As filed with the Securities and Exchange Commission on December 29, 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
MEMBERS Mutual Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Steve Suleski
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. 20004-2404
------------------------------
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 (the "1940 Act") appears beginning on the
following page.
2
MEMBERS(R) MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2005
CASH RESERVES FUND
BOND FUND
HIGH INCOME FUND
BALANCED FUND
GROWTH AND INCOME FUND
CAPITAL APPRECIATION FUND
MID-CAP FUND
MULTI-CAP GROWTH FUND
INTERNATIONAL STOCK FUND
[MEMBERS LOGO]
LETTER TO SHAREHOLDERS
[PHOTO OF LAWRENCE R. HALVERSON]
Dear Fellow Shareholder:
The twelve month period ended October 31, 2005 was probably more rewarding for
most investors than they realize based on the level of comfort and confidence
they felt as the year progressed. Domestic stocks as represented by the Standard
& Poor's 500 returned 8.72% over this 12-month period. International stocks'
returns were more than double that rate at 18.59% for the Morgan Stanley Europe,
Australasia and Far East Index.
U. S. (and international) bond market returns were more modest, but were broadly
positive in spite of the Federal Reserve Board's relentless raising of
short-term interest rates to counter anticipated increases in inflation rates
and perhaps to dampen rapidly rising home prices in some areas of the country.
MEMBERS(R) Mutual Funds investors shared in these generally favorable markets,
realizing positive returns for the year from all of the nine funds, and double
digit returns from three of the nine: 10.97% for Multi-Cap Growth, 13.95% for
Mid-Cap, and 20.81% for International Stock (Class A shares at net asset value).
The attached Annual Report contains descriptions of each fund's activities and
returns for the year and longer periods.
The factors that propelled stocks higher this past year - led by strong earnings
gains in most sectors of the economy - are generally expected to dissipate
somewhat in the months ahead. Corporate profitability growth is being
constrained by the high costs of energy and increasing labor costs, as well as
the pricing pressures of intense global competition. Continuing increases in
short-term interest rates should also increase corporate costs, and could
finally begin to push longer-term interest rates higher.
Long-term investors sometimes become overly cautious in this kind of
environment, believing that slower profit growth and rising interest rates
mandate the liquidation of stocks and bonds and increased allocations to
short-term investments. Investors with near-term investment horizons can and
probably should be moving some of their investments in this direction of greater
safety and reduced price risk.
Investors with time horizons of ten years or more, however, rarely benefit from
such attempts to protect their asset values in times of increasing concerns. In
fact, it is often just such times that increased allocations to quality stocks
and intermediate-term bonds prove to be most beneficial. We see particular value
currently in the stocks and bonds of the larger, more established and proven
issuers, and have been positioning our portfolios accordingly. No investor gets
to know what the future will hold, but we remain confident in the ability of
well-run companies to continue to grow and provide patient investors with
attractive long-term returns.
We appreciate the confidence in us indicated by your investments in MEMBERS
Funds, and remain committed to serving your investment needs to the very best of
our abilities.
Sincerely,
/s/ Lawrence R. Halverson
- ------------------------------------
Lawrence R. Halverson, CFA President
Not part of the Annual Report.
SUMMARY OF U.S. ECONOMIC AND FINANCIAL MARKET CONDITIONS
U.S. ECONOMY
The U.S. economy expanded at a healthy pace in the twelve months ended October
31, 2005, growing above what is believed to be its long-term potential growth
rate of 3.5%. Consumer spending saw a "soft spot" in April caused by a surge in
gasoline prices, but recovered in May and June as renewed discounting by
automakers stimulated demand. Another "soft spot" developed after Hurricane
Katrina, with soaring gasoline prices eating into household budgets.
Manufacturing was strong early in the period, driven by robust corporate capital
spending and export growth, but softened in April and May as companies worked
through an overhang in inventories and capital spending moderated. Manufacturing
also slowed after the disruptions and higher energy prices brought by the Gulf
hurricanes, but economic data in October suggested that activity was rebounding.
The housing market and housing construction made large contributions to economic
growth during the period, although some hints of softening home prices were
evident late in the year.
Inflationary pressures picked up during the period, with higher energy and
commodity prices and the after-effects of the aggressive monetary stimulus that
the U.S. Federal Reserve (the "Fed") applied in 2002-3 leading to a rise in
both wholesale and consumer prices. Improving productivity helped to keep unit
labor costs low, but despite the highly competitive business environment some
companies were able to pass on increases in energy and raw-material prices on to
consumers. Including more volatile food and energy prices, consumer inflation
was well above its historical average during the period. The labor market
continued to stabilize, with a modest but relatively consistent pace of job
creation and a gradually falling unemployment rate.
U.S. STOCKS
U.S. stocks performed well over the period, with the S&P 500 Index rising 8.72%.
Early in the period, equity markets continued a rally that had begun after the
uncertainties surrounding the Presidential election were removed. However,
concerns about inflation, oil prices, and the chance of more aggressive Fed
tightening capped the rally in March, and signs of softness first in consumer
spending and then manufacturing weighed on the minds of market participants.
Shrinking liquidity and money supply exerted downward pressure on stock prices
throughout the period, and took particular effect in March and April, when most
major stock indexes retouched levels last seen before the 2004 election.
Equities began to rise again in late May and into June as conditions improved in
the technology sector and economic uncertainties diminished. The Gulf hurricanes
hurt investor sentiment, but did not sap the strength of the rally, which
resumed in early October. Value out-performed growth, and mid-caps out-performed
both larger and smaller stocks.
U.S. BONDS
U.S. bonds posted positive returns overall, with the Merrill Lynch U.S. Domestic
Master Index returning 1.26%. The Fed increased short-term interest rates eight
times during the period in 25 basis-point increments, taking the benchmark
Federal Funds rate from 1.75% to 3.75%. U.S. Treasury bonds at shorter and
longer durations out-performed intermediate-duration bonds in terms of price as
the yield curve "flattened." Early on in the period, lower-quality investment
grade corporate bonds and high-yield corporate bonds out-performed less-risky
bonds, continuing a long run of superior relative performance. However, the bond
market suffered a series of blows in the spring that hit lower-quality bonds the
hardest: the unexpected downgrade of Ford and GM bonds to "junk" status, the
fears that one or more hedge funds would implode and destabilize the financial
system, and the U.S. Treasury's surprising announcement that it was
reconsidering issuing the 30-year bond. Investment-grade and high-yield
corporate bond spreads are still higher than they were before the Ford/GM
downgrade, but they have come in considerably from the highs they reached during
the crisis. However, concerns about rising inflation, shrinking profit margins
and slower corporate earnings growth have held back returns of both
investment-grade and high-yield corporate bonds.
INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS
Economic growth slowed to a crawl in the euro-zone but remained strong in Asia,
with China continuing to post 9%+ real GDP growth and consumer spending picking
up in Japan and the developing economies of southeast Asia. Weakness in the
euro-zone derived from a number of sources, including falling business and
consumer confidence, a stronger euro hitting exports, and generalized weakness
in the industrial sector due to higher energy and commodity prices. Emerging
economies focused on the export of natural resources such as Brazil performed
well during the period, although hints of cracks in commodity markets midway
through the period caused some unease. Overall, global growth slowed gradually
during the period as higher energy and commodity prices acted as "natural
stabilizers" for a global economy that had been growing at an impressive but
unsustainable pace since the summer of 2003.
Emerging markets stocks continued to out-perform all other major classifications
of stocks during the period. The extended rally in emerging markets stocks may
suggest that market participants are lowering the risk premium that they require
to buy these stocks. Japanese stocks out-performed U.S. stocks in local
currency-denominated terms, but the advantage versus U.S. stocks dwindled in
U.S. dollar-denominated terms as the dollar strengthened against the yen and
euro due to the relative strength of the U.S. economy. The MSCI Emerging Markets
Free Index rose 34.34% during the period, while the MSCI EAFE Index of developed
markets stocks rose 18.59%.
Not part of the Annual Report.
TABLE OF CONTENTS
PAGE
----
FUND PERFORMANCE REVIEWS
Bond Fund .......................................................... 2
High Income Fund ................................................... 4
Balanced Fund ...................................................... 6
Growth and Income Fund ............................................. 8
Capital Appreciation Fund .......................................... 10
Mid-Cap Fund ....................................................... 12
Multi-Cap Growth Fund .............................................. 14
International Stock Fund ........................................... 16
PORTFOLIOS OF INVESTMENTS
Cash Reserves Fund ................................................. 18
Bond Fund .......................................................... 20
High Income Fund ................................................... 26
Balanced Fund ...................................................... 36
Growth and Income Fund ............................................. 43
Capital Appreciation Fund .......................................... 46
Mid-Cap Fund ....................................................... 49
Multi-Cap Growth Fund .............................................. 53
International Stock Fund ........................................... 56
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ............................... 64
Statements of Operations ........................................... 66
Statements of Changes in Net Assets ................................ 68
Financial Highlights ............................................... 72
NOTES TO FINANCIAL STATEMENTS ........................................... 82
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................. 89
OTHER INFORMATION ....................................................... 90
TRUSTEES AND OFFICERS ................................................... 92
NONDEPOSIT INVESTMENT PRODUCTS ARE NOT FEDERALLY INSURED, INVOLVE INVESTMENT
RISK, MAY LOSE VALUE AND ARE NOT OBLIGATIONS OF OR GUARANTEED BY THE CREDIT
UNION. For more complete information about MEMBERS Mutual Funds, including
charges and expenses, request a prospectus from your registered representative
or from MEMBERS Mutual Funds, P.O. Box 8390, Boston, MA 02266-8390. Consider
the investment objectives, risks, and charges and expenses of the investment
carefully before investing. The prospectus contains this and other information
about the investment company. For more current performance information, please
call 1-800-877-6089 or visit our website at www.membersfunds.com. Current
performance may be lower or higher than the performance data quoted within. Past
performance does not guarantee future results.
1
BOND FUND PERFORMANCE REVIEW
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
Under normal circumstances, the fund invests at least 80% of its assets in
bonds. To keep current income relatively stable and to limit share price
volatility, the Bond Fund emphasizes investment grade securities and maintains
an intermediate (typically 3-6 year) average portfolio duration. The fund may
invest in the following instruments:
- - CORPORATE DEBT SECURITIES: securities issued by domestic and foreign
corporations which have a rating within the four highest categories and,
to a limited extent (up to 20% of its assets), in securities not rated
within the four highest categories;
- - U.S. GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by the
U.S. Government or its agencies or instrumentalities;
- - FOREIGN GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by a
foreign government or its agencies or instrumentalities, payable in U.S.
dollars, which have a rating within the four highest categories; and
- - NON-RATED DEBT SECURITIES: securities issued or guaranteed by
corporations, financial institutions, and others 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 MEMBERS Bond Fund returned 0.74% (Class A shares at net asset value) during
the twelve month period ended October 31, 2005, lagging the Merrill Lynch U.S.
Domestic Master Index, which returned 1.26%. Performance was helped by
management's strategic decision to overweight bonds of longer and shorter
maturities. This so-called "barbell" strategy generally contributes to
performance when the yield curve flattens, as it did during the reporting
period, with the spread between 2-Year U.S. Treasury Notes and 10-Year U.S.
Treasury Bonds narrowing from 157 to 18 basis points. Performance was also
helped by an underweight in lower-quality investment-grade BBB and high-yield
bonds, a general underweight and shorter-duration posture in corporate bonds,
and an overweight in asset-backed and commercial mortgage-backed securities
("CMBS"). Performance was hurt by an underweight in mortgage-backed and U.S.
Agency securities.
At the tactical level, performance was helped by security selection in CMBS and
short-term corporate bonds. In the corporate segment of the portfolio,
performance was helped by underweights in the bonds of industrial, auto, and
communications companies, but hurt by overweights in the bonds of paper, energy,
and transportation companies and an underweight in financials. The portfolio's
lack of exposure to the bonds of tobacco companies also detracted from
performance.
We have reduced the "barbelling" of the portfolio, believing that the potential
excess returns of the strategy have diminished. We think that short-term
interest rates will continue to rise gradually in the near-term, however, and
have not abandoned the strategy altogether. Management maintains a generally
cautious stance towards seeking excess return via reaching for yield as spreads
are fairly tight and most sectors of the fixed-income market appear to be fully
or richly valued. We are also concerned about "event risk" in a rising-rate
environment and are monitoring the portfolio's holdings very closely.
MEMBERS Capital Advisors' Fixed Income Portfolio Management Team--Advisor
2
BOND FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01 10/31/01
Class A Shares
(includes maximum
sales charge)(2) 9,525 9.654 10,104 10,252 10,266 10,372 10,768 11,338 12,175
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 9,667 10,086 10,195 10,235 10,372 10,721 11,418 12,225
Merrill Lynch U.S.
Domestic Master Index 10,000 10,219 10,803 10,870 10,840 11,005 11,634 12,350 13,331
04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge)(2) 12,095 12,688 13,174 13,132 13,204 13,717 13,835 13,818
Class B Shares
(includes maximum
applicable CDSC)(3) 12,286 12,852 13,184 13,091 13,214 13,676 13,744 13,675
Merrill Lynch U.S.
Domestic Master Index 13,311 14,129 14,739 14,825 15,012 15,648 15,817 15,845
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth more
or less than when purchased. Indices are unmanaged and investors cannot
invest in them. Index returns do not reflect expenses or sales charges.
The graph above and the table below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Corporate Notes and Bonds 27%
Cash & Other Net Assets 3%
Commercial Mortage Backed 7%
U.S. Government and Agency Obligations 28%
Mortgage Backed 28%
Asset Backed 7%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- -----------
Class A Shares(2) 0.74% 2.89% 5.12% 4.86% -4.07% 1.23% 4.09% 4.21%
Class B Shares(3) -0.01 2.09 4.32 4.07 -4.37 1.00 3.98 4.07
Merrill Lynch U.S. Domestic
Master Index 1.26 3.89 6.37 6.04 -- -- -- --
(2) Maximum Sales Charge is 4.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
3
HIGH INCOME FUND PERFORMANCE REVIEW
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
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund. Shenkman
Capital Management, Inc. ("SCM") is the only subadvisor currently used by
MEMBERS Capital Advisors to manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The High Income Fund invests primarily in lower-rated, higher-yielding income
bearing securities, such as "junk" bonds. Because the performance of these
securities has historically been strongly influenced by economic conditions, the
fund may rotate securities selection by business sector according to the
economic outlook. Under normal market conditions, the fund invests at least 80%
of its assets in bonds rated lower than investment grade (BBB/Baa) and their
unrated equivalents or other high-yielding securities. Types of bonds and other
securities 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.
During the twelve month period ended October 31, 2005, the MEMBERS High Income
Fund returned 2.85% (Class A shares at net asset value), modestly
under-performing the Merrill Lynch U.S. High Yield Master II Index, which
returned 3.92%.
Throughout this reporting period the Fund's lower duration and underweighting of
double-B credits (which tend to be more interest rate sensitive) had an adverse
effect on performance as the yield curve flattened. Performance benefited from
investments in the telecom and media sectors. The Fund also benefited by
avoiding the airline sector and deep discount and lower-quality securities,
which significantly under-performed the overall market.
After rallying in late 2004, the high yield market began 2005 with a small
negative return in January, breaking a streak of seven consecutive months of
positive performance. The market then rallied sharply in February and early
March as spreads broke through 300 basis points, an all time record low.
However, the market then underwent a sharp correction that continued through
early May, as concerns regarding the economy, the uncertain impact of General
Motors' impending entry into the high yield market, rumored hedge fund troubles,
and interest rate volatility resulted in heightened risk aversion. By mid-year,
conditions markedly improved and concerns subsided as encouraging economic news,
the realization of GM's downgrade along with its fairly smooth entry into the
high yield market, and relatively attractive spreads sparked a strong rally that
lasted through early September. The market then struggled through the end of the
period due to weak equity markets and a lack of liquidity.
Currently, there is an uncertain tone to the high yield market due to the
concerns over rising interest rates, energy prices, and a potential slowdown in
GDP growth. We expect the Federal Reserve to continue to raise interest rates at
least through the end of 2005, and that energy prices will subside somewhat from
their recent peak levels. Our expectation is that the pace of 2006 GDP growth
will be somewhat lower than in 2005, possibly in the range of 2.5% to 3.0%. We
believe default rates over the next year should continue to be well below the
historical average. We expect the high yield market to trade within a narrow
range of 400 to 425 basis points over U.S. Treasury bonds over the next several
quarters, which should enable the high yield market to out-perform other
fixed-income sectors over the intermediate term. The Fund maintained its bias
towards higher quality credits, with an average rating of B2/B and average price
of $101.56 at the end of October. The Fund also remained well-diversified with
230 issuers in 32 industries.
MEMBERS Capital Advisors' Fixed-Income Portfolio Management Team - Advisor
Shenkman Capital Management, Inc. - Subadvisor
4
HIGH INCOME FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01 10/31/01
Class A Shares (includes
maximum sales charge)(2) 9,525 9,799 8,974 10,171 9,843 10,085 9,763 9,992 9,574
Class B Shares (includes
maximum applicable CDSC)(3) 10,000 9,800 8,962 10,091 9,805 10,114 9,698 10,001 9,571
Lehman Brothers High
Yield Bond Index 10,000 10,398 9,790 10,444 10,215 10,223 10,050 10,334 10,035
Merrill Lynch U.S. High
Yield Master II Index 10,000 10,346 9,809 10,679 10,359 10,385 10,185 10,453 10,191
04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares (includes
maximum sales charge)(2) 10,054 9,606 10,902 11,630 12,113 12,877 12,773 13,244
Class B Shares (includes
maximum applicable CDSC)(3) 10,223 9,745 10,947 11,617 12,145 12,862 12,710 13,127
Lehman Brothers High
Yield Bond Index 10,701 9,484 11,642 12,687 13,388 14,250 14,261 14,832
Merrill Lynch U.S. High
Yield Master II Index 10,818 9,525 11,641 12,678 13,356 14,223 14,224 14,780
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth more
or less than when purchased. Indices are unmanaged and investors cannot
invest in them. Index returns do not reflect expenses or sales charges.
The graph above and the table below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Telecommunications 11%
Gaming 9%
Utilities 8%
Health Care 7%
Oil and Gas 6%
Support Services 4%
Aerospace/Defense 4%
Chemicals 4%
Media - Cable 4%
Technology 4%
Forestry/Paper 3%
Cash and Other Net Assets 3%
Printing and Publishing 3%
Consumer Products 3%
Media - Diversified and Services 3%
Media - Broadcasting 2%
Packaging 2%
Hotels 2%
Beverage/Food 2%
Non Food and Drug Retailers 2%
Building Materials 2%
Metals and Mining 2%
Leisure and Entertainment 1%
Food and Drug Retailers 1%
Auto Parts & Equipment 1%
General Industrial & Manufacturing 1%
Apparel/Textiles 1%
Environmental 1%
Transportation 1%
Building and Construction 1%
Restaurants 1%
Steel 1%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 2.85% 11.31% 6.29% 4.30% -2.07% 9.50% 5.26% 3.65%
Class B Shares(3) 2.06 10.44 5.49 3.53 -2.28 9.47 5.19 3.53
Lehman Brothers High
Yield Bond Index 4.08 16.07 8.09 5.15 -- -- -- --
Merrill Lynch U.S. High
Yield Master II Index 3.92 15.76 7.73 5.11 -- -- -- --
(2) Maximum Sales Charge is 4.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
5
BALANCED FUND PERFORMANCE REVIEW
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. 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 Fund and Growth and Income Fund
invest, the same type of bonds in which the Bond Fund invests, and the same
types of money market instruments in which the Cash Reserves Fund invests.
During the twelve month period ended October 31, 2005, the MEMBERS Balanced Fund
returned 5.74% (Class A shares at net asset value) while the Russell 1000(R)
Index returned 10.47% and the Merrill Lynch U.S. Domestic Master Index returned
1.26%.
Equity performance was helped by a strategic overweight in the energy sector.
Performance was also helped by stock selection in the information technology
sector as overweight positions, established when Hewlett-Packard and Motorola
were poor performers, paid off as both companies showed signs of success in
their restructuring efforts. Our position in enterprise software concern
Peoplesoft also helped performance in the information technology sector after it
was acquired by Oracle. Performance was hurt by stock selection in the consumer
staples sector as diversified food company Sara Lee and cosmetics company Estee
Lauder both under-performed as their fundamentals deteriorated. Equity
performance was also hurt by stock selection in the health care sector as the
portfolio's holdings in the health care providers & services subsector
under-performed.
Bond performance was helped by management's decision to overweight shorter and
longer maturities in the portfolio, by good security selection in short-term
corporate bonds and commercial mortgage-backed securities, and by management's
choice of sector weightings in the corporate bond segment of the portfolio.
Performance was hurt by underweights in mortgage-backed and U.S. Agency
securities and under-exposure to longer-duration corporate bonds.
MEMBERS Capital Advisors' Common Stock and Fixed-Income Portfolio Management
Teams -- Advisor
6
BALANCED FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01 10/31/01
Class A Shares
(includes maximum
sales charge(2) 9,425 10,281 10,266 11,736 11,866 12,653 12,893 12,579 11,792
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 10,432 10,374 11,420 11,922 12,852 13,053 12,728 11,867
Merrill Lynch U.S.
Domestic Master Index 10,000 10,219 10,803 10,870 10,840 11,005 11,634 12,350 13,331
Russell 1000(R) Index 10,000 11,671 11,459 14,041 14,391 15,789 15,694 13,632 11,608
04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge(2) 11,993 10,897 11,228 12,284 12,792 13,231 13,607 13,991
Class B Shares
(includes maximum
applicable CDSC)(3) 12,329 11,161 11,357 12,385 12,952 13,347 13,675 14,006
Merrill Lynch U.S.
Domestic Master Index 13,311 14,129 14,739 14,825 15,012 15,648 15,817 15,845
Russell 1000(R) Index 11,999 9,913 10,384 12,125 12,866 13,256 13,792 14,644
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth
more-or less than when purchased. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges. The graph above and the table below do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Cash & Other Net Assets 2%
U.S. Government and Agency Obligation 11%
Mortgage Backed 9%
Corporate Notes and Bonds 9%
Commercial Mortgage Backed 2%
Asset Backed 2%
Common Stocks 65%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 5.74% 8.69% 1.65% 5.17% -0.33% 6.56% 0.45% 4.38%
Class B Shares(3) 4.94 7.86 0.89 4.39 0.44 6.85 0.51 4.39
Merrill Lynch U.S. Domestic
Master Index 1.26 3.89 6.37 6.04 -- -- -- --
Russell 1000(R) Index 10.47 13.89 -1.38 4.98 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
7
GROWTH AND INCOME FUND PERFORMANCE REVIEW
INVESTMENT OBJECTIVE
The Growth and Income Fund seeks long-term capital growth with income as a
secondary consideration.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Growth and Income Fund will focus on stocks of companies with financial and
market strength 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 investments are favored by investors.
During the twelve months ended October 31, 2005, the MEMBERS Growth and Income
Fund returned 9.56% (Class A shares at net asset value), lagging the Russell
1000(R) Value Index, which returned 11.86%. Performance was hurt by an
underweight in the utilities sector while performance was helped by an
overweight in the information technology sector. Much of the fund's
under-performance versus the Russell 1000(R) Value Index can be attributed to
under-performing holdings in the consumer staples sector, which was a strong
relative performer during the period. The Altria Group performed well, but the
portfolio was significantly underweight in the stock versus the index. Three
stocks the fund was overweighted versus the index -- Kimberly-Clark, General
Mills and Procter & Gamble -- lagged the sector, and Sara Lee fell sharply after
missing earnings estimates. We have reduced our position in Sara Lee on concerns
about its ability to execute its restructuring plans. Stock selection in the
materials sector also detracted from performance as an overweight of sluggish
performer DuPont versus the index and positions in aluminum companies Alcan and
Alcoa were hit hard by rising natural gas costs, which rose unexpectedly after
the destruction wrought by the Gulf hurricanes. We have eliminated our position
in Alcan because we think that upward pressure on natural gas prices may
continue to affect the company's fundamentals. The fund's performance was helped
by stock selection and positioning in the telecommunications services sector,
where Alltel benefited from continuing growth in the wireless sector.
We continue to favor mega-cap and high-quality stocks, which have
under-performed smaller and low quality stocks for five years. We believe that
these stocks should see improved relative performance as a gradually slowing
economy and increased competition exert downward pressure on profit margins. In
many cases we now find their valuations compelling, and believe the market will
eventually reward the competitive and financial strengths of these companies.
MEMBERS Capital Advisors' Common Stock Portfolio Management Team -- Advisor
8
GROWTH AND INCOME FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01 10/31/01
Class A Shares
(includes maximum
sales charge(2) 9,425 10,928 10,327 12,910 12,634 13,654 13,506 12,430 10,748
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 11,114 10,447 12,287 12,821 13,893 13,682 12,566 10,777
Russell 1000(R) Value
Index 10,000 11,429 10,864 13,039 12,659 12,533 13,358 13,339 11,773
04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge(2) 11,300 9,081 9,286 10,801 11,577 12,041 12,643 13,193
Class B Shares
(includes maximum
applicable CDSC)(3) 11,609 9,295 9,365 10,861 11,709 12,134 12,695 13,194
Russell 1000(R) Value
Index 12,817 10,593 11,150 13,017 14,078 15,028 16,039 16,811
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth more
or less than when purchased. Indices are unmanaged and investors cannot
invest in them. Index returns do not reflect expenses or sales charges.
The graph above and the table below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Materials 4%
Information Technology 11%
Consumer Discretionary 10%
Health Care 9%
Financials 26%
Telecommunication Services 4%
Utilities 4%
Cash & Other Net Assets 1%
Industrials 11%
Consumer Staples 7%
Energy 13%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 9.56% 13.26% -0.47% 4.38% 3.29% 11.05% -1.64% 3.60%
Class B Shares(3) 8.73 12.38 -1.22 3.60 4.23 11.45 -1.62 3.60
Russell 1000(R) Value Index 11.86 16.64 4.71 6.85 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
9
CAPITAL APPRECIATION FUND PERFORMANCE REVIEW
INVESTMENT OBJECTIVE
The Capital Appreciation Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers.
PRINCIPAL INVESTMENT STRATEGIES
The Capital Appreciation Fund invests primarily in common stocks, and will,
under normal market conditions, maintain at least 80% of its assets in such
securities. The fund seeks stocks that have low market prices relative to their
perceived intrinsic value and growth capabilities as estimated based on
fundamental analysis of the issuing companies and their prospects. This is
sometimes referred to as a "core" or "blend" approach. Relative to the Growth
and Income Fund, the Capital Appreciation Fund will seek more earnings growth
capability in the stocks it purchases, and will include some smaller, less
developed issuers and some companies undergoing more significant changes in
their operations or experiencing significant changes in their markets. The fund
will diversify its holdings among various industries and among companies within
those industries. The combination of these factors introduces greater investment
risk than the Growth and Income Fund, but can also provide higher long-term
returns than are typically available from less risky investments.
The MEMBERS Capital Appreciation Fund returned 6.61% (Class A shares at net
asset value) in the twelve month period ended October 31, 2005, under-performing
the Russell 1000(R) Index, which returned 10.47%.
Performance was helped by a strategic overweight in the energy sector as oil
prices remained high and elevated expectations for long-term growth in the
demand for oil caused market participants to adjust valuations in the sector
upward. Performance was also helped by stock selection in the consumer
discretionary sector as restaurant company Brinker International rose on strong
operating results from its Chili's and Macaroni Grill franchises and luxury
retailer Tiffany appreciated on impressive earnings growth.
Performance was hurt by stock selection in the consumer staples sector, where
Wal-Mart, Kraft Foods, and Estee Lauder declined after disappointing earnings.
Performance was also hurt by stock selection in the health care sector, where
medical-device maker Boston Scientific declined in the wake of a recall of its
Taxus heart stent and questions about the future growth rate of the market for
heart stents. The portfolio's stock selection in and relative weighting of the
health care providers and services stocks was also a significant negative
contributor to the fund's performance.
The portfolio retains a modest overweight in the energy sector as we believe the
supply/demand balance for oil will keep money flowing through this area of the
economy. We are particularly focused on oil-services and equipment stocks in the
belief that political pressure and growing demand will lead major oil companies
to boost production capacity over the next several years. We continue to focus
on higher-quality stocks -- stocks of companies that have demonstrated
consistent earnings and cash flow growth and are in a strong financial position.
Higher quality stocks have lagged in the current bull market, and we believe
that in many cases they provide very attractive relative value.
MEMBERS Capital Advisors Common Stock Portfolio Management Team -- Advisor
10
CAPITAL APPRECIATION FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01 10/31/01
Class A Shares
(includes maximum
sales charge)(2) 9,425 11,057 10,415 12,558 12,945 14,585 15,550 14,708 12,116
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 11,261 10,541 12,034 13,153 14,870 15,812 14,940 12,205
Russell 1000(R) Index 10,000 11,671 11,459 14,041 14,391 15,789 15,694 13,632 11,608
04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge)(2) 12,057 9,142 9,674 11,278 11,801 12,218 12,475 13,026
Class B Shares
(includes maximum
applicable CDSC)(3) 12,401 9,364 9,779 11,366 11,969 12,341 12,552 13,055
Russell 1000(R) Index 11,999 9,913 10,384 12,125 12,866 13,256 13,792 14,644
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth more
or less than when purchased. Indices are unmanaged and investors cannot
invest in them. Index returns do not reflect expenses or sales charges.
