As filed with the Securities and Exchange Commission on August 31, 2003
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N - CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811-08261
Ultra Series Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Margaret Gallardo-Cortez, Esq.
Assistant Vice President, Associate General Counsel
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
Copy to:
Stephen E. Roth, Esq.
Sutherland Asbill & Brennan LLP
1275 Pennsylvania Avenue, N.W.
Washington, D. C. 20004-2415
---------------------------------
Date of Fiscal Year End: December 31, 2002
Date of Reporting Period: June 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 on June 30, 2003 appears beginning on the
following page.
TABLE OF CONTENTS
Page
----
Ultra Series Fund
Index Comparisons, Investment Objectives, Management Discussions ............ 2
Schedules of Investments .................................................... 20
Statements of Assets and Liabilities ........................................ 64
Statements of Operations .................................................... 66
Statements of Changes in Net Assets ......................................... 68
Financial Highlights ........................................................ 73
Notes to Financial Statements ............................................... 83
1
BOND FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Bond Fund: 6/30/93 - $10,000; 6/30/94 - $9,931; 6/30/95 - $10,934; 6/30/96 -
$11,352; 6/30/97 - $12,222; 6/30/98 - $13,223; 6/30/99 - $13,553; 6/30/00 -
$14,040; 6/30/01 - $15,338; 6/30/02 - $16,577; 6/30/03 - $19,928.
Lehman Brothers Intermediate Government/Credit Bond Index: 6/30/93 - $10,000;
6/30/94 - $9,975; 6/30/95 - $11,009; 6/30/96 - $11,561; 6/30/97 - $12,395;
6/30/98 - $13,454; 6/30/99 - $14, 017; 6/30/00 - $14,610; 6/30/01 - $16,222;
6/30/02 - $17,547; 6/30/03 - $19,449.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE THREE FIVE TEN
YEAR YEARS YEARS YEARS
- --------------------------------------------------------------------------------------
Bond Fund 8.14% 8.49% 6.28% 6.01%
Lehman Brothers Intermediate
Government/Credit Bond Index(2) 10.84% 10.01% 7.65% 6.88%
Lipper Intermediate Investment
Grade Debt Funds Index(3) 10.76% 9.56% 6.94% 6.63%
GRAPHIC: Circle chart showing the following portfolio mix: Mortgage Backed
29.2%, U.S. Government and Agency Obligations 24.6%, Corporate Notes and Bonds
33.0%, Asset Backed 5.3%, Commercial Mortgage Backed 4.2%, Private Label
Mortgage Backed 1.9%, Short-term Investments, Other Investments and Other Net
Assets and Liabilities 1.8%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Lehman Brothers Intermediate Government/Credit Bond Index represents an
index of the market values of high quality corporate and government debt
instruments having intermediate-term maturities.
(3) The Lipper Intermediate Investment Grade Debt Funds Index represents an
index of 30 large mutual funds that invest at least 65% of its assets in
investment grade debt issues with dollar-weighted average maturities of five
to ten years.
2
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
BOND FUND
Investment Objective: Seeks a high level of current income consistent with the
prudent limitation of investment risk.
Management's Discussion: Economic growth in the first six months of 2003
remained below potential as demand was restrained and companies found little
need to invest in themselves or hire new workers. Activity in the service sector
picked up towards the end of the period after a dip preceding the outbreak of
hostilities in Iraq, while manufacturing activity improved slightly but stayed
sluggish. Events in the Middle East drove energy prices up early in the period,
restraining consumer and business spending, but prices declined as it began to
appear that the U.S. military should be successful in deposing Saddam Hussein.
However, as the period closed, energy prices remained at somewhat elevated
levels, possibly because inventories of crude oil and natural gas remained low.
When energy prices are taken out of the picture, inflation at both the consumer
and wholesale levels was quite low during the period. As has been true for most
of the last two years, low interest rates made housing, residential construction
and home-loan activity major sectors of the economy throughout the period.
During the six-month period ended June 30, 2003, U.S. bonds defied the growing
expectations that their long bull market would end. Although they returned
considerably less than U.S. stocks, U.S. Treasury bonds rose over the period,
supported first by expectations for and then the reality of another cut in
short-term interest rates by the U.S. Federal Reserve. However, the Fed's 25
basis-point cut in June disappointed some bond market participants, who had
hoped for more aggressive action. In the weeks before the Fed's June meeting,
yields on U.S. Treasury bonds were at or near 45-year lows, but rose after the
Fed made its decision, somewhat tempering the overall return of U.S. Treasuries
for the period. High-yield corporate bonds performed extremely well, as did many
longer-dated fixed-income issues, as investors grew less risk-averse and sought
yield.
In this moderately favorable environment for investment-grade bonds, the Bond
Fund returned 3.05% for the six-month period ended June, 2003, trailing its
representative index and a representative index of its peer funds:
Bond Fund 3.05%
Lehman Brothers Intermediate Government/Credit Bond Index 4.27%
Lipper Intermediate Investment Grade Debt Funds Index 4.84%
The fund's under-performance versus the index is partially explained by the
expenses charged by the fund. (Market indexes cannot be directly purchased by
investors and reflect no operating expenses or transaction costs.) In addition,
the fund's relative performance during the period was negatively affected by
management's conservative strategy of moderating the duration and credit risk of
the portfolio. During the period, fixed-income markets favored longer-duration
and higher-yielding (i.e. riskier) securities.
* * * * *
Looking ahead, management believes that attention to duration and interest-rate
risk is still warranted given the high levels of geopolitical and economic
uncertainty together with historically low interest rate levels, and continues
to manage the fund with the objective of providing steadier returns than its
peers when interest rates are volatile.
MEMBERS Capital Advisors' Fixed-Income Portfolio Management Team - Advisor
3
HIGH INCOME FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
High Income Fund: 10/31/00 - $10,000; 6/30/01 - $10,197; 6/30/02 - $10,256;
6/30/03 - $11,755.
Lehman Brothers High Yield Bond Index: 10/31/00 - $10,000; 6/30/01 - $10,174;
6/30/02 - $9,807; 6/30/03 - $12,040.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE
YEAR SINCE INCEPTION(2)
- -----------------------------------------------------------------------
High Income Fund 14.61% 6.26%
Lehman Brothers High Yield Bond Index(3) 22.76% 7.22%
Lipper High Yield Bond Fund Index(4) 19.16% 2.70%
GRAPHIC: Circle chart showing the following portfolio mix: Basic Materials 4.9%,
Communications 5.6%, Industrials 6.3%, Containers/Packaging 7.2%, Media 7.3%,
Recreation 9.2%, Telecommunications 4.8%, Building and Construction 4.5%,
Pipeline 3.2%, Retail 3.1%, Other Sectors 24.5%, Short-term Investments and
Other Net Assets and Liabilities 10.1%, Energy 9.3%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, October 31, 2000.
(3) The Lehman Brothers High Yield Bond Index represents an index of the market
values of fixed-rate non-investment grade debt securities.
(4) The Lipper High Yield Bond Fund Index represents an index of 30 large mutual
funds that invest in lower grade fixed-income securities in an attempt to
achieve higher current yields.
4
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
HIGH INCOME FUND
Investment Objective: Seeks high current income. The fund also seeks capital
appreciation but only when consistent with its primary goal.
Management's Discussion: During most of the six-month period ended June 30,
2003, the U.S. economy struggled under sluggish Gross Domestic Product growth
and an uncertain outlook. But even against this sluggish backdrop, high-yield
investors found a way to look past current problems and focus on what many
believed was an economic environment that was due for improvement. And during
the period, high-yield markets posted impressive returns versus their
investment-grade counterparts, even though downgrades exceeded upgrades by a
wide margin. Strong institutional subscriptions and demand by mutual funds
supported the rally. Indeed, during the period, many institutional investors
struggled to accumulate positions in the over-subscribed high-yield market. This
strong performance provided a welcome relief for investors who suffered
significant losses in the high-yield sector during the previous two years.
Concerns among investors about last year's high-profile downgrades of large
companies in several industries seemed to abate as yield spreads between
below-investment grade bonds and their higher-quality counterparts narrowed in
dramatic fashion.
The rally in the high-yield market was led by the media, telecommunications, and
utilities sectors. During the period, the fund's subadvisor favored select names
in the media group with the ability to generate strong free cash flow, such as
broadcasting companies, which have tended to benefit from increased advertising
expenditures in past economic recoveries. The fund continued to have significant
underweight exposure to the wireline industry as it still faced many fundamental
challenges, not the least among them was significant over-capacity. The fund
held neutral weights in the wireless telecom group, also favoring select names
with the ability to generate strong free cash flow. Overall, the fund's holdings
were decidedly defensive relative to the high-yield market at large. And while
the fund's defensiveness improved returns in recent years, it contributed to its
underperformance during the period as investors favored riskier bonds.
In this environment, the High Income Fund under-performed its representative
index and peers, mostly as a result of the aforementioned relatively defensive
nature of its holdings.
High Income Fund 10.29%
Lehman Brothers High Yield Bond Index 18.49%
Lipper High Yield Bond Fund Index 15.74%
* * * * *
Looking forward, it seems unreasonable to expect the high-yield market to
continue its recent torrid pace indefinitely. Default rates have declined, but
some consolidation of recent returns would not surprise us in the near term.
With that said, high-yield bonds should benefit from continued improvement in
the U.S. economy. Monetary and fiscal policies are stimulative, and should soon
bear fruit in the form of a more robust economic recovery.
MEMBERS Capital Advisors' Fixed Income Portfolio Management Team - Advisor
Massachusetts Financial Services - Subadvisor
5
BALANCED FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Balanced Fund: 6/30/93 - $10,000; 6/30/94 - $10,394; 6/30/95 - $11,801; 6/30/96
- - $13,239; 6/30/97 - $15,371; 6/30/98 - $17,873; 6/30/99 - $20,766; 6/30/00 -
$22,214; 6/30/01 - $21,570; 6/30/02 - $20,169; 6/30/03 - $20,673.
Blended Synthetic Index: 6/30/93 - $10,000; 6/30/94 - $10,107; 6/30/95 -
$11,771; 6/30/96 - $13,434; 6/30/97 - $15,958; 6/30/98 - $18,758; 6/30/99 -
$21,189; 6/30/00 - $22,467; 6/30/01 - $22,075; 6/30/02 - $21,011; 6/30/03 -
$22,094.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE THREE FIVE TEN
YEAR YEARS YEARS YEARS
- ---------------------------------------------------------------------------------
Balanced Fund 2.50% -2.37% 2.95% 7.53%
Blended Synthetic Index(2) 5.19% -0.55% 3.33% 8.25%
Lipper Balanced Fund Index(3) 3.49% -1.80% 1.98% 7.73%
GRAPHIC: Circle chart showing the following portfolio mix: Common Stocks 55.0%,
Corporate Notes and Bonds 14.3%, Mortgage Backed 9.9%, U.S. Government and
Agency Obligations 8.7%, Short-term Investments, Other Investments and Other Net
Assets and Liabilities 5.6%, Asset Backed 2.9%, Commercial Mortgage Backed 2.4%,
Private Label Mortgage Backed 1.2%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) The Blended Synthetic Index represents the average annual total returns of a
hypothetical portfolio consisting of 45% S&P 500 Index, 40% Lehman Brothers
Intermediate Government/Credit Bond Index and 15% 90-Day U.S. Treasury Bill.
(3) The Lipper Balanced Fund Index represents an Index of 30 large mutual funds
whose primary objective is to conserve principal by maintaining at all times
a balanced portfolio of both stocks and bonds.
6
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
BALANCED FUND
Investment Objective: Seeks a high total return through the combination of
income and capital appreciation.
Management's Discussion: Economic growth in the first six months of 2003
remained below potential as demand was restrained and companies found little
need to invest in themselves or hire new workers. Activity in the service sector
picked up towards the end of the period after a dip preceding the outbreak of
hostilities in Iraq, while manufacturing activity improved slightly but remained
sluggish overall. Events in the Middle East drove energy prices up early in the
period, restraining consumer and business spending, but prices declined as it
began to appear that the U.S. military should be successful in deposing Saddam
Hussein. However, as the period closed, energy prices remained somewhat
elevated, possibly because inventory levels of crude oil and natural gas
remained low. When energy prices are taken out of the picture, inflation at both
the consumer and wholesale level during the period was well below its historical
average. As has been true for most of the last two years, low interest rates
made housing, residential construction and home-loan activity major sectors of
the economy throughout the period.
U.S. stocks fell early in 2003, nearly to their October 2002 lows by March, as
geopolitical uncertainties and lukewarm economic conditions dominated the
thinking of market participants. However, stocks rallied strongly just before
the war in Iraq began, and the success of U.S. military operations helped to
sustain this rally. After the apparent fall of Saddam Hussein's regime, equity
investors began to anticipate an improvement in the U.S. economy in the near
term. Micro-cap, technology, and bio-technology stocks out-performed during the
six-month period ended June 30, 2003, with shares of industrial companies
lagging. The rally in U.S. markets was supported by low short-term interest
rates, a generous supply of liquidity, and a large cut in Federal income,
capital gains, and dividend taxes. In the second quarter of 2003, the broadly
representative S&P 500 Index recorded the best quarterly performance it has
since 1998.
During the six-month period ended June 30, 2003, U.S. bonds defied the growing
expectation that their long bull market would end. Although they returned
considerably less than U.S. stocks, U.S. Treasury bonds rose over the period,
supported first by expectations for and then the reality of another cut in
short-term interest rates by the U.S. Federal Reserve. However, the Fed's 25
basis-point cut in June disappointed some bond market participants, who had
hoped for more aggressive action. In the weeks before the Fed's June meeting,
yields on U.S. Treasury bonds were at or near 45-year lows, but rose after the
Fed made its decision, somewhat tempering the overall return of U.S. Treasuries
for the period. High-yield corporate bonds performed extremely well, as did many
longer-dated fixed-income issues, as investors grew less risk-averse and sought
yield.
The Balanced Fund returned 7.14% for the six-month period ended June 30, 2003,
out-performing a representative index of equity and fixed income securities, and
trailing a representative index of its peers:
Balanced Fund 7.14%
Blended Synthetic Index 7.11%
Lipper Balanced Fund Index 8.87%
The fund's performance compared well against the Blended Synthetic Index partly
due to its higher weighting in stocks - the best performing asset class - and
its lower weighting in money-market instruments, which considerably
under-performed bonds and stocks during the period. The fund under-performed its
peers, partly because it held a lower percentage of equities. When stocks
significantly out-perform bonds, as they did during the period, the Balanced
Fund will tend to lag its more aggressive peers. Performance was helped by stock
selection in the information technology sector, where holding EMC rose sharply,
and in the retail sector, where holding Target out-performed. Performance was
hurt by stock selection in the electronics sector, where contract manufacturer
Celestica saw its margins decline in a highly competitive market for electronic
components. In the fixed-income portion of the fund's portfolio, performance was
negatively affected by management's usual practice of moderating the duration
and credit risk of the portfolio. During the period, fixed-income markets
favored longer-duration, higher-yielding (i.e. riskier) securities.
* * * * *
Looking ahead, management believes that it is possible that the surge of fiscal
and monetary stimulus expected over the next six to twelve months will finally
lift the U.S. economy out of its doldrums. Many economists are predicting a
return to full-potential growth, with 3-5% GDP expansion for the second half of
2003. If this scenario develops, the fund may build on the positive investment
returns it earned during the period. If not, and stock markets decline, the
fund's more conservative holdings should provide a measure of downside
protection.
MEMBERS Capital Advisors' Stock and Fixed Income Portfolio Management Teams -
Advisor
7
GROWTH AND INCOME STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Growth and Income Fund: 6/30/93 - $10,000; 6/30/94 - $10,717; 6/30/95 - $12,837;
6/30/96 - $15,694; 6/30/97 - $20,584; 6/30/98 - $26,243; 6/30/99 - $33,251;
6/30/00 - $33,275; 6/30/01 - $29,837; 6/30/02 - $26,202; 6/30/03 - $25,032.
S&P 500 Index: 6/30/93 - $10,000; 6/30/94 - $10,138; 6/30/95 - $12,777; 6/30/96
- - $16,098; 6/30/97 - $21,682; 6/30/98 - $28,219; 6/30/99 - $34,643; 6/30/00 -
$37,154; 6/30/01 - $31,648; 6/30/02 - $25,961; 6/30/03 - $26,026.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE THREE FIVE TEN
YEAR YEARS YEARS YEARS
- ----------------------------------------------------------------------------------------
Growth and Income Stock Fund -4.45% -9.05% -0.94% 9.61%
S&P 500 Index(2) 0.25% -11.20% -1.61% 10.04%
Lipper Large-Cap Value Fund Index(3) -2.13% -5.42% -0.75% 9.15%
GRAPHIC: Circle chart showing the following portfolio mix: Short-term
Investments and Other Net Assets and Liabilities 6.7%, Consumer Staples 7.9%,
Energy 8.4%, Industrials 9.6%, Health Care 10.1%, Telecommunication Services
5.0%, Materials 3.8%, Utilities 3.5%, Financials 23.3%, Information Technology
11.1%, Consumer Discretionary 10.7%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) The S&P 500 Index, a large company stock index, tracks the value of 500
stocks chosen for market size, liquidity and industry group representation,
with each stock weighted in proportion to its market value.
(3) Lipper Large-Cap Value Fund Index represents an index of 30 large mutual
funds that invest primarily in large capitalization companies. The stocks in
these funds normally have below-average price-to-earnings ratios,
price-to-book ratios and three-year earnings growth rates.
8
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
GROWTH AND INCOME STOCK FUND
Investment Objective: Seeks long-term capital growth, with income as a secondary
consideration.
Management's Discussion: Economic growth in the first six months of 2003
remained below potential as demand was restrained and companies found little
need to invest in themselves or hire new workers. Activity in the service sector
picked up towards the end of the period after a dip preceding the outbreak of
hostilities in Iraq, while manufacturing activity improved slightly but remained
sluggish overall. Events in the Middle East drove energy prices up early in the
period, restraining consumer and business spending, but prices declined as it
began to appear that the U.S. military should be successful in deposing Saddam
Hussein. However, as the period closed, energy prices remained at somewhat
elevated levels, possibly because of low inventories of crude oil and natural
gas. When energy prices are taken out of the picture, inflation at both the
consumer and wholesale levels was quite low during the period. As has been true
for most of the last two years, low interest rates made housing, residential
construction and home-loan activity major sectors of the economy throughout the
period.
U.S. stocks fell early in 2003, nearly to their October 2002 lows by March, as
geopolitical uncertainties and lukewarm economic conditions dominated the
thinking of market participants. However, stocks rallied strongly just before
the war in Iraq began, and the success of U.S. military operations helped to
sustain this rally. After the apparent fall of Saddam Hussein's regime, equity
investors began to anticipate an improvement in the U.S. economy in the near
term. Micro-cap, technology, and bio-technology stocks out-performed during the
six-month period ended June 30, 2003, with shares of industrial companies
lagging. The rally in U.S. markets was supported by low short-term interest
rates, a generous supply of liquidity, and a large cut in Federal income,
capital gains, and dividend taxes. In the second quarter of 2003, the broadly
representative S&P 500 Index recorded the best quarterly performance it has
since 1998.
In this generally favorable environment for equity investments, the Growth and
Income Stock Fund returned 8.98% for the six-month period ended June 30, 2003,
under-performing the S&P 500 Index of large-cap stocks and a representative
index of its peer funds:
Growth and Income Fund 8.98%
S&P 500 Index (Large-capitalization stocks) 11.76%
Lipper Large-Cap Value Fund Index 10.75%
The fund's underperformance was primarily due to subpar stock selection,
especially in the financial services sector. Allstate lagged its sector, in
spite of an improving earnings outlook. The stock had performed well in 2002,
but lagged during the first half of 2003 as stocks of more aggressive financial
services firms outperformed. Duke Energy declined sharply during the period
because of its exposure to the troubled merchant, energy business. Performance
was helped by stock selection in the consumer discretionary sector, where
restaurant stock McDonald's rebounded as profits stabilized. Home improvement
giant Home Depot also performed well as a result of higher earnings expectations
from expense control. Fund performance versus its peers was helped by a relative
overweight in the health care sector, and hurt by a slight underweight in the
financial services sector, which rebounded along with signs of an improving
economy.
In the energy, financial services, and information technology sectors, the
fund's holdings have tended not to be industry leaders, as management has
preferred to focus on what were, in its judgment, more attractively valued
competitors. During the period, investors clearly favored industry leaders,
which hurt the fund's relative performance in these sectors. In the current
uncertain economic environment, management has been re-evaluating the
portfolio's "second-tier" holdings and focusing on stocks of enterprises that it
believes are better prepared to do well in a number of different economic
scenarios.
* * * * *
Looking ahead, management continues to believe that the fund's holdings remain
attractively valued and poised to perform well if the economy recovers according
to consensus expectations, and if investor attitudes continue to change for the
better. However, if economic conditions don't continue to improve, further
selling pressure could be in the offing as actual profits miss expectations.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
9
CAPITAL APPRECIATION STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Capital Appreciation Stock Fund: 6/30/93 - $10,000; 6/30/94 - $9,353; 6/30/95 -
$11,645; 6/30/96 - $14,608; 6/30/97 - $19,419; 6/30/98 - $25,137; 6/30/99 -
$30,507; 6/30/00 - $32,976; 6/30/01 - $28,768; 6/30/02 - $24,025; 6/30/03 -
$24,034.
S&P SuperComposite 1500 Index: 1/03/94 - $10,000; 6/30/94 - $10,543; 6/30/95 -
$13,784; 6/30/96 - $16,740; 6/30/97 - $22,025; 6/30/98 - $26,629; 6/30/99 -
$33,338; 6/30/00 - $34,766; 6/30/01 - $31,601; 6/30/02 - $21,676; 6/30/03 -
$24,349.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE THREE FIVE
YEAR YEARS YEARS SINCE INCEPTION(2)
- ----------------------------------------------------------------------------------------
Capital Appreciation Stock Fund 0.98% -10.91% -0.57% 9.82%
S&P SuperComposite 1500 Index(3) 0.04% -9.93% -0.84% 9.68%
Lipper Multi-Cap Core Fund Index(4) 1.30% -9.77% -0.80% 8.56%
GRAPHIC: Circle chart showing the following portfolio mix: Short-term
Investments and Other Net Assets and Liabilities 4.7%, Energy 5.2%, Industrials
10.4%, Consumer Staples 11.0, Consumer Discretionary 11.3%, Financials 16.4%,
Telecommunication Services 2.8%, Materials 2.1%, Utilities 1.8%, Health Care
17.2%, Information Technology 17.1%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, January 3, 1994.
(3) The Capital Appreciation Stock Fund commenced operations January 3, 1994.
The S&P SuperComposite 1500 Index was not established until December 31,
1994. The above graph shows the performance of the S&P MidCap 400 Index for
the period from fund inception to December 31, 1994, and the performance of
the S&P SuperComposite 1500 Index for the period January 1, 1995 to the
present.
(4) Lipper Multi-Cap Core Fund Index represents an index of 30 large mutual
funds that invest in stocks of a variety of market capitalization ranges
without concentrating their assets in any one market capitalization size
range. The stocks in these funds normally have average price-to-earnings
ratios, price-to-book ratios and three-year earnings growth rates.
10
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
CAPITAL APPRECIATION STOCK FUND
Investment Objective: Seeks long-term capital appreciation.
Management's Discussion: Economic growth in the first six months of 2003
remained below potential as demand was restrained and companies found little
need to invest in themselves or hire new workers. Activity in the service sector
picked up towards the end of the period after a dip preceding the outbreak of
hostilities in Iraq, while manufacturing activity improved slightly but remained
sluggish overall. Events in the Middle East drove energy prices up early in the
period, restraining consumer and business spending, but prices declined as it
began to appear that the U.S. military should be successful in deposing Saddam
Hussein. However, as the period closed, energy prices remained somewhat
elevated, possibly because inventory levels of crude oil and natural gas
remained low. When energy prices are taken out of the picture, inflation at both
the consumer and wholesale level during the period was well below its historical
average. As has been true for most of the last two years, low interest rates
made housing, residential construction and home-loan activity major sectors of
the economy throughout the period.
U.S. stocks fell early in 2003, nearly to their October, 2002 lows by March, as
geopolitical uncertainties and lukewarm economic conditions dominated the
thinking of market participants. However, stocks rallied strongly just before
the war in Iraq began, and the success of U.S. military operations helped to
sustain this rally. After the apparent fall of Saddam Hussein's regime, equity
investors began to anticipate an improvement in the U.S. economy in the near
term. Micro-cap, technology, and bio-technology stocks out-performed during the
six-month period ended June 30, 2003, with shares of industrial companies
lagging. The rally in U.S. markets was supported by low short-term interest
rates, a generous supply of liquidity, and a large cut in Federal income,
capital gains, and dividend taxes. In the second quarter of 2003, the broadly
representative S&P 500 Index recorded the best quarterly performance it has
since 1998.
In this generally favorable environment for equity investments, the Capital
Appreciation Stock fund returned 12.33% for the six-month period ended June 30,
2003, out-performing the S&P SuperComposite 1500 Index and slightly lagging a
representative index of its peers:
Capital Appreciation Stock Fund 12.33%
S&P SuperComposite 1500 Index (All capitalization sizes) 11.85%
Lipper Multi-Cap Core Fund Index 13.19%
The fund's strategy of seeking reasonably-valued stocks of companies believed to
offer the potential for significant levels of earnings growth proved effective
during the six-month period, as the fund continued to rebound following
difficult periods in early and mid 2002. Stock selection in the health care
sector, where holdings Genzyme and Medimmune benefited from a strong rebound in
biotechnology stocks, and in the information technology sector, where holdings
Autodesk, Sanmina, ADC Telecommunications, and EMC posted favorable returns,
contributed to the fund's positive results for the period.
* * * * *
Looking ahead, management believes that the fund's portfolio continues to offer
good prospects for long-term capital appreciation, particularly if, as is
generally expected among economists, the U.S. economy returns to its historical
growth rate in the near future.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
11
MID-CAP STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Mid-Cap Stock Fund: 5/1/99 - $10,000; 6/30/99 - $11,368; 6/30/00 - $14,078;
6/30/01 - $15,650; 6/30/02 - $12,925; 6/30/03 - $14,397.
S&P MidCap 400 Index: 5/1/99 - $10,000; 6/30/99 - $10,416; 6/30/00 - $12,182;
6/30/01 - $13,264; 6/30/02 - $12,638; 6/30/03 - $12,547.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE THREE
YEAR YEARS SINCE INCEPTION(2)
- ---------------------------------------------------------------------------------
Mid-Cap Stock Fund -4.93% 5.93% 9.14%
S&P MidCap 400 Index(3) -0.71% 0.99% 5.60%
Lipper Mid-Cap Value Fund Index(4) 0.42% 4.09% 4.79%
GRAPHIC: Circle chart showing the following portfolio mix: Short-term
Investments and Other Net Assets and Liabilities 6.0%, Energy 6.2%, Utilities
7.5%, Health Care 9.5%, Information Technology 9.9%, Consumer Staples 4.5%,
Materials 4.4%, Telecommunication Services 0.6%, Financials 21.3%, Consumer
Discretionary 16.9%, Industrials 13.2%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, May 1, 1999.
(3) The S&P MidCap 400 Index tracks the value of 400 domestic stocks chosen for
market size, liquidity and industry group representation, with each stock
weighted in proportion to its market value.
(4) Lipper Mid-Cap Value Fund Index represents an index of 30 large mutual funds
that invest in middle capitalization companies. The stocks in these funds
normally have below-average price-to-earnings ratios, price-to-book ratios
and three-year earnings growth rates.
12
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
MID-CAP STOCK FUND
Investment Objective: Seeks long-term capital appreciation.
Management's Discussion: Economic growth in the first six months of 2003
remained below potential as demand was restrained and companies found little
need to invest in themselves or hire new workers. Activity in the service sector
picked up towards the end of the period after a dip preceding the outbreak of
hostilities in Iraq, while manufacturing activity improved slightly but remained
sluggish overall. Events in the Middle East drove energy prices up early in the
period, restraining consumer and business spending, but prices declined as it
began to appear that the U.S. military should be successful in deposing Saddam
Hussein. However, as the period closed, energy prices remained at somewhat
elevated levels, possibly because of low inventory levels of crude oil and
natural gas. When energy prices are taken out of the picture, inflation at both
the consumer and wholesale levels was well below its historical average. As has
been true for most of the last two years, low interest rates made housing,
residential construction and home-loan activity major sectors of the economy
throughout the period.
