As filed with the Securities and Exchange Commission on December 30, 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 MEMBERS Mutual Funds 5910 Mineral Point Road Madison, WI 53705 (608) 238-5851 (Registrant's Exact Name, Address and Telephone Number) Date of fiscal year end: October 31, 2003 Date of reporting period: October 31, 2003 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. 20004-2404 ------------------------------- 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 (the "1940 Act") appears beginning on the following page. 2 INVEST where you BELONG. THE MEMBERS(R) MUTUAL FUNDS DIFFERENCE Today's financial world suffers no shortage of mutual funds, and they're all vying for your attention. Some fund companies tout their long history or well-known name. Others tantalize with the latest investment trends and the hottest stocks. So where should an investor turn? Who should you trust with your financial future? We suggest MEMBERS Mutual Funds, a diverse family of mutual funds with an important distinction: It is designed by financial management professionals located at credit unions across the nation, specifically for credit union members. The funds are distributed by CUNA Brokerage Services, Inc., and are managed by MEMBERS Capital Advisors, Inc. the registered investment advisor affiliate of CUNA Mutual Group, a family of companies owned by and dedicated to America's credit unions and their members. Currently, MEMBERS Capital Advisors manages more than $11 billion in investments for credit union members, employees and the credit union system. Just as credit unions are different from banks, the MEMBERS Mutual Funds family is unlike the typical fund family. We share many of the philosophies you've come to appreciate in the credit union movement: we focus on providing good value, superior service and investor education. We avoid slick hype and silly fads. Our staff of investment management professionals is straightforward and highly experienced in the investment field. Here you'll be treated like a valued member, with a company where you can feel like you truly belong. PAGE TABLE OF CONTENTS PAGE ---- LETTER TO SHAREHOLDERS ............................................................ 2 SUMMARY OF U.S. ECONOMIC AND FINANCIAL MARKET CONDITIONS .......................... 5 FUND PERFORMANCE REVIEWS Bond Fund ................................................................. 6 High Income Fund .......................................................... 8 Balanced Fund ............................................................. 10 Growth and Income Fund .................................................... 12 Capital Appreciation Fund ................................................. 14 Mid-Cap Fund .............................................................. 16 Multi-Cap Growth Fund ..................................................... 18 International Stock Fund .................................................. 20 PORTFOLIOS OF INVESTMENTS Cash Reserves Fund ........................................................ 22 Bond Fund ................................................................. 23 High Income Fund .......................................................... 26 Balanced Fund ............................................................. 34 Growth and Income Fund .................................................... 38 Capital Appreciation Fund ................................................. 40 Mid-Cap Fund .............................................................. 42 Multi-Cap Growth Fund ..................................................... 44 International Stock Fund .................................................. 46 FINANCIAL STATEMENTS Statements of Assets and Liabilities ...................................... 50 Statements of Operations .................................................. 52 Statements of Changes in Net Assets ....................................... 54 Financial Highlights ...................................................... 58 NOTES TO FINANCIAL STATEMENTS ..................................................... 67 REPORT OF INDEPENDENT AUDITORS .................................................... 74 OTHER INFORMATION ................................................................. 74 TRUSTEES AND OFFICERS ............................................................. 75 [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 2 LETTER TO SHAREHOLDERS Dear Fellow Shareholder: MEMBERS Funds' just-completed fiscal year began with the specter of another military action in the Middle East and an uncertain economy at home. It ended with a rapidly improving economy, but with a backdrop of widespread scandal within the mutual fund industry. This was not a comfortable twelve months for investors. But, it was remarkably rewarding for most of them financially. Following the extended period of post-bubble stock market declines that began early in the year 2000 and continued with few interruptions for three and one-half years, stocks suddenly rebounded strongly last October. They soon plateaued, however, drifted lower from mid-January into March as the war in Iraq became imminent, but then recovered strongly on positive war news. Stocks continued to rally as economic measures improved at an accelerating rate to and through the funds' October 31 year-end. Bond markets also performed well as interest rates declined through the first eight months of the fiscal year, but suffered in June and July as signs of renewed economic growth pushed interest rates back up. Lower quality bonds advanced strongly for most of the period, however, as investors appeared to become more and more confident of economic recovery. In this very favorable market environment, all of the MEMBERS Funds provided positive returns, and all but the two most conservative funds -- the Cash Reserves Fund and the Bond Fund -- provided double-digit returns. The three most aggressive funds -- Mid-Cap, Multi-Cap Growth and International -- all provided returns near 28%. (Additional information about the Funds' returns is provided in the following Fund Performance Reviews.) It is important for investors to recognize that some of this year's returns may have been rebounds from the preceding over-extended declines, and some may be in anticipation of economic improvements yet to come. While always welcome, returns like those achieved this fiscal year should not be expected in the years immediately ahead. As the Funds' fiscal year drew to a close, investors were confronted with a new challenge -- news of significant and widespread abuses of trust at what historically have been well-respected mutual fund and investment management firms. Even for industry insiders like us, the breadth and depth of such behavior across our own industry was shocking and difficult to comprehend. When we launched MEMBERS Mutual Funds just six years ago, there certainly was no apparent shortage of mutual funds. MEMBERS Capital Advisors, Inc., was a virtual unknown in the mutual fund management business even though we had a solid track record managing some $1.6 billion of funds offered solely to pension plan participants, life insurance (Not part of the Annual Report.) [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 LETTER TO SHAREHOLDERS 3 policyholders and variable annuity owners, as well as a few more billions of dollars of institutional investment assets. Why did MEMBERS Capital Advisors choose to enter the extremely competitive, brand name-dominated mutual fund arena at this time? Because when we surveyed the mutual fund marketplace, we saw very few companies that in our judgment conducted their fund operations with enough focus on what we considered to be the correct priority -- the investors' success. MEMBERS Funds are designed and managed with the specific intent of maximizing our investors' prospects of long-term investment success. The key message here - -- the key difference between MEMBERS Funds and what now appears to be many fellow mutual fund companies -- is not what we do, but why we do it and what that says about the culture we have worked so hard to develop in MEMBERS Capital Advisors over the years. These factors reflect our dedication to serving our investors. And they indicate how foreign it would be to our culture and our business principles to take personal advantage of our position of trust or knowingly favor some investors over others as some fund companies apparently have done, in the process sullying the reputation of the entire mutual fund and investment management industry. We acknowledge that some common industry practices of the past are being defined as improper by our regulators. And, no fund is totally immune to attempted misdeeds. We assure you, however, that we go to great lengths to prevent such occurrences, and to address them appropriately if they do occur. MEMBERS Capital Advisors' dedication to our long-term investors is communicated to all employees, as well as to our sales advisors and our investors. We also regularly express our intolerance of any practices that may jeopardize the trust our investors have placed in us. We do not expect to be among the largest or most profitable money management operations in the nation, but we do seek to be among the most trusted and respected. We thank you for your confidence and trust, and we will continue to do all we can to warrant it. Sincerely, /s/ Lawrence R. Halverson - ---------------------------- Lawrence R. Halverson, CFA President (Not part of the Annual Report.) [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 4 This page is left blank intentionally. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 SUMMARY OF U.S. ECONOMIC AND FINANCIAL MARKET CONDITIONS 5 THE ECONOMY As the twelve month period ended October 31, 2003 began, the U.S. economy seemed to be in a "soft spot" in its long, arduous recovery from the 2001 recession. Concerns about a looming war in Iraq, a weak labor market, and stock market declines caused in part by a series of accounting scandals all acted to restrain investor, business, and consumer confidence. Economic activity picked up in the winter months, but ebbed again in the spring as uncertainty about the effects of the war in Iraq became widespread. However, a favorable combination of monetary stimulus, fiscal stimulus, and continued strength in the housing market led to the resumption of strong economic growth in the summer months. Estimated GDP growth for the third quarter of 2003 was in excess of 8%, the highest quarterly growth rate the U.S. economy has turned in since 1999. Thanks to low interest rates, the housing market and purchases of durable goods were the bulwarks of the summer rebound, but a pick-up in corporate capital spending also contributed. Energy prices remained stubbornly high as the flow of oil from post-war Iraq was much less than expected, but overall inflation still was restrained at both the wholesale and consumer levels. Inflation for the period remained just above a 2% annual rate, well below its historical average. The U.S. dollar weakened during the period, particularly against the yen, as growth in Asia exceeded expectations and currency market participants began to anticipate that Japan and China would bow to diplomatic pressure to allow their currencies to freely "float" in the market. THE STOCK MARKET As the period began, most major U.S. stock indexes were rallying from the five-year lows they hit on October 9, 2002. As war in Iraq looked increasingly likely, this rally gave back most of its gains in volatile trading. Just before hostilities commenced in Iraq, U.S. stocks began another rally, this one stronger and with more staying power than the first. Improving corporate profits and a return to healthy levels of economic growth supported the rally over the summer months. As the period ended, major stock indexes were at or near twelve-month highs. The rally was strongest in the more speculative areas of the markets, with small-cap, technology, internet, and biotechnology companies leading the way. THE BOND MARKET The benchmark Federal Funds Rate stood at 1.75% as the period began, but the Fed, concerned about the "soft spot" in our economy, lowered it to 1.25% in November. A further cut of 25 basis points in the wake of the Iraq war left the Federal Funds Rate at 1.00% as the period closed. U.S. Treasury bonds at shorter durations benefited from the Fed's two rate cuts, but U.S. Treasurys at intermediate and longer durations actually fell in price during the period as bond market participants took note of improving economic conditions and began to "price in" the possibility of future short-term interest rate hikes by the Fed. These fears came to a head in late spring and early summer, which saw a rout in the bond market. However, the Fed managed to calm bond market participants by insisting that it would remain "on hold" until the economy resumes adding jobs at a rapid clip. Corporate bonds generally did well over the period as corporate profits rose and companies repaired their balance sheets. High-yield corporate bonds, especially the higher-yielding, riskier bonds, were the best-performing sector of the U.S. bond market, keeping pace in many cases with the rally in U.S. stocks. MEMBERS Capital Advisors, Inc. (Not part of the Annual Report.) [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 6 FUND PERFORMANCE REVIEW BOND FUND INVESTMENT OBJECTIVE The Bond Fund seeks to generate a high level of current income, consistent with the prudent limitation of investment risk. PORTFOLIO MANAGEMENT The Fund is managed by a team of MEMBERS Capital Advisors' portfolio managers. PRIMARY INVESTMENT STRATEGIES To keep current income relatively stable and to limit share price volatility, the Bond Fund emphasizes investment grade securities and maintains an intermediate (typically 3 to 6 years) average portfolio duration. Under normal circumstances, the Fund invests at least 80% of its assets in such securities. The Fund may employ active trading and typically invests in the following instruments: - - Corporate Debt Securities - - U.S. Government Debt Securities - - Foreign Government Debt Securities - - Other Issuer Debt Securities. The Fund may also invest in asset-backed and mortgage-backed securities, including securities backed by credit union originated loans, to the extent permitted by law and available in the market. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 23. The MEMBERS Bond Fund (Class A shares at net asset value) returned 3.51% during the period ended October 31, 2003, under-performing the Lehman Brothers Intermediate Government/Credit Bond Index, which returned 5.43%, and the Lipper Intermediate Investment Grade Bond Fund Index of similar funds, which returned 6.66%. The Fund's under-performance primarily reflects its conservative approach to fixed-income investing. The Fund's management seeks to moderate interest-rate and credit risk by holding down the portfolio's duration and not "chasing after" the extra yield offered by higher-risk securities. During the period, riskier, higher-yielding bonds out-performed in all sectors of the bond market. Performance was also hurt by problems experienced by some issuers of asset-backed bonds in the Fund's portfolio. It is hoped that the MEMBERS Bond Fund's conservative management style will help it to defend in times when interest rates are rising. There was a rise in rates early in the summer, but it was short-lived. Over the full period, interest rates trended downward, and the three-year old bull market for bonds continued. If this bull market persists, management hopes that the Fund can produce competitive levels of income and price appreciation, but management remains focused on risk-management and "smoothing the ride" of its investors. MEMBERS Capital Advisors' Fixed-Income Portfolio Management Team -- Advisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 7 BOND FUND BOND FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum Lehman Brothers Intermediate sales charge)* applicable CDSC)** Government/Credit Bond Index 12/29/97 9,525 10,000 10,000 4/98 9,654 9,667 10,226 10/98 10,104 10,086 10,820 4/99 10,252 10,195 10,650 10/99 10,266 10,235 10,927 4/00 10,372 10,372 11,042 10/00 10,768 10,721 11,631 4/01 11,338 11,418 12,382 10/01 12,175 12,225 13,289 4/02 12,095 12,286 13,269 10/02 12,688 12,852 14,074 4/03 13,174 13,184 14,703 10/03 13,132 13,091 14,839 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the Lehman Brothers Intermediate Government/ Credit Bond Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. BOND FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Corporate Notes and Bonds 29% Private Label Mortgage Backed 1% Commercial Mortgage Backed 4% Cash & Other Net Assets 2% Mortgage Backed 33% Asset Backed 4% U.S. Government and Agency Obligations 27% MEMBERS BOND FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ -------- -------- -------- ------------ Class A Shares* 3.51% 6.84% 5.38% 5.65% -1.43% 5.12% 4.36% 4.77% Class B Shares** 2.64 6.01 4.60 4.86 -1.83 4.97 4.26 4.72 Lipper Intermediate Investment Grade Bond Fund Index 6.66 8.11 6.15 6.46 -- -- -- -- Lehman Brothers Intermediate Government/Credit Bond Index 5.43 8.46 6.52 6.99 -- -- -- -- * Maximum Sales Charge is 4.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 8 FUND PERFORMANCE REVIEW HIGH INCOME FUND INVESTMENT OBJECTIVE The High Income Fund seeks high current income by investing primarily in a diversified portfolio of lower-rated, higher-yielding income bearing securities. The Fund also seeks capital appreciation, but only when consistent with its primary goal. PORTFOLIO MANAGEMENT MEMBERS Capital Advisors uses one or more sub-advisors under a "manager of managers" approach to make investment decisions for this Fund. Massachusetts Financial Services (MFS) is the only subadvisor currently used by MEMBERS Capital Advisors to manage the assets of the Fund. PRIMARY INVESTMENT STRATEGIES The High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as "junk" bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 26. During most of the 12-month reporting period ended October 31, 2003, the bond market appeared to be influenced by interest rate cuts in the U.S and Europe, near-record low mortgage rates, and a weakening U.S. dollar. Investors showed reinvigorated interest in U.S. corporate bonds of all credit qualities. This probably was sparked by the historically low yields offered by U.S. Treasury securities, improvement in the balance-sheet quality among corporate issuers, and increased investor confidence. Low yields in particular made high-yield corporate issues more attractive to investors as evidenced by record inflows into the high-yield sector. This "grab for yield" came at a time of modest supply of new high-yield issues, and as a result, led to significant appreciation in high-yield bond prices. High-grade corporate bonds also performed well during the period, but not nearly as well as their high-yield cousins. As such, yield spreads between below-investment-grade and higher-quality bonds narrowed dramatically. The rebound in the high-yield market was led by the telecommunications, utilities, and media sectors. While the Fund was underweight in some of these sectors, the Fund's subadvisor was able to take advantage of the rally in the utilities sector and in the wireline segment of the telecommunications sector by choosing names believed to be attractive from fundamental and valuation standpoints. The Fund held overweight exposure to the media sector, favoring companies with the ability to generate strong free cash flow such as broadcasting companies that benefit from increases in advertising revenue during economic recoveries. Overall, the Fund's holdings were decidedly defensive relative to the high-yield market at large. This defensiveness served investors well in recent years, but contributed to its underperformance during the recent period as investors favored riskier options. The Fund continued to have significant underweight exposure to the wireline segment of the telecommunications industry which still faced many fundamental challenges including significant overcapacity. The Fund also had underweight exposure to the utilities sector, which proved to be one of the leaders of the high-yield rally during the period. In general, the Fund's strategy was to focus on issuers with improving fundamentals and to not take significant credit risk. In this environment, the High Income Fund provided strong, double-digit returns, but under-performed its representative index and peers, mostly due to its relatively defensive nature. The Fund posted a total return of 21.09% (Class A shares at net asset value) versus 33.77% for the Lehman Brothers High Yield Bond Index, and 30.28% for the Lipper High Yield Bond Fund Index. An economic recovery appears to be underway, and credit fundamentals are expected to continue to improve. This environment has historically proved positive for high-yield bonds, though we don't necessarily anticipate the same kind of appreciation we've witnessed during much of the past year. However, as companies improve their finances during a period of economic recovery, we believe that high-yield bonds will continue to provide value to investors relative to other sectors of the fixed-income market. The subadvisor continues to remain true to its disciplined research-based focus as company fundamentals tend to drive performance over the long term. MEMBERS Capital Advisors' Fixed Income Portfolio Management Team -- Advisor Massachusetts Financial Services -- Subadvisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 9 HIGH INCOME FUND HIGH INCOME FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum Lehman Brothers High Yield sales charge)* applicable CDSC)** Bond Index 12/29/97 9,525 10,000 10,000 4/98 9,799 9,800 10,398 10/98 8,974 8,962 9,790 4/99 10,171 10,091 10,444 10/99 9,843 9,805 10,215 4/00 10,085 10,114 10,233 10/00 9,763 9,698 10,050 4/01 9,992 10,001 10,334 10/01 9,574 9,571 10,035 4/02 10,054 10,233 10,701 10/02 9,606 9,745 9,484 4/03 10,902 10,947 11,642 10/03 11,630 11,617 12,687 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the Lehman Brothers High Yield Bond Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. HIGH INCOME FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Other Sectors 36% Industrials 8% Containers & Packaging 5% Cash and Other Net Assets 5% Basic Materials 7% Telecommunications 7% Energy 10% Communications 8% Media 7% Recreation 7% MEMBERS HIGH INCOME FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ -------- -------- -------- ------------ Class A Shares* 21.09% 6.01% 5.32% 3.48% 15.30% 4.30% 4.31% 2.62% Class B Shares** 19.96 5.17 4.55 2.71 15.46 4.19 4.27 2.60 Lipper High Yield Bond Fund Index 30.28 4.21 3.30 1.90 -- -- -- -- Lehman Brothers High Yield Bond Index 33.77 8.08 5.32 4.16 -- -- -- -- * Maximum Sales Charge is 4.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 10 FUND PERFORMANCE REVIEW BALANCED FUND INVESTMENT OBJECTIVE The Balanced Fund seeks a high total return through the combination of income and capital appreciation. PORTFOLIO MANAGEMENT The Fund is managed by a team of MEMBERS Capital Advisors' portfolio managers. PRIMARY INVESTMENT STRATEGIES The Balanced Fund invests in a broadly diversified array of securities including common stocks, bonds and money market instruments. The Fund employs regular rebalancing to maintain a relatively static asset allocation. Stock, bond and cash components will vary, however, reflecting the relative availability of attractively priced stocks and bonds. Generally, common stocks will constitute 60% to 40% of the Fund's assets, bonds will constitute 40% to 60% of the Fund's assets and money market instruments may constitute up to 20% of the Fund's assets. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 34. The MEMBERS Balanced Fund (Class A Shares at net asset value) returned 12.72% during the period ended October 31, 2003, out-performing the Blended Synthetic Index, a representative index of stocks, bonds, and money market instruments, which returned 11.74%. The Fund under-performed the Lipper Balanced Fund Index of its peers, which returned 16.21%. The Fund out-performed the Blended Synthetic Index primarily due to its lower holdings of cash, which was the worst-performing asset class during the period. The Fund trailed its peers primarily because of its more conservative, bond-heavy asset allocation. Stocks out-performed investment-grade bonds by a considerable margin during the period. Performance of the stock component of the Fund was negatively affected by a modest underweight in the information technology sector versus the S&P 500 Index. Performance was also hurt by stock selection in the information technology sector, where holdings Concord EFS, IBM, and Microsoft lagged behind the overall performance of the sector. Stocks of more speculative technology companies significantly out-performed the stocks of more established companies, so the Fund's conservative approach dampened performance. Stock selection in the utilities sector also hurt relative performance, as Duke Energy shares were punished after problems emerged in its merchant energy business. Performance was helped by stock selection in the consumer discretionary sector, as Tiffany & Co. rose sharply throughout the period as consumer spending on luxury goods was stronger than generally expected. Performance also benefited from stock selection in the health care sector, where holdings IMS Health and Wyeth performed well as investors came to believe that they were undervalued in respect to the profitability of their businesses. In financial markets led primarily by more speculative securities, the MEMBERS Balanced Fund's generally conservative approach led to under-performance versus the typical balanced fund. With stocks having risen significantly during the period and bonds apparently near the end of a three-year bull market, we believe the Fund's conservative posture should help it defend if financial markets correct or an unexpected event causes speculative money to head back to the sidelines. MEMBERS Capital Advisors' Common Stock and Fixed-Income Portfolio Management Teams -- Advisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 11 BALANCED FUND BALANCED FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Blended Synthetic Index (45% S&P 500 Index return, Class A Shares Class B Shares 40% Lehman brothers Intermediate (includes maximum (includes maximum Government/Credit Bond Index return, sales charge)* applicable CDSC)** 15% 90-Day U.S. Treasury Bill return) 12/29/97 9,425 10,000 10,000 4/98 10,281 10,432 10,872 10/98 10,266 10,374 11,196 4/99 11,736 11,420 11,707 10/99 11,866 11,922 12,017 4/00 12,653 12,852 12,724 10/00 12,893 13,053 13,383 4/01 12,579 12,728 13,054 10/01 11,792 11,867 13,680 4/02 11,993 12,329 12,735 10/02 10,897 11,161 12,063 4/03 11,228 11,357 12,554 10/03 12,284 12,385 13,479 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the Blended Synthetic Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. BALANCED FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Common Stocks 57% Private Label Mortgage Backed 1% Mortgage Backed 12% Asset Backed 2% Commercial Mortgage Backed 1% Cash and Other Net Assets 2% Corporate Notes & Bonds 12% U.S. Government and Agency Obligations 13% MEMBERS BALANCED FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ -------- -------- -------- ------------ Class A Shares* 12.72% -1.60% 3.65% 4.64% 6.24% -3.52% 2.44% 3.58% Class B Shares** 11.87 -2.34 2.90 3.87 7.37 -3.43 2.54 3.73 Lipper Balanced Fund Index 16.21 -0.68 3.53 4.44 -- -- -- -- Blended Synthetic Index 11.74 0.24 3.78 5.25 -- -- -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 12 FUND PERFORMANCE REVIEW GROWTH AND INCOME FUND INVESTMENT OBJECTIVE The Growth and Income Fund seeks long-term capital growth with income as a secondary consideration. PORTFOLIO MANAGEMENT The Fund is managed by a team of MEMBERS Capital Advisors' portfolio managers. PRIMARY INVESTMENT STRATEGIES The Growth and Income Fund focuses on stocks of companies with financial and market strengths and a long-term record of financial performance, and will, under normal market conditions, maintain at least 80% of its assets in such stocks. Primarily through ownership of a diversified portfolio of common stocks and securities convertible into common stocks, the Fund will seek a rate of return in excess of returns typically available from less variable investment alternatives. The Fund will typically invest in securities representing every sector of the S&P 500 Index in approximately(+/-50%) the same weightings such sector has in the S&P 500 Index. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 38. The MEMBERS Growth and Income Fund (Class A shares at net asset value) returned 18.95% during the period ended October 31, 2003, modestly under-performing the S&P 500 Stock Index, which returned 20.80%, and the Lipper Large-Cap Value Fund Index, which returned 20.57%. The Fund's underweighting of the information technology sector hurt performance versus the S&P 500 Index, as did overweights in the telecommunications services and energy sectors. Underweights in the health care and consumer staples sectors helped performance. Performance was hurt by stock selection in the consumer staples sector, where Sara Lee under-performed after experiencing operating difficulties, and in the utilities sector, where Duke Energy did poorly after troubles emerged in its merchant energy business. Stock selection helped performance in the consumer discretionary sector, where investors apparently recognized value in McDonalds and Home Depot, and in the health care sector, where management sold off a position in medical device maker Guidant after it appreciated significantly, and where Wyeth out-performed many of its peers. The 20+% returns provided by U.S. stocks generally during the year ended October 31, 2003 may reflect a return to economic growth following an extended recession, as well as a return of investor optimism regarding the prospects for future stock market returns. In such environments, conservative stock funds like the MEMBERS Growth and Income Fund often have provided returns which are attractive but somewhat less than those of more aggressively positioned funds. Looking ahead, investors' expectations may continue to increase, or they may begin to erode as the positive effects of tax cuts, low interest rates and record levels ofhome-loan refinancings dissipate. Although the Growth and Income Fund's performance may lag the overall stock market if expectations continue to improve, it may provide greater protection of share values if more modest expectations develop. MEMBERS Capital Advisors' Common Stock Portfolio Management Team -- Advisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 13 GROWTH AND INCOME FUND GROWTH AND INCOME FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum sales charge)* applicable CDSC)** S&P 500 Index 12/29/97 9,425 10,000 10,000 4/98 10,928 11,114 11,717 10/98 10,327 10,447 11,670 4/99 12,910 12,287 13,057 10/99 12,634 12,821 14,667 4/00 13,654 13,893 15,725 10/00 13,506 13,682 15,560 4/01 12,430 12,566 13,677 10/01 10,748 10,777 11,680 4/02 11,300 11,609 11,948 10/02 9,081 9,295 9,915 4/03 9,286 9,365 10,359 10/03 10,801 10,861 11,977 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the S&P 500 Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. GROWTH AND INCOME FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Materials 4% Industrials 11% Energy 8% Health Care 9% Telecommunication Services 4% Consumer Staples 8% Cash and Other Net Assets 5% Financials 24% Utilities 3% Consumer Discretionary 11% Information Technology 13% MEMBERS GROWTH AND INCOME FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ -------- -------- -------- ------------ Class A Shares* 18.95% -7.18% 0.90% 2.36% 12.12% -9.00% -0.28% 1.33% Class B Shares** 17.93 -7.90 0.12 1.58 13.43 -8.99 -0.28 1.42 Lipper Large-Cap Value Fund Index 20.57 -4.50 1.53 3.01 -- -- -- -- S&P 500 Index 20.80 -8.34 0.53 3.14 -- -- -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 14 FUND PERFORMANCE REVIEW CAPITAL APPRECIATION FUND INVESTMENT OBJECTIVE The Capital Appreciation Fund seeks long-term capital appreciation. PORTFOLIO MANAGEMENT The Fund is managed by a team of MEMBERS Capital Advisors' portfolio managers. PRIMARY INVESTMENT STRATEGIES The Capital Appreciation Fund invests primarily in common stocks, and will, under normal market conditions, maintain at least 80% of its assets in such securities. The Fund seeks stocks that have low market prices relative to their intrinsic values as estimated based on fundamental analysis of the issuing companies and their prospects. Relative to the Growth and Income Fund, the Capital Appreciation Fund will include some smaller, less developed issuers and some companies undergoing more significant changes in their operations or experiencing significant changes in their markets. The Fund will diversify its holdings among various industries and among companies within those industries but will often be less diversified than the Growth and Income Fund. The Fund typically invests in securities representing every sector of the S&P SuperComposite 1500 Index in approximately (+/-100%) the same weight-ings as such sector has in the S&P SuperComposite 1500 Index. