As filed with the Securities and Exchange Commission on February 28, 2005
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N - CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811-08261
Ultra Series Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Kevin S. Thompson, Esq.
Vice President, Deputy General Counsel
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
Copy to:
Stephen E. Roth, Esq.
Sutherland Asbill & Brennan LLP
1275 Pennsylvania Avenue, N.W.
Washington, D. C. 20004-2415
--------------------------------------
Date of Fiscal Year End: December 31, 2004
Date of Reporting Period: December 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 on December 31, 2004 appears beginning on the
following page.
TABLE OF CONTENTS
PAGE
----
ULTRA SERIES FUND
FUND PERFORMANCE REVIEWS
Bond Fund ........................................... 4
High Income Fund .................................... 6
Balanced Fund ....................................... 8
Growth and Income Stock Fund ........................ 10
Capital Appreciation Stock Fund ..................... 12
Mid-Cap Stock Fund .................................. 14
Multi-Cap Growth Stock Fund ......................... 16
Global Securities Fund .............................. 18
International Stock Fund ............................ 20
PORTFOLIOS OF INVESTMENTS
Money Market Fund ................................... 22
Bond Fund ........................................... 23
High Income Fund .................................... 27
Balanced Fund ....................................... 36
Growth and Income Stock Fund ........................ 40
Capital Appreciation Stock Fund ..................... 42
Mid-Cap Stock Fund .................................. 44
Multi-Cap Growth Stock Fund ......................... 46
Global Securities Fund .............................. 48
International Stock Fund ............................ 51
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ................ 56
Statements of Operations ............................ 58
Statements of Changes in Net Assets ................. 60
Financial Highlights ................................ 64
NOTES TO FINANCIAL STATEMENTS ..................................... 69
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ........... 76
OTHER INFORMATION ................................................. 77
TRUSTEES AND OFFICERS ............................................. 79
2 LETTER TO SHAREHOLDERS
Dear Investor:
The year 2004 had to be a pleasant surprise for most investors. Returns
from the major asset categories were significantly lower than in the prior
year, but significantly higher than most were expecting.
As the year began, many measures of U.S. and world economic activity were
peaking and beginning to fade. Corporate profit margins were vulnerable to
increasing costs and competition. At the same time, inflationary pressures
appeared to be building, so mid-year the Federal Reserve began a campaign
to gradually increase interest rates. Oil prices rose at an accelerating
rate as the year progressed, and the investment markets suffered from
additional concerns about the war and terrorism, the election outcome, and
the impact China might have on our economy.
Stocks bottomed in August, however, as corporate earnings appeared to be
holding up better than many had feared. And, in the fourth quarter, the
alleviation of election uncertainty, a break in oil prices, and
unexpectedly calm interest rate markets helped stocks to notch their first
back-to-back annual gains since 1999.
The attached Annual Report summarizes how each of the Ultra Series Funds
performed in this environment of very modest increases in interest rates
and stock returns generally in the teens. These 2004 results provide yet
another good reminder of how important it is to stay with a long-term
investment program even when there are concerns on the horizon. Said
another way, it has rarely paid for long-term investors to bet against the
U.S. economy by abandoning stock and bond investments for the relative
security of short-term investments.
We are saddened to report the loss of a good friend and outstanding
director for the Ultra Series Funds. Tom Watt died this past September
after a valiant battle with cancer, leaving a legacy of shareholder
advocacy, charitable giving and strong community and business leadership.
More importantly, he left behind a loving family who cherished his
companionship and guidance as husband, father and grandfather. He will be
missed by all of us.
Richard Struthers, an individual with direct involvement in the asset
management business who is also an attorney with extensive experience in
investment regulatory issues, was elected to the Board by the independent
directors to succeed Tom. This reflects the Board's commitment to assure
continuing capable representation of shareholders.
As another year draws to a close, we thank you once again for your
confidence and trust, and remain committed to your long-term investment
success.
Sincerely,
/s/Lawrence R. Halverson
Lawrence R. Halverson, CFA
Vice President
Ultra Series Fund
(Not part of the Annual Report.)
SUMMARY OF ECONOMIC AND FINANCIAL MARKET CONDITIONS 3
U.S. ECONOMY
The U.S. economy grew at a healthy rate in 2004, modestly exceeding what is
believed to be its long-term potential growth rate of 3.5% per year. It was
firing on all cylinders as the year began. Strong post-holiday retail sales and
a burst of corporate capital spending on information technology drove growth
well above a 4% annual rate for several months and brought the first strong
labor market gains of this economic cycle. However, growth was soon tempered by
a surge in oil prices and uncertainties over the effects of a newly announced
campaign of monetary tightening by the U.S. Federal Reserve (the "Fed").
Consumers, and particularly lower-income consumers, cut back on spending as
gasoline costs took a larger share of their household budgets. Even though
corporations kept spending, the consumer "soft spot" pulled growth down to a
3.3% annual rate in the second quarter. The economy re-accelerated in mid-summer
as corporations shifted their spending towards vehicles, heavy equipment, and
machinery and a bond market rally pushed mortgage rates down, fueling robust
home-price appreciation and renewed consumer spending. Despite another wave of
higher energy prices, the economy continued to grow strongly in the fourth
quarter with only scattered signs of strain emerging: slower job creation,
home-price volatility, and stagnant spending by lower-income consumers.
U.S. STOCKS
Stock returns were good during the period as low interest rates, low inflation,
and solid economic growth provided a favorable environment for corporate
earnings. Smaller was better, with the S&P 500 Index of large-cap stocks
returning 10.88% for the period while the Russell(R) 2000 Index of small-cap
stocks returned 18.33%. Smaller companies took advantage of low interest rates
to restructure and boost profit margins. Smaller stocks had "fallen behind"
large stocks after a period of under-performance in the late 1990s, and part of
their out-performance during the period was likely due to market participants
adjusting for their under-valuation. Growth out-performed value early in the
year as market participants responded enthusiastically to the resurgence in
corporate spending on information technology. Later, value out-performed growth
as "old economy" manufacturers took the lead and smaller and more distressed
companies were able to reorganize and return to profitability. The biggest stock
market gains of the year happened in November and December after uncertainties
surrounding the presidential election were removed and oil prices declined, and
growth again out-performed.
U.S. BONDS
Bonds under-performed stocks, but bond returns still generally out-paced
inflation. As had been the case during the previous annual reporting period,
riskier bonds out-performed. The Merrill Lynch U.S. Domestic Master Index of
investment grade bonds returned 4.34%, while the Lehman Brothers High Yield Bond
Index returned 11.13%. A mild inflation scare in the spring of 2004 drove bond
prices down as market participants feared an aggressive campaign of monetary
tightening by the Fed. The Fed did indeed raise short-term interest rates in
five quarterpoint increments over the summer and fall, but inflationary fears
subsided and market participants came to believe that short-term rates would
only rise gradually going forward. Shorter-term bond yields rose along with the
Fed's moves, but longer-term yields stayed essentially the same or even fell.
INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS
Globally, China confirmed itself in the role it assumed in 2003 as the most
dynamic if not yet the most powerful force in the world economy. Its rapid
growth was the major cause of a great surge in oil and commodity prices, and its
decision to cool its overheating economy sent tremors through global equity
markets in March. The whole east Asian economic sphere benefited from China's
9%+ economic growth, with Australia booming and even moribund Japan moving
closer to escaping from the deflationary spiral that has gripped it for a
decade. Things were slow in Europe, particularly after a rising euro cut into
exports, but the world's overall economic growth in 2004 was the strongest in
five years. Emerging markets stocks were the strongest performers, but both
Europe and Japan also rose on the year. Returns for U.S. investors were enhanced
by the decline in the relative value of the U.S. dollar.
(Not part of the Annual Report.)
4 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.
PRINCIPAL INVESTMENT STRATEGIES
To keep current income relatively stable and to limit share price volatility,
the Bond Fund emphasizes investment grade securities or other securities which,
although not rated by a national rating service, are considered by the fund's
investment advisor to have an investment quality equivalent to the four highest
categories. The Bond Fund maintains an intermediate (typically 3-6 year) average
portfolio duration. As a general rule, a portfolio consisting of debt,
mortgage-related and asset-backed securities experiences a decrease in principal
value when interest rates increase. The extent of the decrease in principal
value may be affected by the fund's duration of its portfolio of debt,
mortgage-related and asset-backed securities. "Effective duration" takes into
consideration the likelihood that a security will be called or prepaid prior to
maturity given current interest rates. Duration measures the relative price
sensitivity of a security to changes in interest rates. Typically, securities
with longer durations are more price-sensitive than those with shorter
durations. Commonly, a portfolio of debt, mortgage-related and asset-backed
securities experiences a percentage decrease in principal value equal to its
effective duration for each 1% increase in interest rates. For example, if the
fund holds securities with an effective duration of five years and interest
rates rise 1%, the principal value of such securities could be expected to
decrease by approximately 5%. Under normal circumstances, the fund invests at
least 80% of its assets in investment grade securities. The fund may invest in
the following instruments:
- - CORPORATE DEBT SECURITIES: securities issued by domestic and foreign
corporations; and
- - U.S.GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by the
U.S. government or its agencies or instrumentalities.
To the extent permitted by law and available in the market, the fund will also
invest in: 1) asset-backed and mortgage-backed securities, including those
representing mortgage, commercial or consumer loans originated by credit unions
or other financial institutions; and 2) foreign government debt securities
(securities issued or guaranteed by a foreign government or its agencies or
instrumentalities).
2004 RETURNS
Ultra Series Bond Fund (net of fees and expenses) 3.36%
Merrill Lynch U.S. Domestic Master Index 4.34%
Bonds had a difficult April as market participants were confronted by economic
data showing rising inflationary pressures and began to price in an aggressive
campaign of monetary tightening by the Fed. Lower-quality and corporate bonds
under-performed during the sell-off in fixed income markets that ensued.
However, bond markets recovered as inflationary pressures appeared to ease and
market participants found it easier to take the Fed at its word that it planned
a "measured" series of hikes in short-term interest rates. For the full period,
lower-quality bonds out-performed higher-quality bonds, as they have for nearly
two years now.
The fund performed well on a relative basis during the April sell-off, and its
performance has improved versus peers and indexes over last year. The fund
benefited from a strategic decision to modestly extend the duration of the
portfolio, as management was able to purchase some attractively-valued
securities at a time when market participants were attracted to
shorter-duration, less interest rate-sensitive bonds.
Management believes that the widely expected gradually rising short-term
interest rates and an end to the long period of out-performance by lower-quality
bonds will favor the fund's focus on intermediate-duration, higher-quality
securities. Even in a period of rising interest rates, coupon income and the
fund's investments in new securities as yields grow can offset declines in bond
prices. Management believes that the fund will continue to ably perform its role
in a diversified portfolio -- providing current income and diversification for
riskier investments such as stocks.
The fund will continue to be managed to provide current income, and to diversify
portfolios that contain stocks or stock mutual funds. It is an intermediate-term
bond fund, managed with the goal of providing stable returns while limiting
interest rate risk.
MEMBERS Capital Advisors'Fixed Income
Portfolio Management Team Advisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 5
Bond Fund
BOND FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Bond Fund $ 10,000 $ 11,638 $ 11,967 $ 21,859 $ 13,657 $ 13,756 $ 14,872
Lehman Brothers
Intermediate
Government/Credit
Bond Index $ 10,000 $ 11,533 $ 12,000 $ 12,944 $ 14,037 $ 14,091 $ 15,516
Merrill Lynch U.S.
Domestic Master
Index $ 10,000 $ 11,852 $ 12,277 $ 13,463 $ 14,657 $ 14,517 $ 16,219
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Bond Fund $ 16,109 $ 17,486 $ 18,019 $ 18,625
Lehman Brothers
Intermediate
Government/Credit
Bond Index $ 16,907 $ 18,570 $ 19,370 $ 19,960
Merrill Lynch U.S.
Domestic Master
Index $ 17,569 $ 19,398 $ 20,197 $ 21,074
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
ASSET ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2004
- -----------------------------------------------------------------------------------------------
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Bond Fund 3.36% 4.96% 6.25% 6.42%
Lehman Brothers Intermediate Government/Credit Bond Index 3.04 5.69 7.21 7.16
Merrill Lynch U.S. Domestic Master Index 4.34 6.25 7.73 7.73
ANNUAL REPORT DECEMBER 31, 2004
6 FUND PERFORMANCE REVIEW
High Income Fund
INVESTMENT OBJECTIVE
The High Income Fund seeks high current income. The fund also seeks capital
appreciation, but only when consistent with its primary goal.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more subadvisors under a "manager of
managers" approach to make investment decisions for this fund. Massachusetts
Financial Services ("MFS") was the only subadvisor used by MEMBERS Capital
Advisors to manage the assets of the fund for the year ended December 31, 2004.
PRINCIPAL INVESTMENT STRATEGIES
The High Income Fund invests primarily in lowerrated, 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. Types of bonds and other
securities in which the fund may invest include, but are not limited to,
domestic and foreign corporate bonds, debentures, notes, convertible securities,
preferred stocks, municipal obligations and government obligations. The fund may
invest in mortgage-backed securities.
The fund may also invest up to 25% of its assets in high-yielding foreign
securities, including emerging market securities.
2004 RETURNS
Ultra Series High Income Fund (net of fees and expenses) 8.92%
Lehman Brothers High Yield Bond Index 11.13%
The high-yield bond market began the period with strong performance as cash
continued to flow into the sector. However, mixed economic data and a large new
issue calendar appeared, in our view, to dampen market enthusiasm in the early
part of the year, while rising short-term interest rates applied further
pressure on the market during the last six months.
The portfolio's underweighted position in the most speculative sectors of the
high-yield market hurt the portfolio's relative performance against its
benchmark, especially in the first half of the year as prices of "CCC"- rated
debt rose amid expectations the economy was improving. Among individual
holdings, Dobson Communications and Packaging Corporation of America detracted
from results when prices of their bonds fell as the companies experienced
deteriorating fundamentals and declines in earnings.
The portfolio's overweighted position in the debt of commodity chemical
companies helped relative returns as some selected names benefited from
improving world economies. Attractive supply-demand dynamics, which boosted
earnings and cash flow, helped these companies to decrease leverage. The
portfolio's position in chemical companies Rhodia and Resolution Performance
Products boosted relative returns. Individual holdings of cable companies and
broadcasters also boosted results. The portfolio benefited from price increases
in the debt of Yellow Pages publisher Dex Media, as the market value of those
franchises rose during the year.
MEMBERS Capital Advisors' Fixed Income
Portfolio Management Team -- Advisor
Massachusetts Financial Services -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 7
High Income Fund
HIGH INCOME FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
High Income Fund 10/31-12/31 $ 10,000 $ 9,997
Lehman Brothers High
Yield Bond Index $ 10,000 $ 9,789
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
High Income Fund $ 10,342 $ 10,659 $ 12,627 $ 13,753
Lehman Brothers High
Yield Bond Index $ 10,306 $ 10,161 $ 13,105 $ 14,564
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Energy 11%
U.S. Government and Agency Obligations 9%
Communication 7%
Industrials 7%
Recreation 7%
Telecommunications 7%
Media 6%
Basic Materials 5%
Containers & Packaging 4%
Utilities 4%
Chemicals and Drugs 3%
Health Care Services 3%
Retail 3%
Building and Construction 2%
Consumer Services 2%
Consumer Staples 2%
Finance 2%
Metals and Mining 2%
Pipeline 2%
Cash and Other Net Assets 2%
Asset Backed 1%
Commercial Mortgage Backed 1%
Aerospace/Defense 1%
Consumer Cyclicals 1%
Durable Goods 1%
Machinery 1%
Technology 1%
Transportation 1%
Waste Disposal 1%
Foreign Government and Agency 1%
Obligations
Printing 0%*
REITS 0%*
Schools 0%*
*Rounds to 0%.
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2004
- -----------------------------------------------------------------------------
One Three Since
Year Years Inception (2)
----- ----- -------------
High Income Fund 8.92% 9.97% 7.94%
Lehman Brothers High Yield Bond Index 11.13 12.22 9.44
(2) Returns are form inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2004
8 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.
PRINCIPAL 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, however, common stocks will
constitute 50% to 70% of the fund's assets, bonds will constitute 25% to 50% of
the fund's assets and money market instruments may constitute up to 25% of the
fund's assets. The Balanced Fund will invest in the same types of equity
securities in which the Capital Appreciation Stock and Growth and Income Stock
Funds invest, the same types of bonds in which the Bond Fund invests, and the
same types of money market instruments in which the Money Market Fund invests.
2004 RETURNS
Ultra Series Balanced Fund (net of fees and expenses) 8.34%
Russell 1000(R) Index 11.40%
Merrill Lynch U.S. Domestic Master Index 4.34%
Performance of the stock component of the fund versus the Russell 1000(R) Index
was positively affected by an overweight in the energy sector and an underweight
in the health care sector. Performance was primarily hurt by stock selection in
the health care sector, where holdings Pfizer and IMS lagged the overall
performance of the sector. Stock selection in the information technology sector
was a significant positive contributor to performance, as Autodesk rose after
posting consistently strong earnings, Motorola gained market share in the
highly-competitive market for cellular telephones, and IT services provider
Computer Sciences significantly out-performed its sub-sector. Performance was
also helped by stock selection in the consumer discretionary sector as Carnival
appreciated after cruise bookings and profits exceeded consensus expectations,
and McDonald's appreciated as its operating results improved.
Performance in the bond component of the fund was helped by a strategic decision
to modestly extend the duration of the portfolio, as management was able to
purchase some attractively-valued securities at a time when market participants
were drawn to shorter-duration, less interest-rate sensitive bonds. Performance
was hurt by the fixed-income portfolio's conservative posture with respect to
credit quality, since riskier bonds, helped by accommodative monetary policy
from the Fed, out-performed in 2004.
Management gradually and moderately increased the fund's allocation to equities
for strategic reasons during the period, although it generally will maintain a
conservative posture in regard to security selection in both equity and
fixed-income markets. Management's objective continues to be to manage the fund
as a "core" investment providing both income and capital appreciation via a
broadly diversified array of stocks, bonds, and money market instruments.
MEMBERS Capital Advisors' Common Stock and Fixed Income
Portfolio Management Teams -- Advisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 9
Balanced Fund
BALANCED FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Balanced Fund $ 10,000 $ 12,108 $ 13,412 $ 15,675 $ 17,776 $ 20,352 $ 21,136
Blended Synthetic Index $ 10,000 $ 12,332 $ 13,877 $ 16,454 $ 19,295 $ 21,252 $ 21,410
Merrill Lynch U.S.
Domestic Master Index $ 10,000 $ 11,852 $ 12,277 $ 13,463 $ 14,657 $ 14,517 $ 16,219
Russell 1000 Index $ 10,000 $ 13,777 $ 16,869 $ 22,411 $ 28,467 $ 34,420 $ 31,739
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Balanced Fund $ 20,488 $ 18,207 $ 21,269 $ 23,043
Blended Synthetic Index $ 21,180 $ 19,841 $ 22,690 $ 24,167
Merrill Lynch U.S.
Domestic Master Index $ 17,569 $ 19,398 $ 20,197 $ 21,074
Russell 1000 Index $ 27,788 $ 21,771 $ 28,279 $ 31,503
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
ASSET ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31,2004
- ----------------------------------------------------------------------------
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Balanced Fund 8.34% 3.99% 2.52% 8.71%
Blended Synthetic Index 6.30 4.43 2.57 9.21
Merrill Lynch U.S. Domestic Master Index 4.34 6.25 7.73 7.73
Russell 1000(R) Index 11.40 4.27 -1.76 12.16
ANNUAL REPORT DECEMBER 31, 2004
10 FUND PERFORMANCE REVIEW
Groth And Income Stock Fund
INVESTMENT OBJECTIVE
The Growth and Income Stock 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.
PRINCIPAL INVESTMENT STRATEGIES
The Growth and Income Stock Fund will focus on stocks of larger 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 generally follows what is known as a "value" approach, which generally
means that the managers seek to invest in stocks at prices below their perceived
intrinsic value as estimated based on fundamental analysis of the issuing
company and its prospects. By investing in value stocks, the fund attempts to
limit the downside risk over time but may also produce smaller gains than other
stock funds if their intrinsic values are not realized by the market or if
growth-oriented stocks are favored by investors.
2004 RETURNS
Ultra Series Growth and Income Stock Fund
(net of fees and expenses) 12.43%
Russell 1000(R) Value Index 16.49%
The fund's performance versus the Russell 1000(R) Value Index was hurt by
overweights in the health care and information technology sectors. Performance
was helped by stock selection in the consumer discretionary sector as
management's decision to purchase shares of McDonalds and Target when they
appeared to be losing ground to competitors, was rewarded when both companies
posted improved results. Performance was hurt by stock selection in the
utilities sector, as the fund's holdings in Ameren, Consolidated Edison, FPL
Group, and Progress Energy -- all more conservative, regulated utilities --
underperformed in the sector. Atrisk, unregulated utilities out-performed during
the early part of the period as market participants decided that they had
overestimated the risks inherent in these shares and bid prices up. This
out-performance persisted later in the period as market participants came to
believe that interest rates would rise less rapidly than they had expected and
higher-yielding utilities saw considerable buying interest.
Management currently sees good value in some "higher quality" stocks, which tend
to represent industry leaders with solid track records of earnings growth and
healthier balance sheets than possessed by many "deep value" stocks. Management
believes that the exceptional returns that riskier "deep value" and speculative
growth shares provided during 2003, have resulted in an undervaluing of a number
of these stocks.
MEMBERS Capital Advisors' Common Stock
Portfolio Management Team -- Advisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 11
Growth And Income Stock Fund
GROWTH AND INCOME STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
(1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Growth and Income Stock Fund $ 10,000 $ 13,175 $ 16,244 $ 21,127 $ 24,917 $ 29,390 $ 29,630
S&P 500 Index $ 10,000 $ 13,755 $ 16,911 $ 22,552 $ 28,997 $ 35,099 $ 31,904
Russell 1000 Value Index $ 10,000 $ 13,836 $ 16,830 $ 22,751 $ 26,307 $ 28,240 $ 30,221
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Growth and Income Stock Fund $ 26,458 $ 20,757 $ 26,130 $ 29,378
S&P 500 Index $ 28,118 $ 21,905 $ 28,190 $ 31,256
Russell 1000 Value Index $ 28,532 $ 24,103 $ 31,341 $ 36,511
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2004
- ---------------------------------------------------------------------------------------
One Three Five Ten
Year Years Years Years
----- ----- ----- -----
Growth and Income Stock Fund 12.43% 3.55% -0.01% 11.38%
S&P 500 Index 10.88 3.59 -2.30 12.07
Russell 1000(R) Value Index 16.49 8.57 5.27 13.82
ANNUAL REPORT DECEMBER 31, 2004
12 FUND PERFORMANCE REVIEW
Capital Appreciation Stock Fund
INVESTMENT OBJECTIVE
The Capital Appreciation Stock Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Capital Appreciation Stock 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 both low market prices relative to
their perceived intrinsic value and growth capabilities as estimated based on
fundamental analysis of the issuing companies and their prospects. This is
referred to as a "core" or "blend" approach. Relative to the Growth and Income
Stock Fund, the Capital Appreciation Stock Fund will seek more earnings growth
capability in the stocks it purchases, and will include some smaller, less
developed companies 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 may often be less diversified than the Growth and Income
Stock Fund. The combination of these factors introduces greater investment risk
than the Growth and Income Stock Fund, but can also provide higher long-term
returns than are typically available from less risky investments.
2004 RETURNS
Ultra Series Capital Appreciation Stock Fund
(net of fees and expenses) 8.94%
Russell 1000(R) Index 11.40%
Fund performance versus the Russell(R) 1000 Index was helped by an overweight in
the energy and industrial sectors, and hurt by an underweight in the utilities
sector. Performance was helped by stock selection in the information technology
sector as market participants rewarded computer-aided design software provider
Autodesk for posting consistent earnings growth. Stock selection hurt
performance in the financial and health care sectors. The fund's holdings in
insurance stocks detracted from returns as the industry was affected by
regulatory investigations. In health care, Pfizer and IMS underperformed as the
pharmaceutical industry was hit with patent and product recall issues.
Management is currently maintaining an overweight in the energy sector,
believing that demand for fossil fuels will tend to exceed production capacity
for the foreseeable future. Management continues to seek shares of companies
with attractive growth prospects which it believes are being under-valued by
market participants due to transitory factors with the goal of achieving
long-term capital appreciation for the fund's investors.
MEMBERS Capital Advisors' Common Stock
Portfolio Management Team -- Advisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 13
Capital Appreciation Stocks Fund
CAPITAL APPRECIATION STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000
INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Capital Appreciation Stock Fund $ 10,000 $ 13,705 $ 15,878 $ 20,718 $ 25,259 $ 31,622 $ 32,976
S&P SuperComposite 1500
Index $ 10,000 $ 13,652 $ 16,711 $ 22,215 $ 28,075 $ 33,760 $ 31,410
Russell 1000 Index $ 10,000 $ 13,777 $ 16,869 $ 22,411 $ 28,467 $ 34,420 $ 31,739
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Capital Appreciation Stock Fund $ 29,972 $ 20,558 $ 26,546 $ 28,919
S&P SuperComposite 1500
Index $ 28,067 $ 22,088 $ 28,619 $ 31,989
Russell 1000 Index $ 27,788 $ 21,771 $ 28,279 $ 31,503
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31,2004
- ------------------------------------------------------------------------------------------------
One Three Five Ten
Year Years Years Years
----- ----- ----- -----
Capital Appreciation Stock Fund 8.94% -1.18% -1.77% 11.20%
S&P SuperComposite 1500 Index 11.78 4.46 -1.07 12.33
Russell 1000(R) Index 11.40 4.27 -1.76 12.16
ANNUAL REPORT DECEMBER 31, 2004
14 FUND PERFORMANCE REVIEW
Mid - Cap Stock Fund
INVESTMENT OBJECTIVE
The Mid-Cap Stock 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.
PRINCIPAL INVESTMENT STRATEGIES
The Mid-Cap Stock Fund invests primarily in common stocks of midsize and smaller
companies. However, the fund will not automatically sell a stock just because
the company's market capitalization has either grown or fallen, and such
positions may be increased through additional purchases.
The fund seeks midsize and smaller stocks that have a low market price relative
to their value as estimated based on fundamental analysis of the issuing company
and its prospects. This is sometimes referred to as a "value" approach. Relative
to both the Growth and Income Stock and Capital Appreciation Stock Funds, the
Mid-Cap Stock Fund includes smaller, less developed issuers. These midsize and
smaller companies often have difficulty competing with larger companies, but the
successful ones tend to grow faster than larger companies. They often use
profits to expand rather than to pay dividends.
The fund diversifies its holdings among various industries and among companies
within those industries but is often less diversified than the Growth and Income
Stock Fund. The combination of these factors introduces greater investment risk
than the Growth and Income Stock Fund, but can also provide higher long-term
returns than are typically available from less risky investments.
2004 RETURNS
Ultra Series Mid-Cap Stock Fund
(net of fees and expenses) 15.86%
Russell Midcap(R) Value Index 23.71%
Fund performance versus the Russell Midcap(R) Value Index was helped by
overweights in the energy and industrials sectors, but hurt by an underweight in
the utilities sector.
Fund performance was helped by stock selection in the health care sector, where
medical device maker Apogent Technologies performed strongly and Biogen shares
appreciated in price due to a merger. Performance was hurt by stock selection in
the consumer discretionary sector where holdings Talbots, Linens 'N Things,
Belo, and Ethan Allen underperformed their sector. Performance was also hurt by
stock selection in the information technology sector where LSI, Intersil, and
Synopsys disappointed.
Shares of financially distressed and troubled companies -- so-called "deep
value" stocks -- were the strongest performers in the mid-cap space during the
period as these companies were able to take advantage of higher-than-expected
earnings and an exceptionally low cost of capital to refinance, restructure, and
shore up their balance sheets. Management tends to avoid the riskiest shares in
the mid-cap universe, which can lead to periods of under-performance versus its
peer funds (many of which devote a significant portion of their portfolios to
"deep value" stocks) and versus value indexes such as the Russell Midcap(R)
Value Index (which can contain many such stocks).
MEMBERS Capital Advisors' Common Stock
Portfolio Management Team -- Advisor
Wellington Management Company, LLP -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 15
MID - CAP STOCK FUND
MID - CAP STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10, 000 INVESTMENT(1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Mid-Cap Stock Fund $ 10,000 $ 11,368 $ 14,079
S&P MidCap 400 Index $ 10,000 $ 11,178 $ 13,136
Russell MidCap Value
Index $ 10,000 $ 9,418 $ 11,224
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Mid-Cap Stock Fund $ 15,651 $ 12,926 $ 16,961 $ 19,650
S&P MidCap 400 Index $ 13,057 $ 11,161 $ 15,136 $ 17,632
Russell MidCap Value
Index $ 11,486 $ 10,378 $ 14,328 $ 17,725
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31,2004
- -------------------------------------------------------------------------------------
One Three Five Since
Year Years Years Inception(2)
---- ----- ----- -----------
Mid-Cap Stock Fund 15.86% 7.88% 11.57% 12.65%
S&P MidCap 400 Index 16.48 10.53 9.54 10.51
Russell Midcap (R) Value Index 23.71 15.56 13.48 10.61
(2) Returns are from inception, May 1, 1999.
ANNUAL REPORT DECEMBER 31, 2004
16 FUND PERFORMANCE REVIEW
Multi - Cap Growth Stock Fund
INVESTMENT OBJECTIVE
The Multi-Cap Growth Stock 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.
PRINCIPAL INVESTMENT STRATEGIES
The Multi-Cap Growth Stock 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 is managed by a team of portfolio managers of the
subadvisor, each with expertise in a specific range of the market capitalization
spectrum. Each of the portfolio managers has a distinct sub-portfolio that is
focused on the manager's area of market capitalization expertise. Typically,
between 60% and 90% of the fund will be invested in large capitalization
companies (generally over $12 billion of market capitalization). The subadvisor
may invest up to 25% of the fund in mid capitalization companies (generally
between $2 billion and $12 billion of market capitalization) and up to 20% in
small capitalization companies (generally under $2 billion of market
capitalization). 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.
2004 RETURNS
Ultra Series Multi-Cap Growth Stock Fund
net of fees and expenses) 13.41%
Russell 3000(R) Growth Index 6.93%
Favorable stock selection produced positive benchmark-relative returns during
the twelve-month period. Stock selection was strongest within the information
technology, financials, consumer discretionary and industrials sectors,
offseting weaker stock selection in the health care sector. Stock selection also
offset the negative impact of the fund's sector allocations relative to the
benchmark. Specifically, the fund's overweight position in the Information
Technology sector and underweight position in the consumer disctretionary sector
detracted from benchmark-relative returns.
Key individual contributors to performance were Research in Motion (technology
hardware & equipment), Yahoo! (software & services), and eBay (retailing).
Research in Motion, which designs, manufactures and markets devices that
facilitate wireless communications, rose sharply in recognition of continued
strong growth in subscribers, better than expected earnings, and elevated
guidance. Shares of Yahoo! appreciated on favorable trends for online
advertising and paid search. Lastly, eBay extended its upward march on growth of
listings, international expansion and PayPal growth.
Positive results were partially offset by KLA-Tencor (semiconductors &
semiconductor equipment), AstraZeneca (pharmaceuticals & biotechnology) and Eli
Lilly (pharmaceuticals & biotechnology). KLA-Tencor shares declined along with
other semiconductor-related companies on concerns of a slowing semiconductor
cycle and across-the-board announcements of lower revenue guidance. AstraZeneca
was weighed down by concerns regarding the safety profile of cholesterol
fighting drug, Crestor, and a potential shortcoming in its non-small cell lung
cancer drug, Iressa. Shares of Eli Lilly reacted negatively to slowing Zyprexa
sales.
As 2005 begins, the fund's managers forecast a moderation in global economic
activity in 2005, albeit back to levels close to the long-term average world GDP
growth. The monetary and fiscal policy stance is currently becoming less
accommodative, which is likely to dampen the U.S. expansion in 2005 and beyond.
It appears the Federal Reserve Bank will maintain its policy of measured rate
increases to ward off a further pick up in inflation. The fiscal stimulus for
consumers ended with the tax refund season last spring, while sizeable
depreciation allowances for business investments expired at the end of 2004. The
overall fiscal policy stance may therefore be less generous in 2005, but we
expect U.S. multinational corporations to spend some of the extraordinary
amounts of excess cash on their balance sheets.
From a corporate standpoint, profits continue to grow at a solid rate and a weak
dollar has helped improve the competitive position of companies. Many companies
already have a strong fiscal position, and with the U.S. Government finally
allowing the repatriation of foreign cash balances, corporations should increase
spending in 2005.
As of the end of the annual period, the fund was positioned with an overweight
relative to the benchmark within the information technology, industrials and
financials sectors. The fund's bottom-up investment process has also resulted in
lower-than-benchmark allocations to consumer staples and health care.
