02/01/13 90,000 95,244
General Motors Acceptance
Corporation
1.60%, 07/21/03++ 1,600,000 1,599,921
7.25%, 03/02/11 310,000 318,557
General Motors Corporation
7.13%, 07/15/13 60,000 59,764
8.25%, 07/15/23 140,000 139,584
8.38%, 07/15/33 830,000 818,571
Georgia Gulf Corporation
10.38%, 11/01/07 123,000 131,303
Georgia-Pacific Corporation
8.13%, 05/15/11 8,000 8,260
9.50%, 12/01/11 46,000 50,888
8.88%, 05/15/31 14,000 13,790
Greenpoint Financial
Corporation
3.20%, 06/06/08 144A 350,000 347,737
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Hasbro, Inc.
5.60%, 11/01/05 $ 173,000 $ 178,406
HCA, Inc.
6.87%, 09/15/03 250,000 252,022
6.30%, 10/01/12 750,000 768,105
Hitachi Credit America
Corporation
1.55%, 07/15/03 144A++ 1,000,000 1,000,553
Host Marriot Corporation
7.88%, 08/01/05 217,000 221,883
Host Marriott LP
9.50%, 01/15/07 500,000 540,000
9.25%, 10/01/07 32,000 34,560
Household Finance
Corporation
5.75%, 01/30/07 590,000 651,677
8.00%, 07/15/10 780,000 968,964
7.00%, 05/15/12 690,000 818,108
6.38%, 11/27/12 310,000 353,766
Huntsman International LLC
10.13%, 07/01/09 250,000 241,250
IMC Global, Inc.
10.88%, 06/01/08 119,000 124,355
Indiana Michigan Power Co.
6.88%, 07/01/04 2,000,000 2,109,314
Insight Midwest LP/Insight
Capital, Inc.
10.50%, 11/01/10 179,000 197,348
Intelsat, Ltd.
7.63%, 04/15/12 144A 300,000 340,433
International Lease Finance
Corporation
4.50%, 05/01/08 75,000 78,635
J.P. Morgan Chase & Co.
6.63%, 03/15/12 670,000 774,265
5.75%, 01/02/13 390,000 427,168
JPM Capital Trust II
7.95%, 02/01/27 700,000 808,718
Kansas City Southern
Railway
9.50%, 10/01/08 99,000 110,509
Kellogg Co.
6.60%, 04/01/11 500,000 587,275
Kern River Funding
Corporation
4.89%, 04/30/18 144A 300,000 309,653
Kraft Foods, Inc.
4.63%, 11/01/06 100,000 106,290
5.63%, 11/01/11 300,000 327,449
Kroger Co.
7.25%, 06/01/09 300,000 350,794
5.50%, 02/01/13 200,000 211,506
Lear Corporation
7.96%, 05/15/05 176,000 188,320
</Table>
See Notes to Financial Statements.
37
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Lehman Brothers Holdings,
Inc.
6.13%, 07/15/03 $ 290,000 $ 290,479
6.63%, 04/01/04 550,000 571,842
8.25%, 06/15/07 100,000 119,519
4.00%, 01/22/08 70,000 73,030
Liberty Media Corporation
3.75%, 02/15/30 CONV 400,000 250,000
Liberty Property Trust
6.38%, 08/15/12 450,000 503,521
Lockheed Martin Corporation
8.50%, 12/01/29 220,000 299,959
Lyondell Chemical Co.
9.88%, 05/01/07 500,000 492,500
MacDermid, Inc.
9.13%, 07/15/11 111,000 124,598
Manor Care, Inc.
8.00%, 03/01/08 153,000 172,890
MeadWestvaco Corporation
6.85%, 04/01/12 490,000 566,587
Mediacom LLC/Mediacom
Capital Corporation
9.50%, 01/15/13 500,000 531,250
Mirant Americas Generation,
Inc.
8.30%, 05/01/11 500,000 312,500
Moore North America
Finance, Inc.
7.88%, 01/15/11 144A 30,000 31,425
Morgan Stanley
6.75%, 04/15/11 150,000 175,724
6.60%, 04/01/12 400,000 462,939
5.30%, 03/01/13 400,000 425,944
Nabisco, Inc.
7.05%, 07/15/07 200,000 228,794
7.55%, 06/15/15 1,530,000 1,947,020
News America Holdings
8.88%, 04/26/23 1,900,000 2,435,275
Nextel Communications, Inc.
9.38%, 11/15/09 359,000 387,271
9.50%, 02/01/11 160,000 178,000
Niagara Mohawk Power
Corporation
8.00%, 06/01/04 500,000 528,593
7.75%, 10/01/08 1,340,000 1,607,542
Nisource Finance
6.15%, 03/01/13 75,000 80,654
Nortek Holdings, Inc.
9.25%, 03/15/07 605,000 626,175
8.88%, 08/01/08 490,000 513,888
Northwest Airlines
Corporation
7.58%, 03/01/19 808,041 820,917
Ocean Energy, Inc.
8.38%, 07/01/08 132,000 138,435
Omnicare, Inc.
8.13%, 03/15/11 239,000 260,510
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Oncor Electric Delivery Co.
6.38%, 01/15/15 144A $ 140,000 $ 159,152
Packaging Corporation of
America, Inc.
9.63%, 04/01/09 154,000 170,363
Peabody Energy Corporation
6.88%, 03/15/13 144A 165,000 173,663
Pemex Project Funding
Master Trust
9.13%, 10/13/10 1,500,000 1,818,749
Penney (JC) Co., Inc.
8.00%, 03/01/10 194,000 204,185
Pepsi Bottling Group, Inc.
7.00%, 03/01/29 910,000 1,111,567
PHH Corporation
7.13%, 03/01/13 600,000 682,389
Phillips Petroleum Co.
7.00%, 03/30/29 345,000 418,770
Pioneer Natural Resources
Co.
7.50%, 04/15/12 133,000 152,616
Popular North America, Inc.
6.13%, 10/15/06 600,000 668,400
PPL Electric Utilities
Corporation
4.30%, 06/01/13 500,000 495,826
Premium Asset Trust
1.67%, 08/27/03 144A++ 3,000,000 3,010,365
Prudential Funding LLC
6.60%, 05/15/08 144A 600,000 694,231
Public Service Co. of
Colorado
7.88%, 10/01/12 300,000 378,342
PVNGS II Funding
Corporation, Inc.
8.00%, 12/30/15 1,800,000 2,173,384
Qwest Capital Funding, Inc.
7.25%, 02/15/11 500,000 412,500
Qwest Corporation
8.88%, 03/15/12 144A 1,200,000 1,347,000
7.50%, 06/15/23 500,000 482,500
6.88%, 09/15/33 250,000 231,250
Raytheon Co.
5.38%, 04/01/13 350,000 370,941
Ryland Group, Inc.
9.75%, 09/01/10 136,000 157,080
Safeco Corporation
4.88%, 02/01/10 275,000 291,146
Safeway, Inc.
4.80%, 07/16/07 700,000 732,723
Sara Lee Corporation
6.25%, 09/15/11 970,000 1,124,459
Schuler Homes, Inc.
9.38%, 07/15/09 38,000 43,130
Simon Property Group LP
7.38%, 01/20/06 900,000 1,011,507
Sonat, Inc.
7.63%, 07/15/11 460,000 420,900
</Table>
See Notes to Financial Statements.
38
<Table>
<Caption>
PAR VALUE
----------- --------------
Southern California Edison
Co.
6.38%, 01/15/06 $ 500,000 $ 511,875
Southern Natural Gas Co.
8.00%, 03/01/32 400,000 434,500
Sovereign Bank
5.13%, 03/15/13 300,000 310,529
Spieker Properties LP
7.65%, 12/15/10 150,000 174,604
Sprint Capital Corporation
6.00%, 01/15/07 140,000 150,595
6.13%, 11/15/08 460,000 499,938
7.63%, 01/30/11 400,000 457,382
8.38%, 03/15/12 610,000 731,768
6.90%, 05/01/19 280,000 294,141
6.88%, 11/15/28 550,000 553,763
8.75%, 03/15/32 750,000 900,944
System Energy Rescouces,
Inc.
7.43%, 01/15/11 1,164,449 1,216,769
Systems 2001 Asset Trust
LLC
6.66%, 09/15/13 144A 1,134,240 1,276,905
Target Corporation
5.88%, 03/01/12 560,000 633,930
TCI Communications
Financing III
9.65%, 03/31/27 2,610,000 3,118,950
Teco Energy Inc.
10.50%, 12/01/07 144A 200,000 229,250
Tennessee Valley Authority
6.75%, 11/01/25 1,420,000 1,763,595
7.13%, 05/01/30 3,360,000 4,397,812
Terex Corporation
8.88%, 04/01/08 157,000 164,065
Time Warner Entertainment
Co. LP
8.38%, 03/15/23 300,000 379,327
8.38%, 07/15/33 970,000 1,259,591
Triton PCS, Inc.
8.75%, 11/15/11 500,000 501,250
TXU Energy Co.
7.00%, 03/15/13 144A 250,000 277,277
Tyson Foods, Inc.
7.25%, 10/01/06 144A 50,000 55,878
8.25%, 10/01/11 700,000 830,094
Unilever Capital
Corporation
7.13%, 11/01/10 760,000 922,421
Union Pacific Corporation
6.65%, 01/15/11 260,000 302,650
6.63%, 02/01/29 200,000 226,459
Unisys Corporation
6.88%, 03/15/10 128,000 133,760
United Air Lines, Inc.
9.21%, 01/21/17@ 200,000 55,886
9.56%, 10/19/18@ 300,000 107,460
United Telephone of Kansas
6.89%, 07/01/08@ 500,000 418,080
Ventas Realty LP/Ventas
Capital Corporation
8.75%, 05/01/09 50,000 54,250
9.00%, 05/01/12 20,000 21,900
Verizon Global Funding
Corporation
7.25%, 12/01/10 700,000 842,144
6.88%, 06/15/12 160,000 189,291
4.38%, 06/01/13 390,000 389,831
7.75%, 12/01/30 50,000 63,570
Verizon New York, Inc.
6.88%, 04/01/12 700,000 825,686
Vintage Petroleum, Inc.
8.25%, 05/01/12 250,000 276,250
Wal-Mart Stores, Inc.
7.55%, 02/15/30 1,200,000 1,590,092
Washington Mutual, Inc.
8.25%, 04/01/10 1,500,000 1,891,793
Waste Management, Inc.
7.38%, 08/01/10 400,000 480,652
7.75%, 05/15/32 1,200,000 1,508,874
Wells Fargo & Co.
5.00%, 11/15/14 900,000 955,601
Wells Fargo Bank NA
6.45%, 02/01/11 1,260,000 1,487,855
Westport Resources
Corporation
8.25%, 11/01/11 144A 40,000 44,000
Weyerhaeuser Co.
6.75%, 03/15/12 144A 990,000 1,128,000
7.38%, 03/15/32 700,000 807,261
Williams Cos., Inc.
7.50%, 01/15/31 1,020,000 969,000
7.75%, 06/15/31 200,000 194,000
8.75%, 03/15/32 144A 1,130,000 1,180,850
WorldCom, Inc.-WorldCom
Group
7.50%, 05/15/11# 554,000 164,815
8.25%, 05/15/31# 705,000 209,738
XTO Energy, Inc.
7.50%, 04/15/12 83,000 94,620
6.25%, 04/15/13 144A 130,000 138,775
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
TOTAL CORPORATE BONDS
(Cost $135,170,251) $ 147,189,783
--------------
FOREIGN BONDS -- 17.0%
AUSTRALIA -- 0.0%
QBE Insurance Group, Ltd.
5.65%, 07/01/23 STEP
144A++ $ 200,000 194,749
--------------
BAHAMAS -- 0.0%
Teekay Shipping Corporation
8.88%, 07/15/11 313,000 344,691
--------------
</Table>
See Notes to Financial Statements.
39
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
BERMUDA -- 0.5%
Tyco International Group SA
1.75%, 07/30/03++ $ 110,000 $ 109,883
5.80%, 08/01/06 800,000 830,000
6.13%, 11/01/08 90,000 94,500
6.75%, 02/15/11 1,000,000 1,065,000
6.38%, 10/15/11 1,520,000 1,611,200
6.88%, 01/15/29 100,000 101,100
--------------
3,811,683
--------------
BRAZIL -- 0.9%
Federal Republic of Brazil
8.00%, 10/15/03 997,442 880,243
3.06%, 04/15/06 1,584,000 1,499,850
2.19%, 04/15/09++ 221,539 187,339
14.50%, 10/15/09 250,000 290,000
12.00%, 04/15/10 520,000 541,580
2.19%, 04/15/12++ 450,000 340,031
2.19%, 04/15/12 570,000 430,706
8.00%, 04/15/14 2,351,993 2,073,208
11.00%, 08/17/40 675,000 617,625
--------------
6,860,582
--------------
BULGARIA -- 0.1%
Republic of Bulgaria
2.19%, 07/28/11++ 643,200 611,040
8.25%, 01/15/15 144A 260,000 306,800
--------------
917,840
--------------
CANADA -- 1.3%
Abitibi-Consolidated, Inc.
8.55%, 08/01/10 32,000 35,903
Alliance Atlantis
Communications, Inc.
13.00%, 12/15/09 74,000 84,730
Anderson Exploration, Ltd.
6.75%, 03/15/11 50,000 57,982
Biovail Corporation
7.88%, 04/01/10 110,000 117,150
Bombardier Capital Funding
LP
6.13%, 05/14/07(E) 250,000 284,453
Canadian Government
4.50%, 09/01/07(C) 3,900,000 2,975,050
5.75%, 06/01/29(C) 1,464,000 1,179,281
Conoco Funding Co.
7.25%, 10/15/31 315,000 397,072
General Motors Nova Scotia
Finance Co.
6.85%, 10/15/08 1,670,000 1,755,743
Hydro Quebec
6.30%, 05/11/11 860,000 1,013,742
Province of Ontario
6.50%, 03/08/29(C) 743,000 622,944
Province of Quebec
7.13%, 02/09/24 830,000 1,045,558
7.50%, 09/15/29 702,000 939,338
Western Oil Sands, Inc.
8.38%, 05/01/12 135,000 151,200
--------------
10,660,146
--------------
CAYMAN ISLANDS -- 0.7%
Alpine Partners LP
1.73%, 07/08/03 144A++ 3,050,190 3,034,939
G-Wing, Ltd.
3.96%, 11/06/11 144A++ 1,297,346 1,273,371
PDVSA Finance, Ltd.
8.50%, 11/16/12 730,000 669,775
PRIME Capital Hurricane,
Ltd.
7.78%, 07/07/03 144A++ 290,000 289,991
--------------
5,268,076
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
COLOMBIA -- 0.1%
Republic of Colombia
11.75%, 02/25/20 $ 865,000 $ 1,079,088
--------------
DOMINICAN REPUBLIC -- 0.1%
Dominican Republic
9.50%, 09/27/06 830,000 790,631
9.04%, 01/23/13 144A 400,000 363,000
--------------
1,153,631
--------------
FRANCE -- 0.1%
Compagnie Generale de
Geophysique SA
10.63%, 11/15/07 79,000 81,370
France Telecom
9.25%, 03/01/11 450,000 567,340
--------------
648,710
--------------
GERMANY -- 8.6%
Deutsche Bundesrepublik
3.75%, 01/04/09(E) 6,000,000 7,116,610
5.38%, 01/04/10(E) 3,800,000 4,880,352
5.25%, 01/04/11(E) 8,500,000 10,864,416
5.00%, 07/04/11(E) 14,000,000 17,621,845
5.00%, 01/04/12(E) 5,455,000 6,861,203
5.63%, 01/04/28(E) 1,500,000 1,954,954
6.25%, 01/04/30(E) 6,400,000 9,014,525
5.50%, 01/04/31(E) 7,800,000 9,995,540
--------------
68,309,445
--------------
MALAYSIA -- 0.1%
Petronas Capital, Ltd.
7.88%, 05/22/22 144A 430,000 511,695
--------------
MEXICO -- 1.3%
Mexican Bonos
10.50%, 07/14/11(M) 6,900,000 760,149
United Mexican States
8.38%, 01/14/11 500,000 600,250
7.50%, 01/14/12 750,000 859,688
6.38%, 01/16/13 350,000 371,875
</Table>
See Notes to Financial Statements.
40
<Table>
<Caption>
PAR VALUE
----------- --------------
11.38%, 09/15/16 $ 730,000 $ 1,063,975
11.50%, 05/15/26 4,605,000 6,877,568
--------------
10,533,505
--------------
NETHERLANDS -- 0.4%
Aegon NV
4.75%, 06/01/13 500,000 506,846
Deutsche Telekom
International Finance BV
8.75%, 06/15/30 1,200,000 1,534,400
Royal KPN NV
8.00%, 10/01/10 200,000 248,017
Scotland International
Finance No. 2 BV
4.25%, 05/23/13 144A 500,000 499,181
--------------
2,788,444
--------------
PANAMA -- 0.5%
Republic of Panama
2.75%, 07/17/03++ 572,715 460,678
8.25%, 04/22/08 1,300,000 1,447,875
9.63%, 08/08/11 543,000 631,238
10.75%, 05/15/20 517,000 644,958
9.38%, 01/16/23 420,000 469,350
--------------
3,654,099
--------------
PERU -- 0.2%
Republic of Peru
5.00%, 09/07/03 144A++ 633,600 540,144
4.50%, 09/08/03++ 530,000 417,044
4.50%, 03/07/17++ 297,600 254,262
--------------
1,211,450
--------------
PHILIPPINES -- 0.0%
Republic of Philippines
9.88%, 01/15/19 195,000 215,719
10.63%, 03/16/25 50,000 58,313
--------------
274,032
--------------
POLAND -- 0.3%
Republic of Poland
8.50%, 05/12/07(P) 3,850,000 1,109,796
5.75%, 06/24/08(P) 3,850,000 1,028,668
--------------
2,138,464
--------------
QATAR -- 0.0%
State of Qatar
9.75%, 06/15/30 240,000 337,048
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
RUSSIA -- 0.2%
Ministry Finance of Russia
3.00%, 05/14/08 $ 330,000 $ 301,369
Russian Federation
8.25%, 03/31/10 70,000 81,025
5.00%, 03/31/30 STEP++ 1,290,000 1,254,524
--------------
1,636,918
--------------
SINGAPORE -- 0.0%
Flextronics International,
Ltd.
9.88%, 07/01/10 149,000 163,900
--------------
SOUTH AFRICA -- 0.6%
Republic of South Africa
13.00%, 08/31/10 23,580,000 3,779,310
7.38%, 04/25/12 750,000 862,500
--------------
4,641,810
--------------
SOUTH KOREA -- 0.1%
Korea Asset Funding, Ltd.
3.35%, 08/11/03 144A++ 182,946 182,946
Republic of Korea
8.88%, 04/15/08 670,000 837,232
--------------
1,020,178
--------------
UNITED KINGDOM -- 0.9%
Abbey National PLC
7.95%, 10/26/29 450,000 602,551
BP Capital Markets PLC
4.63%, 05/27/05 1,670,000 1,768,545
British Telecommunications
PLC
8.38%, 12/15/10 300,000 380,063
8.88%, 12/15/30 2,070,000 2,835,167
HSBC Capital Funding LP
4.61%, 12/29/49 144A++ 990,000 973,983
Standard Chartered Bank
8.00%, 05/30/31 144A 350,000 446,221
Telewest Communications PLC
9.88%, 02/01/10# 145,000 53,288
XL Capital Europe PLC
6.50%, 01/15/12 370,000 423,862
--------------
7,483,680
--------------
VENEZUELA -- 0.0%
Petrozuata Finance, Inc.
8.22%, 04/01/17 144A 140,000 122,500
--------------
TOTAL FOREIGN BONDS
(Cost $121,916,629) 135,766,364
--------------
MUNICIPAL BONDS -- 1.8%
California State, Series A
Revenue Anticipation
Warrants (Non-Callable)
2.00%, 06/16/04 2,300,000 2,318,998
Florida State Board of
Education, Series A
General Obligation Bond
(Callable 06/01/12 @
$101)
5.00%, 06/01/32 1,200,000 1,260,240
</Table>
See Notes to Financial Statements.
41
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Las Vegas Valley, Nevada
Water District, Series A
General Obligation Bond
(FGIC Insured) (Callable
12/01/12 @ $100)
5.00%, 06/01/32 $ 1,000,000 $ 1,044,220
Massachusetts State Special
Obligation, Series A
Revenue Bond (FGIC
Insured) (Callable
06/01/12 @ $100)
5.00%, 06/01/21 2,945,000 3,127,531
Massachusetts State Water
Resources Authority,
Series J Revenue Bond
(FSA Insured) (Callable
08/01/12 @ $100)
5.00%, 08/01/32 1,250,000 1,306,538
Minnesota State, General
Obligation Bond (Callable
10/01/11 @ $100)
5.00%, 10/01/20 200,000 212,904
New York State, Urban
Development Corporation,
Series A Revenue Bond
(Callable 03/15/12 @
$100)
5.13%, 03/15/22 1,500,000 1,588,935
South Carolina,
Transportation
Infrastructure Bank,
Series A Revenue Bond
(AMBAC Insured) (Callable
10/01/11 @ $100)
5.00%, 10/01/23 2,700,000 2,854,818
Virginia State Housing
Development Authority,
Commonwealth Mortgage,
Series H Revenue Bond
(MBIA Insured) (Callable
07/01/11 @ $100)
5.38%, 07/01/36 1,000,000 1,039,150
--------------
TOTAL MUNICIPAL BONDS
(Cost $13,990,374) 14,753,334
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
OPTIONS -- 0.0%
CALL OPTIONS -- 0.0%
3-Month EURIBOR,
Strike Price 94.50,
Expires 09/15/03 14 22,856
--------------
PUT OPTIONS -- 0.0%
90-Day Eurodollar Futures,
Strike Price 94.75,
Expires 03/15/03 104 0
10-Year U.S. Treasury Note
Futures, Strike Price
100.00, Expires 08/23/03 282 4,406
10-Year U.S. Treasury Note
Futures, Strike Price
104.00, Expires 08/23/03 400 6,250
Deutsche Bundesrepublik
Eurodollar, Strike Price
96.00, Expires 09/01/03 1,400 0
Euro-Bund Futures, Strike
Price 108.00, Expires
08/22/03 45 517
Euro-Bund Futures, Strike
Price 110.00, Expires
08/22/03 50 1,148
Federal National Mortgage
Association TBA
Eurodollar, Strike Price
91.00, Expires 11/06/03 1,850 2,168
Federal National Mortgage
Association TBA
Eurodollar, Strike Price
94.00, Expires 10/08/03 500 586
Federal National Mortgage
Association TBA
Eurodollar, Strike Price
96.00, Expires 10/08/03 600 703
--------------
15,778
--------------
</Table>
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
TOTAL OPTIONS
(Cost $20,856) $ 38,634
--------------
<Caption>
SHARES
-----------
SHORT-TERM INVESTMENTS -- 24.0%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 103,976,413 103,976,413
Northern Institutional
Liquid Assets Portfolio
sec. 87,295,263 87,295,263
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $191,271,676) 191,271,676
--------------
RIGHTS -- 0.0%
United Mexican States
Recovery Rights Series B 1,100,000 11,550
United Mexican States
Recovery Rights Series C 1,100,000 3,300
</Table>
See Notes to Financial Statements.
42
<Table>
<Caption>
SHARES VALUE
----------- --------------
United Mexican States
Recovery Rights Series D 1,100,000 $ 935
United Mexican States
Recovery Rights Series E 1,100,000 660
--------------
TOTAL RIGHTS
(Cost $0) 16,445
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 19.8%
U.S. Treasury Bills
1.10%, 08/07/03 $ 10,000 9,990
1.11%, 08/07/03++++ 80,000 79,920
1.02%, 08/14/03++++ 120,000 119,886
1.04%, 08/14/03 470,000 469,555
1.07%, 08/14/03 30,000 29,972
1.08%, 08/14/03++++ 160,000 159,848
--------------
869,171
--------------
U.S. Treasury Bonds
6.50%, 02/15/10 400,000 485,391
7.25%, 05/15/16 3,500,000 4,655,823
7.50%, 11/15/16 11,050,000 15,003,403
8.88%, 08/15/17 10,500,000 15,887,813
9.00%, 11/15/18 700,000 1,080,926
7.88%, 02/15/21 7,900,000 11,280,955
8.13%, 05/15/21 8,300,000 12,123,519
6.25%, 08/15/23 7,200,000 8,821,692
5.50%, 08/15/28 2,050,000 2,306,652
5.38%, 02/15/31 400,000 450,547
--------------
72,096,721
--------------
U.S. Treasury Inflationary
Index Bonds
3.38%, 01/15/07++++ 16,050,000 20,453,891
3.63%, 01/15/08 3,750,000 4,788,011
3.63%, 04/15/28 2,100,000 2,909,772
3.88%, 04/15/29 11,488,000 16,391,526
--------------
44,543,200
--------------
U.S. Treasury Notes
1.63%, 01/31/05 7,200,000 7,251,754
1.25%, 05/31/05 7,000,000 6,998,089
--------------
14,249,843
--------------
U.S. Treasury STRIPS
4.03%, 02/15/14 (2) $ 6,400,000 4,189,068
4.44%, 11/15/16 (2) 900,000 500,278
4.84%, 05/15/20 (2) 17,600,000 7,853,876
4.93%, 11/15/21 (2) 5,600,000 2,288,737
4.97%, 02/15/23 (2) 2,800,000 1,068,564
5.07%, 11/15/24 (2) 2,500,000 857,465
5.02%, 11/15/24 (2) 4,850,000 1,680,913
5.08%, 08/15/25 (2) 600,000 197,780
5.03%, 08/15/25 (2) 3,000,000 999,627
5.10%, 05/15/26 (2) 1,500,000 474,074
5.05%, 11/15/26 (2) 1,500,000 467,583
5.11%, 11/15/26 (2) 3,600,000 1,106,957
5.04%, 11/15/27 (2) 13,330,000 3,962,516
--------------
25,647,438
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $154,317,846) 157,406,373
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
TOTAL INVESTMENTS -- 140.6%
(Cost $1,008,346,407) $1,120,391,835
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
WRITTEN OPTIONS -- (0.3)%
CALL SWAPTIONS -- (0.3)%
3-Month LIBOR, Strike Price
3.00, Expires 11/12/03 (840) (113,786)
3-Month LIBOR, Strike Price
3.25, Expires 03/03/04 (550) (107,393)
3-Month LIBOR, Strike Price
4.00, Expires 03/03/04 (670) (164,512)
3-Month LIBOR, Strike Price
5.50, Expires 01/07/05 (900) (833,643)
3-Month LIBOR, Strike Price
5.97, Expires 10/04/04 (890) (1,093,739)
3-Month LIBOR, Strike Price
6.00, Expires 10/19/04 (520) (341,851)
--------------
(2,654,924)
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
5.97, Expires 10/04/04 (890) (68,574)
3-Month LIBOR, Strike Price
7.00, Expires 01/07/05 (900) (46,944)
U.S. Treasury Bond Futures,
Strike Price 120.00,
Expires 08/23/03 (88) (85,161)
--------------
(200,679)
--------------
TOTAL WRITTEN OPTIONS
(Cost $(1,845,041)) (2,855,603)
--------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (40.3%) (321,157,318)
--------------
NET ASSETS -- 100.0% $ 796,378,914
==============
</Table>
See Notes to Financial Statements.
43
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
Interest rate swap agreements outstanding at June 30, 2003:
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
BRITISH POUNDS
Receive fixed rate
payments of 5.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(a) 03/15/04 $ 6,700,000 $ 137,615
Receive fixed rate
payments of 5.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(b) 03/15/04 15,000,000 305,619
Receive fixed rate
payments of 4.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(d) 03/16/05 6,200,000 62,839
Receive fixed rate
payments of 4.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 03/17/05 59,900,000 591,982
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(a) 03/20/18 5,600,000 41,020
---------------
1,139,076
---------------
EURODOLLARS
Receive fixed rate
payments of 4.50%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 06/18/07 13,700,000 990,427
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(f) 06/17/12 10,900,000 (1,151,223)
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.50%(e) 12/15/31 7,000,000 (957,960)
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(g) 06/17/12 22,200,000 (2,344,764)
---------------
(3,463,520)
---------------
JAPANESE YEN
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
0.238%(d) 05/17/04 2,660,000,000 (28,422)
---------------
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
----------- ---------- -------------- ---------------
SWISS FRANCS
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
Swiss Franc STIBOR
floating rate(g) 03/29/05 $ 10,700,000 $ 42,562
---------------
U.S. DOLLARS
Receive fixed rate
payments of 6.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(d) 06/17/05 20,000,000 1,733,760
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(h) 06/18/05 8,800,000 424,688
Receive fixed rate
payments of 1.40%
and pay floating
par in event of
default on Republic
of Peru, 9.125% due
02/21/12(a) 12/13/03 500,000 (926)
Receive fixed rate
payments of 1.30%
and pay floating
par in event of
default on United
Mexican States,
11.50% due
05/15/26(a) 01/27/05 1,000,000 10,510
Receive fixed rate
payments of 4.80%
and pay floating
par in event of
default on AOL Time
Warner, Inc., 0.00%
due 12/06/19(c) 12/06/04 2,200,000 114,683
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
4.00%(a) 12/17/13 500,000 4,187
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
4.00%(e) 12/17/08 6,300,000 (269,155)
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(h) 12/17/23 19,100,000 (386,756)
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
4.00%(g) 12/01/13 45,300,000 379,342
---------------
2,010,333
---------------
$ (299,972)
===============
</Table>
See Notes to Financial Statements.
44
EXTENDED-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- -------------------- ------------- -----------------
One Year 21.51% 21.61% 21.26% 20.91%
Since Inception (8/27/01 -- 6/30/03) 12.88% 12.83% 12.43% 12.94%
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
EXT.-DURATION RETIREMENT CLASS BENCHMARK INDEX**
------------------------------ -----------------
8/27/01 10000.00 10000.00
8/31/01 10097.00 10111.00
9/30/01 9943.00 10027.00
10/31/01 10364.00 10516.00
11/30/01 10281.00 10202.00
12/31/01 10248.00 10063.00
1/31/02 10349.00 10202.00
2/28/02 10439.00 10300.00
3/31/02 10143.00 9948.00
4/30/02 10251.00 10208.00
5/31/02 10390.00 10286.00
6/30/02 10290.00 10350.00
7/31/02 10295.00 10443.00
8/31/02 10680.00 10927.00
9/30/02 10896.00 11259.00
10/31/02 10574.00 10965.00
11/30/02 10777.00 11066.00
12/31/02 11276.00 11521.00
1/31/03 11332.00 11530.00
2/28/03 11646.00 11868.00
3/31/03 11597.00 11774.00
4/30/03 11995.00 12039.00
5/31/03 12579.00 12691.00
6/30/03 12504.00 12515.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the weighted composite benchmark
index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**Represents a weighted composite benchmark index consisting of the Lehman
Brothers Long-Term Government Bond Index and the Lehman Brothers Long-Term
Credit Bond Index.
The Lehman Brothers Long-Term Government Index is composed of all bonds covered
by the Lehman Brothers Government Bond Index with maturities of 10 years or
greater.
The Lehman Brothers Long-Term Credit Index is composed of a subset of the Lehman
Brothers Credit Bond Index covering all corporate, publicly issued, fixed-rate,
nonconvertible U.S. debt issues rated at least Baa with at least $50 million
principal outstanding and maturity greater than 10 years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
45
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 PAR VALUE
- ------------- -------------- ------------
AGENCY OBLIGATIONS -- 2.8%
Federal Home Loan Mortgage
Corporation
4.63%, 02/15/07(E) 2,250,000 $ 2,754,308
Federal National Mortgage
Association
5.35%, 10/29/07(N)(2) 4,815,000 2,242,470
5.25%, 01/15/09 $ 1,000,000 1,124,184
5.50%, 03/15/11 6,000,000 6,818,058
------------
TOTAL AGENCY OBLIGATIONS
(Cost $11,328,594) 12,939,020
------------
ASSET-BACKED SECURITIES -- 2.5%
Community Program Loan Trust
4.50%, 04/01/29 1,950,000 1,710,906
PSE&G Transition Funding LLC
6.45%, 03/15/13 8,325,000 9,825,753
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $10,118,526) 11,536,659
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6%
Federal Home Loan Mortgage
Corporation
5.00%, 12/01/31 443,632 451,396
Federal National Mortgage
Association
5.00%, 07/25/23 2,000,000 2,069,664
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,165,652) 2,521,060
------------
CORPORATE BONDS -- 48.7%
AIG SunAmerica Global
Finance IX
6.90%, 03/15/32 144A 10,000,000 11,950,369
American Airlines, Inc.
6.98%, 04/01/11 85,387 83,872
8.61%, 10/01/11 850,000 593,898
Analog Devices, Inc.
4.75%, 10/01/05 CONV 250,000 255,625
4.75%, 10/01/05 144A CONV 3,300,000 3,374,250
Arrow Electronics, Inc.
6.88%, 07/01/13 250,000 248,037
Atlas Air, Inc.
7.20%, 01/02/19 466,434 412,405
Bausch & Lomb, Inc.
7.13%, 08/01/28 1,500,000 1,445,625
BellSouth Corporation
6.88%, 10/15/31 2,250,000 2,659,284
Boise Cascade Corporation
7.35%, 02/01/16 450,000 478,307
Borden, Inc.
7.88%, 02/15/23@ 1,200,000 786,000
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
Chesapeake Energy
Corporation
8.13%, 04/01/11 $ 150,000 $ 162,375
9.00%, 08/15/12 700,000 784,000
CIT Group, Inc.
7.75%, 04/02/12 3,455,000 4,126,345
Citigroup, Inc.
6.63%, 01/15/28 2,000,000 2,323,356
5.88%, 02/22/33 5,000,000 5,276,000
Comcast Corporation
5.50%, 03/15/11 500,000 535,558
Commonwealth Edison Co.
4.75%, 12/01/11 605,000 628,839
Constellation Energy Group,
Inc.
6.13%, 09/01/09 500,000 563,045
4.55%, 06/15/15 250,000 239,203
Continental Airlines, Inc.
6.70%, 06/15/21 465,578 451,324
Corning, Inc.
2.37%, 11/08/05 CONV(2) 500,000 373,750
COX Communications, Inc.
6.75%, 03/15/11 250,000 292,050
Dana Corporation
6.50%, 03/01/09 250,000 244,375
Delphi Auto Systems
Corporation
7.13%, 05/01/29 2,500,000 2,508,475
Delta Air Lines, Inc.
8.30%, 12/15/29 500,000 355,000
Devon Energy Corporation
4.95%, 08/15/08 CONV 963,000 989,483
Dillard's, Inc.
7.75%, 07/15/26 890,000 789,875
Dresdner Funding Trust I
8.15%, 06/30/31 144A 9,250,000 10,234,024
Duke Energy Corporation
6.45%, 10/15/32 2,660,000 2,867,565
Edison Mission Energy
7.73%, 06/15/09 170,000 146,200
El Paso Corporation
7.00%, 05/15/11 400,000 366,000
EOP Operating LP
7.25%, 06/15/28 500,000 561,035
First Industrial LP
7.60%, 07/15/28 1,000,000 1,106,360
Foot Locker, Inc.
8.50%, 01/15/22 1,000,000 1,046,250
Ford Motor Co.
6.63%, 02/15/28 5,425,000 4,533,900
6.63%, 10/01/28 1,500,000 1,251,594
6.38%, 02/01/29 1,500,000 1,216,208
9.98%, 02/15/47 5,000,000 5,595,220
Ford Motor Credit Co.
5.80%, 01/12/09 500,000 497,509
</Table>
See Notes to Financial Statements.
46
<Table>
<Caption>
PAR VALUE
-------------- ------------
General Electric Capital
Corporation
6.75%, 03/15/32 $ 6,150,000 $ 7,217,603
General Motors Acceptance
Corporation
6.88%, 08/28/12 250,000 249,833
8.00%, 11/01/31 9,000,000 8,854,856
Georgia-Pacific Corporation
7.75%, 11/15/29 2,950,000 2,684,500
GTE Corporation
6.94%, 04/15/28 2,800,000 3,189,575
HCA, Inc.
6.30%, 10/01/12 1,500,000 1,536,210
7.58%, 09/15/25 1,000,000 1,044,241
7.05%, 12/01/27 500,000 486,082
Health Care Property
Investment, Inc.
6.00%, 03/01/15 1,500,000 1,558,308
Highwoods Properties, Inc.
7.50%, 04/15/18 1,500,000 1,448,546
Household Finance
Corporation
7.63%, 05/17/32 3,750,000 4,769,299
7.35%, 11/27/32 5,000,000 6,148,815
HVB Funding Trust III
9.00%, 10/22/31 144A 8,300,000 8,706,036
IMC Global, Inc.
7.38%, 08/01/18 500,000 385,000
7.30%, 01/15/28 500,000 367,500
International Paper Co.
6.88%, 11/01/23 300,000 331,124
Kinder Morgan, Inc.
7.25%, 03/01/28 500,000 580,695
May Department Stores Co.
(The)
8.75%, 05/15/29 4,750,000 6,305,093
7.88%, 03/01/30 2,225,000 2,710,584
Midamerican Energy Holdings
Co.
5.88%, 10/01/12 1,000,000 1,098,697
Missouri Pacific Railroad
4.25%, 01/01/05 90,000 92,489
Motorola, Inc.
6.75%, 02/01/06 250,000 273,750
5.80%, 10/15/08 500,000 538,750
7.63%, 11/15/10 500,000 590,000
6.50%, 11/15/28 500,000 510,000
National Rural Utilities
Cooperative Finance
Corporation
8.00%, 03/01/32 9,650,000 12,485,979
Nextel Communications, Inc.
9.38%, 11/15/09 1,000,000 1,078,750
Nisource Finance
6.15%, 03/01/13 1,000,000 1,075,382
Oasis Residential, Inc.
7.25%, 11/15/06 2,000,000 2,246,946
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
Pemex Project Funding Master
Trust
9.13%, 02/01/22 144A $ 1,000,000 $ 1,145,000
Penney (JC) Co., Inc.
7.60%, 04/01/07 250,000 263,750
7.95%, 04/01/17 500,000 497,500
8.25%, 08/15/22 500,000 492,500
7.13%, 11/15/23 500,000 447,500
Phillips Van-Huesen
Corporation
7.75%, 11/15/23 450,000 454,500
Pioneer Natural Resources
Co.
7.20%, 01/15/28 2,500,000 2,740,188
Pioneer Standard
Electronics, Inc.
9.50%, 08/01/06 500,000 570,000
Principal Life Global
Funding I
6.25%, 02/15/12 144A 5,000,000 5,665,580
5.25%, 01/15/13 144A 3,000,000 3,190,755
Prologis Trust
7.63%, 07/01/17 1,000,000 1,178,580
Provident Co.
7.25%, 03/15/28 500,000 494,178
Pulte Homes, Inc.
7.30%, 10/24/05 1,000,000 1,066,105
7.63%, 10/15/17 1,000,000 1,236,096
7.88%, 06/15/32 1,500,000 1,795,842
Raytheon Co.
6.40%, 12/15/18 2,600,000 2,932,470
7.20%, 08/15/27 250,000 292,047
7.00%, 11/01/28 750,000 856,058
Sears Roebuck Acceptance
Corporation
6.75%, 08/15/11 3,300,000 3,730,571
6.75%, 01/15/28 500,000 538,060
6.50%, 12/01/28 1,500,000 1,567,934
Southern California Edison
Co.
7.25%, 03/01/26 500,000 511,875
6.65%, 04/01/29 250,000 234,688
Southern Natural Gas Co.
7.35%, 02/15/31 1,500,000 1,533,750
Sprint Capital Corporation
6.88%, 11/15/28 3,450,000 3,473,605
Swift Energy Co.
9.38%, 05/01/12 250,000 273,125
Tennessee Gas Pipeline Co.
7.00%, 10/15/28 750,000 717,188
Travelers Property Casualty
Corporation
6.38%, 03/15/33 144A 3,430,000 3,761,887
Trinet Corporate Realty
Trust, Inc.
7.70%, 07/15/17 1,000,000 1,037,500
Union Pacific Resources
Group
7.15%, 05/15/28 250,000 298,040
</Table>
See Notes to Financial Statements.
47
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
-------------- ------------
UnumProvident Corporation
6.75%, 12/15/28 $ 1,500,000 $ 1,430,037
Verizon Global Funding
Corporation
7.75%, 12/01/30 6,500,000 8,264,126
Wachovia Bank NA
6.50%, 12/01/28 10,075,000 11,084,443
Weyerhaeuser Co.
7.13%, 07/15/23 500,000 554,748
7.38%, 03/15/32 144A 250,000 287,565
Wisconsin Electric Power
6.88%, 12/01/49 6,295,000 7,461,753
Yellow Corporation
7.00%, 05/01/11 CONV 250,000 201,875
------------
TOTAL CORPORATE BONDS
(Cost $197,205,432) 223,198,652
------------
FOREIGN BONDS -- 17.2%
BRAZIL -- 0.7%
Federal Republic of Brazil
8.00%, 04/15/14 3,447,948 3,042,814
------------
CANADA -- 5.2%
British Columbia Generic
Residual
5.06%, 08/23/13
STRIP(C)(2) 2,500,000 1,107,636
5.14%, 06/09/14
STRIP(C)(2) 11,500,000 4,858,142
5.56%, 09/05/20
STRIP(C)(2) 1,750,000 502,300
Canada Generic Residual
5.13%, 06/01/22
STRIP(C)(2) 7,795,000 2,200,098
5.11%, 06/01/25
STRIP(C)(2) 4,110,000 1,001,222
Canadian Government
3.50%, 06/01/04(C) 525,000 389,224
6.00%, 09/01/05(C) 3,000,000 2,346,701
4.50%, 09/01/07(C) 3,275,000 2,498,280
Macmillan Bloedel, Ltd.
7.70%, 02/15/26 500,000 555,444
Ontario Residual
5.62%, 07/13/22
STRIP(C)(2) 3,900,000 998,859
5.75%, 03/08/29
STRIP(C)(2) 7,000,000 1,202,429
Rogers Cablevision, Ltd.
9.65%, 01/15/14(C) 2,370,000 1,835,823
Saskatchewan Generic
Residual
5.24%, 04/10/14
STRIP(C)(2) 7,500,000 3,160,074
5.81%, 02/04/22
STRIP(C)(2) 3,000,000 760,581
------------
23,416,813
------------
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
CAYMAN ISLANDS -- 0.1%
Enersis SA
7.40%, 12/01/16 $ 625,000 $ 617,155
------------
COLOMBIA -- 0.1%
Transgas de Occidente SA
9.79%, 11/01/10 144A 405,300 418,472
------------
FRANCE -- 1.6%
France Telecom
10.00%, 03/01/31 5,400,000 7,498,623
------------
HONG KONG -- 0.6%
Bangkok Bank Public Co.
9.03%, 03/15/29 144A 2,500,000 2,881,185
------------
ITALY -- 3.0%
Cartesio S.R.L
6.02%, 03/07/33 144A 13,000,000 13,644,540
------------
MALAYSIA -- 0.4%
Telekom Malaysia BHD
7.88%, 08/01/25 144A 225,000 255,230
Tenaga Nasional BHD
7.50%, 11/01/25 144A 1,500,000 1,634,097
------------
1,889,327
------------
MEXICO -- 0.3%
Petroleos Mexicanos
8.63%, 12/01/23 144A 1,000,000 1,147,500
TFM SA de CV
11.75%, 06/15/09 STEP 250,000 255,625
------------
1,403,125
------------
NETHERLANDS -- 1.6%
Deutsche Telekom
International Finance BV
8.75%, 06/15/30 1,680,000 2,148,161
Telefonica Europe BV
8.25%, 09/15/30 3,950,000 5,188,016
------------
7,336,177
------------
NORWAY -- 0.8%
Norway Government
6.75%, 01/15/07(K) 24,000,000 3,640,696
------------
PHILIPPINES -- 0.3%
Bangko Sentral Pilipinas
8.60%, 06/15/27 500,000 462,500
Philippine Long Distance
Telephone Co.
8.35%, 03/06/17 500,000 430,822
Quezon Power (Philippines),
Ltd.
8.86%, 06/15/17 480,000 379,200
------------
1,272,522
------------
SUPRANATIONAL -- 1.6%
European Bank for
Reconstruction &
Development
5.52%, 02/10/28(A)(2) 5,000,000 893,710
</Table>
See Notes to Financial Statements.
48
<Table>
<Caption>
PAR VALUE
-------------- ------------
International Bank for
Reconstruction &
Development
5.13%, 08/20/07(N)(2) $13,625,000 $ 6,466,555
------------
7,360,265
------------
UNITED KINGDOM -- 0.8%
Vodafone Group PLC
7.88%, 02/15/30 3,000,000 3,879,522
------------
VENEZUELA -- 0.1%
Petrozuata Finance, Inc.
8.37%, 10/01/22 144A 450,000 356,625
------------
TOTAL FOREIGN BONDS
(Cost $64,004,976) 78,657,861
------------
MUNICIPAL BONDS -- 3.9%
Chicago, Illinois Board of
Education, General
Obligation Bond (FGIC
Insured) (Non-Callable)
4.99%, 12/01/22(2) 5,700,000 2,189,655
Coppell, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.07%, 08/15/23(2) 2,195,000 806,443
Granbury, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
4.88%, 08/01/20(2) 1,000,000 441,140
Indianapolis, Indiana Local
Public Improvement Bond
Bank, Series E Revenue
Bond (AMBAC Insured)
(Non-Callable)
4.99%, 02/01/22(2) 2,550,000 1,026,222
Lake County, Illinois
Community Consolidated
School District No. 073,
General Obligation Bond
(FGIC Insured) (Non-
Callable)
4.56%, 12/01/17(2) 5,000,000 2,625,600
McHenry & Kane Counties,
Illinois Community
Consolidated School
District No. 158, General
Obligation Bond (FGIC
Insured) (Non-Callable)
3.83%, 01/01/12(2) 3,340,000 2,429,950
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue Bond
(MBIA Insured)
(Non-Callable)
5.08%, 12/15/23(2) 5,850,000 2,109,686
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
Northern Illinois
University, Auxiliary
Facilities System, Revenue
Bond (FGIC Insured)
(Non-Callable)
4.00%, 10/01/13(2) $ 1,225,000 $ 820,554
San Jose, California Unified
School District, Santa
Clara County, Series A
General Obligation Bond
(FGIC Insured)
(Non-Callable)
4.67%, 08/01/18(2) 2,055,000 1,030,583
Union Elementary School
District, California,
Series A General
Obligation Bond (FGIC
Insured) (Non-Callable)
4.79%, 09/01/19(2) 1,750,000 819,490
Washington State, Motor
Vehicle Fuel Tax, Series
03-C General Obligation
Bond, (MBIA Insured)
(Non-Callable)
5.10%, 06/01/23(2) 10,000,000 3,690,199
------------
TOTAL MUNICIPAL BONDS
(Cost $16,933,826) 17,989,522
------------
<Caption>
SHARES
--------------
SHORT-TERM INVESTMENTS -- 8.8%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 2,314,770 2,314,770
Northern Institutional
Liquid Assets Portfolio
sec. 37,915,051 37,915,051
------------
TOTAL SHORT-TERM INVESTMENTS (Cost
$40,229,821) 40,229,821
------------
PREFERRED STOCKS -- 0.7%
EVI, Inc. CONV 16,218 806,846
International Paper Capital
Trust CONV 45,000 2,207,250
------------
TOTAL PREFERRED STOCKS
(Cost $2,919,897) 3,014,096
------------
<Caption>
PAR
--------------
U.S. TREASURY OBLIGATIONS -- 21.7%
U.S. Treasury Bonds
7.25%, 05/15/16 $38,615,000 51,367,024
8.00%, 11/15/21 28,080,000 40,688,594
5.25%, 02/15/29 6,500,000 7,079,670
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $100,117,182) 99,135,288
------------
TOTAL INVESTMENTS -- 106.9%
(Cost $445,023,906) 489,221,979
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (6.9%) (31,546,514)
------------
NET ASSETS -- 100.0% $457,675,465
============
</Table>
See Notes to Financial Statements.
