As filed with the Securities and Exchange Commission on March 6, 2006
File No. 811-03626
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
CITIZENS FUNDS
(Exact Name of Registrant as Specified in Charter)
One Harbour Place, Suite 400, Portsmouth, New Hampshire 03801
(Address of Principal Executive Offices)
Registrant's Telephone Number, including Area Code: (603) 436-5152
June 30
(Date of fiscal year end)
December 31, 2005
(Date of reporting period)
ITEM 1. REPORT TO SHAREHOLDERS.
[CITIZENS FUNDS LOGO]
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2006 SEMI-ANNUAL REPORT
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AND SUPPLEMENTAL COMMENTARY
[PICTURE]
NOT A PART OF THE SEMI-ANNUAL REPORT 12.31.05
TABLE OF CONTENTS
SUPPLEMENTAL COMMENTARY
<Table>
<Caption>
Letter from the president 1
Citizens focus:
Environmental issues take center stage 3
Market overview 7
SEMI-ANNUAL REPORT
Risks of mutual fund investing 9
Benchmarks 10
Portfolio review 12
Portfolio composition 38
Holdings 40
Statements of assets and liabilities 64
Statements of operations 66
Statements of changes in net assets 68
Financial highlights 72
Financial notes 80
Supplemental information 89
Shareholder services 92
</Table>
PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES OF
CITIZENS FUNDS CAREFULLY BEFORE INVESTING. FOR THIS AND OTHER INFORMATION,
PLEASE VISIT WWW.CITIZENSFUNDS.COM OR CALL 800.223.7010 FOR A FREE PROSPECTUS
AND READ IT CAREFULLY BEFORE INVESTING.
NOT A PART OF THE SEMI-ANNUAL REPORT
LETTER FROM THE PRESIDENT
Dear Shareholder,
I am pleased to report that Citizens Funds had an excellent year in 2005. Our
in-house, actively managed equity funds delivered strong positive returns,
beating their primary benchmarks and a significant number of their respective
peers. For the calendar year ended December 31, 2005 the total return for the
S&P 500 Index was 4.91%, while our own Citizens Core Growth Fund standard shares
returned 9.63%. The more aggressive Citizens Emerging Growth Fund standard
shares achieved a total return of 12.19% for the same period. These returns and
the positive performance of many of our other funds are further evidence that
our significant investment in people, technology and investment data resources,
are bearing fruit for our shareholders.
It is worth noting that in 2005, the Dow Jones Industrial Average (DJIA) was
basically flat, down -0.32% for the year. While on the surface this might
suggest a relatively dull year for the market, we believe the figure hides
dramatic activity underneath. Among the 30 stocks making up the DJIA, there were
some enormous winners and some huge losers. For instance, Hewlett Packard's
stock rallied over 38% while General Motors' stock fell 46% for the 2005
calendar year. In my opinion, this is a sign of powerful changes in our world.
It is my observation that some of today's familiar household names seem to be in
long periods of decline. At the same time, other companies, products and even
countries are rising rapidly. Given the pace of technological change and the
forces of globalization, I believe we are likely to see many more years where
stock market averages hide the wide variance in individual stock returns.
(CONTINUED)
"I AM PLEASED TO REPORT THAT CITIZENS FUNDS HAD AN EXCELLENT YEAR IN
2005. OUR IN-HOUSE, ACTIVELY MANAGED EQUITY FUNDS DELIVERED STRONG
POSITIVE RETURNS, BEATING THEIR PRIMARY BENCHMARKS AND A SIGNIFICANT
NUMBER OF THEIR RESPECTIVE PEERS."
- Sophia Collier, President
[PHOTO]
1 NOT A PART OF THE SEMI-ANNUAL REPORT
Citizens has sought to build an investment management team with the skills and
resources to actively distinguish between tomorrow's winners and losers. Part of
our strategy included the decision several years ago to more fully integrate our
social and financial analysis to help ensure we have a more complete view of the
companies we consider. We are one of the few investment management companies
that have in-house social research and in-house investment management teams
working together in an integrated process. We believe this gives us important
insights into companies and helps us make better investment decisions.
In my opinion, the time has passed when investors can simply put all of their
assets in markets with the confidence that a "rising tide will lift all boats."
The world is actively being remade and it is essential to find stocks where we
believe value is being created, and avoid areas that are stale or declining. In
2006, Citizens will continue to seek strong returns for shareholders by
emphasizing companies that we believe demonstrate a high level of environmental
and social responsibility, and in our opinion, have the potential for strong
financial results.
Sincerely yours,
/s/ Sophia Collier
- ------------------
Sophia Collier
President
See pages 9 - 11 for important fund risks and benchmark and other disclosures.
In considering performance of the funds for the six and twelve month periods,
you should also consider the funds' longer term track records described
elsewhere in this report. Of course, data presented reflects past performance
which does not guarantee future results.
NOT A PART OF THE SEMI-ANNUAL REPORT 2
CITIZENS FOCUS
ENVIRONMENTAL ISSUES TAKE CENTER STAGE
A company's disclosure of social and environmental risks helps in our assessment
of investment risk associated with that company's stock. The data found in these
reports is often a good indicator of a company's level of commitment in seeking
to improve social and environmental performance. Our social research analysts
use company disclosures to evaluate the effectiveness of social and
environmental programs as a whole and to compare company performance against
their industry peers. We believe evaluating a company's record of corporate
responsibility helps us minimize investment risk and contributes to investment
success by identifying more forward-thinking and potentially more promising
companies.
During the past few years, we have seen dramatic improvement in the disclosure
of social and environmental risks. Intel, Hewlett-Packard and other companies
held in Citizens Funds have been leaders in reporting such risks in their
corporate citizenship reports.
Citizens has been active in this area, meeting with companies in an effort to
discus the content and quality of their social and environmental risk
disclosure. In August, members of Citizens' social research team, along with
other socially responsible investors, met with members of Intel's Corporate
Responsibility team to discuss the content of the company's new Global
Citizenship Report. Meetings like this one help companies understand what
information we find most useful, and help us understand the challenges companies
face when preparing such reports.
(CONTINUED)
"WE BELIEVE EVALUATING A COMPANY'S RECORD OF CORPORATE RESPONSIBILITY
HELPS US MINIMIZE INVESTMENT RISK AND CONTRIBUTES TO INVESTMENT
SUCCESS BY IDENTIFYING MORE FORWARD-THINKING AND POTENTIALLY MORE
PROMISING COMPANIES."
- Joanne Dowdell, VP of Corporate Responsibility
[PHOTO]
3 NOT A PART OF THE SEMI-ANNUAL REPORT
In September, Citizens met with Steven Farris, CEO of oil and gas exploration
company Apache Corporation, in New York City to discuss the company's efforts
to reduce greenhouse gas emissions, as well as the risks and opportunities
regulating carbon emissions may pose for the company. We are encouraged by the
company's willingness to engage in dialog with shareholders and are pleased to
report Apache unveiled a new climate change section on its website in December.
This reflects a positive shift in the company's approach to greenhouse gas
emissions since we first began our discussions with the firm several months
ago. The site states that Apache "shares the widespread concern that the
emission of greenhouse gases is leading to changes in global climate." The
company reports that greenhouse gas emissions data will be added to the new
climate change section in 2006.
In November, Citizens co-filed a shareholder resolution at SBC Communications,
now known as AT&T. The resolution asks AT&T to issue a sustainability report
using the Global Reporting Initiative as a guide for the disclosure of the
company's social and environmental impacts, enabling analysts to better compare
the company to its peers. The decision to file the resolution came after we
completed an analysis of the company and determined AT&T's sustainability
reporting was lacking compared to other companies in its peer group. AT&T has
not yet responded to the proposal.
TOXICS IN CONSUMER PRODUCTS --
A GROWING CONCERN
Continuing its activism in the cosmetics industry, Citizens was lead filer of a
resolution at Johnson & Johnson, and co-filer of a resolution at CVS,
requesting the companies report on the feasibility of reformulating their
cosmetic products to meet a European Union (EU) cosmetic directive -- currently
the highest standard for consumer safety in the cosmetics industry. Johnson &
Johnson later agreed to work with SRI investors and other stakeholders toward
greater transparency and safer products. Based on those commitments we withdrew
the resolution. Management at CVS has sent a letter of opposition to our
proposal. We hope to update you on the status of this proposal in our Q1 2006
Shareholder Activism Report.
In October, Citizens' Social Research Analyst Dr. Vesela Veleva published
results of her regulatory review and analysis of toxics in cosmetics in
Corporate Environmental Strategy (Issues 3 & 4, 2005). The article, entitled
New EU Rules for the Cosmetics Industry: What Do They Mean for U.S. Companies
and Stakeholders? examines and compares EU legislation and existing U.S.
NOT A PART OF THE SEMI-ANNUAL REPORT 4
regulations for the cosmetic industry. Recent EU legislation bans over 1,000
dangerous chemicals in cosmetic products, while less than two dozen chemicals
are restricted or banned for use in cosmetics products in the U.S. For a copy of
the article go to our website at www.citizensfunds.com.
The issue of toxics in consumer products has broad implications for human health
and safety and the companies that manufacture such products. Citizens Funds has
joined with other SRI funds and non-governmental organizations to encourage
proxy voting agent, Institutional Shareholder Services, to revise its voting
guidelines to include the topic of toxic chemicals in a company's products. The
issue raised sufficient concern for Citizens that we adopted new proxy voting
guidelines for the Funds in 2005. We support proposals asking companies to phase
out specific toxic chemicals where safe alternatives are available. We also
support proposals that ask companies to reformulate products globally. We
believe failure to heed regulations and scientific research regarding the use of
toxic chemicals may lead to market exclusion or lawsuits regarding product
safety, all of which may hurt shareholder value.
IS THERE A RELATIONSHIP BETWEEN GENDER
AND FINANCIAL PERFORMANCE?
[PHOTO]
Citizens' social research team conducted a gender diversity study, which looked
at the number of women on the board and in the upper management of companies in
the Citizens Index. Results of the study, lead by Dr. Vesela Veleva, did indeed
show a correlation between female representation on the board and in upper
management and the total and average annual return of a company's stock. Results
of the study show that companies with the highest percentage of gender diversity
on the board and in upper management had approximately a 3% higher annual
return, compared to those of companies with the lowest percentage of gender
diversity for each of the 1-year and 3-year periods ended December 29, 2004. The
December 2005 issue of Women's Business Boston published the preliminary results
of the study. For a copy of the full article, go to our website at
www.citizensfunds.com.
5 NOT A PART OF THE SEMI-ANNUAL REPORT
DISCRIMINATION
In November, and for the second year in a row, Citizens co-filed a shareholder
resolution at YUM! Brands, the largest fast food company in the world,
requesting the company to prepare a report addressing concerns about the
company's treatment of employees and customers. The company's Taco Bell Corp.
subsidiary has come under fire, and has been sued on more than one occasion for
not making modifications necessary for its restaurants to be accessible by
customers using wheelchairs or scooters. The United States District Court
certified the most recent case against the company filed in California as a
statewide class action. Our shareholder resolution calls for the company to
provide a report that gives shareholders information regarding the status of the
class action case.
YUM! Brands has not yet responded to the proposal. The same proposal last year
garnered 32.9% of the vote and if the proposal is included in the company's
proxy statement again this year, we are hopeful for an even better result.
LOOKING AHEAD
We anticipate quite a bit of activity during the 2006 proxy voting season. Early
indications suggest that environmental issues will once again lead the way in
the number of shareholder proposals filed at companies, including toxic use
reduction and climate change related proposals.
Two corporate governance issues we will pay special attention to during the year
are political contributions and executive compensation. The former has long been
a hook used during election season to garner votes. Research that came out of
The Center for Political Accountability more than three years ago revealed the
risks to shareholders of companies not fully disclosing and, in some cases of
not being fully aware of where contributions ultimately land. We believe
shareholders have a right to know how such monies are being distributed and we
will be more active on this issue in 2006.
Socially responsible investors are no strangers to the issues and concerns of
executive compensation. The SEC's recent vote to require companies to enhance
their disclosure of executive pay further illustrates the need for companies to
be more transparent. The proposed new rule, while not intended to reduce
compensation, will certainly bring more pressure to bear on boards of directors
to be more diligent.
NOT A PART OF THE SEMI-ANNUAL REPORT 6
MARKET OVERVIEW
While the economy continued to grow strongly, the stock market posted a modest
5.77% return as measured by the S&P 500 Index for the six months ended December
31, 2005. Why only modest gains? Three primary factors: increasing concern over
consumer spending, long-term interest rates, and uncertainty. [300]
Consumer spending, in our opinion, is a major driver of our economy's growth and
we, as consumers, continue to purchase more and more and save less and less. In
fact, the average savings rate of a U.S. citizen was -0.2 of disposable personal
income as of December 31, 2005, and has been negative for over six months. We
believe this indicates people are buying goods and services with the equity in
their homes, personal savings and gains from investments, rather than their
personal income. How long consumer spending can continue this way is an
important question. We believe people need to increase their savings and in our
opinion, that will mean eventually deferring spending or buying less. We
believe, when this happens, the economy will slow. For the third quarter of 2005
consumer spending helped drive growth in Gross Domestic Product (GDP), a key
measure of our economic health, to 4.1%. However, in the fourth quarter ended
December 31, 2005, consumer spending slowed, contributing to a slower rate of
growth for GDP at an estimated annual rate of 1.1%, according to the Bureau of
Economic Analysis. We believe growth rates will continue to be impacted by a
slowdown in consumer spending.
The Federal Reserve increased the fed funds rate, the rate banks charge each
other for short term borrowing, four times during the six months ended December
31, 2005. But, we believe short term rate increases had
(CONTINUED)
"WE FIND THIS TYPE OF MARKET PLACES A PREMIUM ON OUR STYLE OF ACTIVE
INVESTMENT MANAGEMENT."
- Jonathan White, CFA, Chief Market Stategist
[PHOTO]
7 NOT A PART OF THE SEMI-ANNUAL REPORT
very little effect on market performance or economic growth. In past years, our
economy seemed to respond very quickly to such increases. That was when
manufacturing represented about 40% of our economy, while today manufacturing is
just 15%. With the advent of advanced inventory management technology, short
term interest rates, in our opinion, have less of an affect on inventory
financing and less affect on the market and the economy. Long term interest
rates on the other hand do affect the market more readily, both directly as an
investment alternative and indirectly through the cost of capital spending
programs. However, ten year treasury notes have been fluctuating in a range
between just under 4.0% and 4.6% for the last two years. In our view, long term
rates remaining stable and relatively low for so long demonstrates that interest
rates had little effect on continued economic growth and stock market
performance.
A hindrance to greater growth and market performance, in our opinion, was the
climate of uncertainty and fear that we believe colored expectations for future
company earnings, consumer spending and interest rates. The number of soldiers
killed in Iraq reached 2,000 during the last months of the calendar year. The
aftermath of the Katrina and Rita hurricane disasters created questions about
their effect on the economy Energy prices skyrocketed and then declined almost
as quickly, and the appointment of a new Federal Reserve chairman, Ben Bernanke,
fueled further uncertainty with respect to interest rates in our opinion.
In summary, we believe consumer spending drove the economy, increased short term
interest rates had little effect, and a cloud of fear and uncertainty tempered
the market making for a modest return of 5.77% the S&P 500 Index for the six
month period ended December 31, 2005. By capitalization, mid cap stocks
especially outperformed within the domestic market with the Russell Midcap
Growth Index up 10.22% for the six month period.
OUTLOOK
With an economy expected to grow, albeit at a slower rate, and challenged with a
growing trade deficit and over-extended consumers, it is most likely we will see
the market stay within a narrow trading range in 2006. We find this type of
market places a premium on our style of active investment management. In our
opinion, finding good companies to invest in requires careful attention to
company fundamentals, progressive environmental and social practices, industry
trends, and merger and acquisition activity
NOT A PART OF THE SEMI-ANNUAL REPORT 8
RISKS OF MUTUAL FUND INVESTING
As with any fund that invests in stocks or fixed-income securities, the value of
your investment will fluctuate in response to individual company actions, as
well as general economic, political and market conditions. Reactions to these
factors may differ among various stock types, and investments in specific funds
may present unique risks -- and benefits -- given the nature of their focus.
Many of these risks are discussed below and additional information on risks may
also be found in the Citizens Funds prospectus.
GROWTH INVESTING RISKS
Growth stocks may be especially volatile, because their prices are largely based
on estimates of future earnings.
VALUE INVESTING RISKS
Value stocks may fall or remain flat if certain conditions or investor
perceptions do not change as expected, or if the companies prove not to be
underpriced.
SMALL- AND MEDIUM-SIZED COMPANY RISKS
Small- and medium-sized companies pose unique investment risks as they may have
less seasoned management, limited product lines, financing and market share
challenges, and shares that trade with more volatility, less frequently or in
smaller volumes.
INDEX-RELATED RISKS
The performance of the Citizens 300 Fund may deviate from that of the Citizens
Index due to factors such as fund fees and expenses and the fund's holdings
differing from that of the index.
FOREIGN INVESTING RISKS
Foreign markets pose unique investment risks, including political instability
and currency risks, excessive taxation, different financial and auditing
standards, increased market volatility and other factors.
FIXED-INCOME INVESTING RISKS
Interest rate increases can cause the value of bonds to decrease, meaning that a
bond fund investment may lose value in a rising interest rate environment. There
is also the chance that some of the fund's holdings will have their credit
ratings down-graded or may default, potentially reducing the fund's income level
and share price.
9
HIGH-YIELD SECURITY RISKS
High-yield securities (so-called "junk bonds") offer the potential for higher
returns but present significant volatility and risk of loss of principal and
interest.
MONEY MARKET RISKS
Investments in the Citizens Money Market Fund are not insured or guaranteed by
the FDIC or any other government agency. Although the fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the fund.
BENCHMARKS
When evaluating performance of any investment, it is useful to look at both
absolute and relative return. In other words, how much did the fund generate or
lose for shareholders in the reporting period, and how did that performance
compare to the fund's benchmark? Below is a brief description of the benchmarks
we use. Please keep in mind that these benchmark indices are unmanaged, meaning
you cannot invest directly in them, and their performance does not reflect the
impact of fees and expenses that apply to our funds.
The S&P 500 INDEX includes a representative sample of 500 leading companies in
the U.S. economy, focused on the large cap segment of the U.S. equity universe.
The S&P 400 MIDCAP INDEX includes a representative sample of 400 leading
companies in the U.S. economy, focused on the small -- mid cap segment of the
U.S. equity universe.
The RUSSELL 1000 GROWTH INDEX measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000 Index covers the large-cap segment of the U.S. equity universe.
The RUSSELL MIDCAP GROWTH INDEX measures the performance of those Russell Midcap
companies with higher price-to-book ratios and higher forecasted growth values.
The Russell Midcap Index covers the mid cap segment of the U.S. equity universe;
it includes the smallest 800 securities in the Russell 1000 Index.
10
The RUSSELL 2000 GROWTH INDEX measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Index covers the small cap segment of the U.S. equity universe.
The MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) WORLD INDEX is a market
capitalization-weighted equity index of over 1,500 stocks traded in 23 world
markets.
The LEHMAN BROTHERS U.S. AGGREGATE INDEX is comprised of taxable, investment
grade fixed income securities, including government, corporate, mortgage and
asset-backed securities.
The BLENDED INDEX is comprised of 60% S&P 500 Index and 40% Lehman Brothers U.S.
Aggregate Index.
The CITIZENS INDEX consists of 300 mostly U.S. companies that meet Citizens
Advisers' financial and social criteria. The Citizens 300 Fund seeks to
replicate the composition and performance of the Citizens Index.
The DOW JONES INDUSTRIAL AVERAGE (DJIA), comprised of 30 companies, serves as a
measure of the U.S. market, covering diverse industries including financial
services, technology, retail, entertainment and consumer goods.
11
CITIZENS 300 FUND
[PHOTO]
"WE BELIEVE EXPANSION WILL CONTINUE, THOUGH AT DECREASING RATES AS A RESULT
OF THE CURRENT ECONOMIC ENVIRONMENT."
PORTFOLIO MANAGER
Sophia Collier
INVESTMENT GOAL
Long-term capital appreciation
INVESTMENT STRATEGY
Invests mainly in stocks and other equities of U.S. large capitalization
companies
INCEPTION DATE
Standard shares 8.29.03
RISKS
Growth, value and index-related investing (See pages 9 - 11 for important fund
risk and benchmark disclosure)
PORTFOLIO REVIEW
HOW DID WE DO?
The Citizens 300 Fund returned 5.28% versus the benchmark S&P 500 Index return
of 5.77% for the six months ended December 31, 2005. Among the sectors
delivering strong returns for the fund were energy, industrials, financials and
materials. Relative to the benchmark, the fund's holdings within the consumer
discretionary sector had superior price appreciation for the period. The fund
also benefited from the strong performance of the fund's energy names.
Meanwhile, an underweight of the information technology sector within the fund
compared to the benchmark magnified the underperformance of the fund's holdings
in the sector. Telecommunication services was the only sector that declined in
both the benchmark and the fund for the six month period. The under-represen-
tation of industrial material stocks
CITIZENS 300 FUND 12
CITIZENS 300 FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 Since
Share class symbol months year inception
- --------------------------------------------------------------------------------------------
STANDARD SHARES CFCDX 5.28% 2.46% 8.01%
</Table>
Data presented reflects past performance of the fund, which is no guarantee of
future results. Current performance may be lower or higher than the performance
data quoted. Performance data current to the most recent month-end may be
obtained online at www.citizensfunds.com. Fee waivers are currently in effect
and have been instituted in the past to maintain expense limits, without which
returns would have been lower. Investment return and principal value of an
investment in the fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
figures assume reinvestment of dividends and distributions but do not reflect
the deduction of taxes you would pay on fund distributions or redemptions of
fund shares.
in the fund relative to the benchmark, caused in part by fewer companies that
meet our social responsibility standards, was a further detraction from fund
performance during the period.
Our holdings within the consumer discretionary sector contributed to positive
fund performance for the period. Within the consumer discretionary sector of the
fund, the returns for both eBay stock and McDonalds' stock contributed
significantly to fund performance. eBay's stock returned nearly 30.53% during
the six month period, while McDonalds' stock returned over 21.18% during the
same period. Within the energy sector of the fund, Burlington Resources' stock
returned 54.20% over the six months with the help of a takeover bid from
ConocoPhillips, while shares of Valero returned nearly 29.98% for the same
period.
Within the underperforming sector of information technology, a stellar
performance by Apple Computer, whose stock price nearly doubled during the
period, was not sufficient to offset the performance of the stocks of tech
bellwethers Dell, Cisco, Intel, and Oracle; each of which experienced declines
during the last six months of the year.
The fund and the underlying Citizens Index saw several minor changes to a number
of their holdings during the last six months of the calendar year, reflecting
the mergers and acquisitions environment and other corporate restructurings.
Sprint completed its acquisition of Nextel, Procter &
13 CITIZENS 300 FUND
Gamble completed its acquisition of Gillette and SBC became AT&T as the merger
of the two telecom companies was finalized. Additionally, Ameriprise Financial
was created with American Express' spin off of its financial planning business,
and Fidelity National Financial partially spun off its title insurance business,
Fidelity National Title Group.