MEMBERS Capital Advisors' Common Stock
Management Team -- Advisor
Wellington Management Company, LLP -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 17
Multi - Cap Growth Stock Fund
MULTI - CAP GROWTH STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000
INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Multi-Cap Growth Stock Fund 10/31-12/31 $ 10,000 $ 9,047
Russell 3000 Growth Index $ 10,000 $ 8,285
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Multi-Cap Growth Stock Fund $ 6,252 $ 6,476 $ 6,238 $ 7,075
Russell 3000 Growth Index $ 6,659 $ 4,792 $ 6,277 $ 6,712
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2004
- ----------------------------------------------------------------------------------------------
One Three Since
Year Years Inception(2)
----- ----- -----------
Multi-Cap Growth Stock Fund 13.41% 4.21% -7.96%
Russell 3000(R) Growth Index 6.93 0.26 -9.12
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2004
18 FUND PERFORMANCE REVIEW
GLOBAL SECURITIES FUND
INVESTMENT OBJECTIVE
The Global Securities Fund seeks 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. Oppenheimer
Funds, Inc. is the only subadvisor currently used by MEMBERS Capital Advisors to
manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The fund invests mainly in foreign equity securities and equity securities of
companies in the U.S. The fund can invest without limit in foreign securities
and can invest in any country, including countries with developed or emerging
markets. However, the fund currently emphasizes investments in developed markets
such as the U.S., Western European countries and Japan. The fund normally will
invest in at least three countries (one of which may be the U.S.). The fund does
not limit its investments to companies in a particular capitalization range, but
currently focuses its investments in mid-cap and large-cap companies.
In selecting securities for the fund, the advisor looks primarily for foreign
and U.S. companies with high growth potential. The advisor uses fundamental
analysis of a company's financial statements, management structure, operations
and product development, and considers factors affecting the industry of which
the issuer is part.
The advisor considers overall and relative economic conditions in U.S. and
foreign markets, and seeks broad portfolio diversification in different
countries to help moderate the special risks of foreign investing.
2004 RETURNS
Ultra Series Global Securities Fund
(net of fees and expenses) 18.42%
MSCI World Index 15.25%
The fund turned in a strong performance for the 12 months ended December 31,
2004 on both an absolute and relative basis and we continued to focus on our
four core investment themes: mass affluence, new technology, restructuring, and
demographic shifts, including aging. Our holdings in technology and consumer
discretionary stocks performed particularly well.
Our performance through the year had volatile periods, of course. After
participating strongly in the nine-month global stock rally that ended in
February 2004, our performance, like that of the overall global sector, slipped
in mid-March and stayed in a narrow range through the summer. The slowdown
during the first half of the reporting period was precipitated by concerns over
geopolitical uncertainties, rising short-term interest rates, high oil prices,
the U.S. Presidential election, the mounting U.S. current account deficit, and
the weakening U.S. dollar. In the second half, however, a clear and undisputed
election in the U.S. and continued good news on the global economy helped pave
the way for strong performance in the fourth quarter.
The year also saw some notable performance in some of the weaker areas of the
Organization for Economic Co-operation and Development (OECD). Japan, for
example, continues to enjoy a remarkable turnaround, emerging largely unaffected
from China's efforts to slow its overheated economy and a stock-market pullback
following the Yen's calendar second-quarter rally. In Europe, some companies
successfully negotiated concessions from labor unions, a sign that the
long-needed restructuring on the continent is finally gaining some momentum.
Beyond the broad market gain, fund returns were also boosted by positions in
stocks reflecting its technology and mass-affluence themes. Sirius Satellite
Radio, Inc., QUALCOMM, Inc., and Ericsson (Telefonaktiebolaget LM Ericsson) were
the major contributors in technology, while Hennes & Mauritz AB and Reckitt
Benckiser PLC were the key contributors in the mass affluence category. Gains in
these and other stocks were partly offset by declines in other issues, including
a Taiwanese semiconductor manufacturer that suffered during the industry's
sell-off. During the period we also began to build several positions, including
oil service companies Transocean, Inc. and Technip S.A., both of which should
benefit from a rebound in oil exploration spurred by the hike in energy prices.
Another acquisition, Toyota Motor Corp., lies within our mass-affluence theme.
There are some scattered clouds on the horizon, of course, including energy
prices, and the U.S. current account deficit. Overall, however, we're optimistic
about the prospects for the global economy. While the drivers differ from region
to region, we believe the global economy overall is poised for solid growth and
stocks worldwide are attractively priced.
As always, we urge shareholders to keep in mind the added volatility and risks
including currency fluctuations and economic and political instability that
investing in the securities of international markets entails.
MEMBERS Capital Advisors' Common Stock
Portfolio Management Team -- Advisor
Oppenheimer Funds, Inc. -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 19
Global Securities Fund
GLOBAL SECURITIES FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
Global Securities Fund 10/31-12/31 $ 10,000 $ 9,989
Morgan Stanley World Index $ 10,000 $ 9,548
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
Global Securities Fund $ 8,959 $ 7,008 $ 9,899 $ 11,722
Morgan Stanley World Index $ 7,970 $ 6,413 $ 8,577 $ 9,885
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual
fund level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and
life insurance contracts that use the fund, as described in the
Prospectus. All dividends and capital gains are reinvested. Investment
return and principal value will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than when purchased. Further
information relating to the fund's performance is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Additionally, the indices do not reflect expenses
or sales charges.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31,2004
- ---------------------------------------------------------------------------------------------
One Three Since
Year Years Inception(2)
---- ----- -----------
Global Securities Fund 18.42% 9.38% 3.88%
MSCI World Index 15.25 7.44 -0.28
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2004
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 subadvisors 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.
PRINCIPAL INVESTMENT STRATEGIES
Under normal market conditions, the International Stock Fund invests at least
80% of its assets in foreign equity securities. Foreign equity securities are
securities that are issued by companies organized or whose principal operations
are outside the U.S., are issued by a foreign government, are principally traded
outside of the U.S., or are 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 ("ADRs" -- receipts typically issued by a
U.S. financial institution which evidence ownership of underlying securities of
foreign corporate issuers), European depository receipts ("EDRs") and Global
depository receipts ("GDRs"). EDRs and GDRs are receipts evidencing an
arrangement with a non-U.S. financial institution similar to that for ADRs and
are designed for use in non-U.S. securities markets. The fund may also invest in
debt securities, foreign money market instruments, and other income bearing
securities as well as forward foreign currency exchange contracts and other
derivative securities and contracts. The fund always holds securities of issuers
located in at least three countries other than the U.S.
2004 RETURNS
Ultra Series International Stock Fund (net of fees and expenses) 20.48%
MSCI EAFE Index 20.70%
LARGE-CAP DEVELOPED MARKETS STOCKS
During 2004, stock selection in health care helped the fund by avoiding problem
stocks like AstraZeneca, as well as from gains in Schering, which rose due to
ongoing restructuring and the recent approval of its birth control pill. Also,
Aventis gained based on expectations of revenue and cost synergies from the
proposed acquisition by Sanofi-Synthelabo. Conversely, stock selection in
financials hurt performance when reinsurers Swiss Re and Munich Re were hurt by
the rash of hurricanes hitting Florida. However, while the hurricanes cause
near-term costs as payments are made to their reinsurance clients, the
longer-term outlook for these companies' earnings is positive, since the upfront
costs to the industry remove capacity and improve pricing discipline going
forward. Stock selection in consumer discretionary also detracted from returns,
as Nissan declined due to concerns regarding the steel shortage caused by the
increased demand for the metal in China. However, the company stated that the
shortage should have a relatively small impact on sales in the United States,
its biggest market.
For 2004 overall, the fund was hurt by its overweight position in larger stocks,
while small and mid cap stocks continued to outperform. However, we believe that
the performance of large stocks may improve, since the relative valuation of
large caps versus small caps is very attractive, based on historical norms. In
addition, smaller stocks have been outperforming for nearly five years and the
duration of this outperformance, as well as its magnitude, is similar to
historical peaks in the cap cycle.
SMALL-CAP DEVELOPED MARKETS STOCKS
Despite the very strong performance of the MSCI Small Cap Index, the smallcap
portion of the fund was able to out-perform in 2004. Positive stock selection
was the driving factor of performance and was not limited to a specific region.
Australasia was the one region where the fund had negative stock selection
attribution. In terms of sectors, stock selection in energy proved to be a
detractor as our investments were unable to keep up with the best performing
sector in the index. However, our overweight position in energy helped us temper
this negative stock selection impact. Technology, the worst performing sector in
the index, was a major driver of relative out-performance as both our
underweight position and stock selection helped the fund.
We believe that the high financial returns and still inexpensive valuations of
companies within the small-cap portion of the fund may enable us to benefit in
2005, regardless of market direction.
EMERGING MARKETS STOCKS
The fund benefited from good stock selection in energy, consumer discretionary,
industrials, materials, and Brazil. Our underweight position in information
technology and overweight positions in Hungary, Indonesia, Egypt, Brazil, and
telecommunications also added value. Strong share performance was exhibited in
Caemi and CVRD (both Brazilian) based on increased iron demand as well as future
price hikes; ABSA Group (South Africa), after Barclay's Bank made an offer for
the company; and Steinhoff International and Edgars (both South African) as
domestic demand for retail products increased as interest rates declined.
Conversely, poor stock selection in health care, consumer staples, and in
Hungary subtracted value. Additional detractors include: share price declines in
Delta Electronics (Thailand), as a previous acquisition has continued to have
problems integrating; Harmony Gold (South Africa) declined after making a
hostile bid for Gold Fields; and Pliva (Croatia) has seen increased competition
erode profits in its core pharmaceutical generics business.
MEMBERS Capital Advisors' Common Stock
Portfolio Management Team -- Advisor
Lazard Asset Management -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2004
FUND PERFORMANCE REVIEW 21
INTERNATIONAL STOCK FUND
INTERNATIONAL STOCK FUND COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT (1)
<Table>
<Caption>
12/31/1994 12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000
International Stock Fund 10/31-12/31 $ 10,000 $ 9,745
MSCI EAFE Index $ 10,000 $ 9,972
<Caption>
12/31/2001 12/31/2002 12/31/2003 12/31/2004
International Stock Fund $ 7,946 $ 7,312 $ 9,770 $ 11,770
MSCI EAFE Index $ 7,865 $ 6,634 $ 9,232 $ 11,143
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges, or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends and
capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. Past performance is
not indicative of future performance. Indices are unmanaged and investors cannot
invest in them. Additionally, the indices do not reflect expenses or sales
charges.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2004
-----------------------------------------------------
One Three Since
Year Years Inception(2)
---- ----- ------------
International Stock Fund 20.48% 13.99% 3.99%
MSCI EAFE Index 20.70 12.31 2.63
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2004
22 MONEY MARKET FUND--PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
--------- ------------
COMMERCIAL PAPER - 44.05%
CONSUMER STAPLES - 8.70%
$ 1,240,000 Nestle Capital Corp.
2.260%, due 01/07/05 (A) .................... $ 1,239,533
5,000,000 PepsiCo, Inc.
2.250%, due 01/19/05 (A) .................... 4,994,375
2,000,000 Proctor & Gamble
2.080%, due 02/02/05 (A) .................... 1,996,302
3,000,000 Proctor & Gamble
2.330%, due 03/08/05 (A) .................... 2,987,185
------------
11,217,395
------------
FINANCE - 23.46%
5,000,000 American General Finance Corp.
2.300%, due 01/10/05 (A) .................... 4,997,125
5,300,000 Caterpillar Financial Services
2.270%, due 01/28/05 (A) .................... 5,290,977
5,000,000 Goldman Sachs Group, Inc.
2.370%, due 02/22/05 (A) .................... 4,982,883
5,000,000 HSBC Finance Corp.
2.320%, due 01/26/05 (A) .................... 4,991,944
5,000,000 Morgan Stanley Dean Witter & Co.
2.340%, due 01/03/05 (G) .................... 5,000,000
5,000,000 Toyota Motor Credit Co.
2.260%, due 01/06/05 (A) .................... 4,998,431
------------
30,261,360
------------
FOREIGN - 3.87%
5,000,000 Government of Quebec
2.120%, due 01/18/05 (A) .................... 4,994,995
------------
HEALTH CARE - 8.02%
5,000,000 Abbott Laboratories
2.210%, due 02/08/05 (A) .................... 4,988,336
375,000 Merck & Co., Inc.
2.270%, due 01/19/05 (A) .................... 374,574
5,000,000 Pfizer, Inc.
2.260%, due 02/22/05 (A) .................... 4,983,678
------------
10,346,588
------------
TOTAL COMMERCIAL PAPER ...................... 56,820,338
------------
( Cost $56,820,338 )
CORPORATE NOTES AND BONDS - 10.43%
FINANCE - 10.43%
4,200,000 American Honda Finance Corp.
2.410%, due 03/10/05 (C)(G) ................. 4,200,000
2,500,000 CIT Group, Inc.
2.560%, due 01/31/05 (G) .................... 2,505,872
2,500,000 CITGroup, Inc.
2.560%, due 02/14/05 (G) .................... 2,500,691
4,250,000 Wells Fargo Financial
2.570%, due 03/14/05 (G) .................... 4,253,903
------------
TOTAL CORPORATE NOTES AND BONDS ............. 13,460,466
------------
( Cost $13,460,466 )
U.S. GOVERNMENTAND AGENCY OBLIGATIONS - 36.26%
FEDERAL FARM CREDIT BANK (A) - 6.93%
$ 4,000,000 1.330%, due 01/05/05 ........................ $ 3,999,409
5,000,000 2.600%, due 06/30/05 ........................ 4,935,000
------------
8,934,409
------------
FEDERAL HOME LOAN BANK - 8.11%
7,000,000 2.330%, due 03/11/05 (A) .................... 6,968,739
3,500,000 1.305%, due 04/22/05 ........................ 3,500,000
------------
10,468,739
------------
FEDERAL HOME LOAN MORTGAGE CORP. (A) - 1.16%
1,495,000 2.230%, due 01/11/05 ........................ 1,494,074
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.81%
5,000,000 2.120%, due 01/03/05 (A) .................... 4,999,411
2,500,000 2.248%, due 01/03/05 (G) .................... 2,499,698
------------
7,499,109
------------
U.S. TREASURY BILLS (A) - 11.54%
6,000,000 1.975%, due 04/21/05 ........................ 5,963,792
9,000,000 2.265%, due 05/12/05 ........................ 8,925,821
------------
14,889,613
------------
U.S. TREASURY STRIP (A) - 2.71%
3,500,000 1.420%, due 02/15/05 ........................ 3,493,952
------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS........................... 46,779,896
( Cost $46,779,896 )
------------
Shares
INVESTMENT COMPANIES - 9.18%
6,050,387 One Group Institutional Prime Money
Market Fund ................................. 6,050,387
5,789,760 SSgAPrime Money Market Fund ................. 5,789,759
------------
TOTAL INVESTMENT COMPANIES .................. 11,840,146
------------
( Cost $11,840,146 )
TOTAL INVESTMENTS - 99.92% .............................. 128,900,846
------------
( Cost $128,900,846** )
NET OTHER ASSETS AND LIABILITIES - 0.08% ................ 103,051
------------
TOTAL NET ASSETS - 100.00% .............................. $129,003,897
============
- ----------
** Aggregate cost is the same for financial reporting and Federal tax purposes.
(A) Rate noted represents annualized yield at time of purchase.
(C) Security sold within 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 note. Date shown is next reset date.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
BOND FUND- PORTFOLIO OF INVESTMENTS 23
Value
Par Value (Note 2)
--------- -----------
ASSETBACKED - 4.63%
$ 1,680,000 Aames Mortgage Investment Trust,
Series 2004-1, Class B1A(G)(M)
5.418%, due 01/25/35 ............................. $ 1,489,950
1,099,578 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.050%, due 09/21/30 ............................. 1,108,738
3,000,000 ABSC Manufactured Housing Contract,
Series 2004-OK1, Class A4 (C)
5.019%, due 04/16/30 ............................. 1,697,784
2,100,000 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ............................. 2,078,310
4,200,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 ............................. 4,128,530
3,300,000 Countrywide Asset-Backed Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32 ............................. 3,350,004
2,000,000 GMAC Home Equity Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ............................. 1,945,529
2,647,167 Green Tree Financial Corp.,
Series 1996-1, Class M1
7.000%, due 03/15/27 ............................. 2,686,874
2,300,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 ............................. 2,495,492
3,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due 11/25/33 ............................. 3,621,863
2,000,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 ............................. 2,013,114
-----------
TOTAL ASSET BACKED ............................... 26,616,188
( Cost $27,307,646 ) -----------
COMMERCIAL MORTGAGE BACKED - 6.06%
4,990,303 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ............................. 5,139,426
2,800,000 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2004-T16, Class A2
3.700%, due 02/13/46 ............................. 2,780,857
2,800,000 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 ............................. 2,780,891
3,000,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ............................. 3,117,569
3,460,246 Morgan Stanley Capital I, Inc.,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 ............................. 3,661,684
5,550,000 Morgan Stanley Capital I, Inc.,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ............................. 5,613,363
7,000,000 Morgan Stanley Capital I, Inc.,
Series 2004-TP13, Class A3
4.390%, due 09/13/45 ............................. 6,924,202
4,830,233 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ............................. 4,776,044
-----------
TOTAL COMMERCIAL MORTGAGE BACKED ................. 34,794,036
-----------
( Cost $34,852,919 )
PRIVATE LABEL MORTGAGE BACKED - 0.74%
4,268,042 Countrywide Alternative Loan Trust,
Series 2002-5, Class A10
6.750%, due 06/25/32 ............................. 4,272,191
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED .............. 4,272,191
-----------
( Cost $4,333,395 )
CORPORATE NOTES AND BONDS - 27.99%
CABLE - 1.50%
2,500,000 Comcast Cable Communications, Inc.
6.875%, due 06/15/09 ............................. 2,777,362
3,200,000 Comcast Corp.
5.300%, due 01/15/14 ............................. 3,300,205
2,500,000 Cox Communications, Inc.
6.875%, due 06/15/05 ............................. 2,540,135
-----------
8,617,702
-----------
CAPITAL GOODS - 0.60%
3,500,000 Caterpillar Financial Services Corp.
2.500%, due 10/03/06 ............................. 3,447,777
-----------
COMMUNICATION SERVICES - 0.69%
4,000,000 Clear Channel Communications, Inc.
4.250%, due 05/15/09 ............................. 3,959,520
-----------
CONSUMER DISCRETIONARY - 2.50%
2,500,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ............................. 3,004,163
2,300,000 Carnival Corp. (D)
3.750%, due 11/15/07 ............................. 2,302,709
4,000,000 Cendant Corp.
6.250%, due 01/15/08 ............................. 4,268,872
4,400,000 ERAC USA Finance Co. (C)
6.700%, due 06/01/34 ............................. 4,778,699
-----------
14,354,443
-----------
CONSUMER STAPLES - 0.69%
1,250,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09 ............................. 1,268,739
2,700,000 Safeway, Inc. (O)
4.125%, due 11/01/08 ............................. 2,684,145
-----------
3,952,884
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
24 BOND FUND--PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
--------- -----------
CORPORATE NOTES AND BONDS (CONTINUED)
ENERGY - 2.94%
$ 2,000,000 Burlington Resources Finance Co.
5.700%, due 03/01/07 ..................... $ 2,084,490
2,000,000 ConocoPhillips (O)
5.900%, due 10/15/32 ..................... 2,092,528
2,500,000 Occidental Petroleum Corp.
5.875%, due 01/15/07 ..................... 2,614,100
2,000,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 ..................... 2,223,000
3,000,000 Texaco Capital, Inc.
5.700%, due 12/01/08 ..................... 3,046,587
4,000,000 Valero Energy Corp. (O)
7.500%, due 04/15/32 ..................... 4,824,724
-----------
16,885,429
-----------
FINANCE - 6.41%
2,700,000 AIG SunAmerica Global Financing XII (C)(O)
5.300%, due 05/30/07 ..................... 2,805,154
2,500,000 American General Finance Corp. ...........
4.625%, due 09/01/10 ..................... 2,500,470
4,000,000 Bank of America Corp.
4.875%, due 01/15/13 ..................... 4,069,500
2,000,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 ..................... 2,208,302
2,500,000 CIT Group, Inc.
7.375%, due 04/02/07 ..................... 2,699,380
2,000,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 ..................... 2,171,878
1,680,000 GE Global Insurance Holding Corp.
7.750%, due 06/15/30 ..................... 1,989,177
2,750,000 Goldman Sachs Group, Inc.
5.700%, due 09/01/12 ..................... 2,915,052
4,250,000 Household Finance Corp.
6.500%, due 11/15/08 ..................... 4,622,202
3,000,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 ..................... 3,172,923
2,000,000 U.S. Bank N.A
6.300%, due 02/04/14 ..................... 2,217,832
2,750,000 Wachovia Corp.
4.950%, due 11/01/06 ..................... 2,826,574
2,500,000 Washington Mutual Finance Corp. (O)
6.250%, due 05/15/06 ..................... 2,587,098
-----------
36,785,542
-----------
HEALTH CARE - 0.32%
1,670,000 Merck & Co., Inc.
6.400%, due 03/01/28 ..................... 1,819,106
-----------
INDUSTRIALS - 4.73%
4,000,000 DaimlerChrysler NA Holding Corp.
4.750%, due 01/15/08 ..................... 4,085,408
3,850,000 Dow Chemical Co. (O)
5.750%, due 12/15/08 ..................... 4,099,645
2,400,000 Ford Motor Credit Co.
7.600%, due 08/01/05 ..................... 2,456,011
2,000,000 Ford Motor Credit Co.
5.800%, due 01/12/09 ..................... 2,044,284
INDUSTRIALS (CONTINUED)
3,200,000 General Electric Co.
5.000%, due 02/01/13 ..................... 3,283,088
2,250,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 ..................... 2,316,654
2,500,000 General Motors Acceptance Corp.
6.875%, due 09/15/11 ..................... 2,561,982
800,000 International Paper Co.
7.875%, due 08/01/06 ..................... 851,158
958,000 Raytheon Co. (O)
4.500%, due 11/15/07 ..................... 980,158
1,000,000 Waste Management, Inc.
6.375%, due 11/15/12 ..................... 1,107,735
3,000,000 Weyerhaeuser Co.
6.875%, due 12/15/33 ..................... 3,358,491
-----------
27,144,614
-----------
PIPELINE - 0.77%
2,500,000 Kinder Morgan, Inc.
6.650%, due 03/01/05 ...................... 2,515,870
1,675,000 Kinder Morgan, Inc.
7.250%, due 03/01/28 ..................... 1,906,589
-----------
4,422,459
-----------
REITS - 0.19%
1,060,000 Simon Property Group, L.P. (C)
5.625%, due 08/15/14 ..................... 1,097,746
-----------
TELECOMMUNICATIONS - 1.87%
3,000,000 Bellsouth Capital Funding Corp.
7.875%, due 02/15/30 ..................... 3,736,626
775,000 Sprint Capital Corp.
7.125%, due 01/30/06 ..................... 806,089
2,000,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 ..................... 2,095,820
2,500,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 ..................... 2,589,512
1,500,000 Vodafone Group PLC (D)
5.000%, due 12/16/13 ..................... 1,526,270
-----------
10,754,317
-----------
TRANSPORTATION - 1.22%
3,400,000 Burlington Northern Santa Fe Corp.
6.375%, due 12/15/05 ..................... 3,500,123
2,650,000 Norfolk Southern Corp.
7.250%, due 02/15/31 ..................... 3,179,120
13,600 Southwest Airlines Co., Series A3
8.700%, due 07/01/11 ..................... 15,251
295,798 Union Pacific Railroad
6.540%, due 07/01/15 ..................... 318,208
-----------
7,012,702
-----------
UTILITIES - 3.56%
3,000,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15 ..................... 2,863,605
2,750,000 DTE Energy Co.
6.450%, due 06/01/06 ..................... 2,862,750
2,000,000 Energy East Corp.
8.050%, due 11/15/10 ..................... 2,346,426
2,532,928 Niagara Mohawk Power Corp., Series F
7.625%, due 10/01/05 ..................... 2,616,041
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
BOND FUND--PORTFOLIO OF INVESTMENTS (CONTINUED) 25
Value
Par Value (Note 2)
--------- -----------
CORPORATE NOTES AND BONDS (CONTINUED)
UTILITIES (CONTINUED)
$ 2,400,000 Progress Energy, Inc. (O)
7.750%, due 03/01/31 .......................... $ 2,880,326
3,400,000 Virginia Electric and Power Co., Series A
5.750%, due 03/31/06 .......................... 3,500,140
3,000,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28 .......................... 3,360,546
------------
20,429,834
------------
TOTAL CORPORATE NOTES AND BONDS ............... 160,684,075
( Cost $154,478,759 ) ------------
MORTGAGE BACKED - 27.07%
FEDERAL HOME LOAN MORTGAGE CORP. - 9.22%
7,381,672 5.000%, due 05/01/18 Pool # E96322 ............ 7,502,301
9,000,000 3.000%, due 10/15/21 Series 2659, Class NJ .... 8,874,675
3,837,359 7.000%, due 07/15/27 Series 1974, Class ZA .... 4,023,151
5,500,000 5.500%, due 05/15/28 Series 2519, Class NG .... 5,705,458
309,354 8.000%, due 06/01/30 Pool # C01005 ............ 335,238
1,591,379 7.000%, due 03/01/31 Pool # C48129 ............ 1,686,596
579,680 6.500%, due 03/01/32 Pool # C65648 ............ 608,688
2,340,510 6.000%, due 09/01/32 Pool # C70558 ............ 2,421,121
6,135,537 5.000%, due 07/01/33 Pool # A11325 ............ 6,105,738
1,852,345 6.000%, due 10/01/34 Pool # A28439 ............ 1,914,432
1,905,634 6.000%, due 10/01/34 Pool # A28598 ............ 1,969,507
9,490,035 5.500%, due 11/01/34 Pool # A28282 ............ 9,646,926
2,061,719 6.000%, due 11/01/34 Pool # A28556 ............ 2,130,824
------------
52,924,655
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.95%
487,156 6.000%, due 05/01/16 Pool # 582558 ............ 510,797
1,788,025 5.500%, due 09/01/17 Pool # 657335 ............ 1,849,887
2,884,778 5.500%, due 02/01/18 Pool # 673194 ............ 2,984,585
5,745,685 4.500%, due 09/01/18 Pool # 737144 ............ 5,740,332
1,143,830 6.000%, due 05/01/21 Pool # 253847 ............ 1,190,851
5,196,516 5.500%, due 12/01/22 Pool # 254587 ............ 5,318,989
276,131 7.000%, due 12/01/29 Pool # 762813 ............ 294,432
646,012 7.000%, due 11/01/31 Pool # 607515 ............ 684,835
937,098 6.000%, due 02/01/32 Pool # 611619 ............ 970,295
887,431 6.500%, due 03/01/32 Pool # 631377 ............ 931,465
46,593 7.000%, due 04/01/32 Pool # 641518 ............ 49,392
963,737 7.000%, due 05/01/32 Pool # 644591 ............ 1,021,654
8,644,525 6.500%, due 06/01/32 Pool # 545691 ............ 9,073,466
166,933 7.000%, due 08/01/32 Pool # 641302 ............ 176,962
6,896,770 5.500%, due 04/01/33 Pool # 690206 ............ 7,007,679
1,058,335 6.000%, due 08/01/33 Pool # 729413 ............ 1,094,835
2,771,538 6.000%, due 08/01/33 Pool # 729407 ............ 2,867,124
4,703,122 6.000%, due 08/01/33 Pool # 738061 ............ 4,865,324
9,395,860 5.000%, due 10/01/33 Pool # 254903 ............ 9,340,743
11,063,604 5.500%, due 11/01/33 Pool # 555880 . .......... 11,241,521
176,171 5.000%, due 05/01/34 Pool # 782214 ............ 174,882
2,320,131 5.000%, due 06/01/34 Pool # 778891 ............ 2,303,151
9,487,938 5.500%, due 06/01/34 Pool # 780384 ............ 9,637,909
712,952 7.000%, due 07/01/34 Pool # 792636 ............ 755,499
------------
80,086,609
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 3.90%
129,857 8.000%, due 10/20/15 Pool # 002995 ............ 138,384
4,200,000 5.008%, due 12/16/25 Series 2004-43,Class C (G) 4,316,629
6,213,441 6.500%, due 09/20/28 Series 1998-21,Class ZB .. 6,475,406
668,356 6.500%, due 02/20/29 Pool # 002714 ............ 702,973
742,320 6.500%, due 04/20/31 Pool # 003068 ............ 780,477
9,600,000 6.000%, due 07/20/32 Series 2002-50, Class PE . 9,986,990
------------
22,400,859
------------
TOTAL MORTGAGE BACKED ......................... 155,412,123
( Cost $153,011,420 ) ------------
U.S. GOVERNMENTAND AGENCY OBLIGATIONS - 27.75%
FEDERAL FARM CREDIT BANK - 0.76%
4,000,000 5.875%, due 10/03/16 ......................... 4,359,612
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 4.17%
10,000,000 5.500%, due 07/15/06 .......................... 10,348,560
2,500,000 4.875%, due 11/15/13 .......................... 2,570,805
11,000,000 4.500%, due 01/15/14 .......................... 10,995,600
------------
23,914,965
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.03%
10,000,000 4.000%, due 09/02/08 (O) ...................... 10,052,190
2,400,000 5.250%, due 08/01/12 .......................... 2,490,312
5,000,000 4.125%, due 04/15/14 (O) ...................... 4,846,040
------------
17,388,542
------------
U.S. TREASURY BOND - 4.01%
19,270,000 6.250%, due 05/15/30 (O) ...................... 23,038,942
------------
U.S. TREASURY NOTES - 15.78%
14,600,000 1.500%, due 03/31/06 (O) ...................... 14,361,611
13,300,000 2.000%, due 05/15/06 (O) ...................... 13,143,100
9,000,000 2.625%, due 11/15/06 (O) ...................... 8,933,553
17,740,000 3.250%, due 01/15/09 (O) ...................... 17,586,159
12,000,000 2.625%, due 03/15/09 (O) ...................... 11,595,468
6,500,000 5.750%, due 08/15/10 (O) ...................... 7,156,350
4,640,000 5.000%, due 02/15/11 (O) ...................... 4,935,981
7,965,000 4.000%, due 02/15/14 (O) ...................... 7,855,171
5,040,000 4.250%, due 11/15/14 (O) ...................... 5,053,190
------------
90,620,583
------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS ............................ 159,322,644
( Cost $158,215,046 ) ------------
CERTIFICATE OF DEPOSIT- 0.41%
2,356,635 State Street Eurodollar ....................... 2,356,635
------------
TOTAL CERTIFICATE OF DEPOSIT .................. 2,356,635
( Cost $2,356,635 ) ------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
26 BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
------ --------
INVESTMENT COMPANIES - 22.35%
3 One Group Institutional Prime Money
Market Fund............................. $ 3
25,770,803 SSgAPrime Money Market Fund............. 25,770,803
102,555,060 State Street Navigator Securities
Lending Prime Portfolio (I)............. 102,555,060
----------------
TOTAL INVESTMENT COMPANIES.............. 128,325,866
----------------
(Cost $128,325,866)
TOTAL INVESTMENTS - 117.00%......................... 671,783,758
( Cost $662,881,686** ) ----------------
NET OTHER ASSETS AND LIABILITIES - (17.00)% (97,628,039)
----------------
TOTAL NET ASSETS - 100.00%.......................... $ 574,155,719
================
- ----------
** Aggregate cost for Federal tax purposes was $663,658,863.
(C) Securities 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 0.67% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of December 31, 2004.
(I) Represents collateral held in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below the stated level, the issuer will either
initiate a clean-up call or increase the stated interest rate.
(O) All (or a portion of security) on loan.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
HIGH INCOME FUND--PORTFOLIO OF INVESTMENTS 27
Value
Par Value (Note 2)
--------- --------
ASSET BACKED - 0.52%
$ 99,670 Continental Airlines, Inc.,
Series 1997-4, Class B
6.900%, due 01/02/17 ......................... $ 84,456
61,956 Continental Airlines, Inc.,
Series 1998-1, Class B
6.748%, due 03/15/17 ......................... 50,587
153,678 Continental Airlines, Inc.,
Series 1999-1, Class B
6.795%, due 08/02/18 ......................... 134,294
156,487 Continental Airlines, Inc.,
Series 1999-2, Class B
7.566%, due 03/15/20 ......................... 132,139
228,500 Crest, Ltd.,
Series 2004-1A, Class G2 (C)
7.000%, due 01/28/40 ......................... 217,496
----------
TOTAL ASSET BACKED ........................... 618,972
( Cost $590,687 ) ----------
COMMERCIAL MORTGAGE BACKED - 1.42%
239,737 Arcap Reit, Inc.,
Series 2004-RR3, Class H (C)
6.100%, due 09/21/45 ......................... 200,110
561,413 Asset Securitization Corp.,
Series 1996-MD6, Class A7 (G)
8.005%, due 11/13/29 ......................... 589,369
100,000 Commercial Mortgage Acceptance Corp.,
Series 1998-C2, Class F (C)(G)
5.440%, due 09/15/30 ......................... 101,063
155,000 CS First Boston Mortgage Securities Corp.,
Series 1998-C2, Class F (C)
6.750%, due 11/11/30 ......................... 152,547
185,000 First Union National Bank Commercial Mortgage,
Series 2000-C2, Class H
6.750%, due 10/15/32 ......................... 175,217
125,000 GE Capital Commerical Mortgage Corp.,
Series 2000-1, Class F (C)(G)
7.512%, due 01/15/33 ......................... 138,823
175,000 GMAC Commercial Mortgage Securities, Inc.,
Series 2001-C1, Class G (C)(G)
7.653%, due 04/15/34 ......................... 195,996
1,604,112 Morgan Stanley Capital I, Inc.,
Series 2004-RR, Class FX (C)
13.857%, due 04/28/39 IO ..................... 125,989
----------
TOTAL COMMERCIAL MORTGAGE BACKED ............. 1,679,114
( Cost $1,590,027 ) ----------
CORPORATE NOTES AND BONDS - 86.06%
AEROSPACE/DEFENSE - 0.78%
350,000 L-3 Communications Corp.
