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
-------------
Date of reporting period: December 31, 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. REPORT TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
[AB FUNDS LOGO]
[AB FUNDS TRUST LOGO]
Annual Report
DECEMBER 31, 2004
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 3
About Your Expenses 7
Blended Funds:
Flexible Income 11
Growth & Income 14
Capital Opportunities 17
Global Equity 20
Financial Statements 24
Flexible Income I 36
Growth & Income I 39
Capital Opportunities I 42
Global Equity I 45
Financial Statements 48
Select Funds:
Money Market 54
Low-Duration Bond 59
Medium-Duration Bond 68
Extended-Duration Bond 84
Equity Index 90
Value Equity 98
Growth Equity 109
Small Cap Equity 113
International Equity 134
Financial Statements 146
Notes to Financial Statements 172
Report of Independent Registered Public
Accounting Firm 193
Fund Management 194
Proxy Voting 196
</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
[JOHN JONES PHOTO]
We are pleased to bring to you the 2004 annual report for AB Funds Trust. In
many ways, this past year witnessed several landmarks for the mutual fund
industry and AB Funds Trust, starting with the celebration of our 3rd
anniversary on August 27th, 2004. It is our pleasure to share with you our
results for 2004 and report to you important developments within our
organization and the industry during the year.
The financial markets were aided in 2004 by low inflation, a growing economy and
strong corporate profits, resulting in another strong year for investors in
financial assets. We are pleased with the results of the investment funds and
our ability to capitalize on the opportunities in the financial markets over the
past year. Through our worldwide network of 26 sub-advisory firms, the assets of
our shareholders are managed on a global scale so that investment opportunities
are properly identified, researched, and executed. This investment approach has
resulted in a very distinctive track record over our 3-plus year history as a
registered investment company.
In the past few years, the unfortunate developments of market timing and late
day trading came to light within the mutual fund industry. As we have shared
with you in previous correspondence, we have eagerly supported the efforts of
regulatory bodies to strengthen the mutual fund industry's ability to better
protect shareholder's interests. In conjunction with this initiative, the
regulatory environment for registered investment companies and advisers
underwent major changes in 2004. New regulatory requirements adopted in 2004
cover a wide range of activities, including fund governance, fair valuation
pricing, market timing, code of ethics, and a host of added disclosures dealing
with portfolio holdings, proxy voting and fund management. At AB Funds Trust, we
have adopted policies and procedures to comply with the new fund governance and
compliance rules. We have increased staff resources devoted to compliance
efforts, including the appointment of a Chief Compliance Officer for both AB
Funds Trust and SBC Financial, the funds' advisor.
At AB Funds Trust, we continue our commitment to provide among the
highest-quality investment management services in the industry. While investors
are often focused solely on performance as a measure of such quality, we
practice our belief that proper governance based on uncompromising ethical
standards and integrity is the foundation upon which we exist. We continue to
follow with passion our results-oriented, disciplined, and intensely rigorous
approach to investment management. We endeavor to identify investment strategies
that will be value-added and to engage the finest sub-advisory firms in the
industry to work on your behalf. These attributes, which have become a hallmark
of our organization, are our value-proposition to you, our customer.
This report reflects our unwavering commitment to integrity in financial
reporting so that you may stay fully informed of your investments. We hope that
you will find the information valuable. If you have questions regarding its
content, please call us at 1-800-262-0511 or visit our web site at
www.absbc.org. Our customer service specialists are ready to serve you.
Thank you for choosing to invest in AB Funds Trust.
Sincerely,
/s/ John Jones
John 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.
2
FROM THE CHIEF INVESTMENT OFFICER
[RODRIC E. CUMMINS PHOTO]
Rodric E. Cummins, CFA
After a powerful fourth quarter rally to cap off 2004,
equity investors will enjoy a much happier new year than
had been expected just months earlier. Surprisingly
positive corporate earnings, boosted by a sharp drop in
the U.S. dollar, and solid economic growth provided much
of the catalyst needed for a strong finish to the year. In
all, 2004 turned out to be a very good year for investors,
across all asset classes.
Followers of our investment philosophy will note the
importance we place on maintaining well-diversified
investment portfolios. The fourth quarter provides a good
example of the benefits of disciplined asset allocation,
proving again that one must at all times be present in the
asset class and properly situated to capture return
opportunities in the financial markets. Such opportunities
always come unannounced and often when one least expects
it. Well-diversified investment portfolios are constructed
to provide a means by which one can improve the odds of
obtaining the returns needed to meet financial goals and
to prudently balance the risks along the way. By design,
there will be "winners" and "losers" in such portfolios in
any given year, but in many cases, losses in a particular
segment of the capital markets will be offset by gains
from other strategies; thus, smoothing the volatility of
returns and protecting downside risks. However, 2004 was
an unusual year in that all major global asset classes experienced positive
returns.
Equity investors experienced a wide range of returns across the global markets
over the period. The U.S. market, as represented by the S&P 500(R) Index posted
a return of 9.22% during the fourth quarter and 10.86% for the year, close to
its historical annual norm. In the U.S. equity market, cross-sectional factors
such as size and style once again presented a notable dispersion in results. For
the fifth consecutive year small capitalization stocks outperformed large stocks
and value oriented strategies outpaced growth. International stocks, as
represented by the MSCI ACWI Ex-U.S. Index, posted a return of 15.37% during the
quarter and 20.91% for the year, aided largely by emerging markets and declines
in the U.S. dollar.
In the fixed income markets, despite continued economic growth, a less
accommodative monetary policy by the Federal Reserve and a growing threat of
inflationary pressures, fixed income securities posted pleasantly good results
for the year. The Lehman Brothers Aggregate Bond Index, representative of core
bond strategies, returned 4.34% for the year. Longer maturity bonds and
strategies that incorporated the use of high yield bonds and emerging market
debt did considerably better.
ASSET CLASS PERFORMANCE COMPARISON
The following graph illustrates the performance of the major asset classes
during 2004.
[ASSET CLASS BAR CHART]
<Table>
<Caption>
4TH QTR 1 YEAR
------- ------
S&P 500(R)(1) 9.22 10.86
Russell 2000(R)(2) 14.09 18.33
MSCI ACWI(R) Ex-US(3) 15.37 20.91
LB Aggregate(4) 0.95 4.34
</Table>
(1)The S&P 500(R) Index is a capitalization-weighted index that includes a
representative sample of 500 leading companies in leading industries of the U.S.
economy. The index focuses on the large-cap segment of the market.
(2)The Russell 2000(R) Index is a small-cap index consisting of the smallest
2000 companies in the Russell 3000(R) Index, representing approximately 8% of
the Russell 3000(R) Index total market capitalization.
(3)The MSCI ACWI(R) (All Country World Index) Ex-US is a free float-adjusted
market capitalization index that is designed to measure equity market
performance in the global developed and emerging markets excluding the US.
(4)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.
3
AN UPDATE ON AB FUNDS TRUST
We are pleased to report the results of our program which have positioned AB
Funds Trust with a very distinguishable track record within the mutual fund
industry over the past three years. Based on Lipper rankings as of December 31,
2004, for the year 2004, 11 of our 13 funds (85%) exceeded their respective peer
group median. Likewise, over a longer period of three years, 11 of 13 funds
either met or exceeded their respective median peer universe.(1)
We hope you enjoy reviewing the results of your portfolios as much as we enjoy
managing them. We value your support and the trust that you place in AB Funds
Trust. We look forward to continuing our commitment to deliver high-quality
investment products to you in 2005.
(1)The Lipper Rankings are calculated by Lipper Inc., a Reuters Company, which
is a nationally recognized organization that compares the performance of mutual
funds within a universe of funds having similar investment objectives. Lipper
performance measurements are based on total return with capital gains and
dividends reinvested, with annual operating expenses deducted, but without
including front- or back-end sales charges. Rankings are relative to a peer
group and do not necessarily mean that the fund had high total returns. For
complete information, visit www.absbc.org.
U.S. ECONOMY -- GROSS DOMESTIC PRODUCT
Responding to aggressive monetary and fiscal policy, the U.S. economy has
generated positive economic growth for twelve consecutive quarters through the
period ending third quarter 2004. Third quarter GDP grew at an annual rate of
4.0%, led by strong consumer spending and accelerating business investment.
Relatively strong GDP coupled with a low interest rate environment has provided
a constructive economic backdrop for the equity markets.
[U.S. ECONOMY GRAPH]
<Table>
<Caption>
REAL GROSS DOMESTIC PRODUCT
---------------------------
3/91 -2.00
2.60
1.90
1.90
4.20
3.90
9/92 4.00
4.50
0.50
2.00
2.10
5.50
4.10
5.30
9/94 2.30
4.80
1.10
0.70
3.30
3.00
2.90
6.70
9/96 3.40
4.80
3.10
6.20
5.10
3.00
4.50
2.70
9/98 4.70
6.20
3.40
3.40
4.80
7.30
1.00
6.40
9/00 -0.50
2.10
-0.50
1.20
-1.40
1.60
3.40
2.40
9/02 2.60
0.70
1.90
4.10
7.40
4.20
4.50
3.30
9/04 4.00
</Table>
Gross Domestic Product ("GDP") is one of, if not the most widely used economic
measures for the overall U.S. economy. GDP measures the total market value of
all final goods and services produced within the U.S. during a specific period.
The index is the percent change from quarter to quarter of GDP and is often
presented as an annualized rate. Generally, it is viewed as positive for the
equity markets as GDP expands reflecting an environment of economic growth and
profitability. The converse is true when GDP is contracting.
Data Source: Bloomberg
U.S. EQUITY MARKET
Capping two consecutive years of positive performance, the broad U.S. equity
market, as measured by the S&P 500 Index, posted a return of 10.9% during the
calendar year 2004. The index was relatively flat during the first three
quarters but was buoyed significantly in the fourth quarter as investors reacted
positively to a decline in oil prices, a closure related to the presidential
election and a generally good economic backdrop. The best performing sectors for
the year were energy, utilities and telecommunication services. The year ended
with the domestic equity index reaching its highest level since the third
quarter of 2001.
[BAR GRAPH]
<Table>
<Caption>
S&P 500(R) INDEX (TOTAL RETURN)
-------------------------------
12/73 -14.66
-26.47
37.20
23.84
-7.18
12/78 6.56
18.44
32.42
-4.91
21.41
12/83 22.51
6.27
32.16
18.47
5.23
12/88 16.81
31.49
-3.17
30.55
7.67
12/93 9.99
1.31
37.43
23.07
33.36
12/98 28.58
21.04
-9.19
-11.87
-22.10
12/03 28.68
10.86
12/04 0.00
</Table>
The S&P 500(R) Index is used as a measure for the performance of large-cap, U.S.
stocks.
4
S&P 500 INDEX PRICE/EARNINGS RATIO (P/E)
The P/E ratio for the S&P 500(R) Index ended the year slightly above 2003
levels. 2004 multiples were above the long-term average which indicates that
stock valuations, when measured solely on this measure, were not inexpensive on
a historical basis. However, it is worth noting that current multiples are well
below the multiples experienced in the market bubble of the late 1990's.
[LINE GRAPH]
<Table>
<Caption>
S&P 500(R) INDEX P/E RATIO AVERAGE
-------------------------- -------
10.83 15.80
10.55 15.80
10.04 15.80
10.02 15.80
9.78 15.80
10.03 15.80
9.77 15.80
9.53 15.80
9.32 15.80
8.90 15.80
9.10 15.80
12/77 8.94 15.80
8.36 15.80
8.14 15.80
8.19 15.80
8.91 15.80
8.92 15.80
8.70 15.80
9.18 15.80
9.40 15.80
9.03 15.80
8.19 15.80
8.30 15.80
8.18 15.80
8.48 15.80
8.17 15.80
8.21 15.80
8.20 15.80
7.98 15.80
7.71 15.80
7.76 15.80
8.17 15.80
7.83 15.80
7.27 15.80
7.59 15.80
7.37 15.80
7.78 15.80
7.76 15.80
6.75 15.80
7.05 15.80
7.38 15.80
7.32 15.80
7.77 15.80
7.81 15.80
8.02 15.80
8.16 15.80
9.02 15.80
12/80 8.62 15.80
8.22 15.80
8.30 15.80
8.53 15.80
8.33 15.80
8.33 15.80
8.74 15.80
8.40 15.80
7.90 15.80
7.56 15.80
7.84 15.80
8.12 15.80
7.72 15.80
7.58 15.80
7.11 15.80
7.07 15.80
7.35 15.80
7.07 15.80
7.15 15.80
6.99 15.80
7.79 15.80
8.12 15.80
9.04 15.80
9.37 15.80
9.65 15.80
9.98 15.80
10.20 15.80
10.71 15.80
11.48 15.80
11.35 15.80
11.81 15.80
11.43 15.80
11.58 15.80
11.52 15.80
11.36 15.80
11.79 15.80
12/83 11.19 15.80
11.05 15.80
10.05 15.80
9.84 15.80
9.87 15.80
9.25 15.80
8.88 15.80
8.71 15.80
9.16 15.80
9.32 15.80
9.30 15.80
9.14 15.80
9.36 15.80
10.05 15.80
10.15 15.80
10.09 15.80
10.04 15.80
10.59 15.80
10.87 15.80
10.80 15.80
10.68 15.80
10.58 15.80
11.04 15.80
11.75 15.80
12.35 15.80
12.37 15.80
13.24 15.80
13.82 15.80
13.66 15.80
14.39 15.80
14.43 15.80
13.58 15.80
14.53 15.80
12.95 15.80
13.64 15.80
13.91 15.80
12/86 13.42 15.80
15.17 15.80
15.69 15.80
16.29 15.80
15.97 15.80
16.07 15.80
16.51 15.80
17.19 15.80
17.81 15.80
17.51 15.80
13.75 15.80
12.51 15.80
12.87 15.80
13.32 15.80
13.81 15.80
12.57 15.80
12.59 15.80
12.57 15.80
12.49 15.80
12.37 15.80
11.87 15.80
11.47 15.80
11.73 15.80
11.46 15.80
11.20 15.80
11.92 15.80
11.51 15.80
11.28 15.80
14.04 15.80
14.33 15.80
13.95 15.80
15.35 15.80
15.48 15.80
12.70 15.80
12.43 15.80
12.65 15.80
12/89 13.22 15.80
12.34 15.80
12.42 15.80
13.33 15.80
12.98 15.80
14.16 15.80
14.72 15.80
14.61 15.80
13.21 15.80
12.64 15.80
12.57 15.80
13.30 15.80
13.73 15.80
14.25 15.80
15.19 15.80
15.22 15.80
15.23 15.80
15.78 15.80
14.88 15.80
15.58 15.80
15.92 15.80
16.10 15.80
16.30 15.80
15.64 15.80
17.95 15.80
17.50 15.80
17.56 15.80
17.97 15.80
18.48 15.80
18.54 15.80
18.09 15.80
18.84 15.80
18.56 15.80
18.56 15.80
18.57 15.80
18.74 15.80
12/92 18.92 15.80
18.99 15.80
17.81 15.80
18.16 15.80
17.50 15.80
17.41 15.80
17.53 15.80
17.39 15.80
17.74 15.80
17.57 15.80
17.73 15.80
17.84 15.80
18.00 15.80
18.48 15.80
17.40 15.80
16.67 15.80
16.82 15.80
16.45 15.80
16.05 15.80
16.54 15.80
16.73 15.80
16.28 15.80
16.05 15.80
15.11 15.80
15.22 15.80
15.60 15.80
15.31 15.80
15.60 15.80
15.95 15.80
15.69 15.80
15.96 15.80
16.27 15.80
15.58 15.80
16.23 15.80
16.18 15.80
16.56 15.80
12/95 16.90 15.80
17.40 15.80
17.68 15.80
17.93 15.80
18.20 15.80
18.33 15.80
18.41 15.80
17.49 15.80
17.49 15.80
18.38 15.80
18.88 15.80
19.73 15.80
19.44 15.80
20.67 15.80
20.81 15.80
19.89 15.80
21.19 15.80
22.50 15.80
23.47 15.80
25.33 15.80
24.10 15.80
25.35 15.80
24.50 15.80
25.69 15.80
22.25 15.80
22.44 15.80
28.36 15.80
29.85 15.80
30.16 15.80
29.57 15.80
24.66 15.80
24.35 15.80
20.61 15.80
22.01 15.80
24.02 15.80
25.79 15.80
12/98 27.92 15.80
29.00 15.80
27.60 15.80
28.58 15.80
29.29 15.80
29.10 15.80
30.71 15.80
29.75 15.80
28.66 15.80
28.14 15.80
29.94 15.80
29.54 15.80
31.49 15.80
29.85 15.80
27.57 15.80
29.98 15.80
28.61 15.80
27.16 15.80
28.46 15.80
27.91 15.80
28.70 15.80
26.88 15.80
26.10 15.80
24.00 15.80
24.20 15.80
24.59 15.80
22.65 15.80
21.32 15.80
22.92 15.80
22.84 15.80
22.64 15.80
23.08 15.80
22.34 15.80
20.65 15.80
21.45 15.80
24.37 15.80
12/01 24.71 15.80
24.40 15.80
25.20 15.80
26.25 15.80
24.38 15.80
24.46 15.80
23.20 15.80
21.54 15.80
21.50 15.80
19.23 15.80
19.98 15.80
20.54 15.80
19.42 15.80
18.38 15.80
17.66 15.80
17.91 15.80
19.50 15.80
19.59 15.80
19.78 15.80
19.89 15.80
19.88 15.80
19.63 15.80
20.72 15.80
20.50 15.80
21.51 15.80
21.41 15.80
20.76 15.80
20.49 15.80
19.78 15.80
19.49 15.80
19.89 15.80
18.71 15.80
18.47 15.80
18.62 15.80
18.46 15.80
18.66 15.80
12/04 19.16 15.80
</Table>
P/E is the ratio of a stock's price divided by its earnings per share. In this
case, the P/E ratio is represented for the entire index. The ratio, or multiple,
reflects the price an investor is willing to pay for a dollar of expected
earnings per share.
Data Source: Stockval and Barra
FEDERAL RESERVE BANK
During 2004, the Federal Reserve Bank ("Fed") began its transition away from a
very aggressive monetary policy to one of moderate tightening. Through the first
half of the year, the Fed remained extremely accommodative leaving the Feds Fund
Rate at 1.00% -- its lowest level in over four decades. Between June and
December, the Fed began the process of increasing the Fed Funds rate at a
"measured pace" upon evidence of sustainable economic growth. The Fed raised the
Fed Funds rate by .25% on five separate occasions bringing the key interest rate
to the level of 2.25% by year-end.
[LINE GRAPH]
<Table>
<Caption>
FEDERAL FUNDS TARGET INTEREST RATE
----------------------------------
11/90 7.50
7.25
7.00
6.75
6.25
6.25
6.00
6.00
5.75
5.75
5.75
5.50
5.25
5.25
5.00
4.75
4.50
4.00
4.00
4.00
3.75
3.75
3.25
3.25
3.00
3.00
3.00
12/92 3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.25
3.50
3.75
4.25
4.25
4.75
4.75
5.50
12/94 6.00
6.00
6.00
5.75
5.75
5.75
5.75
5.25
5.25
5.25
5.25
5.25
5.25
5.25
5.25
5.25
12/96 5.25
5.25
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.25
5.00
4.75
12/98 4.75
4.75
4.75
4.75
5.00
5.00
5.25
5.50
5.50
5.75
6.00
6.50
6.50
6.50
6.50
6.50
12/00 6.50
6.00
5.50
5.00
4.50
4.00
3.75
3.50
3.00
2.50
2.00
1.75
1.75
1.75
1.75
1.75
1.75
1.75
1.25
12/02 1.25
1.25
1.25
1.25
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.25
1.50
1.75
2.00
12/04 2.25
</Table>
The Federal Reserve Bank is the central bank of the U.S. with the responsibility
of implementing monetary policy. The federal funds rate is the rate banks with
excess reserves loan funds to banks needing additional reserves. The fed funds
rate is one tool the Fed can use in their efforts of controlling money supply.
It is viewed as a stimulus to the economy and to equity markets when the Fed
lowers the federal funds rate given money supply increases. Contrarily, the
opposite is true when the Fed increases the fed funds rate creating an
environment for money supply contraction.
Data Source: Bloomberg
CONSUMER CONFIDENCE
U.S. consumer confidence, as measured by the Conference Board's index, vaulted
in December to a five-month high of 102.3, exceeding most forecasts. At
year-end, U.S. consumers' outlook was positively impacted by improving job
creation and the prospects for higher income. Consumer confidence was further
augmented by falling fuel costs, which provided consumers additional incremental
income. Strong consumer confidence at year-end served as a positive indicator
for economic activity for the first part of 2005. During 2004, the consumer
confidence reached its high point of 105.7 in July, its highest level since June
2002.
[LINE GRAPH]
<Table>
<Caption>
CUSTOMER CONFIDENCE INDEX
-------------------------
10/90 62.60
61.70
61.20
55.10
59.40
81.10
79.40
76.40
78.00
77.70
76.10
72.90
60.10
52.70
52.50
50.20
47.30
56.50
65.10
71.90
72.60
61.20
59.00
57.30
54.60
65.60
12/92 78.10
76.70
68.50
63.20
67.60
61.90
58.60
59.20
59.30
63.80
60.50
71.90
79.80
82.60
79.90
86.70
92.10
88.90
92.50
91.30
90.40
89.50
89.10
100.40
12/94 103.40
101.40
99.40
100.20
104.60
102.00
94.60
101.40
102.40
97.30
96.30
101.60
99.20
88.40
98.00
98.40
104.80
103.50
100.10
107.00
112.00
111.80
107.30
109.50
12/96 114.20
118.70
118.90
118.50
118.50
127.90
129.90
126.30
127.60
130.20
123.40
128.10
136.20
128.30
137.40
133.80
137.20
136.30
138.20
137.20
133.10
126.40
119.30
126.40
12/98 126.70
128.90
133.10
134.00
135.50
137.70
139.00
136.20
136.00
134.20
130.50
137.00
141.70
144.70
140.80
137.10
137.70
144.70
139.20
143.00
140.80
142.50
135.80
132.60
12/00 128.60
115.70
109.20
116.90
109.90
116.10
118.90
116.30
114.00
97.00
85.30
84.90
94.60
97.80
95.00
110.70
108.50
110.30
106.30
97.40
94.50
93.70
79.60
84.90
12/02 80.30
78.80
64.80
62.50
81.00
83.60
83.50
76.60
81.70
76.80
81.70
92.50
94.80
97.70
88.50
88.50
93.00
93.10
102.80
105.70
98.20
96.70
92.90
92.60
12/04 102.30
</Table>
The Consumer Confidence Index is computed on a monthly basis for the purpose of
measuring consumers' attitude toward the economy. The trend in this economic
measure is closely monitored given consumers comprise approximately two-thirds
of the U.S. economy. Generally, it is viewed as positive to the economy and
equity markets when the index increases. This reflects the fact that consumers
are positive regarding their economic outlook and that they are more willing to
spend money providing further economic stimulus.
Data Source: Bloomberg
U.S. UNEMPLOYMENT
The U.S. unemployment rate gradually improved throughout 2004. The year began
with the unemployment rate at 5.70% and steadily fell to its year-end level of
5.40%. 2004 marked the best year for job growth since 1999 which was the height
of the previous expansion. Prior to 2004, the unemployment rate had not fallen
to its year-end level since October 2001. The market continued to anticipate job
growth and falling unemployment which, in turn, supports consumer spending that
represents roughly 70% of the U.S. economy.
[LINE GRAPH]
<Table>
<Caption>
U.S. UNEMPLOYMENT RATE
----------------------
10/90 5.90
6.20
6.30
6.40
6.60
6.80
6.70
6.90
6.90
6.80
6.90
6.90
7.00
7.00
7.30
7.30
7.40
7.40
7.40
7.60
7.80
7.70
7.60
7.60
7.30
7.40
12/92 7.40
7.30
7.10
7.00
7.10
7.10
7.00
6.90
6.80
6.70
6.80
6.60
6.50
6.80
6.60
6.50
6.40
6.10
6.10
6.30
6.00
5.80
5.80
5.60
12/94 5.50
5.60
5.40
5.40
5.80
5.60
5.60
5.70
5.70
5.60
5.50
5.60
5.60
5.60
5.50
5.50
5.60
5.60
5.30
5.50
5.10
5.20
5.20
5.40
12/96 5.40
5.30
5.20
5.20
5.10
4.90
5.00
4.90
4.80
4.90
4.70
4.60
4.70
4.60
4.60
4.70
4.40
4.40
4.50
4.60
4.50
4.50
4.50
4.40
12/98 4.40
4.30
4.30
4.20
4.40
4.20
4.30
4.30
4.20
4.20
4.10
4.10
4.10
4.00
4.10
4.00
3.90
4.10
4.00
4.10
4.10
4.00
3.90
4.00
12/00 4.00
4.20
4.20
4.30
4.50
4.40
4.60
4.60
4.90
5.00
5.40
5.60
5.80
5.60
5.50
5.70
6.00
5.80
5.90
5.90
5.70
5.60
5.70
6.00
12/02 6.00
5.80
5.90
5.80
6.00
6.10
6.30
6.20
6.10
6.10
6.00
5.90
5.70
5.60
5.60
5.70
5.60
5.60
5.60
5.50
5.40
5.40
5.50
5.40
12/04 5.40
</Table>
The U.S. unemployment rate measures the numbers of persons unemployed as a
percentage of the labor force. Typically, unemployment tends to increase during
and be associated with difficult economic periods. Conversely, the unemployment
rate generally declines during and is accompanied by expansionary economic
times. Additionally, very low unemployment can place inflationary pressure on
the economy as labor markets become very competitive and expensive.
Data Source: Bloomberg
5
U.S. TREASURY YIELD CURVE
The U.S. Treasury yield curve maintained its upward sloping position during 2004
but flattened materially as short-term rates increased while the long-term rates
modestly declined. Maturities on the short-end of the yield curve (up to two
years) increased over 1.00% during the year in response to the Federal Reserve's
tightening efforts which resulted in the Fed Funds rate increasing to 2.25% by
year-end. With the lack of inflationary pressure and increasing transparency
from the Federal Reserve, long-term rates slightly declined. The yield on the
bellwether 30-year Treasury-Bond ended the year below 5.00% at 4.83%. The
decline in long-term rates provided a bullish environment for bonds with longer
durations.
[LINE GRAPH]
<Table>
<Caption>
12/31/03 12/31/04
-------- --------
3 mo. 0.917 2.212
6 mo. 1.012 2.577
2 yr. 1.819 3.065
3 yr. 2.302 3.218
5 yr. 3.247 3.607
10 yr. 4.246 4.218
30 yr. 5.073 4.826
</Table>
The Treasury yield curve illustrates the relationship between yields on
short-term, intermediate-term and long-term Treasury securities. Normally, the
shape of the yield curve is upward sloping with rates increasing from the short
end of the curve moving higher to the long end. The short end of the curve is
impacted more by monetary policy (demand for money) while inflationary
expectations and market forces impact the long end of the curve.
Data Source: Bloomberg
6
ABOUT YOUR EXPENSES (UNAUDITED)
As a shareholder of the Funds, you incur ongoing costs, including management
fees; to the extent applicable, distribution (12b-1) fees and/or shareholder
services fees; and other Fund expenses. This Example is intended to help you to
understand your ongoing costs (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
It is based on an investment of $1,000 invested at the beginning of the period
and held for the entire period from July 1, 2004 to December 31, 2004.
ACTUAL EXPENSES
The first section of the table below provides information about actual account
values and actual expenses. You may use the information in this section,
together with the amount you invested, to estimate the expenses that you
incurred over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first section under the heading entitled "Expenses
Paid During Period" to estimate the expenses attributable to your investment
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. Thus, you should not use the hypothetical account
values and expenses to estimate the actual ending account balance or your
expenses for the period. Rather, these figures are provided to enable you to
compare the ongoing costs of investing in the Fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds. Please note that the
expenses shown in the table are meant to highlight your ongoing costs only.
Therefore, the second section of the table is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds.
<Table>
<Caption>
ACTUAL
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
FUND CLASS 7/1/2004 12/31/2004 PERIOD(1)
---- ----- ------------- ------------- -----------
Flexible Income................................. GS4 Class $1,000.00 $1,033.25 $0.66
GS6 Class $1,000.00 $1,032.00 $2.55
GS8 Class $1,000.00 $1,015.61 $2.28
Growth & Income................................. GS4 Class $1,000.00 $1,074.87 $0.68
GS6 Class $1,000.00 $1,072.30 $3.13
GS8 Class $1,000.00 $1,035.03 $3.12
Capital Opportunities........................... GS4 Class $1,000.00 $1,088.05 $0.68
GS6 Class $1,000.00 $1,086.81 $3.67
GS8 Class $1,000.00 $1,046.34 $5.14
Global Equity................................... GS4 Class $1,000.00 $1,102.20 $0.69
GS6 Class $1,000.00 $1,099.97 $3.01
GS8 Class $1,000.00 $1,059.36 $4.50
Flexible Income I............................... GS2 Class $1,000.00 $1,032.71 $0.87
Growth & Income I............................... GS2 Class $1,000.00 $1,075.24 $0.89
Capital Opportunities I......................... GS2 Class $1,000.00 $1,088.63 $0.89
Global Equity I................................. GS2 Class $1,000.00 $1,101.70 $0.90
Money Market.................................... GS2 Class $1,000.00 $1,007.43 $1.36
GS4 Class $1,000.00 $1,006.44 $2.37
GS6 Class $1,000.00 $1,005.16 $3.63
GS8 Class $1,000.00 $1,001.36 $5.89
</Table>
7
ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED
<Table>
<Caption>
ACTUAL
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
FUND CLASS 7/1/2004 12/31/2004 PERIOD(1)
---- ----- ------------- ------------- -----------
Low-Duration Bond............................... GS2 Class $1,000.00 $1,011.42 $2.22
GS4 Class $1,000.00 $1,011.42 $3.03
GS6 Class $1,000.00 $1,010.08 $4.35
GS8 Class $1,000.00 $1,000.54 $6.49
Medium-Duration Bond............................ GS2 Class $1,000.00 $1,047.62 $2.52
GS4 Class $1,000.00 $1,046.32 $3.14
GS6 Class $1,000.00 $1,044.91 $4.63
GS8 Class $1,000.00 $1,008.72 $6.77
Extended-Duration Bond.......................... GS2 Class $1,000.00 $1,097.66 $2.95
GS4 Class $1,000.00 $1,096.07 $3.85
GS6 Class $1,000.00 $1,093.83 $5.00
GS8 Class $1,000.00 $1,019.07 $7.61
Equity Index.................................... GS2 Class $1,000.00 $1,069.64 $1.30
GS4 Class $1,000.00 $1,069.12 $2.08
GS6 Class $1,000.00 $1,068.14 $2.34
GS8 Class $1,000.00 $1,041.12 $4.62
Value Equity.................................... GS2 Class $1,000.00 $1,114.83 $3.83
GS4 Class $1,000.00 $1,113.98 $4.73
GS6 Class $1,000.00 $1,112.06 $6.05
GS8 Class $1,000.00 $1,052.78 $8.20
Growth Equity................................... GS2 Class $1,000.00 $1,065.22 $4.46
GS4 Class $1,000.00 $1,064.54 $5.09
GS6 Class $1,000.00 $1,063.81 $6.38
GS8 Class $1,000.00 $1,059.43 $8.65
Small Cap Equity................................ GS2 Class $1,000.00 $1,097.09 $6.06
GS4 Class $1,000.00 $1,096.28 $6.43
GS6 Class $1,000.00 $1,094.76 $7.74
GS8 Class $1,000.00 $1,077.66 $9.98
International Equity............................ GS2 Class $1,000.00 $1,148.78 $5.13
GS4 Class $1,000.00 $1,148.15 $6.10
GS6 Class $1,000.00 $1,146.42 $7.28
GS8 Class $1,000.00 $1,069.34 $9.26
</Table>
<Table>
<Caption>
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
FUND CLASS 7/1/2004 12/31/2004 PERIOD(1)
---- ----- ------------- ------------- -----------
Flexible Income................................. GS4 Class $1,000.00 $1,024.48 $0.66
GS6 Class $1,000.00 $1,022.62 $2.54
GS8 Class $1,000.00 $1,022.87 $2.29
Growth & Income................................. GS4 Class $1,000.00 $1,024.48 $0.66
GS6 Class $1,000.00 $1,022.12 $3.05
GS8 Class $1,000.00 $1,022.07 $3.10
Capital Opportunities........................... GS4 Class $1,000.00 $1,024.48 $0.66
GS6 Class $1,000.00 $1,021.62 $3.56
GS8 Class $1,000.00 $1,020.11 $5.08
</Table>
8
<Table>
<Caption>
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
FUND CLASS 7/1/2004 12/31/2004 PERIOD(1)
---- ----- ------------- ------------- -----------
Global Equity................................... GS4 Class $1,000.00 $1,024.48 $0.66
GS6 Class $1,000.00 $1,022.27 $2.90
GS8 Class $1,000.00 $1,020.76 $4.42
Flexible Income I............................... GS2 Class $1,000.00 $1,024.28 $0.87
Growth & Income I............................... GS2 Class $1,000.00 $1,075.24 $0.89
Capital Opportunities I......................... GS2 Class $1,000.00 $1,088.63 $0.89
Global Equity I................................. GS2 Class $1,000.00 $1,101.70 $0.90
Money Market.................................... GS2 Class $1,000.00 $1,023.78 $1.37
GS4 Class $1,000.00 $1,022.77 $2.39
GS6 Class $1,000.00 $1,021.52 $3.66
GS8 Class $1,000.00 $1,019.25 $5.94
Low-Duration Bond............................... GS2 Class $1,000.00 $1,022.92 $2.24
GS4 Class $1,000.00 $1,022.12 $3.05
GS6 Class $1,000.00 $1,020.81 $4.37
GS8 Class $1,000.00 $1,018.65 $6.55
Medium-Duration Bond............................ GS2 Class $1,000.00 $1,022.67 $2.49
GS4 Class $1,000.00 $1,022.07 $3.10
GS6 Class $1,000.00 $1,020.61 $4.57
GS8 Class $1,000.00 $1,018.40 $6.80
Extended-Duration Bond.......................... GS2 Class $1,000.00 $1,022.32 $2.85
GS4 Class $1,000.00 $1,021.47 $3.71
GS6 Class $1,000.00 $1,020.36 $4.82
GS8 Class $1,000.00 $1,017.60 $7.61
Equity Index.................................... GS2 Class $1,000.00 $1,023.88 $1.27
GS4 Class $1,000.00 $1,023.13 $2.03
GS6 Class $1,000.00 $1,022.87 $2.29
GS8 Class $1,000.00 $1,020.61 $4.57
Value Equity.................................... GS2 Class $1,000.00 $1,021.52 $3.66
GS4 Class $1,000.00 $1,020.66 $4.52
GS6 Class $1,000.00 $1,019.41 $5.79
GS8 Class $1,000.00 $1,017.14 $8.06
Growth Equity................................... GS2 Class $1,000.00 $1,020.81 $4.37
GS4 Class $1,000.00 $1,020.21 $4.98
GS6 Class $1,000.00 $1,018.95 $6.24
GS8 Class $1,000.00 $1,016.74 $8.47
Small Cap Equity................................ GS2 Class $1,000.00 $1,019.36 $5.84
GS4 Class $1,000.00 $1,019.00 $6.19
GS6 Class $1,000.00 $1,017.75 $7.46
GS8 Class $1,000.00 $1,015.53 $9.68
International Equity............................ GS2 Class $1,000.00 $1,020.36 $4.82
GS4 Class $1,000.00 $1,019.46 $5.74
GS6 Class $1,000.00 $1,018.35 $6.85
GS8 Class $1,000.00 $1,016.19 $9.02
</Table>
(1) Expenses are equal to the Fund's annualized expense ratios for the period
July 1, 2004 through December 31, 2004, multiplied by the average account
value over the period, multiplied by 184/366 (to reflect the one-half year
period).
9
ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED
For comparison purposes the GS8 Class uses this same calculation even though
the class began on 11/8/04. Expenses include the effect of contractual
waivers by SBC Financial Services, Inc. The Blended Funds' proportionate
share of the operating expenses of the Select Funds is not reflected in the
table above. The annualized expense ratios were as follows:
<Table>
<Caption>
EXPENSE
FUND CLASS RATIO
---- ----- -------
Flexible Income.......... GS4 Class 0.13%
GS6 Class 0.50%
GS8 Class 0.45%
Growth & Income.......... GS4 Class 0.13%
GS6 Class 0.60%
GS8 Class 0.61%
Capital Opportunities.... GS4 Class 0.13%
GS6 Class 0.70%
GS8 Class 1.00%
Global Equity............ GS4 Class 0.13%
GS6 Class 0.57%
GS8 Class 0.87%
Flexible Income I........ GS2 Class 0.17%
Growth & Income I........ GS2 Class 0.17%
Capital Opportunities
I...................... GS2 Class 0.17%
Global Equity I.......... GS2 Class 0.17%
Money Market............. GS2 Class 0.27%
GS4 Class 0.46%
GS6 Class 0.72%
GS8 Class 1.17%
Low-Duration Bond........ GS2 Class 0.44%
GS4 Class 0.60%
GS6 Class 0.85%
GS8 Class 1.29%
Medium-Duration Bond..... GS2 Class 0.49%
GS4 Class 0.61%
GS6 Class 0.90%
GS8 Class 1.34%
</Table>
<Table>
<Caption>
EXPENSE
FUND CLASS RATIO
---- ----- -------
Extended-Duration Bond... GS2 Class 0.56%
GS4 Class 0.73%
GS6 Class 0.95%
GS8 Class 1.50%
Equity Index............. GS2 Class 0.25%
GS4 Class 0.40%
GS6 Class 0.45%
GS8 Class 0.90%
Value Equity............. GS2 Class 0.72%
GS4 Class 0.89%
GS6 Class 1.14%
GS8 Class 1.59%
Growth Equity............ GS2 Class 0.86%
GS4 Class 0.98%
GS6 Class 1.23%
GS8 Class 1.67%
Small Cap Equity......... GS2 Class 1.15%
GS4 Class 1.22%
GS6 Class 1.47%
GS8 Class 1.91%
International Equity..... GS2 Class 0.95%
GS4 Class 1.13%
GS6 Class 1.35%
GS8 Class 1.78%
</Table>
10
FLEXIBLE INCOME FUND
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 19%
U.S. Equity, 7% non-U.S. equity and 74% fixed income. The fund's composite
benchmark performance for the quarter was 2.79%.
The fund posted a positive return for the quarter which can be attributed to the
smaller allocations to the Equity Select Funds as a result of gains in the
equity markets. The fund outperformed its composite benchmark for the quarter
which can be attributed to the Low-Duration Bond Fund and the Growth Equity Fund
outperforming their respective benchmarks.
11
FLEXIBLE INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 4.76% 4.52% 4.12% N/A N/A
Since Inception 4.04% 3.81% 4.06% 1.56% 1.70%
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 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
Jul 2004 10973 10998
Aug 2004 11032 11069
Sep 2004 11099 11115
Oct 2004 11166 11198
Nov 2004 11297 11302
Dec 2004 11416 11425
</Table>
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
12
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 98.9%
AB Funds Trust -- Equity Index Fund
(GS4 Class)(inf) 227,089 $ 3,740,148
AB Funds Trust -- Growth Equity Fund
(GS4 Class)(inf) 1,359,537 22,201,244
AB Funds Trust -- International Equity
Fund (GS4 Class)(inf) 1,273,400 19,355,672
AB Funds Trust -- Low-Duration Bond
Fund (GS4 Class)(inf) 16,204,088 208,546,620
AB Funds Trust -- Money Market Fund
(GS4 Class)(inf) 2,413,719 2,413,719
AB Funds Trust -- Small Cap Equity
Fund (GS4 Class)(inf) 263,095 4,335,811
AB Funds Trust -- Value Equity Fund
(GS4 Class)(inf) 1,358,999 24,108,638
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $234,193,538) 284,701,852
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Bill
2.14%, 03/24/05++++ $ 90,000 89,570
U.S. Treasury Note
2.88%, 11/30/06 3,015,000 3,006,522
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $3,095,961) 3,096,092
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $237,289,499) 287,797,944
OTHER ASSETS LESS
LIABILITIES -- 0.0% 9,655
------------
NET ASSETS -- 100.0% $287,807,599
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 72.5%
Domestic Equity Funds 18.9%
Futures Contracts 0.3%
International Equity Funds 6.7%
Money Market Funds 0.8%
U.S. Treasury Obligations 1.1%
-------
100.3%
=======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
13
GROWTH & INCOME FUND
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 37%
U.S. Equity, 14% non-U.S. equity and 49% fixed income. The fund's composite
benchmark performance for the quarter was 6.15%.
The fund posted a positive return for the quarter. The positive returns can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. Allocations to the
Low-Duration Bond Fund, Medium-Duration Bond Fund and the Extended-Duration Bond
Fund also attributed to the positive returns reflecting the gains in bond
markets for the quarter. The GS4 Class outperformed its composite benchmark for
the quarter. The outperformance of the composite benchmark can be attributed to
the Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond
Fund, and the Growth Equity Fund outperforming their respective benchmarks.
14
GROWTH & INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 10.13% 9.66% 9.28% N/A N/A
Since Inception 6.10% 5.80% 6.07% 3.50% 3.49%
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 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
Jul 2004 11194 11214
Aug 2004 11318 11350
Sep 2004 11474 11477
Oct 2004 11615 11646
Nov 2004 11913 11905
Dec 2004 12192 12183
</Table>
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
15
GROWTH & INCOME FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity Index Fund
(GS4 Class)(inf) 1,902,411 $ 31,332,708
AB Funds Trust -- Extended-Duration
Bond Fund (GS4 Class)(inf) 8,621,456 128,718,340
AB Funds Trust -- Growth Equity Fund
(GS4 Class)(inf) 12,184,731 198,976,659
AB Funds Trust -- International Equity
Fund (GS4 Class)(inf) 12,141,340 184,548,367
AB Funds Trust -- Low-Duration Bond
Fund (GS4 Class)(inf) 14,527,114 186,963,959
AB Funds Trust -- Medium-Duration Bond
Fund (GS4 Class)(inf) 22,030,462 300,275,198
AB Funds Trust -- Money Market Fund
(GS4 Class)(inf) 18,103,603 18,103,603
AB Funds Trust -- Small Cap Equity
Fund (GS4 Class)(inf) 2,348,421 38,701,986
AB Funds Trust -- Value Equity Fund
(GS4 Class)(inf) 11,374,665 201,786,557
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $1,055,937,688) 1,289,407,377
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bill
2.14%, 03/24/05++++ $ 805,000 801,154
U.S. Treasury Bond
6.50%, 02/15/10 10,350,000 11,720,971
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $12,583,521) 12,522,125
--------------
TOTAL INVESTMENTS -- 100.0%
(Cost $1,068,521,209) 1,301,929,502
OTHER ASSETS LESS
LIABILITIES -- 0.0% 344,488
--------------
NET ASSETS -- 100.0% $1,302,273,990
==============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 47.3%
Domestic Equity Funds 36.1%
Futures Contracts 0.9%
International Equity Funds 14.2%
Money Market Funds 1.4%
U.S. Treasury Obligations 1.0%
-------
100.9%
=======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
16
CAPITAL OPPORTUNITIES FUND
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 56%
U.S. Equity, 19% non-U.S. equity and 25% fixed income. The fund's composite
benchmark performance for the quarter was 8.78%.
The fund posted a positive return for the quarter. The positive return can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. Allocations to the
Low-Duration Bond Fund, Medium-Duration Bond Fund and the Extended-Duration Bond
Fund also attributed to the positive returns reflecting gains in bond markets
for the quarter. The fund underperformed its composite benchmark for the
quarter. The underperformance of the composite benchmark can be attributed to
the Equity Index Fund, Value Equity Fund, International Equity Fund and the
Small Cap Equity Fund underperforming their respective benchmarks.
17
CAPITAL OPPORTUNITIES FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 12.80% 12.28% 11.71% N/A N/A
Since Inception 5.72% 5.40% 5.73% 4.73% 4.74%
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 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
Jul 2004 10807 10818
Aug 2004 10878 10910
Sep 2004 11082 11078
Oct 2004 11238 11276
Nov 2004 11693 11695
Dec 2004 12049 12051
</Table>
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
18
CAPITAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ---------- --------------
AFFILIATED MUTUAL FUNDS -- 99.5%
AB Funds Trust -- Equity Index Fund
(GS4 Class)(inf) 2,335,315 $ 38,462,643
AB Funds Trust -- Extended-Duration
Bond Fund (GS4 Class)(inf) 3,473,929 51,865,760
AB Funds Trust -- Growth Equity Fund
(GS4 Class)(inf) 14,973,461 244,516,623
AB Funds Trust -- International Equity
Fund (GS4 Class)(inf) 13,738,034 208,818,115
AB Funds Trust -- Low-Duration Bond
Fund (GS4 Class)(inf) 5,721,834 73,640,000
AB Funds Trust -- Medium-Duration Bond
Fund (GS4 Class)(inf) 8,695,237 118,516,080
AB Funds Trust -- Money Market Fund
(GS4 Class)(inf) 19,221,558 19,221,558
AB Funds Trust -- Small Cap Equity
Fund (GS4 Class)(inf) 2,796,890 46,092,743
AB Funds Trust -- Value Equity Fund
(GS4 Class)(inf) 14,033,311 248,950,934
--------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $849,295,591) 1,050,084,456
--------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bill
2.14%, 03/24/05++++ $ 910,000 905,652
U.S. Treasury Bond
6.50%, 02/15/10 4,090,000 4,631,766
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,534,124) 5,537,418
--------------
TOTAL INVESTMENTS -- 100.0%
(Cost $854,829,715) 1,055,621,874
OTHER ASSETS LESS
LIABILITIES -- 0.0% 279,607
--------------
NET ASSETS -- 100.0% $1,055,901,481
==============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 23.1%
Domestic Equity Funds 54.8%
Futures Contracts 1.4%
International Equity Funds 19.8%
Money Market Funds 1.8%
U.S. Treasury Obligations 0.5%
-------
101.4%
=======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
19
GLOBAL EQUITY FUND
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 74%
U.S. Equity, 25% non-U.S. equity and 1% fixed income. The fund's composite
benchmark performance for the quarter was 11.45%.
The fund posted a positive return for the quarter. The positive returns can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. The fund
underperformed its composite benchmark for the quarter. The underperformance of
the composite benchmark can be attributed to the Equity Index Fund, Value Equity
Fund, International Equity Fund and the Small Cap Equity Fund underperforming
their respective benchmarks.
20
GLOBAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 15.47% 15.17% 14.14% N/A N/A
Since Inception 5.14% 4.93% 5.18% 5.94% 6.13%
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 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
Jul 2004 10362 10370
Aug 2004 10392 10422
Sep 2004 10632 10626
Oct 2004 10805 10849
Nov 2004 11407 11415
Dec 2004 11826 11842
</Table>
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
21
GLOBAL EQUITY FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
----------------- ----------- ------------
AFFILIATED MUTUAL FUNDS -- 99.9%
AB Funds Trust -- Equity
Index Fund (GS4 Class)(inf) 2,736,310 $ 45,067,034
AB Funds Trust -- Growth
Equity Fund (GS4
Class)(inf) 18,000,869 293,954,196
AB Funds Trust --
International Equity Fund
(GS4 Class)(inf) 16,177,559 245,898,896
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 19,078,492 19,078,492
AB Funds Trust -- Small Cap
Equity Fund (GS4
Class)(inf) 3,372,364 55,576,565
AB Funds Trust -- Value
Equity Fund (GS4
Class)(inf) 16,590,833 294,321,380
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $747,879,303) 953,896,563
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill
2.14%, 03/24/05++++
(Cost $1,288,688) $1,295,000 1,288,812
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $749,167,991) 955,185,375
OTHER ASSETS LESS
LIABILITIES -- 0.0% 46,405
------------
NET ASSETS -- 100.0% $955,231,780
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Domestic Equity Funds 72.1%
Futures Contracts 1.6%
International Equity Funds 25.8%
Money Market Funds 2.0%
U.S. Treasury Obligations 0.1%
------
101.6%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
22
(This page intentionally left blank)
23
STATEMENTS OF ASSETS AND LIABILITIES
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
DECEMBER 31, 2004 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- ----------------- ------------ -------------- ------------------ ------------
ASSETS
Investments in securities of affiliated issuers at
value $284,701,852 $1,289,407,377 $1,050,084,456 $953,896,563
Investments in securities of unaffiliated issuers
at value 3,096,092 12,522,125 5,537,418 1,288,812
------------ -------------- -------------- ------------
Total investments (1) 287,797,944 1,301,929,502 1,055,621,874 955,185,375
Cash -- 52,064 -- --
Receivables:
Dividends 3,869 27,741 28,977 24,577
Interest 7,620 254,109 100,416 --
Fund shares sold 42,486 173,982 265,467 188,524
Receivable from advisor 1,197 -- -- --
Prepaid expenses and other assets 21,159 22,204 20,989 21,192
------------ -------------- -------------- ------------
Total Assets 287,874,275 1,302,459,602 1,056,037,723 955,419,668
------------ -------------- -------------- ------------
LIABILITIES
Payables:
Fund shares redeemed 27,953 23,433 -- 62,197
Variation margin 750 9,750 11,750 12,250
Accrued expenses:
Advisory fee payable -- 82,015 67,793 61,297
Distribution fee payable 2,277 2,397 1,897 2,418
Service fee payable 1,992 2,117 1,563 2,132
Other accrued expenses payable 33,704 65,900 53,239 47,594
------------ -------------- -------------- ------------
Total Liabilities 66,676 185,612 136,242 187,888
------------ -------------- -------------- ------------
NET ASSETS $287,807,599 $1,302,273,990 $1,055,901,481 $955,231,780
============ ============== ============== ============
NET ASSETS CONSIST OF:
Paid-in-capital $236,028,258 $1,058,663,549 $ 848,249,487 $745,309,755
Undistributed net investment income (loss) 1,869 170 (100,590) 4,528
Accumulated net realized gain on investments 1,249,170 9,965,637 6,660,807 3,616,832
Net unrealized appreciation (depreciation) on
investments and futures transactions 50,528,302 233,644,634 201,091,777 206,300,665
------------ -------------- -------------- ------------
NET ASSETS $287,807,599 $1,302,273,990 $1,055,901,481 $955,231,780
============ ============== ============== ============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS4 Class $270,912,835 $1,283,981,865 $1,043,625,128 $936,733,991
------------ -------------- -------------- ------------
GS4 shares outstanding 20,554,198 89,963,061 69,416,602 60,254,563
------------ -------------- -------------- ------------
Net asset value, offering price and redemption
price per GS4 share $ 13.18 $ 14.27 $ 15.03 $ 15.55
============ ============== ============== ============
Net assets applicable to the GS6 Class $ 11,815,071 $ 13,118,418 $ 7,042,548 $ 13,201,598
------------ -------------- -------------- ------------
GS6 shares outstanding 1,254,384 1,350,472 666,407 1,163,212
------------ -------------- -------------- ------------
Net asset value, offering and redemption price per
GS6 share $ 9.42 $ 9.71 $ 10.57 $ 11.35
============ ============== ============== ============
Net assets applicable to the GS8 Class $ 5,079,693 $ 5,173,707 $ 5,233,805 $ 5,296,191
------------ -------------- -------------- ------------
GS8 shares outstanding 539,068 532,427 495,428 466,683
------------ -------------- -------------- ------------
Net asset value, offering and redemption price per
GS8 share $ 9.42 $ 9.72 $ 10.56 $ 11.35
============ ============== ============== ============
- ---------------
(1) Investments in securities of affiliated issuers
at cost $234,193,538 $1,055,937,688 $ 849,295,591 $747,879,303
Investments in securities of unaffiliated issuers
at cost 3,095,961 12,583,521 5,534,124 1,288,688
------------ -------------- -------------- ------------
Total investments at cost $237,289,499 $1,068,521,209 $ 854,829,715 $749,167,991
============ ============== ============== ============
</Table>
See Notes to Financial Statements.
24
STATEMENTS OF OPERATIONS
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE YEAR ENDED DECEMBER 31, 2004 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- ------------------------------------ ----------- ------------ ------------------ ------------
INVESTMENT INCOME
Income distributions received from affiliated
funds $ 4,789,966 $ 23,810,428 $ 13,756,631 $ 7,728,679
Interest 67,935 391,100 150,865 15,972
----------- ------------ ------------ ------------
Total Investment Income 4,857,901 24,201,528 13,907,496 7,744,651
----------- ------------ ------------ ------------
EXPENSES
Investment advisory fees 284,792 1,209,666 965,931 869,458
Transfer agent fees
GS4 shares 19,371 22,350 21,038 20,752
GS6 shares 22,175 41,615 28,714 27,247
GS8 shares 1,900 2,892 2,385 2,261
Custodian fees 10,332 25,575 20,944 19,517
Distribution fees:
GS6 shares 12,686 15,057 8,770 11,485
GS8 shares 2,231 2,253 2,267 2,282
Shareholder servicing fees:
GS6 shares 1,881 2,069 1,112 2,059
GS8 shares 1,503 1,518 1,528 1,537
Accounting and administration fees 84,488 199,456 175,062 165,359
Professional fees 42,848 41,866 41,848 41,848
Blue sky fees
GS4 shares 2,516 2,514 2,365 2,364
GS6 shares 15,581 15,916 14,977 14,903
GS8 shares 498 548 492 506
Shareholder reporting fees
GS4 shares 4,167 6,869 5,424 4,956
GS6 shares 8,143 20,708 13,783 11,691
GS8 shares 5 5 5 5
Trustee fees 1,459 6,176 4,936 4,442
Line of credit facility fees 1,554 6,512 5,203 4,699
Other expenses 15,173 22,378 18,594 16,052
----------- ------------ ------------ ------------
Total Expenses 533,303 1,645,943 1,335,378 1,223,423
Expenses waived net of amounts recaptured (See
Footnote 3c) (117,642) (11,549) (28,222) (44,960)
Fees paid indirectly (185) (350) (221) (285)
----------- ------------ ------------ ------------
Net expenses 415,476 1,634,044 1,306,935 1,178,178
----------- ------------ ------------ ------------
NET INVESTMENT INCOME 4,442,425 22,567,484 12,600,561 6,566,473
----------- ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital gain distributions received from
affiliated funds 961,932 9,671,577 5,167,825 2,397,326
Net realized gain on investment securities of
affiliated issuers 1,778,005 9,714,463 6,078,229 4,774,785
Net realized gain (loss) on investment securities
of unaffiliated issuers (40,120) 37,284 3,188 --
Net realized gain on futures transactions 65,551 1,224,509 1,401,101 1,545,300
----------- ------------ ------------ ------------
Net realized gain 2,765,368 20,647,833 12,650,343 8,717,411
----------- ------------ ------------ ------------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated issuers 5,797,858 75,080,787 93,501,041 112,351,417
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated issuers (6,755) (133,163) (16,534) 90
Change in net unrealized appreciation
(depreciation) on futures transactions (2,480) (216,812) (228,173) (420,400)
----------- ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) 5,788,623 74,730,812 93,256,334 111,931,107
----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN 8,553,991 95,378,645 105,906,677 120,648,518
----------- ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,996,416 $117,946,129 $118,507,238 $127,214,991
=========== ============ ============ ============
</Table>
See Notes to Financial Statements.
25
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND GROWTH & INCOME FUND
------------------------------- -------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED 12/31/04 ENDED 12/31/03 ENDED 12/31/04 ENDED 12/31/03
-------------- -------------- -------------- --------------
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 4,442,425 $ 5,478,241 $ 22,567,484 $ 23,456,542
Net realized gain on investment securities
and futures transactions 2,765,368 8,559,615 20,647,833 35,021,999
Net change in unrealized appreciation
(depreciation) on investment securities
and futures transactions 5,788,623 10,589,629 74,730,812 125,109,667
------------ ------------ -------------- --------------
Net increase in net assets resulting from
operations 12,996,416 24,627,485 117,946,129 183,588,208
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME
GS4 shares (6,071,685) (4,176,812) (25,716,823) (28,642,469)
GS6 shares (501,693) (402,711) (502,343) (763,570)
GS8 shares (67,733) -- (83,573) --
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
CAPITAL GAINS
GS4 shares (2,610,188) (6,235,277) (17,361,990) (21,625,383)
GS6 shares (158,099) (658,891) (257,791) (621,863)
GS8 shares (67,996) -- (101,694) --
------------ ------------ -------------- --------------
Total dividends and distributions (9,477,394) (11,473,691) (44,024,214) (51,653,285)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS 10,786,400 (19,531,754) 85,621,629 (25,912,931)
------------ ------------ -------------- --------------
Total increase (decrease) in net assets 14,305,422 (6,377,960) 159,543,544 106,021,992
------------ ------------ -------------- --------------
NET ASSETS:
Beginning of the Period 273,502,177 279,880,137 1,142,730,446 1,036,708,454
------------ ------------ -------------- --------------
End of the Period $287,807,599 $273,502,177 $1,302,273,990 $1,142,730,446
============ ============ ============== ==============
</Table>
See Notes to Financial Statements.
26
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND
------------------------------- -------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED 12/31/04 ENDED 12/31/03 ENDED 12/31/04 ENDED 12/31/03
-------------- -------------- -------------- --------------
$ 12,600,561 $ 12,343,331 $ 6,566,473 $ 5,570,257
12,650,343 14,442,437 8,717,411 2,845,134
93,256,334 158,534,721 111,931,107 188,562,224
-------------- ------------ ------------ ------------
118,507,238 185,320,489 127,214,991 196,977,615
-------------- ------------ ------------ ------------
(13,922,864) (14,672,538) (6,887,129) (5,053,675)
(156,894) (267,521) (123,145) (110,878)
(50,485) -- (19,437) --
(8,449,675) (8,979,773) (4,836,704) --
(80,682) (190,056) (93,170) --
(59,990) -- (37,396) --
-------------- ------------ ------------ ------------
(22,720,590) (24,109,888) (11,996,981) (5,164,553)
-------------- ------------ ------------ ------------
46,508,323 (3,431,171) 20,633,510 (1,281,018)
-------------- ------------ ------------ ------------
142,294,971 157,779,430 135,851,520 190,532,044
-------------- ------------ ------------ ------------
913,606,510 755,827,080 819,380,260 628,848,216
-------------- ------------ ------------ ------------
$1,055,901,481 $913,606,510 $955,231,780 $819,380,260
============== ============ ============ ============
</Table>
See Notes to Financial Statements.
27
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FLEXIBLE INCOME FUND
---------------------------------------------
GS4 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 13.00 $ 12.40 $ 13.15 $ 13.29
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.21# 0.31 0.38 0.17
Capital gain distributions received from affiliated funds 0.04 0.02 0.10 0.06
Realized and unrealized gain (loss) on investment
securities and futures transactions -- net 0.37 0.82 (0.62) (0.12)
-------- -------- -------- --------
Total from investment operations 0.62 1.15 (0.14) 0.11
-------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (5) (0.31) (0.22) (0.44) (0.22)
Distributions from capital gains (0.13) (0.33) (0.17) (0.03)
-------- -------- -------- --------
Total dividends and distributions (0.44) (0.55) (0.61) (0.25)
-------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 13.18 $ 13.00 $ 12.40 $ 13.15
======== ======== ======== ========
TOTAL RETURN (2) 4.76% 9.33% (1.10%) 0.79%
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) 0.17% 0.20% 0.17% 0.18%
Investment income -- net (1)(3) 1.60% 2.01% 2.86% 3.67%
Investment income (loss) -- excluding waivers and expense
reduction (1)(3) 1.56% 1.94% 2.82% 3.62%
Portfolio turnover rate (2) 10.98% 13.44% 13.56% 4.02%
Net Assets -- end of the period (000's) $270,913 $253,828 $263,646 $286,628
======== ======== ======== ========
</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.
See Notes to Financial Statements.
28
<Table>
<Caption>
FLEXIBLE INCOME FUND
------------------------------------------------------------
GS6 CLASS GS8 CLASS
--------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ ------------
$ 9.41 $ 9.12 $ 9.83 $ 10.00 $ 9.53
------- ------- ------- ------- ------
0.11# 0.21 0.23 0.10 0.06#
0.04 0.02 0.10 0.06 0.04
0.27 0.59 (0.45) (0.08) 0.05
------- ------- ------- ------- ------
0.42 0.82 (0.12) 0.08 0.15
------- ------- ------- ------- ------
(0.28) (0.20) (0.42) (0.22) (0.13)
(0.13) (0.33) (0.17) (0.03) (0.13)
------- ------- ------- ------- ------
(0.41) (0.53) (0.59) (0.25) (0.26)
------- ------- ------- ------- ------
$ 9.42 $ 9.41 $ 9.12 $ 9.83 $ 9.42
======= ======= ======= ======= ======
4.52% 9.06% (1.27%) 0.72% 1.56%
0.36% 0.35% 0.32% 0.48% 0.45%
0.36% 0.35% 0.32% 0.48% 0.45%
0.45% 0.46% 0.43% 66.47% 1.03%
1.14% 1.90% 2.82% 6.69% 4.43%
1.05% 1.79% 2.71% (59.30%) 3.85%
10.98% 13.44% 13.56% 4.02% 10.98%
$11,815 $19,674 $16,234 $ 325 $5,080
======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
29
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
GROWTH & INCOME FUND
---------------------------------------------------
GS4 CLASS
---------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
---------- ---------- ---------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 13.41 $ 11.82 $ 13.44 $ 13.74
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.26# 0.29 0.36 0.14
Capital gain distributions received from affiliated funds 0.11 0.15 0.12 0.06
Realized and unrealized gain (loss) on investment
securities and futures transactions -- net 0.99 1.78 (1.33) (0.27)
---------- ---------- ---------- ----------
Total from investment operations 1.36 2.22 (0.85) (0.07)
---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (5) (0.30) (0.36) (0.42) (0.19)
Distributions from capital gains (0.20) (0.27) (0.35) (0.04)
---------- ---------- ---------- ----------
Total dividends and distributions (0.50) (0.63) (0.77) (0.23)
---------- ---------- ---------- ----------
NET ASSET VALUE -- END OF PERIOD $ 14.27 $ 13.41 $ 11.82 $ 13.44
========== ========== ========== ==========
TOTAL RETURN (2) 10.13% 18.79% (6.37%) (0.47%)
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% 0.13% 0.13% 0.17%
Investment income -- net (1)(3) 1.90% 2.22% 2.68% 2.87%
Investment income (loss) -- excluding waivers and expense
reduction (1)(3) 1.90% 2.22% 2.68% 2.83%
Portfolio turnover rate (2) 6.12% 10.38% 12.04% 4.27%
Net Assets -- end of the period (000's) $1,283,982 $1,120,080 $1,019,700 $1,156,044
========== ========== ========== ==========
</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.
See Notes to Financial Statements.
30
<Table>
<Caption>
GROWTH & INCOME FUND
------------------------------------------------------------
GS6 CLASS GS8 CLASS
--------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ ------------
$ 9.28 $ 8.34 $ 9.72 $10.00 $ 9.74
------- ------- ------- ------ ------
0.12# 0.16 0.21 0.07 0.07#
0.11 0.15 0.12 0.06 0.11
0.66 1.23 (0.96) (0.18) 0.16
------- ------- ------- ------ ------
0.89 1.54 (0.63) (0.05) 0.34
------- ------- ------- ------ ------
(0.26) (0.33) (0.40) (0.19) (0.16)
(0.20) (0.27) (0.35) (0.04) (0.20)
------- ------- ------- ------ ------
(0.46) (0.60) (0.75) (0.23) (0.36)
------- ------- ------- ------ ------
$ 9.71 $ 9.28 $ 8.34 $ 9.72 $ 9.72
======= ======= ======= ====== ======
9.66% 18.52% (6.59%) (0.52%) 3.50%
0.46% 0.45% 0.37% 0.48% 0.61%
0.46% 0.45% 0.37% 0.48% 0.61%
0.52% 0.54% 0.45% 6.53% 1.13%
1.28% 2.00% 2.64% 4.44% 4.84%
1.22% 1.91% 2.56% (1.61%) 4.32%
6.12% 10.38% 12.04% 4.27% 6.12%
$13,118 $22,650 $17,009 $1,334 $5,174
======= ======= ======= ====== ======
</Table>
See Notes to Financial Statements.
31
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND
-----------------------------------------------
GS4 CLASS
-----------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
---------- -------- -------- ------------
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) 0.19# 0.19 0.22 0.08
Capital gain distributions received from affiliated funds 0.08 0.07 0.06 0.03
Realized and unrealized gain (loss) on investment
securities and futures transactions -- net 1.47 2.56 (2.05) (0.34)
---------- -------- -------- --------
Total from investment operations 1.74 2.82 (1.77) (0.23)
---------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (5) (0.21) (0.23) (0.24) (0.11)
Distributions from capital gains (0.12) (0.14) (0.19) --(+)
---------- -------- -------- --------
Total dividends and distributions (0.33) (0.37) (0.43) (0.11)
---------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 15.03 $ 13.62 $ 11.17 $ 13.37
========== ======== ======== ========
TOTAL RETURN (2) 12.80% 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) 1.33% 1.54% 1.72% 1.76%
Investment income (loss) -- excluding waivers and expense
reduction (1)(3) 1.33% 1.53% 1.71% 1.72%
Portfolio turnover rate (2) 3.47% 7.75% 10.33% 3.42%
Net Assets -- end of the period (000's) $1,043,625 $900,021 $745,968 $883,648
========== ======== ======== ========
</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.
(+) Amount represents less than $0.01 per share.
See Notes to Financial Statements.
32
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND
------------------------------------------------------------
GS6 CLASS GS8 CLASS
--------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ ------------
$ 9.67 $ 8.01 $ 9.73 $ 10.00 $10.31
------ ------- ------- ------- ------
0.07# 0.11 0.12 0.03 0.04#
0.08 0.07 0.06 0.03 0.08
1.03 1.82 (1.50) (0.22) 0.35
------ ------- ------- ------- ------
1.18 2.00 (1.32) (0.16) 0.47
------ ------- ------- ------- ------
(0.16) (0.20) (0.21) (0.11) (0.10)
(0.12) (0.14) (0.19) --(+) (0.12)
------ ------- ------- ------- ------
(0.28) (0.34) (0.40) (0.11) (0.22)
------ ------- ------- ------- ------
$10.57 $ 9.67 $ 8.01 $ 9.73 $10.56
====== ======= ======= ======= ======
12.28% 24.93% (13.56%) (1.64%) 4.63%
0.56% 0.52% 0.42% 0.48% 1.00%
0.56% 0.52% 0.42% 0.48% 1.00%
0.61% 0.62% 0.55% 43.03% 1.06%
0.66% 1.20% 1.54% 3.87% 2.93%
0.61% 1.10% 1.41% (38.68%) 2.87%
3.47% 7.75% 10.33% 3.42% 3.47%
$7,042 $13,585 $ 9,859 $ 331 $5,234
====== ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
33
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
GLOBAL EQUITY FUND
---------------------------------------------
GS4 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 13.64 $ 10.40 $ 13.14 $ 13.57
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (1) 0.11# 0.10 0.08 0.03
Capital gain distributions received from affiliated funds 0.04 -- --(+) --
Realized and unrealized gain (loss) on investment
securities and futures transactions -- net 1.96 3.23 (2.71) (0.43)
-------- -------- -------- --------
Total from investment operations 2.11 3.33 (2.63) (0.40)
-------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (5) (0.12) (0.09) (0.08) (0.03)
Distributions from capital gains (0.08) -- (0.03) --(+)
-------- -------- -------- --------
Total dividends and distributions (0.20) (0.09) (0.11) (0.03)
-------- -------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 15.55 $ 13.64 $ 10.40 $ 13.14
======== ======== ======== ========
TOTAL RETURN (2) 15.47% 31.99% (20.04%) (2.96%)
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) 0.77% 0.82% 0.68% 0.61%
Investment income (loss) -- excluding waivers and expense
reduction (1)(3) 0.77% 0.81% 0.67% 0.57%
Portfolio turnover rate (2) 2.37% 4.17% 6.33% 2.70%
Net Assets -- end of the period (000's) $936,734 $801,407 $616,043 $810,507
======== ======== ======== ========
</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.
