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
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(Exact name of registrant as specified in charter)
2401 Cedar Springs Road
Dallas, TX 75201-1407
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(Address of principal executive offices) (Zip code)
Rodney R. Miller, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
2401 Cedar Springs Road
Dallas, TX 75201-1407
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(Name and address of agent for service)
registrant's telephone number, including area code: 214-720-2142
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2005
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
[AB FUNDS LOGO]
[AB FUNDS TRUST LOGO]
Semi-Annual Report
JUNE 30, 2005
(UNAUDITED)
BLENDED FUNDS:
- FLEXIBLE INCOME FUND
- GROWTH & INCOME FUND
- CAPITAL OPPORTUNITIES FUND
- GLOBAL EQUITY FUND
- FLEXIBLE INCOME FUND I
- GROWTH & INCOME FUND I
- CAPITAL OPPORTUNITIES FUND I
- GLOBAL EQUITY FUND I
SELECT FUNDS:
- MONEY MARKET FUND
- LOW-DURATION BOND FUND
- MEDIUM-DURATION BOND FUND
- EXTENDED-DURATION BOND FUND
- EQUITY INDEX FUND
- VALUE EQUITY FUND
- GROWTH EQUITY FUND
- SMALL CAP EQUITY FUND
- INTERNATIONAL EQUITY FUND
AB Funds Trust
GuideStone Financial Resources of the Southern Baptist Convention ("GuideStone
Financial Resources")
(formerly known as Annuity Board of the Southern Baptist Convention)
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, GuideStone Financial Resources, SBC Financial and SBC
Trust are affiliates of one another. AB Funds Trust, GuideStone Financial
Resources, 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 5
Blended Funds:
Flexible Income 9
Growth & Income 11
Capital Opportunities 13
Global Equity 15
Financial Statements 18
Flexible Income I 24
Growth & Income I 26
Capital Opportunities I 28
Global Equity I 30
Financial Statements 32
Select Funds:
Money Market 37
Low-Duration Bond 41
Medium-Duration Bond 50
Extended-Duration Bond 65
Equity Index 70
Value Equity 77
Growth Equity 86
Small Cap Equity 89
International Equity 98
Financial Statements 108
Notes to Financial Statements 121
Fund Management 141
Proxy Voting 150
</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 provide you with the AB Funds Trust semi-annual report for the
six month period ending June 30, 2005.
At AB Funds Trust, we endeavor to practice our profession in accordance with the
highest standards of integrity, keeping our Fund shareholders' interest at the
forefront at all times and in every situation. The industry has undergone
radical changes over the past three years resulting in new regulations and
policies and procedures designed to help safeguard investors' interest in mutual
funds. The changes that have confronted the industry have impacted in some
regard how investors relate to mutual fund companies. For example, we have
recently implemented exchange limits to address the impact of excessive trading
in our Funds.
We continue an uncompromising commitment to our investors to provide the highest
quality investment management services and products in the industry. These are
lofty objectives that require consistent attention to detail within the multiple
disciplines of investment management and fund operations, including portfolio
management, compliance and proper governance.
Our approach to portfolio management is very strategic and disciplined at its
roots, but it continually calls on us to seek investment strategies that we
believe will be beneficial to our investors. We identify among the entire global
investment industry those investment management sub-adviser firms that we feel
are best qualified to invest on behalf of our investors. These sub-advisers have
continually positioned the Funds to take advantage of the investment
opportunities that lie within each Fund's defined investment set and have
consistently positioned the performance of AB Funds Trust favorably relative to
other fund companies.
We appreciate your continued confidence in AB Funds Trust and will always work
to improve all aspects of the products and services delivered to you -- our
shareholders.
Please watch for exciting news in the coming weeks regarding the new name of our
mutual fund family, GuideStone Funds.
Best Regards,
/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
The financial markets held firm during a relatively quiet second quarter as the
U.S. economy remained on a healthy, albeit modest, growth pattern. During the
quarter, mixed economic data indicated that the rate of economic growth is
stable and inflation, despite rising oil prices, is under control. This led to a
surprisingly strong rally in the bond market during the quarter and began to
sway investor sentiment such that the Federal Reserve's tighter monetary policy
may be in its later phase. However, the presence and continual threat of major
economic and political undercurrents (i.e. high oil prices, huge fiscal and
trade deficits, geopolitical tensions) is confining the stock market within a
relatively narrow range, as it has over the past 18 months.
[BAR CHART]
(1)The S&P 500(R) Index includes 500 of the largest
stocks (in terms of market value) in the United States.
(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-U.S.
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 U.S.
(4)The Lehman Brothers Aggregate Bond Index includes
fixed rate debt issues rated investment grade or higher
by Moody's Investor's Service, Standard and Poor's(R)
Corporation, or Fitch Investor's Service, in that
order.
Both stocks and bonds generally posted positive returns for investors in the
quarter. The S&P 500(R) Index posted a return of 1.37% during the period, led by
small capitalization stocks as evidenced by the Russell 2000(R) Index's
quarterly return of 4.32%. While emerging markets were up strong, a rally in the
U.S. dollar hindered otherwise strong international stock performance. Bond
investors benefited as interest rates moved sharply lower in the intermediate
and long maturity segments of the market. During the quarter, the bond market,
as represented by the Lehman Brothers Aggregate Bond
3
Index returned 3.01%. Long-maturity bonds, which were propelled by the prospects
of moderate economic growth and lower inflation, led all major market segments
during the quarter.
Investors are living in a world of low investment returns that is in sharp
contrast to the robust era of the 1980's and '90's. Despite exceptional returns
in 2003 and 2004, stock investments have provided returns far below historical
averages and only marginally above zero (1.01%, annualized) since the stock
market peak in 2000. The macroeconomic and political backdrop within which the
global economy is operating, along with persistently low interest rates and the
prospects for continued moderate economic growth, both in the U.S. and globally,
may point to continued market conditions that are consistent with a low return
environment for financial assets. For investors seeking wealth accumulation
objectives, a low return environment heightens the important role of savings in
obtaining their financial goals.
4
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 January 1, 2005 to June 30, 2005.
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 ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Flexible Income.................... GS4 Class $1,000.00 $1,004.56 0.13% $0.65
GS6 Class 1,000.00 1,003.18 0.50% 2.48
GS8 Class 1,000.00 1,002.12 0.80% 3.97
Growth & Income.................... GS4 Class 1,000.00 1,013.31 0.13% 0.65
GS6 Class 1,000.00 1,011.33 0.60% 2.99
GS8 Class 1,000.00 1,009.26 0.90% 4.48
Capital Opportunities.............. GS4 Class 1,000.00 1,007.32 0.13% 0.65
GS6 Class 1,000.00 1,003.78 0.70% 3.48
GS8 Class 1,000.00 1,001.89 1.00% 4.96
Global Equity...................... GS4 Class 1,000.00 1,000.65 0.13% 0.64
GS6 Class 1,000.00 998.24 0.57% 2.82
GS8 Class 1,000.00 997.36 0.87% 4.31
Flexible Income I.................. GS2 Class 1,000.00 1,005.82 0.17% 0.85
Growth & Income I.................. GS2 Class 1,000.00 1,014.25 0.17% 0.85
Capital Opportunities I............ GS2 Class 1,000.00 1,008.21 0.17% 0.85
Global Equity I.................... GS2 Class 1,000.00 1,002.28 0.17% 0.84
Money Market....................... GS2 Class 1,000.00 1,012.46 0.27% 1.35
GS4 Class 1,000.00 1,011.54 0.45% 2.24
GS6 Class 1,000.00 1,009.90 0.78% 3.89
GS8 Class 1,000.00 1,007.97 1.17% 5.83
</Table>
5
ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED
<Table>
<Caption>
ACTUAL
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Low-Duration Bond.................. GS2 Class $1,000.00 $1,008.02 0.45% $2.24
GS4 Class 1,000.00 1,006.62 0.61% 3.03
GS6 Class 1,000.00 1,005.72 0.90% 4.48
GS8 Class 1,000.00 1,004.08 1.30% 6.46
Medium-Duration Bond............... GS2 Class 1,000.00 1,025.91 0.50% 2.51
GS4 Class 1,000.00 1,025.43 0.62% 3.11
GS6 Class 1,000.00 1,023.47 0.95% 4.77
GS8 Class 1,000.00 1,021.74 1.35% 6.77
Extended-Duration Bond............. GS2 Class 1,000.00 1,063.35 0.56% 2.86
GS4 Class 1,000.00 1,062.29 0.73% 3.73
GS6 Class 1,000.00 1,060.54 1.08% 5.52
GS8 Class 1,000.00 1,058.90 1.50% 7.66
Equity Index....................... GS2 Class 1,000.00 992.20 0.23% 1.14
GS4 Class 1,000.00 991.51 0.40% 1.98
GS6 Class 1,000.00 991.97 0.51% 2.52
GS8 Class 1,000.00 989.14 0.90% 4.44
Value Equity....................... GS2 Class 1,000.00 1,019.47 0.72% 3.61
GS4 Class 1,000.00 1,017.92 0.89% 4.45
GS6 Class 1,000.00 1,016.90 1.19% 5.95
GS8 Class 1,000.00 1,014.56 1.59% 7.94
Growth Equity...................... GS2 Class 1,000.00 989.31 0.86% 4.24
GS4 Class 1,000.00 987.75 0.98% 4.83
GS6 Class 1,000.00 986.23 1.28% 6.30
GS8 Class 1,000.00 985.23 1.68% 8.27
Small Cap Equity................... GS2 Class 1,000.00 1,001.60 1.10% 5.46
GS4 Class 1,000.00 1,001.22 1.23% 6.10
GS6 Class 1,000.00 1,000.00 1.53% 7.59
GS8 Class 1,000.00 997.57 1.93% 9.56
International Equity............... GS2 Class 1,000.00 999.23 0.96% 4.76
GS4 Class 1,000.00 998.02 1.14% 5.65
GS6 Class 1,000.00 996.88 1.39% 6.88
GS8 Class 1,000.00 994.53 1.79% 8.85
</Table>
<Table>
<Caption>
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Flexible Income.................... GS4 Class $1,000.00 $1,024.15 0.13% $0.65
GS6 Class 1,000.00 1,022.32 0.50% 2.51
GS8 Class 1,000.00 1,020.83 0.80% 4.01
Growth & Income.................... GS4 Class 1,000.00 1,024.15 0.13% 0.65
GS6 Class 1,000.00 1,021.82 0.60% 3.01
GS8 Class 1,000.00 1,020.33 0.90% 4.51
Capital Opportunities.............. GS4 Class 1,000.00 1,024.15 0.13% 0.65
GS6 Class 1,000.00 1,021.32 0.70% 3.51
GS8 Class 1,000.00 1,019.84 1.00% 5.01
</Table>
6
<Table>
<Caption>
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Global Equity...................... GS4 Class $1,000.00 $1,024.15 0.13% $0.65
GS6 Class 1,000.00 1,021.97 0.57% 2.86
GS8 Class 1,000.00 1,020.48 0.87% 4.36
Flexible Income I.................. GS2 Class 1,000.00 1,023.95 0.17% 0.85
Growth & Income I.................. GS2 Class 1,000.00 1,023.95 0.17% 0.85
Capital Opportunities I............ GS2 Class 1,000.00 1,023.95 0.17% 0.85
Global Equity I.................... GS2 Class 1,000.00 1,023.95 0.17% 0.85
Money Market....................... GS2 Class 1,000.00 1,023.46 0.27% 1.35
GS4 Class 1,000.00 1,022.56 0.45% 2.26
GS6 Class 1,000.00 1,020.93 0.78% 3.91
GS8 Class 1,000.00 1,018.99 1.17% 5.86
Low-Duration Bond.................. GS2 Class 1,000.00 1,022.56 0.45% 2.26
GS4 Class 1,000.00 1,021.77 0.61% 3.06
GS6 Class 1,000.00 1,020.33 0.90% 4.51
GS8 Class 1,000.00 1,018.35 1.30% 6.51
Medium-Duration Bond............... GS2 Class 1,000.00 1,022.32 0.50% 2.51
GS4 Class 1,000.00 1,021.72 0.62% 3.11
GS6 Class 1,000.00 1,020.08 0.95% 4.76
GS8 Class 1,000.00 1,018.10 1.35% 6.76
Extended-Duration Bond............. GS2 Class 1,000.00 1,022.02 0.56% 2.81
GS4 Class 1,000.00 1,021.17 0.73% 3.66
GS6 Class 1,000.00 1,019.44 1.08% 5.41
GS8 Class 1,000.00 1,017.36 1.50% 7.50
Equity Index....................... GS2 Class 1,000.00 1,023.65 0.23% 1.15
GS4 Class 1,000.00 1,022.81 0.40% 2.01
GS6 Class 1,000.00 1,022.27 0.51% 2.56
GS8 Class 1,000.00 1,020.33 0.90% 4.51
Value Equity....................... GS2 Class 1,000.00 1,021.22 0.72% 3.61
GS4 Class 1,000.00 1,020.38 0.89% 4.46
GS6 Class 1,000.00 1,018.89 1.19% 5.96
GS8 Class 1,000.00 1,016.91 1.59% 7.95
Growth Equity...................... GS2 Class 1,000.00 1,020.53 0.86% 4.31
GS4 Class 1,000.00 1,019.93 0.98% 4.91
GS6 Class 1,000.00 1,018.45 1.28% 6.41
GS8 Class 1,000.00 1,016.46 1.68% 8.40
Small Cap Equity................... GS2 Class 1,000.00 1,019.34 1.10% 5.51
GS4 Class 1,000.00 1,018.70 1.23% 6.16
GS6 Class 1,000.00 1,017.21 1.53% 7.65
GS8 Class 1,000.00 1,015.22 1.93% 9.64
International Equity............... GS2 Class 1,000.00 1,020.03 0.96% 4.81
GS4 Class 1,000.00 1,019.14 1.14% 5.71
GS6 Class 1,000.00 1,017.90 1.39% 6.95
GS8 Class 1,000.00 1,015.92 1.79% 8.95
</Table>
7
ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED
Because the expense caps for each Class of the Small Cap Equity Fund and the GS6
Class of each of the Select Funds were changed during the six-month period ended
June 30, 2005 (see Note 3c in the Notes to Financial Statements), the following
table reflects the expenses that would have been incurred assuming the new
expense cap was in effect for the entire period.
<Table>
<Caption>
ACTUAL
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Money Market....................... GS6 Class $1,000.00 $1,009.00 0.87% $4.33
Low-Duration Bond.................. GS6 Class 1,000.00 1,004.80 1.00% 4.97
Medium-Duration Bond............... GS6 Class 1,000.00 1,022.60 1.05% 5.27
Extended-Duration Bond............. GS6 Class 1,000.00 1,059.60 1.20% 6.13
Equity Index....................... GS6 Class 1,000.00 991.10 0.60% 2.96
Value Equity....................... GS6 Class 1,000.00 1,016.00 1.30% 6.50
Growth Equity...................... GS6 Class 1,000.00 985.30 1.39% 6.84
Small Cap Equity................... GS4 Class 1,000.00 1,001.47 1.21% 6.00
GS6 Class 1,000.00 999.37 1.61% 7.98
GS8 Class 1,000.00 997.87 1.91% 9.46
International Equity............... GS6 Class 1,000.00 996.00 1.50% 7.42
</Table>
<Table>
<Caption>
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
- ---------------------------------------------------------------------------------------------------------
BEGINNING ENDING ANNUALIZED EXPENSES
ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING
FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2)
---- ----- ------------- ------------- ---------- -----------
Money Market....................... GS6 Class $1,000.00 $1,020.48 0.87% $4.36
Low-Duration Bond.................. GS6 Class 1,000.00 1,019.84 1.00% 5.01
Medium-Duration Bond............... GS6 Class 1,000.00 1,019.59 1.05% 5.26
Extended-Duration Bond............. GS6 Class 1,000.00 1,018.84 1.20% 6.01
Equity Index....................... GS6 Class 1,000.00 1,021.82 0.60% 3.01
Value Equity....................... GS6 Class 1,000.00 1,018.35 1.30% 6.51
Growth Equity...................... GS6 Class 1,000.00 1,017.90 1.39% 6.95
Small Cap Equity(3)................ GS4 Class 1,000.00 1,018.79 1.21% 6.06
GS6 Class 1,000.00 1,016.81 1.61% 8.05
GS8 Class 1,000.00 1,015.32 1.91% 9.54
International Equity............... GS6 Class 1,000.00 1,017.36 1.50% 7.50
</Table>
(1) 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 tables above.
(2) Expenses are equal to the Fund's annualized expense ratios for the period
January 1, 2005 through June 30, 2005, multiplied by the average account
value over the period, multiplied by 181/365 (to reflect the one-half year
period).
(3) The GS2 Class was operating below both the old and new expense cap during
the six-month period ended June 30, 2005. Therefore, the expense cap change
had no impact to that Class' ongoing costs.
8
FLEXIBLE INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 3.80% 3.53% 3.95% N/A N/A
Since Inception 3.63% 3.40% 3.71% 1.78%(1) 2.16%(1)
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9940 9926
Sep 2001 9789 9818
9947 9948
10068 10105
Dec 2001 10079 10142
10072 10107
10079 10109
Mar 2002 10133 10175
10133 10162
10156 10177
Jun 2002 10033 10075
9842 9956
9911 9990
Sep 2002 9719 9789
9880 9986
10018 10107
Dec 2002 9968 10050
9920 9981
9920 9968
Mar 2003 9944 9990
10153 10216
10362 10401
Jun 2003 10419 10456
10410 10476
10491 10544
Sep 2003 10563 10611
10692 10745
10724 10783
Dec 2003 10898 10973
10973 11044
11066 11128
Mar 2004 11082 11133
10957 10988
10982 11012
Jun 2004 11049 11067
10973 10998
11032 11069
Sep 2004 11099 11115
11166 11198
11297 11302
Dec 2004 11416 11425
11321 11352
11373 11414
Mar 2005 11321 11359
11312 11342
11433 11460
Jun 2005 11468 11504
</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.
- ---------------
(1) Non-annualized.
9
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity Index Fund
(GS4 Class)(inf) 211,855 $ 3,438,411
AB Funds Trust -- Growth Equity Fund
(GS4 Class)(inf) 1,254,238 20,230,867
AB Funds Trust -- International Equity
Fund (GS4 Class)(inf) 1,037,120 15,733,110
AB Funds Trust -- Low-Duration Bond
Fund (GS4 Class)(inf) 15,186,795 194,542,837
AB Funds Trust -- Money Market Fund
(GS4 Class)(inf) 2,361,438 2,361,438
AB Funds Trust -- Small Cap Equity
Fund (GS4 Class)(inf) 304,086 5,017,418
AB Funds Trust -- Value Equity Fund
(GS4 Class)(inf) 1,184,160 21,243,830
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $219,169,019) 262,567,911
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 90,000 89,919
U.S. Treasury Note
3.13%, 05/15/07 2,550,000 2,526,693
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,623,359) 2,616,612
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $221,792,378) 265,184,523
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.0% 25,973
------------
NET ASSETS -- 100.0% $265,210,496
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 73.4
Domestic Equity Funds 18.8
Futures Contracts 0.3
International Equity Funds 5.9
Money Market Funds 0.9
U.S. Treasury Obligations 1.0
------
100.3
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
10
GROWTH & INCOME FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 8.92% 8.45% 8.65% N/A N/A
Since Inception 5.65% 5.34% 5.62% 4.46%(1) 4.55%(1)
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9854 9843
Sep 2001 9410 9443
9643 9657
9920 9923
Dec 2001 9953 9960
9901 9899
9901 9881
Mar 2002 10049 10028
9953 9938
9960 9951
Jun 2002 9664 9673
9234 9324
9345 9419
Sep 2002 8916 8999
9160 9306
9442 9571
Dec 2002 9319 9430
9216 9305
9201 9288
Mar 2003 9216 9296
9642 9731
10044 10118
Jun 2003 10131 10195
10092 10145
10265 10301
Sep 2003 10375 10433
10651 10706
10738 10803
Dec 2003 11070 11148
11218 11302
11359 11457
Mar 2004 11384 11458
11136 11174
11185 11215
Jun 2004 11342 11360
11194 11214
11318 11350
Sep 2004 11474 11477
11615 11646
11913 11905
Dec 2004 12192 12183
12055 12074
12175 12213
Mar 2005 12029 12062
11995 12006
12260 12248
Jun 2005 12354 12342
</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.
- ---------------
(1) Non-annualized.
11
GROWTH & INCOME FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ----------- --------------
AFFILIATED MUTUAL FUNDS -- 98.9%
AB Funds Trust -- Equity
Index Fund (GS4
Class)(inf) 1,785,375 $ 28,976,633
AB Funds Trust -- Extended-
Duration Bond Fund (GS4
Class)(inf) 7,799,386 121,436,448
AB Funds Trust -- Growth
Equity Fund (GS4
Class)(inf) 10,935,597 176,391,176
AB Funds Trust --
International Equity Fund
(GS4 Class)(inf) 10,332,486 156,743,816
AB Funds Trust -- Low-
Duration Bond Fund (GS4
Class)(inf) 13,701,277 175,513,354
AB Funds Trust -- Medium-
Duration Bond Fund (GS4
Class)(inf) 20,877,766 288,321,954
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 17,519,184 17,519,184
AB Funds Trust -- Small Cap
Equity Fund (GS4
Class)(inf) 2,803,418 46,256,398
AB Funds Trust -- Value
Equity Fund (GS4
Class)(inf) 9,979,006 179,023,369
--------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $987,963,221) 1,190,182,332
--------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 805,000 804,275
U.S. Treasury Note
5.75%, 08/15/10 11,875,000 12,982,261
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $13,591,408) 13,786,536
--------------
TOTAL INVESTMENTS -- 100.0%
(Cost $1,001,554,629) 1,203,968,868
LIABILITIES IN EXCESS OF
OTHER ASSETS -- 0.0% (356,792)
--------------
NET ASSETS -- 100.0% $1,203,612,076
==============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 48.6
Domestic Equity Funds 35.8
Futures Contracts 1.0
International Equity Funds 13.0
Money Market Funds 1.5
U.S. Treasury Obligations 1.1
------
101.0
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
12
CAPITAL OPPORTUNITIES FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 9.60% 9.09% 9.42% N/A N/A
Since Inception 5.17% 4.79% 5.15% 4.93%(1) 5.21%(1)
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9759 9736
Sep 2001 9081 9087
9314 9301
9759 9751
Dec 2001 9832 9836
9714 9707
9663 9632
Mar 2002 9972 9927
9751 9695
9722 9671
Jun 2002 9288 9222
8655 8668
8722 8728
Sep 2002 8067 8073
8435 8506
8802 8871
Dec 2002 8530 8582
8362 8409
8278 8328
Mar 2003 8300 8343
8820 8893
9293 9341
Jun 2003 9415 9455
9515 9545
9721 9733
Sep 2003 9736 9790
10164 10219
10255 10346
Dec 2003 10682 10787
10846 10968
11003 11133
Mar 2004 11003 11092
10783 10824
10870 10906
Jun 2004 11074 11087
10807 10818
10878 10910
Sep 2004 11082 11078
11238 11276
11693 11695
Dec 2004 12049 12051
11808 11850
12009 12089
Mar 2005 11824 11896
11704 11734
12041 12026
Jun 2005 12137 12132
</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.
- ---------------
(1) Non-annualized.
13
CAPITAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 99.5%
AB Funds Trust -- Equity Index Fund
(GS4 Class)(inf) 2,202,521 $ 35,746,910
AB Funds Trust -- Extended-Duration
Bond Fund (GS4 Class)(inf) 3,314,507 51,606,881
AB Funds Trust -- Growth Equity Fund
(GS4 Class)(inf) 14,072,271 226,985,726
AB Funds Trust -- International Equity
Fund (GS4 Class)(inf) 12,553,460 190,435,985
AB Funds Trust -- Low-Duration Bond
Fund (GS4 Class)(inf) 5,752,426 73,688,573
AB Funds Trust -- Medium-Duration Bond
Fund (GS4 Class)(inf) 8,394,146 115,923,151
AB Funds Trust -- Money Market Fund
(GS4 Class)(inf) 15,474,305 15,474,305
AB Funds Trust -- Small Cap Equity
Fund (GS4 Class)(inf) 3,492,818 57,631,490
AB Funds Trust -- Value Equity Fund
(GS4 Class)(inf) 12,391,229 222,298,650
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $810,121,364) 989,791,671
------------
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 910,000 909,181
U.S. Treasury Note 5.75%, 08/15/10 3,550,000 3,881,012
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,731,021) 4,790,193
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $814,852,385) 994,581,864
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.0% 23,921
------------
NET ASSETS -- 100.0% $994,605,785
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 24.2
Domestic Equity Funds 54.6
Futures Contracts 1.1
International Equity Funds 19.1
Money Market Funds 1.6
U.S. Treasury Obligations 0.5
------
101.1
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
14
GLOBAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ----------- ---------- ---------------------
One Year 10.29% 9.80% 10.13% N/A N/A
Since Inception 4.48% 4.23% 4.50% 5.66%(1) 6.14%(1)
Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9654 9629
Sep 2001 8747 8736
8968 8950
9587 9569
Dec 2001 9704 9701
9527 9505
9424 9376
Mar 2002 9896 9811
9542 9440
9475 9381
Jun 2002 8899 8773
8080 8036
8109 8064
Sep 2002 7252 7214
7732 7742
8161 8186
Dec 2002 7760 7772
7543 7561
7394 7429
Mar 2003 7424 7451
8021 8085
8536 8578
Jun 2003 8685 8723
8909 8930
9140 9145
Sep 2003 9073 9134
9632 9696
9729 9849
Dec 2003 10241 10375
10422 10578
10587 10752
Mar 2004 10557 10672
10362 10421
10489 10541
Jun 2004 10730 10754
10362 10370
10392 10422
Sep 2004 10632 10626
10805 10849
11407 11415
Dec 2004 11826 11842
11492 11554
11765 11887
Mar 2005 11545 11654
11339 11389
11735 11728
Jun 2005 11834 11844
</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.
- ---------------
(1) Non-annualized.
15
GLOBAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
------------- ----------- ------------
AFFILIATED MUTUAL FUNDS -- 99.7%
AB Funds Trust -- Equity
Index Fund (GS4 Class)(inf) 2,811,405 $ 45,629,110
AB Funds Trust -- Growth
Equity Fund (GS4
Class)(inf) 16,794,945 270,902,459
AB Funds
Trust -- International
Equity Fund (GS4
Class)(inf) 14,490,841 219,826,063
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 12,653,344 12,653,344
AB Funds Trust -- Small Cap
Equity Fund (GS4
Class)(inf) 4,115,739 67,909,687
AB Funds Trust -- Value
Equity Fund (GS4
Class)(inf) 14,881,356 266,971,526
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $704,697,763) 883,892,189
------------
</Table>
<Table>
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $1,293,688) $ 1,295,000 1,293,834
------------
TOTAL INVESTMENTS -- 99.9%
(Cost $705,991,451) 885,186,023
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.1% 1,157,977
------------
NET ASSETS -- 100.0% $886,344,000
============
</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 73.5
Futures Contracts 1.0
International Equity Funds 24.8
Money Market Funds 1.4
U.S. Treasury Obligations 0.2
------
100.9
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
16
(This page intentionally left blank)
17
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
JUNE 30, 2005 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- ------------- ------------ -------------- ------------------ ------------
ASSETS
Investments in securities of affiliated issuers at
value $262,567,911 $1,190,182,332 $989,791,671 $883,892,189
Investments in securities of unaffiliated issuers
at value 2,616,612 13,786,536 4,790,193 1,293,834
------------ -------------- ------------ ------------
Total investments (1) 265,184,523 1,203,968,868 994,581,864 885,186,023
Receivables:
Dividends 4,783 36,862 32,943 30,777
Interest 10,235 256,506 76,686 --
Investment securities sold -- 35,000,000 2,500,000 2,500,000
Fund shares sold 42,124 1,519,442 161,300 1,402,579
Prepaid expenses and other assets 27,367 26,080 28,912 27,660
------------ -------------- ------------ ------------
Total Assets 265,269,032 1,240,807,758 997,381,705 889,147,039
------------ -------------- ------------ ------------
LIABILITIES
Payables:
Investment securities purchased -- 2,000,000 2,500,000 2,500,000
Fund shares redeemed -- 34,951,849 72,318 122,802
Variation margin 5,550 77,700 70,300 57,350
Accrued expenses:
Advisory fee payable 12,335 101,227 79,259 69,723
Distribution fee payable 2,229 2,379 1,880 2,396
Shareholder servicing fee payable 1,950 2,102 1,549 2,113
Other accrued expenses payable 36,472 60,425 50,614 48,655
------------ -------------- ------------ ------------
Total Liabilities 58,536 37,195,682 2,775,920 2,803,039
------------ -------------- ------------ ------------
NET ASSETS $265,210,496 $1,203,612,076 $994,605,785 $886,344,000
============ ============== ============ ============
NET ASSETS CONSIST OF:
Paid-in-capital $212,321,710 $ 944,395,569 $780,706,312 $676,214,722
Undistributed net investment income 2,195,762 8,555,588 4,202,499 1,595,030
Accumulated net realized gain on investments 7,309,972 48,373,832 30,056,311 29,404,800
Net unrealized appreciation (depreciation) on
investments and futures transactions 43,383,052 202,287,087 179,640,663 179,129,448
------------ -------------- ------------ ------------
NET ASSETS $265,210,496 $1,203,612,076 $994,605,785 $886,344,000
============ ============== ============ ============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS4 Class $248,276,443 $1,185,123,486 $982,283,491 $867,877,754
------------ -------------- ------------ ------------
GS4 shares outstanding 18,749,769 81,957,853 64,891,187 55,773,063
------------ -------------- ------------ ------------
Net asset value, offering price and redemption
price per GS4 share $ 13.24 $ 14.46 $ 15.14 $ 15.56
============ ============== ============ ============
Net assets applicable to the GS6 Class $ 11,847,825 $ 13,260,320 $ 7,070,952 $ 13,184,743
------------ -------------- ------------ ------------
GS6 shares outstanding 1,254,384 1,350,472 666,407 1,163,212
------------ -------------- ------------ ------------
Net asset value, offering and redemption price per
GS6 share $ 9.45 $ 9.82 $ 10.61 $ 11.33
============ ============== ============ ============
Net assets applicable to the GS8 Class $ 5,086,228 $ 5,228,270 $ 5,251,342 $ 5,281,503
------------ -------------- ------------ ------------
GS8 shares outstanding 539,068 533,073 495,830 466,683
------------ -------------- ------------ ------------
Net asset value, offering and redemption price per
GS8 share $ 9.44 $ 9.81 $ 10.59 $ 11.32
============ ============== ============ ============
- ---------------
(1) Investments in securities of affiliated issuers
at cost $219,169,019 $ 987,963,221 $810,121,364 $704,697,763
Investments in securities of unaffiliated issuers
at cost 2,623,359 13,591,408 4,731,021 1,293,688
------------ -------------- ------------ ------------
Total investments at cost $221,792,378 $1,001,554,629 $814,852,385 $705,991,451
============ ============== ============ ============
</Table>
See Notes to Financial Statements.
18
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE SIX MONTHS ENDED JUNE 30, 2005 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND
- -------------------------------------- ----------- ------------ ------------------ ------------
INVESTMENT INCOME
Income distributions received from affiliated
funds $ 2,359,178 $ 9,191,421 $ 4,896,203 $ 2,182,713
Interest 42,366 192,346 77,291 16,302
----------- ------------ ------------ ------------
Total Investment Income 2,401,544 9,383,767 4,973,494 2,199,015
----------- ------------ ------------ ------------
EXPENSES
Investment advisory fees 131,762 606,034 488,802 436,631
Transfer agent fees
GS4 shares 17,077 23,182 20,539 20,161
GS6 shares 5,977 11,891 8,374 7,820
GS8 shares 5,282 5,037 5,189 5,233
Custodian fees 5,733 13,746 12,029 10,425
Distribution fees:
GS6 shares 5,828 6,463 3,447 6,426
GS8 shares 7,520 7,653 7,689 7,738
Shareholder servicing fees:
GS6 shares 6,411 7,109 3,792 7,069
GS8 shares 5,258 5,349 5,377 5,410
Accounting and administration fees 40,316 99,869 88,125 82,810
Professional fees 20,099 20,099 20,099 20,099
Blue sky fees
GS4 shares 4,221 5,654 4,246 4,371
GS6 shares 8,024 8,641 7,947 8,087
GS8 shares 5,908 6,566 5,959 6,113
Shareholder reporting fees
GS4 shares 7,355 17,955 12,798 11,203
GS6 shares 14 14 14 19
GS8 shares 14 14 14 14
Trustee fees 703 3,086 2,482 2,226
Line of credit facility fees 703 3,086 2,482 2,695
Other expenses 7,261 8,263 7,961 7,858
----------- ------------ ------------ ------------
Total Expenses 285,466 859,711 707,365 652,408
Expenses waived (See Footnote 3c) (77,440) (31,029) (36,674) (43,700)
Fees paid indirectly (376) (352) (302) (195)
----------- ------------ ------------ ------------
Net expenses 207,650 828,330 670,389 608,513
----------- ------------ ------------ ------------
NET INVESTMENT INCOME 2,193,894 8,555,437 4,303,105 1,590,502
----------- ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investment securities of
affiliated issuers 6,054,314 30,089,143 23,085,408 25,435,213
Net realized gain (loss) on investment securities
of unaffiliated issuers (17,655) 8,232,480 266,928 310,122
Net realized gain on futures transactions 24,143 86,572 43,168 42,633
----------- ------------ ------------ ------------
Net realized gain 6,060,802 38,408,195 23,395,504 25,787,968
----------- ------------ ------------ ------------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated issuers (7,109,422) (31,250,578) (21,118,558) (26,822,834)
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated issuers (6,878) 256,524 55,878 22
Change in net unrealized appreciation
(depreciation) on futures transactions (28,950) (363,493) (388,434) (348,405)
----------- ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) (7,145,250) (31,357,547) (21,451,114) (27,171,217)
----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (1,084,448) 7,050,648 1,944,390 (1,383,249)
----------- ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,109,446 $ 15,606,085 $ 6,247,495 $ 207,253
=========== ============ ============ ============
</Table>
See Notes to Financial Statements.
19
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND GROWTH & INCOME FUND
----------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04
------------ -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 2,193,894 $ 4,442,425 $ 8,555,437 $ 22,567,484
Net realized gain on investment securities
and futures transactions 6,060,802 2,765,368 38,408,195 20,647,833
Net change in unrealized appreciation
(depreciation) on investment securities
and futures transactions (7,145,250) 5,788,623 (31,357,547) 74,730,812
------------ ------------ -------------- --------------
Net increase in net assets resulting from
operations 1,109,446 12,996,416 15,606,085 117,946,129
------------ ------------ -------------- --------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT
INCOME
GS4 shares (1) (6,071,685) (19) (25,716,823)
GS6 shares -- (501,693) -- (502,343)
GS8 shares -- (67,733) -- (83,573)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
CAPITAL GAINS
GS4 shares -- (2,610,188) -- (17,361,990)
GS6 shares -- (158,099) -- (257,791)
GS8 shares -- (67,996) -- (101,694)
------------ ------------ -------------- --------------
Total dividends and distributions (1) (9,477,394) (19) (44,024,214)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS (23,706,548) 10,786,400 (114,267,980) 85,621,629
------------ ------------ -------------- --------------
Total increase (decrease) in net assets (22,597,103) 14,305,422 (98,661,914) 159,543,544
------------ ------------ -------------- --------------
NET ASSETS:
Beginning of the Period 287,807,599 273,502,177 1,302,273,990 1,142,730,446
------------ ------------ -------------- --------------
End of the Period $265,210,496 $287,807,599 $1,203,612,076 $1,302,273,990
============ ============ ============== ==============
</Table>
See Notes to Financial Statements.
20
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND
------------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04
-------------- -------------- -------------- --------------
(UNAUDITED) (UNAUDITED)
$ 4,303,105 $ 12,600,561 $ 1,590,502 $ 6,566,473
23,395,504 12,650,343 25,787,968 8,717,411
(21,451,114) 93,256,334 (27,171,217) 111,931,107
-------------- -------------- ------------ ------------
6,247,495 118,507,238 207,253 127,214,991
-------------- -------------- ------------ ------------
(16) (13,922,864) -- (6,887,129)
-- (156,894) -- (123,145)
-- (50,485) -- (19,437)
-- (8,449,675) -- (4,836,704)
-- (80,682) -- (93,170)
-- (59,990) -- (37,396)
-------------- -------------- ------------ ------------
(16) (22,720,590) -- (11,996,981)
-------------- -------------- ------------ ------------
(67,543,175) 46,508,323 (69,095,033) 20,633,510
-------------- -------------- ------------ ------------
(61,295,696) 142,294,971 (68,887,780) 135,851,520
-------------- -------------- ------------ ------------
1,055,901,481 913,606,510 955,231,780 819,380,260
-------------- -------------- ------------ ------------
$ 994,605,785 $1,055,901,481 $886,344,000 $955,231,780
============== ============== ============ ============
</Table>
See Notes to Financial Statements.
21
FINANCIAL HIGHLIGHTS (UNAUDITED)
<Table>
<Caption>
CAPITAL GAIN REALIZED
DISTRIBUTIONS AND DISTRIBUTIONS
NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET
VALUE, FROM GAIN FROM NET REALIZED VALUE,
BEGINNING NET INVESTMENT AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF
OF PERIOD INCOME(1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD
FLEXIBLE INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) $13.18 $0.12 $ -- $(0.06) $ -- $ -- $13.24
2004 13.00 0.21# 0.04 0.37 (0.31) (0.13) 13.18
2003 12.40 0.31 0.02 0.82 (0.22) (0.33) 13.00
2002 13.15 0.38 0.10 (0.62) (0.44) (0.17) 12.40
2001 (6) 13.29 0.17 0.06 (0.12) (0.22) (0.03) 13.15
GS6 CLASS
2005 (8) $ 9.42 $0.07 $ -- $(0.04) $ -- $ -- $ 9.45
2004 9.41 0.11# 0.04 0.27 (0.28) (0.13) 9.42
2003 9.12 0.21 0.02 0.59 (0.20) (0.33) 9.41
2002 9.83 0.23 0.10 (0.45) (0.42) (0.17) 9.12
2001 (6) 10.00 0.10 0.06 (0.08) (0.22) (0.03) 9.83
GS8 CLASS
2005 (8) $ 9.42 $0.04 $ -- $(0.02) $ -- $ -- $ 9.44
2004 (7) 9.53 0.06# 0.04 0.05 (0.13) (0.13) 9.42
GROWTH & INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) $14.27 $0.10 $ -- $ 0.09 $ -- $ -- $14.46
2004 13.41 0.26# 0.11 0.99 (0.30) (0.20) 14.27
2003 11.82 0.29 0.15 1.78 (0.36) (0.27) 13.41
2002 13.44 0.36 0.12 (1.33) (0.42) (0.35) 11.82
2001 (6) 13.74 0.14 0.06 (0.27) (0.19) (0.04) 13.44
GS6 CLASS
2005 (8) $ 9.71 $0.05 $ -- $ 0.06 $ -- $ -- $ 9.82
2004 9.28 0.12# 0.11 0.66 (0.26) (0.20) 9.71
2003 8.34 0.16 0.15 1.23 (0.33) (0.27) 9.28
2002 9.72 0.21 0.12 (0.96) (0.40) (0.35) 8.34
2001 (6) 10.00 0.07 0.06 (0.18) (0.19) (0.04) 9.72
GS8 CLASS
2005 (8) $ 9.72 $0.03 $ -- $ 0.06 $ -- $ -- $ 9.81
2004 (7) 9.74 0.07# 0.11 0.16 (0.16) (0.20) 9.72
<Caption>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS EXCLUDING
INCLUDING AND INVESTMENT WAIVERS AND
EXPENSE EXPENSE INCOME, EXPENSE PORTFOLIO
TOTAL NET ASSETS, END EXPENSES, REDUCTION REDUCTION NET REDUCTION TURNOVER
RETURN (2) OF PERIOD (000) NET (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2)
FLEXIBLE INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) 0.46% $ 248,276 0.13% 0.13% 0.18% 1.71% 1.66% 3.19%
2004 4.76 270,913 0.13 0.13 0.17 1.60 1.56 10.98
2003 9.33 253,828 0.13 0.13 0.20 2.01 1.94 13.44
2002 (1.10) 263,646 0.13 0.13 0.17 2.86 2.82 13.56
2001 (6) 0.79 286,628 0.13 0.13 0.18 3.67 3.62 4.02
GS6 CLASS
2005 (8) 0.32% $ 11,848 0.50% 0.50% 0.61% 1.34% 1.23% 3.19%
2004 4.52 11,815 0.36 0.36 0.45 1.14 1.05 10.98
2003 9.06 19,674 0.35 0.35 0.46 1.90 1.79 13.44
2002 (1.27) 16,234 0.32 0.32 0.43 2.82 2.71 13.56
2001 (6) 0.72 325 0.48 0.48 66.47 6.69 (59.30) 4.02
GS8 CLASS
2005 (8) 0.21% $ 5,086 0.80% 0.80% 1.12% 1.04% 0.72% 3.19%
2004 (7) 1.56 5,080 0.45 0.45 1.03 4.43 3.85 10.98
GROWTH & INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) 1.33% $1,185,123 0.13% 0.13% 0.13% 1.44% 1.44% 4.03%
2004 10.13 1,283,982 0.13 0.13 0.13 1.90 1.90 6.12
2003 18.79 1,120,080 0.13 0.13 0.13 2.22 2.22 10.38
2002 (6.37) 1,019,700 0.13 0.13 0.13 2.68 2.68 12.04
2001 (6) (0.47) 1,156,044 0.13 0.13 0.17 2.87 2.83 4.27
GS6 CLASS
2005 (8) 1.13% $ 13,260 0.60% 0.60% 0.65% 0.96% 0.91% 4.03%
2004 9.66 13,118 0.46 0.46 0.52 1.28 1.22 6.12
2003 18.52 22,650 0.45 0.45 0.54 2.00 1.91 10.38
2002 (6.59) 17,009 0.37 0.37 0.45 2.64 2.56 12.04
2001 (6) (0.52) 1,334 0.48 0.48 6.53 4.44 (1.61) 4.27
GS8 CLASS
2005 (8) 0.93% $ 5,228 0.90% 0.90% 1.09% 0.66% 0.47% 4.03%
2004 (7) 3.50 5,174 0.61 0.61 1.13 4.84 4.32 6.12
</Table>
- ---------------
# 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.
(6) Inception date was August 27, 2001.
(7) Inception date was November 8, 2004.
(8) For the six months ended June 30, 2005.
See Notes to Financial Statements.
22
<Table>
<Caption>
CAPITAL GAIN REALIZED
DISTRIBUTIONS AND DISTRIBUTIONS
NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET
VALUE, NET INVESTMENT FROM GAIN FROM NET REALIZED VALUE,
BEGINNING INCOME/ AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF
OF PERIOD (LOSS) (1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD
CAPITAL OPPORTUNITIES FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) $15.03 $ 0.07 $ -- $ 0.04 $ -- $ -- $15.14
2004 13.62 0.19# 0.08 1.47 (0.21) (0.12) 15.03
2003 11.17 0.19 0.07 2.56 (0.23) (0.14) 13.62
2002 13.37 0.22 0.06 (2.05) (0.24) (0.19) 11.17
2001 (6) 13.71 0.08 0.03 (0.34) (0.11) --+ 13.37
GS6 CLASS
2005 (8) $10.57 $ 0.02 $ -- $ 0.02 $ -- $ -- $10.61
2004 9.67 0.07# 0.08 1.03 (0.16) (0.12) 10.57
2003 8.01 0.11 0.07 1.82 (0.20) (0.14) 9.67
2002 9.73 0.12 0.06 (1.50) (0.21) (0.19) 8.01
2001 (6) 10.00 0.03 0.03 (0.22) (0.11) --+ 9.73
GS8 CLASS
2005 (8) $10.56 $ --+ $ -- $ 0.03 $ -- $ -- $10.59
2004 (7) 10.31 0.04# 0.08 0.35 (0.10) (0.12) 10.56
GLOBAL EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) $15.55 $ 0.03 $ -- $(0.02) $ -- $ -- $15.56
2004 13.64 0.11# 0.04 1.96 (0.12) (0.08) 15.55
2003 10.40 0.10 -- 3.23 (0.09) -- 13.64
2002 13.14 0.08 --+ (2.71) (0.08) (0.03) 10.40
2001 (6) 13.57 0.03 -- (0.43) (0.03) --+ 13.14
GS6 CLASS
2005 (8) $11.35 $ --+ $ -- $(0.02) $ -- $ -- $11.33
2004 10.00 0.04# 0.04 1.43 (0.08) (0.08) 11.35
2003 7.65 0.05 -- 2.36 (0.06) -- 10.00
2002 9.70 0.04 --+ (2.00) (0.06) (0.03) 7.65
2001 (6) 10.00 0.02 -- (0.29) (0.03) --+ 9.70
GS8 CLASS
2005 (8) $11.35 $(0.02) $ -- $(0.01) $ -- $ -- $11.32
2004 (7) 10.83 0.03# 0.04 0.57 (0.04) (0.08) 11.35
<Caption>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS INVESTMENT EXCLUDING
INCLUDING AND INCOME/ WAIVERS AND
EXPENSE EXPENSE (LOSS), EXPENSE PORTFOLIO
TOTAL NET ASSETS, END EXPENSES, REDUCTION REDUCTION NET REDUCTION TURNOVER
RETURN (2) OF PERIOD (000) NET (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2)
CAPITAL OPPORTUNITIES
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) 0.73% $ 982,283 0.13% 0.13% 0.14% 0.90% 0.89% 3.43%
2004 12.80 1,043,625 0.13 0.13 0.13 1.33 1.33 3.47
2003 25.23 900,021 0.13 0.13 0.14 1.54 1.53 7.75
2002 (13.25) 745,968 0.13 0.13 0.14 1.72 1.71 10.33
2001 (6) (1.68) 883,648 0.13 0.13 0.17 1.76 1.72 3.42
GS6 CLASS
2005 (8) 0.38% $ 7,071 0.70% 0.70% 0.81% 0.33% 0.22% 3.43%
2004 12.28 7,042 0.56 0.56 0.61 0.66 0.61 3.47
2003 24.93 13,585 0.52 0.52 0.62 1.20 1.10 7.75
2002 (13.56) 9,859 0.42 0.42 0.55 1.54 1.41 10.33
2001 (6) (1.64) 331 0.48 0.48 43.03 3.87 (38.68) 3.42
GS8 CLASS
2005 (8) 0.19% $ 5,251 1.00% 1.00% 1.07% 0.03% (0.04)% 3.43%
2004 (7) 4.63 5,234 1.00 1.00 1.06 2.93 2.87 3.47
GLOBAL EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------
GS4 CLASS
2005 (8) 0.07% $ 867,878 0.13% 0.13% 0.14% 0.38% 0.37% 3.06%
2004 15.47 936,734 0.13 0.13 0.13 0.77 0.77 2.37
2003 31.99 801,407 0.13 0.13 0.14 0.82 0.81 4.17
2002 (20.04) 616,043 0.13 0.13 0.14 0.68 0.67 6.33
2001 (6) (2.96) 810,507 0.13 0.13 0.17 0.61 0.57 2.70
GS6 CLASS
2005 (8) (0.18)% $ 13,185 0.57% 0.57% 0.59% (0.06)% (0.08)% 3.06%
2004 15.17 13,202 0.44 0.44 0.50 0.37 0.31 2.37
2003 31.53 17,973 0.43 0.43 0.48 0.53 0.48 4.17
2002 (20.25) 12,805 0.35 0.35 0.44 0.53 0.44 6.33
2001 (6) (2.75) 207 0.48 0.48 66.34 1.57 (64.29) 2.70
GS8 CLASS
2005 (8) (0.26)% $ 5,282 0.87% 0.87% 1.08% (0.36)% (0.57)% 3.06%
2004 (7) 5.94 5,296 0.87 0.87 1.04 1.64 1.47 2.37
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# 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.
(6) Inception date was August 27, 2001.
(7) Inception date was November 8, 2004.
(8) For the six months ended June 30, 2005.
See Notes to Financial Statements.
23
FLEXIBLE INCOME FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 3.87% 3.95%
Since Inception 4.89% 4.89%
Inception Date 07/01/03 07/01/03
</Table>
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.guidestone.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
9970 10019
10050 10084
Sep 2003 10120 10148
10230 10276
10270 10312
Dec 2003 10440 10494
10511 10562
10592 10643
Mar 2004 10613 10647
10511 10508
10532 10531
Jun 2004 10592 10584
10521 10518
10572 10586
Sep 2004 10633 10630
10704 10710
10831 10809
Dec 2004 10939 10927
10864 10857
10907 10916
Mar 2005 10854 10863
10854 10847
10960 10960
Jun 2005 11002 11002
</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.
24
FLEXIBLE INCOME FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- --------- -----------
AFFILIATED MUTUAL FUNDS -- 99.0%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 69,891 $ 670,250
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 388,052 3,950,372
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 237,723 3,071,376
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 4,113,824 38,011,736
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 549,283 549,283
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 78,131 978,983
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 359,896 4,149,604
-----------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $51,272,082) 51,381,604
-----------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 20,000 19,982
U.S. Treasury Note
3.13%, 05/15/07 530,000 525,156
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $546,540) 545,138
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $51,818,622) 51,926,742
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.0% 351
-----------
NET ASSETS -- 100.0% $51,927,093
===========
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 73.2
Domestic Equity Funds 18.8
Futures Contracts 0.3
International Equity Funds 5.9
Money Market Funds 1.1
U.S. Treasury Obligations 1.0
------
100.3
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
25
GROWTH & INCOME FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 9.06% 8.65%
Since Inception 10.37% 10.03%
Inception Date 07/01/03 07/01/03
</Table>
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.guidestone.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
9930 9951
10100 10104
Sep 2003 10200 10234
10480 10501
10570 10597
Dec 2003 10893 10935
11037 11086
11181 11238
Mar 2004 11211 11239
10965 10961
11017 11001
Jun 2004 11170 11143
11027 11000
11140 11133
Sep 2004 11304 11258
11447 11424
11737 11678
Dec 2004 12011 11951
11872 11843
11990 11980
Mar 2005 11851 11832
11818 11777
12086 12014
Jun 2005 12182 12107
</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.
26
GROWTH & INCOME FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ---------- ------------
AFFILIATED MUTUAL FUNDS -- 98.8%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 561,579 $ 5,385,541
AB Funds Trust -- Extended-Duration
Bond Fund (GS2 Class)(inf) 2,452,765 22,467,324
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 3,206,730 32,644,516
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 2,231,549 28,831,614
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 3,513,341 32,463,275
AB Funds Trust -- Medium-Duration Bond
Fund (GS2 Class)(inf) 5,848,978 53,342,682
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 3,320,992 3,320,992
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 682,768 8,555,081
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 2,887,501 33,292,885
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $212,536,067) 220,303,910
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 155,000 154,860
U.S. Treasury Note
5.75%, 08/15/10 2,150,000 2,350,473
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,481,666) 2,505,333
------------
TOTAL INVESTMENTS -- 99.9%
(Cost $215,017,733) 222,809,243
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.1% 165,519
------------
NET ASSETS -- 100.0% $222,974,762
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 48.6
Domestic Equity Funds 35.8
Futures Contracts 1.0
International Equity Funds 12.9
Money Market Funds 1.5
U.S. Treasury Obligations 1.1
------
100.9
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
27
CAPITAL OPPORTUNITIES FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One Year 9.76% 9.42%
Since Inception 13.41% 13.27%
Inception Date 07/01/03 07/01/03
</Table>
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.guidestone.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
10060 10095
10280 10294
Sep 2003 10290 10353
10740 10808
10850 10942
Dec 2003 11302 11409
11475 11599
11648 11774
Mar 2004 11638 11730
11404 11447
11506 11534
Jun 2004 11720 11725
11435 11441
11516 11539
Sep 2004 11730 11716
11903 11926
12381 12369
Dec 2004 12758 12745
12517 12533
12727 12786
Mar 2005 12528 12581
12402 12409
12758 12719
Jun 2005 12863 12830
</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.
28
CAPITAL OPPORTUNITIES FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- --------- ------------
AFFILIATED MUTUAL FUNDS -- 99.3%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 546,211 $ 5,238,164
AB Funds Trust -- Extended-Duration
Bond Fund (GS2 Class)(inf) 827,810 7,582,739
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 3,265,771 33,245,549
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 2,161,161 27,922,204
AB Funds Trust -- Low-Duration Bond
Fund (GS2 Class)(inf) 1,170,704 10,817,307
AB Funds Trust -- Medium-Duration Bond
Fund (GS2 Class)(inf) 1,861,173 16,973,899
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 2,703,066 2,703,066
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 674,145 8,447,043
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 2,837,950 32,721,566
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $135,277,577) 145,651,537
------------
</Table>
<Table>
<Caption>
PAR
---------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bill
2.81%, 07/14/05++++ $ 185,000 184,833
U.S. Treasury Note
5.75%, 08/15/10 640,000 699,676
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $878,700) 884,509
------------
TOTAL INVESTMENTS -- 99.9%
(Cost $136,156,277) 146,536,046
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.1% 82,181
------------
NET ASSETS -- 100.0% $146,618,227
============
</Table>
- ---------------
++++ All or a portion of the security was held as collateral for open futures
contracts.
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Bond Funds 24.1
Domestic Equity Funds 54.3
Futures Contracts 1.4
International Equity Funds 19.1
Money Market Funds 1.8
U.S. Treasury Obligations 0.6
------
101.3
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
29
GLOBAL EQUITY FUND I
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* BENCHMARK**
---------- -----------
One year 10.42% 10.13%
Since Inception 16.45% 16.53%
Inception Date 07/01/03 07/01/03
</Table>
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.guidestone.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
10200 10238
10460 10484
Sep 2003 10380 10472
11010 11116
11130 11291
Dec 2003 11716 11894
11927 12128
12109 12327
Mar 2004 12079 12235
11857 11948
12008 12085
Jun 2004 12280 12329
11857 11889
11897 11949
Sep 2004 12169 12182
12371 12438
13060 13087
Dec 2004 13529 13576
13159 13246
13468 13627
Mar 2005 13231 13361
12995 13057
13447 13446
Jun 2005 13560 13578
</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.
30
GLOBAL EQUITY FUND I
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- -------- ------------
AFFILIATED MUTUAL FUNDS -- 99.6%
AB Funds Trust -- Equity Index Fund
(GS2 Class)(inf) 602,417 $ 5,777,182
AB Funds Trust -- Growth Equity Fund
(GS2 Class)(inf) 3,354,838 34,152,254
AB Funds Trust -- International Equity
Fund (GS2 Class)(inf) 2,148,435 27,757,777
AB Funds Trust -- Money Market Fund
(GS2 Class)(inf) 2,193,729 2,193,729
AB Funds Trust -- Small Cap Equity
Fund (GS2 Class)(inf) 684,376 8,575,236
AB Funds Trust -- Value Equity Fund
(GS2 Class)(inf) 2,929,698 33,779,423
------------
TOTAL AFFILIATED MUTUAL FUNDS
(Cost $105,703,123) 112,235,601
------------
</Table>
<Table>
<Caption>
PAR
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $234,762) $235,000 234,788
------------
TOTAL INVESTMENTS -- 99.8%
(Cost $105,937,885) 112,470,389
OTHER ASSETS IN EXCESS
OF LIABILITIES -- 0.2% 196,326
------------
NET ASSETS -- 100.0% $112,666,715
============
</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 73.0
Futures Contracts 1.6
International Equity Funds 24.6
Money Market Funds 2.0
U.S. Treasury Obligations 0.2
------
101.4
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
31
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
JUNE 30, 2005 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- ------------- ------------- ------------- -------------------- -------------
ASSETS
Investments in securities of affiliated issuers at
value $51,381,604 $220,303,910 $145,651,537 $112,235,601
Investments in securities of unaffiliated issuers at
value 545,138 2,505,333 884,509 234,788
----------- ------------ ------------ ------------
Total investments(1) 51,926,742 222,809,243 146,536,046 112,470,389
Receivables:
Dividends 1,130 6,861 6,116 5,104
Interest 2,127 46,443 13,825 --
Investment securities sold -- 2,610,000 402,000 381,000
Fund shares sold 13,538 170,339 193,702 218,737
Receivable from advisor 485 -- -- --
Prepaid expenses and other assets 12,542 12,544 12,543 12,543
----------- ------------ ------------ ------------
Total Assets 51,956,564 225,655,430 147,164,232 113,087,773
----------- ------------ ------------ ------------
LIABILITIES
Payables:
Investment securities purchased -- 2,609,000 501,992 383,000
Fund shares redeemed 8,593 15,845 -- --
Variation margin 1,110 14,430 13,015 11,470
Accrued expenses:
Advisory fee payable -- 17,692 8,964 6,445
Other accrued expenses payable 19,768 23,701 22,034 20,143
----------- ------------ ------------ ------------
Total Liabilities 29,471 2,680,668 546,005 421,058
----------- ------------ ------------ ------------
NET ASSETS $51,927,093 $222,974,762 $146,618,227 $112,666,715
=========== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in-capital $50,755,765 $210,079,500 $133,702,937 $104,614,958
Undistributed net investment income 652,156 2,532,791 1,072,284 383,994
Accumulated net realized gain on investments 412,341 2,590,996 1,479,511 1,150,101
Net unrealized appreciation (depreciation) on
investments and futures transactions 106,831 7,771,475 10,363,495 6,517,662
----------- ------------ ------------ ------------
NET ASSETS $51,927,093 $222,974,762 $146,618,227 $112,666,715
=========== ============ ============ ============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class $51,927,093 $222,974,762 $146,618,227 $112,666,715
----------- ------------ ------------ ------------
GS2 shares outstanding 5,006,565 19,581,484 11,949,489 8,539,983
----------- ------------ ------------ ------------
Net asset value, offering price and redemption
price per GS2 share $ 10.37 $ 11.39 $ 12.27 $ 13.19
=========== ============ ============ ============
- ---------------
(1) Investments in securities of affiliated issuers
at cost $51,272,082 $212,536,067 $135,277,577 $105,703,123
Investments in securities of unaffiliated
issuers at cost 546,540 2,481,666 878,700 234,762
----------- ------------ ------------ ------------
Total investments at cost $51,818,622 $215,017,733 $136,156,277 $105,937,885
=========== ============ ============ ============
</Table>
See Notes to Financial Statements.