6.125%, due 01/15/14 ......................... 360,500
240,000 L-3 Communications Corp. (C)
5.875%, due 01/15/15 ......................... 239,400
300,000 TransDigm, Inc.
8.375%, due 07/15/11 ......................... 321,750
----------
921,650
----------
BASIC MATERIALS - 5.21%
500,000 Abitibi-Consolidated, Inc. (D)(O)
8.550%, due 08/01/10 ......................... 541,875
410,000 Buckeye Technologies, Inc. (O)
8.500%, due 10/01/13 ......................... 444,850
195,000 Dresser, Inc.
9.375%, due 04/15/11 ......................... 213,525
505,000 Equistar Chemicals LP/Equistar Funding Corp.
10.625%, due 05/01/11 ........................ 585,800
900,000 Georgia-Pacific Corp.
9.375%, due 02/01/13 ......................... 1,048,500
465,000 Hexcel Corp.
9.750%, due 01/15/09 ......................... 483,600
571,000 Huntsman International LLC (O)
10.125%, due 07/01/09 ........................ 599,475
140,000 Huntsman International LLC (C)(O)
7.375%, due 01/01/15 ......................... 140,350
290,000 Interface, Inc.
10.375%, due 02/01/10 ........................ 333,500
275,000 Newark Group, Inc.
9.750%, due 03/15/14 ......................... 292,875
405,000 Norske Skog Canada, Ltd., Series D (D)
8.625%, due 06/15/11 ......................... 434,362
145,000 Norske Skog Canada, Ltd. (D)(O)
7.375%, due 03/01/14 ......................... 151,163
710,000 Rhodia S.A. (D)(O)
8.875%, due 06/01/11 ......................... 715,325
50,000 Sovereign Specialty Chemicals, Inc.
11.875%, due 03/15/10 ........................ 53,562
108,000 United States Steel Corp.
9.750%, due 05/15/10 ......................... 123,120
----------
6,161,882
----------
BUILDING AND CONSTRUCTION - 1.83%
510,000 Building Materials Corp. of America (C)
7.750%, due 08/01/14 ......................... 514,462
100,000 Corrections Corp. of America
9.875%, due 05/01/09 ......................... 111,000
65,000 Corrections Corp. of America
7.500%, due 05/01/11 ......................... 69,469
405,000 D. R. Horton, Inc.
8.000%, due 02/01/09 ......................... 453,094
275,000 Joy Global, Inc., Series B
8.750%, due 03/15/12 ......................... 308,000
325,000 Nortek, Inc. (C)
8.500%, due 09/01/14 ......................... 339,625
350,000 WCI Communities, Inc. (O)
7.875%, due 10/01/13 ......................... 368,375
----------
2,164,025
----------
CHEMICALS AND DRUGS - 2.82%
255,000 Acetex Corp. (D)
10.875%, due 08/01/09 ........................ 277,313
195,000 ARCO Chemical Co. (O)
9.800%, due 02/01/20 ......................... 222,300
290,000 Hercules, Inc.
6.750%, due 10/15/29 ......................... 299,425
335,000 IMC Global, Inc. (O)
10.875%, due 08/01/13 ........................ 418,750
5,000 Kronos International, Inc. (F)
8.875%, due 06/30/09 ......................... 7,293
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
HIGH INCOME FUND--PORTFOLIO OF INVESTMENTS (CONTINUED) 28
Value
Par Value (Note 2)
----------- --------
CORPORATE NOTES AND BONDS (CONTINUED)
CHEMICALS AND DRUGS (CONTINUED)
190,000 Lyondell Chemical Co.
9.500%, due 12/15/08 ........................... $ 206,150
450,000 Lyondell Chemical Co. (O)
11.125%, due 07/15/12 .......................... 534,375
80,000 Nalco Co.
7.750%, due 11/15/11 ........................... 86,400
100,000 Nalco Co.
8.875%, due 11/15/13 ........................... 109,750
203,000 Nalco Finance Holdings, Inc. (B)(O)
0.000%, due 02/01/14 ........................... 150,220
320,000 Nova Chemicals Corp. (D)
6.500%, due 01/15/12 ........................... 339,200
240,000 Resolution Performance Products LLC (O)
13.500%, due 11/15/10 .......................... 261,000
205,000 Rockwood Specialties Group, Inc.
10.625%, due 05/15/11 .......................... 235,750
180,000 Rockwood Specialties Group, Inc. (C)
7.500%, due 11/15/14 ........................... 186,750
-------------
3,334,676
-------------
COMMUNICATION - 6.64%
177,000 American Tower Corp. (O)
9.375%, due 02/01/09 ........................... 187,178
200,000 American Tower Corp. (C)
7.125%, due 10/15/12 ........................... 204,500
120,000 CCO Holdings LLC/CCO Holdings Capital Corp.
8.750%, due 11/15/13 ........................... 123,900
125,000 Charter Communciations Operating LLC/
Charter Communications Capital Corp. (C)(O)
8.375%, due 04/30/14 ........................... 131,875
1,170,000 Charter Communications Holdings LLC/
Charter Communications Capital Corp. (O)
8.625%, due 04/01/09 ........................... 1,014,975
820,000 Charter Communications Holdings LLC/
Charter Communications Capital Corp.
9.920%, due 04/01/11 ........................... 699,050
561,000 Citizens Communications Co. (O)
9.250%, due 05/15/11 ........................... 656,370
150,000 Citizens Communications Co.
6.250%, due 01/15/13 ........................... 151,125
1,375,000 Nextel Communications, Inc.
7.375%, due 08/01/15 ........................... 1,512,500
400,000 Qwest Capital Funding, Inc. (O)
7.250%, due 02/15/11 ........................... 392,000
435,000 Qwest Corp. (C)
7.875%, due 09/01/11 ........................... 471,975
425,000 Qwest Corp. (C)
9.125%, due 03/15/12 ........................... 490,875
1,515,000 Qwest Services Corp. (C)
14.000%, due 12/15/10 .......................... 1,821,787
-------------
7,858,110
-------------
CONSUMER CYCLICALS - 1.36%
465,000 Burns, Philp Capital Property, Ltd. (D)
9.750%, due 07/15/12 ........................... 511,500
515,000 Safilo Capital International S.A. (C)(F)
9.625%, due 05/15/13 ........................... 709,356
CONSUMER CYCLICALS (CONTINUED)
110,000 Technical Olympic USA, Inc.
9.000%, due 07/01/10 ........................... 117,700
50,000 Technical Olympic USA, Inc.
7.500%, due 03/15/11 ........................... 50,375
225,000 Technical Olympic USA, Inc. (C)
7.500%, due 01/15/15 ........................... 223,312
-------------
1,612,243
-------------
CONSUMER SERVICES - 2.22%
55,000 GEO Group, Inc.
8.250%, due 07/15/13 ........................... 58,850
340,000 Iron Mountain, Inc.
8.625%, due 04/01/13 ........................... 361,250
170,000 Iron Mountain, Inc.
7.750%, due 01/15/15 ........................... 172,550
105,000 Merisant Co. (C)
10.000%, due 07/15/13 .......................... 93,450
525,000 Roundy's, Inc., Series B
8.875%, due 06/15/12 ........................... 573,563
150,000 United Biscuits Finance PLC (F)
10.625%, due 04/15/11 .......................... 215,238
180,000 United Rentals North America, Inc.
6.500%, due 02/15/12 ........................... 175,500
395,000 United Rentals North America, Inc. (O)
7.750%, due 11/15/13 ........................... 387,100
240,000 United Rentals North America, Inc. (O)
7.000%, due 02/15/14 ........................... 224,400
375,000 WDAC Subsidiary Corp. (C)
8.375%, due 12/01/14 ........................... 369,844
-------------
2,631,745
-------------
CONSUMER STAPLES - 2.27%
80,000 Carrols Corp. (C)
9.000%, due 01/15/13 ........................... 82,800
195,000 Church & Dwight Co., Inc. (C)
6.000%, due 12/15/12 ........................... 198,413
300,000 K2, Inc. (C)
7.375%, due 07/01/14 ........................... 328,500
320,000 Levi Strauss & Co. (O)
7.000%, due 11/01/06 ........................... 336,000
180,000 Michael Foods, Inc.
8.000%, due 11/15/13 ........................... 189,900
275,000 R.J. Reynolds Tobacco Holdings, Inc. (O)
7.250%, due 06/01/12 ........................... 282,563
395,000 Revlon Consumer Products Corp.
8.625%, due 02/01/08 ........................... 352,537
300,000 Samsonite Corp.
8.875%, due 06/01/11 ........................... 324,750
220,000 Seminis Vegetable Seeds, Inc.
10.250%, due 10/01/13 .......................... 247,500
90,000 Smithfield Foods, Inc.
7.000%, due 08/01/11 ........................... 96,075
235,000 Smithfield Foods, Inc. (C)
7.000%, due 08/01/11 ........................... 250,862
-------------
2,689,900
-------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 29
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
CONTAINERS/PACKAGING - 4.07%
$ 27,000 Corp Durango, S.A. de C.V. (D)(E)(O)
13.125%, due 08/01/06 ........................ $ 18,225
10,000 Corp Durango, S.A. de C.V. (D)(E)
13.500%, due 08/01/08 ........................ 6,700
431,000 Corp Durango, S.A. de C.V., Series A(C)(D)(E)
13.750%, due 07/15/09 ........................ 288,770
785,000 Crown European Holdings S.A. (D)
10.875%, due 03/01/13 ........................ 928,262
140,000 Graphic Packaging Corp.
8.500%, due 08/15/11 ......................... 152,950
230,000 Graphic Packaging Corp.
9.500%, due 08/15/13 ......................... 261,625
315,000 Greif, Inc.
8.875%, due 08/01/12 ......................... 350,438
255,000 Jefferson Smurfit Corp.
8.250%, due 10/01/12 ......................... 277,950
250,000 Kappa Beheer BV(D)
10.625%, due 07/15/09 ........................ 265,000
270,000 Owens-Brockway Glass Container, Inc.
8.875%, due 02/15/09 ......................... 293,287
85,000 Owens-Brockway Glass Container, Inc. (O)
8.750%, due 11/15/12 ......................... 95,838
770,000 Owens-Brockway Glass Container, Inc.
8.250%, due 05/15/13 ......................... 847,000
115,000 Owens-Illinois, Inc. (O)
7.800%, due 05/15/18 ......................... 119,600
220,000 Plastipak Holdings, Inc.
10.750%, due 09/01/11 ........................ 247,500
40,000 Pliant Corp. (B)
0.000%, due 06/15/09 ......................... 36,950
100,000 Pliant Corp. (O)
13.000%, due 06/01/10 ........................ 97,500
194,000 Pliant Corp. (O)
13.000%, due 06/01/10 ........................ 188,180
315,000 Stone Container Finance Co. (D)
7.375%, due 07/15/14 ......................... 335,475
---------
4,811,250
---------
DURABLE GOODS - 1.49%
460,000 Dana Corp
7.000%, due 03/01/29 ......................... 458,850
100,000 Metaldyne Corp. (O)
11.000%, due 06/15/12 ........................ 83,000
215,000 Metaldyne Corp. (C)
10.000%, due 11/01/13 ........................ 204,250
415,000 Navistar International Corp. (O)
7.500%, due 06/15/11 ......................... 445,087
245,000 Rexnord Corp.
10.125%, due 12/15/12 ........................ 276,850
160,000 Tenneco Automotive, Inc., Series B
10.250%, due 07/15/13 ........................ 188,800
100,000 Tenneco Automotive, Inc. (C)
8.625%, due 11/15/14 ......................... 104,000
---------
1,760,837
---------
ENERGY - 11.00%
810,000 AES Corp. (C)
8.750%, due 05/15/13 ......................... 920,362
100,000 AES Corp. (C)
9.000%, due 05/15/15 ......................... 114,500
450,000 Allegheny Energy Supply Co., LLC (C)(O)
8.250%, due 04/15/12 ......................... 502,875
355,000 AmeriGas Partners, L.P./
AmeriGas Eagle Finance Corp., Series B
8.875%, due 05/20/11 ......................... 386,950
310,000 Belden & Blake Corp. (C)
8.750%, due 07/15/12 ......................... 314,650
210,000 Calpine Canada Energy Finance ULC (D)(O)
8.500%, due 05/01/08 ......................... 172,200
825,000 Calpine Corp. (C)(O)
8.750%, due 07/15/13 ......................... 680,625
301,000 Centerpoint Energy, Inc, Series B
7.250%, due 09/01/10 ......................... 335,718
195,000 Chesapeake Energy Corp.
8.125%, due 04/01/11 ......................... 211,087
339,000 Chesapeake Energy Corp. (O)
7.000%, due 08/15/14 ......................... 361,035
180,000 Chesapeake Energy Corp. (C)
6.375%, due 06/15/15 ......................... 184,950
470,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ......................... 492,325
295,000 CMS Energy Corp.
8.500%, due 04/15/11 ......................... 335,194
300,000 Edison Mission Energy (O)
7.730%, due 06/15/09 ......................... 322,500
710,000 El Paso Corp. (O)
7.000%, due 05/15/11 ......................... 717,987
215,000 El Paso Natural Gas Co., Series A
7.625%, due 08/01/10 ......................... 235,425
585,000 El Paso Production Holding Co.
7.750%, due 06/01/13 ......................... 612,787
135,000 Encore Acquisition Co.
8.375%, due 06/15/12 ......................... 150,188
45,000 Encore Acquisition Co.
6.250%, due 04/15/14 ......................... 45,225
152,000 Enterprise Products Operating LP, Series B
6.375%, due 02/01/13 ......................... 162,917
318,000 Enterprise Products Operating LP(C)
5.600%, due 10/15/14 ......................... 320,821
510,000 FirstEnergy Corp., Series B
6.450%, due 11/15/11 ......................... 554,100
220,000 FirstEnergy Corp., Series C
7.375%, due 11/15/31 ......................... 251,236
285,000 Foundation Pennsylvania Coal Co. (C)
7.250%, due 08/01/14 ......................... 303,525
250,000 Gaz Capital S.A. (C)(D)(O)
8.625%, due 04/28/34 ......................... 292,500
370,000 Hanover Compressor Co.
9.000%, due 06/01/14 ......................... 411,625
195,000 MSW Energy Holdings LLC/
MSW Energy Finance Co., Inc., Series B
7.375%, due 09/01/10 ......................... 204,750
105,000 Newfield Exploration Co. (C)
6.625%, due 09/01/14 ......................... 111,038
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
30 HIGH INCOME FUND - PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
ENERGY (CONTINUED)
$535,000 NRG Energy, Inc. (C)
8.000%, due 12/15/13 ......................... $ 583,150
220,000 OAO Gazprom (C)(D)
9.625%, due 03/01/13 ......................... 259,600
175,000 Peabody Energy Corp., Series B (O)
6.875%, due 03/15/13 ......................... 189,438
335,000 Peabody Energy Corp. (O)
5.875%, due 04/15/16 ......................... 333,325
300,000 Petroleum Geo-Services ASA(D)
10.000%, due 11/05/10 ........................ 342,000
225,000 Plains Exploration & Production Co. (O)
7.125%, due 06/15/14 ......................... 245,250
260,000 Premcor Refining Group, Inc. (O)
7.750%, due 02/01/12 ......................... 286,650
195,000 Pride International, Inc.
7.375%, due 07/15/14 ......................... 213,038
470,000 Reliant Energy, Inc.
9.250%, due 07/15/10 ......................... 524,050
140,000 Reliant Energy, Inc.
6.750%, due 12/15/14 ......................... 139,125
40,000 SESI LLC
8.875%, due 05/15/11 ......................... 43,800
130,000 TECO Energy, Inc.
7.000%, due 05/01/12 ......................... 142,025
----------
13,010,546
----------
FINANCE - 1.81%
307,000 Alamosa, Inc. (B)
0.000%, due 07/31/09 ......................... 333,095
71,000 Alamosa, Inc.
11.000%, due 07/31/10 ........................ 83,602
185,000 BCP Caylux Holdings Luxembourg S.C.A. (C)(D)
9.625%, due 06/15/14 ......................... 208,588
255,000 Bombardier Recreational Products, Inc. (D)(O)
8.375%, due 12/15/13 ......................... 272,212
330,000 Eircom Funding (D)(O)
8.250%, due 08/15/13 ......................... 364,650
355,000 JSG Funding PLC (D)
9.625%, due 10/01/12 ......................... 395,825
90,000 K&F Acquisition, Inc. (C)
7.750%, due 11/15/14 ......................... 92,925
210,000 Refco Finance Holdings LLC (C)
9.000%, due 08/01/12 ......................... 229,950
145,000 Standard Aero Holdings, Inc. (C)
8.250%, due 09/01/14 ......................... 156,600
----------
2,137,447
----------
HEALTH CARE SERVICES - 3.35%
325,000 AmerisourceBergen Corp.
7.250%, due 11/15/12 ......................... 363,187
225,000 Beverly Enterprises, Inc. (C)
7.875%, due 06/15/14 ......................... 241,312
255,000 Cdrv Investors, Inc. (B)(C)
0.000%, due 01/01/15 ......................... 158,419
175,000 Extendicare Health Services, Inc.
6.875%, due 05/01/14 ......................... 178,500
910,000 HCA, Inc.
7.875%, due 02/01/11 ......................... 1,002,366
300,000 HCA, Inc.
6.375%, due 01/15/15 ......................... 301,215
565,000 InSight Health Services Corp., Series B (O)
9.875%, due 11/01/11 ......................... 570,650
90,000 Medcath Holdings Corp.
9.875%, due 07/15/12 ......................... 97,650
350,000 Tenet Healthcare Corp.
6.500%, due 06/01/12 ......................... 323,750
305,000 Tenet Healthcare Corp. (C)
9.875%, due 07/01/14 ......................... 332,450
340,000 US Oncology, Inc. (C)
10.750%, due 08/15/14 ........................ 393,550
----------
3,963,049
----------
INDUSTRIALS - 6.95%
325,000 Affinia Group, Inc. (C)
9.000%, due 11/30/14 ......................... 338,812
445,000 AMSTED Industries, Inc. (C)
10.250%, due 10/15/11 ........................ 502,850
420,000 BE Aerospace, Inc., Series B (O)
8.875%, due 05/01/11 ......................... 438,900
35,000 Case Corp.
7.250%, due 01/15/16 ......................... 34,388
45,000 Cooper-Standard Automotive, Inc. (C)
8.375%, due 12/15/14 ......................... 44,888
290,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 ......................... 319,000
500,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ......................... 512,500
120,000 General Binding Corp. (O)
9.375%, due 06/01/08 ......................... 120,000
187,000 Grupo Transportacion Ferroviaria
Mexicana, S.A. de C.V. (D)
12.500%, due 06/15/12 ........................ 218,323
200,000 Integrated Electrical Services, Inc., Series C
9.375%, due 02/01/09 ......................... 188,000
290,000 Invensys PLC (C)(D)(O)
9.875%, due 03/15/11 ......................... 311,750
100,000 Jacuzzi Brands, Inc.
9.625%, due 07/01/10 ......................... 111,000
290,000 JLG Industries, Inc. (O)
8.250%, due 05/01/08 ......................... 313,200
785,000 Johnsondiversey Holdings, Inc. (B)
0.000%, due 05/15/13 ......................... 679,025
375,000 Johnsondiversey, Inc., Series B
9.625%, due 05/15/12 ......................... 419,062
352,000 KI Holdings, Inc. (B)(C)
0.000%, due 11/15/14 ......................... 225,280
315,000 Manitowoc Co., Inc. (F)
10.375%, due 05/15/11 ........................ 479,718
70,000 Manitowoc Co., Inc. (O)
10.500%, due 08/01/12 ........................ 80,500
435,000 Milacron Escrow Corp.
11.500%, due 05/15/11 ........................ 461,100
120,000 Ocean Rig Norway AS (D)
10.250%, due 06/01/08 ........................ 123,600
290,000 SPX Corp.
7.500%, due 01/01/13 ......................... 314,650
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 31
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
INDUSTRIALS (CONTINUED)
$ 145,000 Thermadyne Holdings Corp.
9.250%, due 02/01/14 ........................ $ 141,375
370,000 TRW Automotive, Inc.
9.375%, due 02/15/13 ........................ 429,200
35,000 TRW Automotive, Inc. (O)
11.000%, due 02/15/13 ....................... 42,175
295,000 Valmont Industries, Inc. (O)
6.875%, due 05/01/14 ........................ 306,800
220,000 Visteon Corp. (O)
7.000%, due 03/10/14 ........................ 210,100
225,000 Werner Holding Co., Inc., Series A(O)
10.000%, due 11/15/07 ....................... 186,750
605,000 Xerox Corp.
7.625%, due 06/15/13 ........................ 663,987
----------
8,216,933
----------
MACHINERY - 0.96%
135,000 AGCO Corp. (F)
6.875%, due 04/15/14 ........................ 193,715
280,000 Case New Holland, Inc. (C)
9.250%, due 08/01/11 ........................ 311,500
230,000 Terex Corp., Series B (O)
10.375%, due 04/01/11 ....................... 257,600
350,000 Terex Corp.
7.375%, due 01/15/14 ........................ 375,375
----------
1,138,190
----------
MEDIA - 5.71%
504,000 Allbritton Communications Co. (O)
7.750%, due 12/15/12 ........................ 521,640
385,000 Cablevision Systems Corp. (C)
8.000%, due 04/15/12 ........................ 410,987
700,000 CSC Holdings, Inc., Series B
8.125%, due 08/15/09 ........................ 765,625
230,000 CSC Holdings, Inc. (C)
6.750%, due 04/15/12 ........................ 236,900
244,000 Dex Media East LLC/Dex Media East Finance Co.
12.125%, due 11/15/12 ....................... 297,375
194,000 Dex Media West LLC, Series B
9.875%, due 08/15/13 ........................ 223,585
1,115,000 Dex Media, Inc. (B)(O)
0.000%, due 11/15/13 ........................ 873,881
270,000 DirecTV Holdings LLC
8.375%, due 03/15/13 ........................ 302,738
205,000 Emmis Operating Co.
6.875%, due 05/15/12 ........................ 214,481
545,000 Granite Broadcasting Corp. (O)
9.750%, due 12/01/10 ........................ 520,475
210,000 Lamar Media Corp.
7.250%, due 01/01/13 ........................ 226,800
260,000 Lighthouse International Co. S.A. (C)(F)
8.000%, due 04/30/14 ........................ 362,521
105,000 MediaCom Broadband LLC
11.000%, due 07/15/13 ....................... 112,875
240,000 MediaCom LLC/ Media Capital Corp. (O)
9.500%, due 01/15/13 ........................ 240,900
325,000 Medianews Group, Inc.
6.875%, due 10/01/13 ........................ 333,125
270,000 PRIMEDIA, Inc.
8.875%, due 05/15/11 ........................ 285,525
400,000 PRIMEDIA, Inc.
8.000%, due 05/15/13 ........................ 411,500
210,000 Spanish Broadcasting Systems, Inc.
9.625%, due 11/01/09 ........................ 220,500
180,000 Young Broadcasting, Inc. (O)
8.500%, due 12/15/08 ........................ 192,600
----------
6,754,033
----------
METALS AND MINING - 1.79%
235,000 Century Aluminum Co. (C)
7.500%, due 08/15/14 ........................ 250,275
346,000 Freeport-McMoRan Copper & Gold, Inc.
6.875%, due 02/01/14 ........................ 343,837
60,000 IMCO Recycling Escrow, Inc. (C)
9.000%, due 11/15/14 ........................ 62,400
237,000 Ispat Inland ULC (D)
9.750%, due 04/01/14 ........................ 292,695
430,000 Oregon Steel Mills, Inc. (O)
10.000%, due 07/15/09 ....................... 478,375
365,000 Russel Metals, Inc. (D)
6.375%, due 03/01/14 ........................ 370,475
95,000 SGL Carbon Luxembourg S.A. (C)(F)
8.500%, due 02/01/12 ........................ 144,034
165,000 Steel Dynamics, Inc.
9.500%, due 03/15/09 ........................ 180,675
----------
2,122,766
----------
PIPELINE - 2.17%
700,000 ANR Pipeline Co.
9.625%, due 11/01/21 ........................ 881,125
490,000 Dynegy Holdings, Inc. (C)
9.875%, due 07/15/10 ........................ 547,575
125,000 Dynegy Holdings, Inc. (O)
6.875%, due 04/01/11 ........................ 120,312
215,000 Markwest Energy Partners, L.P. (C)
6.875%, due 11/01/14 ........................ 218,225
734,000 Williams Cos., Inc.
7.125%, due 09/01/11 ........................ 801,895
----------
2,569,132
----------
PRINTING - 0.44%
200,000 Cenveo Corp. (O)
7.875%, due 12/01/13 ........................ 186,000
19,000 Hollinger, Inc. (C)(D)
11.875%, due 03/01/11 ....................... 22,420
175,000 Houghton Mifflin Co. (O)
9.875%, due 02/01/13 ........................ 191,625
110,000 Mail-Well I Corp.
9.625%, due 03/15/12 ........................ 120,725
----------
520,770
----------
REITS - 0.33%
270,000 Host Marriott LP
7.125%, due 11/01/13 ........................ 288,563
95,000 MeriStar Hospitality Operating Partnership LP/
MeriStar Hospitality Finance Corp.
10.500%, due 06/15/09 ....................... 103,550
----------
392,113
----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
32 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
RECREATION - 6.75%
$ 203,000 AMC Entertainment, Inc.
9.500%, due 02/01/11 ........................ $ 209,851
395,000 AMC Entertainment, Inc. (C)
8.625%, due 08/15/12 ........................ 436,475
145,000 AMF Bowling Worldwide, Inc.
10.000%, due 03/01/10 ....................... 154,788
300,000 Aztar Corp. (O)
7.875%, due 06/15/14 ........................ 330,750
515,000 Boyd Gaming Corp.
6.750%, due 04/15/14 ........................ 539,462
155,000 Caesars Entertainment, Inc.
8.875%, due 09/15/08 ........................ 175,537
575,000 Caesars Entertainment, Inc. (O)
8.125%, due 05/15/11 ........................ 664,125
40,000 Herbst Gaming, Inc. (C)
7.000%, due 11/15/14 ........................ 40,500
720,000 Hilton Hotels Corp.
7.625%, due 12/01/12 ........................ 841,985
90,000 Intrawest Corp. (C)(D)
7.500%, due 10/15/13 ........................ 95,738
290,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 ........................ 295,800
305,000 Loews Cineplex Entertainment Corp. (C)
9.000%, due 08/01/14 ........................ 330,163
255,000 Mandalay Resort Group
9.375%, due 02/15/10 ........................ 297,075
115,000 MGM Mirage, Inc. (O)
8.500%, due 09/15/10 ........................ 130,813
545,000 MGM Mirage, Inc. (O)
8.375%, due 02/01/11 ........................ 614,487
315,000 MGM Mirage, Inc. (O)
5.875%, due 02/27/14 ........................ 309,487
70,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12 ........................ 74,375
365,000 Pinnacle Entertainment, Inc., Series B (O)
8.750%, due 10/01/13 ........................ 395,112
345,000 Royal Caribbean Cruises, Ltd.
6.875%, due 12/01/13 ........................ 372,600
75,000 Scientific Games Corp. (C)
6.250%, due 12/15/12 ........................ 76,313
415,000 Six Flags, Inc. (O)
9.750%, due 04/15/13 ........................ 421,225
750,000 Starwood Hotels & Resorts Worldwide, Inc.
7.875%, due 05/01/12 ........................ 856,875
315,000 Station Casinos, Inc. (O)
6.500%, due 02/01/14 ........................ 323,663
----------
7,987,199
----------
RETAIL - 2.77%
555,000 Couche Tard US L.P.
7.500%, due 12/15/13 ........................ 595,238
350,000 Dollar General Corp.
8.625%, due 06/15/10 ........................ 406,875
200,000 Duane Reade, Inc. (C)(O)
9.750%, due 08/01/11 ........................ 182,000
290,000 Finlay Fine Jewelry Corp. (O)
8.375%, due 06/01/12 ........................ 313,200
165,000 Remington Arms Co., Inc.
10.500%, due 02/01/11 ....................... 159,225
45,000 Rite Aid Corp. (O)
9.500%, due 02/15/11 ........................ 49,387
580,000 Rite Aid Corp. (O)
9.250%, due 06/01/13 ........................ 585,800
205,000 Rite Aid Corp. (O)
6.875%, due 08/15/13 ........................ 184,500
300,000 Saks, Inc. (O)
7.000%, due 12/01/13 ........................ 306,375
240,000 Williams Scotsman, Inc. (O)
9.875%, due 06/01/07 ........................ 240,000
230,000 Williams Scotsman, Inc.
10.000%, due 08/15/08 ....................... 255,300
----------
3,277,900
----------
SCHOOLS - 0.22%
262,000 KinderCare Learning Centers, Inc., Series B
9.500%, due 02/15/09 ........................ 262,983
----------
TECHNOLOGY - 0.64%
290,000 Argo-Tech Corp.
9.250%, due 06/01/11 ........................ 318,275
358,000 Fisher Scientific International, Inc.
8.125%, due 05/01/12 ........................ 397,380
40,000 MagnaChip Semiconductor (C)(D)
8.000%, due 12/15/14 ........................ 41,700
----------
757,355
----------
TELECOMMUNICATIONS - 6.97%
594,000 AT&T Corp.
9.050%, due 11/15/11 ........................ 683,842
390,000 Centennial Cellular Corp Operating Co./
Centennial Communications Corp. LLC
10.125%, due 06/15/13 ....................... 437,775
365,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14 ........................ 369,562
260,000 Crown Castle International Corp., Series B (O)
7.500%, due 12/01/13 ........................ 279,500
80,000 Dobson Cellular Systems, Inc. (C)(O)
8.375%, due 11/01/11 ........................ 82,600
150,000 Dobson Communications Corp. (O)
8.875%, due 10/01/13 ........................ 105,375
630,000 EchoStar DBS Corp.
6.375%, due 10/01/11 ........................ 644,175
85,000 FrontierVision Holdings LP(E)
11.875%, due 09/15/07 ....................... 113,475
130,000 FrontierVision Holdings LP(E)
11.875%, due 09/15/07 ....................... 173,550
260,000 FrontierVision Operating Partners LP(E)
11.000%, due 10/15/06 ....................... 340,600
310,000 GCI, Inc.
7.250%, due 02/15/14 ........................ 310,000
200,000 Innova S de RL de CV(D)(O)
9.375%, due 09/19/13 ........................ 227,500
40,000 IWO Escrow Co. (C)(G)(H)
6.320%, due 01/15/12 ........................ 40,300
335,000 Lucent Technologies, Inc. (O)
5.500%, due 11/15/08 ........................ 344,213
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
HIGH INCOME FUND -PROFOLIO OF INVESTEMENTS(CONTINUED) 33
Value
Par Value (Note 2)
--------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 241,000 MCI, Inc.
6.908%, due 05/01/07.................... $ 246,724
346,000 MCI, Inc.
7.688%, due 05/01/09.................... 358,110
23,000 MCI, Inc.
8.735%, due 05/01/14.................... 24,725
555,000 Nortel Networks, Ltd. (D)
6.125%, due 02/15/06.................... 564,712
885,000 Paxson Communications Corp. (B)
0.000%, due 01/15/09 ................... 827,475
55,000 Rogers Cable, Inc. (D)
8.750%, due 05/01/32................... 61,050
70,000 Rogers Wireless Communications, Inc.(C)(D)(O)
8.000%, due 12/15/12.................... 74,025
145,000 Rogers Wireless Communications, Inc. (D)
6.375%, due 03/01/14.................... 143,550
150,000 Rogers Wireless Communications, Inc.(C)(D)
7.500%, due 03/15/15.................... 158,250
280,000 Rural Cellular Corp. (O)
9.875%, due 02/01/10.................... 284,900
65,000 Rural Cellular Corp.
8.250%, due 03/15/12.................... 68,737
340,000 Time Warner Telecom Holdings, Inc. (O)
9.250%, due 02/15/14.................... 346,800
275,000 Time Warner Telecom, Inc. (O)
10.125%, due 02/01/11................... 270,188
300,000 UbiquiTel Operating Co.