(+) Amount represents less than $0.01 per share.
See Notes to Financial Statements.
34
<Table>
<Caption>
GLOBAL EQUITY FUND
------------------------------------------------------------
GS6 CLASS GS8 CLASS
--------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ ------------
$ 10.00 $ 7.65 $ 9.70 $ 10.00 $10.83
------- ------- ------- ------- ------
0.04# 0.05 0.04 0.02 0.03#
0.04 -- --(+) -- 0.04
1.43 2.36 (2.00) (0.29) 0.57
------- ------- ------- ------- ------
1.51 2.41 (1.96) (0.27) 0.64
------- ------- ------- ------- ------
(0.08) (0.06) (0.06) (0.03) (0.04)
(0.08) -- (0.03) --(+) (0.08)
------- ------- ------- ------- ------
(0.16) (0.06) (0.09) (0.03) (0.12)
------- ------- ------- ------- ------
$ 11.35 $ 10.00 $ 7.65 $ 9.70 $11.35
======= ======= ======= ======= ======
15.17% 31.53% (20.25%) (2.75%) 5.94%
0.44% 0.43% 0.35% 0.48% 0.87%
0.44% 0.43% 0.35% 0.48% 0.87%
0.50% 0.48% 0.44% 66.34% 1.04%
0.37% 0.53% 0.53% 1.57% 1.64%
0.31% 0.48% 0.44% (64.29%) 1.47%
2.37% 4.17% 6.33% 2.70% 2.37%
$13,202 $17,973 $12,805 $ 207 $5,296
======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
35
FLEXIBLE INCOME FUND I
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 19%
U.S. Equity, 7% non-U.S. equity and 74% fixed income. The fund's composite
benchmark performance for the quarter was 2.79%.
The fund posted a positive return for the quarter which can be attributed to the
smaller allocations to the Equity Select Funds as a result of gains in the
equity markets. The fund outperformed its composite benchmark for the quarter
which can be attributed to the Low-Duration Bond Fund and the Growth Equity Fund
outperforming their respective benchmarks.
36
FLEXIBLE INCOME FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 4.77% 4.12%
Since Inception 6.16% 6.09%
Inception Date 07/01/03 07/01/03
</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>
GS2 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
Jul 2004 10521 10518
Aug 2004 10572 10586
Sep 2004 10633 10630
Oct 2004 10704 10710
Nov 2004 10831 10809
Dec 2004 10939 10927
</Table>
The graph compares the results of a $10,000 investment in the GS2 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
37
FLEXIBLE INCOME FUND I
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- --------- -----------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 41,669 $ 407,524
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 235,015 2,418,301
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 163,047 2,108,203
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 2,435,983 22,703,364
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 410,574 410,574
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 37,780 472,627
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 229,553 2,626,086
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $30,480,521) 31,146,679
-----------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 1.3%
U.S. Treasury Bill 2.14%,
03/24/05++++ $ 20,000 19,904
U.S. Treasury Note
2.88%, 11/30/06 380,000 378,932
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $399,041) 398,836
-----------
TOTAL INVESTMENTS -- 100.3%
(Cost $30,879,562) 31,545,515
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.3%) (98,040)
-----------
NET ASSETS -- 100.0% $31,447,475
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 72.2%
Domestic Equity Funds 18.8%
Futures Contracts 0.4%
International Equity Funds 6.7%
Money Market Funds 1.3%
U.S. Treasury Obligations 1.3%
------
100.7%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Statements.
38
GROWTH & INCOME FUND I
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 37%
U.S. Equity, 14% non-U.S. equity and 49% fixed income. The fund's composite
benchmark performance for the quarter was 6.15%.
The fund posted a positive return for the quarter. The positive returns can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. Allocations to the
Low-Duration Bond Fund, Medium-Duration Bond Fund and the Extended-Duration Bond
Fund also attributed to the positive returns reflecting the gains in bond
markets for the quarter. The fund outperformed its composite benchmark for the
quarter. The outperformance of the composite benchmark can be attributed to the
Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund,
and the Growth Equity Fund outperforming their respective benchmarks.
39
GROWTH & INCOME FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 10.26% 9.28%
Since Inception 12.98% 12.61%
Inception Date 07/01/03 07/01/03
</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>
GS2 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
Jul 2004 11027 11000
Aug 2004 11140 11133
Sep 2004 11304 11258
Oct 2004 11447 11424
Nov 2004 11737 11678
Dec 2004 12011 11951
</Table>
The graph compares the results of a $10,000 investment in the GS2 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
40
GROWTH & INCOME FUND I
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 98.8%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 299,316 $ 2,927,306
AB Funds Trust -- Extended-Duration
Bond Fund (GS2 Class)(inf) 1,352,065 12,033,377
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 1,806,787 18,591,833
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 1,334,118 17,250,140
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 1,873,364 17,459,752
AB Funds Trust -- Medium-Duration Bond
Fund (GS2 Class)(inf) 3,098,192 28,069,616
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 1,907,478 1,907,478
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 289,293 3,619,061
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 1,648,553 18,859,445
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $112,635,989) 120,718,008
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.2%
U.S. Treasury Bill
2.14%, 03/24/05++++ $ 105,000 104,498
U.S. Treasury Bond
6.50%, 02/15/10 1,175,000 1,330,642
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,442,967) 1,435,140
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $114,078,956) 122,153,148
OTHER ASSETS LESS
LIABILITIES -- 0.0% 12,756
------------
NET ASSETS -- 100.0% $122,165,904
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 47.1%
Domestic Equity Funds 36.0%
Futures Contracts 1.1%
International Equity Funds 14.1%
Money Market Funds 1.6%
U.S. Treasury Obligations 1.2%
------
101.1%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
41
CAPITAL OPPORTUNITIES FUND I
Utilizing investments in the underlying Select Funds, the fund's actual
allocation to the major asset classes at the end of the fourth quarter were 56%
U.S. Equity, 19% non-U.S. equity and 25% fixed income. The fund's composite
benchmark performance for the quarter was 8.78%.
The fund posted a positive return for the quarter. The positive return can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. Allocations to the
Low-Duration Bond Fund, Medium-Duration Bond Fund and the Extended-Duration Bond
Fund also attributed to the positive returns reflecting gains in bond markets
for the quarter. The fund underperformed its composite benchmark for the
quarter. The underperformance of the composite benchmark can be attributed to
the Equity Index Fund, Value Equity Fund, International Equity Fund and the
Small Cap Equity Fund underperforming their respective benchmarks.
42
CAPITAL OPPORTUNITIES FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 12.88% 11.71%
Since Inception 17.61% 17.55%
Inception Date 07/01/03 07/01/03
</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>
GS2 CLASS BENCHMARK INDEX**
--------- -----------------
Jul 1 2003 10000 10000
Jul 2003 10060 10095
Aug 2003 10280 10294
Sep 2003 10290 10353
Oct 2003 10740 10808
Nov 2003 10850 10942
Dec 2003 11302 11409
Jan 2004 11475 11599
Feb 2004 11648 11774
Mar 2004 11638 11730
Apr 2004 11404 11447
May 2004 11506 11534
Jun 2004 11720 11725
Jul 2004 11435 11441
Aug 2004 11516 11539
Sep 2004 11730 11716
Oct 2004 11903 11926
Nov 2004 12381 12369
Dec 2004 12758 12745
</Table>
The graph compares the results of a $10,000 investment in the GS2 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
43
CAPITAL OPPORTUNITIES FUND I
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- --------- -----------
AFFILIATED MUTUAL FUNDS -- 99.4%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 262,596 $ 2,568,188
AB Funds Trust -- Extended-Duration
Bond Fund (GS2 Class)(inf) 389,392 3,465,588
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 1,587,048 16,330,729
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 1,078,896 13,950,123
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 527,380 4,915,179
AB Funds Trust -- Medium-Duration Bond
Fund (GS2 Class)(inf) 874,182 7,920,087
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 1,323,051 1,323,051
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 246,175 3,079,655
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 1,453,862 16,632,178
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $59,511,891) 70,184,778
-----------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bill
2.14%, 03/24/05++++ $ 80,000 79,618
U.S. Treasury Bond
6.50%, 02/15/10 285,000 322,751
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $401,888) 402,369
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $59,913,779) 70,587,147
OTHER ASSETS LESS
LIABILITIES -- 0.0% 20,494
-----------
NET ASSETS -- 100.0% $70,607,641
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 23.1%
Domestic Equity Funds 54.7%
Futures Contracts 1.5%
International Equity Funds 19.7%
Money Market Funds 1.9%
U.S. Treasury Obligations 0.6%
------
101.5%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
44
GLOBAL EQUITY FUND I
Utilizing investments in the underlying Select Funds, the fund's actual
allocations to the major asset classes at the end of the fourth quarter were 74%
U.S. equity, 25% non-U.S. equity and 1% fixed income. The fund's composite
benchmark performance for the quarter was 11.45%.
The fund posted a positive return for the quarter. The positive returns can be
attributed to allocations to the Equity Index Fund, Value Equity Fund, Growth
Equity Fund, International Equity Fund and the Small Cap Equity Fund which
benefited from gains in domestic and international stocks. The fund
underperformed its composite benchmark for the quarter. The underperformance of
the composite benchmark can be attributed to the Equity Index Fund, Value Equity
Fund, International Equity Fund and the Small Cap Equity Fund underperforming
their respective benchmarks.
45
GLOBAL EQUITY FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One year 15.48% 14.14%
Since Inception 22.31% 22.61%
Inception Date 07/01/03 07/01/03
</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>
GS2 CLASS BENCHMARK INDEX**
--------- -----------------
Jul 1 2003 10000 10000
Jul 2003 10200 10238
Aug 2003 10460 10484
Sep 2003 10380 10472
Oct 2003 11010 11116
Nov 2003 11130 11291
Dec 2003 11716 11894
Jan 2004 11927 12128
Feb 2004 12109 12327
Mar 2004 12079 12235
Apr 2004 11857 11948
May 2004 12008 12085
Jun 2004 12280 12329
Jul 2004 11857 11889
Aug 2004 11897 11949
Sep 2004 12169 12182
Oct 2004 12371 12438
Nov 2004 13060 13087
Dec 2004 13529 13576
</Table>
The graph compares the results of a $10,000 investment in the GS2 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 MSCI ACWI(R) (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 MSCI ACWI(R) (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.
46
GLOBAL EQUITY FUND I
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ------- -----------
AFFILIATED MUTUAL FUNDS -- 99.8%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 160,801 $ 1,572,634
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 997,486 10,264,134
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 664,381 8,590,441
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 818,533 818,533
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 155,246 1,942,127
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 898,674 10,280,833
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $26,546,014) 33,468,702
-----------
</Table>
<Table>
<Caption>
PAR
-------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
2.14%, 03/24/05++++
(Cost $74,634) $75,000 74,642
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $26,620,648) 33,543,344
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0% (203)
-----------
NET ASSETS -- 100.0% $33,543,141
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Domestic Equity Funds 71.7%
Futures Contracts 2.0%
International Equity Funds 25.6%
Money Market Funds 2.5%
U.S. Treasury Obligations 0.2%
-------
102.0%
=======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
47
STATEMENTS OF ASSETS AND LIABILITIES
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
DECEMBER 31, 2004 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- ----------------- ------------- ------------- -------------------- -------------
ASSETS
Investments in securities of affiliated issuers
at value $31,146,679 $120,718,008 $70,184,778 $33,468,702
Investments in securities of unaffiliated
issuers at value 398,836 1,435,140 402,369 74,642
----------- ------------ ----------- -----------
Total investments(1) 31,545,515 122,153,148 70,587,147 33,543,344
Receivables:
Dividends 455 2,723 1,782 907
Interest 960 28,848 6,997 --
Fund shares sold -- -- 17,946 --
Receivable from advisor 11,523 3,827 7,852 10,697
Prepaid expenses and other assets 5,839 5,838 5,838 5,838
----------- ------------ ----------- -----------
Total Assets 31,564,292 122,194,384 70,627,562 33,560,786
----------- ------------ ----------- -----------
LIABILITIES
Cash overdraft 100,134 -- -- --
Payables:
Fund shares redeemed -- 3,000 -- --
Variation margin 100 1,100 780 550
Accrued expenses:
Other accrued expenses payable 16,583 24,380 19,141 17,095
----------- ------------ ----------- -----------
Total Liabilities 116,817 28,480 19,921 17,645
----------- ------------ ----------- -----------
NET ASSETS $31,447,475 $122,165,904 $70,607,641 $33,543,141
=========== ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in-capital $30,609,378 $112,769,866 $59,324,279 $26,372,574
Undistributed net investment income (loss) (147) (89) 252 27
Accumulated net realized gain on investments 170,513 1,296,519 597,529 246,309
Net unrealized appreciation (depreciation) on
investments and futures transactions 667,731 8,099,608 10,685,581 6,924,231
----------- ------------ ----------- -----------
NET ASSETS $31,447,475 $122,165,904 $70,607,641 $33,543,141
=========== ============ =========== ===========
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class $31,447,475 $122,165,904 $70,607,641 $33,543,141
----------- ------------ ----------- -----------
GS2 shares outstanding 3,049,084 10,877,708 5,801,314 2,548,329
----------- ------------ ----------- -----------
Net asset value, offering price and redemption
price per GS2 share $ 10.31 $ 11.23 $ 12.17 $ 13.16
=========== ============ =========== ===========
- ---------------
(1) Investments in securities of affiliated
issuers at cost $30,480,521 $112,635,989 $59,511,891 $26,546,014
Investments in securities of unaffiliated
issuers at cost 399,041 1,442,967 401,888 74,634
----------- ------------ ----------- -----------
Total investments at cost $30,879,562 $114,078,956 $59,913,779 $26,620,648
=========== ============ =========== ===========
</Table>
See Notes to Financial Statements.
48
STATEMENTS OF OPERATIONS
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE YEAR ENDED DECEMBER 31, 2004 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- ------------------------------------ ------------- ------------- -------------------- -------------
INVESTMENT INCOME
Income distributions received from affiliated
funds $ 761,211 $ 3,453,222 $1,424,983 $ 415,673
Interest 7,708 34,955 10,135 870
---------- ----------- ---------- ----------
Total Investment Income 768,919 3,488,177 1,435,118 416,543
---------- ----------- ---------- ----------
EXPENSES
Investment advisory fees 30,078 109,669 63,691 29,166
Transfer agent fees 7,604 14,866 14,831 7,623
Custodian fees 7,708 10,767 10,126 8,974
Accounting and administration fees 11,086 34,549 20,859 10,614
Professional fees 42,848 41,848 41,848 42,848
Registration fees 1,320 6,976 2,647 1,243
Shareholder reporting fees 863 1,185 1,027 1,035
Trustee fees 157 569 327 150
Line of credit facility fees 163 577 337 154
Other expenses 14,175 14,173 14,171 14,173
---------- ----------- ---------- ----------
Total Expenses 116,002 235,179 169,864 115,980
Expenses waived and reimbursed (See Footnote 3c) (65,442) (52,113) (63,820) (67,507)
Fees paid indirectly (163) (129) (181) (163)
---------- ----------- ---------- ----------
Net expenses 50,397 182,937 105,863 48,310
---------- ----------- ---------- ----------
NET INVESTMENT INCOME 718,522 3,305,240 1,329,255 368,233
---------- ----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital gain distributions received from
affiliated funds 142,822 1,351,920 499,174 108,867
Net realized gain on investment securities of
affiliated issuers 283,228 749,639 411,810 348,159
Net realized gain (loss) on investment
securities of unaffiliated issuers (5,288) (3,497) 2,627 --
Net realized gain on futures transactions 13,846 71,904 84,856 23,358
---------- ----------- ---------- ----------
Net realized gain 434,608 2,169,966 998,467 480,384
---------- ----------- ---------- ----------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated issuers 266,393 4,860,573 5,551,579 3,507,910
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated issuers (563) (9,104) (324) 6
Change in net unrealized appreciation
(depreciation) on futures transactions (1,954) 7,335 (17,019) (12,656)
---------- ----------- ---------- ----------
Net change in unrealized appreciation
(depreciation) 263,876 4,858,804 5,534,236 3,495,260
---------- ----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN 698,484 7,028,770 6,532,703 3,975,644
---------- ----------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $1,417,006 $10,334,010 $7,861,958 $4,343,877
========== =========== ========== ==========
</Table>
See Notes to Financial Statements.
49
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND I GROWTH & INCOME FUND I
----------------------------- -----------------------------
FOR THE YEAR FOR THE PERIOD FOR THE YEAR FOR THE PERIOD
ENDED 07/01/03* TO ENDED 07/01/03* TO
12/31/04 12/31/03 12/31/04 12/31/03
------------ -------------- ------------ --------------
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 718,522 $ 508,142 $ 3,305,240 $ 1,408,910
Net realized gain on investment securities and futures
transactions 434,608 301,451 2,169,966 1,189,355
Net change in unrealized appreciation (depreciation) on
investment securities and futures transactions 263,876 403,855 4,858,804 3,240,804
----------- ----------- ------------ -----------
Net increase in net assets resulting from operations 1,417,006 1,213,448 10,334,010 5,839,069
----------- ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME (1,043,136) (334,618) (3,800,931) (1,741,769)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS (396,033) (22,765) (1,176,513) (62,749)
----------- ----------- ------------ -----------
Total dividends and distributions (1,439,169) (357,383) (4,977,444) (1,804,518)
----------- ----------- ------------ -----------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS 2,834,085 27,779,488 44,826,904 67,947,883
----------- ----------- ------------ -----------
Total increase in net assets 2,811,922 28,635,553 50,183,470 71,982,434
----------- ----------- ------------ -----------
NET ASSETS:
Beginning of the Period 28,635,553 -- 71,982,434 --
----------- ----------- ------------ -----------
End of the Period $31,447,475 $28,635,553 $122,165,904 $71,982,434
=========== =========== ============ ===========
</Table>
- ---------------
* Commencement of operations.
See Notes to Financial Statements.
50
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I
------------------------------ -----------------------------
FOR THE YEAR FOR THE PERIOD FOR THE YEAR FOR THE PERIOD
ENDED 07/01/03* TO ENDED 07/01/03* TO
12/31/04 12/31/03 12/31/04 12/31/03
------------- -------------- ------------ --------------
$ 1,329,255 $ 769,770 $ 368,233 $ 192,616
998,467 534,802 480,384 46,618
5,534,236 5,151,345 3,495,260 3,428,971
----------- ----------- ----------- -----------
7,861,958 6,455,917 4,343,877 3,668,205
----------- ----------- ----------- -----------
(1,473,261) (900,689) (372,357) (192,660)
(589,198) (76,286) (264,035) (16,658)
----------- ----------- ----------- -----------
(2,062,459) (976,975) (636,392) (209,318)
----------- ----------- ----------- -----------
7,319,624 52,009,576 4,157,617 22,219,152
----------- ----------- ----------- -----------
13,119,123 57,488,518 7,865,102 25,678,039
----------- ----------- ----------- -----------
57,488,518 -- 25,678,039 --
----------- ----------- ----------- -----------
$70,607,641 $57,488,518 $33,543,141 $25,678,039
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
51
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FLEXIBLE INCOME FUND I
-----------------------
GS2 CLASS
-----------------------
FOR THE FOR THE
YEAR PERIOD
ENDED 07/01/03* TO
12/31/04 12/31/03
-------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.31 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income(1) 0.25 0.18
Capital gain distributions received from affiliated funds 0.05 0.10
Realized and unrealized gain (loss) on investment
securities and futures transactions -- net 0.19 0.16
------- -------
Total from investment operations 0.49 0.44
------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income(5) (0.36) (0.12)
Distributions from capital gains (0.13) (0.01)
------- -------
Total dividends and distributions (0.49) (0.13)
------- -------
NET ASSET VALUE -- END OF PERIOD $ 10.31 $ 10.31
======= =======
TOTAL RETURN(2) 4.77% 4.40%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets of:
Expenses -- net(3)(4) 0.17% 0.17%
Expenses -- including expense reduction(3)(4) 0.17% 0.17%
Expenses -- before waivers and expense reductions(3)(4) 0.39% 0.51%
Investment income -- net(1)(3) 2.42% 4.16%
Investment income -- excluding waivers and expense
reduction(1)(3) 2.20% 3.82%
Portfolio turnover rate(2) 22.67% 8.01%
Net Assets -- end of the period (000's) $31,447 $28,636
======= =======
</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.
See Notes to Financial Statements.
52
<Table>
<Caption>
GROWTH & INCOME FUND I CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I
----------------------- ----------------------------- -----------------------
GS2 CLASS
---------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR PERIOD YEAR PERIOD YEAR PERIOD
ENDED 07/01/03* TO ENDED 07/01/03* TO ENDED 07/01/03* TO
12/31/04 12/31/03 12/31/04 12/31/03 12/31/04 12/31/03
-------- ------------ ----------- --------------- -------- ------------
$ 10.62 $ 10.00 $ 11.11 $ 10.00 $ 11.62 $ 10.00
-------- ------- ------- ------- ------- -------
0.34# 0.21 0.24 0.15 0.15 0.09
0.14 0.17 0.09 0.09 0.05 --
0.60 0.51 1.09 1.07 1.60 1.63
-------- ------- ------- ------- ------- -------
1.08 0.89 1.42 1.31 1.80 1.72
-------- ------- ------- ------- ------- -------
(0.36) (0.26) (0.26) (0.18) (0.15) (0.09)
(0.11) (0.01) (0.10) (0.02) (0.11) (0.01)
-------- ------- ------- ------- ------- -------
(0.47) (0.27) (0.36) (0.20) (0.26) (0.10)
-------- ------- ------- ------- ------- -------
$ 11.23 $ 10.62 $ 12.17 $ 11.11 $ 13.16 $ 11.62
======== ======= ======= ======= ======= =======
10.26% 8.94% 12.88% 13.02% 15.48% 17.16%
0.17% 0.17% 0.17% 0.17% 0.17% 0.17%
0.17% 0.17% 0.17% 0.17% 0.17% 0.17%
0.22% 0.28% 0.27% 0.31% 0.41% 0.50%
3.07% 4.76% 2.13% 3.24% 1.29% 1.69%
3.02% 4.65% 2.03% 3.10% 1.05% 1.36%
10.47% 4.51% 7.45% 2.95% 6.93% 0.89%
$122,166 $71,982 $70,608 $57,489 $33,543 $25,678
======== ======= ======= ======= ======= =======
</Table>
See Notes to Financial Statements.
53
MONEY MARKET FUND
Entering the fourth quarter, the stage for the bond market had been set. The
overwhelming expectation was for the Federal Reserve to continue to tighten, or
raise the Fed Funds rate, during the final quarter of the year. Additionally,
many pundits projected the Treasury yield curve to flatten given the expectation
of short-term rates to elevate (more than long-term rates) in response to the
Federal Reserve action. These prevailing forecasts were based on several
factors. Most notably, the Federal Reserve had reversed its course of extreme
accommodative monetary policy whereby the Fed Funds rate had fallen to an over
four-decade low of 1.00% by mid-year. Between June 30th and the end of the third
quarter, the Fed had raised the target rate by .75% to 1.75%. Even at this
level, short-term rates on a real basis (defined as nominal Fed Funds rate less
the inflation rate) were well below historical norms and would provide little,
if any, headwind for inflation. More importantly, the Federal Reserve had
explicitly communicated that its accommodative policy could be removed on a
measured basis as long as economic reports continued to indicate modest economic
growth. Other factors influencing short-term rates were a depreciating U.S.
dollar and a continuation of both productivity and economic growth. As the
fourth quarter came to an end, these forecasts had come to fruition. In the
midst of strong economic activity, the Federal Reserve raised the Fed Funds rate
by .25% during both of its regularly scheduled Federal Open Market ("FOMC")
meetings. Such action raised the short-term borrowing rate from 1.75% at the
beginning of the quarter to 2.25% by quarter end. The quarter marked the fifth
consecutive increase in the Fed Funds rate. The Fed, in its efforts to be
transparent and prepare the market for future increases, stated that they
believed monetary policy at current levels remained accommodative and that the
"policy accommodation could be removed at a pace that would likely be measured".
Such a statement put the market on notice that future rate increases were most
likely imminent as investors entered a new calendar year. Resulting from the
Federal Reserve's tightening efforts, short-term Treasury yields, as measured by
the 3-month and 6-month Treasury-bill, increased by 0.51% and 0.59%,
respectively. Such increases, which were the most pronounced, contributed to the
yield-curve flattening during the period. Although short-term yields still
remained at historically low levels, investors in money market instruments did
experience an increase in returns during the quarter, benefiting from the
aforementioned rise in short-term rates.
The fund is comprised of a broad range of high-quality, short-term money market
instruments and utilizes a disciplined approach for the purpose of maintaining a
constant $1.00 net asset value(1). In anticipation that the Federal Reserve
would raise rates at both of its regularly scheduled meetings during the
quarter, available monies were largely invested in commercial paper and
certificates of deposit maturing at or prior to the nearest FOMC meetings with
the expectation of subsequently reinvesting proceeds from these investments in
higher yielding securities. Additionally, certain investments in commercial
paper and agency obligations were purchased further out the curve on an
opportunistic basis. Resulting from this strategy, the fund's average weighted
maturity at quarter end was shortened to 33 days, compared to 43 days at the end
of the third quarter. Regarding maturity distribution, the majority of the
holdings within the fund had maturities ranging between 15-60 days. Noteworthy
shifts in sector exposure during the period included an increase in commercial
paper given their attractive yields and a decrease in agency obligations. Major
categories of holdings at period end included commercial paper, floating rate
corporate/bank notes and certificates of deposits/time deposits. During the
quarter, the fund performed as expected relative to its benchmark index, the
Citigroup 3-month T-bill Index. Responding to the rise in short-term rates, the
GS4 Class 7-day annualized yield was 1.83% at quarter end, compared to 1.23% as
of September 30, 2004.
- ---------------
(1) 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. The current yield more
closely reflects the current earnings of the fund than total return.
54
MONEY MARKET FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 1.19% 0.99% 0.73% 1.24% N/A N/A
Since Inception 1.40% 1.31% 1.04% 1.50% 0.14% 0.26%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
7-DAY AVERAGE YIELD AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* GS8 CLASS*
---------- ---------- ---------- ----------
2.02% 1.83% 1.57% 1.12%
</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>
GS4 CLASS CITIGROUP 3-MONTH INDEX**
--------- -------------------------
Aug 27 2001 10000 10000
Aug 2001 10008 10008
Sep 2001 10033 10036
Oct 2001 10057 10063
Nov 2001 10079 10084
Dec 2001 10094 10102
Jan 2002 10108 10117
Feb 2002 10122 10131
Mar 2002 10138 10146
Apr 2002 10153 10161
May 2002 10167 10176
Jun 2002 10180 10190
Jul 2002 10194 10205
Aug 2002 10207 10220
Sep 2002 10220 10234
Oct 2002 10232 10248
Nov 2002 10243 10261
Dec 2002 10255 10274
Jan 2003 10265 10285
Feb 2003 10273 10294
Mar 2003 10282 10305
Apr 2003 10290 10315
May 2003 10298 10325
Jun 2003 10306 10334
Jul 2003 10312 10343
Aug 2003 10318 10352
Sep 2003 10324 10359
Oct 2003 10330 10368
Nov 2003 10336 10376
Dec 2003 10342 10384
Jan 2004 10348 10392
Feb 2004 10354 10400
Mar 2004 10360 10408
Apr 2004 10366 10416
May 2004 10372 10424
Jun 2004 10378 10433
Jul 2004 10386 10433
Aug 2004 10395 10454
Sep 2004 10405 10467
Oct 2004 10417 10481
Nov 2004 10430 10496
Dec 2004 10445 10513
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
55
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.
56
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 PAR VALUE
- ----------------- ----------- ------------
AGENCY OBLIGATIONS -- 3.5%
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
1.29%, 03/23/05 9,000,000 9,000,000
Federal National Mortgage
Association
2.44%, 03/23/05 5,000,000 4,972,550
------------
TOTAL AGENCY OBLIGATIONS
(Cost $31,972,550) 31,972,550
------------
CERTIFICATES OF DEPOSIT -- 15.2%
Bank of New York
2.34%, 01/20/05++ 1,065,000 1,064,959
Barclays Bank PLC NY
2.28%, 02/01/05 11,500,000 11,500,000
Citibank NA
2.20%, 02/08/05 18,890,000 18,890,000
DEPFA Bank PLC
2.49%, 11/01/05 8,700,000 8,700,000
Eurohypo AG NY
2.34%, 02/02/05 10,000,000 10,000,000
Natexis Banques Populaires NY
2.32%, 02/02/05 10,000,000 10,000,000
Societe Generale NY
1.44%, 05/09/05 10,000,000 9,999,475
Svenska Handelsbanken NY
2.28%, 02/02/05 7,000,000 7,000,000
Swedbank Securities, Inc.
1.44%, 03/01/05 17,000,000 16,999,589
Washington Mutual Bank FA
2.33%, 02/02/05 44,000,000 44,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $138,154,023) 138,154,023
------------
COMMERCIAL PAPER -- 58.4%
Amstel Funding Corporation
2.45%, 03/21/05 6,950,000 6,912,634
Banco Santander Puerto Rico
2.33%, 01/14/05 44,000,000 43,962,979
Blue Ridge Asset Funding
Corporation
2.28%, 02/02/05 31,000,000 30,937,174
Check Point Charlie, Inc.
2.33%, 01/18/05 7,150,000 7,142,133
2.33%, 01/20/05 16,000,000 15,980,324
Citigroup Global Markets
Holdings, Inc.
2.31%, 01/26/05 20,000,000 19,967,917
Crown Point Capital Co. LLC
2.22%, 02/04/05 144A 22,330,000 22,283,181
Delaware Funding Co. LLC
2.30%, 02/01/05 8,000,000 7,984,156
Dorada Corporation
1.99%, 01/05/05 144A 2,845,000 2,844,371
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
General Electric Capital
Corporation
2.32%, 01/31/05 $32,000,000 $ 31,938,133
General Electric Capital
Services, Inc.
2.29%, 01/24/05 10,900,000 10,884,053
Goldman Sachs Group, Inc.
2.33%, 01/27/05 44,000,000 43,925,957
HBOS Treasury Services PLC
2.32%, 01/20/05 41,000,000 40,949,798
ING (US) Funding LLC
2.31%, 01/21/05 31,000,000 30,960,216
2.27%, 02/02/05 12,000,000 11,975,787
Irish Life & Permanent PLC
2.45%, 03/23/05 10,000,000 9,944,875
Liberty Street Funding
Corporation
2.34%, 01/18/05 4,612,000 4,606,904
2.32%, 01/21/05 5,000,000 4,993,555
Lockhart Funding LLC
2.34%, 01/27/05 8,800,000 8,785,128
2.24%, 02/03/05 15,000,000 14,969,200
National Rural Utilities
Cooperative Finance
Corporation
2.32%, 01/18/05 43,000,000 42,952,891
Silver Tower U.S. Funding LLC
2.00%, 01/12/05 10,000,000 9,993,889
Swedbank
2.32%, 01/26/05 28,000,000 27,954,889
Thames Asset Global
Securitization
2.35%, 01/24/05 44,000,000 43,933,940
Victory Receivables
Corporation
2.35%, 01/25/05 8,000,000 7,987,467
2.36%, 01/25/05 11,710,000 11,691,576
Yorktown Capital LLC
2.36%, 01/20/05 14,000,000 13,982,562
------------
TOTAL COMMERCIAL PAPER
(Cost $530,445,689) 530,445,689
------------
MASTER NOTES -- 5.2%
Merrill Lynch Mortgage
Capital, Inc.
2.48%, 01/03/05++ 10,565,000 10,565,000
Morgan Stanley Mortgage
Capital
2.48%, 01/03/05++ 37,000,000 37,000,000
------------
TOTAL MASTER NOTES
(Cost $47,565,000) 47,565,000
------------
VARIABLE RATE OBLIGATIONS -- 17.8%
American Express Centurion
Bank
2.36%, 01/20/05++ 25,000,000 25,000,000
Bank of America NA
2.30%, 01/03/05++ 30,000,000 30,000,000
</Table>
See Notes to Financial Statements.
57
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- ------------
Bear Stearns Cos., Inc. (The)
2.43%, 01/28/05++ $10,000,000 $ 10,000,000
2.66%, 03/21/05++ 18,120,000 18,135,244
General Electric Capital
Corporation
2.30%, 02/03/05++ 1,500,000 1,500,182
John Hancock Global
Funding II
2.69%, 03/30/05 144A++ 17,000,000 17,008,255
Merrill Lynch and Co., Inc.
2.37%, 01/13/05++ 4,000,000 4,000,501
2.24%, 02/17/05++ 2,900,000 2,899,995
Metropolitan Life Global
Funding I
2.15%, 01/10/05 144A++ 25,000,000 25,010,529
2.46%, 01/31/05 144A++ 10,000,000 10,000,000
Racers Trust
2.41%, 01/24/05 144A++ 8,600,000 8,600,000
Shipley Group LP
2.54%, 01/06/05++ 1,500,000 1,500,000
Westpac Banking Corporation
2.45%, 03/11/05++ 8,250,000 8,250,000
------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $161,904,706) $161,904,706
------------
TOTAL INVESTMENTS -- 100.1%
(Cost $910,041,968) 910,041,968
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (0.1%) (1,098,718)
------------
NET ASSETS -- 100.0% $908,943,250
============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 3.5%
Certificates of Deposit 15.2%
Commercial Paper 58.4%
Master Notes 5.2%
Variable Rate Obligations 17.8%
------
100.1%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
58
LOW-DURATION BOND FUND
During the quarter, the backdrop for short-term bonds was inevitably one of
higher interest rates. The combination of tighter monetary policy, strong
economic activity and a depreciating U.S. dollar caused short-term rates to
materially increase as evidenced by the yield on the 2-year Treasury-note, which
increased by 0.46% during the quarter. Given the inverse relationship between
bond yields and bond prices, elevating yields placed negative pressure on prices
of short-term bonds. The elevation in short-term rates primarily occurred during
November, which proved to be the most difficult performance month during the
quarter. For the quarter, non-Treasury sectors, including corporates and
mortgages, were the best performing sectors benefiting from investors' demand
for higher yielding securities, spread compression and low volatility. For the
quarter, the income component from coupon payments was just enough to offset
price depreciation as low-duration bonds, as measured by the Merrill Lynch 1-3
Year Treasury Index, generated a relatively flat quarterly return of .02%.
Reflecting the difficult environment of rising short-term rates, low-duration
bonds were the lowest performing segment of the bond market during the fourth
quarter.
The fund, comprised of high-quality, fixed income securities primarily with
shorter maturities, produced a positive return for the quarter and outperformed
its all Treasury benchmark index, the Merrill Lynch 1-3 Year Treasury Index,
with all of the relative outperformance taking place during November. The fourth
quarter was the fund's best performing quarter on a benchmark relative basis
during the year. During the quarter, the fund benefited from exposure to
non-Treasury sectors, such as corporates and mortgages. Corporate bonds
performed well given corporate spreads relative to Treasuries decreased (causing
bond prices to increase) as demand for the securities, which provide a yield
premium over Treasuries, remained strong. Modest exposure to BBB-rated
corporates provided additional benefit given this segment generated higher
returns relative to higher quality corporates. The tactical allocation to
mortgages proved beneficial given they performed well in the low volatile
environment (reducing prepayment and extension risks) and generated a higher
income component relative to the all Treasury benchmark index. A tactical
allocation to TIPS also proved positive to the fund as real yields declined
during the quarter causing them to outpace their nominal counterparts. Both the
fund's slightly shorter duration position and a yield curve strategy to take
advantage of a flattening yield curve added incremental value. All three
sub-advisers within the fund -- BlackRock, Payden & Rygel and PIMCO --
maintained non-benchmark sector exposure and generated returns in excess of the
benchmark index during the quarter. The fund maintained its very high-quality
orientation. At quarter end, approximately 89% of the fund was rated
AAA/Government with major categories of holdings including Treasury/agency,
mortgages and corporates. Reflecting the rise in short-term rates, the GS4 Class
SEC 30-day yield increased to 2.70%, from 2.07% as of September 30, 2004.
59
LOW-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 1.47% 1.38% 1.17% 0.91% N/A N/A
Since Inception 3.43% 3.43% 3.16% 3.34% 0.05% 0.21%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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
GS4 CLASS INDEX**
--------- -------------------------------
Aug 27 2001 10000 10000
Aug 2001 10023 10025
Sep 2001 10150 10190
Oct 2001 10256 10286
Nov 2001 10217 10264
Dec 2001 10196 10268
Jan 2002 10242 10288
Feb 2002 10288 10338
Mar 2002 10208 10268
Apr 2002 10334 10383
May 2002 10381 10425
Jun 2002 10402 10512
Jul 2002 10459 10641
Aug 2002 10550 10677
Sep 2002 10633 10765
Oct 2002 10661 10790
Nov 2002 10663 10757
Dec 2002 10778 10859
Jan 2003 10800 10857
Feb 2003 10866 10902
Mar 2003 10890 10922
Apr 2003 10918 10943
May 2003 10991 10984
Jun 2003 11006 11001
Jul 2003 10888 10941
Aug 2003 10910 10948
Sep 2003 11034 11048
Oct 2003 10984 11007
Nov 2003 10995 11001
Dec 2003 11042 11065
Jan 2004 11076 11087
Feb 2004 11136 11140
Mar 2004 11171 11175
Apr 2004 11080 11067
May 2004 11065 11057
Jun 2004 11069 11056
Jul 2004 11101 11096
Aug 2004 11174 11173
Sep 2004 11172 11163
Oct 2004 11200 11197
Nov 2004 11174 11142
Dec 2004 11195 11165
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
60
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 PAR VALUE
- ----------------- ----------- --------------
AGENCY OBLIGATIONS -- 19.5%
Federal Home Loan Bank
1.00%, 01/03/05 $44,600,000 $ 44,597,522
1.25%, 01/03/05 10,300,000 10,299,285
2.17%, 01/06/05 7,700,000 7,697,679
2.13%, 01/28/05 9,400,000 9,384,984
Federal Home Loan Mortgage
Corporation
5.25%, 01/15/06+++ 9,575,000 9,782,557
3.88%, 11/10/08 5,300,000 5,311,612
4.75%, 12/08/10+++ 2,165,000 2,176,429
Federal National Mortgage
Association
1.15%, 01/03/05 23,800,000 23,798,479
1.25%, 01/03/05 34,300,000 34,297,618
1.65%, 01/03/05 10,300,000 10,299,056
2.38%, 12/15/05 2,755,000 2,740,211
2.71%, 01/30/07 7,500,000 7,418,955
Small Business
Administration
6.95%, 11/10/16 1,820,338 1,941,127
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $169,575,505) 169,745,514
--------------
ASSET-BACKED SECURITIES -- 11.8%
ACE Securities Corporation
2.53%, 04/25/34 STEP 1,954,396 1,954,432
American Express Credit
Account Master Trust
2.54%, 04/15/08++ 3,200,000 3,203,181
Amresco Independence
Funding, Inc.
2.75%, 06/15/26 144A++ 1,158,156 1,153,042
Bayview Financial
Acquisition Trust
7.01%, 05/25/29 144A 412,771 415,382
Bear Stearns Asset-Backed
Securities, Inc.
4.63%, 03/25/44++ 2,012,836 1,990,191
Business Loan Express
3.25%, 01/01/25 144A++ 732,727 714,927
Capital Auto Receivables
Asset Trust
3.58%, 10/16/06++++ 2,341,334 2,348,215
3.35%, 02/15/08 3,225,000 3,221,410
2.64%, 03/17/08 3,300,000 3,286,331
1.96%, 01/15/09 4,100,000 3,994,077
Capital One Multi-Asset
Execution Trust
2.95%, 08/17/09 3,500,000 3,475,557
Chase Issuance Trust
3.22%, 06/15/10 6,525,000 6,459,750
Citibank Credit Card
Issuance Trust
2.55%, 01/20/09 7,725,000 7,593,547
CitiFinancial Mortgage
Securities, Inc.
2.72%, 01/25/33++ 150,467 150,582
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Conseco Finance
Securitizations
Corporation
2.77%, 12/15/29++ $ 299,934 $ 299,932
Countrywide Asset-Backed
Certificates
2.57%, 10/25/23 STEP 900,000 900,000
2.69%, 12/31/34++ 3,200,000 3,200,000
CS First Boston Mortgage
Securities Corporation
2.75%, 05/25/43 STEP 144A 240,311 240,316
Daimler Chrysler Auto Trust
2.25%, 08/08/07 3,000,000 2,978,854
3.09%, 01/08/08 3,600,000 3,595,316
3.28%, 12/08/09 4,300,000 4,258,149
Daimler Chrysler Master
Owner Trust
2.46%, 05/15/07++ 3,000,000 3,000,678
Green Tree Financial
Corporation
6.04%, 11/01/29 40,775 42,342
GSAMP Trust
2.57%, 08/25/34++ 788,465 788,480
Home Equity Mortgage Trust
2.82%, 07/25/33++ 273,554 273,678
Honda Auto Receivables
Owner Trust
2.09%, 11/18/05 1,191,779 1,190,848
2.30%, 10/18/07 3,050,000 3,025,681
3.30%, 06/15/08 2,980,000 2,979,041
2.91%, 10/20/08 2,700,000 2,676,120
2.79%, 03/16/09 4,700,000 4,641,634
Long Beach Mortgage Loan
Trust
2.63%, 11/25/10++ 2,200,000 2,200,000
2.74%, 06/25/33++ 596,842 597,487
New Century Home Equity
Loan Trust
2.85%, 11/25/34++ 2,918,777 2,918,116
Nissan Auto Receivables
Owner Trust
4.80%, 02/15/07 1,475,829 1,478,715
PBG Equipment Trust
6.27%, 01/20/12 144A 706,158 717,158
Quest Trust
2.98%, 06/25/34 144A++ 1,138,836 1,137,682
Residential Asset
Securities Corporation
2.65%, 09/25/31++ 478,334 478,763
Residential Funding
Mortgage Securities II
2.55%, 07/25/18++ 556,052 556,078
Sears Credit Account Master
Trust
6.75%, 09/16/09 1,900,000 1,947,442
</Table>
See Notes to Financial Statements.
61
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
SLM Student Loan Trust
2.15%, 01/25/11++ $ 55,931 $ 55,948
2.52%, 12/17/12++ 1,717,788 1,717,989
Structured Asset Investment
Loan Trust
2.55%, 07/25/33++ 76,763 76,757
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 2,360,764 2,399,097
The Money Store Business
Loan Backed Certificates
3.15%, 04/15/28++ 483,921 462,381
TMS SBA Loan Trust
3.11%, 04/15/24++ 461,726 443,815
3.00%, 01/15/25++ 529,533 504,328
3.48%, 01/25/25++ 317,720 316,386
USAA Auto Owner Trust
3.03%, 06/16/08 3,000,000 2,988,173
2.04%, 02/16/10 4,100,000 4,027,837
Whole Auto Loan Trust
3.26%, 03/15/11 4,000,000 3,961,321
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $103,533,522) 103,037,166
--------------
CERTIFICATES OF DEPOSIT -- 2.3%
Bank of America Corporation
2.00%, 01/18/05 100,000 99,989
2.44%, 03/23/05 6,400,000 6,400,240
2.44%, 03/28/05 2,000,000 2,000,084
Citibank NA
2.45%, 03/21/05 8,000,000 8,000,463
2.47%, 03/29/05 400,000 400,041
Wells Fargo Bank NA
2.04%, 01/18/05 3,300,000 3,299,700
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $20,200,000) 20,200,517
--------------
COMMERCIAL PAPER -- 1.3%
General Electric Capital
Corporation
2.28%, 02/23/05 100,000 99,673
2.42%, 03/11/05 1,000,000 995,576
2.42%, 03/14/05 8,600,000 8,560,134
General Motors Acceptance
Corporation
2.44%, 04/05/05 1,500,000 1,489,481
--------------
TOTAL COMMERCIAL PAPER
(Cost $11,143,861) 11,144,864
--------------
CORPORATE BONDS -- 9.1%
ASIF Global Financing XXIII
3.90%, 10/22/08 144A 420,000 420,182
Bank of America Corporation
3.25%, 08/15/08+++ 360,000 354,158
Bank One Corporation
2.63%, 06/30/08+++ 360,000 345,920
6.00%, 08/01/08 550,000 589,129
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Cadbury Schweppes US
Finance LLC
3.88%, 10/01/08 144A $ 790,000 $ 787,910
Citigroup, Inc.
3.50%, 02/01/08 1,600,000 1,594,014
Clear Channel
Communications, Inc.
6.00%, 11/01/06 1,470,000 1,529,250
Clorox Co.
2.54%, 12/14/07 144A++ 1,500,000 1,500,452
Continental Cablevision
8.30%, 05/15/06 1,450,000 1,540,847
Credit Suisse First Boston
USA, Inc.
5.75%, 04/15/07+++ 1,490,000 1,562,582
DaimlerChrysler NA Holding
Corporation
7.40%, 01/20/05 100,000 100,184
6.40%, 05/15/06 1,490,000 1,550,542
2.96%, 05/24/06++ 3,200,000 3,217,024
Devon Energy Corporation
2.75%, 08/01/06 1,700,000 1,680,717
Dominion Resources, Inc.
7.63%, 07/15/05 1,000,000 1,023,875
Ford Motor Credit Co.
7.50%, 03/15/05+++ 2,300,000 2,319,756
6.88%, 02/01/06 2,500,000 2,576,165
6.50%, 01/25/07 1,920,000 1,997,462
General Electric Capital
Corporation
8.75%, 05/21/07 610,000 683,767
3.45%, 07/16/07+++ 1,300,000 1,297,252
9.83%, 12/15/08 350,000 421,208
General Mills, Inc.
6.45%, 10/15/06 1,985,000 2,083,866
General Motors Acceptance
Corporation
5.25%, 05/16/05 3,200,000 3,230,009
7.50%, 07/15/05 1,600,000 1,633,171
5.63%, 05/15/09+++ 2,310,000 2,312,289
Golden West Financial
Corporation
4.13%, 08/15/07 310,000 314,822
HSBC Bank USA NA
2.59%, 09/21/07++ 1,400,000 1,401,691
HSBC Finance Corporation
5.75%, 01/30/07 1,480,000 1,545,662
4.13%, 12/15/08+++ 700,000 703,497
International Lease Finance
Corporation
5.63%, 06/01/07 1,500,000 1,568,190
John Deere Capital
Corporation
5.13%, 10/19/06 1,510,000 1,555,681
Kellogg Co.
2.88%, 06/01/08 970,000 942,898
</Table>
See Notes to Financial Statements.
62
<Table>
<Caption>
PAR VALUE
----------- --------------
MCI, Inc.
6.91%, 05/01/07 $ 237,000 $ 243,221
7.69%, 05/01/09 237,000 245,888
8.74%, 05/01/14 203,000 218,733
Merck & Co., Inc.
5.25%, 07/01/06 300,000 307,599
Morgan Stanley Warehouse
Facility
2.65%, 10/16/05++@ 9,900,000 9,859,539
New York Life Global
Funding
2.44%, 02/26/07 144A++ 1,400,000 1,400,958
Pacific Gas & Electric Co.
2.72%, 04/03/06++ 2,132,000 2,133,908
PP&L Capital Funding, Inc.
7.75%, 04/15/05 800,000 809,630
Prudential Financial, Inc.
4.10%, 11/15/06 STEP 1,600,000 1,618,245
SLM Corporation
2.22%, 01/25/07++ 1,200,000 1,201,916
3.63%, 03/17/08 120,000 119,513
Southtrust Bank NA
2.57%, 03/19/07++ 1,200,000 1,203,937
Sprint Capital Corporation
7.13%, 01/30/06 3,000,000 3,121,152
6.00%, 01/15/07 1,480,000 1,549,701
Time Warner, Inc.
5.63%, 05/01/05+++ 2,210,000 2,230,531
6.15%, 05/01/07 1,480,000 1,566,623
8.18%, 08/15/07 500,000 555,617
TXU Energy Co. LLC
2.84%, 01/17/06 144A++@ 800,000 802,435
U.S. Bank National
Association
6.50%, 02/01/08 580,000 625,833
U.S. Central Credit Union
2.75%, 05/30/08 610,000 590,887
Verizon Global Funding
Corporation
6.13%, 06/15/07+++ 875,000 927,267
Verizon Wireless Capital
LLC
2.42%, 05/23/05 144A++ 1,400,000 1,399,786
Wachovia Corporation
3.50%, 08/15/08 540,000 535,048
Washington Mutual Bank FA
2.45%, 07/25/06++ 1,500,000 1,507,529
Weyerhaeuser Co.
5.50%, 03/15/05 441,000 443,052
--------------
TOTAL CORPORATE BONDS
(Cost $80,959,851) 79,602,720
--------------
FOREIGN BONDS -- 2.8%
CANADA -- 0.2%
British Columbia Government
5.38%, 10/29/08 305,000 322,878
Ontario Province
3.35%, 07/16/07 775,000 771,812
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Quebec Province
7.00%, 01/30/07+++ $ 305,000 $ 326,639
--------------
1,421,329
--------------
FRANCE -- 0.2%
France Telecom
7.95%, 03/01/06+++ 1,450,000 1,522,871
--------------
GERMANY -- 0.2%
Bundesschatzanweisungen
2.00%, 06/17/05(E) 1,100,000 1,494,681
--------------
ITALY -- 0.3%
Republic of Italy
2.75%, 12/15/06+++ 2,375,000 2,356,352
--------------
JAPAN -- 0.5%
ASIF II
1.20%, 01/26/05 144A(J) 405,000,000 3,954,838
--------------
NEW ZEALAND -- 0.3%
New Zealand Government Bond
6.00%, 11/15/11(Z) 3,350,000 2,422,863
--------------
NORWAY -- 0.2%
Eksportfinans
3.38%, 01/15/08 1,630,000 1,622,747
--------------
SOUTH KOREA -- 0.2%
Korea Development Bank
2.48%, 10/20/09++,+++ 1,750,000 1,749,955
--------------
UNITED KINGDOM -- 0.7%
Abbey National Treasury
Services PLC
2.16%, 01/16/07 144A++ 1,400,000 1,402,192
Holmes Financing PLC
2.22%, 01/15/08++ 2,600,000 2,603,928
Nationwide Building Society
3.50%, 07/31/07 144A 325,000 323,722
Permanent Financing PLC
2.61%, 09/10/07++ 2,800,000 2,804,383
Vodafone Group PLC
3.95%, 01/30/08 230,000 231,769
--------------
7,365,994
--------------
TOTAL FOREIGN BONDS
(Cost $23,727,561) 23,911,630
--------------
MORTGAGE-BACKED SECURITIES -- 17.5%
American Home Mortgage
Investment Trust
2.53%, 12/25/34 STEP 4,000,000 4,000,000
Asset Securitization
Corporation
7.32%, 01/13/30 130,374 130,773
Bank of America Mortgage
Securities
6.50%, 10/01/19 1,531,014 1,546,391
</Table>
See Notes to Financial Statements.
63
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Bear Stearns Adjustable
Rate Mortgage Trust
3.19%, 12/01/33++ $ 3,348,978 $ 3,313,334
4.77%, 01/25/34++ 1,727,285 1,714,109
4.04%, 07/25/34++ 3,166,674 3,128,001
Bear Sterns Alt-A Trust
2.79%, 06/25/34++ 3,995,000 3,995,000
Countrywide Alternative
Loan Trust
6.00%, 10/25/32 823,614 825,723
Countrywide Home Loan
Mortgage Pass Through
Trust
4.88%, 07/25/19 144A 726,932 727,136
3.33%, 06/19/31++ 247,534 248,987
2.69%, 01/25/35 STEP 3,130,000 3,130,000
Credit-Based Asset
Servicing and
Securitization LLC
2.74%, 02/25/30++ 327,684 327,897
CS First Boston Mortgage
Securities Corporation
2.82%, 02/25/32++ 59,270 59,307
Federal Home Loan Mortgage
Corporation
9.50%, 06/01/05 4,090 4,176
8.00%, 03/01/06 49 50
7.00%, 05/01/06 2,530 2,559
8.75%, 08/01/06 1,720 1,723
8.50%, 12/01/07 12,473 13,055
8.50%, 01/01/08 9,513 9,958
8.00%, 05/01/08 16,102 16,266
8.50%, 06/01/08 7,968 8,059
8.75%, 07/01/08 9,725 10,332
8.00%, 01/01/09 5,462 5,682
7.50%, 03/01/09 60,020 60,563
16.25%, 07/01/11 1,409 1,658
15.25%, 08/01/11 1,904 2,207
5.00%, 11/15/16 6,403,802 6,510,706
10.75%, 02/01/19 109,961 120,739
4.12%, 09/01/23++ 875,011 879,257
3.68%, 07/01/27++ 129,348 134,067
2.49%, 06/01/28++ 587,222 584,220
7.35%, 03/01/31++ 98,942 101,134
5.73%, 04/01/32++ 1,157,809 1,188,778
2.80%, 02/15/33++ 2,206,767 2,212,573
6.00%, 04/01/33 2,893,957 2,993,620
4.43%, 10/01/34++ 1,627,093 1,638,966
Federal Housing Authority
7.43%, 09/01/22 7,885 8,282
Federal National Mortgage
Association
6.00%, 08/01/08 361,431 376,390
6.50%, 11/01/08 469,397 492,255
3.40%, 12/01/09 1,435,576 1,442,754
5.07%, 03/01/24++ 129,291 127,338
3.56%, 12/01/24 CONV++ 276,236 279,656
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
9.00%, 05/01/25 $ 180,901 $ 201,520
9.00%, 07/01/25 327,872 365,237
2.67%, 09/25/30++ 560,178 559,339
5.02%, 12/01/30++ 85,238 83,804
6.56%, 02/01/31++ 146,922 152,072
4.45%, 09/01/31++ 275,739 285,283
3.31%, 03/25/32 749,519 744,177
4.32%, 04/01/33++ 2,253,711 2,280,475
4.26%, 06/01/33++ 601,408 607,031
5.50%, 06/01/33 39,981 40,624
5.50%, 07/01/33 40,558 41,211
4.31%, 10/01/33++ 3,074,580 3,101,270
5.50%, 10/01/33 237,046 240,858
4.31%, 12/01/33++ 1,003,618 1,008,503
5.00%, 04/01/34 100,163 99,430
5.00%, 05/01/34 3,624,670 3,598,142
5.00%, 06/01/34 24,437 24,259
5.75%, 08/25/34 4,300,000 4,390,200
5.13%, 09/01/34 2,222,054 2,273,766
5.14%, 09/01/34 2,912,711 2,980,469
4.87%, 10/01/34 2,797,371 2,839,892
5.00%, 10/01/34 742,806 737,371
5.24%, 10/01/34++ 3,789,609 3,879,961
6.19%, 04/01/40++ 864,300 892,338
FFCA Secured Lending
Corporation
7.27%, 02/18/11 144A 562,427 562,771
First Republic Mortgage
Loan Trust
3.90%, 06/25/30++ 751,803 759,997
GMAC Commercial Mortgage
Securities, Inc.
7.18%, 08/15/36 1,597,093 1,783,265
Government National
Mortgage Association
8.25%, 03/15/06 2,384 2,469
8.25%, 05/15/06 5,434 5,626
6.00%, 12/15/08 396,135 412,413
6.00%, 02/15/11 627,563 655,396
3.38%, 06/20/17++ 44,604 45,239
3.38%, 06/20/21++ 22,130 22,486
4.63%, 10/20/27++ 185,473 188,972
8.50%, 10/15/29 149,115 162,809
8.50%, 01/15/30 98,280 107,290
3.01%, 02/16/30++ 660,223 666,565
8.50%, 03/15/30 31,152 34,007
8.50%, 04/15/30 31,511 34,400
8.50%, 05/15/30 242,393 264,616
8.50%, 06/15/30 104,056 113,595
8.50%, 07/15/30 355,132 387,697
8.50%, 08/15/30 55,628 60,728
8.50%, 09/15/30 23,280 25,414
8.50%, 10/15/30 47,510 51,866
8.50%, 11/15/30 145,377 158,705
8.50%, 12/15/30 144,611 157,869
8.50%, 01/15/31 79,188 86,442
</Table>
See Notes to Financial Statements.
64
<Table>
<Caption>
PAR VALUE
----------- --------------
2.61%, 01/16/31++ $ 1,180,302 $ 1,180,281
8.50%, 02/15/31 129,291 141,136
3.75%, 05/20/34++ 2,766,548 2,728,470
3.75%, 06/20/34++ 3,754,153 3,717,219
GS Mortgage Securities
Corporation II
3.41%, 01/10/40 IO
144A(omg) 43,459,665 1,408,958
6.04%, 08/15/18 144A 521,766 552,896
GSAA Trust
2.68%, 12/25/34++ 3,175,000 3,205,758
GSR Mortgage Loan Trust
3.69%, 06/01/34++ 3,654,822 3,624,882
4.45%, 09/25/34++ 2,892,337 2,898,796
IFC SBA Loan-Backed
Adjustable Rate
Certificate
3.25%, 01/15/24 144A++ 721,189 692,342
LB-UBS Commercial Mortgage
Trust
2.59%, 08/15/33 IO
144A(omg) 38,255,000 1,314,312
MLCC Mortgage Investors,
Inc.
2.78%, 03/15/25 STEP 1,401,332 1,402,712
4.77%, 12/25/34++ 3,181,105 3,194,117
Morgan Stanley Capital I
6.22%, 06/03/30 1,046,580 1,052,634
6.53%, 03/15/31 2,960,000 3,213,184
MortgageIT Trust
2.79%, 12/25/34 STEP 4,484,286 4,486,814
Residential Accredit Loans,
Inc.
6.00%, 12/25/16 409,369 415,306
2.82%, 01/25/33++ 1,841,920 1,843,642
Residential Asset
Securitization Trust
2.58%, 05/25/33++ 3,668,505 3,673,779
Residential Funding
Mortgage Securities I
6.50%, 03/25/32 325,677 335,272
5.50%, 09/25/33 2,557,360 2,616,129
Sequoia Mortgage Trust
2.81%, 10/20/27++ 1,411,717 1,414,633
2.86%, 10/20/33++ 1,022,849 1,028,019
Structured Adjustable Rate
Mortgage Loan Trust
4.92%, 03/25/34++ 2,801,594 2,804,619
2.72%, 09/25/34++ 2,702,142 2,699,322
Structured Asset Mortgage
Investments, Inc.
3.87%, 10/19/34++ 2,921,324 2,988,487
Structured Asset Securities
Corporation
7.50%, 06/28/31 119,771 119,581
4.99%, 12/25/33++ 2,748,949 2,787,088
Washington Mutual
2.69%, 12/25/27 STEP 6,098,407 6,091,793
3.67%, 01/25/41++ 426,492 427,875
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
3.00%, 06/25/42++ $ 511,767 $ 516,674
2.74%, 01/25/45++ 3,000,000 3,000,000
Washington Mutual Mortgage
Securities Corporation
4.14%, 07/25/31++ 398,698 403,773
4.09%, 03/25/32++ 676,730 680,651
Wells Fargo Mortgage-Backed
Securities Trust
3.39%, 07/25/34++ 3,124,344 3,115,670
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $152,894,941) 152,328,374
--------------
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 1,330,176
Missouri Higher Education
Loan Authority, Revenue
Bond (Guaranteed Standard
Loans Insured) (Callable
04/01/05 @ $100)
2.04%, 07/25/08++ 572,922 573,281
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 3,267,552
Sales Tax Asset Receivable
Corporation, New York,
Series B Revenue Bond
(FSA Insured)
(Non-Callable)
3.60%, 10/15/08 425,000 420,984
Texas State Public Finance
Authority, Series B
Revenue Bond
(Non-Callable)
2.63%, 06/15/06 1,365,000 1,352,469
--------------
TOTAL MUNICIPAL BONDS
(Cost $6,985,207) 6,944,462
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
OPTIONS -- 0.0%
PUT OPTIONS -- 0.0%
British Pounds
90-Day LIBOR Futures,
Strike Price $94.25,
Expires 12/21/05
(Cost $0) 25 0
--------------
</Table>
See Notes to Financial Statements.
65
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
PREFERRED STOCKS -- 0.0%
Fannie Mae 7.00%+++
(Cost $250,000) 5,000 $ 283,438
--------------
SHORT-TERM INVESTMENTS -- 27.2%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 31,260,577 31,260,577
Northern Institutional
Liquid Assets
Portfoliosec. 205,194,495 205,194,495
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $236,455,072) 236,455,072
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 33.8%
U.S. Treasury Bills
1.00%, 01/06/05+++ $ 600,000 599,850
2.03%, 01/06/05+++ 1,100,000 1,099,690
2.17%, 03/03/05++++ 200,000 199,325
2.18%, 03/03/05++++ 100,000 99,662
2.15%, 03/17/05++++ 40,000 39,831
2.17%, 03/17/05++++ 260,000 258,902
2.21%, 03/17/05++++ 805,000 801,600
--------------
3,098,860
--------------
U.S. Treasury Bonds
10.00%, 05/15/10 8,120,000 8,338,233
12.75%, 11/15/10+++ 12,315,000 13,356,492
10.38%, 11/15/12+++ 9,470,000 11,293,723
--------------
32,988,448
--------------
U.S. Treasury Inflationary
Index Bonds
3.38%, 01/15/07+++ 1,300,000 1,659,160
3.63%, 01/15/08+++ 13,600,000 17,506,774
--------------
19,165,934
--------------
U.S. Treasury Notes
1.50%, 02/28/05++++,+++ 470,000 469,817
2.00%, 08/31/05+++ 20,100,000 20,027,780
5.75%, 11/15/05 1,350,000 1,385,016
5.88%, 11/15/05+++ 660,000 677,764
1.88%, 11/30/05+++ 21,350,000 21,189,895
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
1.88%, 12/31/05+++ $14,535,000 $ 14,413,502
1.88%, 01/31/06+++ 25,180,000 24,945,927
2.25%, 04/30/06+++ 17,585,000 17,444,883
2.50%, 05/31/06+++ 6,930,000 6,892,377
2.75%, 06/30/06+++ 9,655,000 9,632,002
2.75%, 07/31/06+++ 5,890,000 5,872,748
2.38%, 08/31/06+++ 1,670,000 1,653,888
2.50%, 09/30/06+++ 11,745,000 11,647,281
2.50%, 10/31/06+++ 10,190,000 10,098,056
2.88%, 11/30/06+++ 10,510,000 10,480,446
3.13%, 05/15/07+++ 480,000 479,906
3.00%, 11/15/07+++ 38,120,000 37,896,654
6.00%, 08/15/09+++ 14,100,000 15,555,176
3.50%, 12/15/09+++ 9,225,000 9,183,202
5.00%, 08/15/11+++ 1,000,000 1,064,883
4.88%, 02/15/12+++ 17,300,000 18,290,702
--------------
239,301,905
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $297,075,008) 294,555,147
--------------
TOTAL INVESTMENTS -- 126.1%
(Cost $1,102,800,528) 1,098,208,904
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
WRITTEN OPTIONS -- 0.0%
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$4.00,
Expires 10/31/05 (640) (48,800)
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$7.00,
Expires 10/31/05 (640) (3,526)
--------------
TOTAL WRITTEN OPTIONS
(Premiums received $(184,960)) (52,326)
--------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (26.1%) (227,422,605)
--------------
NET ASSETS -- 100.0% $ 870,733,973
==============
</Table>
See Notes to Financial Statements.
66
Interest rate swap agreements outstanding at December 31, 2004:
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- --------------
BRITISH POUNDS
Receive fixed rate
payments of 5.00% and
pay variable rate
payments on the six
month LIBOR floating
rate(b) 06/15/08 6,300,000 $ 29,268
---------
EURODOLLARS
Receive fixed rate
payments of 4.00% and
pay variable rate
payments on the six
month LIBOR floating
rate(g) 06/17/10 3,900,000 162,260
---------
U.S. DOLLARS
Receive fixed rate
payments of 4.00% and
pay variable rate
payments on the three
month LIBOR floating
rate(d) 06/15/07 $ 57,700,000 304,516
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
4.00%(a) 06/15/10 (15,800,000) 157,224
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(c) 06/15/15 (22,400,000) (393,053)
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(a) 06/15/15 (17,200,000) (301,808)
---------
(233,121)
---------
$ (41,593)
=========
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
---------
Agency Obligations 19.5%
Asset-Backed Securities 11.8%
Certificates of Deposit 2.3%
Commercial Paper 1.3%
Corporate Bonds 9.1%
Foreign Bonds 2.8%
Forward Foreign Currency Contracts (0.1%)
Futures Contracts 37.7%
Mortgage-Backed Securities 17.5%
Municipal Bonds 0.8%
Preferred Stocks 0.0%*
Short-Term Investments 27.2%
Swap Contracts 0.0%*
U.S. Treasury Obligations 33.8%
Written Options (0.0%)*
-------
163.7%
=======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%.
See Notes to Financial Statements.
67
MEDIUM-DURATION BOND FUND
The broad fixed income market overcame several headwinds to generate modest, but
rather impressive, positive returns for the fourth quarter and calendar year
2004. Roadblocks for the broad bond market included economic growth,
expectations of rising interest rates, a tightening cycle by the Federal
Reserve, a depreciating U.S. dollar and the expanding U.S. fiscal deficit. In
aggregate, these factors placed upward pressure on interest rates. Given the
inverse relationship between bond yields and bond prices, the backdrop for bonds
has appeared somewhat bearish over recent periods. In the midst of these
factors, the bond market overcame these hurdles to a degree and has held up
relatively well given the circumstances -- primarily due to vigorous foreign
demand for dollar denominated debt, well-telegraphed Federal Reserve policy and
some retention of geopolitical risk -- all of which have helped moderate the
rising interest rate environment. Short-term rates did increase in response to
the Federal Reserve raising the Fed Funds rate by 0.25% on two separate
occasions during the quarter in their effort to moderate economic growth on a
measured basis and to protect against inflation. The bond market had anticipated
the Fed's tightening action as well as absorbed the Federal Reserve's outlook on
inflation. While short-term rates increased, long-term rates remained steady
reflecting the lack of concerns related to inflation and strong investor demand.
Therefore, the period was marked by a flattening yield curve (as short-term
rates increased and long-term rates remained stable). Strategies by active
management that took advantage of the yield curve flattening were able to add
value relative to their benchmark. For illustration purposes, the yield on the
2-year Treasury-note increased by 0.46% while the yield on the 10-year
Treasury-note increased 0.10% and the yield on the 30-year Treasury-bond
declined by 0.07%. During the flattening environment, all bond sectors generated
positive returns during the quarter with non-Treasury sectors, such as
corporates and mortgages, being the best performers. Strong investor demand,
lower oil prices and low volatility all contributed to the rally in non-Treasury
sectors. Despite the difficult environment for bonds, the broad fixed income
market, as measured by the Lehman Brothers Aggregate Bond Index, produced a
quarterly return of 0.95% and an annual return of 4.34%.