32
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
FLEXIBLE GROWTH & CAPITAL GLOBAL
FOR THE SIX MONTHS ENDED JUNE 30, 2005 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I
- -------------------------------------- ------------- ------------- -------------------- -------------
INVESTMENT INCOME
Income distributions received from affiliated
funds $ 685,938 $2,678,447 $1,176,468 $ 471,784
Interest 8,975 34,973 13,479 2,939
--------- ---------- ---------- ---------
Total Investment Income 694,913 2,713,420 1,189,947 474,723
--------- ---------- ---------- ---------
EXPENSES
Investment advisory fees 25,490 107,682 70,414 54,195
Transfer agent fees 3,856 7,457 7,465 3,858
Custodian fees 5,731 7,148 7,178 5,235
Accounting and administration fees 8,988 33,412 22,298 17,469
Professional fees 20,099 20,099 20,099 20,099
Shareholder reporting fees 116 129 112 112
Trustee fees 103 411 259 173
Line of credit facility fees 103 412 238 173
Other expenses 6,961 6,961 6,960 6,962
--------- ---------- ---------- ---------
Total Expenses 71,447 183,711 135,023 108,276
Expenses waived and reimbursed (See Footnote 3c) (28,551) (2,832) (16,779) (17,199)
Fees paid indirectly (286) (339) (329) (321)
--------- ---------- ---------- ---------
Net expenses 42,610 180,540 117,915 90,756
--------- ---------- ---------- ---------
NET INVESTMENT INCOME 652,303 2,532,880 1,072,032 383,967
--------- ---------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investment securities of
affiliated issuers 246,671 917,191 811,201 851,948
Net realized gain (loss) on investment
securities of unaffiliated issuers (3,953) 377,479 72,716 75,975
Net realized loss on futures transactions (890) (193) (1,935) (24,131)
--------- ---------- ---------- ---------
Net realized gain 241,828 1,294,477 881,982 903,792
--------- ---------- ---------- ---------
Change in net unrealized appreciation
(depreciation) on investment securities of
affiliated issuers (556,636) (314,176) (298,927) (390,210)
Change in net unrealized appreciation
(depreciation) on investment securities of
unaffiliated issuers (1,197) 31,494 5,328 18
Change in net unrealized appreciation
(depreciation) on futures transactions (3,067) (45,451) (28,487) (16,377)
--------- ---------- ---------- ---------
Net change in unrealized appreciation
(depreciation) (560,900) (328,133) (322,086) (406,569)
--------- ---------- ---------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) (319,072) 966,344 559,896 497,223
--------- ---------- ---------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 333,231 $3,499,224 $1,631,928 $ 881,190
========= ========== ========== =========
</Table>
See Notes to Financial Statements.
33
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FLEXIBLE INCOME FUND I GROWTH & INCOME FUND I
--------------------------- -----------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX
MONTHS ENDED ENDED MONTHS ENDED FOR THE YEAR
06/30/05 12/31/04 06/30/05 ENDED 12/31/04
------------ ------------ ------------ --------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 652,303 $ 718,522 $ 2,532,880 $ 3,305,240
Net realized gain on investment securities and
futures transactions 241,828 434,608 1,294,477 2,169,966
Net change in unrealized appreciation
(depreciation) on investment securities and
futures transactions (560,900) 263,876 (328,133) 4,858,804
----------- ----------- ------------ ------------
Net increase in net assets resulting from
operations 333,231 1,417,006 3,499,224 10,334,010
----------- ----------- ------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT
INCOME -- (1,043,136) -- (3,800,931)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL
GAINS -- (396,033) -- (1,176,513)
----------- ----------- ------------ ------------
Total dividends and distributions -- (1,439,169) -- (4,977,444)
----------- ----------- ------------ ------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS 20,146,387 2,834,085 97,309,634 44,826,904
----------- ----------- ------------ ------------
Total increase in net assets 20,479,618 2,811,922 100,808,858 50,183,470
----------- ----------- ------------ ------------
NET ASSETS:
Beginning of the Period 31,447,475 28,635,553 122,165,904 71,982,434
----------- ----------- ------------ ------------
End of the Period $51,927,093 $31,447,475 $222,974,762 $122,165,904
=========== =========== ============ ============
</Table>
See Notes to Financial Statements.
34
<Table>
<Caption>
CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I
----------------------------- ---------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
06/30/05 12/31/04 06/30/05 12/31/04
------------- ------------- ------------ ------------
(UNAUDITED) (UNAUDITED)
$ 1,072,032 $ 1,329,255 $ 383,967 $ 368,233
881,982 998,467 903,792 480,384
(322,086) 5,534,236 (406,569) 3,495,260
------------ ----------- ------------ -----------
1,631,928 7,861,958 881,190 4,343,877
------------ ----------- ------------ -----------
-- (1,473,261) -- (372,357)
-- (589,198) -- (264,035)
------------ ----------- ------------ -----------
-- (2,062,459) -- (636,392)
------------ ----------- ------------ -----------
74,378,658 7,319,624 78,242,384 4,157,617
------------ ----------- ------------ -----------
76,010,586 13,119,123 79,123,574 7,865,102
------------ ----------- ------------ -----------
70,607,641 57,488,518 33,543,141 25,678,039
------------ ----------- ------------ -----------
$146,618,227 $70,607,641 $112,666,715 $33,543,141
============ =========== ============ ===========
</Table>
See Notes to Financial Statements.
35
FINANCIAL HIGHLIGHTS (UNAUDITED)
<Table>
<Caption>
CAPITAL GAIN REALIZED
DISTRIBUTIONS AND DISTRIBUTIONS
NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET
VALUE, FROM GAIN FROM NET REALIZED VALUE,
BEGINNING NET INVESTMENT AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF
OF PERIOD INCOME (1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD
FLEXIBLE INCOME FUND I
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) $10.31 $0.13 $ -- $(0.07) $ -- $ -- $10.37
2004 10.31 0.25 0.05 0.19 (0.36) (0.13) 10.31
2003 (6) 10.00 0.18 0.10 0.16 (0.12) (0.01) 10.31
GROWTH & INCOME FUND I
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) $11.23 $0.13 $ -- $ 0.03 $ -- $ -- $11.39
2004 10.62 0.34# 0.14 0.60 (0.36) (0.11) 11.23
2003 (6) 10.00 0.21 0.17 0.51 (0.26) (0.01) 10.62
CAPITAL OPPORTUNITIES FUND I
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) $12.17 $0.09 $ -- $ 0.01 $ -- $ -- $12.27
2004 11.11 0.24 0.09 1.09 (0.26) (0.10) 12.17
2003 (6) 10.00 0.15 0.09 1.07 (0.18) (0.02) 11.11
GLOBAL EQUITY FUND I
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) $13.16 $0.04 $ -- $(0.01) $ -- $ -- $13.19
2004 11.62 0.15 0.05 1.60 (0.15) (0.11) 13.16
2003 (6) 10.00 0.09 -- 1.63 (0.09) (0.01) 11.62
<Caption>
RATIOS TO AVERAGE NET ASSETS
------------------------------------------------------------
EXPENSES, INVESTMENT
BEFORE INCOME,
EXPENSES, WAIVERS EXCLUDING
INCLUDING AND INVESTMENT WAIVERS AND
NET ASSETS, EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE PORTFOLIO
TOTAL END OF PERIOD NET REDUCTION REDUCTION NET REDUCTION TURNOVER
RETURN (2) (000) (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2)
FLEXIBLE INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) 0.58% $ 51,927 0.17% 0.17% 0.28% 2.59% 2.48% 9.02%
2004 4.77 31,447 0.17 0.17 0.39 2.42 2.20 22.67
2003 (6) 4.40 28,636 0.17 0.17 0.51 4.16 3.82 8.01
GROWTH & INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) 1.43% $222,975 0.17% 0.17% 0.17% 2.38% 2.38% 6.09%
2004 10.26 122,166 0.17 0.17 0.22 3.07 3.02 10.47
2003 (6) 8.94 71,982 0.17 0.17 0.28 4.76 4.65 4.51
CAPITAL OPPORTUNITIE
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) 0.82% $146,618 0.17% 0.17% 0.19% 1.54% 1.52% 4.84%
2004 12.88 70,608 0.17 0.17 0.27 2.13 2.03 7.45
2003 (6) 13.02 57,489 0.17 0.17 0.31 3.24 3.10 2.95
GLOBAL EQUITY FUND I
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (7) 0.23% $112,667 0.17% 0.17% 0.20% 0.72% 0.69% 3.76%
2004 15.48 33,543 0.17 0.17 0.41 1.29 1.05 6.93
2003 (6) 17.16 25,678 0.17 0.17 0.50 1.69 1.36 0.89
</Table>
- ---------------
# 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.
(6) Inception date was July 1, 2003.
(7) For the six months ended June 30, 2005.
See Notes to Financial Statements.
36
MONEY MARKET FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 2.00% 1.80% 1.51% 2.04% N/A N/A
Since Inception 1.54% 1.44% 1.16% 1.64% 0.93%(1) 1.54%(1)
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 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* GS8 CLASS*
---------- ---------- ---------- ----------
2.97% 2.79% 2.37% 2.07%
</Table>
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.guidestone.org.
Investment return will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost. The 7-day average yield more closely
reflects the current earnings of the Fund than the total return.
[LINE GRAPH]
<Table>
<Caption>
GS4 CLASS CITIGROUP 3-MONTH INDEX**
--------- -------------------------
Aug 27 2001 10000 10000
10008 10008
Sep 2001 10033 10036
10057 10063
10079 10084
Dec 2001 10094 10102
10108 10117
10122 10131
Mar 2002 10138 10146
10153 10161
10167 10176
Jun 2002 10180 10190
10194 10205
10207 10220
Sep 2002 10220 10234
10232 10248
10243 10261
Dec 2002 10255 10274
10265 10285
10273 10294
Mar 2003 10282 10305
10290 10315
10298 10325
Jun 2003 10306 10334
10312 10343
10318 10352
Sep 2003 10324 10359
10330 10368
10336 10376
Dec 2003 10342 10384
10348 10392
10354 10400
Mar 2004 10360 10408
10366 10416
10372 10424
Jun 2004 10378 10433
10386 10433
10395 10454
Sep 2004 10405 10467
10417 10481
10430 10496
Dec 2004 10445 10513
10461 10532
10478 10550
Mar 2005 10498 10572
10518 10595
10542 10621
Jun 2005 10565 10646
</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.
**The Citigroup 3-Month 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.
- ---------------
(1) Non-annualized.
37
MONEY MARKET FUND
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.
38
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 PAR VALUE
- ------------- ----------- ------------
CERTIFICATES OF DEPOSIT -- 27.2%
American Express Bank FSB
3.29%, 07/28/05 $15,000,000 $ 15,000,000
Banco Santander Puerto Rico
3.23%, 07/19/05 30,000,000 30,000,000
Citibank NA
3.18%, 08/11/05 25,000,000 25,000,000
Credit Suisse First Boston NY
3.33%, 08/09/05 44,000,000 44,000,000
DEPFA Bank PLC NY
2.49%, 11/01/05 8,700,000 8,700,000
Eurohypo AG NY
3.31%, 08/03/05 25,000,000 25,000,000
3.20%, 08/09/05 10,000,000 10,000,000
Washington Mutual Bank FA
3.28%, 08/08/05 40,000,000 40,000,000
Wells Fargo Bank NA
3.27%, 07/27/05 44,000,000 44,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $241,700,000) 241,700,000
------------
COMMERCIAL PAPER -- 63.6%
Alliance & Leicester PLC
3.26%, 09/19/05 15,000,000 14,891,333
Amsterdam Funding Corporation
3.17%, 08/02/05 25,128,000 25,057,195
3.19%, 08/04/05 16,500,000 16,450,289
Barclays US Funding
Corporation
3.15%, 08/11/05 18,000,000 17,935,425
BMW US Capital LLC
3.38%, 07/01/05 35,007,000 35,007,000
Brahms Funding Corporation
3.26%, 08/08/05 7,915,000 7,887,764
Citigroup Global Markets
Holdings, Inc.
3.10%, 07/05/05 10,000,000 10,000,000
Countrywide Financial
Corporation
3.30%, 07/27/05 44,000,000 43,895,133
Discover Card Master Trust I
3.13%, 07/06/05 19,000,000 18,991,740
Eurohypo AG
3.04%, 07/06/05 9,000,000 8,996,206
General Electric Capital
Corporation
3.26%, 07/28/05 42,000,000 41,897,310
Goldman Sachs Group, Inc.
3.24%, 07/22/05 45,000,000 44,914,950
Greenwich Capital
Holdings, Inc.
3.22%, 07/20/05 7,000,000 7,000,000
3.26%, 07/25/05 33,700,000 33,700,000
HBOS Treasury Services PLC
3.16%, 08/09/05 10,000,000 9,965,767
</Table>
<Table>
<Caption>
PAR VALUE
----------- ------------
ING (US) Funding LLC
3.19%, 08/08/05 $10,000,000 $ 9,966,328
Lehman Brothers Holdings,
Inc.
3.50%, 07/01/05 6,000,000 6,000,000
Lexington Parker Capital
3.03%, 07/06/05 25,000,000 24,989,479
3.05%, 07/06/05 2,500,000 2,498,941
Lockhart Funding LLC
3.21%, 08/02/05 14,000,000 13,960,053
3.17%, 08/10/05 3,000,000 2,989,433
3.24%, 08/18/05 12,000,000 11,948,160
MBNA Credit Card Master Note
Trust
3.12%, 07/19/05 24,000,000 23,962,560
3.38%, 08/30/05 8,000,000 7,954,933
Monument Gardens
Funding LLC
3.38%, 09/21/05 27,681,000 27,467,887
National Rural Utilities
Cooperative Finance
Corporation
3.26%, 07/28/05 44,000,000 43,892,420
Scaldis Capital LLC
3.24%, 09/02/05 29,141,000 28,975,772
UBS Finance (Delaware) LLC
3.39%, 07/01/05 25,000,000 25,000,000
------------
TOTAL COMMERCIAL PAPER
(Cost $566,196,078) 566,196,078
------------
MASTER NOTES -- 7.5%
Merrill Lynch Mortgage
Capital, Inc.
3.36%, 07/05/05++ 30,000,000 30,000,000
Morgan Stanley Mortgage
Capital
3.61%, 07/01/05++ 37,000,000 37,000,000
------------
TOTAL MASTER NOTES
(Cost $67,000,000) 67,000,000
------------
VARIABLE RATE OBLIGATIONS -- 6.8%
Allstate Life Global Funding
II
3.30%, 07/27/05 144A++ 20,000,000 20,000,000
Bear Stearns Cos., Inc. (The)
3.33%, 07/28/05++ 10,000,000 10,000,000
General Electric Capital
Corporation
3.34%, 07/18/05++ 2,240,000 2,242,242
Metropolitan Life Global
Funding I
3.39%, 07/28/05 144A++ 10,000,000 10,000,000
Racers Trust
3.28%, 07/22/05 144A++ 8,600,000 8,600,000
</Table>
See Notes to Financial Statements.
39
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- ------------
Shipley Group LP
3.47%, 07/07/05++ $ 1,500,000 $ 1,500,000
Westpac Banking Corporation
3.40%, 09/12/05++ 8,250,000 8,250,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $60,592,242) 60,592,242
------------
TOTAL INVESTMENTS -- 105.1%
(Cost $935,488,320) 935,488,320
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (5.1%) (45,735,926)
------------
NET ASSETS -- 100.0% $889,752,394
============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Certificates of Deposit 27.2
Commercial Paper 63.6
Master Notes 7.5
Variable Rate Obligations 6.8
------
105.1
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
40
LOW-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 1.95% 1.80% 1.59% 1.87% N/A N/A
Since Inception 3.19% 3.16% 2.90% 3.14% 0.46%(1) 0.92%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
10023 10025
Sep 2001 10150 10190
10256 10286
10217 10264
Dec 2001 10196 10268
10242 10288
10288 10338
Mar 2002 10208 10268
10334 10383
10381 10425
Jun 2002 10402 10512
10459 10641
10550 10677
Sep 2002 10633 10765
10661 10790
10663 10757
Dec 2002 10778 10859
10800 10857
10866 10902
Mar 2003 10890 10922
10918 10943
10991 10984
Jun 2003 11006 11001
10888 10941
10910 10948
Sep 2003 11034 11048
10984 11007
10995 11001
Dec 2003 11042 11065
11076 11087
11136 11140
Mar 2004 11171 11175
11080 11067
11065 11057
Jun 2004 11069 11056
11101 11096
11174 11173
Sep 2004 11172 11163
11200 11197
11174 11142
Dec 2004 11195 11165
11183 11161
11165 11136
Mar 2005 11158 11136
11213 11199
11250 11241
Jun 2005 11269 11263
</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.
- ---------------
(1) Non-annualized.
41
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 PAR VALUE
- ------------- ----------- --------------
AGENCY OBLIGATIONS -- 14.7%
Federal Home Loan Bank
2.60%, 07/01/05 $ 9,500,000 $ 9,500,000
3.06%, 07/22/05 9,400,000 9,383,248
3.21%, 09/01/05++ 4,500,000 4,499,330
3.23%, 09/09/05 9,500,000 9,438,393
1.70%, 12/30/05 3,825,000 3,787,343
Federal Home Loan Mortgage
Corporation
3.00%, 07/26/05 9,400,000 9,380,190
3.04%, 08/09/05 6,500,000 6,478,275
3.17%, 08/30/05 100,000 99,461
3.19%, 09/06/05 9,200,000 9,142,896
3.31%, 11/02/05 100,000 98,831
5.25%, 01/15/06+++ 9,575,000 9,648,689
Federal National Mortgage
Association
2.98%, 07/01/05 12,000,000 11,999,999
3.01%, 08/01/05 2,400,000 2,393,500
3.13%, 08/24/05 9,400,000 9,356,313
3.14%, 08/24/05 10,900,000 10,849,341
3.18%, 08/31/05 100,000 99,452
2.38%, 12/15/05 2,755,000 2,739,894
2.75%, 05/10/06 3,775,000 3,743,369
2.77%, 12/29/06 1,505,000 1,482,661
2.71%, 01/30/07 7,500,000 7,377,105
6.63%, 09/15/09 4,025,000 4,439,474
Small Business
Administration
6.95%, 11/10/16 1,581,924 1,669,863
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $127,598,194) 127,607,627
--------------
ASSET-BACKED SECURITIES -- 20.9%
ACE Securities Corporation
3.42%, 04/25/34 STEP 456,701 456,693
American Express Credit
Account Master Trust
3.36%, 04/15/08++ 3,200,000 3,200,926
Amresco Independence
Funding, Inc.
3.75%, 06/15/26 144A++ 1,042,313 1,038,076
Bank One Issuance Trust
3.14%, 10/15/08++ 2,925,000 2,926,142
Bayview Financial
Acquisition Trust
7.01%, 05/25/29 144A 322,691 322,535
Bear Stearns Asset-Backed
Securities, Inc.
4.56%, 03/25/44++ 1,569,654 1,568,917
BMW Vehicle Owner Trust
4.02%, 02/25/09 2,775,000 2,779,668
Business Loan Express
4.75%, 01/01/25 144A++ 603,269 588,009
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Capital Auto Receivables
Asset Trust
3.58%, 10/16/06++++ $ 1,120,777 $ 1,120,594
2.00%, 11/15/07+++ 2,950,000 2,908,529
3.35%, 02/15/08 3,225,000 3,204,342
1.96%, 01/15/09 4,100,000 3,991,633
4.05%, 07/15/09 2,575,000 2,575,402
Capital One Multi-Asset
Execution Trust
2.95%, 08/17/09 3,500,000 3,456,683
Carrington Mortgage Loan
Trust
3.24%, 06/25/35++ 1,700,000 1,699,640
Centex Home Equity
3.51%, 02/25/35++ 3,200,000 3,203,002
Chase Credit Card Master
Trust
5.50%, 11/17/08 3,040,000 3,090,006
Chase Issuance Trust
3.22%, 06/15/10 6,525,000 6,415,908
Chase Manhattan Auto Owner
Trust
2.08%, 05/15/08 3,950,000 3,900,168
Citibank Credit Card
Issuance Trust
2.70%, 01/15/08 2,515,000 2,500,619
5.65%, 06/16/08 2,950,000 2,997,086
2.55%, 01/20/09 7,725,000 7,562,615
Citibank Credit Card Master
Trust I
6.10%, 05/15/08 3,125,300 3,182,971
Conseco Finance
Securitizations
Corporation
3.59%, 12/15/29++ 248,291 248,277
Countrywide Asset-Backed
Certificates
3.46%, 10/25/23 STEP 596,123 596,182
3.58%, 12/31/34++ 3,200,000 3,206,035
3.89%, 07/25/35++ 1,750,000 1,750,823
CS First Boston Mortgage
Securities Corporation
3.64%, 05/25/43 STEP 144A 118,370 118,368
Daimler Chrysler Auto Trust
2.25%, 08/08/07 2,937,332 2,920,467
2.00%, 12/08/07 3,125,000 3,085,288
3.09%, 01/08/08 3,600,000 3,578,376
3.28%, 12/08/09 4,300,000 4,225,678
Equity One ABS, Inc.
3.47%, 07/25/34++ 2,190,866 2,191,297
Fannie Mae Grantor Trust
3.36%, 07/25/35 STEP 1,700,000 1,700,532
Green Tree Financial
Corporation
6.04%, 11/01/29 50,291 51,005
</Table>
See Notes to Financial Statements.
42
<Table>
<Caption>
PAR VALUE
----------- --------------
GSAA Home Equity Trust
3.34%, 12/25/34++ $ 2,607,055 $ 2,607,627
GSAMP Trust
3.46%, 08/25/34++ 247,439 247,434
Home Equity Mortgage Trust
3.43%, 07/25/35 STEP 1,639,316 1,639,285
Honda Auto Receivables
Owner Trust
2.30%, 10/18/07 3,050,000 3,021,070
3.61%, 12/18/07 2,537,757 2,534,467
3.30%, 06/15/08 2,980,000 2,958,348
2.91%, 10/20/08 2,700,000 2,657,297
3.53%, 10/21/08 2,875,000 2,856,060
2.79%, 03/16/09 4,700,000 4,616,025
Long Beach Mortgage Loan
Trust
3.56%, 11/25/10++ 2,200,000 2,201,375
3.63%, 06/25/33++ 178,573 178,684
MBNA Credit Card Master
Note Trust
5.75%, 10/15/08 3,225,000 3,276,355
MBNA Master Credit Card
Trust USA
3.27%, 12/15/08++ 5,610,000 5,620,222
Morgan Stanley ABS Capital
I
3.61%, 12/25/34++ 2,749,085 2,753,312
Morgan Stanley Home Equity
Loans
3.52%, 01/25/35++ 3,200,000 3,203,748
New Century Home Equity
Loan Trust
3.74%, 11/25/34++ 2,364,383 2,372,754
Nissan Auto Receivables
Owner Trust
2.01%, 11/15/07 3,325,000 3,280,320
2.70%, 12/17/07 3,175,000 3,138,561
Option One Mortgage Loan
Trust
3.55%, 02/25/35++ 3,200,000 3,202,000
PBG Equipment Trust
6.27%, 01/20/12 144A 562,021 562,887
Quest Trust
3.87%, 06/25/34 144A++ 748,304 750,405
Residential Asset
Securities Corporation
3.54%, 09/25/31++ 338,885 340,291
3.50%, 02/25/35++ 3,200,000 3,200,000
Residential Funding
Mortgage Securities II
3.44%, 07/25/18++ 228,783 228,775
3.41%, 12/25/18++ 1,333,732 1,333,794
Sears Credit Account Master
Trust
6.75%, 09/16/09 1,900,000 1,911,718
SLM Student Loan Trust
3.44%, 12/17/12++ 1,065,571 1,065,654
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A $ 1,770,909 $ 1,785,479
Terwin Mortgage Trust
3.28%, 10/25/34 STEP 144A 1,344,463 1,344,463
TMS SBA Loan Trust
3.61%, 04/15/24++ 417,466 396,551
3.25%, 01/15/25++ 459,697 454,006
3.73%, 01/25/25++ 275,819 274,511
USAA Auto Owner Trust
1.58%, 06/15/07 1,627,481 1,618,082
3.55%, 09/17/07 1,950,000 1,946,248
2.06%, 04/15/08 3,000,000 2,962,134
3.03%, 06/16/08 3,000,000 2,972,441
3.16%, 02/17/09 3,325,000 3,289,302
3.90%, 07/15/09 1,700,000 1,697,625
4.07%, 12/15/09 4,175,000 4,174,999
2.04%, 02/16/10 4,100,000 4,026,699
Whole Auto Loan Trust
3.26%, 03/15/11 4,000,000 3,932,755
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $181,942,638) 180,996,255
--------------
CERTIFICATES OF DEPOSIT -- 0.4%
Citibank NA
3.16%, 08/09/05
(Cost $3,300,000) 3,300,000 3,292,893
--------------
CORPORATE BONDS -- 11.7%
ASIF Global Financing XXIII
3.90%, 10/22/08 144A 420,000 412,577
Bank of America Corporation
3.25%, 08/15/08 360,000 351,550
Bank One Corporation
2.63%, 06/30/08 360,000 344,597
6.00%, 08/01/08 550,000 577,609
Bayerische Landesbank NY
2.50%, 04/28/06 2,475,000 2,447,476
BellSouth Corporation
4.26%, 04/26/06 144A++ 1,075,000 1,077,844
Cadbury Schweppes US
Finance LLC
3.88%, 10/01/08 144A 790,000 779,545
Citigroup, Inc.
3.50%, 02/01/08 1,600,000 1,578,405
Clorox Co.
3.53%, 12/14/07++ 1,500,000 1,503,036
Credit Suisse First Boston
USA, Inc.
4.63%, 01/15/08+++ 2,160,000 2,184,635
DaimlerChrysler NA Holding
Corporation
6.40%, 05/15/06 1,700,000 1,733,558
3.89%, 05/24/06++ 3,200,000 3,209,053
4.23%, 08/08/06++ 400,000 402,850
4.75%, 01/15/08+++ 850,000 853,787
4.05%, 06/04/08 1,130,000 1,113,448
</Table>
See Notes to Financial Statements.
43
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
Dominion Resources, Inc.
7.63%, 07/15/05 $ 1,000,000 $ 1,000,906
Federated Department
Stores, Inc.
6.63%, 09/01/08 150,000 160,066
Ford Motor Credit Co.
3.59%, 07/18/05++ 100,000 99,961
6.88%, 02/01/06 2,500,000 2,525,338
Gannett Co., Inc.
4.13%, 06/15/08 2,390,000 2,389,032
General Electric Capital
Corporation
8.75%, 05/21/07 610,000 661,019
3.45%, 07/16/07 1,300,000 1,283,627
3.45%, 01/15/08++ 5,275,000 5,239,155
4.25%, 01/15/08 1,940,000 1,948,652
3.39%, 03/04/08++ 2,900,000 2,902,210
9.83%, 12/15/08 350,000 410,634
General Mills, Inc.
6.45%, 10/15/06 1,985,000 2,040,327
General Motors Acceptance
Corporation
4.13%, 03/20/07++ 1,467,000 1,423,446
Golden West Financial
Corporation
4.13%, 08/15/07 310,000 310,843
Hewlett-Packard Co.
5.50%, 07/01/07 710,000 727,885
HSBC Bank USA NA
3.51%, 09/21/07++ 1,400,000 1,401,421
HSBC Finance Corporation
5.75%, 01/30/07 2,280,000 2,339,458
4.13%, 12/15/08+++ 700,000 696,058
John Deere Capital
Corporation
3.90%, 01/15/08 1,970,000 1,958,826
Kellogg Co.
2.88%, 06/01/08 970,000 935,123
Kraft Foods, Inc.
4.63%, 11/01/06 400,000 402,739
5.25%, 06/01/07 425,000 433,463
Lehman Brothers Holdings,
Inc.
4.00%, 01/22/08 2,560,000 2,552,376
Lenfest Communications,
Inc.
7.63%, 02/15/08 725,000 779,144
May Department Stores Co.
(The)
3.95%, 07/15/07 945,000 938,921
MCI, Inc.
6.91%, 05/01/07 237,000 240,851
7.69%, 05/01/09 237,000 247,369
8.74%, 05/01/14 203,000 228,121
Merck & Co., Inc.
5.25%, 07/01/06 300,000 303,809
4.73%, 02/22/11 144A++ 1,300,000 1,304,776
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Merrill Lynch & Co., Inc.
4.00%, 11/15/07 $ 830,000 $ 829,032
Morgan Stanley Warehouse
Facility
3.59%, 07/01/05++@ 9,900,000 9,847,368
National Rural Utilities
Cooperative Finance
Corporation
6.00%, 05/15/06 2,340,000 2,382,541
New York Life Global
Funding
3.36%, 02/26/07 144A++ 1,400,000 1,401,249
Northrop Grumman
Corporation
4.08%, 11/16/06 450,000 448,848
Pacific Gas & Electric Co.
3.82%, 04/03/06++ 384,000 384,000
Prudential Financial, Inc.
4.10%, 11/15/06 STEP 1,600,000 1,604,965
Prudential Insurance Co. of
America
6.38%, 07/23/06 144A 650,000 665,240
SLM Corporation
5.63%, 04/10/07 730,000 748,745
3.63%, 03/17/08 120,000 118,026
Southern California Edison
Co.
3.47%, 12/13/07++ 3,500,000 3,500,004
Sprint Capital Corporation
7.13%, 01/30/06 3,825,000 3,889,436
6.00%, 01/15/07 2,280,000 2,337,269
Time Warner, Inc.
6.15%, 05/01/07 2,290,000 2,370,526
8.18%, 08/15/07 500,000 538,146
TXU Energy Co. LLC
3.92%, 01/17/06 144A++ 5,100,000 5,101,433
U.S. Bank National
Association
6.50%, 02/01/08 580,000 612,196
U.S. Central Credit Union
2.75%, 05/30/08 610,000 592,574
Union Pacific Corporation
5.75%, 10/15/07 375,000 387,631
Verizon Global Funding
Corporation
6.13%, 06/15/07+++ 875,000 907,721
4.00%, 01/15/08+++ 1,960,000 1,954,720
Verizon Wireless Capital
LLC
5.38%, 12/15/06 1,070,000 1,090,835
Wachovia Corporation
4.95%, 11/01/06 2,350,000 2,375,906
3.50%, 08/15/08 540,000 530,306
--------------
TOTAL CORPORATE BONDS
(Cost $102,714,289) 101,074,243
--------------
</Table>
See Notes to Financial Statements.
44
<Table>
<Caption>
PAR VALUE
----------- --------------
FOREIGN BONDS -- 5.5%
BERMUDA -- 0.0%
Tyco International Group SA
5.80%, 08/01/06 $ 425,000 $ 432,723
--------------
CANADA -- 0.2%
British Columbia
5.38%, 10/29/08 305,000 319,837
Canadian National Railway
Co.
6.45%, 07/15/06++ 750,000 766,996
Quebec Province
7.00%, 01/30/07 305,000 319,190
--------------
1,406,023
--------------
GERMANY -- 0.3%
Deutsche Bundesrepublik
4.75%, 07/04/34(E)+++ 450,000 649,996
4.00%, 01/04/37(E)+++ 1,825,000 2,349,439
--------------
2,999,435
--------------
ITALY -- 0.3%
Republic of Italy
2.75%, 12/15/06+++ 2,375,000 2,338,539
--------------
JAPAN -- 0.4%
General Electric Capital
Corporation
1.40%, 11/02/06(J) 405,000,000 3,718,193
--------------
NETHERLANDS -- 0.6%
Dutch Treasury Certificate
1.98%, 08/31/05(E)(omg) 4,500,000 5,428,231
--------------
NEW ZEALAND -- 0.3%
General Electric Capital
Corporation
6.63%, 02/04/10(Z) 3,080,000 2,147,698
New Zealand
6.00%, 11/15/11(Z) 970,000 684,359
--------------
2,832,057
--------------
NORWAY -- 0.2%
Eksportfinans
3.38%, 01/15/08 1,630,000 1,607,941
--------------
SOUTH KOREA -- 0.2%
Korea Development Bank
3.54%, 10/20/09++ 1,750,000 1,752,756
--------------
UNITED KINGDOM -- 3.0%
Granite Master Issuer PLC
3.51%, 12/20/24++ 4,300,000 4,301,785
Holmes Financing PLC
3.29%, 01/15/08++ 2,600,000 2,600,446
Nationwide Building Society
3.50%, 07/31/07 144A 325,000 321,331
Permanent Financing PLC
3.53%, 09/10/07++ 2,800,000 2,800,159
United Kingdom Treasury
Note
4.75%, 06/07/10(U) 6,800,000 12,555,868
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Vodafone Group PLC
3.95%, 01/30/08+++ $ 2,650,000 $ 2,643,987
--------------
25,223,576
--------------
TOTAL FOREIGN BONDS
(Cost $48,542,806) 47,739,474
--------------
MORTGAGE-BACKED SECURITIES -- 28.9%
American Home Mortgage
Investment Trust
4.29%, 10/25/34++ 3,349,631 3,330,916
3.61%, 12/25/45 STEP 3,281,181 3,281,181
Bank of America Mortgage
Securities
6.50%, 10/01/19 1,157,816 1,193,953
Bear Stearns Adjustable
Rate Mortgage Trust
3.18%, 12/01/33++ 2,972,317 2,929,219
4.72%, 01/25/34++ 1,397,947 1,375,212
4.04%, 07/25/34++ 2,933,749 2,889,731
Bear Stearns Alt-A Trust
3.68%, 06/25/34++ 3,247,584 3,253,233
Bear Stearns Commercial
Mortgage Securities
3.87%, 02/11/41 2,040,000 2,005,504
Citigroup Commercial
Mortgage Trust
4.15%, 09/20/49 144A 2,653,924 2,653,095
Commercial Mortgage
Acceptance Corporation
6.03%, 09/15/30 2,158,049 2,238,761
Countrywide Alternative
Loan Trust
6.00%, 10/25/32 658,140 654,282
5.50%, 05/31/35 2,025,493 2,082,470
Countrywide Home Loan
Mortgage Pass Through
Trust
3.68%, 06/19/31++ 185,883 187,062
3.58%, 01/25/35 STEP 2,605,506 2,607,627
Credit-Based Asset
Servicing and
Securitization LLC
3.63%, 02/25/30++ 327,684 327,911
CS First Boston Mortgage
Securities Corporation
4.30%, 07/15/36 1,360,000 1,359,179
Federal Home Loan Mortgage
Corporation
8.00%, 03/01/06 11 11
7.00%, 05/01/06 1,087 1,089
8.50%, 12/01/07 8,973 9,263
8.50%, 01/01/08 7,318 7,556
8.00%, 05/01/08 13,081 13,133
8.50%, 06/01/08 957 961
8.75%, 07/01/08 7,784 8,119
8.00%, 01/01/09 4,006 4,130
7.50%, 03/01/09 40,372 40,477
16.25%, 07/01/11 1,038 1,208
</Table>
See Notes to Financial Statements.
45
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
15.25%, 08/01/11 $ 1,807 $ 2,069
5.00%, 11/15/16 5,105,679 5,154,178
3.50%, 12/01/18 4,206,238 3,976,891
10.75%, 02/01/19 104,967 114,455
4.25%, 06/15/24 3,046,194 3,043,303
4.75%, 07/01/27++ 110,569 114,021
2.81%, 06/01/28++ 529,437 526,425
5.76%, 04/01/32++ 916,960 938,599
3.62%, 02/15/33++ 1,676,314 1,681,133
6.00%, 04/01/33 2,424,709 2,490,376
4.42%, 10/01/34++ 1,499,377 1,498,177
5.50%, 05/31/35 2,560,000 2,644,813
Federal Housing Authority
7.43%, 09/01/22 7,765 8,105
Federal National Mortgage
Association
6.00%, 08/01/08 273,181 280,896
6.50%, 11/01/08 355,401 367,229
3.44%, 12/01/09 1,322,445 1,322,445
4.00%, 07/19/20 TBA 11,000,000 10,773,125
5.08%, 03/01/24++ 122,569 120,852
4.09%, 12/01/24++ 249,144 252,021
9.00%, 05/01/25 138,962 152,299
9.00%, 07/01/25 257,489 281,720
3.56%, 09/25/30++ 432,693 431,980
5.02%, 12/01/30++ 73,602 74,879
4.66%, 09/01/31++ 240,419 247,853
3.31%, 03/25/32 671,456 661,557
4.28%, 04/01/33++ 1,681,249 1,689,163
4.22%, 06/01/33++ 470,977 473,382
5.50%, 06/01/33 35,610 36,130
5.50%, 07/01/33 35,539 36,057
5.50%, 07/14/33 TBA 24,500,000 24,829,232
4.28%, 10/01/33++ 2,650,148 2,653,599
5.50%, 10/01/33 200,009 202,929
4.30%, 12/01/33++ 869,090 870,060
5.50%, 08/01/34 99,990 101,417
5.75%, 08/25/34 3,531,740 3,575,411
5.10%, 09/01/34++ 2,522,697 2,560,210
5.13%, 09/01/34++ 1,972,870 2,002,214
5.50%, 09/01/34 6,478,137 6,570,545
4.85%, 10/01/34++ 2,598,452 2,630,550
5.22%, 10/01/34++ 3,251,810 3,312,173
5.50%, 11/01/34 20,658,727 20,953,417
5.50%, 02/01/35 10,396,571 10,544,875
4.88%, 06/01/35++ 3,025,000 3,072,266
5.50%, 06/01/35 1,521,366 1,543,098
6.17%, 04/01/40++ 736,231 756,978
First Republic Mortgage
Loan Trust
4.13%, 06/25/30++ 504,805 505,585
General Electric Capital
Commercial Mortgage
Corporation
4.35%, 06/10/48 2,790,000 2,793,196
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
GMAC Commercial Mortgage
Securities, Inc.
7.18%, 08/15/36 $ 1,566,075 $ 1,710,758
Government National
Mortgage Association
8.25%, 03/15/06 1,143 1,167
8.25%, 05/15/06 2,958 3,020
6.00%, 12/15/08 303,434 310,778
6.00%, 02/15/11 499,165 512,238
3.38%, 06/20/17++ 41,639 42,093
3.38%, 06/20/21++ 20,251 20,538
4.13%, 10/20/27++ 156,649 159,252
8.50%, 10/15/29 148,143 161,506
8.50%, 01/15/30 59,876 65,266
3.84%, 02/16/30++ 537,428 542,628
8.50%, 03/15/30 30,858 33,636
8.50%, 04/15/30 17,130 18,672
8.50%, 05/15/30 240,875 262,559
8.50%, 06/15/30 69,432 75,682
8.50%, 07/15/30 280,525 305,783
8.50%, 08/15/30 48,715 53,101
8.50%, 09/15/30 20,024 21,827
8.50%, 10/15/30 47,269 51,524
8.50%, 11/15/30 136,954 149,283
8.50%, 12/15/30 116,042 126,488
8.50%, 01/15/31 48,507 52,870
3.44%, 01/16/31++ 1,025,530 1,025,973
8.50%, 02/15/31 106,147 115,695
3.75%, 05/20/34++ 2,561,626 2,520,533
3.75%, 06/20/34++ 3,494,810 3,452,255
GS Mortgage Securities
Corporation II
6.04%, 08/15/18 144A 490,938 517,716
6.14%, 10/18/30 2,522,090 2,642,308
3.41%, 01/10/40 IO
144A(omg) 40,737,064 1,207,255
GSR Mortgage Loan Trust
3.69%, 06/01/34++ 3,309,721 3,269,147
4.82%, 09/25/34++ 3,577,110 3,600,962
IFC SBA Loan-Backed
Adjustable Rate
Certificate
3.25%, 01/15/24 144A++ 643,129 643,129
LB-UBS Commercial Mortgage
Trust
3.62%, 01/15/29 3,400,000 3,323,029
2.59%, 08/15/33 IO
144A(omg) 38,255,000 1,089,040
MLCC Mortgage Investors,
Inc.
3.60%, 03/15/25 STEP 1,264,430 1,270,146
4.76%, 12/25/34++ 2,974,706 2,985,510
Morgan Stanley Capital I
6.53%, 03/15/31 2,960,000 3,163,843
Mortgage IT Trust
3.68%, 12/25/34 STEP 4,096,409 4,102,616
NationsLink Funding
Corporation
6.32%, 01/20/31 2,102,325 2,220,620
</Table>
See Notes to Financial Statements.
46
<Table>
<Caption>
PAR VALUE
----------- --------------
Nomura Asset Securities
Corporation
6.59%, 03/15/30 $ 3,300,000 $ 3,502,549
Residential Accredit Loans,
Inc.
6.00%, 12/25/16 263,693 265,038
3.71%, 01/25/33++ 1,414,228 1,415,441
Residential Asset
Securitization Trust
3.71%, 05/25/33++ 2,783,816 2,787,441
Residential Funding
Mortgage Securities I
6.50%, 03/25/32 250,694 253,745
5.50%, 09/25/33 2,173,176 2,209,923
Sequoia Mortgage Trust
3.66%, 10/20/27++ 1,160,904 1,161,907
3.71%, 10/20/33++ 813,953 817,891
Structured Adjustable Rate
Mortgage Loan Trust
4.92%, 03/25/34++ 2,291,320 2,275,700
3.32%, 09/25/34++ 1,880,587 1,882,051
Structured Asset Mortgage
Investments, Inc.
4.95%, 10/19/34++ 2,408,533 2,490,131
Structured Asset Securities
Corporation
7.50%, 06/28/31 71,070 70,911
4.94%, 12/25/33++ 2,184,107 2,212,783
Washington Mutual Mortgage
Securities Corporation
4.51%, 03/25/32++ 592,766 594,537
Washington Mutual, Inc.
3.58%, 12/25/27 STEP 5,389,272 5,384,011
3.75%, 06/25/42++ 401,629 405,650
3.44%, 01/25/45 STEP 4,972,520 4,973,199
3.47%, 01/25/45 STEP 2,906,675 2,915,510
Wells Fargo Mortgage-Backed
Securities Trust
3.39%, 07/25/34++ 2,707,012 2,716,735
3.99%, 01/25/35++ 3,337,244 3,307,874
4.57%, 02/25/35++ 5,633,069 5,624,017
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $251,021,522) 250,424,661
--------------
MUNICIPAL BONDS -- 0.7%
Honolulu, Hawaii City &
County, Series B General
Obligation Bond (MBIA
Insured)
5.00%, 07/01/12 1,200,000 1,325,568
New York City, New York
Municipal Water Finance
Authority Water & Sewer
System, Series C Revenue
Bond
5.00%, 06/15/35 3,200,000 3,389,120
</Table>
<Table>
<Caption>
PAR VALUE
----------- --------------
Sales Tax Asset Receivable
Corporation, New York,
Series B Revenue Bond
(FSA Insured)
3.60%, 10/15/08 $ 425,000 $ 418,659
Texas State Public Finance
Authority, Series B
Revenue Bond
2.63%, 06/15/06 1,365,000 1,351,022
--------------
TOTAL MUNICIPAL BONDS
(Cost $6,406,869) 6,484,369
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
OPTIONS -- 0.0%
PUT OPTIONS -- 0.0%
90-Day Eurodollar Futures,
Strike Price $94.75,
Expires 09/19/05 143 1,787
90-Day Eurodollar Futures,
Strike Price $95.38,
Expires 09/19/05 66 413
--------------
TOTAL OPTIONS
(Cost $1,983) 2,200
--------------
<Caption>
SHARES
-----------
PREFERRED STOCKS -- 0.0%
Fannie Mae 7.00%+
(Cost $82,500) 1,650 91,524
--------------
<Caption>
PAR
-----------
REPURCHASE AGREEMENT -- 6.5%
Credit Suisse First Boston
2.70% (dated 06/30/05,
matures 07/01/05,
repurchase price
$56,204,215,
collateralized by U.S.
Treasury Notes, 3.50% due
11/15/09: total market
value $57,477,854)
(Cost $56,200,000) $56,200,000 56,200,000
--------------
<Caption>
SHARES
-----------
SHORT-TERM INVESTMENTS -- 13.3%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 28,585,204 $ 28,585,204
Northern Institutional
Liquid Assets
Portfoliosec. 86,615,681 86,615,681
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $115,200,885) 115,200,885
--------------
</Table>
See Notes to Financial Statements.
47
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
----------- --------------
U.S. TREASURY OBLIGATIONS -- 20.4%
U.S. Treasury Bills
2.93%, 09/01/05++++ $ 15,000 $ 14,923
2.90%, 09/15/05++++ 30,000 29,811
2.95%, 09/15/05++++ 1,215,000 1,207,335
2.98%, 09/15/05++++ 30,000 29,811
3.03%, 09/15/05 10,000 9,937
--------------
1,291,817
--------------
U.S. Treasury Bonds
12.75%, 11/15/10+++ 12,315,000 12,743,143
10.38%, 11/15/12+++ 2,535,000 2,916,538
7.13%, 02/15/23+++ 800,000 1,081,375
--------------
16,741,056
--------------
U.S. Treasury Inflationary
Index Bonds
3.63%, 01/15/08+++ 6,000,000 7,648,216
2.00%, 07/15/14+++ 5,000,000 5,319,407
--------------
12,967,623
--------------
U.S. Treasury Notes
5.75%, 11/15/05+++ 1,350,000 1,362,393
1.88%, 11/30/05+++ 5,250,000 5,221,088
2.25%, 04/30/06+++ 10,680,000 10,573,627
2.50%, 05/31/06+++ 3,680,000 3,647,082
2.75%, 06/30/06+++ 9,655,000 9,583,727
2.75%, 07/31/06+++ 18,670,000 18,517,578
2.38%, 08/31/06+++ 12,960,000 12,787,878
2.50%, 09/30/06+++ 2,075,000 2,048,091
2.50%, 10/31/06+++ 13,895,000 13,701,776
2.88%, 11/30/06+++ 695,000 688,132
3.50%, 05/31/07 28,000,000 27,923,449
3.63%, 06/30/07 10,575,000 10,571,701
3.75%, 05/15/08 20,000,000 20,050,020
6.50%, 02/15/10+++ 7,000,000 7,814,030
4.00%, 02/15/14+++ 1,600,000 1,610,126
--------------
146,100,698
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $178,597,243) 177,101,194
--------------
TOTAL INVESTMENTS -- 123.0%
(Cost $1,071,608,929) 1,066,215,325
--------------
<Caption>
NUMBER OF
CONTRACTS
-----------
WRITTEN OPTIONS -- 0.0%
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$4.00,
Expires 10/31/05 (640) $ (32,378)
--------------
PUT OPTIONS -- 0.0%
British Pounds
90-Day LIBOR Futures,
Strike Price $94.25,
Expires 12/21/05 (25) 0
--------------
</Table>
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
----------- --------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike Price
$7.00,
Expires 10/31/05 (640) $ 0
--------------
TOTAL WRITTEN OPTIONS
(Premiums received $(184,960)) (32,378)
--------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (23.0%) (199,006,535)
--------------
NET ASSETS -- 100.0% $ 867,176,412
==============
</Table>
Swap agreements outstanding at June 30, 2005:
<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(f) 09/15/10 $ 6,600,000 $ 313,708
Receive fixed rate
payments of 5.00% and
pay variable rate
payments on the six
month LIBOR floating
rate(d) 09/15/10 4,000,000 190,126
Receive variable rate
payments on the six
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(f) 12/16/19 (6,600,000) (172,757)
Receive variable rate
payments on the six
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(d) 06/18/34 (1,900,000) (189,891)
-----------
141,186
-----------
EUROS
Receive variable rate
payments on the six
month LIBOR floating
rate and pay fixed
rate payments of
4.00%(d) 12/15/14 (7,300,000) (524,458)
-----------
</Table>
See Notes to Financial Statements.
48
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- --------------
U.S. DOLLARS
Receive fixed rate
payments of 0.48% and
pay floating rate par
in event of default
on Russian
Federation, 5.00% due
03/31/30(e) 08/20/05 $ 600,000 $ 130
Receive fixed rate
payments of 0.55% and
pay floating rate par
in event of default
on Russian
Federation, 5.00% due
03/31/30(i) 09/07/05 400,000 135
Receive fixed rate
payments of 0.61% and
pay floating rate par
in event of default
on Russian
Federation, 5.00% due
03/31/30(h) 03/20/07 1,300,000 127
Receive fixed rate
payments of 0.70% and
pay floating rate par
in event of default
on Russian
Federation, 5.00% due
03/31/30(a) 03/20/07 3,700,000 5,276
Receive fixed rate
payments of 0.77% and
pay floating rate par
in event of default
on Russian
Federation, 5.00% due
03/31/30(g) 05/20/07 200,000 543
Receive fixed rate
payments of 4.00% and
pay variable rate
payments on the three
month LIBOR floating
rate(d) 12/15/07 57,700,000 (111,280)
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
4.00%(a) 12/15/07 (6,000,000) 11,572
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- --------------
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
4.00%(a) 12/15/10 $(13,100,000) $ 126,442
Receive variable rate
payments on the three
month LIBOR floating
rate and pay fixed
rate payments of
5.00%(a) 12/15/15 (18,100,000) (840,828)
-----------
(807,883)
-----------
$(1,191,155)
===========
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 14.7
Asset-Backed Securities 20.9
Certificates of Deposit 0.4
Corporate Bonds 11.7
Foreign Bonds 5.5
Forward Foreign Currency Contracts (2.5)
Futures Contracts 38.5
Mortgage-Backed Securities 28.9
Municipal Bonds 0.7
Options --*
Preferred Stocks --*
Repurchase Agreements 6.5
Short Term Investments 13.3
Swap Contracts (0.1)
U.S. Treasury Obligations 20.4
Written Options --*
------
158.9
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.005%.
See Notes to Financial Statements.
49
MEDIUM-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 7.48% 7.30% 6.95% 6.80% N/A N/A
Since Inception 6.46% 6.51% 6.18% 5.96% 3.07%(1) 3.13%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
10051 10056
Sep 2001 10123 10173
10364 10386
10223 10243
Dec 2001 10149 10177
10253 10260
10387 10359
Mar 2002 10223 10187
10422 10384
10479 10473
Jun 2002 10453 10563
10466 10691
10685 10871
Sep 2002 10774 11047
10752 10997
10833 10994
Dec 2002 11079 11221
11165 11231
11315 11386
Mar 2003 11312 11377
11461 11471
11671 11685
Jun 2003 11674 11662
11295 11270
11403 11345
Sep 2003 11721 11645
11638 11536
11704 11564
Dec 2003 11811 11682
11898 11776
12014 11903
Mar 2004 12105 11992
11831 11680
11802 11634
Jun 2004 11875 11700
11978 11816
12202 12041
Sep 2004 12251 12074
12353 12175
12306 12078
Dec 2004 12425 12189
12472 12266
12430 12193
Mar 2005 12379 12131
12532 12295
12663 12428
Jun 2005 12741 12496
</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.
- ---------------
(1) Non-annualized.
50
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 PAR VALUE
- ------------- ------------ --------------
AGENCY OBLIGATIONS -- 4.9%
Federal Home Loan Bank
2.50%, 04/11/06 $ 5,000,000 $ 4,953,570
2.88%, 05/22/06 3,000,000 2,977,587
3.26%, 12/13/06++ 4,900,000 4,900,319
3.50%, 02/13/09 1,000,000 986,019
4.08%, 04/26/10 1,500,000 1,505,400
Federal Home Loan Mortgage
Corporation
3.00%, 07/09/08 $ 2,000,000 $ 1,949,970
6.88%, 09/15/10 2,000,000 2,266,088
Federal National Mortgage
Association
2.65%, 07/01/05 4,700,000 4,700,000
3.39%, 12/05/05++++ 445,000 438,276
3.25%, 07/12/06 5,000,000 4,974,569
3.05%, 10/13/06 2,000,000 1,981,784
7.25%, 01/15/10 9,000,000 10,215,459
7.13%, 06/15/10 8,500,000 9,690,672
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $51,370,411) 51,539,713
--------------
ASSET-BACKED SECURITIES -- 3.6%
ACE Securities Corporation
3.42%, 04/25/34 STEP 415,183 415,176
American Express Credit
Account Master Trust
3.36%, 04/15/08++ 3,000,000 3,000,867
Amortizing Residential
Collateral Trust
3.59%, 04/25/32++ 149,725 149,983
AQ Finance NIM Trust
3.53%, 01/25/09 144A++ 82,247 82,240
Bayview Financial
Acquisition Trust
3.77%, 02/28/44++ 2,237,638 2,245,330
Centex Home Equity
3.61%, 09/26/33++ 448,729 449,206
Chesapeake Funding LLC
3.41%, 08/07/08++ 2,016,703 2,017,472
Citibank Credit Card
Issuance Trust
4.22%, 02/09/09++ 670,000 677,488
CitiFinancial Mortgage
Securities, Inc.
3.60%, 08/25/33 STEP 212,441 212,543
Conseco Finance
Securitizations
Corporation
6.77%, 09/01/32 892,113 902,369
8.96%, 02/01/33 IO(omg)@ 11,970,000 445,164
5.16%, 05/01/33 9,835 9,836
Countrywide Asset-Backed
Certificates
3.46%, 10/25/23 STEP 529,887 529,940
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
Countrywide Home Equity
Loan Trust
3.48%, 04/15/28++ 232,445 232,330
3.57%, 03/15/29++ 2,858,202 2,866,478
3.51%, 05/15/29++ 2,698,407 2,706,918
CS First Boston Mortgage
Securities Corporation
3.45%, 05/25/35 STEP 2,472,184 2,472,360
EMC Mortgage Loan Trust
3.86%, 11/25/41 144A++ 1,140,806 1,145,975
EQCC Trust
3.61%, 10/25/31++ 282,711 283,183
Fannie Mae Grantor Trust
3.36%, 07/25/35 STEP 100,000 100,031
First Horizon Asset Back
Trust
3.60%, 10/25/34++ 1,553,516 1,558,742
Fleet Home Equity Loan
Trust
3.47%, 05/30/31++ 962,630 962,584
GSAMP Trust
3.46%, 08/25/34++ 222,695 222,691
HFC Home Equity Loan
Asset-Backed
Certificates
3.61%, 10/20/32++ 479,369 479,685
3.81%, 10/20/32++ 801,510 802,552
Home Equity Mortgage Trust
3.46%, 12/25/34++ 348,871 348,899
Household Mortgage Loan
Trust
3.59%, 06/20/33++ 488,252 489,004
Madison Avenue
Manufactured Housing
Contract
3.66%, 09/25/08++ 1,758,815 1,761,208
Master Asset-Backed
Securities Trust
3.50%, 03/25/35 STEP 2,000,000 2,000,483
Metropolitan Asset
Funding, Inc.
3.77%, 04/25/29 STEP
144A 13,359 13,357
Morgan Stanley Dean Witter
Credit Corporation HELOC
Trust
3.50%, 07/25/17 STEP 520,611 520,641
NextCard Credit Card
Master Note Trust
10.09%, 12/15/06 144A++ 910,000 92,443
Provident Bank Home Equity
Loan Trust
3.58%, 08/25/31++ 388,177 388,791
Quest Trust
3.87%, 06/25/34 144A++ 654,766 656,604
Residential Asset Mortgage
Products, Inc.
3.55%, 03/25/34 STEP 2,162,721 2,162,677
</Table>
See Notes to Financial Statements.
51
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
Salomon Brothers Mortgage
Securities VII
3.79%, 03/30/28 STEP $ 180,084 $ 180,097
Saxon Asset Securities
Trust
3.63%, 06/25/33 STEP 17,818 17,828
Structured Asset
Securities Corporation
3.76%, 02/25/33++ 363,232 363,794
SVO Timeshare Mortgage
Corporation
5.47%, 10/20/13 144A 308,482 311,021
Washington Mutual, Inc.
3.34%, 07/15/20 3,000,000 3,000,000
--------------
TOTAL ASSET-BACKED SECURITIES
(Cost $38,385,011) 37,277,990
--------------
CORPORATE BONDS -- 11.6%
ACE Capital Trust II
9.70%, 04/01/30+++ 60,000 83,040
ACE INA Holdings, Inc.
8.30%, 08/15/06 550,000 574,377
5.88%, 06/15/14 150,000 157,467
AES Corporation (The)
9.50%, 06/01/09+++ 42,000 47,040
9.38%, 09/15/10+++ 30,000 34,125
8.75%, 05/15/13 144A 520,000 583,700
9.00%, 05/15/15 144A 760,000 856,899
Alltel Corporation
4.66%, 05/17/07+++ 350,000 352,904
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
Amerada Hess Corporation
7.30%, 08/15/31 $ 1,320,000 $ 1,597,786
7.13%, 03/15/33+++ 400,000 476,015
American Achievement
Corporation
8.25%, 04/01/12 30,000 30,300
AmeriGas Partners LP
7.25%, 05/20/15 144A 80,000 83,600
AmerisourceBergen
Corporation
8.13%, 09/01/08 80,000 87,200
Ameritech Capital Funding
6.25%, 05/18/09 100,000 106,394
AMFM, Inc.
8.00%, 11/01/08 1,075,000 1,156,648
ANZ Capital Trust I
4.48%, 01/29/49 144A 125,000 124,581
5.36%, 12/29/49 144A 800,000 824,665
Apache Corporation
6.25%, 04/15/12+++ 300,000 335,452
ASIF Global Financing XIX
4.90%, 01/17/13 144A 380,000 386,206
Astoria Financial
Corporation
5.75%, 10/15/12 450,000 472,154
Bank One Corporation
4.13%, 09/01/07+++ 1,100,000 1,105,051
Bank United Corporation
8.88%, 05/01/07 125,000 134,488
Beazer Homes USA
8.63%, 05/15/11+++ 10,000 10,650
BellSouth Capital Funding
7.88%, 02/15/30 460,000 595,568
BellSouth Corporation
4.75%, 11/15/12 170,000 171,156
6.88%, 10/15/31+++ 10,000 11,876
Boeing Co. (The)
6.63%, 02/15/38 210,000 260,036
Case New Holland, Inc.
9.25%, 08/01/11 144A 39,000 41,145
Cendant Corporation
6.25%, 01/15/08 150,000 156,559
CenterPoint Energy
Resources Corporation
7.88%, 04/01/13 50,000 59,480
5.95%, 01/15/14 1,025,000 1,097,113
CenterPoint Energy, Inc.
7.25%, 09/01/10 75,000 83,305
Charter Communications
Operating LLC
8.00%, 04/30/12 144A+++@ 250,000 250,000
Chesapeake Energy
Corporation
7.50%, 09/15/13 50,000 54,375
Cincinnati Bell, Inc.
7.25%, 07/15/13+++ 60,000 63,300
7.00%, 02/15/15 144A 101,000 99,233
Citigroup, Inc.
5.00%, 03/06/07+++ 2,200,000 2,238,267
5.00%, 09/15/14 144A 325,000 333,068
Clear Channel
Communications, Inc.
4.25%, 05/15/09 250,000 241,128
Cleveland Electric
Illuminating Co. (The)
5.65%, 12/15/13 60,000 63,210
7.88%, 11/01/17 2,050,000 2,573,013
Clorox Co.