OUTLOOK
We believe earnings growth will remain positive, but increasing costs of energy
and capital will dampen the acceleration of growth. We believe expansion will
continue, though at decreasing rates as a result of the current economic
environment.
CITIZENS 300 FUND 14
CITIZENS CORE GROWTH FUND
CORE GROWTH
[PHOTO]
"EXPRESS SCRIPTS, INC. WAS ONE OF THE TOP PERFORMING STOCKS IN THE PORTFOLIO FOR
THE SIX MONTHS ENDED DECEMBER 31, 2005. THE STOCK RETURNED 51.79% DURING THE
PERIOD."
PORTFOLIO MANAGER
Jonathan White, CFA
INVESTMENT GOAL
Long term capital appreciation
INVESTMENT STRATEGY
Invests mainly in stocks of U.S.
large capitalization companies
INCEPTION DATES
Standard shares 3.03.95
Institutional shares 1.25.96
Administrative shares 2.04.00
RISKS
Growth investing (See pages 9 - 11 for important fund risk and benchmark
disclosure)
[CORE GROWTH]
PORTFOLIO REVIEW
HOW DID WE DO?
For the six month period ended December 31, 2005, the Core Growth Fund standard
shares returned 7.96% as compared with a 5.77% total return for the S&P 500
Index and a 7.11% total return for the Russell 1000 Growth Index.
The fund maintained a healthy 10% position in energy stocks during the six month
period -- modestly overweight compared with the S&P 500 Index and
significantly overweight when compared to the Russell 1000 Growth Index for the
same period. While those staples did very well for us in the third quarter of
the calendar year, immediately following the aftermath from hurricanes Katrina
and Rita, oil prices fell sharply and the energy stocks we held in the portfolio
suffered accordingly. However, some energy stocks did recover somewhat during
the last two months of the period.
15 CITIZENS CORE GROWTH FUND
CITIZENS CORE GROWTH FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 5 10 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES WAIDX 7.96% 9.63% -2.93% 7.52% 9.07%
INSTITUTIONAL SHARES WINIX 8.33% 10.41% -2.25% NA 8.42%
ADMINISTRATIVE SHARES CGADX 8.18% 10.09% -2.54% NA -5.48%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
Express Scripts, Inc. was one of the top performing stocks in the portfolio for
the six months ended December 31, 2005. The stock returned 51.79% during the
period. The company provides pharmacy benefit management services that make it
more efficient to deliver prescription medicines to consumers. We like the
company because their business is providing part of the solution to improved
healthcare delivery; it is well managed, and has a record of beating earnings
estimates. The company also administers the Express Scripts Foundation that
sponsors programs and organizations that promote health issues among teens and
families.
Another positive contributor to performance this period was Burlington
Resources, Inc. The company explores and produces oil and natural gas. The stock
was very strong in the third quarter of 2005 as investors weighed the
implications of increasingly tight energy supplies. In addition, when measured
against other companies in the same industry on issues such as environment,
human rights and safety, Burlington Resources did very well in comparison to its
peers. The strong performance continued into the fourth quarter, helped by a
takeover bid from ConocoPhillips.
The worst performing holding for the fund for the last six months of 2005 was
Pulte Homes, which we sold during the month of October of 2005, as the housing
market showed signs of slowing in the face of rising interest rates and an
over-extended consumer. We made modest changes in sector weightings in the
portfolio, reducing healthcare to slightly over 10% of the
CITIZENS CORE GROWTH FUND 16
portfolio by the end of the period. We also reduced our holdings within the
consumer staples and discretionary sectors, including retail stocks, and did
take some profits in energy stocks, trimming positions in Apache and Murphy Oil.
We added State Street Corp. and Progressive Corporation in the financial sector,
raising the overall percentage of financial stocks in the fund to approximately
19% by the end of the period. State Street Corp. added to our exposure in
capital markets through investment management and support services while
Progressive Corporation has a strong record in property casualty insurance.
OUTLOOK
Entering 2006, we take a cautious view of the market without being defensive.
That means keeping a careful eye on the size of the positions in our portfolio,
sticking with what we believe to be better quality companies and remaining well
diversified across industry sectors. We will target the fund's sector weightings
to track more closely to the S&P 500 Index rather than the more aggressive
Russell 1000 Growth Index. We expect to maintain between 60 and 65 names in the
fund, in our opinion enough to be diversified while enabling us to keep a close
eye on what we own.
17 CITIZENS CORE GROWTH FUND
CITIZENS EMERGING GROWTH FUND
[PHOTO]
"... NO MATTER WHAT THE OVERALL MARKET IS DOING, GENERALLY THERE ARE
COMPANIES WHOSE STOCKS ARE PERFORMING WELL, AND OUR INVESTMENT SELECTION
PROCESS WILL CONTINUE TO SEEK TO UNCOVER THE POTENTIAL LEADERS."
CO-PORTFOLIO MANAGERS
J. Michael Gallipo, CFA
Jonathan White, CFA
INVESTMENT GOAL
Aggressive growth
INVESTMENT STRATEGY
Invests mainly in stocks young, growing, medium capitalization companies
INCEPTION DATES
Standard shares 2.08.94
Institutional shares 11.01.99
Administrative shares 2.04.00
RISKS
Growth investing; small- and medium-sized company risks (See pages 9 - 11 for
important fund risk and benchmark disclosure)
PORTFOLIO REVIEW
HOW DID WE DO?
The fund's standard shares returned 10.28% for the last six months of the
calendar year ended December 31, 2005. This return was comfortably ahead of the
S&P MidCap 400 Index of return of 8.39%, and slightly ahead of the Russell
Midcap Growth Index return of 10.22% for the same period.
Fund performance for the six month period benefited from our overweight
position in stocks within the financial sector, as these stocks rallied during
the last quarter of the 2005 calendar year. The outperformance validated our
strategy of picking financial stocks that would be influenced by actions of the
Federal Reserve. Our stock selection within the information technology sector
was a significant contributor to positive fund performance, although the sector
was fairly neutral when compared to the
CITIZENS EMERGING GROWTH FUND 18
CITIZENS EMERGING GROWTH FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 5 10 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES WAEGX 10.28% 12.19% -5.25% 9.33% 11.57%
INSTITUTIONAL SHARES CEGIX 10.74% 12.98% -4.63% NA -0.21%
ADMINISTRATIVE SHARES CGRDX 10.58% 12.70% -4.92% NA -5.14%
</Table>
[EMERGING GROWTH]
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
benchmark for the last six months of the calendar year. Within the information
technology sector, Apple Computer, Inc. was a large contributor to positive
performance. The company's iPod brand dominance among the portable music players
continues, with no real competition to date. On the corporate responsibility
forefront, Apple has gone beyond the required environmental regulations, banning
a more inclusive list of toxic chemicals from use in its products. Apple also
introduced new recycling efforts, such as inviting consumers to bring old iPod
units to Apple stores for disposal, in exchange for a 10% discount off a new
iPod. The company has very progressive employee benefits, and received a perfect
score on the Human Rights Campaigns Corporate Equality Index for 2005. These
attributes are aligned with the criteria Citizens looks for when assessing a
company for investment -- traditional fundamental analysis and in-depth
assessment of select social and environmental factors.
The fund's performance for the six month period also benefited from our stock
selection of Intuitive Surgical, a healthcare company that specializes in remote
surgical technology. This company is a great example of what we look for when
considering investments for the fund. The company is a profitable emerging
company, in our opinion, with well above average growth and a practical product
line. The robotic surgical devices produced by the company are used to reduce
trauma to surgical patients and can speed post-surgery recovery time.
Competitors that produce similar technology simply do not exist, and we believe
the company will continue to do well.
19 CITIZENS EMERGING GROWTH FUND
Stocks that detracted from fund performance included Cooper Cos. The company is
a maker of contact lenses and surgical products, and cut its earnings forecast
in the fourth quarter of 2005, due to a loss in market share for disposable
lenses. In our opinion, additional downward pressure was placed on the stock
price as a result of a recent acquisition. As a result, we sold off the position
in Coopers Cos. Another detractor from performance was the stock of Toll Bros.
We sold off the position after the construction company guided down company
earnings growth rates for 2006. This information, coupled with our concerns of a
possible slow down in the real estate market, led us to the decision to remove
the holding from the fund.
OUTLOOK
Our outlook for 2006 is fairly cautious. However, no matter what the overall
market is doing, generally there are companies whose stocks are performing well,
and our investment selection process will continue to seek to uncover the
potential leaders. We believe the mid cap market is a great place to find more
nimble companies that we believe demonstrate a high level of environmental and
social responsibility, and in our opinion, have the potential for strong
financial results.
CITIZENS EMERGING GROWTH FUND 20
CITIZENS SMALL CAP CORE GROWTH FUND
[PHOTO]
"IN THE SMALL CAP MARKET IN PARTICULAR, WE BELIEVE THERE ARE MANY
QUALITY COMPANIES THAT ARE IN DEFENSIBLE NICHES AND, IN OUR OPINION,
OFFER GROWTH OPPORTUNITIES."
CO-PORTFOLIO MANAGERS
John White, CFA
J. Michael Gallipo, CFA
Sophia Collier
INVESTMENT GOAL
Capital appreciation
INVESTMENT STRATEGY
Invests mainly in stocks of small capitalization U.S. companies
INCEPTION DATE
Standard shares 12.28.99
RISKS
Growth risks; small- and medium-sized company risks (See pages 9 - 11 for
important fund risk and benchmark disclosure)
[SMALL CAP CORE GROWTH]
PORTFOLIO REVIEW
HOW DID WE DO?
For the six months ended December 31, 2005 the fund lagged its benchmark
returning 6.09% as compared with 8.02% for the Russell 2000 Growth Index.
However for the twelve months ended December 31, 2005, the fund was a stand out
winner returning 8.16% versus 4.15% for the Russell 2000 Growth Index. Energy
was the top performing sector for the fund, and contributed the most to fund
performance for the last six months of the calendar year. The fund was
underweight holdings within the financial sector compared to the benchmark for
the six month period. However, the stocks we chose within the financial sector
provided a much higher return than those within the benchmark.
Our largest contributor to fund performance for the period was RPC,
21 CITIZENS SMALL CAP CORE GROWTH FUND
CITIZENS SMALL CAP CORE GROWTH FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 3 5 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES CSCSX 6.09% 8.16% 17.13% 5.45% 3.42%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
Inc., an oil field service company. RPC, Inc.'s stock returned 133.20% for the
period. Despite the inherent risks of significant safety and environment
liabilities, the company has successfully managed these risks with no record of
significant environmental or safety violations to date. We believe high-energy
prices may continue and RPC, Inc. may benefit from increased capital spending.
Quality Systems, Inc. was another top contributor to the fund's performance for
the six-month period. The company provides software for physicians' offices to
help streamline the storage and retrieval of medical records. Quality Systems,
Inc. is one of the many healthcare companies providing solutions for a
challenged industry. Their stock returned 61.90% for the six months ended
December 31, 2005.
While the healthcare sector contributed to positive performance for the
benchmark for the six month period, our holdings within the healthcare sector of
the fund detracted from fund performance. Three out of the four stocks that
detracted the most from fund performance were healthcare stocks, including the
worst performing stock, Amerigroup, and we exited these three positions by the
end of the 2005 calendar year. Amerigroup provides managed care services to
Medicaid members. The firm aims to provide lower cost health services and
depends on negotiated payments from individual states. Their stock price dropped
54.40% when the company missed earnings projections stemming from higher costs
to provide services in a few states. This was the second quarter of missed
CITIZENS SMALL CAP CORE GROWTH FUND 22
earnings projections and we sold off the entire position during the third
quarter of the calendar year.
OUTLOOK
We remain cautious on the small cap market. However, in our view, businesses are
in good shape having adopted more prudent growth practices in the most recent
years. In the small cap market in particular, we believe there are many quality
companies that are in defensible niches and, in our opinion, offer growth
opportunities. We plan to remain modestly overweight in the energy and
industrial sectors relative to the Russell 2000 Growth Index. We also plan to
remain diversified across all of the sectors and avoid significant sector bets.
23 CITIZENS SMALL CAP CORE GROWTH FUND
CITIZENS VALUE FUND
[PHOTO]
"WHILE IT IS DIFFICULT TO FORECAST ANY OF THE MARKETS FOR ANY GIVEN
PERIOD, WE SEEK TO IDENTIFY THE AREAS WITHIN THE MARKETS THAT ARE
GROWING AND WHERE THERE ARE STILL ATTRACTIVE VALUES AND POSITION OUR
PORTFOLIO ACCORDINGLY."
PORTFOLIO MANAGER
Sophia Collier
INVESTMENT GOAL
Long-term capital appreciation
INVESTMENT STRATEGY
Invests mainly in stocks and other equities of U.S. large capitalization
companies
INCEPTION DATE
Standard shares 6.13.96
RISKS
Value risks (See pages 9 - 11 for important fund risk and benchmark disclosure)
PORTFOLIO REVIEW
HOW DID WE DO?
Citizens Value Fund had a total return of 4.48% for the six months ended
December 31, 2005 versus a 5.77% gain for the benchmark S&P 500 Index for the
same period. While the fund lagged the benchmark for the period, it outperformed
the benchmark with a strong overall gain of 7.93% versus the S&P 500 Index total
return of 4.91% for the full twelve months ended December 31, 2005.
Some of the fund's big winners in the six months were transportation stocks led
by FedEx and Norfolk Southern. Our success with FedEx is a good example of what
we are seeking to do with the fund. The stock of FedEx returned 27.46% in the
six months ended December 31, 2005, yet it still trades at an attractive
discount relative to industry peer, United Parcel Service.
CITIZENS VALUE FUND 24
CITIZENS VALUE FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 3 5 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES MYPVX 4.48% 7.93% 17.09% 1.61% 7.94%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares. For the periods prior to September
24, 2001, performance includes that of the fund's predecessor, the Meyers Pride
Value Fund.
[VALUE]
Like FedEx, UPS is a growing company with world-wide opportunity. But FedEx has
been growing more rapidly. We believe the stock of FedEx will benefit as the
company grows its profits, but we think the stock will also profit from a
gradual increase of its valuation relative to UPS. FedEx has also been working
to reduce its environmental impact. With a worldwide fleet of vans, planes and
other vehicles, FedEx consumes a lot of energy. The company is installing solar
electric systems, such as at its hub at Oakland International Airport. The
company has also worked with Environmental Defense, an environmental non-profit
organization, to develop a diesel-electric hybrid delivery van, which emits 90%
less particulate matter and consumes 57% less fuel per mile than its existing
vans.
Another company that is typical of our relative value strategy is our largest
holding, healthcare provider WellPoint, Inc. WellPoint, Inc. provides health
benefits to some 34 million members nationwide. The stock was one of our top
five contributors to fund performance, returning approximately 14% for the last
six months of the calendar year. The company also communicates the relevance and
importance of diversity to its employees by integrating diversity awareness into
associate and management training. In January of 2005, the National Association
for Female Executives named WellPoint, Inc. to its list of "Top 30 Companies for
Female Executives" for the second year in a row. WellPoint, Inc. is growing
strongly as a result of its acquisition strategy and we believe the company may
do well under the new federal drug benefit plan.
25 CITIZENS VALUE FUND
In the last quarter of the calendar year, the fund underperformed the S&P 500
Index due in part to ConocoPhillips, one of the fund's largest positions.
ConocoPhillips' stock price declined when it announced its plans to acquire
natural gas producer Burlington Resources. While we were disheartened by the
immediate market reaction, in our view the acquisition did make sense so we used
the price decline to add to our ConocoPhillips position. We still believe that
ConocoPhillips remains one of the most attractively valued energy companies
within our socially approved universe and we believe the holding will benefit
the fund in 2006.
In relative terms, the fund's underperformance was the result of what we did not
hold as much as what we did hold. During the last six months of the calendar
year a number of higher priced "growth" companies like Apple Computer and
Starbucks had strong gains. As a fund with a value strategy, we did not hold
these growth oriented stocks. We also did not hold some large members of the S&P
500 Index such as Wal-Mart and General Electric. These socially rejected
companies underperformed for most of the year, yet rallied modestly in the last
three months of the year. This contributed to the fund's outperformance for the
year, but also to the relative underperformance in the last six months of the
year.
OUTLOOK
While it is difficult to forecast any of the markets for any given period, we
seek to identify the areas within the markets that are growing and where there
are still attractive values and position our fund accordingly. For instance, we
have brought our high technology weight up to an equal weight position with the
benchmark anticipating continued strength in this sector. As always, we will
focus on the names that show the best relative value and where we believe there
is a catalyst for share price appreciation.
CITIZENS VALUE FUND 26
CITIZENS GLOBAL EQUITY FUND
[PHOTO]
PORTFOLIO MANAGER
The fund is managed by a team of portfolio managers at McLean Budden Limited
INVESTMENT GOAL
Capital appreciation
INVESTMENT STRATEGY
Invests in promising companies throughout the world
INCEPTION DATES
Standard shares 2.08.94
Institutional shares 11.01.99
Administrative shares 2.04.00
RISKS
Growth and foreign investing (See pages 9 - 11 for important fund risk and
benchmark disclosure)
PORTFOLIO REVIEW HOW DID WE DO?
Despite posting a good nominal return, the fund's standard shares underperformed
the benchmark during the last six months of the calendar year ended December 31,
2005 returning 8.95% versus the benchmark MSCI World Index return of 10.25%.
After a relatively flat first half of the calendar year 2005, world markets came
alive to finish the year on a very positive note. The advance was broad based
with the exception of the telecommunication services sector. The material,
industrial and financial sectors led the increase for the global markets as gold
and copper reached 20-year highs and in general, most precious and base metals
rose during the last half of the calendar year. Although up strongly at the
start of the 2005 calendar year, the energy sector came off its highs during
the third quarter. We believe the decline in the energy sector was the result
of unseasonably warm weather acting as a catalyst for the long-awaited decrease
in demand.
[GLOBAL EQUITY]
Japan came into focus after September's decisive election victory allowed Prime
Minister Koizumi to continue his government reform efforts. We believe this
helped produce a long awaited recovery in confidence that sent the Japanese
market surging, led by the
27 CITIZENS GLOBAL EQUITY FUND
CITIZENS GLOBAL EQUITY FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 5 10 Since
Share class symbol months year years years inception
- ---------------------------------------------------------------------------------------------------
STANDARD SHARES WAGEX 8.95% 7.73% -5.46% 6.64% 6.46%
INSTITUTIONAL SHARES CGEIX 9.33% 8.47% -4.87% NA -2.46%
ADMINISTRATIVE SHARES CEADX 9.06% 8.06% -5.19% NA -9.06%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
financial sector. It is our opinion the financial sector within Japanese markets
may benefit greatly from the government's continuing reform efforts.
Japan's dominant role was attributed to strong performance in the financial,
industrial and consumer discretionary sectors. The top performing stocks within
the portfolio during the second half of the calendar year were Japanese
industrial stock, Komatsu, and Japanese financial stock, Mitsubishi Tokyo UFJ.
For the last six months of the calendar year, the fund's performance benefited
from the underweight position in the utilities sector relative to the benchmark
as the sector declined toward the end of the period. While positive fund
performance in the last six months of the calendar year was driven by strong
stock selection in the financial and industrial sectors, these factors were not
enough to make up for stock selection that detracted from fund performance
within the telecommunication services and consumer discretionary sectors for the
same period. The overweight position in the healthcare sector also hurt results
for the last six months of the calendar year.
Currently, information technology (IT) is the most heavily weighted sector in
the portfolio relative to the benchmark. After several years of low investment,
we believe companies will be investing in their technology
CITIZENS GLOBAL EQUITY FUND 28
infrastructures in order to drive internal margin improvements. We believe IT
companies will be the net beneficiaries of this spending, and will drive their
earnings growth. On a similar theme, as companies try to boost top-line growth,
we believe advertising spending will increase, and we added to our holdings in
WPP Group plc, a company which operates communications services worldwide. We
believe WPP Group plc demonstrates strong fundamentals, and, on the socially
responsible side, the company participates in charitable giving to organizations
involved in the education of young people -- particularly the disadvantaged.
OUTLOOK
While the Europe, Australia, and Far East Index (EAFE) returned 14.99%, the
total return of the S&P 500 Index was 5.77% for the six months ended December
31, 2005; we believe the benefits of global diversification remain apparent. We
believe equity market returns for the next twelve months will be somewhat muted
as the headwinds of interest rate increases, higher oil prices, and slower
earnings growth keep the upside constrained. We expect that larger
capitalization stocks will do better than smaller stocks as the market is
expected to worry more about valuations and risk levels.
29 CITIZENS GLOBAL EQUITY FUND
CITIZENS BALANCED FUND
[PHOTO]
"THE FEDERAL OPEN MARKET COMMITTEE ALSO MADE IT CLEAR THAT FUTURE
POLICY WILL BE CLOSELY TIED TO ECONOMIC DATA RELEASES. WE CONTINUE TO
BELIEVE WE CAN FIND SECURITIES WITHIN THIS ENVIRONMENT THAT WILL
BENEFIT THE FUND."
PORTFOLIO MANAGER
Robert Magan, CFA
INVESTMENT GOAL
Current income and capital appreciation
INVESTMENT STRATEGY
Invests in a blend of stocks, bonds and money market securities
INCEPTION DATE
Standard shares 12.20.02
RISKS
Growth and fixed income investing (See pages 9 - 11 for important fund risk and
benchmark disclosure)
PORTFOLIO REVIEW
HOW DID WE DO?
The Citizens Balanced Fund returned 6.34% for the six month period ended
December 31, 2005, comfortably ahead of the benchmark blended index
(consisting of 60% S&P 500 Index and 40% Lehman Brothers U.S. Aggregate Index)
results of 3.44% for the same period. The equity portion of the fund ended the
last six months of the 2005 calendar year with a total return of approximately
10%, while the S&P 500 Index returned 5.77% for the same period. When compared
to the S&P 500 Index, the outperformance of the equity portion of the fund was
primarily driven by stock selection. Stock selection within the information
technology sector provided significant contribution to total return of the fund,
despite the underweight position of the information technology sector within the
fund when compared to
CITIZENS BALANCED FUND 30
CITIZENS BALANCED FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 Since
Share class symbol months year inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES CFBLX 6.34% 8.86% 10.08%
</Table>
Data presented reflects past performance of the fund, which is no guarantee of
future results. Current performance may be lower or higher than the performance
data quoted. Performance data current to the most recent month end may be
obtained online at www.citizensfunds.com. Fee waivers are currently in effect
and have been instituted in the past to maintain expense limits, without which
returns would have been lower. Investment return and principal value of an
investment in the fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
figures assume reinvestment of dividends and distributions but do not reflect
the deduction of taxes you would pay on fund distributions or redemptions of
fund shares.
the S&P 500 Index. One of the holdings within this sector, Apple Computer, Inc.
contributed significantly to positive fund performance, as its stock returned
67.78% for the last six months of the year. As the popularity of the iPod
portable music player drove the stock price higher, we took our profits and sold
off the position in an effort to reduce our exposure to what we believe may be
increased volatility that may be introduced at higher price levels. We will
continue to monitor the company closely and evaluate whether it is an
appropriate investment for our strategy in the future.