The fund, a high-quality, core fixed income portfolio, generated a positive
absolute return and outpaced its benchmark index, the Lehman Brothers Aggregate
Bond Index, for the quarter with the outperformance being generated during
November and December. During the quarter, the fund benefited from its
lower-than-benchmark duration position which indicated that on an aggregate
basis, bond prices in the Medium-Duration Bond Fund were less sensitive to
interest rate changes compared to the benchmark index. Therefore, as interest
rates increased during the quarter (most notably during November), the prices of
bonds within the fund generally depreciated less than the benchmark. Also
benefiting the fund were the yield curve strategies that took advantage of the
flattening yield curve environment. Additionally, security selection within the
corporate bond sector and modest tactical allocations to non-benchmark sectors
such as non-dollar, emerging market debt and TIPS added value relative to the
benchmark. All three of the sub-advisers within the fund -- Goldman Sachs, PIMCO
and Western Asset Management -- generated a positive return relative to the
benchmark index for the quarter. At period-end, approximately 82% of the fund
was rated AAA/Government while the average credit quality of the fund remained
high at AA. As of quarter end, the fund's primary sector exposure was to
Treasury/agency, corporates and mortgages. The GS4 Class SEC 30-day yield
increased modestly to 2.76%, compared to 2.54% at the end of the third quarter.
68
MEDIUM-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 5.34% 5.20% 4.88% 4.34% N/A N/A
Since Inception 6.64% 6.70% 6.38% 6.09% 0.87% 0.90%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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
GS4 CLASS INDEX**
--------- ------------------------------
Aug 27 2001 10000 10000
Aug 2001 10051 10056
Sep 2001 10123 10173
Oct 2001 10364 10386
Nov 2001 10223 10243
Dec 2001 10149 10177
Jan 2002 10253 10260
Feb 2002 10387 10359
Mar 2002 10223 10187
Apr 2002 10422 10384
May 2002 10479 10473
Jun 2002 10453 10563
Jul 2002 10466 10691
Aug 2002 10685 10871
Sep 2002 10774 11047
Oct 2002 10752 10997
Nov 2002 10833 10994
Dec 2002 11079 11221
Jan 2003 11165 11231
Feb 2003 11315 11386
Mar 2003 11312 11377
Apr 2003 11461 11471
May 2003 11671 11685
Jun 2003 11674 11662
Jul 2003 11295 11270
Aug 2003 11403 11345
Sep 2003 11721 11645
Oct 2003 11638 11536
Nov 2003 11704 11564
Dec 2003 11811 11682
Jan 2004 11898 11776
Feb 2004 12014 11903
Mar 2004 12105 11992
Apr 2004 11831 11680
May 2004 11802 11634
Jun 2004 11875 11700
Jul 2004 11978 11816
Aug 2004 12202 12041
Sep 2004 12251 12074
Oct 2004 12353 12175
Nov 2004 12306 12078
Dec 2004 12425 12189
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
69
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 PAR VALUE
- ----------------- ----------- --------------
AGENCY OBLIGATIONS -- 17.4%
Federal Home Loan Bank
1.00%, 01/03/05 $41,600,000 $ 41,597,688
1.25%, 01/03/05 9,600,000 9,599,333
2.13%, 01/28/05 8,700,000 8,686,102
2.50%, 04/11/06 5,000,000 4,965,440
3.00%, 05/15/06 2,000,000 1,997,810
2.88%, 05/22/06 3,000,000 2,991,420
2.88%, 05/23/06+++ 2,000,000 1,994,238
6.50%, 08/15/07 2,500,000 2,693,858
3.50%, 02/13/09+++ 1,000,000 990,991
4.08%, 04/26/10 1,500,000 1,507,877
Federal Home Loan Mortgage
Corporation
2.27%, 04/28/06 5,000,000 4,947,845
4.88%, 03/15/07+++ 1,000,000 1,033,045
3.00%, 07/09/08 2,000,000 1,964,220
7.00%, 03/15/10 1,600,000 1,829,290
Federal National Mortgage
Association
1.15%, 01/03/05 16,300,000 16,298,959
1.25%, 01/03/05 32,000,000 31,997,778
1.65%, 01/03/05 9,600,000 9,599,120
1.10%, 04/01/05++++ 255,000 253,495
1.96%, 04/01/05 530,000 526,871
2.05%, 04/01/05 200,000 198,819
6.63%, 09/15/09 1,700,000 1,898,176
7.25%, 01/15/10 9,000,000 10,354,778
Financing Corporation
Principle STRIPS
5.06%, 11/30/17(omg) 1,130,000 593,624
5.18%, 04/05/19(omg) 620,000 299,453
Resolution Funding
Corporation STRIPS
4.91%, 01/15/17(omg) 5,176,000 2,891,878
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $160,145,730) 161,712,108
--------------
ASSET-BACKED SECURITIES -- 5.4%
ACE Securities Corporation
2.53%, 04/25/34 STEP 1,776,723 1,776,756
American Express Credit
Account Master Trust
2.54%, 04/15/08++ 3,000,000 3,002,982
Ameriquest Mortgage
Securities, Inc.
2.51%, 04/25/34++ 1,039,141 1,039,084
Amortizing Residential
Collateral Trust
2.70%, 04/25/32++ 181,790 181,762
AQ Finance NIM Trust
3.07%, 12/25/07 144A++@ 72,659 73,204
2.64%, 01/25/09 144A++ 163,389 163,338
8.74%, 03/25/35 144A++@ 17,733 17,774
Argent Securities, Inc.
2.53%, 05/25/34++ 2,641,695 2,641,999
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Bayview Financial
Acquisition Trust
2.80%, 11/25/31 144A++ $ 1,406,783 $ 1,406,760
Capital Auto Receivables
Asset Trust
2.64%, 03/17/08 3,000,000 2,987,574
Centex Home Equity
2.72%, 09/26/33++ 876,874 877,970
Chase Funding Net Interest
Margin
5.00%, 12/17/33 144A@ 45,239 45,179
6.88%, 06/27/36 144A@ 404 404
Chesapeake Funding LLC
2.59%, 08/07/08++ 3,100,000 3,101,374
Citibank Credit Card
Issuance Trust
3.20%, 02/09/09++ 670,000 678,941
CitiFinancial Mortgage
Securities, Inc.
2.71%, 08/25/33 STEP 1,304,949 1,305,408
Conseco Finance
Securitizations
Corporation
6.77%, 09/01/32 1,409,655 1,439,604
4.20%, 02/01/33 IO(omg)@ 12,744,000 581,509
5.16%, 05/01/33 105,873 106,492
Countrywide Asset-Backed
Certificates
2.57%, 10/25/23 800,000 800,000
Countrywide Home Equity
Loan Trust
2.66%, 04/15/28++ 294,399 294,224
2.75%, 03/15/29++ 3,689,712 3,691,266
2.69%, 05/15/29++ 3,693,629 3,699,403
2.66%, 06/15/29++ 1,878,142 1,872,943
Daimler Chrysler Master
Owner Trust
2.46%, 05/15/07++ 910,000 910,206
EQCC Trust
2.72%, 10/25/31++ 398,124 398,879
First Horizon Asset Back
Trust
2.62%, 10/25/34++ 2,000,000 2,000,000
Fleet Home Equity Loan
Trust
2.62%, 05/30/31++ 1,074,780 1,072,210
GSAMP Trust
2.57%, 08/25/34++ 709,618 709,632
HFC Home Equity Loan
Asset-Backed Certificates
2.76%, 10/20/32++ 679,417 680,056
2.96%, 10/20/32++ 985,720 986,896
Home Equity Mortgage Trust
2.57%, 12/25/34++ 1,130,368 1,130,568
Honda Auto Receivables
Owner Trust
2.09%, 11/18/05 1,117,293 1,116,420
</Table>
See Notes to Financial Statements.
70
<Table>
<Caption>
PAR VALUE
----------- --------------
Household Mortgage Loan
Trust
2.74%, 06/20/33++ $ 963,575 $ 965,292
Madison Avenue Manufactured
Housing Contract
2.77%, 09/25/08++ 1,955,855 1,950,443
Merrill Lynch Mortgage
Investors, Inc.
2.74%, 08/25/09++ 37,628 37,642
Metropolitan Asset Funding,
Inc.
2.88%, 04/25/29 STEP 144A 78,646 78,654
Nextcard Credit Card Master
Note Trust
8.41%, 12/15/06++ 910,000 106,081
Provident Bank Home Equity
Loan Trust
2.69%, 08/25/31++ 491,236 490,883
Quest Trust
2.98%, 06/25/34 144A++ 996,482 995,472
Residential Asset Mortgage
Products, Inc.
2.66%, 03/25/34 STEP 2,904,610 2,904,662
Salomon Brothers Mortgage
Securities VII
2.90%, 03/30/28 STEP 193,149 193,178
Saxon Asset Securities
Trust
2.74%, 06/25/33 STEP 92,608 92,772
Structured Asset Securities
Corporation
2.87%, 02/25/33++ 699,567 701,114
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 411,232 417,909
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $50,865,808) 49,724,919
--------------
CERTIFICATES OF DEPOSIT -- 1.7%
Bank of America Corporation
2.00%, 01/18/05 100,000 99,989
2.03%, 02/04/05 200,000 199,946
2.44%, 03/23/05 5,700,000 5,700,214
2.44%, 03/28/05 2,000,000 2,000,084
Citibank NA
2.45%, 03/21/05 7,400,000 7,400,427
2.47%, 03/29/05 500,000 500,052
Wells Fargo Bank NA
2.04%, 01/18/05 100,000 99,991
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $16,000,000) 16,000,703
--------------
COMMERCIAL PAPER -- 1.0%
General Electric Capital
Corporation
2.28%, 02/23/05 400,000 398,690
2.42%, 03/14/05 7,700,000 7,664,306
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
General Motors Acceptance
Corporation
2.50%, 04/05/05 $ 1,400,000 $ 1,390,183
--------------
TOTAL COMMERCIAL PAPER
(Cost $9,452,269) 9,453,179
--------------
CORPORATE BONDS -- 12.3%
Ace Capital Trust II
9.70%, 04/01/30 60,000 79,950
Ace INA Holdings, Inc.
8.30%, 08/15/06 550,000 588,196
5.88%, 06/15/14+++ 200,000 205,263
AES Corporation (The)
9.50%, 06/01/09 42,000 47,985
9.38%, 09/15/10+++ 10,000 11,675
8.75%, 05/15/13 144A 520,000 593,450
9.00%, 05/15/15 144A+++ 760,000 874,000
AGCO Corporation
9.50%, 05/01/08 47,000 50,290
Allied Waste North America
8.88%, 04/01/08 27,000 29,025
Amerada Hess Corporation
7.30%, 08/15/31 630,000 705,013
7.13%, 03/15/33 400,000 441,232
AmerisourceBergen
Corporation
8.13%, 09/01/08+++ 80,000 89,400
AMFM, Inc.
8.00%, 11/01/08 1,075,000 1,207,998
ANZ Capital Trust I
4.48%, 01/29/49 144A+++ 125,000 125,291
5.36%, 12/29/49 144A 800,000 812,926
Apache Corporation
6.25%, 04/15/12 300,000 336,131
Astoria Financial
Corporation
5.75%, 10/15/12 450,000 467,798
AT&T Wireless Services,
Inc.
7.88%, 03/01/11 100,000 118,009
8.13%, 05/01/12+++ 135,000 163,427
Bank One Corporation
4.13%, 09/01/07+++ 1,100,000 1,118,301
Bank United Corporation
8.88%, 05/01/07 125,000 138,409
Beazer Homes USA
8.63%, 05/15/11 10,000 10,950
BellSouth Capital Funding
7.88%, 02/15/30 460,000 574,709
BellSouth Corporation
4.75%, 11/15/12 170,000 171,322
6.88%, 10/15/31+++ 10,000 11,378
</Table>
See Notes to Financial Statements.
71
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Boeing Co. (The)
6.63%, 02/15/38+++ $ 210,000 $ 233,846
Cendant Corporation
6.25%, 01/15/08 150,000 160,193
CenterPoint Energy
Resources Corporation
7.88%, 04/01/13 50,000 59,522
5.95%, 01/15/14 1,025,000 1,086,476
Centerpoint Energy, Inc.
7.25%, 09/01/10 75,000 83,749
Charter Communications
Operating LLC
8.00%, 04/30/12 144A@ 250,000 261,250
Chesapeake Energy
Corporation
9.00%, 08/15/12 61,000 69,998
7.50%, 09/15/13+++ 50,000 54,688
Cincinnati Bell, Inc.
7.25%, 07/15/13+++ 100,000 103,250
Citigroup, Inc.
5.00%, 03/06/07+++ 2,200,000 2,271,826
5.00%, 09/15/14 144A 325,000 327,190
Cleveland Electric
Illuminating Co. (The)
5.65%, 12/15/13 60,000 62,336
7.88%, 11/01/17 2,050,000 2,528,301
Clorox Co.
2.54%, 12/14/07 144A++ 1,500,000 1,500,451
CNA Financial Corporation
6.50%, 04/15/05 100,000 100,914
6.75%, 11/15/06 180,000 188,918
5.85%, 12/15/14+++ 75,000 74,984
Comcast Cable
Communications Holdings,
Inc.
8.38%, 03/15/13 300,000 370,501
9.46%, 11/15/22+++ 500,000 693,250
Comcast Cable
Communications, Inc.
8.38%, 05/01/07 650,000 719,251
6.75%, 01/30/11+++ 740,000 832,055
ConocoPhillips
8.75%, 05/25/10 230,000 280,997
ConocoPhillips Holding Co.
6.95%, 04/15/29 785,000 929,908
Cox Communications, Inc.
4.63%, 01/15/10 144A 250,000 249,701
7.13%, 10/01/12 30,000 33,677
4.63%, 06/01/13+++ 80,000 76,660
5.50%, 10/01/15 55,000 54,797
Cox Enterprises, Inc.
4.38%, 05/01/08 144A 150,000 149,979
CSC Holdings, Inc.
7.63%, 04/01/11+++ 530,000 573,725
6.75%, 04/15/12 144A 60,000 62,100
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
D.R. Horton, Inc.
8.50%, 04/15/12 $ 10,000 $ 11,200
DaimlerChrysler NA Holding
Corporation
7.40%, 01/20/05 1,700,000 1,703,128
2.96%, 05/24/06++ 1,200,000 1,206,384
7.30%, 01/15/12+++ 550,000 625,260
6.50%, 11/15/13 210,000 228,156
Delta Air Lines, Inc.
6.42%, 07/02/12 400,000 417,819
6.72%, 01/02/23+++ 745,532 778,024
Devon Energy Corporation
7.95%, 04/15/32+++ 745,000 955,007
Dominion Resources, Inc.
4.13%, 02/15/08 70,000 70,532
5.13%, 12/15/09 230,000 238,241
5.70%, 09/17/12+++ 310,000 328,742
Dryden Investor Trust
7.16%, 07/23/08 144A@ 1,498,590 1,583,650
Dynegy Holdings, Inc.
8.75%, 02/15/12+++ 910,000 957,775
Eastman Kodak Co.
7.25%, 11/15/13 120,000 129,452
Echostar DBS Corporation
5.26%, 10/01/08++ 103,000 107,249
5.75%, 10/01/08 500,000 508,750
6.63%, 10/01/14 144A 30,000 30,525
El Paso Corporation
3.34%, 02/28/21 CONV(omg) 990,000 525,938
8.05%, 10/15/30+++ 600,000 583,500
7.80%, 08/01/31+++ 1,150,000 1,109,749
7.75%, 01/15/32+++ 1,030,000 991,375
El Paso Natural Gas Co.
8.38%, 06/15/32+++ 210,000 234,938
EOP Operating LP
7.75%, 11/15/07 100,000 110,438
Firstar Bank NA
7.13%, 12/01/09 170,000 193,187
FirstEnergy Corporation
5.50%, 11/15/06 600,000 619,670
6.45%, 11/15/11 70,000 76,159
7.38%, 11/15/31 1,700,000 1,947,467
Ford Motor Co.
6.63%, 10/01/28 275,000 257,243
6.38%, 02/01/29 675,000 609,221
Ford Motor Credit Co.
2.51%, 07/18/05++,+++ 3,000,000 2,998,320
7.50%, 03/15/05+++ 1,500,000 1,512,884
7.38%, 10/28/09 590,000 637,060
7.88%, 06/15/10 590,000 650,762
7.38%, 02/01/11 320,000 345,304
7.00%, 10/01/13+++ 410,000 435,367
Fresenius Medical Care
Capital Trust II
7.88%, 02/01/08 230,000 250,125
</Table>
See Notes to Financial Statements.
72
<Table>
<Caption>
PAR VALUE
----------- --------------
General Electric Capital
Corporation
5.45%, 01/15/13 $ 820,000 $ 866,888
General Electric Co.
5.00%, 02/01/13 980,000 1,007,108
General Motors Acceptance
Corporation
3.33%, 10/20/05++ 1,700,000 1,706,663
5.25%, 05/16/05 1,100,000 1,110,316
7.50%, 07/15/05 1,600,000 1,633,171
7.25%, 03/02/11 310,000 324,960
Georgia-Pacific Corporation
8.13%, 05/15/11 4,000 4,620
9.50%, 12/01/11+++ 15,000 18,563
9.38%, 02/01/13 4,000 4,680
Greenpoint Financial
Corporation
3.20%, 06/06/08 350,000 342,333
HCA, Inc.
6.95%, 05/01/12 250,000 263,603
Heinz (H.J.) Co.
6.19%, 12/01/20++@ 1,500,000 1,537,157
Host Marriott LP
9.50%, 01/15/07+++ 550,000 605,000
9.25%, 10/01/07 32,000 35,840
HSBC Bank USA NA
2.59%, 09/21/07++ 1,300,000 1,301,570
HSBC Finance Corporation
8.00%, 07/15/10 440,000 518,443
7.00%, 05/15/12 390,000 446,023
6.38%, 11/27/12 70,000 77,463
IMC Global, Inc.
10.88%, 06/01/08 119,000 143,395
10.88%, 08/01/13 50,000 62,750
International Paper Co.
5.50%, 01/15/14 135,000 139,704
iStar Financial, Inc.
6.50%, 12/15/13 125,000 132,041
5.70%, 03/01/14+++ 400,000 410,147
J.P. Morgan Chase & Co.
5.75%, 01/02/13 320,000 339,638
JPM Capital Trust II
7.95%, 02/01/27+++ 700,000 765,859
Kansas City Southern
Railway
9.50%, 10/01/08 119,000 135,809
La Quinta Properties, Inc.
7.00%, 08/15/12 20,000 21,250
Lamar Media Corporation
7.25%, 01/01/13 100,000 108,500
Lehman Brothers Holdings,
Inc.
4.00%, 01/22/08 170,000 171,295
Liberty Media Corporation
3.99%, 09/17/06++ 1,390,000 1,407,388
3.75%, 02/15/30 CONV+++ 40,000 27,050
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Liberty Mutual Group
5.75%, 03/15/14 144A $ 250,000 $ 246,214
7.00%, 03/15/34 144A 75,000 76,069
Lockheed Martin Corporation
8.50%, 12/01/29 190,000 260,770
Lubrizol Corporation
4.63%, 10/01/09 200,000 199,902
5.50%, 10/01/14 100,000 100,778
Lyondell Chemical Co.
9.63%, 05/01/07 144A 48,000 53,040
9.88%, 05/01/07+++ 212,000 223,130
MacDermid, Inc.
9.13%, 07/15/11 111,000 123,765
Manor Care, Inc.
8.00%, 03/01/08 87,000 96,053
MeadWestvaco Corporation
6.85%, 04/01/12+++ 295,000 334,031
Mediacom LLC
9.50%, 01/15/13+++ 500,000 504,375
Merrill Lynch & Co., Inc.
3.38%, 09/14/07+++ 420,000 417,653
Millennium America, Inc.
9.25%, 06/15/08+++ 4,000 4,570
Nabisco, Inc.
7.55%, 06/15/15 1,530,000 1,844,999
Nextel Communications, Inc.
5.95%, 03/15/14 294,000 305,760
7.38%, 08/01/15 130,000 143,650
Niagara Mohawk Power
Corporation
7.75%, 10/01/08 1,340,000 1,508,713
Northrop Grumman
Corporation
4.08%, 11/16/06 280,000 282,956
Omnicare, Inc.
8.13%, 03/15/11 239,000 258,120
Oncor Electric Delivery Co.
6.38%, 01/15/15+++ 140,000 154,546
Pacific Energy Partners LP
7.13%, 06/15/14 60,000 64,200
Pacific Gas & Electric Co.
2.72%, 04/03/06++ 1,168,000 1,169,045
6.05%, 03/01/34+++ 460,000 479,428
Patrons' Legacy
5.65%, 01/17/17 144A 640,000 649,094
Peabody Energy Corporation
6.88%, 03/15/13+++ 165,000 179,438
Pemex Project Funding
Master Trust
9.13%, 10/13/10 1,075,000 1,291,612
Penney (JC) Co., Inc.
8.00%, 03/01/10 176,000 201,960
PHH Corporation
7.13%, 03/01/13 200,000 224,009
</Table>
See Notes to Financial Statements.
73
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Plains Exploration &
Production Co.
7.13%, 06/15/14+++ $ 100,000 $ 109,500
Pliant Corporation
7.87%, 06/15/09 STEP(omg) 250,000 232,188
Popular North America, Inc.
6.13%, 10/15/06 200,000 208,527
4.25%, 04/01/08 300,000 303,058
3.88%, 10/01/08 250,000 249,897
PP&L Capital Funding
Trust I
7.29%, 05/18/06 1,400,000 1,460,984
PP&L Capital Funding, Inc.
7.75%, 04/15/05 700,000 708,426
Pride International, Inc.
7.38%, 07/15/14 130,000 142,675
Prudential Funding LLC
6.60%, 05/15/08 144A 600,000 649,843
PVNGS II Funding
Corporation, Inc.
8.00%, 12/30/15 1,800,000 2,007,052
Qwest Capital Funding, Inc.
7.25%, 02/15/11+++ 200,000 197,000
Qwest Corporation
5.63%, 11/15/08+++ 600,000 613,500
9.13%, 03/15/12 144A 250,000 290,000
7.50%, 06/15/23+++ 500,000 500,000
Rabobank Capital Funding
Trust III
5.25%, 10/31/49 144A++ 250,000 249,183
Raytheon Co.
6.00%, 12/15/10 5,000 5,417
5.50%, 11/15/12+++ 10,000 10,575
5.38%, 04/01/13 115,000 120,002
Ryland Group, Inc.
9.75%, 09/01/10 136,000 148,580
Safeco Corporation
4.20%, 02/01/08 450,000 455,143
Sara Lee Corporation
6.25%, 09/15/11 240,000 266,295
3.88%, 06/15/13 150,000 142,556
SBC Communications, Inc.
4.13%, 09/15/09+++ 525,000 524,596
5.10%, 09/15/14 420,000 424,709
Schuler Homes, Inc.
9.38%, 07/15/09 38,000 41,040
Simon Property Group LP
7.38%, 01/20/06 900,000 935,152
SLM Corporation
4.63%, 04/01/09++ 1,100,000 1,097,679
Smithfield Foods, Inc.
7.00%, 08/01/11 30,000 32,175
Sonat, Inc.
7.63%, 07/15/11 460,000 478,400
Southern California Edison
Co.
6.38%, 01/15/06 500,000 515,822
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Southern Natural Gas Co.
8.88%, 03/15/10 $ 130,000 $ 146,250
8.00%, 03/01/32 400,000 438,500
Sovereign Bancorp, Inc.
2.71%, 08/25/06++ 300,000 300,050
Sovereign Bank
5.13%, 03/15/13 50,000 50,139
4.38%, 08/01/13++ 425,000 424,561
Sprint Capital Corporation
4.78%, 08/17/06 STEP 710,000 723,889
6.00%, 01/15/07 340,000 356,012
6.13%, 11/15/08 510,000 547,407
8.38%, 03/15/12 300,000 365,954
6.88%, 11/15/28 250,000 274,532
SPX Corporation
7.50%, 01/01/13 55,000 59,950
Target Corporation
5.88%, 03/01/12+++ 460,000 501,629
TCI Communications
Financing III
9.65%, 03/31/27 2,610,000 3,031,636
Tenet Healthcare
Corporation
7.38%, 02/01/13+++ 170,000 165,750
Tennessee Valley Authority
6.75%, 11/01/25 1,420,000 1,697,989
7.13%, 05/01/30 3,360,000 4,193,072
THL Buildco, Inc.
8.50%, 09/01/14 144A 125,000 131,250
Time Warner Entertainment
Co. LP
8.38%, 07/15/33 320,000 414,724
Time Warner, Inc.
6.88%, 05/01/12 110,000 125,457
7.70%, 05/01/32 1,310,000 1,607,396
Triton PCS, Inc.
8.75%, 11/15/11+++ 500,000 397,500
TXU Corporation
4.80%, 11/15/09 144A 575,000 576,648
5.55%, 11/15/14 144A+++ 400,000 398,110
6.50%, 11/15/24 144A 475,000 477,113
TXU Energy Co. LLC
2.84%, 01/17/06 144A++@ 885,000 887,694
7.00%, 03/15/13 150,000 167,793
Tyson Foods, Inc.
7.25%, 10/01/06 100,000 106,065
8.25%, 10/01/11+++ 125,000 148,628
Unilever Capital
Corporation
7.13%, 11/01/10 285,000 328,210
Union Pacific Corporation
6.65%, 01/15/11+++ 260,000 291,069
United Air Lines, Inc.
9.21%, 01/21/17#@ 200,000 90,125
9.56%, 10/19/18#@ 262,152 109,230
United Telephone Co. of
Kansas
6.89%, 07/01/08 500,000 532,515
</Table>
See Notes to Financial Statements.
74
<Table>
<Caption>
PAR VALUE
----------- --------------
Ventas Realty LP
8.75%, 05/01/09 $ 70,000 $ 78,838
9.00%, 05/01/12 20,000 23,425
Verizon Global Funding
Corporation
6.88%, 06/15/12+++ 40,000 45,729
4.38%, 06/01/13+++ 140,000 136,656
Verizon New York, Inc.
6.88%, 04/01/12 275,000 309,128
Verizon Wireless Capital
LLC
2.42%, 05/23/05 144A++ 1,200,000 1,199,816
Vintage Petroleum, Inc.
8.25%, 05/01/12 250,000 276,875
Washington Mutual, Inc.
8.25%, 04/01/10 250,000 292,801
Waste Management, Inc.
7.75%, 05/15/32 980,000 1,217,523
Westlake Chemical
Corporation
8.75%, 07/15/11 22,000 24,970
Weyerhaeuser Co.
6.00%, 08/01/06 200,000 207,913
6.75%, 03/15/12 410,000 462,668
Williams Cos., Inc.
7.50%, 01/15/31 270,000 280,800
7.75%, 06/15/31+++ 200,000 210,500
8.75%, 03/15/32+++ 1,130,000 1,303,737
Xerox Corporation
7.13%, 06/15/10+++ 250,000 271,250
XTO Energy, Inc.
7.50%, 04/15/12 43,000 50,391
6.25%, 04/15/13+++ 255,000 279,528
--------------
TOTAL CORPORATE BONDS
(Cost $107,175,383) 114,061,698
--------------
FOREIGN BONDS -- 9.2%
AUSTRALIA -- 0.1%
QBE Insurance Group, Ltd.
5.65%, 07/01/23 144A++ 625,000 614,881
--------------
BAHAMAS -- 0.0%
Teekay Shipping Corporation
8.88%, 07/15/11 206,000 239,990
--------------
BERMUDA -- 0.6%
Arch Capital Group, Ltd.
7.35%, 05/01/34 550,000 588,220
Intelsat, Ltd.
6.50%, 11/01/13+++ 110,000 100,263
Tyco International Group SA
6.38%, 02/15/06 100,000 103,360
5.80%, 08/01/06 800,000 828,606
6.13%, 11/01/08+++ 90,000 97,049
6.75%, 02/15/11 400,000 448,883
6.00%, 11/15/13 2,920,000 3,186,739
--------------
5,353,120
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
BRAZIL -- 1.0%
Federal Republic of Brazil
8.00%, 04/15/05 $ 757,610 $ 780,177
3.06%, 04/15/06++,+++ 528,000 529,290
14.50%, 10/15/09+++ 900,000 1,200,060
12.00%, 04/15/10+++ 410,000 508,400
2.19%, 04/15/12++ 388,238 371,738
3.13%, 04/15/12++ 132,354 126,880
8.00%, 04/15/14+++ 3,732,342 3,843,517
10.13%, 05/15/27 800,000 914,800
11.00%, 08/17/40+++ 505,000 599,814
--------------
8,874,676
--------------
BULGARIA -- 0.2%
Republic of Bulgaria
2.75%, 07/28/11++ 609,700 611,157
8.25%, 01/15/15 144A 260,000 325,000
8.25%, 01/15/15 480,000 604,752
--------------
1,540,909
--------------
CANADA -- 0.4%
Bombardier Capital Funding
LP
6.13%, 05/14/07(E) 250,000 344,245
Cascades, Inc.
7.25%, 02/15/13 106,000 112,890
Conoco Funding Co.
7.25%, 10/15/31 315,000 385,355
General Motors Nova Scotia
Finance Co.
6.85%, 10/15/08 1,670,000 1,743,928
Hydro Quebec
6.30%, 05/11/11 305,000 340,500
Rogers Cable, Inc.
5.50%, 03/15/14 300,000 284,250
Rogers Wireless
Communications, Inc.
5.53%, 12/15/10 144A++,+++ 250,000 263,125
6.38%, 03/01/14 144A 100,000 99,500
Sun Media Corporation
7.63%, 02/15/13+++ 50,000 54,813
Western Oil Sands, Inc.
8.38%, 05/01/12+++ 95,000 111,506
--------------
3,740,112
--------------
CAYMAN ISLANDS -- 0.2%
ACE, Ltd.
6.00%, 04/01/07 350,000 365,306
Mizuho Financial Group
(Cayman), Ltd.
5.79%, 04/15/14 144A+++ 500,000 526,143
Systems 2001 Asset Trust
LLC
6.66%, 09/15/13 144A 945,418 1,048,160
--------------
1,939,609
--------------
</Table>
See Notes to Financial Statements.
75
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
CHILE -- 0.0%
Codelco, Inc.
4.75%, 10/15/14 144A $ 210,000 $ 206,329
--------------
COLOMBIA -- 0.1%
Republic of Colombia
10.50%, 07/09/10 60,000 70,200
11.75%, 02/25/20+++ 605,000 780,450
--------------
850,650
--------------
EL SALVADOR -- 0.0%
Republic of El Salvador
8.25%, 04/10/32 100,000 102,463
--------------
FRANCE -- 0.0%
Compagnie Generale de
Geophysique SA
10.63%, 11/15/07 63,000 66,544
Legrand SA
8.50%, 02/15/25 250,000 296,250
--------------
362,794
--------------
GERMANY -- 2.0%
Aries Vermogensverwaltungs
9.60%, 10/25/14 144A 500,000 617,500
Deutsche Bundesrepublik
4.50%, 01/04/13(E) 4,000,000 5,812,092
6.50%, 07/04/27(E) 2,300,000 4,158,623
5.50%, 01/04/31(E) 4,890,000 7,933,020
Morgan Stanley (Gazprom)
9.63%, 03/01/13 40,000 47,628
9.63%, 03/01/13 144A 110,000 130,350
--------------
18,699,213
--------------
GUATEMALA -- 0.0%
Republic of Guatemala
8.13%, 10/06/34 144A 170,000 176,800
--------------
IRELAND -- 0.0%
Eircom Funding
8.25%, 08/15/13 130,000 144,300
--------------
ITALY -- 0.3%
Republic of Italy
3.80%, 03/27/08(J)+++ 156,000,000 1,694,427
Telecom Italia Capital SA
5.25%, 11/15/13 165,000 167,065
4.95%, 09/30/14 144A+++ 1,010,000 991,424
--------------
2,852,916
--------------
JAPAN -- 0.2%
ASIF II
1.20%, 01/26/05(J) 229,000,000 2,236,193
--------------
MALAYSIA -- 0.1%
Petronas Capital, Ltd.
7.88%, 05/22/22 144A 430,000 538,086
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
MEXICO -- 1.2%
America Movil SA de CV
4.13%, 03/01/09+++ $ 850,000 $ 839,491
Telefonos de Mexico SA de
CV
8.25%, 01/26/06+++ 650,000 684,019
United Mexican States
7.50%, 01/14/12 750,000 852,375
8.00%, 12/19/13(M) 30,900,000 2,484,172
11.50%, 05/15/26+++ 1,070,000 1,639,775
8.30%, 08/15/31 220,000 258,390
7.50%, 04/08/33+++ 4,072,000 4,407,941
--------------
11,166,163
--------------
NETHERLANDS -- 0.2%
Deutsche Telekom
International Finance BV
8.25%, 06/15/05 225,000 230,269
8.75%, 06/15/30 600,000 794,641
TPSA Finance BV
7.75%, 12/10/08 144A 375,000 414,114
--------------
1,439,024
--------------
PANAMA -- 0.2%
Republic of Panama
8.25%, 04/22/08 520,000 579,800
9.63%, 08/08/11 110,000 130,350
10.75%, 05/15/20+++ 397,000 518,085
9.38%, 01/16/23 550,000 638,000
--------------
1,866,235
--------------
PERU -- 0.1%
Republic of Peru
7.50%, 10/14/14(E) 110,000 165,795
5.00%, 03/07/17 144A++ 528,000 509,520
5.00%, 03/07/17++ 290,400 279,793
8.75%, 11/21/33+++ 60,000 65,400
--------------
1,020,508
--------------
POLAND -- 0.1%
Poland Government
6.00%, 05/24/09(P) 2,990,000 994,340
--------------
QATAR -- 0.1%
State of Qatar
9.75%, 06/15/30 500,000 727,500
--------------
RUSSIA -- 1.0%
Russian Federation
8.25%, 03/31/10+++ 2,970,000 3,302,046
5.00%, 03/31/30 STEP 5,610,000 5,808,594
--------------
9,110,640
--------------
SINGAPORE -- 0.1%
DBS Bank, Ltd.
5.00%, 11/15/19 144A++ 750,000 746,090
--------------
SOUTH AFRICA -- 0.2%
Republic of South Africa
13.00%, 08/31/10(R)+++ 8,810,000 1,929,986
--------------
</Table>
See Notes to Financial Statements.
76
<Table>
<Caption>
PAR VALUE
----------- --------------
SOUTH KOREA -- 0.0%
Export-Import Bank of Korea
5.25%, 02/10/14 144A $ 235,000 $ 239,809
Korea Asset Funding, Ltd.
3.94%, 02/10/09 144A++ 49,725 49,600
--------------
289,409
--------------
TURKEY -- 0.0%
Republic of Turkey
11.88%, 01/15/30 100,000 144,500
--------------
UNITED KINGDOM -- 0.8%
BP Capital Markets PLC
2.75%, 12/29/06+++ 740,000 732,778
HBOS Capital Funding LP
6.07%, 12/31/49 144A++ 1,100,000 1,181,072
HSBC Capital Funding LP
4.61%, 12/29/49 144A++ 960,000 929,055
United Kingdom Treasury
Note
5.00%, 03/07/12(U) 2,300,000 4,545,331
--------------
7,388,236
--------------
VENEZUELA -- 0.0%
Petrozuata Finance, Inc.
8.22%, 04/01/17 144A 140,000 139,825
--------------
TOTAL FOREIGN BONDS
(Cost $77,856,380) 85,435,497
--------------
MORTGAGE-BACKED SECURITIES -- 14.1%
ABN Amro Mortgage
Corporation
16.29%, 06/25/33 IO(omg)@ 1,034,944 127,684
Bear Stearns Adjustable
Rate Mortgage Trust
5.64%, 02/25/33++ 619,296 618,703
3.52%, 06/25/34++ 2,900,000 2,824,446
Bear Stearns Alt-A Trust
2.74%, 02/25/34 STEP 740,959 740,208
Chevy Chase Funding LLC
2.77%, 07/25/34 2,287,734 2,293,454
Commerical Mortgage Asset
Trust
7.55%, 01/17/10++ 440,000 497,913
Credit-Based Asset
Servicing and
Securitization
2.71%, 08/25/33++ 568,365 569,057
CS First Boston Mortgage
Securities Corporation
(17.84%), 04/25/33
IO(omg)@ 202,194 14,971
(34.09%), 05/25/33
IO(omg)@ 191,617 15,225
(4.83%), 06/25/33
IO(omg)@ 167,860 10,830
12.58%, 07/25/33 IO(omg)@ 1,067,072 151,126
16.53%, 07/25/33
IO++(omg)@ 1,144,194 13,688
18.72%, 08/25/33
IO++(omg)@ 1,193,002 10,119
2.75%, 03/25/34++ 633,439 634,090
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Federal Home Loan Mortgage
Corporation
8.00%, 10/01/07 $ 1,175 $ 1,176
5.50%, 08/15/14 1,166,463 1,176,916
7.00%, 11/01/14 303,651 321,895
7.00%, 04/01/15 167,752 177,831
8.00%, 06/01/15 10,614 11,052
7.00%, 12/01/15 118,646 125,764
6.00%, 04/15/16 545,293 552,989
8.50%, 06/01/16 28,451 31,355
8.50%, 06/01/18 21,481 23,673
0.06%, 04/15/22 PO(omg)@ 79,541 79,376
8.00%, 08/01/24 15,491 16,837
7.50%, 11/01/29 51,880 55,628
7.50%, 12/01/29 77,499 83,097
6.50%, 01/01/31 166,836 175,272
7.50%, 02/01/31 115,814 124,135
6.50%, 08/01/31 94,773 99,539
16.59%, 08/15/31 IO(omg)@ 1,023,470 134,162
7.50%, 11/01/31 61,829 66,272
6.50%, 03/01/32 416,867 437,728
6.50%, 06/01/32 334,857 351,614
6.50%, 08/01/32 4,290,893 4,506,048
6.50%, 09/01/32 711,174 746,763
6.50%, 02/01/34 2,491,426 2,616,101
6.50%, 07/01/34 2,857,338 2,998,966
6.50%, 10/01/34 935,728 984,217
7.00%, 01/01/35 TBA 1,000,000 1,059,062
Federal Housing
Administration
7.43%, 10/01/18 422,302 422,302
Federal National Mortgage
Association
6.50%, 04/26/06 449,619 464,180
34.86%, 10/25/08
IO++(omg)@ 714,512 96,561
6.50%, 03/25/11 1,572,821 1,575,044
8.00%, 06/01/15 119,058 126,630
8.00%, 06/15/15 77,183 82,092
8.00%, 07/01/15 299,354 318,393
8.00%, 09/01/15 165,961 176,516
6.00%, 10/25/15 731,813 740,185
6.00%, 05/01/16 420,200 440,592
6.00%, 07/01/16 76,734 80,458
6.00%, 02/01/17 779,902 817,750
5.00%, 12/01/17 245,350 249,399
5.50%, 02/01/18 364,975 377,490
10.82%, 08/25/21 IO(omg)@ 536 10,665
9.03%, 10/25/21 IO(omg)@ 1,095 19,400
19.89%, 01/25/22++ 481,524 584,948
3.71%, 03/25/22++ 638,311 640,343
9.50%, 05/01/22 14,776 16,650
3.07%, 07/01/22++ 82,815 83,486
6.00%, 01/01/23 319,042 332,155
9.50%, 07/01/24 29,471 33,117
3.18%, 07/01/27++ 77,706 78,359
3.18%, 11/01/27 CONV++ 166,575 167,975
</Table>
See Notes to Financial Statements.
77
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
6.50%, 12/25/28 $ 238,641 $ 240,594
6.50%, 12/01/29 561,437 590,308
8.00%, 10/01/30 189,696 205,688
2.86%, 10/18/30++ 164,626 165,668
3.18%, 01/01/31++ 49,532 49,905
6.21%, 05/01/31++ 104,301 106,919
6.50%, 12/01/31 1,469,633 1,543,237
15.94%, 12/25/31 IO(omg)@ 915,179 111,866
6.00%, 01/01/32 181,322 187,744
6.00%, 03/01/32 696,989 721,675
6.50%, 03/01/32 870,026 916,405
8.00%, 03/01/32 17,760 19,167
6.00%, 04/01/32 1,396,345 1,445,786
3.18%, 06/01/32++ 64,424 64,865
3.07%, 08/01/32++ 76,021 76,535
5.36%, 08/01/32++ 632,294 645,832
6.50%, 09/01/32 26,858 28,191
3.07%, 05/01/33++ 163,095 164,111
4.50%, 08/01/33 3,498,081 3,387,142
6.50%, 11/01/34 500,049 524,573
3.18%, 11/01/35++ 79,111 79,619
4.15%, 05/01/36++ 952,257 967,987
3.18%, 12/01/37++ 328,569 330,705
3.18%, 01/01/38++ 158,934 159,972
3.18%, 11/01/40++ 173,730 174,877
FFCA Secured Lending
Corporation
10.78%, 07/18/20 IO
144A++(omg)@ 3,517,605 206,835
Financial Asset
Securitization, Inc.
7.25%, 07/25/27 40,901 40,824
First Nationwide Trust
8.50%, 09/25/31 54,461 54,634
First Union Commercial
Mortgage Securities, Inc.
7.38%, 04/18/07 4,900,026 5,213,889
First Union National Bank
Commercial Mortgage Trust
7.20%, 09/15/10 1,500,000 1,712,962
GMAC Commercial Mortgage
Securities, Inc.
6.87%, 08/15/07 490,631 519,060
Government National
Mortgage Association
26.33%, 02/08/06++ 465,189 645,330
7.00%, 10/15/25 81,596 87,084
7.00%, 01/15/26 66,129 70,511
7.00%, 07/15/27 444,620 473,504
7.00%, 12/15/27 6,659 7,091
7.00%, 01/15/28 54,799 58,335
7.00%, 03/15/28 583,251 621,199
13.85%, 06/20/28 IO(omg)@ 46,336 1,713
7.00%, 07/15/28 69,082 73,540
7.50%, 07/15/28 40,661 43,692
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
6.50%, 08/15/28 $ 79,797 $ 84,159
7.00%, 08/15/28 96,888 103,140
7.50%, 08/15/28 70,266 75,504
6.50%, 09/15/28 312,434 329,515
7.00%, 10/15/28 128,621 136,921
7.50%, 12/15/28 9,624 10,341
6.00%, 02/20/29 65,224 65,255
7.50%, 03/15/29 146,722 157,933
7.50%, 11/15/29 128,566 138,112
4.00%, 11/20/29++ 398,255 406,196
7.50%, 02/15/30 29,775 31,982
8.50%, 08/15/30 14,202 15,504
6.50%, 08/20/30 92,533 92,690
8.50%, 11/20/30 95,602 103,984
7.50%, 02/15/31 39,212 42,114
6.50%, 08/15/31 612,491 644,893
7.50%, 08/15/31 355,642 381,963
6.50%, 10/15/31 923,517 972,541
6.00%, 11/15/31 1,490,761 1,546,123
6.50%, 11/15/31 594,498 625,949
6.00%, 12/15/31 663,648 688,294
6.00%, 01/15/32 1,135,491 1,178,228
6.00%, 02/15/32 1,306,035 1,354,537
6.50%, 02/15/32 1,175,880 1,238,556
7.50%, 02/15/32 47,653 51,177
6.00%, 04/15/32 1,161,952 1,205,685
6.50%, 04/15/32 1,025,665 1,079,926
7.50%, 04/15/32 316,393 339,793
6.50%, 06/15/32 3,386,653 3,567,457
6.50%, 07/15/32 540,488 569,081
6.50%, 08/15/32 2,019,892 2,126,750
6.50%, 09/15/32 1,602,079 1,686,835
6.00%, 10/15/32 1,266,602 1,313,640
6.00%, 11/15/32 1,427,225 1,480,398
6.00%, 12/15/32 648,453 672,535
6.50%, 12/15/32 68,286 71,898
6.00%, 01/15/33 643,240 667,128
6.00%, 02/15/33 511,455 530,448
6.50%, 03/15/33 544,123 572,909
6.50%, 04/15/33 4,122,879 4,340,992
6.00%, 05/15/33 5,785,909 6,000,779
6.50%, 05/15/33 457,756 481,973
6.00%, 06/15/33 650,893 675,065
5.00%, 08/15/33 1,708,795 1,710,896
5.00%, 09/15/33 1,969,519 1,971,942
5.00%, 10/15/33 634,102 634,881
6.00%, 10/15/33 1,934,919 2,006,776
6.50%, 10/15/33 827,331 871,100
6.00%, 12/15/33 2,404,790 2,494,096
Impac CMB Trust
2.70%, 08/25/32++ 854,045 854,576
2.88%, 03/25/33++ 537,613 539,279
2.78%, 10/25/34++ 1,458,590 1,457,992
Indymac ARM Trust
3.87%, 09/28/31++ 129,805 129,700
</Table>
See Notes to Financial Statements.
78
<Table>
<Caption>
PAR VALUE
----------- --------------
LB-UBS Commercial Mortgage
Trust
6.08%, 06/15/36 IO
144A++(omg)@ $ 5,300,195 $ 258,860
Lomas & Nettleton Financial
Corporation
9.50%, 10/01/14@+ 7,732 7,764
Merrill Lynch Mortgage
Investors, Inc.
5.27%, 05/25/32++ 81,942 81,521
MLCC Mortgage Investors,
Inc.
2.45%, 09/25/27 STEP 3,426,146 3,420,389
2.36%, 03/25/28++ 364,332 364,989
2.81%, 03/25/28++ 1,020,131 1,022,585
2.75%, 01/01/49++ 749,732 751,540
Nomura Asset Securities
Corporation
7.07%, 04/13/36 347,427 356,133
7.12%, 04/13/36 2,000,000 2,088,306
Residential Asset Mortgage
Products, Inc.
1.57%, 07/25/41 1,622,463 1,626,178
Residential Asset
Securitization Trust
2.87%, 04/25/33++ 458,668 459,021
Sequoia Mortgage Trust
2.74%, 07/20/33++ 1,670,421 1,675,061
2.35%, 09/20/34++ 960,837 959,574
2.53%, 11/20/34 STEP 1,955,321 1,955,864
Structured Asset Securities
Corporation
7.50%, 07/25/16 119,771 119,581
Washington Mutual
20.85%, 01/25/08
IO++(omg)@ 1,320,633 24,599
20.14%, 05/25/08 IO(omg)@ 2,692,700 14,360
20.35%, 06/25/08
IO++(omg)@ 4,198,864 46,038
2.69%, 12/25/27 STEP 5,562,283 5,556,251
4.68%, 02/25/33++ 287,297 289,909
3.67%, 01/25/41++ 298,544 299,513
3.00%, 06/25/42++ 447,796 452,090
20.58%, 01/01/49
IO++(omg)@ 3,214,003 19,132
Wells Fargo Mortgage Backed
Securities Trust
3.54%, 09/25/34++ 2,440,000 2,386,642
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $129,488,594) 130,919,287
--------------
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
MUNICIPAL BONDS -- 1.2%
Las Vegas Valley, Nevada
Water District, Series A
General Obligation Bond
(FGIC Insured) (Callable
12/01/12 @ $100)
5.00%, 06/01/32 $ 1,000,000 $ 1,020,900
Massachusetts State Special
Obligation, Series A
Revenue Bond (FGIC
Insured) (Callable
06/01/12 @ $100)
5.00%, 06/01/21 2,945,000 3,271,453
Massachusetts State Water
Resources Authority,
Series J Revenue Bond
(FSA Insured) (Callable
08/01/12 @ $100)
5.00%, 08/01/32 1,250,000 1,282,425
Minnesota State General
Obligation Bond (Callable
10/01/11 @ $100)
5.00%, 10/01/20 200,000 214,384
New York State Urban
Development Corporation,
Series A Revenue Bond
(Callable 03/15/12 @
$100)
5.13%, 03/15/22 1,500,000 1,685,205
South Carolina
Transportation
Infrastructure Bank,
Series A Revenue Bond
(AMBAC Insured) (Callable
10/01/11 @ $100)
5.00%, 10/01/23 2,700,000 2,830,302
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 1,025,010
--------------
TOTAL MUNICIPAL BONDS
(Cost $10,467,743) 11,329,679
--------------
</Table>
See Notes to Financial Statements.
79
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
OPTIONS -- 0.0%
CALL OPTIONS -- 0.0%
British Pounds
90-Day LIBOR Futures,
Strike Price $93.25,
Expires
09/21/05 133 $ 0
--------------
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$5.75, Expires
04/27/09 280 244,364
--------------
PUT OPTIONS -- 0.0%
10-Year U.S. Treasury Note
Futures, Strike Price
$100.00, Expires
02/18/05 248 3,875
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$6.25, Expires
04/27/09 280 146,782
--------------
TOTAL OPTIONS
(Cost $349,765) 395,021
--------------
<Caption>
SHARES
-----------
PREFERRED STOCKS -- 0.1%
Fannie Mae 7.00%+++
(Cost $950,000) 19,000 1,077,063
--------------
RIGHTS -- 0.0%
United Mexican States
Recovery Rights Series C,
06/30/05* 1,100,000 15,675
United Mexican States
Recovery Rights Series D,
06/30/06* 1,100,000 26,400
United Mexican States
Recovery Rights Series E,
06/30/07* 1,100,000 23,540
--------------
TOTAL RIGHTS
(Cost $0) 65,615
--------------
SHORT-TERM INVESTMENTS -- 35.5%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 64,710,276 64,710,276
Northern Institutional
Liquid Assets Portfolio
sec. 264,765,910 264,765,910
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $329,476,186) 329,476,186
--------------
<Caption>
PAR VALUE
----------- --------------
U.S. TREASURY OBLIGATIONS -- 31.1%
U.S. Treasury Bills
2.16%, 03/17/05 $ 70,000 $ 69,704
2.21%, 03/17/05++++ 1,545,000 1,538,474
2.13%, 05/05/05+++ 400,000 396,780
--------------
2,004,958
--------------
U.S. Treasury Bonds
7.88%, 02/15/21+++ 20,400,000 27,568,702
6.00%, 02/15/26+++ 5,200,000 5,958,269
5.50%, 08/15/28+++ 250,000 270,664
5.38%, 02/15/31+++ 11,260,000 12,179,278
--------------
45,976,913
--------------
U.S. Treasury Inflationary
Index Bonds
3.38%, 01/15/07++++,+++ 2,120,000 2,705,708
3.63%, 01/15/08+++ 10,800,000 13,902,438
4.25%, 01/15/10+++ 1,120,000 1,474,239
0.88%, 04/15/10+++ 12,530,000 12,505,381
1.88%, 07/15/13+++ 1,150,000 1,229,743
2.00%, 07/15/14+++ 6,550,000 6,844,848
2.38%, 01/15/25+++ 2,990,000 3,238,484
3.88%, 04/15/29+++ 5,518,000 8,793,590
3.38%, 04/15/32+++ 60,000 73,434
--------------
50,767,865
--------------
U.S. Treasury Notes
1.63%, 04/30/05+++ 1,900,000 1,895,919
2.50%, 09/30/06+++ 4,900,000 4,859,232
2.88%, 11/30/06+++ 24,100,000 24,032,231
2.75%, 08/15/07+++ 31,000,000 30,669,416
3.00%, 11/15/07+++ 14,160,000 14,077,037
2.63%, 03/15/09+++ 480,000 463,969
4.00%, 06/15/09+++ 6,740,000 6,870,325
3.63%, 07/15/09+++ 620,000 621,986
3.38%, 10/15/09+++ 1,400,000 1,386,657
3.50%, 11/15/09+++ 34,200,000 34,050,408
3.50%, 12/15/09 8,910,000 8,869,629
5.75%, 08/15/10+++ 475,000 523,113
5.00%, 08/15/11+++ 500,000 532,442
4.88%, 02/15/12+++ 15,900,000 16,810,530
4.25%, 08/15/13+++ 1,600,000 1,613,126
4.75%, 05/15/14+++ 7,180,000 7,484,590
4.25%, 08/15/14+++ 5,930,000 5,945,062
4.25%, 11/15/14+++ 3,625,000 3,635,621
--------------
164,341,293
--------------
U.S. Treasury STRIPS
4.11%, 02/15/15(omg) 600,000 449,482
4.70%, 11/15/16(omg)+++ 900,000 518,590
4.75%, 05/15/17(omg) 2,000,000 1,117,830
4.99%, 08/15/20(omg)+++ 8,300,000 3,844,129
5.05%, 08/15/21(omg) 12,900,000 5,632,230
5.06%, 11/15/21(omg) 18,880,000 8,127,613
5.11%, 02/15/23(omg) 90,000 36,142
5.13%, 02/15/25(omg) 850,000 306,821
5.13%, 08/15/25(omg)+++ 1,900,000 668,684
</Table>
See Notes to Financial Statements.
80
<Table>
<Caption>
PAR VALUE
----------- --------------
5.12%, 05/15/26(omg)+++ $ 1,500,000 $ 505,064
5.12%, 11/15/26(omg) 3,600,000 1,179,147
5.14%, 11/15/26(omg)+++ 5,700,000 1,878,959
5.14%, 08/15/27(omg)+++ 150,000 47,600
--------------
24,312,291
--------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $285,129,666) 287,403,320
--------------
TOTAL INVESTMENTS -- 129.0%
(Cost $1,177,357,524) 1,197,054,275
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
WRITTEN OPTIONS -- (0.1)%
CALL OPTIONS -- 0.0%
10-Year U.S. Treasury
Note Futures, Strike
Price $113.00, Expires
02/18/05 (29) (14,500)
10-Year U.S. Treasury
Note Futures, Strike
Price $114.00, Expires
02/18/05 (119) (27,891)
--------------
(42,391)
--------------
CALL SWAPTIONS -- (0.1)%
3-Month LIBOR, Strike
Price $4.00, Expires
07/03/06 (1,380) (135,833)
3-Month LIBOR, Strike
Price $4.00, Expires
09/23/05 (1,700) (119,952)
3-Month LIBOR, Strike
Price $5.50, Expires
01/07/05 (900) (644,040)
--------------
(899,825)
--------------
</Table>
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
PUT OPTIONS -- 0.0%
10-Year U.S. Treasury
Note Futures, Strike
Price $108.00, 02/18/05 (123) $ (11,531)
10-Year U.S. Treasury
Note Futures, Strike
Price $109.00, Expires
02/19/05 (31) (5,328)
--------------
(16,859)
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike
Price $6.00, Expires
07/03/06 (1,380) (125,787)
3-Month LIBOR, Strike
Price $7.00, Expires
01/07/05 (900) 0
3-Month LIBOR, Strike
Price $7.00, Expires
09/23/05 (330) (1,089)
--------------
(126,876)
--------------
TOTAL WRITTEN OPTIONS
(Premiums received $(1,714,774)) (1,085,951)
--------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (28.9%) (268,159,962)
--------------
NET ASSETS -- 100.0% $ 927,808,362
==============
</Table>
See Notes to Financial Statements.
81
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
Swap agreements outstanding at December 31, 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 $ (8,232)
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 (9,434)
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 06/15/08 8,300,000 38,560
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(d) 03/15/32 (2,500,000) (150,600)
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(d) 06/18/34 (500,000) (38,175)
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(b) 06/18/34 (900,000) (68,715)
---------------
(236,596)
---------------
EURODOLLARS
Receive fixed rate
payments of 4.50%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 06/18/07 13,700,000 781,720
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(g) 06/17/10 1,000,000 41,605
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(h) 06/17/10 27,000,000 1,123,336
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(b) 06/17/10 4,800,000 199,704
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(f) 06/17/12 (10,900,000) (1,452,808)
</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) $ (2,625,716)
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) (1,771,047)
Receive fixed rate
payments of 6.00%
and pay variable
rate payments on
the six month EBOR
floating rate(g) 03/15/32 3,000,000 257,694
Receive fixed rate
payments of 6.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(g) 06/18/34 2,300,000 290,392
---------------
(3,155,120)
---------------
U.S. DOLLARS
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) 01/25/05 $ 1,000,000 852
Receive payments
based on the return
of the Lehman
Brothers CMBS Index
and pay variable
rate payments on
the one month LIBOR
floating rate less
0.40%(i) 04/01/05 4,200,000 17,864
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(d) 06/15/07 2,850,000 15,041
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(b) 06/15/07 7,900,000 41,693
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) (1,688)
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) (681)
</Table>
See Notes to Financial Statements.
82
<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) $ (1,876)
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) (795)
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) (2,928)
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) (460)
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) (578)
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) (2,577)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(h) 06/15/10 26,200,000 (260,713)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(j) 06/15/10 13,800,000 (137,322)
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(e) 06/15/15 (15,500,000) (271,978)
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(b) 06/15/15 $ 20,600,000 $ 361,468
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) 283,097
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
6.00%(e) 06/15/25 (2,300,000) (222,398)
---------------
(183,979)
---------------
$ (3,575,695)
===============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 17.4%
Asset-Backed Securities 5.4%
Certificates of Deposit 1.7%
Commercial Paper 1.0%
Corporate Bonds 12.3%
Foreign Bonds 9.2%
Forward Foreign Currency Contracts (1.3%)
Futures Contracts 36.6%
Mortgage-Backed Securities 14.1%
Municipal Bonds 1.2%
Options 0.0%*
Preferred Stocks 0.1%
Rights 0.0%*
Short-Term Investments 35.5%
Swap Contracts (0.4%)
U.S. Treasury Obligations 31.1%
Written Options (0.1%)
------
163.8%
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%.
See Notes to Financial Statements.
83
EXTENDED-DURATION BOND FUND
Long-term rates remained relatively unchanged during the fourth quarter. As
evidence, the yield on the 30-year Treasury-bond fell by a modest 0.07% during
the period. During the quarter, long duration bonds benefited from their higher
coupon income and a flattening yield curve environment whereby short-term rates
(and to a lesser degree mid-term rates) materially increased. As a result,
long-term duration bonds were the best performing segment of the bond market as
they outpaced both short- and intermediate-term bonds for both the quarter and
the calendar year 2004. Although November was a difficult performance month due
to a temporary sell-off, the quarter saw both long-term government bonds and
long-term corporate bonds generating positive returns for the quarter. For the
fourth quarter, long-duration government bonds, as measured by the Lehman
Brothers Long-Term Government Index, returned 1.6%, while the long-duration
credit bonds, as measured by the Lehman Brothers Long-Term Credit Index,
returned 3.0%. Long-term corporates outpaced long-term governments for the
quarter and calendar year reflecting investors' willingness to accept additional
risk for incremental yield. This demand caused credit spreads to narrow, which
in turn, elevated corporate bond prices.
The fund, primarily comprised of fixed income securities with longer maturities,
produced a positive absolute return and outperformed its composite benchmark
index (50% Lehman Brothers Long-Term Government Index / 50% Lehman Brothers
Long-Term Credit Index) during the quarter with the relative outperformance
taking place in October and November. The fourth quarter was the fund's best
performing quarter on a benchmark relative basis during the year. In the midst
of rising short and intermediate-term interest rates and flattening yield curve
environment, the Extended-Duration Bond Fund was the top performing fixed income
AB Funds Trust Select Fund for the quarter and calendar year. During the
quarter, the fund benefited from its allocation to corporates as credit spreads
narrowed (causing corporate bond prices to appreciate) during the period. Also
benefiting the fund were tactical allocations to high yield, non-dollar and
emerging market debt sectors. At the end of the fourth quarter, the fund
maintained an approximate 60% allocation to Treasury/agency and maintained an
average credit quality of AA. The quarter ended with the GS4 Class having a SEC
yield of 4.52%, compared to 4.47% as of September 30, 2004.
84
EXTENDED-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 8.49% 8.37% 8.05% 8.66% N/A N/A
Since Inception 9.62% 9.59% 9.21% 8.95% 1.91% 2.19%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 CLASS BENCHMARK INDEX**
--------- -----------------
Aug 27 2001 10000 10000
Aug 2001 10097 10111
Sep 2001 9943 10027
Oct 2001 10364 10516
Nov 2001 10281 10202
Dec 2001 10248 10063
Jan 2002 10349 10202
Feb 2002 10439 10300
Mar 2002 10143 9948
Apr 2002 10251 10208
May 2002 10390 10286
Jun 2002 10290 10350
Jul 2002 10295 10443
Aug 2002 10680 10927
Sep 2002 10896 11259
Oct 2002 10574 10965
Nov 2002 10777 11066
Dec 2002 11275 11521
Jan 2003 11332 11530
Feb 2003 11646 11868
Mar 2003 11597 11774
Apr 2003 11995 12039
May 2003 12579 12691
Jun 2003 12503 12515
Jul 2003 11590 11432
Aug 2003 11768 11671
Sep 2003 12394 12285
Oct 2003 12193 12013
Nov 2003 12393 12099
Dec 2003 12537 12266
Jan 2004 12712 12477
Feb 2004 12948 12711
Mar 2004 13087 12885
Apr 2004 12390 12198
May 2004 12289 12108
Jun 2004 12395 12203
Jul 2004 12608 12431
Aug 2004 13077 12902
Sep 2004 13248 13033
Oct 2004 13468 13239
Nov 2004 13276 13001
Dec 2004 13586 13328
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
85
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 PAR VALUE
- ----------------- -------------- -------------
AGENCY OBLIGATIONS -- 2.8%
Federal Home Loan Mortgage
Corporation
4.63%, 02/15/07(E) $ 1,250,000 $ 1,767,281
Federal National Mortgage
Association
6.62%, 10/29/07(Z)(omg)+++ 4,815,000 2,894,276
5.25%, 01/15/09+++ 250,000 264,165
2.29%, 02/19/09(G) 2,500,000 1,534,622
5.50%, 03/15/11+++ 6,000,000 6,442,578
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $11,724,054) 12,902,922
-------------
ASSET-BACKED SECURITIES -- 0.4%
Community Program Loan
Trust
4.50%, 04/01/29
(Cost $1,657,404) 1,950,000 1,809,062
-------------
CORPORATE BONDS -- 14.3%
Agilysys, Inc.
9.50%, 08/01/06 500,000 528,260
AK Steel Corporation
7.75%, 06/15/12+++ 250,000 258,750
American Airlines, Inc.
6.98%, 04/01/11+++ 60,164 60,173
8.61%, 10/01/11+++ 850,000 782,663
Arrow Electronics, Inc.
6.88%, 07/01/13+++ 250,000 274,926
Atlas Air, Inc.
7.20%, 01/02/19 449,891 439,270
Bausch & Lomb, Inc.
7.13%, 08/01/28 1,500,000 1,605,747
Borden, Inc.
7.88%, 02/15/23 1,200,000 1,047,000
Chesapeake Energy
Corporation
6.88%, 01/15/16 975,000 1,026,188
CIT Group, Inc.
5.50%, 12/01/14(U) 600,000 1,155,848
Comcast Corporation
5.50%, 03/15/11 500,000 529,171
Commonwealth Edison Co.
4.75%, 12/01/11 538,000 534,220
Constellation Energy Group,
Inc.
4.55%, 06/15/15 750,000 717,364
Continental Airlines, Inc.
6.65%, 09/15/19 2,326,007 2,260,715
6.70%, 06/15/21+++ 403,287 392,294
Corning, Inc.
6.20%, 03/15/16+++ 230,000 231,731
Cox Communications, Inc.
6.75%, 03/15/11 250,000 274,097
Cummins, Inc.
7.13%, 03/01/28 425,000 435,625
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Dana Corporation
6.50%, 03/01/09+++ $ 250,000 $ 265,000
Delphi Corporation
7.13%, 05/01/29+++ 2,500,000 2,356,995
Devon Energy Corporation
4.95%, 08/15/08 CONV+++ 963,000 1,062,911
Dillard's, Inc.
7.75%, 07/15/26 890,000 903,350
7.00%, 12/01/28 500,000 485,000
El Paso Corporation
7.00%, 05/15/11+++ 400,000 406,500
EOP Operating LP
7.25%, 06/15/28 500,000 568,124
First Industrial LP
7.60%, 07/15/28 1,000,000 1,128,851
Foot Locker, Inc.
8.50%, 01/15/22 1,000,000 1,105,000
Ford Motor Co.
6.63%, 10/01/28 1,500,000 1,403,145
6.38%, 02/01/29 1,500,000 1,353,825
General Motors Acceptance
Corporation
6.88%, 08/28/12+++ 250,000 255,622
Georgia-Pacific Corporation
7.75%, 11/15/29 2,950,000 3,318,749
HCA, Inc.
6.30%, 10/01/12 1,500,000 1,523,619
7.58%, 09/15/25 1,000,000 1,007,652
7.05%, 12/01/27 500,000 475,244
Health Care Property
Investors, Inc.
6.00%, 03/01/15+++ 1,500,000 1,594,674
Highwoods Properties, Inc.
7.50%, 04/15/18 1,500,000 1,612,121
IMC Global, Inc.
7.38%, 08/01/18 500,000 522,500
7.30%, 01/15/28 690,000 714,150
International Paper Co.
6.88%, 11/01/23 300,000 336,427
Kinder Morgan, Inc.
7.25%, 03/01/28+++ 500,000 570,826
Midamerican Energy Holdings
Co.
5.88%, 10/01/12 1,000,000 1,061,291
Motorola, Inc.
5.80%, 10/15/08 500,000 530,296
7.63%, 11/15/10 500,000 580,680
6.50%, 11/15/28+++ 500,000 529,546
Nisource Finance
Corporation
6.15%, 03/01/13+++ 1,000,000 1,085,798
Pemex Project Funding
Master Trust
8.63%, 02/01/22 1,000,000 1,166,000
Penney (JC) Co., Inc.
7.95%, 04/01/17 500,000 587,500
</Table>
See Notes to Financial Statements.
86
<Table>
<Caption>
PAR VALUE
-------------- -------------
Pioneer Natural Resources
Co.
7.20%, 01/15/28 $ 2,500,000 $ 2,873,474
Preston Corporation
7.00%, 05/01/11 CONV 250,000 229,063
Pulte Homes, Inc.
7.30%, 10/24/05 1,000,000 1,029,886
7.88%, 06/15/32 1,500,000 1,774,738
6.38%, 05/15/33+++ 1,000,000 994,084
Qwest Corporation
6.88%, 09/15/33 2,250,000 2,081,250
Raytheon Co.
6.40%, 12/15/18 2,600,000 2,875,698
7.20%, 08/15/27 250,000 296,768
7.00%, 11/01/28 750,000 874,375
Southern Natural Gas Co.
7.35%, 02/15/31 1,750,000 1,824,375
Sprint Capital Corporation
6.88%, 11/15/28 3,450,000 3,788,544
Swift Energy Co.
7.63%, 07/15/11+++ 150,000 162,750
Tennessee Gas Pipeline Co.
7.00%, 10/15/28 750,000 755,625
Trinet Corporate Realty
Trust, Inc.
7.70%, 07/15/17 1,000,000 1,155,608
Union Pacific Resources
Group
7.15%, 05/15/28 250,000 293,753
Weyerhaeuser Co.
7.13%, 07/15/23+++ 500,000 567,814
7.38%, 03/15/32 250,000 297,416
Williams Cos., Inc.
7.50%, 01/15/31 1,250,000 1,300,000
Xerox Capital Trust I
8.00%, 02/01/27 1,500,000 1,567,500
-------------
TOTAL CORPORATE BONDS
(Cost $58,024,158) 65,808,159
-------------
FOREIGN BONDS -- 11.0%
BRAZIL -- 1.0%
Federal Republic of Brazil
8.25%, 01/20/34+++ 4,750,000 4,636,000
-------------
CANADA -- 4.4%
British Columbia Generic
Residual
4.83%, 06/09/14
STRIP(C)(omg) 11,500,000 6,148,562
Canada Generic Residual
5.03%, 06/01/25
STRIP(C)(omg) 4,110,000 1,245,949
Canadian Government
4.50%, 09/01/07(C) 5,075,000 4,376,110
Macmillan Bloedel, Ltd.