3.53%, 12/14/07++ 1,500,000 1,503,035
CNA Financial Corporation
6.75%, 11/15/06 180,000 185,607
Comcast Cable
Communications Holdings,
Inc.
8.38%, 03/15/13 225,000 274,758
9.46%, 11/15/22 600,000 850,883
Comcast Cable
Communications, Inc.
6.75%, 01/30/11 740,000 817,363
Comcast Corporation
10.50%, 06/15/06 650,000 684,540
Computer Associates
International, Inc.
4.75%, 12/01/09 144A@ 425,000 424,064
ConocoPhillips
8.75%, 05/25/10 230,000 274,265
</Table>
See Notes to Financial Statements.
52
<Table>
<Caption>
PAR VALUE
------------ --------------
ConocoPhillips Holding Co.
6.95%, 04/15/29+++ $ 565,000 $ 712,108
Cox Communications, Inc.
4.63%, 01/15/10 144A 800,000 798,694
Cox Enterprises, Inc.
4.38%, 05/01/08 144A 600,000 595,006
CSC Holdings, Inc.
7.63%, 04/01/11+++ 560,000 555,800
6.75%, 04/15/12 144A 60,000 56,700
7.63%, 07/15/18 50,000 48,500
D.R. Horton, Inc.
8.50%, 04/15/12 10,000 10,950
DaimlerChrysler NA Holding
Corporation
3.89%, 05/24/06++ 1,200,000 1,203,395
4.23%, 08/08/06++ 2,200,000 2,215,677
7.30%, 01/15/12 550,000 615,396
6.50%, 11/15/13 210,000 227,633
Dana Corporation
5.85%, 01/15/15 144A+++ 200,000 177,000
DaVita, Inc.
6.63%, 03/15/13 144A 10,000 10,375
7.25%, 03/15/15 144A+++ 30,000 30,975
Delta Air Lines, Inc.
6.42%, 07/02/12 400,000 421,070
6.72%, 01/02/23+++ 697,837 732,502
Devon Energy Corporation
7.95%, 04/15/32+++ 745,000 983,105
Dominion Resources, Inc.
4.13%, 02/15/08 70,000 69,744
5.13%, 12/15/09+++ 230,000 236,309
4.75%, 12/15/10 70,000 70,509
5.70%, 09/17/12 270,000 285,141
Dryden Investor Trust
7.16%, 07/23/08 144A@ 1,352,896 1,408,108
Dynegy Holdings, Inc.
8.75%, 02/15/12+++ 910,000 996,450
Eastman Kodak Co.
7.25%, 11/15/13+++ 330,000 348,595
Echostar DBS Corporation
5.75%, 10/01/08+++ 500,000 499,375
6.35%, 10/01/08++ 103,000 105,833
6.63%, 10/01/14 30,000 29,775
El Paso Corporation
3.35%, 02/28/21
CONV(omg) 70,000 37,800
8.05%, 10/15/30+++ 600,000 597,000
7.80%, 08/01/31+++ 1,150,000 1,124,125
7.75%, 01/15/32+++ 530,000 519,400
El Paso Natural Gas Co.
8.38%, 06/15/32 210,000 245,280
Enterprise Products
Operating LP
4.95%, 06/01/10 225,000 226,302
EOP Operating LP
7.75%, 11/15/07 100,000 107,434
Firstar Bank NA
7.13%, 12/01/09 170,000 190,149
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
FirstEnergy Corporation
5.50%, 11/15/06 $ 600,000 $ 610,478
6.45%, 11/15/11 70,000 76,584
7.38%, 11/15/31+++ 1,700,000 2,084,749
Ford Motor Co.
6.63%, 10/01/28 150,000 117,973
7.45%, 07/16/31+++ 1,090,000 912,277
Ford Motor Credit Co.
3.59%, 07/18/05++ 3,200,000 3,198,745
6.88%, 02/01/06 450,000 454,561
4.95%, 01/15/08 760,000 725,400
6.63%, 06/16/08 350,000 345,904
7.38%, 10/28/09 2,960,000 2,895,094
5.70%, 01/15/10+++ 250,000 230,809
7.88%, 06/15/10 590,000 583,626
7.38%, 02/01/11+++ 3,980,000 3,881,275
7.00%, 10/01/13+++ 50,000 48,047
Forest City Enterprises,
Inc.
7.63%, 06/01/15 20,000 21,500
6.50%, 02/01/17+++ 49,000 49,123
Fresenius Medical Care
Capital Trust II
7.88%, 02/01/08 169,000 177,028
General Electric Capital
Corporation
5.45%, 01/15/13 460,000 488,711
General Electric Co.
5.00%, 02/01/13 1,170,000 1,209,934
General Motors Acceptance
Corporation
4.39%, 10/20/05++ 800,000 800,751
6.75%, 01/15/06 475,000 478,809
4.00%, 02/09/06(E) 350,000 423,524
5.75%, 02/14/06(E) 325,000 395,363
6.13%, 09/15/06 210,000 210,210
6.13%, 02/01/07+++ 170,000 168,897
4.13%, 03/20/07++ 900,000 873,280
6.15%, 04/05/07 270,000 268,705
6.13%, 08/28/07 1,460,000 1,445,702
5.63%, 05/15/09 840,000 787,320
7.75%, 01/19/10 500,000 489,230
General Motors Corporation
8.38%, 07/05/33(E)+++ 170,000 170,000
8.38%, 07/15/33+++ 3,410,000 2,864,399
Georgia-Pacific
Corporation
8.13%, 05/15/11+++ 4,000 4,530
9.50%, 12/01/11+++ 15,000 18,188
9.38%, 02/01/13 4,000 4,545
Greenpoint Financial
Corporation
3.20%, 06/06/08 300,000 291,393
HCA, Inc.
6.95%, 05/01/12 125,000 133,127
7.69%, 06/15/25 150,000 161,456
Heinz (H.J.) Co.
6.19%, 12/01/20 144A++@ 1,500,000 1,514,267
</Table>
See Notes to Financial Statements.
53
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
Host Marriott LP
9.50%, 01/15/07 $ 550,000 $ 585,750
9.25%, 10/01/07 32,000 34,720
HSBC Bank USA NA
3.51%, 09/21/07++ 1,300,000 1,301,320
HSBC Finance Corporation
8.00%, 07/15/10 440,000 508,234
7.00%, 05/15/12 390,000 443,019
6.38%, 11/27/12+++ 70,000 77,534
IMC Global, Inc.
10.88%, 06/01/08+++ 49,000 55,370
10.88%, 08/01/13 50,000 58,875
International Paper Co.
5.50%, 01/15/14 265,000 271,055
iStar Financial, Inc.
8.75%, 08/15/08+++ 200,000 223,735
6.50%, 12/15/13 125,000 131,470
5.70%, 03/01/14+++ 400,000 405,822
JPM Capital Trust II
7.95%, 02/01/27 700,000 760,752
JPMorgan Chase & Co.
5.75%, 01/02/13 320,000 343,375
Kansas City Southern
Railway
9.50%, 10/01/08 119,000 130,305
Kerr-McGee Corporation
7.88%, 09/15/31+++ 260,000 297,364
L-3 Communications
Corporation
7.63%, 06/15/12+++ 250,000 267,500
La Quinta Properties, Inc.
7.00%, 08/15/12 20,000 20,775
Lamar Media Corporation
7.25%, 01/01/13+++ 100,000 106,000
Lehman Brothers Holdings,
Inc.
4.00%, 01/22/08+++ 570,000 568,303
Liberty Media Corporation
5.70%, 05/15/13 315,000 293,435
3.75%, 02/15/30 CONV 40,000 23,850
Liberty Media Group
7.88%, 07/15/09 10,000 10,681
Liberty Mutual Group
5.75%, 03/15/14 144A+++ 250,000 252,102
7.00%, 03/15/34 144A 75,000 79,181
Lockheed Martin
Corporation
8.50%, 12/01/29 190,000 275,249
Lubrizol Corporation
4.63%, 10/01/09+++ 475,000 475,512
5.50%, 10/01/14 150,000 154,977
Lyondell Chemical Co.
9.63%, 05/01/07 48,000 51,480
9.88%, 05/01/07+++ 106,000 109,180
MacDermid, Inc.
9.13%, 07/15/11 111,000 120,158
Manor Care, Inc.
8.00%, 03/01/08 87,000 94,402
Mediacom LLC
9.50%, 01/15/13+++ 500,000 501,250
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
Merrill Lynch & Co., Inc.
3.38%, 09/14/07 $ 420,000 $ 416,013
Millennium America, Inc.
9.25%, 06/15/08+++ 4,000 4,350
Nabisco, Inc.
7.55%, 06/15/15 1,530,000 1,865,598
New Cingular Wireless
Services, Inc.
7.88%, 03/01/11 100,000 116,352
8.13%, 05/01/12+++ 135,000 161,968
Nextel Communications,
Inc.
5.95%, 03/15/14 294,000 306,863
7.38%, 08/01/15 130,000 141,050
Niagara Mohawk Power
Corporation
7.75%, 10/01/08 1,340,000 1,473,341
Nortek, Inc.
8.50%, 09/01/14 125,000 116,875
Northrop Grumman
Corporation
4.08%, 11/16/06 280,000 279,283
Omnicare, Inc.
8.13%, 03/15/11 239,000 253,340
Oncor Electric Delivery
Co.
6.38%, 01/15/15+++ 140,000 155,464
Oxford Industries, Inc.
8.88%, 06/01/11 60,000 64,500
Pacific Energy Partners LP
7.13%, 06/15/14 60,000 62,775
Pacific Gas & Electric Co.
3.82%, 04/03/06+++++ 324,000 324,000
6.05%, 03/01/34 710,000 785,274
Patrons' Legacy
5.65%, 01/17/17 144A 640,000 651,949
Peabody Energy Corporation
6.88%, 03/15/13+++ 145,000 154,425
Pemex Project Funding
Master Trust
9.13%, 10/13/10 1,075,000 1,261,513
PHH Corporation
6.00%, 03/01/08 475,000 489,924
Plains Exploration &
Production Co.
7.13%, 06/15/14+++ 100,000 107,500
Pliant Corporation
11.63%, 06/15/09 144A 212,746 228,702
Popular North America,
Inc.
6.13%, 10/15/06 200,000 203,931
4.25%, 04/01/08 300,000 300,217
3.88%, 10/01/08 250,000 247,495
PPL Capital Funding Trust
I
7.29%, 05/18/06 1,400,000 1,433,985
Pride International, Inc.
7.38%, 07/15/14 130,000 143,325
Prudential Funding LLC
6.60%, 05/15/08 144A 600,000 640,119
</Table>
See Notes to Financial Statements.
54
<Table>
<Caption>
PAR VALUE
------------ --------------
PVNGS II Funding
Corporation, Inc.
8.00%, 12/30/15 $ 1,800,000 $ 2,000,426
Qwest Capital Funding,
Inc.
7.25%, 02/15/11+++ 200,000 192,500
Qwest Corporation
5.63%, 11/15/08+++ 600,000 592,500
9.13%, 03/15/12 144A 250,000 273,125
7.50%, 06/15/23 500,000 463,750
Rabobank Capital Funding
II
5.26%, 12/29/13
144A+++++ 50,000 51,525
Rabobank Capital Funding
Trust III
5.25%, 10/31/49 144A++ 350,000 359,772
Raytheon Co.
6.00%, 12/15/10 5,000 5,352
5.50%, 11/15/12+++ 10,000 10,537
5.38%, 04/01/13+++ 115,000 119,954
Reader's Digest
Association, Inc.
6.50%, 03/01/11+++ 40,000 40,800
Russell Corporation
9.25%, 05/01/10 10,000 10,600
Ryland Group, Inc.
9.75%, 09/01/10 136,000 146,254
Safeco Corporation
4.20%, 02/01/08 450,000 448,374
SBC Communications, Inc.
4.13%, 09/15/09 425,000 421,880
5.10%, 09/15/14 420,000 430,219
Schuler Homes, Inc.
9.38%, 07/15/09 38,000 39,846
Simon Property Group LP
7.38%, 01/20/06 900,000 915,528
Sithe/Independence Funding
Corporation
9.00%, 12/30/13 30,000 32,320
SLM Corporation
4.27%, 04/01/09++ 1,100,000 1,081,575
Solo Cup Co.
8.50%, 02/15/14+++ 30,000 28,200
Sonat, Inc.
7.63%, 07/15/11 460,000 465,750
Southern California Edison
Co.
6.38%, 01/15/06 500,000 506,258
Southern Natural Gas Co.
8.88%, 03/15/10+++ 130,000 143,251
8.00%, 03/01/32 400,000 456,917
Sovereign Bancorp, Inc.
3.62%, 08/25/06++ 300,000 300,664
Sovereign Bank
5.13%, 03/15/13 50,000 51,067
4.38%, 08/01/13++ 525,000 522,955
Sprint Capital Corporation
4.78%, 08/17/06 STEP 710,000 715,375
6.00%, 01/15/07 290,000 297,284
6.13%, 11/15/08+++ 560,000 590,407
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
8.38%, 03/15/12 $ 300,000 $ 361,323
6.88%, 11/15/28 775,000 892,358
Suburban Propane Partners
LP
6.88%, 12/15/13 144A 90,000 85,950
6.88%, 12/15/13 30,000 28,650
TCI Communications
Financing III
9.65%, 03/31/27 2,610,000 2,964,719
Tenet Healthcare
Corporation
7.38%, 02/01/13+++ 170,000 168,725
9.25%, 02/01/15 144A 1,655,000 1,725,338
Terex Corporation
7.38%, 01/15/14+++ 20,000 20,800
Time Warner Entertainment
Co. LP
8.38%, 07/15/33 320,000 426,060
Time Warner, Inc.
6.88%, 05/01/12 110,000 124,298
7.70%, 05/01/32+++ 1,310,000 1,662,521
Toys "R" Us, Inc.
7.38%, 10/15/18 170,000 138,550
TXU Corporation
4.80%, 11/15/09 144A 575,000 567,393
6.50%, 11/15/24 144A 475,000 467,657
6.55%, 11/15/34 144A+++ 1,080,000 1,066,092
TXU Energy Co. LLC
3.92%, 01/17/06++ 155,000 154,980
3.92%, 01/17/06 144A++ 700,000 700,197
7.00%, 03/15/13 150,000 167,537
Tyco International Group
SA Participation
Certificate Trust
4.44%, 06/15/07 144A@ 400,000 400,982
Tyson Foods, Inc.
7.25%, 10/01/06 100,000 103,685
8.25%, 10/01/11+++ 100,000 118,745
Unilever Capital
Corporation
7.13%, 11/01/10 285,000 322,550
Union Pacific Corporation
6.65%, 01/15/11+++ 260,000 289,584
United Air Lines, Inc.
9.21%, 01/21/17#@ 200,000 106,391
9.56%, 10/19/18#@ 262,152 100,508
United Telephone Co. of
Kansas
6.89%, 07/01/08@ 500,000 522,973
Ventas Realty LP
8.75%, 05/01/09+++ 70,000 77,700
9.00%, 05/01/12+++ 30,000 34,650
Verizon Global Funding
Corporation
6.88%, 06/15/12+++ 40,000 45,458
4.38%, 06/01/13+++ 140,000 138,667
Vintage Petroleum, Inc.
8.25%, 05/01/12 250,000 272,500
Washington Mutual, Inc.
8.25%, 04/01/10 250,000 287,406
</Table>
See Notes to Financial Statements.
55
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
Waste Management, Inc.
7.75%, 05/15/32 $ 980,000 $ 1,247,200
Westlake Chemical
Corporation
8.75%, 07/15/11 32,000 34,960
Weyerhaeuser Co.
6.00%, 08/01/06 200,000 203,615
6.75%, 03/15/12+++ 705,000 776,721
Williams Cos., Inc.
7.50%, 01/15/31 270,000 293,625
7.75%, 06/15/31+++ 200,000 221,500
8.75%, 03/15/32+++ 1,130,000 1,363,062
Xerox Corporation
7.13%, 06/15/10 250,000 267,188
XTO Energy, Inc.
7.50%, 04/15/12 43,000 49,523
6.25%, 04/15/13+++ 255,000 276,398
--------------
TOTAL CORPORATE BONDS
(Cost $116,598,744) 121,551,388
--------------
FOREIGN BONDS -- 12.7%
AUSTRALIA -- 0.2%
Australian Government
5.25%, 08/15/10(A) 2,460,000 1,885,349
QBE Insurance Group, Ltd.
5.65%, 07/01/23 144A++ 525,000 537,796
--------------
2,423,145
--------------
BAHAMAS -- 0.0%
Teekay Shipping
Corporation
8.88%, 07/15/11 176,000 201,740
--------------
BERMUDA -- 0.5%
Arch Capital Group, Ltd.
7.35%, 05/01/34 550,000 622,725
Intelsat, Ltd.
6.50%, 11/01/13+++ 110,000 89,650
Tyco International Group
SA
6.38%, 02/15/06 100,000 101,353
5.80%, 08/01/06 800,000 814,538
6.13%, 11/01/08+++ 90,000 95,369
6.00%, 11/15/13 2,920,000 3,180,742
--------------
4,904,377
--------------
BRAZIL -- 0.8%
Federal Republic of Brazil
8.00%, 10/15/05 717,735 739,802
4.25%, 04/15/06++ 352,000 352,369
14.50%, 10/15/09+++ 900,000 1,170,000
12.00%, 04/15/10+++ 410,000 500,200
4.31%, 04/15/12+++++ 362,358 348,883
4.31%, 04/15/12++ 123,531 119,517
8.00%, 04/15/14 211,098 217,588
10.13%, 05/15/27+++ 800,000 930,800
11.00%, 08/17/40+++ 3,625,000 4,365,407
--------------
8,744,566
--------------
BULGARIA -- 0.1%
Republic of Bulgaria
8.25%, 01/15/15 480,000 605,568
8.25%, 01/15/15 144A 260,000 326,625
--------------
932,193
--------------
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
CANADA -- 0.4%
Bombardier Capital Funding
LP
6.13%, 05/14/07(E) $ 250,000 $ 310,207
Canadian Government
Inflationary Index
4.00%, 12/01/31(C) 770,000 1,055,243
Cascades, Inc.
7.25%, 02/15/13 16,000 15,720
Conoco Funding Co.
7.25%, 10/15/31+++ 315,000 414,902
General Motors Nova Scotia
Finance Co.
6.85%, 10/15/08 1,670,000 1,575,284
Hydro Quebec
6.30%, 05/11/11 305,000 337,433
Rogers Cable, Inc.
5.50%, 03/15/14 250,000 236,875
Rogers Wireless
Communications, Inc.
6.54%, 12/15/10++ 250,000 261,875
6.38%, 03/01/14 144A 100,000 102,250
7.50%, 03/15/15 10,000 10,925
Sun Media Corporation
7.63%, 02/15/13 50,000 53,188
Western Oil Sands, Inc.
8.38%, 05/01/12+++ 95,000 108,656
--------------
4,482,558
--------------
CAYMAN ISLANDS -- 0.2%
ACE, Ltd.
6.00%, 04/01/07 350,000 359,823
Mizuho Financial Group
(Cayman), Ltd.
5.79%, 04/15/14 144A 500,000 526,830
Systems 2001 Asset Trust
LLC
6.66%, 09/15/13 144A 874,183 953,965
--------------
1,840,618
--------------
CHILE -- 0.0%
Codelco, Inc.
4.75%, 10/15/14 144A 210,000 208,060
Empresa Nacional de
Electricidad SA
8.35%, 08/01/13 130,000 151,260
--------------
359,320
--------------
COLOMBIA -- 0.1%
Republic of Colombia
10.50%, 07/09/10+++ 60,000 71,700
11.75%, 02/25/20+++ 605,000 798,600
--------------
870,300
--------------
</Table>
See Notes to Financial Statements.
56
<Table>
<Caption>
PAR VALUE
------------ --------------
EL SALVADOR -- 0.0%
Republic of El Salvador
8.25%, 04/10/32 $ 100,000 $ 107,700
7.65%, 06/15/35 144A@ 140,000 140,000
--------------
247,700
--------------
FRANCE -- 2.2%
France Government
Inflationary Index
3.00%, 07/25/09(E) 4,810,000 7,107,469
French Treasury Bill
1.80%, 09/01/05(E)(omg) 13,000,000 15,678,062
Legrand SA
8.50%, 02/15/25 250,000 303,750
--------------
23,089,281
--------------
GERMANY -- 2.7%
Deutsche Bundesrepublik
5.00%, 01/04/12(E) 1,150,000 1,577,149
3.75%, 01/04/15(E)+++ 4,000,000 5,101,585
6.50%, 07/04/27(E) 12,300,000 21,381,598
Morgan Stanley (Gazprom)
9.63%, 03/01/13 144A 110,000 135,438
9.63%, 03/01/13 40,000 49,160
--------------
28,244,930
--------------
GUATEMALA -- 0.0%
Republic of Guatemala
8.13%, 10/06/34 144A 170,000 182,750
--------------
IRELAND -- 0.0%
Eircom Funding
8.25%, 08/15/13+++ 130,000 141,700
--------------
ISRAEL -- 0.1%
Israel Government
10.00%, 05/31/12(I) 1,000,000 268,254
7.50%, 03/31/14(I) 3,320,000 796,757
--------------
1,065,011
--------------
ITALY -- 0.3%
Republic of Italy
3.80%, 03/27/08(J)+++ 156,000,000 1,551,491
Telecom Italia Capital SA
4.00%, 01/15/10 144A+++ 225,000 218,850
5.25%, 11/15/13 165,000 167,790
4.95%, 09/30/14 144A 835,000 828,287
Telecom Italia Finance NV
7.75%, 01/24/33(E) 100,000 168,649
--------------
2,935,067
--------------
JAPAN -- 0.0%
Chuo Mitsui Trust &
Banking Co., Ltd.
5.51%, 12/31/49
144A+++++ 250,000 246,065
--------------
MALAYSIA -- 0.1%
Petronas Capital, Ltd.
7.88%, 05/22/22 144A+++ 430,000 550,834
--------------
MEXICO -- 1.1%
America Movil SA de CV
4.13%, 03/01/09+++ 850,000 834,457
6.38%, 03/01/35 250,000 245,212
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
United Mexican States
7.50%, 01/14/12 $ 750,000 $ 852,375
8.00%, 12/19/13(M) 35,900,000 3,033,634
11.50%, 05/15/26+++ 1,070,000 1,720,025
8.30%, 08/15/31 660,000 823,350
7.50%, 04/08/33 3,172,000 3,647,800
--------------
11,156,853
--------------
NETHERLANDS -- 1.6%
Deutsche Telekom
International Finance BV
8.75%, 06/15/30 600,000 814,910
Dutch Treasury Certificate
2.01%, 09/30/05(E)(omg) 11,400,000 13,728,464
Netherlands Government
4.25%, 07/15/13(E) 1,580,000 2,086,692
TPSA Finance BV
7.75%, 12/10/08 144A 375,000 414,191
--------------
17,044,257
--------------
PANAMA -- 0.2%
Republic of Panama
8.25%, 04/22/08 520,000 569,400
9.63%, 08/08/11 80,000 96,000
10.75%, 05/15/20+++ 417,000 567,120
9.38%, 01/16/23 560,000 694,400
--------------
1,926,920
--------------
PERU -- 0.1%
Republic of Peru
5.00%, 03/07/17++ 221,000 212,315
5.00%, 03/07/17 144A++ 510,000 487,050
8.75%, 11/21/33 130,000 147,225
--------------
846,590
--------------
POLAND -- 0.3%
Poland Government
6.00%, 05/24/09(P) 11,440,000 3,586,753
--------------
QATAR -- 0.1%
State of Qatar
9.75%, 06/15/30 500,000 780,100
--------------
RUSSIA -- 1.2%
Ministry Finance of Russia
3.00%, 05/14/08 1,400,000 1,324,400
Russian Federation
8.25%, 03/31/10+++ 2,970,000 3,247,397
5.00%, 03/31/30 STEP+++ 6,920,000 7,742,580
--------------
12,314,377
--------------
SINGAPORE -- 0.1%
DBS Bank, Ltd.
5.00%, 11/15/19
144A+++++ 750,000 760,367
--------------
SOUTH KOREA -- 0.0%
Export-Import Bank of
Korea
5.25%, 02/10/14 144A 235,000 243,806
--------------
</Table>
See Notes to Financial Statements.
57
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
UNITED KINGDOM -- 0.3%
BP Capital Markets PLC
2.75%, 12/29/06 $ 740,000 $ 728,429
HBOS Capital Funding LP
6.07%, 12/31/49
144A+++++ 1,100,000 1,189,453
HSBC Capital Funding LP
4.61%, 12/29/49
144A+++++ 960,000 939,243
Royal & Sun Alliance
Insurance Group
8.50%, 12/08/14(U)++ 150,000 310,170
--------------
3,167,295
--------------
VENEZUELA -- 0.0%
Petrozuata Finance, Inc.
8.22%, 04/01/17 144A 140,000 131,250
--------------
TOTAL FOREIGN BONDS
(Cost $129,904,140) 133,420,723
--------------
MORTGAGE-BACKED SECURITIES -- 39.1%
ABN Amro Mortgage
Corporation
19.72%, 06/25/33
IO(omg)@ 941,328 106,334
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
Bear Stearns Adjustable
Rate Mortgage Trust
5.63%, 02/25/33++ $ 537,325 $ 543,077
3.52%, 06/25/34++ 1,300,000 1,262,753
Bear Stearns Alt-A Trust
3.63%, 02/25/34 STEP 518,284 518,481
5.45%, 05/25/35++ 1,647,322 1,668,690
Chevy Chase Funding LLC
3.37%, 07/25/34 144A++ 1,786,015 1,792,499
Commercial Mortgage Asset
Trust
7.55%, 01/17/10++ 440,000 489,460
Credit-Based Asset
Servicing and
Securitization
3.60%, 08/25/33++ 448,268 448,785
CS First Boston Mortgage
Securities Corporation
(15.25%), 04/25/33
IO(omg)@ 134,296 10,004
(27.72%), 05/25/33
IO(omg)@ 142,393 10,140
(4.52%), 06/25/33
IO(omg)@ 94,603 6,945
5.53%, 07/25/33 IO(omg)@ 1,019,497 141,290
25.36%, 07/25/33
IO++(omg)@ 878,512 10,798
24.25%, 08/25/33
IO++(omg)@ 906,006 8,866
3.64%, 03/25/34++ 407,208 407,535
Federal Home Loan Mortgage
Corporation
8.00%, 10/01/07 925 949
5.50%, 08/15/14 611,926 614,376
7.00%, 11/01/14 189,220 198,068
7.00%, 04/01/15 159,715 167,184
8.00%, 06/01/15 8,399 8,658
7.00%, 12/01/15 112,492 117,754
6.00%, 04/15/16 397,275 400,439
8.50%, 06/01/16 27,776 30,063
8.50%, 06/01/18 18,516 20,040
6.50%, 01/01/20 5,020,033 5,203,266
10.94%, 04/15/22
PO(omg)@ 69,541 69,234
8.00%, 08/01/24 13,819 14,924
7.50%, 11/01/29 41,582 44,550
7.50%, 12/01/29 62,404 66,858
7.50%, 02/01/31 92,290 98,821
3.91%, 07/01/31++ 198,657 204,097
5.62%, 08/01/31++ 121,482 124,800
7.50%, 11/01/31 61,403 65,747
5.35%, 04/01/32++ 70,296 71,066
4.30%, 03/01/34++ 31,295 31,134
6.50%, 07/01/34 2,195,238 2,273,048
6.50%, 10/01/34 778,139 808,480
5.50%, 05/01/35 2,996,398 3,040,135
Federal Housing
Administration
7.43%, 10/01/18++ 411,963 407,761
Federal National Mortgage
Association
6.50%, 04/26/06 340,354 348,365
31.90%, 10/25/08
IO++(omg)@ 568,550 61,234
6.50%, 03/25/11 116,761 116,495
8.00%, 06/01/15 96,000 102,676
8.00%, 06/15/15 74,719 79,915
8.00%, 07/01/15 150,696 161,176
8.00%, 09/01/15 140,457 150,225
6.00%, 10/25/15 425,177 427,262
6.00%, 05/01/16 366,788 379,355
6.00%, 07/01/16 47,929 49,571
6.00%, 02/01/17 745,558 771,258
5.00%, 12/01/17 218,701 221,290
5.50%, 02/01/18 321,387 330,113
4.50%, 01/01/19 279,960 278,888
4.50%, 04/01/19 562,322 560,202
5.50%, 08/01/20 TBA 42,000,000 43,050,001
3.61%, 08/25/21 IO(omg)@ 454 9,578
1.00%, 10/25/21 IO(omg)@ 1,057 19,775
20.07%, 01/25/22++ 392,295 474,324
3.65%, 03/25/22++ 485,130 480,497
9.50%, 05/01/22 12,990 14,300
3.43%, 07/01/22++ 67,267 67,831
6.00%, 01/01/23 275,298 283,670
9.50%, 07/01/24 24,995 27,436
3.65%, 07/01/27++ 75,699 77,257
4.45%, 08/01/27++ 281,749 290,170
3.65%, 11/01/27++ 141,365 144,276
6.50%, 08/01/28 TBA 2,000,000 2,068,124
6.50%, 12/25/28 161,907 162,628
6.50%, 12/01/29 470,857 488,988
7.39%, 02/01/30++ 203,648 206,192
5.94%, 06/01/30++ 181,852 188,215
8.00%, 10/01/30 150,071 161,402
3.71%, 10/18/30++ 128,363 129,287
5.00%, 12/01/30++ 51,463 52,972
3.65%, 01/01/31++ 37,097 37,557
6.06%, 04/01/31++ 82,438 84,841
6.21%, 05/01/31++ 99,589 102,192
4.46%, 06/01/31++ 59,413 61,082
5.38%, 06/01/31++ 107,446 110,458
</Table>
See Notes to Financial Statements.
58
<Table>
<Caption>
PAR VALUE
------------ --------------
5.52%, 06/01/31++ $ 76,906 $ 78,923
6.50%, 12/01/31 1,186,927 1,231,847
6.00%, 01/01/32 173,983 178,516
6.00%, 03/01/32 604,684 620,567
6.50%, 03/01/32 729,479 760,440
8.00%, 03/01/32 8,219 8,839
6.00%, 04/01/32 1,237,294 1,269,314
3.65%, 06/01/32++ 47,546 48,224
6.50%, 07/01/32 TBA 4,700,000 4,863,034
3.43%, 08/01/32++ 67,015 67,502
5.50%, 01/01/33 11,449,749 11,620,162
3.57%, 02/01/33++ 73,812 75,356
3.43%, 05/01/33++ 154,711 156,271
5.50%, 05/01/33 11,502,059 11,669,956
5.50%, 06/01/33 9,768,299 9,910,888
4.50%, 08/01/33 3,371,680 3,303,231
5.50%, 08/01/33 4,911,463 4,983,156
5.50%, 04/01/34 22,997,708 23,333,410
6.00%, 07/01/34 TBA 9,600,000 9,840,000
5.50%, 09/01/34 21,600,941 21,909,072
4.50%, 10/01/34 371,972 364,342
4.50%, 11/01/34 1,527,831 1,495,728
5.50%, 11/01/34 27,542,251 27,935,134
6.50%, 11/01/34 410,606 425,083
4.50%, 12/01/34 535,803 524,298
5.50%, 12/01/34 4,435,131 4,498,397
4.50%, 02/01/35 557,202 545,238
5.50%, 02/01/35 38,616,590 39,167,445
4.50%, 03/01/35 2,150,314 2,104,127
6.50%, 03/01/35 5,270,348 5,463,463
4.50%, 04/01/35 1,079,143 1,055,961
5.50%, 04/01/35 4,868,480 4,938,023
4.50%, 05/01/35 877,031 858,190
5.50%, 06/01/35 454,265 460,754
5.00%, 07/01/35 TBA 12,400,000 12,400,000
5.50%, 07/01/35 TBA 3,800,000 3,851,064
5.50%, 07/14/35 TBA 21,100,000 21,383,542
6.00%, 07/14/35 TBA 15,000,000 15,375,000
6.00%, 08/01/35 TBA 2,000,000 2,048,124
3.65%, 11/01/35++ 64,079 65,080
4.29%, 05/01/36++ 850,392 865,438
3.65%, 12/01/37++ 295,904 300,576
3.65%, 01/01/38++ 141,842 144,091
3.75%, 06/01/40++ 357,715 361,460
3.75%, 10/01/40++ 918,839 941,522
3.65%, 11/01/40++ 117,867 119,753
FFCA Secured Lending
Corporation
1.00%, 07/18/20 IO
144A++(omg)@ 2,796,133 163,658
Financial Asset
Securitization, Inc.
7.25%, 07/25/27 2,826 2,826
First Nationwide Trust
8.50%, 09/25/31 33,964 33,879
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
First Union Commercial
Mortgage Securities,
Inc.
7.38%, 04/18/07 $ 3,585,917 $ 3,719,103
First Union National Bank
Commercial Mortgage
Trust
7.20%, 09/15/10 1,500,000 1,690,711
GMAC Commercial Mortgage
Securities, Inc.
6.87%, 08/15/07 429,123 448,098
Government National
Mortgage Association
7.00%, 10/15/25 76,331 81,143
7.00%, 01/15/26 54,118 57,469
7.00%, 07/15/27 367,122 389,494
7.00%, 12/15/27 6,600 7,003
7.00%, 01/15/28 34,384 36,456
7.00%, 03/15/28 472,786 501,636
12.26%, 06/20/28
IO(omg)@ 35,351 503
7.00%, 07/15/28 51,531 54,636
7.50%, 07/15/28 16,174 17,349
6.50%, 08/15/28 65,170 68,224
7.00%, 08/15/28 74,890 79,402
7.50%, 08/15/28 53,056 56,914
6.50%, 09/15/28 255,237 267,197
7.00%, 10/15/28 83,050 88,054
7.50%, 12/15/28 9,545 10,239
7.50%, 03/15/29 117,337 125,955
7.50%, 11/15/29 127,238 136,411
4.13%, 11/20/29++ 322,880 327,479
8.50%, 08/15/30 10,552 11,502
8.50%, 11/20/30 72,773 79,033
7.50%, 02/15/31 11,523 12,348
6.50%, 08/15/31 438,566 458,399
7.50%, 08/15/31 216,555 232,067
6.50%, 10/15/31 753,783 787,981
6.00%, 11/15/31 1,403,218 1,448,257
6.50%, 11/15/31 472,547 493,917
6.00%, 12/15/31 540,051 557,385
6.00%, 01/15/32 927,132 957,361
6.00%, 02/15/32 1,138,380 1,174,919
6.50%, 02/15/32 925,638 967,645
7.50%, 02/15/32 47,398 50,793
22.46%, 02/16/32++ 394,002 535,450
6.00%, 04/15/32 964,447 995,891
6.50%, 04/15/32 829,289 866,792
7.50%, 04/15/32 259,822 278,433
6.50%, 06/15/32 2,680,559 2,802,287
6.50%, 07/15/32 403,140 421,370
6.50%, 08/15/32 1,485,095 1,552,254
6.50%, 09/15/32 1,261,148 1,318,179
6.00%, 10/15/32 1,050,801 1,084,529
6.00%, 11/15/32 1,092,291 1,127,488
6.00%, 12/15/32 515,457 532,002
</Table>
See Notes to Financial Statements.
59
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
6.50%, 12/15/32 $ 63,116 $ 65,970
6.00%, 01/15/33 524,020 540,839
6.00%, 02/15/33 410,596 423,775
6.50%, 03/15/33 373,029 389,898
6.50%, 04/15/33 3,174,402 3,317,955
6.00%, 05/15/33 4,382,046 4,522,697
6.50%, 05/15/33 323,484 338,112
6.00%, 06/15/33 436,929 450,953
5.00%, 08/15/33 1,544,489 1,558,362
5.00%, 09/15/33 1,674,817 1,689,860
5.00%, 10/15/33 584,544 589,794
6.00%, 10/15/33 1,692,274 1,746,591
6.50%, 10/15/33 677,541 708,180
6.00%, 12/15/33 1,902,183 1,963,237
5.00%, 07/01/34 TBA 8,500,000 8,563,750
GS Mortgage Securities
Corporation II
4.68%, 07/01/05 1,300,000 1,315,751
Impac CMB Trust
3.77%, 03/25/33++ 359,370 359,932
3.67%, 10/25/34++ 1,250,940 1,251,582
Indymac ARM Trust
3.93%, 09/28/31++ 95,894 95,654
LB-UBS Commercial Mortgage
Trust
4.66%, 07/15/30 1,000,000 1,011,560
4.74%, 07/15/30 830,000 840,898
10.07%, 06/15/36 IO
144A++(omg)@ 5,267,422 239,993
Master Reperforming Loan
Trust
7.00%, 08/25/34 144A 1,819,371 1,920,674
MLCC Mortgage Investors,
Inc.
3.73%, 09/25/27 STEP 2,907,417 2,902,175
3.52%, 03/25/28++ 292,223 292,758
Nomura Asset Securities
Corporation
7.07%, 04/13/36 217,247 219,978
7.12%, 04/13/36 2,000,000 2,043,875
Residential Asset Mortgage
Products, Inc.
1.57%, 07/25/41 144A++ 1,225,884 1,228,949
Residential Asset
Securitization Trust
3.76%, 04/25/33++ 294,698 294,921
Sequoia Mortgage Trust
3.23%, 07/20/33++ 1,486,341 1,490,365
3.66%, 11/20/34 STEP 1,643,856 1,645,772
3.51%, 02/20/35 STEP 932,096 931,017
3.36%, 03/20/35 STEP 1,757,267 1,754,479
Structured Asset
Securities Corporation
7.50%, 07/25/16 71,070 70,911
Washington Mutual, Inc.
24.46%, 01/25/08
IO++(omg)@ 1,092,931 21,153
22.40%, 05/25/08
IO(omg)@ 2,330,005 15,473
22.58%, 06/25/08
IO++(omg)@ 3,623,687 58,060
3.58%, 12/25/27 STEP 4,915,490 4,910,691
4.68%, 02/25/33++ 234,130 234,743
3.90%, 06/25/42++ 351,425 354,943
25.51%, 01/01/49
IO++(omg)@ 2,828,861 18,443
Wells Fargo Mortgage-
Backed Securities Trust
3.54%, 09/25/34++ 2,440,000 2,376,601
--------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $408,405,653) 409,840,173
--------------
MUNICIPAL BONDS -- 1.1%
Las Vegas Valley, Nevada
Water District, Series A
General Obligation Bond
(FGIC Insured)
5.00%, 06/01/32 1,000,000 1,049,760
Massachusetts State
Special Obligation,
Series A Revenue Bond,
Pre-refunded 06/01/12 @
100 (FGIC Insured)
5.00%, 06/01/12 2,945,000 3,238,351
Massachusetts State Water
Resources Authority,
Series J Revenue Bond
(FSA Insured)
5.00%, 08/01/32 1,250,000 1,311,363
</Table>
<Table>
<Caption>
PAR VALUE
------------ --------------
Minnesota State General
Obligation Bond
5.00%, 10/01/20 $ 200,000 $ 215,274
New York State Urban
Development Corporation,
Series A Revenue Bond,
Pre-refunded 03/15/12 @
100
5.13%, 03/15/12 1,500,000 1,670,715
South Carolina
Transportation
Infrastructure Bank,
Series A Revenue Bond
(AMBAC Insured)
5.00%, 10/01/23 2,700,000 2,865,915
Virginia State Housing
Development Authority,
Commonwealth Mortgage,
Series H Revenue Bond
(MBIA Insured)
5.38%, 07/01/36 1,000,000 1,034,330
--------------
TOTAL MUNICIPAL BONDS
(Cost $10,476,884) 11,385,708
--------------
</Table>
See Notes to Financial Statements.
60
<Table>
<Caption>
NUMBER OF
CONTRACTS VALUE
------------ --------------
OPTIONS -- 0.1%
CALL OPTIONS -- 0.0%
British Pounds
90-Day LIBOR Futures,
Strike Price $93.25,
Expires
09/21/05 133 0
--------------
U.S. Dollars
10-Year U.S. Treasury Note
Futures, Strike Price
$115.00, Expires
08/26/05 75 24,609
10-Year U.S. Treasury Note
Futures, Strike Price
$121.00, Expires
08/26/05 916 14,313
30-Year Federal National
Mortgage Association,
Strike Price $102.50,
Expires 08/04/05 5,000 42,155
5-Year U.S. Treasury Note
Futures, Strike Price
$113.00, Expires
08/26/05 845 13,203
--------------
94,280
--------------
CALL SWAPTIONS -- 0.1%
3-Month LIBOR, Strike
Price $5.75, Expires
04/27/09 280 466,765
--------------
PUT OPTIONS -- 0.0%
10-Year U.S. Treasury Note
Futures, Strike Price
$103.00, Expires
08/26/05 859 13,422
10-Year U.S. Treasury Note
Futures, Strike Price
$104.00, Expires
08/26/05 916 14,312
30-Year Federal National
Mortgage Association,
Strike Price $95.03,
Expires 08/04/05 570 6,544
30-Year Federal National
Mortgage Association,
Strike Price $96.81,
Expires 09/07/05 1,500 4,052
5-Year U.S. Treasury Note
Futures, Strike Price
$103.00, Expires
08/26/05 379 5,922
5-Year U.S. Treasury Note
Futures, Strike Price
$103.50, Expires
08/26/05 414 6,469
90-Day Eurodollar Futures,
Strike Price $93.75,
Expires 12/19/05 199 1,244
90-Day Eurodollar Futures,
Strike Price $94.00,
Expires 12/19/05 45 281
90-Day Eurodollar Futures,
Strike Price $94.50,
Expires 09/19/05 115 719
90-Day Eurodollar Futures,
Strike Price $94.75,
Expires 09/19/05 404 5,050
--------------
58,015
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike
Price $6.25, Expires
04/27/09 280 67,804
30-Year Federal National
Mortgage Association,
Strike Price $98.03,
Expires 07/07/05 1,580 1,272
--------------
69,076
--------------
TOTAL OPTIONS
(Cost $482,261) 688,136
--------------
<Caption>
SHARES VALUE
------------ --------------
PREFERRED STOCKS -- 0.2%
Fannie Mae 7.00%++ 15,850 879,180
General Motors Corporation
5.25% CONV 62,550 1,160,928
--------------
TOTAL PREFERRED STOCKS
(Cost $1,923,686) 2,040,108
--------------
RIGHTS -- 0.0%
United Mexican States
Recovery Rights Series
D,
06/30/06* 1,100,000 $ 28,325
United Mexican States
Recovery Rights Series
E,
06/30/07* 1,100,000 26,400
--------------
TOTAL RIGHTS
(Cost $0) 54,725
--------------
SHORT-TERM INVESTMENTS -- 34.9%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 121,387,179 121,387,179
Northern Institutional
Liquid Assets
Portfolio sec. 243,699,977 243,699,977
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $365,087,155) 365,087,156
--------------
<Caption>
PAR
------------
U.S. TREASURY OBLIGATIONS -- 26.0%
U.S. Treasury Bills
2.92%, 09/01/05 $ 60,000 59,693
2.93%, 09/01/05++++ 180,000 179,078
</Table>
See Notes to Financial Statements.
61
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
------------ --------------
2.95%, 09/15/05++++ $ 170,000 $ 168,927
2.99%, 09/15/05++++ 75,000 74,527
--------------
482,225
--------------
U.S. Treasury Bonds
8.13%, 08/15/19+++ 2,200,000 3,118,157
8.50%, 02/15/20+++ 2,000,000 2,934,064
7.88%, 02/15/21+++ 6,700,000 9,486,001
6.25%, 08/15/23+++ 12,500,000 15,581,551
6.00%, 02/15/26+++ 2,500,000 3,081,055
6.25%, 05/15/30+++ 4,490,000 5,849,805
5.38%, 02/15/31+++ 7,680,000 9,064,804
--------------
49,115,437
--------------
U.S. Treasury Inflationary
Index Bonds
3.38%, 01/15/07+++++++ 1,020,000 1,292,720
4.25%, 01/15/10+++ 1,120,000 1,457,862
0.88%, 04/15/10+++ 10,110,000 10,129,698
1.88%, 07/15/13+++ 1,150,000 1,244,605
2.00%, 07/15/14+++ 1,800,000 1,914,986
2.38%, 01/15/25+++ 1,790,000 2,022,994
3.88%, 04/15/29+++ 4,408,000 7,333,655
3.38%, 04/15/32+++ 60,000 73,433
--------------
25,469,953
--------------
U.S. Treasury Notes
3.00%, 12/31/06+++ 20,800,000 20,615,566
3.75%, 03/31/07+++ 1,200,000 1,202,203
3.00%, 02/15/08+++ 5,370,000 5,284,628
3.38%, 02/15/08+++ 13,470,000 13,376,343
3.75%, 05/15/08 1,600,000 1,604,002
2.63%, 03/15/09+++ 480,000 462,657
4.00%, 06/15/09+++ 6,740,000 6,814,774
3.63%, 07/15/09+++ 200,000 199,399
3.38%, 09/15/09 24,500,000 24,179,418
3.38%, 10/15/09+++ 1,400,000 1,380,751
3.63%, 01/15/10+++ 1,000,000 995,586
3.63%, 02/15/10+++ 8,170,000 8,090,539
4.00%, 04/15/10+++ 23,930,000 24,199,236
3.88%, 05/15/10+++ 2,200,000 2,213,235
3.88%, 02/15/13+++ 7,600,000 7,611,582
4.25%, 08/15/13+++ 7,100,000 7,279,722
4.00%, 02/15/14+++ 3,900,000 3,924,683
4.25%, 08/15/14+++ 1,700,000 1,741,172
4.00%, 02/15/15+++ 34,340,000 34,472,827
4.13%, 05/15/15+++ 3,460,000 3,511,630
--------------
169,159,953
--------------
U.S. Treasury STRIPS
4.32%, 11/15/16(omg) 900,000 562,244
4.35%, 05/15/21(omg) 500,000 252,932
4.37%, 11/15/21(omg)+++ 22,530,000 11,119,366
4.39%, 11/15/22(omg) 4,500,000 2,116,337
4.39%, 02/15/23(omg) 90,000 41,942
4.55%, 08/15/24(omg)+++ 23,700,000 10,272,575
4.53%, 05/15/26(omg)+++ 1,500,000 604,740
4.52%, 11/15/26(omg) 3,600,000 1,420,135
4.36%, 08/15/27(omg) 4,500,000 1,729,350
--------------
28,119,621
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $267,173,329) 272,347,189
--------------
TOTAL INVESTMENTS -- 134.2%
(Cost $1,389,807,274) 1,405,233,009
--------------
SECURITIES SOLD SHORT -- (4.8)%
Federal National Mortgage
Association
5.50%, 07/14/35 TBA
(Cost $(50,460,937)) (50,000,000) (50,671,900)
--------------
<Caption>
NUMBER OF
CONTRACTS VALUE
------------ --------------
WRITTEN OPTIONS -- 0.0%
CALL SWAPTIONS -- 0.0%
3-Month LIBOR, Strike
Price $4.00, Expires
07/03/06 (1,380) (171,424)
3-Month LIBOR, Strike
Price $4.00, Expires
09/23/05 (1,700) (58,615)
--------------
(230,039)
--------------
PUT SWAPTIONS -- 0.0%
3-Month LIBOR, Strike
Price $6.00, Expires
07/03/06 (1,380) (28,221)
3-Month LIBOR, Strike
Price $7.00, Expires
09/23/05 (330) (1)
--------------
(28,222)
--------------
TOTAL WRITTEN OPTIONS
(Premiums received $(1,065,532)) (258,261)
--------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (29.4%) (307,355,681)
--------------
NET ASSETS -- 100.0% $1,046,947,167
==============
</Table>
See Notes to Financial Statements.
62
Swap agreements outstanding at June 30, 2005:
<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(f) 09/15/10 4,100,000 $ 194,879
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(d) 09/15/10 2,500,000 118,829
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(f) 09/15/15 8,000,000 596,221
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(f) 12/16/19 (9,100,000) (238,195)
Receive variable rate
payments on the six
month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(d) 06/18/34 (1,200,000) (119,931)
---------------
551,803
---------------
EUROS
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) (1,737,597)
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) (3,140,428)
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) (2,482,995)
Receive fixed rate
payments of 6.00%
and pay variable
rate payments on
the six month EBOR
floating rate(g) 03/15/32 3,000,000 441,732
Receive fixed rate
payments of 6.00%
and pay variable
rate payments on
the six month LIBOR
floating rate(g) 06/18/34 2,300,000 472,758
---------------
(6,446,530)
---------------
U.S. DOLLARS
Receive fixed rate
payments of 0.55%
and pay floating
par in event of
default on Russian
Federation, 5.00%
due 03/31/30(i) 09/07/05 $ 400,000 135
</Table>
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive fixed rate
payments of 0.58%
and pay floating
par in event of
default on Russian
Federation, 5.00%
due 03/31/30(c) 06/20/06 $ 100,000 $ 107
Receive fixed rate
payments of 0.61%
and pay floating
par in event of
default on Russian
Federation, 5.00%
due 03/31/30(h) 03/20/07 1,300,000 127
Receive fixed rate
payments of 0.77%
and pay floating
par in event of
default on Russian
Federation, 5.00%
due 03/31/30(g) 05/20/07 100,000 271
Receive floating par
in event of default
on Radioshack
Corporation, 7.38%
due 05/15/11 and
pay fixed rate
payments of
0.37%(b) 12/20/08 (300,000) 3,636
Receive floating par
in event of default
on Emerson Electric
Co., 4.63% due
10/15/12 and pay
fixed rate payments
of 0.22%(c) 12/20/08 (300,000) 148
Receive floating par
in event of default
on Devon Financing
Corporation, 6.88%
due 09/30/11 and
pay fixed rate
payments of
0.35%(h) 12/20/08 (500,000) (486)
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) (253)
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) (2,707)
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) (898)
</Table>
See Notes to Financial Statements.
63
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
UNREALIZED
EXPIRATION APPRECIATION/
DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION)
- ----------- ---------- -------------- ---------------
Receive floating par
in event of default
on Occidental
Petroleum, 6.75%
due 01/15/12 and
pay fixed rate
payments of
0.28%(h) 12/20/08 $ (300,000) $ (1,324)
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) (417)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(j) 12/15/10 13,800,000 (133,199)
Receive fixed rate
payments of 4.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(c) 12/15/10 26,200,000 (252,885)
Receive fixed rate
payments of 5.00%
and pay variable
rate payments on
the three month
LIBOR floating
rate(e) 12/15/15 1,900,000 88,264
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(e) 12/15/25 (1,300,000) (59,165)
Receive variable rate
payments on the
three month LIBOR
floating rate and
pay fixed rate
payments of
5.00%(d) 12/15/25 (19,300,000) (870,777)
---------------
(1,229,423)
---------------
$ (7,124,150)
===============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 4.9
Asset-Backed Securities 3.6
Corporate Bonds 11.6
Foreign Bonds 12.7
Forward Foreign Currency Contracts (7.7)
Futures Contracts 25.5
Mortgage-Backed Securities 39.1
Municipal Bonds 1.1
Options 0.1
Preferred Stocks 0.2
Rights --*
Securities Sold Short (4.8)
Short-Term Investments 34.9
Swap Contracts (0.7)
U.S. Treasury Obligations 26.0
Written Options --*
------
146.5
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.005%.
See Notes to Financial Statements.
64
EXTENDED-DURATION BOND FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 16.72% 16.43% 16.00% 16.88% N/A N/A
Since Inception 10.07% 10.02% 9.64% 9.67% 7.91%(1) 9.18%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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 10000.00 10000.00
10097.00 10111.00
Sep 2001 9943.00 10027.00
10364.00 10516.00
10281.00 10202.00
Dec 2001 10248.00 10063.00
10349.00 10202.00
10439.00 10300.00
Mar 2002 10143.00 9948.00
10251.00 10208.00
10390.00 10286.00
Jun 2002 10290.00 10350.00
10295.00 10443.00
10680.00 10927.00
Sep 2002 10896.00 11259.00
10574.00 10965.00
10777.00 11066.00
Dec 2002 11275.00 11521.00
11332.00 11530.00
11646.00 11868.00
Mar 2003 11597.00 11774.00
11995.00 12039.00
12579.00 12691.00
Jun 2003 12503.00 12515.00
11590.00 11432.00
11768.00 11671.00
Sep 2003 12394.00 12285.00
12193.00 12013.00
12393.00 12099.00
Dec 2003 12537.00 12266.00
12712.00 12477.00
12948.00 12711.00
Mar 2004 13087.00 12885.00
12390.00 12198.00
12289.00 12108.00
Jun 2004 12395.00 12203.00
12608.00 12431.00
13077.00 12902.00
Sep 2004 13248.00 13033.00
13468.00 13239.00
13276.00 13001.00
Dec 2004 13586.00 13328.00
13846.00 13668.00
13744.00 13527.00
Mar 2005 13562.00 13323.00
13905.00 13694.00
14210.00 14050.00
Jun 2005 14433.00 14263.00
</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.
- ---------------
(1) Non-annualized.
65
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 PAR VALUE
- ------------- -------------- -------------
AGENCY OBLIGATIONS -- 2.3%
Federal National Mortgage
Association
6.54%, 10/29/07(Z)(omg) $ 4,815,000 $ 2,885,389
5.25%, 01/15/09+++ 250,000 261,078
2.29%, 02/19/09(G) 2,500,000 1,487,443
5.50%, 03/15/11+++ 6,000,000 6,443,796
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $10,848,472) 11,077,706
-------------
ASSET-BACKED SECURITIES -- 0.4%
Community Program Loan
Trust
4.50%, 04/01/29
(Cost $1,661,325) 1,950,000 1,868,883
-------------
CORPORATE BONDS -- 15.3%
Agilysys, Inc.
9.50%, 08/01/06 500,000 520,049
AK Steel Corporation
7.75%, 06/15/12+++ 250,000 212,500
American Airlines, Inc.
6.98%, 04/01/11+++ 59,889 61,909
8.61%, 10/01/11+++ 850,000 797,512
Arrow Electronics, Inc.
6.88%, 07/01/13+++ 250,000 275,281
ASIF Global Financing XXVII
2.38%, 02/26/09 144A(G) 6,700,000 3,981,962
Atlas Air, Inc.
7.20%, 01/02/19+++ 424,482 425,440
Barclays Financial LLC
4.16%, 02/22/10(T)@ 25,000,000 604,658
4.10%, 03/22/10(T)@ 30,000,000 723,339
Bausch & Lomb, Inc.
7.13%, 08/01/28+++ 1,500,000 1,689,942
Borden, Inc.
7.88%, 02/15/23 1,200,000 966,000
Chesapeake Energy
Corporation
6.88%, 01/15/16 975,000 1,021,313
CIT Group, Inc.
5.50%, 12/01/14(U)+++ 600,000 1,104,566
Comcast Corporation
5.50%, 03/15/11+++ 500,000 522,299
Commonwealth Edison Co.
4.75%, 12/01/11 470,000 463,803
Constellation Energy Group,
Inc.
4.55%, 06/15/15 750,000 725,559
Continental Airlines, Inc.
6.65%, 09/15/19 2,279,227 2,250,509
6.70%, 06/15/21 403,287 393,976
Corning, Inc.
6.20%, 03/15/16 230,000 241,288
Cox Communications, Inc.
6.75%, 03/15/11 250,000 272,536
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Cummins, Inc.
7.13%, 03/01/28 $ 425,000 $ 430,313
Dana Corporation
6.50%, 03/01/09+++ 250,000 246,593
Delphi Corporation
7.13%, 05/01/29+++ 2,500,000 1,737,500
Devon Energy Corporation
4.95%, 08/15/08 CONV 963,000 1,086,986
Dillard's, Inc.
7.75%, 07/15/26 890,000 878,875
7.00%, 12/01/28 500,000 465,000
El Paso Corporation
7.00%, 05/15/11+++ 400,000 401,000
EOP Operating LP
7.25%, 06/15/28 500,000 584,592
First Industrial LP
7.60%, 07/15/28 1,000,000 1,173,678
Foot Locker, Inc.
8.50%, 01/15/22 1,000,000 1,102,500
Ford Motor Co.
6.63%, 10/01/28 1,500,000 1,179,726
6.38%, 02/01/29 1,500,000 1,159,593
General Motors Acceptance
Corporation
6.88%, 08/28/12 250,000 229,167
Georgia-Pacific Corporation
7.75%, 11/15/29+++ 2,950,000 3,329,812
HCA, Inc.
6.30%, 10/01/12 1,500,000 1,543,476
7.58%, 09/15/25 1,000,000 1,059,354
7.05%, 12/01/27 500,000 504,190
Health Care Property
Investors, Inc.
6.00%, 03/01/15+++ 1,500,000 1,593,347
Highwoods Properties, Inc.
7.50%, 04/15/18 1,500,000 1,683,332
HSBC Bank USA NA
3.31%, 08/25/10 144A@ 700,000 703,920
IMC Global, Inc.
7.38%, 08/01/18 500,000 502,500
7.30%, 01/15/28 690,000 669,300
International Paper Co.
6.88%, 11/01/23 300,000 338,435
iStar Financial, Inc.
5.70%, 03/01/14+++ 1,171,000 1,188,045
Kinder Morgan, Inc.
7.25%, 03/01/28+++ 500,000 594,694
MidAmerican Energy Holdings
Co.
5.88%, 10/01/12 1,000,000 1,063,785
Motorola, Inc.
5.80%, 10/15/08 500,000 522,383
7.63%, 11/15/10 500,000 572,752
6.50%, 11/15/28+++ 500,000 555,122
NiSource Finance
Corporation
6.15%, 03/01/13 1,000,000 1,082,303
</Table>
See Notes to Financial Statements.
66
<Table>
<Caption>
PAR VALUE
-------------- -------------
Northern Telecom Capital
7.88%, 06/15/26 $ 450,000 $ 452,250
Pemex Project Funding
Master Trust
8.63%, 02/01/22+++ 1,000,000 1,235,000
8.63%, 12/01/23 144A 1,000,000 1,220,000
Pioneer Natural Resources
Co.
7.20%, 01/15/28 2,500,000 2,694,564
Preston Corporation
7.00%, 05/01/11 CONV 250,000 236,250
Pulte Homes, Inc.
7.30%, 10/24/05 1,000,000 1,008,385
7.88%, 06/15/32 1,500,000 1,810,351
6.38%, 05/15/33+++ 1,000,000 1,031,082
Qwest Corporation
7.25%, 09/15/25 1,000,000 940,000
6.88%, 09/15/33+++ 2,250,000 1,960,312
Raytheon Co.
6.40%, 12/15/18 2,600,000 2,960,362
7.20%, 08/15/27 250,000 313,118
7.00%, 11/01/28 750,000 921,774
Southern Natural Gas Co.
7.35%, 02/15/31 1,750,000 1,870,369
Sprint Capital Corporation
6.88%, 11/15/28 3,450,000 3,972,433
Swift Energy Co.