49
EQUITY INDEX FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P 500(R)
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ----------
One Year (0.15%) 0.13% (0.19%) 0.26%
Since Inception (8/27/01 -- 6/30/03) (8.94%) (9.14%) (9.05%) (8.57%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
EQUITY INDEX RETIREMENT CLASS S&P 500(R) INDEX**
----------------------------- ------------------
8/27/01 10000 10000
8/31/01 9585 9570
9/30/01 8817 8796
10/31/01 8985 8964
11/30/01 9666 9652
12/31/01 9745 9736
1/31/02 9589 9594
2/28/02 9378 9409
3/31/02 9726 9764
4/30/02 9116 9171
5/31/02 9041 9103
6/30/02 8428 8455
7/31/02 7757 7796
8/31/02 7801 7847
9/30/02 6955 6994
10/31/02 7569 7609
11/30/02 8046 8057
12/31/02 7544 7584
1/31/03 7348 7386
2/28/03 7240 7275
3/31/03 7322 7347
4/30/03 7917 7952
5/31/03 8321 8372
6/30/03 8415 8478
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the S&P 500(R) Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The S&P 500(R) Index is an unmanaged index (with no defined investment
objective) of common stocks, includes reinvestment of dividends, and is a
registered trademark of McGraw-Hill Co., Inc. The S&P 500(R) Index includes 500
of the largest stocks (in terms of market value) in the United States.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
50
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
------------- ---------- ------------
COMMON STOCK -- 97.1%
AUTO & TRANSPORTATION -- 2.5%
Burlington Northern Santa Fe
Corporation 15,500 $ 440,820
Cooper Tire & Rubber Co. 3,100 54,529
CSX Corporation 8,900 267,801
Dana Corporation 6,200 71,672
Delphi Corporation 23,400 201,942
Delta Air Lines, Inc. 5,100 74,868
FedEx Corporation 12,400 769,172
Ford Motor Co. 76,327 838,834
General Motors Corporation 23,400 842,400
Genuine Parts Co. 7,300 233,673
Goodyear Tire & Rubber Co.
(The) 7,300 38,325
Harley-Davidson, Inc. 12,600 502,236
Navistar International
Corporation* 2,800 91,364
Norfolk Southern Corporation 16,300 312,960
Paccar, Inc. 4,850 327,666
Southwest Airlines Co. 32,500 559,000
Union Pacific Corporation 10,600 615,012
United Parcel Service, Inc.
Class B 46,900 2,987,529
Visteon Corporation 5,418 37,222
------------
9,267,025
------------
CONSUMER DISCRETIONARY -- 12.5%
Alberto-Culver Co. Class B 2,400 122,640
Allied Waste Industries, Inc.* 8,700 87,435
American Greetings Corporation
Class A* 2,700 53,028
AOL Time Warner, Inc.* 187,600 3,018,484
Apollo Group, Inc. Class A* 7,300 450,848
AutoNation, Inc.* 11,700 183,924
AutoZone, Inc.* 3,700 281,089
Avon Products, Inc. 9,800 609,560
Bed Bath & Beyond, Inc.* 12,300 477,363
Best Buy Co., Inc.* 13,450 590,724
Big Lots, Inc.* 4,900 73,696
Black & Decker Corporation 3,200 139,040
Carnival Corporation 26,200 851,762
Cendant Corporation* 42,500 778,600
Cintas Corporation 7,100 251,624
Circuit City Stores, Inc. --
Circuit City Group 8,600 75,680
Clear Channel Communications,
Inc.* 25,600 1,085,184
Convergys Corporation* 6,200 99,200
Costco Wholesale Corporation* 19,000 695,400
Darden Restaurants, Inc. 7,050 133,809
Dillard's, Inc. Class A 3,500 47,145
Dollar General Corporation 13,900 253,814
Donnelley (R.R.) & Sons Co. 4,700 122,858
Eastman Kodak Co. 12,000 328,200
eBay, Inc.* 13,200 1,375,176
Electronic Arts, Inc.* 6,100 451,339
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Family Dollar Stores, Inc. 7,200 $ 274,680
Federated Department Stores,
Inc. 7,800 287,430
Gannett Co., Inc. 11,200 860,272
Gap, Inc. (The) 37,200 697,872
Gillette Co. (The) 42,600 1,357,236
Hasbro, Inc. 7,200 125,928
Hilton Hotels Corporation 15,700 200,803
Home Depot, Inc. (The) 95,850 3,174,552
International Flavors &
Fragrances, Inc. 3,900 124,527
Interpublic Group Cos., Inc. 16,300 218,094
Jones Apparel Group, Inc.* 5,300 155,078
Kimberly-Clark Corporation 21,200 1,105,368
Knight-Ridder, Inc. 3,400 234,362
Kohl's Corporation* 14,100 724,458
Leggett & Platt, Inc. 8,000 164,000
Limited Brands 21,800 337,900
Liz Claiborne, Inc. 4,508 158,907
Lowe's Cos., Inc. 32,500 1,395,875
Marriott International, Inc.
Class A 9,700 372,674
Mattel, Inc. 18,300 346,236
May Department Stores Co.
(The) 12,000 267,120
Maytag Corporation 3,300 80,586
McDonald's Corporation 53,100 1,171,386
McGraw Hill Co., Inc. (The) 8,000 496,000
Meredith Corporation 2,100 92,400
Monster Worldwide, Inc.* 4,700 92,731
New York Times Co. Class A 6,300 286,650
Newell Rubbermaid, Inc. 11,400 319,200
Nike, Inc. Class B 11,000 588,390
Nordstrom, Inc. 5,700 111,264
Office Depot, Inc.* 12,900 187,179
Omnicom Group, Inc. 7,900 566,430
Penney (JC) Co., Inc. 11,200 188,720
RadioShack Corporation 7,000 184,170
Reebok International, Ltd.* 2,500 84,075
Robert Half International,
Inc.* 7,100 134,474
Sabre Holdings Corporation 6,000 147,900
Sears, Roebuck & Co. 12,800 430,592
Snap-On, Inc. 2,400 69,672
Stanley Works (The) 3,600 99,360
Staples, Inc.* 20,300 372,505
Starbucks Corporation* 16,300 399,676
Starwood Hotels & Resorts
Worldwide, Inc. 8,400 240,156
Target Corporation 38,000 1,437,920
Tiffany & Co. 6,100 199,348
TJX Cos., Inc. 21,300 401,292
Toys "R" Us, Inc.* 8,900 107,868
Tribune Co. 12,900 623,070
Tupperware Corporation 2,400 34,464
Univision Communications, Inc.
Class A* 9,600 291,840
</Table>
See Notes to Financial Statements.
51
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
VF Corporation 4,500 $ 152,865
Wal-Mart Stores, Inc. 182,700 9,805,509
Waste Management, Inc. 24,700 595,023
Wendy's International, Inc. 4,700 136,159
Whirlpool Corporation 2,900 184,730
Yahoo!, Inc.* 25,200 825,552
Yum! Brands, Inc.* 12,200 360,632
------------
46,720,782
------------
CONSUMER STAPLES -- 6.3%
Albertson's, Inc. 15,300 293,760
Campbell Soup Co. 17,100 418,950
Clorox Co. 9,000 383,850
Coca-Cola Co. (The) 102,800 4,770,948
Coca-Cola Enterprises, Inc. 18,900 343,035
Colgate-Palmolive Co. 22,400 1,298,080
ConAgra Foods, Inc. 22,400 528,640
CVS Corporation 16,400 459,692
General Mills, Inc. 15,400 730,114
Heinz (H.J.) Co. 14,700 484,806
Hershey Foods Corporation 5,500 383,130
Kellogg Co. 17,000 584,290
Kroger Co.* 31,500 525,420
McCormick & Co., Inc. 5,800 157,760
Pepsi Bottling Group, Inc. 11,400 228,228
PepsiCo, Inc. 71,640 3,187,980
Procter & Gamble Co. 54,000 4,815,720
Safeway, Inc.* 18,400 376,464
Sara Lee Corporation 32,400 609,444
Supervalu, Inc. 5,600 119,392
Sysco Corporation 27,100 814,084
Walgreen Co. 42,800 1,288,280
Winn-Dixie Stores, Inc. 5,900 72,629
Wrigley (W.M.), Jr. Co. 9,400 528,562
------------
23,403,258
------------
FINANCIAL SERVICES -- 21.8%
ACE, Ltd. 11,000 377,190
AFLAC, Inc. 21,400 658,050
Allstate Corporation (The) 29,352 1,046,399
AMBAC Financial Group, Inc. 4,400 291,500
American Express Co. 54,100 2,261,921
American International Group,
Inc. 108,792 6,003,143
AmSouth Bancorporation 14,600 318,864
AON Corporation 13,000 313,040
Apartment Investment &
Management Co. Class A REIT 3,900 134,940
Automatic Data Processing,
Inc. 24,900 843,114
Bank of America Corporation 62,443 4,934,870
Bank of New York Co., Inc.
(The) 32,200 925,750
Bank One Corporation 47,700 1,773,486
BB&T Corporation 19,700 675,710
Bear Stearns Cos., Inc. (The) 4,100 296,922
Block (H&R), Inc. 7,500 324,375
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Capital One Financial
Corporation 9,400 $ 462,292
Charter One Financial, Inc. 9,361 291,876
Chubb Corporation 7,700 462,000
Cigna Corporation 5,800 272,252
Cincinnati Financial
Corporation 6,700 248,503
Citigroup, Inc. 214,730 9,190,444
Comerica, Inc. 7,300 339,450
Concord EFS, Inc.* 20,300 298,816
Countrywide Financial
Corporation 5,427 377,556
Deluxe Corporation 2,300 103,040
Dow Jones & Co., Inc. 3,354 144,323
Equifax, Inc. 5,900 153,400
Equity Office Properties Trust
REIT 16,800 453,768
Equity Residential Properties
Trust REIT 11,400 295,830
Fannie Mae 40,900 2,758,296
Federated Investors, Inc.
Class B 4,500 123,390
Fifth Third Bancorp 23,994 1,375,816
First Data Corporation 31,200 1,292,928
First Tennessee National
Corporation 5,300 232,723
Fiserv, Inc.* 8,100 288,441
FleetBoston Financial
Corporation 43,900 1,304,269
Franklin Resources, Inc. 10,600 414,142
Freddie Mac 28,700 1,457,099
Golden West Financial
Corporation 6,400 512,064
Goldman Sachs Group, Inc. 19,600 1,641,500
Hartford Financial Services
Group, Inc. 11,700 589,212
Huntington Bancshares, Inc. 9,500 185,440
Janus Capital Group, Inc. 10,000 164,000
Jefferson-Pilot Corporation 5,900 244,614
John Hancock Financial
Services, Inc. 12,100 371,833
JP Morgan Chase & Co. 84,690 2,894,704
KeyCorp 17,600 444,752
Lehman Brothers Holdings, Inc. 10,100 671,448
Lincoln National Corporation 7,400 263,662
Loews Corporation 7,700 364,133
Marsh & McLennan Cos., Inc. 22,300 1,138,861
Marshall & Ilsley Corporation 9,500 290,510
MBIA, Inc. 6,000 292,500
MBNA Corporation 53,250 1,109,730
Mellon Financial Corporation 18,000 499,500
Merrill Lynch & Co., Inc. 38,800 1,811,184
MetLife, Inc. 31,700 897,744
MGIC Investment Corporation 4,100 191,224
Moody's Corporation 6,200 326,802
Morgan Stanley 45,400 1,940,850
National City Corporation 25,500 834,105
North Fork Bancorporation,
Inc. 6,500 221,390
Northern Trust Corporation 9,200 384,468
</Table>
See Notes to Financial Statements.
52
<Table>
<Caption>
SHARES VALUE
---------- ------------
Paychex, Inc. 15,700 $ 460,167
Plum Creek Timber Co., Inc.
REIT 7,600 197,220
PNC Financial Services Group,
Inc. 11,800 575,958
Principal Financial Group 13,700 441,825
Progressive Corporation (The) 9,100 665,210
Providian Financial
Corporation* 12,100 112,046
Prudential Financial, Inc. 22,900 770,585
Regions Financial Corporation 9,300 314,154
Ryder System, Inc. 2,600 66,612
Safeco Corporation 5,800 204,624
Schwab (Charles) Corporation
(The) 56,350 568,572
Simon Property Group, Inc.
REIT 7,900 308,337
SLM Corporation 18,900 740,313
SouthTrust Corporation 14,200 386,240
St. Paul Cos., Inc. 9,500 346,845
State Street Corporation 13,900 547,660
Sungard Data Systems, Inc.* 11,900 308,329
SunTrust Banks, Inc. 11,700 694,278
Synovus Financial Corporation 12,700 273,050
T Rowe Price Group, Inc. 5,100 192,525
Torchmark Corporation 4,800 178,800
Travelers Property Casualty
Corporation Class B 42,024 662,718
Union Planters Corporation 8,250 255,998
UnumProvident Corporation 12,000 160,920
US Bancorp 80,100 1,962,450
Wachovia Corporation 56,100 2,241,756
Washington Mutual, Inc. 38,800 1,602,440
Wells Fargo & Co. 69,830 3,519,432
XL Capital, Ltd. Class A 5,700 473,100
Zions Bancorporation 3,800 192,318
------------
81,230,640
------------
HEALTHCARE -- 14.8%
Abbott Laboratories 65,100 2,848,776
Aetna, Inc. 6,300 379,260
Allergan, Inc. 5,400 416,340
AmerisourceBergen Corporation 4,572 317,068
Amgen, Inc.* 52,528 3,489,960
Anthem, Inc.* 5,800 447,470
Bard (C.R.), Inc. 2,200 156,882
Bausch & Lomb, Inc. 2,200 82,500
Baxter International, Inc. 24,900 647,400
Becton Dickinson & Co. 10,600 411,810
Biogen, Inc.* 6,200 235,600
Biomet, Inc. 10,800 309,528
Boston Scientific Corporation* 17,100 1,044,810
Bristol-Myers Squibb Co. 80,900 2,196,435
Cardinal Health, Inc. 18,600 1,195,980
Chiron Corporation* 7,800 341,016
Forest Laboratories, Inc.* 15,100 826,725
Genzyme Corporation -- General
Division* 9,000 376,200
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Guidant Corporation 12,900 $ 572,631
HCA, Inc. 21,300 682,452
Health Management Associates,
Inc. Class A 10,000 184,500
Humana, Inc.* 6,700 101,170
IMS Health, Inc. 10,100 181,699
Johnson & Johnson 123,890 6,405,113
King Pharmaceuticals, Inc.* 10,000 147,600
Lilly (Eli) & Co. 46,900 3,234,693
Manor Care, Inc.* 3,800 95,038
McKesson Corporation 12,100 432,454
Medimmune, Inc.* 10,500 381,885
Medtronic, Inc. 50,900 2,441,673
Merck & Co., Inc. 93,500 5,661,425
Millipore Corporation* 2,000 88,740
Pfizer, Inc. 329,283 11,245,015
Quest Diagnostics, Inc.* 4,400 280,720
Quintiles Transnational
Corporation* 4,900 69,531
Schering-Plough Corporation 61,300 1,140,180
St. Jude Medical, Inc.* 7,500 431,250
Stryker Corporation 8,300 575,771
Tenet Healthcare Corporation* 19,450 226,593
UnitedHealth Group, Inc. 24,700 1,241,175
Watson Pharmaceuticals, Inc.* 4,500 181,665
WellPoint Health Networks,
Inc.* 6,100 514,230
Wyeth 55,400 2,523,470
Zimmer Holdings, Inc.* 8,220 370,311
------------
55,134,744
------------
INTEGRATED OILS -- 4.3%
Amerada Hess Corporation 3,800 186,884
ChevronTexaco Corporation 44,540 3,215,788
Conocophillips 28,350 1,553,580
Exxon Mobil Corporation 278,644 10,006,106
Marathon Oil Corporation 12,907 340,099
Occidental Petroleum
Corporation 15,800 530,090
Unocal Corporation 10,800 309,852
------------
16,142,399
------------
MATERIALS & PROCESSING -- 3.1%
Air Products & Chemicals, Inc. 9,500 395,200
Alcoa, Inc. 35,300 900,150
Allegheny Technologies, Inc. 3,400 22,440
American Standard Cos., Inc.* 3,000 221,790
Archer-Daniels-Midland Co. 26,927 346,550
Ashland, Inc. 2,800 85,904
Avery Dennison Corporation 4,600 230,920
Ball Corporation 2,396 109,042
Bemis Co. 2,200 102,960
Boise Cascade Corporation 2,400 57,360
Dow Chemical Co. (The) 38,200 1,182,672
Du Pont (E.I.) de Nemours &
Co. 41,555 1,730,351
Eastman Chemical Co. 3,200 101,344
Ecolab, Inc. 11,000 281,600
Engelhard Corporation 5,300 131,281
</Table>
See Notes to Financial Statements.
53
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Fluor Corporation 3,400 $ 114,376
Freeport-McMoRan Copper &
Gold, Inc. Class B 6,100 149,450
Georgia-Pacific Corporation 10,400 197,080
Great Lakes Chemical
Corporation 2,100 42,840
Hercules, Inc.* 4,600 45,540
International Paper Co. 20,000 714,600
Louisiana-Pacific Corporation* 4,400 47,696
Masco Corporation 19,900 474,615
McDermott International, Inc.* 2,700 17,091
MeadWestvaco Corporation 8,383 207,060
Monsanto Co. 10,860 235,010
Newmont Mining Corporation 16,800 545,328
Nucor Corporation 3,300 161,205
Pactiv Corporation* 6,700 132,057
Phelps Dodge Corporation* 3,700 141,858
PPG Industries, Inc. 7,100 360,254
Praxair, Inc. 6,740 405,074
Rohm & Haas Co. 9,300 288,579
Sealed Air Corporation* 3,500 166,810
Sherwin-Williams Co. (The) 6,100 163,968
Sigma-Aldrich Corporation 3,000 162,540
Temple-Inland, Inc. 2,300 98,693
United States Steel
Corporation 4,300 70,391
Vulcan Materials Co. 4,200 155,694
Weyerhaeuser Co. 9,100 491,400
Worthington Industries, Inc. 3,600 48,240
------------
11,537,013
------------
OTHER -- 4.3%
3M Co. 16,300 2,102,374
Brunswick Corporation 3,800 95,076
Eaton Corporation 3,100 243,691
General Electric Co. 416,900 11,956,692
Honeywell International, Inc. 35,800 961,230
ITT Industries, Inc. 3,800 248,748
Johnson Controls, Inc. 3,696 316,378
Textron, Inc. 5,600 218,512
------------
16,142,701
------------
OTHER ENERGY -- 1.6%
Anadarko Petroleum Corporation 10,400 462,488
Apache Corporation 6,774 440,716
Baker Hughes, Inc. 14,000 469,980
BJ Services Co.* 6,600 246,576
Burlington Resources, Inc. 8,400 454,188
Calpine Corporation* 15,900 104,940
Devon Energy Corporation 9,600 512,640
Dynegy, Inc. Class A 15,500 65,100
El Paso Corporation 25,000 202,000
EOG Resources, Inc. 4,800 200,832
Halliburton Co. 18,200 418,600
Kerr-McGee Corporation 4,230 189,504
Nabors Industries, Ltd.* 6,100 241,255
Noble Corporation* 5,600 192,080
Rowan Cos., Inc.* 3,900 87,360
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Schlumberger, Ltd. 24,300 $ 1,155,951
Sunoco, Inc. 3,200 120,768
Transocean, Inc.* 13,300 292,201
Williams Cos., Inc. 21,600 170,640
------------
6,027,819
------------
PRODUCER DURABLES -- 4.1%
Agilent Technologies, Inc.* 19,700 385,135
American Power Conversion
Corporation* 8,200 127,838
Andrew Corporation* 4,100 37,720
Applied Materials, Inc.* 69,100 1,095,926
Boeing Co. (The) 35,100 1,204,632
Caterpillar, Inc. 14,400 801,504
Centex Corporation 2,600 202,254
Cooper Industries, Ltd. Class
A 3,900 161,070
Crane Co. 2,500 56,575
Cummins, Inc. 1,700 61,013
Danaher Corporation 6,400 435,520
Deere & Co. 10,000 457,000
Dover Corporation 8,400 251,664
Emerson Electric Co. 17,600 899,360
Goodrich Corporation 4,900 102,900
Grainger (W.W.), Inc. 3,800 177,688
Illinois Tool Works, Inc. 12,800 842,880
Ingersoll-Rand Co. Class A 7,100 335,972
KB HOME 2,000 123,960
KLA-Tencor Corporation* 7,900 367,271
Lexmark International, Inc.* 5,300 375,081
Lockheed Martin Corporation 18,800 894,316
Molex, Inc. 7,950 214,571
Northrop Grumman Corporation 7,678 662,535
Novellus Systems, Inc.* 6,300 230,712
Pall Corporation 5,100 114,750
Parker Hannifin Corporation 4,900 205,751
Pitney Bowes, Inc. 9,800 376,418
Power-One, Inc.* 3,500 25,025
Pulte Homes, Inc. 2,552 157,356
Rockwell Collins, Inc. 7,400 182,262
Tektronix, Inc.* 3,500 75,600
Teradyne, Inc.* 7,700 133,287
Thermo Electron Corporation* 6,710 141,044
Thomas & Betts Corporation* 2,400 34,680
Tyco International, Ltd. 83,284 1,580,730
United Technologies
Corporation 19,500 1,381,185
Waters Corporation* 5,200 151,476
Xerox Corporation* 32,600 345,234
------------
15,409,895
------------
TECHNOLOGY -- 14.3%
ADC Telecommunications, Inc.* 33,500 77,988
Adobe Systems, Inc. 9,700 311,079
Advanced Micro Devices, Inc.* 14,400 92,304
Altera Corporation* 16,000 262,400
Analog Devices, Inc.* 15,200 529,264
Apple Computer, Inc.* 15,300 292,536
</Table>
See Notes to Financial Statements.
54
<Table>
<Caption>
SHARES VALUE
---------- ------------
Applera Corporation-Applied
Biosystems Group 8,700 $ 165,561
Applied Micro Circuits
Corporation* 12,700 76,835
Autodesk, Inc. 4,680 75,629
Avaya, Inc.* 15,948 103,024
BMC Software, Inc.* 9,700 158,401
Broadcom Corporation Class A* 11,700 291,447
CIENA Corporation* 19,700 102,243
Cisco Systems, Inc.* 292,800 4,886,832
Citrix Systems, Inc.* 6,900 140,484
Computer Associates
International, Inc. 24,100 536,948
Computer Sciences Corporation* 7,800 297,336
Compuware Corporation* 15,800 91,166
Comverse Technology, Inc.* 7,900 118,737
Corning, Inc.* 52,800 390,192
Dell Computer Corporation* 107,100 3,422,916
Electronic Data Systems
Corporation 20,000 429,000
EMC Corporation* 91,200 954,864
Gateway, Inc.* 13,500 49,275
General Dynamics Corporation 8,200 594,500
Hewlett-Packard Co. 127,302 2,711,533
Intel Corporation 272,600 5,665,718
International Business
Machines Corporation 72,100 5,948,250
Intuit, Inc.* 8,600 382,958
Jabil Circuit, Inc.* 8,300 183,430
JDS Uniphase Corporation* 59,700 209,547
Linear Technology Corporation 13,100 421,951
LSI Logic Corporation* 15,700 111,156
Lucent Technologies, Inc.* 172,576 350,329
Maxim Integrated Products,
Inc. 13,500 461,565
Mercury Interactive
Corporation* 3,600 138,996
Micron Technology, Inc.* 25,400 295,402
Microsoft Corporation 447,900 11,470,719
Motorola, Inc. 96,600 910,938
National Semiconductor
Corporation* 7,600 149,872
NCR Corporation* 4,000 102,480
Network Appliance, Inc.* 14,200 230,182
Novell, Inc.* 15,400 47,432
Nvidia Corporation* 6,600 151,866
Oracle Corporation* 218,700 2,628,774
Parametric Technology
Corporation* 11,000 33,550
Peoplesoft, Inc.* 13,200 232,188
PerkinElmer, Inc. 5,300 73,193
PMC-Sierra, Inc.* 7,000 82,110
QLogic Corporation* 3,900 188,487
Qualcomm, Inc. 32,900 1,176,175
Raytheon Co. 17,100 561,564
Rockwell Automation, Inc. 7,700 183,568
Sanmina-SCI Corporation* 21,300 134,403
Scientific-Atlanta, Inc. 6,200 147,808
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Siebel Systems, Inc.* 20,400 $ 194,616
Solectron Corporation* 34,600 129,404
Sun Microsystems, Inc.* 134,700 619,620
Symantec Corporation* 6,200 271,932
Symbol Technologies, Inc. 9,650 125,547
Tellabs, Inc.* 17,200 113,004
Texas Instruments, Inc. 72,100 1,268,960
Unisys Corporation* 13,700 168,236
Veritas Software Corporation* 17,275 495,274
Xilinx, Inc.* 14,100 356,871
------------
53,580,569
------------
UTILITIES -- 7.5%
AES Corporation (The)* 25,600 162,560
Allegheny Energy, Inc. 5,200 43,940
Alltel Corporation 13,000 626,860
Ameren Corporation 6,700 295,470
American Electric Power Co.,
Inc. 16,500 492,195
AT&T Corporation 32,785 631,111
AT&T Wireless Services, Inc.* 113,164 929,076
BellSouth Corporation 77,000 2,050,510
Centerpoint Energy, Inc. 12,700 103,505
CenturyTel, Inc. 6,000 209,100
Cinergy Corporation 7,300 268,567
Citizens Communications Co.* 11,800 152,102
CMS Energy Corporation 6,000 48,600
Comcast Corporation Class A* 93,815 2,831,337
Consolidated Edison, Inc. 9,300 402,504
Constellation Energy Group,
Inc. 6,900 236,670
Dominion Resources, Inc. 13,000 835,510
DTE Energy Co. 7,000 270,480
Duke Energy Corporation 37,600 750,120
Edison International* 13,600 223,448
Entergy Corporation 9,452 498,877
Exelon Corporation 13,512 808,153
FirstEnergy Corporation 12,384 476,165
FPL Group, Inc. 7,600 508,060
KeySpan Corporation 6,600 233,970
Kinder Morgan, Inc. 5,100 278,715
Mirant Corporation* 16,831 48,810
Nextel Communications, Inc.
Class A* 42,900 775,632
Nicor, Inc. 1,800 66,798
NiSource, Inc. 11,000 209,000
Peoples Energy Corporation 1,500 64,335
PG&E Corporation* 17,100 361,665
Pinnacle West Capital
Corporation 3,800 142,310
PPL Corporation 7,000 301,000
Progress Energy, Inc. 10,000 439,000
Public Service Enterprise
Group, Inc. 9,400 397,150
Qwest Communications
International, Inc.* 70,700 337,946
SBC Communications, Inc. 138,634 3,542,099
Sempra Energy 8,700 248,211
</Table>
See Notes to Financial Statements.
55
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Southern Co. (The) 30,100 $ 937,916
Sprint Corporation (FON Group) 37,500 540,000
Sprint Corporation (PCS
Group)* 42,700 245,525
TECO Energy, Inc. 7,400 88,726
TXU Corporation 13,400 300,830
Verizon Communications, Inc. 114,734 4,526,255
Xcel Energy, Inc. 16,600 249,664
------------
28,190,477
------------
TOTAL COMMON STOCK
(Cost $379,281,478) 362,787,322
------------
SHORT-TERM INVESTMENTS -- 7.7%
AB Funds Trust -- Money Market
Fund (Affiliated Fund) 9,809,066 9,809,066
Northern Institutional Liquid
Assets Portfolio sec. 19,105,216 19,105,216
------------
TOTAL SHORT-TERM INVESTMENTS (Cost
$28,914,282) 28,914,282
------------
</Table>
<Table>
<Caption>
PAR VALUE
--------- ------------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
1.11%, 07/17/03++++ $ 60,000 $ 59,975
1.13%, 07/17/03++++ 20,000 19,992
1.14%, 07/17/03++++ 635,000 634,730
1.16%, 07/17/03++++ 150,000 149,936
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $864,561) 864,633
------------
TOTAL INVESTMENTS -- 105.0%
(Cost $409,060,321) 392,566,237
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (5.0%) (18,717,324)
------------
NET ASSETS -- 100.0% $373,848,913
============
</Table>
See Notes to Financial Statements.
56
VALUE EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 1000(R) VALUE
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ---------------------
One Year (2.97%) (2.84%) (3.20%) (1.02%)
Since Inception
(8/27/01 -- 6/30/03) (6.21%) (5.58%) (6.06%) (4.83%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
VALUE EQUITY RETIREMENT CLASS RUSSELL 1000(R) VALUE INDEX**
----------------------------- -----------------------------
08/27/01 10000 10000
08/31/01 9711 9702
09/30/01 9027 9019
10/31/01 8948 8942
11/30/01 9408 9462
12/31/01 9621 9684
01/31/02 9529 9609
02/28/02 9535 9625
03/31/02 10031 10080
04/30/02 9747 9735
05/31/02 9734 9783
06/30/02 9157 9222
07/31/02 8273 8364
08/31/02 8366 8427
09/30/02 7382 7490
10/31/02 7807 8045
11/30/02 8306 8552
12/31/02 7950 8181
01/31/03 7782 7983
02/28/03 7514 7770
03/31/03 7528 7783
04/30/03 8138 8468
05/31/03 8755 9015
06/30/03 8885 9128
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Russell 1000(R) Value Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Russell 1000(R) Value Index is a large-cap index consisting of those
Russell 1000(R) index securities with a less-than-average growth orientation.
Companies in this index tend to exhibit lower price-to-book and
price-earnings-ratios, higher dividend yields and lower forecasted growth values
than the growth universe.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
57
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ---------- --------------
COMMON STOCK -- 95.5%
AUTO & TRANSPORTATION -- 2.9%
American Axle &
Manufacturing Holdings,
Inc.* 1,600 $ 38,240
AMR Corporation* 74,200 816,200
ArvinMeritor, Inc. 36,600 738,588
Autoliv, Inc. 6,000 162,480
BorgWarner, Inc. 1,600 103,040
Burlington Northern Santa Fe
Corporation 403,400 11,472,696
CNF, Inc. 2,700 68,526
Continental Airlines, Inc.
Class B* 3,900 58,383
Cooper Tire & Rubber Co. 3,900 68,601
CSX Corporation 13,000 391,170
Dana Corporation 9,100 105,196
Delphi Corporation 960,700 8,290,841
Delta Air Lines, Inc. 7,500 110,100
FedEx Corporation 18,300 1,135,149
Ford Motor Co. 110,895 1,218,736
General Motors Corporation 34,300 1,234,800
Genuine Parts Co. 10,700 342,507
Goodyear Tire & Rubber Co.
(The) 9,400 49,350
Harley-Davidson, Inc. 22,900 912,794
JetBlue Airways Corporation* 350 14,802
Lear Corporation* 4,000 184,080
Navistar International
Corporation* 3,800 123,994
Norfolk Southern Corporation 23,700 455,040
Northwest Airlines
Corporation* 3,300 37,257
Paccar, Inc. 6,700 452,652
Skywest, Inc. 1,200 22,872
Southwest Airlines Co. 23,650 406,780
Swift Transportation Co.,
Inc.* 1,700 31,654
Tidewater, Inc. 17,400 511,038
Union Pacific Corporation 15,400 893,508
Visteon Corporation 84,800 582,576
--------------
31,033,650
--------------
CONSUMER DISCRETIONARY --10.8%
Alberto-Culver Co. Class B 2,000 102,200
Allied Waste Industries,
Inc.* 1,400 14,070
American Eagle Outfitters,
Inc.* 400 7,336
American Greetings
Corporation Class A* 4,000 78,560
AnnTaylor Stores
Corporation* 23,000 665,850
AOL Time Warner, Inc.* 138,400 2,226,856
AutoNation, Inc.* 11,000 172,920
AutoZone, Inc.* 7,100 539,387
Avon Products, Inc. 14,500 901,900
Barnes & Noble, Inc.* 1,900 43,795
Belo Corporation Class A 5,400 120,744
Big Lots, Inc.* 3,200 48,128
Black & Decker Corporation 300 13,035
Blockbuster, Inc. Class A 1,100 18,535
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Borders Group, Inc.* 4,500 $ 79,245
Brink's Co. (The) 3,300 48,081
Brinker International, Inc.* 500 18,010
Callaway Golf Co. 3,200 42,304
Carmax, Inc.* 2,084 62,833
Carnival Corporation 337,600 10,975,376
CBRL Group, Inc. 2,600 101,036
Cendant Corporation* 456,530 8,363,630
Charter Communications, Inc.
Class A* 7,700 30,569
Circuit City Stores,
Inc.-Circuit City Group 11,200 98,560
Claire's Stores, Inc. 5,200 131,872
Clear Channel
Communications, Inc.* 15,625 662,344
Columbia Sportswear Co.* 3,100 159,371
Costco Wholesale
Corporation* 13,700 501,420
Cox Radio, Inc. Class A* 700 16,177
Cumulus Media, Inc. Class A* 900 17,037
Dillard's, Inc. Class A 4,300 57,921
Donnelley (R.R.) & Sons Co. 5,400 141,156
Eastman Kodak Co. 252,400 6,903,140
Electronic Arts, Inc.* 25,800 1,908,942
Emmis Communications
Corporation Class A* 2,000 45,900
Entercom Communications
Corporation* 200 9,802
Entravision Communications
Corporation Class A* 2,700 30,645
Estee Lauder Cos., Inc.
(The) Class A 1,800 60,354
Ethan Allen Interiors, Inc. 900 31,644
Extended Stay America, Inc.* 3,400 45,866
Federated Department Stores,
Inc. 74,500 2,745,325
Foot Locker, Inc. 5,300 70,225
FTI Consulting, Inc.* 40,200 1,003,794
Furniture Brands
International, Inc.* 1,100 28,710
GameStop Corporation* 400 5,168
Gannett Co., Inc. 16,300 1,252,003
Gemstar-TV Guide
International, Inc.* 6,900 35,121
General Motors-Hughes
Electronics Corporation
Class H* 28,100 359,961
Getty Images, Inc.* 300 12,390
Gillette Co. (The) 26,500 844,290
Harte-Hanks, Inc. 950 18,050
Hasbro, Inc. 8,625 150,851
Hearst-Argyle Television,
Inc.* 22,000 569,800
Hilton Hotels Corporation 16,200 207,198
Hispanic Broadcasting
Corporation* 1,200 30,540
IKON Office Solutions, Inc. 44,000 391,600
Interactivecorp 2,461 97,382
</Table>
See Notes to Financial Statements.
58
<Table>
<Caption>
SHARES VALUE
---------- --------------
International Flavors &
Fragrances, Inc. 2,400 $ 76,632
International Speedway
Corporation Class A 900 35,559
Iron Mountain, Inc.* 1,300 48,217
Jones Apparel Group, Inc.* 6,700 196,042
Kimberly-Clark Corporation 15,700 818,598
Knight-Ridder, Inc. 5,100 351,543
La-Z-Boy, Inc. 2,700 60,426
Lamar Advertising Co.* 1,400 49,294
Lee Enterprises, Inc. 2,700 101,331
Leggett & Platt, Inc. 8,200 168,100
Liberty Media Corporation
Class A* 158,800 1,835,728
Limited Brands 15,900 246,450
Lin TV Corporation Class A* 400 9,420
Liz Claiborne, Inc. 6,500 229,125
Manpower, Inc. 1,500 55,635
Marriott International, Inc.
Class A 5,500 211,310
Mattel, Inc. 97,125 1,837,605
May Department Stores Co.
(The) 17,600 391,776
McClatchy Co. Class A 1,100 63,382
McDonald's Corporation 727,500 16,048,650
McGraw Hill Co., Inc. (The) 1,800 111,600
Media General, Inc. Class A 800 45,760
Meredith Corporation 2,200 96,800
Metro-Goldwyn-Mayer, Inc.* 1,400 17,388
Monster Worldwide, Inc.* 1,800 35,514
MSC Industrial Direct Co.,
Inc. Class A* 500 8,950
Neiman-Marcus Group, Inc.
Class A* 2,200 80,520
New York Times Co. Class A 2,600 118,300
Newell Rubbermaid, Inc. 15,500 434,000
Nike, Inc. Class B 1,200 64,188
Nordstrom, Inc. 5,800 113,216
O'Reilly Automotive, Inc.* 300 10,017
Office Depot, Inc.* 142,900 2,073,479
Outback Steakhouse, Inc. 1,800 70,200
Pacific Sunwear of
California, Inc.* 42,800 1,031,052
Penney (JC) Co., Inc. 60,800 1,024,480
Pier 1 Imports, Inc. 3,900 79,560
Polo Ralph Lauren
Corporation 1,900 49,001
Radio One, Inc. Class D* 2,100 37,317
Reader's Digest Association,
Inc. (The) 4,300 57,964
Reebok International, Ltd.* 3,000 100,890
Regal Entertainment Group
Class A 600 14,148
Rent-A-Center, Inc.* 19,775 1,499,143
Republic Services, Inc.* 16,300 369,521
Royal Caribbean Cruises,
Ltd. 45,100 1,044,516
Saks, Inc.* 7,400 71,780
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Scholastic Corporation* 900 $ 26,802
Scripps Co. (E.W.) Class A 200 17,744
Sears, Roebuck & Co. 495,000 16,651,799
Servicemaster Co. 18,500 197,950
Six Flags, Inc.* 5,300 35,934
Snap-On, Inc. 3,600 104,508
Sonic Automotive, Inc.* 600 13,146
Stanley Works (The) 1,500 41,400
Staples, Inc.* 89,007 1,633,278
Starwood Hotels & Resorts
Worldwide, Inc. 6,800 194,412
Talbots, Inc. 100 2,945
Tech Data Corporation* 2,100 56,091
Toys "R" Us, Inc.* 169,700 2,056,764
Tribune Co. 11,900 574,770
Valassis Communications,
Inc.* 3,100 79,732
VeriSign, Inc.* 54,000 746,820
VF Corporation 16,500 560,505
Viad Corporation 1,000 22,390
Washington Post Co. Class B 200 146,580
Waste Management, Inc. 339,757 8,184,746
Wendy's International, Inc. 239,700 6,944,109
West Corporation* 100 2,665
Westwood One, Inc.* 11,900 403,767
Whirlpool Corporation 3,900 248,430
XM Satellite Radio Holdings,
Inc. Class A* 29,500 325,975
Yum! Brands, Inc.* 3,600 106,416
Zale Corporation* 1,400 56,000
--------------
114,248,764
--------------
CONSUMER STAPLES -- 4.1%
Albertson's, Inc. 21,600 414,720
Campbell Soup Co. 75,300 1,844,850
Church and Dwight Co., Inc. 900 29,457
Clorox Co. 4,900 208,985
Coca-Cola Co. (The) 18,500 858,585
Coca-Cola Enterprises, Inc. 900 16,335
Colgate-Palmolive Co. 3,900 226,005
ConAgra Foods, Inc. 467,700 11,037,720
CVS Corporation 24,000 672,720
Dean Foods Co.* 39,450 1,242,675
Dial Corporation (The) 56,500 1,098,925
Fresh Del Monte Produce,
Inc. 27,100 696,199
General Mills, Inc. 14,900 706,409
Heinz (H.J.) Co. 183,000 6,035,340
Hershey Foods Corporation 2,900 202,014
Hormel Foods Corporation 4,600 109,020
Kellogg Co. 28,000 962,360
Kraft Foods, Inc. Class A 12,700 413,385
Kroger Co.* 10,700 178,476
McCormick & Co., Inc. 4,000 108,800
PepsiAmericas, Inc. 4,800 60,288
Performance Food Group Co.* 700 25,900
Procter & Gamble Co. 32,375 2,887,203
Rite Aid Corporation* 14,900 66,305
Safeway, Inc.* 326,600 6,682,236
</Table>
See Notes to Financial Statements.
59
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
Sara Lee Corporation 314,115 $ 5,908,503
Smithfield Foods, Inc.* 6,800 155,856
Supervalu, Inc. 8,200 174,824
Tyson Foods, Inc. Class A 13,781 146,354
Winn-Dixie Stores, Inc. 4,000 49,240
Wrigley (W.M.), Jr. Co. 3,200 179,936
--------------
43,399,625
--------------
FINANCIAL SERVICES -- 30.8%
21st Century Insurance Group 2,000 28,600
ACE, Ltd. 220,600 7,564,374
Advent Software, Inc.* 100 1,691
Affiliated Managers Group,
Inc.* 2,300 140,185
AFLAC, Inc. 16,400 504,300
AG Edwards, Inc 4,900 167,580
Alleghany Corporation* 312 59,592
Alliance Data Systems
Corporation* 900 21,060
Allied Capital Corporation 1,300 30,030
Allmerica Financial
Corporation* 3,200 57,568
Allstate Corporation (The) 383,200 13,661,080
AMB Property Corporation
REIT 5,100 143,667
AMBAC Financial Group, Inc. 4,750 314,688
American Capital Strategies,
Ltd. 28,903 720,841
American Express Co. 27,100 1,133,051
American Financial Group,
Inc. 1,800 41,040
American Financial Realty
Trust REIT 1,500 22,365
American International
Group, Inc. 79,033 4,361,041
American National Insurance
Co. 600 51,836
AmeriCredit Corporation* 2,100 17,955
AmerUs Group Co. 18,800 529,972
AmSouth Bancorporation 70,500 1,539,720
Annaly Mortgage Management,
Inc. REIT 5,700 113,487
AON Corporation 16,600 399,728
Apartment Investment &
Management Co. Class A
REIT 5,000 173,000
Archstone-Smith Trust REIT 10,800 259,200
Arden Realty, Inc. REIT 3,500 90,825
Associated Banc-Corp 4,700 173,336
Astoria Financial
Corporation 4,800 134,064
AvalonBay Communities, Inc.
REIT 3,700 157,768
Bancorpsouth, Inc. 5,000 104,250
Bank of America Corporation 294,024 23,236,717
Bank of Hawaii Corporation 3,900 129,285
Bank of New York Co., Inc.
(The) 29,100 836,625
Bank One Corporation 71,900 2,673,242
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Banknorth Group, Inc. 93,900 $ 2,396,328
BB&T Corporation 29,300 1,004,990
Bear Stearns Cos., Inc.
(The) 17,600 1,274,592
Block (H&R), Inc. 46,500 2,011,125
BOK Financial Corporation* 927 35,754
Boston Properties, Inc. REIT 4,300 188,340
BRE Properties, Inc. Class A
REIT 2,800 92,960
Camden Property Trust REIT 2,200 76,890
Capitol Federal Financial 1,400 39,354
CarrAmerica Realty
Corporation REIT 3,200 88,992
Centerpoint Properties
Corporation REIT 1,400 85,750
Charter One Financial, Inc. 42,008 1,309,809
Checkfree Corporation* 1,900 52,896
Chubb Corporation 9,900 594,000
Cigna Corporation 117,000 5,491,980
Cincinnati Financial
Corporation 8,400 311,556
CIT Group, Inc. 21,100 520,115
Citigroup, Inc. 692,200 29,626,159
Citizens Banking Corporation 2,700 72,279
City National Corporation 2,400 106,944
CNA Financial Corporation* 1,500 36,900
Colonial Bancgroup, Inc. 7,400 102,638
Comerica, Inc. 184,800 8,593,200
Commerce Bancshares, Inc. 3,759 146,413
Compass Bancshares, Inc. 18,500 646,205
Countrywide Financial
Corporation 6,800 473,076
Cousins Properties, Inc.
REIT 2,200 61,380
Crescent Real Estate
Equities Co. REIT 261,000 4,335,210
Cullen Frost Bankers, Inc. 3,100 99,510
D & B Corporation* 950 39,045
Developers Diversified
Realty Corporation REIT 4,400 125,136
Doral Financial Corporation 33,100 1,477,915
Dow Jones & Co., Inc. 1,000 43,030
Downey Financial Corporation 1,300 53,690
Duke Realty Corporation REIT 8,200 225,910
E*TRADE Group, Inc.* 9,200 78,200
Equifax, Inc. 700 18,200
Equity Office Properties
Trust REIT 25,485 688,350
Equity Residential
Properties Trust REIT 16,800 435,960
Erie Indemnity Co. Class A 1,600 66,000
Everest Re Group, Ltd. 22,300 1,705,950
Fannie Mae 37,000 2,495,280
Fidelity National Financial,
Inc. 8,218 252,786
First American Corporation 4,600 121,210
First Industrial Realty
Trust, Inc. REIT 2,400 75,840
First Midwest Bancorp, Inc. 3,000 86,430
</Table>
See Notes to Financial Statements.
60
<Table>
<Caption>
SHARES VALUE
---------- --------------
First Tennessee National
Corporation 61,600 $ 2,704,856
First Virginia Banks, Inc. 4,350 187,572
FirstMerit Corporation 5,200 118,872
FleetBoston Financial
Corporation 513,616 15,259,531
FNB Corporation 2,835 85,787
Franklin Resources, Inc. 10,400 406,328
Freddie Mac 81,400 4,132,678
Fulton Financial Corporation 6,615 131,440
GATX Corporation 2,500 40,875
General Growth Properties,
Inc. REIT 27,800 1,735,832
Global Payments, Inc. 100 3,550
Golden West Financial
Corporation 7,700 616,077
Goldman Sachs Group, Inc. 14,800 1,239,500
Greater Bay Bancorp 2,300 46,966
Greenpoint Financial
Corporation 48,400 2,465,496
Hartford Financial Services
Group, Inc. 322,200 16,225,992
HCC Insurance Holdings, Inc. 3,300 97,581
Health Care Property
Investors, Inc. REIT 3,500 148,225
Hibernia Corporation Class A 9,800 177,968
Highwoods Properties, Inc.