9.875%, due 03/01/11.................... 336,750
295,000 US Unwired, Inc., Series B
10.000%, due 06/15/12................... 332,613
------------
8,251,076
------------
TRANSPORTATION - 1.21%
165,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14.................... 174,075
315,000 GulfMark Offshore, Inc. (C)
7.750%, due 07/15/14.................... 333,900
190,000 Hornbeck Offshore Services, Inc. (C)
6.125%, due 12/01/14.................... 190,950
365,000 Kansas City Southern Railway Co.
7.500%, due 06/15/09.................... 383,250
90,000 Stena AB (D)
9.625%, due 12/01/12.................... 101,700
252,000 Stena AB (C)(D)
7.000%, due 12/01/16.................... 249,480
------------
1,433,355
------------
UTILITIES - 3.78%
145,000 Crystal US Holdings 3 LLC/
Crystal US Sub 3 Corp. (B)(C)
0.000%, due 10/01/14 ................... 100,412
370,000 Crystal US Holdings 3 LLC/
Crystal US Sub 3 Corp. (B)(C)(O)
0.000%, due 10/01/14.................... 253,450
340,000 DPL, Inc.
6.875%, due 09/01/11.................... 371,325
345,000 Empresa Nacional de Electricidad S.A.
(D)
8.350%, due 08/01/13.................... 399,773
110,000 Inergy LP/Inergy Finance Corp. (C)
6.875%, due 12/15/14.................... 110,550
610,000 Midwest Generation LLC
8.750%, due 05/01/34.................... 692,350
185,000 Mission Energy Holding Co.
13.500%, due 07/15/08................... 230,788
55,000 Nevada Power Co.
6.500%, due 04/15/12.................... 58,163
195,000 Nevada Power Co. (C)
5.875%, due 01/15/15................... 196,462
260,000 NorthWestern Corp. (C)(O)
5.875%, due 11/01/14.................... 265,972
500,000 PSEG Energy Holdings, Inc.
8.625%, due 02/15/08.................... 548,750
145,000 Sierra Pacific Power Co.
6.250%, due 04/15/12.................... 151,344
170,000 Sierra Pacific Resources (O)
8.625%, due 03/15/14.................... 192,100
305,000 Texas Genco LLC (C)
6.875%, due 12/15/14.................... 315,294
585,000 TXU Corp. (C)
5.550%, due 11/15/14.................... 581,145
------------
4,467,878
------------
WASTE DISPOSAL - 0.52%
250,000 Allied Waste Industries, Inc. (O)
6.500%, due 11/15/10.................... 245,000
355,000 Allied Waste Industries, Inc.
7.875%, due 04/15/13.................... 363,875
------------
608,875
------------
TOTAL CORPORATE NOTES AND BONDS 101,817,918
------------
( Cost $96,899,243 )
Shares
------
COMMON STOCKS - 0.57%
INDUSTRIALS - 0.31%
4,400 Magna International, Inc., Class A...... 363,220
-------
TELECOMMUNICATIONS - 0.26%
581 NTL, Inc. *............................. 42,390
15,371 Telewest Global, Inc. *................. 270,226
-------
312,616
-------
TOTAL COMMON STOCKS................ 675,836
-------
( Cost $619,072 )
ANNUAL REPORT DECEMBER 31,2004
34
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
VALUE
SHARES (NOTE 2)
------ ------------
PREFERRED STOCKS - 0.30%
INDUSTRIALS - 0.29%
6,450 Ford Motor Co. Capital Trust II (O)(P)
6.500%..................................... $ 340,495
11 HLI Operating Co., Inc. (P)*
8.000%..................................... 858
------------
341,353
------------
MEDIA - 0.00%
1 PTV, Inc. (O)
10.000%.................................... 5
------------
REITS - 0.01%
300 HRPT Properties Trust (O)
8.750%..................................... 8,297
------------
TOTAL PREFERRED STOCKS..................... 349,655
------------
(Cost $345,132)
WARRANTS AND RIGHTS - 0.00%
COMMUNICATION - 0.00%
50 GT Group Telecom, Inc., Exp. 02/01/10
(C)(L) *................................... --
------------
INDUSTRIALS - 0.00%
236 Thermadyne Holdings Corp., Class B, Exp.
05/23/06 (Exercise Price $20.78) *......... 13
------------
TOTAL WARRANTS AND RIGHTS 13
------------
(Cost $3,448 )
FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS - 0.59%
PAR VALUE
---------
BRAZIL - 0.29%
$ 96,929 Federal Republic of Brazil (D)
8.000%, due 04/15/14....................... 99,168
234,000 Federal Republic of Brazil (D)
8.875%, due 10/14/19....................... 246,636
-------
345,804
-------
PANAMA - 0.16%
167,000 Panama Government International Bond (D)
9.375%, due 01/16/23....................... 192,885
-------
RUSSIA - 0.14%
99,000 Russia Government International Bond (D)
12.750%, due 06/24/28...................... 162,390
-------
TOTAL FOREIGN GOVERNMENT AND
AGENCY OBLIGATIONS......................... 701,079
-------
(Cost $677,527)
VALUE
PAR VALUE (NOTE 2)
--------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 9.01%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 9.01%
$ 10,666,000 1.250%, due 01/03/05 (A)(N).............. $ 10,665,259
------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS....................... 10,665,259
------------
(Cost $10,665,259)
SHARES
------
INVESTMENT COMPANIES - 21.61%
17 SSgA Prime Money Market Fund............. 17
25,563,564 State Street Navigator Securities
Lending Prime Portfolio (I).............. 25,563,564
-------------
TOTAL INVESTMENT COMPANIES............... 25,563,581
-------------
(Cost $25,563,581)
TOTAL INVESTMENTS - 120.08%................................ 142,071,427
-------------
(Cost $136,953,976** )
NET OTHER ASSETS AND LIABILITIES - (20.08)%................ (23,753,077)
-------------
TOTAL NET ASSETS - 100.00%................................. $ 118,318,350
=============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $137,010,101.
(A) Rate noted represents annualized yield at time of purchase.
(B) Represents a security with a specified coupon until a predetermined date,
at which time the stated rate is adjusted to a new contract rate.
(C) Securities 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 10.11% of total net assets.
(E) In Default. Issuer is bankrupt.
(F) Notes and bonds denominated in foreign currencies and converted to U.S.
dollars at period end exchange rates. The aggregate of these securities is
1.78% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of December 31,
2004.
(H) Security purchased on a delayed delivery or when-issued basis.
(I) Represents collateral held in connection with securities lending.
(L) Security valued at fair value using methods determined in good faith by
and under the general supervision of the Board of Trustees (see note 2).
(N) Security pledged as collateral for when-issued purchase committments
oustanding as of December 31, 2004.
(O) All (or part of security) on loan.
(P) Convertible.
IO Interest Only. The rate shown is an internal rate of return.
PIK Payment-In-Kind
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
35
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
APPRECIATION/
CURRENCY SETTLEMENT DATE LOCAL AMOUNT FACE AMOUNT VALUE (DEPRECIATION)
-------- --------------- ------------ ----------- ----------- --------------
Euro (sell) 01/19/05 315,000 $ 410,653 $ 426,470 $ (15,817)
Euro (sell) 01/19/05 40,163 $ 51,976 $ 54,375 $ (2,399)
Euro (sell) 02/14/05 1,161,894 $ 1,502,202 $ 1,573,467 $ (71,265)
Euro (sell) 02/14/05 40,646 $ 52,987 $ 55,044 $ (2,057)
Euro (buy) 02/14/05 197,196 $ 263,891 $ 267,047 $ 3,156
SK (buy) 02/14/05 46,804 $ 6,708 $ 7,019 $ 311
-----------
$ (88,071)
===========
SK Swedish Krona.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
36
BALANCED FUND -- PORTFOLIO OF INVESTMENTS
VALUE
SHARES (NOTE 2)
- ------ -----------
COMMON STOCKS - 62.48%
CONSUMER DISCRETIONARY - 7.69%
164,000 Carnival Corp. ......................... $ 9,451,320
70,940 Comcast Corp., Class A* ................ 2,360,883
151,800 Home Depot, Inc. ....................... 6,487,932
50,700 Kohl's Corp. * ......................... 2,492,919
236,900 McDonald's Corp. ....................... 7,595,014
226,000 Target Corp. ........................... 11,736,180
117,100 Tiffany & Co. .......................... 3,743,687
193,600 Time Warner, Inc. * .................... 3,763,584
146,800 Viacom, Inc., Class B .................. 5,342,052
267,000 Walt Disney Co. ........................ 7,422,600
-----------
60,396,171
-----------
CONSUMER STAPLES - 6.30%
183,400 Coca-Cola Co. .......................... 7,634,942
161,452 CVS Corp. .............................. 7,276,642
146,800 General Mills, Inc. .................... 7,297,428
79,100 Kimberly-Clark Corp. ................... 5,205,571
73,000 Procter & Gamble Co. ................... 4,020,840
294,400 Sara Lee Corp. ......................... 7,106,816
207,400 Wal-Mart Stores, Inc. .................. 10,954,868
-----------
49,497,107
-----------
ENERGY - 5.72%
65,000 Anadarko Petroleum Corp. ............... 4,212,650
96,346 BP PLC, ADR ............................ 5,626,607
92,000 ChevronTexaco Corp. .................... 4,830,920
156,600 Devon Energy Corp. ..................... 6,094,872
188,400 Exxon Mobil Corp. ...................... 9,657,384
44,900 Kerr-McGee Corp. ....................... 2,594,771
127,600 Marathon Oil Corp. ..................... 4,799,036
73,600 Schlumberger, Ltd. ..................... 4,927,520
52,062 Transocean, Inc. * ..................... 2,206,908
-----------
44,950,668
-----------
FINANCIALS - 12.62%
84,600 ACE, Ltd. .............................. 3,616,650
176,914 Allstate Corp. ......................... 9,149,992
104,800 American International Group, Inc. ..... 6,882,216
323,996 Bank of America Corp. .................. 15,224,572
33,700 Chubb Corp. ............................ 2,591,530
310,205 Citigroup, Inc. ........................ 14,945,677
38,900 Goldman Sachs Group, Inc. .............. 4,047,156
171,454 J.P.Morgan Chase & Co .................. 6,688,421
67,700 Marsh & McLennan Cos., Inc. ............ 2,227,330
106,900 Morgan Stanley ......................... 5,935,088
130,100 National City Corp. .................... 4,885,255
188,800 Prudential Financial, Inc. ............. 10,376,448
59,500 SunTrust Banks, Inc. ................... 4,395,860
131,500 Wells Fargo & Co. ...................... 8,172,725
-----------
99,138,920
-----------
HEALTH CARE - 6.58%
131,900 Abbott Laboratories .................... 6,153,135
174,600 Applera Corp. - Applied Biosystems Group 3,650,886
168,600 Baxter International, Inc. ............. 5,823,444
215,200 Bristol-Myers Squibb Co. ............... 5,513,424
40,300 Genzyme Corp. * ........................ 2,340,221
147,350 GlaxoSmithKline PLC, ADR (O) ........... 6,982,916
14,080 Hospira, Inc. * ........................ $ 471,680
277,300 IMS Health, Inc. ....................... 6,436,133
74,500 MedImmune, Inc. * ...................... 2,019,695
46,300 Merck & Co., Inc. ...................... 1,488,082
154,719 Pfizer, Inc. ........................... 4,160,394
157,300 Wyeth .................................. 6,699,407
-----------
51,739,417
-----------
INDUSTRIALS - 7.50%
89,700 Burlington Northern Santa Fe Corp....... 4,243,707
118,100 Dover Corp. ............................ 4,953,114
69,100 Emerson Electric Co. ................... 4,843,910
56,900 FedEx Corp. ............................ 5,604,081
294,800 General Electric Co. ................... 10,760,200
183,400 Honeywell International, Inc. .......... 6,494,194
50,000 Illinois Tool Works, Inc. .............. 4,634,000
70,000 Textron, Inc. .......................... 5,166,000
69,100 United Technologies Corp. .............. 7,141,485
168,200 Waste Management, Inc. ................. 5,035,908
-----------
58,876,599
-----------
INFORMATION TECHNOLOGY - 10.03%
336,000 ADC Telecommunications, Inc. (O) * ..... 900,480
137,100 Applied Materials, Inc. * .............. 2,344,410
233,000 Autodesk, Inc. ......................... 8,842,350
139,500 Celestica, Inc. * ...................... 1,968,345
193,100 Cisco Systems, Inc. * .................. 3,726,830
125,500 Computer Sciences Corp. * .............. 7,074,435
94,800 Dell, Inc. * ........................... 3,994,872
146,100 EMC Corp. * ............................ 2,172,507
103,440 First Data Corp. ....................... 4,400,337
33,919 Freescale Semiconductor, Inc. * ........ 622,753
182,700 Hewlett-Packard Co. .................... 3,831,219
127,500 Intel Corp. ............................ 2,982,225
92,100 International Business Machines Corp.... 9,079,218
119,748 Koninklijke Philips Electronics N.V .... 3,173,322
140,400 Micron Technology, Inc. * .............. 1,733,940
261,800 Microsoft Corp. ........................ 6,992,678
307,200 Motorola, Inc. ......................... 5,283,840
148,139 PeopleSoft, Inc. (O) * ................. 3,922,721
178,100 Texas Instruments, Inc. ................ 4,384,822
49,964 VERITAS Software Corp. * ............... 1,426,472
-----------
78,857,776
-----------
MATERIALS - 1.96%
131,000 Alcoa, Inc. ............................ 4,116,020
109,700 E.I. du Pont de Nemours & Co. .......... 5,380,785
2,396 Neenah Paper, Inc. (O) * ............... 78,110
132,700 Rohm and Haas Co. ...................... 5,869,321
-----------
15,444,236
-----------
TELECOMMUNICATION SERVICES - 2.34%
104,200 ALLTEL Corp ............................ 6,122,792
289,700 SBC Communications, Inc. ............... 7,465,569
118,412 Verizon Communications, Inc. ........... 4,796,870
-----------
18,385,231
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
37
BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
VALUE
SHARES (NOTE 2)
------ ------------
COMMON STOCKS (CONTINUED)
UTILITIES - 1.74%
46,000 Ameren Corp. ........................... $ 2,306,440
83,000 Consolidated Edison, Inc. .............. 3,631,250
68,200 FPL Group, Inc. ........................ 5,097,950
59,000 Progress Energy, Inc. .................. 2,669,160
------------
13,704,800
------------
TOTAL COMMON STOCKS .................... 490,990,925
------------
(Cost $380,328,761)
PAR VALUE
---------
ASSET BACKED - 1.47
$ 775,000 Aames Mortgage Investment Trust,
Series 2004-1, Class B1A(G)(M)
5.418%, due 01/25/35 ................... 687,328
1,011,219 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.050%, due 09/21/30 ................... 1,019,643
1,500,000 ABSC Manufactured Housing Contract,
Series 2004-OK1, Class A4 (C)
5.019%, due 04/16/30 ................... 848,892
1,100,000 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 ................... 1,088,639
1,300,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 ................... 1,277,878
1,120,000 GMAC Home Equity Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 ................... 1,089,496
1,720,658 Green Tree Financial Corp.,
Series 1996-1, Class M1
7.000%, due 03/15/27 ................... 1,746,468
2,100,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 ................... 2,278,493
1,500,000 Residential Asset Mortgage Products,
Inc., Series 2003-RS9, Class AI5
4.990%, due 03/25/31 ................... 1,509,836
----------
TOTAL ASSET BACKED ..................... 11,546,673
----------
(Cost $11,899,221)
COMMERCIAL MORTGAGE BACKED - 2.06%
2,337,800 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 ................... 2,407,659
1,325,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A2
3.700%, due 02/13/46 ................... 1,315,941
1,325,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 ................... 1,315,957
1,400,000 Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 ................... 1,454,866
VALUE
PAR VALUE (NOTE 2)
- --------- -----------
$2,234,102 Morgan Stanley Capital I, Inc.,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 ................... $ 2,364,160
2,600,000 Morgan Stanley Capital I, Inc.,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 ................... 2,629,684
2,500,000 Morgan Stanley Capital I, Inc.,
Series 2004-TP13, Class A3
4.390%, due 09/13/45 ................... 2,472,929
2,256,712 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 ................... 2,231,395
-----------
TOTAL COMMERCIAL MORTGAGE BACKED ....... 16,192,591
-----------
(Cost $16,182,790)
PRIVATE LABEL MORTGAGE BACKED - 0.50%
3,918,203 Countrywide Alternative Loan Trust,
Series 2002-5, Class A10
6.750%, due 06/25/32 ................... 3,922,011
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED .... 3,922,011
-----------
(Cost $3,978,199)
CORPORATE NOTES AND BONDS - 8.79%
CABLE - 0.42%
1,500,000 Comcast Cable Communications, Inc.......
6.875%, due 06/15/09 ................... 1,666,418
1,600,000 Comcast Corp. ..........................
5.300%, due 01/15/14 ................... 1,650,102
-----------
3,316,520
-----------
CAPITAL GOODS - 0.25%
2,000,000 Caterpillar Financial Services Corp. ...
2.500%, due 10/03/06 ................... 1,970,158
-----------
CONSUMER DISCRETIONARY - 0.75%
2,000,000 American Association of Retired Persons
(C) 7.500%, due 05/01/31 ............... 2,403,330
1,500,000 Carnival Corp. (D)
3.750%, due 11/15/07 ................... 1,501,767
1,850,000 ERAC USA Finance Co. (C)
6.700%, due 06/01/34 ................... 2,009,226
-----------
5,914,323
-----------
CONSUMER STAPLES - 0.18%
1,400,000 Safeway, Inc.
4.125%, due 11/01/08 ................... 1,391,779
-----------
ENERGY - 0.57%
2,500,000 Occidental Petroleum Corp.
5.875%, due 01/15/07 ................... 2,614,100
1,700,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 ................... 1,889,550
-----------
4,503,650
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
38 BALANCED FUND--PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- --------
CORPORATE NOTES AND BONDS (CONTINUED)
FINANCE - 1.88%
$ 1,500,000 American General Finance Corp.
4.625%, due 09/01/10.................. $ 1,500,282
2,000,000 Bear Stearns Cos., Inc
7.800%, due 08/15/07.................. 2,208,302
1,500,000 CITGroup, Inc
7.375%, due 04/02/07.................. 1,619,628
2,000,000 GE Global Insurance Holding Corp
7.000%, due 02/15/26.................. 2,171,878
785,000 GE Global Insurance Holding Corp
7.750%, due 06/15/30.................. 929,467
1,350,000 Household Finance Corp
6.500%, due 11/15/08.................. 1,468,229
2,500,000 Merrill Lynch & Co., Inc
7.375%, due 05/15/06.................. 2,644,102
2,000,000 U.S. Bank N.A. (O)
6.300%, due 02/04/14............... 2,217,832
--------------
14,759,720
--------------
HEALTH CARE - 0.11%
780,000 Merck & Co., Inc.
6.400%, due 03/01/28.................. 849,642
--------------
INDUSTRIALS - 1.11%
2,000,000 Ford Motor Credit Co.
7.600%, due 08/01/05.................. 2,046,676
2,000,000 Ford Motor Credit Co.
5.800%, due 01/12/09.................. 2,044,284
2,250,000 General Motors Acceptance Corp.
6.125%, due 08/28/07.................. 2,316,654
2,250,000 General Motors Acceptance Corp.
6.875%, due 09/15/11.................. 2,305,784
--------------
8,713,398
--------------
PIPELINE - 0.43%
2,500,000 Kinder Morgan, Inc.
6.650%, due 03/01/05.................. 2,515,870
775,000 Kinder Morgan, Inc. (O)
7.250%, due 03/01/28.................. 882,153
--------------
3,398,023
--------------
REITS - 0.07%
530,000 Simon Property Group, L.P. (C)
5.625%, due 08/15/14.................. 548,873
--------------
TELECOMMUNICATIONS - 0.95%
2,000,000 Bellsouth Capital Funding Corp.
7.875%, due 02/15/30 ................. 2,491,084
775,000 Sprint Capital Corp.
7.125%, due 01/30/06.................. 806,089
1,500,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06.................. 1,571,865
2,500,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06.................. 2,589,513
--------------
7,458,551
--------------
TRANSPORTATION - 0.31%
2,000,000 Norfolk Southern Corp.
7.250%, due 02/15/31.................. 2,399,336
--------------
UTILITIES - 1.76%
1,400,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15.................. 1,336,349
2,000,000 DTE Energy Co.
6.450%, due 06/01/06.................. 2,082,000
2,000,000 Energy East Corp.
8.050%, due 11/15/10.................. 2,346,426
2,532,928 Niagara Mohawk Power Corp., Series F
7.625%, due 10/01/05.................. 2,616,041
2,000,000 Progress Energy, Inc.
7.750%, due 03/01/31.................. 2,400,272
3,000,000 Virginia Electric and Power Co.,
Series A
5.750%, due 03/31/06.................. 3,088,359
--------------
13,869,447
--------------
TOTAL CORPORATE NOTES AND BONDS....... 69,093,420
--------------
(Cost $65,937,161)
MORTGAGE BACKED - 8.63%
FEDERAL HOME LOAN MORTGAGE CORP. -1.83%
3,837,359 7.000%, due 07/15/27 Series 1974,Class ZA 4,023,151
247,483 8.000%, due 06/01/30 Pool # C01005.... 268,190
939,421 6.500%, due 01/01/32 Pool # C62333.... 986,667
235,826 6.500%, due 03/01/32 Pool # C65648.... 247,627
6,135,537 5.000%, due 07/01/33 Pool # A11325.... 6,105,738
859,058 6.000%, due 10/01/34 Pool # A28439.... 887,852
883,773 6.000%, due 10/01/34 Pool # A28598.... 913,395
956,160 6.000%, due 11/01/34 Pool # A28556.... 988,209
--------------
14,420,829
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.89%
893,119 6.000%, due 05/01/16 Pool # 582558.... 936,462
4,356,601 5.000%, due 12/01/17 Pool # 672243.... 4,431,770
3,416,919 4.500%, due 10/01/18 Pool # 740730.... 3,413,736
973,109 6.000%, due 05/01/21 Pool # 253847.... 1,013,112
129,314 7.000%, due 12/01/29 Pool # 762813.... 137,885
646,012 7.000%, due 11/01/31 Pool # 607515.... 684,835
781,071 6.000%, due 02/01/32 Pool # 611619.... 808,741
24,953 7.000%, due 04/01/32 Pool # 641518.... 26,452
529,828 7.000%, due 05/01/32 Pool # 644591.... 561,669
3,125,328 6.500%, due 06/01/32 Pool # 545691.... 3,280,407
75,575 7.000%, due 08/01/32 Pool # 641302.... 80,116
4,054,758 6.000%, due 08/01/33 Pool # 734849.... 4,194,599
2,040,641 6.000%, due 08/01/33 Pool # 738061.... 2,111,019
2,828,418 6.500%, due 09/01/33 Pool # 737582.... 2,967,094
3,182,995 5.500%, due 10/01/33 Pool # 254904.... 3,234,182
11,063,604 5.500%, due 11/01/33 Pool # 555880.... 11,241,521
6,813,490 5.000%, due 05/01/34 Pool # 780890.... 6,763,625
341,248 7.000%, due 07/01/34 Pool # 792636.... 361,612
--------------
46,248,837
--------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.91%
2,100,000 5.008%, due 12/16/25 Series 2004-43, 2,158,314
Class C (G)
611,323 6.500%, due 04/20/31 Pool # 003068.... 642,746
4,200,000 6.000%, due 07/20/32 Series 2002-50, 4,369,308
Class PE --------------
7,170,368
--------------
TOTAL MORTGAGE BACKED................. 67,840,034
--------------
(Cost $66,962,799)
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31,2004
BALANCED FUND--PORTFOLIO OF INVESTMENTS (CONTINUED) 39
Value
Par Value (Note 2)
- --------- --------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 13.05%
FEDERAL HOME LOAN MORTGAGE CORP. - 0.76%
$ 6,000,000 4.500%, due 01/15/14............... $ 5,997,600
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -1.44%
4,750,000 4.000%, due 09/02/08 (O)........... 4,774,790
750,000 5.250%, due 08/01/12............... 778,223
2,900,000 4.125%, due 04/15/14 (O)........... 2,810,703
2,500,000 6.625%, due 11/15/30............... 2,979,160
--------------
11,342,876
--------------
U.S. TREASURY BOND - 1.49%
9,755,000 6.250%, due 05/15/30 (O)........... 11,662,941
--------------
U.S. TREASURY NOTES - 9.36%
14,665,000 1.500%, due 03/31/06 (O)........... 14,425,550
11,680,000 2.000%, due 05/15/06 (O)........... 11,542,211
450,000 2.625%, due 11/15/06 (O)........... 446,678
12,000,000 4.375%, due 05/15/07 (O)........... 12,333,276
9,375,000 2.625%, due 05/15/08 (O)........... 9,165,525
2,680,000 3.250%, due 01/15/09 (O)........... 2,656,759
2,600,000 2.625%, due 03/15/09 (O)........... 2,512,351
3,150,000 5.000%, due 02/15/11 (O)........... 3,350,935
1,400,000 3.625%, due 05/15/13 (O)........... 1,356,632
1,500,000 4.250%, due 11/15/13 (O)........... 1,509,434
9,870,000 4.000%, due 02/15/14 (O)........... 9,733,903
4,480,000 4.250%, due 11/15/14 (O)........... 4,491,724
--------------
73,524,978
--------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS................. 102,528,395
--------------
(Cost $102,034,218)
Value
Shares (Note 2)
- ------ --------
INVESTMENT COMPANIES - 14.14%
1 Nations Cash Reserves Fund ........ $ 1
1 One Group Institutional Prime Money
Market Fund ....................... 1
20,830,818 SSgA Prime Money Market Fund ...... 20,830,818
90,325,065 State Street Navigator Securities
Lending Prime Portfolio (I) ....... 90,325,065
--------------
TOTAL INVESTMENT COMPANIES ........ 111,155,885
--------------
(Cost $111,155,885)
TOTALINVESTMENTS - 111.12% 873,269,934
--------------
( Cost $758,479,034** )
NET OTHER ASSETS AND LIABILITIES - (11.12)% (87,413,933)
--------------
TOTAL NET ASSETS - 100.00% $ 785,856,001
==============
- -------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $758,880,106.
(C) Securities 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 0.19% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of December 31, 2004.
(I) Represents collateral held in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below the stated level, the issuer will either
initiate a clean-up call or increase the stated interest rate.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
40 GROWTH AND INCOME STOCK FUND - PORTFOLIO OF INVESTMENT
Value
Shares (Note 2)
- ------ --------
COMMON STOCKS - 95.86%
CONSUMERDISCRETIONARY - 10.85%
275,295 Comcast Corp., Class A*................... $ 9,161,817
548,900 Home Depot, Inc........................... 23,459,986
883,000 McDonald's Corp........................... 28,308,980
433,500 Target Corp............................... 22,511,655
697,600 Time Warner, Inc. *....................... 13,561,344
406,500 Viacom, Inc., Class B..................... 14,792,535
683,700 Walt Disney Co............................ 19,006,860
--------------
130,803,177
--------------
CONSUMERSTAPLES - 7.29%
214,200 Altria Group, Inc......................... 13,087,620
112,800 Coca-Cola Co.............................. 4,695,864
523,400 General Mills, Inc........................ 26,018,214
180,900 Kimberly-Clark Corp....................... 1,905,029
107,600 Procter & Gamble Co....................... 5,926,608
1,086,200 Sara Lee Corp............................. 26,220,868
--------------
87,854,203
--------------
ENERGY - 11.89%
167,100 Anadarko Petroleum Corp................... 10,829,751
128,600 Apache Corp............................... 6,503,302
290,780 BPPLC, AD................................. 16,981,552
387,946 ChevronTexaco Corp........................ 20,371,044
192,300 ConocoPhillips............................ 16,697,409
119,000 Cooper Cameron Corp. (O) *................ 6,403,390
398,000 Devon Energy Corp......................... 15,490,160
637,100 Exxon Mobil Corp.......................... 32,657,746
133,800 Schlumberger, Ltd......................... 8,957,910
197,346 Transocean, Inc. *........................ 8,365,497
--------------
143,257,761
--------------
FINANCIALS - 25.49%
585,026 Allstate Corp............................. 30,257,545
75,000 American International Group,Inc.......... 4,925,250
787,342 Bank of America Corp...................... 36,997,201
30,000 Bear Stearns Cos., Inc.................... 3,069,300
55 Berkshire Hathaway, Inc.,ClassA*.......... 4,834,500
970,014 Citigroup, Inc............................ 46,735,275
130,000 Freddie Mac............................... 9,581,000
577,288 J.P.MorganChase&Co........................ 22,520,005
78,700 Marsh & McLennan Cos., Inc................ 2,589,230
380,600 Morgan Stanley............................ 21,130,912
373,100 National City Corp........................ 14,009,905
73,000 Principal Financial Group, Inc............ 2,988,620
590,000 Prudential Financial, Inc................. 32,426,400
130,000 St. Paul Travelers Cos., Inc.............. 4,819,100
181,100 SunTrust Banks, Inc....................... 13,379,668
270,400 U.S. Bancorp.............................. 8,468,928
432,100 Wachovia Corp............................. 22,728,460
370,000 Wells Fargo & Co.......................... 22,995,500
35,000 XLCapital, Ltd., Class A ................. 2,717,750
--------------
307,174,549
--------------
HEALTH CARE - 7.19%
542,500 Baxter International, Inc................. 18,737,950
576,600 Bristol-Myers Squibb Co................... 14,772,492
390,850 GlaxoSmithKline PLC, ADR (O).............. 18,522,381
Value
Shares (Note 2)
------ --------
HEALTH CARE (CONTINUED)
246,300 Merck & Co., Inc......................... $ 7,916,082
282,700 Pfizer, Inc.............................. 7,601,803
198,400 Watson Pharmaceuticals, Inc. *........... 6,509,504
295,000 Wyeth.................................... 12,564,050
--------------
86,624,262
--------------
INDUSTRIALS - 10.69%
266,800 Burlington Northern Santa Fe Corp........ 12,622,308
299,000 Emerson Electric Co...................... 20,959,900
515,000 General Electric Co...................... 18,797,500
703,600 Honeywell International, Inc............. 24,914,476
93,000 Masco Corp............................... 3,397,290
207,000 Textron, Inc............................. 15,276,600
179,600 United Technologies Corp................. 18,561,660
479,500 Waste Management, Inc.................... 14,356,230
--------------
128,885,964
--------------
INFORMATION TECHNOLOGY - 10.47%
307,000 Applied Materials, Inc. *................. 5,249,700
258,800 Automatic Data Processing, Inc............ 11,477,780
498,026 Computer Associates International, Inc.(O) 15,468,688
289,900 Computer Sciences Corp. *................. 16,341,663
555,400 EMC Corp. *............................... 8,258,798
98,401 Freescale Semiconductor, Inc. *.......... 1,806,642
716,435 Hewlett-Packard Co........................ 15,023,642
356,000 Intel Corp................................ 8,326,840
210,400 International Business Machines Corp...... 20,741,232
891,200 Motorola, Inc............................. 15,328,640
330,400 Texas Instruments, Inc.................... 8,134,448
--------------
126,158,073
--------------
MATERIALS - 4.32%
55,000 Air Products & Chemicals, Inc............. 3,188,350
117,800 Alcan, Inc. (O)........................... 5,776,912
230,000 Alcoa, Inc................................ 7,226,600
428,000 E.I. du Pont de Nemours & Co.............. 20,993,400
5,481 Neenah Paper, Inc. (O) *.................. 178,681
87,000 PPG Industries, Inc....................... 5,929,920
129,700 Weyerhaeuser Co........................... 8,718,434
--------------
52,012,297
--------------
TELECOMMUNICATION SERVICES - 4.61%
329,900 ALLTELCorp................................ 19,384,924
658,000 SBC Communications, Inc................... 16,956,660
148,500 Telefonos de Mexico S.A. de C.V.,ADR(O)... 5,690,520
334,435 Verizon Communications, Inc............... 13,547,962
--------------
55,580,066
--------------
UTILITIES - 3.06%.........................
176,000 Ameren Corp. (O).......................... 8,824,640
198,300 Consolidated Edison, Inc. (O)............. 8,675,625
115,400 FPLGroup, Inc. (O)........................ 8,626,150
238,000 Progress Energy, Inc...................... 10,767,120
--------------
36,893,535
--------------
TOTAL COMMON STOCKS 1,155,243,887
--------------
(Cost $927,832,674)
See accompany Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31,2004
GROWTH AND INCOME STOCK FUND -PORTFOLIO OF INVESTMENTS 41
Value
Shares (Note 2)
- ------ --------
INVESTMENT COMPANIES - 6.50%
1 Nations Cash Reserves Fund ............... $ 1
2 One Group Institutional Prime Money.......
Market Fund............................... 2
47,679,963 SSgAPrime Money Market Fund............... 47,679,963
30,640,536 State Street Navigator Securities
Lending Prime Portfolio (I)............... 30,640,536
----------------
TOTAL INVESTMENT COMPANIES................ 78,320,502
----------------
( Cost $78,320,502 )
TOTAL INVESTMENTS - 102.36%............................. 1,233,564,389
( Cost $1,006,153,176** )
NETOTHER ASSETS AND LIABILITIES - (2.36)%............... (28,482,807)
----------------
TOTAL NET ASSETS - 100.00%.............................. $ 1,205,081,582
================
- -------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $1,006,308,450.