U.S. stocks fell early in 2003, nearly to their October 2002 lows in March, as
geopolitical uncertainties and lukewarm economic conditions dominated the
thinking of market participants. However, stocks rallied strongly just before
the war in Iraq began, and the success of U.S. military operations helped to
sustain this rally. After the apparent fall of Saddam Hussein's regime, equity
investors began to anticipate an improvement in the U.S. economy in the near
term. Micro-cap, technology, and bio-technology stocks out-performed during the
six-month period ended June 30, 2003, with shares of industrial companies
lagging. The rally in U.S. markets was supported by low short-term interest
rates, a generous supply of liquidity, and a large cut in Federal income,
capital gains, and dividend taxes. In the second quarter of 2003, the broadly
representative S&P 500 Index recorded the best quarterly performance since 1998.
In this generally favorable environment for equity investments, the Mid-Cap
Stock Fund returned 11.38% for the six month period ended June 30, 2003,
trailing both the S&P MidCap 400 Index and a representative index of its peers:
Mid-Cap Stock Fund 11.38%
S&P MidCap 400 Index 12.41%
Lipper Mid-Cap Value Fund Index 14.14%
The fund's performance relative to the S&P MidCap 400 Index was helped by strong
stock selection in the consumer discretionary, financial services and basic
materials sectors. Strong gains in WCI Communities, a home builder, and Guitar
Center, a musical instrument retailer, were particularly helpful among consumer
discretionary stocks. Countrywide Financial continued to benefit from strength
in the housing market, adding to outperformance in financial services. And,
Freeport - McMoran and Martin Marietta Materials performed well among basic
materials holdings. These performance enhancements, however, were more than
offset by lagging areas. For instance, health care holdings failed to keep pace
with the hefty (25%) return generated by the S&P MidCap 400 Index health care
sector. This was primarily due to under-exposure to the strong-performing
biotechnology industry.
* * * * *
Looking ahead, geopolitical events and the uncertain pace of economic recovery
are likely to contribute to a high level of volatility in stock markets in the
near term. However, consensus expectations among economists are that the
recovery will gain momentum in the second half of 2003. The fund remains
well-diversified and focused on the potential for long-term capital
appreciation, with broad exposure to many companies and industries that
management believes should benefit if economic conditions improve.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
Wellington Management Company, LLP - Subadvisor
13
MULTI-CAP GROWTH STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Multi-Cap Growth Stock Fund: 10/31/00 - $10,000; 6/30/01 - $7,080; 6/30/02 -
$4,940; 6/30/03 - $5,378.
Russell 3000 Growth Index: 10/30/01 - $10,000; 6/30/01 - $7,187; 6/30/02 -
$5,291; 6/30/03 - $5,439.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE
YEAR SINCE INCEPTION(2)
- -----------------------------------------------------------------------
Multi-Cap Growth Stock Fund 8.79% -20.78%
Russell 3000 Growth Index(3) 2.79% -20.44%
Lipper Large-Cap Growth Fund Index(4) -2.07% -21.37%
GRAPHIC: Circle chart showing the following portfolio mix: Short-term
Investments and Other Net Assets and Liabilities 4.4%, Consumer Discretionary
7.1%, Financials 11.1%, Consumer Services 14.0, Information Technology 27.9%,
Telecommunications 3.4%, Energy 1.7%, Industrials 1.0%, Transportation 0.8%,
Consumer Staples 0.5%, Health Care 28.1%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, October 31, 2000.
(3) The Russell 3000 Growth Index measures the performance of those stocks in
the Russell 3000 Index (the 3,000 largest domestic stocks based on total
market capitalization) with higher price-to-book ratios and higher
forecasted growth rates.
(4) The Lipper Large-Cap Growth Fund Index represents an index of 30 large
mutual funds that invest in companies with higher long-term earnings growth
potential. The stocks in these funds normally have above-average
price-to-earnings ratios, price-to-book ratios and three-year earnings
growth rates.
14
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
MULTI-CAP GROWTH STOCK FUND
Investment Objective: Seeks long-term capital appreciation.
Management's Discussion: The current slow recovery in the U.S. economy took a
step back early in the six-month period ended June 30, 2003, impacted by the war
in Iraq and higher energy prices. The uncertainties and distraction of the war
contributed to delays in business investment plans while higher energy prices
pinched the wallets of both consumers and businesses. The spike in energy prices
early in the year occurred during a particularly cold winter in the Northeast
and Midwest, applying additional strain to the already lackluster economic
backdrop. Leading up to the war, stock markets posted modest declines as
investors took a wait-and-see approach in their analysis of the potential
economic impact of events overseas. After combat operations started, and it
began to appear that success was at hand, stocks rallied in impressive fashion
during the second quarter. Investors demonstrated considerable preference for
the more aggressive, fast-growing companies that had fallen out of favor since
the bursting of the 1990s tech bubble. Growth investors who had experienced
declines of historic proportions during the last three years welcomed this new
and sudden improvement in investor sentiment.
Given the bottom-up investment strategy employed by the Multi-Cap Growth Stock
Fund's subadvisor, sector allocations generally reflected individual stock
selection decisions. Top individual contributors to performance in the first
half included Citigroup (financials), Dell (information technology), First Data
(information technology) and eBay (information technology). Among stocks that
detracted from performance were Schering-Plough (health care), Northrop Grumman
(industrials) and Accenture (information technology). Overall, stock selection
added to performance, particularly in information technology, telecommunications
and health care. Sector allocations were also a contributing factor, mostly from
the consumer discretionary and consumer staples sectors. Notable changes during
the first half included reduced exposure to health care, consumer staples and
industrials, along with increased positions in consumer discretionary,
information technology and energy. At period end, the fund was overweighted
(versus the fund's representative markets) in consumer discretionary, financials
and health care stocks, while it was underweighted in industrials and consumer
staples. The net result for the period was out-performance relative to the
fund's representative index and peers, as illustrated below.
Multi-Cap Growth Stock Fund 14.95%
Russell 3000 Growth Index 13.49%
Lipper Large-Cap Growth Fund Index 11.76%
* * * * *
Going forward, while the subadvisor expects the recovery to continue at a more
moderate pace when compared to prior cycles, the level of optimism among
consumers and business people has improved. The economy is cyclical and greatly
influenced by both consumer and corporate psychology, as well as the inventory
cycle. While the consumer has held up well during the downcycle, supported by a
housing refinance boom, business spending has been weak. Once corporate
psychology improves to the point that capital-hoarding managers release
projects, the positive feedback loop of psychology and the inventory cycle may
come into play. Inventories remain at very low levels, so the subadvisor
believes that the boost to the economy from inventory growth could be
substantial.
In summary, the economic outlook has improved. Reduced geopolitical uncertainty
and aggressive fiscal and monetary policy have lowered investors' risk aversion
and improved capital market sentiment. This condition has reduced the financial
distress of consumers, corporations, and emerging-markets government borrowers
alike, setting the stage for improved growth in the quarters ahead. This more
constructive, yet moderate, economic growth backdrop should bode well for
corporate profits and investor sentiment. The subadvisor believes that the fund
is well positioned because even under a more moderate growth scenario, many of
its holdings are more reliant on industry-specific developments, market share
gains, and new product introductions, rather than just economic fundamentals.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
Wellington Management Company, LLP - Subadvisor
15
GLOBAL SECURITIES FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
Global Securities Fund: 10/31/00 - $10,000; 6/30/01 - $9,237; 6/30/02 - $8,310;
6/30/03 - $7,793.
MSCI World Index: 10/31/00 - $10,000; 6/30/01 - $8,559; 6/30/02 - $7,285;
6/30/03 - $7,147.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE
YEAR SINCE INCEPTION(2)
- -------------------------------------------------------------------------------
Global Securities Fund -6.26% -8.94%
MSCI World Index(3) -1.88% -11.85%
Lipper Global Fund Index(4) -4.05% -11.18%
GRAPHIC: Circle chart showing the following portfolio mix: Computer
Software/Services 4.8%, Oil & Gas 5.0%, Financial Services 5.6%, Banks 5.6%,
Telecommunications 8.9%, Drugs & Healthcare 12.3%, Electronics 4.7%, Insurance
4.5%, Short-term Investments and Other Net Assets and Liabilities 4.2%, Retail
4.1%, Aerospace 4.1%, Other Sectors 36.2%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, October 31, 2000.
(3) The MSCI World Index, calculated by Morgan Stanley Capital International,
tracks stocks traded in both developed and emerging markets.
(4) The Lipper Global Fund Index represents an index of 30 large mutual funds
that invest at least 25% of their portfolios in securities traded outside of
the United States.
16
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
GLOBAL SECURITIES FUND
Investment Objective: Seeks capital appreciation.
Management's Discussion: Stock markets around the world generally struggled
early in the six-month period ended June 30, 2003 as investors focused on the
soft global economy. Additional signs of weakness emerged throughout the period,
particularly in Germany where industrial production and business confidence were
below expectations. In the early months, investors reflected anxiety over the
likelihood of war with Iraq, adding to global uncertainty and rising risk
premiums. The sell-off early in the period was very broad-based, with nearly all
sectors declining. Then, markets around the world staged a significant rally in
the second quarter, sustaining their longest upturn since just after the
September 11 terrorist attacks. Apparent success with the U.S.-led invasion of
Iraq seemed to be a key catalyst for the improvements. The government's
continued pro-active role in dealing with corporate governance also may have
contributed to an improvement in investor psychology during the period.
Most of the gains for the period were driven by stock selection. Porsche and
Scientific-Atlanta led the way, posting returns for the second quarter of 51%
and 74% respectively. Ericsson and Pfizer were also positive contributors during
the period. The fund was overweighted (relative to the MSCI World Index) in the
information technology, consumer discretionary, health care and
telecommunications sectors. With the exception of health care, each of these
sectors contributed to the fund's outperformance, with information technology
and consumer discretionary leading the way. A few stocks underperformed, with
Infosys, QUALCOMM, and Sony posting negative results during the period.
During the period, the Global Securities Fund underperformed its representative
index, but out performed its peer index as follows:
Global Securities fund 11.16%
MSCI World Index 11.45%
Lipper Global Fund Index 9.69%
* * * * *
Looking ahead, the global economic outlook improved during the period. Reduced
geopolitical uncertainty and aggressive fiscal and monetary policy, particularly
in the U.S., seems to have lowered investors' risk aversion and improved capital
market sentiment. The more constructive, yet moderate, economic growth backdrop
should bode well for business and investor sentiment. While most of the current
recovery is concentrated in the U.S., we believe international economies will
eventually follow suit, creating an environment for improvements in corporate
profits. Until then, we believe the fund is well positioned, even under a more
moderate growth scenario as many of its holdings benefit from industry-specific
developments, market share gains, and new product introductions, rather than
just broad economic growth.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
Oppenheimer Funds, Inc. - Subadvisor
17
INTERNATIONAL STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
GRAPHIC: Bar chart showing the following showing the comparison of change in
value of $10,000 investment:
International Stock Fund 10/31/00 - $10,000; 6/30/01 - $8,767; 6/30/02 - $8,235;
6/30/03 - $8,014.
MSCI EAFE Index: 10/31/00 - $10,000; 6/30/01 - $8,535; 6/30/02 - $7,757; 6/30/03
- - $7,287.
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2003
ONE
YEAR SINCE INCEPTION(2)
- -----------------------------------------------------------------------
International Stock Fund -2.69% -7.97%
MSCI EAFE Index(3) -6.03% -11.20%
Lipper International Fund Index(4) -6.40% -10.03%
GRAPHIC: Circle chart showing the following portfolio mix: Telecommunications
6.0%, Retail 6.3%, Drugs & Health Care 7.0%, Communication Services 7.8%, Oil &
Gas 9.9%, Banks 18.0%, Food & Beverages 5.4%, Financial Services 4.0%,
Short-term Investments and Other Net Assets and Liabilities 3.8%, Mining 3.4%
Other Sectors 28.4%.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the fund's
performance is contained in the Prospectus and elsewhere in this report.
Past performance is not indicative of future performance. Indices are
unmanaged and investors cannot invest in them. Additionally, the indices do
not reflect expenses or sales charges.
(2) Returns are from inception, October 31, 2000.
(3) The Europe, Australasia and Far East Index, calculated by Morgan Stanley
Capital International (MSCI EAFE Index), tracks approximately 1,000 large
capitalization stocks traded in developed, non-U.S. markets.
(4) The Lipper International Fund Index represents an index of 30 large mutual
funds that invest in securities traded primarily in markets outside of the
United States.
18
MANAGEMENT'S DISCUSSION OF FIRST HALF 2003 PERFORMANCE
INTERNATIONAL STOCK FUND
Investment Objective: Seeks long-term capital appreciation.
Management's Discussion: Global stock markets continued to struggle early in the
six-month period ended June 30, 2003 as investors focused on soft global
economies and lackluster corporate earnings growth. Additional signs of economic
weakness emerged, particularly in Germany where industrial production and
business confidence were below expectations. In the early months, investors
reflected anxiety over the likelihood of war with Iraq, adding to global
uncertainty and rising risk premiums. The sell-off early in the period was very
broad-based, with nearly all sectors declining, and value stocks
uncharacteristically falling more than growth stocks. However, economically
defensive groups such as consumer staples and health care did hold up somewhat
better than the overall market, while the technology and financial sectors were
particularly hard-hit. After the war in Iraq started and investors began to
believe that success for coalition forces was at hand, global stock markets
posted impressive gains with a strong bias toward the same growth stocks that
had succumbed to significant pressure during the last three years. April was a
particularly strong month for international stocks as recovering markets
overseas and a declining U.S. dollar combined to produce gains not seen by
international investors in several months.
The fund was clearly impacted by the market turbulence. The portfolio's
significant overweight position in consumer staples added value during the
period. High quality technology stocks outperformed as the overall sector
recovered from earlier declines. The fund's small-cap segment underperformed
during the period as a result of underweight positions in the surprisingly
resilient Japan and Netherlands markets, but was helped by stock selection in
the United Kingdom.
Investor enthusiasm regarding emerging market stocks returned in April after a
period when geopolitical strife and economic uncertainty took their toll. Prior
to the war, stocks in Egypt and Turkey were especially hard hit by regional
tensions. Turkey declined permission for use of military bases as launching
points for U.S. military action in Iraq, thereby losing a multi-billion dollar
aid package offered as an inducement for cooperation. The outbreak of SARS
crippled segments of economies in the Far East, but not enough to offset
investor enthusiasm late in the period. Latin American stocks were the best
performers, especially toward the end of the period. The fund's emerging market
segment was helped by holdings in the health care, utilities and energy sectors,
but was hurt by investments in the telecommunications, information technology,
and financial sectors.
During the period, the International Stock Fund posted mixed results relative to
its benchmark and peers:
International Stock Fund 9.59%
MSCI EAFE Index 9.85%
Lipper International Stock Fund Index 9.18%
* * * * *
Looking ahead, while the subadvisor remains uncertain regarding the strength and
duration of the economic recovery and the rebound in consumer confidence, it is
confident that the fund's holdings are well positioned to participate as
conditions improve. In the meantime, these companies' strong balance sheets,
transparent financial statements, and increasing productivity should allow the
fund to perform well. Independent of the macro-economic environment and
geopolitical events, the fund's focus remains unchanged: to invest in companies
that possess defensible business models and that have the potential to generate
superior returns.
MEMBERS Capital Advisors' Stock Portfolio Management Team - Advisor
Lazard Asset Management - Subadvisor
19
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
COMMERCIAL PAPER (A) 34.4%
Corporate Receivables Corp. 1.050% 07/14/03 $ 6,500,000 $ 6,497,536
General Electric Capital Corp. 1.170 07/01/03 3,000,000 3,000,000
General Electric Capital Corp. 1.140 07/08/03 4,000,000 3,999,113
Goldman Sachs Group, Inc. 1.260 07/07/03 5,000,000 4,998,950
Household Finance Corp. 1.030 07/17/03 5,000,000 4,997,711
Nestle Capital Corp. 1.310 07/02/03 5,000,000 4,999,818
Perry Global Funding LLC 1.260 07/08/03 3,750,000 3,749,081
Pfizer, Inc. 1.130 07/10/03 5,000,000 4,998,588
Province De Quebec 0.880 12/03/03 3,000,000 2,988,633
Province De Quebec 0.980 12/03/03 1,500,000 1,493,671
Thames Asset Global Securitization No. 1, Inc. 1.010 07/23/03 6,500,000 6,495,988
Three Rivers Funding Corp. 1.260 07/01/03 2,000,000 2,000,000
WestLB AG 1.200 08/08/03 5,000,000 4,993,667
------------
TOTAL COMMERCIAL PAPER
(COST: $55,212,756) 55,212,756
------------
CORPORATE NOTES AND BONDS 19.0%
American Express Credit Corp. (G) 1.350 03/05/04 5,000,000 5,000,000
American General Finance Corp. 5.750 11/01/03 1,675,000 1,700,121
Bank of America Corp. 6.500 08/15/03 4,000,000 4,021,780
BellSouth Corp. (C)(G) 4.160 04/26/04 3,250,000 3,322,161
Caterpillar Financial Services Corp. 1.570 10/10/03 2,000,000 2,001,874
Merrill Lynch & Co., Inc 6.800 11/03/03 2,000,000 2,038,040
Merrill Lynch & Co., Inc. (G) 1.133 11/19/03 1,500,000 1,500,523
Merrill Lynch & Co., Inc. (G) 1.780 01/12/04 500,000 501,498
Morgan Stanley Dean Witter (G) 1.694 04/05/04 4,000,000 4,011,990
Procter & Gamble Co. 5.250 09/15/03 2,000,000 2,016,389
Wal-Mart Stores, Inc. 7.500 05/15/04 4,250,000 4,489,809
------------
TOTAL CORPORATE NOTES AND BONDS
(COST: $30,604,185) 30,604,185
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) 38.2%
Federal Home Loan Bank 3.125 11/14/03 2,000,000 2,013,708
Federal Home Loan Bank 6.375 11/14/03 500,000 509,242
Federal Home Loan Mortgage Corp. 1.170 07/01/03 5,000,000 5,000,000
Federal Home Loan Mortgage Corp. (G) 1.113 07/08/03 4,000,000 3,999,949
Federal Home Loan Mortgage Corp. 5.750 07/15/03 1,500,000 1,502,560
Federal Home Loan Mortgage Corp. 0.960 08/26/03 4,500,000 4,493,280
Federal Home Loan Mortgage Corp. 0.900 10/09/03 2,000,000 1,995,000
Federal Home Loan Mortgage Corp. 3.250 12/15/03 1,776,000 1,790,233
Student Loan Marketing Association (G) 0.880 09/18/03 10,000,000 9,998,411
Student Loan Marketing Association (G) 0.900 11/20/03 10,000,000 10,000,000
United States Treasury Bill 1.060 07/03/03 10,000,000 9,999,411
United States Treasury Bill 1.155 07/17/03 10,000,000 9,994,867
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST: $61,296,661) 61,296,661
------------
INVESTMENT COMPANIES 8.7%
One Group Institutional Prime Money Market Fund 6,500,004 6,500,004
SSgA Prime Money Market Fund 7,479,670 7,479,670
------------
TOTAL INVESTMENT COMPANIES
(COST: $13,979,674) 13,979,674
------------
TOTAL INVESTMENTS 100.3% $161,093,276
(COST: $161,093,276)
NET OTHER ASSETS AND LIABILITIES (0.3)% (530,427)
------ ------------
TOTAL NET ASSETS 100.0% $160,562,849
====== ============
(A) Rate noted represents annualized yield at time of purchase.
(C) Restricted security sold within the terms of a private placement memorandum
exempt from registration under section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers on that program or other
"qualified institutional investors." The securities have been determined to
be liquid under guidelines established by the Board of Trustees.
(G) Floating rate or variable rate note.
See accompanying notes to financial statements.
20
BOND FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
ASSET BACKED: 5.3%
ABSC Long Beach Home Equity Trust, Series 2000-LB1, Class AF5 8.050% 09/21/30 $ 5,600,000 $ 6,209,412
Conseco Finance Securitizations Corp., Series 2001-1, Class M1 7.535 07/01/32 5,500,000 3,850,000
FMAC Loan Receivables Trust, Series 1997-C, Class A (C) 6.750 12/15/19 6,297,932 5,668,139
Green Tree Home Equity Loan Trust, Series 1999-A, Class B1 8.970 11/15/27 5,300,000 5,528,794
Long Beach Mortgage Loan Trust, Series 2002-1, Class M3 3.535 05/25/32 8,000,000 7,843,276
Oakwood Mortgage Investors, Inc., Series 1999-C, Class M2 8.750 08/15/27 6,400,000 2,560,000
------------
31,659,621
------------
TOTAL ASSET BACKED
(COST: $35,978,147) 31,659,621
------------
COMMERCIAL MORTGAGE BACKED: 4.2%
Duke Weeks Industrial Trust, Series 2000-DW1, Class A2 (C) 7.151 10/15/10 3,000,000 3,600,128
Morgan Stanley Capital I, Inc., Series 1999-CAM1, Class A3 6.920 03/15/32 5,630,000 6,309,596
Morgan Stanley Dean Witter Capital, Series 2000-LIFE, Class A2 7.570 12/15/09 8,500,000 10,373,893
Morgan Stanley Dean Witter Capital, Series 2000-LIF2, Class A2 7.200 10/15/33 3,900,000 4,708,927
------------
24,992,544
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(COST: $23,113,230) 24,992,544
------------
PRIVATE LABEL MORTGAGE BACKED: 1.9%
Bank of America Funding Corp., Series 2002-1, Class A2 7.000 04/20/32 920,871 924,496
Bank of America Mortgage Securities, Inc., Series 2002-9, Class 3A1 6.000 10/25/17 3,282,344 3,340,524
Countrywide Alternative Loan Trust, Series 2002-5, Class A10 6.750 06/25/32 6,100,000 6,359,445
Residential Asset Securitization Trust, Series 2002-A1, Class A2 5.350 09/25/26 1,046,948 1,049,409
------------
11,673,874
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(COST: $11,535,800) 11,673,874
------------
CORPORATE NOTES AND BONDS: 33.0%
AEROSPACE/DEFENSE 0.8%
Lockheed Martin Corp. 7.250 05/15/06 2,400,000 2,733,223
Raytheon Co. 4.500 11/15/07 2,000,000 2,118,910
------------
4,852,133
------------
BASIC INDUSTRIES 1.2%
International Paper Co. 8.125 07/08/05 2,700,000 3,010,206
International Paper Co. 7.875 08/01/06 800,000 921,185
Weyerhaeuser Co. 6.875 12/15/33 3,000,000 3,275,589
------------
7,206,980
------------
BASIC MATERIALS 0.5%
Abitibi-Consolidated, Inc. 8.850 08/01/30 3,000,000 3,187,614
------------
CABLE 2.3%
Comcast Corp. 5.300 01/15/14 8,000,000 8,227,536
Cox Communications, Inc. 6.875 06/15/05 2,500,000 2,728,120
TCI Communications, Inc. 8.650 09/15/04 2,500,000 2,675,550
------------
13,631,206
------------
CAPITAL GOODS 0.9%
Caterpillar Financial Services Corp. 7.590 12/10/03 2,400,000 2,467,217
United Technologies Corp. 6.625 11/15/04 2,500,000 2,668,660
------------
5,135,877
------------
CHEMICALS 0.7%
Dow Chemical Co. 5.750 12/15/08 3,850,000 4,223,350
------------
21
BOND FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
COMMUNICATION SERVICES 0.7%
Clear Channel Communications, Inc. 4.250% 05/15/09 $ 4,000,000 $ 4,049,996
------------
CONSUMER STAPLES 0.6%
Coca Cola Enterprises, Inc. 4.375 09/15/09 1,250,000 1,330,286
Safeway, Inc. 6.850 09/15/04 2,000,000 2,112,522
------------
3,442,808
------------
ENERGY 3.8%
Burlington Resources Finance Co. 5.700 03/01/07 2,000,000 2,207,378
Conoco, Inc. 5.900 04/15/04 3,000,000 3,103,164
ConocoPhillips (C) 5.900 10/15/32 2,000,000 2,146,092
Occidental Petroleum Corp. 5.875 01/15/07 2,500,000 2,775,235
Phillips Petroleum Co. 8.500 05/25/05 2,500,000 2,816,117
Sunoco, Inc. 7.125 03/15/04 2,000,000 2,075,826
Texaco Capital, Inc. 5.700 12/01/08 3,000,000 3,254,331
Valero Energy Corp. 7.500 04/15/32 4,000,000 4,534,336
------------
22,912,479
------------
FINANCE 7.6%
AARP (C) 7.500 05/01/31 2,500,000 3,075,130
AIG SunAmerica Global Financing XII (C) 5.300 05/30/07 2,700,000 2,945,389
American General Finance Corp. 5.750 03/15/07 2,500,000 2,769,995
Bank America Corp. 4.875 01/15/13 4,000,000 4,219,612
Bear Stearns Cos., Inc. 7.800 08/15/07 2,000,000 2,383,480
Cendant Corp. 6.250 01/15/08 4,000,000 4,426,448
CIT Group, Inc. 5.570 12/08/03 500,000 508,372
Countrywide Home Loans, Inc. 5.250 06/15/04 1,750,000 1,814,342
Countrywide Home Loans, Inc. 6.840 10/22/04 1,000,000 1,065,576
Goldman Sachs Group, Inc. 5.700 09/01/12 2,750,000 3,021,230
Household Finance Corp. 6.500 11/15/08 4,250,000 4,886,773
MBNA America Bank N.A. 6.875 07/15/04 3,000,000 3,154,614
Merrill Lynch & Co., Inc. 7.375 05/15/06 3,000,000 3,401,367
U.S. Bank N.A. 6.300 02/04/14 2,000,000 2,340,540
Wachovia Corp. 4.950 11/01/06 2,750,000 2,994,247
Washington Mutual Finance 6.250 05/15/06 2,500,000 2,766,302
------------
45,773,417
------------
HEALTH CARE 1.0%
Columbia/HCA, Inc. 6.870 09/15/03 2,750,000 2,772,099
Tenet Healthcare Corp. 7.375 02/01/13 3,200,000 3,088,000
------------
5,860,099
------------
INDUSTRIALS 3.9%
Daimler Chrysler North America Hl 4.750 01/15/08 4,000,000 4,103,184
Ford Motor Credit Co. (G) 1.508 04/28/05 2,000,000 1,936,424
Ford Motor Credit Co. 7.600 08/01/05 2,400,000 2,576,851
General Electric Co. 5.000 02/01/13 3,200,000 3,380,022
General Electric Global Insurance Corp. 7.000 02/15/26 2,000,000 2,226,990
General Motors Acceptance Corp. 6.125 08/28/07 2,250,000 2,338,079
General Motors Acceptance Corp. 6.875 09/15/11 2,500,000 2,508,342
Waste Management, Inc. 7.000 10/01/04 2,900,000 3,075,517
Waste Management, Inc. 6.375 11/15/12 1,000,000 1,137,041
------------
23,282,450
------------
PIPELINE 0.8%
ENSERCH Corp. 6.375 02/01/04 2,000,000 2,032,340
Kinder Morgan, Inc. 6.650 03/01/05 2,500,000 2,682,210
------------
4,714,550
------------
22
BOND FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
REITS 0.6%
Avalonbay Communities, Inc. 6.580% 02/15/04 $ 1,000,000 $ 1,031,128
EOP Operating LP 6.500 06/15/04 2,750,000 2,875,942
------------
3,907,070
------------
TELECOMMUNICATIONS 2.6%
Bellsouth Capital Funding Corp. 7.875 02/15/30 3,000,000 3,914,499
SBC Communications, Inc. 5.875 08/15/12 3,750,000 4,227,559
Sprint Capital Corp. 7.125 01/30/06 775,000 848,181
Telephone & Data Systems, Inc. 7.000 08/01/06 2,000,000 2,117,916
Verizon Wireless Capital LLC 5.375 12/15/06 2,500,000 2,745,860
Vodafone Group PLC (D) 6.250 11/30/32 1,540,000 1,667,701
------------
15,521,716
------------
TRANSPORTATION 1.6%
Burlington Northern Santa Fe Corp. 6.375 12/15/05 3,400,000 3,759,186
Norfolk Southern Corp. 7.250 02/15/31 2,650,000 3,164,723
Southwest Airlines Co. 8.750 10/15/03 2,000,000 2,035,952
Southwest Airlines Co., Series A3 8.700 07/01/11 14,517 17,440
Union Pacific Railroad 6.540 07/01/15 341,418 371,452
------------
9,348,753
------------
UTILITIES 3.4%
DTE Energy Co. 6.450 06/01/06 2,750,000 3,059,639
Energy East Corp. 8.050 11/15/10 2,000,000 2,480,398
FirstEnergy Corp., Series A 5.500 11/15/06 2,000,000 2,143,978
Niagara Mohawk Power Corp., Series F 7.625 10/01/05 2,532,928 2,830,691
Progress Energy, Inc. 7.750 03/01/31 2,400,000 2,882,669
Virginia Electric & Power Co., Series A 5.750 03/31/06 3,400,000 3,712,994
Wisconsin Electric Power Co. 6.500 06/01/28 3,000,000 3,440,193
------------
20,550,562
------------
TOTAL CORPORATE NOTES AND BONDS
(COST: $184,789,314) 197,601,060
------------
MORTGAGE BACKED: 29.2%
FEDERAL HOME LOAN MORTGAGE CORP. 8.7%
Pool # E96322 5.000 05/01/18 12,254,643 12,668,109
Series 1974 Class ZA 7.000 07/15/27 7,556,448 7,958,002
Series 2519 Class NG 5.500 05/15/28 5,500,000 5,723,358
Series 2470 Class BA 6.000 02/15/30 7,000,000 7,274,626
Pool # C01005 8.000 06/01/30 950,781 1,019,143
Series 2351Class PX 6.500 07/15/30 4,500,000 4,613,929
Pool # C48129 7.000 03/01/31 3,331,077 3,492,257
Pool # C65648 6.500 03/01/32 3,735,054 3,886,876
Pool # C70558 6.000 09/01/32 5,057,951 5,244,286
------------
51,880,586
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION 16.5%
Pool # 383475 6.100 04/01/11 4,627,312 5,329,954
Series 2002-55 Class QC 5.500 12/25/14 5,400,000 5,587,490
Pool # 582558 6.000 05/01/16 1,283,178 1,339,297
Pool # 657335 5.500 09/01/17 3,922,152 4,074,357
Pool # 673194 5.500 02/01/18 5,731,954 5,954,391
Pool # 253847 6.000 05/01/21 3,145,182 3,279,485
Pool # 254587 5.500 12/01/22 9,144,575 9,487,153
Series 1998-63 Class PG 6.000 03/25/27 11,000,000 11,252,696
Pool # 607515 7.000 11/01/31 2,197,977 2,314,685
Series 2001-72 Class NC 6.000 11/01/31 10,000,000 10,100,035
Pool # 611619 6.000 02/01/32 3,347,957 3,480,660
23
BOND FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
Pool # 631377 6.500% 03/01/32 $ 1,644,513 $ 1,714,952
Pool # 644591 7.000 05/01/32 3,013,126 3,173,117
Pool # 690206 5.500 04/01/33 7,968,915 8,250,629
TBA 5.000 12/01/33 10,500,000 10,667,349
TBA 5.500 12/01/33 12,500,000 12,917,975
------------
98,924,225
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.0%
Pool # 2995 8.000 10/20/15 288,956 310,856
Series 1998-21 Class ZB 6.500 09/20/28 6,802,939 7,301,630
Pool # 2714 6.500 02/20/29 1,908,614 1,996,444
Pool # 2921 7.500 05/20/30 1,423,005 1,503,570
Pool # 3068 6.500 04/20/31 2,568,258 2,683,255
Series 2002-50 Class PE 6.000 07/20/32 9,600,000 10,223,635
------------
24,019,390
------------
TOTAL MORTGAGE BACKED
(COST: $170,762,462) 174,824,201
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 24.6%
FEDERAL FARM CREDIT BANK 1.7%
6.125 12/29/15 4,500,000 5,345,217
5.875 10/03/16 4,000,000 4,651,676
------------
9,996,893
------------
FEDERAL HOME LOAN MORTGAGE CORP. 3.8%
6.875 01/15/05 5,850,000 6,346,759
5.500 07/15/06 10,000,000 11,066,370
5.375 08/16/06 2,400,000 2,509,284
5.750 04/29/09 2,500,000 2,588,612
------------
22,511,025
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.6%
5.000 01/20/07 5,750,000 5,861,245
5.250 03/22/07 8,000,000 8,213,960
6.400 05/14/09 7,650,000 7,974,552
6.250 07/19/11 3,000,000 3,137,883
5.250 08/01/12 2,400,000 2,593,752
------------
27,781,392
------------
U.S. TREASURY BONDS 2.7%
11.125 08/15/03 5,000,000 5,062,500
6.250 05/15/30 9,000,000 11,204,298
------------
16,266,798
------------
U.S. TREASURY NOTES 11.8%
6.500 08/15/05 8,645,000 9,579,066
5.750 11/15/05 10,000,000 11,005,860
4.625 05/15/06 12,700,000 13,767,092
3.500 11/15/06 7,000,000 7,378,714
4.750 11/15/08 14,800,000 16,406,614
4.875 02/15/12 11,000,000 12,227,182
------------
70,364,528
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST: $139,983,185) 146,920,636
------------
24
BOND FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------- ----------- ------------
INVESTMENT COMPANIES: 18.5%
One Group Institutional Prime Money Market Fund 13,007,340 $ 13,007,340
SSgA Prime Money Market Fund 14,995,025 14,995,025
State Street Navigator Securities Lending Prime Portfolio (H) 82,503,113 82,503,113
-------------
110,505,478
-------------
TOTAL INVESTMENT COMPANIES
(COST: $110,505,478) 110,505,478
-------------
OTHER INVESTMENTS (H) 2.7% 16,125,692
-------------
(COST: $16,125,692)
TOTAL INVESTMENTS 119.4% $ 714,303,106
(COST: $692,793,308)
NET OTHER ASSETS AND LIABILITIES (19.4)% (116,441,637)
------- -------------
TOTAL NET ASSETS 100.0% $ 597,861,469
======= =============
(C) Restricted security sold within the terms of a private placement memorandum
exempt from registration under section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined to
be liquid under guidelines established by the Board of Trustees.