REIT 3,200 71,360
Hospitality Properties Trust
REIT 3,800 118,750
Host Marriott Corporation
REIT* 14,400 131,760
Hudson City Bancorp, Inc. 4,600 117,622
Hudson United Bancorp 2,000 68,300
Huntington Bancshares, Inc. 14,300 279,136
Independence Community Bank
Corporation 3,200 90,304
IndyMac Bancorp, Inc. 29,200 742,264
Instinet Group, Inc. 3,400 15,844
Interactive Data
Corporation* 2,100 35,490
IPC Holdings, Ltd.* 10,100 338,350
iStar Financial, Inc. REIT 3,100 113,150
Janus Capital Group, Inc. 12,900 211,560
Jefferson-Pilot Corporation 8,700 360,702
John Hancock Financial
Services, Inc. 18,000 553,140
JP Morgan Chase & Co. 710,522 24,285,641
KeyCorp 281,550 7,114,769
Kimco Realty Corporation
REIT 5,600 212,240
LaBranche & Co., Inc. 2,600 53,794
Legg Mason, Inc. 1,700 110,415
Lehman Brothers Holdings,
Inc. 14,900 990,552
Leucadia National
Corporation 2,400 89,088
Liberty Property Trust REIT 4,600 159,160
Lincoln National Corporation 10,800 384,804
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Loews Corporation 8,200 $ 387,778
M & T Bank Corporation 6,200 522,164
Mack-Cali Realty Corporation
REIT 2,600 94,588
Markel Corporation* 500 128,000
Marsh & McLennan Cos., Inc. 1,800 91,926
Marshall & Ilsley
Corporation 13,700 418,946
MBIA, Inc. 9,050 441,188
Mellon Financial Corporation 13,900 385,725
Mercantile Bankshares
Corporation 4,300 169,334
Mercury General Corporation 1,600 73,040
Merrill Lynch & Co., Inc. 219,267 10,235,384
MetLife, Inc. 18,200 515,424
MGIC Investment Corporation 135,500 6,319,720
Mony Group, Inc. 2,800 75,460
Morgan Stanley 138,900 5,937,975
National City Corporation 140,600 4,599,026
National Commerce Financial
Corporation 12,600 279,594
Nationwide Financial
Services Class A 1,500 48,750
Neuberger Berman, Inc. 200 7,982
New Plan Excel Realty Trust
REIT 5,800 123,830
New York Community Bancorp,
Inc. 5,866 170,642
North Fork Bancorporation,
Inc. 7,500 255,450
Northern Trust Corporation 6,100 254,919
Old National Bancorp 3,952 90,896
Old Republic International
Corporation 53,600 1,836,872
Park National Corporation 700 79,975
People's Bank 1,500 43,485
Phoenix Cos., Inc. 5,800 52,374
Plum Creek Timber Co., Inc.
REIT 11,262 292,249
PMI Group, Inc. (The) 5,500 147,620
PNC Financial Services
Group, Inc. 17,300 844,413
Popular, Inc. 31,200 1,204,008
Principal Financial Group 17,600 567,600
Progressive Corporation
(The) 4,800 350,880
Prologis Trust REIT 9,789 267,240
Protective Life Corporation 4,200 112,350
Provident Financial Group,
Inc. 1,300 33,319
Providian Financial
Corporation* 46,700 432,442
Prudential Financial, Inc. 34,100 1,147,465
Public Storage, Inc. REIT 6,100 206,607
Radian Group, Inc. 5,500 201,575
Raymond James Financial,
Inc. 2,400 79,320
Reckson Associates Realty
Corporation REIT 3,300 68,838
Regency Centers Corporation
REIT 1,500 52,470
</Table>
See Notes to Financial Statements.
61
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
Regions Financial
Corporation 14,000 $ 472,920
Reinsurance Group of
America, Inc. 1,000 32,100
Roslyn Bancorp, Inc. 36,300 780,087
Rouse Co. REIT 32,200 1,226,820
Ryder System, Inc. 28,000 717,360
Safeco Corporation 8,400 296,352
Silicon Valley Bancshares* 2,200 52,382
Simon Property Group, Inc.
REIT 8,600 335,658
Sky Financial Group, Inc. 4,600 99,912
SLM Corporation 116,100 4,547,637
SouthTrust Corporation 36,977 1,005,774
Sovereign Bancorp, Inc. 15,900 248,835
St. Paul Cos., Inc. 13,700 500,187
Stancorp Financial Group,
Inc. 1,800 93,996
State Street Corporation 6,400 252,160
Student Loan Corporation 200 25,200
SunTrust Banks, Inc. 15,200 901,968
T Rowe Price Group, Inc. 4,300 162,325
TCF Financial Corporation 1,900 75,696
Torchmark Corporation 7,400 275,650
Transatlantic Holdings, Inc. 1,300 89,895
Travelers Property Casualty
Corporation Class B 58,034 915,196
Trizec Properties, Inc. REIT 5,500 62,535
Trustmark Corporation 2,700 68,769
Union Planters Corporation 12,400 384,772
UnionBanCal Corporation 3,100 128,247
United Dominion Realty
Trust, Inc. REIT 6,600 113,652
United Rentals, Inc.* 2,500 34,725
Unitrin, Inc. 2,800 75,936
UnumProvident Corporation 17,600 236,016
US Bancorp 524,326 12,845,987
Valley National Bancorp 5,716 150,617
Vornado Realty Trust REIT 4,400 191,840
W.R. Berkley Corporation 2,550 134,385
Wachovia Corporation 442,950 17,700,282
Washington Federal, Inc. 23,156 535,598
Washington Mutual, Inc. 393,914 16,268,648
Webster Financial
Corporation 2,800 105,840
Weingarten Realty Investors
REIT 2,800 117,320
Wells Fargo & Co. 194,972 9,826,589
Westamerica Bancorporation 1,600 68,928
Whitney Holding Corporation 2,400 76,728
Wilmington Trust Corporation 4,000 117,400
XL Capital, Ltd. Class A 67,300 5,585,900
Zions Bancorporation 5,600 283,416
--------------
327,802,444
--------------
HEALTHCARE -- 5.9%
Abbott Laboratories 58,500 2,559,960
Advanced Medical Optics,
Inc.* 400 6,820
Aetna, Inc. 8,900 535,780
Allergan, Inc. 6,800 524,280
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
AmerisourceBergen
Corporation 1,546 $ 107,215
Anthem, Inc.* 1,631 125,832
Apogent Technologies, Inc.* 2,900 58,000
Bard (C.R.), Inc. 3,200 228,192
Bausch & Lomb, Inc. 3,100 116,250
Baxter International, Inc. 251,800 6,546,800
Beckman Coulter, Inc. 41,700 1,694,688
Becton Dickinson & Co. 13,500 524,475
Bristol-Myers Squibb Co. 363,400 9,866,309
Community Health Systems,
Inc.* 900 17,361
Conventry Health Care, Inc.* 1,200 55,392
DaVita, Inc.* 14,000 374,920
Edwards Lifesciences
Corporation* 1,100 35,354
Genentech, Inc.* 1,300 93,756
Genzyme Corporation --
General Division* 1,700 71,060
Guidant Corporation 45,000 1,997,550
Health Net, Inc.* 224,500 7,397,275
Henry Schein, Inc.* 800 41,872
Human Genome Sciences, Inc.* 3,700 47,064
Humana, Inc.* 9,800 147,980
ICN Pharmaceuticals, Inc. 3,700 62,012
ICOS Corporation* 3,200 117,600
IDEXX Laboratories, Inc.* 4,400 147,576
IMS Health, Inc. 210,400 3,785,096
Invitrogen Corporation* 1,700 65,229
IVAX Corporation* 121,000 2,159,850
Laboratory Corporation of
America Holdings* 19,600 590,940
Lilly (Eli) & Co. 6,000 413,820
Manor Care, Inc.* 3,400 85,034
McKesson Corporation 2,600 92,924
Medicis Pharmaceutical
Corporation Class A* 400 22,680
Merck & Co., Inc. 84,200 5,098,310
Millennium Pharmeceuticals,
Inc.* 7,900 124,267
Mylan Laboratories, Inc. 750 26,078
Omnicare, Inc. 2,200 74,338
Orthodontic Centers of
America, Inc.* 200 1,602
Pfizer, Inc. 23,100 788,865
Quintiles Transnational
Corporation* 3,600 51,084
Renal Care Group, Inc.* 800 28,168
Ribapharm, Inc.* 300 1,935
Schering-Plough Corporation 254,600 4,735,560
SICOR, Inc.* 500 10,170
Steris Corporation* 200 4,618
Tenet Healthcare
Corporation* 531,500 6,191,975
Triad Hospitals, Inc.* 2,100 52,122
Vertex Pharmaceuticals,
Inc.* 4,400 64,240
Watson Pharmaceuticals,
Inc.* 7,500 302,775
</Table>
See Notes to Financial Statements.
62
<Table>
<Caption>
SHARES VALUE
---------- --------------
WebMD Corporation* 8,700 $ 94,221
Wyeth 83,500 3,803,425
--------------
62,170,699
--------------
INTEGRATED OILS -- 8.4%
Amerada Hess Corporation 51,800 2,547,524
BP PLC ADR 211,268 8,877,481
ChevronTexaco Corporation 335,398 24,215,736
Conocophillips 463,488 25,399,142
Exxon Mobil Corporation 415,000 14,902,650
Marathon Oil Corporation 114,600 3,019,710
Murphy Oil Corporation 1,000 52,600
Occidental Petroleum
Corporation 279,700 9,383,935
Unocal Corporation 15,800 453,302
--------------
88,852,080
--------------
MATERIALS & PROCESSING -- 5.9%
Air Products & Chemicals,
Inc. 13,900 578,240
AK Steel Holding
Corporation* 5,800 20,996
Albemarle Corporation 1,700 47,549
Alcoa, Inc. 275,100 7,015,050
Allegheny Technologies, Inc. 4,900 32,340
American Standard Cos.,
Inc.* 600 44,358
Aptargroup, Inc. 2,200 79,200
Archer-Daniels-Midland Co. 34,889 449,021
Ashland, Inc. 4,200 128,856
Avery Dennison Corporation 1,700 85,340
Ball Corporation 2,700 122,877
Bemis Co. 3,100 145,080
Boise Cascade Corporation 3,100 74,090
Bowater, Inc. 3,200 119,840
Cabot Corporation 3,300 94,710
Catellus Development
Corporation* 1,100 24,200
Dow Chemical Co. (The) 222,482 6,888,043
Du Pont (E.I.) de Nemours &
Co. 60,800 2,531,712
Eastman Chemical Co. 161,400 5,111,538
Energizer Holdings, Inc.* 4,500 141,300
Engelhard Corporation 7,900 195,683
Fluor Corporation 4,200 141,288
Forest City Enterprises,
Inc. Class A 1,400 58,030
Georgia-Pacific Corporation 359,371 6,810,080
Harsco Corporation 2,500 90,125
Hercules, Inc.* 5,000 49,500
IMC Global, Inc. 6,600 44,286
International Paper Co. 228,200 8,153,586
Jacobs Engineering Group,
Inc.* 800 33,720
Lafarge North America, Inc. 1,900 58,710
Lubrizol Corporation 3,100 96,069
Lyondell Chemical Co. 227,200 3,074,016
Martin Marietta Materials,
Inc. 3,000 100,830
Masco Corporation 16,000 381,600
MeadWestvaco Corporation 12,247 302,501
Monsanto Co. 507,900 10,990,957
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Newmont Mining Corporation 2,200 $ 71,412
Nucor Corporation 4,800 234,480
OM Group, Inc. 1,500 22,095
Owens-Illinois, Inc.* 19,000 261,630
Packaging Corporation of
America* 3,600 66,348
Pactiv Corporation* 9,700 191,187
Phelps Dodge Corporation* 5,100 195,534
PPG Industries, Inc. 10,300 522,622
Praxair, Inc. 10,000 601,000
Precision Castparts
Corporation 3,200 99,520
Rayonier, Inc. 2,550 84,150
Rohm & Haas Co. 9,600 297,888
RPM International, Inc. 49,700 683,375
Scotts Co. (The) Class A* 900 44,550
Sealed Air Corporation* 500 23,830
Shaw Group, Inc. (The)* 900 10,845
Sherwin-Williams Co. (The) 44,300 1,190,784
Sigma-Aldrich Corporation 18,700 1,013,166
Smurfit-Stone Container
Corporation* 10,600 138,118
Sonoco Products Co. 5,900 141,718
Temple-Inland, Inc. 2,900 124,439
Timken Co. 4,200 73,542
United States Steel
Corporation 88,000 1,440,560
Valspar Corporation 2,100 88,662
Vulcan Materials Co. 5,500 203,885
Weyerhaeuser Co. 13,400 723,600
York International
Corporation 2,400 56,160
--------------
62,920,421
--------------
OTHER -- 0.6%
3M Co. 24,400 3,147,112
Brunswick Corporation 5,500 137,610
Eaton Corporation 4,300 338,023
Hillenbrand Industries, Inc. 9,700 489,365
Honeywell International,
Inc. 45,600 1,224,360
ITT Industries, Inc. 5,100 333,846
Johnson Controls, Inc. 5,400 462,240
Lancaster Colony Corporation 1,700 65,722
SPX Corporation* 2,800 123,368
Teleflex, Inc. 1,600 68,080
Textron, Inc. 7,200 280,944
Wesco Financial Corporation 100 31,200
--------------
6,701,870
--------------
OTHER ENERGY -- 2.6%
Anadarko Petroleum
Corporation 26,800 1,191,796
Apache Corporation 58,261 3,790,461
Baker Hughes, Inc. 48,000 1,611,360
Burlington Resources, Inc. 34,700 1,876,229
Calpine Corporation* 15,100 99,660
Cimarex Energy Co.* 1,294 30,733
Consol Energy, Inc. 12,600 286,524
Cooper Cameron Corporation* 200 10,076
Devon Energy Corporation 10,219 545,695
</Table>
See Notes to Financial Statements.
63
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
Diamond Offshore Drilling,
Inc. 1,200 $ 25,188
Dynegy, Inc. Class A 16,500 69,300
El Paso Corporation 172,372 1,392,766
ENSCO International, Inc. 1,600 43,040
EOG Resources, Inc. 7,100 297,064
Equitable Resources, Inc. 3,900 158,886
FMC Technologies, Inc.* 3,035 63,887
Forest Oil Corporation* 900 22,608
Halliburton Co. 13,300 305,900
Helmerich & Payne, Inc. 3,100 90,520
Kerr-McGee Corporation 14,300 640,640
National-Oilwell, Inc.* 1,800 39,600
Newfield Exploration Co.* 1,300 48,815
Noble Energy, Inc. 1,500 56,700
Patterson-UTI Energy, Inc.* 200 6,480
Peabody Energy Corporation 1,400 47,026
Pioneer Natural Resources
Co.* 5,900 153,990
Pogo Producing Co. 3,000 128,250
Premcor, Inc.* 1,500 32,325
Pride International, Inc.* 96,300 1,812,366
Reliant Resources, Inc.* 276,673 1,696,005
Rowan Cos., Inc.* 2,400 53,760
Sunoco, Inc. 39,400 1,486,956
Texas Genco Holdings, Inc. 700 16,275
Transocean, Inc.* 287,300 6,311,980
Valero Energy Corporation 62,000 2,252,460
Varco International, Inc.* 1,800 35,280
Williams Cos., Inc. 26,900 212,510
XTO Energy, Inc. 9,566 192,372
--------------
27,135,483
--------------
PRODUCER DURABLES -- 5.9%
AGCO Corporation* 2,200 37,576
Agilent Technologies, Inc.* 14,900 291,295
American Power Conversion
Corporation* 8,700 135,633
Andrew Corporation* 6,000 55,200
Boeing Co. (The) 334,500 11,480,040
Caterpillar, Inc. 21,000 1,168,860
Centex Corporation 3,700 287,823
Clayton Homes, Inc. 5,600 70,280
Crane Co. 3,100 70,153
Cummins, Inc. 2,100 75,369
Deere & Co. 14,600 667,220
Diebold, Inc. 4,400 190,300
Donaldson Co., Inc. 800 35,560
Dover Corporation 12,400 371,504
DR Horton, Inc. 5,900 165,790
Emerson Electric Co. 199,900 10,214,890
Flowserve Corporation* 400 7,868
Goodrich Corporation 6,600 138,600
Grainger (W.W.), Inc. 4,800 224,448
HON Industries, Inc. 3,200 97,600
Hubbell, Inc. Class B 7,700 254,870
Illinois Tool Works, Inc. 115,900 7,632,015
KB HOME 8,500 526,830
Lennar Corporation Class A 3,000 214,500
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Lennar Corporation Class B 300 $ 20,610
Lexmark International, Inc.* 29,400 2,080,638
Lockheed Martin Corporation 17,900 851,503
MKS Instruments, Inc.* 100 1,807
Molex, Inc. 1,200 32,388
Northrop Grumman Corporation 51,035 4,403,810
Novellus Systems, Inc.* 1,000 36,621
NVR, Inc.* 1,300 534,300
Pall Corporation 6,500 146,250
Parker Hannifin Corporation 7,200 302,328
Pentair, Inc. 3,000 117,180
Pitney Bowes, Inc. 5,800 222,778
Polycom, Inc.* 1,500 20,790
Pulte Homes, Inc. 3,000 184,980
Rockwell Collins, Inc. 10,100 248,763
Ryland Group, Inc. 1,600 111,040
Steelcase, Inc. Class A 1,800 21,168
Tektronix, Inc.* 3,900 84,240
Teradyne, Inc.* 2,400 41,544
Thermo Electron Corporation* 7,100 149,242
Toll Brothers, Inc.* 2,800 79,268
Tyco International, Ltd. 383,100 7,271,238
United Defense Industries,
Inc.* 12,900 334,626
United Technologies
Corporation 147,450 10,443,884
Xerox Corporation* 44,100 467,019
--------------
62,622,239
--------------
TECHNOLOGY -- 4.7%
3Com Corporation* 21,800 102,024
Acxiom Corporation* 1,400 21,126
Adaptec, Inc.* 3,300 25,674
ADC Telecommunications,
Inc.* 28,800 67,046
Advanced Fibre
Communications, Inc.* 2,400 39,048
Advanced Micro Devices,
Inc.* 14,400 92,304
Agere Systems, Inc. Class B* 44,950 103,385
Amkor Technology, Inc.* 2,000 26,280
Apple Computer, Inc.* 21,800 416,816
Applera Corporation-Applied
Biosystems Group 800 15,224
Applied Micro Circuits
Corporation* 9,200 55,660
Arrow Electronics, Inc.* 4,700 71,628
Atmel Corporation* 7,400 18,722
Autodesk, Inc. 5,100 82,416
Avaya, Inc.* 20,300 131,138
Avnet, Inc.* 6,900 87,492
AVX Corporation 3,200 35,168
BMC Software, Inc.* 6,700 109,411
Broadcom Corporation Class
A* 5,700 141,987
Ceridian Corporation* 1,900 32,243
CIENA Corporation* 12,991 67,423
Citrix Systems, Inc.* 1,300 26,468
Computer Associates
International, Inc. 60,700 1,352,396
</Table>
See Notes to Financial Statements.
64
<Table>
<Caption>
SHARES VALUE
---------- --------------
Computer Sciences
Corporation* 140,000 $ 5,336,800
Compuware Corporation* 11,400 65,778
Comverse Technology, Inc.* 66,900 1,005,507
Conexant Systems, Inc.* 7,900 32,390
Corning, Inc.* 237,500 1,755,125
Cypress Semiconductor
Corporation* 1,700 20,400
Electronic Data Systems
Corporation 80,100 1,718,145
EMC Corporation* 100,000 1,047,000
Emulex Corporation* 1,000 22,770
Fairchild Semicoductor
International, Inc.* 400 5,116
Gateway, Inc.* 10,800 39,420
General Dynamics Corporation 8,500 616,250
Harris Corporation 1,800 54,090
Hewlett-Packard Co. 739,450 15,750,285
Ingram Micro, Inc. Class A* 20,100 221,100
Integrated Device
Technology, Inc.* 17,800 196,690
International Business
Machines Corporation 65,700 5,420,250
International Rectifier
Corporation* 15,200 407,664
Intersil Corporation Class
A* 2,600 69,186
Jabil Circuit, Inc.* 800 17,680
JDS Uniphase Corporation* 41,400 145,314
Juniper Networks, Inc.* 2,400 29,688
Kemet Corporation* 5,300 53,530
L-3 Communications Holdings,
Inc.* 21,300 926,337
LSI Logic Corporation* 11,300 80,004
Lucent Technologies, Inc.* 239,300 485,779
Macromedia, Inc.* 800 16,832
McData Corporation Class A* 13,500 198,045
Micron Technology, Inc.* 64,200 746,646
Mindspeed Technologies Inc. 2,633 7,110
Motorola, Inc. 47,500 447,925
National Semiconductor
Corporation* 1,700 33,524
NCR Corporation* 5,100 130,662
PanAmSat Corporation* 900 16,587
PerkinElmer, Inc. 4,100 56,621
Perot Systems Corporation
Class A* 200 2,272
Raytheon Co. 90,100 2,958,884
RealNetworks, Inc.* 900 6,102
Rockwell Automation, Inc. 10,000 238,400
Sanmina-SCI Corporation* 14,876 93,868
Scientific-Atlanta, Inc. 9,600 228,864
Seagate Technology, Inc.*+ 4,600 0
Solectron Corporation* 25,200 94,248
Storage Technology
Corporation* 5,300 136,422
Sun Microsystems, Inc.* 102,300 470,580
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Sybase, Inc.* 3,000 $ 41,730
Symbol Technologies, Inc. 7,000 91,070
Tellabs, Inc.* 13,800 90,666
Texas Instruments, Inc. 231,100 4,067,360
Titan Corporation* 500 5,145
Unisys Corporation* 16,300 200,164
Veritas Software
Corporation* 43,188 1,238,200
Vishay Intertechnology,
Inc.* 7,600 100,320
Zebra Technologies
Corporation Class A* 100 7,519
--------------
50,369,143
--------------
UTILITIES -- 12.9%
AES Corporation (The)* 16,000 101,600
Allegheny Energy, Inc. 7,700 65,065
Allete, Inc. 4,700 124,785
Alliant Energy Corporation 5,500 104,665
Alltel Corporation 60,800 2,931,776
Ameren Corporation 9,800 432,180
American Electric Power Co.,
Inc. 212,800 6,347,824
Aquila, Inc. 11,882 30,656
AT&T Corporation 46,660 898,205
AT&T Wireless Services,
Inc.* 68,500 562,385
BellSouth Corporation 482,700 12,854,301
Cablevision Systems
Corporation Class A* 8,275 171,789
Centerpoint Energy, Inc. 344,700 2,809,305
CenturyTel, Inc. 63,200 2,202,520
Cinergy Corporation 10,700 393,653
Citizens Communications Co.* 9,200 118,588
CMS Energy Corporation 8,300 67,230
Comcast Corporation Class A* 368,863 11,132,285
Consolidated Edison, Inc. 13,700 592,936
Constellation Energy Group,
Inc. 24,700 847,210
Cox Communications, Inc.
Class A* 12,000 382,800
Dominion Resources, Inc. 18,719 1,203,070
DPL, Inc. 7,700 122,738
DTE Energy Co. 9,900 382,536
Duke Energy Corporation 54,400 1,085,280
Edison International* 19,900 326,957
Energy East Corporation 8,800 182,688
Entergy Corporation 191,800 10,123,204
Exelon Corporation 94,087 5,627,343
FirstEnergy Corporation 301,112 11,577,756
FPL Group, Inc. 10,800 721,980
Great Plains Energy, Inc. 4,200 121,296
Hawaiian Electric Industries 2,200 100,870
Idacorp, Inc. 2,300 60,375
IDT Corporation* 3,000 53,700
KeySpan Corporation 93,500 3,314,575
Kinder Morgan, Inc. 10,300 562,895
MDU Resources Group, Inc. 18,400 616,216
Mirant Corporation* 20,688 59,995
National Fuel Gas Co. 4,400 114,620
</Table>
See Notes to Financial Statements.
65
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
Nicor, Inc. 2,700 $ 100,197
NiSource, Inc. 16,000 304,000
Northeast Utilities 305,000 5,105,700
NSTAR 3,200 145,760
OGE Energy Corporation 4,800 102,576
Oneok, Inc. 83,100 1,631,253
Peoples Energy Corporation 2,200 94,358
Pepco Holdings, Inc. 32,798 628,410
PG&E Corporation* 80,100 1,694,115
Philadelphia Suburban
Corporation 3,500 85,330
Pinnacle West Capital
Corporation 5,100 190,995
PPL Corporation 155,400 6,682,200
Progress Energy, Inc.+ 14,500 636,550
Progress Energy, Inc.
Contingent Value
Obligation* 3,100 1,209
Public Service Enterprise
Group, Inc. 75,100 3,172,975
Puget Energy, Inc. 5,700 136,059
Questar Corporation 37,300 1,248,431
Qwest Communications
International, Inc.* 41,600 198,848
SBC Communications, Inc. 204,400 5,222,420
SCANA Corporation 6,800 233,104
Sempra Energy 25,000 713,250
Southern Co. (The) 43,000 1,339,880
Sprint Corporation (FON
Group) 197,400 2,842,560
TECO Energy, Inc. 45,000 539,550
Telephone & Data Systems,
Inc. 3,200 159,040
TXU Corporation 128,300 2,880,335
UnitedGlobalCom, Inc. Class
A* 4,200 21,714
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
US Cellular Corporation* 1,000 $ 25,450
Vectren Corporation 4,100 102,705
Verizon Communications, Inc. 542,024 21,382,847
Wisconsin Energy Corporation 7,100 205,900
Xcel Energy, Inc. 24,240 364,570
--------------
137,722,143
--------------
TOTAL COMMON STOCK
(Cost $1,017,719,648) 1,014,978,561
--------------
SHORT-TERM INVESTMENTS -- 11.1%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 43,993,591 43,993,591
Northern Institutional
Liquid Assets Portfolio
sec. 74,211,756 74,211,756
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $118,205,347) 118,205,347
--------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.4%
U.S. Treasury Bills
1.14%, 07/17/03++++ $ 130,000 129,945
1.16%, 07/17/03++++ 3,810,000 3,808,382
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $3,938,004) 3,938,327
--------------
TOTAL INVESTMENTS -- 107.0%
(Cost $1,139,862,999) 1,137,122,235
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (7.0%) (74,569,186)
--------------
NET ASSETS -- 100.0% $1,062,553,049
==============
</Table>
See Notes to Financial Statements.
66
GROWTH EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 1000(R) GROWTH
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ----------------------
One Year 1.34% 1.38% 1.13% 2.94%
Since Inception
(8/27/01 -- 6/30/03) (11.04%) (10.92%) (11.22%) (11.31%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
GROWTH EQUITY RETIREMENT CLASS RUSSELL 1000(R) GROWTH INDEX**
------------------------------ ------------------------------
08/27/01 10000 10000
08/31/01 9492 9481
09/30/01 8506 8535
10/31/01 8945 8982
11/30/01 9837 9845
12/31/01 9812 9827
01/31/02 9642 9653
02/28/02 9266 9253
03/31/02 9642 9573
04/30/02 8858 8791
05/31/02 8619 8579
06/30/02 7954 7785
07/31/02 7345 7357
08/31/02 7351 7379
09/30/02 6566 6614
10/31/02 7207 7220
11/30/02 7646 7613
12/31/02 7050 7087
01/31/03 6874 6915
02/28/03 6861 6883
03/31/03 7043 7011
04/30/03 7577 7529
05/31/03 7966 7905
06/30/03 8060 8014
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Russell 1000(R) Growth Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Russell 1000(R) Growth Index is a large-cap index consisting of those
Russell 1000(R) Index securities with greater-than-average growth orientation.
Companies in this index tend to exhibit higher price-to-book and
price-earnings-ratios, lower dividend yields and higher forecasted growth values
than the value universe.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
67
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ---------- --------------
COMMON STOCK -- 94.2%
AUTO & TRANSPORTATION -- 2.5%
ArvinMeritor, Inc. 200 $ 4,036
C.H. Robinson Worldwide,
Inc. 2,700 96,012
Expeditors International of
Washington, Inc. 3,800 131,632
Gentex Corporation* 3,000 91,830
Harley-Davidson, Inc. 132,700 5,289,422
JetBlue Airways Corporation* 50 2,115
Polaris Industries, Inc. 900 55,260
Ryanair Holdings PLC ADR* 88,400 3,969,160
Skywest, Inc. 1,400 26,684
Southwest Airlines Co. 606,000 10,423,200
Swift Transportation Co.,
Inc.* 1,400 26,068
Tidewater, Inc. 1,100 32,307
United Parcel Service, Inc.
Class B 150,600 9,593,220
--------------
29,740,946
--------------
CONSUMER DISCRETIONARY --15.3%
99 Cents Only Stores* 1,700 58,344
Activision, Inc.* 3,300 42,636
Advance Auto Parts* 600 36,540
Alberto-Culver Co. Class B 100 5,110
Allied Waste Industries,
Inc.* 4,700 47,235
Amazon.com, Inc.* 501,900 18,314,330
American Eagle Outfitters,
Inc.* 1,900 34,846
AMN Healthcare Services,
Inc.* 500 6,350
AOL Time Warner, Inc.* 81,200 1,306,508
Apollo Group, Inc. Class A* 81,275 5,019,544
Applebee's International,
Inc. 2,200 69,146
Aramark Corporation Class B* 1,200 26,904
AutoZone, Inc.* 2,500 189,925
Barnes & Noble, Inc.* 500 11,525
BearingPoint, Inc.* 6,900 66,585
Bed Bath & Beyond, Inc.* 167,500 6,500,675
Best Buy Co., Inc.* 10,300 452,376
Big Lots, Inc.* 2,600 39,104
BJ's Wholesale Club, Inc.* 2,900 43,674
Black & Decker Corporation 3,100 134,695
Blockbuster, Inc. Class A 500 8,425
Borders Group, Inc.* 300 5,283
Brinker International, Inc.* 126,200 4,545,724
Callaway Golf Co. 700 9,254
Career Education
Corporation* 1,800 123,156
Carmax, Inc.* 2,745 82,762
Catalina Marketing
Corporation* 1,500 26,475
CBRL Group, Inc. 300 11,658
CDW Corporation* 2,400 109,920
CEC Entertainment, Inc.* 1,000 36,930
Cheesecake Factory (The)* 2,000 71,780
Chico's FAS, Inc.* 2,900 61,045
ChoicePoint, Inc.* 3,433 118,507
Cintas Corporation 4,800 170,112
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Circuit City Stores, Inc.-
Circuit City Group 1,000 $ 8,800
Clear Channel
Communications, Inc.* 10,425 441,916
Coach, Inc.* 3,600 179,064
Columbia Sportswear Co.* 500 25,705
Convergys Corporation* 6,000 96,000
Copart, Inc.* 2,700 25,515
Costco Wholesale
Corporation* 114,300 4,183,380
Cox Radio, Inc. Class A* 900 20,799
Cumulus Media, Inc. Class A* 600 11,358
Darden Restaurants, Inc. 6,950 131,911
DeVry, Inc.* 2,300 53,567
Dollar General Corporation 11,343 207,123
Dollar Tree Stores, Inc.* 155,050 4,919,737
Donnelley (R.R.) & Sons Co. 600 15,684
eBay, Inc.* 165,878 17,281,170
EchoStar Communications
Corporation Class A* 144,200 4,992,204
Education Management
Corporation* 1,000 53,180
Electronic Arts, Inc.* 24,800 1,834,952
Emmis Communications
Corporation Class A* 100 2,295
Entercom Communications
Corporation* 1,300 63,713
Estee Lauder Cos., Inc.
(The) Class A 3,100 103,943
Ethan Allen Interiors, Inc. 700 24,612
Expedia, Inc.* 800 61,104
Extended Stay America, Inc.* 700 9,443
Family Dollar Stores, Inc. 6,400 244,160
Fastenal Co. 2,400 81,456
Fisher Scientific
International, Inc.* 2,200 76,780
Foot Locker, Inc. 2,100 27,825
Furniture Brands
International, Inc.* 1,300 33,930
GameStop Corporation* 500 6,460
Gap, Inc. (The) 24,700 463,372
Gemstar-TV Guide
International, Inc.* 4,500 22,905
General Motors-Hughes
Electronics Corporation
Class H* 20,000 256,200
Getty Images, Inc.* 1,000 41,300
Gillette Co. (The) 125,000 3,982,500
Harman International
Industries, Inc. 1,000 79,140
Harte-Hanks, Inc. 1,850 35,150
Hilton Hotels Corporation 2,700 34,533
Hispanic Broadcasting
Corporation* 1,600 40,720
Home Depot, Inc. (The) 223,550 7,403,976
InterActiveCorp* 8,201 324,514
</Table>
See Notes to Financial Statements.
68
<Table>
<Caption>
SHARES VALUE
---------- --------------
International Flavors &
Fragrances, Inc. 1,300 $ 41,509
International Speedway
Corporation Class A 600 23,706
Interpublic Group Cos., Inc. 15,328 205,089
Iron Mountain, Inc.* 1,650 61,199
Jones Apparel Group, Inc.* 400 11,704
Kimberly-Clark Corporation 50,500 2,633,070
Kohl's Corporation* 85,400 4,387,852
Krispy Kreme Doughnuts,
Inc.* 1,800 74,124
La-Z-Boy, Inc. 100 2,238
Lamar Advertising Co.* 2,000 70,420
Leggett & Platt, Inc. 2,500 51,250
Limited Brands 6,610 102,455
Lin TV Corporation Class A* 400 9,420
Lowe's Cos., Inc. 153,900 6,610,005
Manpower, Inc. 2,000 74,180
Marriott International, Inc.
Class A 4,100 157,522
Mattel, Inc. 222,700 4,213,484
Maytag Corporation 3,100 75,702
McGraw Hill Co., Inc. (The) 6,600 409,200
Meredith Corporation 200 8,800
Metro-Goldwyn-Mayer, Inc.* 900 11,178
Michael's Stores, Inc.* 2,700 102,762
Mohawk Industries, Inc.* 2,100 116,613
Monster Worldwide, Inc.* 2,100 41,433
MSC Industrial Direct Co.,
Inc. Class A* 700 12,530
New York Times Co. Class A 3,700 168,350
Newell Rubbermaid, Inc. 500 14,000
Nike, Inc. Class B 22,100 1,182,129
O'Reilly Automotive, Inc.* 1,400 46,746
Omnicom Group, Inc. 7,500 537,750
Outback Steakhouse, Inc. 1,200 46,800
Petco Animal Supplies, Inc.* 600 13,044
PETsMART, Inc.* 5,700 95,019
Pier 1 Imports, Inc. 1,200 24,480
Pixar, Inc.* 164,700 10,020,348
Radio One, Inc. Class D* 1,600 28,432
RadioShack Corporation 7,000 184,170
Reader's Digest Association,
Inc. (The) 1,100 14,828
Regal Entertainment Group
Class A 300 7,074
Rent-A-Center, Inc.* 1,300 98,553
Robert Half International,
Inc.* 6,200 117,428
Ross Stores, Inc. 3,200 136,768
Ruby Tuesday, Inc. 2,600 64,298
Sabre Holdings Corporation 5,800 142,970
Scholastic Corporation* 600 17,868
Scripps Co. (E.W.) Class A 1,100 97,592
Sonic Automotive, Inc.* 700 15,337
Stanley Works (The) 1,800 49,680
Staples, Inc.* 18,700 343,145
Starbucks Corporation* 195,500 4,793,660
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Starwood Hotels & Resorts
Worldwide, Inc. 3,500 $ 100,065
Talbots, Inc. 900 26,505
Target Corporation 36,400 1,377,376
Tech Data Corporation* 600 16,026
Tiffany & Co. 4,500 147,060
Timberland Co. Class A* 700 37,002
TJX Cos., Inc. 21,700 408,828
Tribune Co. 90,000 4,347,000
University of Phoenix
Online* 633 32,093
Univision Communications,
Inc. Class A* 6,100 185,440
VeriSign, Inc.* 4,490 62,097
Viad Corporation 2,900 64,931
Wal-Mart Stores, Inc. 682,900 36,651,242
Waste Management, Inc. 4,500 108,405
Weight Watchers
International, Inc.* 50,400 2,292,696
Wendy's International, Inc. 2,800 81,116
West Corporation* 700 18,655
Westwood One, Inc.* 3,100 105,183
Wiley (John) & Sons, Inc.
Class A 1,900 49,780
Williams-Sonoma, Inc.* 3,600 105,120
Yahoo!, Inc.* 476,244 15,601,753
Yum! Brands, Inc.* 9,500 280,820
Zale Corporation* 300 12,000
--------------
185,568,286
--------------
CONSUMER STAPLES -- 7.7%
Church and Dwight Co., Inc. 900 29,457
Clorox Co. 3,100 132,215
Coca-Cola Co. (The) 209,300 9,713,613
Coca-Cola Enterprises, Inc. 203,000 3,684,450
Colgate-Palmolive Co. 285,000 16,515,750
Dial Corporation (The) 2,000 38,900
General Mills, Inc. 10,500 497,805
Heinz (H.J.) Co. 6,800 224,264
Hershey Foods Corporation 1,900 132,354
Kellogg Co. 5,100 175,287
Kraft Foods, Inc. Class A 3,000 97,650
Kroger Co.* 23,300 388,644
McCormick & Co., Inc. 2,900 78,880
Pepsi Bottling Group, Inc. 7,000 140,140
PepsiCo, Inc. 425,980 18,956,110
Performance Food Group Co.* 1,300 48,100
Procter & Gamble Co. 150,900 13,457,262
Rite Aid Corporation* 6,400 28,480
Safeway, Inc.* 7,200 147,312
Sara Lee Corporation 15,700 295,317
Sysco Corporation 306,600 9,210,264
Tootsie Roll Industries,
Inc. 1,048 31,954
Walgreen Co. 628,500 18,917,850
Whole Foods Market, Inc.* 2,100 99,813
Wrigley (W.M.), Jr. Co. 4,400 247,412
--------------
93,289,283
--------------
</Table>
See Notes to Financial Statements.
69
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
FINANCIAL SERVICES -- 12.6%
Accenture, Ltd. Class A* 200,000 $ 3,618,000
Advent Software, Inc.* 1,200 20,292
Affiliated Computer
Services, Inc. Class A* 51,300 2,345,949
Affiliated Managers Group,
Inc.* 700 42,665
AFLAC, Inc. 368,100 11,319,075
Alliance Data Systems
Corporation* 1,900 44,460
Allied Capital Corporation 3,500 80,850
AMBAC Financial Group, Inc. 200 13,250
American Express Co. 29,500 1,233,395
American International
Group, Inc. 203,800 11,245,683
AmeriCredit Corporation* 4,800 41,040
Arthur J. Gallagher & Co. 3,500 95,200
Automatic Data Processing,
Inc. 74,900 2,536,114
Bank of New York Co., Inc.
(The) 10,100 290,375
BISYS Group, Inc. (The)* 4,400 80,828
Block (H&R), Inc. 7,400 320,050
Brown & Brown, Inc. 1,900 61,750
Capital One Financial
Corporation 8,300 408,194
Certegy, Inc.* 2,350 65,213
Checkfree Corporation* 1,200 33,408
Citigroup, Inc. 153,300 6,561,240
Commerce Bancorp, Inc. 2,300 85,330
Concord EFS, Inc.* 20,500 301,760
Countrywide Financial
Corporation 68,400 4,758,588
D & B Corporation* 2,400 98,640
Deluxe Corporation 2,300 103,040
Doral Financial Corporation 1,750 78,138
Dow Jones & Co., Inc. 1,300 55,939
DST Systems, Inc.* 4,800 182,400
E*TRADE Group, Inc.* 5,300 45,050
Eaton Vance Corporation 2,400 75,840
Equifax, Inc. 5,400 140,400
Fair Isaac & Co., Inc. 1,900 97,755
Fannie Mae 98,400 6,636,096
Federated Investors, Inc.
Class B 3,250 89,115
Fifth Third Bancorp 56,750 3,254,045
First Data Corporation 30,700 1,272,208
Fiserv, Inc.* 7,725 275,087
Franklin Resources, Inc. 110,000 4,297,700
Freddie Mac 65,500 3,325,435
Global Payments, Inc. 1,400 49,700
Goldman Sachs Group, Inc. 80,200 6,716,750
Greater Bay Bancorp 300 6,126
Hartford Financial Services
Group, Inc. 44,300 2,230,948
HCC Insurance Holdings, Inc. 400 11,828
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Henry (Jack) & Associates,
Inc. 2,700 $ 48,033
Hudson United Bancorp 500 17,075
Investment Technology Group,
Inc.* 1,950 36,270
Investors Financial Services
Corporation 2,600 75,426
Janus Capital Group, Inc. 1,100 18,040
LaBranche & Co., Inc. 200 4,138
Legg Mason, Inc. 1,500 97,425
Marsh & McLennan Cos., Inc. 90,800 4,637,156
MBNA Corporation 42,650 888,826
Mellon Financial Corporation 8,600 238,650
Merrill Lynch & Co., Inc. 25,000 1,167,000
Moody's Corporation 5,200 274,092
National Processing, Inc.* 300 4,824
Neuberger Berman, Inc. 2,100 83,811
New York Community Bancorp,
Inc. 1,866 54,282
North Fork Bancorporation,
Inc. 1,700 57,902
Northern Trust Corporation 3,900 162,981
Nuveen Investments, Inc.
Class A 900 24,516
Paychex, Inc. 93,225 2,732,425
Progressive Corporation
(The) 523,995 38,304,034
Provident Financial Group,
Inc. 800 20,504
Providian Financial
Corporation* 4,200 38,892
Radian Group, Inc. 60,200 2,206,330
Rouse Co. REIT 500 19,050
Schwab (Charles) Corporation
(The) 740,076 7,467,367
SEI Investments Co. 3,000 96,000
Silicon Valley Bancshares* 100 2,381
SLM Corporation 286,200 11,210,454
State Street Corporation 8,800 346,720
Sungard Data Systems, Inc.* 11,300 292,783
Synovus Financial
Corporation 11,900 255,850
T Rowe Price Group, Inc. 1,400 52,850
TCF Financial Corporation 1,700 67,728
Total System Services, Inc. 1,500 33,450
United Rentals, Inc.* 400 5,556
Waddell & Reed Financial,
Inc. Class A 2,900 74,443
Wells Fargo & Co. 89,800 4,525,920
Westamerica Bancorporation 300 12,924
Willis Group Holdings, Ltd. 86,700 2,666,025
--------------
152,967,082
--------------
HEALTHCARE -- 23.5%
Abbott Laboratories 137,600 6,021,376
Accredo Health, Inc.* 1,750 38,150
Advanced Medical Optics,
Inc.* 955 16,283
AdvancePCS* 3,000 114,690
Affymetrix, Inc.* 2,000 39,420
Allergan, Inc. 5,400 416,340
AmerisourceBergen
Corporation 3,455 239,604
</Table>
See Notes to Financial Statements.
70
<Table>
<Caption>
SHARES VALUE
---------- --------------
Amgen, Inc.* 601,836 $ 39,985,983
Andrx Corporation* 2,500 49,750
Anthem, Inc.* 4,580 353,347
Apogent Technologies, Inc.* 2,200 44,000
Baxter International, Inc. 24,100 626,600
Beckman Coulter, Inc. 2,300 93,472
Becton Dickinson & Co. 1,500 58,275
Biogen, Inc.* 6,000 228,000
Biomet, Inc. 10,800 309,528
Boston Scientific
Corporation* 95,300 5,822,830
Bristol-Myers Squibb Co. 28,900 784,635
Cardinal Health, Inc. 96,500 6,204,950
Caremark Rx, Inc.* 9,700 249,096
Celgene Corporation* 3,200 97,280
Cephalon, Inc.* 1,900 78,204
Cerner Corporation* 1,100 25,245
Charles River Laboratories
International, Inc.* 1,800 57,924
Chiron Corporation* 3,700 161,764
Community Health Systems,
Inc.* 1,400 27,006
Conventry Health Care, Inc.* 700 32,312
Cytyc Corporation* 4,700 49,444
DaVita, Inc.* 2,200 58,916
Dentsply International, Inc. 2,800 114,520
Diagnostic Products
Corporation 900 36,945
Edwards Lifesciences
Corporation* 1,700 54,638
Express Scripts, Inc.* 2,500 170,800
First Health Group
Corporation* 3,800 104,880
Forest Laboratories, Inc.* 12,900 706,275
Genentech, Inc.* 376,280 27,137,313
Genzyme Corporation-
General Division* 6,700 280,060
Gilead Sciences, Inc.* 71,700 3,985,086
Guidant Corporation 12,300 545,997
HCA, Inc. 19,800 634,392
Health Management
Associates, Inc. Class A 9,700 178,965
Health Net, Inc.* 800 26,360
Henry Schein, Inc.* 1,100 57,574
Human Genome Sciences, Inc.* 2,400 30,528
ICN Pharmaceuticals, Inc. 900 15,084
Idec Pharmaceuticals
Corporation* 4,500 153,000
IMS Health, Inc. 10,100 181,699
Invitrogen Corporation* 900 34,533
IVAX Corporation* 6,050 107,993
Johnson & Johnson 425,792 22,013,445
King Pharmaceuticals, Inc.* 9,966 147,098
Laboratory Corporation of
America Holdings* 5,700 171,855
LifePoint Hospitals, Inc.* 1,600 33,504
Lilly (Eli) & Co. 171,600 11,835,252
Lincare Holdings, Inc.* 4,300 135,493
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Manor Care, Inc.* 1,600 $ 40,016
McKesson Corporation 9,259 330,917
Medicis Pharmaceutical
Corporation Class A* 900 51,030
Medimmune, Inc.* 208,875 7,596,784
Medtronic, Inc. 347,646 16,676,579
Merck & Co., Inc. 299,700 18,146,835
Mid Atlantic Medical
Services, Inc.* 1,900 99,370
Millennium Pharmeceuticals,
Inc.* 6,773 106,539
Millipore Corporation* 1,900 84,303
Mylan Laboratories, Inc. 7,050 245,129
Omnicare, Inc. 1,800 60,822
Orthodontic Centers of
America, Inc.* 1,700 13,617
Oxford Health Plans, Inc.* 3,300 138,699
Patterson Dental Co.* 2,000 90,760
Pfizer, Inc. 1,565,310 53,455,336
Pharmaceutical Product
Development, Inc.* 1,900 54,587
Quest Diagnostics, Inc.* 3,200 204,160
Quintiles Transnational
Corporation* 2,400 34,056
Renal Care Group, Inc.* 1,500 52,815
Ribapharm, Inc.* 800 5,160
Schering-Plough Corporation 23,500 437,100
SICOR, Inc.* 2,700 54,918
St. Jude Medical, Inc.* 107,400 6,175,500
Steris Corporation* 2,600 60,034
Stryker Corporation 40,400 2,802,548
Tenet Healthcare
Corporation* 19,650 228,923
Teva Pharmaceutical
Industries, Ltd. ADR 244,300 13,907,999
Triad Hospitals, Inc.* 1,500 37,230
UnitedHealth Group, Inc. 167,000 8,391,750
Universal Health Services,
Inc. Class B* 2,000 79,240
Varian Medical Systems,
Inc.* 2,700 155,439
Watson Pharmaceuticals,
Inc.* 1,500 60,555
WebMD Corporation* 5,700 61,731
WellPoint Health Networks,
Inc.* 70,800 5,968,440
Wyeth 353,200 16,088,260
Zimmer Holdings, Inc.* 7,750 349,138
--------------
283,524,032
--------------
INTEGRATED OILS -- 0.9%
Amerada Hess Corporation 1,400 68,852
BP PLC ADR 75,000 3,151,500
ChevronTexaco Corporation 25,000 1,805,000
Exxon Mobil Corporation 157,100 5,641,461
Murphy Oil Corporation 2,300 120,980
--------------
10,787,793
--------------
</Table>
See Notes to Financial Statements.