The stock price of Whole Foods Markets, Inc. returned 28.10% for the six months
ended December 31, 2005. This return coupled with the significant weighting of
the stock in the portfolio, contributed positively to the total return of the
equity portion of the fund. Whole Foods is an industry leader in promoting
sustainable and environmentally friendly farming and meat production. The grocer
provides a "superior shopping experience" to the mundane task of buying
groceries. A large selection of organic foods, pleasant smells and food-tasting
opportunities for consumers lends to Whole Foods Markets Inc. broad appeal.
[BALANCED]
Certain stocks in the fund within the financial sector performed very well as
anticipation of the Fed ending their recent pattern of raising interest rates
increased optimism. Although financial stocks in the fund performed very well,
the fund's underweight position in the financial sector when compared to the S&P
500 Index detracted from performance when the sector rallied towards the end of
the six month period.
31 CITIZENS BALANCED FUND
For the fixed income market, the Lehman Brothers U.S. Aggregate Index had a
- -0.08% return for the six months ended December 31, 2005. During the six month
period, the yield on the ten year U.S. treasury note increased to over 4.65%,
but by the end of the six month period, the yield fell back to 4.35%, which is
more favorable to the market value of longer-duration securities. The
combination of an active Fed, healthy economic growth and potential inflation,
pressured yields higher, which in turn negatively impacted the prices of fixed
income investments.
OUTLOOK
We believe that the equity markets may continue to slow as the increases to the
cost of doing business continue to accelerate and the recent interest rate
increases take hold. The Fed raised rates on January 31, 2006 to 4.50% and also
indicated that the Federal Open Market Committee (FOMC) left the door open for
more rate hikes. The FOMC also made it clear that future policy will be closely
tied to economic data releases. We continue to believe we can find securities
within this environment that will benefit the fund.
CITIZENS BALANCED FUND 32
CITIZENS INCOME FUND
[PHOTO]
PORTFOLIO MANAGER
The fund is managed by a team of portfolio managers at Dwight Asset Management
Company
INVESTMENT GOAL
Current income and monthly dividend payment
INVESTMENT STRATEGY
Invests in bonds that are diversified across sectors, including U.S. treasury,
mortgages, corporate, and asset-backed securities
INCEPTION DATE
Standard shares 6.10.92
RISKS
Fixed-income investing; high-yield security risks (See pages 9 - 11 for
important fund risk and benchmark disclosure)
PORTFOLIO REVIEW
On August 29, 2005 Dwight Asset Management Company assumed management for
Citizens Income Fund as the new subadviser. Dwight, a Burlington Vermont based
investment firm, is a wholly-owned, independently operated subsidiary of Old
Mutual plc, a global financial services company with more than $260 billion in
assets under management and world-wide operations in asset management, banking
and insurance. The firm's depth of experience gives us confidence that we will
benefit from their services.
HOW DID WE DO?
From the start of the six month period through August 31, 2005, the fund
narrowly outperformed the benchmark Lehman Brothers U.S. Aggregate Index by 2
basis points. For the entire six month period ended December 31, 2005, the fund
returned -0.32%, 24 basis points less than the -0.08% return of the Lehman
Brothers U.S. Aggregate Index.
[INCOME]
The last six months of the calendar year witnessed noteworthy news events that
impacted financial markets. Terrorist bombings in London, the war in Iraq, and
the hurricanes that struck the U.S. gulf coast all had a significant impact on
consumer confidence and oil prices. In our opinion, despite the
33 CITIZENS INCOME FUND
CITIZENS INCOME FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 5 10 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES WAIMX -0.32% 0.90% 3.56% 4.50% 5.34%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
immediate volatility caused by these events and the policy uncertainty following
the appointment of Ben Bernanke as the next Federal Reserve Chairman, the
economy remained quite resilient.
For the last six months of the calendar year, the fund's performance benefited
from maintaining a lower duration versus the benchmark as interest rates rose
across all maturities. The fund's underweight to "spread" sectors (those sectors
of the bond market, such as corporate debt obligations, that traditionally have
a higher yield than U.S. treasury obligations) relative to the benchmark, helped
returns as most spread sectors underperformed comparable duration treasuries.
The fund's exposure to below investment grade corporate debt also helped returns
as the sector outperformed both treasuries and other investment grade
alternatives, for the period. For fixed income markets, the impact of rising
interest rates on market values was enough to offset the income earned during
the period. Contributing to the fund's underperformance relative to the
benchmark was an underweight to certain asset-backed securities for the period,
including home equity and auto loans, as these sectors performed well for the
benchmark.
OUTLOOK
Our forecast has been and continues to be that the Fed will raise the fed funds
rate to at least 4.75%, and we believe there is a very good chance that they
could raise it to 5% before stepping to the sidelines. Our forecast is
CITIZENS INCOME FUND 34
based on the belief that the economy will continue to grow above its potential
rate during the first half of 2006, and in our opinion, core consumer inflation
will creep higher. In our view, in this kind of environment it will be difficult
for the Fed to stop tightening without jeopardizing its credibility,
particularly given the presence of the new Federal Reserve chairman, Ben
Bernanke. In the coming months, we will look for opportunities to add exposure
in the fund to the asset-backed sector. We will look for opportunities to profit
from what we believe will be an environment with increasing interest rate
volatility, and by opportunistically changing our exposure to residential
mortgages in the first half of 2006.
35 CITIZENS INCOME FUND
CITIZENS MONEY MARKET FUND
[PHOTO]
"WE BELIEVE THE FED IS FOCUSED ON INFLATION BEING THE GREATEST
CONCERN, AND WE FULLY EXPECT THEM TO CONTINUE RAISING SHORT TERM RATES
IN 2006."
PORTFOLIO MANAGER
Robert Magan, CFA
INVESTMENT GOAL
Current income consistent with safety and liquidity
INVESTMENT STRATEGY
Invests exclusively in money market instruments
INCEPTION DATES
Standard shares 8.30.83
Institutional shares 2.01.96
RISKS
Money market investing (See pages 9 - 11 for important fund risk and benchmark
disclosure)
PORTFOLIO REVIEW
HOW DID WE DO?
The 7-day simple yield on the standard shares of Citizens Money Market Fund rose
to 3.20% as of December 31, 2005. The fund recorded a total return of 1.36% for
the last six months of the year ended December 31, 2005. Generally, we kept the
fund's average days to maturity shorter than our peers due to the rising
interest rate environment experienced during the period. This strategy allowed
us to take advantage of higher rates sooner than if we had owned longer
maturities in the fund, and as investments with lower yields matured, we
replaced them with securities that offered higher yields. The Federal Open
Market Committee (FOMC) continued its measured pace of increasing the fed funds
rate during the period. The result was an increase to the target rate of 4.25%
at the end of the six
CITIZENS MONEY MARKET FUND 36
CITIZENS MONEY MARKET FUND PERFORMANCE (as of 12.31.05)
<Table>
<Caption>
TOTAL RETURN AVERAGE ANNUAL RETURN
Ticker 6 1 5 10 Since
Share class symbol months year years years inception
- ----------------------------------------------------------------------------------------------------
STANDARD SHARES WKAXX 1.36% 2.21% 1.46% 2.98% NA
INSTITUTIONAL SHARES WAIXX 1.53% 2.57% 1.74% NA 3.39%
</Table>
Data presented reflects past performance, which is no guarantee of future
results. Current performance may be lower or higher than the performance data
quoted. Performance data current to the most recent month end may be obtained
online at www.citizensfunds.com. Fee waivers have been instituted in the past to
maintain expense limits, without which returns would have been lower. Investment
return and principal value of an investment in the fund will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost. Performance figures assume reinvestment of dividends and
distributions but do not reflect the deduction of taxes you would pay on fund
distributions or redemptions of fund shares.
month period. In the FOMC published policy statement that accompanied the
25-basis point increase in the fed funds rate on December 13, 2005, the Fed
acknowledged that "economic activity appears solid." Keeping pace with the
increasing fed rates were yields on commercial paper and certificates of
deposit.
OUTLOOK
The Fed raised rates when they met on January 31, 2006 and in our view, has left
the door open for more rate hikes. Once the Fed signals they have made their
last rate increase for this cycle, we will begin to extend our maturity. The
FOMC also made it clear that future policy will be closely tied to economic data
releases. We believe the Fed is focused on inflation being the greatest concern,
and we fully expect them to continue raising short term rates in 2006. We will
be monitoring future data releases that indicate the direction and pace of
inflation very closely.
[MONEY MARKET]
37 CITIZENS MONEY MARKET FUND
PORTFOLIO COMPOSITION (UNAUDITED)
PORTFOLIO COMPOSITION
<Table>
<Caption>
PERCENTAGE OF
300 FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Financials 24.2%
Information Technology 16.3%
Healthcare 14.6%
Consumer Discretionary 12.6%
Consumer Staples 10.0%
Energy 8.7%
Industrials 7.7%
Telecommunication Services 3.4%
Materials 1.4%
Utilities 1.1%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
CORE GROWTH FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Financials 18.3%
Information Technology 16.1%
Healthcare 13.0%
Consumer Discretionary 11.2%
Industrials 11.1%
Energy 10.1%
Consumer Staples 6.7%
Cash Equivalents 4.6%
Utilities 4.3%
Telecommunication Services 2.9%
Materials 1.7%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
EMERGING GROWTH FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Information Technology 22.4%
Consumer Discretionary 20.6%
Healthcare 17.7%
Financials 10.9%
Industrials 9.8%
Energy 9.4%
Consumer Staples 2.8%
Materials 2.3%
Cash Equivalents 2.0%
Telecommunication Services 1.3%
Utilities 0.8%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
SMALL CAP PERCENTAGE OF
CORE GROWTH FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Information Technology 21.4%
Industrials 18.4%
Consumer Discretionary 14.0%
Healthcare 12.3%
Energy 10.9%
Financials 9.5%
Cash Equivalents 6.3%
Materials 5.3%
Consumer Staples 1.9%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
VALUE FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Financials 21.1%
Information Technology 14.6%
Healthcare 13.2%
Industrials 11.4%
Energy 10.7%
Consumer Discretionary 8.5%
Consumer Staples 8.0%
Materials 3.9%
Utilities 3.6%
Cash Equivalents 2.9%
Telecommunication Services 2.1%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
GLOBAL EQUITY FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Financials 21.6%
Information Technology 16.3%
Healthcare 12.1%
Consumer Discretionary 11.8%
Industrials 11.6%
Energy 9.0%
Consumer Staples 8.2%
Materials 3.9%
Telecommunication Services 3.4%
Cash Equivalents 2.1%
- ------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
38
DECEMBER 31, 2005
<Table>
<Caption>
PERCENTAGE OF
BALANCED FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Equity
Financials 12.4%
Healthcare 9.6%
Information Technology 9.4%
Industrials 6.9%
Consumer Discretionary 6.7%
Energy 6.6%
Consumer Staples 5.0%
Utilities 2.1%
Telecommunication Services 1.7%
Materials 1.2%
- ------------------------------------------------------------
Fixed Income
U.S. Government Agency Obligations 16.0%
Corporate Bonds 11.2%
U.S. Government Obligations 4.6%
Collateralized Mortgage Obligations 0.3%
Foreign Government Bonds 0.2%
- ------------------------------------------------------------
Cash Equivalents 6.1%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
INCOME FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Cash Equivalents 27.4%
U.S. Government Agency Obligations 26.3%
U.S. Government Obligations 24.5%
Corporate Bonds 11.5%
Collateralized Mortgage Obligations 9.5%
Foreign Government Bonds 0.8%
- ------------------------------------------------------------
</Table>
<Table>
<Caption>
PERCENTAGE OF
MONEY MARKET FUND INVESTMENTS
SECURITY ALLOCATION AT VALUE
- ------------------------------------------------------------
Commercial Paper 78.0%
Certificates of Deposit 10.9%
U.S. Government Agency Obligations 7.0%
Municipal Notes 4.1%
- ------------------------------------------------------------
</Table>
All portfolio compositions subject to change.
SEE FINANCIAL NOTES
39
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 99.7%
Air Freight - 1.6%
FedEx Corp. 200 21
United Parcel Service, Class B 665 50
-----
71
Airlines - 0.2%
jetBlue Airways Corp. (a) 150 2
Southwest Airlines Co. 530 9
-----
11
Apparel Manufacturers - 0.3%
Columbia Sportswear Co. (a) 100 5
Jones Apparel Group, Inc. 200 5
Liz Claiborne, Inc. 100 4
-----
14
Auto Manufacturing - 0.2%
PACCAR, Inc. 100 7
Banks - 4.5%
Bank of America Corp. 2,500 115
Bank of New York Co., Inc. 500 16
BB&T Corp. 300 13
Fifth Third Bancorp 400 15
First Horizon National Corp. 100 4
National City Corp. 400 13
North Fork Bancorporation, Inc. 300 8
Suntrust Banks, Inc. 300 22
-----
206
Biotechnology - 1.1%
Applera Corp. 200 5
Biogen Idec, Inc. (a) 200 9
Chiron Corp. (a) 100 4
Forest Laboratories, Inc. (a) 200 8
Genzyme Corp. (a) 200 15
MedImmune, Inc. (a) 200 7
-----
48
Broadcasting - 0.2%
Radio One, Inc., Class D (a) 200 2
Univision Communications, Inc. (a) 250 7
-----
9
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Chemicals - 2.0%
Air Products & Chemicals, Inc. 200 12
Amgen, Inc. (a) 800 63
Engelhard Corp. 100 3
International Flavors & Fragrances, Inc. 100 3
Praxair, Inc. 200 11
-----
92
Computers - 9.1%
Apple Computer, Inc. (a) 540 39
Citrix Systems, Inc. (a) 125 4
Corning, Inc. (a) 880 17
Dell, Inc. (a) 1,500 45
EMC Corp. (a) 1,500 20
Intel Corp. 3,855 97
International Business Machines Corp. 950 79
Intuit, Inc. (a) 100 5
Lexmark International, Inc. (a) 50 2
National Instruments Corp. 100 3
Network Appliance, Inc. (a) 200 5
Novell, Inc. (a) 200 2
Oracle Corp. (a) 3,240 40
Pixar, Inc. (a) 100 5
Symantec Corp. (a) 750 13
Yahoo!, Inc. (a) 900 35
-----
411
Construction - 0.4%
Centex Corp. 100 7
D. R. Horton, Inc. 166 6
Lennar Corp. 100 6
-----
19
Consumer Products - 1.1%
Black & Decker Corp. 100 9
Clorox Co. 200 11
Kimberly-Clark Corp. 300 18
Newell Rubbermaid, Inc. 200 5
The Stanley Works 100 5
-----
48
Electrical Equipment - 0.6%
American Power Conversion Corp. 120 3
Emerson Electric Co. 300 22
Sanmina Corp. (a) 300 1
-----
26
Electronics - 4.6%
Adobe Systems, Inc. 400 15
Applied Materials, Inc. 1,000 18
Broadcom Corp., Class A (a) 200 9
Cisco Systems, Inc. (a) 3,955 68
Electronic Arts, Inc. (a) 200 10
</Table>
SEE FINANCIAL NOTES
40
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Electronics (continued)
Freescale Semiconductor, Inc., Class B (a) 320 8
JDS Uniphase Corp. (a) 1,600 4
Juniper Networks, Inc. (a) 300 7
Linear Technology Corp. 200 7
Maxim Integrated Products, Inc. 250 9
NVIDIA Corp. (a) 100 4
Rockwell Automation, Inc. 120 7
SPX Corp. 100 5
Texas Instruments, Inc. 1,000 32
Xilinx, Inc. 200 5
-----
208
Energy & Utilities - 9.8%
AES Corp. (a) 400 6
AGL Resources 100 3
Allegheny Energy, Inc. (a) 200 6
Anadarko Petroleum Corp. 150 14
Apache Corp. 200 14
Baker Hughes, Inc. 200 12
BJ Services Co. 200 7
BP Amoco plc ADR 2,225 142
Burlington Resources, Inc. 300 26
Calpine Corp. (a) (b) 300 --
ConocoPhillips 900 52
Devon Energy Corp. 300 19
Diamond Offshore Drilling, Inc. 100 7
DPL, Inc. 100 3
EOG Resources, Inc. 200 15
Equitable Resources, Inc. 70 3
Hawaiian Electric Industries, Inc. 100 3
KeySpan Corp. 100 4
Newfield Exploration Co. (a) 100 5
NiSource, Inc. 200 4
Noble Corp. 100 7
Noble Energy, Inc. 200 8
ONEOK, Inc. 100 3
Pepco Holdings, Inc. 100 2
Pioneer Natural Resources Co. 100 5
Pogo Producing Co. 100 5
Puget Energy, Inc. 100 2
Questar Corp. 100 8
Rowan Cos., Inc. 100 4
Smith International, Inc. 200 7
The Williams Cos., Inc. 400 9
UGI Corp. 100 2
Valero Energy Corp. 400 21
Western Gas Resources, Inc. 100 5
XTO Energy, Inc. 200 9
-----
442
Entertainment - 2.6%
Comcast Corp., Class A (a) 1,400 36
Time Warner, Inc. 2,950 51
Viacom, Inc. 1,000 33
-----
120
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Financial - Diversified - 13.2%
AMBAC Financial Group, Inc. 100 8
American Express Co. 800 41
Citigroup, Inc. 3,200 154
Fannie Mae 600 29
Freddie Mac 400 26
Legg Mason, Inc. 100 12
Lehman Brothers Holdings, Inc. 200 26
MBNA Corp. 800 22
Mellon Financial Corp. 300 10
Merrill Lynch & Co., Inc. 600 41
MetLife, Inc. 500 25
Moody's Corp. 200 12
Northern Trust Corp. 200 10
SLM Corp. 300 17
State Street Corp. 200 11
Synovus Financial Corp. 190 5
Wachovia Corp. 1,000 53
Washington Mutual, Inc. 600 26
Wells Fargo & Co. 1,060 66
-----
594
Financial Services - 1.1%
Ameriprise Financial, Inc. 160 7
Charles Schwab Corp. 900 13
Golden West Financial Corp. 200 14
Principal Financial Group 200 9
T. Rowe Price Group, Inc. 100 7
-----
50
Foods - 4.9%
Bunge, Ltd. 100 6
Campbell Soup Co. 300 9
Coca-Cola Co. 1,500 60
General Mills, Inc. 200 10
H.J. Heinz Co. 200 7
Hershey Foods Corp. 150 8
Kellogg Co. 349 15
McCormick & Co., Inc. 100 3
Pepsi Bottling Group, Inc. 200 6
PepsiCo, Inc. 1,050 62
</Table>
SEE FINANCIAL NOTES
41
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Foods (continued)
Sara Lee Corp. 550 10
SUPERVALU, Inc. 100 3
Sysco Corp. 500 16
Wm.Wrigley Jr. Co. 130 9
-----
224
Healthcare - 11.7%
Allergan, Inc. 100 11
Baxter International, Inc. 400 15
Becton, Dickinson & Co. 200 12
Biomet, Inc. 140 5
Boston Scientific Corp. (a) 500 12
DENTSPLY International, Inc. 100 5
Eli Lilly & Co. 700 40
Express Scripts, Inc. (a) 100 8
Guidant Corp. 200 13
Health Management Associates, Inc., Class A 200 4
Johnson & Johnson, Inc. 1,900 115
Laboratory Corp. of America Holdings (a) 125 7
Medtronic, Inc. 800 46
Mylan Laboratories, Inc. 50 1
Pfizer, Inc. 4,650 109
Quest Diagnostics, Inc. 100 5
St. Jude Medical, Inc. (a) 200 10
Stryker Corp. 320 14
UnitedHealth Group, Inc. 800 50
WellPoint, Inc. (a) 400 32
Zimmer Holdings, Inc. (a) 200 13
-----
527
Insurance - 4.5%
American International Group, Inc. 1,665 113
Fidelity National Financial Corp. 100 4
Fidelity National Title Group, Class A (b) 17 --
Marsh & McLennan Cos., Inc. 300 10
MBIA, Inc. 100 6
The Allstate Corp. 400 21
The Hartford Financial Services Group, Inc. 185 16
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
The Progressive Corp. 100 12
The St. Paul Travelers Cos., Inc. 470 21
-----
203
Investment Banking & Brokerage - 0.8%
The Goldman Sachs Group, Inc. 300 38
Leisure - 0.2%
Harley-Davidson, Inc. 200 10
Manufacturing - 6.0%
3M Co. 500 39
Cintas Corp. 135 6
Crane Co. 100 4
Dana Corp. 100 1
Donaldson Co., Inc. 100 3
Dover Corp. 100 4
Eaton Corp. 100 7
Gentex Corp. 110 2
Graco, Inc. 100 4
Illinois Tool Works, Inc. 200 18
Ingersoll-Rand Co. 200 8
Masco Corp. 300 9
Mattel, Inc. 370 6
Nucor Corp. 100 7
Packaging Corp. of America 100 2
Pactiv Corp. (a) 200 4
Parker Hannifin Corp. 100 7
Pentair, Inc. 100 3
Procter & Gamble Co. 1,487 85
Smurfit-Stone Container Corp. (a) 300 4
Sonoco Products Co. 100 3
Temple-Inland, Inc. 100 4
Tyco International, Ltd. 1,310 38
Worthington Industries, Inc. 100 2
-----
270
Office Equipment & Supplies - 0.2%
Avery Dennison Corp. 120 7
Pitney Bowes, Inc. 100 4
-----
11
Personal Care - 0.9%
Alberto-Culver Co. 100 5
Avon Products, Inc. 300 9
Colgate-Palmolive Co. 360 19
The Estee Lauder Cos., Inc., Class A 200 7
-----
40
</Table>
SEE FINANCIAL NOTES
42
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Pharmaceuticals - 0.4%
Barr Pharmaceuticals, Inc. (a) 100 6
McKesson Corp. 200 11
Watson Pharmaceuticals, Inc. (a) 100 3
-----
20
Publishing - 0.4%
Dow Jones & Co., Inc. 100 4
The McGraw-Hill Cos., Inc. 200 10
Tribune Co. 200 6
-----
20
Railroads - 0.4%
CSX Corp. 100 5
Norfolk Southern Corp. 300 14
-----
19
Restaurants - 1.0%
Darden Restaurants, Inc. 200 8
McDonald's Corp. 800 26
Wendy's International, Inc. 100 6
YUM! Brands, Inc. 150 7
-----
47
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Retail - 7.5%
AutoZone, Inc. (a) 100 9
Bed Bath & Beyond, Inc. (a) 200 7
Best Buy & Co., Inc. 300 13
Big Lots, Inc. (a) 200 2
Chico's FAS, Inc. (a) 110 5
Coach, Inc. (a) 200 7
Costco Wholesale Corp. 300 15
CVS Corp. 610 16
Dollar General Corp. 200 4
Dollar Tree Stores, Inc. (a) 100 2
eBay, Inc. (a) 800 36
Family Dollar Stores, Inc. 150 4
Hasbro, Inc. 100 2
Home Depot, Inc. 1,365 56
Limited Brands, Inc. 330 7
Lowe's Cos., Inc. 500 33
Michaels Stores, Inc. 200 7
Nordstrom, Inc. 200 7
RadioShack Corp. 135 3
Staples, Inc. 495 11
Target Corp. 500 27
The Gap, Inc. 568 10
The TJX Cos., Inc. 300 7
Tiffany & Co. 200 8
Walgreen Co. 600 27
Whole Foods Market, Inc. 200 15
-----
340
Services - 2.7%
Apollo Group, Inc., Class A (a) 100 6
ARAMARK Corp. 200 6
Career Education Corp. (a) 100 3
Cendant Corp. 600 10
Ecolab, Inc. 200 7
Fair Isaac & Co., Inc. 100 4
Fastenal Co. 100 4
First Data Corp. 500 21
Fiserv, Inc. (a) 200 9
Johnson Controls, Inc. 100 7
Manpower, Inc. 100 5
Monster Worldwide, Inc. (a) 100 4
Omnicom Group, Inc. 100 9
Pall Corp. 100 3
Paychex, Inc. 200 8
Unisys Corp. (a) 500 3
Viad Corp. 31 1
W.W. Grainger, Inc. 100 7
Weight Watchers International, Inc. (a) 100 5
-----
122
Telecommunications - 5.4%
AT&T, Inc. 2,480 61
Lucent Technologies, Inc. (a) 2,300 6
Motorola, Inc. 1,500 34
QUALCOMM, Inc. 1,050 45
Scientific-Atlanta, Inc. 100 4
</Table>
SEE FINANCIAL NOTES
43
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
300 FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Telecommunications (continued)
Sprint Nextel Corp. 1,804 42
Verizon Communications, Inc. 1,750 53
-----
245
Transportation - 0.1%
Ryder System, Inc. 100 4
-----
TOTAL COMMON STOCKS 4,516
Cost: $3,945
TOTAL INVESTMENTS - 99.7% 4,516
Cost: $3,945
</Table>
Percentages indicated are based on net assets of $4,528.