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 40. The MEMBERS Capital Appreciation Fund (Class A shares at net asset value) returned 23.36% during the period ended October 31, 2003, out-performing the S&P 1500 SuperComposite Index, which returned 22.01%, but underperforming the Lipper Multi-Cap Core Fund Index of similar funds, which returned 24.33%. Fund performance versus the S&P 1500 was helped by an overweight in the information technology sector. Fund performance was hurt by stock selection in the financials sector, where Freddie Mac underperformed after it appeared more likely that it and its sibling Fannie Mae would face increased regulatory scrutiny. Stock selection also hurt performance in the information technology sector, where Concord EFS declined after news emerged that its proposed merger with First Data was under antitrust scrutiny by the U.S. Department of Justice. Performance was helped by stock selection in the health care sector, where Boston Scientific and IMS Health both rose significantly as investors apparently began to find more value in their underlying businesses, and in the industrials sector, where Dover and FedEx apparently were seen as either benefiting or about to benefit from the acceleration in economic activity over the summer months. In the period, MEMBERS Capital Appreciation Fund rebounded strongly from subpar performance in a portion of the prior year as unprecedented instances of corporate fraud and earnings restatements were disclosed. Management continues to try to avoid more speculative securities. In the recent environment of marked increases in investor exuberance, this restraint led to modest under-performance versus its peer funds, many of which apparently were willing to take on a higher level of risk. If the recent surge in speculative activity in U.S. stock markets should fade, the Fund's posture may help it to defend, while still offering investors the opportunity for very attractive long-term capital appreciation. MEMBERS Capital Advisors' Common Stock Portfolio Management Team--Advisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 15 CAPITAL APPRECIATION FUND CAPITAL APPRECIATION FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum sales charge)* applicable CDSC)** S&P SuperComposite 1500 Index 12/29/97 9,425 10,000 10,000 4/98 11,057 11,261 11,692 10/98 10,415 10,541 11,428 4/99 12,558 12,034 13,445 10/99 12,945 13,153 14,281 4/00 14,585 14,870 15,481 10/00 15,550 15,812 15,446 4/01 14,708 14,940 13,757 10/01 12,116 12,205 11,795 4/02 12,057 12,401 12,314 10/02 9,142 9,364 10,140 4/03 9,674 9,779 10,586 10/03 11,278 11,366 12,371 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the S&P SuperComposite 1500 Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. CAPITAL APPRECIATION FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Cash and Other Net Assets 4% Materials 2% Utilities 2% Health Care 16% Energy 5% Consumer Discretionary 11% Telecommunication Services 3% Industrials 11% Consumer Staples 11% Information Technology 18% Financials 17% MEMBERS CAPITAL APPRECIATION FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ -------- -------- -------- ------------ Class A Shares* 23.36% -10.15% 1.60% 3.12% 16.24% -11.90% 0.41% 2.08% Class B Shares** 22.45 -10.81 0.85 2.37 17.95 -11.86 0.46 2.22 Lipper Multi-Cap Core Fund Index 24.33 -6.71 2.66 3.60 -- -- -- -- S&P SuperComposite 1500 Index 22.01 -7.10 1.60 3.71 -- -- -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 16 FUND PERFORMANCE REVIEW MID-CAP FUND INVESTMENT OBJECTIVE The Mid-Cap Fund seeks long-term capital appreciation. PORTFOLIO MANAGEMENT MEMBERS Capital Advisors' uses one or more subadvisors under a "manager of managers" approach to make investment decisions for some or all of the assets of this Fund. Wellington Management Company, LLP is the only subadvisor currently used by MEMBERS Capital Advisors to manage the assets within the small-cap portion of the Fund. PRIMARY INVESTMENT STRATEGIES The Mid-Cap Fund invests primarily in common stocks of midsize and smaller companies (market capitalization of less than $10 billion at the time of purchase), and will under normal market conditions, maintain at least 80% of its assets in such securities. The Fund seeks stocks in this midsize to smaller range that have a low market price relative to their value as estimated based on fundamental analysis of the issuing company and its prospects. Relative to both the Growth and Income and Capital Appreciation Funds, the Mid-Cap Fund includes more smaller, less developed issuers. The Fund diversifies its holdings among various industries and among companies within those industries but is often less diversified than the Growth and Income Fund. The Fund typically invests in securities representing every sector of the S&P MidCap 400 Index in approximately (+/-100%) the same weight-ings as such sector has in the S&P MidCap 400 Index. For a listing of the securities held in the portfolio on October 31, 2003, please turn to page 42. The MEMBERS Mid-Cap Fund (Class A shares net asset value) returned 28.70% during the period ended October 31, 2003, trailing the S&P MidCap 400 Index, which returned 30.73%, and the Lipper Mid-Cap Value Fund Index of similar funds, which returned 33.60%. The Fund's performance versus the S&P MidCap 400 Index was hurt by an underweight in the information technology sector. Fund performance also was hurt by stock selection in the consumer discretionary sector, where Newell Rubbermaid significantly under-performed, and in the information technology sector, where Investment Technology Group posted a large decline. Performance was helped by stock selection in the health care sector, where pharmacy services provider Omnicare appreciated 77.06% after posting excellent operating results, and in the materials sector, where construction materials provider Martin Marietta benefited from the housing boom. The absolute returns of the MEMBERS Mid-Cap Fund during the fiscal year just ended are remarkable, even though they modestly lagged the returns of its benchmark and peers. Periods of under- and out-performance by this Fund, like other mutual funds, are to be expected. The Fund's management generally expects the Fund to under-perform in very strong market environments, and to moderate market value declines in weak markets. Looking ahead, as recent monetary and fiscal stimulants dissipate, the Mid-Cap Fund's more defensive nature may serve investors well. MEMBERS Capital Advisors' Common Stock Portfolio Management Team -- Advisor Wellington Management Company, LLP -- Subadvisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 17 MID-CAP FUND MID-CAP FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum sales charge)* applicable CDSC)** S&P MidCap 400 Index 2/28/01 9,425 10,000 10,000 4/01 9,793 9,930 10,278 10/01 8,935 9,006 9,126 4/02 10,601 11,160 10,954 10/02 8,149 8,540 8,691 4/03 8,630 8,705 9,036 10/03 10,488 10,560 11,362 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the S&P MidCap 400 Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MID-CAP FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Utilities 8% Consumer Staples 5% Health Care 10% Cash and Other Assets 4% Telecommunication Services 1% Financials 22% Information Technology 10% Energy 6% Industrials 14% Materials 4% Consumer Discretionary 16% MEMBERS MID-CAP FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months Since 12 Months Since Ended Inception Ended Inception 10/31/03 to 10/31/03+ 10/31/03 to 10/31/03+ -------- ------------ -------- ------------ Class A Shares* 28.70% 4.08% 21.26% 1.80% Class B Shares** 27.75 3.31 23.25 2.06 Lipper Mid-Cap Value Fund Index 33.60 6.44 -- -- S&P MidCap 400 Index 30.73 4.90 -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on February 28, 2001. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 18 FUND PERFORMANCE REVIEW MULTI-CAP GROWTH FUND INVESTMENT OBJECTIVE The Muti-Cap Growth Fund seeks long-term capital appreciation. PORTFOLIO MANAGEMENT MEMBERS Capital Advisors uses one or more subadvisors under a "manager of managers" approach to make investment decisions for this Fund. Wellington Management Company, LLP is the only subadvisor currently used by MEMBERS Capital Advisors to manage the assets of the Fund. PRIMARY INVESTMENT STRATEGIES The Multi-Cap Growth Fund invests generally in common stocks, securities convertible into common stocks and related equity securities. Under normal market conditions, the fund will maintain at least 80% of its assets in these securities. The Fund seeks securities of growth companies across a broad range of market capitalization, which are companies that may be: - - major enterprises that have demonstrated and are expected to sustain above-average growth or whose rates of earnings growth are anticipated to accelerate because of factors such as expectations relative to management, new or unique products, superior market position, changes in demand for the company's products, or changes in the economy or segments of the economy affecting the company; or - - early in their life cycle, but have the potential to become much larger enterprises. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 44. During the 12-month period ended October 31, 2003, the Multi-Cap Growth Fund provided excellent performance, posting a total return of 27.79% (Class A shares at net asset value). That compares well with the Fund's representative index -- the Russell 3000 Growth Index -- which produced a total return for the period of 23.36% for the period, and the Fund's peer index -- the Lipper Multi-Cap Growth Fund Index -- which returned 28.14%. The Fund's superior performance was primarily due to strong stock selection, which particularly added value in healthcare and financials, especially pharmaceuticals and bank industries. The subadvisor has been able to invest in pharmaceutical companies with solid product cycles, as well as attractively valued banks that may continue to benefit from a recovery in the economic cycle. Given the bottom-up investment strategy employed by the Multi-Cap Growth Fund's subadvisor, sector allocations generally reflected individual stock selection decisions. The Fund's out-performance during the period was primarily due to strong stock selection, which added value in health care and financials. Within these sectors, stock selection in the pharmaceuticals and banking industries helped boost returns. Within these industries, the subadvisor has been able to invest in pharmaceutical companies with solid product cycles and attractively valued banks that are likely to stand to benefit from a recovery in the economic cycle. In keeping with its investment approach, the subadvisor continues to invest in sectors that have the potential to outperform the market long term. The Fund's significant underweight position in the defensive consumer staples sector significantly added to overall performance. Three top contributors to performance were the banking company Countrywide Financial, media company Omnicom Group and Citigroup, a diversified financial services company. Countrywide Financial rose as investors began to recognize the value of the company's large servicing portfolio and its rising share of the mortgage origination market. Omnicom Group advanced on its better than expected revenue growth and the signs of improvement in the advertising sector. Citigroup benefited from its leverage to rising financial markets, among other factors. Partially offsetting these results was weaker stock selection within the information technology and materials sectors. The Fund's underweight position in utilities detracted from performance. Holdings that detracted from performance included pharmaceutical giant Schering-Plough, health care equipment company HCA, and staple retailer CVS. Schering-Plough is undergoing competitive pressures across several key drug franchises. HCA has faced lower admissions growth due to a weak economy and changes in employer benefit plans that discourage use of hospitals. CVS struggled with increased levels of competition from the food and discount retailers. All three stocks were eliminated from the Fund by the end of the period. We continue to be positive about the economy and overall business environment. Corporate sentiment continues to improve, which should lead to continued improvement in the inventory cycle. Fiscal and monetary policies remain highly stimulative, and should continue to be so as we approach the election in 2004. Consumers continue to spend, although it remains to be seen if their high spending levels will continue. Employment growth is stabilizing, and state and local budgets appear to be on the mend. These improvements, if they are sustained, should provide support to stock prices in general as corporate profits improve and investors extend their increased willingness to assume risk that has driven stocks higher over the last several months. MEMBERS Capital Advisors' Common Stock Portfolio Management Team -- Advisor Wellington Management Company, LLP -- Subadvisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 19 MULTI-CAP GROWTH FUND MULTI-CAP GROWTH FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION- [LINE GRAPH] Class A Shares Class B Shares (includes maximum (includes maximum sales charge)* applicable CDSC)** Russell 3000 Growth Index 2/28/00 9,425 10,000 10,000 4/00 8,087 8,194 10,023 10/00 7,417 7,478 9,221 4/01 5,353 5,405 6,839 10/01 4,024 4,051 5,594 4/02 3,949 4,130 5,521 10/02 3,289 3,420 4,490 4/03 3,450 3,473 4,595 10/03 4,204 4,210 5.539 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the Russell 3000 Growth Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MULTI-CAP GROWTH FUND DIVERSIFICATION OF INVESTMENTS AMONG MARKET SECTORS [PIE CHART] Other Sectors 6% Telecommunications 6% Information Technology 35% Cash and Other Net Assets 4% Financials 11% Consumer Services 9% Health Care 19% Consumer Discretionary 10% MEMBERS MULTI-CAP GROWTH FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years Since 12 Months 3 Years Since Ended Ended Inception Ended Ended Inception 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 to 10/31/03+ -------- -------- ------------ -------- -------- ------------ Class A Shares* 27.79% -17.25% -19.74% 20.54% -18.86% -21.03% Class B Shares** 26.90 -17.86 -20.34 22.40 -18.83 -21.00 Lipper Multi-Cap Growth Fund Index 28.14 -16.14 -16.50 -- -- -- Russell 3000 Growth Index 23.36 -15.62 -14.86 -- -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on February 29, 2000. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 20 FUND PERFORMANCE REVIEW INTERNATIONAL STOCK FUND INVESTMENT OBJECTIVE The International Stock Fund seeks long-term growth of capital. PORTFOLIO MANAGEMENT MEMBERS Capital Advisors uses one or more sub-advisors under a "manager of managers" approach to make investment decisions for this Fund. Lazard Asset Management is the only subadvisor currently used by MEMBERS Capital Advisors to manage the assets of the Fund. PRIMARY INVESTMENT STRATEGIES Under normal market conditions, the International Stock Fund invests at least 80% of its assets in foreign equity securities. Foreign securities are issued by companies organized or whose principal operations are outside the U.S., issued by a foreign government, principally traded outside of the U.S., or quoted or denominated in a foreign currency. Equity securities include common stocks, securities convertible into common stocks, preferred stocks and other securities representing equity interests such as American Depository Receipts, European Depository Receipts and Global Depository Receipts. For a listing of the securities held in the portfolio at October 31, 2003, please turn to page 46. After a slow start, international stock markets rallied during the 12-month period ended October 31, 2003, particularly after news about the war in Iraq and global economies turned mostly positive. Investors' appetite for risk rose to levels not seen since the late 1990s, with riskier small-cap and emerging market stocks posting impressive gains. Large-cap stocks in developed markets also posted strong results in general, but underperformed relative to their more aggressive counterparts. Around the globe, growth stocks generally outperformed value stocks. Again, this was mostly due to investors' apparent increased appetite for risk. In the international small-cap arena, highly leveraged and more aggressive firms generally produced the best results. The small-cap segment of the fund underperformed during the period as a result of its more conservative bias, particularly its underweight in the technology sector. Emerging market stock indexes also benefited from continued optimism regarding the global economy and increased appetite for risk. There was relatively little difference in performance by region as nearly all areas of the globe participated in the rally that started earlier in 2003. By sector, the sharpest gains were recorded in information technology and materials, both of which also performed well in developed markets. The weakest sectors were the more defensive, particularly healthcare and consumer staples. The International Stock Fund outperformed its benchmark and peers during the period. The Fund posted a total return of 28.46% (Class A shares at net asset value), versus 27.57% for the MSCI EAFE Index and 26.55% for the Lipper International Fund Index. During the last year, international stock markets posted impressive returns that were reminiscent of the bubble years of the last decade. Much of the rally may have reflected improving sentiment among investors who finally saw light at the end of the economic tunnel after three years of malaise and international turmoil. The Fund generally benefited from these improvements through its exposure to small-cap and emerging market stocks. While we welcome such improvements in investor psychology, we are concerned that some of that improvement may have been faster than the near-term global economic outlook can support. Also, a weakening U.S. dollar probably aided performance, but could ultimately hurt the prospects of overseas corporations in the intermediate term. As such, within the Fund's three major segments -- EAFE large cap, EAFE small-cap and emerging market stocks -- stock selection will continue to seek attractively valued companies with positive long-term outlooks and will seek to avoid those companies that might be most vulnerable to a market setback. MEMBERS Capital Advisors' Common Stock Portfolio Management Team -- Advisor Lazard Asset Management -- Subadvisor [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FUND PERFORMANCE REVIEW 21 INTERNATIONAL STOCK FUND INTERNATIONAL STOCK FUND CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION - [LINE GRAPH] Class A Shares Class B Shares Morgan Stanley Capital International (includes maximum (includes maximum Europe, Australasia & Far East Index sales charge)* applicable CDSC)** (MSCI EAFE Index ) 12/29/97 9,425 10,000 10,000 4/98 11,104 11,301 11,592 10/98 9,764 9,840 11,090 4/99 11,084 10,916 12,035 10/99 11,413 11,545 13,863 4/00 10,981 11,103 14,619 10/00 10,353 10,413 10,410 4/01 9,632 9,703 12,257 10/01 7,984 8,017 10,033 4/02 9,044 9,291 10,613 10/02 7,646 7,826 8,745 4/03 7,895 7,983 8,923 10/03 9,822 9,885 11,156 - - This chart compares a $10,000 investment made in the Fund on its inception date to a $10,000 investment made in the index on that date. All dividends and capital gains are reinvested. Further information relating to the Fund's performance, including expense reimbursements, is contained in the Prospectus and elsewhere in this report. Past performance is not indicative of future performance. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Indices are unmanaged and investors cannot invest in them. Additionally, the MSCI EAFE Index return does not reflect expenses or sales charges. The graphs above and the table below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. INTERNATIONAL STOCK FUND GEOGRAPHICAL DIVERSIFICATION OF INVESTMENTS [PIE CHART] Latin America 6% United Kingdom 20% Africa 3% Japan 12% Cash and Other Net Assets 3% Other Countries 5% Pacific Basin 13% Europe (excluding United Kingdom) 38% MEMBERS INTERNATIONAL STOCK FUND AVERAGE ANNUAL TOTAL RETURN % Return Without Sales Charge % Return After Sales Charge*** 12 Months 3 Years 5 Years Since 12 Months 3 Years 5 Years Since Ended Ended Ended Inception Ended Ended Ended Inception 10/31/03 10/31/03 10/31/03 to 10/31/03+ 10/31/03 10/31/03 10/31/03 to 10/31/03+ -------- -------- -------- ------------ --------- -------- -------- ------------ Class A Shares* 28.46% -1.74% 0.12% 0.71% 21.02% -3.65% -1.06% -0.31% Class B Shares** 27.44 -2.50 -0.62 -0.05 22.94 -3.65 -0.98 -0.20 Lipper International Fund Index 26.55 -4.83 1.88 2.50 -- -- -- -- MSCI EAFE Index 27.57 -5.77 0.09 1.89 -- -- -- -- * Maximum Sales Charge is 5.75% for A Shares. ** Maximum Contingent Deferred Sales Charge is 4.5% for B Shares. *** Assuming Maximum Applicable Sales Charge. + Fund commenced operations on December 29, 1997. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 22 CASH RESERVES FUND -- PORTFOLIO OF INVESTMENTS Value Par Value (Note 2) --------- -------- COMMERCIAL PAPER (A) - 28.80% CHEMICALS - 3.80% $ 1,000,000 E.I. du Pont de Nemours and Co. 1.010%, due 11/18/03.................................... $ 999,523 ----------- FINANCE - 25.00% 1,000,000 American General Finance Corp. 1.030%, due 11/20/03.................................... 999,456 1,000,000 CXC, Inc. 1.050%, due 12/08/03.................................... 998,921 750,000 Greyhawk Funding LLC 1.100%, due 01/05/04 748,510 1,000,000 Household Finance Corp. 1.090%, due 01/06/04.................................... 998,002 1,000,000 NESS LLC 1.060%, due 12/05/03 998,999 800,000 Nestle Capital Corp 1.030%, due 12/04/03.................................... 799,245 1,033,000 Perry Global Funding LLC 1.060%, due 11/06/03.................................... 1,032,848 ----------- 6,575,981 ----------- TOTAL COMMERCIAL PAPER.................................. 7,575,504 ----------- (Cost $7,575,504) CORPORATE NOTES AND BONDS - 26.68% CONSUMER STAPLES - 1.95% 500,000 PepsiCo Inc 4.500%, due 09/15/04.................................... 514,162 ----------- FINANCE - 18.89% 1,000,000 American Express Credit Corp. (G) 1.150%, due 11/05/03.................................... 1,000,000 450,000 Associates Corp. of North America 5.750%, due 11/01/03.................................... 450,000 900,000 General Electric Capital Corp. (G) 1.270%, due 01/22/04.................................... 900,437 400,000 Merrill Lynch & Co., Inc. (G) 1.420%, due 11/10/03.................................... 400,483 500,000 Merrill Lynch & Co., Inc. (G) 1.650%, due 01/12/04.................................... 500,553 1,000,000 Morgan Stanley Dean Witter & Co. (G) 1.495%, due 11/07/03.................................... 1,001,676 700,000 Wells Fargo Financial, Inc. 5.450%, due 05/03/04.................................... 715,031 ----------- 4,968,180 ----------- RETAIL - 2.95% 750,000 Wal-Mart Stores, Inc. 7.500%, due 05/15/04.................................... 776,002 ----------- TELECOMMUNICATION - 2.89% 750,000 Bellsouth Corp. (C)(G) 4.160%, due 04/26/04.................................... 759,825 ----------- TOTAL CORPORATE NOTES AND BONDS......................... 7,018,169 ----------- (Cost $7,018,169) U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 36.21% FEDERAL FARM CREDIT BANK - 1.84% 486,000 0.900%, due 03/17/04.................................... $ 484,336 ----------- FEDERAL HOME LOAN BANK - 7.79% 548,000 1.030%, due 12/01/03.................................... 547,529 1,500,000 3.125%, due 11/14/03.................................... 1,500,983 ----------- 2,048,512 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.59% 1,000,000 1.010%, due 11/03/03.................................... 999,944 1,000,000 1.075%, due 01/21/04.................................... 997,581 ----------- 1,997,525 ----------- STUDENT LOAN MARKETING ASSOCIATION - 11.40% 3,000,000 1.030%, due 11/04/03 (G)................................ 3,000,000 ----------- U.S. TREASURY BILL - 7.59% 2,000,000 0.910%, due 01/02/04.................................... 1,996,866 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS..................................... 9,527,239 (Cost $9,527,239) ----------- Shares ------ INVESTMENT COMPANY - 4.18% 1,099,478 SSgA Prime Money Market Fund............................ 1,099,478 ----------- TOTAL INVESTMENT COMPANY................................ 1,099,478 ----------- (Cost $1,099,478) Par Value --------- REPURCHASE AGREEMENT - 3.80% $ 1,000,000 J. P. Morgan Chase & Co. 0.970%, due 11/03/03, dated 10/31/03, collateralized by $390,000 of Federal Farm Credit Bank, market value $393,081; $500,000 of Federal Home Loan Bank, market value $550,665; and $80,000 of Federal Home Loan Mortgage Corp., market value $79,776................... 1,000,000 ----------- TOTAL REPURCHASE AGREEMENT............................. 1,000,000 ----------- (Cost $1,000,000) TOTAL INVESTMENTS - 99.67%........................................ 26,220,390 ----------- (Cost $26,220,390**) NET OTHER ASSETS AND LIABILITIES - 0.33%.......................... 86,537 ----------- TOTAL NET ASSETS - 100.00%........................................ $26,306,927 =========== - ------------------- ** Aggregate cost for Federal tax purposes. (A) Rate noted represents annualized yield at time of purchase. (C) 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 notes. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 BOND FUND -- PORTFOLIO OF INVESTMENTS 23 Value Par Value (Note 2) --------- -------- ASSET BACKED - 3.58% $ 550,000 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (G) 8.050%, due 09/21/30................................ $ 592,622 600,000 Conseco Finance Securitizations Corp., Series 2001-1, Class M1 7.535%, due 07/01/32................................ 330,000 700,000 Green Tree Home Equity Loan Trust, Series 1999-A, Class B1 8.970%, due 11/15/27................................ 731,276 2,000,000 Long Beach Mortgage Loan Trust, Series 2002-1, Class M3 (G) 3.620%, due 05/25/32................................ 1,943,900 1,500,000 New Century Home Equity Trust, Series 2003-5, Class AI5 5.500%, due 09/25/31................................ 1,518,516 ----------- TOTAL ASSET BACKED.................................. 5,116,314 ----------- (Cost $5,286,530) COMMERCIAL MORTGAGE BACKED - 3.73% 1,200,000 Duke Weeks Industrial Trust, Series 2000-DW1, Class A2 (C) 7.151%, due 10/15/10................................ 1,373,963 1,475,880 Morgan Stanley Capital I, Inc., Series 1999-CAM1, Class A3 6.920%, due 03/15/32................................ 1,603,977 2,000,000 Morgan Stanley Dean Witter Capital I, Inc., Series 2000-PRIN, Class A4 7.490%, due 01/23/15................................ 2,348,572 ----------- TOTAL COMMERCIAL MORTGAGE BACKED.................... 5,326,512 ----------- (Cost $5,084,533) PRIVATE LABEL MORTGAGE BACKED - 1.18% 1,600,000 Countrywide Alternative Loan Trust, Series 2002-5, Class A10 6.750%, due 06/25/32................................ 1,682,939 ----------- TOTAL PRIVATE LABEL MORTGAGE BACKED................. 1,682,939 ----------- (Cost $1,625,411) CORPORATE NOTES AND BONDS - 28.78% AEROSPACE/DEFENSE - 0.28% 400,000 Raytheon Co. 4.500%, due 11/15/07................................ 401,140 ----------- BASIC INDUSTRIES - 1.10% 300,000 International Paper Co. 8.125%, due 07/08/05................................ 328,651 200,000 International Paper Co. 7.875%, due 08/01/06................................ 225,097 1,000,000 Weyerhaeuser Co. 6.875%, due 12/15/33................................ 1,018,511 ----------- 1,572,259 ----------- BASIC MATERIALS - 0.61% 850,000 Abitibi-Consolidated, Inc. 8.850%, due 08/01/30................................ 876,905 ----------- CABLE - 1.19% $800,000 Comcast Corp. 5.300%, due 01/15/14................................ 786,288 500,000 Cox Communications, Inc. 6.875%, due 06/15/05................................ 537,020 350,000 TCI Communications, Inc. 8.650%, due 09/15/04................................ 370,276 ----------- 1,693,584 ----------- CAPITAL GOODS - 0.37% 500,000 United Technologies Corp. 6.625%, due 11/15/04................................ 525,506 ----------- CHEMICALS - 0.75% 1,000,000 Dow Chemical Co. 5.750%, due 12/15/08................................ 1,063,488 ----------- COMMUNICATION SERVICES - 0.70% 1,000,000 Clear Channel Communications, Inc. 4.250%, due 05/15/09................................ 993,376 ----------- CONSUMER STAPLES - 0.88% 750,000 Coca-Cola Enterprises, Inc. 4.375%, due 09/15/09................................. 762,176 500,000 Safeway, Inc. 4.125%, due 11/01/08................................. 498,301 ----------- 1,260,477 ----------- ENERGY - 2.96% 500,000 Burlington Resources Finance Co. 5.700%, due 03/01/07................................ 543,859 600,000 Conoco, Inc. 5.900%, due 04/15/04................................ 612,240 500,000 Occidental Petroleum Corp. 5.875%, due 01/15/07................................ 543,886 400,000 Phillips Petroleum Co. 8.500%, due 05/25/05................................ 439,890 500,000 Sunoco, Inc. 7.125%, due 03/15/04................................ 509,707 450,000 Texaco Capital, Inc. 5.700%, due 12/01/08................................ 478,983 1,000,000 Valero Energy Corp. 7.500%, due 04/15/32................................ 1,094,236 ----------- 4,222,801 ----------- FINANCE - 7.78% 500,000 AIG SunAmerica Global Financing XII (C) 5.300%, due 05/30/07................................ 539,681 750,000 American Association of Retired Persons (C) 7.500%, due 05/01/31................................ 866,882 500,000 American General Finance Corp. 4.625%, due 09/01/10................................ 502,180 850,000 Bank of America Corp. 4.875%, due 01/15/13................................ 845,442 500,000 Bear Stearns Cos., Inc. 7.800%, due 08/15/07................................ 578,698 1,000,000 Cendant Corp. 6.250%, due 01/15/08................................ 1,085,338 500,000 CIT Group, Inc. 7.375%, due 04/02/07................................ 563,994 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 24 BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) FINANCE (CONTINUED) $ 750,000 Countrywide Home Loans, Inc. 5.250%, due 06/15/04 ................................... $ 766,942 750,000 EOP Operating LP 6.500%, due 06/15/04 ................................... 772,177 750,000 Goldman Sachs Group, Inc. 5.700%, due 09/01/12 ................................... 783,994 750,000 Household Finance Corp. 6.500%, due 11/15/08 ................................... 837,271 500,000 MBNA America Bank N.A. (C) 6.875%, due 07/15/04 ................................... 516,461 500,000 Merrill Lynch & Co., Inc. 7.375%, due 05/15/06 ................................... 555,127 500,000 U.S. Bank N.A. 6.300%, due 02/04/14 ................................... 551,507 750,000 Wachovia Corp. 4.950%, due 11/01/06 ................................... 795,832 500,000 Washington Mutual Finance Corp. 6.250%, due 05/15/06 ................................... 542,449 ------------- 11,103,975 ------------- INDUSTRIALS - 4.56% 1,000,000 Caterpillar Financial Services Corp. 2.500%, due 10/03/06 ................................... 992,984 1,000,000 DaimlerChrysler North America Holding Corp. 4.750%, due 01/15/08 ................................... 999,181 500,000 Ford Motor Credit Co. (G) 1.351%, due 04/28/05 ................................... 489,798 500,000 Ford Motor Credit Co. 7.600%, due 08/01/05 ................................... 530,139 800,000 General Electric Co. 5.000%, due 02/01/13 ................................... 805,069 500,000 General Electric Global Insurance Corp. 7.000%, due 02/15/26 ................................... 528,534 500,000 General Motors Acceptance Corp. 6.125%, due 08/28/07 ................................... 526,722 600,000 General Motors Acceptance Corp. 6.875%, due 09/15/11 ................................... 618,962 500,000 Waste Management, Inc. 7.000%, due 10/01/04 ................................... 521,103 450,000 Waste Management, Inc. 6.375%, due 11/15/12 ................................... 490,410 ------------- 6,502,902 ------------- PIPELINE - 0.73% 250,000 ENSERCH Corp. 6.375%, due 02/01/04 ................................... 252,252 750,000 Kinder Morgan, Inc. 6.650%, due 03/01/05 ................................... 795,934 ------------- 1,048,186 ------------- REITS - 0.36% 500,000 Avalon Bay Communities, Inc. 6.580%, due 02/15/04 ................................... 507,095 ------------- TELECOMMUNICATIONS - 2.19% 750,000 Bellsouth Capital Funding Corp. 7.875%, due 02/15/30 ................................... 901,201 750,000 SBC Communications, Inc. 5.875%, due 08/15/12 ................................... 793,316 250,000 Sprint Capital Corp. 7.125%, due 01/30/06 ................................... 270,298 200,000 Telephone & Data Systems, Inc. 7.000%, due 08/01/06 ................................... 217,075 500,000 Verizon Wireless Capital LLC 5.375%, due 12/15/06 ................................... 533,992 400,000 Vodafone Group PLC 6.250%, due 11/30/32 ................................... 402,926 ------------- 3,118,808 ------------- TRANSPORTATION - 1.16% 750,000 Burlington Northern Santa Fe Corp. 6.375%, due 12/15/05 ................................... 814,065 750,000 Norfolk Southern Corp. 7.250%, due 02/15/31 ................................... 847,189 ------------- 1,661,254 ------------- UTILITIES - 3.16% 750,000 DTE Energy Co. 6.450%, due 06/01/06 ................................... 813,418 500,000 Energy East Corp. 8.050%, due 11/15/10 ................................... 588,992 500,000 FirstEnergy Corp., Series A 5.500%, due 11/15/06 ................................... 525,432 750,000 Niagara Mohawk Power Co. 7.750%, due 05/15/06 ................................... 843,768 250,000 Progress Energy, Inc. 7.750%, due 03/01/31 ................................... 292,000 600,000 Virginia Electric and Power Co., Series A 5.750%, due 03/31/06 ................................... 643,954 750,000 Wisconsin Electric Power Co. 6.500%, due 06/01/28 ................................... 803,289 ------------- 4,510,853 ------------- TOTAL CORPORATE NOTES AND BONDS ........................ 41,062,609 ------------- (Cost $39,544,617) MORTGAGE BACKED - 32.99% FEDERAL HOME LOAN MORTGAGE CORP.- 8.48% 2,150,073 5.000%, due 05/01/18 Pool # E96322 ..................... 2,184,849 1,518,994 7.000%, due 07/15/27 Series 1974 Class ZA .............. 1,597,679 2,500,000 5.500%, due 05/15/28 Series 2519 Class NG .............. 2,576,833 2,630,000 6.000%, due 02/15/30 Series 2470 Class BA .............. 2,751,885 33,697 8.000%, due 06/01/30 Pool # C01005 ..................... 36,273 711,928 6.500%, due 07/15/30 Series 2351 Class PX 725,029 230,806 7.000%, due 03/01/31 Pool # C48133 ..................... 242,845 548,925 6.500%, due 01/01/32 Pool # C62333 ..................... 570,985 1,382,481 6.000%, due 09/01/32 Pool # C70558 ..................... 1,419,115 ------------- 12,105,493 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 19.68% 512,283 6.100%, due 04/01/11 Pool # 383475 ..................... 559,727 2,200,000 5.500%, due 12/25/14 Series 2002-55 Class QC ........... 2,285,483 172,501 6.000%, due 05/01/16 Pool # 582558 ..................... 179,443 507,318 5.500%, due 09/01/17 Pool # 657335 ..................... 522,543 1,721,157 5.500%, due 02/01/18 Pool # 673194 ..................... 1,772,811 301,264 6.000%, due 05/01/21 Pool # 253847 ..................... 310,803 1,442,265 5.500%, due 12/01/22 Pool # 254587 ..................... 1,468,425 1,460,296 6.000%, due 03/25/27 Series 1998-63 Class PG ........... 1,488,490 181,435 6.000%, due 11/01/31 Series 2001-72 Class NC ........... 181,360 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 25 Value Par Value (Note 2) --------- ------------- MORTGAGE BACKED (CONTINUED) FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 503,092 7.000%, due 11/01/31 Pool # 607515 ..................... $ 529,717 443,796 6.000%, due 02/01/32 Pool # 611619 ..................... 455,654 1,166,035 6.500%, due 03/01/32 Pool # 631377 ..................... 1,211,408 175,212 7.000%, due 05/01/32 Pool # 644591 ..................... 184,485 4,237,062 6.500%, due 06/01/32 Pool # 545691 ..................... 4,401,936 987,732 6.000%, due 12/01/32 Pool # 676552 ..................... 1,014,123 2,867,487 5.500%, due 04/01/33 Pool # 690206 ..................... 2,895,173 2,461,434 5.500%, due 05/01/33 Pool # 704523 ..................... 2,485,199 1,737,912 6.000%, due 05/01/33 Pool # 555436 ..................... 1,784,564 1,168,332 6.000%, due 08/01/33 Pool # 729418 ..................... 1,199,642 1,621,813 6.000%, due 08/01/33 Pool # 729423 ..................... 1,665,277 1,500,001 5.000%, due 10/01/33 Pool # 254903 ..................... 1,480,442 ------------- 28,076,705 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.83% 70,597 8.000%, due 10/20/15 Pool # 002995 ..................... 75,300 1,949,772 6.500%, due 09/20/28 Series 1998-21Class ZB ............ 2,061,929 268,317 6.500%, due 02/20/29 Pool # 002714 ..................... 280,333 47,209 7.500%, due 05/20/30 Pool # 002921 ..................... 50,055 1,500,000 6.500%, due 08/16/30 Series 2001-10 Class PD ........... 1,583,813 93,415 7.500%, due 08/20/30 Pool # 002957 ..................... 99,047 225,464 6.500%, due 04/20/31 Pool # 003068 ..................... 235,512 2,400,000 6.000%, due 07/20/32 Series 2002-50 Class PE ........... 2,503,867 ------------- 6,889,856 ------------- TOTAL MORTGAGE BACKED .................................. 47,072,054 ------------- (Cost $46,538,969) U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 27.00% FEDERAL FARM CREDIT BANK - 0.78% 500,000 6.125%, due 12/29/15 ................................... 557,349 500,000 5.875%, due 10/03/16 ................................... 547,307 ------------- 1,104,656 ------------- FEDERAL HOME LOAN MORTGAGE CORP.- 1.76% 2,500,000 4.875%, due 11/15/13 ................................... 2,506,620 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 6.72% 1,000,000 5.000%, due 01/20/07 ................................... 1,007,871 2,000,000 5.250%, due 03/22/07 ................................... 2,031,308 3,000,000 4.000%, due 09/02/08 ................................... 3,015,597 2,950,000 6.400%, due 05/14/09 ................................... 3,023,372 500,000 6.250%, due 07/19/11 ................................... 515,201 ------------- 9,593,349 ------------- U.S. TREASURY BONDS - 3.77% 500,000 9.125%, due 05/15/09 ................................... 520,821 4,250,000 6.250%, due 05/15/30 ................................... 4,859,441 ------------- 5,380,262 ------------- U.S. TREASURY NOTES - 13.97% 1,600,000 6.500%, due 08/15/05 ................................... 1,734,437 1,500,000 1.625%, due 10/31/05 ................................... 1,493,788 1,700,000 5.750%, due 11/15/05 ................................... 1,831,485 5,000,000 2.625%, due 05/15/08 ................................... 