7.70%, 02/15/26 500,000 590,952
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Ontario Generic Residual
5.49%, 07/13/22
STRIP(C)(omg) $ 3,900,000 $ 1,268,562
5.54%, 03/08/29
STRIP(C)(omg) 7,000,000 1,566,915
Saskatchewan Residual
4.83%, 04/10/14
STRIP(C)(omg) 7,500,000 3,990,527
5.45%, 02/04/22
STRIP(C)(omg) 3,000,000 1,001,294
-------------
20,188,871
-------------
CAYMAN ISLANDS -- 0.2%
Enersis SA
7.40%, 12/01/16 625,000 685,393
Vale Overseas, Ltd.
8.25%, 01/17/34 100,000 105,750
-------------
791,143
-------------
MALAYSIA -- 0.4%
Telekom Malaysia BHD
7.88%, 08/01/25 144A 225,000 276,173
Tenaga Nasional BHD
7.50%, 11/01/25 144A 1,500,000 1,766,500
-------------
2,042,673
-------------
MEXICO -- 0.6%
Mexican Bonos
9.00%, 12/20/12(M) 15,000,000 1,298,599
Petroleos Mexicanos
8.63%, 12/01/23 144A 1,000,000 1,161,000
TFM SA de CV
11.75%, 06/15/09 STEP 170,000 174,038
-------------
2,633,637
-------------
NORWAY -- 0.2%
Norway Government
6.75%, 01/15/07(N) 5,425,000 971,102
-------------
PHILIPPINES -- 0.3%
Bangko Sentral Pilipinas
8.60%, 06/15/27 330,000 288,750
Philippine Long Distance
Telephone Co.
8.35%, 03/06/17 500,000 462,500
Quezon Power (Philippines),
Ltd.
8.86%, 06/15/17 457,500 430,050
-------------
1,181,300
-------------
SINGAPORE -- 0.9%
ASIF Global Financing XXVII
2.38%, 02/26/09 144A(G) 6,700,000 4,112,275
-------------
SUPRANATIONAL -- 2.1%
Inter-American Development
Bank
15.23%, 05/11/09(B)(omg)@ 7,500,000 1,488,422
</Table>
See Notes to Financial Statements.
87
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
PAR VALUE
-------------- -------------
International Bank for
Reconstruction &
Development
6.30%, 08/20/07(Z)(omg) $ 13,625,000 $ 8,338,139
-------------
9,826,561
-------------
SWEDEN -- 0.7%
Swedish Government
6.50%, 05/05/08(K) 19,640,000 3,282,703
-------------
VENEZUELA -- 0.2%
Cerro Negro Finance, Ltd.
7.90%, 12/01/20 144A 500,000 501,875
Petrozuata Finance, Inc.
8.37%, 10/01/22 144A 450,000 406,125
-------------
908,000
-------------
TOTAL FOREIGN BONDS
(Cost $40,697,020) 50,574,265
-------------
MORTGAGE-BACKED SECURITIES -- 0.5%
Federal Home Loan Mortgage
Corporation
5.00%, 12/01/31 289,288 288,133
Federal National Mortgage
Association
5.00%, 07/25/23 2,000,000 2,021,756
-------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $2,041,420) 2,309,889
-------------
MUNICIPAL BONDS -- 11.3%
Chicago, Illinois Board of
Education, General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.01%, 12/01/22(omg) 10,700,000 4,458,048
5.03%, 12/01/23(omg) 5,130,000 2,009,267
Chicago, Illinois
Wastewater Transmission,
Series A Revenue Bond
(MBIA Insured)
(Non-Callable)
4.89%, 01/01/22(omg) 5,000,000 2,193,200
Clark County, Washington
School District, Series C
General Obligation bond
(FGIC Insured) (Non-
Callable)
4.74%, 12/01/19(omg) 3,600,000 1,801,260
Clovis, California Unified
School District, Series A
General Obligation Bond
(FGIC Insured) (Non-
Callable)
5.15%, 08/01/25(omg) 9,775,000 3,447,936
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Cook County, Illinois
Community Consolidated
School District, General
Obligation Bond (FGIC
Insured) (Non-Callable)
4.74%, 12/01/19(omg) $ 1,890,000 $ 947,022
Coppell, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
5.01%, 08/15/23(omg) 2,195,000 878,702
DeSoto, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
4.62%, 08/15/18(omg) 2,275,000 1,218,513
4.71%, 08/15/19(omg) 2,590,000 1,319,372
Galveston County, Texas,
General Obligation Bond
(FGIC Insured) (Non-
Callable)
5.18%, 02/01/26(omg) 2,500,000 859,775
Granbury, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured) (Non-Callable)
4.79%, 08/01/20(omg) 1,000,000 479,950
Houston, Texas Water &
Sewer System, Series JR-A
Revenue Bond (FSA
Insured) (Non-Callable)
4.95%, 12/01/24(omg) 7,190,000 2,786,053
5.11%, 12/01/24(omg) 2,810,000 1,049,395
5.24%, 12/01/26(omg) 2,065,000 680,831
Indianapolis, Indiana Local
Public Improvement Bond
Bank, Series E Revenue
Bond (AMBAC Insured)
(Non-Callable)
4.95%, 02/01/22(omg) 2,550,000 1,121,465
McKeesport, Pennsylvania
Area School District,
Series C General
Obligation Bond (AMBAC
Insured) (Non-Callable)
5.23%, 10/01/26(omg) 2,090,000 712,815
</Table>
See Notes to Financial Statements.
88
<Table>
<Caption>
PAR VALUE
-------------- -------------
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue
Bond (MBIA Insured)
(Non-Callable)
4.99%, 12/15/22(omg) $ 16,225,000 $ 6,914,609
5.06%, 12/15/23(omg) 5,850,000 2,346,786
5.11%, 12/15/24(omg) 4,695,000 1,770,531
Rocklin, California Unified
School District, General
Obligation Bond (FGIC
Insured) (Non-Callable)
5.08%, 08/01/24(omg) 2,375,000 893,119
San Jose, California
Unified School District,
Santa Clara County,
Series A General
Obligation Bond (FGIC
Insured) (Non-Callable)
4.61%, 08/01/18(omg) 2,055,000 1,099,733
San Mateo, California
Unified High School
District, Series C
General Obligation Bond
(FGIC Insured)
(Non-Callable)
5.38%, 09/01/28(omg) 4,000,000 1,160,520
Union Elementary School
District, California,
Series A General
Obligation Bond (FGIC
Insured) (Non-Callable)
4.72%, 09/01/19(omg) 1,750,000 882,035
Washington State, Motor
Vehicle Fuel Tax, Series
03-C General Obligation
Bond, (MBIA Insured)
(Non-Callable)
4.99%, 06/01/23(omg) 10,000,000 4,036,700
Will County, Illinois
Community United School
District No. 365, General
Obligation Bond (FSA
Insured) (Non-Callable)
5.02%, 11/01/23(omg) 17,825,000 7,062,086
-------------
TOTAL MUNICIPAL BONDS
(Cost $48,957,943) 52,129,723
-------------
<Caption>
SHARES VALUE
-------------- -------------
SHORT-TERM
INVESTMENTS -- 28.7%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 17,259,312 $ 17,259,312
Northern Institutional
Liquid Assets Portfolio
sec. 115,274,769 115,274,769
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $132,534,081) 132,534,081
-------------
<Caption>
PAR
--------------
U.S. TREASURY
OBLIGATIONS -- 57.1%
U.S. Treasury Bonds
7.25%, 05/15/16+++ $ 51,600,000 64,604,851
8.00%, 11/15/21+++ 76,562,000 105,120,238
6.38%, 08/15/27+++ 21,540,000 25,871,565
5.50%, 08/15/28+++ 62,450,000 67,611,929
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $259,010,327) 263,208,583
-------------
TOTAL INVESTMENTS -- 126.1%
(Cost $554,646,407) 581,276,684
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (26.1%) (120,370,577)
-------------
NET ASSETS -- 100.0% $ 460,906,107
=============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 2.8%
Asset-Backed Securities 0.4%
Corporate Bonds 14.3%
Foreign Bonds 11.0%
Mortgage-Backed Securities 0.5%
Municipal Bonds 11.3%
Short-Term Investments 28.7%
U.S. Treasury Obligations 57.1%
------
126.1%
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
89
EQUITY INDEX FUND
U.S. equity markets surged in the fourth quarter as oil prices declined and the
U.S. presidential election progressed toward a clear outcome, helping stocks
close out the year with substantial gains. The broad market, as represented by
the S&P 500(R) Index, advanced 9.22% during the quarter, making up most of its
10.86% gain for the calendar year 2004. All economic sectors within the index
posted positive returns for the quarter. In a reversal of the previous quarter,
information technology was among the best performing sectors, while the energy
sector, though still positive, lagged all other sectors. The fund is a passively
managed fund benchmarked against the S&P 500(R) Index. The fund is comprised of
domestic, large-cap equity stocks with both value and growth-style orientations.
The differential between the benchmark and the fund is primarily a result of
both expenses and social restrictions within the fund.
S&P 500(R) is a trademark of The McGraw-Hill Companies, and has been licensed
for use by AB Funds Trust. The Equity Index Fund is not sponsored, endorsed,
sold or promoted by Standard & Poor's and Standard and Poor's makes no
representation regarding the advisability of purchasing the Equity Index Fund.
90
EQUITY INDEX FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 10.77% 10.60% 10.37% 10.86% N/A N/A
Since Inception 1.90% 1.99% 1.86% 2.39% 4.11% 4.30%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 CLASS S&P 500(R) INDEX**
--------- ------------------
Aug 27 2001 10000 10000
Aug 2001 9585 9570
Sep 2001 8817 8796
Oct 2001 8985 8964
Nov 2001 9666 9652
Dec 2001 9745 9736
Jan 2002 9589 9594
Feb 2002 9378 9409
Mar 2002 9726 9764
Apr 2002 9116 9171
May 2002 9041 9104
Jun 2002 8428 8456
Jul 2002 7757 7796
Aug 2002 7801 7847
Sep 2002 6955 6994
Oct 2002 7569 7610
Nov 2002 8046 8057
Dec 2002 7543 7585
Jan 2003 7347 7386
Feb 2003 7240 7275
Mar 2003 7322 7347
Apr 2003 7916 7952
May 2003 8321 8372
Jun 2003 8415 8478
Jul 2003 8574 8628
Aug 2003 8739 8796
Sep 2003 8643 8703
Oct 2003 9126 9195
Nov 2003 9190 9276
Dec 2003 9658 9762
Jan 2004 9843 9942
Feb 2004 9971 10080
Mar 2004 9817 9928
Apr 2004 9664 9771
May 2004 9811 9906
Jun 2004 9990 10098
Jul 2004 9670 9764
Aug 2004 9708 9803
Sep 2004 9817 9909
Oct 2004 9952 10061
Nov 2004 10339 10468
Dec 2004 10681 10823
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
91
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ---------- ------------
COMMON STOCK -- 98.0%
AUTO & TRANSPORTATION -- 2.7%
Burlington Northern Santa Fe
Corporation 16,900 $ 799,539
Cooper Tire & Rubber Co.+++ 3,100 66,805
CSX Corporation 9,000 360,720
Dana Corporation 6,200 107,446
Delphi Corporation+++ 23,400 211,068
Delta Air Lines, Inc.*+++ 5,200 38,896
FedEx Corporation 13,100 1,290,219
Ford Motor Co.+++ 76,527 1,120,355
General Motors Corporation+++ 23,900 957,434
Genuine Parts Co. 7,300 321,638
Goodyear Tire & Rubber Co.
(The)*+++ 7,300 107,018
Harley-Davidson, Inc. 12,400 753,300
Navistar International
Corporation*+++ 2,900 127,542
Norfolk Southern Corporation 16,400 593,516
Paccar, Inc.+++ 7,775 625,732
Southwest Airlines Co. 33,000 537,240
Union Pacific Corporation 10,800 726,300
United Parcel Service, Inc.
Class B 47,500 4,059,350
Visteon Corporation+++ 5,418 52,934
------------
12,857,052
------------
CONSUMER DISCRETIONARY -- 13.1%
Alberto-Culver Co. 3,750 182,138
Allied Waste Industries,
Inc.*+++ 13,300 123,424
Apollo Group, Inc. Class A* 8,221 663,517
AutoNation, Inc.*+++ 11,200 215,152
AutoZone, Inc.*+++ 3,400 310,454
Avon Products, Inc. 19,700 762,390
Bed Bath & Beyond, Inc.* 13,600 541,688
Best Buy Co., Inc+++ 13,550 805,141
Big Lots, Inc.*+++ 4,800 58,224
Black & Decker Corporation 3,300 291,489
Carnival Corporation 26,800 1,544,484
Cendant Corporation 44,400 1,038,072
Cintas Corporation 7,500 328,950
Circuit City Stores, Inc.+++ 8,300 129,812
Clear Channel Communications,
Inc. 24,700 827,203
Coach, Inc.* 7,900 445,560
Convergys Corporation* 6,000 89,940
Costco Wholesale Corporation 20,800 1,006,928
Darden Restaurants, Inc. 6,750 187,245
Dillard's, Inc. Class A 3,500 94,045
Dollar General Corporation 13,800 286,626
Donnelley (R.R.) & Sons Co. 9,100 321,139
Eastman Kodak Co.+++ 12,000 387,000
eBay, Inc.* 27,800 3,232,584
Electronic Arts, Inc.* 13,400 826,512
Family Dollar Stores, Inc.+++ 7,200 224,856
Federated Department Stores,
Inc. 7,400 427,646
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Fisher Scientific
International, Inc.* 4,800 $ 299,424
Gannett Co., Inc. 11,100 906,870
Gap, Inc. (The)+++ 36,900 779,328
Gillette Co. (The) 42,800 1,916,584
Hasbro, Inc. 7,400 143,412
Hilton Hotels Corporation 16,300 370,662
Home Depot, Inc. (The) 93,050 3,976,957
International Flavors &
Fragrances, Inc. 3,900 167,076
Interpublic Group Cos., Inc.*+++ 17,500 234,500
Jones Apparel Group, Inc. 5,300 193,821
Kimberly-Clark Corporation 20,900 1,375,429
Knight-Ridder, Inc. 3,300 220,902
Kohl's Corporation* 14,300 703,131
Leggett & Platt, Inc.+++ 8,000 227,440
Limited Brands+++ 17,000 391,340
Liz Claiborne, Inc. 4,608 194,504
Lowe's Cos., Inc. 32,600 1,877,434
Marriott International, Inc.
Class A 9,400 592,012
Mattel, Inc. 17,400 339,126
May Department Stores Co.
(The)+++ 12,200 358,680
Maytag Corporation+++ 3,300 69,630
McDonald's Corporation 54,000 1,731,240
McGraw-Hill Co., Inc. (The) 8,000 732,320
Meredith Corporation 2,100 113,820
Monster Worldwide, Inc.* 5,200 174,928
New York Times Co. Class A+++ 6,200 252,960
Newell Rubbermaid, Inc.+++ 11,500 278,185
Nike, Inc. Class B 11,200 1,015,728
Nordstrom, Inc. 6,000 280,380
Office Depot, Inc.* 13,100 227,416
OfficeMax, Inc.+++ 3,700 116,106
Omnicom Group, Inc. 7,900 666,128
Penney (JC) Co., Inc. 11,800 488,520
RadioShack Corporation 6,700 220,296
Reebok International, Ltd.+++ 2,500 110,000
Robert Half International,
Inc.+++ 7,200 211,896
Sabre Holdings Corporation 5,800 128,528
Sears, Roebuck & Co.+++ 8,700 443,961
Snap-On, Inc.+++ 2,400 82,464
Stanley Works (The) 3,400 166,566
Staples, Inc. 21,100 711,281
Starbucks Corporation* 17,100 1,066,356
Starwood Hotels & Resorts
Worldwide, Inc. 8,700 508,080
Target Corporation 37,800 1,962,954
Tiffany & Co. 6,100 195,017
Time Warner, Inc.* 193,100 3,753,864
TJX Cos., Inc. 20,300 510,139
Toys "R" Us, Inc.* 8,900 182,183
Tribune Co. 13,300 560,462
Univision Communications, Inc.
Class A* 13,500 395,145
</Table>
See Notes to Financial Statements.
92
<Table>
<Caption>
SHARES VALUE
---------- ------------
VF Corporation 4,600 $ 254,748
Wal-Mart Stores, Inc. 178,600 9,433,651
Waste Management, Inc. 24,300 727,542
Wendy's International, Inc. 4,800 188,448
Whirlpool Corporation 2,900 200,709
Yahoo!, Inc.* 58,900 2,219,352
Yum! Brands, Inc. 12,100 570,878
------------
61,572,732
------------
CONSUMER STAPLES -- 5.6%
Albertson's, Inc.+++ 15,400 367,752
Campbell Soup Co.+++ 17,200 514,108
Clorox Co.+++ 6,400 377,152
Coca-Cola Co. (The) 103,600 4,312,868
Coca-Cola Enterprises, Inc. 19,700 410,745
Colgate-Palmolive Co. 22,300 1,140,868
ConAgra Foods, Inc. 21,700 639,065
CVS Corporation 16,600 748,162
General Mills, Inc. 15,400 765,534
Heinz (H.J.) Co. 14,700 573,153
Hershey Foods Corporation 10,800 599,832
Kellogg Co. 17,200 768,152
Kroger Co.* 31,000 543,740
McCormick & Co., Inc. 5,700 220,020
Pepsi Bottling Group, Inc.+++ 10,800 292,032
PepsiCo, Inc. 70,940 3,703,068
Procter & Gamble Co. 106,900 5,888,052
Safeway, Inc.* 18,700 369,138
Sara Lee Corporation 33,000 796,620
SUPERVALU, Inc. 5,600 193,312
Sysco Corporation 26,700 1,019,139
Walgreen Co. 43,200 1,657,584
Wrigley (W.M.), Jr. Co. 9,400 650,386
------------
26,550,482
------------
FINANCIAL SERVICES -- 22.1%
ACE, Ltd. 11,800 504,450
AFLAC, Inc. 21,300 848,592
Allstate Corporation (The) 30,252 1,564,633
AMBAC Financial Group, Inc. 4,500 369,585
American Express Co. 54,200 3,055,254
American International Group,
Inc. 109,392 7,183,773
AmSouth Bancorporation 14,700 380,730
AON Corporation 13,200 314,952
Apartment Investment &
Management Co. Class A REIT 3,900 150,306
Archstone-Smith Trust REIT 6,500 248,950
Automatic Data Processing,
Inc. 24,700 1,095,445
Bank of America Corporation 170,440 8,008,976
Bank of New York Co., Inc.
(The) 32,500 1,086,150
BB&T Corporation 23,500 988,175
Bear Stearns Cos., Inc. (The) 4,400 450,164
Block (H&R), Inc. 7,300 357,700
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Capital One Financial
Corporation+++ 10,000 $ 842,100
Chubb Corporation 8,100 622,890
Cigna Corporation 5,600 456,792
Cincinnati Financial
Corporation 7,035 311,369
CIT Group, Inc. 8,800 403,216
Citigroup, Inc. 218,630 10,533,593
Comerica, Inc. 7,200 439,344
Compass Bancshares, Inc. 3,900 189,813
Countrywide Financial
Corporation 23,608 873,732
Dow Jones & Co., Inc. 3,454 148,729
E*TRADE Financial Corporation* 15,300 228,735
Equifax, Inc. 5,700 160,170
Equity Office Properties Trust
REIT 17,800 518,336
Equity Residential Properties
Trust REITP 11,700 423,306
Fannie Mae 41,500 2,955,215
Federated Investors, Inc.
Class B+++ 4,500 136,800
Fifth Third Bancorp 25,194 1,191,172
First Data Corporation 36,017 1,532,163
First Horizon National
Corporation+++ 5,200 224,172
Fiserv, Inc.* 8,200 329,558
Franklin Resources, Inc.+++ 10,500 731,325
Freddie Mac 29,200 2,152,040
Golden West Financial
Corporation 12,800 786,176
Goldman Sachs Group, Inc. 20,200 2,101,608
Hartford Financial Services
Group, Inc. 12,200 845,582
Huntington Bancshares, Inc. 9,600 237,888
Janus Capital Group, Inc. 10,000 168,100
Jefferson-Pilot Corporation 5,800 301,368
JPMorgan Chase & Co. 150,230 5,860,472
KeyCorp 17,200 583,080
Lehman Brothers Holdings, Inc. 11,600 1,014,768
Lincoln National Corporation 7,400 345,432
Loews Corporation 7,800 548,340
M & T Bank Corporation+++ 5,000 539,200
Marsh & McLennan Cos., Inc. 21,900 720,510
Marshall & Ilsley Corporation 9,300 411,060
MBIA, Inc. 6,000 379,680
MBNA Corporation 54,750 1,543,403
Mellon Financial Corporation 17,800 553,758
Merrill Lynch & Co., Inc. 39,280 2,347,766
MetLife, Inc. 31,400 1,272,014
MGIC Investment Corporation 4,100 282,531
Moody's Corporation+++ 6,300 547,155
Morgan Stanley 47,300 2,626,096
National City Corporation 29,100 1,092,705
North Fork Bancorporation,
Inc. 19,650 566,903
Northern Trust Corporation 9,200 446,936
</Table>
See Notes to Financial Statements.
93
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Paychex, Inc. 15,800 $ 538,464
Plum Creek Timber Co., Inc.
REIT+++ 7,700 295,988
PNC Financial Services Group,
Inc. 11,800 677,792
Principal Financial Group 12,900 528,126
Progressive Corporation (The) 8,499 721,055
Prologis Trust REIT+++ 7,600 329,308
Providian Financial
Corporation*+++ 12,200 200,934
Prudential Financial, Inc. 22,100 1,214,616
Regions Financial Corporation 19,308 687,172
Ryder System, Inc. 2,700 128,979
Safeco Corporation+++ 5,800 302,992
Schwab (Charles) Corporation
(The) 57,050 682,318
Simon Property Group, Inc.
REIT 10,300 666,101
SLM Corporation 18,400 982,376
Sovereign Bancorp, Inc. 14,300 322,465
St. Paul Travelers Cos., Inc. 28,056 1,040,036
State Street Corporation 14,000 687,680
Sungard Data Systems, Inc.* 12,100 342,793
SunTrust Banks, Inc. 15,000 1,108,200
Synovus Financial Corporation 12,700 362,966
T Rowe Price Group, Inc.+++ 5,300 329,660
Torchmark Corporation 4,600 262,844
UnumProvident Corporation+++ 12,400 222,456
US Bancorp 80,800 2,530,656
Wachovia Corporation 69,082 3,633,713
Washington Mutual, Inc. 38,000 1,606,640
Wells Fargo & Co. 72,630 4,513,955
XL Capital, Ltd. Class A+++ 5,800 450,370
Zions Bancorporation 3,700 251,711
------------
103,757,302
------------
HEALTHCARE -- 12.6%
Abbott Laboratories 67,000 3,125,550
Aetna, Inc. 6,500 810,875
Allergan, Inc.+++ 5,500 445,885
AmerisourceBergen Corporation+++ 4,672 274,153
Amgen, Inc.* 54,428 3,491,556
Bard (C.R.), Inc. 4,400 281,512
Bausch & Lomb, Inc. 2,200 141,812
Baxter International, Inc. 25,600 884,224
Becton Dickinson & Co. 10,600 602,080
Biogen Idec, Inc.* 14,330 954,521
Biomet, Inc. 10,800 468,612
Boston Scientific Corporation* 36,500 1,297,575
Bristol-Myers Squibb Co. 83,900 2,149,518
Cardinal Health, Inc. 18,000 1,046,700
Caremark Rx, Inc.* 19,100 753,113
Chiron Corporation* 7,900 263,307
Express Scripts, Inc.* 3,700 282,828
Forest Laboratories, Inc.*+++ 15,500 695,330
Genzyme Corporation* 9,900 574,893
Gilead Sciences, Inc.* 18,000 629,820
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Guidant Corporation 13,200 $ 951,720
HCA, Inc. 17,700 707,292
Health Management Associates,
Inc. Class A+++ 10,200 231,744
Hospira, Inc* 6,550 219,425
Humana, Inc.* 6,800 201,892
IMS Health, Inc. 9,800 227,458
Johnson & Johnson 124,690 7,907,840
King Pharmaceuticals, Inc.* 10,100 125,240
Laboratory Corporation of
America Holdings* 5,900 293,938
Lilly (Eli) & Co. 48,200 2,735,350
Manor Care, Inc. 3,700 131,091
McKesson Corporation 12,200 383,812
Medco Health Solutions, Inc.* 11,376 473,242
Medimmune, Inc.* 10,400 281,944
Medtronic, Inc. 51,700 2,567,939
Merck & Co., Inc. 94,300 3,030,802
Millipore Corporation* 2,100 104,601
Mylan Laboratories, Inc.+++ 11,200 198,016
Pfizer, Inc. 316,983 8,523,673
Quest Diagnostics, Inc.+++ 4,300 410,865
Schering-Plough Corporation 63,700 1,330,056
St. Jude Medical, Inc.* 14,800 620,564
Stryker Corporation+++ 16,700 805,775
Tenet Healthcare Corporation* 19,450 213,561
UnitedHealth Group, Inc. 27,500 2,420,825
Watson Pharmaceuticals, Inc.*+++ 4,600 150,926
WellPoint, Inc.* 12,300 1,414,500
Wyeth 56,700 2,414,853
Zimmer Holdings, Inc.* 10,820 866,898
------------
59,119,706
------------
INTEGRATED OILS -- 5.0%
Amerada Hess Corporation 3,800 313,044
ChevronTexaco Corporation 89,880 4,719,599
ConocoPhillips 29,450 2,557,144
ExxonMobil Corporation 271,844 13,934,723
Marathon Oil Corporation 14,407 541,847
Occidental Petroleum
Corporation 17,700 1,032,972
Unocal Corporation 11,000 475,640
------------
23,574,969
------------
MATERIALS & PROCESSING -- 3.6%
Air Products & Chemicals, Inc. 9,500 550,715
Alcoa, Inc. 36,800 1,156,256
Allegheny Technologies, Inc. 3,900 84,513
American Standard Cos., Inc.* 9,000 371,880
Archer-Daniels-Midland Co. 27,227 607,434
Ashland, Inc. 2,900 169,302
Avery Dennison Corporation 4,600 275,862
Ball Corporation 4,792 210,752
Bemis Co.+++ 4,500 130,905
Dow Chemical Co. (The) 40,500 2,005,155
Du Pont (E.I.) de Nemours &
Co. 41,855 2,052,988
Eastman Chemical Co. 3,200 184,736
</Table>
See Notes to Financial Statements.
94
<Table>
<Caption>
SHARES VALUE
---------- ------------
Ecolab, Inc. 10,700 $ 375,891
Engelhard Corporation 5,200 159,484
Fluor Corporation+++ 3,500 190,785
Freeport-McMoRan Copper &
Gold, Inc. Class B 7,400 282,902
Georgia-Pacific Corporation 10,700 401,036
Great Lakes Chemical
Corporation+++ 2,100 59,829
Hercules, Inc.*+++ 4,600 68,310
International Paper Co. 20,900 877,800
Louisiana-Pacific Corporation 4,500 120,330
Masco Corporation 18,300 668,499
MeadWestvaco Corporation 8,383 284,100
Monsanto Co. 11,060 614,383
Newmont Mining Corporation 18,700 830,467
Nucor Corporation+++ 6,600 345,444
Pactiv Corporation* 6,400 161,856
Phelps Dodge Corporation+++ 4,000 395,680
PPG Industries, Inc. 7,200 490,752
Praxair, Inc. 13,580 599,557
Rohm & Haas Co. 9,400 415,762
Sealed Air Corporation* 3,500 186,445
Sherwin-Williams Co. (The) 6,000 267,780
Sigma-Aldrich Corporation 2,900 175,334
Temple-Inland, Inc. 2,300 157,320
United States Steel
Corporation+++ 5,300 271,625
Vulcan Materials Co. 4,300 234,823
Weyerhaeuser Co. 10,100 678,922
------------
17,115,614
------------
OTHER -- 4.7%
3M Co. 32,700 2,683,689
Brunswick Corporation 4,000 198,000
Eaton Corporation 6,300 455,868
General Electric Co. 445,800 16,271,700
Honeywell International, Inc. 35,900 1,271,219
ITT Industries, Inc. 3,900 329,355
Johnson Controls, Inc. 7,992 507,012
Textron, Inc. 5,800 428,040
------------
22,144,883
------------
OTHER ENERGY -- 2.2%
Anadarko Petroleum Corporation 10,500 680,505
Apache Corporation 13,648 690,179
Baker Hughes, Inc. 13,900 593,113
BJ Services Co. 6,700 311,818
Burlington Resources, Inc. 16,600 722,100
Calpine Corporation*+++ 26,100 102,834
Devon Energy Corporation 20,000 778,400
Dynegy, Inc. Class A*+++ 15,800 72,996
El Paso Corporation+++ 26,800 278,720
EOG Resources, Inc.+++ 4,900 349,664
Halliburton Co. 18,400 722,016
Kerr-McGee Corporation 6,230 360,032
Nabors Industries, Ltd.* 6,200 317,998
Noble Corporation* 5,600 278,544
Rowan Cos., Inc.*+++ 4,400 113,960
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Schlumberger, Ltd.+++ 25,400 $ 1,700,530
Sunoco, Inc.+++ 3,200 261,472
Transocean, Inc.* 14,200 601,938
Valero Energy Corporation 10,800 490,320
Williams Cos., Inc. 22,000 358,380
XTO Energy, Inc. 11,000 389,180
------------
10,174,699
------------
PRODUCER DURABLES -- 4.9%
Agilent Technologies, Inc.* 20,100 484,410
American Power Conversion
Corporation 8,400 179,760
Andrew Corporation* 6,700 91,321
Applied Materials, Inc.* 70,500 1,205,550
Boeing Co. (The) 36,400 1,884,428
Caterpillar, Inc. 14,400 1,404,144
Centex Corporation 5,400 321,732
Cooper Industries, Ltd. Class
A 3,900 264,771
Cummins, Inc.+++ 1,800 150,822
Danaher Corporation+++ 12,900 740,589
Deere & Co.+++ 10,600 788,640
Dover Corporation 8,500 356,490
Emerson Electric Co. 17,600 1,233,760
Goodrich Corporation 4,900 159,936
Grainger (W.W.), Inc. 3,800 253,156
Illinois Tool Works, Inc. 12,800 1,186,304
Ingersoll-Rand Co. Class A 7,400 594,220
KB HOME 2,300 240,120
KLA-Tencor Corporation*+++ 8,200 381,956
Lexmark International, Inc.* 5,400 459,000
Lockheed Martin Corporation 19,000 1,055,450
Molex, Inc.+++ 7,950 238,500
Northrop Grumman Corporation 15,056 818,444
Novellus Systems, Inc.* 6,900 192,441
Pall Corporation 5,200 150,540
Parker Hannifin Corporation 5,000 378,700
Pitney Bowes, Inc. 9,700 448,916
Power-One, Inc.*+++ 3,500 31,220
Pulte Homes, Inc.+++ 5,304 338,395
Rockwell Collins, Inc. 7,400 291,856
Tektronix, Inc. 3,500 105,735
Teradyne, Inc.*+++ 8,100 138,267
Thermo Electron Corporation* 6,910 208,613
Tyco International, Ltd.+++ 85,684 3,062,346
United Technologies
Corporation 21,600 2,232,360
Waters Corporation*+++ 5,000 233,950
Xerox Corporation* 40,100 682,101
------------
22,988,943
------------
TECHNOLOGY -- 14.5%
ADC Telecommunications, Inc.*+++ 33,800 90,584
Adobe Systems, Inc. 10,000 627,400
Advanced Micro Devices, Inc.*+++ 15,600 343,512
Affiliated Computer Services,
Inc. Class A*+++ 5,700 343,083
Altera Corporation*+++ 15,700 324,990
</Table>
See Notes to Financial Statements.
95
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Analog Devices, Inc. 15,700 $ 579,644
Apple Computer, Inc.* 16,700 1,075,480
Applera Corporation-Applied
Biosystems Group 8,400 175,644
Applied Micro Circuits
Corporation* 13,000 54,730
Autodesk, Inc. 10,360 393,162
Avaya, Inc.*+++ 19,848 341,386
BMC Software, Inc.* 9,300 172,980
Broadcom Corporation Class A* 13,900 448,692
CIENA Corporation*+++ 23,700 79,158
Cisco Systems, Inc.* 277,500 5,355,750
Citrix Systems, Inc.* 7,100 174,163
Computer Associates
International, Inc. 24,500 760,970
Computer Sciences Corporation* 8,000 450,960
Compuware Corporation* 16,100 104,167
Comverse Technology, Inc.*+++ 9,400 229,830
Corning, Inc.* 57,400 675,598
Dell, Inc.* 104,700 4,412,058
Electronic Data Systems
Corporation 20,300 468,930
EMC Corporation* 101,000 1,501,870
Freescale Semiconductor, Inc.
Series B* 16,811 308,648
Gateway, Inc.*+++ 15,600 93,756
General Dynamics Corporation 8,300 868,180
Hewlett-Packard Co. 128,702 2,698,881
Intel Corporation 266,500 6,233,435
International Business
Machines Corporation 70,100 6,910,458
Intuit, Inc.* 8,000 352,080
Jabil Circuit, Inc.* 8,400 214,872
JDS Uniphase Corporation*+++ 65,600 207,952
L-3 Communications Holdings,
Inc. 4,500 329,580
Linear Technology Corporation 13,700 531,012
LSI Logic Corporation*+++ 16,000 87,680
Lucent Technologies, Inc.*+++ 191,676 720,702
Maxim Integrated Products,
Inc. 13,500 572,265
Mercury Interactive
Corporation*+++ 4,300 195,865
Micron Technology, Inc.* 25,500 314,925
Microsoft Corporation 458,600 12,249,206
Motorola, Inc. 103,900 1,787,080
National Semiconductor
Corporation 15,000 269,250
NCR Corporation*+++ 4,000 276,920
Network Appliance, Inc.* 15,900 528,198
Novell, Inc.*+++ 18,400 124,200
Nvidia Corporation*+++ 8,000 188,480
Oracle Corporation* 218,900 3,003,308
Parametric Technology
Corporation*+++ 11,200 65,968
PerkinElmer, Inc. 5,300 119,197
PMC-Sierra, Inc.*+++ 9,100 102,375
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
QLogic Corporation* 4,500 $ 165,285
Qualcomm, Inc. 68,700 2,912,880
Raytheon Co. 18,700 726,121
Rockwell Automation, Inc. 8,500 421,175
Sanmina-SCI Corporation* 24,400 206,668
Scientific-Atlanta, Inc. 6,400 211,264
Siebel Systems, Inc.* 21,000 220,500
Silicon Graphics, Inc.* 6,437 11,136
Solectron Corporation*+++ 40,200 214,266
Sun Microsystems, Inc.* 146,200 786,556
Symantec Corporation* 26,300 677,488
Symbol Technologies, Inc.+++ 9,850 170,405
Tellabs, Inc.*+++ 19,600 168,364
Texas Instruments, Inc. 72,400 1,782,488
Unisys Corporation* 13,900 141,502
Veritas Software Corporation* 17,775 507,476
Xilinx, Inc. 14,500 429,925
------------
68,292,713
------------
UTILITIES -- 7.0%
AES Corporation (The)* 26,600 363,622
Allegheny Energy, Inc.*+++ 5,300 104,463
Alltel Corporation 12,800 752,128
Ameren Corporation+++ 8,100 406,134
American Electric Power Co.,
Inc. 16,500 566,610
AT&T Corporation 35,385 674,438
BellSouth Corporation 77,200 2,145,388
Centerpoint Energy, Inc.+++ 12,800 144,640
CenturyTel, Inc.+++ 5,800 205,726
Cinergy Corporation+++ 7,500 312,225
Citizens Communications Co. 13,400 184,786
CMS Energy Corporation*+++ 6,800 71,060
Comcast Corporation Class A*+++ 94,715 3,152,115
Consolidated Edison, Inc.+++ 10,100 441,875
Constellation Energy Group,
Inc. 7,000 305,970
Dominion Resources, Inc. 14,300 968,682
DTE Energy Co. 7,300 314,849
Duke Energy Corporation 41,800 1,058,794
Edison International 13,600 435,608
Entergy Corporation 10,252 692,933
Exelon Corporation 29,224 1,287,902
FirstEnergy Corporation 13,784 544,606
FPL Group, Inc.+++ 7,700 575,575
KeySpan Corporation+++ 6,700 264,315
Kinder Morgan, Inc. 5,200 380,276
Nextel Communications, Inc.
Class A* 46,800 1,404,000
Nicor, Inc.+++ 1,800 66,492
NiSource, Inc.+++ 11,000 250,580
Peoples Energy Corporation 1,600 70,320
PG&E Corporation*+++ 17,500 582,400
Pinnacle West Capital
Corporation+++ 3,800 168,758
PPL Corporation 7,400 394,272
Progress Energy, Inc.+++ 10,300 465,972
</Table>
See Notes to Financial Statements.
96
<Table>
<Caption>
SHARES VALUE
---------- ------------
Public Service Enterprise
Group, Inc.+++ 9,900 $ 512,523
Qwest Communications
International, Inc.*+++ 74,600 331,224
SBC Communications, Inc. 141,534 3,647,331
Sempra Energy 9,600 352,128
Southern Co. (The) 30,800 1,032,416
Sprint Corporation 62,300 1,548,155
TECO Energy, Inc.+++ 7,900 121,186
TXU Corporation+++ 10,700 690,792
Verizon Communications, Inc. 116,634 4,724,843
Xcel Energy, Inc.+++ 16,700 303,940
------------
33,022,052
------------
TOTAL COMMON STOCK
(Cost $389,926,158) 461,171,147
------------
SHORT-TERM INVESTMENTS -- 9.5%
AB Funds Trust -- Money Market
Fund (GS4 Class)(inf) 8,549,346 8,549,346
Northern Institutional Liquid
Assets Portfolio sec. 36,379,075 36,379,075
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $44,928,421) 44,928,421
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
2.14%, 03/24/05++++
(Cost $1,159,321) $1,165,000 1,159,434
------------
</Table>
<Table>
<Caption>
SHARES
----------
WARRANTS -- 0.0%
CONSUMER DISCRETIONARY
Lucent Technologies, Inc.,
Wts. Expires 12/10/07*
(Cost $29,498) 18,909 29,876
------------
TOTAL INVESTMENTS -- 107.7%
(Cost $436,043,398) 507,288,878
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (7.7%) (36,471,498)
------------
NET ASSETS -- 100.0% $470,817,380
============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 2.7%
Consumer Discretionary 13.1%
Consumer Staples 5.6%
Financial Services 22.1%
Futures Contracts 1.1%
Healthcare 12.6%
Integrated Oils 5.0%
Materials & Processing 3.6%
Other 4.7%
Other Energy 2.2%
Producer Durables 4.9%
Short-Term Investments 9.5%
Technology 14.5%
U.S. Treasury Obligations 0.2%
Utilities 7.0%
Warrants 0.0%*
------
108.8%
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%
See Notes to Financial Statements.
97
VALUE EQUITY FUND
During the fourth quarter, large-cap value stocks continued to outperform
large-cap growth stocks as the Russell 1000(R) Value Index returned 10.38%,
while its growth counterpart, the Russell 1000(R) Growth Index, returned 9.17%.
The strong showing by value oriented stocks in 2004 pushed the value index to a
16.49% one-year return, significantly outpacing the growth index's 6.30% yearly
return. All sectors of the Russell 1000(R) Value Index delivered positive
returns during the quarter. The best performing sectors were consumer staples
and technology. Integrated oils and "other energy" lagged all other sectors
during the quarter.
The fund is comprised of domestic, large-cap value oriented stocks. The fund
underperformed its benchmark, the Russell 1000(R) Value Index, during the fourth
quarter. Security selection in the consumer staples and integrated oils sectors
detracted from benchmark-relative performance. The fund's holdings in Marathon
Oil (0.39%), Alcoa (0.61%) and ChevronTexaco (2.41%) were the largest detractors
from performance, while Citigroup (0.39%), Monsanto (0.70%) and Burlington
Northern Santa Fe (1.25%) were the largest contributors to fund performance for
the period. At the sub-adviser level, Equinox delivered the strongest
benchmark-relative performance largely due to its security selection in the
utilities and "other energy" sectors.
98
VALUE EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 17.83% 17.71% 17.35% 16.49% N/A N/A
Since Inception 6.68% 6.23% 6.18% 6.61% 5.28% 5.49%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 CLASS RUSSELL 1000(R) VALUE INDEX**
--------- -----------------------------
Aug 27 2001 10000 10000
Aug 2001 9711 9702
Sep 2001 9027 9019
Oct 2001 8948 8942
Nov 2001 9408 9462
Dec 2001 9621 9684
Jan 2002 9529 9610
Feb 2002 9535 9625
Mar 2002 10031 10081
Apr 2002 9747 9735
May 2002 9734 9784
Jun 2002 9157 9222
Jul 2002 8273 8365
Aug 2002 8366 8428
Sep 2002 7382 7491
Oct 2002 7807 8046
Nov 2002 8306 8553
Dec 2002 7950 8181
Jan 2003 7783 7983
Feb 2003 7514 7770
Mar 2003 7528 7783
Apr 2003 8138 8468
May 2003 8755 9015
Jun 2003 8885 9128
Jul 2003 9041 9264
Aug 2003 9196 9408
Sep 2003 9088 9316
Oct 2003 9643 9886
Nov 2003 9791 10020
Dec 2003 10402 10638
Jan 2004 10627 10825
Feb 2004 10838 11057
Mar 2004 10736 10960
Apr 2004 10545 10692
May 2004 10688 10801
Jun 2004 10991 11057
Jul 2004 10806 10901
Aug 2004 10916 11056
Sep 2004 11121 11227
Oct 2004 11264 11414
Nov 2004 11862 11991
Dec 2004 12243 12393
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
99
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ----------- --------------
COMMON STOCK -- 96.0%
AUTO & TRANSPORTATION -- 3.5%
American Axle &
Manufacturing Holdings,
Inc.+++ 2,500 $ 76,650
AMR Corporation*+++ 4,900 53,655
Autoliv, Inc. 5,600 270,480
BorgWarner, Inc. 2,500 135,425
Burlington Northern Santa
Fe Corporation 354,600 16,776,126
CNF, Inc. 5,300 265,530
CSX Corporation 12,700 509,016
Dana Corporation 71,800 1,244,294
Delphi Corporation+++ 833,800 7,520,876
FedEx Corporation 19,200 1,891,008
Ford Motor Co.+++ 108,895 1,594,223
General Motors Corporation+++ 40,000 1,602,400
Genuine Parts Co. 10,300 453,818
Laidlaw International,
Inc.* 9,000 192,600
Lear Corporation 4,300 262,343
Navistar International
Corporation*+++ 1,700 74,766
Norfolk Southern
Corporation 108,300 3,919,377
Oshkosh Truck Corporation+++ 200 13,676
Overseas Shipholding Group,
Inc. 31,100 1,716,720
Paccar, Inc. 10,950 881,256
Southwest Airlines Co. 9,850 160,358
Tidewater, Inc.+++ 1,900 67,659
TRW Automotive Holdings
Corporation* 1,400 28,980
Union Pacific Corporation 128,800 8,661,800
Yellow Roadway
Corporation*+++ 3,000 167,130
--------------
48,540,166
--------------
CONSUMER
DISCRETIONARY -- 10.6%
Activision, Inc.* 2,400 48,432
Adesa, Inc, 5,200 110,344
Alberto-Culver Co. 650 31,571
Allied Waste Industries,
Inc.* 9,500 88,160
American Eagle Outfitters,
Inc.+++ 600 28,260
AnnTaylor Stores
Corporation*+++ 1,900 40,907
AutoNation, Inc.* 10,700 205,547
Barnes & Noble, Inc.* 2,900 93,583
Belo Corporation Class A 2,300 60,352
Big Lots, Inc.*+++ 4,100 49,733
BJ's Wholesale Club, Inc.*+++ 4,100 119,433
Black & Decker Corporation+++ 600 52,998
Blockbuster, Inc. Class A+++ 9,500 90,630
Borders Group, Inc. 4,600 116,840
Brink's Co. (The)+++ 200 7,904
Brinker International,
Inc.*+++ 700 24,549
Carnival Corporation+++ 183,400 10,569,342
Cendant Corporation+++ 657,730 15,377,727
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Circuit City Stores, Inc.+++ 213,900 $ 3,345,396
Citadel Broadcasting
Corporation*+++ 1,700 27,506
Claire's Stores, Inc. 400 8,500
Clear Channel
Communications, Inc. 17,625 590,261
Cogent, Inc.*+++ 700 23,100
Columbia Sportswear Co.*+++ 100 5,961
Convergys Corporation* 8,500 127,415
Costco Wholesale
Corporation 31,800 1,539,438
Cox Radio, Inc. Class A* 1,300 21,424
Darden Restaurants, Inc. 5,300 147,022
Dillard's, Inc. Class A+++ 4,300 115,541
DIRECTV Group, Inc. (The)* 4,232 70,844
Donnelley (R.R.) & Sons Co. 14,000 494,060
DreamWorks Animation SKG,
Inc.*+++ 1,500 56,265
Eastman Kodak Co.+++ 296,600 9,565,350
Entercom Communications
Corporation* 1,100 39,479
Federated Department
Stores, Inc. 44,200 2,554,318
Foot Locker, Inc. 5,000 134,650
Gannett Co., Inc. 44,200 3,611,140
Gemstar-TV Guide
International, Inc.* 9,000 53,280
Gillette Co. (The) 4,500 201,510
Google, Inc.*+++ 100 19,310
Harte-Hanks, Inc. 450 11,691
Hasbro, Inc. 9,225 178,781
Hearst-Argyle Television,
Inc.+++ 1,800 47,484
Hilton Hotels Corporation 31,000 704,940
Home Depot, Inc. (The)+++ 11,400 487,236
IAC/InterActiveCorp*+++ 11,261 311,029
IKON Office Solutions, Inc. 7,100 82,076
International Flavors &
Fragrances, Inc. 800 34,272
International Speedway
Corporation Class A 200 10,560
Interpublic Group Cos.,
Inc.*+++ 8,100 108,540
Jones Apparel Group, Inc. 7,500 274,275
Kimberly-Clark Corporation 17,900 1,177,999
Kmart Holding Corporation*+++ 21,800 2,157,110
Knight-Ridder, Inc. 3,900 261,066
Lamar Advertising Co.* 1,400 59,892
Laureate Education, Inc.*+++ 700 30,863
Lee Enterprises, Inc. 2,700 124,416
Leggett & Platt, Inc. 7,100 201,853
Liberty Media Corporation
Class A* 86,100 945,378
Liberty Media
International, Inc. Class
A* 3,180 147,011
Limited Brands 23,800 547,876
Liz Claiborne, Inc. 24,700 1,042,587
Manpower, Inc. 3,300 159,390
</Table>
See Notes to Financial Statements.
100
<Table>
<Caption>
SHARES VALUE
----------- --------------
Marriott International,
Inc. Class A 1,500 $ 94,470
Mattel, Inc.+++ 327,800 6,388,822
May Department Stores Co.
(The) 17,700 520,380
Maytag Corporation+++ 2,900 61,190
McClatchy Co. Class A 1,100 78,991
McDonald's Corporation 755,600 24,224,535
Media General, Inc. Class A 700 45,367
Metro-Goldwyn-Mayer, Inc. 2,400 28,512
Mohawk Industries, Inc.*+++ 1,500 136,875
Neiman-Marcus Group, Inc.
Class A+++ 2,500 178,850
New York Times Co. Class A+++ 800 32,640
Newell Rubbermaid, Inc.+++ 306,300 7,409,397
Nordstrom, Inc. 2,100 98,133
Office Depot, Inc.* 233,200 4,048,352
OfficeMax, Inc.+++ 5,800 182,004
Omnicom Group, Inc. 2,000 168,640
Outback Steakhouse, Inc.+++ 400 18,312
Penney (JC) Co., Inc. 14,400 596,160
Pier 1 Imports, Inc.+++ 2,800 55,160
Polo Ralph Lauren
Corporation+++ 2,200 93,720
Radio One, Inc. Class D* 2,500 40,300
Reebok International, Ltd.+++ 2,700 118,800
Regal Entertainment Group
Class A+++ 3,000 62,250
Regis Corporation 1,500 69,225
Rent-A-Center, Inc.*+++ 1,300 34,450
Republic Services, Inc.+++ 20,200 677,508
Sabre Holdings Corporation 8,200 181,712
Saks, Inc. 7,500 108,825
Sears, Roebuck & Co.+++ 92,700 4,730,481
Service Corporation
International* 18,100 134,845
ServiceMaster Co. 7,100 97,909
Sirius Satellite Radio,
Inc.*+++ 75,200 575,280
Snap-On, Inc.+++ 3,400 116,824
Stanley Works (The)+++ 200,900 9,842,091
Starwood Hotels & Resorts
Worldwide, Inc. 7,900 461,360
Tech Data Corporation* 4,000 181,600
Time Warner, Inc.* 215,400 4,187,376
Toys "R" Us, Inc.* 12,700 259,969
Tribune Co. 14,700 619,458
Univision Communications,
Inc. Class A* 5,395 157,912
VeriSign, Inc.* 4,500 150,840
VF Corporation 56,000 3,101,280
Viad Corporation+++ 725 20,655
Waste Management, Inc. 271,457 8,127,423
Wendy's International, Inc. 249,700 9,803,222
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
West Corporation*+++ 200 $ 6,622
Whirlpool Corporation+++ 24,500 1,695,645
--------------
148,998,779
--------------
CONSUMER STAPLES -- 3.7%
Albertson's, Inc.+++ 251,400 6,003,432
Campbell Soup Co.+++ 6,800 203,252
Clorox Co. 2,600 153,218
Coca-Cola Co. (The) 13,700 570,331
Coca-Cola Enterprises, Inc. 13,900 289,815
Colgate-Palmolive Co. 5,900 301,844
ConAgra Foods, Inc. 477,500 14,062,375
CVS Corporation 21,000 946,470
Dean Foods Co.*+++ 125,350 4,130,283
Del Monte Foods Co.* 10,800 119,016
General Mills, Inc. 18,200 904,722
Heinz (H.J.) Co. 186,700 7,279,433
Hershey Foods Corporation 2,300 127,742
Hormel Foods Corporation 4,400 137,940
J.M. Smucker Co. (The) 3,400 160,038
Kellogg Co. 6,400 285,824
Kraft Foods, Inc. Class A+++ 16,000 569,760
Kroger Co.* 44,200 775,268
McCormick & Co., Inc. 2,000 77,200
Pepsi Bottling Group, Inc. 900 24,336
PepsiAmericas, Inc. 4,200 89,208
PepsiCo, Inc. 5,700 297,540
Pilgrim's Pride
Corporation+++ 1,500 46,020
Procter & Gamble Co. 13,450 740,826
Rite Aid Corporation* 3,900 14,274
Safeway, Inc.* 128,000 2,526,720
Sara Lee Corporation 369,315 8,915,264
Smithfield Foods, Inc.* 5,000 147,950
SUPERVALU, Inc. 52,300 1,805,396
Tootsie Roll Industries,
Inc. 1,439 49,833
Tyson Foods, Inc. Class A 12,981 238,850
Wrigley (W.M.), Jr. Co. 600 41,514
--------------
52,035,694
--------------
FINANCIAL SERVICES -- 31.5%
A.G. Edwards, Inc.+++ 4,700 203,087
Accenture, Ltd. Class A* 51,300 1,385,100
ACE, Ltd.+++ 187,300 8,007,075
AFLAC, Inc. 3,200 127,488
Alleghany Corporation* 312 88,998
Allied Capital Corporation+++ 7,600 196,384
Allmerica Financial
Corporation* 3,200 105,056
Allstate Corporation (The) 352,400 18,226,128
AMB Property Corporation
REIT 4,900 197,911
AMBAC Financial Group, Inc. 4,850 398,331
American Capital
Strategies, Ltd.+++ 4,200 140,070
American Financial Group,
Inc. 2,200 68,882
</Table>
See Notes to Financial Statements.
101
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
American International
Group, Inc. 45,933 $ 3,016,420
American National Insurance
Co. 500 52,080
AmeriCredit Corporation*+++ 9,300 227,385
AmSouth Bancorporation 80,100 2,074,590
Annaly Mortgage Management,
Inc. REIT+++ 7,000 137,340
AON Corporation 18,700 446,182
Apartment Investment &
Management Co. Class A
REIT 5,600 215,824
Archstone-Smith Trust REIT 12,900 494,070
Arden Realty, Inc. REIT 3,900 147,108
Arthur J. Gallagher & Co.+++ 300 9,750
Associated Banc-Corp 31,400 1,042,794
Assurant, Inc. 11,700 357,435
Astoria Financial
Corporation 4,600 183,862
Automatic Data Processing,
Inc. 5,100 226,185
AvalonBay Communities, Inc.
REIT 4,200 316,260
Bank of America Corporation 812,384 38,173,926
Bank of Hawaii Corporation 3,200 162,368
Bank of New York Co., Inc.
(The) 42,200 1,410,324
Banknorth Group, Inc. 10,200 373,320
BB&T Corporation 107,629 4,525,799
Bear Stearns Cos., Inc.
(The) 6,400 654,784
BOK Financial Corporation*+++ 1,057 51,539
Boston Properties, Inc.
REIT 4,900 316,883
BRE Properties, Inc. Class
A REIT 3,000 120,930
Camden Property Trust REIT+++ 2,400 122,400
Capital One Financial
Corporation 4,000 336,840
Capitol Federal Financial+++ 1,300 46,800
CBL & Associates
Properties, Inc. REIT+++ 13,600 1,038,360
Centerpoint Properties
Corporation REIT+++ 2,800 134,092
Checkfree Corporation*+++ 1,700 64,736
Chubb Corporation 136,300 10,481,470
Cigna Corporation+++ 108,900 8,882,973
Cincinnati Financial
Corporation 9,215 407,856
CIT Group, Inc. 86,000 3,940,520
Citigroup, Inc. 1,082,300 52,145,215
City National Corporation 2,400 169,560
CNA Financial Corporation* 1,500 40,065
Colonial BancGroup, Inc.+++ 7,500 159,225
Comerica, Inc.+++ 146,300 8,927,226
Commerce Bancshares, Inc.+++ 3,607 181,071
Compass Bancshares, Inc.+++ 15,100 734,917
Conseco, Inc.*+++ 9,100 181,545
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Countrywide Financial
Corporation 33,400 $ 1,236,134
Crescent Real Estate
Equities Co. REIT+++ 254,800 4,652,648
Cullen/Frost Bankers, Inc. 3,000 145,800
Deluxe Corporation+++ 3,100 115,723
Developers Diversified
Realty Corporation REIT 6,000 266,220
Duke Realty Corporation
REIT 8,400 286,776
E*TRADE Financial
Corporation* 9,300 139,035
Equifax, Inc. 2,600 73,060
Equity Office Properties
Trust REIT 25,585 745,035
Equity Residential
Properties Trust REIT 18,100 654,858
Erie Indemnity Co. Class A+++ 1,700 89,369
Everest Re Group, Ltd. 33,900 3,036,084
Fair Isaac & Co., Inc.+++ 600 22,008
Fannie Mae 40,300 2,869,763
Federal Realty Investors
Trust REIT 3,100 160,115
Federated Investors, Inc.
Class B+++ 500 15,200
Fidelity National
Financial, Inc. 10,079 460,308
Fifth Third Bancorp 5,200 245,856
First American Corporation+++ 4,600 161,644
First Horizon National
Corporation+++ 7,300 314,703
FirstMerit Corporation+++ 5,000 142,450
Franklin Resources, Inc. 9,000 626,850
Freddie Mac 159,200 11,733,040
Fremont General
Corporation+++ 1,000 25,180
Friedman, Billings, Ramsey
Group, Inc. Class A REIT+++ 3,800 73,682
Fulton Financial
Corporation+++ 7,240 168,764
General Growth Properties,
Inc. REIT 103,100 3,728,096
Genworth Financial, Inc.
Class A 67,100 1,811,700
Golden West Financial
Corporation 10,200 626,484
Goldman Sachs Group, Inc. 18,300 1,903,932
Hartford Financial Services
Group, Inc.+++ 322,300 22,338,613
HCC Insurance Holdings,
Inc. 2,800 92,736
Health Care Property
Investors, Inc. REIT+++ 7,800 215,982
Health Care REIT, Inc.+++ 3,000 114,450
Hibernia Corporation Class
A 9,200 271,492
Hospitality Properites
Trust REIT 4,000 184,000
Host Marriott Corporation
REIT+++ 20,600 356,380
</Table>
See Notes to Financial Statements.
102
<Table>
<Caption>
SHARES VALUE
----------- --------------
HRPT Properties Trust REIT 10,500 $ 134,715
Hudson United Bancorp 2,700 106,326
Huntington Bancshares, Inc. 14,200 351,876
Independence Community Bank
Corporation 14,878 633,505
IndyMac Bancorp, Inc. 1,900 65,455
Instinet Group, Inc.* 7,000 42,210
International Bancshares
Corporation 2,100 82,698
iStar Financial, Inc. REIT+++ 6,500 294,190
Janus Capital Group, Inc. 14,200 238,702
Jefferies Group, Inc.+++ 3,000 120,840
Jefferson-Pilot Corporation 8,300 431,268
JPMorgan Chase & Co. 666,138 25,986,043
KeyCorp 279,950 9,490,305
Kimco Realty Corporation
REIT 5,800 336,342
Lehman Brothers Holdings,
Inc. 16,442 1,438,346
Leucadia National
Corporation 3,100 215,388
Liberty Property Trust
REIT+++ 5,000 216,000
Lincoln National
Corporation 10,300 480,804
Loews Corporation 8,900 625,670
M & T Bank Corporation+++ 4,500 485,280
Macerich Co. (The) REIT 3,500 219,800
Mack-Cali Realty
Corporation REIT 3,600 165,708
Markel Corporation* 300 109,200
Marshall & Ilsley
Corporation 13,200 583,440
MBIA, Inc.+++ 8,750 553,700
MBNA Corporation 449,700 12,677,043
Mellon Financial
Corporation 17,500 544,425
Mercantile Bankshares
Corporation 4,700 245,340
Mercury General Corporation 1,500 89,880
Merrill Lynch & Co., Inc. 153,067 9,148,815
MetLife, Inc. 24,700 1,000,597
MGIC Investment
Corporation+++ 109,400 7,538,754
Mills Corporation (The)
REIT+++ 20,500 1,307,080
MoneyGram International,
Inc. 2,900 61,306
Morgan Stanley 150,700 8,366,864
National City Corporation 37,237 1,398,249
Nationwide Financial
Services Class A+++ 3,300 126,159
New Plan Excel Realty Trust
REIT+++ 5,900 159,772
New York Community Bancorp,
Inc.+++ 15,654 322,003
North Fork Bancorporation,
Inc. 135,908 3,920,946
Northern Trust Corporation 8,100 393,498
Nuveen Investments, Inc.
Class A+++ 400 15,788
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Odyssey Re Holdings
Corporation+++ 700 $ 17,647
Old Republic International
Corporation 50,450 1,276,385
Pan Pacific Retail
Properties, Inc. REIT 2,400 150,480
People's Bank 2,250 87,503
Plum Creek Timber Co., Inc.
REIT 10,862 417,535
PMI Group, Inc. (The) 5,700 237,975
PNC Financial Services
Group, Inc. 17,900 1,028,176
Popular, Inc. 16,000 461,280
Principal Financial Group 18,900 773,766
Progressive Corporation
(The) 10,700 907,788
Prologis Trust REIT 11,989 519,483
Protective Life Corporation 4,100 175,029
Providian Financial
Corporation* 12,500 205,875
Prudential Financial, Inc. 27,400 1,505,904
Public Storage, Inc. REIT 4,900 273,175
Radian Group, Inc. 8,700 463,188
Raymond James Financial,
Inc.+++ 3,600 111,528
Rayonier, Inc. REIT 13,040 637,787
Reckson Associates Realty
Corporation REIT+++ 4,000 131,240
Regency Centers Corporation
REIT 1,500 83,100
Regions Financial
Corporation 27,349 973,351
Reinsurance Group of
America, Inc.+++ 1,700 82,365
Ryder System, Inc.+++ 2,100 100,317
Safeco Corporation+++ 8,300 433,592
Schwab (Charles)
Corporation (The) 8,900 106,444
Shurgard Storage Centers,
Inc. Class A REITP 2,700 118,827
Simon Property Group, Inc.
REIT 16,957 1,096,609
Simon Property Group, L.P.
REIT 570 33,755
Sky Financial Group, Inc. 6,100 174,887
SL Green Realty Corporation
REIT+++ 2,300 139,265
SLM Corporation 156,200 8,339,518
South Financial Group, Inc. 3,500 113,855
Sovereign Bancorp, Inc. 20,300 457,765
St. Paul Travelers Cos.,
Inc. 39,791 1,475,053
Stancorp Financial Group,
Inc. 1,700 140,250
State Street Corporation 11,000 540,320
Student Loan Corporation+++ 200 36,800
Sungard Data Systems, Inc.* 2,100 59,493
SunTrust Banks, Inc. 51,074 3,773,347
Synovus Financial
Corporation 36,500 1,043,170
TCF Financial Corporation 1,000 32,140
</Table>
See Notes to Financial Statements.
103
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Thornburg Mortgage, Inc.
REIT+++ 4,800 $ 139,008
Torchmark Corporation 6,600 377,124
Transatlantic Holdings,
Inc. 1,375 85,016
Trizec Properties, Inc.
REIT 5,300 100,276
UnionBanCal Corporation 32,800 2,114,944
United Dominion Realty
Trust, Inc. REIT 7,600 188,480
Unitrin, Inc. 1,600 72,720
UnumProvident Corporation+++ 18,600 333,684
US Bancorp+++ 651,026 20,390,134
Valley National Bancorp 5,536 153,070
Ventas, Inc. REIT+++ 2,200 60,302
Vornado Realty Trust REIT 6,100 464,393
W Holding Co., Inc.+++ 1,836 42,118
W.R. Berkley Corporation 3,875 182,784
Wachovia Corporation 372,328 19,584,453
Washington Federal, Inc.+++ 4,634 122,986
Washington Mutual, Inc. 553,514 23,402,572
Webster Financial
Corporation 7,100 359,544
Weingarten Realty Investors
REIT+++ 400 16,040
WellChoice, Inc.* 900 48,060
Wells Fargo & Co. 198,572 12,341,250
Westcorp+++ 1,100 50,523
WFS Financial, Inc.* 200 10,156
Whitney Holding Corporation 2,400 107,976
Wilmington Trust
Corporation 3,900 140,985
XL Capital, Ltd. Class AP 120,900 9,387,885
Zions Bancorporation 6,000 408,180
--------------
442,125,669
--------------
HEALTHCARE -- 6.5%
Abbott Laboratories 18,400 858,360
Aetna, Inc. 6,400 798,400
AmerisourceBergen
Corporation+++ 15,746 923,975
Bausch & Lomb, Inc. 1,200 77,352
Baxter International, Inc. 289,200 9,988,968
Becton Dickinson & Co. 33,586 1,907,685
Biogen Idec, Inc.* 1,000 66,610
Bristol-Myers Squibb Co. 380,100 9,738,162
Cardinal Health, Inc. 49,400 2,872,610
Caremark Rx, Inc.* 11,800 465,274
Community Health Systems,
Inc.* 1,500 41,820
Dade Behring Holdings,
Inc.* 300 16,800
Eyetech Pharmaceuticals,
Inc.*+++ 300 13,650
HCA, Inc.+++ 17,400 695,304
Health Management
Associates, Inc. Class A+++ 1,600 36,352
Health Net, Inc.*+++ 174,800 5,046,476
Henry Schein, Inc.* 400 27,856
Hospira, Inc* 9,300 311,550
Humana, Inc.* 10,300 305,807
ICOS Corporation*+++ 1,700 48,076
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Invitrogen Corporation* 1,600 $ 107,408
IVAX Corporation* 245,050 3,876,691
Johnson & Johnson 16,500 1,046,430
King Pharmaceuticals, Inc.* 14,300 177,320
Laboratory Corporation of
America Holdings* 400 19,928
Manor Care, Inc. 1,000 35,430
McKesson Corporation 9,400 295,724
Medco Health Solutions,
Inc.* 238,717 9,930,627
Merck & Co., Inc. 207,500 6,669,050
Millennium Pharmeceuticals,
Inc.* 8,400 101,808
Omnicare, Inc. 1,600 55,392
PacifiCare Health Systems,
Inc.*+++ 4,300 243,036
Pfizer, Inc. 152,000 4,087,280
Protein Design Labs, Inc.* 4,600 95,036
Schering-Plough Corporation 418,400 8,736,192
Tenet Healthcare
Corporation* 27,600 303,048
Triad Hospitals, Inc.* 2,900 107,909
Universal Health Services,
Inc. Class B+++ 1,400 62,300
Watson Pharmaceuticals,
Inc.* 68,000 2,231,080
WebMD Corporation*+++ 8,500 69,360
WellPoint, Inc.* 57,631 6,627,565
Wyeth 291,300 12,406,467
--------------
91,526,168
--------------
INTEGRATED OILS -- 9.1%
Amerada Hess Corporation 4,700 387,186
BP PLC ADR+++ 191,068 11,158,371
ChevronTexaco Corporation 616,596 32,377,456
ConocoPhillips 317,432 27,562,621
ExxonMobil Corporation 637,100 32,657,746
Marathon Oil Corporation 141,100 5,306,771
Murphy Oil Corporation 4,800 386,160
Occidental Petroleum
Corporation 261,900 15,284,484
Unocal Corporation 50,400 2,179,296
--------------
127,300,091
--------------
MATERIALS & PROCESSING --4.9%
Air Products & Chemicals,
Inc. 13,700 794,189
Alcoa, Inc. 261,200 8,206,904
Archer-Daniels-Midland Co. 36,489 814,070
Ashland, Inc. 4,200 245,196
Ball Corporation 3,400 149,532
Bemis Co. 6,300 183,267
Bowater, Inc.+++ 3,900 171,483
Cabot Corporation 3,700 143,116
Dow Chemical Co. (The) 64,344 3,185,671
Du Pont (E.I.) de Nemours &
Co. 60,900 2,987,145
Eastman Chemical Co. 4,600 265,558
Energizer Holdings, Inc.*+++ 2,800 139,132
Engelhard Corporation 7,400 226,958
</Table>
See Notes to Financial Statements.