7.63%, 07/15/11 150,000 156,750
Tennessee Gas Pipeline Co.
7.00%, 10/15/28+++ 750,000 769,368
Union Pacific Resources
Group
7.15%, 05/15/28 250,000 303,835
Weyerhaeuser Co.
7.13%, 07/15/23 500,000 561,119
7.38%, 03/15/32 250,000 295,733
Williams Cos., Inc.
7.50%, 01/15/31+++ 1,250,000 1,359,375
Xerox Capital Trust I
8.00%, 02/01/27+++ 1,500,000 1,560,000
-------------
TOTAL CORPORATE BONDS
(Cost $66,093,331) 73,069,144
-------------
FOREIGN BONDS -- 9.3%
BRAZIL -- 1.0%
Federal Republic of Brazil
8.25%, 01/20/34+++ 4,750,000 4,657,375
-------------
CANADA -- 4.4%
British Columbia Generic
Residual
4.21%, 06/09/14
STRIP(C)(omg) 11,500,000 6,500,899
Canada Generic Residual
4.44%, 06/01/25
STRIP(C)(omg) 4,110,000 1,395,360
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Canadian Government
4.50%, 09/01/07(C) $ 5,075,000 $ 4,283,595
Macmillan Bloedel, Ltd.
7.70%, 02/15/26 500,000 600,126
Ontario Generic Residual
4.92%, 07/13/22
STRIP(C)(omg) 3,900,000 1,411,251
4.94%, 03/08/29
STRIP(C)(omg) 7,000,000 1,818,559
Saskatchewan Residual
4.28%, 04/10/14
STRIP(C)(omg) 7,500,000 4,180,951
4.89%, 02/04/22
STRIP(C)(omg) 3,000,000 1,121,694
-------------
21,312,435
-------------
CAYMAN ISLANDS -- 0.2%
Enersis SA
7.40%, 12/01/16+++ 625,000 681,125
Vale Overseas, Ltd.
8.25%, 01/17/34 100,000 110,500
-------------
791,625
-------------
MALAYSIA -- 0.1%
Telekom Malaysia BHD
7.88%, 08/01/25 144A 225,000 290,779
-------------
MEXICO -- 0.6%
Mexican Bonos
9.00%, 12/20/12(M) 30,000,000 2,749,268
-------------
PHILIPPINES -- 0.2%
Philippine Long Distance
Telephone Co.
8.35%, 03/06/17 500,000 507,500
Quezon Power (Philippines),
Ltd.
8.86%, 06/15/17 450,000 435,825
-------------
943,325
-------------
SUPRANATIONAL -- 2.0%
Inter-American Development
Bank
15.17%, 05/11/09(B)(omg)@ 7,500,000 1,822,805
International Bank for
Reconstruction &
Development
6.50%, 08/20/07(Z)(omg) 13,625,000 8,295,704
-------------
10,118,509
-------------
SWEDEN -- 0.6%
Swedish Government
6.50%, 05/05/08(K) 19,640,000 2,825,630
-------------
VENEZUELA -- 0.2%
Cerro Negro Finance, Ltd.
7.90%, 12/01/20 144A 500,000 460,000
</Table>
See Notes to Financial Statements.
67
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
PAR VALUE
-------------- -------------
Petrozuata Finance, Inc.
8.37%, 10/01/22 144A $ 450,000 $ 357,750
-------------
817,750
-------------
TOTAL FOREIGN BONDS
(Cost $36,414,980) 44,506,696
-------------
MORTGAGE-BACKED SECURITIES -- 0.4%
Federal Home Loan Mortgage
Corporation
5.00%, 12/01/31 262,724 263,337
Federal National Mortgage
Association
5.00%, 07/25/23 1,657,564 1,665,643
-------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $1,718,380) 1,928,980
-------------
MUNICIPAL BONDS -- 12.3%
Chicago, Illinois Board of
Education, General
Obligation Bond (FGIC
Insured)
4.68%, 12/01/22(omg) 10,700,000 4,932,271
4.69%, 12/01/23(omg) 5,130,000 2,237,501
Chicago, Illinois
Wastewater Transmission,
Series A Revenue Bond
(MBIA Insured)
4.57%, 01/01/22(omg) 5,000,000 2,381,500
Clark County, Washington
School District, Series C
General Obligation Bond
(FGIC SCH BD GTY Insured)
4.45%, 12/01/19(omg) 3,600,000 1,917,972
Clovis, California Unified
School District, Series A
General Obligation Bond
(FGIC Insured)
4.76%, 08/01/25(omg) 9,775,000 3,878,036
Cook County, Illinois
Community Consolidated
School District, General
Obligation Bond (FGIC
Insured)
4.45%, 12/01/19(omg) 1,890,000 1,014,042
Coppell, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured)
4.67%, 08/15/23(omg) 2,195,000 963,320
De Soto, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured)
4.37%, 08/15/18(omg) 2,275,000 1,294,179
4.43%, 08/15/19(omg) 2,590,000 1,399,688
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
Galveston County, Texas,
General Obligation Bond
(FGIC Insured)
4.78%, 02/01/26(omg) $ 2,500,000 $ 955,700
Granbury, Texas Independent
School District, General
Obligation Bond (PSF-GTD
Insured)
4.49%, 08/01/20(omg) 1,000,000 513,660
Houston, Texas Water &
Sewer System, Series JR-A
Revenue Bond (FSA
Insured)
4.73%, 12/01/24(omg) 2,810,000 1,162,722
4.57%, 12/01/24(omg) 7,190,000 3,078,470
Indianapolis, Indiana Local
Public Improvement Bond
Bank, Series E Revenue
Bond (AMBAC Insured)
4.63%, 02/01/22(omg) 2,550,000 1,229,789
Massachusetts Bay
Transportation Authority,
Massachusetts, Series A
Revenue Bond
4.04%, 07/01/25(omg) 6,000,000 6,749,340
McKeesport, Pennsylvania
Area School District,
Series C General
Obligation Bond (AMBAC
Insured)
4.80%, 10/01/26(omg) 2,090,000 776,059
Metropolitan Pier &
Exposition Authority,
Illinois Dedicated State
Tax, Series A Revenue
Bond (MBIA Insured)
4.66%, 12/15/22(omg) 16,225,000 7,555,820
Rocklin, California Unified
School District, General
Obligation Bond (FGIC
Insured)
4.72%, 08/01/24(omg) 2,375,000 994,033
San Jose, California
Unified School District,
Santa Clara County,
Series A General
Obligation Bond (FGIC
Insured)
4.37%, 08/01/18(omg) 2,055,000 1,181,522
San Mateo, California
Unified High School
District, Series C
General Obligation Bond
(FGIC Insured)
4.87%, 09/01/28(omg) 4,000,000 1,339,920
</Table>
See Notes to Financial Statements.
68
<Table>
<Caption>
PAR VALUE
-------------- -------------
Union Elementary School
District, California,
Series A General
Obligation Bond (FGIC
Insured)
4.43%, 09/01/19(omg) $ 1,750,000 $ 953,085
Washington State, Motor
Vehicle Fuel Tax, Series
03-C General Obligation
Bond (MBIA Insured)
4.66%, 06/01/23(omg) 10,000,000 4,383,700
Will County, Illinois
Community United School
District No. 365, General
Obligation Bond (FSA
Insured)
4.68%, 11/01/23(omg) 17,825,000 7,734,267
-------------
TOTAL MUNICIPAL BONDS
(Cost $52,147,737) 58,626,596
-------------
<Caption>
SHARES
--------------
PREFERRED STOCKS -- 0.1%
Travelers Property Casualty
Corporation
4.50%, 04/15/32 CONV
(Cost $535,738) 24,400 546,072
-------------
SHORT-TERM INVESTMENTS -- 33.1%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 12,387,237 12,387,237
Northern Institutional
Liquid Assets Portfolio
sec. 144,808,211 144,808,211
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $157,195,448) 157,195,448
-------------
</Table>
<Table>
<Caption>
PAR VALUE
-------------- -------------
U.S. TREASURY OBLIGATIONS -- 59.8%
U.S. Treasury Bonds
7.25%, 05/15/16+++ $ 35,165,000 $ 45,040,070
8.00%, 11/15/21+++ 110,262,000 158,910,807
6.38%, 08/15/27+++ 21,500,000 27,881,974
5.50%, 08/15/28+++ 43,775,000 51,563,886
-------------
283,396,737
-------------
U.S. Treasury Notes
3.00%, 02/15/08+++ 505,000 496,972
2.63%, 05/15/08+++ 495,000 481,175
-------------
978,147
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $265,787,450) 284,374,884
-------------
TOTAL INVESTMENTS -- 133.0%
(Cost $592,402,861) 633,194,409
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (33.0%) (157,120,415)
-------------
NET ASSETS -- 100.0% $ 476,073,994
=============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Agency Obligations 2.3
Asset-Backed Securities 0.4
Corporate Bonds 15.3
Foreign Bonds 9.3
Mortgage-Backed Securities 0.4
Municipal Bonds 12.3
Preferred Stocks 0.1
Short-Term Investments 33.1
U.S. Treasury Obligations 59.8
------
133.0
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
69
EQUITY INDEX FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 6.13% 6.01% 5.96% 6.31% N/A N/A
Since Inception 1.44% 1.50% 1.41% 1.86% 2.98%(1) 3.35%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9585 9570
Sep 2001 8817 8796
8985 8964
9666 9652
Dec 2001 9745 9736
9589 9594
9378 9409
Mar 2002 9726 9764
9116 9171
9041 9104
Jun 2002 8428 8456
7757 7796
7801 7847
Sep 2002 6955 6994
7569 7610
8046 8057
Dec 2002 7543 7585
7347 7386
7240 7275
Mar 2003 7322 7347
7916 7952
8321 8372
Jun 2003 8415 8478
8574 8628
8739 8796
Sep 2003 8643 8703
9126 9195
9190 9276
Dec 2003 9658 9762
9843 9942
9971 10080
Mar 2004 9817 9928
9664 9771
9811 9906
Jun 2004 9990 10098
9670 9764
9708 9803
Sep 2004 9817 9909
9952 10061
10339 10468
Dec 2004 10681 10823
10409 10559
10629 10781
Mar 2005 10441 10590
10246 10390
10564 10720
Jun 2005 10590 10735
</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.
- ---------------
(1) Non-annualized.
70
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ---------- ------------
COMMON STOCKS -- 97.3%
AUTO & TRANSPORTATION -- 2.3%
Burlington Northern Santa Fe
Corporation 16,400 $ 772,112
Cooper Tire & Rubber Co.+++ 3,100 57,567
CSX Corporation 9,000 383,940
Dana Corporation 6,200 93,062
Delphi Corporation+++ 23,400 108,810
Delta Air Lines, Inc.*+++ 6,600 24,816
FedEx Corporation 12,500 1,012,625
Ford Motor Co.+++ 76,527 783,636
General Motors Corporation+++ 24,100 819,400
Genuine Parts Co. 7,300 299,957
Goodyear Tire & Rubber Co.
(The)*+++ 7,500 111,750
Harley-Davidson, Inc.+++ 12,800 634,880
Navistar International
Corporation* 2,900 92,800
Norfolk Southern Corporation 16,400 507,744
PACCAR, Inc. 7,275 494,700
Southwest Airlines Co. 31,200 434,616
Union Pacific Corporation 11,100 719,280
United Parcel Service, Inc.
Class B 47,900 3,312,764
Visteon Corporation 5,418 32,671
------------
10,697,130
------------
CONSUMER DISCRETIONARY -- 12.0%
Alberto-Culver Co. 3,750 162,488
Allied Waste Industries,
Inc.*+++ 12,600 99,918
Apollo Group, Inc. Class A* 7,021 549,183
AutoNation, Inc.*+++ 10,900 223,668
AutoZone, Inc.*+++ 3,100 286,626
Avon Products, Inc. 19,700 745,645
Bed Bath & Beyond, Inc.* 12,600 526,428
Best Buy Co., Inc. 12,950 887,723
Big Lots, Inc.*+++ 4,800 63,552
Black & Decker Corporation 3,300 296,505
Carnival Corporation 22,800 1,243,740
Cendant Corporation 43,900 982,043
Cintas Corporation+++ 6,900 266,340
Circuit City Stores, Inc.+++ 8,300 143,507
Clear Channel Communications,
Inc. 22,400 692,832
Coach, Inc.* 15,800 530,406
Convergys Corporation* 6,000 85,320
Costco Wholesale Corporation 19,600 878,472
Darden Restaurants, Inc. 6,250 206,125
Dillard's, Inc. Class A 3,500 81,970
Dollar General Corporation+++ 13,600 276,896
Donnelley (R.R.) & Sons Co. 9,100 314,041
Eastman Kodak Co.+++ 12,000 322,200
eBay, Inc.* 51,600 1,703,316
Electronic Arts, Inc.* 13,300 752,913
Family Dollar Stores, Inc.+++ 7,000 182,700
Federated Department Stores,
Inc.+++ 7,100 520,288
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Fisher Scientific
International, Inc.* 4,800 $ 311,520
Gannett Co., Inc. 10,700 761,091
Gap, Inc. (The) 34,000 671,500
Gillette Co. (The) 42,400 2,146,712
Hasbro, Inc. 7,400 153,846
Hilton Hotels Corporation 16,100 383,985
Home Depot, Inc. (The) 92,950 3,615,755
International Flavors &
Fragrances, Inc. 3,900 141,258
Interpublic Group Cos.,
Inc.*+++ 17,500 213,150
Jones Apparel Group, Inc.+++ 5,100 158,304
Kimberly-Clark Corporation 20,700 1,295,613
Knight-Ridder, Inc.+++ 3,200 196,288
Kohl's Corporation* 13,800 771,558
Leggett & Platt, Inc. 8,000 212,640
Limited Brands 16,300 349,146
Liz Claiborne, Inc. 4,608 183,214
Lowe's Cos., Inc. 32,500 1,892,150
Marriott International, Inc.
Class A 8,600 586,692
Mattel, Inc. 17,400 318,420
May Department Stores Co.
(The) 12,700 510,032
Maytag Corporation+++ 3,300 51,678
McDonald's Corporation 54,200 1,504,050
McGraw-Hill Co., Inc. (The) 15,800 699,150
Meredith Corporation 2,100 103,026
Monster Worldwide, Inc.*+++ 5,200 149,136
New York Times Co. Class A+++ 6,000 186,900
Newell Rubbermaid, Inc.+++ 11,500 274,160
Nike, Inc. Class B 9,800 848,680
Nordstrom, Inc. 5,400 367,038
Office Depot, Inc.* 13,100 299,204
OfficeMax, Inc. 3,700 110,149
Omnicom Group, Inc. 8,100 646,866
Penney (JC) Co., Inc. 11,900 625,702
RadioShack Corporation+++ 6,700 155,239
Reebok International, Ltd. 2,400 100,392
Robert Half International,
Inc. 7,200 179,784
Sabre Holdings Corporation+++ 5,800 115,710
Sears Holdings Corporation* 4,189 627,805
Snap-On, Inc.+++ 2,400 82,320
Stanley Works (The) 3,400 154,836
Staples, Inc. 31,200 665,184
Starbucks Corporation* 16,700 862,722
Starwood Hotels & Resorts
Worldwide, Inc. 8,800 515,416
Target Corporation 37,700 2,051,257
Tiffany & Co.+++ 6,100 199,836
Time Warner, Inc.* 194,400 3,248,424
TJX Cos., Inc.+++ 20,300 494,305
Toys "R" Us, Inc.* 9,100 240,968
Tribune Co. 12,600 443,268
Univision Communications, Inc.
Class A*+++ 12,400 341,620
</Table>
See Notes to Financial Statements.
71
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
VF Corporation 4,200 $ 240,324
Wal-Mart Stores, Inc. 144,000 6,940,799
Waste Management, Inc. 23,900 677,326
Wendy's International, Inc. 4,800 228,720
Whirlpool Corporation 3,000 210,330
Yahoo!, Inc.* 55,200 1,912,680
Yum! Brands, Inc. 12,100 630,168
------------
55,082,891
------------
CONSUMER STAPLES -- 5.6%
Albertson's, Inc.+++ 16,400 339,152
Campbell Soup Co.+++ 14,600 449,242
Clorox Co. 6,400 356,608
Coca-Cola Co. (The) 95,900 4,003,825
Coca-Cola Enterprises, Inc. 15,100 332,351
Colgate-Palmolive Co. 22,100 1,103,011
ConAgra Foods, Inc. 21,500 497,940
CVS Corporation 33,200 965,124
General Mills, Inc. 15,200 711,208
Heinz (H.J.) Co. 14,700 520,674
Hershey Co. (The) 9,300 577,530
Kellogg Co. 14,900 662,156
Kroger Co.* 31,000 589,930
McCormick & Co., Inc. 5,700 186,276
Pepsi Bottling Group, Inc. 9,400 268,934
PepsiCo, Inc. 70,840 3,820,401
Procter & Gamble Co. 107,100 5,649,525
Safeway, Inc. 18,700 422,433
Sara Lee Corporation 33,000 653,730
SUPERVALU, Inc. 5,600 182,616
SYSCO Corporation 26,700 966,273
Walgreen Co. 43,000 1,977,570
Wrigley (W.M.), Jr. Co. 8,500 585,140
------------
25,821,649
------------
FINANCIAL SERVICES -- 21.7%
ACE, Ltd. 11,800 529,230
AFLAC, Inc. 21,100 913,208
Allstate Corporation (The) 28,952 1,729,882
AMBAC Financial Group, Inc. 4,500 313,920
American Express Co. 49,600 2,640,208
American International Group,
Inc. 110,192 6,402,155
AmSouth Bancorporation 14,700 382,200
AON Corporation+++ 13,200 330,528
Apartment Investment &
Management Co. Class A
REIT 3,900 159,588
Archstone-Smith Trust REIT 7,700 297,374
Automatic Data Processing,
Inc. 24,300 1,019,871
Bank of America Corporation 172,640 7,874,111
Bank of New York Co., Inc.
(The) 32,500 935,350
BB&T Corporation+++ 23,500 939,295
Bear Stearns Cos., Inc. (The) 4,710 489,557
Block (H&R), Inc. 6,900 402,615
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Capital One Financial
Corporation 10,300 $ 824,103
Chubb Corporation 8,000 684,880
CIGNA Corporation 5,600 599,368
Cincinnati Financial
Corporation 7,386 292,190
CIT Group, Inc. 8,800 378,136
Citigroup, Inc. 221,130 10,222,841
Comerica, Inc. 7,200 416,160
Compass Bancshares, Inc. 4,700 211,500
Countrywide Financial
Corporation 24,208 934,671
Dow Jones & Co., Inc.+++ 3,254 115,354
E*TRADE Financial Corporation* 15,300 214,047
Equifax, Inc.+++ 5,700 203,547
Equity Office Properties Trust
REIT+++ 18,200 602,420
Equity Residential Properties
Trust REIT 11,900 438,158
Fannie Mae 41,200 2,406,080
Federated Investors, Inc.
Class B 4,500 135,045
Fifth Third Bancorp+++ 21,994 906,373
First Data Corporation 34,617 1,389,526
First Horizon National
Corporation+++ 5,200 219,440
Fiserv, Inc.* 8,200 352,190
Franklin Resources, Inc. 8,500 654,330
Freddie Mac 29,500 1,924,285
Golden West Financial
Corporation 12,300 791,874
Goldman Sachs Group, Inc. 18,900 1,928,178
Hartford Financial Services
Group, Inc.+++ 12,600 942,228
Huntington Bancshares, Inc. 9,600 231,744
Janus Capital Group, Inc.+++ 10,000 150,400
Jefferson-Pilot Corporation 5,700 287,394
JPMorgan Chase & Co. 150,530 5,316,720
KeyCorp 17,200 570,180
Lehman Brothers Holdings,
Inc. 11,500 1,141,720
Lincoln National Corporation 7,300 342,516
Loews Corporation 7,100 550,250
M & T Bank Corporation 4,500 473,220
Marsh & McLennan Cos., Inc. 22,800 631,560
Marshall & Ilsley
Corporation+++ 9,300 413,385
MBIA, Inc.+++ 5,900 349,929
MBNA Corporation 53,550 1,400,868
Mellon Financial Corporation 17,800 510,682
Merrill Lynch & Co., Inc. 39,180 2,155,292
MetLife, Inc. 31,100 1,397,634
MGIC Investment Corporation 4,100 267,402
Moody's Corporation 11,800 530,528
Morgan Stanley 47,100 2,471,337
National City Corporation 26,100 890,532
North Fork Bancorporation,
Inc. 19,650 551,969
Northern Trust Corporation 9,200 419,428
Paychex, Inc. 15,100 491,354
</Table>
See Notes to Financial Statements.
72
<Table>
<Caption>
SHARES VALUE
---------- ------------
Plum Creek Timber Co., Inc.
REIT+++ 7,700 $ 279,510
PNC Financial Services Group,
Inc. 11,800 642,628
Principal Financial Group 12,900 540,510
Progressive Corporation (The) 8,399 829,905
Prologis Trust REIT 7,600 305,824
Providian Financial
Corporation*+++ 12,200 215,086
Prudential Financial, Inc. 22,500 1,477,350
Regions Financial Corporation 19,308 654,155
Ryder System, Inc.+++ 2,700 98,820
Safeco Corporation 5,300 288,002
Schwab (Charles) Corporation
(The) 49,050 553,284
Simon Property Group, Inc.
REIT+++ 9,800 710,402
SLM Corporation 18,400 934,720
Sovereign Bancorp, Inc. 14,900 332,866
St. Paul Travelers Cos., Inc. 28,856 1,140,678
State Street Corporation 14,000 675,500
Sungard Data Systems, Inc.* 12,100 425,557
SunTrust Banks, Inc. 14,300 1,033,032
Synovus Financial Corporation 12,700 364,109
T Rowe Price Group, Inc. 5,300 331,780
Torchmark Corporation 4,600 240,120
UnumProvident Corporation+++ 12,400 227,168
US Bancorp 78,100 2,280,520
Wachovia Corporation 66,982 3,322,307
Washington Mutual, Inc.+++ 37,200 1,513,668
Wells Fargo & Co. 71,630 4,410,975
XL Capital, Ltd. Class A 6,000 446,520
Zions Bancorporation+++ 3,700 272,061
------------
99,239,117
------------
HEALTHCARE -- 13.1%
Abbott Laboratories 66,600 3,264,066
Aetna, Inc. 12,500 1,035,250
Allergan, Inc. 5,500 468,820
AmerisourceBergen
Corporation+++ 4,672 323,069
Amgen, Inc.* 53,028 3,206,073
Bard (C.R.), Inc. 4,400 292,644
Bausch & Lomb, Inc.+++ 2,200 182,600
Baxter International, Inc. 25,800 957,180
Becton Dickinson & Co. 10,600 556,182
Biogen Idec, Inc.* 14,430 497,114
Biomet, Inc. 10,600 367,184
Boston Scientific Corporation* 32,700 882,900
Bristol-Myers Squibb Co. 82,200 2,053,356
Cardinal Health, Inc. 18,200 1,047,956
Caremark Rx, Inc.* 19,100 850,332
Chiron Corporation*+++ 6,200 216,318
Eli Lilly & Co. 47,800 2,662,938
Express Scripts, Inc.* 6,400 319,872
Forest Laboratories, Inc.*+++ 15,300 594,405
Genzyme Corporation* 10,300 618,927
Gilead Sciences, Inc.* 18,400 809,416
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Guidant Corporation 13,400 $ 901,820
HCA, Inc.+++ 17,700 1,003,059
Health Management Associates,
Inc. Class A+++ 10,200 267,036
Hospira, Inc* 6,550 255,450
Humana, Inc.* 6,800 270,232
IMS Health, Inc. 9,800 242,746
Johnson & Johnson 126,290 8,208,850
King Pharmaceuticals, Inc.* 10,100 105,242
Laboratory Corporation of
America Holdings* 5,900 294,410
Manor Care, Inc. 3,700 147,001
McKesson Corporation 12,200 546,438
Medco Health Solutions,
Inc.*+++ 11,376 607,023
Medimmune, Inc.* 10,400 277,888
Medtronic, Inc. 51,800 2,682,722
Merck & Co., Inc. 94,100 2,898,280
Millipore Corporation* 2,100 119,133
Mylan Laboratories, Inc. 11,200 215,488
Pfizer, Inc. 315,683 8,706,537
Quest Diagnostics, Inc.+++ 8,000 426,160
Schering-Plough Corporation 61,800 1,177,908
St. Jude Medical, Inc.* 14,800 645,428
Stryker Corporation 16,300 775,228
Tenet Healthcare Corporation* 19,450 238,068
UnitedHealth Group, Inc. 54,400 2,836,416
Watson Pharmaceuticals, Inc.* 4,600 135,976
WellPoint, Inc.* 25,600 1,782,784
Wyeth 56,700 2,523,150
Zimmer Holdings, Inc.* 10,720 816,542
------------
60,313,617
------------
INTEGRATED OILS -- 5.9%
Amerada Hess Corporation 3,800 404,738
Chevron Corporation 88,980 4,975,762
ConocoPhillips 59,400 3,414,906
ExxonMobil Corporation 271,344 15,594,139
Marathon Oil Corporation 14,407 768,902
Occidental Petroleum
Corporation 16,900 1,300,117
Unocal Corporation 11,100 722,055
------------
27,180,619
------------
MATERIALS & PROCESSING -- 3.4%
Air Products & Chemicals,
Inc. 9,500 572,850
Alcoa, Inc. 36,400 951,132
Allegheny Technologies, Inc. 3,900 86,034
American Standard Cos., Inc. 8,200 343,744
Archer-Daniels-Midland Co. 26,327 562,871
Ashland, Inc. 2,900 208,423
Avery Dennison Corporation+++ 4,600 243,616
Ball Corporation 4,592 165,128
Bemis Co.+++ 4,500 119,430
Dow Chemical Co. (The) 40,500 1,803,465
duPont (E.I.) de Nemours &
Co. 41,855 1,800,184
Eastman Chemical Co. 3,200 176,480
Ecolab, Inc. 10,000 323,600
</Table>
See Notes to Financial Statements.
73
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Engelhard Corporation 5,200 $ 148,460
Fluor Corporation+++ 3,500 201,565
Freeport-McMoRan Copper &
Gold, Inc. Class B+++ 7,700 288,288
Georgia-Pacific Corporation 10,700 340,260
Great Lakes Chemical
Corporation 2,100 66,087
Hercules, Inc.*+++ 4,600 65,090
International Paper Co. 21,200 640,452
Louisiana-Pacific Corporation 4,500 110,610
Masco Corporation 18,600 590,736
MeadWestvaco Corporation 7,545 211,562
Monsanto Co. 11,060 695,342
Newmont Mining Corporation 19,000 741,570
Nucor Corporation+++ 7,000 319,340
Pactiv Corporation* 6,400 138,112
Phelps Dodge Corporation+++ 4,000 370,000
PPG Industries, Inc. 7,200 451,872
Praxair, Inc. 13,580 632,828
Rohm & Haas Co. 8,200 379,988
Sealed Air Corporation* 3,500 174,265
Sherwin-Williams Co. (The) 6,000 282,540
Sigma-Aldrich Corporation 2,900 162,516
Temple-Inland, Inc. 5,000 185,750
United States Steel
Corporation+++ 5,000 171,850
Vulcan Materials Co. 4,300 279,457
Weyerhaeuser Co. 10,700 681,055
------------
15,686,552
------------
OTHER -- 4.6%
3M Co. 32,500 2,349,750
Brunswick Corporation 4,000 173,280
Eaton Corporation 6,300 377,370
General Electric Co. 448,500 15,540,525
Honeywell International, Inc. 35,900 1,315,017
ITT Industries, Inc. 3,900 380,757
Johnson Controls, Inc. 7,992 450,189
Textron, Inc. 5,800 439,930
------------
21,026,818
------------
OTHER ENERGY -- 2.9%
Anadarko Petroleum Corporation 10,000 821,500
Apache Corporation 14,148 913,961
Baker Hughes, Inc. 13,900 711,124
BJ Services Co. 6,800 356,864
Burlington Resources, Inc. 16,300 900,412
Calpine Corporation*+++ 26,100 88,740
Devon Energy Corporation 20,300 1,028,804
Dynegy, Inc. Class A*+++ 15,800 76,788
El Paso Corporation+++ 26,800 308,736
EOG Resources, Inc.+++ 9,800 556,640
Halliburton Co. 21,400 1,023,348
Kerr-McGee Corporation+++ 4,665 355,986
Nabors Industries, Ltd.* 6,200 375,844
National Oilwell Varco, Inc.* 7,000 332,780
Noble Corporation+++ 5,600 344,456
Rowan Cos., Inc.+++ 4,400 130,724
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Schlumberger, Ltd. 25,200 $ 1,913,688
Sunoco, Inc. 3,000 341,040
Transocean, Inc.* 13,800 744,786
Valero Energy Corporation 11,100 878,121
Williams Cos., Inc. 23,600 448,400
XTO Energy, Inc. 14,666 498,497
------------
13,151,239
------------
PRODUCER DURABLES -- 4.7%
Agilent Technologies, Inc.* 19,100 439,682
American Power Conversion
Corporation 7,800 184,002
Andrew Corporation* 6,700 85,492
Applied Materials, Inc. 70,500 1,140,690
Boeing Co. (The) 35,200 2,323,200
Caterpillar, Inc. 14,500 1,381,995
Centex Corporation+++ 5,200 367,484
Cooper Industries, Ltd. Class
A 3,900 249,210
Cummins, Inc.+++ 1,800 134,298
Danaher Corporation 12,200 638,548
Deere & Co. 10,500 687,645
Dover Corporation 8,500 309,230
Emerson Electric Co. 17,500 1,096,025
Goodrich Corporation 5,500 225,280
Grainger (W.W.), Inc. 3,800 208,202
Illinois Tool Works, Inc.+++ 11,600 924,288
Ingersoll-Rand Co., Ltd. Class
A 7,200 513,720
KB HOME+++ 3,800 289,674
KLA-Tencor Corporation+++ 8,700 380,190
Lexmark International, Inc.* 5,500 356,565
Lockheed Martin Corporation 17,200 1,115,764
Molex, Inc.+++ 7,950 207,018
Northrop Grumman Corporation 15,556 859,469
Novellus Systems, Inc.* 5,900 145,789
Pall Corporation 5,200 157,872
Parker Hannifin Corporation 5,000 310,050
Pitney Bowes, Inc. 9,700 422,435
Pulte Homes, Inc. 5,004 421,587
Rockwell Collins, Inc.+++ 7,900 376,672
Tektronix, Inc. 3,500 81,445
Teradyne, Inc.* 8,100 96,957
Thermo Electron Corporation* 6,710 180,298
Tyco International, Ltd.+++ 85,184 2,487,373
United Technologies
Corporation 43,000 2,208,050
Waters Corporation* 5,000 185,850
Xerox Corporation* 40,100 552,979
------------
21,745,028
------------
TECHNOLOGY -- 13.7%
ADC Telecommunications,
Inc.*+++ 4,828 105,106
Adobe Systems, Inc. 20,600 589,572
Advanced Micro Devices,
Inc.*+++ 17,400 301,716
Affiliated Computer Services,
Inc. Class A*+++ 5,400 275,940
Altera Corporation* 15,500 307,210
Analog Devices, Inc. 15,700 585,767
</Table>
See Notes to Financial Statements.
74
<Table>
<Caption>
SHARES VALUE
---------- ------------
Apple Computer, Inc.* 34,800 $ 1,280,988
Applera Corporation-Applied
Biosystems Group 8,400 165,228
Applied Micro Circuits
Corporation* 13,000 33,280
Autodesk, Inc.+++ 9,860 338,888
Avaya, Inc.*+++ 19,848 165,135
BMC Software, Inc.* 9,300 166,935
Broadcom Corporation Class A* 12,300 436,773
CIENA Corporation*+++ 23,700 49,533
Cisco Systems, Inc.* 275,000 5,255,250
Citrix Systems, Inc.* 7,100 153,786
Computer Associates
International, Inc. 22,570 620,224
Computer Sciences Corporation* 8,000 349,600
Compuware Corporation*+++ 16,100 115,759
Comverse Technology, Inc.* 8,400 198,660
Corning, Inc.* 58,900 978,918
Dell, Inc.* 104,700 4,136,697
Electronic Data Systems
Corporation 21,900 421,575
EMC Corporation* 101,200 1,387,452
Freescale Semiconductor, Inc.
Series B* 16,311 345,467
Gateway, Inc.*+++ 15,600 51,480
General Dynamics Corporation 8,400 920,136
Hewlett-Packard Co. 123,602 2,905,883
Intel Corporation 264,900 6,903,294
International Business
Machines Corporation 69,500 5,156,900
Intuit, Inc.* 7,800 351,858
Jabil Circuit, Inc.*+++ 8,400 258,132
JDS Uniphase Corporation*+++ 60,300 91,656
L-3 Communications Holdings,
Inc. 4,600 352,268
Linear Technology Corporation 12,800 469,632
LSI Logic Corporation*+++ 16,000 135,840
Lucent Technologies, Inc.*+++ 188,376 548,174
Maxim Integrated Products,
Inc. 13,800 527,298
Mercury Interactive
Corporation*+++ 3,500 134,260
Micron Technology, Inc.* 27,400 279,754
Microsoft Corporation 429,100 10,658,843
Motorola, Inc. 103,500 1,889,910
National Semiconductor
Corporation+++ 15,000 330,450
NCR Corporation* 7,800 273,936
Network Appliance, Inc.* 15,500 438,185
Novell, Inc.*+++ 15,900 98,580
Nvidia Corporation*+++ 7,500 200,400
Oracle Corporation* 191,100 2,522,520
Parametric Technology
Corporation*+++ 11,200 71,456
PerkinElmer, Inc. 5,300 100,170
PMC-Sierra, Inc.*+++ 7,500 69,975
QLogic Corporation* 3,800 117,306
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Qualcomm, Inc. 69,800 $ 2,304,098
Raytheon Co. 18,700 731,544
Rockwell Automation, Inc. 7,400 360,454
Sanmina-SCI Corporation*+++ 21,800 119,246
Scientific-Atlanta, Inc. 6,400 212,928
Siebel Systems, Inc.+++ 21,000 186,900
Solectron Corporation*+++ 40,200 152,358
Sun Microsystems, Inc.*+++ 140,400 523,692
Symantec Corporation* 30,200 656,548
Symbol Technologies, Inc. 9,850 97,220
Tellabs, Inc.* 19,600 170,520
Texas Instruments, Inc. 72,600 2,037,882
Unisys Corporation* 13,900 87,987
Veritas Software Corporation* 17,675 431,270
Xilinx, Inc. 14,500 369,750
------------
63,066,152
------------
UTILITIES -- 7.4%
AES Corporation (The)* 27,000 442,260
Allegheny Energy, Inc.*+++ 6,300 158,886
Alltel Corporation 13,800 859,464
Ameren Corporation+++ 8,100 447,930
American Electric Power Co.,
Inc. 16,500 608,355
AT&T Corporation 34,985 666,114
BellSouth Corporation 77,500 2,059,175
Centerpoint Energy, Inc.+++ 12,800 169,088
CenturyTel, Inc.+++ 5,800 200,854
Cinergy Corporation 7,500 336,150
Citizens Communications Co. 13,400 180,096
CMS Energy Corporation*+++ 8,200 123,492
Comcast Corporation Class A* 93,415 2,867,841
Consolidated Edison, Inc.+++ 10,100 473,084
Constellation Energy Group,
Inc. 7,100 409,599
Dominion Resources, Inc. 14,700 1,078,833
DTE Energy Co.+++ 7,300 341,421
Duke Energy Corporation+++ 40,600 1,207,038
Edison International 13,600 551,480
Entergy Corporation 9,352 706,544
Exelon Corporation 28,824 1,479,536
FirstEnergy Corporation 13,784 663,148
FPL Group, Inc. 16,000 672,960
KeySpan Corporation+++ 7,900 321,530
Kinder Morgan, Inc.+++ 4,700 391,040
Nextel Communications, Inc.
Class A* 47,700 1,541,187
Nicor, Inc.+++ 1,800 74,106
NiSource, Inc.+++ 11,000 272,030
Peoples Energy Corporation+++ 1,600 69,536
PG&E Corporation+++ 15,800 593,132
Pinnacle West Capital
Corporation 3,800 168,910
PPL Corporation+++ 7,600 451,288
Progress Energy, Inc. 11,200 506,688
Public Service Enterprise
Group, Inc.+++ 10,600 644,692]
</Table>
See Notes to Financial Statements.
75
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
---------- ------------
Qwest Communications
International, Inc.* 70,700 $ 262,297
SBC Communications, Inc. 139,234 3,306,808
Sempra Energy 9,600 396,576
Southern Co. (The)+++ 32,300 1,119,841
Sprint Corporation 62,100 1,558,089
TECO Energy, Inc. 7,900 149,389
TXU Corporation 10,500 872,445
Verizon Communications, Inc. 118,134 4,081,529
Xcel Energy, Inc.+++ 16,700 325,984
------------
33,810,445
------------
TOTAL COMMON STOCKS
(Cost $385,061,646) 446,821,257
------------
SHORT-TERM INVESTMENTS -- 9.8%
AB Funds Trust -- Money Market
Fund (GS4 Class)(inf) 7,470,911 7,470,911
Northern Institutional Liquid
Assets Portfolio sec. 37,369,376 37,369,376
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $44,840,287) 44,840,287
------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $1,163,820) $1,165,000 1,163,951
------------
TOTAL INVESTMENTS -- 107.4%
(Cost $431,065,753) 492,825,495
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (7.4%) (34,008,761)
------------
NET ASSETS -- 100.0% $458,816,734
============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 2.3
Consumer Discretionary 12.0
Consumer Staples 5.6
Financial Services 21.7
Futures Contracts 1.5
Healthcare 13.1
Integrated Oils 5.9
Materials & Processing 3.4
Other 4.6
Other Energy 2.9
Producer Durables 4.7
Short-Term Investments 9.8
Technology 13.7
U.S. Treasury Obligations 0.3
Utilities 7.4
------
108.9
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
76
VALUE EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 13.65% 13.39% 13.09% 14.06% N/A N/A
Since Inception 6.33% 5.90% 5.83% 6.22% 6.81%(1) 7.13%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9711 9702
Sep 2001 9027 9019
8948 8942
9408 9462
Dec 2001 9621 9684
9529 9610
9535 9625
Mar 2002 10031 10081
9747 9735
9734 9784
Jun 2002 9157 9222
8273 8365
8366 8428
Sep 2002 7382 7491
7807 8046
8306 8553
Dec 2002 7950 8181
7783 7983
7514 7770
Mar 2003 7528 7783
8138 8468
8755 9015
Jun 2003 8885 9128
9041 9264
9196 9408
Sep 2003 9088 9316
9643 9886
9791 10020
Dec 2003 10402 10638
10627 10825
10838 11057
Mar 2004 10736 10960
10545 10692
10688 10801
Jun 2004 10991 11057
10806 10901
10916 11056
Sep 2004 11121 11227
11264 11414
11862 11991
Dec 2004 12243 12393
11974 12173
12368 12576
Mar 2005 12202 12403
12030 12181
12319 12475
Jun 2005 12463 12611
</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.
- ---------------
(1) Non-annualized.
77
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ----------- --------------
COMMON STOCKS -- 95.3%
AUTO & TRANSPORTATION -- 2.5%
Alexander & Baldwin, Inc. 2,300 $ 106,605
Autoliv, Inc. 5,400 236,520
BorgWarner, Inc.+++ 2,500 134,175
Burlington Northern Santa
Fe Corporation 278,300 13,102,363
CSX Corporation 80,000 3,412,800
Dana Corporation 8,800 132,088
Delphi Corporation+++ 852,950 3,966,218
Ford Motor Co.+++ 111,695 1,143,757
General Motors
Corporation+++ 28,600 972,400
Genuine Parts Co. 10,300 423,227
Goodyear Tire & Rubber Co.
(The)*+++ 6,000 89,400
Laidlaw International,
Inc.* 22,700 547,070
Lear Corporation 4,700 170,986
Norfolk Southern
Corporation 22,400 693,504
Overseas Shipholding Group,
Inc.+++ 1,900 113,335
PACCAR, Inc. 1,850 125,800
Southwest Airlines Co. 24,550 341,982
Swift Transportation Co.,
Inc.* 2,300 53,567
Tidewater, Inc. 3,100 118,172
TRW Automotive Holdings
Corporation*+++ 1,900 46,569
Union Pacific Corporation 129,300 8,378,640
Yellow Roadway
Corporation*+++ 3,300 167,640
--------------
34,476,818
--------------
CONSUMER
DISCRETIONARY -- 10.2%
Adesa, Inc. 5,200 113,204
Alberto-Culver Co. 2,850 123,491
Allied Waste Industries,
Inc.*+++ 9,500 75,335
American Greetings
Corporation Class A 3,900 103,350
AnnTaylor Stores
Corporation* 2,200 53,416
AutoNation, Inc.*+++ 10,500 215,460
Barnes & Noble, Inc.* 2,900 112,520
Belo Corporation Class A 4,700 112,659
Best Buy Co., Inc. 21,000 1,439,550
BJ's Wholesale Club,
Inc.*+++ 4,100 133,209
Black & Decker
Corporation+++ 21,100 1,895,835
Borders Group, Inc. 4,600 116,426
Brink's Co. (The)+++ 1,400 50,400
Carnival Corporation+++ 136,000 7,418,800
CBRL Group, Inc.+++ 2,200 85,492
Cendant Corporation 688,730 15,406,890
Circuit City Stores,
Inc.+++ 241,800 4,180,722
Claire's Stores, Inc. 400 9,620
Clear Channel
Communications, Inc. 23,925 740,000
Columbia Sportswear Co.*+++ 1,200 59,268
Convergys Corporation* 8,500 120,870
Costco Wholesale
Corporation 19,300 865,026
Dillard's, Inc. Class A 5,000 117,100
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
DIRECTV Group, Inc. (The)* 4,232 $ 65,596
Dollar Tree Stores, Inc.* 2,500 60,000
Donnelley (R.R.) & Sons
Co. 13,500 465,885
Eastman Kodak Co.+++ 344,500 9,249,825
Family Dollar Stores, Inc. 2,600 67,860
Federated Department
Stores, Inc.+++ 10,500 769,440
Fisher Scientific
International, Inc.* 3,200 207,680
Foot Locker, Inc. 5,000 136,100
Gannett Co., Inc. 108,800 7,738,944
Hasbro, Inc.+++ 9,325 193,867
Hearst-Argyle Television,
Inc. 1,800 44,100
Hewitt Associates, Inc.
Class A*+++ 1,700 45,067
Hilton Hotels Corporation 135,100 3,222,135
Home Depot, Inc. (The) 119,400 4,644,660
IAC/InterActiveCorp*+++ 11,161 268,422
International Speedway
Corporation Class A 1,500 84,390
Interpublic Group Cos.,
Inc.*+++ 5,000 60,900
Jones Apparel Group, Inc. 7,500 232,800
Kimberly-Clark Corporation 17,100 1,070,289
Knight-Ridder, Inc.+++ 4,000 245,360
Lamar Advertising Co.* 1,300 55,601
Laureate Education,
Inc.*+++ 700 33,502
Lee Enterprises, Inc. 2,700 108,243
Leggett & Platt, Inc. 7,700 204,666
Liberty Global, Inc. Class
A* 8,957 418,023
Liberty Media Corporation
Class A* 115,100 1,172,869
Liz Claiborne, Inc. 6,600 262,416
Manpower, Inc. 3,800 151,164
Mattel, Inc.+++ 337,700 6,179,910
May Department Stores Co.
(The) 18,000 722,880
McClatchy Co. Class A 1,100 71,984
McDonald's Corporation 601,800 16,699,951
McGraw-Hill Co., Inc. (The) 30,200 1,336,350
Mohawk Industries, Inc.*+++ 2,200 181,500
Neiman-Marcus Group, Inc.
Class A 2,300 222,916
New York Times Co. Class
A+++ 9,900 308,385
Newell Rubbermaid, Inc.+++ 326,400 7,781,376
Office Depot, Inc.* 213,600 4,878,624
OfficeMax, Inc. 5,300 157,781
Outback Steakhouse, Inc. 400 18,096
Penney (JC) Co., Inc. 9,900 520,542
Pixar, Inc.*+++ 31,000 1,551,550
Polo Ralph Lauren
Corporation+++ 2,500 107,775
Reebok International, Ltd. 2,700 112,941
Rent-A-Center, Inc.* 5,400 125,766
Republic Services, Inc. 8,500 306,085
Sabre Holdings Corporation 7,900 157,605
</Table>
See Notes to Financial Statements.
78
<Table>
<Caption>
SHARES VALUE
----------- --------------
Saks, Inc.* 7,500 $ 142,275
Sears Holdings Corporation* 3,297 494,121
Service Corporation
International 18,100 145,162
ServiceMaster Co. 7,100 95,140
Snap-On, Inc. 3,400 116,620
Stanley Works (The)+++ 199,300 9,076,122
Staples, Inc. 9,500 202,540
Starwood Hotels & Resorts
Worldwide, Inc. 5,200 304,564
Take-Two Interactive
Software, Inc.* 1,200 30,540
Tech Data Corporation* 3,200 117,152
Telewest Global, Inc.*+++ 16,300 371,314
Tiffany & Co.+++ 4,800 157,248
Time Warner, Inc.* 272,600 4,555,146
Toys "R" Us, Inc.* 13,100 346,888
Tribune Co. 15,800 555,844
Univision Communications,
Inc. Class A*+++ 6,195 170,672
VF Corporation 48,100 2,752,282
Warner Music Group
Corporation*+++ 3,300 53,460
Waste Management, Inc.+++ 290,357 8,228,717
Wendy's International,
Inc.+++ 169,400 8,071,910
Westwood One, Inc.+++ 3,000 61,290
Whirlpool Corporation+++ 4,200 294,462
--------------
142,613,933
--------------
CONSUMER STAPLES -- 3.1%
Albertson's, Inc.+++ 252,300 5,217,564
Campbell Soup Co.+++ 6,800 209,236
Clorox Co. 9,241 514,909
Coca-Cola Co. (The) 48,600 2,029,050
Coca-Cola Enterprises,
Inc. 17,800 391,778
Colgate-Palmolive Co. 9,500 474,145
ConAgra Foods, Inc. 480,000 11,116,799
Dean Foods Co.* 124,950 4,403,238
Del Monte Foods Co.* 11,200 120,624
General Mills, Inc. 17,200 804,788
Heinz (H.J.) Co.+++ 186,700 6,612,914
Hershey Co. (The) 1,400 86,940
Hormel Foods Corporation+++ 4,400 129,052
J.M. Smucker Co. (The) 3,400 159,596
Kellogg Co. 6,100 271,084
Kraft Foods, Inc. Class
A+++ 17,100 543,951
Kroger Co.* 45,800 871,574
McCormick & Co., Inc. 2,000 65,360
Pepsi Bottling Group,
Inc.+++ 5,600 160,216
PepsiAmericas, Inc. 4,200 107,772
Pilgrim's Pride
Corporation+++ 1,200 40,956
Rite Aid Corporation*+++ 29,500 123,310
Safeway, Inc.+++ 128,900 2,911,851
Sara Lee Corporation 189,715 3,758,254
Smithfield Foods, Inc.* 6,100 166,347
SUPERVALU, Inc. 56,900 1,855,509
TreeHouse Foods, Inc.* 25,990 740,975
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Tyson Foods, Inc. Class A 13,781 $ 245,302
--------------
44,133,094
--------------
FINANCIAL SERVICES -- 32.0%
A.G. Edwards, Inc. 4,700 212,205
ACE, Ltd.+++ 174,300 7,817,355
AFLAC, Inc. 5,700 246,696
Alleghany Corporation* 312 92,664
Allied Capital
Corporation+++ 7,600 221,236
Allmerica Financial
Corporation* 3,200 118,688
Allstate Corporation
(The)+++ 238,500 14,250,375
AMB Property Corporation
REIT 4,900 212,807
AMBAC Financial Group,
Inc. 5,250 366,240
American Capital
Strategies, Ltd.+++ 6,600 238,326
American Financial Group,
Inc.+++ 2,200 73,744
American Financial Realty
Trust REIT+++ 6,000 92,280
American International
Group, Inc. 101,233 5,881,637
American National Insurance
Co. 500 57,345
AmeriCredit Corporation*+++ 6,000 153,000
Ameritrade Holding
Corporation*+++ 10,100 187,759
AmerUs Group Co.+++ 3,100 148,955
AmSouth Bancorporation 20,900 543,400
Annaly Mortgage Management,
Inc. REIT+++ 9,300 166,749
AON Corporation 19,200 480,768
Apartment Investment &
Management Co. Class A
REIT 5,600 229,152
Archstone-Smith Trust REIT 13,500 521,370
Arden Realty, Inc. REIT 5,200 187,096
Arthur J. Gallagher &
Co.+++ 500 13,565
Associated Banc-Corp+++ 19,100 642,906
Assurant, Inc.+++ 6,500 234,650
Astoria Financial
Corporation 6,900 196,443
AvalonBay Communities, Inc.
REIT 4,200 339,360
Bank of America Corporation 906,284 41,335,613
Bank of Hawaii Corporation 3,200 162,400
Bank of New York Co., Inc.
(The) 49,900 1,436,122
BB&T Corporation+++ 34,729 1,388,118
Bear Stearns Cos., Inc.
(The) 6,900 717,186
BISYS Group, Inc. (The)* 3,000 44,820
BOK Financial Corporation 1,057 48,749
Boston Properties, Inc.
REIT 6,400 448,000
BRE Properties, Inc. Class
A REIT 3,900 163,215
Camden Property Trust REIT 3,800 204,250
</Table>
See Notes to Financial Statements.
79
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Capital One Financial
Corporation 11,100 $ 888,111
CapitalSource, Inc.*+++ 1,900 37,297
Capitol Federal
Financial+++ 1,300 44,824
CarrAmerica Realty
Corporation REIT 4,500 162,810
Catellus Development
Corporation REIT 5,100 167,280
CBL & Associates
Properties, Inc. REIT 27,800 1,197,346
Centerpoint Properties
Corporation REIT 2,800 118,440
Checkfree Corporation*+++ 800 27,248
Chubb Corporation 131,800 11,283,398
CIGNA Corporation 108,600 11,623,458
Cincinnati Financial
Corporation 10,255 405,688
CIT Group, Inc. 99,100 4,258,327
Citigroup, Inc. 978,100 45,217,562
City National Corporation 2,400 172,104
CNA Financial Corporation* 1,500 42,630
Colonial BancGroup, Inc. 7,700 169,862
Comerica, Inc.+++ 209,900 12,132,220
Commerce Bancorp, Inc. 400 12,124
Commerce Bancshares,
Inc.+++ 3,607 181,829
Commerce Group, Inc. 1,200 74,532
Compass Bancshares, Inc. 8,600 387,000
Conseco, Inc.*+++ 10,600 231,292
Countrywide Financial
Corporation 33,500 1,293,435
Crescent Real Estate
Equities Co. REIT 254,800 4,777,500
Cullen/Frost Bankers, Inc. 3,000 142,950
Deluxe Corporation+++ 3,700 150,220
Developers Diversified
Realty Corporation REIT 6,100 280,356
Downey Financial
Corporation 1,000 73,200
Duke Realty Corporation
REIT 8,400 265,944
E*TRADE Financial
Corporation* 24,200 338,558
Equifax, Inc. 2,600 92,846
Equity Office Properties
Trust REIT 25,285 836,934
Equity Residential
Properties Trust REIT 18,100 666,442
Erie Indemnity Co. Class
A+++ 1,700 92,225
Essex Property Trust, Inc.
REIT 1,800 149,508
Fair Isaac & Co., Inc.+++ 600 21,900
Fannie Mae 151,100 8,824,240
Federal Realty Investors
Trust REIT 2,800 165,200
Federated Investors, Inc.
Class B+++ 500 15,005
Fidelity National
Financial, Inc. 9,879 352,582
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Fifth Third Bancorp+++ 28,800 $ 1,186,848
First American
Corporation+++ 5,700 228,798
First Horizon National
Corporation 7,800 329,160
FirstMerit Corporation+++ 5,000 130,550
Freddie Mac 164,000 10,697,720
Friedman, Billings, Ramsey
Group, Inc. Class A
REIT+++ 9,900 141,570
Fulton Financial
Corporation+++ 9,050 162,900
General Growth Properties,
Inc. REIT 90,800 3,730,972
Genworth Financial, Inc.
Class A 13,200 399,036
Golden West Financial
Corporation 9,300 598,734
Goldman Sachs Group, Inc. 22,100 2,254,642
Hartford Financial Services
Group, Inc.+++ 272,600 20,385,027
HCC Insurance Holdings,
Inc. 2,800 106,036
Health Care Property
Investors, Inc. REIT+++ 7,800 210,912
Health Care REIT, Inc. 3,000 113,070
Healthcare Realty Trust,
Inc. REIT 2,000 77,220
Hibernia Corporation Class
A 9,200 305,256
Hospitality Properties
Trust REIT 4,000 176,280
Host Marriott Corporation
REIT 20,900 365,750
HRPT Properties Trust REIT 10,500 130,515
Huntington Bancshares,
Inc. 14,200 342,788
Independence Community Bank
Corporation 4,900 180,957
IndyMac Bancorp, Inc. 2,400 97,752
Instinet Group, Inc.* 7,000 36,680
International Bancshares
Corporation 2,625 74,261
iStar Financial, Inc. REIT 6,500 270,335
Janus Capital Group,
Inc.+++ 15,400 231,616
Jefferies Group, Inc.+++ 3,400 128,826
Jefferson-Pilot Corporation 8,300 418,486
JPMorgan Chase & Co. 705,038 24,901,941
KeyCorp 255,150 8,458,223
Kimco Realty Corporation
REIT 5,800 341,678
Lehman Brothers Holdings,
Inc. 21,142 2,098,978
Leucadia National
Corporation+++ 4,750 183,493
Liberty Property Trust REIT 5,000 221,550
Lincoln National
Corporation 11,600 544,272
Loews Corporation 9,000 697,500
M & T Bank Corporation 4,500 473,220
Macerich Co. (The) REIT 3,200 214,560
Mack-Cali Realty
Corporation REIT 3,600 163,080
Markel Corporation* 300 101,700
</Table>
See Notes to Financial Statements.
80
<Table>
<Caption>
SHARES VALUE
----------- --------------
Marsh & McLennan Cos.,
Inc. 34,100 $ 944,570
Marshall & Ilsley
Corporation+++ 14,800 657,860
MBIA, Inc.+++ 8,450 501,170
MBNA Corporation 676,000 17,684,160
Mellon Financial
Corporation 24,400 700,036
Mercantile Bankshares
Corporation 4,700 242,191
Mercury General Corporation 1,500 81,780
Merrill Lynch & Co., Inc. 153,367 8,436,719
MetLife, Inc. 27,000 1,213,380
MGIC Investment
Corporation+++ 109,900 7,167,678
Mills Corporation (The)
REIT+++ 25,000 1,519,750
Morgan Stanley 228,500 11,989,395
National City Corporation 113,337 3,867,058
Nationwide Financial
Services Class A+++ 48,800 1,851,472
New Century Financial
Corporation REIT+++ 1,900 97,755
New Plan Excel Realty Trust
REIT+++ 5,900 160,303
New York Community Bancorp,
Inc.+++ 17,954 325,327
North Fork Bancorporation,
Inc. 155,308 4,362,602
Northern Trust Corporation 5,300 241,627
Old Republic International
Corporation 62,450 1,579,361
Pan Pacific Retail
Properties, Inc. REIT 2,400 159,312
Philadelphia Consolidated
Holding Corporation*+++ 400 33,904
Plum Creek Timber Co., Inc.
REIT 10,862 394,291
PMI Group, Inc. (The) 6,500 253,370
PNC Financial Services
Group, Inc. 18,600 1,012,956
Popular, Inc. 16,400 413,116
Principal Financial Group 18,800 787,720
Progressive Corporation
(The) 1,500 148,215
Prologis Trust REIT 12,789 514,629
Protective Life Corporation 4,100 173,102
Providian Financial
Corporation*+++ 16,500 290,895
Prudential Financial, Inc. 30,100 1,976,366
Public Storage, Inc. REIT 1,900 120,175
Radian Group, Inc. 4,900 231,378
Raymond James Financial,
Inc. 3,600 101,700
Rayonier, Inc. REIT+++ 14,940 792,268
Realty Income Corporation
REIT+++ 3,300 82,632
Reckson Associates Realty
Corporation REIT+++ 4,000 134,200
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Regency Centers Corporation
REIT 3,300 $ 188,760
Regions Financial
Corporation 30,249 1,024,836
Reinsurance Group of
America, Inc.+++ 1,700 79,067
Ryder System, Inc. 3,100 113,460
Safeco Corporation 8,500 461,890
Shurgard Storage Centers,
Inc. Class A REIT+++ 2,700 124,092
Simon Property Group, Inc.
REIT+++ 7,457 540,558
Sky Financial Group, Inc. 6,100 171,898
SL Green Realty Corporation
REIT+++ 2,300 148,350
SLM Corporation 156,200 7,934,960
South Financial Group,
Inc. 3,500 99,470
Sovereign Bancorp, Inc. 21,600 482,544
St. Paul Travelers Cos.,
Inc. 145,691 5,759,165
Stancorp Financial Group,
Inc. 2,100 160,818
State Street Corporation 14,000 675,500
Sungard Data Systems, Inc.* 1,800 63,306
SunTrust Banks, Inc. 96,174 6,947,610
TCF Financial
Corporation+++ 1,000 25,880
TD Banknorth, Inc. 4,998 148,940
Thornburg Mortgage, Inc.
REIT+++ 6,200 180,606
Torchmark Corporation 7,100 370,620
Transatlantic Holdings,
Inc. 1,375 76,753
Trizec Properties, Inc.
REIT 7,000 143,990
UnionBanCal Corporation 51,400 3,439,688
United Dominion Realty
Trust, Inc. REIT 6,900 165,945
Unitrin, Inc. 1,600 78,560
UnumProvident
Corporation+++ 395,400 7,243,728
US Bancorp 139,625 4,077,050
Valley National Bancorp 5,812 135,885
Vornado Realty Trust REIT 7,400 594,960
W.R. Berkley Corporation 5,812 207,372
Wachovia Corporation 360,328 17,872,269
Washington Federal, Inc. 5,097 119,881
Washington Mutual, Inc. 555,914 22,620,140
Webster Financial
Corporation 3,100 144,739
Weingarten Realty Investors
REIT 4,100 160,802
WellChoice, Inc.* 700 48,629
Wells Fargo & Co. 191,572 11,797,004
Westcorp+++ 1,100 57,662
WFS Financial, Inc.* 200 10,142
Whitney Holding Corporation 3,600 117,468
Wilmington Trust
Corporation 3,900 140,439
XL Capital, Ltd. Class A+++ 165,100 12,286,742
Zions Bancorporation 6,200 455,886
--------------
448,105,050
--------------
HEALTHCARE -- 9.3%
Abbott Laboratories 11,800 578,318
Aetna, Inc. 3,600 298,152
</Table>
See Notes to Financial Statements.