71
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
MATERIALS & PROCESSING -- 0.6%
Alcoa, Inc. 5,000 $ 127,500
American Standard Cos.,
Inc.* 2,100 155,253
Avery Dennison Corporation 2,800 140,560
Ball Corporation 500 22,755
Cabot Corporation 300 8,610
Catellus Development
Corporation* 2,600 57,200
Ecolab, Inc. 10,400 266,240
Energizer Holdings, Inc.* 400 12,560
Fluor Corporation 500 16,820
Freeport-McMoRan Copper &
Gold, Inc. Class B 2,900 71,050
Jacobs Engineering Group,
Inc.* 1,400 59,010
Masco Corporation 8,900 212,265
Newmont Mining Corporation 13,000 421,980
OM Group, Inc. 100 1,473
Praxair, Inc. 97,500 5,859,750
Scotts Co. (The) Class A* 200 9,900
Sealed Air Corporation* 3,100 147,746
Shaw Group, Inc. (The)* 900 10,845
Sigma-Aldrich Corporation 500 27,090
St. Joe Co. (The) 1,100 34,320
Valspar Corporation 600 25,332
Vulcan Materials Co. 200 7,414
--------------
7,695,673
--------------
OTHER -- 4.0%
3M Co. 52,900 6,823,042
General Electric Co. 1,426,100 40,900,548
Honeywell International,
Inc. 2,900 77,865
ITT Industries, Inc. 300 19,638
SPX Corporation* 1,200 52,872
Teleflex, Inc. 400 17,020
--------------
47,890,985
--------------
OTHER ENERGY -- 2.2%
Anadarko Petroleum
Corporation 4,600 204,562
Baker Hughes, Inc. 202,700 6,804,639
BJ Services Co.* 101,300 3,784,568
Burlington Resources, Inc. 1,700 91,919
Calpine Corporation* 4,300 28,380
Cimarex Energy Co.* 800 19,000
Consol Energy, Inc. 800 18,192
Cooper Cameron Corporation* 1,700 85,646
Devon Energy Corporation 2,070 110,538
Diamond Offshore Drilling,
Inc. 1,400 29,386
ENSCO International, Inc. 4,900 131,810
EOG Resources, Inc. 52,500 2,196,600
FMC Technologies, Inc.* 300 6,315
Forest Oil Corporation* 600 15,072
Grant Prideco, Inc.* 3,900 45,825
Halliburton Co. 8,700 200,100
Nabors Industries, Ltd.* 203,500 8,048,425
National-Oilwell, Inc.* 2,100 46,200
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Newfield Exploration Co.* 1,200 $ 45,060
Noble Corporation* 100,000 3,430,000
Noble Energy, Inc. 1,300 49,140
Patterson-UTI Energy, Inc.* 2,700 87,480
Pioneer Natural Resources
Co.* 800 20,880
Pogo Producing Co. 300 12,825
Pride International, Inc.* 2,200 41,404
Rowan Cos., Inc.* 2,200 49,280
Schlumberger, Ltd. 21,500 1,022,755
Smith International, Inc.* 4,100 150,634
Texas Genco Holdings, Inc. 100 2,325
Varco International, Inc.* 1,900 37,240
Williams Cos., Inc. 1,520 12,008
XTO Energy, Inc. 500 10,055
--------------
26,838,263
--------------
PRODUCER DURABLES -- 4.2%
AGCO Corporation* 1,600 27,328
Agilent Technologies, Inc.* 8,823 172,490
Alliant Techsystems, Inc.* 1,300 67,483
American Power Conversion
Corporation* 900 14,031
Applied Materials, Inc.* 1,120,250 17,767,165
Boeing Co. (The) 20,500 703,560
Cymer, Inc.* 1,400 44,184
Danaher Corporation 4,500 306,225
Donaldson Co., Inc. 1,000 44,450
DR Horton, Inc. 800 22,480
Flowserve Corporation* 2,000 39,340
Graco, Inc. 1,900 60,800
Herman Miller, Inc. 3,100 62,651
HON Industries, Inc. 300 9,150
IIIinois Tool Works, Inc. 4,200 276,570
KLA-Tencor Corporation* 7,600 353,324
Lam Research Corporation* 5,100 92,871
Lennar Corporation Class A 100 7,150
Lennar Corporation Class B 10 687
Lexmark International, Inc.* 5,200 368,004
Lockheed Martin Corporation 193,700 9,214,309
Mettler Toledo
International, Inc.* 1,400 51,310
MKS Instruments, Inc.* 900 16,263
Molex, Inc. 4,450 120,106
Nokia Corporation ADR 473,800 7,784,534
Northrop Grumman Corporation 25,000 2,157,250
Novellus Systems, Inc.* 5,400 197,753
NVR, Inc.* 200 82,200
Pall Corporation 300 6,750
Pitney Bowes, Inc. 5,800 222,778
Polycom, Inc.* 3,000 41,580
Rockwell Collins, Inc. 700 17,241
Tektronix, Inc.* 600 12,960
Teradyne, Inc.* 5,800 100,398
Thermo Electron Corporation* 1,900 39,938
</Table>
See Notes to Financial Statements.
72
<Table>
<Caption>
SHARES VALUE
---------- --------------
United Technologies
Corporation 137,000 $ 9,703,710
Waters Corporation* 5,000 145,650
--------------
50,354,673
--------------
TECHNOLOGY -- 19.4%
Acxiom Corporation* 2,200 33,198
Adaptec, Inc.* 2,100 16,338
ADC Telecommunications,
Inc.* 13,000 30,264
Adobe Systems, Inc. 9,600 307,872
Advanced Fibre
Communications, Inc.* 1,700 27,659
Advanced Micro Devices,
Inc.* 4,300 27,563
Agere Systems, Inc. Class B* 36,200 83,260
Altera Corporation* 15,400 252,560
Amkor Technology, Inc.* 2,200 28,908
Amphenol Corporation Class
A* 800 37,456
Analog Devices, Inc.* 14,700 511,854
Applera Corporation-Applied
Biosystems Group 8,000 152,240
Applied Micro Circuits
Corporation* 6,000 36,300
Arrow Electronics, Inc.* 1,000 15,240
Atmel Corporation* 11,500 29,095
Autodesk, Inc. 1,300 21,008
Avaya, Inc.* 1,983 12,810
BEA Systems, Inc.* 14,500 157,470
BMC Software, Inc.* 5,400 88,182
Broadcom Corporation Class
A* 4,000 99,640
Brocade Communications
Systems, Inc.* 10,300 60,667
Cadence Design Systems,
Inc.* 10,600 127,836
Ceridian Corporation* 4,700 79,759
CIENA Corporation* 8,718 45,246
Cisco Systems, Inc.* 1,728,400 28,846,996
Citrix Systems, Inc.* 6,000 122,160
Computer Associates
International, Inc. 2,200 49,016
Computer Sciences
Corporation* 700 26,684
Compuware Corporation* 5,900 34,043
Comverse Technology, Inc.* 3,800 57,114
Conexant Systems, Inc.* 5,200 21,320
Corning, Inc.* 22,100 163,319
CSG Systems International,
Inc.* 2,100 29,673
Cypress Semiconductor
Corporation* 3,800 45,600
Dell Computer Corporation* 984,300 31,458,228
Edwards (J.D.) & Co.* 4,000 57,320
Electronic Data Systems
Corporation 16,200 347,490
EMC Corporation* 50,000 523,500
Emulex Corporation* 2,600 59,202
Fairchild Semicoductor
International, Inc.* 4,300 54,997
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
General Dynamics Corporation 1,700 $ 123,250
Harris Corporation 1,300 39,065
Ingram Micro, Inc. Class A* 900 9,900
Integrated Circuit Systems,
Inc.* 1,900 59,717
Integrated Device
Technology, Inc.* 2,200 24,310
Intel Corporation 1,186,140 24,652,734
International Business
Machines Corporation 31,800 2,623,500
International Rectifier
Corporation* 2,200 59,004
Intersil Corporation Class
A* 3,100 82,491
Intuit, Inc.* 7,600 338,428
Jabil Circuit, Inc.* 5,700 125,970
JDS Uniphase Corporation* 27,180 95,402
Juniper Networks, Inc.* 11,400 141,018
L-3 Communications Holdings,
Inc.* 2,800 121,772
Linear Technology
Corporation 12,700 409,067
LSI Logic Corporation* 7,400 52,392
Macromedia, Inc.* 2,000 42,080
Maxim Integrated Products,
Inc. 538,959 18,427,008
Mercury Interactive
Corporation* 3,100 119,691
Micrel, Inc.* 2,500 25,975
Microchip Technology, Inc. 8,012 197,336
Micron Technology, Inc.* 11,100 129,093
Microsoft Corporation 1,991,500 51,002,315
Mindspeed Technologies,
Inc.* 1,733 4,680
Motorola, Inc. 60,021 565,998
National Instruments
Corporation* 1,200 45,336
National Semiconductor
Corporation* 6,100 120,292
Network Appliance, Inc.* 1,128,000 18,284,880
Network Associates, Inc.* 6,200 78,616
Nvidia Corporation* 5,400 124,254
Oracle Corporation* 480,300 5,773,206
PanAmSat Corporation* 600 11,058
Peoplesoft, Inc.* 11,000 193,490
PerkinElmer, Inc. 1,800 24,858
Perot Systems Corporation
Class A* 2,600 29,536
PMC-Sierra, Inc.* 6,700 78,591
QLogic Corporation* 3,500 169,155
Qualcomm, Inc. 282,500 10,099,375
RealNetworks, Inc.* 3,000 20,340
Reynolds & Reynolds Co.
(The) Class A 2,600 74,256
RF Micro Devices, Inc.* 6,300 37,926
Sanmina-SCI Corporation* 11,308 71,353
Seagate Technology, Inc.*+ 5,600 0
Semtech Corporation* 2,500 35,600
Siebel Systems, Inc.* 992,540 9,468,832
</Table>
See Notes to Financial Statements.
73
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- --------------
Solectron Corporation* 16,500 $ 61,710
Storage Technology
Corporation* 800 20,592
Sun Microsystems, Inc.* 63,200 290,720
Sybase, Inc.* 1,700 23,647
Symantec Corporation* 5,800 254,388
Symbol Technologies, Inc. 4,600 59,846
Synopsys, Inc.* 3,000 185,550
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADR* 277,776 2,799,982
Tellabs, Inc.* 7,400 48,618
Texas Instruments, Inc. 69,600 1,224,960
Titan Corporation* 2,600 26,754
Unisys Corporation* 2,200 27,016
Utstarcom, Inc.* 72,800 2,589,496
Veritas Software
Corporation* 114,125 3,271,964
Vishay Intertechnology,
Inc.* 1,400 18,480
Xilinx, Inc.* 622,400 15,752,944
Zebra Technologies
Corporation Class A* 900 67,671
--------------
235,116,575
--------------
UTILITIES -- 1.3%
AES Corporation (The)* 7,000 44,450
Amdocs, Ltd.* 184,700 4,432,801
AT&T Wireless Services,
Inc.* 44,935 368,916
Citizens Communications Co.* 5,300 68,317
Comcast Corporation Class A* 5,200 156,936
Cox Communications, Inc.
Class A* 400 12,760
Kinder Morgan, Inc. 2,200 120,230
Level 3 Communications,
Inc.* 14,700 97,608
Mirant Corporation* 2,600 7,540
Nextel Communications, Inc.
Class A* 30,300 547,824
Qwest Communications
International, Inc.* 27,257 130,288
SBC Communications, Inc. 125,000 3,193,750
</Table>
<Table>
<Caption>
SHARES VALUE
---------- --------------
Sprint Corporation (PCS
Group)* 507,700 $ 2,919,275
UnitedGlobalCom, Inc. Class
A* 200 1,034
Vodafone Group PLC ADR 210,000 4,126,500
--------------
16,228,229
--------------
TOTAL COMMON STOCK
(Cost $1,175,596,500) 1,140,001,820
--------------
SHORT-TERM INVESTMENTS -- 11.1%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 67,313,126 67,313,126
Northern Institutional
Liquid Assets Portfolio
sec. 67,428,296 67,428,296
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $137,741,422) 134,741,422
--------------
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
1.00%, 07/17/03++++ $ 100,000 99,958
1.15%, 07/17/03++++ 3,805,000 3,803,384
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $3,903,021) 3,903,342
--------------
<Caption>
SHARES
----------
WARRANTS -- 0.0%
TECHNOLOGY
Orbital Sciences
Corporation, Strike Price
$4.82, 8/31/04*
(Cost $0) 328 1,105
--------------
TOTAL INVESTMENTS -- 105.6%
(Cost $1,314,240,943) 1,278,647,689
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (5.6%) (68,575,991)
--------------
NET ASSETS -- 100.0% $1,210,071,698
==============
</Table>
See Notes to Financial Statements.
74
SMALL CAP EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 2000(R)
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ---------------
One Year (3.83%) (3.74%) (4.07%) (1.64%)
Since Inception (8/27/01 -- 6/30/03) (4.31%) (4.08%) (4.48%) (2.33%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
SMALL CAP RETIREMENT CLASS RUSSELL 2000(R) INDEX**
-------------------------- -----------------------
08/27/01 10000.00 10000.00
8/31/01 9770.00 9748.00
09/30/01 8317.00 8436.00
10/31/01 8845.00 8929.00
11/30/01 9541.00 9621.00
12/31/01 10084.00 10214.00
01/31/02 10000.00 10108.00
02/28/02 9656.00 9831.00
03/31/02 10543.00 10621.00
04/30/02 10497.00 10718.00
05/31/02 10122.00 10242.00
06/30/02 9587.00 9734.00
07/31/02 8125.00 8264.00
08/31/02 8148.00 8243.00
09/30/02 7445.00 7651.00
10/31/02 7682.00 7896.00
11/30/02 8363.00 8601.00
12/31/02 7842.00 8122.00
1/31/03 7636.00 7897.00
2/28/03 7429.00 7659.00
3/31/03 7506.00 7757.00
4/30/03 8233.00 8493.00
5/31/03 9021.00 9404.00
6/30/03 9220.00 9574.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Russell 2000(R) Index.
**These returns reflect expense waivers by the Fund's investment advisor.
Without these waivers, returns would have been lower. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
**The Russell 2000(R) Index is a small-cap equity index comprised of the 2,000
smallest companies in the Russell 3000(R) Index, which represents approximately
8% of the total market capitalization of the Russell 3000(R) Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
75
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 SHARES VALUE
- ------------- ---------- ------------
COMMON STOCK -- 93.4%
AUTO & TRANSPORTATION -- 4.0%
AAR Corporation 2,000 $ 14,120
Airborne, Inc. 3,800 79,420
Airtran Holdings, Inc.* 13,200 138,204
Alaska Air Group, Inc.* 1,900 40,755
Alexander & Baldwin, Inc. 16,000 424,480
American Axle & Manufacturing 14,000 334,600
Holdings, Inc.*
Arctic Cat, Inc. 700 13,412
Arkansas Best Corporation 11,500 273,585
ArvinMeritor, Inc. 4,600 92,828
ATA Holdings Corporation* 200 1,518
Atlas Air Worldwide Holdings, 1,200 1,764
Inc.*
Autoliv, Inc. 36,700 993,836
Aviall, Inc.* 1,600 18,192
Bandag, Inc. 800 29,816
BorgWarner, Inc. 7,200 463,680
CNF, Inc. 19,200 487,296
Coachmen Industries, Inc. 1,100 13,145
Collins & Aikman Corporation* 1,100 3,245
Covenant Transport, Inc. Class 500 8,500
A*
Dana Corporation 11,700 135,252
Decoma International, Inc.* 21,100 181,059
Dura Automotive Systems, Inc. 27,500 269,775
Class A*
EGL, Inc.* 2,000 30,400
ExpressJet Holdings, Inc.* 53,500 807,850
Fleetwood Enterprises, Inc.* 2,800 20,720
Florida East Coast, Inc. 1,800 45,990
Frontier Airlines, Inc.* 500 4,540
Genesee & Wyoming, Inc. Class 600 12,342
A*
Gentex Corporation* 16,200 495,882
Gulfmark Offshore, Inc.* 32,100 541,848
Heartland Express, Inc.* 1,100 24,475
Hunt (J.B.) Transport 11,600 437,900
Services, Inc.*
IMPCO Technologies, Inc.* 1,000 6,160
Kansas City Southern* 4,800 57,744
Keystone Automotive 700 12,782
Industries, Inc.*
Kirby Corporation* 7,897 222,695
Lear Corporation* 8,100 372,762
Mesaba Holdings, Inc.* 800 4,936
Midwest Express Holdings, 1,000 2,620
Inc.*
Modine Manufacturing Co. 2,300 44,551
Monaco Coach Corporation* 600 9,198
Offshore Logistics, Inc.* 13,600 295,800
Old Dominion Freight Line, 9,350 202,147
Inc.*
OMI Corporation* 55,600 342,496
Oshkosh Truck Corporation 500 29,660
Overseas Shipholding Group, 11,900 261,919
Inc.
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
P.A.M Transportation Services, 19,600 $ 492,352
Inc.*
Pacer International, Inc.* 27,500 518,650
Petroleum Helicopters, Inc.* 200 6,310
RailAmerica, Inc.* 2,200 18,590
Raytech Corporation* 3,300 14,025
Roadway Corporation 12,500 356,625
Sauer-Danfoss, Inc. 800 8,600
SCS Transportation, Inc.* 750 9,473
Standard Motor Products, Inc. 500 5,550
Stoneridge, Inc.* 1,000 13,650
Superior Industries 700 29,190
International, Inc.
TBC Corporation* 1,300 24,765
Teekay Shipping Corporation 14,800 634,920
Tenneco Automotive, Inc.* 2,900 10,440
Tower Automotive, Inc.* 33,100 121,146
U.S. Xpress Enterprises, Inc. 400 4,264
Class A*
USF Corporation 2,100 56,637
UTI Worldwide, Inc. 7,000 218,330
Wabash National Corporation* 2,000 28,060
Wabtec Corporation 19,700 274,027
Werner Enterprises, Inc. 3,100 65,720
Yellow Corporation* 29,400 680,610
------------
11,897,833
------------
CONSUMER DISCRETIONARY -- 21.1%
1-800-FLOWERS.COM, Inc. Class 20,900 172,216
A*
4Kids Entertainment, Inc.* 700 13,020
99 Cents Only Stores* 5,332 182,994
Aaron Rents, Inc. 39,100 1,008,780
Acme Communications, Inc.* 200 1,520
Advance Auto Parts* 13,000 791,700
Advanced Marketing Services, 200 2,600
Inc.
Advisory Board Co. (The)* 7,800 316,056
Advo, Inc.* 20,300 901,320
Aeropostale, Inc.* 13,800 296,424
Alberto-Culver Co. Class A 3,600 179,208
Alderwoods Group, Inc.* 3,100 16,926
Alloy, Inc.* 24,900 160,605
AMC Entertainment, Inc.* 68,000 777,920
Amerco, Inc.* 800 5,696
American Eagle Outfitters, 20,700 379,638
Inc.*
American Greetings Corporation 25,800 506,712
Class A*
American Woodmark Corporation 2,000 93,120
Angelica Corporation 700 11,865
AnnTaylor Stores Corporation* 2,600 75,270
Applica, Inc. 1,300 11,050
Aquantive, Inc.* 2,700 28,350
Arbitron, Inc.* 25,300 903,210
Asbury Automotive Group, Inc.* 600 8,088
Ascent Media Group, Inc. Class 400 496
A*
</Table>
See Notes to Financial Statements.
76
<Table>
<Caption>
SHARES VALUE
---------- ------------
Atari, Inc.* 100 $ 445
Bally Total Fitness Holding 2,200 19,866
Corporation*
Banta Corporation 27,800 899,886
Barnes & Noble, Inc.* 13,800 318,090
Bassett Furniture Industries, 800 10,624
Inc.
Beasley Broadcasting Group, 17,400 238,032
Inc. Class A*
Big Lots, Inc.* 19,700 296,288
Blair Corporation 600 13,320
Blyth, Inc. 7,300 198,560
Bob Evans Farms, Inc. 31,000 856,530
Boca Resorts, Inc. Class A* 2,300 29,900
Bombay Co., Inc. (The)* 2,600 27,638
Borders Group, Inc.* 27,700 487,797
Bowne & Co., Inc. 2,700 35,181
Brink's Co. (The) 9,800 142,786
Brookstone, Inc.* 700 14,175
Brown Shoe Co., Inc. 20,800 619,840
Buckle, Inc. (The)* 24,700 474,981
Burlington Coat Factory 1,400 25,060
Warehouse Corporation
Bush Industries, Inc. Class A 600 1,800
Callaway Golf Co. 19,900 263,078
Carmax, Inc.* 16,700 503,505
Carmike Cinemas, Inc.* 200 4,544
Casella Waste Systems, Inc. 1,300 11,739
Class A*
Catalina Marketing 37,000 653,050
Corporation*
CBRL Group, Inc. 8,800 341,968
CDI Corporation* 17,600 456,896
Central Garden & Pet Co.* 21,100 503,235
Central Parking Corporation 1,200 14,832
Century Business Services, 87,600 284,700
Inc.*
Championship Auto Racing 800 2,000
Teams, Inc.*
Charles River Associates, 500 14,135
Inc.*
Charming Shoppes, Inc.* 8,500 42,245
Checkers Drive-In Restaurants, 100 1,144
Inc.*
Cherokee, Inc.* 300 6,006
Choice Hotels International, 29,400 802,914
Inc.*
Circuit City Stores, Inc. -- 72,100 634,480
Circuit City Group
CKE Restaurants, Inc.* 3,400 19,006
Claire's Stores, Inc. 35,800 907,888
Clark, Inc.* 800 9,560
CNET Networks, Inc.* 4,600 28,658
Coinstar, Inc.* 10,500 198,030
Coldwater Creek, Inc.* 450 5,549
Cole National Corporation* 700 8,764
Concord Camera Corporation* 1,900 13,471
Consolidated Graphics, Inc.* 900 20,592
Convergys Corporation* 39,000 624,000
Copart, Inc.* 27,000 255,150
Corinthian Colleges, Inc.* 14,400 699,408
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Cornell Cos., Inc.* 1,000 $ 15,140
Corporate Executive Board Co.* 37,900 1,536,087
Corrections Corporation of 26,900 681,377
America*
Cost Plus, Inc.* 10,600 377,996
CoStar Group, Inc.* 10,250 306,065
CPI Corporation 200 3,530
Crown Media Holdings, Inc. 2,000 8,260
Class A*
CSK Auto Corporation* 700 10,115
CSS Industries, Inc. 300 11,565
Cumulus Media, Inc. Class A* 11,800 223,374
Dave & Buster's, Inc.* 900 9,810
Deb Shops, Inc. 100 1,880
Department 56, Inc.* 900 13,797
DiamondCluster International, 1,000 3,710
Inc. Class A*
Dollar Thrifty Automotive 33,300 617,715
Group, Inc.*
DoubleClick, Inc.* 2,600 24,050
Dover Motorsports, Inc. 1,200 4,920
Dress Barn, Inc.* 1,500 19,005
Drugstore.com, Inc.* 2,100 12,264
EarthLink, Inc.* 18,000 142,020
Education Management 39,100 2,079,337
Corporation*
Elizabeth Arden, Inc.* 200 2,634
Emmis Communications 17,400 399,330
Corporation Class A*
Entercom Communications 8,000 392,080
Corporation*
Entravision Communications 17,200 195,220
Corporation Class A*
EUniverse, Inc.*+ 300 1,068
FindWhat.Com* 5,250 99,435
Finish Line, Inc. (The) Class 1,400 31,094
A*
Finlay Enterprises, Inc.* 400 6,620
First Consulting Group, Inc.* 37,000 172,790
Fisher Communications, Inc. 400 19,564
Footstar, Inc.* 51,900 674,700
Forrester Research, Inc.* 14,100 230,676
Fred's, Inc. 17,900 665,522
Friedman's, Inc. Class A 1,300 14,781
FTI Consulting, Inc.* 22,775 568,692
G & K Services, Inc. Class A 1,000 29,600
Galyan's Trading Co., Inc.* 100 1,434
Gaylord Entertainment Co.* 1,800 35,226
Genesco, Inc.* 7,800 138,060
Getty Images, Inc.* 36,800 1,519,840
Goody's Family Clothing, Inc.* 1,200 10,380
Gray Television, Inc. 5,600 69,440
Gray Television, Inc. Class A 600 7,380
Group 1 Automotive, Inc.* 300 9,723
Guess?, Inc.* 600 3,600
Guitar Center, Inc.* 2,300 66,700
Gymboree Corporation* 12,900 216,462
</Table>
See Notes to Financial Statements.
77
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Hall Kinion & Associates, 600 $ 1,644
Inc.*
Hancock Fabrics, Inc. 600 9,690
Handleman Co.* 37,500 600,000
Harris Interactive, Inc.* 2,900 19,111
Haverty Furniture Cos., Inc. 700 12,250
Hiedrick & Struggles 1,300 16,406
International, Inc.*
Hollinger International, Inc. 1,000 10,770
Hollywood Entertainment 7,600 130,720
Corporation*
Hot Topic, Inc.* 14,000 376,740
IHOP Corporation 200 6,314
IKON Office Solutions, Inc. 36,400 323,960
Information Holdings, Inc.* 26,100 476,325
Insight Communications Co., 3,000 39,540
Inc.*
Insurance Auto Auctions, Inc.* 800 10,048
Intertan, Inc.* 400 3,280
ITT Educational Services, 19,200 561,600
Inc.*
Jack in the Box, Inc.* 1,500 33,450
Jakks Pacific, Inc.* 1,800 23,922
Jo-Ann Stores, Inc. Class A* 1,100 27,830
Johnson Outdoors, Inc. Class 300 4,095
A*
Journal Register Co.* 15,000 271,350
K-Swiss, Inc. Class A 11,300 390,076
K2, Inc.* 2,100 25,725
Kellwood Co. 2,000 63,260
Kelly Services, Inc. Class A 700 16,415
Kenneth Cole Productions, Inc. 200 3,898
Class A*
Kforce, Inc.* 1,500 7,245
Kirkland's, Inc.* 16,700 269,705
Korn/Ferry International* 3,000 24,300
Landry's Restaurants, Inc. 37,700 889,720
Lawson Products, Inc. 400 11,016
Liberty Corporation 1,300 55,250
Lightbridge, Inc.* 2,000 17,520
Lin TV Corporation Class A* 5,000 117,750
Linens 'N Things, Inc.* 200 4,722
Lithia Motors, Inc. Class A* 900 14,553
Lodgenet Entertainment 47,200 516,840
Corporation*
Lone Star Steakhouse & Saloon, 1,300 28,301
Inc.
Luby's, Inc.* 1,700 3,825
Mail-Well, Inc.* 2,200 5,544
Marcus Corporation 1,600 23,920
MarineMax, Inc.* 600 8,400
Marvel Enterprises, Inc.* 36,700 700,970
MAXIMUS, Inc.* 15,500 428,265
Maxwell Shoe Co., Inc. Class 5,800 83,520
A*
Media General, Inc. Class A 9,700 554,840
Medical Staffing Network 300 2,100
Holdings, Inc.*
Memberworks, Inc.* 300 5,925
Men's Warehouse, Inc.* 1,600 34,960
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Midas, Inc.* 400 $ 4,848
Mohawk Industries, Inc.* 5,800 322,074
Monro Muffler Brake, Inc.* 400 11,304
Mossimo, Inc.* 300 1,242
Movado Group, Inc. 700 15,225
Movie Gallery, Inc.* 32,800 605,160
MPS Group, Inc.* 7,400 50,912
MSC Industrial Direct Co., 18,900 338,310
Inc. Class A*
National Presto Industries, 400 12,640
Inc.
Natuzzi SPA ADR 15,000 120,300
Nautica Enterprises, Inc.* 2,000 25,660
Navigant Consulting, Inc.* 13,500 159,975
Navigant International, Inc.* 1,000 12,900
Neoforma, Inc.* 600 6,552
Netflix, Inc.* 100 2,555
NetRatings, Inc.* 600 5,484
Nu Skin Enterprises, Inc. 46,500 485,925
Class A
O'Charley's, Inc.* 100 2,153
OfficeMax, Inc.* 9,100 59,605
Oneida, Ltd. 600 4,050
Overstock.com, Inc.* 100 1,451
Oxford Industries, Inc. 500 20,760
Pacific Sunwear of California, 16,700 402,303
Inc.*
Panera Bread Co. Class A* 10,200 408,000
Papa John's International, 40,300 1,130,415
Inc.*
Paxson Communications 1,100 6,589
Corporation*
Payless ShoeSource, Inc.* 8,800 110,000
PC Connection, Inc.* 400 2,720
PDI, Inc.* 400 4,064
Pegasus Solutions, Inc.* 2,000 32,500
Pep Boys-Manny, Moe & Jack 3,800 51,338
PF Chang's China Bistro, Inc.* 2,800 137,788
Phillips-Van Heusen 2,000 27,260
Corporation
PLATO Learning, Inc.* 200 1,150
Playtex Products, Inc.* 34,400 220,848
Pricesmart, Inc.* 300 3,981
Prime Hospitality Corporation* 3,600 24,156
Primedia, Inc.* 3,300 10,065
ProQuest Co.* 28,200 727,560
Protection One, Inc.* 900 882
Pulitzer, Inc. 700 34,594
Quicksilver, Inc.* 14,000 230,860
R.H. Donnelley Corporation* 1,100 40,117
Radio One, Inc. Class D* 32,300 573,971
Raindance Communications, 3,000 7,470
Inc.*
Rare Hospitality 15,800 516,344
International, Inc.*
Regent Communications, Inc.* 1,000 5,900
Regis Corporation 1,000 29,050
Register.com, Inc.* 2,300 13,478
Remedytemp, Inc. Class A* 400 3,692
Rent-A-Center, Inc.* 24,000 1,819,439
Rent-Way, Inc.* 2,000 9,300
</Table>
See Notes to Financial Statements.
78
<Table>
<Caption>
SHARES VALUE
---------- ------------
Resources Connection, Inc.* 30,500 $ 727,730
Revlon, Inc. Class A* 600 1,800
Rex Stores Corporation* 700 8,477
Right Management Consultants, 150 1,898
Inc.*
Roto-Rooter, Inc. 800 30,512
Russ Berrie & Co., Inc. 700 25,557
Russell Corporation 29,100 552,900
Ryan's Family Steak Houses, 25,700 359,800
Inc.*
Saga Communications, Inc. 36,000 700,200
Class A*
Saks, Inc.* 61,400 595,580
Salton, Inc.* 500 4,510
Scholastic Corporation* 11,000 327,580
School Specialty, Inc.* 300 8,538
SCP Pool Corporation* 39,200 1,348,480
Service Corporation 23,400 90,558
International*
Sharper Image Corporation* 100 2,727
Shoe Carnival, Inc.* 400 5,904
ShopKo Stores, Inc.* 34,900 453,700
Sina Corporation* 11,300 229,729
Sinclair Broadcast Group, Inc. 11,000 127,710
Class A*
Sirius Satellite Radio, Inc.* 65,200 110,188
Sitel Corporation* 4,500 6,975
Six Flags, Inc.* 15,200 103,056
Skechers USA, Inc. Class A* 100 740
SOURCECORP, Inc.* 800 17,280
Spanish Broadcasting Systems, 62,400 508,560
Inc. Class A*
Speedway Motorsports, Inc. 100 2,680
Spherion Corporation* 21,700 150,815
Sports Authority, Inc. (The)* 1,200 12,840
Stage Stores, Inc.* 15,200 357,200
Stamps.com, Inc.* 2,400 11,520
Starrett (L.S.) Co. Class A 500 6,475
Steak n Shake Co. (The)* 1,200 18,300
Stein Mart, Inc.* 700 4,193
Steinway Musical Intruments, 300 4,620
Inc.*
Steven Madden, Ltd.* 700 15,288
Stewart Enterprises, Inc. 7,600 32,680
Class A*
Strayer Education, Inc. 5,200 413,140
Stride Rite Corporation 3,100 30,876
Sturm Ruger & Co., Inc. 200 2,000
Summit America Television, 1,200 3,468
Inc.*
Sylvan Learning Systems, Inc.* 500 11,420
Take-Two Interactive Software, 10,700 303,238
Inc.*
Tetra Tech, Inc.* 3,800 65,094
Thomas Nelson, Inc.* 600 7,500
Timberland Co. Class A* 11,700 618,462
Tommy Hilfiger Corporation* 92,900 858,396
Too, Inc.* 38,500 779,625
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Topps Co. (The)* 36,800 $ 316,112
Toro Co. 1,200 47,700
Tractor Supply Co.* 8,300 396,325
Trans World Entertainment 1,300 6,656
Corporation*
Triarc Cos., Inc.* 1,100 32,989
Tuesday Morning Corporation* 11,800 310,340
Tupperware Corporation 1,800 25,848
Tweeter Home Entertainment 1,400 12,152
Group, Inc.*
UniFirst Corporation 600 13,140
United Auto Group, Inc.* 1,300 28,314
United Natural Foods, Inc.* 14,000 393,960
United Online, Inc.* 10,700 271,138
United Stationers, Inc.* 22,200 802,974
Urban Outfitters, Inc.* 8,000 287,200
Vail Resorts, Inc.* 700 9,429
Valassis Communications, Inc.* 23,900 614,708
Valueclick, Inc.* 4,100 24,723
Valuevision Media, Inc. Class 19,200 261,696
A*
Vans, Inc.* 1,400 12,572
VeriSign, Inc.* 25,300 349,899
Volt Information Sciences, 600 8,190
Inc.*
Wackenhut Corrections 46,600 638,886
Corporation*
Warnaco Group, Inc. (The)* 15,500 208,475
Waste Connections, Inc.* 300 10,515
Water Pik Technologies, Inc.* 800 6,216
Watson Wyatt & Co. Holdings* 6,400 148,352
WESCO International, Inc.* 27,000 162,000
West Corporation* 22,100 588,965
West Marine, Inc.* 800 14,008
Wet Seal, Inc. Class A* 6,700 71,556
Wilsons The Leather Experts, 1,100 7,931
Inc.*
Wireless Facilities, Inc.* 1,100 13,090
Wolverine World Wide, Inc. 3,300 63,558
World Fuel Services 500 12,295
Corporation
Wyndham International, Inc. 11,100 4,884
Class A*
XM Satellite Radio Holdings, 5,300 58,565
Inc. Class A*
Young Broadcasting, Inc. Class 700 14,791
A*
------------
63,003,398
------------
CONSUMER STAPLES -- 2.3%
7-Eleven, Inc.* 54,900 579,195
American Italian Pasta Co. 17,200 716,380
Class A*
Aurora Foods, Inc.* 1,700 595
Casey's General Stores, Inc. 3,100 43,834
Chiquita Brands International, 55,000 797,500
Inc.*
Del Monte Foods Co.* 33,600 297,024
Duane Reade, Inc.* 11,100 163,725
Farmer Brothers Co. 100 33,929
</Table>
See Notes to Financial Statements.
79
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Flowers Foods, Inc. 2,550 $ 50,388
Fresh Del Monte Produce, Inc. 24,700 634,543
Great Atlantic & Pacific Tea 1,300 11,440
Co., Inc.*
Hain Celestial Group, Inc.* 1,900 30,381
Ingles Markets, Inc. Class A 800 8,080
International Multifoods 29,400 673,554
Corporation*
Interstate Bakeries 13,000 165,100
Corporation
J & J Snack Foods Corporation* 200 6,326
J.M. Smucker Co. (The) 2,000 79,780
Long's Drug Stores Corporation 2,500 41,500
Maui Land & Pineapple Co., 200 4,496
Inc.*
Nash Finch Co. 100 1,665
Nature's Sunshine Products, 800 6,408
Inc.
Pathmark Stores, Inc.* 39,800 304,470
Pilgrim's Pride Corporation 15,900 114,162
Class A
Pilgrim's Pride Corporation 1,200 11,604
Class B
Ralcorp Holdings, Inc.* 2,400 59,904
Ruddick Corporation 2,500 39,300
Sanderson Farms, Inc. 13,400 376,540
Seaboard Corporation 30 6,210
Sensient Technologies 15,400 354,046
Corporation
Smart & Final, Inc.* 900 4,167
Supervalu, Inc. 27,300 582,036
Tasty Baking Co. 300 3,150
Weis Markets, Inc. 800 24,816
Winn-Dixie Stores, Inc. 40,000 492,400
------------
6,718,648
------------
FINANCIAL SERVICES -- 17.4%
1st Source Corporation 1,200 22,272
ABC Bancorp 800 11,464
Acadia Realty Trust REIT 1,100 10,065
Advanta Corporation Class B 1,800 18,108
Affiliated Managers Group, 10,800 658,260
Inc.*
AG Edwards, Inc 25,000 855,000
Alabama National Bancorp 600 29,088
Alfa Corporation 1,400 17,794
Allegiant Bancorp, Inc. 900 18,225
Alliance Data Systems 64,100 1,499,939
Corporation*
Amcore Financial, Inc. 2,000 46,560
American Capital Strategies, 3,000 74,820
Ltd.
American Financial Group, Inc. 27,300 622,440
American National Bankshares, 300 8,067
Inc.
American Physicians Capital, 700 16,975
Inc.*
AMLI Residential Properties 1,100 25,905
Trust REIT
Anthracite Capital, Inc. REIT 3,700 44,622
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Anworth Mortgage Asset 2,100 $ 32,382
Corporation REIT
Apex Mortgage Capital, Inc. 2,100 11,487
REIT
Arch Capital Group, Ltd.* 15,800 548,734
Argonaut Group, Inc. 1,700 20,961
Associated Banc-Corp 17,100 630,648
Associated Estates Realty REIT 1,300 8,541
Astoria Financial Corporation 19,600 547,428
Baldwin & Lyons, Inc. Class B 625 14,844
Banc Corporation 1,000 6,710
Bancfirst Corporation 300 15,558
Bancorpsouth, Inc. 34,300 715,155
Bank Mutual Corporation 900 29,250
Bank of Granite Corporation 900 15,345
Bank of Hawaii Corporation 11,500 381,225
Bank of the Ozarks, Inc. 3,150 122,094
BankAtlantic Bancorp, Inc. 3,300 39,237
Class A
BankUnited Financial 12,900 259,935
Corporation Class A*
Banner Corporation 800 16,392
Bay View Capital Corporation* 5,000 28,900
Bedford Property Investors, 1,200 34,080
Inc. REIT
Berkshire Hills Bancorp, Inc. 500 14,200
BISYS Group, Inc. (The)* 54,400 999,327
BKF Capital Group, Inc.* 400 8,732
Boston Private Financial 36,000 758,880
Holdings, Inc.
BostonFed Bancorp, Inc. 300 8,073
Boykin Lodging Co., Inc. REIT 1,400 10,920
Brandywine Realty Trust REIT 2,100 51,702
Brookfield Properties 13,200 280,500
Corporation
Brookline Bancorp, Inc. 10,100 141,400
BSB Bancorp, Inc. 600 14,892
California First National 300 2,847
Bancorp
Camden National Corporation 500 13,750
Capital Automotive REIT 1,900 53,181
Capital City Bank Group, Inc. 750 27,150
Capstead Mortgage Corporation 800 9,016
REIT
Cascade Bancorp 400 6,932
Cash America International, 1,700 22,474
Inc.
CB Bancshares, Inc. 330 20,500
CBL & Associates Properties, 1,500 64,500
Inc. REIT
CCBT Financial Cos., Inc. 600 14,334
CCC Information Services 200 2,900
Group*
Central Pacific Financial 100 2,770
Corporation
Century Bancorp, Inc. Class A 100 2,978
Ceres Group, Inc.* 1,400 4,032
Certegy, Inc.* 12,800 355,200
CFS Bancorp, Inc. 900 12,690
</Table>
See Notes to Financial Statements.
80
<Table>
<Caption>
SHARES VALUE
---------- ------------
Charter Financial Corporation 200 $ 5,650
Charter Municipal Mortgage 3,300 62,733
Acceptance Co.
Chemical Financial Corporation 1,780 53,044
Chittenden Corporation 355 9,709
Citizens First Bancorp, Inc. 700 15,288
City Bank Lynwood 200 5,412
City Holdings Co. 500 14,635
CNA Surety Corporation 1,200 11,820
Coastal Bancorp, Inc. 300 8,526
Colonial Properties Trust REIT 1,200 42,228
Columbia Banking System, Inc.* 1,100 19,701
Commerce Group, Inc. 15,700 568,340
Commercial Federal Corporation 3,600 76,320
Commercial Net Lease Realty, 2,900 49,996
Inc. REIT
Community Bank System, Inc. 900 34,200
Community Banks, Inc. 210 6,245
Community First Bankshares, 1,900 51,870
Inc.
Community Trust Bancorp, Inc. 990 25,879
CompuCredit Corporation* 1,000 12,150
Connecticut Bancshares, Inc. 900 35,325
Cornerstone Realty Income 3,800 27,778
Trust, Inc. REIT
Corporate Office Properties 1,700 28,781
Trust REIT
Correctional Properties Trust 600 16,800
REIT
Corus Bankshares, Inc. 700 33,901
Credit Acceptance Corporation* 200 2,018
CVB Financial Corporation 25,425 496,296
Delphi Financial Group, Inc. 8,300 388,440
Class A
Digital Insight Corporation* 34,950 665,798
Dime Community Bancshares 24,500 623,525
Doral Financial Corporation 17,700 790,305
E*TRADE Group, Inc.* 41,900 356,150
East West Bancorp, Inc. 700 25,298
Eastgroup Properties REIT 1,200 32,400
eFunds Corporation* 700 8,071
Electro Rent Corporation* 11,800 127,204
EMC Insurance Group, Inc. 200 3,710
Entertainment Properties Trust 1,400 40,250
REIT
Equity Inns, Inc. REIT 3,200 22,080
Equity One, Inc. REIT 2,240 36,736
F&M Bancorp 800 39,456
Farmers Capital Bank 400 12,772
Corporation
FBL Financial Group, Inc. 900 18,135
Class A
Federated Investors, Inc. 11,000 301,620
Class B
FelCor Lodging Trust, Inc. 3,900 30,615
REIT
Fidelity Bankshares, Inc. 1,200 26,760
Fidelity National Financial, 23,100 710,556
Inc.
Financial Industries 600 8,844
Corporation
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
First American Corporation 30,500 $ 803,675
First Bancorp 600 15,546
First Charter Corporation 2,500 43,500
First Citizens BancShares, 500 50,420
Inc. Class A
First Commonwealth Financial 4,700 60,912
Corporation
First Community Bancshares, 400 14,120
Inc.
First Defiance Financial 400 7,936
Corporation
First Essex Bancorp, Inc. 500 23,570
First Federal Capital 1,300 25,805
Corporation
First Financial Corporation 500 26,450
First Financial Bancorp 2,700 43,200
First Financial Bankshares, 750 25,095
Inc.
First Financial Holdings, Inc. 800 21,632
First Indiana Corporation 900 15,408
First Merchants Corporation 1,220 29,658
First National Corporation 220 5,425
First Oak Brook Bancshares, 200 6,598
Inc.
First of Long Island 200 7,980
Corporation (The)
First Place Financial 1,000 17,320
Corporation
First Republic Bank* 700 18,620
First Sentinal Bancorp, Inc. 1,700 27,149
FirstFed America Bancorp, Inc. 600 20,700
FirstFed Financial 18,800 663,452
Corporation*
Flagstar Bancorp, Inc. 37,400 914,430
Flushing Financial Corporation 700 15,519
FNB Corporation 400 10,828
FPIC Insurance Group, Inc.* 700 9,709
Fremont General Corporation 55,300 757,610
Friedman, Billings, Ramsey 6,140 82,276
Group, Inc. Class A
Gables Residential Trust REIT 1,700 51,391
GBC Bancorp 600 23,040
German American Bancorp 767 13,384
Glacier Bancorp, Inc. 440 10,833
Glenborough Realty Trust, Inc. 1,200 22,980
REIT
Glimcher Realty Trust REIT 400 8,960
Global Payments, Inc. 24,400 866,200
Gold Banc Corporation, Inc. 2,500 26,275
Great American Financial 600 7,866
Resources, Inc.
Great Lakes REIT 1,000 16,000
Greater Bay Bancorp 7,700 157,234
Hancock Holding Co. 1,100 51,766
Harbor Florida Bancshares, 1,400 33,544
Inc.
Harleysville Group, Inc. 2,400 55,248
Hawthorne Financial 600 20,796
Corporation*
HCC Insurance Holdings, Inc. 10,400 307,528
Health Care REIT, Inc. 3,100 94,550
Healthcare Realty Trust, Inc. 3,300 96,195
REIT
</Table>
See Notes to Financial Statements.
81
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
HealthExtras, Inc.* 300 $ 2,346
Henry (Jack) & Associates, 37,700 670,683
Inc.
