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, 2004
-----------------
Date of reporting period: June 30, 2004
-------------
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.
The Report to Shareholders is attached herewith.
[AB FUNDS LOGO]
[AB FUNDS TRUST LOGO]
Semi-Annual Report
JUNE 30, 2004
(UNAUDITED)
BLENDED FUNDS:
- FLEXIBLE INCOME FUND
- GROWTH & INCOME FUND
- CAPITAL OPPORTUNITIES FUND
- GLOBAL EQUITY FUND
- FLEXIBLE INCOME FUND I
- GROWTH & INCOME FUND I
- CAPITAL OPPORTUNITIES FUND I
- GLOBAL EQUITY FUND I
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 4
Blended Funds:
Flexible Income 5
Growth & Income 7
Capital Opportunities 9
Global Equity 11
Financial Statements 14
Flexible Income I 22
Growth & Income I 24
Capital Opportunities I 26
Global Equity I 28
Financial Statements 30
Select Funds:
Money Market 36
Low-Duration Bond 40
Medium-Duration Bond 48
Extended-Duration Bond 64
Equity Index 69
Value Equity 76
Growth Equity 86
Small Cap Equity 89
International Equity 109
Financial Statements 118
Notes to Financial Statements 144
Fund Management 163
Proxy Voting 164
</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 2004
[O. S. HAWKINS PHOTO] [JOHN JONES PHOTO]
Dear Shareholder:
We are pleased to bring you the AB Funds Trust shareholder report for the first
six months of 2004. During the June meeting of the Southern Baptist Convention,
the messengers voted to change the name of the Annuity Board to GuideStone
Financial Resources of the Southern Baptist Convention and to expand its markets
to include evangelical churches and ministry orgranizations. While the name
change requires two successive annual votes, the recommendation to expand the
Board's markets begins immediately.
In order to maximize the efforts to provide an even stronger base for clients
and shareholders, Dr. O. S. Hawkins will focus more of his time in strengthening
relationships with existing clients and building relationships to reach other
evangelistic churches and ministry organizations. John R. Jones, who serves as
Senior Vice President for AB Funds Trust and Executive Vice President and Chief
Operating Officer for the Annuity Board, will assume the responsibilities of
President of AB Funds Trust. Mr. Jones is a Chartered Financial Analyst and
provided leadership to the Annuity Board's investment program prior to assuming
his present duties. This is a very exciting time for AB Funds Trust from an
investment performance and expanded market opportunity standpoint.
The financial markets continued an upward progression during the first half of
2004, albeit at a slower pace than the previous year. The AB Funds Trust funds
have been well positioned to take advantage of the investment opportunities
within the global markets. The Funds have performed well in relation to their
respective benchmarks as our disciplined and discriminating approach to
investment management continues to reward our investors. We continue to be
proponents of investors' establishing a disciplined investment strategy suited
to specific objectives, time horizon and risk tolerance. Staying committed to a
consistent, well thought out plan will provide you with the best opportunity to
meet your long term financial goals.
The mutual fund industry continues to be faced with an increasing level of
regulatory scrutiny. This review by regulators, legislators and the fund
industry itself has resulted in some positive steps designed to prevent
individual investors from causing harm to shareholders' investments through
activities such as late day trading, market timing, and excessive trading. This
oversight, combined with previously enacted compliance rules and legislation
such as Sarbanes-Oxley, will provide added protection to investors in mutual
funds.
Despite the current scrutiny of the mutual funds industry, we remain committed
to our belief that mutual funds are one of the best ways for investors to reach
their long term financial goals. We firmly believe that every decision we make
and every action we take must be in the best interest of our shareholders in
order to maintain your trust and confidence.
Thank you for choosing to invest in AB Funds Trust.
Not Part of the Semi-Annual Report
2
Sincerely,
/s/ O. S. Hawkins /s/ John Jones
O. S. Hawkins and John R. Jones
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
3
FROM THE CHIEF INVESTMENT OFFICER
[RODRIC E. CUMMINS PHOTO]
Rodric E. Cummins, CFA
The 2nd quarter provided mixed results for investors
despite continued strong economic and corporate earnings
growth. Compared to the robust gains in financial assets
over the previous year, investors moved cautiously during
the quarter as evidence is mounting that the economic
cycle is maturing towards a later stage phase of
development.
U.S. stock markets advanced modestly during the quarter,
resulting in solid returns for equity investors thus far
in 2004. The S&P 500 Index returned 1.72% for the quarter,
bringing the year-to-date return to 3.44%. In contrast to
2003, large capitalization, high-quality growth stocks
provided among the best returns in the equity markets, as
the Russell 1000 Growth Index posted a return of 1.94%
during the quarter. International stocks (measured by the
MSCI ACWI Ex-U.S. Index) posted a return of -.90% for the
quarter, reflecting the negative impact on returns from
previously strong emerging market countries. International
stocks returned 3.82% year-to-date.
During the second quarter, bond market investors did not fare as well as stock
investors as interest rates moved higher across all maturities. The highly
anticipated move by the Federal Reserve to begin what is expected to be the
first of many interest rate hikes happened as expected on June 30. This was the
first increase in the federal funds rate in four years. The Lehman Brothers
Aggregate Bond Index posted a return of -2.44% for the quarter, resulting in a
return of .16% year-to-date.
OUTLOOK
The U.S. economy is being fueled by massive quantities of monetary and fiscal
stimulus which were injected into the financial system over the past several
years. The economy responded in 2003 with an initial surge in growth, with
normal moderation over the past two quarters. Likewise, corporate earnings, and
thus stock prices, have surged in response to economic activity and strong
productivity gains. (This has been the primary driver of stock prices over the
past 15 months, with the S&P 500 Index up 37.44% since March 2003.) In more
recent periods, strong earnings growth driven by cost-cutting and productivity
gains from early stages of economic recovery have given way to robust
improvements in sales growth driven by top-line demand. This is a positive
indication that the fundamental underpinning for continued growth seems to be
solidly in place, absent further exogenous shocks that may lead to increased
geo-political tensions or economic weakness.
History indicates that post-recessionary growth can be very strong, as we have
witnessed thus far in this cycle. Such economic growth normally goes unabated
until indications of inflationary pressures begin to surface, at which time the
Federal Reserve begins a process of monetary tightening in an attempt to balance
inflationary pressures with sustainable levels of economic growth. Many
investment professionals believe we are beginning to enter into that very stage
of the economic cycle. As a result, while conditions for economic growth remain
favorable, we may continue to see equity investors move with caution for fear
that the tail-wind of economic stimulus enjoyed over recent periods is turning
into a head-wind of higher interest rates. Such an environment may lead to more
moderate stocks returns in the coming periods compared to the past 12 months.
Bonds markets have been under pressure for the past 12 months in anticipation of
higher interest rates. Current bond prices already reflect a strong measure of
future interest rate increases. Investors in fixed-income securities must
continue to balance the attractiveness of relatively high yields from longer
term fixed income securities with the continued threat of rising inflationary
pressures, improving economic growth and a monetary policy designed to strike
harmony between the two.
Not Part of the Semi-Annual Report
4
FLEXIBLE INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 6.05% 5.81% 5.84%
Since Inception (8/27/01 -- 6/30/04) 3.57% 3.35% 3.63%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Aug 27 2001 10000 10000
Aug 2001 9940 9926
Sep 2001 9789 9818
Oct 2001 9947 9948
Nov 2001 10068 10105
Dec 2001 10079 10142
Jan 2002 10072 10107
Feb 2002 10079 10109
Mar 2002 10133 10175
Apr 2002 10133 10162
May 2002 10156 10177
Jun 2002 10033 10075
Jul 2002 9842 9956
Aug 2002 9911 9990
Sep 2002 9719 9789
Oct 2002 9880 9986
Nov 2002 10018 10107
Dec 2002 9968 10050
Jan 2003 9920 9981
Feb 2003 9920 9968
Mar 2003 9944 9990
Apr 2003 10153 10216
May 2003 10362 10401
Jun 2003 10419 10456
Jul 2003 10410 10476
Aug 2003 10491 10544
Sep 2003 10563 10611
Oct 2003 10692 10745
Nov 2003 10724 10783
Dec 2003 10898 10973
Jan 2004 10973 11044
Feb 2004 11066 11128
Mar 2004 11082 11133
Apr 2004 10957 10988
May 2004 10982 11012
Jun 2004 11049 11067
</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 Index
ex-U.S. 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 Index ex-U.S. 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
5
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity Index Fund
(Retirement Class)(inf) 224,395 $ 3,498,322
AB Funds Trust -- Growth Equity Fund
(Retirement Class)(inf) 1,492,782 22,899,273
AB Funds Trust -- International Equity
Fund (Retirement Class)(inf) 1,362,373 18,269,422
AB Funds Trust -- Low-Duration Bond
Fund (Retirement Class)(inf) 15,897,633 205,874,352
AB Funds Trust -- Money Market Fund
(Retirement Class)(inf) 2,935,785 2,935,785
AB Funds Trust -- Small Cap Equity
Fund (Retirement Class)(inf) 228,930 3,596,484
AB Funds Trust -- Value Equity Fund
(Retirement Class)(inf) 1,445,932 23,236,122
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $233,869,400) 280,309,760
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 90,000 89,954
U.S. Treasury Note
2.50%, 05/31/06 2,860,000 2,851,289
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,934,866) 2,941,243
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $236,804,266) 283,251,003
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0% (99,102)
------------
NET ASSETS -- 100.0% $283,151,901
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
6
GROWTH & INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 11.96% 11.57% 11.43%
Since Inception (8/27/01 -- 6/30/04) 4.53% 4.27% 4.59%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Aug 27 2001 10000 10000
Aug 2001 9854 9843
Sep 2001 9410 9443
Oct 2001 9643 9657
Nov 2001 9920 9923
Dec 2001 9953 9960
Jan 2002 9901 9899
Feb 2002 9901 9881
Mar 2002 10049 10028
Apr 2002 9953 9938
May 2002 9960 9951
Jun 2002 9664 9673
Jul 2002 9234 9324
Aug 2002 9345 9419
Sep 2002 8916 8999
Oct 2002 9160 9306
Nov 2002 9442 9571
Dec 2002 9319 9430
Jan 2003 9216 9305
Feb 2003 9201 9288
Mar 2003 9216 9296
Apr 2003 9642 9731
May 2003 10044 10118
Jun 2003 10131 10195
Jul 2003 10092 10145
Aug 2003 10265 10301
Sep 2003 10375 10433
Oct 2003 10651 10706
Nov 2003 10738 10803
Dec 2003 11070 11148
Jan 2004 11218 11302
Feb 2004 11359 11457
Mar 2004 11384 11458
Apr 2004 11136 11174
May 2004 11185 11215
Jun 2004 11342 11360
</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 Index
ex-U.S. 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 Index ex-U.S. 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 U.S. Aggregate Index represents securities that are
SEC-registered, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for government
and corporate securities, mortgage pass-through securities, and asset-backed
securities.
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
7
GROWTH & INCOME FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ----------- --------------
AFFILIATED MUTUAL FUNDS -- 99.1%
AB Funds Trust -- Equity
Index Fund (Retirement
Class)(inf) 1,718,130 $ 26,785,641
AB Funds Trust -- Extended-
Duration Bond Fund
(Retirement Class)(inf) 8,329,093 119,272,617
AB Funds Trust -- Growth
Equity Fund (Retirement
Class)(inf) 12,223,819 187,513,382
AB Funds Trust --
International Equity Fund
(Retirement Class)(inf) 12,355,221 165,683,515
AB Funds Trust -- Low-
Duration Bond Fund
(Retirement Class)(inf) 13,128,201 170,010,207
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 15,205,691 15,205,691
AB Funds Trust -- Medium-
Duration Bond Fund
(Retirement Class)(inf) 19,837,221 268,199,226
AB Funds Trust -- Small Cap
Equity Fund (Retirement
Class)(inf) 1,970,017 30,948,962
AB Funds Trust -- Value
Equity Fund (Retirement
Class)(inf) 11,967,971 192,325,296
--------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $998,997,363) 1,175,944,537
--------------
</Table>
<Table>
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 760,000 759,612
U.S. Treasury Bond
6.50%, 02/15/10 8,695,000 9,800,222
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,580,765) 10,559,834
--------------
TOTAL INVESTMENTS -- 100.0%
(Cost $1,009,578,128) 1,186,504,371
OTHER ASSETS LESS
LIABILITIES -- 0.0% 128,234
--------------
NET ASSETS -- 100.0% $1,186,632,605
==============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
8
CAPITAL OPPORTUNITIES FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 17.61% 17.08% 17.25%
Since Inception (8/27/01 -- 6/30/04) 3.65% 3.32% 3.70%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Aug 27 2001 10000 10000
Aug 2001 9759 9736
Sep 2001 9081 9087
Oct 2001 9314 9301
Nov 2001 9759 9751
Dec 2001 9832 9836
Jan 2002 9714 9707
Feb 2002 9663 9632
Mar 2002 9972 9927
Apr 2002 9751 9695
May 2002 9722 9671
Jun 2002 9288 9222
Jul 2002 8655 8668
Aug 2002 8722 8728
Sep 2002 8067 8073
Oct 2002 8435 8506
Nov 2002 8802 8871
Dec 2002 8530 8582
Jan 2003 8362 8409
Feb 2003 8278 8328
Mar 2003 8300 8343
Apr 2003 8820 8893
May 2003 9293 9341
Jun 2003 9415 9455
Jul 2003 9515 9545
Aug 2003 9721 9733
Sep 2003 9736 9790
Oct 2003 10164 10219
Nov 2003 10255 10346
Dec 2003 10682 10787
Jan 2004 10846 10968
Feb 2004 11003 11133
Mar 2004 11003 11092
Apr 2004 10783 10824
May 2004 10870 10906
Jun 2004 11074 11087
</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 Index
ex-U.S. 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 Index ex-U.S. 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 U.S. Aggregate Index represents securities that are
SEC-registered, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for government
and corporate securities, mortgage pass-through securities, and asset-backed
securities.
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
9
CAPITAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.5%
AB Funds Trust -- Equity Index Fund
(Retirement Class)(inf) 2,212,490 $ 34,492,711
AB Funds Trust -- Extended-Duration
Bond Fund (Retirement Class)(inf) 3,352,240 48,004,075
AB Funds Trust -- Growth Equity Fund
(Retirement Class)(inf) 14,735,266 226,038,979
AB Funds Trust -- International Equity
Fund (Retirement Class)(inf) 14,005,316 187,811,285
AB Funds Trust -- Low-Duration Bond
Fund (Retirement Class)(inf) 5,278,558 68,357,324
AB Funds Trust -- Medium-Duration Bond
Fund (Retirement Class)(inf) 7,667,907 103,670,100
AB Funds Trust -- Money Market Fund
(Retirement Class)(inf) 15,145,303 15,145,303
AB Funds Trust -- Small Cap Equity
Fund (Retirement Class)(inf) 2,405,461 37,789,789
AB Funds Trust -- Value Equity Fund
(Retirement Class)(inf) 14,267,165 229,273,337
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $815,533,076) 950,582,903
------------
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 855,000 854,564
U.S. Treasury Bond 6.50%, 02/15/10 3,270,000 3,685,649
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,559,089) 4,540,213
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $820,092,165) 955,123,116
OTHER ASSETS LESS LIABILITIES -- 0.0% 41,623
------------
NET ASSETS -- 100.0% $955,164,739
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
10
GLOBAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- ------------- -----------------
One Year 23.54% 23.22% 23.29%
Since Inception (8/27/01 -- 6/30/04) 2.51% 2.34% 2.59%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Aug 27 2001 10000 10000
Aug 2001 9654 9629
Sep 2001 8747 8736
Oct 2001 8968 8950
Nov 2001 9587 9569
Dec 2001 9704 9701
Jan 2002 9527 9505
Feb 2002 9424 9376
Mar 2002 9896 9811
Apr 2002 9542 9440
May 2002 9475 9381
Jun 2002 8899 8773
Jul 2002 8080 8036
Aug 2002 8109 8064
Sep 2002 7252 7214
Oct 2002 7732 7742
Nov 2002 8161 8186
Dec 2002 7760 7772
Jan 2003 7543 7561
Feb 2003 7394 7429
Mar 2003 7424 7451
Apr 2003 8021 8085
May 2003 8536 8578
Jun 2003 8685 8723
Jul 2003 8909 8930
Aug 2003 9140 9145
Sep 2003 9073 9134
Oct 2003 9632 9696
Nov 2003 9729 9849
Dec 2003 10241 10375
Jan 2004 10422 10578
Feb 2004 10587 10752
Mar 2004 10557 10672
Apr 2004 10362 10421
May 2004 10489 10541
Jun 2004 10730 10754
</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
Index ex-U.S.
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 Index ex-U.S. 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
11
GLOBAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
------------- ----------- ------------
AFFILIATED MUTUAL FUNDS -- 99.9%
AB Funds Trust -- Equity
Index Fund (Retirement
Class)(inf) 2,578,864 $ 40,204,484
AB Funds Trust -- Growth
Equity Fund (Retirement
Class)(inf) 17,670,743 271,069,205
AB Funds Trust --
International Equity Fund
(Retirement Class)(inf) 16,447,651 220,563,003
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 15,686,222 15,686,222
AB Funds Trust -- Small Cap
Equity Fund (Retirement
Class)(inf) 3,028,696 47,580,814
AB Funds Trust -- Value
Equity Fund (Retirement
Class)(inf) 17,058,678 274,132,955
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $737,840,563) 869,236,683
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill
0.95%, 07/22/04++++
(Cost $1,294,282) $1,295,000 1,294,339
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $739,134,845) 870,531,022
OTHER ASSETS LESS LIABILITIES -- 0.0% 46,634
------------
NET ASSETS -- 100.0% $870,577,656
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
12
(This page intentionally left blank)
13
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
JUNE 30, 2004 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
------------- ------------ -------------- ------------------ ------------
ASSETS
Investments in securities of affiliated
issuers at value $280,309,760 $1,175,944,537 $950,582,903 $869,236,683
Investments in securities of unaffiliated
issuers at value 2,941,243 10,559,834 4,540,213 1,294,339
------------ -------------- ------------ ------------
Total investments (1) 283,251,003 1,186,504,371 955,123,116 870,531,022
Receivables:
Dividends 1,500 9,123 8,521 8,412
Interest 6,036 212,698 79,984 --
Fund shares sold 330 20,735 10,154 71,782
Variation margin 3,450 39,100 43,700 52,900
Prepaid expenses and other assets 27,094 28,616 27,094 26,708
------------ -------------- ------------ ------------
Total Assets 283,289,413 1,186,814,643 955,292,569 870,690,824
------------ -------------- ------------ ------------
LIABILITIES
Payables:
Fund shares redeemed 90,908 21,777 1,509 1,144
Accrued expenses:
Advisory fee payable 16,711 106,270 82,026 69,914
Distribution fee payable 1,086 1,296 760 943
Other accrued expenses payable 28,762 52,685 43,535 41,041
Other liabilities 45 10 -- 126
------------ -------------- ------------ ------------
Total Liabilities 137,512 182,038 127,830 113,168
------------ -------------- ------------ ------------
NET ASSETS $283,151,901 $1,186,632,605 $955,164,739 $870,577,656
============ ============== ============ ============
NET ASSETS CONSIST OF:
Paid-in-capital $231,198,019 $ 988,878,400 $810,155,602 $736,523,487
Undistributed net investment income 3,376,710 6,767,603 3,118,433 1,351,571
Accumulated net realized gain on investments 2,124,678 13,988,262 6,772,281 1,200,197
Net unrealized appreciation (depreciation) on
investments and futures transactions 46,452,494 176,998,340 135,118,423 131,502,401
------------ -------------- ------------ ------------
NET ASSETS $283,151,901 $1,186,632,605 $955,164,739 $870,577,656
============ ============== ============ ============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the Retail Class $ 22,323,573 $ 26,887,806 $ 15,895,644 $ 19,678,933
------------ -------------- ------------ ------------
Retail shares outstanding 2,342,934 2,833,448 1,590,715 1,880,173
------------ -------------- ------------ ------------
Net asset value, offering price and
redemption price per Retail share $ 9.53 $ 9.49 $ 9.99 $ 10.47
============ ============== ============ ============
Net assets applicable to the Retirement Class $260,828,328 $1,159,744,799 $939,269,095 $850,898,723
------------ -------------- ------------ ------------
Retirement shares outstanding 19,789,468 84,386,352 66,531,887 59,554,885
------------ -------------- ------------ ------------
Net asset value, offering and redemption
price per Retirement share $ 13.18 $ 13.74 $ 14.12 $ 14.29
============ ============== ============ ============
- ---------------
(1) Investments in securities of affiliated
issuers at cost $233,869,400 $ 998,997,363 $815,533,076 $737,840,563
Investments in securities of
unaffiliated issuers at cost 2,934,866 10,580,765 4,559,089 1,294,282
------------ -------------- ------------ ------------
Total investments at cost $236,804,266 $1,009,578,128 $820,092,165 $739,134,845
============ ============== ============ ============
</Table>
See Notes to Financial Statements.
14
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE SIX MONTHS ENDED JUNE 30, 2004 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- -------------------------------------- ----------- ----------- ------------------ -----------
INVESTMENT INCOME
Income distributions received from affiliated
funds $1,410,945 $ 7,066,513 $ 3,611,894 $ 1,452,937
Interest 27,621 183,963 66,168 5,864
---------- ----------- ----------- -----------
Total Investment Income 1,438,566 7,250,476 3,678,062 1,458,801
---------- ----------- ----------- -----------
EXPENSES
Investment advisory fees 140,834 589,172 471,096 426,769
Transfer agent fees
Retail shares 10,830 16,530 12,868 12,455
Retirement shares 8,109 8,502 8,345 8,459
Custodian fees 4,329 11,843 9,840 8,866
Distribution fees -- Retail shares 6,354 7,405 4,417 5,590
Accounting and administration fees 41,215 97,330 85,547 80,950
Professional fees 17,400 17,156 17,151 17,151
Blue sky fees
Retail shares 7,751 7,451 7,145 6,964
Retirement shares 1,075 930 962 943
Shareholder reporting fees
Retail shares 6,056 13,886 8,910 8,054
Retirement shares 1,001 1,264 1,051 1,104
Trustee fees 802 3,211 2,503 2,200
Line of credit facility fees 802 3,212 2,503 2,200
Other expenses 7,004 7,003 7,004 6,990
---------- ----------- ----------- -----------
Total Expenses 253,562 784,895 639,342 588,695
Expenses waived (See Footnote 3c) (49,136) 10,116 (3,133) (13,558)
Fees paid indirectly (133) (191) (140) (141)
---------- ----------- ----------- -----------
Net expenses 204,293 794,820 636,069 574,996
---------- ----------- ----------- -----------
NET INVESTMENT INCOME 1,234,273 6,455,656 3,041,993 883,805
---------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investment securities of
affiliated issuers 755,468 2,979,652 2,094,691 204,266
Net realized loss on investment securities of
unaffiliated issuers (37,688) (134,077) (13,471) --
Net realized gain on futures transactions 28,695 679,930 737,598 1,129,240
---------- ----------- ----------- -----------
Net realized gain 746,475 3,525,505 2,818,818 1,333,506
---------- ----------- ----------- -----------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated issuers 1,729,904 18,558,272 27,762,003 37,730,277
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated issuers (509) (92,698) (38,704) 23
Change in net unrealized appreciation
(depreciation) on futures transactions (16,580) (381,056) (440,319) (597,457)
---------- ----------- ----------- -----------
Net change in unrealized appreciation
(depreciation) 1,712,815 18,084,518 27,282,980 37,132,843
---------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN 2,459,290 21,610,023 30,101,798 38,466,349
---------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $3,693,563 $28,065,679 $33,143,791 $39,350,154
========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
15
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
06/30/04 ENDED 12/31/03 06/30/04 ENDED 12/31/03
------------ -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 1,234,273 $ 5,478,241 $ 6,455,656 $ 23,456,542
Net realized gain (loss) on investment
securities and futures transactions 746,475 8,559,615 3,525,505 35,021,999
Net change in unrealized appreciation
(depreciation) on investment securities
and futures transactions 1,712,815 10,589,629 18,084,518 125,109,667
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
resulting from operations 3,693,563 24,627,485 28,065,679 183,588,208
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME
Retail shares -- (402,711) -- (763,570)
Retirement shares -- (4,176,812) -- (28,642,469)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
CAPITAL GAINS
Retail shares -- (658,891) -- (621,863)
Retirement shares -- (6,235,277) -- (21,625,383)
------------ ------------ -------------- --------------
Total dividends and distributions -- (11,473,691) -- (51,653,285)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS 5,956,161 (19,531,754) 15,836,480 (25,912,931)
------------ ------------ -------------- --------------
Total increase (decrease) in net assets 9,649,724 (6,377,960) 43,902,159 106,021,992
------------ ------------ -------------- --------------
NET ASSETS:
Beginning of the Period 273,502,177 279,880,137 1,142,730,446 1,036,708,454
------------ ------------ -------------- --------------
End of the Period $283,151,901 $273,502,177 $1,186,632,605 $1,142,730,446
============ ============ ============== ==============
</Table>
See Notes to Financial Statements.
16
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND
------------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/04 ENDED 12/31/03 06/30/04 ENDED 12/31/03
------------ -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
$ 3,041,993 $ 12,343,331 $ 883,805 $ 5,570,257
2,818,818 14,442,437 1,333,506 2,845,134
27,282,980 158,534,721 37,132,843 188,562,224
------------ ------------ ------------ ------------
33,143,791 185,320,489 39,350,154 196,977,615
------------ ------------ ------------ ------------
-- (267,521) -- (110,878)
-- (14,672,538) -- (5,053,675)
-- (190,056) -- --
-- (8,979,773) -- --
------------ ------------ ------------ ------------
-- (24,109,888) -- (5,164,553)
------------ ------------ ------------ ------------
8,414,438 (3,431,171) 11,847,242 (1,281,018)
------------ ------------ ------------ ------------
41,558,229 157,779,430 51,197,396 190,532,044
------------ ------------ ------------ ------------
913,606,510 755,827,080 819,380,260 628,848,216
------------ ------------ ------------ ------------
$955,164,739 $913,606,510 $870,577,656 $819,380,260
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
17
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FLEXIBLE INCOME FUND
-----------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
---------------------------------------------------- ----------------------
FOR THE SIX FOR THE FOR THE FOR THE SIX FOR THE
MONTHS YEAR FOR THE YEAR PERIOD MONTHS YEAR
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03
----------- -------- ------------ ------------ ----------- --------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.41 $ 9.12 $ 9.83 $ 10.00 $ 13.00 $ 12.40
------- ------- ------- ------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.04 0.21 0.23 0.10 0.06 0.31
Capital gain distributions received
from affiliated funds -- 0.02 0.10 0.06 -- 0.02
Realized and unrealized gain (loss) on
investments securities and futures
transactions -- net 0.08 0.59 (0.45) (0.08) 0.12 0.82
------- ------- ------- ------- -------- --------
Total from investment operations 0.12 0.82 (0.12) 0.08 0.18 1.15
------- ------- ------- ------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income
(5) -- (0.20) (0.42) (0.22) -- (0.22)
Distributions from capital gains -- (0.33) (0.17) (0.03) -- (0.33)
------- ------- ------- ------- -------- --------
Total dividends and distributions -- (0.53) (0.59) (0.25) -- (0.55)
------- ------- ------- ------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 9.53 $ 9.41 $ 9.12 $ 9.83 $ 13.18 $ 13.00
======= ======= ======= ======= ======== ========
TOTAL RETURN (2) 1.28% 9.06% (1.27%) 0.72% 1.39% 9.33%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.35% 0.35% 0.32% 0.48% 0.13% 0.13%
Expenses -- including expense
reduction (3)(4) 0.35% 0.35% 0.32% 0.48% 0.13% 0.13%
Expenses -- before waivers and expense
reductions (3)(4) 0.45% 0.46% 0.43% 66.47% 0.16% 0.20%
Investment income -- net (1)(3) 0.69% 1.90% 2.82% 6.69% 0.90% 2.01%
Investment income -- excluding waivers
and expense reduction (1)(3) 0.59% 1.79% 2.71% (59.30%) 0.87% 1.94%
Portfolio turnover rate (2) 5.85% 13.44% 13.56% 4.02% 5.85% 13.44%
Net Assets -- end of the period (000's) $22,324 $19,674 $16,234 $ 325 $260,828 $253,828
======= ======= ======= ======= ======== ========
<Caption>
FLEXIBLE INCOME FUND
-----------------------
RETIREMENT CLASS
-----------------------
FOR THE FOR THE
YEAR PERIOD
ENDED 08/27/01* TO
12/31/02 12/31/01
-------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 13.15 $ 13.29
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.38 0.17
Capital gain distributions received
from affiliated funds 0.10 0.06
Realized and unrealized gain (loss) on
investments securities and futures
transactions -- net (0.62) (0.12)
-------- --------
Total from investment operations (0.14) 0.11
-------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income
(5) (0.44) (0.22)
Distributions from capital gains (0.17) (0.03)
-------- --------
Total dividends and distributions (0.61) (0.25)
-------- --------
NET ASSET VALUE -- END OF PERIOD $ 12.40 $ 13.15
======== ========
TOTAL RETURN (2) (1.10%) 0.79%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.13% 0.13%
Expenses -- including expense
reduction (3)(4) 0.13% 0.13%
Expenses -- before waivers and expense
reductions (3)(4) 0.17% 0.18%
Investment income -- net (1)(3) 2.86% 3.67%
Investment income -- excluding waivers
and expense reduction (1)(3) 2.82% 3.62%
Portfolio turnover rate (2) 13.56% 4.02%
Net Assets -- end of the period (000's) $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.
(5) Includes dividends paid from the short-term portion of capital gain
distributions received from affiliated funds.
The Flexible Income Fund has reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.36%, 0.64% and 1.00% in the fiscal periods ending December 31, 2003,
2002 and 2001, respectively. Net investment income per share was decreased and
capital gains distributions received from affiliated funds increased by $0.01,
$0.08 and $0.05 in the fiscal periods ending December 31, 2003, 2002 and 2001,
respectively.
The Growth & Income Fund has reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.37%, 0.72% and 1.18% in the fiscal periods ending December 31, 2003,
2002 and 2001, respectively. Net investment income per share was decreased and
capital gains distributions received from affiliated funds increased by $0.05,
$0.09 and $0.05 in the fiscal periods ending December 31, 2003, 2002 and 2001,
respectively.
See Notes to Financial Statements.
18
<Table>
<Caption>
GROWTH & INCOME FUND
-------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
------------------------------------------------ ----------------------------------------------------
FOR THE SIX FOR THE FOR THE FOR THE FOR THE SIX FOR THE
MONTHS YEAR YEAR PERIOD MONTHS FOR THE FOR THE PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED YEAR ENDED YEAR ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------ ----------- ---------- ---------- ------------
(UNAUDITED) (UNAUDITED)
$ 9.28 $ 8.34 $ 9.72 $10.00 $ 13.41 $ 11.82 $ 13.44 $ 13.74
------- ------- ------- ------ ---------- ---------- ---------- ----------
0.07 0.16 0.21 0.07 0.08 0.29 0.36 0.14
-- 0.15 0.12 0.06 -- 0.15 0.12 0.06
0.14 1.23 (0.96) (0.18) 0.25 1.78 (1.33) (0.27)
------- ------- ------- ------ ---------- ---------- ---------- ----------
0.21 1.54 (0.63) (0.05) 0.33 2.22 (0.85) (0.07)
------- ------- ------- ------ ---------- ---------- ---------- ----------
-- (0.33) (0.40) (0.19) -- (0.36) (0.42) (0.19)
-- (0.27) (0.35) (0.04) -- (0.27) (0.35) (0.04)
------- ------- ------- ------ ---------- ---------- ---------- ----------
-- (0.60) (0.75) (0.23) -- (0.63) (0.77) (0.23)
------- ------- ------- ------ ---------- ---------- ---------- ----------
$ 9.49 $ 9.28 $ 8.34 $ 9.72 $ 13.74 $ 13.41 $ 11.82 $ 13.44
======= ======= ======= ====== ========== ========== ========== ==========
2.26% 18.52% (6.59%) (0.52%) 2.46% 18.79% (6.37%) (0.47%)
0.45% 0.45% 0.37% 0.48% 0.13% 0.13% 0.13% 0.13%
0.45% 0.45% 0.37% 0.48% 0.13% 0.13% 0.13% 0.13%
0.49% 0.54% 0.45% 6.53% 0.13% 0.13% 0.13% 0.17%
0.82% 2.00% 2.64% 4.44% 1.12% 2.22% 2.68% 2.87%
0.78% 1.91% 2.56% (1.61%) 1.12% 2.22% 2.68% 2.83%
3.03% 10.38% 12.04% 4.27% 3.03% 10.38% 12.04% 4.27%
$26,888 $22,650 $17,009 $1,334 $1,159,745 $1,120,080 $1,019,700 $1,156,044
======= ======= ======= ====== ========== ========== ========== ==========
</Table>
See Notes to Financial Statements.
19
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND
----------------------------------------------------
RETAIL CLASS
----------------------------------------------------
FOR THE SIX FOR THE FOR THE
MONTHS YEAR FOR THE PERIOD
ENDED ENDED YEAR ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- ------------ ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 9.67 $ 8.01 $ 9.73 $ 10.00
------- ------- ------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.02 0.11 0.12 0.03
Capital gain distributions
received from affiliated
funds -- 0.07 0.06 0.03
Realized and unrealized gain
(loss) on investments
securities and futures
transactions -- net 0.30 1.82 (1.50) (0.22)
------- ------- ------- --------
Total from investment
operations 0.32 2.00 (1.32) (0.16)
------- ------- ------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (5) -- (0.20) (0.21) (0.11)
Distributions from capital
gains -- (0.14) (0.19) --+
------- ------- ------- --------
Total dividends and
distributions -- (0.34) (0.40) (0.11)
------- ------- ------- --------
NET ASSET VALUE -- END OF PERIOD $ 9.99 $ 9.67 $ 8.01 $ 9.73
======= ======= ======= ========
TOTAL RETURN (2) 3.31% 24.93% (13.56%) (1.64%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.55% 0.52% 0.42% 0.48%
Expenses -- including expense
reduction (3)(4) 0.55% 0.52% 0.42% 0.48%
Expenses -- before waivers and
expense reductions (3)(4) 0.58% 0.62% 0.55% 43.03%
Investment income -- net (1)(3) 0.26% 1.20% 1.54% 3.87%
Investment income -- excluding
waivers and expense reduction
(1)(3) 0.23% 1.10% 1.41% (38.68%)
Portfolio turnover rate (2) 1.64% 7.75% 10.33% 3.42%
Net Assets -- end of the period
(000's) $15,896 $13,585 $ 9,859 $ 331
======= ======= ======= ========
<Caption>
CAPITAL OPPORTUNITIES FUND
------------------------------------------------
RETIREMENT CLASS
------------------------------------------------
FOR THE SIX FOR THE FOR THE FOR THE
MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 13.62 $ 11.17 $ 13.37 $ 13.71
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.05 0.19 0.22 0.08
Capital gain distributions
received from affiliated
funds -- 0.07 0.06 0.03
Realized and unrealized gain
(loss) on investments
securities and futures
transactions -- net 0.45 2.56 (2.05) (0.34)
-------- -------- -------- --------
Total from investment
operations 0.50 2.82 (1.77) (0.23)
-------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment
income (5) -- (0.23) (0.24) (0.11)
Distributions from capital
gains -- (0.14) (0.19) --+
-------- -------- -------- --------
Total dividends and
distributions -- (0.37) (0.43) (0.11)
-------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 14.12 $ 13.62 $ 11.17 $ 13.37
======== ======== ======== ========
TOTAL RETURN (2) 3.67% 25.23% (13.25%) (1.68%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.13% 0.13% 0.13% 0.13%
Expenses -- including expense
reduction (3)(4) 0.13% 0.13% 0.13% 0.13%
Expenses -- before waivers and
expense reductions (3)(4) 0.13% 0.14% 0.14% 0.17%
Investment income -- net (1)(3) 0.66% 1.54% 1.72% 1.76%
Investment income -- excluding
waivers and expense reduction
(1)(3) 0.66% 1.53% 1.71% 1.72%
Portfolio turnover rate (2) 1.64% 7.75% 10.33% 3.42%
Net Assets -- end of the period
(000's) $939,269 $900,021 $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.
(5) Includes dividends paid from the short-term portion of capital gain
distributions received from affiliated funds.
+ Amount represents less than $0.01 per share.
The Capital Opportunities Fund has reclassified prior period short-term capital
gain distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.19%, 0.36% and 0.62% in the fiscal periods ending December 31, 2003,
2002 and 2001, respectively. Net investment income per share was decreased and
capital gains distributions received from affiliated funds increased by $0.02,
$0.04 and $0.03 in the fiscal periods ending December 31, 2003, 2002 and 2001,
respectively.
The Global Equity Fund has reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.03% in the fiscal period ending December 31, 2001. Net investment
income per share was unaffected.
See Notes to Financial Statements.
20
<Table>
<Caption>
GLOBAL EQUITY FUND
- ---------------------------------------------------------------------------------------------------------
RETAIL CLASS RETIREMENT CLASS
-------------------------------------------------- ------------------------------------------------
FOR THE SIX FOR THE FOR THE FOR THE FOR THE SIX FOR THE FOR THE FOR THE
MONTHS YEAR YEAR PERIOD MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- ---------- ------------ ----------- -------- -------- ------------
(UNAUDITED) (UNAUDITED)
$ 10.00 $ 7.65 $ 9.70 $ 10.00 $ 13.64 $ 10.40 $ 13.14 $ 13.57
------- ------- ------- -------- -------- -------- -------- --------
-- 0.05 0.04 0.02 0.01 0.10 0.08 0.03
-- -- --+ -- -- -- --+ --
0.47 2.36 (2.00) (0.29) 0.64 3.23 (2.71) (0.43)
------- ------- ------- -------- -------- -------- -------- --------
0.47 2.41 (1.96) (0.27) 0.65 3.33 (2.63) (0.40)
------- ------- ------- -------- -------- -------- -------- --------
-- (0.06) (0.06) (0.03) -- (0.09) (0.08) (0.03)
-- -- (0.03) --+ -- -- (0.03) --+
------- ------- ------- -------- -------- -------- -------- --------
-- (0.06) (0.09) (0.03) -- (0.09) (0.11) (0.03)
------- ------- ------- -------- -------- -------- -------- --------
$ 10.47 $ 10.00 $ 7.65 $ 9.70 $ 14.29 $ 13.64 $ 10.40 $ 13.14
======= ======= ======= ======== ======== ======== ======== ========
4.70% 31.53% (20.25%) (2.75%) 4.77% 31.99% (20.04%) (2.96%)
0.42% 0.43% 0.35% 0.48% 0.13% 0.13% 0.13% 0.13%
0.42% 0.43% 0.35% 0.48% 0.13% 0.13% 0.13% 0.13%
0.48% 0.48% 0.44% 66.34% 0.13% 0.14% 0.14% 0.17%
(0.07%) 0.53% 0.53% 1.57% 0.22% 0.82% 0.68% 0.61%
(0.13%) 0.48% 0.44% (64.29%) 0.22% 0.81% 0.67% 0.57%
0.42% 4.17% 6.33% 2.70% 0.42% 4.17% 6.33% 2.70%
$19,679 $17,973 $12,805 $ 207 $850,899 $801,407 $616,043 $810,507
======= ======= ======= ======== ======== ======== ======== ========
</Table>
See Notes to Financial Statements.
21
FLEXIBLE INCOME FUND I
TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS* BENCHMARK INDEX**
-------------------- -----------------
Since Inception (7/1/03 -- 6/30/04) 5.92% 5.84%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Jul 1 2003 10000 10000
Jul 2003 9970 10019
Aug 2003 10050 10084
Sep 2003 10120 10148
Oct 2003 10230 10276
Nov 2003 10270 10312
Dec 2003 10440 10494
Jan 2004 10511 10562
Feb 2004 10592 10643
Mar 2004 10613 10647
Apr 2004 10511 10508
May 2004 10532 10531
Jun 2004 10592 10584
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since July 1, 2003 (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 Index
ex-U.S. 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 Index ex-U.S. 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
22
FLEXIBLE INCOME FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- --------- -----------
AFFILIATED MUTUAL FUNDS -- 98.6%
AB Funds Trust -- Equity Index Fund
(Institutional Class)(inf) 39,356 $ 367,587
AB Funds Trust -- Growth Equity Fund
(Institutional Class)(inf) 248,769 2,403,109
AB Funds Trust -- International Equity
Fund (Institutional Class)(inf) 167,275 1,915,295
AB Funds Trust -- Low-Duration Bond
Fund (Institutional Class)(inf) 2,286,011 21,602,801
AB Funds Trust -- Money Market Fund
(Institutional Class)(inf) 308,344 308,344
AB Funds Trust -- Small Cap Equity
Fund (Institutional Class)(inf) 31,224 377,192
AB Funds Trust -- Value Equity Fund
(Institutional Class)(inf) 234,709 2,445,666
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $28,914,670) 29,419,994
-----------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 1.3%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 20,000 19,990
U.S. Treasury Note
2.50%, 05/31/06 365,000 363,888
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $383,051) 383,878
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $29,297,721) 29,803,872
OTHER ASSETS LESS
LIABILITIES -- 0.1% 28,669
-----------
NET ASSETS -- 100.0% $29,832,541
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
23
GROWTH & INCOME FUND I
TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS* BENCHMARK INDEX**
-------------------- -----------------
Since Inception (7/1/03 -- 6/30/04) 11.70% 11.43%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Jul 1 2003 10000 10000
Jul 2003 9930 9951
Aug 2003 10100 10104
Sep 2003 10200 10234
Oct 2003 10480 10501
Nov 2003 10570 10597
Dec 2003 10893 10935
Jan 2004 11037 11086
Feb 2004 11181 11238
Mar 2004 11211 11239
Apr 2004 10965 10961
May 2004 11017 11001
Jun 2004 11170 11143
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since July 1, 2003 (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 Index
ex-U.S. 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 Index ex-U.S. 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 U.S. Aggregate Index represents securities that are
SEC-registered, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for government
and corporate securities, mortgage pass-through securities, and asset-backed
securities.
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
24
GROWTH & INCOME FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- --------- ------------
AFFILIATED MUTUAL FUNDS -- 99.1%
AB Funds Trust -- Equity Index Fund
(Institutional Class)(inf) 263,240 $ 2,458,657
AB Funds Trust -- Extended-Duration
Bond Fund (Institutional Class)(inf) 1,236,212 10,903,389
AB Funds Trust -- Growth Equity Fund
(Institutional Class)(inf) 1,774,979 17,146,298
AB Funds Trust -- International Equity
Fund (Institutional Class)(inf) 1,323,134 15,149,889
AB Funds Trust -- Low-Duration Bond
Fund (Institutional Class)(inf) 1,640,943 15,506,910
AB Funds Trust -- Medium-Duration Bond
Fund (Institutional Class)(inf) 2,685,603 24,573,267
AB Funds Trust -- Money Market Fund
(Institutional Class)(inf) 1,495,460 1,495,460
AB Funds Trust -- Small Cap Equity
Fund (Institutional Class)(inf) 234,286 2,830,180
AB Funds Trust -- Value Equity Fund
(Institutional Class)(inf) 1,693,232 17,643,480
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $103,665,901) 107,707,530
------------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 80,000 79,959
U.S. Treasury Bond
6.50%, 02/15/10 825,000 929,866
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,009,993) 1,009,825
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $104,675,894) 108,717,355
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0% (6,935)
------------
NET ASSETS -- 100.0% $108,710,420
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
25
CAPITAL OPPORTUNITIES FUND I
TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS* BENCHMARK INDEX**
-------------------- -----------------
Since Inception (7/1/03 -- 6/30/04) 17.20% 17.25%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Jul 1 2003 10000.00 10000.00
Jul 2003 10060.00 10095.00
Aug 2003 10280.00 10294.00
Sep 2003 10290.00 10353.00
Oct 2003 10740.00 10808.00
Nov 2003 10850.00 10942.00
Dec 2003 11302.00 11409.00
Jan 2004 11475.00 11599.00
Feb 2004 11648.00 11774.00
Mar 2004 11638.00 11730.00
Apr 2004 11404.00 11447.00
May 2004 11506.00 11534.00
Jun 2004 11720.00 11725.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since July 1, 2003 (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 Index
ex-U.S. 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 Index ex-U.S. 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 U.S. Aggregate Index represents securities that are
SEC-registered, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for government
and corporate securities, mortgage pass-through securities, and asset-backed
securities.
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
26
CAPITAL OPPORTUNITIES FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- --------- -----------
AFFILIATED MUTUAL FUNDS -- 99.4%
AB Funds Trust -- Equity Index Fund
(Institutional Class)(inf) 241,082 $ 2,251,704
AB Funds Trust -- Extended-Duration
Bond Fund (Institutional Class)(inf) 353,910 3,121,488
AB Funds Trust -- Growth Equity Fund
(Institutional Class)(inf) 1,521,812 14,700,707
AB Funds Trust -- International Equity
Fund (Institutional Class)(inf) 1,066,742 12,214,196
AB Funds Trust -- Low-Duration Bond
Fund (Institutional Class)(inf) 470,653 4,447,670
AB Funds Trust -- Medium-Duration Bond
Fund (Institutional Class)(inf) 736,990 6,743,458
AB Funds Trust -- Money Market Fund
(Institutional Class)(inf) 1,142,810 1,142,810
AB Funds Trust -- Small Cap Equity
Fund (Institutional Class)(inf) 203,597 2,459,447
AB Funds Trust -- Value Equity Fund
(Institutional Class)(inf) 1,435,600 14,958,953
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $55,247,099) 62,040,433
-----------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bill
0.95%, 07/22/04++++ $ 80,000 79,959
U.S. Treasury Bond
6.50%, 02/15/10 260,000 293,049
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $372,001) 373,008
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $55,619,100) 62,413,441
OTHER ASSETS LESS
LIABILITIES -- 0.0% 19,070
-----------
NET ASSETS -- 100.0% $62,432,511
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
27
GLOBAL EQUITY FUND I
TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS* BENCHMARK INDEX**
-------------------- -----------------
Since Inception (7/1/03 -- 6/30/04) 22.80% 23.29%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
Jul 1 2003 10000.00 10000.00
Jul 2003 10200.00 10238.00
Aug 2003 10460.00 10484.00
Sep 2003 10380.00 10472.00
Oct 2003 11010.00 11116.00
Nov 2003 11130.00 11291.00
Dec 2003 11716.00 11894.00
Jan 2004 11927.00 12128.00
Feb 2004 12109.00 12327.00
Mar 2004 12079.00 12235.00
Apr 2004 11857.00 11948.00
May 2004 12008.00 12085.00
Jun 2004 12280.00 12329.00
</Table>
The graph compares the results of a $10,000 investment in the Retirement Class
of the Fund since July 1, 2003 (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
Index ex-U.S.
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 Index ex-U.S. 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
28
GLOBAL EQUITY FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ------- -----------
AFFILIATED MUTUAL FUNDS -- 99.6%
AB Funds Trust -- Equity Index Fund
(Institutional Class)(inf) 142,908 $ 1,334,758
AB Funds Trust -- Growth Equity Fund
(Institutional Class)(inf) 928,533 8,969,630
AB Funds Trust -- International Equity
Fund (Institutional Class)(inf) 637,356 7,297,727
AB Funds Trust -- Money Market Fund
(Institutional Class)(inf) 773,110 773,110
AB Funds Trust -- Small Cap Equity
Fund (Institutional Class)(inf) 130,336 1,574,459
AB Funds Trust -- Value Equity Fund
(Institutional Class)(inf) 873,356 9,100,365
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $24,597,577) 29,050,049
-----------
</Table>
<Table>
<Caption>
PAR
-------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
0.95%, 07/22/04++++
(Cost $74,958) $75,000 74,962
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $24,672,535) 29,125,011
OTHER ASSETS LESS
LIABILITIES -- 0.1% 16,163
-----------
NET ASSETS -- 100.0% $29,141,174
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
See Notes to Financial Statements.
29
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
JUNE 30, 2004 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- ------------- ------------- ------------- -------------------- -------------
ASSETS
Investments in securities of affiliated issuers
at value $29,419,994 $107,707,530 $62,040,433 $29,050,049
Investments in securities of unaffiliated
issuers at value 383,878 1,009,825 373,008 74,962
----------- ------------ ----------- -----------
Total investments (1) 29,803,872 108,717,355 62,413,441 29,125,011
Receivables:
Dividends 227 1,072 742 407
Interest 773 20,183 6,361 --
Fund shares sold 21,976 -- 8,640 8,202
Variation margin 460 3,860 3,450 2,760
Receivable from advisor 1,570 -- -- 1,733
Prepaid expenses and other assets 12,951 12,952 12,950 12,952
----------- ------------ ----------- -----------
Total Assets 29,841,829 108,755,422 62,445,584 29,151,065
----------- ------------ ----------- -----------
LIABILITIES
Payables:
Fund shares redeemed -- 25,951 -- --
Accrued expenses:
Advisory fee payable -- 6,123 1,173 --
Other accrued expenses payable 9,288 12,928 11,900 9,891
----------- ------------ ----------- -----------
Total Liabilities 9,288 45,002 13,073 9,891
----------- ------------ ----------- -----------
NET ASSETS $29,832,541 $108,710,420 $62,432,511 $29,141,174
=========== ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in-capital $28,559,659 $102,803,001 $54,811,190 $24,448,109
Undistributed net investment income 521,510 983,503 349,537 66,672
Accumulated net realized gain on investments 244,290 875,382 471,675 168,968
Net unrealized appreciation (depreciation) on
investments and futures transactions 507,082 4,048,534 6,800,109 4,457,425
----------- ------------ ----------- -----------
NET ASSETS $29,832,541 $108,710,420 $62,432,511 $29,141,174
=========== ============ =========== ===========
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the Institutional
Class $29,832,541 $108,710,420 $62,432,511 $29,141,174
----------- ------------ ----------- -----------
Institutional shares outstanding 2,852,244 9,983,165 5,421,196 2,393,245
----------- ------------ ----------- -----------
Net asset value, offering price and
redemption price per Institutional share $ 10.46 $ 10.89 $ 11.52 $ 12.18
=========== ============ =========== ===========
- ---------------
(1) Investments in securities of affiliated
issuers at cost $28,914,670 $103,665,901 $55,247,099 $24,597,577
Investments in securities of unaffiliated
issuers at cost 383,051 1,009,993 372,001 74,958
----------- ------------ ----------- -----------
Total investments at cost $29,297,721 $104,675,894 $55,619,100 $24,672,535
=========== ============ =========== ===========
</Table>
See Notes to Financial Statements.
30
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE SIX MONTHS ENDED JUNE 30, 2004 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- -------------------------------------- ------------- ------------- -------------------- -------------
INVESTMENT INCOME
Income distributions received from affiliated
funds $227,088 $1,038,329 $ 387,131 $ 85,041
Interest 3,194 15,774 4,731 284
-------- ---------- ---------- ----------
Total Investment Income 230,282 1,054,103 391,862 85,325
-------- ---------- ---------- ----------
EXPENSES
Investment advisory fees 14,651 52,051 31,005 13,956
Transfer agent fees 3,788 7,445 7,436 3,810
Custodian fees 1,777 3,495 3,277 2,449
Accounting and administration fees 4,778 15,800 9,563 4,451
Professional fees 17,400 17,151 17,151 17,400
Registration fees 237 581 436 186
Shareholder reporting fees 687 1,029 801 801
Trustee fees 82 234 161 70
Line of credit facility fees 82 234 161 70
Other expenses 7,063 7,060 7,060 7,061
-------- ---------- ---------- ----------
Total Expenses 50,545 105,080 77,051 50,254
Expenses waived and reimbursed (See Footnote 3c) (25,919) (18,643) (25,896) (27,342)
Fees paid indirectly (112) (80) (122) (108)
-------- ---------- ---------- ----------
Net expenses 24,514 86,357 51,033 22,804
-------- ---------- ---------- ----------
NET INVESTMENT INCOME 205,768 967,746 340,829 62,521
-------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investment securities of
affiliated issuers 98,429 80,111 99,481 142,663
Net realized loss on investment securities of
unaffiliated issuers (4,872) (23,499) (3,093) --
Net realized gain (loss) on futures
transactions 10,070 35,859 51,477 (3,655)
-------- ---------- ---------- ----------
Net realized gain 103,627 92,471 147,865 139,008
-------- ---------- ---------- ----------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated securities 105,559 820,183 1,672,025 1,037,694
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated securities 469 (1,445) 202 2
Change in net unrealized appreciation
(depreciation) on futures transactions (2,801) (11,008) (23,463) (9,242)
-------- ---------- ---------- ----------
Net change in unrealized appreciation
(depreciation) 103,227 807,730 1,648,764 1,028,454
-------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN 206,854 900,201 1,796,629 1,167,462
-------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $412,622 $1,867,947 $2,137,458 $1,229,983
======== ========== ========== ==========
</Table>
- ---------------
* Commencement of operations.
See Notes to Financial Statements.
31
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND I GROWTH & INCOME FUND I
----------------------------- -----------------------------
FOR THE SIX FOR THE PERIOD FOR THE SIX FOR THE PERIOD
MONTHS ENDED 07/01/03* TO MONTHS ENDED 07/01/03* TO
06/30/04 12/31/03 06/30/04 12/31/03
------------ -------------- ------------ --------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 205,768 $ 508,142 $ 967,746 $ 1,408,910
Net realized gain on investment securities and
futures transactions 103,627 301,451 92,471 1,189,355
Net change in unrealized appreciation
(depreciation) on investment securities and
futures transactions 103,227 403,855 807,730 3,240,804
----------- ----------- ------------ -----------
Net increase in net assets resulting from
operations 412,622 1,213,448 1,867,947 5,839,069
----------- ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT
INCOME -- (334,618) -- (1,741,769)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL
GAINS -- (22,765) -- (62,749)
----------- ----------- ------------ -----------
Total dividends and distributions -- (357,383) -- (1,804,518)
----------- ----------- ------------ -----------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS 784,366 27,779,488 34,860,039 67,947,883
----------- ----------- ------------ -----------
Total increase in net assets 1,196,988 28,635,553 36,727,986 71,982,434
----------- ----------- ------------ -----------
NET ASSETS:
Beginning of the Period 28,635,553 -- 71,982,434 --
----------- ----------- ------------ -----------
End of the Period $29,832,541 $28,635,553 $108,710,420 $71,982,434
=========== =========== ============ ===========
</Table>
- ---------------
* Commencement of operations.
See Notes to Financial Statements.
32
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I
- --------------------------------- -----------------------------
FOR THE SIX FOR THE PERIOD FOR THE SIX FOR THE PERIOD
MONTHS ENDED 07/01/03* TO MONTHS ENDED 07/01/03* TO
06/30/04 12/31/03 06/30/04 12/31/03
------------ -------------- ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 340,829 $ 769,770 $ 62,521 $ 192,616
147,865 534,802 139,008 46,618
1,648,764 5,151,345 1,028,454 3,428,971
----------- ----------- ----------- -----------
2,137,458 6,455,917 1,229,983 3,668,205
----------- ----------- ----------- -----------
-- (900,689) -- (192,660)
-- (76,286) -- (16,658)
----------- ----------- ----------- -----------
-- (976,975) -- (209,318)
----------- ----------- ----------- -----------
2,806,535 52,009,576 2,233,152 22,219,152
----------- ----------- ----------- -----------
4,943,993 57,488,518 3,463,135 25,678,039
----------- ----------- ----------- -----------
57,488,518 -- 25,678,039 --
----------- ----------- ----------- -----------
$62,432,511 $57,488,518 $29,141,174 $25,678,039
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
33
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FLEXIBLE INCOME FUND I GROWTH & INCOME FUND I
----------------------------- -----------------------------
INSTITUTIONAL CLASS
-------------------------------------------------------------
FOR THE SIX FOR THE PERIOD FOR THE SIX FOR THE PERIOD
MONTHS ENDED 07/01/03* TO MONTHS ENDED 07/01/03* TO
06/30/04 12/31/03 06/30/04 12/31/03
------------ -------------- ------------ --------------
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.31 $ 10.00 $ 10.62 $ 10.00
------- ------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.07# 0.18 0.10 0.21
Capital gain distributions received from affiliated
funds -- 0.10 -- 0.17
Realized and unrealized gain (loss) on investments
securities and futures transactions -- net 0.08# 0.16 0.17 0.51
------- ------- -------- -------
Total from investment operations 0.15 0.44 0.27 0.89
------- ------- -------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (5) -- (0.12) -- (0.26)
Distributions from capital gains -- (0.01) -- (0.01)
------- ------- -------- -------
Total dividends and distributions -- (0.13) -- (0.27)
------- ------- -------- -------
NET ASSET VALUE -- END OF PERIOD $ 10.46 $ 10.31 $ 10.89 $ 10.62
======= ======= ======== =======
TOTAL RETURN (2) 1.46% 4.40% 2.54% 8.94%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net (3)(4) 0.17% 0.17% 0.17% 0.17%
Expenses -- including expense reduction (3)(4) 0.17% 0.17% 0.17% 0.17%
Expenses -- before waivers and expense reductions (3)(4) 0.35% 0.51% 0.21% 0.28%
Investment income -- net (1)(3) 1.42% 4.16% 1.90% 4.76%
Investment income -- excluding waivers and expense
reduction (1)(3) 1.24% 3.82% 1.86% 4.65%
Portfolio turnover rate (2) 10.29% 8.01% 4.45% 4.51%
Net Assets -- end of the period (000's) $29,833 $28,636 $108,710 $71,982
======= ======= ======== =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(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.
(5) Includes dividends paid from the short-term portion of capital gain
distributions received from affiliated funds.
The Flexible Income Fund I has reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.49% in the fiscal period ending December 31, 2003. Net investment
income per share was decreased and capital gains distributions received from
affiliated funds increased by $0.05 in the fiscal period ending December 31,
2003.
The Growth & Income Fund I has reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
The effect of this reclassification was to decrease the net investment income
ratio by 0.52% in the fiscal period ending December 31, 2003. Net investment
income per share was decreased and capital gains distributions received from
affiliated funds increased by $0.05 in the fiscal period ending December 31,
2003.
The Capital Opportunities Fund I has reclassified prior period short-term
capital gain distributions received from their investments in the Select Funds
from net investment income to capital gains distributions received from
affiliated funds. The effect of this reclassification was to decrease the net
investment income ratio by 0.26% in the fiscal period ending December 31, 2003.
Net investment income per share was decreased and capital gains distributions
received from affiliated funds increased by $0.03 in the fiscal period ending
December 31, 2003.
See Notes to Financial Statements.