4,901,365 6,150,000 3.875%, due 02/15/13 ................................... 5,978,710 1,050,000 3.625%, due 05/15/13 ................................... 1,005,334 3,000,000 1.875%, due 07/15/13 (J) ............................... 2,991,798 ------------- 19,936,917 ------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ...................................... 38,521,804 ------------- (Cost $38,679,086) Shares ------ INVESTMENT COMPANIES - 20.31% 3,438,271 SSgA Prime Money Market Fund ........................... 3,438,271 25,547,819 State Street Navigator Securities Lending Prime Portfolio (I) ............................ 25,547,819 ------------- TOTAL INVESTMENT COMPANIES ............................. 28,986,090 ------------- (Cost $28,986,090) OTHER INVESTMENTS (I) - 0.18% 250,850 ------------- (Cost $250,850) TOTAL INVESTMENTS - 117.75% ......................................... 168,019,172 ------------- (Cost $165,996,086**) NET OTHER ASSETS AND LIABILITIES - (17.75)% (25,325,325) ------------- TOTAL NET ASSETS - 100.00% .......................................... $ 142,693,847 ============= - ----------------------------- ** Aggregate cost for Federal tax purposes was $166,001,812. (C) 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. (I) Represents collateral held in connection with securities lending. (J) U.S. Treasury inflation-protection securities (TIPS) are securities in which the principal amount is adjusted for inflation and the semi- annual interest payments equal a fixed percentage of the inflation- adjusted principal amount. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 26 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS Value Par Value (Note 2) --------- ------------- ASSET BACKED - 0.60% $ 47,547 Continental Airlines, Inc., Series 1997-4, Class B 6.900%, due 01/02/17 ................................... $ 38,617 44,387 Continental Airlines, Inc., Series 1998-1, Class B 6.748%, due 03/15/17 ................................... 35,670 121,127 Continental Airlines, Inc., Series 1999-1, Class B 6.795%, due 02/02/20 ................................... 102,016 134,671 Continental Airlines, Inc., Series 1999-2, Class B 7.566%, due 03/15/20 ................................... 111,990 45,000 Delta Air Lines, Inc., Series 2000-1, Class B 7.920%, due 05/18/12 ................................... 39,794 ------------- TOTAL ASSET BACKED ..................................... 328,087 ------------- (Cost $307,054) COMMERCIAL MORTGAGE BACKED - 0.28% 180,000 Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F (C)(G) 5.440%, due 09/15/30 ................................... 157,412 ------------- TOTAL COMMERCIAL MORTGAGE BACKED ....................... 157,412 ------------- (Cost $130,592) CORPORATE NOTES AND BONDS - 93.48% AEROSPACE/DEFENSE - 1.04% 125,000 Alliant Techsystems, Inc. 8.500%, due 05/15/11 ................................... 138,125 110,000 K & F Industries, Inc., Series B 9.250%, due 10/15/07 ................................... 113,850 55,000 K & F Industries, Inc., Series B 9.625%, due 12/15/10 ................................... 61,600 235,000 L-3 Communications Corp. 7.625%, due 06/15/12 ................................... 256,150 ------------- 569,725 ------------- BASIC MATERIALS - 6.58% 375,000 Abitibi-Consolidated, Inc. (D) 8.550%, due 08/01/10 ................................... 407,813 170,000 Boise Cascade Corp. 7.000%, due 11/01/13 ................................... 174,168 260,000 Buckeye Technologies, Inc. 8.000%, due 10/15/10 ................................... 245,700 50,000 Buckeye Technologies, Inc. (C) 8.500%, due 10/01/13 ................................... 52,250 140,000 Dresser, Inc. 9.375%, due 04/15/11 ................................... 143,850 215,000 FiberMark, Inc. 10.750%, due 04/15/11 .................................. 141,900 105,000 Foamex L.P. 10.750%, due 04/01/09 .................................. 92,400 705,000 Georgia-Pacific Corp. 9.375%, due 02/01/13 ................................... 810,750 220,000 Hexcel Corp. 9.750%, due 01/15/09 ................................... 229,350 30,000 Huntsman International LLC 9.875%, due 03/01/09 ................................... 31,650 265,000 Huntsman International LLC 10.125%, due 07/01/09 .................................. 252,413 137,000 Interface, Inc. 10.375%, due 02/01/10 .................................. 145,220 195,000 Norske Skog Canada, Ltd., Series D (D) 8.625%, due 06/15/11 ................................... 199,875 250,000 Rhodia S.A. (C)(D) 8.875%, due 06/01/11 ................................... 222,500 65,000 Sovereign Specialty Chemicals, Inc. 11.875%, due 03/15/10 .................................. 64,675 50,000 Specialty Paperboard, Inc. 9.375%, due 10/15/06 ................................... 35,750 180,000 Tempur Pedic, Inc. and Tempur Production USA, Inc. (C) 10.250%, due 08/15/10 .................................. 199,800 160,000 United States Steel Corp. 9.750%, due 05/15/10 ................................... 168,800 ------------- 3,618,864 ------------- BUILDING AND CONSTRUCTION - 3.24% 120,000 American Standard, Inc. 7.375%, due 02/01/08 ................................... 132,300 160,000 Atrium Cos., Inc., Series B 10.500%, due 05/01/09 .................................. 170,000 85,000 Corrections Corp. of America 9.875%, due 05/01/09 ................................... 95,306 25,000 Corrections Corp. of America 7.500%, due 05/01/11 ................................... 26,125 50,000 Corrections Corp. of America (C) 7.500%, due 05/01/11 ................................... 52,250 375,000 D. R. Horton, Inc. 8.000%, due 02/01/09 ................................... 418,125 85,000 Formica Corp., Series B (E) 10.875%, due 03/01/09 .................................. 14,875 25,000 International Wire Group, Inc., Series B 11.750%, due 06/01/05 .................................. 13,750 140,000 Joy Global, Inc., Series B 8.750%, due 03/15/12 ................................... 154,700 150,000 MMI Products, Inc., Series B 11.250%, due 04/15/07 .................................. 96,750 260,000 Nortek Holdings, Inc., Series B 9.250%, due 03/15/07 ................................... 268,775 80,000 Nortek Holdings, Inc., Series B 8.875%, due 08/01/08 ................................... 83,400 250,000 WCI Communities, Inc. (C) 7.875%, due 10/01/13 ................................... 258,750 ------------- 1,785,106 ------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 27 Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) CABLE - 0.46% $ 225,000 DirecTV Holdings LLC 8.375%, due 03/15/13 ................................... $ 253,125 ------------- CHEMICALS AND DRUGS - 2.77% 150,000 Acetex Corp. (D) 10.875%, due 08/01/09 .................................. 168,000 155,000 Alpharma, Inc. (C) 8.625%, due 05/01/11 ................................... 154,613 165,000 Equistar Chemicals L.P./ Equistar Funding Corp. (C) 10.625%, due 05/01/11 .................................. 172,425 205,000 IMC Global, Inc. (C) 10.875%, due 08/01/13 .................................. 211,662 10,000 Kronos International, Inc. (F) 8.875%, due 06/30/09 ................................... 12,017 60,000 Lyondell Chemical Co., Series A 9.625%, due 05/01/07 ................................... 60,900 15,000 Lyondell Chemical Co., Series B 9.875%, due 05/01/07 ................................... 15,225 175,000 Lyondell Chemical Co. 9.500%, due 12/15/08 ................................... 175,000 85,000 Lyondell Chemical Co. 11.125%, due 07/15/12 .................................. 89,250 90,000 MacDermid, Inc. 9.125%, due 07/15/11 ................................... 100,350 60,000 Nalco Co. (C)(H) 7.750%, due 11/15/11 ................................... 62,400 115,000 Nalco Co. (C)(H) 8.875%, due 11/15/13 ................................... 119,600 50,000 Noveon, Inc., Series B 11.000%, due 02/28/11 .................................. 57,500 115,000 Rockwood Specialties Group, Inc. (C) 10.625%, due 05/15/11 .................................. 123,625 ------------- 1,522,567 ------------- COMMUNICATIONS - 7.84% 215,000 Alamosa PCS Holdings, Inc. (B) 12.875%, due 02/15/10 .................................. 167,700 150,000 American Tower Corp. 9.375%, due 02/01/09 ................................... 157,500 240,000 Charter Communications Holdings LLC/ Charter Communications Capital Corp. 8.250%, due 04/01/07 ................................... 216,000 820,000 Charter Communications Holdings LLC/ Charter Communications Capital Corp. 8.625%, due 04/01/09 ................................... 658,050 230,000 Emmis Communications Corp. (B) 12.500%, due 03/15/11 .................................. 211,025 15,000 Esprit Telecom Group PLC (D)(E) 10.875%, due 06/15/08 .................................. 2 132,000 Nextel Communications, Inc. 9.950%, due 02/15/08 ................................... 138,600 350,000 Nextel Communications, Inc. 9.375%, due 11/15/09 ................................... 381,500 600,000 Nextel Communications, Inc. 7.375%, due 08/01/15 ................................... 624,000 200,000 Qwest Corp. (C)(G) 8.875%, due 03/15/12 ................................... 226,000 885,000 Qwest Services Corp. (C) 13.500%, due 12/15/10 .................................. 1,033,237 175,000 Telewest Communications PLC (B)(D)(E) 9.250%, due 04/15/09 ................................... 77,000 20,000 Telewest Communications PLC (B)(D)(E) 11.375%, due 02/01/10 .................................. 8,200 175,000 Triton PCS, Inc. 8.750%, due 11/15/11 ................................... 168,000 235,000 Western Wireless Corp. (C) 9.250%, due 07/15/13 ................................... 245,575 ------------- 4,312,389 ------------- CONSUMER CYCLICALS - 1.07% 255,000 Burns Philip Capital Property, Ltd. (C)(D) 9.750%, due 07/15/12 ................................... 260,100 105,000 Dura Operating Corp., Series D 9.000%, due 05/01/09 ................................... 96,075 30,000 Keystone Automotive Operations, Inc. (C) 9.750%, due 11/01/13 ................................... 31,650 100,000 Metaldyne Corp. (C) 10.000%, due 11/01/13 .................................. 97,500 440,000 WestPoint Stevens, Inc. (E) 7.875%, due 06/15/05 ................................... 50,600 105,000 WestPoint Stevens, Inc. (E) 7.875%, due 06/15/08 ................................... 12,075 35,000 Williams Scotsman. Inc. (C) 10.000%, due 08/15/08 .................................. 38,500 ------------- 586,500 ------------- CONSUMER SERVICES - 2.66% 425,000 Iron Mountain, Inc. 8.625%, due 04/01/13 ................................... 464,313 70,000 Iron Mountain, Inc. 7.750%, due 01/15/15 ................................... 74,725 90,000 Merisant Co. (C) 9.500%, due 07/15/13 ................................... 97,200 155,000 Michael Foods, Inc., Series B 11.750%, due 04/01/11 .................................. 195,881 175,000 Roundy's, Inc., Series B 8.875%, due 06/15/12 ................................... 182,875 80,000 United Biscuits Financial PLC (F) 10.625%, due 04/15/11 .................................. 104,030 240,000 United Rentals (North America), Inc., Series B 10.750%, due 04/15/08 .................................. 269,400 90,000 Venture Holdings Trust, Series B (E) 9.500%, due 07/01/05 ................................... 5,400 65,000 Wackenhut Corrections Corp. (C) 8.250%, due 07/15/13 ................................... 68,900 ------------- 1,462,724 ------------- CONSUMER STAPLES - 1.91% 90,000 Finlay Enterprises, Inc. 9.000%, due 05/01/08 ................................... 90,338 135,000 Johnsondiversey Holdings, Inc. (B)(C) 10.670%, due 05/15/13 .................................. 100,575 130,000 Samsonite Corp. 10.750%, due 06/15/08 .................................. 136,500 435,000 Sealy Mattress Co., Series B 9.875%, due 12/15/07 ................................... 449,137 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 28 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) CONSUMER STAPLES (CONTINUED) $ 35,000 Seminis Vegetable Seeds, Inc. (C) 10.250%, due 10/01/13 .................................. $ 37,450 225,000 Simmons Co., Series B 10.250%, due 03/15/09 .................................. 239,625 ------------- 1,053,625 ------------- CONTAINERS/PACKAGING - 5.41% 209,000 Corp Durango, S.A. de C.V., Series A (C)(D)(E) 13.750%, due 07/15/09 .................................. 123,310 360,000 Crown European Holdings S.A. (D) 9.500%, due 03/01/11 ................................... 399,600 295,000 Crown European Holdings S.A. (D) 10.875%, due 03/01/13 .................................. 336,300 195,000 Graham Packaging Co., Inc. (C) 8.750%, due 01/15/08 ................................... 201,337 260,000 Graphic Packaging International Corp. (C) 9.500%, due 08/15/13 ................................... 289,250 125,000 Greif Bros. Corp. 8.875%, due 08/01/12 ................................... 136,250 325,000 Jefferson Smurfit Corp. 8.250%, due 10/01/12 ................................... 341,250 170,000 Kappa Beheer BV (D) 10.625%, due 07/15/09 .................................. 182,750 295,000 Owens Brockway Glass Container, Inc. 8.875%, due 02/15/09 ................................... 320,075 115,000 Owens Brockway Glass Container, Inc. 8.750%, due 11/15/12 ................................... 125,925 105,000 Plastipak Holdings, Inc. 10.750%, due 09/01/11 .................................. 116,025 175,000 Pliant Corp. 13.000%, due 06/01/10 .................................. 167,125 228,000 Silgan Holdings, Inc. 9.000%, due 06/01/09 ................................... 235,695 ------------- 2,974,892 ------------- DURABLE GOODS - 1.43% 40,000 Advanced Accessory Systems LLC (C) 10.750%, due 06/15/11 .................................. 42,800 80,000 ArvinMeritor, Inc. 8.750%, due 03/01/12 ................................... 84,000 120,000 Collins & Aikman Products 10.750%, due 12/31/11 .................................. 100,800 30,000 Dana Corp. 10.125%, due 03/15/10 .................................. 33,900 60,000 Dana Corp. 9.000%, due 08/15/11 ................................... 67,050 170,000 Metaldyne Corp. 11.000%, due 06/15/12 .................................. 142,800 115,000 Motors and Gears, Inc., Series D 10.750%, due 11/15/06 .................................. 94,300 65,000 Rexnord Corp. 10.125%, due 12/15/12 .................................. 72,150 135,000 Tenneco Automotive, Inc., Series B 10.250%, due 07/15/13 .................................. 149,175 ------------- 786,975 ------------- ENERGY - 10.14% 250,000 AES Corp. 8.875%, due 02/15/11 ................................... 256,875 275,000 AES Corp. (C) 8.750%, due 05/15/13 ................................... 293,562 125,000 AES Corp. (C) 9.000%, due 05/15/15 ................................... 133,750 135,000 AmeriGas Partners, L.P./ AmeriGas Eagle Finance Corp., Series B 8.875%, due 05/20/11 ................................... 146,475 160,000 Belden & Blake Corp., Series B 9.875%, due 06/15/07 ................................... 151,200 160,000 Calpine Corp. 8.500%, due 02/15/11 ................................... 114,400 400,000 Calpine Corp. (C) 8.750%, due 07/15/13 ................................... 366,000 226,000 CenterPoint Energy Resources Corp. (C) 7.875%, due 04/01/13 ................................... 256,800 220,000 Chesapeake Energy Corp. 8.125%, due 04/01/11 ................................... 241,450 115,000 Citgo Petroleum Corp. 11.375%, due 02/01/11 .................................. 129,950 280,000 CMS Energy Corp. 8.500%, due 04/15/11 ................................... 292,600 175,000 Dynegy Holdings, Inc. (C) 9.875%, due 07/15/10 ................................... 188,125 245,000 El Paso Natural Gas Co., Series A 7.625%, due 08/01/10 ................................... 242,550 135,000 El Paso Production Holding Co. (C) 7.750%, due 06/01/13 ................................... 129,600 170,000 Encore Acquisition Co. 8.375%, due 06/15/12 ................................... 181,900 100,000 Gazprom OAO (C)(D) 9.625%, due 03/01/13 ................................... 108,500 200,000 GulfTerra Energy Partners L.P., Series B 8.500%, due 06/01/10 ................................... 218,000 195,000 Hanover Equipment Trust, Series B (G) 8.750%, due 09/01/11 ................................... 199,875 100,000 Magnum Hunter Resources, Inc. 9.600%, due 03/15/12 ................................... 111,500 40,000 Parker Drilling Co. (C) 9.625%, due 10/01/13 ................................... 41,100 130,000 Peabody Energy Corp., Series B 6.875%, due 03/15/13 ................................... 136,825 35,000 PG & E Corp. (C) 6.875%, due 07/15/08 ................................... 37,100 170,000 Pioneer Natural Resources Co. 7.500%, due 04/15/12 ................................... 190,628 185,000 Reliant Resources, Inc. (C) 9.250%, due 07/15/10 ................................... 165,575 100,000 Reliant Resources, Inc. (C) 9.500%, due 07/15/13 ................................... 89,000 80,000 SESI LLC 8.875%, due 05/15/11 ................................... 86,000 170,000 Southern Natural Gas Co. 8.875%, due 03/15/10 ................................... 185,300 40,000 Stone Energy Corp. 8.250%, due 12/15/11 ................................... 42,800 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 29 Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) ENERGY (CONTINUED) $ 85,000 TECO Energy, Inc. 10.500%, due 12/01/07 .................................. $ 95,838 155,000 TECO Energy, Inc. 7.500%, due 06/15/10 ................................... 159,262 45,000 Tesoro Petroleum Corp. 8.000%, due 04/15/08 ................................... 47,700 125,000 Tesoro Petroleum Corp., Series B 9.000%, due 07/01/08 ................................... 125,937 155,000 Vintage Petroleum, Inc. 8.250%, due 05/01/12 ................................... 169,725 220,000 Westport Resources Corp. 8.250%, due 11/01/11 ................................... 242,550 ------------- 5,578,452 ------------- FINANCE - 2.11% 110,000 Arch Western Finance LLC (C) 6.750%, due 07/01/13 ................................... 113,850 70,000 Eircom Funding (C)(D) 8.250%, due 08/15/13 ................................... 76,125 247,000 Ford Motor Credit Co. 7.000%, due 10/01/13 ................................... 242,812 25,000 Forest City Enterprises, Inc. 7.625%, due 06/01/15 ................................... 26,000 210,000 JSG Funding PLC (D) 9.625%, due 10/01/12 ................................... 233,100 130,000 PCA LLC/ PCA Finance Corp. 11.875%, due 08/01/09 .................................. 141,700 310,000 Willis Corroon Corp. 9.000%, due 02/01/09 ................................... 327,825 ------------- 1,161,412 ------------- HEALTH CARE SERVICES - 3.42% 235,000 Alliance Imaging, Inc. 10.375%, due 04/15/11 .................................. 248,513 155,000 AmerisourceBergen Corp. 7.250%, due 11/15/12 ................................... 159,650 150,000 Beverly Enterprises, Inc. 9.625%, due 04/15/09 ................................... 161,625 25,000 Genesis Healthcare Corp. (C) 8.000%, due 10/15/13 ................................... 25,531 705,000 HCA-The Healthcare Co. 7.875%, due 02/01/11 ................................... 776,480 135,000 InSight Health Services Corp., Series B 9.875%, due 11/01/11 ................................... 145,125 15,000 Prime Medical Services, Inc. 8.750%, due 04/01/08 ................................... 14,025 250,000 Tenet Healthcare Corp. 6.500%, due 06/01/12 ................................... 231,875 110,000 Triad Hospitals, Inc., Series B 8.750%, due 05/01/09 ................................... 119,075 ------------- 1,881,899 ------------- INDUSTRIALS - 7.78% 160,000 Amsted Industries, Inc. (C) 10.250%, due 10/15/11 .................................. 176,400 30,000 BE Aerospace, Inc. (C) 8.500%, due 10/01/10 ................................... 30,900 120,000 BE Aerospace, Inc., Series B 8.875%, due 05/01/11 ................................... 108,000 190,000 Blount, Inc. 7.000%, due 06/15/05 ................................... 187,150 15,000 Blount, Inc. 13.000%, due 08/01/09 .................................. 14,325 55,000 Cummins, Inc. (C) 9.500%, due 12/01/10 ................................... 63,250 80,000 Eagle-Picher Industries, Inc. (C) 9.750%, due 09/01/13 ................................... 84,800 195,000 General Binding Corp. 9.375%, due 06/01/08 ................................... 195,000 50,000 Graphic Packaging International Corp. (C) 8.500%, due 08/15/11 ................................... 55,125 30,000 Hexcel Corp. 9.875%, due 10/01/08 ................................... 33,300 75,000 Jacuzzi Brands, Inc. (C) 9.625%, due 07/01/10 ................................... 79,500 50,000 JLG Industies, Inc. 8.250%, due 05/01/08 ................................... 53,000 365,000 JohnsonDiversey, Inc., Series B 9.625%, due 05/15/12 ................................... 403,325 15,000 JohnsonDiversey, Inc., Series B 9.625%, due 05/15/12 ................................... 18,722 40,000 Koppers, Inc. (C) 9.875%, due 10/15/13 ................................... 42,200 95,000 Manitowoc Co., Inc. 10.375%, due 05/15/11 .................................. 118,021 95,000 Manitowoc Co., Inc. 10.500%, due 08/01/12 .................................. 107,825 145,000 Muzak LLC/ Muzak Finance Corp. 10.000%, due 02/15/09 .................................. 152,612 75,000 Navistar International Corp., Series B 9.375%, due 06/01/06 ................................... 82,125 20,000 Nortek Holdings, Inc., Series B 9.875%, due 06/15/11 ................................... 21,550 135,000 Ocean Rig Norway AS (D) 10.250%, due 06/01/08 .................................. 122,850 310,000 Owens Brockway Glass Container, Inc. 8.250%, due 05/15/13 ................................... 327,050 85,000 Oxford Industries, Inc. (C) 8.875%, due 06/01/11 ................................... 91,481 120,000 SPX Corp. 7.500%, due 01/01/13 ................................... 128,100 105,000 TD Funding Corp. (C) 8.375%, due 07/15/11 ................................... 111,563 110,000 Tenneco Automotive, Inc., Series B 11.625%, due 10/15/09 .................................. 114,125 35,000 TFM S.A. de C.V. (D) 12.500%, due 06/15/12 .................................. 38,500 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 30 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) INDUSTRIALS (CONTINUED) $ 120,000 TRW Automotive Acquisition Corp. (C) 9.375%, due 02/15/13 ................................... $ 136,200 130,000 TRW Automotive Acquisition Corp. (C) 11.000%, due 02/15/13 .................................. 153,400 735,000 Tyco International Group SA (D) 6.750%, due 02/15/11 ................................... 781,856 245,000 Xerox Corp. 7.625%, due 06/15/13 ................................... 249,900 ------------- 4,282,155 ------------- MACHINERY - 1.64% 295,000 AGCO Corp. 9.500%, due 05/01/08 ................................... 321,550 95,000 Case New Holland, Inc. (C) 9.250%, due 08/01/11 ................................... 105,450 100,000 Case New Holland, Inc. (C) 9.250%, due 08/01/11 ................................... 111,000 40,000 Columbus McKinnon Corp. 8.500%, due 04/01/08 ................................... 35,700 50,000 Columbus Mckinnon Corp. (C) 10.000%, due 08/01/10 .................................. 53,000 75,000 Terex Corp. 8.875%, due 04/01/08 ................................... 78,188 175,000 Terex Corp., Series B 10.375%, due 04/01/11 .................................. 197,312 ------------- 902,200 ------------- MEDIA - 6.89% 150,000 Allbritton Communications Co. 7.750%, due 12/15/12 ................................... 153,000 730,000 Cablevision Systems Corp., Series B 8.125%, due 08/15/09 ................................... 759,200 210,000 CanWest Media, Inc. (D) 10.625%, due 05/15/11 .................................. 240,450 205,000 Dex Media East LLC/ Dex Media East Finance Co. 9.875%, due 11/15/09 ................................... 232,162 20,000 Dex Media West LLC/ Dex Media Finance Co. (C) 8.500%, due 08/15/10 ................................... 21,800 240,000 Dex Media West LLC/ Dex Media Finance Co. (C) 9.875%, due 08/15/13 ................................... 273,000 185,000 Lamar Media Corp. 7.250%, due 01/01/13 ................................... 194,712 275,000 MediaCom Broadband LLC 11.000%, due 07/15/13 .................................. 287,375 90,000 MediaCom LLC/ Media Capital Corp. 9.500%, due 01/15/13 ................................... 85,500 140,000 PRIMEDIA, Inc. 8.875%, due 05/15/11 ................................... 144,550 35,000 R. H. Donnelley Finance Corp. I 8.875%, due 12/15/10 ................................... 39,244 140,000 R. H. Donnelley Finance Corp. I 10.875%, due 12/15/12 .................................. 166,950 125,000 Radio One, Inc., Series B 8.875%, due 07/01/11 ................................... 137,500 280,000 Spanish Broadcasting Systems, Inc. 9.625%, due 11/01/09 ................................... 290,500 55,000 Videotron Ltee (C)(D) 6.875%, due 01/15/14 ................................... 56,788 75,000 Vivendi Universal S.A. (C)(D) 6.250%, due 07/15/08 ................................... 78,375 95,000 Vivendi Universal S.A. (C)(D) 9.250%, due 04/15/10 ................................... 110,438 180,000 Xm Satellite Radio, Inc. 12.000%, due 06/15/10 .................................. 200,250 295,000 Young Broadcasting, Inc. 8.500%, due 12/15/08 ................................... 317,862 ------------- 3,789,656 ------------- METALS AND MINING - 1.03% 85,000 Commonwealth Industries, Inc. 10.750%, due 10/01/06 .................................. 85,850 135,000 Compass Minerals Group, Inc. 10.000%, due 08/15/11 .................................. 150,525 36,645 Doe Run Resources Corp., Series AI (E)(K) 14.500%, due 11/01/08 PIK .............................. 13,925 95,000 Earle M. Jorgensen Co. 9.750%, due 06/01/12 ................................... 103,075 75,000 Kaiser Aluminum & Chemical Corp. (E) 9.875%, due 02/15/49 ................................... 63,750 50,000 Russel Metals, Inc. (D) 10.000%, due 06/01/09 .................................. 52,750 60,000 TriMas Corp. 9.875%, due 06/15/12 ................................... 60,300 120,000 WCI Steel, Inc., Series B (E) 10.000%, due 12/01/04 .................................. 36,000 ------------- 566,175 ------------- PIPELINE - 3.24% 40,000 ANR Pipeline, Inc. 8.875%, due 03/15/10 ................................... 43,600 195,000 ANR Pipeline, Inc. 9.625%, due 11/01/21 ................................... 220,350 180,000 Dynegy Holdings, Inc 6.875%, due 04/01/11 ................................... 156,600 35,000 Northwest Pipeline Corp. 8.125%, due 03/01/10 ................................... 38,588 325,000 Plains All American Pipeline, L.P./ PPA Finance Corp. 7.750%, due 10/15/12 ................................... 359,125 60,000 Williams Cos., Inc. 8.625%, due 06/01/10 ................................... 65,700 875,000 Williams Cos., Inc. 7.125%, due 09/01/11 ................................... 896,875 ------------- 1,780,838 ------------- PRINTING - 0.90% 125,000 Hollinger International Publishing, Inc. 9.000%, due 12/15/10 ................................... 132,500 65,000 Hollinger, Inc. (C)(D) 11.875%, due 03/01/11 .................................. 71,500 75,000 Mail-Well I Corp. 9.625%, due 03/15/12 ................................... 84,188 200,000 TransWestern Publishing Co., Series F 9.625%, due 11/15/07 ................................... 206,000 ------------- 494,188 ------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 31 Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) REITS - 0.07% $ 25,000 CBRE Escrow, Inc. (C) 9.750%, due 05/15/10 ................................... $ 27,000 10,000 Host Marriott L.P., Series I 9.500%, due 01/15/07 ................................... 11,075 ------------- 38,075 ------------- RECREATION - 7.34% 170,000 AMC Entertainment, Inc. 9.500%, due 02/01/11 ................................... 178,713 55,000 Ameristar Casinos, Inc. 10.750%, due 02/15/09 .................................. 63,388 155,000 Aztar Corp. 8.875%, due 05/15/07 ................................... 161,975 60,000 Aztar Corp. 9.000%, due 08/15/11 ................................... 64,800 140,000 Coast Hotels and Casinos, Inc. 9.500%, due 04/01/09 ................................... 149,100 470,000 Hilton Hotels Corp. 7.625%, due 12/01/12 ................................... 519,937 460,000 HMH Properties, Inc., Series C 8.450%, due 12/01/08 ................................... 478,400 140,000 Mandalay Resort Group 9.375%, due 02/15/10 ................................... 161,350 160,000 MGM Mirage, Inc. 8.500%, due 09/15/10 ................................... 181,400 160,000 MGM Mirage, Inc. 8.375%, due 02/01/11 ................................... 178,400 140,000 Park Place Entertainment Corp. 8.875%, due 09/15/08 ................................... 155,575 290,000 Park Place Entertainment Corp. 8.125%, due 05/15/11 ................................... 316,825 130,000 Pinnacle Entertainment, Inc., Series B 9.250%, due 02/15/07 ................................... 132,762 80,000 Pinnacle Entertainment, Inc. 8.750%, due 10/01/13 ................................... 80,000 40,000 Premier Parks, Inc. 9.750%, due 06/15/07 ................................... 40,600 135,000 Regal Cinemas, Inc., Series B 9.375%, due 02/01/12 ................................... 152,550 280,000 Six Flags, Inc. 9.750%, due 04/15/13 ................................... 274,400 160,000 Starwood Hotels & Resorts Worldwide, Inc. (G) 7.875%, due 05/01/12 ................................... 176,800 185,000 Station Casinos, Inc. 9.875%, due 07/01/10 ................................... 205,581 160,000 Vail Resorts, Inc. 8.750%, due 05/15/09 ................................... 168,200 170,000 Venetian Casino Resort LLC 11.000%, due 06/15/10 .................................. 196,138 ------------- 4,036,894 ------------- RETAIL - 2.98% 180,000 Cole National Group, Inc. 8.875%, due 05/15/12 ................................... 191,250 120,000 Dollar General Corp. 8.625%, due 06/15/10 ................................... 133,950 75,000 Finlay Fine Jewelry Corp. 8.375%, due 05/01/08 ................................... 77,250 150,000 Fleming Cos., Inc. (E) 10.125%, due 04/01/08 .................................. 23,250 35,000 Fleming Cos., Inc. (E) 9.250%, due 06/15/10 ................................... 5,425 180,000 J Crew Operating Corp. 10.375%, due 10/15/07 .................................. 185,400 40,000 Jitney-Jungle Stores of America, Inc. (E) 12.000%, due 03/01/06 .................................. 4 10,000 Jitney-Jungle Stores of America, Inc. (E) 10.375%, due 09/15/07 .................................. 1 155,000 Remington Arms Co., Inc. 10.500%, due 02/01/11 .................................. 162,169 100,000 Rite Aid Corp. 12.500%, due 09/15/06 .................................. 116,500 60,000 Rite Aid Corp. 9.500%, due 02/15/11 ................................... 67,500 485,000 Rite Aid Corp. 9.250%, due 06/01/13 ................................... 521,375 155,000 Williams Scotsman, Inc. 9.875%, due 06/01/07 ................................... 157,325 ------------- 1,641,399 ------------- SCHOOLS - 0.48% 260,000 KinderCare Learning Centers, Inc., Series B 9.500%, due 02/15/09 ................................... 265,200 ------------- TECHNOLOGY - 1.41% 280,000 Fisher Scientific International, Inc. 8.125%, due 05/01/12 ................................... 301,000 35,000 NDCHealth Corp. 10.500%, due 12/01/12 .................................. 39,025 400,000 Unisys Corp. 8.125%, due 06/01/06 ................................... 438,000 ------------- 778,025 ------------- TELECOMMUNICATIONS - 6.35% 50,000 Alamosa Delaware, Inc. 12.500%, due 02/01/11 .................................. 48,000 75,000 American Tower Escrow Corp. Zero Coupon, due 08/01/08 .............................. 51,375 25,000 Avalon Cable Holding Finance, Inc. (B) 11.875%, due 12/01/08 .................................. 25,813 130,000 Centennial Cellular Corp./ Centennial Cellular Operating Co. LLC 10.750%, due 12/15/08 .................................. 130,000 120,000 Centennial Cellular Operating Co./ Centennial Communications Corp. (C) 10.125%, due 06/15/13 .................................. 124,800 100,000 Cincinnati Bell, Inc. (C) 7.250%, due 07/15/13 ................................... 102,000 65,000 Cincinnati Bell, Inc. (C)(H) 8.375%, due 01/15/14 ................................... 65,000 240,000 Colt Telecom group PLC (F) 7.625%, due 12/15/09 ................................... 261,933 150,000 Crown Castle International Corp. (B) 10.375%, due 05/15/11 .................................. 153,750 265,000 Dobson Communications Corp. (C) 8.875%, due 10/01/13 ................................... 268,975 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 32 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Par Value (Note 2) --------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) TELECOMMUNICATIONS (CONTINUED) $ 75,000 Energis PLC (D)(E) 9.750%, due 06/15/09 ................................... $ 0 156,000 Granite Broadcasting Corp. 10.375%, due 05/15/05 .................................. 152,880 150,000 Innova S de RL de C.V. (C)(D) 9.375%, due 09/19/13 ................................... 151,125 220,000 Insight Midwest L.P. / Insight Capital, Inc. 9.750%, due 10/01/09 ................................... 224,400 9,215 Jazztel PLC (E)(F) 12.000%, due 10/30/12 .................................. 62 200,000 Lucent Technologies, Inc. 5.500%, due 11/15/08 ................................... 186,000 110,000 Paxson Communications Corp. 10.750%, due 07/15/08 .................................. 118,525 165,000 Paxson Communications Corp. (B) 12.250%, due 01/15/09 .................................. 138,600 300,000 Qwest Capital Funding, Inc. 7.250%, due 02/15/11 ................................... 279,000 140,000 Rural Cellular Corp. 9.750%, due 01/15/10 ................................... 125,300 200,000 Rural Cellular Corp. (C) 9.875%, due 02/01/10 ................................... 199,500 160,000 Time Warner Telecom, Inc. 10.125%, due 02/01/11 .................................. 166,000 115,000 Triton PCS, Inc. 8.500%, due 06/01/13 ................................... 121,037 860,000 WorldCom, Inc. (E) 7.500%, due 05/15/11 ................................... 316,050 100,245 XM Satellite Radio Holdings, Inc. (B) 14.000%, due 12/31/09 .................................. 85,960 ------------- 3,496,085 ------------- TRANSPORTATION - 0.57% 170,000 GulfMark Offshore, Inc. 8.750%, due 06/01/08 ................................... 172,125 135,000 Kansas City Southern Railway Co. 7.500%, due 06/15/09 ................................... 140,063 ------------- 312,188 ------------- UTILITIES - 0.93% 150,000 Empresa Nacional De Electricidad S.A. (D) 8.350%, due 08/01/13 ................................... 161,465 75,000 Illinois Power Co. 11.500%, due 12/15/10 .................................. 89,625 250,000 PSEG Energy Holdings, Inc. 8.625%, due 02/15/08 ................................... 258,750 ------------- 509,840 ------------- WASTE DISPOSAL - 1.79% 190,000 Allied Waste North America, Inc., Series B 7.625%, due 01/01/06 ................................... 200,925 265,000 Allied Waste North America, Inc., Series B 8.875%, due 04/01/08 ................................... 292,825 460,000 Allied Waste North America, Inc. 7.875%, due 04/15/13 ................................... 493,350 ------------- 987,100 ------------- TOTAL CORPORATE NOTES AND BONDS ........................ 51,428,273 ------------- (Cost $49,302,025) Shares ------ COMMON STOCKS - 0.45% CAPITAL GOODS - 0.00% 277 IKS Corp. * ............................................ 374 ------- CHEMICALS AND DRUGS - 0.00% 84 Sterling Chemicals, Inc. * ............................. 1,428 ------- COMMUNICATIONS - 0.10% 20 Allstream, Inc. * ...................................... 977 1,080 Allstream, Inc. * ...................................... 54,270 ------- 55,247 ------- DURABLE GOODS - 0.01% 16 Oxford Automotive, Inc. * .............................. 