104
<Table>
<Caption>
SHARES VALUE
----------- --------------
Florida Rock Industries,
Inc.+++ 1,300 $ 77,389
Fluor Corporation+++ 3,000 163,530
Forest City Enterprises,
Inc. Class A 1,800 103,590
Georgia-Pacific Corporation 166,471 6,239,333
Harsco Corporation 1,600 89,184
Hughes Supply, Inc. 2,000 64,700
International Paper Co. 29,000 1,218,000
International Steel Group,
Inc.*+++ 900 36,504
Jacobs Engineering Group,
Inc.* 700 33,453
Lafarge North America, Inc. 25,400 1,303,528
Louisiana-Pacific
Corporation 6,400 171,136
Lubrizol Corporation 4,700 173,242
Lyondell Chemical Co. 152,800 4,418,976
Martin Marietta Materials,
Inc. 2,900 155,614
Masco Corporation 27,300 997,269
MeadWestvaco Corporation 11,947 404,884
Monsanto Co. 170,300 9,460,165
Nalco Holding Co.* 1,700 33,184
Neenah Paper, Inc.*+++ 1,042 33,969
Newmont Mining Corporation 9,400 417,454
Nucor Corporation+++ 4,800 251,232
Owens-Illinois, Inc.* 57,600 1,304,640
Packaging Corporation of
America 3,600 84,780
Pactiv Corporation* 299,800 7,581,942
Phelps Dodge Corporation+++ 5,500 544,060
PPG Industries, Inc. 13,600 926,976
Praxair, Inc. 13,700 604,855
Precision Castparts
Corporation 1,800 118,224
Rohm & Haas Co. 9,500 420,185
RPM International, Inc. 56,800 1,116,688
Scotts Co. (The) Class A* 1,000 73,520
Sealed Air Corporation*+++ 800 42,616
Sherwin-Williams Co. (The) 68,600 3,061,618
Sigma-Aldrich Corporation+++ 3,800 229,748
Smurfit-Stone Container
Corporation* 16,600 310,088
Sonoco Products Co. 5,800 171,970
Southern Peru Copper
Corporation+++ 500 23,605
Temple-Inland, Inc. 3,300 225,720
Timken Co. 2,000 52,040
United States Steel
Corporation+++ 6,800 348,500
Valspar Corporation+++ 3,000 150,030
Vulcan Materials Co. 6,100 333,121
Weyerhaeuser Co. 108,500 7,293,370
Worthington Industries,
Inc. 600 11,748
--------------
68,388,601
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
OTHER -- 2.0%
Brunswick Corporation 2,800 $ 138,600
Carlisle Cos., Inc. 1,800 116,856
Eaton Corporation 8,900 644,004
General Electric Co. 646,100 23,582,650
Hillenbrand Industries,
Inc. 2,500 138,850
Honeywell International,
Inc. 51,600 1,827,156
ITT Industries, Inc. 3,500 295,575
Johnson Controls, Inc. 9,100 577,304
SPX Corporation+++ 4,700 188,282
Teleflex, Inc. 2,100 109,074
Textron, Inc. 7,000 516,600
Wesco Financial
Corporation+++ 100 39,300
--------------
28,174,251
--------------
OTHER ENERGY -- 2.8%
Anadarko Petroleum
Corporation+++ 107,100 6,941,151
Apache Corporation 19,682 995,319
Arch Coal, Inc.+++ 2,000 71,080
Burlington Resources, Inc. 110,700 4,815,450
Chesapeake Energy
CorporationP 15,000 247,500
Consol Energy, Inc.+++ 2,400 98,520
Cooper Cameron Corporation* 2,600 139,906
Devon Energy Corporation 28,438 1,106,807
Diamond Offshore Drilling,
Inc.+++ 1,700 68,085
Dynegy, Inc. Class A*+++ 16,700 77,154
El Paso Corporation 37,972 394,909
ENSCO International, Inc. 4,000 126,960
EOG Resources, Inc.+++ 6,900 492,384
Equitable Resources, Inc. 3,700 224,442
FMC Technologies, Inc.* 6,500 209,300
Kerr-McGee Corporation 7,875 455,096
Massey Energy Co.+++ 5,100 178,245
National-Oilwell, Inc.*+++ 1,800 63,522
Newfield Exploration Co.* 1,700 100,385
Noble Energy, Inc. 3,800 234,308
NRG Energy, Inc.*+++ 4,600 165,830
Patterson-UTI Energy, Inc.+++ 1,300 25,285
Peabody Energy Corporation 3,800 307,458
Pioneer Natural Resources
Co. 7,900 277,290
Pogo Producing Co. 3,000 145,470
Premcor, Inc. 2,400 101,208
Pride International, Inc.*+++ 3,500 71,890
Reliant Energy, Inc.*+++ 283,273 3,866,676
Rowan Cos., Inc.* 3,100 80,290
Sunoco, Inc. 4,800 392,208
Tesoro Corporation*+++ 51,700 1,647,162
Transocean, Inc.*+++ 108,000 4,578,120
Valero Energy Corporation 15,300 694,620
Varco International, Inc.* 5,000 145,750
Williams Cos., Inc.+++ 630,300 10,267,587
--------------
39,807,367
--------------
</Table>
See Notes to Financial Statements.
105
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
PRODUCER DURABLES -- 5.7%
AGCO Corporation*+++ 5,300 $ 116,017
Agilent Technologies, Inc.* 2,500 60,250
Alliant Techsystems, Inc.* 1,000 65,380
American Power Conversion
Corporation 218,100 4,667,340
American Tower Corporation
Class A*+++ 12,800 235,520
AMETEK, Inc. 1,200 42,804
Andrew Corporation*+++ 6,200 84,506
Boeing Co. (The) 77,900 4,032,883
Briggs & Stratton
Corporation+++ 1,200 49,896
Caterpillar, Inc. 5,000 487,550
Centex Corporation 3,800 226,404
Crane Co.+++ 3,100 89,404
Crown Castle International
Corporation* 5,600 93,184
Cummins, Inc.+++ 2,600 217,854
Deere & Co. 8,800 654,720
Diebold, Inc. 4,300 239,639
Dover Corporation 2,300 96,462
DR Horton, Inc. 6,250 251,938
Emerson Electric Co. 168,000 11,776,800
Goodrich Corporation 7,700 251,328
Grainger (W.W.), Inc. 4,200 279,804
Hovnanian Enterprises, Inc.
Class A* 500 24,760
Hubbell, Inc. Class B+++ 3,600 188,280
Illinois Tool Works, Inc. 900 83,412
KB HOME 2,200 229,680
Lennar Corporation Class A 41,300 2,340,884
Lockheed Martin Corporation 22,800 1,266,540
MDC Holdings, Inc. 700 60,508
Mettler Toledo
International, Inc.*+++ 1,100 56,441
Molex, Inc. 1,400 42,000
Northrop Grumman
Corporation 259,570 14,110,225
Novellus Systems, Inc.* 2,600 72,514
NVR, Inc.*+++ 2,500 1,923,500
Pall Corporation 6,800 196,860
Parker Hannifin Corporation 7,100 537,754
Pentair, Inc. 6,200 270,072
Pitney Bowes, Inc. 97,300 4,503,044
Polycom, Inc.*+++ 2,100 48,972
Pulte Homes, Inc. 3,600 229,680
Roper Industries, Inc.+++ 300 18,231
Ryland Group, Inc.+++ 2,800 161,112
Standard-Pacific
Corporation+++ 2,300 147,522
Steelcase, Inc. Class A+++ 2,900 40,136
Tektronix, Inc. 700 21,147
Thermo Electron
Corporation* 86,800 2,620,492
Toll Brothers, Inc.*+++ 1,600 109,776
Tyco International, Ltd.+++ 300,500 10,739,870
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
United Defense Industries,
Inc.*+++ 500 $ 23,625
United Technologies
Corporation 140,150 14,484,502
Xerox Corporation*+++ 44,900 763,749
--------------
79,334,971
--------------
TECHNOLOGY -- 5.4%
3Com Corporation* 23,100 96,327
ADC Telecommunications,
Inc.* 16,200 43,416
Advanced Micro Devices,
Inc.*+++ 9,700 213,594
Affiliated Computer
Services, Inc. Class A*+++ 2,600 156,494
Apple Computer, Inc.* 11,300 727,720
Applera Corporation-Applied
Biosystems Group 12,000 250,920
Applied Micro Circuits
Corporation* 12,600 53,046
Arrow Electronics, Inc.* 6,800 165,240
Avnet, Inc.* 7,100 129,504
Avocent Corporation*+++ 500 20,260
AVX Corporation 1,900 23,940
BearingPoint, Inc.*+++ 7,900 63,437
BMC Software, Inc.* 9,500 176,700
Cadence Design Systems,
Inc.*+++ 7,100 98,051
Ceridian Corporation* 3,200 58,496
CIENA Corporation*+++ 30,791 102,842
Citrix Systems, Inc.*+++ 16,600 407,198
Computer Associates
International, Inc. 87,200 2,708,432
Computer Sciences
Corporation* 97,400 5,490,438
Compuware Corporation* 22,800 147,516
Comverse Technology, Inc.*+++ 5,900 144,255
Conexant Systems, Inc.*+++ 12,300 24,477
Corning, Inc.* 12,800 150,656
Electronic Data Systems
Corporation 422,100 9,750,510
EMC Corporation* 57,400 853,538
Fairchild Semicoductor
International, Inc.* 3,200 52,032
Foundry Networks, Inc.*+++ 3,200 42,112
Freescale Semiconductor,
Inc. Series B* 36,768 675,061
General Dynamics
Corporation 45,500 4,759,300
Harris Corporation 1,300 80,327
Hewlett-Packard Co. 543,850 11,404,534
Ingram Micro, Inc. Class
A*+++ 68,900 1,433,120
Intel Corporation 115,800 2,708,562
International Business
Machines Corporation 34,300 3,381,294
International Rectifier
Corporation*+++ 700 31,199
Intersil Corporation Class
A 5,300 88,722
</Table>
See Notes to Financial Statements.
106
<Table>
<Caption>
SHARES VALUE
----------- --------------
L-3 Communications
Holdings, Inc. 2,800 $ 205,072
LSI Logic Corporation*+++ 12,400 67,952
Lucent Technologies, Inc.*+++ 257,400 967,824
Maxtor Corporation*+++ 8,500 45,050
McAfee, Inc.*+++ 87,800 2,540,054
Micron Technology, Inc.* 18,200 224,770
Microsoft Corporation 426,500 11,391,815
Motorola, Inc. 284,300 4,889,960
NCR Corporation* 1,200 83,076
Oracle Corporation* 106,500 1,461,180
PeopleSoft, Inc.*+++ 16,900 447,512
PerkinElmer, Inc. 3,700 83,213
QLogic Corporation*+++ 1,200 44,076
Raytheon Co. 83,500 3,242,305
Reynolds & Reynolds Co.
(The) Class A+++ 300 7,953
Rockwell Automation, Inc. 4,300 213,065
Sandisk Corporation*+++ 2,000 49,940
Sanmina-SCI Corporation* 15,176 128,541
Scientific-Atlanta, Inc. 9,100 300,391
Seagate Technology, Inc.*+ 4,600 0
Siebel Systems, Inc.* 5,900 61,950
Storage Technology
Corporation* 5,300 167,533
Sun Microsystems, Inc.* 199,500 1,073,310
Sybase, Inc.* 5,700 113,715
Tellabs, Inc.* 18,166 156,046
TIBCO Software, Inc.*+++ 3,500 46,690
Unisys Corporation* 18,700 190,366
UTStarcom, Inc.*+++ 1,300 28,795
Vishay Intertechnology,
Inc.* 7,000 105,140
Western Digital
Corporation* 8,900 96,476
--------------
75,147,040
--------------
UTILITIES -- 10.3%
AES Corporation (The)* 92,200 1,260,374
AGL Resources, Inc. 3,800 126,312
Allegheny Energy, Inc.*+++ 6,100 120,231
Allete, Inc.+++ 1,733 63,687
Alliant Energy Corporation+++ 54,100 1,547,260
Alltel Corporation 18,600 1,092,936
Ameren Corporation+++ 11,000 551,540
American Electric Power
Co., Inc.+++ 266,600 9,155,044
Aqua America, Inc.+++ 5,525 135,860
AT&T Corporation 541,060 10,312,604
BellSouth Corporation 112,800 3,134,712
Cablevision Systems
Corporation Class A* 1,375 34,238
Centerpoint Energy, Inc.+++ 16,800 189,840
CenturyTel, Inc.+++ 20,000 709,400
Cinergy Corporation 10,700 445,441
Citizens Communications Co. 19,100 263,389
Comcast Corporation Class
A* 419,663 13,966,385
Consolidated Edison, Inc.+++ 14,300 625,625
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Constellation Energy Group,
Inc. 10,000 $ 437,100
Dominion Resources, Inc.+++ 20,419 1,383,183
DPL, Inc.+++ 7,500 188,325
DTE Energy Co. 11,400 491,682
Duke Energy Corporation 236,500 5,990,545
Edison International 19,300 618,179
Energy East Corporation+++ 8,700 232,116
Entergy Corporation 184,200 12,450,078
Exelon Corporation+++ 189,274 8,341,305
FirstEnergy Corporation 21,012 830,184
FPL Group, Inc. 11,400 852,150
Great Plains Energy, Inc.+++ 4,100 124,148
Hawaiian Electric
Industries+++ 4,800 139,920
KeySpan Corporation+++ 95,700 3,775,365
Kinder Morgan, Inc. 5,200 380,276
MCI, Inc.* 71,500 1,441,440
MDU Resources Group, Inc. 47,750 1,273,970
National Fuel Gas Co.+++ 4,300 121,862
NiSource, Inc. 59,700 1,359,966
Northeast Utilities 7,600 143,260
NSTAR 3,100 168,268
NTL, Inc.*+++ 4,400 321,024
OGE Energy Corporation 5,200 137,852
Oneok, Inc. 51,900 1,474,998
Pepco Holdings, Inc.+++ 53,998 1,151,237
PG&E Corporation* 23,800 792,064
Pinnacle West Capital
Corporation 5,400 239,814
PPL Corporation 136,000 7,246,080
Progress Energy, Inc.+++ 14,600 660,504
Progress Energy, Inc.
Contingent Value
Obligation*+ 3,100 1,209
Public Service Enterprise
Group, Inc.+++ 15,200 786,904
Puget Energy, Inc. 5,900 145,730
Questar Corporation 5,000 254,800
Qwest Communications
International, Inc.* 87,700 389,388
SBC Communications, Inc. 202,400 5,215,848
SCANA Corporation+++ 6,600 260,040
Sempra Energy 91,000 3,337,880
Southern Co. (The) 46,000 1,541,920
Sprint Corporation 68,600 1,704,710
TECO Energy, Inc.+++ 11,200 171,808
Telephone & Data Systems,
Inc. 1,700 130,815
TXU Corporation+++ 79,600 5,138,976
UGI Corporation 3,000 122,730
UnitedGlobalCom, Inc. Class
A*+++ 5,700 55,062
US Cellular Corporation* 500 22,380
Vectren Corporation 4,500 120,600
Verizon Communications,
Inc. 676,624 27,410,037
Westar Energy, Inc. 43,400 992,558
</Table>
See Notes to Financial Statements.
107
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Western Gas Resources, Inc. 3,200 $ 93,600
Wisconsin Energy
Corporation 7,000 235,970
WPS Resources CorporationP 2,200 109,912
Xcel Energy, Inc.+++ 23,640 430,248
--------------
145,174,898
--------------
TOTAL COMMON STOCK
(Cost $1,086,926,909) 1,346,553,695
--------------
SHORT-TERM INVESTMENTS -- 13.4%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 53,693,904 53,693,904
Northern Institutional
Liquid Assets
Portfoliosec. 134,569,077 134,569,077
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $188,262,981) 188,262,981
--------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
2.14%, 03/24/05++++ $4,075,000 4,055,530
2.17%, 03/24/05++++ 775,000 771,297
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,826,307) 4,826,827
--------------
TOTAL INVESTMENTS -- 109.7%
(Cost $1,280,016,197) 1,539,643,503
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (9.7%) (135,620,246)
--------------
NET ASSETS -- 100.0% $1,404,023,257
==============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 3.5%
Consumer Discretionary 10.6%
Consumer Staples 3.7%
Financial Services 31.5%
Futures Contracts 3.1%
Healthcare 6.5%
Integrated Oils 9.1%
Materials & Processing 4.9%
Other 2.0%
Other Energy 2.8%
Producer Durables 5.7%
Short-Term Investments 13.4%
Technology 5.4%
U.S. Treasury Obligations 0.3%
Utilities 10.3%
-------
112.8%
=======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
108
GROWTH EQUITY FUND
During the fourth quarter, large-cap growth stocks once again underperformed
large-cap value stocks as the Russell 1000(R) Growth Index underperformed its
value counterpart, the Russell 1000(R) Value Index, by 1.21 percentage points
for the quarter and 10.19 percentage points for the year. All sectors of the
Russell 1000(R) Growth Index delivered positive returns during the quarter. The
utilities and technology sectors were the best performers, while the integrated
oils and "other energy' sectors posted the weakest index performance.
The fund is comprised of domestic, large-cap growth oriented stocks. The fund
outperformed its benchmark, the Russell 1000(R) Growth Index, during the fourth
quarter. Security selection in the consumer discretionary and financial services
sectors benefited benchmark-relative performance. Some of the fund's better
performing holdings included eBay (5.39%), Starbucks (3.55%) and Dell (3.88%),
while positions in Medtronic (2.01%), Pfizer (0.09%) and Countrywide Financial
(0.89%) detracted from overall fund performance. At the sub-adviser level, three
of the four managers generated excess returns relative to the benchmark during
the period. Sands Capital Management delivered the strongest benchmark-relative
returns as a result of its security selection in the consumer discretionary and
financial services sectors.
109
GROWTH EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 12.34% 12.23% 12.00% 6.30% N/A N/A
Since Inception 0.86% 0.74% 0.50% (0.68%) 5.94% 5.88%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 CLASS RUSSELL 1000(R) GROWTH INDEX**
--------- ------------------------------
Aug 27 2001 10000 10000
Aug 2001 9492 9481
Sep 2001 8506 8535
Oct 2001 8945 8982
Nov 2001 9837 9845
Dec 2001 9812 9827
Jan 2002 9642 9653
Feb 2002 9266 9253
Mar 2002 9642 9573
Apr 2002 8858 8791
May 2002 8619 8579
Jun 2002 7954 7785
Jul 2002 7345 7357
Aug 2002 7351 7379
Sep 2002 6566 6614
Oct 2002 7207 7220
Nov 2002 7646 7612
Dec 2002 7050 7087
Jan 2003 6874 6915
Feb 2003 6861 6883
Mar 2003 7043 7011
Apr 2003 7577 7529
May 2003 7966 7905
Jun 2003 8060 8014
Jul 2003 8286 8214
Aug 2003 8506 8418
Sep 2003 8336 8328
Oct 2003 8864 8795
Nov 2003 8845 8888
Dec 2003 9134 9195
Jan 2004 9272 9383
Feb 2004 9353 9442
Mar 2004 9309 9267
Apr 2004 9247 9159
May 2004 9460 9330
Jun 2004 9630 9447
Jul 2004 9065 8913
Aug 2004 9052 8869
Sep 2004 9278 8953
Oct 2004 9341 9093
Nov 2004 9843 9405
Dec 2004 10251 9774
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
110
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ----------- --------------
COMMON STOCK -- 96.8%
AUTO & TRANSPORTATION -- 3.0%
FedEx Corporation 191,810 $ 18,891,367
Harley-Davidson, Inc.+++ 229,775 13,958,831
United Parcel Service, Inc.
Class B 141,300 12,075,498
--------------
44,925,696
--------------
CONSUMER DISCRETIONARY -- 28.7%
Amazon.com, Inc.*+++ 494,300 21,892,547
Apollo Group, Inc. Class A* 409,500 33,050,745
Avon Products, Inc. 150,000 5,805,000
Bed Bath & Beyond, Inc.* 270,173 10,760,991
Coach, Inc.* 85,000 4,794,000
Comcast Corporation Class
A* 175,000 5,747,000
eBay, Inc.*+++ 665,684 77,405,737
Electronic Arts, Inc.* 409,653 25,267,397
Getty Images, Inc.*+++ 36,046 2,481,767
Gillette Co. (The) 192,600 8,624,628
Google, Inc.*+++ 61,000 11,779,100
Kohl's Corporation* 140,600 6,913,302
Lowe's Cos., Inc. 496,507 28,593,838
Nike, Inc. Class B 212,461 19,268,088
Penney (JC) Co., Inc. 220,000 9,108,000
Pixar, Inc.*+++ 142,800 12,225,108
Scripps Co. (E.W.) Class A 150,000 7,242,000
Starbucks Corporation* 818,601 51,047,958
Target Corporation 229,509 11,918,402
Tiffany & Co. 59,917 1,915,546
Univision Communications,
Inc. Class A* 153,000 4,478,310
Wal-Mart Stores, Inc. 228,300 12,058,806
XM Satellite Radio
Holdings, Inc. Class A*+++ 415,305 15,623,774
Yahoo!, Inc.* 1,095,400 41,274,672
Yum! Brands, Inc.+++ 80,722 3,808,464
--------------
433,085,180
--------------
CONSUMER STAPLES -- 4.8%
CVS Corporation 80,771 3,640,349
PepsiCo, Inc. 251,613 13,134,199
Procter & Gamble Co. 430,668 23,721,193
Walgreen Co. 613,100 23,524,647
Wrigley (W.M.), Jr. Co. 125,000 8,648,750
--------------
72,669,138
--------------
FINANCIAL SERVICES -- 12.7%
AFLAC, Inc. 203,800 8,119,392
American International
Group, Inc. 77,400 5,082,858
Capital One Financial
Corporation 209,100 17,608,311
Chicago Mercantile
Exchange+++ 23,246 5,316,360
Citigroup, Inc. 440,333 21,215,244
Commerce Bancorp, Inc.+++ 117,640 7,576,016
Countrywide Financial
Corporation 347,098 12,846,097
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Franklin Resources, Inc. 150,200 $ 10,461,430
Golden West Financial
Corporation 70,000 4,299,400
Goldman Sachs Group, Inc. 64,045 6,663,242
Merrill Lynch & Co., Inc. 337,981 20,201,124
MetLife, Inc. 110,000 4,456,100
Moody's Corporation+++ 96,600 8,389,710
Progressive Corporation
(The) 334,595 28,387,040
SLM Corporation 334,330 17,849,879
UCBH Holdings, Inc.+++ 34,194 1,566,769
Willis Group Holdings,
Ltd.+++ 110,000 4,528,700
Zions Bancorporation 113,000 7,687,390
--------------
192,255,062
--------------
HEALTHCARE -- 19.7%
Abbott Laboratories 269,900 12,590,835
Aetna, Inc. 55,070 6,869,983
Allergan, Inc. 113,600 9,209,552
Amgen, Inc.* 459,200 29,457,680
Biogen Idec, Inc.* 135,000 8,992,350
Boston Scientific
Corporation* 136,519 4,853,250
Cardinal Health, Inc.+++ 20,090 1,168,234
Genentech, Inc.* 1,097,701 59,758,841
Genzyme Corporation*+++ 160,600 9,326,042
Gilead Sciences, Inc.* 205,100 7,176,449
IVAX Corporation* 200,000 3,164,000
Johnson & Johnson 200,000 12,684,000
Medtronic, Inc. 582,809 28,948,123
Novartis AG ADR 109,500 5,534,130
PacifiCare Health Systems,
Inc.*+++ 27,265 1,541,018
Patterson Cos., Inc.* 120,000 5,206,800
Pfizer, Inc. 523,591 14,079,362
Quest Diagnostics, Inc.+++ 60,685 5,798,452
St. Jude Medical, Inc.* 180,728 7,577,925
Stryker Corporation 149,600 7,218,200
Teva Pharmaceutical
Industries, Ltd. ADR+++ 390,200 11,651,372
UnitedHealth Group, Inc. 410,790 36,161,843
WellPoint, Inc.* 16,605 1,909,575
Wright Medical Group,
Inc.*+++ 18,071 515,024
Zimmer Holdings, Inc.* 79,839 6,396,701
--------------
297,789,741
--------------
INTEGRATED OILS -- 0.3%
ExxonMobil Corporation 88,500 4,536,510
--------------
MATERIALS & PROCESSING -- 0.2%
Monsanto Co. 42,238 2,346,321
United States Steel
Corporation+++ 8,681 444,901
--------------
2,791,222
--------------
OTHER -- 2.6%
Brunswick Corporation+++ 15,617 773,042
General Electric Co. 1,036,138 37,819,037
--------------
38,592,079
--------------
</Table>
See Notes to Financial Statements.
111
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
OTHER ENERGY -- 1.1%
Noble Corporation* 95,000 $ 4,725,300
Schlumberger, Ltd. 97,000 6,494,150
Smith International, Inc.*+++ 85,000 4,624,850
--------------
15,844,300
--------------
PRODUCER DURABLES -- 4.3%
Applied Materials, Inc.* 415,380 7,102,998
Caterpillar, Inc. 130,987 12,772,542
Danaher Corporation 75,000 4,305,750
KB HOME+++ 28,757 3,002,231
Lennar Corporation Class A 124,406 7,051,332
Lockheed Martin
Corporation+++ 39,337 2,185,170
MDC Holdings, Inc.+++ 46,568 4,025,338
Tyco International, Ltd.+++ 569,912 20,368,655
United Technologies
Corporation 42,500 4,392,375
--------------
65,206,391
--------------
TECHNOLOGY -- 19.1%
Apple Computer, Inc.* 75,000 4,830,000
Broadcom Corporation Class
A* 140,000 4,519,200
Cisco Systems, Inc.* 973,300 18,784,690
Dell, Inc.* 1,307,622 55,103,191
Freescale Semiconductor,
Inc. Series B* 20,699 380,034
General Dynamics
Corporation 51,827 5,421,104
Intel Corporation 181,800 4,252,302
Juniper Networks, Inc.* 330,000 8,972,700
Marvell Technology Group,
Ltd.*+++ 243,700 8,644,039
Maxim Integrated Products,
Inc. 355,900 15,086,601
Microsoft Corporation 808,369 21,591,536
Motorola, Inc. 612,468 10,534,450
NCR Corporation*+++ 81,400 5,635,322
Network Appliance, Inc.*+++ 768,200 25,519,604
Oracle Corporation* 713,600 9,790,592
Qualcomm, Inc. 1,245,801 52,821,962
Red Hat, Inc.*+++ 324,600 4,333,410
Seagate Technology, Inc.*+ 5,600 0
Symantec Corporation* 584,800 15,064,448
Telefonaktiebolaget LM
Ericsson ADR*+++ 112,165 3,532,076
Xilinx, Inc. 434,600 12,885,890
--------------
287,703,151
--------------
UTILITIES -- 0.3%
Verizon Communications,
Inc. 106,628 4,319,500
--------------
TOTAL COMMON STOCK
(Cost $1,166,748,014) 1,459,717,970
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
SHORT-TERM INVESTMENTS -- 13.5%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 48,648,354 $ 48,648,354
Northern Institutional
Liquid Assets Portfolio
sec. 155,455,085 155,455,085
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $204,103,439) 204,103,439
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
2.14%, 03/24/05++++
(Cost $4,791,530) $ 4,815,000 4,791,994
--------------
SHARES
-----------
WARRANTS -- 0.0%
CONSUMER DISCRETIONARY
Lucent Technologies, Inc.,
Wts. Expires 12/10/07*
(Cost $12,082) 7,745 12,237
--------------
TOTAL INVESTMENTS -- 110.6%
(Cost $1,375,655,065) 1,668,625,640
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (10.6%) (159,615,501)
--------------
NET ASSETS -- 100.0% $1,509,010,139
==============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 3.0%
Consumer Discretionary 28.7%
Consumer Staples 4.8%
Financial Services 12.7%
Futures Contracts 2.5%
Healthcare 19.7%
Integrated Oils 0.3%
Materials & Processing 0.2%
Other 2.6%
Other Energy 1.1%
Producer Durables 4.3%
Short-Term Investments 13.5%
Technology 19.1%
U.S. Treasury Obligations 0.3%
Utilities 0.3%
Warrants 0.0%*
------
113.1%
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%.
See Notes to Financial Statements.
112
SMALL CAP EQUITY FUND
Small-cap stocks outperformed large-cap stocks for the sixth consecutive year in
2004 as the Russell 2000(R) Index returned 14.09% for the quarter and 18.33% for
the year, while its large-cap counterpart, the Russell 1000(R) Index, returned
9.80% for the quarter and 11.40% for the year. Growth stocks outpaced value
stocks in the small capitalization tier during the quarter as the Russell
2000(R) Growth Index outperformed the Russell 2000(R) Value Index by 1.88
percentage points. All sectors within the Russell 2000(R) Index delivered
positive returns for the quarter. The autos & transportation and technology
sectors were the best performers, while the integrated oils sector posted the
weakest index performance.
The fund is comprised of domestic, small-cap stocks with both value and growth
style orientations. The fund underperformed its benchmark, the Russell 2000(R)
Index, during the fourth quarter. Security selection within the utilities and
materials & processing sectors detracted from benchmark-relative performance.
Holdings that negatively impacted fund performance during the quarter were Lin
TV Corp. (0.01%), InFocus Corp. (0.01%) and Indy Mac Bancorp. (0.07%), while
outperforming holdings included Macromedia (0.51%), DaVita (0.98%) and Resources
Connection (0.76%). At the sub-adviser level, TimesSquare delivered the
strongest benchmark-relative returns and was rewarded for its security selection
in the consumer discretionary sector.
Small company stocks are generally riskier than large company stocks due to
greater volatility and less liquidity.
113
SMALL CAP EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 15.04% 14.89% 14.66% 18.33% N/A N/A
Since Inception 8.78% 8.59% 8.36% 10.92% 7.77% 7.54%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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>
GS4 CLASS RUSSELL 2000(R) INDEX**
--------- -----------------------
Aug 27 2001 10000 10000
Aug 2001 9770 9748
Sep 2001 8317 8436
Oct 2001 8845 8929
Nov 2001 9541 9621
Dec 2001 10084 10214
Jan 2002 10000 10108
Feb 2002 9656 9831
Mar 2002 10543 10621
Apr 2002 10497 10718
May 2002 10122 10242
Jun 2002 9587 9734
Jul 2002 8125 8264
Aug 2002 8148 8243
Sep 2002 7445 7651
Oct 2002 7682 7896
Nov 2002 8363 8601
Dec 2002 7842 8122
Jan 2003 7636 7897
Feb 2003 7429 7659
Mar 2003 7506 7757
Apr 2003 8233 8493
May 2003 9021 9404
Jun 2003 9220 9574
Jul 2003 9663 10173
Aug 2003 10168 10640
Sep 2003 9923 10443
Oct 2003 10773 11320
Nov 2003 11125 11722
Dec 2003 11469 11960
Jan 2004 11867 12480
Feb 2004 11951 12591
Mar 2004 11974 12709
Apr 2004 11484 12061
May 2004 11630 12253
Jun 2004 12020 12769
Jul 2004 11316 11909
Aug 2004 11209 11848
Sep 2004 11660 12404
Oct 2004 11867 12648
Nov 2004 12762 13745
Dec 2004 13177 14152
</Table>
The graph compares the results of a $10,000 investment in the GS4 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.
114
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 SHARES VALUE
- ----------------- ----------- -------------
COMMON STOCK -- 72.5%
AUTO & TRANSPORTATION -- 3.5%
AAR Corporation* 2,300 $ 31,326
Aftermarket Technology 400 6,440
Corporation*
Alaska Air Group, Inc.*+++ 2,500 83,725
Alexander & Baldwin, Inc. 3,600 152,712
America West Holdings 2,600 17,108
Corporation Class B*+++
Arctic Cat, Inc. 1,000 26,520
Arkansas Best Corporation 15,300 686,817
ArvinMeritor, Inc.+++ 5,900 131,983
Autoliv, Inc. 37,400 1,806,420
Aviall, Inc.* 30,000 689,100
Bandag, Inc. 1,000 49,810
Coachmen Industries, Inc. 1,200 20,832
Collins & Aikman 3,200 13,952
Corporation*+++
Commercial Vehicle Group, 400 8,732
Inc.*
Continental Airlines, Inc. 5,600 75,824
Class B*+++
Cooper Tire & Rubber Co.+++ 5,600 120,680
Covenant Transport, Inc. 700 14,574
Class A*
Dana Corporation 23,700 410,721
Delta Air Lines, Inc.*+++ 9,200 68,816
Dura Automotive Systems, 26,300 284,829
Inc. Class A*
ExpressJet Holdings, 78,100 1,005,928
Inc.*+++
Florida East Coast 1,700 76,670
Industries, Inc.
FLYi, Inc.*+++ 3,800 6,726
Frontier Airlines, Inc.*+++ 1,900 21,679
General Maritime 28,600 1,142,570
Corporation*
Genesee & Wyoming, Inc. 15,600 438,828
Class A*
Gentex Corporation+++ 10,700 396,114
Goodyear Tire & Rubber Co. 12,900 189,114
(The)*+++
Greenbrier Cos., Inc.+++ 500 16,925
Gulfmark Offshore, Inc.*+++ 600 13,362
Hayes Lemmerz International, 3,200 28,256
Inc.*
Heartland Express, Inc. 350 7,865
Hub Group, Inc.*+++ 200 10,444
Kansas City Southern*+++ 2,600 46,098
Kirby Corporation* 900 39,942
Laidlaw International, Inc.* 8,800 188,320
Landstar Systems, Inc.* 200 14,728
Marten Transport, Ltd.* 700 15,911
Mesa Air Group, Inc.*+++ 300 2,382
Modine Manufacturing Co. 2,000 67,540
Northwest Airlines 6,400 69,952
Corporation*+++
Offshore Logistics, Inc.* 20,100 652,647
Old Dominion Freight Line, 23,675 823,890
Inc.*
Overnite Corporation 18,500 688,940
Overseas Shipholding Group, 2,300 126,960
Inc.
P.A.M. Transportation 17,600 330,000
Services, Inc.*+++
Pacer International, Inc.* 37,900 805,754
Polaris Industries, Inc.+++ 16,200 1,101,924
Quality Distribution, Inc.* 300 2,532
Quixote Corporation+++ 100 2,033
RailAmerica, Inc.* 2,500 32,625
Republic Airways Holdings, 300 3,981
Inc.*
Sauer-Danfoss, Inc. 700 15,267
SCS Transportation, Inc.* 450 10,517
Seabulk International, Inc.* 500 6,055
Skywest, Inc. 3,500 70,210
Standard Motor Products, 1,100 17,380
Inc.
Stoneridge, Inc.* 1,300 19,669
Strattec Security 200 12,524
Corporation*
Superior Industries 1,900 55,195
International, Inc.+++
Swift Transportation Co., 3,000 64,440
Inc.*+++
TBC Corporation* 1,700 47,260
Teekay Shipping Corporation 32,400 1,364,364
Tenneco Automotive, Inc.*+++ 3,500 60,340
Tower Automotive, Inc.*+++ 4,900 11,711
U.S. Xpress Enterprises, 300 8,790
Inc. Class A*
USF Corporation+++ 2,300 87,285
UTI Worldwide, Inc.+++ 28,200 1,918,163
Visteon Corporation+++ 11,000 107,470
Wabash National 1,100 29,623
Corporation*+++
Werner Enterprises, Inc. 2,500 56,600
-------------
17,034,424
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
CONSUMER
DISCRETIONARY -- 14.8%
4Kids Entertainment, 1,100 $ 23,122
Inc.*+++
Aaron Rents, Inc.+++ 26,450 661,250
ABM Industries, Inc. 3,200 63,104
Action Performance 1,300 14,287
Companies, Inc.+++
Activision, Inc.* 67,050 1,353,069
Advance Auto Parts, Inc.* 22,500 982,800
Advanced Marketing Services, 1,100 11,066
Inc.
Advisory Board Co. (The)*+++ 13,600 501,568
Advo, Inc. 450 16,043
Aeropostale, Inc.* 48,350 1,422,941
Alderwoods Group, Inc.* 3,400 38,692
Alloy, Inc.*+++ 2,700 21,789
Amerco, Inc.* 500 22,990
American Eagle Outfitters, 15,600 734,760
Inc.+++
</Table>
See Notes to Financial Statements.
115
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
American Greetings 5,400 $ 136,890
Corporation Class A
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
American Woodmark 800 $ 34,944
Corporation
Angelica Corporation 800 21,640
Applica, Inc.*+++ 1,900 11,495
aQuantive, Inc.*+++ 51,800 463,092
Arbinet-theexchange, Inc.* 2,500 62,125
Arbitron, Inc.* 16,500 646,470
Asbury Automotive Group, 900 12,402
Inc.*
Ask Jeeves, Inc.*+++ 16,900 452,075
Atari, Inc.*+++ 600 1,758
Banta Corporation 400 17,904
Bassett Furniture 900 17,663
Industries, Inc.
BJ's Wholesale Club, 20,800 605,904
Inc.*+++
Blair Corporation 700 24,962
Blue Nile, Inc.*+++ 200 5,524
Blyth, Inc. 1,900 56,164
Bob Evans Farms, Inc. 3,000 78,420
Bombay Co., Inc. (The)*+++ 1,400 7,742
Bon-Ton Stores, Inc.+++ 200 3,150
Bowne & Co., Inc. 1,500 24,390
Brightpoint, Inc.* 40,200 785,508
Brink's Co. (The) 15,400 608,608
Brown Shoe Co., Inc. 1,500 44,745
Buckle, Inc. (The) 600 17,700
Build-A-Bear-Workshop, 7,800 274,170
Inc.*+++
Burlington Coat Factory 1,600 36,320
Warehouse Corporation
California Pizza Kitchen, 400 9,200
Inc.*+++
Callaway Golf Co.+++ 5,700 76,950
Carmike Cinemas, Inc. 20,200 737,300
Catalina Marketing 1,400 41,482
Corporation+++
Cato Corporation Class A 1,700 48,994
CBRL Group, Inc. 3,500 146,475
CDI Corporation 100 2,138
CEC Entertainment, Inc.* 22,950 917,312
Celebrate Express, Inc.* 3,650 69,350
Central Garden & Pet Co.* 21,000 876,540
Central Parking 1,600 24,240
Corporation+++
Century Business Services, 5,300 23,108
Inc.*
Charles River Associates, 10,000 467,700
Inc.*+++
Charming Shoppes, Inc.* 9,800 91,826
Charter Communications, Inc. 23,200 51,968
Class A*+++
Chemed Corporation 1,000 67,110
Cherokee, Inc. 200 7,056
Children's Place Retail 1,600 59,248
Stores, Inc.*
Clark, Inc.* 1,200 18,624
CNET Networks, Inc.* 29,400 330,162
Cogent, Inc.*+++ 2,500 82,500
Conn's, Inc.*+++ 100 1,682
Consolidated Graphics, Inc.* 300 13,770
Corinthian Colleges, 33,600 633,192
Inc.*+++
Cornell Cos., Inc.* 1,100 16,698
Corporate Executive Board 28,700 1,921,178
Co.+++
Corrections Corporation of 1,400 56,630
America*
Cost Plus, Inc.*+++ 9,100 292,383
CoStar Group, Inc.*+++ 14,550 671,919
Courier Corporation+++ 350 18,172
Cross Country Healthcare, 1,700 30,736
Inc.*+++
Crown Media Holdings, Inc. 500 4,300
Class A*+++
CSK Auto Corporation* 500 8,370
CSS Industries, Inc. 600 19,056
Ctrip.Com International, 9,200 423,384
Ltd. ADR*+++
Cumulus Media, Inc. Class A* 13,400 202,072
Darden Restaurants, Inc. 55,100 1,528,474
Dave & Buster's, Inc.*+++ 900 18,180
Deb Shops, Inc. 400 10,016
Department 56, Inc.*+++ 1,100 18,315
Dollar Thrifty Automotive 28,600 863,720
Group, Inc.*
Domino's Pizza, Inc. 1,000 17,800
DoubleClick, Inc.*+++ 2,300 17,894
Dover Motorsports, Inc. 1,300 7,449
Dress Barn, Inc.*+++ 900 15,840
EarthLink, Inc.*+++ 104,200 1,200,384
Educate, Inc.* 35,000 463,400
Education Management 102,200 3,373,621
Corporation*
Electronics Boutique 19,000 815,860
Holdings Corporation*+++
Emmis Communications 2,200 42,218
Corporation Class A*
Entercom Communications 21,200 760,868
Corporation*
Entravision Communications 1,900 15,865
Corporation Class A*
Ethan Allen Interiors, 1,500 60,030
Inc.+++
Exponent, Inc.* 500 13,745
Finish Line, Inc. (The) 300 5,490
Class A
Fisher Communications, 100 4,888
Inc.*+++
Forrester Research, Inc.* 200 3,588
Fossil, Inc.* 12,000 307,680
FTI Consulting, Inc.*+++ 3,000 63,210
Furniture Brands 3,600 90,180
International, Inc.+++
G & K Services, Inc. Class A 1,500 65,130
</Table>
See Notes to Financial Statements.
116
<Table>
<Caption>
SHARES VALUE
----------- -------------
GameStop Corporation Class 2,500 $ 56,025
B*
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Gaylord Entertainment Co.* 21,800 $ 905,354
Genesco, Inc.*+++ 1,100 34,254
Geo Group, Inc. (The)* 700 18,606
Getty Images, Inc.*+++ 29,300 2,017,305
Goody's Family Clothing, 1,500 13,710
Inc.
Gray Television, Inc. 3,800 58,900
Greenfield Online, Inc.* 40,300 886,197
Group 1 Automotive, Inc.* 1,600 50,400
Guitar Center, Inc.* 8,300 437,327
Gymboree Corporation*+++ 400 5,128
Hancock Fabrics, Inc.+++ 1,600 16,592
Handleman Co.+++ 47,000 1,009,560
Hartmarx Corporation* 1,900 14,763
Haverty Furniture Cos., Inc. 1,600 29,600
Helen of Troy, Ltd.*+++ 12,250 411,723
Herbalife, Ltd.*+++ 30,900 502,125
Hibbett Sporting Goods, 5,400 143,694
Inc.*
Hiedrick & Struggles 25,600 877,312
International, Inc.*
Hollinger International, 1,600 25,088
Inc.+++
Hollywood Entertainment 3,000 39,270
Corporation*
Hooker Furniture Corporation 400 9,080
Hudson Highland Group, 200 5,760
Inc.*+++
IHOP Corporation+++ 1,700 71,213
Infospace, Inc.*+++ 6,000 285,300
Insight Communications Co., 1,900 17,613
Inc.*
Insight Enterprises, Inc.* 2,900 59,508
Insurance Auto Auctions, 700 15,694
Inc.*
Interchange Corporation*+++ 100 1,814
Internap Network Services 6,800 6,324
Corporation*
Jack in the Box, Inc.*+++ 3,100 114,297
Jackson Hewitt Tax Service, 26,000 656,500
Inc.+++
Jakks Pacific, Inc.*+++ 2,100 46,431
Jamdat Mobile, Inc.* 100 2,065
Jarden Corporation*+++ 250 10,860
Jo-Ann Stores, Inc.* 1,595 43,926
Journal Communications, Inc. 1,000 18,070
Class A
Journal Register Co.* 1,500 28,995
K-Swiss, Inc. Class A 26,700 777,504
K2, Inc.*+++ 3,000 47,640
Kellwood Co.+++ 2,300 79,350
Kelly Services, Inc. Class A 1,400 42,252
Kirkland's, Inc.*+++ 200 2,458
Korn/Ferry International*+++ 28,100 583,075
La-Z-Boy, Inc.+++ 4,500 69,165
Landry's Restaurants, 1,800 52,308
Inc.+++
Lawson Products, Inc. 400 20,172
LeapFrog Enterprises, 200 2,720
Inc.*+++
Libbey, Inc. 1,100 24,431
Liberty Corporation 1,300 57,148
Life Time Fitness, Inc.* 15,700 406,316
Lin TV Corporation Class 2,300 43,930
A*+++
Linens 'N Things, Inc.* 3,200 79,360
Lithia Motors, Inc. Class A 1,200 32,184
LKQ Corporation* 600 12,042
Lodgenet Entertainment 58,700 1,038,403
Corporation*
Lone Star Steakhouse & 1,300 36,400
Saloon, Inc.
Marcus Corporation 1,700 42,738
MarineMax, Inc.* 900 26,784
Martha Stewart Living 600 17,412
Omnimedia, Inc.*+++
Marvel Enterprises, Inc.*+++ 23,300 477,184
MAXIMUS, Inc.* 1,600 49,792
Medical Staffing Network 1,000 8,190
Holdings, Inc.*+++
Men's Warehouse, Inc.* 2,500 79,900
Midas, Inc.* 500 10,000
Midway Games, Inc.*+++ 400 4,200
Monro Muffler Brake, Inc.* 15,850 401,005
Movado Group, Inc. 1,300 24,245
Movie Gallery, Inc.+++ 34,600 659,822
MPS Group, Inc.* 6,300 77,238
MSC Industrial Direct Co., 24,600 885,108
Inc. Class A
National Presto Industries, 400 18,200
Inc.
Nautilus Group, Inc.+++ 2,400 58,008
Navigant Consulting, Inc.* 28,200 750,120
Navigant International, 1,200 14,604
Inc.*+++
Neoforma, Inc.*+++ 600 4,614
NetRatings, Inc.*+++ 400 7,668
New York & Co., Inc.* 300 4,956
Nu Skin Enterprises, Inc. 1,000 25,380
Class A
O'Charley's, Inc.* 1,600 31,280
Oshkosh B'Gosh, Inc.+++ 300 6,420
Oxford Industries, Inc.+++ 5,000 206,500
Pacific Sunwear of 10,600 235,956
California, Inc.*
Pantry, Inc.*+++ 300 9,027
Papa John's International, 600 20,664
Inc.*+++
Paxson Communications 1,400 1,932
Corporation*+++
Payless ShoeSource, Inc.*+++ 5,800 71,340
PC Connection, Inc.* 600 5,712
Pegasus Solutions, Inc.* 1,100 13,860
Pep Boys-Manny, Moe & 300 5,121
Jack+++
Perry Ellis International, 400 8,140
Inc.*
PF Chang's China Bistro, 6,700 377,545
Inc.*+++
</Table>
See Notes to Financial Statements.
117
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Phillips-Van Heusen 2,000 $ 54,000
Corporation
PLATO Learning, Inc.* 700 5,215
Playtex Products, Inc.*+++ 1,100 8,789
priceline.com, Inc.*+++ 700 16,513
Primedia, Inc.*+++ 11,500 43,700
Princeton Review, Inc.* 300 1,845
Pulitzer, Inc. 700 45,395
Quicksilver, Inc.*+++ 28,100 837,099
R.H. Donnelley Corporation* 1,900 112,195
Radio One, Inc. Class D* 44,700 720,564
Rare Hospitality 13,250 422,145
International, Inc.*
RC2 Corporation* 600 19,560
Reader's Digest Association, 2,800 38,948
Inc. (The)+++
Red Robin Gourmet Burgers, 15,000 802,050
Inc.*+++
Regent Communications, Inc.* 1,600 8,480
Rent-Way, Inc.*+++ 700 5,607
Resources Connection, 47,700 2,590,586
Inc.*+++
Retail Ventures, Inc.* 700 4,970
Revlon, Inc. Class A*+++ 12,900 29,670
Rush Enterprises, Inc. Class 100 1,731
B*+++
Russ Berrie & Co., Inc.+++ 700 15,988
Russell Corporation 2,400 46,752
Ryan's Restaurant Group, 3,600 55,512
Inc.*
Sabre Holdings Corporation 30,500 675,880
Scholastic Corporation* 2,500 92,400
School Specialty, Inc.*+++ 1,400 53,984
SCP Pool Corporation+++ 76,425 2,437,957
Shoe Carnival, Inc.* 400 5,200
ShopKo Stores, Inc.* 36,700 685,556
Sinclair Broadcast Group, 1,400 12,894
Inc. Class A+++
Sitel Corporation* 4,900 12,054
Six Flags, Inc.* 7,900 42,423
Skechers USA, Inc. Class 1,600 20,736
A*+++
Sonic Automotive, Inc. 2,300 57,040
SOURCECORP, Inc.* 1,400 26,754
Spanish Broadcasting 33,800 356,928
Systems, Inc. Class A*+++
Speedway Motorsports, Inc. 500 19,590
Spherion Corporation*+++ 5,100 42,840
Sports Authority, Inc. 1,077 27,733
(The)*+++
Stage Stores, Inc.*+++ 27,800 1,154,256
Stanley Furniture Co., Inc. 100 4,495
Stanley Works (The) 15,500 759,345
Steak 'n Shake Co. (The)* 200 4,016
Steinway Musical 600 17,364
Instruments, Inc.*
Steven Madden, Ltd.*+++ 1,000 18,860
Stewart Enterprises, Inc. 9,200 64,308
Class A*
Strayer Education, Inc.+++ 5,800 636,782
Stride Rite Corporation 3,300 36,861
Sturm Ruger & Co., Inc. 100 903
Systemax, Inc.* 800 5,872
Take-Two Interactive 700 24,353
Software, Inc.*+++
Tech Data Corporation* 23,900 1,085,060
TeleTech Holdings, Inc.* 1,000 9,690
Tempur-Pedic International, 23,900 506,680
Inc.*+++
Tetra Tech, Inc.* 800 13,392
Texas Roadhouse, Inc. Class 300 8,865
A*
THQ, Inc.*+++ 27,900 640,026
Timberland Co. Class A* 16,500 1,034,055
Too, Inc.*+++ 44,200 1,081,132
Topps Co. (The) 2,800 27,300
Toro Co. 8,700 707,745
Tractor Supply Co.*+++ 9,500 353,495
Trans World Entertainment 1,900 23,693
Corporation*
Triarc Cos., Inc. Class B 600 7,356
Tuesday Morning 6,100 186,843
Corporation*+++
Tupperware Corporation 1,000 20,720
UniFirst Corporation 800 22,624
United Auto Group, Inc.+++ 1,600 47,344
United Natural Foods, Inc.* 54,700 1,701,170
United Online, Inc.* 71,700 826,701
United Stationers, Inc.* 2,700 124,740
Universal Technical 6,900 263,028
Institute, Inc.*+++
Urban Outfitters, Inc.* 8,100 359,640
Vail Resorts, Inc.*+++ 1,600 35,872
Valassis Communications, 2,000 70,020
Inc.*
Valuevision Media, Inc. 500 6,955
Class A*+++
Ventrue, Inc.*+++ 500 18,885
Volt Information Sciences, 700 20,573
Inc.*
Warnaco Group, Inc. (The)* 1,400 30,240
Water Pik Technologies, 800 14,184
Inc.*
Watson Wyatt & Co. 900 24,255
Holdings+++
WESCO International, 39,400 1,167,816
Inc.*+++
West Corporation* 33,400 1,105,874
West Marine, Inc.*+++ 100 2,475
Weyco Group, Inc.+++ 200 8,858
Whirlpool Corporation 8,600 595,206
Wolverine World Wide, Inc. 21,900 688,098
Young Broadcasting, Inc. 700 7,392
Class A*
Zale Corporation* 4,000 119,480
-------------
71,712,002
-------------
</Table>
See Notes to Financial Statements.
118
<Table>
<Caption>
SHARES VALUE
----------- -------------
CONSUMER STAPLES -- 0.8%
American Italian Pasta Co. 1,300 $ 30,225
Class A+++
Arden Group, Inc. Class A 50 5,024
Cal-Maine Foods, Inc.+++ 700 8,463
Casey's General Stores, Inc. 2,200 39,930
Chiquita Brands 3,500 77,210
International, Inc.
Coca-Cola Bottling Co. 100 5,706
Consolidated+++
Farmer Brothers Co.+++ 600 14,544
Flowers Foods, Inc. 3,050 96,319
Great Atlantic & Pacific Tea 1,400 14,350
Co., Inc.*+++
Hain Celestial Group, Inc.* 2,200 45,474
Ingles Markets, Inc. Class 900 11,151
A+++
J & J Snack Foods 500 24,515
Corporation
John B. Sanfillippo & Son* 500 12,890
Lance, Inc. 2,100 39,963
Long's Drug Stores 2,500 68,925
Corporation
M & F Worldwide Corporation* 800 10,896
Nash Finch Co.+++ 1,000 37,760
National Beverage 400 3,328
Corporation
Nature's Sunshine Products, 600 12,216
Inc.+++
NBTY, Inc.* 21,400 513,814
Omega Protein Corporation* 500 4,300
Pathmark Stores, Inc.* 2,500 14,525
Performance Food Group 1,500 40,365
Co.*+++
Ralcorp Holdings, Inc. 2,500 104,825
Ruddick Corporation 45,900 995,571
Sanderson Farms, Inc.+++ 350 15,148
Seaboard Corporation+++ 30 29,940
Sensient Technologies 3,900 93,561
Corporation+++
Smart & Final, Inc.*+++ 1,000 14,390
SUPERVALU, Inc. 39,400 1,360,088
Weis Markets, Inc. 1,000 38,570
Winn-Dixie Stores, Inc.+++ 6,900 31,395
-------------
3,815,381
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
FINANCIAL SERVICES -- 18.5%
1st Source Corporation 1,000 $ 25,510
21st Century Insurance Group 1,900 25,840
A.G. Edwards, Inc.+++ 20,700 894,447
Aames Investment Corporation 2,700 28,890
REIT+++
ABC Bancorp+++ 800 16,800
Acadia Realty Trust REIT 2,100 34,230
Accredited Home Lenders 26,500 1,316,520
Holding Co.*+++
ACE Cash Express, Inc.* 20,200 599,132
Advanta Corporation Class 1,700 41,259
B+++
Affiliated Managers Group, 18,900 1,280,286
Inc.*+++
Affirmative Insurance 600 10,104
Holdings, Inc.
Affordable Residential 2,100 30,135
Communities REIT
Alabama National Bancorp 1,200 77,400
Alexandria Real Estate 1,500 111,630
Equities, Inc. REIT+++
Alfa Corporation 2,800 42,518
Alliance Data Systems 86,300 4,097,523
Corporation*+++
Allmerica Financial 40,300 1,323,049
Corporation*
Amcore Financial, Inc. 2,100 67,578
American Campus Communities, 1,100 24,739
Inc. REIT+++
American Equity Investment 1,300 14,001
Life Holding Co.+++
American Financial Realty 9,300 150,474
Trust REIT+++
American Home Mortgage 1,792 61,376
Investment Corporation
REIT
American Physicians Capital, 700 25,214
Inc.*
AmericanWest Bancorporation* 890 18,023
AmeriCredit Corporation*+++ 35,600 870,420
AmerUs Group Co.+++ 3,300 149,490
AMLI Residential Properties 2,200 70,400
Trust REIT+++
Anchor Bancorp Wisconsin, 1,700 49,555
Inc.
Anthracite Capital, Inc. 4,400 54,384
REIT+++
Anworth Mortgage Asset 3,800 40,698
Corporation REIT+++
Apollo Investment 5,300 80,030
Corporation+++
Arbor Realty Trust, Inc. 700 17,178
REIT+++
Ares Capital Corporation 300 5,829
Argonaut Group, Inc.* 35,000 739,550
Ashford Hospitality Trust, 1,700 18,479
Inc. REIT
Associated Banc-Corp 25,650 851,837
Assured Guaranty, Ltd. 25,800 507,486
Asta Funding, Inc. 100 2,684
Astoria Financial 20,800 831,376
Corporation
Atlantic Coast Federal 200 2,754
Corporation*+++
Baldwin & Lyons, Inc. Class 725 19,423
B
Bancfirst Corporation+++ 300 23,694
Bancorp, Inc.* 460 7,360
BancorpSouth, Inc. 6,600 160,842
BancTrust Financial Group, 700 17,227
Inc.
Bank Mutual Corporation 6,668 81,150
Bank of Granite 1,200 25,080
Corporation+++
</Table>
See Notes to Financial Statements.
119
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Bank of Hawaii Corporation 27,800 $ 1,410,572
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
BankAtlantic Bancorp, Inc. 3,200 $ 63,680
Class A
BankUnited Financial 17,300 552,735
Corporation Class A*+++
Banner Corporation 900 28,071
Bedford Property Investors, 1,200 34,092
Inc. REIT
Berkshire Hills Bancorp, 400 14,860
Inc.
Beverly Hills Bancorp, Inc. 1,100 11,110
Bimini Mortgage Management, 1,100 17,666
Inc. Class A REIT
BioMed Realty Trust, Inc. 2,600 57,746
REIT
BISYS Group, Inc. (The)* 10,300 169,435
BKF Capital Group, Inc. 200 7,580
Boston Private Financial 2,100 59,157
Holdings, Inc.
Brandywine Realty Trust REIT 4,100 120,499
Bristol West Holdings, Inc. 300 6,000
Brookfield Properties 13,200 493,680
Corporation REIT
Brookline Bancorp, Inc. 5,000 81,600
Bryn Mawr Bank 400 8,796
Corporation+++
Calamos Asset Management, 1,000 27,000
Inc. Class A
Camden National 700 27,587
Corporation+++
Capital Automotive REIT 3,162 112,330
Capital Bancorp, Ltd. 400 14,088
Capital City Bank Group, 650 27,170
Inc.+++
Capital Corporation of the 400 18,800
West
Capital Lease Funding, Inc. 1,900 23,750
REIT+++
Capital Southwest 100 7,852
Corporation+++
Capital Trust, Inc. Class A 900 27,639
REIT
Capstead Mortgage 1,700 17,918
Corporation REIT+++
CarrAmerica Realty 4,600 151,800
Corporation REIT
Cascade Bancorp 100 2,022
Cash America International, 900 26,757
Inc.
Cathay General Bancorp, 1,092 40,950
Inc.+++
CB Richard Ellis Group, Inc. 800 26,840
Class A*
CCC Information Services 56 1,244
Group*+++
Cedar Shopping Centers, Inc. 1,500 21,450
REIT
Central Coast Bancorp* 770 17,779
Central Pacific Financial 2,355 85,180
Corporation+++
Century Bancorp, Inc. Class 300 8,850
A
Ceres Group, Inc.* 2,500 12,900
Certegy, Inc. 15,000 532,950
CharterMac+++ 3,800 92,872
Chemical Financial 2,080 89,274
Corporation
Chittenden Corporation 3,868 111,128
Citizens Banking 3,700 127,095
Corporation+++
Citizens First Bancorp, Inc. 700 16,926
Citizens, Inc.*+++ 2,568 16,358
City Bank Lynwood 600 21,690
City Holdings Co. 1,300 47,112
Clifton Savings Bancorp, 800 9,720
Inc.
CNA Surety Corporation* 1,300 17,355
Cohen & Steers, Inc.+++ 33,700 547,625
Collegiate Funding Services 400 5,636
LLC*+++
Colonial BancGroup, Inc.+++ 67,800 1,439,394
Colonial Properties Trust 1,600 62,832
REIT+++
Columbia Bancorp 400 13,676
Columbia Banking System, 1,265 31,612
Inc.
Commerce Bancshares, Inc. 15,225 764,295
Commerce Group, Inc.+++ 26,000 1,587,039
Commercial Capital Bancorp, 1,133 26,263
Inc.
Commercial Federal 3,500 103,985
Corporation
Commercial Net Lease Realty, 4,400 90,640
Inc. REIT+++
Community Bank System, Inc. 2,400 67,800
Community Banks, Inc.+++ 942 26,527
Community Trust Bancorp, 978 31,645
Inc.
CompuCredit Corporation* 1,600 43,744
Cornerstone Realty Income 4,200 41,916
Trust, Inc. REIT
Corporate Office Properties 3,000 88,050
Trust REIT+++
Correctional Properties 900 25,992
Trust REIT
Corus Bankshares, Inc. 1,300 62,413
Cousins Properties, Inc. 1,900 57,513
REIT
Crawford & Co. Class B 1,100 8,250
Credit Acceptance 700 17,815
Corporation*+++
CRT Properties, Inc. REIT 2,300 54,878
CVB Financial Corporation+++ 29,117 773,348
Delphi Financial Group, Inc. 2,050 94,608
Class A
Digital Realty Trust, Inc. 1,300 17,511
REIT
Dime Community Bancshares 2,600 46,566
Direct General 18,100 581,010
Corporation+++
Donegal Group, Inc. Class A 500 11,465
Doral Financial 26,550 1,307,588
Corporation+++
Downey Financial 1,700 96,900
Corporation+++
Eastgroup Properties REIT+++ 1,800 68,976
Eaton Vance Corporation+++ 24,100 1,256,815
eFunds Corporation* 4,100 98,441
</Table>
See Notes to Financial Statements.
120
<Table>
<Caption>
SHARES VALUE
----------- -------------
Electro Rent Corporation 1,500 $ 21,345
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
EMC Insurance Group, Inc. 500 $ 10,820
Enstar Group, Inc.*+++ 300 18,750
Entertainment Properties 2,100 93,555
Trust REIT
Equity Inns, Inc. REIT 4,100 48,134
Equity Lifestyle Properties, 700 25,025
Inc. REIT
Equity One, Inc. REIT+++ 1,240 29,425
Essex Property Trust, Inc. 1,500 125,700
REIT
EuroBancshares, Inc.* 400 8,400
Euronet Worldwide, Inc.*+++ 17,300 450,146
Extra Space Storage, Inc. 1,700 22,661
REIT
FactSet Research Systems, 11,300 660,372
Inc.
Farmers Capital Bank 500 20,600
Corporation
FBL Financial Group, Inc. 1,100 31,405
Class A
Federal Agricultural 700 16,310
Mortgage Corporation+++
FelCor Lodging Trust, Inc. 4,200 61,530
REIT*
Fidelity Bankshares, Inc.+++ 800 34,208
Financial Federal 1,500 58,800
Corporation+++
Financial Institutions, Inc. 700 16,275
First American 38,700 1,359,918
Corporation+++
First Bancorp+++ 900 24,453
First Bancorp Puerto Rico 200 12,702
First Busey Corporation+++ 600 12,522
First Charter Corporation+++ 2,500 65,425
First Citizens BancShares, 500 74,125
Inc. Class A
First Commonwealth Financial 5,900 90,801
Corporation+++
First Community Bancorp 1,100 46,970
First Community Bancshares, 850 30,668
Inc.+++
First Financial Corporation 1,200 42,036
First Financial Bancorp 3,000 52,500
First Financial Bankshares, 1,150 51,532
Inc.+++
First Financial Holdings, 100 3,274
Inc.
First Indiana Corporation 1,000 22,510
First Industrial Realty 3,500 142,555
Trust, Inc. REIT+++
First Merchants Corporation 1,586 44,884
First Midwest Bancorp, Inc. 2,200 79,838
First National Bankshares of 4,057 96,962
Florida, Inc.
First Niagara Financial 7,163 99,924
Group, Inc.
First Oak Brook Bancshares, 550 17,826
Inc.
First of Long Island 300 15,135
Corporation (The)
First Place Financial 1,100 24,629
Corporation
First Republic Bank+++ 12,500 662,500
First State Bancorporation 700 25,732
FirstFed Financial 17,400 902,538
Corporation*
Flagstar Bancorp, Inc.+++ 500 11,300
Flushing Financial 1,450 29,087
Corporation
FNB Corporation+++ 1,900 38,684
FNB Corporation VA 600 17,016
FPIC Insurance Group, 700 24,766
Inc.*+++
Franklin Bank 900 16,425
Corporation*+++
Fremont General 57,200 1,440,296
Corporation+++
Frontier Financial 900 34,749
Corporation+++
Gabelli Asset Management, 300 14,556
Inc. Class A+++
Gables Residential Trust 2,500 89,475
REIT+++
GATX Corporation 44,300 1,309,508
GB&T Bancshares, Inc.+++ 825 19,899
German American Bancorp+++ 700 11,270
Getty Realty Corporation 1,300 37,349
REIT+++
Glacier Bancorp, Inc. 850 28,934
Glenborough Realty Trust, 2,400 51,072
Inc. REIT
Glimcher Realty Trust 2,000 55,420
REIT+++
Global Payments, Inc.+++ 31,900 1,867,425
Global Signal, Inc. REIT+++ 600 16,524
GMH Communities Trust REIT 2,100 29,610
Gold Banc Corporation, Inc. 2,000 29,240
Government Properties Trust, 1,700 16,762
Inc. REIT+++
Gramercy Capital Corporation 600 12,360
Great American Financial 600 10,422
Resources, Inc.
Great Southern Bancorp, 400 14,000
Inc.+++
Greater Bay Bancorp+++ 3,900 108,732
Greenhill & Co., Inc. 200 5,740
Hancock Holding Co.+++ 2,400 80,304
Hanmi Financial Corporation 162 5,822
Harbor Florida Bancshares, 1,400 48,454
Inc.
Harleysville Group, Inc. 1,100 26,257
Healthcare Realty Trust, 4,100 166,870
Inc. REIT
HealthExtras, Inc.* 16,200 264,060
Financial USA, Inc.+++ 750 15,083
Henry (Jack) & Associates, 50,500 1,005,455
Inc.
Heritage Property Investment 2,300 73,807
Trust REIT+++
Hibernia Corporation Class A 61,800 1,823,717
Highland Hospitality 2,900 32,596
Corporation REIT
</Table>
See Notes to Financial Statements.
121
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Highwoods Properties, Inc. 4,500 $ 124,650
REIT
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Hilb, Rogal & Hobbs Co. 600 $ 21,744
Home Properties, Inc. REIT 2,800 120,400
HomeBanc Corporation REIT+++ 2,600 25,168
Homestore, Inc.* 9,400 28,482
Horace Mann Educators 3,600 68,688
Corporation
Horizon Financial 900 18,522
Corporation
Hudson River Bancorp, Inc. 2,600 51,454
Hypercom Corporation*+++ 1,400 8,288
IBERIABANK Corporation 500 33,180
Impac Mortgage Holdings, 6,200 140,554
Inc. REIT+++
Independence Community Bank 23,200 987,856
Corporation
Independence Holding Co. 360 6,642
Independent Bank Corporation 600 20,250
MA
Independent Bank Corporation 769 22,939
MI+++
IndyMac Bancorp, Inc. 7,300 251,485
Infinity Property & Casualty 31,900 1,122,880
Corporation
Innkeepers USA Trust REIT+++ 2,800 39,760
Integra Bank Corporation 1,300 30,043
Interactive Data 2,700 58,698
Corporation*
Interchange Financial 900 23,328
Service
Intersections, Inc.*+++ 21,600 372,600
Investment Technology Group, 70,300 1,406,000
Inc.*
Investors Financial Services 47,100 2,354,057
Corporation+++
Investors Real Estate Trust 3,500 36,715
REIT
iPayment, Inc.*+++ 14,300 708,136
IPC Holdings, Ltd. 27,300 1,187,823
Irwin Financial 1,500 42,585
Corporation+++
ITLA Capital Corporation* 500 29,395
Jefferies Group, Inc.+++ 46,300 1,864,963
John H. Harland Co.+++ 32,300 1,166,030
Jones Lang LaSalle, Inc.* 35,500 1,328,055
K-Fed Bancorp 400 5,984
Kansas City Life Insurance 300 14,190
Co.
Kilroy Realty Corporation 2,400 102,600
REIT+++
Kite Realty Group Trust REIT 1,400 21,392
KNBT Bancorp, Inc. 2,600 43,940
Knight Trading Group, Inc.* 9,800 107,310
Kramont Realty Trust REIT 2,000 46,800
La Quinta Corporation* 15,900 144,531
LaBranche & Co., Inc.*+++ 4,500 40,320
Lakeland Bancorp, Inc.+++ 1,420 24,921
Lakeland Financial 500 19,850
Corporation
LandAmerica Financial Group, 23,600 1,272,748
Inc.+++
LaSalle Hotel Properties 2,400 76,392
REIT
Lexington Corporate 4,100 92,578
Properties Trust REIT
LTC Properties, Inc. REIT 1,300 25,883
Luminent Mortgage Capital, 3,300 39,270
Inc. REIT
Macatawa Bank Corporation+++ 736 23,765
MAF Bancorp, Inc. 2,374 106,403
Maguire Properties, Inc. 3,000 82,380
REIT
Main Street Banks, Inc.+++ 9,200 321,356
MainSource Financial Group, 860 20,536
Inc.