The graph above and the table below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Materials 3%
Information Technology 17%
Consumer Staples 9%
Consumer Discretionary 11%
Financials 19%
Telecommunication Services 3%
Cash & Other Net Assets 2%
Utilities 2%
Health Care 12%
Industrials 11%
Energy 11%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 6.61% 12.53% -3.48% 4.21% 0.44% 10.32% -4.61% 3.43%
Class B Shares(3) 5.79 11.71 -4.18 3.46 1.29 10.77 -4.56 3.46
Russell 1000(R) Index 10.47 13.89 -1.38 4.98 -- -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
11
MID-CAP FUND PERFORMANCE REVIEW
INVESTMENT OBJECTIVE
The Mid-Cap Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use 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 smaller-cap portion of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Mid-Cap Fund invests primarily in common stocks of midsize and smaller
companies (market capitalization at the time of purchase of less than $12
billion, but more than $1 billion), and will under normal market conditions,
maintain at least 80% of its assets in such securities. However, the fund will
not automatically sell a stock just because the company's market capitalization
has grown beyond $12 billion, or fallen below $1 billion, and such positions may
be increased through additional purchases.
The fund seeks stocks in this midsize to smaller range that have a low market
price relative to their value as estimated based on fundamental analysis of the
issuing company and its prospects. This is sometimes referred to as a "value"
approach. Relative to both the Growth and Income and Capital Appreciation Funds,
the Mid-Cap Fund includes more small, 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, using profits to
expand rather than to pay dividends.
The fund diversifies its holdings among various industries and among companies
within those industries. The combination of these factors introduces greater
investment risk than the Growth and Income Fund, but can also provide higher
long-term returns than are typically available from less risky investments.
During the twelve month period ended October 31, 2005, the MEMBERS Mid-Cap Fund
returned 13.95% (Class A shares at net asset value), under-performing the
Russell MidCap(R) Value Index, which returned 19.50%.
Relative performance was helped by a strategic overweight in the energy sector,
which was by far the best performing sector in the mid-cap space during the
period. Performance was also helped by stock selection in the information
technology sector, where the portfolio's holdings in the semiconductors &
semiconductor equipment subsector, including Intersil and LSI Logic,
out-performed the sector. Electronic device maker Arrow Electronics and
enterprise software concern Peoplesoft were also both strong performers as the
former saw improving fundamentals and the latter was acquired by Oracle.
Performance was hurt by stock selection in the consumer staples sector, where
the portfolio's positions in McCormick, Estee Lauder, and Sara Lee
under-performed the sector after posting disappointing earnings. Performance was
also hurt by stock selection in the health care sector, where the fund's
holdings in the health care providers & services subsector significantly lagged
the subsector's strong performance during the period.
Among the small-cap shares in the portfolio, stock selection was strongest
within consumer discretionary, energy and information technology. These positive
results were partially offset by weaker stock selection in the health care and
materials sectors. Key individual contributors to performance were Vintage
Petroleum, Herbalife, Gildan Activewear, and Hibbett Sporting. Detractors from
relative performance during the period included NBTY, IPC Holdings, and Yankee
Candle.
MEMBERS Capital Advisors' Common Stock Portfolio Management Teams -- Advisor
Wellington Management Company, LLP -- Subadvisor
12
MID-CAP FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[PERFORMANCE GRAPH]
2-28-01
Inception 04/30/01 10/31/01 04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge)(2) 9,425 9,793 8,935 10,601 8,149 8,630 10,488 11,281 11,733 12,212 13,370
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 9,930 9,006 11,160 8,540 8,705 10,560 11,370 11,790 12,330 13,471
Russell Midcap(R)
Value Index 10,000 10,258 9,255 11,121 8,980 9,621 11,986 12,981 14,352 15,616 17,151
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital
gains are reinvested. Further information relating to the fund's
performance, including expense reimbursements, is contained in the
Prospectus and elsewhere in this report. Past performance is not
indicative of future performance. Investment return and principal value
will fluctuate, so an investor's shares, when redeemed, may be worth more
or less than when purchased. Indices are unmanaged and investors cannot
invest in them. Index returns do not reflect expenses or sales charges.
The graph above and the table below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Materials 7%
Information technology 9%
Industrials 14%
Heatlth Care 7%
Financials 26%
Telecommunication services 1%
Utilities 6%
Cash & Other Net Assets 2%
Consumer Discretionary 12%
Consumer Staples 5%
Energy 11%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years Inception(5) 1 Year 3 Years Inception(5)
------ ------- ------------ ------ ------- ------------
Class A Shares(2) 13.95% 17.94% 7.77% 7.39% 15.63% 6.41%
Class B Shares(3) 13.07 16.98 6.92 8.57 16.12 6.58
Russell Midcap(R) Value Index 19.50 24.07 12.24 -- -- --
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced
after 12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 28, 2001.
13
MULTI-CAP GROWTH FUND PERFORMANCE REVIEW
INVESTMENT OBJECTIVE
The Muti-Cap Growth Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use 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 of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Multi-Cap Growth Fund invests generally in common stocks, securities
convertible into common stocks and related equity securities. Under normal
market conditions, the fund will maintain at least 80% of its assets in these
securities. The fund is managed by a team of portfolio managers of the
subadvisor, each with expertise in a specific range of market capitalization.
Typically, between 60% to 90% of the fund will be invested in large
capitalization companies (generally over $10 billion of market capitalization).
The subadvisor may invest up to 25% of the fund in mid capitalization companies
(generally between $2 billion and $10 billion of market capitalization) and up
to 20% in smaller 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 superior 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.
The MEMBERS Multi-Cap Growth Fund returned 10.97% (Class A shares at net asset
value) during the twelve month period ended October 31, 2005, out-performing the
8.99% gain of the Russell 3000(R) Growth Index.
Favorable stock selection produced positive benchmark-relative returns during
the twelve month period. Stock selection was strongest within the information
technology, industrials and financials sectors. The fund's overweight allocation
to the top performing energy sector also contributed positively to performance.
Positive relative results were somewhat offset by weak stock selection in health
care and consumer discretionary, as well as the fund's underweight position in
the health care sector.
Key individual contributors to relative performance were Google, Petro-Canada,
and Electronic Arts. Internet search and advertising company Google benefited
from both a strong secular trend toward increased online advertising and a
greater investor appreciation of its exceptional growth dynamics. Petro-Canada
advanced on the continued rise in oil prices. Electronic Arts, the largest U.S.
publisher of video games, gained as it signed licensing agreements to solidify
its competitive position.
Positive results were partially offset by Research in Motion, eBay, and XM
Satellite Radio. Research in Motion, a wireless email solutions firm, fell as
investors saw signs of slowing growth ahead of an increasingly competitive
environment. Internet auctioneer eBay declined in response to concerns of
slowing growth and increasing competition. Lastly, XM Satellite Radio fell
during the first half of the year as investors expressed concerns about the
rising cost of adding subscribers as the company reported increased marketing
and advertising expenditures.
As always, the fund's managers continue to utilize security-specific research to
a build the fund one stock at a time. They seek to identify individual companies
that possess an explicit sustainable growth advantage or barrier to entry that
will enable them to maintain an above average growth rate for an extended
period. At the conclusion of the twelve month period, these bottom-up,
stock-specific decisions resulted in greater-than-benchmark weights in the
financials, information technology, and health care sectors, and underweight
positions in consumer staples and consumer discretionary sectors.
MEMBERS Capital Advisors' Common Stock Management Team--Advisor
Wellington Management Company, LLP--Subadvisor
14
MULTI-CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[LINE GRAPH]
2-29-00 Inception 04/30/00 10/31/00 04/30/01 10/31/01 04/30/02 10/31/02
Class A Shares
(includes maximum
sales charge(2) 9,425 8,087 7,417 5,353 4,024 3,949 3,289
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 8,194 7,478 5,405 4,051 4,130 3,420
Russell 3000(R) Growth Index 10,000 10,022 9,222 6,840 5,594 5,521 4,491
04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
Class A Shares
(includes maximum
sales charge(2) 3,450 4,204 4,486 4,552 4,562 5,052
Class B Shares
(includes maximum
applicable CDSC)(3) 3,473 4,210 4,528 4,577 4,613 5,089
Russell 3000(R) Growth Index 4,692 5,540 5,768 5,736 5,786 6,251
- -----------
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital gains
are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and elsewhere
in this report. Past performance is not indicative of future performance.
Investment return and principal value will fluctuate, so an investor's shares,
when redeemed, may be worth more or less than when purchased. Indices are
unmanaged and investors cannot invest in them. Index returns do not reflect
expenses or sales charges. The graph above and the table below do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Information Technology 30%
Industrials 13%
Heatlth Care 22%
Financials 12%
Telecommunication Services 1%
Cash & Other Net Assets 5%
Consumer Discretionary 9%
Consumer Staples 2%
Energy 6%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 10.97% 15.38% -7.39% -10.41% 4.69% 13.15% -8.48% -11.34%
Class B Shares(3) 10.06 14.55 -8.07 -11.07 5.56 13.65 -8.44 -11.23
Russell 3000(R) Growth Index 8.99 11.66 -7.48 -7.95 -- -- -- --
- -----------
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 29, 2000.
15
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
INVESTMENT OBJECTIVE
The International Stock Fund seeks long-term growth of capital.
PORTFOLIO MANAGEMENT
The fund is managed by a team of MEMBERS Capital Advisors' portfolio managers,
which may use one or more subadvisors under a "manager of managers" approach to
make investment decisions for some or all of the assets of this fund. Lazard
Asset Management LLC 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 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.
The MEMBERS International Stock Fund returned 20.81% (Class A shares at net
asset value) during the twelve month period ended October 31, 2005,
out-performing the MSCI EAFE Index, which returned 18.59%. The fund benefited
from its positions in emerging market and developed market small-cap stocks,
which both out-performed developed market stocks during the period.
After a strong 2004 year-end rally in international stocks during November and
December, the year 2005 began with the markets weakening in January but
rebounding in February. International stocks fell again in March and April, due
to rising oil prices and signs of slowing economic growth. However,
international equities began a sustained rally in May that could be attributed
to lower interest rates as ten-year government bond yields hit record lows in
Germany, Sweden, and Switzerland. The rally continued through September as
investors became more confident that companies' profit forecasts could withstand
higher energy prices. Although petroleum prices dipped to pre-Katrina levels in
October, natural gas prices surged to a record high because of persistent
capacity outages in the aftermath of the Gulf hurricanes. The markets then
weakened as inflation worries sent gold prices to a nearly 18-year high. Among
developed markets, Japan out-performed as consumer and capital spending have
fueled a robust economic rebound. European economies have benefited from a weak
euro this year, making their goods more attractive abroad. From a sector
perspective, energy, materials and industrials were among the best performers,
while telecommunications and technology stocks lagged. The portfolio was hurt by
stock selection in financials (particularly banks), industrials, and
telecommunications services. Conversely, stock selection in the technology and
consumer discretionary sectors contributed to returns. Of the top 10 stocks by
weight the most positive contributors were Mitsubishi UJF and Total, while Sony
and Nissan were detractors for the period.
During November and December of 2004 and through the first three quarters of
2005, international small caps generally out-performed large caps. The portfolio
was up solidly for the year in absolute terms when measured in local currency
but under-performed the MSCI Small Cap EAFE Index, which posted very strong
returns for the third year in a row. Stock selection in health care benefited
performance, led by Elekta. Stock selection in Spain also boosted returns, as
Abengoa and Indra performed well. Although the portolio's energy stocks posted
gains, it under-performed the index in this sector. Stock selection and an
overweight position in the consumer discretionary sector detracted from
performance.
Emerging markets equities experienced a very strong November and finished 2004
with a solid performance in December (in U.S. dollar terms). Returns for the
following months were erratic until the third quarter of 2005, which witnessed
solid gains in emerging markets equities. The portfolio benefited from good
stock selection in consumer staples, financials, and materials. Within consumer
staples, HM Sampoerna (Indonesia), the subject of an acquisition, contributed
the most to performance. Financials benefited from the good relative performance
of Kookmin Bank (South Korea). Caemi and CVRD (both Brazilian) drove
out-performance within the materials sector. From a regional perspective, the
portfolio's underweight position in Asia, particularly Taiwan, added value. A
large weighting in Brazil also boosted returns. Overweight positions in
Venezuela, Croatia, and companies CANTV and Pliva detracted from performance.
Poor stock selection in health care and China also hurt returns.
MEMBERS Capital Advisors' Common Stock Portfolio Management Team--Advisor
Lazard Asset Management LLC--Subadvisor
16
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
[LINE GRAPH]
12/29/97
Inception 04/30/98 10/31/98 04/30/99 10/31/99 04/30/00 10/31/00 04/30/01
--------- -------- -------- -------- -------- -------- -------- --------
Class A Shares
(includes maximum
sales charge)(2) 9,425 11,104 9,764 11,084 11,413 10,981 10,353 9,632
Class B Shares
(includes maximum
applicable CDSC)(3) 10,000 11,301 9,840 10,916 11,545 11,103 10,413 9,703
Morgan Stanley Capital
International Europe,
Australasia & Far East
Index (MSCI EAFE Index) 10,000 11,659 11,090 12,802 13,681 14,616 13,317 12,270
10/31/01 04/30/02 10/31/02 04/30/03 10/31/03 04/30/04 10/31/04 04/30/05 10/31/05
-------- -------- -------- -------- -------- -------- -------- -------- --------
Class A Shares
(includes maximum
sales charge)(2) 7,984 9,044 7,646 7,895 9,822 10,942 11,743 12,920 14,187
Class B Shares
(includes maximum
applicable CDSC)(3) 8,017 9,291 7,826 7,983 9,885 11,062 11,835 12,984 14,202
Morgan Stanley Capital
International Europe,
Australasia & Far East
Index (MSCI EAFE Index) 10,031 10,599 8,734 8,912 11,141 12,543 13,288 14,477 15,758
- -----------
(1) This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the index. All dividends and capital gains
are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and elsewhere
in this report. Past performance is not indicative of future performance.
Investment return and principal value will fluctuate, so an investor's shares,
when redeemed, may be worth more or less than when purchased. Indices are
unmanaged and investors cannot invest in them. Index returns do not reflect
expenses or sales charges. The graph above and the table below do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
[PIE CHART]
Africa 2%
Latin America 5%
Other Countries 3%
United Kingdom 18%
Pacific Basin 8%
Cash & Other Net Assets 4%
Japan 21%
Europe (excluding United Kingdom) 39%
AVERAGE ANNUAL TOTAL RETURN THROUGH OCTOBER 31, 2005
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
------ ------- ------- ------------ ------ ------- ------- ------------
Class A Shares(2) 20.81% 22.88% 6.50% 5.35% 13.91% 20.46% 5.26% 4.56%
Class B Shares(3) 20.00 21.98 5.71 4.58 15.50 21.19 5.38 4.58
MSCI EAFE Index 18.59 21.74 3.42 5.97 -- -- -- --
- ---------
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
17
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ---------
COMMERCIAL PAPER (A) - 66.35%
CHEMICALS - 4.00%
$ 695,000 E.I. du Pont de Nemours & Co.
3.740%, due 11/15/05 $ 693,989
----------
CONSUMER STAPLES - 17.15%
375,000 Anheuser Busch, Inc.
3.680%, due 12/16/05 373,275
450,000 Coca-Cola Co.
3.800%, due 11/14/05 449,383
705,000 Nestle Capital Corp.
3.730%, due 12/14/05 701,859
750,000 PepsiCo, Inc.
3.840%, due 11/09/05 749,360
530,000 Procter & Gamble
3.740%, due 12/14/05 527,632
175,000 Procter & Gamble
3.820%, due 12/14/05 174,202
----------
2,975,711
----------
FINANCE - 38.17%
715,000 American Express Credit Corp.
3.570%, due 11/02/05 714,929
690,000 American General Finance Corp.
3.940%, due 12/09/05 687,130
690,000 American Honda Finance
3.900%, due 11/07/05 689,551
200,000 Caterpillar Financial Services Corp.
3.900%, due 11/02/05 199,978
300,000 Caterpillar Financial Services Corp.
3.950%, due 11/21/05 299,342
335,000 CIT Group, Inc.
3.810%, due 11/15/05 334,504
350,000 CIT Group, Inc.
4.080%, due 01/09/06 347,263
700,000 Citigroup Funding, Inc.
3.850%, due 11/28/05 697,979
695,000 General Electric Capital Corp.
3.780%, due 11/15/05 693,978
185,000 Toyota Motor Credit Co.
3.770%, due 11/09/05 184,845
500,000 Toyota Motor Credit Co.
3.770%, due 11/10/05 499,529
645,000 UBS Finance Delaware LLC
3.830%, due 11/14/05 644,108
630,000 Wells Fargo and Co.
4.040%, due 12/01/05 627,879
----------
6,621,015
----------
FOREIGN - 3.01%
525,000 Government of Quebec
3.760%, due 12/19/05 522,368
----------
RETAIL - 4.02%
700,000 Wal-Mart Stores, Inc.
3.900%, due 11/28/05 697,953
----------
TOTAL COMMERCIAL PAPER 11,511,036
----------
( Cost $11,511,036 )
CORPORATE NOTES AND BONDS - 18.41%
FINANCE - 15.52%
475,000 Bank of America Corp.
7.125%, due 09/15/06 486,768
700,000 Goldman Sachs Group, Inc., Series B (G)
3.900%, due 08/01/06 700,354
500,000 HSBC Finance Corp. 3.375%, due 02/21/06 499,552
500,000 Merrill Lynch & Co., Inc., Series B (G)
4.439%, due 04/18/06 500,704
500,000 Morgan Stanley
6.100%, due 04/15/06 504,369
----------
2,691,747
----------
See accompanying Notes to Financial Statements.
18
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
HEALTH CARE - 2.89%
$ 500,000 Merck & Co., Inc. (C)
4.726%, due 02/22/06 $ 501,119
------------
TOTAL CORPORATE
NOTES AND BONDS 3,192,866
------------
(Cost $3,192,866)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 9.79%
FEDERAL FARM CREDIT BANK - 4.03%
700,000 3.750%, due 06/01/06 (G) 699,919
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (A) - 5.76%
500,000 3.640%, due 11/01/05 500,000
500,000 3.790%, due 11/21/05 498,947
------------
998,947
------------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS 1,698,866
------------
(Cost $1,698,866)
Shares
- ------
INVESTMENT COMPANIES - 5.16%
777,410 J.P. Morgan Prime Money Market Fund 777,410
117,968 SSgA Prime Money Market Fund 117,968
------------
TOTAL INVESTMENT COMPANIES 895,378
------------
(Cost $895,378)
TOTAL INVESTMENTS - 99.71% 17,298,146
------------
(Cost $17,298,146**)
NET OTHER ASSETS AND LIABILITIES - 0.29% 49,694
------------
TOTAL NET ASSETS - 100.00% $ 17,347,840
------------
- -------------
** Aggregate cost for Federal tax purposes was $ 17,298,146.
(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.
19
BOND FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
ASSET BACKED - 7.18%
$ 73,515 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 $ 73,328
300,000 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1,
Class M2 (M) 296,058
860,000 Citibank Credit Card Issuance Trust,
Series 2004-FR1, Class M2
2.550%, due 01/20/09 836,886
1,000,000 Countrywide Asset-Backed Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32 998,992
560,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 542,518
494,890 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due 12/01/27 502,806
700,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 728,801
1,500,000 New Century Home Equity Loan Trust,
Series 2000-LB1, Class AF5
5.500%, due 11/25/33 1,507,806
1,621,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 1,616,153
315,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 313,819
440,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.038%, due 03/25/33 439,978
------------
TOTAL ASSET BACKED 7,857,145
------------
( Cost $7,865,780 )
COMMERCIAL MORTGAGE BACKED - 6.71%
898,307 Bear Stearns Commercial Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 899,275
325,000 Bear Stearns Commercial Mortgage Securities,
Series 2005-T20, Class F (C)(G)
5.303%, due 10/12/42 313,726
525,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46 509,705
525,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 503,845
1,200,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 1,202,278
800,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 774,236
385,193 Morgan Stanley Capital I, Series 1999-CAM1, Class A3
6.920%, due 03/15/32 392,500
1,150,000 Morgan Stanley Capital I, Series 2004-HQ4, Class A7
4.970%, due 04/14/40 1,123,459
500,000 Morgan Stanley Capital I, Series 2004-T13, Class A3
4.390%, due 09/13/45 478,018
330,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 283,349
892,392 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 866,926
------------
TOTAL COMMERCIAL MORTGAGE BACKED 7,347,317
------------
(Cost $7,531,961)
See accompanying Notes to Financial Statements.
20
BOND FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS - 27.29%
CAPITAL GOODS - 0.89%
$ 1,000,000 Caterpillar Financial Services Corp.,
Series F, 2.500%,
due 10/03/06 $ 979,386
------------
CONSUMER DISCRETIONARY - 2.93%
750,000 American Association of
Retired Persons (C)
7.500%, due 05/01/31 906,634
700,000 Carnival Corp. (D)
3.750%, due 11/15/07 684,558
1,000,000 Cendant Corp.
6.250%, due 01/15/08 1,017,262
575,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 601,539
------------
3,209,993
------------
CONSUMER STAPLES - 0.67%
750,000 Coca-Cola Enterprises, Inc. (O)
4.375%, due 09/15/09 737,537
------------
ENERGY - 2.01%
240,000 Amerada Hess Corp.
7.875%, due 10/01/29 285,356
500,000 Burlington Resources Finance Co. (D)
5.700%, due 03/01/07 504,223
400,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 437,200
450,000 Texaco Capital, Inc.
5.700%, due 12/01/08 450,305
450,000 Valero Energy Corp.
7.500%, due 04/15/32 530,847
------------
2,207,931
------------
FINANCE - 6.16%
500,000 AIG SunAmerica Global Financing XII (C)
5.300%, due 05/30/07 503,271
500,000 American General Finance Corp., Series H
4.625%, due 09/01/10 487,768
500,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 525,486
500,000 CIT Group, Inc.
7.375%, due 04/02/07 517,045
500,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 503,775
330,000 GE Global Insurance Holding Corp.
7.750%, due 06/15/30 358,463
750,000 Goldman Sachs Group, Inc. (O)
5.700%, due 09/01/12 766,068
750,000 HSBC Finance Corp.
6.500%, due 11/15/08 781,427
500,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 506,905
500,000 U.S. Bank N.A.
6.300%, due 02/04/14 537,628
750,000 Wachovia Corp.
4.950%, due 11/01/06 750,726
500,000 Washington Mutual Finance Corp.
6.250%, due 05/15/06 504,440
------------
6,743,002
------------
FORESTRY/PAPER - 0.34%
325,000 Westvaco Corp.
8.200%, due 01/15/30 371,790
------------
HEALTH CARE - 1.07%
500,000 Eli Lilly & Co.
6.570%, due 01/01/16 556,270
345,000 Merck & Co., Inc.
6.400%, due 03/01/28 362,694
230,000 Wyeth (O)
6.500%, due 02/01/34 250,177
------------
1,169,141
------------
INDUSTRIALS - 5.06%
240,000 Boeing Co.
8.625%, due 11/15/31 331,734
215,000 D.R. Horton, Inc. (O)
5.250%, due 02/15/15 196,338
500,000 DaimlerChrysler N.A. Holding Corp.
4.750%, due 01/15/08 494,808
1,000,000 Dow Chemical Co.
5.750%, due 12/15/08 1,027,071
See accompanying Notes to Financial Statements.
21
BOND FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
INDUSTRIALS (CONTINUED)
$ 800,000 General Electric Co.
5.000%, due 02/01/13 $ 793,263
250,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 246,151
275,000 General Motors Acceptance Corp.
7.250%, due 03/02/11 270,490
325,000 Genetech, Inc. (C)
5.250%, due 07/15/35 305,031
200,000 International Paper Co.
7.875%, due 08/01/06 203,832
215,000 Pulte Homes, Inc. (O)
5.200%, due 02/15/15 199,140
192,000 Raytheon Co.
4.500%, due 11/15/07 190,226
235,000 Waste Management, Inc.
7.125%, due 12/15/17 260,728
500,000 Weyerhaeuser Co.
6.875%, due 12/15/33 508,968
525,000 WM. Wrigley Jr. Co.
4.300%, due 07/15/10 512,960
------------
5,540,740
------------
PIPELINE - 0.35%
345,000 Kinder Morgan, Inc.
7.250%, due 03/01/28 382,406
------------
REITS - 0.25%
270,000 Simon Property Group, L.P.
5.625%, due 08/15/14 270,898
------------
TELECOMMUNICATIONS - 1.63%
500,000 Bellsouth Capital Funding
7.875%, due 02/15/30 589,853
250,000 Sprint Capital Corp.
7.125%, due 01/30/06 251,467
200,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 202,179
250,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 251,379
500,000 Vodafone Group PLC (D)(O)
5.000%, due 12/16/13 490,855
------------
1,785,733
------------
TRANSPORTATION - 1.75%
750,000 Burlington Northern Santa Fe Corp.
6.375%, due 12/15/05 751,592
285,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 353,697
359,000 Norfolk Southern Corp.
5.590%, due 05/17/25 351,852
390,000 Norfolk Southern Corp.
7.050%, due 05/01/37 454,777
------------
1,911,918
------------
UTILITIES - 4.18%
550,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15 503,293
750,000 DTE Energy Co.
6.450%, due 06/01/06 756,991
500,000 Energy East Corp.
8.050%, due 11/15/10 560,109
750,000 Niagara Mohawk Power Corp.
7.750%, due 05/15/06 762,602
285,000 Pacific Gas and Electric Co.
6.050%, due 03/01/34 286,320
250,000 Progress Energy, Inc.
7.750%, due 03/01/31 286,643
600,000 Virginia Electric and Power Co., Series A
5.750%, due 03/31/06 602,498
750,000 Wisconsin Electric Power
6.500%, due 06/01/28 825,119
------------
4,583,575
------------
TOTAL CORPORATE
NOTES AND BONDS 29,894,050
------------
( Cost $29, 697,660 )
See accompanying Notes to Financial Statements.
22
BOND FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
MORTGAGE BACKED - 28.29%
FEDERAL HOME LOAN
MORTGAGE CORP. - 5.60%
$ 936,602 5.000%, due 05/01/18
Pool # E96322 $ 924,589
10,062 8.000%, due 06/01/30
Pool # C01005 10,718
73,777 7.000%, due 03/01/31
Pool # C48133 77,021
179,804 6.500%, due 01/01/32
Pool # C62333 184,690
386,226 6.000%, due 09/01/32
Pool # C70558 390,451
2,726,211 5.000%, due 07/01/33
Pool # A11325 2,632,676
521,815 6.000%, due 09/01/34
Pool # A26682 527,181
291,517 6.000%, due 10/01/34
Pool # A28439 294,514
282,737 6.000%, due 10/01/34
Pool # A28598 285,644
313,599 6.000%, due 11/01/34
Pool # A28556 316,824
247,038 5.000%, due 04/01/35
Pool # A32315 237,760
263,032 5.000%, due 04/01/35
Pool # A32316 253,152
------------
6,135,220
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 21.53%
1,469,595 4.000%, due 04/01/15
Pool # 255719 1,411,592
71,370 6.000%, due 05/01/16
Pool # 582558 73,028
944,186 5.500%, due 02/01/18
Pool # 673194 951,062
1,179,938 4.500%, due 09/01/18
Pool # 737144 1,142,993
1,100,000 5.000%, due 05/01/20
Pool # 813965 1,085,459
129,726 6.000%, due 05/01/21
Pool # 253847 131,823
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
841,811 5.500%, due 12/01/22
Pool # 254587 837,125
48,795 7.000%, due 12/01/29
Pool # 762813 51,164
122,182 7.000%, due 11/01/31
Pool # 607515 127,817
176,741 6.000%, due 02/01/32
Pool # 611619 178,485
578,136 6.500%, due 03/01/32
Pool # 631377 594,271
14,679 7.000%, due 04/01/32
Pool # 641518 15,352
56,191 7.000%, due 05/01/32
Pool # 644591 58,783
1,463,499 6.500%, due 06/01/32
Pool # 545691 1,504,342
7,421 7.000%, due 08/01/32
Pool # 641302 7,761
449,866 6.000%, due 12/01/32
Pool # 676552 454,304
2,366,099 5.500%, due 04/01/33
Pool # 690206 2,337,975
483,735 6.000%, due 08/01/33
Pool # 729418 488,128
878,225 6.000%, due 08/01/33
Pool # 729423 886,201
1,162,162 5.000%, due 10/01/33
Pool # 254903 1,122,441
1,902,825 5.500%, due 11/01/33
Pool # 555880 1,880,208
174,669 5.000%, due 05/01/34
Pool # 775604 168,450
439,303 5.000%, due 05/01/34
Pool # 780890 423,663
275,876 5.000%, due 06/01/34
Pool # 255230 266,054
2,359,490 5.500%, due 06/01/34
Pool # 780384 2,329,506
57,377 7.000%, due 07/01/34
Pool # 792636 59,985
465,488 5.500%, due 08/01/34
Pool # 793647 459,572
See accompanying Notes to Financial Statements.