3,561 ------- INDUSTRIALS - 0.10% 3,315 Hayes Lemmerz International, Inc. * .................... 54,001 282 Thermadyne Holdings Corp. * ............................ 3,689 ------- 57,690 ------- TELECOMMUNICATIONS - 0.24% 325 Completel Europe N.V. EUR .04 * ........................ 8,679 2,977 ITC DeltaCom, Inc. * ................................... 15,629 30,063 Jazztel PLC * .......................................... 13,613 1,467 NTL, Inc. * ............................................ 90,558 480 Versatel Telecom International N.V. * .................. 1,103 ------- 129,582 ------- TOTAL COMMON STOCKS .................................... 247,882 (Cost $788,130) ------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 33 Value Shares (Note 2) ------ ------------- PREFERRED STOCKS - 0.36% COMMUNICATION - 0.00% 1 NTL Europe, Inc. * ..................................... $ 5 ------------- INDUSTRIALS - 0.00% 11 HLI Operating Co. ...................................... 825 ------------- MEDIA - 0.34% 607 Cablevision Systems Corp., Series M .................... 63,431 1,350 PRIMEDIA, Inc. ......................................... 124,875 ------------- 188,306 ------------- TELECOMMUNICATION - 0.02% 3 Completel Europe N.V. (F) * ............................ 7,733 ------------- TOTAL PREFERRED STOCKS ................................. 196,869 ------------- (Cost $197,665) WARRANTS AND RIGHTS - 0.00% CHEMICALS AND DRUGS - 0.00% 180 Sterling Chemicals, Inc., Exp. 12/19/08 * .............. 2 ------------- COMMUNICATION - 0.00% 175 GT Group Telecom, Inc., Exp. 02/01/10 (C) * ............ 66 ------------- FINANCE - 0.00% 150 Ono Finance PLC, Series A (C) * ........................ 0 45 Ono Finance PLC, Exp. 02/15/11 (C) * ................... 0 ------------- 0 ------------- INDUSTRIALS - 0.00% 447 Thermadyne Holdings Corp., Class A, Exp. 05/23/04 * ........................................ 402 270 Thermadyne Holdings Corp., Class B, Exp. 05/23/06 * ........................................ 270 ------------- 672 ------------- TELECOMMUNICATIONS - 0.00% 55 XM Satellite Radio Holdings, Inc., Exp. 03/03/10 * ........................................ 1,155 ------------- TOTAL WARRANTS AND RIGHTS .............................. 1,895 ------------- (Cost $16,058) Par Value --------- U.S.GOVERNMENT AND AGENCY OBLIGATIONS (A) - 2.85% FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.85% $ 1,567,000 0.950%, due 11/03/03 ................................... 1,566,917 ------------- TOTAL U.S.GOVERNMENT AND AGENCY OBLIGATIONS ..................................... 1,566,917 ------------- (Cost $1,566,917) Value Shares (Note 2) - ------ -------- INVESTMENT COMPANIES - 16.18% 249 SSgA Prime Money Market Fund ........................... 249 8,900,714 State Street Navigator Securities Lending Prime Portfolio (I) ............................ 8,900,714 ------------- TOTAL INVESTMENT COMPANIES ............................. 8,900,963 ------------- (Cost $8,900,963) TOTAL INVESTMENTS - 114.20% ............................................ 62,828,298 ------------- (Cost $61,209,404**) NET OTHER ASSETS AND LIABILITIES - (14.20)% ............................ (7,812,815) ------------- TOTAL NET ASSETS - 100.00% ............................................. $ 55,015,483 ============= * Non-income producing. ** Aggregate cost for Federal tax purposes was $61,249,180. (A) Rate noted represents annualized yield at time of purchase. (B) Represents security that remains a specified coupon until a predetermined date, at which time the stated rate becomes the effective rate. (C) 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 of these securities is 8.49% of total net assets. (E) In Default. (F) Notes and bonds, issued by foreign entities, denominated in their local currencies and converted to U.S. dollars at period end exchange rates. The aggregate of these securities are 0.68% of total net assets. (G) Floating rate or variable rate note. (H) Security purchased on a delayed delivery or when-issued basis. (I) Represents collateral held in connection with securities lending. (K) Represents a private placement security. ADR American Depository Receipt. PIK Payment-In-Kind. PLC Public Limited Company. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Appreciation/ Currency Settlement Date Local Amount Face Amount Value (Depreciation) --------- --------------- ------------ ----------- ----- -------------- Euro (sell) 11/03/03 177,642 $ 206,598 $ 206,234 $ 364 Euro (sell) 11/03/03 127,203 $ 148,954 $ 147,676 $ 1,278 Euro (sell) 11/03/03 94,108 $ 110,210 $ 109,255 $ 955 Euro (sell) 11/03/03 59,578 $ 70,242 $ 69,167 $ 1,075) Euro (buy) 11/03/03 458,530 $ 536,194 $ 532,332 $ (3,862) Euro (sell) 01/13/04 458,530 $ 535,105 $ 531,253 $ 3,852 -------- $ 3,662 ======== See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 34 BALANCED FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------ ------------- COMMON STOCKS - 56.77% CONSUMER DISCRETIONARY - 6.84% 49,900 Carnival Corp. ......................................... $ 1,742,009 18,434 Comcast Corp., Class A * ............................... 625,281 39,700 Cox Communications, Inc., Class A * .................... 1,352,579 40,000 Home Depot, Inc. ....................................... 1,482,800 75,900 McDonald's Corp. ....................................... 1,898,259 69,700 Target Corp. ........................................... 2,769,878 29,100 Tiffany & Co. .......................................... 1,380,795 60,100 Walt Disney Co. ........................................ 1,360,664 ------------- 12,612,265 ------------- CONSUMER STAPLES - 6.51% 36,800 Coca-Cola Co. .......................................... 1,707,520 56,100 CVS Corp. .............................................. 1,973,598 34,900 General Mills, Inc. .................................... 1,565,265 37,900 Kimberly-Clark Corp. ................................... 2,001,499 9,800 Procter & Gamble Co. ................................... 963,242 30,400 Safeway, Inc. * ........................................ 641,440 81,400 Sara Lee Corp. ......................................... 1,622,302 26,000 Wal-Mart Stores, Inc. .................................. 1,532,700 ------------- 12,007,566 ------------- ENERGY - 3.95% 17,200 Anadarko Petroleum Corp. ............................... 750,264 25,264 BP PLC, ADR ............................................ 1,070,689 20,500 Devon Energy Corp. ..................................... 994,250 42,500 ExxonMobil Corp. ....................................... 1,554,650 11,900 Kerr-McGee Corp. ....................................... 493,850 33,400 Marathon Oil Corp. ..................................... 987,638 25,100 Schlumberger, Ltd. ..................................... 1,178,947 13,016 Transocean, Inc. * ..................................... 249,777 ------------- 7,280,065 ------------- FINANCIALS - 11.57% 21,000 ACE, Ltd. .............................................. 756,000 54,000 Allstate Corp. ......................................... 2,133,000 27,000 American International Group, Inc. ..................... 1,642,410 25,996 Bank of America Corp. .................................. 1,968,677 33,690 Bank One Corp. ......................................... 1,430,141 12,000 Chubb Corp. ............................................ 801,720 65,000 Citigroup, Inc. ........................................ 3,081,000 31,200 FleetBoston Financial Corp. ............................ 1,260,168 10,000 Goldman Sachs Group, Inc. .............................. 939,000 28,000 Morgan Stanley ......................................... 1,536,360 71,000 Prudential Financial, Inc. ............................. 2,743,440 16,100 SunTrust Banks, Inc. ................................... 1,079,827 34,800 Wells Fargo & Co. ...................................... 1,959,936 ------------- 21,331,679 ------------- HEALTH CARE - 7.92% 21,600 Abbott Laboratories .................................... 920,592 42,300 Applera Corp. .......................................... 976,284 44,500 Baxter International, Inc. ............................. 1,182,810 57,800 Bristol-Myers Squibb Co. ............................... 1,466,386 16,500 Genzyme Corp. * ........................................ 757,350 39,600 GlaxoSmithKline PLC, ADR ............................... 1,714,284 108,700 IMS Health, Inc. ....................................... 2,557,711 18,300 MedImmune, Inc. * ...................................... 487,878 85,962 Pfizer, Inc. ........................................... 2,716,399 41,400 Wyeth .................................................. 1,827,396 ------------- 14,607,090 ------------- INDUSTRIALS - 6.62% 32,000 Burlington Northern Santa Fe Corp. ..................... 926,080 34,000 Dover Corp. ............................................ 1,326,680 18,000 Emerson Electric Co. ................................... 1,021,500 15,000 FedEx Corp. ............................................ 1,136,400 36,000 General Electric Co. ................................... 1,044,360 47,000 Honeywell International, Inc. .......................... 1,438,670 16,000 Illinois Tool Works, Inc. .............................. 1,176,800 30,000 Textron, Inc. .......................................... 1,490,700 18,000 United Technologies Corp. .............................. 1,524,420 43,000 Waste Management, Inc. ................................. 1,114,560 ------------- 12,200,170 ------------- INFORMATION TECHNOLOGY - 8.92% 26,000 3Com Corp. * ........................................... 187,200 87,800 ADC Telecommunications, Inc. * ......................... 223,890 39,000 Applied Materials, Inc. * .............................. 911,430 61,600 Autodesk, Inc. ......................................... 1,185,800 38,400 Celestica, Inc. * ...................................... 545,280 33,200 Computer Sciences Corp. * .............................. 1,315,384 74,700 Concord EFS, Inc. * .................................... 798,543 37,800 EMC Corp. * ............................................ 523,152 50,200 Hewlett-Packard Co. .................................... 1,119,962 23,900 International Business Machines Corp. .................. 2,138,572 18,100 Keane, Inc. * .......................................... 237,834 30,238 Koninklijke (Royal) Philips Electronics N.V., ADR .............................................. 811,588 37,400 Micron Technology, Inc. * .............................. 536,316 69,200 Microsoft Corp. ........................................ 1,809,580 77,700 Motorola, Inc. ......................................... 1,051,281 56,000 PeopleSoft, Inc. * ..................................... 1,162,560 47,900 Texas Instruments, Inc. ................................ 1,385,268 14,196 VERITAS Software Corp. * ............................... 513,185 ------------- 16,456,825 ------------- MATERIALS - 1.61% 23,500 Alcoa, Inc. ............................................ 741,895 21,000 E.I. du Pont de Nemours & Co. .......................... 848,400 35,000 Rohm and Haas Co. ...................................... 1,375,500 ------------- 2,965,795 ------------- TELECOMMUNICATION SERVICES - 1.59% 27,000 ALLTEL Corp. ........................................... 1,276,290 33,000 SBC Communications, Inc. ............................... 791,340 26,020 Verizon Communications, Inc. ........................... 874,272 ------------- 2,941,902 ------------- UTILITIES - 1.24% 10,000 Ameren Corp. ........................................... 446,500 18,000 FPL Group, Inc. ........................................ 1,147,320 16,000 Progress Energy, Inc. .................................. 689,600 ------------- 2,283,420 ------------- TOTAL COMMON STOCKS .................................... 104,686,777 (Cost $105,187,415) ------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 35 Value Par Value (Note 2) ---------- ------------- ASSET BACKED - 1.73% $ 850,000 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (G) 8.050%, due 09/21/30 ................................... $ 915,871 900,000 Conseco Finance Securitizations Corp., Series 2001-1, Class M1 7.535%, due 07/01/32 ................................... 495,000 1,000,000 Green Tree Home Equity Loan Trust, Series 1999-A, Class B1 8.970%, due 11/15/27 ................................... 1,044,681 750,000 Long Beach Mortgage Loan Trust, Series 2002-1, Class M3 (G) 3.620%, due 05/25/32 ................................... 728,962 ------------- TOTAL ASSET BACKED ..................................... 3,184,514 (Cost $3,517,886) ------------- COMMERCIAL MORTGAGE BACKED - 1.37% 800,000 Duke Weeks Industrial Trust, Series 2000-DW1, Class A2 (C) 7.150%, due 10/15/10 ................................... 915,975 1,475,880 Morgan Stanley Capital I, Inc., Series 1999-CAM1, Class A3 6.920%, due 03/15/32 ................................... 1,603,977 ------------- TOTAL COMMERCIAL MORTGAGE BACKED ....................... 2,519,952 (Cost $2,368,860) ------------- PRIVATE LABEL MORTGAGE BACKED - 0.97% 1,700,000 Countrywide Alternative Loan Trust, Series 2002-5, Class A10 6.750%, due 06/25/32 ................................... 1,788,122 ------------- TOTAL PRIVATE LABEL MORTGAGE BACKED .................... 1,788,122 (Cost $1,725,954) ------------- CORPORATE NOTES AND BONDS - 11.93% BASIC INDUSTRIES - 0.30% 500,000 International Paper Co. 8.125%, due 07/08/05 ................................... 547,752 ------------- CABLE - 0.50% 400,000 Comcast Corp. 5.300%, due 01/15/14 ................................... 393,144 500,000 TCI Communications, Inc. 8.650%, due 09/15/04 ................................... 528,966 ------------- 922,110 ------------- CAPITAL GOODS - 0.28% 500,000 United Technologies Corp. 6.625%, due 11/15/04 ................................... 525,505 ------------- CONSUMER STAPLES - 0.22% 400,000 Safeway, Inc. 4.125%, due 11/01/08 ................................... 398,641 ------------- ENERGY - 1.13% 500,000 Occidental Petroleum Corp. 5.875%, due 01/15/07 ................................... 543,886 500,000 Phillips Petroleum Co. 8.500%, due 05/25/05 ................................... 549,862 500,000 Sunoco, Inc. 7.125%, due 03/15/04 ................................... 509,707 450,000 Texaco Capital, Inc. 5.700%, due 12/01/08 ................................... 478,983 ------------- 2,082,438 ------------- FINANCE - 2.39% 750,000 American Association of Retired Persons (C) 7.500%, due 05/01/31 ................................... 866,882 500,000 American General Finance Corp. 4.625%, due 09/01/10 ................................... 502,180 500,000 Bear Stearns Cos., Inc. 7.800%, due 08/15/07 ................................... 578,698 500,000 CIT Group, Inc. 7.375%, due 04/02/07 ................................... 563,994 250,000 Household Finance Corp. 6.500%, due 11/15/08 ................................... 279,090 500,000 MBNA America Bank N.A. (C) 6.875%, due 07/15/04 ................................... 516,461 500,000 Merrill Lynch & Co., Inc. 7.375%, due 05/15/06 ................................... 555,128 500,000 U.S. Bank N.A. 6.300%, due 02/04/14 ................................... 551,507 ------------- 4,413,940 ------------- INDUSTRIALS - 2.07% 500,000 Caterpillar Financial Services Corp. 2.500%, due 10/03/06 ................................... 496,492 500,000 Ford Motor Credit Co. (G) 1.351%, due 04/28/05 ................................... 489,798 350,000 Ford Motor Credit Co. 7.600%, due 08/01/05 ................................... 371,097 350,000 General Electric Global Insurance Corp. 7.000%, due 02/15/26 ................................... 369,973 1,000,000 General Motors Acceptance Corp. 6.125%, due 08/28/07 ................................... 1,053,445 500,000 General Motors Acceptance Corp. 6.875%, due 09/15/11 ................................... 515,802 500,000 Waste Management, Inc. 7.000%, due 10/01/04 ................................... 521,104 ------------- 3,817,711 ------------- PIPELINE - 0.37% 650,000 Kinder Morgan, Inc. 6.650%, due 03/01/05 ................................... 689,810 ------------- REITS - 0.28% 500,000 Avalon Bay Communities, Inc. 6.580%, due 02/15/04 ................................... 507,095 ------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 36 BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Par Value (Note 2) ---------- ------------- CORPORATE NOTES AND BONDS (CONTINUED) TELECOMMUNICATIONS - 1.51% $ 500,000 Bellsouth Capital Funding Corp. 7.875%, due 02/15/30 ................................... $ 600,800 750,000 SBC Communications, Inc. 5.875%, due 08/15/12 ................................... 793,316 250,000 Sprint Capital Corp. 7.125%, due 01/30/06 ................................... 270,298 537,000 Telephone & Data Systems, Inc. 7.000%, due 08/01/06 ................................... 582,846 500,000 Verizon Wireless Capital LLC 5.375%, due 12/15/06 ................................... 533,993 ------------- 2,781,253 ------------- TRANSPORTATION - 0.66% 600,000 Burlington Northern Santa Fe Corp. 6.375%, due 12/15/05 ................................... 651,252 500,000 Norfolk Southern Corp. 7.250%, due 02/15/31 ................................... 564,793 ------------- 1,216,045 ------------- UTILITIES - 2.22% 500,000 DTE Energy Co. 6.450%, due 06/01/06 ................................... 542,278 500,000 Energy East Corp. 8.050%, due 11/15/10 ................................... 588,992 500,000 FirstEnergy Corp., Series A 5.500%, due 11/15/06 ................................... 525,433 750,000 Niagara Mohawk Power Co. 7.750%, due 05/15/06 ................................... 843,768 350,000 Progress Energy, Inc. 7.750%, due 03/01/31 ................................... 408,800 350,000 Virginia Electric and Power Co., Series A 5.750%, due 03/31/06 ................................... 375,640 750,000 Wisconsin Electric Power Co. 6.500%, due 06/01/28 ................................... 803,289 ------------- 4,088,200 ------------- TOTAL CORPORATE NOTES AND BONDS ........................ 21,990,500 ------------- (Cost $20,760,555) MORTGAGE BACKED - 11.74% FEDERAL HOME LOAN MORTGAGE CORP.- 1.88% 1,518,994 7.000%, due 07/15/27 Series 1974 Class ZA 1,597,679 62,339 8.000%, due 06/01/30 Pool # C01005 ..................... 67,105 925,507 6.500%, due 07/15/30 Series 2351Class PX 942,538 823,388 6.500%, due 01/01/32 Pool # C62333 ..................... 856,478 ------------- 3,463,800 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.53% 819,652 6.100%, due 04/01/11 Pool # 383475 ..................... 895,563 700,000 5.500%, due 12/25/14 Series 2002-55 Class QC 727,199 258,752 6.000%, due 05/01/16 Pool # 582558 ..................... 269,164 1,599,793 5.000%, due 12/01/17 Pool # 672243 ..................... 1,625,416 421,770 6.000%, due 05/01/21 Pool # 253847 ..................... 435,125 1,277,759 6.000%, due 03/25/27 Series 1998-63 Class PG 1,302,429 90,718 6.000%, due 11/01/31 Series 2001-72 Class NC 90,680 503,092 7.000%, due 11/01/31 Pool # 607515 ..................... 529,717 295,864 6.000%, due 02/01/32 Pool # 611619 ..................... 303,769 280,339 7.000%, due 05/01/32 Pool # 644591 ..................... 295,176 2,033,790 6.500%, due 06/01/32 Pool # 545691 ..................... 2,112,929 1,910,697 6.000%, due 08/01/33 Pool # 729413 ..................... 1,961,903 1,880,642 6.000%, due 08/01/33 Pool # 729418 ..................... 1,931,043 1,395,655 5.500%, due 10/01/33 Pool # 254904 ..................... 1,409,130 ------------- 13,889,243 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.33% 46,177 8.000%, due 10/20/15 Pool # 002995 ..................... 49,253 375,644 6.500%, due 02/20/29 Pool # 002714 ..................... 392,466 94,418 7.500%, due 05/20/30 Pool # 002921 ..................... 100,110 1,800,000 6.500%, due 08/16/30 Series 2001-10 Class PD 1,900,575 93,415 7.500%, due 08/20/30 Pool # 002957 ..................... 99,047 375,773 6.500%, due 04/20/31 Pool # 003068 ..................... 392,520 1,300,000 6.000%, due 07/20/32 Series 2002-50 Class PE 1,356,262 ------------- 4,290,233 ------------- TOTAL MORTGAGE BACKED .................................. 21,643,276 ------------- (Cost $21,213,127) U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.89% FEDERAL FARM CREDIT BANK - 1.20% 1,000,000 6.125%, due 12/29/15 ................................... 1,114,697 1,000,000 5.875%, due 10/03/16 ................................... 1,094,614 ------------- 2,209,311 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.85% 1,100,000 4.000%, due 09/02/08 ................................... 1,105,719 3,050,000 6.400%, due 05/14/09 ................................... 3,125,860 500,000 6.250%, due 07/19/11 ................................... 515,200 500,000 5.250%, due 08/01/12 ................................... 507,295 ------------- 5,254,074 ------------- U.S.TREASURY BONDS - 0.90% 500,000 9.125%, due 05/15/09 ................................... 520,821 1,000,000 6.250%, due 05/15/30 ................................... 1,143,398 ------------- 1,664,219 ------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 37 Value Par Value (Note 2) ---------- ------------- U.S. TREASURY NOTES - 7.94% $ 3,500,000 4.375%, due 05/15/07 ................................... $ 3,703,164 5,000,000 5.000%, due 08/15/11 ................................... 5,335,350 1,000,000 4.875%, due 02/15/12 ................................... 1,054,922 2,550,000 3.875%, due 02/15/13 ................................... 2,478,977 600,000 3.625%, due 05/15/13 ................................... 574,477 1,500,000 1.875%, due 07/15/13 (J) ............................... 1,495,899 ------------- 14,642,789 ------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ..................................... 23,770,393 ------------- (Cost $23,474,109) Value Shares (Note 2) ------ ------------- INVESTMENT COMPANIES - 7.96% 3,005,185 One Group Institutional Prime Money Market Fund ...................................... $ 3,005,185 1,183,694 SSgA Prime Money Market Fund ........................... 1,183,694 10,491,871 State Street Navigator Securities Lending Prime Portfolio (I) ............................ 10,491,871 ------------- TOTAL INVESTMENT COMPANIES ............................. 14,680,750 ------------- (Cost $14,680,750) OTHER INVESTMENTS (I) - 2.14% .......................................... 3,954,134 ------------- TOTAL INVESTMENTS - 107.50% ............................................ 198,218,418 ------------- (Cost $196,882,790**) NET OTHER ASSETS AND LIABILITIES - (7.50)% .. .......................... (13,825,833) ------------- TOTAL NET ASSETS - 100.00% ............................................. $ 184,392,585 ============= - ------------------------------ * Non-income producing. ** Aggregate cost for Federal tax purposes was $196,987,502. (C) 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. (I) Represents collateral held in connection with securities lending. (J) U.S. Treasury inflation-protection securities (TIPS) are securities in which the principle amount is adjusted for inflation and the semi-annual interest payments equal a fixed percentage of the inflation-adjusted principle amount. ADR American Depository Receipt. PLC Public Limited Company. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 38 GROWTH AND INCOME FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------ ------------- COMMON STOCKS - 95.26% CONSUMER DISCRETIONARY - 11.11% 40,291 Comcast Corp., Class A * ............................... $ 1,366,671 95,300 Home Depot, Inc. ....................................... 3,532,771 157,000 McDonald's Corp. ....................................... 3,926,570 128,300 Target Corp. ........................................... 5,098,642 112,400 Walt Disney Co. ........................................ 2,544,736 ------------- 16,469,390 ------------- CONSUMER STAPLES - 8.25% 71,500 General Mills, Inc. .................................... 3,206,775 64,500 Kimberly-Clark Corp. ................................... 3,406,245 105,600 Kroger Co. * ........................................... 1,846,944 188,900 Sara Lee Corp. ......................................... 3,764,777 ------------- 12,224,741 ------------- ENERGY - 8.29% 24,400 Anadarko Petroleum Corp. ............................... 1,064,328 43,206 BP PLC, ADR ............................................ 1,831,070 28,783 ChevronTexaco Corp. .................................... 2,138,577 30,000 Devon Energy Corp. ..................................... 1,455,000 94,700 ExxonMobil Corp. ....................................... 3,464,126 37,600 Schlumberger, Ltd. ..................................... 1,766,072 29,452 Transocean, Inc. * ..................................... 565,184 ------------- 12,284,357 ------------- FINANCIALS - 23.92% 125,000 Allstate Corp. ......................................... 4,937,500 39,192 Bank of America Corp. .................................. 2,968,010 76,670 Bank One Corp. ......................................... 3,254,642 10 Berkshire Hathaway, Inc., Class A * .................... 778,100 108,866 Citigroup, Inc. ........................................ 5,160,248 21,000 Fannie Mae ............................................. 1,505,490 59,500 FleetBoston Financial Corp. ............................ 2,403,205 56,400 Morgan Stanley ......................................... 3,094,668 136,000 Prudential Financial, Inc. ............................. 5,255,040 38,800 SunTrust Banks, Inc. ................................... 2,602,316 75,800 Wachovia Corp. ......................................... 3,476,946 ------------- 35,436,165 ------------- HEALTH CARE - 8.75% 79,900 Baxter International, Inc. ............................. 2,123,742 104,400 Bristol-Myers Squibb Co. ............................... 2,648,628 58,000 GlaxoSmithKline PLC, ADR ............................... 2,510,820 51,900 Merck & Co., Inc. ...................................... 2,296,575 46,040 Pfizer, Inc. ........................................... 1,454,864 43,800 Wyeth .................................................. 1,933,332 ------------- 12,967,961 ------------- INDUSTRIALS - 10.68% 52,000 Burlington Northern Santa Fe Corp. 1,504,880 54,000 Emerson Electric Co. 3,064,500 128,300 Honeywell International, Inc. 3,927,263 65,000 Textron, Inc. 3,229,850 26,700 United Technologies Corp. 2,261,223 71,000 Waste Management, Inc. 1,840,320 ------------- 15,828,036 ------------- INFORMATION TECHNOLOGY - 12.64% 58,000 Applied Materials, Inc. * .............................. 1,355,460 38,500 Automatic Data Processing, Inc. ........................ 1,452,990 82,600 Computer Associates International, Inc. ................ 1,942,752 43,100 Computer Sciences Corp. * .............................. 1,707,622 82,300 EMC Corp. * ............................................ 1,139,032 106,321 Hewlett-Packard Co. .................................... 2,372,021 64,300 Intel Corp. ............................................ 2,125,115 31,300 International Business Machines Corp. .................. 2,800,724 150,900 Motorola, Inc. ......................................... 2,041,677 61,800 Texas Instruments, Inc. ................................ 1,787,256 ------------- 18,724,649 ------------- MATERIALS - 3.92% 17,000 Alcan, Inc. ............................................ 678,810 33,000 Alcoa, Inc. ............................................ 1,041,810 19,600 Dow Chemical Co. ....................................... 738,724 54,500 E.I. du Pont de Nemours & Co. .......................... 2,201,800 19,100 Weyerhaeuser Co. ....................................... 1,150,393 ------------- 5,811,537 ------------- TELECOMMUNICATION SERVICES - 4.36% 49,000 ALLTEL Corp. ........................................... 2,316,230 75,000 SBC Communications, Inc. ............................... 1,798,500 21,000 Telefonos de Mexico, ADR ............................... 675,150 49,720 Verizon Communications, Inc. ........................... 1,670,592 ------------- 6,460,472 ------------- UTILITIES - 3.34% 26,000 Ameren Corp. ........................................... 1,160,900 29,000 Consolidated Edison, Inc. .............................. 1,173,630 17,000 FPL Group, Inc. ........................................ 1,083,580 35,400 Progress Energy, Inc. .................................. 1,525,740 ------------- 4,943,850 ------------- TOTAL COMMON STOCKS .................................... 141,151,158 ------------- (Cost $146,326,528) Par Value --------- COMMERCIAL PAPER (A) - 0.67% FINANCE - 0.67% $ 1,000,000 Merrill Lynch & Co., Inc. 1.010%, due 11/04/03 ................................... 999,916 ------- TOTAL COMMERCIAL PAPER ................................. 999,916 (Cost $999,916) ------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 GROWTH AND INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 39 Value Shares (Note 2) ------ ------------- INVESTMENT COMPANY - 4.43% 6,558,921 SSgA Prime Money Market Fund ......................... $ 6,558,921 ------------- TOTAL INVESTMENT COMPANY ............................. 6,558,921 (Cost $6,558,921) ------------- TOTAL INVESTMENTS - 100.36% .......................................... 148,709,995 (Cost $153,885,365**) ------------- NET OTHER ASSETS AND LIABILITIES - (0.36)% ........................... (539,369) ------------- TOTAL NET ASSETS - 100.00% ........................................... $ 148,170,626 ============= - --------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $154,947,895. (A) Rate noted represents annualized yield at time of purchase. ADR American Depository Receipt. PLC Public Limited Company. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 40 CAPITAL APPRECIATION FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------- ------------ COMMON STOCKS - 94.49% CONSUMER DISCRETIONARY - 10.72% 55,250 Brinker International, Inc. * .......... $ 1,758,607 92,200 Carnival Corp. ......................... 3,218,702 110,100 Cox Communications, Inc., Class A * .... 3,751,107 262,400 Liberty Media Corp., Class A * ......... 2,647,616 64,400 Tiffany & Co. .......................... 3,055,780 ------------ 14,431,812 ------------ CONSUMER STAPLES - 10.84% 54,500 Coca-Cola Co. .......................... 2,528,800 77,000 CVS Corp. .............................. 2,708,860 61,800 Estee Lauder Cos., Inc., Class A ....... 2,310,702 62,200 Kraft Foods, Inc., Class A ............. 1,810,020 22,000 Procter & Gamble Co. ................... 2,162,380 53,200 Safeway, Inc. * ........................ 1,122,520 33,000 Wal-Mart Stores, Inc. .................. 1,945,350 ------------ 14,588,632 ------------ ENERGY - 4.92% 21,525 Apache Corp. ........................... 1,500,723 44,000 ConocoPhillips ......................... 2,514,600 30,600 Marathon Oil Corp. ..................... 904,842 48,800 Weatherford International, Ltd. * ...... 1,695,800 ------------ 6,615,965 ------------ FINANCIALS - 16.71% 33,000 ACE, Ltd. .............................. 1,188,000 37,000 American International Group, Inc. ..... 2,250,710 52,600 Bank of New York Co., Inc. ............. 1,640,594 17,000 Chubb Corp. ............................ 1,135,770 36,000 Freddie Mac ............................ 2,020,680 18,000 Goldman Sachs Group, Inc. .............. 1,690,200 29,000 Marsh & McLennan Cos., Inc. ............ 1,239,750 63,000 MetLife, Inc. .......................... 1,978,200 131,200 U.S. Bancorp ........................... 3,571,264 54,400 Wells Fargo & Co. ...................... 3,063,808 14,000 XL Capital, Ltd. ....................... 973,000 28,300 Zions Bancorporation ................... 1,734,507 ------------ 22,486,483 ------------ HEALTH CARE - 15.62% 80,000 Abbott Laboratories .................... 3,409,600 121,300 Applera Corp. .......................... 2,799,604 36,400 Boston Scientific Corp. * .............. 2,465,008 16,000 Genzyme Corp. * ........................ 734,400 184,000 IMS Health, Inc. ....................... 4,329,520 31,800 MedImmune, Inc. * ...................... 847,788 150,938 Pfizer, Inc. ........................... 4,769,641 109,000 Schering-Plough Corp. .................. 1,664,430 ------------ 21,019,991 ------------ INDUSTRIALS - 11.22% 83,000 Dover Corp. ............................ 3,238,660 39,000 FedEx Corp. ............................ 2,954,640 16,800 General Dynamics Corp. ................. 1,406,160 84,000 General Electric Co. ................... 2,436,840 53,000 Illinois Tool Works, Inc. .............. 3,898,150 50,000 Pall Corp. ............................. 1,170,000 ------------ 15,104,450 ------------ INFORMATION TECHNOLOGY - 17.95% 52,700 3Com Corp. * ........................... 379,440 196,200 ADC Telecommunications, Inc. * ......... 500,310 81,300 Altera Corp. * ......................... 1,644,699 198,100 Autodesk, Inc. ......................... 3,813,425 130,000 Cadence Design Systems, Inc. * ......... 2,000,700 67,100 Celestica, Inc. * ...................... 952,820 101,300 Concord EFS, Inc. * .................... 1,082,897 29,200 Dell, Inc. * ........................... 1,054,704 110,700 EMC Corp. * ............................ 1,532,088 25,500 Keane, Inc. * .......................... 335,070 32,000 KLA-Tencor Corp. * ..................... 1,834,560 91,200 Micron Technology, Inc. * .............. 1,307,808 136,400 Microsoft Corp. ........................ 3,566,860 142,700 PeopleSoft, Inc. * ..................... 2,962,452 26,624 Skyworks Solutions, Inc. * ............. 228,434 26,328 VERITAS Software Corp. * ............... 951,757 ------------ 24,148,024 ------------ MATERIALS - 2.25% 22,000 Praxair, Inc. .......................... 1,530,760 38,000 Rohm and Haas Co. ...................... 1,493,400 ------------ 3,024,160 ------------ TELECOMMUNICATION SERVICES - 2.60% 65,000 BellSouth Corp. ........................ 1,710,150 50,000 CenturyTel, Inc. ....................... 1,787,500 ------------ 3,497,650 ------------ UTILITIES - 1.66% 35,000 FPL Group, Inc. ........................ 2,230,900 ------------ TOTAL COMMON STOCKS .................... 127,148,067 ------------ (Cost $123,338,667) See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 CAPITAL APPRECIATION FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 41 Value Par Value (Note 2) - ---------- ------------ COMMERCIAL PAPER (A) - 1.11% FINANCE - 1.11% $1,500,000 Merrill Lynch & Co., Inc. 1.010%, due 11/04/03 ................ $ 1,499,874 ------------ TOTAL COMMERCIAL PAPER .............. 1,499,874 ------------ (Cost $1,499,874) Value Shares (Note 2) --------- ------------ INVESTMENT COMPANIES - 7.54% 6,025,527 SSgA Prime Money Market Fund .......... $ 6,025,527 4,120,906 State Street Navigator Securities Lending Prime Portfolio (I) ........... 4,120,906 ------------ TOTAL INVESTMENT COMPANIES ............ 10,146,433 ------------ (Cost $10,146,433) TOTAL INVESTMENTS - 103.14% ........................... 138,794,374 (Cost $134,984,974**) ------------ NET OTHER ASSETS AND LIABILITIES - (3.14)% ............ (4,229,337) ------------ TOTAL NET ASSETS - 100.00% ............................ $134,565,037 ============ - ------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $135,799,840. (A) Rate noted represents annualized yield at time of purchase. (I) Represents collateral held in connection with securities lending. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 42 MID-CAP FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------ ----------- COMMON STOCKS - 95.71% CONSUMER DISCRETIONARY - 16.38% 15,400 Abercrombie & Fitch Co., Class A * ....... $ 438,900 29,200 Belo Corp., Class A ...................... 795,992 4,900 CEC Entertainment, Inc. * ................ 239,610 19,400 Darden Restaurants, Inc. ................. 406,430 22,900 Ethan Allen Interiors, Inc. .............. 842,720 14,173 Hibbett Sporting Goods, Inc. * ........... 387,065 27,500 Interpublic Group of Companies, Inc. ..... 409,200 14,500 J. Jill Group, Inc. * .................... 176,465 13,000 Jones Apparel Group, Inc. ................ 448,500 16,400 Linens `N Things, Inc. * ................. 484,128 2,700 Meritage Corp. * ......................... 159,570 30,400 Newell Rubbermaid, Inc. .................. 693,120 9,100 O'Reilly Automotive, Inc. * .............. 393,939 7,700 Outback Steakhouse, Inc. ................. 323,400 6,400 Shoe Carnival, Inc. * .................... 