Markel Corporation* 5,400 1,965,599
MarketAxess Holdings, Inc.* 500 8,505
Marlin Business Services, 100 1,900
Inc.*
MB Financial, Inc. 900 37,935
MBT Financial Corporation+++ 1,100 25,597
MCG Capital Corporation 2,900 49,677
Mercantile Bank 252 9,954
Corporation+++
Mercury General Corporation 19,600 1,174,432
MeriStar Hospitality 7,300 60,955
Corporation REIT*
Metris Cos., Inc.*+++ 2,700 34,425
MFA Mortgage Investments, 6,700 59,094
Inc. REIT
Mid-America Apartment 1,500 61,830
Communities, Inc. REIT+++
Mid-State Bancshares+++ 2,000 57,300
Midland Co. 800 25,016
Midwest Banc Holdings, 600 13,122
Inc.+++
Mission West Properties, 1,500 15,960
Inc. REIT+++
MortgageIT Holdings, Inc. 400 7,180
REIT+++
Municipal Mortgage & Equity 29,300 797,253
LLC
National Financial Partners 7,500 291,000
Corporation
National Health Investors, 2,000 58,360
Inc. REIT
National Penn Bancshares, 2,812 77,892
Inc.+++
National Western Life 200 33,322
Insurance Co. Class A*
Nationwide Health 5,600 133,000
Properties, Inc. REIT+++
Navigators Group, Inc.* 700 21,077
NBC Capital Corporation+++ 600 15,942
NBT Bancorp, Inc. 2,800 72,016
NCO Group, Inc.* 2,300 59,455
NDCHealth Corporation+++ 27,200 505,648
NetBank, Inc. 3,900 40,599
New Century Financial 644 41,158
Corporation REIT+++
Newcastle Investment 2,900 92,162
Corporation REIT
</Table>
See Notes to Financial Statements.
122
<Table>
<Caption>
SHARES VALUE
----------- -------------
NGP Capital Resources 600 $ 9,222
Co.*+++
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Northwest Bancorp, Inc.+++ 1,600 $ 40,144
Novastar Financial, Inc. 2,100 103,950
REIT+++
NYMAGIC, Inc. 300 7,590
Oak Hill Financial, Inc. 200 7,758
OceanFirst Financial 800 19,720
Corporation+++
Ohio Casualty 5,200 120,692
Corporation*+++
Old National Bancorp+++ 5,700 147,402
Omega Financial Corporation 960 32,909
Omega Healthcare Investors, 3,900 46,020
Inc. REIT
Oriental Financial Group, 660 18,685
Inc.+++
Origen Financial, Inc. 700 5,236
REIT+++
Pacific Capital Bancorp 2,233 75,900
Park National Corporation+++ 735 99,593
Parkway Properties, Inc. 900 45,675
REIT
Partners Trust Financial 2,695 31,396
Group, Inc.
Penn-America Group, Inc. 800 12,080
PennFed Financial Services, 800 12,864
Inc.
PennRock Financial Services 500 19,455
Corporation
Pennsylvania Real Estate 2,651 113,463
Investment Trust REIT
Peoples Bancorp, Inc. 940 25,784
Peoples Holding Co.+++ 750 24,825
PFF Bancorp, Inc. 16,480 763,518
Philadelphia Consolidated 1,300 85,982
Holding Corporation*+++
Phoenix Cos., Inc.+++ 8,000 100,000
PICO Holdings, Inc.* 700 14,539
Piper Jaffray Cos.*+++ 1,500 71,925
Placer Sierra Bancshares 300 8,532
PMA Capital Corporation 2,300 23,805
Class A*+++
PMI Group, Inc. (The) 33,100 1,381,925
Portfolio Recovery 7,500 309,150
Associates, Inc.*
Post Properties, Inc. REIT 3,400 118,660
Prentiss Properties Trust 3,800 145,160
REIT+++
Presidential Life 1,800 30,528
Corporation
PRG-Schultz International, 3,100 15,593
Inc.*
Primus Guaranty, Ltd.*+++ 12,300 201,597
PrivateBancorp, Inc.+++ 15,000 483,450
ProAssurance Corporation*+++ 2,200 86,042
Prosperity Bancshares, Inc. 1,300 37,973
Provident Bancorp, Inc. 700 9,233
Provident Bankshares 2,776 100,963
Corporation
Provident Financial 450 12,983
Holdings, Inc.
Provident Financial 6,378 123,540
Services, Inc.
Providian Financial 43,500 716,445
Corporation*
PS Business Parks, Inc. REIT 1,300 58,630
QC Holdings, Inc.* 200 3,832
R&G Financial Corporation 27,200 1,057,536
Class B
Radian Group, Inc. 25,800 1,373,592
RAIT Investment Trust REIT 2,100 58,737
Ramco-Gershenson Properties 1,200 38,700
REIT
Realty Income Corporation 3,400 171,972
REIT+++
Redwood Trust, Inc. REIT+++ 1,500 93,135
Republic Bancorp, Inc. 5,946 90,855
Republic Bancorp, Inc. Class 735 18,890
A
Riggs National Corporation 1,400 29,764
RLI Corporation 1,600 66,512
Royal Bancshares of 422 11,410
Pennsylvania, Inc. Class A
Ryder System, Inc.+++ 17,300 826,421
S&T Bancorp, Inc.+++ 1,900 71,611
Safety Insurance Group, Inc. 900 28,035
Sanders Morris Harris Group, 1,000 17,810
Inc.+++
Sandy Spring Bancorp, 900 34,497
Inc.+++
Santander Bancorp+++ 440 13,270
Saul Centers, Inc. REIT 1,000 38,250
Saxon Capital, Inc. REIT 3,900 93,561
SCBT Financial Corporation 651 21,854
Seacoast Banking Corporation 540 12,015
of Florida
Security Bank Corporation 400 16,000
Selective Insurance Group, 2,200 97,328
Inc.+++
Senior Housing Properties 4,600 87,124
Trust REIT
Signature Bank*+++ 400 12,944
Silicon Valley 400 17,928
Bancshares*+++
Simmons First National 1,300 37,635
Corporation Class A
Southern Community Financial 1,000 10,350
Corporation+++
Southside Bancshares, 772 17,634
Inc.+++
Southwest Bancorp of Texas, 26,700 621,843
Inc.
Southwest Bancorp, Inc. 900 22,032
Sovran Self Storage, Inc. 1,300 54,782
REIT
Stancorp Financial Group, 17,500 1,443,750
Inc.+++
State Auto Financial 600 15,510
Corporation
State Bancorp, Inc. 641 17,628
State Financial Services 500 15,050
Corporation Class A
</Table>
See Notes to Financial Statements.
123
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Sterling Bancorp 690 $ 19,493
Sterling Bancshares, Inc.+++ 3,800 54,226
Sterling Financial 1,275 36,554
Corporation
Sterling Financial 1,959 76,910
Corporation Washington*
Stewart Information Services 25,600 1,066,240
Corporation
Stifel Financial 666 13,953
Corporation*
Strategic Hotel Capital, 1,500 24,750
Inc. REIT
Summit Properties, Inc. REIT 2,400 78,144
Sun Bancorp, Inc. NJ* 756 18,885
Sun Communities, Inc. REIT 1,400 56,350
Sunstone Hotel Investors, 1,600 33,248
Inc. REIT+++
Susquehanna Bancshares, 3,910 97,555
Inc.+++
SWS Group, Inc. 1,300 28,496
SY Bancorp, Inc.+++ 400 9,640
Tanger Factory Outlet Center 1,600 42,336
REIT
Taubman Centers, Inc. REIT 2,200 65,890
Taylor Capital Group, Inc. 300 10,050
Texas Capital Bancshares, 42,400 916,688
Inc.*+++
Texas Regional Banchshares, 1,800 58,824
Inc. Class A
TierOne Corporation 41,600 1,033,760
Tompkins Trustco, Inc.+++ 640 34,234
Tower Group, Inc. 900 10,800
Triad Guaranty, Inc.* 800 48,384
Trico Bancshares 900 21,060
Trustmark Corporation 4,000 124,280
U-Store-It-Trust REIT 1,900 32,965
U.S. Restaurant Properties, 1,900 34,314
Inc. REIT+++
UCBH Holdings, Inc. 30,500 1,397,510
UICI 37,500 1,271,250
UMB Financial Corporation 1,300 73,658
Umpqua Holdings 3,748 94,487
Corporation+++
Union Bankshares Corporation 700 26,901
United Bankshares, Inc.+++ 3,200 122,080
United Community Banks, 800 21,544
Inc.+++
United Community Financial 2,300 25,760
Corporation+++
United Fire & Casualty 1,200 40,452
Co.+++
United Rentals, Inc.*+++ 3,700 69,930
Universal American Financial 2,200 34,034
Corporation*
Universal Health Realty 1,000 32,130
Income Trust REIT+++
Unizan Financial Corporation 1,900 50,065
Urstadt Biddle Properties, 1,800 30,690
Inc. Class A REIT
USB Holding Co., Inc.+++ 882 21,962
USI Holdings Corporation*+++ 500 5,785
Value Line, Inc. 100 3,924
Vesta Insurance Group, 800 2,944
Inc.+++
Virginia Financial Group, 600 21,996
Inc.+++
Washington Real Estate 2,200 74,514
Investment Trust+++
Washington Trust Bancorp, 1,100 32,241
Inc.+++
Waypoint Financial 2,515 71,300
Corporation
Webster Financial 19,500 987,480
Corporation
WesBanco, Inc.+++ 1,500 47,955
West Coast Bancorp+++ 1,200 30,492
Westamerica 1,200 69,972
Bancorporation+++
Westcorp 7,700 353,661
Western Sierra Bancorp*+++ 400 15,342
Westfield Financial, Inc. 300 7,746
WFS Financial, Inc.* 8,100 411,318
Winston Hotels, Inc. REIT 1,900 22,439
Wintrust Financial 18,900 1,076,544
Corporation+++
WSFS Financial Corporation 500 30,160
Yardville National Bancorp 700 23,982
Zenith National Insurance 9,200 458,528
Corporation+++
ZipRealty, Inc.* 200 3,574
-------------
89,929,099
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
HEALTHCARE -- 7.1%
Abgenix, Inc.*+++ 3,800 $ 39,292
Accelrys, Inc.* 2,100 16,380
Advanced Medical Optics, 18,800 773,432
Inc.*+++
Albany Molecular Research, 1,700 18,938
Inc.*+++
Alliance Imaging, Inc.* 1,000 11,250
Allscripts Healthcare 1,000 10,670
Solutions, Inc.*+++
Alpharma, Inc. Class A+++ 3,300 55,935
America Service Group, Inc.* 21,300 570,201
American Dental Partners, 25,700 487,272
Inc.*
American Healthways, 23,250 768,180
Inc.*+++
American Pharmaceutical 7,900 295,539
Partners, Inc.*+++
AMERIGROUP Corporation*+++ 8,600 650,676
Analogic Corporation 400 17,916
Animas Corporation*+++ 100 1,563
Applera 6,200 85,250
Corporation -- Celera
Genomics Group*
Atherogenics, Inc.*+++ 1,400 32,984
Barrier Therapeutics, Inc.* 100 1,660
Bausch & Lomb, Inc. 16,800 1,082,928
Beverly Enterprises, 800 7,320
Inc.*+++
Bio-Rad Laboratories, Inc. 16,200 929,394
Class A*
Bioenvision, Inc.* 47,000 421,120
</Table>
See Notes to Financial Statements.
124
<Table>
<Caption>
SHARES VALUE
----------- -------------
Biovail Corporation*+++ 29,700 $ 490,941
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Bradley Pharmaceuticals, 45,800 $ 888,520
Inc.*+++
Caraco Pharmaceutical 100 955
Laboratories, Inc.*
Cardiac Science, Inc.*+++ 2,300 4,922
Cell Genesys, Inc.*+++ 3,800 30,780
Cephalon, Inc.*+++ 11,900 605,472
Charles River Laboratories 11,600 533,716
International, Inc.*
Chattem, Inc.*+++ 300 9,930
Conmed Corporation* 2,500 71,050
Cubist Pharmaceuticals, 700 8,281
Inc.*
CuraGen Corporation*+++ 1,600 11,456
Cytokinetics, Inc.*+++ 100 1,025
Dade Behring Holdings, Inc.* 8,700 487,200
Datascope Corporation 1,000 39,690
DaVita, Inc.* 84,900 3,356,097
DJ Orthopedics, Inc.*+++ 28,300 606,186
E-Z-Em, Inc.+++ 500 7,300
Enzon, Inc.*+++ 1,500 20,580
First Health Group 2,600 48,646
Corporation*
First Horizon Pharmaceutical 200 4,578
Corporation*+++
FoxHollow Technologies, 3,700 90,983
Inc.*+++
Gen-Probe, Inc* 13,300 601,293
Genesis HealthCare 1,700 59,551
Corporation*
Gentiva Health Services, 200 3,344
Inc.*+++
Guilford Pharmaceuticals, 1,800 8,910
Inc.*+++
Haemonetics Corporation* 600 21,726
Hanger Orthopedic Group, 1,800 14,580
Inc.*+++
Healthcare Services Group, 100 2,084
Inc.
Hologic, Inc.* 1,300 35,711
Hooper Holmes, Inc. 3,500 20,720
Human Genome Sciences, Inc.* 11,000 132,220
Humana, Inc.* 35,000 1,039,150
I-Flow Corporation*+++ 16,300 297,149
Immucor, Inc.* 16,500 387,915
Immunicon Corporation*+++ 100 698
IMPAC Medical Systems, 25,800 531,222
Inc.*+++
Incyte Corporation*+++ 2,800 27,972
Indevus Pharmaceuticals, 400 2,384
Inc.*+++
Intuitive Surgical, Inc.*+++ 17,900 716,358
Invacare Corporation 2,200 101,772
Inverness Medical 500 12,550
Innovations, Inc.*+++
Kindred Healthcare, Inc.*+++ 2,200 65,890
KV Pharmaceutical Co. Class 14,787 326,053
A*+++
Landauer, Inc. 300 13,710
Ligand Pharmaceuticals, Inc. 68,500 797,340
Class B*+++
Magellan Health Services, 33,400 1,140,944
Inc.*+++
MannKind Corporation*+++ 200 3,150
Matria Healthcare, Inc.*+++ 300 11,721
Maxygen, Inc.* 1,900 24,301
Medarex, Inc.*+++ 4,400 47,432
Medcath Corporation* 500 12,320
Medicines Co.*+++ 7,850 226,080
Mentor Corporation+++ 400 13,496
Merit Medical Systems, 22,700 346,856
Inc.*+++
Microtek Medical Holdings, 2,700 10,962
Inc.*+++
Molecular Devices 300 6,030
Corporation*
Molina Healthcare, Inc.*+++ 17,100 793,098
National Healthcare 100 3,530
Corporation
Neose Technologies, Inc.* 100 672
NitroMed, Inc.*+++ 200 5,330
OCA, Inc.*+++ 3,500 22,225
Ocular Sciences, Inc.* 300 14,703
Option Care, Inc.+++ 400 6,876
Oscient Pharmaceuticals 5,100 18,615
Corporation*+++
Owens & Minor, Inc. 24,600 692,982
PAREXEL International 600 12,180
Corporation*+++
Pediatrix Medical Group, 27,400 1,754,970
Inc.*
Perrigo Co.+++ 3,800 65,626
Praecis Pharmaceuticals, 4,400 8,360
Inc.*+++
Protein Design Labs, Inc.* 21,600 446,256
Province Healthcare Co.*+++ 3,900 87,165
ProxyMed, Inc.*+++ 200 1,964
Quidel Corporation*+++ 400 2,032
Radiation Therapy Services, 55,200 938,400
Inc.*+++
RehabCare Group, Inc.* 1,100 30,789
Res-Care, Inc.* 1,500 22,830
Respironics, Inc.*+++ 19,500 1,060,020
Rigel Pharmaceuticals, 16,600 405,372
Inc.*+++
Seattle Genetics, Inc.*+++ 1,600 10,448
Serologicals Corporation*+++ 600 13,272
Sierra Health Services, 18,000 991,980
Inc.*
Sola International, Inc.* 2,700 74,358
Specialty Laboratories, 300 3,312
Inc.*+++
Stericycle, Inc.*+++ 24,000 1,102,800
Steris Corporation*+++ 800 18,976
Sunrise Senior Living, 1,300 60,268
Inc.*+++
Sybron Dental Specialties, 1,000 35,380
Inc.*
</Table>
See Notes to Financial Statements.
125
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Tanox, Inc.*+++ 20,100 $ 305,520
Taro Pharmaceuticals 16,200 551,286
Industries, Ltd.*+++
Techne Corporation*+++ 700 27,230
Transkaryotic Therapies, 100 2,539
Inc.*
United Surgical Partners 15,500 646,350
International, Inc.*+++
Valeant Pharmaceuticals 1,700 44,795
International+++
VCA Antech, Inc.* 84,700 1,660,120
Ventana Medical Systems*+++ 10,300 659,097
Vertex Pharmaceuticals, 3,300 34,881
Inc.*+++
Viasys Healthcare, Inc.* 2,600 49,400
Vicuron Pharmaceuticals, 2,300 40,043
Inc.*
Vital Signs, Inc. 500 19,460
WellCare Health Plans, Inc.* 8,900 289,250
West Pharmaceutical 1,400 35,042
Services, Inc.
Wilson Greatbatch 200 4,484
Technologies, Inc.*+++
Wright Medical Group, 9,600 273,600
Inc.*+++
Zoll Medical Corporation*+++ 9,325 320,780
-------------
34,328,468
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
INTEGRATED OILS -- 0.2%
Delta Petroleum 17,300 $ 271,264
Corporation*+++
Giant Industries, Inc.*+++ 24,200 641,542
Petrocorp, Inc. Escrow 500 0
Shares*+
-------------
912,806
-------------
MATERIALS & PROCESSING -- 6.9%
Aaon, Inc.* 100 1,607
Agrium, Inc. 84,900 1,430,565
Airgas, Inc. 4,100 108,691
AK Steel Holding 4,200 60,774
Corporation*+++
Albany International 2,200 77,352
Corporation Class A
Albemarle Corporation 2,700 104,517
Aleris International, Inc.* 600 10,152
Alico, Inc.+++ 300 17,556
AMCOL International 1,600 32,144
Corporation
Ameron International 700 26,530
Corporation
Anchor Glass Container 400 2,688
Corporation+++
Apogee Enterprises, Inc. 2,300 30,843
AptarGroup, Inc. 3,100 163,618
Arch Chemicals, Inc. 2,000 57,560
Avatar Holdings, Inc.*+++ 400 19,240
Ball Corporation 24,000 1,055,520
Barnes Group, Inc.+++ 1,300 34,463
Beacon Roofing Supply, 26,600 528,276
Inc.*+++
Bluegreen Corporation*+++ 62,100 1,231,443
Brady Corporation Class A 800 50,056
Brookfield Homes Corporation 300 10,170
Brush Engineered Materials, 1,700 31,450
Inc.*
Buckeye Technologies, Inc.* 2,500 32,525
Building Materials Holding 1,200 45,948
Corporation+++
Calgon Carbon Corporation+++ 2,800 25,424
Cambrex Corporation 2,300 62,330
Caraustar Industries, 2,500 42,050
Inc.*+++
Carpenter Technology 22,400 1,309,504
Corporation+++
Ceradyne, Inc.*+++ 500 28,605
Chesapeake Corporation+++ 1,600 43,456
Chicago Bridge & Iron Co. NV 23,500 940,000
CIRCOR International, Inc. 1,300 30,108
Cleveland-Cliffs, Inc.+++ 400 41,544
Comfort Systems USA, Inc.* 3,200 24,576
Commercial Metals Co. 36,000 1,820,159
Compass Minerals 1,300 31,499
International, Inc.
CompX International, Inc. 100 1,653
Corn Products International, 30,000 1,606,800
Inc.
Crompton Corporation 9,700 114,460
Crown Holdings, Inc.* 6,300 86,562
Cytec Industries, Inc.+++ 3,300 169,686
Delta & Pine Land Co. 1,400 38,192
Deltic Timber Corporation 700 29,715
Dycom Industries, Inc.* 900 27,468
Eagle Materials, Inc.+++ 1,500 129,525
ElkCorp 200 6,844
EMCOR Group, Inc.* 1,300 58,734
Enersys* 600 9,150
Ennis, Inc. 2,152 41,426
Exide Technologies*+++ 1,800 24,804
Ferro Corporation 3,500 81,165
FMC Corporation* 3,100 149,730
Georgia Gulf Corporation 1,100 54,780
Gibraltar Industries, Inc. 1,200 28,344
Glatfelter 2,400 36,672
Gold Kist, Inc.*+++ 700 9,534
Grace (W.R.) & Co.* 5,600 76,216
GrafTech International, 6,800 64,328
Ltd.*
Granite Construction, 2,800 74,480
Inc.+++
Great Lakes Chemical 4,300 122,507
Corporation+++
Great Wolf Resorts, Inc.* 2,700 60,318
Greif, Inc. Class A 1,100 61,600
Griffon Corporation* 1,900 51,300
H.B. Fuller Co. 2,400 68,424
Hecla Mining Co.*+++ 5,100 29,733
Hercules, Inc.* 4,300 63,855
Hexel Corporation*+++ 23,600 342,200
Infrasource Services, 500 6,500
Inc.*+++
Insituform Technologies, 1,500 34,005
Inc. Class A*+++
</Table>
See Notes to Financial Statements.
126
<Table>
<Caption>
SHARES VALUE
----------- -------------
Integrated Electrical 1,700 $ 8,228
Services, Inc.*+++
Interface, Inc. Class A* 3,700 36,889
Jacuzzi Brands, Inc.* 5,900 51,330
Kaydon Corporation+++ 1,500 49,530
Layne Christensen Co.*+++ 400 7,260
Lennox International, Inc. 3,300 67,155
LNR Property Corporation 20,200 1,270,782
Lone Star Technologies, 500 16,730
Inc.*+++
Longview Fibre Co. 4,300 78,002
LSI Industries, Inc. 1,675 19,179
Maverick Tube 18,800 569,640
Corporation*+++
Metal Management, Inc.+++ 42,400 1,139,288
Metals USA, Inc.*+++ 1,800 33,390
Methanex Corporation 83,400 1,522,884
Minerals Technologies, Inc. 7,600 506,920
Mobile Mini, Inc.*+++ 32,600 1,077,104
Mueller Industries, Inc.+++ 17,800 573,160
Myers Industries, Inc. 2,062 26,394
NCI Building Systems, Inc.* 600 22,500
NewMarket Corporation* 1,200 23,880
NL Industries, Inc.* 400 8,840
NN, Inc. 1,400 18,494
NS Group, Inc.* 1,600 44,480
Octel Corporation 1,100 22,891
Olin Corporation 3,620 79,712
OM Group, Inc.* 2,400 77,808
Omnova Solutions, Inc.* 2,000 11,240
Oregon Steel Mills, Inc.* 65,200 1,322,908
Penn Engineering & 900 16,290
Manufacturing Corporation
Perini Corporation* 500 8,345
PolyOne Corporation*+++ 7,800 70,668
Pope & Talbot, Inc.+++ 1,300 22,243
Potlatch Corporation 2,500 126,450
Quaker Chemical Corporation 500 12,420
Quanex Corporation+++ 1,400 95,998
Quanta Services, Inc.* 3,000 24,000
Reading International, Inc. 1,200 10,032
Class A*+++
Reliance Steel & Aluminum 29,400 1,145,424
Co.
Rock-Tenn Co. Class A 2,500 37,900
RTI International Metals, 1,800 36,972
Inc.*
Ryerson Tull, Inc.+++ 58,300 918,225
Schnitzer Steel Industries, 1,550 52,592
Inc. Class A+++
Schulman (A.), Inc. 2,700 57,807
Shaw Group, Inc. (The)*+++ 5,300 94,605
Silgan Holdings, Inc. 400 24,384
Southern Peru Copper 23,200 1,095,272
Corporation+++
Spartech Corporation+++ 2,100 56,889
St. Joe Co. (The)+++ 23,800 1,527,960
Standard Register Co.+++ 900 12,708
Steel Dynamics, Inc.+++ 37,500 1,420,500
Steel Technologies, Inc.+++ 900 24,759
Stepan Co. 500 12,180
Stillwater Mining Co.* 2,700 30,402
Sunterra Corporation*+++ 1,600 22,464
Symyx Technologies* 13,300 400,064
Tarragon Corporation*+++ 525 9,371
Terra Industries, Inc.*+++ 76,300 677,544
Texas Industries, Inc. 22,400 1,397,312
Titanium Metals Corporation* 500 12,070
Trammell Crow Co.* 28,800 521,568
Tredegar Corporation+++ 2,400 48,504
U.S. Concrete, Inc.* 1,800 13,806
UAP Holding Corporation* 1,400 24,178
Universal Forest Products, 1,300 56,420
Inc.
URS Corporation* 2,700 86,670
USEC, Inc. 7,100 68,799
USG Corporation*+++ 2,700 108,729
Valence Technology, Inc.*+++ 3,000 9,330
Valhi, Inc. 840 13,516
Valmont Industries, Inc. 1,200 30,132
Washington Group 2,100 86,625
International, Inc.*
Watsco, Inc. 1,900 66,918
Wausau-Mosinee Paper 3,700 66,082
Corporation
WCI Communities, Inc.*+++ 2,900 85,260
WD-40 Co. 700 19,887
Wellman, Inc. 2,700 28,863
Westlake Chemical 600 20,040
Corporation
Wheeling-Pittsburgh 500 19,270
Corporation*+++
Worthington Industries, 36,800 720,544
Inc.+++
York International 3,500 120,890
Corporation
-------------
33,680,152
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
OTHER -- 0.2%
GenCorp, Inc.+++ 3,900 $ 72,423
Kaman Corporation Class A+++ 1,800 22,770
Lancaster Colony Corporation 2,000 85,740
Ritchie Bros. Auctioneers, 14,400 476,064
Inc.+++
Sequa Corporation Class A* 500 30,575
Trinity Industries, Inc.+++ 3,100 105,648
Walter Industries, Inc.+++ 2,000 67,460
-------------
860,680
-------------
OTHER ENERGY -- 3.4%
ATP Oil & Gas 13,900 258,262
Corporation*+++
Berry Petroleum Co. Class 1,100 52,470
A+++
Cabot Oil & Gas Corporation 1,700 75,225
Callon Petroleum Co.*+++ 500 7,230
Calpine Corporation*+++ 37,600 148,144
Capstone Turbine 1,700 3,111
Corporation*
Cimarex Energy Co.* 20,300 769,370
Clayton Williams Energy, 100 2,290
Inc.*
Comstock Resources, Inc.* 400 8,820
Denbury Resources, Inc.* 42,400 1,163,880
</Table>
See Notes to Financial Statements.
127
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Dril-Quip, Inc.* 500 $ 12,130
Edge Petroleum Corporation* 300 4,374
Encore Acquisition Co.* 1,800 62,838
Energy Partners, Ltd.*+++ 2,100 42,567
Forest Oil Corporation*+++ 4,300 136,396
Foundation Coal Holdings, 11,700 269,802
Inc.*+++
Global Industries, Ltd.* 7,100 58,859
Global Power Equipment 2,300 22,632
Group, Inc.*+++
Gulf Island Fabrication, 100 2,183
Inc.
Hanover Compressor Co.*+++ 6,500 91,845
Harvest Natural Resources, 3,100 53,537
Inc.*+++
Helmerich & Payne, Inc. 1,900 64,676
Holly Corporation 1,700 47,379
Hornbeck Offshore Services, 300 5,790
Inc.*
Houston Exploration Co.* 30,500 1,717,454
Hydril Co.*+++ 11,800 537,018
Key Energy Services, Inc.* 11,300 133,340
KFX, Inc.*+++ 32,600 473,352
Lufkin Industries, Inc. 600 23,945
Magnum Hunter Resources, 2,600 33,540
Inc.*
Matrix Service Co.*+++ 800 6,448
McMoRan Exploration Co.*+++ 800 14,960
Meridian Resource 5,400 32,670
Corporation*+++
Newpark Resources, Inc.* 2,900 14,935
Oceaneering International, 2,100 78,372
Inc.*
Oil States International, 1,700 32,793
Inc.*
Parker Drilling Co.* 7,900 31,047
Patina Oil & Gas Corporation 22,800 855,000
Patterson-UTI Energy, Inc. 32,300 628,235
PetroKazakhstan, Inc. 35,300 1,309,630
Plains Exploration & 15,020 390,520
Production Co.*
Quicksilver Resources, Inc.* 8,300 305,274
Range Resources Corporation 3,100 63,426
Remington Oil & Gas 300 8,175
Corporation*
Resource America, Inc. Class 800 26,000
A
RPC, Inc.+++ 700 17,584
SEACOR Holdings, Inc.* 1,600 85,440
Spinnaker Exploration 1,200 42,084
Co.*+++
St. Mary Land & Exploration 2,400 100,176
Co.+++
Stone Energy Corporation* 1,500 67,635
Superior Energy Services, 27,100 417,611
Inc.*
Swift Energy Co.*+++ 2,300 66,562
Syntroleum Corporation*+++ 1,000 8,030
Tesoro Corporation* 23,200 739,152
Tetra Technologies, Inc.*+++ 14,650 414,595
TODCO Class A*+++ 30,500 561,810
Transmontaigne, Inc.*+++ 1,800 11,034
Tsakos Energy Navigation, 27,000 966,330
Ltd.
Unit Corporation* 12,150 464,252
Universal Compression 21,000 733,110
Holdings, Inc.*
Veritas DGC, Inc.*+++ 45,300 1,015,173
Vintage Petroleum, Inc. 4,300 97,567
W-H Energy Services, Inc.* 28,300 632,788
Whiting Petroleum 1,000 30,250
Corporation*
-------------
16,551,127
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
PRODUCER DURABLES -- 4.8%
Applied Films Corporation* 700 $ 15,092
Applied Industrial 2,250 61,650
Technologies, Inc.
Applied Signal Technology, 7,100 250,275
Inc.
Arris Group, Inc.*+++ 1,500 10,560
Artesyn Technologies, 1,400 15,820
Inc.*+++
Astec Industries, Inc.* 900 15,489
ASV, Inc.*+++ 6,200 296,980
Audiovox Corporation Class 700 11,046
A*
Axcelis Technologies, Inc.* 1,700 13,821
Beazer Homes USA, Inc.+++ 10,800 1,579,068
Belden CDT, Inc. 3,100 71,920
Blount International, Inc. 100 1,742
Class A*
Bucyrus International, Inc. 10,400 422,656
Class A
C & D Technologies, Inc. 2,200 37,488
C-COR, Inc.*+++ 1,400 13,020
Cascade Corporation 900 35,955
Cognex Corporation 19,700 549,630
Cohu, Inc. 1,900 35,264
Credence Systems 400 3,660
Corporation*+++
CTS Corporation+++ 1,700 22,593
Curtiss-Wright Corporation 1,300 74,633
Cymer, Inc.*+++ 33,300 983,682
DDi Corporation*+++ 1,100 3,498
Dominion Homes, Inc.* 300 7,567
Ducommun, Inc.*+++ 600 12,510
DuPont Photomasks, Inc.*+++ 600 15,846
Electro Scientific 2,400 47,424
Industries, Inc.*
EnPro Industries, Inc.* 1,800 53,226
Entegris, Inc.*+++ 400 3,980
ESCO Technologies, Inc.* 500 38,325
Esterline Technologies 11,700 382,005
Corporation*
Faro Technologies, Inc.*+++ 24,000 748,320
Federal Signal 4,100 72,406
Corporation+++
FEI Co.*+++ 8,700 182,700
Flanders Corporation*+++ 300 2,880
Flowserve Corporation* 4,600 126,684
</Table>
See Notes to Financial Statements.
128
<Table>
<Caption>
SHARES VALUE
----------- -------------
FSI International, Inc.* 200 $ 934
Gardner Denver, Inc.* 1,700 61,693
General Cable 3,100 42,935
Corporation*+++
Genlyte Group, Inc.* 1,000 85,680
Gorman-Rupp Co. 750 17,250
Headwaters, Inc.*+++ 21,000 598,500
Heico Corporation+++ 1,600 36,144
IDEX Corporation 2,050 83,025
Ionics, Inc.*+++ 1,500 65,010
JLG Industries, Inc. 2,500 49,075
Joy Global, Inc. 16,100 699,223
Kadant, Inc.* 700 14,350
KB HOME 7,400 772,560
Kennametal, Inc. 3,100 154,287
Kimball International, Inc. 1,800 26,658
Class B
Lindsay Manufacturing Co.+++ 100 2,588
Littelfuse, Inc.* 200 6,832
M/I Homes, Inc.+++ 1,000 55,110
Magnetek, Inc.* 2,000 13,800
Mastec, Inc.*+++ 2,100 21,231
MDC Holdings, Inc. 7,800 674,232
Meritage Homes Corporation* 9,600 1,081,920
Mettler Toledo 17,600 903,056
International, Inc.*
Milacron, Inc.* 2,920 9,900
MKS Instruments, Inc.*+++ 400 7,420
Moog, Inc. Class A* 2,200 99,770
MTC Technologies, Inc.* 15,600 523,692
MTS Systems Corporation+++ 1,700 57,477
NACCO Industries, Inc. Class 7,900 832,660
A+++
NVR, Inc.* 2,000 1,538,800
Orbital Sciences 57,900 684,957
Corporation*+++
Orleans Homebuilders, 100 1,985
Inc.*+++
Palm Harbor Homes, Inc.*+++ 500 8,440
Paxar Corporation* 2,400 53,208
Photon Dynamics, Inc.*+++ 23,900 580,292
Photronics, Inc.*+++ 1,900 31,350
Polycom, Inc.* 25,400 592,328
Powell Industries, Inc.*+++ 600 11,094
Power-One, Inc.*+++ 40,400 360,368
Powerwave Technologies, 4,700 39,856
Inc.*+++
Rayovac Corporation* 100 3,056
Regal-Beloit Corporation 1,800 51,480
Robbins & Myers, Inc.+++ 900 21,447
Rofin-Sinar Technologies, 1,300 55,185
Inc.*+++
Roper Industries, Inc. 8,800 534,776
Rudolph Technologies, Inc.* 200 3,434
Skyline Corporation+++ 600 24,480
Smith (A.O.) Corporation+++ 1,500 44,910
Sonic Solutions*+++ 19,400 435,336
Standard-Pacific 13,900 891,546
Corporation+++
Standex International 1,000 28,490
Corporation
Stewart & Stevenson 2,400 48,552
Services, Inc.
Symmetricom, Inc.*+++ 600 5,826
Technical Olympic USA, 700 17,766
Inc.+++
Technitrol, Inc.* 2,900 52,780
Tecumseh Products Co. Class 1,400 66,920
A
Teledyne Technologies, Inc.* 34,400 1,012,392
Tennant Co. 600 23,790
Terex Corporation* 15,000 714,750
Thomas & Betts Corporation* 5,000 153,750
Thomas Industries, Inc. 1,200 47,904
Toll Brothers, Inc.* 12,400 850,764
TRC Cos., Inc.* 300 5,100
Triumph Group, Inc.* 1,400 55,300
Ultratech, Inc.*+++ 200 3,770
United Defense Industries, 13,500 637,875
Inc.*
Veeco Instruments, Inc.*+++ 200 4,214
Watts Water Technologies, 2,100 67,704
Inc. Class A
Woodhead Industries, Inc. 1,000 16,030
Woodward Governor Co. 800 57,288
Zygo Corporation* 800 9,432
-------------
23,065,152
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
TECHNOLOGY -- 8.1%
Actel Corporation* 300 $ 5,262
ActivCard Corporation* 3,800 33,820
Adaptec, Inc.*+++ 9,300 70,587
Advanced Digital Information 3,200 32,064
Corporation*
Aeroflex, Inc.* 26,500 321,180
Agile Software 1,600 13,072
Corporation*+++
Agilysys, Inc.+++ 2,400 41,136
Alliance Semiconductor 1,700 6,290
Corporation*
Altiris, Inc.*+++ 18,700 662,541
Anaren, Inc.* 700 9,072
Anixter International, Inc. 17,300 622,627
Ansys, Inc.* 300 9,618
Anteon International 29,600 1,239,055
Corporation*
Argon ST, Inc.* 10,100 358,045
Ariba, Inc.*+++ 25,974 431,168
Arrow Electronics, Inc.*+++ 22,700 551,610
Ascential Software 3,700 60,347
Corporation*
AsiaInfo Holdings, Inc.* 2,000 11,920
Avid Technology, Inc.* 7,600 469,300
Avnet, Inc.* 47,900 873,696
Avocent Corporation* 15,000 607,800
Benchmark Electronics, Inc.* 15,900 542,190
BioVeris Corporation*+++ 400 2,924
Black Box Corporation+++ 15,700 753,914
</Table>
See Notes to Financial Statements.
129
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Blackboard, Inc.*+++ 200 $ 2,962
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Borland Software 3,900 $ 45,552
Corporation*
Broadwing Corporation*+++ 4,050 36,896
Brocade Communications 80,100 611,964
Systems, Inc.*
CACI International, Inc. 11,000 749,430
Class A*
Captaris, Inc.* 900 4,644
Catapult Communications 500 12,080
Corporation*
Checkpoint Systems, Inc.* 3,200 57,760
Cherokee International 20,250 194,603
Corporation*+++
CIBER, Inc.* 1,600 15,424
Coherent, Inc.* 1,400 42,616
CommScope, Inc.*+++ 34,400 650,160
Comtech 300 11,283
Telecommunications*+++
Cree, Inc.*+++ 19,400 777,552
CSG Systems International, 32,900 615,230
Inc.*
Cubic Corporation+++ 1,300 32,721
Digi International, Inc.* 400 6,876
Digimarc Corporation*+++ 600 5,592
DRS Technologies, Inc.* 1,741 74,358
E.piphany, Inc.* 5,700 27,531
Eagle Broadband, Inc.* 17,300 11,418
EDO Corporation+++ 300 9,525
Electronics for Imaging, 1,500 26,115
Inc.*+++
Embarcadero Technologies, 50,400 474,264
Inc.*
EMS Technologies, Inc.* 200 3,324
Emulex Corporation*+++ 5,200 87,568
Enterasys Networks, Inc.*+++ 7,600 13,680
Epicor Software Corporation* 61,900 872,171
EPIQ Systems, Inc.*+++ 1,100 16,104
Equinix, Inc.*+++ 22,100 944,554
ESS Technology, Inc.*+++ 300 2,133
Exar Corporation* 2,400 34,056
Extreme Networks, Inc.* 2,400 15,720
F5 Networks, Inc.* 14,700 716,184
Filenet Corporation* 29,400 757,344
Finisar Corporation*+++ 1,500 3,420
FLIR Systems, Inc.*+++ 13,300 848,407
FormFactor, Inc.*+++ 23,200 629,648
Gateway, Inc.*+++ 13,600 81,736
Genesis Microchip, Inc.* 1,300 21,086
Harris Corporation 10,900 673,511
Herley Industries, Inc.* 700 14,238
Hutchinson Technology, 2,200 76,054
Inc.*+++
Gate Corporation* 400 1,620
Imation Corporation 3,000 95,490
InFocus Corporation* 3,300 30,228
Infonet Services Corporation 5,200 10,504
Class B*
Informatica Corporation* 100,200 813,624
Ingram Micro, Inc. Class A* 56,600 1,177,280
Integrated Circuit Systems, 48,400 1,012,528
Inc.*
Integrated Device 1,800 20,808
Technology, Inc.*
Integrated Silicon 2,500 20,500
Solutions, Inc.*+++
Intergraph Corporation*+++ 600 16,158
Internet Capital Group, 3,200 28,800
Inc.*+++
Internet Security Systems, 2,200 51,150
Inc.*
Intervideo, Inc.*+++ 100 1,323
Interwoven, Inc.* 3,450 37,536
Iomega Corporation* 1,600 8,864
IXYS Corporation* 100 1,032
JDA Software Group, Inc.*+++ 1,900 25,878
Keane, Inc.* 1,700 24,990
Kemet Corporation* 7,300 65,335
Keynote Systems, Inc.* 600 8,352
Komag, Inc.*+++ 2,100 39,438
Lattice Semiconductor 5,000 28,500
Corporation*
Lawson Software, Inc.*+++ 73,900 507,693
LeCroy Corporation* 700 16,338
Macromedia, Inc.* 56,300 1,752,055
Macrovision Corporation* 12,600 324,072
Mantech International 600 14,244
Corporation Class A*+++
Manugistics Group, Inc.*+++ 2,600 7,462
MapInfo Corporation* 1,400 16,772
McData Corporation Class A* 9,900 59,004
Merix Corporation* 800 9,216
Methode Electronics, Inc. 3,000 38,550
Class A
Microsemi Corporation* 68,900 1,196,104
Microtune, Inc.* 36,900 225,459
Monolithic System 300 1,869
Technology, Inc.*+++
Motive, Inc.*+++ 20,700 235,566
MRO Software, Inc.*+++ 1,400 18,228
MRV Communications, Inc.*+++ 8,500 31,195
MSC.Software Corporation*+++ 1,400 14,658
Multi-Fineline Electronix, 200 3,648
Inc.*+++
National Instruments 8,650 235,713
Corporation+++
NetIQ Corporation* 4,800 58,608
NetScout Systems, Inc.* 300 2,094
Network Equipment 500 4,910
Technologies, Inc.*
Newport Corporation* 1,900 26,790
Novatel Wireless, Inc.*+++ 21,200 410,856
Omnivision Technologies, 28,000 513,800
Inc.*+++
ON Semiconductor 700 3,178
Corporation*+++
</Table>
See Notes to Financial Statements.
130
<Table>
<Caption>
SHARES VALUE
----------- -------------
Open Solutions, Inc.* 15,700 $ 407,572
Oplink Communications, Inc.* 4,000 7,880
Optical Communication 700 1,750
Products, Inc.*
OSI Systems, Inc.*+++ 400 9,084
Overland Storage, Inc.* 300 5,007
palmOne, Inc.*+++ 3,575 112,791
Parametric Technology 10,600 62,434
Corporation*
Park Electrochemical 1,500 32,520
Corporation
PC-Tel, Inc.* 400 3,172
PDF Solutions, Inc.* 33,000 531,630
PEC Solutions, Inc.*+++ 900 12,753
Pegasystems, Inc.*+++ 100 853
Pericom Semiconductor 700 6,601
Corporation*
Perot Systems Corporation 4,800 76,944
Class A*
Pinnacle Systems, Inc.*+++ 2,700 16,470
Pixelworks, Inc.* 29,200 331,128
Planar Systems, Inc.*+++ 1,000 11,230
Plexus Corporation*+++ 2,100 27,321
ProcureNet, Inc.*+ 7,600 0
Progress Software 200 4,670
Corporation*+++
Quantum Corporation*+++ 8,400 22,008
Radisys Corporation*+++ 300 5,865
RADVision, Ltd.*+++ 5,200 70,200
Redback Networks, Inc.*+++ 2,788 14,944
REMEC, Inc.*+++ 2,100 15,141
RightNow Technologies, Inc.* 200 3,230
Safeguard Scientifics, 5,800 12,296
Inc.*+++
SafeNet, Inc.*+++ 14,800 543,752
Salesforce.com, Inc.*+++ 10,900 184,646
SBS Technologies, Inc.* 700 9,772
ScanSoft, Inc.*+++ 1,500 6,285
Semtech Corporation*+++ 45,800 1,001,646
Serena Software, Inc.*+++ 20,000 432,800
Silicon Graphics, Inc.*+++ 21,800 37,714
Silicon Image, Inc.*+++ 20,000 329,200
SimpleTech, Inc.* 700 3,220
Sirf Technology Holdings, 300 3,816
Inc.*+++
Skyworks Solutions, Inc.*+++ 69,700 657,271
SonicWALL, Inc.* 2,200 13,904
Spectrasite, Inc.*+++ 20,000 1,158,000
SPSS, Inc.*+++ 100 1,564
SRA International, Inc. 10,400 667,680
Class A*
SS&C Technologies, Inc. 21,000 433,650
Standard Microsystems 800 14,264
Corporation*
Stellent, Inc.*+++ 600 5,292
Sybase, Inc.* 57,900 1,155,105
Sycamore Networks, Inc.*+++ 14,800 60,088
SYKES Enterprises, Inc.* 1,300 9,035
SYNNEX Corporation*+++ 500 12,030
Sypris Solutions, Inc. 500 7,655
TALX Corporation 900 23,211
Tekelec*+++ 34,100 697,004
Terremark Worldwide, Inc.* 6,100 3,904
Tessera Technologies, Inc.* 8,000 297,680
TIBCO Software, Inc.* 83,500 1,113,890
Tier Technologies, Inc.*+++ 1,400 12,950
Trident Microsystems, 13,800 230,736
Inc.*+++
Trimble Navigation, Ltd.* 22,700 750,008
Triquint Semiconductor, 4,700 20,915
Inc.*
TriZetto Group, Inc.* 300 2,850
Ulticom, Inc.*+++ 200 3,206
UNOVA, Inc.*+++ 3,700 93,573
Verity, Inc.*+++ 2,200 28,864
Versata, Inc.* 854 2,366
Vignette Corporation* 11,200 15,568
Volterra Semiconductor 100 2,216
Corporation*
WatchGuard Technologies, 1,400 6,202
Inc.*
webMethods, Inc.* 600 4,326
Zhone Technologies, Inc.* 4,625 11,979
Zoran Corporation*+++ 1,700 19,686
-------------
39,179,769
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
UTILITIES -- 4.2%
AirGate PCS, Inc.* 700 $ 24,920
Alaska Communications 800 6,904
Systems Group, Inc.
American States Water Co.+++ 1,300 33,800
Aquila, Inc.*+++ 20,000 73,800
Atmos Energy Corporation 6,500 177,775
Avista Corporation 35,200 621,984
Black Hills Corporation+++ 2,700 82,836
Boston Communications Group, 800 7,392
Inc.*+++
California Water Service 1,500 56,475
Group+++
Cascade Natural Gas 1,000 21,200
Corporation+++
Centennial Communications 1,000 7,930
Corporation*
Central Vermont Public 1,000 23,260
Service Corporation
CH Energy Group, Inc.+++ 1,300 62,465
Cincinnati Bell, Inc.* 21,100 87,565
Cleco Corporation 4,200 85,092
CMS Energy Corporation*+++ 16,500 172,425
Commonwealth Telephone 23,400 1,162,044
Enterprises, Inc.*+++
Connecticut Water Service, 700 18,543
Inc.+++
CT Communications, Inc. 1,600 19,680
D & E Communications, Inc. 1,100 13,255
</Table>
See Notes to Financial Statements.
131
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Dobson Communications 4,200 $ 7,224
Corporation*+++
Duquesne Light Holdings, 5,900 111,215
Inc.+++
El Paso Electric Co.* 4,200 79,548
Empire District Electric Co. 2,200 49,896
Energen Corporation 23,200 1,367,640
Energy East Corporation+++ 24,800 661,664
EnergySouth, Inc.+++ 600 16,824
General Communication, Inc. 3,800 41,952
Class A*
Golden Telecom, Inc.+++ 500 13,210
Idacorp, Inc.+++ 28,000 855,960
Intrado, Inc.*+++ 21,900 264,990
Iowa Telecommunications 900 19,413
Services, Inc.
ITC Deltacom, Inc.*+++ 500 855
Laclede Group, Inc.+++ 1,800 56,070
LCC International, Inc.* 107,100 624,393
MDU Resources Group, Inc. 21,100 562,948
Mediacom Communications 2,800 17,500
Corporation*
MGE Energy, Inc.+++ 1,500 54,045
Middlesex Water Co. 733 13,883
New Jersey Resources 2,300 99,682
Corporation+++
Nicor, Inc.+++ 3,700 136,678
NII Holdings, Inc. Class 20,650 979,843
B*+++
Northeast Utilities+++ 68,600 1,293,110
Northwest Natural Gas Co.+++ 2,300 77,602
NSTAR+++ 11,400 618,792
Ormat Technologies, Inc.* 400 6,512
Otter Tail Corporation 2,200 56,166
Peoples Energy 3,200 140,640
Corporation+++
Pepco Holdings, Inc. 72,300 1,541,435
Piedmont Natural Gas Co., 6,400 148,736
Inc.+++
PNM Resources, Inc. 28,550 722,030
Price Communications 3,390 63,020
Corporation*+++
Primus Telecommunications 6,500 20,670
Group, Inc.*+++
PTEK Holdings, Inc.* 53,000 567,630
Questar Corporation 16,100 820,456
SCANA Corporation+++ 30,500 1,201,700
Shenandoah 500 14,975
Telecommunications Co.
Sierra Pacific Resources*+++ 9,900 103,950
SJW Corporation 600 21,840
South Jersey Industries, 1,200 63,072
Inc.
Southern Union Co.*+++ 5,560 133,335
Southwest Gas Corporation 2,900 73,660
Southwest Water Co.+++ 1,434 19,291
Southwestern Energy Co.*+++ 8,300 420,727
SureWest Communications+++ 200 5,670
Talk America Holdings, 2,400 15,888
Inc.*+++
Time Warner Telecom, Inc. 4,200 18,312
Class A*+++
Triton PCS Holdings, Inc. 3,200 10,944
Class A*+++
UGI Corporation 34,100 1,395,031
UIL Holdings Corporation+++ 1,000 51,300
Unisource Energy 25,200 607,572
Corporation+++
USA Mobility, Inc.* 1,500 52,965
Western Wireless Corporation 23,600 691,480
Class A*+++
WGL Holdings, Inc.+++ 4,100 126,444
Wisconsin Energy Corporation 19,900 670,829
-------------
20,570,562
-------------
TOTAL COMMON STOCK
(Cost $267,256,033) 351,639,622
-------------
SHORT-TERM INVESTMENTS -- 40.8%
AB Funds Trust -- Money 87,232,578 87,232,578
Market Fund (GS4
Class)(inf)
Northern Institutional 110,320,767 110,320,767
Liquid Assets Portfolio
sec.
-------------
TOTAL SHORT-TERM INVESTMENTS
197,553,345
(Cost $197,553,345)
-------------
<Caption>
PAR VALUE
----------- -------------
U.S. TREASURY OBLIGATIONS -- 8.9%
U.S. Treasury Bills
2.14%, 03/24/05++++ $40,530,000 40,336,348
2.19%, 03/24/05++++ 2,650,000 2,637,338
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $42,969,605) 42,973,686
-------------
<Caption>
SHARES
-----------
MUTUAL FUNDS -- 0.5%
Gladstone Capital 700 $ 16,590
Corporation
iShares Russell 2000 15,300 1,981,350
iShares Russell 2000 Value 1,625 313,560
-------------
TOTAL MUTUAL FUNDS
(Cost $2,011,104) 2,311,500
-------------
RIGHTS/WARRANTS -- 0.0%
CONSUMER DISCRETIONARY
Lucent Technologies, Inc., 7,571 11,962
Wts. Expires 12/10/07*
(Cost $11,811)
-------------
TOTAL INVESTMENTS -- 122.7%
(Cost $509,801,898) 594,490,115
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 22.7% (109,827,342)
-------------
NET ASSETS -- 100.0% $ 484,662,773
=============
</Table>
See Notes to Financial Statements.
132
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 3.5%
Consumer Discretionary 14.8%
Consumer Staples 0.8%
Financial Services 18.5%
Futures Contracts 25.8%
Healthcare 7.1%
Integrated Oils 0.2%
Materials & Processing 6.9%
Mutual Funds 0.5%
Other 0.2%
Other Energy 3.4%
Producer Durables 4.8%
Short-Term Investments 40.8%
Technology 8.1%
U.S. Treasury Obligations 8.9%
Utilities 4.2%
Warrants 0.0%*
-------
148.5%
=======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%.
See Notes to Financial Statements.
133
INTERNATIONAL EQUITY FUND
International equity markets produced solid returns in the fourth quarter as
investors welcomed lower oil prices and the U.S. presidential election
progressed toward a clear outcome. International equity market returns were
enhanced by the continued decline of the U.S. dollar which weakened against all
major currencies. Developed international stocks outperformed U.S. stocks during
the quarter as the MSCI EAFE Index advanced 15.32%, while its domestic equity
counterpart, the S&P 500(R) Index, returned 9.22%. For the year, the MSCI EAFE
Index gained 20.25%, while the S&P 500(R) Index increased 10.86%. All sectors
within the MSCI EAFE Index posted positive gains for the quarter, with the
telecommunication services sector generating the highest return. Emerging
markets outperformed the developed world as the MSCI Emerging Markets Free Index
returned 17.24% for the quarter and 25.55% for the year.
The fund is primarily comprised of international stocks located in developed
countries, and to a much lesser extent, in international stocks located in
emerging markets (economies not deemed to be developed). The fund underperformed
its benchmark, the MSCI ACWI (All Country World Index) Ex-U.S., during the
fourth quarter. Security selection in the consumer staples sector detracted from
benchmark-relative performance. The fund's holdings in Astrazeneca (0.70%),
William Morrison Supermarkets (0.74%) and UCB (0.54%) were among the largest
detractors from performance, while Telefonica (1.32%), Banca Intesa (1.05%) and
France Telecom (0.85%) were the largest contributors to fund performance for the
quarter. At the sub-adviser level, Genesis delivered the strongest
benchmark-relative performance largely due to its security selection in the
financials and energy sectors.
Foreign securities may involve additional risks, social and political
instability, reduced market liquidity and currency volatility.
134
INTERNATIONAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/04
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 18.93% 18.80% 18.52% 20.91% N/A N/A
Since Inception 9.66% 9.51% 8.98% 9.80% 6.93% 7.35%
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</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-
GS4 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
Jul 2004 11549 11400
Aug 2004 11584 11488
Sep 2004 11901 11856
Oct 2004 12271 12268
Nov 2004 13033 13116
Dec 2004 13553 13678
</Table>
The graph compares the results of a $10,000 investment in the GS4 Class of the
Fund since August 27, 2001 (commencement of operations), with all dividends and
capital gains reinvested, with the MSCI ACWI(R) (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 MSCI ACWI(R) (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.
135
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
<Table>
<Caption>
DECEMBER 31, 2004 PAR VALUE
- ----------------- ------------ --------------
FOREIGN CONVERTIBLE BONDS -- 0.0%
SWITZERLAND
Credit Suisse Group
Finance, Ltd.
6.00%, 12/23/05(S)
(Cost $171,877) 241,000 $ 289,090
--------------
<Caption>
SHARES
------------
FOREIGN COMMON STOCK -- 96.6%
AUSTRALIA -- 4.1%
Amcor, Ltd.+++ 855,614 4,929,768
Australia and New Zealand
Banking Group, Ltd. 47,363 764,464
Brambles Industries,
Ltd.+++ 39,820 216,944
Coles Myer, Ltd.+++ 822,970 6,360,952
Commonwealth Bank of
Australia 73,200 1,841,948
Insurance Australia Group,
Ltd. 120,400 606,874
John Fairfax Holdings,
Ltd. 495,000 1,765,541
Lend Lease Corporation,
Ltd. 474,509 4,928,577
National Australia Bank,
Ltd.+++ 307,706 6,951,702
Promina Group, Ltd. 78,500 332,296
QBE Insurance Group,
Ltd.+++ 76,263 917,664
Quantas Airways, Ltd. 656,700 1,909,863
Rinker Group, Ltd. 87,418 729,813
Telstra Corporation, Ltd. 1,415,414 5,447,863
Wesfarmers, Ltd. 28,455 887,775
WMC Resources, Ltd. 98,500 557,487
Woodside Petroleum,
Ltd.+++ 574,000 9,044,178
Woolworths, Ltd. 50,500 594,201
--------------
48,787,910
--------------
AUSTRIA -- 0.1%
Erste Bank Der
Oesterreichischen
Sparkassen AG 11,600 619,655
Telekom Austria AG 11,328 214,796
--------------
834,451
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
BELGIUM -- 1.9%
Colruyt SA+++ 40,100 $ 6,518,906
Electrabel SA+++ 6,959 3,102,558
Fortis+++ 228,201 6,316,717
UCB SA 120,500 6,125,731
--------------
22,063,912
--------------
BRAZIL -- 0.7%
Aracruz Celulose SA ADR 5,700 214,890
Banco Bradesco SA ADR 7,200 180,432
Brasil Telecom
Participacoes SA ADR 18,000 686,700
Braskem SA ADR+++ 3,500 178,360
Companhia Brasileira de
Distribuicao Grupo Pao
de Acucar ADR+++ 1,000 25,600
Companhia Energetica de
Minas Gerais ADR+++ 7,000 171,780
Companhia Siderurgica
Nacional SA ADR+++ 15,000 286,800
Companhia Vale do Rio Doce
ADR+++ 144,200 3,515,595
CPFL Energia SA ADR* 6,000 119,160
Diagnosticos da America
SA* 8,100 72,888
Grendene SA* 5,400 64,044
Natura Cosmeticos SA 5,200 151,732
Petroleo Brasileiro SA ADR 61,688 2,453,949
Tele Norte Leste
Participacoes SA ADR+++ 12,000 202,440
Telesp Celular
Participacoes SA ADR* 10,609 72,141
Tim Participacoes SA ADR 7,000 107,940
--------------
8,504,451
--------------
CANADA -- 2.0%
Abitibi-Consolidated,
Inc.+++ 59,800 412,259
Alcan, Inc.+++ 43,900 2,154,421
Cameco Corporation+++ 24,000 840,295
First Quantum Minerals,
Ltd.* 94,300 1,467,842
Great-West Lifeco, Inc. 18,600 414,489
Inco, Ltd.* 28,100 1,033,518
Manulife Financial
Corporation 128,200 5,927,706
National Bank of Canada 12,300 508,774
Potash Corporation of
Saskatchewan+++ 12,100 1,007,366
Suncor Energy, Inc. 142,400 5,039,235
Talisman Energy, Inc. 61,400 1,657,797
TELUS Corporation 48,200 1,421,014
Thomson Corporation
(The)+++ 58,400 2,060,391
--------------
23,945,107
--------------
CHILE -- 0.2%
AFP Provida SA ADR 17,100 487,350
Banco Santander Chile SA
ADR 12,000 406,320
Embotelladora Andina SA
ADR Class A 30,100 393,106
Embotelladora Andina SA
ADR Class B 40,000 520,400
Empresas CMPC SA 3,000 71,255
Enersis SA ADR*+++ 30,000 255,300
--------------
2,133,731
--------------
CHINA -- 0.4%
Air China, Ltd. Class H* 246,000 94,948
Aluminum Corporation of
China, Ltd.+++ 312,000 184,646
BYD Co., Ltd. Series H+++ 70,000 185,521
China Petroleum & Chemical
Corporation Class H+++ 2,102,000 865,388
China Telecom Corporation,
Ltd. Class H 2,200,000 806,669
</Table>
See Notes to Financial Statements.
136
<Table>
<Caption>
SHARES VALUE
------------ --------------
Datang International Power
Generation Co., Ltd.
Class H+++ 483,000 $ 363,522
Jiangsu Expressway Co.,
Ltd. Class H+++ 1,342,600 591,610
Ping An Insurance Group
Co. of China, Ltd. Class
H*+++ 254,000 431,356
Sinotrans, Ltd. Class H+++ 2,062,600 603,705
Travelsky Technology, Ltd.
Class H 210,100 170,292
Yanzhou Coal Mining Co.,
Ltd.+++ 90,000 128,527
ZTE Corporation Class
H*+++ 35,000 113,249
--------------
4,539,433
--------------
COLOMBIA -- 0.0%
BanColombia SA ADR 16,800 237,216
--------------
CROATIA -- 0.1%
Pliva DD GDR+++ 61,400 767,500
--------------
CZECH REPUBLIC -- 0.0%
Cesky Telecom AS GDR 8,902 147,182
Komercni Banka AS 2,007 294,081
--------------
441,263
--------------
DENMARK -- 0.7%
H. Lundbeck AS+++ 41,000 914,016
Novo-Nordisk AS Class B+++ 127,100 6,944,276
TDC AS 10,700 453,121
--------------
8,311,413
--------------
ECUADOR -- 0.1%
Holcim Ecuador SA GDR 26,250 892,500
--------------
EGYPT -- 0.3%
Commercial International
Bank 7,900 50,706
Commercial International
Bank Ltd. 3,100 19,897
MobiNil -- Egyptian Mobile
Services 76,195 1,611,518
Orascom Construction
Industries 145,866 1,743,183
Orascom Telecom Holding* 2,450 101,140
--------------
3,526,444
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
ESTONIA -- 0.2%
Hansabank, Ltd. 177,500 $ 2,318,574
--------------
FINLAND -- 0.5%
Nokia OYJ+++ 207,300 3,274,196
UPM-Kymmene OYJ 124,300 2,764,099
--------------
6,038,295
--------------
FRANCE -- 8.2%
Accor SA 20,000 875,629
Air Liquide SA 10,023 1,852,831
Assurances Generales de
France 27,100 2,024,120
AXA 111,700 2,760,237
BNP Paribas SA 58,600 4,245,453
Bouygues SA 73,300 3,387,522
Carrefour SA 49,396 2,352,638
Compagnie de Saint-Gobain 119,234 7,182,888
Compagnie Generale des
Etablissements Michelin
Class B 8,500 545,215
Dassault Systemes SA+++ 9,500 479,068
Essilor International SA
Compagnie Generale
D'Optique 6,400 501,509
France Telecom SA 292,546 9,686,585
Groupe Danone 16,000 1,477,776
L'Oreal SA+++ 59,100 4,486,523
Lafarge SA 22,800 2,200,353
Lagardere SCA 39,618 2,859,475
Pinault-Printemps-Redoute
SA+++ 34,998 3,503,606
Renault SA 10,400 870,083
Sanofi-Aventis 146,020 11,670,485
Schneider Electric SA 18,200 1,266,603
Societe BIC SA 14,600 734,267
Societe Generale Class A 64,749 6,552,349
Societe Television
Francaise 1+++ 123,000 4,004,146
Thomson SA 45,970 1,215,328
Total SA 78,181 17,077,187
Veolia Environnement+++ 79,440 2,875,475
Vivendi Universal SA* 27,500 878,041
--------------
97,565,392
--------------
GERMANY -- 4.2%
Adidas-Salomon AG 16,165 2,609,207
Allianz AG+++ 32,000 4,245,209
BASF AG 29,393 2,117,479
Bayer AG 231,152 7,835,980
Bayerische Hypo-und
Vereinsbank AG 217,678 4,941,175
Bayerische Motoren Werke
AG 50,600 2,283,431
Continental AG+++ 38,300 2,432,729
DaimlerChrysler AG 47,200 2,262,161
Deutsche Bank AG 9,100 807,954
Deutsche Boerse AG 15,591 938,385
E.ON AG 45,900 4,183,844
Infineon Technologies
AG+++ 50,400 546,679
Metro AG 27,700 1,524,498
Muenchener
Rueckversicherungs AG+++ 6,700 823,726
RWE AG 129,160 7,145,320
SAP AG 5,300 946,609
Siemens AG+++ 51,350 4,353,966
--------------
49,998,352
--------------
GREECE -- 0.1%
Piraeus Bank SA 75,000 1,310,996
--------------
</Table>
See Notes to Financial Statements.
137
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
HONG KONG -- 4.7%
Bank of East Asia, Ltd. 143,000 $ 444,305
China Mengniu Dairy Co.,
Ltd.*+++ 507,000 397,893
China Mobile (Hong Kong),
Ltd. 963,500 3,266,333
China Netcom Group
Corporation (Hong Kong),
Ltd.* 350,000 475,060
China Resources Power
Holdings Co.+++ 1,488,900 809,320
CLP Holdings, Ltd. 1,150,000 6,613,532
CNOOC, Ltd.+++ 10,053,500 5,400,101
Denway Motors, Ltd.+++ 4,816,000 1,719,403
Esprit Holdings, Ltd.+++ 83,700 506,118
Hang Lung Properties,
Ltd.+++ 1,084,000 1,673,550
Hang Seng Bank, Ltd.+++ 29,700 412,675
Hong Kong & China Gas Co.,
Ltd.+++ 4,521,000 9,335,500
Hongkong Electric
Holdings, Ltd. 552,500 2,523,415
Hutchison Whampoa, Ltd.+++ 556,000 5,203,983
Jardine Matheson Holdings,
Ltd. 177,200 2,817,480
Johnson Electric Holdings,
Ltd. 446,500 433,707
Li & Fung, Ltd.+++ 516,000 869,659
Sun Hung Kai Properties,
Ltd.+++ 455,000 4,551,346
Swire Pacific, Ltd. Class
A+++ 416,000 3,478,843
Wharf Holdings, Ltd.+++ 1,308,000 4,577,251
--------------
55,509,474
--------------
HUNGARY -- 0.3%
BorsodChem Rt. 23,400 239,406
Matav Rt.+++ 55,000 263,246
Matav Rt. ADR 10,800 264,276
Mol Magyar Olaj-es
Gazipari Rt.+++ 9,164 644,486
Mol Magyar Olaj-es
Gazipari Rt. GDR 24,681 1,740,011
OTP Bank Rt. 18,435 568,173
--------------
3,719,598
--------------
INDIA -- 1.2%
Andhra Bank, Ltd. 983,684 2,021,904
Asian Paints (India) Ltd. 100,000 736,485
Bharat Heavy Electricals,
Ltd. 18,196 322,271
Bharti Televentures, Ltd.* 141,316 700,891
GAIL India, Ltd. GDR 81,500 2,599,849
Grasim Industries, Ltd. 10,879 330,937
Gujarat Ambuja Cements,
Ltd.* 59,770 552,120
HDFC Bank, Ltd. 11,193 133,598
Hero Honda Motors, Ltd. 70,000 919,646
Hindalco Industries, Ltd. 9,212 302,362
Infosys Technologies, Ltd. 13,660 656,447
Larsen & Toubro, Ltd. 13,431 303,410
National Thermal Power
Corporation, Ltd.* 63,200 126,996
Oil & Natural Gas
Corporation, Ltd. 24,699 465,656
Ranbaxy Laboratories, Ltd. 11,152 321,040
Ranbaxy Laboratories, Ltd.
GDR 83,500 2,429,850
Sun Pharmaceuticals
Industries, Ltd. 56,000 714,267
Tata Motors, Ltd. 24,686 286,868
UltraTech Cement, Ltd. 13,141 102,873
--------------
14,027,470
--------------
INDONESIA -- 0.8%
Bank Rakyat Indonesia 4,727,200 1,464,121
PT Bank Mandiri Persero
TBK 7,640,723 1,584,529
PT Ramayana Lestari
Sentosa TBK 6,813,500 568,862
PT Telekomunikasi
Indonesia TBK 9,775,200 5,081,103
PT Unilever Indonesia TBK 2,652,000 942,806
--------------
9,641,421
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
IRELAND -- 0.6%
Allied Irish Banks PLC 120,500 $ 2,501,067
CRH PLC 128,462 3,437,475
Elan Corporation PLC
ADR*+++ 21,500 585,875
Irish Life & Permanent PLC 59,300 1,112,328
--------------
7,636,745
--------------
ISRAEL -- 0.3%
Bank Hapoalim, Ltd. 135,400 456,662
Check Point Software
Technologies, Ltd.*+++ 53,500 1,317,705
Lipman Electronic
Engineering, Ltd. 11,300 315,270
Teva Pharmaceutical
Industries, Ltd. ADR+++ 35,500 1,060,030
--------------
3,149,667
--------------
ITALY -- 3.1%
Banca Intesa SpA 2,500,544 12,031,975
Enel SpA 197,935 1,945,182
Ente Nazionale Idrocarburi
SpA 404,813 10,135,457
Mediaset SpA 500,223 6,343,728
Telecom Italia Mobile
SpA+++ 307,800 2,301,074
Telecom Italia SpA 1,178,809 3,829,487
UniCredito Italiano SpA 125,500 721,578
--------------
37,308,481
--------------
JAPAN -- 20.9%
Advantest Corporation+++ 45,300 3,885,889
Aeon Co., Ltd. 106,400 1,775,583
Aiful Corporation+++ 4,605 506,474
</Table>
See Notes to Financial Statements.