(a) Non-income producing security.
(b) Value rounded to less than $1.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
44
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 95.7%
Air Freight - 1.0%
FedEx Corp. 35,000 3,619
Biotechnology - 1.5%
Gilead Sciences, Inc. (a) 100,000 5,263
Chemicals - 3.1%
Amgen, Inc. (a) 60,000 4,732
Praxair, Inc. 110,000 5,825
-------
10,557
Computers - 2.9%
Autodesk, Inc. (a) 130,000 5,583
Intel Corp. 180,000 4,493
-------
10,076
Construction - 2.0%
Fluor Corp. 90,000 6,953
Electrical Equipment - 1.1%
Emerson Electric Co. 50,000 3,735
Electronics - 6.6%
Agilent Technologies, Inc. (a) 90,000 2,996
Broadcom Corp., Class A (a) 100,000 4,715
NVIDIA Corp. (a) 125,000 4,570
Rockwell Automation, Inc. 75,000 4,437
Texas Instruments, Inc. 190,000 6,093
-------
22,811
Energy & Utilities - 14.6%
Apache Corp. 90,000 6,167
BJ Services Co. 170,000 6,234
Burlington Resources, Inc. 80,000 6,896
ConocoPhillips 90,000 5,236
Equitable Resources, Inc. 200,000 7,338
Murphy Oil Corp. 90,000 4,859
Questar Corp. 100,000 7,571
Silvan Power Co. (a) (b) 24,000 --
Valero Energy Corp. 110,000 5,676
Vulcan Power Co., Class A (a) (b) 40,000 --
-------
49,977
Financial - Diversified - 7.9%
Legg Mason, Inc. 67,500 8,079
Moody's Corp. 135,000 8,292
SLM Corp. 90,000 4,958
State Street Corp. 110,000 6,098
-------
27,427
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Financial Services - 2.3%
Franklin Resources, Inc. 85,000 7,991
Foods - 2.7%
Dean Foods Co. (a) 125,000 4,708
PepsiCo, Inc. 80,000 4,726
-------
9,434
Healthcare - 10.2%
Allergan, Inc. 30,000 3,239
Express Scripts, Inc. (a) 80,000 6,704
Medtronic, Inc. 90,000 5,181
St. Jude Medical, Inc. (a) 100,000 5,020
UnitedHealth Group, Inc. 135,000 8,390
WellPoint, Inc. (a) 80,000 6,383
-------
34,917
Insurance - 6.2%
AFLAC, Inc. 130,000 6,035
The Allstate Corp. 60,000 3,244
The Chubb Corp. 70,000 6,835
The Progressive Corp. 45,000 5,255
-------
21,369
Manufacturing - 6.4%
HNI Corp. 100,000 5,493
Precision Castparts Corp. 140,000 7,253
Procter & Gamble Co. 78,000 4,515
Taiwan Semiconductor Manufacturing Co. Ltd.
ADR 487,498 4,831
-------
22,092
Publishing - 1.9%
The McGraw-Hill Cos., Inc. 130,000 6,712
Real Estate - 1.9%
Simon Property Group, Inc. 85,000 6,514
Retail - 9.9%
Chico's FAS, Inc. (a) 165,000 7,248
Coach, Inc. (a) 150,000 5,001
CVS Corp. 120,000 3,170
Nordstrom, Inc. 200,000 7,481
Staples, Inc. 225,000 5,110
Whole Foods Market, Inc. 80,000 6,191
-------
34,201
Services - 7.6%
Accenture Ltd., Class A 180,000 5,197
Fastenal Co. 175,000 6,858
</Table>
SEE FINANCIAL NOTES
45
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Services (continued)
Fiserv, Inc. (a) 90,000 3,894
Getty Images, Inc. (a) 80,000 7,141
Paychex, Inc. 80,000 3,050
-------
26,140
Telecommunications - 5.9%
Alltel Corp. 85,000 5,363
Comverse Technology, Inc. (a) 200,000 5,318
Motorola, Inc. 225,000 5,083
Sprint Nextel Corp. 200,000 4,672
-------
20,436
-------
TOTAL COMMON STOCKS 330,224
Cost: $264,616
<Caption>
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 4.6%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $15,906, collateralized by Federal
Home Loan Mortgage Corp. security, 4.00%, 06/12/13)
Cost: $15,900 15,900 15,900
-------
TOTAL INVESTMENTS - 100.3% 346,124
Cost: $280,516
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
CORE GROWTH FUND
- -------------------------------------------------------------------------
Percentages indicated are based on net assets of $345,151.
</Table>
(a) Non-income producing security.
(b) On December 31, 2005, the fund owned the following restricted securities
constituting 0.00% of net assets which may not be publicly sold without
registration under the Securities Act of 1933. These securities are valued at
their fair value as determined in good faith under consistently applied
procedures under the general supervision of the Trust's Board of Trustees.
Additional information on the securities is as follows:
Vulcan Power Co., Class A
Acquisition Date: March 3, 1995
Cost: $300
Value: $0
Silvan Power Co.
Acquisition Date: July 27, 2004
Cost: $0
Value: $0
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
46
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
EMERGING GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 98.8%
Apparel Manufacturers - 1.1%
Gildan Activewear, Inc. (a) 45,000 1,928
Biotechnology - 4.0%
Fisher Scientific International, Inc. (a) 26,900 1,664
Gilead Sciences, Inc. (a) 63,200 3,327
Protein Design Labs, Inc. (a) 70,000 1,989
-------
6,980
Chemicals - 1.2%
Praxair, Inc. 39,650 2,100
Computers - 10.1%
Apple Computer, Inc. (a) 75,432 5,424
Autodesk, Inc. (a) 62,500 2,684
Corning, Inc. (a) 147,360 2,897
Palm, Inc. (a) 70,000 2,226
Webex Communications, Inc. (a) 75,000 1,622
Websense, Inc. (a) 37,865 2,485
-------
17,338
Electrical Equipment - 1.1%
WESCO International, Inc. (a) 45,000 1,923
Electronics - 7.8%
Adobe Systems, Inc. 119,290 4,408
Broadcom Corp., Class A (a) 40,000 1,886
Freescale Semiconductor, Inc., Class B (a) 80,000 2,014
Lam Research Corp. (a) 59,000 2,105
MEMC Electronic Materials, Inc. (a) 139,500 3,093
-------
13,506
Energy & Utilities - 10.4%
Baker Hughes, Inc. 43,840 2,665
EOG Resources, Inc. 46,400 3,405
Murphy Oil Corp. 38,600 2,084
Newfield Exploration Co. (a) 57,484 2,878
ONEOK, Inc. 54,200 1,443
Patterson-UTI Energy, Inc. 85,200 2,807
Transocean, Inc. (a) 37,700 2,627
-------
17,909
Financial - Diversified - 3.5%
Legg Mason, Inc. 21,000 2,513
Moody's Corp. 56,988 3,501
-------
6,014
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
EMERGING GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Financial Services - 4.5%
Chicago Mercantile Exchange Holdings, Inc. 9,856 3,622
Golden West Financial Corp. 27,080 1,787
T. Rowe Price Group, Inc. 33,055 2,381
-------
7,790
Food - 1.2%
Flowers Foods, Inc. 75,000 2,067
Healthcare - 10.8%
C.R. Bard, Inc. 34,975 2,306
Coventry Health Care, Inc. (a) 30,000 1,709
Express Scripts, Inc. (a) 30,000 2,514
Intuitive Surgical, Inc. (a) 30,150 3,535
Laboratory Corp. of America Holdings (a) 33,000 1,777
Psychiatric Solutions, Inc. (a) 35,000 2,056
Respironics, Inc. (a) 41,000 1,520
Sierra Health Services, Inc. (a) 40,888 3,269
-------
18,686
Hotels & Motels - 2.7%
Choice Hotels International, Inc. 61,060 2,550
Starwood Hotels & Resorts Worldwide, Inc. 34,300 2,190
-------
4,740
Insurance - 1.7%
W. R. Berkley Corp. 61,525 2,930
Manufacturing - 4.3%
Eagle Materials, Inc. 15,500 1,897
iRobot Corp. (a) 50,000 1,667
Oshkosh Truck Corp. 58,568 2,611
Roper Industries, Inc. 32,000 1,264
-------
7,439
Pharmaceuticals - 2.3%
McKesson Corp. 41,000 2,115
Pharmaceutical Product Development, Inc. 30,000 1,859
-------
3,974
Publishing - 1.0%
John Wiley & Sons, Inc. 44,400 1,733
Real Estate - 1.4%
CB Richard Ellis Group, Inc., Class A (a) 40,000 2,354
</Table>
SEE FINANCIAL NOTES
47
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
EMERGING GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Restaurants - 1.4%
Sonic Corp. (a) 79,615 2,349
Retail - 12.3%
American Eagle Outfitters, Inc. 56,000 1,287
Bed Bath & Beyond, Inc. (a) 45,000 1,627
Claire's Stores, Inc. 101,400 2,963
Coach, Inc. (a) 91,650 3,056
Coldwater Creek, Inc. (a) 45,000 1,374
Michaels Stores, Inc. 45,000 1,592
Nordstrom, Inc. 100,712 3,766
Polo Ralph Lauren 30,000 1,684
The Men's Wearhouse, Inc. (a) 44,000 1,295
Whole Foods Market, Inc. 35,900 2,778
-------
21,422
Services - 11.6%
CheckFree Corp. (a) 53,000 2,433
Cognizant Technology Solutions Corp. (a) 68,400 3,444
Corporate Executive Board Co. 46,549 4,175
Dun & Bradstreet Corp. (a) 19,200 1,286
Emdeon Corp. (a) 150,000 1,269
Expeditors International of Washington, Inc. 41,600 2,808
Getty Images, Inc. (a) 36,235 3,235
SCP Pool Corp. 45,000 1,675
-------
20,325
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
EMERGING GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Telecommunications - 2.6%
Comverse Technology, Inc. (a) 85,600 2,276
NII Holdings, Inc. (a) 50,000 2,184
-------
4,460
Transportation - 1.8%
Landstar System, Inc. 74,480 3,109
-------
TOTAL COMMON STOCKS 171,076
Cost: $127,259
<Caption>
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 2.0%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $3,425, collateralized by Federal
Home Loan Mortgage Corp. security,
4.00%, 06/12/13)
Cost: $3,424 3,424 3,424
-------
TOTAL INVESTMENTS - 100.8% 174,500
Cost: $130,683
</Table>
Percentages indicated are based on net assets of $173,182.
(a) Non-income producing security.
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
48
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
SMALL CAP CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 93.9%
Apparel Manufacturers - 1.8%
Carter's, Inc. (a) 10,000 589
Banks - 3.4%
PrivateBancorp, Inc. 15,000 534
SVB Financial Group (a) 12,000 562
------
1,096
Computers - 10.7%
Ansys, Inc. (a) 12,000 512
Blue Coat Systems Inc. (a) 12,500 571
Komag, Inc. (a) 10,000 347
Micros Systems, Inc. (a) 10,000 483
NETGEAR, Inc. (a) 35,300 679
Progress Software Corp. (a) 18,000 511
SRA International, Inc., Class A (a) 12,500 382
------
3,485
Construction - 1.8%
Beacon Roofing Supply, Inc. (a) 20,000 575
Educational Services - 1.7%
Bright Horizons Family Solutions, Inc. (a) 15,000 556
Electrical Equipment - 2.0%
Genlyte Group (a) 12,004 643
Electronics - 5.4%
Diodes, Inc. (a) 24,000 745
Sirf Technology Holdings, Inc. (a) 22,000 656
Trimble Navigation Ltd. (a) 10,000 355
------
1,756
Energy & Utilities - 13.6%
Airgas, Inc. 15,845 521
Cal Dive International, Inc. (a) 18,000 646
Core Laboratories N.V. (a) 15,000 560
Headwaters, Inc. (a) 10,000 354
Holly Corp. 12,000 706
Hydril (a) 9,000 563
RPC, Inc. 41,100 1,084
------
4,434
Food - 0.8%
Flowers Foods, Inc. 10,000 276
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
SMALL CAP CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Healthcare - 13.0%
American Healthways, Inc. (a) 10,000 453
American Medical Systems Holdings, Inc. (a) 16,000 285
Psychiatric Solutions, Inc. (a) 8,500 499
Quality Systems, Inc. 9,000 691
Respironics, Inc. (a) 16,000 593
Sierra Health Services, Inc. (a) 9,000 719
Sybron Dental Specialties, Inc. (a) 12,000 478
Ventana Medical Systems, Inc. (a) 12,000 508
------
4,226
Hotels & Motels - 1.3%
Choice Hotels International, Inc. 10,000 418
Insurance - 2.6%
Philadelphia Consolidated Holding Corp. (a) 5,500 532
RLI Corp. 6,000 299
------
831
Investment Banking & Brokerage - 3.6%
Affiliated Managers Group, Inc. (a) 8,000 642
Investment Technology Group, Inc. (a) 15,000 532
------
1,174
Manufacturing - 9.6%
Ceradyne, Inc. (a) 14,000 613
Eagle Materials, Inc. 4,000 489
Oshkosh Truck Corp. 11,000 490
Roper Industries, Inc. 13,520 534
Silgan Holdings, Inc. 10,000 361
The Manitowoc Co., Inc. 12,900 649
------
3,136
Multimedia - 1.0%
Witness Systems, Inc. (a) 16,000 315
Personal Care - 2.1%
Playtex Products, Inc. (a) 25,000 342
Steiner Leisure Ltd. (a) 10,000 355
------
697
Pharmaceuticals - 1.4%
Pharmaceutical Product Development, Inc. 7,500 465
</Table>
SEE FINANCIAL NOTES
49
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
SMALL CAP CORE GROWTH FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Retail - 5.1%
Coldwater Creek, Inc. (a) 20,000 610
Genesco, Inc. (a) 15,000 582
Marinemax, Inc. (a) 15,000 474
------
1,666
Services - 10.7%
Corporate Executive Board Co. 7,500 672
Labor Ready, Inc. (a) 27,000 562
LKQ Corp. (a) 15,000 519
Mobile Mini, Inc. (a) 10,000 474
Ritchie Bros. Auctioneers, Inc. 10,000 423
SCP Pool Corp. 12,500 465
The Advisory Board Co. (a) 8,000 381
------
3,496
Telecommunications - 2.3%
Comtech Telecommunications Corp. (a) 10,000 305
NICE Systems Ltd. ADR (a) 9,000 434
------
739
------
TOTAL COMMON STOCKS 30,573
Cost: $24,677
<Caption>
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 6.3%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $2,058, collateralized by Federal
Home Loan Mortgage Corp. security, 4.00%, 06/12/13)
Cost: $2,058 2,058 2,058
------
TOTAL INVESTMENTS - 100.2% 32,631
Cost: $26,735
</Table>
Percentages indicated are based on net assets of $32,554.
(a) Non-income producing security.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
50
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
VALUE FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 99.1%
Air Freight - 2.3%
FedEx Corp. 7,218 746
Chemicals - 1.1%
Praxair, Inc. 6,781 359
Computers - 9.5%
Dell, Inc. (a) 14,584 437
Hewlett-Packard Co. 20,417 586
Intel Corp. 18,998 474
International Business Machines Corp. 5,586 459
Microsoft Corp. 15,696 410
Oracle Corp. (a) 31,204 381
Symantec Corp. (a) 22,693 397
------
3,144
Construction - 1.1%
URS Corp. (a) 9,580 360
Consumer Products - 1.0%
Kimberly-Clark Corp. 5,460 326
Electrical Equipment - 1.5%
Emerson Electric Co. 6,653 497
Electronics - 5.0%
Cisco Systems, Inc. (a) 21,951 376
Freescale Semiconductor, Inc., Class B (a) 15,490 390
MEMC Electronic Materials, Inc. (a) 19,289 428
Rockwell Automation, Inc. 7,611 450
------
1,644
Energy & Utilities - 13.7%
AES Corp. (a) 28,443 450
Allegheny Energy, Inc. (a) 12,750 404
Baker Hughes, Inc. 12,101 735
ConocoPhillips 21,316 1,239
Devon Energy Corp. 8,310 520
Patterson-UTI Energy, Inc. 13,070 431
Precision Drilling Trust 8,810 291
UGI Corp. 21,945 452
------
4,522
Financial - Diversified - 11.8%
Capital One Financial Corp. 7,651 661
JPMorgan Chase & Co. 17,332 688
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
VALUE FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 6,317 810
Merrill Lynch & Co., Inc. 9,196 623
MetLife, Inc. 10,741 526
Wachovia Corp. 10,878 575
------
3,883
Financial Services - 1.9%
Golden West Financial Corp. 9,235 610
Foods - 5.1%
Bunge, Ltd. 10,206 578
Kellogg Co. 16,057 694
PepsiCo, Inc. 6,936 410
------
1,682
Healthcare - 13.5%
Baxter International, Inc. 15,490 583
Becton, Dickinson & Co. 7,856 472
Cooper Cos., Inc. 3,552 182
Coventry Health Care, Inc. (a) 5,768 329
Johnson & Johnson, Inc. 13,500 811
Omnicare, Inc. 7,302 418
Pfizer, Inc. 20,775 484
WellPoint, Inc. (a) 14,459 1,154
------
4,433
Insurance - 6.3%
American International Group, Inc. 10,602 724
The Allstate Corp. 6,052 327
The Chubb Corp. 4,067 397
The Hartford Financial Services Group, Inc. 6,938 596
------
2,044
Manufacturing - 6.6%
3M Co. 7,523 583
Eagle Materials, Inc. 3,724 456
Ingersoll-Rand Co. 10,040 405
National-Oilwell Varco, Inc. (a) 6,006 377
Nucor Corp. 5,744 383
------
2,204
Publishing - 1.4%
The McGraw-Hill Cos., Inc. 8,779 453
Railroads - 2.4%
Norfolk Southern Corp. 17,660 792
</Table>
SEE FINANCIAL NOTES
51
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
VALUE FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Real Estate - 1.7%
General Growth Properties 5,869 276
Simon Property Group, Inc. 3,713 284
------
560
Restaurants - 1.3%
McDonald's Corp. 12,554 423
Retail - 6.8%
CVS Corp. 25,478 673
Home Depot, Inc. 11,147 451
Nordstrom, Inc. 16,892 632
Target Corp. 8,817 485
------
2,241
Services - 1.3%
Johnson Controls, Inc. 5,608 409
Telecommunications - 3.8%
Alltel Corp. 5,791 365
Motorola, Inc. 24,812 561
Sprint Nextel Corp. 14,189 331
------
1,257
------
TOTAL COMMON STOCKS 32,589
Cost: $28,390
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
VALUE FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 3.0%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $972,
collateralized by Federal Home Loan Mortgage Corp.
security, 4.00%, 06/12/13)
Cost: $971 971 971
------
TOTAL INVESTMENTS - 102.1% 33,560
Cost: $29,361
</Table>
Percentages indicated are based on net assets of $32,866.
(a) Non-income producing security.
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
52
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
GLOBAL EQUITY FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 98.1%
Automobile Manufacturing - 4.5%
Bayerische Motoren Werke AG 26,000 1,139
Toyota Motor Co. ADR 8,000 837
Volvo AB ADR 36,000 1,695
------
3,671
Banks - 6.2%
Bank of New York Co., Inc. 40,000 1,274
Julius Baer Holding Ltd. 11,000 780
Royal Bank of Scotland Group plc 50,301 1,518
UBS AG ADR 15,000 1,427
------
4,999
Biotechnology - 1.8%
Roche Holding AG 10,000 1,502
Broadcasting - 3.4%
Clear Channel Communications, Inc. 37,000 1,164
Viacom, Inc., Class B (a) 49,000 1,597
------
2,761
Computers - 12.1%
Check Point Software Technologies Ltd. (a) 36,000 724
First Data Corp. 37,000 1,591
Intel Corp. 59,000 1,473
International Business Machines Corp. 10,000 822
Intuit, Inc. (a) 17,000 906
Microsoft Corp. 85,000 2,222
SAP AG 6,500 1,179
Yahoo!, Inc. (a) 23,000 901
------
9,818
Construction - 1.2%
Fluor Corp. 12,500 966
Consumer Products - 1.0%
Kimberly-Clark de Mexico SA de CV ADR 45,000 804
Electronics - 1.4%
Cisco Systems, Inc. (a) 65,000 1,113
Energy & Utilities - 10.0%
Apache Corp. 27,500 1,884
BG Group plc ADR 25,800 1,281
BP Amoco plc 179,000 1,907
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
GLOBAL EQUITY FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Gold Fields Ltd. ADR 46,000 811
Statoil ASA ADR 50,000 1,148
Valero Energy Corp. 20,800 1,073
------
8,104
Entertainment - 1.9%
Comcast Corp., Class A (a) 58,000 1,490
Live Nation (a) 4,625 61
------
1,551
Financial - Diversified - 13.0%
American Express Co. 16,000 823
Bank of America Corp. 19,000 877
Citigroup, Inc. 52,000 2,524
Deutsche Boerse AG 25,000 2,557
Fannie Mae 12,000 586
HSBC Holdings plc ADR 10,000 805
Mitsubishi UFJ Financial Group, Inc. 32 434
Mitsubishi UFJ Financial Group, Inc. ADR 148,000 2,026
------
10,632
Food & Beverages - 3.1%
Nestle SA 4,000 1,197
PepsiCo, Inc. 22,000 1,299
------
2,496
Healthcare - 10.3%
Beckman Coulter, Inc. 25,000 1,423
Boston Scientific Corp. (a) 45,000 1,102
Eli Lilly & Co. 15,000 849
GlaxoSmithKline plc 58,000 1,466
Novartis AG ADR 33,000 1,732
Pfizer, Inc. 76,000 1,771
------
8,343
Insurance - 2.4%
American International Group, Inc. 14,000 955
ING Groep NV 28,000 971
------
1,926
Manufacturing - 9.3%
3M Co. 20,000 1,550
Johnson Matthey plc 33,000 802
Komatsu, Ltd. 120,000 1,985
L'Air Liquide ADR 20,000 788
Rexam plc 93,000 813
Tyco International, Ltd. 56,000 1,616
------
7,554
</Table>
SEE FINANCIAL NOTES
53
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
GLOBAL EQUITY FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Office Equipment & Supplies - 3.9%
Avery Dennison Corp. 29,000 1,602
Canon, Inc. ADR 26,000 1,530
------
3,132
Personal Care - 4.1%
Colgate-Palmolive Co. 23,000 1,261
Henkel KGaA ADR 10,000 922
The Estee Lauder Cos., Inc., Class A 35,000 1,172
------
3,355
Retail - 2.2%
Kohl's Corp. (a) 22,000 1,069
PETsMART, Inc. 27,000 693
------
1,762
Services - 1.9%
WPP Group plc 144,000 1,558
Telecommunications - 4.4%
France Telecom SA ADR 28,000 696
Telefonaktiebolaget LM Ericsson ADR 24,000 826
Verizon Communications, Inc. 23,000 693
Vodafone Group plc 630,000 1,359
------
3,574
------
TOTAL COMMON STOCKS 79,621
Cost: $69,921
<Caption>
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 2.1%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $1,740, collateralized by Federal
Home Loan
Mortgage Corp. security,
4.00%, 06/12/13)
Cost: $1,739 1,739 1,739
------
TOTAL INVESTMENTS - 100.2% 81,360
Cost: $71,660
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
GLOBAL EQUITY FUND
- -------------------------------------------------------------------------
Percentages indicated are based on net assets of $81,199.