23
BOND FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- ------------
MORTGAGE BACKED (CONTINUED)
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 1,641,380 5.500%, due 03/01/35
Pool # 815976 $ 1,619,738
1,073,701 5.000%, due 08/01/35
Pool # 829670 1,033,557
853,225 5.000%, due 09/01/35
Pool # 820347 821,323
1,100,000 5.000%, due 10/01/35
Pool # 797669 1,058,872
------------
23,581,034
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.16%
28,844 8.000%, due 10/20/15
Pool # 002995 30,747
1,100,000 5.008%, due 12/16/25,
Series 2004-43, Class C(G) 1,089,579
86,264 6.500%, due 02/20/29
Pool # 002714 89,113
62,634 6.500%, due 04/20/31
Pool # 003068 64,616
------------
1,274,055
------------
TOTAL MORTGAGE
BACKED 30,990,309
------------
( Cost $31,363,259 )
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 27.85%
FEDERAL FARM CREDIT BANK - 0.49%
500,000 5.875%, due 10/03/16 536,185
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 2.63%
2,500,000 4.875%, due 11/15/13 2,495,498
400,000 4.500%, due 01/15/14 389,259
------------
2,884,757
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.33%
1,400,000 4.000%, due 09/02/08 1,371,399
1,095,000 4.625%, due 10/15/14 (O) 1,069,584
1,000,000 6.625%, due 11/15/30 1,203,001
------------
3,643,984
------------
U.S. TREASURY BONDS - 2.48%
1,745,000 6.250%, due 05/15/30 (O) 2,108,450
560,000 5.375%, due 02/15/31 (O) 610,750
------------
2,719,200
------------
U.S. TREASURY NOTES - 18.92%
3,500,000 2.250%, due 04/30/06 (O) 3,466,232
1,450,000 2.000%, due 05/15/06 (O) 1,432,838
2,250,000 2.625%, due 11/15/06 (O) 2,210,362
1,500,000 3.125%, due 01/31/07 (O) 1,476,972
800,000 3.375%, due 02/28/07 (O) 789,531
1,000,000 4.000%, due 08/31/07 (O) 993,125
1,470,000 3.750%, due 05/15/08 (O) 1,446,745
1,280,000 3.250%, due 01/15/09 (O) 1,234,900
1,000,000 3.500%, due 08/15/09 (O) 967,031
1,150,000 3.875%, due 05/15/10 (O) 1,121,879
1,000,000 3.875%, due 07/15/10 (O) 974,844
2,500,000 3.875%, due 09/15/10 (O) 2,434,570
1,250,000 4.000%, due 02/15/15 (O) 1,195,264
1,000,000 4.250%, due 08/15/15 (O) 975,781
------------
20,720,074
------------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS 30,504,200
------------
( Cost $30,734,257 )
See accompanying Notes to Financial Statements.
24
BOND FUND PORTFOLIO OF INVESTMENTS
Shares (Note 2)
------ -------------
INVESTMENT COMPANIES - 27.24%
3,086,038 SSgA Prime Money
Market Fund $ 3,086,038
26,751,508 State Street Navigator
Securities Lending
Portfolio (I) 26,751,508
-------------
TOTAL INVESTMENT
COMPANIES 29,837,546
-------------
( Cost $29,837,546 )
TOTAL INVESTMENTS - 124.56% 136,430,567
-------------
( Cost $ 137,030,463** )
NET OTHER ASSETS
AND LIABILITIES - (24.56)% (26,900,352)
-------------
TOTAL NET ASSETS - 100.00% $ 109,530,215
=============
- -----------
** Aggregate cost for Federal tax purposes was $137,101,706.
(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.
(D) Notes and bonds, issued by foreign entities denominated in U.S. dollars.
The aggregate of these securities is 1.53% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2005.
(I) Represents investments of cash collateral received in connection with
securities lending.
(M) Stated interest rate is contingent upon sufficient collateral market
value. If collateral market value falls below a 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.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
25
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS - 93.56%
AEROSPACE/DEFENSE - 4.40%
$ 100,000 Alliant Techsystems, Inc.
8.500%, due 05/15/11 $ 104,500
185,000 Argo-Tech Corp.
9.250%, due 06/01/11 190,550
250,000 Armor Holdings, Inc. (O)
8.250%, due 08/15/13 270,000
250,000 BE Aerospace, Inc., Series B (O)
8.000%, due 03/01/08 249,375
260,000 BE Aerospace, Inc., Series B (O)
8.875%, due 05/01/11 272,350
300,000 DI Finance/DynCorp. International (C)
9.500%, due 02/15/13 311,250
250,000 DRS Technologies, Inc. (O)
6.875%, due 11/01/13 237,500
200,000 Esterline Technologies Corp.
7.750%, due 06/15/13 208,500
155,000 K&F Acquisition, Inc. (O)
7.750%, due 11/15/14 155,000
205,000 L-3 Communications Corp.
6.125%, due 01/15/14 200,387
145,000 L-3 Communications Corp.
5.875%, due 01/15/15 137,750
200,000 L-3 Communications Corp. (C)
6.375%, due 10/15/15 197,500
150,000 Standard Aero Holdings, Inc.
8.250%, due 09/01/14 142,500
185,000 TransDigm, Inc.
8.375%, due 07/15/11 192,400
------------
2,869,562
------------
APPAREL/TEXTILES - 0.81%
100,000 Levi Strauss & Co. (G)
8.804%, due 04/01/12 99,250
195,000 Levi Strauss & Co.
12.250%, due 12/15/12 214,012
200,000 Warnaco, Inc.
8.875%, due 06/15/13 215,500
------------
528,762
------------
AUTO PARTS & EQUIPMENT - 0.36%
250,000 Navistar International Corp. (O)
7.500%, due 06/15/11 237,500
------------
BEVERAGE/FOOD - 1.94%
150,000 B&G Foods, Inc.
8.000%, due 10/01/11 151,313
250,000 Del Monte Corp. (C)
6.750%, due 02/15/15 242,812
300,000 Doane Pet Care Co. (C)
10. 625%, due 11/15/15 303,750
150,000 Dole Food Co., Inc.
7.250%, due 06/15/10 147,750
125,000 Michael Foods, Inc.
8.000%, due 11/15/13 126,875
200,000 NBTY, Inc. (C)
7.125%, due 10/01/15 195,000
100,000 Pinnacle Foods Holding Corp.
8.250%, due 12/01/13 92,500
------------
1,260,000
------------
BUILDING AND CONSTRUCTION - 0.69%
65,000 Technical Olympic USA, Inc.
9.000%, due 07/01/10 64,675
40,000 Technical Olympic USA, Inc.
7.500%, due 03/15/11 35,300
135,000 Technical Olympic USA, Inc.
7.500%, due 01/15/15 112,050
250,000 WCI Communities, Inc.
7.875%, due 10/01/13 236,875
------------
448,900
------------
BUILDING MATERIALS - 1.64%
300,000 Goodman Global Holding Co., Inc. (C)(O)
7.875%, due 12/15/12 282,000
500,000 Interface, Inc.
7.300%, due 04/01/08 498,125
172,000 Interface, Inc.
10.375%, due 02/01/10 185,330
See accompanying Notes to Financial Statements.
26
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
BUILDING MATERIALS (CONTINUED)
$ 65,000 Jacuzzi Brands, Inc. (O)
9.625%, due 07/01/10 $ 67,925
40,000 Nortek, Inc.
8.500%, due 09/01/14 38,200
------------
1,071,580
------------
CHEMICALS - 4.17%
120,000 Arco Chemical Co.
9.800%, due 02/01/20 133,800
310,000 Equistar Chemicals L.P./
Equistar Funding Corp.
10. 625%, due 05/01/11 337,900
190,000 Hercules, Inc.
6.750%, due 10/15/29 183,350
288,000 Huntsman International LLC
10.125%, due 07/01/09 296,280
175,000 Lyondell Chemical Co.
9.500%, due 12/15/08 183,312
115,000 Lyondell Chemical Co.
11.125%, due 07/15/12 128,225
60,000 Nalco Co.
7.750%, due 11/15/11 61,275
160,000 Nalco Co. (O)
8.875%, due 11/15/13 163,400
253,000 Nalco Finance Holdings, Inc. (B)(O)
0.000%, due 02/01/14 185,323
150,000 PQ Corp. (C)
7.500%, due 02/15/13 138,000
375,000 Resolution Performance Products, Inc. (O)
13.500%, due 11/15/10 395,156
200,000 Rhodia S.A. (D)(O)
10.250%, due 06/01/10 213,000
95,000 Rockwood Specialties Group, Inc.
10. 625%, due 05/15/11 101,650
200,000 Rockwood Specialties Group, Inc. (C)
7.500%, due 11/15/14 193,000
------------
2,713,671
------------
CONSUMER PRODUCTS - 3.12%
100,000 ACCO Brands Corp. (C)
7.625%, due 08/15/15 95,000
250,000 American Achievement Corp.
8.250%, due 04/01/12 250,000
300,000 Central Garden and Pet Co.
9.125%, due 02/01/13 315,000
150,000 Chattem, Inc. (O)
7.000%, due 03/01/14 151,500
300,000 Church & Dwight Co., Inc.
6.000%, due 12/15/12 291,000
185,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 195,175
150,000 Elizabeth Arden, Inc.
7.750%, due 01/15/14 149,063
100,000 Leslie's Poolmart
7.750%, due 02/01/13 100,000
185,000 Samsonite Corp.
8.875%, due 06/01/11 190,550
300,000 Visant Corp.
7. 625%, due 10/01/12 295,500
------------
2,032,788
------------
ENVIRONMENTAL - 0.81%
315,000 Allied Waste North America
6.500%, due 11/15/10 305,550
60,000 Allied Waste North America
7.875%, due 04/15/13 61,500
150,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 1 61,062
------------
528,112
------------
FOOD & DRUG RETAILERS - 1.13%
250,000 Rite Aid Corp.
7.125%, due 01/15/07 250,000
310,000 Roundy's, Inc., Series B
8.875%, due 06/15/12 341,738
150,000 Stater Brothers Holdings
8.125%, due 06/15/12 146,625
------------
738,363
------------
See accompanying Notes to Financial Statements.
27
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
FORESTRY/PAPER - 3.20%
$ 150,000 Abitibi-Consolidated, Inc. (D)(G)
7.370%, due 06/15/11 $ 141,000
200,000 Boise Cascade LLC, Series B (G)
7.025%, due 10/15/12 193,000
250,000 Caraustar Industries, Inc. (O)
9.875%, due 04/01/11 245,000
195,000 Catalyst Paper Corp. (D)(O)
8.625%, due 06/15/11 188,175
190,000 Catalyst Paper Corp. (D)
7.375%, due 03/01/14 169,100
300,000 Georgia-Pacific Corp.
9.375%, due 02/01/13 330,750
160,000 Graphic Packaging International Corp. (O)
9.500%, due 08/15/13 143,600
175,000 Jefferson Smurfit Corp., U.S.
8.250%, due 10/01/12 164,938
220,000 JSG Funding PLC (D)
9.625%, due 10/01/12 211,200
300,000 Smurfit Capital Funding PLC
6.750%, due 11/20/05 299,625
------------
2,086,388
------------
GAMING - 8.99%
300,000 American Casino &
Entertainment Properties LLC
7.850%, due 02/01/12 307,500
300,000 Ameristar Casinos, Inc.
10.750%, due 02/15/09 319,500
300,000 Aztar Corp.
9.000%, due 08/15/11 317,250
185,000 Aztar Corp. (O)
7.875%, due 06/15/14 190,550
285,000 Boyd Gaming Corp. (O)
6.750%, due 04/15/14 281,081
500,000 CCM Merger, Inc. (C)
8.000%, due 08/01/13 495,000
100,000 Chukchansi Economic
Development Authority (C)(G)(H)
8.010%, due 11/15/12 100,450
200,000 Chukchansi Economic
Development Authority (C)(H)
8.000%, due 11/15/13 200,600
195,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due 03/15/12 207,431
300,000 Hard Rock Hotel, Inc.
8.875%, due 06/01/13 319,500
250,000 Herbst Gaming, Inc.
7.000%, due 11/15/14 246,875
100,000 Isle of Capri Casinos, Inc.
9.000%, due 03/15/12 104,000
185,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 174,825
350,000 Kerzner International, Inc. (C)
6.750%, due 10/01/15 332,500
200,000 Las Vegas Sands Corp. (O)
6.375%, due 02/15/15 189,500
155,000 Mandalay Resort Group (O)
9.375%, due 02/15/10 168,950
150,000 Mandalay Resort Group, Series B
10.250%, due 08/01/07 159,750
345,000 MGM Mirage (O)
8.375%, due 02/01/11 364,837
70,000 MGM Mirage (O)
5.875%, due 02/27/14 65,450
300,000 Penn National Gaming, Inc.
8.875%, due 03/15/10 313,125
150,000 Pinnacle Entertainment, Inc. (O)
8.750%, due 10/01/13 153,563
100,000 Scientific Games Corp.
6.250%, due 12/15/12 99,125
200,000 Seneca Gaming Corp.
7.250%, due 05/01/12 204,250
200,000 Seneca Gaming Corp. (C)
7.250%, due 05/01/12 204,250
195,000 Station Casinos, Inc. (O)
6.500%, due 02/01/14 194,513
150,000 Wynn Las Vegas LLC/
Wynn Las Vegas Capital Corp.
6.625%, due 12/01/14 142,875
------------
5,857,250
------------
See accompanying Notes to Financial Statements.
28
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
GENERAL INDUSTRIAL &
MANUFACTURING - 0.99%
$ 250,000 Chart Industries, Inc. (C)
9.125%, due 10/15/15 $ 247,500
150,000 Hexcel Corp.
6.750%, due 02/01/15 147,000
250,000 Wesco Distribution, Inc. (C)
7.500%, due 10/15/17 249,688
------------
644,188
------------
HEALTH CARE - 6.78%
100,000 Accellent Corp., Series B
10.000%, due 07/15/12 117,000
300,000 Alderwoods Group, Inc.
7.750%, due 09/15/12 309,750
100,000 Alliance Imaging, Inc.
7.250%, due 12/15/12 87,500
350,000 Carriage Services, Inc.
7.875%, due 01/15/15 358,750
350,000 DaVita, Inc. (O)
7.250%, due 03/15/15 353,500
105,000 Extendicare Health Services, Inc.
6.875%, due 05/01/14 102,375
100,000 Fisher Scientific International, Inc. (C)
6.125%, due 07/01/15 99,250
565,000 HCA, Inc.
7.875%, due 02/01/11 600,337
165,000 HCA, Inc. (O)
6.375%, due 01/15/15 161,905
200,000 IASIS Healthcare LLC/
IASIS Capital Corp.
8.750%, due 06/15/14 205,000
300,000 Omega Healthcare Investors, Inc.
7.000%, due 04/01/14 301,500
250,000 Res-Care, Inc. (C)
7.750%, due 10/15/13 251,250
300,000 Select Medical Corp.
7.625%, due 02/01/15 278,250
200,000 Service Corp. International/U.S. (O)
7.700%, due 04/15/09 208,500
250,000 Sybron Dental Specialties, Inc.
8.125%, due 06/15/12 263,125
150,000 Teva Pharmaceutical
Finance LLC, Series A (P)
0.500%, due 02/01/24 164,250
200,000 Triad Hospitals, Inc.
7.000%, due 11/15/13 200,000
220,000 Warner Chilcott Corp. (C)
8.750%, due 02/01/15 202,400
150,000 Watson Pharmaceuticals, Inc. (P)
1.750%, due 03/15/23 148,875
------------
4,413,517
------------
HOTELS - 1.99%
250,000 Felcor Lodging L.P. (G)
7.780%, due 06/01/11 257,187
300,000 Gaylord Entertainment Co.
8.000%, due 11/15/13 312,750
100,000 Host Marriott L.P., Series O
6.375%, due 03/15/15 97,000
200,000 La Quinta Properties, Inc. (O)
7.000%, due 08/15/12 204,000
395,000 Starwood Hotels & Resorts
Worldwide, Inc.
7.875%, due 05/01/12 425,613
------------
1,296,550
------------
LEISURE & ENTERTAINMENT - 1.21%
245,000 AMC Entertainment, Inc., Series B (O)
8.625%, due 08/15/12 246,837
150,000 Cinemark, Inc. (B)
0.000%, due 03/15/14 106,125
55,000 Intrawest Corp. (D)
7.500%, due 10/15/13 55,963
200,000 NCL Corp. (C)
11.625%, due 07/15/14 205,500
165,000 Royal Caribbean Cruises, Ltd. (D)
6.875%, due 12/01/13 170,775
------------
785,200
------------
See accompanying Notes to Financial Statements.
29
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
MEDIA - BROADCASTING - 2.26%
$ 260,000 Allbritton Communications Co.
7.750%, due 12/15/12 $ 256,750
250,000 Gray Television, Inc.
9.250%, due 12/15/11 269,375
300,000 LIN Television Corp. (C)(O)
6.500%, due 05/15/13 284,250
150,000 Radio One, Inc.
6.375%, due 02/15/13 146,437
500,000 Sinclair Broadcast Group, Inc.
8.000%, due 03/15/12 513,750
------------
1,470,562
------------
MEDIA - CABLE - 4.08%
150,000 Cablevision Systems Corp., Series B
8.000%, due 04/15/12 143,250
435,000 CSC Holdings, Inc., Series B
8.125%, due 08/15/09 444,787
107,000 DirecTV Holdings LLC/
DirecTV Financing Co.
8.375%, due 03/15/13 115,827
250,000 Echostar Communications Corp. (P)
5.750%, due 05/15/08 244,688
300,000 Echostar DBS Corp.
6.375%, due 10/01/11 291,750
200,000 Insight Communications Co., Inc. (B)(O)
0.000%, due 02/15/11 205,500
200,000 Kabel Deutschland GmbH (C)(D)
10.625%, due 07/01/14 215,250
150,000 Lodgenet Entertainment Corp.
9.500%, due 06/15/13 162,375
250,000 Mediacom Broadband LLC (C)
8.500%, due 10/15/15 230,000
450,000 Telenet Group Holding N.V. (B)(C)(D)
0.000%, due 06/15/14 357,750
250,000 Videotron Ltee (C)(D)
6.375%, due 12/15/15 246,875
------------
2, 658,052
------------
MEDIA - DIVERSIFIED & SERVICES - 3.02%
250,000 Advanstar Communications, Inc.
10.750%, due 08/15/10 276,875
300,000 Advanstar Communications, Inc., Series B
12.000%, due 02/15/11 318,375
250,000 Corus Entertainment, Inc. (D)
8.750%, due 03/01/12 266,875
150,000 Intelsat Bermuda, Ltd. (C)(D)(G)
8.695%, due 01/15/12 151,875
210,000 Intelsat Bermuda, Ltd. (C)(D)
8.625%, due 01/15/15 212,625
100,000 Intelsat, Ltd. (D)
5.250%, due 11/01/08 91,500
125,000 Lamar Media Corp.
7.250%, due 01/01/13 129,688
100,000 Lamar Media Corp. (C)
6.625%, due 08/15/15 100,750
200,000 New Skies Satellites N.V. (D)(G)
8.539%, due 11/01/11 205,000
310,000 PanAmSat Holding Corp. (B)(O)
0.000%, due 11/01/14 211,575
------------
1,965,138
------------
METALS AND MINING - 1.54%
300,000 Alpha Natural Resources LLC/
Alpha Natural Resources Capital Corp.
10.000%, due 06/01/12 330,000
200,000 Foundation PA Coal Co.
7.250%, due 08/01/14 204,500
150,000 Massey Energy Co. 152,250
185,000 Peabody Energy Corp. (O)
5.875%, due 04/15/16 178,987
130,000 Peabody Energy Corp., Series B
6.875%, due 03/15/13 134,225
------------
999,962
------------
See accompanying Notes to Financial Statements.
30
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
NON FOOD & DRUG RETAILERS - 1.85%
$ 300,000 Affinity Group, Inc.
9.000%, due 02/15/12 $ 297,000
300,000 Buhrmann US, Inc.
7.875%, due 03/01/15 296,250
260,000 Couche-Tard U.S. L.P./
Couche-Tard Finance Corp.
7.500%, due 12/15/13 263,900
100,000 GSC Holdings Corp. (C)(G)
7.875%, due 10/01/11 100,000
100,000 GSC Holdings Corp. (C)(O)
8.000%, due 10/01/12 97,250
150,000 Pantry, Inc.
7.750%, due 02/15/14 147,750
------------
1,202,150
------------
OIL & GAS - 4.96%
203,000 Chesapeake Energy Corp.
7.000%, due 08/15/14 211,120
105,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 103,162
285,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 288,563
100,000 Compagnie Generale de
Geophysique S.A. (D)
7.500%, due 05/15/15 103,500
250,000 Comstock Resources, Inc.
6.875%, due 03/01/12 246,875
150,000 Denbury Resources, Inc.
7.500%, due 04/01/13 154,500
175,000 Encore Acquisition Co.
6.250%, due 04/15/14 169,750
200,000 Encore Acquisition Co.
6.000%, due 07/15/15 189,000
115,000 Exco Resources, Inc.
7.250%, due 01/15/11 116,150
250,000 Frontier Oil Corp.
6.625%, due 10/01/11 255,000
100,000 Hanover Compressor Co.
8. 625%, due 12/15/10 106,000
190,000 Hanover Compressor Co.
9.000%, due 06/01/14 207,575
150,000 Harvest Operations Corp.
7.875%, due 10/15/11 145,500
135,000 Newfield Exploration Co.
6.625%, due 09/01/14 137,363
190,000 Plains Exploration &
Production Co. (O)
7.125%, due 06/15/14 197,125
300,000 Range Resources Corp.
6.375%, due 03/15/15 297,000
100,000 Transmontaigne, Inc.
9.125%, due 06/01/10 99,000
200,000 Whiting Petroleum Corp.
7.250%, due 05/01/13 201,500
------------
3,228,683
------------
PACKAGING - 2.10%
150,000 BWAY Corp.
10.000%, due 10/15/10 156,000
250,000 Crown European Holdings S.A. (D)
9.500%, due 03/01/11 275,000
250,000 Crown European Holdings S.A. (D)
10.875%, due 03/01/13 294,375
190,000 Greif, Inc. (O)
8.875%, due 08/01/12 203,300
190,000 Owens-Brockway Glass Container, Inc.
8.875%, due 02/15/09 198,550
115,000 Owens-Brockway Glass Container, Inc.
8.750%, due 11/15/12 123,338
105,000 Plastipak Holdings, Inc.
10.750%, due 09/01/11 114,975
------------
1,365,538
------------
See accompanying Notes to Financial Statements.
31
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
PRINTING & PUBLISHING - 3.06%
$ 100,000 CBD Media, Inc.
8.625%, due 06/01/11 $ 101,500
153,000 Dex Media East LLC/
Dex Media East Finance Co.
12.125%, due 11/15/12 178, 628
132,000 Dex Media West LLC/
Dex Media Finance Co., Series B
9.875%, due 08/15/13 145,530
665,000 Dex Media, Inc. (B)(O)
0.000%, due 11/15/13 515,375
300,000 Houghton Mifflin Co.
9.875%, due 02/01/13 309,750
200,000 Medianews Group, Inc.
6.875%, due 10/01/13 197,500
100,000 Morris Publishing Group LLC
7.000%, due 08/01/13 98,250
125,000 Primedia, Inc.
8.875%, due 05/15/11 121,875
50,000 Primedia, Inc.
8.000%, due 05/15/13 45,626
250,000 R. H. Donnelley, Inc.
10.875%, due 12/15/12 280,000
------------
1,994,034
------------
RESTAURANTS - 0.32%
200,000 Domino's, Inc.
8.250%, due 07/01/11 207,000
------------
STEEL - 0.29%
185,000 Valmont Industries, Inc.
6.875%, due 05/01/14 188,700
------------
SUPPORT SERVICES - 4.46%
150,000 Ahern Rentals, Inc. (C)
9.250%, due 08/15/13 152,250
100,000 Ashtead Holdings PLC (C)
8.625%, due 08/01/15 103,250
150,000 Cardtronics, Inc. (C)
9.250%, due 08/15/13 151,500
450,000 Coinmach Corp.
9.000%, due 02/01/10 454,500
75,000 Corrections Corp. of America
7.500%, due 05/01/11 77,531
200,000 Corrections Corp. of America
6.250%, due 03/15/13 196,750
410,000 Iron Mountain, Inc.
8.625%, due 04/01/13 427,425
70,000 Iron Mountain, Inc.
7.750%, due 01/15/15 69,650
115,000 Knowledge Learning Corp., Inc. (C)
7.750%, due 02/01/15 106,950
350,000 Mac-Gray Corp. (C)
7.625%, due 08/15/15 353,500
500,000 NationsRent Cos., Inc. (O)
9.500%, due 05/01/15 518,750
75,000 Quanta Services, Inc. (P)
4.500%, due 10/01/23 90,094
200,000 Williams Scotsman, Inc. (C)
8.500%, due 10/01/15 203,000
------------
2,905,150
------------
TECHNOLOGY - 3.93%
250,000 Activant Solutions, Inc. (C)(G)(O)
10.054%, due 04/01/10 255,625
300,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 300,750
235,000 Lucent Technologies, Inc. (O)
5.500%, due 11/15/08 234,412
450,000 Lucent Technologies, Inc.
6.450%, due 03/15/29 384,750
400,000 Sungard Data Systems, Inc. (C)
9.125%, due 08/15/13 406,000
250,000 Sungard Data Systems, Inc. (C)
10.250%, due 08/15/15 247,813
300,000 Syniverse Technologies, Inc. (C)
7.750%, due 08/15/13 302,250
405,000 Xerox Corp. (O)
7.625%, due 06/15/13 425,250
------------
2,556,850
------------
See accompanying Notes to Financial Statements.
32
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
TELECOMMUNICATIONS - 10.79%
$ 200,000 Alamosa Delaware, Inc.
12.000%, due 07/31/09 $ 219,000
450,000 American Cellular Corp., Series B
10.000%, due 08/01/11 486,000
125,000 American Tower Corp.
7.125%, due 10/15/12 128,906
128,000 AT&T Corp.
9.050%, due 11/15/11 141,440
240,000 Centennial Cellular Operating Co./
Centennial Communications Corp.
10.125%, due 0 6/15/13 268,200
200,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14 194,500
100,000 Cincinnati Bell, Inc.
7.000%, due 02/15/15 94,500
345,000 Citizens Communications Co.
9.250%, due 05/15/11 373,463
195,000 Citizens Communications Co.
6.250%, due 01/15/13 184,762
165,000 Eircom Funding (D)
8.250%, due 08/15/13 177,787
150,000 MCI, Inc.
6.908%, due 05/01/07 151,500
210,000 MCI, Inc.
7. 688%, due 05/01/09 217,612
100,000 MCI, Inc.
8.735%, due 05/01/14 110,750
855,000 Nextel Communications, Inc. Series D
7.375%, due 08/01/15 904,981
280,000 Qwest Capital Funding, Inc. (O)
7.250%, due 02/15/11 267,400
270,000 Qwest Corp.
7.875%, due 09/01/11 282,825
265,000 Qwest Corp.
8.875%, due 03/15/12 290,837
805,000 Qwest Services Corp.
13.500%, due 12/15/10 919,713
100,000 Rogers Wireless, Inc. (D)
6.375%, due 03/01/14 99,750
95,000 Rogers Wireless, Inc. (D)
7.500%, due 03/15/15 101,888
300,000 Rural Cellular Corp.
8.250%, due 03/15/12 312,000
100,000 Rural Cellular Corp., Series B (O)
9.625%, due 05/15/08 101,750
200,000 SBA Telecommunications, Inc./
SBA Communications Corp. (B)
0.000%, due 12/15/11 180,500
260,000 Time Warner Telecom Holdings, Inc. (O)
9.250%, due 02/15/14 260,000
145,000 Time Warner Telecom, Inc. (O)
10.125%, due 02/01/11 147,175
185,000 UbiquiTel Operating Co.
9.875%, due 03/01/11 202,113
215,000 Valor Telecommunications
Enterprise LLC/Finance Corp.
7.750%, due 02/15/15 210,431
------------
7,029,783
------------
TRANSPORTATION - 0.71%
150,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14 150,375
300,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 315,000
------------
465,375
------------
UTILITIES - 7.96%
440,000 AES Corp. (C)
8.750%, due 05/15/13 475,200
250,000 Allegheny Energy Supply (C)(O)
8.250%, due 04/15/12 276,250
750,000 Edison Mission Energy
7.730%, due 06/15/09 778,125
100,000 El Paso Corp.
7.625%, due 08/16/07 101,500
200,000 El Paso Corp. (O)
7.000%, due 05/15/11 197,000
245,000 El Paso Natural Gas Co., Series A
7.625%, due 08/01/10 257,109
See accompanying Notes to Financial Statements.
33
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
UTILITIES (CONTINUED)
$ 93,000 Enterprise Products
Operating L.P., Series B
6.375%, due 02/01/13 $ 96,282
200,000 Holly Energy Partners L.P. (C)
6.250%, due 03/01/15 194,000
250,000 Inergy LP/Inergy Finance Corp
6.875%, due 12/15/14 236,875
135,000 MarkWest Energy Partners L.P./
MarkWest Energy Finance Corp. (C)
6.875%, due 11/01/14 129,600
360,000 Midwest Generation LLC
8.750%, due 05/01/34 394,200
290,000 Mission Energy Holding Co.
13.500%, due 07/15/08 335,675
35,000 Nevada Power Co.
6.500%, due 04/15/12 35,612
120,000 Nevada Power Co., Series L
5.875%, due 01/15/15 117,703
200,000 Northwestern Corp.
5.875%, due 11/01/14 198,158
100,000 Reliant Energy, Inc.
6.750%, due 12/15/14 93,000
90,000 Sierra Pacific Power Co.
6.250%, due 04/15/12 90,225
110,000 Sierra Pacific Resources
8.625%, due 03/15/14 119,900
250,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 230,000
350,000 Texas Genco LLC/
Texas Genco Financing Corp. (C)
6.875%, due 12/15/14 374,500
437,000 Williams Cos., Inc.
