As filed with the Securities and Exchange Commission on February 27, 2006
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. 811-4815
Ultra Series Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Kevin S. Thompson, Esq.
Vice President, Deputy General Counsel
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
Copy to:
Stephen E. Roth, Esq.
Sutherland Asbill & Brennan LLP
1275 Pennsylvania Avenue, N.W.
Washington, D.C. 20004-2415
----------
Date of Fiscal Year End: December 31, 2005
Date of Reporting Period: December 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 on December 31, 2005 appears beginning on the
following page.
TABLE OF CONTENTS
PAGE
----
ULTRA SERIES FUND
FUND PERFORMANCE REVIEWS
Bond Fund ............................................................ 4
High Income Fund ..................................................... 6
Balanced Fund ........................................................ 8
Growth and Income Stock Fund ......................................... 10
Capital Appreciation Stock Fund ...................................... 12
Mid-Cap Stock Fund ................................................... 14
Multi-Cap Growth Stock Fund .......................................... 16
Global Securities Fund ............................................... 18
International Stock Fund ............................................. 20
PORTFOLIOS OF INVESTMENTS
Money Market Fund .................................................... 22
Bond Fund ............................................................ 23
High Income Fund ..................................................... 27
Balanced Fund ........................................................ 34
Growth and Income Stock Fund ......................................... 39
Capital Appreciation Stock Fund ...................................... 41
Mid-Cap Stock Fund ................................................... 43
Multi-Cap Growth Stock Fund .......................................... 45
Global Securities Fund ............................................... 47
International Stock Fund ............................................. 50
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ................................. 54
Statements of Operations ............................................. 56
Statements of Changes in Net Assets .................................. 58
Financial Highlights ................................................. 62
NOTES TO FINANCIAL STATEMENTS ........................................... 67
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................. 74
OTHER INFORMATION ....................................................... 75
TRUSTEES AND OFFICERS ................................................... 79
ANNUAL REPORT DECEMBER 31, 2005
2 LETTER TO SHAREHOLDERS
Dear Investor:
The year 2005 was one of strong contradictions in the economy and investment
markets.
- Energy prices hit record levels and other materials prices advanced
sharply, but general inflation rates remained subdued.
- The Federal Reserve repeatedly raised short-term interest rates, yet
intermediate-term and longer-term rates actually fell initially and
ended the year essentially unchanged.
- The U.S. trade deficit ballooned by record amounts to record levels,
pumping huge volumes of dollars into the hands of those whose exports
we were buying, yet the dollar remained strong in international
currency markets.
- In spite of the higher energy prices and interest rates, which raise
the operating costs of our businesses, and the strong dollar, which
effectively raises the prices of our goods and services to foreign
buyers, our economy grew steadily at above-trend rates throughout the
year and overall corporate profit margins remained near all-time
highs.
Investors were seemingly awestruck as this series of contradictions unfolded,
the result being unusually calm markets and little net change in stock or bond
prices for the year. The Dow Jones Industrials ended the year with a total
return of 1.72% and the Lehman Intermediate Government/Credit Bond Index
returned 1.58%. Modest as these numbers may be, I suspect that most investors
feel fortunate to have closed the year with positive returns.
Ultra Series Fund investors enjoyed positive returns from all of the Ultra
Series Funds in 2005. In addition, these fund returns exceeded the average
returns of similar funds (according to Morningstar, Inc.) for eight of the ten
funds. In the "average fund family," of course, 50% of the funds would realize
above-average returns, so it is very gratifying that we could provide
above-average returns from nearly 78% of our funds in 2005. The attached annual
report provides additional discussions of the performance of each of the funds,
along with each fund's full financial statements.
Although the future of investment markets is no more predictable than any other
aspect of our lives, we believe investors should be prepared for continued
modest returns, but with gradually increasing volatility as the economic
pressures identified above intensify. If so, diversification can be extremely
important. We encourage each of our investors to work closely with their
financial management professional to be sure their investment allocation is
appropriate for their needs and is carefully maintained until some change in
their situation dictates a change.
On behalf of the entire staff at MEMBERS Capital Advisors, I thank you for your
confidence in us and commit to continue to warrant that trust.
Sincerely,
/s/ Lawrence R. Halverson
- -------------------------------------
Lawrence R. Halverson, CFA
Vice President
(Not part of the Annual Report.)
SUMMARY OF ECONOMIC AND FINANCIAL MARKET CONDITIONS 3
U.S. ECONOMY
The U.S. economy expanded at a healthy pace in the twelve months ended December
31, 2005, growing almost exactly at 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. A much more pronounced "soft spot"
developed after Hurricane Katrina as soaring gasoline prices ate into household
budgets. Automobile sales in particular plunged in the wake of the Gulf
hurricanes. 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 activity rebounded in November and
December. The housing market and housing construction made large contributions
to economic growth during the period, although a gradual slowing of activity
became apparent in the second half of 2005.