109,760 3,700 Sonic Corp. * ............................ 102,897 10,300 Spartan Motors, Inc. ..................... 96,202 3,400 Stage Stores, Inc. * ..................... 97,818 23,200 Talbots, Inc. ............................ 762,584 8,700 Ultimate Electronics, Inc. * ............. 78,213 11,100 WCI Communities, Inc. * .................. 241,980 15,100 Wilsons The Leather Experts, Inc. * ...... 139,826 3,000 Yankee Candle Co., Inc. * ................ 83,940 ----------- 7,912,259 ----------- CONSUMER STAPLES - 4.95% 7,300 Casey's General Stores, Inc. ............. 113,150 42,200 Hain Celestial Group, Inc. * ............. 890,420 21,800 McCormick & Co., Inc. .................... 646,152 2,800 Mondavi Robert Corp. * ................... 98,140 7,800 NBTY, Inc. * ............................. 212,550 3,400 Riviana Foods, Inc. ...................... 93,500 5,900 Sensient Technologies Corp. .............. 113,280 5,200 Universal Corp. .......................... 226,616 ----------- 2,393,808 ----------- ENERGY - 5.94% 4,800 Amerada Hess Corp. ....................... 247,776 14,500 BJ Services Co. * ........................ 475,745 1,900 CARBO Ceramics, Inc. ..................... 79,800 18,300 ENSCO International, Inc. ................ 482,205 13,800 Forest Oil Corp. * ....................... 323,610 3,437 Patina Oil & Gas Corp. ................... 144,973 13,500 Pioneer Natural Resources Co. * .......... 357,075 12,800 Smith International, Inc. * .............. 476,544 4,400 St. Mary Land & Exploration Co. .......... 114,840 7,000 Westport Resources Corp. * ............... 167,580 ----------- 2,870,148 ----------- FINANCIALS - 22.35% 3,000 Alexandria Real Estate Equities, Inc. .... 153,000 6,900 American Capital Strategies, Ltd. ........ 186,300 6,800 AMERIGROUP Corp. * ....................... 284,376 3,100 Arden Realty, Inc. ....................... 86,707 11,840 Associated Banc-Corp. .................... 487,334 6,990 Bank of Bermuda, Ltd. .................... 314,201 9,500 Bear Stearns Cos., Inc. .................. 724,375 2,600 Century Bancorp, Inc., Class A ........... 90,428 2,400 Chelsea Property Group, Inc. ............. 118,080 28,100 Colonial BancGroup, Inc. ................. 440,608 10,400 Compass Bancshares, Inc. ................. 392,912 3,300 Delphi Financial Group, Inc., Class A .... 166,221 2,600 Financial Federal Corp. * ................ 87,230 21,200 FirstMerit Corp. ......................... 546,536 4,600 Getty Realty Corp. ....................... 113,850 23,500 Hibernia Corp., Class A .................. 530,865 6,100 IPC Holdings, Ltd. ....................... 228,445 12,000 Jefferson-Pilot Corp. .................... 572,880 6,900 Maguire Properties, Inc. ................. 150,420 15,500 Marshall & Ilsley Corp. .................. 555,210 10,700 National Commerce Financial Corp. ........ 293,929 8,800 Platinum Underwriters Holdings, Ltd. (Bermuda) ........................... 252,912 15,000 Principal Financial Group, Inc. .......... 470,250 18,000 Protective Life Corp. .................... 584,460 7,000 PS Business Parks, Inc. .................. 263,900 8,000 Radian Group, Inc. ....................... 423,200 5,000 RAIT Investment Trust .................... 116,800 8,000 Reinsurance Group of America, Inc. ....... 319,600 2,500 RLI Corp. ................................ 84,000 14,000 SAFECO Corp. ............................. 513,800 6,500 Sky Financial Group, Inc. ................ 158,275 4,000 SL Green Realty Corp. .................... 144,600 6,800 TCF Financial Corp. ...................... 354,824 8,000 Torchmark Corp. .......................... 351,040 23,700 Universal American Financial Corp.* ...... 238,185 ----------- 10,799,753 ----------- HEALTH CARE - 9.85% 2,700 AmSurg Corp. * ........................... 97,173 33,300 Apogent Technologies, Inc. * ............. 730,935 19,100 Becton, Dickinson and Co. ................ 698,296 8,500 Biogen, Inc. * ........................... 343,995 4,600 Celgene Corp. * .......................... 191,774 2,300 CorVel Corp. * ........................... 83,007 4,300 Covance, Inc. * .......................... 111,929 18,800 IDEXX Laboratories, Inc. * ............... 889,240 7,300 MAXIMUS, Inc. * .......................... 254,843 23,300 Omnicare, Inc. ........................... 893,322 15,700 Orthodontic Centers of America, Inc. * ... 138,788 11,000 PolyMedica Corp. ......................... 324,500 ----------- 4,757,802 ----------- INDUSTRIALS - 14.28% 3,900 Albany International Corp., Class A ...... 120,510 7,000 Avery Dennison Corp. ..................... 368,060 2,000 Carlisle Cos., Inc. ...................... 114,700 2,400 Curtiss-Wright Corp., Class B ............ 176,280 9,000 Deswell Industries, Inc. (Hong Kong) ..... 223,821 3,300 Eaton Corp. .............................. 330,792 2,300 EMCOR Group, Inc. * ...................... 86,687 10,550 Genesee & Wyoming, Inc., Class A * ....... 256,470 6,200 Granite Construction, Inc. ............... 123,938 7,000 Ingersoll-Rand Co., Class A .............. 422,800 6,700 Kadant, Inc. * ........................... 122,275 18,000 Manpower, Inc. ........................... 835,200 See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 MID-CAP FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 43 Value Shares (Note 2) ------ ----------- COMMON STOCKS (CONTINUED) INDUSTRIALS (CONTINUED) 17,000 Mueller Industries, Inc. * ........... $ 536,520 19,000 Norfolk Southern Corp. ............... 382,850 10,000 Parker-Hannifin Corp. ................ 509,700 5,700 Quixote Corp. ........................ 138,054 14,000 R. R. Donnelley & Sons Co. ........... 364,000 28,000 Republic Services, Inc., Class A ..... 651,000 4,600 Simpson Manufacturing Co., Inc. * .... 205,850 8,000 Teleflex, Inc. ....................... 368,080 1,600 Trex Co., Inc. * ..................... 59,200 7,500 United Stationers, Inc. * ............ 279,075 5,000 USF Corp. ............................ 159,600 3,500 Werner Enterprises, Inc. ............. 63,140 ----------- 6,898,602 ----------- INFORMATION TECHNOLOGY - 9.72% 22,500 Andrew Corp. * ....................... 294,300 2,600 ANSYS, Inc. * ........................ 92,664 15,100 Arrow Electronics, Inc. * ............ 322,385 45,700 Atmel Corp. * ........................ 257,748 8,600 ATMI, Inc. * ......................... 197,714 3,400 Black Box Corp. ...................... 146,404 21,000 Cable Design Technologies Corp. * .... 202,440 19,300 Convergys Corp. * .................... 309,958 8,300 DuPont Photomasks, Inc. * ............ 192,394 12,900 ESS Technology, Inc. * ............... 179,052 4,300 Investment Technology Group, Inc. * .. 85,398 23,800 LSI Logic Corp. * .................... 219,912 23,300 McDATA Corp., Class B * .............. 238,126 6,500 Molex, Inc. .......................... 204,035 10,200 Pericom Semiconductor Corp. * ........ 116,178 13,700 Reynolds and Reynolds Co., Class A ... 372,092 14,000 SunGard Data Systems, Inc. * ......... 392,700 17,800 Synopsys, Inc. * ..................... 564,616 3,800 Technitrol, Inc. * ................... 82,840 4,700 Varian Semiconductor Equipment Associates, Inc. * ................... 227,245 ----------- 4,698,201 ----------- MATERIALS - 4.13% 2,900 Aber Diamond Corp. * ................. 91,376 11,000 Air Products & Chemicals, Inc. ....... 499,510 1,700 Florida Rock Industries, Inc. ........ 97,325 17,500 Martin Marietta Materials, Inc. ...... 716,975 20,010 MeadWestvaco Corp. ................... 518,659 5,600 Meridian Gold, Inc. * ................ 71,344 ----------- 1,995,189 ----------- TELECOMMUNICATION SERVICES - 0.52% 7,000 CenturyTel, Inc. ..................... 250,250 ----------- UTILITIES - 7.59% 30,000 Alliant Energy Corp. ................. 721,800 10,000 Ameren Corp. ......................... 446,500 4,400 Black Hills Corp. .................... 141,548 18,000 Constellation Energy Group, Inc. ..... 654,660 3,800 New Jersey Resources Corp. ........... 143,830 1,900 Peoples Energy Corp. ................. 76,855 26,000 Pepco Holdings, Inc. ................. 457,600 7,900 PNM Resources, Inc. .................. 223,412 5,200 WGL Holdings, Inc. ................... 143,780 20,000 Wisconsin Energy Corp. ............... 655,000 ----------- 3,664,985 ----------- TOTAL COMMON STOCKS .................. 46,240,997 ----------- (Cost $40,328,570) INVESTMENT COMPANIES - 7.17% 2,120,584 SSgA Prime Money Market Fund ......... 2,120,584 1,341,065 State Street Navigator Securities Lending Prime Portfolio (I) .......... 1,341,065 ----------- TOTAL INVESTMENT COMPANIES ........... 3,461,649 ----------- (Cost $3,461,649) OTHER INVESTMENTS (I) - 0.02% ........................... 7,502 ----------- (Cost $7,502) TOTAL INVESTMENTS - 102.90% ............................. 49,710,148 ----------- (Cost $43,797,721**) NET OTHER ASSETS AND LIABILITIES - (2.90)% .............. (1,398,656) ----------- TOTAL NET ASSETS - 100.00% .............................. $48,311,492 =========== - ----------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $43,809,558. (I) Represents collateral held in connection with securities lending. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 44 MULTI-CAP GROWTH FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------ ---------- COMMON STOCKS - 95.08% CONSUMER DISCRETIONARY - 9.65% 1,700 A.C. Moore Arts & Crafts, Inc. * .................. $ 39,321 1,400 AutoZone, Inc. * .................................. 134,540 12,370 Clear Channel Communications, Inc. ................ 504,944 17,650 Comcast Corp. * ................................... 575,743 4,800 Cox Communications, Inc., Class A * ............... 163,536 2,380 Cumulus Media, Inc., Class A * .................... 44,577 570 Education Management Corp. * ...................... 36,013 1,440 Fred's, Inc. ...................................... 54,259 6,670 Hollywood Entertainment Corp. * ................... 101,384 1,400 Leapfrog Enterprises, Inc. * ...................... 48,398 760 M.D.C. Holdings, Inc. ............................. 51,163 6,500 Mattel, Inc. ...................................... 125,840 4,300 Michaels Stores, Inc. ............................. 204,121 40,200 Sirius Satellite Radio, Inc. * .................... 94,470 1,930 Wynn Resorts, Ltd. * .............................. 38,909 6,300 XM Satellite Radio Holdings, Inc., Class A * ...... 127,638 ---------- 2,344,856 ---------- CONSUMER SERVICES - 9.37% 15,850 Apollo Group, Inc., Class A * ..................... 1,006,950 6,000 ARAMARK Corp., Class B * .......................... 160,320 4,300 InterActiveCorp. * ................................ 157,853 4,000 Lamar Advertising Co. * ........................... 121,200 9,855 Omnicom Group, Inc. ............................... 786,429 4,750 Stake Technology, Ltd. * .......................... 45,553 ---------- 2,278,305 ---------- ENERGY - 1.80% 1,280 Cabot Oil & Gas Corp. ............................. 32,704 6,580 Chesapeake Energy Corp. ........................... 78,499 3,900 EOG Resources, Inc. ............................... 164,346 6,800 XTO Energy, Inc. .................................. 160,956 ---------- 436,505 ---------- FINANCIALS - 10.71% 520 Affiliated Managers Group, Inc. * ................. 37,700 1,310 Arch Capital Group, Ltd. * ........................ 47,815 17,955 Citigroup, Inc. ................................... 851,067 11,440 Countrywide Financial Corp. ....................... 1,202,573 2,200 Fannie Mae ........................................ 157,718 1,600 Legg Mason, Inc. .................................. 133,200 3,000 Moody's Corp. ..................................... 173,490 ---------- 2,603,563 ---------- HEALTH CARE - 18.92% 10,800 Abbott Laboratories ............................... 460,296 2,520 Abgenix, Inc. * ................................... 30,870 17,000 AstraZeneca PLC, ADR .............................. 810,560 14,790 Beverly Enterprises, Inc. * ....................... 89,775 1,600 Cephalon, Inc. * .................................. 75,136 550 CV Therapeutics, Inc. * ........................... 9,697 4,270 Cytyc Corp. * ..................................... 55,211 12,090 Eli Lilly & Co. ................................... 805,436 6,620 Forest Laboratories, Inc. * ....................... 331,066 21,000 Guidant Corp. ..................................... 1,071,210 2,200 McKesson Corp. .................................... 66,594 9,540 Medco Health Solutions Inc * ...................... 316,728 1,790 Medicines Co. * ................................... 47,704 1,900 NPS Pharmaceuticals, Inc. * ....................... 50,027 1,215 Odyssey Healthcare, Inc. * ........................ 33,704 5,500 Waters Corp. * .................................... 172,865 3,500 Watson Pharmaceuticals, Inc. * .................... 137,445 860 Wilson Greatbatch Technologies, Inc. * ............ 32,422 ---------- 4,596,746 ---------- INDUSTRIALS - 1.74% 4,910 ASE Test, Ltd. * .................................. 61,228 1,360 Ceradyne, Inc. * .................................. 56,494 1,060 Old Dominion Freight Line, Inc. * ................. 33,994 600 Overnite Corp. * .................................. 13,296 1,200 PACCAR, Inc. ...................................... 94,752 3,200 Parker-Hannifin Corp. ............................. 163,104 ---------- 422,868 ---------- INFORMATION TECHNOLOGY - 34.67% 4,700 Altera Corp. * .................................... 95,081 16,050 Analog Devices, Inc. * ............................ 711,496 11,860 ASML Holding N.V. * ............................... 208,143 24,500 Cisco Systems, Inc. * ............................. 514,010 39,310 Corning, Inc. * ................................... 431,624 34,200 Dell, Inc. * ...................................... 1,235,304 2,790 Dot Hill Systems Corp. * .......................... 37,414 800 DSP Group, Inc. * ................................. 19,104 10,500 eBay, Inc. * ...................................... 587,370 13,240 EMC Corp. * ....................................... 183,242 24,560 First Data Corp. .................................. 876,792 12,230 MEMC Electronic Materials, Inc. * ................. 136,976 27,400 Microsoft Corp. ................................... 716,510 2,580 Navigant Consulting, Inc. * ....................... 42,389 7,500 Network Appliance, Inc. * ......................... 185,100 2,600 Network Associates, Inc. * ........................ 36,218 11,200 ON Semiconductor Corp. * .......................... 48,160 840 Overland Storage, Inc. * .......................... 16,548 7,700 PeopleSoft, Inc. * ................................ 159,852 3,860 Pericom Semiconductor Corp. * ..................... 43,965 2,920 Polycom, Inc. * ................................... 58,488 3,890 QUALCOMM, Inc. .................................... 184,775 9,770 Red Hat, Inc. * ................................... 146,941 1,340 Rudolph Technologies, Inc. * ...................... 35,041 8,200 Siebel Systems, Inc. * ............................ 103,238 8,850 Symantec Corp. * .................................. 589,852 11,400 VeriSign, Inc. * .................................. 180,918 19,210 Yahoo!, Inc. * .................................... 839,477 ---------- 8,424,028 ---------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 MULTI-CAP GROWTH FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 45 Value Shares (Note 2) ------ ---------- COMMON STOCKS (CONTINUED) TECHNOLOGY - 0.84% 8,930 Seagate Technology ................................ $ 205,211 ---------- TELECOMMUNICATIONS - 5.94% 10,450 American Tower Corp., Class A * ................... 121,220 9,780 Crown Castle International Corp. * ................ 123,815 10,330 EchoStar Communications Corp.,Class A * ........... 395,845 8,700 Nextel Communications, Inc., Class A * ............ 210,540 9,800 Telefonaktiebolaget LM Ericsson, ADR * ............ 167,384 12,480 Univision Communications, Inc., Class A * ......... 423,696 ---------- 1,442,500 ---------- TRANSPORTATION - 1.44% 9,410 AMR Corp. Del * ................................... 124,965 1,900 JetBlue Airways Corp. * ........................... 109,592 3,520 Yellow Corp. * .................................... 115,632 ---------- 350,189 ---------- TOTAL COMMON STOCKS ............................... 23,104,771 ---------- (Cost $19,544,633) Par Value --------- CERTIFICATE OF DEPOSIT - 2.36% $ 573,060 State Street Eurodollar ........................... 573,060 ---------- TOTAL CERTIFICATE OF DEPOSIT ...................... 573,060 ---------- (Cost $573,060) Value Shares (Note 2) ------ ----------- INVESTMENT COMPANIES - 7.77% 1,094,443 SSgA Prime Money Market Fund ...................... $ 1,094,443 792,915 State Street Navigator Securities Lending Prime Portfolio (I) ....................... 792,915 ----------- TOTAL INVESTMENT COMPANIES ........................ 1,887,358 ----------- (Cost $1,887,358) TOTAL INVESTMENTS - 105.21% ........................................... 25,565,189 ----------- (Cost $22,005,051**) NET OTHER ASSETS AND LIABILITIES - (5.21)% ............................ (1,265,004) ----------- TOTAL NET ASSETS - 100.00% ............................................ $24,300,185 =========== - -------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $22,077,726. (I) Represents collateral held in connection with securities lending. ADR American Depository Receipt. PLC Public Limited Company. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 46 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS Value Shares (Note 2) ------- ----------- COMMON STOCKS - 95.98% ARGENTINA - 0.18% 2,644 Tenaris S.A., ADR ................................. $ 71,917 ----------- AUSTRALIA - 2.05% 59,683 BHP, Ltd. ......................................... 495,340 36,300 John Fairfax Holdings, Ltd. ....................... 93,055 32,040 Macquarie Infrastructure Group .................... 71,925 18,100 TABCORP Holdings, Ltd. ............................ 148,555 ----------- 808,875 ----------- AUSTRIA - 0.31% 1,100 Erste Bank der oesterreichischen Sparkassen AG ..................................... 121,470 ----------- BELGIUM - 1.14% 2,400 Ackermans & van Haaren N.V. ....................... 49,321 17,700 Fortis Group ...................................... 315,246 7,899 Solvus S.A. * ..................................... 84,833 499 Solvus S.A. Strip VVPR * .......................... 6 ----------- 449,406 ----------- BRAZIL - 2.39% 2,196 Banco Itau Holding Financeira S.A., ADR ........... 89,707 1,800 Brasil Telecom Participacoes S.A., ADR ............ 65,736 2,900 Brasileira Distribuicao Pao de Acucar, ADR ........ 58,377 4,800 Companhia De Bebidas, ADR ......................... 101,760 3,600 Companhia Vale do Rio Doce, ADR ................... 164,700 20,400 Copel, ADR * ...................................... 75,276 5,400 Embraer Aircraft Corp., ADR ....................... 140,130 5,800 Petroleo Brasileiro, S.A., ADR .................... 136,300 12,100 Souza Cruz S.A. ................................... 109,593 ----------- 941,579 ----------- CHILE - 0.41% 6,300 AFP Provida, ADR .................................. 163,485 ----------- CHINA - 0.99% 32,800 Beijing Capital Land, Ltd., Class H * ............. 7,474 9,920 China Mobile HK, Ltd., ADR ........................ 140,566 3,660 CNOOC, Ltd., ADR .................................. 137,799 8,000 PICC Property & Casualty Co., Ltd. * .............. 1,872 204,000 Sinotrans, Ltd. ................................... 101,764 ----------- 389,475 ----------- CROATIA - 0.36% 9,600 Pliva d.d., GDR (C) ............................... 142,814 ----------- DENMARK - 0.51% 5,600 Novo Nordisk A/S .................................. 201,187 ----------- EGYPT - 0.42% 9,100 Commercial International Bank of Egypt, GDR (C) ................................. 60,970 9,300 Egypt Mobile Telecom .............................. 104,883 ----------- 165,853 ----------- FINLAND - 2.96% 5,200 Amer Group, Ltd. .................................. 197,727 37,800 Nokia Oyj ......................................... 641,199 9,000 Sampo Oyj ......................................... 75,654 5,000 TietoEnator Oyj ................................... 132,360 4,400 Vaisala Oyj ....................................... 122,607 ----------- 1,169,547 ----------- FRANCE - 6.03% 5,820 BNP Paribas ....................................... 305,431 3,800 Carbone-Lorraine S.A. ............................. 141,625 3,900 Carrefour S.A. .................................... 204,489 14,600 Credit Agricole S.A. .............................. 309,701 3,500 Euronext N.V. ..................................... 85,540 5,300 Lagardere S.C.A. .................................. 266,265 4,300 Neopost S.A. ...................................... 213,230 3,400 Schneider Electric S.A. ........................... 198,760 3,750 Total S.A., Series B .............................. 582,122 2,300 Union Financiere de France Banque S.A. ............ 71,353 ----------- 2,378,516 ----------- GERMANY - 4.07% 3,000 Bayerische Motoren Werke (BMW) AG ................. 119,995 31,900 Deutsche Telekom AG * ............................. 501,858 2,000 Fielmann AG ....................................... 74,307 3,900 Hawesko Holding AG ................................ 98,712 1,800 Medion AG ......................................... 79,876 6,900 MG Technologies ................................... 87,082 1,050 Puma AG ........................................... 152,973 5,000 Siemens AG NPV .................................... 336,705 1,500 Stada Arzneimittel AG ............................. 77,657 4,511 Techem AG * ....................................... 78,667 ----------- 1,607,832 ----------- GREECE - 0.45% 8,590 Greek Organization of Football Prognostics ........ 103,724 10,400 Vodafone Panafon S.A. ............................. 72,449 ----------- 176,173 ----------- HONG KONG - 1.68% 42,500 CLP Holdings, Ltd. ................................ 191,491 71,200 Esprit Asia Holdings, Ltd. ........................ 223,187 78,000 Hong Kong and China Gas Co., Ltd. ................. 107,943 372,000 Tingyi Holdings Corp. ............................. 83,805 20,000 Yue Yuen Industrial Holdings, Ltd. ................ 56,514 ----------- 662,940 ----------- HUNGARY - 0.59% 2,280 Gedeon Richter Rt. ................................ 233,638 ----------- INDIA - 2.15% 7,200 Hero Honda Motors, Ltd. ........................... 56,153 4,550 Hindalco Industries, Ltd., GDR .................... 110,281 15,700 Hindustan Lever, Ltd. ............................. 60,486 17,600 Reliance Industries, Ltd. ......................... 188,854 22,200 Satyam Computer Services, Ltd. .................... 149,943 26,600 State Bank of India, Ltd. ......................... 284,195 ----------- 849,912 ----------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 47 Value Shares (Note 2) ------- ---------- COMMON STOCKS (CONTINUED) INDONESIA - 0.95% 302,500 HM Sampoerna Tbk PT ............................... $ 154,872 301,500 PT Bank Mandiri * ................................. 33,711 38,500 Telekomunikasi Indonesia .......................... 27,188 11,200 Telekomunikasi Indonesia, ADR ..................... 159,040 ---------- 374,811 ---------- IRELAND - 2.84% 14,316 Allied Irish Banks PLC ............................ 209,100 11,108 Anglo Irish Bank Corp. ............................ 133,225 26,700 Bank of Ireland - Ord ............................. 328,600 14,687 CRH PLC ........................................... 263,800 9,100 DCC PLC ........................................... 122,032 189,809 Waterford Wedgwood PLC ............................ 63,910 ---------- 1,120,667 ---------- ISRAEL - 0.46% 39,800 Bank Hapoalim, Ltd. * ............................. 83,887 3,676 Koor Industries, Ltd. * ........................... 96,953 ---------- 180,840 ---------- ITALY - 1.77% 2,500 Davide Campari-Milano SpA ......................... 107,397 18,200 ENI SpA ........................................... 288,651 27,300 Interpump Group SpA ............................... 109,988 51,000 Snam Rete Gas SpA ................................. 191,852 ---------- 697,888 ---------- JAPAN - 11.62% 6,380 ACOM Co., Ltd. .................................... 285,075 2,400 Belluna Co., Ltd. ................................. 95,468 9,000 Canon, Inc. ....................................... 434,838 5,000 Daito Trust Construction Co., Ltd. ................ 154,391 47 East Japan Railway Co. ............................ 212,569 2,600 Fanuc, Ltd. ....................................... 156,080 400 Funai Electric Co., Ltd. .......................... 53,220 6,000 Hisamitsu Pharmaceutical Co., Inc. ................ 69,912 5,400 Honda Motor Co., Ltd. ............................. 212,842 9 Japan Tobacco, Inc. ............................... 59,995 7,000 Kao Corp. ......................................... 143,675 2,600 KOSE Corp. ........................................ 82,881 1,100 NEC Electronics Corp. * ........................... 84,515 1,650 Nichii Gakkan Co. ................................. 89,610 4,000 Nippon Ceramic Co., Ltd. .......................... 39,306 34,200 Nissan Motor Co., Ltd. ............................ 382,657 4,600 Nissin Kogyo Co., Ltd. ............................ 99,010 25,000 Nomura Holdings, Inc. ............................. 428,662 136 NTT DoCoMo, Inc. .................................. 293,961 1,000 Rohm Co., Ltd. .................................... 134,593 3,400 Sammy Corp. ....................................... 113,323 3,000 Secom Techno Service Co., Ltd. .................... 77,650 2,800 Shin Etsu Chem Co. ................................ 104,005 9,600 Takeda Chemical Industries, Ltd. .................. 339,152 51,000 Tokyo Gas Co., Ltd. ............................... 174,616 4,000 Uniden Corp. ...................................... 75,924 1,800 USS Co., Ltd. ..................................... 127,672 40 Yoshinoya D&C Co., Ltd. ........................... 59,577 ---------- 4,585,179 ---------- MEXICO - 2.03% 86,000 America Telecom, S.A. de C.V., Series A1 * ........ 94,864 2,954 Cemex S.A., ADR ................................... 70,896 1,970 Femsa, ADR ........................................ 70,369 41,300 Grupo Financiero Banorte, Series O ................ 134,430 2,500 Grupo Televisa, S.A. de C.V., ADR ................. 96,875 26,900 Kimberly-Clark de Mexico, Class A ................. 65,183 8,400 Telefonos de Mexico, ADR .......................... 270,060 ---------- 802,677 ---------- NETHERLANDS - 7.06% 9,700 ABN AMRO Holding N.V. ............................. 203,282 3,740 Boskalis Westminster N.V. ......................... 95,531 2,848 Fugro N.V. ........................................ 143,014 8,321 Heineken N.V. ..................................... 296,596 6,661 Hunter Douglas N.V. ............................... 249,027 1,482 IHC Caland N.V. ................................... 63,149 5,900 Imtech N.V. ....................................... 121,248 58,000 Koninklijke KPN * ................................. 440,410 16,663 Philips Electronics N.V. .......................... 448,647 11,100 Royal Dutch Petroleum Co. ......................... 491,922 6,300 Telegraag Holdings ................................ 122,520 6,078 United Services Group N.V. ........................ 110,440 ---------- 2,785,786 ---------- NORWAY - 0.74% 13,200 Den Norske Bank ASA ............................... 76,954 6,300 Ekornes ASA ....................................... 104,938 11,800 Statoil ASA ....................................... 110,768 ---------- 292,660 ---------- PERU - 0.19% 7,000 Credicorp, Ltd. ................................... 74,550 ---------- PHILIPPINES - 0.32% 5,400 Philippine Long Distance Telephone Co., ADR * ..... 74,520 44,400 San Miguel Corp., Class B ......................... 50,113 ---------- 124,633 ---------- RUSSIA - 0.62% 1,455 LUKOIL, ADR ....................................... 117,564 4,900 Wimm-Bill-Dann Foods OJSC, ADR * .................. 92,708 800 Yukos Corp., ADR .................................. 36,160 ---------- 246,432 ---------- SINGAPORE - 1.16% 39,000 Overseas Chinese Banking Corp., Ltd. .............. 271,230 24,000 United Overseas Bank, Ltd. ........................ 187,603 ---------- 458,833 ---------- SOUTH AFRICA - 2.81% 32,300 ABSA Group, Ltd. .................................. 187,016 1,550 Impala Platinum Holdings, Ltd. .................... 142,668 51,566 Iscor, Ltd. ....................................... 172,321 24,200 Kumba Resources, Ltd. ............................. 130,624 62,400 Old Mutual PLC .................................... 108,208 59,100 Sanlam, Ltd. ...................................... 72,988 6,500 Sappi, Ltd. ....................................... 82,390 9,100 Sasol, Ltd. ....................................... 118,996 91,900 Steinhoff International Holdings, Ltd. ............ 93,468 ---------- 1,108,679 ---------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 48 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) Value Shares (Note 2) ------- ----------- COMMON STOCKS (CONTINUED) SOUTH KOREA - 4.45% 4,500 Daewoo Shipbuilding & Marine Engineering Co., Ltd., GDR (C) * .................. $ 117,900 1,650 Hite Brewery Co., Ltd. ............................ 125,475 8,286 Kookmin Bank ...................................... 302,455 400 Korea Telecom Corp. ............................... 15,919 8,940 KT Corp., ADR ..................................... 176,208 2,000 LG Household & Health Care, Ltd. .................. 45,374 700 Pohang Iron & Steel Co., Ltd. ..................... 81,622 2,400 Posco, ADR ........................................ 69,552 2,019 Samsung Electronics Co., Ltd., GDR (C) ............ 403,800 2,074 Samsung Fire & Marine Insurance Co., Ltd. ......... 118,464 920 Samsung SDI Co., Ltd. ............................. 94,837 4,400 SK Corp. .......................................... 85,137 6,139 SK Telecom Co., Ltd., ADR ......................... 120,325 ----------- 1,757,068 ----------- SPAIN - 2.39% 10,000 Abengoa, S.A. ..................................... 63,509 4,200 Aldeasa, S.A. ..................................... 96,309 8,100 Altadis, S.A. ..................................... 196,178 4,600 Banco Pastor, S.A. ................................ 134,856 18,266 Endesa, S.A. ...................................... 289,486 10,100 Prosegur, CIA de Seguridad S.A. ................... 164,173 ----------- 944,511 ----------- SWEDEN - 1.94% 8,200 Alfa Laval ........................................ 108,210 12,160 Elekta AB * ....................................... 241,480 9,100 Eniro AB .......................................... 72,868 7,700 Sandvik AB ........................................ 228,873 14,100 Swedish Match AB .................................. 114,712 ----------- 766,143 ----------- SWITZERLAND - 5.36% 15,200 Compagnie Financiere Richemont AG ................. 341,490 14,100 Credit Suisse Group ............................... 495,985 340 Edipresse S.A. .................................... 143,621 560 Kaba Holding AG, Series B ......................... 95,458 3,800 Roche Holding AG .................................. 313,932 4,800 Swiss Reinsurance ................................. 301,626 6,900 UBS AG ............................................ 423,013 ----------- 2,115,125 ----------- TAIWAN - 1.69% 43,571 Advantech Co., Ltd. ............................... 65,491 21,000 Ambit Microsystems Corp. .......................... 57,560 92,603 Chinatrust Financial Holding Co., Ltd. ............ 96,342 2,300 Chunghwa Telecom Co., Ltd., ADR ................... 35,604 6,253 Compal Electronics, Inc., GDR ..................... 47,084 33,350 Compal Electronics, Inc. .......................... 50,620 139,000 Fubon Group Co., Ltd. ............................. 146,661 110,250 United Microelectronics Corp. * ................... 101,054 12,516 United Microelectronics Corp., ADR * .............. 65,709 ----------- 666,125 ----------- THAILAND - 0.76% 103,200 Delta Electronics (Thailand) Public Co., Ltd. ..... 73,705 60,100 PTT PLC ........................................... 135,547 114,100 Thai Union Frozen Products Public Co., Ltd. - Foreign .................................... 90,783 ----------- 300,035 ----------- TURKEY - 0.18% 30,267 Turkiye Garanti Bankasi A.S., ADR (C)* ............ 70,922 ----------- UNITED KINGDOM - 19.68% 70,300 Barclays PLC ...................................... 592,550 27,300 Boots Group PLC ................................... 329,883 59,400 BP PLC ............................................ 412,024 24,000 Cadbury Schweppes PLC ............................. 153,755 7,500 Carpetright PLC - Ord ............................. 104,746 14,400 Cattles PLC ....................................... 77,905 21,151 Collins Stewart Tullett PLC ....................... 138,103 29,900 Diageo PLC ........................................ 351,413 7,788 Euromoney Institutional Investor PLC .............. 48,870 34,100 GlaxoSmithKline PLC ............................... 729,839 55,830 HSBC Holdings PLC ................................. 837,961 7,900 Imperial Tobacco Group PLC ........................ 130,899 17,300 Intertek Group PLC ................................ 150,661 27,000 John Wood Group PLC ............................... 72,349 16,360 Kesa Electricals PLC * ............................ 67,700 114,200 Kidde PLC ......................................... 195,130 10,600 Luminar PLC - Ord ................................. 77,301 7,273 Man Group PLC ..................................... 178,729 17,700 Northgate PLC - Ord ............................... 173,356 89,300 Rentokil Initial PLC .............................. 338,108 10,100 Rio Tinto PLC ..................................... 244,775 14,900 Royal Bank of Scotland Group PLC .................. 399,008 3,500 Signet Group PLC, ADR ............................. 185,391 26,333 Singer & Friedlander Group PLC .................... 94,008 16,900 Smiths Group PLC .................................. 201,061 59,500 Tesco PLC ......................................... 238,398 15,800 Trinity Mirror PLC ................................ 144,966 24,600 Unilever PLC ...................................... 209,645 367,000 Vodafone Group PLC ................................ 770,237 20,500 William Hill PLC .................................. 117,860 ----------- 7,766,631 ----------- VENEZUELA - 0.27% 7,234 CANTV, ADR ........................................ 108,221 ----------- TOTAL COMMON STOCKS ............................... 37,883,035 ----------- (Cost $31,172,401) See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 49 Value Shares (Note 2) ------ ----------- PREFERRED STOCKS - 1.01% BRAZIL - 0.74% 683,100 Caemi Mineracao e Metalurgica S.A. ................ $ 200,109 4,400,000 Telemar Norte Leste S.A., Class A ................. 89,890 ----------- 289,999 ----------- GERMANY - 0.27% 220 Porsche AG ........................................ 107,925 ----------- TOTAL PREFERRED STOCKS ............................ 397,924 ----------- (Cost $249,624) WARRANTS AND RIGHTS - 0.02% FRANCE - 0.01% 14,600 Credit Agricole S.A. * ............................ 3,391 ----------- JAPAN - 0.00% 240 Belluna Co., Ltd. * ............................... 767 ----------- SINGAPORE - 0.01% 8,200 Want Want Holdings, Ltd., Exp. 10/24/04 * ......... 2,378 ----------- TOTAL WARRANTS AND RIGHTS ......................... 6,536 ----------- (Cost $432) Par Value - --------- CERTIFICATE OF DEPOSIT - 2.68% $ 1,058,431 State Street Eurodollar ........................... 1,058,431 ----------- TOTAL CERTIFICATE OF DEPOSIT ...................... 1,058,431 ----------- (Cost $1,058,431) TOTAL INVESTMENTS - 99.69% ............................................ 39,345,926 ----------- (Cost $32,480,888**) NET OTHER ASSETS AND LIABILITIES - 0.31% .............................. 124,223 ----------- TOTAL NET ASSETS - 100.00% ............................................ $39,470,149 =========== OTHER INFORMATION: Industry Concentration as a Percentage of Net Assets % of Net Assets - ---------------------------------------------------- --------------- Banks ....................................... 16.53% Oil & Gas ................................... 8.02% Communication Services ...................... 7.23% Telecommunications .......................... 6.07% Financial Services .......................... 5.89% Drugs & Health Care ......................... 