(D) Notes and bonds issued by foreign entities, denominated in U.S. dollars. The
aggregate value of these securities is 0.28% of net assets.
(G) Floating rate or variable rate note.
(H) Represents collateral held in connection with securities lending.
PLC Public Limited Company
TBA To Be Announced - security purchased on a delayed delivery basis
See accompanying notes to financial statements.
25
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
ASSET BACKED: 0.3%
INDUSTRIALS 0.3%
Continental Airlines, Inc., Series 991A, Class B 6.545% 02/02/19 $ 113,237 $ 109,683
------------
TOTAL ASSET BACKED
(COST: $99,106) 109,683
------------
COMMERCIAL MORTGAGE BACKED: 0.5%
Commercial Mortgage Acceptance Corp.,
Series 1998-C2, Class F (C) 5.440 09/15/30 100,000 90,399
First Union - Lehman Brothers Commerical Mortgage,
Series 1997- C1 CTF Cl F (C) 7.000 12/18/14 100,000 96,376
------------
186,775
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(COST: $169,786) 186,775
------------
CORPORATE NOTES AND BONDS: 87.7%
AEROSPACE/DEFENSE 1.6%
Alliant Techsystems, Inc. 8.500 05/15/11 65,000 72,150
Esterline Technologies Corp. (C) 7.750 06/15/13 95,000 97,375
K & F Industries, Inc., Series B 9.250 10/15/07 90,000 93,825
K & F Industries, Inc. 9.625 12/15/10 40,000 44,400
L-3 Communications Corp., Series B 8.000 08/01/08 105,000 109,200
L-3 Communications Corp. 7.625 06/15/12 175,000 192,500
Titan Corp. (C) 8.000 05/15/11 30,000 31,800
Vought Aircraft Industries, Inc. (C) 8.000 07/15/11 30,000 30,000
------------
671,250
------------
BASIC MATERIALS 4.9%
Abitibi-Consolidated, Inc. 8.550 08/01/10 65,000 72,810
Buckeye Technologies, Inc. 8.000 10/15/10 215,000 201,025
Dresser, Inc. 9.375 04/15/11 135,000 139,050
FiberMark, Inc. 10.750 04/15/11 205,000 205,000
Foamex L P/Foamex Cap Corp. 10.750 04/01/09 75,000 60,000
Hexcel Corp. (C) 9.875 10/01/08 25,000 27,500
Hexcel Corp. 9.750 01/15/09 200,000 199,000
Huntsman International LLC 9.875 03/01/09 20,000 20,800
Huntsman International LLC 10.125 07/01/09 470,000 451,200
Interface, Inc., Series A 10.375 02/01/10 95,000 91,200
Norske Skog Canada, Ltd. (C)(D) 8.625 06/15/11 155,000 161,975
Rhodia S.A. (C)(D) 8.875 06/01/11 225,000 232,875
Sovereign Specialty Chemicals, Inc. 11.875 03/15/10 50,000 47,750
United States Steel Corp. 9.750 05/15/10 115,000 116,725
------------
2,026,910
------------
BUILDING AND CONSTRUCTION 4.5%
American Standard, Inc. 7.375 02/01/08 390,000 430,950
American Standard, Inc. 7.625 02/15/10 20,000 22,700
Atrium Cos., Inc., Series B 10.500 05/01/09 115,000 123,050
Corrections Corp. of America 9.875 05/01/09 100,000 111,625
Corrections Corp. of America 7.500 05/01/11 20,000 20,900
D. R. Horton, Inc. 8.000 02/01/09 165,000 183,562
Georgia Pacific Corp. (C) 9.375 02/01/13 395,000 435,487
Joy Global, Inc., Series B 8.750 03/15/12 95,000 104,025
MMI Products, Inc., Series B 11.250 04/15/07 105,000 73,763
Nortek, Inc., Series B 9.250 03/15/07 165,000 169,950
Nortek, Inc., Series B 8.875 08/01/08 65,000 67,844
Texas Industries, Inc. (C) 10.250 06/15/11 105,000 109,725
------------
1,853,581
------------
26
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
CHEMICALS AND DRUGS 1.5%
Acetex Corp. (D) 10.875% 08/01/09 $ 85,000 $ 94,456
Alpharma, Inc. (C) 8.625 05/01/11 90,000 94,500
Kronos International, Inc. (EUR) (F) 8.875 06/30/09 5,000 6,039
Lyondell Chemical Co., Series A 9.625 05/01/07 100,000 98,000
Lyondell Chemical Co. 9.500 12/15/08 100,000 95,000
MacDermid, Inc. 9.125 07/15/11 100,000 111,750
Noveon, Inc., Series B 11.000 02/28/11 100,000 113,500
------------
613,245
------------
COMMUNICATIONS 5.6%
Alamosa PCS Holdings, Inc. (B) 12.875 02/15/10 100,000 58,000
Charter Communications Holdings LLC 8.250 04/01/07 300,000 231,000
Charter Communications Holdings LLC 8.625 04/01/09 270,000 194,400
DIRECTV Holdings LLC (C) 8.375 03/15/13 155,000 172,825
Emmis Communications Corp., Series B 8.125 03/15/09 85,000 89,038
Emmis Communications Corp. (B) 12.500 03/15/11 116,000 100,340
Nextel Communications, Inc. (B) 9.950 02/15/08 210,000 219,450
Nextel Communications, Inc., Series A 9.375 11/15/09 310,000 332,862
Nextel Partners, Inc. (C) 8.125 07/01/11 25,000 24,938
Qwest Services Corp. (C) 13.500 12/15/10 580,000 655,400
Telewest Communications PLC (B)(D)(E) 9.250 04/15/09 65,000 20,313
Triton PCS, Inc. 8.750 11/15/11 105,000 104,737
Triton PCS, Inc. (C) 8.500 06/01/13 85,000 91,375
------------
2,294,678
------------
CONSUMER CYCLICALS 0.6%
Burns Philip Capital Property, Ltd. (C)(D) 9.750 07/15/12 165,000 160,875
Dura Operating Corp., Series D 9.000 05/01/09 55,000 50,600
WestPoint Stevens, Inc. (E) 7.875 06/15/05 10,000 2,150
WestPoint Stevens, Inc. (E) 7.875 06/15/08 95,000 20,425
------------
234,050
------------
CONSUMER SERVICES 2.4%
Iron Mountain, Inc. 8.625 04/01/13 340,000 363,800
Merisant Co. (C) 9.500 07/15/13 35,000 36,225
Michael Foods, Inc., Series B 11.750 04/01/11 80,000 92,000
Premier International Foods PLC (D) 12.000 09/01/09 105,000 117,600
Roundy's, Inc. 8.875 06/15/12 130,000 135,850
United Rentals, Inc., Series B 10.750 04/15/08 165,000 180,263
United Rentals, Inc. 9.250 01/15/09 60,000 59,100
Venture Holdings Trust, Series B (E) 9.500 07/01/05 60,000 16,650
------------
1,001,488
------------
CONSUMER STAPLES 2.3%
Finlay Enterprises, Inc. 9.000 05/01/08 50,000 50,500
Remington Arms Company, Inc. (C) 10.500 02/01/11 230,000 240,350
Revlon Consumer Products Corp. 12.000 12/01/05 100,000 97,250
Samsonite Corp. 10.750 06/15/08 110,000 112,475
Sealy Mattress Co., Series B 9.875 12/15/07 290,000 288,550
Simmons Co., Series B 10.250 03/15/09 130,000 139,100
------------
928,225
------------
CONTAINERS/PACKAGING 7.2%
Ball Corp. 8.250 08/01/08 165,000 173,250
Ball Corp. 6.875 12/15/12 160,000 169,600
Corp Durango, S.A., Series A (C)(D)(E) 13.750 07/15/09 149,000 78,225
Crown European Holdings S.A. (C)(D) 9.500 03/01/11 150,000 162,000
Crown European Holdings S.A. (C)(F) 10.250 03/01/11 30,000 36,578
Crown European Holdings S.A. (C)(D) 10.875 03/01/13 285,000 310,650
Graham Packaging Co., Inc. (C) 8.750 01/15/08 100,000 99,500
Graphic Packaging Corp. 8.625 02/15/12 160,000 163,200
27
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
CONTAINERS/PACKAGING (CONTINUED)
Greif Bros. Corp., Series A 8.875% 08/01/12 $ 95,000 $ 102,125
Jefferson Smurfit Corp. 8.250 10/01/12 225,000 241,313
Kappa Beheer BV (D) 10.625 07/15/09 85,000 91,056
Owens Brockway Glass Container, Inc. 8.750 11/15/12 85,000 92,225
Owens Brockway Glass Container, Inc. (C) 8.250 05/15/13 180,000 188,100
Owens-Brockway Glass Container, Inc. 8.875 02/15/09 270,000 292,950
Plastipak Holdings, Inc. 10.750 09/01/11 165,000 176,550
Pliant Corp. 13.000 06/01/10 125,000 117,500
Riverwood International Corp. 10.625 08/01/07 245,000 254,187
Riverwood International Corp. 10.875 04/01/08 20,000 20,500
Silgan Holdings, Inc. 9.000 06/01/09 200,000 207,000
------------
2,976,509
------------
DURABLE GOODS 0.8%
Advanced Accessory Systems LLC (C) 10.750 06/15/11 30,000 31,800
ArvinMeritor, Inc. 8.750 03/01/12 55,000 61,600
Collins & Aikman Products 10.750 12/31/11 95,000 83,600
Dana Corp. 10.125 03/15/10 20,000 22,050
Dana Corp. 9.000 08/15/11 50,000 54,125
Metaldyne Corp. 11.000 06/15/12 45,000 37,350
Rexnord Corp. (C) 10.125 12/15/12 45,000 49,500
------------
340,025
------------
ENERGY 9.3%
AES Corp. 8.875 02/15/11 100,000 97,750
AES Corp. (C) 8.750 05/15/13 250,000 260,000
AES Corp. (C) 9.000 05/15/15 100,000 104,500
Amerigas Partners L.P. 8.875 05/20/11 150,000 163,500
Calpine Corp. 8.500 02/15/11 215,000 161,250
Centerpoint Energy Resources Corp. (C) 7.875 04/01/13 275,000 316,317
Chesapeake Energy Corp. 8.125 04/01/11 240,000 258,600
Citgo Petroleum Corp. (C) 11.375 02/01/11 80,000 89,200
CMS Energy Corp. 8.500 04/15/11 200,000 208,750
El Paso Production Holding Co. (C) 7.750 06/01/13 110,000 109,725
Encore Acquisition Co. 8.375 06/15/12 110,000 117,700
Gazprom OAO (C)(D) 9.625 03/01/13 100,000 110,250
Grant Prideco, Inc. 9.000 12/15/09 10,000 11,100
Hanover Equipment Trust 8.750 09/01/11 135,000 141,750
Houston Exploration Co. (C) 7.000 06/15/13 50,000 51,625
Illinois Power Co. (C) 11.500 12/15/10 55,000 62,838
Magnum Hunter Resources, Inc. 9.600 03/15/12 70,000 77,000
Peabody Energy Corp. (C) 6.875 03/15/13 175,000 183,312
Pemex Project Funding Master Trust 9.125 10/13/10 51,000 61,710
PG & E Corp. (C) 6.875 07/15/08 30,000 30,000
Pioneer Natural Resources Co. 9.625 04/01/10 95,000 117,788
Pioneer Natural Resources Co. 7.500 04/15/12 50,000 57,261
Reliant Resources, Inc. (C) 9.250 07/15/10 70,000 70,350
Reliant Resources, Inc. (C) 9.500 07/15/13 85,000 85,638
SEMCO Energy, Inc. (C) 7.125 05/15/08 15,000 15,675
SEMCO Energy, Inc. (C) 7.750 05/15/13 15,000 15,975
SESI LLC 8.875 05/15/11 40,000 43,000
Southern Natural Gas Co. (C) 8.875 03/15/10 100,000 109,000
Stone Energy Corp. 8.250 12/15/11 25,000 26,375
TECO Energy, Inc. 10.500 12/01/07 55,000 62,769
TECO Energy, Inc. 7.500 06/15/10 130,000 132,600
Tesoro Petroleum Corp. (C) 8.000 04/15/08 30,000 30,750
Tesoro Petroleum Corp. 9.625 04/01/12 65,000 59,475
TXU Corp. 6.375 06/15/06 150,000 159,562
Vintage Petroleum, Inc. 8.250 05/01/12 50,000 55,000
Westport Resources Corp. 8.250 11/01/11 155,000 169,725
------------
3,827,820
------------
28
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
FINANCE 1.9%
Arch Western Finance LLC (C) 6.750% 07/01/13 $ 100,000 $ 102,500
MDP Acquisitions PLC (D) 9.625 10/01/12 175,000 193,375
PCA LLC/ PCA Finance Corp 11.875 08/01/09 90,000 98,100
Willis Corroon Corp. 9.000 02/01/09 215,000 227,900
Yell Finance BV (D) 10.750 08/01/11 155,000 178,638
------------
800,513
------------
HEALTH CARE SERVICES 2.0%
Alliance Imaging, Inc. 10.375 04/15/11 150,000 156,750
Beverly Enterprises, Inc. 9.625 04/15/09 115,000 110,400
HCA-Healthcare Co. 7.875 02/01/11 135,000 151,188
InSight Health Services Corp. 9.875 11/01/11 150,000 157,500
NDCHealth Corp. (C) 10.500 12/01/12 25,000 26,813
Omnicare, Inc. 6.125 06/01/13 40,000 40,800
Tenet Healthcare Corp. 6.500 06/01/12 95,000 88,112
Triad Hospitals, Inc., Series B 8.750 05/01/09 80,000 85,100
------------
816,663
------------
INDUSTRIALS 6.3%
Actuant Corp. 13.000 05/01/09 33,000 38,610
Blount, Inc. 7.000 06/15/05 115,000 111,550
Blount, Inc. 13.000 08/01/09 10,000 8,500
Cummins, Inc. (C) 9.500 12/01/10 40,000 45,400
General Binding Corp. 9.375 06/01/08 120,000 115,200
General Motors Corp. 7.125 07/15/13 31,000 30,791
Integrated Electrical Services, Inc., Series C 9.375 02/01/09 10,000 10,150
Jacuzzi Brands, Inc. (C) 9.625 07/01/10 35,000 35,000
JLG Industries, Inc. (C) 8.250 05/01/08 70,000 71,050
Johnsondiversey, Inc. (D) 9.625 05/15/12 260,000 290,550
Johnsondiversey, Inc., Series B (F) 9.625 05/15/12 10,000 12,308
Manitowoc Co., Inc. (F) 10.375 05/15/11 55,000 67,692
Manitowoc Co., Inc. 10.500 08/01/12 70,000 77,700
Muzak LLC / Muzak Finance Corp. (C) 10.000 02/15/09 120,000 125,700
Navistar International Corp., Series B 9.375 06/01/06 85,000 92,437
Oxford Industries, Inc. (C) 8.875 06/01/11 70,000 73,500
SPX Corp. 7.500 01/01/13 85,000 92,013
Tenneco Automotive, Inc., Series B 11.625 10/15/09 80,000 70,800
Tenneco Automotive, Inc. (C) 10.250 07/15/13 150,000 151,875
TRW Automotive Acquisition Corp. (C) 9.375 02/15/13 135,000 146,475
TRW Automotive Acquisition Corp. (C) 11.000 02/15/13 35,000 38,150
Tyco International Group SA (D) 6.750 02/15/11 440,000 466,400
Tyco International Group SA (D) 7.000 06/15/28 235,000 237,350
Xerox Corp. 7.625 06/15/13 175,000 175,219
------------
2,584,420
------------
MACHINERY 1.3%
AGCO Corp. 9.500 05/01/08 200,000 216,000
Columbus McKinnon Corp. 8.500 04/01/08 75,000 55,875
NMHG Holding Co. 10.000 05/15/09 44,000 48,400
Terex Corp. 8.875 04/01/08 140,000 145,600
Terex Corp. 10.375 04/01/11 80,000 88,400
------------
554,275
------------
MEDIA 7.3%
Allbritton Communications Co. 7.750 12/15/12 100,000 103,250
American Media Operations, Inc., Series B 10.250 05/01/09 90,000 97,200
American Media Operations, Inc. (C) 8.875 01/15/11 105,000 113,662
AMFM, Inc., Series B 8.000 11/01/08 130,000 151,125
Cablevision Systems New York Group, Series B 8.125 08/15/09 335,000 346,725
Canwest Media, Inc. (D) 10.625 05/15/11 155,000 176,700
Dex Media East LLC / Dex Media East Finance Co. 9.875 11/15/09 120,000 133,800
Entercom Radio/Capital 7.625 03/01/14 140,000 152,600
29
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ------ -------- ----------- ------------
MEDIA (CONTINUED)
Lamar Media Corp. 7.250% 01/01/13 $ 90,000 $ 95,400
Lamar Media Corp. (C) 7.250 01/01/13 45,000 47,700
LIN Television Corp. 8.000 01/15/08 160,000 171,600
LIN Television Corp. (C) 6.500 05/15/13 50,000 49,875
MediaCom Broadband LLC 11.000 07/15/13 200,000 222,500
MediaCom Capital Co. LLC 9.500 01/15/13 45,000 47,588
PRIMEDIA, Inc. 8.875 05/15/11 75,000 78,937
PRIMEDIA, Inc. (C) 8.000 05/15/13 100,000 102,500
Quebecor Media, Inc. (D) 11.125 07/15/11 145,000 166,025
Radio One, Inc., Series B 8.875 07/01/11 125,000 137,500
RH Donnelley Finance Corp. I (C) 8.875 12/15/10 25,000 27,625
RH Donnelley Finance Corp. I (C) 10.875 12/15/12 40,000 46,600
Spanish Broadcasting Systems, Inc. 9.625 11/01/09 235,000 249,687
Vivendi Universal SA (C)(D) 9.250 04/15/10 65,000 73,938
Young Broadcasting, Inc., Series A 8.500 12/15/08 215,000 230,050
------------
3,022,587
------------
METALS AND MINING 0.7%
Alaska Steel Corp. 7.750 06/15/12 25,000 20,750
Compass Minerals Group, Inc. 10.000 08/15/11 105,000 117,600
Earle M. Jorgensen Co. 9.750 06/01/12 70,000 74,200
Kaiser Aluminum & Chemical Corp. (E) 9.875 02/15/49 5,000 3,900
TriMas Corp. 9.875 06/15/12 15,000 15,375
TriMas Corp. (C) 9.875 06/15/12 40,000 41,000
WCI Steel, Inc., Series B (E) 10.000 12/01/04 95,000 29,450
------------
302,275
------------
PIPELINE 3.2%
ANR Pipeline, Inc. (C) 8.875 03/15/10 30,000 32,775
ANR Pipeline, Inc. 9.625 11/01/21 140,000 165,200
Dynegy Holdings, Inc 6.875 04/01/11 145,000 121,800
Northwest Pipeline Corp. 8.125 03/01/10 25,000 26,875
Plains All American Pipeline, L.P. 7.750 10/15/12 225,000 252,000
Williams Cos., Inc. 8.625 06/01/10 45,000 47,025
Williams Cos., Inc. 7.125 09/01/11 710,000 692,250
------------
1,337,925
------------
PRINTING 1.0%
CBD Media, Inc. (C)(D) 8.625 06/01/11 20,000 20,600
Hollinger International Publishing, Inc. 9.000 12/15/10 90,000 96,300
Hollinger International Publishing, Inc. (C) 11.875 03/01/11 45,000 49,950
Houghton Mifflin Co. (C) 8.250 02/01/11 20,000 21,100
Houghton Mifflin Co. (C) 9.875 02/01/13 10,000 10,850
Mail-Well I Corp. 9.625 03/15/12 110,000 115,775
Transwestern Publishing Co., Series F 9.625 11/15/07 110,000 114,675
------------
429,250
------------
REITS 0.7%
CBRE Escrow, Inc. (C) 9.750 05/15/10 105,000 110,381
Forest City Enterprises, Inc., Class A 7.625 06/01/15 70,000 73,413
MeriStar Hospitality Operating Finance Corp. 10.500 06/15/09 105,000 107,362
------------
291,156
------------
RECREATION 9.2%
AMC Entertainment, Inc. 9.500 02/01/11 130,000 134,550
Ameristar Casinos, Inc. 10.750 02/15/09 60,000 68,025
Argosy Gaming Co. 10.750 06/01/09 75,000 82,125
Argosy Gaming Co. 9.000 09/01/11 35,000 37,800
Aztar Corp. 8.875 05/15/07 110,000 114,813
Boyd Gaming Corp. 9.250 08/01/09 80,000 88,800
30
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ --------
RECREATION (CONTINUED)
Coast Hotels and Casinos, Inc. 9.500% 04/01/09 $165,000 $ 176,550
Hilton Hotels Corp. 7.625 12/01/12 330,000 361,350
HMH Properties, Inc., Series C 8.450 12/01/08 350,000 361,375
Hollywood Park, Inc. 9.500 08/01/07 75,000 74,438
Horseshoe Gaming Holding Corp., Series B 8.625 05/15/09 120,000 127,200
Mandalay Resort Group 9.375 02/15/10 110,000 124,300
MGM Mirage, Inc. 8.500 09/15/10 115,000 135,125
MGM Mirage, Inc. 8.375 02/01/11 135,000 153,562
Park Place Entertainment Corp. 8.875 09/15/08 95,000 104,738
Park Place Entertainment Corp. 8.125 05/15/11 105,000 115,237
Pinnacle Entertainment, Inc., Series B 9.250 02/15/07 100,000 98,500
Premier Parks, Inc. 9.750 06/15/07 30,000 29,700
Regal Cinemas, Inc., Series B 9.375 02/01/12 215,000 237,037
Six Flags, Inc. (C) 9.750 04/15/13 170,000 168,300
Starwood Hotels & Resorts Worldwide, Inc. 7.375 05/01/07 45,000 47,362
Starwood Hotels & Resorts Worldwide, Inc. 7.875 05/01/12 320,000 350,400
Station Casinos, Inc. 8.375 02/15/08 175,000 189,000
Station Casinos, Inc. 8.875 12/01/08 50,000 52,500
Station Casinos, Inc. 9.875 07/01/10 100,000 110,000
Vail Resorts, Inc. 8.750 05/15/09 110,000 114,950
Venetian Casino Resort LLC 11.000 06/15/10 125,000 140,938
---------
3,798,675
---------
RETAIL 3.1%
7-Eleven, Inc. 5.000 12/15/03 110,000 110,000
Cole National Group, Inc. 8.625 08/15/07 60,000 58,200
Cole National Group, Inc. 8.875 05/15/12 115,000 110,687
Dollar General Corp. 8.625 06/15/10 85,000 94,031
Dominos, Inc. (C) 8.250 07/01/11 35,000 36,138
Finlay Fine Jewelry Corp. 8.375 05/01/08 160,000 165,600
Fleming Companies, Inc. (E) 10.125 04/01/08 135,000 20,250
J Crew Operating Corp. 10.375 10/15/07 65,000 63,050
Rite Aid Corp (C) 9.250 06/01/13 50,000 49,500
Rite Aid Corp. 12.500 09/15/06 70,000 78,400
Rite Aid Corp. (C) 8.125 05/01/10 95,000 98,325
Rite Aid Corp. (C) 9.500 02/15/11 45,000 48,375
Williams Scotsman, Inc. 9.875 06/01/07 225,000 220,500
Yum! Brands, Inc. 7.700 07/01/12 100,000 114,000
---------
1,267,056
---------
SCHOOLS 0.5%
KinderCare Learning Centers, Inc., Series B 9.500 02/15/09 210,000 211,575
---------
TECHNOLOGY 2.3%
Argo-Tech Corp. 8.625 10/01/07 20,000 18,600
Fisher Scientific International, Inc. 8.125 05/01/12 85,000 90,950
Fisher Scientific International, Inc. (C) 8.125 05/01/12 120,000 128,400
Flextronics International, Ltd. (D) 9.875 07/01/10 190,000 208,050
Flextronics International, Ltd. (C)(D) 6.500 05/15/13 135,000 129,938
Unisys Corp. 8.125 06/01/06 245,000 262,150
Unisys Corp. 7.875 04/01/08 105,000 108,412
---------
946,500
---------
TELECOMMUNICATIONS 4.8%
Alamosa Delaware, Inc. 12.500 02/01/11 80,000 65,600
American Tower Escrow Corp., Zero Coupon 08/01/08 250,000 161,250
Avalon Cable Holdings LLC (B) 11.875 12/01/08 120,000 114,750
Centennial Communications Corp. 10.750 12/15/08 50,000 46,000
Centennial Communications Corp. (C) 10.125 06/15/13 75,000 74,250
COLT Telecom Group PLC (B)(D) 12.000 12/15/06 200,000 202,000
EchoStar DBS Corp. 10.375 10/01/07 65,000 71,987
EchoStar DBS Corp. 9.375 02/01/09 340,000 362,525
31
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ -------
TELECOMMUNICATIONS (CONTINUED)
Energis PLC (D)(E) 9.750% 06/15/09 $ 45,000 $ 0
Insight Midwest/Insight Capital, Inc. 9.750 10/01/09 100,000 105,750
Lucent Technologies, Inc. 6.450 03/15/29 120,000 82,200
Panamsat Corp. 8.500 02/01/12 215,000 232,738
Paxson Communications Corp. 10.750 07/15/08 75,000 80,625
Paxson Communications Corp. (B) 12.250 01/15/09 65,000 54,275
Rural Cellular Corp., Series A 9.750 01/15/10 120,000 106,200
Time Warner Telecom, Inc. 10.125 02/01/11 120,000 115,800
XM Satellite Radio Holdings, Inc. (B) 14.000 12/31/09 20,000 14,250
XM Satellite Radio, Inc. (C) 12.000 06/15/10 110,000 107,800
----------
1,998,000
----------
TRANSPORTATION 1.1%
GulfMark Offshore, Inc. 8.750 06/01/08 110,000 114,125
Kansas City Southern Railway Co. 7.500 06/15/09 185,000 191,706
Stena AB (D) 9.625 12/01/12 145,000 159,319
----------
465,150
----------
WASTE DISPOSAL 1.6%
Allied Waste North America, Inc., Series B 7.625 01/01/06 120,000 124,350
Allied Waste North America, Inc., Series B 8.875 04/01/08 165,000 179,025
Allied Waste North America, Inc., Series B 10.000 08/01/09 300,000 318,750
Allied Waste North America, Inc. 7.875 04/15/13 45,000 47,081
----------
669,206
----------
TOTAL CORPORATE NOTES AND BONDS
(COST: $34,757,300) 36,263,007
----------
SHARES
------
COMMON STOCKS: 0.2%
INDUSTRIALS 0.1%
Hayes Lemmerz International, Inc. (B) * 3,536 41,371
Thermadyne Holdings Corp. * 247 3,340
----------
44,711
----------
TELECOMMUNICATIONS 0.1%
ITC DeltaCom, Inc. * 1,488 4,390
NTL, Inc. * 767 26,170
Song Networks Holding AB * 3,325 15,595
----------
46,155
----------
TOTAL COMMON STOCKS
(COST: $305,395) 90,866
----------
PREFERRED STOCKS: 0.5%
COMMUNICATION 0.0%
NTL Europe, Inc. * 1 2
----------
INDUSTRIALS 0.0%
HLI Operating Co. * 11 880
----------
MEDIA 0.5%
Cablevision Systems Corp., Series M 1,027 105,781
PRIMEDIA, Inc., Series D 1,100 105,600
----------
211,381
----------
32
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
TELECOMMUNICATIONS 0.0%
Song Networks Holding AB 360 $ 383
----------
TOTAL PREFERRED STOCKS
(COST: $202,338) 212,646
----------
WARRANTS AND RIGHTS: 0.0%
COMMUNICATIONS 0.0%
GT Group Telecom, Inc., Exp. 2/1/2010 (C) * 50 19
----------
INDUSTRIALS 0.0%
Thermadyne Holdings Corp., Series A, Exp. 5/23/2004* 391 262
Thermadyne Holdings Corp., Series B, Exp. 5/23/2006* 236 158
----------
420
----------
TOTAL WARRANTS AND RIGHTS
(COST: $2,250) 439
----------
COUPON MATURITY PAR
RATE DATE AMOUNT
---- ---- ------
FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS: 0.6%
BRAZIL 0.5%
Federal Republic of Brazil (D)(G) 2.188% 04/15/09 $111,529 93,685
Federal Republic of Brazil (D) 8.875 04/15/24 123,000 95,694
----------
189,379
----------
MEXICO 0.1%
United Mexican States (D) 8.125 12/30/19 55,000 62,700
----------
TOTAL FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS
(COST: $262,137) 252,079
----------
CONVERTIBLE BONDS: 0.1%
COMMUNICATIONS 0.1%
Nextel Communications, Inc. 5.250 01/15/10 50,000 47,000
----------
TOTAL CONVERTIBLE BONDS
(COST: $47,284) 47,000
----------
CERTIFICATE OF DEPOSIT: 4.2%
State Street Eurodollar 1,758,257
----------
TOTAL CERTIFICATE OF DEPOSIT
(COST: $1,758,257) 1,758,257
----------
SHARES
------
INVESTMENT COMPANIES: 20.0%
SSgA Prime Money Market Fund 1,851,849 1,851,849
State Street Navigator Securities Lending Prime
Portfolio (H) 6,430,854 6,430,854
----------
8,282,703
----------
TOTAL INVESTMENT COMPANIES
(COST: $8,282,703) 8,282,703
----------
33
HIGH INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS (NOTE 2)
------ --------
TOTAL INVESTMENTS 114.1 % $47,203,455
(COST: $45,886,556)
NET OTHER ASSETS AND LIABILITIES (14.1)% (5,832,281)
----- -----------
TOTAL NET ASSETS 100.0 % $41,371,174
===== ===========
* Non-income producing
(B) Represents security that retains a specified coupon until a predetermined
date, at which time a predetermined rate becomes the effective rate.