Heritage Property Investment 1,400 37,912
Trust REIT
Hibernia Corporation Class A 42,500 771,800
Home Properties of New York, 2,200 77,528
Inc. REIT
Homestore, Inc.* 6,100 10,797
Horace Mann Educators 19,600 316,148
Corporation*
HRPT Properties Trust REIT 10,200 93,840
Hudson River Bancorp, Inc. 1,200 33,504
Hypercom Corporation* 2,700 11,205
IBERIABANK Corporation 500 24,400
Impac Mortgage Holdings, Inc. 3,900 65,091
REIT
Independence Community Bank 23,200 654,704
Corporation
Independence Holding Co. 300 6,333
Independent Bank Corporation 945 24,277
IndyMac Bancorp, Inc. 34,800 884,616
Infinity Property & Casualty 10,350 244,674
Corporation
Innkeepers USA Trust REIT 2,000 13,600
Integra Bank Corporation 1,200 20,652
Interpool, Inc. 4,700 77,174
Investment Technology Group, 21,000 390,600
Inc.*
Investors Financial Services 51,300 1,488,212
Corporation
Investors Real Estate Trust 2,100 22,659
REIT
iPayment, Inc.* 8,400 200,508
IPC Holdings, Ltd.* 9,200 308,200
Irwin Financial Corporation 18,500 479,150
ITLA Capital Corporation* 400 16,172
Jefferies Group, Inc. 12,350 614,907
John H. Harland Co. 26,200 685,392
Kansas City Life Insurance Co. 300 12,852
Keystone Property Trust REIT 1,300 24,063
Kilroy Realty Corporation REIT 1,900 52,250
Knight Trading Group, Inc.* 16,400 102,008
Koger Equity, Inc. REIT 1,500 25,845
Kramont Realty Trust REIT 1,600 26,400
La Quinta Corporation REIT* 10,900 46,979
Lakeland Financial Corporation 100 3,038
Landamerica Financial Group, 17,300 821,750
Inc.
LaSalle Hotel Properties REIT 1,300 19,214
LendingTree, Inc.* 300 7,344
Lexington Corporate Properties 2,400 42,480
Trust REIT
Local Financial Corporation* 1,400 20,216
LSB Bancshares, Inc. 600 10,386
LTC Properties, Inc. REIT 1,100 10,505
Macatawa Bank Corporation 525 12,647
MAF Bancorp, Inc. 1,000 37,070
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
MainSource Financial Group, 420 $ 10,235
Inc.
Markel Corporation* 6,600 1,689,599
MASSBANK Corporation 300 10,851
MB Financial, Inc. 800 32,032
MCG Capital Corporation 1,200 17,400
Merchant Bancshares, Inc. 100 2,600
MeriStar Hospitality 3,200 16,448
Corporation REIT
Metris Cos., Inc. 2,400 13,320
MFA Mortgage Investments, Inc. 2,700 27,108
REIT
Mid-America Apartment 1,100 29,711
Communities, Inc. REIT
Mid-Atlantic Realty Trust REIT 200 4,188
Mid-State Bancshares 1,700 33,575
Midland Co. 600 13,326
Mission West Properties, Inc. 700 7,959
REIT
Montpelier Re Holdings, Ltd.* 11,500 363,400
NASB Financial, Inc. 100 2,900
National Health Investors, 1,800 33,192
Inc. REIT
National Health Realty, Inc. 500 7,995
REIT
National Western Life 200 22,086
Insurance Co. Class A*
Nationwide Health Properties, 3,500 55,755
Inc. REIT
Navigators Group, Inc.* 300 8,946
NBC Capital Corporation 500 12,650
NBT Bancorp, Inc. 1,200 23,220
NCO Group, Inc.* 1,500 26,865
NDCHealth Corporation 37,200 682,620
NetBank, Inc.* 2,600 34,216
New Century Financial 19,800 864,270
Corporation
Novastar Financial, Inc. REIT 900 53,775
NYMAGIC, Inc. 100 2,026
OceanFirst Financial 400 9,772
Corporation
Ocwen Financial Corporation* 2,900 13,166
Odyssey Re Holdings 30,300 639,330
Corporation
Ohio Casualty Corporation* 4,000 52,720
Old Republic International 20,100 688,827
Corporation
Old Second Bancorp, Inc. 400 17,140
Omega Financial Corporation 700 23,940
Omega Healthcare Investors, 1,200 6,300
Inc. REIT*
Pacific Northwest Bancorp 200 6,952
Pacific Union Bank* 300 4,017
Pan Pacific Retail Properties, 2,874 113,092
Inc. REIT
Parkvale Financial Corporation 400 9,832
Parkway Properties, Inc. REIT 700 29,435
Partners Trust Financial 400 7,632
Group, Inc.
</Table>
See Notes to Financial Statements.
82
<Table>
<Caption>
SHARES VALUE
---------- ------------
Pennfed Financial Services, 400 $ 11,100
Inc.
Peoples Bancorp, Inc. 400 10,108
Peoples Holding Co. 400 17,700
PFF Bancorp, Inc. 800 30,920
Philadelphia Consolidated 1,300 52,520
Holding Corporation*
PICO Holdings, Inc.* 500 6,500
Platinum Underwriters 6,200 168,268
Holdings, Ltd.
PMA Capital Corporation Class 2,100 26,397
A
PMI Group, Inc. (The) 33,100 888,404
Port Financial Corporation 400 21,552
Portfolio Recovery Associates, 7,900 246,401
Inc.*
Post Properties, Inc. REIT 2,700 71,550
Prentiss Properties Trust REIT 2,400 71,976
Presidential Life Corporation 1,600 22,576
PRG-Schultz International, 33,000 194,700
Inc.*
Price Legacy Corporation REIT* 1,400 5,250
ProAssurance Corporation* 1,900 51,281
Prosperity Bancshares, Inc. 500 9,625
Provident Bankshares 6,600 167,706
Corporation
Provident Financial Group, 10,500 269,115
Inc.
Provident Financial Services, 8,600 163,830
Inc.*
PS Business Parks, Inc. REIT 800 28,240
Quaker City Bancorp, Inc.* 400 16,420
R&G Financial Corporation 24,300 721,710
Class B
RAIT Investment Trust REIT 1,400 37,100
Ramco-Gershenson Properties 700 16,310
REIT
Realty Income Corporation REIT 2,600 99,008
Redwood Trust, Inc. REIT 1,000 39,910
RenaissanceRe Holdings, Ltd. 14,000 637,280
Republic Bancorp, Inc. 14,290 191,772
Republic Bancorp, Inc. Class A 600 8,898
Republic Bancshares, Inc.* 400 10,004
RFS Hotel Investors, Inc. REIT 2,600 32,032
Riggs National Corporation 1,100 16,742
RLI Corporation 1,200 39,480
Royal Bancshares of 206 4,398
Pennsylvania, Inc. Class A
Ryder System, Inc. 24,500 627,690
S&T Bancorp, Inc. 200 5,486
Sandy Spring Bancorp, Inc. 600 18,960
Santander Bancorp 700 11,452
Saul Centers, Inc. REIT 700 17,920
Saxon Capital, Inc.* 2,000 34,760
Scottish Annuity & Life 13,550 273,846
Holdings, Ltd.
Seacoast Banking Corporation 700 11,928
of Florida
Seacoast Financial Services 1,800 35,640
Corporation
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Second Bancorp, Inc. 500 $ 12,900
Selective Insurance Group, 2,100 52,605
Inc.
Senior Housing Properties 3,600 48,816
Trust REIT
Shurgard Storage Centers, Inc. 600 19,848
Class A REIT
Simmons First National 1,200 24,012
Corporation Class A
Sizeler Property Investors 700 7,175
REIT
SL Green Realty Corporation 2,100 73,269
REIT
Sotheby's Holdings, Inc. Class 30,200 224,688
A*
SoundView Technology Group, 1,180 11,942
Inc.*
South Financial Group, Inc. 3,800 88,654
Southwest Bancorp of Texas, 10,600 344,606
Inc.*
Southwest Bancorp, Inc. 400 10,964
Sovereign Bancorp, Inc. 42,900 671,385
Sovran Self Storage, Inc. REIT 1,000 31,500
St. Francis Capital 600 17,442
Corporation
Stancorp Financial Group, Inc. 12,900 673,638
State Auto Financial 1,000 22,450
Corporation
State Bancorp, Inc. 525 10,274
Staten Island Bancorp, Inc. 25,700 500,636
Sterling Bancorp 600 16,734
Sterling Bancshares, Inc. 1,600 20,928
Sterling Financial Corporation 300 6,975
Sterling Financial Corporation 1,210 29,476
WA*
Stewart Information Services 21,700 604,345
Corporation*
Summit Bancshares, Inc. 300 7,044
Summit Properties, Inc. REIT 1,800 37,170
Sun Bancorp, Inc. 400 8,072
Sun Bancorp, Inc. NJ* 525 10,448
Sun Communities, Inc. REIT 500 19,650
Superior Financial Corporation 600 14,400
Susquehanna Bancshares, Inc. 2,800 65,380
SWS Group, Inc. 1,100 22,165
Taubman Centers, Inc. REIT 2,300 44,068
Texas Regional Banchshares, 1,100 38,170
Inc. Class A
Thornburg Mortgage, Inc. REIT 4,500 111,150
Tompkins Trustco, Inc. 100 4,465
Transcontinental Realty 200 2,940
Investors, Inc. REIT*
Triad Guaranty, Inc.* 400 15,180
Trico Bancshares 200 5,086
Troy Financial Corporation 600 16,290
Trust Co. of New Jersey 1,100 33,330
U.S. Restaurant Properties, 1,600 25,120
Inc. REIT
UCBH Holdings, Inc. 43,100 1,236,108
UICI* 47,900 721,853
UMB Financial Corporation 1,300 55,120
</Table>
See Notes to Financial Statements.
83
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Umpqua Holdings Corporation 748 $ 14,205
Union Bankshares Corporation 600 16,962
United Community Financial 2,500 23,100
Corporation
United Fire & Casualty Co. 600 19,494
United National Bancorp 300 8,277
Universal American Financial 1,800 11,466
Corporation*
Universal Health Realty Income 700 18,900
Trust REIT
Unizan Financial Corporation 1,800 31,626
Urstadt Biddle Properties, 1,500 19,290
Inc. Class A REIT
USB Holding Co., Inc. 500 8,875
USI Holdings Corporation* 31,700 372,792
Ventas, Inc. REIT 4,400 66,660
Vesta Insurance Group, Inc. 2,700 6,210
Virginia Financial Group, Inc. 100 2,800
W Holding Co., Inc. 1,900 32,148
W.R. Berkley Corporation 8,050 424,235
Warwick Community Bancorp, 300 8,775
Inc.
Washington Federal, Inc. 15,306 354,028
Waypoint Financial Corporation 2,600 46,904
Webster Financial Corporation 19,500 737,100
WesBanco, Inc. 1,600 38,880
West Coast Bancorp 1,300 23,660
Westcorp 10,300 288,400
Westfield Financial, Inc. 400 7,524
WFS Financial, Inc.* 100 3,351
Willow Grove Bancorp, Inc. 400 6,788
Winston Hotels, Inc. REIT 1,300 10,621
Wintrust Financial Corporation 19,200 568,320
World Acceptance Corporation* 800 13,024
WSFS Financial Corporation 100 3,840
Yardville National Bancorp 600 11,700
Zenith National Insurance 600 17,100
Corporation
------------
51,900,638
------------
HEALTHCARE -- 10.2%
aaiPharma, Inc.* 17,700 351,876
Abgenix, Inc.* 6,200 65,038
Abiomed, Inc.* 1,000 5,470
Able Laboratories, Inc.* 5,500 108,900
Acacia Research -- 700 1,673
CombiMatrix*
Affymetrix, Inc.* 12,800 252,288
Alaris Medical, Inc.* 18,300 236,985
Alexion Pharmaceuticals, Inc.* 1,400 23,870
Align Technology, Inc.* 2,900 36,395
Alkermes, Inc.* 8,500 91,375
Alliance Imaging, Inc.* 800 3,520
Allscripts Healthcare 200 734
Solutions, Inc.*
Alpharma, Inc. Class A 30,200 652,320
American Healthways, Inc.* 5,900 213,108
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
American Medical Security 500 $ 9,550
Group, Inc.*
American Pharmaceutical 26,300 891,570
Partners, Inc.*
Amylin Pharmaceuticals, Inc.* 1,500 32,835
Angiotech Pharmaceuticals, 11,100 452,214
Inc.*
Applera Corporation -- Celera 2,600 26,832
Genomics Group*
Applied Molecular Evolution, 1,100 4,708
Inc.*
Arena Pharmaceuticals, Inc.* 1,500 9,960
Arqule, Inc.* 1,900 7,980
Arrow International, Inc. 400 17,660
Arthrocare Corporation* 200 3,352
Atrix Laboratories, Inc.* 31,200 686,088
AVANIR Pharmaceuticals Class 1,200 2,100
A*
Avigen, Inc.* 1,500 5,190
Beverly Enterprises, Inc.* 3,100 10,850
Bio-Rad Laboratories, Inc. 19,200 1,062,720
Class A*
Bio-Reference Laboratories, 100 690
Inc.*
Bone Care International, Inc.* 200 2,780
Bradley Pharmaceuticals, Inc.* 20,200 333,300
Bruker AXS, Inc.* 100 307
Cardiac Science, Inc.* 800 2,144
Cell Genesys, Inc.* 2,600 22,464
Cell Therapeutics, Inc.* 2,600 25,298
Centene Corporation* 100 3,890
Chattem, Inc.* 40,500 761,400
CIMA Labs, Inc.* 700 18,823
Ciphergen Biosystems, Inc.* 600 6,150
Columbia Laboratories, Inc.* 500 5,625
Computer Programs and Systems, 100 2,001
Inc.
Conmed Corporation* 9,900 180,774
Corixa Corporation* 3,600 27,828
Covance, Inc.* 26,700 483,270
CuraGen Corporation* 1,500 8,325
CV Therapeutics, Inc.* 2,200 65,252
Datascope Corporation 900 26,577
DaVita, Inc.* 66,600 1,783,548
Decode Genetics, Inc.* 2,900 9,048
Deltagen, Inc.* 500 65
Digene Corporation* 26,600 724,318
Discovery Partners 1,300 5,772
International, Inc.*
Diversa Corporation* 700 6,881
DJ Orthopedics, Inc.* 600 6,576
DVI, Inc.* 1,000 4,670
Encysive Pharmaceuticals, 200 960
Inc.*
Enzon, Inc.* 16,600 207,832
Eon Labs, Inc.* 4,700 165,205
Epix Medical, Inc.* 200 2,830
Esperion Therapeutics, Inc.* 7,000 137,130
Exelixis, Inc.* 3,400 23,596
</Table>
See Notes to Financial Statements.
84
<Table>
<Caption>
SHARES VALUE
---------- ------------
First Health Group 21,400 $ 590,640
Corporation*
Gen-Probe, Inc* 11,200 457,744
Gene Logic, Inc.* 2,500 14,925
Genesis Health Ventures, Inc.* 2,200 38,830
Gentiva Health Services, Inc.* 1,800 16,200
Genzyme Corporation -- General 147 6,162
Division*
Guilford Pharmaceuticals, 1,900 8,626
Inc.*
Hanger Orthopedic Group, Inc.* 1,400 16,030
Health Net, Inc.* 23,500 774,325
Healthcare Services Group, 700 9,891
Inc.*
Hologic, Inc.* 100 1,318
Icon PLC ADR* 13,500 429,570
IDEXX Laboratories, Inc.* 12,000 402,480
IGEN International, Inc.* 200 6,280
ILEX Oncology, Inc.* 13,200 256,212
Illumina, Inc.* 1,600 4,800
ImClone Systems, Inc.* 1,600 50,592
Immunogen, Inc.* 3,400 14,518
IMPAC Medical Systems, Inc.* 5,400 112,752
Incyte Corporation* 5,700 26,448
Inspire Pharmaceuticals, Inc.* 12,800 138,240
Kendle International, Inc.* 700 4,340
Kindred Healthcare, Inc.* 900 16,056
KOS Pharmaceuticals, Inc.* 100 2,347
KV Pharmaceutical Co. Class A* 11,525 320,395
Kyphon, Inc.* 100 1,512
Lexicon Genetics, Inc.* 2,600 17,446
Ligand Pharmaceuticals, Inc. 28,900 392,751
Class B*
Martek Biosciences 10,200 437,988
Corporation*
Matria Healthcare, Inc.* 200 3,530
Maxygen, Inc.* 2,300 25,231
Medarex, Inc.* 5,800 38,222
Medcath Corporation* 500 2,925
Medicines Co.* 12,350 243,172
Medicis Pharmaceutical 14,900 844,830
Corporation Class A*
MedQuist, Inc.* 8,400 170,016
MGI Pharma, Inc.* 9,500 243,485
Mid Atlantic Medical Services, 4,700 245,810
Inc.*
Molecular Devices Corporation* 200 3,182
Myriad Genetics, Inc.* 27,500 374,275
Nabi Biopharmaceuticals, Inc.* 3,000 20,580
National Healthcare 400 7,872
Corporation*
Nektar Therapeutics* 4,400 40,612
Neopharm, Inc.* 1,035 14,335
Neose Technologies, Inc.* 1,000 10,010
Neurocrine Biosciences, Inc.* 3,700 184,778
Neurogen Corporation* 700 3,192
Odyssey HealthCare, Inc.* 12,950 479,150
Omnicare, Inc. 36,300 1,226,577
Onyx Pharmacueticals, Inc.* 1,200 14,796
Option Care, Inc.* 100 1,153
OSI Pharmaceuticals, Inc.* 2,500 80,525
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Osteotech, Inc.* 14,100 $ 191,619
Owens & Minor, Inc. 23,900 534,165
PacifiCare Health Systems, 11,300 557,429
Inc.*
PAREXEL International 27,000 376,650
Corporation*
Pediatrix Medical Group, Inc.* 9,400 335,110
Per-Se Technologies, Inc.* 25,700 288,611
Pharmaceutical Product 7,000 201,110
Development, Inc.*
Pharmaceutical Resources, 6,000 291,960
Inc.*
Pharmacopeia, Inc.* 1,900 15,675
Pozen, Inc.* 1,700 18,666
Praecis Pharmaceuticals, Inc.* 4,100 20,090
Prime Medical Services, Inc.* 1,100 5,170
Priority Healthcare 2,750 51,013
Corporation Class B*
Protein Design Labs, Inc.* 27,400 383,052
ProxyMed, Inc.* 400 5,164
PSS World Medical, Inc.* 44,000 253,000
RehabCare Group, Inc.* 500 7,325
Res-Care, Inc.* 1,100 5,027
Respironics, Inc.* 50,100 1,879,751
Sangamo Biosciences, Inc.* 100 285
Savient Pharmaceuticals, Inc.* 4,600 21,344
Seattle Genetics, Inc.* 500 2,575
Sepracor, Inc.* 1,500 27,045
Sequenom, Inc.* 3,100 8,432
Sola International, Inc.* 1,700 29,580
Specialty Laboratories, Inc.* 400 4,100
Stericycle, Inc.* 19,000 731,120
Steris Corporation* 18,000 415,620
Sunrise Senior Living, Inc.* 1,400 31,332
SuperGen, Inc.* 2,300 12,420
SurModics, Inc.* 5,400 164,700
Sybron Dental Specialties, 1,400 33,040
Inc.*
Tanox, Inc.* 1,300 20,865
Taro Pharmaceuticals 14,500 795,760
Industries, Ltd.*
Theragenics Corporation* 2,100 9,030
Thoratec Corporation* 3,900 58,110
Trimeris, Inc.* 4,100 187,288
TriPath Imaging, Inc.* 1,700 11,611
United Surgical Partners 18,700 422,433
International, Inc.*
United Therapeutics 1,200 26,136
Corporation*
US Oncology, Inc.* 93,400 690,226
VCA Antech, Inc.* 51,000 998,070
Viasys Healthcare, Inc.* 2,100 43,470
Vical, Inc.* 1,400 6,090
VistaCare, Inc. Class A* 5,900 143,429
VISX, Inc.* 20,900 362,615
West Pharmaceutical Services, 10,800 264,600
Inc.
Zoll Medical Corporation* 7,725 259,251
Zymogenetics, Inc.* 300 3,492
------------
30,374,822
------------
</Table>
See Notes to Financial Statements.
85
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
MATERIALS & PROCESSING -- 7.8%
Aceto Corporation 6,700 $ 124,620
Acuity Brands, Inc. 26,800 486,956
Agrium, Inc. 32,400 355,104
Airgas, Inc. 700 11,725
AK Steel Holding Corporation* 25,200 91,224
Albemarle Corporation 19,800 553,806
Alico, Inc. 300 7,407
Amcol International 1,600 12,800
Corporation
Ameron International 600 20,862
Corporation
Apogee Enterprises, Inc. 200 1,804
Arch Chemicals, Inc. 3,700 70,670
Avatar Holdings, Inc.* 300 9,060
Baker (Michael) Corporation* 300 3,210
Barnes Group, Inc. 31,700 689,792
Boise Cascade Corporation 20,300 485,170
Brush Engineered Materials, 1,300 10,855
Inc.*
Buckeye Technologies, Inc.* 2,000 13,600
Building Materials Holding 1,000 14,810
Corporation
Butler Manufacturing Co. 400 6,612
Calgon Carbon Corporation 2,600 14,950
Cambrex Corporation 700 16,114
Caraustar Industries, Inc.* 2,100 16,821
Carpenter Technology 1,500 23,400
Corporation
Castle (A.M.) & Co.* 500 3,275
Centex Construction Products, 400 16,036
Inc.
Century Aluminum Co. 900 6,327
Chesapeake Corporation 9,100 198,835
Chicago Bridge & Iron Co. NV 10,600 240,408
CIRCOR International, Inc. 800 14,264
Cleveland-Cliffs, Inc.* 700 12,495
Comfort Systems USA, Inc.* 3,000 7,890
Commercial Metals Co. 72,300 1,286,217
CompX International, Inc. 300 1,674
Corn Products International, 2,700 81,081
Inc.
Crompton Corporation 30,500 215,025
Crown Holdings, Inc.* 12,700 90,678
Culp, Inc.* 500 3,450
Cytec Industries, Inc.* 25,100 848,380
Delta & Pine Land Co. 1,300 28,574
Deltic Timber Corporation 400 11,380
DHB Industries, Inc.* 900 3,681
Drew Industries, Inc.* 400 7,280
Dycom Industries, Inc.* 32,300 526,490
ElkCorp 2,400 54,000
EMCOR Group, Inc.* 1,100 54,296
Encore Wire Corporation* 800 7,600
Energizer Holdings, Inc.* 14,500 455,300
Ferro Corporation 1,200 27,036
Florida Rock Industries, Inc. 1,300 53,664
Foamex International, Inc.* 1,100 3,366
Freeport-McMoRan Copper & 23,700 580,650
Gold, Inc. Class B
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Georgia Gulf Corporation 19,400 $ 384,120
Gibraltar Steel Corporation 700 14,336
Glatfelter 100 1,475
Grace (W.R.) & Co.* 3,500 15,435
GrafTech International, Ltd.* 3,900 21,255
Granite Construction, Inc. 17,200 329,552
Graphic Packaging 1,800 8,118
International Corporation*
Great Lakes Chemical 3,000 61,200
Corporation
Greif, Inc. Class A 20,600 473,800
Griffon Corporation* 10,000 160,000
H.B. Fuller Co. 18,900 416,178
Hercules, Inc.* 6,800 67,320
Hexel Corporation* 800 2,560
Hughes Supply, Inc. 1,900 65,930
IMC Global, Inc. 31,000 208,010
IMCO Recycling, Inc.* 600 3,984
Insignia Financial Group, 1,500 16,665
Inc.*
Insituform Technologies, Inc. 100 1,768
Class A*
Integrated Electical Services, 2,600 18,850
Inc.*
Interface, Inc. Class A 3,400 15,776
Intermet Corporation 1,700 5,729
IPSCO, Inc. 105,100 1,124,570
Jones Lang LaSalle, Inc.* 2,100 33,180
Kaydon Corporation 22,300 463,840
Lennox International, Inc. 21,500 276,705
Liquidmetal Technologies, 300 1,539
Inc.*
LNR Property Corporation 20,400 762,960
Lone Star Technologies, Inc.* 13,200 279,576
Longview Fibre Co. 4,100 33,620
Louisiana-Pacific Corporation* 8,300 89,972
LSI Industries, Inc. 300 3,330
Lubrizol Corporation 10,100 312,999
Lydall, Inc.* 700 7,490
MacDermid, Inc. 25,200 662,760
Material Sciences Corporation* 800 7,760
Maverick Tube Corporation* 17,500 335,125
Medis Technologies, Ltd.* 111 791
Mestek, Inc.* 200 3,600
Millennium Chemicals, Inc. 5,000 47,550
Minerals Technologies, Inc. 14,100 686,106
Mobile Mini, Inc.* 16,600 271,078
Modtech Holdings, Inc.* 700 6,433
MTC Technologies, Inc.* 14,800 347,208
Mueller Industries, Inc.* 7,000 189,770
Myers Industries, Inc. 1,475 14,013
NCI Building Systems, Inc.* 1,500 25,050
NL Industries, Inc. 700 11,900
Northwest Pipe Co.* 300 4,257
NS Group, Inc.* 1,400 13,650
Octel Corporation 800 11,120
Olin Corporation 320 5,472
Omnova Solutions, Inc.* 3,100 12,524
</Table>
See Notes to Financial Statements.
86
<Table>
<Caption>
SHARES VALUE
---------- ------------
Oregon Steel Mills, Inc.* 2,000 $ 5,800
Owens-Illinois, Inc.* 38,400 528,768
Pechiney SA ADR 18,100 325,438
Penford Corporation 200 2,234
Penn Engineering & 900 12,285
Manufacturing Corporation
PolyOne Corporation 52,800 234,960
Pope & Talbot, Inc. 1,200 13,260
Potlatch Corporation 2,300 59,225
Quaker Fabric Corporation 900 5,940
Quanex Corporation 12,100 359,612
Quanta Services, Inc.* 56,800 403,280
Reliance Steel & Aluminum Co. 15,100 312,570
Roanoke Electric Steel 800 5,992
Corporation
Rock-Tenn Co. Class A 900 15,255
RPM International, Inc. 13,500 185,625
RTI International Metals, 1,700 18,411
Inc.*
Ryerson Tull, Inc. 1,800 15,804
Schnitzer Steel Industries, 300 13,236
Inc. Class A
Schulman (A.), Inc. 17,000 273,020
Seminis, Inc. Class A* 1,000 3,680
Silgan Holdings, Inc.* 800 25,024
Solutia, Inc. 8,200 17,876
Southern Peru Copper 1,100 16,830
Corporation
Spartech Corporation 600 12,726
SPS Technologies, Inc.* 1,800 48,672
Standard Register Co. 17,700 291,696
Steel Dynamics, Inc.* 27,900 382,230
Stepan Co. 500 11,300
Stillwater Mining Co.* 3,400 17,476
Terra Industries, Inc.* 2,900 3,103
Texas Industries, Inc. 1,700 40,460
Trammell Crow Co.* 2,500 26,525
Tredegar Corporation 1,900 28,481
Trex Co., Inc.* 100 3,925
U.S. Concrete, Inc.* 1,600 6,144
Unifi, Inc.* 4,000 24,800
Universal Forest Products, 1,100 23,034
Inc.
URS Corporation* 2,000 38,920
USEC, Inc. 6,400 44,928
USG Corporation* 2,900 55,100
Valhi, Inc. 1,740 16,739
Valmont Industries, Inc. 12,600 245,196
Washington Group 17,900 393,084
International, Inc.*
Watsco, Inc. 35,300 584,568
Wausau-Mosinee Paper 23,900 267,680
Corporation
Wellman, Inc. 79,000 884,800
Wellsford Real Properties, 400 6,164
Inc.*
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Wilson Greatbatch 16,900 $ 610,090
Technologies, Inc.*
Worthington Industries, Inc. 19,600 262,640
------------
23,403,339
------------
OTHER -- 0.5%
Carlisle Cos., Inc. 1,400 59,024
FMC Corporation* 4,700 106,361
GenCorp, Inc. 2,500 22,225
Jacuzzi Brands, Inc.* 87,700 463,933
Kaman Corporation Class A 1,800 21,042
Lancaster Colony Corporation 3,300 127,578
Ritchie Bros. Auctioneers, 7,800 300,378
Inc.*
Sequa Corporation Class A* 500 17,150
Trinity Industries, Inc. 2,800 51,828
Walter Industries, Inc. 28,800 338,400
------------
1,507,919
------------
OTHER ENERGY -- 4.6%
Arch Coal, Inc. 1,700 39,066
Atwood Oceanics, Inc.* 13,500 366,525
Berry Petroleum Co. Class A 23,300 418,235
Brown (Tom), Inc.* 2,700 75,033
Cabot Oil & Gas Corporation 2,200 60,742
Cal Dive International, Inc.* 15,900 346,620
Capstone Turbine Corporation* 2,700 2,943
CARBO Ceramics, Inc. 11,800 439,550
Chesapeake Energy Corporation 52,900 534,290
Comstock Resources, Inc.* 2,000 27,360
Core Laboratories NV* 8,700 93,960
Denbury Resources, Inc.* 1,900 25,517
Dril-Quip, Inc.* 11,600 211,120
Encore Acquisition Co.* 700 13,405
Energy Partners, Ltd.* 21,800 251,790
Equitable Resources, Inc. 9,100 370,734
Evergreen Resources, Inc.* 12,300 668,013
Forest Oil Corporation* 17,200 432,064
FuelCell Energy, Inc.* 1,100 9,009
Global Industries, Ltd.* 7,200 34,704
Grey Wolf, Inc.* 24,800 100,192
Gulf Island Fabrication, Inc.* 400 6,768
Hanover Compressor Co.* 3,400 38,420
Harvest Natural Resources, 1,300 8,281
Inc.*
Helmerich & Payne, Inc. 6,400 186,880
Holly Corporation 800 22,080
Horizon Offshore, Inc.* 600 2,988
Houston Exploration Co.* 11,100 385,170
Hydril Co.* 12,600 343,350
Input/Output, Inc.* 3,500 18,830
Key Energy Services, Inc.* 25,300 271,216
Lufkin Industries, Inc. 400 9,740
Massey Energy Co. 14,040 184,626
Meridian Resource Corporation* 2,500 11,825
NATCO Group, Inc. Class A* 300 2,049
Newpark Resources, Inc.* 400 2,192
Nuevo Energy Co.* 44,600 778,270
Oceaneering International, 21,400 546,770
Inc.*
</Table>
See Notes to Financial Statements.
87
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Oil States International, 10,400 $ 125,840
Inc.*
Parker Drilling Co.* 6,100 17,751
Patina Oil & Gas Corporation 19,900 639,785
Patterson-UTI Energy, Inc.* 11,200 362,880
Penn Virginia Corporation 600 25,800
Plains Exploration & 15,350 165,934
Production Co.*
Quicksilver Resources, Inc.* 200 4,790
Range Resources Corporation* 4,100 25,707
Remington Oil & Gas 400 7,352
Corporation*
Resource America, Inc. Class A 1,200 12,420
Seacor Smit, Inc.* 1,400 51,086
Spinnaker Exploration Co.* 21,300 558,060
St. Mary Land & Exploration 2,400 65,520
Co.
Stone Energy Corporation* 900 37,728
Sunoco, Inc. 20,400 769,896
Swift Energy Co.* 22,100 243,100
Syntroleum Corporation* 200 532
Tesoro Petroleum Corporation* 73,900 508,432
Tetra Technologies, Inc.* 11,600 343,940
Transmontaigne, Inc.* 1,400 9,072
Trico Marine Services, Inc.* 1,700 6,664
Universal Compression 1,300 27,118
Holdings, Inc.*
Valero Energy Corporation 6,000 217,980
Varco International, Inc.* 21,000 411,600
Veritas DGC, Inc.* 38,300 440,450
Vintage Petroleum, Inc. 48,400 545,952
W-H Energy Services, Inc.* 24,000 467,520
Westport Resources 17,000 386,750
Corporation*
------------
13,819,986
------------
PRODUCER DURABLES -- 8.4%
Active Power, Inc.* 1,100 1,848
Actuant Corporation Class A* 700 33,124
ADE Corporation* 700 6,006
Advanced Energy Industries, 40,000 570,000
Inc.*
Alamo Group, Inc. 500 6,110
Allen Telecom, Inc.* 2,200 36,344
American Superconductor 700 4,193
Corporation*
American Tower Corporation 7,600 67,260
Class A*
Applied Films Corporation* 700 18,116
Applied Industrial 1,500 31,650
Technologies, Inc.
Arris Group, Inc.* 4,000 19,840
Artesyn Technologies, Inc.* 2,300 12,903
Astec Industries, Inc.* 1,200 10,464
Asyst Technologies, Inc.* 200 1,338
ATMI, Inc.* 9,500 237,215
Audiovox Corporation Class A* 1,300 14,547
Axcelis Technologies, Inc.* 60,600 370,872
BE Aerospace, Inc.* 1,800 5,958
Beazer Homes USA, Inc.* 6,300 526,050
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Belden, Inc. 10,700 $ 170,023
Briggs & Stratton Corporation 9,200 464,600
Brooks Automation, Inc.* 12,300 139,482
C & D Technologies, Inc. 10,000 143,600
C-COR.net Corporation* 1,300 6,370
Cable Design Technologies 3,500 25,025
Corporation*
Cascade Corporation 700 12,180
Champion Enterprises, Inc.* 4,500 23,310
Columbus McKinnon Corporation* 900 2,088
Credence Systems Corporation* 62,000 525,140
Crown Castle International 11,200 87,024
Corporation*
CTS Corporation 32,900 343,805
CUNO, Inc.* 400 14,448
Curtiss-Wright Corporation 500 31,600
Cymer, Inc.* 20,400 643,824
Dionex Corporation* 400 15,900
Dominion Homes, Inc.* 200 4,770
Ducommun, Inc.* 500 7,050
DuPont Photomasks, Inc.* 26,500 498,995
Electro Scientific Industries, 100 1,516
Inc.*
Electroglas, Inc.* 300 393
Emcore Corporation* 900 2,952
ESCO Technologies, Inc.* 900 39,600
Esterline Technologies 1,600 27,856
Corporation*
Federal Signal Corporation 29,600 520,072
FEI Co.* 7,500 140,700
Flow International 600 846
Corporation*
FSI International, Inc.* 2,300 8,970
Gardner Denver, Inc.* 1,300 26,598
Genlyte Group, Inc.* 12,800 447,616
Gorman-Rupp Co. 200 4,800
Headwaters, Inc.* 18,400 270,296
Heico Corporation 1,100 13,420
HON Industries, Inc. 19,100 582,550
Hovnanian Enterprises, Inc. 12,500 736,875
Class A*
IDEX Corporation 24,500 887,880
Imagistics International, 1,200 30,960
Inc.*
Integrated Defense 59,200 918,192
Technologies, Inc.*
Ionics, Inc.* 1,400 31,318
JLG Industries, Inc. 3,300 22,440
Joy Global, Inc.* 13,500 199,395
Kadant, Inc.* 1,100 20,625
KB HOME 16,300 1,010,274
Kennametal, Inc. 2,700 91,368
Kimball International, Inc. 2,700 42,120
Class B
Ladish Co., Inc.* 700 4,634
Littelfuse, Inc.* 700 15,652
LTX Corporation* 104,900 904,238
M/I Schottenstein Homes, Inc. 18,000 768,240
</Table>
See Notes to Financial Statements.
88
<Table>
<Caption>
SHARES VALUE
---------- ------------
Magnetek, Inc.* 1,500 $ 3,810
Manitowoc Co., Inc. 800 17,840
Mastec, Inc.* 1,500 8,640
Mattson Technology, Inc.* 1,700 5,253
MDC Holdings, Inc. 10,450 504,526
Meritage Corporation* 500 24,630
Mettler Toledo International, 20,200 740,330
Inc.*
Milacron, Inc. 1,300 6,357
Moog, Inc. Class A* 1,200 41,700
MTS Systems Corporation 1,700 25,058
Mykrolis Corporation* 800 8,120
NACCO Industries, Inc. Class A 7,900 465,626
Nanometrics, Inc.* 500 3,540
Nordson Corporation 900 21,465
NVR, Inc.* 1,000 411,000
Orbital Sciences Corporation* 18,100 132,130
Palm Harbor Homes, Inc.* 14,900 282,206
Paxar Corporation* 38,100 419,100
Photon Dynamics, Inc.* 10,500 290,115
Photronics, Inc.* 50,600 882,970
Plantronics, Inc.* 57,100 1,237,357
Powell Industries, Inc.* 400 5,856
Power-One, Inc.* 2,000 14,300
Powerwave Technologies, Inc.* 48,300 302,841
Proton Energy Systems, Inc.* 1,900 4,066
Proxim Corporation Class A* 9,300 13,578
Pulte Homes, Inc. 12,600 776,916
Rayovac Corporation* 41,300 534,835
Regal-Beloit Corporation 15,900 303,690
Robbins & Myers, Inc. 800 14,800
Roper Industries, Inc. 24,600 915,120
Ryland Group, Inc. 12,900 895,260
Skyline Corporation 500 15,000
Smith (A.O.) Corporation 1,300 36,595
Somera Communications, Inc.* 300 438
Standard-Pacific Corporation 2,600 86,216
Standex International 800 16,800
Corporation
Stewart & Stevenson Services, 48,200 759,150
Inc.
Surebeam Corporation Class A* 4,800 12,720
Technical Olympic USA, Inc.* 200 4,726
Technitrol, Inc. 1,700 25,585
Tecumseh Products Co. Class A 3,200 122,592
Teledyne Technologies, Inc.* 1,000 13,100
Tennant Co. 7,300 268,275
Terayon Communication Systems, 5,100 13,923
Inc.*
Terex Corporation* 3,400 66,368
Therma-Wave, Inc.* 200 416
Thomas & Betts Corporation* 3,200 46,240
Thomas Industries, Inc. 17,500 473,375
Tollgrade Communications, 12,200 227,530
Inc.*
Trikon Technologies, Inc.* 100 362
Triumph Group, Inc.* 12,400 349,308
Ultratech, Inc.* 1,700 31,433
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
United Defense Industries, 1,700 $ 44,098
Inc.*
Veeco Instruments, Inc.* 200 3,406
Vicor Corporation* 900 8,640
Virco Manufacturing 330 2,099
Corporation
Watts Industries, Inc. Class A 8,300 148,155
William Lyon Homes, Inc.* 300 9,555
Woodhead Industries, Inc. 600 7,512
Woodward Governor Co. 400 17,200
X-Rite, Inc. 1,300 12,883
Zygo Corporation* 400 3,200
------------
25,045,403
------------
TECHNOLOGY -- 13.9%
@Road, Inc.* 3,550 38,766
3D Systems Corporation* 600 4,218
Acacia Research -- Acacia 400 484
Technologies*
Acxiom Corporation* 17,000 256,530
Adtran, Inc.* 18,700 959,123
Advanced Digital Information 2,200 21,978
Corporation*
Aeroflex, Inc.* 19,552 151,332
Aether Systems, Inc.* 1,300 6,370
Agile Software Corporation* 44,600 430,390
Alliance Semiconductor 1,800 8,712
Corporation*
Altiris, Inc.* 20,200 405,010
American Management Systems, 1,600 22,848
Inc.*
Anadigics, Inc.* 900 2,961
Analogic Corporation 500 24,380
Anaren, Inc.* 1,800 16,866
Anixter International, Inc.* 2,500 58,575
Answerthink, Inc.* 2,800 5,404
Anteon International 12,700 354,457
Corporation*
Ariba, Inc.* 9,800 29,106
Arrow Electronics, Inc.* 33,900 516,636
Ascential Software 2,500 41,100
Corporation*
Ask Jeeves, Inc.* 16,700 229,625
ASM International NV* 58,900 875,843
Aspect Communications 4,100 15,867
Corporation*
Aspen Technology, Inc.* 900 4,320
ATI Technologies, Inc.* 47,100 480,420
Avanex Corporation* 3,200 12,800
Avid Technology, Inc.* 6,300 220,941
Avnet, Inc.* 47,900 607,372
Avocent Corporation* 22,500 673,425
AXT, Inc.* 700 819
Bel Fuse, Inc. Class B 100 2,290
Bell Microproducts, Inc.* 1,400 5,978
Benchmark Electronics, Inc.* 14,800 455,248
Black Box Corporation 14,800 535,760
Business Objects SA ADR* 19,200 421,440
Caliper Technologies 900 4,095
Corporation*
Checkpoint Systems, Inc.* 2,400 33,960
</Table>
See Notes to Financial Statements.
89
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
ChipPAC, Inc. Class A* 40,700 $ 312,169
CIBER, Inc.* 42,500 298,350
Cirrus Logic, Inc.* 5,000 20,100
Citrix Systems, Inc.* 24,800 504,928
Cognizant Technology Solutions 20,150 490,854
Corporation*
Cognos, Inc.* 29,500 796,500
Coherent, Inc.* 2,300 55,039
CommScope, Inc.* 17,300 164,350
CompuCom Systems, Inc.* 1,800 8,136
Computer Horizons Corporation* 2,500 11,350
Computer Network Technology 1,000 8,100
Corporation*
Concur Technologies, Inc.* 19,200 193,344
Cree, Inc.* 19,400 315,832
Datastream Systems, Inc.* 300 3,177
Digimarc Corporation* 100 1,570
Digital River, Inc.* 16,300 314,590
Digitas, Inc.* 300 1,488
Documentum, Inc.* 17,300 340,291
DSP Group, Inc.* 9,000 193,770
Dynamics Research Corporation* 100 1,528
E.piphany, Inc.* 2,300 11,753
EDO Corporation 27,100 479,670
Electronics for Imaging, Inc.* 23,300 472,757
EMS Technologies, Inc.* 300 3,981
Emulex Corporation* 18,000 409,860
Enterasys Networks, Inc.* 10,800 32,724
Entrust, Inc.* 200 588
Exar Corporation* 500 7,915
Fairchild Semicoductor 13,200 168,828
International, Inc.*
Filenet Corporation* 20,400 368,016
Finisar Corporation* 5,000 7,750
FLIR Systems, Inc.* 17,200 518,580
Foundry Networks, Inc.* 24,200 348,480
Gartner, Inc. Class A* 4,500 34,110
Gartner, Inc. Class B* 75,500 566,250
GlobespanVirata, Inc.* 66,200 546,150
Handspring, Inc.* 800 904
Hutchinson Technology, Inc.* 13,600 447,304
iGate Corporation* 1,500 5,205
II-VI, Inc.* 200 4,616
Imation Corporation 2,800 105,896
InFocus Corporation* 2,900 13,688
Infonet Services Corporation 4,900 7,791
Class B*
Informatica Corporation* 84,500 583,895
Information Resources, Inc.* 2,200 8,690
Inforte Corporation* 100 788
Integrated Circuit Systems, 35,000 1,100,050
Inc.*
Integrated Device Technology, 89,500 988,975
Inc.*
Integrated Silicon Solutions, 2,100 14,574
Inc.*
Interland, Inc.* 10,300 10,094
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
International Rectifier 13,800 $ 370,116
Corporation*
Internet Security Systems, 200 2,898
Inc.*
Interwoven, Inc.* 141,300 313,686
Iomega Corporation* 51,200 542,720
ITXC Corporation* 1,400 3,654
j2 Global Communications, 1,650 75,867
Inc.*
Keane, Inc.* 800 10,904
Keynote Systems, Inc.* 700 7,336
Lattice Semiconductor 57,300 471,579
Corporation*
Lawson Software, Inc.* 56,300 437,451
LeCroy Corporation* 400 3,864
Macromedia, Inc.* 21,600 454,464
Macrovision Corporation* 29,900 595,608
Magma Design Automation, Inc.* 400 6,860
Mantech International 21,700 416,206
Corporation Class A*
Manufacturers' Services, Ltd.* 800 3,880
Manugistics Group, Inc.* 2,100 8,631
Mapinfo Corporation* 100 713
MatrixOne, Inc.* 800 4,592
Maxtor Corporation* 13,800 103,638
McData Corporation Class A* 25,000 366,750
MEMC Electronic Materials, 1,400 13,720
Inc.*
Mentor Graphics Corporation* 31,900 461,912
Merix Corporation* 300 2,286
MetaSolv Software, Inc.* 1,800 3,528
Methode Electronics, Inc. 2,700 29,025
Class A
Micrel, Inc.* 20,600 214,034
Micromuse, Inc.* 25,400 202,946
Microsemi Corporation* 24,600 393,600
MicroStrategy, Inc. Class A* 11,600 422,588
Microtune, Inc.* 3,200 10,240
MRV Communications, Inc.* 3,100 6,231
National Instruments 26,500 1,001,170
Corporation*
Net2Phone, Inc.* 1,300 5,629
Netegrity, Inc.* 800 4,672
NETIQ Corporation* 1,500 23,190
Netro Corporation* 1,500 4,320
Netscout Systems, Inc.* 18,900 101,493
NetScreen Technologies, Inc.* 12,100 272,855
New Focus, Inc.* 2,400 8,976
Newport Corporation* 14,400 213,120
Novell, Inc.* 28,700 88,396
NU Horizons Electronics 48,050 288,300
Corporation*
Nuance Communications, Inc.* 1,000 5,400
Omnivision Technologies, Inc.* 3,200 99,840
ON Semiconductor Corporation* 600 1,620
Openwave Systems, Inc.* 6,500 12,675
Oplink Communications, Inc.* 8,100 15,147
</Table>
See Notes to Financial Statements.
90
<Table>
<Caption>
SHARES VALUE
---------- ------------
Optical Communication 600 $ 1,080
Products, Inc.*
Palm, Inc.* 1,475 23,998
Paradyne Networks, Inc.* 1,300 2,340
Parametric Technology 9,400 28,670
Corporation*
Park Electrochemical 1,000 19,950
Corporation
PC-Tel, Inc.* 1,600 18,976
Pericom Semiconductor 1,500 13,950
Corporation*
Perot Systems Corporation 2,900 32,944
Class A*
Pinnacle Systems, Inc.* 30,800 329,560
Pioneer Standard Electronics, 2,400 20,352
Inc.