5.88% Retail ...................................... 5.12% Mining ...................................... 4.59% Food & Beverages ............................ 4.40% Electronics ................................. 3.15% Business Services ........................... 3.02% Net Other Assets and Liabilities ............ 3.00% Computers & Business Equipment .............. 2.64% Automobiles ................................. 2.48% Household Appliances & Home Furnishings ..... 2.43% Tobacco ..................................... 1.94% Leisure Time ................................ 1.73% Insurance ................................... 1.72% Electrical Equipment ........................ 1.63% Manufacturing ............................... 1.52% Electric Utilities .......................... 1.41% Construction & Mining Equipment ............. 1.35% Conglomerates ............................... 1.16% Industrial Machinery ........................ 1.01% Railroads & Equipment ....................... 0.98% Chemicals ................................... 0.95% Publishing .................................. 0.79% Household Products .......................... 0.63% Apparel & Textiles .......................... 0.39% Software .................................... 0.38% Paper ....................................... 0.37% Aerospace ................................... 0.36% Shipbuilding ................................ 0.30% Gas & Pipeline Utilities .................... 0.27% Transportation .............................. 0.26% Hotels & Restaurants ........................ 0.20% Construction Materials ...................... 0.18% Real Estate ................................. 0.02% ------ 100.00% ====== - -------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $32,490,428. (C) 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. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 50 STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2003 CASH RESERVES BOND HIGH INCOME FUND FUND FUND -------------- -------------- -------------- ASSETS: Investments: Investments at cost ....................................................... $ 26,220,390 $ 165,996,086 $ 61,209,404 Net unrealized appreciation (depreciation) ................................ -- 2,023,086 1,618,894 -------------- -------------- -------------- Total investments at value ........................................... 26,220,390 168,019,172 62,828,298 Cash ...................................................................... -- -- 42,312 Foreign currency (Cost $5,029 and $153,321, respectively) (Note 2) ........ -- -- 4,934 Receivables: Investments sold .......................................................... -- 396,703 71,188 Fund shares sold .......................................................... 7,291 878,205 294,513 Dividends and interest .................................................... 116,757 1,520,074 1,199,591 Due from Advisor, net ..................................................... 179 -- -- Net unrealized appreciation (depreciation) on forward currency contracts ..... -- -- 3,662 Prepaid insurance and registration fees ...................................... 2,968 8,587 2,757 -------------- -------------- -------------- Total Assets .............................................................. 26,347,585 170,822,741 64,447,255 -------------- -------------- -------------- LIABILITIES: Payables: Investments purchased ..................................................... -- 1,886,436 352,919 Due to Advisor, net ....................................................... -- 32,563 10,094 Fund shares repurchased ................................................... 21,097 209,025 39,138 Upon return of securities loaned .......................................... -- 25,798,669 8,900,714 Administration and transfer agent fees .................................... 11,549 44,084 15,659 Distribution fees - Class B ............................................... 8,012 41,705 13,761 Shareholder servicing fees ................................................ -- 30,334 11,434 Trustees' fees ............................................................ -- -- 55 Accrued expenses and other payables .......................................... -- 86,078 87,998 -------------- -------------- -------------- Total Liabilities ......................................................... 40,658 28,128,894 9,431,772 -------------- -------------- -------------- NET ASSETS ................................................................... $ 26,306,927 $ 142,693,847 $ 55,015,483 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital ........................................................... $ 26,304,794 $ 141,064,318 $ 59,048,896 Accumulated undistributed (distributions in excess of) net investment income .................................................. 2,133 37,300 129,354 Accumulated net realized gain (loss) on investments sold and foreign currency related transactions .................................. -- (430,857) (5,785,270) Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) .. -- 2,023,086 1,622,503 -------------- -------------- -------------- NET ASSETS ................................................................... $ 26,306,927 $ 142,693,847 $ 55,015,483 ============== ============== ============== CLASS A SHARES: Net assets ................................................................ $ 14,236,387 $ 78,164,593 $ 33,023,900 Shares of beneficial interest outstanding ................................. 14,257,550 7,724,932 4,489,678 NET ASSET VALUE and redemption price per share ............................ $ 1.00 $ 10.12 $ 7.36 Sales charge of offering price* ........................................... 0.06 0.50 0.37 -------------- -------------- -------------- Maximum offering price per share .......................................... $ 1.06 $ 10.62 $ 7.73 ============== ============== ============== CLASS B SHARES: Net assets ................................................................ $ 12,070,540 $ 64,529,254 $ 21,991,583 Shares of beneficial interest outstanding ................................. 12,085,018 6,375,552 2,982,807 NET ASSET VALUE and redemption price per share** .......................... $ 1.00 $ 10.12 $ 7.37 ============== ============== ============== BALANCED GROWTH AND CAPITAL FUND INCOME FUND APPRECIATION FUND ------------- ------------- ----------------- ASSETS: Investments: Investments at cost ....................................................... $ 196,882,790 $ 153,885,365 $ 134,984,974 Net unrealized appreciation (depreciation) ................................ 1,335,628 (5,175,370) 3,809,400 ------------- ------------- ----------------- Total investments at value ........................................... 198,218,418 148,709,995 138,794,374 Cash ...................................................................... -- -- -- Foreign currency (Cost $5,029 and $153,321, respectively) (Note 2) ........ -- -- -- Receivables: Investments sold .......................................................... 396,703 -- 122,131 Fund shares sold .......................................................... 181,213 152,413 118,357 Dividends and interest .................................................... 1,011,900 203,916 -- Due from Advisor, net ..................................................... -- -- -- Net unrealized appreciation (depreciation) on forward currency contracts ..... -- -- -- Prepaid insurance and registration fees ...................................... 7,290 4,741 4,623 ------------- ------------- ----------------- Total Assets .............................................................. 199,815,524 149,071,065 139,039,485 ------------- ------------- ----------------- LIABILITIES: Payables: Investments purchased ..................................................... 392,094 520,434 -- Due to Advisor, net ....................................................... 70,012 31,353 39,410 Fund shares repurchased ................................................... 302,889 160,926 114,535 Upon return of securities loaned .......................................... 14,446,005 -- 4,120,906 Administration and transfer agent fees .................................... 80,268 93,069 108,800 Distribution fees - Class B ............................................... 63,422 50,102 39,413 Shareholder servicing fees ................................................ 42,108 30,958 28,110 Trustees' fees ............................................................ 113 223 167 Accrued expenses and other payables .......................................... 26,028 13,374 23,107 ------------- ------------- ----------------- Total Liabilities ......................................................... 15,422,939 900,439 4,474,448 ------------- ------------- ----------------- NET ASSETS ................................................................... $ 184,392,585 $ 148,170,626 $ 134,565,037 ============= ============= ================= NET ASSETS CONSIST OF: Paid-in capital ........................................................... $ 195,419,360 $ 179,110,122 $ 164,606,455 Accumulated undistributed (distributions in excess of) net investment income .................................................. (3,596) 830,848 -- Accumulated net realized gain (loss) on investments sold and foreign currency related transactions .................................. (12,358,807) (26,594,974) (33,850,818) Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) .. 1,335,628 (5,175,370) 3,809,400 ------------- ------------- ----------------- NET ASSETS ................................................................... $ 184,392,585 $ 148,170,626 $ 134,565,037 ============= ============= ================= CLASS A SHARES: Net assets ................................................................ $ 83,605,962 $ 68,406,036 $ 71,732,695 Shares of beneficial interest outstanding ................................. 7,478,488 6,192,994 6,036,088 NET ASSET VALUE and redemption price per share ............................ $ 11.18 $ 11.05 $ 11.88 Sales charge of offering price* ........................................... 0.68 0.67 0.72 ------------- ------------- ----------------- Maximum offering price per share .......................................... $ 11.86 $ 11.72 $ 12.60 ============= ============= ================= CLASS B SHARES: Net assets ................................................................ $ 100,786,623 $ 79,764,590 $ 62,832,342 Shares of beneficial interest outstanding ................................. 9,007,805 7,338,048 5,509,703 NET ASSET VALUE and redemption price per share** .......................... $ 11.19 $ 10.87 $ 11.40 ============= ============= ================= - ----------------------------- * Sales charge of offering price is 5.75% for the Cash Reserves Fund, 4.75% for the Bond Fund and High Income Fund, 5.75% for the Balanced Fund, Growth and Income Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund, and International Stock Fund. ** Redemption price per share is equal to the Net Asset Value per share less any applicable contingent deferred sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2003 51 MID-CAP MULTI-CAP INTERNATIONAL STOCK FUND GROWTH FUND FUND ------------- ------------- ------------------- ASSETS: Investments: Investments at cost ....................................................... $ 43,797,721 $ 22,005,051 $ 32,480,888 Net unrealized appreciation (depreciation) ................................ 5,912,427 3,560,138 6,865,038 ------------- ------------- ------------------- Total investments at value ........................................... 49,710,148 25,565,189 39,345,926 Cash ...................................................................... -- 2,165 -- Foreign currency (Cost $5,029 and $153,321, respectively) (Note 2) ........ -- -- 153,278 Receivables: Investments sold .......................................................... -- 415,706 5,920 Fund shares sold .......................................................... 51,662 38,668 9,771 Dividends and interest .................................................... 32,177 15,896 106,821 Due from Advisor, net ..................................................... -- 1,549 -- Net unrealized appreciation (depreciation) on forward currency contracts ..... -- -- -- Prepaid insurance and registration fees ...................................... 1,960 790 1,205 ------------- ------------- ------------------- Total Assets .............................................................. 49,795,947 26,039,963 39,622,921 ------------- ------------- ------------------- LIABILITIES: Payables: Investments purchased ..................................................... -- 873,757 88,857 Due to Advisor, net ....................................................... 20,413 -- 20,795 Fund shares repurchased ................................................... 49,926 24,551 6,817 Upon return of securities loaned .......................................... 1,348,567 792,915 -- Administration and transfer agent fees .................................... 33,788 25,744 19,028 Distribution fees - Class B ............................................... 10,320 6,047 3,654 Shareholder servicing fees ................................................ 9,982 4,897 8,291 Trustees' fees ............................................................ 76 58 49 Accrued expenses and other payables .......................................... 11,383 11,809 5,281 ------------- ------------- ------------------- Total Liabilities ......................................................... 1,484,455 1,739,778 152,772 ------------- ------------- ------------------- NET ASSETS ................................................................... $ 48,311,492 $ 24,300,185 $ 39,470,149 ============= ============= =================== NET ASSETS CONSIST OF: Paid-in capital ........................................................... $ 45,023,890 $ 43,170,240 $ 44,547,993 Accumulated undistributed (distributions in excess of) net investment income .................................................. -- -- 339,139 Accumulated net realized gain (loss) on investments sold and foreign currency related transactions .................................. (2,624,825) (22,430,423) (12,268,789) Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) .. 5,912,427 3,560,368 6,851,806 ------------- ------------- ------------------- NET ASSETS ................................................................... $ 48,311,492 $ 24,300,185 $ 39,470,149 ============= ============= =================== CLASS A SHARES: Net assets ................................................................ $ 31,590,791 $ 14,365,505 $ 33,663,823 Shares of beneficial interest outstanding ................................. 2,841,048 3,220,133 3,772,393 NET ASSET VALUE and redemption price per share ............................ $ 11.12 $ 4.46 $ 8.92 Sales charge of offering price* ........................................... 0.68 0.27 0.54 ------------- ------------- ------------------- Maximum offering price per share .......................................... $ 11.80 $ 4.73 $ 9.46 ============= ============= =================== CLASS B SHARES: Net assets ................................................................ $ 16,720,701 $ 9,934,680 $ 5,806,326 Shares of beneficial interest outstanding ................................. 1,532,478 2,289,076 660,989 NET ASSET VALUE and redemption price per share** .......................... $ 10.91 $ 4.34 $ 8.78 ============= ============= =================== - ----------------------------- * Sales charge of offering price is 5.75% for the Cash Reserves Fund, 4.75% for the Bond Fund and High Income Fund, 5.75% for the Balanced Fund, Growth and Income Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund, and International Stock Fund. ** Redemption price per share is equal to the Net Asset Value per share less any applicable contingent deferred sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 52 STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED OCTOBER 31, 2003 CASH RESERVES BOND HIGH INCOME FUND FUND FUND -------------- -------------- -------------- INVESTMENT INCOME: Dividends ................................................................. $ -- $ -- $ 18,777 Interest .................................................................. 408,579 6,502,030 3,794,227 Less:Foreign taxes withheld .......................................... -- -- -- Securities lending income ................................................. -- 33,195 11,634 -------------- -------------- -------------- Total investment income .............................................. 408,579 6,535,225 3,824,638 -------------- -------------- -------------- EXPENSES: Management fees .............................................................. 124,969 695,197 240,601 Administration and transfer agent fees ....................................... 83,324 331,395 126,053 Registration expenses ........................................................ 24,913 43,829 23,143 Custodian and accounting fees ................................................ 22,042 62,300 82,785 Professional fees ............................................................ 6,006 12,182 9,304 Reports to shareholder expense ............................................... 5,991 28,424 9,083 Trustees' fees ............................................................... 1,452 6,298 1,936 Distribution fees - Class B .................................................. 115,928 494,992 139,622 Shareholder servicing fees - Class A ......................................... -- 182,601 62,824 Shareholder servicing fees - Class B ......................................... -- 164,998 46,540 Amortization of organization and offering costs .............................. 1,337 1,337 1,337 Other expenses ............................................................... 2,316 7,028 2,665 -------------- -------------- -------------- Total expenses before reimbursement/waiver ................................ 388,278 2,030,581 745,893 Less reimbursement/waiver ................................................. (111,208) (284,227) (168,808) -------------- -------------- -------------- Total expenses net of reimbursement/waiver ................................ 277,070 1,746,354 577,085 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) ................................................. 131,509 4,788,871 3,247,553 -------------- -------------- -------------- NET UNREALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on investments (including net realized gain on foreign currency related transactions) ............................. 1,584 356,246 (610,601) Net change in unrealized appreciation (depreciation) on investments (including a net unrealized appreciation (depreciation) on foreign currency related transactions) ........................................ -- (1,197,091) 5,343,952 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ............................................................. 1,584 (840,845) 4,733,351 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ............................................................ $ 133,093 $ 3,948,026 $ 7,980,904 ============== ============== ============== BALANCED GROWTH AND CAPITAL FUND INCOME FUND APPRECIATION FUND -------------- -------------- ----------------- INVESTMENT INCOME: Dividends ................................................................. $ 1,763,226 $ 2,966,186 $ 1,430,014 Interest .................................................................. 4,083,513 50,349 40,924 Less:Foreign taxes withheld .......................................... (12,580) (17,002) -- Securities lending income ................................................. 14,141 598 10,379 -------------- -------------- ----------------- Total investment income .............................................. 5,848,300 3,000,131 1,481,317 -------------- -------------- ----------------- EXPENSES: Management fees .............................................................. 1,097,205 719,339 886,611 Administration and transfer agent fees ....................................... 529,231 590,969 628,790 Registration expenses ........................................................ 40,528 34,312 40,741 Custodian and accounting fees ................................................ 65,500 42,985 40,474 Professional fees ............................................................ 13,369 11,637 8,091 Reports to shareholder expense ............................................... 33,854 26,832 24,480 Trustees' fees ............................................................... 7,684 5,948 5,366 Distribution fees - Class B .................................................. 700,661 545,901 425,446 Shareholder servicing fees - Class A ......................................... 188,448 145,005 153,721 Shareholder servicing fees - Class B ......................................... 233,554 181,967 141,816 Amortization of organization and offering costs .............................. 1,337 1,337 1,337 Other expenses ............................................................... 10,091 8,578 7,579 -------------- -------------- ----------------- Total expenses before reimbursement/waiver ................................ 2,921,462 2,314,810 2,364,452 Less reimbursement/waiver ................................................. (363,962) (460,975) (520,392) -------------- -------------- ----------------- Total expenses net of reimbursement/waiver ................................ 2,557,500 1,853,835 1,844,060 -------------- -------------- ----------------- NET INVESTMENT INCOME (LOSS) ................................................. 3,290,800 1,146,296 (362,743) -------------- -------------- ----------------- NET UNREALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on investments (including net realized gain on foreign currency related transactions) ............................. (6,720,304) (9,827,820) (13,902,776) Net change in unrealized appreciation (depreciation) on investments (including a net unrealized appreciation (depreciation) on foreign currency related transactions) ........................................ 23,092,033 30,800,834 38,761,664 -------------- -------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ............................................................. 16,371,729 20,973,014 24,858,888 -------------- -------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ............................................................ $ 19,662,529 $ 22,119,310 $ 24,496,145 ============== ============== ================= See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED OCTOBER 31, 2003 53 MID-CAP MULTI-CAP INTERNATIONAL STOCK FUND GROWTH FUND FUND ------------- ------------- ------------------- INVESTMENT INCOME: Dividends ................................................................. $ 593,328 $ 123,280 $ 1,056,764 Interest .................................................................. 17,710 8,105 3,574 Less:Foreign taxes withheld .......................................... -- (1,022) (106,737) Securities lending income ................................................. 9,162 1,531 -- ------------- ------------- ------------------- Total investment income .............................................. 620,200 131,894 953,601 ------------- ------------- ------------------- EXPENSES: Management fees .............................................................. 374,697 127,560 345,085 Administration and transfer agent fees ....................................... 199,928 161,289 118,672 Registration expenses ........................................................ 26,125 25,927 22,503 Custodian and accounting fees ................................................ 36,020 38,588 101,972 Professional fees ............................................................ 8,377 6,954 10,338 Reports to shareholder expense ............................................... 9,328 3,721 6,430 Trustees' fees ............................................................... 1,778 752 1,483 Distribution fees - Class B .................................................. 100,443 53,494 36,198 Shareholder servicing fees - Class A ......................................... 65,124 24,689 70,097 Shareholder servicing fees - Class B ......................................... 33,482 17,831 12,066 Amortization of organization and offering costs .............................. -- -- 1,337 Other expenses ............................................................... 2,676 1,584 2,586 ------------- ------------- ------------------- Total expenses before reimbursement/waiver ................................ 857,978 462,389 728,767 Less reimbursement/waiver ................................................. (205,353) (204,794) (166,715) ------------- ------------- ------------------- Total expenses net of reimbursement/waiver ................................ 652,625 257,595 562,052 ------------- ------------- ------------------- NET INVESTMENT INCOME (LOSS) ................................................. (32,425) (125,701) 391,549 ------------- ------------- ------------------- NET UNREALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on investments (including net realized gain on foreign currency related transactions) ............................. (810,008) 458,015 (1,565,592) Net change in unrealized appreciation (depreciation) on investments (including a net unrealized appreciation (depreciation) on foreign currency related transactions) ........................................ 11,016,333 4,064,829 9,799,283 ------------- ------------- ------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ............................................................. 10,206,325 4,522,844 8,233,691 ------------- ------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ............................................................ $ 10,173,900 $ 4,397,143 $ 8,625,240 ============= ============= =================== See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 54 STATEMENTS OF CHANGES IN NET ASSETS CASH RESERVES BOND FUND FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 ---------------- ---------------- ---------------- ---------------- NET ASSETS AT BEGINNING OF PERIOD ............................. $ 34,123,598 $ 21,079,081 $ 123,586,409 $ 59,931,894 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ....................................... 131,509 289,956 4,788,871 3,675,288 Net realized gain (loss) .................................... 1,584 209 356,246 (196,277) Net change in unrealized appreciation (depreciation) ........ -- -- (1,197,091) 849,052 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets from operations ....... 133,093 290,165 3,948,026 4,328,063 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class A ................................................... (119,661) (216,708) (2,879,857) (2,039,552) Class B ................................................... (13,432) (92,098) (2,109,246) (1,671,380) Net realized gains Class A ................................................... -- -- -- -- Class B ................................................... -- -- -- -- --------------- --------------- --------------- --------------- Total distributions ....................................... (133,093) (308,806) (4,989,103) (3,710,932) --------------- --------------- --------------- --------------- CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 6,650,455 21,190,375 34,514,506 41,332,553 Issued to shareholders in reinvestment of distributions ... 116,802 210,661 2,334,521 1,786,879 Shares redeemed ........................................... (9,018,299) (16,411,363) (21,156,808) (9,237,828) --------------- --------------- --------------- --------------- Net increase (decrease) from capital share transactions ... (2,251,042) 4,989,673 15,692,219 33,881,604 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 5,361,829 16,212,551 19,242,363 36,680,612 Issued to shareholders in reinvestment of distributions ... 11,975 82,151 1,943,030 1,538,634 Shares redeemed ........................................... (10,939,433) (8,221,217) (16,729,097) (9,063,466) --------------- --------------- --------------- --------------- Net increase (decrease) from capital share transactions ... (5,565,629) 8,073,485 4,456,296 29,155,780 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets ....................... (7,816,671) 13,044,517 19,107,438 63,654,515 --------------- --------------- --------------- --------------- NET ASSETS AT END OF PERIOD (INCLUDING LINE A) ................ $ 26,306,927 $ 34,123,598 $ 142,693,847 $ 23,586,409 =============== =============== =============== =============== (A) Undistributed (distribution in excess of) net investment income ........................................ $ 2,133 $ 1,890 $ 37,300 $ 41,587 =============== =============== =============== =============== OTHER INFORMATION: CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 6,650,455 21,190,375 3,371,187 4,124,743 Issued to shareholders in reinvestment of distributions ... 116,802 210,661 228,188 178,267 Shares redeemed ........................................... (9,018,299) (16,411,363) (2,072,910) (920,707) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. (2,251,042) 4,989,673 1,526,465 3,382,303 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 5,361,829 16,212,551 1,878,376 3,656,087 Issued to shareholders in reinvestment of distributions ... 11,975 82,217 189,937 153,439 Shares redeemed ........................................... (10,939,433) (8,221,217) (1,638,293) (904,228) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. (5,565,629) 8,073,551 430,020 2,905,298 --------------- --------------- --------------- --------------- HIGH INCOME BALANCED FUND FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 ---------------- ---------------- ---------------- ---------------- NET ASSETS AT BEGINNING OF PERIOD ............................. $ 33,615,728 $ 26,001,418 $ 161,291,500 $ 153,890,837 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ....................................... 3,247,553 2,400,832 3,290,800 3,616,846 Net realized gain (loss) .................................... (610,601) (2,514,369) (6,720,304) (5,425,164) Net change in unrealized appreciation (depreciation) ........ 5,343,952 12,505 23,092,033 (13,885,176) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets from operations ....... 7,980,904 (101,032) 19,662,529 (15,693,494) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class A ................................................... (1,953,581) (1,156,441) (1,810,597) (1,833,263) Class B ................................................... (1,303,045) (1,234,221) (1,539,999) (1,789,041) Net realized gains Class A ................................................... -- -- -- (7,375) Class B ................................................... -- -- -- (10,923) --------------- --------------- --------------- --------------- Total distributions ....................................... (3,256,626) (2,390,662) (3,350,596) (3,640,602) --------------- --------------- --------------- --------------- CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 14,165,543 9,220,488 18,447,908 28,546,455 Issued to shareholders in reinvestment of distributions ... 1,279,144 1,013,855 1,784,694 1,805,389 Shares redeemed ........................................... (3,165,724) (1,945,016) (14,351,848) (13,512,339) --------------- --------------- --------------- --------------- Net increase (decrease) from capital share transactions ... 12,278,963 8,289,327 5,880,754 16,839,505 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 7,128,350 4,644,092 16,463,827 32,020,263 Issued to shareholders in reinvestment of distributions ... 1,024,743 948,007 1,506,439 1,750,062 Shares redeemed ........................................... (3,756,579) (3,775,422) (17,061,868) (23,875,071) --------------- --------------- --------------- --------------- Net increase (decrease) from capital share transactions ... 4,396,514 1,816,677 908,398 9,895,254 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets ....................... 21,399,755 7,614,310 23,101,085 7,400,663 --------------- --------------- --------------- --------------- NET ASSETS AT END OF PERIOD (INCLUDING LINE A) ................ $ 55,015,483 $ 33,615,728 $ 184,392,585 $ 161,291,500 =============== =============== =============== =============== (A) Undistributed (distribution in excess of) net investment income ........................................ $ 129,354 $ 118,476 $ (3,596) $ 29,295 =============== =============== =============== =============== OTHER INFORMATION: CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 2,010,041 1,349,361 1,768,275 2,551,705 Issued to shareholders in reinvestment of distributions ... 182,036 145,994 170,700 164,546 Shares redeemed ........................................... (448,775) (283,678) (1,386,137) (1,270,860) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. 1,743,302 1,211,677 552,838 1,445,391 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 1,010,973 661,204 1,533,952 2,860,546 Issued to shareholders in reinvestment of distributions ... 145,682 135,975 144,313 159,002 Shares redeemed ........................................... (535,627) (544,269) (1,607,072) (2,234,853) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. 621,028 252,910 71,193 784,695 --------------- --------------- --------------- --------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 STATEMENTS OF CHANGES IN NET ASSETS 55 GROWTH AND INCOME FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 ---------------- ---------------- NET ASSETS AT BEGINNING OF PERIOD ............................. $ 126,224,262 $ 153,046,513 --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ....................................... 1,146,296 712,175 Net realized gain (loss) .................................... (9,827,820) (11,682,629) Net change in unrealized appreciation (depreciation) ........ 30,800,834 (15,809,898) --------------- --------------- Net increase (decrease) in net assets from operations ....... 22,119,310 (26,780,352) --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class A ................................................... (472,121) (292,751) Class B ................................................... (174,442) (85,177) Net realized gains Class A ................................................... -- -- Class B ................................................... -- -- --------------- --------------- Total distributions ....................................... (646,563) (377,928) --------------- --------------- CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 17,771,499 22,622,112 Issued to shareholders in reinvestment of distributions ... 453,660 281,776 Shares redeemed ........................................... (13,309,076) (13,557,494) --------------- --------------- Net increase (decrease) from capital share transactions ... 4,916,083 9,346,394 --------------- --------------- CLASS B SHARES Shares sold ............................................... 9,222,020 15,766,634 Issued to shareholders in reinvestment of distributions ... 172,432 80,479 Shares redeemed ........................................... (13,836,918) (24,857,478) --------------- --------------- Net increase (decrease) from capital share transactions ... (4,442,466) (9,010,365) --------------- --------------- Total increase (decrease) in net assets ....................... 21,946,364 (26,822,251) --------------- --------------- NET ASSETS AT END OF PERIOD (INCLUDING LINE A) ................ $ 148,170,626 $ 126,224,262 =============== =============== (A) Undistributed (distribution in excess of) net investment income ........................................ $ 830,848 $ 336,079 =============== =============== OTHER INFORMATION: CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 1,787,581 2,017,774 Issued to shareholders in reinvestment of distributions ... 48,409 23,066 Shares redeemed ........................................... (1,393,405) (1,315,343) --------------- --------------- Net increase (decrease) in shares outstanding ............. 