(C) Restricted security sold within the terms of a private placement memorandum
exempt from registration under section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined to
be liquid under guidelines established by the Board of Trustees.
(D) Notes and bonds issued by foreign entities, denominated in U.S. dollars.
The aggregate value of these securities is 10.38% of total net assets.
(E) In Default.
(F) Notes and bonds issued by foreign entities, denominated in their local
currency and converted to U.S. dollars at period end exchange rates. The
aggregate value of these securities is 0.30% of total net assets.
(G) Floating rate or variable rate note.
(H) Represents collateral held in connection with securities lending.
PLC Public Limited Company
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Unrealized
Currency Settlement Date Local Amount Face Amount Value Appreciation
-------- --------------- ------------ ----------- ----- ------------
Euro (Sell) 08/04/03 E 5,476 $ 6,434 $ 6,292 $ 142
Euro (Sell) 08/04/03 E 94,519 $110,965 $108,605 $ 2,360
-------
$ 2,502
=======
See accompanying notes to financial statements.
34
BALANCED FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 55.0%
CONSUMER DISCRETIONARY 6.5%
Carnival Corp. 179,800 $ 5,845,298
Comcast Corp., Class A * 66,640 2,011,195
Cox Communications, Inc., Class A * 147,200 4,695,680
Home Depot, Inc. 143,900 4,765,968
McDonald's Corp. 263,100 5,803,986
Target Corp. 250,400 9,475,136
Tiffany & Co. 105,100 3,434,668
Walt Disney Co. 227,600 4,495,100
-----------
40,527,031
-----------
CONSUMER STAPLES 6.5%
Coca-Cola Co. 132,800 6,163,248
CVS Corp. 204,652 5,736,396
General Mills, Inc. 128,700 6,101,667
Kimberly-Clark Corp. 136,900 7,137,966
Procter & Gamble Co. 34,800 3,103,464
Safeway, Inc. * 105,800 2,164,668
Sara Lee Corp. 279,900 5,264,919
Wal-Mart Stores, Inc. 93,900 5,039,613
-----------
40,711,941
-----------
ENERGY 3.5%
BP PLC, ADR 91,246 3,834,157
ExxonMobil Corp. 155,000 5,566,050
Kerr-McGee Corp. 42,700 1,912,960
Marathon Oil Corp. 104,100 2,743,035
Schlumberger, Ltd. 87,600 4,167,132
Transocean Sedco Forex, Inc. 49,362 1,084,483
Unocal Corp. 87,000 2,496,030
-----------
21,803,847
-----------
FINANCIALS 11.0%
ACE, Ltd. 74,000 2,537,460
Allstate Corp. 196,014 6,987,899
American International Group, Inc. 97,000 5,352,460
Bank of America Corp. 94,698 7,483,983
Bank One Corp. 123,890 4,606,230
Chubb Corp. 42,000 2,520,000
Citigroup, Inc. 234,005 10,015,414
FleetBoston Financial Corp. 118,400 3,517,664
Goldman Sachs Group, Inc. 37,000 3,098,750
Morgan Stanley Dean Witter & Co. 102,000 4,360,500
Prudential Financial, Inc. 256,000 8,614,400
SunTrust Banks, Inc. 56,500 3,352,710
Wells Fargo & Co. 124,900 6,294,960
-----------
68,742,430
-----------
HEALTH CARE 8.3%
Abbott Laboratories 77,100 3,373,896
Applera Corp.- Applied Biosystems Group 163,200 3,105,696
Baxter International, Inc. 160,800 4,180,800
Bristol-Myers Squibb Co. 204,200 5,544,030
Genzyme Corp. * 58,900 2,462,020
GlaxoSmithKline PLC, ADR 140,350 5,689,789
IMS Health, Inc. 398,100 7,161,819
MedImmune, Inc. * 71,000 2,582,270
Pfizer, Inc. 311,119 10,624,714
Wyeth 149,400 6,805,170
-----------
51,530,204
-----------
35
BALANCED FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INDUSTRIALS 6.0%
Burlington Northern Santa Fe Corp. 105,000 $ 2,986,200
Dover Corp. 124,000 3,715,040
Emerson Electric Co. 66,000 3,372,600
FedEx Corp. 54,000 3,349,620
General Electric Co. 126,000 3,613,680
Honeywell International, Inc. 156,000 4,188,600
Illinois Tool Works, Inc. 58,000 3,819,300
Textron, Inc. 107,000 4,175,140
United Technologies Corp. 66,000 4,674,780
Waste Management, Inc. 154,000 3,709,860
-----------
37,604,820
-----------
INFORMATION TECHNOLOGY 8.7%
3Com Corp. * 124,200 581,256
ADC Telecommunications, Inc. * 336,000 782,208
Applied Materials, Inc. * 130,900 2,076,074
Autodesk, Inc. 222,400 3,593,984
Celestica, Inc. * 133,100 2,097,656
Computer Sciences Corp. * 119,600 4,559,152
Concord EFS, Inc. * 269,700 3,969,984
EMC Corp. * 134,400 1,407,168
Hewlett-Packard Co. 173,700 3,699,810
International Business Machine Corp. 87,700 7,235,250
Keane, Inc. * 268,900 3,665,107
Koninklijke (Royal) Philips Electronics N.V., ADR 119,748 2,288,384
Micron Technology, Inc. * 133,600 1,553,768
Microsoft Corp. 249,200 6,382,012
Motorola, Inc. 292,200 2,755,446
PeopleSoft, Inc. * 196,000 3,447,640
Texas Instruments, Inc. 169,900 2,990,240
VERITAS Software Corp. * 47,064 1,349,325
-----------
54,434,464
-----------
MATERIALS 1.5%
Alcoa, Inc. 85,000 2,167,500
E.I. du Pont de Nemours & Co. 77,000 3,206,280
Rohm and Haas Co. 126,000 3,909,780
-----------
9,283,560
-----------
TELECOMMUNICATION SERVICES 1.8%
ALLTEL Corp. 94,000 4,532,680
SBC Communications, Inc. 117,000 2,989,350
Verizon Communications 91,012 3,590,424
-----------
11,112,454
-----------
UTILITIES 1.2%
Ameren Corp. 37,000 1,631,700
FPL Group, Inc. 65,000 4,345,250
Progress Energy, Inc. 40,400 1,773,560
-----------
7,750,510
-----------
TOTAL COMMON STOCKS
(COST: $329,993,898) 343,501,261
-----------
36
BALANCED FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ --------
ASSET BACKED: 2.9%
ABSC Long Beach Home Equity Trust, Series
2000-LB1, Class AF5 8.050% 09/21/30 $ 5,150,000 $ 5,710,441
Conseco Finance Securitizations Corp., Series
2001-1, Class M1 7.535 07/01/32 5,000,000 3,500,000
Green Tree Home Equity Loan Trust, Series
1999-A, Class B1 8.970 11/15/27 4,100,000 4,276,992
Long Beach Mortgage Loan Trust, Series
2002-1, Class M3 3.535 05/25/32 2,250,000 2,205,921
Oakwood Mortgage Investors, Inc., Series
1999-C, Class M2 8.750 08/15/27 6,400,000 2,560,000
-----------
18,253,354
-----------
TOTAL ASSET BACKED
(COST: $22,578,019) 18,253,354
-----------
COMMERCIAL MORTGAGE BACKED: 2.4%
Duke Weeks Industrial Trust, Series
2000-DW1, Class A2 (C) 7.151 10/15/10 3,000,000 3,600,128
Morgan Stanley Capital I, Inc., Series
1999-CAM1, Class A3 6.920 03/15/32 3,635,000 4,073,780
Morgan Stanley Dean Witter Capital, Series
2000-LIF2, Class A2 7.200 10/15/33 6,000,000 7,244,503
-----------
14,918,411
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
(COST: $13,356,459) 14,918,411
-----------
PRIVATE LABEL MORTGAGE BACKED: 1.2%
Bank of America Funding Corp., Series
2002-1, Class A2 7.000 04/20/32 665,074 667,692
Countrywide Alternative Loan Trust, Series
2002-5, Class A10 6.750 06/25/32 5,600,000 5,838,178
Residential Asset Securitization Trust, Series
2002-A1, Class A2 5.350 09/25/26 863,732 865,763
-----------
7,371,633
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(COST: $7,239,400) 7,371,633
-----------
CORPORATE NOTES AND BONDS: 14.3%
AEROSPACE/DEFENSE 0.4%
Lockheed Martin Corp. 7.250 05/15/06 2,000,000 2,277,686
-----------
BASIC INDUSTRIES 0.4%
International Paper Co. 8.125 07/08/05 2,400,000 2,675,738
-----------
CABLE 1.1%
Comcast Corp. 5.300 01/15/14 4,000,000 4,113,768
TCI Communications, Inc. 8.650 09/15/04 2,500,000 2,675,550
-----------
6,789,318
-----------
CAPITAL GOODS 0.3%
Caterpillar Financial Services Corp. 7.590 12/10/03 2,000,000 2,056,014
-----------
CONSUMER STAPLES 0.2%
Safeway, Inc. 6.850 9/15/04 1,000,000 1,056,261
-----------
ENERGY 1.2%
Occidental Petroleum Corp. 5.875 01/15/07 2,500,000 2,775,235
Phillips Petroleum Co. 8.500 05/25/05 2,500,000 2,816,118
Sunoco, Inc. 7.125 03/15/04 2,000,000 2,075,826
-----------
7,667,179
-----------
37
BALANCED FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ --------
FINANCE 3.0%
AARP (C) 7.500% 05/01/31 $ 2,000,000 $ 2,460,104
American General Finance Corp. 5.750 03/15/07 2,500,000 2,769,995
Bear Stearns Cos., Inc. 7.800 08/15/07 2,000,000 2,383,480
CIT Group, Inc. 5.570 12/08/03 1,500,000 1,525,115
Countrywide Home Loans, Inc. 6.840 10/22/04 1,000,000 1,065,576
Household Finance Corp. 6.500 11/15/08 1,350,000 1,552,269
MBNA America Bank N.A. 6.875 07/15/04 2,000,000 2,103,076
Merrill Lynch & Co., Inc. 7.375 05/15/06 2,500,000 2,834,472
U.S. Bank N.A. 6.300 02/04/14 2,000,000 2,340,540
-----------
19,034,627
-----------
HEALTH CARE 0.5%
Tenet Healthcare Corp. 7.375 02/01/13 3,200,000 3,088,000
-----------
INDUSTRIALS 1.7%
Ford Motor Credit Co. (G) 1.508 04/28/05 2,000,000 1,936,424
Ford Motor Credit Co. 7.600 08/01/05 2,000,000 2,147,376
General Electric Global Insurance Corp. 7.000 02/15/26 2,000,000 2,226,990
General Motors Acceptance Corp. 6.125 08/28/07 2,250,000 2,338,079
General Motors Acceptance Corp. 6.875 09/15/11 2,250,000 2,257,508
-----------
10,906,377
-----------
PIPELINE 0.4%
Kinder Morgan, Inc. 6.650 03/01/05 2,500,000 2,682,210
-----------
REITS 0.2%
Avalonbay Communities, Inc. 6.580 02/15/04 1,000,000 1,031,128
-----------
TELECOMMUNICATIONS 1.7%
Bellsouth Capital Funding Corp. 7.875 02/15/30 2,000,000 2,609,666
SBC Communications, Inc. 5.875 08/15/12 2,250,000 2,536,535
Sprint Capital Corp. 7.125 01/30/06 775,000 848,181
Telephone & Data Systems, Inc. 7.000 08/01/06 1,500,000 1,588,437
Verizon Wireless Capital LLC 5.375 12/15/06 2,500,000 2,745,860
-----------
10,328,679
-----------
TRANSPORTATION 0.7%
Norfolk Southern Corp. 7.250 02/15/31 2,000,000 2,388,470
Southwest Airlines Co. 8.750 10/15/03 2,000,000 2,035,952
-----------
4,424,422
-----------
UTILITIES 2.5%
DTE Energy Co. 6.450 06/01/06 2,000,000 2,225,192
Energy East Corp. 8.050 11/15/10 2,000,000 2,480,398
FirstEnergy Corp., Series A 5.500 11/15/06 2,000,000 2,143,978
Niagara Mohawk Power Corp., Series F 7.625 10/01/05 2,532,928 2,830,691
Progress Energy, Inc. 7.750 03/01/31 2,000,000 2,402,224
Virginia Electric & Power Co., Series A 5.750 03/31/06 3,000,000 3,276,171
-----------
15,358,654
-----------
TOTAL CORPORATE NOTES AND BONDS
(COST: $82,707,623) 89,376,293
-----------
38
BALANCED FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ --------
MORTGAGE BACKED: 9.9%
FEDERAL HOME LOAN MORTGAGE CORP. 2.6%
Series 1974 Class ZA 7.000% 07/15/27 $ 7,556,448 $ 7,958,002
Pool # C01005 8.000 06/01/30 760,625 815,314
Series 2351Class PX 6.500 07/15/30 3,000,000 3,075,953
Pool # C62333 6.500 01/01/32 2,766,803 2,879,177
Pool # C65648 6.500 03/01/32 1,519,499 1,581,263
-----------
16,309,709
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.0%
Pool # 383475 6.100 04/01/11 4,318,824 4,974,624
Series 2002-55 Class QC 5.500 12/25/14 3,300,000 3,414,577
Pool # 582558 6.000 05/01/16 2,352,492 2,455,378
Pool # 672243 5.000 12/01/17 6,200,000 6,414,022
Pool # 253847 6.000 05/01/21 2,675,752 2,790,010
Pool # 611619 6.000 02/25/25 2,790,522 2,901,130
Series 1998-63, Class PG 6.000 03/25/27 3,000,000 3,068,917
Pool # 607515 7.000 11/01/31 2,197,977 2,314,685
Series 2001-72 Class NC 6.000 11/01/31 3,000,000 3,030,010
Pool # 644591 7.000 05/01/32 1,656,509 1,744,466
TBA 5.500 12/01/33 4,000,000 4,133,752
-----------
37,241,571
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.3%
Pool # 2921 7.500 05/20/30 1,300,949 1,374,604
Pool # 2957 7.500 08/20/30 133,751 141,323
Pool # 3068 6.500 04/20/31 2,115,036 2,209,739
Series 2002-50 Class PE 6.000 07/20/32 4,200,000 4,472,840
-----------
8,198,506
-----------
TOTAL MORTGAGE BACKED
(COST: $59,438,710) 61,749,786
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 8.7%
FEDERAL FARM CREDIT BANK 0.8%
6.125 12/29/15 4,000,000 4,751,304
-----------
FEDERAL HOME LOAN MORTGAGE CORP. 1.1%
6.875 01/15/05 2,000,000 2,169,832
5.375 08/16/06 2,000,000 2,091,070
5.750 04/29/09 2,500,000 2,588,613
-----------
6,849,515
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.7%
6.400 05/14/09 6,600,000 6,880,005
6.250 07/19/11 3,000,000 3,137,883
5.250 08/01/12 750,000 810,547
-----------
10,828,435
-----------
U.S. TREASURY BONDS 2.5%
11.125 08/15/03 3,000,000 3,037,500
9.125 05/15/09 6,000,000 6,412,968
6.250 05/15/30 5,000,000 6,224,610
-----------
15,675,078
-----------
39
BALANCED FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET COUPON MATURITY PAR VALUE
ASSETS RATE DATE AMOUNT (NOTE 2)
------ ---- ---- ------ --------
U.S. TREASURY NOTES 2.6%
5.750% 11/15/05 $ 5,000,000 $ 5,502,930
4.625 05/15/06 5,000,000 5,420,115
3.500 11/15/06 5,000,000 5,270,510
-----------
16,193,555
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST: $51,678,658) 54,297,887
-----------
SHARES
------
INVESTMENT COMPANIES: 10.3%
Nations Cash Reserves Fund 5,036,330 5,036,330
One Group Institutional Prime Money Market Fund 5,045,099 5,045,099
SSgA Prime Money Market Fund 25,497,694 25,497,694
State Street Navigator Securities Lending
Prime Portfolio (H) 28,929,315 28,929,315
------------
64,508,438
------------
TOTAL INVESTMENT COMPANIES
(COST: $64,508,438) 64,508,438
------------
OTHER INVESTMENTS (H) 1.6%
(COST: $9,809,449) 9,809,449
------------
TOTAL INVESTMENTS 106.3% $663,786,512
(COST: $641,310,654)
NET OTHER ASSETS AND LIABILITIES (6.3)% (39,161,199)
----- ------------
TOTAL NET ASSETS 100.0% $624,625,313
===== ============
* Non-income producing
(C) Restricted security sold within the terms of a private placement memorandum
exempt from registration under section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined to
be liquid under guidelines established by the Board of Trustees.
(G) Floating rate or variable rate note.
(H) Represents collateral held in connection with securities lending.
ADR American Depository Receipt
PLC Pubic Limited Company
TBA To Be Announced - security purchased on delayed delivery basis
See accompanying notes to financial statements.