Pixelworks, Inc.* 43,300 257,202
Plexus Corporation* 61,700 711,401
PMC-Sierra, Inc.* 21,300 249,849
Pomeroy Computer Resources* 800 8,848
ProcureNet, Inc.* 7,600 0
Quantum Corporation* 11,400 46,170
Quovadx, Inc.* 1,700 5,083
Radisys Corporation* 500 6,600
Radware, Ltd.* 10,700 183,291
Rainbow Technologies, Inc.* 1,900 15,979
Red Hat, Inc.* 1,100 8,327
REMEC, Inc.* 3,000 20,880
Richardson Electronics, Ltd. 500 4,050
Riverstone Networks, Inc.* 1,200 1,416
Roxio, Inc.* 200 1,338
RSA Security, Inc.* 2,900 31,175
Safeguard Scientifics, Inc.* 9,300 25,110
SafeNet, Inc.* 6,600 184,668
Sandisk Corporation* 29,000 1,170,150
Sapient Corporation* 3,800 10,526
SBS Technologies, Inc.* 900 8,848
ScanSoft, Inc.* 38,900 211,227
Scientific-Atlanta, Inc. 40,000 953,600
SCM Microsystems, Inc.* 1,200 6,552
Seachange International, Inc.* 700 6,678
Semtech Corporation* 56,700 807,408
Serena Software, Inc.* 9,250 193,140
Sierra Wireless, Inc.* 68,200 421,476
Silicon Graphics, Inc.* 14,800 16,872
Sipex Corporation* 2,000 9,800
Skyworks Solutions, Inc.* 48,500 328,345
SonicWALL, Inc.* 2,400 11,520
SpeechWorks International, 900 4,230
Inc.*
SPSS, Inc.* 700 11,718
SRA International, Inc. Class 6,400 204,800
A*
Standard Microsystems 1,100 16,687
Corporation*
StorageNetworks, Inc.* 2,300 3,197
Stratasys, Inc.* 5,500 193,435
Stratex Networks, Inc.* 6,500 20,800
Stratos Lightwave, Inc.* 280 1,392
Suntron Corporation* 100 282
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Supertex, Inc.* 21,300 $ 391,281
Sybase, Inc.* 109,900 1,528,709
Sycamore Networks, Inc.* 9,400 36,002
SYKES Enterprises, Inc.* 1,100 5,379
Synaptics, Inc.* 28,900 388,994
Systems & Computer Technology 1,100 9,900
Corporation*
Tekelec* 31,400 354,820
Tellium, Inc.* 2,700 2,511
Three-Five Systems, Inc.* 29,200 201,480
TIBCO Software, Inc.* 72,400 368,516
Titan Corporation* 109,900 1,130,871
Transaction Systems 40,400 361,984
Architects, Inc. Class A*
Transmeta Corporation* 3,600 5,760
Trimble Navigation, Ltd.* 5,500 126,115
Triquint Semiconductor, Inc.* 1,800 7,488
TriZetto Group, Inc.* 500 3,020
TTM Technologies, Inc.* 100 469
Turnstone Systems, Inc.* 2,800 7,028
Ulticom, Inc.* 400 3,800
UNOVA, Inc.* 3,300 36,630
Varian, Inc.* 7,200 249,624
Vastera, Inc.* 400 2,388
Verint Systems, Inc.* 100 2,541
Verity, Inc.* 29,400 372,204
Viasat, Inc.* 500 7,170
Vignette Corporation* 9,000 18,720
Vitesse Semiconductor 95,800 471,336
Corporation*
Vitria Technology, Inc.* 650 3,725
WatchGuard Technologies, Inc.* 1,100 5,060
webMethods, Inc.* 600 4,878
Websense, Inc.* 57,100 894,186
Western Digital Corporation* 26,800 276,040
Wind River Systems, Inc.* 1,500 5,715
Zomax, Inc.* 1,500 4,905
Zoran Corporation* 600 11,526
------------
41,515,792
------------
UTILITIES -- 3.2%
AGL Resources, Inc. 5,000 127,200
Alaska Communications Systems 500 1,760
Group, Inc.*
Allegiance Telecom, Inc.* 3,600 198
American States Water Co. 1,100 30,030
Atmos Energy Corporation 3,600 89,280
Avista Corporation 34,900 493,835
Black Hills Corporation 1,500 46,050
Boston Communications Group, 17,400 298,062
Inc.*
California Water Service Group 1,000 28,120
Cascade Natural Gas 400 7,640
Corporation
Centennial Communications 300 1,200
Corporation*
Central Vermont Public Service 900 17,595
Corporation
</Table>
See Notes to Financial Statements.
91
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
CH Energy Group, Inc. 1,300 $ 58,500
Cincinnati Bell, Inc.* 15,200 101,840
Citizens Communications Co.* 50,700 653,523
Cleco Corporation 36,100 625,252
CT Communications, Inc. 1,300 13,975
DQE, Inc. 5,700 85,899
El Paso Electric Co.* 3,700 45,621
Empire District Electric Co. 1,800 39,150
Energen Corporation 2,700 89,910
Energy East Corporation 24,800 514,848
EnergySouth, Inc. 100 3,280
Golden Telecom, Inc.* 1,100 24,684
Laclede Group, Inc. 1,500 40,200
MGE Energy, Inc. 500 15,690
New Jersey Resources 2,000 71,000
Corporation
Northeast Utilities 25,800 431,892
Northwest Natural Gas Co. 2,000 54,500
Northwestern Corporation 2,900 5,800
NSTAR 11,400 519,270
NUI Corporation 1,300 20,176
Oneok, Inc. 46,500 912,795
Piedmont Natural Gas Co., Inc. 2,400 93,144
Pinnacle West Capital 18,400 689,080
Corporation
PNM Resources, Inc. 18,500 494,875
PTEK Holdings, Inc.* 3,700 17,945
RCN Corporation* 2,000 3,960
SEMCO Energy, Inc. 1,400 8,148
Sierra Pacific Resources* 9,300 55,242
SJW Corporation 200 17,050
South Jersey Industries, Inc. 1,000 36,850
Southern Union Co.* 3,200 54,208
Southwest Gas Corporation 2,600 55,068
Southwestern Energy Co.* 39,100 586,891
Talk America Holdings, Inc.* 1,800 19,638
Time Warner Telecom, Inc. 1,800 11,466
Class A*
Ubiquitel, Inc.* 4,300 6,450
UGI Corporation 11,400 361,380
UIL Holdings Corporation 1,000 40,550
Unisource Energy Corporation 24,600 462,480
Unitil Corporation 300 7,230
Westar Energy, Inc. 4,500 73,035
Western Gas Resources, Inc. 1,200 47,520
Western Wireless Corporation 15,200 175,256
Class A*
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
WGL Holdings, Inc. 3,900 $ 104,130
Wisconsin Energy Corporation 19,900 577,100
WPS Resources Corporation 2,500 100,500
------------
9,567,971
------------
TOTAL COMMON STOCK
(Cost $248,238,011) 278,755,749
------------
SHORT-TERM INVESTMENTS -- 33.3%
AB Funds Trust -- Money Market 18,958,471 18,958,471
Fund (Affiliated Fund)
Northern Institutional Liquid 80,189,573 80,189,573
Assets Portfolio sec.
------------
TOTAL SHORT-TERM INVESTMENTS
99,148,044
(Cost $99,148,044)
------------
MUTUAL FUNDS -- 0.4%
Gladstone Capital Corporation 500 10,315
IShares Russell 2000 12,975 1,153,478
------------
TOTAL MUTUAL FUNDS
(Cost $1,018,262) 1,163,793
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.4%
U.S. Treasury Bills
1.07%, 07/17/03++++ $ 50,000 49,976
1.14%, 07/17/03++++ 1,200,000 1,199,491
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,249,368) 1,249,467
------------
CORPORATE BONDS -- 0.0%
TIMCO Aviation Services, Inc.
8.00%, 01/01/07
(Cost $0) 4,888 28
------------
<Caption>
SHARES
----------
WARRANTS -- 0.0%
PRODUCER DURABLES
TIMCO Aviation Services, Inc.,
Strike price $5.16, 2/27/07,
(Cost $0) 5,070 5
------------
TOTAL INVESTMENTS -- 127.5%
(Cost $349,653,685) 380,317,086
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (27.5%) (82,035,386)
------------
NET ASSETS -- 100.0% $298,281,700
============
</Table>
See Notes to Financial Statements.
92
INTERNATIONAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT INSTITUTIONAL MSCI AC WORLD
CLASS* CLASS* RETAIL CLASS* FREE EX-U.S. INDEX**
---------- ------------- ------------- --------------------
One Year (5.96%) (5.79%) (6.06%) (4.19%)
Since Inception (8/27/01 -- 6/30/03) (4.71%) (4.60%) (5.34%) (5.80%)
</Table>
Past performance is no guarantee of future results, share prices will fluctuate,
and you may have a gain or loss when you redeem shares.
[LINE GRAPH]
<Table>
<Caption>
MSCI ALL COUNTRY WORLD FREE EX-
INTERNATIONAL RETIREMENT CLASS U.S. INDEX**
------------------------------ -------------------------------
8/27/01 10000.00 10000.00
8/31/01 9777.00 9707.00
9/30/01 8731.00 8677.00
10/31/01 9014.00 8920.00
11/30/01 9460.00 9328.00
12/31/01 9539.00 9448.00
1/31/02 9203.00 9043.00
2/28/02 9375.00 9108.00
3/31/02 9891.00 9603.00
4/30/02 9994.00 9666.00
5/31/02 10149.00 9771.00
6/30/02 9728.00 9349.00
7/31/02 8773.00 8438.00
8/31/02 8765.00 8439.00
9/30/02 7939.00 7544.00
10/31/02 8274.00 7949.00
11/30/02 8541.00 8331.00
12/31/02 8400.00 8062.00
1/31/03 8061.00 7779.00
2/28/03 7887.00 7622.00
3/31/03 7687.00 7474.00
4/30/03 8348.00 8194.00
5/31/03 8870.00 8716.00
6/30/03 9148.00 8957.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since August 27, 2001 (commencement of operations), with all
dividends and capital gains reinvested, with the Morgan Stanley Capital
International All Country World Free ex-U.S. Index.
*These returns reflect expense waivers by the Fund's investment advisor. Without
these waivers, returns would have been lower. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
**The Morgan Stanley Capital International All Country World Free ex-U.S. Index
is a market-capitalization weighted index composed of companies representative
of the market structure of developed and emerging market countries in the
Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It
excludes closed markets and those shares in otherwise free markets that are not
purchasable by foreigners.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction
costs, management fees or other expenses.
Not Part of the Semi-Annual Report
93
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2003 PAR VALUE
- ------------- ----------- ------------
FOREIGN CONVERTIBLE BONDS -- 0.0%
SWITZERLAND
Credit Suisse Group Finance,
Ltd.(S)
6.00%, 12/23/05
(Cost $162,992) 241,000 $ 205,409
------------
<Caption>
SHARES
-----------
FOREIGN COMMON STOCK -- 95.5%
AUSTRALIA -- 4.8%
Alumina, Ltd. 98,500 268,864
Amcor, Ltd. 687,796 3,745,566
Australia and New Zealand
Banking Group, Ltd. 50,000 624,048
BHP Billiton, Ltd. 781,458 4,528,153
Brambles Industries, Ltd. 45,100 138,228
Coca-Cola Amatil, Ltd. 245,000 938,218
Coles Myer, Ltd. 822,970 3,863,526
Commonwealth Bank of
Australia 94,000 1,862,890
InterOil Corporation* 180,000 229,365
Lend Lease Corporation, Ltd. 465,756 2,608,235
National Australia Bank, Ltd. 221,340 4,972,863
Orica, Ltd. 201,526 1,463,731
QBE Insurance Group, Ltd. 73,327 458,333
Telstra Corporation, Ltd. 1,415,414 4,176,745
WMC Resources, Ltd.* 98,500 231,870
Woodside Petroleum, Ltd. 850,000 7,057,345
Woolworths, Ltd. 115,800 972,332
------------
38,140,312
------------
BELGIUM -- 1.6%
Colruyt NV 56,600 3,912,771
Electrabel SA 6,959 1,773,274
Fortis 217,589 3,761,562
UCB SA 107,900 2,956,402
------------
12,404,009
------------
BRAZIL -- 0.4%
Aracruz Celulose SA ADR 10,800 227,448
Brasil Telecom Participacoes
SA ADR 23,000 861,350
Companhia Brasileira de
Distribuicao Grupo Pao de
Acucar ADR 14,800 227,032
Companhia Vale Do Rio Doce
ADR 18,000 499,500
Compania Paranaense de
Energia ADR* 12,600 37,800
Empresa Brasileira de
Aeronautica SA ADR 6,000 114,600
Gerdau SA ADR 8,000 94,000
Petroleo Brasileiro SA --
Petrobas ADR 40,000 710,400
Tele Norte Leste
Participacoes SA ADR 10,000 116,800
------------
2,888,930
------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
CANADA -- 1.5%
Abitibi-Consolidated, Inc. 74,000 $ 468,372
Alcan, Inc. 8,800 272,079
BCE, Inc. 68,000 1,554,429
Bombardier, Inc. Class B 312,100 1,049,713
Manulife Financial
Corporation 118,000 3,316,591
Suncor Energy, Inc. 27,400 510,996
Talisman Energy, Inc. 36,000 1,629,439
TELUS Corporation 50,500 830,672
Thomson Corporation (The) 66,200 2,067,495
------------
11,699,786
------------
CHILE -- 0.3%
AFP Provida SA ADR 40,000 961,200
Banco Santander Chile SA 4,000 81,640
Compania de
Telecomunicaciones de Chile
SA ADR 10,000 118,000
Distribucion y Servicio D&S
SA ADR 35,200 450,560
Embotelladora Andina SA ADR
Class A 30,100 236,285
Embotelladora Andina SA ADR
Class B 40,000 307,600
Empresa Nacional de
Electricidad SA ADR* 9,000 81,090
Lan Chile SA ADR 42,000 336,000
------------
2,572,375
------------
CHINA -- 0.2%
Beijing Datang Power
Generation Co., Ltd. Class
H* 378,000 166,021
China Petroleum & Chemical
Corporation Class H 228,000 54,675
Hainan Meilan Airport Co.,
Ltd. Class H 183,000 86,242
Jiangsu Expressway Co., Ltd.
Class H 1,434,100 542,514
Sinotrans, Ltd. Class H* 1,659,000 468,035
Travelsky Technology, Ltd.
Class H 601,000 404,616
------------
1,722,103
------------
CROATIA -- 0.1%
Pliva DD GDR 61,400 850,390
------------
CZECH REPUBLIC -- 0.0%
Komercni Banka AS 4,070 293,730
------------
DENMARK -- 0.7%
Novo-Nordisk AS Class B 127,100 4,449,413
TDC AS 48,600 1,453,471
------------
5,902,884
------------
ECUADOR -- 0.0%
La Cemento Nacional GDR 26,250 202,125
------------
</Table>
See Notes to Financial Statements.
94
<Table>
<Caption>
SHARES VALUE
----------- ------------
EGYPT -- 0.1%
Egyptian Co. for Mobile
Services 61,095 $ 546,110
Orascom Construction
Industries 71,580 579,192
------------
1,125,302
------------
ESTONIA -- 0.1%
Hansabank, Ltd. 52,000 1,065,892
------------
FINLAND -- 0.7%
Nokia OYJ 212,300 3,495,995
UPM-Kymmene OYJ 144,600 2,110,500
------------
5,606,495
------------
FRANCE -- 8.6%
Accor SA 11,700 423,222
Air Liquide SA 7,912 1,172,962
Assurances Generales de
France 42,500 1,750,620
Aventis SA 33,667 1,852,261
BNP Paribas SA 58,600 2,977,711
Bouygues SA 69,200 1,910,347
Carrefour SA 140,591 6,890,544
Compagnie de Saint-Gobain 122,200 4,809,024
Essilor International SA
Compagnie Generale
D'Optique 14,100 568,003
France Telecom SA 90,307 2,215,105
Groupe Danone 8,000 1,107,003
L'Oreal SA 48,840 3,443,624
Lafarge SA 24,100 1,411,428
Pechiney SA 9,600 344,613
Pinault-Printemps-Redoute SA 18,617 1,402,443
Renault SA 29,600 1,564,943
Sanofi-Synthelabo SA 141,900 8,310,443
Schneider Electric SA 24,200 1,137,718
Societe BIC SA 14,600 568,361
Societe Generale Class A 75,300 4,773,156
Societe Television Francaise
1 80,000 2,462,047
Suez SA 54,190 862,490
Thomson 40,970 631,849
Total SA 81,881 12,374,016
Valeo SA 36,307 1,259,125
Vivendi Universal SA 91,000 1,656,312
------------
67,879,370
------------
GERMANY -- 4.9%
Allianz AG 30,029 2,495,922
BASF AG 33,193 1,417,950
Bayer AG 134,271 3,111,537
Bayerische Hypo-und
Vereinsbank AG 118,771 1,962,650
Bayerische Motoren Werke AG 55,400 2,131,210
Continental AG 93,500 1,962,725
DaimlerChrysler AG 16,100 562,045
Deutsche Bank AG 15,900 1,031,249
Deutsche Boerse AG 13,188 698,609
Deutsche Telekom AG 94,100 1,436,105
E.ON AG 32,600 1,676,009
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
Epcos AG 3,700 $ 47,672
Metro AG 69,100 2,233,716
Muenchener Rueckversicherungs
AG 7,700 785,014
RWE AG 129,160 3,899,332
SAP AG 6,900 813,750
SAP AG ADR 700 20,454
Schering AG 16,000 782,343
Siemens AG 90,216 4,425,745
Volkswagen AG 165,948 7,014,706
------------
38,508,743
------------
GHANA -- 0.2%
Ashanti Goldfields Co., Ltd.
GDR* 184,100 1,467,277
------------
GREECE -- 0.3%
Commercial Bank of Greece 19,000 332,951
Hellenic Tellecommunications
Organization SA 130,000 1,537,631
Piraeus Bank SA 75,000 566,707
------------
2,437,289
------------
HONG KONG -- 3.8%
Cheung Kong Holdings, Ltd. 111,000 667,583
China Merchants Holdings
International Co., Ltd. 348,000 310,151
China Mobile, Ltd. 1,421,000 3,352,906
Citic Pacific, Ltd. 51,000 93,195
CLP Holdings, Ltd. 1,150,000 5,028,770
CNOOC, Ltd. 1,311,500 1,934,085
Hang Lung Properties, Ltd. 423,000 382,419
Hang Seng Bank, Ltd. 67,400 713,056
Hong Kong & China Gas Co.,
Ltd. 4,290,000 5,418,799
Hongkong Electric Holdings,
Ltd. 901,500 3,537,502
Hongkong Land Holdings, Ltd. 283,000 353,750
Hutchison Whampoa, Ltd. 92,000 560,391
Jardine Matheson Holdings,
Ltd. 263,600 1,621,140
Johnson Electric Holdings,
Ltd. 542,000 670,712
Li & Fung, Ltd. 516,000 665,006
Shangri-La Asia, Ltd. 463,000 293,897
Sun Hung Kai Properties, Ltd. 292,485 1,477,779
Swire Pacific, Ltd. Class A 168,500 736,824
Wharf Holdings, Ltd. 1,308,000 2,515,988
------------
30,333,953
------------
HUNGARY -- 0.2%
Matav Rt. 27,861 95,287
Matav Rt. ADR 30,700 528,040
Mol Magyar Olaj-es Gazipari
Rt. 3,419 74,613
Mol Magyar Olaj-es Gazipari
Rt. GDR 24,681 545,450
OTP Bank Rt. 31,243 301,832
------------
1,545,222
------------
</Table>
See Notes to Financial Statements.
95
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- ------------
INDIA -- 0.8%
Bajaj Auto, Ltd. GDR 21,691 $ 264,196
GAIL India, Ltd. GDR 175,000 2,467,499
Grasim Industries, Ltd. GDR
144A 22,572 243,814
HDFC Bank, Ltd. ADR 13,050 244,688
Hindalco Industries, Ltd. GDR
144A 22,097 354,233
Mahanagar Telephone Nigam,
Ltd. ADR 40,100 192,480
Ranbaxy Laboratories, Ltd.
GDR 74,000 1,434,120
Reliance Industries, Ltd. GDR
144A 32,200 462,070
Satyam Computer Services,
Ltd. ADR 26,500 263,145
State Bank of India, Ltd. GDR 15,325 313,856
Tata Engineering & Locomotive
Co., Ltd. GDR 79,302 337,295
------------
6,577,396
------------
INDONESIA -- 0.4%
PT Bank Mandiri Persero*+ 515,000 42,136
PT Ramayana Lestari Sentosa
TBK 1,790,200 699,805
PT Telekomunikasi Indonesia
TBK 2,574,400 1,443,225
PT Unilever Indonesia TBK 300,000 970,909
------------
3,156,075
------------
IRELAND -- 0.5%
Allied Irish Banks PLC 105,000 1,568,694
CRH PLC 136,662 2,148,194
------------
3,716,888
------------
ISRAEL -- 0.3%
Bank Hapoalim, Ltd.* 53,000 112,521
Check Point Software
Technologies, Ltd.* 38,900 760,495
Orbotech, Ltd.* 24,000 399,120
Teva Pharmaceutical
Industries, Ltd. ADR 13,400 762,862
------------
2,034,998
------------
ITALY -- 2.8%
Assicurazioni Generali SpA 14,100 326,747
Banca Intesa SpA 2,224,977 7,115,777
Ente Nazionale Idrocarburi
SpA 491,413 7,431,972
Mediaset SpA 506,723 4,288,542
Telecom Italia Mobile SpA 360,324 1,775,097
Telecom Italia SpA 154,710 1,399,962
------------
22,338,097
------------
JAPAN -- 19.6%
Advantest Corporation 51,600 2,286,171
Aeon Co., Ltd. 64,000 1,465,751
Aiful Corporation 7,605 324,277
Bridgestone Corporation 169,000 2,294,150
Canon, Inc. 298,000 13,674,620
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
Chugai Pharmaceutical Co.,
Ltd. 35,400 $ 402,129
Dai Nippon Printing Co., Ltd. 161,000 1,702,853
Daiwa Securities Group, Inc. 134,000 770,019
Denso Corporation 208,200 3,299,643
Eisai Co., Ltd. 267,100 5,494,375
Fanuc, Ltd. 71,900 3,562,815
Fuji Machine Manufacturing
Co., Ltd. 65,000 752,446
Fuji Photo Film Co., Ltd. 154,000 4,450,386
Fujisawa Pharmaceutical Co.,
Ltd. 140,000 2,623,361
Hirose Electric Co., Ltd. 41,000 3,390,631
Hitachi, Ltd. 594,000 2,517,976
Honda Motor Co., Ltd. 187,900 7,120,091
Hoya Corporation 11,900 819,596
Ito-Yokado Co., Ltd. 131,000 3,136,582
Japan Airlines System
Corporation 102,000 222,561
Japan Telecom Holdings Co.,
Ltd. 652 1,981,929
JFE Holdings, Inc. 43,500 652,092
Kansai Electric Power Co.,
Inc. (The) 25,000 394,337
Kao Corporation 188,000 3,499,313
Keyence Corporation 24,400 4,470,540
Matsushita Electric
Industrial Co., Ltd. 402,686 3,987,455
Millea Holdings, Inc.* 535 4,090,194
Mitsubishi Corporation 51,000 353,804
Mitsubishi Estate Co., Ltd. 590,000 3,994,754
Mitsubishi Heavy Industries,
Ltd. 142,000 367,787
Mitsubishi Motors
Corporation* 180,000 406,246
Mitsubishi Tokyo Financial
Group, Inc. 370 1,673,204
Mitsui Fudosan Co., Ltd. 120,000 766,521
Mitsui Sumitomo Insurance
Co., Ltd. 78,000 361,824
Murata Manufacturing Co.,
Ltd. 76,700 3,014,983
NEC Corporation 179,000 894,441
Nidec Corporation* 4,200 277,377
Nikko Cordial Corporation 656,000 2,633,288
Nintendo Co., Ltd. 14,600 1,061,487
Nippon Telegraph & Telephone
Corporation 500 1,961,274
Nippon Yusen Kabushiki Kaisha 277,000 1,079,625
Nissan Motor Co., Ltd. 616,400 5,893,211
Nitto Denko Corporation 16,700 546,583
Nomura Holdings, Inc. 65,000 824,984
NTT DoCoMo, Inc. 1,892 4,096,773
ORIX Corporation 36,700 2,029,465
Pioneer Corporation 28,000 629,607
Rohm Co., Ltd. 52,310 5,702,586
Sankyo Co. Ltd. 37,000 441,874
Secom Co., Ltd. 70,000 2,052,051
Sekisui House, Ltd. 113,000 856,381
</Table>
See Notes to Financial Statements.
96
<Table>
<Caption>
SHARES VALUE
----------- ------------
Shimamura Co., Ltd. 5,500 $ 303,685
Shin-Etsu Chemical Co., Ltd. 157,500 5,377,889
Shionogi & Co., Ltd. 87,000 1,178,838
SMC Corporation 3,600 303,111
Sony Corporation 65,700 1,849,394
Sumitomo Chemical Co., Ltd. 312,000 979,588
Suzuki Motor Corporation 105,000 1,365,896
Takeda Chemical Industries,
Ltd. 168,000 6,198,127
TDK Corporation 13,100 646,954
Terumo Corporation 50,200 834,054
Tokyo Electron, Ltd. 39,500 1,871,789
Tokyu Corporation 161,000 518,901
Toray Industries, Inc. 239,000 555,328
Toyota Motor Corporation 159,400 4,128,537
West Japan Railway Co. 483 1,830,231
Yahoo Japan Corporation* 35 568,395
Yamanouchi Pharmaceutical
Co., Ltd. 168,700 4,397,510
Yamato Transport Co., Ltd. 22,000 243,498
------------
154,458,148
------------
JORDAN -- 0.0%
Arab Bank PLC 900 273,558
------------
LUXEMBOURG -- 0.1%
SES Global 48,100 312,079
Tenaris SA ADR* 7,042 179,571
------------
491,650
------------
MALAYSIA -- 0.4%
Hong Leong Bank BHD 229,000 278,417
Malaysian Oxygen BHD 167,000 461,450
Maxis Communications BHD 108,100 162,151
OYL Industries BHD 109,000 738,623
Public Bank BHD 1,678,000 1,219,401
Road Builder M Holdings BHD 185,000 171,369
Transmile Group BHD 420,000 371,370
------------
3,402,781
------------
MEXICO -- 1.5%
America Movil SA de CV ADR
Series L 74,300 1,393,125
Cemex SA de CV 192,167 859,072
Cemex SA de CV ADR 57,482 1,281,274
Coca-Cola Femsa SA de CV ADR* 34,200 735,300
Grupo Financiero Bancomer SA
de CV Series B* 1,305,600 1,105,950
Grupo Financiero Banorte SA
de CV Class O 55,000 155,650
Grupo Televisa SA ADR 22,300 769,350
Kimberly-Clark de Mexico SA
de CV Class A 242,400 651,112
Telefonos de Mexico SA de CV
ADR Class L 133,822 4,204,686
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
Wal-Mart de Mexico SA de CV
Series C 110,000 $ 296,527
Wal-Mart de Mexico SA de CV
Series V 274,698 811,918
------------
12,263,964
------------
NETHERLANDS -- 6.3%
ABN AMRO Holding NV* 193,547 3,700,601
Aegon NV 355,602 3,560,839
Akzo Nobel NV 41,000 1,086,654
ASML Holding NV* 45,300 430,205
CSM NV 160,000 3,525,872
Gucci Group NV 12,031 1,179,038
Hagemeyer NV 135,000 519,338
IHC Caland NV 55,000 2,808,043
ING Groep NV 217,599 3,780,658
Koninklijke Numico NV 74,600 1,147,930
Koninklijke Philips
Electronics NV 92,100 1,751,649
Reed Elsevier NV 238,274 2,810,080
Royal Dutch Petroleum Co. 267,988 12,441,405
Royal KPN NV* 492,212 3,487,458
TPG NV 76,000 1,319,584
Unilever NV 41,372 2,219,632
VNU NV 146,520 4,514,287
------------
50,283,273
------------
NEW ZEALAND -- 0.6%
Carter Holt Harvey, Ltd. 274,829 288,010
Telecom Corporation of New
Zealand, Ltd. 1,555,636 4,772,331
------------
5,060,341
------------
NORWAY -- 0.5%
Norsk Hydro ASA 49,000 2,409,813
Norske Skogindustrier ASA 19,100 285,770
Statoil ASA 144,000 1,226,865
------------
3,922,448
------------
PERU -- 0.1%
Compania de Minas
Buenaventura SA ADR 20,300 610,827
------------
PHILIPPINES -- 0.1%
ABS-CBN Broadcasting
Corporation* 223,500 76,319
Bank of the Philippine
Islands 347,800 299,351
SM Prime Holdings, Inc. 996,000 109,952
------------
485,622
------------
POLAND -- 0.0%
Bank Pekao SA 8,680 224,580
Polski Koncern Naftowy Orlen
GDR 6,090 59,127
------------
283,707
------------
PORTUGAL -- 0.0%
Portugal Telecom SGPS SA 44,600 319,588
------------
</Table>
See Notes to Financial Statements.
97
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- ------------
RUSSIA -- 0.7%
LUKOIL ADR 26,672 $ 2,107,088
Lukoil Holdings ADR 144A 1,900 150,100
Mining and Metallurgical Co.
Norilsk Nickel ADR 38,700 1,323,540
Mobile Telesystems ADR* 20,300 1,197,700
Wimm-Bill-Dann Foods OJSC
ADR* 11,500 233,450
YUKOS ADR 11,000 616,000
------------
5,627,878
------------
SINGAPORE -- 1.1%
DBS Group Holdings, Ltd. ADR
144A 124,000 725,264
Oversea-Chinese Banking
Corporation, Ltd. 346,000 1,964,770
Singapore Airlines, Ltd. 78,000 460,642
Singapore Telecommunications,
Ltd. 3,246,800 2,783,993
United Overseas Bank, Ltd. 341,000 2,401,109
Venture Corporation, Ltd. 42,000 383,982
------------
8,719,760
------------
SOUTH AFRICA -- 1.3%
ABSA Group, Ltd. 80,500 376,667
Alexander Forbes, Ltd. 400,000 585,885
Anglo American Platinum
Corporation, Ltd. 2,130 67,076
Anglo American PLC 203,948 3,147,203
AngloGold, Ltd. 2,800 88,362
FirstRand, Ltd. 305,400 310,686
Gold Fields, Ltd. 26,900 320,830
Impala Platinum Holdings,
Ltd. 3,370 200,136
Iscor, Ltd. 107,300 228,602
M-Cell, Ltd.* 571,800 1,239,532
Nedcor, Ltd. 18,000 214,514
Old Mutual PLC 97,800 143,900
Pick'n Pay Stores, Ltd. 97,200 176,021
Sanlam, Ltd. 254,400 237,124
Sasol, Ltd. 148,800 1,655,422
Standard Bank Investment
Corporation, Ltd. 135,000 589,613
Venfin, Ltd.* 199,900 447,179
------------
10,028,752
------------
SOUTH KOREA -- 2.5%
Hyundai Mobis 20,280 520,370
Hyundai Motor Co., Ltd.* 24,560 649,725
Kia Motors Corporation 18,190 134,008
Kookmin Bank 74,320 2,239,866
Kookmin Bank ADR 25,378 767,685
Kookmin Credit Card Co., Ltd. 14,000 190,456
Korea Electric Power
Corporation 52,300 827,518
KT Corporation 25,590 1,000,463
KT Corporation ADR 13,950 274,955
KT Freetel* 24,000 501,298
LG Chem, Ltd. 2,570 103,273
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
LG Electronics, Inc. 4,470 $ 186,359
LG Engineering & Construction
Corporation 21,270 367,707
POSCO 3,640 377,865
POSCO ADR 5,100 133,569
S-Oil Corporation 37,700 647,007
S1 Corporation 39,280 743,179
Samsung Electronics Co., Ltd. 12,030 3,575,260
Samsung Electronics Co., Ltd.
GDR 10,209 736,342
Samsung Electronics Co., Ltd.
GDR 144A 13,359 1,985,117
Samsung Fire & Marine
Insurance Co., Ltd. 14,400 700,410
Shinhan Financial Group Co.,
Ltd. 10,100 105,270
Shinsegae Co., Ltd. 8,440 1,317,756
SK Telecom Co., Ltd. 3,350 572,122
SK Telecom Co., Ltd. ADR 33,055 623,417
Tae Young Corporation 10,000 344,077
------------
19,625,074
------------
SPAIN -- 3.2%
Acerinox SA 15,439 590,030
Banco Bilbao Vizcaya
Argentaria SA 303,112 3,184,900
Banco Santander Central
Hispano SA 367,608 3,220,929
Endesa SA 156,870 2,626,449
Grupo Dragados SA 67,512 1,359,047
Iberdrola SA 205,800 3,563,841
Inditex SA 65,100 1,637,181
Repsol YPF SA 34,000 551,296
Telefonica SA* 727,445 8,445,454
------------
25,179,127
------------
SRI LANKA -- 0.1%
DFCC Bank* 168,000 518,759
------------
SWEDEN -- 1.8%
Assa Abloy AB Class B 79,374 768,462
Autoliv, Inc. AB 24,291 653,936
Electrolux AB Class B 91,900 1,813,907
ForeningsSparbanken AB 81,600 1,126,406
Hennes & Mauritz AB Class B 144,200 3,314,557
Nordea AB 400,000 1,947,420
Sandvik AB 50,900 1,332,123
Svenska Handelsbanken Class A 24,900 407,486
TeliaSonera AB 255,193 1,058,399
Volvo AB Class B 69,500 1,528,058
------------
13,950,754
------------
SWITZERLAND -- 3.6%
Adecco SA 31,779 1,309,129
Compagnie Financiere
Richemont AG Class A 102,849 1,662,847
Credit Suisse Group 74,358 1,957,020
Holcim, Ltd. 39,211 1,448,839
Nestle SA 32,600 6,726,786
</Table>
See Notes to Financial Statements.
98
<Table>
<Caption>
SHARES VALUE
----------- ------------
Novartis AG 186,954 $ 7,397,889
Roche Holding AG 12,500 980,499
STMicroelectronics NV 55,800 1,161,744
Swiss Reinsurance 41,584 2,304,014
Swisscom AG 7,070 2,009,501
Synthes-Stratec, Inc. 542 389,332
UBS AG 21,604 1,201,782
------------
28,549,382
------------
TAIWAN -- 0.9%
Chinatrust Financial Holding
Co., Ltd. 405,000 326,481
Compal Electronics, Inc. 251,000 336,504
Faraday Technology
Corporation* 190,000 455,649
Fubon Financial Holding Co.,
Ltd.* 563,000 450,595
HON HAI Precision Industry
Co., Ltd. 80,000 290,090
MediaTek, Inc. 44,000 441,144
Phoenixtec Power Co., Ltd. 321,000 269,896
President Chain Store
Corporation 141,000 189,439
Sunplus Technology Co., Ltd. 165,000 214,533
Taishin Financial Holdings
Co., Ltd.* 488,000 253,799
Taiwan Semiconductor
Manufacturing Co., Ltd.* 2,093,000 3,447,010
United Microelectronics
Corporation* 249,000 160,436
------------
6,835,576
------------
THAILAND -- 0.3%
Advanced Info Service Public
Co., Ltd. 427,000 619,577
Bangkok Bank Public Co.,
Ltd.* 205,400 329,793
BEC World Public Co., Ltd. 77,700 443,578
PTT Exploration and
Production Public Co., Ltd. 197,900 757,894
PTT Public Co., Ltd. 151,400 239,489
Siam Commercial Bank Public
Co., Ltd.* 58,300 49,924
------------
2,440,255
------------
TURKEY -- 0.1%
Akbank TAS 48,291,250 143,060
Enka Insaat Ve Sanayi AS 1,172,402 40,314
Hurriyet Gazetecilik Ve
Matbaacilik AS* 60,362,127 104,311
Migros Turk TAS 48,090,000 478,270
Turkcell Iletisim Hizmetleri
AS* 4,606,570 30,868
Turkcell Iletisim Hizmetleri
AS ADR* 4,358 73,650
Turkiye Garanti Bankasi AS* 68,084,179 92,204
------------
962,677
------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
UNITED KINGDOM -- 17.4%
Antofagasta PLC 175,000 $ 1,775,990
ARM Holdings PLC* 110,000 121,617
AstraZeneca PLC 220,694 8,911,967
Aviva PLC 189,663 1,316,843
BAA PLC 324,826 2,629,161
BAE Systems PLC 1,058,854 2,489,879
Barclays PLC 117,200 870,297
BG Group PLC 2,247,218 9,956,734
BHP Billiton PLC 198,163 1,043,135
BOC Group PLC 134,300 1,723,073
Boots Group PLC 437,534 4,682,191
BP PLC 271,283 1,881,298
Brambles Industries PLC 638,524 1,728,019
British Airways PLC 850,400 2,126,000
British Sky Broadcasting PLC* 299,252 3,315,969
Cable & Wireless PLC 815,418 1,520,499
Cadbury Schweppes PLC 300,000 1,772,277
Centrica PLC 636,500 1,845,955
Compass Group PLC 45,400 244,793
Dimension Data Holdings PLC* 436,700 156,736
GKN PLC 503,116 1,847,249
GlaxoSmithKline PLC 243,818 4,920,617
GUS PLC 420,400 4,710,422
Hays PLC 589,300 933,545
HBOS PLC 481,461 6,232,776
HSBC Holdings PLC 379,673 4,485,905
Intercontinental Hotels Group
PLC* 408,484 2,898,484
Johnson Matthey PLC 125,000 1,821,370
Kingfisher PLC 699,531 3,200,412
Lloyds TSB Group PLC 699,953 4,969,551
Marks & Spencer Group PLC 336,190 1,751,683
mmO2 PLC* 497,500 465,893
National Grid Transco PLC 135,500 918,985
Next PLC 382,503 6,479,198
Northumbrian Water Group PLC* 464,416 885,149
Pearson PLC 158,300 1,478,512
Peninsular & Oriental Steam
Navigation Co. (The) 220,400 854,686
Prudential PLC 69,800 422,716
Reckitt Benckiser PLC 181,720 3,334,532
Reed Elsevier PLC 429,411 3,573,110
Reuters Group PLC 111,900 324,528
Rio Tinto PLC 143,877 2,706,597
Royal Bank of Scotland Group
PLC 200,964 5,637,604
Scottish Power PLC 100,400 603,063
Shell Transport & Trading Co.
PLC 640,000 4,224,422
Smith & Nephew PLC 189,633 1,089,764
Smiths Group PLC 151,700 1,759,820
Standard Chartered PLC 99,600 1,209,663
Trinity Mirror PLC 197,000 1,396,229
Unilever PLC 295,500 2,352,785
</Table>
See Notes to Financial Statements.
99
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- ------------
Vodafone Group PLC 4,920,566 $ 9,621,900
Xstrata PLC 110,000 730,611
------------
137,954,214
------------
VENEZUELA -- 0.0%
Compania Anonima Nacional
Telefonos de Venezuela ADR 2,001 24,992
------------
TOTAL FOREIGN COMMON STOCK
(Cost $791,194,642) 756,742,748
------------
FOREIGN PREFERRED STOCK -- 0.2%
BRAZIL -- 0.1%
Companhia de Tecidos do Norte
de Minas -- Coteminas 4,986,860 347,636
Gerdau SA 19,500 223,614
Investimentos Itau SA
(Preferred Receipts)* 7,412 5,839
Investimentos Itau SA 250,000 196,932
------------
774,021
------------
JAPAN -- 0.1%
SMFG Finance, Ltd. 144A 78,000,000 601,686
------------
TOTAL FOREIGN PREFERRED STOCK
(Cost $1,181,907) 1,375,707
------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ------------
RIGHTS -- 0.0%
FRANCE
Lafarge SA, Strike price 41
Euros, 07/02/03*
(Cost $0) 24,100 $ 65,036
------------
SHORT-TERM INVESTMENTS -- 12.4%
AB Funds Trust -- Money
Market Fund (Affiliated
Fund) 30,237,796 30,237,796
Northern Institutional Liquid
Assets Portfolio sec. 68,154,450 68,154,450
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $98,392,246) 98,392,246
------------
TOTAL INVESTMENTS -- 108.1%
(Cost $890,931,787) 856,781,146
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (8.1%) (64,317,294)
------------
NET ASSETS -- 100.0% $792,463,852
============
</Table>
See Notes to Financial Statements.
100
SCHEDULE OF INVESTMENTS DEFINITIONS AND ABBREVIATIONS
<Table>
ADR -- American Depository Receipt
CONV -- Convertible
GDR -- Global Depository Receipt
IO -- Interest Only. Principal amount shown
is notional.
PO -- Principal Only
REIT -- Real Estate Investment Trust
STEP -- Stepped Coupon Bonds(1)
STRIP -- Stripped Security.
TRACER -- Tracking Certificate
sec. -- Security purchased with the cash
proceeds from securities loaned.
* -- Non-income producing security.
# -- Security in default.
++ -- Variable rate security(1).
++++ -- All or a portion of the security was
held as collateral for open futures,
options and/or swap contracts.
@ -- Illiquid.
+ -- Security is valued at fair value.
(A) -- Par is denominated in Australian
Dollars.
(C) -- Par is denominated in Canadian
Dollars.
(E) -- Par is denominated in European Euros.
(K) -- Par is denominated in Norwegian Krone.
(M) -- Par is denominated in Mexican Pesos.
(N) -- Par is denominated in New Zealand
Dollars.
(P) -- Par is denominated in Polish Zloty.
(S) -- Par is denominated in Swiss Francs.
144A -- Security was purchased pursuant to
Rule 144A under the Securities Act of
1933 and may not be resold subject to
that rule except to qualified
institutional buyers.
(a) -- Counterparty to contract is Goldman
Sachs Capital Markets, LP.
(b) -- Counterparty to contract is UBS AG.
(c) -- Counterparty to contract is Salomon
Brothers, Inc.
(d) -- Counterparty to contract is Merrill
Lynch International.
(e) -- Counterparty to contract is Lehman
Brothers Special Financing, Inc.
(f) -- Counterparty to contract is Citibank
NA. London.
(g) -- Counterparty to contract is JPMorgan
Chase Bank.
(h) -- Counterparty to contract is Merrill
Lynch Capital Services, Inc.
</Table>
(1) Interest rates shown reflect the rates currently in effect.
(2) Interest rates shown reflect the effective yields as of June 30, 2003.
101
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
JUNE 30, 2003 MARKET FUND BOND FUND BOND FUND
------------- -------------- ------------ ---------------
ASSETS
Investments at value (1)(2) $1,059,732,508 $836,202,239 $1,120,353,201
Options purchased at value (3) -- -- 38,634
Cash 969 3,207,572 1,943,874
Foreign currency (4) -- 340,058 4,709,692
Receivables:
Dividends and reclaims -- 13,994 62,483
Interest 2,203,004 5,148,402 7,404,210
Interest on swaps -- -- 249,333
Investment securities sold -- 7,918,018 138,710,165
Maturities -- 507,138 2,575
Fund shares sold 6,294,040 225,208 136,573
Variation margin -- 67,197 133,389
Securities lending 1,567 25,208 17,244
Realized gain from forward contract -- -- 21,832
Unrealized appreciation on foreign currency exchange
contracts -- 13,430 398,815
Unrealized appreciation on swap agreements -- 467,553 4,839,234
Prepaid expenses and other assets 25,263 24,890 24,532
-------------- ------------ --------------
Total Assets 1,068,257,351 854,160,907 1,279,045,786
-------------- ------------ --------------
LIABILITIES
Cash overdraft -- -- --
Options written at value (5) -- 714,917 2,855,603
Unrealized depreciation on foreign currency exchange
contracts -- 329,131 393,464
Unrealized depreciation on swap agreements -- -- 5,139,206
Collateral held for securities on loan at value 130,579,380 314,325 87,295,263
Payables:
Investment securities purchased -- 54,103,909 385,730,089
Fund shares purchased 6,820,269 3,861 486,381
Interest on swaps -- -- 194,508
Variation margin -- 5,469 96,603
Distributions 20,467 51 --
Securities lending 470 7,562 5,173
Accrued expenses
Advisory fee payable 101,723 97,445 97,618
Distribution fee payable 679 1,891 1,841
Other accrued expenses 252,307 334,002 371,123
Other liabilities -- -- --
-------------- ------------ --------------
Total Liabilities 137,775,295 55,912,563 482,666,872
-------------- ------------ --------------
NET ASSETS $ 930,482,056 $798,248,344 $ 796,378,914
============== ============ ==============
NET ASSETS CONSIST OF:
Paid-in-capital $ 930,491,527 $775,416,231 $ 749,506,467
Undistributed net investment income (loss) -- 2,286,122 4,483,117
Accumulated net realized gain (loss) on investments, foreign
currency related items and derivative transactions (9,471) 6,235,698 10,267,868
Net unrealized appreciation (depreciation) on investments,
foreign currency translations and derivative transactions -- 14,310,293 32,121,462
-------------- ------------ --------------
NET ASSETS $ 930,482,056 $798,248,344 $ 796,378,914
============== ============ ==============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the Retail Class $ 8,285,478 $23,001,002 $ 22,536,716
-------------- ------------ --------------
Retail shares outstanding 8,287,672 2,334,579 2,294,891
-------------- ------------ --------------
Net asset value, offering price and redemption price per
retail share $ 1.00 $ 9.85 $ 9.82
============== ============ ==============
Net assets applicable to the Retirement Class $ 916,417,477 $764,907,866 $ 759,592,418
-------------- ------------ --------------
Retirement shares outstanding 916,389,498 57,525,941 54,067,914
-------------- ------------ --------------
Net asset value, offering price and redemption price per
retirement share $ 1.00 $ 13.30 $ 14.05
============== ============ ==============
Net assets applicable to the Institutional class $ 5,779,101 $10,339,476 $ 14,249,780
-------------- ------------ --------------
Institutional shares outstanding 5,779,851 1,053,023 1,459,570
-------------- ------------ --------------
Net asset value, offering price and redemption price per
institutional share $ 1.00 $ 9.82 $ 9.76
============== ============ ==============
- ---------------
(1) Investments at cost $1,059,732,508 $821,555,181 $1,088,325,551
============== ============ ==============
(2) Includes securities loaned of: 162,270,846 79,948,007 163,473,669
============== ============ ==============
(3) Premiums paid on options purchased -- -- 20,856
============== ============ ==============
(4) Foreign currency at cost -- 345,418 4,613,471
============== ============ ==============
(5) Premiums received on options written -- (400,920) (1,845,041)
============== ============ ==============
</Table>
See Notes to Financial Statements.