34
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I
- ---------------------------------- -----------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------------------
FOR THE SIX FOR THE PERIOD FOR THE SIX FOR THE PERIOD
MONTHS ENDED 07/01/03* TO MONTHS ENDED 07/01/03* TO
06/30/04 12/31/03 06/30/04 12/31/03
------------ -------------- ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 11.11 $ 10.00 $ 11.62 $ 10.00
------- ------- ------- -------
0.06 0.15 0.03 0.09
-- 0.09 -- --
0.35 1.07 0.53 1.63
------- ------- ------- -------
0.41 1.31 0.56 1.72
------- ------- ------- -------
-- (0.18) -- (0.09)
-- (0.02) -- (0.01)
------- ------- ------- -------
-- (0.20) -- (0.10)
------- ------- ------- -------
$ 11.52 $ 11.11 $ 12.18 $ 11.62
======= ======= ======= =======
3.69% 13.02% 4.82% 17.16%
0.17% 0.17% 0.17% 0.17%
0.17% 0.17% 0.17% 0.17%
0.26% 0.31% 0.37% 0.50%
1.13% 3.24% 0.46% 1.69%
1.04% 3.10% 0.26% 1.36%
3.15% 2.95% 3.53% 0.89%
$62,433 $57,489 $29,141 $25,678
======= ======= ======= =======
</Table>
See Notes to Financial Statements.
35
MONEY MARKET FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* CITIGROUP 3-MONTH INDEX**
----------------- -------------------- ------------- -------------------------
One Year 0.70% 0.89% 0.42% 0.96%
Since Inception (8/27/01 -- 6/30/04) 1.31% 1.38% 1.04% 1.50%
</Table>
7-DAY AVERAGE YIELD AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS*
----------------- -------------------- -------------
0.76% 0.98% 0.53%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS CITIGROUP 3-MONTH INDEX**
---------------- -------------------------
Aug 27 2001 10000.00 10000.00
Aug 2001 10008.00 10008.00
Sep 2001 10033.00 10036.00
Oct 2001 10057.00 10063.00
Nov 2001 10079.00 10084.00
Dec 2001 10094.00 10102.00
Jan 2002 10108.00 10117.00
Feb 2002 10122.00 10131.00
Mar 2002 10138.00 10146.00
Apr 2002 10153.00 10161.00
May 2002 10167.00 10176.00
Jun 2002 10180.00 10190.00
Jul 2002 10194.00 10205.00
Aug 2002 10207.00 10220.00
Sep 2002 10220.00 10234.00
Oct 2002 10232.00 10248.00
Nov 2002 10243.00 10261.00
Dec 2002 10255.00 10274.00
Jan 2003 10265.00 10285.00
Feb 2003 10273.00 10294.00
Mar 2003 10282.00 10305.00
Apr 2003 10290.00 10315.00
May 2003 10298.00 10325.00
Jun 2003 10306.00 10334.00
Jul 2003 10312.00 10343.00
Aug 2003 10318.00 10352.00
Sep 2003 10324.00 10359.00
Oct 2003 10330.00 10368.00
Nov 2003 10336.00 10376.00
Dec 2003 10342.00 10384.00
Jan 2004 10348.00 10392.00
Feb 2004 10354.00 10400.00
Mar 2004 10360.00 10408.00
Apr 2004 10366.00 10416.00
May 2004 10372.00 10424.00
Jun 2004 10378.00 10433.00
</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 Citigroup 3-Month Index.
*These performance figures reflect expense waivers by the Fund's investment
advisor. Without these waivers, performance would have been lower. Performance
figures shown do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
Not Part of the Semi-Annual Report
36
MONEY MARKET FUND
**The Citigroup 3-Month (formerly 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.
An investment in the Fund is not insured or guaranteed by the FDIC or any other
governmental agency. Although the Fund seeks to maintain a value of $1.00 per
share, it is possible to lose money.
Not Part of the Semi-Annual Report
37
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 PAR VALUE
- ------------- ----------- ------------
AGENCY OBLIGATIONS -- 4.5%
Federal Home Loan Bank
1.38%, 03/28/05 $10,000,000 $ 10,000,000
1.43%, 04/04/05 8,000,000 8,000,000
Federal Home Loan Mortgage
Corporation
1.20%, 09/09/04 5,434,000 5,421,321
1.29%, 03/23/05 9,000,000 9,000,000
Federal National Mortgage
Association
1.55%, 12/08/04 9,000,000 9,000,000
------------
TOTAL AGENCY OBLIGATIONS
(Cost $41,421,321) 41,421,321
------------
CERTIFICATES OF DEPOSIT -- 15.3%
American Express Centurion
Bank
1.05%, 07/20/04++ 25,000,000 25,000,000
Banco Santander Puerto Rico
1.19%, 08/13/04 21,800,000 21,800,000
Bank of New York
1.21%, 07/20/04 1,065,000 1,064,905
Societe Generale NY
1.44%, 05/09/05 10,000,000 9,998,720
Swedbank Securities, Inc.
1.44%, 03/01/05 17,000,000 16,998,308
Washington Mutual Bank FA
1.22%, 07/19/04 40,000,000 40,000,000
Westdeutsche Landesbank NY
1.40%, 08/05/04 25,000,000 25,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $139,861,933) 139,861,933
------------
COMMERCIAL PAPER -- 55.2%
Atomium Funding Corporation
1.26%, 07/12/04 14,590,000 14,584,383
1.26%, 07/20/04 8,670,000 8,664,234
Banco Santander Puerto Rico
1.26%, 07/26/04 24,735,000 24,713,357
Citigroup Global Markets
Holdings, Inc.
1.33%, 08/17/04 35,035,000 34,974,165
Concord Minutemen Captial Co.
LLC
1.15%, 07/06/04 43,000,000 42,993,162
CXC LLC
1.50%, 09/13/04 38,040,000 37,922,710
General Electric Capital
International Funding
1.12%, 07/08/04 14,000,000 13,996,951
Goldman Sachs Group, Inc.
1.27%, 07/12/04 45,000,000 44,982,537
Liberty Lighthouse Funding
Co.
1.24%, 07/19/04 9,500,000 9,494,110
MBNA Credit Card Master Trust
Emerald Certificates
1.13%, 07/28/04 17,685,000 17,670,078
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
National Rural Utilities
Cooperative Finance
Corporation
1.22%, 07/19/04 $34,000,000 $ 33,979,260
Regency Markets No. 1 LLC
1.30%, 07/21/04 6,980,000 6,974,959
Rio Tinto (Commercial Paper),
Ltd.
1.30%, 07/09/04 15,000,000 14,995,667
San Paolo IMI US Financial
Co.
1.44%, 07/01/04 21,841,000 21,841,000
Scaldis Capital LLC
1.47%, 09/15/04 18,370,000 18,312,992
Silver Tower US Funding
1.16%, 07/12/04 15,000,000 14,994,683
Sydney Capital Corporation
1.25%, 07/19/04 10,660,000 10,653,338
Toronto-Dominion Holdings
1.27%, 07/29/04 45,000,000 44,955,550
UBS Finance (Delaware) LLC
1.42%, 07/01/04 45,000,000 45,000,000
Victory Receivables
Corporation
1.18%, 07/09/04 43,000,000 42,988,725
------------
TOTAL COMMERCIAL PAPER
(Cost $504,691,861) 504,691,861
------------
MASTER NOTES -- 5.7%
Merrill Lynch Mortgage
Capital, Inc.
1.63%, 07/01/04++ 15,410,000 15,410,000
Morgan Stanley Mortgage
Capital
1.67%, 07/01/04++ 37,000,000 37,000,000
------------
TOTAL MASTER NOTES
(Cost $52,410,000) 52,410,000
------------
VARIABLE RATE OBLIGATIONS -- 19.3%
Bank of America NA
1.05%, 07/01/04++ 30,000,000 30,000,000
1.05%, 07/01/04++ 11,000,000 11,000,000
General Electric Capital
Corporation
1.30%, 08/03/04++ 1,500,000 1,501,194
1.67%, 09/15/04++ 30,868,000 30,881,421
John Hancock Global Funding
II
1.48%, 09/13/04 144A++ 10,000,000 10,000,000
1.57%, 09/13/04 144A++ 10,000,000 10,002,686
1.74%, 09/27/04 144A++ 6,000,000 6,002,520
1.73%, 09/30/04 144A++ 17,000,000 17,025,514
Merrill Lynch and Co., Inc.
1.46%, 07/13/04++ 4,000,000 4,008,177
1.19%, 08/17/04++ 2,900,000 2,899,978
Metlife Global Funding
1.36%, 07/28/04 144A++ 10,000,000 10,000,000
</Table>
See Notes to Financial Statements.
38
<Table>
<Caption>
PAR VALUE
----------- ------------
Metropolitan Life Global
Funding I
1.24%, 07/08/04 144A++ $25,000,000 $ 25,030,503
Racers Trust
1.28%, 07/22/04 144A++ 3,675,000 3,675,000
Shipley Group LP
1.25%, 07/01/04++ 1,500,000 1,500,000
Wells Fargo & Co.
1.62%, 09/24/04++ 5,000,000 5,001,464
Westpac Banking Corporation
1.10%, 09/13/04++ 8,250,000 8,250,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $176,778,457) 176,778,457
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $915,163,572) 915,163,572
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0% (361,031)
------------
NET ASSETS -- 100.0% $914,802,541
============
</Table>
See Notes to Financial Statements.
39
LOW-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
MERRILL LYNCH 1-3
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* YEAR TREASURY INDEX**
----------------- -------------------- ------------- ---------------------
One Year 0.58% 0.80% 0.40% 0.50%
Since Inception (8/27/01 -- 6/30/04) 3.64% 3.63% 3.36% 3.59%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
MERRILL LYNCH 1-3 YEAR TREASURY
RETIREMENT CLASS INDEX**
---------------- -------------------------------
Aug 27 2001 10000.00 10000.00
Aug 2001 10023.00 10025.00
Sep 2001 10150.00 10190.00
Oct 2001 10256.00 10286.00
Nov 2001 10217.00 10264.00
Dec 2001 10196.00 10268.00
Jan 2002 10242.00 10288.00
Feb 2002 10288.00 10338.00
Mar 2002 10208.00 10268.00
Apr 2002 10334.00 10383.00
May 2002 10381.00 10425.00
Jun 2002 10402.00 10512.00
Jul 2002 10459.00 10641.00
Aug 2002 10550.00 10677.00
Sep 2002 10633.00 10765.00
Oct 2002 10661.00 10790.00
Nov 2002 10663.00 10757.00
Dec 2002 10778.00 10859.00
Jan 2003 10800.00 10857.00
Feb 2003 10866.00 10902.00
Mar 2003 10890.00 10922.00
Apr 2003 10918.00 10943.00
May 2003 10991.00 10984.00
Jun 2003 11006.00 11001.00
Jul 2003 10888.00 10941.00
Aug 2003 10910.00 10948.00
Sep 2003 11034.00 11048.00
Oct 2003 10984.00 11007.00
Nov 2003 10995.00 11001.00
Dec 2003 11042.00 11065.00
Jan 2004 11076.00 11087.00
Feb 2004 11136.00 11140.00
Mar 2004 11171.00 11175.00
Apr 2004 11080.00 11067.00
May 2004 11065.00 11057.00
Jun 2004 11069.00 11056.00
</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 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
40
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 PAR VALUE
- ------------- ----------- --------------
AGENCY OBLIGATIONS -- 17.5%
Federal Home Loan Bank
1.20%, 07/01/04 $ 7,400,000 $ 7,400,000
1.17%, 07/16/04 50,000,000 49,975,728
Federal Home Loan Mortgage
Corporation
1.30%, 07/01/04 15,200,000 15,200,000
2.25%, 12/04/06 4,550,000 4,449,641
2.85%, 02/23/07 4,125,000 4,075,034
3.88%, 11/10/08 5,300,000 5,267,601
4.75%, 12/08/10 2,165,000 2,150,670
Federal National Mortgage
Association
1.25%, 07/01/04 600,000 600,000
1.13%, 07/14/04 40,000,000 39,983,677
1.23%, 09/01/04 8,700,000 8,680,295
3.13%, 05/04/07 1,375,000 1,362,133
Small Business
Administration
6.95%, 11/10/16 2,087,444 2,238,068
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $141,163,923) 141,382,847
--------------
ASSET-BACKED SECURITIES -- 6.0%
Aames Mortgage Trust
1.69%, 10/15/29 STEP 35,982 35,998
Amresco Independence
Funding, Inc.
3.50%, 06/15/26 144A 1,343,918 1,337,114
Bayview Financial
Acquisition Trust
7.01%, 05/25/29 144A 509,757 516,798
Bear Stearns Asset-Backed
Securities, Inc.
4.62%, 03/25/44 2,407,678 2,386,986
Business Loan Express
3.00%, 01/01/25 144A++ 850,622 840,255
Capital Auto Receivables
Asset Trust
3.58%, 10/16/06++++ 2,400,000 2,427,874
Chase Funding Mortgage Loan
Asset-Backed Certificates
5.04%, 12/25/23 492,233 492,958
1.42%, 02/25/21++ 844,007 844,206
Citibank Credit Card Master
Trust I
1.25%, 08/15/06 PO (omg) 2,600,000 2,599,374
Conseco Finance
Securitizations
Corporation
1.61%, 12/15/29++ 348,909 348,870
8.07%, 12/01/30 274,212 274,889
CS First Boston Mortgage
Securities Corporation
1.63%, 05/25/43 STEP
144A@ 423,771 423,752
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Daimler Chrysler Auto Trust
6.16%, 01/08/06 $ 1,263,913 $ 1,273,173
2.25%, 08/08/07 3,000,000 2,981,481
Daimler Chrysler Master
Owner Trust
1.30%, 05/15/07++ 3,000,000 3,001,206
Green Tree Financial
Corporation
6.06%, 04/01/18 430,616 433,117
6.04%, 11/01/29 44,650 44,541
Home Equity Mortgage Trust
1.70%, 07/25/33++ 728,630 727,754
Honda Auto Receivables
Owner Trust
2.30%, 10/18/07 3,050,000 3,027,233
3.30%, 06/15/08 2,980,000 2,976,274
Long Beach Mortgage Loan
Trust
1.62%, 06/25/33++ 1,027,971 1,029,296
Nissan Auto Receivables
Owner Trust
5.35%, 10/15/06 1,425,928 1,431,840
4.80%, 02/15/07 3,121,484 3,153,843
PBG Equipment Trust
6.27%, 01/20/12 144A 950,804 980,322
Quest Trust
1.29%, 06/25/34 144A@++ 1,600,000 1,596,941
Residential Asset
Securities Corporation
1.53%, 09/25/31++ 681,176 681,538
Residential Funding
Mortgage Securities II
1.43%, 07/25/18++ 1,025,250 1,025,029
Sears Credit Account Master
Trust
7.00%, 07/15/08 115,208 115,467
5.25%, 10/16/08 454,167 457,001
Sequoia Mortgage Trust
2.35%, 10/25/24++ 1,305,714 1,306,106
SLM Student Loan Trust
1.22%, 01/25/11++ 612,463 612,385
1.55%, 12/17/12++ 2,346,475 2,346,472
Structured Asset Investment
Loan Trust
1.40%, 04/25/33++ 756,096 755,958
1.43%, 07/25/33++ 717,400 717,369
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A@ 3,015,925 3,094,208
The Money Store Business
Loan Backed Certificates
1.90%, 04/15/28++ 588,838 557,323
</Table>
See Notes to Financial Statements.
41
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
TMS SBA Loan Trust
1.86%, 04/15/24++ $ 533,846 $ 505,547
1.75%, 01/15/25++ 618,534 592,735
2.23%, 01/25/25++ 371,121 369,336
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $48,266,528) 48,322,569
--------------
COMMERCIAL PAPER -- 8.1%
ASB Bank, Ltd.
1.49%, 09/22/04 3,000,000 2,989,881
Barclays U.S. Funding
Corporation
1.11%, 08/25/04 800,000 798,390
CDC Commercial Paper, Inc.
1.12%, 08/19/04 1,500,000 1,499,980
1.12%, 08/24/04 800,000 798,373
Danske Corporation
1.27%, 09/20/04 100,000 99,673
European Investment Bank
1.03%, 07/02/04 2,900,000 2,899,917
General Electric Capital
Corporation
1.27%, 09/01/04 900,000 897,878
1.30%, 09/08/04 8,700,000 8,676,654
HBOS Treasury Services PLC
1.35%, 09/07/04 900,000 897,627
1.34%, 09/09/04 8,700,000 8,676,232
1.61%, 06/30/06++ 1,200,000 1,200,124
KFW International Finance,
Inc.
1.10%, 08/10/04 8,800,000 8,788,611
1.11%, 08/20/04 1,800,000 1,796,913
Rabobank USA Finance
Corporation
1.24%, 09/13/04 700,000 697,952
Svenska Handelsbanken NY
1.08%, 07/28/04 1,400,000 1,398,869
1.09%, 08/03/04 800,000 799,116
1.25%, 09/01/04 7,400,000 7,382,170
Toyota Motor Credit
Corporation
1.63%, 11/03/04 6,200,000 6,165,641
UBS Finance (Delaware) LLC
1.20%, 07/21/04 8,700,000 8,694,224
--------------
TOTAL COMMERCIAL PAPER
(Cost $65,161,831) 65,158,225
--------------
<Caption>
SHARES
-----------
COMMON STOCK -- 0.0%
UTILITIES
MCI, Inc.*+++
(Cost $1,353,751) 24,152 340,543
--------------
<Caption>
PAR VALUE
----------- --------------
CORPORATE BONDS -- 10.0%
Alcoa, Inc.
1.64%, 12/06/04++ $ 930,000 $ 930,826
American Electric Power
Co., Inc.
6.13%, 05/15/06 800,000 840,182
AOL Time Warner, Inc.
5.63%, 05/01/05+++ 2,210,000 2,264,582
ASIF Global Financing XXIII
3.90%, 10/22/08 144A+++ 420,000 415,291
AT&T Wireless Services,
Inc.
7.35%, 03/01/06+++ 732,000 781,422
Bank of America Corporation
3.25%, 08/15/08 360,000 347,913
Bank One Corporation
2.63%, 06/30/08+++ 360,000 339,336
Bear Stearns Co., Inc.
6.50%, 05/01/06+++ 550,000 582,438
BellSouth Corporation
5.00%, 10/15/06+++ 750,000 777,303
Cadbury Schweppes US
Finance LLC
3.88%, 10/01/08 144A 790,000 775,733
Capital One Bank
8.25%, 06/15/05 360,000 377,513
Cendant Corporation
6.88%, 08/15/06+++ 720,000 769,700
Centerior Energy
Corporation
7.67%, 07/01/04 1,500,000 1,500,000
Citigroup, Inc.
5.50%, 08/09/06+++ 480,000 501,676
3.50%, 02/01/08 1,600,000 1,579,301
Clear Channel
Communications, Inc.
6.00%, 11/01/06+++ 730,000 766,697
Conagra Foods, Inc.
7.50%, 09/15/05 370,000 389,344
Countrywide Home Loans,
Inc.
3.50%, 12/19/05+++ 620,000 625,116
DaimlerChrysler NA Holding
Corporation
6.90%, 09/01/04 3,200,000 3,222,217
6.40%, 05/15/06 910,000 958,192
Devon Energy Corporation
2.75%, 08/01/06 790,000 778,834
Dominion Resources, Inc.
7.63%, 07/15/05 840,000 882,631
Ford Motor Credit Co.
7.50%, 03/15/05+++ 1,300,000 1,343,532
6.88%, 02/01/06 2,500,000 2,623,221
6.50%, 01/25/07 1,490,000 1,566,503
FPL Group Capital, Inc.
3.25%, 04/11/06 765,000 767,676
</Table>
See Notes to Financial Statements.
42
<Table>
<Caption>
PAR VALUE
----------- --------------
General Electric Capital
Corporation
6.80%, 11/01/05+++ $ 740,000 $ 780,015
9.83%, 12/15/08 350,000 422,898
General Motors Acceptance
Corporation
5.25%, 05/16/05 3,200,000 3,272,345
6.13%, 02/01/07+++ 1,490,000 1,555,728
Golden West Financial
Corporation
4.13%, 08/15/07 310,000 313,966
Household Finance
Corporation
5.75%, 01/30/07+++ 730,000 767,319
4.13%, 12/15/08 700,000 690,696
IBM Corporation
1.54%, 09/10/04++ 1,200,000 1,200,074
International Lease Finance
Corporation
4.00%, 01/17/06 580,000 590,743
Kellogg Co.
6.00%, 04/01/06 725,000 761,217
2.88%, 06/01/08 970,000 929,362
Lehman Brothers Holdings,
Inc.
6.25%, 05/15/06 940,000 992,259
Liberty Media Corporation
3.50%, 09/25/06+++ 790,000 788,984
Masco Corporation
6.75%, 03/15/06 730,000 774,401
MBNA America Bank NA
6.50%, 06/20/06+++ 730,000 773,101
MCI Escrow Bonds
0.00%, 01/15/11+ 3,900,000 0
MCI, Inc.
5.91%, 05/01/07 237,000 230,483
6.69%, 05/01/09+++ 237,000 219,818
7.74%, 05/01/14 203,000 182,193
Merrill Lynch & Co., Inc.
6.13%, 05/16/06 920,000 974,101
Morgan Stanley Warehouse
Facility
1.59%, 07/06/05@ 9,900,000 9,899,999
National Rural Utilities
Cooperative Finance
Corporation
6.00%, 05/15/06 700,000 736,962
New York Life Global
Funding
1.35%, 02/26/07 144A++ 1,400,000 1,399,754
Nisource Finance
Corporation
7.63%, 11/15/05 750,000 795,858
Pacific Gas & Electric Co.
1.81%, 04/03/06++ 3,100,000 3,102,099
PP&L Capital Funding, Inc.
7.75%, 04/15/05 800,000 829,282
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Premium Asset Trust
1.62%, 11/27/04 144A@++ $ 2,000,000 $ 2,001,660
SBC Communications, Inc.
5.75%, 05/02/06+++ 930,000 973,578
SLM Corporation
3.50%, 09/30/06+++ 1,700,000 1,709,642
1.29%, 01/25/07++ 1,200,000 1,200,984
3.63%, 03/17/08 120,000 118,444
Southtrust Bank NA
1.61%, 03/19/07++ 1,200,000 1,200,596
Sprint Capital Corporation
7.13%, 01/30/06 3,000,000 3,175,932
6.00%, 01/15/07 920,000 964,011
TCI Communications, Inc.
6.88%, 02/15/06+++ 840,000 887,524
Time Warner, Inc.
6.13%, 04/15/06 830,000 869,862
US Central Credit Union
2.75%, 05/30/08 610,000 582,982
Verizon Global Funding
Corporation
6.75%, 12/01/05+++ 810,000 853,993
6.13%, 06/15/07+++ 875,000 933,127
Verizon Wireless Capital
LLC
1.35%, 05/23/05 144A++ 1,400,000 1,399,041
Washington Mutual Bank FA
1.52%, 07/25/06++ +++ 1,500,000 1,508,210
Washington Mutual, Inc.
7.50%, 08/15/06+++ 780,000 845,784
Weyerhaeuser Co.
5.50%, 03/15/05 441,000 450,403
World Savings Bank FSB
1.32%, 03/02/06++(omg) 1,400,000 1,400,147
--------------
TOTAL CORPORATE BONDS
(Cost $82,413,873) 80,766,756
--------------
FOREIGN BONDS -- 5.6%
CANADA -- 0.6%
Alcan, Inc.
1.62%, 12/08/04 144A++ 3,100,000 3,100,084
British Columbia Government
5.38%, 10/29/08 305,000 321,398
Ontario Province
3.50%, 09/17/07+++ 775,000 771,516
Quebec Province
7.00%, 01/30/07+++ 305,000 331,924
--------------
4,524,922
--------------
FRANCE -- 0.5%
France Telecom
8.20%, 03/01/06 720,000 772,241
French Treasury Note BTAN
3.50%, 01/12/09 (E) 2,800,000 3,401,571
--------------
4,173,812
--------------
</Table>
See Notes to Financial Statements.
43
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
GERMANY -- 1.2%
Bundesobligation
4.00%, 02/16/07 (E) $ 3,575,000 $ 4,454,416
3.50%, 10/10/08 (E) 1,250,000 1,522,958
3.25%, 04/17/09 (E) 2,875,000 3,449,406
--------------
9,426,780
--------------
ITALY -- 0.3%
Republic of Italy
5.00%, 12/15/04 (J) 37,000,000 346,624
2.75%, 12/15/06 2,375,000 2,341,883
--------------
2,688,507
--------------
JAPAN -- 0.5%
ASIF II
1.20%, 01/26/05 (J) 405,000,000 3,732,615
Citigroup, Inc.
1.28%, 12/28/04 (J) 16,000,000 147,426
--------------
3,880,041
--------------
NETHERLANDS -- 0.2%
Deutsche Telekom
International Finance BV
8.25%, 06/15/05 740,000 778,233
Telefonica Europa BV
7.35%, 09/15/05 780,000 822,274
--------------
1,600,507
--------------
SUPRANATIONAL -- 0.1%
European Investment Bank
0.88%, 11/08/04 (J) 60,000,000 551,507
--------------
UNITED KINGDOM -- 2.2%
Holmes Financing PLC
1.29%, 01/15/08++ 2,600,000 2,602,543
Permanent Financing PLC
1.56%, 09/10/07++ 2,800,000 2,800,137
United Kingdom Treasury
Bond
5.00%, 09/07/14 (U) 7,000,000 12,602,114
Vodafone Group PLC
3.95%, 01/30/08 230,000 229,965
--------------
18,234,759
--------------
TOTAL FOREIGN BONDS
(Cost $45,236,849) 45,080,835
--------------
MORTGAGE-BACKED SECURITIES -- 15.9%
Asset Securitization
Corporation
7.32%, 01/13/30 760,392 776,097
Bank of America Mortgage
Securities
6.50%, 10/01/19 2,056,490 2,096,225
Bear Stearns Adjustable
Rate Mortgage Trust
4.80%, 01/25/34 2,209,260 2,201,776
6.87%, 12/25/40++ 50,684 50,571
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Countrywide Alternative
Loan Trust
6.00%, 10/25/32 $ 1,217,398 $ 1,231,035
Countrywide Home Loans,
Inc.
4.88%, 07/25/19 144A@ 1,989,187 2,017,720
6.50%, 08/25/29 893,210 911,909
3.07%, 06/19/31++ 285,602 287,876
Credit-Based Asset
Servicing and
Securitization LLC
1.62%, 02/25/30++ 685,143 685,344
CS First Boston Mortgage
Securities Corporation
1.70%, 02/25/32++ 165,289 165,341
Federal Home Loan Mortgage
Corporation
9.50%, 10/01/04 3,788 3,832
9.50%, 12/01/04 4,940 4,997
9.50%, 01/01/05 5,707 5,773
9.50%, 06/01/05 10,947 11,298
5.75%, 07/28/05++ 1,618,031 1,671,007
10.00%, 12/01/05 6 6
8.00%, 03/01/06 174 181
7.00%, 05/01/06 3,919 4,007
8.75%, 08/01/06 3,345 3,375
8.50%, 12/01/07 16,633 17,652
8.50%, 01/01/08 12,880 13,642
8.00%, 05/01/08 20,409 20,870
8.50%, 06/01/08 16,200 16,595
8.75%, 07/01/08 12,030 12,934
8.00%, 01/01/09 7,157 7,521
7.50%, 03/01/09 72,383 73,795
5.50%, 04/01/09 1,302,624 1,343,544
6.00%, 06/01/09 567,991 594,827
6.00%, 07/01/10 1,099,993 1,151,965
16.25%, 07/01/11 1,409 1,671
15.25%, 08/01/11 2,761 3,219
3.50%, 08/15/15 1,800,000 1,813,616
5.00%, 11/15/16 7,561,175 7,708,303
10.75%, 02/01/19 122,101 134,826
4.29%, 09/01/23++ 1,005,680 1,014,294
3.58%, 07/01/27++ 145,731 148,623
2.11%, 06/01/28++ 660,309 656,899
7.38%, 03/01/31++ 136,043 137,202
1.64%, 02/15/33++ 3,157,672 3,163,566
6.00%, 04/01/33 3,507,181 3,593,101
3.50%, 12/15/33 1,800,000 1,813,372
Federal Housing Authority
7.43%, 09/01/22 14,321 14,888
Federal National Mortgage
Association
6.00%, 08/01/08 468,692 490,551
6.50%, 11/01/08 620,565 657,003
5.50%, 06/01/09 887,001 915,818
5.50%, 07/01/09 649,183 670,274
3.49%, 12/01/09 1,644,432 1,685,800
3.00%, 08/25/09 4,010,000 4,011,116
</Table>
See Notes to Financial Statements.
44
<Table>
<Caption>
PAR VALUE
----------- --------------
3.50%, 09/25/09 $ 3,500,000 $ 3,524,183
5.50%, 04/01/13 693,052 712,772
5.75%, 04/25/16 4,300,000 4,445,813
3.48%, 08/01/22++ 723,393 737,499
3.55%, 02/01/24++ 1,550,646 1,607,256
5.07%, 03/01/24++ 149,561 149,408
3.35%, 12/01/24 CONV++ 314,219 318,361
9.00%, 05/01/25 500,705 564,217
9.00%, 07/01/25 334,388 376,456
1.55%, 09/25/30 690,306 689,389
5.09%, 12/01/30++ 109,238 109,024
6.66%, 02/01/31++ 214,087 219,977
4.74%, 09/01/31++ 336,430 346,869
3.31%, 03/25/32 843,279 812,520
5.19%, 10/01/32++ 1,183,744 1,190,469
4.32%, 03/11/33++ 1,587,294 1,603,796
4.34%, 04/01/33++ 2,902,678 2,909,002
4.30%, 06/01/33++ 789,132 794,265
5.50%, 06/01/33 44,662 44,577
5.50%, 07/01/33 50,276 50,181
4.33%, 10/01/33++ 3,547,261 3,557,586
5.50%, 10/01/33 260,494 260,000
4.32%, 12/01/33++ 1,124,154 1,123,473
5.00%, 05/01/34 4,194,482 4,056,640
5.00%, 06/01/34 1,797,816 1,738,735
6.20%, 04/01/40++ 1,252,780 1,271,625
FFCA Secured Lending
Corporation
7.27%, 02/18/11 144A 1,218,384 1,258,318
First Republic Mortgage
Loan Trust
3.85%, 06/25/30 817,172 826,762
Government National
Mortgage Association
8.25%, 03/15/06 4,052 4,224
8.25%, 05/15/06 8,095 8,459
7.00%, 10/15/07 3,249 3,388
7.00%, 11/15/07 74,072 77,247
7.00%, 12/15/07 52,076 54,309
7.00%, 01/15/08 528 563
7.00%, 05/15/08 13,955 14,878
7.00%, 06/15/08 8,230 8,773
7.00%, 07/15/08 141,333 150,678
7.00%, 08/15/08 86,948 92,697
7.00%, 09/15/08 190,958 203,586
7.00%, 09/18/08 102,813 109,612
7.00%, 11/15/08 191,685 204,361
6.00%, 12/15/08 504,102 528,756
7.00%, 04/15/09 43,674 46,589
6.00%, 02/15/11 788,911 828,512
13.50%, 02/15/11 4,061 4,661
7.00%, 05/12/12 120,687 128,691
7.00%, 05/15/12 297,865 317,620
4.38%, 06/20/17++ 49,596 49,668
4.38%, 06/20/21++ 26,638 26,711
4.63%, 10/20/27++ 238,417 240,372
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
8.50%, 10/15/29 $ 150,058 $ 164,697
8.50%, 01/15/30 98,789 108,370
1.85%, 02/16/30++ 837,229 844,846
8.50%, 03/15/30 37,491 41,127
8.50%, 04/15/30 288,819 316,830
8.50%, 05/15/30 350,254 384,224
8.50%, 06/15/30 176,935 194,096
8.50%, 07/15/30 454,181 498,252
8.50%, 08/15/30 87,975 96,508
8.50%, 09/15/30 23,424 25,696
8.50%, 10/15/30 47,742 52,372
8.50%, 11/15/30 232,193 254,712
8.50%, 12/15/30 288,426 316,399
8.50%, 01/15/31 117,940 129,359
1.45%, 01/16/31++ 1,415,852 1,414,523
8.50%, 02/15/31 141,657 155,373
3.75%, 05/20/34++ 2,875,002 2,874,045
4.23%, 06/20/34++(omg) 3,875,000 3,799,922
GS Mortgage Securities
Corporation II
4.34%, 01/10/40 IO
144A(omg) 43,459,665 1,611,602
6.04%, 08/15/18 144A 550,996 583,095
IFC SBA Loan-Backed ADJ
Rate Certificate
2.00%, 01/15/24 144A++ 803,337 771,204
LB-UBS Commercial Mortgage
Trust
3.98%, 08/15/33 IO
144A(omg) 38,255,000 1,527,499
Mellon Residential Funding
Corporation
6.75%, 01/25/13 13,093 13,080
MLCC Mortgage Investors,
Inc.
1.62%, 03/15/25 STEP 1,522,816 1,527,082
Morgan Stanley Capital I
6.22%, 06/30/30 1,190,600 1,218,373
Residential Accredit Loans,
Inc.
6.00%, 12/25/16 581,959 589,509
1.70%, 01/25/33++ 2,434,882 2,437,653
Residential Funding
Mortgage Securities I
6.50%, 03/25/32 392,285 398,400
5.50%, 09/25/33 2,937,265 2,996,100
Sequoia Mortgage Trust
1.68%, 10/20/27++ 1,592,188 1,595,323
1.73%, 10/20/33++ 1,165,598 1,167,625
Structured Adjustable Rate
Mortgage Loan Trust
4.92%, 03/25/34++ 3,267,788 3,284,127
Structured Asset Securities
Corporation
7.50%, 06/28/31 302,747 303,600
1.46%, 08/25/33++ 518,394 518,479
4.99%, 12/25/33++ 3,555,650 3,600,693
</Table>
See Notes to Financial Statements.
45
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Wachovia Bank Commercial
Mortgage Trust
4.45%, 06/15/35 IO
144A(omg) $11,077,962 $ 887,247
Washington Mutual
3.59%, 01/25/41 669,908 673,367
Washington Mutual Mortgage
Securities Corporation
3.69%, 07/25/31++ 457,921 465,184
Washington Mutual MSC
Mortgage Pass-Through
Certificates
3.68%, 03/25/32++ 824,165 831,685
Wells Fargo Mortgage-Backed
Securities Trust
3.41%, 06/25/34++ 3,700,000 3,683,721
3.40%, 07/25/34++ 3,700,000 3,688,728
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $129,071,321) 128,464,112
--------------
MUNICIPAL BONDS -- 0.8%
Honolulu, Hawaii City &
County, Series B General
Obligation Bond (MBIA
Insured) (Non-Callable)
5.00%, 07/01/12 1,200,000 1,293,240
Missouri Higher Education
Loan Authority, Revenue
Bond (GTD STD LNS Insured)
(Callable 04/01/05 @
$100)
2.04%, 07/25/08++ 691,366 691,366
New York City, New York
Municipal Water Finance
Authority Water & Sewer
System, Series C Revenue
Bond (Callable @ $100)
5.00%, 06/15/35 3,200,000 3,097,184
Texas State Public Finance
Authority, Series B
Revenue Bonds
(Non-Callable)
2.63%, 06/15/06 1,365,000 1,356,414
--------------
TOTAL MUNICIPAL BONDS
(Cost $6,687,344) 6,438,204
--------------
<Caption>
SHARES VALUE
----------- --------------
SHORT-TERM INVESTMENTS -- 35.7%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 29,464,479 $ 29,464,479
Northern Institutional
Liquid Assets
Portfolio sec. 258,366,313 258,366,314
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $287,830,792) 287,830,793
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 36.2%
U.S. Treasury Bills
0.94%, 07/01/04 $ 8,000,000 8,000,000
0.99%, 07/15/04+++ 34,500,000 34,486,786
1.05%, 07/22/04 15,000,000 14,990,375
1.14%, 09/02/04++++ 505,000 503,931
1.18%, 09/02/04 60,000 59,873
1.19%, 09/02/04 40,000 39,915
1.26%, 09/16/04 180,000 179,523
1.30%, 09/16/04 50,000 49,867
1.32%, 09/16/04 130,000 129,655
1.39%, 09/16/04 110,000 109,708
--------------
58,549,633
--------------
U.S. Treasury Bonds
10.38%, 11/15/09+++ 2,700,000 2,787,434
10.00%, 05/15/10+++ 5,315,000 5,675,012
12.75%, 11/15/10+++ 12,315,000 14,018,423
10.38%, 11/15/12+++ 12,925,000 15,786,685
--------------
38,267,554
--------------
U.S. Treasury Notes
1.50%, 02/28/05++++ +++ 470,000 469,211
1.13%, 06/30/05+++ 4,000,000 3,964,532
1.50%, 07/31/05+++ 10,360,000 10,294,038
2.00%, 08/31/05+++ 28,550,000 28,496,498
1.63%, 09/30/05+++ 11,170,000 11,090,592
1.63%, 10/31/05+++ 65,000 64,441
5.75%, 11/15/05+++ 2,890,000 3,022,648
1.88%, 11/30/05+++ 10,250,000 10,182,340
1.88%, 12/31/05+++ 17,200,000 17,062,280
1.88%, 01/31/06+++ 5,010,000 4,963,818
2.25%, 04/30/06+++ 24,065,000 23,908,024
2.50%, 05/31/06+++ 48,810,000 48,661,325
6.50%, 10/15/06 975,000 1,052,810
2.63%, 11/15/06+++ 6,950,000 6,903,852
3.50%, 11/15/06+++ 12,045,000 12,204,512
2.25%, 02/15/07+++ 12,300,000 12,064,098
--------------
194,405,019
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $293,309,104) 291,222,206
--------------
TOTAL INVESTMENTS -- 135.8%
(Cost $1,100,495,316) 1,095,007,090
--------------
</Table>
See Notes to Financial Statements.
46
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
WRITTEN OPTIONS -- 0.0%
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$3.80, Expires 10/07/04 (2,170) $ (3,885)
3-Month LIBOR, Strike Price
$4.00, Expires 10/31/05 (640) (17,056)
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$6.00, Expires 10/07/04 (2,170) (14,994)
3-Month LIBOR, Strike Price
$7.00, Expires 10/31/05 (640) (35,373)
--------------
TOTAL WRITTEN OPTIONS
(Cost $(595,524)) (71,308)
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS --
(35.8%) (288,715,154)
--------------
NET ASSETS -- 100.0% $ 806,220,628
==============
</Table>
Interest rate swap agreements outstanding at June 30, 2004:
<Table>
<Caption>
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION/
DESCRIPTION DATE VALUE (DEPRECIATION)
- ----------- ---------- ----------- --------------
BRITISH POUNDS
Receive fixed rate
payments of 4.25% and
pay variable rate
payments on the six
month LIBOR floating
rate(c) 03/17/05 23,500,000 $(198,855)
EURODOLLARS
Receive fixed rate
payments of 4.00% and
pay variable rate
payments on the six
month LIBOR floating
rate(b) 03/15/07 15,600,000 203,511
U.S. DOLLARS
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(a) 12/15/14 (1,100,000) 28,601
---------
$ 33,257
=========
</Table>
See Notes to Financial Statements.
47
MEDIUM-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
LEHMAN BROTHERS
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* AGGREGATE BOND INDEX**
----------------- -------------------- ------------- ----------------------
One Year 1.72% 1.84% 1.41% 0.32%
Since Inception (8/27/01 -- 6/30/04) 6.23% 6.11% 5.91% 5.68%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
LEHMAN BROTHERS AGGREGATE BOND
RETIREMENT CLASS INDEX**
---------------- ------------------------------
08/27/01 10000.00 10000.00
08/31/01 10051.00 10056.00
09/30/01 10123.00 10173.00
10/31/01 10364.00 10386.00
11/30/01 10223.00 10243.00
12/31/01 10149.00 10177.00
01/31/02 10253.00 10260.00
02/28/02 10387.00 10359.00
03/31/02 10223.00 10187.00
04/30/02 10422.00 10384.00
05/31/02 10479.00 10473.00
06/30/02 10453.00 10563.00
07/31/02 10466.00 10691.00
08/31/02 10685.00 10871.00
09/30/02 10774.00 11047.00
10/31/02 10752.00 10997.00
11/30/02 10833.00 10994.00
12/31/02 11079.00 11221.00
01/31/03 11165.00 11231.00
02/28/03 11315.00 11386.00
03/31/03 11312.00 11377.00
04/30/03 11461.00 11471.00
05/31/03 11671.00 11685.00
06/30/03 11674.00 11662.00
07/30/03 11295.00 11270.00
08/31/03 11403.00 11345.00
09/30/03 11721.00 11645.00
10/31/03 11638.00 11536.00
11/30/03 11704.00 11564.00
12/31/03 11811.00 11682.00
01/31/04 11898.00 11776.00
02/29/04 12014.00 11903.00
03/31/04 12105.00 11992.00
04/30/04 11831.00 11680.00
05/31/04 11802.00 11634.00
06/30/04 11875.00 11700.00
</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 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 U.S. Aggregate Index represents securities that are
SEC-registered, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for government
and corporate securities, mortgage pass-through securities, and asset-backed
securities.
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
48
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 PAR VALUE
- ------------- ----------- --------------
AGENCY OBLIGATIONS -- 18.1%
Federal Home Loan Bank
1.20%, 07/01/04 $ 3,700,000 $ 3,700,000
1.04%, 07/16/04 3,440,000 3,438,509
1.17%, 07/16/04 28,800,000 28,786,020
2.75%, 05/15/06 3,000,000 2,990,958
2.75%, 11/15/06+++ 3,000,000 2,969,624
2.88%, 02/15/07 700,000 692,283
6.50%, 08/15/07 2,500,000 2,716,633
4.50%, 09/16/13 50,000 47,952
5.25%, 06/18/14 410,000 411,882
Federal Home Loan Mortgage
Corporation
1.30%, 07/01/04 8,000,000 8,000,000
1.07%, 07/06/04 1,600,000 1,599,762
1.04%, 07/26/04 3,520,000 3,517,445
2.27%, 04/28/06 5,000,000 4,945,975
2.25%, 12/04/06 2,000,000 1,955,886
2.85%, 02/23/07 5,700,000 5,630,956
4.88%, 03/15/07 1,000,000 1,038,577
3.00%, 07/09/08 2,000,000 1,935,736
3.38%, 04/15/09+++ 130,000 125,317
4.25%, 05/04/09+++ 4,000,000 3,969,624
6.63%, 09/15/09+++ 1,500,000 1,659,392
7.00%, 03/15/10 1,600,000 1,804,694
Federal National Mortgage
Association
1.13%, 07/14/04 40,000,000 39,983,678
1.04%, 07/21/04 3,400,000 3,398,147
1.23%, 09/01/04 7,600,000 7,582,786
1.03%, 09/08/04++++ 835,000 832,896
3.66%, 02/25/09 4,600,000 4,511,928
3.85%, 04/14/09 4,000,000 3,944,308
6.63%, 09/15/09 2,500,000 2,765,555
Financing Corporation
Principle STRIPS
5.74%, 11/30/17(omg) 1,130,000 531,182
5.86%, 04/05/19(omg) 620,000 265,250
Resolution Funding
Corporation STRIPS
5.51%, 01/15/17(omg) 5,176,000 2,628,181
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $147,021,907) 148,381,136
--------------
ASSET-BACKED SECURITIES -- 4.3%
Amortizing Residential
Collateral Trust
1.58%, 04/25/32++ 293,174 293,312
AQ Finance NIM Trust
1.95%, 12/25/07 144A@++ 407,778 410,071
1.52%, 01/25/09 144A++ 281,803 281,537
8.74%, 03/25/35 144A@++ 70,818 71,106
Argent Securities, Inc.
1.46%, 10/25/20++ 783,596 784,119
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Bayview Financial
Acquisition Trust
1.68%, 11/25/31 144A++ $ 1,779,000 $ 1,779,988
Centex Home Equity
1.60%, 09/26/33++ 1,788,593 1,790,129
Chase Funding Net Interest
Margin
5.00%, 12/17/33 144A@ 132,300 131,556
6.88%, 06/27/36 144A@ 75,983 75,960
Chesapeake Funding LLC
1.40%, 08/07/08++ 3,100,000 3,105,027
Citibank Credit Card
Issuance Trust
2.17%, 02/09/09++ 670,000 679,839
CitiFinancial Mortgage
Securities, Inc.
1.59%, 08/25/33 STEP 2,119,371 2,120,347
Conseco Finance
Securitizations
Corporation
6.77%, 09/01/32 1,989,805 2,043,472
6.85%, 02/01/33 IO@(omg) 13,554,000 720,508
5.16%, 05/01/33 206,533 208,859
Countrywide Home Equity
Loan Trust
1.50%, 04/15/28++ 357,850 357,535
1.50%, 06/15/29++ 2,335,108 2,332,131
Daimler Chrysler Master
Owner Trust
1.30%, 05/15/07++ 910,000 910,366
EQCC Trust
1.60%, 10/25/31++ 582,910 584,128
Fleet Home Equity Loan
Trust
1.49%, 05/30/31++ 1,233,856 1,232,205
HFC Home Equity Loan
Asset-Backed Certificates
1.63%, 10/20/32++ 1,032,771 1,033,846
1.83%, 10/20/32++ 1,440,255 1,443,727
Household Mortgage Loan
Trust
1.61%, 06/20/33++ 1,317,815 1,320,188
Long Beach Asset Holdings
Corporation
7.26%, 06/15/35 144A@ 87,283 87,992
Madison Avenue Manufactured
Housing Contract
1.65%, 09/25/08++ 2,177,282 2,174,883
Merrill Lynch Mortgage
Investors, Inc.
1.62%, 08/25/09++ 137,996 138,161
Metropolitan Asset Funding,
Inc.
1.76%, 04/25/29 STEP 144A 173,499 173,518
</Table>
See Notes to Financial Statements.
49
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
New Century Home Equity
Loan Trust
7.22%, 11/25/27 $ 183,976 $ 186,099
Nextcard Credit Card Master
Note Trust
6.83%, 12/15/06++ 910,000 137,069
Novastar NIM Trust
7.39%, 07/01/07 144A@ 94,879 94,862
Provident Bank Home Equity
Loan Trust
1.57%, 08/25/31++ 629,219 629,330
Quest Trust
1.29%, 06/25/34 144A@++ 1,400,000 1,397,323
Residential Asset Mortgage
Products, Inc.
1.34%, 03/25/34 STEP 3,414,224 3,412,500
Residential Funding
Mortgage Securities II
8.09%, 03/25/20 79,437 79,456
7.18%, 12/25/22 180,583 180,329
Sail Net Interest Margin
Notes
6.75%, 11/27/33 144A@ 134,528 134,073
Salomon Brothers Mortgage
Securities VII
1.54%, 03/30/28++ 193,149 193,194
1.58%, 09/24/32 STEP 193,029 193,115
Saxon Asset Securities
Trust
1.62%, 06/25/33 STEP 185,384 185,750
Structured Asset Securities
Corporation
1.75%, 02/25/33++ 1,179,418 1,182,590
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 525,357 538,994
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $35,913,479) 34,829,194
--------------
CERTIFICATES OF DEPOSIT -- 0.7%
Wells Fargo Bank NA
1.09%, 07/07/04 (Cost
$5,500,000) 5,500,000 5,500,000
--------------
COMMERCIAL PAPER -- 6.5%
General Electric Capital
Corporation
1.30%, 09/08/04 7,500,000 7,479,875
1.46%, 09/14/04 800,000 797,622
HBOS Treasury Services PLC
1.35%, 09/07/04 7,600,000 7,579,960
KFW International Finance,
Inc.
1.10%, 08/10/04 5,200,000 5,193,271
1.91%, 08/10/04 7,700,000 7,690,034
1.11%, 08/23/04 7,600,000 7,584,938
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Nestle Capital Corporation
1.11%, 08/25/04 $ 1,200,000 $ 1,197,584
1.13%, 08/30/04 600,000 598,636
1.24%, 09/14/04 400,000 398,811
Royal Bank of Scotland PLC
1.24%, 09/13/04 1,800,000 1,799,651
Shell Finance UK PLC
1.35%, 08/27/04 4,600,000 4,590,168
Spintab AB
1.26%, 09/08/04 5,300,000 5,285,473
Swedbank
1.15%, 09/01/04 2,900,000 2,893,013
Total Capital SA
1.07%, 07/23/04 600,000 599,604
--------------
TOTAL COMMERCIAL PAPER
(Cost $53,693,947) 53,688,640
--------------
CORPORATE BONDS -- 13.9%
Ace Capital Trust II
9.70%, 04/01/30+++ 60,000 79,111
Ace INA Holdings, Inc.
8.20%, 08/15/04 550,000 553,903
8.30%, 08/15/06 550,000 603,589
5.88%, 06/15/14 250,000 253,396
AES Corporation (The)
10.00%, 07/15/05 144A 68,660 70,548
9.50%, 06/01/09+++ 42,000 45,098
9.38%, 09/15/10+++ 10,000 10,713
AGCO Corporation
9.50%, 05/01/08 67,000 73,365
Allied Waste North America
8.88%, 04/01/08+++ 265,000 291,500
American Standard, Inc.
7.38%, 02/01/08+++ 170,000 184,450
AmerisourceBergen
Corporation
8.13%, 09/01/08 80,000 86,600
AMFM, Inc.
8.00%, 11/01/08 1,600,000 1,818,152
Anthem Insurance Cos., Inc.
9.13%, 04/01/10 144A@ 100,000 122,797
ANZ Capital Trust I
4.48%, 01/29/49 144A 350,000 340,454
5.36%, 12/29/49 144A+++ 800,000 766,690
Apache Corporation
6.25%, 04/15/12+++ 340,000 370,369
Assurant, Inc.
6.75%, 02/15/34 144A 575,000 570,835
Astoria Financial
Corporation
5.75%, 10/15/12 450,000 450,380
AT&T Wireless Services,
Inc.
7.88%, 03/01/11 100,000 113,896
8.13%, 05/01/12 135,000 156,312
8.75%, 03/01/31 150,000 183,407
Bank One Corporation
4.13%, 09/01/07 1,100,000 1,113,577
</Table>
See Notes to Financial Statements.
50
<Table>
<Caption>
PAR VALUE
----------- --------------
Bank United Corporation
8.88%, 05/01/07 $ 125,000 $ 141,411
BellSouth Capital Funding
7.88%, 02/15/30 460,000 534,567
BellSouth Corporation
6.88%, 10/15/31 10,000 10,450
Boeing Co. (The)
6.63%, 02/15/38 210,000 215,150
Calpine Corporation
7.75%, 04/15/09 96,000 61,440
8.50%, 02/15/11+++ 519,000 341,243
Cendant Corporation
6.25%, 01/15/08+++ 150,000 160,088
CenterPoint Energy
Resources Corporation
7.88%, 04/01/13 50,000 56,035
5.95%, 01/15/14 1,025,000 1,009,496
Charter Communications
Operating LLC
8.00%, 04/30/12 144A@+++ 250,000 243,125
Chesapeake Energy
Corporation
9.00%, 08/15/12 61,000 68,930
Cincinnati Bell, Inc.
7.25%, 07/15/13 100,000 94,000
Citigroup, Inc.
5.00%, 03/06/07+++ 2,200,000 2,283,447
Cleveland Electric
Illuminating Co. (The)
5.65%, 12/15/13 144A 60,000 58,492
7.88%, 11/01/17 2,050,000 2,370,654
CNA Financial Corporation
6.50%, 04/15/05 100,000 102,676
6.75%, 11/15/06 180,000 190,653
6.95%, 01/15/18 40,000 40,356
7.25%, 11/15/23 50,000 50,331
Comcast Cable
Communications Holdings,
Inc.
8.38%, 03/15/13 300,000 352,745
9.46%, 11/15/22 525,000 676,477
Comcast Cable
Communications, Inc.
8.38%, 05/01/07 650,000 726,913
6.75%, 01/30/11+++ 740,000 799,585
ConocoPhillips
8.75%, 05/25/10 230,000 278,317
7.00%, 03/30/29 255,000 282,854
ConocoPhillips Holding Co.
6.95%, 04/15/29 1,060,000 1,170,611
Cox Communications, Inc.
7.13%, 10/01/12+++ 75,000 82,326
4.63%, 06/01/13+++ 170,000 157,201
5.50%, 10/01/15+++ 55,000 53,009
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Credit Suisse First Boston
USA, Inc.
4.63%, 01/15/08 $ 600,000 $ 611,671
CSC Holdings, Inc.
7.63%, 04/01/11 530,000 533,975
6.75%, 04/15/12 144A+++ 60,000 57,900
DaimlerChrysler NA Holding
Corporation
7.40%, 01/20/05 1,700,000 1,746,254
7.30%, 01/15/12+++ 550,000 601,178
6.50%, 11/15/13+++ 210,000 215,676
Delta Air Lines, Inc.
6.42%, 07/02/12+++ 400,000 414,000
6.72%, 01/02/23 745,532 767,846
Devon Energy Corporation
7.95%, 04/15/32 725,000 839,988
Devon Financing Corporation
ULC
6.88%, 09/30/11 60,000 65,413
Dex Media West LLC/Dex
Media Finance Co.
8.50%, 08/15/10 144A+++ 100,000 109,500
Dominion Resources, Inc.
4.13%, 02/15/08 70,000 69,953
5.13%, 12/15/09 230,000 233,162
5.70%, 09/17/12 310,000 315,820
Dryden Investor Trust
7.16%, 07/23/08@ 1,639,251 1,741,081
Dynegy Holdings, Inc.
8.75%, 02/15/12+++ 910,000 869,050
Eastman Kodak Co.
7.25%, 11/15/13+++ 120,000 122,225
Echostar DBS Corporation
4.36%, 10/01/08 144A++ 103,000 107,635
5.75%, 10/01/08 144A+++ 500,000 495,625
9.13%, 01/15/09 69,000 75,986
El Paso Corporation
8.34%, 02/28/21
CONV(omg)+++ 990,000 478,913
8.05%, 10/15/30+++ 600,000 492,000
7.80%, 08/01/31+++ 1,150,000 928,624
7.75%, 01/15/32+++ 1,030,000 831,725
El Paso Natural Gas Co.
8.38%, 06/15/32 210,000 201,600
EOP Operating LP
7.75%, 11/15/07 100,000 111,060
Firstar Bank NA
7.13%, 12/01/09 170,000 191,674
FirstEnergy Corporation
5.50%, 11/15/06 600,000 621,056
6.45%, 11/15/11 170,000 176,506
7.38%, 11/15/31+++ 1,700,000 1,777,202
Ford Motor Co.
6.63%, 10/01/28 700,000 614,713
6.38%, 02/01/29 675,000 572,064
</Table>
See Notes to Financial Statements.
51
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Ford Motor Credit Co.
6.70%, 07/16/04 $ 1,000,000 $ 1,001,435
7.38%, 10/28/09+++ 100,000 106,840
7.88%, 06/15/10+++ 590,000 642,722
7.38%, 02/01/11 320,000 337,964
7.00%, 10/01/13+++ 1,850,000 1,870,663
Fresenius Medical Care
Capital Trust II
7.88%, 02/01/08 230,000 243,225
GATX Financial Corporation
6.00%, 11/19/08 325,000 330,538
General Electric Capital
Corporation
5.45%, 01/15/13+++ 1,710,000 1,736,712
General Electric Co.
5.00%, 02/01/13 90,000 88,728
General Motors Acceptance
Corporation
5.25%, 05/16/05 1,100,000 1,124,869
2.40%, 10/20/05++ 1,700,000 1,714,452
7.25%, 03/02/11 310,000 325,784
8.00%, 11/01/31 675,000 693,539
Georgia-Pacific Corporation
8.13%, 05/15/11 4,000 4,440
9.50%, 12/01/11+++ 46,000 54,280
9.38%, 02/01/13 4,000 4,600
8.88%, 05/15/31 64,000 68,640
Greenpoint Financial
Corporation
3.20%, 06/06/08 350,000 337,087
HCA, Inc.
6.75%, 07/15/13+++ 1,100,000 1,128,710
Host Marriott LP
9.50%, 01/15/07 500,000 548,750
9.25%, 10/01/07+++ 32,000 35,440
Household Finance
Corporation
8.00%, 07/15/10 780,000 906,211
7.00%, 05/15/12 690,000 763,364
6.38%, 11/27/12+++ 110,000 116,821
IMC Global, Inc.
10.88%, 06/01/08 119,000 138,933
10.88%, 08/01/13 50,000 59,875
Indiana Michigan Power Co.
6.88%, 07/01/04 2,000,000 2,000,000
Insight Midwest LP/Insight
Capital, Inc.
10.50%, 11/01/10 179,000 196,005
International Paper Co.
5.50%, 01/15/14 135,000 132,402
iStar Financial, Inc.
5.70%, 03/01/14 144A@+++ 525,000 495,409
J.P. Morgan Chase & Co.
6.63%, 03/15/12+++ 320,000 346,543
JPM Capital Trust II
7.95%, 02/01/27+++ 700,000 754,881
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Kansas City Southern
Railway
9.50%, 10/01/08 $ 119,000 $ 129,859
Kellogg Co.
6.60%, 04/01/11 500,000 549,186
Lamar Media Corporation
7.25%, 01/01/13 100,000 102,250
Lear Corporation
7.96%, 05/15/05 86,000 89,693
Lehman Brothers Holdings, Inc.
8.25%, 06/15/07 100,000 112,523
4.00%, 01/22/08 70,000 69,916
Liberty Media Corporation
3.02%, 09/17/06++ +++ 1,390,000 1,416,105
3.75%, 02/15/30 CONV 40,000 26,350
Liberty Mutual Group
5.75%, 03/15/14 144A+++ 250,000 241,703
7.00%, 03/15/34 144A+++ 75,000 73,107
Lockheed Martin Corporation
8.50%, 12/01/29 190,000 239,033
Lyondell Chemical Co.
9.88%, 05/01/07+++ 500,000 525,000
MacDermid, Inc.
9.13%, 07/15/11 111,000 124,320
Manor Care, Inc.
8.00%, 03/01/08 130,000 144,463
MeadWestvaco Corporation
6.85%, 04/01/12+++ 295,000 316,928
Mediacom LLC/Mediacom
Capital Corporation
9.50%, 01/15/13+++ 500,000 485,000
Merrill Lynch & Co., Inc.
3.38%, 09/14/07+++ 420,000 416,100
Millennium America, Inc.
7.00%, 11/15/06 50,000 51,625
9.25%, 06/15/08+++ 30,000 32,400
Nabisco, Inc.
7.55%, 06/15/15 1,530,000 1,761,382
Nextel Communications, Inc.
9.38%, 11/15/09 250,000 268,438
9.50%, 02/01/11 160,000 180,000
5.95%, 03/15/14 250,000 231,250
Niagara Mohawk Power
Corporation
7.75%, 10/01/08 1,340,000 1,509,760
Omnicare, Inc.
8.13%, 03/15/11 239,000 256,925
Oncor Electric Delivery Co.
6.38%, 01/15/15 140,000 147,718
Pacific Energy Partners LP
7.13%, 06/15/14 144A 70,000 71,400
Pacific Gas & Electric Co.
1.81%, 04/03/06++ 1,700,000 1,701,151
6.05%, 03/01/34 460,000 434,092
Patrons' Legacy
5.65%, 01/17/17 144A@ 640,000 631,348
</Table>
See Notes to Financial Statements.
52
<Table>
<Caption>
PAR VALUE
----------- --------------
Peabody Energy Corporation
6.88%, 03/15/13+++ $ 165,000 $ 167,888
Pemex Project Funding
Master Trust
9.13%, 10/13/10 1,075,000 1,236,250
Penney (JC) Co., Inc.
8.00%, 03/01/10+++ 176,000 197,560
PHH Corporation
7.13%, 03/01/13 200,000 218,777
Pioneer Natural Resources
Co.