40
GROWTH AND INCOME STOCK FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ ---------
COMMON STOCKS: 93.3%
CONSUMER DISCRETIONARY 10.7%
Comcast Corp., Class A * 241,995 $ 7,303,409
Home Depot, Inc. 568,100 18,815,472
McDonald's Corp. 935,600 20,639,336
Target Corp. 759,100 28,724,344
Walt Disney Co. 609,100 12,029,725
-----------
87,512,286
-----------
CONSUMER STAPLES 7.9%
General Mills, Inc. 276,800 13,123,088
Kimberly-Clark Corp. 366,700 19,119,738
Kroger Co. * 632,800 10,555,104
Sara Lee Corp. 1,123,200 21,127,392
-----------
63,925,322
-----------
ENERGY 8.4%
BP PLC, ADR 253,280 10,642,826
ChevronTexaco Corp. 188,673 13,622,190
ExxonMobil Corp. 562,200 20,188,602
Schlumberger, Ltd. 222,200 10,570,054
Transocean Sedco Forex, Inc. 165,146 3,628,258
Unocal Corp. 343,550 9,856,449
-----------
68,508,379
-----------
FINANCIALS 23.2%
Allstate Corp. 740,026 26,381,927
Bank of America Corp. 234,171 18,506,534
Bank One Corp. 456,640 16,977,875
Berkshire Hathaway, Inc., Class A * 55 3,987,500
Citigroup, Inc. 649,014 27,777,799
Fannie Mae 170,000 11,464,800
FleetBoston Financial Corp. 343,600 10,208,356
Morgan Stanley Dean Witter & Co. 335,000 14,321,250
Prudential Financial, Inc. 810,000 27,256,500
SunTrust Banks, Inc. 231,200 13,719,408
Wachovia Corp. 449,500 17,962,020
-----------
188,563,969
-----------
HEALTH CARE 10.1%
Baxter International, Inc. 477,400 12,412,400
Bristol-Myers Squibb Co. 624,500 16,955,175
GlaxoSmithKline PLC, ADR 347,150 14,073,461
Merck & Co., Inc. 308,500 18,679,675
Pfizer, Inc. 247,800 8,462,370
Wyeth 259,900 11,838,445
-----------
82,421,526
-----------
INDUSTRIALS 9.6%
Burlington Northern Santa Fe Corp. 201,000 5,716,440
Emerson Electric Co. 312,000 15,943,200
Honeywell International, Inc. 766,000 20,567,100
Textron, Inc. 407,000 15,881,140
United Technologies Corp. 159,000 11,261,970
Waste Management, Inc. 380,000 9,154,200
-----------
78,524,050
-----------
41
GROWTH AND INCOME STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INFORMATION TECHNOLOGY 11.1%
Applied Materials, Inc. * 348,800 $ 5,531,968
Automatic Data Processing, Inc. 228,700 7,743,782
Computer Associates International, Inc. 505,100 11,253,628
Computer Sciences Corp. * 258,200 9,842,584
EMC Corp. * 457,100 4,785,837
Hewlett-Packard Co. 622,435 13,257,866
Intel Corp. 368,500 7,658,904
International Business Machine Corp. 187,200 15,444,000
Motorola, Inc. 875,000 8,251,250
Texas Instruments, Inc. 366,500 6,450,400
------------
90,220,219
------------
MATERIALS 3.8%
Alcan, Inc. 100,000 3,129,000
Alcoa, Inc. 165,000 4,207,500
Dow Chemical Co. 116,050 3,592,908
E.I. du Pont de Nemours & Co. 325,000 13,533,000
Weyerhaeuser Co. 113,000 6,102,000
------------
30,564,408
------------
TELECOMMUNICATION SERVICES 5.0%
ALLTEL Corp. 294,000 14,176,680
SBC Communications, Inc. 439,000 11,216,450
Telefonos de Mexico, ADR 125,000 3,927,500
Verizon Communications 298,035 11,757,481
------------
41,078,111
------------
UTILITIES 3.5%
Ameren Corp. 135,000 5,953,500
Consolidated Edison, Inc. 156,000 6,751,680
FPL Group, Inc. 101,000 6,751,850
Progress Energy, Inc. 210,000 9,219,000
------------
28,676,030
------------
TOTAL COMMON STOCKS
(COST: $779,685,743) 759,994,300
------------
INVESTMENT COMPANIES: 6.5%
Nations Cash Reserves Fund 5,009,291 5,009,291
One Group Institutional Prime Money Market Fund 10,005,213 10,005,213
SSgA Prime Money Market Fund 37,475,775 37,475,775
------------
52,490,279
------------
TOTAL INVESTMENT COMPANIES
(COST: $52,490,279) 52,490,279
------------
TOTAL INVESTMENTS 99.8% $812,484,579
(COST: $832,176,022)
NET OTHER ASSETS AND LIABILITIES 0.2% 1,956,098
----- ------------
TOTAL NET ASSETS 100.0% $814,440,677
===== ============
* Non-income producing
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
42
CAPITAL APPRECIATION STOCK FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 95.3%
CONSUMER DISCRETIONARY 11.3%
Brinker International, Inc. * 243,900 $ 8,785,278
Carnival Corp. 516,600 16,794,666
Cox Communications, Inc., Class A * 581,800 18,559,420
Liberty Media Corp., Class A * 1,502,500 17,368,900
Tiffany & Co. 415,500 13,578,540
------------
75,086,804
------------
CONSUMER STAPLES 11.0%
Coca-Cola Co. 287,900 13,361,439
CVS Corp. 403,300 11,304,499
Estee Lauder Cos., Inc., Class A 347,400 11,648,322
Kraft Foods, Inc., Class A 331,000 10,774,050
Procter & Gamble Co. 115,600 10,309,208
Safeway, Inc. * 281,200 5,753,352
Wal-Mart Stores, Inc. 177,300 9,515,691
------------
72,666,561
------------
ENERGY 5.2%
Apache Corp. 113,085 7,357,310
ConocoPhillips 230,700 12,642,360
Marathon Oil Corp. 159,000 4,189,650
Weatherford International, Ltd. * 250,600 10,500,140
------------
34,689,460
------------
FINANCIALS 16.4%
ACE, Ltd. 288,000 9,875,520
American International Group, Inc. 185,000 10,208,300
Bank of New York Co., Inc. 277,700 7,983,875
Chubb Corp. 130,000 7,800,000
Freddie Mac 200,000 10,154,000
Goldman Sachs Group, Inc. 102,000 8,542,500
MetLife, Inc. 331,000 9,373,920
U.S. Bancorp 692,800 16,973,600
Wells Fargo & Co. 284,300 14,328,720
XL Capital, Ltd. 74,000 6,142,000
Zions Bancorp. 149,200 7,551,012
------------
108,933,447
------------
HEALTH CARE 17.2%
Abbott Laboratories 377,400 16,515,024
Applera Corp.- Applied Biosystems Group 647,200 12,316,216
Boston Scientific Corp. * 235,500 14,389,050
Genzyme Corp. * 121,300 5,070,340
IMS Health, Inc. 1,169,300 21,035,707
MedImmune, Inc. * 169,900 6,179,263
Pfizer, Inc. 821,402 28,050,878
Schering-Plough Corp. 579,700 10,782,420
------------
114,338,898
------------
INDUSTRIALS 10.4%
Dover Corp. 455,000 13,631,800
FedEx Corp. 214,000 13,274,420
General Dynamics Corp. 98,200 7,119,500
General Electric Co. 363,000 10,410,840
Illinois Tool Works, Inc. 278,000 18,306,300
Pall Corp. 283,000 6,367,500
------------
69,110,360
------------
43
CAPITAL APPRECIATION STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INFORMATION TECHNOLOGY 17.1 %
3Com Corp. * 354,600 $ 1,659,528
ADC Telecommunications, Inc. * 1,120,100 2,607,593
Altera Corp. * 411,400 6,746,960
Autodesk, Inc. 1,263,000 20,410,080
Cadence Design Systems, Inc. * 648,800 7,824,528
Celestica, Inc. * 328,900 5,183,464
Concord EFS, Inc. * 511,900 7,535,168
Dell Computer Corp. * 156,500 5,001,740
EMC Corp. * 593,100 6,209,757
Keane, Inc. * 518,800 7,071,244
KLA-Tencor Corp. * 174,600 8,117,154
Micron Technology, Inc. * 456,000 5,303,280
Microsoft Corp. 483,600 12,384,996
PeopleSoft, Inc. * 718,200 12,633,138
Skyworks Solutions, Inc. * 126,254 854,739
VERITAS Software Corp. * 136,689 3,918,874
------------
113,462,243
------------
MATERIALS 2.1 %
Praxair, Inc. 120,000 7,212,000
Rohm and Haas Co. 208,000 6,454,240
------------
13,666,240
------------
TELECOMMUNICATION SERVICES 2.8 %
BellSouth Corp. 319,000 8,494,970
CenturyTel, Inc. 283,000 9,862,550
------------
18,357,520
------------
UTILITIES 1.8 %
FPL Group, Inc. 178,100 11,905,985
------------
TOTAL COMMON STOCKS
(COST: $616,199,060) 632,217,518
------------
INVESTMENT COMPANIES: 9.2 %
One Group Institutional Prime Money Market Fund 8,083,649 8,083,649
SSgA Prime Money Market Fund 22,374,373 22,374,373
State Street Navigator Securities Lending
Prime Portfolio (H) 30,120,950 30,120,950
------------
60,578,972
------------
TOTAL INVESTMENT COMPANIES
(COST: $60,578,972) 60,578,972
------------
TOTAL INVESTMENTS 104.5 % $692,796,490
(COST: $676,778,032)
NET OTHER ASSETS AND LIABILITIES (4.5)% (29,619,247)
----- ------------
TOTAL NET ASSETS 100.0 % $663,177,243
===== ============
* Non-income producing
(H) Represents collateral held in connection with securities lending.
See accompanying notes to financial statements.
44
MID-CAP STOCK FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 94.0%
CONSUMER DISCRETIONARY 16.9%
Belo Corp., Class A 76,000 $ 1,699,360
Catalina Marketing Corp. * 16,900 298,285
CEC Entertainment, Inc. * 12,500 461,625
Darden Restaurants, Inc. 49,600 941,408
Ethan Allen Interiors, Inc. 65,100 2,288,916
Guitar Center, Inc. * 12,800 371,200
Hibbett Sporting Goods, Inc. * 27,700 912,438
Hughes Supply, Inc. 5,000 173,500
Interpublic Group of Companies, Inc. 78,200 1,046,316
J. Jill Group, Inc. * 41,750 703,070
Jones Apparel Group, Inc. * 33,000 965,580
Linens 'N Things, Inc. * 43,400 1,024,674
Meritage Corp. * 7,700 379,302
Newell Rubbermaid, Inc. 57,500 1,610,000
O'Reilly Automotive, Inc. * 25,900 864,801
Outback Steakhouse, Inc. 25,400 990,600
Shoe Carnival, Inc. * 14,500 214,020
Sonic Corp. * 6,800 172,924
Spartan Motors, Inc. 28,300 234,041
Talbots, Inc. 69,700 2,052,665
Toys "R" Us, Inc. * 66,100 801,132
Ultimate Electronics, Inc. * 19,000 243,580
WCI Communities, Inc. * 30,100 578,823
Wilsons The Leather Experts, Inc. * 43,050 310,390
Yankee Candle Co., Inc. * 8,300 192,726
-----------
19,531,376
-----------
CONSUMER STAPLES 4.5%
Caseys General Stores, Inc. 12,000 169,680
Hain Celestial Group, Inc. * 110,600 1,768,494
McCormick & Co., Inc. 60,500 1,645,600
NBTY, Inc. * 17,100 360,126
Riviana Foods, Inc. 12,200 328,302
Sensient Technologies Corp. 16,200 372,438
Universal Corp. 12,800 541,440
-----------
5,186,080
-----------
ENERGY 6.2%
Amerada Hess Corp. 13,200 649,176
BJ Services Co. * 36,800 1,374,848
CARBO Ceramics, Inc. 5,700 212,325
Cimarex Energy Co. * 4,400 104,500
ENSCO International, Inc. 49,800 1,339,620
Forest Oil Corp. * 33,200 833,984
Patina Oil & Gas Corp. 9,687 311,437
Pogo Producing Co. 15,600 666,900
Smith International, Inc. * 34,600 1,271,204
St. Mary Land & Exploration Co. 8,500 232,050
Westport Resources Corp. * 9,400 213,850
-----------
7,209,894
-----------
FINANCIALS 21.3%
Alexandria Real Estate Equities, Inc. 7,500 334,878
American Capital Strategies, Ltd. 13,900 346,666
AMERIGROUP Corp. * 17,500 651,000
Arden Realty, Inc. 11,900 308,805
Associated Banc-Corp. 31,584 1,164,818
Bank of Bermuda, Ltd. 19,970 698,751
Bear Stearns Co., Inc. 26,000 1,882,920
Century Bancorp, Inc., Class A 2,500 74,450
Chelsea Property Group, Inc. 7,000 282,170
45
MID-CAP STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
FINANCIALS (CONTINUED)
Colonial BancGroup, Inc. 77,700 $ 1,077,699
Compass Bancshares, Inc. 30,000 1,047,900
Countrywide Credit Industries, Inc. 16,000 1,113,120
Delphi Financial Group, Inc., Class A 9,600 449,280
Financial Federal Corp. * 7,700 187,880
FirstMerit Corp. 38,100 870,966
Getty Realty Corp. 13,500 301,320
Hibernia Corp., Class A 59,700 1,084,152
IPC Holdings, Ltd. 18,100 606,350
Jefferson-Pilot Corp. 31,000 1,285,260
Maguire Properties, Inc. * 11,300 217,525
Marshall & Ilsley Corp. 42,600 1,302,708
Mid-Atlantic Realty Trust 16,400 343,416
National Commerce Financial Corp. 29,500 654,605
Platinum Underwriters Holdings, Ltd. (Bermuda) 13,600 369,104
Principal Financial Group, Inc. 37,000 1,193,250
Protective Life Corp. 44,000 1,177,000
PS Business Parks, Inc. 9,000 316,455
Radian Group, Inc. 21,000 769,650
RAIT Investment Trust 15,400 408,100
Reckson Assoc. Realty Corp. 11,800 246,148
Reinsurance Group of America, Inc. 21,800 699,780
RLI Corp. 7,100 233,590
SAFECO Corp. 29,400 1,037,232
Sky Financial Group, Inc. 17,100 371,412
SL Green Realty Corp. 11,000 382,374
TCF Financial Corp. 18,400 733,056
Universal American Financial Corp. * 60,600 386,022
-----------
24,609,812
-----------
HEALTH CARE 9.5%
Amsurg Corp. * 7,800 237,900
Apogent Technologies, Inc. * 92,900 1,858,000
Becton, Dickinson & Co. 38,500 1,495,725
Biogen, Inc. * 25,800 980,400
Celgene Corp. * 18,000 547,200
CorVel Corp. * 6,350 228,600
IDEXX Laboratories, Inc. * 58,400 1,966,912
MAXIMUS, Inc. * 17,600 486,288
Omnicare, Inc. 64,300 2,172,697
Orthodontic Centers of America, Inc. * 42,900 343,629
PolyMedica Corp. 15,800 723,482
-----------
11,040,833
-----------
INDUSTRIALS 13.2%
Albany International Corp., Class A 10,300 282,220
Avery Dennison Corp. 18,000 903,600
Carlisle Cos., Inc. 5,400 227,664
Curtiss-Wright Corp., Class B 6,400 398,720
Deswell Industries, Inc. (Hong Kong) 25,500 517,370
Eaton Corp. 10,000 786,100
Genesee & Wyoming, Inc., Class A * 30,250 622,242
Granite Construction, Inc. 26,300 503,908
Ingersoll-Rand Co., Class A 19,000 899,080
Kadant, Inc. * 19,800 371,250
Manpower, Inc. 46,000 1,706,140
Mueller Industries, Inc. * 45,000 1,219,950
Parker-Hannifin Corp. 27,000 1,133,730
Quixote Corp. 17,700 451,881
R. R. Donnelley & Sons Co. 39,000 1,019,460
Republic Services, Inc., Class A * 70,000 1,586,900
Simpson Manufacturing Co., Inc. * 12,600 461,160
Teleflex, Inc. 19,000 808,450
46
MID-CAP STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ ----------
INDUSTRIALS (CONTINUED)
United Stationers, Inc. * 20,900 $ 755,953
USF Corp. 13,700 369,489
Werner Enterprises, Inc. 12,700 269,240
------------
15,294,507
------------
INFORMATION TECHNOLOGY 9.9%
Andrew Corp. * 65,600 603,520
ANSYS, Inc. * 13,400 416,740
Arrow Electronics, Inc. * 47,700 726,948
Atmel Corp. * 136,500 345,345
ATMI, Inc. * 22,400 559,328
Black Box Corp. 9,300 336,660
Cable Design Technologies Corp. * 57,250 409,338
Convergys Corp. * 52,800 844,800
DuPont Photomasks, Inc. * 22,000 414,260
ESS Technology, Inc. * 16,100 156,975
Investment Technology Group, Inc. * 12,499 232,481
LSI Logic Corp. * 71,300 504,804
Maxtor Corp. * 32,308 242,633
McDATA Corp., Class B * 61,900 897,550
Molex, Inc. 19,600 529,004
Pericom Semiconductor Corp. * 30,100 279,930
Reynolds and Reynolds Co., Class A 37,100 1,059,576
SunGard Data Systems, Inc. * 31,900 826,529
Synopsys, Inc. * 24,500 1,515,325
Technitrol, Inc. 11,200 168,560
Varian Semiconductor Equipment, Inc. * 13,700 407,712
------------
11,478,018
------------
MATERIALS 4.4%
Aber Diamond Corp. * 7,900 163,775
Air Products & Chemicals, Inc. 20,000 832,000
Florida Rock Industries, Inc. 4,800 198,144
Martin Marietta Materials, Inc. 53,000 1,781,330
MeadWestvaco Corp. 46,997 1,160,826
Meridian Gold, Inc. * 15,200 174,648
Sigma-Aldrich Corp. 14,000 758,520
------------
5,069,243
------------
TELECOMMUNICATION SERVICES 0.6%
CenturyTel, Inc. 21,000 731,850
------------
UTILITIES 7.5%
Alliant Energy Corp. 80,000 1,522,400
Ameren Corp. 27,000 1,190,700
Black Hills Corp. 9,200 282,440
Constellation Energy Group, Inc. 49,000 1,680,700
Peoples Energy Corp. 5,200 223,028
Pepco Holdings, Inc. 61,000 1,168,760
PNM Resources, Inc. 23,400 625,950
WGL Holdings, Inc. 15,000 400,500
Wisconsin Energy Corp. 56,000 1,624,000
------------
8,718,478
------------
TOTAL COMMON STOCKS
(COST: $101,414,130) 108,870,091
------------
47
MID-CAP STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INVESTMENT COMPANIES: 14.5%
Nations Cash Reserves Fund 1,000,867 $ 1,000,867
SSgA Prime Money Market Fund 5,746,696 5,746,696
State Street Navigator Securities Lending
Prime Portfolio (H) 10,082,810 10,082,810
-----------
16,830,373
-----------
TOTAL INVESTMENT COMPANIES
(COST: $16,830,373) 16,830,373
-----------
MATURITY PAR
DATE AMOUNT
---- ------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 0.2 %
Federal Home Loan Bank, Zero Coupon 10/20/03 $200,000 199,445
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST: $199,445) 199,445
------------
CERTIFICATE OF DEPOSIT: 0.7 %
State Street Eurodollar 750,000 750,000
------------
TOTAL CERTIFICATE OF DEPOSIT
(COST: $750,000) 750,000
------------
TOTAL INVESTMENTS 109.4 % $126,649,909
(COST: $119,193,948)
NET OTHER ASSETS AND LIABILITIES (9.4)% (10,835,551)
----- ------------
TOTAL NET ASSETS 100.0 % $115,814,358
===== ============
* Non-income producing
(H) Represents collateral held in connection with securities lending.
See accompanying notes to financial statements.
48
MULTI-CAP GROWTH STOCK FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 95.6%
CONSUMER DISCRETIONARY 7.1%
AutoZone, Inc. * 11,600 $ 881,252
Clear Channel Communications, Inc. * 50,490 2,140,271
Cumulus Media, Inc., Class A * 21,570 408,320
Hollywood Entertainment Corp. * 51,930 893,196
International Game Technology * 10,200 1,043,766
Leapfrog Enterprises, Inc. * 7,640 243,028
Mattel, Inc. 50,000 946,000
NIKE, Inc., Class B 16,200 866,538
Pacific Sunwear of California, Inc. * 13,200 317,988
Quiksilver, Inc. * 1,540 25,395
Ryanair Holdings PLC, ADR * 18,200 817,180
Scientific Games Corp., Class A * 46,480 436,912
TJX Companies, Inc. 99,000 1,865,160
-----------
10,885,006
-----------
CONSUMER SERVICES 14.0%
Administaff, Inc. * 22,540 232,162
Apollo Group, Inc., Class A * 112,100 6,923,296
Career Education Corp. * 6,420 439,257
CNF, Inc. 13,780 349,736
InterActiveCorp. * 143,700 5,686,209
Lamar Advertising Co. * 33,200 1,168,972
Omnicom Group, Inc. 92,700 6,646,590
-----------
21,446,222
-----------
CONSUMER STAPLES 0.5%
Panera Bread Co., Class A * 7,750 310,000
Smithfield Foods, Inc. * 17,200 394,224
-----------
704,224
-----------
ENERGY 1.7%
Chesapeake Energy Corp. 45,540 459,954
EOG Resources, Inc. 22,600 945,584
XTO Energy, Inc. 62,240 1,251,646
-----------
2,657,184
-----------
FINANCIALS 11.1%
American International Group, Inc. 86,331 4,763,745
AMERIGROUP Corp. * 9,180 341,496
Arch Capital Group, Ltd. * 11,890 412,940
Brown & Brown, Inc. 13,950 453,375
Citigroup, Inc. 148,194 6,342,703
Countrywide Credit Industries, Inc. 51,500 3,582,855
Legg Mason, Inc. 13,500 876,825
Providian Financial Corp. * 31,820 294,653
-----------
17,068,592
-----------
HEALTH CARE 28.1%
Abbott Laboratories 76,300 3,338,888
Abgenix, Inc. * 27,310 286,482
AmerisourceBergen Corp. 14,100 977,835
Amsurg Corp. * 10,690 326,045
Anthem, Inc. * 11,200 864,080
AstraZeneca PLC, ADR 122,500 4,994,325
Cardinal Health, Inc. 38,700 2,488,410
Cephalon, Inc. * 7,600 312,816
CV Therapeutics, Inc. * 7,490 222,153
Digene Corp. * 8,200 223,286
Edwards Lifesciences Corp. * 10,010 321,721
49
MULTI-CAP GROWTH STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
HEALTH CARE (CONTINUED)
Eli Lilly & Co. 88,680 $ 6,116,260
Guidant Corp. 103,500 4,594,365
Health Management Associates, Inc. 47,700 880,065
Human Genome Sciences, Inc. * 16,810 213,823
INAMED Corp. * 8,900 477,841
McKesson Corp. 16,100 575,414
Medicines Co. * 12,440 244,944
Millennium Pharmaceuticals, Inc. * 49,340 776,118
NPS Pharmaceuticals, Inc. * 12,400 301,816
OSI Pharmaceuticals, Inc. * 7,450 239,965
Osteotech, Inc. * 31,800 432,162
Schering-Plough Corp. 318,600 5,925,960
VCA Antech, Inc. * 21,570 422,125
Waters Corp. * 38,400 1,118,592
Watson Pharmaceuticals, Inc. * 26,500 1,069,805
WellPoint Health Networks, Inc. * 63,850 5,382,555
-----------
43,127,851
-----------
INDUSTRIALS 1.0%
ASE Test, Ltd. * 73,020 401,610
Bunge, Ltd. 15,920 455,312
PACCAR, Inc. 9,800 662,088
-----------
1,519,010
-----------
INFORMATION TECHNOLOGY 27.9%
Analog Devices, Inc. * 57,500 2,002,150
Applied Materials, Inc. * 244,300 3,874,598
Business Objects S.A., ADR * 5,710 125,334
CheckFree Corp. * 20,810 579,350
DALSA Corp. * 28,930 343,554
Dell Computer Corp. * 228,520 7,303,499
DSP Group, Inc. 14,370 309,386
eBay, Inc. * 39,200 4,083,856
eResearch Technology, Inc. * 5,110 113,238
First Data Corp. 176,040 7,295,098
Hyperion Solutions Corp. * 14,620 493,571
Lexar Media, Inc. * 49,100 468,414
McDATA Corp., Class A * 24,100 353,547
MEMC Electronic Materials, Inc. * 47,330 463,834
Microsoft Corp. 232,200 5,946,642
Nam Tai Electronics, Inc. 9,430 399,832
Network Appliance, Inc. * 43,900 711,619
PeopleSoft, Inc. * 57,300 1,007,907
Pericom Semiconductor Corp. * 26,600 247,380
Red Hat, Inc. * 85,840 649,809
Siebel Systems, Inc. * 53,100 506,574
Symantec Corp. * 18,400 807,024
VeriSign, Inc. * 91,240 1,261,849
Western Digital Corp. * 24,970 257,191
Yahoo!, Inc. * 98,800 3,236,688
-----------
42,841,944
-----------
TELECOMMUNICATIONS 3.4%
American Tower Corp., Class A * 112,160 992,616
Crown Castle International Corp. * 53,980 419,425
EchoStar Communications Corp., Class A * 59,960 2,075,815
Nextel Communications, Inc., Class A * 54,100 978,128
Univision Communications, Inc., Class A * 22,100 671,840
-----------
5,137,824
-----------
TRANSPORTATION 0.8%
JetBlue Airways Corp. * 27,655 1,169,530
-----------
50
MULTI-CAP GROWTH STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
TOTAL COMMON STOCKS
(COST: $127,458,924) $146,557,387
------------
INVESTMENT COMPANIES: 15.4 %
iShares Russell 2000 Growth Index Fund (ETF) 10,700 505,575
SSgA Prime Money Market Fund 6,683,496 6,683,496
State Street Navigator Securities Lending
Prime Portfolio (H) 16,487,575 16,487,575
------------
23,676,646
------------
TOTAL INVESTMENT COMPANIES
(COST: $23,681,231) 23,676,646
------------
TOTAL INVESTMENTS 111.0 % $170,234,033
(COST: $151,140,155)
NET OTHER ASSETS AND LIABILITIES (11.0)% (16,924,082)
----- ------------
TOTAL NET ASSETS 100.0 % $153,309,951
===== ============
* Non-income producing
(H) Represents collateral held in connection with securities lending.
ADR American Depository Receipt
ETF Exchange Traded Fund
PLC Public Limited Company
See accompanying notes to financial statements.
51
GLOBAL SECURITIES FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 92.4%
AUSTRALIA 0.5%
Australia and New Zealand Bank Group, Ltd. 4,971 $ 62,116
--------
BERMUDA 0.9%
ACE, Ltd. 3,437 117,855
--------
BRAZIL 1.6%
Companhia De Bebidas, ADR 3,983 81,054
Embraer Aircraft Corp., ADR 6,580 125,678
--------
206,732
--------
CANADA 2.5%
Bombardier, Inc. 9,600 32,360
Encana Corp. 2,460 93,809
Husky Energy, Inc. 9,400 121,335
Manulife Financial Corp. 2,647 74,563
--------
322,067
--------
FINLAND 0.5%
Nokia Oyj, ADR 3,500 57,505
--------
FRANCE 7.4%
Alcatel S.A. 7,130 64,380
Aventis S.A. 1,920 105,808
Carrefour S.A. 1,230 60,384
Essilor International S.A. 1,130 45,596
France Telecom S.A. 2,740 67,320
JC Decaux S.A. * 3,000 37,613
Sanofi-Synthelabo S.A. 4,235 248,437
Societe BIC S.A. 1,715 66,874
Societe Generale 2,820 179,053
Total S.A., Series B 390 59,036
--------
934,501
--------
GERMANY 1.3%
Allianz AG Holdings NPV 1,549 128,962
MLP AG 2,397 35,843
--------
164,805
--------
HONG KONG 2.0%
Hong Kong and China Gas Co., Ltd. 56,200 70,988
Hutchison Whampoa, Ltd. 10,000 60,912
Television Broadcasts, Ltd. 33,216 118,626
--------
250,526
--------
INDIA 2.8%
Hindustan Lever, Ltd. 30,300 116,656
ICICI Bank, Ltd. 11,925 86,695
Infosys Technologies, Ltd. 1,300 91,571
Zee Telefilms, Ltd. 34,000 64,662
--------
359,584
--------
ISRAEL 0.5%
Teva Pharmaceutical Industries, Ltd., ADR 1,200 68,316
--------
ITALY 0.4%
ENI SpA 3,600 54,536
--------
52
GLOBAL SECURITIES FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
JAPAN 8.9%
7-Eleven Japan Co., Ltd. 2,000 $ 49,894
Canon, Inc. 1,000 45,972
Credit Saison Co., Ltd. 3,500 57,499
Eisai Co., Ltd. 3,000 61,825
KDDI Corp. 98 380,209
Keyence Corp. 200 36,711
Murata Manufacturing Co., Ltd. 1,600 63,010
Sharp Corp. 12,000 154,286
Shionogi & Co., Ltd. 3,000 40,724
Shiseido Co., Ltd. 5,000 48,684
Takeda Chemical Industries, Ltd. 1,600 59,138
Trend Micro, Inc. * 3,500 54,462
Yahoo Japan Corp. * 5 81,348
----------
1,133,762
----------
MEXICO 1.9%
Fomento Economico Mexicano, S.A. de C.V. 20,100 82,712
Grupo Modelo, S.A. de C.V. 27,100 61,724
Grupo Televisa, S.A. de C.V., ADR * 2,873 99,118
----------
243,554
----------
NETHERLANDS 3.5%
ABN AMRO Holding N.V. 10,000 191,517
Aegon N.V. 11,400 114,344
Qiagen N.V. * 5,900 49,880
Wolters Kluwer CVA 7,382 89,157
----------
444,898
----------
NORWAY 0.7%
Tandberg ASA * 16,300 84,509
----------
SINGAPORE 0.8%
Singapore Press Holdings, Ltd. 10,155 105,544
----------
SOUTH KOREA 1.7%
Samsung Electronics Co., Ltd. 430 127,794
SK Telecom Co., Ltd., ADR 4,500 84,870
----------
212,664
----------
SPAIN 0.5%
Amadeus Global Travel Distribution S.A. 10,067 57,782
----------
SWEDEN 1.0%
Telefonaktiebolaget LM Ericsson * 117,600 126,496
----------
SWITZERLAND 0.9%
Novartis AG 2,712 107,549
----------
UNITED KINGDOM 11.2%
Amersham PLC 5,760 43,295
Boots Group PLC 7,151 76,652
BP PLC, ADR 2,988 125,556
Cadbury Schweppes PLC 10,132 59,955
Diageo PLC 2,900 31,013
Dixons Group PLC 60,170 131,281
Pearson PLC 9,870 92,338
Reckitt Benckiser PLC 11,590 213,027
Reed Elsevier PLC 14,124 117,720
Rentokil Initial PLC 21,087 65,963
Royal Bank of Scotland Group PLC 6,437 180,875
53
GLOBAL SECURITIES FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
UNITED KINGDOM (CONTINUED)
Smith & Nephew PLC 9,420 $ 54,224
Vodafone Group PLC 117,390 229,930
----------
1,421,829
----------
UNITED STATES 40.9%
Advanced Micro Devices, Inc. * 11,700 74,997
Affymetrix, Inc. * 2,800 55,188
Amdocs, Ltd. * 2,900 69,600
American Express Co. 2,970 124,176
Amgen, Inc. * 1,950 129,558
Applera Corp.- Applied Biosystems Group 3,500 66,605
Bank One Corp. 6,629 246,466
Berkshire Hathaway, Inc., Class B * 55 133,650
Boeing Co. 2,000 68,640
Broadcom Corp., Class A * 2,500 62,275
Burlington Resources, Inc. 1,100 59,477
Cadence Design Systems, Inc. * 27,071 326,476
Charles Schwab Corp. 6,400 64,576
ChevronTexaco Corp. 1,608 116,098
Circuit City Stores-Circuit Group 9,000 79,200
Citigroup, Inc. 1,270 54,356
Electronic Arts, Inc * 952 70,438
Fannie Mae 810 54,626
Gap, Inc. 3,700 69,412
Gilead Sciences, Inc. * 2,480 137,838
Gillette Co. 3,600 114,696
Human Genome Sciences, Inc. * 2,100 26,712
IDEC Pharmaceuticals Corp. * 1,200 40,800
IMS Health, Inc. 3,700 66,563
International Business Machine Corp. 773 63,773
International Flavours & Fragrances, Inc. 3,682 117,566
International Game Technology * 1,050 107,447
JDS Uniphase Corp. * 31,900 111,969
Johnson & Johnson 2,317 119,789
Lockheed Martin Corp. 1,600 76,112
MBNA Corp. 2,900 60,436
Millennium Pharmaceuticals, Inc. * 2,000 31,460
Mylan Laboratories, Inc. 2,000 69,540
National Semiconductor Corp. * 7,600 149,872
Network Appliance, Inc. * 1,800 29,178
Northern Trust Corp. 800 33,432
Northrop Grumman Corp. 900 77,661
Novellus Systems, Inc. * 1,700 62,256
NVIDIA Corp. * 1,200 27,612
Oxford Health Plans, Inc. * 1,600 67,248
Panera Bread Co., Class A * 900 36,000
Pfizer, Inc. 3,660 124,989
QUALCOMM, Inc. 7,400 264,550
Quest Diagnostics, Inc. * 1,900 121,220
RadioShack Corp. 2,300 60,513
Raytheon Co. 4,100 134,644
SanDisk Corp. * 900 36,315
Schering-Plough Corp. 3,000 55,800
Scientific-Atlanta, Inc. 5,350 127,544
Sirius Satellite Radio, Inc. * 155,766 263,245
Starbucks Corp. * 2,300 56,396
Sybase, Inc. * 3,854 53,609
Symantec Corp. * 400 17,544
Synopsys, Inc. * 2,127 131,555
VERITAS Software Corp. * 1,100 31,537
Wachovia Corp. 4,219 168,591
----------
5,201,826
----------
54
GLOBAL SECURITIES FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
TOTAL COMMON STOCKS
(COST: $11,662,844) $11,738,956
-----------
PREFERRED STOCKS: 3.2%
BRAZIL 0.8%
Tele Norte Leste Participacoes S.A. 8,240,189 95,384
-----------
GERMANY 2.4%
Fresenius AG 1,666 78,856
Porsche AG 536 227,501
-----------
306,357
-----------
TOTAL PREFERRED STOCKS
(COST: $444,008) 401,741
-----------
COUPON MATURITY PAR
RATE DATE AMOUNT
---- ---- ------
CONVERTIBLE BONDS: 0.2%
UNITED STATES 0.2%
Nektar Therapeutics (C) 3.000% 06/30/10 $25,000 25,000
------
TOTAL CONVERTIBLE BONDS
(COST: $25,000) 25,000
------
SHARES
------
INVESTMENT COMPANY: 9.6%
UNITED STATES
State Street Navigator Securities Lending
Prime Portfolio (H) 1,225,224 1,225,224
-----------
TOTAL INVESTMENT COMPANY
(COST: $1,225,224) 1,225,224
-----------
TOTAL INVESTMENTS 105.4% $13,390,921
(COST: $13,357,076)
NET OTHER ASSETS AND LIABILITIES (5.4)% (681,993)
----- -----------
TOTAL NET ASSETS 100.0% $12,708,928
===== ===========
* Non-income producing
(C) Restricted security sold within the terms of a private placement
memorandum exempt from registration under section 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "qualified institutional investors." The
securities have been determined to be liquid under guidelines
established by the Board of Trustees.