442,585 725,497 --------------- --------------- CLASS B SHARES Shares sold ............................................... 944,572 1,405,391 Issued to shareholders in reinvestment of distributions ... 18,539 6,619 Shares redeemed ........................................... (1,456,011) (2,391,552) --------------- --------------- Net increase (decrease) in shares outstanding ............. (492,900) (979,542) --------------- --------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 56 STATEMENTS OF CHANGES IN NET ASSETS CAPITAL APPRECIATION MID-CAP FUND FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 ---------------- ---------------- --------------- ---------------- NET ASSETS AT BEGINNING OF PERIOD ............................. $ 110,464,831 $ 132,468,254 $ 34,415,066 $ 21,537,383 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ................................ (362,743) (763,829) (32,425) (22,710) Net realized gain (loss) .................................... (13,902,776) (18,825,034) (810,008) (1,820,724) Net change in unrealized appreciation (depreciation) ........ 38,761,664 (21,162,999) 11,016,333 (3,749,561) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets from operations ....... 24,496,145 (40,751,862) 10,173,900 (5,592,995) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class A ................................................... -- -- -- (13,146) Class B ................................................... -- -- -- -- Net realized gains Class A ................................................... -- (257,737) -- (673) Class B ................................................... -- (310,070) -- (289) --------------- --------------- --------------- --------------- Total distributions ....................................... -- (567,807) -- (14,108) --------------- --------------- --------------- --------------- CAPITAL STOCK TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 21,428,076 29,009,832 5,249,495 13,525,603 Issued to shareholders in reinvestment of distributions ... -- 239,042 -- 12,087 Shares redeemed ........................................... (18,606,399) (13,187,774) (3,087,968) (2,813,603) --------------- --------------- --------------- --------------- Net increase (decrease) from capital stock transactions ... 2,821,677 16,061,100 2,161,527 10,724,087 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 7,443,998 19,895,760 3,617,100 10,185,948 Issued to shareholders in reinvestment of distributions ... -- 300,902 -- 284 Shares redeemed ........................................... (10,661,614) (16,941,516) (2,056,101) (2,425,533) --------------- --------------- --------------- --------------- Net increase (decrease) from capital stock transactions ... (3,217,616) 3,255,146 1,560,999 7,760,699 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets ....................... 24,100,206 (22,003,423) 13,896,426 12,877,683 --------------- --------------- --------------- --------------- NET ASSETS AT END OF PERIOD (INCLUDING LINE A) ................ $ 134,565,037 $ 110,464,831 $ 48,311,492 $ 34,415,066 =============== =============== =============== =============== (A) Undistributed (distribution in excess of) net investment income ........................................ $ -- $ -- $ -- $ -- =============== =============== =============== =============== OTHER INFORMATION: CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 2,090,566 2,352,415 548,389 1,305,725 Issued to shareholders in reinvestment of distributions ... -- 17,166 -- 1,123 Shares redeemed ........................................... (1,854,922) (1,237,319) (329,777) (303,588) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. 235,644 1,132,262 218,612 1,003,260 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 733,844 1,623,969 380,861 981,301 Issued to shareholders in reinvestment of distributions ... -- 22,155 -- 27 Shares redeemed ........................................... (1,087,117) (1,605,193) (226,039) (260,248) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. (353,273) 40,931 154,822 721,080 --------------- --------------- --------------- --------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 STATEMENTS OF CHANGES IN NET ASSETS 57 MULTI-CAP GROWTH INTERNATIONAL STOCK FUND FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 ---------------- ---------------- ---------------- ---------------- NET ASSETS AT BEGINNING OF PERIOD ............................. $ 13,965,505 $ 20,165,733 $ 30,322,989 $ 30,615,597 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ................................ (125,701) (150,673) 391,549 186,711 Net realized gain (loss) .................................... 458,015 (3,994,374) (1,565,592) (4,860,881) Net change in unrealized appreciation (depreciation) ........ 4,064,829 1,269,174 9,799,283 3,177,444 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets from operations ....... 4,397,143 (2,875,873) 8,625,240 (1,496,726) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class A ................................................... -- -- (212,471) -- Class B ................................................... -- -- (404) -- Net realized gains Class A ................................................... -- -- -- -- Class B ................................................... -- -- -- -- --------------- --------------- --------------- --------------- Total distributions ....................................... -- -- (212,875) -- --------------- --------------- --------------- --------------- CAPITAL STOCK TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 5,641,381 5,436,877 1,435,692 2,504,106 Issued to shareholders in reinvestment of distributions ... -- -- 206,495 -- Shares redeemed ........................................... (1,789,330) (9,428,205) (911,371) (1,390,593) --------------- --------------- --------------- --------------- Net increase (decrease) from capital stock transactions ... 3,852,051 (3,991,328) 730,816 1,113,513 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 3,219,398 2,390,062 897,473 1,157,084 Issued to shareholders in reinvestment of distributions ... -- -- 393 -- Shares redeemed ........................................... (1,133,912) (1,723,089) (893,887) (1,066,479) --------------- --------------- --------------- --------------- Net increase (decrease) from capital stock transactions ... 2,085,486 666,973 3,979 90,605 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets ....................... 10,334,680 (6,200,228) 9,147,160 (292,608) --------------- --------------- --------------- --------------- NET ASSETS AT END OF PERIOD (INCLUDING LINE A) ................ $ 24,300,185 $ 13,965,505 $ 39,470,149 $ 30,322,989 =============== =============== =============== =============== (A) Undistributed (distribution in excess of) net investment income ........................................ $ -- $ -- $ 339,139 $ 211,895 --------------- --------------- --------------- --------------- OTHER INFORMATION: CAPITAL SHARE TRANSACTIONS: CLASS A SHARES Shares sold ............................................... 1,437,061 1,455,729 189,540 327,893 Issued to shareholders in reinvestment of distributions ... -- -- 29,122 -- Shares redeemed ........................................... (482,877) (2,295,593) (122,562) (185,165) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. 954,184 (839,864) 96,100 142,728 --------------- --------------- --------------- --------------- CLASS B SHARES Shares sold ............................................... 845,667 592,071 119,456 148,932 Issued to shareholders in reinvestment of distributions ... -- -- 56 -- Shares redeemed ........................................... (323,851) (460,827) (125,194) (142,873) --------------- --------------- --------------- --------------- Net increase (decrease) in shares outstanding ............. 521,816 131,244 (5,682) 6,059 --------------- --------------- --------------- --------------- See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 58 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD CASH RESERVES FUND --------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.00* 0.01 0.04 0.06 0.05 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................ -- 0.01 0.04 0.06 0.05 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.00)* (0.01) (0.04) (0.06) (0.05) ---------- ---------- ---------- ---------- ---------- Total distributions ............................. -- (0.01) (0.04) (0.06) (0.05) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 0.75% 1.57% 4.50% 5.77% 4.60% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 14,236 $ 16,487 $ 11,508 $ 5,104 $ 4,481 Ratios of expenses to average net assets Before reimbursement of expenses by Advisor ............ 0.87% 0.99% 1.25% 2.07% 2.63% After reimbursement of expenses by Advisor ............. 0.55% 0.55% 0.55% 0.55% 0.55% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 0.75% 1.46% 3.96% 5.61% 4.41% CLASS B NET ASSET VALUE, Beginning of Period ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.00* 0.01 0.04 0.05 0.04 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................ -- 0.01 0.04 0.05 0.04 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.00)* (0.01) (0.04) (0.05) (0.04) ---------- ---------- ---------- ---------- ---------- Total distributions ............................. -- (0.01) (0.04) (0.05) (0.04) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 0.08% 0.81% 3.72% 4.97% 3.81% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 12,071 $ 17,636 $ 9,571 $ 2,865 $ 3,501 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 1.62% 1.74% 2.00% 2.82% 3.38% After reimbursement of expenses by Advisor ............. 1.23%(d) 1.30% 1.30% 1.30% 1.30% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 0.08% 0.71% 3.21% 4.86% 3.92% - ---------------------------------------------------- * Amounts represent less than $0.005 per share. + Total return without applicable sales charge. (d) Amount includes fees waived by distributor (Note 3). See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD 59 BOND FUND --------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ..................... $ 10.17 $ 10.23 $ 9.57 $ 9.74 $ 10.14 ---------- -------- ---------- --------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.40 0.47 0.55 0.63 0.51 Net realized and unrealized gain (loss)on investments (0.05) (0.06)(c) 0.67 (0.17) (0.35) ---------- -------- ---------- ---------- ---------- Total from investment operations ................ 0.35 0.41 1.22 0.46 0.16 ---------- -------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.40) (0.47) (0.56) (0.63) (0.51) Distributions from capital gains .................... -- -- -- -- (0.05) ---------- -------- ---------- ---------- ---------- Total distributions ............................. (0.40) (0.47) (0.56) (0.63) (0.56) ---------- -------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... (0.05) (0.06) 0.66 (0.17) (0.40) ---------- -------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 10.12 $ 10.17 $ 10.23 $ 9.57 $ 9.74 ========== ======== ========== ========== ========== TOTAL RETURN+ ............................................ 3.51% 4.21% 13.07% 4.89% 1.60% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 78,165 $ 63,069 $ 28,813 $ 13,279 $ 7,991 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 1.10% 1.17% 1.28% 1.66% 2.02% After reimbursement of expenses by Advisor ............. 0.90% 0.90% 0.90% 0.90% 0.90% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 3.94% 4.62% 5.53% 6.52% 5.18% Portfolio Turnover ....................................... 75% 90% 109% 366% 725% CLASS B NET ASSET VALUE, Beginning of Period ..................... $ 10.18 $ 10.24 $ 9.58 $ 9.75 $ 10.14 ---------- -------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.33 0.39 0.48 0.55 0.44 Net realized and unrealized gain (loss)on investments (0.06) (0.05)(c) 0.66 (0.17) (0.35) ---------- -------- ---------- ---------- ---------- Total from investment operations ................ 0.27 0.34 1.14 0.38 0.09 ---------- -------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.33) (0.40) (0.48) (0.55) (0.44) Distributions from capital gains .................... -- -- -- -- (0.04) ---------- -------- ---------- ---------- ---------- Total distributions ............................ (0.33) (0.40) (0.48) (0.55) (0.48) ---------- -------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... (0.06) (0.06) 0.66 (0.17) (0.39) ---------- -------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 10.12 $ 10.18 $ 10.24 $ 9.58 $ 9.75 ========== ======== ========== ========== ========== TOTAL RETURN+ ............................................ 2.64% 3.44% 12.23% 4.10% 0.94% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 64,529 $ 60,517 $ 31,119 $ 10,982 $ 7,508 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 1.85% 1.92% 2.03% 2.41% 2.77% After reimbursement of expenses by Advisor ............. 1.65% 1.65% 1.65% 1.65% 1.65% Ratios of net investment income to average net assets:.... After reimbursement of expenses by Advisor ............. 3.19% 3.87% 4.78% 5.77% 4.58% Portfolio Turnover ....................................... 75% 90% 109% 366% 725% - ----------------------------------------------- + Total return without applicable sales charge. (c) The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 60 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD HIGH INCOME FUND --------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ..................... $ 6.57 $ 7.13 $ 8.02 $ 8.88 $ 8.85 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.54 0.58 0.74 0.81 0.80 Net realized and unrealized gain (loss)on investments 0.80 (0.55) (0.88) (0.86) 0.06 ---------- ---------- ---------- ---------- ---------- Total from investment operations ............... 1.34 0.03 (0.14) (0.05) 0.86 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ........... (0.55) (0.59) (0.75) (0.81) (0.80) Distributions from capital gains ................... -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- Total distributions ............................ (0.55) (0.59) (0.75) (0.81) (0.83) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... 0.79 (0.56) (0.89) (0.86) 0.03 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 7.36 $ 6.57 $ 7.13 $ 8.02 $ 8.88 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 21.09% 0.33% (1.94)% (0.81)% 9.69% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 33,024 $ 18,055 $ 10,939 $ 8,394 $ 7,879 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 1.38% 1.59% 1.68% 1.62% 1.97% After reimbursement of expenses by Advisor ............. 1.00% 1.00% 1.00% 1.00% 1.00% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 7.73% 8.55% 9.75% 9.40% 8.72% Portfolio Turnover ....................................... 58% 47% 38% 41% 48% CLASS B NET ASSET VALUE, Beginning of Period ..................... $ 6.59 $ 7.14 $ 8.04 $ 8.90 $ 8.85 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income .............................. 0.49 0.54 0.69 0.75 0.74 Net realized and unrealized gain (loss)on investments 0.78 (0.55) (0.89) (0.86) 0.06 ---------- ---------- ---------- ---------- ---------- Total from investment operations ............... 1.27 (0.01) (0.20) (0.11) 0.80 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ........... (0.49) (0.54) (0.70) (0.75) (0.74) Distributions from capital gains ................... -- -- -- -- (0.01) ---------- ---------- ---------- ---------- ---------- Total distributions ............................ (0.49) (0.54) (0.70) (0.75) (0.75) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... 0.78 (0.55) (0.90) (0.86) 0.05 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 7.37 $ 6.59 $ 7.14 $ 8.04 $ 8.90 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 19.96% (0.27)% (2.77)% (1.54)% 9.02% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 21,992 $ 15,561 $ 15,063 $ 12,271 $ 9,399 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 2.13% 2.34% 2.43% 2.37% 2.72% After reimbursement of expenses by Advisor ............. 1.75% 1.75% 1.75% 1.75% 1.75% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 6.98% 7.80% 9.00% 8.65% 8.13% Portfolio Turnover ....................................... 58% 47% 38% 41% 48% - ------------------------------------------------- + Total return without applicable sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD 61 BALANCED FUND --------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ..................... $ 10.16 $ 11.28 $ 12.65 $ 12.05 $ 10.68 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ................................ 0.25 0.28 0.30 0.34 0.27 Net realized and unrealized gain (loss)on investments 1.02 (1.12) (1.37) 0.69 1.38 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................. 1.27 (0.84) (1.07) 1.03 1.65 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............. (0.25) (0.28) (0.30) (0.35) (0.27) Distributions from capital gains ..................... -- (0.00)* -- (0.08) (0.01) ---------- ---------- ---------- ---------- ---------- Total distributions .............................. (0.25) (0.28) (0.30) (0.43) (0.28) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... 1.02 (1.12) (1.37) 0.60 1.37 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 11.18 $ 10.16 $ 11.28 $ 12.65 $ 12.05 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 12.72% (7.59)% (8.54)% 8.67% 15.58% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 83,606 $ 70,389 $ 61,836 $ 27,088 $ 15,297 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 1.32% 1.30% 1.35% 1.28% 1.47% After reimbursement of expenses by Advisor ............. 1.10% 1.10% 1.10% 1.10% 1.10% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............. 2.38% 2.56% 2.55% 2.83% 2.36% Portfolio Turnover ....................................... 35% 48% 57% 187% 349% CLASS B NET ASSET VALUE, Beginning of Period ..................... $ 10.17 $ 11.29 $ 12.66 $ 12.05 $ 10.68 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ................................ 0.17 0.20 0.21 0.25 0.18 Net realized and unrealized gain (loss)on investments 1.02 (1.12) (1.37) 0.69 1.38 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................. 1.19 (0.92) (1.16) 0.94 1.56 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............. (0.17) (0.20) (0.21) (0.25) (0.18) Distributions from capital gains ..................... -- (0.00)* -- (0.08) (0.01) ---------- ---------- ---------- ---------- ---------- Total distributions .............................. (0.17) (0.20) (0.21) (0.33) (0.19) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value ............... 1.02 (1.12) (1.37) 0.61 1.37 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period ........................... $ 11.19 $ 10.17 $ 11.29 $ 12.66 $ 12.05 ========== ========== ========== ========== ========== TOTAL RETURN+ ............................................ 11.87% (8.27)% (9.22)% 7.93% 14.72% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ..................... $ 100,787 $ 90,903 $ 92,054 $ 63,669 $ 31,263 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............ 2.07% 2.05% 2.10% 2.03% 2.22% After reimbursement of expenses by Advisor. ............ 1.85% 1.85% 1.85% 1.85% 1.85% Ratios of net investment income to average net assets:.... After reimbursement of expenses by Advisor ............. 1.63% 1.81% 1.80% 2.08% 1.62% Portfolio Turnover ....................................... 35% 48% 57% 187% 349% - ---------------------------------------------- * Amount represents less than $0.005 per share. + Total return without applicable sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 62 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD GROWTH AND INCOME FUND --------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ........................ $ 9.37 $ 11.14 $ 14.06 $ 13.21 $ 10.88 ---------- ---------- ---------- ---------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ................................... 0.12 0.10(b) 0.06 0.07(b) 0.09 Net realized and unrealized gain (loss)on investments 1.64 (1.82) (2.92) 0.84 2.33 ---------- ---------- ---------- ---------- -------- Total from investment operations ...................... 1.76 (1.72) (2.86) 0.91 2.42 ---------- ---------- ---------- ---------- -------- LESS DISTRIBUTIONS: Distributions from net investment income ................ (0.08) (0.05) (0.06) (0.04) (0.09) Distributions from capital gains ........................ -- -- -- (0.02) -- ---------- ---------- ---------- ---------- -------- Total distributions ................................... (0.08) (0.05) (0.06) (0.06) (0.09) ---------- ---------- ---------- ---------- -------- Net increase (decrease) in net asset value .................. 1.68 (1.77) (2.92) 0.85 2.33 ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, End of Period .............................. $ 11.05 $ 9.37 $ 11.14 $ 14.06 $ 13.21 ========== ========== ========== ========== ======== TOTAL RETURN+ ............................................... 18.95% (15.51)% (20.42)% 6.90% 22.33% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ........................ $ 68,406 $ 53,896 $ 55,966 $ 46,994 $ 25,646 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............... 1.35% 1.30% 1.29% 1.07% 1.25% After reimbursement of expenses by Advisor ................ 1.00% 1.00% 1.00% 1.00% 1.00% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ................ 1.29% 0.91% 0.60% 0.54% 0.60% Portfolio Turnover .......................................... 20% 18% 24% 14% 19% CLASS B NET ASSET VALUE, Beginning of Period ........................ $ 9.24 $ 11.02 $ 13.96 $ 13.18 $ 10.88 ---------- ---------- ---------- ---------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) ............................ 0.05 0.02(b) (0.02) (0.03)(b) (0.01) Net realized and unrealized gain (loss)on investments.... 1.60 (1.79) (2.92) 0.84 2.33 ---------- ---------- ---------- ---------- -------- Total from investment operations ...................... 1.65 (1.77) (2.94) 0.81 2.32 ---------- ---------- ---------- ---------- -------- LESS DISTRIBUTIONS: Distributions from net investment income ................ (0.02) (0.01) -- (0.01) -- Distributions from capital gains ........................ -- -- -- (0.02) (0.02) ---------- ---------- ---------- ---------- -------- Total distributions ................................... (0.02) (0.01) -- (0.03) (0.02) ---------- ---------- ---------- ---------- -------- Net increase (decrease) in net asset value .................. 1.63 (1.78) (2.94) 0.78 2.30 ---------- ---------- ---------- ---------- -------- NET ASSET VALUE, End of Period .............................. $ 10.87 $ 9.24 $ 11.02 $ 13.96 $ 13.18 ========== ========== ========== ========== ======== TOTAL RETURN+ ............................................... 17.93% (16.09)% (21.06)% 6.13% 21.32% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ........................ $ 79,765 $ 72,329 $ 97,081 $ 106,762 $ 55,856 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............... 2.10% 2.05% 2.04% 1.82% 2.00% After reimbursement of expenses by Advisor ................ 1.75% 1.75% 1.75% 1.75% 1.75% Ratios of net investment income (loss) to average net assets: After reimbursement of expenses by Advisor ................ 0.54% 0.16% (0.15)% (0.21)% (0.15)% Portfolio Turnover .......................................... 20% 18% 24% 14% 19% - ------------------------------------------------------- (b) Calculated based on average shares outstanding. + Total return without applicable sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD 63 CAPITAL APPRECIATION FUND -------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period ........................ $ 9.63 $ 12.81 $ 16.44 $ 13.70 $ 11.04 ---------- -------- -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment loss ..................................... (0.00)* (0.02)(b) (0.04)(b) (0.03)(b) (0.00)* Net realized and unrealized gain (loss)on investments 2.25 (3.11) 3.59) 2.78 2.68 ---------- -------- -------- -------- ---------- Total from investment operations .................... 2.25 (3.13) (3.63) 2.75 2.68 ---------- -------- -------- -------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ................ -- -- -- -- -- Distributions from capital gains ........................ -- (0.05) -- (0.01) (0.02) ---------- -------- -------- -------- ---------- Total distributions ................................. -- (0.05) -- (0.01) (0.02) ---------- -------- -------- -------- ---------- Net increase (decrease) in net asset value .................. 2.25 (3.18) (3.63) 2.74 2.66 ---------- -------- -------- -------- ---------- NET ASSET VALUE, End of Period .............................. $ 11.88 $ 9.63 $ 12.81 $ 16.44 $ 13.70 ========== ======== ======== ======== ========== TOTAL RETURN+ ............................................... 23.36% (24.54)% (22.08)% 20.12% 24.29% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ........................ $ 71,733 $ 55,865 $ 59,801 $ 35,889 $ 13,262 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............... 1.64% 1.58% 1.58% 1.37% 1.71% After reimbursement of expenses by Advisor ................ 1.20% 1.20% 1.20% 1.20% 1.20% Ratios of net investment income (loss) to average net assets: After reimbursement of expenses by Advisor ................ 0.05% (0.16)% (0.30)% (0.27)% (0.05)% Portfolio Turnover .......................................... 25% 25% 30% 18% 68% CLASS B NET ASSET VALUE, Beginning of Period ........................ $ 9.31 $ 12.48 $ 16.13 $ 13.54 $ 10.98 ---------- -------- -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment loss ..................................... (0.08) (0.11)(b) (0.15)(b) (0.15)(b) (0.12) Net realized and unrealized gain (loss)on investments 2.17 (3.01) (3.50) 2.75 2.68 ---------- -------- -------- -------- ---------- Total from investment operations .................... 2.09 (3.12) (3.65) 2.60 2.56 ---------- -------- -------- -------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ................ -- -- -- -- -- Distributions from capital gains ........................ -- (0.05) -- (0.01) -- ---------- -------- -------- -------- ---------- Total distributions ................................. -- (0.05) -- (0.01) -- ---------- -------- -------- -------- ---------- Net increase (decrease) in net asset value .................. 2.09 (3.17) (3.65) 2.59 2.56 ---------- -------- -------- -------- ---------- NET ASSET VALUE, End of Period .............................. $ 11.40 $ 9.31 $ 12.48 $ 16.13 $ 13.54 ========== ======== ======== ======== ========== TOTAL RETURN+ ............................................... 22.45% (25.12)% (22.63)% 19.25% 23.32% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ........................ $ 62,832 $ 54,600 $ 72,667 $ 57,082 $ 23,563 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ............... 2.39% 2.33% 2.33% 2.12% 2.46% After reimbursement of expenses by Advisor ................ 1.95% 1.95% 1.95% 1.95% 1.95% Ratios of net investment loss to average net assets: ........ After reimbursement of expenses by Advisor ................ (0.70)% (0.91)% (1.05)% (1.02)% (1.03)% Portfolio Turnover .......................................... 25% 25% 30% 18% 68% - ----------------------------------------------------- * Amount represents less than $0.005 per share. (b) Calculated based on average shares outstanding. + Total return without applicable sales charge. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 64 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD MID-CAP FUND --------------------------------------------------- YEAR ENDED YEAR ENDED INCEPTION(a) 10/31/2003 10/31/2002 TO 10/31/2001 ---------- ---------- ------------- CLASS A NET ASSET VALUE, Beginning Period ............................ $ 8.64 $ 9.48 $ 10.00 ---------- ------------ ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ................................... 0.01 0.02(b) 0.00(b)* Net realized and unrealized gain (loss) on investments .. 2.47 (0.85) (0.52) ---------- ------------ ---------- Total from investment operations ................... 2.48 (0.83) (0.52) ---------- ------------ ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............... -- (0.01) -- Distributions from capital gains ....................... -- (0.00)* -- ---------- ------------ ---------- Total distributions ................................ -- (0.01) -- ---------- ------------ ---------- Net increase (decrease) in net asset value ................... 2.48 (0.84) (0.52) ---------- ------------ ---------- NET ASSET VALUE, End of Period ............................... $ 11.12 $ 8.64 $ 9.48 ========== ============ ========== TOTAL RETURN+ ................................................ 28.70% (8.79)% (5.20)%(1) RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ......................... $ 31,591 $ 22,650 $ 15,345 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ................ 1.92% 1.97% 2.29%(2) After reimbursement of expenses by Advisor ................. 1.40% 1.40% 1.40%(2) Ratios of net investment income (loss) to average net assets: After reimbursement of expenses by Advisor ................. 0.17% 0.18% 0.03%(2) Portfolio Turnover ........................................... 25% 31% 30% CLASS B NET ASSET VALUE, Beginning Period ............................ $ 8.54 $ 9.43 $ 10.00 ---------- ------------ ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment loss .................................... (0.05) (0.06)(b) (0.05)(b) Net realized and unrealized gain (loss) on investments.. 2.42 (0.83) (0.52) ---------- ------------ ---------- Total from investment operations .................... 2.37 (0.89) (0.57) ---------- ------------ ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............... -- -- -- Distributions from capital gains ....................... -- (0.00)* -- ---------- ------------ ---------- Total distributions ................................. -- -- -- ---------- ------------ ---------- Net increase (decrease) in net asset value ................... 2.37 (0.89) (0.57) ---------- ------------ ---------- NET ASSET VALUE, End of Period ............................... $ 10.91 $ 8.54 $ 9.43 ========== ============ ========== TOTAL RETURN+ ................................................ 27.75% (9.43)% (5.70)%(1) RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) ......................... $ 16,721 $ 11,765 $ 6,192 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ................ 2.67% 2.72% 3.04%(2) After reimbursement of expenses by Advisor ................. 2.15% 2.15% 2.15%(2) Ratios of net investment loss to average net assets: After reimbursement of expenses by Advisor ................. (0.58)% (0.57)% (0.72)%(2) Portfolio Turnover ........................................... 25% 31% 30% - -------------------------------------------------------- (a) Fund commenced investment operations on February 28, 2001. (b) Calculated based on average shares outstanding. * Amount represents less than $0.005 per share. + Total return without applicable sales charge. (1) Not annualized. (2) Annualized. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD 65 MULTI-CAP GROWTH FUND -------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED INCEPTION(A) 10/31/2003 10/31/2002 10/31/2001 TO 10/31/2000 ---------- ---------- ---------- ------------- CLASS A NET ASSET VALUE, Beginning of Period .......................... $ 3.49 $ 4.27 $ 7.87 $ 10.00 ---------- ---------- ---------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment loss ...................................... (0.03) (0.02)(b) (0.02) (0.02)(b) Net realized and unrealized gain (loss) on investments ... 1.00 (0.76) (3.58) (2.11) ---------- ---------- ---------- ----------- Total from investment operations .................... 0.97 (0.78) (3.60) (2.13) ---------- ---------- ---------- ----------- Net increase (decrease) in net asset value .................... 0.97 (0.78) (3.60) (2.13) ---------- ---------- ---------- ----------- NET ASSET VALUE, End of Period ................................ $ 4.46 $ 3.49 $ 4.27 $ 7.87 ========== ========== ========== =========== TOTAL RETURN+ ................................................. 27.79% (18.27)% (45.74)% (21.30)%(1) RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) .......................... $ 14,366 $ 7,915 $ 13,263 $ 20,731 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ................. 2.40% 2.60% 2.36% 1.75%(2) After reimbursement of expenses by Advisor .................. 1.20% 1.20% 1.20% 1.20%(2) Ratios of net investment loss to average net assets: After reimbursement of expenses by Advisor .................. (0.42)% (0.55)% (0.46)% (0.42)%(2) Portfolio Turnover ............................................ 123% 214% 230% 151% CLASS B NET ASSET VALUE, Beginning of Period .......................... $ 3.42 $ 4.22 $ 7.83 $ 10.00 ---------- ---------- ---------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment loss ..................................... (0.02) (0.05)(b) (0.07) (0.06)(b) Net realized and unrealized gain (loss) on investments .. 0.94 (0.75) (3.54) (2.11) ---------- ---------- ---------- ----------- Total from investment operations ................... 0.92 (0.80) (3.61) (2.17) ---------- ---------- ---------- ----------- Net increase (decrease) in net asset value .................... 0.92 (0.80) (3.61) (2.17) ---------- ---------- ---------- ----------- NET ASSET VALUE, End of Period ................................ $ 4.34 $ 3.42 $ 4.22 $ 7.83 ========== ========== ========== =========== TOTAL RETURN+ ................................................. 26.90% (18.96)% (46.10)% (21.70)%(1) RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) .......................... $ 9,935 $ 6,050 $ 6,902 $ 8,666 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ................. 3.15% 3.35% 3.11% 2.50%(2) After reimbursement of expenses by Advisor .................. 1.95% 1.95% 1.95% 1.95%(2) Ratios of net investment loss to average net assets: .......... After reimbursement of expenses by Advisor .................. (1.17)% (1.30)% (1.21)% (1.17)%(2) Portfolio Turnover ............................................ 123% 214% 230% 151% - ------------------------------------------- (a) Fund commenced investment operations on February 29, 2000. (b) Calculated based on average shares outstanding. + Total return without applicable sales charge. (1) Not annualized. (2) Annualized. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 66 FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD INTERNATIONAL STOCK FUND ------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/2003 10/31/2002 10/31/2001 10/31/2000 10/31/1999 ---------- ---------- ---------- ---------- ---------- CLASS A NET ASSET VALUE, Beginning of Period .................... $ 7.00 $ 7.31 $ 9.55 $ 11.45 $ 10.34 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................... 0.10 0.07(b) 0.04 0.04(b) 0.14 Net realized and unrealized gain (loss)on investments 1.88 (0.38) (2.21) (0.98) 1.56 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................. 1.98 (0.31) (2.17) (0.94) 1.70 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.06) -- (0.07) (0.14) (0.14) Distributions from capital gains .................... -- -- -- (0.82) (0.45) ---------- ---------- ---------- ---------- ---------- Total distributions .............................. (0.06) -- (0.07) (0.96) (0.59) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value .............. 1.92 (0.31) (2.24) (1.90) 1.11 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period .......................... $ 8.92 $ 7.00 $ 7.31 $ 9.55 $ 11.45 ========== ========== ========== ========== ========== TOTAL RETURN+ ........................................... 28.46% (4.24)% (22.88)% (9.29)% 17.00% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) .................... $ 33,664 $ 25,732 $ 25,829 $ 32,071 $ 33,214 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ........... 2.11% 2.29% 2.14% 2.06% 2.18% After reimbursement of expenses by Advisor ............ 1.60% 1.60% 1.60% 1.60% 1.60% Ratios of net investment income to average net assets: After reimbursement of expenses by Advisor ............ 1.30% 0.69% 0.45% 0.43% 1.30% Portfolio Turnover ...................................... 