7.50%, 04/15/12 133,000 150,838
Plains Exploration &
Production Co.
7.13%, 06/15/14 144A 100,000 102,250
Pliant Corporation
11.13%, 06/15/09 STEP
144A+++ 250,000 211,875
Popular North America, Inc.
6.13%, 10/15/06 200,000 211,039
4.25%, 04/01/08+++ 300,000 300,093
3.88%, 10/01/08+++ 250,000 244,984
PP&L Capital Funding Trust
I
7.29%, 05/18/06 1,400,000 1,470,487
PP&L Capital Funding, Inc.
7.75%, 04/15/05 700,000 725,622
Premium Asset Trust
1.62%, 11/27/04 144A@++ 2,000,000 2,001,659
Pride International, Inc.
7.38%, 07/15/14 144A 130,000 131,950
Prudential Funding LLC
6.60%, 05/15/08 144A 600,000 654,866
PVNGS II Funding
Corporation, Inc.
8.00%, 12/30/15 1,800,000 2,010,014
Qwest Capital Funding, Inc.
7.25%, 02/15/11+++ 200,000 172,000
Qwest Corporation
5.63%, 11/15/08 600,000 589,500
9.13%, 03/15/12 144A 250,000 271,250
7.50%, 06/15/23 500,000 443,750
Rabobank Capital Funding II
5.26%, 12/29/49 144A++ 1,100,000 1,066,407
Raytheon Co.
6.00%, 12/15/10 20,000 21,145
5.50%, 11/15/12 10,000 10,108
5.38%, 04/01/13 115,000 114,873
Ryland Group, Inc.
9.75%, 09/01/10 136,000 151,640
Safeco Corporation
4.20%, 02/01/08 450,000 458,871
Sara Lee Corporation
6.25%, 09/15/11 240,000 259,793
3.88%, 06/15/13 150,000 136,220
Schuler Homes, Inc.
9.38%, 07/15/09 38,000 41,895
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Simon Property Group LP
7.38%, 01/20/06 $ 900,000 $ 960,729
SLM Corporation
2.82%, 04/01/09++ 1,100,000 1,078,946
Sonat, Inc.
7.63%, 07/15/11+++ 460,000 412,850
Southern California Edison
Co.
6.38%, 01/15/06 500,000 523,036
Southern Natural Gas Co.
8.88%, 03/15/10 130,000 142,675
8.00%, 03/01/32+++ 400,000 378,000
Sovereign Bancorp, Inc.
10.50%, 11/15/06 150,000 171,943
Sovereign Bank
5.13%, 03/15/13 50,000 47,612
4.38%, 08/01/13++ 425,000 420,121
Sprint Capital Corporation
4.78%, 08/17/06 STEP 910,000 928,075
6.00%, 01/15/07 340,000 356,265
6.13%, 11/15/08 310,000 326,158
8.38%, 03/15/12 300,000 345,299
6.88%, 11/15/28 575,000 554,310
SPX Corporation
7.50%, 01/01/13 75,000 77,250
Systems 2001 Asset Trust
LLC
6.66%, 09/15/13 144A 1,006,410 1,086,012
Target Corporation
5.88%, 03/01/12+++ 560,000 592,898
TCI Communications
Financing III
9.65%, 03/31/27 2,610,000 3,083,740
Tenet Healthcare
Corporation
7.38%, 02/01/13+++ 170,000 154,700
Tennessee Valley Authority
6.75%, 11/01/25 1,420,000 1,582,012
7.13%, 05/01/30+++ 3,360,000 3,917,176
Time Warner Entertainment
Co. LP
8.38%, 03/15/23 100,000 116,991
8.38%, 07/15/33 320,000 375,709
Time Warner, Inc.
6.88%, 05/01/12+++ 110,000 119,046
7.70%, 05/01/32 1,310,000 1,435,384
Triton PCS, Inc.
8.75%, 11/15/11+++ 500,000 415,000
TXU Energy Co.
7.00%, 03/15/13+++ 150,000 163,611
Tyson Foods, Inc.
7.25%, 10/01/06 100,000 107,762
8.25%, 10/01/11 400,000 460,053
Unilever Capital
Corporation
7.13%, 11/01/10 760,000 860,886
Union Pacific Corporation
6.65%, 01/15/11+++ 260,000 284,360
</Table>
See Notes to Financial Statements.
53
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Unisys Corporation
6.88%, 03/15/10+++ $ 128,000 $ 132,480
United Air Lines, Inc.
9.21%, 01/21/17@# 200,000 80,605
9.56%, 10/19/18@# 300,000 153,581
United Telephone Co. of
Kansas
6.89%, 07/01/08@ 500,000 527,305
Ventas Realty LP
8.75%, 05/01/09 70,000 75,950
9.00%, 05/01/12 20,000 22,000
Verizon Global Funding
Corporation
6.88%, 06/15/12 160,000 174,834
4.38%, 06/01/13+++ 390,000 358,594
Verizon New York, Inc.
6.88%, 04/01/12 275,000 295,275
Verizon Wireless Capital
LLC
1.35%, 05/23/05 144A++ 1,200,000 1,199,178
Vintage Petroleum, Inc.
8.25%, 05/01/12 250,000 266,250
Washington Mutual, Inc.
8.25%, 04/01/10 250,000 291,440
Waste Management, Inc.
7.75%, 05/15/32 980,000 1,119,210
Wells Fargo & Co.
5.00%, 11/15/14 900,000 871,560
Wells Fargo Bank NA
6.45%, 02/01/11 1,260,000 1,375,621
Westlake Chemical
Corporation
8.75%, 07/15/11 35,000 38,150
Westport Resources
Corporation
8.25%, 11/01/11 144A 20,000 22,725
8.25%, 11/01/11 40,000 45,450
Weyerhaeuser Co.
6.00%, 08/01/06 200,000 210,525
6.75%, 03/15/12+++ 410,000 444,681
6.88%, 12/15/33 215,000 221,061
Williams Cos., Inc.
7.50%, 01/15/31+++ 270,000 245,700
7.75%, 06/15/31 200,000 184,000
8.75%, 03/15/32+++ 1,130,000 1,135,650
Xerox Corporation
7.13%, 06/15/10+++ 250,000 256,250
XTO Energy, Inc.
7.50%, 04/15/12 83,000 93,794
6.25%, 04/15/13 215,000 224,033
--------------
TOTAL CORPORATE BONDS
(Cost $110,162,003) 113,829,801
--------------
FOREIGN BONDS -- 9.8%
AUSTRALIA -- 0.1%
QBE Insurance Group, Ltd.
5.65%, 07/01/23 144A++ 700,000 667,053
TXU Australia Holdings
Partnership LP
6.15%, 11/15/13 144A 200,000 208,725
--------------
875,778
--------------
BAHAMAS -- 0.0%
Teekay Shipping Corporation
8.88%, 07/15/11+++ 206,000 228,918
--------------
BERMUDA -- 0.7%
Arch Capital Group, Ltd.
7.35%, 05/01/34 550,000 555,317
Intelsat, Ltd.
6.50%, 11/01/13+++ 110,000 97,340
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Tyco International Group SA
6.38%, 02/15/06 $ 100,000 $ 105,031
5.80%, 08/01/06 800,000 834,724
6.13%, 11/01/08+++ 90,000 95,840
6.75%, 02/15/11 550,000 598,420
6.00%, 11/15/13 144A+++ 2,920,000 3,007,153
--------------
5,293,825
--------------
BRAZIL -- 1.0%
Federal Republic of Brazil
2.06%, 04/15/06++ 704,000 694,639
14.50%, 10/15/09+++ 900,000 1,048,500
12.00%, 04/15/10 410,000 438,700
2.13%, 04/15/12++ 141,177 118,886
2.19%, 04/15/12 414,119 350,707
8.00%, 04/15/14 2,380,726 2,186,622
10.13%, 05/15/27 800,000 716,000
11.00%, 08/17/40+++ 2,275,000 2,147,031
--------------
7,701,085
--------------
BULGARIA -- 0.2%
Republic of Bulgaria
2.00%, 07/28/11++ 629,800 629,976
8.25%, 01/15/15 144A 260,000 302,250
8.25%, 01/15/15 480,000 561,722
--------------
1,493,948
--------------
CANADA -- 0.5%
Abitibi-Consolidated, Inc.
8.55%, 08/01/10 32,000 33,902
5.02%, 06/15/11 144A++
+++ 10,000 10,075
Bombardier Capital Funding
LP
6.13%, 05/14/07(E) 250,000 292,788
Bombardier, Inc.
6.30%, 11/01/04 144A+++ 125,000 106,353
7.45%, 05/01/34 144A+++ 200,000 165,111
Cascades, Inc.
7.25%, 02/15/13+++ 199,000 199,000
</Table>
See Notes to Financial Statements.
54
<Table>
<Caption>
PAR VALUE
----------- --------------
Conoco Funding Co.
7.25%, 10/15/31 $ 315,000 $ 360,731
General Motors Nova Scotia
Finance Co.
6.85%, 10/15/08 1,670,000 1,752,465
Hydro Quebec
6.30%, 05/11/11+++ 430,000 468,958
Rogers Cable, Inc.
5.50%, 03/15/14 144A+++ 550,000 488,709
Rogers Wireless, Inc.
6.38%, 03/01/14@ 100,000 92,500
Sun Media Corporation
7.63%, 02/15/13 50,000 51,250
Western Oil Sands, Inc.
8.38%, 05/01/12 95,000 103,550
--------------
4,125,392
--------------
CAYMAN ISLANDS -- 0.1%
ACE, Ltd.
6.00%, 04/01/07 350,000 369,943
Mizuho Financial Group
(Cayman), Ltd.
5.00%, 04/15/14 144A 500,000 492,400
--------------
862,343
--------------
COLOMBIA -- 0.1%
Republic of Colombia
10.50%, 07/09/10 60,000 64,500
11.75%, 02/25/20 605,000 663,988
--------------
728,488
--------------
DOMINICAN REPUBLIC -- 0.0%
Dominican Republic
9.50%, 09/27/06 210,000 150,150
--------------
FRANCE -- 0.1%
Compagnie Generale de
Geophysique SA
10.63%, 11/15/07+++ 43,000 46,010
France Telecom
9.00%, 03/01/11+++ 450,000 522,147
Legrand SA
8.50%, 02/15/25 250,000 258,750
Vivendi Universal SA
6.25%, 07/15/08 90,000 95,880
--------------
922,787
--------------
GERMANY -- 3.8%
Bundesobligation
3.25%, 04/17/09(E) 620,000 743,872
Deutsche Bundesrepublik
3.75%, 01/04/09(E) 10,010,000 12,307,516
5.25%, 07/04/10(E) 3,500,000 4,574,234
4.50%, 01/04/13(E) 5,300,000 6,590,982
5.50%, 01/04/31(E) 4,890,000 6,470,771
--------------
30,687,375
--------------
IRELAND -- 0.0%
Eircom Funding
8.25%, 08/15/13 130,000 135,850
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
ITALY -- 0.1%
Republic of Italy
5.00%, 12/15/04(J) $14,000,000 $ 131,155
Telecom Italia Capital SA
5.25%, 11/15/13 144A+++ 325,000 315,122
--------------
446,277
--------------
JAPAN -- 0.3%
ASIF II
1.20%, 01/26/05(J) 229,000,000 2,110,540
Citigroup, Inc.
1.28%, 12/28/04(J) 9,000,000 82,927
--------------
2,193,467
--------------
LUXEMBOURG -- 0.0%
Gaz Capital SA
8.63%, 04/28/34 144A+++ 150,000 146,063
--------------
MALAYSIA -- 0.1%
Petronas Capital, Ltd.
7.88%, 05/22/22 144A+++ 430,000 477,168
--------------
MEXICO -- 1.2%
America Movil SA de CV
4.13%, 03/01/09 144A+++ 950,000 894,643
5.50%, 03/01/14 144A+++ 350,000 323,291
Mexican Fixed Rate Bonds
8.00%, 12/19/13(M) 17,200,000 1,260,556
Telefonos de Mexico SA de
CV
8.25%, 01/26/06 650,000 698,147
United Mexican States
7.50%, 01/14/12 750,000 810,000
8.30%, 08/15/31 400,000 420,000
7.50%, 04/08/33 5,892,000 5,718,185
--------------
10,124,822
--------------
NETHERLANDS -- 0.2%
Deutsche Telekom
International Finance BV
5.25%, 07/22/13+++ 595,000 580,278
8.75%, 06/15/30 700,000 854,447
TPSA Finance BV
7.75%, 12/10/08 144A 375,000 415,253
--------------
1,849,978
--------------
PANAMA -- 0.2%
Republic of Panama
8.25%, 04/22/08+++ 520,000 564,200
9.63%, 08/08/11+++ 110,000 122,375
10.75%, 05/15/20 397,000 446,625
9.38%, 01/16/23 550,000 563,750
--------------
1,696,950
--------------
</Table>
See Notes to Financial Statements.
55
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
PERU -- 0.1%
Republic of Peru
9.13%, 02/21/12 $ 150,000 $ 154,500
8.38%, 05/03/16 280,000 261,800
5.00%, 03/07/17++ 118,300 103,239
5.00%, 03/07/17 144A++ 546,000 466,830
8.75%, 11/21/33 60,000 52,980
--------------
1,039,349
--------------
PHILIPPINES -- 0.0%
Republic of Philippines
9.88%, 01/15/19 65,000 65,000
--------------
RUSSIA -- 0.6%
Ministry Finance of Russia
3.00%, 05/14/08 1,440,000 1,263,984
Russian Federation
8.25%, 03/31/10 70,000 76,209
5.00%, 03/31/30 STEP 4,250,000 3,890,875
--------------
5,231,068
--------------
SOUTH KOREA -- 0.0%
Export-Import Bank of Korea
5.25%, 02/10/14 144A 235,000 225,795
Korea Assset Funding, Ltd.
3.22%, 02/10/09 144A@++ 96,549 96,549
--------------
322,344
--------------
SUPRANATIONAL -- 0.2%
European Investment Bank
0.88%, 11/08/04(J) 21,000,000 193,027
International Bank for
Reconstruction &
Development
4.75%, 12/20/04(J) 135,000,000 1,264,322
--------------
1,457,349
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
UNITED KINGDOM -- 0.2%
BP Capital Markets PLC
2.75%, 12/29/06+++ $ 740,000 $ 731,010
British Telecommunications
PLC
8.88%, 12/15/30 150,000 185,588
HSBC Capital Funding LP
4.61%, 12/29/49 144A@++
+++ 1,090,000 990,853
--------------
1,907,451
--------------
VENEZUELA -- 0.0%
Petrozuata Finance, Inc.
8.22%, 04/01/17 144A+++ 140,000 131,600
--------------
TOTAL FOREIGN BONDS
(Cost $78,489,051) 80,294,825
--------------
MORTGAGE-BACKED SECURITIES -- 33.0%
ABN Amro Mortgage
Corporation
8.33%, 06/25/33 IO@(omg) 1,110,963 163,079
ARC Net Interest Margin
Trust
7.75%, 01/27/32 144A@ 5,027 5,027
7.75%, 07/27/32 144A@ 22,462 22,594
Bear Stearns Adjustable
Rate Mortgage Trust
5.64%, 02/25/33++ 759,221 761,760
3.52%, 06/25/34 2,900,000 2,763,155
Bear Stearns Alt-A Trust
1.62%, 02/25/34 STEP 930,594 932,339
Bear Stearns Commercial
Mortgage Services
Corporation
11.03%, 03/13/40 IO
144A@++(omg) 7,600,000 448,411
Chevy Chase Funding LLC
1.47%, 07/25/34++ 2,739,559 2,742,884
Commerical Mortgage Asset
Trust
7.55%, 01/17/10++ 440,000 497,051
Credit-Based Asset
Servicing and
Securitization
1.59%, 08/25/33++ 751,280 752,200
CS First Boston Mortgage
Securities Corporation
13.18%, 04/25/33 IO@(omg) 314,847 21,361
3.51%, 05/25/33 IO@(omg) 276,824 28,211
14.81%, 06/25/33 IO@(omg) 269,978 19,011
10.43%, 07/25/33 IO@(omg) 1,105,403 198,887
16.83%, 07/25/33
IO@++(omg) 1,510,935 17,048
17.03%, 08/25/33
IO@++(omg) 1,669,584 13,755
1.63%, 03/25/34++ 890,863 892,271
Federal Home Loan Mortgage
Corporation
8.00%, 10/01/07 1,373 1,384
5.50%, 08/15/14 1,900,418 1,947,764
7.00%, 11/01/14 329,103 349,190
7.00%, 04/01/15 196,320 208,303
8.00%, 06/01/15 12,720 12,816
7.00%, 12/01/15 161,492 171,362
6.00%, 04/15/16 753,711 770,328
8.50%, 06/01/16 33,204 36,630
8.50%, 06/01/18 25,796 28,457
5.50%, 07/01/19 TBA 600,000 612,937
0.09%, 04/15/22 PO
STRIP@(omg) 94,124 93,888
8.00%, 08/01/24 21,663 23,703
7.50%, 11/01/29 67,113 72,328
7.50%, 12/01/29 103,992 112,072
7.50%, 02/01/31 144,390 155,541
11.57%, 08/15/31 IO@(omg) 1,099,912 154,493
</Table>
See Notes to Financial Statements.
56
<Table>
<Caption>
PAR VALUE
----------- --------------
7.50%, 11/01/31 $ 89,113 $ 95,978
5.00%, 07/01/34 TBA 3,500,000 3,377,500
6.50%, 07/01/34 TBA 29,000,000 30,214,375
7.00%, 07/01/34 TBA 1,000,000 1,054,375
Federal Housing
Administration
7.43%, 10/01/18 432,260 434,421
Federal National Mortgage
Association
6.50%, 04/26/06 500,000 523,512
6.50%, 09/01/08 308,106 326,196
31.03%, 10/25/08
IO@++(omg) 906,708 142,446
6.50%, 12/01/08 30,999 32,213
6.50%, 05/01/09 80,050 84,816
6.50%, 08/01/09 423,305 448,160
6.50%, 03/25/11 3,018,873 3,050,858
8.00%, 06/01/15 145,587 155,555
8.00%, 06/15/15 110,721 118,302
8.00%, 07/01/15 341,347 364,719
8.00%, 09/01/15 203,562 217,500
6.00%, 10/25/15 1,152,263 1,172,794
6.00%, 05/01/16 493,256 514,695
6.00%, 07/01/16 121,616 126,901
6.00%, 02/01/17 878,418 916,317
5.00%, 12/01/17 271,575 272,498
5.50%, 02/01/18 455,570 467,029
4.50%, 07/01/19 TBA 4,500,000 4,395,938
5.00%, 08/01/19 TBA 19,000,000 18,952,500
(0.51%), 08/25/21
IO@(omg) 680 15,597
(2.44%), 10/25/21
IO@(omg) 1,240 25,168
17.97%, 01/25/22@++ 613,908 740,142
4.36%, 03/25/22++ 852,832 863,292
9.50%, 05/01/22 16,882 19,033
3.06%, 07/01/22 89,008 90,625
7.00%, 09/25/22 404,075 404,525
7.00%, 12/25/22 638,894 640,343
6.00%, 01/01/23 371,329 383,329
9.50%, 07/01/24 35,240 39,663
3.07%, 07/01/27++ 87,682 89,351
3.07%, 11/01/27 CONV++ 188,934 192,529
6.50%, 06/01/28 6,323 6,594
6.50%, 12/25/28 355,730 361,435
8.00%, 10/01/30 259,224 281,855
1.71%, 10/18/30++ 202,002 202,960
3.07%, 01/01/31++ 68,848 70,143
6.17%, 05/01/31++ 159,162 160,756
6.50%, 12/01/31 482,143 502,807
10.99%, 12/25/31 IO@(omg) 989,507 129,388
6.00%, 01/01/32 277,335 283,722
6.00%, 03/01/32 826,840 846,299
8.00%, 03/01/32 29,675 32,095
6.00%, 04/01/32 1,676,901 1,714,962
6.50%, 05/01/32 70,177 73,123
3.07%, 06/01/32++ 90,634 92,275
3.06%, 08/01/32++ 100,552 102,372
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
5.36%, 08/01/32++ $ 1,165,552 $ 1,202,992
3.06%, 05/01/33++ 186,181 189,570
4.50%, 08/01/33 3,613,673 3,384,525
6.00%, 07/01/34 TBA 5,200,000 5,307,250
6.50%, 07/01/34 19,000,000 19,777,823
4.63%, 08/01/35++ 639,561 660,359
3.07%, 11/01/35++ 89,713 91,724
4.14%, 05/01/36++ 1,089,253 1,124,855
4.58%, 07/01/36++ 1,615,854 1,668,576
3.07%, 12/01/37++ 354,075 362,092
3.07%, 01/01/38++ 185,859 190,086
3.07%, 11/01/40++ 199,619 204,196
FFCA Secured Lending
Corporation
29.54%, 07/18/20 IO
144A@++(omg) 3,781,393 179,616
Financial Asset
Securitization, Inc.
7.25%, 07/25/27 107,110 106,990
First Nationwide Trust
8.50%, 09/25/31 125,424 126,765
First Union Commercial
Mortgage Securities, Inc.
7.38%, 04/18/07 6,184,754 6,632,390
First Union National Bank
Commercial Mortgage Trust
7.20%, 09/15/10 1,500,000 1,681,233
GMAC Commercial Mortgage
Securities, Inc.
6.87%, 08/15/07 534,303 572,400
Government National
Mortgage Association
7.00%, 10/15/25 98,538 105,169
7.00%, 01/15/26 87,153 92,937
7.00%, 07/15/27 567,077 604,158
6.00%, 09/20/27 528,078 529,061
7.00%, 12/15/27 6,714 7,153
7.00%, 01/15/28 73,007 77,700
7.00%, 03/15/28 778,449 829,413
(8.94%), 06/20/28
IO@(omg) 283,728 4,927
7.00%, 07/15/28 106,276 113,107
7.50%, 07/15/28 94,196 101,674
6.50%, 08/15/28 107,708 112,835
7.00%, 08/15/28 120,827 128,593
7.50%, 08/15/28 101,683 109,754
6.50%, 09/15/28 362,888 380,162
6.00%, 09/20/28 409,905 412,451
7.00%, 10/15/28 177,329 188,726
7.50%, 12/15/28 32,727 35,325
6.00%, 02/20/29 259,892 262,305
7.50%, 03/15/29 186,173 201,017
7.50%, 11/15/29 177,712 191,825
4.00%, 11/20/29++ 481,070 483,690
7.50%, 02/15/30 29,956 32,323
8.50%, 08/15/30 21,278 23,342
</Table>
See Notes to Financial Statements.
57
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
6.50%, 08/20/30 $ 298,485 $ 301,634
8.50%, 11/20/30 157,246 171,867
7.50%, 02/15/31 67,132 72,353
6.50%, 08/15/31 754,752 789,565
7.50%, 08/15/31 483,170 520,748
6.50%, 10/15/31 1,174,376 1,228,606
6.00%, 11/15/31 1,755,739 1,801,864
6.50%, 11/15/31 828,771 866,998
6.00%, 12/15/31 828,118 849,874
6.00%, 01/15/32 1,377,471 1,414,415
6.00%, 02/15/32 1,652,945 1,696,369
6.50%, 02/15/32 1,565,987 1,638,202
7.50%, 02/15/32 47,898 51,626
31.72%, 02/16/32@++ 573,674 751,948
6.00%, 04/15/32 1,546,941 1,588,429
6.50%, 04/15/32 1,442,627 1,509,168
7.50%, 04/15/32 406,351 437,976
6.50%, 06/15/32 4,600,966 4,813,125
6.50%, 07/15/32 741,342 775,537
6.50%, 08/15/32 3,084,195 3,226,455
6.50%, 09/15/32 2,270,493 2,375,219
6.00%, 10/15/32 1,566,964 1,608,130
6.00%, 11/15/32 2,102,192 2,157,655
6.00%, 12/15/32 846,150 868,379
6.50%, 12/15/32 94,357 98,709
6.00%, 01/15/33 848,007 870,285
6.00%, 02/15/33 653,232 670,393
6.50%, 03/15/33 828,924 867,158
6.50%, 04/15/33 5,500,421 5,754,128
6.00%, 05/15/33 7,706,250 7,908,701
6.50%, 05/15/33 775,644 811,421
6.00%, 06/15/33 842,876 865,019
5.00%, 07/22/33 20,000,000 19,375,000
5.00%, 08/15/33 1,888,602 1,833,479
5.00%, 09/15/33 2,308,713 2,241,328
5.00%, 10/15/33 697,061 676,716
6.00%, 10/15/33 2,615,252 2,683,957
6.50%, 10/15/33 888,209 929,178
6.00%, 12/15/33 2,876,717 2,952,291
5.00%, 07/01/34 TBA 1,100,000 1,065,625
5.50%, 07/01/34 TBA 15,000,000 14,971,875
6.00%, 07/01/34 TBA 15,000,000 15,356,251
Impac CMB Trust
1.58%, 08/25/32++ 1,214,073 1,215,176
1.76%, 03/25/33++ 751,528 754,509
Indymac ARM Trust
6.36%, 09/28/31++ 188,859 190,735
JP Morgan Chase Commercial
Mortgage Securities
Corporation
11.73%, 01/15/38 IO
144A@++(omg) 8,300,000 409,244
LB-UBS Commercial Mortgage
Trust
6.26%, 06/15/36 IO
144A@++(omg) 5,355,144 279,176
3.33%, 04/15/37 IO
144A@++(omg) 6,500,000 259,541
Lomas & Nettleton Financial
Corporation
9.50%, 10/01/14 7,967 8,000
Merrill Lynch Mortgage
Investors, Inc.
5.32%, 05/25/32++ 202,415 206,244
MLCC Mortgage Investors,
Inc.
1.59%, 03/25/28++ 407,496 410,138
1.69%, 03/25/28++ 1,140,988 1,144,558
1.63%, 01/01/49++ 855,164 858,290
Nomura Asset Securities
Corporation
7.07%, 04/13/36 470,051 485,390
7.12%, 04/13/36 2,000,000 2,116,332
Prudential Commercial
Mortgage Trust
4.08%, 02/11/36 IO
144A@++(omg) 8,500,000 594,589
Residential Asset Mortgage
Products, Inc.
1.33%, 07/25/41 2,113,645 2,115,449
Residential Asset
Securitization Trust
1.75%, 04/25/33++ 676,551 677,080
Sequoia Mortgage Trust
1.66%, 02/20/33++ 1,229,981 1,233,363
Structured Asset Securities
Corporation
7.50%, 07/25/16 302,746 303,600
Trizec Hahn Office
Properties Trust
1.52%, 04/15/11 144A++ 2,866,022 2,838,072
Washington Mutual
17.63%, 01/25/08
IO@++(omg) 1,663,666 23,912
17.91%, 05/25/08 IO@(omg) 3,221,888 14,590
17.71%, 06/25/08
IO@++(omg) 5,033,491 52,826
4.68%, 02/25/33++ 370,087 376,152
3.59%, 01/25/41++ 468,936 471,357
2.63%, 06/25/42++ 830,129 839,138
2.63%, 08/25/42++ 1,152,314 1,163,493
17.66%, 01/01/49
IO@++(omg) 3,858,224 26,226
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $268,102,303) 269,860,146
--------------
MUNICIPAL BONDS -- 1.5%
Florida State Board of
Education, Series A
General Obligation Bond
(Callable 06/01/12 @
$101)
5.00%, 06/01/32 1,200,000 1,178,676
</Table>
See Notes to Financial Statements.
58
<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 $ 982,230
Massachusetts State Special
Obligation, Series A
Revenue Bond (FGIC
Insured) (Callable
06/01/12 @ $100)
5.00%, 06/01/21 2,945,000 3,018,272
Massachusetts State Water
Resources Authority,
Series J Revenue Bond
(FSA Insured) (Callable
08/01/12 @ $100)
5.00%, 08/01/32 1,250,000 1,224,100
Minnesota State General
Obligation Bond (Callable
10/01/11 @ $100)
5.00%, 10/01/20 200,000 206,104
New York State Urban
Development Corporation,
Series A Revenue Bond
(Callable 03/15/12 @
$100)
5.13%, 03/15/22 1,500,000 1,526,115
South Carolina
Transportation
Infrastructure Bank,
Series A Revenue Bond
(AMBAC Insured) (Callable
10/01/11 @ $100)
5.00%, 10/01/23 2,700,000 2,730,834
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 1,007,800
--------------
TOTAL MUNICIPAL BONDS
(Cost $11,675,257) 11,874,131
--------------
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
OPTIONS -- 0.1%
CALL OPTIONS -- 0.1%
90-Day LIBOR Futures,
Strike Price $93.25,
Expires 09/21/05(U) 133 $ 427,519
90-Day LIBOR Futures,
Strike Price $94.25,
Expires 12/15/04(U) 70 89,020
--------------
516,539
--------------
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$5.75, Expires 04/27/09 280 111,471
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$6.25, Expires 04/27/09 280 182,610
--------------
TOTAL OPTIONS
(Cost $841,816) 810,620
--------------
<Caption>
SHARES
-----------
RIGHTS -- 0.0%
United Mexican States
Recovery Rights Series C* 1,100,000 24,750
United Mexican States
Recovery Rights Series D* 1,100,000 24,750
United Mexican States
Recovery Rights Series E* 1,100,000 19,800
--------------
TOTAL RIGHTS
(Cost $0) 69,300
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
SHORT-TERM INVESTMENTS -- 31.2%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 89,801,493 $ 89,801,493
Northern Institutional
Liquid Assets
Portfoliosec. 165,211,217 165,211,217
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $255,012,710) 255,012,710
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 17.3%
U.S. Treasury Bills
0.99%, 07/15/04+++ $41,800,000 41,783,987
1.14%, 09/02/04++++ 175,000 174,630
1.19%, 09/02/04++++ 40,000 39,915
1.19%, 09/16/04++++ 30,000 29,920
1.26%, 09/16/04++++ 200,000 199,470
1.32%, 09/16/04++++ 60,000 59,841
1.39%, 09/16/04++++ 390,000 388,966
--------------
42,676,729
--------------
</Table>
See Notes to Financial Statements.
59
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
U.S. Treasury Bonds
7.88%, 02/15/21+++ $ 7,900,000 $ 10,200,260
8.13%, 05/15/21+++ 8,300,000 10,969,621
5.50%, 08/15/28+++ 250,000 253,350
5.38%, 02/15/31+++ 7,680,000 7,748,106
--------------
29,171,337
--------------
U.S. Treasury Inflationary
Index Bonds
3.38%, 01/15/07++++ 850,000 1,080,562
3.88%, 01/15/09+++ 330,000 421,811
4.25%, 01/15/10 1,120,000 1,432,630
1.88%, 07/15/13+++ 1,150,000 1,163,095
3.88%, 04/15/29+++ 11,038,000 16,098,628
--------------
20,196,726
--------------
U.S. Treasury Notes
1.63%, 04/30/05+++ 2,300,000 2,294,252
3.25%, 08/15/08+++ 690,000 681,672
2.63%, 03/15/09+++ 1,370,000 1,303,962
3.88%, 05/15/09+++ 5,400,000 5,419,828
4.00%, 06/15/09+++ 6,740,000 6,799,770
5.00%, 02/15/11+++ 900,000 942,329
5.00%, 08/15/11+++ 30,000 31,328
4.25%, 08/15/13+++ 1,700,000 1,660,025
4.25%, 11/15/13+++ 2,780,000 2,706,700
--------------
21,839,866
--------------
U.S. Treasury STRIPS
4.63%, 05/15/12(omg)+++ 5,000,000 3,489,920
4.57%, 02/15/15(omg)+++ 2,600,000 1,842,448
5.23%, 05/15/16(omg) 3,500,000 1,898,344
5.14%, 11/15/16(omg)+++ 900,000 471,731
5.32%, 05/15/17(omg) 5,850,000 2,976,024
5.35%, 05/15/17(omg)+++ 2,000,000 1,014,896
5.57%, 05/15/20(omg)+++ 11,500,000 4,815,763
5.64%, 11/15/21(omg)+++ 13,480,000 5,146,691
5.67%, 11/15/22(omg) 2,800,000 1,002,411
5.69%, 02/15/23(omg) 90,000 31,773
5.70%, 02/15/25(omg)+++ 6,350,000 1,996,574
5.71%, 08/15/25(omg) 1,900,000 579,682
5.63%, 05/15/26(omg)+++ 1,500,000 435,965
6.76%, 11/15/26(omg)+++ 3,600,000 1,014,962
5.72%, 11/15/26(omg)+++ 1,700,000 482,424
5.71%, 08/15/27(omg) 150,000 40,899
--------------
27,240,507
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $143,109,614) 141,125,165
--------------
TOTAL INVESTMENTS -- 136.4%
(Cost $1,109,522,087) 1,115,275,668
--------------
SECURITIES SOLD SHORT -- (0.4)%
Federal Home Loan Mortgage
Corporation
5.00%, 07/01/34 TBA
(Cost $3,335,391) (3,500,000) (3,377,500)
--------------
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
WRITTEN OPTIONS -- (0.2)%
CALL OPTIONS -- 0.0%
10-Year U.S. Treasury
Note Futures, Strike
Price $115.00, Expires
08/27/04 (229) (7,156)
U.S. Treasury Bond,
Strike Price $110.00,
Expires 08/27/04 (47) (18,359)
--------------
(25,515)
--------------
CALL SWAPTIONS -- (0.1)%
3-Month LIBOR, Strike
Price $4.00, Expires
07/03/06 (1,380) (41,607)
3-Month LIBOR, Strike
Price $4.00, Expires
09/23/05 (1,700) (42,945)
3-Month LIBOR, Strike
Price $4.00, Expires
10/07/04 (260) (133)
3-Month LIBOR, Strike
Price $5.50, Expires
01/07/05 (900) (319,860)
3-Month LIBOR, Strike
Price $5.97, Expires
10/04/04 (890) (578,464)
3-Month LIBOR, Strike
Price $6.00, Expires
10/19/04 (260) (169,939)
--------------
(1,152,948)
--------------
PUT OPTIONS -- (0.0)%
10-Year U.S. Treasury
Note Futures, Strike
Price $103.00, Expires
11/26/04 (29) (1,314)
--------------
PUT SWAPTIONS -- (0.1)%
3-Month LIBOR, Strike
Price $5.97, Expires
10/04/04 (890) (6,043)
3-Month LIBOR, Strike
Price $6.00, Expires
07/03/06 (1,380) (341,288)
3-Month LIBOR, Strike
Price $6.00, Expires
10/07/04 (260) (5,460)
3-Month LIBOR, Strike
Price $6.00, Expires
10/19/04 (260) (2,473)
</Table>
See Notes to Financial Statements.
60
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
3-Month LIBOR, Strike
Price $7.00, Expires
01/07/05 (900) $ (3,538)
3-Month LIBOR, Strike
Price $7.00, Expires
09/23/05 (330) (15,460)
--------------
(374,262)
--------------
TOTAL WRITTEN OPTIONS
(Cost $(2,880,308)) (1,554,039)
--------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (35.8%) (292,952,313)
--------------
NET ASSETS -- 100.0% $ 817,391,816
==============
</Table>
See Notes to Financial Statements.
61
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
Swap agreements outstanding at June 30, 2004:
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
BRITISH POUNDS
Receive fixed rate
payments of 4.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(c) 03/16/05 $ 2,800,000 $ (23,245)
Receive fixed rate
payments of 4.25%
and pay variable
rate payments on
the six month LIBOR
floating rate(c) 03/17/05 28,200,000 (238,627)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(g) 03/17/05 2,400,000 (27,837)
---------------
(289,709)
---------------
EURODOLLARS
Receive fixed rate
payments of 4.50%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 06/18/07 13,700,000 595,841
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(g) 03/15/07 1,800,000 23,482
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 03/15/07 1,300,000 16,828
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(d) 03/15/07 1,500,000 19,468
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(d) 12/21/07 11,800,000 16,179
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(a) 12/21/07 10,400,000 14,990
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) (700,308)
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) (662,601)
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(g) 06/17/12 (19,700,000) $ (1,265,694)
---------------
(1,941,815)
---------------
U.S. DOLLARS
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(a) 12/15/14 $ 78,500,000 (2,041,102)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(b) 12/15/09 13,800,000 (407,747)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(b) 12/15/06 7,900,000 41,449
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 6,320
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(h) 06/16/24 (19,100,000) 1,474,878
Receive payments
based on the return
of the Lehman
Brothers ERISA-
eligible CMBA Index
and pay variable
rate payments on
the one month LIBOR
floating rate less
0.65% basis points
spread(c) 09/30/04 5,200,000 (12,007)
Receive floating par
in event of default
on Radioshack
Corporation, 7.375%
due 05/15/11 and
pay fixed rate
payments of
0.37%(b) 12/20/08 (300,000) 203
Receive floating par
in event of default
on Emerson Electric
Co., 4.625% due
10/15/12 and pay
fixed rate payments
of 0.22%(c) 12/20/08 (300,000) 248
</Table>
See Notes to Financial Statements.
62
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive floating par
in event of default
on Devon Financing
Corporation, 6.875%
due 09/30/11 and
pay fixed rate
payments of
0.35%(h) 12/20/08 $ (500,000) $ 5,650
Receive floating par
in event of default
on Anadarko
Petroleum
Corporation, 5.00%
due 10/01/12 and
pay fixed rate
payments of
0.27%(h) 12/20/08 (300,000) 989
Receive floating par
in event of default
on Carnival
Corporation, 6.15%
due 04/15/08 and
pay fixed rate
payments of
0.44%(b) 12/20/08 (300,000) 1,432
Receive floating par
in event of default
on Countrywide Home
Loan, 6.25% due
04/15/09 and pay
fixed rate payments
of 0.42%(c) 12/20/08 (300,000) 951
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive floating par
in event of default
on Occidental
Petroleum, 6.75%
due 01/15/12 and
pay fixed rate
payments of
0.28%(h) 12/20/08 $ (300,000) $ 568
Receive floating par
in event of default
on Kroger Co.,
6.75% due 04/15/12
and pay fixed rate
payments of
0.53%(c) 12/20/08 (300,000) 693
---------------
(927,475)
---------------
$ (3,158,999)
===============
</Table>
See Notes to Financial Statements.
63
EXTENDED-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* BENCHMARK INDEX**
----------------- -------------------- ------------- -----------------
One Year (0.87%) (0.82%) (1.08%) (2.49%)
Since Inception (8/27/01 -- 6/30/04) 7.84% 7.83% 7.48% 7.25%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS BENCHMARK INDEX**
---------------- -----------------
8/27/01 10000.00 10000.00
08/31/01 10097.00 10111.00
09/30/01 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
01/31/02 10349.00 10202.00
02/28/02 10439.00 10300.00
03/31/02 10143.00 9948.00
04/30/02 10251.00 10208.00
05/31/02 10390.00 10286.00
06/30/02 10290.00 10350.00
07/31/02 10295.00 10443.00
08/31/02 10680.00 10927.00
09/30/02 10896.00 11259.00
10/31/02 10574.00 10965.00
11/30/02 10777.00 11066.00
12/31/02 11275.00 11521.00
01/31/03 11332.00 11530.00
02/28/03 11646.00 11868.00
03/31/03 11597.00 11774.00
04/30/03 11995.00 12039.00
05/31/03 12579.00 12691.00
06/30/03 12503.00 12515.00
07/30/03 11590.00 11432.00
08/31/03 11768.00 11671.00
09/30/03 12394.00 12285.00
10/31/03 12193.00 12013.00
11/30/03 12393.00 12099.00
12/31/03 12537.00 12266.00
01/31/04 12712.00 12477.00
02/29/04 12948.00 12711.00
03/31/04 13087.00 12885.00
04/30/04 12390.00 12198.00
05/31/04 12289.00 12108.00
06/30/04 12395.00 12203.00
</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
64
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 PAR VALUE
- ------------- -------------- ------------
AGENCY OBLIGATIONS -- 2.8%
Federal Home Loan Mortgage
Corporation
4.63%, 02/15/07(E) $ 1,250,000 $ 1,577,910
Federal National Mortgage
Association
6.54%, 10/29/07(N)(omg)+++ 4,815,000 2,469,206
5.25%, 01/15/09+++ 250,000 262,136
2.29%, 02/19/09(G) 2,500,000 1,423,041
5.50%, 03/15/11+++ 6,000,000 6,284,436
------------
TOTAL AGENCY OBLIGATIONS
(Cost $11,470,085) 12,016,729
------------
ASSET-BACKED SECURITIES -- 0.4%
Community Program Loan Trust
4.50%, 04/01/29
(Cost $1,653,538) 1,950,000 1,712,144
------------
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
CORPORATE BONDS -- 14.7%
Agilysys, Inc.
9.50%, 08/01/06 $ 500,000 $ 537,630
American Airlines, Inc.
6.98%, 04/01/11+++ 72,112 71,268
8.61%, 10/01/11+++ 850,000 773,546
Arrow Electronics, Inc.
6.88%, 07/01/13+++ 250,000 261,578
Atlas Air, Inc.
7.20%, 01/02/19 465,848 437,346
Bausch & Lomb, Inc.
7.13%, 08/01/28 1,500,000 1,509,276
Boise Cascade Corporation
7.35%, 02/01/16 450,000 458,438
Borden, Inc.
7.88%, 02/15/23 1,200,000 1,122,000
Chesapeake Energy
Corporation
7.75%, 01/15/15 150,000 157,125
6.88%, 01/15/16 144A 825,000 808,500
Comcast Corporation
5.50%, 03/15/11+++ 500,000 505,474
Commonwealth Edison Co.
4.75%, 12/01/11 538,000 531,242
Constellation Energy Group,
Inc.
4.55%, 06/15/15 750,000 669,643
Continental Airlines, Inc.
6.65%, 09/15/19 2,342,287 2,187,614
6.70%, 06/15/21 433,876 404,887
COX Communications, Inc.
6.75%, 03/15/11+++ 250,000 269,924
Cummins, Inc.
7.13%, 03/01/28+++ 425,000 405,875
Dana Corporation
6.50%, 03/01/09+++ 250,000 261,250
Delphi Corporation
7.13%, 05/01/29 2,500,000 2,485,245
Delta Air Lines, Inc.
8.30%, 12/15/29+++ 500,000 210,000
Devon Energy Corporation
4.95%, 08/15/08 CONV 963,000 991,890
Dillard's, Inc.
7.75%, 07/15/26 890,000 845,500
7.00%, 12/01/28 500,000 460,000
El Paso Corporation
7.00%, 05/15/11+++ 400,000 352,000
EOP Operating LP
7.25%, 06/15/28 500,000 519,434
First Industrial LP
7.60%, 07/15/28 1,000,000 1,044,684
Foot Locker, Inc.
8.50%, 01/15/22 1,000,000 1,062,500
Ford Motor Co.
6.63%, 10/01/28 1,500,000 1,317,243
6.38%, 02/01/29 1,500,000 1,271,253
General Motors Acceptance
Corporation
6.88%, 08/28/12 250,000 254,708
Georgia-Pacific Corporation
7.75%, 11/15/29 2,950,000 2,846,749
HCA, Inc.
6.30%, 10/01/12 1,500,000 1,503,156
7.58%, 09/15/25 1,000,000 982,783
7.05%, 12/01/27 500,000 459,141
Health Care Property
Investors, Inc.
6.00%, 03/01/15 1,500,000 1,509,046
Highwoods Properties, Inc.
7.50%, 04/15/18 1,500,000 1,533,077
IMC Global, Inc.
7.38%, 08/01/18 500,000 492,500
7.30%, 01/15/28 750,000 716,250
International Paper Co.
6.88%, 11/01/23 300,000 312,409
Kinder Morgan, Inc.
7.25%, 03/01/28+++ 500,000 533,026
Midamerican Energy Holdings
Co.
5.88%, 10/01/12 1,000,000 1,017,055
Motorola, Inc.
6.75%, 02/01/06+++ 250,000 262,989
5.80%, 10/15/08+++ 500,000 522,335
7.63%, 11/15/10 500,000 563,648
6.50%, 11/15/28 500,000 485,742
Nisource Finance Corporation
6.15%, 03/01/13+++ 1,000,000 1,037,797
Pemex Project Funding Master
Trust
8.63%, 02/01/22+++ 1,000,000 1,045,000
Penney (JC) Co., Inc.
7.95%, 04/01/17 500,000 558,125
Phillips Van-Huesen
Corporation
7.75%, 11/15/23 450,000 456,750
</Table>
See Notes to Financial Statements.
65
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
-------------- ------------
Pioneer Natural Resources
Co.
7.20%, 01/15/28 $ 2,500,000 $ 2,670,080
Preston Corporation
7.00%, 05/01/11 CONV 250,000 226,563
Provident Cos., Inc.
7.25%, 03/15/28 500,000 468,426
Pulte Homes, Inc.
7.30%, 10/24/05 1,000,000 1,053,977
7.88%, 06/15/32 1,500,000 1,643,564
6.38%, 05/15/33 1,000,000 920,561
Qwest Corporation
6.88%, 09/15/33 2,250,000 1,884,375
Raytheon Co.
6.40%, 12/15/18 2,600,000 2,713,902
7.20%, 08/15/27 250,000 272,850
7.00%, 11/01/28 750,000 801,642
Southern California Edison
Co.
6.65%, 04/01/29 250,000 255,202
Southern Natural Gas Co.
7.35%, 02/15/31 1,750,000 1,575,000
Sprint Capital Corporation
6.88%, 11/15/28 3,450,000 3,325,858
Swift Energy Co.
7.63%, 07/15/11 150,000 152,250
Tennessee Gas Pipeline Co.
7.00%, 10/15/28+++ 750,000 660,000
Trinet Corporate Realty
Trust, Inc.
7.70%, 07/15/17 1,000,000 1,047,500
Union Pacific Resources
Group
7.15%, 05/15/28 250,000 274,871
UnumProvident Corporation
6.75%, 12/15/28 1,500,000 1,353,276
Weyerhaeuser Co.
7.13%, 07/15/23 500,000 529,595
7.38%, 03/15/32+++ 250,000 272,697
Williams Cos., Inc.
7.50%, 01/15/31 1,250,000 1,137,500
Xerox Capital Trust I
8.00%, 02/01/27+++ 1,500,000 1,376,250
------------
TOTAL CORPORATE BONDS
(Cost $59,991,657) 63,640,590
------------
FOREIGN BONDS -- 11.0%
BRAZIL -- 0.8%
Federal Republic of Brazil
8.25%, 01/20/34+++ 4,750,000 3,605,250
------------
CANADA -- 3.8%
British Columbia Generic
Residual
5.45%, 06/09/14
STRIP(C)(omg) 11,500,000 5,056,312
6.01%, 09/05/20
STRIP(C)(omg) 1,750,000 515,570
Canada Generic Residual
5.56%, 06/01/25
STRIP(C)(omg) 4,110,000 982,476
Canadian Government
4.50%, 09/01/07(C) 4,475,000 3,427,468
Macmillan Bloedel, Ltd.
7.70%, 02/15/26 500,000 548,173
Ontario Generic Residual
6.03%, 07/13/22
STRIP(C)(omg) 3,900,000 1,009,360
6.01%, 03/08/29
STRIP(C)(omg) 7,000,000 1,184,113
Saskatchewan Residual
5.50%, 04/10/14
STRIP(C)(omg) 7,500,000 3,278,016
6.05%, 02/04/22
STRIP(C)(omg) 3,000,000 781,801
------------
16,783,289
------------
CAYMAN ISLANDS -- 0.2%
Enersis SA
7.40%, 12/01/16 625,000 603,512
Vale Overseas, Ltd.
8.25%, 01/17/34 100,000 87,500
------------
691,012
------------
HONG KONG -- 0.6%
Bangkok Bank Public Co.
9.03%, 03/15/29 144A 2,500,000 2,609,117
------------
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
MALAYSIA -- 0.4%
Telekom Malaysia BHD
7.88%, 08/01/25 144A $ 225,000 $ 244,310
Tenaga Nasional BHD
7.50%, 11/01/25 144A 1,500,000 1,518,307
------------
1,762,617
------------
MEXICO -- 0.3%
Petroleos Mexicanos
8.63%, 12/01/23 144A 1,000,000 1,035,000
TFM SA de CV
11.75%, 06/15/09 STEP+++ 185,000 181,300
------------
1,216,300
------------
NORWAY -- 0.9%
Norway Government
6.75%, 01/15/07(K) 24,000,000 3,762,552
------------
PHILIPPINES -- 0.3%
Bangko Sentral Pilipinas
8.60%, 06/15/27 500,000 415,000
Philippine Long Distance
Telephone Co.
8.35%, 03/06/17 500,000 437,500
Quezon Power (Philippines),
Ltd.
8.86%, 06/15/17 465,000 392,925
------------
1,245,425
------------
SINGAPORE -- 0.9%
ASIF Global Financing XXVII
2.38%, 02/26/09 144A(G) 6,700,000 3,825,957
------------
</Table>
See Notes to Financial Statements.
66
<Table>
<Caption>
PAR VALUE
-------------- ------------
SUPRANATIONAL -- 2.6%
EUROFIMA
6.50%, 08/22/11(A) 710,000 $ 504,820
European Bank for
Reconstruction &
Development
6.15%, 02/10/28(A)(omg) 15,000,000 2,514,183
Inter-American Development
Bank
19.66%, 05/11/09(B)(omg) 7,500,000 1,002,099
International Bank for
Reconstruction &
Development
6.58%, 08/20/07(N)(omg) 13,625,000 7,088,483
------------
11,109,585
------------
VENEZUELA -- 0.2%
Cerro Negro Finance, Ltd.
7.90%, 12/01/20 144A $ 500,000 450,000
Petrozuata Finance, Inc.
8.37%, 10/01/22 144A 450,000 362,250
------------
812,250
------------
TOTAL FOREIGN BONDS
(Cost $43,102,636) 47,423,354
------------
MORTGAGE-BACKED SECURITIES -- 0.5%
Federal Home Loan Mortgage
Corporation
5.00%, 12/01/31 318,306 308,253
Federal National Mortgage
Association
5.00%, 07/25/23 2,000,000 2,042,459
------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $2,062,100) 2,350,712
------------
MUNICIPAL BONDS -- 10.5%
Chicago, Illinois Board of
Education, General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.56%, 12/01/22(omg) 10,700,000 3,963,494
Chicago, Illinois Wastewater
Transmission, Series A
Revenue Bond (MBIA
Insured) (Non-Callable)
5.41%, 01/01/22(omg) 5,000,000 1,946,050
Clark County, Washington
School District, Series C
General Obligation bond
(FGIC SCH BD GTY Insured)
(Non-Callable)
5.25%, 12/01/19(omg) 3,600,000 1,632,672
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
Clovis, California Unified
School District, Series A
General Obligation Bond
(FGIC Insured)
(Non-Callable)
5.69%, 08/01/25(omg) $ 9,775,000 $ 3,015,782
Cook County, Illinois
Community Consolidated
School District, General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.25%, 12/01/19(omg) 1,890,000 855,868
Coppell, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.51%, 08/15/23(omg) 2,195,000 774,023
De Soto ,Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.15%, 08/15/18(omg) 2,275,000 1,114,864
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
De Soto, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.23%, 08/15/19(omg) $ 2,590,000 $ 1,197,797
Galveston County, Texas,
General Obligation Bond
(FGIC Insured) (Non-
Callable)
5.69%, 02/01/26(omg) 2,500,000 745,375
Granbury, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.30%, 08/01/20(omg) 1,000,000 432,130
Houston, Texas Water & Sewer
System, Series A Revenue
Bond (FSA Insured)
(Non-Callable)
5.63%, 12/01/24(omg) 10,000,000 3,266,300
5.78%, 12/01/26(omg) 7,300,000 2,077,069
Indianapolis, Indiana Local
Public Improvement Bond
Bank, Series E Revenue
Bond (AMBAC Insured)
(Non-Callable)
5.45%, 02/01/22(omg) 2,550,000 1,006,791
</Table>
See Notes to Financial Statements.
67
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
-------------- ------------
McKeesport, Pennsylvania
Area School District,
Series C General
Obligation Bond (AMBAC
Insured) (Non-Callable)
5.62%, 10/01/26(omg) $ 2,090,000 $ 604,156
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue Bond
(MBIA Insured)
(Non-Callable)
5.49%, 12/15/23(omg) 5,850,000 2,018,016
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue Bond
(MBIA Insured)
(Non-Callable)
5.57%, 12/15/22(omg) 16,225,000 5,997,572
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue Bond
(MBIA Insured)
(Non-Callable)
5.62%, 12/15/24(omg) 4,695,000 1,512,119
Rocklin, California Unified
School District, General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.59%, 08/01/24(omg) 2,375,000 790,068
San Jose, California Unified
School District, Santa
Clara County, Series A
General Obligation Bond
(FGIC Insured)
(Non-Callable)
5.15%, 08/01/18(omg) 2,055,000 1,020,164
San Mateo, California
Unified High School
District, Series C General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.82%, 09/01/28(omg) 4,000,000 1,010,120
Union Elementary School
District, California,
Series A General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.24%, 09/01/19(omg) 1,750,000 812,280
</Table>
<Table>
<Caption>
PAR VALUE
-------------- ------------
Washington State, Motor
Vehicle Fuel Tax, Series
03-C General Obligation
Bond, (MBIA Insured)
(Non-Callable)
5.55%, 06/01/23(omg) $ 10,000,000 $ 3,605,600
Will County, Illinois
Community United School
District No. 365, General
Obligation Bond (FSA
Insured) (Non-Callable)
5.55%, 11/01/23(omg) 17,825,000 6,190,265
------------
TOTAL MUNICIPAL BONDS
(Cost $47,357,235) 45,588,575
------------
<Caption>
SHARES
--------------
SHORT-TERM INVESTMENTS -- 13.6%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 10,980,819 10,980,819
Northern Institutional
Liquid Assets
Portfolio sec. 47,928,087 47,928,087
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $58,908,906) 58,908,906
------------
<Caption>
PAR
--------------
U.S. TREASURY OBLIGATIONS -- 56.6%
U.S. Treasury Bonds
8.00%, 11/15/21+++ $167,212,000 219,217,607
6.38%, 08/15/27+++ 17,000,000 19,193,408
5.38%, 02/15/31+++ 6,495,000 6,552,598
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $249,508,502) 244,963,613
------------
TOTAL INVESTMENTS -- 110.1%
(Cost $474,054,659) 476,604,623
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (10.1%) (43,773,890)
------------
NET ASSETS -- 100.0% $432,830,733
============
</Table>
See Notes to Financial Statements.
68
EQUITY INDEX FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P 500(R)
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ----------
One Year 18.72% 18.81% 18.62% 19.11%
Since Inception (8/27/01 -- 6/30/04) (0.03%) (0.15%) (0.15%) 0.34%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS S&P 500(R) INDEX**
---------------- ------------------
08/27/01 10000 10000
08/31/01 9585 9570
09/30/01 8817 8796
10/31/01 8985 8964
11/30/01 9666 9652
12/31/01 9745 9736
01/31/02 9589 9594
02/28/02 9378 9409
03/31/02 9726 9764
04/30/02 9116 9171
05/31/02 9041 9104
06/30/02 8428 8456
07/31/02 7757 7796
08/31/02 7801 7847
09/30/02 6955 6994
10/31/02 7569 7610
11/30/02 8046 8057
12/31/02 7543 7585
01/31/03 7347 7386
02/28/03 7240 7275
03/31/03 7322 7347
04/30/03 7916 7952
05/31/03 8321 8372
06/30/03 8415 8478
07/30/03 8574 8628
08/31/03 8739 8796
09/30/03 8643 8703
10/31/03 9126 9195
11/30/03 9190 9276
12/31/03 9658 9762
01/31/04 9843 9942
02/29/04 9971 10080
03/31/04 9817 9928
04/30/04 9664 9771
05/31/04 9811 9906
06/30/04 9990 10098
</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
69
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ---------- ------------
COMMON STOCK -- 96.7%
AUTO & TRANSPORTATION -- 2.6%
Burlington Northern Santa Fe
Corporation 15,500 $ 543,585
Cooper Tire & Rubber Co. 3,100 71,300
CSX Corporation 9,000 294,930
Dana Corporation 6,200 121,520
Delphi Corporation 23,400 249,912
Delta Air Lines, Inc.*+++ 5,200 37,024
FedEx Corporation 12,500 1,021,125
Ford Motor Co.+++ 76,527 1,197,648
General Motors Corporation+++ 23,600 1,099,524
Genuine Parts Co. 7,300 289,664
Goodyear Tire & Rubber Co.
(The)*+++ 7,300 66,357
Harley-Davidson, Inc.+++ 12,300 761,862
Navistar International
Corporation*+++ 2,900 112,404
Norfolk Southern Corporation 16,400 434,928
Paccar, Inc. 7,375 427,676
Southwest Airlines Co. 33,000 553,410
Union Pacific Corporation 10,800 642,060
United Parcel Service, Inc.
Class B 47,100 3,540,507
Visteon Corporation+++ 5,418 63,228
------------
11,528,664
------------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
CONSUMER DISCRETIONARY -- 12.4%
Alberto-Culver Co. 3,750 $ 188,025
Allied Waste Industries, Inc.* 13,300 175,294
Apollo Group, Inc. Class A* 7,400 653,346
AutoNation, Inc.*+++ 11,200 191,520
AutoZone, Inc.* 3,500 280,350
Avon Products, Inc. 19,700 908,958
Bed Bath & Beyond, Inc.* 12,600 484,470
Best Buy Co., Inc. 13,550 687,527
Big Lots, Inc.* 4,800 69,408
Black & Decker Corporation+++ 3,300 205,029
Carnival Corporation 26,500 1,245,500
Cendant Corporation 42,700 1,045,296
Cintas Corporation 7,200 343,224
Circuit City Stores, Inc. --
Circuit City Group+++ 8,300 107,485
Clear Channel Communications,
Inc. 25,700 949,615
Convergys Corporation* 6,000 92,400
Costco Wholesale Corporation 19,200 788,544
Darden Restaurants, Inc. 6,750 138,713
Dillard's, Inc. Class A 3,500 78,050
Dollar General Corporation+++ 13,800 269,928
Donnelley (R.R.) & Sons Co. 9,100 300,482
Eastman Kodak Co. 12,000 323,760
eBay, Inc.* 27,500 2,528,625
Electronic Arts, Inc.* 12,700 692,785
Family Dollar Stores, Inc. 7,200 219,024
Federated Department Stores,
Inc. 7,500 368,250
Gannett Co., Inc. 11,400 967,290
Gap, Inc. (The)+++ 37,600 911,800
Gillette Co. (The) 42,000 1,780,800
Hasbro, Inc. 7,400 140,600
Hilton Hotels Corporation 16,000 298,560
Home Depot, Inc. (The) 92,950 3,271,840
International Flavors &
Fragrances, Inc. 3,900 145,860
Interpublic Group Cos., Inc.* 17,500 240,275
Jones Apparel Group, Inc. 5,300 209,244
Kimberly-Clark Corporation 21,000 1,383,480
Knight-Ridder, Inc. 3,300 237,600
Kohl's Corporation* 14,300 604,604
Leggett & Platt, Inc. 8,000 213,680
Limited Brands 19,700 368,390
Liz Claiborne, Inc. 4,608 165,796
Lowe's Cos., Inc. 32,900 1,728,895
Marriott International, Inc.
Class A 9,500 473,860
Mattel, Inc. 17,700 323,025
May Department Stores Co.