102
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ------------ -------------- -------------- ------------ -------------
$489,221,979 $392,566,237 $1,137,122,235 $1,278,647,689 $380,317,086 $ 856,781,146
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 1,895,322
4,357 453,858 2,196,342 800,189 113,644 2,457,802
6,095,324 -- 0 -- 196 6,309
-- -- -- -- -- --
-- -- 3,330,057 1,141,992 2,138,846 2,343,908
-- -- -- -- -- --
2,016,565 120,267 118,191 338,917 78,310 1,055,424
-- -- -- -- 14,883 --
9,593 3,566 14,574 11,381 15,201 55,670
-- -- -- -- -- --
-- -- -- -- -- 522,113
-- -- -- -- -- --
24,752 24,305 24,030 24,605 24,510 24,358
------------ ------------ -------------- -------------- ------------ -------------
497,372,570 393,168,233 1,142,805,429 1,280,964,773 382,702,676 865,142,052
------------ ------------ -------------- -------------- ------------ -------------
-- -- 383,767 -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
37,915,051 19,105,216 74,211,756 67,428,296 80,189,573 68,154,450
247,500 -- 4,699,041 2,503,408 2,166,062 3,582,383
1,201,012 65,486 103,404 1,105 1,706,009 1,187
-- -- -- -- -- --
-- -- 658 204 -- --
-- -- -- -- -- --
2,878 1,070 4,372 3,414 4,560 16,701
97,992 31,584 349,910 385,716 38,051 238,500
2,456 1,216 1,326 1,238 1,275 1,288
200,657 111,140 497,625 568,285 314,351 678,749
29,559 3,608 521 1,409 1,095 4,942
------------ ------------ -------------- -------------- ------------ -------------
39,697,105 19,319,320 80,252,380 70,893,075 84,420,976 72,678,200
------------ ------------ -------------- -------------- ------------ -------------
$457,675,465 $373,848,913 $1,062,553,049 $1,210,071,698 $298,281,700 $ 792,463,852
============ ============ ============== ============== ============ =============
$396,933,846 $399,479,793 $1,167,434,839 $1,554,079,933 $313,903,282 $ 935,087,877
2,683,235 543,574 799,414 179,376 (397,204) 9,362,519
13,858,516 (9,529,834) (102,223,364) (307,308,157) (45,584,208) (118,387,747)
44,199,868 (16,644,620) (3,457,840) (36,879,454) 30,359,830 (33,598,797)
------------ ------------ -------------- -------------- ------------ -------------
$457,675,465 $373,848,913 $1,062,553,049 $1,210,071,698 $298,281,700 $ 792,463,852
============ ============ ============== ============== ============ =============
$ 29,528,424 $ 14,619,812 $ 16,127,231 $ 14,985,978 $ 15,589,409 $ 15,607,756
------------ ------------ -------------- -------------- ------------ -------------
2,855,770 1,818,318 1,887,089 1,867,102 1,696,439 1,751,987
------------ ------------ -------------- -------------- ------------ -------------
$ 10.34 $ 8.04 $ 8.55 $ 8.03 $ 9.19 $ 8.91
============ ============ ============== ============== ============ =============
$417,836,529 $353,107,921 $1,036,125,483 $1,185,618,755 $275,832,652 $ 767,440,367
------------ ------------ -------------- -------------- ------------ -------------
26,316,566 26,639,626 78,868,508 92,353,612 22,884,165 72,952,423
------------ ------------ -------------- -------------- ------------ -------------
$ 15.88 $ 13.25 $ 13.14 $ 12.84 $ 12.05 $ 10.52
============ ============ ============== ============== ============ =============
$ 10,310,512 $ 6,121,180 $ 10,300,335 $ 9,466,965 $ 6,859,639 $ 9,415,729
------------ ------------ -------------- -------------- ------------ -------------
996,647 765,473 1,200,892 1,171,458 740,560 1,046,171
------------ ------------ -------------- -------------- ------------ -------------
$ 10.35 $ 8.00 $ 8.58 $ 8.08 $ 9.26 $ 9.00
============ ============ ============== ============== ============ =============
$445,023,906 $409,060,321 $1,139,862,999 $1,314,240,943 $349,653,685 $ 890,931,787
============ ============ ============== ============== ============ =============
88,559,452 19,013,091 76,616,086 81,574,555 79,440,483 67,227,166
============ ============ ============== ============== ============ =============
-- -- -- -- -- --
============ ============ ============== ============== ============ =============
-- -- -- -- -- 1,926,457
============ ============ ============== ============== ============ =============
-- -- -- -- -- --
============ ============ ============== ============== ============ =============
</Table>
See Notes to Financial Statements.
103
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
FOR THE SIX MONTHS ENDED JUNE 30, 2003 MARKET FUND BOND FUND BOND FUND
- -------------------------------------- ----------- ------------ ---------------
INVESTMENT INCOME
Dividends $ -- $ -- $ --
Income distributions received from affiliated funds -- 147,347 362,978
Interest 6,565,109 13,231,583 18,798,030
Securities Lending 11,575 116,968 67,386
Less foreign taxes withheld -- -- (11,439)
---------- ----------- -----------
Total Investment Income 6,576,684 13,495,898 19,216,955
---------- ----------- -----------
EXPENSES
Investment advisory fees 946,012 1,617,324 1,747,316
Transfer agent fees
Retail shares 9,642 7,956 8,582
Retirement shares 13,960 9,765 9,882
Institutional shares 1,801 1,794 1,802
Custodian fees 10,180 30,965 75,766
Distribution fees -- Retail shares 6,243 10,966 10,364
Shareholders servicing fees:
Retail shares 9,361 16,426 15,517
Retirement shares 859,615 722,085 730,049
Accounting and administration fees 174,007 170,943 187,683
Professional fees 23,872 23,872 23,872
Registration fees 6,358 6,164 6,065
Shareholder reporting fees
Retail shares 7,305 3,696 5,078
Retirement shares (50) (446) (442)
Institutional shares 60 29 60
Trustee fees 1,510 1,366 1,379
Line of credit facility fees 3,620 3,291 3,292
Other expenses 7,613 8,762 12,991
---------- ----------- -----------
Total expenses 2,081,109 2,634,958 2,839,256
Expenses waived (21,863) (209,387) (340,062)
Fees paid indirectly (4,179) (15,013) (5,887)
---------- ----------- -----------
Net expenses 2,055,067 2,410,558 2,493,307
---------- ----------- -----------
NET INVESTMENT INCOME (LOSS) 4,521,617 11,085,340 16,723,648
---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investment securities $ (10,148) $ 5,056,709 $17,302,283
Futures transactions -- 1,112,946 6,369,494
Swap agreements -- 313,324 (7,815,937)
Option contracts -- 255,110 (364,064)
Foreign currency transactions -- (1,338,846) (5,690,656)
---------- ----------- -----------
Net realized gain (loss) (10,148) 5,399,243 9,801,120
---------- ----------- -----------
Net change in unrealized appreciation (depreciation) on:
Investment securities -- 629,087 12,885,956
Futures transactions -- (680,852) (1,544,873)
Swap agreements -- 257,217 2,986,906
Option contracts -- (313,998) (440,408)
Foreign currency translations -- (192,630) 2,101,747
---------- ----------- -----------
Net change in unrealized appreciation (depreciation) -- (301,176) 15,989,328
---------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) (10,148) 5,098,067 25,790,448
---------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $4,511,469 $16,183,407 $42,514,096
========== =========== ===========
</Table>
See Notes to Financial Statements.
104
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ----------- ------------ ------------ ----------- -------------
$ 34,063 $ 2,783,531 $ 12,759,039 $ 4,752,043 $ 943,908 $ 14,341,627
55,270 45,255 211,427 267,177 68,659 105,334
14,120,035 4,713 23,653 25,096 7,398 7,757
42,429 14,769 101,423 58,943 73,954 188,837
(27,062) -- (22,595) (19,366) (1,412) (1,227,034)
----------- ----------- ------------ ------------ ----------- ------------
14,224,735 2,848,268 13,072,947 5,083,893 1,092,507 13,416,521
----------- ----------- ------------ ------------ ----------- ------------
1,088,390 271,050 3,339,798 4,186,049 1,393,528 3,475,638
8,027 8,294 8,446 8,598 8,369 7,407
9,590 9,663 9,635 9,510 9,319 9,634
1,794 1,794 1,818 1,804 1,815 1,794
13,904 15,158 48,673 34,378 53,509 271,737
13,485 6,626 7,126 6,616 6,626 6,991
20,181 9,934 10,691 9,915 9,932 10,482
388,829 291,081 894,663 1,027,970 224,180 653,956
92,834 70,844 199,681 220,689 82,492 172,549
23,872 23,872 23,872 23,872 23,872 23,872
5,724 5,689 5,689 4,370 5,879 5,450
4,040 4,341 4,221 4,980 4,220 1,957
54 191 (865) (989) 225 (448)
29 29 91 63 91 26
963 804 1,487 1,670 727 1,204
2,496 2,228 3,680 3,948 2,078 3,095
9,489 7,612 7,612 7,611 7,612 23,151
----------- ----------- ------------ ------------ ----------- ------------
1,683,701 729,210 4,566,318 5,551,054 1,834,474 4,668,495
(44,438) (79,400) (215,402) (572,889) (227,380) (600,010)
(2,394) (209) (132,662) (73,648) (101,727) (67,923)
----------- ----------- ------------ ------------ ----------- ------------
1,636,869 649,601 4,218,254 4,904,517 1,505,367 4,000,562
----------- ----------- ------------ ------------ ----------- ------------
12,587,866 2,198,667 8,854,693 179,376 (412,860) 9,415,959
----------- ----------- ------------ ------------ ----------- ------------
$13,718,324 $ (541,387) $(16,102,593) $(63,794,856) $ 609,357 $(33,132,874)
-- 607,409 4,073,580 5,304,623 2,172,324 --
-- -- -- -- -- --
-- -- -- -- -- --
(504,356) -- -- -- -- 446,030
----------- ----------- ------------ ------------ ----------- ------------
13,213,968 66,022 (12,029,013) (58,490,233) 2,781,681 (32,686,844)
----------- ----------- ------------ ------------ ----------- ------------
21,067,375 34,649,137 114,782,374 208,148,269 41,793,847 87,300,743
-- (28,509) 84,416 1,481,993 (43,024) --
-- -- -- -- -- --
-- -- -- -- -- --
(18,641) -- -- -- -- 183,038
----------- ----------- ------------ ------------ ----------- ------------
21,048,734 34,620,628 114,866,790 209,630,262 41,750,823 87,483,781
----------- ----------- ------------ ------------ ----------- ------------
34,262,702 34,686,650 102,837,777 151,140,029 44,532,504 54,796,937
----------- ----------- ------------ ------------ ----------- ------------
$46,850,568 $36,885,317 $111,692,470 $151,319,405 $44,119,644 $ 64,212,896
=========== =========== ============ ============ =========== ============
</Table>
See Notes to Financial Statements.
105
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET FUND
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
6/30/2003 12/31/2002
------------ ------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 4,521,617 $ 14,389,410
Net realized gain (loss) on investment securities, foreign
currency and futures transactions (10,148) 677
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts -- --
------------ ------------
Net increase in net assets resulting from operations 4,511,469 14,390,087
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
Retail shares (46,057) (211,879)
Retirement shares (4,442,677) (14,080,267)
Institutional shares (32,883) (98,374)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
Retail shares -- (2,139)
Retirement shares -- (122,219)
Institutional shares -- (709)
RETURN OF CAPITAL
Retail shares -- --
Retirement shares -- --
Institutional shares -- --
------------ ------------
Total dividends and distributions (4,521,617) (14,515,587)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 2,159,666 (68,734,603)
------------ ------------
Total increase (decrease) in net assets 2,149,518 (68,860,103)
------------ ------------
NET ASSETS:
Beginning of the Period $928,332,538 $997,192,641
------------ ------------
End of the Period $930,482,056 $928,332,538
============ ============
</Table>
See Notes to Financial Statements.
106
<Table>
<Caption>
LOW-DURATION BOND FUND MEDIUM-DURATION BOND FUND EXTENDED-DURATION BOND FUND
--------------------------- --------------------------- ---------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 11,085,340 $ 28,004,785 $ 16,723,648 $ 37,436,569 $ 12,587,866 $ 25,918,328
5,399,243 10,127,389 9,801,120 28,478,461 13,213,968 6,449,350
(301,176) 6,436,331 15,989,328 4,121,731 21,048,734 7,183,095
------------ ------------ ------------ ------------ ------------ ------------
16,183,407 44,568,505 42,514,096 70,036,761 46,850,568 39,550,773
------------ ------------ ------------ ------------ ------------ ------------
(290,195) (891,700) (434,263) (1,019,885) (835,573) (2,004,286)
(7,868,719) (28,377,608) (11,941,024) (37,167,512) (8,472,040) (23,749,846)
(116,585) (300,705) (223,860) (413,967) (258,753) (539,205)
-- (314,466) -- (749,228) -- (608,575)
-- (8,567,498) -- (21,292,911) -- (6,527,530)
-- (95,235) -- (282,811) -- (159,603)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
(8,275,499) (38,547,212) (12,599,147) (60,926,314) (9,566,366) (33,589,045)
------------ ------------ ------------ ------------ ------------ ------------
(951,614) (30,599,815) (27,969,099) (42,599,829) (12,124,408) 13,696,928
------------ ------------ ------------ ------------ ------------ ------------
6,956,294 (24,578,522) 1,945,850 (33,489,382) 25,159,794 19,658,656
------------ ------------ ------------ ------------ ------------ ------------
$791,292,050 $815,870,572 $794,433,064 $827,922,446 $432,515,671 $412,857,015
------------ ------------ ------------ ------------ ------------ ------------
$798,248,344 $791,292,050 $796,378,914 $794,433,064 $457,675,465 $432,515,671
============ ============ ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
107
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
EQUITY INDEX FUND
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
6/30/2003 12/31/2002
------------ ------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 2,198,667 $ 4,233,513
Net realized gain (loss) on investment securities, foreign
currency and futures transactions 66,022 (8,337,123)
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts 34,620,628 (86,488,833)
------------ ------------
Net increase (decrease) in net assets resulting from
operations 36,885,317 (90,592,443)
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
Retail shares (109,373) (284,510)
Retirement shares (1,544,125) (3,810,917)
Institutional shares (51,463) (114,879)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
Retail shares -- (51,388)
Retirement shares -- (723,900)
Institutional shares -- (18,967)
RETURN OF CAPITAL
Retail shares -- --
Retirement shares -- --
Institutional shares -- --
------------ ------------
Total dividends and distributions (1,704,961) (5,004,561)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 25,780,249 6,619,642
------------ ------------
Total increase (decrease) in net assets 60,960,605 (88,977,362)
------------ ------------
NET ASSETS:
Beginning of the Period $312,888,308 $401,865,670
------------ ------------
End of the Period $373,848,913 $312,888,308
============ ============
</Table>
See Notes to Financial Statements.
108
<Table>
<Caption>
VALUE EQUITY FUND GROWTH EQUITY FUND SMALL CAP EQUITY FUND INTERNATIONAL EQUITY FUND
------------------------------- ------------------------------- --------------------------- ---------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 8,854,693 $ 16,612,447 $ 179,376 $ (609,038) $ (412,860) $ (584,539) $ 9,415,959 $ 7,653,878
(12,029,013) (63,914,069) (58,490,233) (170,669,128) 2,781,681 (38,839,206) (32,686,844) (58,572,782)
114,866,790 (153,063,309) 209,630,262 (221,901,627) 41,750,823 (31,682,156) 87,483,781 (46,113,641)
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
111,692,470 (200,364,931) 151,319,405 (393,179,793) 44,119,644 (71,105,901) 64,212,896 (97,032,545)
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
(183,268) (335,450) -- -- -- -- -- (149,912)
(8,112,463) (15,700,497) -- -- -- -- -- (7,393,223)
(133,987) (149,517) -- -- -- -- -- (79,869)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- (3,045) -- -- -- -- -- (4,136)
-- (134,245) -- -- -- -- -- (174,185)
-- (1,142) -- -- -- -- -- (1,573)
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
(8,429,718) (16,323,896) -- -- -- -- -- (7,802,898)
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
1,455,884 15,069,203 (8,012,154) 105,305,231 3,423,154 (94,482) 10,052,671 27,592,506
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
104,718,636 (201,619,624) 143,307,251 (287,874,562) 47,542,798 (71,200,383) 74,265,567 (77,242,937)
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
$ 957,834,413 $1,159,454,037 $1,066,764,447 $1,354,639,009 $250,738,902 $321,939,285 $718,198,285 $795,441,222
-------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------
$1,062,553,049 $ 957,834,413 $1,210,071,698 $1,066,764,447 $298,281,700 $250,738,902 $792,463,852 $718,198,285
============== ============== ============== ============== ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
109
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
MONEY MARKET FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income --++ 0.01 0.01 --++ 0.02 0.01
Realized and unrealized gain
(loss) on investments -- net -- -- -- -- -- --
------ ------- ------- -------- -------- --------
Total from investment
operations -- 0.01 0.01 -- 0.02 0.01
------ ------- ------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income --++ (0.01) (0.01) --++ (0.02) (0.01)
Distributions from capital
gains -- --++ -- -- --++ --
Return of capital -- -- -- -- -- --
------ ------- ------- -------- -------- --------
Total dividends and
distributions -- (0.01) (0.01) -- (0.02) (0.01)
------ ------- ------- -------- -------- --------
NET ASSET VALUE -- END OF THE
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ======= ======= ======== ======== ========
Total Return (1) 0.36% 1.38% 0.81% 0.49% 1.60% 0.94%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.71% 0.65% 0.75% 0.44% 0.45% 0.44%
Expenses -- including expense
reduction (2) 0.71% 0.65% 0.75% 0.44% 0.44% 0.44%
Expenses -- before waivers and
expense reduction (2) 0.79% 0.77% 16.37% 0.45% 0.50% 0.49%
Investment income -- net (2) 0.74% 1.35% 1.98% 0.98% 1.58% 2.72%
Investment income (loss) --
excluding waivers and expense
reduction (2) 0.66% 1.23% (13.64%) 0.97% 1.52% 2.67%
Portfolio turnover rate (1) N/A N/A N/A N/A N/A N/A
Net Assets -- end of the period
(000's) $8,285 $16,538 $ 788 $916,417 $906,302 $996,380
====== ======= ======= ======== ======== ========
<Caption>
MONEY MARKET FUND
-------------------------------------
INSTITUTIONAL CLASS
-------------------------------------
FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01
----------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 1.00 $ 1.00 $ 1.00
------ ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 0.02 0.01
Realized and unrealized gain
(loss) on investments -- net -- -- --
------ ------ -------
Total from investment
operations 0.01 0.02 0.01
------ ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (0.01) (0.02) (0.01)
Distributions from capital
gains -- --++ --
Return of capital -- -- --
------ ------ -------
Total dividends and
distributions (0.01) (0.02) (0.01)
------ ------ -------
NET ASSET VALUE -- END OF THE
PERIOD $ 1.00 $ 1.00 $ 1.00
====== ====== =======
Total Return (1) 0.59% 1.80% 0.66%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.25% 0.25% 0.25%
Expenses -- including expense
reduction (2) 0.25% 0.25% 0.25%
Expenses -- before waivers and
expense reduction (2) 0.32% 0.55% 90.37%
Investment income -- net (2) 1.17% 1.75% 2.60%
Investment income (loss) --
excluding waivers and expense
reduction (2) 1.10% 1.45% (87.52%)
Portfolio turnover rate (1) N/A N/A N/A
Net Assets -- end of the period
(000's) $5,779 $5,493 $ 25
====== ====== =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
++ Amount represents less than $0.01 per share.
See Notes to Financial Statements.
110
<Table>
<Caption>
LOW-DURATION BOND FUND
---------------------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS
------------------------------------- ------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 9.79 $ 9.86 $ 10.00 $ 13.16 $ 13.06 $ 13.10 $ 9.76 $ 9.85 $ 10.00
------- ------- ------- -------- -------- -------- ------- ------- -------
0.14 0.33# 0.22 0.19 0.46# 0.21 0.20 0.37# 0.15
0.05 0.22 (0.06) 0.09 0.27 0.05 0.01 0.19 --
------- ------- ------- -------- -------- -------- ------- ------- -------
0.19 0.55 0.16 0.28 0.73 0.26 0.21 0.56 0.15
------- ------- ------- -------- -------- -------- ------- ------- -------
(0.13) (0.47) (0.22) (0.14) (0.48) (0.22) (0.15) (0.50) (0.22)
-- (0.15) (0.08) -- (0.15) (0.08) -- (0.15) (0.08)
-- -- -- -- -- -- -- -- --
------- ------- ------- -------- -------- -------- ------- ------- -------
(0.13) (0.62) (0.30) (0.14) (0.63) (0.30) (0.15) (0.65) (0.30)
------- ------- ------- -------- -------- -------- ------- ------- -------
$ 9.85 $ 9.79 $ 9.86 $ 13.30 $ 13.16 $ 13.06 $ 9.82 $ 9.76 $ 9.85
======= ======= ======= ======== ======== ======== ======= ======= =======
1.95% 5.70% 1.54% 2.11% 5.71% 1.96% 2.13% 5.89% 1.54%
0.81% 0.79% 0.85% 0.61% 0.62% 0.61% 0.45% 0.46% 0.45%
0.81% 0.79% 0.85% 0.61% 0.61% 0.61% 0.45% 0.45% 0.45%
0.83% 0.93% 74.57% 0.66% 0.72% 0.72% 0.51% 0.78% 57.60%
2.61% 3.35% 4.18% 2.81% 3.50% 4.47% 2.95% 3.71% 4.73%
2.59% 3.21% (69.54%) 2.76% 3.39% 4.36% 2.89% 3.38% (52.42%)
94.66% 181.96% 79.53% 94.66% 181.96% 79.53% 94.66% 181.96% 79.53%
$23,001 $20,985 $ 3,458 $764,908 $763,987 $812,387 $10,339 $ 6,320 $ 25
======= ======= ======= ======== ======== ======== ======= ======= =======
</Table>
See Notes to Financial Statements.
111
<Table>
<Caption>
MEDIUM-DURATION BOND FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 9.53 $ 9.70 $ 10.00 $ 13.54 $ 13.37 $ 13.60
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.20 0.42# 0.17 0.29 0.62# 0.22
Realized and unrealized gain
(loss) on investments -- net 0.29 0.41 (0.04) 0.43 0.57 (0.02)
------- ------- ------- -------- -------- --------
Total from investment
operations 0.49 0.83 0.13 0.72 1.19 0.20
------- ------- ------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (0.20) (0.63) (0.23) (0.21) (0.65) (0.23)
Distributions from capital
gains -- (0.37) (0.20) -- (0.37) (0.20)
Return of capital -- -- --++ -- -- --++
------- ------- ------- -------- -------- --------
Total dividends and
distributions (0.20) (1.00) (0.43) (0.21) (1.02) (0.43)
------- ------- ------- -------- -------- --------
NET ASSET VALUE -- END OF THE
PERIOD $ 9.82 $ 9.53 $ 9.70 $ 14.05 $ 13.54 $ 13.37
======= ======= ======= ======== ======== ========
Total Return (1) 5.23% 8.90% 1.30% 5.38% 9.15% 1.49%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.86% 0.90% 0.92% 0.62% 0.63% 0.64%
Expenses -- including expense
reduction (2) 0.86% 0.90% 0.90% 0.62% 0.62% 0.62%
Expenses -- before waivers and
expense reduction (2) 0.89% 1.03% 58.64% 0.71% 0.77% 0.77%
Investment income -- net (2) 3.93% 4.33% 4.48% 4.19% 4.58% 4.61%
Investment income (loss) --
excluding waivers and expense
reduction (2) 3.90% 4.20% (53.26%) 4.10% 4.43% 4.46%
Portfolio turnover rate (1) 229.40% 542.94% 247.20% 229.40% 542.94% 247.20%
Net Assets -- end of the period
(000's) $22,537 $19,289 $ 123 $759,592 $767,926 $827,774
======= ======= ======= ======== ======== ========
<Caption>
MEDIUM-DURATION BOND FUND
-------------------------------------
INSTITUTIONAL CLASS
-------------------------------------
FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01
----------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 9.47 $ 9.65 $ 10.00
------- ------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.30 0.46# 0.16
Realized and unrealized gain
(loss) on investments -- net 0.21 0.40 (0.08)
------- ------- --------
Total from investment
operations 0.51 0.86 0.08
------- ------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (0.22) (0.67) (0.23)
Distributions from capital
gains -- (0.37) (0.20)
Return of capital -- -- --++
------- ------- --------
Total dividends and
distributions (0.22) (1.04) (0.43)
------- ------- --------
NET ASSET VALUE -- END OF THE
PERIOD $ 9.76 $ 9.47 $ 9.65
======= ======= ========
Total Return (1) 5.45% 9.25% 0.89%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.50% 0.51% 0.52%
Expenses -- including expense
reduction (2) 0.50% 0.50% 0.50%
Expenses -- before waivers and
expense reduction (2) 0.54% 0.82% 92.28%
Investment income -- net (2) 4.25% 4.73% 4.98%
Investment income (loss) --
excluding waivers and expense
reduction (2) 4.21% 4.41% (86.80%)
Portfolio turnover rate (1) 229.40% 542.94% 247.20%
Net Assets -- end of the period
(000's) $14,250 $ 7,218 $ 25
======= ======= ========
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
++ Amount represents less than $0.01 per share.
See Notes to Financial Statements.
112
<Table>
<Caption>
EXTENDED-DURATION BOND FUND
---------------------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS
------------------------------------- ------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 9.63 $ 9.83 $ 10.00 $ 14.62 $ 14.37 $ 14.38 $ 9.64 $ 9.84 $ 10.00
------- ------- ------- -------- -------- -------- ------- ------ -------
0.30 0.62 0.32 0.43 0.90 0.32 0.38 0.65 0.24
0.72 0.29 (0.13) 1.14 0.47 0.03 0.65 0.29 (0.03)
------- ------- ------- -------- -------- -------- ------- ------ -------
1.02 0.91 0.19 1.57 1.37 0.35 1.03 0.94 0.21
------- ------- ------- -------- -------- -------- ------- ------ -------
(0.31) (0.87) (0.32) (0.31) (0.88) (0.32) (0.32) (0.90) (0.33)
-- (0.24) (0.04) -- (0.24) (0.04) -- (0.24) (0.04)
-- -- -- -- -- -- -- -- --
------- ------- ------- -------- -------- -------- ------- ------ -------
(0.31) (1.11) (0.36) (0.31) (1.12) (0.36) (0.32) (1.14) (0.37)
------- ------- ------- -------- -------- -------- ------- ------ -------
$ 10.34 $ 9.63 $ 9.83 $ 15.88 $ 14.62 $ 14.37 $ 10.35 $ 9.64 $ 9.84
======= ======= ======= ======== ======== ======== ======= ====== =======
10.79% 9.93% 1.91% 10.89% 10.03% 2.48% 10.93% 10.27% 2.13%
0.89% 0.91% 1.06% 0.73% 0.73% 0.74% 0.60% 0.64% 0.66%
0.89% 0.91% 1.05% 0.73% 0.73% 0.73% 0.60% 0.64% 0.65%
0.90% 1.03% 28.96% 0.75% 0.82% 0.84% 0.60% 0.88% 90.75%
5.50% 6.18% 6.14% 5.67% 6.29% 6.32% 5.79% 6.47% 6.62%
5.49% 6.06% (21.77%) 5.65% 6.20% 6.21% 5.79% 6.23% (83.48%)
55.17% 45.17% 21.95% 55.17% 45.17% 21.95% 55.17% 45.17% 21.95%
$29,528 $24,812 $ 8,553 $417,837 $401,198 $404,278 $10,311 $6,506 $ 26
======= ======= ======= ======== ======== ======== ======= ====== =======
</Table>
See Notes to Financial Statements.
113
<Table>
<Caption>
EQUITY INDEX FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 7.26 $ 9.63 $ 10.00 $ 11.93 $ 15.64 $ 16.15
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.11 0.13 0.02 0.14 0.17 0.05
Realized and unrealized gain
(loss) on investments -- net 0.73 (2.31) (0.28) 1.24 (3.69) (0.46)
------- ------- ------- -------- -------- --------
Total from investment
operations 0.84 (2.18) (0.26) 1.38 (3.52) (0.41)
------- ------- ------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (0.06) (0.16) (0.06) (0.06) (0.16) (0.05)
Distributions from capital
gains -- (0.03) (0.05) -- (0.03) (0.05)
Return of capital -- -- -- -- -- --
------- ------- ------- -------- -------- --------
Total dividends and
distributions (0.06) (0.19) (0.11) (0.06) (0.19) (0.10)
------- ------- ------- -------- -------- --------
NET ASSET VALUE -- END OF THE
PERIOD $ 8.04 $ 7.26 $ 9.63 $ 13.25 $ 11.93 $ 15.64
======= ======= ======= ======== ======== ========
Total Return (1) 11.57% (22.71%) (2.65%) 11.55% (22.59%) (2.55%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.45% 0.45% 0.45% 0.40% 0.40% 0.40%
Expenses -- including expense
reduction (2) 0.45% 0.45% 0.45% 0.40% 0.40% 0.40%
Expenses -- before waivers and
expense reduction (2) 0.69% 0.81% 28.52% 0.44% 0.51% 0.53%
Investment income -- net (2) 1.31% 1.21% 0.95% 1.35% 1.21% 0.98%
Investment income (loss) --
excluding waivers and expense
reduction (2) 1.07% 0.85% (27.12%) 1.31% 1.10% 0.85%
Portfolio turnover rate (1) 0.66% 3.17% 2.81% 0.66% 3.17% 2.81%
Net Assets -- end of the period
(000's) $14,620 $12,890 $ 367 $353,108 $295,261 $401,471
======= ======= ======= ======== ======== ========
<Caption>
EQUITY INDEX FUND
-------------------------------------
INSTITUTIONAL CLASS
-------------------------------------
FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01
----------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 7.22 $ 9.58 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.13 0.14 0.03
Realized and unrealized gain
(loss) on investments -- net 0.72 (2.29) (0.34)
------ ------- -------
Total from investment
operations 0.85 (2.15) (0.31)
------ ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (0.07) (0.18) (0.06)
Distributions from capital
gains -- (0.03) (0.05)
Return of capital -- -- --
------ ------- -------
Total dividends and
distributions (0.07) (0.21) (0.11)
------ ------- -------
NET ASSET VALUE -- END OF THE
PERIOD $ 8.00 $ 7.22 $ 9.58
====== ======= =======
Total Return (1) 11.74% (22.57%) (3.14%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.25% 0.25% 0.25%
Expenses -- including expense
reduction (2) 0.25% 0.25% 0.25%
Expenses -- before waivers and
expense reduction (2) 0.31% 0.60% 86.25%
Investment income -- net (2) 1.50% 1.40% 1.19%
Investment income (loss) --
excluding waivers and expense
reduction (2) 1.44% 1.05% (84.81%)
Portfolio turnover rate (1) 0.66% 3.17% 2.81%
Net Assets -- end of the period
(000's) $6,121 $ 4,737 $ 28
====== ======= =======
</Table>
- ---------------
* Commencement of operations.
++ Amount represents less than $0.01 per share.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
114
<Table>
<Caption>
VALUE EQUITY FUND
---------------------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS
------------------------------------- ------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 7.75 $ 9.61 $ 10.00 $ 11.85 $ 14.57 $ 15.21 $ 7.77 $ 9.64 $ 10.00
------- ------- ------- ---------- -------- ---------- ------- ------- -------
0.07 0.15 0.03 0.10 0.21 0.06 0.09 0.16 0.06
0.83 (1.82) (0.35) 1.29 (2.73) (0.64) 0.83 (1.80) (0.35)
------- ------- ------- ---------- -------- ---------- ------- ------- -------
0.90 (1.67) (0.32) 1.39 (2.52) (0.58) 0.92 (1.64) (0.29)
------- ------- ------- ---------- -------- ---------- ------- ------- -------
(0.10) (0.19) (0.07) (0.10) (0.20) (0.06) (0.11) (0.23) (0.07)
-- -- -- -- -- -- -- -- --
-- --++ -- -- --++ -- -- --++ --
------- ------- ------- ---------- -------- ---------- ------- ------- -------
(0.10) (0.19) (0.07) (0.10) (0.20) (0.06) (0.11) (0.23) (0.07)
------- ------- ------- ---------- -------- ---------- ------- ------- -------
$ 8.55 $ 7.75 $ 9.61 $ 13.14 $ 11.85 $ 14.57 $ 8.58 $ 7.77 $ 9.64
======= ======= ======= ========== ======== ========== ======= ======= =======
11.59% (17.48%) (3.23%) 11.76% (17.37%) (3.79%) 11.88% (17.22%) (2.88%)
1.15% 1.15% 1.15% 0.90% 0.90% 0.90% 0.76% 0.76% 0.76%
1.12% 1.11% 1.15% 0.87% 0.87% 0.90% 0.74% 0.72% 0.76%
1.19% 1.29% 65.50% 0.95% 0.98% 1.00% 0.80% 1.06% 81.37%
1.59% 1.38% 1.12% 1.84% 1.57% 1.29% 1.96% 1.77% 1.60%
1.52% 1.20% (63.23%) 1.76% 1.46% 1.19% 1.90% 1.43% (79.01%)
24.60% 70.42% 21.09% 24.60% 70.42% 21.09% 24.60% 70.42% 21.09%
$16,127 $13,987 $ 168 $1,036,125 $938,583 $1,159,209 $10,300 $ 5,265 $ 77
======= ======= ======= ========== ======== ========== ======= ======= =======
</Table>
See Notes to Financial Statements.
115
<Table>
<Caption>
GROWTH EQUITY FUND
-------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- ---------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- ---------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE -- BEGINNING
OF PERIOD $ 7.03 $ 9.81 $ 10.00 $ 11.23 $ 15.63 $ 15.93
------- ------- ------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income (loss) --++ (0.02) --++ --++ (0.01) (0.01)
Realized and unrealized gain
(loss) on
investments -- net 1.00 (2.76) (0.19) 1.61 (4.39) (0.29)
------- ------- ------- ---------- ---------- ----------
Total from investment
operations 1.00 (2.78) (0.19) 1.61 (4.40) (0.30)
------- ------- ------- ---------- ---------- ----------
LESS DIVIDENDS AND
DISTRIBUTIONS
Dividends from net
investment income -- -- -- -- -- --
Distributions from capital
gains -- -- -- -- -- --
------- ------- ------- ---------- ---------- ----------
Total dividends and
distributions -- -- -- -- -- --
------- ------- ------- ---------- ---------- ----------
NET ASSET VALUE -- END OF THE
PERIOD $ 8.03 $ 7.03 $ 9.81 $ 12.84 $ 11.23 $ 15.63
======= ======= ======= ========== ========== ==========
Total Return (1) 14.23% (28.34%) (1.90%) 14.34% (28.15%) (1.88%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.15% 1.15% 1.15% 0.90% 0.90% 0.90%
Expenses -- including
expense reduction (2) 1.14% 1.12% 1.15% 0.89% 0.88% 0.90%
Expenses -- before waivers
and expense reduction (2) 1.27% 1.36% 47.77% 1.00% 1.02% 1.05%
Investment income -- net (2) (0.22%) (0.28%) (0.32%) 0.04% (0.05%) (0.11%)
Investment income (loss) --
excluding waivers and
expense reduction (2) (0.35%) (0.52%) (46.94%) (0.07%) (0.19%) (0.26%)
Portfolio turnover rate (1) 17.52% 41.41% 8.71% 17.52% 41.41% 8.71%
Net Assets -- end of the
period (000's) $14,986 $12,503 $ 309 $1,185,619 $1,049,709 $1,354,301
======= ======= ======= ========== ========== ==========
<Caption>
GROWTH EQUITY FUND
-------------------------------------
INSTITUTIONAL CLASS
-------------------------------------
FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01
----------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE -- BEGINNING
OF PERIOD $ 7.07 $ 9.83 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income (loss) --++ 0.01 --++
Realized and unrealized gain
(loss) on
investments -- net 1.01 (2.77) (0.17)
------ ------- -------
Total from investment
operations 1.01 (2.76) (0.17)
------ ------- -------
LESS DIVIDENDS AND
DISTRIBUTIONS
Dividends from net
investment income -- -- --
Distributions from capital
gains -- -- --
------ ------- -------
Total dividends and
distributions -- -- --
------ ------- -------
NET ASSET VALUE -- END OF THE
PERIOD $ 8.08 $ 7.07 $ 9.83
====== ======= =======
Total Return (1) 14.29% (28.08%) (1.70%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.78% 0.78% 0.78%
Expenses -- including
expense reduction (2) 0.77% 0.75% 0.78%
Expenses -- before waivers
and expense reduction (2) 0.86% 1.14% 83.19%
Investment income -- net (2) 0.12% 0.09% 0.02%
Investment income (loss) --
excluding waivers and
expense reduction (2) 0.03% (0.30%) (82.39%)
Portfolio turnover rate (1) 17.52% 41.41% 8.71%
Net Assets -- end of the
period (000's) $9,467 $ 4,553 $ 29
====== ======= =======
</Table>
- ---------------
* Commencement of operations.
++ Amount represents less than $0.01 per share.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
116
<Table>
<Caption>
SMALL CAP EQUITY FUND
---------------------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS
------------------------------------- ------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 7.83 $ 10.09 $ 10.00 $ 10.25 $ 13.18 $ 13.07 $ 7.88 $ 10.12 $ 10.00
------- ------- -------- -------- -------- -------- ------ ------- -------
(0.02) (0.04) --++ (0.01) (0.02) (0.01) (0.01) (0.01) --++
1.38 (2.22) 0.09 1.81 (2.91) 0.12 1.39 (2.23) 0.12
------- ------- -------- -------- -------- -------- ------ ------- -------
1.36 (2.26) 0.09 1.80 (2.93) 0.11 1.38 (2.24) 0.12
------- ------- -------- -------- -------- -------- ------ ------- -------
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
------- ------- -------- -------- -------- -------- ------ ------- -------
-- -- -- -- -- -- -- -- --
------- ------- -------- -------- -------- -------- ------ ------- -------
$ 9.19 $ 7.83 $ 10.09 $ 12.05 $ 10.25 $ 13.18 $ 9.26 $ 7.88 $ 10.12
======= ======= ======== ======== ======== ======== ====== ======= =======
17.37% (22.40%) 0.90% 17.56% (22.23%) 0.84% 17.66% (22.13%) 1.20%
1.50% 1.50% 1.50% 1.25% 1.25% 1.25% 1.18% 1.18% 1.18%
1.42% 1.43% 1.50% 1.17% 1.19% 1.25% 1.10% 1.11% 1.18%
1.67% 1.82% 123.38% 1.43% 1.51% 1.52% 1.30% 1.60% 76.30%
(0.56%) (0.44%) (0.28%) (0.31%) (0.19%) (0.13%) (0.24%) (0.12%) 0.12%
(0.81%) (0.83%) (122.16%) (0.57%) (0.51%) (0.40%) (0.44%) (0.61%) (75.00%)
68.88% 160.46% 91.89% 68.88% 160.46% 91.89% 68.88% 160.46% 91.89%
$15,589 $12,878 $ 115 $275,833 $232,992 $321,743 $6,860 $ 4,869 $ 81
======= ======= ======== ======== ======== ======== ====== ======= =======
</Table>
See Notes to Financial Statements.
117
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------- -------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01
----------- -------- ------------ ----------- -------- ------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 8.19 $ 9.43 $ 10.00 $ 9.66 $ 11.09 $ 11.66
------- ------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) 0.10 0.06 (0.01)# 0.12 0.11 0.01
Realized and unrealized gain
(loss) on investments -- net 0.62 (1.21) (0.53) 0.74 (1.43) (0.55)
------- ------- -------- -------- -------- --------
Total from investment
operations 0.72 (1.15) (0.54) 0.86 (1.32) (0.54)
------- ------- -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income -- (0.09) (0.03) -- (0.11) (0.03)
Distributions from capital
gains -- -- -- -- -- --
Return of capital -- --++ -- -- --++ --
------- ------- -------- -------- -------- --------
Total dividends and
distributions -- (0.09) (0.03) -- (0.11) (0.03)
------- ------- -------- -------- -------- --------
NET ASSET VALUE -- END OF THE
PERIOD $ 8.91 $ 8.19 $ 9.43 $ 10.52 $ 9.66 $ 11.09
======= ======= ======== ======== ======== ========
Total Return (1) 8.79% (12.18%) (5.40%) 8.90% (11.94%) (4.61%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.34% 1.37% 1.45% 1.15% 1.15% 1.15%
Expenses -- including expense
reduction (2) 1.32% 1.34% 1.45% 1.13% 1.12% 1.15%
Expenses -- before waivers and
expense reduction (2) 1.51% 1.64% 256.83% 1.31% 1.35% 1.37%
Investment income -- net (2) 2.46% 0.88% (0.32%) 2.65% 1.00% 0.28%
Investment income (loss) --
excluding waivers and expense
reduction (2) 2.27% 0.58% (255.70%) 2.47% 0.77% 0.06%
Portfolio turnover rate (1) 17.03% 30.13% 20.05% 17.03% 30.13% 20.05%
Net Assets -- end of the period
(000's) $15,608 $14,078 $ 51 $767,440 $698,704 $795,363
======= ======= ======== ======== ======== ========
<Caption>
INTERNATIONAL EQUITY FUND
-------------------------------------
INSTITUTIONAL CLASS
-------------------------------------
FOR THE FOR THE FOR THE
SIX MONTHS YEAR PERIOD
ENDED ENDED 08/27/01* TO
06/30/03 12/31/02 12/31/01
----------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 8.26 $ 9.50 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) 0.11 0.11 --++
Realized and unrealized gain
(loss) on investments -- net 0.63 (1.22) (0.47)
------ ------- -------
Total from investment
operations 0.74 (1.11) (0.47)
------ ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income -- (0.13) (0.03)
Distributions from capital
gains -- -- --
Return of capital -- --++ --
------ ------- -------
Total dividends and
distributions -- (0.13) (0.03)
------ ------- -------
NET ASSET VALUE -- END OF THE
PERIOD $ 9.00 $ 8.26 $ 9.50
====== ======= =======
Total Return (1) 8.96% (11.72%) (4.69%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.96% 0.96% 0.96%
Expenses -- including expense
reduction (2) 0.94% 0.93% 0.96%
Expenses -- before waivers and
expense reduction (2) 1.18% 1.43% 88.97%
Investment income -- net (2) 3.13% 1.29% 0.11%
Investment income (loss) --
excluding waivers and expense
reduction (2) 2.89% 0.79% (87.90%)
Portfolio turnover rate (1) 17.03% 30.13% 20.05%
Net Assets -- end of the period
(000's) $9,416 $ 5,416 $ 27
====== ======= =======
</Table>
- ---------------
* Commencement of operations.
++ Amount represents less than $0.01 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
118
NOTES TO FINANCIAL STATEMENTS
1. DESCRIPTION OF THE FUNDS
AB Funds Trust (the "Trust") was organized as a Delaware business trust on March
2, 2000. The Trust has established thirteen series (each a "Fund" and together,
the "Funds"). Each Fund is a diversified, open-end management investment company
and registered under the Investment Company Act of 1940, as amended (the "1940
Act"). The Flexible Income Fund, Growth & Income Fund, Capital Opportunities
Fund and Global Equity Fund are each referred to as a "Blended Fund" and
together are referred to as the "Blended Funds." The remaining Funds are each
referred to as a "Select Fund" and are together referred to as the "Select
Funds." The Low-Duration Bond Fund, Medium-Duration Bond Fund and
Extended-Duration Bond Fund are together referred to as the "Bond Funds." The
Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund,
and International Equity Fund are together referred to as the "Equity Funds."
The Money Market Fund is referred to as the "Money Market Fund." There are three
classes of shares issued by the Trust -- the Retail Class, Retirement Class and
Institutional Class. The Blended Funds consist of a Retail Class and Retirement
Class. All classes of shares have identical voting, dividend and liquidation
rights. The distribution fee (class specific expense) differs among classes.
Income, expenses (other than class specific expenses) and realized and
unrealized gains or losses on investments are allocated to each class of shares
based upon its relative net assets.
Each Fund is a separate mutual fund with its own investment objective,
strategies and risks. The Select Funds invest directly in particular types of
fixed income obligations, stocks and other investments and the Blended Funds
primarily invest in a different mix of the Select Funds to meet a specified
investment strategy. The Blended Funds are commonly referred to as "Fund of
Funds".
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally
accepted accounting principles in the United States of America which requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosures of contingent assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
A. VALUATION OF SECURITIES
The Funds (except the Money Market Fund) each value securities traded on
national securities exchanges or included in national market systems at the last
quoted sale price, or official close price, on the principal exchange on which
they were traded, or, in the absence of any sale, or official close price, at
the closing bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the closing values of such securities on their
respective exchanges, except that when an occurrence subsequent to the time when
the foreign security is valued is likely to have changed such value, then the
fair value of those securities will be determined through procedures established
by or under the direction of the Board of Trustees. Non-exchange traded
securities for which an over-the-counter quotation is readily available are
valued at the last quoted bid price. Debt securities, excluding asset-backed and
mortgage-backed securities, are valued at the mean of the last bid and asked
prices available. Asset-backed and mortgage-backed securities are valued at the
last bid price. Options and warrants for which the primary market is a national
securities exchange are valued at the last sale price on the exchange on which
they are traded, or, in the absence of any sale, at the closing bid price.
Options and warrants not traded on a national securities exchange are valued at
the last quoted bid price. Short-term securities maturing in more than 60 days
from the valuation date are valued at the mean of the last bid and asked prices;
those maturing in 60 days or less are valued at amortized cost. Futures
contracts are valued at the closing settlement price on the exchange on which
they are primarily traded. Forward foreign exchange contracts are valued based
upon closing exchange rates from each respective foreign market. Swap agreements
are valued daily based upon the terms specific to each agreement with its
counterparty. To the extent
119
available, valuations of portfolio securities are provided by independent
pricing services approved by the Board of Trustees. Debt securities are valued
on the basis of broker quotations or valuations provided by a pricing service
which may use a matrix, formula or other objective method that takes into
consideration market indices, matrices, yield curves and other specific
adjustments. Securities for which market quotations are not readily available
are valued at fair value according to methods established in good faith by the
Board of Trustees.
The Money Market Fund uses the amortized cost method to determine the value of
its portfolio securities, which approximates market value.
The Blended Funds value their investments in the underlying Select Funds daily
at the closing net asset value of each respective Select Fund.
B. REPURCHASE AGREEMENTS
Each Fund may agree to purchase securities from financial institutions subject
to the seller's agreement to repurchase them at a mutually agreed upon date and
price. It is the Fund's policy that repurchase agreements are fully
collateralized by U.S. Treasury and Government Agency securities. All collateral
is held by the Fund's custodian bank or a bank with which the custodian bank has
entered into a subcustodian agreement, or is segregated in the Federal Reserve
Book Entry System. In connection with transactions in repurchase agreements, if
the seller defaults and the value of the collateral declines, or if the seller
enters an insolvency proceeding, realization of the collateral by the Fund may
be delayed or limited.
C. DERIVATIVE FINANCIAL INSTRUMENTS
The Funds may engage in various portfolio strategies to seek to increase its
return by hedging its portfolio against adverse movements in the equity, debt
and currency markets. Losses may arise due to changes in the value of the
contract if the counterparty does not perform under the contract.
FINANCIAL FUTURES CONTRACTS -- The Funds (except the Money Market Fund) may
purchase or sell financial futures contracts and the options on such
futures contracts for the purpose of hedging risk on existing securities,
the intended purchase of securities or to gain market exposure on cash
balances. Financial futures contracts are contracts for the delivery of
securities at a specified future date at an agreed upon price or yield.