34% 47% 86% 117% 57% CLASS B NET ASSET VALUE, Beginning of Period .................... $ 6.89 $ 7.25 $ 9.48 $ 11.38 $ 10.28 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) ........................ 0.04 0.02(b) (0.02) (0.03)(b) 0.05 Net realized and unrealized gain (loss)on investments 1.85 (0.38) (2.20) (0.98) 1.56 ---------- ---------- ---------- ---------- ---------- Total from investment operations ................. 1.89 (0.36) (2.22) (1.01) 1.61 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS: Distributions from net investment income ............ (0.00)* -- (0.01) (0.07) (0.05) Distributions from capital gains .................... -- -- -- (0.82) (0.46) ---------- ---------- ---------- ---------- ---------- Total distributions .............................. -- -- (0.01) (0.89) (0.51) ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in net asset value .............. 1.89 (0.36) (2.23) (1.90) 1.10 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, End of Period .......................... $ 8.78 $ 6.89 $ 7.25 $ 9.48 $ 11.38 ========== ========== ========== ========== ========== TOTAL RETURN+ ........................................... 27.44% (4.97)% (23.48)% (9.92)% 16.09% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (in 000's) .................... $ 5,806 $ 4,591 $ 4,787 $ 5,497 $ 3,326 Ratios of expenses to average net assets: Before reimbursement of expenses by Advisor ........... 2.86% 3.04% 2.89% 2.81% 2.93% After reimbursement of expenses by Advisor ............ 2.35% 2.35% 2.35% 2.35% 2.35% Ratios of net investment income (loss) to average net assets: After reimbursement of expenses by Advisor ............ 0.55% (0.06)% (0.30)% (0.32)% 0.63% Portfolio Turnover ...................................... 34% 47% 86% 117% 57% - --------------------------------------- (b) Calculated based on average shares outstanding. + Total return without applicable sales charge. * Amount represents less than $0.005 per share. See accompanying Notes to Financial Statements. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 NOTES TO FINANCIAL STATEMENTS 67 1. ORGANIZATION MEMBERS Mutual Funds, a Delaware Business Trust (the "Trust"), is registered under the Investment Company Act of 1940, as amended (the "1940 Act") as an open-end, management investment company. As of the date of this report, the Trust offers nine Funds (individually, a "Fund," collectively, the "Funds"), each with two classes of shares: Class A and Class B. The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest of the Trust without par value. Each class of shares represents an interest in the assets of the respective Fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fees and its proportional share of fund level expenses, is subject to its own sales charges, if any, and has exclusive voting rights on matters pertaining to Rule 12b-1 as it relates to that class. The accompanying financial statements include the Cash Reserves Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and International Stock Fund. 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 reported 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 any U.S. or foreign stock exchange are valued at the last quoted sale price or official closing price on the valuation day; if no sale occurs, equities traded on a U.S. or foreign stock exchange are valued at the last sale price on the day of last sale; (2) debt securities purchased with a remaining maturity of 61 days or more are valued by a pricing service selected by the Trust or on the basis of dealer-supplied quotations; (3) options and futures contracts are valued at the last sale price on the market where any such option or futures contracts is principally traded; (4) over-the-counter options are valued based upon prices provided by market makers in such securities or dealers in such currencies; (5) forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts; and (6) short-term instruments having maturities of 60 days or less and all securities in the Cash Reserves Fund are valued on an amortized cost basis or, if the current market value differs substantially from the amortized cost, by marking to the market. 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. All other securities for which either quotations are not readily available, no other sales have occurred, or do not, in MEMBERS Capital Advisors' 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. Interest income is recorded on the accrual basis. Dividend income is recorded on ex-dividend date. 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, and to distribute substantially all of its income and capital gains to its shareholders. 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. Other operating expenses are prorated to the Funds on the basis of relative net assets. Classes: Class-specific expenses are borne by that class. Income, non-class specific expenses, and realized and unrealized gains/losses are allocated to the respective classes 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. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 68 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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, Mid-Cap, Multi-Cap Growth 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 securities that is due to changes in the foreign exchange rates from that which is due to change 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, Multi-Cap Growth 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, is 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 year ended October 31, 2003, only the High Income Fund had open forward currency exchange contracts, which are presented in the Fund's Portfolio of Investments. The instruments involve market risk, credit risk, or both, in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Futures Contracts: The Funds (other than Cash Reserves) 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 year ended October 31, 2003, only the Bond Fund entered into such transactions, the market values of which are identified in the Fund's Portfolio of Investments. Reclassification Adjustments: Paid-in capital, undistributed net investment income, and accumulated net realized gain (loss) have been adjusted in the Statements of Assets and Liabilities for permanent book-tax differences for all Funds. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 69 3. ADVISORY,ADMINISTRATION AND DISTRIBUTION AGREEMENTS The Trust has entered into an Investment Advisory Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Advisor"). For its investment advisory services to the Funds, the Investment Advisor is entitled to receive a fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets: 0.40% for the Cash Reserves Fund; 0.50% for the Bond Fund; 0.55% for the High Income Fund; 0.65% for the Balanced Fund; 0.55% for the Growth and Income Fund; 0.75% for the Capital Appreciation Fund; 0.95% for the Mid-Cap Fund, 0.75% for the Multi-Cap Growth Fund and 1.05% for the International Stock Fund. The Investment Advisor has entered into Subadvisor agreements for the management of all or a portion of the investments of the High Income Fund, the Mid-Cap Fund, the Multi-Cap Growth Fund, and the International Stock Fund. The Investment Advisor is solely responsible for the payment of all fees to the Subadvisors. The Subadvisors for these Funds are Massachusetts Financial Services Company for the High Income Fund, Wellington Management Company, LLP for a portion of the Mid-Cap Fund and the entire Multi-Cap Growth Fund, and Lazard Asset Management for the International Stock Fund. The Investment Advisor contractually agrees to waive a portion of its fees and to reimburse the Funds for certain expenses so that total expenses will not exceed certain expense limitations. The Investment Advisor has agreed to waive fees and/or reimburse expenses with respect to the Funds in order that total expenses will not exceed the following amounts: FUND CLASS A CLASS B FUND CLASS A CLASS B - ---------------------- ------- ------- ------------------------- ------- ------- Cash Reserves Fund 0.55% 1.30% Capital Appreciation Fund 1.20% 1.95% Bond Fund 0.90% 1.65% Mid-Cap Fund 1.40% 2.15% High Income Fund 1.00% 1.75% Multi-Cap Growth Fund 1.20% 1.95% Balanced Fund 1.10% 1.85% International Stock Fund 1.60% 2.35% Growth and Income Fund 1.00% 1.75% For the year ended October 31, 2003, the Investment Advisor reimbursed expenses of $100,514 for the Cash Reserves Fund, $284,227 for the Bond Fund, $168,808 for the High Income Fund, $363,962 for the Balanced Fund, $460,975 for the Growth and Income Fund, $520,392 for the Capital Appreciation Fund, $205,353 for the Mid-Cap Fund, $204,794 for the Multi-Cap Growth Fund and $166,715 for the International Stock Fund. Any reimbursements or fee reductions made by the Investment Advisor to a Fund are subject to repayment by the Fund, to the extent that the Fund is able to make the repayment within its expense cap. Such payments must be made within three years, measured on a fiscal year basis, from when the reimbursement or fee reduction occurred. RECOVERY EXPIRING RECOVERY EXPIRING RECOVERY EXPIRING FUND OCTOBER 31, 2004 OCTOBER 31, 2005 OCTOBER 31, 2006 - ------------------------- ----------------- ----------------- ----------------- Cash Reserves Fund $ 90,801 $ 114,473 $ 100,514 Bond Fund 140,301 234,662 284,227 High Income Fund 160,158 174,043 168,808 Balanced Fund 298,079 348,289 363,962 Growth and Income Fund 454,597 473,218 460,975 Capital Appreciation Fund 430,721 533,959 520,392 Mid-Cap Fund 94,077 189,165 205,353 Multi-Cap Growth Fund 278,988 247,687 204,794 International Stock Fund 187,608 223,636 166,715 Through October 31, 2003, none of the Funds has made repayments to the Investment Advisor under the agreement. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 70 NOTES TO FINANCIAL STATEMENTS (CONTINUED) CUNA Brokerage Services, Inc. ("CUNA Brokerage") serves as distributor of the Funds. The Trust adopted Distribution Plans (the "Plans") with respect to Trust's Class A and B shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, the Trust will pay service fees for Class A and Class B share at an aggregate annual rate of 0.25% of each Fund's daily net assets attributable to the respective class of shares for all Funds except the Cash Reserves Fund. The Trust will also pay distribution fees for Class B shares at an aggregate annual rate of 0.75% of each Fund's daily net assets attributable to Class B. The distribution fees are used to reimburse CUNA Brokerage for its distribution expenses with respect to Class B only, including but not limited to: (1) initial and ongoing sales compensation to selling brokers and others engaged in the sale of Fund shares, (2) marketing, promotional and overhead expenses incurred in connection with the distribution of Fund shares, and (3) interest expenses on unreimbursed distribution expenses. The service fees will be used to compensate selling brokers and others for providing personal and account maintenance services to shareholders. The distributor may from time to time voluntarily agree to waive a portion of its fees or expenses related to the Funds. In that regard, the distributor waived a portion of 12b-1 fees on the Cash Reserves Fund Class B Shares for the purpose of maintaining a one-day yield of zero. The amount of the daily waiver is equal to the amount required to maintain a minimum daily distribution rate of zero. For the year ended October 31, 2003, the waivers totaled $10,694 and are reflected as fees waived by the distributor in the accompanying Statement of Operations. In addition to distribution fees, CUNA Brokerage received sales charges paid by the purchasers or redeemers of the Funds'shares. For the year ended October 31, 2003, sales charges received by CUNA Brokerage were as follows: AMOUNT PAID AMOUNT PAID ----------- ----------- FUND CLASS A CLASS B FUND CLASS A CLASS B - ---------------------- -------- -------- ------------------------- -------- -------- Cash Reserves Fund $ 76,834 $175,509 Capital Appreciation Fund $314,184 $209,077 Bond Fund 544,921 247,399 Mid-Cap Fund 139,456 46,164 High Income Fund 162,925 44,661 Multi-Cap Growth Fund 139,239 23,680 Balanced Fund 613,329 367,829 International Stock Fund 39,834 17,194 Growth and Income Fund 414,048 260,111 During the year, the Funds had investment portfolio transactions executed through CUNA Brokerage. For the year ended October 31, 2003, the Growth and Income Fund and the Capital Appreciation Fund paid brokerage commissions to CUNA Brokerage of $228 and $29, respectively. Certain officers and trustees of the Funds are also officers of the Investment Advisor. The Funds do not compensate their officers or affiliated trustees. For the period November 2002 through July 2003, the Trust paid each unaffiliated trustee $1,250 per Board of Trustees regular meeting attended. For the period August 2003 through October 2003, the Trust paid each unaffiliated trustee $1,500 per regular meeting attended. 4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS With respect to the Cash Reserves Fund and the Bond Fund, dividends from net investment income are declared daily and net realized gains from investment transactions, if any, are distributed to shareholders annually. The High Income Fund and Balanced Fund declare dividends from net investment income monthly and net realized gains from investment transactions, if any, are distributed to shareholders annually. The Growth and Income Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and the International Stock Fund declare dividends from net investment income annually and net realized gains from investment transactions, if any, are distributed to shareholders 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. Dividends from net investment income are determined on a class level. Distributions of capital gains are determined on a fund level. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 71 5. SECURITIES TRANSACTIONS For the year ended October 31, 2003, aggregate cost of purchases and proceeds from sales of securities, other than short-term investments, were as follows: U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ------------------------- ------------------------- FUND PURCHASES SALES PURCHASES SALES - ------------------------- ----------- ----------- ----------- ----------- Bond Fund $87,392,923 $61,664,930 $38,197,581 $40,110,671 High Income Fund -- -- 41,537,037 23,887,559 Balanced Fund 32,226,097 25,109,921 33,093,187 `32,071,016 Growth and Income Fund -- -- 25,203,946 29,351,204 Capital Appreciation Fund -- -- 28,607,917 34,303,397 Mid-Cap Fund -- -- 12,759,597 9,443,415 Multi-Cap Growth Fund -- -- 25,373,762 20,120,872 International Stock Fund -- -- 11,043,528 10,877,896 6. FOREIGN SECURITIES Each Fund may invest in foreign securities, although only the High Income Fund, Multi-Cap Growth Fund and International Stock Fund anticipate having significant investments in such securities. The International Stock Fund, High Income Fund and Multi-Cap Growth Fund may invest 100%, 50% 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 American Depository Receipts ("ADR"s), European Depository Receipts ("EDR"s), Global Depository Receipts ("GDR"s) 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. 7. SECURITIES LENDING The Funds, excluding the Cash Reserves 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 October 31, 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 Portfolio 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 October 31, 2003 is as follows: FUND VALUE OF SECURITIES ON LOAN FUND VALUE OF SECURITIES ON LOAN - ---------------- --------------------------- ------------------------- --------------------------- Bond Fund $ 25,286,258 Capital Appreciation Fund $ 4,023,992 High Income Fund 8,718,662 Mid-Cap Fund 1,309,182 Balanced Fund 14,144,337 Multi-Cap Growth Fund 768,617 [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 72 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 8. TAX INFORMATION The tax character of distributions paid during the years ended October 31, 2003 and 2002 was as follows: ORDINARY INCOME LONG-TERM CAPITAL GAIN ----------------------- ----------------------- FUND 2003 2002 2003 2002 - ------------------------- ---------- ---------- ---------- ---------- Cash Reserves Fund $ 133,093 $ 308,806 $ -- $ -- Bond Fund 4,989,103 3,710,932 -- -- High Income Fund 3,256,626 2,390,662 -- -- Balanced Fund 3,350,596 3,623,511 -- 17,091 Growth and Income Fund 646,563 377,928 -- -- Capital Appreciation Fund -- -- -- 567,807 Mid-Cap Fund -- 14,108 -- -- Multi-Cap Growth Fund -- -- -- -- International Stock Fund 212,875 -- -- -- As of October 31, 2003, the components of distributable earnings on a tax basis were as follows: FUND ORDINARY INCOME LONG-TERM CAPITAL GAIN - ------------------------- --------------- ---------------------- Cash Reserves Fund $ 2,133 $ -- Bond Fund 37,300 -- High Income Fund 262,704 -- Balanced Fund (3,596) -- Growth and Income Fund 830,848 -- Capital Appreciation Fund -- -- Mid-Cap Fund -- -- Multi-Cap Growth Fund -- -- International Stock Fund 371,593 -- For the fiscal year ended October 31, 2003 certain dividends paid by the Balanced Fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Fund intends to designate up to the maximum amount of such dividends as allowable under the Act. Complete information will be reported in conjunction with your 2003 Form 1099-DIV. For federal income taxes purposes, the Funds listed below have capital loss carryovers as of October 31, 2003, which are available to offset future capital gains, if any: CARRYOVER EXPIRING IN: FUND 2006 2007 2008 2009 2010 2011 - ------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Bond Fund $ -- $ -- $ 194,273 $ -- $ 230,858 $ -- High Income Fund 66,186 328,128 237,390 2,053,681 2,445,850 614,259 Balanced Fund -- -- -- -- 5,493,333 6,760,762 Growth and Income Fund -- -- 1,214,946 2,865,513 11,738,982 9,713,003 Capital Appreciation Fund -- -- -- -- 19,056,782 13,979,170 Mid-Cap Fund -- -- -- -- 1,801,181 814,114 Multi-Cap Growth Fund -- -- 6,238,457 10,391,144 5,728,147 -- International Stock Fund -- -- 1,887,109 3,985,467 4,881,331 1,505,342 The Bond Fund and Multi-Cap Growth Fund utilized $166,270 and $204,710 of prior capital loss carryovers during the year ended October 31, 2003. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 73 At October 31, 2003, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows: FUND APPRECIATION DEPRECIATION NET - ------------------------- ------------ ------------ ----------- Bond Fund $ 3,031,097 $ 1,013,737 $ 2,017,360 High Income Fund 3,341,130 1,762,012 1,579,118 Balanced Fund 12,514,616 11,283,700 1,230,916 Growth and Income Fund 10,930,347 17,168,247 (6,237,900) Capital Appreciation Fund 16,300,546 13,306,012 2,994,534 Mid-Cap Fund 7,577,860 1,677,270 5,900,590 Multi-Cap Growth Fund 3,683,547 196,084 3,487,463 International Stock Fund 8,292,072 1,436,574 6,855,498 The differences between cost amounts for book purposes and tax purposes are primarily due to deferred losses. 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 Fund and International Stock 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 include bonds in the below investment grade categories of recognized rating 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 Each Fund is authorized to issue an unlimited number of shares of beneficial interest with no par value. Each Fund currently offers two classes of shares, Class A and Class B. At October 31, 2003, investments in the Funds by affiliates were as follows: CUNA MUTUAL CUNA MUTUAL CUMIS CUNA BROKERAGE FUND CLASS LIFE INSURANCE COMPANY INSURANCE SOCIETY INSURANCE SOCIETY, INC. SERVICES, INC. - ------------------------- ----- ---------------------- ----------------- ----------------------- -------------- Cash Reserves Fund A $ 1,849,574 $ 1,848,341 $ -- $ -- Bond Fund A 2,068,369 2,066,990 -- -- High Income Fund A 6,106,818 -- -- -- Balanced Fund A 11,396,316 -- 4,960,825 1,233,959 Growth and Income Fund A 1,927,839 2,243,641 3,091,147 -- Capital Appreciation Fund A 11,481,261 1,578,320 -- -- Mid-Cap Fund A 11,127,018 -- -- -- Mid-Cap Fund B 1,091 -- -- -- International Stock Fund A 3,126,225 5,209,333 18,610,826 -- [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 74 REPORT OF INDEPENDENT AUDITORS To the Board of Trustees and Shareholders of MEMBERS Mutual Funds In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of MEMBERS Mutual Funds (hereafter referred to as the "Funds") at October 31, 2003, and the results of each of their operations, the changes in each of their net assets and their financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds'management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Milwaukee, Wisconsin December 11, 2003 OTHER INFORMATION (UNAUDITED) TAX INFORMATION Foreign Tax Credits: The International Stock Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended October 31, 2003, the total amount of foreign taxes that will be passed through to shareholders and foreign source income for information reporting purposes will be $106,737 (all of which represents taxes withheld) and $1,056,764, respectively. Corporate Dividends Received Deduction: Of the dividends paid by the Bond Fund, High Income Fund, Balanced Fund, Growth and Income Fund, and the International Stock Fund, 0.00%, 1.01%, 47.91%, 100.00%, and 0.00%, respectively, qualify for the corporate dividends received deduction. PROXY VOTING Proxy Voting Policies and Procedures: A description of the policies and procedures used by MEMBERS Mutual Funds to vote proxies related to portfolio securities is available to shareholders at no cost on the Funds'Website at www.membersfunds.com or by calling 1-800-877-6089. Proxy Voting Record: MEMBERS Mutual Funds will make a filing with the Securities and Exchange Commission ("SEC") on Form N-PX, containing the proxy voting records for the twelve-month period ended June 30, by no later than August 31 of each year. The voting record will be available to shareholders at no cost on the Funds' Website at www.membersfunds.com and on the SEC's Website at www.sec.gov. The first reporting period ends June 30, 2004; consequently, the voting records will be posted on or around August 31, 2004. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 TRUSTEES AND OFFICERS 75 NUMBER OF PORTFOLIOS OTHER POSITION(S) OVERSEEN OUTSIDE NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION IN FUND DIRECTOR- YEAR OF BIRTH THE FUND SERVICE(1) DURING PAST FIVE YEARS COMPLEX SHIPS(5) - --------------------------- ------------------ ---------- -------------------------------------- ---------- ---------- Michael S. Daubs(2)(3) Trustee 1997 - CUNA Mutual Insurance Society 19 ____ 5910 Mineral Point Road (Chairman) Present Chief Officer - Investments, Madison, WI 53705 1990 - Present Year of Birth: 1943 MEMBERS Capital Advisors, Inc. 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 President Present Senior Vice President - Equities Madison, WI 53705 and Principal 1996 - Present Year of Birth: 1945 Executive Officer CUNA Brokerage Services, Inc. President, 1996 - 1998 - ---------------------------------------------------------------------------------------------------------------------------------- Mary E. Hoffmann(2) Treasurer 1998 - 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 1999 - 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 & Administration Manager 1998 - 2001 - ---------------------------------------------------------------------------------------------------------------------------------- Dan Owens(2) Assistant 2000 - 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 [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 76 TRUSTEES AND OFFICERS (CONTINUED) NUMBER OF PORTFOLIOS OTHER POSITION(S) OVERSEEN OUTSIDE NAME, ADDRESS AND HELD WITH LENGTH OF PRINCIPAL OCCUPATION IN FUND DIRECTOR- YEAR OF BIRTH THE FUND SERVICE(1) DURING PAST FIVE YEARS COMPLEX SHIPS(5) - --------------------------- ------------------ ---------- -------------------------------------- ---------- ----------- Rolf F. Bjelland Trustee 2003 - Lutheran Brotherhood Mutual Funds 19 Regis 2000 Heritage Way Present Chairman and President Corp., Waverly, IA 50677 Lutheran Brotherhood Director, Year of Birth: 1938 Chief Investment Officer 1980 - (now Thrivent Financial) Present 1983 - 2002 A.L.S. Society Treasurer, 2002 - Present - ---------------------------------------------------------------------------------------------------------------------------------- Gwendolyn M. Boeke Trustee 1997 - Wartburg Theological Seminary 19 ____ 2000 Heritage Way Present Development Association, Waverly, IA 50677 Development Associate, Year of Birth: 1934 1997 - Present Evangelical Lutheran Church in America ____ Foundation Regional Director, 1990 - Present Wartburg College Director, 1986 - 2001 - ---------------------------------------------------------------------------------------------------------------------------------- Alfred L. Disrud Trustee 1997 - Planned Giving Services 19 2000 Heritage Way Present Owner, 1986 - Present Waverly, IA 50677 Year of Birth: 1921 - ---------------------------------------------------------------------------------------------------------------------------------- Thomas C. Watt Trustee 1997 - Vision Development Services, Inc. 19 Wells Fargo 2000 Heritage Way Present Consultant, Bank, Waverly, IA 50677 1997 - Present Community Year of Birth: 1936 Director, MidAmerica Energy Company 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 advisor. [MEMBERS MUTUAL FUNDS LOGO] ANNUAL REPORT OCTOBER 31, 2003 ITEM 2. CODE OF ETHICS. As of the period ended October 31, 2003, MEMBERS Mutual Funds (also referred to herein as the "Registrant," or the "Trust") has adopted a code of ethics ("Code") that applies to the Registrant's principal executive officer and principal financial officer, principal accounting officer or controller, or person performing similar functions, a copy of which is posted on the Registrant's Internet website at www.membersfunds.com. Registrant intends to disclose on its Internet website information related to (1) any amendment of the Code (with the exception of technical, administrative or other non-substantive amendments), and (2) any waiver from a provision of the Code that has been granted to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, within five business days following the date of such amendment or waiver. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's board of trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The name of the audit committee financial expert is Rolf F. Bjelland, who is an "independent" trustee for purposes of this Item. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees For the fiscal years ended October 31, 2003 and October 31, 2002, the aggregate fees for professional services rendered by PricewaterhouseCoopers LLP ("PWC"), the Trust's independent public accountant, for the audit of the Trust's annual financial statements and services normally provided by such firm in connection with statutory and regulatory filings and engagements, totaled $105,500 and $79,000, respectively. (b) Audit Related Fees For the fiscal years ended October 31, 2003 and October 31, 2002, the aggregate fees for professional services rendered by PWC for assurance and related services by such firm that were reasonably related to the performance of the audit of the Trust's annual financial statements other, than those referenced in paragraph (a) above, totaled $0 and $0, respectively. (c) Tax Fees For the fiscal years ended October 31, 2003 and October 31, 2002, the aggregate fees for professional services rendered by PWC for tax compliance, tax advice and tax planning totaled $17,500 and $16,750, respectively, in each case 100% of which were pre-approved by the Audit Committee. Included in the scope of services comprising the fees disclosed under this Item 4(c) were the following services: 4 - Review and sign as signature preparer for U.S. Income Tax Return for Regulated Investment Companies, Form 1120-RIC. - Excise tax assistance, including review of excise tax distribution calculations prior to distribution and review of Return of Excise Tax on Undistributed Income of Regulated Investment Companies, Form 8613. (d) All Other Fees For the fiscal years ended October 31, 2003 and October 31, 2002, the aggregate fees for professional services rendered by PWC for products and services other than those reported in subparagraphs (a) through (c) of this Item 4, totaled $0 and $0, respectively. (e)(1) Pursuant to Rule 2-01(a)(c)(7) of Regulation S-X, the Audit Committee has established pre-approval policies and procedures with respect to audit, audit-related, tax, and other non-audit services. A copy of such pre-approval policies and procedures is attached hereto as Appendix A. (e)(2) The Audit Committee has approved, as required by Rule 2-01(c)(7)(i)(C) of Regulation S-X, 100% of the services described in this Item 4(b) through (d). (f) Not applicable. (g) During the Trust's fiscal years ended October 31, 2003 and October 31, 2002, the aggregate non-audit fees billed by PWC for services rendered to the Trust, and to MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's investment adviser, and to any entity controlling, controlled by, or under common control with MCA that provides ongoing services to the Trust, totaled $0 and $0, respectively. (h) The Trust's Audit Committee has considered the provision of the non-audit services that were rendered to MCA, and any entity controlling, controlled by, or under common control with MCA that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph Rule 2-01(c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining PWC's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS The Registrant's board of trustees has determined that the Registrant has a separately-designated standing audit committee. The names of the audit committee are Rolf F. Bjelland, Gwendolyn M. Boeke, Alfred L. Disrud, and Thomas C. Watt. ITEM 6. [RESERVED]. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. 5 ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act, the Registrant's principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported on a timely basis. This review took place on December 18, 2003. (b) There were no significant changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant's most recent second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a)2 Certifications of Principal Executive Officer and Principal Financial Officer of the Trust 6 APPENDIX A MEMBERS MUTUAL FUNDS ULTRA SERIES FUND AUDIT COMMITTEE POLICY REGARDING PRE-APPROVAL OF SERVICES PROVIDED BY INDEPENDENT AUDITOR The Audit Committee (the "Committee") of each of MEMBERS Mutual Funds and the Ultra Series Fund (each, a "Trust" and collectively, the "Trusts") has the responsibility for ensuring that all services performed by the independent audit firm (the "Firm") for the funds do not impair the Firm's independence. This review is intended to provide reasonable oversight without removing management from its responsibility for day-to-day operations. In this regard, the Committee should: - Understand the nature of the professional services expected to be provided and their impact on auditor independence and audit quality; - Examine and evaluate the safeguards implemented by the Trusts and the auditor to safeguard independence; - Meet semi-annually with the partner of the Firm; and - Consider approving categories of service that are not deemed to impair independence for a one-year period. It is important that a qualitative, rather than mere quantitative, evaluation be performed by the Committee in discharging its responsibilities. POLICY FOR AUDIT AND NON-AUDIT SERVICES PROVIDED TO THE TRUSTS On an annual basis, each Trust's Committee will review and consider whether to pre-approve the financial plan for audit fees as well as categories of audit-related and non-audit services that may be performed by the Firm directly for the Trusts. The Committee will receive an annual report from the Firm of all audit and non-audit services that were approved during the year. The engagement of the Firm for any non-audit service requires the written pre-approval of each Trust's Treasurer and all non-audit services performed by the Firm will be disclosed in the required SEC periodic filings. In connection with the Committee review and pre-approval responsibilities, the review by the Committee will consist of the following: Audit Services The categories of audit services and related fees to be reviewed and considered for pre-approval annually by the Committee or its delegate include the following: - Annual fund financial statements audits; - Seed audits (related to new product filings, as required); and - SEC and regulatory filings and consents Audit-related Services In addition, the following categories of audit-related services are deemed to be consistent with the role of the Firm and, as such, will be considered for pre-approval by the Committee or its delegate on an annual basis: - Accounting consultations; - Fund merger support services; - Other accounting related matters; - Agreed Upon Procedures reports - Attestation Reports - Other Internal Control Reports Notwithstanding any annual pre-approval of these categories of services, individual projects with an estimated fee in excess of $25,000 are subject to pre-approval by the Committee Chair or its delegate on a case-by-case basis. Individual projects with an estimated fee in excess of $50,000 are subject to pre-approval by the Committee or its delegate on a case-by-case basis. Tax Services The following categories of tax services are deemed consistent with the role of the Firm and as such, will be considered for pre-approval by the Committee or its delegate on an annual basis: - Tax compliance services related to the filing or amendment made in respect of federal state or local income tax requirements, or sales and use tax requirements; - Timely RIC qualification reviews; - Tax distribution analysis and planning; - Tax authority examination services; - Tax appeals support services; - Accounting methods studies; - Fund merger support services; and - Tax consulting services and related projects. Notwithstanding any annual pre-approval of these categories of services, individual projects with an estimated fee in excess of $25,000 are subject to pre-approval by the Committee Chair or its delegate on a case-by-case basis. Individual projects with an estimated fee in excess of $50,000 are subject to pre-approval by the Committee or its delegate on a case-by-case basis. Other Non-audit Services The SEC auditor independence rules adopted in response to Sarbanes-Oxley Act specifically allow certain non-audit services. Because of their nature, none of these services may be commenced by the Firm without the prior approval of the Committee. The Committee may delegate this responsibility to one or more of the Committee members, with the decisions presented to the full Committee at the next scheduled meeting. Proscribed Services In accordance with SEC rules on independence, the Firm is prohibited from performing services in the following categories of non-audit services: - Management functions; - Accounting and bookkeeping services; - Internal audit services; - Financial information systems design and implementation; - Valuation services supporting the financial statements; - Actuarial services supporting the financial statements; - Executive recruitment; - Expert services (e.g., litigation support); and - Investment banking. POLICY FOR PRE-APPROVAL OF NON-AUDIT SERVICES PROVIDED TO AFFILIATES OF THE TRUSTS Each Trust's Committee is also responsible for pre-approving certain non-audit services provided to affiliates of the Trusts which provide ongoing services to the Trusts. The only non-audit services provided to these entities which require pre-approval are those services that relate directly to the operations and financial reporting of the Trusts. Although neither Trust's Committee is required to pre-approve all services provided to MEMBERS Capital Advisors, Inc. ("MCA"), the Trusts' investment adviser, the Committee will annually receive a report from the Firm on the aggregate fees for all services provided to MCA and affiliates.