7.125%, due 09/01/11 450,656
------------
5,181,570
------------
TOTAL CORPORATE NOTES
AND BONDS 60,930,878
------------
( Cost $60,976,884 )
COMMON STOCKS - 0.00%
AUTO PARTS & EQUIPMENT - 0.00%
16 Oxford Automotive,
Inc. * (L) -
------------
TOTAL COMMON
STOCKS -
------------
( Cost $3,800 )
PREFERRED STOCKS - 3.22%
AUTO PARTS & EQUIPMENT - 0.72%
20,000 General Motors Corp.,
Series A, 4.500% (P) 466,400
------------
LEISURE & ENTERTAINMENT - 0.28%
8,000 Six Flags, Inc.
7.25% (O)(P) 184,400
------------
OIL & GAS - 0.55%
3,500 Chesapeake Energy Corp.,
4.500% (O)(P) 359,187
------------
TELECOMMUNICATIONS - 1.67%
21,000 Crown Castle International Corp.,
6.250%, (P) 1,088,325
------------
TOTAL PREFERRED
STOCKS 2,098,312
------------
( Cost $2,000,336 )
WARRANTS AND RIGHTS - 0.00%
MEDIA - BROADCASTING - 0.00%
55 XM Satellite Radio Holdings, Inc.
Exp. 03/03/10
(Exercise Price $49.50) * 2,612
------------
TOTAL WARRANTS
AND RIGHTS 2,612
------------
( Cost $0 )
See accompanying Notes to Financial Statements.
34
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- ------------
INVESTMENT COMPANIES - 17.04%
781,202 SSgA Prime Money
Market Fund (N) $ 781,202
10,313,907 State Street Navigator
Securities Lending
Portfolio (I) 10,313,907
------------
TOTAL INVESTMENT
COMPANIES 11,095,109
------------
( Cost $11,095,109 )
TOTAL INVESTMENTS - 113.82% 74,126,911
------------
( Cost $74,076,129** )
NET OTHER ASSETS
AND LIABILITIES - (13.82)% (9,000,339)
------------
TOTAL NET ASSETS - 100.00% $ 65,126,572
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $74,085,023.
(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) 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.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 6.76% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2005.
(H) Security purchased on a delayed delivery or when-issued basis. Rate shown
is at issue date.
(I) Represents investments of cash collateral received 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- issue purchase commitments
outstanding as of October 31, 2005.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
35
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
COMMON STOCKS - 64.67%
CONSUMER DISCRETIONARY - 7.58%
37,600 Brinker International, Inc. * $ 1,433,312
30,800 Carnival Corp. 1,529,836
19,834 Comcast Corp., Class A * 551,980
42,400 Home Depot, Inc. 1,740,096
50,400 Kohl's Corp. * 2,425,752
23,200 McDonald's Corp. 733,120
33,000 Target Corp. 1,837,770
29,000 Tiffany & Co. 1,142,600
61,400 Time Warner, Inc. 1,094,762
50,100 Viacom, Inc., Class B 1,551,597
63,500 Walt Disney Co. 1,547,495
--------------
15,588,320
--------------
CONSUMER STAPLES - 6.19%
9,700 Altria Group, Inc. 727,985
50,900 Coca-Cola Co. 2,177,502
26,300 CVS Corp. 641,983
18,200 Estee Lauder Cos., Inc., Class A 603,694
38,100 General Mills, Inc. 1,838,706
23,100 Kraft Foods, Inc., Class A 653,730
41,900 Procter & Gamble Co. 2,345,981
31,100 Sysco Corp. 992,401
58,200 Wal-Mart Stores, Inc. 2,753,442
--------------
12,735,424
--------------
ENERGY - 7.08%
14,500 Anadarko Petroleum Corp. 1,315,295
8,500 Apache Corp. 542,555
15,364 BP PLC, ADR 1,020,169
25,600 Chevron Corp. 1,460,992
14,200 ConocoPhillips 928,396
32,100 Devon Energy Corp. 1,938,198
57,500 Exxon Mobil Corp. 3,228,050
23,700 Marathon Oil Corp. 1,425,792
20,600 Schlumberger, Ltd. 1,869,862
14,516 Transocean, Inc. * 834,525
--------------
14,563,834
--------------
FINANCIALS - 13.06%
23,600 ACE, Ltd. 1,229,560
19,400 Allstate Corp. 1,024,126
42,200 American International Group, Inc. 2,734,560
87,192 Bank of America Corp. 3,813,778
5,500 Chubb Corp. 511,335
94,600 Citigroup, Inc. 4,330,788
15,000 Fifth Third Bancorp 602,550
18,700 Freddie Mac 1,147,245
10,900 Goldman Sachs Group, Inc. 1,377,433
47,902 J.P. Morgan Chase & Co. 1,754,171
18,900 Marsh & McLennan Cos., Inc. 550,935
14,400 Metlife, Inc. 711,504
29,900 Morgan Stanley 1,626,859
36,400 National City Corp. 1,173,172
16,600 SunTrust Banks, Inc. 1,203,168
36,700 Wells Fargo & Co. 2,209,340
13,600 XL Capital, Ltd., Class A 871,216
--------------
26,871,740
--------------
HEALTH CARE - 8.04%
36,900 Abbott Laboratories 1,588,545
48,100 Applera Corp. - Applied
Biosystems Group 1,167,387
34,800 Baxter International, Inc. 1,330,404
43,000 Bristol-Myers Squibb Co. 910,310
18,600 Community Health Systems, Inc. * 690,246
11,300 Genzyme Corp. * 816,990
28,800 GlaxoSmithKline PLC, ADR 1,497,312
31,200 Health Management
Associates, Inc., Class A 667,992
3,500 Hospira, Inc. * 139,475
23,700 IMS Health, Inc. 550,551
35,400 Johnson & Johnson 2,216,748
20,800 Medimmune, Inc. * 727,584
13,400 Merck & Co., Inc. 378,148
70,862 Pfizer, Inc. 1,540,540
9,000 Triad Hospitals, Inc. * 370,170
43,900 Wyeth 1,956,184
--------------
16,548,586
--------------
See accompanying Notes to Financial Statements.
36
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
COMMON STOCKS (CONTINUED)
INDUSTRIALS - 7.98%
9,000 3M Co. $ 683,820
19,300 Burlington Northern Santa Fe Corp. 1,197,758
18,000 Dover Corp. 701,640
7,300 Emerson Electric Co. 507,715
15,100 FedEx Corp. 1,388,143
162,000 General Electric Co. 5,493,420
28,100 Honeywell International, Inc. 961,020
19,200 Illinois Tool Works, Inc. 1,627,392
24,000 Tyco International, Ltd. 633,360
37,200 United Technologies Corp. 1,907,616
44,500 Waste Management, Inc. 1,313,195
--------------
16,415,079
--------------
INFORMATION TECHNOLOGY - 8.98%
51,400 Applied Materials, Inc. 841,932
39,000 Celestica, Inc. * 372,840
66,500 Cisco Systems, Inc. * 1,160,425
35,100 Computer Sciences Corp. * 1,798,875
34,700 Dell, Inc. * 1,106,236
56,300 EMC Corp./Massachusetts * 785,948
28,865 First Data Corp. 1,167,590
9,473 Freescale Semiconductor, Inc.,
Class B * 226,215
51,100 Hewlett-Packard Co. 1,432,844
69,700 Intel Corp. 1,637,950
25,700 International Business Machines
Corp. 2,104,316
14,038 Koninklijke Philips Electronics
N.V. 367,234
39,200 Micron Technology, Inc. (O) * 509,208
73,100 Microsoft Corp. 1,878,670
69,600 Motorola, Inc. 1,542,336
15,959 Symantec Corp. * 380,622
40,800 Texas Instruments, Inc. 1,164,840
--------------
18,478,081
--------------
MATERIALS - 1.99%
19,900 Alcoa, Inc. 483,371
30,600 E.I. du Pont de Nemours & Co. 1,275,714
22,200 Georgia-Pacific Group 722,166
37,100 Rohm and Haas Co. 1,614,963
--------------
4,096,214
--------------
TELECOMMUNICATION SERVICES - 1.99%
15,100 Alltell Corp. 934,086
16,300 BellSouth Corp. 424,126
36,500 SBC Communications, Inc. 870,525
35,000 Sprint Nextel Corp. 815,850
33,120 Verizon Communications, Inc. 1,043,611
--------------
4,088,198
--------------
UTILITIES - 1.78%
32,600 AES Corp. * 518,014
22,000 Consolidated Edison, Inc. (O) 1,001,000
9,200 Dominion Resources, Inc. 699,936
33,500 FPL Group, Inc. 1,442,510
--------------
3,661,460
--------------
TOTAL COMMON STOCKS 133,046,936
( Cost $119,829,185 ) --------------
Par Value
- ----------
ASSET BACKED - 1.87%
$ 113,614 ABSC Long Beach Home
Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 113,325
500,000 ABSC Manufactured Housing Contract
Series 2004-OK1, Class A4 (C)
5.019%, due 04/16/30 330,460
500,000 Ameriquest Mortgage Securities, Inc.
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 493,429
See accompanying Notes to Financial Statements.
37
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- --------------
ASSET BACKED (CONTINUED)
$ 340,000 Citibank Credit Card
Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 $ 330,862
320,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 310,010
485,314 Green Tree Financial
Corp., Series 1996-1, Class M1
7.000%, due 03/15/27 476,101
300,027 Green Tree Financial
Corp., Series 1998-2, Class A6
6.810%, due 12/01/27 304,826
500,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 520,573
500,000 Residential Asset Mortgage Products,
Inc., Series 2003-RS9, Class A15
4.990%, due 03/25/31 498,505
200,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 199,250
270,000 Wells Fargo Home Equity
Trust, Series 2004-2,
Class M8A (C)(G)
7.038%, due 03/25/33 269,986
--------------
TOTAL ASSET BACKED 3,847,327
( Cost $119,829,185 ) --------------
COMMERCIAL MORTGAGE BACKED - 1.93%
546,796 Bear Stearns Commercial
Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 547,385
200,000 Bear Stearns Commercial
Mortgage Securities,
Series 2005-T20, Class F (C)(G)
5.303%, due 10/12/42 193,063
350,000 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46 339,803
350,000 Bear Stearns Commercial
Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 335,897
400,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1,
Class A7 (G)
5.317%, due 06/10/36 400,759
400,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 387,118
385,193 Morgan Stanley Capital I,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 392,500
700,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 683,844
200,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C) (G)
5.880%, due 11/28/35 171,727
525,391 Wachovia Bank
Commercial Mortgage
Trust, Series 2003-C6, Class A1
3.364%, due 08/15/35 510,398
--------------
TOTAL COMMERCIAL
MORTGAGE BACKED 3,962,494
( Cost $4,053,878 ) --------------
CORPORATE NOTES AND BONDS - 8.70%
CABLE - 0.18%
350,000 Comcast Cable Communications
6.875%, due 06/15/09 368,288
--------------
CAPITAL GOODS - 0.24%
500,000 Caterpillar Financial
Services Corp., Series F
2.500%, due 10/03/06 489,693
--------------
See accompanying Notes to Financial Statements.
38
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
CONSUMER DISCRETIONARY - 1.09%
$ 750,000 American Association of
Retired Persons (C)
7.500%, due 05/01/31 $ 906,634
500,000 Carnival Corp. (D)(O)
3.750%, due 11/15/07 488,970
500,000 Cendant Corp.
6.250%, due 01/15/08 508,631
325,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 340,000
--------------
2,244,235
--------------
CONSUMER STAPLES - 0.19%
400,000 Safeway, Inc. (O)
4.125%, due 11/01/08 387,324
--------------
ENERGY - 0.44%
150,000 Amerada Hess Corp. (O)
7.875%, due 10/01/29 178,348
250,000 Pemex Project Funding
Master Trust (O)
7.375%, due 12/15/14 273,250
450,000 Texaco Capital, Inc.
5.700%, due 12/01/08 450,305
--------------
901,903
--------------
FINANCE - 1.66%
500,000 American General
Finance Corp., Series H
4.625%, due 09/01/10 487,768
500,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 525,486
500,000 CIT Group, Inc. (O)
7.375%, due 04/02/07 517,045
350,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 352,642
205,000 GE Global Insurance Holding Corp. (O)
7.750%, due 06/15/30 222,682
250,000 HSBC Finance Corp. (O)
6.500%, due 11/15/08 260,475
500,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 506,905
500,000 U.S. Bank N.A.
6.300%, due 02/04/14 537,628
--------------
3,410,631
--------------
FORESTRY/PAPER - 0.10%
175,000 Westvaco Corp.
8.200%, due 01/15/30 200,195
--------------
HEALTH CARE - 0.34%
300,000 Eli Lilly & Co.
6.570%, due 01/01/16 333,762
205,000 Merck & Co., Inc.
6.400%, due 03/01/28 215,514
150,000 Wyeth (O)
6.500%, due 02/01/34 163,159
--------------
712,435
--------------
INDUSTRIALS - 0.80%
150,000 Boeing Co.
8.625%, due 11/15/31 207,333
130,000 D.R. Horton, Inc. (O)
5.250%, due 02/15/15 118,716
250,000 Ford Motor Credit Co.
5.800%, due 01/12/09 228,963
150,000 General Motors Acceptance Corp. (O)
6.125%, due 08/28/07 147,691
165,000 General Motors Acceptance Corp.
7.250%, due 03/02/11 162,294
195,000 Genetech, Inc. (C)
5.250%, due 07/15/35 183,019
135,000 Pulte Homes, Inc. (O)
5.200%, due 02/15/15 125,041
150,000 Waste Management, Inc.
7.125%, due 12/15/17 166,422
310,000 WM. Wrigley Jr. Co. (O)
4.300%, due 07/15/10 302,891
--------------
1,642,370
--------------
PIPELINE - 0.11%
205,000 Kinder Morgan, Inc. (O)
7.250%, due 03/01/28 227,227
--------------
See accompanying Notes to Financial Statements.
39
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
REITS - 0.07%
$ 140,000 Simon Property Group, LP (O)
5.625%, due 08/15/14 $ 140,466
--------------
TELECOMMUNICATIONS - 0.91%
500,000 Bellsouth Capital Funding (O)
7.875%, due 02/15/30 589,853
250,000 Sprint Capital Corp.
7.125%, due 01/30/06 251,467
537,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 542,851
500,000 Verizon Wireless Capital LLC (O)
5.375%, due 12/15/06 502,759
--------------
1,886,930
--------------
TRANSPORTATION - 0.66%
600,000 Burlington Northern
Santa Fe Corp.
6.375%, due 12/15/05 601,274
175,000 Burlington Northern
Santa Fe Corp.
8.125%, due 04/15/20 217,182
239,000 Norfolk Southern Corp.
5.590%, due 05/17/25 234,241
260,000 Norfolk Southern Corp.
7.050%, due 05/01/37 303,185
--------------
1,355,882
--------------
UTILITIES - 1.91%
375,000 Constellation Energy Group, Inc.
4.550%, due 06/15/15 343,154
500,000 DTE Energy Co.
6.450%, due 06/01/06 504,661
500,000 Energy East Corp.
8.050%, due 11/15/10 560,108
750,000 Niagara Mohawk Power Corp.
7.750%, due 05/15/06 762,601
175,000 Pacific Gas and Electric Co. (O)
6.050%, due 03/01/34 175,811
350,000 Progress Energy, Inc. (O)
7.750%, due 03/01/31 401,301
350,000 Virginia Electric and
Power Co., Series A (O)
5.750%, due 03/31/06 351,457
750,000 Wisconsin Electric Power
6.500%, due 06/01/28 825,119
--------------
3,924,212
--------------
TOTAL CORPORATE NOTES
AND BONDS 17,891,791
( Cost $17,674,975 ) --------------
MORTGAGE BACKED - 9.23%
FEDERAL HOME LOAN
MORTGAGE CORP - 1.62%
18,614 8.000%, due 06/01/30
Pool # C01005 19,828
269,706 6.500%, due 01/01/32
Pool # C62333 277,036
1,947,294 5.000%, due 07/01/33
Pool # A11325 1,880,483
315,836 6.000%, due 09/01/34
Pool # A26682 319,083
171,330 6.000%, due 10/01/34
Pool # A28439 173,092
166,170 6.000%, due 10/01/34
Pool # A28598 167,879
184,308 6.000%, due 11/01/34
Pool # A28556 186,204
163,045 5.000%, due 04/01/35
Pool # A32315 156,921
148,886 5.000%, due 04/01/35
Pool # A32316 143,293
--------------
3,323,819
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.20%
528,136 4.000%, due 04/01/15
Pool # 255719 507,291
107,055 6.000%, due 05/01/16
Pool # 582558 109,542
See accompanying Notes to Financial Statements.
40
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- --------------
MORTGAGE BACKED (CONTINUED)
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$1,080,731 5.000%, due 12/01/17
Pool # 672243 $ 1,067,261
1,179,938 4.500%, due 09/01/18
Pool # 737144 1,142,993
900,000 5.000%, due 05/01/20
Pool # 813965 888,103
181,617 6.000%, due 05/01/21
Pool # 253847 184,552
31,051 7.000%, due 12/01/29
Pool # 762813 32,559
122,182 7.000%, due 11/01/31
Pool # 607515 127,817
117,827 6.000%, due 02/01/32
Pool # 611619 118,990
89,905 7.000%, due 05/01/32
Pool # 644591 94,052
702,480 6.500%, due 06/01/32
Pool # 545691 722,084
5,301 7.000%, due 08/01/32
Pool # 641302 5,544
1,598,863 6.000%, due 08/01/33
Pool # 729413 1,613,384
778,660 6.000%, due 08/01/33
Pool # 729418 785,731
873,587 5.500%, due 10/01/33
Pool # 254904 863,204
2,537,100 5.500%, due 11/01/33
Pool # 555880 2,506,943
29,790 5.000%, due 05/01/34
Pool # 782214 28,729
675,086 5.000%, due 06/01/34
Pool # 255230 651,050
36,065 7.000%, due 07/01/34
Pool # 792636 37,704
284,716 5.500%, due 08/01/34
Pool # 793647 281,098
1,007,533 5.500%, due 03/01/35
Pool # 815976 994,248
624,245 5.000%, due 08/01/35
Pool # 829670 600,905
508,941 5.000%, due 09/01/35
Pool # 820347 489,912
1,000,000 5.000%, due 10/01/35
Pool # 797669 962,611
--------------
14,816,307
--------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - .41%
18,867 8.000%, due 10/20/15
Pool # 002995 20,112
600,000 5.008%, due 12/16/25
Series 2004-43, Class C(G) 594,316
120,770 6.500%, due 02/20/29
Pool # 002714 124,758
104,390 6.500%, due 04/20/31
Pool # 003068 107,692
--------------
846,878
--------------
TOTAL MORTGAGE BACKED 18,987,004
( Cost $19,282,238 ) --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.11%
FEDERAL FARM CREDIT BANK - 0.52%
1,000,000 5.875%, due 10/03/16 1,072,370
--------------
FEDERAL HOME LOAN
MORTGAGE CORP. - 0.35%
750,000 4.500%, due 01/15/14 729,860
--------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.10%
600,000 3.800%, due 01/18/08 588,376
525,000 4.000%, due 09/02/08 514,275
500,000 5.250%, due 08/01/12 503,699
675,000 4.625%, due 10/15/14 (O) 659,333
--------------
2,265,683
--------------
See accompanying Notes to Financial Statements.
41
BALANCED FUND PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- ---------- --------------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS (CONTINUED)
U.S. TREASURY BONDS - 1.33%
$ 1,360,000 6.250%, due 05/15/30 (O) $ 1,643,262
1,000,000 5.375%, due 02/15/31 (O) 1,090, 625
--------------
2,733,887
--------------
U.S. TREASURY NOTES - 7.81%
560,000 1.500%, due 03/31/06 (O) 554,006
3,685,000 2.000%, due 05/15/06 (O) 3,641,384
1,400,000 3.125%, due 01/31/07 (O) 1,378,507
800,000 3.375%, due 02/28/07 (O) 789,531
700,000 2.750%, due 08/15/07 (O) 680,422
200,000 4.000%, due 08/31/07 (O) 198,625
2,300,000 2.625%, due 05/15/08 (O) 2,202,519
1,410,000 3.000%, due 02/15/09 (O) 1,348,313
200,000 3.500%, due 08/15/09 (O) 193,406
825,000 3.875%, due 05/15/10 (O) 804,826
650,000 3.875%, due 07/15/10 (O) 633,649
1,350,000 3.875%, due 09/15/10 (O) 1,314,668
880,000 4.000%, due 02/15/14 (O) 845,660
725,000 4.125%, due 05/15/15 (O) 699,625
800,000 4.250%, due 08/15/15 (O) 780,625
--------------
16,065,766
--------------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS 22,867,566
( Cost $23,041,040 ) --------------
Value
Shares (Note 2)
- ---------- --------------
INVESTMENT COMPANIES - 15.05%
1 J.P. Morgan Prime
Money Market Fund 1
5,616,104 SSgA Prime Money
Market Fund 5,616,104
25,334,344 State Street Navigator Securities
Lending Portfolio (I) 25,334,344
--------------
TOTAL INVESTMENT
COMPANIES 30,950,449
(Cost $30,950,449 ) --------------
TOTAL INVESTMENTS - 112.56% $ 231,553,567
(Cost $218,826,788** ) --------------
NET OTHER ASSETS
AND LIABILITIES - (12.56)% (25,838,437)
--------------
TOTAL NET ASSETS - 100.00% $ 205,715,130
==============
- -----------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $218,997,611.
(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.
(D) Notes and bonds, issued by foreign entities, of these securities is 2.38%
of net assets.
(G) Floating rate or variable rate note. Rate shown is as of October 31, 2005.
(I) Represents investments of cash collateral received 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.
42
GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
COMMON STOCKS - 98.75%
CONSUMER DISCRETIONARY - 10.23%
26,600 Belo Corp., Class A $ 574,560
41,791 Comcast Corp., Class A * 1,163,043
84,200 Home Depot, Inc. 3,455,568
82,100 McDonald's Corp. 2,594,360
35,000 Newell Rubbermaid, Inc. 804,650
59,000 Target Corp. 3,285,710
107,100 Time Warner, Inc. 1,909,593
68,400 Viacom, Inc., Class B 2,118,348
93,600 Walt Disney Co. 2,281,032
--------------
18,186,864
--------------
CONSUMER STAPLES - 6.79%
32,500 Altria Group, Inc. 2,439,125
21,500 Coca-Cola Co. 919,770
69,800 General Mills, Inc. (O) 3,368,548
27,300 Kimberly-Clark Corp. 1,551,732
21,400 Procter & Gamble Co. 1,198,186
145,700 Sara Lee Corp. 2,600,745
--------------
12,078,106
--------------
ENERGY - 13.18%
18,000 Anadarko Petroleum
Corp. 1,632,780
19,700 Apache Corp. 1,257,451
24,606 BP PLC, ADR 1,633,839
57,466 Chevron Corp. 3,279,584
50,600 ConocoPhillips 3,308,228
18,200 Cooper Cameron Corp. * 1,341,886
42,100 Devon Energy Corp. 2,541,998
97,200 Exxon Mobil Corp. 5,456,808
17,800 Schlumberger, Ltd. 1,615,706
23,852 Transocean, Inc. * 1,371,251
--------------
23,439,531
--------------
FINANCIALS - 25.64%
85,000 Allstate Corp. 4,487,150
21,000 American
International Group, Inc. 1,360,800
120,184 Bank of America Corp. 5,256,848
5,000 Bear Stearns Cos., Inc. 529,000
10 Berkshire Hathaway,
Inc., Class A (O) * 859,000
147,966 Citigroup, Inc. 6,773,884
19,100 Equity Residential, REIT 749,675
20,000 Freddie Mac 1,227,000
88,268 J.P. Morgan Chase & Co. 3,232,374
12,600 Marsh & McLennan
Cos., Inc. 367,290
58,400 Morgan Stanley 3,177,544
57,100 National City Corp. 1,840,333
7,100 Principal Financial
Group 352,373
56,700 Prudential
Financial, Inc. 4,127,193
20,000 St. Paul Travelers
Cos., Inc. 900,600
27,700 SunTrust Banks, Inc. 2,007,696
41,300 U.S. Bancorp 1,221,654
66,000 Wachovia Corp. 3,334,320
56,400 Wells Fargo & Co. 3,395,280
6,000 XL Capital, Ltd., Class A 384,360
--------------
45,584,374
--------------
HEALTH CARE - 8.52%
35,300 Abbott Laboratories 1,519,665
77,600 Baxter
International, Inc. 2,966,648
21,100 Community Health
Systems, Inc. (O) * 783,021
46,100 GlaxoSmithKline
PLC, ADR 2,396,739
See accompanying Notes to Financial Statements.
43
GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
20,800 HCA, Inc. $ 1,002,352
28,700 Merck & Co., Inc. 809,914
83,640 Pfizer, Inc. 1,818,334
15,400 Triad Hospitals, Inc. * 633,402
29,800 Watson
Pharmaceuticals, Inc. * 1,029,888
49,200 Wyeth 2,192,352
--------------
15,152,315
--------------
INDUSTRIALS - 11.13%
29,300 Burlington Northern
Santa Fe Corp. 1,818,358
26,000 Emerson Electric Co. 1,808,300
158,200 General Electric Co. 5,364,562
77,200 Honeywell
International, Inc. 2,640,240
22,900 Masco Corp. 652,650
24,000 Textron, Inc. 1,728,960
31,000 Tyco International, Ltd. 818,090
54,600 United Technologies
Corp. 2,799,888
72,800 Waste Management, Inc. 2,148,328
--------------
19,779,376
--------------
INFORMATION TECHNOLOGY - 10.84%
46,500 Applied Materials, Inc. 761,670
43,600 Automatic Data
Processing, Inc. 2,034,376
70,042 Computer Associates
International, Inc. 1,959,074
40,700 Computer Sciences
Corp. * 2,085,875
84,600 EMC Corp./
Massachusetts * 1,181,016
14,894 Freescale Semiconductor,
Inc., Class B * 355,669
108,921 Hewlett-Packard Co. 3,054,145
61,500 Intel Corp. 1,445,250
32,100 International
Business Machines Corp. 2,628,348
119,400 Motorola, Inc. 2,645,904
38,900 Texas Instruments, Inc. 1,110,595
--------------
19,261,922
--------------
MATERIALS - 4.18%
13,200 Air Products &
Chemicals, Inc. 755,568
34,400 Alcoa, Inc. 835,576
16,400 Dow Chemical Co. 752,104
66,000 E.I. du Pont de
Nemours & Co. 2,751,540
15,400 PPG Industries, Inc. 923,538
22,300 Weyerhaeuser Co. 1,412,482
--------------
7,430,808
--------------
TELECOMMUNICATION SERVICES - 4.52%
50,700 Alltell Corp. 3,136,302
102,000 SBC Communications,
Inc. 2,432,700
78,320 Verizon
Communications, Inc. 2,467,863
--------------
8,036,865
--------------
UTILITIES - 3.72%
20,100 Ameren Corp. 1,057,260
34,400 Consolidated
Edison, Inc. (O) 1,565,200
15,900 Dominion Resources,
Inc. 1,209,672
34,000 FPL Group, Inc. 1,464,040
30,300 Progress Energy, Inc. 1,320,777
--------------
6,616,949
--------------
TOTAL COMMON
STOCKS 175,567,110
( Cost $151,664,731 ) --------------
See accompanying Notes to Financial Statements.
44
GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
INVESTMENT COMPANIES - 5.12%
2,390,033 SSgA Prime Money
Market Fund $ 2,390,033
6,715,230 State Street
Navigator Securities
Lending Portfolio (I) 6,715,230
--------------
TOTAL INVESTMENT
COMPANIES 9,105,263
(Cost $9,105,263 ) --------------
TOTAL INVESTMENTS - 103.87% 184,672,373
(Cost $160,769,994** ) --------------
NET OTHER ASSETS
AND LIABILITIES - (3.87)% (6,879,184)
--------------
TOTAL NET ASSETS - 100.00% $ 177,793,189
==============
- -----------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $161,668.453.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
See accompanying Notes to Financial Statements.
45
CAPITAL APPRECIATION FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- --------------
COMMON STOCKS - 97.70%
CONSUMER DISCRETIONARY - 11.06%
33,150 Brinker
International, Inc. * $ 1,263,678
30,400 Carnival Corp. 1,509,968
23,390 Discovery Holding Co.,
Class A (O) * 329,565
32,000 Home Depot, Inc. 1,313,280
45,800 Kohl's Corp. * 2,204,354
233,900 Liberty Media Corp.,
Class A * 1,864,183
22,100 Target Corp. 1,230,749
45,800 Tiffany & Co. 1,804,520
54,200 Time Warner, Inc. 966,386
48,500 Viacom, Inc., Class B 1,502,045
33,000 Walt Disney Co. 804,210
--------------
14,792,938
--------------
CONSUMER STAPLES - 9.18%
62,800 Coca-Cola Co. 2,686,584
27,100 CVS Corp. 661,511
33,900 Estee Lauder Cos., Inc.,
Class A 1,124,463
14,800 General Mills, Inc. 714,248
32,100 Kraft Foods, Inc.,
Class A (O) 908,430
41,400 Procter & Gamble Co. 2,317,986
29,100 Sysco Corp. 928,581
62,100 Wal-Mart Stores, Inc. 2,937,951
--------------
12,279,754
--------------
ENERGY - 10.56%
27,950 Apache Corp. 1,784,049
25,800 Chevron Corp. 1,472,406
51,600 ConocoPhillips 3,373,608
32,200 Exxon Mobil Corp. 1,807,708
29,100 Marathon Oil Corp. 1,750,656
18,600 Noble Corp. 1,197,468
24,900 Weatherford
International, Ltd. * 1,558,740
27,066 XTO Energy, Inc. 1,176,288
--------------
14,120,923
--------------
FINANCIALS - 19.32%
19,000 ACE, Ltd. 989,900
39,800 American International
Group, Inc. 2,579,040
66,700 Bank of America Corp. 2,917,458
40,600 Bank of New York Co., Inc. 1,270,374
3,400 Chubb Corp. 316,098
94,000 Citigroup, Inc. 4,303,320
15,300 Fifth Third Bancorp 614,601
30,600 Freddie Mac 1,877,310
14,300 Goldman Sachs Group, Inc. 1,807,091
18,800 J.P. Morgan Chase & Co. 688,456
19,800 Marsh & McLennan
Cos., Inc. 577,170
32,400 Metlife, Inc. 1,600,884
40,100 U.S. Bancorp 1,186,158
17,900 Wachovia Corp. 904,308
42,800 Wells Fargo & Co. 2,576,560
13,300 XL Capital, Ltd., Class A 851,998
10,500 Zions Bancorp. 771,435
--------------
25,832,161
--------------
HEALTH CARE - 12.15%
46,500 Abbott Laboratories 2,001,825
56,500 Applera Corp. -
Applied Biosystems Group 1,371,255
37,500 Boston Scientific Corp. * 942,000
18,300 Community Health
Systems, Inc. * 679,113
15,700 Genzyme Corp. * 1,135,110
30,800 Health Management
Associates, Inc., Class A (O) 659,428
7,760 Hospira, Inc. * 309,236
61,800 IMS Health, Inc. 1,435,614
35,000 Johnson & Johnson 2,191,700
30,800 Medimmune, Inc. * 1,077,384
14,900 Merck & Co., Inc. 420,478
65,738 Pfizer, Inc. 1,429,144
7,800 Stryker Corp. 322,740
See accompanying Notes to Financial Statements.