138
<Table>
<Caption>
SHARES VALUE
------------ --------------
Bank of Fukuoka, Ltd.
(The)+++ 370,000 $ 2,437,299
Bridgestone Corporation+++ 160,000 3,185,323
Canon, Inc. 278,800 15,046,004
Chubu Electric Power Co.,
Inc.+++ 7,800 187,255
Daito Trust Construction
Co., Ltd.+++ 6,800 323,178
Daiwa House Industry Co.,
Ltd. 47,000 534,352
Denso Corporation 325,500 8,719,601
East Japan Railway Co. 90 500,634
Eisai Co., Ltd. 211,800 6,965,609
FamilyMart Co., Ltd. 68,000 1,980,872
Fanuc, Ltd.+++ 90,600 5,923,880
Fuji Photo Film Co., Ltd. 77,100 2,814,033
Fujisawa Pharmaceutical
Co., Ltd.+++ 170,000 4,653,557
Furukawa Electric Co.,
Ltd.+++ 103,000 570,938
Hirose Electric Co.,
Ltd.+++ 41,000 4,793,403
Hitachi, Ltd.+++ 506,000 3,506,002
Honda Motor Co., Ltd.+++ 106,700 5,529,199
Hoya Corporation 5,500 621,011
Ito-Yokado Co., Ltd. 85,000 3,566,898
Japan Airlines Corporation 102,000 295,638
JSR Corporation+++ 45,000 985,898
Kansai Electric Power Co.,
Inc. (The) 49,000 994,633
Kao Corporation 263,000 6,724,505
KDDI Corporation 1,222 6,582,844
Keyence Corporation+++ 21,000 4,705,377
Konica Corporation 77,500 1,028,594
Kyocera Corporation 17,000 1,308,968
Matsushita Electric
Industrial Co., Ltd.+++ 339,686 5,390,157
Millea Holdings, Inc. 694 10,294,525
Mitsubishi Corporation+++ 85,100 1,099,565
Mitsubishi Estate Co.,
Ltd. 852,100 9,978,725
Mitsubishi Heavy
Industries, Ltd. 142,000 403,259
Mitsubishi Motors
Corporation*+++ 180,000 205,524
Mitsubishi Tokyo Financial
Group, Inc. 905 9,185,127
Mitsui Fudosan Co., Ltd. 55,000 668,244
Mitsui Sumitomo Insurance
Co., Ltd.+++ 133,000 1,155,167
Mizuho Financial Group,
Inc. 110 553,918
Murata Manufacturing Co.,
Ltd.+++ 9,700 542,412
NEC Corporation 89,000 553,264
NEC Electronics
Corporation+++ 7,300 356,202
Nidec Corporation+++ 5,900 719,147
Nikko Cordial
Corporation+++ 570,000 3,020,494
Nikon Corporation 44,000 543,613
Nintendo Co., Ltd. 7,100 891,744
Nippon Electric Glass Co.,
Ltd. 8,000 204,548
Nippon Express Co., Ltd. 376,000 1,853,030
Nippon Telegraph &
Telephone Corporation 790 3,546,404
Nissan Motor Co., Ltd. 485,700 5,280,275
Nitto Denko Corporation+++ 9,900 542,969
Nomura Holdings, Inc.+++ 100,000 1,457,988
NTT DoCoMo, Inc. 1,600 2,951,108
Omron Corporation+++ 20,000 477,213
ORIX Corporation+++ 37,500 5,094,174
Ricoh Co., Ltd. 23,000 443,749
Rohm Co., Ltd. 52,600 5,441,202
Sankyo Co. Ltd. 62,800 1,418,776
Secom Co., Ltd.+++ 105,000 4,201,230
Sekisui House, Ltd.+++ 113,000 1,316,698
Sharp Corporation+++ 259,000 4,228,623
Shimamura Co., Ltd.+++ 5,500 401,483
Shin-Etsu Chemical Co.,
Ltd. 120,000 4,918,513
Shionogi & Co., Ltd.+++ 87,000 1,203,074
SMC Corporation+++ 9,400 1,076,042
Softbank Corporation+++ 13,700 667,151
Sompo Japan Insurance,
Inc.+++ 54,900 559,340
Sony Corporation+++ 119,100 4,602,674
Sumitomo Chemical Co.,
Ltd.+++ 488,000 2,390,709
Sumitomo Corporation+++ 12,000 103,523
Sumitomo Mitsui Financial
Group, Inc. 253 1,839,416
Suzuki Motor
Corporation+++ 105,000 1,918,220
T&D Holdings, Inc. 50,800 2,429,199
Takeda Pharmaceutical Co.,
Ltd. 301,700 15,192,466
TDK Corporation 17,000 1,259,198
THK Co., Ltd.+++ 80,500 1,594,759
Tokyo Electron, Ltd. 58,900 3,627,003
Tokyo Gas Co., Ltd.+++ 154,000 631,209
Tostem Inax Holding
Corporation 22,000 399,551
Toyota Motor Corporation 194,000 7,894,798
UFJ Holdings, Inc.+++ 559 3,387,713
Uni-Charm Corporation+++ 10,500 503,123
West Japan Railway Co. 483 1,951,420
Yahoo Japan Corporation* 93 446,531
Yamada Denki Co., Ltd.+++ 12,600 539,807
Yamaha Corporation+++ 109,000 1,663,667
Yamanouchi Pharmaceutical
Co., Ltd.+++ 10,600 412,745
Yamato Transport Co., Ltd. 81,500 1,208,939
--------------
247,494,798
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
LUXEMBOURG -- 0.1%
SES Global 48,900 $ 631,439
--------------
</Table>
See Notes to Financial Statements.
139
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
MALAYSIA -- 0.5%
AirAsia BHD* 551,000 $ 240,700
Astro All Asia Networks
PLC* 101,600 144,379
Commerce Asset Holdings
BHD 347,900 430,297
IOI Corporation BHD 176,900 442,250
Malayan Banking BHD 229,800 713,589
Maxis Communications BHD 113,600 279,516
MK Land Holdings BHD 841,300 391,869
OYL Industries BHD 109,000 1,090,000
Public Bank BHD 353,850 692,052
Telekom Malaysia BHD 84,600 258,253
Transmile Group BHD 420,000 983,684
--------------
5,666,589
--------------
MEXICO -- 1.2%
America Movil SA de CV ADR
Series L 66,700 3,491,744
Cemex SA de CV 200,666 1,465,346
Cemex SA de CV ADR 83,714 3,048,864
Coca-Cola Femsa SA de CV
ADR+++ 7,000 166,320
Corporacion Geo SA de CV* 8,000 16,004
Grupo Mexico SA de CV
Series B 14,000 70,647
Grupo Televisa SA ADR 28,642 1,732,841
Kimberly-Clark de Mexico
SA de CV Class A 60,000 207,231
Telefonos de Mexico SA de
CV ADR Class L 48,900 1,873,848
Urbi Desarrollos Urbanos
SA* 58,000 253,396
Wal-Mart de Mexico SA de
CV Series V 383,698 1,318,349
--------------
13,644,590
--------------
NETHERLANDS -- 4.8%
ABN AMRO Holding NV 220,426 5,839,476
Aegon NV 176,567 2,407,186
Akzo Nobel NV 41,000 1,748,783
ING Groep NV 349,579 10,577,173
Koninklijke Numico NV+++ 13,600 490,428
Koninklijke Philips
Electronics NV 18,500 490,601
Reed Elsevier NV+++ 510,211 6,955,847
Royal Dutch Petroleum
Co.+++ 261,888 15,075,380
Royal Dutch Petroleum Co.
(New York Shares) 12,100 694,298
Royal KPN NV 374,400 3,557,233
TPG NV 104,600 2,840,707
Unilever NV 28,000 1,877,450
VNU NV 130,974 3,868,513
--------------
56,423,075
--------------
NEW ZEALAND -- 0.5%
Telecom Corporation of New
Zealand, Ltd. 1,323,332 5,878,416
--------------
NORWAY -- 0.4%
DNB NOR ASA 66,000 651,103
Norsk Hydro ASA 34,500 2,717,096
Norske Skogindustrier ASA 19,100 413,116
Statoil ASA 49,900 782,693
Yara International ASA* 28,000 368,686
--------------
4,932,694
--------------
PERU -- 0.0%
Compania de Minas
Buenaventura SA ADR+++ 6,300 144,270
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
PHILIPPINES -- 0.1%
Globe Telecom, Inc. 9,900 $ 168,454
SM Prime Holdings, Inc. 7,918,000 1,086,301
--------------
1,254,755
--------------
POLAND -- 0.1%
Powszechna Kasa
Oszczednosci Bank Polski
SA* 120,441 1,117,801
--------------
PORTUGAL -- 0.4%
Banco Comercial Portugues
SA Series R 538,879 1,384,370
Portugal Telecom SGPS SA 305,799 3,782,482
--------------
5,166,852
--------------
ROMANIA -- 0.0%
SNP Petrom SA 2,900,000 332,238
--------------
RUSSIA -- 0.5%
LUKOIL ADR 18,253 2,215,914
Mechel Steel Group OAO
ADR*+++ 9,600 214,560
Mining and Metallurgical
Co. Norilsk Nickel
ADR+++ 7,929 440,060
Mobile Telesystems ADR+++ 10,300 1,426,653
Vimpel-Communications
ADR*+++ 12,200 440,908
Wimm-Bill-Dann Foods OJSC
ADR*+++ 55,400 792,774
--------------
5,530,869
--------------
SINGAPORE -- 0.8%
DBS Group Holdings, Ltd. 185,000 1,824,614
Oversea-Chinese Banking
Corporation, Ltd. 346,000 2,861,431
Singapore
Telecommunications, Ltd. 2,569,356 3,746,059
United Overseas Bank, Ltd. 47,000 397,329
Venture Corporation,
Ltd.+++ 42,000 409,091
--------------
9,238,524
--------------
SOUTH AFRICA -- 1.8%
ABSA Group, Ltd.+++ 71,530 964,822
Alexander Forbes, Ltd. 400,000 756,157
Anglo American PLC+++ 144,271 3,418,714
AngloGold Ashanti, Ltd.
ADR+++ 53,389 1,940,690
</Table>
See Notes to Financial Statements.
140
<Table>
<Caption>
SHARES VALUE
------------ --------------
Edgars Consolidated
Stores, Ltd. 3,666 $ 196,680
Gold Fields, Ltd.+++ 3,414 42,116
Impala Platinum Holdings,
Ltd. 3,894 331,081
Ispat Iscor, Ltd. 55,219 641,996
Liberty Group, Ltd.+++ 21,158 250,122
Massmart Holdings, Ltd. 71,943 578,353
MTN Group, Ltd.+++ 569,911 4,400,467
Naspers, Ltd. 30,324 403,692
Nedcor, Ltd. 27,188 375,456
Sanlam, Ltd. 344,601 795,174
Sasol, Ltd. 153,995 3,307,459
Standard Bank Group, Ltd. 189,412 2,212,258
Telkom SA, Ltd. 21,026 365,751
VenFin, Ltd. 199,900 890,613
--------------
21,871,601
--------------
SOUTH KOREA -- 2.8%
AMOREPACIFIC Corporation 680 170,460
GS Holdings Corporation* 12,240 264,853
Hankook Tire Co., Ltd. 95,195 937,972
Hyundai Department Store
Co., Ltd. 4,980 162,600
Hyundai Mobis 20,740 1,312,278
Hyundai Motor Co., Ltd. 30,250 1,621,788
Kookmin Bank 81,511 3,188,945
Kookmin Bank ADR* 41,379 1,617,091
Korea Electric Power
Corporation 61,210 1,587,605
Korea Electric Power
Corporation ADR+++ 86,800 1,149,232
KT Corporation 30,670 1,229,526
KT Corporation ADR 18,650 406,757
KT Freetel 24,000 572,643
LG Chem, Ltd. 5,380 214,379
LG Electronics, Inc. 2,080 128,794
LG Engineering &
Construction Corporation 4,660 128,294
LG Philips LCD Co., Ltd.* 8,250 310,810
POSCO 6,700 1,210,298
POSCO ADR 9,300 414,129
S-Oil Corporation 8,430 545,605
S1 Corporation 39,280 1,384,969
Samsung Electronics Co.,
Ltd.+++ 8,460 3,681,636
Samsung Electronics Co.,
Ltd. (Non-Voting Shares)
GDR 144A 10,109 1,457,465
Samsung Electronics Co.,
Ltd. GDR 144A 16,359 3,561,259
Samsung Fire & Marine
Insurance Co., Ltd. 24,780 1,950,898
Samsung SDI Co., Ltd. 4,640 506,491
Shinsegae Co., Ltd. 5,000 1,374,131
SK Telecom Co., Ltd. 10,220 1,944,880
SK Telecom Co., Ltd. ADR 11,300 251,425
Tae Young Corporation 10,000 362,249
--------------
33,649,462
--------------
SPAIN -- 4.2%
Acerinox SA+++ 61,756 991,353
ACS, Actividades de
Construccion y Servicios
SA 98,289 2,244,468
Banco Bilbao Vizcaya
Argentaria SA+++ 209,700 3,719,702
Banco Santander Central
Hispano SA 460,908 5,719,845
Endesa SA+++ 131,800 3,097,488
Iberdrola SA 346,180 8,799,193
Inditex SA+++ 211,200 6,229,496
Repsol YPF SA+++ 138,137 3,597,533
Telefonica SA 800,600 15,082,664
--------------
49,481,742
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
SWEDEN -- 1.6%
Assa Abloy AB Class B 34,674 $ 592,214
Autoliv, Inc. AB+++ 24,291 1,162,389
ForeningsSparbanken AB 400 9,962
Hennes & Mauritz AB Class
B 144,200 5,023,370
Nordea Bank AB 400,000 4,056,610
Sandvik AB 35,200 1,419,568
Scania AB Class B+++ 14,300 565,940
Telefonaktiebolaget LM
Ericsson ADR*+++ 14,600 459,754
Telefonaktiebolaget LM
Ericsson Class B 1,070,000 3,413,489
Volvo AB Class B 52,224 2,070,759
--------------
18,774,055
--------------
SWITZERLAND -- 3.9%
Adecco SA 8,276 416,675
Ciba Specialty Chemicals,
Inc.+++ 26,600 2,023,481
Compagnie Financiere
Richemont AG Class A 102,849 3,423,476
Credit Suisse Group*+++ 33,185 1,394,990
Holcim, Ltd. 45,217 2,723,916
Nestle SA 51,565 13,490,975
Novartis AG 138,567 6,982,578
Roche Holding AG 34,921 4,020,015
Serono SA Class B+++ 794 523,002
STMicroelectronics NV+++ 44,600 862,802
Swiss Reinsurance 33,517 2,390,492
Swisscom AG 7,070 2,785,472
Syngenta AG 7,092 753,420
Synthes, Inc.* 5,420 607,730
UBS AG 18,004 1,509,701
Zurich Financial Services
AG 11,900 1,984,205
--------------
45,892,930
--------------
</Table>
See Notes to Financial Statements.
141
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
TAIWAN -- 1.5%
AU Optronics Corporation 1,538,000 $ 2,227,648
Basso Industry Corporation 18,000 39,760
Catcher Technology Co.,
Ltd. 1,000 3,298
Cathay Financial Holding
Co., Ltd.+++ 464,000 951,720
Cathay Financial Holding
Co., Ltd. GDR 11,009 222,932
China Steel Corporation 684,385 773,146
Chinatrust Financial
Holding Co., Ltd. 724,137 866,040
Chunghwa Telecom Co., Ltd. 180,000 355,002
Compal Electronics, Inc. 1,591,336 1,591,838
Far EasTone
Telecommunications Co.,
Ltd. 541,600 657,987
Faraday Technology
Corporation 268,747 470,668
Formosa Chemical & Fibre
Co. 145,000 276,822
HON HAI Precision Industry
Co., Ltd. 297,649 1,380,701
MediaTek, Inc. 95,429 650,447
Phoenixtec Power Co., Ltd. 481,605 582,060
Quanta Computer, Inc. 228,348 410,724
Siliconware Precision
Industries Co. 165,000 136,415
Taiwan Semiconductor
Manufacturing Co.,
Ltd.+++ 183,678 1,559,430
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADR 3,079,566 4,907,480
United Microelectronics
Corporation* 198,000 128,085
Vanguard International
Semiconductor
Corporation* 77,000 53,698
--------------
18,245,901
--------------
THAILAND -- 0.6%
Advanced Info Service
Public Co., Ltd. 387,200 1,066,420
Airports of Thailand PCL 714,500 947,149
Kasikornbank Public Co.,
Ltd.* 730,300 1,052,685
Kiatnakin Finance Public
Co., Ltd. 397,600 345,405
PTT Exploration and
Production Public Co.,
Ltd. 217,100 1,620,566
PTT Public Co., Ltd. 314,800 1,401,812
Siam Cement Public Co.,
Ltd. 65,200 463,197
--------------
6,897,234
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
TURKEY -- 0.2%
Akbank TAS 31,603,565 $ 195,691
Hurriyet Gazetecilik Ve
Matbaacilik AS 95,355,848 224,866
Migros Turk TAS 120,225,000 998,532
Turk Sise ve Cam
Fabrikalari AS 45,835,041 126,441
Turkiye Garanti Bankasi
AS* 148,810,379 470,102
Turkiye IS Bankasi Class C 70,958,742 392,023
--------------
2,407,655
--------------
UNITED KINGDOM -- 14.9%
Antofagasta PLC 56,700 1,220,303
ARM Holdings PLC+++ 110,000 233,364
Associated British Foods
PLC 24,600 368,627
AstraZeneca PLC+++ 220,312 7,999,933
Aviva PLC 189,663 2,286,763
BAE Systems PLC 26,221 116,038
BG Group PLC 2,120,818 14,414,032
BHP Billiton PLC+++ 90,931 1,065,624
BOC Group PLC 248,090 4,732,122
Boots Group PLC 558,434 7,027,865
BP PLC+++ 1,243,238 12,125,420
Brambles Industries PLC 638,524 3,190,412
Capita Group PLC 185,880 1,305,256
Centrica PLC 572,850 2,598,314
Compass Group PLC 525,585 2,484,838
GKN PLC 566,471 2,572,099
GlaxoSmithKline PLC 422,548 9,913,479
HBOS PLC 491,800 8,006,878
HSBC Holdings PLC 107,900 1,820,913
Intercontinental Hotels
Group PLC+++ 175,173 2,177,641
International Power PLC* 562,611 1,668,843
Johnson Matthey PLC 82,300 1,561,118
Johnston Press PLC 42,300 440,168
Kingfisher PLC 743,000 4,418,542
Lloyds TSB Group PLC 928,844 8,434,955
Misys PLC 564,300 2,267,015
National Grid Transco PLC 119,400 1,137,011
Next PLC 134,503 4,260,835
Pearson PLC 381,415 4,602,374
Reckitt Benckiser PLC 167,120 5,050,240
Reed Elsevier PLC 168,100 1,550,743
Rio Tinto PLC 173,177 5,096,960
Rolls-Royce Group PLC 553,958 2,626,955
Rolls-Royce Group PLC B
Shares 17,615,864 32,130
Royal Bank of Scotland
Group PLC 277,256 9,325,967
Scottish Power PLC 145,700 1,128,010
Shell Transport & Trading
Co. PLC 683,300 5,824,695
Smith & Nephew PLC 319,360 3,268,034
Smiths Group PLC+++ 67,800 1,069,992
Standard Chartered PLC 64,700 1,203,047
Tesco PLC 409,200 2,527,744
</Table>
See Notes to Financial Statements.
142
<Table>
<Caption>
SHARES VALUE
------------ --------------
Unilever PLC+++ 610,193 $ 5,992,274
Vodafone Group PLC 4,408,550 11,955,370
Wm Morrison Supermarkets
PLC 980,000 3,894,711
Wolseley PLC 30,000 560,707
Xstrata PLC 71,200 1,274,016
--------------
176,832,377
--------------
VENEZUELA -- 0.0%
Compania Anonima Nacional
Telefonos de Venezuela
ADR 6,001 134,362
--------------
TOTAL FOREIGN COMMON STOCK
(Cost $862,174,923) 1,144,854,025
--------------
FOREIGN PREFERRED STOCK -- 0.6%
BRAZIL -- 0.3%
Caemi Mineracao e
Metalurgia SA 175,000 150,226
Companhia de Tecidos do
Norte de Minas --
Coteminas 4,576,860 516,965
Companhia Siderurgica
Belgo Mineira 292,000 166,009
Companhia Siderurgica de
Tubarao 1,540,000 90,742
Investimentos Itau SA 411,244 712,244
Petroleo Brasileiro SA ADR 41,500 1,502,715
--------------
3,138,901
--------------
JAPAN -- 0.2%
SMFG Finance, Ltd. 2.25%
CONV 18,000,000 419,830
SMFG Finance, Ltd. 144A
2.25% CONV 78,000,000 1,819,265
--------------
2,239,095
--------------
SOUTH KOREA -- 0.1%
Samsung Electronics Co.,
Ltd. 2,280 657,438
--------------
TOTAL FOREIGN PREFERRED STOCK
(Cost $3,214,489) 6,035,434
--------------
SHORT-TERM INVESTMENTS -- 19.0%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 33,560,705 33,560,705
Northern Institutional
Liquid Assets Portfolio
(sec.) 191,968,841 191,968,841
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $225,529,546) 225,529,546
--------------
TOTAL INVESTMENTS -- 116.2%
(Cost $1,091,090,835) 1,376,708,095
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (16.2%) (191,955,621)
--------------
NET ASSETS -- 100.0% $1,184,752,474
==============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Australia 4.1%
Austria 0.1%
Belgium 1.9%
Brazil 1.0%
Canada 2.0%
Chile 0.2%
China 0.4%
Colombia 0.0%*
Croatia 0.1%
Czech Republic 0.0%*
Denmark 0.7%
Ecuador 0.1%
Egypt 0.3%
Estonia 0.2%
Finland 0.5%
Forward Foreign Currency Contracts (2.4%)
France 8.2%
Germany 4.2%
Greece 0.1%
Hong Kong 4.7%
Hungary 0.3%
India 1.2%
Indonesia 0.8%
Ireland 0.6%
Israel 0.3%
Italy 3.1%
Japan 21.1%
Luxembourg 0.1%
Malaysia 0.5%
Mexico 1.2%
Netherlands 4.8%
New Zealand 0.5%
Norway 0.4%
Peru 0.0%*
Philippines 0.1%
Poland 0.1%
Portugal 0.4%
Romania 0.0%*
Russia 0.5%
Short-Term Investments 19.0%
Singapore 0.8%
South Africa 1.8%
South Korea 2.9%
Spain 4.2%
Sweden 1.6%
Switzerland 3.9%
Taiwan 1.5%
Thailand 0.6%
Turkey 0.2%
United Kingdom 14.9%
Venezuela 0.0%*
------
113.8%
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.1%.
See Notes to Financial Statements.
143
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 December 31,
2004.
(inf) -- Affiliated fund.
+++ -- Security either partially or fully on
loan.
FOREIGN BOND FOOTNOTES:
(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 Swedish Kronas.
(M) -- Par is denominated in Mexican Pesos.
(N) -- Par is denominated in Norwegian Krone.
(P) -- Par is denominated in Polish Zloty.
(R) -- Par is denominated in South African
Rand.
(S) -- Par is denominated in Swiss Francs.
(U) -- Par is denominated in British Pounds.
(Z) -- Par is denominated in New Zealand
Dollars.
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.
(i) -- Counterparty to contract is Wachovia
Bank.
(j) -- Counterparty to contract is Greenwich
Capital Derivatives.
</Table>
(1) Interest rates shown reflect the rates currently in effect unless otherwise
noted. Maturity date for money market instruments is the date of the next
interest rate reset.
144
(This page intentionally left blank)
145
STATEMENTS OF ASSETS AND LIABILITIES
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
DECEMBER 31, 2004 MARKET FUND BOND FUND BOND FUND
- ----------------- ------------ -------------- ---------------
ASSETS
Investments in securities of unaffiliated issuers at value $910,041,968 $1,066,948,327 $1,132,343,999
Investments in securities of affiliated issuers at value -- 31,260,577 64,710,276
------------ -------------- --------------
Total investments (1)(2) 910,041,968 1,098,208,904 1,197,054,275
Cash 2,519,379 6,012,980 15,472,212
Cash collateral for futures -- -- 58,900
Foreign currency (3) -- 306,993 2,739,400
Receivables:
Dividends and reclaims -- 38,680 86,885
Interest 1,090,134 4,627,615 7,329,654
Swap transactions -- -- 240,939
Investment securities sold -- 2,169,538 4,416,011
Maturities -- 124,186 14,308
Fund shares sold 12,236,914 40,427 39,996
Variation margin -- 180,691 277,587
Securities lending 13 31,822 66,546
Unrealized appreciation on foreign currency exchange
contracts -- 5,389 84,162
Unrealized appreciation on swap agreements -- 653,268 3,453,026
Prepaid expenses and other assets 44,335 31,729 30,963
------------ -------------- --------------
Total Assets 925,932,743 1,112,432,222 1,231,364,864
------------ -------------- --------------
LIABILITIES
Cash overdraft -- -- --
Options written at value (4) -- 52,326 1,085,951
Unrealized depreciation on foreign currency exchange
contracts -- 63,189 604,910
Unrealized depreciation on swap agreements -- 694,861 7,028,721
Collateral held for securities on loan at value -- 205,194,495 264,765,910
Payables:
Investment securities purchased -- 35,223,358 28,476,317
Fund shares purchased 16,637,945 831 161,827
Swap transactions -- -- 701,583
Variation margin -- 8,281 207,925
Securities lending 4 9,523 19,918
Accrued expenses
Advisory fee payable 101,348 68,469 62,714
Distribution fee payable 1,654 2,628 2,666
Service fee payable 136,741 128,419 136,738
Other accrued expenses 111,801 251,869 301,322
------------ -------------- --------------
Total Liabilities 16,989,493 241,698,249 303,556,502
------------ -------------- --------------
NET ASSETS $908,943,250 $ 870,733,973 $ 927,808,362
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-in-capital $908,945,572 $ 876,012,795 $ 908,995,897
Undistributed net investment income (loss) 622 423,201 (668,717)
Accumulated net realized gain (loss) on investments, foreign
currency transactions and derivative transactions (2,944) (1,143,881) 4,477,603
Net unrealized appreciation (depreciation) on investments,
foreign currency translations and derivative transactions -- (4,558,142) 15,003,579
------------ -------------- --------------
NET ASSETS $908,943,250 $ 870,733,973 $ 927,808,362
============ ============== ==============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class $ 61,373,731 $ 59,777,384 $ 52,864,793
------------ -------------- --------------
GS2 shares outstanding 61,374,017 6,413,079 5,833,849
------------ -------------- --------------
Net asset value, offering price and redemption price per
GS2 share $ 1.00 $ 9.32 $ 9.06
============ ============== ==============
Net assets applicable to the GS4 Class $838,086,654 $ 789,866,229 $ 853,376,988
------------ -------------- --------------
GS4 shares outstanding 838,052,026 61,386,467 62,599,415
------------ -------------- --------------
Net asset value, offering price and redemption price per
GS4 share $ 1.00 $ 12.87 $ 13.63
============ ============== ==============
Net assets applicable to the GS6 class $ 4,475,772 $ 16,086,833 $ 16,524,081
------------ -------------- --------------
GS6 shares outstanding 4,477,926 1,719,190 1,811,003
------------ -------------- --------------
Net asset value, offering price and redemption price per
GS6 share $ 1.00 $ 9.36 $ 9.12
============ ============== ==============
Net assets applicable to the GS8 class $ 5,007,093 $ 5,003,527 $ 5,042,500
------------ -------------- --------------
GS8 shares outstanding 5,007,098 534,475 552,416
------------ -------------- --------------
Net asset value, offering price and redemption price per
GS8 share $ 1.00 $ 9.36 $ 9.13
============ ============== ==============
- -------------
(1) Investments in securities of unaffiliated issuers at
cost $910,041,968 $1,071,539,951 $1,112,647,248
Investments in securities of affiliated issuers at cost -- 31,260,577 64,710,276
------------ -------------- --------------
Total investments at cost $910,041,968 $1,102,800,528 $1,177,357,524
============ ============== ==============
(2) Includes securities loaned of: $ -- $ 267,763,001 $ 299,460,935
============ ============== ==============
(3) Foreign currency at cost $ -- $ 300,365 $ 2,679,250
============ ============== ==============
(4) Premiums received on options written $ -- $ (184,960) $ (1,714,774)
============ ============== ==============
(5) Net of ($166,906) accrued foreign capital gains taxes on
appreciated securities.
</Table>
See Notes to Financial Statements.
146
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ------------ -------------- -------------- ------------ --------------
$564,017,372 $498,739,532 $1,485,949,599 $1,619,977,286 $507,257,537 $1,343,147,390
17,259,312 8,549,346 53,693,904 48,648,354 87,232,578 33,560,705
------------ ------------ -------------- -------------- ------------ --------------
581,276,684 507,288,878 1,539,643,503 1,668,625,640 594,490,115 1,376,708,095
-- -- -- -- -- --
-- -- 441,208 -- -- --
-- -- -- -- -- 1,367,902
20,985 533,940 2,230,775 744,946 299,281 1,189,854
5,135,804 -- -- -- -- 314
-- -- -- -- -- --
-- 423,190 8,807,355 1,229,486 1,000,818 73,149
-- -- -- -- -- --
43,506 13,053 98,003 1,583,813 166,027 395,680
-- -- -- -- 77,850 --
23,755 2,353 14,200 19,772 14,139 38,058
-- -- -- -- -- 10,375
-- -- -- -- -- --
27,444 24,953 35,161 37,899 27,272 33,151
------------ ------------ -------------- -------------- ------------ --------------
586,528,178 508,286,367 1,551,270,205 1,672,241,556 596,075,502 1,379,816,578
------------ ------------ -------------- -------------- ------------ --------------
9,796,608 12,262 4,194 -- -- 81
-- -- -- -- -- --
-- -- -- -- -- 1,203,667
-- -- -- -- -- --
115,274,769 36,379,075 134,569,077 155,455,085 110,320,767 191,968,841
-- -- 10,529,453 6,432,940 515,386 228,713
238,350 905,781 1,010,541 30,101 18,097 330,626
-- -- -- -- -- --
-- 4,250 35,250 31,000 475 --
7,093 678 4,193 5,902 4,061 11,332
87,059 31,264 460,369 492,135 124,313 321,476
3,314 2,268 2,804 2,478 2,816 2,905
73,211 71,112 217,062 231,060 74,710 173,697
141,667 62,297 414,005 550,716 352,104 822,766
------------ ------------ -------------- -------------- ------------ --------------
125,622,071 37,468,987 147,246,948 163,231,417 111,412,729 195,064,104
------------ ------------ -------------- -------------- ------------ --------------
$460,906,107 $470,817,380 $1,404,023,257 $1,509,010,139 $484,662,773 $1,184,752,474
============ ============ ============== ============== ============ ==============
$430,764,189 $406,033,070 $1,138,068,589 $1,522,400,735 $385,739,345 $ 971,824,686
9,888 -- -- (833) -- (3,534,280)
3,475,263 (6,563,943) 5,985,409 (306,625,409) 11,033,502 (67,884,474)(5)
26,656,767 71,348,253 259,969,259 293,235,646 87,889,926 284,346,542
------------ ------------ -------------- -------------- ------------ --------------
$460,906,107 $470,817,380 $1,404,023,257 $1,509,010,139 $484,662,773 $1,184,752,474
============ ============ ============== ============== ============ ==============
$ 32,309,120 $ 36,148,486 $ 75,123,258 $ 84,177,154 $ 28,639,092 $ 87,299,874
------------ ------------ -------------- -------------- ------------ --------------
3,631,496 3,696,834 6,565,576 8,178,736 2,289,762 6,750,768
------------ ------------ -------------- -------------- ------------ --------------
$ 8.90 $ 9.78 $ 11.44 $ 10.29 $ 12.51 $ 12.93
============ ============ ============== ============== ============ ==============
$399,458,585 $417,962,215 $1,305,669,491 $1,405,753,764 $432,762,855 $1,072,556,087
------------ ------------ -------------- -------------- ------------ --------------
26,758,701 25,382,123 73,617,331 86,104,703 26,256,725 70,576,942
------------ ------------ -------------- -------------- ------------ --------------
$ 14.93 $ 16.47 $ 17.74 $ 16.33 $ 16.48 $ 15.20
============ ============ ============== ============== ============ ==============
$ 24,042,712 $ 11,502,034 $ 17,968,347 $ 13,780,355 $ 17,874,580 $ 19,550,750
------------ ------------ -------------- -------------- ------------ --------------
2,704,127 1,169,648 1,577,485 1,355,089 1,448,253 1,526,862
------------ ------------ -------------- -------------- ------------ --------------
$ 8.89 $ 9.83 $ 11.39 $ 10.17 $ 12.34 $ 12.80
============ ============ ============== ============== ============ ==============
$ 5,095,690 $ 5,204,645 $ 5,262,161 $ 5,298,866 $ 5,386,246 $ 5,345,763
------------ ------------ -------------- -------------- ------------ --------------
573,161 529,024 462,147 521,376 436,657 417,716
------------ ------------ -------------- -------------- ------------ --------------
$ 8.89 $ 9.84 $ 11.39 $ 10.16 $ 12.34 $ 12.80
============ ============ ============== ============== ============ ==============
$537,387,095 $427,494,052 $1,226,322,293 $1,327,006,711 $422,569,320 $1,057,530,130
17,259,312 8,549,346 53,693,904 48,648,354 87,232,578 33,560,705
------------ ------------ -------------- -------------- ------------ --------------
$554,646,407 $436,043,398 $1,280,016,197 $1,375,655,065 $509,801,898 $1,091,090,835
============ ============ ============== ============== ============ ==============
$226,107,600 $ 39,470,527 $ 158,731,536 $ 169,509,806 $110,821,147 $ 187,486,988
============ ============ ============== ============== ============ ==============
$ -- $ -- $ -- $ -- $ -- $ 1,292,845
============ ============ ============== ============== ============ ==============
$ -- $ -- $ -- $ -- $ -- $ --
============ ============ ============== ============== ============ ==============
</Table>
See Notes to Financial Statements.
147
STATEMENTS OF OPERATIONS
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
FOR THE YEAR ENDED DECEMBER 31, 2004 MARKET FUND BOND FUND BOND FUND
- ------------------------------------ ----------- ------------ ---------------
INVESTMENT INCOME
Dividends $ -- $ 60,019 $ 14,282
Income distributions received from affiliated funds -- 253,603 797,510
Interest 12,844,739 21,212,926 27,933,837
Securities Lending 779 217,861 223,662
Less foreign taxes withheld -- -- --
----------- ------------ -----------
Total Investment Income 12,845,518 21,744,409 28,969,291
----------- ------------ -----------
EXPENSES
Investment advisory fees 1,822,618 3,331,628 3,643,807
Transfer agent fees:
GS2 shares 5,226 4,371 4,362
GS4 shares 24,269 18,767 19,184
GS6 shares 23,573 16,394 18,538
GS8 shares 2,045 1,530 1,685
Custodian fees 28,388 116,752 166,130
Distribution fees:
GS6 shares 8,668 21,324 22,326
GS8 shares 2,220 2,214 2,222
Shareholder servicing fees:
GS4 shares 1,559,712 1,400,328 1,453,621
GS6 shares 14,023 35,546 37,113
GS8 shares 2,905 2,840 2,850
Accounting and administration fees 337,746 365,949 434,198
Professional fees 50,686 54,259 59,388
Blue sky fees:
GS4 shares 2,492 2,677 2,561
GS6 shares 17,675 14,082 14,697
GS8 shares 461 636 586
Shareholder reporting fees:
GS2 shares 1,861 1,360 1,521
GS4 shares 6,017 2,609 5,646
GS6 shares 8,126 2,494 4,276
GS8 shares 7 8 7
Trustee fees 4,430 4,220 4,326
Line of credit facility fees 4,942 4,485 4,577
Other expenses 27,520 40,867 52,675
----------- ------------ -----------
Total expenses 3,955,610 5,445,340 5,956,296
Expenses waived net of amount recaptured (See Footnote 3c) 46,872 (504,001) (758,345)
Fees paid indirectly (5,874) (34,427) (38,429)
----------- ------------ -----------
Net expenses 3,996,608 4,906,912 5,159,522
----------- ------------ -----------
NET INVESTMENT INCOME (LOSS) 8,848,910 16,837,497 23,809,769
----------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investment securities (net of capital gains taxes of
$403,202 for International Equity) 6,557 1,001,517 7,986,231
Futures transactions -- 1,280,261 5,462,713
Swap agreements -- 262,420 4,086,199
Option contracts -- 136,391 551,325
Foreign currency transactions -- 301,532 206,932
----------- ------------ -----------
Net realized gain 6,557 2,982,121 18,293,400
----------- ------------ -----------
Net change in unrealized appreciation (depreciation) on:
Investment securities (net of estimated deferred capital
gains taxes of $166,906 for International Equity) -- (9,799,580) 2,964,645
Futures transactions -- (785,198) (938,549)
Swap agreements -- 541,291 (2,576,455)
Option contracts -- 43,216 467,537
Foreign currency translations -- 989,277 582,170
----------- ------------ -----------
Net change in unrealized appreciation (depreciation) -- (9,010,994) 499,348
----------- ------------ -----------
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) 6,557 (6,028,873) 18,792,748
----------- ------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,855,467 $ 10,808,624 $42,602,517
=========== ============ ===========
</Table>
See Notes to Financial Statements.
148
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ----------- ------------ ------------ ------------ -------------
$ 23,625 $ 8,577,762 $ 30,416,747 $ 11,613,515 $ 3,890,023 $ 26,573,271
124,865 110,701 443,656 594,140 304,057 320,736
25,526,439 12,734 50,305 64,653 249,678 38,026
177,849 27,158 153,359 113,790 159,251 381,618
(118) 65,290 (10,536) (12,501) (6,079) (2,543,030)
----------- ----------- ------------ ------------ ------------ ------------
25,852,660 8,793,645 31,053,531 12,373,597 4,596,930 24,770,621
----------- ----------- ------------ ------------ ------------ ------------
2,194,335 623,783 8,801,364 11,782,680 4,617,934 10,037,102
4,284 4,192 4,364 4,267 4,214 4,213
18,946 19,140 19,763 19,178 19,761 19,138
18,472 20,446 21,904 22,902 27,493 19,528
1,654 1,869 1,869 1,993 2,241 1,682
36,368 32,591 116,258 67,667 181,935 874,251
27,507 17,028 21,425 18,184 22,917 21,415
2,234 2,262 2,276 2,291 2,313 2,278
743,815 740,211 2,298,413 2,500,486 733,198 1,816,576
46,518 28,057 35,935 30,229 38,175 36,170
2,866 2,902 2,921 2,941 2,969 2,924
187,857 186,187 526,104 541,956 233,528 537,010
52,893 49,643 49,355 49,643 52,242 55,841
2,683 2,393 2,470 2,560 2,667 2,631
15,142 14,646 15,571 14,973 16,630 14,454
609 423 519 590 673 619
1,174 1,545 2,029 1,666 2,025 1,407
2,576 3,686 4,404 4,547 7,214 3,469
3,445 6,959 9,410 14,933 11,606 9,392
6 7 6 6 7 7
2,325 2,267 6,769 7,274 2,238 5,360
2,465 2,422 7,113 7,768 2,380 5,652
22,797 36,677 34,009 37,153 29,216 47,174
----------- ----------- ------------ ------------ ------------ ------------
3,390,971 1,799,336 11,984,251 15,135,887 6,013,576 13,518,293
(77,079) (74,504) (304,962) (1,174,603) (524,217) (1,635,218)
(443) (514) (129,099) (116,167) (130,160) (200,943)
----------- ----------- ------------ ------------ ------------ ------------
3,313,449 1,724,318 11,550,190 13,845,117 5,359,199 11,682,132
----------- ----------- ------------ ------------ ------------ ------------
22,539,211 7,069,327 19,503,341 (1,471,520) (762,269) 13,088,489
----------- ----------- ------------ ------------ ------------ ------------
10,802,758 1,299,990 85,794,678 15,340,737 46,779,179 51,621,883
-- 765,207 3,867,765 5,529,933 185,479 --
-- -- -- -- -- --
-- -- -- -- -- --
1,045,593 -- -- (132,720) -- (2,586,341)
----------- ----------- ------------ ------------ ------------ ------------
11,848,351 2,065,197 89,662,443 20,737,950 46,964,658 49,035,542
----------- ----------- ------------ ------------ ------------ ------------
2,014,835 36,004,902 108,883,653 148,356,967 12,313,561 124,879,446
-- (333,412) (868,721) (1,471,693) 2,729,039 --
-- -- -- -- -- --
-- -- -- -- -- --
(4,826) -- -- 126,811 -- (384,017)
----------- ----------- ------------ ------------ ------------ ------------
2,010,009 35,671,490 108,014,932 147,012,085 15,042,600 124,495,429
----------- ----------- ------------ ------------ ------------ ------------
-- -- -- -- -- --
----------- ----------- ------------ ------------ ------------ ------------
13,858,360 37,736,687 197,677,375 167,750,035 62,007,258 173,530,971
----------- ----------- ------------ ------------ ------------ ------------
$36,397,571 $44,806,014 $217,180,716 $166,278,515 $ 61,244,989 $186,619,460
=========== =========== ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
149
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET FUND
----------------------------
FOR THE YEAR FOR THE YEAR
ENDED ENDED
12/31/2004 12/31/2003
------------ ------------
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 8,848,910 $ 7,917,399
Net realized gain (loss) on investment securities, foreign
currency transactions and futures transactions 6,557 (9,501)
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts -- --
------------ ------------
Net increase in net assets resulting from operations 8,855,467 7,907,898
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
GS2 shares (721,686) (324,427)
GS4 shares (8,060,700) (7,530,068)
GS6 shares (59,113) (62,904)
GS8 shares (6,789) --
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
GS2 shares -- (46)
GS4 shares -- (625)
GS6 shares -- (6)
GS8 shares -- --
------------ ------------
Total dividends and distributions (8,848,288) (7,918,076)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (15,534,141) (3,852,148)
------------ ------------
Total increase (decrease) in net assets (15,526,962) (3,862,326)
------------ ------------
NET ASSETS:
Beginning of the Period 924,470,212 928,332,538
------------ ------------
End of the Period $908,943,250 $924,470,212
============ ============
</Table>
See Notes to Financial Statements.
150
<Table>
<Caption>
LOW-DURATION BOND FUND MEDIUM-DURATION BOND FUND EXTENDED-DURATION BOND FUND
--------------------------- --------------------------- ---------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2004 12/31/2003 12/31/2004 12/31/2003 12/31/2004 12/31/2003
------------ ------------ ------------ ------------ ------------ ------------
$ 16,837,497 $ 19,241,404 $ 23,809,769 $ 26,791,900 $ 22,539,211 $ 24,282,452
2,982,121 10,188,347 18,293,400 26,929,299 11,848,351 22,325,951
(9,010,994) (10,158,617) 499,348 (1,627,903) 2,010,009 1,495,624
------------ ------------ ------------ ------------ ------------ ------------
10,808,624 19,271,134 42,602,517 52,093,296 36,397,571 48,104,027
------------ ------------ ------------ ------------ ------------ ------------
(1,696,636) (1,326,256) (2,382,746) (1,916,722) (2,557,161) (1,595,527)
(14,809,918) (19,321,186) (24,210,880) (30,152,221) (19,518,971) (19,969,955)
(500,018) (753,411) (869,129) (1,202,395) (2,123,786) (2,080,490)
(51,135) -- (103,998) -- (109,063) --
(306,325) (746,547) (1,226,859) (1,396,423) (1,098,229) (1,971,125)
(2,934,690) (7,418,102) (13,258,347) (15,323,780) (8,199,186) (16,743,684)
(81,975) (311,062) (380,448) (676,622) (820,490) (1,897,839)
(25,524) -- (116,137) -- (173,104) --
------------ ------------ ------------ ------------ ------------ ------------
(20,406,221) (29,876,564) (42,548,544) (50,668,163) (34,599,990) (44,258,620)
------------ ------------ ------------ ------------ ------------ ------------
76,888,505 22,756,445 116,850,176 15,046,016 17,016,596 5,730,852
------------ ------------ ------------ ------------ ------------ ------------
67,290,908 12,151,015 116,904,149 16,471,149 18,814,177 9,576,259
------------ ------------ ------------ ------------ ------------ ------------
803,443,065 791,292,050 810,904,213 794,433,064 442,091,930 432,515,671
------------ ------------ ------------ ------------ ------------ ------------
$870,733,973 $803,443,065 $927,808,362 $810,904,213 $460,906,107 $442,091,930
============ ============ ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
151
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
EQUITY INDEX FUND
----------------------------
FOR THE YEAR FOR THE YEAR
ENDED ENDED
12/31/2004 12/31/2003
------------ ------------
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 7,069,327 $ 4,853,926
Net realized gain (loss) on investment securities, foreign
currency transactions and futures transactions 2,065,197 979,184
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts 35,671,490 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 44,806,014 92,775,121
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
GS2 shares (971,702) (403,725)
GS4 shares (6,152,025) (3,723,527)
GS6 shares (402,551) (278,397)
GS8 shares (53,662) --
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
GS2 shares -- --
GS4 shares -- --
GS6 shares -- --
GS8 shares -- --
EXCESS DISTRIBUTION
GS2 shares (1,484) --
GS4 shares (10,239) --
GS6 shares (470) --
GS8 shares (213) --
------------ ------------
Total dividends and distributions (7,592,346) (4,405,649)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 1,132,428 31,213,504
------------ ------------
Total increase in net assets 38,346,096 119,582,976
------------ ------------
NET ASSETS:
Beginning of the Period 432,471,284 312,888,308
------------ ------------
End of the Period $470,817,380 $432,471,284
============ ============
</Table>
See Notes to Financial Statements.
152
<Table>
<Caption>
VALUE EQUITY FUND GROWTH EQUITY FUND SMALL CAP EQUITY FUND INTERNATIONAL EQUITY FUND
------------------------------- ------------------------------- --------------------------- -----------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2004 12/31/2003 12/31/2004 12/31/2003 12/31/2004 12/31/2003 12/31/2004 12/31/2003
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
$ 19,503,341 $ 16,662,980 $ (1,471,520) $ (894,042) $ (762,269) $ (1,056,272) $ 13,088,489 $ 10,923,644
89,662,443 6,646,141 20,737,950 (78,550,785) 46,964,658 34,880,333 49,035,542 (31,492,027)
108,014,932 270,278,957 147,012,085 392,733,277 15,042,600 84,238,319 124,495,429 280,933,691
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
217,180,716 293,588,078 166,278,515 313,288,450 61,244,989 118,062,380 186,619,460 260,365,308
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(1,737,298) (922,077) -- -- -- -- (1,448,031) (797,069)
(17,360,065) (15,815,795) -- -- -- -- (13,270,677) (11,108,069)
(426,787) (369,825) -- -- -- -- (295,546) (265,273)
(34,324) -- -- -- -- -- (35,394) --
(272) -- -- -- (1,605,087) -- -- --
(3,056) -- -- -- (18,720,278) -- -- --
(65) -- -- -- (1,012,977) -- -- --
(19) -- -- -- (305,972) -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(19,561,886) (17,107,697) -- -- (21,644,314) -- (15,049,648) (12,170,411)
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
(35,382,938) 7,472,571 (40,138,009) 2,816,736 39,424,877 36,835,939 21,694,555 25,094,925
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
162,235,892 283,952,952 126,140,506 316,105,186 79,025,552 154,898,319 193,264,367 273,289,822
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
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
-------------- -------------- -------------- -------------- ------------ ------------ -------------- ------------
$1,404,023,257 $1,241,787,365 $1,509,010,139 $1,382,869,633 $484,662,773 $405,637,221 $1,184,752,474 $991,488,107
============== ============== ============== ============== ============ ============ ============== ============
</Table>
See Notes to Financial Statements.
153
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
MONEY MARKET FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
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 0.02 0.01
Realized and unrealized gain (loss) on investments -- net --+ --+ -- --
------- ------- ------ -------
Total from investment operations 0.01 0.01 0.02 0.01
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.01) (0.01) (0.02) (0.01)
Distributions from capital gains -- --+ --+ --
------- ------- ------ -------
Total dividends and distributions (0.01) (0.01) (0.02) (0.01)
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ====== =======
Total Return (1) 1.19% 1.04% 1.80% 0.66%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.27% 0.27% 0.25% 0.25%
Expenses -- including expense reduction (2) 0.27% 0.27% 0.25% 0.25%
Expenses -- before waivers and expense reduction (2) 0.27% 0.28% 0.55% 90.37%
Investment income -- net (2) 1.17% 0.91% 1.75% 2.60%
Investment income (loss) -- excluding waivers and expense
reduction (2) 1.17% 0.90% 1.45% (87.52%)
Portfolio turnover rate (1) N/A N/A N/A N/A
Net Assets -- end of the period (000's) $61,374 $63,373 $5,493 $ 25
======= ======= ====== =======
</Table>
- ---------------
* Commencement of operations.
(1) Non-annualized.
(2) Annualized.
+ Amount represents less than $0.01 per share.
See Notes to Financial Statements.
154
<Table>
<Caption>
MONEY MARKET FUND
---------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
------------------------------------------------ --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- ----------- ------------ -------- -------- -------- ------------ ------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- ------ ------ ------- ------- ------
0.01 0.01 0.02 0.01 0.01 0.01 0.01 0.01 --+
--+ --+ -- -- --+ --+ -- -- --+
-------- -------- -------- -------- ------ ------ ------- ------- ------
0.01 0.01 0.02 0.01 0.01 0.01 0.01 0.01 --
-------- -------- -------- -------- ------ ------ ------- ------- ------
(0.01) (0.01) (0.02) (0.01) (0.01) (0.01) (0.01) (0.01) --+
-- --+ --+ -- -- --+ --+ -- --
-------- -------- -------- -------- ------ ------ ------- ------- ------
(0.01) (0.01) (0.02) (0.01) (0.01) (0.01) (0.01) (0.01) --
-------- -------- -------- -------- ------ ------ ------- ------- ------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ====== ====== ======= ======= ======
0.99% 0.85% 1.60% 0.94% 0.73% 0.57% 1.38% 0.81% 0.14%
0.46% 0.45% 0.45% 0.44% 0.72% 0.73% 0.65% 0.75% 1.17%
0.46% 0.45% 0.44% 0.44% 0.72% 0.73% 0.65% 0.75% 1.17%
0.45% 0.45% 0.50% 0.49% 1.09% 0.91% 0.77% 16.37% 1.31%
0.98% 0.84% 1.58% 2.72% 0.68% 0.61% 1.35% 1.98% 0.94%
0.99% 0.84% 1.52% 2.67% 0.31% 0.43% 1.23% (13.64%) 0.80%
N/A N/A N/A N/A N/A N/A N/A N/A N/A
$838,087 $853,062 $906,302 $996,380 $4,476 $8,035 $16,538 $ 788 $5,007
======== ======== ======== ======== ====== ====== ======= ======= ======
</Table>
See Notes to Financial Statements.
155
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
LOW-DURATION BOND FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.51 $ 9.76 $ 9.85 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.21# 0.22# 0.37# 0.15
Realized and unrealized gain (loss) on investments -- net (0.07) 0.03 0.19 --
------- ------- ------- -------
Total from investment operations 0.14 0.25 0.56 0.15
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.28) (0.37) (0.50) (0.22)
Distributions from capital gains (0.05) (0.13) (0.15) (0.08)
------- ------- ------- -------
Total dividends and distributions (0.33) (0.50) (0.65) (0.30)
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.32 $ 9.51 $ 9.76 $ 9.85
======= ======= ======= =======
Total Return (1) 1.47% 2.61% 5.89% 1.54%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.45% 0.45% 0.46% 0.45%
Expenses -- including expense reduction (2) 0.45% 0.45% 0.45% 0.45%
Expenses -- before waivers and expense reduction (2) 0.49% 0.50% 0.78% 57.60%
Investment income -- net (2) 2.22% 2.30% 3.71% 4.73%
Investment income (loss) -- excluding waivers and expense
reduction (2) 2.18% 2.25% 3.38% (52.42%)
Portfolio turnover rate (1) 288.76% 178.67% 181.96% 79.53%
Net Assets -- end of the period (000's) $59,777 $53,726 $ 6,320 $ 25
======= ======= ======= =======
</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 year
ending December 31, 2004 by 0.02% for the GS2, GS4 and GS6 Class and .01% for
the GS8 Class. Net investment income per share was unaffected. 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.
156
<Table>
<Caption>
LOW-DURATION BOND FUND
---------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
------------------------------------------------ --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- ----------- ------------ -------- -------- -------- ------------ ------------
$ 13.00 $ 13.16 $ 13.06 $ 13.10 $ 9.54 $ 9.79 $ 9.86 $ 10.00 $ 9.50
-------- -------- -------- -------- ------- ------- ------- ------- -------
0.27# 0.32# 0.46# 0.21 0.17# 0.21# 0.33# 0.22 0.02#
(0.09) -- 0.27 0.05 (0.06) -- 0.22 (0.06) (0.01)
-------- -------- -------- -------- ------- ------- ------- ------- -------
0.18 0.32 0.73 0.26 0.11 0.21 0.55 0.16 0.01
-------- -------- -------- -------- ------- ------- ------- ------- -------
(0.26) (0.35) (0.48) (0.22) (0.24) (0.33) (0.47) (0.22) (0.10)
(0.05) (0.13) (0.15) (0.08) (0.05) (0.13) (0.15) (0.08) (0.05)
-------- -------- -------- -------- ------- ------- ------- ------- -------
(0.31) (0.48) (0.63) (0.30) (0.29) (0.46) (0.62) (0.30) (0.15)
-------- -------- -------- -------- ------- ------- ------- ------- -------
$ 12.87 $ 13.00 $ 13.16 $ 13.06 $ 9.36 $ 9.54 $ 9.79 $ 9.86 $ 9.36
======== ======== ======== ======== ======= ======= ======= ======= =======
1.38% 2.45% 5.71% 1.96% 1.17% 2.20% 5.70% 1.54% 0.05%
0.61% 0.61% 0.62% 0.61% 0.85% 0.85% 0.79% 0.85% 1.30%
0.61% 0.61% 0.61% 0.61% 0.85% 0.84% 0.79% 0.85% 1.30%
0.67% 0.67% 0.72% 0.72% 0.90% 0.87% 0.93% 74.57% 1.53%
2.06% 2.43% 3.50% 4.47% 1.82% 2.18% 3.35% 4.18% 1.35%
2.00% 2.37% 3.39% 4.36% 1.77% 2.15% 3.21% (69.54%) 1.12%
288.76% 178.67% 181.96% 79.53% 288.76% 178.67% 181.96% 79.53% 288.76%
$789,866 $727,265 $763,987 $812,387 $16,087 $22,452 $20,985 $ 3,458 $ 5,004
======== ======== ======== ======== ======= ======= ======= ======= =======
</Table>
See Notes to Financial Statements.
157
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
MEDIUM-DURATION BOND FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.24 $ 9.47 $ 9.65 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.28# 0.28# 0.46# 0.16
Realized and unrealized gain (loss) on investments -- net 0.21 0.36 0.40 (0.08)
------- ------- ------- -------
Total from investment operations 0.49 0.64 0.86 0.08
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.45) (0.58) (0.67) (0.23)
Distributions from capital gains (0.22) (0.29) (0.37) (0.20)
Return of capital -- -- -- --+
------- ------- ------- -------
Total dividends and distributions (0.67) (0.87) (1.04) (0.43)
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.06 $ 9.24 $ 9.47 $ 9.65
======= ======= ======= =======
Total Return (1) 5.34% 6.80% 9.25% 0.89%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.50% 0.50% 0.51% 0.52%
Expenses -- including expense reduction (2) 0.50% 0.50% 0.50% 0.50%
Expenses -- before waivers and expense reduction (2) 0.53% 0.55% 0.82% 92.28%
Investment income -- net (2) 2.97% 2.96% 4.77% 4.99%
Investment income (loss) -- excluding waivers and expense
reduction (2) 2.94% 2.91% 4.45% (86.79%)
Portfolio turnover rate (1) 372.25% 457.74% 542.94% 247.20%
Net Assets -- end of the period (000's) $52,865 $46,521 $ 7,218 $ 25
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
+ Amount represents less than $0.01 per share.
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 year
ending December 31, 2004 by 0.15% for the GS2, GS4 and GS6 Class and .23% for
the GS8 Class. Net investment income per share was reduced by $0.02, $0.02,
$0.01 and $0.00 for the GS2, GS4, GS6 and GS8 Class, respectively. 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.
158
<Table>
<Caption>
MEDIUM-DURATION BOND FUND
---------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
------------------------------------------------ --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- ----------- ------------ -------- -------- -------- ------------ ------------
$ 13.58 $ 13.54 $ 13.37 $ 13.60 $ 9.30 $ 9.53 $ 9.70 $ 10.00 $ 9.46
-------- -------- -------- -------- ------- ------- ------- ------- -------
0.39# 0.46# 0.62# 0.22 0.24# 0.29# 0.42# 0.17 0.02#
0.31 0.43 0.57 (0.02) 0.21 0.31 0.41 (0.04) 0.07
-------- -------- -------- -------- ------- ------- ------- ------- -------
0.70 0.89 1.19 0.20 0.45 0.60 0.83 0.13 0.09
-------- -------- -------- -------- ------- ------- ------- ------- -------
(0.43) (0.56) (0.65) (0.23) (0.41) (0.54) (0.63) (0.23) (0.20)
(0.22) (0.29) (0.37) (0.20) (0.22) (0.29) (0.37) (0.20) (0.22)
-- -- -- --+ -- -- -- --+ --
-------- -------- -------- -------- ------- ------- ------- ------- -------
(0.65) (0.85) (1.02) (0.43) (0.63) (0.83) (1.00) (0.43) (0.42)
-------- -------- -------- -------- ------- ------- ------- ------- -------
$ 13.63 $ 13.58 $ 13.54 $ 13.37 $ 9.12 $ 9.30 $ 9.53 $ 9.70 $ 9.13
======== ======== ======== ======== ======= ======= ======= ======= =======
5.20% 6.62% 9.15% 1.49% 4.88% 6.33% 8.90% 1.30% 0.87%
0.62% 0.62% 0.63% 0.64% 0.90% 0.90% 0.90% 0.92% 1.35%
0.62% 0.62% 0.62% 0.62% 0.90% 0.90% 0.90% 0.90% 1.35%
0.72% 0.71% 0.77% 0.77% 0.95% 0.96% 1.03% 58.64% 1.59%
2.85% 3.37% 4.62% 4.62% 2.61% 3.03% 4.37% 4.49% 1.41%
2.75% 3.28% 4.47% 4.47% 2.56% 2.97% 4.24% (53.25%) 1.17%
372.25% 457.74% 542.94% 247.20% 372.25% 457.74% 542.94% 247.20% 372.25%
$853,377 $741,743 $767,926 $827,774 $16,524 $22,640 $19,289 $ 123 $ 5,043
======== ======== ======== ======== ======= ======= ======= ======= =======
</Table>
See Notes to Financial Statements.
159
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
EXTENDED-DURATION BOND FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.23 $ 9.64 $ 9.84 $ 10.00
------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.47# 0.54# 0.65 0.24
Realized and unrealized gain (loss) on investments -- net 0.27 0.51 0.29 (0.03)
------- ------- ------ -------
Total from investment operations 0.74 1.05 0.94 0.21
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.76) (0.79) (0.90) (0.33)
Distributions from capital gains (0.31) (0.67) (0.24) (0.04)
------- ------- ------ -------
Total dividends and distributions (1.07) (1.46) (1.14) (0.37)
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 8.90 $ 9.23 $ 9.64 $ 9.84
======= ======= ====== =======
Total Return (1) 8.49% 11.32% 10.27% 2.13%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.57% 0.59% 0.64% 0.66%
Expenses -- including expense reduction (2) 0.57% 0.59% 0.64% 0.65%
Expenses -- before waivers and expense reduction (2) 0.57% 0.60% 0.88% 90.75%
Investment income -- net (2) 5.17% 5.49% 6.47% 6.62%
Investment income (loss) -- excluding waivers and expense
reduction (2) 5.17% 5.48% 6.23% (83.48%)
Portfolio turnover rate (1) 65.87% 121.20% 45.17% 21.95%
Net Assets -- end of the period (000's) $32,309 $29,004 $6,506 $ 26
======= ======= ====== =======
</Table>
- ---------------
* Commencement of operations.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
160
<Table>
<Caption>
EXTENDED-DURATION BOND FUND
------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
--------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ -------- -------- -------- ------------ ------------
$ 14.78 $ 14.62 $ 14.37 $ 14.38 $ 9.22 $ 9.63 $ 9.83 $ 10.00 $ 9.23
-------- -------- -------- -------- ------- ------- ------- ------- ------
0.75# 0.83# 0.90 0.32 0.44# 0.52# 0.62 0.32 0.06#
0.45 0.77 0.47 0.03 0.27 0.50 0.29 (0.13) 0.11
-------- -------- -------- -------- ------- ------- ------- ------- ------
1.20 1.60 1.37 0.35 0.71 1.02 0.91 0.19 0.17
-------- -------- -------- -------- ------- ------- ------- ------- ------
(0.74) (0.77) (0.88) (0.32) (0.73) (0.76) (0.87) (0.32) (0.20)
(0.31) (0.67) (0.24) (0.04) (0.31) (0.67) (0.24) (0.04) (0.31)
-------- -------- -------- -------- ------- ------- ------- ------- ------
(1.05) (1.44) (1.12) (0.36) (1.04) (1.43) (1.11) (0.36) (0.51)
-------- -------- -------- -------- ------- ------- ------- ------- ------
$ 14.93 $ 14.78 $ 14.62 $ 14.37 $ 8.89 $ 9.22 $ 9.63 $ 9.83 $ 8.89
======== ======== ======== ======== ======= ======= ======= ======= ======
8.37% 11.19% 10.03% 2.48% 8.05% 10.95% 9.93% 1.91% 1.91%
0.73% 0.73% 0.73% 0.74% 0.98% 0.93% 0.91% 1.06% 1.50%
0.73% 0.73% 0.73% 0.73% 0.98% 0.93% 0.91% 1.05% 1.50%
0.75% 0.75% 0.82% 0.84% 0.96% 0.94% 1.03% 28.96% 1.61%
5.01% 5.46% 6.29% 6.32% 4.76% 5.25% 6.18% 6.14% 4.31%
4.99% 5.44% 6.20% 6.21% 4.78% 5.24% 6.06% (21.77%) 4.20%
65.87% 121.20% 45.17% 21.95% 65.87% 121.20% 45.17% 21.95% 65.87%
$399,459 $385,110 $401,198 $404,278 $24,043 $27,978 $24,812 $ 8,553 $5,096
======== ======== ======== ======== ======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
161
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
EQUITY INDEX FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.08 $ 7.22 $ 9.58 $ 10.00
------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.16# 0.12# 0.14 0.03
Realized and unrealized gain (loss) on investments -- net 0.81 1.91 (2.29) (0.34)
------- ------- ------ -------
Total from investment operations 0.97 2.03 (2.15) (0.31)
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.27) (0.17) (0.18) (0.06)
Distributions from capital gains -- -- (0.03) (0.05)
Excess distribution --+ -- -- --
------- ------- ------ -------
Total dividends and distributions (0.27) (0.17) (0.21) (0.11)
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 9.78 $ 9.08 $ 7.22 $ 9.58
======= ======= ====== =======
Total Return (1) 10.77% 28.19% (22.57%) (3.14%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.25% 0.25% 0.25% 0.25%
Expenses -- including expense reduction (2) 0.25% 0.25% 0.25% 0.25%
Expenses -- before waivers and expense reduction (2) 0.23% 0.28% 0.60% 86.25%
Investment income -- net (2) 1.75% 1.46% 1.40% 1.19%
Investment income (loss) -- excluding waivers and expense
reduction (2) 1.77% 1.43% 1.05% (84.81%)
Portfolio turnover rate (1) 2.48% 1.87% 3.17% 2.81%
Net Assets -- end of the period (000's) $36,148 $33,009 $4,737 $ 28
======= ======= ====== =======
</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.
162
<Table>
<Caption>
EQUITY INDEX FUND
------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
--------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ -------- -------- -------- ------------ ------------
$ 15.12 $ 11.93 $ 15.64 $ 16.15 $ 9.14 $ 7.26 $ 9.63 $ 10.00 $ 9.55
-------- -------- -------- -------- ------- ------- ------- ------- ------
0.25# 0.18# 0.17 0.05 0.13# 0.10# 0.13 0.02 0.04#
1.35 3.16 (3.69) (0.46) 0.81 1.93 (2.31) (0.28) 0.35
-------- -------- -------- -------- ------- ------- ------- ------- ------
1.60 3.34 (3.52) (0.41) 0.94 2.03 (2.18) (0.26) 0.39
-------- -------- -------- -------- ------- ------- ------- ------- ------
(0.25) (0.15) (0.16) (0.05) (0.25) (0.15) (0.16) (0.06) (0.10)
-- -- (0.03) (0.05) -- -- (0.03) (0.05) --
-- -- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------- ------- ------
(0.25) (0.15) (0.19) (0.10) (0.25) (0.15) (0.19) (0.11) (0.10)
-------- -------- -------- -------- ------- ------- ------- ------- ------
$ 16.47 $ 15.12 $ 11.93 $ 15.64 $ 9.83 $ 9.14 $ 7.26 $ 9.63 $ 9.84
======== ======== ======== ======== ======= ======= ======= ======= ======
10.60% 28.03% (22.59%) (2.55%) 10.37% 28.09% (22.71%) (2.65%) 4.11%
0.40% 0.40% 0.40% 0.40% 0.45% 0.45% 0.45% 0.45% 0.90%
0.40% 0.40% 0.40% 0.40% 0.45% 0.45% 0.45% 0.45% 0.90%
0.41% 0.44% 0.51% 0.53% 0.72% 0.73% 0.81% 28.52% 1.27%
1.60% 1.33% 1.21% 0.98% 1.41% 1.28% 1.21% 0.95% 3.18%
1.59% 1.29% 1.10% 0.85% 1.14% 1.00% 0.85% (27.12%) 2.81%
2.48% 1.87% 3.17% 2.81% 2.48% 1.87% 3.17% 2.81% 2.48%
$417,962 $382,067 $295,261 $401,471 $11,502 $17,395 $12,890 $ 367 $5,205
======== ======== ======== ======== ======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
163
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
VALUE EQUITY FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.94 $ 7.77 $ 9.64 $ 10.00
------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.17# 0.14# 0.16 0.06
Realized and unrealized gain (loss) on investments -- net 1.59 2.26 (1.80) (0.35)
------- ------- ------ -------
Total from investment operations 1.76 2.40 (1.64) (0.29)
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.26) (0.23) (0.23) (0.07)
Distributions from capital gains --+ -- -- --
Return of capital -- -- --+ --
------- ------- ------ -------
Total dividends and distributions (0.26) (0.23) (0.23) (0.07)
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 11.44 $ 9.94 $ 7.77 $ 9.64
======= ======= ====== =======
Total Return (1) 17.83% 31.09% (17.22%) (2.88%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.75% 0.76% 0.76% 0.76%
Expenses -- including expense reduction (2) 0.74% 0.75% 0.72% 0.76%
Expenses -- before waivers and expense reduction (2) 0.74% 0.78% 1.06% 81.37%
Investment income -- net (2) 1.64% 1.62% 1.77% 1.60%
Investment income (loss) -- excluding waivers and expense
reduction (2) 1.64% 1.59% 1.43% (79.01%)
Portfolio turnover rate (1) 55.50% 53.74% 70.42% 21.09%
Net Assets -- end of the period (000's) $75,123 $69,991 $5,265 $ 77
======= ======= ====== =======
</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.