(a) Non-income producing security.
ADR - American Depositary Receipt
</Table>
<Table>
The fund's portfolio holdings as of December 31, 2005, were distributed
among the following countries:
PERCENTAGE OF TOTAL
INVESTMENTS
-------------------------
SHORT TERM
EQUITY & OTHER TOTAL
-------------------------
Bermuda 2.0% 2.0%
France 1.8% 1.8%
Germany 7.1% 7.1%
Israel 0.9% 0.9%
Japan 8.4% 8.4%
Mexico 1.0% 1.0%
Netherlands 1.2% 1.2%
Norway 1.4% 1.4%
South Africa 1.0% 1.0%
Sweden 3.1% 3.1%
Switzerland 8.2% 8.2%
United Kingdom 14.1% 14.1%
United States 47.7% 2.1% 49.8%
----------------------------
TOTAL 97.9% 2.1% 100.0%
</Table>
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
54
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
COMMON STOCKS - 61.8%
Banks - 0.5%
People's Bank 1,600 50
Biotechnology - 1.3%
Gilead Sciences, Inc. (a) 2,350 124
Chemicals - 2.3%
Amgen, Inc. (a) 1,350 106
Praxair, Inc. 2,075 110
-----
216
Computers - 2.8%
Autodesk, Inc. (a) 1,750 75
Corning, Inc. (a) 3,900 77
Intel Corp. 3,100 78
Progress Software Corp. (a) 1,000 28
-----
258
Electronics - 2.4%
Agilent Technologies, Inc. (a) 1,800 60
Rockwell Automation, Inc. 1,350 80
Texas Instruments, Inc. 2,750 88
-----
228
Energy & Utilities - 8.9%
Apache Corp. 1,300 89
BJ Services Co. 3,050 112
Burlington Resources, Inc. 1,425 123
ConocoPhillips 1,600 93
Equitable Resources, Inc. 2,725 100
Murphy Oil Corp. 2,000 108
Questar Corp. 1,300 98
Valero Energy Corp. 2,000 103
-----
826
Financial - Diversified - 7.0%
Legg Mason, Inc. 1,100 132
Merrill Lynch & Co., Inc. 1,500 102
Moody's Corp. 1,725 106
Northern Trust Corp. 1,600 83
SLM Corp. 1,400 77
State Street Corp. 1,500 83
Wachovia Corp. 1,500 79
-----
662
Financial Services - 1.0%
Franklin Resources, Inc. 1,000 94
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Foods - 1.9%
Dean Foods Co. (a) 2,200 83
PepsiCo, Inc. 1,525 90
-----
173
Healthcare - 7.1%
Allergan, Inc. 700 76
Express Scripts, Inc. (a) 1,450 121
Johnson & Johnson, Inc. 500 30
Laboratory Corp. of America Holdings (a) 1,525 82
Pfizer, Inc. 3,625 85
St. Jude Medical, Inc. (a) 1,900 95
UnitedHealth Group, Inc. 1,700 106
WellPoint, Inc. (a) 1,000 80
-----
675
Insurance - 3.2%
American International Group, Inc. 1,200 82
The Allstate Corp. 2,175 118
The Chubb Corp. 1,025 100
-----
300
Manufacturing - 4.4%
HNI Corp. 1,600 88
Ingersoll-Rand Co. 2,050 83
Precision Castparts Corp. 2,025 105
Procter & Gamble Co. 1,425 82
Taiwan Semiconductor Manufacturing Co. Ltd.
ADR 6,350 63
-----
421
Publishing - 1.0%
The McGraw-Hill Cos., Inc. 1,800 93
Real Estate - 0.7%
Simon Property Group, Inc. 900 69
Retail - 7.1%
Chico's FAS, Inc. (a) 2,225 98
Coach, Inc. (a) 2,000 67
CVS Corp. 3,000 79
Nordstrom, Inc. 3,000 112
Polo Ralph Lauren 1,600 90
Staples, Inc. 4,150 94
Whole Foods Market, Inc. 1,750 135
-----
675
Services - 5.6%
ARAMARK Corp. 2,750 76
Cognizant Technology Solutions Corp. (a) 1,750 88
Corporate Executive Board Co. 900 81
Fastenal Co. 1,750 69
Fiserv, Inc. (a) 1,350 58
</Table>
SEE FINANCIAL NOTES
55
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY SHARES VALUE($)
- -------------------------------------------------------------------------
Services (continued)
Getty Images, Inc. (a) 925 83
W.W. Grainger, Inc. 1,025 73
-----
528
Telecommunications - 4.6%
Alltel Corp. 1,475 93
Comverse Technology, Inc. (a) 3,025 80
j2 Global Communications, Inc. (a) 1,350 58
Motorola, Inc. 3,400 77
Scientific-Atlanta, Inc. 1,450 62
Sprint Nextel Corp. 2,825 66
-----
436
-----
TOTAL COMMON STOCKS 5,828
Cost: $5,033
<Caption>
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.3%
First Horizon Alternative Mortgage
Securities,
5.50%, 03/25/35 (b) 19 19
4.77%, 06/25/35 (b) 13 12
-----
Cost: $32 31
CORPORATE BONDS - 11.2%
Banks - 1.1%
Bank of America Corp., 4.38%, 12/01/10 50 49
Capital One Bank, 6.50%, 06/13/13 50 53
-----
102
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
Chemicals - 0.4%
Amgen, Inc., 6.50%, 12/01/07 40 41
Computers - 0.2%
Corning, Inc., 6.20%, 03/15/16 15 15
Construction - 0.2%
KB Home, 5.88%, 01/15/15 15 14
Pulte Homes, Inc., 6.00%, 02/15/35 10 9
-----
23
Energy & Utilities - 0.8%
Atmos Energy, 4.95%, 10/15/14 15 14
Chesapeake Energy Corp., 6.88%, 01/15/16 20 21
Enterprise Products Partners LP, 4.95%,
06/01/10 20 20
XTO Energy, Inc., 5.30%, 06/30/15 20 20
-----
75
Entertainment - 0.3%
Comcast Cable Communications, 8.38%, 05/01/07 25 26
Financial - Diversified - 4.2%
CIT Group, Inc., 5.00%, 02/01/15 50 49
Citigroup, Inc., 4.52%, 05/18/10 50 50
Countrywide Financial, 4.25%, 12/19/07 50 49
HSBC Finance Corp., 4.63%, 09/15/10 50 49
International Lease Finance Corp., 5.80%,
08/15/07 50 50
JPMorgan Chase & Co., 3.13%, 12/11/06 50 49
Liberty Mutual Group, 5.75%, 03/15/14 (c) 10 10
Merrill Lynch, 4.25%, 09/14/07 50 49
Riddell Bell Holdings, 8.38%, 10/01/12 15 14
SLM Corp., 3.63%, 03/17/08 35 34
-----
403
Financial Services - 0.5%
Franklin Resources, Inc., 3.70%, 04/15/08 48 47
Food - 0.5%
Pepsi Bottling Group, Inc., 5.63%,
02/17/09 (c) 50 51
</Table>
SEE FINANCIAL NOTES
56
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
Healthcare - 0.5%
Medtronic, Inc., 4.75%, 09/15/15 (c) 50 49
Investment Banking & Brokerage - 0.2%
The Goldman Sachs Group, Inc., 5.00%,
10/01/14 15 15
Manufacturing - 0.1%
American Standard, Inc., 7.38%, 02/01/08 5 5
Real Estate - 0.1%
Brandywine Realty Trust, 5.40%, 11/01/14 5 5
Restaurants - 0.6%
Dominos, Inc., 8.25%, 07/01/11 7 7
McDonald's Corp., 5.00%, 02/15/15 50 49
-----
56
Telecommunications - 1.5%
AT&T, Inc., 5.88%, 02/01/12 50 52
Directv Holdings, 6.38%, 06/15/15 30 29
Sprint Nextel Corp.,
6.00%, 01/15/07 50 50
7.38%, 08/01/15 10 11
-----
142
-----
TOTAL CORPORATE BONDS 1,055
Cost: $1,066
FOREIGN GOVERNMENT BOND - 0.2%
United Mexican States, 6.75%, 09/27/34 15 16
Cost: $15
U.S. GOVERNMENT AGENCY OBLIGATIONS - 16.0%
Federal Farm Credit Bank - 1.3%
5.83%, 01/14/08 25 26
5.43%, 10/24/12 100 99
-----
125
Federal Home Loan Bank - 3.9%
4.28%, 11/05/07 100 99
4.50%, 02/15/08 100 100
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
4.10%, 06/13/08 20 20
3.38%, 07/21/08 30 29
5.20%, 05/11/12 15 15
6.00%, 12/28/15 100 100
-----
363
Federal Home Loan Mortgage Corporation - 4.2%
3.25%, 11/02/07 15 15
3.25%, 02/25/08 4 4
4.55%, 01/20/11 5 5
4.50%, 01/15/13 9 9
5.00%, 10/01/18 102 101
5.50%, 10/01/18 67 67
5.20%, 03/05/19 40 39
5.50%, 08/20/19 20 20
6.00%, 12/01/20 50 51
5.00%, 06/01/35 97 94
-----
405
Federal National Mortgage Association - 6.6%
3.25%, 01/15/08 9 9
5.25%, 01/15/09 14 14
6.38%, 06/15/09 3 3
4.13%, 05/15/10 20 20
5.00%, 08/10/10 100 98
6.00%, 05/10/12 25 25
4.38%, 09/15/12 4 4
5.00%, 04/15/15 20 20
5.55%, 08/04/15 100 99
5.00%, 10/01/18 98 97
5.00%, 09/01/19 40 40
6.50%, 07/01/32 3 3
6.00%, 11/01/32 2 2
5.50%, 03/01/33 25 25
4.58%, 12/01/34 38 37
4.88%, 01/01/35 23 23
4.82%, 08/01/35 98 97
-----
616
-----
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 1,509
Cost: $1,526
U.S. TREASURY NOTES - 4.5%
6.50%, 02/15/10 100 108
4.00%, 03/15/10 100 99
3.88%, 05/15/10 35 34
4.75%, 05/15/14 10 10
4.00%, 02/15/15 100 97
4.13%, 05/15/15 30 29
5.38%, 02/15/31 50 56
-----
Cost: $433 433
</Table>
SEE FINANCIAL NOTES
57
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
BALANCED FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 6.1%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $581, collateralized by Federal Home
Loan Mortgage Corp. security, 4.00%, 06/12/13)
Cost: $581 581 581
-----
TOTAL INVESTMENTS - 100.1% 9,453
Cost: $8,686
</Table>
Percentages indicated are based on net assets of $9,447.
(a) Non-income producing security.
(b) Variable rate security. The rate presented represents the rate in effect at
December 31, 2005.
(c) Rule 144A security.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
58
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
INCOME FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 12.6%
Crusade Global Trust,
4.50%, 11/19/37 (a) 483 484
First Horizon Alternative Mortgage
Securities,
4.77%, 06/25/34 (a) 995 988
First Union National Bank Commercial
Mortgage,
6.94%, 10/15/32 542 553
6.42%, 08/15/33 300 318
Granite Mortgages plc,
3.96%, 03/20/25 (a) 631 631
Greenwich Capital Commercial Funding Corp.,
4.95%, 01/11/35 525 520
3.92%, 08/10/42 429 421
LB-UBS Commercial Mortgage Trust,
7.95%, 05/15/25 525 577
6.65%, 11/15/27 425 454
6.37%, 12/15/28 500 529
MLCC Mortgage Investors, Inc.,
4.61%, 03/25/30 (a) 696 696
Puma Finance Limited,
4.50%, 08/09/35 (a) (b) 838 839
------
Cost: $7,027 7,010
CORPORATE BONDS - 15.1%
Biotechnology - 0.9%
Genentech, Inc.,
4.75%, 07/15/15 500 487
Broadcasting - 2.1%
Comcast Corp.,
5.85%, 11/15/15 500 506
Grupo Televisa SA,
6.63%, 03/18/25 400 408
Rogers Cable, Inc.,
5.50%, 03/15/14 250 234
------
1,148
Construction - 0.4%
KB Home,
5.88%, 01/15/15 250 236
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
INCOME FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
Electrical Equipment - 0.5%
Flextronics International, Ltd.,
6.50%, 05/15/13 250 254
Energy & Utilities - 1.3%
Chesapeake Energy Corp.,
6.88%, 01/15/16 250 256
Enterprise Products Partners LP,
4.95%, 06/01/10 480 471
------
727
Entertainment - 0.9%
News America, Inc.,
6.40%, 12/15/35 (b) 500 504
Financial - Diversified - 1.8%
CIT Group, Inc.,
5.20%, 11/03/10 500 501
Lehman Brothers Holdings,
5.00%, 01/14/11 500 499
------
1,000
Insurance - 1.4%
Berkley (WR) Corp.,
5.60%, 05/15/15 300 299
Fidelity National Financial,
5.25%, 03/15/13 250 234
UnumProvident Finance Co.,
6.85%, 11/15/15 (b) 250 260
------
793
Investment Banking & Brokerage - 0.9%
The Goldman Sachs Group, Inc.,
5.00%, 10/01/14 500 490
Manufacturing - 0.9%
Hutchison Whampoa International, Ltd.,
6.50%, 02/13/13 (b) 500 529
Real Estate - 0.9%
Simon Property Group LP,
5.10%, 06/15/15 500 484
Restaurants - 0.5%
Dominos, Inc.,
8.25%, 07/01/11 250 261
</Table>
SEE FINANCIAL NOTES
59
CITIZENS FUNDS HOLDINGS (UNAUDITED)
<Table>
<Caption>
- -------------------------------------------------------------------------
INCOME FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
Telecommunications - 2.6%
America Movil, S.A. de C.V.,
5.50%, 03/01/14 500 494
AT&T, Inc.,
4.13%, 09/15/09 500 483
Sprint Nextel Corp.,
7.38%, 08/01/15 500 527
------
1,504
------
TOTAL CORPORATE BONDS 8,417
Cost: $8,359
FOREIGN GOVERNMENT BOND - 1.1%
United Mexican States,
7.50%, 04/08/33 500 592
------
Cost: $569 592
U.S. GOVERNMENT AGENCY OBLIGATIONS - 34.6%
Federal Home Loan Mortgage Corporation - 10.9%
5.50%, 01/01/34 (c) (d) 6,100 6,043
Federal National Mortgage Association - 23.7%
4.13%, 05/15/10 480 469
5.00%, 04/15/15 980 995
4.50%, 01/01/19 (c) (d) 2,700 2,627
5.00%, 01/15/21 (c) (d) 3,100 3,066
6.50%, 01/01/35 (c) (d) 1,400 1,436
5.00%, 01/01/36 (c) (d) 4,800 4,649
------
13,242
------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 19,285
Cost: $19,272
U.S. TREASURY NOTES - 32.2%
4.25%, 11/30/07 4,000 3,988
4.38%, 11/15/08 4,000 4,002
4.38%, 12/15/10 1,880 1,881
4.00%, 11/15/12 3,000 2,935
4.50%, 11/15/15 2,961 2,985
5.38%, 02/15/31 1,940 2,179
------
Cost: $17,889 17,970
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
INCOME FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 36.1%
Fifth Third Bank, Inc., 3.40%, 01/03/06
(Proceeds at maturity $20,193, collateralized
by Federal Home Loan Mortgage Corp.
security, 3.45%, 03/12/08) (e) 20,185 20,185
Cost: $20,185
------
TOTAL INVESTMENTS - 131.7% 73,459
Cost: $73,301
</Table>
Percentages indicated are based on net assets of $55,786.
(a) Variable rate security. The rate presented represents the rate in effect at
December 31, 2005.
(b) Rule 144A security.
(c) Security was traded on a "to be announced" basis.
(d) Security was acquired under a mortgage dollar roll transaction.
(e) Security considered collateral for "to be announced" mortgage dollar roll
transactions.
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
60
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
MONEY MARKET FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 10.7%
City National Bank of New Jersey, 3.75%,
03/14/06 (a) 100 100
First Tennessee Bank, 4.18%, 01/26/06 2,500 2,500
HSBC Bank plc, 3.76%, 01/20/06 4,000 4,000
Self Help Credit Union, 3.95%, 03/13/06 (a) 100 100
Wells Fargo Bank, 4.31%, 01/26/06 600 600
Wilmington Trust Corp., 4.35%, 02/01/06 1,892 1,892
------
TOTAL CERTIFICATES OF DEPOSIT 9,192
Cost: $9,192
COMMERCIAL PAPER - 76.4%
American General Finance Corp.,
4.34%, 01/05/06 556 556
Atlantis One Funding Corp.,
4.31%, 02/17/06 (b) 2,163 2,151
4.44%, 03/20/06 (b) 2,000 1,981
BMW Finance,
4.10%, 01/05/06 (b) 2,500 2,499
4.36%, 01/09/06 (b) 303 303
4.25%, 01/31/06 (b) 1,400 1,395
Charta Corp.,
4.19%, 01/23/06 (b) 1,497 1,493
4.21%, 01/24/06 (b) 2,500 2,494
Cooperative Association of Tractor Dealers,
4.12%, 01/09/06 2,000 1,997
4.33%, 01/09/06 150 150
4.48%, 04/05/06 1,500 1,483
4.50%, 04/13/06 110 109
4.53%, 04/21/06 510 503
Countrywide Home Loans,
4.44%, 03/06/06 4,200 4,168
First Data Corp.,
4.31%, 01/11/06 521 520
Fountain Square,
4.31%, 01/10/06 (b) 1,538 1,536
4.34%, 01/17/06 (b) 500 499
Galaxy Funding, Inc.,
4.28%, 01/13/06 (b) 3,900 3,895
4.26%, 01/24/06 (b) 250 249
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------
MONEY MARKET FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
Harley-Davidson Funding,
4.23%, 01/25/06 (b) 700 698
4.32%, 01/27/06 (b) 1,135 1,131
4.27%, 01/30/06 (b) 400 399
4.29%, 02/24/06 (b) 1,500 1,491
ING America Insurance,
4.11%, 01/12/06 2,500 2,497
4.19%, 01/18/06 1,000 998
JPMorgan Chase & Co.,
4.20%, 01/17/06 2,500 2,495
Metlife Funding, Inc.,
4.32%, 01/23/06 (b) 400 399
4.21%, 02/08/06 (b) 2,766 2,754
4.29%, 02/21/06 (b) 1,128 1,121
Mid States Federal Credit Union Corp.,
4.29%, 01/12/06 3,000 2,996
4.30%, 01/24/06 1,214 1,211
New York Times Co.,
4.20%, 01/06/06 2,500 2,499
4.35%, 02/27/06 1,300 1,291
Procter & Gamble,
4.20%, 01/03/06 (b) 1,750 1,749
4.21%, 01/04/06 (b) 1,066 1,066
Rabobank,
4.29%, 01/10/06 900 899
4.28%, 01/11/06 1,520 1,518
The Stanley Works,
4.38%, 01/10/06 (b) 2,517 2,514
UBS Finance Corp.,
4.41%, 01/10/06 106 106
4.18%, 01/19/06 1,010 1,008
4.19%, 01/26/06 1,300 1,296
4.18%, 01/27/06 1,514 1,509
4.38%, 02/21/06 200 199
Verizon Network Funding,
4.32%, 01/17/06 200 200
4.27%, 01/19/06 3,019 3,012
4.31%, 02/06/06 717 714
------
TOTAL COMMERCIAL PAPER 65,751
Cost: $65,751
MUNICIPAL NOTES - 4.1%
New York State Housing Finance Agency, 4.38%,
11/15/29 (c) 3,500 3,500
Cost: $3,500
</Table>
SEE FINANCIAL NOTES
61
CITIZENS FUNDS HOLDINGS (UNAUDITED)
DECEMBER 31, 2005 ($ X 1,000)
<Table>
<Caption>
- -------------------------------------------------------------------------
MONEY MARKET FUND
SECURITY, RATE, MATURITY DATE PRINCIPAL($) VALUE($)
- -------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 6.9%
Federal Home Loan Bank - 3.3%
4.45%, 05/19/06 2,873 2,824
Federal Home Loan Mortgage Corporation - 1.4%
4.36%, 04/04/06 1,210 1,197
Federal National Mortgage Association - 2.2%
4.26%, 03/01/06 828 822
4.34%, 03/08/06 1,077 1,069
------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 5,912
------
Cost: $5,912
TOTAL INVESTMENTS - 98.1% 84,355
Cost: $84,355
</Table>
Percentages indicated are based on net assets of $86,015.
(a) Restricted security which may not be publicly sold without registration
under the Securities Act of 1933.
(b) Rule 144A security.
(c) Variable rate security. The rate presented represents the rate in effect at
December 31, 2005.