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 2002-2003 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 above its historical average of 3.1% 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 rose in 2005 but generally provided returns somewhat below their
long-term historical averages. The broadly representative Russell 1000(R) Index
rose 6.27%. 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 erode the strength of the
rally, which resumed in early October. The Russell 1000(R) Index closed the year
at its highest level since mid-2001. 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 2.55%. The Fed increased short-term interest rates eight
times during the period in 25 basis-point increments, taking the benchmark
Federal Funds rate from 2.25% to 4.25%. The 10-Year U.S. Treasury Note opened
the year yielding 4.28%, and closed the year yielding 4.39%. The failure of
longer-term bond yields to rise as the Fed raised short-term interest rates has
puzzled many observers, with Fed chair Alan Greenspan labeling the phenomenon a
"conundrum." 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 harder: 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 would resume 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 year 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. In U.S. dollars, the MSCI
Emerging Markets Free Index rose 34.54% during the period, while the MSCI EAFE
Index of developed markets stocks rose 14.02%.
(Not part of the Annual Report.)
4 FUND PERFORMANCE REVIEW
BOND FUND
INVESTMENT OBJECTIVE
The Bond Fund seeks to generate a high level of current income, consistent with
the prudent limitation of investment risk.
PORTFOLIO MANAGEMENT
The fund is managed by MEMBERS Capital Advisors.
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 or other
securities which, although not rated by a national rating service, are
considered by the fund's investment advisor to have an investment quality
equivalent to the four highest categories. The Bond Fund maintains an
intermediate (typically 3-6 year) average portfolio duration. As a general rule,
a portfolio consisting of debt, mortgage-related and asset-backed securities
experiences a decrease in principal value when interest rates increase. The
extent of the decrease in principal value may be affected by the fund's duration
of its portfolio of debt, mortgage-related and asset-backed securities.
"Effective duration" takes into consideration the likelihood that a security
will be called or prepaid prior to maturity given current interest rates.
Duration measures the relative price sensitivity of a security to changes in
interest rates. Typically, securities with longer durations are more
price-sensitive than those with shorter durations. Commonly, a portfolio of
debt, mortgage-related and asset-backed securities experiences a percentage
decrease in principal value equal to its effective duration for each 1% increase
in interest rates. For example, if the fund holds securities with an effective
duration of five years and interest rates rise 1%, the principal value of such
securities could be expected to decrease by approximately 5%.
The fund may invest in the following instruments:
- - CORPORATE DEBT SECURITIES: securities issued by domestic and foreign
corporations; and
- - U.S. GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by the
U.S. government or its agencies or instrumentalities.
To the extent permitted by law and available in the market, the fund will also
invest in: 1) asset-backed and mortgage-backed securities, including those
representing mortgage, commercial or consumer loans originated by credit unions
or other financial institutions; and 2) foreign government debt securities
(securities issued or guaranteed by a foreign government or its agencies or
instrumentalities).
2005 RETURNS
Ultra Series Bond Fund 2.51%
Merrill Lynch U.S. Domestic Master Index 2.55%
Performance was helped significantly by our 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 Notes narrowing some 115 basis points and actually
inverting by one basis point at year-end. Performance was also helped by an
underweight in lower-quality investment-grade BBB-rated bonds and an overweight
in asset-backed securities ("ABS") and commercial mortgage-backed securities
("CMBS"). Performance was helped modestly by an underweight in mortgage-backed
and U.S. Agency securities.
At the tactical level, performance was helped by security selection in CMBS and
ABS. In the corporate segment of the portfolio, performance was helped by our
decision to underweight Ford and General Motors bonds prior to their credit
downgrades last spring.
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. We maintain 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 given the potential for heavy buyout and merger and acquisition
activity in 2006.
MEMBERS Capital Advisors -- Advisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 5
BOND FUND
BOND FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(PERFORMANCE GRAPH)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
---------- ---------- ---------- ---------- ----------
Bond Fund $10,000 $10,283 $11,049 $11,734 $11,820
Merrill Lynch U.S. Domestic Master Index $10,000 $10,359 $11,359 $12,367 $12,248
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Bond Fund $12,778 $13,842 $15,025 $15,482 $16,004 $16,406
Merrill Lynch U.S. Domestic Master Index $13,685 $14,824 $16,367 $17,041 $17,781 $18,235
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
ASSET ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Bond Fund Asset Allocation as a Percentage of Net
Assets:
Corporate Notes and Bands 28%
Private Label Mortgage Backed 1%
Commercial Mortgage Backed 6%
U.S. Government and Agency Obligations 30%
Cash and Other Net Assets 4%
Mortgage Backed 26%
Asset Backed 5%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Bond Fund 2.51% 2.97% 5.12% 5.08%
Merrill Lynch U.S. Domestic Master Index 2.55 3.67 5.91 6.19
ANNUAL REPORT DECEMBER 31, 2005
6 FUND PERFORMANCE REVIEW
HIGH INCOME FUND
INVESTMENT OBJECTIVE
The High Income Fund seeks high current income. The fund also seeks capital
appreciation, but only when consistent with its primary goal.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more subadvisors under a "manager of
managers" approach to make investment decisions for this fund. Shenkman Capital
Management, Inc. is the only subadvisor 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 in which the fund may invest include, but are not limited to,
domestic and foreign corporate bonds, debentures, notes, convertible securities,
preferred stocks, municipal obligations and government obligations. The fund may
invest in mortgage-backed securities.