46
CAPITAL APPRECIATION FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- ------------
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
8,900 Triad Hospitals, Inc. * $ 366,057
42,700 Wyeth 1,902,712
------------
16,243,796
------------
INDUSTRIALS - 11.14%
8,700 3M Co. 661,026
11,100 CSX Corp. 508,491
17,600 Dover Corp. 686,048
16,400 FedEx Corp. 1,507,652
10,800 General Dynamics Corp. 1,256,040
156,700 General Electric Co. 5,313,697
29,400 Honeywell
International, Inc. 1,005,480
18,900 Illinois Tool Works, Inc. 1,601,964
24,100 Masco Corp. 686,850
23,000 Tyco International, Ltd. 606,970
36,000 Waste Management, Inc. 1,062,360
------------
14,896,578
------------
INFORMATION TECHNOLOGY - 16.49%
13,900 Affiliated Computer
Services, Inc., Class A * 752,129
76,400 Altera Corp. * 1,272,060
93,400 Cadence Design
Systems, Inc. (O) * 1,492,532
63,100 Celestica, Inc. (O) * 603,236
76,200 Cisco Systems, Inc. * 1,329,690
104,100 EMC Corp./Massachusetts * 1,453,236
46,600 Dell, Inc. * 1,485,608
34,860 First Data Corp. 1,410,087
3,588 Freescale Semiconductor,
Inc., Class B * 85, 682
58,700 Hewlett-Packard Co. 1,645,948
41,500 Intel Corp. 975,250
16,500 International
Business Machines Corp. 1,351,020
30,000 Kla-Tencor Corp. 1,388,700
86,300 Micron Technology,
Inc. (O) * 1,121,037
131,400 Microsoft Corp. 3,376,980
54,000 Motorola, Inc. 1,196,640
20,400 Novellus Systems, Inc. * 445,944
27,911 Symantec Corp. * 665,677
------------
22,051,456
------------
MATERIALS - 2.90%
13,000 Alcoa, Inc. 315,770
20,900 Georgia-Pacific Group 679,877
27,000 Praxair, Inc. 1,334,070
35,600 Rohm and Haas Co. 1,549,668
------------
3,879,385
------------
TELECOMMUNICATION SERVICES - 2.87%
16,700 BellSouth Corp. 434,534
27,500 CenturyTel, Inc. 900,075
34,000 SBC Communications, Inc. 810,900
32,400 Sprint Nextel Corp. 755,244
29,900 Verizon Communications, Inc. 942,149
------------
3,842,902
------------
UTILITIES - 2.03%
31,600 AES Corp. * 502,124
51,500 FPL Group, Inc. 2,217,590
------------
2,719,714
------------
TOTAL COMMON STOCKS
(Cost $115,854,088) 130,659,607
------------
See accompanying Notes to Financial Statements.
47
CAPITAL APPRECIATION FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- ------------
INVESTMENT COMPANIES - 5.78%
2,538,079 SSgA Prime Money Market Fund $ 2,538,079
5,183,935 State Street Navigator
Navigator Securities
Lending Portfolio (I) 5,183,935
------------
TOTAL INVESTMENT COMPANIES
(Cost $7,722,014) 7,722,014
------------
TOTAL INVESTMENTS - 103.48%
( Cost $123,576,102** ) 138,381,621
------------
NET OTHER ASSETS AND LIABILITIES - (3.48)% (4,650,391)
------------
TOTAL NET ASSETS - 100.00% $133,731,230
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $123,603,524.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
See accompanying Notes to Financial Statements.
48
MID-CAP FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ---------- ------------
COMMON STOCKS - 98.42%
CONSUMER DISCRETIONARY - 12.46%
4,700 Advo, Inc. $ 116,090
36,500 Belo Corp., Class A 788,400
14,100 Brinker
International, Inc. * 537,492
6,300 Cato Corp., Class A 125,874
2,500 CEC Entertainment, Inc. * 84,525
4,454 Federated
Department Stores, Inc. 273,342
39,500 Interpublic Group
of Cos., Inc. * 408,035
2,800 J.C. Penney Co., Inc. 143,360
22,200 Jones Apparel Group, Inc. 605,616
18,600 Linens 'n Things, Inc. (O) * 467,604
3,400 Matthews International Corp., Class A 122,196
4,000 Modine Manufacturing Co. 132,240
41,300 Newell Rubbermaid, Inc. 949,487
14,400 O'Reilly Automotive, Inc. * 406,080
13,400 Outback Steakhouse, Inc. 504,644
7,600 Ruby Tuesday, Inc. (O) 166,516
8,800 Stage Stores, Inc. 243,936
3,100 Standard-Pacific Corp. 119,598
17,600 Talbots, Inc. (O) 459,184
10,100 Tempur-Pedic
International, Inc. (O) * 111,706
15,700 Tiffany & Co. 618,580
24,700 TJX Cos., Inc. 531,791
3,300 Valassis Communications, Inc. * 103,125
5,900 WCI Communities, Inc. (O) * 147,618
6,700 Yankee Candle Co., Inc. (O) 151,487
------------
8,318,526
------------
CONSUMER STAPLES - 5.19%
5,800 Casey's General Stores, Inc. 125,164
12,500 Clorox Co. 676,500
10,400 Estee Lauder Cos.,
Inc., Class A 344,968
44,500 Hain Celestial Group, Inc. (O) * 859,740
10,200 Herbalife, Ltd. 274,380
5,600 Hormel Foods Corp. 178,080
15,500 McCormick & Co., Inc. (O) 469,495
9,400 NBTY, Inc. * 188,094
11,000 Sara Lee Corp. 196,350
4,000 Universal Corp./ Richmond VA 149,760
------------
3,462,531
------------
ENERGY - 11.37%
5,700 Amerada Hess Corp. 713,070
3,600 Arch Coal, Inc. (O) 277,452
16,600 BJ Services Co. 576,850
6,450 Encore Acquisition Co. * 221,300
17,500 ENSCO International, Inc. 797,825
8,000 EOG Resources, Inc. 542,240
12,300 Forest Oil Corp. * 537,264
12,800 Marathon Oil Corp. 770,048
17,400 Pioneer Natural
Resources Co. 870,870
4,800 Plains Exploration and Production Co. * 187,200
20,400 Smith International, Inc. 660,960
9,100 Valero Energy Corp. 957,684
5,100 Vintage Petroleum, Inc. 264,639
5,300 Whiting Petroleum Corp. * 214,915
------------
7,592,317
------------
FINANCIALS - 25.55%
4,300 American Capital Strategies, Ltd. (O) 161,508
19,000 AmSouth Bancorp. 479,370
6,200 Arthur J. Gallagher & Co. (O) 182,404
16,160 Associated Banc-Corp. (O) 504,354
14,100 Assured Guaranty, Ltd. 315,558
11,000 Bear Stearns Cos., Inc. 1,163,800
17,700 Colonial BancGroup, Inc. 430,995
11,000 Compass Bancshares, Inc. 536,360
See accompanying Notes to Financial Statements.
49
MID-CAP FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
FINANCIALS (CONTINUED)
4,900 Cousins Properties, Inc., REIT $ 144,746
4,050 Delphi Financial Group,
Class A 189,702
9,700 Equity Residential, REIT 380,725
20,000 Federated Investors, Inc., Class B 700,200
9,400 First Horizon National Corp. (O) 363,592
3,300 First Midwest Bancorp, Inc. 125,466
13,800 FirstMerit Corp. (O) 363,906
2,900 IPC Holdings, Ltd. 76,357
14,800 Jefferson-Pilot Corp. 812,224
4,300 M&T Bank Corp. 462,594
13,600 Marshall & Ilsley Corp. 584,256
2,400 MB Financial, Inc. 89,448
10,300 MBIA, Inc. 599,872
7,400 NewAlliance Bancshares, Inc. 106,708
9,400 North Fork Bancorp, Inc. 238,196
10,900 PartnerRe, Ltd. 694,548
7,200 Platinum Underwriters
Holdings, Ltd. (Bermuda) 205,128
20,400 Principal Financial Group 1,012,452
12,600 Protective Life Corp. 552,384
7,000 PS Business Parks, Inc., REIT (O) 325,780
15,200 Radian Group, Inc. 791,920
3,300 RAIT Investment Trust, REIT 87,648
5,200 Realty Income Corp., REIT 115,804
6,500 Reinsurance Group of America, Inc. 297,375
16,300 Safeco Corp. 907,910
8,400 Scottish Re Group Ltd. 206,220
6,400 SL Green Realty Corp., REIT 435,392
13,800 TCF Financial Corp. (O) 373,980
4,200 Texas Regional Bancshares, Inc., Class A 123,186
11,600 Torchmark Corp. 612,828
6,800 Universal American Financial Corp. * 100,640
11,000 U-Store-It Trust, REIT 229,460
5,200 Ventas, Inc., REIT 159,276
3,800 Webster Financial Corp. 175,446
2,700 Westamerica Bancorp. 143,937
6,703 Zions Bancorp. 492,469
------------
17,056,124
------------
HEALTH CARE - 6.84%
5,100 Amsurg Corp. * 121,125
10,200 Becton Dickinson & Co. 517,650
11,300 Community Health Systems, Inc. (O) * 419,343
2,400 Dentsply International, Inc. 132,336
3,600 Diagnostic Products Corp. 151,560
12,416 Fisher Scientific International, Inc. * 701,504
9,900 Health Management
Associates, Inc., Class A 211,959
9,500 Hospira, Inc. * 378,575
7,800 Idexx Laboratories, Inc. (O) * 547,014
10,600 Omnicare, Inc. 573,460
4,200 PolyMedica Corp. 138,642
8,300 Triad Hospitals, Inc. * 341,379
3,500 Varian, Inc. * 128,695
5,800 Watson Pharmaceuticals, Inc. * 200,448
------------
4,563,690
------------
INDUSTRIALS - 13.90%
7,800 Acuity Brands, Inc. 216,918
9,800 Airtran Holdings, Inc. (O) * 146,608
5,100 Albany International Corp., Class A 197,013
14,400 Avery Dennison Corp. (O) 815,760
5,200 Carlisle Cos., Inc. 346,788
See accompanying Notes to Financial Statements.
50
MID-CAP FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
INDUSTRIALS (CONTINUED)
18,900 CSX Corp. $ 865,809
2,400 Curtiss-Wright Corp. 137,640
7,525 Genesee & Wyoming, Inc., Class A * 241,176
18,000 Ingersoll-Rand Co., Ltd., Class A 680,220
20,200 Manpower, Inc. 914,656
13,900 Masco Corp. 396,150
5,100 Mueller Industries, Inc. 140,454
8,400 Parker-Hannifin Corp. 526,512
18,100 R. R. Donnelley & Sons Co. 633,862
26,700 Republic Services, Inc. 943,845
7,400 Simpson Manufacturing Co., Inc. (O) 292,004
9,000 Teleflex, Inc. 595,710
8,700 United Stationers, Inc. * 394,719
11,100 W.W. Grainger, Inc. 743,478
2,600 Werner Enterprises, Inc. 46,592
------------
9,275,914
------------
INFORMATION TECHNOLOGY - 8.82%
12,100 Affiliated Computer Services, Inc., Class A * 654,731
19,100 Arrow Electronics, Inc. * 563,641
7,900 ATMI, Inc. (O) * 215,749
30,600 Avaya, Inc. * 352,512
9,500 Belden CDT, Inc. 189,335
2,800 Black Box Corp. 112,336
7,000 Computer Sciences Corp. * 358,750
22,000 Convergys Corp. * 357,500
2,300 Diebold, Inc. 83,122
7,400 Electronics for Imaging * 185,814
2,900 Intergraph Corp. (O) * 140,302
22,000 Intersil Corp., Class A (O) 500,720
27,200 LSI Logic Corp. (O) * 220,592
94,900 Lucent Technologies, Inc. (O) * 270,465
4,600 MAXIMUS, Inc. 166,750
8,200 Molex, Inc. (O) 207,542
6,600 NAM TAI Electronics, Inc. 149,490
16,900 Reynolds and
Reynolds Co., Class A 448,526
53,600 Tellabs, Inc. * 512,416
5,300 Varian Semiconductor
Equipment Associates, Inc. (O)* 200,446
------------
5,890,739
------------
MATERIALS - 7.18%
3,000 Aber Diamond Corp. 93,156
12,300 Air Products & Chemicals, Inc. 704,052
3,300 Aptargroup, Inc. 168,927
2,300 Ashland, Inc. 123,073
4,200 Bemis Co. 110,964
4,500 Compass Minerals International, Inc. 100,755
7,000 Georgia-Pacific Group 227,710
3,400 Inco, Ltd. 136,748
7,000 Martin Marietta Materials, Inc. 552,370
4,800 Meridian Gold, Inc. * 90,144
11,800 Novelis, Inc. 232,578
2,500 Nucor Corp. 149,625
9,300 PPG Industries, Inc. 557,721
11,900 Rohm and Haas Co. 518,007
46,000 Smurfit-Stone
Container Corp. * 485,760
24,600 Valspar Corp. 542,430
------------
4,794,020
------------
TELECOMMUNICATION SERVICES - 1.08%
22,100 CenturyTel, Inc. 723,333
------------
UTILITIES - 6.03%
19,800 AES Corp. * 314,622
22,100 Alliant Energy Corp (O) 584,545
6,400 Ameren Corp. 336,640
18,000 CMS Energy Corp. (O) * 268,380
See accompanying Notes to Financial Statements.
51
MID-CAP FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
19,100 Constellation Energy Group, Inc. $ 1,046,680
2,200 New Jersey Resources Corp. 94,952
14,500 Pepco Holdings, Inc. 311,605
7,750 PNM Resources, Inc. 196,463
8,500 Weststar Energy, Inc. 187,850
3,100 WGL Holdings, Inc. 96,348
15,500 Wisconsin Energy Corp. 586,365
------------
4,024,450
------------
TOTAL COMMON STOCKS
(Cost $53,032,225) 65,701,644
------------
INVESTMENT COMPANIES - 15.38%
1,213,224 SSgA Prime Money Market Fund 1,213,224
9,054,350 State Street Navigator Securities Lending
Portfolio (I) 9,054,350
------------
TOTAL INVESTMENT COMPANIES
(Cost $10,267,574) 10,267,574
------------
TOTAL INVESTMENTS - 113.80%
( Cost $63,299,799** ) 75,969,218
------------
NET OTHER ASSETS
AND LIABILITIES - (13.80)% (9,210,627)
------------
TOTAL NET ASSETS - 100.00% $ 66,758,591
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $63,316,419.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
See accompanying Notes to Financial Statements.
52
MULTI-CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS - 93.20%
CONSUMER DISCRETIONARY - 6.86%
6,940 aQuantive, Inc. (O) * $ 150,251
6,700 Chico's FAS, Inc. * 264,918
5,900 D.R. Horton, Inc. 181,071
5,600 Education Management Corp. * 172,704
4,100 Fastenal Co. (O) 287,533
4,680 GameStop Corp., Class A * 151,351
2,049 GameStop Corp., Class B * 72,693
11,683 Geox SpA 111,339
10,260 La Quinta Corp. * 85,671
3,400 Paccar, Inc. 238,068
1,650 Red Robin Gourmet Burgers, Inc. (O) * 79,580
5,000 Univision Communications,
Inc., Class A * 130,700
44,730 XM Satellite Radio
Holdings, Inc., Class A (O) * 1,289,566
------------
3,215,445
------------
CONSUMER STAPLES - 1.96%
16,380 Procter & Gamble Co. 917,116
------------
ENERGY - 6.43%
2,300 Alon USA Energy, Inc. (O) * 44,850
2,090 Arch Coal, Inc. (O) 161,076
2,835 Cabot Oil & Gas Corp. 129,815
7,300 Cameco Corp. 348,940
4,900 EOG Resources, Inc. 332,122
9,080 Halliburton Co. 536,628
28,530 Petro-Canada 991,418
3,120 Petroleo Brasileiro, S.A., ADR (O) 199,368
6,133 XTO Energy, Inc. 266,540
------------
3,010,757
------------
FINANCIALS - 12.21%
1,830 Affiliated Managers Group (O) * 140,452
3,050 Arch Capital Group, Ltd. * 150,975
3,230 CB Richard Ellis Group, Inc., Class A * 157,786
3,240 Chicago Mercantile Exchange Holdings, Inc. 1,183,086
54,190 Countrywide Financial Corp. 1,721,616
8,340 Franklin Resources, Inc. 737,006
11,350 Legg Mason, Inc. 1,217,969
6,870 Nasdaq Stock Market, Inc. * 212,214
4,900 Nuveen Investments, Inc., Class A (O) 198,303
------------
5,719,407
------------
HEALTH CARE - 22.42%
6,230 Abgenix, Inc. (O) * 64,792
4,680 Alkermes, Inc. (O) * 76,237
17,380 Amgen, Inc. * 1,316,709
4,430 Amylin Pharmaceuticals, Inc. (O) * 148,848
9,500 Applera Corp. -
Applied Biosystems Group 230,565
42,030 AstraZeneca PLC, ADR 1,887,147
6,700 Biomet, Inc. 233,361
3,000 Cephalon, Inc. (O) * 136,770
3,350 Covance, Inc. * 162,977
6,400 DaVita, Inc. * 314,752
7,010 Digene Corp. (O) * 211,702
3,000 Foxhollow Technologies, Inc. (O) * 135,930
5,300 Health Net, Inc. * 248,252
3,930 Hologic, Inc. (O) * 217,958
30,920 Medtronic, Inc. 1,751,927
2,160 Mentor Corp. (O) 97,200
2,540 Pharmaceutical Product Development, Inc. 145,974
See accompanying Notes to Financial Statements.
53
MULTI-CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
15,690 Sanofi-Aventis $ 629,483
43,300 Schering-Plough Corp. 880,722
27,930 UnitedHealth Group, Inc. 1,616,868
------------
10,508,174
------------
INDUSTRIALS - 12.72%
2,680 Advisory Board Co. * 129,310
18,490 Boeing Co. 1,195,194
8,600 CH Robinson Worldwide, Inc. 303,236
2,200 Corporate Executive Board Co. 181,808
4,760 Corrections Corp. of America (O) * 189,829
14,400 Danaher Corp. 750,240
4,400 Expeditors International of Washington, Inc. 266,948
9,050 General Dynamics Corp. 1,052,515
31,040 General Electric Co. 1,052,566
2,300 Gol Linhas Aereas
Inteligentes S.A., ADR (O) 79,695
1,930 Jacobs Engineering Group, Inc. * 123,038
5,860 Knight Transportation, Inc. (O) 159,450
9,500 Robert Half International, Inc. 350,360
2,230 Stericycle, Inc. * 128,359
------------
5,962,548
------------
INFORMATION TECHNOLOGY - 29.67%
4,300 Cognizant Technology
Solutions Corp., Class A * 189,114
6,800 Cognos, Inc. * 255,204
45,000 Dell, Inc. * 1,434,600
30,510 Electronic Arts, Inc. * 1,735,409
2,400 F5 Networks, Inc. * 124,872
2,560 Google, Inc., Class A * 952,678
5,360 Insight Enterprises, Inc. (O) * 109,987
10,800 Jabil Circuit, Inc. * 322,380
6,400 Linear Technology Corp. 212,544
5,000 Logitech International S.A., ADR (O) * 191,800
3,470 Microsemi Corp. (O) * 80,400
45,500 Microsoft Corp. 1,169,350
8,200 Monster Worldwide, Inc. * 269,042
43,630 Network Appliance, Inc. * 1,193,717
7,900 Nvidia Corp. * 265,045
26,310 Opsware, Inc. (O) * 135,233
6,900 Pixar * 350,037
25,910 Qualcomm, Inc. 1,030,182
26,850 Red Hat, Inc. (O) * 623,457
9,600 Redback Networks, Inc. (O) * 100,896
3,340 Research In Motion, Ltd. * 205,377
3,950 Salesforce.com, Inc. (O) * 98,710
4,600 SanDisk Corp. * 270,894
7,230 THQ, Inc. (O) * 167,591
11,200 VeriFone Holdings, Inc. (O) * 259,840
53,680 Yahoo!, Inc. * 1,984,550
4,000 Zebra Technologies Corp., Class A * 172,440
------------
13,905,349
------------
TELECOMMUNICATION SERVICES - 0.93%
8,250 Alamosa Holdings, Inc. * 122,100
13,100 American Tower Corp., Class A * 312,435
------------
434,535
------------
TOTAL COMMON STOCKS
(Cost $37,869,235) 43,673,331
------------
See accompanying Notes to Financial Statements.
54
MULTI-CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCK UNIT - 1.74%
CONSUMER DISCRETIONARY- 1.74%
13,950 Starwood Hotels & Resorts Worldwide, Inc. $ 815,098
------------
TOTAL COMMON STOCK UNIT
(Cost $812,462) 815,098
------------
Par Value
CERTIFICATE OF DEPOSIT - 0.55%
$ 259,097 State Street Eurodollar 2.100%, due 11/01/05 259,097
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $259,097) 259,097
------------
Shares
INVESTMENT COMPANIES - 14.49%
1,830 iShares Russell 2000
Growth Index Fund (O) 120,231
1,040 Oil Service HOLDRs Trust (O) 121,940
2,088,915 SSgA Prime Money Market Fund 2,088,915
4,459,345 State Street Navigator Securities Lending
Portfolio (I) 4,459,345
------------
TOTAL INVESTMENT COMPANIES
(Cost $6,767,419) 6,790,431
------------
TOTAL INVESTMENTS - 109.98%
(Cost $45,708,213**) 51,537,957
------------
NET OTHER ASSETS
AND LIABILITIES - (9.98)% (4,678,507)
------------
TOTAL NET ASSETS - 100.00% $ 46,859,450
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $45,775,779.
(I) Represents investments of cash collateral received 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.
55
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS - 94.30%
AUSTRALIA - 0.67%
23,742 ABC Learning Centres, Ltd. $ 115,972
18,300 James Hardie Industries N.V. 116,663
27,552 John Fairfax Holdings, Ltd. 85,078
59,221 Macquarie Infrastructure Group 152,425
------------
470,138
------------
AUSTRIA - 0.20%
2,700 Erste Bank der Oesterreichischen Sparkassen AG 140,506
------------
BELGIUM - 1.21%
13,300 Belgacom S.A. 446,350
10,000 InBev N.V. 399,925
------------
846,275
------------
BRAZIL - 1.91%
4,900 Brasil Telecom Participacoes S.A., ADR 203,889
4,600 Cia Brasileira de Distribuicao
Grupo Pao de Acucar, ADR 126,776
660 Cia de Bebidas das Americas, ADR 18,434
6,100 Cia de Concessoes Rodoviarias 161,436
4,900 Cia Vale do Rio Doce, ADR 202,517
9,900 Gerdau S.A., ADR 134,343
10,800 Grendene S.A. 85,074
4,800 Petroleo Brasileiro, S.A., ADR 306,720
8,100 Souza Cruz S.A. 96,195
------------
1,335,384
------------
CHILE - 0.14%
3,300 AFP Provida S.A., ADR 94,677
------------
CHINA - 0.48%
4,500 China Techfaith Wireless Communication
Technology, Ltd., ADR 44,055
1,360 CNOOC, Ltd., ADR 89,352
186,000 People's Food Holdings, Ltd. 94,541
164,000 Yanzhou Coal Mining Co., Ltd., Class H 105,355
------------
333,303
------------
EGYPT - 0.71%
18,705 Commercial International Bank, GDR (C) 175,827
3,345 Eastern Tobacco 133,295
1,900 Orascom Telecom Holding S.A.E. 189,041
------------
498,163
------------
FINLAND - 0.69%
9,000 Amer Sports OYJ 163,913
7,000 Nokian Renkaat OYJ 109,187
9,000 Sampo OYJ 138,148
2,200 Tietoenator OYJ 69,899
------------
481,147
------------
FRANCE - 11.93%
26,500 AXA S.A. 768,121
12,400 BNP Paribas 940,926
3,000 Carbone Lorraine 118,010
7,800 Carrefour S.A. 346,976
30,600 France Telecom S.A. 796,129
5,500 Lafarge S.A. 452,707
9,700 Lagardere S.C.A. 667,033
3,000 Neopost S.A. 289,696
7,545 Sanofi-Aventis 604,652
7,300 Schneider Electric S.A. 599,931
7,200 Total S.A. 1,814,623
29,400 Vivendi Universal S.A. 924,622
------------
8,323,426
------------
GERMANY - 4.56%
5,100 Deutsche Bank AG 478,073
1,400 Fielmann AG 95,637
620 PUMA AG Rudolf Dassler Sport 157,122
See accompanying Notes to Financial Statements.
56
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
2,100 Rheinmetall AG $ 129,250
15,500 Siemens AG 1,153,713
3,211 Techem AG * 127,881
19,000 Volkswagen AG 1,036,038
------------
3,177,714
------------
GREECE - 0.34%
4,790 OPAP S.A. 138,406
5,000 Piraeus Bank S.A. 101,279
------------
239,685
------------
HONG KONG - 0.84%
56,500 China Netcom Group
Corp., Hong Kong, Ltd. 89,343
32,100 Esprit Holdings, Ltd. 227,948
72,000 Hutchison Telecommunications
International, Ltd. * 90,286
228,000 SA SA International Holdings, Ltd. 84,677
141,000 Texwinca Holdings, Ltd. 96,099
------------
588,353
------------
HUNGARY - 0.28%
720 Gedeon Richter Rt. 118,419
800 MOL Magyar Olaj-es Gazipari Rt. 74,676
------------
193,095
------------
INDIA - 1.42%
8,100 Hero Honda Motors, Ltd. 127,520
33,500 Hindalco Industries, Ltd. 84,936
22,100 Hindustan Lever, Ltd. 79,029
3,900 Oil & Natural Gas Corp., Ltd. 80,086
11,800 Reliance Industries, Ltd. 200,275
13,602 Satyam Computer
Services, Ltd. 182,970
12,700 State Bank of India, Ltd. 236,645
------------
991,461
------------
INDONESIA - 0.84%
831,000 Bank Mandiri Persero Tbk PT 108,586
1,457,500 Bumi Resources Tbk PT 112,233
13,500 Telekomunikasi Indonesia Tbk PT, ADR 274,860
251,000 United Tractors Tbk PT 91,924
------------
587,603
------------
IRELAND - 1.75%
15,399 Anglo Irish Bank Corp. PLC 208,626
26,000 Bank of Ireland 395,311
19,387 CRH PLC 485,736
7,000 DCC PLC 130,489
------------
1,220,162
------------
ISRAEL - 0.23%
41,200 Bank Hapoalim B.M. 157,757
------------
ITALY - 3.75%
25,817 Banco Popolare di Verona e Novara S.c.r.l. 476,849
18,000 Davide Campari - Milano SpA 122,232
37,000 ENI SpA 990,502
3,700 Lottomatica SpA 134,464
306,500 Telecom Italia SpA 887,472
------------
2,611,519
------------
JAPAN - 20.72%
2,200 ABC-Mart, Inc. 59,891
2,200 ABC-Mart, Inc. (Q) 58,039
1,600 Asahi Pretec Corp. 35,143
21,000 Bosch Corp. 111,098
11,000 Chiyoda Corp. 189,516
3,200 Credit Saison Co., Ltd. 145,422
3,000 Daito Trust
Construction Co., Ltd. 148,292
1,900 Don Quijote Co., Ltd. 137,381
235 eAccess, Ltd. 145,530
117 East Japan Railway Co. 697,669
88,300 Fujitsu, Ltd. 585,473
See accompanying Notes to Financial Statements.