- --------------------------------------------------------------------------------
SEE FINANCIAL NOTES
62
(THIS PAGE INTENTIONALLY LEFT BLANK)
63
STATEMENTS OF ASSETS
AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
300 Core Growth Emerging Growth
Fund Fund Fund
- ----------------------------------------------------------------------------------------------
ASSETS
Investments, at value $4,516,145 $330,223,570 $ 171,075,877
Repurchase agreements -- 15,900,072 3,423,830
-------------------------------------------
Total investments 4,516,145 346,123,642 174,499,707
Cash 3,079 -- --
Foreign currency -- -- --
Receivables:
Interest and dividends 2,924 212,478 57,726
Investments sold -- -- --
Tax reclaims -- -- --
Capital shares issued 220 79,410 26,645
Due from investment adviser 9,577 -- --
Prepaid expenses 8,595 43,587 31,641
-------------------------------------------
Total assets 4,540,540 346,459,117 174,615,719
LIABILITIES
Payables:
Dividends to shareholders -- -- --
Investments purchased -- -- --
Capital shares redeemed 1,142 164,353 664,736
Investment management fees 2,236 427,106 423,379
Administrative fees 1,677 128,132 63,507
Shareholder service fees 595 165,863 23,593
Distribution fees 2,795 181,521 105,369
Other accrued expenses 4,252 240,657 153,167
-------------------------------------------
Total liabilities 12,697 1,307,632 1,433,751
- ----------------------------------------------------------------------------------------------
NET ASSETS $4,527,843 $345,151,485 $ 173,181,968
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
NET ASSETS
Standard Shares:
Net assets $4,527,843 $289,451,009 $ 167,398,676
Number of shares outstanding 397,691 13,599,074 10,762,837
Net asset value, offering and redemption price
per share $ 11.39 $ 21.28 $ 15.55
Institutional Shares:
Net assets -- $ 54,030,396 $ 767,977
Number of shares outstanding -- 3,031,797 47,444
Net asset value, offering and redemption price
per share -- $ 17.82 $ 16.19
Administrative Shares:
Net assets -- $ 1,670,080 $ 5,015,315
Number of shares outstanding -- 76,542 315,678
Net asset value, offering and redemption price
per share -- $ 21.82 $ 15.89
Net assets consist of:
Paid-in capital $3,978,770 $337,555,988 $ 316,189,299
Accumulated (Distributions in excess of) net
investment income/loss 110 (788,305) (1,133,538)
Accumulated net realized gains/losses on
investments and foreign currencies (22,571) (57,224,107) (185,690,951)
Net unrealized appreciation/depreciation on
investments and foreign currencies 571,534 65,607,909 43,817,158
- ----------------------------------------------------------------------------------------------
NET ASSETS $4,527,843 $345,151,485 $ 173,181,968
- ----------------------------------------------------------------------------------------------
Investments, at cost $3,944,611 $280,515,733 $ 130,682,549
Foreign currency, at cost -- -- --
</Table>
SEE FINANCIAL NOTES
64
AS OF DECEMBER 31, 2005
<Table>
<Caption>
Small Cap Core Value Global Equity Balanced Income Money Market
Growth Fund Fund Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------
$30,573,047 $32,588,612 $ 79,620,952 $8,872,534 $53,274,499 $84,354,735
2,057,530 971,214 1,739,330 580,544 20,184,879 --
- ------------------------------------------------------------------------------------------
32,630,577 33,559,826 81,360,282 9,453,078 73,459,378 84,354,735
-- -- 101 -- 5,948 1,783,776
-- -- 101,359 -- -- --
3,809 29,961 89,831 38,198 319,405 110,041
-- 2,563,069 -- 46,986 -- --
-- -- 97,631 -- -- --
8,910 189,650 15,221 89,727 1,704 274,469
-- -- -- 9,948 -- --
11,333 10,707 26,803 8,590 12,238 21,220
- ------------------------------------------------------------------------------------------
32,654,629 36,353,213 81,691,228 9,646,527 73,798,673 86,544,241
-- -- -- 3,026 10,811 5,737
-- 3,360,350 -- 169,046 17,786,531 --
1,242 15,109 103,924 -- 19,292 328,592
39,681 55,539 206,462 14,473 92,124 77,233
11,904 11,901 30,969 3,178 21,260 33,100
3,681 3,385 11,013 734 5,650 10,376
19,841 19,835 51,098 5,297 35,432 --
24,200 21,443 89,077 3,784 41,823 74,542
- ------------------------------------------------------------------------------------------
100,549 3,487,562 492,543 199,538 18,012,923 529,580
- ------------------------------------------------------------------------------------------
$32,554,080 $32,865,651 $ 81,198,685 $9,446,989 $55,785,750 $86,014,661
- ------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------
$32,554,080 $32,865,651 $ 78,810,967 $9,446,989 $55,785,750 $73,558,419
2,790,523 2,712,007 4,560,174 751,757 5,683,887 73,657,616
$ 11.67 $ 12.12 $ 17.28 $ 12.57 $ 9.81 $ 1.00
-- -- $ 840,661 -- -- $12,456,242
-- -- 46,923 -- -- 12,461,689
-- -- $ 17.92 -- -- $ 1.00
-- -- $ 1,547,057 -- -- --
-- -- 88,035 -- -- --
-- -- $ 17.57 -- -- --
$28,126,772 $35,832,883 $ 192,806,593 $8,700,189 $61,694,225 $86,053,253
(160,837) (20,675) (237,026) (658) (7,885) --
(1,307,371) (7,145,122) (121,072,407) (19,263) (6,058,951) (38,592)
5,895,516 4,198,565 9,701,525 766,721 158,361 --
- ------------------------------------------------------------------------------------------
$32,554,080 $32,865,651 $ 81,198,685 $9,446,989 $55,785,750 $86,014,661
- ------------------------------------------------------------------------------------------
$26,735,061 $29,361,261 $ 71,660,201 $8,686,357 $73,301,017 $84,354,735
-- -- 102,267 -- -- --
</Table>
SEE FINANCIAL NOTES
65
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
300 Core Growth Emerging Growth
Fund Fund Fund
- ---------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 115 $ 304,095 $ 37,892
Dividend (1) 37,236 1,307,367 436,389
- ---------------------------------------------------------------------------------------------
Total investment income 37,351 1,611,462 474,281
EXPENSES
Investment management fees 4,530 847,665 841,583
Administrative fees 3,398 254,301 126,238
Distribution fees:
Standard shares 5,663 360,109 202,465
Administrative shares -- 2,006 6,564
Shareholder service fees:
Standard shares 1,414 363,993 55,170
Institutional shares -- 354 57
Administrative shares -- 9 9
Transfer agent expenses:
Standard shares 5,109 335,433 241,145
Institutional shares -- 1,636 184
Administrative shares -- 428 475
Accounting expenses 5,574 61,768 33,089
Custody expenses 2,783 5,080 3,038
Registration expenses 6,562 17,265 16,327
Trustee expenses 658 31,404 15,979
Other expenses 2,114 118,316 65,496
- ---------------------------------------------------------------------------------------------
Total expenses before reimbursements or waivers 37,805 2,399,767 1,607,819
Reimbursements or waivers from adviser (17,463) -- --
- ---------------------------------------------------------------------------------------------
Net expenses 20,342 2,399,767 1,607,819
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME/LOSS $ 17,009 $ (788,305) $(1,133,538)
REALIZED AND UNREALIZED GAINS/LOSSES ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Realized gains/losses on investments and
foreign currency transactions $ 99,300 $16,223,906 $ 4,617,688
Change in unrealized appreciation/depreciation
on investments and foreign currencies 120,416 10,302,532 13,093,925
- ---------------------------------------------------------------------------------------------
Net realized and unrealized gains/losses on
investments and foreign currencies 219,716 26,526,438 17,711,613
CHANGE IN NET ASSETS FROM OPERATIONS $236,725 $25,738,133 $16,578,075
(1) Dividend income net of withholding taxes. For the six months ended December 31, 2005,
withholding taxes for the Global Equity Fund were $3,468.
</Table>
SEE FINANCIAL NOTES
66
FOR THE SIX MONTHS ENDED DECEMBER 31, 2005
<Table>
<Caption>
Small Cap Core Value Global Equity Balanced Income Money Market
Growth Fund Fund Fund Fund Fund Fund
- ---------------------------------------------------------------------------------------
$ 26,617 $ 12,784 $ 25,190 $ 62,857 $ 1,318,919 $1,657,104
39,474 211,329 599,230 22,378 -- --
- ---------------------------------------------------------------------------------------
66,091 224,113 624,420 85,235 1,318,919 1,657,104
78,825 108,025 419,914 24,923 185,617 156,517
23,648 23,148 62,987 5,751 42,835 67,079
39,413 38,580 101,488 9,586 71,391 --
-- -- 1,958 -- -- --
9,160 8,552 25,900 2,168 15,400 24,300
-- -- 35 -- -- 193
-- -- 9 -- -- --
46,264 38,737 142,411 7,306 58,545 103,956
-- -- 143 -- -- 687
-- -- 916 -- -- --
6,936 6,792 26,428 5,135 13,038 17,577
913 1,737 7,595 2,662 1,546 3,916
7,058 5,897 16,663 7,139 6,563 13,566
2,715 2,457 8,617 392 5,399 8,453
11,996 10,863 32,773 2,403 21,853 32,550
- ---------------------------------------------------------------------------------------
226,928 244,788 847,837 67,465 422,187 428,794
-- -- -- (17,481) -- --
- ---------------------------------------------------------------------------------------
226,928 244,788 847,837 49,984 422,187 428,794
- ---------------------------------------------------------------------------------------
$ (160,837) $ (20,675) $ (223,417) $ 35,251 $ 896,732 $1,228,310
1,654,222
$ $ 781,912 $4,203,008 $ 59,943 $ (814,161) $ (58)
355,500 508,978 3,203,900 337,666 (261,785) --
- ---------------------------------------------------------------------------------------
2,009,722 1,290,890 7,406,908 397,609 (1,075,946) (58)
$1,848,885 $1,270,215 $7,183,491 $432,860 $ (179,214) $1,228,252
</Table>
SEE FINANCIAL NOTES
67
STATEMENTS OF CHANGES
IN NET ASSETS
<Table>
<Caption>
300 FUND CORE GROWTH FUND
- ----------------------------------------------------------------------------------------------
For the For the
six months six months
ended For the ended For the
12/31/05 year ended 12/31/05 year ended
(Unaudited) 06/30/05 (Unaudited) 06/30/05
- ----------------------------------------------------------------------------------------------
OPERATIONS
Net investment income/loss $ 17,009 $ 46,001 $ (788,305) $ (708,531)
Realized gains/losses on investments 99,300 34,659 16,223,906 13,066,631
Change in unrealized appreciation on
investments 120,416 61,219 10,302,532 15,286,460
- ----------------------------------------------------------------------------------------------
Change in net assets from operations 236,725 141,879 25,738,133 27,644,560
Dividends to Shareholders:
From net investment income:
Standard Shares (41,803) (34,591) -- --
From net realized gains on
investments:
Standard Shares (142,460) (24,271) -- --
- ----------------------------------------------------------------------------------------------
Total dividends (184,263) (58,862) -- --
Change in net assets from capital
transactions (1,814,246) (642,155) (4,277,592) (48,783,373)
CHANGE IN NET ASSETS $(1,761,784) $ (559,138) $ 21,460,541 $(21,138,813)
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period $ 6,289,627 $6,848,765 $323,690,944 $344,829,757
End of period $ 4,527,843 $6,289,627 $345,151,485 $323,690,944
- ----------------------------------------------------------------------------------------------
Accumulated net investment income/loss $ 110 $ 24,904 $ (788,305) --
- ----------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
Standard Shares
Proceeds from shares issued $ 966,634 $2,053,618 $ 8,554,090 $ 13,543,217
Dividends reinvested 181,336 58,104 -- --
Cost of shares redeemed (2,962,216) (2,753,877) (19,878,457) (48,788,003)
------------------------------------------------------
Net change (1,814,246) (642,155) (11,324,367) (35,244,786)
------------------------------------------------------
Institutional Shares
Proceeds from shares issued -- -- $ 20,006,954 $ 18,399,176
Cost of shares redeemed -- -- (12,832,170) (31,826,203)
------------------------------------------------------
Net change -- -- 7,174,784 (13,427,027)
------------------------------------------------------
Administrative Shares
Proceeds from shares issued -- -- $ 250,922 $ 426,879
Cost of shares redeemed -- -- (378,931) (538,439)
------------------------------------------------------
Net change -- -- (128,009) (111,560)
------------------------------------------------------
CHANGE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(1,814,246) $ (642,155) $ (4,277,592) $(48,783,373)
- ----------------------------------------------------------------------------------------------
SHARE TRANSACTIONS
Standard Shares
Issued 83,162 185,089 413,187 728,440
Reinvested 15,673 5,039 -- --
Redeemed (259,100) (246,122) (961,711) (2,622,290)
------------------------------------------------------
Net change (160,265) (55,994) (548,524) (1,893,850)
------------------------------------------------------
Institutional Shares
Issued -- -- 1,156,785 1,176,634
Redeemed -- -- (744,204) (2,082,889)
------------------------------------------------------
Net change -- -- 412,581 (906,255)
------------------------------------------------------
Administrative Shares
Issued -- -- 11,875 22,427
Redeemed -- -- (18,018) (28,441)
------------------------------------------------------
Net change -- -- (6,143) (6,014)
------------------------------------------------------
CHANGE IN SHARES FROM SHARE
TRANSACTIONS (160,265) (55,994) (142,086) (2,806,119)
- ----------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
68
<Table>
<Caption>
EMERGING GROWTH FUND SMALL CAP CORE GROWTH FUND VALUE FUND
- ---------------------------------------------------------------------------------------
For the For the For the
six months six months six months
ended For the ended For the ended For the
12/31/05 year ended 12/31/05 year ended 12/31/05 year ended
(Unaudited) 06/30/05 (Unaudited) 06/30/05 (Unaudited) 06/30/05
- ---------------------------------------------------------------------------------------
$ (1,133,538) $ (2,286,103) $ (160,837) $ (300,309) $ (20,675) $ (28,176)
4,617,688 (2,034,432) 1,654,222 (2,896,785) 781,912 1,338,604
13,093,925 17,191,037 355,500 4,753,730 508,978 1,273,049
- ---------------------------------------------------------------------------------------
16,578,075 12,870,502 1,848,885 1,556,636 1,270,215 2,583,477
-- -- -- -- -- --
-- -- -- (1,298,737) -- --
- ---------------------------------------------------------------------------------------
-- -- -- (1,298,737) -- --
(9,262,711) (27,903,648) 646,123 99,867 3,804,539 1,336,365
$ 7,315,364 $(15,033,146) $ 2,495,008 $ 357,766 $ 5,074,754 $ 3,919,842
- ---------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
$165,866,604 $180,899,750 $30,059,072 $29,701,306 $27,790,897 $23,871,055
$173,181,968 $165,866,604 $32,554,080 $30,059,072 $32,865,651 $27,790,897
- ---------------------------------------------------------------------------------------
$ (1,133,538) -- $ (160,837) -- $ (20,675) --
- ---------------------------------------------------------------------------------------
$ 9,167,344 $ 13,949,825 $ 3,497,232 $ 7,867,590 $ 6,439,908 $ 8,531,488
-- -- -- 1,265,634 -- --
(15,635,668) (34,269,158) (2,851,109) (9,033,357) (2,635,369) (7,195,123)
- ---------------------------------------------------------------------------------------
(6,468,324) (20,319,333) 646,123 99,867 3,804,539 1,336,365
- ---------------------------------------------------------------------------------------
$ 57,651 $ 559,501 -- -- -- --
(2,068,859) (1,710,905) -- -- -- --
- ---------------------------------------------------------------------------------------
(2,011,208) (1,151,404) -- -- -- --
- ---------------------------------------------------------------------------------------
$ 237,805 $ 890,326 -- -- -- --
(1,020,984) (7,323,237) -- -- -- --
- ---------------------------------------------------------------------------------------
(783,179) (6,432,911) -- -- -- --
- ---------------------------------------------------------------------------------------
$ (9,262,711) $(27,903,648) $ 646,123 $ 99,867 $ 3,804,539 $ 1,336,365
- ---------------------------------------------------------------------------------------
617,400 1,059,522 308,092 750,734 534,681 795,995
-- -- -- 117,843 -- --
(1,061,181) (2,599,019) (250,394) (876,978) (218,203) (671,471)
- ---------------------------------------------------------------------------------------
(443,781) (1,539,497) 57,698 (8,401) 316,478 124,524
- ---------------------------------------------------------------------------------------
3,829 41,357 -- -- -- --
(136,472) (124,903) -- -- -- --
- ---------------------------------------------------------------------------------------
(132,643) (83,546) -- -- -- --
- ---------------------------------------------------------------------------------------
15,851 67,524 -- -- -- --
(66,848) (576,879) -- -- -- --
- ---------------------------------------------------------------------------------------
(50,997) (509,355) -- -- -- --
- ---------------------------------------------------------------------------------------
(627,421) (2,132,398) 57,698 (8,401) 316,478 124,524
- ---------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
69
STATEMENTS OF CHANGES
IN NET ASSETS
<Table>
<Caption>
GLOBAL EQUITY FUND BALANCED FUND
- ------------------------------------------------------------------------------------------------
For the For the
six months six months
ended For the ended For the
12/31/05 year ended 12/31/05 year ended
(Unaudited) 06/30/05 (Unaudited) 06/30/05
- ------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income/loss $ (223,417) $ 141,025 $ 35,251 $ 40,601
Realized gains/losses on investments and
foreign currency transactions 4,203,008 6,000,124 59,943 (77,836)
Change in unrealized appreciation/
depreciation on investments and foreign
currencies 3,203,900 (2,235,549) 337,666 350,600
- ------------------------------------------------------------------------------------------------
Change in net assets from operations 7,183,491 3,905,600 432,860 313,365
Dividends to Shareholders:
From net investment income:
Standard Shares -- -- (35,908) (41,749)
Institutional Shares -- -- -- --
From net realized gains on investments:
Standard Shares -- -- -- (72,335)
- ------------------------------------------------------------------------------------------------
Total dividends -- -- (35,908) (114,084)
Change in net assets from capital
transactions (10,824,808) (22,076,750) 3,558,577 2,488,096
CHANGE IN NET ASSETS $ (3,641,317) $(18,171,150) $3,955,529 $2,687,377
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period $ 84,840,002 $103,011,152 $5,491,460 $2,804,083
End of period $ 81,198,685 $ 84,840,002 $9,446,989 $5,491,460
- ------------------------------------------------------------------------------------------------
Accumulated net investment income/loss $ (237,026) $ (13,609) $ (658) $ (1)
- ------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
Standard Shares
Proceeds from shares issued $ 2,843,276 $ 7,159,084 $4,058,148 $3,202,991
Dividends reinvested -- -- 30,106 116,909
Cost of shares redeemed (11,327,429) (26,154,054) (529,677) (831,804)
------------------------------------------------------
Net change (8,484,153) (18,994,970) 3,558,577 2,488,096
------------------------------------------------------
Institutional Shares
Proceeds from shares issued $ -- $ 613,484 -- --
Dividends reinvested -- -- -- --
Cost of shares redeemed (2,185,640) (3,015,760) -- --
------------------------------------------------------
Net change (2,185,640) (2,402,276) -- --
------------------------------------------------------
Administrative Shares
Proceeds from shares issued $ 127,206 $ 313,429 -- --
Cost of shares redeemed (282,221) (992,933) -- --
------------------------------------------------------
Net change (155,015) (679,504) -- --
------------------------------------------------------
CHANGE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(10,824,808) $(22,076,750) $3,558,577 $2,488,096
- ------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS
Standard Shares
Issued 170,880 468,530 329,669 278,643
Reinvested -- -- 2,413 10,053
Redeemed (677,669) (1,701,043) (43,002) (72,998)
------------------------------------------------------
Net change (506,789) (1,232,513) 289,080 215,698
------------------------------------------------------
Institutional Shares
Issued -- 38,057 -- --
Reinvested -- -- -- --
Redeemed (129,424) (198,226) -- --
------------------------------------------------------
Net change (129,424) (160,169) -- --
------------------------------------------------------
Administrative Shares
Issued 7,435 20,183 -- --
Redeemed (16,606) (62,430) -- --
------------------------------------------------------
Net change (9,171) (42,247) -- --
------------------------------------------------------
CHANGE IN SHARES FROM SHARE TRANSACTIONS (645,384) (1,434,929) 289,080 215,698
- ------------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
70
<Table>
<Caption>
INCOME FUND MONEY MARKET FUND
- ----------------------------------------------------------
For the For the
six months six months
ended For the ended For the
12/31/05 year ended 12/31/05 year ended
(Unaudited) 06/30/05 (Unaudited) 06/30/05
- ----------------------------------------------------------
$ 896,732 $ 2,111,638 $ 1,228,310 $ 1,134,923
(814,161) 352,980 (58) (29,451)
(261,785) 552,719 -- --
- ----------------------------------------------------------
(179,214) 3,017,337 1,228,252 1,105,472
(904,618) (2,182,135) (1,035,611) (951,801)
-- -- (192,699) (183,122)
-- -- -- --
- ----------------------------------------------------------
(904,618) (2,182,135) (1,228,310) (1,134,923)
272,794 (3,800,843) (3,472,135) (4,726,157)
$ (811,038) $(2,965,641) $(3,472,193) $(4,755,608)
- ----------------------------------------------------------
- ----------------------------------------------------------
$56,596,788 $59,562,429 $89,486,854 $94,242,462
$55,785,750 $56,596,788 $86,014,661 $89,486,854
- ----------------------------------------------------------
$ (7,885) $ 1 -- --
- ----------------------------------------------------------
$ 3,900,984 $ 5,746,190 $27,816,516 $67,336,900
821,435 2,140,899 1,006,187 946,951
(4,449,625) (11,687,932) (31,988,475) (74,764,898)
- ----------------------------------------------------------
272,794 (3,800,843) (3,165,772) (6,481,047)
- ----------------------------------------------------------
-- -- $ 1,414,852 $ 4,217,756
-- -- 192,340 187,562
-- -- (1,913,555) (2,650,428)
- ----------------------------------------------------------
-- -- (306,363) 1,754,890
- ----------------------------------------------------------
-- -- -- --
-- -- -- --
- ----------------------------------------------------------
-- -- -- --
- ----------------------------------------------------------
$ 272,794 $(3,800,843) $(3,472,135) $(4,726,157)
- ----------------------------------------------------------
394,446 572,962 27,816,516 67,336,900
83,375 214,215 1,006,187 946,951
(452,360) (1,168,437) (31,988,475) (74,764,898)
- ----------------------------------------------------------
25,461 (381,260) (3,165,772) (6,481,047)
- ----------------------------------------------------------
-- -- 1,414,853 4,217,756
-- -- 192,340 187,562
-- -- (1,913,555) (2,650,428)
- ----------------------------------------------------------
-- -- (306,362) 1,754,890
- ----------------------------------------------------------
-- -- -- --
-- -- -- --
- ----------------------------------------------------------
-- -- -- --
- ----------------------------------------------------------
25,461 (381,260) (3,472,134) (4,726,157)
- ----------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
71
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SELECTED PER SHARE DATA INVESTMENT ACTIVITIES DIVIDENDS
- ------------------------------------------------------------------------------------------------------------------
Net asset Net realized
value, Net and unrealized Total from From net
beginning investment Redemption gains/losses investment investment
of period income/loss fee on investments operations income
- ------------------------------------------------------------------------------------------------------------------
300 FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $11.27 0.07 -- 0.53 0.60 (0.11)
Year ended June 30, 2005 11.16 0.08 -- 0.13 0.21 (0.06)
Period ended June 30, 2004 (3) 10.00 0.03 -- 1.14 1.17 (0.01)
- ------------------------------------------------------------------------------------------------------------------
CORE GROWTH FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $19.72 (0.06) -- 1.62 1.56 --
Year ended June 30, 2005 18.10 (0.06) -- 1.68 1.62 --
Year ended June 30, 2004 16.44 (0.12) -- 1.78 1.66 --
Year ended June 30, 2003 16.73 (0.04) -- (0.25) (0.29) --
Year ended June 30, 2002 22.12 (0.09) -- (5.30) (5.39) --
Year ended June 30, 2001 32.59 (0.16) -- (9.01) (9.17) --
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $16.45 0.01 -- 1.36 1.37 --
Year ended June 30, 2005 14.99 0.07 -- 1.39 1.46 --
Year ended June 30, 2004 13.52 0.01 -- 1.46 1.47 --
Year ended June 30, 2003 13.66 0.05 -- (0.19) (0.14) --
Year ended June 30, 2002 17.94 0.04 -- (4.32) (4.28) --
Year ended June 30, 2001 26.59 0.01 -- (7.36) (7.35) --
ADMINISTRATIVE SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $20.17 (0.02) -- 1.67 1.65 --
Year ended June 30, 2005 18.44 0.02 -- 1.71 1.73 --
Year ended June 30, 2004 16.68 (0.08) -- 1.84 1.76 --
Year ended June 30, 2003 16.91 0.01 -- (0.24) (0.23) --
Year ended June 30, 2002 22.27 (0.01) -- (5.35) (5.36) --
Year ended June 30, 2001 32.66 (0.03)(4) -- (9.06) (9.09) --
- ------------------------------------------------------------------------------------------------------------------
(1) Not annualized.