Upon entering into a contract, the Funds deposit and maintain as collateral
such initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Funds agree to pay to or receive
from the broker an amount of cash equal to the daily fluctuation in the
value of the contract. Such payments or receipts are known as variation
margin and are recorded by the Funds as unrealized gains or losses until
the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there
will be an imperfect price correlation between the futures and the
underlying securities. Second, it is possible that a lack of liquidity for
futures contracts could exist in the secondary market, resulting in an
inability to close a futures position prior to its maturity date. Third,
the purchase of a futures contract involves the risk that a fund could lose
more than the original margin deposit required to initiate a futures
transaction.
OPTIONS -- The Funds are authorized to write and purchase put and call
options. The risk in writing a call option is that the Funds give up the
opportunity for profit if the market price of the security increases. The
risk in writing a put option is that the Funds may incur a loss if the
market price of the security decreases and the option is exercised. The
risk in purchasing an option is that the Funds pay a premium whether or not
the option is exercised. The Funds also have the additional risk of being
unable to enter into a closing transaction at an acceptable price if a
liquid secondary market does not exist. The Funds also may write
over-the-counter options where completing the obligation depends upon the
credit standing of the other party and this party's ability to perform.
Option contracts also involve the risk that they may not work as intended
due to unanticipated developments in market conditions or other causes.
120
Options purchased are recorded as an asset and written options are recorded
as liabilities to the extent of premiums paid or received. Each Fund will
realize a gain or loss when the option transaction expires or closes. When
an option is exercised, the proceeds on sales for a written call option,
the purchase cost for a written put option or the cost of a security for a
purchased put or call option is adjusted by the amount of the premium
received or paid.
The Funds may write swaption contracts to manage exposure to fluctuations
in interest rates and to enhance portfolio yield. Swaption contracts
written by the Funds represent an option that gives the purchaser the
right, but not the obligation, to enter into a previously agreed upon swap
contract on a future date. If a written call swaption is exercised, the
writer will enter a swap and is obligated to pay the fixed rate and receive
a floating rate in exchange. If a written put swaption is exercised, the
writer will enter a swap and is obligated to pay the floating rate and
receive a fixed rate in exchange. Swaptions are marked to market daily
based upon quotations from market makers. When a Fund writes a swaption,
the premium received is recorded as a liability and is subsequently
adjusted to the current market value of the swaption.
Entering into a swaption contract involves, to varying degrees, the
elements of credit, market and interest rate risk in excess of the amounts
reported in the Statement of Assets and Liabilities, associated with both
option contracts and swap contracts. The Funds bear the market risk arising
from any change in index values or interest rates.
FORWARD FOREIGN EXCHANGE CONTRACTS -- The International Equity Fund and the
Bond Funds may enter into forward foreign currency exchange contracts to
hedge against adverse exchange rate fluctuation to the U.S. dollar or
between different foreign currencies in connection with either specific
security transactions or portfolio positions. Each contract is valued daily
and the change in value is recorded as an unrealized gain or loss. When the
contract is closed, a realized gain or loss is recorded equal to the
difference between the opening value and the closing value of the contract.
The International Equity Fund and the Bond Funds could be exposed to risk
if the counterparties to the contracts are unable to meet the terms of the
contract and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
FOREIGN CURRENCY OPTIONS AND FUTURES -- The International Equity Fund and
the Bond Funds may also enter into futures contracts on foreign currencies
and related options on transactions as a short or long hedge against
possible variations in foreign exchange rates.
TBAS -- The Bond Funds may enter into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed price at a future date,
typically not exceeding 45 days. TBAs may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to settlement date. This risk is in addition to
the risk of decline in each Fund's other assets. Unsettled TBAs are valued
at the current market value of the underlying securities, according to the
procedures described under "Valuation of Securities" above.
SWAP AGREEMENTS -- Each Select Fund may enter into swap agreements. The
Equity Funds may enter into equity swap contracts, the Bond Funds may enter
into interest rate and credit default swaps, the International Equity and
Bond Funds may enter into currency swaps and each Select Fund may enter
into total return swaps. Swap agreements are the exchange of one security
or asset for another. A swap may be entered into in order to, among other
things, change the maturity of a fund's portfolio, to protect a fund's
value from changes in interest rates, to expose a fund to a different
security or market, or to help a fund achieve a strategy relative to an
index or other benchmark. By entering into a swap agreement, a fund is
exposed to the risk of unanticipated movements in interest rates or in the
value of an
121
underlying security or index, or that the counterparty will not fulfill its
obligation under the agreement. Credit default swaps involve the payment of
amounts based on a specified rate multiplied by a notional amount as well
as upon an event of default. In connection with these agreements,
securities may be set aside as collateral by the Fund's custodian.
D. FOREIGN CURRENCY TRANSLATIONS AND FOREIGN CURRENCY CONTRACTS
Securities and other assets and liabilities denominated in foreign currencies
are translated daily into U.S. dollars. Foreign currency amounts related to the
purchase or sale of securities and income and expenses are translated at the
exchange rate on the transaction date. The effect of changes in foreign exchange
rates on realized and unrealized security gains or losses is reflected as a
component of such gains or losses. In the statement of operations, net realized
gains or losses from foreign currency transactions, if any, may arise from sales
of foreign currency, closed forward contracts, exchange gains or losses realized
between the trade date and settlement date on securities transactions, and other
translation gains or losses on dividends, interest income and foreign
withholding taxes.
E. FEDERAL INCOME TAXES
Each Fund's policy is to comply with all sections of the Internal Revenue Code
that apply to regulated investment companies and to distribute substantially all
of its taxable income to shareholders. No provision for income or excise taxes
is thus required. Each Fund is treated as a separate entity for federal income
tax purposes.
Net investment income (loss) and net realized gains (losses) may differ for
financial statement and tax purposes primarily because of deferred losses on
certain futures contracts and losses deferred due to "wash sale" transactions.
The character of distributions made during the year from net investment income
or net realized gains may differ from their ultimate characterization for
federal income tax purposes. Also, due to the timing of dividend distributions,
the fiscal year in which amounts are distributed may differ from the year that
the income or realized gains (losses) were recorded by the Funds.
F. DIVIDENDS TO SHAREHOLDERS
The Money Market Fund declares a dividend daily and payable monthly equal to its
net investment income for that day. The Bond Funds declare and pay dividends
from net investment income monthly. The Equity Index Fund, Value Equity Fund and
Growth Equity Fund declare and pay dividends from net investment income
semi-annually. The Small Cap Equity Fund, International Equity Fund and the
Blended Funds declare and pay dividends from net investment income annually. The
Funds declare and pay distributions from capital gains, if available, annually.
Distributions to shareholders are recorded on the ex-dividend date.
G. SECURITY TRANSACTIONS, INCOME AND REALIZED GAINS AND LOSSES
Security transactions are accounted for on the date securities are purchased or
sold (the trade date). Dividend income is recognized on the ex-dividend date and
interest income is accrued daily, including the amortization of market premium
and the accretion of market discount. Realized gains and losses from security
transactions are identified on an identified cost basis.
H. EXPENSES
Expenses arising in connection with a Fund are charged directly to that Fund.
Expenses common to all Funds of the Trust are generally allocated to each Fund
in proportion to their relative net assets. Each class of shares bears its
pro-rata portion of expenses attributable to its class, except that each class
separately bears expenses related specifically to that class, such as printing,
transfer agent, service and distribution fees.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEES
Pursuant to a separate investment advisory agreement, SBC Financial Services,
Inc. ("SBCFS" or "Investment Advisor") acts as the Investment Advisor to the
Funds.
122
As Investment Advisor it supervises the investments of the Funds and for such
services is paid a fee.
SBCFS and the Trust have entered into sub-advisory agreements with various
sub-advisers to manage each Select Fund's investments. Under the general
supervision of SBCFS, the sub-advisers make the day-to-day investment decisions
for the Select Funds and for such services each sub-adviser receives a fee from
the Funds.
The Advisory fees paid to SBCFS and aggregate sub-advisory fees paid to the
sub-advisers are computed daily based upon the net assets of each Fund. The
actual advisory and sub-advisory fees accrued during the six months ended June
30, 2003, based upon average daily net assets, were as follows:
<Table>
<Caption>
FUND ADVISORY FEES SUB-ADVISER FEES
- ---- ------------- ----------------
Flexible Income .10% --
Growth & Income .10% --
Capital Opportunities .10% --
Global Equity .10% --
Money Market .14% .06%
Low-Duration Bond .20% .21%
Medium-Duration Bond .23% .21%
Extended-Duration Bond .27% .22%
Equity Index .14% .03%
Value Equity .43% .26%
Growth Equity .48% .28%
Small Cap Equity .30% .79%
International Equity .47% .51%
</Table>
For the six months ended June 30, 2003, advisory fees and waivers for each Fund
were as follows:
<Table>
<Caption>
GROSS NET
ADVISORY FEE WAIVERS ADVISORY FEE
------------ --------- ------------
Flexible Income $ 138,850 $ (53,462) $ 85,388
Growth & Income 514,094 (2,805) 511,289
Capital Opportunities 381,026 (27,431) 353,595
Global Equity 315,562 (36,352) 279,210
Money Market 646,057 (21,863) 624,194
Low-Duration Bond 790,395 (209,387) 581,008
Medium-Duration Bond 920,044 (340,062) 579,982
Extended-Duration
Bond 600,190 (44,438) 555,752
Equity Index 227,430 (79,400) 148,030
Value Equity 2,071,669 (215,402) 1,856,267
Growth Equity 2,645,361 (572,889) 2,072,472
Small Cap Equity 382,213 (227,380) 154,833
International Equity 1,666,978 (600,010) 1,066,968
</Table>
B. DISTRIBUTION AND SHAREHOLDER SERVICING FEES
The Board of Trustees has adopted Shareholder Service Plans for the Retirement
and Retail Class of each Select Fund ("Service Plans") and a separate Plan of
Distribution for the Retail Class of each Select Fund and Blended Fund pursuant
to Rule 12b-1 under the 1940 Act ("12b-1 Plan"). Under the Service Plans, the
Retail Class and Retirement Class of each Select Fund are authorized to pay fees
to parties that provide services for and maintain shareholder accounts. The
Retail Class and the Retirement Class of each Select Fund are authorized to pay
service fees of 0.15% and 0.19% of average daily net assets, respectively. Under
the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be used to
compensate the Annuity Board, the Distributor or others for certain expenses
relating to the distribution of shares of the Funds to investors. Under the
12b-1 Plan, the maximum amount payable as a percentage of average daily net
assets on an annual basis is 0.10% by the Retail Class of each Select Fund and
0.06% by the Retail Class of each Blended Fund.
C. EXPENSE LIMITATION
SBCFS has agreed, for the period May 1, 2003 through April 30, 2004, to waive
fees and reimburse expenses of the Retail Class, Retirement Class and the
Institutional Class of each Fund (excluding interest, taxes, brokerage
commissions and extraordinary expenses) which exceed, in the aggregate, the
annual percentage rate of each class's average daily net assets as follows:
<Table>
<Caption>
RETAIL RETIREMENT INSTITUTIONAL
FUND CLASS CLASS CLASS
- ---- ------ ---------- -------------
Flexible Income .35% .13% --
Growth & Income .45% .13% --
Capital Opportunities .55% .13% --
Global Equity .42% .13% --
Money Market .72% .46% .27%
Low-Duration Bond .85% .61% .45%
Medium-Duration Bond .90% .62% .50%
Extended-Duration Bond 1.05% .73% .65%
Equity Index .45% .40% .25%
Value Equity 1.15% .90% .76%
Growth Equity 1.15% .90% .78%
Small Cap Equity 1.50% 1.25% 1.18%
International Equity 1.35% 1.15% .97%
</Table>
123
During the period January 1, 2003 through April 30, 2003, SBCFS agreed to waive
fees and reimburse expenses of the Retail Class (excluding interest, taxes,
brokerage commissions and extraordinary expenses) which exceeded, in the
aggregate, the annual percentage rate of each class's average daily net assets
for the following Funds:
<Table>
<Caption>
RETAIL
FUND CLASS
- ---- ------
Flexible Income .48%
Growth & Income .48%
Global Equity .48%
Money Market .75%
International Equity 1.45%
</Table>
D. BROKERAGE SERVICE AND OTHER ARRANGEMENTS
The Investment Advisor directs the sub-advisers to place security trades with
designated brokers who have agreed to pay certain custody, transfer agency or
other operating expenses through the use of Brokerage Service Arrangements on
behalf of the Equity Funds. The amount of expenses paid through Brokerage
Service Arrangements for the six months ended June 30, 2003 were as follows:
<Table>
<Caption>
EXPENSES PAID
THROUGH BROKERAGE
FUND SERVICE ARRANGEMENTS
- ---- --------------------
Value Equity $126,453
Growth Equity 73,213
Small Cap Equity 101,400
International Equity 67,197
</Table>
In addition, the Funds have entered into arrangements with its custodian whereby
interest earned on uninvested cash balances was used to offset a portion of each
Fund's expenses. During the six months ended June 30, 2003, expenses reduced
were as follows:
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Flexible Income $ 274
Growth & Income 151
Capital Opportunities 189
Global Equity 161
Money Market 4,179
Low-Duration Bond 15,013
Medium-Duration Bond 5,887
Extended-Duration Bond 2,394
Equity Index 209
</Table>
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Value Equity $ 6,209
Growth Equity 435
Small Cap Equity 327
International Equity 726
</Table>
E. ADMINISTRATOR, TRANSFER AGENT AND DISTRIBUTOR
Certain employees of PFPC Inc. ("PFPC"), an indirect, wholly-owned subsidiary of
The PNC Financial Services Group, Inc., are officers of the Funds. PFPC serves
as Administrator and Transfer agent of the Funds. For its services as
Administrator, PFPC is entitled to receive fees, computed daily and paid
monthly, based upon the average daily net assets of each Fund. The fees
currently range between .008% and .0375% of average net assets, excluding out of
pocket expenses. For its services as Transfer Agent, PFPC receives a fee based
mainly upon the number of accounts serviced. Certain minimum fees and
transaction charges may apply. For the six months ended June 30, 2003, PFPC
received $1,909,284 in aggregate fees and expenses for services rendered under
the various agreements described above.
PFPC Distributors, Inc. ("PDI"), also an indirect, wholly-owned subsidiary of
The PNC Financial Services Group, Inc., serves as the Distributor for the Funds.
The Funds do not pay any fees to PDI in its capacity as distributor.
4. SECURITIES LENDING
Through an agreement with Northern Trust (the Funds' custodian) the Select Funds
may lend portfolio securities to certain brokers, dealers and other financial
institutions that pay the Select Funds a negotiated fee. The Select Funds
receive cash, letters of credit or U.S. Government securities as collateral
against the loaned securities in an amount at least equal to the market value of
the loaned securities. The Funds continue to own the loaned securities and the
securities remain in the investment portfolio. However, in the event of default
or bankruptcy by the other party to the agreement, realization and/or retention
of the collateral may be subject to legal proceedings. Cash collateral has been
invested in a short-term money market fund of Northern Trust. At June 30, 2003,
the market
124
values of loaned securities and collateral received were as follows:
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
FUND SECURITIES LOANED COLLATERAL
- ---- ----------------- ---------------
Money Market $162,270,846 $165,342,504
Low-Duration Bond 79,948,007 81,480,560
Medium-Duration Bond 163,473,669 166,305,732
Extended-Duration Bond 88,559,452 89,465,687
Equity Index 19,013,091 19,571,900
Value Equity 76,616,086 78,892,038
Growth Equity 81,574,555 83,327,467
Small Cap Equity 79,440,483 82,188,119
International Equity 67,227,166 70,256,561
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2003, the cost of purchases and proceeds from
sales and maturities (other than short-term and U.S. Government obligations)
aggregated for each Fund are as follows:
<Table>
<Caption>
SALE AND MATURITY
FUND PURCHASES PROCEEDS
- ---- ------------ -----------------
Flexible Income $ 2,500,000 $ 7,000,000
Growth & Income 22,750,000 60,936,348
Capital Opportunities 14,250,000 19,250,000
</Table>
<Table>
<Caption>
SALE AND MATURITY
FUND PURCHASES PROCEEDS
- ---- ------------ -----------------
Global Equity $ 8,000,000 $ 12,500,000
Low-Duration Bond 106,824,213 146,423,775
Medium-Duration Bond 809,365,995 928,731,188
</Table>
For the six months ended June 30, 2003, the cost of purchases and proceeds from
sales and maturities of long-term U.S. Government obligations aggregated for
each Fund are as follows:
<Table>
<Caption>
SALE AND MATURITY
FUND PURCHASES PROCEEDS
- ---- -------------- -----------------
Flexible Income $ 9,034,176 $ 10,440,316
Growth & Income 21,253,992 19,643,813
Capital Opportunities 7,164,742 6,113,066
Low-Duration Bond 521,545,667 505,805,930
Medium-Duration Bond 1,083,429,822 937,361,954
Extended-Duration Bond 184,205,618 101,164,244
Extended-Duration Bond 54,449,885 141,532,212
Equity Index 28,166,079 2,084,736
Value Equity 235,125,117 227,546,895
Growth Equity 183,815,987 207,388,011
Small Cap Equity 169,130,759 168,313,376
International Equity 133,440,590 123,924,393
</Table>
FUTURES CONTRACTS
Investments in securities as of June 30, 2003, included securities that were
valued and pledged as collateral to cover initial margin deposits. The market
value of this collateral and open futures contracts is as follows:
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
FLEXIBLE INCOME FUND
September 2003 S&P 500 $ 89,962 4 $ 973,300 $ (15,624)
===========
GROWTH & INCOME FUND
September 2003 S&P 500 629,732 41 9,976,325 $ (175,684)
===========
CAPITAL OPPORTUNITIES FUND
September 2003 S&P 500 854,393 57 13,869,525 $ (255,405)
===========
GLOBAL EQUITY FUND
September 2003 S&P 500 1,159,507 62 15,086,150 $ (299,185)
===========
LOW-DURATION BOND FUND
September 2003 2-Year U.S. Treasury Note 201,024 123 26,604,516 $ (20,083)
September 2003 5-Year Euro Bobl 59,940 48 6,247,353 (25,399)
September 2003 5-Year U.S. Treasury Note 1,548,238 28 3,223,500 (46,059)
September 2003 10-Year U.S. Treasury Note 767,078 (12) 1,404,375 22,462
-----------
$ (69,079)
===========
</Table>
125
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
MEDIUM-DURATION BOND FUND
September 2003 U.S. Treasury Bond $ 245,927 13 $ 1,525,469 $ (17,463)
September 2003 2-Year U.S. Treasury Note 234,128 47 10,165,953 12,486
September 2003 5-Year U.S. Treasury Note 763,603 (288) 33,156,000 212,572
September 2003 10-Year Euro-Bund 293,532 95 12,745,286 (159,385)
September 2003 10-Year U.S. Treasury Note 630,701 234 27,385,313 (246,777)
March 2004 90-Day Libor 77,997 17 3,386,675 6,257
June 2004 90-Day Libor 494,400 107 21,293,399 3,887
September 2004 90-Day Euribor 28,309 5 1,229,188 13,250
December 2004 90-Day Euribor 244,966 38 10,636,526 (14,645)
December 2004 90-Day Libor 31,974 7 1,388,304 (4,447)
March 2005 90-Day Libor 250,933 55 10,895,627 (34,720)
June 2005 10-Year Euro-Bund 123,527 22 5,363,600 (14,025)
-----------
$ (243,010)
===========
EQUITY INDEX FUND
September 2003 S&P 500 864,633 29 7,056,425 $ (150,536)
===========
VALUE EQUITY FUND
September 2003 Russell 1000 129,945 22 5,700,200 $ (15,682)
September 2003 S&P 500 3,808,382 149 36,255,425 (701,394)
-----------
$ (717,076)
===========
GROWTH EQUITY FUND
September 2003 Russell 1000 99,958 11 2,850,100 $ (9,316)
September 2003 S&P 500 3,803,384 239 58,154,675 (1,276,884)
-----------
$(1,286,200)
===========
SMALL CAP EQUITY FUND
September 2003 Russell 1000 635,954 36 8,071,200 $ (121,391)
September 2003 S&P 500 613,513 32 7,786,400 (182,180)
-----------
$ (303,571)
===========
</Table>
FOREIGN CURRENCY CONTRACTS
As of June 30, 2003, the following Funds have foreign currency exchange
contracts that obligate it to deliver currencies at specified future dates. The
unrealized appreciation and/or depreciation on these contracts is included in
the accompanying financial statements. The terms of the open contracts are as
follows:
<Table>
<Caption>
AMOUNT OF FOREIGN AMOUNT OF FOREIGN NET UNREALIZED
CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE APPRECIATION/
FUND/EXPIRATION DATE DELIVERED DELIVERED RECEIVED RECEIVED (DEPRECIATION)
- -------------------- ------------------ ----------------- ------------------ ----------------- --------------
INTERNATIONAL EQUITY
7/14/2003 Swiss Francs 1,288,997 Canadian Dollars 1,361,857 $ 51,355
7/17/2003 Japanese Yen 140,923,950 Canadian Dollars 1,728,916 100,138
9/5/2003 Japanese Yen 79,518,009 Australian Dollars 1,019,462 15,222
9/12/2003 Japanese Yen 33,062,850 European Euro 259,462 21,431
</Table>
126
<Table>
<Caption>
AMOUNT OF FOREIGN AMOUNT OF FOREIGN NET UNREALIZED
CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE APPRECIATION/
FUND/EXPIRATION DATE DELIVERED DELIVERED RECEIVED RECEIVED (DEPRECIATION)
- -------------------- ------------------ ----------------- ------------------ ----------------- --------------
INTERNATIONAL EQUITY
9/30/2003 Japanese Yen 356,419,140 European Euro 2,813,095 $ 243,985
10/16/2003 Hong Kong Dollars 7,513,316 European Euro 919,713 89,982
-----------
$ 522,113
===========
MEDIUM-DURATION BOND FUND
7/1/2003 Polish Zloty 177,100 US Dollars 45,144 $ (313)
7/1/2003 European Euro 2,301,463 US Dollars 2,627,419 (16,537)
7/9/2003 Polish Zloty 8,012,694 US Dollars 1,937,352 (117,362)
7/9/2003 Polish Zloty 4,378,633 US Dollars 1,169,507 46,683
7/9/2003 US Dollars 1,061,054 Polish Zloty 4,145,964 2,105
7/21/2003 Mexican Peso 8,167,253 US Dollars 764,545 (14,216)
7/30/2003 European Euro 660,192 US Dollars 754,600 (3,139)
7/30/2003 European Euro 19,420,000 US Dollars 22,361,354 71,950
7/30/2003 European Euro 1,767,000 US Dollars 2,047,123 19,039
7/31/2003 Canadian Dollars 3,968,000 US Dollars 2,939,172 15,160
7/31/2003 British Pounds 233,000 US Dollars 382,884 (1,422)
8/20/2003 US Dollars 536,864 European Euro 464,014 (4,608)
8/20/2003 European Euro 12,983,424 US Dollars 15,047,790 154,901
8/20/2003 European Euro 6,004,282 US Dollars 6,946,955 59,626
8/20/2003 European Euro 1,464,768 US Dollars 1,693,272 13,081
8/20/2003 US Dollars 2,623,668 European Euro 2,301,463 16,270
9/11/2003 South African Rand 27,103,430 US Dollars 3,301,270 (235,867)
-----------
$ 5,351
===========
LOW-DURATION BOND FUND
7/14/2003 Canadian Dollars 11,874,447 US Dollars 8,457,584 $ (302,746)
7/15/2003 European Euro 4,018,889 US Dollars 4,605,647 (9,297)
7/15/2003 European Euro 3,961,586 US Dollars 4,532,055 (17,088)
7/30/2003 European Euro 3,625,000 US Dollars 4,174,043 13,430
-----------
$ (315,701)
===========
</Table>
OPTIONS WRITTEN
Transactions in options written for the six months ended June 30, 2003, were as
follows:
<Table>
<Caption>
NUMBER OF PREMIUMS
LOW-DURATION BOND FUND CONTRACTS RECEIVED
- ---------------------- --------- ----------
Options written, 12/31/02 -- $ --
------ ----------
Options written 3,432 656,030
Option expired (312) (255,110)
Options closed -- --
------ ----------
Options written, 06/30/03 3,120 $ 400,920
====== ==========
</Table>
127
<Table>
<Caption>
NUMBER OF PREMIUMS
MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED
- ------------------------- --------- ----------
Options written, 12/31/02 5,490 $1,553,865
------ ----------
Options written 10,686 696,107
Option expired (8,708) (305,666)
Options closed (1,220) (99,265)
------ ----------
Options written, 06/30/03 6,248 $1,845,041
====== ==========
</Table>
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock for the six months ended June 30, 2003
and the year ended December 31, 2002, are as follows:
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 83,802 $ 774,020 1,670,545 $ 16,393,393
Retirement Class 1,034,017 12,958,840 3,611,419 46,311,965
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 46 422 107,505 980,449
Retirement Class -- -- 987,456 12,264,206
SHARES REDEEMED:
Retail Class (9,346) (85,707) (30,529) (292,173)
Retirement Class (1,458,458) (18,248,872) (5,132,185) (66,166,610)
-------------- --------------- -------------- ---------------
Net increase (349,939) $ (4,601,297) 1,214,211 $ 9,491,230
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
GROWTH & INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 111,610 $ 959,755 1,804,916 $ 17,382,391
Retirement Class 2,921,730 35,414,057 10,191,589 126,341,627
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 55 459 165,812 1,385,998
Retirement Class -- -- 5,235,297 62,038,270
SHARES REDEEMED:
Retail Class (40,790) (338,880) (69,225) (640,608)
Retirement Class (5,921,897) (70,523,817) (15,192,703) (189,399,981)
-------------- --------------- -------------- ---------------
Net increase (2,929,292) $ (34,488,426) 2,135,686 $ 17,107,697
============== =============== ============== ===============
</Table>
128
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE
- -------------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 56,356 $ 462,168 1,164,775 $ 11,131,515
Retirement Class 1,975,998 22,886,128 6,015,900 72,058,224
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 17 136 58,034 467,756
Retirement Class 4 49 2,467,745 27,712,780
SHARES REDEEMED:
Retail Class (30,192) (243,706) (26,707) (232,493)
Retirement Class (2,112,639) (23,657,688) (7,786,137) (92,920,831)
-------------- --------------- -------------- ---------------
Net increase (110,456) $ (552,913) 1,893,610 $ 18,216,951
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 59,973 $ 481,714 1,668,192 $ 15,788,091
Retirement Class 1,903,691 20,432,735 4,934,351 56,608,076
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class -- -- 18,489 142,735
Retirement Class 1 12 601,538 6,310,135
SHARES REDEEMED:
Retail Class (19,700) (155,694) (33,843) (271,873)
Retirement Class (2,274,195) (23,570,849) (7,942,881) (91,353,777)
-------------- --------------- -------------- ---------------
Net increase (decrease) (330,230) $ (2,812,082) (754,154) $ (12,776,613)
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
MONEY MARKET FUND SHARES VALUE SHARES VALUE
- ----------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 2,028,107 $ 2,028,107 18,106,642 $ 18,106,642
Retirement Class 2,218,241,356 2,218,241,356 2,391,998,542 2,391,998,542
Institutional Class 254,408 254,408 6,411,127 6,411,127
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 45,602 45,602 213,286 213,286
Retirement Class 2,921,224 2,921,224 9,311,070 9,311,070
Institutional Class 32,079 32,079 98,177 98,177
SHARES REDEEMED:
Retail Class (10,325,740) (10,325,740) (2,568,089) (2,568,089)
Retirement Class (2,211,037,370) (2,211,037,370) (2,491,264,245) (2,491,264,245)
Institutional Class -- -- (1,041,113) (1,041,113)
-------------- --------------- -------------- ---------------
Net increase (decrease) 2,159,666 $ 2,159,666 (68,734,603) $ (68,734,603)
============== =============== ============== ===============
</Table>
129
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ---------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 241,161 $ 2,365,838 1,793,207 $ 17,762,300
Retirement Class 4,640,693 61,303,019 10,218,265 134,402,258
Institutional Class 393,413 3,816,113 607,288 6,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 29,679 290,217 122,635 1,206,161
Retirement Class 597,003 7,868,719 2,813,339 36,945,105
Institutional Class 11,955 116,585 40,373 395,941
SHARES REDEEMED:
Retail Class (79,249) (778,113) (123,568) (1,220,973)
Retirement Class (5,748,833) (75,933,992) (17,206,689) (226,065,358)
Institutional Class -- -- (2,556) (25,249)
-------------- --------------- -------------- ---------------
Net increase (decrease) 85,822 $ (951,614) (1,737,706) $ (30,599,815)
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ------------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 326,529 $ 3,162,962 1,906,394 $ 18,677,236
Retirement Class 6,792,174 93,309,047 16,093,582 218,282,492
Institutional Class 674,673 6,362,200 689,176 6,727,106
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 45,069 432,710 183,456 1,767,411
Retirement Class 871,728 11,941,023 4,320,283 58,449,894
Institutional Class 23,380 223,860 72,704 696,779
SHARES REDEEMED:
Retail Class (101,198) (981,117) (78,013) (760,212)
Retirement Class (10,320,869) (142,416,353) (25,611,700) (346,415,094)
Institutional Class (356) (3,431) (2,609) (25,441)
-------------- --------------- -------------- ---------------
Net increase (decrease) (1,688,870) $ (27,969,099) (2,426,727) $ (42,599,829)
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE
- --------------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 342,680 $ 3,409,204 1,780,621 $ 17,558,639
Retirement Class 5,787,958 86,960,245 9,912,940 141,473,893
Institutional Class 295,198 2,798,483 602,410 6,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 85,374 835,523 272,045 2,612,870
Retirement Class 566,786 8,472,040 2,110,905 30,277,376
Institutional Class 26,309 258,753 72,741 698,808
SHARES REDEEMED:
Retail Class (148,448) (1,488,383) (346,633) (3,336,503)
Retirement Class (7,477,349) (113,370,273) (12,725,946) (181,561,981)
Institutional Class -- -- (2,630) (26,174)
-------------- --------------- -------------- ---------------
Net increase (521,492) $ (12,124,408) 1,676,453 $ 13,696,928
============== =============== ============== ===============
</Table>
130
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
EQUITY INDEX FUND SHARES VALUE SHARES VALUE
- ----------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 74,107 $ 551,807 1,723,247 $ 16,231,143
Retirement Class 3,606,221 45,187,221 4,534,401 59,262,983
Institutional Class 103,277 763,223 638,298 6,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 13,587 109,505 43,629 335,885
Retirement Class 116,274 1,544,125 359,710 4,534,816
Institutional Class 6,425 51,463 17,473 133,846
SHARES REDEEMED:
Retail Class (43,950) (329,753) (30,424) (244,278)
Retirement Class (1,823,535) (22,097,342) (5,822,653) (79,608,284)
Institutional Class -- -- (2,887) (26,469)
-------------- --------------- -------------- ---------------
Net increase 2,052,406 $ 25,780,249 1,460,794 $ 6,619,642
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
VALUE EQUITY FUND SHARES VALUE SHARES VALUE
- ----------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 106,424 $ 863,727 1,792,054 $ 16,791,746
Retirement Class 3,586,132 44,295,716 5,902,283 76,944,949
Institutional Class 508,423 3,911,113 682,607 6,440,400
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 21,397 183,158 40,519 338,252
Retirement Class 616,449 8,112,462 1,234,129 15,730,370
Institutional Class 15,168 130,295 17,310 145,231
SHARES REDEEMED:
Retail Class (46,137) (369,594) (44,669) (369,131)
Retirement Class (4,529,679) (55,670,993) (7,492,522) (100,715,917)
Institutional Class -- -- (30,628) (236,697)
-------------- --------------- -------------- ---------------
Net increase 278,177 $ 1,455,884 2,101,083 $ 15,069,203
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
GROWTH EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 153,646 $ 1,141,424 1,802,792 $ 17,029,868
Retirement Class 5,752,084 67,201,478 17,230,594 217,156,015
Institutional Class 527,084 3,911,113 644,374 6,165,400
SHARES REDEEMED:
Retail Class (65,573) (481,004) (55,258) (429,932)
Retirement Class (6,893,872) (79,785,165) (10,369,145) (134,588,500)
Institutional Class -- -- (2,935) (27,620)
-------------- --------------- -------------- ---------------
Net increase (526,631) $ (8,012,154) 9,250,422 $ 105,305,231
============== =============== ============== ===============
</Table>
131
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE
- --------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 76,064 $ 653,791 1,677,766 $ 16,348,685
Retirement Class 2,924,384 31,948,930 8,191,337 98,180,698
Institutional Class 122,335 953,223 639,470 6,285,000
SHARES REDEEMED:
Retail Class (25,219) (216,797) (43,559) (364,433)
Retirement Class (2,774,654) (29,915,993) (9,860,076) (120,314,748)
Institutional Class -- -- (29,239) (229,684)
-------------- --------------- -------------- ---------------
Net increase (decrease) 322,910 $ 3,423,154 575,699 $ (94,482)
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 47,326 $ 399,621 1,716,277 $ 15,791,132
Retirement Class 5,883,949 57,166,142 9,250,407 97,896,260
Institutional Class 390,395 3,052,891 645,856 6,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class -- -- 18,906 154,094
Retirement Class -- -- 787,451 7,567,407
Institutional Class -- -- 9,920 81,443
SHARES REDEEMED:
Retail Class (13,912) (118,066) (21,992) (188,156)
Retirement Class (5,232,477) (50,447,917) (9,425,678) (99,683,230)
Institutional Class -- -- (2,881) (26,444)
-------------- --------------- -------------- ---------------
Net increase 1,075,281 $ 10,052,671 2,978,266 $ 27,592,506
============== =============== ============== ===============
</Table>
7. BANK BORROWINGS
The Trust, on behalf of and for the benefit of the Funds, has a credit agreement
with Bank of America, N.A., dated October 23, 2002, whereby each Fund is
permitted to have bank borrowings for temporary or emergency purposes to fund
Shareholder redemptions. The agreement permits borrowings up to $50 million,
collectively. Interest is charged to each Fund based on its borrowings at a rate
equal to the Bank prime rate minus two percent or the Wall Street Journal LIBOR
One Month Floating Rate plus 0.50%. Each Fund also pays a facility fee equal to
its pro rata share of the amount of the credit facility at a rate of 0.16% per
annum. Each Fund had no borrowings outstanding during the period ended June 30,
2003.
132
8. FEDERAL INCOME TAXES
Income and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP. These differences are
primarily due to differing treatments for futures and options transactions,
foreign currency transactions, paydowns, losses deferred due to wash sales,
investments in passive foreign investment companies ("PFIC") and excise tax
regulations. Distributions paid during 2002 were characterized as follows for
tax purposes:
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTION
- ---- ----------- ------------ --------- ------------
Flexible Income
2002 $ 9,781,693 $ 3,462,350 -- $13,244,043
Growth & Income
2002 37,309,441 26,116,347 -- 63,425,788
Capital Opportunities
2002 18,417,652 9,766,603 -- 28,184,255
Global Equity
2002 6,452,783 -- -- 6,452,783
Money Market
2002 14,515,587 -- -- 14,515,587
Low-Duration Bond
2002 36,617,084 1,930,128 -- 38,547,212
Medium-Duration Bond
2002 55,633,960 5,292,354 -- 60,926,314
Extended-Duration Bond
2002 30,750,822 2,838,223 -- 33,589,045
Equity Index
2002 4,604,015 400,546 -- 5,004,561
Value Equity
2002 16,185,464 -- 138,432 16,323,896
International Equity
2002 7,623,004 -- 179,894 7,802,898
</Table>
At December 31, 2002, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED UNREALIZED
ORDINARY LONG-TERM APPRECIATION
FUND INCOME CAPITAL GAIN (DEPRECIATION)
- ---- ------------- ------------- --------------
Flexible Income $ 256,761 $ 1,000,540 $ 33,849,224
Growth & Income 2,403,833 1,676,036 33,673,734
Capital Opportunities 1,184,631 -- (50,529,886)
Global Equity 62,062 (3,248,256) (93,922,853)
Money Market 677 -- --
Low-Duration Bond 694,345 33,766 14,196,094
Medium-Duration Bond (1,007,669) 2,645,878 15,319,289
Extended-Duration
Bond 280,593 794,441 22,382,383
Equity Index 47,048 (8,362,710) (52,495,574)
Value Equity -- (77,865,680) (130,278,862)
Growth Equity -- (220,583,639) (274,744,001)
Small Cap Equity -- (42,666,278) (17,074,948)
International Equity (45,034) (79,907,298) (126,884,589)
</Table>
For federal income tax purposes, capital loss carryovers, and their expiration
dates, were as follows as of December 31, 2002:
<Table>
<Caption>
EXPIRING EXPIRING
FUND 12/31/2009 12/31/2010 TOTAL
- ---- ----------- ------------ ------------
Global Equity -- $ 1,756,387 $ 1,756,387
Equity Index -- 7,742,596 7,742,596
Value Equity $23,196,868 52,021,529 75,218,397
Growth Equity 65,899,400 125,035,753 190,935,153
Small Cap Equity 8,075,533 31,824,778 39,900,311
International Equity 11,896,098 57,870,668 69,766,766
</Table>
For federal income tax purposes, post-October loss deferrals, which will reverse
in 2003, were as follows as of December 31, 2002:
<Table>
<Caption>
FUND CAPITAL FX AND PFIC TOTAL
- ---- ----------- ------------ ------------
Global Equity $ 1,491,869 -- $ 1,491,869
Low-Duration Bond -- $ 234,243 234,243
Medium-Duration Bond -- 212,934 212,934
Equity Index 620,114 -- 620,114
Value Equity 2,647,283 -- 2,647,283
Growth Equity 29,648,486 -- 29,648,486
Small Cap Equity 2,765,967 -- 2,765,967
International Equity 10,140,532 45,034 10,185,566
</Table>
At June 30, 2003, the net unrealized appreciation from investments for those
securities having an excess of value over cost and net unrealized depreciation
from investments for those securities having an excess of cost over
133
value (based on cost for federal income tax purposes) was as follows:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION/ APPRECIATED DEPRECIATED
FUND (DEPRECIATION) SECURITIES SECURITIES
- ---- -------------- ------------ --------------
Flexible Income $ 43,213,840 $ 48,084,309 $ (4,870,469)
Growth & Income 103,574,647 136,416,817 (32,842,170)
Capital Opportunities 19,518,200 56,812,597 (37,294,397)
Global Equity (20,953,693) 22,112,656 (43,066,350)
Money Market -- -- --
Low-Duration Bond 14,586,699 18,180,989 (3,594,290)
Medium-Duration Bond 31,540,353 41,646,975 (10,106,622)
Extended-Duration
Bond 44,064,266 48,301,703 (4,237,437)
Equity Index (17,848,079) 58,241,260 (76,089,339)
Value Equity (13,103,666) 97,451,685 (110,555,351)
Growth Equity (60,766,459) 114,162,945 (174,929,404)
Small Cap Equity 27,836,994 40,267,203 (12,430,209)
International Equity (38,184,780) 80,527,795 (118,712,575)
</Table>
The differences between book basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and on
investments in passive foreign investment companies.
At June 30, 2003, the aggregate cost for federal income tax purposes was as
follows (excluding foreign currency and derivative related items):
<Table>
<Caption>
FUND
- ----
Flexible Income $ 244,663,160
Growth & Income 985,379,686
Capital Opportunities 813,422,768
Global Equity 721,113,449
Money Market 1,059,732,508
Low-Duration Bond 821,615,540
Medium-Duration Bond 1,088,851,482
Extended-Duration Bond 445,157,713
Equity Index 410,414,316
Value Equity 1,150,225,901
Growth Equity 1,339,414,148
Small Cap Equity 352,480,092
International Equity 894,965,926
</Table>
At December 31, 2002, capital contributions, accumulated undistributed net
investment income and accumulated net realized gain (loss) from investments have
been adjusted for current period permanent book/tax differences which arose
principally from differing book/tax treatments of foreign currency transactions.
The following amounts were reclassified within the capital accounts:
<Table>
<Caption>
ACCUMULATED AND
REALIZED GAIN
(LOSS) ON
ACCUMULATED INVESTMENTS AND
PAID IN UNDISTRIBUTED CURRENCY
FUND CAPITAL INCOME TRANSACTIONS
- ---- --------- ------------- ---------------
Flexible Income -- $ (1,036) $ 1,036
Growth & Income -- (874) 874
Capital Opportunities -- 1,155 (1,155)
Low-Duration Bond -- 1,002,511 (1,002,511)
Medium-Duration Bond -- 1,617,834 (1,617,834)
Extended-Duration Bond -- 36,744 (36,744)
Equity Index $ 1 (10,901) 10,900
Value Equity (138,433) 13,021 125,412
Growth Equity (609,356) 609,038 318
Small Cap Equity (639,212) 600,195 39,017
International Equity (179,894) 957,329 (777,435)
</Table>
Net investment income, net realized gain (loss) on investments and net assets
were not affected by these reclassifications.
134
FUND MANAGEMENT
Information pertaining to the Trustees and officers of the Trust is set forth
below. The statement of additional information (SAI) includes additional
information about the Trustees and is available without charge, upon request, by
calling (800) 262-0511.
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
TERM OF OFFICE COMPLEX OTHER TRUSTEESHIPS/
NAME, (DOB), ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN DIRECTORSHIPS
POSITION(S) WITH TRUST TIME SERVED(1) DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE
- ------------------------ -------------- ----------------------- ---------- -------------------
- --------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES
- --------------------------------------------------------------------------------------------------------------------------------
Mr. Michael R. Buster (11/18/57) Since 2002 Executive Pastor, Prestonwood 13 None
3656 Bridle Road Baptist Church,
Prosper, TX 75078 1989 - present
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
Mr. Earl B. Patrick (6/3/44) Since 2000 President and Chief Operating 13 Earl B. Patrick, Inc. --
Jim Stewart Realtors, Inc. Officer, Jim Stewart, President, Director JSR
500 N. Valley Mills Drive Realtors, Inc. d/b/a Coldwell Building
Waco, TX 76710 Banker Jim Stewart, Realtors, Partnership -- Managing
Trustee 1975 - present. Partner, JSR Land
Partnership -- Managing
Partner Meadowlake
Center -- General Partner,
Waco Assn. Of
Realtors -- Director, Baylor
Foundation -- Director, All
Peoples -- Director, Face to
Face Ministries,
Inc. -- Director
- --------------------------------------------------------------------------------------------------------------------------------
Mr. Joseph A. Mack (11/22/39) Since 2002 Director, Office of Public 13 None
3400 Wilmot Ave. Policy, South Carolina
Columbia, SC 29205 Baptist Convention,
Trustee 1999 - present
- --------------------------------------------------------------------------------------------------------------------------------
Mr. James Ray Taylor (10/19/33) Since 2002 Retired 12/31/1994, 13 None
3009 Tanglewood Park West Trustee -- Annuity Board,
Fort Worth, Texas 76109 1990 - 2000
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES(2)
- --------------------------------------------------------------------------------------------------------------------------------
Gerald B. Jones (5/24/32) Since 2000 Owner, Jones Motorcars, Inc. 13 Annuity Board -- Trustee,
Jones Motorcars, Inc. 1957 - Present. Bank of Arkansas -- Director,
3535 N. College Avenue 1996 - Present.
Fayetteville, AR 72703-5108
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
George Tous Van Nijkerk (8/12/39) Since 2000 Administrative Services 13 Annuity Board -- Trustee
2401 Cedar Springs Road Director, Providence Baptist
Dallas, Texas 75201-1498 Church, 1991 - Present.
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
OFFICER(S) WHO ARE NOT TRUSTEES
- --------------------------------------------------------------------------------------------------------------------------------
Jeffrey P. Billinger (12/5/46) Since 2000 Executive Officer and N/A N/A
2401 Cedar Springs Road Treasurer, Annuity Board of
Dallas, TX 75201-1407 the Southern Baptist
Vice President and Treasurer Convention, 1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
Rodric E. Cummins (6/28/57) Since 2000 Executive Officer and Chief N/A N/A
2401 Cedar Springs Road Investment Officer, Annuity
Dallas, TX 75201-1407 Board of the Southern Baptist
Vice President and Investment Convention, 1998 - Present;
Officer Baptist Foundation of Texas
1984 - 1998.
- --------------------------------------------------------------------------------------------------------------------------------
O.S. Hawkins (8/6/47) Since 2000 President and CEO, Annuity N/A N/A
2401 Cedar Springs Road Board of the Southern Baptist
Dallas, TX 75201-1407 Convention, 1997 - Present;
President Pastor, First Baptist Church,
1993 - 1997.
- --------------------------------------------------------------------------------------------------------------------------------
John R. Jones (12/6/53) Since 2000 Executive Vice President and N/A N/A
2401 Cedar Springs Road Chief Operating Officer,
Dallas, TX 75201-1407 Annuity Board of the Southern
Senior Vice President Baptist Convention,
1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
135
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
TERM OF OFFICE COMPLEX OTHER TRUSTEESHIPS/
NAME, (DOB), ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN DIRECTORSHIPS
POSITION(S) WITH TRUST TIME SERVED(1) DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE
- ------------------------ -------------- ----------------------- ---------- -------------------
Rodney R. Miller (5/23/53) Since 2000 General Counsel, Legal and N/A N/A
2401 Cedar Springs Road Compliance, Annuity Board of
Dallas, TX 75201-1407 the Southern Baptist
Vice President and Secretary Convention, 1995 - Present.
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Each Trustee and officer serves for an indefinite term, until his/her
successor is elected.
(2) Messrs. Tous Van Nijkerk and Jones serve as trustees and are to be
"interested persons" of the Trust as the term is defined in the Investment
Company Act of 1940, as amended.
136
[AB FUNDS LOGO]
2401 Cedar Springs Rd., Dallas, TX 75201-1498
1.800.262.0511 - www.absbc.org
Funds distributed by PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
Serving Those Who Serve the Lord "...with the integrity of our hearts
and the skillfulness of our hands." Psalm 78:72
Rev. 8/03 2239
6098 8/03 2.2M
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act
(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
half-year (the registrant's second fiscal half-year in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 10. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are attached hereto.
(b) Certifications pursuant to 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.
(registrant) AB Funds Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ O.S. Hawkins
-------------------------------------------------------
O.S. Hawkins, President & Chief Executive Officer
(principal executive officer)
Date AUGUST 21, 2003
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ O.S. Hawkins
-------------------------------------------------------
O.S. Hawkins, President & Chief Executive Officer
(principal executive officer)
Date AUGUST 21, 2003
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Jeffrey P. Billinger
-------------------------------------------------------
Jeffrey P. Billinger, Executive Officer and Treasurer
(principal financial officer)
Date AUGUST 21, 2003
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.