(I) Represents
collateral held in connection with securities lending.
(O) All (or portion of
security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompany Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31,2004
42 CAPITAL APPRECIATION STOCK FUND-PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
------ -------------
COMMON STOCKS - 96.62%
CONSUMER DISCRETIONARY - 12.23%
281,800 Brinker International, Inc. *............. $ 9,882,726
210,100 Carnival Corp. ........................... 12,108,063
139,700 Home Depot, Inc. ......................... 5,970,778
246,800 Kohl's Corp. * ........................... 12,135,156
1,138,800 Liberty Media Corp., Class A* ............ 12,504,024
65,200 Target Corp. ............................. 3,385,836
352,800 Tiffany & Co. ............................ 11,279,016
253,900 Time Warner, Inc. * ...................... 4,935,816
230,300 Viacom, Inc., Class B .................... 8,380,617
154,600 Walt Disney Co. .......................... 4,297,880
-------------
84,879,912
-------------
CONSUMER STAPLES - 9.86%
290,700 Coca-Cola Co. ............................ 12,101,841
242,800 CVS Corp. ................................ 10,942,996
168,000 Estee Lauder Cos., Inc., Class A ......... 7,689,360
66,200 General Mills, Inc. ...................... 3,290,802
288,300 Kraft Foods, Inc., Class A(O) ............ 10,266,363
190,800 Procter & Gamble Co. ..................... 10,509,264
257,700 Wal-Mart Stores, Inc. .................... 13,611,714
-------------
68,412,340
-------------
ENERGY - 9.35%
188,770 Apache Corp. ............................. 9,546,099
141,400 ChevronTexaco Corp. ...................... 7,424,914
176,000 ConocoPhillips ........................... 15,282,080
131,700 Exxon Mobil Corp. ........................ 6,750,942
149,600 Marathon Oil Corp. ....................... 5,626,456
126,700 Noble Corp. * ............................ 6,302,058
178,700 Weatherford International, Ltd. * ........ 9,167,310
134,800 XTO Energy, Inc. (O) ..................... 4,769,224
-------------
64,869,083
-------------
FINANCIALS - 18.40%
103,700 ACE, Ltd. ................................ 4,433,175
197,000 American International Group, Inc. ....... 12,936,990
318,000 Bank of America Corp. .................... 14,942,820
185,000 Bank of New York Co., Inc. ............... 6,182,700
43,300 Chubb Corp. .............................. 3,329,770
446,000 Citigroup, Inc. .......................... 21,488,280
155,900 Freddie Mac .............................. 11,489,830
78,400 Goldman Sachs Group, Inc. ................ 8,156,736
89,200 J.P.Morgan Chase & Co..................... 3,479,692
90,800 Marsh & McLennan Cos., Inc. .............. 2,987,320
175,400 MetLife, Inc. ............................ 7,105,454
183,900 U.S. Bancorp ............................. 5,759,748
85,200 Wachovia Corp. ........................... 4,481,520
209,100 Wells Fargo & Co. ........................ 12,995,565
60,800 XL Capital, Ltd., Class A ................ 4,721,120
46,500 Zions Bancorporation ..................... 3,163,395
-------------
127,654,115
-------------
HEALTH CARE - 10.94%
330,200 Abbott Laboratories ...................... 15,403,830
527,600 Applera Corp. - Applied Biosystems Group 11,032,116
177,700 Boston Scientific Corp. * ................ 6,317,235
69,800 Genzyme Corp. * .......................... 4,053,286
34,570 Hospira, Inc. * .......................... 1,158,095
458,300 IMS Health, Inc. ......................... 10,637,143
82,800 Johnson & Johnson ........................ 5,251,176
137,500 MedImmune, Inc. * ........................ 3,727,625
66,100 Merck & Co., Inc. ........................ 2,124,454
200,402 Pfizer, Inc. ............................. 5,388,810
176,800 Schering-Plough Corp. .................... 3,691,584
166,400 Wyeth .................................... 7,086,976
-------------
75,872,330
-------------
INDUSTRIALS - 11.32%
91,000 CSX Corp. ................................ 3,647,280
293,000 Dover Corp. .............................. 12,288,420
107,000 FedEx Corp. .............................. 10,538,430
72,700 General Dynamics Corp. ................... 7,604,420
454,400 General Electric Co. ..................... 16,585,600
135,000 Honeywell International, Inc. ............ 4,780,350
102,000 Illinois Tool Works, Inc. ................ 9,453,360
235,000 Masco Corp. .............................. 8,584,550
169,000 Waste Management, Inc. ................... 5,059,860
-------------
78,542,270
-------------
INFORMATION TECHNOLOGY - 17.09%
839,300 ADC Telecommunications, Inc. (O) * ....... 2,249,324
351,100 Altera Corp. * ........................... 7,267,770
302,000 Autodesk, Inc. ........................... 11,460,900
551,300 Cadence Design Systems, Inc. (O) * ....... 7,613,453
291,600 Celestica, Inc. (O) * .................... 4,114,476
338,600 Cisco Systems, Inc. * .................... 6,534,980
215,500 Dell, Inc. * ............................. 9,081,170
478,400 EMC Corp. * .............................. 7,113,808
160,965 First Data Corp. ......................... 6,847,451
16,827 Freescale Semiconductor, Inc. * .......... 308,943
225,100 Hewlett-Packard Co. ...................... 4,720,347
120,100 Intel Corp. .............................. 2,809,139
64,100 International Business Machines Corp. .... 6,318,978
138,700 KLA-Tencor Corp. * ....................... 6,460,646
396,000 Micron Technology, Inc. * ................ 4,890,600
613,300 Microsoft Corp. .......................... 16,381,243
254,600 Motorola, Inc. ........................... 4,379,120
92,800 Novellus Systems, Inc. * ................. 2,588,192
158,300 PeopleSoft, Inc. (O) * ................... 4,191,784
113,489 VERITAS Software Corp. * ................. 3,240,111
-------------
118,572,435
-------------
MATERIALS - 2.81%
120,000 Alcoa, Inc. .............................. 3,770,400
190,400 Praxair, Inc. ............................ 8,406,160
164,800 Rohm and Haas Co. ........................ 7,289,104
-------------
19,465,664
-------------
TELECOMMUNICATION SERVICES - 2.98%
126,000 BellSouth Corp. .......................... 3,501,540
217,300 CenturyTel, Inc. ......................... 7,707,631
290,000 SBC Communications, Inc. ................. 7,473,300
50,000 Verizon Communications, Inc. ............. 2,025,500
-------------
20,707,971
-------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
CAPITAL APPRECIATION STOCK FUND - PORTFOLIO OF INVESTMENTS (CONTINUED) 43
Value
Shares (Note 2)
------ -------------
COMMON STOCKS (CONTINUED)
UTILITIES - 1.64%
151,900 FPL Group, Inc........................ $ 11,354,525
-------------
TOTAL COMMON STOCKS................... 670,330,645
-------------
(Cost $551,380,452)
INVESTMENT COMPANIES - 4.71%
2 One Group Institutional Prime Money
Market Fund........................... 2
23,024,205 SSgA Prime Money Market Fund.......... 23,024,205
9,628,298 State Street Navigator Securities
Lending Prime Portfolio (I)........... 9,628,298
-------------
TOTAL INVESTMENT COMPANIES............ 32,652,505
-------------
(Cost $32,652,505)
TOTAL INVESTMENTS - 101.33%...................... 702,983,150
(Cost $584,032,957**)............................
NET OTHER ASSETS AND LIABILITIES - (1.33)%....... (9,221,408)
-------------
TOTAL NET ASSETS - 100.00%....................... $ 693,761,742
=============
- ----------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $584,139,277.
(I) Represents collateral held in connection with securities lending.
(O) All (or portion of security) on loan.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
44 MID-CAP STOCK FUND - PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
------ -----------
COMMON STOCKS - 96.22%
CONSUMER DISCRETIONARY - 16.38%
51,300 Abercrombie & Fitch Co., Class A ................ $ 2,408,535
15,300 ADVO, Inc. ...................................... 545,445
121,600 Belo Corp., Class A ............................. 3,190,784
47,200 Brinker International, Inc. * ................... 1,655,304
17,400 Cato Corp., Class A ............................. 501,468
7,950 CEC Entertainment, Inc. * ....................... 317,762
7,200 Courier Corp. ................................... 373,824
57,000 Darden Restaurants, Inc. ........................ 1,581,180
82,600 Ethan Allen Interiors, Inc. (O) ................. 3,305,652
14,300 Gildan Activewear, Inc., Class A* ............... 486,057
7,900 Herbalife, Ltd. * ............................... 125,330
37,425 Hibbett Sporting Goods, Inc. * .................. 995,879
105,500 Interpublic Group of Companies, Inc. * .......... 1,413,700
53,300 Interstate Hotels & Resorts, Inc. * ............. 285,688
59,100 Jones Apparel Group, Inc. ....................... 2,161,287
60,000 Linens 'N Things, Inc. (O) * .................... 1,488,000
28,100 May Department Stores Co. ....................... 826,140
2,700 Meritage Corp. * ................................ 304,290
13,200 Modine Manufacturing Co. ........................ 445,764
145,200 Newell Rubbermaid, Inc. ......................... 3,512,388
30,100 O'Reilly Automotive, Inc. (O) * ................. 1,356,005
32,700 Outback Steakhouse, Inc. ........................ 1,497,006
24,800 Ruby Tuesday, Inc. .............................. 646,784
18,600 Shoe Carnival, Inc. (O) * ....................... 241,800
8,500 Sonic Corp. * ................................... 259,250
28,300 Spartan Motors, Inc. ............................ 337,619
12,800 Stage Stores, Inc. * ............................ 531,456
83,500 Talbots, Inc. (O) ............................... 2,273,705
40,700 Tiffany & Co. ................................... 1,301,179
24,400 WCI Communities, Inc. (O) * ..................... 717,360
19,400 Yankee Candle Co., Inc. * ....................... 643,692
-----------
35,730,333
-----------
CONSUMER STAPLES - 4.46%
26,000 Casey's General Stores, Inc. .................... 471,900
20,700 Clorox Co. ...................................... 1,219,851
152,400 Hain Celestial Group, Inc. (O) * ................ 3,150,108
16,300 John B. Sanfilippo & Son, Inc. * ................ 420,214
82,500 McCormick & Co., Inc. ........................... 3,184,500
27,100 NBTY, Inc. * .................................... 650,671
13,300 Universal Corp. ................................. 636,272
-----------
9,733,516
-----------
ENERGY - 8.11%
22,500 Amerada Hess Corp. .............................. 1,853,550
41,600 BJ Services Co. ................................. 1,936,064
14,500 Encore Aquisition Co. * ......................... 506,195
69,500 ENSCO International, Inc. ....................... 2,205,930
49,800 Forest Oil Corp. * .............................. 1,579,656
35,600 Magnum Hunter Resources, Inc. * ................. 459,240
43,000 Marathon Oil Corp. .............................. 1,617,230
55,200 Pioneer Natural Resources Co. ................... 1,937,520
29,400 Plains Exploration and Production Co. * ......... 764,400
49,500 Smith International, Inc. * ..................... 2,693,295
35,300 Valero Energy Corp. ............................. 1,602,620
23,100 Vintage Petroleum, Inc. ......................... 524,139
-----------
17,679,839
-----------
FINANCIALS - 23.29%
14,100 1st Source Corp. ................................ 359,691
22,700 Acadia Realty Trust, REIT ....................... 370,010
17,600 American Capital Strategies, Ltd. (O) ........... 586,960
51,076 Associated Banc-Corp. ........................... 1,696,234
39,300 Assured Guaranty, Ltd. .......................... 773,031
37,000 Bear Stearns Cos., Inc. ......................... 3,785,470
7,800 Century Bancorp, Inc., Class A .................. 230,100
75,200 Colonial BancGroup, Inc. ........................ 1,596,496
29,400 Compass Bancshares, Inc. ........................ 1,430,898
12,900 Delphi Financial Group, Inc., Class A ........... 595,335
43,000 Federated Investors, Inc. ....................... 1,307,200
6,900 Financial Federal Corp. * ....................... 270,480
34,300 First Horizon National Corp. .................... 1,478,673
10,900 First Midwest Bancorp, Inc. ..................... 395,561
53,800 FirstMerit Corp. (O) ............................ 1,532,762
9,100 Getty Realty Corp., REIT ........................ 261,443
74,900 Hibernia Corp., Class A ......................... 2,210,299
16,200 IPC Holdings, Ltd. .............................. 704,862
47,000 Jefferson-Pilot Corp. ........................... 2,442,120
12,100 M&T Bank Corp. .................................. 1,304,864
10,500 Maguire Properties, Inc., REIT .................. 288,330
59,700 Marshall & Ilsley Corp. ......................... 2,638,740
600 MB Financial, Inc. .............................. 25,290
22,000 MBIA, Inc. ...................................... 1,392,160
33,400 NewAlliance Bancshares, Inc. .................... 511,020
29,400 PartnerRe, Ltd. (O) ............................. 1,821,036
22,500 Platinum Underwriters Holdings, Ltd. (Bermuda)... 699,750
77,400 Principal Financial Group, Inc. ................. 3,168,756
39,800 Protective Life Corp. ........................... 1,699,062
22,200 PS Business Parks, Inc., REIT ................... 1,001,220
36,000 Radian Group, Inc. .............................. 1,916,640
13,800 RAIT Investment Trust, REIT ..................... 385,986
22,000 Reinsurance Group of America, Inc. .............. 1,065,900
56,300 SAFECO Corp. .................................... 2,941,112
19,000 Scottish Re Group Ltd. (O) ...................... 492,100
26,500 SL Green Realty Corp., REIT ..................... 1,604,575
43,600 TCF Financial Corp. (O) ......................... 1,401,304
29,000 Torchmark Corp. ................................. 1,657,060
25,200 U-Store-It Trust, REIT* ......................... 437,220
46,400 Universal American Financial Corp. * ............ 717,808
12,600 Ventas, Inc., REIT .............................. 345,366
18,300 Zions Bancorporation ............................ 1,244,949
-----------
50,787,873
-----------
HEALTH CARE - 5.74%
5,400 AMERIGROUPCorp. * ............................... 408,564
18,800 AmSurg Corp. * .................................. 555,352
58,400 Becton, Dickinson and Co. ....................... 3,317,120
7,950 CorVel Corp. * .................................. 212,901
7,200 Diagnostic Products Corp. ....................... 396,360
40,912 Fisher Scientific International, Inc. * ......... 2,552,091
25,200 Hospira, Inc. * ................................. 844,200
5,200 ICON PLC, ADR * ................................. 200,980
38,800 IDEXX Laboratories, Inc. (O) * .................. 2,118,092
39,900 Omnicare, Inc. .................................. 1,381,338
14,000 PolyMedica Corp. ................................ 522,060
-----------
12,509,058
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
MID-CAP STOCK FUND - PORTFOLIO OF INVESTMENTS (CONTINUED) 45
Value
Shares (Note 2)
- ------- --------------
COMMON STOCKS (CONTINUED)
INDUSTRIALS - 13.82%
16,100 Acuity Brands, Inc. .......................... $ 511,980
32,600 AirTran Holdings, Inc. (O) *.................. 348,820
17,200 Albany International Corp., Class A........... 604,752
35,900 Avery Dennison Corp. ......................... 2,152,923
6,000 Bowne & Co., Inc. (O)......................... 97,560
11,100 Carlisle Cos., Inc. .......................... 720,612
56,000 CSX Corp. .................................... 2,244,480
11,400 Curtiss-Wright Corp., Class B................ 641,364
22,800 Deswell Industries, Inc. (Hong Kong).......... 563,593
31,325 Genesee & Wyoming, Inc., Class A*............. 881,172
30,100 Ingersoll-Rand Co., Class A................... 2,417,030
26,400 Kadant, Inc. *................................ 541,200
63,900 Manpower, Inc. ............................... 3,086,370
9,800 Mueller Industries, Inc. ..................... 315,560
32,300 Parker-Hannifin Corp. ........................ 2,446,402
22,900 Quixote Corp. (O)............................. 465,557
49,800 R. R. Donnelley & Sons Co. ................... 1,757,442
99,500 Republic Services, Inc., Class A.............. 3,337,230
14,800 Simpson Manufacturing Co., Inc. .............. 516,520
40,000 Teleflex, Inc. (O)............................ 2,077,600
28,900 United Stationers, Inc. *..................... 1,335,180
11,400 USF Corp. .................................... 432,630
32,700 W.W. Grainger, Inc. .......................... 2,178,474
36,500 Wolverine Tube, Inc. *........................ 471,215
--------------
30,145,666
--------------
INFORMATION TECHNOLOGY - 8.03%
38,300 Affiliated Computer Services, Inc., Class A*.. 2,305,277
85,700 Andrew Corp. * ............................... 1,168,091
60,700 Arrow Electronics, Inc. * .................... 1,475,010
164,300 Atmel Corp. * ................................ 644,056
30,500 ATMI, Inc. (O)* .............................. 687,165
29,625 Belden CDT, Inc. ............................. 687,300
10,200 Black Box Corp. .............................. 489,804
14,800 Computer Sciences Corp. * .................... 834,276
67,500 Convergys Corp. * ............................ 1,011,825
22,100 Electronics For Imaging, Inc. * .............. 384,761
12,400 Intergraph Corp. (O) * ....................... 333,932
69,500 Intersil Corp., Class A ...................... 1,163,430
83,600 LSI Logic Corp. (O) * ........................ 458,128
15,700 MAXIMUS, Inc. * .............................. 488,584
82,500 McDATA Corp., Class B (O) * .................. 464,475
24,800 Molex, Inc. (O) .............................. 744,000
11,300 Nam Tai Electronics, Inc. (O) ................ 217,525
26,900 Pericom Semiconductor Corp. * ................ 253,667
48,700 Reynolds and Reynolds Co., Class A ........... 1,291,037
53,000 SunGard Data Systems, Inc. * ................. 1,501,490
16,700 Technitrol, Inc. * ........................... 303,940
16,100 Varian Semiconductor Equipment
Associates, Inc. (O) * ....................... 593,285
--------------
17,501,058
--------------
MATERIALS - 8.08%
7,100 Aber Diamond Corp. ........................... 250,481
58,800 Air Products & Chemicals, Inc. ............... 3,408,636
11,000 AptarGroup, Inc. ............................. 580,580
30,000 Bemis Cos., Inc. ............................. 872,700
43,000 Bowater, Inc. ................................ 1,890,710
66,400 Martin Marietta Materials, Inc................ 3,563,024
75,997 MeadWestvaco Corp............................. 2,575,538
17,100 Meridian Gold, Inc. *......................... 324,387
24,300 PPG Industries, Inc........................... 1,656,288
14,100 Sensient Technologies Corp. (O)............... 338,259
43,000 Valspar Corp.................................. 2,150,430
--------------
17,611,033
--------------
TELECOMMUNICATION SERVICES - 1.06%.
65,100 CenturyTel, Inc............................... 2,309,097
--------------
UTILITIES - 7.25%
106,500 Alliant Energy Corp........................... 3,045,900
48,000 Ameren Corp................................... 2,406,720
11,200 Black Hills Corp. (O)......................... 343,616
63,700 Constellation Energy Group, Inc............... 2,784,327
9,800 New Jersey Resources Corp..................... 424,732
8,600 NorthWestern Corp. *.......................... 240,800
117,800 Pepco Holdings, Inc........................... 2,511,496
33,150 PNM Resources, Inc............................ 838,364
15,100 Weststar Energy, Inc.......................... 345,337
13,400 WGL Holdings, Inc............................. 413,256
73,000 Wisconsin Energy Corp......................... 2,460,830
--------------
15,815,378
--------------
TOTAL COMMON STOCKS 209,822,851
--------------
(Cost $165,957,225)
INVESTMENT COMPANIES - 11.88%
8,323,024 SSgA Prime Money Market Fund.................. 8,323,024
17,583,417 State Street Navigator Securities
Lending Prime Portfolio (I)................... 17,583,417
--------------
TOTAL INVESTMENT COMPANIES.................... 25,906,441
(Cost $25,906,441) --------------
TOTAL INVESTMENTS - 108.10%................................ 235,729,292
--------------
( Cost $191,863,666** )
NET OTHER ASSETS AND LIABILITIES - (8.10)%................. (17,669,608)
--------------
TOTAL NET ASSETS - 100.00%................................. $ 218,059,684
==============
- -----------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $191,783,621.
(I) Represents collateral held in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
46 MULTI-CAP GROWTH STOCK FUND-PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ------- ------------
COMMON STOCKS - 96.97%
CONSUMER DISCRETIONARY-8.89%
21,740 A.C. Moore Arts & Crafts, Inc. (O) * ............. $ 626,329
104,990 Accenture, Ltd., Class A* ........................ 2,834,730
38,900 Coach, Inc. * .................................... 2,193,960
20,500 Corporate Executive Board Co. .................... 1,372,270
56,900 D.R. Horton, Inc. ................................ 2,293,639
13,900 Fastenal Co. (O) ................................. 855,684
18,520 Helen Of Troy, Ltd. (O) * ........................ 622,457
19,360 Landry's Restaurants, Inc. (O) ................... 562,602
62,330 Lions Gate Entertainment Corp. (O) * ............. 661,945
27,900 MGM Mirage * ..................................... 2,029,446
53,300 Michaels Stores, Inc. ............................ 1,597,401
28,900 Pixar (O) * ...................................... 2,474,129
6,840 Red Robin Gourmet Burgers, Inc. * ................ 365,735
19,700 Robert Half International, Inc. .................. 579,771
12,330 Standard Pacific Corp. ........................... 790,846
61,995,056
82,970 TiVo, Inc. (O) * ................................. 487,034
23,600 Wynn Resorts, Ltd. (O) * ......................... 1,579,312
212,520 XM Satellite Radio Holdings, Inc., Class A(O) *... 7,995,002
------------
29,922,292
------------
CONSUMER SERVICES-11.70%
20,720 Advisory Board Co. * ............................. 764,154
205,900 Apollo Group, Inc., Class A* ..................... 16,618,189
38,220 DiamondCluster International, Inc., Class A* ..... 547,693
55,600 Education Management Corp. * ..................... 1,835,356
60,620 Omnicom Group, Inc. .............................. 5,111,478
164,620 Research In Motion, Ltd. * ....................... 13,567,980
8,690 Strayer Education, Inc. (O) ...................... 954,075
------------
39,398,925
------------
CONSUMER STAPLEs-1.50%
112,630 Gillette Co. ..................................... 5,043,571
ENERGY - 3.27%
34,660 Arch Coal, Inc. (O) .............................. 1,231,816
20,350 Cabot Oil & Gas Corp. ............................ 900,488
27,700 EOG Resources, Inc. .............................. 1,976,672
88,490 Petro-Canada ..................................... 4,514,760
32,740 Whiting Petroleum Corp. * ........................ 990,385
39,875 XTO Energy, Inc. ................................. 1,410,778
------------
11,024,899
------------
FINANCIALS - 12.04%
12,200 Affiliated Managers Group, Inc. (O) * ............ 826,428
11,730 Arch Capital Group, Ltd. (O) * ................... 453,951
58,860 Capital One Financial Corp. ...................... 4,956,601
36,200 CB Richard Ellis Group, Inc. (O) * ............... 1,214,510
126,244 Citigroup, Inc. .................................. 6,082,436
426,440 Countrywide Financial Corp. ...................... 15,782,544
78,180 Freddie Mac ...................................... 5,761,866
23,390 IndyMac Bancorp, Inc. ............................ 805,785
24,900 Legg Mason, Inc. ................................. 1,824,174
57,580 State Street Corp. ............................... 2,828,330
------------
40,536,625
------------
HEALTH CARE - 18.41%
160,840 Abbott Laboratories............................... 7,503,186
37,540 Abgenix, Inc. *................................... 388,164
28,820 Aetna, Inc........................................ 3,595,295
267,870 AstraZeneca PLC, ADR (O).......................... 9,747,789
13,030 AtheroGenics, Inc. (O) *.......................... 306,987
26,500 Cephalon, Inc. (O) *.............................. 1,348,320
55,200 Elan Corp. PLC, ADR (O) *......................... 1,504,200
142,130 Eli Lilly & Co.................................... 8,065,877
101,830 Forest Laboratories, Inc. *....................... 4,568,094
37,570 Medicines Co. (O) *............................... 1,082,016
211,580 Medtronic, Inc.................................... 10,509,179
156,100 Millennium Pharmaceuticals, Inc. *................ 1,891,932
27,490 NPS Pharmaceuticals, Inc. (O) *................... 502,517
231,140 Schering-Plough Corp.............................. 4,826,203
13,460 Symbion, Inc. (O) *............................... 297,197
50,940 WellPoint, Inc. * ................................ 5,858,100
------------
61,995,056
------------
INDUSTRIALS - 5.07%
63,590 Fleetwood Enterprises, Inc. (O) *................. 855,921
22,810 General Dynamics Corp............................. 2,385,926
155,690 General Electric Co. ............................. 5,682,685
86,760 GrafTech International, Ltd. (O) *................ 820,750
44,690 Jackson Hewitt Tax Service, Inc................... 1,128,423
30,600 PACCAR, Inc....................................... 2,462,688
20,700 Parker-Hannifin Corp.............................. 1,567,818
55,600 Rockwell Collins, Inc............................. 2,192,864
------------
17,097,075
------------
INFORMATION TECHNOLOGY - 33.03%
38,650 Acxiom Corp. (O).................................. 1,016,495
122,550 Aeroflex, Inc. (O) * ............................. 1,485,306
79,800 Amdocs, Ltd. *.................................... 2,094,750
27,100 CDW Corp.......................................... 1,798,085
368,820 Cisco Systems, Inc. * ............................ 7,118,226
35,500 Cognizant Technology Solutions Corp. *............ 1,502,715
301,920 Dell, Inc. *...................................... 12,722,909
112,130 eBay, Inc. *...................................... 13,038,477
278,430 Electronic Arts, Inc. *........................... 17,173,562
266,880 First Data Corp................................... 11,353,075
5,400 Kanbay International, Inc. *...................... 169,020
153,270 MEMC Electronic Materials, Inc. (O) *............. 2,030,828
279,640 Microsoft Corp.................................... 7,469,184
64,100 Monster Worldwide, Inc. * ........................ 2,156,324
25,490 Navigant Consulting, Inc. *....................... 678,034
43,370 NAVTEQ Corp. *.................................... 2,010,633
64,200 Network Appliance, Inc. *......................... 2,132,724
51,810 Polycom, Inc. * .................................. 1,208,209
43,000 Salesforce.com, Inc. (O) *........................ 728,420
76,400 SanDisk Corp. *................................... 1,907,708
44,440 Take-Two Interactive Software, Inc. (O) *....*.... 1,546,067
57,540 THQ, Inc. (O) *................................... 1,319,968
25,200 VeriSign, Inc. *.................................. 844,704
118,420 Xilinx, Inc....................................... 3,511,153
375,750 Yahoo!, Inc. *.................................... 14,158,260
------------
111,174,836
------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
MULTI-CAP GROWTH STOCK FUND-PORTFOLIO OF INVESTMENTS(CONTINUED) 47
Value
Shares (Note 2)
- ---------- -------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATION SERVICES - 2.27%..
256,190 American Tower Corp., Class A*...... $ 4,713,896
175,570 Crown Castle International Corp. *.. 2,921,485
-------------
7,635,381
-------------
TRANSPORTATION - 0.79%
17,170 Arkansas Best Corp.................. 770,761
65,790 Sirva, Inc. (O) *................... 1,264,484
11,220 Yellow Roadway Corp. *.............. 625,066
-------------
2,660,311
-------------
TOTAL COMMON STOCKS................. 326,488,971
-------------
( Cost $266,905,450 )
INVESTMENT COMPANIES - 10.45%
13,628,634 SSgAPrime Money Market Fund......... 13,628,634
21,547,447 State Street Navigator Securities...
Lending Prime Portfolio (I)......... 21,547,447
-------------
TOTAL INVESTMENT COMPANIES.......... 35,176,081
-------------
( Cost $35,176,081 )
TOTAL INVESTMENTS - 107.42%...................... 361,665,052
-------------
( Cost $302,081,531** )
NET OTHER ASSETS AND LIABILITIES - (7.42)%........ (24,991,898)
-------------
TOTAL NET ASSETS - 100.00%....................... $ 336,673,154
=============
- ----------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $302,548,641.
(I) Represents collateral held in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
48 GLOBAL SECURITIES FUND--PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ------ -----------
COMMON STOCKS - 92.83%
AUSTRALIA - 0.42%
7,811 Australia and New Zealand Bank Group, Ltd........... $ 125,470
-----------
BERMUDA - 1.23%
6,137 ACE, Ltd............................................ 262,357
1,200 Everest Re Group, Ltd............................... 107,472
-----------
369,829
-----------
BRAZIL - 1.45%
5,183 Companhia de Bebidas das Americas, ADR 146,835
8,580 Embraer Aircraft Corp., ADR......................... 286,915
-----------
433,750
-----------
CANADA - 2.27%
3,360 Encana Corp......................................... 191,027
9,500 Husky Energy, Inc................................... 270,447
4,747 Manulife Financial Corp............................. 218,588
-----------
680,062
-----------
FINLAND - 0.15%
2,400 Fortum Oyj.......................................... 44,250
-----------
FRANCE - 7.20%
9,730 Alcatel S.A. *...................................... 150,814
1,730 Carrefour S.A....................................... 82,060
1,680 Essilor International S.A........................... 131,109
8,552 France Telecom S.A.................................. 282,012
4,650 JC Decaux S.A. *.................................... 135,210
1,020 LVMH Moet Hennessy Louis Vuitton S.A................ 77,807
6,330 Sanofi-Aventis...................................... 503,853
2,670 Societe Generale ................................... 269,090
3,290 Societe Television Francaise........................ 106,665
1,630 Technip S.A......................................... 300,088
550 Total S.A., Series B................................ 119,647
-----------
2,158,355
-----------
GERMANY - 2.58%
2,084 Allianz AG Holdings NPV............................. 275,341
3,321 MLP AG.............................................. 65,591
1,592 SAP AG.............................................. 283,179
1,766 Siemens AG.......................................... 149,128
-----------
773,239
-----------
HONG KONG - 1.61%
75,200 Hong Kong and China Gas Co., Ltd.................... 155,764
173 Hutchison Telecommunications International, Ltd. *.. 157
13,000 Hutchison Whampoa, Ltd.............................. 121,674
44,216 Television Broadcasts, Ltd.......................... 204,788
-----------
482,383
-----------
INDIA - 3.31%
3,300 GAIL(India) Ltd..................................... 17,582
50,700 Hindustan Lever, Ltd................................ 168,024
11,125 ICICI Bank, Ltd., ADR............................... 224,169
6,956 Infosys Technologies, Ltd........................... 335,591
1,100 ITC, Ltd............................................ 33,274
1,810 Oil & Natural Gas Corp., Ltd........................ 34,258
45,600 Zee Telefilms, Ltd.................................. 180,189
-----------
993,087
-----------
IRELAND - 0.56%
7,000 Anglo Irish Bank Corp. PLC.......................... 168,955
-----------
ITALY - 0.42%
5,100 Eni SpA............................................. 127,169
-----------
JAPAN - 8.28%
3,000 7-Eleven Japan Co., Ltd............................. 94,325
2,000 Canon, Inc.......................................... 107,661
7,100 Chugai Pharmaceutical Co., Ltd...................... 117,078
4,600 Credit Saison Co., Ltd.............................. 167,020
700 Hoya Corp........................................... 78,838
5,000 JGC Corp............................................ 45,605
81 KDDI Corp........................................... 435,238
500 Keyence Corp........................................ 111,749
2,100 Murata Manufacturing Co., Ltd....................... 117,132
500 Nidec Corp.......................................... 60,790
11,371 Nikon Corp.......................................... 140,131
1,000 OMRON Corp.......................................... 23,800
58,000 Resona Holdings, Inc. *............................. 117,434
7,000 Sharp Corp.......................................... 113,998
12,000 Shionogi & Co., Ltd................................. 165,521
7,000 Shiseido Co., Ltd................................... 101,120
6,300 Toyota Motor Corp................................... 255,729
3,000 Trend Micro, Inc. *................................. 161,491
14 Yahoo Japan Corp. *................................. 67,050
-----------
2,481,710
-----------
MEXICO - 1.60%
26,900 Fomento Economico Mexicano, S.A. de C.V............. 141,106
37,400 Grupo Modelo, S.A. de C.V........................... 102,768
3,873 Grupo Televisa, S.A. de C.V., ADR................... 234,316
-----------
478,190
-----------
NETHERLANDS - 2.11%
10,700 ABN AMRO Holding N.V................................ 282,305
15,494 Aegon N.V........................................... 210,371
6,982 Wolters Kluwer CVA.................................. 139,599
-----------
632,275
-----------
NORWAY - 0.55%
13,300 Tandberg ASA........................................ 164,534
-----------
PORTUGAL - 0.25%
25,084 Electricidade de Portugal S.A....................... 75,722
-----------
SINGAPORE - 0.49%
52,659 Singapore Press Holdings, Ltd....................... 148,390
-----------
SOUTH KOREA - 1.82%.................................