(2) Annualized.
(3) For the period August 29, 2003, commencement of operations, to June 30, 2004.
(4) Based on average shares outstanding.
</Table>
SEE FINANCIAL NOTES
72
<Table>
<Caption>
TO SHAREHOLDERS RATIOS AND SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net Ratio of Ratio of net Ratio of
From Net asset assets, expenses to investment expenses to
net Total value, Total end of average net income/loss average net Portfolio
realized dividends to end return period assets, net of to average net assets, prior to turnover
gains shareholders of period (%) ($ x 1,000) reimbursement (%) assets (%) reimbursement (%) rate (%)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(0.37) (0.48) $11.39 5.28(1) $ 4,528 0.90(2) 0.75(2) 1.67(2) 7.04(1)
(0.04) (0.10) 11.27 1.84 6,290 0.90 0.67 1.39 31.76
-- (0.01) 11.16 11.71(1) 6,849 0.90(2) 0.38(2) 1.94(2) 32.98(1)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $21.28 7.96(1) $289,451 1.52(2) (0.57)(2) 1.52(2) 43.75(1)
-- -- 19.72 8.95 278,940 1.55 (0.32) 1.55 101.34
-- -- 18.10 10.10 290,352 1.50 (0.65) 1.52 228.43
-- -- 16.44 (1.73) 285,339 1.37 (0.28) 1.53 183.75
-- -- 16.73 (24.37) 326,793 1.34 (0.43) 1.44 76.40
(1.30) (1.30) 22.12 (28.42) 472,779 1.34 (0.62) 1.42 44.95
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $17.82 8.33(1) $ 54,030 0.80(2) 0.16(2) 0.80(2) 43.75(1)
-- -- 16.45 9.74 43,083 0.80 0.42 0.80 101.34
-- -- 14.99 10.96 52,842 0.77 0.08 0.79 228.43
-- -- 13.52 (1.02) 63,571 0.69 0.36 0.76 183.75
-- -- 13.66 (23.86) 85,140 0.68 0.23 0.73 76.40
(1.30) (1.30) 17.94 (27.98) 123,912 0.68 0.04 0.74 44.95
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $21.82 8.18(1) $ 1,670 1.09(2) (0.15)(2) 1.09(2) 43.75(1)
-- -- 20.17 9.38 1,667 1.14 0.09 1.14 101.34
-- -- 18.44 10.55 1,635 1.11 (0.27) 1.13 228.43
-- -- 16.68 (1.36) 2,426 1.00 0.09 1.06 183.75
-- -- 16.91 (24.07) 2,029 0.94 (0.05) 1.01 76.40
(1.30) (1.30) 22.27 (28.11) 1,964 0.94 (0.14) 5.63 44.95
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
73
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SELECTED PER SHARE DATA INVESTMENT ACTIVITIES DIVIDENDS
- ------------------------------------------------------------------------------------------------------------------
Net asset Net realized
value, Net and unrealized Total from From net
beginning investment Redemption gains/losses investment investment
of period income/loss fee on investments operations income
- ------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $14.10 (0.10)(1) -- 1.55 1.45 --
Year ended June 30, 2005 13.01 (0.18)(1) -- 1.27 1.09 --
Year ended June 30, 2004 10.96 (0.20) -- 2.25 2.05 --
Year ended June 30, 2003 11.82 (0.17) -- (0.69) (0.86) --
Year ended June 30, 2002 15.79 (0.20) -- (3.77) (3.97) --
Year ended June 30, 2001 33.48 (0.21) -- (11.41) (11.62) --
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $14.62 (0.06)(1) -- 1.63 1.57 --
Year ended June 30, 2005 13.41 (0.10)(1) -- 1.31 1.21 --
Year ended June 30, 2004 11.23 (0.15) -- 2.33 2.18 --
Year ended June 30, 2003 12.02 (0.10) -- (0.69) (0.79) --
Year ended June 30, 2002 15.96 (0.11)(1) -- (3.83) (3.94) --
Year ended June 30, 2001 33.61 (0.12) -- (11.46) (11.58) --
ADMINISTRATIVE SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $14.37 (0.08)(1) -- 1.60 1.52 --
Year ended June 30, 2005 13.22 (0.14)(1) -- 1.29 1.15 --
Year ended June 30, 2004 11.11 (0.14) -- 2.25 2.11 --
Year ended June 30, 2003 11.92 (0.10) -- (0.71) (0.81) --
Year ended June 30, 2002 15.87 (0.13) -- (3.82) (3.95) --
Year ended June 30, 2001 33.57 (0.17)(1) -- (11.46) (11.63) --
- ------------------------------------------------------------------------------------------------------------------
SMALL CAP CORE GROWTH FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $11.00 (0.06) -- 0.73 0.67 --
Year ended June 30, 2005 10.84 (0.11) -- 0.77 0.66 --
Year ended June 30, 2004 8.67 (0.13) -- 2.30 2.17 --
Year ended June 30, 2003 9.18 (0.09) -- (0.42) (0.51) --
Year ended June 30, 2002 9.52 (0.08) -- (0.26) (0.34) --
Year ended June 30, 2001 11.23 (0.05) -- (1.64) (1.69) --
- ------------------------------------------------------------------------------------------------------------------
(1) Based on average shares outstanding.
(2) Not annualized.
(3) Annualized.
</Table>
SEE FINANCIAL NOTES
74
<Table>
<Caption>
TO SHAREHOLDERS RATIOS AND SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net Ratio of Ratio of net Ratio of
From Net asset assets, expenses to investment expenses to
net Total value, Total end of average net income/loss average net Portfolio
realized dividends to end return period assets, net of to average net assets, prior to turnover
gains shareholders of period (%) ($ x 1,000) reimbursement (%) assets (%) reimbursement (%) rate (%)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $15.55 10.28(2) $167,399 1.92(3) (1.36)(3) 1.92(3) 30.96(2)
-- -- 14.10 8.38 157,963 1.96 (1.39) 1.96 109.56
-- -- 13.01 18.70 165,782 1.93 (1.47) 1.94 151.80
-- -- 10.96 (7.28) 157,911 1.95 (1.56) 1.97 315.89
-- -- 11.82 (25.14) 190,812 1.80 (1.39) 1.86 202.57
(6.07) (6.07) 15.79 (37.52) 283,760 1.68 (1.09) 1.75 136.63
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $16.19 10.74(2) $ 768 1.35(3) (0.82)(3) 1.35(3) 30.96(2)
-- -- 14.62 9.02 2,633 1.33 (0.76) 1.33 109.56
-- -- 13.41 19.41 3,534 1.30 (0.85) 1.31 151.80
-- -- 11.23 (6.57) 5,379 1.25 (0.86) 1.28 315.89
-- -- 12.02 (24.69) 6,428 1.20 (0.78) 1.26 202.57
(6.07) (6.07) 15.96 (37.21) 19,676 1.30 (0.69) 1.36 136.63
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $15.89 10.58(2) $ 5,015 1.58(3) (1.01)(3) 1.58(3) 30.96(2)
-- -- 14.37 8.70 5,270 1.64 (1.08) 1.64 109.56
-- -- 13.22 18.99 11,584 1.60 (1.13) 1.62 151.80
-- -- 11.11 (6.80) 8,561 1.51 (1.13) 1.54 315.89
-- -- 11.92 (24.89) 8,444 1.47 (1.07) 1.53 202.57
(6.07) (6.07) 15.87 (37.43) 9,497 1.55 (0.96) 2.06 136.63
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $11.67 6.09(2) $ 32,554 1.44(3) (1.02)(3) 1.44(3) 39.80(2)
(0.50) (0.50) 11.00 6.21 30,059 1.51 (1.07) 1.51 120.89
-- -- 10.84 25.03 29,701 1.53 (1.37) 1.53 207.80
-- -- 8.67 (5.56) 17,821 1.45 (1.12) 1.58 349.79
-- -- 9.18 (3.57) 18,459 1.34 (0.93) 1.40 294.26
(0.02) (0.02) 9.52 (15.08) 15,503 1.34 (0.57) 3.20 146.62
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
75
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SELECTED PER SHARE DATA INVESTMENT ACTIVITIES DIVIDENDS
- ------------------------------------------------------------------------------------------------------------------
Net realized
and unrealized
Net asset gains/losses
value, Net on investments Total from From net
beginning investment Redemption and foreign investment investment
of period income/loss fee currencies operations income
- ------------------------------------------------------------------------------------------------------------------
VALUE FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $11.60 (0.01) -- 0.53 0.52 --
Year ended June 30, 2005 10.51 (0.01) -- 1.10 1.09 --
Year ended June 30, 2004 8.64 (0.02) -- 1.89 1.87 --
Year ended June 30, 2003 8.74 (0.05) -- (0.05) (0.10) --
One month period ended June 30,
2002(3) 10.21 (0.01) -- (1.46) (1.47) --
Year ended May 31, 2002 15.29 (0.08) -- (3.57) (3.65) --
Year ended May 31, 2001 14.58 (0.07) -- 2.70 2.63 --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL EQUITY FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $15.86 (0.05)(4) --(5) 1.47 1.42 --
Year ended June 30, 2005 15.18 0.02(4) --(5) 0.66 0.68 --
Year ended June 30, 2004 13.39 (0.10)(4) --(5) 1.89 1.79 --
Year ended June 30, 2003 14.22 (0.03)(4) 0.02 (0.82) (0.83) --
Year ended June 30, 2002 18.31 (0.11)(4) 0.01 (3.99) (4.09) --
Year ended June 30, 2001 29.99 (0.16) -- (9.61) (9.77) --
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $16.39 --(4) --(5) 1.53 1.53 --
Year ended June 30, 2005 15.58 0.12(4) --(5) 0.69 0.81 --
Year ended June 30, 2004 13.65 0.04(4) --(5) 1.89 1.93 --
Year ended June 30, 2003 14.40 0.05(4) 0.02 (0.82) (0.75) --
Year ended June 30, 2002 18.46 (0.01)(4) 0.01 (4.06) (4.06) --
Year ended June 30, 2001 30.08 (0.05)(4) -- (9.66) (9.71) --
ADMINISTRATIVE SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $16.11 (0.02)(4) --(5) 1.48 1.46 --
Year ended June 30, 2005 15.36 0.06(4) --(5) 0.69 0.75 --
Year ended June 30, 2004 13.51 (0.02)(4) --(5) 1.87 1.85 --
Year ended June 30, 2003 14.30 0.01(4) 0.02 (0.82) (0.79) --
Year ended June 30, 2002 18.38 (0.06)(4) 0.01 (4.03) (4.08) --
Year ended June 30, 2001 30.02 (0.11)(4) -- (9.62) (9.73) --
- ------------------------------------------------------------------------------------------------------------------
(1) Not Annualized.
(2) Annualized.
(3) Subsequent to the annual report as of May 31, 2002, the Citizens Value Fund changed its fiscal year end to
June 30.
(4) Based on average shares outstanding.
(5) Less than $0.005 per share.
</Table>
SEE FINANCIAL NOTES
76
<Table>
<Caption>
TO SHAREHOLDERS RATIOS AND SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net Ratio of Ratio of net Ratio of
From Net asset assets, expenses to investment expenses to
net Total value, Total end of average net income/loss average net Portfolio
realized dividends to end return period assets, net of to average net assets, prior to turnover
gains shareholders of period (%) ($ x 1,000) reimbursement (%) assets (%) reimbursement (%) rate (%)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $12.12 4.48(1) $ 32,866 1.58(2) (0.13)(2) 1.58(2) 49.31(1)
-- -- 11.60 10.37 27,791 1.70 (0.11) 1.70 172.95
-- -- 10.51 21.64 23,871 1.78 (0.23) 1.78 130.18
-- -- 8.64 (1.14) 16,226 1.90 (0.62) 1.90 209.72
-- 8.74 (14.40)(1) 21,060 1.95(2) (1.33)(2) 2.05(2) 5.87(1)
--
(1.43) (1.43) 10.21 (25.58) 24,981 1.95 (1.04) 2.54 34.77
(1.92) (1.92) 15.29 20.71 14,378 1.95 (0.65) 4.63 62.55
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $17.28 8.95(1) $ 78,811 2.03(2) (0.55)(2) 2.03(2) 8.70(1)
-- -- 15.86 4.48 80,384 2.05 0.13 2.05 80.36
-- -- 15.18 13.37 95,625 2.01 (0.60) 2.01 49.16
-- -- 13.39 (5.84) 101,846 1.91 (0.26) 1.91 42.05
-- -- 14.22 (22.34) 135,881 1.84 (0.66) 1.84 132.82
(1.91) (1.91) 18.31 (33.69) 236,080 1.82 (0.71) 1.82 151.95
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $17.92 9.33(1) $ 841 1.40(2) -- (2) 1.40(2) 8.70(1)
-- -- 16.39 5.20 2,891 1.39 0.75 1.39 80.36
-- -- 15.58 14.14 5,244 1.37 0.25 1.37 49.16
-- -- 13.65 (5.21) 6,688 1.26 0.42 1.26 42.05
-- -- 14.40 (21.99) 9,531 1.27 (0.05) 1.27 132.82
(1.91) (1.91) 18.46 (33.35) 16,475 1.39 (0.23) 1.42 151.95
- ------------------------------------------------------------------------------------------------------------------------------------
-- -- $17.57 9.06(1) $ 1,547 1.74(2) (0.25)(2) 1.74(2) 8.70(1)
-- -- 16.11 4.88 1,566 1.73 0.40 1.73 80.36
-- -- 15.36 13.69 2,142 1.71 (0.11) 1.71 49.16
-- -- 13.51 (5.52) 2,059 1.59 0.11 1.59 42.05
-- -- 14.30 (22.20) 2,207 1.64 (0.39) 1.64 132.82
(1.91) (1.91) 18.38 (33.52) 1,748 1.68 (0.48) 3.18 151.95
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
77
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SELECTED PER SHARE DATA INVESTMENT ACTIVITIES DIVIDENDS
- ------------------------------------------------------------------------------------------------------------------
Net asset Net realized
value, Net and unrealized Total from From net
beginning investment Redemption gains/losses investment investment
of period income/loss fee on investments operations income
- ------------------------------------------------------------------------------------------------------------------
BALANCED FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $11.87 0.05 -- 0.70 0.75 (0.05)
Year ended June 30, 2005 11.35 0.12 -- 0.75 0.87 (0.12)
Year ended June 30, 2004 10.47 0.06 -- 1.12 1.18 (0.06)
Period ended June 30, 2003(3) 10.00 0.02 -- 0.47 0.49 (0.02)
- ------------------------------------------------------------------------------------------------------------------
INCOME FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $10.00 0.16 -- (0.19) (0.03) (0.16)
Year ended June 30, 2005 9.86 0.37 -- 0.15 0.52 (0.38)
Year ended June 30, 2004 10.28 0.34 -- (0.40) (0.06) (0.36)
Year ended June 30, 2003 9.62 0.37 -- 0.69 1.06 (0.40)
Year ended June 30, 2002 10.28 0.58 -- (0.66) (0.08) (0.58)
Year ended June 30, 2001 10.20 0.68 -- 0.10 0.78 (0.70)
- ------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
STANDARD SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $ 1.00 0.01 -- -- 0.01 (0.01)
Year ended June 30, 2005 1.00 0.01 -- -- 0.01 (0.01)
Year ended June 30, 2004 1.00 --(4) -- -- --(4) --(4)
Year ended June 30, 2003 1.00 0.01 -- -- 0.01 (0.01)
Year ended June 30, 2002 1.00 0.02 -- -- 0.02 (0.02)
Year ended June 30, 2001 1.00 0.05 -- -- 0.05 (0.05)
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------------------
Six months ended December 31,
2005 (Unaudited) $ 1.00 0.02 -- -- 0.02 (0.02)
Year ended June 30, 2005 1.00 0.02 -- -- 0.02 (0.02)
Year ended June 30, 2004 1.00 --(4) -- -- --(4) --(4)
Year ended June 30, 2003 1.00 0.01 -- -- 0.01 (0.01)
Year ended June 30, 2002 1.00 0.02 -- -- 0.02 (0.02)
Year ended June 30, 2001 1.00 0.05 -- -- 0.05 (0.05)
- ------------------------------------------------------------------------------------------------------------------
(1) Not Annualized.
(2) Annualized.
(3) For the period December 20, 2002, commencement of operations, to June 30, 2003.
(4) Less than $0.005 per share.
</Table>
SEE FINANCIAL NOTES
78
<Table>
<Caption>
TO SHAREHOLDERS RATIOS AND SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net Ratio of Ratio of net Ratio of
From Net asset assets, expenses to investment expenses to
net Total value, Total end of average net income/loss average net Portfolio
realized dividends to end return period assets, net of to average net assets, prior to turnover
gains shareholders of period (%) ($ x 1,000) reimbursement (%) assets (%) reimbursement (%) rate (%)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- (0.05) $12.57 6.34(1) $ 9,447 1.30(2) 0.92(2) 1.75(2) 31.79(1)
(0.23) (0.35) 11.87 7.76 5,491 1.30 1.07 2.33 109.56
(0.24) (0.30) 11.35 11.31 2,804 1.30 0.60 4.30 98.20
-- (0.02) 10.47 4.87(1) 1,061 1.30(2) 0.41(2) 16.73(2) 140.42(1)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- (0.16) $ 9.81 (0.32)(1) $55,786 1.48(2) 3.14(2) 1.48(2) 229.30(1)
-- (0.38) 10.00 5.34 56,597 1.48 3.66 1.48 111.76
-- (0.36) 9.86 (0.63) 59,562 1.45 3.28 1.45 64.37
-- (0.40) 10.28 11.28 69,137 1.37 3.80 1.37 195.73
-- (0.58) 9.62 (0.87) 67,488 1.38 5.77 1.38 54.05
--(4) (0.70) 10.28 7.87 71,639 1.40 6.55 1.48 60.53
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
-- (0.01) $ 1.00 1.36(1) $73,558 1.00(2) 2.70(2) 1.00(2) N/A
-- (0.01) 1.00 1.21 76,724 1.00 1.19 1.00 N/A
-- --(4) 1.00 0.10 83,231 0.98 0.10 0.98 N/A
-- (0.01) 1.00 0.65 104,641 0.93 0.65 0.93 N/A
-- (0.02) 1.00 1.71 114,271 0.92 1.72 0.92 N/A
-- (0.05) 1.00 5.23 117,211 0.89 5.08 0.89 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
-- (0.02) $ 1.00 1.53(1) $12,456 0.68(2) 3.02(2) 0.68(2) N/A
-- (0.02) 1.00 1.53 12,763 0.68 1.55 0.68 N/A
-- --(4) 1.00 0.41 11,011 0.67 0.41 0.67 N/A
-- (0.01) 1.00 0.95 10,892 0.63 0.98 0.63 N/A
-- (0.02) 1.00 1.97 16,539 0.67 1.95 0.67 N/A
-- (0.05) 1.00 5.43 27,475 0.70 5.22 0.70 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE FINANCIAL NOTES
79
FINANCIAL NOTES (UNAUDITED)
ORGANIZATION
Citizens Funds (the "trust"), a Massachusetts Business Trust, is registered as
an open-end management investment company under the Investment Company Act of
1940, as amended (the "1940 Act"). The trust offers the following funds
(individually a "fund," collectively the "funds"):
<Table>
<Caption>
FUND SHORT NAME
- --------------------------------------------------------------------------------
Citizens 300 Fund 300 Fund
Citizens Core Growth Fund Core Growth Fund
Citizens Emerging Growth Fund Emerging Growth Fund
Citizens Small Cap Core Growth Fund Small Cap Core Growth Fund
Citizens Value Fund Value Fund
Citizens Global Equity Fund Global Equity Fund
Citizens Balanced Fund Balanced Fund
Citizens Income Fund Income Fund
Citizens Money Market Fund Money Market Fund
- --------------------------------------------------------------------------------
</Table>
The funds are authorized to issue an unlimited number of shares of beneficial
interest with no par value. The Core Growth Fund, Emerging Growth Fund, and
Global Equity Fund currently offer three classes of shares: Standard shares,
Institutional shares and Administrative shares. The Money Market Fund offers two
classes of shares: Standard shares and Institutional shares. The 300 Fund, Small
Cap Core Growth Fund, Value Fund, Balanced Fund, and Income Fund offer one class
of shares: Standard shares. Each class of shares in the funds has identical
rights and privileges except with respect to fees paid under class-specific
agreements, voting rights on matters affecting a single class of shares, and the
exchange privilege of each class of shares.
INDEMNIFICATIONS
Under the funds' organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the trust. In addition, in the normal course of business, the funds
enter into contracts with vendors and others that provide for general
indemnifications. The funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the funds.
80
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
funds in the preparation of their financial statements. The policies are in
conformity with accounting principles generally accepted in the United States of
America ("GAAP"). The preparation of financial statements requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
SECURITIES VALUATION
The board of trustees has approved procedures to be used to value each fund's
securities for the purpose of determining the fund's net asset value (NAV).
Equity securities traded on an exchange are valued at the market price
determined as the closing sale or official closing price on that exchange. For
securities not traded on an exchange, or if an exchange price is not readily
available, securities are valued at a market price determined by independent
third party pricing vendors approved by the funds' valuation committee. The
market price for debt obligations is determined by an independent third party
pricing service which use a matrix, formula or other objective method that
considers the effect of market indices, yield curves and other specific
adjustments. Short-term securities maturing within 60 days and all securities in
the Money Market Fund are valued at amortized cost, unless it is determined that
using this method would not reflect a security's fair value. Under the amortized
cost method, premium or discount, if any, is amortized or accreted,
respectively, on a constant basis to the maturity of the security. If a price
for a given security is unavailable or deemed unreliable by the adviser, the
market price may be determined using quotations received from one or more
brokers that make a market in the security. When such prices or quotations are
not available, or when the adviser believes they are unreliable, the funds'
valuation committee will value securities using fair value procedures approved
by the funds' board of trustees. Fair value procedures may also be used if the
adviser determines that a significant event has occurred between the time at
which a market price is determined and the time at which a fund's NAV is
calculated. The Global Equity Fund uses a fair value model developed by an
independent third party pricing service in its valuation considerations for
foreign equity securities on days when there is a specific percentage change in
the value of a domestic equity security index. This percentage is determined by
the funds' valuation committee.