(The) 12,200 335,378
Maytag Corporation+++ 3,300 80,883
McDonald's Corporation 52,600 1,367,600
McGraw Hill Co., Inc. (The) 8,000 612,560
Meredith Corporation 2,100 115,416
Monster Worldwide, Inc.* 4,900 126,028
New York Times Co. Class A 6,200 277,202
Newell Rubbermaid, Inc. 11,500 270,250
Nike, Inc. Class B 11,000 833,250
Nordstrom, Inc. 5,800 247,138
Office Depot, Inc.* 13,100 234,621
Omnicom Group, Inc. 7,900 599,531
Penney (JC) Co., Inc. 11,800 445,568
RadioShack Corporation 6,700 191,821
Reebok International, Ltd.+++ 2,500 89,950
Robert Half International,
Inc.+++ 7,200 214,344
Sabre Holdings Corporation 5,800 160,718
Sears, Roebuck & Co. 8,900 336,064
Snap-On, Inc. 2,400 80,520
Stanley Works (The)+++ 3,400 154,972
Staples, Inc. 20,800 609,648
Starbucks Corporation*+++ 16,600 721,768
Starwood Hotels & Resorts
Worldwide, Inc. 8,700 390,195
Target Corporation 38,200 1,622,354
Tiffany & Co. 6,100 224,785
Time Warner, Inc.* 190,700 3,352,506
TJX Cos., Inc. 20,700 499,698
Toys "R" Us, Inc.* 8,900 141,777
Tribune Co. 13,700 623,898
Univision Communications, Inc.
Class A* 13,500 431,055
VF Corporation 4,600 224,020
Wal-Mart Stores, Inc. 179,300 9,459,867
Waste Management, Inc. 24,300 744,795
</Table>
See Notes to Financial Statements.
70
<Table>
<Caption>
SHARES VALUE
---------- ------------
Wendy's International, Inc. 4,800 $ 167,232
Whirlpool Corporation 2,900 198,940
Yahoo!, Inc.* 56,300 2,045,379
Yum! Brands, Inc.* 12,100 450,362
------------
55,483,300
------------
CONSUMER STAPLES -- 6.2%
Albertson's, Inc.+++ 15,400 408,716
Campbell Soup Co. 17,200 462,336
Clorox Co. 8,900 478,642
Coca-Cola Co. (The) 101,800 5,138,864
Coca-Cola Enterprises, Inc.+++ 19,700 571,103
Colgate-Palmolive Co. 22,200 1,297,590
ConAgra Foods, Inc. 22,100 598,468
CVS Corporation 16,600 697,532
General Mills, Inc. 15,800 750,974
Heinz (H.J.) Co. 14,700 576,240
Hershey Foods Corporation 10,800 499,716
Kellogg Co. 17,200 719,820
Kroger Co.* 31,000 564,200
McCormick & Co., Inc. 5,700 193,800
Pepsi Bottling Group, Inc. 10,800 329,832
PepsiCo, Inc. 71,340 3,843,799
Procter & Gamble Co. 107,500 5,852,300
Safeway, Inc.* 18,700 473,858
Sara Lee Corporation 33,000 758,670
Supervalu, Inc. 5,600 171,416
Sysco Corporation 26,700 957,729
Walgreen Co. 42,800 1,549,788
Winn-Dixie Stores, Inc.+++ 5,900 42,480
Wrigley (W.M.), Jr. Co. 9,400 592,670
------------
27,530,543
------------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
FINANCIAL SERVICES -- 21.5%
ACE, Ltd. 11,800 $ 498,904
AFLAC, Inc. 21,300 869,253
Allstate Corporation (The) 29,352 1,366,336
AMBAC Financial Group, Inc. 4,500 330,480
American Express Co. 53,400 2,743,692
American International Group,
Inc. 109,092 7,776,078
AmSouth Bancorporation 14,700 374,409
AON Corporation 13,200 375,804
Apartment Investment &
Management Co. Class A REIT 3,900 121,407
Automatic Data Processing,
Inc. 24,700 1,034,436
Bank of America Corporation 85,220 7,211,316
Bank of New York Co., Inc.
(The) 32,500 958,100
Bank One Corporation 47,000 2,397,000
BB&T Corporation 23,500 868,795
Bear Stearns Cos., Inc. (The) 4,400 370,964
Block (H&R), Inc. 7,300 348,064
Capital One Financial
Corporation 10,000 683,800
Charter One Financial, Inc. 9,361 413,663
Chubb Corporation 7,900 538,622
Cigna Corporation+++ 5,900 405,979
Cincinnati Financial
Corporation+++ 7,035 306,163
Citigroup, Inc. 216,230 10,054,695
Comerica, Inc. 7,200 395,136
Countrywide Financial
Corporation 11,704 822,206
Deluxe Corporation+++ 2,100 91,350
Dow Jones & Co., Inc. 3,454 155,775
E*TRADE Financial Corporation* 15,300 170,595
Equifax, Inc. 5,700 141,075
Equity Office Properties Trust
REIT+++ 16,900 459,680
Equity Residential Properties
Trust REIT 11,700 347,841
Fannie Mae 40,500 2,890,080
Federated Investors, Inc.
Class B 4,500 136,530
Fifth Third Bancorp 23,494 1,263,507
First Data Corporation 36,517 1,625,737
First Horizon National
Corporation 5,200 236,444
Fiserv, Inc.* 8,200 318,898
Franklin Resources, Inc. 10,500 525,840
Freddie Mac 28,800 1,823,040
Golden West Financial
Corporation 6,400 680,640
Goldman Sachs Group, Inc. 20,200 1,902,032
Hartford Financial Services
Group, Inc. 12,200 838,628
Huntington Bancshares, Inc. 9,600 219,840
Janus Capital Group, Inc. 10,000 164,900
Jefferson-Pilot Corporation 5,800 294,640
JP Morgan Chase & Co. 87,290 3,384,233
KeyCorp 17,200 514,108
Lehman Brothers Holdings, Inc. 11,600 872,900
Lincoln National Corporation 7,500 354,375
Loews Corporation 7,800 467,688
M & T Bank Corporation 5,000 436,500
Marsh & McLennan Cos., Inc. 21,900 993,822
Marshall & Ilsley Corporation 9,300 363,537
MBIA, Inc. 6,000 342,720
MBNA Corporation 53,450 1,378,476
Mellon Financial Corporation 17,800 522,074
Merrill Lynch & Co., Inc. 40,200 2,169,996
MetLife, Inc. 31,600 1,132,860
MGIC Investment Corporation+++ 4,100 311,026
Moody's Corporation 6,300 407,358
Morgan Stanley 46,000 2,427,420
National City Corporation 28,300 990,783
North Fork Bancorporation,
Inc.+++ 7,200 273,960
Northern Trust Corporation 9,200 388,976
Paychex, Inc. 15,800 535,304
Plum Creek Timber Co., Inc.
REIT 7,700 250,866
</Table>
See Notes to Financial Statements.
71
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
PNC Financial Services Group,
Inc. 11,800 $ 626,344
Principal Financial Group 13,300 462,574
Progressive Corporation (The) 9,100 776,230
ProLogis REIT 7,600 250,192
Providian Financial
Corporation*+++ 12,200 178,974
Prudential Financial, Inc. 22,000 1,022,340
Regions Financial Corporation 9,200 336,260
Ryder System, Inc. 2,700 108,189
Safeco Corporation 5,800 255,200
Schwab (Charles) Corporation
(The) 57,050 548,251
Simon Property Group, Inc.
REIT 8,700 447,354
SLM Corporation 18,400 744,280
SouthTrust Corporation 13,800 535,578
Sovereign Bancorp, Inc. 12,800 282,880
St. Paul Travelers Cos., Inc. 27,856 1,129,282
State Street Corporation 14,000 686,560
Sungard Data Systems, Inc.* 12,100 314,600
SunTrust Banks, Inc. 11,800 766,882
Synovus Financial Corporation 12,700 321,564
T Rowe Price Group, Inc. 5,300 267,120
Torchmark Corporation 4,700 252,860
Union Planters Corporation 7,950 236,990
UnumProvident Corporation+++ 12,400 197,160
US Bancorp 79,300 2,185,508
Wachovia Corporation 55,000 2,447,500
Washington Mutual, Inc. 36,200 1,398,768
Wells Fargo & Co. 70,530 4,036,432
XL Capital, Ltd. Class A 5,800 437,668
Zions Bancorporation 3,700 227,365
------------
95,552,261
------------
HEALTHCARE -- 13.2%
Abbott Laboratories 65,200 2,657,552
Aetna, Inc. 6,400 544,000
Allergan, Inc. 5,500 492,360
AmerisourceBergen Corporation 4,672 279,292
Amgen, Inc.* 53,128 2,899,195
Anthem, Inc.*+++ 5,800 519,448
Bard (C.R.), Inc. 4,400 249,260
Bausch & Lomb, Inc.+++ 2,200 143,154
Baxter International, Inc. 25,600 883,456
Becton Dickinson & Co. 10,600 549,080
Biogen Idec, Inc.*+++ 14,230 900,048
Biomet, Inc.+++ 10,600 471,064
Boston Scientific Corporation* 34,900 1,493,720
Bristol-Myers Squibb Co.+++ 81,300 1,991,850
Cardinal Health, Inc. 18,000 1,260,900
Caremark Rx, Inc.* 19,100 629,154
Chiron Corporation* 7,900 352,656
Express Scripts, Inc.*+++ 3,300 261,459
Forest Laboratories, Inc.* 15,500 877,765
Genzyme Corporation -- General
Division* 9,500 449,635
Gilead Sciences, Inc.* 9,000 603,000
Guidant Corporation 13,100 732,028
HCA, Inc. 20,300 844,277
Health Management Associates,
Inc. Class A+++ 10,200 228,684
Hospira, Inc* 6,550 180,780
Humana, Inc.* 6,800 114,920
IMS Health, Inc. 9,800 229,712
Johnson & Johnson 124,090 6,911,813
King Pharmaceuticals, Inc.* 10,100 115,645
Lilly (Eli) & Co. 47,200 3,299,752
Manor Care, Inc. 3,700 120,916
McKesson Corporation 12,200 418,826
Medco Health Solutions, Inc.* 11,376 426,600
Medimmune, Inc.* 10,400 243,360
Medtronic, Inc. 50,700 2,470,104
Merck & Co., Inc. 92,900 4,412,750
Millipore Corporation* 2,100 118,377
Mylan Laboratories, Inc.+++ 11,200 226,800
Pfizer, Inc. 319,083 10,938,164
Quest Diagnostics, Inc.+++ 4,300 365,285
Schering-Plough Corporation 61,500 1,136,520
St. Jude Medical, Inc.* 7,400 559,810
Stryker Corporation 16,700 918,500
Tenet Healthcare Corporation* 19,450 260,825
UnitedHealth Group, Inc. 25,800 1,606,050
Watson Pharmaceuticals, Inc.* 4,600 123,740
WellPoint Health Networks,
Inc.* 6,500 728,065
Wyeth 55,800 2,017,728
Zimmer Holdings, Inc.* 10,220 901,404
------------
59,159,483
------------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
INTEGRATED OILS -- 4.6%
Amerada Hess Corporation 3,800 $ 300,922
ChevronTexaco Corporation 44,740 4,210,481
ConocoPhillips 28,650 2,185,709
ExxonMobil Corporation 273,444 12,143,648
Marathon Oil Corporation 14,407 545,161
Occidental Petroleum
Corporation 16,400 793,924
Unocal Corporation 11,000 418,000
------------
20,597,845
------------
MATERIALS & PROCESSING -- 3.4%
Air Products & Chemicals, Inc. 9,500 498,275
Alcoa, Inc. 36,400 1,202,292
Allegheny Technologies,
Inc.+++ 3,400 61,370
American Standard Cos., Inc.* 9,000 362,790
Archer-Daniels-Midland Co. 27,227 456,869
Ashland, Inc. 2,900 153,149
Avery Dennison Corporation 4,600 294,446
Ball Corporation+++ 2,396 172,632
Bemis Co. 4,500 127,125
Boise Cascade Corporation+++ 3,700 139,268
Dow Chemical Co. (The) 39,100 1,591,370
Du Pont (E.I.) de Nemours &
Co. 41,855 1,859,199
Eastman Chemical Co.+++ 3,200 147,936
</Table>
See Notes to Financial Statements.
72
<Table>
<Caption>
SHARES VALUE
---------- ------------
Ecolab, Inc. 10,700 $ 339,190
Engelhard Corporation 5,200 168,012
Fluor Corporation+++ 3,500 166,845
Freeport-McMoRan Copper &
Gold, Inc. Class B+++ 7,400 245,310
Georgia-Pacific Corporation 10,700 395,686
Great Lakes Chemical
Corporation+++ 2,100 56,826
Hercules, Inc.*+++ 4,600 56,074
International Paper Co. 20,300 907,410
Louisiana-Pacific
Corporation+++ 4,500 106,425
Masco Corporation 18,300 570,594
MeadWestvaco Corporation 8,383 246,376
Monsanto Co. 11,060 425,810
Newmont Mining Corporation+++ 18,500 717,060
Nucor Corporation+++ 3,300 253,308
Pactiv Corporation* 6,400 159,616
Phelps Dodge Corporation 3,900 302,289
PPG Industries, Inc. 7,200 449,928
Praxair, Inc. 13,580 541,978
Rohm & Haas Co. 9,400 390,852
Sealed Air Corporation*+++ 3,500 186,445
Sherwin-Williams Co. (The) 6,000 249,300
Sigma-Aldrich Corporation 2,900 172,869
Temple-Inland, Inc. 2,300 159,275
United States Steel
Corporation+++ 4,700 165,064
Vulcan Materials Co. 4,300 204,465
Weyerhaeuser Co. 10,100 637,512
Worthington Industries,
Inc.+++ 3,600 73,908
------------
15,415,148
------------
OTHER -- 4.5%
3M Co. 32,700 2,943,327
Brunswick Corporation 4,000 163,200
Eaton Corporation 6,300 407,862
General Electric Co. 441,300 14,298,120
Honeywell International, Inc. 35,900 1,315,017
ITT Industries, Inc. 3,900 323,700
Johnson Controls, Inc. 7,992 426,613
Textron, Inc. 5,800 344,230
------------
20,222,069
------------
OTHER ENERGY -- 1.8%
Anadarko Petroleum Corporation 10,500 615,300
Apache Corporation 13,648 594,370
Baker Hughes, Inc. 13,900 523,335
BJ Services Co.* 6,700 307,128
Burlington Resources, Inc. 16,600 600,588
Calpine Corporation*+++ 17,400 75,168
Devon Energy Corporation 10,000 660,000
Dynegy, Inc. Class A*+++ 15,800 67,308
El Paso Corporation 26,800 211,184
EOG Resources, Inc.+++ 4,900 292,579
Halliburton Co.+++ 18,400 556,784
Kerr-McGee Corporation+++ 6,230 334,987
Nabors Industries, Ltd.* 6,200 280,364
Noble Corporation* 5,600 212,184
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Rowan Cos., Inc.*+++ 4,400 $ 107,052
Schlumberger, Ltd. 24,600 1,562,347
Sunoco, Inc.+++ 3,200 203,584
Transocean, Inc.* 13,400 387,796
Valero Energy Corporation 5,400 398,304
Williams Cos., Inc. 21,700 258,230
------------
8,248,592
------------
PRODUCER DURABLES -- 4.8%
Agilent Technologies, Inc.* 20,100 588,528
American Power Conversion
Corporation 8,400 165,060
Andrew Corporation* 6,700 134,067
Applied Materials, Inc.* 70,500 1,383,210
Boeing Co. (The) 35,300 1,803,477
Caterpillar, Inc. 14,300 1,135,992
Centex Corporation 5,200 237,900
Cooper Industries, Ltd. Class
A 3,900 231,699
Crane Co. 2,500 78,475
Cummins, Inc.+++ 1,800 112,500
Danaher Corporation 12,900 668,865
Deere & Co. 10,400 729,456
Dover Corporation 8,500 357,850
Emerson Electric Co. 17,600 1,118,480
Goodrich Corporation 4,900 158,417
Grainger (W.W.), Inc. 3,800 218,500
Illinois Tool Works, Inc.+++ 13,000 1,246,570
Ingersoll-Rand Co. Class A 7,200 491,832
KB HOME 2,000 137,260
KLA-Tencor Corporation* 8,200 404,916
Lexmark International, Inc.* 5,400 521,262
Lockheed Martin Corporation 18,800 979,104
Molex, Inc.+++ 7,950 255,036
Northrop Grumman Corporation 15,056 808,507
Novellus Systems, Inc.* 6,200 194,928
Pall Corporation 5,200 136,188
Parker Hannifin Corporation 5,000 297,300
Pitney Bowes, Inc. 9,700 429,225
Power-One, Inc.*+++ 3,500 38,430
Pulte Homes, Inc. 5,304 275,967
Rockwell Collins, Inc. 7,400 246,568
Tektronix, Inc. 3,500 119,070
Teradyne, Inc.*+++ 8,100 183,870
Thermo Electron Corporation* 6,910 212,413
Thomas & Betts Corporation+++ 2,500 68,075
Tyco International, Ltd.+++ 83,884 2,779,916
United Technologies
Corporation 21,500 1,966,820
Waters Corporation* 5,000 238,900
Xerox Corporation*+++ 33,500 485,750
------------
21,640,383
------------
TECHNOLOGY -- 15.0%
ADC Telecommunications,
Inc.*+++ 33,800 95,992
Adobe Systems, Inc.+++ 10,000 465,000
Advanced Micro Devices,
Inc.*+++ 14,800 235,320
</Table>
See Notes to Financial Statements.
73
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Affiliated Computer Services,
Inc. Class A* 5,700 $ 301,758
Altera Corporation* 15,700 348,854
Analog Devices, Inc. 15,700 739,156
Apple Computer, Inc.* 15,900 517,386
Applera Corporation-Applied
Biosystems Group 8,400 182,700
Applied Micro Circuits
Corporation* 13,000 69,160
Autodesk, Inc.+++ 4,780 204,632
Avaya, Inc.*+++ 18,548 292,873
BMC Software, Inc.* 9,300 172,050
Broadcom Corporation Class A* 13,100 612,687
CIENA Corporation*+++ 23,700 88,164
Cisco Systems, Inc.* 282,700 6,699,990
Citrix Systems, Inc.* 7,100 144,556
Computer Associates
International, Inc.+++ 24,500 687,470
Computer Sciences Corporation* 7,800 362,154
Compuware Corporation* 16,100 106,260
Comverse Technology, Inc.* 8,200 163,508
Corning, Inc.* 57,400 749,644
Dell, Inc.* 105,500 3,779,010
Electronic Data Systems
Corporation 20,300 388,745
EMC Corporation* 102,200 1,165,080
Gateway, Inc.*+++ 15,600 70,200
General Dynamics Corporation 8,300 824,190
Hewlett-Packard Co. 127,502 2,690,292
Intel Corporation 270,500 7,465,800
International Business
Machines Corporation 70,500 6,214,575
Intuit, Inc.* 8,000 308,640
Jabil Circuit, Inc.* 8,400 211,512
JDS Uniphase Corporation*+++ 60,200 228,158
Linear Technology Corporation 12,900 509,163
LSI Logic Corporation*+++ 16,000 121,920
Lucent Technologies, Inc.*+++ 179,176 677,285
Maxim Integrated Products,
Inc. 13,500 707,670
Mercury Interactive
Corporation* 3,900 194,337
Micron Technology, Inc.*+++ 25,500 390,405
Microsoft Corporation 451,400 12,891,984
Motorola, Inc. 98,000 1,788,500
National Semiconductor
Corporation*+++ 15,000 329,850
NCR Corporation* 4,000 198,360
Network Appliance, Inc.* 14,500 312,185
Novell, Inc.* 16,200 135,918
Nvidia Corporation*+++ 6,900 141,450
Oracle Corporation* 217,200 2,591,196
Parametric Technology
Corporation*+++ 11,200 56,000
Peoplesoft, Inc.* 15,300 283,050
PerkinElmer, Inc. 5,300 106,212
PMC-Sierra, Inc.*+++ 7,400 106,190
QLogic Corporation*+++ 3,900 103,701
Qualcomm, Inc. 33,900 2,474,022
Raytheon Co. 18,700 668,899
Rockwell Automation, Inc. 7,800 292,578
Sanmina-SCI Corporation* 21,800 198,380
Scientific-Atlanta, Inc. 6,400 220,800
Siebel Systems, Inc.* 21,000 224,280
Solectron Corporation*+++ 40,200 260,094
Sun Microsystems, Inc.*+++ 139,100 603,694
Symantec Corporation*+++ 13,000 569,140
Symbol Technologies, Inc. 9,850 145,189
Tellabs, Inc.*+++ 17,400 152,076
Texas Instruments, Inc. 72,400 1,750,632
Unisys Corporation* 13,900 192,932
Veritas Software Corporation* 18,075 500,678
Xilinx, Inc. 14,500 482,995
------------
66,967,281
------------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
UTILITIES -- 6.7%
AES Corporation (The)* 26,600 $ 264,138
Allegheny Energy, Inc.*+++ 5,300 81,673
Alltel Corporation 12,900 652,998
Ameren Corporation+++ 7,600 326,496
American Electric Power Co.,
Inc. 16,500 528,000
AT&T Corporation 33,185 485,497
AT&T Wireless Services, Inc.* 114,064 1,633,396
BellSouth Corporation 76,700 2,011,074
Centerpoint Energy, Inc.+++ 12,800 147,200
CenturyTel, Inc.+++ 5,800 174,232
Cinergy Corporation 7,500 285,000
Citizens Communications Co.* 12,000 145,200
CMS Energy Corporation*+++ 6,800 62,084
Comcast Corporation Class A* 93,815 2,629,634
Consolidated Edison, Inc.+++ 10,100 401,576
Constellation Energy Group,
Inc. 7,000 265,300
Dominion Resources, Inc.+++ 13,700 864,196
DTE Energy Co.+++ 7,300 295,942
Duke Energy Corporation 38,300 777,107
Edison International+++ 13,600 347,752
Entergy Corporation 9,652 540,609
Exelon Corporation 27,624 919,603
FirstEnergy Corporation 13,784 515,659
FPL Group, Inc. 7,700 492,415
KeySpan Corporation+++ 6,700 245,890
Kinder Morgan, Inc. 5,200 308,308
Nextel Communications, Inc.
Class A* 46,400 1,237,024
Nicor, Inc.+++ 1,800 61,146
NiSource, Inc. 11,000 226,820
Peoples Energy Corporation+++ 1,600 67,440
PG&E Corporation*+++ 17,500 488,950
Pinnacle West Capital
Corporation 3,800 153,482
PPL Corporation 7,400 339,660
Progress Energy, Inc.+++ 10,300 453,715
Public Service Enterprise
Group, Inc.+++ 9,900 396,297
</Table>
See Notes to Financial Statements.
74
<Table>
<Caption>
SHARES VALUE
---------- ------------
Qwest Communications
International, Inc.* 74,600 $ 267,814
SBC Communications, Inc. 138,534 3,359,450
Sempra Energy 9,600 330,528
Southern Co. (The) 30,800 897,820
Sprint Corporation (FON
Group)+++ 59,600 1,048,960
TECO Energy, Inc.+++ 7,900 94,721
TXU Corporation 13,500 546,885
Verizon Communications, Inc. 115,834 4,192,032
Xcel Energy, Inc.+++ 16,700 279,057
------------
29,842,780
------------
TOTAL COMMON STOCK
(Cost $385,735,355) 432,188,349
------------
SHORT-TERM INVESTMENTS -- 8.5%
AB Funds Trust -- Money Market
Fund (Retirement Class)(inf) 13,661,276 13,661,276
Northern Institutional Liquid
Assets Portfolio sec. 24,439,518 24,439,517
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $38,100,793) 38,100,793
------------
</Table>
<Table>
<Caption>
PAR VALUE
--------- ------------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
0.95%, 07/22/04++++ $ 955,000 $ 954,513
0.96%, 07/22/04++++ 30,000 29,983
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $984,454) 984,496
------------
TOTAL INVESTMENTS -- 105.4%
(Cost $424,820,602) 471,273,638
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (5.4%) (24,263,468)
------------
NET ASSETS -- 100.0% $447,010,170
============
</Table>
See Notes to Financial Statements.
75
VALUE EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 1000(R) VALUE
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ---------------------
One Year 23.70% 23.85% 23.36% 21.13%
Since Inception
(8/27/01 -- 6/30/04) 3.38% 3.87% 3.39% 3.60%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
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 9610
02/28/02 9535 9625
03/31/02 10031 10081
04/30/02 9747 9735
05/31/02 9734 9784
06/30/02 9157 9222
07/31/02 8273 8365
08/31/02 8366 8428
09/30/02 7382 7491
10/31/02 7807 8046
11/30/02 8306 8553
12/31/02 7950 8181
01/31/03 7783 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
07/30/03 9041 9264
08/31/03 9196 9408
09/30/03 9088 9316
10/31/03 9643 9886
11/30/03 9791 10020
12/31/03 10402 10638
01/31/04 10627 10825
02/29/04 10838 11057
03/31/04 10736 10960
04/30/04 10545 10692
05/31/04 10688 10801
06/30/04 10991 11057
</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
76
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ----------- --------------
COMMON STOCK -- 96.4%
AUTO & TRANSPORTATION -- 3.5%
American Axle &
Manufacturing Holdings,
Inc. 43,400 $ 1,578,024
AMR Corporation*+++ 125,000 1,513,750
Autoliv, Inc. 5,600 236,320
BorgWarner, Inc. 2,500 109,425
Burlington Northern Santa
Fe Corporation 399,900 14,024,492
CNF, Inc. 2,100 87,276
CSX Corporation 12,700 416,179
Dana Corporation 65,300 1,279,880
Delphi Corporation 857,600 9,159,168
FedEx Corporation 4,200 343,098
Ford Motor Co.+++ 104,095 1,629,087
General Motors
Corporation+++ 111,700 5,204,103
Genuine Parts Co. 10,300 408,704
Lear Corporation 4,100 241,859
Navistar International
Corporation* 1,700 65,892
Norfolk Southern
Corporation 45,500 1,206,660
Oshkosh Truck Corporation 200 11,462
Paccar, Inc. 10,350 600,197
Southwest Airlines Co. 9,850 165,185
Tidewater, Inc. 14,000 417,200
TRW Automotive Holdings
Corporation* 1,400 26,390
Union Pacific Corporation 122,400 7,276,680
Yellow Roadway Corporation* 2,800 111,608
--------------
46,112,639
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
CONSUMER
DISCRETIONARY -- 10.6%
Activision, Inc.* 1,400 $ 22,260
Alberto-Culver Co. 650 32,591
Allied Waste Industries,
Inc.* 9,500 125,210
American Eagle Outfitters,
Inc.* 300 8,673
AnnTaylor Stores
Corporation* 1,300 37,674
AutoNation, Inc.* 10,400 177,840
Barnes & Noble, Inc.* 2,900 98,542
Belo Corporation Class A 2,300 61,755
Big Lots, Inc.* 4,100 59,286
BJ's Wholesale Club, Inc.* 4,100 102,500
Black & Decker
Corporation+++ 44,600 2,770,998
Blockbuster, Inc. Class
A+++ 1,500 22,770
Borders Group, Inc. 4,600 107,824
Brink's Co. (The) 200 6,850
Brinker International,
Inc.* 500 17,060
Carnival Corporation+++ 183,400 8,619,800
Cendant Corporation+++ 655,130 16,037,582
ChoicePoint, Inc.*+++ 18,300 835,578
Circuit City Stores,
Inc. -- Circuit City
Group+++ 238,800 3,092,460
Citadel Broadcasting
Corporation* 1,700 24,769
Claire's Stores, Inc. 400 8,680
Clear Channel
Communications, Inc. 17,625 651,244
Columbia Sportswear Co.* 100 5,462
Convergys Corporation* 8,500 130,900
Costco Wholesale
Corporation 25,500 1,047,285
Cox Radio, Inc. Class A* 1,300 22,594
Darden Restaurants, Inc. 5,300 108,915
Dillard's, Inc. Class A+++ 72,800 1,623,440
DIRECTV Group, Inc. (The)* 4,232 72,367
Donnelley (R.R.) & Sons Co. 12,800 422,656
Eastman Kodak Co.+++ 331,400 8,941,172
EchoStar Communications
Corporation Class A* 17,582 540,647
Entercom Communications
Corporation* 1,100 41,030
Federated Department
Stores, Inc. 17,400 854,340
Foot Locker, Inc. 5,000 121,700
Gannett Co., Inc. 16,100 1,366,085
Gemstar-TV Guide
International, Inc.* 8,900 42,720
Gillette Co. (The) 4,500 190,800
Harte-Hanks, Inc. 450 10,985
Hasbro, Inc. 9,125 173,375
Hearst-Argyle Television,
Inc. 1,800 46,404
Hilton Hotels Corporation 3,300 61,578
Home Depot, Inc. (The) 11,000 387,200
IKON Office Solutions, Inc. 7,100 81,437
InterActiveCorp* 10,461 315,295
International Flavors &
Fragrances, Inc. 800 29,920
International Speedway
Corporation Class A 200 9,728
Interpublic Group Cos.,
Inc.* 8,100 111,213
ITT Educational Services,
Inc.* 38,300 1,456,166
Jones Apparel Group, Inc. 131,800 5,203,464
Kimberly-Clark Corporation 17,200 1,133,136
Kmart Holding Corporation* 2,800 201,040
Knight-Ridder, Inc. 3,900 280,800
Lamar Advertising Co.* 1,000 43,350
Laureate Education, Inc.* 400 15,296
Lee Enterprises, Inc. 2,700 129,627
Leggett & Platt, Inc. 7,100 189,641
Liberty Media Corporation
Class A* 83,100 747,069
Liberty Media
International, Inc. Class
A*+++ 2,880 106,848
Limited Brands 23,100 431,970
Liz Claiborne, Inc. 6,600 237,468
Manpower, Inc. 2,800 142,156
Marriott International,
Inc. Class A 1,400 69,832
Mattel, Inc. 227,500 4,151,875
</Table>
See Notes to Financial Statements.
77
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
May Department Stores Co.
(The) 17,200 $ 472,828
Maytag Corporation 2,100 51,471
McClatchy Co. Class A 1,100 77,165
McDonald's Corporation 696,400 18,106,399
Media General, Inc. Class A 700 44,954
Metro-Goldwyn-Mayer, Inc. 2,400 29,040
Mohawk Industries, Inc.* 1,500 109,995
Neiman-Marcus Group, Inc.
Class A 2,500 139,125
New York Times Co. Class A 800 35,768
Newell Rubbermaid, Inc. 219,600 5,160,600
Nordstrom, Inc. 2,100 89,481
Office Depot, Inc.* 209,300 3,748,563
Omnicom Group, Inc. 1,700 129,013
Outback Steakhouse, Inc.+++ 400 16,544
Penney (JC) Co., Inc. 14,400 543,744
Pier 1 Imports, Inc.+++ 2,800 49,532
Polo Ralph Lauren
Corporation+++ 2,100 72,345
Radio One, Inc. Class D* 2,500 40,025
RadioShack Corporation 21,500 615,545
Reebok International, Ltd. 2,700 97,146
Regal Entertainment Group
Class A+++ 2,100 38,010
Regis Corporation 1,500 66,885
Rent-A-Center, Inc.* 1,300 38,909
Republic Services, Inc. 25,700 743,758
Sabre Holdings Corporation 8,200 227,222
Saks, Inc.+++ 7,500 112,500
Sears, Roebuck & Co.+++ 180,200 6,804,352
Service Corporation
International* 18,000 132,660
Servicemaster Co. 7,100 87,472
Sirius Satellite Radio,
Inc.*+++ 73,100 225,148
Snap-On, Inc. 3,400 114,070
Stanley Works (The)+++ 200,900 9,157,022
Staples, Inc. 29,700 870,507
Starwood Hotels & Resorts
Worldwide, Inc. 7,800 349,830
Tech Data Corporation* 3,400 133,042
Time Warner, Inc.* 210,600 3,702,348
Toys "R" Us, Inc.* 12,600 200,718
Tribune Co. 14,700 669,438
Univision Communications,
Inc. Class A*+++ 5,395 172,262
VeriSign, Inc.* 4,500 89,550
VF Corporation 5,000 243,500
Viad Corporation* 2,900 78,329
Waste Management, Inc. 271,157 8,310,962
Wendy's International, Inc. 248,900 8,671,676
West Corporation* 200 5,230
Whirlpool Corporation+++ 39,000 2,675,400
--------------
137,771,015
--------------
CONSUMER STAPLES -- 3.9%
Albertson's, Inc.+++ 114,100 3,028,214
Campbell Soup Co. 6,800 182,784
Clorox Co. 2,600 139,828
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Coca-Cola Co. (The) 13,300 $ 671,384
Coca-Cola Enterprises, Inc. 13,900 402,961
Colgate-Palmolive Co. 5,300 309,785
ConAgra Foods, Inc. 477,400 12,927,991
CVS Corporation 20,800 874,016
Dean Foods Co.* 9,250 345,118
Del Monte Foods Co.* 10,800 109,728
General Mills, Inc. 17,100 812,763
Heinz (H.J.) Co. 186,700 7,318,640
Hershey Foods Corporation 2,300 106,421
Hormel Foods Corporation 4,400 136,840
J.M. Smucker Co. (The) 3,400 156,094
Kellogg Co. 6,100 255,285
Kraft Foods, Inc. Class A 15,800 500,544
Kroger Co.* 43,600 793,520
McCormick & Co., Inc. 2,000 68,000
Pepsi Bottling Group, Inc. 900 27,486
PepsiAmericas, Inc. 4,200 89,208
PepsiCo, Inc. 5,400 290,952
Pilgrim's Pride Corporation 900 26,046
Procter & Gamble Co. 13,350 726,774
Rite Aid Corporation*+++ 2,600 13,572
Safeway, Inc.* 311,200 7,885,808
Sara Lee Corporation+++ 479,415 11,021,751
Smithfield Foods, Inc.* 5,000 147,000
SUPERVALU, Inc. 29,400 899,934
Tootsie Roll Industries,
Inc. 1,439 46,768
Tyson Foods, Inc. Class A 12,981 271,952
Wrigley (W.M.), Jr. Co. 600 37,830
--------------
50,624,997
--------------
FINANCIAL SERVICES -- 30.5%
A.G. Edwards, Inc. 4,700 159,941
Accenture, Ltd. Class A* 47,900 1,316,292
ACE, Ltd. 231,800 9,800,504
AFLAC, Inc. 2,900 118,349
Alleghany Corporation* 312 89,544
Allied Capital
Corporation+++ 7,600 185,592
Allmerica Financial
Corporation* 3,100 104,780
Allstate Corporation (The) 379,900 17,684,345
AMB Property Corporation
REIT 4,900 169,687
AMBAC Financial Group, Inc. 4,850 356,184
American Capital
Strategies, Ltd. 2,700 75,654
American Financial Group,
Inc.+++ 2,200 67,254
American International
Group, Inc. 45,133 3,217,080
American National Insurance
Co. 500 46,165
AmeriCredit Corporation* 9,300 181,629
</Table>
See Notes to Financial Statements.
78
<Table>
<Caption>
SHARES VALUE
----------- --------------
AmSouth Bancorporation 20,800 $ 529,776
Annaly Mortgage Management,
Inc. REIT+++ 7,000 118,720
AON Corporation 18,600 529,542
Apartment Investment &
Management Co. Class A
REIT 5,600 174,328
Archstone-Smith Trust REIT 11,600 340,228
Arden Realty, Inc. REIT 3,900 114,699
Arthur J. Gallagher & Co. 300 9,135
Associated Banc-Corp+++ 27,300 808,899
Assurant, Inc. 50,200 1,324,276
Assured Guaranty, Ltd.* 35,100 594,945
Astoria Financial
Corporation 47,200 1,726,576
Automatic Data Processing,
Inc. 4,900 205,212
AvalonBay Communities, Inc.
REIT 4,200 237,384
Bank of America Corporation 412,742 34,926,227
Bank of Hawaii Corporation 3,200 144,704
Bank of New York Co., Inc.
(The) 39,900 1,176,252
Bank One Corporation 66,300 3,381,300
Banknorth Group, Inc. 10,200 331,296
BB&T Corporation 32,829 1,213,688
Bear Stearns Cos., Inc.
(The) 26,900 2,267,939
BOK Financial Corporation* 1,057 41,508
Boston Properties, Inc.
REIT 4,900 245,392
BRE Properties, Inc. Class
A REIT 3,000 104,250
Camden Property Trust REIT 2,400 109,920
Capital One Financial
Corporation 4,000 273,520
Capitol Federal
Financial+++ 1,300 38,870
CBL & Associates
Properties, Inc. REIT 700 38,500
Centerpoint Properties
Corporation REIT 1,400 107,450
Charter One Financial, Inc. 13,208 583,662
Checkfree Corporation* 1,700 51,000
Chelsea Property Group,
Inc. REIT 1,500 97,830
Chubb Corporation 101,300 6,906,634
Cigna Corporation+++ 108,900 7,493,409
Cincinnati Financial
Corporation 8,815 383,629
CIT Group, Inc. 12,500 478,625
Citigroup, Inc. 1,042,000 48,452,999
City National Corporation 2,400 157,680
CNA Financial Corporation* 1,500 44,385
Colonial Bancgroup, Inc. 7,500 136,275
Comerica, Inc. 184,100 10,103,408
Commerce Bancshares, Inc. 3,436 157,867
Compass Bancshares, Inc. 7,200 309,600
Conseco, Inc.* 8,500 169,150
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Countrywide Financial
Corporation 16,500 $ 1,159,125
Crescent Real Estate
Equities Co. REIT 254,800 4,107,376
Cullen/Frost Bankers, Inc. 3,000 134,250
Deluxe Corporation+++ 3,000 130,500
Developers Diversified
Realty Corporation REIT 6,000 212,220
Doral Financial Corporation 49,800 1,718,100
Duke Realty Corporation
REIT 8,400 267,204
E*TRADE Financial
Corporation* 9,300 103,695
Equifax, Inc. 2,600 64,350
Equity Office Properties
Trust REIT 23,885 649,672
Equity Residential
Properties Trust REIT 16,600 493,518
Erie Indemnity Co. Class A 1,700 79,526
Everest Re Group, Ltd. 19,300 1,550,948
Fair Isaac & Co., Inc. 600 20,028
Fannie Mae 6,000 428,160
Federal Realty Investors
Trust REIT 3,000 124,770
Federated Investors, Inc.
Class B 500 15,170
Fidelity National
Financial, Inc. 9,479 353,946
Fifth Third Bancorp 4,300 231,254
First American
Corporation+++ 4,600 119,094
First Horizon National
Corporation+++ 7,300 331,931
FirstMerit Corporation+++ 5,000 131,850
Franklin Resources, Inc. 8,300 415,664
Freddie Mac 137,700 8,716,410
Fremont General Corporation 1,000 17,650
Friedman, Billings, Ramsey
Group, Inc. Class A
REIT+++ 35,000 692,650
Fulton Financial
Corporation 7,240 145,886
General Growth Properties,
Inc. REIT 116,800 3,453,776
Genworth Financial, Inc.
Class A* 7,400 169,830
Golden West Financial
Corporation 5,000 531,750
Goldman Sachs Group, Inc. 18,100 1,704,296
Greenpoint Financial
Corporation 6,500 258,050
Hartford Financial Services
Group, Inc.+++ 328,000 22,546,719
HCC Insurance Holdings,
Inc. 2,800 93,548
Health Care Property
Investors, Inc. REIT 7,800 187,512
Health Care REIT, Inc. 3,000 97,500
Hibernia Corporation Class
A 9,200 223,560
</Table>
See Notes to Financial Statements.
79
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Hospitality Properites
Trust REIT 4,000 $ 169,200
Host Marriott Corporation
REIT* 19,000 234,840
HRPT Properties Trust REIT 10,500 105,105
Hudson United Bancorp 2,700 100,656
Huntington Bancshares, Inc. 13,600 311,440
Independence Community Bank
Corporation 30,978 1,127,599
IndyMac Bancorp, Inc. 1,800 56,880
Instinet Group, Inc.* 6,900 36,432
International Bancshares
Corporation 2,100 85,155
iStar Financial, Inc.
REIT+++ 6,500 260,000
Janus Capital Group, Inc. 14,200 234,158
Jefferies Group, Inc.+++ 3,000 92,760
Jefferson-Pilot Corporation 8,300 421,640
JP Morgan Chase & Co. 573,322 22,227,694
KeyCorp 279,750 8,361,728
Kimco Realty Corporation
REIT 5,700 259,350
Lehman Brothers Holdings,
Inc. 16,342 1,229,736
Leucadia National
Corporation 3,100 154,070
Liberty Property Trust
REIT+++ 5,000 201,050
Lincoln National
Corporation 10,300 486,675
Loews Corporation 8,800 527,648
M & T Bank Corporation 4,500 392,850
Macerich Co. (The) REIT+++ 3,500 167,545
Mack-Cali Realty
Corporation REIT 3,600 148,968
Markel Corporation* 300 83,250
Marshall & Ilsley
Corporation 13,100 512,079
MBIA, Inc. 8,550 488,376
MBNA Corporation 45,700 1,178,603
Mellon Financial
Corporation 17,400 510,342
Mercantile Bankshares
Corporation 4,700 220,054
Mercury General Corporation 1,500 74,475
Merrill Lynch & Co., Inc. 192,267 10,378,573
MetLife, Inc. 23,800 853,230
MGIC Investment
Corporation+++ 109,300 8,291,498
Mills Corporation (The)
REIT 14,000 653,800
Morgan Stanley 131,500 6,939,255
National City Corporation 122,800 4,299,228
National Commerce Financial
Corporation 12,100 393,250
Nationwide Financial
Services Class A 3,300 124,113
New Plan Excel Realty Trust
REIT+++ 5,900 137,824
New York Community Bancorp,
Inc.+++ 15,654 307,288
North Fork Bancorporation,
Inc.+++ 73,800 2,808,090
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Northern Trust Corporation 8,100 $ 342,468
Nuveen Investments, Inc.
Class A 400 10,720
Odyssey Re Holdings
Corporation+++ 700 16,800
Old Republic International
Corporation 10,750 254,990
Pan Pacific Retail
Properties, Inc. REIT 2,400 121,248
People's Bank+++ 2,250 70,088
Plum Creek Timber Co., Inc.
REIT 10,862 353,884
PMI Group, Inc. (The) 5,700 248,064
PNC Financial Services
Group, Inc. 16,700 886,436
Popular, Inc. 18,900 808,353
Principal Financial Group 18,900 657,342
Progressive Corporation
(The) 10,800 921,240
ProLogis REIT 10,689 351,882
Protective Life Corporation 4,100 158,547
Provident Financial Group,
Inc.+++ 2,500 98,650
Providian Financial
Corporation* 12,400 181,908
Prudential Financial, Inc. 26,000 1,208,220
Public Storage, Inc. REIT 4,800 220,848
Radian Group, Inc. 3,600 172,440
Raymond James Financial,
Inc. 3,600 95,220
Rayonier, Inc. REIT 2,940 130,683
Reckson Associates Realty
Corporation REIT 4,000 109,840
Regency Centers Corporation
REIT 1,500 64,350
Regions Financial
Corporation 78,700 2,876,485
Reinsurance Group of
America, Inc.+++ 1,700 69,105
RenaissanceRe Holdings,
Ltd. 30,000 1,618,500
Rouse Co. (The) REIT 6,100 289,750
Ryder System, Inc. 2,100 84,147
Safeco Corporation 8,200 360,800
Schwab (Charles)
Corporation (The) 7,000 67,270
Shurgard Storage Centers,
Inc. Class A REIT+++ 2,700 100,980
Simon Property Group, Inc.
REIT 9,200 473,064
Sky Financial Group, Inc. 5,500 136,015
SL Green Realty Corporation
REIT 2,300 107,640
SLM Corporation 188,600 7,628,870
South Financial Group, Inc. 3,500 99,190
SouthTrust Corporation 19,500 756,795
Sovereign Bancorp, Inc. 18,100 400,010
St. Paul Travelers Cos.,
Inc. 72,445 2,936,921
Stancorp Financial Group,
Inc. 1,700 113,900
</Table>
See Notes to Financial Statements.
80
<Table>
<Caption>
SHARES VALUE
----------- --------------
State Street Corporation 10,200 $ 500,208
Student Loan Corporation+++ 200 27,300
Sungard Data Systems, Inc.* 2,100 54,600
SunTrust Banks, Inc.+++ 72,300 4,698,777
Synovus Financial
Corporation 112,200 2,840,904
TCF Financial
Corporation+++ 500 29,025
Thornburg Mortgage, Inc.
REIT+++ 4,800 129,360
Torchmark Corporation 6,600 355,080
Transatlantic Holdings,
Inc. 1,100 89,089
Trizec Properties, Inc.
REIT 5,200 84,552
Union Planters Corporation 11,200 333,872
UnionBanCal Corporation 3,300 186,120
United Dominion Realty
Trust, Inc. REIT 7,600 150,328
Unitrin, Inc. 1,600 68,160
UnumProvident Corporation 17,500 278,250
US Bancorp 575,926 15,872,521
Valley National Bancorp 5,536 139,950
Ventas, Inc. REIT 2,200 51,370
Vornado Realty Trust REIT 5,700 325,527
W Holding Co., Inc. 1,800 30,906
W.R. Berkley Corporation 3,875 166,431
Wachovia Corporation 322,050 14,331,225
Washington Federal, Inc. 4,634 111,216
Washington Mutual, Inc. 449,714 17,376,949
Webster Financial
Corporation 3,100 145,762
Weingarten Realty Investors
REIT 400 12,512
WellChoice, Inc.*+++ 900 37,260
Wells Fargo & Co. 196,272 11,232,647
Westcorp+++ 900 40,905
WFS Financial, Inc.* 200 9,902
Whitney Holding Corporation 2,400 107,208
Wilmington Trust
Corporation 3,900 145,158
XL Capital, Ltd. Class A+++ 156,400 11,801,944
Zions Bancorporation 5,300 325,685
--------------
395,236,050
--------------
HEALTHCARE -- 6.3%
Aetna, Inc. 6,200 527,000
AmerisourceBergen
Corporation 47,546 2,842,300
Andrx Corporation*+++ 1,600 44,688
Anthem, Inc.* 56,431 5,053,960
Bausch & Lomb, Inc. 1,200 78,084
Baxter International, Inc. 289,200 9,980,292
Biogen Idec, Inc.* 1,000 63,250
Bristol-Myers Squibb Co.+++ 377,600 9,251,200
Caremark Rx, Inc.* 11,800 388,692
Community Health Systems,
Inc.* 1,500 40,155
Conventry Health Care,
Inc.* 11,500 562,350
Dade Behring Holdings,
Inc.* 300 14,256
Eyetech Pharmaceuticals,
Inc.* 100 4,292
HCA, Inc. 16,600 690,394
Health Management
Associates, Inc. Class A 1,600 35,872
Health Net, Inc.*+++ 331,800 8,792,700
Henry Schein, Inc.* 300 18,942
Hospira, Inc* 9,200 253,920
Humana, Inc.* 9,500 160,550
ICOS Corporation*+++ 1,600 47,744
Invitrogen Corporation* 1,600 115,184
IVAX Corporation*+++ 121,000 2,902,790
Johnson & Johnson 41,000 2,283,700
King Pharmaceuticals, Inc.* 14,300 163,735
Laboratory Corporation of
America Holdings* 400 15,880
Manor Care, Inc. 1,000 32,680
McKesson Corporation 36,200 1,242,746
Medco Health Solutions,
Inc.* 135,717 5,089,388
Medtronic, Inc. 52,800 2,572,416
Merck & Co., Inc. 179,800 8,540,500
Millennium Pharmaceuticals,
Inc.* 8,400 115,920
Omnicare, Inc.+++ 1,100 47,091
PacifiCare Health Systems,
Inc.* 3,900 150,774
Pfizer, Inc. 64,600 2,214,488
Protein Design Labs, Inc.* 4,600 87,998
Respironics, Inc.*+++ 11,900 699,125
Schering-Plough Corporation 418,400 7,732,032
Tenet Healthcare
Corporation* 27,500 368,775
Triad Hospitals, Inc.*+++ 2,900 107,967
Universal Health Services,
Inc. Class B 1,300 59,657
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Watson Pharmaceuticals,
Inc.* 4,700 $ 126,430
WebMD Corporation*+++ 7,300 68,036
WellPoint Health Networks,
Inc.* 1,000 112,010
Wyeth 226,000 8,172,160
--------------
81,872,123
--------------
INTEGRATED OILS -- 8.5%
Amerada Hess Corporation 42,600 3,373,494
BP PLC ADR+++ 234,068 12,539,023
ChevronTexaco Corporation 273,298 25,720,075
ConocoPhillips 390,988 29,828,474
ExxonMobil Corporation 395,400 17,559,714
Marathon Oil Corporation 216,900 8,207,496
Murphy Oil Corporation 4,800 353,760
Occidental Petroleum
Corporation 260,500 12,610,805
Unocal Corporation 15,600 592,800
--------------
110,785,641
--------------
MATERIALS & PROCESSING --6.5%
Air Products & Chemicals,
Inc. 13,400 702,830
Alcoa, Inc. 231,100 7,633,233
Archer-Daniels-Midland Co. 34,489 578,725
Ashland, Inc. 4,200 221,802
</Table>
See Notes to Financial Statements.
81
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Ball Corporation 1,700 $ 122,485
Bemis Co. 6,300 177,975
Boise Cascade Corporation 5,200 195,728
Bowater, Inc.+++ 3,300 137,247
Cabot Corporation+++ 23,100 940,170
Dow Chemical Co. (The) 51,844 2,110,051
Du Pont (E.I.) de Nemours &
Co. 59,200 2,629,664
Eastman Chemical Co.+++ 155,700 7,198,011
Energizer Holdings, Inc.* 2,700 121,500
Engelhard Corporation 35,800 1,156,698
Florida Rock Industries,
Inc. 1,300 54,821
Fluor Corporation+++ 3,000 143,010
Forest City Enterprises,
Inc. Class A 1,800 95,400
Georgia-Pacific Corporation 165,971 6,137,608
Harsco Corporation 1,600 75,200
Hughes Supply, Inc. 8,800 518,584
International Paper Co. 206,700 9,239,490
International Steel Group,
Inc.* 900 26,775
Jacobs Engineering Group,
Inc.* 700 27,566
Lafarge North America, Inc. 2,000 86,600
Louisiana-Pacific
Corporation 6,400 151,360
Lubrizol Corporation 27,100 992,402
Lyondell Chemical Co.+++ 294,300 5,117,877
Martin Marietta Materials,
Inc. 2,900 128,557
Masco Corporation 25,900 807,562
MeadWestvaco Corporation 11,947 351,122
Monsanto Co. 261,400 10,063,900
Newmont Mining Corporation 8,500 329,460
Nucor Corporation+++ 74,400 5,710,944
Owens-Illinois, Inc.* 6,500 108,940
Packaging Corporation of
America 3,600 86,040
Pactiv Corporation* 266,500 6,646,510
Phelps Dodge Corporation 22,400 1,736,224
PPG Industries, Inc. 10,100 631,149
Praxair, Inc. 13,700 546,767
Precision Castparts
Corporation 1,800 98,442
Rohm & Haas Co. 9,500 395,010
RPM International, Inc. 61,300 931,760
Scotts Co. (The) Class A* 1,000 63,880
Sealed Air Corporation* 800 42,616
Sherwin-Williams Co. (The) 76,200 3,166,110
Sigma-Aldrich Corporation 3,100 184,791
Smurfit-Stone Container
Corporation* 14,900 297,255
Sonoco Products Co. 5,800 147,900
Southern Peru Copper
Corporation 400 16,532
Temple-Inland, Inc. 3,300 228,525
Timken Co. 2,000 52,980
United States Steel
Corporation+++ 13,000 456,560
Valspar Corporation 3,000 151,170
Vulcan Materials Co. 6,000 285,300
Weyerhaeuser Co. 76,000 4,797,120
Worthington Industries,
Inc. 600 12,318
--------------
85,068,256
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
OTHER -- 1.7%
Allete, Inc. 5,200 $ 173,160
Brunswick Corporation 2,300 93,840
Carlisle Cos., Inc. 1,800 112,050
Eaton Corporation 8,900 576,186
General Electric Co. 551,800 17,878,320
Hillenbrand Industries,
Inc. 2,500 151,125
Honeywell International,
Inc. 50,800 1,860,804
ITT Industries, Inc. 3,500 290,500
Johnson Controls, Inc. 8,500 453,730
SPX Corporation 4,200 195,048
Teleflex, Inc. 2,100 105,315
Textron, Inc. 7,000 415,450
Wesco Financial Corporation 100 36,200
--------------
22,341,728
--------------
OTHER ENERGY -- 3.0%
Anadarko Petroleum
Corporation 98,800 5,789,680
Apache Corporation 19,282 839,731
Arch Coal, Inc. 2,000 73,180
Burlington Resources, Inc. 20,700 748,926
Chesapeake Energy
Corporation+++ 14,300 210,496
CONSOL Energy, Inc.+++ 2,000 72,000
Cooper Cameron Corporation* 49,500 2,410,650
Devon Energy Corporation 14,219 938,454
Diamond Offshore Drilling,
Inc.+++ 1,700 40,511
Dynegy, Inc. Class A* 16,700 71,142
El Paso Corporation+++ 37,872 298,431
ENSCO International, Inc. 3,900 113,490
EOG Resources, Inc. 6,900 411,999
Equitable Resources, Inc. 3,700 191,327
Kerr-McGee Corporation+++ 61,375 3,300,134
Massey Energy Co. 4,500 126,945
National-Oilwell, Inc.* 1,800 56,682
Newfield Exploration Co.* 1,700 94,758
Noble Energy, Inc. 3,400 173,400
NRG Energy, Inc.* 4,600 114,080
Patterson-UTI Energy, Inc. 400 13,364
Peabody Energy Corporation 3,800 212,762
Pioneer Natural Resouces
Co. 7,100 249,068
Pogo Producing Co. 3,000 148,200
Premcor, Inc.* 2,300 86,250
Pride International,
Inc.*+++ 3,500 59,885
Reliant Energy, Inc.*+++ 319,973 3,465,308
Rowan Cos., Inc.*+++ 3,100 75,423
Sunoco, Inc. 4,500 286,290
</Table>
See Notes to Financial Statements.
82
<Table>
<Caption>
SHARES VALUE
----------- --------------
Tesoro Petroleum
Corporation*+++ 26,100 $ 720,360
Texas Genco Holdings,
Inc.+++ 900 40,581
Transocean, Inc.*+++ 319,500 9,246,330
Valero Energy Corporation 46,000 3,392,960
Varco International, Inc.* 5,000 109,450
Williams Cos., Inc. 463,400 5,514,460
--------------
39,696,707
--------------
PRODUCER DURABLES -- 5.6%
AGCO Corporation* 5,300 107,961
Agilent Technologies, Inc.* 2,500 73,200
Alliant Techsystems, Inc.* 800 50,672
American Power Conversion
Corporation 4,700 92,355
American Tower Corporation
Class A*+++ 12,700 193,040
AMETEK, Inc. 1,200 37,080
Andrew Corporation* 5,400 108,054
Boeing Co. (The) 157,300 8,036,457
Briggs & Stratton
Corporation 300 26,505
Caterpillar, Inc. 4,800 381,312
Centex Corporation 3,800 173,850
Crane Co.+++ 3,100 97,309
Crown Castle International
Corporation* 20,800 306,800
Cummins, Inc.+++ 2,300 143,750
Deere & Co. 8,500 596,190
Diebold, Inc. 4,300 227,341
Dover Corporation 2,300 96,830
DR Horton, Inc. 6,250 177,500
Emerson Electric Co. 198,600 12,621,030
Goodrich Corporation 7,000 226,310
Grainger (W.W.), Inc. 4,200 241,500
Hovnanian Enterprises, Inc.
Class A* 500 17,355
Hubbell, Inc. Class B 3,600 168,156
Illinois Tool Works, Inc. 900 86,301
KB HOME+++ 34,600 2,374,598
Lennar Corporation Class A 4,500 201,240
Lockheed Martin Corporation 22,200 1,156,176
MDC Holdings, Inc. 600 38,166
Mettler Toledo
International, Inc.* 1,100 54,054
Molex, Inc.+++ 1,400 44,912
Northrop Grumman
Corporation 239,270 12,848,799
Novellus Systems, Inc.* 2,200 69,168
Pall Corporation 6,800 178,092
Parker Hannifin Corporation 7,100 422,166
Pentair, Inc. 5,900 198,476
Pitney Bowes, Inc. 97,300 4,305,525
Polycom, Inc.*+++ 59,500 1,333,395
Pulte Homes, Inc. 3,600 187,308
Roper Industries, Inc. 300 17,070
Ryland Group, Inc. 1,200 93,840
Standard-Pacific
Corporation 1,900 93,670
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Steelcase, Inc. Class A 2,900 $ 40,600
Tektronix, Inc. 700 23,814
Thermo Electron
Corporation* 4,300 132,182
Toll Brothers, Inc.*+++ 1,600 67,712
Tyco International, Ltd.+++ 359,800 11,923,772
United Defense Industries,
Inc.* 6,300 220,500
United Technologies
Corporation 130,750 11,961,010
Xerox Corporation*+++ 43,000 623,500
--------------
72,896,603
--------------
TECHNOLOGY -- 5.3%
3Com Corporation* 23,100 144,375
ADC Telecommunications,
Inc.*+++ 14,200 40,328
Adobe Systems, Inc. 28,153 1,309,115
Advanced Fibre
Communications, Inc.* 3,400 68,680
Advanced Micro Devices,
Inc.*+++ 9,700 154,230
Affiliated Computer
Services, Inc. Class A* 2,200 116,468
Amphenol Corporation Class
A* 1,100 36,652
Apple Computer, Inc.* 11,200 364,448
Applera Corporation-Applied
Biosystems Group 11,900 258,825
Applied Micro Circuits
Corporation* 9,600 51,072
Arrow Electronics, Inc.* 63,500 1,703,070
Autodesk, Inc.+++ 36,400 1,558,284
Avnet, Inc.* 7,100 161,170
Avocent Corporation*+++ 400 14,696
AVX Corporation+++ 1,900 27,455
BearingPoint, Inc.* 7,900 70,073
BMC Software, Inc.* 9,400 173,900
Cadence Design Systems,
Inc.*+++ 7,100 103,873
Ceridian Corporation*+++ 3,100 69,750
CIENA Corporation*+++ 30,791 114,543
Computer Associates
International, Inc.+++ 7,100 199,226
Computer Sciences
Corporation* 176,100 8,176,323
Compuware Corporation* 22,700 149,820
Comverse Technology, Inc.* 5,200 103,688
Conexant Systems, Inc.* 12,300 53,259
Corning, Inc.* 206,400 2,695,584
Electronic Data Systems
Corporation+++ 339,700 6,505,255
EMC Corporation* 28,900 329,460
Fairchild Semicoductor
International, Inc.* 3,200 52,384
Foundry Networks, Inc.* 2,400 33,768
General Dynamics
Corporation 44,700 4,438,710
Harris Corporation 1,300 65,975
</Table>
See Notes to Financial Statements.