3,030 Hyundai Heavy Industries Co., Ltd................... 100,834
600 Samsung Electronics Co., Ltd........................ 261,109
8,200 SK Telecom Co., Ltd., ADR (O)....................... 182,450
-----------
544,393
-----------
SPAIN - 0.46%
13,467 Amadeus Global Travel Distribution S.A.............. 138,003
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
GLOBAL SECURITIES FUND-PORTFOLIO OF INVESTMENTS(CONTINUED) 49
Value
Shares (Note 2)
- ---------- -----------
COMMON STOCKS (CONTINUED)
SWEDEN - 4.56%
18,400 Hennes & Mauritz AB ............................. $ 638,573
5,709 Investor AB, Series B ........................... 72,320
206,500 Telefonaktiebolaget LM Ericsson * ............... 656,292
-----------
1,367,185
-----------
SWITZERLAND - 1.74%
3,782 Novartis AG ..................................... 189,928
2,902 Roche Holding AG ................................ 332,929
-----------
522,857
-----------
TAIWAN - 0.75%
26,542 Taiwan Semiconductor Manufacturing Co.,
Ltd., ADR ....................................... 225,342
-----------
UNITED KINGDOM - 14.52%
8,674 3I Group PLC .................................... 110,676
2,510 AstraZeneca PLC ................................. 90,838
9,521 Boots Group PLC ................................. 119,569
3,788 BP PLC, ADR ..................................... 221,219
30,743 Cadbury Schweppes PLC ........................... 285,660
3,860 Diageo PLC ...................................... 54,946
84,140 Dixons Group PLC ................................ 245,023
1,500 HSBC Holdings PLC ............................... 25,260
16,535 HSBC Holdings PLC (Hong Kong) ................... 282,930
18,360 Pearson PLC ..................................... 221,075
18,810 Reckitt Benckiser PLC ........................... 567,224
13,514 Reed Elsevier PLC ............................... 124,405
17,157 Royal Bank of Scotland Group PLC ................ 575,886
24,170 Smith & Nephew PLC .............................. 246,811
5,320 The Peninsular & Oriental Steam Navigation Co.... 30,322
384,290 Vodafone Group PLC .............................. 1,039,941
10,120 WPP Group PLC ................................... 111,096
-----------
4,352,881
-----------
UNITED STATES - 34.50%
18,000 Advanced Micro Devices, Inc. (O) * .............. 396,360
3,900 Affymetrix, Inc. (O) * .......................... 142,545
2,400 Altera Corp. * .................................. 49,680
1,200 Altria Group, Inc. .............................. 73,320
2,600 Amazon.com, Inc. * .............................. 115,154
3,970 American Express Co. ............................ 223,789
4,250 Amgen, Inc. * ................................... 272,638
4,700 Applera Corp. - Applied Biosystems Group ........ 98,277
13,300 BEA Systems, Inc. * ............................. 117,838
65 Berkshire Hathaway, Inc., Class B * ............. 190,840
2,600 Boeing Co. ...................................... 134,602
3,100 Burlington Resources, Inc. ...................... 134,850
8,371 Cadence Design Systems, Inc. * .................. 115,604
8,300 Charles Schwab Corp. ............................ 99,268
4,416 ChevronTexaco Corp. ............................. 231,884
12,000 Circuit City Stores, Inc. ....................... 187,680
8,600 Cisco Systems, Inc. * ........................... 165,980
1,970 Citigroup, Inc. ................................. 94,915
1,600 Coach, Inc. * ................................... 90,240
900 Commerce Bancorp, Inc. (O) ...................... 57,960
11,700 Corning, Inc. * ................................. 137,709
804 Electronic Arts, Inc. * ......................... 49,591
1,500 Eli Lilly & Co. ................................. 85,125
1,500 Express Scripts, Inc., Class A* ................. 114,660
4,900 Gap, Inc. ....................................... 103,488
2,500 Genentech, Inc. * ............................... 136,100
2,300 Genzyme Corp. * ................................. 133,561
6,560 Gilead Sciences, Inc. * ......................... 229,534
4,800 Gillette Co. .................................... 214,944
8,400 GlobalSantaFe Corp. ............................. 278,124
3,000 Human Genome Sciences, Inc. * ................... 36,060
5,000 IMS Health, Inc. ................................ 116,050
2,873 International Business Machines Corp............. 283,220
5,400 International Game Technology ................... 185,652
11,630 J.P.Morgan Chase&Co. ............................ 453,686
42,300 JDS Uniphase Corp. * ............................ 134,091
4,100 Juniper Networks, Inc. (O) * .................... 111,479
2,200 Lockheed Martin Corp. ........................... 122,210
9,000 MBNA Corp. ...................................... 253,710
2,500 Millennium Pharmaceuticals, Inc. * .............. 30,300
10,500 National Semiconductor Corp. .................... 188,475
600 Nektar Therapeutics * ........................... 12,144
2,202 Nektar Therapeutics (K)(L) * .................... 35,655
1,900 Northern Trust Corp. ............................ 92,302
2,400 Northrop Grumman Corp. .......................... 130,464
17,200 Novell, Inc. * .................................. 116,100
6,160 Pfizer, Inc. .................................... 165,642
6,500 QUALCOMM, Inc. .................................. 275,600
2,600 Quest Diagnostics, Inc. ......................... 248,430
3,000 RadioShack Corp. ................................ 98,640
5,400 Raytheon Co. .................................... 209,682
3,800 Red Hat, Inc. (O) * ............................. 50,730
7,400 Schering-Plough Corp. ........................... 154,512
2,950 Scientific-Atlanta, Inc. ........................ 97,380
1,400 Silicon Laboratories, Inc. (O) * ................ 49,434
124,500 Sirius Satellite Radio, Inc. * ........ ......... 952,425
3,100 Starbucks Corp. * ............................... 193,316
32,700 Sun Microsystems, Inc. * ........................ 175,926
5,900 Symantec Corp. * ................................ 151,984
8,500 Transocean, Inc. * .............................. 360,315
3,000 VERITAS Software Corp. * ........................ 85,650
5,619 Wachovia Corp. .................................. 295,559
-----------
10,343,083
-----------
TOTAL COMMON STOCKS.............................. 27,831,114
-----------
(Cost $21,638,131)
Par Value
- ---------
CORPORATE NOTES AND BONDS - 0.01%
INDIA - 0.01%
$ 181,800 Hindustan Lever, Ltd. (F)
9.000%, due 01/01/05............................. 4,199
-----------
TOTAL CORPORATE NOTES AND BONDS.................. 4,199
-----------
(Cost $3,908)
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
50 GLOBAL SECURITIES FUND--PORTFOLIO OF INVESTMENT(CONTINUED)
Value
Shares (Note 2)
- ----------- -------------
PREFERRED STOCKS - 1.18%
BRAZIL - 0.72%
12,945 Tele Norte Leste Participacoes S.A... $ 216,400
-------------
GERMANY - 0.46%
217 Porsche AG........................... 137,917
-------------
TOTAL PREFERRED STOCKS............... 354,317
-------------
(Cost $291,725)
Par Value
- ---------
CERTIFICATE OF DEPOSIT- 0.58%
$ 172,881 State Street Eurodollar 172,881
-------------
TOTAL CERTIFICATE OF DEPOSIT......... 172,881
-------------
(Cost $172,881)
Shares
- ------
INVESTMENT COMPANIES - 6.62%
UNITED STATES - 6.62%
1,346,857 SSgA Prime Money Market Fund 1,346,857
636,425 State Street Navigator Securities
Lending Prime Portfolio(I)........... 636,425
-------------
TOTAL INVESTMENT COMPANIES........... 1,983,282
-------------
(Cost $1,983,282)
TOTAL INVESTMENTS - 101.22%........................ 30,345,793
-------------
( Cost $24,089,927** )
NET OTHER ASSETS AND LIABILITIES - (1.22)%......... (366,320)
-------------
TOTAL NET ASSETS - 100.00%......................... $ 29,979,473
=============
* Non-income producing.
** Aggregate cost for Federal tax purposes was $24,387,048.
(C) Securities 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.
(F) Notes and bonds denominated in foreign currencies and converted to
U.S. dollars at period end exchange rates. The aggregate of these
securities is 0.01% of total net assets.
(I) Represents collateral held in connection with securities lending.
(K) Represents a private placement security (see note 7).
(L) Security valued at fair value using methods determined in good faith
by and under the general supervision of the Board of Trustees (see
note 2).
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets
% of Net Assets
---------------
Drugs &Health Care ..................... 10.5%
Telecommunications ..................... 9.4%
Banks .................................. 7.7%
Financial Services ..................... 6.5%
Net Other Assets less Liabilities....... 6.0%
Oil & Gas .............................. 5.6%
Retail ................................. 5.6%
Computers & Business Equipment ......... 5.5%
Computer Software/Services ............. 5.1%
Insurance .............................. 4.2%
Communication Services ................. 4.0%
Electronics ............................ 3.6%
Cosmetics &Toiletries .................. 3.5%
Aerospace .............................. 3.0%
Food & Beverages ....................... 2.4%
Telephone .............................. 2.2%
Exploration/Drilling ................... 2.1%
Publishing ............................. 2.1%
Media-TV/Radio/Cable ................... 1.6%
Automobiles ............................ 1.3%
Advertising ............................ 0.8%
Medical Products/Supplies .............. 0.8%
Medical Services ....................... 0.8%
Semiconductors ......................... 0.8%
Entertainment .......................... 0.6%
Gas &Pipeline Utilities ................ 0.6%
Hotels &Restaurants .................... 0.6%
Bio/Specialty Pharmacy ................. 0.5%
Commercial/Consumer Services ........... 0.5%
Manufacturing .......................... 0.5%
Tobacco ................................ 0.4%
Diversified ............................ 0.3%
Electric Utilities ..................... 0.3%
Shipbuilding ........................... 0.3%
Construction Materials ................. 0.2%
Trucking &Freight Forwarding ........... 0.1%
-----
100.0%
-----
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
INTERNATIONAL STOCK FUND--PORTFOLIO OF INVESTMENTS 51
Value
Shares (Note 2)
- ---------- ----------
COMMON STOCKS - 95.96%
AUSTRALIA - 0.71%
14,584 A.B.C. Learning Centres, Ltd. .................... $ 62,691
29,000 James Hardie Industries N.V. ..................... 151,583
41,420 John Fairfax Holdings, Ltd. ...................... 147,028
73,633 Macquarie Infrastructure Group ................... 195,312
----------
556,614
----------
AUSTRIA - 0.31%
4,560 Erste Bank der Oesterreichischen Sparkassen AG ... 242,594
----------
BELGIUM - 0.00%
218 Solvus S.A. Strip VVPR * ......................... 3
----------
BRAZIL - 2.00%
3,720 Brasil de Distribuicao Pao de Acucar, ADR ........ 95,232
2,400 Brasil Telecom Participacoes S.A., ADR ........... 91,560
5,020 Companhia de Bebidas das Americas, ADR ........... 142,217
5,200 Companhia de Concessoes Rodoviarias .............. 113,750
13,650 Companhia Vale do Rio Doce, ADR .................. 395,986
32,700 Copel, ADR ....................................... 146,169
3,600 Embraer Aircraft Corp., ADR ...................... 120,384
7,600 Grendene S.A. * .................................. 90,135
5,200 Petroleo Brasileiro, S.A., ADR ................... 206,856
12,200 Souza Cruz S.A ................................... 163,616
----------
1,565,905
----------
CHILE - 0.23%
6,250 AFP Provida S.A., ADR ............................ 178,125
----------
CHINA - 0.48%
9,000 China Mobile HK, Ltd., ADR ....................... 154,440
1,990 CNOOC, Ltd., ADR ................................. 107,838
126,000 People's Food Holdings, Ltd. ..................... 115,781
----------
378,059
----------
CROATIA - 0.12%
7,500 Pliva d.d., GDR (C) .............................. 96,922
----------\
CZECH REPUBLIC - 0.15%
7,000 Cesky Telecom A.S. ............................... 115,798
----------
EGYPT - 0.83%
49,100 Commercial International Bank of Egypt ........... 314,256
15,000 Orascom Construction Industries .................. 179,111
3,700 Orascom Telecom Holding S.A.E. * ................. 155,406
----------
648,773
----------
FINLAND - 3.49%
12,000 Amer Group, Ltd. ................................. 208,740
102,300 Nokia Oyj ........................................ 1,609,179
13,200 Sampo Oyj ........................................ 181,547
41,000 Stora Enso Oyj ................................... 625,504
3,000 TietoEnator Oyj .................................. 95,030
900 Vaisala Oyj ...................................... 22,174
----------
2,742,174
----------
FRANCE - 8.56%
3,600 Carbone Lorraine S.A. * .......................... 190,059
17,150 Carrefour S.A. ................................... 813,487
31,663 Credit Agricole S.A. ............................. 951,541
4,500 Euronext N.V. .................................... 136,879
7,370 Lagardere S.C.A. ................................. 529,766
4,000 Neopost S.A. ..................................... 309,727
15,064 Sanofi-Aventis ................................... 1,199,058
4,300 Schneider Electric S.A. .......................... 298,031
6,630 Total S.A., Series B ............................. 1,442,288
26,600 Vivendi Universal S.A. * ......................... 845,838
----------
6,716,674
----------
GERMANY - 7.88%
63,400 Deutsche Telekom AG * ............................ 1,428,980
13,000 E. On AG ......................................... 1,180,129
2,100 Fielmann AG ...................................... 147,824
1,000 PUMA AG .......................................... 273,854
15,100 Schering AG ...................................... 1,124,452
10,100 Siemens AG ....................................... 852,882
5,000 Techem AG * ...................................... 181,057
22,100 Volkswagen AG .................................... 997,724
----------
6,186,902
----------
GREECE - 0.34%
9,740 OPAP S.A. ........................................ 268,184
----------
HONG KONG - 1.00%
8,000 China Netcom Group, Ltd. * ....................... 10,858
51,145 Esprit Asia Holdings, Ltd. ....................... 309,260
120,000 Hutchison Telecommunications International,
Ltd. * ......................................... 108,841
266,000 Pacific Basin Shipping, Ltd. * ................... 114,643
254,000 Texwinca Holdings, Ltd. .......................... 240,184
----------
783,786
----------
HUNGARY - 0.35%
1,200 Gedeon Richter Rt. ............................... 150,083
1,800 MOL Magyar Olaj-es Gazipari Rt. .................. 126,049
----------
276,132
----------
INDIA - 1.35%
10,200 Hero Honda Motors, Ltd. .......................... 134,532
5,800 Hindalco Industries, Ltd., GDR (C) ............... 190,371
31,200 Hindustan Lever, Ltd. ............................ 103,399
8,570 Reliance Industries, Ltd., GDR (C) ............... 210,475
22,100 Satyam Computer Services, Ltd. ................... 209,210
7,100 State Bank of India, GDR (C) ..................... 213,131
----------
1,061,118
----------
INDONESIA - 0.66%
407,500 HM Sampoerna Tbk PT .............................. 291,934
10,700 Telekomunikasi Indonesia Tbk PT, ADR ............. 224,914
----------
516,848
----------
IRELAND - 2.72%
11,414 Anglo Irish Bank Corp. PLC ....................... 276,575
55,100 Bank of Ireland .................................. 909,999
20,668 CRH PLC .......................................... 551,121
10,800 DCC PLC .......................................... 241,229
14,400 Grafton Group PLC * .............................. 154,972
----------
2,133,896
----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
52 INTERNATIONAL STOCK FUND--Portfolio of investments(continued)
Value
Shares (Note 2)
- ---------- ----------
COMMON STOCKS (continued)
ISRAEL - 0.16%
36,700 Bank Hapoalim, Ltd. .......................... $ 123,777
1 Koor Industries, Ltd. * ...................... 46
----------
123,823
----------
ITALY - 3.19%
3,500 Davide Campari-Milano SpA .................... 224,816
54,300 Enel SpA ..................................... 531,448
50,000 Eni SpA ...................................... 1,246,758
3,900 Lottomatica SpA .............................. 142,439
125,200 Terna SpA .................................... 357,609
----------
2,503,070
----------
JAPAN - 15.38%
6,100 ACOM Co., Ltd. ............................... 455,436
2,200 Aiful Corp. .................................. 241,351
4,100 Credit Saison Co., Ltd. ...................... 148,866
5,000 Daito Trust Construction Co., Ltd. ........... 237,029
2,000 Don Quijote Co., Ltd. ........................ 101,820
150 eAccess, Ltd. * .............................. 132,143
85 East Japan Railway Co. ....................... 471,625
12,100 Fanuc, Ltd. .................................. 789,156
108,900 Fujitsu, Ltd. ................................ 707,060
10,000 Hisamitsu Pharmaceutical Co., Inc. ........... 193,517
7,300 JSR Corp. .................................... 159,530
12,100 Leopalace 21 Corp ............................ 212,483
61,000 Mitsubishi Estate Co., Ltd. .................. 712,548
15,000 Murata Manufacturing Co., Ltd. ............... 836,659
7,400 NEC Electronics Corp. ........................ 360,167
90,500 Nissan Motor Co., Ltd. ....................... 981,378
74,000 Nomura Holdings, Inc. ........................ 1,076,180
335 NTT DoCoMo, Inc. ............................. 616,324
12,200 OSG Corp. .................................... 147,260
5,200 Rinnai Corp. ................................. 139,200
19,000 Sanyo Shokai, Ltd. ........................... 103,203
3,000 Secom Techno Service Co., Ltd. ............... 116,811
18,700 Shin-Etsu Chemical Co., Ltd. ................. 764,528
69,000 Sumitomo Trust & Banking Co., Ltd. ........... 497,703
23,000 Suruga Bank, Ltd. ............................ 183,140
10,500 Takeda Pharmaceutical Co., Ltd. .............. 527,402
187,000 Tokyo Gas Co., Ltd. .......................... 764,528
9,000 Uniden Corp. ................................. 176,969
2,050 USS Co., Ltd. ................................ 171,615
26 Yoshinoya D&C Co., Ltd. ...................... 40,748
----------
12,066,379
----------
MEXICO - 1.13%
35,300 America Telecom, S.A. de C.V.,Series A* ...... 101,269
1,960 Fomento Economico Mexicano S.A. de ADR C.V., . 103,116
2,550 Grupo Televisa, S.A. de C.V., ADR ............ 154,275
25,900 Kimberly-Clark de Mexico, S.A. de C.V.,Class A 89,366
8,260 Telefonos de Mexico S.A. de C.V., ADR ........ 316,523
28,800 Urbi Desarrollos Urbanos S.A. de C.V. * ...... 125,700
----------
890,249
----------
MOROCCO - 0.02%
1,200 Maroc Telecom * .............................. 12,603
----------
NETHERLANDS - 5.79%
4,586 Boskalis Westminster N.V. .................... 154,581
1,100 Efes Breweries International N.V., GDR (C) * . 33,000
2,948 Fugro N.V. ................................... 245,029
13,858 Heineken N.V. ................................ 460,172
5,518 Hunter Douglas N.V. .......................... 293,186
2,262 IHC Caland N.V. .............................. 143,121
4,400 Imtech N.V. .................................. 154,566
35,500 Philips Electronics N.V. ..................... 937,580
33,300 Royal Dutch Petroleum Co. .................... 1,909,063
5,200 Telegraaf Holdings MIJ N.V. .................. 128,466
3,675 United Services Group N.V. ................... 85,567
----------
4,544,331
----------
NORWAY - 1.66%
52,700 Den Norske Bank ASA .......................... 517,660
8,500 Ekornes ASA .................................. 184,455
38,200 Statoil ASA .................................. 596,600
----------
1,298,715
----------
PERU - 0.14%
6,900 Credicorp, Ltd. .............................. 109,089
----------
PHILIPPINES - 0.12%
3,700 Philippine Long Distance Telephone Co.,
ADR * ...................................... 92,241
----------
RUSSIA - 0.36%
1,710 LUKOIL, ADR .................................. 207,594
100 Mobile Telesystems, ADR ...................... 13,851
4,380 Wimm-Bill-Dann Foods OJSC, ADR * ............. 62,678
----------
284,123
----------
SINGAPORE - 0.80%
76,000 Overseas Chinese Banking Corp., Ltd. ......... 628,522
----------
SOUTH AFRICA - 2.17%
4,100 Edgars Consolidated Stores, Ltd. ............. 219,332
4,000 Harmony Gold Mining Co., Ltd., ADR ........... 37,080
2,950 Impala Platinum Holdings, Ltd. ............... 250,097
23,000 Kumba Resources, Ltd. ........................ 179,115
97,700 Old Mutual PLC ............................... 248,011
46,000 Sanlam, Ltd. ................................. 105,841
15,440 Sappi, Ltd. .................................. 226,818
8,590 Sasol, Ltd. .................................. 183,963
112,622 Steinhoff International Holdings, Ltd. ....... 251,157
----------
1,701,414
----------
SOUTH KOREA - 3.32%
5,800 Daewoo Shipbuilding & Marine Engineering
Co., Ltd., GDR (C) .......................... 152,250
1,150 Hite Brewery Co., Ltd. * ..................... 94,982
2,600 Hyundai Motor Co. ............................ 139,393
9,501 Kookmin Bank ................................. 371,706
6,500 KT Corp., ADR ................................ 141,765
3,100 LG Chem, Ltd. ................................ 123,527
1,600 LG Electronics, Inc. ......................... 99,073
4,200 LG Household & Health Care, Ltd. ............. 111,370
5,600 LG.Philips LCD Co., Ltd., ADR * .............. 100,744
3,700 POSCO, ADR ................................... 164,761
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
INTERNATIONAL STOCK FUND--PORTFOLIO OF INVESTMENTS(CONTINUED) 53
Value
Shares (Note 2)
- ----------- -----------
COMMON STOCKS (CONTINUED)
SOUTH KOREA (CONTINUED)
2,600 Samsung Electronics Co., Ltd., GDR (C) ........ $ 569,400
1,880 Samsung Fire & Marine Insurance Co.,Ltd ....... 148,010
1,000 Samsung SDI Co., Ltd. ......................... 109,158
800 SK Telecom Co., Ltd. .......................... 152,241
5,800 SK Telecom Co., Ltd., ADR ..................... 129,050
-----------
2,607,430
-----------
SPAIN - 1.17%
13,700 Abengoa, S.A. ................................. 134,827
4,400 Aldeasa, S.A. ................................. 185,240
13,552 Corporacion Mapfre S.A. ....................... 198,864
13,500 Indra Sistemas, S.A. .......................... 229,716
8,500 Prosegur, CIA de Seguridad S.A. ............... 166,614
-----------
915,261
-----------
SWEDEN - 1.08%
9,400 Alfa Laval AB ................................. 151,488
9,580 Elekta AB * ................................... 275,027
11,000 Getinge AB .................................... 136,459
24,900 Swedish Match AB .............................. 287,430
-----------
850,404
-----------
SWITZERLAND - 4.67%
16,500 Compagnie Financiere Richemont AG, Class A..... 547,349
31,730 Credit Suisse Group * ......................... 1,329,267
230 Edipresse S.A. ................................ 118,931
100 Geberit AG .................................... 72,918
2,700 Nestle S.A. ................................... 703,988
12,600 Swiss Reinsurance Co. ......................... 895,583
-----------
3,668,036
-----------
TAIWAN - 1.32%
62,624 Advantech Co., Ltd. ........................... 151,684
90,541 Chinatrust Financial Holding Co., Ltd. ........ 107,943
18,750 Compal Electronics, Inc., GDR ................. 93,188
141,000 Fubon Group Co., Ltd. ......................... 144,149
49,315 Hon Hai Precision Industry Co., Ltd. .......... 228,037
196,000 Taiwan Semiconductor Manufacturing Co., Ltd. .. 311,356
-----------
1,036,357
-----------
THAILAND - 0.12%
136,400 Thai Union Frozen Products Public Co.,
Ltd. - Foreign .............................. 93,040
-----------
TURKEY - 0.29%
37,243,200 Akbank T.A.S. ................................. 230,612
-----------
UNITED KINGDOM - 21.68%
102,300 Barclays PLC .................................. 1,148,509
73,300 BP PLC ........................................ 713,393
78,200 BRiT Insurance Holdings PLC ................... 117,983
13,100 Bunzl PLC ..................................... 109,049
57,300 Cadbury Schweppes PLC ......................... 532,424
9,200 Carpetright PLC ............................... 200,934
22,580 Cattles PLC ................................... 158,764
17,568 Collins Stewart Tullett PLC ................... 132,948
196,600 Cookson Group PLC * ........................... 133,713
78,200 Diageo PLC .................................... 1,113,158
18,900 Emap PLC ...................................... 295,289
13,000 Enterprise Inns PLC ........................... 198,003
67,600 GlaxoSmithKline PLC ........................... 1,582,629
23,000 Halfords Group PLC * .......................... 136,600
90,202 HSBC Holdings PLC ............................. 1,519,029
26,140 Imperial Tobacco Group PLC .................... 714,645
17,000 Intertek Group PLC ............................ 229,614
64,380 Kesa Electricals PLC .......................... 348,442
7,376 Man Group PLC ................................. 208,013
67,200 Marks and Spencer Group PLC ................... 441,595
12,300 Northgate PLC ................................. 201,245
92,633 Prudential PLC ................................ 803,943
99,923 Regus Group PLC * ............................. 146,450
183,900 Rentokil Initial PLC .......................... 520,559
15,900 Rio Tinto PLC ................................. 466,982
43,500 Royal Bank of Scotland Group PLC .............. 1,460,106
9,450 Signet Group PLC, ADR ......................... 204,781
13,200 Trinity Mirror PLC ............................ 160,839
112,000 Unilever PLC .................................. 1,097,551
576,700 Vodafone Group PLC ............................ 1,560,628
18,400 William Hill PLC .............................. 198,819
20,700 Wimpey George PLC ............................. 160,417
-----------
17,017,054
-----------
VENEZUELA - 0.21%
7,331 Compania Anonima Nacional Telefonos
de Venezuela, ADR ........................... 164,141
-----------
TOTAL COMMON STOCKS ........................... 75,305,401
( Cost $58,866,046 ) -----------
PREFERRED STOCKS - 1.43%
BRAZIL - 0.90%
457,000 Caemi Mineracao e Metalurgica S.A. * .......... 392,304
7,020 Telemar Norte Leste S.A. ...................... 178,540
6,600 Usinas Siderurgicas de Minas Gerais S.A. ...... 134,062
-----------
704,906
-----------
GERMANY - 0.53%
430 Porsche AG .................................... 273,292
7,700 ProSiebenSat.L Media AG ....................... 140,717
-----------
414,009
-----------
TOTAL PREFERRED STOCKS ........................ 1,118,915
( Cost $591,888 ) -----------
WARRANTS AND RIGHTS - 0.00%
JAPAN - 0.00%
120 Belluna Co., Ltd. (Exercise Price $35.65) (L) * 0
-----------
TOTAL WARRANTS AND RIGHTS ..................... 0
( Cost $113 ) -----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
54 INTERNATIONAL STOCK FUND--PORTFOLIO OF INVESTMENTS(CONTINUED)
Value
Shares (Note 2)
----------- -----------
INVESTMENT COMPANY- 1.98%
UNITED STATES - 1.98%
1,555,255 SSgA Prime Money Market Fund $ 1,555,255
-----------
TOTAL INVESTMENT COMPANY....................... 1,555,255
( Cost $1,555,255 ) -----------
TOTAL INVESTMENTS - 99.37%......................................... 77,979,571
( Cost $61,013,302 ** ) -----------
NET OTHER ASSETS AND LIABILITIES - 0.63%........................... 497,003
-----------
TOTAL NET ASSETS - 100.00%......................................... $78,476,574
===========
- ------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $61,460,771.
(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.
(L) Security valued at fair value using methods determined in good faith by
and under the general supervision of the Board of Trustees (see note 2).
ADR American Depository Receipt.
GDR Global Depository Receipt.
PLC Public Limited Company.
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets % of Net Assets
---------------
Banks ................................. 14.2%
Oil & Gas ............................. 9.6%
Drugs & Health Care ................... 6.8%
Food & Beverages ...................... 6.1%
Communication Services ................ 5.9%
Telecommunications .................... 5.9%
Financial Services .................... 4.4%
Retail ................................ 4.1%
Insurance ............................. 3.4%
Automobiles ........................... 3.2%
Electric Utilities .................... 2.8%
Mining ................................ 2.8%
Electronics ........................... 2.7%
Net Other Assets less Liabilities ..... 2.6%
Computers & Business Equipment ........ 2.5%
Household Appliances & Home Furnishings 2.3%
Manufacturing ......................... 2.2%
Tobacco ............................... 1.9%
Business Services ..................... 1.6%
Real Estate ........................... 1.5%
Chemicals ............................. 1.4%
Industrial Machinery .................. 1.4%
Construction & Mining Equipment ....... 1.1%
Leisure Time .......................... 1.0%
Apparel & Textiles .................... 0.9%
Railroads & Equipment ................. 0.9%
Forest Products ....................... 0.8%
Publishing ............................ 0.8%
Building Construction ................. 0.7%
Computer Software/Services ............ 0.6%
Electrical Equipment .................. 0.6%
Conglomerates ......................... 0.4%
Paper ................................. 0.4%
Hotels & Restaurants .................. 0.3%
Aerospace ............................. 0.2%
Auto Parts ............................ 0.2%
Construction Materials ................ 0.2%
Internet .............................. 0.2%
Machinery/Equipment ................... 0.2%
Shipbuilding .......................... 0.2%
Television ............................ 0.2%
Turnpikes &Toll Roads ................. 0.2%
Commercial/Consumer Services .......... 0.1%
Cosmetics & Toiletries ................ 0.1%
Household Products .................... 0.1%
Retail-Discount ....................... 0.1%
School ................................ 0.1%
Transportation ........................ 0.1%
--------------
100.0%
==============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
55
THIS PAGE INTENTIONALLY LEFT BLANK
ANNUAL REPORT DECEMBER 31, 2004
56 STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2004
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
------------- ------------- ------------- -------------
ASSETS:
Investments in securities, at value* ............................... $ 128,900,846 $ 671,783,758 $ 142,071,427 $ 873,269,934
Cash ............................................................... -- -- 284,772 --
Foreign currency** ................................................. -- -- -- --
Unrealized appreciation on forward currency contracts .............. -- -- 3,467 --
Receivables:
Investment securities sold ....................................... -- -- 12,440 --
Fund shares sold ................................................. 100,325 161,567 13,569 380,227
Dividends and interest ........................................... 65,099 5,007,541 1,941,532 3,128,146
Foreign tax reclaims ............................................. -- -- 3,880 --
Other assets ....................................................... -- 17,893 5,712 12,522
------------- ------------- ------------- -------------
Total assets ................................................. 129,066,270 676,970,759 144,336,799 876,790,829
------------- ------------- ------------- -------------
LIABILITIES:
Unrealized depreciation on forward currency contracts .............. -- -- 91,538 --
Payables:
Investment securities purchased .................................. -- -- 289,679 --
Fund shares repurchased .......................................... 13,085 -- 24 148,636
Upon return of securities loaned ................................. -- 102,555,060 25,563,564 90,325,065
Accrued management fees .......................................... 49,288 259,980 73,644 461,127
Accrued expenses and other payables .............................. -- -- -- --
------------- ------------- ------------- -------------
Total liabilities ............................................ 62,373 102,815,040 26,018,449 90,934,828
------------- ------------- ------------- -------------
Net assets applicable to outstanding capital stock ................. $ 129,003,897 $ 574,155,719 $ 118,318,350 $ 785,856,001
============= ============= ============= =============
Represented by:
Capital stock and additional paid-in capital ..................... $ 129,003,897 $ 576,575,807 $ 113,383,738 $ 708,978,286
Accumulated undistributed net investment income (loss) ........... -- 790,781 88,010 599,881
Accumulated net realized gain (loss)
on investments and foreign currency related transactions ........ -- (12,112,941) (183,705) (38,513,066)
Unrealized appreciation (depreciation) on
investments (including appreciation (depreciation) on
foreign currency related transactions) ........................ -- 8,902,072 5,030,307 114,790,900
------------- ------------- ------------- -------------
Total net assets - representing net assets applicable to
outstanding capital stock ........................................ $ 129,003,897 $ 574,155,719 $ 118,318,350 $ 785,856,001
============= ============= ============= =============
Number of Class Z Shares issued and outstanding .................... 129,003,897 55,529,881 11,378,081 41,129,284
============= ============= ============= =============
Net asset value per share of outstanding capital stock,
offering price and redemption price ............................... $ 1.00 $ 10.34 $ 10.40 19.11
============= ============= ============= =============
*Cost of Investments ............................................... $ 128,900,846 $ 662,881,686 $ 136,953,976 $ 758,479,034
------------- ------------- ------------- -------------
**Cost of Foreign Currency ......................................... $ -- $ -- $ -- $ --
------------- ------------- ------------- -------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
57
GROWTH AND CAPITAL APPRECIATION MID-CAP MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL
INCOME STOCK FUND STOCK FUND STOCK FUND STOCK FUND FUND STOCK FUND
- ----------------- -------------------- --------------- ---------------- ----------------- ---------------
$ 1,233,564,389 $ 702,983,150 $ 235,729,292 $ 361,665,052 $ 30,345,793 $ 77,979,571
-- -- -- -- -- --
-- -- -- 10 26,592 270,905
-- -- -- -- -- --
-- -- 74,700 436,000 220,418 82,307
664,008 371,998 182,808 249,994 9,469 49,586
2,100,432 521,187 206,547 158,703 44,480 139,026
1,835 -- -- 15 3,404 36,602
752 3,219 1,814 2,282 118 --
--------------- --------------- --------------- --------------- --------------- ---------------
1,236,331,416 703,879,554 236,195,161 362,512,056 30,650,274 78,557,997
--------------- --------------- --------------- --------------- --------------- ---------------
-- -- -- -- -- --
-- -- 371,556 4,051,964 7,840 --
6,587 27,491 447 1,404 12 515
30,640,536 9,628,298 17,583,417 21,547,447 636,425 --
602,711 462,023 180,057 238,087 23,377 77,685
-- -- -- -- 3,147 3,223
--------------- --------------- --------------- --------------- --------------- ---------------
31,249,834 10,117,812 18,135,477 25,838,902 670,801 81,423
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,205,081,582 $ 693,761,742 $ 218,059,684 $ 336,673,154 $ 29,979,473 $ 78,476,574
=============== =============== =============== =============== =============== ===============
$ 1,027,303,290 $ 712,667,730 $ 172,928,040 $ 265,287,356 $ 24,730,975 $ 61,794,340
548,037 522,853 209,682 2,416 76,416 (266,657)
(50,180,957) (138,379,034) 1,056,134 11,799,857 (1,082,039) (31,165)
227,411,212 118,950,193 43,865,828 59,583,525 6,254,121 16,980,056
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,205,081,582 $ 693,761,742 $ 218,059,684 $ 336,673,154 $ 29,979,473 $ 78,476,574
=============== =============== =============== =============== =============== ===============
39,547,816 35,248,375 13,149,335 49,480,730 2,608,687 6,910,581
=============== =============== =============== =============== =============== ===============
$ 30.47 $ 19.68 $ 16.58 $ 6.80 $ 11.49 $ 11.36
=============== =============== =============== =============== =============== ===============
$ 1,006,153,176 $ 584,032,957 $ 191,863,666 $ 302,081,531 $ 24,089,927 $ 61,013,302
--------------- --------------- --------------- --------------- --------------- ---------------
$ -- $ -- $ -- $ 8 $ 25,993 $ 264,466
--------------- --------------- --------------- --------------- --------------- ---------------
See accompanying Notes to Financial Statements.