81
FINANCIAL NOTES (UNAUDITED)
SECURITY TRANSACTIONS AND REL ATED INVESTMENT INCOME
Changes in holdings of portfolio securities shall be reflected no later than on
the first business day following the trade date. However, for financial
reporting purposes, portfolio security transactions are reported on trade date.
The cost of securities sold is determined on the identified cost basis, unless
otherwise specified. Interest income is recorded on an accrual basis and
includes, where applicable, the amortization or accretion of a premium or
discount. Dividend income is recorded on the ex-dividend date.
FOREIGN CURRENCY TRANSLATION
The accounting records of the funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in a foreign currency
are translated into U.S. dollars at the current rate of exchange. Purchases and
sales of securities, and income and expenses, are translated into U.S. dollars
at the prevailing rate of exchange on the respective dates of such transactions.
The changes in foreign exchange rates on investments are not isolated on the
Statement of Operations. Such fluctuations are included with the net realized
and unrealized gain or loss on investments.
FOREIGN CURRENCY CONTRACTS
Foreign currency contracts are used to facilitate transactions in
foreign-denominated securities. Losses may arise from changes in the value of
the foreign currency or if the counterparties do not perform under the
contract's terms. The U.S. dollar value of foreign currency contracts is
determined using the current rate of exchange. There were no foreign currency
contracts open at December 31, 2005.
REPURCHASE AGREEMENTS
The funds may acquire repurchase agreements with an entity that is a member bank
of the Federal Reserve System and government securities dealers that are on the
Federal Reserve Bank of New York's list of primary dealers, collateralized by
instruments issued by the U.S. government, its agencies or instrumentalities.
The repurchase price generally equals the price paid by a fund plus interest
negotiated on the basis of current short-term rates, which may be more or less
than the rate on the underlying securities. It is the funds' policy to receive
collateral securities of which the value, including accrued interest, is at
least equal to 102% of the amount to be repaid to the funds under each agreement
at its maturity. Collateral
82
subject to repurchase agreements is held by the funds' custodian. If the
counterparty defaults, and the fair value of the collateral declines,
realization of the collateral by the funds may be delayed or limited.
SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Income Fund may invest in to-be-announced ("TBA") mortgage pass-through
securities issued by Ginnie Mae, Fannie Mae, and Freddie Mac for forward
delivery. The fund purchases TBA securities, which have not yet been issued by
the issuer, and for which specific information may not be known at the time of
purchase. The forward purchases may be rolled from month to month on or prior to
the delivery dates of such securities and therefore delivery of securities may
not occur.
MORTGAGE DOLLAR ROLLS
The Income Fund enters into dollar roll transactions in which the fund sells
mortgage-backed securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar securities to settle on a
specified future date. The fund treats dollar roll transactions as purchases and
sales in the portfolio. The risk of entering into a mortgage dollar roll is that
the market value of the securities the fund is obligated to repurchase under the
agreement may decline below the repurchase price. The fund will hold aside or
segregate cash, short-term money market instruments, or high quality debt
securities in an amount sufficient to cover any commitments or to limit any
potential risk.
RESTRICTED SECURITIES
The funds are permitted to invest in privately placed securities. These
securities may be resold in transactions exempt from registration, or to the
public, if the securities are registered under the Securities Act of 1933.
Disposal of these securities may involve time-consuming negotiations and
expense, and the prompt sale at an acceptable price may be difficult.
REDEMPTION FEE
The Global Equity Fund charges a redemption fee of 2% (paid to the fund) with
respect to shares of the fund redeemed or exchanged within 60 days of purchase.
The fee does not apply to shares purchased through the reinvestment of dividends
or other distributions, redemptions by the fund of accounts with below minimum
balances, redemptions due to shareholder death or disability, or certain omnibus
accounts or retirement plans. For the period ended December 31, 2005, the Global
Equity Fund
83
FINANCIAL NOTES (UNAUDITED)
collected $968 in redemption fees. These fees are included in the "change in net
assets from capital transactions" amounts in the Statements of Changes in Net
Assets.
DIVIDENDS TO SHAREHOLDERS
The 300 Fund, Core Growth Fund, Emerging Growth Fund, Small Cap Core Growth
Fund, Value Fund, and Global Equity Fund declare and distribute dividends from
net investment income, if any, to shareholders annually. The Balanced Fund
declares and distributes dividends from net investment income to shareholders
quarterly. The Income Fund declares and distributes dividends from net
investment income to shareholders monthly. Dividends from net investment income
for the Money Market Fund are declared daily and paid monthly. The funds' net
realized gains, if any, are distributed to shareholders at least annually.
Additional dividends may also be paid to the funds' shareholders to the extent
necessary to avoid federal excise tax on certain undistributed income and net
realized gains. The amounts of dividends from net investment income and net
realized gains are determined in accordance with federal income tax regulations,
which may differ from GAAP. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature (i.e., reclassification of market discounts, gain/loss, paydowns, and
distributions), such amounts are reclassified to capital; temporary differences
do not require reclassification.
FEDERAL INCOME TAX
Each fund is a separate taxable entity for federal tax purposes. Each fund has
qualified and intends to qualify each year as a "regulated investment company"
under Subchapter M of the Internal Revenue Code, as amended, and distributes
substantially all of its taxable net investment income and net realized gains,
if any, to its shareholders.
84
FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT MANAGEMENT FEE
Citizens Advisers, Inc. (the "adviser") serves as adviser to each of the funds.
Under the terms of the management agreement, the adviser is paid a fee that is
computed daily based on an annual rate of each fund's average daily net assets.
Those rates are as follows:
<Table>
<Caption>
FUND FEE RATE
- --------------------------------------------------------------------------------
300 Fund 0.20%
Core Growth Fund 0.50%
Emerging Growth Fund 1.00%
Small Cap Core Growth Fund 0.50%
Value Fund 0.70%
Global Equity Fund 1.00%
Balanced Fund 0.65%
Income Fund 0.65%
Money Market Fund 0.35%
- --------------------------------------------------------------------------------
McLean Budden Limited serves as the subadviser for the Global Equity Fund. For
its services, the subadviser receives a fee computed daily based on an annual
rate of 0.33% of the fund's average daily net assets up to $50 million, 0.30% on
the next $50 million, and 0.25% on assets thereafter. The fee is paid by the
adviser.
Effective August 29, 2005, Dwight Asset Management Company began serving as the
subadviser for the Income Fund. For its services, the subadviser receives a fee
computed daily based on an annual rate of 0.25% of the fund's average daily net
assets. The fee is paid by the adviser. Prior to August 29, 2005, all advisory
services were performed by the adviser.
DISTRIBUTION FEE
Citizens Securities, Inc. (the "distributor") is a wholly owned subsidiary of
the adviser and serves as the funds' distributor. Pursuant to Rule 12b-1 under
the 1940 Act, the trust's shareholders have adopted a separate distribution plan
with respect to the funds' Standard and Administrative shares pursuant to which
the funds, except the Money Market Fund, compensate the distributor for services
in an amount equal to 0.25% per annum of average annual net assets represented
by such shares.
85
FINANCIAL NOTES (UNAUDITED)
ADMINISTRATIVE AND SHAREHOLDER SERVICE FEES
The adviser, with whom certain officers and a trustee are affiliated, performs
administrative duties for the trust under a separate administrative contract,
which provides for the reimbursement of out-of-pocket expenses as well as fees
for services rendered. In accordance with the terms of the administrative
contract, fees are accrued daily based on average daily net assets of each fund
at the annual rate of 0.15%. In addition, Citizens Advisers provides a number of
administrative services to the trust, relating primarily to shareholder services
and communications, and is paid an account fee and is reimbursed for
out-of-pocket expenses as well, for providing such services and communications
for each of the individual funds with the exception of the Core Growth Fund,
Standard shares. The Core Growth Fund, Standard shares may be charged a
shareholder service fee of up to 0.35% based on the average daily net assets of
the class. For the period ended December 31, 2005, a fee of 0.25% was charged.
TRANSFER AGENCY, FUND ACCOUNTING AND CUSTODY
BISYS Fund Services Ohio, Inc. provides transfer agency and fund accounting
services to the funds pursuant to certain fee arrangements. As transfer agent
for the funds, BISYS is paid a fee based on the number of funds and shareholder
accounts, other service fees, and is reimbursed for out-of-pocket expenses as
well. Transfer agent expenses also include the cost of services rendered by
third parties to provide sub-transfer agency services. As fund accountant for
the funds, BISYS is paid a fee based on assets (ranging from 0.0125% - 0.035%)
and the number of share classes per fund, subject to certain minimums, other
service fees, and is reimbursed for out-of-pocket expenses as well. Fifth Third
Bank acts as a custodian for the funds and is paid a fee based on the funds'
assets and other transaction based fees, subject to certain minimums. Custody
expenses may be incurred or offset from fees or credits arising from cash
balances maintained on deposit.
TRUSTEE FEES
All of the officers and one of the trustees of the trust are "interested
persons," as defined in the 1940 Act, of the adviser. Currently, each trustee
who is not an "interested person" receives an annual retainer of $12,000 and
$1,250 for each day's attendance at a trustee meeting. The independent trustees
include a chair of the board, who receives an additional annual retainer of
$5,000; and an audit committee chair, social responsibility committee chair, and
nominating committee chair who each receive an additional annual retainer of
$2,500.
86
ALLOCATIONS
Expenses directly attributable to a fund are charged to that fund. Expenses not
directly attributable to a fund are allocated proportionately among various or
all funds within the trust in relation to the net assets of each fund or on
another reasonable basis. Expenses specific to a class are charged to that
class.
FEE REDUCTIONS AND REIMBURSEMENTS
For the period ended December 31, 2005, the adviser limited the total expenses,
exclusive of taxes, brokerage commissions and extraordinary expenses, for
certain funds to the extent they exceeded the following limits:
FUND EXPENSE LIMITATION
- --------------------------------------------------------------------------------
300 Fund 0.90%
Balanced Fund 1.30%
- --------------------------------------------------------------------------------
The expense limitations above are voluntary and may be removed by the adviser at
any time.
INVESTMENT TRANSACTIONS
The following summarizes purchases and sales of investment securities, other
than short-term investments and U.S. Government securities, by fund for the
period ended December 31, 2005:
<Table>
<Caption>
FUND PURCHASES SALES
- -----------------------------------------------------------------------------------------------------------
300 Fund $ 330,185 $ 2,319,989
Core Growth Fund 139,969,395 142,959,439
Emerging Growth Fund 51,289,380 62,163,169
Small Cap Core Growth Fund 12,302,577 11,859,722
Value Fund 18,473,825 14,904,247
Global Equity Fund 7,109,710 17,289,905
Balanced Fund 5,583,308 2,155,415
Income Fund 72,152,350 81,217,164
- -----------------------------------------------------------------------------------------------------------
87
FINANCIAL NOTES (UNAUDITED)
FEDERAL INCOME TAX INFORMATION
At December 31, 2005, the cost, gross unrealized appreciation and gross
unrealized depreciation on securities by fund, for federal income tax purposes,
were as follows:
<Table>
<Caption>
NET UNREALIZED
TAX UNREALIZED TAX UNREALIZED APPRECIATION/
FUND TAX COST APPRECIATION DEPRECIATION DEPRECIATION
- --------------------------------------------------------------------------------------------------------
300 Fund $ 3,976,040 $ 715,175 $ (175,070) $ 540,105
Core Growth Fund 280,521,556 67,407,638 (1,805,552) 65,602,086
Emerging Growth Fund 130,697,525 46,619,141 (2,816,959) 43,802,182
Small Cap Core Growth Fund 26,745,121 6,195,579 (310,123) 5,885,456
Value Fund 29,522,617 4,366,646 (329,437) 4,037,209
Global Equity Fund 71,881,653 13,351,314 (3,872,685) 9,478,629
Balanced Fund 8,689,056 836,097 (72,075) 764,022
Income Fund 73,301,017 271,762 (113,401) 158,361
Money Market Fund 84,354,735 -- -- --
- --------------------------------------------------------------------------------------------------------
88
SUPPLEMENTAL INFORMATION (UNAUDITED)
PORTFOLIO HOLDINGS DISCLOSURE
Each fund, except the Money Market Fund, posts its full portfolio holdings
monthly, with a 30-day lag, on www.citizensfunds.com. The portfolio holdings are
posted within approximately five business days after month end. The funds'
portfolio holdings will remain available until the following month's information
is posted.
In addition, each fund's, except the Money Market Fund's, top ten portfolio
holdings in order of position size and as a percentage of the total portfolio as
well as sector breakdowns and portfolio characteristics are available quarterly,
within approximately fifteen business days after quarter end on
www.citizensfunds.com. Each fund's top ten portfolio holdings, sector breakdown
and portfolio characteristics remain available until the following quarter's
information is posted.
Details of the funds' portfolio holdings policies and procedures, which includes
a discussion of any exceptions, are contained in the funds' SAI.
Each fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year within 60 days of such quarters'
end on Form N-Q. You can receive a copy of the funds' Form N-Q without charge by
calling 800.223.7010 or by visiting the website at www.citizensfunds.com. The
funds' Form N-Q is also available through a variety of methods. You can:
- -- find it on the EDGAR Database of the SEC internet site at www.sec.gov
- -- have copies sent to you (after paying a copying fee) by writing the SEC's
Public Reference Section, Washington, D.C. 20549-0102, or by electronic
request to publicinfo@sec.gov
- -- view and copy it in person at the SEC's Public Reference Room in Washington
D.C.; for more information call 202.942.8090.
89
SUPPLEMENTAL INFORMATION (UNAUDITED)
TABLE OF SHAREHOLDER EXPENSES
As a shareholder of the funds, you may incur two types of costs: (1) redemption
fees (for Global Equity Fund only) and (2) ongoing costs, including management
fees; distribution fees; and other fund expenses This example is intended to
help you 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.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from July 1, 2005 through December 31,
2005.
ACTUAL EXPENSES
The table on the opposite page provides information about actual account values
and actual expenses. You may use the information below, together with your
account value, to estimate the expenses that you paid 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 table
under the heading entitled "Expenses paid during period" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table on the opposite page also provides information about hypothetical
account values and hypothetical expenses based on each fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare this 5% hypothetical example
with the 5% hypothetical examples that appear in the shareholder reports of
other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as
redemption fees and other individual shareholder fees mentioned in the
prospectus. Therefore, the table is useful in comparing ongoing costs only, and
will not help you determine the relative total costs of owning different funds.
In addition, if these transactional costs were included, your costs would have
been higher.
90
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------------
DECEMBER 31, 2005
- ---------------------------------------------------------------------------------------------------------
Expenses Annualized
Beginning Ending paid during expense ratio
account account period* during the period
value value 07/01/05 -- 07/01/05 --
07/01/05 12/31/05 12/31/05 12/31/05
- ---------------------------------------------------------------------------------------------------------
300 FUND
Standard -- actual $ 1,000.00 $ 1,052.80 $ 4.66 0.90%
Standard -- hypothetical 1,000.00 1,020.67 4.58 0.90%
- ---------------------------------------------------------------------------------------------------------
CORE GROWTH FUND
Standard -- actual $ 1,000.00 $ 1,079.60 $ 7.97 1.52%
Standard -- hypothetical 1,000.00 1,017.54 7.73 1.52%
Institutional -- actual 1,000.00 1,083.30 4.20 0.80%
Institutional --
hypothetical 1,000.00 1,021.17 4.08 0.80%
Administrative -- actual 1,000.00 1,081.80 5.72 1.09%
Administrative --
hypothetical 1,000.00 1,019.71 5.55 1.09%
- ---------------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND
Standard -- actual $ 1,000.00 $ 1,102.80 $ 10.18 1.92%
Standard -- hypothetical 1,000.00 1,015.53 9.75 1.92%
Institutional -- actual 1,000.00 1,107.40 7.17 1.35%
Institutional --
hypothetical 1,000.00 1,018.40 6.87 1.35%
Administrative -- actual 1,000.00 1,105.80 8.39 1.58%
Administrative --
hypothetical 1,000.00 1,017.24 8.03 1.58%
- ---------------------------------------------------------------------------------------------------------
SMALL CAP CORE GROWTH FUND
Standard -- actual $ 1,000.00 $ 1,060.90 $ 7.48 1.44%
Standard -- hypothetical 1,000.00 1,017.95 7.32 1.44%
- ---------------------------------------------------------------------------------------------------------
VALUE FUND
Standard -- actual $ 1,000.00 $ 1,044.80 $ 8.14 1.58%
Standard -- hypothetical 1,000.00 1,017.24 8.03 1.58%
- ---------------------------------------------------------------------------------------------------------
GLOBAL EQUITY FUND
Standard -- actual $ 1,000.00 $ 1,089.50 $ 10.69 2.03%
Standard -- hypothetical 1,000.00 1,014.97 10.31 2.03%
Institutional -- actual 1,000.00 1,093.30 7.39 1.40%
Institutional --
hypothetical 1,000.00 1,018.15 7.12 1.40%
Administrative -- actual 1,000.00 1,090.60 9.17 1.74%
Administrative --
hypothetical 1,000.00 1,016.43 8.84 1.74%
- ---------------------------------------------------------------------------------------------------------
BALANCED FUND
Standard -- actual $ 1,000.00 $ 1,063.40 $ 6.76 1.30%
Standard -- hypothetical 1,000.00 1,018.65 6.61 1.30%
- ---------------------------------------------------------------------------------------------------------
INCOME FUND
Standard -- actual $ 1,000.00 $ 996.80 $ 7.45 1.48%
Standard -- hypothetical 1,000.00 1,017.74 7.53 1.48%
- ---------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
Standard -- actual $ 1,000.00 $ 1,013.60 $ 5.08 1.00%
Standard -- hypothetical 1,000.00 1,020.16 5.09 1.00%
Institutional -- actual 1,000.00 1,015.30 3.45 0.68%
Institutional --
hypothetical 1,000.00 1,021.78 3.47 0.68%
- ---------------------------------------------------------------------------------------------------------
*Expenses are equal to the average account value times the fund's annualized
expense ratio multiplied by 184/365 (to reflect the one-half year period.
91
SHAREHOLDER SERVICES (UNAUDITED)
At Citizens Funds, we want our investors to know how much we value their
business. That's why we offer a comprehensive range of services that includes
everything from highly trained client shareholder representatives to an
informative website.
EXCHANGES BETWEEN CITIZENS FUNDS*
You can move your money from any one of our funds to another.
RETIREMENT INVESTING
We offer investors the opportunity to invest in a variety of IRAs, including
Traditional, Roth and Rollover. Citizens Funds are also available for 401(k),
SEP and SIMPLE retirement plans.
AUTOMATIC INVESTMENT PLAN
Invest automatically on a monthly or quarterly basis with payroll deduction or
electronic transfer from your bank.
UNPARALLELED CUSTOMER SERVICE
Our representatives are well trained professionals whose goal is to satisfy most
requests during the first phone call. Representatives are available from 9 AM to
6 PM (ET) Monday - Friday at 800.223.7010.
CLIENT WEALTH MANAGEMENT
Receive personal, one on one advice and consultation from our Client Wealth
Management specialist.
WWW.CITIZENSFUNDS.COM
Citizens Funds' website offers daily fund prices and monthly performance
updates, fund and manager profiles, the funds' prospectus and applications,
shareholder activism updates, online account access and transactions and much
more.
INTELLIGENT COMMUNICATIONS
Citizens Funds was a pioneer of the plain English prospectus well before it
became the standard for the rest of the mutual fund industry. We try to bring
that same spirit of innovation, plain-speak and respect for our shareholders to
all our communications.
PROXY VOTING
A description of the policies and procedures that the funds use to determine how
to vote proxies relating to portfolio securities and a copy of the funds' voting
record for the 12-month period ended June 30, 2005 are available on-line at
www.citizensfunds.com without charge, or upon request, by calling 800.223.7010,
or on the SEC's website at www.sec.gov.
*Citizens Global Equity Fund charges a redemption fee of 2% on shares redeeemed
or exchanges within 60 days of purchase.
92
NOTES
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93
[CITIZENS FUNDS LOGO]
- --------------------------------------------------------------------------------
TRUSTEES CUSTODIAN
Walter D. Bristol, Jr. Fifth Third Bank
Sophia Collier Cincinnati, OH 45263
Jeannie H. Diefenderfer
Pablo S. Eisenberg TRANSFER AND ACCOUNTING AGENT
Orlando Hernandez BISYS Fund Services Ohio, Inc.
Martha S. Pope Columbus, OH 43219
Henry L.P. Schmelzer
LEGAL COUNSEL
MANAGER Bingham McCutchen LLP
Citizens Advisers, Inc. Boston, MA 02110
One Harbour Place
Suite 400 INDEPENDENT REGISTERED PUBLIC
Portsmouth, NH 03801 ACCOUNTING FIRM
800.223.7010 PricewaterhouseCoopers LLP
603.436.5152 Columbus, OH 43215
DISTRIBUTOR
Citizens Securities, Inc.
One Harbour Place
Suite 400
Portsmouth, NH 03801
800.223.7010
603.436.5152
- --------------------------------------------------------------------------------
Citizens Funds are distributed by Citizens Securities, Inc., Portsmouth, NH
03801 and are available through such popular mutual fund supermarkets as Charles
Schwab's Mutual Fund OneSource(R) and Fidelity Investments' FundsNetwork(R).
Citizens Funds(R) is a trademark of Citizens Advisers, Inc.
This report is intended for shareholders of Citizens Funds and is not authorized
for distribution to other persons unless accompanied or preceded by a
prospectus.
PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES OF
CITIZENS FUNDS CAREFULLY BEFORE INVESTING. FOR THIS AND OTHER INFORMATION,
PLEASE VISIT WWW.CITIZENSFUNDS.COM OR CALL 800.223.7010 FOR A FREE PROSPECTUS
AND READ IT CAREFULLY BEFORE INVESTING.
(C)2006 CITIZENS ADVISERS NOT A PART OF THE SEMI-ANNUAL REPORT
ITEM 2. CODE OF ETHICS.
Not Applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Not Applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not Applicable.
ITEM 8. 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
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have concluded, based on their evaluation of the registrant's disclosure
controls and procedures as conducted within 90 days of the filing date of this
report, that these disclosure controls and procedures are adequately designed
and are operating effectively to ensure that information required to be
disclosed by the registrant of Form N-CSR is recorded, processed, summarized and
reported within the time periods specified in the Securities and Exchange
Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the second fiscal quarter of the period covered
by this report that have materially affected or are reasonably likely to
materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not Applicable.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2). Certifications pursuant to Rule 30a-2(a) are
attached hereto.
(a)(3) Not Applicable.
(b) A certification of each principal executive officer and principal officer of
the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) are furnished herewith.
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.
Citizens Funds
By: /s/ Sophia Collier
--------------------------
Sophia Collier
President
Date: March 6, 2006
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: /s/ Sophia Collier
--------------------------
Sophia Collier
President
Date: March 6, 2006
By: /s/ Sean P. Driscoll
--------------------------
Sean P. Driscoll
Treasurer
Date: March 6, 2006