81
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
AmerisourceBergen
Corporation 35,646 $ 2,464,921
Bausch & Lomb, Inc.+++ 700 58,100
Baxter International, Inc. 290,800 10,788,680
Becton Dickinson & Co. 5,900 309,573
Biogen Idec, Inc.* 11,700 403,065
Bristol-Myers Squibb Co. 370,400 9,252,592
Cardinal Health, Inc.+++ 158,300 9,114,914
Caremark Rx, Inc.* 3,000 133,560
Charles River Laboratories
International, Inc.*+++ 1,800 86,850
Chiron Corporation* 1,100 38,379
Community Health Systems,
Inc.* 1,500 56,685
Cooper Cos., Inc. 800 48,688
Eli Lilly & Co. 4,600 256,266
Gilead Sciences, Inc.* 12,700 558,673
Health Management
Associates, Inc. Class
A+++ 1,600 41,888
Health Net, Inc.* 171,700 6,552,072
Hospira, Inc* 5,700 222,300
Humana, Inc.* 2,800 111,272
Invitrogen Corporation*+++ 1,800 149,922
IVAX Corporation*+++ 222,950 4,793,425
King Pharmaceuticals, Inc.* 14,300 149,006
McKesson Corporation 11,000 492,690
Medco Health Solutions,
Inc.* 133,817 7,140,475
Merck & Co., Inc. 302,600 9,320,080
Millennium Pharmeceuticals,
Inc.*+++ 10,900 101,043
Mylan Laboratories, Inc. 12,900 248,196
Omnicare, Inc.+++ 4,100 173,963
PacifiCare Health Systems,
Inc.* 2,400 171,480
Pfizer, Inc. 1,218,200 33,597,956
Schering-Plough Corporation 418,400 7,974,704
Sierra Health Services,
Inc.* 200 14,292
Tenet Healthcare
Corporation* 26,600 325,584
Triad Hospitals, Inc.*+++ 22,400 1,223,936
Universal Health Services,
Inc. Class B+++ 900 55,962
Watson Pharmaceuticals,
Inc.* 142,600 4,215,256
WebMD Corporation* 6,100 62,647
WellPoint, Inc.* 120,962 8,423,794
Wyeth+++ 238,400 10,608,800
--------------
130,618,159
--------------
INTEGRATED OILS -- 9.9%
Amerada Hess Corporation 5,200 553,852
BP PLC ADR+++ 191,068 11,918,822
Chevron Corporation 552,596 30,901,168
ConocoPhillips 530,664 30,507,873
ExxonMobil Corporation 694,300 39,901,422
Marathon Oil Corporation 136,800 7,301,016
Occidental Petroleum
Corporation 215,600 16,586,108
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Unocal Corporation 16,800 $ 1,092,840
--------------
138,763,101
--------------
MATERIALS & PROCESSING --4.4%
Air Products & Chemicals,
Inc. 13,500 814,050
Airgas, Inc.+++ 2,800 69,076
Albemarle Corporation 1,600 58,352
Alcoa, Inc. 333,700 8,719,581
AptarGroup, Inc. 1,700 86,360
Archer-Daniels-Midland Co. 42,389 906,277
Ashland, Inc. 4,200 301,854
Avery Dennison Corporation 1,700 90,032
Ball Corporation+++ 5,200 186,992
Bemis Co. 6,300 167,202
Cabot Corporation+++ 4,100 135,300
Celanese Corporation Series
A*+++ 4,400 69,916
Crompton Corporation* 2,200 31,130
Cytec Industries, Inc. 3,000 119,400
Dow Chemical Co. (The) 114,044 5,078,379
Du Pont (E.I.) de Nemours &
Co. 52,100 2,240,821
Eastman Chemical Co.+++ 30,800 1,698,620
Energizer Holdings, Inc.* 1,200 74,604
Engelhard Corporation 7,400 211,270
FMC Corporation*+++ 2,000 112,280
Georgia-Pacific
Corporation+++ 85,671 2,724,338
Harsco Corporation 800 43,640
Huntsman Corporation* 4,700 95,269
International Paper Co. 30,100 909,321
Jacobs Engineering Group,
Inc.* 700 39,382
Lafarge North America,
Inc. 11,200 699,328
Louisiana-Pacific
Corporation+++ 7,700 189,266
Lubrizol Corporation 4,500 189,045
Lyondell Chemical Co. 153,500 4,055,470
Martin Marietta Materials,
Inc. 1,000 69,120
Masco Corporation 5,500 174,680
MeadWestvaco Corporation 319,752 8,965,846
Monsanto Co. 3,600 226,332
Mosaic Co. (The)*+++ 6,800 105,808
Newmont Mining Corporation 26,100 1,018,683
Nucor Corporation+++ 9,700 442,514
Owens-Illinois, Inc.* 9,200 230,460
Packaging Corporation of
America 4,400 92,620
Pactiv Corporation* 339,500 7,326,410
Phelps Dodge Corporation 2,800 259,000
PPG Industries, Inc. 10,300 646,428
Praxair, Inc. 3,300 153,780
Precision Castparts
Corporation 21,300 1,659,270
Rohm & Haas Co. 9,500 440,230
RPM International, Inc.+++ 6,900 125,994
Scotts Miracle-Gro Co.
(The) Class A*+++ 1,000 71,210
</Table>
See Notes to Financial Statements.
82
<Table>
<Caption>
SHARES VALUE
----------- --------------
Sealed Air Corporation*+++ 3,000 $ 149,370
Sherwin-Williams Co. (The) 48,500 2,283,865
Sigma-Aldrich Corporation 4,500 252,180
Smurfit-Stone Container
Corporation* 17,500 177,975
Sonoco Products Co.+++ 5,800 153,700
Temple-Inland, Inc. 6,600 245,190
Timken Co. 3,300 76,230
United States Steel
Corporation+++ 7,500 257,775
USG Corporation* 2,100 89,250
Valspar Corporation+++ 3,700 178,673
Vulcan Materials Co. 2,800 181,972
Weyerhaeuser Co. 77,600 4,939,240
--------------
61,110,360
--------------
OTHER -- 1.1%
Brunswick Corporation 2,200 95,304
Carlisle Cos., Inc.+++ 1,400 96,082
Eaton Corporation 6,700 401,330
General Electric Co. 240,000 8,316,000
Hillenbrand Industries,
Inc. 2,500 126,375
Honeywell International,
Inc. 54,300 1,989,009
ITT Industries, Inc. 800 78,104
Johnson Controls, Inc. 71,000 3,999,430
SPX Corporation 4,300 197,714
Teleflex, Inc.+++ 2,100 124,677
Textron, Inc. 6,000 455,100
Wesco Financial Corporation 100 36,000
--------------
15,915,125
--------------
OTHER ENERGY -- 2.9%
Anadarko Petroleum
Corporation 94,400 7,754,960
Apache Corporation 20,182 1,303,757
Arch Coal, Inc.+++ 2,700 147,069
Burlington Resources, Inc. 122,300 6,755,852
Chesapeake Energy
Corporation 13,200 300,960
Consol Energy, Inc. 2,000 107,160
Cooper Cameron
Corporation*+++ 1,200 74,460
Devon Energy Corporation 42,338 2,145,690
Dynegy, Inc. Class A*+++ 19,800 96,228
El Paso Corporation+++ 39,172 451,261
ENSCO International, Inc. 2,700 96,525
Equitable Resources,
Inc.+++ 1,000 68,000
Forest Oil Corporation*+++ 3,800 159,600
Helmerich & Payne, Inc. 500 23,460
Kerr-McGee Corporation 7,091 541,114
National Oilwell Varco,
Inc.* 4,481 213,027
Newfield Exploration Co.* 2,900 115,681
Noble Energy, Inc. 4,400 332,860
NRG Energy, Inc.*+++ 54,800 2,060,480
Pioneer Natural Resources
Co. 8,000 336,640
Pogo Producing Co. 4,300 223,256
Premcor, Inc. 4,900 363,482
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Pride International, Inc.* 70,100 $ 1,801,570
Reliant Energy, Inc.*+++ 152,673 1,890,092
Rowan Cos., Inc.+++ 3,100 92,101
Sunoco, Inc. 1,000 113,680
Tesoro Corporation 32,600 1,516,552
Unit Corporation* 700 30,807
Valero Energy
Corporation+++ 16,000 1,265,760
Vintage Petroleum, Inc. 4,000 121,880
Williams Cos., Inc. 539,600 10,252,400
--------------
40,756,364
--------------
PRODUCER DURABLES -- 5.3%
Agilent Technologies, Inc.* 4,000 92,080
Alliant Techsystems, Inc.* 1,000 70,600
American Power Conversion
Corporation 212,600 5,015,234
American Tower Corporation
Class A*+++ 2,500 52,550
Andrew Corporation*+++ 8,600 109,736
Beazer Homes USA, Inc.+++ 1,400 80,010
Centex Corporation+++ 3,700 261,479
Crown Castle International
Corporation* 5,900 119,888
Cummins, Inc.+++ 1,600 119,376
Deere & Co. 13,700 897,213
Diebold, Inc.+++ 1,100 49,621
Dover Corporation 3,300 120,054
DR Horton, Inc. 4,633 174,247
Emerson Electric Co. 152,100 9,526,023
Grainger (W.W.), Inc. 4,200 230,118
Hubbell, Inc. Class B+++ 3,600 158,760
Illinois Tool Works, Inc. 1,100 87,648
Ingersoll-Rand Co., Ltd.
Class A 3,400 242,590
KB HOME+++ 800 60,984
Lam Research Corporation* 28,200 816,108
Lennar Corporation Class A 3,500 222,075
MDC Holdings, Inc. 810 66,623
Meritage Homes
Corporation*+++ 1,300 103,350
Mettler Toledo
International, Inc.*+++ 1,100 51,238
Molex, Inc.+++ 3,500 91,140
Nokia Corporation ADR 607,700 10,112,128
Northrop Grumman
Corporation 281,670 15,562,267
Novellus Systems, Inc.* 4,700 116,137
NVR, Inc.*+++ 4,200 3,402,000
Pall Corporation 7,200 218,592
Parker Hannifin Corporation 4,700 291,447
Pentair, Inc. 1,600 68,496
Pitney Bowes, Inc. 81,900 3,566,745
Pulte Homes, Inc.+++ 6,500 547,625
Roper Industries, Inc. 300 21,411
Ryland Group, Inc. 600 45,522
Standard-Pacific
Corporation+++ 1,900 167,105
Steelcase, Inc. Class A 2,900 40,165
Tektronix, Inc. 4,300 100,061
</Table>
See Notes to Financial Statements.
83
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- --------------
Terex Corporation* 3,500 $ 137,900
Thermo Electron
Corporation* 5,700 153,159
Thomas & Betts Corporation* 1,800 50,832
Tyco International, Ltd.+++ 286,300 8,359,960
United Technologies
Corporation 232,700 11,949,145
Xerox Corporation* 60,200 830,158
--------------
74,559,600
--------------
TECHNOLOGY -- 4.0%
ADC Telecommunications,
Inc.*+++ 7,842 170,720
Advanced Micro Devices,
Inc.*+++ 11,000 190,740
Affiliated Computer
Services, Inc. Class
A*+++ 2,300 117,530
Applera Corporation-Applied
Biosystems Group 12,000 236,040
Arrow Electronics, Inc.* 6,800 184,688
Avaya, Inc.* 7,300 60,736
Avnet, Inc.* 6,200 139,686
AVX Corporation+++ 1,900 23,028
BEA Systems, Inc.* 20,400 179,112
BMC Software, Inc.* 8,700 156,165
Cadence Design Systems,
Inc.* 8,000 109,280
Ceridian Corporation* 3,800 74,024
Computer Associates
International, Inc. 7,300 200,604
Computer Sciences
Corporation* 97,800 4,273,860
Compuware Corporation*+++ 15,500 111,445
Comverse Technology, Inc.* 2,100 49,665
Electronic Data Systems
Corporation+++ 460,000 8,855,000
EMC Corporation* 155,700 2,134,647
Freescale Semiconductor,
Inc. Series B* 21,300 451,134
General Dynamics
Corporation 16,000 1,752,640
Harris Corporation 2,100 65,541
Hewlett-Packard Co. 435,650 10,242,132
Ingram Micro, Inc. Class A* 5,300 82,998
Intel Corporation 121,300 3,161,078
International Business
Machines Corporation 15,300 1,135,260
International Rectifier
Corporation*+++ 900 42,948
Intersil Corporation Class
A 5,900 110,743
JDS Uniphase
Corporation*+++ 49,200 74,784
Juniper Networks, Inc.* 8,800 221,584
L-3 Communications
Holdings, Inc. 3,100 237,398
LSI Logic Corporation*+++ 16,700 141,783
Lucent Technologies,
Inc.*+++ 275,300 801,123
McAfee, Inc.* 61,200 1,602,216
Micron Technology, Inc.* 18,200 185,822
Microsoft Corporation 179,100 4,448,844
Motorola, Inc. 402,600 7,351,476
NCR Corporation* 8,300 291,496
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Novell, Inc.*+++ 25,400 $ 157,480
PerkinElmer, Inc. 3,700 69,930
Raytheon Co. 22,900 895,848
Reynolds & Reynolds Co.
(The) Class A+++ 2,600 70,278
Sandisk Corporation*+++ 2,400 56,952
Sanmina-SCI Corporation* 18,276 99,970
Scientific-Atlanta, Inc. 20,000 665,400
Seagate Technology 115,600 2,028,780
Seagate Technology, Inc.+ 4,600 0
Siebel Systems, Inc.+++ 27,200 242,080
Solectron Corporation* 32,700 123,933
Storage Technology
Corporation* 7,100 257,659
Sun Microsystems, Inc.* 91,600 341,668
Sybase, Inc.*+++ 6,400 117,440
Synopsys, Inc.*+++ 40,800 680,136
Tellabs, Inc.* 29,466 256,354
Unisys Corporation* 19,400 122,802
Veritas Software
Corporation* 21,600 527,040
Vishay Intertechnology,
Inc.* 10,900 129,383
--------------
56,511,103
--------------
UTILITIES -- 10.6%
AES Corporation (The)* 97,200 1,592,136
AGL Resources, Inc. 3,800 146,870
Allegheny Energy, Inc.*+++ 9,600 242,112
Alliant Energy Corporation 6,600 185,790
Alltel Corporation+++ 18,500 1,152,180
Ameren Corporation+++ 12,800 707,840
American Electric Power
Co., Inc.+++ 266,500 9,825,855
Aqua America, Inc.+++ 5,525 164,314
AT&T Corporation 345,060 6,569,942
Atmos Energy Corporation+++ 3,600 103,680
BellSouth Corporation 136,200 3,618,834
Centerpoint Energy, Inc.+++ 21,500 284,015
CenturyTel, Inc. 8,900 308,207
Cinergy Corporation 13,200 591,624
Citizens Communications
Co. 19,400 260,736
CMS Energy Corporation* 14,800 222,888
Comcast Corporation Class
A* 357,063 10,961,834
Consolidated Edison,
Inc.+++ 16,200 758,808
Constellation Energy Group,
Inc.+++ 10,700 617,283
Dominion Resources, Inc.+++ 22,019 1,615,974
DPL, Inc. 9,100 249,795
DTE Energy Co. 30,200 1,412,454
Duke Energy Corporation+++ 237,700 7,066,821
Edison International 19,900 806,945
Energen Corporation+++ 25,800 904,290
Energy East Corporation+++ 8,700 252,126
Entergy Corporation 183,300 13,848,315
Exelon Corporation+++ 150,374 7,718,697
FirstEnergy Corporation 21,612 1,039,753
FPL Group, Inc. 24,500 1,030,470
Great Plains Energy,
Inc.+++ 4,100 130,749
</Table>
See Notes to Financial Statements.
84
<Table>
<Caption>
SHARES VALUE
----------- --------------
Hawaiian Electric
Industries, Inc.+++ 4,800 $ 128,688
KeySpan Corporation 97,300 3,960,110
Kinder Morgan, Inc. 900 74,880
MCI, Inc.* 17,000 437,070
MDU Resources Group, Inc. 47,750 1,345,118
National Fuel Gas Co.+++ 4,300 124,313
Nextel Communications, Inc.
Class A* 44,800 1,447,488
NiSource, Inc. 15,700 388,261
Nortel Networks
Corporation*+++ 1,288,500 3,362,985
Northeast Utilities 29,800 621,628
NSTAR 6,200 191,146
NTL, Inc.* 4,900 335,258
OGE Energy Corporation+++ 5,200 150,488
Oneok, Inc. 6,100 199,165
Pepco Holdings, Inc.+++ 58,898 1,410,018
PG&E Corporation 23,800 893,452
Piedmont Natural Gas Co.,
Inc.+++ 3,100 74,462
Pinnacle West Capital
Corporation 5,400 240,030
PNM Resources, Inc. 4,900 141,169
PPL Corporation+++ 135,200 8,028,176
Progress Energy, Inc.+++ 16,300 737,412
Progress Energy, Inc.
Contingent Value
Obligation*+ 3,100 1,209
Public Service Enterprise
Group, Inc.+++ 14,600 887,972
Puget Energy, Inc. 5,900 137,942
Questar Corporation 4,500 296,550
Qwest Communications
International, Inc.* 91,700 340,207
SBC Communications, Inc. 210,000 4,987,500
SCANA Corporation 6,600 281,886
Sempra Energy 80,400 3,321,324
Southern Co. (The)+++ 48,200 1,671,094
Southern Union Co.* 4,700 115,385
Sprint Corporation 87,100 2,185,339
TECO Energy, Inc. 11,600 219,356
Telephone & Data Systems,
Inc. 5,600 228,536
TXU Corporation 61,300 5,093,417
UGI Corporation 7,600 212,040
US Cellular Corporation* 500 24,970
Vectren Corporation+++ 4,500 129,285
Verizon Communications,
Inc. 850,324 29,378,695
Westar Energy, Inc. 5,100 122,553
Western Gas Resources,
Inc.+++ 900 31,410
Wisconsin Energy
Corporation 7,000 273,000
WPS Resources
Corporation+++ 2,200 123,750
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------------
Xcel Energy, Inc.+++ 26,540 $ 518,061
--------------
149,264,135
--------------
TOTAL COMMON STOCKS
(Cost $1,126,055,812) 1,336,826,842
--------------
SHORT-TERM INVESTMENTS -- 15.1%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 48,669,178 48,669,178
Northern Institutional
Liquid Assets
Portfoliosec. 163,275,774 163,275,774
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $211,944,952) 211,944,952
--------------
</Table>
<Table>
<Caption>
PAR
----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $4,845,087) $4,850,000 4,845,634
--------------
<Caption>
SHARES
----------
PREFERRED STOCK -- 0.0%
FINANCIAL SERVICES
Simon Property Group, L.P.
REIT 6.00%
(Cost $30,524) 570 35,340
--------------
TOTAL INVESTMENTS -- 110.7%
(Cost $1,342,876,375) 1,553,652,768
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (10.7%) (150,452,161)
--------------
NET ASSETS -- 100.0% $1,403,200,607
==============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 2.5
Consumer Discretionary 10.2
Consumer Staples 3.1
Financial Services 32.0
Futures Contracts 3.2
Healthcare 9.3
Integrated Oils 9.9
Materials & Processing 4.4
Other 1.1
Other Energy 2.9
Producer Durables 5.3
Short-Term Investments 15.1
Technology 4.0
U.S. Treasury Obligations 0.3
Utilities 10.6
-----
113.9
=====
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
85
GROWTH EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 5.38% 5.15% 4.92% 1.68% N/A N/A
Since Inception 0.47% 0.33% 0.08% (1.04)% 4.38%(1) 2.64%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9492 9481
Sep 2001 8506 8535
8945 8982
9837 9845
Dec 2001 9812 9827
9642 9653
9266 9253
Mar 2002 9642 9573
8858 8791
8619 8579
Jun 2002 7954 7785
7345 7357
7351 7379
Sep 2002 6566 6614
7207 7220
7646 7612
Dec 2002 7050 7087
6874 6915
6861 6883
Mar 2003 7043 7011
7577 7529
7966 7905
Jun 2003 8060 8014
8286 8214
8506 8418
Sep 2003 8336 8328
8864 8795
8845 8888
Dec 2003 9134 9195
9272 9383
9353 9442
Mar 2004 9309 9267
9247 9159
9460 9330
Jun 2004 9630 9447
9065 8913
9052 8869
Sep 2004 9278 8953
9341 9093
9843 9405
Dec 2004 10251 9774
9799 9448
9755 9549
Mar 2005 9648 9375
9548 9196
10169 9641
Jun 2005 10126 9606
</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.
- ---------------
(1) Non-annualized.
86
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ------------ --------------
COMMON STOCKS -- 97.2%
AUTO & TRANSPORTATION -- 0.9%
FedEx Corporation 160,058 $ 12,966,299
--------------
CONSUMER DISCRETIONARY -- 28.1%
Amazon.com, Inc.* 511,700 16,927,036
Apollo Group, Inc. Class
A* 451,300 35,300,686
Bed Bath & Beyond, Inc.* 175,800 7,344,924
Carnival Corporation 85,000 4,636,750
Coach, Inc.* 146,000 4,901,220
eBay, Inc.* 1,047,200 34,568,072
Electronic Arts, Inc.* 225,100 12,742,911
Gillette Co. (The) 111,600 5,650,308
Google, Inc.* 183,629 54,014,469
Harman International
Industries, Inc. 26,685 2,171,092
Iron Mountain, Inc.* 94,500 2,931,390
Kohl's Corporation* 143,400 8,017,494
Lowe's Cos., Inc. 558,474 32,514,356
Marriott International,
Inc. Class A 170,000 11,597,400
Nike, Inc. Class B 218,761 18,944,703
Penney (JC) Co., Inc. 253,700 13,339,546
Pixar, Inc.* 285,600 14,294,280
Scripps Co. (E.W.) Class
A 125,000 6,100,000
Starbucks Corporation* 648,789 33,516,440
Target Corporation 326,896 17,786,411
Univision Communications,
Inc. Class A* 160,000 4,408,000
Wal-Mart Stores, Inc. 131,900 6,357,580
XM Satellite Radio
Holdings, Inc. Class A* 415,305 13,979,166
Yahoo!, Inc.* 1,058,000 36,659,700
Yum! Brands, Inc. 200,321 10,432,718
--------------
409,136,652
--------------
CONSUMER STAPLES -- 5.8%
CVS Corporation 166,527 4,840,940
PepsiCo, Inc. 301,613 16,265,989
Procter & Gamble Co. 455,446 24,024,777
Walgreen Co. 697,252 32,066,619
Wrigley (W.M.), Jr. Co. 109,000 7,503,560
--------------
84,701,885
--------------
FINANCIAL SERVICES -- 12.0%
AFLAC, Inc. 231,400 10,014,992
American International
Group, Inc. 77,400 4,496,940
Capital One Financial
Corporation 201,600 16,130,016
Chicago Mercantile
Exchange Holdings,
Inc. 23,246 6,869,193
Citigroup, Inc. 385,516 17,822,405
Commerce Bancorp, Inc. 294,680 8,931,751
Countrywide Financial
Corporation 279,687 10,798,715
Franklin Resources, Inc. 126,200 9,714,876
Goldman Sachs Group,
Inc. 15,207 1,551,418
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
Lazard, Ltd. Class A* 71,800 $ 1,669,350
Lehman Brothers Holdings,
Inc. 1,000 99,280
Merrill Lynch & Co.,
Inc. 146,700 8,069,967
Moody's Corporation 182,100 8,187,216
Progressive Corporation
(The) 334,595 33,061,331
SLM Corporation 323,571 16,437,407
UBS AG 113,673 8,849,443
UCBH Holdings, Inc. 81,794 1,328,335
Wells Fargo & Co. 3,834 236,098
Zions Bancorporation 136,600 10,044,198
--------------
174,312,931
--------------
HEALTHCARE -- 24.9%
Abbott Laboratories 324,800 15,918,448
Aetna, Inc. 123,940 10,264,711
Allergan, Inc. 116,000 9,887,840
Amgen, Inc.* 334,600 20,229,916
Biogen Idec, Inc.* 119,400 4,113,330
Eli Lilly & Co. 101,400 5,648,994
Genentech, Inc.* 1,120,601 89,961,847
Genzyme Corporation* 185,500 11,146,695
Gilead Sciences, Inc.* 148,000 6,510,520
IVAX Corporation* 285,000 6,127,500
Johnson & Johnson 322,164 20,940,660
Medtronic, Inc. 535,808 27,749,496
Novartis AG ADR 134,500 6,380,680
PacifiCare Health
Systems, Inc.* 92,265 6,592,334
Patterson Cos., Inc.* 114,000 5,139,120
Pfizer, Inc. 550,075 15,171,069
Quest Diagnostics, Inc. 121,370 6,465,380
Sanofi-Aventis ADR 198,110 8,120,529
Stryker Corporation 164,300 7,814,108
Teva Pharmaceutical
Industries, Ltd. ADR 388,500 12,097,890
UnitedHealth Group, Inc. 849,380 44,286,673
Wyeth 119,000 5,295,500
Zimmer Holdings, Inc.* 221,130 16,843,472
--------------
362,706,712
--------------
INTEGRATED OILS -- 0.3%
ConocoPhillips 80,000 4,599,200
--------------
MATERIALS & PROCESSING -- 0.3%
St. Joe Co. (The) 49,943 4,072,352
--------------
OTHER -- 2.7%
General Electric Co. 1,117,538 38,722,692
--------------
OTHER ENERGY -- 1.1%
Canadian Natural
Resources, Ltd. 36,833 1,339,985
Noble Corporation 80,000 4,920,800
Schlumberger, Ltd. 61,200 4,647,528
Smith International, Inc. 71,200 4,535,440
--------------
15,443,753
--------------
</Table>
See Notes to Financial Statements.
87
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
PRODUCER DURABLES -- 4.1%
Boeing Co. (The) 125,000 $ 8,250,000
Caterpillar, Inc. 98,368 9,375,454
KB HOME 65,212 4,971,111
Lennar Corporation Class
A 124,406 7,893,561
Lockheed Martin
Corporation 88,708 5,754,488
MDC Holdings, Inc. 60,538 4,979,251
Toll Brothers, Inc.* 27,195 2,761,652
United Technologies
Corporation 316,202 16,236,972
--------------
60,222,489
--------------
TECHNOLOGY -- 16.6%
Adobe Systems, Inc. 287,703 8,234,060
Apple Computer, Inc.* 143,000 5,263,830
Cisco Systems, Inc.* 1,234,201 23,585,581
Corning, Inc.* 265,000 4,404,300
Dell, Inc.* 1,008,000 39,826,081
General Dynamics
Corporation 59,517 6,519,492
Intel Corporation 597,791 15,578,433
Juniper Networks, Inc.* 386,500 9,732,070
Marvell Technology Group,
Ltd.* 275,800 10,491,432
Maxim Integrated
Products, Inc. 355,900 13,598,939
NCR Corporation* 165,000 5,794,800
Network Appliance, Inc.* 768,200 21,717,014
Oracle Corporation* 882,900 11,654,280
Qualcomm, Inc. 976,709 32,241,164
Red Hat, Inc.* 305,200 3,998,120
Seagate Technology, Inc.+ 5,600 0
Symantec Corporation* 379,300 8,245,982
Texas Instruments, Inc. 360,000 10,105,200
Xilinx, Inc. 434,600 11,082,300
--------------
242,073,078
--------------
UTILITIES -- 0.4%
TXU Corporation 65,960 5,480,616
--------------
TOTAL COMMON STOCKS
(Cost $1,155,995,855) 1,414,438,659
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
SHORT-TERM INVESTMENTS -- 12.5%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 55,589,310 $ 55,589,310
Northern Institutional
Liquid Assets Portfolio
sec. 127,001,898 127,001,898
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $182,591,208) 182,591,208
--------------
<Caption>
PAR
------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $4,810,123) $ 4,815,000 4,810,666
--------------
TOTAL INVESTMENTS -- 110.0%
(Cost $1,343,397,186) 1,601,840,533
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (10.0%) (145,703,652)
--------------
NET ASSETS -- 100.0% $1,456,136,881
==============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 0.9
Consumer Discretionary 28.1
Consumer Staples 5.8
Financial Services 12.0
Futures Contracts 3.8
Healthcare 24.9
Integrated Oils 0.3
Materials & Processing 0.3
Other 2.7
Other Energy 1.1
Producer Durables 4.1
Short-Term Investments 12.5
Technology 16.6
U.S. Treasury Obligations 0.3
Utilities 0.4
------
113.8
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
88
SMALL CAP EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 9.88% 9.76% 9.48% 9.45% N/A N/A
Since Inception 7.65% 7.48% 7.24% 9.09% 7.50%(1) 7.07%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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
9770 9748
Sep 2001 8317 8436
8845 8929
9541 9621
Dec 2001 10084 10214
10000 10108
9656 9831
Mar 2002 10543 10621
10497 10718
10122 10242
Jun 2002 9587 9734
8125 8264
8148 8243
Sep 2002 7445 7651
7682 7896
8363 8601
Dec 2002 7842 8122
7636 7897
7429 7659
Mar 2003 7506 7757
8233 8493
9021 9404
Jun 2003 9220 9574
9663 10173
10168 10640
Sep 2003 9923 10443
10773 11320
11125 11722
Dec 2003 11469 11960
11867 12480
11951 12591
Mar 2004 11974 12709
11484 12061
11630 12253
Jun 2004 12020 12769
11316 11909
11209 11848
Sep 2004 11660 12404
11867 12648
12762 13745
Dec 2004 13177 14152
12801 13562
13073 13791
Mar 2005 12657 13397
12082 12629
12785 13456
Jun 2005 13193 13975
</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.
- ---------------
(1) Non-annualized.
89
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 SHARES VALUE
- ------------- ----------- -------------
COMMON STOCKS -- 95.5%
AUTO & TRANSPORTATION -- 4.1%
Aftermarket Technology 13,100 $ 228,333
Corporation*
Airtran Holdings, Inc.*+++ 36,441 336,350
Arkansas Best Corporation+++ 24,100 766,621
Autoliv, Inc. 37,400 1,638,120
Dana Corporation 23,700 355,737
Excel Maritime Carriers, 27,620 412,919
Ltd.*+++
ExpressJet Holdings, 77,600 660,376
Inc.*+++
Genesee & Wyoming, Inc. 15,200 413,592
Class A*+++
Old Dominion Freight Line, 31,675 849,840
Inc.*+++
OMI Corporation+++ 93,700 1,781,238
Overnite Corporation 18,700 803,726
P.A.M. Transportation 17,000 285,770
Services, Inc.*+++
Pacer International, Inc.* 32,400 705,996
Pinnacle Airlines 47,582 408,729
Corporation*+++
Republic Airways Holdings, 65,748 950,059
Inc.*+++
Sea Containers, Ltd. Class 54,100 863,977
A+++
Teekay Shipping 32,400 1,422,360
Corporation+++
Tenneco Automotive, Inc.* 23,900 397,696
Thor Industries, Inc.+++ 18,000 565,740
Titan International, Inc.+++ 80,700 1,128,186
TRW Automotive Holdings 56,100 1,375,011
Corporation*
Tsakos Energy Navigation, 18,500 717,245
Ltd.
UTI Worldwide, Inc.+++ 24,650 1,716,133
Vitran Corporation, Inc.* 61,661 974,244
Wabash National 64,692 1,567,487
Corporation+++
Winnebago Industries, 27,800 910,450
Inc.+++
-------------
22,235,935
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
CONSUMER DISCRETIONARY -- 17.6%
A.C. Moore Arts & Crafts, 15,800 $ 499,438
Inc.*+++
Aaron Rents, Inc.+++ 36,050 897,285
Activision, Inc.* 44,000 726,880
Advance Auto Parts, Inc.* 14,000 903,700
Advisory Board Co. (The)*+++ 17,500 852,950
Aeropostale, Inc.* 16,350 549,360
American Eagle Outfitters, 29,100 891,915
Inc.
American Woodmark 7,100 213,071
Corporation
Arbitron, Inc. 10,900 467,610
Ashworth, Inc.*+++ 8,700 78,387
Blyth, Inc. 23,000 645,150
Brightpoint, Inc.*+++ 38,600 856,534
Brinker International, Inc.* 15,100 604,755
Carmike Cinemas, Inc. 8,500 260,780
CEC Entertainment, Inc.* 28,400 1,195,356
Central Garden & Pet Co.* 20,000 982,400
Children's Place Retail 18,800 877,396
Stores, Inc.*
Circuit City Stores, Inc.+++ 38,900 672,581
CKE Restaurants, Inc.+++ 41,800 581,856
Coinstar, Inc.*+++ 30,100 682,969
Computer Learning Centers* 24,439 2
Consolidated Graphics, Inc.* 15,900 648,243
Corinthian Colleges, 61,100 780,247
Inc.*+++
Corporate Executive Board 26,700 2,091,411
Co.+++
CoStar Group, Inc.*+++ 29,750 1,297,100
CRA International, Inc.* 11,000 592,350
Ctrip.com International, 11,900 605,472
Ltd. ADR+++
Darden Restaurants, Inc. 40,300 1,329,094
Dave & Buster's, Inc.*+++ 100,073 1,845,346
Deckers Outdoor 11,700 287,820
Corporation*+++
Dollar Thrifty Automotive 30,849 1,171,645
Group, Inc.*
Dress Barn, Inc.*+++ 8,400 190,092
DTS, Inc.*+++ 6,550 116,787
EarthLink, Inc.*+++ 103,100 892,846
Educate, Inc.*+++ 38,900 550,435
Education Management 92,700 3,126,770
Corporation*
Electronics Boutique 8,200 520,618
Holdings Corporation*
Entercom Communications 25,400 845,566
Corporation*+++
Entravision Communications 211,658 1,648,816
Corporation Class A*
Gaylord Entertainment Co.* 19,200 892,608
Getty Images, Inc.*+++ 16,500 1,225,290
Gildan Activewear, Inc.* 3,200 84,320
Global Imaging Systems, 56,159 1,789,226
Inc.*+++
Greenfield Online, Inc.*+++ 51,900 630,585
GSI Commerce, Inc.*+++ 12,850 215,238
Guitar Center, Inc.* 8,300 484,471
Handleman Co.+++ 70,600 1,165,606
Harris Interactive, Inc.* 218,144 1,062,361
Helen of Troy, Ltd.*+++ 36,300 924,198
Herbalife, Ltd.* 34,500 745,545
Hibbett Sporting Goods, 15,200 575,168
Inc.*
Hot Topic, Inc.*+++ 21,600 412,992
Image Entertainment, Inc.* 25,200 70,812
Insight Enterprises, Inc.* 59,600 1,202,728
Inter Parfums, Inc.+++ 8,100 157,059
Jack in the Box, Inc.* 29,100 1,103,472
Jackson Hewitt Tax Service, 26,400 624,096
Inc.
Jakks Pacific, Inc.*+++ 6,100 117,181
Jos. A. Bank Clothiers, 8,200 355,060
Inc.*+++
K-Swiss, Inc. Class A+++ 26,700 863,478
</Table>
See Notes to Financial Statements.
90
<Table>
<Caption>
SHARES VALUE
----------- -------------
Kenneth Cole Productions, 5,300 $ 164,936
Inc. Class A+++
Korn/Ferry International*+++ 28,100 498,775
Life Time Fitness, Inc.*+++ 15,600 511,836
Lions Gate Entertainment 35,100 360,126
Corporation*+++
LKQ Corporation* 6,280 170,502
Lodgenet Entertainment 29,900 496,041
Corporation*+++
Marchex, Inc. Class B*+++ 33,800 508,352
MarineMax, Inc.*+++ 12,200 381,250
Marvel Enterprises, Inc.*+++ 41,000 808,520
Monro Muffler Brake, Inc.* 18,000 531,180
MSC Industrial Direct Co., 7,400 249,750
Inc. Class A
Nautilus, Inc.+++ 22,600 644,100
Navigant Consulting, Inc.* 33,100 584,546
Netflix, Inc.*+++ 30,000 492,300
Nu Skin Enterprises, Inc. 4,600 107,180
Class A+++
Oxford Industries, Inc.+++ 10,800 464,940
Pantry, Inc.*+++ 32,400 1,254,852
Payless ShoeSource, Inc.*+++ 50,400 967,680
Perry Ellis International, 17,000 397,630
Inc.*+++
PetMed Express, Inc.*+++ 18,500 142,635
PF Chang's China Bistro, 8,100 477,738
Inc.*+++
Phillips-Van Heusen 22,800 745,332
Corporation
Prestige Brands Holdings, 32,500 633,750
Inc.*
Primedia, Inc.*+++ 64,700 262,035
ProQuest Co.* 5,200 170,508
Quicksilver, Inc.*+++ 28,000 447,440
Radio One, Inc. Class D*+++ 43,400 554,218
Rare Hospitality 20,350 620,065
International, Inc.*+++
Red Robin Gourmet Burgers, 10,200 632,196
Inc.*+++
Regent Communications, 254,822 1,495,805
Inc.*+++
Republic Services, Inc. 21,600 777,816
Resources Connection, 85,100 1,976,873
Inc.*+++
Ruby Tuesday, Inc.+++ 19,966 517,119
Rush Enterprises, Inc. Class 54,981 733,447
A*+++
Russell Corporation 19,000 388,550
SCP Pool Corporation+++ 81,525 2,860,711
Select Comfort 208,257 4,462,947
Corporation*+++
SM&A*+++ 215,083 1,929,295
Source Interlink Cos., Inc.* 51,200 633,344
Spanish Broadcasting 18,600 185,814
Systems, Inc. Class A*
Sportsman's Guide, Inc.* 10,400 195,000
Stage Stores, Inc.* 26,200 1,142,320
Stanley Furniture Co., 28,700 704,872
Inc.+++
Steiner Leisure, Ltd.*+++ 18,000 667,260
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Strayer Education, Inc.+++ 4,600 396,796
Tech Data Corporation* 23,900 874,979
Tempur-Pedic International, 34,300 760,774
Inc.*+++
Texas Roadhouse, Inc. Class 10,400 361,400
A*+++
THQ, Inc.*+++ 22,200 649,794
Timberland Co. Class A* 19,800 766,656
Tommy Hilfiger Corporation* 17,100 235,296
Toro Co. 23,000 888,030
Tractor Supply Co.* 11,400 559,740
Tuesday Morning 27,800 876,256
Corporation+++
UniFirst Corporation+++ 11,400 462,156
United Natural Foods, 55,300 1,679,461
Inc.*+++
United Online, Inc.+++ 71,700 778,662
United Stationers, Inc.* 6,100 299,510
Universal Electronics, Inc.* 76,885 1,275,522
Universal Technical 7,500 249,000
Institute, Inc.*+++
Warnaco Group, Inc. (The)* 69,620 1,618,665
WESCO International, 20,500 643,290
Inc.*+++
West Corporation* 37,700 1,447,680
Whirlpool Corporation 9,400 659,034
-------------
95,116,814
-------------
CONSUMER STAPLES -- 1.8%
Casey's General Stores, 5,900 $ 116,938
Inc.+++
Chiquita Brands 64,600 1,773,916
International, Inc.+++
Flowers Foods, Inc. 18,700 661,232
J & J Snack Foods 37,476 1,961,869
Corporation
John B. Sanfillippo & 30,800 710,248
Son*+++
Long's Drug Stores 14,500 624,225
Corporation+++
NBTY, Inc.* 23,700 614,778
Ruddick Corporation 43,100 1,100,343
Sanderson Farms, Inc. 23,600 1,072,384
Smart & Final, Inc.* 21,800 267,050
Smithfield Foods, Inc.* 21,800 594,486
-------------
9,497,469
-------------
FINANCIAL SERVICES -- 21.5%
A.G. Edwards, Inc.+++ 36,800 1,661,520
Accredited Home Lenders 47,400 2,085,600
Holding Co.*+++
Affiliated Managers Group, 21,500 1,469,095
Inc.*+++
Alliance Data Systems 97,300 3,946,487
Corporation*+++
Amegy Bancorp, Inc. 16,400 367,032
American Home Mortgage 29,500 1,031,320
Investment Corporation
REIT+++
American Safety Insurance 7,200 109,584
Holdings, Ltd.*
AmeriCredit Corporation*+++ 35,600 907,800
Argonaut Group, Inc.*+++ 33,000 761,970
</Table>
See Notes to Financial Statements.
91
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Asset Acceptance Capital 15,000 $ 388,650
Corporation*
Assurant, Inc.+++ 21,400 $ 772,540
Assured Guaranty, Ltd. 42,200 985,792
Asta Funding, Inc.+++ 37,700 1,047,306
Astoria Financial 31,200 888,264
Corporation
Axis Capital Holdings, Ltd. 46,300 1,310,290
Banco Latinoamericano de 53,400 958,530
Exportaciones SA
Bank of Hawaii Corporation 27,800 1,410,850
BankUnited Financial 11,500 310,960
Corporation Class A
Bristol West Holdings, 5,100 93,330
Inc.+++
Brookline Bancorp, Inc.+++ 109,823 1,785,722
Cardinal Financial 27,500 258,225
Corporation*+++
CB Richard Ellis Group, Inc. 25,600 1,122,816
Class A*
CCC Information Services 34,900 835,855
Group*+++
Ceres Group, Inc.* 31,000 188,480
City National Corporation 15,700 1,125,847
Cohen & Steers, Inc.+++ 36,000 741,960
Colonial BancGroup, Inc. 73,200 1,614,792
Columbia Bancorp+++ 5,800 110,200
Commerce Bancshares, Inc.+++ 15,225 767,492
Commerce Group, Inc. 24,000 1,490,640
Commercial Capital Bancorp, 15,600 260,676
Inc.
CompuCredit Corporation*+++ 39,300 1,347,204
Corus Bankshares, Inc. 6,100 338,489
CVB Financial Corporation+++ 35,746 703,481
Digital Insight Corporation* 8,000 191,360
Donegal Group, Inc. Class A 6,133 122,415
Doral Financial 75,100 1,242,154
Corporation+++
Downey Financial Corporation 20,500 1,500,600
Dun & Bradstreet 18,700 1,152,855
Corporation*
Eaton Vance Corporation 48,200 1,152,462
Endurance Specialty 29,000 1,096,780
Holdings, Ltd.
EuroBancshares, Inc.*+++ 3,600 57,780
Euronet Worldwide, Inc.*+++ 21,900 636,633
Fair Isaac & Co., Inc.+++ 35,800 1,306,700
Fieldstone Investment 15,300 220,320
Corporation REIT+++
First Acceptance 27,811 263,092
Corporation*+++
First American Corporation 38,700 1,553,418
First Bancorp Puerto Rico+++ 28,600 1,148,290
First Cash Financial 23,500 502,195
Services, Inc.*
FirstFed Financial 37,000 2,205,570
Corporation*
Flagstar Bancorp, Inc.+++ 31,000 586,830
Fremont General 57,800 1,406,274
Corporation+++
GATX Corporation 40,100 1,383,450
Global Payments, Inc.+++ 26,600 1,803,480
Hanmi Financial 30,359 506,995
Corporation+++
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
HCC Insurance Holdings, Inc. 85,157 3,224,896
HealthExtras, Inc.*+++ 27,000 541,890
Henry (Jack) & Associates, 65,200 1,193,812
Inc.
Hilb, Rogal & Hobbs Co.+++ 80,482 2,768,581
Huron Consulting Group, 8,400 197,820
Inc.*
Independence Community Bank 23,200 856,776
Corporation
IndyMac Bancorp, Inc.+++ 36,900 1,502,937
Infinity Property & Casualty 30,300 1,056,864
Corporation
Investment Technology Group, 66,600 1,399,932
Inc.*
Investors Financial Services 49,200 1,860,744
Corporation+++
iPayment, Inc.* 14,300 522,236
IPC Holdings, Ltd. 2,700 106,974
ITLA Capital Corporation* 2,000 107,800
Jefferies Group, Inc.+++ 21,100 799,479
John H. Harland Co.+++ 32,000 1,216,000
Jones Lang LaSalle, Inc.* 26,900 1,189,787
Kingsway Financial Services, 6,700 114,034
Inc.
LandAmerica Financial Group, 32,900 1,953,273
Inc.+++
Markel Corporation* 4,700 1,593,300
Max Re Capital, Ltd. 8,800 201,520
Meadowbrook Insurance Group, 25,600 134,144
Inc.*
Metris Cos., Inc.*+++ 47,100 681,066
Municipal Mortgage & Equity 29,300 761,507
LLC+++
National Financial Partners 9,100 356,174
Corporation
National Interstate 12,700 254,889
Corporation*
Navigators Group, Inc.* 6,100 210,877
NDCHealth Corporation+++ 25,000 449,250
Nelnet, Inc. Class A*+++ 22,700 755,229
New Century Financial 19,300 992,985
Corporation REIT+++
Nuveen Investments, Inc. 17,700 665,874
Class A+++
Ohio Casualty Corporation 113,771 2,750,983
optionsXpress Holdings, 39,900 606,480
Inc.+++
Philadelphia Consolidated 5,100 432,276
Holding Corporation*+++
Phoenix Cos., Inc.+++ 40,500 481,950
Platinum Underwriters 57,000 1,813,740
Holdings, Ltd.+++
PMI Group, Inc. (The)+++ 44,500 1,734,610
Portfolio Recovery 19,000 798,380
Associates, Inc.*+++
Primus Guaranty, Ltd.*+++ 68,300 988,984
PrivateBancorp, Inc.+++ 31,961 1,130,780
</Table>
See Notes to Financial Statements.
92
<Table>
<Caption>
SHARES VALUE
----------- -------------
Provident Financial 6,400 $ 179,904
Holdings, Inc.
Providian Financial 43,500 766,905
Corporation*+++
PXRE Group, Ltd. 16,300 411,086
Quanta Capital Holdings, 65,400 407,442
Ltd.*
R&G Financial Corporation 68,200 1,206,458
Class B+++
Radian Group, Inc. 55,100 2,601,822
Republic First Bancorp, 12,992 175,392
Inc.*
Rewards Network, Inc.*+++ 15,700 84,780
Ryder System, Inc. 25,900 947,940
Saxon Capital, Inc. REIT 18,900 322,623
Stancorp Financial Group, 8,200 627,956
Inc.
Stewart Information Services 32,400 1,360,800
Corporation
SVB Financial Group*+++ 12,300 589,170
Texas Capital Bancshares, 42,900 846,846
Inc.*+++
Texas United Bancshares, 15,037 273,673
Inc.
TierOne Corporation+++ 39,900 1,082,487
UCBH Holdings, Inc.+++ 58,000 941,920
UICI 58,500 1,741,545
United America Indemnity, 20,200 347,238
Ltd. Class A*
United Fire & Casualty 23,200 1,030,544
Co.+++
USI Holdings Corporation*+++ 207,787 2,676,297
Webster Financial 19,500 910,455
Corporation
Westcorp 10,800 566,136
Wilmington Trust Corporation 16,900 608,569
Wintrust Financial 11,600 607,260
Corporation+++
World Acceptance 48,500 1,457,425
Corporation*
Wright Express 42,000 775,740
Corporation*+++
Zenith National Insurance 18,900 1,282,554
Corporation+++
-------------
116,478,252
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
HEALTHCARE -- 11.6%
Alpharma, Inc. Class A 85,200 $ 1,232,844
Amedisys, Inc.*+++ 24,100 886,398
America Service Group, Inc.* 16,666 264,156
American Dental Partners, 25,700 627,337
Inc.*+++
American Healthways, 12,150 513,581
Inc.*+++
American Pharmaceutical 7,900 325,875
Partners, Inc.*+++
AMERIGROUP Corporation* 22,000 884,400
Analogic Corporation 16,600 835,312
Angiotech Pharmaceuticals, 22,500 311,850
Inc.*+++
Arqule, Inc.*+++ 30,600 198,288
Arthrocare Corporation*+++ 3,350 117,049
Aspreva Pharmaceuticals 20,000 309,800
Corporation*+++
Bio-Rad Laboratories, Inc. 19,400 1,148,674
Class A*
Biosite, Inc.*+++ 17,400 956,826
Biovail Corporation*+++ 29,700 460,944
Cell Genesys, Inc.*+++ 24,200 129,470
Centene Corporation* 12,800 429,824
Charles River Laboratories 11,600 559,700
International, Inc.*
Chattem, Inc.* 12,400 513,360
Conmed Corporation* 19,400 596,938
Connetics Corporation*+++ 4,600 81,144
Corixa Corporation*+++ 145,200 635,976
Curis, Inc.*+++ 85,000 331,500
CV Therapeutics, Inc.*+++ 37,700 845,234
Dade Behring Holdings, Inc. 19,500 1,267,695
DaVita, Inc.* 55,100 2,505,948
Discovery Partners 30,200 86,372
International, Inc.*
DJ Orthopedics, Inc.* 42,400 1,163,032
Eclipsys Corporation* 33,500 471,345
Enzon Pharmaceuticals, 25,700 166,536
Inc.*+++
ev3, Inc.*+++ 12,000 166,800
Five Star Quality Care, 2,086 0
Inc.*+
Genesis HealthCare 15,900 735,852
Corporation*
Genitope Corporation*+++ 19,800 254,232
Guilford Pharmaceuticals, 71,000 161,170
Inc.*+++
Haemonetics Corporation* 11,000 447,040
Humana, Inc.* 17,600 699,424
I-Flow Corporation*+++ 14,800 246,272
Icon PLC ADR* 49,675 1,723,723
ICU Medical, Inc.*+++ 59,290 1,907,359
Immucor, Inc.* 21,800 631,110
Intralase Corporation*+++ 28,700 563,094
Intuitive Surgical, Inc.*+++ 13,400 624,976
IRIS International, Inc.*+++ 17,600 313,280
Kensey Nash Corporation*+++ 12,100 365,904
Kindred Healthcare, Inc.*+++ 17,600 697,136
King Pharmaceuticals, Inc.* 14,900 155,258
Kyphon, Inc.* 6,100 212,219
LCA-Vision, Inc. 24,310 1,178,063
LHC Group, Inc.* 10,300 187,254
Ligand Pharmaceuticals, Inc. 26,500 184,175
Class B*
Magellan Health Services, 28,000 988,680
Inc.*
Matria Healthcare, Inc.*+++ 10,200 328,746
Medarex, Inc.*+++ 178,100 1,483,573
Medicines Co.*+++ 7,850 183,612
Mentor Corporation+++ 15,300 634,644
Nektar Therapeutics*+++ 67,400 1,135,016
Noven Pharmaceuticals, 51,090 893,053
Inc.*+++
OCA, Inc.*+++ 93,800 176,344
Odyssey HealthCare, Inc.* 22,700 327,334
Option Care, Inc.+++ 186,591 2,630,932
</Table>
See Notes to Financial Statements.
93
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Orthofix International NV* 27,600 $ 1,187,904
Owens & Minor, Inc.+++ 22,600 731,110
Par Pharmaceutical Cos., 50,622 1,610,286
Inc.*+++
Pediatrix Medical Group, 27,300 2,007,642
Inc.*
Pharmacyclics, Inc.*+++ 27,000 202,770
PolyMedica Corporation+++ 24,600 877,236
Protein Design Labs, Inc.* 33,300 672,993
Psychiatric Solutions, Inc.* 8,100 394,551
QLT, Inc.*+++ 96,800 1,008,656
Radiation Therapy Services, 37,100 985,005
Inc.*+++
Regeneron Pharmaceuticals, 25,100 210,589
Inc.*+++
RehabCare Group, Inc.* 8,500 227,205
Respironics, Inc.* 33,600 1,213,296
Savient Pharmaceuticals, 96,500 425,565
Inc.*+++
Shamir Optical Industry, 20,100 324,615
Ltd.*
Sierra Health Services, 13,200 943,272
Inc.*
Stereotaxis, Inc.*+++ 57,500 461,725
Stericycle, Inc.*+++ 31,800 1,600,176
Steris Corporation 8,600 221,622
SuperGen, Inc.*+++ 33,000 163,020
SurModics, Inc.*+++ 20,900 906,433
Syneron Medical, Ltd.*+++ 5,000 182,950
Tanox, Inc.*+++ 23,600 276,592
Taro Pharmaceuticals 30,062 873,902
Industries, Ltd.*
Techne Corporation* 14,300 656,513
TriPath Imaging, Inc.*+++ 122,289 1,046,794
United Surgical Partners 13,500 703,080
International, Inc.*+++
VCA Antech, Inc.*+++ 78,900 1,913,325
Ventana Medical Systems*+++ 20,600 828,738
WellCare Health Plans, Inc.* 18,300 649,833
Wright Medical Group, 9,600 256,320
Inc.*+++
-------------
62,857,401
-------------
INTEGRATED OILS -- 0.3%
Giant Industries, Inc.*+++ 38,100 1,371,600
Petrocorp, Inc. Escrow 500 0
Shares*+
-------------
1,371,600
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
MATERIALS & PROCESSING -- 8.5%
Agrium, Inc.+++ 74,600 $ 1,462,906
Aleris International, 30,000 676,500
Inc.*+++
Armor Holdings, Inc.*+++ 20,400 808,044
Beacon Roofing Supply, 71,378 1,877,241
Inc.*+++
Bluegreen Corporation* 10,000 174,100
Cabot Microelectronics 7,600 220,324
Corporation*+++
Century Aluminum Co.* 35,100 716,040
Chicago Bridge & Iron Co. NV 37,600 859,536
Cleveland-Cliffs, Inc.+++ 27,101 1,565,354
Commercial Metals Co. 68,636 1,634,910
Drew Industries, Inc.* 31,337 1,422,700
Eagle Materials, Inc.+++ 6,800 629,612
Eastman Chemical Co. 12,800 705,920
ElkCorp 98,262 2,805,380
Energizer Holdings, Inc.* 10,700 665,219
Energy Conversion Devices, 13,900 311,082
Inc.*+++
Forest City Enterprises, 13,300 944,300
Inc. Class A
Gibraltar Industries, 43,472 805,971
Inc.+++
Greif, Inc. Class A 15,900 971,490
Griffon Corporation*+++ 35,200 781,440
H.B. Fuller Co. 14,500 493,870
Hexcel Corporation*+++ 125,772 2,128,062
Infrasource Services, 24,800 258,416
Inc.*+++
Lafarge North America, Inc. 2,900 181,076
Lone Star Technologies, 14,200 646,100
Inc.*
Maverick Tube 20,300 604,940
Corporation*+++
Methanex Corporation 90,200 1,485,594
Michael Baker Corporation* 7,800 139,308
Minerals Technologies, Inc. 3,700 227,920
Mobile Mini, Inc.*+++ 34,700 1,196,456
Oregon Steel Mills, Inc.*+++ 48,500 834,685
Quanex Corporation 22,300 1,182,123
Reliance Steel & Aluminum 41,500 1,538,405
Co.+++
Royal Group Technologies, 16,700 182,865
Ltd.*
Ryerson Tull, Inc.+++ 70,100 1,000,327
Silgan Holdings, Inc. 6,900 388,056
Southern Peru Copper 6,900 295,596
Corporation+++
St. Joe Co. (The)+++ 18,700 1,524,798
Steel Dynamics, Inc.+++ 42,400 1,113,000
Steel Technologies, Inc.+++ 17,100 288,990
Symyx Technologies*+++ 20,200 565,196
Texas Industries, Inc.+++ 19,200 1,079,616
Timken Co. 47,200 1,090,320
Trammell Crow Co.*+++ 76,200 1,847,088
Trex Co., Inc.*+++ 14,000 359,800
USG Corporation* 2,200 93,500
Watsco, Inc. 94,352 4,019,395
Wellman, Inc.+++ 82,400 839,656
-------------
45,643,227
-------------
OTHER -- 0.3%
Ritchie Bros. Auctioneers, 14,400 555,120
Inc.+++
Walter Industries, Inc.+++ 31,000 1,246,200
-------------
1,801,320
-------------
OTHER ENERGY -- 5.6%
Brigham Exploration Co.*+++ 11,700 106,821
Carrizo Oil & Gas, Inc.*+++ 14,400 245,664
Chesapeake Energy 30,300 690,840
Corporation
Denbury Resources, Inc.* 39,200 1,558,984
Encore Acquisition Co.*+++ 17,500 717,500
</Table>
See Notes to Financial Statements.