83
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Hewlett-Packard Co. 738,150 $ 15,574,964
Ingram Micro, Inc. Class A* 6,200 89,714
International Business
Machines Corporation 59,100 5,209,665
International Rectifier
Corporation* 700 28,994
Intersil Corporation Class
A 4,300 93,138
L-3 Communications
Holdings, Inc. 2,800 187,040
LSI Logic Corporation* 12,400 94,488
Lucent Technologies,
Inc.*+++ 253,400 957,852
Maxtor Corporation* 8,500 56,355
Micron Technology, Inc.*+++ 18,100 277,111
Microsoft Corporation 247,200 7,060,032
Motorola, Inc. 193,300 3,527,725
NCR Corporation* 1,200 59,508
Network Associates, Inc.* 1,600 29,008
Oracle Corporation* 23,500 280,355
PanAmSat Corporation*+++ 1,700 39,474
Peoplesoft, Inc.* 16,600 307,100
PerkinElmer, Inc. 3,600 72,144
QLogic Corporation* 900 23,931
Raytheon Co. 59,800 2,139,046
Reynolds & Reynolds Co.
(The) Class A 300 6,939
Rockwell Automation, Inc. 3,800 142,538
Sandisk Corporation* 1,600 34,704
Sanmina-SCI Corporation* 15,176 138,102
Scientific-Atlanta, Inc. 9,100 313,950
Seagate Technology, Inc. +* 4,600 0
Siebel Systems, Inc.* 5,900 63,012
Storage Technology
Corporation* 52,200 1,513,800
Sun Microsystems, Inc.* 196,700 853,678
Sybase, Inc.* 5,700 102,600
Tellabs, Inc.*+++ 14,500 126,730
TIBCO Software, Inc.* 2,300 19,435
Unisys Corporation* 18,700 259,556
UTStarcom, Inc.* 700 21,175
Vishay Intertechnology,
Inc.* 7,000 130,060
Western Digital
Corporation* 8,900 77,074
--------------
69,255,456
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
UTILITIES -- 11.0%
AGL Resources, Inc. 3,800 $ 110,390
Allegheny Energy, Inc.* 6,100 94,001
Alliant Energy Corporation 55,900 1,457,872
Alltel Corporation 18,200 921,284
Amdocs, Ltd.*+++ 16,600 388,938
Ameren Corporation 10,800 463,968
American Electric Power
Co., Inc.+++ 265,100 8,483,200
Aqua America, Inc.+++ 5,525 110,776
AT&T Corporation 354,260 5,182,824
AT&T Wireless Services,
Inc.* 67,000 959,440
BellSouth Corporation 199,100 5,220,402
Cablevision Systems
Corporation Class A*+++ 1,375 27,019
Centerpoint Energy, Inc.+++ 264,900 3,046,350
CenturyTel, Inc.+++ 92,700 2,784,708
Cinergy Corporation 10,600 402,800
Citizens Communications
Co.* 17,000 205,700
Comcast Corporation Class
A* 284,763 7,981,907
Consolidated Edison,
Inc.+++ 14,200 564,592
Constellation Energy Group,
Inc. 10,000 379,000
Cox Communications, Inc.
Class A*+++ 15,500 430,745
Dominion Resources, Inc. 19,319 1,218,643
DPL, Inc. 7,500 145,650
DTE Energy Co.+++ 65,800 2,667,532
Duke Energy Corporation 234,300 4,753,947
Edison International 19,300 493,501
Energy East Corporation 8,700 210,975
Entergy Corporation 196,500 11,005,965
Exelon Corporation 187,874 6,254,325
FirstEnergy Corporation 311,212 11,642,441
FPL Group, Inc. 10,900 697,055
Great Plains Energy, Inc. 4,100 121,770
Hawaiian Electric
Industries+++ 4,800 125,280
KeySpan Corporation+++ 120,100 4,407,670
Kinder Morgan, Inc. 4,800 284,592
MDU Resources Group, Inc. 6,950 167,009
National Fuel Gas Co.+++ 4,300 107,500
Nextel Communications, Inc.
Class A* 12,200 325,252
NiSource, Inc. 57,600 1,187,712
Northeast Utilities 70,800 1,378,476
NSTAR 3,100 148,428
NTL, Inc.*+++ 4,100 236,242
OGE Energy Corporation 5,200 132,444
Oneok, Inc. 32,700 719,073
Pepco Holdings, Inc. 10,198 186,419
PG&E Corporation* 23,600 659,384
Pinnacle West Capital
Corporation 5,400 218,106
PPL Corporation 134,400 6,168,960
Progress Energy, Inc. 14,600 643,130
Progress Energy, Inc.
Contingent Value
Obligation*+ 3,100 1,209
Public Service Enterprise
Group, Inc. 14,000 560,420
Puget Energy, Inc. 5,900 129,269
Questar Corporation 40,000 1,545,600
Qwest Communications
International, Inc.* 87,500 314,125
SBC Communications, Inc. 195,900 4,750,575
SCANA Corporation+++ 44,400 1,614,828
Sempra Energy 80,300 2,764,729
Southern Co. (The) 43,600 1,270,940
</Table>
See Notes to Financial Statements.
84
<Table>
<Caption>
SHARES VALUE
----------- --------------
Sprint Corporation (FON
Group) 65,700 $ 1,156,320
TECO Energy, Inc.+++ 11,100 133,089
Telephone & Data Systems,
Inc. 1,600 113,920
TXU Corporation 94,600 3,832,246
UGI Corporation 3,000 96,300
UnitedGlobalCom, Inc. Class
A*+++ 4,400 31,944
US Cellular Corporation*+++ 500 19,275
Vectren Corporation 4,500 112,905
Verizon Communications,
Inc. 757,124 27,400,317
Westar Energy, Inc.+++ 34,000 676,940
Western Gas Resources, Inc. 3,200 103,936
Wisconsin Energy
Corporation 7,000 228,270
WPS Resources Corporation 2,200 101,970
Xcel Energy, Inc.+++ 23,640 395,024
--------------
142,877,548
--------------
TOTAL COMMON STOCK
(Cost $1,091,537,113) 1,254,538,763
--------------
SHORT-TERM INVESTMENTS -- 13.4%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 48,032,689 48,032,689
Northern Institutional
Liquid Assets Portfolio
sec. 126,956,118 126,956,118
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $174,988,807) 174,988,807
--------------
</Table>
<Table>
<Caption>
PAR VALUE
---------- --------------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
0.95%, 07/22/04++++ $3,940,000 $ 3,937,990
1.07%, 07/22/04++++ 135,000 134,916
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,072,732) 4,072,906
--------------
TOTAL INVESTMENTS -- 110.1%
(Cost $1,270,598,652) 1,433,600,476
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (10.1%) (131,589,929)
--------------
NET ASSETS -- 100.0% $1,302,010,547
==============
</Table>
See Notes to Financial Statements.
85
GROWTH EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 1000(R) GROWTH
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ----------------------
One Year 19.47% 19.55% 19.05% 17.88%
Since Inception
(8/27/01 -- 6/30/04) (1.32%) (1.21%) (1.57%) (1.98%)
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
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 7612
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
07/30/03 8286 8214
08/31/03 8506 8418
09/30/03 8336 8328
10/31/03 8864 8795
11/30/03 8845 8888
12/31/03 9134 9195
01/31/04 9272 9383
02/29/04 9353 9442
03/31/04 9309 9267
04/30/04 9247 9159
05/31/04 9460 9330
06/30/04 9630 9447
</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
86
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ----------- --------------
COMMON STOCK -- 94.8%
AUTO & TRANSPORTATION -- 3.5%
FedEx Corporation 130,965 $ 10,698,531
Harley-Davidson, Inc.+++ 478,000 29,607,320
United Parcel Service, Inc.
Class B 141,300 10,621,521
--------------
50,927,372
--------------
CONSUMER DISCRETIONARY -- 23.7%
Amazon.com, Inc.* 494,300 26,889,920
Apollo Group, Inc. Class A* 300,000 26,487,000
Avon Products, Inc. 102,000 4,706,280
Bed Bath & Beyond, Inc.* 271,173 10,426,602
Coach, Inc.* 95,000 4,293,050
eBay, Inc.* 652,040 59,955,078
Electronic Arts, Inc.* 126,239 6,886,337
Estee Lauder Cos., Inc.
(The) Class A 47,500 2,317,050
Kohl's Corporation* 143,600 6,071,408
Lowe's Cos., Inc. 490,507 25,776,143
McDonald's Corporation 83,100 2,160,600
Nike, Inc. Class B 207,461 15,715,171
Pixar, Inc.*+++ 142,800 9,926,028
Scripps Co. (E.W.) Class A 78,900 8,284,500
Starbucks Corporation*+++ 775,600 33,723,088
Tiffany & Co. 470,850 17,350,823
Tribune Co. 119,900 5,460,246
Wal-Mart Stores, Inc. 493,378 26,030,623
Weight Watchers
International, Inc.*+++ 92,800 3,632,192
XM Satellite Radio
Holdings, Inc. Class
A*+++ 415,305 11,333,673
Yahoo!, Inc.*+++ 973,800 35,378,154
--------------
342,803,966
--------------
CONSUMER STAPLES -- 6.1%
Colgate-Palmolive Co. 107,200 6,265,840
CVS Corporation+++ 80,771 3,393,997
PepsiCo, Inc. 396,196 21,347,041
Procter & Gamble Co. 385,668 20,995,766
Sysco Corporation 275,000 9,864,250
Walgreen Co. 562,000 20,350,020
Wrigley (W.M.), Jr. Co. 100,700 6,349,135
--------------
88,566,049
--------------
FINANCIAL SERVICES -- 13.3%
Accenture, Ltd. Class A* 155,000 4,259,400
AFLAC, Inc.+++ 382,100 15,593,501
American Express Co. 60,000 3,082,800
American International
Group, Inc. 77,400 5,517,072
Automatic Data Processing,
Inc. 139,479 5,841,381
Capital One Financial
Corporation 222,100 15,187,198
Citigroup, Inc. 445,333 20,707,984
Countrywide Financial
Corporation 162,829 11,438,737
Fannie Mae 57,000 4,067,520
Fifth Third Bancorp 110,800 5,958,824
Franklin Resources, Inc. 71,950 3,603,256
Goldman Sachs Group, Inc. 67,943 6,397,513
M & T Bank Corporation 34,500 3,011,850
Merrill Lynch & Co., Inc. 370,737 20,012,383
Moody's Corporation+++ 98,600 6,375,476
Progressive Corporation
(The) 334,595 28,540,953
Schwab (Charles)
Corporation (The) 963,785 9,261,974
SLM Corporation 334,330 13,523,649
St. Paul Travelers Cos.,
Inc. 102,195 4,142,985
UCBH Holdings, Inc.+++ 15,736 621,887
Wachovia Corporation 84,800 3,773,600
Willis Group Holdings,
Ltd.+++ 55,800 2,089,710
--------------
193,009,653
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
HEALTHCARE -- 19.1%
Allergan, Inc. 120,600 $ 10,796,112
Amgen, Inc.* 548,300 29,920,731
Biogen Idec, Inc.* 32,500 2,055,625
Boston Scientific
Corporation* 218,217 9,339,688
Genentech, Inc.* 1,241,730 69,785,225
Genzyme Corporation* 164,600 7,790,518
Gilead Sciences, Inc.*+++ 45,000 3,015,000
Johnson & Johnson 170,000 9,469,000
Lilly (Eli) & Co. 152,700 10,675,257
Medtronic, Inc. 577,529 28,137,213
Pfizer, Inc. 660,000 22,624,800
Quest Diagnostics, Inc.+++ 60,685 5,155,191
St. Jude Medical, Inc.*+++ 103,096 7,799,212
Stryker Corporation 223,600 12,298,000
Teva Pharmaceutical
Industries, Ltd. ADR+++ 312,200 21,007,938
UnitedHealth Group, Inc. 314,790 19,595,678
Zimmer Holdings, Inc.* 79,839 7,041,800
--------------
276,506,988
--------------
INTEGRATED OILS -- 0.2%
ExxonMobil Corporation 70,000 3,108,700
--------------
MATERIALS & PROCESSING -- 0.1%
Monsanto Co. 42,238 1,626,163
--------------
OTHER -- 3.6%
3M Co. 136,000 12,241,360
General Electric Co. 1,127,754 36,539,230
Honeywell International,
Inc. 102,092 3,739,630
--------------
52,520,220
--------------
OTHER ENERGY -- 1.2%
Baker Hughes, Inc. 137,300 5,169,345
BJ Services Co.* 98,400 4,510,656
Schlumberger, Ltd. 85,000 5,398,350
XTO Energy, Inc.+++ 100,000 2,979,000
--------------
18,057,351
--------------
</Table>
See Notes to Financial Statements.
87
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
PRODUCER DURABLES -- 3.8%
Applied Materials, Inc.* 538,550 $ 10,566,351
Caterpillar, Inc. 146,741 11,657,105
Danaher Corporation+++ 43,550 2,258,068
Ingersoll-Rand Co. Class A 45,000 3,073,950
Lennar Corporation Class A 124,406 5,563,436
Tyco International, Ltd.+++ 469,912 15,572,884
United Technologies
Corporation 70,000 6,403,600
--------------
55,095,394
--------------
TECHNOLOGY -- 19.9%
Cisco Systems, Inc.* 1,373,400 32,549,580
Dell, Inc.* 1,322,266 47,363,568
General Dynamics
Corporation 51,827 5,146,421
Intel Corporation 723,200 19,960,320
Juniper Networks, Inc.*+++ 105,000 2,579,850
Maxim Integrated Products,
Inc. 397,500 20,836,950
Microsoft Corporation 1,332,098 38,044,719
Motorola, Inc. 669,912 12,225,894
Network Appliance, Inc.*+++ 768,200 16,539,346
Novell, Inc.*+++ 115,300 967,367
Oracle Corporation* 721,300 8,605,109
Qualcomm, Inc. 646,790 47,202,734
Red Hat, Inc.*+++ 386,100 8,868,717
SAP AG ADR+++ 49,200 2,057,052
Seagate Technology, Inc.+* 5,600 0
Symantec Corporation*+++ 83,700 3,664,386
Texas Instruments, Inc. 38,172 922,999
Veritas Software
Corporation* 169,200 4,686,840
Xilinx, Inc. 434,600 14,476,526
--------------
286,698,378
--------------
UTILITIES -- 0.3%
Vodafone Group PLC ADR+++ 225,000 4,972,500
--------------
TOTAL COMMON STOCK
(Cost $1,162,861,077) 1,373,892,734
--------------
FOREIGN STOCK -- 0.3%
SWITZERLAND
Roche Holding AG(S)
(Cost $5,251,882) 49,007 4,852,178
--------------
SHORT-TERM INVESTMENTS -- 12.6%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 64,354,159 64,354,159
Northern Institutional
Liquid Assets Portfolio
sec. 118,514,334 118,514,334
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $182,868,493) 182,868,493
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
0.95%, 07/22/04++++
(Cost $4,812,332) $ 4,815,000 4,812,543
--------------
TOTAL INVESTMENTS -- 108.0%
(Cost $1,355,793,784) 1,566,425,948
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (8.0%) (116,448,412)
--------------
NET ASSETS -- 100.0% $1,449,977,536
==============
</Table>
See Notes to Financial Statements.
88
SMALL CAP EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RUSSELL 2000(R)
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX**
----------------- -------------------- ------------- ---------------
One Year 30.37% 30.45% 30.03% 33.37%
Since Inception (8/27/01 -- 6/30/04) 6.68% 6.87% 6.46% 8.98%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
RETIREMENT CLASS RUSSELL 2000(R) INDEX**
---------------- -----------------------
08/27/01 10000 10000
08/31/01 9770 9748
09/30/01 8317 8436
10/31/01 8845 8929
11/30/01 9541 9621
12/31/01 10084 10214
01/31/02 10000 10108
02/28/02 9656 9831
03/31/02 10543 10621
04/30/02 10497 10718
05/31/02 10122 10242
06/30/02 9587 9734
07/31/02 8125 8264
08/31/02 8148 8243
09/30/02 7445 7651
10/31/02 7682 7896
11/30/02 8363 8601
12/31/02 7842 8122
01/31/03 7636 7897
02/28/03 7429 7659
03/31/03 7506 7757
04/30/03 8233 8493
05/31/03 9021 9404
06/30/03 9220 9574
07/30/03 9663 10173
08/31/03 10168 10640
09/30/03 9923 10443
10/31/03 10773 11320
11/30/03 11125 11722
12/31/03 11469 11960
01/31/04 11867 12480
02/29/04 11951 12591
03/31/04 11974 12709
04/30/04 11484 12061
05/31/04 11630 12253
06/30/04 12020 12769
</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.
Small company stocks are generally riskier than large company stocks due to
greater volatility and less liquidity.
Not Part of the Semi-Annual Report
89
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 SHARES VALUE
- ------------- ----------- -------------
COMMON STOCK -- 95.0%
AUTO & TRANSPORTATION -- 5.7%
AAR Corporation* 2,300 $ 26,105
Aftermarket Technology
Corporation* 400 6,600
Airtran Holdings, Inc.*+++ 28,400 401,576
Alaska Air Group, Inc.*+++ 2,200 52,514
Alexander & Baldwin, Inc. 3,500 117,075
America West Holdings
Corporation Class B*+++ 2,500 22,700
Arctic Cat, Inc. 1,000 27,530
Arkansas Best Corporation+++ 49,400 1,626,248
ArvinMeritor, Inc. 5,800 113,506
Atlantic Coast Airlines
Holdings, Inc.*+++ 34,900 200,326
Autoliv, Inc. 29,700 1,253,340
Aviall, Inc.* 2,000 38,020
Bandag, Inc.+++ 900 40,077
Central Freight Lines, Inc.* 36,500 292,000
Coachmen Industries, Inc.+++ 1,200 19,188
Collins & Aikman
Corporation*+++ 3,200 17,888
Continental Airlines, Inc.
Class B* 5,500 62,535
Cooper Tire & Rubber Co. 5,500 126,500
Covenant Transport, Inc.
Class A* 39,100 668,219
Dana Corporation 23,700 464,520
Delta Air Lines, Inc.* 8,900 63,368
Dura Automotive Systems,
Inc. Class A* 26,300 240,645
ExpressJet Holdings,
Inc.*+++ 115,800 1,405,812
Florida East Coast
Industries, Inc. 1,700 65,705
Frontier Airlines, Inc.*+++ 1,900 20,672
General Maritime
Corporation*+++ 38,300 1,050,952
Genesee & Wyoming, Inc.
Class A* 1,200 28,440
Gentex Corporation 12,600 499,968
Goodyear Tire & Rubber Co.
(The)*+++ 12,700 115,443
Greenbrier Cos., Inc.* 500 9,525
Gulfmark Offshore, Inc.*+++ 32,500 512,850
Hayes Lemmerz International,
Inc.*+++ 26,400 398,640
Heartland Express, Inc. 200 5,472
Hub Group, Inc.* 100 3,410
Kansas City Southern*+++ 2,600 40,300
Kirby Corporation* 900 35,010
Laidlaw International,
Inc.*+++ 98,200 1,272,672
Landstar Systems, Inc.* 200 10,574
Marten Transport, Ltd.* 700 13,055
Mesa Air Group, Inc.* 300 2,427
Modine Manufacturing Co. 2,000 63,700
Monaco Coach Corporation 33,000 929,610
Northwest Airlines
Corporation*+++ 6,200 68,944
Offshore Logistics, Inc.* 1,700 47,804
Old Dominion Freight Line,
Inc.* 20,475 603,603
OMI Corporation+++ 55,600 661,640
Overnite Corporation 12,400 364,560
Overseas Shipholding Group,
Inc. 2,200 97,086
P.A.M. Transportation
Services, Inc.*+++ 20,000 382,000
Pacer International, Inc.* 84,100 1,555,850
Pinnacle Airlines
Corporation* 38,300 432,790
Polaris Industries, Inc. 11,800 566,400
Quality Distribution,
Inc.*+++ 10,600 116,918
Quixote Corporation 100 2,005
RailAmerica, Inc.*+++ 2,200 32,120
Republic Airways Holdings,
Inc.* 300 4,275
Sauer-Danfoss, Inc. 700 11,949
SCS Transportation, Inc.* 450 11,876
Seabulk International, Inc.* 500 4,125
Skywest, Inc. 20,900 363,869
Standard Motor Products,
Inc.+++ 1,000 14,730
Stoneridge, Inc.*+++ 28,300 481,100
Strattec Security
Corporation* 200 13,686
Superior Industries
International, Inc.+++ 8,100 270,945
Swift Transportation Co.,
Inc.* 41,200 739,540
TBC Corporation* 1,700 40,460
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Teekay Shipping Corporation 32,400 $ 1,211,112
Tenneco Automotive, Inc.*+++ 3,500 46,305
Tower Automotive, Inc.*+++ 4,800 17,472
U.S. Xpress Enterprises,
Inc. Class A* 300 4,719
USF Corporation 2,300 80,799
UTI Worldwide, Inc. 24,200 1,275,098
Visteon Corporation 57,100 666,357
Wabash National Corporation* 1,000 27,550
Werner Enterprises, Inc. 67,900 1,432,690
Yellow Roadway Corporation* 25,300 1,008,458
-------------
25,023,552
-------------
CONSUMER DISCRETIONARY -- 18.1%
4Kids Entertainment,
Inc.*+++ 1,100 26,312
Aaron Rents, Inc. 59,800 1,981,772
ABM Industries, Inc.+++ 3,100 60,357
Action Performance
Companies, Inc.+++ 8,300 125,081
Activision, Inc.* 67,050 1,066,095
Administaff, Inc.* 19,100 317,060
Advance Auto Parts, Inc.* 24,000 1,060,320
Advanced Marketing Services,
Inc.+++ 1,100 14,201
Advisory Board Co. (The)* 16,800 598,080
Advo, Inc.+++ 49,850 1,641,062
Aeropostale, Inc.*+++ 20,050 539,546
</Table>
See Notes to Financial Statements.
90
<Table>
<Caption>
SHARES VALUE
----------- -------------
Alderwoods Group, Inc.* 3,300 $ 40,260
Alloy, Inc.*+++ 2,700 16,605
AMC Entertainment, Inc.*+++ 98,100 1,507,797
Amerco, Inc.* 500 11,875
American Greetings
Corporation Class A*+++ 5,300 122,854
American Woodmark
Corporation+++ 400 23,940
Angelica Corporation+++ 700 17,577
Applica, Inc.* 1,600 14,240
Arbitron, Inc.* 23,000 839,960
Asbury Automotive Group,
Inc.* 900 13,500
Ask Jeeves, Inc.*+++ 12,000 468,360
Atari, Inc.*+++ 600 1,446
Banta Corporation 400 17,764
Bassett Furniture
Industries, Inc.+++ 6,900 150,144
Beasley Broadcasting Group,
Inc. Class A* 12,600 188,496
Big Lots, Inc.* 29,300 423,678
Blair Corporation 700 20,230
Blue Nile, Inc.* 100 3,761
Blyth, Inc. 2,000 68,980
Bob Evans Farms, Inc. 28,100 769,378
Boca Resorts, Inc. Class A* 1,800 35,676
Bombay Co., Inc. (The)* 1,400 8,582
Bon-Ton Stores, Inc. 300 4,398
Bowne & Co., Inc. 14,700 232,995
Brightpoint, Inc.* 1,600 22,000
Brink's Co. (The) 36,300 1,243,275
Brown Shoe Co., Inc. 1,500 61,395
Buckle, Inc. (The) 18,000 508,500
Burlington Coat Factory
Warehouse Corporation 10,700 206,510
California Pizza Kitchen,
Inc.*+++ 8,100 155,196
Callaway Golf Co. 40,100 454,734
Carmike Cinemas, Inc.* 13,200 520,740
Catalina Marketing
Corporation*+++ 42,300 773,667
Cato Corporation Class A 1,600 35,920
CBRL Group, Inc. 3,500 107,975
CDI Corporation+++ 200 6,920
CEC Entertainment, Inc.* 22,950 677,255
Central Garden & Pet Co.* 20,600 736,862
Central Parking
Corporation+++ 1,500 28,035
Century Business Services,
Inc.* 5,300 23,108
Charming Shoppes, Inc.* 81,700 729,581
Charter Communications, Inc.
Class A*+++ 22,500 88,200
Chemed Corporation+++ 1,000 48,500
CKE Restaurants, Inc.*+++ 47,300 630,509
Claire's Stores, Inc. 19,500 423,150
Clark, Inc.*+++ 33,800 626,990
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
CNET Networks, Inc.*+++ 24,900 $ 275,643
Conn's, Inc.* 100 1,576
Consolidated Graphics,
Inc.*+++ 300 13,215
Copart, Inc.*+++ 21,100 563,370
Corinthian Colleges,
Inc.*+++ 44,950 1,112,063
Cornell Cos., Inc.*+++ 1,100 14,960
Corporate Executive Board
Co. 28,700 1,658,573
Corrections Corporation of
America* 1,400 55,286
Cost Plus, Inc.* 11,200 363,440
CoStar Group, Inc.*+++ 14,250 654,503
Courier Corporation+++ 350 14,609
Cross Country Healthcare,
Inc.*+++ 1,600 29,040
Crown Media Holdings, Inc.
Class A*+++ 500 4,260
CSK Auto Corporation* 500 8,570
CSS Industries, Inc. 600 21,024
Cumulus Media, Inc. Class A* 48,900 822,009
Dave & Buster's, Inc.*+++ 900 16,911
Deb Shops, Inc. 400 9,624
Department 56, Inc.*+++ 1,100 16,940
DiamondCluster
International, Inc.* 52,900 459,701
Dillard's, Inc. Class A 51,000 1,137,300
Dollar Thrifty Automotive
Group, Inc.* 28,600 784,784
DoubleClick, Inc.* 23,300 181,041
Dover Motorsports, Inc.+++ 1,300 5,200
Dress Barn, Inc.* 900 15,408
EarthLink, Inc.*+++ 54,200 560,970
Education Management
Corporation* 83,400 2,740,523
Electronics Boutique
Holdings Corporation*+++ 19,000 500,460
Emmis Communications
Corporation Class A* 28,800 604,224
Empire Resorts, Inc.* 300 4,215
Entercom Communications
Corporation* 18,000 671,400
Entravision Communications
Corporation Class A* 1,900 14,592
Ethan Allen Interiors,
Inc.+++ 19,800 711,018
Exponent, Inc.* 500 13,435
Finish Line, Inc. (The)
Class A* 200 6,034
Fisher Communications,
Inc.*+++ 100 5,033
Forrester Research, Inc.* 200 3,730
Fossil, Inc.* 12,600 343,350
FreeMarkets, Inc.* 2,600 16,952
FTI Consulting, Inc.* 3,000 49,500
Furniture Brands
International, Inc. 3,800 95,190
G & K Services, Inc. Class A 1,500 60,285
GameStop Corporation*+++ 1,000 15,220
Gaylord Entertainment Co.* 2,500 78,475
</Table>
See Notes to Financial Statements.
91
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Genesco, Inc.*+++ 1,100 $ 25,993
Geo Group, Inc. (The)* 700 14,280
Getty Images, Inc.*+++ 36,000 2,160,000
Gildan Activewear, Inc.* 11,500 330,050
Global Imaging Systems,
Inc.*+++ 3,200 117,312
Goody's Family Clothing,
Inc. 37,400 387,838
Gray Television, Inc. 3,700 51,393
Group 1 Automotive, Inc.* 1,600 53,136
Guitar Center, Inc.* 7,700 342,419
Gymboree Corporation* 70,500 1,082,880
Hancock Fabrics, Inc. 1,600 20,400
Handleman Co. 24,200 560,472
Hartmarx Corporation* 1,900 11,970
Haverty Furniture Cos., Inc. 1,500 26,220
Hiedrick & Struggles
International, Inc.* 25,600 759,808
Hollinger International,
Inc. 1,600 26,864
Hollywood Entertainment
Corporation* 12,600 168,336
Hooker Furniture Corporation 400 8,068
Hot Topic, Inc.*+++ 5,600 114,744
Hudson Highland Group, Inc.* 100 3,066
IHOP Corporation+++ 1,800 64,368
Information Holdings,
Inc.*+++ 200 5,474
Insight Communications Co.,
Inc.*+++ 1,800 16,668
Insight Enterprises, Inc.* 2,800 49,728
Insurance Auto Auctions,
Inc.*+++ 700 11,900
Internap Network Services
Corporation* 6,800 8,228
Jack in the Box, Inc.* 3,000 89,100
Jakks Pacific, Inc.*+++ 2,100 43,659
Jarden Corporation* 250 8,998
Jo-Ann Stores, Inc.* 1,595 46,893
Journal Communications, Inc.
Class A 1,000 18,830
Journal Register Co.* 1,500 30,000
K2, Inc.*+++ 2,300 36,110
Kellwood Co.+++ 23,300 1,014,715
Kelly Services, Inc. Class A 1,400 41,720
Kirkland's, Inc.* 200 2,386
La-Z-Boy, Inc. 4,400 79,112
Landry's Restaurants, Inc. 1,800 53,802
Lawson Products, Inc. 400 15,260
Leapfrog Enterprises, Inc.* 100 1,989
Libbey, Inc. 21,200 588,512
Liberty Corporation 9,600 450,720
Life Time Fitness, Inc.* 9,200 193,200
Lin TV Corporation Class
A*+++ 76,600 1,623,920
Linens 'N Things, Inc.* 3,100 90,861
Lithia Motors, Inc. Class A 1,200 29,736
LKQ Corporation* 600 11,118
Lodgenet Entertainment
Corporation*+++ 52,500 866,250
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Lone Star Steakhouse &
Saloon, Inc. 1,300 $ 35,347
Marcus Corporation+++ 1,600 27,600
MarineMax, Inc.* 900 25,812
Martha Stewart Living
Omnimedia, Inc.*+++ 600 5,400
Marvel Enterprises, Inc.*+++ 26,100 509,472
MAXIMUS, Inc.* 1,600 56,736
Maxwell Shoe Co., Inc. Class
A* 1,200 27,888
Medical Staffing Network
Holdings, Inc.*+++ 1,000 6,440
Memberworks, Inc.*+++ 500 14,810
Men's Warehouse, Inc.* 2,400 63,336
Midas, Inc.*+++ 500 8,700
Midway Games, Inc.*+++ 300 3,456
Monro Muffler Brake, Inc.* 50 1,213
Movado Group, Inc.+++ 1,300 22,425
Movie Gallery, Inc.+++ 34,700 678,385
MPS Group, Inc.* 6,300 76,356
MSC Industrial Direct Co.,
Inc. Class A 24,600 807,864
National Presto Industries,
Inc. 400 16,492
Nautilus Group, Inc.+++ 2,400 46,824
Navigant Consulting,
Inc.*+++ 33,000 707,520
Navigant International,
Inc.*+++ 1,200 21,348
Neoforma, Inc.*+++ 600 7,284
NetRatings, Inc.*+++ 300 4,887
Nexstar Broadcasting Group,
Inc. Class A* 72,900 800,442
Nu Skin Enterprises, Inc.
Class A+++ 900 22,788
O'Charley's, Inc.*+++ 1,500 25,785
Oshkosh B'gosh, Inc.+++ 300 7,491
Oxford Industries, Inc. 5,000 217,800
Pantry, Inc.*+++ 300 6,540
Papa John's International,
Inc.*+++ 500 14,770
Paxson Communications
Corporation*+++ 1,400 4,550
Payless ShoeSource, Inc.*+++ 5,700 84,987
PC Connection, Inc.* 600 3,948
Pegasus Solutions, Inc.*+++ 1,100 14,443
Pep Boys-Manny, Moe & Jack 11,200 283,920
Perry Ellis International,
Inc.* 500 12,630
PF Chang's China Bistro,
Inc.*+++ 4,500 185,175
Phillips-Van Heusen
Corporation 2,000 38,500
PLATO Learning, Inc.* 700 6,937
Playtex Products, Inc.*+++ 48,400 378,488
priceline.com, Inc.* 700 18,851
Prime Hospitality
Corporation* 3,200 33,984
Primedia, Inc.*+++ 11,000 30,580
Princeton Review, Inc.* 300 2,271
Pulitzer, Inc. 700 34,230
</Table>
See Notes to Financial Statements.
92
<Table>
<Caption>
SHARES VALUE
----------- -------------
Quiksilver, Inc.*+++ 38,700 $ 921,447
R.H. Donnelley Corporation* 1,900 83,106
Radio One, Inc. Class D* 42,100 674,021
Rare Hospitality
International, Inc.* 10,450 260,205
RC2 Corporation* 500 17,750
Reader's Digest Association,
Inc. (The) 2,700 43,173
Red Robin Gourmet Burgers,
Inc.*+++ 10,000 273,700
Regent Communications, Inc.* 1,600 9,904
Rent-A-Center, Inc.* 53,050 1,587,787
Rent-Way, Inc.*+++ 700 6,300
Resources Connection,
Inc.*+++ 27,700 1,083,347
Retail Ventures, Inc.* 700 5,418
Revlon, Inc. Class A*+++ 12,200 35,990
Rush Enterprises, Inc. Class
B* 100 1,290
Russ Berrie & Co., Inc. 700 13,601
Russell Corporation 18,600 334,056
Ryan's Restaurant Group,
Inc.* 36,100 570,380
Saga Communications, Inc.
Class A* 66,100 1,206,325
Scholastic Corporation* 2,500 74,875
School Specialty, Inc.*+++ 1,200 43,572
SCP Pool Corporation+++ 55,550 2,499,749
Shoe Carnival, Inc.* 400 6,004
ShopKo Stores, Inc.* 2,400 33,936
Sina Corporation*+++ 8,600 283,714
Sinclair Broadcast Group,
Inc. Class A 20,200 207,454
Sitel Corporation* 144,600 610,212
Six Flags, Inc.*+++ 19,200 139,392
Skechers USA, Inc. Class
A*+++ 1,600 20,800
Sonic Automotive, Inc. 2,300 50,945
SOURCECORP, Inc.* 1,300 35,776
Spanish Broadcasting
Systems, Inc. Class A*+++ 32,800 305,368
Speedway Motorsports, Inc. 600 20,064
Spherion Corporation* 5,000 50,700
Sports Authority, Inc.
(The)* 1,077 38,664
Stage Stores, Inc.*+++ 34,500 1,299,270
Stanley Furniture Co.,
Inc.+++ 100 4,211
Stanley Works (The)+++ 15,500 706,490
Steak n Shake Co. (The)* 200 3,644
Stein Mart, Inc.* 20,300 330,078
Steinway Musical Intruments,
Inc.* 600 21,054
Steven Madden, Ltd.*+++ 1,000 19,970
Stewart Enterprises, Inc.
Class A* 9,000 73,260
Strayer Education, Inc. 6,500 725,205
Stride Rite Corporation 43,700 482,011
Sturm Ruger & Co., Inc.+++ 100 1,211
Systemax, Inc.* 800 5,360
Take-Two Interactive
Software, Inc.* 700 21,448
Tech Data Corporation* 13,200 516,516
Teletech Holdings, Inc.* 900 7,893
Tempur-Pedic International,
Inc.* 38,600 540,786
Tetra Tech, Inc.* 32,600 532,032
THQ, Inc.*+++ 27,800 636,620
Timberland Co. Class A* 16,500 1,065,735
Tommy Hilfiger Corporation* 35,100 531,414
Too, Inc.* 2,900 48,430
Topps Co. (The)+++ 11,200 108,640
Toro Co. 8,700 609,609
Tractor Supply Co.* 10,900 455,838
Trans World Entertainment
Corporation* 1,900 19,038
Triarc Cos., Inc. Class B 600 6,102
Tuesday Morning Corporation* 15,600 452,400
Tupperware Corporation+++ 1,000 19,430
UniFirst Corporation 800 23,272
United Auto Group, Inc. 1,600 49,040
United Natural Foods, Inc.* 50,800 1,468,628
United Online, Inc.*+++ 19,000 334,590
United Stationers, Inc.* 2,700 107,244
Urban Outfitters, Inc.*+++ 3,900 237,549
Vail Resorts, Inc.* 1,600 30,656
Valassis Communications,
Inc.* 1,900 57,893
Valuevision Media, Inc.
Class A* 500 6,510
Vans, Inc.* 19,000 390,450
Volt Information Sciences,
Inc.* 700 22,057
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Warnaco Group, Inc. (The)* 1,300 $ 27,651
Waste Connections, Inc.* 300 8,898
Water Pik Technologies,
Inc.* 800 13,248
Watson Wyatt & Co.
Holdings+++ 900 23,985
West Corporation* 37,200 972,780
West Marine, Inc.*+++ 17,650 473,903
Weyco Group, Inc. 200 6,858
Wolverine World Wide, Inc. 40,000 1,050,000
Young Broadcasting, Inc.
Class A*+++ 59,100 777,165
Zale Corporation* 38,500 1,049,510
-------------
80,362,878
-------------
CONSUMER STAPLES -- 1.6%
7-Eleven, Inc.* 9,000 160,650
American Italian Pasta Co.
Class A+++ 26,600 810,768
Arden Group, Inc. Class A 50 4,481
Cal-Maine Foods, Inc. 600 8,400
Casey's General Stores, Inc. 2,200 40,260
Chiquita Brands
International, Inc.* 40,100 838,892
Coca-Cola Bottling Co.+++ 100 5,789
Duane Reade, Inc.*+++ 2,000 32,660
Farmer Brothers Co. 600 16,098
Flowers Foods, Inc. 2,950 77,143
</Table>
See Notes to Financial Statements.
93
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Great Atlantic & Pacific Tea
Co., Inc.*+++ 1,400 $ 10,724
Hain Celestial Group, Inc.* 2,100 38,010
Ingles Markets, Inc. Class
A+++ 900 10,053
Interstate Bakeries
Corporation 3,800 41,230
J & J Snack Foods
Corporation* 500 20,415
J.M. Smucker Co. (The) 698 32,023
John B. Sanfillippo & Son* 18,700 499,664
Lance, Inc. 2,000 30,800
Long's Drug Stores
Corporation 2,500 59,675
M & F Worldwide Corporation* 800 10,960
Nash Finch Co.+++ 1,000 25,030
National Beverage
Corporation+++ 400 3,972
Nature's Sunshine Products,
Inc.+++ 600 8,544
NBTY, Inc.* 19,000 558,410
Omega Protein Corporation* 500 4,850
Pathmark Stores, Inc.*+++ 39,500 300,990
Performance Food Group Co.* 11,400 302,556
Ralcorp Holdings, Inc.* 2,400 84,480
Riviana Foods, Inc. 500 13,085
Ruddick Corporation 45,900 1,030,455
Sanderson Farms, Inc. 350 18,767
Seaboard Corporation 30 14,939
Sensient Technologies
Corporation 3,900 83,772
Smart & Final, Inc.* 1,000 12,020
SUPERVALU, Inc. 39,400 1,206,033
Weis Markets, Inc. 900 31,545
Wild Oats Markets, Inc.*+++ 28,900 406,623
Winn-Dixie Stores, Inc. 6,900 49,680
-------------
6,904,446
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
FINANCIAL SERVICES -- 20.2%
1st Source Corporation 1,000 $ 24,980
21st Century Insurance Group 1,800 23,292
A.G. Edwards, Inc. 34,000 1,157,020
ABC Bancorp 800 16,272
Acadia Realty Trust REIT 2,000 27,480
Accredited Home Lenders
Holding Co.* 26,500 745,975
ACE Cash Express, Inc.* 18,100 464,989
Advanta Corporation Class
B+++ 1,600 36,672
Affiliated Managers Group,
Inc.*+++ 10,500 528,885
Affordable Residential
Communities 2,100 34,860
Alabama National Bancorp 1,000 55,470
Alexandria Real Estate
Equities, Inc. REIT 1,400 79,492
Alfa Corporation+++ 2,800 39,200
Alliance Data Systems
Corporation* 89,300 3,772,924
Amcore Financial, Inc.+++ 2,100 63,336
American Equity Investment
Life Holding Co.+++ 44,700 444,765
American Financial Realty
Trust REIT 9,100 130,039
American Home Mortgage
Investment Corporation
REIT+++ 1,692 43,874
American Physicians Capital,
Inc.*+++ 700 16,205
AmericanWest
Bancorporation*+++ 890 17,044
AmerUs Group Co. 3,300 136,620
AMLI Residential Properties
Trust REIT 2,100 61,614
Anchor Bancorp, Inc.+++ 21,700 573,748
Anthracite Capital, Inc.
REIT+++ 4,200 50,316
Anworth Mortgage Asset
Corporation REIT 3,700 43,956
Apollo Investment
Corporation* 5,200 71,604
Arbor Realty Trust, Inc.
REIT 600 11,970
Arch Capital Group, Ltd.* 15,800 630,104
Argonaut Group, Inc.*+++ 48,600 895,698
Ashford Hospitality Trust,
Inc. 1,700 14,195
Asset Acceptance Capital
Corporation*+++ 8,900 151,300
Associated Banc-Corp 25,650 760,010
Assured Guaranty, Ltd.* 69,800 1,183,110
Asta Funding, Inc. 100 1,740
Astoria Financial
Corporation 34,800 1,272,984
Baldwin & Lyons, Inc. Class
B+++ 625 16,775
Bancfirst Corporation+++ 300 17,925
Bancorp Bank (The)* 400 7,084
Bancorpsouth, Inc. 6,400 144,192
Banctrust Financial Group,
Inc.+++ 700 12,264
Bank Mutual Corporation 43,868 478,161
Bank of Granite
Corporation+++ 1,100 23,001
Bank of Hawaii Corporation 27,800 1,257,116
BankAtlantic Bancorp, Inc.
Class A+++ 3,200 59,040
BankUnited Financial
Corporation Class A* 13,700 353,460
Banner Corporation 800 23,248
Bedford Property Investors,
Inc. REIT 1,200 35,088
Berkshire Hills Bancorp,
Inc. 7,200 267,120
BISYS Group, Inc. (The)*+++ 10,000 140,600
BKF Capital Group, Inc. 200 5,810
Boston Private Financial
Holdings, Inc.+++ 8,000 185,280
Brandywine Realty Trust REIT 3,400 92,446
Bristol West Holdings, Inc. 300 5,457
Brookfield Properties
Corporation REIT 13,200 379,500
Brookline Bancorp, Inc. 4,900 71,883
</Table>
See Notes to Financial Statements.
94
<Table>
<Caption>
SHARES VALUE
----------- -------------
Bryn Mawr Bank
Corporation+++ 400 $ 9,100
BSB Bancorp, Inc. 700 24,885
Camden National Corporation 600 19,842
Capital Automotive REIT 2,600 76,258
Capital Bancorp, Ltd.+++ 400 10,404
Capital City Bank Group,
Inc.+++ 650 25,734
Capital Corporation of the
West+++ 400 15,536
Capital Lease Funding, Inc.* 1,900 19,760
Capital Southwest
Corporation 100 7,903
Capital Trust, Inc. Class A 500 13,360
Capstead Mortgage
Corporation REIT+++ 1,200 16,140
CarrAmerica Realty
Corporation REIT 4,500 136,035
Cascade Bancorp 100 1,848
Cash America International,
Inc. 900 20,700
Cathay General Bancorp,
Inc.+++ 546 36,418
CB Bancshares, Inc. 330 30,756
CB Richard Ellis Group, Inc.
Class A* 54,300 1,037,130
CCC Information Services
Group*+++ 100 1,679
Cedar Shopping Centers, Inc. 1,400 16,086
Central Coast Bancorp*+++ 770 14,091
Central Pacific Financial
Corporation+++ 1,300 35,750
Century Bancorp, Inc. Class
A 300 9,867
Ceres Group, Inc.* 2,500 15,350
Certegy, Inc. 15,000 582,000
CharterMac 3,300 64,878
Chemical Financial
Corporation 1,980 73,042
Chittenden Corporation+++ 3,055 107,383
Citizens Banking
Corporation+++ 3,600 111,780
Citizens First Bancorp, Inc. 700 16,667
Citizens, Inc.* 2,400 19,680
City Bank Lynwood 600 19,212
City Holdings Co.+++ 1,200 37,896
Clifton Savings Bancorp,
Inc. 800 9,448
CNA Surety Corporation* 1,300 14,235
Colonial Bancgroup, Inc. 67,800 1,231,926
Colonial Properties Trust
REIT+++ 1,600 61,648
Columbia Bancorp 400 11,688
Columbia Banking System,
Inc.+++ 1,165 25,863
Commerce Group, Inc.+++ 26,000 1,283,620
Commercial Capital Bancorp,
Inc.* 1,133 19,680
Commercial Federal
Corporation 3,400 92,140
Commercial Net Lease Realty,
Inc. REIT 4,300 73,960
Community Bank System, Inc. 2,100 47,859
Community Banks, Inc.+++ 842 24,730
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Community First Bankshares,
Inc.+++ 1,600 $ 51,504
Community Trust Bancorp,
Inc. 889 27,115
CompuCredit Corporation* 1,600 27,680
Cornerstone Realty Income
Trust, Inc. REIT+++ 4,200 36,834
Corporate Office Properties
Trust REIT+++ 2,800 69,580
Correctional Properties
Trust REIT 900 26,325
Corus Bankshares, Inc. 1,300 53,443
Cousins Properties, Inc.
REIT 1,800 59,310
Crawford & Co. Class B 1,100 5,423
Credit Acceptance
Coporation*+++ 700 10,549
CVB Financial Corporation+++ 35,617 775,738
Delphi Financial Group, Inc.
Class A 13,000 578,500
Digital Insight
Corporation*+++ 15,850 328,571
Dime Community Bancshares 2,600 45,448
Direct General
Corporation+++ 14,600 470,996
Donegal Group, Inc. Class A 500 10,020
Doral Financial Corporation 26,550 915,975
Downey Financial Corporation 1,600 85,200
Eastgroup Properties REIT+++ 1,700 57,239
eFunds Corporation* 4,000 70,000
Electro Rent Corporation 11,500 120,405
EMC Insurance Group, Inc. 200 4,672
Enstar Group, Inc.*+++ 300 15,984
Entertainment Properties
Trust REIT 2,000 71,480
Equity Inns, Inc. REIT 33,300 309,357
Equity One, Inc. REIT 1,140 20,611
Essex Property Trust, Inc.
REIT+++ 1,500 102,525
Euronet Worldwide, Inc.* 7,000 161,910
Farmers Capital Bank
Corporation 500 17,875
FBL Financial Group, Inc.
Class A 1,000 28,260
Federal Agricultural
Mortgage Corporation* 700 16,751
FelCor Lodging Trust, Inc.
REIT* 4,100 49,610
Fidelity Bankshares, Inc.+++ 800 28,360
Financial Federal
Corporation* 1,400 49,364
Financial Institutions, Inc. 700 17,290
First Bancorp+++ 600 20,058
First Bancorp Puerto Rico 200 8,150
First Busey Corporation+++ 400 11,696
First Charter Corporation+++ 2,500 54,475
First Citizens BancShares,
Inc. Class A 500 61,000
First Commonwealth Financial
Corporation+++ 5,800 75,226
First Community Bancorp+++ 1,100 42,284
</Table>
See Notes to Financial Statements.
95
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
First Communtiy Bancshares,
Inc.+++ 850 $ 28,475
First Federal Capital
Corporation+++ 1,700 47,311
First Financial
Corporation+++ 1,100 35,090
First Financial Bancorp+++ 2,900 51,388
First Financial Bankshares,
Inc.+++ 1,050 44,027
First Financial Holdings,
Inc. 100 2,881
First Indiana Corporation 1,000 19,050
First Industrial Realty
Trust, Inc. REIT+++ 3,400 125,392
First Merchants Corporation 1,586 41,157
First Midwest Bancorp, Inc. 2,200 77,462
First National Bankshares of
Florida, Inc. 3,190 60,451
First Niagara Financial
Group, Inc. 7,063 84,756
First Oak Brook Bancshares,
Inc.+++ 550 16,665
First of Long Island
Corporation (The) 300 13,854
First Place Financial
Corporation+++ 9,700 180,129
First Republic Bank+++ 20,800 896,064
First Sentinal Bancorp, Inc. 1,700 34,935
First State
Bancorporation+++ 600 18,432
FirstFed Financial
Corporation* 1,400 58,240
Flagstar Bancorp, Inc.+++ 37,900 753,452
Flushing Financial
Corporation 7,650 135,023
FNB Corporation 1,900 38,760
FNB Corporation Virginia+++ 600 17,292
FPIC Insurance Group, Inc.* 700 17,283
Franklin Bank Corporation* 900 14,238
Fremont General
Corporation+++ 57,200 1,009,580
Frontier Financial
Corporation+++ 900 31,446
Gabelli Asset Management,
Inc. Class A 300 12,750
Gables Residential Trust
REIT+++ 2,400 81,552
GATX Corporation 44,200 1,202,240
GB&T Bancshares, Inc.+++ 625 14,938
German American Bancorp 700 11,760
Getty Realty Corporation
REIT 1,300 32,708
Glacier Bancorp, Inc. 850 23,945
Glenborough Realty Trust,
Inc. REIT 2,300 42,205
Glimcher Realty Trust
REIT+++ 1,900 42,028
Global Payments, Inc. 33,300 1,499,165
Gold Banc Corporation, Inc. 1,900 29,450
Government Properties Trust,
Inc. 1,600 16,720
Great American Financial
Resources, Inc. 600 9,540
Great Southern Bancorp,
Inc.+++ 400 11,700
Greater Bay Bancorp+++ 3,900 112,710
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Greenhill & Co., Inc.* 200 $ 4,182
Hancock Holding Co. 2,300 66,838
Hanmi Financial Corporation 62 1,829
Harbor Florida Bancshares,
Inc. 1,400 38,514
Harleysville Group, Inc.+++ 1,100 20,735
Healthcare Realty Trust,
Inc. REIT 3,600 134,928
Heartland Financial USA,
Inc.+++ 750 13,763
Henry (Jack) & Associates,
Inc. 47,200 948,720
Heritage Property Investment
Trust REIT 2,300 62,238
Hibernia Corporation Class A 42,500 1,032,750
Highland Hospitality
Corporation 2,900 29,145
Highwoods Properties, Inc.
REIT 4,500 105,750
Hilb, Rogal & Hamilton Co. 600 21,408
Home Properties, Inc. REIT 2,700 105,246
Homestore, Inc.* 7,900 31,521
Horace Mann Educators
Corporation 3,600 62,928
Horizon Financial
Corporation 900 17,910
Hudson River Bancorp, Inc. 2,500 42,675
Humboldt Bancorp+++ 1,300 27,183
Hypercom Corporation* 1,400 11,830
IBERIABANK Corporation 500 29,590
Impac Mortgage Holdings,
Inc. REIT+++ 5,200 117,104
Independence Community Bank
Corporation 23,200 844,480
Independence Holding Co. 200 6,800
Independent Bank Corporation 769 19,533
Independent Bank Corp. 600 17,370
IndyMac Bancorp, Inc.+++ 34,800 1,099,680
Infinity Property & Casualty
Corporation 72,600 2,395,799
Innkeepers USA Trust REIT 2,700 27,837
Integra Bank Corporation 1,300 28,639
Interactive Data
Corporation* 2,700 47,034
Intercept, Inc.*+++ 1,400 22,932
Interchange Financial
Service 900 22,392
International Bancshares
Corporation 53 2,141
Intersections, Inc.*+++ 16,000 383,840
Investment Technology Group,
Inc.*+++ 3,700 47,323
Investors Financial Services
Corporation+++ 32,500 1,416,349
Investors Real Estate Trust
REIT+++ 3,400 35,292
iPayment, Inc.* 10,000 410,000
IPC Holdings, Ltd. 27,300 1,008,189
Irwin Financial
Corporation+++ 1,500 39,600
ITLA Capital Corporation* 400 16,228
</Table>
See Notes to Financial Statements.
96
<Table>
<Caption>
SHARES VALUE
----------- -------------
Jackson Hewitt Tax Service,
Inc.* 22,700 $ 397,250
Jefferies Group, Inc.+++ 44,900 1,388,307
John H. Harland Co. 13,700 402,095
Jones Lang LaSalle, Inc.* 23,300 631,430
K-Fed Bancorp* 400 5,100
Kansas City Life Insurance
Co.+++ 300 12,627
Keystone Property Trust REIT 2,300 55,269
Kilroy Realty Corporation
REIT 2,400 81,840
KNBT Bancorp, Inc. 2,500 41,750
Knight Trading Group, Inc.* 120,300 1,205,406
Koger Equity, Inc. REIT* 2,200 50,864
Kramont Realty Trust REIT+++ 2,000 32,000
La Quinta Corporation REIT* 15,700 131,880
LaBranche & Co., Inc. 40,100 337,642
Lakeland Bancorp, Inc.+++ 1,120 18,077
Lakeland Financial
Corporation+++ 500 16,750
Landamerica Financial Group,
Inc.+++ 23,700 922,641
LaSalle Hotel Properties
REIT 2,300 56,120
Lexington Corporate
Properties Trust REIT 4,000 79,640
LTC Properties, Inc. REIT+++ 1,200 19,920
Luminent Mortgage Capital,
Inc. REIT 3,000 36,000
Macatawa Bank Corporation+++ 736 20,233
MAF Bancorp, Inc. 2,274 97,054
Maguire Properties, Inc. 2,800 69,356
Main Street Banks, Inc. 700 19,670
MainSource Financial Group,
Inc. 819 16,626
Manufactured Home
Communities, Inc. REIT 700 23,233
Markel Corporation* 5,400 1,498,499
Marlin Business Services,
Inc.* 100 1,503
MB Financial, Inc. 900 33,129
MBT Financial Corporation+++ 1,100 20,042
MCG Capital Corporation+++ 2,700 41,526
Mercantile Bank
Corporation+++ 252 9,185
MeriStar Hospitality
Corporation REIT* 7,300 49,932
Metris Cos., Inc.*+++ 65,800 571,802
MFA Mortgage Investments,
Inc. REIT 6,300 56,070
Mid-America Apartment
Communities, Inc. REIT 1,500 56,835
Mid-State Bancshares+++ 2,000 47,020
Midland Co. 800 23,720
Midwest Banc Holdings,
Inc.+++ 600 13,380
Mission West Properties,
Inc. REIT 1,500 18,165
Mony Group, Inc.* 4,200 131,460
Municipal Mortgage & Equity
LLC+++ 29,300 683,276
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
National Health Investors,
Inc. REIT 1,900 $ 51,661
National Penn Bancshares,
Inc.+++ 2,050 60,967
National Processing, Inc.* 200 5,750
National Western Life
Insurance Co. Class A* 200 30,710
Nationwide Health
Properties, Inc. REIT+++ 5,500 103,950
Navigators Group, Inc.* 700 20,223
NBC Capital Corporation+++ 600 16,194
NBT Bancorp, Inc.+++ 2,700 60,318
NCO Group, Inc.* 2,300 61,387
NDCHealth Corporation+++ 29,200 677,440
NetBank, Inc. 14,500 158,485
New Century Financial
Corporation+++ 24,050 1,126,021
NewAlliance Bancshares,
Inc.*+++ 142,600 1,990,695
Newcastle Investment
Corporation REIT 2,800 83,860
Northwest Bancorp, Inc.+++ 1,600 36,640
Novastar Financial, Inc.
REIT 1,800 68,328
NYMAGIC, Inc. 300 7,920
Oak Hill Financial, Inc. 200 6,300
OceanFirst Financial
Corporation+++ 6,900 165,255
Ohio Casualty
Corporation*+++ 26,800 539,484
Old National Bancorp 5,500 136,565
Omega Financial
Corporation+++ 600 20,658
Omega Healthcare Investors,
Inc. REIT 3,900 39,156
Oriental Financial Group,
Inc. 34,300 928,501
Origen Financial, Inc. 700 5,565
Pacific Capital Bancorp 2,233 62,814
Park National Corporation 700 89,397
Parkway Properties, Inc.
REIT 900 40,005
PartnerRe, Ltd. 12,600 714,798
Partners Trust Financial
Group, Inc. 500 9,800
Penn-America Group, Inc. 800 11,200
Pennfed Financial Services,
Inc. 400 13,600
Pennrock Financial Services
Corporation 500 15,100
Pennsylvania Real Estate
Investment Trust 2,651 90,797
Peoples Bancorp, Inc. 840 22,336
Peoples Holding Co.+++ 650 22,464
PFF Bancorp, Inc. 24,380 907,911
Philadelphia Consolidated
Holding Corporation* 1,200 72,084
Phoenix Cos., Inc.+++ 7,900 96,775
PICO Holdings, Inc.* 700 13,383
Piper Jaffray Cos.* 16,900 764,387
</Table>
See Notes to Financial Statements.
97
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Platinum Underwriters
Holdings, Ltd. 27,800 $ 845,954
PMA Capital Corporation
Class A 2,300 20,700
PMI Group, Inc. (The) 33,100 1,440,511
Portal Software, Inc.*+++ 31,900 115,797
Portfolio Recovery
Associates, Inc.*+++ 15,400 424,578
Post Properties, Inc.
REIT+++ 3,300 96,195
Prentiss Properties Trust
REIT 3,700 124,024
Presidential Life
Corporation 1,800 32,436
PRG-Schultz International,
Inc.*+++ 98,100 536,607
Price Legacy Corporation
REIT+++ 1,825 33,690
PrivateBancorp, Inc.+++ 21,400 587,644
ProAssurance Corporation*+++ 2,200 75,042
Prosperity Bancshares, Inc. 1,300 31,655
Provident Bancorp, Inc. 700 7,980
Provident Bankshares
Corporation 2,676 77,176
Provident Financial
Holdings, Inc. 450 10,643
Provident Financial
Services, Inc. 5,000 87,750
Providian Financial
Corporation*+++ 43,500 638,145
PS Business Parks, Inc. REIT 1,300 52,312
Quaker City Bancorp, Inc. 100 5,494
R&G Financial Corporation
Class B 35,700 1,180,242
Radian Group, Inc. 5,100 244,290
RAIT Investment Trust REIT 1,900 46,835
Ramco-Gershenson Properties
REIT+++ 1,200 29,076
Raymond James Financial,
Inc. 42,450 1,122,803
Realty Income Corporation
REIT 3,300 137,709
Redwood Trust, Inc. REIT+++ 1,300 72,384
RenaissanceRe Holdings, Ltd. 20,100 1,084,395
Republic Bancorp, Inc. 12,089 168,037
Republic Bancorp, Inc. Class
A 635 12,821
Rewards Network, Inc.*+++ 17,400 156,600
Riggs National Corporation 1,300 27,456
RLI Corporation 1,600 58,400
Royal Bancshares of
Pennsylvania, Inc. Class
A+++ 314 7,787
Ryder System, Inc. 17,300 693,211
S&T Bancorp, Inc.+++ 1,900 60,762
S.Y. Banc Corporation 400 9,364
Safety Insurance Group,
Inc.+++ 800 17,136
Sanders Morris Harris Group,
Inc. 1,000 14,750
Sandy Spring Bancorp,
Inc.+++ 900 31,275
Santander Bancorp 400 9,888
Saul Centers, Inc. REIT+++ 900 28,899
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Saxon Capital, Inc.* 2,400 $ 54,792
SCBT Financial
Corporation+++ 620 18,693
Scottish Re Group, Ltd.+++ 23,100 537,075
Seacoast Banking Corporation
of Florida 540 11,302
Seacoast Financial Services
Corporation+++ 2,500 86,500
Second Bancorp, Inc. 700 21,903
Security Bank Corporation 400 13,900
Selective Insurance Group,
Inc. 2,200 87,736
Senior Housing Properties
Trust REIT 4,500 75,555
Signature Bank* 300 7,128
Silicon Valley Bancshares* 15,500 614,575
Simmons First National
Corporation Class A+++ 1,200 31,236
Sotheby's Holdings, Inc.