57
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
5,000 Hisamitsu Pharmaceutical Co., Inc. $ 120,165
6,500 Hoya Corp. 228,546
19,500 Hoya Corp. (Q) 675,303
42,000 Joyo Bank, Ltd. 281,767
5,000 JSR Corp. 117,780
7,700 Leopalace21 Corp. 199,285
3,300 Mars Engineering Corp. 101,049
130 Mitsubishi Tokyo Financial Group, Inc. 1,639,793
13,000 Murata Manufacturing Co., Ltd. 652,612
8,300 Nidec Corp. 485,966
106 Niws Co., Ltd. 115,199
52,400 Nomura Holdings, Inc. 807,156
307 NTT DoCoMo, Inc. 531,583
11,700 OSG Corp. 201,067
3,700 Rinnai Corp. 88,178
2,400 Secom Techno Service Co., Ltd. 90,026
6,000 Shin-Etsu Chemical Co., Ltd. 288,878
74,000 Shinsei Bank, Ltd. 431,540
19,200 Sony Corp. 626,342
61,000 Sumitomo Trust & Banking Co., Ltd. 518,428
14,000 Suruga Bank, Ltd. 171,317
16,100 Takeda Pharmaceutical Co., Ltd. 885,607
166,000 Tokyo Gas Co., Ltd. 654,142
34,100 Toyota Motor Corp. 1,583,684
1,500 USS Co., Ltd. 102,808
32,700 Yokogawa Electric Corp. 481,683
30 Yoshinoya D&C Co., Ltd. 56,786
------------
14,450,144
------------
LUXEMBOURG - 0.16%
10,600 Stolt Offshore S.A. * 109,919
------------
MEXICO - 0.79%
23,900 America Telecom, S.A.de C.V., Series A1 * 95,246
1,740 Desarrolladora Homex S.A. de C.V., ADR * 52,009
2,170 Fomento Economico Mexicano S.A. de C.V., ADR 147,538
2,000 Grupo Televisa S.A., ADR 146,200
18,600 Kimberly-Clark de Mexico, S.A. de C.V., Class A 61,540
8,100 Urbi Desarrollos Urbanos S.A. de C.V. 51,092
------------
553,625
------------
MOROCCO - 0.13%
8,500 Maroc Telecom 88,203
------------
NETHERLANDS - 3.90%
2,740 Boskalis Westminster 136,240
6,592 Fugro N.V. 178,313
17,621 Heineken N.V. 558,557
1,935 Hunter Douglas N.V. 92,136
800 Imtech N.V. 25,914
27,800 Royal Dutch Shell PLC, Class A 857,995
1,282 SBM Offshore N.V. 99,185
26,200 TNT N.V. 619,000
4,678 USG People N.V. 151,012
------------
2,718,352
------------
NORWAY - 1.48%
22,800 Den Norske Bank ASA 233,500
5,500 Ekornes ASA 99,831
26,100 Statoil ASA 580,408
12,200 Tandberg ASA 119,886
------------
1,033,625
------------
PERU - 0.17%
4,500 Credicorp, Ltd. 118,350
------------
See accompanying Notes to Financial Statements.
58
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
PHILIPPINES - 0.22%
5,000 Philippine Long Distance Telephone Co. $ 150,750
------------
RUSSIA - 0.81%
4,600 AFK Sistema, GDR (C) 103,040
1,700 Evraz Group S.A., GDR * 28,900
4,820 LUKOIL, ADR 265,823
4,500 Mobile Telesystems OJSC, ADR 166,455
------------
564,218
------------
SINGAPORE - 0.82%
153,600 Oversea-Chinese Banking Corp. 571,628
------------
SOUTH AFRICA - 1.03%
27,000 Edgars Consolidated Stores, Ltd. 119,969
6,100 Kumba Resources, Ltd. 90,142
31,300 Murray & Roberts Holdings, Ltd. 89,987
68,400 Old Mutual PLC 159,439
28,170 Sanlam * 51,840
78,196 Steinhoff International Holdings, Ltd. 204,707
------------
716,084
------------
SOUTH KOREA - 3.05%
2,500 GS Engineering & Construction Corp. 107,279
850 Hite Brewery Co., Ltd. 103,269
1,200 Hyundai Motor Co. 88,519
6,400 Kangwon Land, Inc. 107,727
6,286 Kookmin Bank 360,667
4,340 KT Corp., ADR 93,527
2,800 LG Electronics, Inc. 183,080
3,000 LG Household & Health Care, Ltd. 164,704
6,100 LG.Philips LCD Co., Ltd., ADR * 115,961
1,719 Samsung Electronics Co., Ltd., GDR (C) 458,979
1,374 Samsung Fire & Marine Insurance Co., Ltd. 131,009
1,120 Samsung SDI Co., Ltd. 110,886
2,000 SK Corp. 102,815
------------
2,128,422
------------
SPAIN - 0.77%
4,000 Abengoa, S.A. 65,646
7,300 Corp. Mapfre S.A. 127,950
8,600 Indra Sistemas, S.A. 176,402
6,900 Prosegur Cia de Seguridad S.A. 168,696
------------
538,694
------------
SWEDEN - 0.61%
15,180 Elekta AB, Class B 231,920
8,600 Getinge AB 107,586
7,650 Swedish Match AB 87,084
------------
426,590
------------
SWITZERLAND - 7.32%
13,900 Compagnie Financiere Richemont AG, Class A 528,768
28,370 Credit Suisse Group 1,254,466
140 Geberit AG 96,906
3,620 Nestle S.A. 1,077,088
27,600 Novartis AG 1,484,074
3,900 Zurich Financial Services AG * 664,989
------------
5,106,291
------------
TAIWAN - 1.41%
45,786 Advantech Co., Ltd. 101,023
160,314 Chinatrust Financial Holding Co. 124,763
3,800 Chunghwa Telecom Co., Ltd., ADR 65,816
41,000 Delta Electronics, Inc. 69,258
7,862 Delta Electronics, Inc., GDR (C) 66,195
See accompanying Notes to Financial Statements.
59
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
COMMON STOCKS (CONTINUED)
TAIWAN (CONTINUED)
144,000 Fubon Financial Holding Co., Ltd. $ 125,048
38,500 HON HAI Precision Industry Co., Ltd. 167,049
130,649 Taiwan Semiconductor Manufacturing Co., Ltd. 204,347
7,600 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR 61,408
------------
984,907
------------
THAILAND - 0.11%
100,100 Thai Union Frozen Products Public Co., Ltd. 75,793
------------
TURKEY - 0.46%
32,725 Akbank T.A.S. 203,565
8,805 Turkcell Iletisim Hizmet A.S., ADR 116,050
------------
319,615
------------
UNITED KINGDOM - 18.30%
116,900 Barclays PLC 1,157,533
87,400 BP PLC 966,774
52,200 Brit Insurance Holdings PLC * 77,529
10,549 Bunzl PLC 105,379
69,200 Cadbury Schweppes PLC 680,707
5,000 Carpetright PLC 79,384
19,371 Cattles PLC 93,671
92,200 Cobham PLC 251,024
84,600 Diageo PLC 1,249,776
45,000 Enodis PLC * 101,309
7,900 Enterprise Inns PLC 108,857
15,160 Filtrona PLC 72,315
43,700 GlaxoSmithKline PLC 1,136,241
17,400 Halfords Group PLC 85,348
21,700 Imperial Tobacco Group PLC 621,947
12,300 Intertek Group PLC 154,975
5,339 Man Group PLC 145,353
103,000 Marks and Spencer Group PLC 760,420
68,263 National Grid PLC 623,816
9,300 Northgate PLC 164,536
8,300 Premier Oil PLC * 106,606
59,800 Prudential PLC 501,503
74,731 Regus Group PLC * 121,315
44,200 Royal Bank of Scotland Group PLC 1,223,034
8,600 Signet Group PLC, ADR 155,574
47,300 Unilever PLC 479,280
542,881 Vodafone Group PLC 1,423,961
11,900 William Hill PLC 112,451
------------
12,760,618
------------
VENEZUELA - 0.09%
4,734 Cia Anonima Nacional
Telefonos de
Venezuela - CANTV, ADR 61,069
------------
TOTAL COMMON STOCKS 65,767,265
(Cost $53,818,747)
------------
COMMON STOCK UNITS - 0.39%
BRAZIL - 0.18%
3,200 All America Latina Logistica S.A. 123,816
------------
IRELAND - 0.21%
15,200 Grafton Group PLC * 149,511
------------
TOTAL COMMON STOCK UNITS 273,327
(Cost $238,514)
------------
See accompanying Notes to Financial Statements.
60
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ----------- ------------
PREFERRED STOCKS - 1.46%
BRAZIL - 1.46%
316,600 Caemi Mineracao e Metalurgica S.A. $ 504,138
4,900 Cia de Bebidas das Americas, ADR 173,950
7,900 Telemar Norte Leste S.A. 214,344
6,200 Usinas Siderurgicas de Minas Gerais S.A. 125,448
------------
Total Preferred Stocks
(Cost $343,716) 1,017,880
------------
WARRANTS AND RIGHTS - 0.00%
JAPAN - 0.00%
240 Belluna Co., Ltd. (L) *
(Exercise Price $34.61) 0
------------
TOTAL WARRANTS AND RIGHTS
(Cost $227) 0
------------
Par Value
CERTIFICATE OF DEPOSIT - 2.86%
UNITED STATES - 2.86%
$ 1,997,297 State Street Eurodollar 2.100%, due 11/01/05 1,997,297
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,997,297) 1,997,297
------------
TOTAL INVESTMENTS - 99.01%
(Cost $56,398,501**) 69,055,769
------------
NET OTHER ASSETS
AND LIABILITIES - 0.99% 691,162
------------
TOTAL NET ASSETS - 100.00% $ 69,746,931
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $56,452,511.
(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.
(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).
(Q) Shares received from stock split. Until pay date the shares received from
the stock split will price differently.
ADR American Depository Receipt.
GDR Global Depository Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
61
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets
% of Net Assets
---------------
Banks 16.8%
Oil, Gas & Consumable Fuels 8.9%
Pharmaceuticals 6.2%
Diversified Telecommunication Services 5.4%
Electronic Equipment & Instruments 4.1%
Automobiles 4.0%
Beverages 4.0%
Net Other Assets & Liabilities 3.9%
Insurance 3.8%
Food Products 3.5%
Wireless Telecommunication Services 3.3%
Electrical Equipment 2.7%
Media 2.6%
Diversified Financial Services 2.0%
Metals & Mining 2.0%
Household Durables 1.9%
Construction Materials 1.7%
Commercial Services & Supplies 1.6%
Multiline Retail 1.5%
Tobacco 1.3%
Semiconductors & Semiconductor Equipment 1.3%
Textiles, Apparel & Luxury Goods 1.2%
Road & Rail 1.2%
Computers & Peripherals 1.0%
Chemicals 1.0%
Gas Utilities 0.9%
Electric Utilities 0.9%
Air Freight & Logistics 0.9%
Specialty Retail 0.9%
Real Estate 0.8%
Hotels, Restaurants & Leisure 0.8%
Construction & Engineering 0.7%
Food & Staples Retailing 0.7%
Industrial Conglomerates 0.7%
IT Services 0.6%
Leisure Equipment & Products 0.6%
Machinery 0.6%
Energy Equipment & Services 0.6%
Distributors 0.5%
Health Care Equipment & Supplies 0.5%
Transportation Infrastructure 0.5%
Office Electronics 0.4%
Aerospace & Defense 0.3%
Auto Components 0.3%
Personal Products 0.2%
Communications Equipment 0.2%
Internet Software & Services 0.2%
Household Products 0.2%
Building Products 0.1%
---------
100.0%
=========
See accompanying Notes to Financial Statements.
62
This page is left blank intentionally.
63
STATEMENTS OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2005
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
------------- ------------- -------------
ASSETS:
Investments:
Investments at cost $ 17,298,146 $ 137,030,463 $ 74,076,129
Net unrealized appreciation (depreciation) - (599,896) 50,782
------------- ------------- -------------
Total investments at value 17,298,146 136,430,567 74,126,911
Cash - - 255,175
Foreign currency (cost of $274,414)(Note 2) - - -
Receivables:
Investments sold - - 577,814
Fund shares sold 16,904 82,336 32,635
Dividends and interest 34,268 1,099,234 1,304,620
Prepaid insurance and registration fees 487 2,971 1,848
Other assets 25,975 36,153 34,870
------------- ------------- -------------
Total Assets 17,375,780 137,651,261 76,333,873
------------- ------------- -------------
LIABILITIES:
Payables:
Investments purchased - 1,088,694 561,488
Fund shares repurchased 2,229 125,104 122,479
Due to Advisor, net 71 32,341 22,034
Upon return of securities loaned - 26,751,508 10,313,907
Administration and transfer agent fees 4,574 28,049 18,456
Distribution fees - Class B 3,890 30,605 13,623
Shareholder servicing fees - 23,298 14,099
Trustees' fees 56 349 209
Accrued expenses and other payables 17,120 41,098 141,006
------------- ------------- -------------
Total Liabilities 27,940 28,121,046 11,207,301
------------- ------------- -------------
NET ASSETS $ 17,347,840 $ 109,530,215 $ 65,126,572
============= ============= =============
NET ASSETS CONSIST OF:
Paid-in capital $ 17,347,044 $ 110,965,122 $ 70,013,869
Accumulated undistributed net investment income (loss) 803 37,296 157,170
Accumulated net realized gain (loss) on investments sold and foreign
currency related transactions (7) (872,307) (5,095,249)
Net unrealized app (dep) of investments (including
app (dep) of foreign currency related transactions) - (599,896) 50,782
------------- ------------- -------------
NET ASSETS $ 17,347,840 $ 109,530,215 $ 65,126,572
============= ============= =============
CLASS A SHARES:
Net Assets $ 11,243,196 $ 61,942,403 $ 43,871,806
Shares of beneficial interest outstanding 11,265,171 6,287,437 6,021,453
Net Asset Value and redemption price per share(1) $ 1.00 $ 9.85 $ 7.29
Sales charge of offering price (2) 0.06 0.49 0.36
------------- ------------- -------------
Maximum offering price per share $ 1.06 $ 10.34 $ 7.65
============= ============= =============
CLASS B SHARES:
Net Assets $ 6,104,644 $ 47,587,812 $ 21,254,766
Shares of beneficial interest outstanding 6,119,652 4,829,150 2,907,325
Net Asset Value and redemption price per share(1) $ 1.00 $ 9.85 $ 7.31
============= ============= =============
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
See accompanying Notes to Financial Statements.
64
BALANCED GROWTH AND CAPITAL APP. MID-CAP MULTI-CAP INTERNATIONAL
FUND INCOME FUND FUND FUND GROWTH FUND STOCK FUND
- ------------- ------------- ------------- ------------- ------------- -------------
$ 218,826,788 $ 160,769,994 $ 123,576,102 $ 63,299,799 $ 45,708,213 $ 56,398,501
12,726,779 23,902,379 14,805,519 12,669,419 5,829,744 12,657,268
- ------------- ------------- ------------- ------------- ------------- -------------
231,553,567 184,672,373 138,381,621 75,969,218 51,537,957 69,055,769
- - - - - 179,206
- - - - - 272,105
- - 1,310,260 - 165,635 400,492
148,508 25,512 28,763 36,061 26,152 32,823
833,337 185,119 116,877 40,517 22,085 81,734
5,692 4,931 3,740 1,927 1,265 1,800
35,282 30,170 29,121 16,967 16,895 59,657
- ------------- ------------- ------------- ------------- ------------- -------------
232,576,386 184,918,105 139,870,382 76,064,690 51,769,989 70,083,586
- ------------- ------------- ------------- ------------- ------------- -------------
890,750 - 560,442 54,522 242,640 192,654
332,563 178,799 189,052 83,448 136,828 18,891
95,878 55,050 58,448 32,975 7,215 31,396
25,334,344 6,715,230 5,183,935 9,054,350 4,459,345 -
58,956 63,142 60,041 27,197 24,678 18,681
62,718 46,868 34,971 14,205 9,116 6,875
46,996 37,379 28,153 14,303 9,850 14,701
3,335 821 318 860 139 835
35,716 27,627 23,792 24,239 20,728 52,622
- ------------- ------------- ------------- ------------- ------------- -------------
26,861,256 7,124,916 6,139,152 9,306,099 4,910,539 336,655
- ------------- ------------- ------------- ------------- ------------- -------------
$ 205,715,130 $ 177,793,189 $ 133,731,230 $ 66,758,591 $ 46,859,450 $ 69,746,931
============= ============= ============= ============= ============= =============
198,370,107 $ 179,182,953 $ 144,114,567 $ 49,638,760 $ 58,613,081 $ 56,491,758
3,909 1,330,889 422,539 - - 608,408
(5,385,665) (26,623,032) (25,611,395) 4,450,412 (17,583,375) 1,057
12,726,779 23,902,379 14,805,519 12,669,419 5,829,744 12,645,708
- ------------- ------------- ------------- ------------- ------------- -------------
$ 205,715,130 $ 177,793,189 $ 133,731,230 $ 66,758,591 $ 46,859,450 $ 69,746,931
============= ============= ============= ============= ============= =============
$ 107,456,745 $ 103,765,582 $ 78,785,245 $ 44,125,935 $ 32,395,376 $ 58,824,769
8,769,973 7,862,025 5,742,153 3,133,994 6,041,006 4,649,058
$ 12.25 $ 13.20 $ 13.72 $ 14.08 $ 5.36 $ 12.65
0.75 0.81 0.84 0.86 0.33 0.77
- ------------- ------------- ------------- ------------- ------------- -------------
$ 13.00 $ 14.01 $ 14.56 $ 14.94 $ 5.69 $ 13.42
============= ============= ============= ============= ============= =============
$ 98,258,385 $ 74,027,607 $ 54,945,985 $ 22,632,656 $ 14,464,074 $ 10,922,162
8,011,484 5,707,950 4,231,820 1,655,179 2,813,541 875,393
$ 12.26 $ 12.97 $ 12.98 $ 13.67 $ 5.14 $ 12.48
============= ============= ============= ============= ============= =============
(2) Sales charge of offering price is 5.75% for the Cash Reserves, Balanced,
Growth and Income, Capital Appreciation, Mid-Cap, Multi-Cap Growth, and
International Stock Funds; and 4.75% for the Bond and High Income Funds.
See accompanying Notes to Financial Statements.
65
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2005
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
------------- ----------- -----------
INVESTMENT INCOME:
Interest $ 520,124 $ 5,288,139 $ 5,043,101
Dividends - - 61,391
Less: Foreign taxes withheld - - (461)
Securities lending income - 30,400 42,173
----------- ----------- -----------
Total investment income 520,124 5,318,539 5,146,204
----------- ----------- -----------
EXPENSES:
Management fees 73,584 563,848 377,280
Administration and transfer agent fees 44,679 229,163 155,680
Registration expenses 16,442 15,927 17,635
Custodian and accounting fees 15,558 33,725 61,350
Professional fees 22,377 32,110 35,635
Reports to shareholder expense 4,159 26,472 16,132
Trustees' fees 1,383 8,657 5,214
Distribution fees -- Class B 52,923 387,734 170,537
Shareholder servicing fees -- Class A - 152,680 114,645
Shareholder servicing fees -- Class B - 129,245 56,846
Compliance expense 742 742 742
Other expenses 831 5,834 4,784
----------- ----------- -----------
Total expenses before reimbursement/waiver 232,678 1,586,137 1,016,480
Less reimbursement/waiver (78,715) (187,908) (159,911)
----------- ----------- -----------
Total expenses net of reimbursement/waiver 153,963 1,398,229 856,569
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) 366,161 3,920,310 4,289,635
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments (including
net realized gain(loss) on foreign currency
related transactions)* (7) 210,525 493,268
Net change in unrealized appreciation (depreciation)
on investments (including net unrealized
appreciation (depreciation) on foreign currency
related transactions)** - (3,572,710) (3,072,100)
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (7) (3,362,185) (2,578,832)
----------- ----------- -----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 366,154 $ 558,125 $ 1,710,803
=========== =========== ===========
* Includes foreign capital gains taxes paid of $2,580 for the International
Stock Fund.
** Net of deferred foreign capital gains taxes of $9,797 for the
International Stock Fund.
See accompanying Notes to Financial Statements.
66
BALANCED GROWTH AND CAPITAL APP. MID-CAP MULTI-CAP INTERNATIONAL
FUND INCOME FUND FUND FUND FUND STOCK FUND
- ------------ ------------ ------------ ------------ ------------ -------------
$ 3,427,466 $ 117,222 $ 60,497 $ 62,894 $ 36,600 $ 23,520
2,841,066 4,019,175 2,485,171 999,108 385,287 1,835,078
(2,333) (846) - (453) (3,025) (142,009)
23,817 2,773 2,745 4,643 5,167 -
- ------------ ------------ ------------ ------------ ------------ ------------
6,290,016 4,138,324 2,548,413 1,066,192 424,029 1,716,589
- ------------ ------------ ------------ ------------ ------------ ------------
1,367,472 989,033 1,041,788 632,671 332,655 654,726
468,174 501,792 470,152 219,170 200,563 147,803
18,190 17,573 17,050 20,248 18,637 16,991
49,569 39,833 34,998 36,221 41,964 139,104
40,906 37,309 35,021 32,469 29,567 43,390
50,020 42,997 32,717 16,693 10,970 16,418
19,920 14,247 10,708 5,471 3,738 5,562
787,854 613,982 459,639 164,556 104,429 70,702
263,333 244,900 194,050 111,641 76,075 132,320
262,618 204,661 153,213 54,852 34,810 23,567
742 742 742 742 742 742
11,156 9,697 7,616 3,163 3,407 4,420
- ------------ ------------ ------------ ------------ ------------ ------------
3,339,954 2,716,766 2,457,694 1,297,897 857,557 1,255,745
(238,207) (305,185) (335,822) (201,154) (222,629) (187,015)
- ------------ ------------ ------------ ------------ ------------ ------------
3,101,747 2,411,581 2,121,872 1,096,743 634,928 1,068,730
- ------------ ------------ ------------ ------------ ------------ ------------
3,188,269 1,726,743 426,541 (30,551) (210,899) 647,859
- ------------ ------------ ------------ ------------ ------------ ------------
7,310,825 (333,713) 4,642,829 4,522,348 3,883,785 8,668,893
579,312 14,146,845 3,474,748 3,767,022 718,895 1,851,149
- ------------ ------------ ------------ ------------ ------------ ------------
7,890,137 13,813,132 8,117,577 8,289,370 4,602,680 10,520,042
- ------------ ------------ ------------ ------------ ------------ ------------
$ 11,078,406 $ 15,539,875 $ 8,544,118 $ 8,258,819 $ 4,391,781 $ 11,167,901
============ ============ ============ ============ ============ ============
See accompanying Notes to Financial Statements.
67
STATEMENTS OF CHANGES IN NET ASSETS
CASH RESERVES FUND BOND FUND
-------------------------------- --------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2005 2004
- ------------------------------ ------------- ------------- ------------- -------------
NET ASSETS AT BEGINNING OF PERIOD $ 20,348,022 $ 26,306,927 $ 115,169,491 $ 142,693,847
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 366,161 88,130 3,920,310 4,620,393
Net realized gain (loss) (7) 908 210,525 (289,786)
Net change in unrealized appreciation (dep) - - (3,572,710) 949,728
------------- ------------- ------------- -------------
Net increase in net assets from operations 366,154 89,038 558,125 5,280,335
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (261,600) (82,767) (2,405,620) (3,000,397)
Class B (105,896) (6,271) (1,647,191) (1,851,451)
------------- ------------- ------------- -------------
TOTAL DISTRIBUTIONS (367,496) (89,038) (4,052,811) (4,851,848)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 6,087,557 5,818,594 13,980,460 19,152,211
Issued to shareholders in
reinvestment of distributions 258,400 80,983 2,314,294 2,301,902
Shares redeemed (7,018,403) (8,219,510) (12,352,304) (39,928,294)
Redemption fees - - 1,381 954
------------- ------------- ------------- -------------
Net increase (decrease) from
capital stock transactions (672,446) (2,319,933) 3,943,831 (18,473,227)
------------- ------------- ------------- -------------
CLASS B SHARES
Shares sold 1,672,418 2,883,164 3,970,780 4,574,795
Issued to shareholders in
reinvestment of distributions 97,404 5,850 1,512,182 1,700,162
Shares redeemed (4,096,216) (6,527,986) (11,571,383) (15,754,573)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital stock transactions (2,326,394) (3,638,972) (6,088,421) (9,479,616)
------------- ------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (3,000,182) (5,958,905) (5,639,276) (27,524,356)
------------- ------------- ------------- -------------
NET ASSETS AT END OF PERIOD $ 17,347,840 $ 20,348,022 $ 109,530,215 $ 115,169,491
============= ============= ============= =============
Undistributed (distributions in excess of)
net investment income $ 803 $ 2,138 $ 37,296 $ 37,296
============= ============= ============= =============
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 6,087,557 5,818,594 1,394,768 1,893,967
Issued to shareholders in
reinvestment of distributions 258,400 80,983 230,356 228,022
Shares redeemed (7,018,403) (8,219,510) (1,229,378) (3,955,230)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions (672,446) (2,319,933) 395,746 (1,833,241)
------------- ------------- ------------- -------------
CLASS B SHARES
Shares sold 1,672,418 2,883,164 394,605 452,070
Issued to shareholders in
reinvestment of distributions 97,404 5,851 150,443 168,339
Shares redeemed (4,096,216) (6,527,986) (1,150,615) (1,561,244)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions (2,326,394) (3,638,971) (605,567) (940,835)
------------- ------------- ------------- -------------
See accompanying Notes to Financial Statements.
68
HIGH INCOME FUND BALANCED FUND GROWTH AND INCOME FUND
- -------------------------------- -------------------------------- --------------------------------
2005 2004 2005 2004 2005 2004
- ------------- ------------- ------------- ------------- ------------- -------------
$ 67,485,810 $ 55,015,483 $ 204,684,264 $ 184,392,585 $ 169,337,191 $ 148,170,626
- ------------- ------------- ------------- ------------- ------------- -------------
4,289,635 4,376,308 3,188,269 2,957,573 1,726,743 1,449,731
493,268 245,439 7,310,825 (150,478) (333,713) 271,099
(3,072,100) 1,500,379 579,312 10,811,839 14,146,845 14,930,904
- ------------- ------------- ------------- ------------- ------------- -------------
1,710,803 6,122,126 11,078,406 13,618,934 15,539,875 16,651,734
- ------------- ------------- ------------- ------------- ------------- -------------
(2,947,502) (2,905,696) (2,024,516) (1,810,120) (1,084,836) (804,489)
(1,279,041) (1,555,115) (1,230,115) (1,265,754) (377,017) (377,317)
- ------------- ------------- ------------- ------------- ------------- -------------
(4,226,543) (4,460,811) (3,254,631) (3,075,874) (1,461,853) (1,181,806)
8,513,095 14,199,310 19,500,679 21,954,494 21,817,829 18,849,548
1,770,738 1,744,485 1,999,000 1,786,159 1,072,530 795,498
(8,840,700) (5,887,322) (16,722,892) (13,352,483) (12,359,804) (9,631,271)
198 141 352 - 43 -
- ------------- ------------- ------------- ------------- ------------- -------------
1,443,331 10,056,614 4,777,139 10,388,170 10,530,598 10,013,775
- ------------- ------------- ------------- ------------- ------------- -------------
2,949,055 4,153,847 9,776,495 14,477,124 5,643,751 8,114,554
1,035,777 1,235,860 1,199,896 1,234,785 368,151 368,285
(5,271,661) (4,637,309) (22,546,439) (16,351,460) (22,164,524) (12,799,977)
- ------------- ------------- ------------- ------------- ------------- -------------
(1,286,829) 752,398 (11,570,048) (639,551) (16,152,622) (4,317,138)
- ------------- ------------- ------------- ------------- ------------- -------------
(2,359,238) 12,470,327 1,030,866 20,291,679 8,455,998 21,166,565
- ------------- ------------- ------------- ------------- ------------- -------------
$ 65,126,572 $ 67,485,810 $ 205,715,130 $ 204,684,264 $ 177,793,189 $ 169,337,191
============= ============= ============= ============= ============= =============
$ 157,170 $ 37,025 $ 3,909 $ (3,578) $ 1,330,889 $ 1,065,998
============= ============= ============= ============= ============= =============
1,133,885 1,907,202 1,594,151 1,895,246 1,686,415 1,600,186
237,816 235,436 163,465 153,740 82,885 68,166
(1,189,373) (793,191) (1,365,001) (1,150,116) (950,793) (817,828)
- ------------- ------------- ------------- ------------- ------------- -------------
182,328 1,349,447 392,615 898,870 818,507 850,524
- ------------- ------------- ------------- ------------- ------------- -------------
393,564 556,498 799,826 1,243,866 443,034 699,774
138,631 166,370 98,163 106,275 28,784 31,913
(704,210) (626,335) (1,838,903) (1,405,548) (1,733,043) (1,100,560)
- ------------- ------------- ------------- ------------- ------------- -------------
(172,015) 96,533 (940,914) (55,407) (1,261,225) (368,873)
- ------------- ------------- ------------- ------------- ------------- -------------
See accompanying Notes to Financial Statements.