94
<Table>
<Caption>
SHARES VALUE
----------- -------------
Energy Partners, Ltd.* 43,900 $ 1,150,619
Forest Oil Corporation*+++ 7,600 319,200
Foundation Coal Holdings, 14,700 381,318
Inc.+++
Frontier Oil Corporation 52,200 1,532,070
Grey Wolf, Inc.*+++ 301,692 2,235,538
Houston Exploration Co.* 6,400 339,520
Hydril Co.* 9,400 510,890
Key Energy Services, Inc.* 43,703 527,058
KFX, Inc.*+++ 35,300 504,437
Massey Energy Co.+++ 89,726 3,384,464
NRG Energy, Inc.* 39,200 1,473,920
Oil States International, 8,300 208,911
Inc.*
PetroKazakhstan, Inc.+++ 35,300 1,291,274
Petroquest Energy, Inc.*+++ 35,900 235,863
Pioneer Drilling Co.* 26,900 410,494
Plains Exploration & 10,800 383,724
Production Co.*
Pride International, Inc.* 131,596 3,382,017
Quicksilver Resources, Inc.* 16,000 1,022,880
Remington Oil & Gas 33,000 1,178,100
Corporation*+++
Superior Energy Services, 24,100 428,980
Inc.*
Tesoro Corporation 12,400 576,848
TODCO Class A* 32,800 841,976
Toreador Resources 13,500 327,915
Corporation*+++
Unit Corporation* 27,350 1,203,674
Universal Compression 31,000 1,123,440
Holdings, Inc.*
Veritas DGC, Inc.*+++ 43,400 1,203,916
W-H Energy Services, Inc.* 22,500 560,925
-------------
30,059,780
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
PRODUCER DURABLES -- 8.8%
Actuant Corporation Class A* 89,034 $ 4,268,290
AGCO Corporation* 56,600 1,082,192
Alamo Group, Inc. 24,700 461,149
Allied Defense Group, Inc. 4,300 98,986
(The)*
Argon ST, Inc.*+++ 20,000 710,000
Arris Group, Inc.* 42,900 373,659
Astec Industries, Inc.* 23,556 546,264
ASV, Inc.*+++ 8,600 348,644
ATMI, Inc.* 8,600 249,486
Beazer Homes USA, Inc.+++ 20,700 1,183,005
Blount International, Inc. 11,400 190,266
Class A*+++
Bucyrus International, Inc. 10,000 379,800
Class A
Centex Corporation 26,448 1,869,080
Cognex Corporation 21,500 563,085
Cummins, Inc.+++ 12,700 947,547
CUNO, Inc.*+++ 5,800 414,352
Cymer, Inc.*+++ 27,300 719,355
Dionex Corporation*+++ 2,500 109,025
Faro Technologies, Inc.*+++ 16,500 449,790
General Cable Corporation* 8,600 127,538
Genlyte Group, Inc.* 69,276 3,376,512
Headwaters, Inc.*+++ 24,400 838,872
HNI Corporation 20,400 1,043,460
Hovnanian Enterprises, Inc. 10,700 697,640
Class A*
Itron, Inc.* 10,800 482,544
Joy Global, Inc. 25,500 856,545
KB HOME+++ 18,200 1,387,386
Lam Research Corporation* 23,100 668,514
Littelfuse, Inc.* 26,300 732,455
M/I Homes, Inc.+++ 35,000 1,893,500
Magnetek, Inc.* 33,800 86,866
MDC Holdings, Inc. 10,140 834,015
Measurement Specialties, 97,500 2,262,975
Inc.*+++
Meritage Homes 17,100 1,359,450
Corporation*+++
Metrologic Instruments, 900 11,286
Inc.*+++
MTC Technologies, Inc.* 24,000 883,920
Orbital Sciences 62,400 617,760
Corporation*+++
Orleans Homebuilders, 32,300 757,758
Inc.+++
Park-Ohio Holdings 8,400 140,028
Corporation*
Photon Dynamics, Inc.*+++ 31,400 647,154
Rofin-Sinar Technologies, 7,000 229,600
Inc.*+++
Roper Industries, Inc. 6,700 478,179
Rudolph Technologies, Inc.* 24,700 353,951
Ryland Group, Inc. 53,732 4,076,647
Sonic Solutions*+++ 46,600 866,760
Spectralink Corporation+++ 50,800 534,416
Standard-Pacific Corporation 30,600 2,691,270
Teledyne Technologies, Inc.* 24,000 781,920
Toll Brothers, Inc.*+++ 8,400 853,020
Varian Semiconductor 9,800 362,600
Equipment Associates,
Inc.*
X-Rite, Inc.+++ 108,355 1,247,166
-------------
47,145,682
-------------
TECHNOLOGY -- 11.0%
@Road, Inc.*+++ 21,200 56,392
Alliance Semiconductor 95,900 244,545
Corporation*
Alvarion, Ltd.*+++ 48,700 565,894
American Reprographics 21,000 337,890
Co.*+++
Anaren, Inc.* 39,100 514,165
Ansys, Inc.* 21,200 752,812
Anteon International 46,800 2,135,016
Corporation*
Avid Technology, Inc.* 11,600 618,048
Avnet, Inc.*+++ 47,900 1,079,187
Avocent Corporation* 20,000 522,800
Benchmark Electronics, Inc.* 7,200 219,024
Bottomline Technologies, 15,000 224,550
Inc.*
CACI International, Inc. 38,057 2,403,680
Class A*
CallWave, Inc.*+++ 27,400 137,000
</Table>
See Notes to Financial Statements.
95
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
----------- -------------
Catapult Communications 20,900 $ 356,554
Corporation*
Coherent, Inc.*+++ 9,200 331,292
CommScope, Inc.*+++ 32,700 569,307
Comtech Telecommunications* 33,300 1,086,579
CSG Systems International, 48,700 924,326
Inc.*
Cypress Semiconductor 23,700 298,383
Corporation*
Digital River, Inc.*+++ 23,200 736,600
Emageon, Inc.*+++ 33,400 467,934
Embarcadero Technologies, 54,100 303,501
Inc.*
Epicor Software 84,600 1,116,720
Corporation*+++
Equinix, Inc.*+++ 22,450 972,983
F5 Networks, Inc.*+++ 12,900 609,332
Filenet Corporation* 22,700 570,678
FLIR Systems, Inc.*+++ 26,600 793,744
FormFactor, Inc.*+++ 27,800 734,476
Herley Industries, Inc.*+++ 38,200 696,768
Hutchinson Technology, 43,100 1,659,781
Inc.*+++
Imax Corporation*+++ 72,700 722,638
Informatica Corporation* 83,300 698,887
Ingram Micro, Inc. Class A* 91,700 1,436,022
Innovative Solutions & 6,300 211,491
Support, Inc.*+++
Integrated Circuit Systems, 25,900 534,576
Inc.*
Integrated Device 52,900 568,675
Technology, Inc.*
Intergraph Corporation*+++ 47,400 1,633,404
Ixia* 11,400 221,616
j2 Global Communications, 31,600 1,088,304
Inc.*+++
Komag, Inc.*+++ 31,300 887,981
Lionbridge Technologies, 94,829 642,941
Inc.*+++
Macromedia, Inc.* 41,700 1,593,774
Magma Design Automation, 45,000 376,200
Inc.*+++
Mantech International 14,500 450,080
Corporation Class A*
Mentor Graphics Corporation* 36,200 371,050
Micros Systems, Inc.* 8,500 380,375
Microsemi Corporation* 50,000 940,000
Motive, Inc.*+++ 26,700 265,131
Multi-Fineline Electronix, 7,800 143,520
Inc.*+++
Netgear, Inc.* 32,300 600,780
NeuStar, Inc. Class A* 2,900 74,240
NU Horizons Electronics 7,400 47,360
Corporation*
O2Micro International, Ltd.* 8,800 123,640
Omnivision Technologies, 15,900 216,081
Inc.*+++
Packeteer, Inc.* 24,600 346,860
</Table>
<Table>
<Caption>
SHARES VALUE
----------- -------------
Park Electrochemical 12,300 309,960
Corporation
Pixelworks, Inc.*+++ 64,500 553,410
Portalplayer, Inc.*+++ 16,000 333,120
Power Intergrations, Inc.* 22,500 485,325
Radisys Corporation*+++ 73,577 1,188,269
RADVision, Ltd.* 24,500 325,605
SafeNet, Inc.*+++ 50,400 1,716,624
Sapient Corporation* 70,900 562,237
ScanSoft, Inc.*+++ 13,400 50,652
Semtech Corporation*+++ 37,600 626,040
Serena Software, Inc.*+++ 51,500 993,950
SI International, Inc.*+++ 20,800 623,168
Sigmatel, Inc.*+++ 21,600 370,656
Sirf Technology Holdings, 3,050 53,924
Inc.*
Skyworks Solutions, Inc.* 48,700 358,919
Spectrasite, Inc.* 23,300 1,734,219
SRA International, Inc. 22,800 791,616
Class A*+++
SS&C Technologies, Inc.+++ 20,400 646,272
Standard Microsystems 6,000 140,280
Corporation*+++
Stratasys, Inc.*+++ 59,996 1,960,669
Sybase, Inc.*+++ 57,900 1,062,465
Synaptics, Inc.*+++ 38,800 828,768
TALX Corporation 2,600 75,166
Tekelec* 29,700 498,960
Tessera Technologies, Inc.* 17,200 574,652
TIBCO Software, Inc.* 24,300 158,922
Trident Microsystems, 8,700 197,403
Inc.*+++
Trimble Navigation, Ltd.* 22,700 884,619
Versata, Inc.* 17 13
Viasat, Inc.* 15,300 311,049
Websense, Inc.*+++ 45,501 2,186,323
Western Digital Corporation* 74,800 1,003,816
Wind River Systems, Inc.* 49,600 777,728
-------------
59,000,386
-------------
UTILITIES -- 4.4%
Alamosa Holdings, Inc.* 28,300 $ 393,370
Avista Corporation 38,200 710,138
Boston Communications Group, 20,900 43,054
Inc.*+++
CenturyTel, Inc. 36,200 1,253,606
CMS Energy Corporation*+++ 73,900 1,112,934
Commonwealth Telephone 22,500 942,975
Enterprises, Inc.+++
Empire District Electric 7,400 177,304
Co.+++
Energen Corporation 40,200 1,409,010
Energy East Corporation 37,900 1,098,342
Golden Telecom, Inc.+++ 21,800 668,824
IDT Corporation* 62,200 823,528
MDU Resources Group, Inc. 21,100 594,387
NII Holdings, Inc. Class B* 20,650 1,320,361
Northeast Utilities 68,600 1,430,996
NSTAR 22,800 702,924
Oneok, Inc. 19,900 649,735
</Table>
See Notes to Financial Statements.
96
<Table>
<Caption>
SHARES VALUE
----------- -------------
Pepco Holdings, Inc. 72,300 $ 1,730,862
PNM Resources, Inc. 9,100 262,171
Premiere Global Services, 53,000 598,370
Inc.*
SCANA Corporation+++ 30,500 1,302,655
Sierra Pacific Resources*+++ 84,500 1,052,025
Southwestern Energy Co.* 21,000 986,580
U.S. Unwired, Inc.*+++ 61,200 356,184
UGI Corporation 56,600 1,579,140
Western Wireless Corporation 11,500 486,450
Class A*
Wisconsin Energy 48,800 1,903,200
Corporation+++
-------------
23,589,125
-------------
TOTAL COMMON STOCKS
(Cost $452,035,819) 514,796,991
-------------
SHORT-TERM INVESTMENTS -- 42.4%
AB Funds Trust -- Money 24,268,547 24,268,547
Market Fund (GS4
Class)(inf)
Northern Institutional 204,038,112 204,038,112
Liquid Assets Portfolio
sec.
-------------
TOTAL SHORT-TERM INVESTMENTS
228,306,659
(Cost $228,306,659)
-------------
<Caption>
PAR
-----------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bill
2.81%, 07/14/05++++
(Cost $1,987,984) $ 1,990,000 1,988,209
-------------
<Caption>
SHARES
-----------
MUTUAL FUNDS -- 0.3%
iShares Russell 2000
(Cost $1,251,851) 21,350 1,359,995
-------------
TOTAL INVESTMENTS -- 138.6%
(Cost $683,582,313) 746,451,854
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (38.6%) (207,743,370)
-------------
NET ASSETS -- 100.0% $ 538,708,484
=============
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Auto & Transportation 4.1
Consumer Discretionary 17.6
Consumer Staples 1.8
Financial Services 21.5
Futures Contracts 4.3
Healthcare 11.6
Integrated Oils 0.3
Materials & Processing 8.5
Mutual Funds 0.3
Other 0.3
Other Energy 5.6
Producer Durables 8.8
Short-Term Investments 42.4
Technology 11.0
U.S. Treasury Obligations 0.4
Utilities 4.4
------
142.9
======
</Table>
- ---------------
+ Based on net assets.
See Notes to Financial Statements.
97
INTERNATIONAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05
- --------------------------------------------------------------------------------
<Table>
<Caption>
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK**
---------- ---------- ---------- ----------- ---------- ---------------------
One Year 14.79% 14.59% 14.28% 16.47% N/A N/A
Since Inception 8.34% 8.18% 7.69% 8.45% 6.35%(1) 7.59%(1)
Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
</Table>
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.guidestone.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 ACWI(R) (ALL COUNTRY
GS4 CLASS WORLD INDEX) EX-U.S.
--------- -------------------------
Aug 27 2001 10000 10000
9777 9707
Sep 2001 8731 8675
9014 8918
9460 9325
Dec 2001 9539 9445
9203 9039
9375 9104
Mar 2002 9891 9594
9994 9651
10149 9748
Jun 2002 9728 9324
8773 8414
8765 8413
Sep 2002 7939 7519
8274 7922
8541 8302
Dec 2002 8400 8033
8061 7750
7887 7592
Mar 2003 7687 7439
8348 8148
8870 8661
Jun 2003 9148 8895
9426 9131
9731 9401
Sep 2003 9913 9663
10487 10288
10652 10511
Dec 2003 11408 11313
11576 11493
11822 11783
Mar 2004 11937 11851
11584 11474
11549 11500
Jun 2004 11804 11745
11549 11400
11584 11488
Sep 2004 11901 11856
12271 12268
13033 13116
Dec 2004 13553 13678
13330 13440
13946 14100
Mar 2005 13536 13712
13241 13360
13313 13431
Jun 2005 13527 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.
- ---------------
(1) Non-annualized.
98
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
JUNE 30, 2005 PAR VALUE
- ------------- ------------ --------------
FOREIGN CONVERTIBLE BOND -- 0.0%
SWITZERLAND
Credit Suisse Group
Finance, Ltd.
6.00%, 12/23/05(S)
(Cost $175,347) 241,000 $ 258,302
--------------
<Caption>
SHARES
------------
FOREIGN COMMON STOCKS -- 95.8%
AUSTRALIA -- 3.8%
Amcor, Ltd.+++ 754,696 3,837,876
Australia and New Zealand
Banking Group, Ltd. 21,863 361,020
Brambles Industries, Ltd. 39,820 246,569
Coles Myer, Ltd.+++ 718,919 5,053,605
Insurance Australia Group,
Ltd. 120,400 548,813
John Fairfax Holdings,
Ltd.+++ 495,000 1,616,398
Lend Lease Corporation,
Ltd. 474,509 4,675,522
National Australia Bank,
Ltd.+++ 261,912 6,120,017
Promina Group, Ltd.+++ 78,500 280,283
QBE Insurance Group,
Ltd.+++ 77,823 946,390
Quantas Airways, Ltd. 830,712 2,123,432
Rinker Group, Ltd.+++ 109,318 1,157,860
Telstra Corporation, Ltd. 1,415,414 5,443,983
Wesfarmers, Ltd.+++ 28,455 861,912
Woodside Petroleum,
Ltd.+++ 438,000 9,728,637
Woolworths, Ltd.+++ 51,281 642,658
--------------
43,644,975
--------------
AUSTRIA -- 0.1%
Erste Bank Der
Oesterreichischen
Sparkassen AG 11,600 579,675
Raiffeisen International
Bank Holding AG*+++ 8,800 562,393
Telekom Austria AG+++ 22,328 433,788
--------------
1,575,856
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
BELGIUM -- 1.8%
Colruyt SA+++ 40,100 $ 5,466,636
Electrabel SA+++ 6,959 3,038,044
Fortis 240,101 6,642,581
UCB SA+++ 120,500 5,853,037
--------------
21,000,298
--------------
BRAZIL -- 0.5%
All America Latina
Logistica SA 5,000 148,801
Aracruz Celulose SA ADR+++ 6,000 208,500
Brasil Telecom
Participacoes SA ADR+++ 27,200 981,920
Companhia Brasileira de
Distribuicao Grupo Pao
de Acucar ADR+++ 7,400 147,186
Companhia Siderurgica
Nacional SA ADR+++ 2,200 35,530
Companhia Vale do Rio Doce
ADR+++ 130,200 3,307,080
CPFL Energia SA ADR+++ 11,000 260,700
Gol Linhas Aereas
Inteligentes SA ADR+++ 2,000 60,120
Localiza Rent A Car SA 14,700 78,064
Lojas Renner SA* 22,300 353,362
Natura Cosmeticos SA 5,800 184,780
Tim Participacoes SA
ADR+++ 18,900 298,620
--------------
6,064,663
--------------
CANADA -- 1.8%
Abitibi-Consolidated,
Inc. 76,300 340,024
Alcan, Inc.+++ 43,900 1,317,860
Cameco Corporation 21,600 963,467
CGI Group, Inc.* 107,400 645,171
First Quantum Minerals,
Ltd. 50,900 897,771
Great-West Lifeco, Inc.+++ 18,600 422,796
Inco, Ltd.+++ 35,100 1,325,025
Manulife Financial
Corporation 10,200 487,106
Methanex Corporation 28,600 468,730
National Bank of Canada+++ 12,300 546,232
Noranda, Inc.+++ 16,133 276,784
Potash Corporation of
Saskatchewan 22,700 2,166,802
Suncor Energy, Inc. 142,400 6,731,806
Talisman Energy, Inc.+++ 50,700 1,899,388
TELUS Corporation 19,000 667,760
TELUS Corporation
(Non-Voting)+++ 29,200 995,975
Thomson Corporation (The) 12,600 421,851
Toronto-Dominion Bank 11,600 518,364
--------------
21,092,912
--------------
CHILE -- 0.2%
AFP Provida SA ADR 17,100 435,024
Banco Santander Chile SA
ADR+++ 13,200 426,360
Embotelladora Andina SA
ADR Class A 30,100 375,046
Embotelladora Andina SA
ADR Class B 40,000 550,000
Empresas CMPC SA 3,000 70,100
Enersis SA ADR+++ 27,100 282,924
--------------
2,139,454
--------------
CHINA -- 0.4%
BYD Co., Ltd. Series H+++ 102,000 218,655
China Petroleum & Chemical
Corporation Class H+++ 1,966,000 766,328
China Shenhua Energy Co.,
Ltd. Class H* 1,620,500 1,563,988
China Telecom Corporation,
Ltd. Class H 4,538,000 1,620,626
Jiangsu Expressway Co.,
Ltd. Class H 1,342,600 696,878
Sinotrans, Ltd. Class H+++ 641,800 199,436
</Table>
See Notes to Financial Statements.
99
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
ZTE Corporation Class H 27,400 $ 81,706
--------------
5,147,617
--------------
COLOMBIA -- 0.0%
BanColombia SA ADR+++ 16,800 268,632
--------------
CROATIA -- 0.1%
Pliva DD GDR 61,400 784,692
--------------
CZECH REPUBLIC -- 0.0%
Komercni Banka AS 1,174 144,743
--------------
DENMARK -- 1.0%
Danske Bank A/S+++ 60,694 1,823,074
H. Lundbeck AS+++ 78,000 1,962,315
Novo-Nordisk AS Class B+++ 127,100 6,460,029
TDC AS+++ 27,600 1,181,737
--------------
11,427,155
--------------
ECUADOR -- 0.1%
Holcim Ecuador SA GDR 26,250 840,000
--------------
EGYPT -- 0.6%
Commercial International
Bank, Ltd. 3,100 25,576
Commercial International
Bank, Ltd. GDR 7,900 65,151
MobiNil -- Egyptian Mobile
Services 74,495 2,341,768
Orascom Construction
Industries 120,857 3,435,136
Orascom Construction
Industries GDR 5,000 284,109
Orascom Telecom Holding 3,750 380,473
Vodafone Egypt
Telecommunications SAE 37,000 548,737
--------------
7,080,950
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
FINLAND -- 0.6%
Nokia OYJ 179,200 $ 2,981,731
Stora Enso OYJ Class R 34,100 434,023
UPM-Kymmene OYJ+++ 164,600 3,150,361
--------------
6,566,115
--------------
FRANCE -- 7.4%
Accor SA+++ 25,900 1,211,058
Air Liquide SA+++ 6,723 1,143,317
Assurances Generales de
France 27,100 2,214,325
AXA SA 111,700 2,781,033
BNP Paribas SA 64,200 4,384,858
Bouygues SA+++ 73,300 3,030,148
Carrefour SA 58,083 2,809,042
Compagnie de Saint-Gobain 110,165 6,093,604
Compagnie Generale des
Etablissements Michelin
Class B+++ 8,500 516,155
Dassault Systemes SA 9,500 459,204
Eiffage SA+++ 18,104 1,575,111
Essilor International SA
Compagnie Generale
D'Optique+++ 6,400 436,499
France Telecom SA 149,960 4,364,152
Groupe Danone 14,900 1,305,481
L'Oreal SA+++ 59,100 4,231,680
Lafarge SA 29,300 2,663,210
PPR SA+++ 6,537 672,554
Sanofi-Aventis 124,049 10,159,384
Schneider Electric SA+++ 27,100 2,037,878
Societe BIC SA 14,600 870,476
Societe Generale Class A 57,211 5,801,406
Societe Television
Francaise 1+++ 166,400 4,411,348
Total SA 78,582 18,387,947
Veolia Environnement 79,440 2,973,637
Vivendi Universal SA 27,500 861,809
--------------
85,395,316
--------------
GERMANY -- 5.8%
Adidas-Salomon AG+++ 26,702 4,454,077
Allianz AG+++ 35,300 4,026,469
BASF AG 29,393 1,945,460
Bayer AG 302,296 10,047,195
Bayerische Hypo-und
Vereinsbank AG 197,062 5,111,708
Bayerische Motoren Werke
AG 58,600 2,657,581
Continental AG 27,000 1,935,993
DaimlerChrysler AG 29,400 1,188,949
Deutsche Bank AG 9,100 708,530
Deutsche Boerse AG+++ 11,231 875,004
Deutsche Post AG+++ 19,500 453,830
E.ON AG 51,500 4,571,834
Infineon Technologies
AG*+++ 57,300 530,640
Metro AG 27,700 1,372,351
RWE AG 111,112 7,135,159
SAP AG+++ 13,600 2,352,816
SAP AG ADR+++ 4,500 194,850
Schering AG 29,378 1,805,027
Siemens AG 134,942 9,804,778
Volkswagen AG+++ 134,806 6,143,863
--------------
67,316,114
--------------
GREECE -- 0.1%
National Bank of Greece SA 26,239 889,169
--------------
HONG KONG -- 4.6%
Bank of East Asia, Ltd.+++ 143,000 421,202
China Mengniu Dairy Co.,
Ltd. 895,000 591,900
China Mobile (Hong Kong),
Ltd.+++ 963,500 3,570,312
China Resources Power
Holdings Co. 1,488,900 826,538
CLP Holdings, Ltd.+++ 1,150,000 6,589,073
CNOOC, Ltd.+++ 10,182,500 6,034,639
Denway Motors, Ltd. 4,816,000 1,707,796
</Table>
See Notes to Financial Statements.
100
<Table>
<Caption>
SHARES VALUE
------------ --------------
Esprit Holdings, Ltd.+++ 83,700 $ 603,562
Hang Lung Group, Ltd.+++ 200,000 354,196
Hang Lung Properties,
Ltd. 1,695,000 2,485,516
Hong Kong & China Gas Co.,
Ltd. 4,521,000 9,173,743
Hongkong Electric
Holdings, Ltd. 552,500 2,519,286
Hutchison Whampoa, Ltd.+++ 556,000 5,004,250
Jardine Matheson Holdings,
Ltd. 124,000 2,190,009
Johnson Electric Holdings,
Ltd.+++ 446,500 409,058
Li & Fung, Ltd. 516,000 1,067,908
Sun Hung Kai Properties,
Ltd.+++ 253,000 2,488,384
Swire Pacific, Ltd. Class
A+++ 416,000 3,668,023
Wharf Holdings, Ltd.+++ 808,000 2,826,804
--------------
52,532,199
--------------
HUNGARY -- 0.3%
BorsodChem Rt. 18,856 210,152
Mol Magyar Olaj-es
Gazipari Rt. 8,664 726,073
Mol Magyar Olaj-es
Gazipari Rt. GDR 16,381 1,367,813
OTP Bank Rt. 18,787 635,710
--------------
2,939,748
--------------
INDIA -- 1.5%
Andhra Bank, Ltd. 883,684 1,916,767
Asian Paints (India) Ltd. 100,000 945,371
Bharat Heavy Electricals,
Ltd. 17,694 351,635
Bharti Televentures, Ltd.* 108,775 606,657
Container Corporation of
India, Ltd. 40,000 846,463
GAIL India, Ltd. GDR+++ 49,800 1,510,434
Grasim Industries, Ltd. 10,172 247,766
Gujarat Ambuja Cements,
Ltd. 999,000 1,351,962
HDFC Bank, Ltd. 23,051 333,764
Hero Honda Motors, Ltd. 70,000 928,415
Hindalco Industries, Ltd. 10,229 282,530
ICICI Bank, Ltd. ADR+++ 1,500 32,775
Industrial Development
Bank of India, Ltd. 152,768 358,596
Infosys Technologies,
Ltd. 13,930 754,466
Infosys Technologies, Ltd.
ADR 13,234 1,025,238
Jet Airways India, Ltd.* 9,644 280,025
Larsen & Toubro, Ltd.* 12,558 327,548
Oil & Natural Gas
Corporation, Ltd.* 17,811 417,035
Ranbaxy Laboratories, Ltd.
GDR 83,500 2,066,626
Satyam Computer Services,
Ltd. ADR 49,000 1,274,000
Sun Pharmaceuticals
Industries, Ltd. 56,000 743,903
Tata Motors, Ltd. 45,339 442,126
UTI Bank, Ltd. 56,516 319,801
--------------
17,363,903
--------------
INDONESIA -- 0.9%
Bank Rakyat Indonesia 5,466,400 1,619,684
PT Bank Central Asia TBK 621,000 228,321
PT Bank Mandiri Persero
TBK 7,640,723 1,170,964
PT Bumi Resources TBK* 4,194,500 356,704
PT Panin Life TBK 28,581,000 481,153
PT Ramayana Lestari
Sentosa TBK 6,813,500 626,683
PT Telekomunikasi
Indonesia TBK 9,029,200 4,666,827
PT Unilever Indonesia TBK 2,652,000 1,104,726
--------------
10,255,062
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
IRELAND -- 0.6%
Allied Irish Banks PLC 120,500 $ 2,591,709
CRH PLC 128,462 3,386,471
Irish Life & Permanent PLC 35,300 617,383
--------------
6,595,563
--------------
ISRAEL -- 0.4%
Bank Hapoalim, Ltd. 123,800 388,891
Bank Leumi Le-Israel BM 51,500 132,526
Check Point Software
Technologies, Ltd.* 53,500 1,059,300
Lipman Electronic
Engineering, Ltd.+++ 8,100 249,237
Teva Pharmaceutical
Industries, Ltd. ADR 78,900 2,456,945
--------------
4,286,899
--------------
ITALY -- 2.0%
Banca Intesa SpA 2,236,574 10,210,366
Enel SpA+++ 285,199 2,488,861
Ente Nazionale Idrocarburi
SpA 196,949 5,060,555
Mediaset SpA+++ 500,223 5,883,251
--------------
23,643,033
--------------
JAPAN -- 21.7%
Advantest Corporation+++ 55,500 4,082,578
Aeon Co., Ltd. 106,400 1,618,235
Aiful Corporation 6,908 513,581
Astellas Pharma, Inc.+++ 148,200 5,047,594
Bank of Fukuoka, Ltd.
(The)+++ 151,000 890,646
Bridgestone Corporation 171,000 3,276,909
Canon, Inc. 285,100 14,943,383
Chubu Electric Power Co.,
Inc.+++ 20,100 481,676
Credit Saison Co., Ltd. 26,100 863,878
Daikin Industries, Ltd. 176,000 4,383,901
</Table>
See Notes to Financial Statements.
101
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
Daito Trust Construction
Co., Ltd.+++ 13,000 $ 485,454
Daiwa House Industry Co.,
Ltd. 47,000 535,485
Denso Corporation 325,500 7,391,058
East Japan Railway Co. 389 1,994,861
Eisai Co., Ltd. 200,500 6,716,810
FamilyMart Co., Ltd. 68,000 1,946,379
Fanuc, Ltd. 136,100 8,609,449
Furukawa Electric Co.,
Ltd.+++ 97,000 373,004
Hirose Electric Co.,
Ltd.+++ 41,000 4,492,702
Hitachi, Ltd.+++ 457,000 2,763,172
Honda Motor Co., Ltd. 97,600 4,793,586
Hoya Corporation 5,500 631,879
Japan Airlines Corporation 102,000 274,318
JSR Corporation+++ 85,000 1,778,661
Kansai Electric Power Co.,
Inc. (The) 49,000 983,957
Kao Corporation 193,000 4,534,680
KDDI Corporation 1,222 5,639,892
Keyence Corporation 25,000 5,573,203
Kuraray Co., Ltd.+++ 206,000 1,945,115
Matsushita Electric
Industrial Co., Ltd. 326,686 4,937,421
Millea Holdings, Inc. 797 10,688,696
Mitsubishi Corporation+++ 106,000 1,433,541
Mitsubishi Electric
Corporation 283,700 1,497,068
Mitsubishi Estate Co.,
Ltd. 969,100 10,603,996
Mitsubishi Heavy
Industries, Ltd. 142,000 370,557
Mitsubishi Tokyo Financial
Group, Inc. 887 7,477,069
Mitsui & Co., Ltd.+++ 56,000 527,878
Mitsui Fudosan Co., Ltd. 31,000 345,725
Mitsui Sumitomo Insurance
Co., Ltd. 76,000 679,971
Mizuho Financial Group,
Inc. 204 917,002
Murata Manufacturing Co.,
Ltd. 9,700 491,431
Nidec Corporation 5,400 569,224
Nikko Cordial Corporation 470,000 2,053,566
Nikon Corporation+++ 44,000 495,214
Nintendo Co., Ltd. 7,100 740,400
Nippon Electric Glass Co.,
Ltd.+++ 41,000 615,289
Nippon Express Co., Ltd. 387,000 1,673,153
Nippon Steel Corporation 623,000 1,439,866
Nippon Telegraph &
Telephone Corporation 1,031 4,408,520
Nissan Motor Co., Ltd.+++ 384,500 3,801,183
Nitto Denko Corporation+++ 27,900 1,589,703
Nomura Holdings, Inc. 122,100 1,450,624
NTT DoCoMo, Inc. 1,600 2,357,359
Omron Corporation 20,000 439,600
ORIX Corporation+++ 35,200 5,256,057
Pioneer Corporation+++ 110,300 1,666,437
Ricoh Co., Ltd. 48,000 747,296
Rohm Co., Ltd. 56,500 5,416,077
Sankyo Co. Ltd.+++ 62,800 1,201,512
Secom Co., Ltd. 162,000 6,950,533
Sekisui House, Ltd. 68,000 683,414
Sharp Corporation 171,000 2,660,786
Shimamura Co., Ltd.+++ 8,300 698,843
Shin-Etsu Chemical Co.,
Ltd. 127,600 4,827,896
SMC Corporation 14,400 1,561,151
Softbank Corporation+++ 38,600 1,504,012
Sompo Japan Insurance,
Inc. 54,900 551,262
Sony Corporation 106,000 3,638,832
Sumitomo Chemical Co.,
Ltd. 336,000 1,538,054
Sumitomo Corporation 168,000 1,339,548
Sumitomo Mitsui Financial
Group, Inc.+++ 745 5,009,831
Sumitomo Trust & Banking
Co., Ltd. 224,000 1,355,560
Suzuki Motor
Corporation+++ 121,300 1,899,811
T&D Holdings, Inc. 59,150 2,769,612
Takeda Pharmaceutical Co.,
Ltd. 299,300 14,799,731
Takefuji Corporation 28,800 1,938,381
TDK Corporation 48,000 3,262,579
THK Co., Ltd.+++ 80,500 1,654,030
Tohoku Electric Power Co.,
Inc. 16,100 343,024
Tokyo Electron, Ltd. 28,100 1,476,637
Tokyo Gas Co., Ltd.+++ 154,000 575,096
Tokyu Corporation+++ 230,000 1,029,008
Toyota Motor Corporation 214,300 7,647,465
Trend Micro, Inc. 9,000 319,369
UFJ Holdings, Inc. 620 3,207,528
Uni-Charm Corporation+++ 9,000 361,525
West Japan Railway Co. 483 1,651,848
Yahoo! Japan
Corporation+++ 205 427,841
Yamada Denki Co., Ltd.+++ 16,900 970,475
Yamato Transport Co.,
Ltd.+++ 92,500 1,279,050
--------------
251,390,213
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
LUXEMBOURG -- 0.1%
SES Global 48,900 $ 716,037
--------------
MALAYSIA -- 0.4%
Astro All Asia Networks
PLC 102,600 146,957
Commerce Asset Holdings
BHD 347,900 461,708
IOI Corporation BHD 274,500 757,669
Malayan Banking BHD 144,200 412,781
MK Land Holdings BHD 841,300 242,844
OYL Industries BHD 109,000 1,038,760
Telekom Malaysia BHD 120,300 315,956
Tenaga Nasional BHD 157,500 435,197
</Table>
See Notes to Financial Statements.
102
<Table>
<Caption>
SHARES VALUE
------------ --------------
Titan Chemicals
Corporation BHD* 309,300 $ 146,511
Transmile Group BHD 365,000 1,017,079
--------------
4,975,462
--------------
MEXICO -- 0.9%
America Movil SA de CV ADR
Series L 57,700 3,439,497
Cemex SA de CV 417,034 1,773,325
Grupo Mexico SA de CV
Series B 49,500 80,832
Grupo Televisa SA ADR 28,142 1,747,337
Kimberly-Clark de Mexico
SA de CV Class A 60,000 205,949
Telefonos de Mexico SA de
CV ADR Class L 81,400 1,537,646
Urbi Desarrollos Urbanos
SA* 53,200 292,797
Wal-Mart de Mexico SA de
CV Series V 368,098 1,498,107
--------------
10,575,490
--------------
NETHERLANDS -- 4.8%
ABN AMRO Holding NV 153,366 3,767,872
Aegon NV 110,570 1,423,821
Akzo Nobel NV 41,000 1,612,276
Euronext NV+++ 14,900 503,219
ING Groep NV 356,866 10,030,558
Koninklijke Ahold NV* 54,100 443,202
Koninklijke Numico NV*+++ 13,600 543,024
Reed Elsevier NV 532,311 7,407,289
Royal Dutch Petroleum Co. 280,088 18,208,301
Royal Dutch Petroleum Co.
(New York Shares) 12,100 785,290
Royal KPN NV 374,400 3,131,279
TNT NV 93,600 2,367,573
Unilever NV 28,000 1,813,411
VNU NV 131,496 3,660,153
--------------
55,697,268
--------------
NEW ZEALAND -- 0.3%
Telecom Corporation of New
Zealand, Ltd. 955,696 3,998,373
--------------
NORWAY -- 0.5%
DNB NOR ASA 66,000 686,402
Norsk Hydro ASA 28,000 2,545,339
Norske Skogindustrier
ASA+++ 19,100 313,325
Telenor ASA+++ 152,702 1,214,282
Yara International ASA 28,000 442,546
--------------
5,201,894
--------------
PERU -- 0.0%
Compania de Minas
Buenaventura SA ADR+++ 5,800 133,342
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
PHILIPPINES -- 0.1%
Globe Telecom, Inc. 20,000 $ 285,246
SM Prime Holdings, Inc. 9,591,800 1,285,039
--------------
1,570,285
--------------
POLAND -- 0.1%
Powszechna Kasa
Oszczednosci Bank Polski
SA 120,441 974,131
--------------
PORTUGAL -- 0.5%
Banco Comercial Portugues
SA Series R+++ 1,072,558 2,746,426
Portugal Telecom SGPS
SA+++ 333,861 3,175,952
--------------
5,922,378
--------------
ROMANIA -- 0.0%
SNP Petrom SA 2,900,000 392,283
--------------
RUSSIA -- 0.5%
LUKOIL ADR 67,697 2,489,895
Mechel Steel Group OAO
ADR+++ 8,800 223,520
Mining and Metallurgical
Co. Norilsk Nickel ADR 4,103 248,642
Mobile Telesystems ADR 43,400 1,460,410
Vimpel-Communications
ADR*+++ 11,200 381,136
Wimm-Bill-Dann Foods OJSC
ADR*+++ 55,400 910,222
--------------
5,713,825
--------------
SINGAPORE -- 0.6%
DBS Group Holdings, Ltd. 239,000 2,022,089
Oversea-Chinese Banking
Corporation, Ltd. 314,400 2,159,133
Singapore
Telecommunications,
Ltd.+++ 1,414,571 2,319,078
United Overseas Bank,
Ltd. 47,000 395,267
United Overseas Land,
Ltd. 4,700 6,346
--------------
6,901,913
--------------
SOUTH AFRICA -- 1.7%
ABSA Group, Ltd. 61,836 765,747
African Bank Investments,
Ltd. 321,300 900,627
Alexander Forbes, Ltd. 400,000 774,175
Anglo American PLC+++ 147,488 3,459,147
AngloGold Ashanti, Ltd.
ADR+++ 27,989 1,000,047
Dimension Data Holdings
PLC* 99,411 58,418
Edgars Consolidated
Stores, Ltd. 3,351 145,612
FirstRand, Ltd. 60,958 126,940
Liberty Group, Ltd. 19,340 172,493
Massmart Holdings, Ltd. 65,682 441,949
Mittal Steel South Africa,
Ltd. 50,474 355,425
MTN Group, Ltd. 511,503 3,392,073
Naspers, Ltd. 32,673 406,576
Pick'n Pay Stores, Ltd. 28,000 104,998
</Table>
See Notes to Financial Statements.
103
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
Sanlam, Ltd. 284,702 $ 501,295
Sasol, Ltd. 128,763 3,483,410
Standard Bank Group, Ltd. 220,657 2,138,515
Telkom SA, Ltd. 19,220 309,186
VenFin, Ltd. 171,900 740,684
--------------
19,277,317
--------------
SOUTH KOREA -- 3.3%
Amorepacific Corporation 980 257,019
GS Engineering &
Construction Corporation 10,390 341,450
GS Holdings Corporation* 24,830 583,403
Hankook Tire Co., Ltd. 95,195 1,148,198
Hynix Semiconductor, Inc.* 19,270 311,961
Hyundai Mobis 18,200 1,216,253
Hyundai Motor Co. 12,850 707,869
Kookmin Bank 87,831 3,963,936
Kookmin Bank ADR+++ 60,321 2,749,431
Korea Electric Power
Corporation 51,010 1,556,650
KT Corporation 36,170 1,478,404
KT Corporation ADR 7,850 168,775
KT Freetel 24,000 552,974
LG Philips LCD Co., Ltd.* 13,380 616,331
NCSoft Corporation* 12,140 894,735
POSCO 6,700 1,166,836
POSCO ADR+++ 3,700 162,689
S-Oil Corporation 1,730 137,771
S1 Corporation 39,280 1,671,536
Samsung Electronics Co.,
Ltd. 10,610 5,024,847
Samsung Electronics Co.,
Ltd. (Non-Voting Shares)
GDR 144A 10,109 1,660,380
Samsung Electronics Co.,
Ltd. GDR 1,200 285,940
Samsung Electronics Co.,
Ltd. GDR 144A 15,159 3,622,906
Samsung Fire & Marine
Insurance Co., Ltd. 22,530 1,809,200
Samsung Securities Co.,
Ltd. 35,370 933,254
Shinsegae Co., Ltd. 8,070 2,531,683
SK Corporation 5,100 267,988
SK Telecom Co., Ltd. 6,700 1,177,147
SK Telecom Co., Ltd. ADR 11,300 230,520
Tae Young Corporation 10,000 333,825
--------------
37,563,911
--------------
SPAIN -- 4.1%
Acerinox SA 61,756 839,268
Actividades de
Construccion y Servicios
SA 98,289 2,745,624
Banco Bilbao Vizcaya
Argentaria SA+++ 178,600 2,744,163
Banco Popular Espanol
SA+++ 208,305 2,513,645
Banco Santander Central
Hispano SA 497,784 5,762,942
Endesa SA+++ 131,800 3,063,638
Iberdrola SA+++ 217,148 5,718,349
Inditex SA+++ 198,700 5,105,770
Repsol YPF SA 218,137 5,535,911
Telefonica SA+++ 805,701 13,143,976
--------------
47,173,286
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
SWEDEN -- 1.1%
Atlas Copco AB Class A+++ 40,200 $ 634,840
Hennes & Mauritz AB Class
B+++ 144,200 5,058,151
Nordea Bank AB 250,000 2,257,443
Svenska Cellulosa AB Class
B 10,300 329,075
Telefonaktiebolaget LM
Ericsson ADR+++ 14,600 466,470
Telefonaktiebolaget LM
Ericsson Class B 1,296,000 4,134,886
--------------
12,880,865
--------------
SWITZERLAND -- 4.1%
Adecco SA 8,276 375,466
Ciba Specialty Chemicals,
Inc.+++ 26,600 1,546,724
Compagnie Financiere
Richemont AG Class A 92,849 3,113,262
Credit Suisse Group 33,185 1,300,773
Geberit AG 680 434,890
Givaudan SA 750 435,621
Holcim, Ltd. 47,817 2,904,443
Nestle SA 49,968 12,764,964
Novartis AG 212,813 10,103,649
Roche Holding AG 52,143 6,579,250
Serono SA Class B 509 325,806
Swiss Reinsurance 31,826 1,951,540
Swisscom AG 4,101 1,336,470
Synthes, Inc. 5,420 593,978
UBS AG 15,165 1,182,190
Zurich Financial Services
AG 11,900 2,041,092
--------------
46,990,118
--------------
TAIWAN -- 1.5%
Advanced Semiconductor
Engineering, Inc.* 550,000 409,009
Advantech Co., Ltd. 132,000 311,705
Asustek Computer, Inc. 54,000 151,950
AU Optronics Corporation 1,658,000 2,758,980
Basso Industry Corporation 103,000 241,010
Cathay Financial Holding
Co., Ltd. 771,510 1,549,297
China Steel Corporation 751,385 757,637
Chinatrust Financial
Holding Co., Ltd. 243,137 264,218
Faraday Technology
Corporation 268,747 513,910
Foxconn Technology Co.,
Ltd.* 57,000 214,618
</Table>
See Notes to Financial Statements.
104
<Table>
<Caption>
SHARES VALUE
------------ --------------
HON HAI Precision Industry
Co., Ltd. 98,649 $ 511,329
MediaTek, Inc. 33,429 288,664
Phoenixtec Power Co.,
Ltd. 481,605 515,483
Powerchip Semiconductor
Corporation 746,000 519,912
Pyaterochka Holding NV
GDR* 18,475 266,040
Quanta Computer, Inc. 227,348 433,414
Taiwan Semiconductor
Manufacturing Co., Ltd. 3,223,034 5,611,208
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADR 9,183 83,753
United Microelectronics
Corporation* 1,583,000 1,154,733
Vanguard International
Semiconductor
Corporation 670,000 638,030
--------------
17,194,900
--------------
THAILAND -- 0.6%
Advanced Info Service
Public Co., Ltd.+++ 382,400 906,841
Airports of Thailand
Public Co., Ltd. 714,500 778,040
Kasikornbank Public Co.,
Ltd.+++ 730,300 1,002,147
Kiatnakin Finance Public
Co., Ltd. 397,600 264,586
PTT Exploration and
Production Public Co.,
Ltd. 186,100 1,729,278
PTT Public Co., Ltd. 350,500 1,848,977
Siam City Cement Public
Co, Ltd. 15,800 92,525
--------------
6,622,394
--------------
TURKEY -- 0.2%
Arcelik AS 28,600 168,404
Migros Turk TAS 120,225 925,535
Petkim Petrokimya Holding
AS* 21,932 96,013
Turk Sise ve Cam
Fabrikalari AS 41,835 121,103
Turkiye Garanti Bankasi
AS* 107,607 458,088
Turkiye Is Bankasi 82,569 478,037
--------------
2,247,180
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------------
UNITED KINGDOM -- 14.1%
Antofagasta PLC 21,500 $ 468,447
ARM Holdings PLC 110,000 222,053
AstraZeneca PLC 211,104 8,715,288
Aviva PLC 376,563 4,181,286
BG Group PLC 1,750,030 14,367,769
BHP Billiton PLC+++ 67,005 855,095
BOC Group PLC 248,090 4,451,514
Boots Group PLC 437,534 4,764,703
BP PLC 850,704 8,847,060
Bradford & Bingley PLC 76,600 448,216
Brambles Industries PLC+++ 575,464 3,141,578
Capita Group PLC 185,880 1,222,171
Carnival PLC 34,053 1,930,778
Cattles PLC 115,000 633,412
Centrica PLC 518,450 2,146,891
Compass Group PLC 722,885 3,027,088
GKN PLC+++ 479,201 2,208,814
GlaxoSmithKline PLC 380,434 9,192,613
Hanson PLC 41,500 398,038
HBOS PLC 540,500 8,309,977
HSBC Holdings PLC 85,400 1,358,077
Intercontinental Hotels
Group PLC 103,687 1,305,730
Johnson Matthey PLC 82,300 1,568,998
Johnston Press PLC 42,300 363,564
Kingfisher PLC 743,000 3,259,663
Lloyds TSB Group PLC 958,019 8,090,480
Man Group PLC 102,400 2,645,657
Misys PLC 564,300 2,395,059
Northern Rock PLC 31,400 445,766
Pearson PLC 382,930 4,498,050
Reckitt Benckiser PLC 167,120 4,909,150
Reed Elsevier PLC 168,100 1,605,549
Rio Tinto PLC 296,364 9,024,457
Rolls-Royce Group PLC 82,300 422,233
Rolls-Royce Group PLC B
Shares 27,697,900 49,874
Royal Bank of Scotland
Group PLC 197,800 5,955,530
Scottish & Southern Energy
PLC 35,600 644,233
Shell Transport & Trading
Co. PLC 683,300 6,616,140
Smith & Nephew PLC 319,360 3,139,692
Standard Chartered PLC 84,200 1,534,005
Tesco PLC 327,100 1,863,496
Unilever PLC 689,160 6,630,053
Vodafone Group PLC 4,311,650 10,482,732
Wm Morrison Supermarkets
PLC 980,000 3,254,615
Wolseley PLC 30,000 628,879
Xstrata PLC 38,900 748,242
--------------
162,972,715
--------------
VENEZUELA -- 0.0%
Compania Anonima Nacional
Telefonos de Venezuela
ADR 6,001 113,659
--------------
TOTAL FOREIGN COMMON STOCKS
(Cost $887,372,448) 1,106,194,307
--------------
</Table>
See Notes to Financial Statements.
105
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
<Table>
<Caption>
SHARES VALUE
------------ --------------
FOREIGN PREFERRED STOCKS -- 0.4%
BRAZIL -- 0.3%
Caemi Mineracao e
Metalurgica SA 173,700 $ 163,657
Companhia de Tecidos do
Norte de Minas --
Coteminas 4,248,260 385,655
Companhia Siderurgica
Belgo Mineira 447,900 202,351
Companhia Siderurgica de
Tubarao 1,628,600 75,501
Investimentos Itau SA 455,766 991,559
Petroleo Brasileiro SA ADR 40,400 1,860,017
Tam SA* 3,500 25,167
--------------
3,703,907
--------------
SOUTH KOREA -- 0.1%
Samsung Electronics Co.,
Ltd. 2,280 744,140
--------------
TOTAL FOREIGN PREFERRED STOCKS
(Cost $2,566,515) 4,448,047
--------------
SHORT-TERM INVESTMENTS -- 19.2%
AB Funds Trust -- Money
Market Fund (GS4
Class)(inf) 44,343,803 44,343,803
Northern Institutional
Liquid Assets Portfolio
(sec.) 176,782,024 176,782,024
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $221,125,827) 221,125,827
--------------
TOTAL INVESTMENTS -- 115.4%
(Cost $1,111,240,137) 1,332,026,483
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (15.4%) (177,902,551)
--------------
NET ASSETS -- 100.0% $1,154,123,932
--------------
</Table>
PORTFOLIO SUMMARY (UNAUDITED)+
<Table>
<Caption>
VALUE(%)
--------
Australia 3.8
Austria 0.1
Belgium 1.8
Brazil 0.8
Canada 1.8
Chile 0.2
China 0.4
Colombia --*
Croatia 0.1
Czech Republic --*
Denmark 1.0
Ecuador 0.1
Egypt 0.6
Finland 0.6
Forward Foreign Currency Contracts (2.3)
France 7.4
Germany 5.8
Greece 0.1
Hong Kong 4.6
Hungary 0.3
India 1.5
Indonesia 0.9
Ireland 0.6
Israel 0.4
Italy 2.0
Japan 21.7
Luxembourg 0.1
Malaysia 0.4
Mexico 0.9
Netherlands 4.8
New Zealand 0.3
Norway 0.5
Peru --*
Philippines 0.1
Poland 0.1
Portugal 0.5
Romania --*
Russia 0.5
Short-Term Investments 19.2
Singapore 0.6
South Africa 1.7
South Korea 3.4
Spain 4.1
Sweden 1.1
Switzerland 4.1
Taiwan 1.5
Thailand 0.6
Turkey 0.2
United Kingdom 14.1
Venezuela --*
------
113.1
======
</Table>
- ---------------
+ Based on net assets.
* Rounds to less than 0.005%.
See Notes to Financial Statements.
106
SCHEDULE OF INVESTMENTS ABBREVIATIONS AND FOOTNOTES
<Table>
INVESTMENT ABBREVIATIONS:
ADR -- American Depository Receipt
CONV -- Convertible
GDR -- Global Depository Receipt
IO -- Interest Only (Principal amount shown is
notional)
PO -- Principal Only
REIT -- Real Estate Investment Trust
STEP -- Stepped Coupon Bonds (1)
STRIP -- Stripped Security
TBA -- To be announced.
144A -- Security was purchased pursuant to Rule
144A under the Securities Act of 1933
and may not be resold subject to that
rule except to qualified institutional
buyers.
INVESTMENT FOOTNOTES:
++++ -- All or a portion of the security was
held as collateral for open futures,
options and/or swap contracts.
@ -- Illiquid.
* -- Non-income producing security.
# -- Security in default.
+ -- Security is valued at fair value.
sec. -- Security purchased with the cash
proceeds from securities loaned.
++ -- Variable rate security (1).
(omg) -- Interest rates shown reflect the
effective yields as of June 30, 2005.
(inf) -- Affiliated fund.
+++ -- Security either partially or fully on
loan.
FOREIGN BOND FOOTNOTES:
(A) -- Par is denominated in Australian
Dollars.
(B) -- Par is denominated in Brazilian Reals.
(C) -- Par is denominated in Canadian Dollars.
(E) -- Par is denominated in European Euros.
(G) -- Par is denominated in Singapore Dollars.
(I) -- Par is denominated in Israel Shekels.
(J) -- Par is denominated in Japanese Yen.
(K) -- Par is denominated in Swedish Kronas.
(M) -- Par is denominated in Mexican Pesos.
(P) -- Par is denominated in Polish Zloty.
(S) -- Par is denominated in Swiss Francs.
(T) -- Par is denominated in Thailand Bahts.
(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 Credit
Suisse First Boston International.
(j) -- Counterparty to contract is Greenwich
Capital Derivative.
</Table>
(1) Interest rates shown reflect the rates currently in effect. Maturity date
for money market instruments is the date of the next interest rate reset.
107
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
JUNE 30, 2005 MARKET FUND BOND FUND BOND FUND
- ------------- ------------ -------------- ---------------
ASSETS
Investments in securities of unaffiliated issuers at value $935,488,320 $1,037,630,121 $1,283,845,830
Investments in securities of affiliated issuers at value -- 28,585,204 121,387,179
------------ -------------- --------------
Total investments (1)(2) 935,488,320 1,066,215,325 1,405,233,009
Cash 129 6,170,416 3,333,882
Cash collateral for futures -- -- 104,000
Foreign currency (3) -- 136,595 1,003,495
Receivables:
Dividends and reclaims -- 70,650 244,112
Interest 715,801 4,968,722 9,735,632
Interest on swaps -- 10,882 2,739
Investment securities sold -- 6,563,715 116,909,514
Deposits with brokers for securities sold short -- -- 50,460,937
Maturities -- 135,769 11,254
Fund shares sold 8,215,343 7,640 49,347,813
Variation margin -- 40,496 68,610
Securities lending -- 9,108 39,005
Unrealized appreciation on foreign currency exchange
contracts -- 522,141 1,667,077
Unrealized appreciation on swap agreements -- 648,059 1,917,107
Prepaid expenses and other assets 41,130 29,185 29,886
------------ -------------- --------------
Total Assets 944,460,723 1,085,528,703 1,640,108,072
------------ -------------- --------------
LIABILITIES
Securities sold short, at value (proceeds $50,460,937) -- -- 50,671,900
Options written at value (4) -- 32,378 258,261
Unrealized depreciation on foreign currency exchange
contracts -- 15,430 228,891
Unrealized depreciation on swap agreements -- 1,839,214 9,041,257
Collateral held for securities on loan at value -- 86,615,681 243,699,977
Payables:
Investment securities purchased 44,000,000 117,246,653 288,263,832
Fund shares purchased 9,508,099 12,019,942 23,084
Interest on swaps -- -- 195,741
Variation margin -- 99,311 202,422
Distributions 860,582 -- --
Securities lending -- 2,726 11,653
Accrued expenses
Advisory fee payable 101,263 106,807 122,312
Distribution fee payable 1,613 2,167 2,349
Shareholder servicing fee payable 124,951 123,191 142,409
Other accrued expenses 111,821 248,791 296,817
------------ -------------- --------------
Total Liabilities 54,708,329 218,352,291 593,160,905
------------ -------------- --------------
NET ASSETS $889,752,394 $ 867,176,412 $1,046,947,167
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-in-capital $889,757,359 $ 876,512,988 $1,015,820,531
Undistributed net investment income (loss) -- 2,267,636 3,494,773
Accumulated net realized gain (loss) on investments, foreign
currency transactions and derivative transactions (4,965) (6,330,221) 12,800,369
Net unrealized appreciation (depreciation) on investments,
foreign currency translations and derivative transactions -- (5,273,991) 14,831,494
------------ -------------- --------------
NET ASSETS $889,752,394 $ 867,176,412 $1,046,947,167
============ ============== ==============
NET ASSET VALUE:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class $ 91,972,545 $ 100,840,048 $ 95,226,457
------------ -------------- --------------
GS2 shares outstanding 91,973,048 10,911,888 10,439,161
------------ -------------- --------------
Net asset value and redemption price per GS2 share $ 1.00 $ 9.24 $ 9.12
============ ============== ==============
Net assets applicable to the GS4 Class $788,213,467 $ 749,988,652 $ 933,342,155
------------ -------------- --------------
GS4 shares outstanding 788,181,228 58,524,570 67,575,396
------------ -------------- --------------
Net asset value and redemption price per GS4 share $ 1.00 $ 12.81 $ 13.81
============ ============== ==============
Net assets applicable to the GS6 class $ 4,519,747 $ 11,325,374 $ 13,226,586
------------ -------------- --------------
GS6 shares outstanding 4,521,926 1,220,875 1,440,101
------------ -------------- --------------
Net asset value and redemption price per GS6 share $ 1.00 $ 9.28 $ 9.18
============ ============== ==============
Net assets applicable to the GS8 class $ 5,046,635 $ 5,022,338 $ 5,151,969
------------ -------------- --------------
GS8 shares outstanding 5,046,651 541,279 560,735
------------ -------------- --------------
Net asset value and redemption price per GS8 share $ 1.00 $ 9.28 $ 9.19
============ ============== ==============
- -------------
(1) Investments in securities of unaffiliated issuers at
cost $935,488,320 $1,043,023,725 $1,268,420,095
Investments in securities of affiliated issuers at cost -- 28,585,204 121,387,179
------------ -------------- --------------
Total investments at cost $935,488,320 $1,071,608,929 $1,389,807,274
============ ============== ==============
(2) Includes securities loaned of: $ -- $ 121,100,000 $ 267,521,649
============ ============== ==============
(3) Foreign currency at cost $ -- $ 137,826 $ 1,034,710
============ ============== ==============
(4) Premiums received on options written $ -- $ (184,960) $ (1,065,532)
============ ============== ==============
(5) Net of ($147,018) accrued foreign capital gains taxes on
appreciated securities
</Table>
See Notes to Financial Statements.
108
<Table>
<Caption>
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL
BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND
----------------- ------------ -------------- -------------- ------------ --------------
$620,807,172 $485,354,584 $1,504,983,590 $1,546,251,223 $722,183,307 $1,287,682,680
12,387,237 7,470,911 48,669,178 55,589,310 24,268,547 44,343,803
------------ ------------ -------------- -------------- ------------ --------------
633,194,409 492,825,495 1,553,652,768 1,601,840,533 746,451,854 1,332,026,483
-- -- 803 -- -- 1,167,759
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 5,713,892
32,053 498,925 1,866,113 767,377 241,557 3,453,108
4,853,281 -- -- -- -- 5,874
-- -- -- -- -- --
-- -- 9,605,564 25,405,675 4,169,298 5,190,906
-- -- -- -- -- --
783,984 3,076,013 18,625,758 59,467 293,484 114,986
-- -- -- -- -- --
17,385 5,621 18,110 11,972 42,088 43,688
-- -- -- -- -- 1,585,487
-- -- -- -- -- --
29,589 28,861 30,589 32,051 26,818 30,208
------------ ------------ -------------- -------------- ------------ --------------
638,910,701 496,434,915 1,583,799,705 1,628,117,075 751,225,099 1,349,332,391
------------ ------------ -------------- -------------- ------------ --------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 43,277
-- -- -- -- -- --
144,808,211 37,369,376 163,275,774 127,001,898 204,038,112 176,782,024
-- -- 13,627,570 16,692,576 3,507,774 3,810,567
17,704,624 39,591 2,380,878 26,728,617 4,272,175 13,360,370
-- -- -- -- -- --
-- 26,798 253,220 312,604 79,504 --
-- -- -- -- 7 --
5,192 1,652 5,355 3,560 12,365 13,027
100,904 42,535 469,472 494,664 81,239 283,922
2,558 2,221 2,494 2,169 2,502 2,651
69,642 64,888 195,949 211,451 76,633 161,116
145,576 71,120 388,386 532,655 446,304 751,505
------------ ------------ -------------- -------------- ------------ --------------
162,836,707 37,618,181 180,599,098 171,980,194 212,516,615 195,208,459
------------ ------------ -------------- -------------- ------------ --------------
$476,073,994 $458,816,734 $1,403,200,607 $1,456,136,881 $538,708,484 $1,154,123,932
============ ============ ============== ============== ============ ==============
$426,873,655 $401,166,866 $1,122,061,949 $1,487,717,558 $437,745,176 $ 943,345,912
1,639,713 84,358 (46,348) (914,505) (124,860) 10,081,854
6,773,137 (4,153,968) 70,859,725 (288,619,365) 38,161,571 (21,586,446)
40,787,489 61,719,478 210,325,281 257,953,193 62,926,597 222,282,612(5)
------------ ------------ -------------- -------------- ------------ --------------
$476,073,994 $458,816,734 $1,403,200,607 $1,456,136,881 $538,708,484 $1,154,123,932
============ ============ ============== ============== ============ ==============
$ 56,645,424 $ 56,834,918 $ 147,277,099 $ 158,197,995 $ 59,283,242 $ 150,817,603
------------ ------------ -------------- -------------- ------------ --------------
6,186,200 5,924,915 12,773,338 15,544,683 4,730,763 11,675,409
------------ ------------ -------------- -------------- ------------ --------------
$ 9.16 $ 9.59 $ 11.53 $ 10.18 $ 12.53 $ 12.92
============ ============ ============== ============== ============ ==============
$398,810,182 $385,431,310 $1,236,297,334 $1,282,308,210 $459,355,847 $ 981,708,902
------------ ------------ -------------- -------------- ------------ --------------
25,615,106 23,747,051 68,896,122 79,482,911 27,835,482 64,734,532
------------ ------------ -------------- -------------- ------------ --------------
$ 15.57 $ 16.23 $ 17.94 $ 16.13 $ 16.50 $ 15.17
============ ============ ============== ============== ============ ==============
$ 15,225,234 $ 11,401,542 $ 14,285,607 $ 10,412,640 $ 14,695,091 $ 16,279,911
------------ ------------ -------------- -------------- ------------ --------------
1,663,682 1,181,921 1,244,549 1,037,875 1,191,030 1,275,671
------------ ------------ -------------- -------------- ------------ --------------
$ 9.15 $ 9.65 $ 11.48 $ 10.03 $ 12.34 $ 12.76
============ ============ ============== ============== ============ ==============
$ 5,393,154 $ 5,148,964 $ 5,340,567 $ 5,218,036 $ 5,374,304 $ 5,317,516
------------ ------------ -------------- -------------- ------------ --------------
589,673 533,585 465,619 521,376 436,665 417,713
------------ ------------ -------------- -------------- ------------ --------------
$ 9.15 $ 9.65 $ 11.47 $ 10.01 $ 12.31 $ 12.73
============ ============ ============== ============== ============ ==============
$580,015,624 $423,594,842 $1,294,207,197 $1,287,807,876 $659,313,766 $1,066,896,334
12,387,237 7,470,911 48,669,178 55,589,310 24,268,547 44,343,803
------------ ------------ -------------- -------------- ------------ --------------
$592,402,861 $431,065,753 $1,342,876,375 $1,343,397,186 $683,582,313 $1,111,240,137
============ ============ ============== ============== ============ ==============
$243,828,757 $ 37,662,289 $ 168,426,256 $ 124,522,318 $199,734,379 $ 177,594,718
============ ============ ============== ============== ============ ==============
$ -- $ -- $ -- $ -- $ -- $ 5,718,561
============ ============ ============== ============== ============ ==============
$ -- $ -- $ -- $ -- $ -- $ --
============ ============ ============== ============== ============ ==============
</Table>
See Notes to Financial Statements.