(H) Represents collateral held in connection with securities lending.
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
55
GLOBAL SECURITIES FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
OTHER INFORMATION:
Industry Categories as a Percentage of Net Assets: % of Net Assets
---------------
Drugs & Health Care 12.3%
Telecommunications 8.9%
Banks 5.6%
Financial Services 5.6%
Oil & Gas 5.0%
Computer Software/Services 4.8%
Electronics 4.7%
Insurance 4.5%
Net Other Assets and Liabilities 4.2%
Retail 4.1%
Aerospace 4.1%
Telephone 3.7%
Communication Services 3.7%
Medical Products/Supplies 3.3%
Cosmetics & Toiletries 3.0%
Food & Beverages 2.5%
Publishing 2.3%
Computers & Business Equipment 2.0%
Semiconductors 1.9%
Finance & Banking 1.9%
Automobiles 1.8%
Business Services 1.4%
Media-TV/Radio/Cable 1.4%
Software 1.4%
Medical Services 1.0%
Chemicals 0.9%
Household Products 0.9%
Entertainment 0.8%
Hotels & Restaurants 0.7%
Gas & Pipeline Utilities 0.6%
Manufacturing 0.5%
Transportation 0.5%
-----
100.0%
=====
56
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
COMMON STOCKS: 95.5%
ARGENTINA 0.2%
Tenaris S.A., ADR 1,678 $ 42,789
-----------
AUSTRALIA 2.0%
BHP, Ltd. 65,722 381,275
John Fairfax Holdings, Ltd. 22,500 43,510
Macquarie Infrastructure Group 29,600 71,351
TABCORP Holdings, Ltd. 8,900 64,360
-----------
560,496
-----------
AUSTRIA 0.2%
Erste Bank der oesterreichischen Sparkassen AG 740 65,499
-----------
BELGIUM 1.0%
Ackermans & van Haaren N.V. 2,000 37,958
Fortis Group 12,300 213,919
Solvus S.A. 3,818 30,083
Solvus S.A. Strip VVPR 218 3
-----------
281,963
-----------
BRAZIL 1.6%
Banco Itau S.A., ADR 2,191 74,275
Brasil Telecom Participacoes S.A., ADR 800 29,960
Brasileira Distribuicao Pao de Acucar, ADR 1,820 27,919
Companhia De Bebidas, ADR 3,020 61,457
Companhia Vale do Rio Doce, ADR 2,250 66,735
Copel, ADR 12,700 38,100
Embraer Aircraft Corp., ADR 3,400 64,940
Souza Cruz S.A. 7,800 64,375
-----------
427,761
-----------
CHILE 0.3%
AFP Provida, ADR 3,950 94,918
-----------
CHINA 0.7%
Beijing Capital Land, Ltd., Class H * 21,000 3,905
China Mobile HK, Ltd., ADR 6,200 72,974
CNOOC, Ltd., ADR 3,590 106,623
Sinotrans, Ltd. * 25,000 7,053
-----------
190,555
-----------
CROATIA 0.3%
Pliva d.d., GDR (C) 6,000 83,048
-----------
DENMARK 0.9%
ISS A/S 1,000 35,756
Novo Nordisk A/S 6,200 217,371
-----------
253,127
-----------
EGYPT 0.3%
Commercial International Bank of Egypt 5,700 34,827
Egypt Mobile Telecom 5,804 51,755
-----------
86,582
-----------
57
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
FINLAND 2.5%
Amer Group, Ltd. 2,800 $ 85,735
Nokia Oyj 28,900 476,693
Samp Leonia Insurance 6,800 49,981
TietoEnator Oyj 2,500 42,157
Vaisala Oyj 2,100 42,513
-----------
697,079
-----------
FRANCE 6.9%
BNP Paribas 5,180 263,655
Carbone-Lorraine S.A. 1,700 46,246
Carrefour S.A. 3,450 169,370
Credit Agricole S.A. 8,600 163,715
Euronext N.V. 2,600 64,568
GrandVision S.A. 2,800 57,973
Lagardere S.C.A. 4,870 212,025
Neopost S.A. * 2,100 89,374
Schneider Electric S.A. 3,300 155,401
Societe BIC S.A. 2,100 81,886
Total S.A., Series B 3,780 572,190
Union Financiere de France Banque S.A. 1,000 25,305
-----------
1,901,708
-----------
GERMANY 1.9%
Bayerische Motoren Werke (BMW) AG 2,700 104,040
Deutsche Telekom AG 5,900 90,192
Medion AG 1,000 43,549
Puma AG 400 39,799
Siemens AG NPV 2,900 142,502
Stada Arzneimittel AG 1,100 70,096
Techem AG * 2,200 27,153
-----------
517,331
-----------
GREECE 0.2%
Greek Organization of Football Prognostics 4,340 44,330
Vodafone Panafon S.A. 2,550 17,012
-----------
61,342
-----------
HONG KONG 1.7%
CLP Holdings, Ltd. 37,500 163,020
Esprit Asia Holdings, Ltd. 40,545 99,307
Hong Kong and China Gas Co., Ltd. 68,000 85,892
Tingyi Holdings Corp. 186,000 34,108
Yue Yuen Industrial Holdings, Ltd. 27,000 69,074
-----------
451,401
-----------
HUNGARY 0.5%
EGIS Rt. 840 28,647
Gedeon Richter Rt. 1,420 100,255
-----------
128,902
-----------
INDIA 1.3%
Hindalco Industries, Ltd., GDR (C) 2,900 46,489
Hindustan Lever, Ltd. 9,800 37,730
Punjab National Bank, Ltd. * 2,400 8,031
Reliance Industries, Ltd. (C) 5,570 77,815
Satyam Computer Services 13,800 57,269
State Bank of India, GDR (C) 7,700 127,323
-----------
354,657
-----------
58
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INDONESIA 0.8%
HM Sampoerna Tbk PT 188,500 $ 94,821
PT Bank Mandiri * 194,000 15,873
Telekomunikasi Indonesia 28,000 15,697
Telekomunikasi Indonesia, ADR 7,000 78,400
-----------
204,791
-----------
IRELAND 3.1%
Allied Irish Banks PLC IE 9,748 146,774
Allied Irish Banks PLC GB 3,000 44,894
Anglo Irish Bank Corp. 7,855 69,571
Bank of Ireland 3,500 42,312
Bank of Ireland - Ord 20,800 252,411
CRH PLC IE 10,968 172,208
CRH PLC GB 2,700 42,579
DCC PLC 4,800 64,598
Uts Waterford Wedgwood 83,321 23,001
-----------
858,348
-----------
ISRAEL 0.4%
Bank Hapoalim, Ltd. * 24,800 52,639
Koor Industries, Ltd. * 2,371 49,281
-----------
101,920
-----------
ITALY 5.0%
Alleanza Assicurazioni SpA 17,750 169,052
Davide Campari-Milano SpA 1,700 65,213
ENI SpA 20,200 306,006
Interpump Group SpA 15,400 62,530
Natuzzi SpA, ADR 3,800 30,476
Snam Rete Gas SpA 44,500 175,057
Telecom Italia SpA 60,600 549,277
-----------
1,357,611
-----------
JAPAN 10.5%
ACOM Co., Ltd. 4,700 170,189
Belluna Co., Ltd. 1,200 49,059
Canon, Inc. 8,000 367,778
Daito Trust Construction Co., Ltd. 2,000 42,134
East Japan Railway Co. 43 191,581
Fanuc, Ltd. 2,300 114,180
Hisamitsu Pharmaceutical Co., Inc. 3,000 33,290
Honda Motor Co., Ltd. 2,000 75,925
Kao Corp. 13,000 242,418
KOSE Corp. 1,100 35,977
Nippon Ceramic Co., Ltd. 2,000 19,156
Nissan Motor Co., Ltd. 50,000 478,912
Nissin Kogyo Co., Ltd. 2,300 45,768
NTT DoCoMo, Inc. 170 368,779
Sammy Corp. 1,700 46,097
Secom Techno Service Co., Ltd. 1,000 20,775
Suruga Bank, Ltd. 7,000 40,357
Takeda Chemical Industries, Ltd. 8,800 325,260
Tokyo Gas Co., Ltd. 45,000 129,532
USS Co., Ltd. 1,150 58,337
Yoshinoya D&C Co., Ltd. 18 27,934
-----------
2,883,438
-----------
59
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
MEXICO 1.7%
America Telecom, S.A. de C.V., Series A1 * 53,600 $ 50,268
Carso Global Telecom, Series A1 * 18,900 24,020
Cemex S.A., ADR 1,880 41,905
Femsa, ADR 1,260 51,912
Grupo Financiero Banorte, Series O 25,800 72,836
Grupo Televisa, S.A. de C.V., ADR * 1,550 53,475
Kimberly-Clark de Mexico, Class A 16,800 45,017
Telefonos de Mexico, ADR 3,660 114,997
-----------
454,430
-----------
NETHERLANDS 7.6%
ABN AMRO Holding N.V. 15,200 291,105
Boskalis Westminster N.V. 2,886 70,974
Fugro N.V. 2,048 84,810
Heineken N.V. 6,987 248,337
Hunter Douglas N.V. 3,241 108,098
IHC Caland N.V. 1,162 59,425
Imtech N.V. 3,100 57,516
Koninklijke KPN * 30,900 219,299
Philips Electronics N.V. 11,500 219,054
Royal Dutch Petroleum Co. 13,700 636,956
Telegraag Holdings 2,700 43,479
United Services Group N.V. 2,575 30,359
-----------
2,069,412
-----------
NORWAY 0.8%
Den Norske Bank ASA 8,200 40,468
Ekornes ASA 5,900 78,927
Statoil ASA 10,800 92,075
-----------
211,470
-----------
PERU 0.2%
Credicorp, Ltd. 4,400 43,560
-----------
PHILIPPINES 0.4%
Philippine Long Distance Telephone Co., ADR * 4,200 45,234
San Miguel Corp., Class B 43,100 50,786
-----------
96,020
-----------
RUSSIA 0.5%
Lukoil, ADR 810 63,990
Wimm-Bill-Dann Foods OJSC, ADR * 2,980 60,494
-----------
124,484
-----------
SINGAPORE 1.3%
Overseas Chinese Banking Corp., Ltd. 24,000 136,306
United Overseas Bank, Ltd. 23,000 161,976
Want Want Holdings, Ltd. 64,000 49,920
-----------
348,202
-----------
SOUTH AFRICA 2.4%
ABSA Group, Ltd. 20,150 94,599
Impala Platinum Holdings, Ltd. 970 57,798
Iscor, Ltd. 42,494 90,835
Kumba Resources, Ltd. 24,000 96,513
Old Mutual 25,600 37,025
Sanlam, Ltd. 64,700 60,508
Sappi, Ltd. 4,040 48,739
Sasol, Ltd. 5,690 63,514
Steinhoff International Holdings, Ltd. 57,300 50,525
Telkom South Africa, Ltd. * 11,100 57,465
-----------
657,521
-----------
60
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
SOUTH KOREA 2.9%
Daewoo Shipbuilding & Marine
Engineering Co., Ltd., GDR * 1,500 $ 24,900
Hite Brewery Co., Ltd. 1,050 56,346
Kookmin Bank 3,501 105,513
KT Corp., ADR 6,200 122,202
LG Household & Health Care, Ltd. 1,300 33,575
Posco, ADR 3,300 86,427
Samsung Electronics, Ltd., GDR (C) 1,260 187,425
Samsung Fire & Marine Insurance 1,280 62,259
Samsung SDI Co., Ltd. 600 45,458
SK Telecom Co., Ltd., ADR 3,900 73,554
-----------
797,659
-----------
SPAIN 3.3%
Abengoa, S.A. 6,000 35,888
Aldeasa, S.A. 2,700 55,592
Altadis, S.A. 11,000 282,409
Banco Pastor, S.A. 2,500 67,002
Corporacion Mapfre S.A. 6,100 65,254
Endesa, S.A. 19,300 323,673
Prosegur, CIA de Seguridad S.A. 5,300 78,460
-----------
908,278
-----------
SWEDEN 1.5%
Alfa Laval 4,000 38,273
Elekta AB * 7,080 87,668
Eniro AB 7,900 67,684
Sandvik AB 7,100 186,043
Swedish Match AB 4,300 32,538
-----------
412,206
-----------
SWITZERLAND 5.2%
Cie Fin Richemont AG UTS 13,800 223,602
Credit Suisse Group 12,900 340,252
Edipresse, S.A. 150 55,490
Gurit-Heberlein AG 30 14,871
Kaba Holding AG, Series B 290 41,410
Novartis AG 6,200 245,872
Roche Holding AG 900 71,060
UBS AG 7,700 429,265
-----------
1,421,822
-----------
TAIWAN 1.2%
Advantech Co., Ltd. 16,000 23,115
Ambit Microsystems Corp. 6,000 18,549
Chinatrust Financial Holding Co., Ltd. * 53,000 42,725
Compal Electronics, Inc., GDR 7,216 48,347
Fubon Financial Holdings Co., Ltd. 8,000 64,028
Fubon Group Co., Ltd. 87,000 69,630
United Microelectronics Corp., ADR 7,499 28,121
United Microelectronics Corp. 67,000 43,170
-----------
337,685
-----------
THAILAND 0.5%
Delta Electronics Public Co., Ltd. 64,300 43,559
PTT PLC 37,500 57,048
Thai Union Frozen Products Public Co., Ltd. 69,100 42,705
-----------
143,312
-----------
TURKEY 0.1%
Turkiye Garanti Bankasi A.S., ADR (C)* 18,229 24,687
-----------
61
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
UNITED KINGDOM 23.4%
Barclays PLC 66,400 $ 493,887
Boots Group PLC 36,900 395,533
BP PLC 55,400 384,826
BT Group PLC 9,470 31,893
Bunzl PLC 5,500 38,614
Cadbury Schweppes PLC 29,400 173,971
Carpetright PLC 6,400 64,318
Cattles PLC 9,700 52,028
Collins Stewart Holdings PLC 10,468 72,671
Davis Service Group PLC 6,700 41,972
Diageo PLC 34,600 370,022
Euromoney Publications PLC 3,400 15,946
FKI PLC 17,175 22,640
GlaxoSmithKline PLC 32,200 650,922
HSBC Holdings PLC 61,500 727,838
Imperial Tobacco Group PLC 19,340 346,204
Intertek Group PLC 10,400 74,691
John Wood Group PLC 23,700 70,513
Kidde PLC 66,700 93,711
Kingfisher PLC 75,900 347,824
Luminar PLC 7,800 58,661
Man Group PLC 4,576 90,462
Northgate PLC 8,600 74,273
Royal Bank of Scotland Group PLC 13,900 390,580
Securicor PLC 26,400 32,509
Signet Group PLC, ADR 1,950 86,600
Singer & Friedlander Group PLC 11,333 27,349
Tesco PLC 55,900 202,581
Trinity Mirror PLC 7,700 54,664
Unilever PLC 27,600 220,117
Vodafone Group PLC 336,800 659,686
William Hill PLC 10,100 47,662
-----------
6,415,168
-----------
VENEZUELA 0.2%
CANTV, ADR 4,531 56,592
-----------
TOTAL COMMON STOCKS
(COST: $24,909,478) 26,127,774
-----------
PREFERRED STOCKS: 0.7%
BRAZIL 0.5%
Caemi Mineracao e Metalurgica S.A. 566,000 96,356
Telemar Norte Leste S.A., Class A 1,900,000 26,179
-----------
122,535
-----------
GERMANY 0.2%
Fielmann AG 1,700 67,658
-----------
TOTAL PREFERRED STOCKS
(COST: $168,110) 190,193
-----------
WARRANTS AND RIGHTS: 0.0%
JAPAN 0.0%
Belluna Co., Ltd., Exp. 09/29/2003* 120 0
-----------
TOTAL WARRANTS AND RIGHTS
(COST: $114) 0
-----------
62
INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2003
(Unaudited)
% NET VALUE
ASSETS SHARES (NOTE 2)
------ ------ --------
INVESTMENT COMPANY: 3.5%
UNITED STATES 3.5%
SSgA Prime Money Market Fund 965,236 $ 965,236
-----------
TOTAL INVESTMENT COMPANY
(COST: $965,236) 965,236
-----------
TOTAL INVESTMENTS 99.7% $27,283,203
(COST: $26,042,938)
NET OTHER ASSETS AND LIABILITIES 0.3% 88,852
----- -----------
TOTAL NET ASSETS 100.0% $27,372,055
===== ===========
* Non-income producing
(C) Restricted security sold within the terms of a private placement
memorandum exempt from registration under section 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "qualified institutional investors." The
securities have been determined to be liquid under guidelines
established by the Board of Trustees.
ADR American Depository Receipt
GDR Global Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
OTHER INFORMATION:
Industry Categories as a Percentage of Net Assets: % of Net Assets
---------------
Banks 18.0%
Oil & Gas 9.9%
Communication Services 7.8%
Drugs & Health Care 7.0%
Retail 6.3%
Telecommunications 6.1%
Food & Beverages 5.4%
Financial Services 4.0%
Net Other Assets and Liabilities 3.8%
Mining 3.4%
Tobacco 3.0%
Automobiles 2.6%
Electronics 2.0%
Computers & Business Equipment 1.9%
Electric Utilities 1.9%
Household Appliances & Home Furnishings 1.9%
Insurance 1.9%
Business Services 1.8%
Manufacturing 1.7%
Electrical Equipment 1.3%
Household Products 1.1%
Leisure Time 1.1%
Industrial Machinery 1.0%
Railroads & Equipment 1.0%
Construction & Mining Equipment 0.9%
Publishing 0.6%
Chemicals 0.5%
Conglomerates 0.5%
Gas & Pipeline Utilities 0.3%
Paper 0.3%
Aerospace 0.2%
Construction Materials 0.2%
Hotels & Restaurants 0.2%
Software 0.2%
Apparel & Textiles 0.1%
Shipbuilding 0.1%
-----
100.0%
=====
63
ULTRA SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2003
(Unaudited)
MONEY HIGH
MARKET BOND INCOME
ASSETS: FUND FUND FUND
---- ---- ----
Investments in securities, at value*
(see accompanying schedule) $ 161,093,276 $ 714,303,106 $ 47,203,455
Foreign currency** -- -- --
Unrealized appreciation of forward
currency contracts -- -- 2,502
Receivables:
Investment securities sold -- -- 88,670
Fund shares sold -- 74,225 144,974
Dividends and interest 372,291 6,062,038 746,957
Foreign tax reclaims -- -- 3,880
------------- ------------- -------------
Total assets 161,465,567 720,439,369 48,190,438
------------- ------------- -------------
LIABILITIES:
Payables:
Investment securities purchased -- 23,668,941 362,635
Upon return of securities loaned -- 98,628,805 6,430,854
Fund shares redeemed 840,169 -- --
Accrued management fees 59,256 272,224 24,454
Accrued expenses and
other payables 3,293 7,930 1,321
------------- ------------- -------------
Total liabilities 902,718 122,577,900 6,819,264
------------- ------------- -------------
Net assets applicable to
outstanding capital stock $ 160,562,849 $ 597,861,469 $ 41,371,174
============= ============= =============
Represented by:
Capital stock and additional
paid-in capital $ 160,562,849 $ 569,041,551 $ 40,319,849
Accumulated undistributed (over-
distributed) net investment income -- 13,386,706 1,168,458
Accumulated net realized gain
(loss) on investments and foreign
currency related transactions -- (6,076,586) (1,436,544)
Unrealized appreciation
(depreciation) on investments
(including appreciation
(depreciation) on foreign
currency related transactions) -- 21,509,798 1,319,411
------------- ------------- -------------
Total net assets - representing
net assets applicable to
outstanding capital stock $ 160,562,849 $ 597,861,469 $ 41,371,174
============= ============= =============
Number of Class Z Shares
issued and outstanding 160,562,849 54,771,355 4,147,230
============= ============= =============
Net asset value per share of
outstanding capital stock $ 1.00 $ 10.92 $ 9.98
============= ============= =============
*Cost of Investments $ 161,093,276 $ 692,793,308 $ 45,886,556
------------- ------------- -------------
**Cost of Foreign Currency $ -- $ -- $ --
------------- ------------- -------------
GROWTH AND CAPITAL
BALANCED INCOME APPRECIATION
ASSETS: FUND STOCK FUND STOCK FUND
---- ---------- ----------
Investments in securities, at value*
(see accompanying schedule) $ 663,786,512 $ 812,484,579 $ 692,796,490
Foreign currency** -- -- --
Unrealized appreciation of forward
currency contracts -- -- --
Receivables:
Investment securities sold -- -- --
Fund shares sold 888,133 978,266 359,905
Dividends and interest 3,214,090 1,405,540 590,502
Foreign tax reclaims -- -- --
------------- ------------- -------------
Total assets 667,888,735 814,868,385 693,746,897
------------- ------------- -------------
LIABILITIES:
Payables:
Investment securities purchased 4,150,444 -- --
Upon return of securities loaned 38,738,764 -- 30,120,950
Fund shares redeemed -- -- --
Accrued management fees 360,922 404,450 439,609
Accrued expenses and
other payables 13,292 23,258 9,095
------------- ------------- -------------
Total liabilities 43,263,422 427,708 30,569,654
------------- ------------- -------------
Net assets applicable to
outstanding capital stock $ 624,625,313 $ 814,440,677 $ 663,177,243
============= ============= =============
Represented by:
Capital stock and additional
paid-in capital $ 631,796,482 $ 875,770,282 $ 816,781,564
Accumulated undistributed (over-
distributed) net investment income 8,956,283 6,325,414 1,627,145
Accumulated net realized gain
(loss) on investments and foreign
currency related transactions (38,603,310) (47,963,576) (171,249,924)
Unrealized appreciation
(depreciation) on investments
(including appreciation
(depreciation) on foreign
currency related transactions) 22,475,858 (19,691,443) 16,018,458
------------- ------------- -------------
Total net assets - representing
net assets applicable to
outstanding capital stock $ 624,625,313 $ 814,440,677 $ 663,177,243
============= ============= =============
Number of Class Z Shares
issued and outstanding 36,789,504 33,671,097 41,713,399
============= ============= =============
Net asset value per share of
outstanding capital stock $ 16.98 $ 24.19 $ 15.90
============= ============= =============
*Cost of Investments $ 641,310,654 $ 832,176,022 $ 676,778,032
------------- ------------- -------------
**Cost of Foreign Currency $ -- $ -- $ --
------------- ------------- -------------
See accompanying notes to financial statements.
64
ULTRA SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
June 30, 2003
(Unaudited)
MID-CAP MULTI-CAP GLOBAL INTERNATIONAL
STOCK GROWTH STOCK SECURITIES STOCK
ASSETS: FUND FUND FUND FUND
---- ---- ---- ----
Investments in securities, at value*
(see accompanying schedule) $ 126,649,909 $ 170,234,033 $ 13,390,921 $ 27,283,203
Foreign currency** -- -- 15,454 231,813
Receivables:
Investment securities sold 251,349 3,250,166 531,217 93,376
Fund shares sold 265,630 210,301 1,894 80,299
Dividends and interest 75,582 37,064 13,962 77,798
Foreign tax reclaims -- 28 6,118 30,402
------------- ------------- ------------- -------------
Total assets 127,242,470 173,731,592 13,959,566 27,796,891
------------- ------------- ------------- -------------
LIABILITIES:
Payables:
Investment securities purchased 1,248,093 3,826,582 14,269 388,980
Upon return of securities loaned 10,082,810 16,487,575 1,225,224 --
Fund shares redeemed -- -- -- --
Accrued management fees 94,841 105,419 9,932 26,830
Accrued expenses and
other payables 2,368 2,065 1,213 9,026
------------- ------------- ------------- -------------
Total liabilities 11,428,112 20,421,641 1,250,638 424,836
------------- ------------- ------------- -------------
Net assets applicable to
outstanding capital stock $ 115,814,358 $ 153,309,951 $ 12,708,928 $ 27,372,055
============= ============= ============= =============
Represented by:
Capital stock and additional
paid-in capital $ 115,355,540 $ 140,657,989 $ 15,331,223 $ 31,238,824
Accumulated undistributed (over-
distributed) net investment income 318,134 (27,779) 67,897 309,663
Accumulated net realized gain
(loss) on investments and foreign
currency related transactions (7,315,277) (6,414,139) (2,724,493) (5,422,697)
Unrealized appreciation
(depreciation) on investments
(including appreciation
(depreciation) on foreign
currency related transactions) 7,455,961 19,093,880 34,301 1,246,265
------------- ------------- ------------- -------------
Total net assets - representing
net assets applicable to
outstanding capital stock $ 115,814,358 $ 153,309,951 $ 12,708,928 $ 27,372,055
============= ============= ============= =============
Number of Class Z Shares
issued and outstanding 9,263,558 28,572,078 1,648,226 3,473,427
============= ============= ============= =============
Net asset value per share of
outstanding capital stock $ 12.50 $ 5.37 $ 7.71 $ 7.88
============= ============= ============= =============
*Cost of Investments $ 119,193,948 $ 151,140,155 $ 13,357,076 $ 26,042,938
------------- ------------- ------------- -------------
**Cost of Foreign Currency $ -- $ -- $ 15,512 $ 228,989
------------- ------------- ------------- -------------
See accompanying notes to financial statements.