69
STATEMENTS OF CHANGES IN NET ASSETS
CAPITAL APPRECIATION FUND MID-CAP FUND
-------------------------------- --------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2005 2004
- ------------------------------ ------------- ------------- ------------- -------------
NET ASSETS AT BEGINNING OF PERIOD $ 137,218,036 $ 134,565,037 $ 60,207,060 $ 48,311,492
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) 426,541 (371,840) (30,551) 286,217
Net realized gain (loss) 4,642,829 3,583,773 4,522,348 2,589,342
Net change in unrealized appreciation (dep) 3,474,748 7,521,371 3,767,022 2,989,970
------------- ------------- ------------- -------------
Net increase in net assets from operations 8,544,118 10,733,304 8,258,819 5,865,529
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (4,002) - (295,803) -
Class B - - - -
------------- ------------- ------------- -------------
TOTAL DISTRIBUTIONS (4,002) - (295,803) -
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 11,846,637 16,419,030 6,770,681 8,950,886
Issued to shareholders in
reinvestment of distributions 3,921 - 263,976 -
Shares redeemed (11,623,924) (20,553,236) (8,335,996) (4,441,192)
Redemption fees 13 27 1,213 403
------------- ------------- ------------- -------------
Net increase (decrease) from
capital stock transactions 226,647 (4,134,179) (1,300,126) 4,510,097
------------- ------------- ------------- -------------
CLASS B SHARES
Shares sold 3,402,886 5,818,057 3,467,853 3,918,338
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed (15,656,455) (9,764,183) (3,579,212) (2,398,396)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital stock transactions (12,253,569) (3,946,126) (111,359) 1,519,942
------------- ------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS $ (3,486,806) $ 2,652,999 $ 6,551,531 $ 11,895,568
============= ============= ============= =============
NET ASSETS AT END OF PERIOD $ 133,731,230 $ 137,218,036 $ 66,758,591 $ 60,207,060
============= ============= ============= =============
Undistributed net investment income $ 422,539 $ - $ - $ 265,422
============= ============= ============= =============
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 871,267 1,310,831 502,042 750,450
Issued to shareholders in
reinvestment of distributions 286 - 19,715 -
Shares redeemed (853,010) (1,623,309) (610,886) (368,375)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions 18,543 (312,478) (89,129) 382,075
------------- ------------- ------------- -------------
CLASS B SHARES
Shares sold 264,215 481,562 263,787 335,906
Issued to shareholders in
reinvestment of distributions - - - -
Shares redeemed (1,211,040) (812,620) (271,823) (205,169)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions (946,825) (331,058) (8,036) 130,737
------------- ------------- ------------- -------------
See accompanying Notes to Financial Statements.
70
MULTI-CAP GROWTH FUND INTERNATIONAL STOCK FUND
- ---------------------------- ----------------------------
2005 2004 2005 2004
- ------------ ------------ ------------ ------------
$ 38,927,058 $ 24,300,185 $ 51,473,800 $ 39,470,149
- ------------ ------------ ------------ ------------
(210,899) (306,678) 647,859 300,299
3,883,785 957,765 8,668,893 3,720,000
718,895 1,550,481 1,851,149 3,942,753
- ------------ ------------ ------------ ------------
4,391,781 2,201,568 11,167,901 7,963,052
- ------------ ------------ ------------ ------------
- - (419,232) (366,092)
- - (8,299) (5,505)
- ------------ ------------ ------------ ------------
- - (427,531) (371,597)
9,319,697 12,600,469 8,611,712 4,742,731
- - 404,891 355,467
(5,891,137) (2,485,116) (3,252,531) (1,321,126)
36 - 768 46
- ------------ ------------ ------------ ------------
3,428,596 10,115,353 5,764,840 3,777,118
- ------------ ------------ ------------ ------------
2,860,783 4,230,494 3,618,865 1,690,657
- - 8,157 5,362
(2,748,768) (1,920,542) (1,859,101) (1,060,941)
- ------------ ------------ ------------ ------------
112,015 2,309,952 1,767,921 635,078
- ------------ ------------ ------------ ------------
$ 7,932,392 $ 14,626,873 $ 18,273,131 $ 12,003,651
============ ============ ============ ============
$ 46,859,450 $ 38,927,058 $ 69,746,931 $ 51,473,800
============ ============ ============ ============
$ - $ - $ 608,408 $ 259,120
============ ============ ============ ============
1,823,270 2,658,740 720,801 482,726
- - 34,695 36,951
(1,141,602) (519,535) (265,298) (133,210)
- ------------ ------------ ------------ ------------
681,668 2,139,205 490,198 386,467
- ------------ ------------ ------------ ------------
579,081 920,954 307,425 172,705
- - 705 562
(557,779) (417,791) (158,736) (108,257)
- ------------ ------------ ------------ ------------
21,302 503,163 149,394 65,010
- ------------ ------------ ------------ ------------
See accompanying Notes to Financial Statements.
71
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
CASH RESERVES FUND
---------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ --------- ------------ ------------ ------------ --------
CLASS A
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- ------------ ------------ ------------ --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.01 0.00(1) 0.01 0.04
--------- ------------ ------------ ------------ --------
Total from investment operations 0.02 0.01 0.00 0.01 0.04
--------- ------------ ------------ ------------ --------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.01) (0.00)(1) (0.01) (0.04)
--------- ------------ ------------ ------------ --------
Total distributions (0.02) (0.01) (0.00) (0.01) (0.04)
--------- ------------ ------------ ------------ --------
Net increase (decrease) in net asset value - - - - -
--------- ------------ ------------ ------------ --------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ============ ============ ============ ========
TOTAL RETURN (2) 2.33% 0.68% 0.75% 1.57% 4.50%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 11,243 $ 11,916 $ 14,236 $ 16,487 $ 11,508
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 0.98% 0.82% 0.87% 0.99% 1.25%
After reimbursement of expenses by Advisor 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 2.30% 0.68% 0.75% 1.46% 3.96%
CLASS B
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- ------------ ------------ ------------ --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.00(1) 0.00(1) 0.01 0.04
--------- ------------ ------------ ------------ --------
Total from investment operations 0.02 0.00 0.00 0.01 0.04
--------- ------------ ------------ ------------ --------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) - (0.00)(1) (0.01) (0.04)
--------- ------------ ------------ ------------ --------
Total distributions (0.02) - (0.00) (0.01) (0.04)
--------- ------------ ------------ ------------ --------
Net increase (decrease) in net asset value - 0.00 - - -
--------- ------------ ------------ ------------ --------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ============ ============ ============ ========
TOTAL RETURN (2) 1.57% 0.07% 0.08% 0.81% 3.72%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,105 $ 8,432 $ 12,071 $ 17,636 $ 9,571
Ratios of expenses to average net assets:
Before reimbursement of expenses by Advisor 1.73% 1.57% 1.62% 1.74% 2.00%
After reimbursement of expenses by Advisor 1.30% 1.15%(3) 1.23%(3) 1.30% 1.30%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.49% 0.06% 0.08% 0.71% 3.21%
- ----------
(1) Amounts represent less than $0.005 per share
(2) Total return without applicable sales charge.
(3) Amount includes fees waived by distributor (Note 3).
See accompanying Notes to Financial Statements.
72
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
BOND FUND
------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ---------- ---------- ---------- ---------- ----------
CLASS A
NET ASSET VALUE at beginning of period $ 10.17 $ 10.12 $ 10.17 $ 10.23 $ 9.57
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.39 0.37 0.40 0.47 0.55
Net realized and unrealized gain (loss) (0.31) 0.07 (0.05) (0.06)(2) 0.67
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.08 0.44 0.35 0.41 1.22
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.40) (0.39) (0.40) (0.47) (0.56)
---------- ---------- ---------- ---------- ----------
Total distributions (0.40) (0.39) (0.40) (0.47) (0.56)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value (0.32) 0.05 (0.05) (0.06) 0.66
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 9.85 $ 10.17 $ 10.12 $ 10.17 $ 10.23
========== ========== ========== ========== ==========
TOTAL RETURN (1) 0.74% 4.46% 3.51% 4.21% 13.07%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 61,942 $ 59,900 $ 78,165 $ 63,069 $ 28,813
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.07% 1.01% 1.10% 1.17% 1.28%
After reimbursement of expenses by Advisor 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 3.82% 3.73% 3.94% 4.62% 5.53%
Portfolio Turnover 43% 81% 75% 90% 109%
CLASS B
NET ASSET VALUE at beginning of period $ 10.17 $ 10.12 $ 10.18 $ 10.24 $ 9.58
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.31 0.30 0.33 0.39 0.48
Net realized and unrealized gain (loss) (0.31) 0.07 (0.06) (0.05)(2) 0.66
---------- ---------- ---------- ---------- ----------
Total from investment operations - 0.37 0.27 0.34 1.14
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.32) (0.32) (0.33) (0.40) (0.48)
---------- ---------- ---------- ---------- ----------
Total distributions (0.32) (0.32) (0.33) (0.40) (0.48)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value (0.32) 0.05 (0.06) (0.06) 0.66
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 9.85 $ 10.17 $ 10.12 $ 10.18 $ 10.24
========== ========== ========== ========== ==========
TOTAL RETURN (1) (0.01)% 3.68% 2.64% 3.44% 12.23%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 47,588 $ 55,269 $ 64,529 $ 60,517 $ 31,119
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.82% 1.76% 1.85% 1.92% 2.03%
After reimbursement of expenses by Advisor 1.65% 1.65% 1.65% 1.65% 1.65%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 3.08% 2.95% 3.19% 3.87% 4.78%
Portfolio Turnover 43% 81% 75% 90% 109%
- ----------
(1) Total return without applicable sales charge.
(2) The amount shown for a share outstanding does not correspond with the
aggregate net gain (loss) on investments due to the timing of sales and
repurchases of shares in relation to fluctuating market values of the
investments of the fund.
See accompanying Notes to Financial Statements.
73
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
HIGH INCOME FUND
------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ---------- ---------- ---------- ---------- ----------
CLASS A
NET ASSET VALUE at beginning of period $ 7.56 $ 7.36 $ 6.57 $ 7.13 $ 8.02
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.49 0.55 0.54 0.58 0.74
Net realized and unrealized gain (loss) (0.28) 0.21 0.80 (0.55) (0.88)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.21 0.76 1.34 0.03 (0.14)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.48) (0.56) (0.55) (0.59) (0.75)
---------- ---------- ---------- ---------- ----------
Total distributions (0.48) (0.56) (0.55) (0.59) (0.75)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value (0.27) 0.20 0.79 (0.56) (0.89)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 7.29 $ 7.56 $ 7.36 $ 6.57 $ 7.13
========== ========== ========== ========== ==========
TOTAL RETURN (1) 2.85% 10.73% 21.09% 0.33% (1.94)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 43,872 $ 44,137 $ 33,024 $ 18,055 $ 10,939
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.23% 1.16% 1.38% 1.59% 1.68%
After reimbursement of expenses by Advisor 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 6.50% 7.37% 7.73% 8.55% 9.75%
Portfolio Turnover 81%(2) 60% 58% 47% 38%
CLASS B
NET ASSET VALUE at beginning of period $ 7.58 $ 7.37 $ 6.59 $ 7.14 $ 8.04
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.43 0.49 0.49 0.54 0.69
Net realized and unrealized gain (loss) (0.28) 0.22 0.78 (0.55) (0.89)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.15 0.71 1.27 (0.01) (0.20)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.42) (0.50) (0.49) (0.54) (0.70)
---------- ---------- ---------- ---------- ----------
Total distributions (0.42) (0.50) (0.49) (0.54) (0.70)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value (0.27) 0.21 0.78 (0.55) (0.90)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 7.31 $ 7.58 $ 7.37 $ 6.59 $ 7.14
========== ========== ========== ========== ==========
TOTAL RETURN (1) 2.06% 10.02% 19.96% (0.27)% (2.77)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 21,255 $ 23,349 $ 21,992 $ 15,561 $ 15,063
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.98% 1.91% 2.13% 2.34% 2.43%
After reimbursement of expenses by Advisor 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 5.75% 6.63% 6.98% 7.80% 9.00%
Portfolio Turnover 81%(2) 60% 58% 47% 38%
- ----------
(1) Total return without applicable sales charge.
(2) Subadvisor change February 28, 2005.
See accompanying Notes to Financial Statements.
74
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
BALANCED FUND
---------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ----------- ----------- ----------- ----------- -----------
CLASS A
NET ASSET VALUE at beginning of period $ 11.81 $ 11.18 $ 10.16 $ 11.28 $ 12.65
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.24 0.22 0.25 0.28 0.30
Net realized and unrealized gain (loss) 0.44 0.64 1.02 (1.12) (1.37)
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.68 0.86 1.27 (0.84) (1.07)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.24) (0.23) (0.25) (0.28) (0.30)
Distributions from capital gains - - - (0.00)(1) -
----------- ----------- ----------- ----------- -----------
Total distributions (0.24) (0.23) (0.25) (0.28) (0.30)
----------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value 0.44 0.63 1.02 (1.12) (1.37)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE at end of period $ 12.25 $ 11.81 $ 11.18 $ 10.16 $ 11.28
=========== =========== =========== =========== ===========
TOTAL RETURN (2) 5.74% 7.71% 12.72% (7.59)% (8.54)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 107,457 $ 98,900 $ 83,606 $ 70,389 $ 61,836
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.21% 1.17% 1.32% 1.30% 1.35%
After reimbursement of expenses by Advisor 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.88% 1.88% 2.38% 2.56% 2.55%
Portfolio Turnover 34% 39% 35% 48% 57%
CLASS B
NET ASSET VALUE at beginning of period $ 11.82 $ 11.19 $ 10.17 $ 11.29 $ 12.66
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.14 0.13 0.17 0.20 0.21
Net realized and unrealized gain (loss) 0.44 0.64 1.02 (1.12) (1.37)
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.58 0.77 1.19 (0.92) (1.16)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.14) (0.14) (0.17) (0.20) (0.21)
Distributions from capital gains - - - (0.00)(1) -
----------- ----------- ----------- ----------- -----------
Total distributions (0.14) (0.14) (0.17) (0.20) (0.21)
----------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value 0.44 0.63 1.02 (1.12) (1.37)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE at end of period $ 12.26 $ 11.82 $ 11.19 $ 10.17 $ 11.29
=========== =========== =========== =========== ===========
TOTAL RETURN (2) 4.94% 6.90% 11.87% (8.27)% (9.22)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 98,258 $ 105,784 $ 100,787 $ 90,903 $ 92,054
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.96% 1.92% 2.07% 2.05% 2.10%
After reimbursement of expenses by Advisor 1.85% 1.85% 1.85% 1.85% 1.85%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.15% 1.14% 1.63% 1.81% 1.80%
Portfolio Turnover 34% 39% 35% 48% 57%
- ----------
(1) Amounts represent less than $0.005 per share.
(2) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
75
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
GROWTH AND INCOME FUND
----------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ------------ ------------ ------------ ------------ ------------
CLASS A
NET ASSET VALUE at beginning of period $ 12.19 $ 11.05 $ 9.37 $ 11.14 $ 14.06
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.16 0.14 0.12 0.10(1) 0.06
Net realized and unrealized gain (loss) 1.00 1.12 1.64 (1.82) (2.92)
------------ ------------ ------------ ------------ ------------
Total from investment operations 1.16 1.26 1.76 (1.72) (2.86)
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.15) (0.12) (0.08) (0.05) (0.06)
------------ ------------ ------------ ------------ ------------
Total distributions (0.15) (0.12) (0.08) (0.05) (0.06)
------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net asset value 1.01 1.14 1.68 (1.77) (2.92)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE at end of period $ 13.20 $ 12.19 $ 11.05 $ 9.37 $ 11.14
============ ============ ============ ============ ============
TOTAL RETURN (2) 9.56% 11.48% 18.95% (15.51)% (20.42)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 103,765 $ 85,855 $ 68,406 $ 53,896 $ 55,966
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.17% 1.13% 1.35% 1.30% 1.29%
After reimbursement of expenses by Advisor 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.29% 1.26% 1.29% 0.91% 0.60%
Portfolio Turnover 12% 16% 20% 18% 24%
CLASS B
NET ASSET VALUE at beginning of period $ 11.98 $ 10.87 $ 9.24 $ 11.02 $ 13.96
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09 0.06 0.05 0.02(1) (0.02)
Net realized and unrealized gain (loss) 0.96 1.10 1.60 (1.79) (2.92)
------------ ------------ ------------ ------------ ------------
Total from investment operations 1.05 1.16 1.65 (1.77) (2.94)
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.06) (0.05) (0.02) (0.01) -
------------ ------------ ------------ ------------ ------------
Total distributions (0.06) (0.05) (0.02) (0.01) -
------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net asset value 0.99 1.11 1.63 (1.78) (2.94)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE at end of period $ 12.97 $ 11.98 $ 10.87 $ 9.24 $ 11.02
============ ============ ============ ============ ============
TOTAL RETURN (2) 8.73% 10.70% 17.93% (16.09)% (21.06)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 74,028 $ 83,482 $ 79,765 $ 72,329 $ 97,081
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.92% 1.89% 2.10% 2.05% 2.04%
After reimbursement of expenses by Advisor 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.57% 0.53% 0.54% 0.16% (0.15)%
Portfolio Turnover 12% 16% 20% 18% 24%
- ----------
(1) Calculated based on average shares outstanding.
(2) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
76
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
CAPITAL APPRECIATION FUND
------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ---------- ---------- ---------- ---------- ----------
CLASS A
NET ASSET VALUE at beginning of period $ 12.87 $ 11.88 $ 9.63 $ 12.81 $ 16.44
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08 0.01 (0.00)(1) (0.02)(2) (0.04)(2)
Net realized and unrealized gain (loss) 0.77 0.98 2.25 (3.11) (3.59)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.85 0.99 2.25 (3.13) (3.63)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(1)
Distributions from capital gains - - - (0.05) -
---------- ---------- ---------- ---------- ----------
Total distributions - - - (0.05) -
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value 0.85 0.99 2.25 (3.18) (3.63)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 13.72 $ 12.87 $ 11.88 $ 9.63 $ 12.81
========== ========== ========== ========== ==========
TOTAL RETURN (3) 6.61% 8.33% 23.36% (24.54)% (22.08)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 78,785 $ 73,674 $ 71,733 $ 55,865 $ 59,801
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.44% 1.38% 1.64% 1.58% 1.58%
After reimbursement of expenses by Advisor 1.20% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.62% 0.08% 0.05% (0.16)% (0.30)%
Portfolio Turnover 18% 27% 25% 25% 30%
CLASS B
NET ASSET VALUE at beginning of period $ 12.27 $ 11.40 $ 9.31 $ 12.48 $ 16.13
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01) (0.08) (0.08) (0.11)(2) (0.15)(2)
Net realized and unrealized gain (loss) 0.72 0.95 2.17 (3.01) (3.50)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.71 0.87 2.09 (3.12) (3.65)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from capital gains - - - (0.05) -
---------- ---------- ---------- ---------- ----------
Total distributions - - - (0.05) -
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value 0.71 0.87 2.09 (3.17) (3.65)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 12.98 $ 12.27 $ 11.40 $ 9.31 $ 12.48
========== ========== ========== ========== ==========
TOTAL RETURN (3) 5.79% 7.63% 22.45% (25.12)% (22.63)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 54,946 $ 63,544 $ 62,832 $ 54,600 $ 72,667
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.19% 2.13% 2.39% 2.33% 2.33%
After reimbursement of expenses by Advisor 1.94% 1.95% 1.95% 1.95% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor (0.09)% (0.67)% (0.70)% (0.91)% (1.05)%
Portfolio Turnover 18% 27% 25% 25% 30%
- ----------
(1) Amounts represent less than $0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
77
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
MID-CAP FUND
---------------------------------------------------------------------------
INCEPTION
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 to 10-31-01(1)
- ------------------------------ --------- ------------ ------------ ------------ --------------
CLASS A
NET ASSET VALUE at beginning of period $ 12.44 $ 11.12 $ 8.64 $ 9.48 $ 10.00
--------- ------------ ------------ ------------ -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.09 0.01 0.02(2) 0.00(2,3)
Net realized and unrealized gain (loss) 1.70 1.23 2.47 (0.85) (0.52)
--------- ------------ ------------ ------------ -----------
Total from investment operations 1.73 1.32 2.48 (0.83) (0.52)
--------- ------------ ------------ ------------ -----------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) - - (0.01) -
Distributions from capital gains - - - (0.00)(3) -
--------- ------------ ------------ ------------ -----------
Total distributions (0.09) - - (0.01) -
--------- ------------ ------------ ------------ -----------
Net increase (decrease) in net asset value 1.64 1.32 2.48 (0.84) (0.52)
--------- ------------ ------------ ------------ -----------
NET ASSET VALUE at end of period $ 14.08 $ 12.44 $ 11.12 $ 8.64 $ 9.48
========= ============ ============ ============ ===========
TOTAL RETURN (4) 13.95% 11.87% 28.70% (8.79)% (5.20)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 44,126 $ 40,103 $ 31,591 $ 22,650 $ 15,345
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.70% 1.61% 1.92% 1.97% 2.29%(6)
After reimbursement of expenses by Advisor 1.40% 1.40% 1.40% 1.40% 1.40%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.20% 0.77% 0.17% 0.18% 0.03%(6)
Portfolio Turnover 37% 21% 25% 31% 30%(5)
CLASS B
NET ASSET VALUE at beginning of period $ 12.09 $ 10.91 $ 8.54 $ 9.43 $ 10.00
--------- ------------ ------------ ------------ -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.07) 0.00 3 (0.05) (0.06)(2) (0.05)(2)
Net realized and unrealized gain (loss) 1.65 1.18 2.42 (0.83) (0.52)
--------- ------------ ------------ ------------ -----------
Total from investment operations 1.58 1.18 2.37 (0.89) (0.57)
--------- ------------ ------------ ------------ -----------
LESS DISTRIBUTIONS:
Distributions from net investment income - - - - -
Distributions from capital gains - - - (0.00)(3) -
--------- ------------ ------------ ------------ -----------
Total distributions - - - (0.00) -
--------- ------------ ------------ ------------ -----------
Net increase (decrease) in net asset value 1.58 1.18 2.37 (0.89) (0.57)
--------- ------------ ------------ ------------ -----------
NET ASSET VALUE at end of period $ 13.67 $ 12.09 $ 10.91 $ 8.54 $ 9.43
========= ============ ============ ============ ===========
TOTAL RETURN (4) 13.07% 10.82% 27.75% (9.43)% (5.70)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 22,633 $ 20,104 $ 16,721 $ 11,765 $ 6,192
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.45% 2.36% 2.67% 2.72% 3.04%(6)
After reimbursement of expenses by Advisor 2.15% 2.15% 2.15% 2.15% 2.15%(6)
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor (0.55)% 0.01% (0.58)% (0.57)% (0.72)%(6)
Portfolio Turnover 37% 21% 25% 31% 30 %(5)
- ----------
(1) Commenced investment operations 2/28/2001.
(2) Calculated based on average shares outstanding.
(3) Amounts represent less than $0.005 per share.
(4) Total return without applicable sales charge.
(5) Not annualized.
(6) Annualized.
See accompanying Notes to Financial Statements.
78
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
MULTI-CAP GROWTH FUND
----------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ ---------- ---------- ---------- ---------- ----------
CLASS A
NET ASSET VALUE at beginning of period $ 4.83 $ 4.46 $ 3.49 $ 4.27 $ 7.87
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.01) (0.03) (0.03) (0.02)(1) (0.02)
Net realized and unrealized gain (loss) 0.54 0.40 1.00 (0.76) (3.58)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.53 0.37 0.97 (0.78) (3.60)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value 0.53 0.37 0.97 (0.78) (3.60)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 5.36 $ 4.83 $ 4.46 $ 3.49 $ 4.27
========== ========== ========== ========== ==========
TOTAL RETURN (2) 10.97% 8.30% 27.79% (18.27)% (45.74)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 32,395 $ 25,897 $ 14,366 $ 7,915 $ 13,263
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.69% 1.62% 2.40% 2.60% 2.36%
After reimbursement of expenses by Advisor 1.19% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor (0.25)% (0.64)% (0.42)% (0.55)% (0.46)%
Portfolio Turnover 92% 71% 123% 214% 230%
CLASS B
NET ASSET VALUE at beginning of period $ 4.67 $ 4.34 $ 3.42 $ 4.22 $ 7.83
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.05) (0.06) (0.02) (0.05)(1) (0.07)
Net realized and unrealized gain (loss) 0.52 0.39 0.94 (0.75) (3.54)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.47 0.33 0.92 (0.80) (3.61)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net asset value 0.47 0.33 0.92 (0.80) (3.61)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE at end of period $ 5.14 $ 4.67 $ 4.34 $ 3.42 $ 4.22
========== ========== ========== ========== ==========
TOTAL RETURN (2) 10.06% 7.60% 26.90% (18.96)% (46.10)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 14,464 $ 13,030 $ 9,935 $ 6,050 $ 6,902
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.44% 2.37% 3.15% 3.35% 3.11%
After reimbursement of expenses by Advisor 1.94% 1.95% 1.95% 1.95% 1.95%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor (0.98)% (1.39)% (1.17)% (1.30)% (1.21)%
Portfolio Turnover 92% 71% 123% 214% 230%
- ----------
(1) Calculated based on average shares outstanding.
(2) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
79
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
INTERNATIONAL STOCK FUND
------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2005 2004 2003 2002 2001
- ------------------------------ --------- ------------ ------------ ------------ -------
CLASS A
NET ASSET VALUE at beginning of period $ 10.56 $ 8.92 $ 7.00 $ 7.31 $ 9.55
--------- ------------ ------------ ------------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.14 0.08 0.10 0.07(2) 0.04
Net realized and unrealized gain (loss) 2.05 1.66 1.88 (0.38) (2.21)
--------- ------------ ------------ ------------ -------
Total from investment operations 2.19 1.74 1.98 (0.31) (2.17)
--------- ------------ ------------ ------------ -------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.10) (0.10) (0.06) - (0.07)
--------- ------------ ------------ ------------ -------
Total distributions (0.10) (0.10) (0.06) - (0.07)
--------- ------------ ------------ ------------ -------
Net increase (decrease) in net asset value 2.09 1.64 1.92 (0.31) (2.24)
--------- ------------ ------------ ------------ -------
NET ASSET VALUE at end of period $ 12.65 $ 10.56 $ 8.92 $ 7.00 $ 7.31
========= ============ ============ ============ =======
TOTAL RETURN (3) 20.81% 19.56% 28.46% (4.24)% (22.88)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 58,825 $ 43,915 $ 33,664 $ 25,732 $25,829
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 1.90% 1.85% 2.11% 2.29% 2.14%
After reimbursement of expenses by Advisor 1.60% 1.60% 1.60% 1.60% 1.60%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 1.15% 0.76% 1.30% 0.69% 0.45%
Portfolio Turnover 64% 45% 34% 47% 86%
CLASS B
NET ASSET VALUE at beginning of period $ 10.41 $ 8.78 $ 6.89 $ 7.25 $ 9.48
--------- ------------ ------------ ------------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04 (0.00)(1) 0.04 0.02(2) (0.02)
Net realized and unrealized gain (loss) 2.04 1.64 1.85 (0.38) (2.20)
--------- ------------ ------------ ------------ -------
Total from investment operations 2.08 1.64 1.89 (0.36) (2.22)
--------- ------------ ------------ ------------ -------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.01) (0.00)(1) - (0.01)
--------- ------------ ------------ ------------ -------
Total distributions (0.01) (0.01) (0.00) - (0.01)
--------- ------------ ------------ ------------ -------
Net increase (decrease) in net asset value 2.07 1.63 1.89 (0.36) (2.23)
--------- ------------ ------------ ------------ -------
NET ASSET VALUE at end of period $ 12.48 $ 10.41 $ 8.78 $ 6.89 $ 7.25
========= ============ ============ ============ =======
TOTAL RETURN (3) 20.00% 18.67% 27.44% (4.97)% (23.48)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 10,922 $ 7,559 $ 5,806 $ 4,591 $ 4,787
Ratios of expenses to average net assets
Before reimbursement of expenses by Advisor 2.65% 2.59% 2.86% 3.04% 2.89%
After reimbursement of expenses by Advisor 2.35% 2.35% 2.35% 2.35% 2.35%
Ratio of net investment income to average net assets
After reimbursement of expenses by Advisor 0.41% 0.03% 0.55% (0.06)% (0.30)%
Portfolio Turnover 64% 45% 34% 47% 86%
- ----------
(1) Amounts represent less than $0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
See accompanying Notes to Financial Statements.
80
This page is left blank intentionally.
81
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
MEMBERS Mutual Funds, a Delaware Business Trust (the "Trust"), is registered
under the Investment Company Act of 1940, as amended (the "1940 Act") as an
open-end, management investment company. As of the date of this report, the
Trust offers nine funds (individually, a "fund," collectively, the "Funds") each
with two classes of shares: Class A and Class B. The Declaration of Trust
permits the Trustees to issue an unlimited number of shares of beneficial
interest of the Trust without par value. Each class of shares represents an
interest in the assets of the respective fund and has identical voting,
dividend, liquidation and other rights, except that each class of shares bears
its own distribution fees and servicing fees, if any, and its proportional share
of fund level expenses, is subject to its own sales charges, if any, and has
exclusive voting rights on matters pertaining to Rule 12b-1 of the 1940 Act as
it relates to that class. The Trust has entered into an Investment Advisory
Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Advisor"). The
Investment Advisor has entered into subadvisory agreements with certain
subadvisors ("Subadvisors") for the management of the investments of the High
Income Fund, Multi-Cap Growth Fund, International Stock Fund, and a portion of
the Mid-Cap Fund. The accompanying financial statements include the Cash
Reserves Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income
Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and
International Stock Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with 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 reported period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by each fund in the preparation of its financial statements.
PORTFOLIO VALUATION: Securities and other investments are valued as follows:
Equity securities and exchange-traded funds 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 Trust or on the basis of
dealer-supplied quotations. Investments in shares of open-ended mutual funds,
including money market funds, are valued at their daily net asset value (NAV)
which is calculated as of 3:00 p.m. Central Time on each day on which the New
York Stock Exchange is open for business. NAV per share is determined by
dividing each fund's total net assets by the number of shares of such fund
outstanding at the time of calculation. Total net assets are determined by
adding the total current value of portfolio securities, cash, receivables, and
other assets and subtracting liabilities. Short-term instruments having
maturities of 60 days or less and all securities in the Cash Reserves Fund are
valued on an amortized cost basis.
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 Advisor's Securities
Valuation Committee (the "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.