109
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
MONEY LOW-DURATION MEDIUM-DURATION
FOR THE SIX MONTHS ENDED JUNE 30, 2005 MARKET FUND BOND FUND BOND FUND
- -------------------------------------- ----------- ------------ ---------------
INVESTMENT INCOME
Dividends $ -- $ 3,062 $ 44,439
Income distributions received from affiliated funds -- 264,665 1,249,640
Interest 12,175,229 14,418,069 17,857,080
Securities Lending 13 70,806 220,451
Less foreign taxes withheld -- -- (533)
----------- ----------- -----------
Total Investment Income 12,175,242 14,756,602 19,371,077
----------- ----------- -----------
EXPENSES
Investment advisory fees 903,255 1,753,561 2,060,554
Transfer agent fees:
GS2 shares 2,646 2,208 2,202
GS4 shares 20,334 15,415 16,236
GS6 shares 6,073 4,826 5,351
GS8 shares 5,275 5,438 5,398
Custodian fees 11,446 49,758 83,634
Distribution fees:
GS6 shares 2,241 7,030 7,537
GS8 shares 7,458 7,392 7,510
Shareholder servicing fees:
GS4 shares 742,855 709,578 803,344
GS6 shares 6,683 21,086 22,606
GS8 shares 9,960 9,912 10,043
Accounting and administration fees 167,647 194,825 248,751
Professional fees 25,081 26,549 29,215
Blue sky fees:
GS2 shares 212 212 212
GS4 shares 4,124 5,258 4,801
GS6 shares 11,961 7,454 7,976
GS8 shares 5,629 7,297 6,726
Shareholder reporting fees:
GS2 shares 207 161 170
GS4 shares 7,511 3,355 5,045
GS6 shares 49 50 50
GS8 shares 19 19 19
Trustee fees 2,278 2,173 2,302
Line of credit facility fees 2,294 2,173 2,302
Other expenses 14,663 18,152 31,991
----------- ----------- -----------
Total expenses 1,959,901 2,853,882 3,363,975
Expenses waived net of amount recaptured (See Footnote 3c) (17,607) (260,644) (415,267)
Fees paid indirectly (6,546) (67,271) (64,686)
----------- ----------- -----------
Net expenses 1,935,748 2,525,967 2,884,022
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) 10,239,494 12,230,635 16,487,055
----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investment securities (2,021) (3,488,684) 11,201,110
Futures transactions -- (2,086,324) (3,211,454)
Swap agreements -- (208,744) (2,789,788)
Option contracts -- 98,062 237,254
Foreign currency transactions -- 499,350 2,885,644
----------- ----------- -----------
Net realized gain (loss) (2,021) (5,186,340) 8,322,766
----------- ----------- -----------
Net change in unrealized appreciation (depreciation) on:
Investment securities (net of estimated deferred capital
gains taxes of ($19,888) for International Equity) -- (802,195) (4,642,600)
Futures transactions -- (254,392) (173,498)
Swap agreements -- (224,496) 2,640,819
Option contracts -- 20,165 339,067
Foreign currency translations -- 545,069 1,664,127
----------- ----------- -----------
Net change in unrealized appreciation (depreciation) -- (715,849) (172,085)
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) (2,021) (5,902,189) 8,150,681
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $10,237,473 $ 6,328,446 $24,637,736
=========== =========== ===========
</Table>
See Notes to Financial Statements.
110
<Table>
<Caption>
EXTENDED-DURATION EQUITY INDEX VALUE EQUITY GROWTH EQUITY SMALL CAP INTERNATIONAL
BOND FUND FUND FUND FUND EQUITY FUND EQUITY FUND
----------------- ------------ ------------ ------------- ------------ -------------
$ 6,863 $ 4,009,055 $ 15,111,033 $ 5,500,364 $ 2,006,937 $ 21,138,764
126,635 93,968 485,540 631,248 519,366 404,807
12,864,944 14,660 61,120 60,611 271,958 23,239
81,869 20,235 93,495 68,493 128,120 211,272
-- -- (39,871) (190,597) (6,913) (1,638,439)
----------- ----------- ------------ ------------ ------------ ------------
13,080,311 4,137,918 15,711,317 6,070,119 2,919,468 20,139,643
----------- ----------- ------------ ------------ ------------ ------------
1,131,558 355,121 4,591,140 5,996,262 2,319,090 5,618,423
2,149 2,131 2,220 2,197 2,194 2,246
16,663 16,889 18,486 17,128 18,759 17,748
5,263 5,562 6,246 6,441 7,834 5,327
5,383 5,313 5,325 5,316 5,252 4,499
23,076 14,777 47,341 34,374 73,402 484,611
9,988 5,603 8,149 5,951 7,968 9,213
7,642 7,609 7,759 7,538 7,710 7,865
370,166 363,426 1,139,855 1,203,823 399,408 943,918
29,955 16,811 24,445 17,852 23,906 27,574
10,288 10,133 10,388 10,084 10,304 10,550
97,734 95,929 274,214 277,107 127,279 300,582
25,839 24,151 24,225 24,151 25,501 26,852
212 212 212 212 212 212
5,141 3,604 4,227 5,122 5,584 5,237
8,611 7,704 8,072 7,891 8,349 7,703
7,087 5,038 5,955 6,884 7,788 7,234
132 170 186 170 194 220
5,022 6,285 8,178 6,981 9,337 5,963
50 24 50 50 50 52
19 19 19 19 19 20
1,182 1,164 3,460 3,679 1,188 2,862
1,182 1,164 3,460 3,679 1,188 2,862
10,911 18,353 18,507 20,056 11,766 23,952
----------- ----------- ------------ ------------ ------------ ------------
1,775,253 967,192 6,212,119 7,662,967 3,074,282 7,515,725
(59,504) (86,915) (157,554) (611,568) (3,355) (909,260)
(1,218) (555) (69,166) (67,608) (26,550) (82,873)
----------- ----------- ------------ ------------ ------------ ------------
1,714,531 879,722 5,985,399 6,983,791 3,044,377 6,523,592
----------- ----------- ------------ ------------ ------------ ------------
11,365,780 3,258,196 9,725,918 (913,672) (124,909) 13,616,051
----------- ----------- ------------ ------------ ------------ ------------
2,656,715 2,319,486 65,161,822 17,142,805 30,719,880 47,369,790
-- 90,489 (287,506) 855,327 (3,591,811) --
-- -- -- -- -- --
-- -- -- 9,035 -- --
641,159 -- -- (1,123) -- (1,071,762)
----------- ----------- ------------ ------------ ------------ ------------
3,297,874 2,409,975 64,874,316 18,006,044 27,128,069 46,298,028
----------- ----------- ------------ ------------ ------------ ------------
14,161,272 (9,485,739) (48,850,913) (34,527,228) (21,818,676) (64,664,008)
-- (143,036) (793,065) (755,225) (3,144,653) --
-- -- -- -- -- --
-- -- -- -- -- --
(30,550) -- -- -- -- 2,600,078
----------- ----------- ------------ ------------ ------------ ------------
14,130,722 (9,628,775) (49,643,978) (35,282,453) (24,963,329) (62,063,930)
----------- ----------- ------------ ------------ ------------ ------------
17,428,596 (7,218,800) 15,230,338 (17,276,409) 2,164,740 (15,765,902)
----------- ----------- ------------ ------------ ------------ ------------
$28,794,376 $(3,960,604) $ 24,956,256 $(18,190,081) $ 2,039,831 $ (2,149,851)
=========== =========== ============ ============ ============ ============
</Table>
See Notes to Financial Statements.
111
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET FUND
------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR
06/30/05 ENDED 12/31/04
------------ --------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 10,239,494 $ 8,848,910
Net realized gain (loss) on investment securities, foreign
currency transactions and futures transactions (2,021) 6,557
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts -- --
------------ ------------
Net increase in net assets resulting from operations 10,237,473 8,855,467
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
GS2 shares (1,121,009) (721,686)
GS4 shares (9,034,859) (8,060,700)
GS6 shares (44,385) (59,113)
GS8 shares (39,863) (6,789)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS
GS2 shares -- --
GS4 shares -- --
GS6 shares -- --
GS8 shares -- --
------------ ------------
Total dividends and distributions (10,240,116) (8,848,288)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (19,188,213) (15,534,141)
------------ ------------
Total increase (decrease) in net assets (19,190,856) (15,526,962)
------------ ------------
NET ASSETS:
Beginning of the Period 908,943,250 924,470,212
------------ ------------
End of the Period $889,752,394 $908,943,250
============ ============
</Table>
See Notes to Financial Statements.
112
<Table>
<Caption>
LOW-DURATION BOND FUND MEDIUM-DURATION BOND FUND EXTENDED-DURATION BOND FUND
----------------------------- ------------------------------- -----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04
------------ -------------- -------------- -------------- ------------ --------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 12,230,635 $ 16,837,497 $ 16,487,055 $ 23,809,769 $ 11,365,780 $ 22,539,211
) 2,982,121 8,322,766 18,293,400 3,297,874 11,848,351
(5,186,340
) (9,010,994) (172,085) 499,348 14,130,722 2,010,009
(715,849
------------ ------------ -------------- ------------ ------------ ------------
6,328,446 10,808,624 24,637,736 42,602,517 28,794,376 36,397,571
------------ ------------ -------------- ------------ ------------ ------------
(1,655,704) (1,696,636) (1,716,241) (2,382,746) (1,748,792) (2,557,161)
(8,477,802) (14,809,918) (10,288,828) (24,210,880) (7,286,672) (19,518,971)
(189,513) (500,018) (242,790) (869,129) (553,182) (2,123,786)
(63,181) (51,135) (75,706) (103,998) (147,309) (109,063)
-- (306,325) -- (1,226,859) -- (1,098,229)
-- (2,934,690) -- (13,258,347) -- (8,199,186)
-- (81,975) -- (380,448) -- (820,490)
-- (25,524) -- (116,137) -- (173,104)
------------ ------------ -------------- ------------ ------------ ------------
(10,386,200) (20,406,221) (12,323,565) (42,548,544) (9,735,955) (34,599,990)
------------ ------------ -------------- ------------ ------------ ------------
500,193 76,888,505 106,824,634 116,850,176 (3,890,534) 17,016,596
------------ ------------ -------------- ------------ ------------ ------------
(3,557,561) 67,290,908 119,138,805 116,904,149 15,167,887 18,814,177
------------ ------------ -------------- ------------ ------------ ------------
870,733,973 803,443,065 927,808,362 810,904,213 460,906,107 442,091,930
------------ ------------ -------------- ------------ ------------ ------------
$867,176,412 $870,733,973 $1,046,947,167 $927,808,362 $476,073,994 $460,906,107
============ ============ ============== ============ ============ ============
</Table>
See Notes to Financial Statements.
113
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
EQUITY INDEX FUND
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
06/30/05 12/31/04
------------ ------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 3,258,196 $ 7,069,327
Net realized gain on investment securities, foreign
currency transactions and futures transactions 2,409,975 2,065,197
Net change in unrealized appreciation (depreciation) on
investment securities, foreign currency translations,
and futures contracts (9,628,775) 35,671,490
------------ ------------
Net increase (decrease) in net assets resulting from
operations (3,960,604) 44,806,014
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
GS2 shares (659,394) (971,702)
GS4 shares (2,352,229) (6,152,025)
GS6 shares (118,252) (402,551)
GS8 shares (43,963) (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 (3,173,838) (7,592,346)
------------ ------------
NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (4,866,204) 1,132,428
------------ ------------
Total increase (decrease) in net assets (12,000,646) 38,346,096
------------ ------------
NET ASSETS:
Beginning of the Period 470,817,380 432,471,284
------------ ------------
End of the Period $458,816,734 $470,817,380
============ ============
</Table>
See Notes to Financial Statements.
114
<Table>
<Caption>
VALUE EQUITY FUND GROWTH EQUITY FUND SMALL CAP EQUITY FUND
------------------------------- ------------------------------- ---------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
06/30/05 12/31/04 06/30/05 12/31/04 06/30/05 12/31/04
-------------- -------------- -------------- -------------- ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 9,725,918 $ 19,503,341 $ (913,672) $ (1,471,520) $ (124,909) $ (762,269)
64,874,316 89,662,443 18,006,044 20,737,950 27,128,069 46,964,658
(49,643,978) 108,014,932 (35,282,453) 147,012,085 (24,963,329) 15,042,600
-------------- -------------- -------------- -------------- ------------ ------------
24,956,256 217,180,716 (18,190,081) 166,278,515 2,039,831 61,244,989
-------------- -------------- -------------- -------------- ------------ ------------
(1,663,997) (1,737,298) -- -- -- --
(7,942,517) (17,360,065) -- -- 49 --
(126,191) (426,787) -- -- -- --
(39,561) (34,324) -- -- -- --
-- (272) -- -- -- (1,605,087)
-- (3,056) -- -- -- (18,720,278)
-- (65) -- -- -- (1,012,977)
-- (19) -- -- -- (305,972)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------------- -------------- -------------- -------------- ------------ ------------
(9,772,266) (19,561,886) -- -- 49 (21,644,314)
-------------- -------------- -------------- -------------- ------------ ------------
(16,006,640) (35,382,938) (34,683,177) (40,138,009) 52,005,831 39,424,877
-------------- -------------- -------------- -------------- ------------ ------------
(822,650) 162,235,892 (52,873,258) 126,140,506 54,045,711 79,025,552
-------------- -------------- -------------- -------------- ------------ ------------
1,404,023,257 1,241,787,365 1,509,010,139 1,382,869,633 484,662,773 405,637,221
-------------- -------------- -------------- -------------- ------------ ------------
$1,403,200,607 $1,404,023,257 $1,456,136,881 $1,509,010,139 $538,708,484 $484,662,773
============== ============== ============== ============== ============ ============
<Caption>
INTERNATIONAL EQUITY FUND
-------------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
06/30/05 12/31/04
-------------- --------------
(UNAUDITED)
$ 13,616,051 $ 13,088,489
46,298,028 49,035,542
(62,063,930) 124,495,429
-------------- --------------
(2,149,851) 186,619,460
-------------- --------------
-- (1,448,031)
-- (13,270,677)
-- (295,546)
83 (35,394)
-- --
-- --
-- --
-- --
-- --
-- --
-- --
-- --
-------------- --------------
83 (15,049,648)
-------------- --------------
(28,478,774) 21,694,555
-------------- --------------
(30,628,542) 193,264,367
-------------- --------------
1,184,752,474 991,488,107
-------------- --------------
$1,154,123,932 $1,184,752,474
============== ==============
</Table>
See Notes to Financial Statements.
115
FINANCIAL HIGHLIGHTS (UNAUDITED)
<Table>
<Caption>
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM NET NET ASSET
VALUE, GAIN FROM NET REALIZED VALUE,
BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL END OF TOTAL
OF PERIOD INCOME INVESTMENTS INCOME GAINS PERIOD RETURN (1)
MONEY MARKET FUND
- ---------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 1.25%
2004 1.00 0.01 --+ (0.01) -- 1.00 1.19
2003 1.00 0.01 --+ (0.01) --+ 1.00 1.04
2002 1.00 0.02 -- (0.02) --+ 1.00 1.80
2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.66
GS4 CLASS
2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 1.15%
2004 1.00 0.01 --+ (0.01) -- 1.00 0.99
2003 1.00 0.01 --+ (0.01) --+ 1.00 0.85
2002 1.00 0.02 -- (0.02) --+ 1.00 1.60
2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.94
GS6 CLASS
2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 0.99%
2004 1.00 0.01 --+ (0.01) -- 1.00 0.73
2003 1.00 0.01 --+ (0.01) --+ 1.00 0.57
2002 1.00 0.01 -- (0.01) --+ 1.00 1.38
2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.81
GS8 CLASS
2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 0.80%
2004 (4) 1.00 --+ --+ --+ -- 1.00 0.14
LOW-DURATION BOND FUND
- ---------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 9.32 $0.14# $(0.07) $(0.15) $ -- $ 9.24 0.80%
2004 9.51 0.21# (0.07) (0.28) (0.05) 9.32 1.47
2003 9.76 0.22# 0.03 (0.37) (0.13) 9.51 2.61
2002 9.85 0.37# 0.19 (0.50) (0.15) 9.76 5.89
2001 (3) 10.00 0.15 -- (0.22) (0.08) 9.85 1.54
GS4 CLASS
2005 (5) $12.87 $0.18# $(0.10) $(0.14) $ -- $12.81 0.66%
2004 13.00 0.27# (0.09) (0.26) (0.05) 12.87 1.38
2003 13.16 0.32# -- (0.35) (0.13) 13.00 2.45
2002 13.06 0.46# 0.27 (0.48) (0.15) 13.16 5.71
2001 (3) 13.10 0.21 0.05 (0.22) (0.08) 13.06 1.96
GS6 CLASS
2005 (5) $ 9.36 $0.12# $(0.07) $(0.13) $ -- $ 9.28 0.57%
2004 9.54 0.17# (0.06) (0.24) (0.05) 9.36 1.17
2003 9.79 0.21# -- (0.33) (0.13) 9.54 2.20
2002 9.86 0.33# 0.22 (0.47) (0.15) 9.79 5.70
2001 (3) 10.00 0.22 (0.06) (0.22) (0.08) 9.86 1.54
GS8 CLASS
2005 (5) $ 9.36 $0.10# $(0.06) $(0.12) $ -- $ 9.28 0.41%
2004 (4) 9.50 0.02# (0.01) (0.10) (0.05) 9.36 0.05
<Caption>
RATIOS TO AVERAGE NET ASSETS (2)
------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS EXCLUDING
NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO
END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER
(000) NET REDUCTION REDUCTION NET REDUCTION RATE (1)
MONEY MARKET FUND
- ---------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 91,973 0.27% 0.27% 0.26% 2.50% 2.51% N/A
2004 61,374 0.27 0.27 0.27 1.17 1.17 N/A
2003 63,373 0.27 0.27 0.28 0.91 0.90 N/A
2002 5,493 0.25 0.25 0.55 1.75 1.45 N/A
2001 (3) 25 0.25 0.25 90.37 2.60 (87.52) N/A
GS4 CLASS
2005 (5) $788,213 0.45% 0.45% 0.45% 2.31% 2.31% N/A
2004 838,087 0.46 0.46 0.45 0.98 0.99 N/A
2003 853,062 0.45 0.45 0.45 0.84 0.84 N/A
2002 906,302 0.45 0.44 0.50 1.58 1.52 N/A
2001 (3) 996,380 0.44 0.44 0.49 2.72 2.67 N/A
GS6 CLASS
2005 (5) $ 4,520 0.78% 0.78% 1.47% 1.99% 1.30% N/A
2004 4,476 0.72 0.72 1.09 0.68 0.31 N/A
2003 8,035 0.73 0.73 0.91 0.61 0.43 N/A
2002 16,538 0.65 0.65 0.77 1.35 1.23 N/A
2001 (3) 788 0.75 0.75 16.37 1.98 (13.64) N/A
GS8 CLASS
2005 (5) $ 5,047 1.17% 1.17% 1.39% 1.60% 1.38% N/A
2004 (4) 5,007 1.17 1.17 1.31 0.94 0.80 N/A
LOW-DURATION BOND FU
- ---------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $100,840 0.45% 0.45% 0.48% 3.00% 2.97% 117.57%
2004 59,777 0.45 0.45 0.49 2.22 2.18 288.76
2003 53,726 0.45 0.45 0.50 2.30 2.25 178.67
2002 6,320 0.46 0.45 0.78 3.71 3.38 181.96
2001 (3) 25 0.45 0.45 57.60 4.73 (52.42) 79.53
GS4 CLASS
2005 (5) $749,989 0.61% 0.61% 0.67% 2.82% 2.76% 117.57%
2004 789,866 0.61 0.61 0.67 2.06 2.00 288.76
2003 727,265 0.61 0.61 0.67 2.43 2.37 178.67
2002 763,987 0.62 0.61 0.72 3.50 3.39 181.96
2001 (3) 812,387 0.61 0.61 0.72 4.47 4.36 79.53
GS6 CLASS
2005 (5) $ 11,325 0.90% 0.90% 1.05% 2.49% 2.34% 117.57%
2004 16,087 0.85 0.85 0.90 1.82 1.77 288.76
2003 22,452 0.85 0.84 0.87 2.18 2.15 178.67
2002 20,985 0.79 0.79 0.93 3.35 3.21 181.96
2001 (3) 3,458 0.85 0.85 74.57 4.18 (69.54) 79.53
GS8 CLASS
2005 (5) $ 5,022 1.30% 1.30% 1.69% 2.13% 1.74% 117.57%
2004 (4) 5,004 1.30 1.30 1.53 1.35 1.12 288.76
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
(3) Inception date was August 27, 2001.
(4) Inception date was November 8, 2004.
(5) For the six months ended June 30, 2005.
See Notes to Financial Statements.
116
<Table>
<Caption>
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM NET NET ASSET
VALUE, GAIN FROM NET REALIZED RETURN VALUE,
BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL OF END OF TOTAL
OF PERIOD INCOME INVESTMENTS INCOME GAINS CAPITAL PERIOD RETURN (1)
MEDIUM-DURATION BOND FUND
- -------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 9.06 $0.16# $ 0.07 $(0.17) $ -- $-- $ 9.12 2.59%
2004 9.24 0.28# 0.21 (0.45) (0.22) -- 9.06 5.34
2003 9.47 0.28# 0.36 (0.58) (0.29) -- 9.24 6.80
2002 9.65 0.46# 0.40 (0.67) (0.37) -- 9.47 9.25
2001 (3) 10.00 0.16 (0.08) (0.23) (0.20) --+ 9.65 0.89
GS4 CLASS
2005 (5) $13.63 $0.23# $ 0.11 $(0.16) $ -- $-- $13.81 2.54%
2004 13.58 0.39# 0.31 (0.43) (0.22) -- 13.63 5.20
2003 13.54 0.46# 0.43 (0.56) (0.29) -- 13.58 6.62
2002 13.37 0.62# 0.57 (0.65) (0.37) -- 13.54 9.15
2001 (3) 13.60 0.22 (0.02) (0.23) (0.20) --+ 13.37 1.49
GS6 CLASS
2005 (5) $ 9.12 $0.14# $ 0.07 $(0.15) $ -- $-- $ 9.18 2.35%
2004 9.30 0.24# 0.21 (0.41) (0.22) -- 9.12 4.88
2003 9.53 0.29# 0.31 (0.54) (0.29) -- 9.30 6.33
2002 9.70 0.42# 0.41 (0.63) (0.37) -- 9.53 8.90
2001 (3) 10.00 0.17 (0.04) (0.23) (0.20) --+ 9.70 1.30
GS8 CLASS
2005 (5) $ 9.13 $0.12# $ 0.08 $(0.14) $ -- $-- $ 9.19 2.17%
2004 (4) 9.46 0.02# 0.07 (0.20) (0.22) -- 9.13 0.87
EXTENDED-DURATION BOND FUND
- -------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 8.90 $0.22# $ 0.33 $(0.29) $ -- $-- $ 9.16 6.34%
2004 9.23 0.47# 0.27 (0.76) (0.31) -- 8.90 8.49
2003 9.64 0.54# 0.51 (0.79) (0.67) -- 9.23 11.32
2002 9.84 0.65 0.29 (0.90) (0.24) -- 9.64 10.27
2001 (3) 10.00 0.24 (0.03) (0.33) (0.04) -- 9.84 2.13
GS4 CLASS
2005 (5) $14.93 $0.36# $ 0.56 $(0.28) $ -- $-- $15.57 6.23%
2004 14.78 0.75# 0.45 (0.74) (0.31) -- 14.93 8.37
2003 14.62 0.83# 0.77 (0.77) (0.67) -- 14.78 11.19
2002 14.37 0.90 0.47 (0.88) (0.24) -- 14.62 10.03
2001 (3) 14.38 0.32 0.03 (0.32) (0.04) -- 14.37 2.48
GS6 CLASS
2005 (5) $ 8.89 $0.20# $ 0.33 $(0.27) $ -- $-- $ 9.15 6.05%
2004 9.22 0.44# 0.27 (0.73) (0.31) -- 8.89 8.05
2003 9.63 0.52# 0.50 (0.76) (0.67) -- 9.22 10.95
2002 9.83 0.62 0.29 (0.87) (0.24) -- 9.63 9.93
2001 (3) 10.00 0.32 (0.13) (0.32) (0.04) -- 9.83 1.91
GS8 CLASS
2005 (5) $ 8.89 $0.18# $ 0.33 $(0.25) $ -- $-- $ 9.15 5.89%
2004 (4) 9.23 0.06# 0.11 (0.20) (0.31) -- 8.89 1.91
<Caption>
RATIOS TO AVERAGE NET ASSETS (2)
------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS EXCLUDING
NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO
END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER
(000) NET REDUCTION REDUCTION NET REDUCTION RATE (1)
MEDIUM-DURATION BOND
- -------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 95,226 0.50% 0.50% 0.52% 3.59% 3.57% 240.47%
2004 52,865 0.50 0.50 0.53 2.97 2.94 372.25
2003 46,521 0.50 0.50 0.55 2.96 2.91 457.74
2002 7,218 0.51 0.50 0.82 4.77 4.45 542.94
2001 (3) 25 0.52 0.50 92.28 4.99 (86.79) 247.20
GS4 CLASS
2005 (5) $933,342 0.62% 0.62% 0.71% 3.45% 3.36% 240.47%
2004 853,377 0.62 0.62 0.72 2.85 2.75 372.25
2003 741,743 0.62 0.62 0.71 3.37 3.28 457.74
2002 767,926 0.63 0.62 0.77 4.62 4.47 542.94
2001 (3) 827,774 0.64 0.62 0.77 4.62 4.47 247.20
GS6 CLASS
2005 (5) $ 13,227 0.95% 0.95% 1.09% 3.09% 2.95% 240.47%
2004 16,524 0.90 0.90 0.95 2.61 2.56 372.25
2003 22,640 0.90 0.90 0.96 3.03 2.97 457.74
2002 19,289 0.90 0.90 1.03 4.37 4.24 542.94
2001 (3) 123 0.92 0.90 58.64 4.49 (53.25) 247.20
GS8 CLASS
2005 (5) $ 5,152 1.35% 1.35% 1.70% 2.72% 2.37% 240.47%
2004 (4) 5,043 1.35 1.35 1.59 1.41 1.17 372.25
EXTENDED-DURATION BO
- -------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 56,645 0.56% 0.56% 0.56% 5.05% 5.05% 13.04%
2004 32,309 0.57 0.57 0.57 5.17 5.17 65.87
2003 29,004 0.59 0.59 0.60 5.49 5.48 121.20
2002 6,506 0.64 0.64 0.88 6.47 6.23 45.17
2001 (3) 26 0.66 0.65 90.75 6.62 (83.48) 21.95
GS4 CLASS
2005 (5) $398,810 0.73% 0.73% 0.76% 4.87% 4.84% 13.04%
2004 399,459 0.73 0.73 0.75 5.01 4.99 65.87
2003 385,110 0.73 0.73 0.75 5.46 5.44 121.20
2002 401,198 0.73 0.73 0.82 6.29 6.20 45.17
2001 (3) 404,278 0.74 0.73 0.84 6.32 6.21 21.95
GS6 CLASS
2005 (5) $ 15,225 1.08% 1.08% 1.09% 4.48% 4.47% 13.04%
2004 24,043 0.98 0.98 0.96 4.76 4.78 65.87
2003 27,978 0.93 0.93 0.94 5.25 5.24 121.20
2002 24,812 0.91 0.91 1.03 6.18 6.06 45.17
2001 (3) 8,553 1.06 1.05 28.96 6.14 (21.77) 21.95
GS8 CLASS
2005 (5) $ 5,393 1.50% 1.50% 1.74% 4.10% 3.86% 13.04%
2004 (4) 5,096 1.50 1.50 1.61 4.31 4.20 65.87
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
(3) Inception date was August 27, 2001.
(4) Inception date was November 8, 2004.
(5) For the six months ended June 30, 2005.
See Notes to Financial Statements.
117
FINANCIAL HIGHLIGHTS (UNAUDITED) CONTINUED
<Table>
<Caption>
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM NET EXCESS NET ASSET
VALUE, GAIN FROM NET REALIZED DISTRIBUTION/ VALUE,
BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL RETURN OF END OF
OF PERIOD INCOME INVESTMENTS INCOME GAINS CAPITAL PERIOD
EQUITY INDEX FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $ 9.78 $0.08# $(0.16) $(0.11) $ -- $-- $ 9.59
2004 9.08 0.16# 0.81 (0.27) -- --+ 9.78
2003 7.22 0.12# 1.91 (0.17) -- -- 9.08
2002 9.58 0.14 (2.29) (0.18) (0.03) -- 7.22
2001 (3) 10.00 0.03 (0.34) (0.06) (0.05) -- 9.58
GS4 CLASS
2005 (5) $16.47 $0.11# $(0.25) $(0.10) $ -- $-- $16.23
2004 15.12 0.25# 1.35 (0.25) -- -- 16.47
2003 11.93 0.18# 3.16 (0.15) -- -- 15.12
2002 15.64 0.17 (3.69) (0.16) (0.03) -- 11.93
2001 (3) 16.15 0.05 (0.46) (0.05) (0.05) -- 15.64
GS6 CLASS
2005 (5) $ 9.83 $0.06# $(0.14) $(0.10) $ -- $-- $ 9.65
2004 9.14 0.13# 0.81 (0.25) -- -- 9.83
2003 7.26 0.10# 1.93 (0.15) -- -- 9.14
2002 9.63 0.13 (2.31) (0.16) (0.03) -- 7.26
2001 (3) 10.00 0.02 (0.28) (0.06) (0.05) -- 9.63
GS8 CLASS
2005 (5) $ 9.84 $0.04# $(0.15) $(0.08) $ -- $-- $ 9.65
2004 (4) 9.55 0.04# 0.35 (0.10) -- -- 9.84
VALUE EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $11.44 $0.09# $ 0.13 $(0.13) $ -- $-- $11.53
2004 9.94 0.17# 1.59 (0.26) --+ -- 11.44
2003 7.77 0.14# 2.26 (0.23) -- -- 9.94
2002 9.64 0.16 (1.80) (0.23) -- --+ 7.77
2001 (3) 10.00 0.06 (0.35) (0.07) -- -- 9.64
GS4 CLASS
2005 (5) $17.74 $0.12# $ 0.20 $(0.12) $ -- $-- $17.94
2004 15.28 0.24# 2.45 (0.23) -- -- 17.74
2003 11.85 0.21# 3.43 (0.21) -- -- 15.28
2002 14.57 0.21 (2.73) (0.20) -- --+ 11.85
2001 (3) 15.21 0.06 (0.64) (0.06) -- -- 14.57
GS6 CLASS
2005 (5) $11.39 $0.06# $ 0.13 $(0.10) $ -- $-- $11.48
2004 9.90 0.12# 1.59 (0.22) -- -- 11.39
2003 7.75 0.11# 2.23 (0.19) -- -- 9.90
2002 9.61 0.15 (1.82) (0.19) -- --+ 7.75
2001 (3) 10.00 0.03 (0.35) (0.07) -- -- 9.61
GS8 CLASS
2005 (5) $11.39 $0.04# $ 0.13 $(0.09) $ -- $-- $11.47
2004 (4) 10.89 0.03# 0.54 (0.07) -- -- 11.39
<Caption>
RATIOS TO AVERAGE NET ASSETS (2)
------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS EXCLUDING
NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO
TOTAL END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER
RETURN (1) (000) NET REDUCTION REDUCTION NET REDUCTION RATE (1)
EQUITY INDEX FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) (0.78)% $ 56,835 0.23% 0.23% 0.23% 1.61% 1.61% 1.99%
2004 10.77 36,148 0.25 0.25 0.23 1.75 1.77 2.48
2003 28.19 33,009 0.25 0.25 0.28 1.46 1.43 1.87
2002 (22.57) 4,737 0.25 0.25 0.60 1.40 1.05 3.17
2001 (3) (3.14) 28 0.25 0.25 86.25 1.19 (84.81) 2.81
GS4 CLASS
2005 (5) (0.85)% $ 385,431 0.40% 0.40% 0.43% 1.42% 1.39% 1.99%
2004 10.60 417,962 0.40 0.40 0.41 1.60 1.59 2.48
2003 28.03 382,067 0.40 0.40 0.44 1.33 1.29 1.87
2002 (22.59) 295,261 0.40 0.40 0.51 1.21 1.10 3.17
2001 (3) (2.55) 401,471 0.40 0.40 0.53 0.98 0.85 2.81
GS6 CLASS
2005 (5) (0.80)% $ 11,402 0.51% 0.51% 0.86% 1.31% 0.96% 1.99%
2004 10.37 11,502 0.45 0.45 0.72 1.41 1.14 2.48
2003 28.09 17,395 0.45 0.45 0.73 1.28 1.00 1.87
2002 (22.71) 12,890 0.45 0.45 0.81 1.21 0.85 3.17
2001 (3) (2.65) 367 0.45 0.45 28.52 0.95 (27.12) 2.81
GS8 CLASS
2005 (5) (1.09)% $ 5,149 0.90% 0.90% 1.33% 0.92% 0.49% 1.99%
2004 (4) 4.11 5,205 0.90 0.90 1.27 3.18 2.81 2.48
VALUE EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) 1.95% $ 147,277 0.73% 0.72% 0.73% 1.61% 1.60% 27.91%
2004 17.83 75,123 0.75 0.74 0.74 1.64 1.64 55.50
2003 31.09 69,991 0.76 0.75 0.78 1.62 1.59 53.74
2002 (17.22) 5,265 0.76 0.72 1.06 1.77 1.43 70.42
2001 (3) (2.88) 77 0.76 0.76 81.37 1.60 (79.01) 21.09
GS4 CLASS
2005 (5) 1.79% $1,236,297 0.90% 0.89% 0.92% 1.33% 1.30% 27.91%
2004 17.71 1,305,669 0.90 0.89 0.92 1.49 1.46 55.50
2003 30.84 1,152,116 0.90 0.88 0.94 1.59 1.53 53.74
2002 (17.37) 938,583 0.90 0.87 0.98 1.57 1.46 70.42
2001 (3) (3.79) 1,159,209 0.90 0.90 1.00 1.29 1.19 21.09
GS6 CLASS
2005 (5) 1.69% $ 14,286 1.20% 1.19% 1.30% 1.11% 1.00% 27.91%
2004 17.35 17,968 1.15 1.14 1.22 1.20 1.12 55.50
2003 30.46 19,680 1.15 1.13 1.20 1.33 1.26 53.74
2002 (17.48) 13,987 1.15 1.11 1.29 1.38 1.20 70.42
2001 (3) (3.23) 168 1.15 1.15 65.50 1.12 (63.23) 21.09
GS8 CLASS
2005 (5) 1.46% $ 5,341 1.60% 1.59% 1.86% 0.71% 0.44% 27.91%
2004 (4) 5.28 5,262 1.60 1.59 1.79 1.71 1.51 55.50
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
(3) Inception date was August 27, 2001.
(4) Inception date was November 8, 2004.
(5) For the six months ended June 30, 2005.
See Notes to Financial Statements.
118
<Table>
<Caption>
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED FROM NET NET ASSET
VALUE, GAIN REALIZED VALUE, NET ASSETS,
BEGINNING NET INVESTMENT (LOSS) ON CAPITAL END OF TOTAL END OF PERIOD
OF PERIOD INCOME/(LOSS) INVESTMENTS GAINS PERIOD RETURN (1) (000)
GROWTH EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $10.29 $ --+,# $(0.11) $ -- $10.18 (1.07)% $ 158,198
2004 9.16 -- 1.13 -- 10.29 12.34 84,177
2003 7.07 (0.01) 2.10 -- 9.16 29.56 79,547
2002 9.83 0.01 (2.77) -- 7.07 (28.08) 4,553
2001 (3) 10.00 --+ (0.17) -- 9.83 (1.70) 29
GS4 CLASS
2005 (5) $16.33 $(0.01)# $(0.19) $ -- $16.13 (1.23)% $1,282,308
2004 14.55 (0.02) 1.80 -- 16.33 12.23 1,405,754
2003 11.23 (0.01) 3.33 -- 14.55 29.56 1,285,223
2002 15.63 (0.01) (4.39) -- 11.23 (28.15) 1,049,709
2001 (3) 15.93 (0.01) (0.29) -- 15.63 (1.88) 1,354,301
GS6 CLASS
2005 (5) $10.17 $(0.02)# $(0.12) $ -- $10.03 (1.38)% $ 10,413
2004 9.08 (0.07) 1.16 -- 10.17 12.00 13,780
2003 7.03 (0.02) 2.07 -- 9.08 29.16 18,099
2002 9.81 (0.02) (2.76) -- 7.03 (28.34) 12,503
2001 (3) 10.00 --+ (0.19) -- 9.81 (1.90) 309
GS8 CLASS
2005 (5) $10.16 $(0.04)# $(0.11) $ -- $10.01 (1.48)% $ 5,218
2004 (4) 9.59 --+ 0.57 -- 10.16 5.94 5,299
SMALL CAP EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $12.51 $ 0.01# $ 0.01 $ -- $12.53 0.16% $ 59,283
2004 11.52 (0.01) 1.74 (0.74) 12.51 15.04 28,639
2003 7.88 (0.03) 3.67 -- 11.52 46.19 25,415
2002 10.12 (0.01) (2.23) -- 7.88 (22.13) 4,869
2001 (3) 10.00 --+ 0.12 -- 10.12 1.20 81
GS4 CLASS
2005 (5) $16.48 $ --+# $ 0.02 $ -- $16.50 0.12% $ 459,356
2004 14.99 (0.02) 2.25 (0.74) 16.48 14.89 432,763
2003 10.25 (0.04) 4.78 -- 14.99 46.24 357,703
2002 13.18 (0.02) (2.91) -- 10.25 (22.23) 232,992
2001 (3) 13.07 (0.01) 0.12 -- 13.18 0.84 321,743
GS6 CLASS
2005 (5) $12.34 $(0.02)# $ 0.02 $ -- $12.34 --% $ 14,695
2004 11.41 (0.08) 1.75 (0.74) 12.34 14.66 17,875
2003 7.83 (0.04) 3.62 -- 11.41 45.72 22,520
2002 10.09 (0.04) (2.22) -- 7.83 (22.40) 12,878
2001 (3) 10.00 --+ 0.09 -- 10.09 0.90 115
GS8 CLASS
2005 (5) $12.34 $(0.04)# $ 0.01 $ -- $12.31 (0.24)% $ 5,374
2004 (4) 12.14 (0.01) 0.95 (0.74) 12.34 7.77 5,386
<Caption>
RATIOS TO AVERAGE NET ASSETS (2)
------------------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS INVESTMENT EXCLUDING
INCLUDING AND INCOME/ WAIVERS AND PORTFOLIO
EXPENSES, EXPENSE EXPENSE (LOSS), EXPENSE TURNOVER
NET REDUCTION REDUCTION NET REDUCTION RATE (1)
GROWTH EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) 0.87% 0.86% 0.89% (0.02)% (0.05)% 25.59%
2004 0.87 0.86 0.89 0.01 (0.02) 55.65
2003 0.81 0.79 0.85 (0.03) (0.09) 77.02
2002 0.78 0.75 1.14 0.09 (0.30) 41.41
2001 (3) 0.78 0.78 83.19 0.02 (82.39) 8.71
GS4 CLASS
2005 (5) 0.99% 0.98% 1.08% (0.13)% (0.23)% 25.59%
2004 0.99 0.98 1.08 (0.11) (0.21) 55.65
2003 0.92 0.90 1.01 (0.07) (0.18) 77.02
2002 0.90 0.88 1.02 (0.05) (0.19) 41.41
2001 (3) 0.90 0.90 1.05 (0.11) (0.26) 8.71
GS6 CLASS
2005 (5) 1.29% 1.28% 1.53% (0.45)% (0.70)% 25.59%
2004 1.24 1.23 1.44 (0.42) (0.63) 55.65
2003 1.17 1.15 1.33 (0.33) (0.51) 77.02
2002 1.15 1.12 1.36 (0.28) (0.52) 41.41
2001 (3) 1.15 1.15 47.77 (0.32) (46.94) 8.71
GS8 CLASS
2005 (5) 1.69% 1.68% 2.07% (0.83)% (1.22)% 25.59%
2004 (4) 1.69 1.67 1.97 0.30 -- 55.65
SMALL CAP EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) 1.11% 1.10% 1.05% 0.09% 0.14% 54.64%
2004 1.18 1.15 1.20 (0.10) (0.15) 148.32
2003 1.18 1.12 1.27 (0.26) (0.41) 130.80
2002 1.18 1.11 1.60 (0.12) (0.61) 160.46
2001 (3) 1.18 1.18 76.30 0.12 (75.00) 91.89
GS4 CLASS
2005 (5) 1.24% 1.23% 1.24% (0.05)% (0.06)% 54.64%
2004 1.25 1.22 1.37 (0.16) (0.31) 148.32
2003 1.25 1.19 1.43 (0.34) (0.58) 130.80
2002 1.25 1.19 1.51 (0.19) (0.51) 160.46
2001 (3) 1.25 1.25 1.52 (0.13) (0.40) 91.89
GS6 CLASS
2005 (5) 1.54% 1.53% 1.63% (0.35)% (0.45)% 54.64%
2004 1.50 1.47 1.69 (0.43) (0.65) 148.32
2003 1.50 1.44 1.70 (0.59) (0.85) 130.80
2002 1.50 1.43 1.82 (0.44) (0.83) 160.46
2001 (3) 1.50 1.50 123.38 (0.28) (122.16) 91.89
GS8 CLASS
2005 (5) 1.94% 1.93% 2.24% (0.75)% (1.06)% 54.64%
2004 (4) 1.95 1.91 2.19 (0.68) (0.96) 148.32
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
(3) Inception date was August 27, 2001.
(4) Inception date was November 8, 2004.
(5) For the six months ended June 30, 2005.
See Notes to Financial Statements.
119
FINANCIAL HIGHLIGHTS (UNAUDITED) CONTINUED
<Table>
<Caption>
REALIZED
AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE, GAIN FROM NET RETURN VALUE, NET ASSETS,
BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT OF END OF TOTAL END OF PERIOD
OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME CAPITAL PERIOD RETURN (1) (000)
INTERNATIONAL EQUITY FUND
- ---------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) $12.93 $ 0.16# $ 0.05 $(0.22) $-- $12.92 (0.08)% $ 150,818
2004 11.06 0.16 1.93 (0.22) -- 12.93 18.93 87,300
2003 8.26 0.08# 2.90 (0.18) -- 11.06 36.06 50,390
2002 9.50 0.11 (1.22) (0.13) --+ 8.26 (11.72) 5,416
2001 (3) 10.00 --+ (0.47) (0.03) -- 9.50 (4.69) 27
GS4 CLASS
2005 (5) $15.20 $ 0.17# $(0.01) $(0.19) $-- $15.17 (0.20)% $ 981,709
2004 12.96 0.17 2.26 (0.19) -- 15.20 18.80 1,072,556
2003 9.66 0.15# 3.31 (0.16) -- 12.96 35.81 920,664
2002 11.09 0.11 (1.43) (0.11) --+ 9.66 (11.94) 698,704
2001 (3) 11.66 0.01 (0.55) (0.03) -- 11.09 (4.61) 795,363
GS6 CLASS
2005 (5) $12.80 $ 0.13# $ --+ $(0.17) $-- $12.76 (0.31)% $ 16,280
2004 10.95 0.12 1.90 (0.17) -- 12.80 18.52 19,551
2003 8.19 0.10# 2.80 (0.14) -- 10.95 35.47 20,434
2002 9.43 0.06 (1.21) (0.09) --+ 8.19 (12.18) 14,078
2001 (3) 10.00 (0.01)# (0.53) (0.03) -- 9.43 (5.40) 51
GS8 CLASS
2005 (5) $12.80 $ 0.11# $(0.09) $(0.09) $-- $12.73 (0.55)% $ 5,318
2004 (4) 12.05 --+ 0.84 (0.09) -- 12.80 6.93 5,346
<Caption>
RATIOS TO AVERAGE NET ASSETS (2)
------------------------------------------------
INVESTMENT
EXPENSES, INCOME/
BEFORE (LOSS),
EXPENSES, WAIVERS INVESTMENT EXCLUDING
INCLUDING AND INCOME/ WAIVERS AND PORTFOLIO
EXPENSES, EXPENSE EXPENSE (LOSS), EXPENSE TURNOVER
NET REDUCTION REDUCTION NET REDUCTION RATE (1)
INTERNATIONAL EQUITY
- ---------------------------------------------------------------------------------------------------------------------------------
GS2 CLASS
2005 (5) 0.97% 0.96% 1.12% 2.54% 2.38% 16.05%
2004 0.97 0.95 1.13 1.32 1.14 32.65
2003 0.97 0.95 1.14 0.86 0.67 33.24
2002 0.96 0.93 1.43 1.29 0.79 30.13
2001 (3) 0.96 0.96 88.97 0.11 (87.90) 20.05
GS4 CLASS
2005 (5) 1.15% 1.14% 1.31% 2.32% 2.15% 16.05%
2004 1.15 1.13 1.31 1.22 1.04 32.65
2003 1.15 1.13 1.31 1.39 1.21 33.24
2002 1.15 1.12 1.35 1.00 0.77 30.13
2001 (3) 1.15 1.15 1.37 0.28 0.06 20.05
GS6 CLASS
2005 (5) 1.40% 1.39% 1.64% 1.98% 1.73% 16.05%
2004 1.35 1.33 1.58 1.06 0.81 32.65
2003 1.36 1.34 1.50 1.14 0.98 33.24
2002 1.37 1.34 1.64 0.88 0.58 30.13
2001 (3) 1.45 1.45 256.83 (0.32) (255.70) 20.05
GS8 CLASS
2005 (5) 1.80% 1.79% 2.25% 1.68% 1.22% 16.05%
2004 (4) 1.80 1.78 2.16 (0.37) (0.75) 32.65
</Table>
- ---------------
+ Amount represents less than $0.005 per share.
# Calculated using the average shares outstanding method.
(1) Non-annualized.
(2) Annualized.
(3) Inception date was August 27, 2001.
(4) Inception date was November 8, 2004.
(5) For the six months ended June 30, 2005.
See Notes to Financial Statements.
120
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF THE FUNDS
AB Funds Trust (the "Trust") was organized as a Delaware business trust on March
2, 2000. The Trust has established seventeen series (each a "Fund" and together,
the "Funds"). Each Fund is a diversified, open-end management investment company
and registered under the Investment Company Act of 1940, as amended (the "1940
Act").
The Flexible Income Fund, Growth & Income Fund, Capital Opportunities Fund and
Global Equity Fund are each referred to as a "Blended Fund" and together are
referred to as the "Blended Funds." The Flexible Income Fund I, Growth & Income
Fund I, Capital Opportunities Fund I and Global Equity Fund I are each referred
to as an "Institutional Blended Fund" and together are referred to as the
"Institutional Blended Funds." The remaining Funds are each referred to as a
"Select Fund" and are together referred to as the "Select Funds." The Low-
Duration Bond Fund, Medium-Duration Bond Fund and Extended-Duration Bond Fund
are together referred to as the "Bond Funds." The Equity Index Fund, Value
Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity
Fund are together referred to as the "Equity Funds." The Money Market Fund is
referred to as the "Money Market Fund."
There are four classes of shares issued by the Trust -- the GS2 Class, the GS4
Class, the GS6 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. The distribution fee (class specific expense) differs
among classes. Income, expenses (other than class specific expenses) and
realized and unrealized gains or losses on investments are allocated to each
class of shares based upon its relative net assets.
Each Fund is a separate mutual fund with its own investment objective,
strategies and risks. The Select Funds invest directly in particular types of
fixed income obligations, stocks and other investments. The Blended Funds and
Institutional Blended Funds primarily invest in a different mix of the Select
Funds to meet a specified investment strategy. The Blended Funds and
Institutional Blended Funds are commonly referred to as "Fund of Funds".
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally
accepted accounting principles in the United States of America which requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosures of contingent assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
A. VALUATION OF SECURITIES
The Funds (except the Money Market Fund) each value securities traded on
national securities exchanges or included in national market systems at the last
quoted sale price, or official close price, on the principal exchange on which
they were traded, or, in the absence of any sale, or official close price, at
the closing bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the closing values of such securities on their
respective exchanges, except that when an occurrence subsequent to the time when
the foreign security is valued is likely to have changed such value, then the
fair value of those securities will be determined through procedures established
by or under the direction of the Board of Trustees. Non-exchange traded
securities for which an over-the-counter quotation is readily available are
valued at the last quoted bid price. Debt securities, excluding asset-backed and
mortgage-backed securities, are valued at the mean of the last bid and asked
prices available. Asset-backed and mortgage-backed securities are valued at the
last bid price. Options and warrants for which the primary market is a national
securities exchange are valued at the last sale price on the exchange on which
they are traded, or, in the absence of any sale, at the closing bid price.
Options and warrants not traded on a national securities exchange are valued at
the last
121
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, which approximates market
value, to determine the value of its portfolio securities.
The Blended Funds and Institutional Blended Funds value their investments in the
underlying Select Funds daily at the closing net asset value of each respective
Select Fund.
B. REPURCHASE AGREEMENTS
Each Fund may agree to purchase securities from financial institutions subject
to the seller's agreement to repurchase them at a mutually agreed upon date and
price. It is the Fund's policy that repurchase agreements are fully
collateralized by U.S. Treasury and Government Agency securities. All collateral
is held by the Fund's custodian bank or a bank with which the custodian bank has
entered into a subcustodian agreement, or is segregated in the Federal Reserve
Book Entry System. In connection with transactions in repurchase agreements, if
the seller defaults and the value of the collateral declines, or if the seller
enters an insolvency proceeding, realization of the collateral by the Fund may
be delayed or limited.
C. DERIVATIVE FINANCIAL INSTRUMENTS
The Funds may engage in various portfolio strategies to seek to increase its
return by hedging its portfolio against adverse movements in the equity, debt
and currency markets. Losses may arise due to changes in the value of
122
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 Statement of Assets and Liabilities, associated with
123
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
124
taxes is thus required. Each Fund is treated as a separate entity for federal
income tax purposes.
Net investment income (loss) and net realized gains (losses) may differ for
financial statement and tax purposes primarily because of deferred losses on
certain futures contracts and losses deferred due to "wash sale" transactions.
The character of distributions made during the year from net investment income
or net realized gains may differ from their ultimate characterization for
federal income tax purposes. Also, due to the timing of dividend distributions,
the fiscal year in which amounts are distributed may differ from the year that
the income or realized gains (losses) were recorded by the Funds.
F. DIVIDENDS TO SHAREHOLDERS
The Money Market Fund declares a dividend daily and payable monthly equal to its
net investment income for that day. The Bond Funds declare and pay dividends
from net investment income monthly. The Equity Index Fund, Value Equity Fund and
Growth Equity Fund declare and pay dividends from net investment income
semi-annually. The Small Cap Equity Fund, International Equity Fund, the Blended
Funds and the Institutional Blended Funds declare and pay dividends from net
investment income annually. The Funds declare and pay distributions from capital
gains, if available, annually. Dividends and 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 six months ended June 30, 2005, based upon average daily net assets,
were as follows:
<Table>
<Caption>
FUND ADVISORY FEES SUB-ADVISER FEES
- ---- ------------- ----------------
Flexible Income 0.10% --
Growth & Income 0.10% --
Capital Opportunities 0.10% --
Global Equity 0.10% --
Flexible Income I 0.10% --
Growth & Income I 0.10% --
Capital Opportunities I 0.10% --
Global Equity I 0.10% --
Money Market 0.14% 0.07%
Low-Duration Bond 0.20% 0.21%
Medium-Duration Bond 0.23% 0.20%
Extended-Duration Bond 0.27% 0.21%
Equity Index 0.14% 0.02%
Value Equity 0.43% 0.24%
</Table>
125
<Table>
<Caption>
FUND ADVISORY FEES SUB-ADVISER FEES
- ---- ------------- ----------------
Growth Equity 0.48% 0.36%
Small Cap Equity 0.30% 0.64%
International Equity 0.47% 0.49%
</Table>
For the six months ended June 30, 2005, advisory fees and waivers for each Fund
were as follows:
<Table>
<Caption>
GROSS NET ADVISORY FEE
ADVISORY FEE WAIVERS (REIMBURSEMENT)
------------ --------- ----------------
Flexible Income $ 130,528 $ (77,440) $ 53,088
Growth & Income 598,995 (31,029) 567,966
Capital Opportunities 483,666 (36,674) 446,992
Global Equity 431,823 (43,700) 388,123
Flexible Income I 25,234 (28,551) (3,317)
Growth & Income I 106,400 (2,832) 103,568
Capital Opportunities
I 69,555 (16,779) 52,776
Global Equity I 53,575 (17,199) 36,376
Money Market 616,674 (17,607) 599,067
Low-Duration Bond 863,616 (260,644) 602,972
Medium-Duration Bond 1,097,524 (415,267) 682,257
Extended-Duration
Bond 630,768 (59,504) 571,264
Equity Index 317,808 (86,915) 230,893
Value Equity 2,930,515 (157,554) 2,772,961
Growth Equity 3,445,697 (611,568) 2,834,129
Small Cap Equity 743,469 (3,355) 740,114
International Equity 2,737,902 (909,260) 1,828,642
</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. 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.
Under the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be
used to compensate GuideStone Financial Resources, 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.
C. EXPENSE LIMITATION
SBCFS has agreed, through April 30, 2006, 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
FUND CLASS CLASS CLASS CLASS
- ---- ----- ----- ----- -----
Flexible Income -- 0.13% 0.50% 0.80%
Growth & Income -- 0.13% 0.60% 0.90%
Capital Opportunities -- 0.13% 0.70% 1.00%
Global Equity -- 0.13% 0.57% 0.87%
Flexible Income I 0.17% -- -- --
Growth & Income I 0.17% -- -- --
Capital Opportunities I 0.17% -- -- --
Global Equity I 0.17% -- -- --
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%
Small Cap Equity 1.14% 1.21% 1.61% 1.91%
International Equity 0.97% 1.15% 1.50% 1.80%
</Table>
During the period January 1, 2005 through April 18, 2005, 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
126
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>
During the period April 19, 2005 through April 30, 2005 the expense caps for the
Small Cap Equity Fund were as follows:
<Table>
<Caption>
GS2 GS4 GS6 GS8
CLASS CLASS CLASS CLASS
------ ------ ------ ------
Small Cap Equity 1.18% 1.25% 1.65% 1.95%
</Table>
Each Fund in turn agrees to reimburse SBCFS for any operating expenses in excess
of the expense limitation paid, waived or assumed by SBCFS for that Fund during
the limitation period, provided SBCFS would not be entitled to reimbursement for
any amount that would cause operating expenses to exceed the expense limitation
during the year in which the reimbursement would be made, and provided further
that no amount will be reimbursed by the Fund more than three years after the
year in which it was incurred or waived by SBCFS.
At June 30, 2005, the amounts subject to possible future reimbursement 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 3,730 -- 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
</Table>
<Table>
<Caption>
GS2 GS4 GS6 GS8
CLASS CLASS CLASS CLASS
-------- ---------- -------- ------
Value Equity -- $ 927,477 $ 21,533 $1,378
Growth Equity $ 27,888 3,081,853 66,430 1,991
Small Cap Equity -- 1,325,994 91,046 1,606
International Equity 145,167 3,817,586 89,641 2,554
</Table>
During the six months ended June 30, 2005, SBCFS received the following
reimbursements:
<Table>
<Caption>
GS2 GS4
CLASS CLASS
------- -------
Money Market $ 3,290 --
Small Cap Equity 22,666 $32,176
</Table>
D. BROKERAGE SERVICE AND OTHER ARRANGEMENTS
The Investment Advisor directs the sub-advisers to place security trades with
designated brokers who have agreed to pay certain custody, transfer agency or
other operating expenses through the use of Brokerage Service Arrangements on
behalf of the Equity Funds. The amount of expenses paid through Brokerage
Service Arrangements for the six months ended June 30, 2005 were as follows:
<Table>
<Caption>
EXPENSES PAID
THROUGH BROKERAGE
FUND SERVICE ARRANGEMENTS
- ---- --------------------
Value Equity $68,029
Growth Equity 65,411
Small Cap Equity 21,583
International Equity 80,957
</Table>
In addition, the Funds have entered into arrangements with its custodian whereby
interest earned on uninvested cash balances was used to offset a portion of each
Fund's expenses. During the six months ended June 30, 2005, expenses reduced
were as follows:
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Flexible Income $ 376
Growth & Income 352
Capital Opportunities 302
Global Equity 195
Flexible Income I 286
Growth & Income I 339
Capital Opportunities I 329
Global Equity I 321
Money Market 6,546
Low-Duration Bond 67,271
Medium-Duration Bond 64,686
Extended-Duration Bond 1,218
Equity Index 555
</Table>
127
<Table>
<Caption>
REDUCTION TO
FUND EXPENSES
- ---- ------------
Value Equity $ 1,137
Growth Equity 2,197
Small Cap Equity 4,967
International Equity 1,916
</Table>
E. ADMINISTRATOR, TRANSFER AGENT AND DISTRIBUTOR
Certain employees of PFPC Inc. ("PFPC"), an indirect, wholly-owned subsidiary of
The PNC Financial Services Group, Inc., are officers of the Funds. PFPC serves
as Administrator and Transfer agent of the Funds.