Class A* 20,200 322,392
Southern Community Financial
Corporation 1,000 10,440
Southside Bancshares,
Inc.+++ 735 15,435
Southwest Bancorp of Texas,
Inc.+++ 13,400 591,208
Southwest Bancorp, Inc.+++ 900 16,425
Sovran Self Storage, Inc.
REIT+++ 1,200 45,816
State Auto Financial
Corporation 600 18,432
State Bancorp, Inc.+++ 641 15,666
State Financial Services
Corporation Class A 500 14,830
Sterling Bancorp+++ 575 15,882
Sterling Bancshares, Inc. 3,700 52,503
Sterling Financial
Corporation 1,275 33,188
Sterling Financial
Corporation Washington* 1,859 59,246
Stewart Information Services
Corporation 1,400 47,278
Stifel Financial
Corporation* 500 13,600
Summit Properties, Inc. REIT 2,300 58,972
Sun Bancorp, Inc. NJ* 656 13,947
Sun Communities, Inc.
REIT+++ 1,300 48,945
Susquehanna Bancshares,
Inc.+++ 3,810 95,860
SWS Group, Inc. 1,300 19,890
Tager Factory Outlet Center
REIT 800 31,280
Taubman Centers, Inc. REIT 2,200 50,358
Taylor Capital Group, Inc. 300 6,525
Texas Capital Bancshares,
Inc.*+++ 29,700 493,020
Texas Regional Banchshares,
Inc. Class A 1,100 50,501
TierOne Corporation+++ 41,500 892,665
Tompkins Trustco, Inc. 640 30,400
Triad Guaranty, Inc.* 800 46,560
Trico Bancshares+++ 900 17,010
</Table>
See Notes to Financial Statements.
98
<Table>
<Caption>
SHARES VALUE
----------- -------------
Trustmark Corporation 3,900 $ 112,788
U.S. Restaurant Properties,
Inc. REIT+++ 1,900 28,861
UCBH Holdings, Inc.+++ 32,200 1,272,544
UICI*+++ 58,600 1,395,265
UMB Financial Corporation+++ 1,300 67,106
Umpqua Holdings
Corporation+++ 2,348 49,285
Union Bankshares Corporation 600 18,960
United Bankshares, Inc.+++ 3,100 100,750
United Community Banks, Inc. 800 20,144
United Community Financial
Corporation+++ 2,300 29,900
United Fire & Casualty
Co.+++ 600 34,650
United Rentals, Inc.*+++ 3,600 64,404
Universal American Financial
Corporation* 2,200 24,156
Universal Health Realty
Income Trust REIT+++ 1,000 28,700
Unizan Financial
Corporation+++ 1,800 46,980
Urstadt Biddle Properties,
Inc. Class A REIT 1,800 26,658
USB Holding Co., Inc.+++ 840 19,253
USI Holdings Corporation* 400 6,320
Value Line, Inc. 100 3,551
Vesta Insurance Group, Inc. 800 5,176
Virginia Financial Group,
Inc.+++ 600 20,610
W Holding Co., Inc. 45,600 782,952
Washington Real Estate
Investment Trust REIT+++ 2,200 64,636
Washington Trust Bancorp,
Inc.+++ 1,100 28,567
Waypoint Financial
Corporation 2,515 69,389
Webster Financial
Corporation 19,500 916,890
WesBanco, Inc. 1,500 43,695
West Coast Bancorp 1,200 25,728
Westamerica Bancorporation 1,100 57,695
Westcorp 43,500 1,977,074
Western Sierra Bancorp* 400 12,388
Westfield Financial, Inc. 200 4,068
WFS Financial, Inc.* 11,000 544,610
Wilshire Financial Sevices
Group 1,100 10,219
Winston Hotels, Inc. REIT 1,900 19,665
Wintrust Financial
Corporation+++ 23,500 1,186,985
WSFS Financial Corporation 500 24,335
Yardville National Bancorp 700 17,500
Zenith National Insurance
Corporation+++ 19,000 923,400
-------------
89,494,629
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
HEALTHCARE -- 9.7%
Abaxis, Inc.*+++ 13,100 $ 248,638
Abgenix, Inc.*+++ 3,700 43,364
Accelrys, Inc.* 2,000 19,720
Advanced Medical Optics,
Inc.* 18,800 800,316
Albany Molecular Research,
Inc.*+++ 1,700 21,981
Align Technology, Inc.* 11,750 223,250
Alliance Imaging, Inc.* 1,000 4,570
Allscripts Healthcare
Solutions, Inc.* 900 7,056
Alpharma, Inc. Class A 18,800 385,024
America Service Group,
Inc.*+++ 13,300 462,175
American Dental Partners,
Inc.* 25,700 460,030
American Healthways,
Inc.*+++ 34,250 911,735
American Medical Security
Group, Inc.* 900 24,525
American Pharmaceutical
Partners, Inc.*+++ 12,100 367,598
Amerigroup Corporation*+++ 8,200 403,440
Analogic Corporation+++ 400 16,972
Andrx Corporation*+++ 17,100 477,603
Animas Corporation* 100 1,865
Applera
Corporation -- Celera
Genomics Group* 6,100 70,211
Apria Healthcare Group,
Inc.* 7,300 209,510
Atherogenics, Inc.* 1,400 26,642
Atrix Laboratories, Inc.*+++ 20,500 702,740
Barrier Therapeutics, Inc.* 100 1,402
Bausch & Lomb, Inc. 8,400 546,588
Beverly Enterprises,
Inc.*+++ 800 6,880
Bio-Rad Laboratories, Inc.
Class A* 14,300 841,698
Bradley Pharmaceuticals,
Inc.*+++ 38,200 1,065,780
Caraco Pharm Labs, Inc.* 100 964
Cardiac Science, Inc.* 2,300 5,635
Cell Genesys, Inc.*+++ 3,700 38,443
Centene Corporation* 8,500 327,675
Charles River Laboratories
International, Inc.* 11,600 566,892
Chattem, Inc.* 400 11,548
CIMA Labs, Inc.* 200 6,746
Conmed Corporation* 2,500 68,500
Corgentech, Inc.*+++ 11,200 180,544
Cubist Pharmaceuticals,
Inc.* 700 7,770
CuraGen Corporation*+++ 1,600 9,616
Cytokinetics, Inc.* 100 1,485
Datascope Corporation 1,000 39,690
DaVita, Inc.* 100,200 3,089,165
Digene Corporation*+++ 16,200 591,786
DJ Orthopedics, Inc.* 100 2,300
E-Z-Em, Inc. 500 9,190
Enzon, Inc.*+++ 21,900 279,444
Epix Medical, Inc.*+++ 11,100 234,210
Eresearch Technology,
Inc.*+++ 10,000 280,000
Eyetech Pharmaceuticals,
Inc.*+++ 5,200 223,184
</Table>
See Notes to Financial Statements.
99
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
First Health Group
Corporation* 2,400 $ 37,464
First Horizon Pharmaceutical
Corporation*+++ 200 3,780
Flamel Technologies ADR* 9,400 231,522
Gen-Probe, Inc*+++ 13,300 629,356
Genesis Healthcare
Corporation* 1,700 49,368
Gentiva Health Services,
Inc.*+++ 200 3,252
Guilford Pharmaceuticals,
Inc.*+++ 1,200 5,700
Haemonetics Corporation* 600 17,790
Hanger Orthopedic Group,
Inc.* 1,800 21,096
Healthcare Services Group,
Inc. 100 1,530
Hologic, Inc.*+++ 1,200 27,900
Hooper Holmes, Inc. 3,500 20,090
Human Genome Sciences, Inc.* 10,800 125,604
I-Flow Corporation*+++ 11,900 141,134
Immunicon Corporation* 100 786
IMPAC Medical Systems,
Inc.*+++ 28,100 411,103
Incyte Corporation*+++ 2,500 19,100
Indevus Pharmaceuticals,
Inc.* 300 1,845
Intuitive Surgical, Inc.* 15,300 290,700
Invacare Corporation 2,200 98,384
Inverness Medical
Innovations, Inc.*+++ 500 10,950
Kindred Healthcare, Inc.*+++ 2,200 57,970
KV Pharmaceutical Co. Class
A* 13,487 311,415
Landauer, Inc. 300 13,398
Ligand Pharmaceuticals, Inc.
Class B*+++ 61,900 1,075,822
Magellan Health Services,
Inc.* 27,500 919,875
Matria Healthcare, Inc.* 200 5,014
Maxygen, Inc.*+++ 1,900 20,083
Medarex, Inc.*+++ 4,300 31,347
Medcath Corporation* 500 10,000
Medicines Co.* 14,250 434,768
Medicis Pharmaceutical
Corporation Class A+++ 9,100 363,545
MedSource Technologies,
Inc.* 800 5,680
Mentor Corporation 400 13,716
Merit Medical Systems, Inc.* 21,100 336,123
Microtek Medical Holdings,
Inc.* 2,700 13,824
Molecular Devices
Corporation* 300 5,334
Molina Healthcare, Inc.*+++ 18,100 691,058
National Healthcare
Corporation 100 2,801
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
NeighborCare, Inc.*+++ 21,400 $ 670,462
Neose Technologies, Inc.*+++ 100 833
Neurocrine Biosciences,
Inc.*+++ 5,300 274,805
NitroMed, Inc.* 200 1,202
Ocular Sciences, Inc.* 300 11,400
Omnicare, Inc. 13,600 582,216
Omnicell, Inc.*+++ 24,000 350,640
Option Care, Inc. 300 4,578
Orthodontic Centers of
America, Inc.*+++ 3,500 28,665
Orthofix International NV* 14,500 619,585
Oscient Pharmaceuticals
Corporation* 5,100 26,061
Owens & Minor, Inc. 38,500 997,150
PacifiCare Health Systems,
Inc.* 16,800 649,488
Par Pharmaceutical Cos.,
Inc.* 22,200 781,662
PAREXEL International
Corporation* 600 11,880
Pediatrix Medical Group,
Inc.* 16,200 1,131,570
Per-Se Technologies,
Inc.*+++ 26,600 386,764
Perrigo Co. 3,700 70,189
Praecis Pharmaceuticals,
Inc.*+++ 4,400 16,720
Protein Design Labs,
Inc.*+++ 30,500 583,465
Province Healthcare Co.* 59,200 1,015,280
ProxyMed, Inc.* 200 3,372
PSS World Medical, Inc.*+++ 48,300 540,960
Quidel Corporation* 200 1,178
Radiation Therapy Services,
Inc.* 14,100 200,220
RehabCare Group, Inc.* 21,700 577,871
Res-Care, Inc.* 56,300 715,010
Respironics, Inc.* 27,500 1,615,625
Santarus, Inc.*+++ 15,900 234,525
Savient Pharmaceuticals,
Inc.*+++ 38,700 95,976
Seattle Genetics, Inc.* 1,400 9,842
Select Medical Corporation 13,800 185,196
Serologicals Corporation*+++ 500 9,995
Sierra Health Services,
Inc.*+++ 18,000 804,600
Sola International, Inc.* 2,700 46,521
Specialty Laboratories,
Inc.*+++ 300 2,688
Stericycle, Inc.* 22,200 1,148,628
Steris Corporation* 32,400 730,944
Sunrise Senior Living,
Inc.*+++ 1,300 50,882
Sybron Dental Specialties,
Inc.* 1,000 29,850
Tanox, Inc.*+++ 15,500 295,585
Taro Pharmaceuticals
Industries, Ltd.*+++ 7,600 330,600
Techne Corporation* 700 30,415
Thoratec Corporation*+++ 10,300 110,519
Transkaryotic Therapies,
Inc.*+++ 100 1,496
United Surgical Partners
International, Inc.*+++ 9,300 367,071
US Oncology, Inc.* 62,500 920,000
</Table>
See Notes to Financial Statements.
100
<Table>
<Caption>
SHARES VALUE
----------- -------------
Valeant Pharmaceuticals
International 1,700 $ 34,000
VCA Antech, Inc.*+++ 48,400 2,169,288
Ventana Medical Systems* 7,600 361,228
Vertex Pharmaceuticals,
Inc.* 3,300 35,772
Viasys Healthcare, Inc.* 2,600 54,366
Vicuron Pharmaceuticals,
Inc.* 2,000 25,120
VISX, Inc.*+++ 31,300 836,336
Vital Signs, Inc. 500 14,520
WellCare Health Plans, Inc.* 3,200 54,400
West Pharmaceutical
Services, Inc. 600 25,380
Wilson Greatbatch
Technologies, Inc.* 7,800 218,010
Wright Medical Group, Inc.* 9,600 341,760
XOMA, Ltd.*+++ 80,000 358,400
Zoll Medical Corporation*+++ 8,425 295,549
-------------
42,884,640
-------------
INTEGRATED OILS -- 0.0%
Giant Industries, Inc.* 900 19,800
Petrocorp, Inc. Escrow
Shares*+ 500 0
-------------
19,800
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
MATERIALS & PROCESSING -- 9.8%
Aaon, Inc.* 100 $ 2,019
Acuity Brands, Inc. 19,400 523,800
Agrium, Inc. 54,600 794,430
Airgas, Inc. 31,000 741,210
AK Steel Holding
Corporation*+++ 4,100 21,607
Albany International
Corporation Class A 2,200 73,832
Albemarle Corporation+++ 2,700 85,455
Alico, Inc. 300 12,045
Amcol International
Corporation 1,500 28,425
Ameron International
Corporation 700 23,891
Anchor Glass Container
Corporation 43,100 583,143
Apogee Enterprises, Inc. 2,300 23,920
Aptargroup, Inc. 3,000 131,070
Arch Chemicals, Inc. 14,400 415,008
Avatar Holdings, Inc.*+++ 400 16,640
Barnes Group, Inc. 33,900 982,422
Bluegreen Corporation* 900 12,420
Brady Corporation Class A 800 36,880
Brookfield Homes Corporation 32,900 861,651
Brush Engineered Materials,
Inc.* 1,400 26,460
Buckeye Technologies, Inc.* 2,500 28,750
Building Materials Holding
Corporation 1,100 20,823
Calgon Carbon Corporation+++ 2,800 18,760
Cambrex Corporation 2,200 55,506
Caraustar Industries,
Inc.*+++ 39,700 560,167
Carpenter Technology
Corporation 28,200 960,210
Ceradyne, Inc.* 400 14,308
Chesapeake Corporation+++ 1,600 42,688
Chicago Bridge & Iron Co.
NV+++ 27,000 751,950
CIRCOR International,
Inc.+++ 38,000 774,820
Cleveland-Cliffs, Inc.*+++ 400 22,556
Comfort Systems USA, Inc.* 3,200 20,448
Commercial Metals Co. 36,000 1,168,200
Compass Minerals
International, Inc. 1,300 25,194
CompX International, Inc.* 100 1,500
Corn Products International,
Inc. 29,900 1,391,845
Crompton Corporation 9,600 60,480
Crown Holdings, Inc.* 6,200 61,814
Cytec Industries, Inc. 18,300 831,735
Delta & Pine Land Co. 1,300 28,535
Deltic Timber Corporation+++ 700 26,880
DHB Industries, Inc.*+++ 74,300 1,127,874
Dycom Industries, Inc.* 900 25,200
Eagle Materials, Inc.+++ 1,400 99,428
ElkCorp 31,600 756,504
EMCOR Group, Inc.* 1,300 57,174
Engelhard Corporation 32,900 1,062,999
Ennis, Inc. 1,400 27,300
Exide Technologies* 10,600 216,770
Ferro Corporation 30,400 811,072
FMC Corporation* 15,000 646,650
Georgia Gulf Corporation 1,100 39,446
Gibraltar Steel Corporation 800 26,256
Glatfelter 2,400 33,792
Grace (W.R.) & Co.* 5,500 34,100
GrafTech International,
Ltd.* 15,600 163,176
Granite Construction, Inc. 2,800 51,044
Great Lakes Chemical
Corporation 4,200 113,652
Greif, Inc. Class A 33,000 1,394,250
Griffon Corporation* 1,900 42,332
H.B. Fuller Co.+++ 30,400 863,360
Hecla Mining Co.*+++ 5,000 28,500
Hercules, Inc.* 23,600 287,684
IMCO Recycling, Inc.* 600 7,932
Infrasource Services, Inc.* 500 6,130
Insituform Technolgies, Inc.
Class A*+++ 1,500 24,405
Integrated Electical
Services, Inc.* 1,700 13,685
Interface, Inc. Class A* 3,700 32,301
Jacuzzi Brands, Inc.* 5,700 45,942
Kaydon Corporation 1,400 43,302
Layne Christensen Co.* 400 6,620
Lennox International,
Inc.+++ 3,300 59,730
LNR Property Corporation+++ 20,200 1,095,850
</Table>
See Notes to Financial Statements.
101
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Lone Star Technologies,
Inc.* 500 $ 13,780
Longview Fibre Co. 4,300 63,339
Louisiana-Pacific
Corporation 57,300 1,355,145
LSI Industries, Inc. 1,675 19,263
Maverick Tube
Corporation*+++ 18,700 491,062
Metal Management, Inc.* 1,500 29,715
Metals USA, Inc.* 1,700 30,396
Methanex Corporation+++ 83,400 1,102,631
Millennium Chemicals, Inc. 5,400 93,528
Minerals Technologies, Inc. 1,700 98,600
Mobile Mini, Inc.*+++ 31,100 883,551
Mueller Industries, Inc. 17,800 637,240
Myers Industries, Inc. 1,875 26,438
NCI Building Systems, Inc.* 22,900 745,395
NewMarket Corporation*+++ 1,100 23,617
NL Industries, Inc. 400 5,800
NN, Inc. 1,400 17,794
NS Group, Inc.* 1,500 24,660
Octel Corporation 1,000 26,330
Olin Corporation+++ 123,920 2,183,469
OM Group, Inc.*+++ 2,400 79,224
Omnova Solutions, Inc.* 2,000 12,200
Oregon Steel Mills, Inc.* 2,200 32,428
Owens-Illinois, Inc.* 38,400 643,584
Penn Engineering &
Manufacturing Corporation 800 17,152
Perini Corporation* 400 4,268
PolyOne Corporation* 7,600 56,544
Pope & Talbot, Inc.+++ 1,300 25,701
Potlatch Corporation 2,500 104,100
Quaker Chemical Corporation 500 13,810
Quanex Corporation+++ 12,000 584,400
Quanta Services, Inc.*+++ 3,000 18,660
Reading International, Inc.
Class A* 1,200 10,440
Reliance Steel & Aluminum
Co.+++ 29,400 1,185,408
Rock-Tenn Co. Class A 48,400 820,380
RTI International Metals,
Inc.*+++ 1,800 28,710
Ryerson Tull, Inc. 900 14,292
Schnitzer Steel Industries,
Inc. Class A+++ 1,550 52,638
Schulman (A.), Inc. 15,900 341,691
Shaw Group, Inc. (The)*+++ 93,700 949,181
Silgan Holdings, Inc. 400 16,124
Southern Peru Copper
Corporation 23,200 958,856
Spartech Corporation 35,500 920,870
Standard Register Co.+++ 36,500 434,350
Steel Dynamics, Inc.*+++ 38,000 1,087,940
Steel Technologies, Inc. 800 17,664
Stepan Co. 400 10,460
Stillwater Mining Co.*+++ 2,700 40,527
Sunterra Corporation* 1,500 18,900
Tarragon Realty Investors,
Inc. REIT*+++ 525 7,744
Terra Industries, Inc.* 3,300 18,579
Texas Industries, Inc.+++ 1,800 74,106
Titanium Metals Corporation* 100 9,255
Trammell Crow Co.*+++ 81,300 1,146,330
Tredegar Corporation 48,500 782,305
U.S. Concrete, Inc.* 1,800 12,690
Universal Forest Products,
Inc.+++ 1,200 38,700
URS Corporation* 6,500 178,100
USEC, Inc.+++ 7,000 61,390
USG Corporation*+++ 2,700 47,466
Valence Technology, Inc.*+++ 3,000 10,290
Valhi, Inc. 840 9,551
Valmont Industries, Inc. 30,400 696,160
Washington Group
International, Inc.* 2,100 75,369
Watsco, Inc.+++ 39,200 1,100,344
Wausau-Mosinee Paper
Corporation+++ 3,600 62,280
WCI Communities, Inc.*+++ 43,600 972,716
WD-40 Co. 700 20,958
Wellman, Inc.+++ 2,700 21,951
Wheeling-Pittsburgh
Corporation* 300 6,258
York International
Corporation 3,400 139,638
-------------
43,372,392
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
OTHER -- 0.3%
Brunswick Corporation 10,600 $ 432,480
GenCorp, Inc.+++ 3,300 44,187
Kaman Corporation Class A+++ 23,400 327,366
Lancaster Colony Corporation 2,000 83,280
Ritchie Bros. Auctioneers,
Inc. 17,200 500,692
Sequa Corporation Class A* 500 29,235
Trinity Industries, Inc.+++ 3,100 98,549
Walter Industries, Inc.+++ 2,000 27,240
-------------
1,543,029
-------------
OTHER ENERGY -- 4.4%
Berry Petroleum Co. Class A 1,100 32,351
Cabot Oil & Gas Corporation 1,700 71,910
Callon Petroleum Co.* 500 7,130
Calpine Corporation* 34,700 149,904
Capstone Turbine
Corporation* 1,700 3,700
Cimarex Energy Co.* 3,500 105,805
Clayton Williams Energy,
Inc.* 100 2,390
Comstock Resources, Inc.* 400 7,784
Denbury Resources, Inc.* 28,400 594,980
Dril-Quip, Inc.* 500 9,350
Edge Petroleum Corporation* 200 3,400
Encore Acquisition Co.* 1,700 47,430
Energy Partners, Ltd.*+++ 2,000 30,600
Evergreen Resources,
Inc.*+++ 11,000 444,400
Forest Oil Corporation* 3,800 103,816
Global Industries, Ltd.* 6,800 38,896
</Table>
See Notes to Financial Statements.
102
<Table>
<Caption>
SHARES VALUE
----------- -------------
Global Power Equipment
Group, Inc.* 2,300 $ 18,446
Gulf Island Fabrication,
Inc. 100 2,163
Hanover Compressor Co.*+++ 6,400 76,160
Harvest Natural Resources,
Inc.* 45,100 672,441
Helmerich & Payne, Inc. 74,900 1,958,634
Holly Corporation+++ 800 29,920
Hornbeck Offshore Services,
Inc.*+++ 58,300 761,981
Houston Exploration Co.*+++ 28,800 1,492,992
Hydril Co.*+++ 15,500 488,250
Key Energy Services, Inc.* 10,900 102,896
KFX, Inc.*+++ 30,900 235,458
Lufkin Industries, Inc.+++ 600 19,188
Magnum Hunter Resources,
Inc.*+++ 63,400 658,092
Matrix Service Co.* 700 6,405
McMoRan Exploration Co.*+++ 500 7,790
Meridian Resource
Corporation* 4,400 30,536
Newpark Resources, Inc.* 2,900 17,980
Oceaneering International,
Inc.* 2,100 71,925
Oil States International,
Inc.* 1,700 26,010
Parker Drilling Co.* 7,900 30,178
Patina Oil & Gas Corporation 34,700 1,036,489
Patterson-UTI Energy, Inc. 17,400 581,334
Plains Exploration &
Production Co.* 5,220 95,787
Prima Energy Corporation* 100 3,957
Range Resources Corporation 10,900 159,140
Reliant Energy, Inc.*+++ 65,100 705,033
Remington Oil & Gas
Corporation* 300 7,080
Resource America, Inc. Class
A 700 16,520
RPC, Inc. 700 11,053
Seacor Holdings, Inc.* 1,500 65,895
Spinnaker Exploration Co.* 1,200 47,256
St. Mary Land & Exploration
Co.+++ 2,400 85,560
Stone Energy Corporation* 1,500 68,520
Sunoco, Inc.+++ 20,900 1,329,658
Superior Energy Services,
Inc.* 85,300 857,265
Swift Energy Co.* 2,300 50,738
Syntroleum Corporation* 1,000 6,620
Tesoro Petroleum
Corporation*+++ 58,600 1,617,360
Tetra Technologies, Inc.* 12,050 323,543
Texas Genco Holdings,
Inc.+++ 19,200 865,728
Todco Class A* 1,000 15,470
Transmontaigne, Inc.* 1,800 9,684
Universal Compression
Holdings, Inc.* 14,400 441,792
Veritas DGC, Inc.*+++ 45,300 1,048,695
Vintage Petroleum, Inc. 4,200 71,274
W-H Energy Services, Inc.* 69,600 1,364,160
Whiting Petroleum
Corporation* 700 17,605
-------------
19,264,507
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
PRODUCER DURABLES -- 8.0%
Advanced Energy Industries,
Inc.*+++ 33,200 $ 521,904
Applied Films
Corporation*+++ 700 20,314
Applied Industrial
Technologies, Inc. 1,400 42,168
Arris Group, Inc.*+++ 1,500 8,910
Artesyn Technologies,
Inc.*+++ 1,200 10,800
Astec Industries, Inc.* 800 15,064
Audiovox Corporation Class
A* 700 11,816
Axcelis Technologies, Inc.* 1,700 21,148
Baldor Electric Co. 33,800 789,230
BE Aerospace, Inc.*+++ 27,400 207,692
Beazer Homes USA, Inc.+++ 1,100 110,341
Belden, Inc.+++ 58,000 1,242,940
Blount International, Inc.
Class A* 100 1,273
Briggs & Stratton
Corporation 13,200 1,166,220
Brooks Automation, Inc.* 15,000 302,250
C & D Technologies, Inc. 2,100 37,443
C-COR.net Corporation* 1,400 14,406
Cable Design Technologies
Corporation*+++ 1,800 19,080
Cascade Corporation 900 28,125
Cherokee International
Corporation*+++ 52,800 602,448
Cohu, Inc.+++ 1,800 34,272
Credence Systems
Corporation*+++ 400 5,520
CTS Corporation+++ 66,600 803,196
Curtiss-Wright
Corporation+++ 1,300 73,047
Cymer, Inc.*+++ 27,700 1,037,088
DDi Corporation* 1,100 9,053
Dominion Homes, Inc.*+++ 300 6,930
Ducommun, Inc.* 600 12,828
DuPont Photomasks, Inc.* 600 12,198
Electro Scientific
Industries, Inc.* 2,300 65,113
Enpro Industries, Inc.* 1,700 39,066
Entegris, Inc.*+++ 40,700 470,899
ESCO Technologies, Inc.* 500 26,680
Esterline Technologies
Corporation* 1,800 53,154
Faro Technologies, Inc.* 16,200 415,854
Federal Signal Corporation 21,400 398,254
FEI Co.*+++ 25,300 604,923
Flanders Corporation* 300 2,481
Flowserve Corporation* 37,500 935,250
FSI International, Inc.* 200 1,562
Gardner Denver, Inc.* 1,600 44,640
General Cable
Corporation*+++ 3,000 25,650
</Table>
See Notes to Financial Statements.
103
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Genlyte Group, Inc.* 1,000 $ 62,880
Gorman-Rupp Co. 600 16,302
Headwaters, Inc.* 12,000 311,160
Heico Corporation+++ 1,500 27,375
Heico Corporation Class A 100 1,395
HNI Corporation 19,400 821,202
IDEX Corporation 2,050 70,418
Imagistics International,
Inc.* 22,400 792,960
Intevac, Inc.*+++ 32,700 290,049
Ionics, Inc.*+++ 1,500 42,375
JLG Industries, Inc.+++ 16,800 233,352
Joy Global, Inc. 9,600 287,424
Kadant, Inc.* 29,000 670,770
KB HOME 16,300 1,118,669
Kennametal, Inc. 25,000 1,145,000
Kimball International, Inc.
Class B 78,200 1,153,450
Kulicke & Soffa Industries,
Inc.*+++ 49,900 546,904
Lindsay Manufacturing Co.+++ 100 2,402
Littelfuse, Inc.* 200 8,482
M/I Homes, Inc. 1,000 40,600
Magnetek, Inc.* 2,000 16,680
Mastec, Inc.*+++ 2,000 10,860
Meritage Corporation* 100 6,880
Mettler Toledo
International, Inc.* 21,200 1,041,768
Milacron, Inc.+++ 3,200 12,800
MKS Instruments, Inc.* 500 11,410
Moog, Inc. Class A* 2,200 81,642
MTC Technologies, Inc.* 19,900 513,818
MTS Systems Corporation 1,600 37,520
NACCO Industries, Inc. Class
A+++ 7,900 750,500
NVR, Inc.*+++ 2,500 1,210,500
Orbital Sciences
Corporation*+++ 50,500 697,405
Orleans Homebuilders, Inc.* 100 1,927
Palm Harbor Homes, Inc.*+++ 46,600 826,218
Paxar Corporation*+++ 2,400 46,848
Photon Dynamics, Inc.*+++ 18,400 645,288
Photronics, Inc.*+++ 158,600 3,003,884
Plantronics, Inc.* 15,400 648,340
Polycom, Inc.* 38,200 856,062
Powell Industries, Inc.*+++ 600 10,248
Power-One, Inc.* 52,600 577,548
Powerwave Technologies,
Inc.* 4,700 36,190
Rayovac Corporation* 18,600 522,660
Regal-Beloit Corporation+++ 1,800 40,068
Robbins & Myers, Inc.+++ 900 20,205
Rofin-Sinar Technologies,
Inc.* 1,200 30,468
Roper Industries, Inc. 6,800 386,920
Rudolph Technologies, Inc.* 100 1,819
Ryland Group, Inc. 15,500 1,212,100
Skyline Corporation+++ 600 24,390
Smith (A.O.) Corporation+++ 25,300 804,287
Sonic Solutions*+++ 11,900 252,875
Standex International
Corporation+++ 16,100 437,920
Stewart & Stevenson
Services, Inc. 2,400 43,008
Symmetricom, Inc.*+++ 600 5,340
Technical Olympic USA,
Inc.+++ 700 15,596
Technitrol, Inc.* 2,900 63,510
Tecumseh Products Co. Class
A 1,400 57,666
Teledyne Technologies, Inc.* 34,400 688,688
Tennant Co. 23,400 969,930
Terex Corporation* 8,000 273,040
Thomas & Betts Corporation 4,900 133,427
Thomas Industries, Inc. 1,200 39,840
TRC Cos., Inc.* 300 5,004
Triumph Group, Inc.* 1,300 41,509
Ultratech, Inc.* 300 4,884
Veeco Instruments, Inc.*+++ 200 5,162
Watts Water Technologies,
Inc. Class A 2,000 53,900
Woodhead Industries, Inc. 900 13,914
Woodward Governor Co. 800 57,688
Zygo Corporation* 800 8,952
-------------
35,153,505
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
TECHNOLOGY -- 12.9%
Actel Corporation* 29,900 $ 553,150
ActivCard Corporation*+++ 3,500 25,410
Acxiom Corporation+++ 17,000 422,110
Adaptec, Inc.* 9,100 76,986
Advanced Digital Information
Corporation* 29,200 283,240
Aeroflex, Inc.* 25,400 363,982
Agile Software Corporation* 52,100 455,875
Agilysys, Inc. 2,400 33,096
Akamai Technologies,
Inc.*+++ 24,500 439,775
Aladdin Knowledge Systems* 14,300 235,235
Alliance Semiconductor
Corporation* 1,700 10,115
Altiris, Inc.*+++ 8,800 242,968
Anaren, Inc.* 600 9,804
Anixter International, Inc. 17,300 588,719
Ansys, Inc.* 200 9,400
Anteon International
Corporation* 8,400 274,008
Ariba, Inc.* 16,800 33,264
Arrow Electronics, Inc.*+++ 45,100 1,209,581
Ascential Software
Corporation*+++ 51,600 825,084
Asiainfo Holdings, Inc.*+++ 1,800 9,504
Aspen Technology, Inc.*+++ 37,600 272,976
Autodesk, Inc. 27,900 1,194,398
Avid Technology, Inc.* 7,300 398,361
Avnet, Inc.* 47,900 1,087,330
Avocent Corporation* 7,400 271,876
Benchmark Electronics, Inc.* 1,700 49,470
BioVeris Corporation* 400 3,328
</Table>
See Notes to Financial Statements.
104
<Table>
<Caption>
SHARES VALUE
----------- -------------
Black Box Corporation 15,600 $ 737,256
Blackboard, Inc.* 2,500 50,125
Borland Software
Corporation* 59,700 506,853
Brocade Communications
Systems, Inc.* 4,000 23,920
CACI International, Inc.
Class A* 14,200 574,248
Captaris, Inc.* 900 5,814
Catapult Communications
Corporation* 400 9,200
Celestica, Inc.*+++ 27,000 538,650
Checkpoint Systems, Inc.* 3,100 55,583
Cherokee, Inc. 200 5,018
ChipPAC, Inc. Class A*+++ 52,100 326,667
CIBER, Inc.*+++ 60,800 499,776
Cognizant Technology
Solutions Corporation* 14,300 363,363
Coherent, Inc.*+++ 1,400 41,790
CommScope, Inc.*+++ 34,400 737,880
CompuCom Systems, Inc.* 2,000 9,080
Computer Network Technology
Corporation*+++ 6,100 36,539
Comtech Telecommunications* 300 6,768
Concord Communications,
Inc.*+++ 23,500 268,135
Corvis Corporation*+++ 32,500 45,825
CSG Systems International,
Inc.* 1,400 28,980
Cubic Corporation+++ 8,100 169,533
Digi International, Inc.* 400 4,288
Digimarc Corporation* 600 8,010
Digital River, Inc.* 700 22,841
Ditech Communications
Corporation* 15,700 366,438
DRS Technologies, Inc.* 1,641 52,348
E.piphany, Inc.* 5,700 27,531
Eagle Broadband, Inc.* 16,000 15,840
EDO Corporation 300 7,236
Electronics for Imaging,
Inc.* 28,550 806,823
Embarcadero Technologies,
Inc.* 24,800 306,528
EMS Technologies, Inc.* 200 3,886
Emulex Corporation*+++ 67,600 967,356
Enterasys Networks, Inc.* 7,600 16,036
Epicor Software Corporation* 30,500 428,525
EPIQ Systems, Inc.* 5,100 73,950
Equinix, Inc.*+++ 19,900 675,406
ESS Technology, Inc.*+++ 19,800 212,058
Exar Corporation* 2,400 35,184
Extreme Networks, Inc.*+++ 2,400 13,248
F5 Networks, Inc.*+++ 18,100 479,288
Filenet Corporation* 22,200 700,854
Finisar Corporation*+++ 1,500 2,970
FLIR Systems, Inc.*+++ 12,700 697,230
FormFactor, Inc.*+++ 26,550 596,048
Gateway, Inc.* 13,400 60,300
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Genesis Microchip, Inc.* 1,300 $ 17,901
Herley Industries, Inc.*+++ 600 11,724
Hummingbird, Ltd.* 14,200 320,494
Hutchinson Technology,
Inc.*+++ 2,200 54,098
Hyperion Solutions
Corporation*+++ 12,100 529,012
iGate Corporation* 400 1,592
Imation Corporation 3,000 127,830
Inet Technolgies, Inc.* 55,800 695,826
InFocus Corporation* 54,800 465,800
Infonet Services Corporation
Class B* 205,700 359,975
Informatica Corporation* 151,400 1,155,182
Ingram Micro, Inc. Class A* 56,600 819,002
Integrated Circuit Systems,
Inc.* 40,500 1,099,980
Integrated Device
Technology, Inc.*+++ 118,200 1,635,887
Integrated Silicon
Solutions, Inc.* 2,500 30,525
Intergraph Corporation* 700 18,102
International Rectifier
Corporation* 7,500 310,650
Internet Capital Group,
Inc.* 3,200 24,768
Internet Security Systems,
Inc.*+++ 17,500 268,450
Intervideo, Inc.* 100 1,294
Interwoven, Inc.*+++ 34,975 353,248
Iomega Corporation+++ 1,600 8,928
IXYS Corporation* 100 788
JDA Software Group, Inc.*+++ 31,400 413,538
Keane, Inc.* 1,700 23,273
Kemet Corporation* 7,200 87,984
Keynote Systems, Inc.* 600 8,250
Komag, Inc.*+++ 2,000 27,940
KVH Industries, Inc.*+++ 13,300 169,309
Lattice Semiconductor
Corporation* 45,300 317,553
Lawson Software, Inc.*+++ 50,100 354,708
LeCroy Corporation* 700 12,607
Macromedia, Inc.* 42,900 1,053,195
Macrovision Corporation* 19,500 488,085
Mantech International
Corporation Class A* 500 9,385
Manugistics Group, Inc.*+++ 2,600 8,502
Mapinfo Corporation* 1,400 14,840
MatrixOne, Inc.*+++ 82,900 572,839
McData Corporation Class A* 9,800 52,724
Mentor Graphics
Corporation*+++ 37,100 573,937
Merix Corporation* 800 9,072
Methode Electronics, Inc.
Class A 3,000 38,910
Micrel, Inc.* 24,700 300,105
Microsemi Corporation* 44,900 638,029
Microtune, Inc.* 700 3,269
</Table>
See Notes to Financial Statements.
105
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Monolithic System
Technology, Inc.* 100 $ 753
Motive, Inc.* 17,900 184,728
MRO Software, Inc.*+++ 47,500 646,475
MRV Communications, Inc.*+++ 8,100 22,194
MSC.Software Corporation*+++ 1,400 12,530
National Instruments
Corporation+++ 27,550 844,408
NETIQ Corporation* 4,800 63,360
Netscout Systems, Inc.* 300 1,977
Network Equipment
Technologies, Inc.* 500 4,080
Newport Corporation* 47,300 764,841
Novatel Wireless, Inc.* 1,000 26,500
NU Horizons Electronics
Corporation* 20,850 187,650
O2Micro International, Ltd.* 26,300 447,889
Omnivision Technologies,
Inc.*+++ 7,200 114,840
ON Semiconductor
Corporation* 500 2,510
Open Solutions, Inc.* 10,900 272,282
Open Text Corporation*+++ 21,400 682,660
Oplink Communications, Inc.* 4,000 7,680
Optical Communication
Products, Inc.* 700 1,708
OSI Systems, Inc.*+++ 400 7,972
Overland Storage, Inc.* 300 3,987
palmOne, Inc.*+++ 3,475 120,826
Parametric Technology
Corporation* 92,700 463,500
Park Electrochemical
Corporation 1,400 35,350
PC-Tel, Inc.* 400 4,720
PDF Solutions, Inc.* 45,000 381,150
Pec Soulutions, Inc.* 800 9,544
Pegasystems, Inc.*+++ 100 875
Pericom Semiconductor
Corporation*+++ 9,900 106,029
Perot Systems Corporation
Class A* 4,700 62,369
Pinnacle Systems, Inc.* 2,700 19,305
Pixelworks, Inc.*+++ 29,900 458,068
Planar Systems, Inc.*+++ 44,100 590,499
Plexus Corporation* 43,900 592,650
Power Intergrations,
Inc.*+++ 11,600 288,840
ProcureNet, Inc.*+ 7,600 0
Progress Software
Corporation* 200 4,334
Quantum Corporation*+++ 8,400 26,040
Quest Software, Inc.*+++ 22,200 286,380
Radisys Corporation*+++ 300 5,571
Redback Networks, Inc.*+++ 2,588 16,589
REMEC, Inc.*+++ 55,600 351,392
Retek, Inc.* 52,200 320,508
RF Micro Devices, Inc.*+++ 33,800 253,500
Safeguard Scientifics,
Inc.*+++ 92,600 212,980
SafeNet, Inc.* 38,400 1,062,912
Salesforce.com, Inc.*+++ 1,900 30,533
SBS Technologies, Inc.* 700 11,249
ScanSoft, Inc.* 1,500 7,425
Semtech Corporation* 28,600 673,244
Serena Software, Inc.*+++ 43,450 829,461
Silicon Graphics, Inc.*+++ 21,800 47,960
Silicon Storage Technology,
Inc.* 39,300 404,790
Simpletech, Inc.*+++ 700 2,387
Sirf Technology Holdings,
Inc.*+++ 100 1,307
Skyworks Solutions, Inc.*+++ 117,000 1,021,410
SonicWALL, Inc.* 2,100 18,060
Spectrasite, Inc.*+++ 20,600 890,332
SPSS, Inc.* 100 1,797
SRA International, Inc.
Class A* 10,200 431,664
SS&C Technologies, Inc. 16,200 302,940
Standard Microsystems
Corporation*+++ 33,600 783,552
Stellent, Inc.*+++ 600 5,124
Supertex, Inc.* 25,000 408,500
SupportSoft, Inc.* 37,300 323,764
Sycamore Networks, Inc.*+++ 14,600 61,758
SYKES Enterprises, Inc.* 49,300 372,708
SYNNEX Corporation* 500 7,850
Sypris Solutions, Inc. 500 9,595
Talx Corporation+++ 800 19,544
Tekelec* 32,600 592,342
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Terremark Worldwide, Inc.* 6,100 $ 5,185
TIBCO Software, Inc.* 66,800 564,460
Tier Technologies, Inc.*+++ 29,500 287,330
Trimble Navigation, Ltd.* 21,400 594,706
Triquint Semiconductor,
Inc.* 4,700 25,662
TriZetto Group, Inc.* 300 2,010
Ulticom, Inc.*+++ 55,200 645,840
UNOVA, Inc.* 3,700 74,925
Verisity, Ltd.* 34,200 205,200
Verity, Inc.*+++ 70,200 948,402
Vignette Corporation* 11,200 18,592
Vishay Intertechnology,
Inc.* 35,600 661,448
Vitesse Semiconductor
Corporation* 37,600 183,488
WatchGuard Technologies,
Inc.* 1,200 8,664
webMethods, Inc.* 91,400 783,298
Zhone Technologies, Inc.*+++ 3,725 14,528
Zoran Corporation*+++ 31,600 579,860
-------------
57,327,229
-------------
UTILITIES -- 4.3%
AirGate PCS, Inc.* 600 10,980
Alaska Communications
Systems Group, Inc.* 800 4,880
American States Water Co.+++ 1,300 30,212
Aquila, Inc.*+++ 16,300 58,028
</Table>
See Notes to Financial Statements.
106
<Table>
<Caption>
SHARES VALUE
----------- -------------
Arch Wireless, Inc. Class A* 1,500 $ 42,735
Atmos Energy Corporation 4,400 112,640
Avista Corporation+++ 35,100 646,542
Black Hills Corporation 2,700 85,050
Boston Communications Group,
Inc.* 600 6,150
California Water Service
Group+++ 1,300 35,815
Cascade Natural Gas
Corporation+++ 900 19,863
Centennial Communications
Corporation*+++ 33,200 237,380
Centerpoint Energy, Inc.+++ 46,800 538,200
Central Vermont Public
Service Corporation 1,000 20,490
CH Energy Group, Inc.+++ 1,300 60,372
Cincinnati Bell, Inc.* 20,400 90,576
Cleco Corporation+++ 4,000 71,920
CMS Energy Corporation*+++ 13,600 124,168
Commonwealth Telephone
Enterprises, Inc.* 900 40,293
Connecticut Water Service,
Inc.+++ 700 17,962
CT Communications, Inc. 1,600 24,080
D & E Communications,
Inc.+++ 1,100 14,762
Dobson Communications
Corporation*+++ 155,700 507,582
Duquesne Light Holdings,
Inc. 5,800 111,998
El Paso Electric Co.* 4,000 61,760
Empire District Electric
Co.+++ 2,100 42,231
Energen Corporation 23,100 1,108,569
Energy East Corporation 24,800 601,400
EnergySouth, Inc. 400 16,008
General Communication, Inc.
Class A* 3,800 30,172
Golden Telecom, Inc. 500 14,070
Idacorp, Inc.+++ 27,900 753,300
Intrado, Inc.*+++ 19,600 315,364
ITC Deltacom, Inc.* 500 2,785
Laclede Group, Inc.+++ 1,700 46,597
LCC International, Inc.* 89,200 437,080
Mediacom Communications
Corporation* 2,700 21,114
MGE Energy, Inc. 1,500 48,945
Middlesex Water Co. 733 14,206
New Jersey Resources
Corporation 2,300 95,634
Nicor, Inc. 3,700 125,689
NII Holdings, Inc. Class
B*+++ 39,450 1,329,071
Northeast Utilities 68,600 1,335,642
Northwest Natural Gas Co. 2,300 70,150
NSTAR 11,400 545,832
NUI Corporation+++ 1,300 18,980
Otter Tail Corporation+++ 2,200 59,092
Peoples Energy Corporation 3,100 130,665
Pepco Holdings, Inc.+++ 72,300 1,321,644
Piedmont Natural Gas Co.,
Inc.+++ 15,800 674,660
PNM Resources, Inc.+++ 28,450 590,907
Price Communications
Corporation* 3,390 50,036
Primus Telecommunications
Group, Inc.*+++ 161,100 818,388
PTEK Holdings, Inc.* 54,500 628,385
SCANA Corporation+++ 30,500 1,109,285
Shenandoah
Telecommunications Co.+++ 500 13,500
Sierra Pacific Resources*+++ 9,800 75,558
SJW Corporation 500 17,000
South Jersey Industries,
Inc.+++ 1,100 48,400
Southern Union Co.*+++ 4,905 103,397
Southwest Gas Corporation 2,900 69,977
Southwest Water Co.+++ 1,366 17,102
Southwestern Energy Co.* 2,300 65,941
SureWest Communications+++ 200 6,320
Talk America Holdings, Inc.* 2,200 16,874
Telephone & Data Systems,
Inc. 5,300 377,360
Time Warner Telecom, Inc.
Class A*+++ 4,100 17,179
Triton PCS Holdings, Inc.
Class A* 3,200 13,952
UIL Holdings Corporation+++ 1,000 48,690
Unisource Energy
Corporation+++ 25,100 623,735
Westar Energy, Inc. 26,800 533,588
Western Wireless Corporation
Class A* 22,500 650,475
WGL Holdings, Inc. 4,100 117,752
Wisconsin Energy Corporation 19,900 648,939
-------------
18,796,078
-------------
TOTAL COMMON STOCK
420,146,685
(Cost $360,800,321)
-------------
SHORT-TERM INVESTMENTS -- 34.6%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 21,268,462 21,268,462
Northern Institutional
Liquid Assets Portfolio
sec. 131,399,269 131,399,269
-------------
TOTAL SHORT-TERM INVESTMENTS
152,667,731
(Cost $152,667,731)
-------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bill
0.95%, 07/22/04++++
(Cost $1,988,897) $ 1,990,000 $ 1,988,985
-------------
</Table>
See Notes to Financial Statements.
107
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
MUTUAL FUNDS -- 0.2%
Gladstone Capital
Corporation 600 $ 12,090
IShares Russell 2000 Value 2,770 477,271
IShares Russell 2000 3,850 454,262
-------------
TOTAL MUTUAL FUNDS
943,623
(Cost $908,505)
-------------
RIGHTS -- 0.0%
FINANCIAL SERVICES
Leucadia National
Corporation*+
(Cost $0) 700 0
-------------
TOTAL INVESTMENTS -- 130.3%
575,747,024
(Cost $516,365,454)
(133,941,441)
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (30.3%)
-------------
$ 441,805,583
NET ASSETS -- 100.0%
=============
</Table>
See Notes to Financial Statements.
108
INTERNATIONAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
RETIREMENT INSTITUTIONAL RETAIL MSCI AC WORLD
CLASS* CLASS* CLASS* FREE EX-U.S. INDEX**
---------- ------------- ------ --------------------
One Year 29.04% 29.28% 28.73% 32.03%
Since Inception (8/27/01 -- 6/30/04) 6.01% 6.16% 5.47% 5.82%
</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. The performance data
quoted represents past performance and does not guarantee future results.
Current performance may be lower or higher. Performance data current to the most
recent month-end may be obtained at www.absbc.org. The investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
[LINE GRAPH]
<Table>
<Caption>
MSCI ALL COUNTRY WORLD FREE EX-
RETIREMENT CLASS U.S. INDEX**
---------------- -------------------------------
Aug 27 2001 10000 10000
Aug 2001 9777 9707
Sep 2001 8731 8675
Oct 2001 9014 8918
Nov 2001 9460 9325
Dec 2001 9539 9445
Jan 2002 9203 9039
Feb 2002 9375 9104
Mar 2002 9891 9594
Apr 2002 9994 9651
May 2002 10149 9748
Jun 2002 9728 9324
Jul 2002 8773 8414
Aug 2002 8765 8413
Sep 2002 7939 7519
Oct 2002 8274 7922
Nov 2002 8541 8302
Dec 2002 8400 8033
Jan 2003 8061 7750
Feb 2003 7887 7592
Mar 2003 7687 7439
Apr 2003 8348 8148
May 2003 8870 8661
Jun 2003 9148 8895
Jul 2003 9426 9131
Aug 2003 9731 9401
Sep 2003 9913 9663
Oct 2003 10487 10288
Nov 2003 10652 10511
Dec 2003 11408 11313
Jan 2004 11576 11493
Feb 2004 11822 11783
Mar 2004 11937 11851
Apr 2004 11584 11474
May 2004 11549 11500
Jun 2004 11804 11745
</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 Index ex-U.S.
*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 Index ex-U.S. 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.
Foreign securities may involve additional risks, social and political
instability, reduced market liquidity and currency volatility.
Not Part of the Semi-Annual Report
109
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2004 PAR VALUE
- ------------- ----------- --------------
FOREIGN CONVERTIBLE BONDS -- 0.0%
SWITZERLAND
Credit Suisse Group
Finance, Ltd.
6.00%, 12/23/05(S)
(Cost $168,698) 241,000 $ 255,740
--------------
<Caption>
SHARES
-----------
FOREIGN COMMON STOCK -- 96.5%
AUSTRALIA -- 4.2%
Amcor, Ltd.+++ 855,614 4,154,276
Australia and New Zealand
Banking Group, Ltd. 47,363 603,115
BHP Billiton, Ltd.+++ 92,956 811,359
Brambles Industries,
Ltd.+++ 45,100 188,501
Coles Myer, Ltd. 822,970 4,924,497
Commonwealth Bank of
Australia+++ 73,200 1,661,295
Insurance Australia Group,
Ltd.+++ 99,900 347,953
James Hardie Industries NV 70,900 296,334
John Fairfax Holdings,
Ltd.+++ 495,000 1,286,171
Lend Lease Corporation,
Ltd.+++ 474,509 3,397,991
National Australia Bank,
Ltd.+++ 262,853 5,463,821
Orica, Ltd.+++ 88,676 932,755
Promina Group, Ltd. 78,500 218,733
QBE Insurance Group,
Ltd.+++ 74,793 666,892
Quantas Airways, Ltd. 656,700 1,610,254
Rinker Group, Ltd.+++ 34,306 192,376
Telstra Corporation, Ltd. 1,415,414 4,959,481
Wesfarmers, Ltd.+++ 17,200 352,258
WMC Resources, Ltd. 678,500 2,325,411
Woodside Petroleum, Ltd.+++ 696,000 8,082,200
Woolworths, Ltd.+++ 50,500 401,034
--------------
42,876,707
--------------
AUSTRIA -- 0.1%
Bank Austria Creditanstalt
AG 3,096 181,557
Erste Bank Der
Oesterreichischen
Sparkassen AG 2,900 455,501
--------------
637,058
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
BELGIUM -- 1.8%
Colruyt NV+++ 56,600 $ 6,989,526
Electrabel SA+++ 6,959 2,230,964
Fortis 178,482 3,943,646
UCB SA+++ 112,500 5,248,812
--------------
18,412,948
--------------
BRAZIL -- 0.6%
All America Latina
Logistica SA GDR* 2,000 59,500
Aracruz Celulose SA ADR+++ 10,300 336,398
Brasil Telecom
Participacoes SA ADR+++ 18,000 552,600
Cia Energetica de Minas
Gerais 3,000,000 44,753
Companhia de Concessoes
Rodoviarias 8,100 91,540
Companhia Energetica de
Minas Gerais ADR+++ 7,000 105,140
Companhia Siderurgica
Nacional SA ADR+++ 16,000 194,560
Companhia Vale do Rio Doce
ADR+++ 45,900 1,807,365
Gerdau SA ADR+++ 25,000 303,000
Gol Linhas Aereas
Inteligentes SA ADR*+++ 5,300 90,100
Natura Cosmeticos SA* 6,000 96,461
Petroleo Brasileiro SA
(Preference Shares) ADR 31,000 781,200
Petroleo Brasileiro SA ADR 61,688 1,731,582
Tele Celular Sul
Participacoes SA ADR+++ 5,000 64,500
Tele Norte Leste
Participacoes SA ADR+++ 6,000 76,380
Telesp Celular
Participacoes SA ADR*+++ 23,000 181,240
--------------
6,516,319
--------------
CANADA -- 1.6%
Alcan, Inc.+++ 25,500 1,049,860
Bombardier, Inc. Class B 274,300 822,440
First Quantum Minerals,
Ltd.* 63,700 672,277
Great-West Lifeco, Inc. 9,300 334,335
Inco, Ltd.*+++ 28,100 971,136
InterOil Corporation CDI* 90,000 191,844
InterOil Corporation NPV* 7,000 151,303
Manulife Financial
Corporation+++ 128,200 5,168,160
National Bank Of Canada+++ 12,300 394,481
Suncor Energy, Inc. 95,000 2,409,808
Talisman Energy, Inc. 61,400 1,332,642
TELUS Corporation+++ 24,100 362,017
Thomson Corporation (The) 59,900 2,200,415
--------------
16,060,718
--------------
CHILE -- 0.2%
AFP Provida SA ADR 22,900 580,286
Banco Santander Chile SA
ADR 9,000 240,300
Distribucion y Servicio SA
ADR 22,200 337,440
Embotelladora Andina SA ADR
Class A+++ 30,100 364,511
Embotelladora Andina SA ADR
Class B+++ 40,000 450,800
Enersis SA ADR+++ 30,000 178,800
--------------
2,152,137
--------------
</Table>
See Notes to Financial Statements.
110
<Table>
<Caption>
SHARES VALUE
----------- --------------
CHINA -- 0.5%
Aluminum Corporation of
China, Ltd.+++ 508,000 $ 271,917
Byd Co., Ltd. Series H+++ 109,000 322,117
China Petroleum & Chemical
Corporation Class H+++ 1,260,000 460,396
China Telecom Corporation,
Ltd. Class H 2,394,000 836,387
Datang International Power
Generation Co., Ltd.
Class H+++ 318,000 246,660
Jiangsu Expressway Co.,
Ltd. Class H+++ 1,434,100 689,489
Ping An Insurance Group Co.
of China, Ltd. Class
H*+++ 269,000 365,573
Sinotrans, Ltd. Class H+++ 3,112,600 1,117,373
Travelsky Technology, Ltd.
Class H+++ 542,000 354,394
--------------
4,664,306
--------------
CROATIA -- 0.1%
Pliva DD GDR+++ 61,400 911,790
--------------
CZECH REPUBLIC -- 0.0%
Cesky Telecom AS GDR+++ 17,200 210,021
Komercni Banka AS 2,107 236,499
--------------
446,520
--------------
DENMARK -- 0.7%
Novo-Nordisk AS Class B+++ 127,100 6,543,021
TDC AS 8,900 289,176
--------------
6,832,197
--------------
ECUADOR -- 0.1%
La Cemento Nacional GDR 26,250 551,250
--------------
EGYPT -- 0.2%
MobiNil - Egyptian Mobile
Services 75,995 914,771
Orascom Construction
Industries* 72,933 1,081,868
Orascom Telecom Holding* 350 6,453
--------------
2,003,092
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
ESTONIA -- 0.2%
Hansabank, Ltd. 208,000 $ 1,746,134
--------------
FINLAND -- 0.6%
Nokia OYJ+++ 224,600 3,240,855
UPM-Kymmene OYJ+++ 158,800 3,021,707
--------------
6,262,562
--------------
FRANCE -- 8.3%
Accor SA 20,000 844,111
Air Liquide SA 10,023 1,657,261
Assurances Generales de
France+++ 27,100 1,646,251
BNP Paribas SA 58,600 3,603,993
Bouygues SA+++ 69,200 2,316,966
Carrefour SA+++ 114,396 5,550,488
Compagnie de
Saint-Gobain+++ 119,234 5,943,349
Compagnie Generale des
Etablissements Michelin
Class B 2,700 149,301
Essilor International SA
Compagnie Generale
D'Optique 6,400 417,748
France Telecom SA+++ 271,197 7,067,560
Groupe Danone 16,000 1,395,739
L'Oreal SA 90,215 7,205,741
Lafarge SA 41,219 3,675,925
Lafarge SA Coupons*+ 13,100 0
Lagardere SCA 39,618 2,475,131
Pinault-Printemps-Redoute
SA+++ 34,998 3,595,904
Renault SA 13,200 1,005,341
Sanofi-Synthelabo SA+++ 90,200 5,717,543
Schneider Electric SA 14,100 962,381
Societe BIC SA 14,600 649,773
Societe Generale Class A 64,749 5,502,558
Societe Television
Francaise 1+++ 123,000 3,874,381
Thomson+++ 45,970 906,615
Total SA 78,181 14,905,117
Valeo SA 36,307 1,512,921
Vivendi Universal SA*+++ 102,887 2,854,043
--------------
85,436,141
--------------
GERMANY -- 3.7%
Adidas-Salomon AG+++ 16,165 1,929,935
Allianz AG 11,500 1,245,660
BASF AG 29,393 1,573,124
Bayer AG 134,271 3,871,647
Bayerische Hypo-und
Vereinsbank AG 217,678 3,871,925
Bayerische Motoren Werke
AG+++ 55,400 2,451,423
Continental AG+++ 38,300 1,847,131
DaimlerChrysler AG 47,200 2,205,151
Deutsche Bank AG 4,800 377,142
Deutsche Boerse AG 28,779 1,462,532
E.ON AG+++ 40,900 2,950,823
Infineon Technologies AG 50,400 676,350
Metro AG 27,700 1,312,997
Muenchener
Rueckversicherungs AG+++ 9,900 1,073,194
RWE AG 129,160 6,073,550
SAP AG 5,300 878,637
Schering AG 50,180 2,956,721
Siemens AG+++ 19,850 1,427,535
ThyssenKrupp AG 400 6,818
--------------
38,192,295
--------------
GREECE -- 0.1%
Piraeus Bank SA 75,000 875,987
--------------
</Table>
See Notes to Financial Statements.