Annual Report December 31, 2004
58 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
------------ ------------ ------------ ------------
INVESTMENT INCOME:
Interest income ................................................... $ 1,829,349 $ 24,869,888 $ 7,850,248 $ 13,193,559
Dividend income ................................................... -- -- 25,900 9,251,800
Less: Foreign taxes withheld ...................................... -- -- (1,049) (50,817)
Securities lending income ......................................... -- 127,048 47,163 102,860
------------ ------------ ------------ ------------
Total income .................................................... 1,829,349 24,996,936 7,922,262 22,497,402
------------ ------------ ------------ ------------
EXPENSES:
Management fees ................................................... 606,114 3,005,332 757,465 5,192,407
Trustees' fees .................................................... 2,284 7,223 2,139 9,357
Audit fees ........................................................ 4,140 14,017 4,497 19,070
Other expenses .................................................... -- -- -- --
------------ ------------ ------------ ------------
Total expenses .................................................. 612,538 3,026,572 764,101 5,220,834
------------ ------------ ------------ ------------
NET INVESTMENT INCOME ............................................... 1,216,811 21,970,364 7,158,161 17,276,568
------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments (including net
realized gain (loss) on foreign currency related transactions)* ... 4,560 (1,324,964) 873,817 7,402,296
Net change in unrealized appreciation (depreciation) on
investments (including net unrealized appreciation
(depreciation) on foreign currency related transactions)** ........ -- (2,650,107) 1,031,966 35,727,109
------------ ------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENTS ...................................... 4,560 (3,975,071) 1,905,783 43,129,405
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................ $ 1,221,371 $ 17,995,293 $ 9,063,944 $ 60,405,973
============ ============ ============ ============
- ----------
* Includes foreign capital gains taxes paid of $0 and $25,814 for the Global
Securities and International Stock Funds, respectively.
** Net of deferred foreign capital gains taxes of $3,147 and $3,222 for the
Global Securities and International Stock Funds, respectively.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
59
GROWTH AND CAPITAL APPRECIATION MID-CAP MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL
INCOME STOCK FUND STOCK FUND STOCK FUND STOCK FUND FUND STOCK FUND
- ----------------- -------------------- --------------- ---------------- ----------------- ---------------
$ 514,304 $ 296,324 $ 89,214 $ 116,171 $ 15,075 $ 25,278
24,440,266 10,008,326 3,961,095 2,525,102 375,027 1,710,772
(128,649) -- (1,119) (21,196) (31,979) (187,924)
28,579 22,575 16,039 29,083 1,364 --
------------- ------------- ------------- ------------- ------------- -------------
24,854,500 10,327,225 4,065,229 2,649,160 359,487 1,548,126
------------- ------------- ------------- ------------- ------------- -------------
6,649,910 5,105,779 1,843,107 2,525,958 218,954 782,621
13,314 8,396 3,085 4,917 1,281 1,753
28,439 16,796 5,936 9,459 1,464 3,583
-- -- -- -- -- 881
------------- ------------- ------------- ------------- ------------- -------------
6,691,663 5,130,971 1,852,128 2,540,334 221,699 788,838
------------- ------------- ------------- ------------- ------------- -------------
18,162,837 5,196,254 2,213,101 108,826 137,788 759,288
------------- ------------- ------------- ------------- ------------- -------------
(918,039) 36,747,922 9,881,213 15,884,838 955,799 4,696,572
116,031,062 14,394,457 16,109,310 22,531,530 3,252,956 7,609,319
------------- ------------- ------------- ------------- ------------- -------------
115,113,023 51,142,379 25,990,523 38,416,368 4,208,755 12,305,891
------------- ------------- ------------- ------------- ------------- -------------
$ 133,275,860 $ 56,338,633 $ 28,203,624 $ 38,525,194 $ 4,346,543 $ 13,065,179
============= ============= ============= ============= ============= =============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
60 STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET BOND
FUND FUND
-------------------------------------- --------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003 DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income ................... $ 1,216,811 $ 1,220,039 $ 21,970,364 $ 24,317,551
Net realized gain (loss) on investments . 4,560 3,885 (1,324,964) 766,949
Net change in unrealized appreciation
(depreciation) on investments .......... -- -- (2,650,107) (8,850,659)
------------- ------------- ------------- -------------
Change in net assets from operations .. 1,221,371 1,223,924 17,995,293 16,233,841
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .............. (1,221,371) (1,223,924) (22,943,666) (25,129,017)
From realized gains on investments ...... -- -- -- --
------------- ------------- ------------- -------------
Change in net assets from distributions (1,221,371) (1,223,924) (22,943,666) (25,129,017)
------------- ------------- ------------- -------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares ............ 70,158,523 79,915,177 53,219,293 86,809,127
Net asset value of shares issued in
reinvestment of distributions .......... 1,221,371 1,223,924 22,943,666 25,129,017
------------- ------------- ------------- -------------
71,379,894 81,139,101 76,162,959 111,938,144
Cost of shares repurchased .............. (83,751,943) (117,206,054) (49,369,882) (104,225,543)
------------- ------------- ------------- -------------
Change in net assets from capital
share transactions ................. (12,372,049) (36,066,953) 26,793,077 7,712,601
------------- ------------- ------------- -------------
Increase (decrease) in net assets ......... (12,372,049) (36,066,953) 21,844,704 (1,182,575)
NET ASSETS:
Beginning of year ....................... 141,375,946 177,442,899 552,311,015 553,493,590
------------- ------------- ------------- -------------
End of year ............................. $ 129,003,897 $ 141,375,946 $ 574,155,719 $ 552,311,015
============= ============= ============= =============
Undistributed net investment
income included in net assets ........... $ -- $ -- $ 790,781 $ 755,366
============= ============= ============= =============
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold ............................. 70,158,523 79,915,177 5,048,956 8,139,775
Shares issued in reinvestment
of distributions ....................... 1,221,371 1,223,924 2,226,228 2,410,549
------------- ------------- ------------- -------------
71,379,894 81,139,101 7,275,184 10,550,324
Shares redeemed ......................... (83,751,943) (117,206,054) (4,702,045) (9,844,975)
------------- ------------- ------------- -------------
Net increase (decrease) in shares
outstanding ............................ (12,372,049) (36,066,953) 2,573,139 705,349
============= ============= ============= =============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
61
HIGH INCOME BALANCED GROWTH AND INCOME
FUND FUND STOCK FUND
- -------------------------------------- ----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31,2004 DECEMBER 31,2003 DECEMBER 31,2004 DECEMBER 31,2003 DECEMBER 31,2004 DECEMBER 31,2003
- ----------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 7,158,161 $ 3,522,106 $ 17,276,568 $ 16,686,038 $ 18,162,837 $ 14,175,181
873,817 368,297 7,402,296 (16,662,863) (918,039) (24,231,973)
1,031,966 4,425,204 35,727,109 98,876,095 116,031,062 213,715,935
--------------- --------------- --------------- --------------- --------------- ---------------
9,063,944 8,315,607 60,405,973 98,899,270 133,275,860 203,659,143
--------------- --------------- --------------- --------------- --------------- ---------------
(7,039,140) (3,458,320) (17,712,402) (16,928,073) (18,038,982) (14,295,267)
-- -- -- -- -- --
--------------- --------------- --------------- --------------- --------------- ---------------
(7,039,140) (3,458,320) (17,712,402) (16,928,073) (18,038,982) (14,295,267)
--------------- --------------- --------------- --------------- --------------- ---------------
25,198,530 55,427,553 59,107,678 70,539,434 68,601,989 151,970,735
7,039,140 3,458,320 17,712,402 16,928,073 18,038,982 14,295,267
--------------- --------------- --------------- --------------- --------------- ---------------
32,237,670 58,885,873 76,820,080 87,467,507 86,640,971 166,266,002
(4,184,153) (1,353,580) (45,837,921) (49,501,839) (62,768,309) (54,553,326)
--------------- --------------- --------------- --------------- --------------- ---------------
28,053,517 57,532,293 30,982,159 37,965,668 23,872,662 111,712,676
--------------- --------------- --------------- --------------- --------------- ---------------
30,078,321 62,389,580 73,675,730 119,936,865 139,109,540 301,076,552
88,240,029 25,850,449 712,180,271 592,243,406 1,065,972,042 764,895,490
--------------- --------------- --------------- --------------- --------------- ---------------
$ 118,318,350 $ 88,240,029 $ 785,856,001 $ 712,180,271 $ 1,205,081,582 $ 1,065,972,042
=============== =============== =============== =============== =============== ===============
$ 88,010 $ 67,627 $ 599,881 $ 516,801 $ 548,037 $ 424,182
=============== =============== =============== =============== =============== ===============
2,419,532 5,621,820 3,216,004 4,180,172 2,417,824 6,149,903
677,653 348,482 928,670 981,626 592,517 555,422
--------------- --------------- --------------- --------------- --------------- ---------------
3,097,185 5,970,302 4,144,674 5,161,798 3,010,341 6,705,325
(406,999) (140,408) (2,485,291) (3,063,562) (2,203,171) (2,426,712)
--------------- --------------- --------------- --------------- --------------- ---------------
2,690,186 5,829,894 1,659,383 2,098,236 807,170 4,278,613
=============== =============== =============== =============== =============== ===============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
62 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
CAPITAL APPRECIATION MID-CAP
STOCK FUND STOCK FUND
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003 DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income ........................... $ 5,196,254 $ 2,842,818 $ 2,213,101 $ 676,114
Net realized gain (loss) on
investments .................................... 36,747,922 (58,697,964) 9,881,213 (1,552,375)
Net change in unrealized appreciation
(depreciation) on investments .................. 14,394,457 214,078,600 16,109,310 34,320,922
------------- ------------- ------------- -------------
Change in net assets from operations .......... 56,338,633 158,223,454 28,203,624 33,444,661
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ...................... (4,762,955) (2,924,425) (1,964,713) (646,523)
Return of Capital ............................... -- -- -- --
From realized gains on investments .............. -- -- (3,150,100) --
------------- ------------- ------------- -------------
Change in net assets from distributions ....... (4,762,955) (2,924,425) (5,114,813) (646,523)
------------- ------------- ------------- -------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares .................... 54,919,015 58,238,663 43,440,149 31,741,481
Net asset value of shares issued in
reinvestment of distributions .................. 4,762,955 2,924,425 5,114,813 646,523
------------- ------------- ------------- -------------
59,681,970 61,163,088 48,554,962 32,388,004
Cost of shares repurchased ...................... (35,098,751) (191,371,432) (12,282,215) (9,076,551)
------------- ------------- ------------- -------------
Change in net assets from capital share
transactions ................................... 24,583,219 (130,208,344) 36,272,747 23,311,453
------------- ------------- ------------- -------------
Increase (decrease) in net assets ................. 76,158,897 25,090,685 59,361,558 56,109,591
NET ASSETS:
Beginning of year ............................... 617,602,845 592,512,160 158,698,126 102,588,535
------------- ------------- ------------- -------------
End of year ..................................... $ 693,761,742 $ 617,602,845 $ 218,059,684 $ 158,698,126
============= ============= ============= =============
Undistributed net investment income (loss)
included in net assets .......................... $ 522,853 $ 89,554 $ 209,682 $ 14,611
============= ============= ============= =============
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold ....................................... 2,969,351 3,657,487 2,818,998 2,453,438
Shares issued in
reinvestment of distributions ..................... 242,123 173,057 309,034 47,102
------------- ------------- ------------- -------------
3,211,474 3,830,544 3,128,032 2,500,540
Shares redeemed ................................... (1,910,924) (11,746,893) (805,044) (813,955)
------------- ------------- ------------- -------------
Net increase (decrease) in
shares outstanding ................................ 1,300,550 (7,916,349) 2,322,988 1,686,585
============= ============= ============= =============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
63
MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL STOCK
STOCK FUND FUND FUND
- -------------------------------------- ----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31,2004 DECEMBER 31,2003 DECEMBER 31,2004 DECEMBER 31,2003 DECEMBER 31,2004 DECEMBER 31,2003
- ----------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 108,826 $ (291,753) $ 137,788 $ 85,125 $ 759,288 $ 439,718
15,884,838 14,559,928 955,799 (5,156) 4,696,572 (251,621)
22,531,530 33,313,146 3,252,956 4,827,947 7,609,319 10,701,649
------------- ------------- ------------- ------------- ------------- -------------
38,525,194 47,581,321 4,346,543 4,907,916 13,065,179 10,889,746
------------- ------------- ------------- ------------- ------------- -------------
(104,600) (1,399) (60,400) (130,406) (935,800) (197,210)
-- -- -- -- -- (16,790)
(9,996,293) (1,140,200) -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
(10,100,893) (1,141,599) (60,400) (130,406) (935,800) (214,000)
------------- ------------- ------------- ------------- ------------- -------------
41,631,056 150,748,958 9,116,708 3,769,659 11,086,320 25,993,139
10,100,893 1,141,599 60,400 130,406 935,800 214,000
------------- ------------- ------------- ------------- ------------- -------------
51,731,949 151,890,557 9,177,108 3,900,065 12,022,120 26,207,139
(12,411,692) (4,904,444) (1,574,680) (761,128) (2,280,833) (236,007)
------------- ------------- ------------- ------------- ------------- -------------
39,320,257 146,986,113 7,602,428 3,138,937 9,741,287 25,971,132
------------- ------------- ------------- ------------- ------------- -------------
67,744,558 193,425,835 11,888,571 7,916,447 21,870,666 36,646,878
268,928,596 75,502,761 18,090,902 10,174,455 56,605,908 19,959,030
------------- ------------- ------------- ------------- ------------- -------------
$ 336,673,154 $ 268,928,596 $ 29,979,473 $ 18,090,902 $ 78,476,574 $ 56,605,908
============= ============= ============= ============= ============= =============
$ 2,416 $ -- $ 76,416 $ (1,993) $ (266,657) $ (72,314)
============= ============= ============= ============= ============= =============
6,436,576 27,983,627 900,050 475,502 1,109,597 3,164,041
1,584,023 183,998 5,275 13,765 82,835 26,388
------------- ------------- ------------- ------------- ------------- -------------
8,020,599 28,167,625 905,325 489,267 1,192,432 3,190,429
(1,910,726) (972,195) (157,063) (95,673) (215,745) (31,848)
------------- ------------- ------------- ------------- ------------- -------------
6,109,873 27,195,430 748,262 393,594 976,687 3,158,581
============= ============= ============= ============= ============= =============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
64 FINANCIAL HIGHLIGHTS
MONEY MARKET FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ..................... 0.01 0.01 0.01 0.04 0.06
Net Realized and Unrealized Gain (Loss) .... 0.00(1) 0.00(1) 0.00(1) -- --
------------ ------------ ------------ ------------ ------------
TOTAL FROM INVESTMENT OPERATIONS ............. 0.01 0.01 0.01 0.04 0.06
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS:
Distributions from Net Investment Income ... (0.01) (0.01) (0.01) (0.04) (0.06)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,END OF YEAR .................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============ ============
TOTAL RETURN** ................................. 0.92% 0.75% 1.50% 3.79% 5.86%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) ......... $ 129,004 $ 141,376 $ 177,443 $ 174,261 $ 93,359
Ratios of Expenses to Average Net Assets ....... 0.45% 0.45% 0.45% 0.46% 0.46%
Ratios of Net Investment Income to Average Net
Assets ....................................... 0.90% 0.75% 1.45% 3.51% 5.88%
BOND FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR ................ $ 10.43 $ 10.59 $ 10.20 $ 10.15 $ 10.05
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ....................... 0.42 0.46 0.54 0.62 0.71
Net Realized and Unrealized Gain (Loss) ...... (0.07) (0.14) 0.32 0.23 0.08
----------- ----------- ----------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS ............... 0.35 0.32 0.86 0.85 0.79
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS:
Distributions from Net Investment Income ..... (0.44) (0.48) (0.47) (0.59) (0.69)
Return of Capital ............................ -- -- -- (0.21) --
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS ............................ (0.44) (0.48) (0.47) (0.80) (0.69)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE,END OF YEAR ...................... $ 10.34 $ 10.43 $ 10.59 $ 10.20 $ 10.15
=========== =========== =========== =========== ===========
TOTAL RETURN** ................................... 3.36% 3.05% 8.55% 8.32% 8.11%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) ........... $ 574,156 $ 552,311 $ 553,494 $ 384,837 $ 299,650
Ratios of Expenses to Average Net Assets ......... 0.55% 0.55% 0.55% 0.55% 0.55%
Ratios of Net Investment Income to Average Net
Assets ......................................... 4.02% 4.29% 5.14% 5.91% 6.98%
Portfolio Turnover Rate .......................... 67% 82% 78% 112% 463%
- ----------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
(1) Amount represents less than $0.005 per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
FINANCIAL HIGHLIGHTS 65
HIGH INCOME FUND
--------------------------------------------------------------------------------
INCEPTION(a)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED TO
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF PERIOD ............. $ 10.16 $ 9.04 $ 9.41 $ 9.86 $ 10.00
----------- ----------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ...................... 0.74 0.72 0.71 0.84 0.14
Net Realized and Unrealized Gain (Loss) ..... 0.16 0.93 (0.44) (0.51) (0.14)
----------- ----------- ----------- ----------- ----------
TOTAL FROM INVESTMENT OPERATIONS .............. 0.90 1.65 0.27 0.33 --
----------- ----------- ----------- ----------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income .... (0.66) (0.53) (0.64) (0.78) (0.14)
----------- ----------- ----------- ----------- ----------
TOTAL DISTRIBUTIONS ........................... (0.66) (0.53) (0.64) (0.78) (0.14)
----------- ----------- ----------- ----------- ----------
NET ASSET VALUE,END OF PERIOD ................... $ 10.40 $ 10.16 $ 9.04 $ 9.41 $ 9.86
=========== =========== =========== =========== ==========
TOTAL RETURN** .................................. 8.92% 18.46% 3.06% 3.45% (0.03%)
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Period (000s Omitted) ........ $ 118,318 $ 88,240 $ 25,850 $ 17,496 $ 10,373
Ratios of Expenses to Average Net Assets ........ 0.76% 0.75% 0.76% 0.77% 0.81%+
Ratios of Net Investment Income to Average Net
Assets ........................................ 7.08% 7.29% 7.64% 8.41% 8.48%+
Portfolio Turnover Rate ......................... 58% 45% 38% 34% 7%
BALANCED FUND
-------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR ................ $ 18.04 $ 15.85 $ 18.42 $ 20.45 $ 20.44
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ....................... 0.43 0.45 0.53 0.58 0.68
Net Realized and Unrealized Gain (Loss) ...... 1.08 2.18 (2.58) (1.23) 0.11
----------- ----------- ----------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS ............... 1.51 2.63 (2.05) (0.65) 0.79
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS:
Distributions from Net Investment Income ..... (0.44) (0.44) (0.52) (0.57) (0.67)
Distributions from Net Realized Gains ........ -- -- (0.00)(1) (0.81) (0.11)
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS ............................ (0.44) (0.44) (0.52) (1.38) (0.78)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE,END OF YEAR ...................... $ 19.11 $ 18.04 $ 15.85 $ 18.42 $ 20.45
=========== =========== =========== =========== ===========
TOTAL RETURN** ................................... 8.34% 16.82% (11.13%) (3.07%) 3.86%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) ........... $ 785,856 $ 712,180 $ 592,243 $ 679,548 $ 668,364
Ratios of Expenses to Average Net Assets ......... 0.70% 0.70% 0.70% 0.70% 0.70%
Ratios of Net Investment Income to Average Net ...
Assets ......................................... 2.34% 2.66% 3.12% 3.04% 3.27%
Portfolio Turnover Rate .......................... 38% 39% 50% 52% 194%
- ----------
(a) Commenced operations October 31, 2000.
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
+ Annualized.
(1) Amount represents less than ($0.005) per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
66 FINANCIAL HIGHLIGHTS
GROWTH AND INCOME STOCK FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR ............... $ 27.52 $ 22.20 $ 28.73 $ 33.41 $ 33.58
----------- ----------- ---------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ...................... 0.46 0.40 0.35 0.31 0.33
Net Realized and Unrealized Gain (Loss) ..... 2.95 5.31 (6.53) (3.88) (0.05)
----------- ----------- ---------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS .............. 3.41 5.71 (6.18) (3.57) 0.28
----------- ----------- ---------- ----------- -----------
DISTRIBUTIONS:
Distributions from Net Investment Income .... (0.46) (0.39) (0.35) (0.31) (0.33)
Distributions from Net Realized Gains ....... -- -- -- (0.79) (0.12)
Return of Capital ........................... -- -- -- (0.01) --
----------- ----------- ---------- ----------- -----------
TOTAL DISTRIBUTIONS ........................... (0.46) (0.39) (0.35) (1.11) (0.45)
----------- ----------- ---------- ----------- -----------
NET ASSET VALUE,END OF YEAR ..................... $ 30.47 $ 27.52 $ 22.20 $ 28.73 $ 33.41
=========== =========== ========== =========== ===========
TOTAL RETURN** .................................. 12.43% 25.89% (21.55%) (10.71%) 0.82%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) .......... $ 1,205,082 $ 1,065,972 $ 764,895 $ 1,031,655 $ 1,166,634
Ratios of Expenses to Average Net Assets ........ 0.60% 0.60% 0.60% 0.60% 0.60%
Ratios of Net Investment Income to Average Net
Assets ........................................ 1.67% 1.69% 1.39% 1.05% 0.98%
Portfolio Turnover Rate ......................... 15% 17% 18% 21% 21%
CAPITAL APPRECIATION STOCK FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR ............... $ 18.19 $ 14.15 $ 20.70 $ 26.39 $ 25.59
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ...................... 0.15 0.07 0.04 0.02 0.02
Net Realized and Unrealized Gain (Loss) ..... 1.48 4.05 (6.54) (2.37) 1.08
----------- ----------- ----------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS .............. 1.63 4.12 (6.50) (2.35) 1.10
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS:
Distributions from Net Investment Income .... (0.14) (0.08) (0.04) (0.02) (0.02)
Distributions from Net Realized Gains ....... -- -- (0.01) (3.32) (0.28)
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS ........................... (0.14) (0.08) (0.05) (3.34) (0.30)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE,END OF YEAR ..................... $ 19.68 $ 18.19 $ 14.15 $ 20.70 $ 26.39
=========== =========== =========== =========== ===========
TOTAL RETURN** .................................. 8.94% 29.13% (31.41%) (9.11%) 4.28%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) .......... $ 693,762 $ 617,603 $ 592,512 $ 871,111 $ 924,899
Ratios of Expenses to Average Net Assets ........ 0.80% 0.80% 0.80% 0.80% 0.80%
Ratios of Net Investment Income to Average Net
Assets ........................................ 0.82% 0.47% 0.25% 0.10% 0.08%
Portfolio Turnover Rate ......................... 26% 29% 27% 28% 27%
- ----------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
FINANCIAL HIGHLIGHTS 67
MID-CAP STOCK FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF YEAR ............... $ 14.66 $ 11.22 $ 13.94 $ 13.77 $ 11.15
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ...................... 0.18 0.07 0.07 0.05 0.03
Net Realized and Unrealized Gain (Loss) ..... 2.14 3.43 (2.51) 1.39 2.62
----------- ----------- ----------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS .............. 2.32 3.50 (2.44) 1.44 2.65
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS:
Distributions from Net Investment Income .... (0.15) (0.06) (0.06) (0.11) (0.02)
Distributions from Net Realized Gains ....... (0.25) -- (0.22) (1.16) (0.01)
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS ........................... (0.40) (0.06) (0.28) (1.27) (0.03)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE,END OF YEAR ..................... $ 16.58 $ 14.66 $ 11.22 $ 13.94 $ 13.77
=========== =========== =========== =========== ===========
TOTAL RETURN** .................................. 15.86% 31.21% (17.41%) 11.16% 23.85%
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Year (000s Omitted) .......... $ 218,060 $ 158,698 $ 102,589 $ 105,414 $ 64,737
Ratios of Expenses to Average Net Assets ........ 1.00% 1.00% 1.01% 1.01% 1.01%
Ratios of Net Investment Income to Average Net
Assets......................................... 1.20% 0.57% 0.54% 0.40% 0.24%
Portfolio Turnover Rate ......................... 25% 22% 33% 42% 51%
MULTI-CAP GROWTH STOCK FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the year): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF PERIOD .............. $ 6.20 $ 4.67 $ 6.24 $ 9.04 $ 10.00
----------- ---------- ----------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ....................... 0.00(1) (0.01) 0.00(1) (0.00)1 0.01
Net Realized and Unrealized Gain (Loss) ...... 0.81 1.57 (1.57) (2.79) (0.96)
----------- ---------- ----------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS ............... 0.81 1.56 (1.57) (2.79) (0.95)
----------- ---------- ----------- ---------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income ..... (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1) (0.01)
Distributions from Net Realized Gains ........ (0.21) (0.03) -- -- --
Return of Capital ............................ -- -- -- (0.01) --
----------- ---------- ----------- ---------- ----------
TOTAL DISTRIBUTIONS ............................ (0.21) (0.03) (0.00)(1) (0.01) (0.01)
----------- ---------- ----------- ---------- ----------
NET ASSET VALUE,END OF PERIOD .................... $ 6.80 $ 6.20 $ 4.67 $ 6.24 $ 9.04
=========== ========== =========== ========== ==========
TOTAL RETURN** ................................... 13.41% 33.41% (25.21%) (30.89%) (9.52%)
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Period (000s Omitted) ......... $ 336,673 $ 268,929 $ 75,503 $ 13.923 $ 9,897
Ratios of Expenses to Average Net Assets ......... 0.85% 0.85% 0.86% 0.87% 0.91%+
Ratios of Net Investment Income to Average Net
Assets ......................................... 0.04% (0.19%) 0.03% (0.07%) 0.52%+
Portfolio Turnover Rate .......................... 77% 118% 157% 204% 47%
- ----------
(a) Commenced operations October 31, 2000.
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
+ Annualized.
(1) Amount represents less than ($0.005) per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31 ,2004
68 FINANCIAL HIGHLIGHTS
GLOBAL SECURITIES FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(For a share outstanding throughout the period): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 12/31/2000
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF PERIOD .............. $ 9.72 $ 6.94 $ 8.91 $ 9.96 $ 10.00
----------- ----------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ....................... 0.06 0.05 0.04 0.04 0.03
Net Realized and Unrealized Gain (Loss) ...... 1.73 2.80 (1.98) (1.06) (0.04)
----------- ----------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS ............... 1.79 2.85 (1.94) (1.02) (0.01)
----------- ----------- ---------- ---------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income ..... (0.02) (0.07) (0.03) (0.03) (0.03)
Return of Capital ............................ -- -- -- (0.00)1 --
----------- ----------- ---------- ---------- ----------
TOTAL DISTRIBUTIONS ............................ (0.02) (0.07) (0.03) (0.03) (0.03)
----------- ----------- ---------- ---------- ----------
NET ASSET VALUE,END OF PERIOD .................... $ 11.49 $ 9.72 $ 6.94 $ 8.91 $ 9.96
=========== =========== ========== ========== ==========
TOTAL RETURN** ................................... 18.42% 41.24% (21.77%) (10.32%) (0.17%)
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Period (000s Omitted) ......... $ 29,979 $ 18,091 $ 10,174 $ 11,488 $ 10,116
Ratios of Expenses to Average Net Assets ......... 0.96% 0.96% 0.96% 0.97% 1.01%+
Ratios of Net Investment Income to Average Net
Assets ......................................... 0.60% 0.66% 0.55% 0.45% 1.57%+
Portfolio Turnover Rate .......................... 18% 35% 37% 38% 3%
INTERNATIONAL STOCK FUND
--------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED INCEPTION(a)
(For a share outstanding throughout the period): 12/31/2004 12/31/2003 12/31/2002 12/31/2001 T0
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE,BEGINNING OF PERIOD ............... $ 9.54 $ 7.19 $ 7.89 $ 9.73 $ 10.00
---------- ----------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* ........................ 0.12 0.11 0.09 0.07 0.01
Net Realized and Unrealized Gain (Loss) ....... 1.84 2.30 (0.72) (1.86) (0.27)
---------- ----------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS ................ 1.96 2.41 (0.63) (1.79) (0.26)
---------- ----------- ---------- ---------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income ...... (0.14) (0.05) (0.07) (0.01) (0.01)
Return of Capital ............................. -- (0.01) -- (0.04) --
---------- ----------- ---------- ---------- ----------
TOTAL DISTRIBUTIONS ............................. (0.14) (0.06) (0.07) (0.05) (0.01)
---------- ----------- ---------- ---------- ----------
NET ASSET VALUE,END OF PERIOD ..................... $ 11.36 $ 9.54 $ 7.19 $ 7.89 $ 9.73
========== =========== ========== ========== ==========
TOTAL RETURN** .................................... 20.48% 33.61% (7.98%) (18.46%) (2.58%)
RATIO/SUPPLEMENTAL DATA:
Net Assets, End of Period (000s Omitted) .......... $ 78,477 $ 56,606 $ 19,959 $ 18,977 $ 19,828
Ratios of Expenses to Average Net Assets .......... 1.21% 1.21% 1.21% 1.22% 1.26%+
Ratios of Net Investment Income to Average Net
Assets .......................................... 1.16% 1.38% 1.15% 0.78% 0.54%+
Portfolio Turnover Rate ........................... 46% 33% 38% 47% 3%
- ----------
(a) Commenced operations October 31, 2000.
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than
one year.
+ Annualized.