For its services as Administrator, PFPC is entitled to receive fees, computed
daily and paid monthly, based upon the average daily net assets of each Fund.
The fees currently range between .008% and .0375% of average net assets,
excluding out of pocket expenses. For its services as Transfer Agent, PFPC
receives a fee based mainly upon the number of accounts serviced. Certain
minimum fees and transaction charges may apply. For the six months ended June
30, 2005, PFPC received $2,613,725 in aggregate fees and expenses for services
rendered under the various agreements described above.
PFPC Distributors, Inc. ("PDI"), also an indirect, whollyowned subsidiary of The
PNC Financial Services Group, Inc., serves as the Distributor for the Funds. The
Funds do not pay any fees to PDI in its capacity as distributor.
4. SECURITIES LENDING
Through an agreement with Northern Trust (the Funds' custodian) the Select Funds
may lend portfolio securities to certain brokers, dealers and other financial
institutions that pay the Select Funds a negotiated fee. The Select Funds
receive cash, letters of credit or U.S. Government securities as collateral
against the loaned securities in an amount at least equal to the market value of
the loaned Securities. The Funds continue to own the loaned securities and the
securities remain in the investment portfolio. However, in the event of default
or bankruptcy by the other party to the agreement, realization and/or retention
of the collateral may be subject to legal proceedings. Cash collateral has been
invested in a short-term money market fund of Northern Trust. At June 30, 2005,
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 $121,100,000 $123,742,618
Medium-Duration Bond 267,521,649 274,491,660
Extended-Duration Bond 243,828,757 247,854,652
Equity Index 37,662,289 38,824,887
Value Equity 168,426,256 172,875,502
Growth Equity 124,522,318 128,207,185
Small Cap Equity 199,734,379 205,368,309
International Equity 177,594,718 186,366,831
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2005, 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 $ 2,000,000 $ 25,359,000
Growth & Income 28,900,000 143,883,000
Capital Opportunities 26,100,000 89,674,000
Global Equity 26,500,000 91,005,000
Flexible Income I 22,321,000 2,595,000
Growth & Income I 102,307,000 7,798,000
Capital Opportunities
I 76,508,000 4,162,000
Global Equity I 80,053,000 3,646,000
Low-Duration Bond 306,400,587 141,045,286
Medium-Duration Bond 272,048,653 213,411,997
Extended-Duration Bond 14,020,807 11,021,506
Equity Index 8,918,106 16,100,400
Value Equity 371,223,777 398,055,328
Growth Equity 358,796,980 386,470,272
Small Cap Equity 392,083,090 238,391,237
International Equity 181,868,226 204,925,612
</Table>
For the six months ended June 30, 2005, 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 $ 6,406,703 $ 6,866,743
Growth & Income 19,503,096 18,173,888
Capital Opportunities 7,194,343 7,911,628
Flexible Income I 1,885,376 1,735,161
Growth & Income I 5,473,937 4,434,273
Capital Opportunities
I 2,503,376 2,119,711
Low-Duration Bond 679,003,865 718,970,490
Medium-Duration Bond 2,032,153,758 1,834,864,160
Extended-Duration Bond 53,320,848 48,656,868
</Table>
128
FUTURES CONTRACTS
Investments in securities as of June 30, 2005 included securities that were
valued and pledged as collateral to cover initial margin deposits. The market
value of this collateral and open futures contracts is as follows:
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
FLEXIBLE INCOME FUND
September 2005 S&P 500(R) $ 89,919 3 $ 896,625 $ (9,093)
=========
GROWTH & INCOME FUND
September 2005 S&P 500(R) $ 804,275 42 12,552,750 $(127,152)
=========
CAPITAL OPPORTUNITIES FUND
September 2005 S&P 500(R) $ 909,181 38 11,357,250 $ (88,816)
=========
GLOBAL EQUITY FUND
September 2005 S&P 500(R) $1,293,834 31 9,265,125 $ (65,124)
=========
FLEXIBLE INCOME FUND I
September 2005 S&P 500(R) E-Mini $ 19,982 3 179,325 $ (1,289)
=========
GROWTH & INCOME FUND I
September 2005 S&P 500(R) E-Mini $ 154,860 39 2,331,225 $ (20,035)
=========
CAPITAL OPPORTUNITIES FUND I
September 2005 S&P 500(R) E-Mini $ 184,833 35 2,092,125 $ (16,274)
=========
GLOBAL EQUITY FUND I
September 2005 S&P 500(R) E-Mini $ 234,788 31 1,853,025 $ (14,842)
=========
LOW-DURATION BOND FUND
December 2005 90-Day Euro $ 265,062 123 29,529,225 $ (53,613)
December 2006 90-Day Euro 131,834 61 14,633,138 (12,200)
March 2006 90-Day Euro 142,408 180 43,204,500 (63,000)
September 2005 2-Year U.S. Treasury Note 1,785,787 805 167,188,438 (29,554)
September 2005 5-Year U.S. Treasury Note 251,170 (114) 12,413,531 (38,792)
September 2005 10-Year U.S. Treasury
Note 255,046 (236) 26,778,625 (410,838)
September 2005 90-Day Euro 115,150 74 17,787,750 (158,275)
September 2005 Euro-Bobl 232,186 (82) 11,475,277 (66,309)
September 2005 Euro Bund 86,174 64 9,565,070 65,465
September 2005 U.S. Long Treasury Bond 11,768 11 1,306,250 8,938
---------
$(758,178)
=========
MEDIUM-DURATION BOND FUND
December 2005 90-Day Euro $ 244,825 160 38,412,000 $ (83,700)
June 2005 90-Day Euro 416,050 272 65,276,600 47,600
March 2006 90-Day Euro 19,086 16 3,840,400 18,920
September 2005 2-Year U.S. Treasury Note 52,642 (127) 26,376,313 (22,047)
September 2005 5-Year U.S. Treasury Note 415,780 (405) 44,100,703 (118,228)
September 2005 10-Year U.S. Treasury
Note 78,383 (139) 15,772,156 8,399
September 2005 10-Year Swap 31,539 140 15,802,500 268,126
September 2005 90-Day LIBOR 141,372 (133) 28,446,549 (134,515)
</Table>
129
<Table>
<Caption>
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN
COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES
--------------- ---------------- ---------------- -------------------
September 2005 Euro-Bobl $ 33,383 48 $ 6,717,235 $ 40,304
September 2005 U.S. Long Treasury Bond 106,121 (163) 22,206,250 (375,424)
---------
$(350,565)
=========
EQUITY INDEX FUND
September 2005 S&P 500(R) $1,163,951 23 6,874,125 $ (40,263)
=========
VALUE EQUITY FUND
September 2005 Russell 2000(R) $ 264,761 5 1,620,250 $ 2,095
September 2005 S&P 500(R) $4,580,873 145 43,336,875 (453,207)
---------
$(451,112)
=========
GROWTH EQUITY FUND
September 2005 S&P 500(R) $4,810,666 184 54,993,000 $(490,154)
=========
SMALL CAP EQUITY FUND
September 2005 Russell 2000(R) $1,030,437 37 11,897,350 $ 141,253
September 2005 S&P 500(R) $ 957,772 37 11,058,375 (84,197)
---------
$ 57,056
=========
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
As of June 30, 2005, 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
7/13/2005 US Dollars 330,735 Japanese Yen 36,634,000 $ (13,257)
7/14/2005 British Pounds 56,000 European Euros 84,106 1,550
7/19/2005 British Pounds 6,254,000 US Dollars 11,196,946 172,200
7/26/2005 European Euros 170,000 US Dollars 205,910 (1,102)
7/26/2005 European Euros 4,214,000 US Dollars 5,104,149 (1,071)
7/26/2005 European Euros 2,308,339 US Dollars 2,795,943 233,336
7/27/2005 New Zealand Dollars 4,342,516 US Dollars 3,013,207 115,055
-----------
$ 506,711
===========
MEDIUM-DURATION BOND
FUND
7/13/2005 US Dollars 1,549,173 Japanese Yen 171,594,800 $ (27,058)
7/14/2005 British Pounds 619,478 European Euros 930,290 17,141
7/15/2005 Mexican Pesos 4,702,558 US Dollars 436,370 (8,289)
7/15/2005 Mexican Pesos 28,439,874 US Dollars 2,639,056 (123,745)
7/19/2005 US Dollars 952,474 British Pounds 532,000 (19,154)
7/20/2005 US Dollars 61,806 South African 412,174 (5,601)
Rands
</Table>
130
<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)
- -------------------- ------------------- -------------------- ------------------ -------------------- --------------
MEDIUM-DURATION BOND
FUND
7/20/2005 British Pounds 115,996 US Dollars 207,829 $ 4,965
7/21/2005 Israeli Shekels 4,890,585 US Dollars 1,068,090 49,757
7/26/2005 European Euros 12,955,000 US Dollars 15,691,563 6,659
7/26/2005 European Euros 11,341,000 US Dollars 13,736,628 51,590
7/26/2005 European Euros 13,951,000 US Dollars 16,897,954 (3,544)
7/29/2005 European Euros 5,237,285 US Dollars 6,344,254 (4,699)
8/10/2005 Australian Dollars 2,406,065 US Dollars 1,827,295 32,593
8/10/2005 Canadian Dollars 1,186,818 US Dollars 969,560 (12,448)
8/10/2005 European Euros 4,964,624 US Dollars 6,016,957 391,032
8/10/2005 European Euros 12,301,622 US Dollars 14,909,153 1,113,340
9/8/2005 Polish Zloty 11,764,665 US Dollars 3,512,032 (16,781)
-----------
$ 1,445,758
===========
INTERNATIONAL EQUITY
7/7/2005 Swiss Francs 669,068 US Dollars 522,318 $ 34,682
7/7/2005 European Euros 995,029 US Dollars 1,204,414 76,586
7/7/2005 Japanese Yen 144,937,200 US Dollars 1,307,756 39,244
7/20/2005 Japanese Yen 138,929,887 US Dollars 1,255,110 45,890
7/29/2005 Canadian Dollars 1,155,472 US Dollars 943,650 (19,257)
7/29/2005 British Pounds 12,027,500 US Dollars 21,525,239 1,303,557
8/18/2005 Swiss Francs 758,210 US Dollars 593,846 30,154
9/20/2005 Swiss Francs 1,334,137 US Dollars 1,047,682 53,318
9/28/2005 Swiss Francs 755,569 British Pounds 755,569 (16,098)
9/28/2005 Swiss Francs 530,250 British Pounds 530,250 (7,922)
-----------
$ 1,540,154
===========
</Table>
OPTIONS WRITTEN
Transactions in options written for the six months ended June 30, 2005, were as
follows:
<Table>
<Caption>
NUMBER OF PREMIUMS
LOW-DURATION BOND FUND CONTRACTS RECEIVED
- ---------------------- --------- ----------
Options written, 12/31/04 1,280 $ 184,960
------ ----------
Options written 375 98,063
Options expired (320) (88,800)
Options closed (30) (9,263)
------ ----------
Options written, 06/30/05 1,305 $ 184,960
====== ==========
</Table>
<Table>
<Caption>
NUMBER OF PREMIUMS
MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED
- ------------------------- --------- ----------
Options written, 12/31/04 6,892 $1,714,774
------ ----------
Options written 460 143,491
Options expired (1,527) (508,200)
Options closed (1,035) (284,533)
------ ----------
Options written, 06/30/05 4,790 $1,065,532
====== ==========
</Table>
131
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock for the six months ended June 30, 2005
and the year ended December 31, 2004, are as follows:
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 994,478 $ 13,048,181 3,644,007 $ 48,024,107
GS6 -- -- 1,668,753 15,945,619
GS8 -- -- 539,068 5,135,729
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 -- 1 657,290 8,677,858
GS6 -- -- 69,167 655,380
GS8 -- -- 14,409 135,729
SHARES REDEEMED:
GS4 (2,798,907) (36,754,730) (3,266,256) (43,073,535)
GS6 -- -- (2,574,088) (24,578,758)
GS8 -- -- (14,409) (135,729)
--------------- ----------------- --------------- ----------------
Net increase (decrease) (1,804,429) $ (23,706,548) 737,941 $ 10,786,400
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
GROWTH & INCOME FUND SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 3,379,299 $ 48,025,954 11,023,584 $ 153,845,536
GS6 -- -- 1,990,264 19,362,637
GS8 646 6,313 532,427 5,185,267
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 1 19 3,025,333 43,069,121
GS6 -- -- 77,679 755,405
GS8 -- -- 19,080 185,267
SHARES REDEEMED:
GS4 (11,384,508) (162,300,266) (7,586,229) (105,690,796)
GS6 -- -- (3,159,144) (30,905,541)
GS8 -- -- (19,080) (185,267)
--------------- ----------------- --------------- ----------------
Net increase (decrease) (8,004,562) $ (114,267,980) 5,903,914 $ 85,621,629
=============== ================= =============== ================
</Table>
132
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE
- -------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 1,734,643 $ 25,818,705 6,104,598 $ 87,587,097
GS6 -- -- 1,021,152 10,493,516
GS8 402 4,275 497,277 5,129,834
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 42 16 1,500,625 22,372,401
GS6 -- -- 22,673 237,515
GS8 -- -- 10,462 110,475
SHARES REDEEMED:
GS4 (6,260,100) (93,366,171) (4,253,158) (60,847,320)
GS6 -- -- (1,782,715) (18,445,454)
GS8 -- -- (12,311) (129,741)
--------------- ----------------- --------------- ----------------
Net increase (decrease) (4,525,013) $ (67,543,175) 3,108,603 $ 46,508,323
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS4 2,629,259 $ 40,204,492 5,337,749 $ 76,650,981
GS6 -- -- 1,360,945 14,911,322
GS8 -- -- 463,434 5,019,253
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS4 -- -- 765,384 11,723,725
GS6 -- -- 19,329 216,268
GS8 -- -- 5,003 56,833
SHARES REDEEMED:
GS4 (7,110,759) (109,299,525) (4,618,460) (65,903,638)
GS6 -- -- (2,013,639) (22,021,876)
GS8 -- -- (1,753) (19,358)
--------------- ----------------- --------------- ----------------
Net increase (decrease) (4,481,500) $ (69,095,033) 1,317,992 $ 20,633,510
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
FLEXIBLE INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 2,220,760 $ 22,846,289 607,864 $ 6,337,762
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS -- -- 138,826 1,439,169
SHARES REDEEMED (263,279) (2,699,902) (474,127) (4,942,846)
--------------- ----------------- --------------- ----------------
Net increase 1,957,481 $ 20,146,387 272,563 $ 2,834,085
=============== ================= =============== ================
</Table>
133
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
GROWTH & INCOME FUND I SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 9,187,089 $ 102,695,348 4,579,968 $ 50,049,807
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS -- -- 443,757 4,971,999
SHARES REDEEMED (483,313) (5,385,714) (921,092) (10,194,902)
--------------- ----------------- --------------- ----------------
Net increase 8,703,776 $ 97,309,634 4,102,633 $ 44,826,904
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
CAPITAL OPPORTUNITIES FUND I SHARES VALUE SHARES VALUE
- ---------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 6,463,211 $ 78,167,808 1,014,142 $ 11,750,036
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS -- -- 170,884 2,062,459
SHARES REDEEMED (315,036) (3,789,150) (557,933) (6,492,871)
--------------- ----------------- --------------- ----------------
Net increase 6,148,175 $ 74,378,658 627,093 $ 7,319,624
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
GLOBAL EQUITY FUND I SHARES VALUE SHARES VALUE
- -------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD 6,233,896 $ 81,367,500 648,062 $ 7,880,313
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS -- -- 49,042 636,392
SHARES REDEEMED (242,242) (3,125,116) (358,584) (4,359,088)
--------------- ----------------- --------------- ----------------
Net increase 5,991,654 $ 78,242,384 338,520 $ 4,157,617
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
MONEY MARKET FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 64,737,931 $ 64,737,931 45,386,513 $ 45,386,512
GS4 1,283,958,640 1,283,958,640 2,724,683,827 2,724,683,826
GS6 43,984 43,984 11,500,548 11,500,547
GS8 23,420 23,421 5,004,597 5,004,598
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 1,026,830 1,026,830 680,196 680,196
GS4 4,647,539 4,647,539 4,564,114 4,564,114
GS6 44,387 44,387 56,965 56,965
GS8 39,863 39,863 6,789 6,789
SHARES REDEEMED:
GS2 (35,165,730) (35,165,730) (48,066,537) (48,066,537)
GS4 (1,338,476,977) (1,338,476,977) (2,744,229,998) (2,744,229,998)
GS6 (44,371) (44,371) (15,116,865) (15,116,865)
GS8 (23,730) (23,730) (4,288) (4,288)
--------------- ----------------- --------------- ----------------
Net decrease (19,188,214) $ (19,188,213) (15,534,139) $ (15,534,141)
=============== ================= =============== ================
</Table>
134
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ---------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 4,720,805 $ 43,963,597 1,522,844 $ 14,462,701
GS4 4,742,995 60,791,238 11,341,798 147,272,390
GS6 51,025 474,942 1,397,602 13,279,997
GS8 -- -- 526,316 5,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 176,569 1,632,560 212,603 2,002,962
GS4 662,375 8,477,125 1,370,322 17,743,865
GS6 20,405 189,513 61,346 580,489
GS8 6,804 63,181 8,159 76,659
SHARES REDEEMED:
GS2 (398,565) (3,696,602) (972,228) (9,242,437)
GS4 (8,267,267) (106,091,176) (7,254,656) (94,413,598)
GS6 (569,745) (5,304,185) (2,092,389) (19,874,523)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 1,145,401 $ 500,193 6,121,717 $ 76,888,505
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE
- ------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 4,692,749 $ 42,505,856 2,017,679 $ 18,782,002
GS4 8,854,468 121,261,600 14,384,711 198,015,923
GS6 62,271 565,914 1,738,376 16,453,300
GS8 -- -- 528,541 5,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 185,225 1,673,245 392,757 3,609,605
GS4 754,165 10,287,183 2,735,238 37,465,253
GS6 26,695 242,791 134,574 1,246,004
GS8 8,319 75,706 23,875 220,135
SHARES REDEEMED:
GS2 (272,662) (2,466,844) (1,610,530) (14,975,756)
GS4 (4,632,652) (63,140,683) (9,138,068) (125,341,747)
GS6 (459,868) (4,180,134) (2,496,490) (23,624,543)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 9,218,710 $ 106,824,634 8,710,663 $ 116,850,176
=============== ================= =============== ================
</Table>
135
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE
- --------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 2,811,240 $ 25,043,779 1,592,764 $ 14,752,906
GS4 3,358,768 50,781,780 8,519,523 127,568,248
GS6 102,426 915,722 2,077,487 19,302,731
GS8 -- -- 541,712 5,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 192,503 1,718,661 404,013 3,655,389
GS4 523,857 7,918,030 1,861,952 27,717,147
GS6 62,029 553,182 325,052 2,941,873
GS8 16,512 147,309 31,449 282,167
SHARES REDEEMED:
GS2 (449,039) (4,030,484) (1,508,800) (13,937,947)
GS4 (5,026,220) (76,221,594) (9,670,332) (144,941,440)
GS6 (1,204,900) (10,716,919) (2,731,351) (25,324,478)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase(decrease) 387,176 $ (3,890,534) 1,443,469 $ 17,016,596
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
EQUITY INDEX FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 2,550,749 $ 24,714,339 626,229 $ 5,857,548
GS4 1,289,218 20,826,427 3,188,876 49,660,836
GS6 -- -- 1,315,085 12,679,856
GS8 -- -- 529,030 5,053,874
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 68,004 652,159 101,674 973,186
GS4 144,998 2,351,866 383,028 6,161,862
GS6 12,267 118,252 41,965 402,479
GS8 4,561 44,015 5,469 53,874
SHARES REDEEMED:
GS2 (390,672) (3,762,686) (664,944) (6,187,119)
GS4 (3,069,288) (49,810,576) (3,452,012) (53,362,551)
GS6 6 -- (2,091,566) (20,107,543)
GS8 -- -- (5,475) (53,874)
--------------- ----------------- --------------- ----------------
Net increase (decrease) 609,843 $ (4,866,204) (22,641) $ 1,132,428
=============== ================= =============== ================
</Table>
136
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
VALUE EQUITY FUND SHARES VALUE SHARES VALUE
- ----------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 6,806,530 $ 77,168,667 1,498,441 $ 15,591,871
GS4 2,842,287 50,424,348 5,785,172 93,964,007
GS6 58,317 659,974 1,704,070 18,542,472
GS8 14 189 462,149 5,034,343
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 141,200 1,625,207 158,475 1,725,924
GS4 443,195 7,942,062 1,028,686 17,362,675
GS6 11,011 126,191 39,281 425,791
GS8 3,458 39,561 3,013 34,343
SHARES REDEEMED:
GS2 (739,968) (8,442,662) (2,131,621) (22,174,278)
GS4 (8,006,691) (141,122,759) (8,581,255) (142,217,090)
GS6 (402,264) (4,427,418) (2,153,589) (23,638,653)
GS8 -- -- (3,015) (34,343)
--------------- ----------------- --------------- ----------------
Net increase (decrease) 1,157,089 $ (16,006,640) (2,190,193) $ (35,382,938)
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
GROWTH EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------ --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 8,094,300 $ 82,474,448 1,613,851 $ 15,216,823
GS4 1,810,383 28,210,269 5,944,000 89,698,969
GS6 33,645 325,806 1,354,099 13,128,810
GS8 -- -- 521,376 5,000,000
SHARES REDEEMED:
GS2 (728,353) (7,214,333) (2,119,626) (19,855,335)
GS4 (8,432,175) (135,203,671) (8,189,207) (124,051,039)
GS6 (350,859) (3,275,696) (1,991,736) (19,276,237)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase (decrease) 426,941 $ (34,683,177) (2,867,243) $ (40,138,009)
=============== ================= =============== ================
</Table>
137
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE
- --------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 2,729,923 $ 33,486,274 688,611 $ 8,281,035
GS4 4,718,046 75,354,375 6,941,965 108,621,813
GS6 34,415 414,312 1,629,128 20,070,031
GS8 8 100 411,862 5,000,000
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 -- -- 128,304 1,605,087
GS4 1 15 1,135,100 18,717,781
GS6 -- -- 82,022 1,012,977
GS8 -- -- 24,795 305,972
SHARES REDEEMED:
GS2 (288,922) (3,472,636) (732,845) (8,746,342)
GS4 (3,139,290) (50,488,622) (5,684,710) (88,070,288)
GS6 (291,638) (3,287,987) (2,235,825) (27,373,199)
GS8 -- -- -- --
--------------- ----------------- --------------- ----------------
Net increase 3,762,543 $ 52,005,831 2,388,407 $ 39,424,867
=============== ================= =============== ================
</Table>
<Table>
<Caption>
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04
------------------------------------ -----------------------------------
INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE
- ------------------------- --------------- ----------------- --------------- ----------------
SHARES SOLD:
GS2 5,498,354 $ 70,845,825 3,185,332 $ 36,872,679
GS4 3,104,384 47,206,194 5,416,943 74,761,876
GS6 123,176 1,580,532 1,543,393 18,807,962
GS8 3 40 417,709 5,035,394
SHARES ISSUED IN REINVESTMENT OF
DIVIDENDS:
GS2 -- -- 115,700 1,448,031
GS4 -- -- 900,425 13,270,599
GS6 -- -- 23,826 295,478
GS8 (6) (83) 2,772 35,394
SHARES REDEEMED:
GS2 (573,713) (7,500,218) (1,107,875) (12,936,001)
GS4 (8,946,794) (135,906,261) (6,777,507) (92,618,667)
GS6 (374,367) (4,704,803) (1,906,068) (23,242,796)
GS8 -- -- (2,765) (35,394)
--------------- ----------------- --------------- ----------------
Net increase (decrease) (1,168,963) $ (28,478,774) 1,811,885 $ 21,694,555
=============== ================= =============== ================
</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
138
amount of the credit facility at a rate of 0.12% per annum. Each Fund had no
borrowings outstanding during the six months ended June 30, 2005.
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 year ending December 31, 2004 were characterized as
follows for tax purposes:
<Table>
<Caption>
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTION
- ---- ----------- ------------ ------------
Flexible Income $ 6,674,001 $ 2,803,393 $ 9,477,394
Growth & Income 26,687,405 17,336,809 44,024,214
Capital Opportunities 14,526,079 8,194,511 22,720,590
Global Equity 7,152,360 4,844,621 11,996,981
Flexible Income I 1,154,594 284,575 1,439,169
Growth & Income I 3,927,779 1,049,665 4,977,444
Capital Opportunities I 1,611,896 450,563 2,062,459
Global Equity I 531,130 105,262 636,392
Money Market 8,848,288 -- 8,848,288
Low-Duration Bond 17,308,846 3,097,375 20,406,221
Medium-Duration Bond 37,814,520 4,734,024 42,548,544
Extended-Duration Bond 25,006,677 9,593,313 34,599,990
Equity Index 7,592,346 -- 7,592,346
Value Equity 19,558,474 3,412 19,561,886
Small Cap Equity -- 21,644,314 21,644,314
International Equity 15,049,648 -- 15,049,648
</Table>
At December 31, 2004, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED
LONG-TERM
CAPITAL UNREALIZED
UNDISTRIBUTED GAIN/(CAPITAL APPRECIATION/
ORDINARY 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)
</Table>
<Table>
<Caption>
UNDISTRIBUTED
LONG-TERM
CAPITAL UNREALIZED
UNDISTRIBUTED GAIN/(CAPITAL APPRECIATION/
ORDINARY LOSS (DEPRECIATION)
FUND INCOME CARRYFORWARD) ON INVESTMENTS
- ---- ------------- ------------- --------------
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>
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 June 30, 2005, 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
139
value (based on cost for federal income tax purposes) was as follows:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION/ APPRECIATED DEPRECIATED
FUND (DEPRECIATION) SECURITIES SECURITIES
- ---- -------------- ------------ ------------
Flexible Income $ 43,071,799 $ 44,938,690 $ (1,866,891)
Growth & Income 201,367,344 210,010,518 (8,643,174)
Capital Opportunities 179,729,479 187,292,127 (7,562,648)
Global Equity 179,060,007 188,858,634 (9,798,627)
Flexible Income I 74,906 1,438,350 (1,363,444)
Growth & Income I 7,692,714 10,764,580 (3,071,866)
Capital Opportunities I 10,349,332 11,494,174 (1,144,842)
Global Equity I 6,532,504 6,694,899 (162,395)
Low-Duration Bond (5,415,904) 1,639,624 (7,055,528)
Medium-Duration Bond 15,166,013 20,835,455 (5,669,442)
Extended-Duration Bond 39,272,131 41,808,014 (2,535,883)
Equity Index 60,011,576 117,766,352 (57,754,776)
Value Equity 201,566,504 260,930,837 (59,364,333)
Growth Equity 255,458,101 292,940,466 (37,482,365)
Small Cap Equity 62,454,513 79,279,590 (16,825,077)
International Equity 212,646,727 255,758,486 (43,111,759)
</Table>
The differences between book basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and on
investments in passive foreign investment companies.
At June 30, 2005, 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 $ 222,112,724
Growth & Income 1,002,601,524
Capital Opportunities 814,852,385
Global Equity 706,126,016
Flexible Income I 51,851,836
Growth & Income I 215,116,529
Capital Opportunities I 136,186,714
Global Equity I 105,937,885
Low-Duration Bond 1,071,631,229
Medium-Duration Bond 1,390,066,996
Extended-Duration Bond 593,922,278
Equity Index 432,813,919
Value Equity 1,352,086,264
Growth Equity 1,346,382,432
Small Cap Equity 683,997,341
International Equity 1,119,379,756
</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>
Net investment income, net realized gain (loss) on investments and net assets
were not affected by these reclassifications.
140
FUND MANAGEMENT
Information pertaining to the Trustees and officers of the Trust is set forth
below. The statement of additional information (SAI) includes additional
information about the Trustees and is available without charge, upon request, by
calling (800) 262-0511.
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
TERM OF OFFICE COMPLEX OTHER TRUSTEESHIPS/
NAME, (DOB), ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN DIRECTORSHIPS
POSITION(S) WITH TRUST TIME SERVED(1) DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEEE
- ------------------------ -------------- ----------------------- ---------- -------------------
- --------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES
- --------------------------------------------------------------------------------------------------------------------------------
Michael R. Buster (11/18/57) Since 2002 Executive Pastor, Prestonwood 17 None
3656 Bridle Road Baptist Church,
Prosper, TX 75078 1989 - Present.
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
William Craig George (7/8/58) Since 2004 Regional loan administrator, 17 None
617 Glen Eden Drive Central Carolina Bank, 1995 -
Raleigh, NC 27612 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.
- --------------------------------------------------------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------------------------------------------------------
James Ray Taylor (10/19/33) Since 2002 Retired since 1994. 17 None
3009 Tanglewood Park West
Fort Worth, Texas 76109
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES(2)
- --------------------------------------------------------------------------------------------------------------------------------
Barry Hartis (10/6/45) Since 2005 Certified Public Accountant 17
12 Waxwing Cove 1976 - Present, Vice
Greensboro, NC 27455-1373 President for Business and
Trustee Finance, Greensboro College,
January 1998 - June 30, 2005.
- --------------------------------------------------------------------------------------------------------------------------------
Gerald B. Jones (5/24/32) Since 2000 Owner Jones Motorcars, Inc. 17 Bank of Arkansas -- Director
Jones Motorcars, Inc. 1957 - Present.
3535 N. College Avenue
Fayetteville, AR 72703-5108
Trustee
- --------------------------------------------------------------------------------------------------------------------------------
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, GuideStone
Dallas, TX 75201-1407 Financial Resources of the
Vice President and Treasurer Southern Baptist Convention,
1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
Rodric E. Cummins (6/28/57) Since 2000 Executive Officer and Chief N/A N/A
2401 Cedar Springs Road Investment Officer,
Dallas, TX 75201-1407 GuideStone Financial
Vice President and Investment Resources of the Southern
Officer Baptist Convention,
1998-Present.
- --------------------------------------------------------------------------------------------------------------------------------
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 GuideStone Financial
President Resources of the Southern
Baptist Convention,
1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
141
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
- ------------------------ -------------- ----------------------- ---------- -------------------
Rodney R. Miller (5/23/53) Since 2000 General Counsel, Legal and N/A N/A
2401 Cedar Springs Road Compliance, GuideStone
Dallas, TX 75201-1407 Financial Resources of the
Vice President, Secretary and Southern Baptist Convention,
Chief Legal Officer 1995 - Present.
- --------------------------------------------------------------------------------------------------------------------------------
Patricia A. Weiland (8/25/59) Since 2004 Director, Mutual Funds, N/A N/A
2401 Cedar Springs Road GuideStone Financial
Dallas, TX 75201-1407 Resources of the Southern
Vice President and Chief Baptist Convention,
Compliance Officer 2000 - Present.
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Each Trustee and officer serves for an indefinite term, until his/her
successor is elected.
(2) Messrs. Jones and Hartis 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.
142
BOARD REVIEW OF ADVISORY AGREEMENTS
As required by the Investment Company Act of 1940, as amended (the "1940 Act"),
the Board of Trustees (the "Board") of AB Funds Trust (the "Trust"), including
all of the Trustees who are not "interested persons" of the Trust, as that term
is defined in the 1940 Act (the "Independent Trustees"), recently considered the
renewal of (i) the investment advisory agreement between SBC Financial Services,
Inc. (the "Adviser" or "SBC Financial") and the Trust on behalf of the Blended
and Select Funds that comprise the Trust (the "Advisory Agreement"); and (ii)
the sub-advisory agreements among the Adviser, each sub-adviser and the Trust on
behalf of each Select Fund (the "Sub-Advisory Agreements"). The Advisory
Agreement and each Sub-Advisory Agreement (the "Agreements") were approved for
an additional one-year term at a meeting of the Board held on May 7, 9-10, 2005.
The Board's decision to approve the Agreements reflects the exercise of its
business judgment to continue each existing arrangement. In approving the
Agreements, the Board considered information provided by the Adviser, each
sub-adviser and a consulting firm engaged by the Adviser with the assistance and
advice of counsel to the Independent Trustees and counsel to the Trust.
The Board's consideration of various factors and its conclusions with respect to
such factors formed the basis for the Board's determination to continue the
Advisory and Sub-Advisory Agreements. The factors considered by the Board
included, but were not limited to: (i) the resources of the adviser; (ii) the
experience and expertise of the adviser; (iii) the financial capability of the
adviser; (iv) the compliance procedures and history of the adviser; (v) the
performance of the fund in comparison to relevant benchmarks, similarly managed
funds and the adviser's other clients; (vi) the amount of the contractual
advisory fee in comparison to similarly managed funds and the adviser's other
clients and the effect of any fee waiver and expense reimbursement arrangement;
(vii) the total expenses of the fund in comparison to similarly managed funds
and the use of past and anticipated expense caps; (viii) the profitability of
the adviser with respect to the fund and its overall business; (ix) the extent
of any economies of scale and whether the fee structure reflects such economies
of scale; (x) the existence of any collateral benefits realized by the adviser;
and (xi) the existence of any collateral benefits realized by the fund. In its
decision to renew each Agreement, the Board was also mindful of the potential
disruptions of the Trust's operations and various risks, uncertainties and other
effects that could occur as a result of a decision to terminate or not renew an
Agreement. No one factor was determinative in the Board's consideration of the
Advisory and Sub-Advisory Agreements.
The Board undertook a review of the terms of each Advisory and Sub-Advisory
Agreement and the nature and quality of the services provided by the Adviser and
each sub-adviser. The Board conducted its analysis on a fund-by-fund basis with
respect to the Adviser and each Sub-Adviser. Management provided the Board with
substantial detailed information in the form of reports about each of the nine
Select Funds, eight Blended Funds, twenty-seven sub-advisory firms and the
Adviser prior to and during the meeting which information addressed most, if not
all, of the factors listed above. Management also provided additional
information about the Adviser and each Sub-Adviser in presentations made during
the meeting and responded to questions from the Trustees. In addition, the
Independent Trustees met separately in executive session with counsel to the
Independent Trustees to discuss and consider information presented in connection
with the continuation of the Advisory and Sub-Advisory Agreements as well as the
Trustees' responsibilities and duties in approving the Agreements.
APPROVAL OF CONTINUATION OF INVESTMENT ADVISORY AGREEMENT
In considering the renewal of the Advisory Agreement with the Adviser, the
Trustees took into account all the materials provided prior to and during the
meeting, the presentations made during the meeting, and the extensive
discussions during the meeting, including the discussions the Independent
Trustees had during their executive session with their independent legal
counsel. More specifically, the Trustees examined the nature, extent and quality
of the services to be provided by the Adviser to the Funds. The Trustees
evaluated the Adviser's experi-
143
ence in serving as an investment adviser and noted the Adviser's experience with
overseeing the sub-advisers. The Trustees considered the experience of key
personnel at the Adviser in providing investment management and administrative
services and the systems used by such persons and the ability of the Adviser to
attract and retain capable personnel. The Trustees also considered the
reputation, compliance history, compliance program, and financial condition of
the Adviser. The Trustees noted the terms of the advisory and sub-advisory
agreements and the responsibilities that the Adviser has as investment adviser
to the Funds, including oversight of sub-adviser compliance with each Fund's
policies and objectives, oversight of general Fund compliance, including
compliance with social restrictions, and the implementation of Board directives
as they relate to the Funds. The Trustees concluded that each Fund is likely to
benefit from the extent and quality of these services as a result of the
Adviser's experience, personnel, operations and resources.
The Trustees also reviewed a memorandum prepared by a consulting firm engaged by
the Adviser for, among other things, supplying research on investment management
firms. The memorandum compared each Select Fund with other funds having the same
investment style or objective, and compared the share class of each Fund with
other funds in the same broad distribution channel, the GS2 class against other
institutional share classes and the GS4 and GS6 classes against a broad set of
retail share classes. The Board analyzed the comparative expense and performance
information in the memorandum, including comparative expense information for
each Fund based on a sampling of funds similar in asset size. The Trustees
considered the comparative performance, fee and expense information that had
been provided in their evaluation of the management fees charged to each Select
Fund. The Board evaluated the annualized performance results comparing the Funds
against their peers, noting that most of the Funds provided above average
returns with below average net expenses. The Board also considered a report
prepared by management that analyzed the performance of the Blended Funds.
The Trustees examined the performance information for the Funds (GS4 Share
Class) compared to Lipper peers for the one and three-year periods ended
December 31, 2004. The Trustees noted that the average annual total returns for
the Select Funds generally exceeded the median for their Lipper peers for both
periods. They noted that the performance of the Small Cap Equity Fund for the
three year period and the Money Market Fund for the one year period ended
December 31, 2004 were lower than those of the Funds' peer universes for the
same time periods. They also noted that the average annual total returns for the
Blended Funds for the one-year and three-year periods ended December 31, 2004
were above those of unaffiliated funds in the Funds' Lipper peer groups for the
same time periods, except for the Global Equity Fund for the three-year period
ended December 31, 2004. The Trustees took into account the fact that the Small
Cap Equity Fund underwent significant sub-adviser restructuring within the past
six months in an effort to improve relative performance. The Trustees noted that
twelve of seventeen sub-advisers to the equity Funds and eight out of nine
sub-advisers to the fixed income Funds outperformed their respective benchmarks
for the three-year period ended December 31, 2004 and that the Adviser added
economic value to Funds through the selection of sub-advisers.
The Trustees examined fee and expense information for the Select Funds, as
compared to other funds in the Funds' asset-stratified peer groups for the GS4
class. The Trustees determined that the total management (including both the
Adviser and sub-adviser) fees for each Select Fund were lower than the median
management fees for other mutual funds in the Fund's asset-stratified peer
group, except for the Growth Equity Fund, the Small Cap Equity Fund and the
International Equity Fund. The Trustees took into account the fact that the
management fee for the International Equity Fund was only slightly above the
median for other mutual funds in its asset-stratified peer group. The Trustees
noted that the Adviser was currently reimbursing the expenses of most Funds,
including the Growth Equity Fund, the Small Cap Equity Fund and the
International Equity Fund, and the total management fees of the Funds net of any
fee waiver or
144
expense reimbursement were below the median fees for other similar funds at the
same asset levels, except for the Growth Equity Fund, the Small Cap Equity Fund
and the International Equity Fund. The Trustees also evaluated the expense
ratios for other funds in the Funds' asset-stratified peer groups and determined
that each Fund's expense ratio for the GS4 share class was significantly lower
than the median ratio of such other funds. The Trustees further noted that the
compensation to be received by the Adviser for each Fund under the Advisory
Agreement remained the same.
The Trustees considered the costs to the Adviser of serving as the investment
adviser to the Funds, including the costs associated with the personnel, systems
and equipment necessary to manage the Funds in accordance with the Advisory
Agreement. The Trustees considered the anticipated revenues that the Adviser
expected to receive for serving as the investment manager to the Funds, the fact
that the Adviser was currently reimbursing the expenses of most Funds, the fact
that the Adviser did not retain any profit from its relationship with the Trust,
the fact that a significant portion of the revenues received by the Adviser were
forwarded to GuideStone Financial Resources (formerly, the Annuity Board of the
Southern Baptist Convention), and the fact that the expenses incurred by
GuideStone Financial Resources related to the operation of the Trust
approximated the related revenues received. The Trustees considered whether any
direct or indirect collateral benefits inured to either the Adviser or the Trust
as a result of their affiliation with one another. In light of these
considerations, the Trustees concluded that any profits realized in connection
with the Adviser's services appeared reasonable.
The Trustees considered the extent to which the management fees to be paid to
the Adviser reflected economies of scale. In this connection, the Trustees again
noted that the Adviser was currently reimbursing the expenses of most Funds and
the management fees of the Funds net of any fee waiver or expense reimbursement
were below the median fees for other similar funds at the same asset levels,
except for the Growth Equity Fund, the Small Cap Equity Fund and the
International Equity Fund.
Based on all of the information presented to the Board and its consideration of
relevant factors, the Board concluded that the fee paid to the Adviser by each
Fund was reasonable, and in the exercise of its business judgment, determined to
approve the continuation of the Advisory Agreement for each Fund.
APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS
In considering the existing sub-advisory agreements with each sub-adviser, the
Trustees took into account the materials provided prior to and during the
meeting; and the extensive discussions during the meeting, including the
discussions the Independent Trustees had during their executive session with
their independent legal counsel. More specifically, the Trustees examined the
nature, extent and quality of the services to be provided by each of the
sub-advisers to the Select Funds. The Trustees evaluated each sub-adviser's
experience in serving as a sub-adviser to a Select Fund and noted that each sub-
adviser currently provides investment advice to various clients, including other
pooled investment vehicles. The Trustees considered the experience of key
personnel at each sub-adviser in providing investment management services and
the systems used by such persons, and the ability of each sub-adviser to attract
and retain capable personnel. The Trustees also considered the reputation,
compliance history, compliance program and financial condition of each
sub-adviser. The Trustees noted the terms of the existing sub-advisory
agreements and the responsibilities that each has as a sub-adviser to a Select
Fund, including the responsibility of the day-to-day management of the
investment portfolio of the Fund, compliance with each Fund's policies and
objectives, and the implementation of Board of Trustees directives as they
relate to the Funds. The Trustees concluded that each Fund is likely to benefit
from the extent and quality of these services as a result of each sub-adviser's
experience, personnel, operations and resources.
The Board considered standardized reports for each sub-adviser to each Select
Fund. The standardized reports compiled by management included, among other
things, a summary of investment performance of the Fund and sub-adviser,
including comparisons with relevant benchmarks,
145
composite performance for the sub-adviser and the peer universe of similarly
managed funds, information regarding management style, services provided, risk
versus return analysis, organizational structures, investment management
experience, investment philosophies, personnel, changes in personnel, compliance
procedures and policies, brokerage and soft dollar practices, compliance
history, financial information, including profitability analysis, and economies
of scale realized.
The Trustees examined performance information for each segment of a Select Fund
managed by a sub-adviser. For the majority of sub-advisers, the performance
record of the segment of the Select Fund managed by the sub-adviser compared
favorably to the relevant Fund benchmark, the composite performance for the
sub-adviser's clients (on a gross fee basis) and the peer universe of similarly
managed funds for the period of time the sub-adviser performed advisory services
on behalf of the Select Fund. Three sub-advisers underperformed the relevant
Fund benchmark and the peer universe of similarly managed funds. The Trustees
noted that market trends may have contributed to the underperformance, that each
of these sub-advisers had or was in the process of taking action to address such
underperformance and that each sub-adviser fulfilled a particular investment
mandate for the Select Fund it advised. The Trustees concluded that, although
past performance is no guarantee of future performance, the performance of each
Select Fund was satisfactory and the Funds were likely to benefit from each
sub-adviser continuing to serve as sub-adviser to the Fund.
The Trustees examined the fee schedule for each sub-adviser, noting how the fee
levels charged to the Trust compared with available information about fees
charged by the sub-advisers to their other similarly situated clients, as well
as how the sub-adviser fee levels compared to fees generally charged by money
managers to institutional clients for providing advisory services for investment
mandates comparable to each Fund.
The Trustees also examined information that was provided about the profitability
and the financial capability of each sub-adviser. In considering the
information, the Trustees took into account the limited relevance of
profitability information with respect to the sub-advisers given that each
Sub-Advisory Agreement had been the subject of arms-length negotiation and that
the cost of providing advisory services on a fund-specific basis would be
difficult for most, if not all, sub-advisers to estimate accurately. The
Trustees reviewed profitability questionnaires completed by all but four of the
sub-advisers, supplemental profitability information provided by two
sub-advisers and representations of the Adviser with respect to the level of
assets and shareholder's equity for all the sub-advisers who made their most
recent year end financial statements available to the Adviser for review. All
sub-advisers that completed the questionnaire represented they were profitable
either with respect to their relationship with the Fund or more generally with
respect to their overall business where the sub-adviser was unable to allocate
expenses among its clients. Except for one sub-adviser to the Small Cap Equity
Fund, the profitability estimates for the sub-advisers that completed the
questionnaire generally fell within industry norms. With regard to the
sub-adviser to the Small Cap Equity Fund, it was noted that the sub-adviser
consistently outperformed the relevant benchmark for the Fund and the median for
the peer universe of similarly managed funds as well as other sub-advisers to
the Small Cap Equity Fund. In light of these considerations, the Trustees
concluded that profits realized by each sub-adviser who completed a
profitability questionnaire appeared reasonable. For those two sub-advisers that
did not provide profitability information, the Trustees relied upon other
relevant information, particularly the independent negotiation of the fee
schedules, the level of the fees, and the sub-adviser's performance history. The
Trustees noted that, based on the Adviser's representations, the financial
statements of the sub-advisers did not appear to raise any concerns regarding
the financial capability of those sub-advisers.
The Trustees considered the extent to which sub-adviser fees to be paid to each
sub-adviser reflected economies of scale. The Trustees noted that each
sub-adviser fee schedule either reflected economies of scale by reducing the fee
on assets in excess of certain stated breakpoints, or
146
the fee level negotiated was below the standard fee level for the sub-adviser.
In evaluating the benefits that are expected to accrue to each sub-adviser
through its relationship as sub-adviser to a Select Fund, the Trustees noted
that certain sub-advisers allocate portfolio brokerage to affiliated broker-
dealers that receive commissions from the execution of Fund trades. The Trustees
also noted that certain sub-advisers expect to benefit from soft dollar
arrangements by which brokers will provide research and other services to the
sub-adviser in exchange for commissions on trades of the portfolio securities of
the Select Fund. In addition, the Trustees considered whether any direct or
indirect collateral benefits inured to the Trust as a result of its affiliation
with each sub-adviser.
Based on all of the information presented to the Board and its consideration of
relevant factors, the Board, in the exercise of its reasonable business
judgment, determined to approve the continuation of each Sub-Advisory Agreement.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS
FOR SMALL CAP EQUITY FUND
As required by the 1940 Act, the Board, including all of the Trustees who are
not "interested persons" of the Trust, considered the approval of (i) the
sub-advisory agreement among SBC Financial, Lord, Abbett & Company ("Lord,
Abbett") and the Trust on behalf of the Small Cap Equity Fund (the "Lord, Abbett
Sub-Advisory Agreement"); and (ii) the sub-advisory agreement among SBC
Financial, Lotsoff Capital Management ("Lotsoff") and the Trust on behalf of the
Small Cap Equity Fund (the "Lotsoff Sub-Advisory Agreement"). The Lord, Abbett
Sub-Advisory Agreement and the Lotsoff Sub-Advisory Agreement (together, the
"Sub-Advisory Agreements") were each approved for a term expiring on June 30,
2006 at a meeting of the Board held on March 1-2, 2005. The Board's decision to
approve the Sub-Advisory Agreements reflects the exercise of its business
judgment to enter into each new sub-advisory arrangement. In approving the
Sub-Advisory Agreements, the Board considered information provided by the
Adviser, each sub-adviser and an independent consulting firm engaged by the
Adviser with the assistance and advice of counsel to the Independent Trustees
and counsel to the Trust.
The Board's consideration of various factors and its conclusions with respect to
such factors formed the basis for the Board's determination to approve the
Sub-Advisory Agreements. The factors considered by the Board included, but were
not limited to: (i) the resources of the sub-adviser; (ii) the experience and
expertise of the sub-adviser; (iii) the financial capability of the sub-
adviser; (iv) the compliance procedures and history of the sub-adviser; (v) the
performance of the sub-adviser's other small cap equity client accounts and
portfolios, if any, in comparison to relevant benchmarks and other similarly
managed funds; (vi) the amount of the contractual sub-advisory fee in comparison
to similarly managed funds and the sub-adviser's other clients; (vii) the extent
of any economies of scale and whether the fee structure reflects such economies
of scale; (viii) the existence of any collateral benefits realized by the
sub-adviser; and (ix) the existence of any collateral benefits realized by the
fund. No one factor was determinative in the Board's consideration of the
Sub-Advisory Agreements.
The Board undertook a review of the terms of each Sub-Advisory Agreement and the
nature and quality of the services to be provided by each sub-adviser.
Management provided the Board with substantial detailed information in the form
of reports about each sub-adviser prior to the meeting which information
addressed most, if not all, of the factors listed above. Management also
provided additional information about each sub-adviser in presentations made
during the meeting, discussed the comprehensive screening process used to
recommend each new sub-adviser and responded to questions from the Trustees. In
addition, the Independent Trustees met separately in executive session with
counsel to the Independent Trustees to discuss and consider information
presented in connection with the approval of the Sub-Advisory Agreements as well
as the Trustees' responsibilities and duties in approving the Agreements.
147
APPROVAL OF NEW SUB-ADVISORY AGREEMENTS
In considering the approval of the Sub-Advisory Agreements, the Trustees took
into account the materials provided prior to and during the meeting; and the
extensive discussions during the meeting, including the discussions the
Independent Trustees had during their executive session with their independent
legal counsel. More specifically, the Trustees examined the nature, extent and
quality of the services to be provided by Lord, Abbett and Lotsoff to the Small
Cap Equity Fund. The Trustees evaluated each sub-adviser's experience in serving
as a sub-adviser to small cap equity client accounts and portfolios and noted
that each sub-adviser currently provides investment advice to various clients,
including pooled funds. The Trustees considered the experience of key personnel
at each sub-adviser in providing investment management services and the systems
used by such persons, and the ability of each sub-adviser to attract and retain
capable personnel. The Trustees also considered the reputation, compliance
history, compliance program and financial condition of each sub-adviser. The
Trustees noted the terms of the Sub-Advisory Agreements and the responsibilities
that each would have as a sub-adviser to the Small Cap Equity Fund, including
the responsibility of the day-to-day management of the investment portfolio of
the Fund, compliance with the Fund's policies and objectives, and the
implementation of Board of Trustees directives as they relate to the Funds. The
Trustees concluded that the Small Cap Equity Fund is likely to benefit from the
extent and quality of these services as a result of each sub-adviser's
experience, personnel, operations and resources.
The Board considered reports for each sub-adviser. The reports compiled by
management included, among other things, a summary of the composite investment
performance of the sub-adviser's small cap equity client accounts and
portfolios, including a comparison with the relevant benchmark for the Small Cap
Equity Fund and the peer universe of similarly managed small cap equity funds,
information regarding management style, risk versus return analysis,
organizational structures, investment management experience, investment
philosophies and personnel. Management also provided additional information
regarding compliance procedures and policies, brokerage and soft dollar
practices, compliance history, financial information and potential economies of
scale.
The Trustees examined composite performance information for small cap equity
client accounts and portfolios managed by each sub-adviser. For each
sub-adviser, the composite performance record of the small cap equity client
accounts and portfolios managed by the sub-adviser compared favorably to the
relevant benchmark for the Small Cap Equity Fund and the peer universe of
similarly managed small cap equity funds for the period of time each sub-adviser
performed advisory services on behalf of small cap equity client accounts and
portfolios. In that regard, the composite performance of the small cap equity
client accounts and portfolios managed by Lord, Abbett outperformed the
benchmark for the Small Cap Equity Fund for each of the three years Lord, Abbett
managed small cap equity client accounts and portfolios and outperformed the
median for the peer universe of small cap equity funds for a one, two and three
year period. For each period, the composite performance for the small cap equity
client accounts and portfolios managed by Lord, Abbett fell within the top
quartile of the universe of small cap equity funds.
The composite performance of the small cap equity client accounts and portfolios
managed by Lotsoff also outperformed the relevant benchmark for the Small Cap
Equity Fund for each of the ten years Lotsoff managed small cap equity client
accounts and portfolios, except for calendar year 2002, and outperformed the
median for the peer universe of small cap equity funds for each one through ten
year period. In calendar year 2002, the composite performance of the small cap
equity client accounts and portfolios managed by Lotsoff slightly underperformed
the benchmark for the Small Cap Equity Fund. For each one through ten-year
period, the composite performance for the small cap equity client accounts and
portfolios managed by Lotsoff generally fell within the top quartile of the
universe of small cap equity funds and in a few instances the second quartile.
148
The Trustees examined the investment philosophy and process of each sub-adviser
and noted that each sub-adviser would fulfill a particular investment mandate
for the Small Cap Equity Fund. The Trustees concluded that, although past
performance is no guarantee of future performance, the composite performance
record for the small cap equity client accounts and portfolios managed by each
sub-adviser was favorable and that the Small Cap Equity Fund was likely to
benefit from the investment management expertise of each sub-adviser.
The Trustees also examined the fee schedule for each sub-adviser, noting how the
fee levels to be charged to the Small Cap Equity Fund compared with available
information about fees charged by the sub-advisers to their other similarly
situated clients, as well as how the sub-adviser fee levels compared to fees
generally charged by money managers for providing advisory services for
investment mandates comparable to the Small Cap Equity Fund. It was noted that
the advisory fee for the Small Cap Equity Fund would be reduced as a result of
the hiring of Lord, Abbett and Lotsoff and that the Adviser recommended a
reduction to the Fund's expense limitation in an effort to pass the savings
along to shareholders.
The Trustees considered information related to the financial capability of each
sub-adviser. Specifically, the Trustees considered the representations of the
Adviser with respect to the level of assets and shareholder's equity for the
sub-advisers who made their most recent year end financial statements available
to the Adviser for review. The Trustees also relied upon other relevant
information, particularly the independent negotiation of the fee schedules, the
level of the fees, and the sub-adviser's performance history. The Trustees noted
that, based on the Adviser's representations and the other information provided,
no concerns appeared to be raised regarding the financial capability of the
sub-advisers.
The Trustees noted that there is no historical profitability information with
regard to the sub-advisers' arrangements with the Small Cap Equity Fund. The
Trustees also noted the limited relevance of profitability information with
respect to the sub-advisers given that each Sub-Advisory Agreement had been the
subject of arms-length negotiation and that the cost of providing advisory
services on a fund-specific basis would be difficult for the sub-advisers to
estimate accurately.
The Trustees considered the extent to which sub-adviser fees to be paid to each
sub-adviser reflected economies of scale. The Trustees noted that the fee
schedule for Lord, Abbett reflected economies of scale by reducing the fee on
assets in excess of certain stated breakpoints, and the fee level negotiated
with Lotsoff was below the standard fee level for the sub-adviser.
In evaluating the benefits that are expected to accrue to each sub-adviser
through its relationship as sub-adviser to the Small Cap Equity Fund, the
Trustees noted that the sub-advisers do not have any affiliated broker-dealers
that could receive commissions from the execution of Fund trades. The Trustees
also noted that only Lotsoff expects to benefit from soft dollar arrangements by
which brokers will provide research and other services to the sub-adviser in
exchange for commissions on trades of the portfolio securities of the Small Cap
Equity Fund. In addition, the Trustees considered whether any direct or indirect
collateral benefits inured to the Trust as a result of its affiliation with each
sub-adviser.
Based on all of the information presented to the Board and its consideration of
relevant factors, the Board, in the exercise of its reasonable business
judgment, determined to approve each Sub-Advisory Agreement.
149
PROXY VOTING
The Securities and Exchange Commission ("SEC") adopted a requirement that all
Funds file their complete proxy voting record with the SEC on an annual basis on
Form N-PX. Such filing, for the 12-month period ended June 30, must be made no
later than August 31 of each year. A description of the policies and procedures
that AB Funds Trust uses to determine how to vote proxies relating to their
portfolio securities as well as information regarding how AB Funds Trust voted
proxies during the most recent 12-month period ended June 30 is available
without charge by calling 1-800-262-0511, by visiting our website at
www.guidestone.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 the schedule is posted to our website,
www.guidestone.org. You may also obtain the Form N-Q filings by accessing the
SEC's website at www.sec.gov or 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.
150
INVESTMENT SUB-ADVISERS (Assets under management as of 6/30/05) (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 $ 414.0B
LOW-DURATION BOND BlackRock Advisors, Inc. 1988 414.0B
Pacific Investment Management Company 1971 493.3B
LLC ("PIMCO")
Payden & Rygel 1984 53.9B
MEDIUM-DURATION BOND Goldman Sachs Asset Management 1984 452.6B
Pacific Investment Management Company 1971 493.3B
LLC ("PIMCO")
Western Asset Management Company 1971 229.2B
EXTENDED-DURATION BOND Loomis, Sayles & Company, L. P. 1927 68.4B
STW Fixed Income Management Ltd. 1977 11.8B
EQUITY INDEX Northern Trust Investments, N.A. 1889 589.8B
VALUE EQUITY Barrow, Hanley Mewhinney & Straus, Inc. 1979 50.5B
Equinox Capital Management, LLC 1989 6.1B
Northern Trust Investments, N.A. 1889 589.8B
Numeric Investors L. P. 1989 9.8B
GROWTH EQUITY Marsico Capital Management, LLC 1997 51.1B
RCM Capital Management, LLC 1970 109.6B
Sands Capital Management, Inc. 1992 14.6B
TCW Investment Management Company 1971 116.0B
SMALL CAP EQUITY Aronson+Johnson+Ortiz, LP 1984 20.3B
Lord Abbett & Company, LLC 1929 94.5B
Lotsoff Capital Management 1981 5.1B
Provident Investment Council, Inc. 1951 5.0B
TimesSquare Capital Management, Inc. 2000 5.7B
INTERNATIONAL EQUITY Alliance Capital Management, L.P. 1962 516B
Capital Guardian Trust Company 1931 149.8B
Genesis Asset Managers LLP 1981 12.0B
Mondrian Investment Partners Ltd. 1990 35.3B
Oechsle International Advisors, LLC 1986 15.0B
Philadelphia International Advisors, L.P. 1956 5.6B
Walter Scott & Partners Limited 1983 17.1B
CUSTODIAN FOR AB FUNDS TRUST ASSETS The Northern Trust Company 1889 2.7Tr
</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.guidestone.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.
151
[AB FUNDS LOGO]
2401 Cedar Springs Rd., Dallas, TX 75201-1498
1.800.262.0511 - www.guidestone.org
Funds distributed by PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
Serving Those Who Serve the Lord "...with the integrity of our hearts
and the skillfulness of our hands." Psalm 78:72
Rev. 8/05 2239
8929
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
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) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached
hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(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
------------------------------------------------------------
By (Signature and Title)* /s/ John R. Jones
-----------------------------------------------
John R. Jones, President
(principal executive officer)
Date August 18, 2005
--------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ John R. Jones
-----------------------------------------------
John R. Jones, President
(principal executive officer)
Date August 18, 2005
--------------------------------------------------------------------
By (Signature and Title)* /s/ Jeffrey P. Billinger
-----------------------------------------------
Jeffrey P. Billinger, Vice President and Treasurer
(principal financial officer)
Date August 18, 2005
--------------------------------------------------------------------
* Print the name and title of each signing officer under his or her
signature.