164
<Table>
<Caption>
VALUE EQUITY FUND
----------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
------------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
---------- ---------- -------- ------------ -------- -------- -------- ------------ ------------
$ 15.28 $ 11.85 $ 14.57 $ 15.21 $ 9.90 $ 7.75 $ 9.61 $ 10.00 $10.89
---------- ---------- -------- ---------- ------- ------- ------- ------- ------
0.24# 0.21# 0.21 0.06 0.12# 0.11# 0.15 0.03 0.03#
2.45 3.43 (2.73) (0.64) 1.59 2.23 (1.82) (0.35) 0.54
---------- ---------- -------- ---------- ------- ------- ------- ------- ------
2.69 3.64 (2.52) (0.58) 1.71 2.34 (1.67) (0.32) 0.57
---------- ---------- -------- ---------- ------- ------- ------- ------- ------
(0.23) (0.21) (0.20) (0.06) (0.22) (0.19) (0.19) (0.07) (0.07)
-- -- -- -- -- -- -- -- --
-- -- --+ -- -- -- --+ -- --
---------- ---------- -------- ---------- ------- ------- ------- ------- ------
(0.23) (0.21) (0.20) (0.06) (0.22) (0.19) (0.19) (0.07) (0.07)
---------- ---------- -------- ---------- ------- ------- ------- ------- ------
$ 17.74 $ 15.28 $ 11.85 $ 14.57 $ 11.39 $ 9.90 $ 7.75 $ 9.61 $11.39
========== ========== ======== ========== ======= ======= ======= ======= ======
17.71% 30.84% (17.37%) (3.79%) 17.35% 30.46% (17.48%) (3.23%) 5.28%
0.90% 0.90% 0.90% 0.90% 1.15% 1.15% 1.15% 1.15% 1.60%
0.89% 0.88% 0.87% 0.90% 1.14% 1.13% 1.11% 1.15% 1.59%
0.92% 0.94% 0.98% 1.00% 1.22% 1.20% 1.29% 65.50% 1.79%
1.49% 1.59% 1.57% 1.29% 1.20% 1.33% 1.38% 1.12% 1.71%
1.46% 1.53% 1.46% 1.19% 1.12% 1.26% 1.20% (63.23%) 1.51%
55.50% 53.74% 70.42% 21.09% 55.50% 53.74% 70.42% 21.09% 55.50%
$1,305,669 $1,152,116 $938,583 $1,159,209 $17,968 $19,680 $13,987 $ 168 $5,262
========== ========== ======== ========== ======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
165
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
GROWTH EQUITY FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.16 $ 7.07 $ 9.83 $ 10.00
------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) -- (0.01) 0.01 --+
Realized and unrealized gain (loss) on investments -- net 1.13 2.10 (2.77) (0.17)
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 1.13 2.09 (2.76) (0.17)
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- -- -- --
Distributions from capital gains -- -- -- --
------- ------- ------ -------
Total dividends and distributions -- -- -- --
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 10.29 $ 9.16 $ 7.07 $ 9.83
======= ======= ====== =======
Total Return (1)(3) 12.34% 29.56% (28.08%) (1.70%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.87% 0.81% 0.78% 0.78%
Expenses -- including expense reduction (2) 0.86% 0.79% 0.75% 0.78%
Expenses -- before waivers and expense reduction (2) 0.89% 0.85% 1.14% 83.19%
Investment income (loss) -- net (2) 0.01% (0.03%) 0.09% 0.02%
Investment income (loss) -- excluding waivers and expense
reduction (2) (0.02%) (0.09%) (0.30%) (82.39%)
Portfolio turnover rate (1) 55.65% 77.02% 41.41% 8.71%
Net Assets -- end of the period (000's) $84,177 $79,547 $4,553 $ 29
======= ======= ====== =======
</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.
166
<Table>
<Caption>
GROWTH EQUITY FUND
------------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
--------------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
---------- ---------- ---------- ------------ -------- -------- -------- ------------ ------------
$ 14.55 $ 11.23 $ 15.63 $ 15.93 $ 9.08 $ 7.03 $ 9.81 $ 10.00 $ 9.59
---------- ---------- ---------- ---------- ------- ------- ------- ------- ------
(0.02) (0.01) (0.01) (0.01) (0.07) (0.02) (0.02) --+ --+
1.80 3.33 (4.39) (0.29) 1.16 2.07 (2.76) (0.19) 0.57
-- -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------- ------- ------
1.78 3.32 (4.40) (0.30) 1.09 2.05 (2.78) (0.19) 0.57
---------- ---------- ---------- ---------- ------- ------- ------- ------- ------
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------- ------- ------
-- -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ------- ------- ------- ------- ------
$ 16.33 $ 14.55 $ 11.23 $ 15.63 $ 10.17 $ 9.08 $ 7.03 $ 9.81 $10.16
========== ========== ========== ========== ======= ======= ======= ======= ======
12.23% 29.56% (28.15%) (1.88%) 12.00% 29.16% (28.34%) (1.90%) 5.94%
0.99% 0.92% 0.90% 0.90% 1.24% 1.17% 1.15% 1.15% 1.69%
0.98% 0.90% 0.88% 0.90% 1.23% 1.15% 1.12% 1.15% 1.67%
1.08% 1.01% 1.02% 1.05% 1.44% 1.33% 1.36% 47.77% 1.97%
(0.11%) (0.07%) (0.05%) (0.11%) (0.42%) (0.33%) (0.28%) (0.32%) 0.30%
(0.21%) (0.18%) (0.19%) (0.26%) (0.63%) (0.51%) (0.52%) (46.94%) --
55.65% 77.02% 41.41% 8.71% 55.65% 77.02% 41.41% 8.71% 55.65%
$1,405,754 $1,285,223 $1,049,709 $1,354,301 $13,780 $18,099 $12,503 $ 309 $5,299
========== ========== ========== ========== ======= ======= ======= ======= ======
</Table>
See Notes to Financial Statements.
167
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
SMALL CAP EQUITY FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 11.52 $ 7.88 $ 10.12 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (0.01) (0.03) (0.01) --+
Realized and unrealized gain (loss) on investments -- net 1.74 3.67 (2.23) 0.12
------- ------- ------- -------
Total from investment operations 1.73 3.64 (2.24) 0.12
------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income -- -- -- --
Distributions from capital gains (0.74) -- -- --
------- ------- ------- -------
Total dividends and distributions (0.74) -- -- --
------- ------- ------- -------
NET ASSET VALUE -- END OF THE PERIOD $ 12.51 $ 11.52 $ 7.88 $ 10.12
======= ======= ======= =======
Total Return (1) 15.04% 46.19% (22.13%) 1.20%
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 1.18% 1.18% 1.18% 1.18%
Expenses -- including expense reduction (2) 1.15% 1.12% 1.11% 1.18%
Expenses -- before waivers and expense reduction (2) 1.20% 1.27% 1.60% 76.30%
Investment income (loss) -- net (2) (0.10%) (0.26%) (0.12%) 0.12%
Investment income (loss) -- excluding waivers and expense
reduction (2) (0.15%) (0.41%) (0.61%) (75.00%)
Portfolio turnover rate (1) 148.32% 130.80% 160.46% 91.89%
Net Assets -- end of the period (000's) $28,639 $25,415 $ 4,869 $ 81
======= ======= ======= =======
</Table>
- ---------------
* Commencement of operations.
+ Amount represents less than $0.01 per share.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
168
<Table>
<Caption>
SMALL CAP EQUITY FUND
------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
--------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
-------- -------- -------- ------------ -------- -------- -------- ------------ ------------
$ 14.99 $ 10.25 $ 13.18 $ 13.07 $ 11.41 $ 7.83 $ 10.09 $ 10.00 $ 12.14
-------- -------- -------- -------- ------- ------- ------- -------- -------
(0.02) (0.04) (0.02) (0.01) (0.08) (0.04) (0.04) --+ (0.01)
2.25 4.78 (2.91) 0.12 1.75 3.62 (2.22) 0.09 0.95
-------- -------- -------- -------- ------- ------- ------- -------- -------
2.23 4.74 (2.93) 0.11 1.67 3.58 (2.26) 0.09 0.94
-------- -------- -------- -------- ------- ------- ------- -------- -------
-- -- -- -- -- -- -- -- --
(0.74) -- -- -- (0.74) -- -- -- (0.74)
-------- -------- -------- -------- ------- ------- ------- -------- -------
(0.74) -- -- -- (0.74) -- -- -- (0.74)
-------- -------- -------- -------- ------- ------- ------- -------- -------
$ 16.48 $ 14.99 $ 10.25 $ 13.18 $ 12.34 $ 11.41 $ 7.83 $ 10.09 $ 12.34
======== ======== ======== ======== ======= ======= ======= ======== =======
14.89% 46.24% (22.23%) 0.84% 14.66% 45.72% (22.40%) 0.90% 7.77%
1.25% 1.25% 1.25% 1.25% 1.50% 1.50% 1.50% 1.50% 1.95%
1.22% 1.19% 1.19% 1.25% 1.47% 1.44% 1.43% 1.50% 1.91%
1.37% 1.43% 1.51% 1.52% 1.69% 1.70% 1.82% 123.38% 2.19%
(0.16%) (0.34%) (0.19%) (0.13%) (0.43%) (0.59%) (0.44%) (0.28%) (0.68%)
(0.31%) (0.58%) (0.51%) (0.40%) (0.65%) (0.85%) (0.83%) (122.16%) (0.96%)
148.32% 130.80% 160.46% 91.89% 148.32% 130.80% 160.46% 91.89% 148.32%
$432,763 $357,703 $232,992 $321,743 $17,875 $22,520 $12,878 $ 115 $ 5,386
======== ======== ======== ======== ======= ======= ======= ======== =======
</Table>
See Notes to Financial Statements.
169
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
---------------------------------------------
GS2 CLASS
---------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED 08/27/01* TO
12/31/04 12/31/03 12/31/02 12/31/01
-------- -------- -------- ------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE -- BEGINNING OF PERIOD $ 11.06 $ 8.26 $ 9.50 $ 10.00
------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) 0.16 0.08# 0.11 --+
Realized and unrealized gain (loss) on investments -- net 1.93 2.90 (1.22) (0.47)
------- ------- ------ -------
Total from investment operations 2.09 2.98 (1.11) (0.47)
------- ------- ------ -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.22) (0.18) (0.13) (0.03)
Return of capital -- -- --+ --
------- ------- ------ -------
Total dividends and distributions (0.22) (0.18) (0.13) (0.03)
------- ------- ------ -------
NET ASSET VALUE -- END OF THE PERIOD $ 12.93 $ 11.06 $ 8.26 $ 9.50
======= ======= ====== =======
Total Return (1) 18.93% 36.06% (11.72%) (4.69%)
RATIOS/SUPPLEMENTAL DATA:
Ratios to average net assets:
Expenses -- net (2) 0.97% 0.97% 0.96% 0.96%
Expenses -- including expense reduction (2) 0.95% 0.95% 0.93% 0.96%
Expenses -- before waivers and expense reduction (2) 1.13% 1.14% 1.43% 88.97%
Investment income (loss) -- net (2) 1.32% 0.86% 1.29% 0.11%
Investment income (loss) -- excluding waivers and expense
reduction (2) 1.14% 0.67% 0.79% (87.90%)
Portfolio turnover rate (1) 32.65% 33.24% 30.13% 20.05%
Net Assets -- end of the period (000's) $87,300 $50,390 $5,416 $ 27
======= ======= ====== =======
</Table>
- ---------------
* Commencement of operations.
+ Amount represents less than $0.01 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
See Notes to Financial Statements.
170
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
--------------------------------------------------------------------------------------------------------------
GS4 CLASS GS6 CLASS GS8 CLASS
----------------------------------------------- --------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED 08/27/01* TO ENDED ENDED ENDED 08/27/01* TO 11/08/04* TO
12/31/04 12/31/03 12/31/02 12/31/01 12/31/04 12/31/03 12/31/02 12/31/01 12/31/04
---------- -------- -------- ------------ -------- -------- -------- ------------ ------------
$ 12.96 $ 9.66 $ 11.09 $ 11.66 $ 10.95 $ 8.19 $ 9.43 $ 10.00 $12.05
---------- -------- -------- -------- ------- ------- ------- -------- ------
0.17 0.15# 0.11 0.01 0.12 0.10# 0.06 (0.01)# --+
2.26 3.31 (1.43) (0.55) 1.90 2.80 (1.21) (0.53) 0.84
---------- -------- -------- -------- ------- ------- ------- -------- ------
2.43 3.46 (1.32) (0.54) 2.02 2.90 (1.15) (0.54) 0.84
---------- -------- -------- -------- ------- ------- ------- -------- ------
(0.19) (0.16) (0.11) (0.03) (0.17) (0.14) (0.09) (0.03) (0.09)
-- -- --+ -- -- -- --+ -- --
---------- -------- -------- -------- ------- ------- ------- -------- ------
(0.19) (0.16) (0.11) (0.03) (0.17) (0.14) (0.09) (0.03) (0.09)
---------- -------- -------- -------- ------- ------- ------- -------- ------
$ 15.20 $ 12.96 $ 9.66 $ 11.09 $ 12.80 $ 10.95 $ 8.19 $ 9.43 $12.80
========== ======== ======== ======== ======= ======= ======= ======== ======
18.80% 35.81% (11.94%) (4.61%) 18.52% 35.47% (12.18%) (5.40%) 6.93%
1.15% 1.15% 1.15% 1.15% 1.35% 1.36% 1.37% 1.45% 1.80%
1.13% 1.13% 1.12% 1.15% 1.33% 1.34% 1.34% 1.45% 1.78%
1.31% 1.31% 1.35% 1.37% 1.58% 1.50% 1.64% 256.83% 2.16%
1.22% 1.39% 1.00% 0.28% 1.06% 1.14% 0.88% (0.32%) (0.37%)
1.04% 1.21% 0.77% 0.06% 0.81% 0.98% 0.58% (255.70%) (0.75%)
32.65% 33.24% 30.13% 20.05% 32.65% 33.24% 30.13% 20.05% 32.65%
$1,072,556 $920,664 $698,704 $795,363 $19,551 $20,434 $14,078 $ 51 $5,346
========== ======== ======== ======== ======= ======= ======= ======== ======
</Table>
See Notes to Financial Statements.
171
NOTES TO FINANCIAL STATEMENTS
1. DESCRIPTION OF THE FUNDS
AB Funds Trust (the "Trust") was organized as a Delaware business trust on March
2, 2000. The Trust has established 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 four classes of shares issued by the Trust -- the GS2 Class (formerly
the Institutional Class), the GS4 Class (formerly the Retirement Class), the GS6
Class (formerly the Retail Class) and the GS8 Class, which began operations on
November 8, 2004. The Blended Funds consist of a GS4, GS6 and GS8 Class. The
Institutional Blended Funds consist of a GS2 Class only. The Select Funds
consist of a GS2, GS4, GS6 and GS8 Class. All classes of shares have identical
voting, dividend and liquidation rights. Class specific expenses differ 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,
172
at the closing bid price. Options and warrants not traded on a national
securities exchange are valued at the last quoted bid price. Short-term
securities maturing in more than 60 days from the valuation date are valued at
the mean of the last bid and asked prices; those maturing in 60 days or less are
valued at amortized cost. Futures contracts are valued at the closing settlement
price on the exchange on which they are primarily traded. Forward foreign
exchange contracts are valued based upon closing exchange rates from each
respective foreign market. Swap agreements are valued daily based upon the terms
specific to each agreement with its counterparty. To the extent 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.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates its net asset value if an event that could
materially affect the value of those securities (a "Significant Event") has
occurred between the time of the security's last close and the time that the
Fund calculates its net asset value. A Significant Event may relate to a single
issuer or to an entire market sector. If a Fund becomes aware of a Significant
Event that has occurred with respect to a security or group of securities after
the closing of the exchange or market on which the security or securities
principally trade, but before the time at which the Fund calculates its net
asset value, a Valuation Committee meeting may be called. AB Funds Trust uses
FT-Interactive Data ("FT") as a third party fair valuation vendor. FT provides a
fair value for foreign equity securities held by AB Funds Trust based on certain
factors and methodologies applied by FT in the event that there is movement in
the U.S. market that exceeds a specific threshold established by the Valuation
Committee in consultation with, and approved by, the Trustees. Such
methodologies generally involve tracking valuation correlations between the U.S.
market and each non-U.S. security. As part of the valuation procedures a
"confidence interval" is used, when the threshold is exceeded, to determine the
level of correlation between the value of a foreign equity security and
movements in the U.S. market before a particular security will be fair valued.
In the event that the threshold established by the Committee is exceeded on a
specific day, AB Funds Trust will typically value non-U.S. equity securities in
its portfolio that exceed the applicable confidence interval based upon the fair
values provided by FT.
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
173
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.
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
174
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.
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
175
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 is 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.
Income from Real Estate Investment Trusts ("REITS") is accounted for on ex-date
using the prior year's 1099 information. Any changes from these estimates are
recognized in the following year when the 1099 for the current year is received,
typically in February.
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 year ended December 31, 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% .20%
Extended-Duration Bond .27% .22%
Equity Index .14% .00%
Value Equity .43% .24%
</Table>
176
<Table>
<Caption>
FUND ADVISORY FEES SUB-ADVISER FEES
- ---- ------------- ----------------
Growth Equity .48% .36%
Small Cap Equity .30% .79%
International Equity .47% .51%
</Table>
For the year ended December 31, 2004, advisory fees and waivers for each Fund
were as follows:
<Table>
<Caption>
GROSS NET ADVISORY FEE
ADVISORY FEE WAIVERS (REIMBURSEMENT)
------------ ----------- ----------------
Flexible Income $ 281,802 $ (117,642) $ 164,160
Growth & Income 1,193,211 (11,549) 1,181,662
Capital Opportunities 954,017 (28,222) 925,795
Global Equity 859,781 (44,960) 814,821
Flexible Income I 29,746 (65,442) (35,696)
Growth & Income I 107,685 (52,113) 55,572
Capital Opportunities
I 62,378 (63,820) (1,442)
Global Equity I 28,513 (67,507) (38,994)
Money Market 1,244,715 46,872 1,291,587
Low-Duration Bond 1,631,402 (504,001) 1,127,401
Medium-Duration Bond 1,924,817 (758,345) 1,166,472
Extended-Duration
Bond 1,215,868 (77,079) 1,138,789
Equity Index 616,910 (74,504) 542,406
Value Equity 5,604,857 (304,962) 5,299,895
Growth Equity 6,790,977 (1,174,603) 5,616,374
Small Cap Equity 1,306,804 (524,217) 782,587
International Equity 4,881,513 (1,635,218) 3,246,295
</Table>
B. DISTRIBUTION AND SHAREHOLDER SERVICING FEES
The Board of Trustees has adopted Shareholder Service Plans for the GS4, GS6 and
GS8 Class of each Select Fund and the GS6 and GS8 Class of each Blended Fund
("Service Plans") and a separate Plan of Distribution for the GS6 and GS8 Class
of each Select Fund and Blended Fund pursuant to Rule 12b-1 under the 1940 Act
("12b1 Plan").
Under the Service Plans, the GS4, GS6 and GS8 Class of each Select Fund and the
GS6 and GS8 Class of each Blended Fund are authorized to pay fees to parties
that provide services for and maintain shareholder accounts. The GS4, GS6 and
GS8 Class of each Select Fund are authorized to pay service fees of 0.19%, 0.30%
and 0.40% of average daily net assets, respectively. During the period January
1, 2004 through November 8, 2004, the GS4 and GS6 Classes of each Select Fund
were authorized to pay service fees of 0.19% and 0.15% of average daily net
assets, respectively. The GS6 and GS8 Class of each Blended Fund are authorized
to pay service fees of 0.11% and 0.21% of average daily net assets,
respectively. During the period January 1, 2004 through November 8, 2004, the
GS6 Class of each Blended Fund paid no service fees.
Under the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be
used to compensate the Annuity Board, the Distributor or others for certain
expenses relating to the distribution of shares of the Funds to investors. Under
the 12b-1 Plan, the maximum amount payable as a percentage of average daily net
assets on an annual basis is 0.10% by the GS6 Class of each Select Fund and
Blended Fund and 0.30% by the GS8 Class of each Select Fund and Blended Fund.
During the period January 1, 2004 through November 8, 2004, the GS6 Class of
each Blended Fund was authorized to pay fees under the 12b-1 Plan of 0.06% of
average daily net assets.
C. EXPENSE LIMITATION
SBCFS has agreed, through April 30, 2005, to waive fees and reimburse expenses
of the GS2 Class, GS4 Class, GS6 Class and the GS8 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>
GS2 GS4 GS6 GS8
CLASS CLASS CLASS CLASS
----- ----- ----- -----
Flexible Income NA 0.13% 0.50% 0.80%
Growth & Income NA 0.13% 0.60% 0.90%
Capital Opportunities NA 0.13% 0.70% 1.00%
Global Equity NA 0.13% 0.57% 0.87%
Flexible Income I 0.17% NA NA NA
Growth & Income I 0.17% NA NA NA
Capital Opportunities I 0.17% NA NA NA
Global Equity I 0.17% NA NA NA
Money Market 0.27% 0.46% 0.87% 1.17%
Low-Duration Bond 0.45% 0.61% 1.00% 1.30%
Medium-Duration Bond 0.50% 0.62% 1.05% 1.35%
Extended-Duration Bond 0.65% 0.73% 1.20% 1.50%
Equity Index 0.25% 0.40% 0.60% 0.90%
Value Equity 0.76% 0.90% 1.30% 1.60%
Growth Equity 0.87% 0.99% 1.39% 1.69%
</Table>
177
<Table>
<Caption>
GS2 GS4 GS6 GS8
CLASS CLASS CLASS CLASS
----- ----- ----- -----
Small Cap Equity 1.18% 1.25% 1.65% 1.95%
International Equity 0.97% 1.15% 1.50% 1.80%
</Table>
During the period January 1, 2004 through November 8, 2004, SBCFS agreed to
waive fees and reimburse expenses of the GS6 Class of the Blended Funds
(excluding interest, taxes, brokerage commissions and extraordinary expenses)
which exceeded, in the aggregate, the annual percentage rate of each class's
average daily net assets for the following Funds:
<Table>
<Caption>
GS6
FUND CLASS
- ---- -----
Flexible Income 0.35%
Growth & Income 0.45%
Capital Opportunities 0.55%
Global Equity 0.42%
</Table>
During the period January 1, 2004 through December 31, 2004, SBCFS agreed to
waive fees and reimburse expenses of the GS6 Class of the Select Funds
(excluding interest, taxes, brokerage commissions and extraordinary expenses)
which exceeded, in the aggregate, the annual percentage rate of each class's
average daily net assets for the following Funds:
<Table>
<Caption>
GS6
FUND CLASS
- ---- -----
Money Market 0.72%
Low-Duration Bond 0.85%
Medium-Duration Bond 0.90%
Extended-Duration Bond 1.05%
Equity Index 0.45%
Value Equity 1.15%
Growth Equity 1.24%
Small Cap Equity 1.50%
International Equity 1.35%
</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 recapture any
amount that would cause operating expenses to exceed the expense limitation
during the year in which the recapture would be made, and provided further that
no amount will be recaptured by SBCFS more than three years after the year in
which it was incurred or waived by SBCFS.
At December 31, 2004, the amounts subject to possible future recapture under the
expense limitation agreement are as follows:
<Table>
<Caption>
GS2 GS4 GS6 GS8
CLASS CLASS CLASS CLASS
-------- ---------- -------- ------
Flexible Income NA $ 300,901 $ 36,343 $4,166
Growth & Income NA 23,527 31,638 3,804
Capital Opportunities NA 127,172 18,738 404
Global Equity NA 173,753 20,550 1,229
Flexible Income I $ 99,880 NA NA NA
Growth & Income I 89,133 NA NA NA
Capital Opportunities
I 101,192 NA NA NA
Global Equity I 104,319 NA NA NA
Money Market 7,020 -- 52,050 1,169
Low-Duration Bond 38,076 1,216,096 18,632 1,591
Medium-Duration Bond 19,308 1,794,771 14,389 1,602
Extended-Duration Bond -- 251,926 -- 736
Equity Index -- 254,603 111,964 2,657
Value Equity -- 927,477 21,533 1,378
Growth Equity 27,888 3,081,853 66,430 1,991
Small Cap Equity 22,666 1,358,170 91,046 1,606
International Equity 145,167 3,817,586 89,641 2,554
</Table>
SBCFS recaptured the following amounts during the year ended December 31, 2004:
<Table>
<Caption>
GS2 GS4 GS6
CLASS CLASS CLASS
------- ------- ------
Growth & Income NA $ 6,804 --
Money Market $ 1,554 78,206 --
Extended-Duration Bond 1,371 -- $7,767
Equity Index 8,620 -- --
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 expenses paid through Brokerage
Service Arrangements for the year ended December 31, 2004 were as follows:
<Table>
<Caption>
EXPENSES PAID
THROUGH BROKERAGE
FUND SERVICE ARRANGEMENTS
- ---- --------------------
Value Equity $128,459
Growth Equity 115,076
Small Cap Equity 129,288
International Equity 200,125
</Table>
178
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 year ended December 31, 2004, expenses reduced were
as follows:
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Flexible Income $ 185
Growth & Income 350
Capital Opportunities 221
Global Equity 285
Flexible Income I 163
Growth & Income I 129
Capital Opportunities I 181
Global Equity I 163
Money Market 5,874
Low-Duration Bond 34,427
Medium-Duration Bond 38,429
Extended-Duration Bond 443
Equity Index 514
Value Equity 640
Growth Equity 1,091
Small Cap Equity 872
International Equity 818
</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 year ended December 31,
2004, PFPC received $4,733,089 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 December 31,
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 $267,763,001 $273,087,701
Medium-Duration Bond 299,460,935 304,769,125
Extended-Duration Bond 226,107,600 229,461,776
Equity Index 39,470,527 40,502,403
Value Equity 158,731,536 162,829,694
Growth Equity 169,509,806 173,915,262
Small Cap Equity 110,821,147 113,679,200
International Equity 187,486,988 196,376,074
</Table>
5. INVESTMENT TRANSACTIONS
For the year ended December 31, 2004, the cost of purchases and proceeds from
sales and maturities (other than short-term and U.S. Government obligations)
aggregated for each Fund are as follows:
<Table>
<Caption>
SALE AND MATURITY
PURCHASES PROCEEDS
------------ -----------------
Flexible Income $ 8,999,000 $ 9,600,000
Growth & Income 74,650,000 35,900,000
Capital Opportunities 43,550,000 23,900,000
Global Equity 31,000,000 20,000,000
Flexible Income I 4,002,066 2,790,400
Growth & Income I 43,411,617 5,372,000
Capital Opportunities
I 7,226,400 2,398,000
Global Equity I 5,152,462 1,952,300
Low-Duration Bond 562,230,035 452,904,338
</Table>
179
<Table>
<Caption>
SALE AND MATURITY
PURCHASES PROCEEDS
------------ -----------------
Medium-Duration Bond $409,935,246 $379,324,720
Extended-Duration Bond 55,429,255 87,385,355
Equity Index 16,874,462 10,635,485
Value Equity 696,924,936 741,400,900
Growth Equity 751,776,431 781,426,188
Small Cap Equity 601,604,300 694,070,569
International Equity 340,480,402 328,706,973
</Table>
For the year ended December 31, 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 $ 22,437,504 $ 21,037,858
Growth & Income 36,784,779 36,199,171
Capital Opportunities 9,434,256 8,695,442
Flexible Income I 3,983,212 3,893,931
Growth & Income I 6,415,469 5,712,957
Capital Opportunities
I 2,246,315 2,172,850
Low-Duration Bond 1,310,678,271 1,283,315,920
Medium-Duration Bond 2,054,670,069 2,053,447,810
Extended-Duration
Bond 234,358,106 198,654,293
</Table>
FUTURES CONTRACTS
Investments in securities as of December 31, 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
March 2005 S&P 500(R) $ 89,570 3 $ 910,275 $ 19,857
==========
GROWTH & INCOME FUND
March 2005 S&P 500(R) $ 801,154 39 11,833,575 $ 236,341
==========
CAPITAL OPPORTUNITIES FUND
March 2005 S&P 500(R) $ 905,652 47 14,260,975 $ 299,618
==========
GLOBAL EQUITY FUND
March 2005 S&P 500(R) $1,288,812 49 14,867,825 $ 283,281
==========
FLEXIBLE INCOME FUND I
March 2005 S&P 500(R) E-Mini $ 19,904 2 121,370 $ 1,778
==========
GROWTH & INCOME FUND I
March 2005 S&P 500(R) E-Mini $ 104,498 22 1,335,070 $ 25,416
==========
CAPITAL OPPORTUNITIES FUND I
March 2005 S&P 500(R) E-Mini $ 79,618 17 1,031,645 $ 12,213
==========
GLOBAL EQUITY FUND I
March 2005 S&P 500(R) E-Mini $ 74,642 11 667,535 $ 1,535
==========
LOW-DURATION BOND FUND
December 2005 90-Day Euro $ 67,108 32 7,715,200 $ (25,875)
June 2005 90-Day Euro $ 89,819 105 25,416,563 63,843
March 2005 2-Year U.S. Treasury Note $2,310,342 859 180,041,031 (141,856)
March 2005 5-Year U.S. Treasury Note $ 785,434 (186) 33,078,438 (74,554)
March 2005 10-Year U.S. Treasury Note $ 266,094 178 28,208,250 (104,672)
September 2005 90-Day Euro $ 477,538 223 53,860,075 (218,899)
----------
$ (502,013)
==========
</Table>
180
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
MEDIUM-DURATION BOND FUND
December 2005 90-Day Euro $ 2,673 1 $ 241,100 $ (825)
December 2005 90-Day LIBOR $ 73,489 29 6,629,058 9,668
June 2005 90-Day Euro $ 545,128 211 51,075,188 (212,701)
March 2005 2-Year U.S. Treasury Note $ 13,308 22 4,611,063 970
March 2005 5-Year U.S. Treasury Note $ 578,340 (9) 57,284,844 3,755
March 2005 10-Year U.S. Treasury Note $ 948,884 587 69,960,938 207,975
March 2005 10-Year UK GILT $ 156,712 66 14,136,154 97,516
March 2005 20-Year U.S. Treasury Bond $ 467,219 (211) 46,462,500 (132,631)
March 2005 90-Day Euro $ 266,405 99 24,031,013 (67,413)
March 2005 90-Day LIBOR $ 32,905 13 2,968,215 20,356
March 2005 Euro-Bobl $ 69,990 52 7,979,883 33,719
March 2005 Euro-Bund $ 20,935 45 7,253,704 3,122
September 2005 90-Day Euro $ 144,048 68 16,423,700 (6,065)
September 2005 90-Day LIBOR $ 266,679 133 30,405,424 (61,882)
----------
$ (104,436)
==========
EQUITY INDEX FUND
March 2005 S&P 500(R) $1,159,434 17 5,158,225 $ 102,773
==========
VALUE EQUITY FUND
March 2005 Russell 1000 $ 263,734 10 3,259,750 $ 54,390
March 2005 S&P 500(R) $4,563,093 135 40,962,375 287,563
----------
$ 341,953
==========
GROWTH EQUITY FUND
March 2005 S&P 500(R) $4,791,994 124 37,624,700 $ 265,071
==========
SMALL CAP EQUITY FUND
March 2005 Russell 2000 $6,155,448 365 119,345,875 $3,103,510
March 2005 S&P 500(R) $ 990,246 19 5,765,075 98,199
----------
$3,201,709
==========
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
As of December 31, 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>
NET UNREALIZED
CURRENCY TO BE AMOUNT OF CURRENCY CURRENCY TO BE AMOUNT OF CURRENCY APPRECIATION/
FUND/EXPIRATION DATE DELIVERED TO BE DELIVERED RECEIVED TO BE RECEIVED (DEPRECIATION)
- -------------------- ------------------- -------------------- ------------------ -------------------- --------------
LOW-DURATION BOND
FUND
1/10/2005 European Euro 79,000 US Dollars 105,053 $ (2,283)
1/13/2005 US Dollars 1,143,828 British Pounds 597,000 1,845
</Table>
181
<Table>
<Caption>
NET UNREALIZED
CURRENCY TO BE AMOUNT OF CURRENCY CURRENCY TO BE AMOUNT OF CURRENCY APPRECIATION/
FUND/EXPIRATION DATE DELIVERED TO BE DELIVERED RECEIVED TO BE RECEIVED (DEPRECIATION)
- -------------------- ------------------- -------------------- ------------------ -------------------- --------------
LOW-DURATION BOND
FUND
1/27/2005 US Dollars 178,933 Japanese Yen 18,682,000 $ 3,544
1/27/2005 New Zealand Dollar 3,352,516 US Dollars 2,350,114 (60,906)
-----------
$ (57,800)
===========
MEDIUM-DURATION BOND
FUND
1/10/2005 European Euro 92,000 US Dollars 121,595 $ (3,404)
1/13/2005 US Dollars 357,771 British Pounds 186,000 (828)
1/25/2005 South African Rand 10,568,229 US Dollars 1,699,974 (163,928)
1/26/2005 European Euro 378,700 US Dollars 501,883 (12,711)
1/27/2005 US Dollars 1,856,543 Japanese Yen 198,418,000 81,506
1/27/2005 US Dollars 134,089 Japanese Yen 14,000,000 2,656
2/8/2005 European Euro 1,279,862 US Dollars 1,616,466 (122,901)
2/8/2005 European Euro 4,950,382 US Dollars 6,515,001 (212,700)
2/18/2005 Mexican Peso 27,626,942 US Dollars 2,394,327 (62,783)
3/14/2005 Polish Zloty 2,886,993 US Dollars 928,592 (25,655)
-----------
$ (520,748)
===========
INTERNATIONAL EQUITY
1/24/2005 Japanese Yen 136,856,544 US Dollars 1,254,000 $ (82,447)
1/31/2005 British Pounds 11,445,000 US Dollars 20,870,816 (1,063,765)
2/17/2005 Swiss Francs 663,508 US Dollars 565,000 (20,135)
3/1/2005 Swiss Francs 2,641,543 US Dollars 2,323,237 (7,626)
3/1/2005 Japanese Yen 84,377,156 US Dollars 827,000 1,014
4/7/2005 Swiss Francs 650,361 US Dollars 573,763 (1,312)
6/27/2005 European Euro 595,787 US Dollars 807,000 (4,679)
6/30/2005 European Euro 643,221 British Pounds 459,157 (3,178)
6/30/2005 Swiss Francs 1,663,564 British Pounds 771,598 (10,980)
-----------
$(1,193,108)
===========
</Table>
OPTIONS WRITTEN
Transactions in options written for the year ended December 31, 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 257 136,391
Options expired (4,597) (546,955)
Options closed -- --
------ -----------
Options written, 12/31/04 1,280 $ 184,960
====== ===========
</Table>
182
<Table>
<Caption>
NUMBER OF PREMIUMS
MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED
- ------------------------- --------- -----------
Options written, 12/31/03 10,147 $ 2,778,035
------ -----------
Options written 2,673 793,919
Options expired (4,669) (1,264,794)
Options closed (1,259) (592,386)
------ -----------
Options written, 12/31/04 6,892 $ 1,714,774
====== ===========
</Table>
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock for the period ended December 31, 2004
and the year ended December 31, 2003, are as follows:
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 3,644,007 $ 48,024,107 2,999,652 $ 38,722,374
GS6 1,668,753 15,945,619 256,101 2,445,310
GS8 539,068 5,135,729 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 657,290 8,677,858 800,930 10,412,089
GS6 69,167 655,380 110,248 1,037,416
GS8 14,409 135,729 -- --
SHARES REDEEMED:
GS4 (3,266,256) (43,073,535) (5,542,161) (71,606,987)
GS6 (2,574,088) (24,578,758) (56,429) (541,956)
GS8 (14,409) (135,729) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) 737,941 $ 10,786,400 (1,431,659) $ (19,531,754)
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
GROWTH & INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 11,023,584 $ 153,845,536 9,190,592 $ 118,949,665
GS6 1,990,264 19,362,637 335,318 3,061,096
GS8 532,427 5,185,267 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 3,025,333 43,069,121 3,751,332 50,267,852
GS6 77,679 755,405 148,121 1,373,027
GS8 19,080 185,267 -- --
SHARES REDEEMED:
GS4 (7,586,229) (105,690,796) (15,705,780) (198,857,253)
GS6 (3,159,144) (30,905,541) (80,573) (707,318)
GS8 (19,080) (185,267) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) 5,903,914 $ 85,621,629 (2,360,990) $ (25,912,931)
=============== ================= =============== ================
</Table>
183
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE
- -------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 6,104,598 $ 87,587,097 5,903,866 $ 74,733,730
GS6 1,021,152 10,493,516 250,222 2,262,504
GS8 497,277 5,129,834 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 1,500,625 22,372,401 1,739,145 23,652,360
GS6 22,673 237,515 47,212 455,568
GS8 10,462 110,475 -- --
SHARES REDEEMED:
GS4 (4,253,158) (60,847,320) (8,385,067) (103,428,690)
GS6 (1,782,715) (18,445,454) (122,322) (1,106,643)
GS8 (12,311) (129,741) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) 3,108,603 $ 46,508,323 (566,944) $ (3,431,171)
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 5,337,749 $ 76,650,981 5,255,047 $ 63,303,472
GS6 1,360,945 14,911,322 148,557 1,304,684
GS8 463,434 5,019,253 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 765,384 11,723,725 371,322 5,053,687
GS6 19,329 216,268 11,098 110,871
GS8 5,003 56,833 -- --
SHARES REDEEMED:
GS4 (4,618,460) (65,903,638) (6,113,995) (70,734,256)
GS6 (2,013,639) (22,021,876) (37,275) (319,476)
GS8 (1,753) (19,358) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) 1,317,992 $ 20,633,510 (365,246) $ (1,281,018)
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE YEAR ENDED 12/31/04 THROUGH 12/31/03
------------------------------------ -----------------------------------
FLEXIBLE INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 607,864 $ 6,337,762 2,963,771 $ 29,681,126
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS 138,826 1,439,169 34,697 357,383
SHARES REDEEMED (474,127) (4,942,846) (221,947) (2,259,021)
--------------- ----------------- --------------- ----------------
Net increase 272,563 $ 2,834,085 2,776,521 $ 27,779,488
=============== ================= =============== ================
</Table>
184
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE YEAR ENDED 12/31/04 THROUGH 12/31/03
------------------------------------ -----------------------------------
GROWTH & INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 4,579,968 $ 50,049,807 6,980,068 $ 70,055,135
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS 443,757 4,971,999 170,077 1,804,518
SHARES REDEEMED (921,092) (10,194,902) (375,070) (3,911,770)
--------------- ----------------- --------------- ----------------
Net increase 4,102,633 $ 44,826,904 6,775,075 $ 67,947,883
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE YEAR ENDED 12/31/04 THROUGH 12/31/03
------------------------------------ -----------------------------------
CAPITAL OPPORTUNITIES FUND I SHARES VALUE SHARES VALUE
- ---------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 1,014,142 $ 11,750,036 5,287,084 $ 53,184,082
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS 170,884 2,062,459 88,095 976,975
SHARES REDEEMED (557,933) (6,492,871) (200,958) (2,151,481)
--------------- ----------------- --------------- ----------------
Net increase 627,093 $ 7,319,624 5,174,221 $ 52,009,576
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE PERIOD 07/01/03
(COMMENCEMENT OF OPERATIONS)
FOR THE YEAR ENDED 12/31/04 THROUGH 12/31/03
------------------------------------ -----------------------------------
GLOBAL EQUITY FUND I SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 648,062 $ 7,880,313 2,324,815 $ 23,434,827
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS 49,042 636,392 18,045 209,318
SHARES REDEEMED (358,584) (4,359,088) (133,051) (1,424,993)
--------------- ----------------- --------------- ----------------
Net increase 338,520 $ 4,157,617 2,209,809 $ 22,219,152
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
MONEY MARKET FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 45,386,513 $ 45,386,512 88,426,471 $ 88,426,471
GS4 2,724,683,827 2,724,683,826 3,475,735,151 3,475,735,152
GS6 11,500,548 11,500,547 3,800,874 3,800,874
GS8 5,004,597 5,004,598 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 680,196 680,196 310,135 310,135
GS4 4,564,114 4,564,114 4,666,721 4,666,721
GS6 56,965 56,965 62,338 62,338
GS8 6,789 6,789 -- --
SHARES REDEEMED:
GS2 (48,066,537) (48,066,537) (30,856,125) (30,856,125)
GS4 (2,744,229,998) (2,744,229,998) (3,533,632,077) (3,533,632,077)
GS6 (15,116,865) (15,116,865) (12,365,637) (12,365,637)
GS8 (4,288) (4,288) -- --
--------------- ----------------- --------------- ----------------
Net decrease (15,534,139) $ (15,534,141) (3,852,149) $ (3,852,148)
=============== ================= =============== ================
</Table>
185
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 1,522,844 $ 14,462,701 9,852,397 $ 96,600,779
GS4 11,341,798 147,272,390 12,488,144 165,022,970
GS6 1,397,602 13,279,997 370,361 3,629,836
GS8 526,316 5,000,000 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 212,603 2,002,962 215,429 2,072,803
GS4 1,370,322 17,743,865 2,037,432 26,739,288
GS6 61,346 580,489 109,633 1,061,162
GS8 8,159 76,659 -- --
SHARES REDEEMED:
GS2 (972,228) (9,242,437) (5,065,621) (49,650,731)
GS4 (7,254,656) (94,413,598) (16,633,651) (220,077,046)
GS6 (2,092,389) (19,874,523) (270,351) (2,642,616)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 6,121,717 $ 76,888,505 3,103,773 $ 22,756,445
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 2,017,679 $ 18,782,002 8,179,822 $ 79,295,587
GS4 14,384,711 198,015,923 16,034,944 221,272,485
GS6 1,738,376 16,453,300 567,749 5,488,636
GS8 528,541 5,000,000 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 392,757 3,609,605 351,398 3,313,145
GS4 2,735,238 37,465,253 3,312,192 45,476,001
GS6 134,574 1,246,004 196,599 1,867,741
GS8 23,875 220,135 -- --
SHARES REDEEMED:
GS2 (1,610,530) (14,975,756) (4,259,150) (41,269,488)
GS4 (9,138,068) (125,341,747) (21,454,483) (296,969,385)
GS6 (2,496,490) (23,624,543) (354,296) (3,428,706)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 8,710,663 $ 116,850,176 2,574,775 $ 15,046,016
=============== ================= =============== ================
</Table>
186
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE
- --------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 1,592,764 $ 14,752,906 4,850,745 $ 48,928,974
GS4 8,519,523 127,568,248 13,108,503 198,325,568
GS6 2,077,487 19,302,731 546,676 5,402,567
GS8 541,712 5,000,000 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 404,013 3,655,389 375,173 3,566,652
GS4 1,861,952 27,717,147 2,448,979 36,713,639
GS6 325,052 2,941,873 416,507 3,973,266
GS8 31,449 282,167 -- --
SHARES REDEEMED:
GS2 (1,508,800) (13,937,947) (2,757,539) (27,568,450)
GS4 (9,670,332) (144,941,440) (16,949,095) (258,599,321)
GS6 (2,731,351) (25,324,478) (506,408) (5,012,043)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 1,443,469 $ 17,016,596 1,533,541 $ 5,730,852
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
EQUITY INDEX FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 626,229 $ 5,857,548 4,461,868 $ 36,455,381
GS4 3,188,876 49,660,836 5,647,274 73,655,508
GS6 1,315,085 12,679,856 186,065 1,502,533
GS8 529,030 5,053,874 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 101,674 973,186 45,263 403,725
GS4 383,028 6,161,862 260,606 3,723,527
GS6 41,965 402,479 32,121 278,529
GS8 5,469 53,874 -- --
SHARES REDEEMED:
GS2 (664,944) (6,187,119) (1,529,027) (12,857,703)
GS4 (3,452,012) (53,362,551) (5,386,315) (71,239,038)
GS6 (2,091,566) (20,107,543) (88,596) (708,958)
GS8 (5,475) (53,874) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) (22,641) $ 1,132,428 3,629,259 $ 31,213,504
=============== ================= =============== ================
</Table>
187
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
VALUE EQUITY FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 1,498,441 $ 15,591,871 11,711,145 $ 101,805,688
GS4 5,785,172 93,964,007 8,378,960 110,320,265
GS6 1,704,070 18,542,472 239,944 2,063,770
GS8 462,149 5,034,343 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 158,475 1,725,924 94,136 913,660
GS4 1,028,686 17,362,675 1,121,254 15,815,795
GS6 39,281 425,791 40,211 369,031
GS8 3,013 34,343 -- --
SHARES REDEEMED:
GS2 (2,131,621) (22,174,278) (5,442,301) (47,926,854)
GS4 (8,581,255) (142,217,090) (13,311,092) (175,057,679)
GS6 (2,153,589) (23,638,653) (97,837) (831,105)
GS8 (3,015) (34,343) -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) (2,190,193) $ (35,382,938) 2,734,420 $ 7,472,571
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
GROWTH EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 1,613,851 $ 15,216,823 13,561,260 $ 111,472,774
GS4 5,944,000 89,698,969 12,352,654 155,965,573
GS6 1,354,099 13,128,810 365,073 2,947,648
GS8 521,376 5,000,000 -- --
SHARES REDEEMED:
GS2 (2,119,626) (19,855,335) (5,521,123) (46,186,040)
GS4 (8,189,207) (124,051,039) (17,498,144) (220,165,499)
GS6 (1,991,736) (19,276,237) (151,376) (1,217,720)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) (2,867,243) $ (40,138,009) 3,108,344 $ 2,816,736
=============== ================= =============== ================
</Table>
188
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE
- --------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 688,611 $ 8,281,035 3,640,755 $ 35,234,158
GS4 6,941,965 108,621,813 10,543,219 135,857,768
GS6 1,629,128 20,070,031 462,903 4,701,696
GS8 411,862 5,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 128,304 1,605,087 -- --
GS4 1,135,100 18,717,791 -- --
GS6 82,022 1,012,977 -- --
GS8 24,795 305,972 -- --
SHARES REDEEMED:
GS2 (732,845) (8,746,342) (2,053,288) (21,163,131)
GS4 (5,684,710) (88,070,288) (9,413,284) (116,448,337)
GS6 (2,235,825) (27,373,199) (135,569) (1,346,215)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 2,388,407 $ 39,424,877 3,044,736 $ 36,835,939
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE YEAR ENDED 12/31/04 FOR THE YEAR ENDED 12/31/03
------------------------------------ -----------------------------------
INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 3,185,332 $ 36,872,679 8,174,211 $ 75,814,682
GS4 5,416,943 74,761,876 14,644,611 157,879,504
GS6 1,543,393 18,807,962 163,727 1,560,959
GS8 417,709 5,035,394 -- --
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 115,700 1,448,031 72,461 797,069
GS4 900,425 13,270,599 861,759 11,108,069
GS6 23,826 295,478 24,358 265,255
GS8 2,772 35,394 -- --
SHARES REDEEMED:
GS2 (1,107,875) (12,936,001) (4,344,837) (41,517,645)
GS4 (6,777,507) (92,618,667) (16,770,240) (180,433,081)
GS6 (1,906,068) (23,242,796) (40,947) (379,887)
GS8 (2,765) (35,394) -- --
--------------- ----------------- --------------- ----------------
Net increase 1,811,885 $ 21,694,555 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 19, 2004, 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
189
amount of the credit facility at a rate of 0.12% per annum. Each Fund had no
borrowings outstanding during the year ended December 31, 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 years ending December 31, 2003 and 2004 were
characterized as follows for tax purposes:
<Table>
<Caption>
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTION
- ---- ----------- ------------ ------------
FLEXIBLE INCOME
2004 $ 6,674,001 $ 2,803,393 $ 9,477,394
2003 4,674,701 6,798,990 11,473,691
GROWTH & INCOME
2004 26,687,405 17,336,809 44,024,214
2003 29,857,219 21,796,066 51,653,285
CAPITAL OPPORTUNITIES
2004 14,526,079 8,194,511 22,720,590
2003 15,708,591 8,401,297 24,109,888
GLOBAL EQUITY
2004 7,152,360 4,844,621 11,996,981
2003 5,164,553 -- 5,164,553
FLEXIBLE INCOME I
2004 1,154,594 284,575 1,439,169
2003 357,383 -- 357,383
GROWTH & INCOME I
2004 3,927,779 1,049,665 4,977,444
2003 1,782,721 21,797 1,804,518
CAPITAL OPPORTUNITIES I
2004 1,611,896 450,563 2,062,459
2003 943,918 33,057 976,975
GLOBAL EQUITY I
2004 531,130 105,262 636,392
2003 194,633 14,685 209,318
MONEY MARKET
2004 8,848,288 -- 8,848,288
2003 7,918,076 -- 7,918,076
LOW-DURATION BOND
2004 17,308,846 3,097,375 20,406,221
2003 25,512,205 4,364,359 29,876,564
MEDIUM-DURATION BOND
2004 37,814,520 4,734,024 42,548,544
2003 43,170,685 7,497,478 50,668,163
EXTENDED-DURATION BOND
2004 25,006,677 9,593,313 34,599,990
2003 23,645,972 20,612,648 44,258,620
EQUITY INDEX
2004 7,592,346 -- 7,592,346
2003 4,405,649 -- 4,405,649
</Table>
<Table>
<Caption>
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTION
- ---- ----------- ------------ ------------
VALUE EQUITY
2004 $19,558,474 $ 3,412 $19,561,886
2003 17,107,697 -- 17,107,697
SMALL CAP EQUITY
2004 -- 21,644,314 21,644,314
2003 -- -- --
INTERNATIONAL EQUITY
2004 15,049,648 -- 15,049,648
2003 12,170,411 -- 12,170,411
</Table>
At December 31, 2004, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED
LONG-TERM UNREALIZED
UNDISTRIBUTED CAPITAL GAIN/ APPRECIATION/
ORDINARY (CAPITAL LOSS (DEPRECIATION)
FUND INCOME CARRYFORWARD) ON INVESTMENTS
- ---- ------------- ------------- --------------
Flexible Income $ 7,952 $ 1,587,438 $ 50,183,950
Growth & Income 353,113 10,895,930 232,361,397
Capital Opportunities 288,294 6,575,839 200,787,861
Global Equity 331,839 3,707,367 205,882,819
Flexible Income I 41 205,456 632,600
Growth & Income I 30,800 1,395,471 7,969,768
Capital Opportunities
I 21,683 620,988 10,640,691
Global Equity I 15,167 232,704 6,922,696
Money Market 622 (2,944) --
Low-Duration Bond 363,897 (1,356,941) (4,285,778)
Medium-Duration Bond 2,522,352 1,305,314 14,984,799
Extended-Duration Bond 173,498 4,831,071 25,137,349
Equity Index -- (4,712,723) 69,497,033
Value Equity -- 17,970,092 247,984,576
Growth Equity (833) (302,364,465) 288,974,701
Small Cap Equity 6,896,022 8,770,515 83,256,891
International Equity 2,376,385 (59,817,026) 270,368,429
</Table>
Post-October loss deferrals have been included in undistributed ordinary income
and undistributed long-term capital gains, depending upon the character of the
loss deferral.
For federal income tax purposes, capital loss carryovers, and their expiration
dates, were as follows as of December 31, 2004:
<Table>
<Caption>
EXPIRING EXPIRING EXPIRING
12/31/2009 12/31/2010 12/31/2011 TOTAL
----------- ------------ ------------ ------------
Money Market Fund -- -- $ 2,028 $ 2,028
Equity Index -- $ 4,712,723 -- 4,712,723
Growth Equity $54,032,205 125,035,753 123,296,507 302,364,465
International Equity -- 24,689,422 35,127,604 59,817,026
</Table>
190
For federal income tax purposes, post-October loss deferrals, which will reverse
in 2005, were as follows as of December 31, 2004:
<Table>
<Caption>
CAPITAL FX AND PFIC TOTAL
---------- ----------- ----------
Money Market................ $ 916 -- $ 916
Low-Duration Bond........... 1,359,195 -- 1,359,195
Growth Equity............... -- $833 833
</Table>
At December 31, 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 $ 50,183,951 $ 50,183,951 --
Growth & Income 232,361,398 232,422,871 $ (61,473)
Capital Opportunities 200,787,861 200,788,953 (1,092)
Global Equity 205,882,819 205,882,819 --
Flexible Income I 632,600 1,733,116 (1,100,516)
Growth & Income I 7,969,767 11,347,259 (3,377,492)
Capital Opportunities I 10,640,690 11,755,686 (1,114,996)
Global Equity I 6,922,696 6,922,696 --
Low-Duration Bond (4,879,073) 1,502,621 (6,381,694)
Medium-Duration Bond 19,017,352 22,750,454 (3,733,102)
Extended-Duration Bond 25,110,859 25,328,192 (217,333)
Equity Index 69,497,033 125,914,613 (56,417,580)
Value Equity 247,984,578 284,770,993 (36,786,415)
Growth Equity 288,974,702 311,405,199 (22,430,497)
Small Cap Equity 83,256,891 88,085,982 (4,829,091)
International Equity 270,446,038 299,199,026 (28,752,988)
</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 December 31, 2004, the aggregate cost for federal income tax purposes was as
follows (excluding foreign currency and derivative related items):
<Table>
<Caption>
FUND FEDERAL TAX COST
- ---- ----------------
Flexible Income 237,613,993
Growth & Income 1,069,568,104
Capital Opportunities 854,834,013
Global Equity 749,302,556
Flexible Income I 30,912,915
Growth & Income I 114,183,381
Capital Opportunities I 59,946,457
Global Equity I 26,620,648
Money Market 910,041,968
Low-Duration Bond 1,103,087,977
Medium-Duration Bond 1,178,036,923
Extended-Duration Bond 556,165,825
Equity Index 437,791,845
Value Equity 1,291,658,925
Growth Equity 1,379,650,938
Small Cap Equity 511,233,224
International Equity 1,106,262,056
</Table>
At December 31, 2004, capital contributions, accumulated undistributed net
investment income and accumulated net realized gain (loss) from investments have
been adjusted for current period permanent book/tax differences which arose
principally from differing book/tax treatments of paydown gains, net operating
losses and foreign currency transactions. The following amounts were
reclassified within the capital accounts:
<Table>
<Caption>
ACCUMULATED
NET REALIZED
GAIN (LOSS) ON
INVESTMENTS,
CURRENCY
ACCUMULATED TRANSLATIONS
PAID IN UNDISTRIBUTED AND DERIVATIVE
FUND CAPITAL INCOME TRANSACTIONS
- ---- ----------- ------------- --------------
Flexible Income -- $ 58,118 $ (58,118)
Growth & Income -- 3,423,478 (3,423,478)
Capital Opportunities -- 1,352,652 (1,352,652)
Flexible Income I -- 8,725 (8,725)
Growth & Income I -- 479,845 (479,845)
Capital Opportunities
I -- 135,550 (135,550)
Low-Duration Bond -- 1,448,491 (1,448,491)
Medium-Duration Bond $ (119,286) 4,202,411 (4,083,125)
Extended-Duration
Bond -- 969,074 (969,074)
Equity Index (12,406) 12,406 --
Growth Equity (1,476,355) 1,470,687 5,668
Small Cap Equity -- 762,269 (762,269)
International Equity -- (7,551) 7,551
</Table>
191
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 year ended December 31, 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 $135,007 and $45,384
for the years ending December 31, 2004 and December 31, 2003, respectively, for
the Low-Duration Bond Fund. This reclassification increased net investment
income and decreased net realized gains by $1,259,642 and $117,068 for the years
ended December 31, 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.
192
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
AB Funds Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of 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, 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, and International Equity Fund (constituting AB
Funds Trust, hereafter referred to as the "Trust") at December 31, 2004, the
results of each of their operations for the year then ended, and the changes in
each of their net assets and the financial highlights for the periods indicated,
in conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 2004 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 23, 2005
193
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 TRUSTEEE
- ------------------------ -------------- ----------------------- ---------- -------------------
- --------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES
- --------------------------------------------------------------------------------------------------------------------------------
Earl B. Patrick (6/3/44) Since 2000 President and Chief Operating 17 Earl B. Patrick,
Jim Stewart Realtors, Inc. Officer, Jim Stewart, Inc. -- President and
500 N. Valley Mills Drive Realtors, Inc. d/b/a Coldwell Director (Real Estate
Waco, TX 76710 Banker Jim Stewart, Realtors, Brokerage); JSR Building
Trustee 1975 - Present. Partnership -- Managing
Partner (Real Estate
Investments); JSR Land
Partnership -- Managing
Partner (Real Estate
Investments); Meadowlake
Center -- General Partner
(Real Estate Investments);
Baylor Foundation -- Director
University Development).
- --------------------------------------------------------------------------------------------------------------------------------
Michael R. Buster (11/18/57) Since 2002 Executive Pastor, Prestonwood 17 None
3656 Bridle Road Baptist Church,
Prosper, TX 75078 1989 - Present.
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
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; Deputy
Director, SC Retirement
Systems.
- --------------------------------------------------------------------------------------------------------------------------------
James Ray Taylor (10/19/33) Since 2002 Retired since 1994. 17 None
3009 Tanglewood Park West
Fort Worth, Texas 76109
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
William Craig George (7/8/58) Since 2004* Regional Senior Credit 17 None
617 Glen Eden Drive Officer, SunTrust Bank,
Raleigh, NC 27612 1995 - present.
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
Kevin P. Mahoney (7/26/57) Since 2004* Executive Pastor, FBC West 17 None
First Baptist Church Palm Beach, FL, July 2000 -
1101 South Flagler Drive present; Administrative
West Palm Beach, FL 33401 Pastor, FBC Merritt Island,
Trustee FL, June 1995 - June 2000.
- --------------------------------------------------------------------------------------------------------------------------------
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
Fayetteville, AR 72703-5108
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
George Tous van Nijkerk (8/12/39) Since 2000 Executive Director of 17 Annuity Board -- Trustee
2401 Cedar Springs Road Administration, Christ
Dallas, Texas 75201-1407 Baptist Church, February
Trustee 2004 - Present;
Administrative Services
Director, Providence Baptist
Church, 1991 - 2004.
- --------------------------------------------------------------------------------------------------------------------------------
OFFICERS 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.
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
194
FUND MANAGEMENT (CONTINUED)
<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 TRUSTEEE
- ------------------------ -------------- ----------------------- ---------- -------------------
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, Secretary and Convention, 1995 - Present.
Chief Legal Officer
- --------------------------------------------------------------------------------------------------------------------------------
Patricia A. Weiland (8/25/59) Since 2004 Director, Mutual Funds, N/A N/A
2401 Cedar Springs Road Annuity Board of the Southern
Dallas, TX 75201-1407 Baptist Convention,
Vice President and Chief 2000 - present; Vice-
Compliance Officer President, Northern Trust
Company, 1998 - 2000.
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
(*) The elections of Messrs. George and Mahoney were effective as of September
16, 2004.
(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.
195
PROXY VOTING
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities and information about how the
Funds voted proxies during the 12-month period ended June 30, 2004 are available
without charge, by calling 800-262-0511, by visiting our website at
www.absbc.org or by visiting the SEC's website at www.sec.gov.
FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS
In addition to the semi-annual and annual reports that AB Funds Trust delivers
to shareholders and makes available through its website, AB Funds Trust files a
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for each fund's first and third fiscal quarters on Form N-Q. AB
Funds Trust does not deliver the schedule for the first and third fiscal
quarters to shareholders, however, you may obtain the Form N-Q filings by
accessing the SEC's website at www.sec.gov. You may also review and copy them at
the SEC's Public Reference Room in Washington, DC. Information on the operation
of the SEC's Public Reference Room may be obtained by calling the SEC at (800)
SEC-0330. You can also request copies of this information, upon payment of a fee
for duplication, at the SEC's email address (publicinfo@sec.gov) or by writing
the Public Reference section of the SEC, Washington, DC 20549-0102.
196
INVESTMENT SUB-ADVISERS (Assets under management as of 12/31/04) (Unaudited)
AB Funds Trust employs a broad array of proven investment managers for the
benefit of their investors. Each manager is distinctive in their investment
management process and business approach.
<Table>
<Caption>
FIRM TOTAL ASSETS
FUND SUB-ADVISER ESTABLISHED MANAGED
- ---- --------------------------------------------------- ----------- ------------
MONEY MARKET BlackRock Institutional Management Corporation 1988 $ 342.0B
LOW-DURATION BOND BlackRock Advisors, Inc. 1988 342.0B
Pacific Investment Management Company
LLC ("PIMCO") 1971 445.7B
Payden & Rygel 1984 54.0B
MEDIUM-DURATION BOND Goldman Sachs Asset Management 1984 451.3B
Pacific Investment Management Company
LLC ("PIMCO") 1971 445.7B
Western Asset Management Company 1971 150.4B
EXTENDED-DURATION BOND Loomis, Sayles & Company, L. P. 1927 63.1B
STW Fixed Income Management Ltd. 1977 10.7B
EQUITY INDEX Northern Trust Investments, N.A. 1889 572.0B
VALUE EQUITY Barrow, Hanley Mewhinney & Straus, Inc. 1979 42.4B
Equinox Capital Management, LLC 1989 6.2B
Northern Trust Investments, N.A. 1889 572.0B
Numeric Investors L. P. 1989 9.5B
GROWTH EQUITY RCM Capital Management, LLC 1970 22.7B
Marsico Capital Management, LLC 1997 44.0B
Sands Capital Management, Inc. 1992 11.4B
TCW Investment Management Company 1971 110.0B
SMALL CAP EQUITY Aronson+Johnson+Ortiz, LP 1984 19.3B
Provident Investment Council, Inc. 1951 6.0B
TimesSquare Capital Management, Inc. 2000 5.5B
Northern Trust Investments, N.A. 1889 572.0B
INTERNATIONAL EQUITY Alliance Capital Management, L.P. 1962 538B
Capital Guardian Trust Company 1931 169.2B
Mondrian Investment Partners Ltd. 1990 36.3B
Genesis Asset Managers LLP 1981 10.8B
Oechsle International Advisors, LLC 1986 16.3B
Philadelphia International Advisor, L.P. 1956 5.4B
Walter Scott & Partners Limited 1983 14.8B
CUSTODIAN FOR AB FUNDS TRUST ASSETS The Northern Trust Company 1889 2.6Tr
</Table>
You should consider the investment objectives, risks, charges and expenses of
each investment fund carefully before investing. To obtain a prospectus with
this and other information about AB Funds Trust call 1-800-262-0511, visit
www.absbc.org or write to AB Funds Trust, 2401 Cedar Springs, Dallas, TX
75201-1498. Read it carefully before you invest. Shares of AB Funds Trust are
distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA
19406.
197
[This Page Intentionally Left Blank]
[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. 2/05 2233
8206
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report,
has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, and that relates to any element of
the code of ethics description.
(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
directors has determined that Kevin Mahoney is qualified to serve as an audit
committee financial expert serving on its audit committee and that he is
"independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Audit Fees
(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$273,550 for 2004 and $259,691 for 2003.
Audit-Related Fees
(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the registrant's
financial statements and are not reported under paragraph (a) of this
Item are $23,000
for 2004 and $23,500 for 2003. In 2004 these fees are for Rule 17f-2
security counts and fees for the issuance of a consent for an
additional N-1A filing. In 2003 these fees are for Rule 17f-2
security counts.
Tax Fees
(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $56,950 for 2004 and
$57,550 for 2003. Tax fees are for excise calculation review and
review of US Income Tax Return.
All Other Fees
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other than
the services reported in paragraphs (a) through (c) of this Item are $0
for 2004 and $0 for 2003.
(e)(1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of
Regulation S-X.
AB FUNDS TRUST
NON-AUDIT SERVICES PROVIDED TO THE COMPANY, ADVISOR, AND OTHERS
The Audit Committee shall pre-approve all permissible non-audit
services (e.g., tax services) to be provided to the Company by the Auditors,
including the fees therefor;
provided, that if the Committee chooses to delegate the authority to
grant pre-approvals to one or more Committee members, each acting on
behalf of the Committee, then the Committee shall adopt policies and
procedures detailed as to the particular service and designed to
safeguard the continued independence of the auditors, consistent with
the requirements of the Sarbanes-Oxley Act of 2002 (the "S-O Act") and
related SEC regulations, which shall then be used in making such
pre-approvals; and,
further provided, that each delegated pre-approval shall be reported to
the Committee during its next regularly scheduled meeting.
The pre-approval requirement for a permitted non-audit service may be
waived if:
(1) the aggregate amount of all such non-audit services provided
constitutes not more than 5% of the total revenues paid by the Company
to the Auditors in the fiscal year in which the non-audit services are
provided;
(2) such services were not recognized by the Company at the time of the
engagement to be non-audit services; and
(3) such services are promptly brought to the attention of, and
approved by, the Audit Committee or by a member of the Audit Committee
to whom the Committee has delegated the authority to grant such
approvals, if any, prior to the Auditors' completion of the Company's
audit.
Additionally, if the Auditors' engagement relates directly to the
operations and financial reporting of the Company, to the extent required by
Rule 2-01 of Regulation S-X, the Audit Committee shall pre-approve their
engagements for non-audit services with:
(1) the Advisor (excluding any subadviser whose role is primarily
portfolio management and is sub-contracted or overseen by the Advisor), and
(2) any entity controlling, controlled by, or under common control with
such Advisor that provides ongoing services to the Company (each, a "Control
Entity") in accordance with the foregoing paragraph, unless the aggregate
amount of all services provided constitutes no more than 5% of the total amount
of revenues paid to the Auditors by the Company, the Advisor and any such
Control Entity during the fiscal year in which the services are provided that
would have to be pre-approved by the Audit Committee pursuant to this paragraph
(in the absence of this exception). The Auditors may not perform
contemporaneously any prohibited non-audit services for the Company, which
currently include the following:
1. bookkeeping or other services related to the accounting records or
financial statements of the Company;
2. financial information systems design and implementation;
3. appraisal or valuation services, fairness opinions, or contribution-in-kind
reports;
4. actuarial services;
5. internal audit outsourcing services;
6. management functions or human resources;
7. broker or dealer, investment adviser, or investment banking services;
8. legal services and expert services unrelated to the audit; and
9. any other service that the Public Company Accounting Oversight Board
determines, by regulation, is impermissible.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee
pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X
are as follows:
(b) 100%
(c) 100%
(d) Not applicable.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was 0% (zero).
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen
by another investment adviser), and any entity controlling, controlled
by, or under common control with the adviser that provides ongoing
services to the registrant for each of the last two fiscal years of
the registrant was $79,950 for 2004 and $81,050 for 2003.
(h) The registrant's audit committee of the board of directors has
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. 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 second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(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(b) 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
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By (Signature and Title)* /s/ John R. Jones
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John R. Jones, President
(principal executive officer)
Date February 23, 2005
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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
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John R. Jones, President
(principal executive officer)
Date February 23, 2005
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By (Signature and Title)* /s/ Jeffrey P. Billinger
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Jeffrey P. Billinger, Vice President and Treasurer
(principal financial officer)
Date February 23, 2005
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* Print the name and title of each signing officer under his or her signature.