(1) Amount represents less than ($0.005) per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2004
NOTES TO FINANCIAL STATMENTS 69
(1) DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The
Fund is a series fund with ten investment portfolios (the "funds"), each
with different investment objectives and policies. The Declaration of
Trust permits the Trustees to issue an unlimited number of full and
fractional shares of the Trust without par value. As of the date of this
report, the Trustees have authorized the issuance of two classes of shares
of the funds designated as Class Z and Class C. Class Z Shares are offered
to all insurance company separate accounts issued by, and all qualified
retirement plans sponsored by, CUNA Mutual Life Insurance Company or its
affiliates ("CUNA Mutual Life"). All outstanding Class Z Shares are held
by CUNA Mutual Life. Class C Shares are offered to separate accounts of
insurance companies other than CUNA Mutual Life, and to qualified
retirement plans of companies not affiliated with the Fund or CUNA Mutual
Life. Both classes of shares are identical in all respects except that:
Class C Shares may be subject to a distribution fee (note 3); each class
will have exclusive voting rights with respect to matters that affect just
that class; and each class will bear a different name or designation. Fund
shares are sold and redeemed at a price equal to the shares' net asset
value. The assets of each fund are held separate from the assets of the
other funds. All income earned and expenses incurred by the Fund are borne
on a pro-rata basis by each outstanding share of each class based on the
daily net asset value of shares of that class. The Fund has entered into
an investment advisory agreement with MEMBERS Capital Advisors, Inc. (the
"Investment Advisor"), an affiliated company. The Investment Advisor has
entered into subadvisory agreements with certain subadvisors
("Subadvisors") for the management of the investments in the High Income
Fund, Multi-Cap Growth Stock Fund, Global Securities Fund, International
Stock Fund and a portion of the Mid-Cap Stock Fund. As of December 31,
2004, no Class C Shares have been issued.
(2) SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported
amounts of income and expenses during the reporting period. Actual results
could differ from those estimates. The following is a summary of
significant accounting policies consistently followed by each fund in the
preparation of its financial statements.
Portfolio Valuation
Securities and other investments are valued as follows: Equity securities
listed on any U.S. or foreign stock exchange or quoted on the National
Association of Securities Dealers Automated quotation System ("NASDAQ")
are valued at the last quoted sale price or official closing price on that
exchange or NASDAQ on the valuation day (provided that, for securities
traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price). If
no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are
valued at the mean between the closing bid and closing asked prices and
(b) equity securities traded on a foreign exchange are valued at the
official bid price. Debt securities purchased with a remaining maturity of
61 days or more are valued by a pricing service selected by the Fund or on
the basis of dealer-supplied quotations. Short-term instruments having
maturities of 60 days or less and all securities in the Money Market Fund
are valued on an amortized cost basis.
Over-the-counter securities not quoted on NASDAQ are valued at the last
sale price on the valuation day. If no sale occurs on the valuation day,
an over-the-counter security is valued at the mean between the last bid
and asked prices. Over-the-counter options are valued based upon prices
provided by market makers in such securities or dealers in such
currencies. Financial futures contracts generally are valued at the
settlement price established by the exchange on which the contracts are
primarily traded. The Fund's Securities Valuation Committee shall estimate
the fair value of futures positions affected by the daily limit by using
its valuation procedures for determining fair value, when necessary.
Forward foreign currency exchange contracts are valued based on quotations
supplied by dealers in such contracts.
The value of all assets and liabilities denominated 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 the Investment
Advisor's opinion, reflect the current market value are appraised at their
fair values as determined in good faith by the Investment Advisor and
under the general supervision of the Board of Trustees.
ANNUAL REPORT DECEMBER 31, 2004
70 NOTES TO FINANCIAL STATMENTS (CONTINUED)
A fund's investments will be valued at fair value if in the judgment of
the Investment Advisor an event impacting the value of an investment
occurred between the closing time of a security's primary market or
exchange (for example, a foreign exchange or market) and the time the
fund's share price is calculated. Significant events may include, but are
not limited to the following: (1) significant fluctuations in domestic
markets, foreign markets or foreign currencies; (2) occurrences not
directly tied to the securities markets such as natural disasters, armed
conflicts or significant government actions; and (3) major announcements
affecting a single issuer or an entire market or market sector. In
responding to a significant event, the Security and Valuation Committee
would determine the fair value of affected securities considering factors
including, but not limited to: index options and futures traded subsequent
to the close: ADRs, GDRs or other related receipts; currency spot or
forward markets that trade after pricing or foreign exchange; other
derivative securities traded after the close such as WEBs and SPDRs; and
alternative market quotes on the affected securities.
Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Net
realized gains or losses on sales are determined by the identified cost
method which is the same method used for federal income tax purposes.
Interest income is recorded on the accrual basis. Dividend income is
recorded on ex-dividend date. Amortization and accretion is recorded on
the effective yield method.
Federal Income Taxes
It is each fund's intention to qualify as a regulated investment company
for federal income tax purposes by complying with Subchapter M of the
Internal Revenue Code of 1986, as amended. Accordingly, no provisions for
federal income taxes are recorded in the accompanying financial
statements.
Expenses
Expenses that are directly related to one fund are charged directly to
that fund. Generally, other operating expenses are prorated to the funds
on the basis of relative net assets. Class specific expenses are borne by
that class.
Repurchase Agreements
Each fund may engage in repurchase agreements. In a repurchase agreement,
a security is purchased for a relatively short period (usually not more
than 7 days) subject to the obligation to sell it back to the issuer at a
fixed time and price plus accrued interest. The funds will enter into
repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities.
The Fund has established procedures providing that the securities serving
as collateral for each repurchase agreement must be delivered to the
Fund's custodian and that the collateral must be marked to market daily to
ensure that the repurchase agreements are fully collateralized at all
times. In the event of bankruptcy or other default by a seller of a
repurchase agreement, a fund could experience delays in liquidating the
underlying securities during the period in which the fund seeks to enforce
its rights thereto, subnormal levels of income, declines in value of the
underlying securities, lack of access to income during this period and the
additional costs related to enforcing it rights.
Foreign Currency Transactions
The books and records are maintained in U.S. dollars. Foreign currency
denominated transactions (i.e. market value of investment securities,
assets and liabilities, purchases and sales of investment securities, and
income and expenses) are translated into U.S. dollars at the current rate
of exchange on the date of such transactions.
The funds report certain foreign currency-related transactions as
components of realized gains or losses for financial reporting purposes,
whereas such components are treated as ordinary income for federal income
tax purposes.
The funds do not isolate the portion of gains and losses on investments in
equity securities that are due to changes in the foreign exchange rates
from that which are due to changes in market prices of securities. Such
amounts are categorized as gain or loss on investments for financial
reporting purposes.
ANNUAL REPORT DECEMBER 31, 2004
NOTES TO FINANCIAL STATEMENTS (CONTINUED) 71
Forward Foreign Currency Exchange Contracts
The High Income, Mid-Cap Stock, Multi-Cap Growth Stock, Global Securities
and International Stock Funds may each purchase or sell forward foreign
currency exchange contracts for defensive or hedging purposes when the
funds' Investment Advisor anticipates that the foreign currency will
appreciate or depreciate in value. When entering into forward foreign
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. The funds' net assets, reflect
unrealized gains or losses on the contracts as measured by the difference
between the forward foreign currency exchange rates at the dates of entry
into the contracts and the forward rates at the reporting date. The funds
realize a gain or a loss at the time the forward currency exchange
contracts are settled or closed out with an offsetting contract. Realized
and unrealized gains and losses are included in the Statements of
Operations. At December 31, 2004, only the High Income Fund had open
forward foreign currency exchange contracts, which are presented in the
fund's Portfolio of Investments.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash
or liquid high grade debt securities in a segregated account with the
fund's custodian in an amount equal to the value of the fund's total
assets committed to the consummation of the forward contract. If the value
of the securities in the segregated account declines, additional cash or
securities will be placed in the segregated account so that the value of
the account will equal the amount of the fund's commitment with respect to
the contract.
Futures Contracts
The funds (other than Money Market) may purchase and sell futures
contracts and purchase and write options on futures contracts. The funds
will engage in futures contracts or related options transactions to hedge
certain market positions. 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 futures contract. When a fund enters
into a futures contract, the fund segregates 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 change in the value of the
futures contracts. Should market conditions move unexpectedly, the fund
may not achieve the anticipated benefits of the futures contracts and may
realize a loss.
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 December 31, 2004, the High Income Fund entered into such
transactions, the market value of which is 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. Differences
primarily relate to the tax treatment of net operating losses, paydown
gains and losses, foreign currency gains and losses, and distributions
from real estate investment trusts.
(3) ADVISORY AND TRUSTEE ARRANGEMENTS
The Fund has entered into a Management Agreement with the Investment
Advisor, whereby the Investment Advisor provides or has arranged to
provide directly or through third parties, investment advisory, custody,
transfer agency, dividend disbursing, legal, accounting, and
administrative services to the funds. For such services, 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: .45% for Money Market, .55% for Bond, .75% for High
Income, .70% for Balanced, .60% for Growth and Income Stock, .80% for
Capital Appreciation Stock, 1.00% for Mid-Cap Stock, .85% for Multi-Cap
Growth Stock, .95% for Global Securities and 1.20% for International
Stock.
ANNUAL REPORT DECEMBER 31, 2004
72 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
In addition to the Management fee, the Fund is responsible for fees of the
disinterested trustees, brokerage commissions and other expenses incurred
in connection with the acquisition or disposition of investments, costs of
borrowing money, expenses for independent audits, taxes, and extraordinary
expenses as approved by a majority of the disinterested trustees.
The Investment Advisor is solely responsible for the payment of all fees
to the subadvisors. The subadvisors for the Fund are Massachusetts
Financial Services ("MFS") for the High Income Fund, Wellington Management
Company LLP for a portion of the Mid-Cap Stock Fund and the entire
Multi-Cap Growth Stock Fund, Oppenheimer Funds, Inc. for the Global
Securities Fund and Lazard Asset Management for the International Stock
Fund.
In December 2004, the Investment Advisor notified MFS that it was
terminating MFS as the subadvisor of the High Income Fund effective
February 28, 2005. Subsequent to December 31, 2004, the Investment Advisor
reached an agreement with Shenkman Capital Management, Inc. to subadvise
the High Income Fund effective February 28, 2005. The Board of Trustees
approved the subadvisory contract at its February 22, 2005 meeting.
Certain officers and trustees of the Fund are also officers of the
Investment Advisor. The Fund does not compensate its officers or
affiliated trustees. Unaffiliated trustees receive from the Fund an
attendance fee for each Board or committee meeting attended, with
additional remuneration paid to the "lead" trustee and audit committee
chair.
Distribution Plan
All shares are distributed through CUNA Brokerage Service, Inc. ("CBSI"),
an affiliated company, or other registered brokerdealers authorized by
CBSI. Class C Shares, if issued, may also be subject to an asset-based
distribution fee pursuant to Rule 12b-1 under the 1940 Act, equal to not
more than 0.25%, on an annual basis, of the average value of the daily net
assets of each series of the Fund attributable to Class C Shares on an
annual basis. There were no 12b-1 fees paid for the year ended December
31, 2004.
(4) DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to the Money Market Fund, dividends from net investment
income and net realized gains are declared and reinvested daily in
additional full and fractional shares of the Money Market Fund. The Bond
Fund, High Income Fund, Balanced Fund, Growth and Income Stock Fund,
Capital Appreciation Stock Fund, Mid-Cap Stock Fund, Multi-Cap Growth
Stock Fund, Global Securities Fund and the International Stock Funds
declare and reinvest dividends from net investment income annually in
additional full and fractional shares of the respective funds.
Distributions from net realized gains from investment transactions, if
any, are distributed and reinvested at least annually.
Income and capital gain distributions, if any, are determined in
accordance with federal income tax regulations, which may differ from
accounting principles generally accepted in the United States of America.
Taxable distributions from income and realized capital gains in the funds
may differ from book amounts earned during the period due to differences
in the timing of capital gains recognition, and due to the
reclassification of certain gains or losses from capital to income.
(5) SECURITIES TRANSACTIONS
For the year ended December 31, 2004, aggregate cost of purchases and
proceeds from sales of securities, other than short-term investments, were
as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ----- --------- -----
Bond $289,151,807 $294,800,045 $ 78,007,137 $ 65,211,214
High Income 707,017 652,793 76,310,052 52,494,690
Balanced 169,999,185 185,505,858 124,624,572 84,695,167
Growth and Income Stock -- -- 186,277,459 164,264,086
Capital Appreciation Stock -- -- 190,779,713 165,706,150
Mid-Cap Stock -- -- 77,456,702 45,238,693
Multi-Cap Growth Stock -- -- 246,829,805 222,309,877
Global Securities -- -- 11,033,078 4,014,787
International Stock -- -- 38,923,108 29,970,904
ANNUAL REPORT DECEMBER 31, 2004
Notes to Financial STATEMENTS (continued) 73
(6) FOREIGN SECURITIES
Each fund may invest in foreign securities. Foreign securities means
securities that are: (1) issued by companies organized outside the U.S. or
whose principal operations are outside the U.S., (2) issued by foreign
governments or their agencies or instrumentalities, (3) principally traded
outside the U.S., or (4) quoted or denominated in a foreign currency.
Foreign securities include ADRs, EDRs, GDRs, SDRs and foreign money market
securities.
(7) RESTRICTED SECURITIES
Each fund may invest in restriced securities. A restricted security is one
that is originally issued in a private placement rather than a public
offering and has a contractual restriction on resale or cannot be resold
publicly until it is registered under the Securities Act of 1933. If and
when such securities are registered, the costs of registering such
securities are paid by the issuer. For the year ended December 31, 2004,
only the Global Securities Fund held a restricted security which is
presented in the fund's Portfolio of Investments. The acquisition date,
the enforceable right to acquire the security, along with the original
cost and fair market value of the restricted security is as follows:
ACQUISITION RIGHT TO ACQUISITION VALUE AS A %
SECURITY NAME DATE ACQUIRE DATE COST FAIR VALUE OF NET ASSETS
- ------------- ----------- ------------ ----------- ---------- -------------
Nektar Therapeutics 3/25/04 3/25/04 $23,299 $35,655 0.12%
(8) SECURITIES LENDING
The funds, excluding the Money Market Fund, entered into a Securities
Lending Agreement (the "Agreement") with State Street Bank and Trust
Company ("State Street"). Under the terms of the Agreement, the funds may
lend portfolio securities to qualified borrowers in order to earn
additional income. The Agreement requires that loans are collateralized at
all times by cash or other liquid assets at least equal to the value of
the securities loaned, which is determined on a daily basis. At December
31, 2004, cash collateral received for funds engaged in securities lending
was invested in the State Street Navigator Securities Lending Prime
Portfolio. The value of all collateral is included within the Portfolio of
Investments with an offsetting liability, payable upon return of
securities loaned, reflected 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 December 31, 2004 is as follows:
VALUE OF SECURITIES ON LOAN
---------------------------
Bond $100,501,510
High Income 25,039,060
Balanced 88,456,509
Growth and Income Stock 29,960,477
Capital Appreciation Stock 9,366,433
Mid-Cap Stock 17,154,700
Multi-Cap Growth Stock 21,001,226
Global Securities 621,577
The primary risk associated with securities lending is if the borrower
defaults on its obligation to return the securities loaned because of
insolvency or other reasons, the funds could experience delays and costs
in recovering securities loaned or in gaining access to the collateral.
ANNUAL REPORT DECEMBER 31, 2004
74 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(9) TAX INFORMATION
The tax character of distributions paid during the years ended December
31, 2004 and 2003 was as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAINS RETURN OF CAPITAL
--------------- ----------------------- -----------------
2004 2003 2004 2003 2004 2003
---- ---- ---- ---- ---- ----
Money Market $ 1,221, 371 $ 1,223,924 $ -- $ -- $ -- $ --
Bond 22,943,666 25,129,017 -- -- -- --
High Income 7,039,140 3,458,320 -- -- -- --
Balanced 17,712,402 16,928,073 -- -- -- --
Growth and Income Stock 18,038,982 14,295,267 -- -- -- --
Capital Appreciation Stock 4,762,955 2,924,425 -- -- -- --
Mid-Cap Stock 1,964,713 646,523 3,150,100 -- -- --
Multi-Cap Growth Stock 2,802,726 1,399 7,298,167 1,140,200 -- --
Global Securities 60,400 130,406 -- -- -- --
International Stock 935,800 197,210 -- -- -- 16,790
As of December 31, 2004, the components of disributable earnings on a tax basis
were as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAINS
--------------- -----------------------
Money Market $ - $ --
Bond 790,781 --
High Income 96,568 --
Balanced 599,881 --
Growth and Income Stock 548,037 --
Capital Appreciation Stock 522,853 --
Mid-Cap Stock 209,629 1,066,265
Multi-Cap Growth Stock 50,586 12,218,794
Global Securities 76,416 --
International Stock 106,222 54,322
For federal income taxes purposes, the funds li sted below have capital loss
carryovers as of December 31, 2004, which are available to offset future capital
gains, if any:
CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER
--------- --------- --------- --------- --------- ---------
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING
-------- -------- -------- -------- -------- --------
IN 2007 IN 2008 IN 2009 IN 2010 IN 2011 IN 2012
------- ------- ------- ------- ------- -------
Bond $ 235,991 $ 7,557,224 $ -- $ 1,857,702 $ 104,606 $ 1,560,242
High Income -- -- -- 127,582 -- --
Balanced -- -- -- 21,278,107 16,833,887 --
Growth & Income Stock -- -- -- 24,906,870 24,200,773 918,038
Capital Appreciation Stock -- -- -- 79,527,803 58,744,910 --
Global Securities -- -- -- 784,918 -- --
After October 31, 2004, the following funds had currency losses in the following
amounts:
POST-OCTOBER CURRENCY LOSSES
----------------------------
High Income $ 87,498
International Stock 11,272
For income tax purposes, these amounts are deferred and deemed to have occurred
in the next fiscal year.
ANNUAL REPORT DECEMBER 31, 2004
Notes to Financial STATEMENTS (continued) 75
At December 31, 2004, 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:
APPRECIATION DEPRECIATION NET
------------ ------------ ------------
Bond $ 10,815,675 $ 2,690,780 $ 8,124,895
High Income 5,446,586 385,260 5,061,326
Balanced 131,924,131 17,534,303 114,389,828
Growth and Income Stock 257,565,907 30,309,968 227,255,939
Capital Appreciation Stock 144,942,950 26,099,077 118,843,873
Mid-Cap Stock 49,560,748 5,615,077 43,945,671
Multi-Cap Growth Stock 63,840,475 4,724,064 59,116,411
Global Securities 6,255,230 296,485 5,958,745
International Stock 16,944,412 425,612 16,518,800
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
(10) CONCENTRATION OF RISK
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 illiquid secondary market
for the instruments or inability of counterparties to perform under the
terms of the contracts, changes in the value of foreign currency relative
to the U.S. dollar and financial statement volatility resulting from an
imperfect correlation between the movements in the prices of the
instruments and the prices of the underlying securities and interest rates
being hedged. The High Income Fund, Multi-Cap Growth Stock Fund,
International Stock Fund, and the Global Securities Fund enter into these
contracts primarily to protect these Funds from adverse currency
movements.
Investing in foreign securities involves certain risks not necessarily
found in U.S. markets. These include risks associated with adverse changes
on economic, political, regulatory and other conditions, changes in
currency exchange rates, exchange control regulations, expropriation of
assets or nationalization, imposition of withholding taxes on dividend or
interest payments or capital gains, and possible difficulty in obtaining
and enforcing judgments against foreign entities. Further, issuers of
foreign securities are subject to different, and often less comprehensive,
accounting, reporting and disclosure requirements than domestic issuers.
The High Income Fund invests in securities offering high current income
which generally will be in the lower rating categories of recognized
ratings agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories.
In addition, the trading market for high yield securities may be
relatively less liquid than the market for higher-rated securities. The
fund generally invests at least 80% of its assets in high yield
securities.
ANNUAL REPORT DECEMBER 31, 2004
76 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
of Ultra Series Fund:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments of Ultra Series Fund, including
Money Market Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and
Income Stock Fund, Capital Appreciation Stock Fund, Mid-Cap Stock Fund,
Multi-Cap Growth Stock Fund, Global Securities Fund, and International
Stock Fund (collectively, the "Funds"), as of December 31, 2004, the
related statements of operations, statements of changes in net assets and
the financial highlights for the year then ended. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The Funds'
financial statements and financial highlights for the periods ended prior
to December 31, 2004 were audited by other auditors whose report, dated
February 13, 2004, expressed an unqualified opinion on those statements
and highlights.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audits to obtain reasonable assurance
about whether the financial statements and financial highlights are free
of material misstatement. An audit includes consideration of internal
control over financial reporting as a basis for designing audit procedures
that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control
over financial reporting. Accordingly, we express no such opinion. An
audit also 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,
as well as evaluating the overall financial statement presentation. Our
procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the Funds' custodian and brokers; where
replies were not received from brokers, we performed other auditing
procedures. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position
of each of the Funds as of December 31, 2004, the results of their
operations, changes in their net assets and the financial highlights for
the year then ended, in conformity with accounting principles generally
accepted in the United States of America.
DELOITTE & TOUCHE LLP
Chicago, Illinois
February 23, 2005
ANNUAL REPORT DECEMBER 31, 2004
OTHER INFORMATION(UNAUDITED) 77
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you incur two types of costs: transaction costs
and ongoing costs, which include management fees; disinterested trustees fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples below are intended to help
you understand your ongoing costs (in dollars) of investing in the funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the
beginning of the period and held for the entire period, July 1, 2004 through
December 31, 2004.
Actual Expenses
The table below provides information about actual account values and actual
expenses for the funds. You may use the information in this table, together with
the amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the table
for the fund you own under the heading entitled "Actual" to estimate the
expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and
hypothetical expenses based on the funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds.
ACTUAL HYPOTHETICAL
-------------------- ------------
EXPENSES EXPENSES
BEGINNING ANNUAL ENDING PAID ENDING PAID
ACCOUNT EXPENSE ACCOUNT DURING ACCOUNT DURING
FUND VALUE RATIO VALUE PERIOD* VALUE PERIOD*
- ---- ----- ----- ----- ------- ----- -------
Money Market $ 1,000 0.45% $ 1,006.00 $ 2.27 $1,022.87 $ 2.29
Bond 1,000 0.55 1,037.10 2.82 1,022.37 2.80
High Income 1,000 0.76 1,087.00 3.99 1,021.32 3.86
Balanced 1,000 0.70 1,064.20 3.63 1,021.62 3.56
Growth and Income Stock 1,000 0.60 1,095.00 3.16 1,022.12 3.05
Capital Appreciation Stock 1,000 0.80 1,065.30 4.15 1,021.11 4.06
Mid-Cap Stock 1,000 1.00 1,083.20 5.24 1,020.11 5.08
Multi-Cap Growth 1,000 0.85 1,035.20 4.35 1,020.86 4.32
Global Securities 1,000 0.97 1,146.00 5.23 1,020.26 4.93
International Stock 1,000 1.21 1,171.80 6.61 1,019.05 6.14
*Expenses are equal to the fund' s annualized expense ratio, multiplied by the
average account value over the period, multiplied by number of days in most
recent fiscal half-year (184) divided by 366 to reflect the one-half year
period.
PLEASE NOTE THAT THE EXPENSES SHOWN IN THE TABLE ARE MEANT TO HIGHLIGHT YOUR
ONGOING COSTS ONLY AND DO NOT REFLECT ANY SEPARATE ACCOUNT FEES, CHARGES, OR
EXPENSES IMPOSED BY THE VARIABLE ANNUITY AND LIFE INSURANCE CONTRACTS THAT USE
THE FUNDS. Therefore, the information provided in the hypothetical example table
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
ANNUAL REPORT DECEMBER 31, 2004
78 OTHER INFORMATION(UNAUDITED)(CONTINUED)
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES. The Fund files its complete
schedule of portfolio holdings with the SEC for the first and third quarters of
each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost
on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at
the Commission's Public Reference Room in Washington, D.C. More information on
the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
PROXY VOTING POLICIES AND PROCEDURES. A description of the policies and
procedures used by Ultra Series Fund to vote proxies related to portfolio
securities is available to shareholders at no cost on the SEC's website at
www.sec.gov or by calling CUNA Mutual Life Insurance Company at 1-800-798-5500.
PROXY VOTING RECORDS. Form N-PX, containing the proxy voting records for the
Funds for the twelve-month period ended June 30, 2004 are available to
shareholders at no cost on the SEC's website at www.sec.gov.
CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
On June 8, 2004, PricewaterhouseCoopers LLP resigned as independent registered
public accountants for the Ultra Series Fund. The Fund's Board of Trustees, upon
the recommendation of the audit committee, appointed Deloitte & Touche LLP as
the independent registered public accounting firm for the Fund on August 26,
2004, for the 2004 fiscal year. The reports of PricewaterhouseCoopers LLP on the
Fund's financial statements for either of the fiscal years ended December 31,
2003 and December 31, 2002, contained no adverse opinion or disclaimer of
opinion and were not qualified or modified as to uncertainty, audit scope or
accounting principle. During the Fund's fiscal years ended December 31, 2003 and
December 31, 2002, and during the period from December 31, 2003 through June 8,
2004 there have been no disagreements with PricewaterhouseCoopers LLP on any
matter of accounting principles or practices, financial statement disclosure, or
auditing scope or procedure which, if not resolved to the satisfaction of
PricewaterhouseCoopers LLP, would have caused them to make reference thereto in
their reports on the financial statements for such years.
ANNUAL REPORT DECEMBER 31, 2004
TRUSTEES AND OFFICERS 79
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(2) SHIPS
--------------- ----------- ---------- ---------------------- ---------- ---------
Michael S. Daubs, CFA(3)(4) Trustee and 1997 - CUNA Mutual Insurance Society 19 --
5910 Mineral Point Road Chairman Present Chief Officer - Investments,
Madison, WI 53705 President 1984 - 1990 - Present
Year of Birth: 1943 Present MEMBERS Capital Advisors, Inc.
President,
1982 - Present
CUNA Mutual Life Insurance Company
Chief Officer - Investments,
1973 - Present
Lawrence R. Halverson, CFA(3)(4) Trustee 1997 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Present Senior Vice President - Equities,
Madison, WI 53705 Vice 1988 - 1996 - Present
Year of Birth: 1945 President Present
Mary E. Hoffmann, CPA(3) Treasurer 1999 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Present Assistant Vice President - Finance and
Madison, WI 53705 Operations,
Year of Birth: 1970 2001 - Present
Product Operations and Finance
Manager,
1998 - 2001
Holly S. Baggot(3) Secretary 2003 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road and Present Senior Manager - Product and Fund
Madison, WI 53705 Assistant Operations, 2001 - Present
Year of Birth: 1960 Treasurer
Operations & Administration Manager,
1998 - 2001
Dan Owens(3) Assistant 2001 - MEMBERS Capital Advisors, Inc. 19 --
5910 Mineral Point Road Treasurer Present Senior Manager - Portfolio Operations,
Madison, WI 53705 2001 - Present
Year of Birth: 1966
Investment Operations Manager,
1999 - 2001
(1) At its August 2003 meeting, the Board of Trustees of the Trust adopted term
limitations authorizing each of the Trust's trustees to serve in such
capacity until the first to occur of such Trustee (1) serving one
twelve-year term as Trustee, or (2) reaching the age of 72; provided
however, that no Disinterested Trustee serving on the Trust's Board on the
date of adoption of such term limitations is required to resign pursuant to
such the adoption of such limitations prior to September 30, 2004.
(2) The Fund Complex consists of the Trust, with 10 portfolios, and MEMBERS
Mutual Funds, with 9 portfolios.
(3) "Interested person" as defined in the 1940 Act.
(4) Considered an "interested" trustee because of the position held with the
investment advisor of the Trust.
ANNUAL REPORT DECEMBER 31, 2004
80 Trustees and Offers(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(2) SHIPS
- ---------------- ----------- ---------- ---------------------- ---------- ---------
Rolf F. Bjelland, CLU Trustee 2003 - Fairview Medical Foundation 19 Regis
2000 Heritage Way Present Director, 2003 - Present Corp.,
Waverly, IA 50677 Director,
Year of Birth: 1938 A.L.S. Society 1982 -
Board Member, 2002 - Present Present
Viking Counsel Boy Scouts of America
Director, 1967 - Present
Lutheran Brotherhood Mutual Funds
Chairman and President
Lutheran Brotherhood
Chief Investment Officer,
Chairman and President
(now Thrivent Financial)
1983 - 2002
Gwendolyn M. Boeke Trustee 1988 - Wartburg Theological Seminary 19 --
2000 Heritage Way Present Development Association,
Waverly, IA 50677 Development Associate,
Year of Birth: 1934 1997 - 2003
Evangelical Lutheran Church in America
Foundation
Regional Director, 1990 - 2000
Wartburg College
Director, 1986 - 2001
Alfred L. Disrud Trustee 1987 - Planned Giving Services 19 --
2000 Heritage Way Present Owner,
Waverly, IA 50677 1986 - Present
Year of Birth: 1921
Richard E. Struthers Trustee 2004 - Clearwater Capital Management 19 --
2000 Heritage Way Present Chairman and Chief Executive Officer,
Waverly, IA 50677 1998 - Present
Year of Birth: 1952
(1) At its August 2003 meeting, the Board of Trustees of the Trust adopted term
limitations authorizing each of the Trust's trustees to serve in such
capacity until the first to occur of such Trustee (1) serving one
twelve-year term as Trustee, or (2) reaching the age of 72; provided
however, that no Disinterested Trustee serving on the Trust's Board on the
date of adoption of such term limitations is required to resign pursuant to
such the adoption of such limitations prior to September 30, 2004.
(2) The Fund Complex consists of the Trust, with 10 portfolios, and MEMBERS
Mutual Funds, with 9 portfolios.
ADDITIONAL INFORMATION ABOUT FUND DIRECTORS. The Statement of Additional
Information (SAI) which includes additional information about the Fund's
directors is available to shareholders at no cost on the SEC's website at
www.sec.gov or by calling CUNA Mutual Life Insurance Company at 1-800-798-5500.
ANNUAL REPORT DECEMBER 31, 2004
ITEM 2. CODE OF ETHICS.
As of the period ended December 31, 2004, Ultra Series Fund (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. A copy of the code of ethics is filed as an exhibit
to this Form N-CSR.
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 year ended December 31, 2004, the aggregate fees for
professional services rendered by Deloitte & Touche LLP ("Deloitte &
Touche"), the Trust's independent registered public accounting firm, 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 $105,000.
For the fiscal year ended December 31, 2003, the aggregate fees for
professional services rendered by PricewaterhouseCoopers LLP ("PwC"), the
Trust's independent registered public accounting firm, 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 for such fiscal years, totaled $94,055, respectively.
(b) Audit Related Fees
For the fiscal year ended December 31, 2004 and December 31, 2003, there
were no fees billed for professional services rendered by Deloitte &
Touche and 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.
(c) Tax Fees
For the fiscal year ended December 31, 2004, the aggregate fees to be
billed for professional services rendered by Deloitte and Touche for tax
compliance, tax advice and tax planning totals $2,400, 100% of which was
pre-approved by the Audit Committee.
For the fiscal year ended October 31, 2003, the aggregate fees for
professional services rendered by PwC for tax compliance, tax advice and
tax planning, totaled $6,500, 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: review excise tax calculations and
related distributions for the International Stock, High Income, Global
Securities, and Multi-Cap Growth Stock Funds.
(d) All Other Fees
For the fiscal year ended December 31, 2004 and December 31, 2003, there
were no fees billed for professional services rendered by Deloitte &
Touche and PwC for products and services other than those reported in
subparagraphs (a) through (c) of this Item 4.
(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 year ended December 31, 2004 and December 31,
2003, there were no non-audit fees billed by Deloitte & Touche and PwC,
respectively, for services rendered to the Trust, 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.
(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 Deloitte & Touche's
independence.
ITEMS 5.
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 Richard
Struthers.
ITEMS 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Each of the Trust's President and Treasurer has concluded, upon
conducting an evaluation of the Trust's disclosure controls and
procedures ("DCPs"), as such term is defined in Rule 30a-2(c) under
the Act, which such evaluation was made as of a date (the
"Evaluation Date") within 90 days of the filing of this Report on
Form N-CSR, that the Trust's DCPs are sufficiently effective as of
the Evaluation Date so as to ensure that material information
relating to the Trust is made known to us by others within the
Trust, particularly during the period in which this report on Form
N-CSR was prepared.
(b) There have been no significant changes in the Trust's internal
controls or in other factors that could significantly affect those
controls subsequent to the Evaluation Date. In addition, there have
been no corrective actions undertaken with respect to the Trust with
regard to significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Certifications of the President and Treasurer of the registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
ULTRA SERIES FUND
BY: /s/Michael S. Daubs
-------------------
Michael S. Daubs
President
Date: February 24, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
BY: /s/Michael S. Daubs
-------------------
Michael S. Daubs
President, Ultra Series Fund
Date: February 24, 2005
BY: /s/Mary E. Hoffmann
-------------------
Mary E. Hoffmann
Treasurer, Ultra Series Fund
DATE: February 24, 2005
EXHIBIT INDEX
Exhibit 99 - Code of Ethics
Exhibit 99.Cert - Certification of Michael S. Daubs, President, Ultra Series
Fund
Exhibit 99.Cert - Certification of Mary E. Hoffmann, Treasurer, Ultra Series
Fund
Exhibit 99.906 Cert - Form of Section 906 Certification