A fund's investments will be valued at fair value if in the judgment of the
Committee 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 at 3:00
p.m. Central Time. 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)
82
NOTES TO FINANCIAL STATEMENTS
major announcements affecting a single issuer or an entire market or market
sector. In responding to a significant event, the 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. The Committee may rely on an independent fair valuation
service to adjust the valuations of foreign equity securities based on specific
market-movement parameters established by the Committee and approved by the
Trust.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all it's taxable income to
its shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the Funds on the basis of
relative net assets. Class-specific expenses are borne by that class.
CLASSES: Income and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative net assets.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The Funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities. As of October 31,
2005, none of the funds have open repurchase agreements.
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Trust's
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that each repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other default by a
seller of a repurchase agreement, a fund could experience delays in liquidating
the underlying securities during the period in which the fund seeks to enforce
its rights thereto, possible subnormal levels of income, declines in value of
the underlying securities, or lack of access to income during this period and
the expense of enforcing its 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.
The High Income Fund, Mid-Cap Fund, Multi-Cap Growth Fund and International
Stock Fund report certain foreign currency-related transactions as components of
realized gains or losses for financial reporting purposes, whereas such
components are treated as ordinary income for federal income tax purposes.
The Funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
is due to change in market prices of securities. Such amounts are categorized as
gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Cash Reserves
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. 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 foreign 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. For the year ended October 31, 2005,
none of the funds have open forward foreign currency exchange contracts.
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.
83
NOTES TO FINANCIAL STATEMENTS
FUTURES CONTRACTS: Each fund, except the Cash Reserves Fund, 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 in cash or liquid securities, of any type or maturity, equal in value
to the fund's commitment. The fund recognizes a gain or loss equal to the daily
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. As of October 31, 2005, none of the funds have
open futures contracts.
DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
more than a month or more after the purchase. When a fund enters into an
agreement to purchase securities on a when-issued or delayed delivery basis, the
fund segregates in cash or liquid securities, of any type or maturity, equal in
value to the fund's commitment. Losses may arise due to changes in the market
value of the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to political,
economic or other factors. For the year ended October 31, 2005, only the High
Income Fund entered into such transactions, the market values of which are
identified in the fund's Portfolio of Investments.
RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment
income, and accumulated net realized gain (loss) have been adjusted in the
Statements of Assets and Liabilities for permanent book-tax differences for all
funds. Differences primarily relate to the tax treatment of net operating
losses, paydown gains and losses, foreign currency gains and losses, litigation
payments, sales of defaulted bonds, and distributions from real estate
investment trusts and passive foreign investment companies.
REDEMPTION FEES: The Bond Fund, Balanced Fund, Growth and Income Fund, Capital
Appreciation Fund and Multi-Cap Growth Fund will deduct a fee of 2% from
redemption proceeds on Class A shares held 5 business days or less. The High
Income Fund, Mid-Cap Fund and International Stock Fund will deduct a fee of 2%
from redemption proceeds on Class A shares held 30 calendar days or less.
Redemption fees are treated as additional paid-in capital to the fund from which
the shares are redeemed and are designed to help offset any costs associated
with short-term shareholder trading. Please refer to the prospectus for
additional information on redemption fees and waivers.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For its investment advisory services to the Funds, the Investment Advisor is
entitled to receive a fee, which is computed at an annualized percentage rate of
the average daily value of the net assets of each fund as follows: 0.40% for the
Cash Reserves Fund; 0.50% for the Bond Fund; 0.55% for the High Income Fund;
0.65% for the Balanced Fund; 0.55% for the Growth and Income Fund; 0.75% for the
Capital Appreciation Fund; 0.95% for the Mid-Cap Fund, 0.75% for the Multi-Cap
Growth Fund and 1.05% for the International Stock Fund. The Investment Advisor
is solely responsible for the payment of all fees to the Subadvisors. The
Subadvisors for the Funds at October 31, 2005, are Shenkman Capital Management,
Inc. for the High Income Fund, Wellington Management Company, LLP for a portion
of the Mid-Cap Fund and the entire Multi-Cap Growth Fund, and Lazard Asset
Management LLC for the International Stock Fund. The Investment Advisor manages
the other portion of the Mid-Cap Fund, the Bond Fund, Balanced Fund, Capital
Appreciation Fund, Growth and Income Fund, and Cash Reserves Fund.
The Investment Advisor has contractually agreed to waive fees and/or reimburse
expenses with respect to the Funds ("Expense Cap Agreement") until February 28,
2006, such that total expenses, exclusive of management fees, 12b-1 fees, taxes,
interest, service fees, and other extraordinary items will not exceed the
following amounts:
FUND CLASS A CLASS B
- ---- ------- -------
Cash Reserves .55% 1.30%
Bond .90% 1.65%
High Income 1.00% 1.75%
Balanced 1.10% 1.85%
Growth and Income 1.00% 1.75%
Capital Appreciation 1.20% 1.95%
Mid-Cap 1.40% 2.15%
Multi-Cap Growth 1.20% 1.95%
International Stock 1.60% 2.35%
For the year ended October 31, 2005, the Investment Advisor reimbursed expenses
of $78,715 for the Cash Reserves Fund, $187,908 for the Bond Fund, $159,911 for
the High Income Fund, $238,207 for the Balanced Fund, $305,185 for the Growth
and
84
NOTES TO FINANCIAL STATEMENTS
Income Fund, $335,822 for the Capital Appreciation Fund, $201,154 for the
Mid-Cap Fund, $222,629 for the Multi-Cap Growth Fund and $187,015 for the
International Stock Fund.
Any reimbursements or fee waivers made by the Investment Advisor to a fund are
subject to repayment by the fund, to the extent that the fund is able to make
the repayment within its Expense Cap Agreement. Under the Expense Cap Agreement,
such recoupments must be made within three years, measured on a fiscal year
basis, from when the reimbursement or fee reduction occurred.
RECOVERY RECOVERY RECOVERY
EXPIRING EXPIRING EXPIRING
OCTOBER OCTOBER 31, OCTOBER 31,
FUND 31, 2006 2007 2008
- ---- -------- ----------- ----------
Cash Reserves $100,514 $ 58,813 $ 78,715
Bond 284,227 150,645 187,908
High Income 168,808 97,662 159,911
Balanced 363,962 131,637 238,207
Growth and Income 460,975 220,402 305,185
Capital Appreciation 520,392 250,709 335,822
Mid-Cap 205,353 115,700 201,154
Multi-Cap Growth 204,794 140,426 222,629
International Stock 166,715 114,012 187,015
In 2005 the Investment Advisor did not recoup any fees previously waived or
reimbursed under the Expense Cap Agreement.
CUNA Brokerage Services, Inc. ("CUNA Brokerage") serves as distributor of the
Funds. The Trust adopted Distribution Plans (the "Plans") with respect to the
Trust's Class A and B shares pursuant to Rule 12b-1 under the 1940 Act. Under
the Plans, the Trust will pay service fees for Class A and Class B shares at an
aggregate annual rate of 0.25% of each fund's daily net assets attributable to
the respective class of shares for all funds except the Cash Reserves Fund. The
Trust will also pay distribution fees for Class B shares at an aggregate annual
rate of 0.75% of each fund's daily net assets attributable to Class B. The
distribution fees are used to reimburse CUNA Brokerage for its distribution
expenses with respect to Class B only, including but not limited to: (1) initial
and ongoing sales compensation to selling brokers and others engaged in the sale
of fund shares, (2) marketing, promotional and overhead expenses incurred in
connection with the distribution of fund shares, and (3) interest expenses on
unreimbursed distribution expenses. The service fees will be used to compensate
selling brokers and others for providing personal and account maintenance
services to shareholders.
The distributor may from time to time voluntarily agree to waive distribution
and/or service fees with respect to the Cash Reserves Fund for the purpose of
maintaining a one-day yield or distribution rate of zero. The amount of the
daily waiver is equal to the amount required to maintain a minimum daily
distribution rate of zero. For the year ended October 31, 2005, no such waivers
were made by the distributor.
In addition to distribution fees, CUNA Brokerage received sales charges paid by
the purchasers or redeemers of the Funds' shares. For the year ended October 31,
2005, sales charges received by CUNA Brokerage were as follows:
AMOUNT PAID
-----------------------
FUND CLASS A CLASS B
- ---- --------- ---------
Cash Reserves $ 51,930 $ 33,748
Bond 243,174 149,699
High Income 118,860 48,514
Balanced 572,383 259,394
Growth and Income 395,195 170,432
Capital Appreciation 230,445 155,300
Mid-Cap 206,425 58,433
Multi-Cap Growth 186,736 43,986
International Stock 160,946 17,855
Certain officers and trustees of the Funds are also officers of the Investment
Advisor. The Funds do not compensate their officers or affiliated trustees.
Unaffiliated trustees receive from the Trust an attendance fee for each Board or
Committee meeting attended, with additional remuneration paid to the "lead"
trustee and audit committee chair.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to dividends from net investment income, the Cash Reserves Fund and
Bond Fund declare dividends daily. The High Income Fund and Balanced Fund
declare dividends monthly. The Growth and Income Fund, Capital Appreciation
Fund, Mid-Cap Fund, Multi-Cap Growth Fund and the International Stock Fund
declare dividends annually. The Funds distribute net realized gains from
investment transactions, if any, to shareholders annually.
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions from
income and
85
NOTES TO FINANCIAL STATEMENTS
realized capital gains in the Funds 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.
Dividends from net investment income are determined on a class level. Capital
gains are determined on a fund level.
5. SECURITIES TRANSACTIONS
For the year ended October 31, 2005, 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
----------------------------- ----------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- ------------- ------------ ----------- ------------
Bond $ 36,891,969 $ 39,011,635 $10,414,060 $ 11,420,594
High Income -- -- 54,964,739 51,747,394
Balanced 31,884,602 29,103,697 37,541,048 45,239,774
Growth and Income -- -- 20,733,911 23,742,373
Capital Appreciation -- -- 23,860,009 35,003,363
Mid-Cap -- -- 23,564,618 23,968,160
Multi-Cap Growth -- -- 43,217,894 39,329,915
International Stock -- -- 45,514,729 38,449,199
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the Multi-Cap Growth
Fund and International Stock Fund anticipate having significant investments in
such securities, and the Cash Reserves Fund is limited to U.S.
dollar-denominated foreign money market securities. Foreign securities refer to
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. Dollar-denominated
securities that are part of the Merrill Lynch U.S. Domestic Master Index are not
considered a foreign security.
Certain of the funds have reclaim receivable balances, in which the funds are
due a reclaim on the taxes that have been paid to some foreign jurisdictions.
The values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
7. SECURITIES LENDING
Each fund, except the Cash Reserves Fund, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company ("State
Street"). Under the terms of the Agreement, the Funds may lend portfolio
securities to qualified borrowers in order to earn additional income. The
Agreement requires that loans are collateralized at all times by cash or other
liquid assets at least equal to 102% of the value of the securities, which is
determined on a daily basis. At October 31, 2005, 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 Statement of Assets and
Liabilities.
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statement of Operations. The value of securities on
loan at October 31, 2005 is as follows:
VALUE OF
SECURITIES ON
FUND LOAN
- ---- -------------
Bond $ 26,214,241
High Income 10,102,223
Balanced 24,827,011
Growth and Income 6,575,769
Capital Appreciation 5,043,145
Mid-Cap 8,828,663
Multi-Cap Growth 4,355,902
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.
86
NOTES TO FINANCIAL STATEMENTS
8. TAX INFORMATION
The tax character of distributions paid during the years ended October 31, 2005
and 2004 was as follows:
LONG-TERM CAPITAL
ORDINARY INCOME GAIN
----------------------------- ------------------
FUND 2005 2004 2005 2004
- ---- ------------ ----------- ------ ------
Cash Reserves $ 367,496 $ 89,038 $ -- $ --
Bond 4,052,811 4,851,848 -- --
High Income 4,226,543 4,460,811 -- --
Balanced 3,254,631 3,075,874 -- --
Growth and Income 1,461,853 1,181,806 -- --
Capital Appreciation 4,002 -- -- --
Mid-Cap 295,803 -- -- --
Multi-Cap Growth -- -- -- --
International Stock 427,531 371,597 -- --
As of October 31, 2005, the components of distributable earnings on a tax basis
were as follows:
FUND ORDINARY INCOME LONG-TERM CAPITAL GAIN
- ---- --------------- ----------------------
Cash Reserves $ 1,949 $ --
Bond 53,804 --
High Income 271,250 --
Balanced 6,657 --
Growth and Income 1,330,889 --
Capital Appreciation 422,539 --
Mid-Cap 547,791 3,919,466
Multi-Cap Growth -- --
International Stock 625,696 37,757
For federal income tax purposes, the funds listed below have capital loss
carryovers as of October 31, 2005, which are available to offset future capital
gains, if any:
CARRYOVER EXPIRING IN:
---------------------------------------------------------------------------------------
FUND 2008 2009 2010 2011 2012 2013
- ---- ---------- ------------ ------------ ------------ --------- ---------
Cash Reserves $ -- $ -- $ -- $ -- $ -- $ 7
Bond 194,286 -- 230,858 -- $ 310,659 65,261
High Income -- 2,026,245 2,445,850 614,259 -- --
Balanced -- -- -- 5,056,953 157,889 --
Growth and Income 1,073,602 2,865,513 11,738,982 9,713,003 -- 333,474
Capital Appreciation -- -- 11,604,803 13,979,170 -- --
Multi-Cap Growth 1,396,518 10,391,144 5,728,147 -- -- --
The High Income Fund, Balanced Fund, Capital Appreciation Fund, Mid-Cap Fund,
Multi-Cap Growth Fund, and International Stock Fund utilized $363,500,
$7,197,142, $3,867,992, $16,099 and $3,902,385, and $8,519,408, respectively, of
prior capital loss carryovers during the year ended October 31, 2005.
At October 31, 2005, the aggregate gross unrealized appreciation (depreciation)
and net unrealized appreciation (depreciation) for all securities as computed on
a federal income tax basis for each fund were as follows:
FUND APPRECIATION DEPRECIATION NET
- ---- ------------ ------------ -----------
Bond $ 910,536 $ 1,581,675 $ (671,139)
High Income 1,141,553 1,099,665 41,888
Balanced 21,188,944 8,632,988 12,555,956
Growth and Income 30,153,646 7,149,726 23,003,920
Capital Appreciation 23,188,058 8,409,961 14,778,097
Mid-Cap 14,582,857 1,930,058 12,652,799
Multi-Cap Growth 6,265,526 503,348 5,762,178
International Stock 13,711,002 1,107,744 12,603,258
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
87
NOTES TO FINANCIAL STATEMENTS
9. 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. Risks 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 Fund and International Stock 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 in 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 include bonds in the below investment grade categories of
recognized rating agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
10. CAPITAL SHARES AND AFFILIATED OWNERSHIP
Each fund is authorized to issue an unlimited number of shares of beneficial
interest with no par value. Each fund currently offers two classes of shares,
Class A and Class B. At October 31, 2005, investments in the Funds by affiliates
were as follows:
CUNA CUNA
MUTUAL LIFE MUTUAL CUMIS CUNA
INSURANCE INSURANCE INSURANCE BROKERAGE
FUND CLASS COMPANY SOCIETY SOCIETY, INC. SERVICES, INC.
- ---------- ----- ----------- ----------- ------------- --------------
Cash Reserves A $ 1,905,631 $ 1,904,360 $ -- $ --
Bond A 2,176,735 2,175,284 -- --
High Income A 6,954,508 -- -- --
Balanced A 12,980,054 -- 5,650,228 1,405,441
Growth and Income A 2,354,756 2,740,492 3,775,677 --
Capital Appreciation A 13,260,180 1,822,867 -- --
Mid-Cap A 14,184,425 -- -- --
International Stock A 4,515,735 7,524,719 26,882,758 --
88
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of MEMBERS Mutual Funds:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments of MEMBERS Mutual Funds, including the Cash
Reserves Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income
Fund, Capital Appreciation Fund, Mid-Cap Fund, Multi-Cap Growth Fund and
International Stock Fund (collectively, the "Funds"), as of October 31, 2005,
and the related statements of operations for the year then ended and the
statements of changes in net assets and the financial highlights for each of the
two years in the period 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 highlights for the periods ended prior
to October 31, 2004 were audited by other auditors whose report, dated December
11, 2003, expressed an unqualified opinion on those financial 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 audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
internal control over financial reporting. Our audits included 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 October 31, 2005, by correspondence with the Funds'
custodians 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 October 31, 2005, the results of their operations for the
year then ended, the changes in their net assets and the financial highlights
for each of the two years in the period then ended, in conformity with
accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Chicago, Illinois
December 16, 2005
89
OTHER INFORMATION (UNAUDITED)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments, and redemption
fees; (2) ongoing costs, including management fees; distribution and/or service
(12b-1) fees; and other fund expenses. In the most recent six-month period, the
Funds limited these ongoing costs; had it not done so, expenses would have been
higher. 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 six month period ended October
31, 2005. Expenses paid during the period in the tables below are equal to the
fund's annualized expense ratio, multiplied by the average account value over
the period, multiplied by 184/365 (to reflect the one-half fiscal year period).
ACTUAL EXPENSES
The table below provides information about actual account values using actual
expenses and actual returns 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
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
CLASS A CLASS B
------------------------------------------------ ---------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- --------- ---------- ------- -------- ---------- ------- --------
Cash Reserves $ 1,000 $ 1,014.40 .55% $ 2.79 $ 1,010.50 1.30% $ 6.59
Bond 1,000 998.80 .90% 4.53 995.00 1.65% 8.30
High Income 1,000 1,036.90 1.00% 5.13 1,032.80 1.75% 8.97
Balanced 1,000 1,028.20 1.10% 5.62 1,024.20 1.85% 9.44
Growth and Income 1,000 1,043.50 1.00% 5.15 1,039.30 1.75% 9.00
Capital Appreciation 1,000 1,044.10 1.20% 6.18 1,040.10 1.95% 10.03
Mid-Cap 1,000 1,094.90 1.40% 7.39 1,091.00 2.15% 11.33
Multi-Cap Growth 1,000 1,107.40 1.20% 6.37 1,103.00 1.95% 10.34
International Stock 1,000 1,098.10 1.60% 8.46 1,093.80 2.35% 12.40
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below 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.
CLASS A CLASS B
-------------------------------------------------- -----------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- --------- ---------- ------- -------- ---------- ------- --------
Cash Reserves $ 1,000 $ 1,022.43 .55% $ 2.80 $ 1,018.65 1.30% $ 6.61
Bond 1,000 1,020.67 .90% 4.58 1,016.89 1.65% 8.39
High Income 1,000 1,020.16 1.00% 5.09 1,016.38 1.75% 8.89
Balanced 1,000 1,019.66 1.10% 5.60 1,015.88 1.85% 9.40
Growth and Income 1,000 1,020.16 1.00% 5.09 1,016.38 1.75% 8.89
Capital Appreciation 1,000 1,019.16 1.20% 6.11 1,015.38 1.95% 9.91
Mid-Cap 1,000 1,018.15 1.40% 7.12 1,014.37 2.15% 10.92
Multi-Cap Growth 1,000 1,019.16 1.20% 6.11 1,015.38 1.95% 9.91
International Stock 1,000 1,017.14 1.60% 8.13 1,013.36 2.35% 11.93
Please note that the expenses shown in both tables are meant to highlight your
ongoing costs only and do not reflect any
90
OTHER INFORMATION (UNAUDITED)
transactional costs, such as sales charges (loads), or redemption fees. 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file 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 Funds' website at www.membersfunds.com and 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, DC. More information on
the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Funds to vote proxies
related to portfolio securities is available to shareholders at no cost on the
Funds' website at www.membersfunds.com or by calling 1-800-877-6089. The proxy
voting records for the Funds for the most recent twelve-month period ended June
30 are available to shareholders at no cost on the Funds' website at
www.membersfunds. com and on the SEC's website at www.sec.gov.
TAX INFORMATION
FOREIGN TAX CREDITS: The International Stock Fund expects to make an election
under Internal Revenue Code Section 853 to pass through foreign taxes paid by
the fund to its shareholders. For the year ended October 31, 2005, the total
amount of foreign taxes that is expected to be passed through to shareholders
and foreign source income for information reporting purposes will be $142,000
(all of which represents taxes withheld) and $1,835,078, respectively. Complete
information regarding the fund's foreign tax credit pass through to shareholders
for 2005, will be reported in conjunction with Form 1099-DIV.
CORPORATE DIVIDENDS RECEIVED DEDUCTION: Of the dividends paid by the High Income
Fund, Balanced Fund, Growth and Income Fund, Capital Appreciation Fund, and the
Mid-Cap Fund, 1.27%, 81.08%, 100.00%, 100.00% and 100.00%, respectively, qualify
for the corporate dividends received deduction.
QUALIFIED DIVIDEND INCOME: For the fiscal year ended October 31, 2005, the High
Income, Balanced, Growth and Income, Capital Appreciation, Mid-Cap, and
International Stock Funds paid dividend income totaling $4,226,543, $3,254,631,
$1,461,853, $4,002, $295,803, and $427,531, respectively. The Funds hereby
designate the maximum amount of dividends allowable pursuant to the Internal
Revenue Code, as qualified dividend income ("QDI") eligible for reduced tax
rates (the rates range from 5% to 15% depending upon an individual's tax
bracket.) Complete information regarding each fund's income distributions paid
during the calendar year 2005, including the portion, if any, which qualify as
QDI, will be reported in conjunction with Form 1099-DIV.
91
TRUSTEES AND OFFICERS
Each trustee and officer oversees 19 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 9 portfolios and the Ultra Series Fund
with 10 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available
at no cost on the Funds' website at www.membersfunds.com or by calling
1-800-877-6089.
NAME;
POSITION(S) HELD WITH THE FUNDS,
YEAR ELECTED(1); PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS;
YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS
INTERESTED TRUSTEES AND OFFICERS
Michael S. Daubs, CFA MEMBERS Capital Advisors, Inc.: Senior Vice President (since Sept. 2005) and President
Trustee & Chairman (1997) (1982-2005); CUNA Mutual Insurance Society: Chief Officer-Investments (1990-2005);
1943 CUNA Mutual Life Insurance Company: Chief Officer-Investments (1973-2005).
Other Directorships: None
Lawrence R. Halverson, CFA MEMBERS Capital Advisors, Inc.: Senior Vice President-Equities (since 1996).
Trustee, President & Principal Other Directorships: None
Executive Officer (1997)
1945
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Assistant Vice President-Finance and Operations
Treasurer (1998) (since 2001) and Product Operations and Finance Manager (1998-2001).
1970 Other Directorships: None
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Operations Officer-Mutual Funds (since July 2005),
Secretary and Assistant Treasurer Senior Manager Product and Fund Operations (2001-June 2005) and Operations and
(1999) Administration Manager (1998-2001).
1960 Other Directorships: None
Dan P. Owens MEMBERS Capital Advisors, Inc.: Operations Officer-Investments (since July 2005),
Assistant Treasurer (2000) Senior Manager Portfolio Operations (2001-June 2005) and Investment Operations
1966 Manager (1999-2001).
Other Directorships: None
Molly M. Head MEMBERS Capital Advisors, Inc.: Chief Compliance Officer (since May 2005);
Chief Compliance Officer (2005) Harris Associates L.P.: Chief Compliance Officer/Advisor (1985-2005).
1962 Other Directorships: None
INDEPENDENT TRUSTEES
Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and President (1983-2002);
Trustee (2003) Lutheran Brotherhood (now Thrivent Financial) Chief Investment Officer (1983-2002).
1938 Other Directorships: Regis Corp, Director (since 1982).
Gwendolyn M. Boeke Wartburg Theological Seminary Development Association: Development Associate
Trustee (1997) (1997-2003); Evangelical Lutheran Church in America Foundation: Regional Director
1934 (1990-2000); Wartburg College: Director (1986-2001).
Other Directorships: None
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior Vice
Trustee (2005) President Marketing and First Vice President Human Resources (1986-2001).
1954 Other Directorships: None
Richard E. Struthers Clearwater Capital Management: Chairman and Chief Executive Officer (since 1998).
Trustee (2004) Other Directorships: None
1952
- ----------
(1) The board of trustees adopted term limits authorizing each independent
trustee to serve in such capacity until the first to occur: (1) serving
one twelve-year term, or (2) reaching the age of 72; provided however,
that no independent trustee serving on the Board on the date of adoption
of such term limits is required to resign pursuant to the adoption of such
limits prior to September 30, 2004.
92
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93
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94
[MEMBERS LOGO]
MUTUAL FUNDS
MEMBERS Mutual Funds
Post Office Box 8390
Boston, MA 02266-8390
1 (800) 877-6089
www.membersfunds.com
Distributed by:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677-9202
Member NASD/SIPC
(4460-P1053(1005)
ITEM 2. CODE OF ETHICS.
As of the period ended October 31, 2005, MEMBERS Mutual Funds (also referred to
herein as the "Registrant," or the "Trust") has adopted a code of ethics
("Code") that applies to the Fund's principal executive officer and principal
financial officer, principal accounting officer or controller, or person
performing similar functions, a copy of which is posted on the Registrant's
Internet website at www.memberscapitaladvisors.com. Registrant intends to
disclose on its Internet website information related to (1) any amendment of the
Code (with the exception of technical, administrative or other non-substantive
amendments), and (2) any waiver from a provision of the Code that has been
granted to the Registrant's principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing
similar functions, within five business days following the date of such
amendment or waiver.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's board of trustees has determined that the Registrant has at
least one audit committee financial expert serving on its audit committee. The
name of the audit committee financial expert is Rolf F. Bjelland, who is an
"independent" trustee for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
For the fiscal years ended October 31, 2005 and October 31, 2004,
respectively, the aggregate fees for professional services rendered by
Deloitte & Touche LLP ("Deloitte & Touche"), the Trust's independent
public accountant, for the audit of the Trust's annual financial
statements and services normally provided by such firm in connection with
statutory and regulatory filings and engagements for such fiscal years,
totaled $119,280 and $112,000 respectively.
(b) Audit Related Fees
For the fiscal years ended October 31, 2005 and October 31, 2004
respectively, the aggregate fees for professional services rendered by
Deloitte & Touche for assurance and related services by such firm that
were reasonably related to the performance of the audit of the Trust's
annual financial statements other than those referenced in paragraph (a)
above, totaled $0.
(c) Tax Fees
For the fiscal years ended October 31, 2005 and October 31, 2004,
respectively, the aggregate fees for professional services rendered by
Deloitte and Touche for tax compliance, tax advice and tax planning for
such fiscal years, totaled $20,342 and $19,100 respectively, in each case
100% of which were pre-approved by the Audit Committee.
4
In the scope of services comprising the fees disclosed under this Item
4(c) were the following services:
-Review and sign as signature preparer for U.S. Income Tax Return for
Regulated Investment Companies, Form 1120-RIC and the Return of Excise
Tax on Undistributed Income of Regulated Investment Companies, Form 8613.
(d) All Other Fees
For the fiscal years ended October 31, 2005 and October 31, 2004
respectively, the aggregate fees for professional services rendered by
Deloitte & Touche for products and services other than those reported in
subparagraphs (a) through (c) of this Item 4, for such fiscal years,
totaled $0.
(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), which such services are described above.
(f) Not applicable.
(g) During the Trust's fiscal years ended October 31, 2005 and October 31,
2004, the aggregate non-audit fees billed by Deloitte & Touche for
services rendered to the Trust, and to MEMBERS Capital Advisors, Inc.
("MCA"), the Trust's investment adviser, and to any entity controlling,
controlled by, or under common control with MCA that provides ongoing
services to the Trust, totaled $0.
(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.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The Registrant's board of trustees has determined that the Registrant has a
separately-designated standing audit committee. The names of the audit committee
are Rolf F. Bjelland, Gwendolyn M. Boeke, Steven P. Riege, and Richard E.
Struthers.
ITEM 6. SCHEDULE OF INVESTMENTS
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ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES. Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS. Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have not been any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, since those
procedures were last disclosed in response to the requirements of Item
7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the 1940 Act, the
Registrant's principal executive officer and principal financial
officer have concluded that such disclosure controls and procedures
are reasonably designed and are operating effectively to ensure
that material information relating to the Registrant, including its
consolidated subsidiaries, is made known to them by others within
those entities, particularly during the period in which this report
is being prepared, and that the information required in filings on
Form N-CSR is recorded, processed, summarized, and reported on a
timely basis. This review took place on December 19, 2005.
(b) There were no significant changes in the Trust's internal control
over financial reporting (as defined in Rule 30a-3(d) under the
1940 Act) that occurred during the Registrant's most recent second
fiscal half-year that have materially affected, or are reasonably
likely to materially affect, the Registrant's internal control over
financial reporting.
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ITEM 12. EXHIBITS.
(a) Not applicable.
(b) Certifications of the principal executive and principal financial
officer.
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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.
MEMBERS MUTUAL FUNDS
BY: /s/ Lawrence R. Halverson
---------------------------------
Lawrence R. Halverson
President
DATE: 12/19/05
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/ Lawrence R. Halverson
---------------------------------
Lawrence R. Halverson
President, MEMBERS Mutual Funds
DATE: 12/19/05
BY: /s/ Mary E. Hoffmann
---------------------------------
Mary E. Hoffmann
Treasurer, MEMBERS Mutual Funds
DATE: 12/19/05
EXHIBIT INDEX
2(f)(1) - Code of Ethics.
11(b)(i) - Certification of Lawrence R. Halverson, President/Principal
Executive Officer, MEMBERS Mutual Funds
11(b)(ii) - Certification of Mary E. Hoffman, Treasurer/Principal
Financial Officer, MEMBERS Mutual Funds
Appendix A - Audit Committee Policy Regarding Pre-Approval of Services
Provided by Independent Auditors