111
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
HONG KONG -- 4.0%
China Mengniu Dairy Co.,
Ltd.* 192,000 $ 125,542
China Mobile (Hong Kong),
Ltd. 963,500 2,915,280
China Resources Power
Holdings Co.* 1,303,600 735,383
CLP Holdings, Ltd.+++ 1,150,000 6,295,674
CNOOC, Ltd.+++ 9,532,000 4,032,873
Esprit Holdings, Ltd.+++ 81,000 362,432
Hang Lung Properties,
Ltd.+++ 1,293,000 1,666,023
Hang Seng Bank, Ltd.+++ 29,700 380,779
Hong Kong & China Gas Co.,
Ltd. 4,850,000 7,990,269
Hongkong Electric Holdings,
Ltd.+++ 552,500 2,287,975
Hongkong Land Holdings,
Ltd.+++ 48,000 74,880
Hutchison Whampoa, Ltd.+++ 556,000 3,795,867
Jardine Matheson Holdings,
Ltd. 177,200 1,949,200
Johnson Electric Holdings,
Ltd.+++ 446,500 455,098
Li & Fung, Ltd. 516,000 754,173
Sun Hung Kai Properties,
Ltd.+++ 44,000 361,035
Swire Pacific, Ltd. Class
A+++ 426,500 2,761,385
Wharf Holdings, Ltd.+++ 1,308,000 3,756,404
--------------
40,700,272
--------------
HUNGARY -- 0.3%
Matav Rt 110,747 443,269
Matav Rt. ADR 34,200 685,026
Mol Magyar Olaj-es Gazipari
Rt. 8,664 344,888
Mol Magyar Olaj-es Gazipari
Rt. GDR 24,681 895,920
OTP Bank Rt. 22,464 458,829
--------------
2,827,932
--------------
INDIA -- 0.8%
Andhra Bank, Ltd. 680,000 630,082
Asian Paints (India) Ltd. 100,000 680,805
Bharat Heavy Electricals,
Ltd. 18,196 198,622
Bharti Televentures. Ltd.* 192,049 569,777
Cadila Healthcare, Ltd. 9,785 90,082
GAIL India, Ltd. GDR+++ 89,500 1,976,159
Grasim Industries, Ltd. 2,420 53,243
Infosys Technologies, Ltd. 3,356 403,151
Maruti Udyog Ltd. 54,417 476,467
National Aluminium Co.,
Ltd. 40,968 119,718
Oil & Natural Gas
Corporation, Ltd. 21,772 297,989
Ranbaxy Laboratories, Ltd. 7,004 138,549
Ranbaxy Laboratories, Ltd.
GDR+++ 83,500 1,651,630
Reliance Industries, Ltd. 11,767 109,953
Satyam Computer Services,
Ltd. 25,519 169,544
Sun Pharmaceuticals
Industries, Ltd. 56,000 446,051
Tata Motors, Ltd. 53,554 442,876
--------------
8,454,698
--------------
INDONESIA -- 0.6%
Bank Rakyat Indonesia* 4,418,000 787,041
PT Bank Mandiri Persero TBK 7,640,723 954,836
PT Ramayana Lestari Sentosa
TBK* 1,604,700 759,470
PT Telekomunikasi Indonesia
TBK* 2,811,100 2,212,405
PT Unilever Indonesia TBK 2,652,000 1,107,057
--------------
5,820,809
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
IRELAND -- 0.5%
Allied Irish Banks PLC 120,500 $ 1,866,296
CRH PLC 128,462 2,717,510
Irish Life & Permanent PLC 59,300 912,663
--------------
5,496,469
--------------
ISRAEL -- 0.3%
Bank Hapoalim, Ltd. 126,300 335,883
Check Point Software
Technologies, Ltd.*+++ 33,200 896,068
Lipman Electronic
Engineering, Ltd.*+++ 4,700 242,520
Orbotech, Ltd.* 12,420 252,747
Teva Pharmaceutical
Industries, Ltd. ADR+++ 15,900 1,069,911
--------------
2,797,129
--------------
ITALY -- 2.8%
Banca Intesa SpA 2,608,702 10,188,132
Ente Nazionale Idrocarburi
SpA+++ 408,513 8,111,314
Mediaset SpA 444,723 5,069,841
Telecom Italia Mobile SpA 307,800 1,745,098
Telecom Italia SpA 1,409,325 3,112,096
UniCredito Italiano SpA 152,800 754,770
--------------
28,981,251
--------------
JAPAN -- 22.3%
Advantest Corporation 46,800 3,135,298
Aeon Co., Ltd.+++ 54,500 2,187,692
Aiful Corporation 4,605 480,694
Bank of Fukuoka, Ltd.
(The)+++ 370,000 2,193,924
Bridgestone Corporation 196,000 3,682,353
Canon, Inc. 275,400 14,512,671
Dai Nippon Printing Co.,
Ltd.+++ 28,000 447,271
Daiwa House Industry Co.,
Ltd. 195,000 2,262,475
Denso Corporation+++ 325,500 7,577,052
East Japan Railway Co. 90 504,789
Eisai Co., Ltd. 211,800 6,094,964
FamilyMart Co., Ltd. 37,000 1,207,167
</Table>
See Notes to Financial Statements.
112
<Table>
<Caption>
SHARES VALUE
----------- --------------
Fanuc, Ltd. 86,500 $ 5,160,748
Fuji Photo Film Co., Ltd. 146,000 4,576,089
Fujisawa Pharmaceutical
Co., Ltd.+++ 170,000 4,027,402
Furukawa Electric Co.,
Ltd.+++ 103,000 439,885
Hirose Electric Co., Ltd. 41,000 4,505,247
Hitachi, Ltd. 506,000 3,482,619
Honda Motor Co., Ltd. 106,700 5,143,582
Hoya Corporation 7,600 795,418
Ito-Yokado Co., Ltd. 85,000 3,637,905
Japan Airlines Corporation 102,000 326,243
Kansai Electric Power Co.,
Inc. (The) 49,000 893,195
Kao Corporation 263,000 6,339,092
Keyence Corporation 19,700 4,493,727
Konica Corporation 69,000 952,335
Kyocera Corporation+++ 23,400 1,985,831
Matsushita Electric
Industrial Co., Ltd.+++ 437,686 6,213,404
Millea Holdings, Inc. 770 11,431,975
Misawa Homes Holdings,
Inc.*+++ 45,000 141,044
Mitsubishi Corporation+++ 74,000 718,875
Mitsubishi Estate Co.,
Ltd.+++ 852,100 10,573,646
Mitsubishi Heavy
Industries, Ltd. 142,000 385,208
Mitsubishi Motors
Corporation*+++ 180,000 293,635
Mitsubishi Tokyo Financial
Group, Inc. 1,049 9,709,847
Mitsui Fudosan Co., Ltd. 55,000 659,304
Mitsui Sumitomo Insurance
Co., Ltd. 186,000 1,747,239
Mizuho Financial Group,
Inc.+++ 87 394,675
Murata Manufacturing Co.,
Ltd. 76,700 4,372,213
NEC Corporation 348,000 2,449,379
NEC Electronics
Corporation+++ 7,300 448,243
Nidec Corporation+++ 4,400 450,827
Nikko Cordial Corporation 570,000 2,763,415
Nikon Corporation+++ 50,000 562,709
Nintendo Co., Ltd.+++ 8,200 950,648
Nippon Express Co., Ltd. 376,000 2,205,380
Nippon Telegraph &
Telephone Corporation 500 2,671,493
Nippon Yusen Kabushiki
Kaisha+++ 277,000 1,276,919
Nissan Motor Co., Ltd. 185,000 2,056,592
Nitto Denko Corporation+++ 16,800 859,130
Nomura Holdings, Inc. 210,000 3,108,189
NTT DoCoMo, Inc. 1,125 2,010,494
Omron Corporation 20,000 468,313
ORIX Corporation+++ 37,500 4,295,926
Ricoh Co., Ltd. 83,000 1,764,744
Rohm Co., Ltd. 33,800 4,045,530
Sankyo Co. Ltd. 41,000 888,650
Secom Co., Ltd.+++ 70,000 2,970,261
Sekisui House, Ltd. 113,000 1,254,117
Sharp Corporation 144,000 2,300,252
Shimamura Co., Ltd. 5,500 476,836
Shin-Etsu Chemical Co.,
Ltd.+++ 157,500 5,629,382
Shionogi & Co., Ltd.+++ 87,000 1,495,780
SMC Corporation 8,400 908,399
Sompo Japan Insurance, Inc. 54,900 561,000
Sony Corporation+++ 106,100 3,996,435
Sumitomo Chemical Co.,
Ltd.+++ 452,000 2,108,491
Sumitomo Mitsui Financial
Group, Inc.+++ 228 1,562,975
Suzuki Motor Corporation 105,000 1,849,517
T&D Holdings, Inc. 50,800 2,537,323
Takeda Chemical Industries,
Ltd. 281,200 12,344,297
TDK Corporation 11,100 842,304
Tokyo Electron, Ltd. 34,600 1,940,631
Tokyo Gas Co., Ltd.+++ 154,000 546,194
Tostem Inax Holding
Corporation 22,000 474,820
Toyota Motor Corporation 200,200 8,109,646
UFJ Holdings, Inc. 237 1,046,914
Uni-Charm Corporation+++ 8,800 438,730
West Japan Railway Co. 483 1,947,670
Yahama Corporation 109,000 1,788,113
Yamato Transport Co., Ltd. 54,000 881,400
--------------
228,974,801
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
LUXEMBOURG -- 0.0%
SES Global 48,900 $ 413,484
Tenaris SA ADR+++ 2,000 65,500
--------------
478,984
--------------
MALAYSIA -- 0.5%
Commerce Asset Holdings BHD 347,900 444,946
Malayan Banking BHD 144,200 383,268
Maxis Communications BHD 239,600 554,863
MK Land Holdings BHD 841,300 555,701
OYL Industries BHD 109,000 1,039,803
Public Bank BHD 868,850 1,426,233
Transmile Group BHD 420,000 751,579
--------------
5,156,393
--------------
MEXICO -- 1.1%
America Movil SA de CV ADR
Series L 64,200 2,334,954
Cemex SA de CV 200,666 1,162,273
Cemex SA de CV ADR 91,545 2,663,959
Coca-Cola Femsa SA de CV
ADR+++ 10,000 221,900
Desarrolladora Homex SA de
CV ADR* 4,500 77,895
Grupo Mexico SA de CV
Series B 12,000 37,406
</Table>
See Notes to Financial Statements.
113
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Grupo Televisa SA ADR 27,642 $ 1,251,353
Kimberly-Clark de Mexico SA
de CV Class A 55,000 149,744
Telefonos de Mexico SA de
CV ADR Class L 52,800 1,756,656
Urbi Desarrollos Urbanos
SA* 50,000 160,843
Wal-Mart de Mexico SA de CV
Series V 383,698 1,137,819
--------------
10,954,802
--------------
NETHERLANDS -- 4.6%
ABN AMRO Holding NV 250,426 5,478,154
Aegon NV 248,567 2,996,969
Akzo Nobel NV 41,000 1,507,951
ING Groep NV 283,857 6,699,870
Koninklijke Numico NV+++ 13,600 436,991
Koninklijke Philips
Electronics NV+++ 18,500 498,102
Reed Elsevier NV+++ 388,074 5,448,607
Royal Dutch Petroleum Co. 249,088 12,782,758
Royal Dutch Petroleum Co.
(New York Shares) 12,100 625,207
Royal KPN NV 374,400 2,851,513
TPG NV 104,600 2,389,970
Unilever NV 28,000 1,911,112
VNU NV 130,823 3,799,283
--------------
47,426,487
--------------
NEW ZEALAND -- 0.5%
Telecom Corporation of New
Zealand, Ltd. 1,323,332 4,941,438
--------------
NORWAY -- 0.5%
DNB NOR ASA 66,000 450,379
Norsk Hydro ASA+++ 38,300 2,489,237
Norske Skogindustrier ASA 19,100 340,309
Statoil ASA 144,000 1,828,175
Yara International ASA* 28,000 226,214
--------------
5,334,314
--------------
PERU -- 0.0%
Compania de Minas
Buenaventura SA ADR 15,300 338,130
--------------
PHILIPPINES -- 0.0%
Bank of the Philippine
Islands 375,760 287,734
SM Prime Holdings, Inc. 1,848,800 200,831
--------------
488,565
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
PORTUGAL -- 0.6%
Banco Comercial Portugues
SA Series R 512,672 $ 1,197,584
Electricidade de Portugal
SA 441,404 1,235,177
Portugal Telecom SGPS SA 307,779 3,321,451
Sonae SGPS SA 291,577 319,272
--------------
6,073,484
--------------
RUSSIA -- 0.6%
LUKOIL ADR+++ 18,889 1,987,122
Mining and Metallurgical
Co. Norilsk Nickel ADR+++ 13,700 760,350
Mobile Telesystems ADR 16,200 1,976,400
Vimpel-Communications
ADR*+++ 3,200 308,640
Wimm-Bill-Dann Foods OJSC
ADR*+++ 55,400 772,830
YUKOS ADR+++ 7,057 224,413
--------------
6,029,755
--------------
SINGAPORE -- 0.8%
DBS Group Holdings, Ltd. 185,000 1,546,634
Oversea-Chinese Banking
Corporation, Ltd. 346,000 2,430,608
Singapore
Telecommunications, Ltd. 2,767,000 3,614,473
United Overseas Bank, Ltd. 47,000 365,642
Venture Corporation,
Ltd.+++ 42,000 438,910
--------------
8,396,267
--------------
SOUTH AFRICA -- 1.6%
ABSA Group, Ltd.+++ 85,781 704,226
Alexander Forbes, Ltd. 400,000 656,123
Anglo American PLC 208,068 4,256,984
AngloGold Ashanti, Ltd.+++ 5,092 165,975
AngloGold Ashanti, Ltd.
ADR+++ 53,389 1,716,990
Gold Fields, Ltd. 21,010 220,880
Impala Platinum Holdings,
Ltd. 4,184 317,222
Iscor, Ltd. 55,929 347,517
Liberty Life Association of
Africa 31,516 258,733
Massmart Holdings, Ltd. 66,250 348,726
MTN Group, Ltd.+++ 519,446 2,383,067
Nedcor, Ltd.+++ 34,076 338,442
Sanlam, Ltd. 347,518 492,279
Sasol, Ltd. 136,127 2,105,808
Standard Bank Group, Ltd. 204,960 1,418,694
Telkom SA, Ltd. 16,400 210,008
VenFin, Ltd. 199,900 639,706
--------------
16,581,380
--------------
SOUTH KOREA -- 2.8%
Daelim Industrial Co., Ltd. 14,130 442,671
Hankook Tire Co., Ltd. 90,805 793,709
Hyundai Mobis 20,570 913,233
Hyundai Motor Co., Ltd. 28,770 1,106,730
Kookmin Bank 83,511 2,594,587
Kookmin Bank ADR+++ 41,379 1,298,473
Korea Electric Power
Corporation 52,300 841,869
Korea Electric Power
Corporation ADR+++ 153,000 1,401,480
KT Corporation 27,670 925,526
KT Corporation ADR 18,650 336,446
</Table>
See Notes to Financial Statements.
114
<Table>
<Caption>
SHARES VALUE
----------- --------------
KT Freetel 24,000 $ 416,443
POSCO 9,420 1,214,695
POSCO ADR+++ 14,400 482,544
S-Oil Corporation 28,730 1,198,430
S1 Corporation 39,280 917,836
Samsung Electronics Co.,
Ltd. 10,010 4,132,212
Samsung Electronics Co.,
Ltd. GDR 100 20,575
Samsung Electronics Co.,
Ltd. GDR 144A 13,859 2,860,557
Samsung Electronics Co.,
Ltd. (Non-Voting Shares)
GDR 144A+++ 10,109 1,325,412
Samsung Fire & Marine
Insurance Co., Ltd. 18,700 1,195,958
Samsung SDI Co., Ltd. 960 100,943
Shinhan Financial Group
Co., Ltd. 36,730 534,023
Shinsegae Co., Ltd. 5,420 1,303,990
SK Telecom Co., Ltd. 9,420 1,548,940
SK Telecom Co., Ltd. ADR 44,355 931,011
Tae Young Corporation 10,000 308,524
--------------
29,146,817
--------------
SPAIN -- 3.6%
Acerinox SA 15,439 878,896
ACS, Actividades de
Construccion y Servicios,
S.A.* 98,289 1,656,227
Banco Bilbao Vizcaya
Argentaria SA+++ 209,700 2,801,341
Banco Santander Central
Hispano SA 367,608 3,815,041
Endesa SA+++ 131,800 2,540,012
Iberdrola SA+++ 325,880 6,878,952
Inditex SA 233,400 5,355,595
Repsol YPF SA+++ 116,337 2,547,743
Telefonica SA 719,240 10,632,007
--------------
37,105,814
--------------
SWEDEN -- 1.6%
Assa Abloy AB Class B 35,474 453,258
Autoliv, Inc. AB+++ 24,291 1,014,147
ForeningsSparbanken AB 57,600 1,101,083
Hennes & Mauritz AB Class B 144,200 3,723,230
Nordea Bank AB 400,000 2,874,330
Sandvik AB 50,900 1,736,544
Scania AB Class B+++ 14,300 485,972
Skandia Forsakrings AB+++ 741,893 3,072,775
Volvo AB Class B 52,224 1,816,378
--------------
16,277,717
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
SWITZERLAND -- 4.4%
ABB, Ltd. 85,254 $ 466,297
Adecco SA 8,276 412,346
Ciba Specialty Chemicals,
Inc. 16,700 1,202,763
Compagnie Financiere
Richemont AG Class A 102,849 2,685,374
Credit Suisse Group 87,717 3,116,741
Holcim, Ltd. 45,217 2,458,701
Logitech International SA* 19,600 892,047
Nestle SA 51,565 13,751,764
Novartis AG 138,567 6,112,925
Roche Holding AG 39,421 3,903,069
Serono SA Class B+++ 794 500,212
STMicroelectronics NV+++ 38,500 847,385
Swiss Reinsurance 41,584 2,701,101
Swisscom AG+++ 7,070 2,337,097
Syngenta AG 5,892 493,980
Synthes, Inc. 5,420 617,778
UBS AG 18,004 1,268,647
Zurich Financial Services
AG 11,900 1,878,972
--------------
45,647,199
--------------
TAIWAN -- 1.3%
Asustek Computer, Inc. 90,000 204,667
Cathay Financial Holding
Co., Ltd. 288,000 517,955
Cathay Financial Holding
Co., Ltd. GDR*+++ 11,009 195,861
China Steel Corporation 11,000 10,398
China Steel Corporation GDR
144A 53,700 1,015,258
Chinatrust Financial
Holding Co., Ltd. 596,580 665,034
Chunghwa Telecom Co., Ltd. 151,000 260,345
Compal Electronics, Inc. 1,485,000 1,611,251
Far EasTone
Telecommunications Co.,
Ltd. 141,000 129,096
Far EasTone
Telecommunications Co.,
Ltd. GDR* 7,000 96,136
Faraday Technology
Corporation 237,500 444,783
Formosa Plastics
Corporation 74,200 104,771
HON HAI Precision Industry
Co., Ltd. 191,000 709,721
MediaTek, Inc. 31,000 246,968
Nan Ya Plastics Corporation 185,500 244,282
Phoenixtec Power Co., Ltd.* 481,605 472,442
Quanta Computer, Inc. 113,000 240,175
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADR+++ 2,734,242 5,196,027
United Microelectronics
Corporation* 429,984 319,548
Yang Ming Marine Transport
Corporation 265,000 244,203
Yuanta Core Pacific
Securities Co., Ltd. 240,000 149,822
--------------
13,078,743
--------------
</Table>
See Notes to Financial Statements.
115
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
kw
THAILAND -- 0.5%
Advanced Info Service
Public Co., Ltd. 503,800 $ 1,121,335
Airports of Thailand
PCL*+++ 714,500 900,006
BEC World PCL 211,600 93,159
Kiatnakin Finance Public
Co., Ltd. 397,600 352,525
PTT Exploration and
Production Public Co.,
Ltd. 197,900 1,297,229
PTT Public Co., Ltd. 193,600 729,226
Siam Cement Public Co.,
Ltd. 65,200 389,111
Siam Commercial Bank Public
Co., Ltd. 340,200 384,842
--------------
5,267,433
--------------
TURKEY -- 0.1%
Akbank TAS 67,176,856 246,707
Hurriyet Gazetecilik Ve
Matbaacilik AS 59,348,558 162,969
Migros Turk TAS 120,225,000 583,302
Turkiye Garanti Bankasi AS* 93,412,676 278,538
Turkiye IS Bankasi Class C 61,703,254 224,527
--------------
1,496,043
--------------
UNITED KINGDOM -- 16.8%
Antofagasta PLC 98,400 1,678,306
ARM Holdings PLC 110,000 239,382
AstraZeneca PLC+++ 240,012 10,850,374
Aviva PLC 189,663 1,957,096
BAE Systems PLC 344,480 1,369,686
Barclays PLC 46,200 393,574
BG Group PLC 2,385,118 14,695,576
BHP Billiton PLC+++ 187,223 1,624,142
BOC Group PLC+++ 244,028 4,084,686
Boots Group PLC+++ 582,534 7,268,203
BP PLC 1,171,021 10,342,153
Brambles Industries PLC 638,524 2,466,460
British Sky Broadcasting
PLC 132,505 1,494,652
Centrica PLC 636,500 2,591,386
Compass Group PLC 384,370 2,345,589
GKN PLC 503,116 2,285,563
GlaxoSmithKline PLC 422,548 8,551,801
GUS PLC 262,761 4,028,950
HBOS PLC 639,042 7,909,506
HSBC Holdings PLC 135,200 2,010,518
Intercontinental Hotels
Group PLC 429,474 4,536,805
Johnson Matthey PLC 125,000 2,088,924
Johnston Press PLC 42,300 434,568
Kingfisher PLC 743,000 3,857,018
Lloyds TSB Group PLC 1,006,544 7,881,020
Misys PLC 564,300 2,026,248
National Grid Transco PLC 188,700 1,456,092
Next PLC 182,903 4,720,011
Pearson PLC 381,415 4,634,361
Prudential PLC 49,800 428,532
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Reckitt Benckiser PLC 198,120 $ 5,608,523
Reed Elsevier PLC 389,445 3,785,544
Rio Tinto PLC 173,177 4,164,387
Rolls-Royce Group PLC 377,968 1,725,607
Royal Bank of Scotland
Group PLC 290,856 8,376,177
Scottish Power PLC 145,700 1,053,604
Shell Transport & Trading
Co. PLC 683,300 5,012,418
Smith & Nephew PLC 319,360 3,437,309
Smiths Group PLC 128,500 1,739,603
Standard Chartered PLC 77,100 1,255,591
Tesco PLC 409,200 1,975,798
Unilever PLC+++ 295,500 2,899,159
Vodafone Group PLC 4,408,550 9,653,843
Wolseley PLC* 30,000 465,162
Xstrata PLC 110,000 1,470,204
--------------
172,874,111
--------------
VENEZUELA -- 0.0%
Compania Anonima Nacional
Telefonos de Venezuela
ADR 5,001 100,770
--------------
TOTAL FOREIGN COMMON STOCK
(Cost $840,960,458) 991,826,168
--------------
FOREIGN PREFERRED STOCK -- 0.3%
BRAZIL -- 0.1%
Companhia de Tecidos do
Norte de Minas --
Coteminas 4,986,860 362,300
Investimentos Itau SA 273,245 317,624
--------------
679,924
--------------
JAPAN -- 0.2%
SMFG Finance, Ltd. 18,000,000 396,737
SMFG Finance, Ltd. 144A 78,000,000 1,719,196
--------------
2,115,933
--------------
TOTAL FOREIGN PREFERRED STOCK
(Cost $1,406,894) 2,795,857
--------------
SHORT-TERM INVESTMENTS -- 18.6%
AB Funds Trust -- Money
Market Fund (Retirement
Class)(inf) 30,225,352 30,225,352
Northern Institutional
Liquid Assets Portfolio
sec. 160,344,201 160,344,201
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $190,569,553) 190,569,553
--------------
TOTAL INVESTMENTS -- 115.4%
(Cost $1,033,105,603) 1,185,447,318
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (15.4%) (158,420,571)
--------------
NET ASSETS -- 100.0% $1,027,026,747
==============
</Table>
See Notes to Financial Statements.
116
SCHEDULE OF INVESTMENTS ABBREVIATIONS AND FOOTNOTES
<Table>
INVESTMENT ABBREVIATIONS:
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
TBA -- To be announced.
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.
INVESTMENT FOOTNOTES:
++++ -- All or a portion of the security was
held as collateral for open futures,
options and/or swap contracts.
@ -- Illiquid.
* -- Non-income producing security.
# -- Security in default.
+ -- Security is valued at fair value.
sec. -- Security purchased with the cash
proceeds from securities loaned.
++ -- Variable rate security (1).
(omg) -- Interest rates shown reflect the
effective yields as of June 30, 2004.
(inf) -- Affiliated fund.
+++ -- Security either partially or fully on
loan.
FOREIGN BOND FOOTNOTES:
(A) -- Par is denominated in Australian
Dollars.
(B) -- Par is denominated in Brazilian Reals.
(C) -- Par is denominated in Canadian Dollars.
(E) -- Par is denominated in European Euros.
(G) -- Par is denominated in Singapore Dollars.
(J) -- Par is denominated in Japanese Yen.
(K) -- Par is denominated in Norwegian Krone.
(M) -- Par is denominated in Mexican Pesos.
(N) -- Par is denominated in New Zealand
Dollars.
(S) -- Par is denominated in Swiss Francs.
(U) -- Par is denominated in British Pounds.
SWAP AGREEMENT FOOTNOTES:
(a) -- Counterparty to contract is Goldman
Sachs Capital Markets, LP.
(b) -- Counterparty to contract is UBS AG.
(c) -- Counterparty to contract is Morgan
Stanley Capital Services.
(d) -- Counterparty to contract is Barclays
Capital.
(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. Maturity date
for money market instruments is the date of the next interest rate reset.
117
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
JUNE 30, 2004 MARKET FUND BOND FUND BOND FUND
- ------------- ------------ -------------- ---------------
ASSETS
Investments in securities of unaffiliated issuers at value $915,163,572 $1,065,542,611 $1,025,474,175
Investments in securities of affiliated issuers at value -- 29,464,479 89,801,493
------------ -------------- --------------
Total investments (1)(2) 915,163,572 1,095,007,090 1,115,275,668
Cash 4,107 -- 637,353
Cash collateral for futures -- -- 45,600
Foreign currency (3) -- 795,762 5,630,145
Receivables:
Dividends and reclaims -- 26,484 50,323
Interest 947,889 3,586,571 5,439,418
Interest on swaps -- -- 20,870
Investment securities sold -- 14,314,295 61,365,111
Maturities -- 169,334 34,681
Fund shares sold 12,495,277 116 1,189
Variation margin -- 378,321 329,438
Securities lending 128 28,928 24,926
Unrealized appreciation on foreign currency exchange
contracts -- 128,344 59,827
Unrealized appreciation on swap agreements -- 232,112 2,220,169
Prepaid expenses and other assets 33,402 28,792 29,415
------------ -------------- --------------
Total Assets 928,644,375 1,114,696,149 1,191,164,133
------------ -------------- --------------
LIABILITIES
Cash overdraft -- 505,226 --
Securities sold short, at value (proceeds $3,335,391) -- -- 3,377,500
Options written at value (4) -- 71,308 1,554,039
Unrealized depreciation on foreign currency exchange
contracts -- 297,600 361,912
Unrealized depreciation on swap agreements -- 198,855 5,379,168
Collateral held for securities on loan at value -- 258,366,313 165,211,217
Payables:
Investment securities purchased -- 48,538,120 197,037,809
Fund shares purchased 13,254,836 36,247 9,322
Interest on swaps -- 19,883 251,227
Variation margin -- 1,125 106,859
Distributions 223,109 -- --
Securities lending 38 8,650 7,443
Accrued expenses
Advisory fee payable 118,568 97,063 100,874
Distribution fee payable 821 1,832 1,872
Service fee payable 133,606 115,658 117,993
Other accrued expenses 110,856 217,641 254,529
Other liabilities -- -- 553
------------ -------------- --------------
Total Liabilities 13,841,834 308,475,521 373,772,317
------------ -------------- --------------
NET ASSETS $914,802,541 $ 806,220,628 $ 817,391,816
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-in-capital $914,800,772 $ 805,292,730 $ 803,220,651
Undistributed net investment income (loss) -- 2,155,807 1,522,263
Accumulated net realized gain (loss) on investments, foreign
currency transactions and derivative transactions 1,769 3,787,609 7,475,214
Net unrealized appreciation (depreciation) on investments,
foreign currency translations and derivative transactions -- (5,015,518) 5,173,688
------------ -------------- --------------
NET ASSETS $914,802,541 $ 806,220,628 $ 817,391,816
============ ============== ==============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the Retail Class $ 9,948,300 $ 22,372,504 $ 22,920,358
------------ -------------- --------------
Retail shares outstanding 9,950,396 2,359,857 2,489,224
------------ -------------- --------------
Net asset value, offering price and redemption price per
Retail share $ 1.00 $ 9.48 $ 9.21
============ ============== ==============
Net assets applicable to the Retirement Class $843,445,820 $ 727,542,141 $ 746,880,918
------------ -------------- --------------
Retirement shares outstanding 843,407,471 56,169,806 55,266,248
------------ -------------- --------------
Net asset value, offering price and redemption price per
Retirement share $ 1.00 $ 12.95 $ 13.51
============ ============== ==============
Net assets applicable to the Institutional class $ 61,408,421 $ 56,305,983 $ 47,590,540
------------ -------------- --------------
Institutional shares outstanding 61,408,399 5,959,395 5,200,154
------------ -------------- --------------
Net asset value, offering price and redemption price per
Institutional share $ 1.00 $ 9.45 $ 9.15
============ ============== ==============
- ---------------
(1) Investments in securities of unaffiliated issuers at
cost $915,163,572 $1,071,030,837 $1,019,720,594
Investments in securities of affiliated issuers at cost -- 29,464,479 89,801,493
------------ -------------- --------------
Total investments at cost $915,163,572 $1,100,495,316 $1,109,522,087
============ ============== ==============
(2) Includes securities loaned of: -- $ 283,690,978 $ 172,488,781
============ ============== ==============
(3) Foreign currency at cost -- $ 791,275 $ 5,588,033
============ ============== ==============
(4) Premiums received on options written -- $ (595,524) $ (2,880,308)
============ ============== ==============
(5) Net of $124,528 accrued foreign capital gains taxes on
appreciated securities.
</Table>
See Notes to Financial Statements.
118
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ------------ -------------- -------------- ------------ --------------
$465,623,804 $457,612,362 $1,385,567,787 $1,502,071,789 $554,478,562 $1,155,221,966
10,980,819 13,661,276 48,032,689 64,354,159 21,268,462 30,225,352
------------ ------------ -------------- -------------- ------------ --------------
476,604,623 471,273,638 1,433,600,476 1,566,425,948 575,747,024 1,185,447,318
198,068 -- -- -- -- --
-- -- -- -- -- --
-- -- -- 341 -- 1,130,311
7,310 440,905 1,858,014 623,164 196,083 2,581,997
4,199,395 -- -- -- -- 6,025
-- -- -- -- -- --
-- 956,826 6,129,960 11,932,016 6,748,589 1,243,425
-- -- -- -- -- --
848 9,019 241,907 39,439 194,612 52,509
-- 41,400 147,875 221,900 93,400 --
22,659 4,182 22,783 16,690 21,375 59,146
-- -- -- -- -- 24,820
-- -- -- -- -- --
34,430 27,805 30,848 30,642 28,859 29,205
------------ ------------ -------------- -------------- ------------ --------------
481,067,333 472,753,775 1,442,031,863 1,579,290,140 583,029,942 1,190,574,756
------------ ------------ -------------- -------------- ------------ --------------
-- -- -- -- 20 --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 625,548
-- -- -- -- -- --
47,928,087 24,439,518 126,956,118 118,514,334 131,399,269 160,344,201
-- 966,368 12,052,187 9,441,002 9,306,878 1,504,864
5,775 166,797 52 150,413 36 20,730
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
6,773 1,228 6,769 4,982 6,113 17,678
102,714 41,885 435,794 472,958 56,814 260,646
2,205 1,503 1,804 1,592 1,992 1,799
61,161 63,245 190,140 211,444 62,421 149,124
129,885 63,061 378,373 514,963 390,101 623,356
-- -- 79 916 715 63
------------ ------------ -------------- -------------- ------------ --------------
48,236,600 25,743,605 140,021,316 129,312,604 141,224,359 163,548,009
------------ ------------ -------------- -------------- ------------ --------------
$432,830,733 $447,010,170 $1,302,010,547 $1,449,977,536 $441,805,583 $1,027,026,747
============ ============ ============== ============== ============ ==============
$419,158,881 $406,239,066 $1,169,873,088 $1,556,727,689 $363,827,221 $ 951,817,236
2,300,262 1,545,669 2,070,724 (2,027,914) (499,856) 7,392,117
8,822,867 (7,304,611) (33,096,472) (315,620,126) 18,794,590 (83,867,485)(5)
2,548,723 46,530,046 163,163,207 210,897,887 59,683,628 151,684,879
------------ ------------ -------------- -------------- ------------ --------------
$432,830,733 $447,010,170 $1,302,010,547 $1,449,977,536 $441,805,583 $1,027,026,747
============ ============ ============== ============== ============ ==============
$ 27,230,064 $ 18,507,519 $ 22,425,837 $ 19,771,386 $ 24,918,913 $ 22,151,171
------------ ------------ -------------- -------------- ------------ --------------
3,087,726 1,970,305 2,160,628 2,067,294 2,085,574 1,957,231
------------ ------------ -------------- -------------- ------------ --------------
$ 8.82 $ 9.39 $ 10.38 $ 9.56 $ 11.95 $ 11.32
============ ============ ============== ============== ============ ==============
$376,218,625 $394,899,155 $1,204,132,337 $1,346,064,949 $390,540,941 $ 952,643,494
------------ ------------ -------------- -------------- ------------ --------------
26,267,576 25,323,389 74,928,038 87,767,474 24,860,987 71,065,337
------------ ------------ -------------- -------------- ------------ --------------
$ 14.32 $ 15.59 $ 16.07 $ 15.34 $ 15.71 $ 13.41
============ ============ ============== ============== ============ ==============
$ 29,382,044 $ 33,603,496 $ 75,452,373 $ 84,141,201 $ 26,345,729 $ 52,232,082
------------ ------------ -------------- -------------- ------------ --------------
3,329,417 3,597,444 7,238,192 8,708,003 2,180,925 4,563,611
------------ ------------ -------------- -------------- ------------ --------------
$ 8.82 $ 9.34 $ 10.42 $ 9.66 $ 12.08 $ 11.45
============ ============ ============== ============== ============ ==============
$463,073,840 $411,159,326 $1,222,565,963 $1,291,439,625 $495,096,992 $1,002,880,251
10,980,819 13,661,276 48,032,689 64,354,159 21,268,462 30,225,352
------------ ------------ -------------- -------------- ------------ --------------
$474,054,659 $424,820,602 $1,270,598,652 $1,355,793,784 $516,365,454 $1,033,105,603
============ ============ ============== ============== ============ ==============
$212,523,007 $ 31,761,164 $ 141,465,606 $ 131,061,955 $133,015,949 $ 167,116,832
============ ============ ============== ============== ============ ==============
-- -- -- $ 345 -- $ 1,128,144
============ ============ ============== ============== ============ ==============
-- -- -- -- -- --
============ ============ ============== ============== ============ ==============
</Table>
See Notes to Financial Statements.
119
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
FOR THE SIX MONTHS ENDED JUNE 30, 2004 MARKET FUND BOND FUND BOND FUND
- -------------------------------------- ----------- ------------ ---------------
INVESTMENT INCOME
Dividends $ -- $ 60,019 $ 6,226
Income distributions received from affiliated funds -- 93,245 294,850
Interest 5,116,240 10,358,012 13,108,411
Securities Lending 484 150,060 104,002
Less foreign taxes withheld -- -- --
---------- ------------ ------------
Total Investment Income 5,116,724 10,661,336 13,513,489
---------- ------------ ------------
EXPENSES
Investment advisory fees 913,230 1,640,236 1,774,294
Transfer agent fees:
Retail shares 11,574 9,115 10,177
Retirement shares 10,633 8,337 8,359
Institutional shares 2,678 2,224 2,229
Custodian fees 11,269 36,527 78,045
Distribution fees -- Retail shares 4,468 11,093 11,445
Shareholder servicing fees:
Retail shares 6,733 16,692 17,217
Retirement shares 781,277 688,642 706,808
Accounting and administration fees 168,727 176,994 194,463
Professional fees 21,650 23,217 25,724
Blue sky fees:
Retail shares 8,262 7,013 7,081
Retirement shares 1,014 1,088 1,020
Shareholder reporting fees:
Retail shares 6,396 3,679 5,034
Retirement shares 1,993 1,027 1,027
Institutional shares 2,522 1,829 2,059
Trustee fees 2,682 2,330 2,357
Line of credit facility fees 2,682 2,330 2,357
Other expenses 13,599 16,481 20,699
---------- ------------ ------------
Total expenses 1,971,389 2,648,854 2,870,395
Expenses waived (See footnote 3c) 4,512 (220,976) (342,839)
Fees paid indirectly (1,757) (9,744) (14,217)
---------- ------------ ------------
Net expenses 1,974,144 2,418,134 2,513,339
---------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 3,142,580 8,243,202 11,000,150
---------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investment securities (net of capital gains taxes of
$391,252 for International Equity) 11,270 1,635,753 792,429
Futures transactions -- 1,248,699 2,415,408
Swap agreements -- (29,061) (766,992)
Option contracts -- -- 22,663
Foreign currency transactions -- 261,215 (237,413)
---------- ------------ ------------
Net realized gain 11,270 3,116,606 2,226,095
---------- ------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investment securities (net of estimated deferred capital
gains taxes of $178,288 for International Equity) -- (10,696,181) (10,944,183)
Futures transactions -- (302,870) (1,143,893)
Swap agreements -- 50,668 948,298
Option contracts -- 434,798 1,088,530
Foreign currency translations -- 1,045,215 720,705
---------- ------------ ------------
Net change in unrealized appreciation (depreciation) -- (9,468,370) (9,330,543)
---------- ------------ ------------
Net increase from payments by affiliates and net gains
(losses) realized on the disposal of investments in
violation of restrictions (See Footnote 9) -- -- --
---------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 11,270 (6,351,764) (7,104,448)
---------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $3,153,850 $ 1,891,438 $ 3,895,702
========== ============ ============
</Table>
See Notes to Financial Statements.
120
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ----------- ----------- ----------- ----------- -------------
$ 23,625 $ 3,402,027 $13,843,116 $ 4,604,888 $ 1,834,550 $16,032,875
29,443 44,039 159,607 226,519 87,477 112,504
12,566,432 4,358 17,892 20,946 162,633 12,593
84,321 14,904 88,798 57,562 86,565 191,146
(118) 32,058 (10,533) (4,896) (1,646) (1,716,429)
------------ ----------- ----------- ----------- ----------- -----------
12,703,703 3,497,386 14,098,880 4,905,019 2,169,579 14,632,689
------------ ----------- ----------- ----------- ----------- -----------
1,070,067 273,877 4,273,965 5,848,900 2,344,731 4,888,440
9,745 10,180 10,076 11,225 12,483 9,165
8,174 8,146 8,154 8,103 8,131 8,148
2,200 2,098 2,217 2,174 2,147 2,109
16,798 12,948 52,203 30,339 83,347 363,768
13,777 8,912 10,562 9,331 12,036 10,770
20,734 13,401 15,869 14,023 18,090 16,189
362,326 366,827 1,121,661 1,246,464 363,186 891,470
92,089 92,150 258,268 275,140 115,502 243,019
22,551 20,962 20,962 20,960 22,232 23,751
7,177 7,004 7,282 7,130 7,738 6,785
1,053 1,011 979 1,007 994 1,012
4,298 4,978 5,242 7,857 7,127 4,828
949 1,051 1,051 746 1,082 1,051
1,602 2,059 2,628 2,283 2,628 1,946
1,304 1,156 3,342 3,764 1,045 2,600
1,304 1,156 3,340 3,763 1,045 2,600
10,341 17,310 16,101 18,503 11,838 20,761
------------ ----------- ----------- ----------- ----------- -----------
1,646,489 845,226 5,813,902 7,511,712 3,015,382 6,498,412
(28,587) 8,364 (105,741) (548,798) (291,545) (710,075)
(256) (308) (50,862) (29,981) (54,402) (113,335)
------------ ----------- ----------- ----------- ----------- -----------
1,617,646 853,282 5,657,299 6,932,933 2,669,435 5,675,002
------------ ----------- ----------- ----------- ----------- -----------
11,086,057 2,644,104 8,441,581 (2,027,914) (499,856) 8,957,687
------------ ----------- ----------- ----------- ----------- -----------
5,439,246 733,151 48,622,537 8,371,991 32,383,515 34,236,130
-- 591,378 1,954,613 3,509,246 (64,352) --
-- -- -- -- -- --
-- -- -- -- -- --
496,626 -- -- (132,336) -- (1,176,048)
------------ ----------- ----------- ----------- ----------- -----------
5,935,872 1,324,529 50,577,150 11,748,901 32,319,163 33,060,082
------------ ----------- ----------- ----------- ----------- -----------
(22,065,477) 11,212,459 12,258,174 66,018,555 (12,993,087) (8,353,721)
-- (359,176) (1,049,294) (1,471,036) (170,611) --
-- -- -- -- -- --
-- -- -- -- -- --
(32,558) -- -- 126,807 -- 187,487
------------ ----------- ----------- ----------- ----------- -----------
(22,098,035) 10,853,283 11,208,880 64,674,326 (13,163,698) (8,166,234)
------------ ----------- ----------- ----------- ----------- -----------
-- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- -----------
(16,162,163) 12,177,812 61,786,030 76,423,227 19,155,465 24,893,848
------------ ----------- ----------- ----------- ----------- -----------
$ (5,076,106) $14,821,916 $70,227,611 $74,395,313 $18,655,609 $33,851,535
============ =========== =========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
121
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET FUND
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
6/30/2004 12/31/2003
------------ ------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 3,142,580 $ 7,917,399
Net realized gain (loss) on investment securities, foreign
currency transactions and futures transactions 11,270 (9,501)
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts -- --
Net increase from payments by affiliates and net gains
(losses) realized on the disposal of investments in
violation of restrictions (See Footnote 9) -- --
------------ ------------
Net increase (decrease) in net assets resulting from
operations 3,153,850 7,907,898
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
Retail shares (19,172) (62,904)
Retirement shares (2,851,678) (7,530,068)
Institutional shares (271,730) (324,427)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
Retail shares -- (6)
Retirement shares -- (625)
Institutional shares -- (46)
------------ ------------
Total dividends and distributions (3,142,580) (7,918,076)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (9,678,941) (3,852,148)
------------ ------------
Total increase (decrease) in net assets (9,667,671) (3,862,326)
------------ ------------
NET ASSETS:
Beginning of the Period 924,470,212 928,332,538
------------ ------------
End of the Period $914,802,541 $924,470,212
============ ============
</Table>
See Notes to Financial Statements.
122
<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
6/30/2004 12/31/2003 6/30/2004 12/31/2003 6/30/2004 12/31/2003
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 8,243,202 $ 19,241,404 $ 11,000,150 $ 26,791,900 $ 11,086,057 $ 24,282,452
3,116,606 10,188,347 2,226,095 26,929,299 5,935,872 22,325,951
(9,468,370) (10,158,617) (9,330,543) (1,627,903) (22,098,035) 1,495,624
-- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
1,891,438 19,271,134 3,895,702 52,093,296 (5,076,106) 48,104,027
------------ ------------ ------------ ------------ ------------ ------------
(176,255) (753,411) (306,948) (1,202,395) (882,415) (2,080,490)
(4,572,352) (19,321,186) (7,334,101) (30,152,221) (7,724,276) (19,969,955)
(533,708) (1,326,256) (722,694) (1,916,722) (989,688) (1,595,527)
-- (311,062) -- (676,622) -- (1,897,839)
-- (7,418,102) -- (15,323,780) -- (16,743,684)
-- (746,547) -- (1,396,423) -- (1,971,125)
------------ ------------ ------------ ------------ ------------ ------------
(5,282,315) (29,876,564) (8,363,743) (50,668,163) (9,596,379) (44,258,620)
------------ ------------ ------------ ------------ ------------ ------------
6,168,440 22,756,445 10,955,644 15,046,016 5,411,288 5,730,852
------------ ------------ ------------ ------------ ------------ ------------
2,777,563 12,151,015 6,487,603 16,471,149 (9,261,197) 9,576,259
------------ ------------ ------------ ------------ ------------ ------------
803,443,065 791,292,050 810,904,213 794,433,064 442,091,930 432,515,671
------------ ------------ ------------ ------------ ------------ ------------
$806,220,628 $803,443,065 $817,391,816 $810,904,213 $432,830,733 $442,091,930
============ ============ ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
123
STATEMENTS OF CHANGES IN NET ASSETS CONTINUED
<Table>
<Caption>
EQUITY INDEX FUND
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
6/30/2004 12/31/2003
------------ ------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 2,644,104 $ 4,853,926
Net realized gain (loss) on investment securities, foreign
currency transactions and futures transactions 1,324,529 979,184
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts 10,853,283 86,942,011
Net increase from payments by affiliates and net gains
(losses) realized on the disposal of investments in
violation of restrictions (See Footnote 9) -- --
------------ ------------
Net increase in net assets resulting from operations 14,821,916 92,775,121
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
Retail shares (105,945) (278,397)
Retirement shares (1,280,357) (3,723,527)
Institutional shares (222,746) (403,725)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
Retail shares -- --
Retirement shares -- --
Institutional shares -- --
------------ ------------
Total dividends and distributions (1,609,048) (4,405,649)
------------ ------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS 1,326,018 31,213,504
------------ ------------
Total increase in net assets 14,538,886 119,582,976
------------ ------------
NET ASSETS:
Beginning of the Period 432,471,284 312,888,308
------------ ------------
End of the Period $447,010,170 $432,471,284
============ ============
</Table>
See Notes to Financial Statements.
124
<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
6/30/2004 12/31/2003 6/30/2004 12/31/2003 6/30/2004 12/31/2003 6/30/2004 12/31/2003
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 8,441,581 $ 16,662,980 $ (2,027,914) $ (894,042) $ (499,856) $ (1,056,272) $ 8,957,687 $ 10,923,644
50,577,150 6,646,141 11,748,901 (78,550,785) 32,319,163 34,880,333 33,060,082 (31,492,027)
11,208,880 270,278,957 64,674,326 392,733,277 (13,163,698) 84,238,319 (8,166,234) 280,933,691
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
70,227,611 293,588,078 74,395,313 313,288,450 18,655,609 118,062,380 33,851,535 260,365,308
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(143,324) (369,825) -- -- -- -- -- (265,273)
(5,671,689) (15,815,795) -- -- -- -- -- (11,108,069)
(610,977) (922,077) -- -- -- -- -- (797,069)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(6,425,990) (17,107,697) -- -- -- -- -- (12,170,411)
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(3,578,439) 7,472,571 (7,287,410) 2,816,736 17,512,753 36,835,939 1,687,105 25,094,925
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
60,223,182 283,952,952 67,107,903 316,105,186 36,168,362 154,898,319 35,538,640 273,289,822
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
1,241,787,365 957,834,413 1,382,869,633 1,066,764,447 405,637,221 250,738,902 991,488,107 718,198,285
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
$1,302,010,547 $1,241,787,365 $1,449,977,536 $1,382,869,633 $441,805,583 $405,637,221 $1,027,026,747 $991,488,107
============== ============== ============== ============== ============ ============ ============== ============
</Table>
See Notes to Financial Statements.
125
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
MONEY MARKET FUND
--------------------------------------------------------------
RETAIL CLASS
--------------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ --------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income -- 0.01 0.01 0.01
Realized and unrealized gain (loss) on
investments -- net -- -- -- --
------ ------ ------- -------
Total from investment operations -- 0.01 0.01 0.01
------ ------ ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- (0.01) (0.01) (0.01)
Distributions from capital gains -- --+ --+ --
Return of capital -- -- -- --
------ ------ ------- -------
Total dividends and distributions -- (0.01) (0.01) (0.01)
------ ------ ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ======= =======
TOTAL RETURN (1) 0.21% 0.57% 1.38% 0.81%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.72% 0.73% 0.65% 0.75%
Expenses -- including expense reduction (2) 0.72% 0.73% 0.65% 0.75%
Expenses -- before waivers and expense reduction
(2) 1.09% 0.91% 0.77% 16.37%
Investment income -- net (2) 0.43% 0.61% 1.35% 1.98%
Investment income (loss) -- excluding waivers
and expense reduction (2) 0.06% 0.43% 1.23% (13.64%)
Portfolio turnover rate (1) N/A N/A N/A N/A
Net Assets -- end of the period (000's) $9,948 $8,035 $16,538 $ 788
====== ====== ======= =======
</Table>
- ---------------
* Commencement of operations.
(1) Non-annualized.
(2) Annualized.
+ Amount represents less than $0.01 per share.
See Notes to Financial Statements.
126
<Table>
<Caption>
MONEY MARKET FUND
-------------------------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
----------------------------------------------------------- -----------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ -------------- ------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- ------- ------- ------ -------
-- 0.01 0.02 0.01 -- 0.01 0.02 0.01
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------ -------
-- 0.01 0.02 0.01 -- 0.01 0.02 0.01
-------- -------- -------- -------- ------- ------- ------ -------
-- (0.01) (0.02) (0.01) -- (0.01) (0.02) (0.01)
-- --+ --+ -- -- --+ --+ --
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------ -------
-- (0.01) (0.02) (0.01) -- (0.01) (0.02) (0.01)
-------- -------- -------- -------- ------- ------- ------ -------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======= ======= ====== =======
0.35% 0.85% 1.60% 0.94% 0.44% 1.04% 1.80% 0.66%
0.45% 0.45% 0.45% 0.44% 0.27% 0.27% 0.25% 0.25%
0.45% 0.45% 0.44% 0.44% 0.27% 0.27% 0.25% 0.25%
0.45% 0.45% 0.50% 0.49% 0.27% 0.28% 0.55% 90.37%
0.70% 0.84% 1.58% 2.72% 0.88% 0.91% 1.75% 2.60%
0.70% 0.84% 1.52% 2.67% 0.88% 0.90% 1.45% (87.52%)
N/A N/A N/A N/A N/A N/A N/A N/A
$843,446 $853,062 $906,302 $996,380 $61,408 $63,373 $5,493 $ 25
======== ======== ======== ======== ======= ======= ====== =======
</Table>
See Notes to Financial Statements.
127
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
LOW-DURATION BOND FUND
--------------------------------------------------------------
RETAIL CLASS
--------------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ --------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.54 $ 9.79 $ 9.86 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.09 0.21# 0.33# 0.22
Realized and unrealized gain (loss) on
investments -- net (0.07) -- 0.22 (0.06)
------- ------- ------- -------
Total from investment operations 0.02 0.21 0.55 0.16
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.08) (0.33) (0.47) (0.22)
Distributions from capital gains -- (0.13) (0.15) (0.08)
Return of capital -- -- -- --
------- ------- ------- -------
Total dividends and distributions (0.08) (0.46) (0.62) (0.30)
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.48 $ 9.54 $ 9.79 $ 9.86
======= ======= ======= =======
TOTAL RETURN (1) 0.16% 2.20% 5.70% 1.54%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.83% 0.85% 0.79% 0.85%
Expenses -- including expense reduction (2) 0.83% 0.84% 0.79% 0.85%
Expenses -- before waivers and expense reduction
(2) 0.90% 0.87% 0.93% 74.57%
Investment income -- net (2) 1.83% 2.18% 3.35% 4.18%
Investment income (loss) -- excluding waivers
and expense reduction (2) 1.76% 2.15% 3.21% (69.54%)
Portfolio turnover rate (1) 164.53% 178.67% 181.96% 79.53%
Net Assets -- end of the period (000's) $22,373 $22,452 $20,985 $ 3,458
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
As a result of recent changes in generally accepted accounting principles, the
Low-Duration Bond Fund has reclassified periodic payments made under interest
rate swap agreements, previously included within interest income, as a component
of realized gain (loss) in the statement of operations. The effect of this
reclassification was to increase the net investment income ratio for the period
ending June 30, 2004 by 0.01% with no change to net investment income per share.
For consistency, similar reclassifications have been made to prior year amounts,
resulting in an increase to the net investment income ratio of 0.01% in the
fiscal year ending December 31, 2003, with no change to net investment income
per share. Reporting periods prior to December 31, 2003 were not impacted by
these reclassifications.
See Notes to Financial Statements.
128
<Table>
<Caption>
LOW-DURATION BOND FUND
-------------------------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
----------------------------------------------------------- -----------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ -------------- ------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 13.00 $ 13.16 $ 13.06 $ 13.10 $ 9.51 $ 9.76 $ 9.85 $ 10.00
-------- -------- -------- -------- ------- ------- ------- -------
0.13 0.32# 0.46# 0.21 0.11 0.22# 0.37# 0.15
(0.10) -- 0.27 0.05 (0.08) 0.03 0.19 --
-------- -------- -------- -------- ------- ------- ------- -------
0.03 0.32 0.73 0.26 0.03 0.25 0.56 0.15
-------- -------- -------- -------- ------- ------- ------- -------
(0.08) (0.35) (0.48) (0.22) (0.09) (0.37) (0.50) (0.22)
-- (0.13) (0.15) (0.08) -- (0.13) (0.15) (0.08)
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------- -------
(0.08) (0.48) (0.63) (0.30) (0.09) (0.50) (0.65) (0.30)
-------- -------- -------- -------- ------- ------- ------- -------
$ 12.95 $ 13.00 $ 13.16 $ 13.06 $ 9.45 $ 9.51 $ 9.76 $ 9.85
======== ======== ======== ======== ======= ======= ======= =======
0.24% 2.45% 5.71% 1.96% 0.33% 2.61% 5.89% 1.54%
0.61% 0.61% 0.62% 0.61% 0.45% 0.45% 0.46% 0.45%
0.61% 0.61% 0.61% 0.61% 0.45% 0.45% 0.45% 0.45%
0.67% 0.67% 0.72% 0.72% 0.49% 0.50% 0.78% 57.60%
2.05% 2.43% 3.50% 4.47% 2.21% 2.30% 3.71% 4.73%
1.99% 2.37% 3.39% 4.36% 2.17% 2.25% 3.38% (52.42%)
164.53% 178.67% 181.96% 79.53% 164.53% 178.67% 181.96% 79.53%
$727,542 $727,265 $763,987 $812,387 $56,306 $53,726 $ 6,320 $ 25
======== ======== ======== ======== ======= ======= ======= =======
</Table>
See Notes to Financial Statements.
129
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
MEDIUM-DURATION BOND FUND
------------------------------------------------
RETAIL CLASS
------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.30 $ 9.53 $ 9.70 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.12 0.29# 0.42# 0.17
Realized and unrealized gain (loss) on investments -- net (0.09) 0.31 0.41 (0.04)
------- ------- ------- -------
Total from investment operations 0.03 0.60 0.83 0.13
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.12) (0.54) (0.63) (0.23)
Distributions from capital gains -- (0.29) (0.37) (0.20)
Return of capital -- -- -- --++
------- ------- ------- -------
Total dividends and distributions (0.12) (0.83) (1.00) (0.43)
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.21 $ 9.30 $ 9.53 $ 9.70
======= ======= ======= =======
Total Return (1) 0.37% 6.33% 8.90% 1.30%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.90% 0.90% 0.90% 0.92%
Expenses -- including expense reduction (2) 0.90% 0.90% 0.90% 0.90%
Expenses -- before waivers and expense reduction (2) 0.96% 0.96% 1.03% 58.64%
Investment income -- net (2) 2.43% 3.03% 4.37% 4.49%
Investment income (loss) -- excluding waivers and expense
reduction (2) 2.37% 2.97% 4.24% (53.25%)
Portfolio turnover rate (1) 200.63% 457.74% 542.94% 247.20%
Net Assets -- end of the period (000's) $22,920 $22,640 $19,289 $ 123
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
++ Amount represents less than $0.01 per share.
As a result of recent changes in generally accepted accounting principles, the
Medium-Duration Bond Fund has reclassified periodic payments made under interest
rate swap agreements, previously included within interest income, as a component
of realized gain (loss) in the statement of operations. The effect of this
reclassification was to increase the net investment income ratio for the period
ending June 30, 2004 by 0.15% and net investment income per share by $0.01. For
consistency, similar reclassifications have been made to prior year amounts,
resulting in an increase to the net investment income ratio of 0.01%, 0.04% and
0.01% in the fiscal years ending December 31, 2003, 2002 and 2001, respectively,
with no change to net investment income per share.
See Notes to Financial Statements.
130
<Table>
<Caption>
MEDIUM-DURATION BOND FUND
- -----------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
- -------------------------------------------------------- ------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE SIX FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- ----------- ------------ ----------- -------- -------- ------------
(UNAUDITED) (UNAUDITED)
$ 13.58 $ 13.54 $ 13.37 $ 13.60 $ 9.24 $ 9.47 $ 9.65 $ 10.00
-------- -------- -------- -------- ------- ------- ------- -------
0.18 0.46# 0.62# 0.22 0.13 0.28# 0.46# 0.16
(0.12) 0.43 0.57 (0.02) (0.08) 0.36 0.40 (0.08)
-------- -------- -------- -------- ------- ------- ------- -------
0.06 0.89 1.19 0.20 0.05 0.64 0.86 0.08
-------- -------- -------- -------- ------- ------- ------- -------
(0.13) (0.56) (0.65) (0.23) (0.14) (0.58) (0.67) (0.23)
-- (0.29) (0.37) (0.20) -- (0.29) (0.37) (0.20)
-- -- -- --++ -- -- -- --++
-------- -------- -------- -------- ------- ------- ------- -------
(0.13) (0.85) (1.02) (0.43) (0.14) (0.87) (1.04) (0.43)
-------- -------- -------- -------- ------- ------- ------- -------
$ 13.51 $ 13.58 $ 13.54 $ 13.37 $ 9.15 $ 9.24 $ 9.47 $ 9.65
======== ======== ======== ======== ======= ======= ======= =======
0.54% 6.62% 9.15% 1.49% 0.55% 6.80% 9.25% 0.89%
0.62% 0.62% 0.63% 0.64% 0.50% 0.50% 0.51% 0.52%
0.62% 0.62% 0.62% 0.62% 0.50% 0.50% 0.50% 0.50%
0.70% 0.71% 0.77% 0.77% 0.53% 0.55% 0.82% 92.28%
2.70% 3.37% 4.62% 4.62% 2.82% 2.96% 4.77% 4.99%
2.62% 3.28% 4.47% 4.47% 2.79% 2.91% 4.45% (86.79%)
200.63% 457.74% 542.94% 247.20% 200.63% 457.74% 542.94% 247.20%
$746,881 $741,743 $767,926 $827,774 $47,591 $46,521 $ 7,218 $ 25
======== ======== ======== ======== ======= ======= ======= =======
</Table>
See Notes to Financial Statements.