65
ULTRA SERIES FUND
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 2003
(Unaudited)
MONEY HIGH GROWTH AND CAPITAL
MARKET BOND INCOME BALANCED INCOME APPRECIATION
FUND FUND FUND FUND STOCK FUND STOCK FUND
---- ---- ---- ---- ---------- ----------
Investment income:
Interest income $ 1,124,539 $ 14,253,540 $ 1,275,424 $ 7,454,711 $ 197,917 $ 140,962
Dividend income -- 2,124 11,213 2,975,111 7,846,208 3,652,024
Less: Foreign taxes withheld -- -- -- (28,921) (55,058) --
Securities lending income -- 44,212 4,013 23,147 4,732 57,309
------------- ------------- ------------- ------------- ------------- -------------
Total income 1,124,539 14,299,876 1,290,650 10,424,048 7,993,799 3,850,295
------------- ------------- ------------- ------------- ------------- -------------
Expenses:
Management fees 383,697 1,583,657 116,042 2,049,391 2,232,469 2,396,379
Trustees' fees 659 985 519 1,050 1,229 1,068
Audit fees 2,633 6,945 802 7,796 10,154 8,027
------------- ------------- ------------- ------------- ------------- -------------
Total expenses 386,989 1,591,587 117,363 2,058,237 2,243,852 2,405,474
------------- ------------- ------------- ------------- ------------- -------------
Net investment income 737,550 12,708,289 1,173,287 8,365,811 5,749,947 1,444,821
------------- ------------- ------------- ------------- ------------- -------------
Realized and unrealized
gain (loss) on investments:
Net realized gain (loss)
on investments (including
net realized gain (loss) on
foreign currency related
transactions) 2,819 3,581,208 79,243 (10,038,089) (22,901,432) (54,809,769)
Net change in unrealized
appreciation (depreciation)
on:
Investments (including
net unrealized appreciation
(depreciation) on foreign
currency related transactions) -- 1,106,960 1,746,274 42,288,162 82,644,342 125,541,322
------------- ------------- ------------- ------------- ------------- -------------
Net gain (loss) on investments 2,819 4,688,168 1,825,517 32,250,073 59,742,910 70,731,553
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations $ 740,369 $ 17,396,457 $ 2,998,804 $ 40,615,884 $ 65,492,857 $ 72,176,374
============= ============= ============= ============= ============= =============
See accompanying notes to financial statements.
66
ULTRA SERIES FUND
STATEMENTS OF OPERATIONS (CONTINUED)
Six Months Ended June 30, 2003
(Unaudited)
MID-CAP MULTI-CAP GLOBAL INTERNATIONAL
STOCK GROWTH STOCK SECURITIES STOCK
FUND FUND FUND FUND
------------ ------------ ------------ ------------
Investment income:
Interest income $ 24,720 $ 26,026 $ 2,725 $ 5,671
Dividend income 774,453 360,844 127,470 489,719
Less: Foreign taxes withheld -- (3,102) (11,571) (51,957)
Securities lending income 10,254 4,413 1,018 --
------------ ------------ ------------ ------------
Total income 809,427 388,181 119,642 443,433
------------ ------------ ------------ ------------
Expenses:
Management fees 510,248 415,371 50,934 129,650
Trustees' fees 594 567 257 514
Audit fees 1,774 1,421 374 737
------------ ------------ ------------ ------------
Total expenses 512,616 417,359 51,565 130,901
------------ ------------ ------------ ------------
Net investment income (loss) 296,811 (29,178) 68,077 312,532
------------ ------------ ------------ ------------
Realized and unrealized
gain (loss) on investments:
Net realized loss
on investments (including
net realized gain (loss) on
foreign currency related
transactions) (3,103,053) 804,334 (665,548) (616,797)
Net change in unrealized
appreciation (depreciation)
on:
Investments (including
net unrealized appreciation
(depreciation) on foreign
currency related transactions) 14,020,365 15,355,031 1,861,083 2,577,177
------------ ------------ ------------ ------------
Net gain (loss) on investments 10,917,312 16,159,365 1,195,535 1,960,380
------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations $ 11,214,123 $ 16,130,187 $ 1,263,612 $ 2,272,912
============ ============ ============ ============
See accompanying notes to financial statements.
67
ULTRA SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUND BOND FUND
----------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002 (UNAUDITED) DECEMBER 31, 2002
---------------- ----------------- ---------------- -----------------
Operations:
Net investment income $ 737,550 $ 2,631,838 $ 12,708,289 $ 23,222,392
Net realized gain (loss) on
investments 2,819 55,069 3,581,208 (1,636,641)
Net change in unrealized appreciation
or depreciation on investments -- -- 1,106,960 15,699,677
------------- ------------- ------------- -------------
Change in net assets from
operations 740,369 2,686,907 17,396,457 37,285,428
------------- ------------- ------------- -------------
Distributions to shareholders:
From net investment income (740,369) (2,686,907) -- (22,701,171)
------------- ------------- ------------- -------------
Change in net assets from
distributions (740,369) (2,686,907) -- (22,701,171)
------------- ------------- ------------- -------------
Class Z Share transactions:
Proceeds from sale of shares 21,793,471 94,605,052 46,569,770 149,353,307
Net asset value of shares issued in
reinvestment of distributions 740,369 2,686,907 -- 22,701,171
------------- ------------- ------------- -------------
22,533,840 97,291,959 46,569,770 172,054,478
Cost of shares repurchased (39,413,890) (94,109,702) (19,598,348) (17,981,772)
------------- ------------- ------------- -------------
Change in net assets from
capital share transactions (16,880,050) 3,182,257 26,971,422 154,072,706
------------- ------------- ------------- -------------
Increase (decrease) in net assets (16,880,050) 3,182,257 44,367,879 168,656,963
Net assets:
Beginning of year 177,442,899 174,260,642 553,493,590 384,836,627
------------- ------------- ------------- -------------
End of year $ 160,562,849 $ 177,442,899 $ 597,861,469 $ 553,493,590
============= ============= ============= =============
Undistributed net investment
income included in net assets $ -- $ -- $ 13,386,706 $ 678,417
============= ============= ============= =============
Other Information:
Class Z Capital Share transactions:
Shares sold 21,793,471 94,605,052 4,339,504 14,085,269
Shares issued in reinvestment of
distributions 740,369 2,686,907 -- 2,144,882
------------- ------------- ------------- -------------
22,533,840 97,291,959 4,339,504 16,230,151
Shares redeemed (39,413,890) (94,109,702) (1,819,542) (1,719,554)
------------- ------------- ------------- -------------
Net increase (decrease) in shares
outstanding (16,880,050) 3,182,257 2,519,962 14,510,597
============= ============= ============= =============
See accompanying notes to financial statements.
68
ULTRA SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
HIGH INCOME FUND BALANCED FUND
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002 (UNAUDITED) DECEMBER 31, 2002
--------------- ----------------- ---------------- -----------------
Operations:
Net investment income $ 1,173,287 $ 1,647,932 $ 8,365,811 $ 19,933,377
Net realized gain (loss) on
investments 79,243 (953,218) (10,038,089) (28,576,652)
Net change in unrealized appreciation
or depreciation on investments 1,746,274 44,616 42,288,162 (70,194,861)
------------- -------------- ------------- -------------
Change in net assets from
operations 2,998,804 739,330 40,615,884 (78,838,136)
------------- -------------- ------------- -------------
Distributions to shareholders:
From net investment income -- (1,675,814) -- (19,329,944)
From net realized gains on investments -- -- -- (11,099)
------------- -------------- ------------- -------------
Change in net assets from
distributions -- (1,675,814) -- (19,341,043)
------------- -------------- ------------- -------------
Class Z Share transactions:
Proceeds from sale of shares 13,038,478 8,179,229 17,580,367 42,903,514
Net asset value of shares issued in
reinvestment of distributions -- 1,675,814 -- 19,341,043
------------- -------------- ------------- -------------
13,038,478 9,855,043 17,580,367 62,244,557
Cost of shares repurchased (516,557) (563,976) (25,814,344) (51,369,698)
------------- -------------- ------------- -------------
Change in net assets derived from
capital share transactions 12,521,921 9,291,067 (8,233,977) 10,874,859
------------- -------------- ------------- -------------
Increase (decrease) in net assets 15,520,725 8,354,583 32,381,907 (87,304,320)
Net assets:
Beginning of year 25,850,449 17,495,866 592,243,406 679,547,726
------------- -------------- ------------- -------------
End of year $ 41,371,174 $ 25,850,449 $ 624,625,313 $ 592,243,406
============= ============== ============= =============
Undistributed (overdistributed)
net investment income
included in net assets $ 1,168,458 ($ 4,829) $ 8,956,283 $ 590,472
============= ============== ============= =============
Other Information:
Class Z Capital Share transactions:
Shares sold 1,344,443 875,103 1,067,724 2,441,895
Shares issued in reinvestment of
distributions -- 185,110 -- 1,208,035
------------- -------------- ------------- -------------
1,344,443 1,060,213 1,067,724 3,649,930
Shares redeemed (55,214) (60,897) (1,649,885) (3,161,654)
------------- -------------- ------------- -------------
Net increase (decrease) in shares
outstanding 1,289,229 999,316 (582,161) 488,276
============= ============== ============= =============
See accompanying notes to financial statements.
69
ULTRA SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GROWTH AND INCOME STOCK FUND CAPITAL APPRECIATION STOCK FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002 (UNAUDITED) DECEMBER 31, 2002
--------------- ----------------- ---------------- -----------------
Operations:
Net investment income $ 5,749,947 $ 12,475,536 $ 1,444,821 $ 1,754,404
Net realized loss on
investments (22,901,432) (24,906,921) (54,809,769) (116,275,766)
Net change in unrealized appreciation or
depreciation on investments 82,644,342 (211,772,949) 125,541,322 (165,099,729)
--------------- --------------- --------------- ---------------
Change in net assets from
operations 65,492,857 (224,204,334) 72,176,374 (279,621,091)
--------------- --------------- --------------- ---------------
Distributions to shareholders:
From net investment income -- (11,900,018) -- (1,623,267)
From net realized gains on investments -- -- -- (220,041)
--------------- --------------- --------------- ---------------
Change in net assets from
distributions -- (11,900,018) -- (1,843,308)
--------------- --------------- --------------- ---------------
Class Z Share transactions:
Proceeds from sale of shares 15,174,595 33,822,491 14,750,243 37,686,571
Net asset value of shares issued in
reinvestment of distributions -- 11,900,018 -- 1,843,308
--------------- --------------- --------------- ---------------
15,174,595 45,722,509 14,750,243 39,529,879
Cost of shares repurchased (31,122,265) (76,377,521) (16,261,534) (36,664,481)
--------------- --------------- --------------- ---------------
Change in net assets from
capital share transactions (15,947,670) (30,655,012) (1,511,291) 2,865,398
--------------- --------------- --------------- ---------------
Increase (decrease) in net assets 49,545,187 (266,759,364) 70,665,083 (278,599,001)
Net assets:
Beginning of year 764,895,490 1,031,654,854 592,512,160 871,111,161
--------------- --------------- --------------- ---------------
End of year $ 814,440,677 $ 764,895,490 $ 663,177,243 $ 592,512,160
=============== =============== =============== ===============
Undistributed net investment
income included in net assets $ 6,325,414 $ 575,467 $ 1,627,145 $ 182,324
=============== =============== =============== ===============
Other Information:
Class Z Capital Share transactions:
Shares sold 656,138 1,292,378 1,013,428 2,177,329
Shares issued in reinvestment of
distributions -- 528,274 -- 130,901
--------------- --------------- --------------- ---------------
656,138 1,820,652 1,013,428 2,308,230
Shares redeemed (1,447,074) (3,267,665) (1,164,203) (2,529,449)
--------------- --------------- --------------- ---------------
Net decrease in shares outstanding (790,936) (1,447,013) (150,775) (221,219)
=============== =============== =============== ===============
See accompanying notes to financial statements.
70
ULTRA SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MID-CAP STOCK FUND MULTI-CAP GROWTH STOCK FUND
------------------------------------ ------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002 (UNAUDITED) DECEMBER 31, 2002
------------- ----------------- ------------- -----------------
Operations:
Net investment income (loss) $ 296,811 $ 585,282 ($ 29,178) $ 7,843
Net realized gain (loss) on
investments (3,103,053) (4,212,682) 804,334 (1,919,167)
Net change in unrealized appreciation
or depreciation on investments 14,020,365 (18,616,215) 15,355,031 3,073,948
------------- ------------- ------------- -------------
Change in net assets from
operations 11,214,123 (22,243,615) 16,130,187 1,162,624
------------- ------------- ------------- -------------
Distributions to shareholders:
From net investment income -- (564,436) -- (6,004)
From net realized gains on investments -- (1,944,324) -- --
------------- ------------- ------------- -------------
Change in net assets from
distributions -- (2,508,760) -- (6,004)
------------- ------------- ------------- -------------
Class Z Share transactions:
Proceeds from sale of shares 7,993,305 28,849,103 64,519,862 65,498,685
Net asset value of shares issued in
reinvestment of distributions -- 2,508,760 -- 6,004
------------- ------------- ------------- -------------
7,993,305 31,357,863 64,519,862 65,504,689
Cost of shares repurchased (5,981,605) (9,430,876) (2,842,859) (5,081,522)
------------- ------------- ------------- -------------
Change in net assets from
capital share transactions 2,011,700 21,926,987 61,677,003 60,423,167
------------- ------------- ------------- -------------
Increase (decrease) in net assets 13,225,823 (2,825,388) 77,807,190 61,579,787
Net assets:
Beginning of year 102,588,535 105,413,923 75,502,761 13,922,974
------------- ------------- ------------- -------------
End of year $ 115,814,358 $ 102,588,535 $ 153,309,951 $ 75,502,761
============= ============= ============= =============
Undistributed (overdistributed)
net investment income
included in net assets $ 318,134 $ 21,323 ($ 27,779) $ 1,399
============= ============= ============= =============
Other Information:
Class Z Capital Share transactions:
Shares sold 682,511 2,140,938 12,984,095 14,904,099
Shares issued in reinvestment of
distributions -- 227,596 -- 1,290
------------- ------------- ------------- -------------
682,511 2,368,534 12,984,095 14,905,389
Shares redeemed (558,715) (790,173) (587,444) (961,587)
------------- ------------- ------------- -------------
Net increase in shares outstanding 123,796 1,578,361 12,396,651 13,943,802
============= ============= ============= =============
See accompanying notes to financial statements.
71
ULTRA SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002 (UNAUDITED) DECEMBER 31, 2002
---------------- ----------------- ---------------- -----------------
Operations:
Net investment income $ 68,077 $ 60,122 $ 312,532 $ 228,308
Net realized loss on
investments (665,548) (1,216,553) (616,797) (2,609,084)
Net change in unrealized appreciation
or depreciation on investments 1,861,083 (1,555,233) 2,577,177 733,158
------------ ------------ ------------ ------------
Change in net assets from
operations 1,263,612 (2,711,664) 2,272,912 (1,647,618)
------------ ------------ ------------ ------------
Distributions to shareholders:
From net investment income -- (48,155) -- (190,000)
------------ ------------ ------------ ------------
Change in net assets from
Distributions -- (48,155) -- (190,000)
------------ ------------ ------------ ------------
Class Z Share transactions:
Proceeds from sale of shares 1,518,954 1,693,187 5,307,626 2,858,697
Net asset value of shares issued in
reinvestment of distributions -- 48,155 -- 190,000
------------ ------------ ------------ ------------
1,518,954 1,741,342 5,307,626 3,048,697
Cost of shares repurchased (248,093) (295,254) (167,513) (228,851)
------------ ------------ ------------ ------------
Change in net assets derived from
capital share transactions 1,270,861 1,446,088 5,140,113 2,819,846
------------ ------------ ------------ ------------
Increase (decrease) in net assets 2,534,473 (1,313,731) 7,413,025 982,228
Net assets:
Beginning of year 10,174,455 11,488,186 19,959,030 18,976,802
------------ ------------ ------------ ------------
End of year $ 12,708,928 $ 10,174,455 $ 27,372,055 $ 19,959,030
============ ============ ============ ============
Undistributed (overdistributed)
net investment income
included in net assets $ 67,897 ($ 180) $ 309,663 ($ 2,869)
============ ============ ============ ============
Other Information:
Class Z Capital Share transactions:
Shares sold 217,758 210,107 721,919 373,847
Shares issued in reinvestment of
distributions -- 6,926 -- 27,094
------------ ------------ ------------ ------------
217,758 217,033 721,919 400,941
Shares redeemed (36,363) (39,690) (23,805) (29,668)
------------ ------------ ------------ ------------
Net increase in shares outstanding 181,395 177,343 698,114 371,273
============ ============ ============ ============
See accompanying notes to financial statements.
72
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998
--------------- ---------- ---------- ---------- ---------- ----------
(For a share outstanding throughout the period):
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.00(1) 0.01 0.04 0.06 0.05 0.05
--------------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income (0.00)(1) (0.01) (0.04) (0.06) (0.05) (0.05)
--------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
==================================================================================================================================
TOTAL RETURN** 0.43% 1.50% 3.79% 5.86% 4.69% 5.00%
==================================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $160,563 $ 177,443 $ 174,261 $ 93,359 $ 82,646 $ 56,416
Ratio of Expenses to Average Net Assets 0.45%+ 0.45% 0.46% 0.46% 0.45% 0.45%
Ratio of Net Investment Income to Average
Net Assets 0.86%+ 1.45% 3.51% 5.88% 4.72% 4.99%
==================================================================================================================================
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than $0.005 per share.
+ Annualized.
See accompanying notes to financial statements.
73
BOND FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998
---------------------------------------------------------------------------------
(For a share outstanding throughout the period):
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.59 $ 10.20 $ 10.15 $ 10.05 $ 10.57 $ 10.54
--------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.24 0.54 0.62 0.71 0.62 0.63
Net Realized and Unrealized Gain (Loss) 0.09 0.32 0.23 0.08 (0.54) 0.02
-------- --------- --------- --------- --------- ---------
TOTAL FROM INVESTMENT OPERATIONS 0.33 0.86 0.85 0.79 0.08 0.65
--------------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.47) (0.59) (0.69) (0.60) (0.62)
Return of Capital -- -- (0.21) -- -- --
-------- --------- --------- --------- --------- ---------
TOTAL DISTRIBUTIONS -- (0.47) (0.80) (0.69) (0.60) (0.62)
--------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.92 $ 10.59 $ 10.20 $ 10.15 $ 10.05 $ 10.57
==================================================================================================================================
TOTAL RETURN** 3.05% 8.55% 8.32% 8.11% 0.73% 6.18%
==================================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $597,861 $ 553,494 $ 384,837 $ 299,650 $ 250,485 $ 228,281
Ratio of Expenses to Average Net Assets 0.55%+ 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of Net Investment Income to Average
Net Assets 4.41%+ 5.14% 5.91% 6.98% 5.92% 5.94%
Portfolio Turnover Rate 32.96% 78.37% 112.40% 462.98% 713.52% 142.98%
==================================================================================================================================
* Based on average shares outstanding during year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate account
level because charges made at the separate account level have not been
subtracted. Total returns are not annualized for periods less than one year.
+ Annualized.
See accompanying notes to financial statements.
74
HIGH INCOME FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED INCEPTION (a)
(UNAUDITED) 12/31/2002 12/31/2001 TO 12/31/2000
-------------------------------------------------------------
(For a share outstanding throughout the period):
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.04 $ 9.41 $ 9.86 $ 10.00
-----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.36 0.71 0.84 0.14
Net Realized and Unrealized Gain (Loss) 0.58 (0.44) (0.51) (0.14)
---------- --------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS 0.94 0.27 0.33 --
-----------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.64) (0.78) (0.14)
---------- --------- ---------- ----------
TOTAL DISTRIBUTIONS -- (0.64) (0.78) (0.14)
-----------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.98 $ 9.04 $ 9.41 $ 9.86
===============================================================================================================
TOTAL RETURN** 10.29% 3.06% 3.45% (0.03%)
===============================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 41,371 $ 25,850 $ 17,496 $ 10,373
Ratio of Expenses to Average Net Assets 0.76%+ 0.76% 0.77% 0.81%+
Ratio of Net Investment Income to Average
Net Assets 7.58%+ 7.64% 8.41% 8.48%+
Portfolio Turnover Rate 23.42% 38.40% 33.70% 6.78%
===============================================================================================================
(a) Commenced operations October 31, 2000.
* Based on average shares outstanding during period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
75
BALANCED FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998
----------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.85 $ 18.42 $ 20.45 $ 20.44 $ 18.74 $ 17.02
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.23 0.53 0.58 0.68 0.56 0.57
Net Realized and Unrealized Gain (Loss) 0.90 (2.58) (1.23) 0.11 2.14 1.72
------------- --------- --------- --------- --------- ---------
TOTAL FROM INVESTMENT OPERATIONS 1.13 (2.05) (0.65) 0.79 2.70 2.29
----------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.52) (0.57) (0.67) (0.53) (0.57)
Distributions from Net Realized Gains -- (0.00)(1) (0.81) (0.11) (0.47) --
------------- --------- --------- --------- --------- ---------
TOTAL DISTRIBUTIONS -- (0.52) (1.38) (0.78) (1.00) (0.57)
----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.98 $ 15.85 $ 18.42 $ 20.45 $ 20.44 $ 18.74
==============================================================================================================================
TOTAL RETURN** 7.14% (11.13%) (3.07%) 3.86% 14.49% 13.40%
==============================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 624,625 $ 592,243 $ 679,548 $ 668,364 $ 603,136 $ 449,992
Ratio of Expenses to Average Net Assets 0.70%+ 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of Net Investment Income to Average
Net Assets 2.86%+ 3.12% 3.04% 3.27% 2.83% 3.20%
Portfolio Turnover Rate 17.15% 49.67% 51.80% 193.97% 269.00% 78.71%
==============================================================================================================================
* Based on average shares outstanding during year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than ($0.005) per share.
+ Annualized.
See accompanying notes to financial statements.
76
GROWTH AND INCOME STOCK FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998
----------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.20 $ 28.73 $ 33.41 $ 33.58 $ 30.56 $ 27.20
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.17 0.35 0.31 0.33 0.34 0.34
Net Realized and Unrealized Gain (Loss) 1.82 (6.53) (3.88) (0.05) 5.12 4.52
------------- --------- ---------- ---------- ---------- ---------
TOTAL FROM INVESTMENT OPERATIONS 1.99 (6.18) (3.57) 0.28 5.46 4.86
----------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.35) (0.31) (0.33) (0.32) (0.34)
Distributions from Net Realized Gains -- -- (0.79) (0.12) (2.12) (1.16)
Return of Capital -- -- (0.01) -- -- --
------------- --------- ---------- ---------- ---------- ---------
TOTAL DISTRIBUTIONS -- (0.35) (1.11) (0.45) (2.44) (1.50)
----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 24.19 $ 22.20 $ 28.73 $ 33.41 $ 33.58 $ 30.56
==============================================================================================================================
TOTAL RETURN** 8.98% (21.55%) (10.71%) 0.82% 17.95% 17.92%
==============================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 814,441 $ 764,895 $1,031,655 $1,166,634 $1,098,330 $ 833,174
Ratio of Expenses to Average Net Assets 0.60%+ 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income to Average
Net Assets 1.55%+ 1.39% 1.05% 0.98% 0.99% 1.17%
Portfolio Turnover Rate 9.41% 18.21% 20.76% 21.08% 20.13% 17.69%
===============================================================================================================================
* Based on average shares outstanding during year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
77
CAPITAL APPRECIATION STOCK FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 12/31/1999 12/31/1998
----------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.15 $ 20.70 $ 26.39 $ 25.59 $ 22.19 $ 18.85
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.03 0.04 0.02 0.02 0.02 0.06
Net Realized and Unrealized Gain (Loss) 1.72 (6.54) (2.37) 1.08 5.55 3.87
------------- --------- --------- --------- --------- ---------
TOTAL FROM INVESTMENT OPERATIONS 1.75 (6.50) (2.35) 1.10 5.57 3.93
----------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.04) (0.02) (0.02) (0.02) (0.06)
Distributions from Net Realized Gains -- (0.01) (3.32) (0.28) (2.15) (0.53)
------------- --------- --------- --------- --------- ---------
TOTAL DISTRIBUTIONS -- (0.05) (3.34) (0.30) (2.17) (0.59)
----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.90 $ 14.15 $ 20.70 $ 26.39 $ 25.59 $ 22.19
==============================================================================================================================
TOTAL RETURN** 12.33% (31.41%) (9.11%) 4.28% 25.19% 20.90%
==============================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 663,177 $ 592,512 $ 871,111 $ 924,899 $ 839,134 $ 630,373
Ratio of Expenses to Average Net Assets 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.80%
Ratio of Net Investment Income to Average
Net Assets 0.48%+ 0.25% 0.10% 0.08% 0.10% 0.31%
Portfolio Turnover Rate 21.49% 26.92% 27.59% 26.77% 38.38% 18.67%
==============================================================================================================================
* Based on average shares outstanding during year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
78
MID-CAP STOCK FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED YEAR ENDED INCEPTION (a)
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 12/31/2000 TO 12/31/1999
----------- ---------- ---------- ---------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.22 $ 13.94 $ 13.77 $ 11.15 $ 10.00
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.03 0.07 0.05 0.03 0.03
Net Realized and Unrealized Gain (Loss) 1.25 (2.51) 1.39 2.62 1.34
------------- --------- --------- --------- ------------
TOTAL FROM INVESTMENT OPERATIONS 1.28 (2.44) 1.44 2.65 1.37
-------------------------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.06) (0.11) (0.02) (0.02)
Distributions from Net Realized Gains -- (0.22) (1.16) (0.01) (0.20)
------------- --------- --------- --------- ------------
TOTAL DISTRIBUTIONS -- (0.28) (1.27) (0.03) (0.22)
-------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.50 $ 11.22 $ 13.94 $ 13.77 $ 11.15
============================================================================================================================
TOTAL RETURN** 11.38% (17.41%) 11.16% 23.85% 13.68%
============================================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 115,814 $ 102,589 $ 105,414 $ 64,737 $ 26,479
Ratio of Expenses to Average Net Assets 1.00%+ 1.01% 1.01% 1.01% 1.00%+
Ratio of Net Investment Income to Average
Net Assets 0.58%+ 0.54% 0.40% 0.24% 0.39%+
Portfolio Turnover Rate 15.58% 33.03% 41.94% 51.27% 35.55%
============================================================================================================================
(a) Commenced operations May 1, 1999.
* Based on average shares outstanding during period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
79
MULTI-CAP GROWTH STOCK FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED INCEPTION (a)
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 TO 12/31/2000
----------- ---------- ---------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.67 $ 6.24 $ 9.04 $ 10.00
------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)* 0.00(1) 0.00(1) (0.00)(1) 0.01
Net Realized and Unrealized Gain (Loss) 0.70 (1.57) (2.79) (0.96)
------------ --------- --------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.70 (1.57) (2.79) (0.95)
----------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.00)(1) (0.00)(1) (0.01)
Return of Capital -- -- (0.01) --
------------ --------- --------- -----------
TOTAL DISTRIBUTIONS -- (0.00)(1) (0.01) (0.01)
----------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 5.37 $ 4.67 $ 6.24 $ 9.04
=============================================================================================================
TOTAL RETURN** 14.95% (25.21%) (30.89%) (9.52%)
=============================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 153,310 $ 75,503 $ 13,923 $ 9,897
Ratio of Expenses to Average Net Assets 0.85%+ 0.86% 0.87% 0.91%+
Ratio of Net Investment Income (Loss) to
Average Net Assets (0.06%)+ 0.03% (0.07%) 0.52%+
Portfolio Turnover Rate 63.37% 156.51% 203.95% 46.57%
=============================================================================================================
(a) Commenced operations October 31, 2000.
(1) Amount represents less than $0.005 per share.