131
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
EXTENDED-DURATION BOND FUND
------------------------------------------------
RETAIL CLASS
------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.22 $ 9.63 $ 9.83 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.23 0.52# 0.62 0.32
Realized and unrealized gain (loss) on investments -- net (0.34) 0.50 0.29 (0.13)
------- ------- ------- -------
Total from investment operations (0.11) 1.02 0.91 0.19
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.29) (0.76) (0.87) (0.32)
Distributions from capital gains -- (0.67) (0.24) (0.04)
Return of capital -- -- -- --
------- ------- ------- -------
Total dividends and distributions (0.29) (1.43) (1.11) (0.36)
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 8.82 $ 9.22 $ 9.63 $ 9.83
======= ======= ======= =======
Total Return (1) (1.22%) 10.95% 9.93% 1.91%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.01% 0.93% 0.91% 1.06%
Expenses -- including expense reduction (2) 1.01% 0.93% 0.91% 1.05%
Expenses -- before waivers and expense reduction (2) 0.96% 0.94% 1.03% 28.96%
Investment income -- net (2) 4.79% 5.25% 6.18% 6.14%
Investment income (loss) -- excluding waivers and expense
reduction (2) 4.84% 5.24% 6.06% (21.77%)
Portfolio turnover rate (1) 8.14% 121.20% 45.17% 21.95%
Net Assets -- end of the period (000's) $27,230 $27,978 $24,812 $ 8,553
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
132
<Table>
<Caption>
EXTENDED-DURATION BOND FUND
- -----------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
- -------------------------------------------------------- ------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- ----------- ------------ ----------- -------- -------- ------------
(UNAUDITED) (UNAUDITED)
$ 14.78 $ 14.62 $ 14.37 $ 14.38 $ 9.23 $ 9.64 $ 9.84 $ 10.00
-------- -------- -------- -------- ------- ------- ------ -------
0.37 0.83# 0.90 0.32 0.26 0.54# 0.65 0.24
(0.53) 0.77 0.47 0.03 (0.36) 0.51 0.29 (0.03)
-------- -------- -------- -------- ------- ------- ------ -------
(0.16) 1.60 1.37 0.35 (0.10) 1.05 0.94 0.21
-------- -------- -------- -------- ------- ------- ------ -------
(0.30) (0.77) (0.88) (0.32) (0.31) (0.79) (0.90) (0.33)
-- (0.67) (0.24) (0.04) -- (0.67) (0.24) (0.04)
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------ -------
(0.30) (1.44) (1.12) (0.36) (0.31) (1.46) (1.14) (0.37)
-------- -------- -------- -------- ------- ------- ------ -------
$ 14.32 $ 14.78 $ 14.62 $ 14.37 $ 8.82 $ 9.23 $ 9.64 $ 9.84
======== ======== ======== ======== ======= ======= ====== =======
(1.13%) 11.19% 10.03% 2.48% (1.17%) 11.32% 10.27% 2.13%
0.73% 0.73% 0.73% 0.74% 0.59% 0.59% 0.64% 0.66%
0.73% 0.73% 0.73% 0.73% 0.59% 0.59% 0.64% 0.65%
0.75% 0.75% 0.82% 0.84% 0.58% 0.60% 0.88% 90.75%
5.06% 5.46% 6.29% 6.32% 5.21% 5.49% 6.47% 6.62%
5.04% 5.44% 6.20% 6.21% 5.22% 5.48% 6.23% (83.48%)
8.14% 121.20% 45.17% 21.95% 8.14% 121.20% 45.17% 21.95%
$376,219 $385,110 $401,198 $404,278 $29,382 $29,004 $6,506 $ 26
======== ======== ======== ======== ======= ======= ====== =======
</Table>
See Notes to Financial Statements.
133
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
EQUITY INDEX FUND
------------------------------------------------
RETAIL CLASS
------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.14 $ 7.26 $ 9.63 $ 10.00
-------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.05 0.10# 0.13 0.02
Realized and unrealized gain (loss) on investments -- net 0.25 1.93 (2.31) (0.28)
-------- -------- -------- -------
Total from investment operations 0.30 2.03 (2.18) (0.26)
-------- -------- -------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.05) (0.15) (0.16) (0.06)
Distributions from capital gains -- -- (0.03) (0.05)
Return of capital -- -- -- --
-------- -------- -------- -------
Total dividends and distributions (0.05) (0.15) (0.19) (0.11)
-------- -------- -------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.39 $ 9.14 $ 7.26 $ 9.63
======== ======== ======== =======
TOTAL RETURN (1) 3.33% 28.09% (22.71%) (2.65%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.45% 0.45% 0.45% 0.45%
Expenses -- including expense reduction (2) 0.45% 0.45% 0.45% 0.45%
Expenses -- before waivers and expense reduction (2) 0.69% 0.73% 0.81% 28.52%
Investment income -- net (2) 1.15% 1.28% 1.21% 0.95%
Investment income (loss) -- excluding waivers and expense
reduction (2) 0.91% 1.00% 0.85% (27.12%)
Portfolio turnover rate (1) 1.05% 1.87% 3.17% 2.81%
Net Assets -- end of the period (000's) $ 18,508 $ 17,395 $ 12,890 $ 367
======== ======== ======== =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
134
<Table>
<Caption>
EQUITY INDEX FUND
-----------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
-------------------------------------------------- ------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
---------- --------- --------- ------------ ----------- -------- -------- ------------
(UNAUDITED) (UNAUDITED)
$ 15.12 $ 11.93 $ 15.64 $ 16.15 $ 9.08 $ 7.22 $ 9.58 $ 10.00
--------- --------- --------- --------- -------- -------- -------- --------
0.09 0.18# 0.17 0.05 0.06 0.12# 0.14 0.03
0.43 3.16 (3.69) (0.46) 0.26 1.91 (2.29) (0.34)
--------- --------- --------- --------- -------- -------- -------- --------
0.52 3.34 (3.52) (0.41) 0.32 2.03 (2.15) (0.31)
--------- --------- --------- --------- -------- -------- -------- --------
(0.05) (0.15) (0.16) (0.05) (0.06) (0.17) (0.18) (0.06)
-- -- (0.03) (0.05) -- -- (0.03) (0.05)
-- -- -- -- -- -- -- --
--------- --------- --------- --------- -------- -------- -------- --------
(0.05) (0.15) (0.19) (0.10) (0.06) (0.17) (0.21) (0.11)
--------- --------- --------- --------- -------- -------- -------- --------
$ 15.59 $ 15.12 $ 11.93 $ 15.64 $ 9.34 $ 9.08 $ 7.22 $ 9.58
========= ========= ========= ========= ======== ======== ======== ========
3.45% 28.03% (22.59%) (2.55%) 3.56% 28.19% (22.57%) (3.14%)
0.40% 0.40% 0.40% 0.40% 0.25% 0.25% 0.25% 0.25%
0.40% 0.40% 0.40% 0.40% 0.25% 0.25% 0.25% 0.25%
0.39% 0.44% 0.51% 0.53% 0.22% 0.28% 0.60% 86.25%
1.20% 1.33% 1.21% 0.98% 1.35% 1.46% 1.40% 1.19%
1.21% 1.29% 1.10% 0.85% 1.38% 1.43% 1.05% (84.81%)
1.05% 1.87% 3.17% 2.81% 1.05% 1.87% 3.17% 2.81%
$ 394,899 $ 382,067 $ 295,261 $ 401,471 $ 33,603 $ 33,009 $ 4,737 $ 28
========= ========= ========= ========= ======== ======== ======== ========
</Table>
See Notes to Financial Statements.
135
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
VALUE EQUITY FUND
------------------------------------------------
RETAIL CLASS
------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- ------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.90 $ 7.75 $ 9.61 $ 10.00
-------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.07 0.11# 0.15 0.03
Realized and unrealized gain (loss) on investments -- net 0.48 2.23 (1.82) (0.35)
-------- -------- -------- -------
Total from investment operations 0.55 2.34 (1.67) (0.32)
-------- -------- -------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.07) (0.19) (0.19) (0.07)
Distributions from capital gains -- -- -- --
Return of capital -- -- --+ --
-------- -------- -------- -------
Total dividends and distributions (0.07) (0.19) (0.19) (0.07)
-------- -------- -------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 10.38 $ 9.90 $ 7.75 $ 9.61
======== ======== ======== =======
TOTAL RETURN (1) 5.53% 30.46% (17.48%) (3.23%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.15% 1.15% 1.15% 1.15%
Expenses -- including expense reduction (2) 1.14% 1.13% 1.11% 1.15%
Expenses -- before waivers and expense reduction (2) 1.19% 1.20% 1.29% 65.50%
Investment income -- net (2) 1.08% 1.33% 1.38% 1.12%
Investment income (loss) -- excluding waivers and expense
reduction (2) 1.03% 1.26% 1.20% (63.23%)
Portfolio turnover rate (1) 31.19% 53.74% 70.42% 21.09%
Net Assets -- end of the period (000's) $ 22,426 $ 19,680 $ 13,987 $ 168
======== ======== ======== =======
</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.
136
<Table>
<Caption>
VALUE EQUITY FUND
-------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
---------------------------------------------------- ------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR PERIOD SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
---------- ----------- --------- ------------ ----------- -------- -------- ------------
(UNAUDITED) (UNAUDITED)
$ 15.28 $ 11.85 $ 14.57 $ 15.21 $ 9.94 $ 7.77 $ 9.64 $ 10.00
----------- ----------- --------- ----------- -------- -------- -------- --------
0.10 0.21# 0.21 0.06 0.08 0.14# 0.16 0.06
0.76 3.43 (2.73) (0.64) 0.49 2.26 (1.80) (0.35)
----------- ----------- --------- ----------- -------- -------- -------- --------
0.86 3.64 (2.52) (0.58) 0.57 2.40 (1.64) (0.29)
----------- ----------- --------- ----------- -------- -------- -------- --------
(0.07) (0.21) (0.20) (0.06) (0.09) (0.23) (0.23) (0.07)
-- -- -- -- -- -- -- --
-- -- --+ -- -- -- --+ --
----------- ----------- --------- ----------- -------- -------- -------- --------
(0.07) (0.21) (0.20) (0.06) (0.09) (0.23) (0.23) (0.07)
----------- ----------- --------- ----------- -------- -------- -------- --------
$ 16.07 $ 15.28 $ 11.85 $ 14.57 $ 10.42 $ 9.94 $ 7.77 $ 9.64
=========== =========== ========= =========== ======== ======== ======== ========
5.66% 30.84% (17.37%) (3.79%) 5.69% 31.09% (17.22%) (2.88%)
0.90% 0.90% 0.90% 0.90% 0.76% 0.76% 0.76% 0.76%
0.89% 0.88% 0.87% 0.90% 0.75% 0.75% 0.72% 0.76%
0.92% 0.94% 0.98% 1.00% 0.74% 0.78% 1.06% 81.37%
1.32% 1.59% 1.57% 1.29% 1.47% 1.62% 1.77% 1.60%
1.29% 1.53% 1.46% 1.19% 1.48% 1.59% 1.43% (79.01%)
31.19% 53.74% 70.42% 21.09% 31.19% 53.74% 70.42% 21.09%
$ 1,204,132 $ 1,152,116 $ 938,583 $ 1,159,209 $ 75,452 $ 69,991 $ 5,265 $ 77
=========== =========== ========= =========== ======== ======== ======== ========
</Table>
See Notes to Financial Statements.
137
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
GROWTH EQUITY FUND
--------------------------------------------------------------
RETAIL CLASS
--------------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ --------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.08 $ 7.03 $ 9.81 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (0.03) (0.02) (0.02) --+
Realized and unrealized gain (loss) on
investments -- net 0.51 2.07 (2.76) (0.19)
Net increase from payments by affiliates and net
gains (losses) realized on the disposal of
investments in violation of restrictions (See
Footnote 9) -- -- -- --
------- ------- ------- -------
Total from investment operations 0.48 2.05 (2.78) (0.19)
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- -- -- --
Distributions from capital gains -- -- -- --
------- ------- ------- -------
Total dividends and distributions -- -- -- --
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.56 $ 9.08 $ 7.03 $ 9.81
======= ======= ======= =======
TOTAL RETURN (1)(3) 5.29% 29.16% (28.34%) (1.90%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.24% 1.17% 1.15% 1.15%
Expenses -- including expense reduction (2) 1.24% 1.15% 1.12% 1.15%
Expenses -- before waivers and expense reduction
(2) 1.41% 1.33% 1.36% 47.77%
Investment income (loss) -- net (2) (0.54%) (0.33%) (0.28%) (0.32%)
Investment income (loss) -- excluding waivers
and expense reduction (2) (0.71%) (0.51%) (0.52%) (46.94%)
Portfolio turnover rate (1) 26.05% 77.02% 41.41% 8.71%
Net Assets -- end of the period (000's) $19,771 $18,099 $12,503 $ 309
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
+ Amount represents less than $0.01 per share.
(1) Non-annualized.
(2) Annualized.
(3) In 2004, one of the Growth Equity Fund's sub-advisers fully reimbursed the
fund for a loss on a transaction not meeting the fund's investment
guidelines, which otherwise would have reduced total return by 0.04% for
each class of shares. (See Footnote 9)
See Notes to Financial Statements.
138
<Table>
<Caption>
GROWTH EQUITY FUND
-------------------------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
----------------------------------------------------------- -----------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ -------------- ------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 14.55 $ 11.23 $ 15.63 $ 15.93 $ 9.16 $ 7.07 $ 9.83 $ 10.00
---------- ---------- ---------- ---------- ------- ------- ------ -------
(0.02) (0.01) (0.01) (0.01) (0.01) (0.01) 0.01 --+
0.81 3.33 (4.39) (0.29) 0.51 2.10 (2.77) (0.17)
-- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------ -------
0.79 3.32 (4.40) (0.30) 0.50 2.09 (2.76) (0.17)
---------- ---------- ---------- ---------- ------- ------- ------ -------
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------ -------
-- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------ -------
$ 15.34 $ 14.55 $ 11.23 $ 15.63 $ 9.66 $ 9.16 $ 7.07 $ 9.83
========== ========== ========== ========== ======= ======= ====== =======
5.43% 29.56% (28.15%) (1.88%) 5.46% 29.56% (28.08%) (1.70%)
0.99% 0.92% 0.90% 0.90% 0.87% 0.81% 0.78% 0.78%
0.99% 0.90% 0.88% 0.90% 0.87% 0.79% 0.75% 0.78%
1.07% 1.01% 1.02% 1.05% 0.89% 0.85% 1.14% 83.19%
(0.29%) (0.07%) (0.05%) (0.11%) (0.17%) (0.03%) 0.09% 0.02%
(0.37%) (0.18%) (0.19%) (0.26%) (0.19%) (0.09%) (0.30%) (82.39%)
26.05% 77.02% 41.41% 8.71% 26.05% 77.02% 41.41% 8.71%
$1,346,065 $1,285,223 $1,049,709 $1,354,301 $84,141 $79,547 $4,553 $ 29
========== ========== ========== ========== ======= ======= ====== =======
</Table>
See Notes to Financial Statements.
139
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SMALL CAP EQUITY FUND
--------------------------------------------------------------
RETAIL CLASS
--------------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ --------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 11.41 $ 7.83 $ 10.09 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment loss (0.03) (0.04) (0.04) --+
Realized and unrealized gain (loss) on
investments -- net 0.57 3.62 (2.22) 0.09
------- ------- ------- -------
Total from investment operations 0.54 3.58 (2.26) 0.09
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- -- -- --
Distributions from capital gains -- -- -- --
------- ------- ------- -------
Total dividends and distributions -- -- -- --
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 11.95 $ 11.41 $ 7.83 $ 10.09
======= ======= ======= =======
TOTAL RETURN (1) 4.73% 45.72% (22.40%) 0.90%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.49% 1.50% 1.50% 1.50%
Expenses -- including expense reduction (2) 1.47% 1.44% 1.43% 1.50%
Expenses -- before waivers and expense reduction
(2) 1.66% 1.70% 1.82% 123.38%
Investment income -- net (2) (0.47%) (0.59%) (0.44%) (0.28%)
Investment income (loss) -- excluding waivers
and expense reduction (2) (0.66%) (0.85%) (0.83%) (122.16%)
Portfolio turnover rate (1) 79.43% 130.80% 160.46% 91.89%
Net Assets -- end of the period (000's) $24,919 $22,520 $12,878 $ 115
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
+ Amount represents less than $0.01 per share.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
140
<Table>
<Caption>
SMALL CAP EQUITY FUND
-------------------------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
----------------------------------------------------------- -----------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ -------------- ------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 14.99 $ 10.25 $ 13.18 $ 13.07 $ 11.52 $ 7.88 $10.12 $ 10.00
-------- -------- -------- -------- ------- ------- ------ -------
(0.02) (0.04) (0.02) (0.01) (0.01) (0.03) (0.01) --+
0.74 4.78 (2.91) 0.12 0.57 3.67 (2.23) 0.12
-------- -------- -------- -------- ------- ------- ------ -------
0.72 4.74 (2.93) 0.11 0.56 3.64 (2.24) 0.12
-------- -------- -------- -------- ------- ------- ------ -------
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------ -------
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------ -------
$ 15.71 $ 14.99 $ 10.25 $ 13.18 $ 12.08 $ 11.52 $ 7.88 $ 10.12
======== ======== ======== ======== ======= ======= ====== =======
4.80% 46.24% (22.23%) 0.84% 4.86% 46.19% (22.13%) 1.20%
1.24% 1.25% 1.25% 1.25% 1.17% 1.18% 1.18% 1.18%
1.22% 1.19% 1.19% 1.25% 1.15% 1.12% 1.11% 1.18%
1.38% 1.43% 1.51% 1.52% 1.22% 1.27% 1.60% 76.30%
(0.22%) (0.34%) (0.19%) (0.13%) (0.15%) (0.26%) (0.12%) 0.12%
(0.38%) (0.58%) (0.51%) (0.40%) (0.22%) (0.41%) (0.61%) (75.00%)
79.43% 130.80% 160.46% 91.89% 79.43% 130.80% 160.46% 91.89%
$390,541 $357,703 $232,992 $321,743 $26,346 $25,415 $4,869 $ 81
======== ======== ======== ======== ======= ======= ====== =======
</Table>
See Notes to Financial Statements.
141
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
--------------------------------------------------------------
RETAIL CLASS
--------------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ --------------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.95 $ 8.19 $ 9.43 $ 10.00
------- ------- ------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) 0.09 0.10# 0.06 (0.01)#
Realized and unrealized gain (loss) on
investments -- net 0.28 2.80 (1.21) (0.53)
------- ------- ------- ---------
Total from investment operations 0.37 2.90 (1.15) (0.54)
------- ------- ------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- (0.14) (0.09) (0.03)
Distributions from capital gains -- -- -- --
Return of capital -- -- --+ --
------- ------- ------- ---------
Total dividends and distributions -- (0.14) (0.09) (0.03)
------- ------- ------- ---------
NET ASSET VALUE -- END OF THE PERIOD $ 11.32 $ 10.95 $ 8.19 $ 9.43
======= ======= ======= =========
TOTAL RETURN (1) 3.38% 35.47% (12.18%) (5.40%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.33% 1.36% 1.37% 1.45%
Expenses -- including expense reduction (2) 1.31% 1.34% 1.34% 1.45%
Expenses -- before waivers and expense reduction
(2) 1.54% 1.50% 1.64% 256.83%
Investment income -- net (2) 1.52% 1.14% 0.88% (0.32%)
Investment income (loss) -- excluding waivers
and expense reduction (2) 1.29% 0.98% 0.58% (255.70%)
Portfolio turnover rate (1) 20.57% 33.24% 30.13% 20.05%
Net Assets -- end of the period (000's) $22,151 $20,434 $14,078 $ 51
======= ======= ======= =========
</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.
142
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
-------------------------------------------------------------------------------------------------------------------------
RETIREMENT CLASS INSTITUTIONAL CLASS
----------------------------------------------------------- -----------------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE PERIOD
MONTHS ENDED ENDED ENDED 08/27/01* TO MONTHS ENDED ENDED ENDED 08/27/01* TO
06/30/04 12/31/03 12/31/02 12/31/01 06/30/04 12/31/03 12/31/02 12/31/01
------------ ------------ ------------ -------------- ------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
$ 12.96 $ 9.66 $ 11.09 $ 11.66 $ 11.06 $ 8.26 $ 9.50 $ 10.00
-------- -------- -------- -------- ------- ------- ------ -------
0.11 0.15# 0.11 0.01 0.10 0.08# 0.11 --+
0.34 3.31 (1.43) (0.55) 0.29 2.90 (1.22) (0.47)
-------- -------- -------- -------- ------- ------- ------ -------
0.45 3.46 (1.32) (0.54) 0.39 2.98 (1.11) (0.47)
-------- -------- -------- -------- ------- ------- ------ -------
-- (0.16) (0.11) (0.03) -- (0.18) (0.13) (0.03)
-- -- -- -- -- -- -- --
-- -- --+ -- -- -- --+ --
-------- -------- -------- -------- ------- ------- ------ -------
-- (0.16) (0.11) (0.03) -- (0.18) (0.13) (0.03)
-------- -------- -------- -------- ------- ------- ------ -------
$ 13.41 $ 12.96 $ 9.66 $ 11.09 $ 11.45 $ 11.06 $ 8.26 $ 9.50
======== ======== ======== ======== ======= ======= ====== =======
3.47% 35.81% (11.94%) (4.61%) 3.53% 36.06% (11.72%) (4.69%)
1.15% 1.15% 1.15% 1.15% 0.97% 0.97% 0.96% 0.96%
1.13% 1.13% 1.12% 1.15% 0.95% 0.95% 0.93% 0.96%
1.29% 1.31% 1.35% 1.37% 1.11% 1.14% 1.43% 88.97%
1.69% 1.39% 1.00% 0.28% 1.87% 0.86% 1.29% 0.11%
1.53% 1.21% 0.77% 0.06% 1.71% 0.67% 0.79% (87.90%)
20.57% 33.24% 30.13% 20.05% 20.57% 33.24% 30.13% 20.05%
$952,643 $920,664 $698,704 $795,363 $52,232 $50,390 $5,416 $ 27
======== ======== ======== ======== ======= ======= ====== =======
</Table>
See Notes to Financial Statements.
143
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 seventeen 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 Flexible Income Fund I, Growth & Income
Fund I, Capital Opportunities Fund I and Global Equity Fund I are each referred
to as an "Institutional Blended Fund" and together are referred to as the
"Institutional 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. The Institutional Blended Funds consist of an
Institutional Class only. The Select Funds consist of a Retail Class, a
Retirement Class and an Institutional 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. The Blended Funds and
Institutional Blended Funds primarily invest in a different mix of the Select
Funds to meet a specified investment strategy. The Blended Funds and
Institutional 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
144
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 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. Certain fixed income securities are valued by the sub-
adviser using various methodologies. 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 and Institutional 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. The Funds, in
their normal course of business, may enter into contracts that contain a variety
of representations and warranties, and which provide general indemnifications.
The Funds' exposure may include future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
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.
145
OPTIONS -- Certain 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.
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.
Certain 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 -- Certain 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 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.
146
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 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, the Blended
Funds and the Institutional 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.
147
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. 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, listed at the end of this report, are computed daily based upon
the net assets of each Fund. The actual advisory and sub-advisory fees accrued
during the period ended June 30, 2004, 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% --
Flexible Income I .10% --
Growth & Income I .10% --
Capital Opportunities I .10% --
Global Equity I .10% --
Money Market .14% .07%
Low-Duration Bond .20% .21%
Medium-Duration Bond .23% .21%
Extended-Duration Bond .27% .22%
Equity Index .14% (.02%)*
</Table>
<Table>
<Caption>
FUND ADVISORY FEES SUB-ADVISER FEES
- ---- ------------- ----------------
Value Equity .43% .24%
Growth Equity .48% .35%
Small Cap Equity .30% .78%
International Equity .47% .50%
</Table>
* Ratio is negative due to a prior period overaccrual. This had no effect on the
Fund's net asset value.
For the period ended June 30, 2004, advisory fees and waivers for each Fund were
as follows:
<Table>
<Caption>
GROSS NET ADVISORY
ADVISORY FEE WAIVERS FEE
------------ --------- ------------
Flexible Income $ 139,322 $ (49,136) $ 90,186
Growth & Income 581,032 10,116 591,148
Capital Opportunities 465,566 (3,133) 462,433
Global Equity 421,673 (13,558) 408,115
Flexible Income I 14,485 (25,919) (11,434)
Growth & Income I 50,844 (18,643) 32,201
Capital Opportunities
I 30,090 (25,896) 4,194
Global Equity I 13,477 (27,342) (13,865)
Money Market 623,669 4,512 628,181
Low-Duration Bond 802,361 (220,976) 581,385
Medium-Duration Bond 936,151 (342,839) 593,312
Extended-Duration
Bond 591,953 (28,587) 563,366
Equity Index 305,785 8,364 314,149
Value Equity 2,739,430 (105,741) 2,633,689
Growth Equity 3,388,348 (548,798) 2,839,550
Small Cap Equity 648,674 (291,545) 357,129
International Equity 2,376,411 (710,075) 1,666,336
</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
148
compensate the Annuity Board of the Southern Baptist Convention, 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, through April 30, 2005, 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% --
Flexible Income I -- -- .17%
Growth & Income I -- -- .17%
Capital Opportunities I -- -- .17%
Global Equity I -- -- .17%
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 1.24% .99% .87%
Small Cap Equity 1.50% 1.25% 1.18%
International Equity 1.35% 1.15% .97%
</Table>
Each Fund in turn agrees to reimburse SBCFS for any operating expenses in excess
of the expense limitation paid, waived or assumed by SBCFS for that Fund during
the limitation period, provided SBCFS would not be entitled to reimbursement for
any amount that would cause operating expenses to exceed the expense limitation
during the year in which the reimbursement would be made, and provided further
that no amount will be reimbursed by the Fund more than three years after the
year in which it was incurred or waived by SBCFS.
At June 30, 2004, the amounts subject to possible future reimbursement under the
expense limitation agreement are as follows:
<Table>
<Caption>
RETAIL RETIREMENT INSTITUTIONAL
CLASS CLASS CLASS
------- ---------- -------------
Flexible Income $36,593 $ 278,319 NA
Growth & Income 31,631 16,183 NA
Capital Opportunities 24,346 108,197 NA
Global Equity 23,304 151,021 NA
Flexible Income I NA NA $60,358
Growth & Income I NA NA 55,663
Capital Opportunities
I NA NA 63,268
Global Equity I NA NA 64,155
Money Market 46,688 63,724 10,427
Low-Duration Bond 25,989 1,110,971 28,729
Medium-Duration Bond 19,464 1,660,659 16,879
Extended-Duration
Bond -- 258,815 --
Equity Index 94,544 284,403 3,615
Value Equity 21,493 852,775 --
Growth Equity 58,027 2,903,119 24,183
Small Cap Equity 76,427 1,345,297 27,249
International Equity 68,716 3,407,394 91,574
</Table>
During the period ended June 30, 2004, SBCFS received the following
reimbursements:
<Table>
<Caption>
RETAIL RETIREMENT INSTITUTIONAL
CLASS CLASS CLASS
------ ---------- -------------
Growth & Income -- $15,310 NA
Money Market -- 21,554 --
Extended-Duration Bond $7,767 -- $1,371
Equity Index -- 34,918 6,279
Value Equity -- -- 8,328
</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
149
expenses paid through Brokerage Service Arrangements for the period ended June
30, 2004 were as follows:
<Table>
<Caption>
EXPENSES PAID
THROUGH BROKERAGE
FUND SERVICE ARRANGEMENTS
- ---- --------------------
Value Equity $ 50,515
Growth Equity 29,535
Small Cap Equity 53,852
International Equity 113,224
</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 period ended June 30, 2004, expenses reduced were as
follows:
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Flexible Income $ 133
Growth & Income 191
Capital Opportunities 140
Global Equity 141
Flexible Income I 112
Growth & Income I 80
Capital Opportunities I 122
Global Equity I 108
Money Market 1,757
Low-Duration Bond 9,744
Medium-Duration Bond 14,217
Extended-Duration Bond 256
Equity Index 308
Value Equity 347
Growth Equity 446
Small Cap Equity 550
International Equity 111
</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 period ended June 30,
2004, PFPC received $2,254,564 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, 2004,
the market values of loaned securities and collateral received were as follows:
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
FUND SECURITIES LOANED COLLATERAL
- ---- ----------------- ---------------
Low-Duration Bond $283,690,978 $289,101,448
Medium-Duration Bond 172,488,781 175,125,353
Extended-Duration Bond 212,523,007 215,064,836
Equity Index 31,761,164 32,378,313
Value Equity 141,465,606 143,997,537
Growth Equity 131,061,955 132,589,178
Small Cap Equity 133,015,949 135,627,825
International Equity 167,116,832 174,882,607
</Table>
5. INVESTMENT TRANSACTIONS
For the period ended June 30, 2004, the cost of purchases and proceeds from
sales and maturities (other than short-
150
term and U.S. Government obligations) aggregated for each Fund are as follows:
<Table>
<Caption>
SALE AND MATURITY
PURCHASES PROCEEDS
------------ -----------------
Flexible Income $ 8,000,000 $ 4,100,000
Growth & Income 28,250,000 10,500,000
Capital Opportunities 17,850,000 8,700,000
Global Equity 21,000,000 3,500,000
Flexible Income I 1,777,066 1,169,400
Growth & Income I 34,961,617 1,055,000
Capital Opportunities
I 3,272,400 687,000
Global Equity I 2,887,262 949,300
Low-Duration Bond 277,229,482 314,644,921
Medium-Duration Bond 172,647,898 157,331,380
Extended-Duration Bond 43,880,437 68,907,172
Equity Index 7,235,799 4,474,720
Value Equity 383,636,252 386,882,312
Growth Equity 351,123,932 372,984,407
Small Cap Equity 338,460,683 324,644,386
International Equity 205,826,310 201,289,611
</Table>
For the period ended June 30, 2004, 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
PURCHASES PROCEEDS
-------------- -----------------
Flexible Income $ 13,347,075 $ 12,109,302
Growth & Income 23,090,572 24,400,712
Capital Opportunities 6,176,760 6,385,595
Flexible Income I 1,873,922 1,801,073
Growth & Income I 3,708,715 3,405,077
Capital Opportunities
I 1,225,493 1,179,166
Low-Duration Bond 678,079,945 711,501,941
Medium-Duration Bond 1,153,296,293 1,169,091,771
Extended-Duration
Bond 82,752,093 52,936,006
</Table>
FUTURES CONTRACTS
Investments in securities as of June 30, 2004 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 2004 S&P 500 $ 89,954 3 $ 855,300 $ 5,757
=========
GROWTH & INCOME FUND
September 2004 S&P 500 $ 759,612 34 9,693,400 $ 72,097
=========
CAPITAL OPPORTUNITIES FUND
September 2004 S&P 500 $ 854,564 38 10,833,800 $ 87,472
=========
GLOBAL EQUITY FUND
September 2004 S&P 500 $1,294,339 46 13,114,600 $ 106,224
=========
FLEXIBLE INCOME FUND I
September 2004 S&P 500 E-Mini $ 19,990 2 114,040 $ 931
=========
GROWTH & INCOME FUND I
September 2004 S&P 500 E-Mini $ 79,959 17 969,340 $ 7,073
=========
CAPITAL OPPORTUNITIES FUND I
September 2004 S&P 500 E-Mini $ 79,959 15 855,300 $ 5,768
=========
GLOBAL EQUITY FUND I
September 2004 S&P 500 E-Mini $ 74,962 12 684,240 $ 4,949
=========
</Table>
151
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
LOW-DURATION BOND FUND
December 2004 3-Month EURIBOR $ 124,317 67 $ 19,890,791 $ (14,782)
December 2004 90-Day Euro $ 129,655 80 19,497,000 (186,000)
December 2005 90-Day Euro $ 145,423 16 3,840,400 6,498
June 2005 90-Day Euro $ 158,533 105 25,365,375 12,656
June 2006 90-Day Euro $ 144,817 16 3,824,400 6,546
March 2005 90-Day Euro $ 89,761 84 20,376,300 3,150
March 2006 90-Day Euro $ 145,097 16 3,831,800 6,546
September 2004 10-Year U.S. Treasury
Note $ 61,132 (71) 7,762,297 (129,345)
September 2004 2-Year U.S. Treasury Note $1,742,392 796 167,595,312 557,408
September 2004 5-Year U.S. Treasury Note $ 571,467 (284) 30,867,250 (222,375)
September 2004 90-Day Euro $ 61,237 40 9,798,000 (59,500)
September 2004 Euro-Bobl $ 83,034 99 13,285,438 27,265
September 2005 90-Day Euro $ 153,385 21 5,055,750 (9,596)
---------
$ (1,529)
=========
MEDIUM-DURATION BOND FUND
December 2004 3-Month EURIBOR $ 126,380 39 11,578,221 $ (8,605)
December 2004 90-Day Euro $ 31,922 12 2,924,550 (30,600)
December 2004 90-Day LIBOR $ 65,673 28 6,016,555 (43,143)
December 2008 90-Day Euro $ 7,339 7 1,650,863 (700)
June 2005 3-Month EURIBOR $ 3,224 1 295,372 (1,716)
June 2007 90-Day Euro $ 259,226 100 23,748,750 66,250
June 2008 90-Day Euro $ 7,354 7 1,654,363 (1,313)
March 2005 90-Day Euro $ 288,503 166 40,267,450 (37,503)
March 2005 90-Day LIBOR $ 32,802 14 3,005,103 7,652
March 2009 90-Day Euro $ 7,333 7 1,649,550 (350)
September 2004 10-Year U.S. Treasury
Note $ 230,891 (119) 13,010,047 (233,227)
September 2004 10-Year UK GILT $ 159,197 76 14,584,739 116,144
September 2004 20-Year U.S. Treasury
Bond $ 190,968 (162) 17,232,750 (270,564)
September 2004 5-Year U.S. Treasury Note $ 577,764 311 33,801,813 174,004
September 2004 90-Day LIBOR $ 21,145 9 1,937,157 (25,616)
September 2004 Euro-Bobl $ 128,374 90 12,077,671 18,157
September 2004 Euro-Bobl $ 57,127 39 5,233,657 11,417
September 2004 Euro-Bund $ 294,519 196 26,982,103 151,793
September 2008 90-Day Euro $ 7,346 7 1,652,525 (963)
---------
$(108,883)
=========
EQUITY INDEX FUND
September 2004 S&P 500 $ 984,496 36 10,263,600 $ 77,009
=========
VALUE EQUITY FUND
September 2004 Russell 1000 $ 264,850 9 2,741,400 $ 23,346
September 2004 S&P 500 $3,808,056 119 33,926,900 138,036
---------
$ 161,382
=========
</Table>
152
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
GROWTH EQUITY FUND
September 2004 S&P 500 $4,812,543 193 $ 55,024,300 $ 265,728
=========
SMALL CAP EQUITY FUND
September 2004 Russell 1000 $ 978,189 30 8,885,250 $ 240,545
September 2004 S&P 500 $1,010,796 31 8,838,100 61,514
---------
$ 302,059
=========
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
As of June 30, 2004, the following Funds have forward 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)
- ----------------------------- ---------------- ----------------- ---------------- ----------------- --------------
LOW-DURATION BOND FUND
7/20/2004 European Euro 700,000 US Dollars 861,331 $ 9,088
7/21/2004 Japanese Yen 78,843,000 US Dollars 719,058 (2,259)
7/22/2004 US Dollars 134,491 Swedish Krona 1,869,283 113,797
7/23/2004 European Euro 2,806,899 US Dollars 3,365,053 (52,102)
7/23/2004 European Euro 7,553,827 US Dollars 8,952,887 (243,239)
7/28/2004 British Pounds 1,106,457 US Dollars 2,007,237 5,459
---------
$(169,256)
=========
MEDIUM-DURATION BOND FUND
8/10/2004 European Euro 13,424,287 US Dollars 15,977,782 $(360,045)
7/20/2004 European Euro 4,180,000 US Dollars 5,143,377 54,266
7/21/2004 Japanese Yen 37,821,000 US Dollars 344,932 (1,084)
7/28/2004 British Pounds 39,591 US Dollars 71,917 291
8/17/2004 Mexican Peso 15,246,158 US Dollars 1,318,790 5,270
7/30/2004 European Euro 660,192 US Dollars 802,824 (783)
---------
$(302,085)
=========
INTERNATIONAL EQUITY
7/20/2004 Japanese Yen 156,427,030 Canadian Dollars 1,946,820 $ 21,694
7/30/2004 British Pounds 11,535,000 US Dollars 11,535,000 (532,283)
8/6/2004 Canadian Dollars 1,874,723 US Dollars 1,361,000 (37,543)
8/12/2004 Swiss Francs 500,758 US Dollars 386,000 (14,274)
8/25/2004 Swiss Francs 1,987,830 US Dollars 1,560,000 (29,613)
9/4/2004 Japanese Yen 82,588,914 US Dollars 746,000 (11,284)
9/7/2004 Swiss Francs 2,450,230 US Dollars 1,961,000 758
---------
$(602,545)
=========
</Table>
153
OPTIONS WRITTEN
Transactions in options written for the period ended June 30, 2004, were as
follows:
<Table>
<Caption>
NUMBER OF PREMIUMS
LOW-DURATION BOND FUND CONTRACTS RECEIVED
- ---------------------- --------- ----------
Options written, 12/31/03 5,620 $ 595,524
------ ----------
Options written -- --
Option expired -- --
Options closed -- --
------ ----------
Options written, 06/30/04 5,620 $ 595,524
====== ==========
</Table>
<Table>
<Caption>
NUMBER OF PREMIUMS
MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED
- ------------------------- --------- ----------
Options written, 12/31/03 10,147 $2,778,035
------ ----------
Options written 867 387,711
Option expired (1,260) (254,958)
Options closed (39) (30,480)
------ ----------
Options written, 06/30/04 9,715 $2,880,308
====== ==========
</Table>
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock for the period ended June 30, 2004 and
the year ended December 31, 2003, are as follows:
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 345,823 $ 3,283,359 256,101 $ 2,445,310
Retirement Class 1,560,169 20,481,195 2,999,652 38,722,374
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 12 115 110,248 1,037,416
Retirement Class -- 130 800,930 10,412,089
SHARES REDEEMED:
Retail Class (93,453) (887,218) (56,429) (541,956)
Retirement Class (1,289,858) (16,921,420) (5,542,161) (71,606,987)
---------- ------------ -------------- ---------------
Net increase (decrease) 522,693 $ 5,956,161 (1,431,659) $ (19,531,754)
========== ============ ============== ===============
</Table>
154
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
GROWTH & INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 489,962 $ 4,618,774 335,318 $ 3,061,096
Retirement Class 3,424,861 46,698,316 9,190,592 118,949,665
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 354 3,284 148,121 1,373,027
Retirement Class -- -- 3,751,332 50,267,852
SHARES REDEEMED:
Retail Class (98,541) (924,639) (80,573) (707,318)
Retirement Class (2,538,882) (34,559,255) (15,705,780) (198,857,253)
---------- ------------ -------------- ---------------
Net increase (decrease) 1,277,754 $ 15,836,480 (2,360,990) $ (25,912,931)
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE
- -------------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 1,169,419 $ 11,591,121 250,222 $ 2,262,504
Retirement Class 2,191,855 30,531,188 5,903,866 74,733,730
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class -- -- 47,212 455,568
Retirement Class -- -- 1,739,145 23,652,360
SHARES REDEEMED:
Retail Class (984,001) (9,770,049) (122,322) (1,106,643)
Retirement Class (1,724,505) (23,937,822) (8,385,067) (103,428,690)
---------- ------------ -------------- ---------------
Net increase (decrease) 652,768 $ 8,414,438 (566,944) $ (3,431,171)
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 140,892 $ 1,450,195 148,557 $ 1,304,684
Retirement Class 2,726,264 38,071,591 5,255,047 63,303,472
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class -- -- 11,098 110,871
Retirement Class -- -- 371,322 5,053,687
SHARES REDEEMED:
Retail Class (57,296) (590,086) (37,275) (319,476)
Retirement Class (1,941,269) (27,084,458) (6,113,995) (70,734,256)
---------- ------------ -------------- ---------------
Net increase (decrease) 868,591 $ 11,847,242 (365,246) $ (1,281,018)
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE SIX MONTHS ENDED 06/30/04 THROUGH 12/31/03
--------------------------------- ---------------------------------
FLEXIBLE INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- ------------- --------------- -------------- ---------------
SHARES SOLD 242,082 $ 2,520,230 2,963,771 $ 29,681,126
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS -- -- 34,697 357,383
SHARES REDEEMED (166,359) (1,735,864) (221,947) (2,259,021)
---------- ------------ -------------- ---------------
Net increase 75,723 $ 784,366 2,776,521 $ 27,779,488
========== ============ ============== ===============
</Table>
155
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE SIX MONTHS ENDED 06/30/04 THROUGH 12/31/03
---------------------------------- ---------------------------------
GROWTH & INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- -------------- --------------- -------------- ---------------
SHARES SOLD 3,474,109 $ 37,745,806 6,980,068 $ 70,055,135
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS ---
-- 170,077 1,804,518
(266,019)
SHARES REDEEMED (2,885,767) (375,070) (3,911,770)
-------------- --------------- -------------- ---------------
3,208,090 $ 34,860,039 6,775,075 $ 67,947,883
Net increase
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE SIX MONTHS ENDED 06/30/04 THROUGH 12/31/03
---------------------------------- ---------------------------------
CAPITAL OPPORTUNITIES FUND I SHARES VALUE SHARES VALUE
- ---------------------------- -------------- --------------- -------------- ---------------
SHARES SOLD 424,000 $ 4,809,053 5,287,084 $ 53,184,082
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS -- -- 88,095 976,975
SHARES REDEEMED (177,025) (2,002,518) (200,958) (2,151,481)
-------------- --------------- -------------- ---------------
Net increase 246,975 $ 2,806,535 5,174,221 $ 52,009,576
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE SIX MONTHS ENDED 06/30/04 THROUGH 12/31/03
---------------------------------- ---------------------------------
GLOBAL EQUITY FUND I SHARES VALUE SHARES VALUE
- -------------------- -------------- --------------- -------------- ---------------
SHARES SOLD 359,726 $ 4,312,382 2,324,815 $ 23,434,827
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS ---
-- 18,045 209,318
(176,290)
SHARES REDEEMED (2,079,230) (133,051) (1,424,993)
-------------- --------------- -------------- ---------------
183,436 $ 2,233,152 2,209,809 $ 22,219,152
Net increase
============== =============== ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
---------------------------------- ---------------------------------
MONEY MARKET FUND SHARES VALUE SHARES VALUE
- ----------------- -------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 5,758,492 $ 5,758,492 3,800,874 $ 3,800,874
Retirement Class 1,398,213,235 1,398,213,235 3,475,735,151 3,475,735,152
Institutional Class 23,334,055 23,334,054 88,426,471 88,426,471
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
Retail Class 18,924 18,924 62,338 62,338
Retirement Class 1,617,859 1,617,859 4,666,721 4,666,721
Institutional Class 256,683 256,683 310,135 310,135
SHARES REDEEMED:
Retail Class (3,864,298) (3,864,298) (12,365,637) (12,365,637)
Retirement Class (1,409,457,706) (1,409,457,706) (3,533,632,077) (3,533,632,077)
Institutional Class (25,556,184) (25,556,184) (30,856,125) (30,856,125)
-------------- --------------- -------------- ---------------
Net decrease (9,678,940) $ (9,678,941) (3,852,149) $ (3,852,148)
============== =============== ============== ===============
</Table>
156
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ---------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 124,847 $ 1,191,611 370,361 $ 3,629,836
Retirement Class 4,244,459 55,371,415 12,488,144 165,022,970
Institutional Class 951,411 9,073,662 9,852,397 96,600,779
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 18,398 175,320 109,633 1,061,162
Retirement Class 351,562 4,572,352 2,037,432 26,739,288
Institutional Class 56,201 533,708 215,429 2,072,803
SHARES REDEEMED:
Retail Class (136,019) (1,297,407) (270,351) (2,642,616)
Retirement Class (4,355,218) (56,794,585) (16,633,651) (220,077,046)
Institutional Class (698,077) (6,657,636) (5,065,621) (49,650,731)
---------- ------------ -------------- ---------------
Net increase 557,564 $ 6,168,440 3,103,773 $ 22,756,445
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ------------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 1,152,604 $ 10,882,825 567,749 $ 5,488,636
Retirement Class 4,808,555 65,764,075 16,034,944 221,272,485
Institutional Class 1,207,601 11,270,501 8,179,822 79,295,587
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 33,470 310,573 196,599 1,867,741
Retirement Class 539,590 7,334,101 3,312,192 45,476,001
Institutional Class 78,370 722,694 351,398 3,313,145
SHARES REDEEMED:
Retail Class (1,131,393) (10,684,036) (354,296) (3,428,706)
Retirement Class (4,699,431) (64,201,304) (21,454,483) (296,969,385)
Institutional Class (1,119,760) (10,443,785) (4,259,150) (41,269,488)
---------- ------------ -------------- ---------------
Net increase 869,606 $ 10,955,644 2,574,775 $ 15,046,016
========== ============ ============== ===============
</Table>
157
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE
- --------------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 345,406 $ 3,241,968 546,676 $ 5,402,567
Retirement Class 4,382,103 65,432,402 13,108,503 198,325,568
Institutional Class 999,145 9,347,092 4,850,745 48,928,974
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 97,176 881,155 416,507 3,973,266
Retirement Class 527,549 7,724,276 2,448,979 36,713,639
Institutional Class 109,152 989,688 375,173 3,566,652
SHARES REDEEMED:
Retail Class (387,795) (3,625,618) (506,408) (5,012,043)
Retirement Class (4,689,634) (69,993,555) (16,949,095) (258,599,321)
Institutional Class (922,399) (8,586,120) (2,757,539) (27,568,450)
---------- ------------ -------------- ---------------
Net increase 460,703 $ 5,411,288 1,533,541 $ 5,730,852
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
EQUITY INDEX FUND SHARES VALUE SHARES VALUE
- ----------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 106,434 $ 986,816 186,065 $ 1,502,533
Retirement Class 1,688,406 26,029,064 5,647,274 73,655,508
Institutional Class 338,064 3,143,461 4,461,868 36,455,381
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 11,342 105,931 32,121 278,529
Retirement Class 82,550 1,280,357 260,606 3,723,527
Institutional Class 23,977 222,746 45,263 403,725
SHARES REDEEMED:
Retail Class (51,635) (474,101) (88,596) (708,958)
Retirement Class (1,709,798) (26,281,296) (5,386,315) (71,239,038)
Institutional Class (398,472) (3,686,960) (1,529,027) (12,857,703)
---------- ------------ -------------- ---------------
Net increase 90,868 $ 1,326,018 3,629,259 $ 31,213,504
========== ============ ============== ===============
</Table>
158
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
VALUE EQUITY FUND SHARES VALUE SHARES VALUE
- ----------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 238,008 $ 2,417,858 239,944 $ 2,063,770
Retirement Class 2,355,744 37,165,338 8,378,960 110,320,265
Institutional Class 1,040,746 10,686,516 11,711,145 101,805,688
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class 13,839 142,817 40,211 369,031
Retirement Class 355,146 5,671,689 1,121,254 15,815,795
Institutional Class 58,631 607,420 94,136 913,660
SHARES REDEEMED:
Retail Class (78,942) (803,878) (97,837) (831,105)
Retirement Class (3,167,580) (50,223,059) (13,311,092) (175,057,679)
Institutional Class (901,466) (9,243,140) (5,442,301) (47,926,854)
---------- ------------ -------------- ---------------
Net increase (decrease) (85,874) $ (3,578,439) 2,734,420 $ 7,472,571
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
GROWTH EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 167,885 $ 1,572,704 365,073 $ 2,947,648
Retirement Class 3,560,711 53,607,172 12,352,654 155,965,573
Institutional Class 1,095,111 10,341,656 13,561,260 111,472,774
SHARES REDEEMED:
Retail Class (93,317) (865,667) (151,376) (1,217,720)
Retirement Class (4,143,147) (61,893,314) (17,498,144) (220,165,499)
Institutional Class (1,071,619) (10,049,961) (5,521,123) (46,186,040)
---------- ------------ -------------- ---------------
Net increase (decrease) (484,376) $ (7,287,410) 3,108,344 $ 2,816,736
========== ============ ============== ===============
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE
- --------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 330,076 $ 3,905,411 462,903 $ 4,701,696
Retirement Class 3,299,795 51,398,019 10,543,219 135,857,768
Institutional Class 357,839 4,307,349 3,640,755 35,234,158
SHARES REDEEMED:
Retail Class (217,430) (2,532,586) (135,569) (1,346,215)
Retirement Class (2,303,178) (35,022,997) (9,413,284) (116,448,337)
Institutional Class (382,606) (4,542,443) (2,053,288) (21,163,131)
---------- ------------ -------------- ---------------
Net increase 1,084,496 $ 17,512,753 3,044,736 $ 36,835,939
========== ============ ============== ===============
</Table>
159
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/04 FOR THE YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------------- ------------- --------------- -------------- ---------------
SHARES SOLD:
Retail Class 166,271 $ 1,870,500 163,727 $ 1,560,959
Retirement Class 2,930,105 39,049,885 14,644,611 157,879,504
Institutional Class 665,529 7,602,459 8,174,211 75,814,682
SHARES ISSUED IN REINVESTMENT OF DIVIDENDS:
Retail Class -- -- 24,358 265,255
Retirement Class -- -- 861,759 11,108,069
Institutional Class -- -- 72,461 797,069
SHARES REDEEMED:
Retail Class (74,751) (840,912) (40,947) (379,887)
Retirement Class (2,901,849) (38,481,007) (16,770,240) (180,433,081)
Institutional Class (659,529) (7,513,820) (4,344,837) (41,517,645)
---------- ------------ -------------- ---------------
Net increase 125,776 $ 1,687,105 2,785,103 $ 25,094,925
========== ============ ============== ===============
</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 21, 2003, 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 0.12% per
annum. Each Fund had no borrowings outstanding during the period ended June 30,
2004.
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 and excise tax regulations.
Distributions during the period January 1, 2003, through December 31, 2003 were
characterized as follows for tax purposes:
<Table>
<Caption>
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTION
- ---- ----------- ------------ ------------
Flexible Income $ 4,674,701 $ 6,798,990 $11,473,691
Growth & Income 29,857,219 21,796,066 51,653,285
Capital Opportunities 15,708,591 8,401,297 24,109,888
Global Equity 5,164,553 -- 5,164,553
Flexible Income I 357,383 -- 357,383
Growth & Income I 1,782,721 21,797 1,804,518
Capital Opportunities I 943,918 33,057 976,975
Global Equity I 194,633 14,685 209,318
Money Market 7,918,076 -- 7,918,076
Low-Duration Bond 25,512,205 4,364,359 29,876,564
Medium-Duration Bond 43,170,685 7,497,478 50,668,163
Extended-Duration Bond 23,645,972 20,612,648 44,258,620
Equity Index 4,405,649 -- 4,405,649
Value Equity 17,107,697 -- 17,107,697
International Equity 12,170,411 -- 12,170,411
</Table>
160
At December 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
ORDINARY LONG-TERM (DEPRECIATION)
FUND INCOME CAPITAL GAIN ON INVESTMENTS
- ---- ------------- ------------- --------------
Flexible Income $ 2,174,476 $ 1,693,516 $ 44,392,327
Growth & Income 609,194 11,665,555 157,413,777
Capital Opportunities 384,626 4,173,190 107,307,530
Global Equity 467,766 704,936 93,531,313
Flexible Income I 315,912 148,653 395,695
Growth & Income I 31,498 788,541 3,219,433
Capital Opportunities
I 28,523 336,951 5,118,389
Global Equity I 31,120 17,181 3,414,781
Money Market -- (9,501) --
Low-Duration Bond (1,119,835) 983,584 4,455,026
Medium-Duration Bond 1,929,110 2,498,799 14,211,297
Extended-Duration Bond 1,508,138 3,467,336 23,368,863
Equity Index 510,613 (6,794,336) 33,841,959
Value Equity 193,281 (69,996,687) 138,139,244
Growth Equity -- (319,588,772) 138,443,306
Small Cap Equity -- (10,518,709) 69,841,462
International Equity 1,013,245 (104,894,370) 145,239,101
</Table>
For federal income tax purposes, capital loss carryovers, and their expiration
dates, were as follows as of December 31, 2003:
<Table>
<Caption>
EXPIRING EXPIRING EXPIRING
FUND 12/31/2009 12/31/2010 12/31/2011 TOTAL
- ---- ----------- ------------ ------------ ------------
Money Market -- -- $ 9,501 $ 9,501
Equity Index -- $ 6,794,336 -- 6,794,336
Value Equity $17,975,158 52,021,529 -- 69,996,687
Growth Equity 65,899,400 125,035,753 123,296,507 314,231,660
Small Cap Equity -- 10,518,709 -- 10,518,709
International Equity 11,896,098 57,870,668 35,127,604 104,894,370
</Table>
For federal income tax purposes, post-October loss deferrals, which will reverse
in 2004, were as follows as of December 31, 2003:
<Table>
<Caption>
FUND CAPITAL FX AND PFIC TOTAL
- ---- ---------- ----------- ----------
Low-Duration Bond -- $332,238 $ 332,238
Growth Equity $5,357,112 -- 5,357,112
International Equity -- 40,566 40,566
</Table>
At June 30, 2004, 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 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 $ 46,121,723 $ 46,121,723 --
Growth & Income 175,879,352 175,900,340 $ (20,988)
Capital Opportunities 135,030,951 135,049,869 (18,918)
Global Equity 131,261,613 131,261,613 --
Flexible Income I 501,741 1,274,002 (772,261)
Growth & Income I 4,039,069 6,888,581 (2,849,512)
Capital Opportunities I 6,791,659 7,757,052 (965,393)
Global Equity I 4,452,476 4,452,476 --
Low-Duration Bond (5,542,767) 2,257,512 (7,800,279)
Medium-Duration Bond 5,297,876 15,059,823 (9,761,947)
Extended-Duration Bond 1,272,069 13,032,384 (11,760,315)
Equity Index 45,056,245 102,605,239 (57,548,994)
Value Equity 152,564,949 202,263,352 (49,698,403)
Growth Equity 207,339,716 247,790,510 (40,450,794)
Small Cap Equity 58,140,580 71,754,392 (13,613,812)
International Equity 142,762,660 191,861,618 (49,098,958)
</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, 2004, the aggregate cost for federal income tax purposes was as
follows (excluding foreign currency and derivative related items):
<Table>
<Caption>
FEDERAL
FUND TAX COST
- ---- --------------
Flexible Income $ 237,129,280
Growth & Income 1,010,625,019
Capital Opportunities 820,092,165
Global Equity 739,269,409
Flexible Income I 29,302,131
Growth & Income I 104,678,286
Capital Opportunities I 55,621,782
Global Equity I 24,672,535
Money Market 915,163,572
Low-Duration Bond 1,100,549,857
Medium-Duration Bond 1,109,977,792
Extended-Duration Bond 475,332,554
Equity Index 426,217,393
Value Equity 1,281,035,527
Growth Equity 1,359,086,232
Small Cap Equity 517,606,444
International Equity 1,042,684,658
</Table>
At December 31, 2003, 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
161
arose principally from differing book/tax treatments of foreign currency
transactions. The following amounts were reclassified within the capital
accounts:
<Table>
<Caption>
ACCUMULATED
NET REALIZED
GAIN (LOSS) ON
INVESTMENTS,
CURRENCY
ACCUMULATED TRANSLATIONS AND
PAID IN UNDISTRIBUTED DERIVATIVE
FUND CAPITAL INCOME TRANSACTIONS
- ---- ----------- ------------- ----------------
Flexible Income I $ (4,195) $ 4,195 --
Growth & Income I (4,921) 4,921 --
Capital Opportunities I (4,921) 4,921 --
Global Equity I (4,195) 4,195 --
Low-Duration Bond -- 1,923,472 $(1,923,472)
Medium-Duration Bond (256,575) 5,123,746 (4,867,171)
Extended-Duration Bond (1,041,513) 512,369 529,144
Equity Index -- 12,468 (12,468)
Value Equity 1 125,411 (125,412)
Growth Equity (893,724) 894,042 (318)
Small Cap Equity (1,001,599) 1,040,616 (39,017)
International Equity -- (265,363) 265,363
</Table>
Net investment income, net realized gain (loss) on investments and net assets
were not affected by these reclassifications.
9. INVESTMENT NOT MEETING INVESTMENT GUIDELINES
During the period ended June 30, 2004, one of the Growth Equity Fund's
sub-advisers purchased a security that did not meet the Fund's investment
guidelines. The security was subsequently sold at a loss of $615,013, for which
the Fund was fully reimbursed by the sub-adviser.
10. SWAP INCOME RECLASSIFICATION
As a result of a recent FASB Emerging Issues Task Force consensus and subsequent
related SEC staff guidance, the Low-Duration and Medium-Duration Bond Funds have
reclassified periodic payments made under interest rate swap agreements,
previously included within interest income, as a component of realized gain
(loss) in the statement of operations. For consistency, similar
reclassifications have been made to amounts appearing in the previous year's
statement of changes in net assets and the per share amounts in prior year
financial highlights. Prior year net investment income ratios in the financial
highlights have also been modified accordingly. This reclassification increased
net investment income and decreased net realized gains by $52,329 and $45,384
for the periods ending June 30, 2004 and December 31, 2003, respectively, for
the Low-Duration Bond Fund. This reclassification increased net investment
income and decreased net realized gains by $609,920 and $117,068 for the periods
ended June 30, 2004 and December 31, 2003, respectively, for the Medium-Duration
Bond Fund. These reclassifications had no effect on the Fund's net asset value,
either in total or per share, or its total increase (decrease) in net assets
from operations during any period.
11. RECLASSIFICATION OF SHORT TERM CAPITAL GAIN DISTRIBUTIONS RECEIVED
The Blended Funds have reclassified prior period short-term capital gain
distributions received from their investments in the Select Funds from net
investment income to capital gains distributions received from affiliated funds.
Prior year net investment income ratios and per share amounts in the financial
highlights have also been modified accordingly. These reclassifications had no
effect on the Fund's net asset value, either in total or per share, or its total
increase (decrease) in net assets from operations during any period. This
reclassification decreased net investment income and increased net realized
gains for the year ended December 31, 2003 by the following amounts:
<Table>
<Caption>
FUND AMOUNT
- ---- ----------
Flexible Income $ 986,958
Growth & Income 3,857,611
Capital Opportunities 1,488,537
Flexible Income I 138,023
Growth & Income I 343,695
Capital Opportunities I 134,706
</Table>
162
FUND MANAGEMENT (UNAUDITED)
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 17 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 17 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 17 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, 17 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. 17 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 17 Annuity Board -- Trustee
2401 Cedar Springs Road Director, Providence Baptist
Dallas, Texas 75201-1498 Church, 1991 - 2004.
Trustee Executive Director of
Administration, Christ
Baptist Church, February
2004 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------------------------------------------------------
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
President Baptist Convention,
1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
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>
(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.
163
PROXY VOTING
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities are available without charge,
by calling 800-262-0511, by visiting our web site at www.absbc.org or by
visiting the SEC's website at www.sec.gov. After August 31, 2004, information
about how the Funds voted proxies relating to portfolio securities during the
12-month period ended June 30, 2004 will be available without charge, by calling
800-262-0511, by visiting our web site at www.absbc.org or by visiting the SEC's
website at www.sec.gov.
164
[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. 8/04 2239
7392
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. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 10. 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 Securities Exchange Act of 1934, as
amended (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 11. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) AB Funds Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ John R. Jones
-------------------------------------------------------
John R. Jones, President
(principal executive officer)
Date August 19, 2004
---------------------------------------------------------------------------
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/ John R. Jones
-------------------------------------------------------
John R. Jones, President
(principal executive officer)
Date August 19, 2004
---------------------------------------------------------------------------
By (Signature and Title)* /s/ Jeffrey P. Billinger
-------------------------------------------------------
Jeffrey P. Billinger, Vice President and Treasurer
(principal financial officer)
Date August 19, 2004
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.