* Based on average shares outstanding during period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
80
GLOBAL SECURITIES FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED INCEPTION (a)
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 TO 12/31/2000
----------- ---------- ---------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.94 $ 8.91 $ 9.96 $ 10.00
----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.04 0.04 0.04 0.03
Net Realized and Unrealized Gain (Loss) 0.73 (1.98) (1.06) (0.04)
------------- --------- --------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.77 (1.94) (1.02) (0.01)
----------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.03) (0.03) (0.03)
Return of Capital -- -- (0.00)(1) --
------------- --------- --------- -----------
TOTAL DISTRIBUTIONS -- (0.03) (0.03) (0.03)
----------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 7.71 $ 6.94 $ 8.91 $ 9.96
=============================================================================================================
TOTAL RETURN** 11.16% (21.77%) (10.32%) (0.17%)
=============================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 12,709 $ 10,174 $ 11,488 $ 10,116
Ratio of Expenses to Average Net Assets 0.96%+ 0.96% 0.97% 1.01%+
Ratio of Net Investment Income to Average
Net Assets 1.27%+ 0.55% 0.45% 1.57%+
Portfolio Turnover Rate 25.09% 36.85% 37.66% 3.18%
=============================================================================================================
(a) Commenced operations October 31, 2000.
(1) Amount represents less than ($0.005) per share.
* Based on average shares outstanding during period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
81
INTERNATIONAL STOCK FUND
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED 6/30/2003 YEAR ENDED YEAR ENDED INCEPTION (a)
(For a share outstanding throughout the period): (UNAUDITED) 12/31/2002 12/31/2001 TO 12/31/2000
----------- ---------- ---------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.19 $ 7.89 $ 9.73 $ 10.00
----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income* 0.10 0.09 0.07 0.01
Net Realized and Unrealized Gain (Loss) 0.59 (0.72) (1.86) (0.27)
------------- --------- --------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.69 (0.63) (1.79) (0.26)
----------------------------------------------------------
DISTRIBUTIONS
Distributions from Net Investment Income -- (0.07) (0.01) (0.01)
Return of Capital -- -- (0.04) --
------------- --------- --------- -----------
TOTAL DISTRIBUTIONS -- (0.07) (0.05) (0.01)
----------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 7.88 $ 7.19 $ 7.89 $ 9.73
=============================================================================================================
TOTAL RETURN** 9.59% (7.98%) (18.46%) (2.58%)
=============================================================================================================
RATIO/SUPPLEMENTAL DATA
Net Assets, End of Period (000s Omitted) $ 27,372 $ 19,959 $ 18,977 $ 19,828
Ratio of Expenses to Average Net Assets 1.21%+ 1.21% 1.22% 1.26%+
Ratio of Net Investment Income to Average
Net Assets 2.89%+ 1.15% 0.78% 0.54%+
Portfolio Turnover Rate 13.70% 38.28% 46.73% 3.33%
=============================================================================================================
(a) Commenced operations October 31, 2000.
* Based on average shares outstanding during period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
+ Annualized.
See accompanying notes to financial statements.
82
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
June 30, 2003
(1) DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Fund
is a series fund with ten investment portfolios (the "funds"), each with
different investment objectives and policies. The Declaration of Trust
permits the Trustees to issue an unlimited number of full and fractional
shares of the Trust without par value. As of the date of this report, the
Trustees have authorized the issuance of two classes of shares of the funds
designated as Class Z and Class C. Fund shares are sold and redeemed at a
price equal to the shares' net asset value. The assets of each fund are
held separate from the assets of the other funds.
Effective May 1, 1997, the shares of each fund were divided into Class Z
and Class C Shares. Class Z Shares are offered to all insurance company
separate accounts issued by, and all qualified retirement plans sponsored
by, CUNA Mutual Life Insurance Company or its affiliates ("CUNA Mutual
Life"). Class C Shares are offered to separate accounts of insurance
companies other than CUNA Mutual Life, and to qualified retirement plans of
companies not affiliated with the Fund or CUNA Mutual Life. Both classes of
shares are identical in all respects except that: Class C Shares may be
subject to a distribution fee (note 3); each class will have exclusive
voting rights with respect to matters that affect just that class; and each
class will bear a different name or designation. All income earned and
expenses incurred by the Fund are borne on a pro-rata basis by each
outstanding share of each class based on the daily net asset value of
shares of that class. As of June 30, 2003, no Class C Shares have been
issued.
(2) SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles 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 during
the reporting period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently
followed by each fund in the preparation of its financial statements:
Portfolio Valuation
Securities and other investments are valued as follows: (1) equity
securities listed on an established exchange or over-the-counter are valued
on the basis of market price, provided that a market quotation is readily
available. (2) Fixed income securities and non-convertible preferred stocks
are valued using readily available market quotations, if available. When
exchange quotations are used, the latest quoted sale price is used. If an
over-the-counter quotation is used, the last bid price will normally be
used. Readily available market quotations will not be deemed available if
an exchange quotation exists for a debt security, preferred stock, or
security convertible into common stock, but it does not reflect the true
value of the fund's holdings because sales have occurred infrequently, the
market for the security is thin, or the size of the reported trade is
considered not comparable to the fund's institutional size holdings. When
readily available market quotations are not available, the fund will use an
independent pricing service which provides valuations for normal
institutional size trading units of such securities. Such a service may
utilize a matrix system which takes into account appropriate factors such
as institutional size trading in similar groups of securities, yield,
quality, coupon rate, maturity, type of issue, trading characteristics and
other market data in determining valuations. (3) Options, stock index
futures, interest rate futures, and related options which are traded on
U.S. exchanges or boards of trade are valued at the closing price as of the
close of the New York Stock Exchange. (4) forward foreign currency exchange
contracts are valued based on quotations supplied by dealers in such
contracts or dealers in such currencies. The value of all assets and
liabilities expressed in foreign currencies will be converted into U.S.
dollar values at the noon (Eastern Standard Time) Reuters spot rate; (5)
Investments in other mutual funds are valued at the net asset value per
share. Exchange Traded Funds are valued at market price on the exchange
which they are traded. (6) short-term instruments having maturities of 60
days or less will be valued at amortized cost. Short-term instruments
having maturities of more than sixty (60) days will be valued at market
values or values based on current interest rates. All other securities for
which either quotations are not readily available, no other sales have
occurred, or do not, in MEMBERS Capital Advisors' (the "Investment
Advisor") opinion, reflect the current market value are appraised at their
fair values as determined in good faith by and under the general
supervision of the Board of Trustees.
Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Net realized
gains or losses on sales are determined by the identified cost method which
is the same method used for federal income tax purposes. Interest income is
recorded on the accrual basis, and for fixed income securities, includes
discounts and premiums. Dividend income is recorded on ex-dividend date.
83
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
June 30, 2003
Federal Income Taxes
It is each fund's intention to qualify as a regulated investment company
for federal income tax purposes by complying with the appropriate
provisions of the Internal Revenue Code of 1986, as amended. Accordingly,
no provisions for federal income taxes are recorded in the accompanying
financial statements.
Expenses
Expenses that are directly related to one fund are charged directly to that
fund. Generally, other operating expenses are prorated to the funds on the
basis of relative net assets.
Repurchase Agreements
Each fund may engage in repurchase agreements. In a repurchase agreement, a
security is purchased for a relatively short period (usually not more than
7 days) subject to the obligation to sell it back to the issuer at a fixed
time and price plus accrued interest. The funds will enter into repurchase
agreements only with member banks of the Federal Reserve System and with
"primary dealers" in U.S. Government securities.
The Fund has established a procedures providing that the securities serving
as collateral for each repurchase agreements must be delivered to the
Fund's custodian and that the collateral must be marked to market daily to
ensure that the repurchase agreements are fully collateralized at all
times. In the event of bankruptcy or other default by a seller of a
repurchase agreement, a fund could experience delays in liquidating the
underlying securities during the period in which the fund seeks to enforce
its rights thereto, possible subnormal levels of income, declines in value
of the underlying securities or lack of access to income during this period
and the expense of enforcing it rights.
Foreign Currency Transactions
The books and records are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars on the following basis:
(1) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(2) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of
such transactions.
The High Income, Multi-Cap Growth Stock, Global Securities and
International Stock Funds report certain foreign currency-related
transactions as components of realized gains or losses for financial
reporting purposes, whereas such components are treated as ordinary income
for federal income tax purposes.
The funds do not isolate the portion of gains and losses on investments in
equity securities that are due to changes in the foreign exchange rates
from that which are due to changes in market prices of securities. Such
amounts are categorized as gain or loss on investments for financial
reporting purposes.
Forward Foreign Currency Exchange Contracts
The High Income, Mid-Cap Stock, Multi-Cap Growth Stock, Global Securities
and International Stock Funds may each purchase or sell forward foreign
currency exchange contracts for defensive or hedging purposes when the
fund's Investment Advisor anticipates that the foreign currency will
appreciate or depreciate in value. When entering into forward currency
exchange contracts, the funds agree to receive or deliver a fixed quantity
of foreign currency for an agreed-upon price on an agreed future date.
These contracts are valued daily, and the funds' net assets, representing
unrealized gain or loss on the contracts as measured by the difference
between the forward foreign exchange rates at the dates of entry into the
contracts and the forward rates at the reporting date, are included in the
Statements of Assets and Liabilities. The funds realize a gain or a loss at
the time the forward currency exchange contracts are closed out or are
offset by a matching contract. Realized and unrealized gains and losses are
included in the Statements of Operations. At the six months ended June 30,
2003, only the High Income Fund had open forward currency exchange
contracts, which are presented in the funds' Schedule of Investments.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash
or liquid high grade debt securities in a segregated account with the
fund's custodian in an amount equal to the value of the fund's total assets
committed to the consummation of the forward contract. If the value of the
securities in the segregated account declines, additional cash or
securities will be placed in the segregated account so that the value of
the account will equal the amount of the fund's commitment with respect to
the contract.
84
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
June 30, 2003
Forward contracts are subject to the risk that the counterparty to such
contract will default on its obligations. Since a forward foreign currency
exchange contract is not guaranteed by an exchange or clearinghouse, a
default on the contract would deprive a fund of unrealized profits,
transaction costs or the benefits of a currency hedge or force the fund to
cover its purchase or sale commitments, if any, at the current market
price. A fund will not enter into such transactions unless the credit
quality of the unsecured senior debt or the claims-paying ability of the
counter party is considered to be investment grade by the fund's Investment
Advisor.
Futures Contracts
The funds (other than Money Market) may purchase and sell futures contracts
and purchase and write options on futures contracts. The funds will engage
in futures contracts or related options transactions only for bona fide
hedging purposes. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government
securities or other assets, equal to a certain percentage of the contract
(initial margin deposit). Subsequent payments, known as "variation margin,"
are made or received by the fund each day, depending on the daily
fluctuations in the fair value of the underlying security. When a fund
enters into a futures contract, the fund segregates in cash or liquid
securities, of any type or maturity, equal in value to the fund's
commitment. The fund recognizes a gain or loss equal to the daily variation
margin. Should market conditions move unexpectedly, the fund may not
achieve the anticipated benefits of the futures contracts and may realize a
loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates,
and the underlying hedged assets.
Delayed Delivery Securities
Each fund may purchase securities on a when-issued or delayed delivery
basis. "When-issued" refers to securities whose terms are available and for
which a market exists, but that have not been issued. For when-issued or
delayed delivery transactions, no payment is made until delivery date,
which is typically longer than the normal course of settlement, and often
more than a month or more after the purchase. When a fund enters into an
agreement to purchase securities on a when-issued or delayed delivery
basis, the fund segregates in cash or liquid securities, of any type or
maturity, equal in value to the fund's commitment. Losses may arise due to
changes in the market value of the underlying securities, if the
counterparty does not perform under the contract, or if the issuer does not
issue the securities due to political, economic or other factors. For the
six months ended June 30, 2003, only the Bond Fund entered into such
transactions, the market values of which are identified in the fund's
Schedule of Investments.
(3) TRANSACTIONS WITH AFFILIATES
Fees and Expenses
The Fund has entered into an investment advisory agreement with MEMBERS
Capital Advisors, Inc. (the "Investment Adviser"), an affiliated company.
The fees under the agreement, paid monthly, are calculated as a percentage
of the average daily net assets for each fund at the following annual
rates:
Money Market 0.45%
Bond 0.55%
High Income 0.75%
Balanced 0.70%
Growth and Income Stock 0.60%
Capital Appreciation Stock 0.80%
Mid-Cap Stock 1.00%
Multi-Cap Growth Stock 0.85%
Global Securities 0.95%
International Stock 1.20%
Under this unified fee structure, the Investment Advisor is responsible for
providing or obtaining services and paying certain expenses including
custodian fees, transfer agent fees, pricing costs, and accounting and
legal fees as indicated in the investment advisory agreement.
The Investment Advisor has entered into Subadvisor Agreements for the
management of the investments in the High Income Fund, Mid-Cap Stock Fund,
Multi-Cap Growth Stock Fund, Global Securities Fund and International Stock
Fund. The Investment Advisor is solely responsible for the payment of all
fees to the Subadvisor. The Subadvisor for the High Income Fund is
Massachusetts Financial Services. The Subadvisor for a portion of the
Mid-Cap Stock Fund and the entire Multi-Cap Growth Fund is Wellington
Management Company, LLP. The Subadvisor for the Global Securities Fund is
Oppenheimer Funds, Inc. The Subadvisor for the International Stock Fund is
Lazard Asset Management.
85
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
June 30, 2003
In addition to the unified investment advisory fee and Subadvisor
Agreements, each fund also pays certain expenses including trustees' fees,
brokerage commissions, interest expense, audit fees, and other
extraordinary expenses.
Certain officers and trustees of the Fund are also officers of CUNA Mutual
Life Insurance Company or MEMBERS Capital Advisors, Inc. During the six
months ended June 30, 2003, the Fund made no direct payments to its
officers and paid trustees' fees of approximately $7,442 to its
unaffiliated trustees.
Distribution Plan
All shares are distributed through CUNA Brokerage Services, Inc. ("CBSI"),
an affiliated company, or other registered broker-dealers authorized by
CBSI. Class C Shares may also be subject to an asset-based distribution fee
pursuant to Rule 12b-1 under the 1940 Act, equal to not more than 0.25%, on
an annual basis, of the average value of the daily net assets of each
series of the Fund attributable to Class C Shares on an annual basis.
During the reporting period, the funds had investment portfolio
transactions executed through CBSI. For the six months ended June 30, 2003,
the Growth and Income Stock Fund paid brokerage commissions to CBSI of
$579.
(4) DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to the Money Market Fund, dividends from net investment income
and net realized gains are declared and reinvested daily in additional full
and fractional shares of the Money Market Fund. The Bond Fund, High Income
Fund, Balanced Fund, Growth and Income Stock Fund, Capital Appreciation
Stock Fund, Mid-Cap Stock Fund, Multi-Cap Growth Stock Fund, Global
Securities Fund and the International Stock Funds declare and reinvest
dividends from net investment income quarterly in additional full and
fractional shares of the respective funds. Distributions from net realized
gains from investment transactions, if any, are distributed and reinvested
at least annually.
Income and capital gain distributions, if any, are determined in accordance
with federal income tax regulations, which may differ from accounting
principles generally accepted in the United States of America. Taxable
distributions from income and realized capital gains in the funds differ
from book amounts earned during the period due to differences in the timing
of capital recognition, and due to the reclassification of certain gains or
losses from capital to income.
(5) PURCHASE AND SALES OF INVESTMENT SECURITIES
The cost of securities purchased and the proceeds from securities sold
(including maturities, excluding short-term) for each fund during the
period ended June 30, 2003, were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
--------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ----- --------- -----
Bond $ 195,083,350 $ 136,925,260 $ 47,318,334 $ 50,213,211
High Income -- -- 18,447,611 6,767,984
Balanced 34,340,527 27,666,184 62,576,884 71,194,995
Growth and Income Stock -- -- 67,827,908 107,142,544
Capital Appreciation Stock -- -- 124,514,918 133,110,151
Mid-Cap Stock -- -- 15,531,087 17,259,470
Multi-Cap Growth Stock -- -- 117,490,079 59,379,637
Global Securities -- -- 3,945,171 2,570,742
International Stock -- -- 8,269,530 2,851,296
At June 30, 2003, the aggregate gross unrealized appreciation
(depreciation) and net unrealized appreciation (depreciation) for all
securities as computed on a book basis for each fund were as follows:
APPRECIATION DEPRECIATION NET
------------ ------------ ------------
Bond $ 27,346,667 $ 5,836,869 $ 21,509,798
High Income 2,089,768 772,869 1,316,899
Balanced 64,008,087 41,532,229 22,475,858
Growth and Income Stock 82,640,510 102,331,953 (19,691,443)
Capital Appreciation Stock 85,476,232 69,457,774 16,018,458
Mid-Cap Stock 16,816,785 9,360,824 7,455,961
Multi-Cap Growth Stock 19,953,292 859,414 19,093,878
Global Securities 1,143,615 1,109,770 33,845
International Stock 2,924,661 1,684,396 1,240,265
86
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
June 30, 2003
(6) FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the High Income
Fund, Mid-Cap Stock Fund, Multi-Cap Growth Stock Fund, Global Securities
Fund and International Stock Fund anticipate having significant investments
in such securities. The Global Securities Fund, International Stock Fund,
High Income Fund, Mid-Cap Stock Fund and Multi-Cap Growth Stock Fund may
invest 100%, 100%, 25%, 25% and 25%, respectively, of their assets in
foreign securities. No fund will concentrate its investments in a
particular foreign country.
Foreign securities means securities that are: (1) issued by companies
organized outside the U.S. or whose principal operations are outside the
U.S. ("foreign issuers"), (2) issued by foreign governments or their
agencies or instrumentalities (also "foreign issuers") (3) principally
traded outside the U.S., or (4) quoted or denominated in a foreign currency
("non-dollar" securities). Foreign securities include ADRs, EDRs, GDRs and
foreign money market securities.
Investing in foreign securities involves certain risks not necessarily
found in U.S. markets. These include risks associated with adverse changes
on economic, political, regulatory and other conditions, changes in
currency exchange rates, exchange control regulations, expropriation of
assets or nationalization, imposition of withholding taxes on dividend or
interest payments or capital gains, and possible difficulty in obtaining
and enforcing judgments against foreign entities. Further, issuers of
foreign securities are subject to different, and often less comprehensive,
accounting, reporting and disclosure requirements than domestic issuers.
The securities of some foreign companies and foreign securities markets are
less liquid and, at times, more volatile than securities of comparable U.S.
companies and U.S. securities markets.
(7) SECURITIES LENDING
The funds, excluding the Money Market Fund, entered into a Securities
Lending Agreement (the "Agreement") with State Street Bank and Trust
Company ("State Street"). Under the terms of the Agreement, the funds may
lend portfolio securities to qualified borrowers in order to earn
additional income. The Agreement requires that loans are collateralized at
all times by cash or other liquid assets at least equal to the value of the
securities, which is determined on a daily basis. At June 30, 2003, cash
collateral received for funds engaged in securities lending was invested in
the State Street Navigator Securities Lending Prime Portfolio, additionally
non-cash collateral was also received. The value of all collateral is
included within the Schedule of Investments with an offsetting liability on
the Statements of Assets and Liabilities.
Amounts earned as interest on investments of cash collateral, net of
rebates and fees, are included in the Statements of Operations. The value
of securities on loan at June 30, 2003 is as follows:
VALUE OF SECURITIES ON LOAN
---------------------------
Bond $96,480,339
High Income 6,299,376
Balanced 37,734,839
Growth and Income Stock --
Capital Appreciation Stock 29,316,816
Mid-Cap Stock 9,811,399
Multi-Cap Growth Stock 16,061,887
Global Securities 1,187,213
International Stock --
The primary risk associated with securities lending is if the borrower
defaults on its obligation to return the securities loaned because of
insolvency or other reasons, the funds could experience delays and costs in
recovering securities loaned or in gaining access to the collateral.
87
ULTRA SERIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2003
(8) TAX INFORMATION
For federal income taxes purposes, the funds listed below have capital loss
carryovers as of December 31, 2002, which are available to offset future
capital gains, if any:
CARRYOVER CARRYOVER CARRYOVER CARRYOVER
EXPIRING IN 2007 EXPIRING IN 2008 EXPIRING IN 2009 EXPIRING IN 2010
---------------- ---------------- ---------------- ----------------
Bond $ 235,991 $ 7,577,224 $ -- $ 1,857,702
High Income -- -- 454,251 867,239
Balanced -- -- -- 28,564,211
Growth and Income Stock -- -- -- 24,906,870
Capital Appreciation Stock -- -- -- 116,275,725
Mid-Cap Stock -- -- -- 4,207,227
Multi-Cap Growth Stock -- -- 4,229,031 2,592,752
Global Securities -- -- 816,242 968,145
International Stock -- -- 1,565,839 2,896,117
After October 31, 2002, the following funds had capital and currency losses
in the following amounts:
POST OCTOBER POST OCTOBER
CAPITAL LOSSES CURRENCY LOSSES
-------------- ---------------
High Income $ 107,332 $ 3,863
Multi-Cap Growth Stock 12,301 --
Global Securities 201,102 22,114
International Stock 332,548 2,317
For income tax purposes, these amounts are deferred and deemed to have
occurred in the next fiscal year.
(9) FINANCIAL INSTRUMENTS
Investing in certain financial instruments, including forward foreign
currency contracts and futures contracts, involves risk other than that
reflected in the Statements of Assets and Liabilities. Risk associated with
these instruments include potential for an imperfect correlation between
the movements in the prices of the instruments and the prices of the
underlying securities and interest rates, an illiquid secondary market for
the instruments or inability of counterparties to perform under the terms
of the contracts and changes in the value of foreign currency relative to
the U.S. dollar. The High Income fund, Multi-Cap Growth Stock Fund,
International Stock Fund, and the Global Securities Fund enter into these
contracts primarily to protect these Funds from adverse currency movements.
(10) CONCENTRATION OF RISK
The High Income Fund invests in securities offering high current income
which generally will be in the lower rating categories of recognized
ratings agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories.
In addition, the trading market for high yield securities may be relatively
less liquid than the market for higher-rated securities. The fund generally
invests at least 80% of its assets in high yield securities.
(11) CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2003 are owned by separate
investment accounts of CUNA Mutual Life and CUNA Mutual Group related
companies. The market value of investments in the Funds by affiliates was
as follows:
CUNA MUTUAL CUNA MUTUAL CUMIS
FUND LIFE INSURANCE COMPANY INSURANCE SOCIETY INSURANCE SOCIETY, INC.
---- ---------------------- ----------------- -----------------------
High Income Fund $5,877,785 $ -- $ 5,877,785
International Stock Fund 2,313,019 -- 13,712,949
Global Securities Fund 3,888,268 3,895,244 6,976
88
ULTRA SERIES FUND
TRUSTEES AND OFFICERS
June 30, 2003
NUMBER OF
PORTFOLIOS OTHER
POSITION(S) OVERSEEN OUTSIDE
NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION DURING IN FUND DIRECTOR-
YEAR OF BIRTH THE FUND SERVICE(1) PAST FIVE YEARS COMPLEX SHIPS(5)
- -------------------------------------------------------------------------------------------------------------------
Michael S. Daubs(2)(3) Trustee and 1997 - CUNA Mutual Insurance Society 19 --
5910 Mineral Point Road Chairman Present Chief Officer - Investments,
Madison, WI 53705 1990 - Present
Year of Birth: 1943 President 1984 - MEMBERS Capital Advisors, Inc.
Present President,
1982 - Present
CUNA Mutual Life Insurance Company
Chief Officer - Investments,
1973 - Present
- -------------------------------------------------------------------------------------------------------------------
Lawrence R. Halverson(2)(4) Trustee 1997 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Present Senior Vice President - Equities
Madison, WI 53705 1996 - Present
Year of Birth: 1945 Vice 1988 -
President Present CUNA Brokerage Services, Inc.
President,
1996 - 1998
- -------------------------------------------------------------------------------------------------------------------
Mary E. Hoffmann(2) Treasurer 1999 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Present Assistant Vice President - Product
Madison, WI 53705 Operations and Finance,
Year of Birth: 1970 2001 - Present
Product Operations and Finance Manager,
1998 - 2001
CUNA Mutual Insurance Society
Investment Accounting Supervisor,
1996 - 1998
- -------------------------------------------------------------------------------------------------------------------
Holly S. Baggot(2) Secretary 2003 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road and Present Senior Manager - Product and Fund
Madison, WI 53705 Assistant Operations, 2001 - Present
Year of Birth: 1960 Treasurer
Operations and Administration Manager,
1998-2001
- -------------------------------------------------------------------------------------------------------------------
Dan Owens(2) Assistant 2001 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Treasurer Present Senior Manager - Portfolio Operations,
Madison, WI 53705 2001 - Present
Year of Birth: 1966 Investment Operations Manager,
1999 - 2001
AmerUS Capital Management
Manager, Investment Accounting -
Reporting, 1998 - 1999
AmerUs Life Holdings, Inc.
Senior Investment Accountant,
1994 - 1998
89
ULTRA SERIES FUND
TRUSTEES AND OFFICERS (CONTINUED)
June 30, 2003
NUMBER OF
PORTFOLIOS OTHER
POSITION(S) OVERSEEN OUTSIDE
NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION DURING IN FUND DIRECTOR-
YEAR OF BIRTH THE FUND SERVICE(1) PAST FIVE YEARS COMPLEX SHIPS(5)
- -----------------------------------------------------------------------------------------------------------------------
Gwendolyn M. Boeke Trustee 1988 - Wartburg Theological Seminary 19 --
2000 Heritage Way Present Development Association,
Waverly, IA 50677 (Dubuque, Iowa)
Year of Birth: 1934 Development Associate,
1997 - Present
Evangelical Lutheran Church in America
Foundation (Chicago, Illinois)
Regional Director, 1990 - Present
Wartburg College
(Dubuque, Iowa)
Director, 1986 - 2001
- -----------------------------------------------------------------------------------------------------------------------
Alfred L. Disrud Trustee 1987 - Planned Giving Services 19 --
2000 Heritage Way Present (Waverly, Iowa)
Waverly, IA 50677 Owner, 1986 - Present
Year of Birth: 1921
- -----------------------------------------------------------------------------------------------------------------------
Thomas C. Watt Trustee 1986 - Vision Development Services, Inc. 19 Wells
2000 Heritage Way Present Consultant, Fargo
Waverly, IA 50677 1997 - Present Bank,
Year of Birth: 1936 Community
MidAmerica Energy Company Director,
(Waterloo, Iowa) 1985 -
Manager, Business Initiatives, Present
1987 - 1999
- -----------------------------------------------------------------------------------------------------------------------
(1) The board of trustees and officers of the Fund do not currently have term
limitations.
(2) "Interested person" as defined in the 1940 Act.
(3) Mr. Daubs is considered an "interested" trustee because of the position he
holds with the investment advisor of the trust.
(4) Mr. Halverson is considered an "interested" trustee because of the position
he holds with the investment advisor of the trust.
(5) Include only directorships with companies that:
(a) have a class of securities registered with the SEC under the Securities
Exchange Act, section 12; or
(b) are subject to the requirements of section 15(d) of the Securities
Exchange Act; or
(c) are registered as an investment adviser.
90
ITEM 2. CODE OF ETHICS.
(a) Not required in this semi-annual report filed on Form N-CSR.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required in this semi-annual report filed on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required in this semi-annual report filed on Form N-CSR.
ITEMS 5 - 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Each of the Trust's President and Treasurer has concluded,
upon conducting an evaluation of the Trust's disclosure
controls and procedures ("DCPs"), as such term is defined in
Rule 30a-2(c) under the Act, which such evaluation was made as
of a date (the "Evaluation Date") within 90 days of the filing
of this Report on Form N-CSR, that the Trust's DCPs are
sufficiently effective as of the Evaluation
Date so as to ensure that material information relating to the
Trust is made known to us by others within the Trust,
particularly during the period in which this report on Form
N-CSR was prepared.
(b) There have been no significant changes in the Trust's internal
controls or in other factors that could significantly affect
those controls subsequent to the Evaluation Date. In addition,
there have been no corrective actions undertaken with respect
to the Trust with regard to significant deficiencies and
material weaknesses.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Certifications of the President and Treasurer of the registrant.
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.
ULTRA SERIES FUNDS
BY: /s/ Michael S. Daubs
--------------------
Michael S. Daubs
President
DATE: 8/19/03
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/ Michael S. Daubs
--------------------
Michael S. Daubs
President, Ultra Series Funds
DATE: 8/19/03
BY: /s/ Mary E. Hoffmann
--------------------
Mary E. Hoffmann
Treasurer, Ultra Series Funds
DATE: 8/19/03
EXHIBIT INDEX
Exhibit 10(b)(i) - Certification of Michael S. Daubs, President, Ultra Series
Funds
Exhibit 10(b)(ii) - Certification of Mary E. Hoffmann, Treasurer, Ultra Series
Funds