The fund may also invest up to 50% of its assets in high-yielding foreign
securities, including emerging market securities.
2005 RETURNS
Ultra Series High Income Fund 2.51%
Merrill Lynch U.S. High Yield Master II Index 2.74%
Lehman Brothers High Yield Bond Index 2.74%
During the reporting period, less exposure to lower rated, discounted credits
and risky industries, such as the automotive sector, benefited relative returns.
In addition, the two-year run of marginal and distressed credits (i.e., CCC and
below) came to a halt in 2005, with the sub-sector experiencing negative
returns. The portfolio's significant overweighting in single B credits and
increased weightings in the gaming and telecom sectors contributed positively to
performance. The avoidance or de-emphasis of several key industries also
contributed to the portfolio's relative performance. We believe that both the
airline and automotive sectors have severe fundamental flaws; hence, the
portfolio's significant underweight in these sectors. Earlier in the year, the
portfolio had an overweighing in the paper/forestry industry, but concluded the
year with a significant underweighting, which also benefited performance as this
sector performed poorly in 2005.
As of year-end, the portfolio was well-diversified with investments in 227
issuers in 30 industries. Currently the portfolio's top industry weightings
include telecom, utilities, gaming, healthcare, and oil & gas. The portfolio's
strategic underweightings are in the automotive, airline, homebuilding, and the
forestry/paper sectors. The portfolio continues to be concentrated in the single
B rating sector. We continue to be cautious regarding interest rate risk, as
evidenced by the portfolio's lower duration and underweight of BB rated credits
relative to the market. Allocations are being reduced in sectors susceptible to
high commodity prices or a maturing economic growth cycle, such as chemicals and
building/construction. As a result, the portfolio exhibits high credit standards
with an average quality rating of B and an average bond price of $102.
At the start of 2006, investors seemed encouraged by the release of the minutes
of the Fed's most recent Federal Open Market Committee meeting, which indicated
that future rate hikes may be limited. Moreover, investors appear to be
comfortable with Greenspan's successor, Ben Bernanke, who may have a different
style but is likely to pursue the same policy objectives. A robust U.S. economy,
strong corporate profitability, and low defaults (i.e., 1.8% default rate)
bolstered high-yield bond valuations and are firmly in place for the first half
of 2006. While default rates may tick up from the current low level of 1.8%, we
expect them to remain well below historical averages. The greatest concern for
fixed income investors remains higher interest rates. However, we believe the
Federal Reserve may be near the end of its credit tightening cycle. Based on
this scenario, the high-yield market appears well-positioned to outperform the
investment grade market for a fourth consecutive year.
MEMBERS Capital Advisors -- Advisor
Shenkman Capital Management, Inc. -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 7
HIGH INCOME FUND
HIGH INCOME FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
---------- ---------- ---------- ---------- ----------
High Income Fund $10,000
Merrill Lynch US High Yield Master II Index 10/31-12/31 $10,000
Lehman Brothers High Yield Bond Index $10,000
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
High Income Fund $ 9,997 $10,342 $10,659 $12,628 $13,755 $14,100
Merrill Lynch US High Yield Master II Index $ 9,835 $10,276 $10,081 $12,919 $14,323 $14,716
Lehman Brothers High Yield Bond Index $ 9,789 $10,306 $10,161 $13,105 $14,564 $14,963
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and else-where in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Gaming 10%
Telecommunications 9%
Cash and Other Net Assets 7%
Health Care 7%
Support Services 6%
Utilities 6%
Oil and Gas 6%
Media - Cable 5%
Aerospace/Defense 5%
Technology 4%
Consumer Products 4%
Media - Diversified and Services 3%
Chemicals 3%
Printing and Publishing 3%
Non Food and Drug Retailers 3%
Media - Broadcasting 2%
Leisure and Entertainment 2%
Beverage/Food 2%
Hotels 2%
Metals and Mining 2%
Forestry/Paper 2%
Packaging 1%
General Industrial and Manufacturing 1%
Food and Drug Retailers 1%
Building Materials 1%
Environmental 1%
Transportation 1%
Apparel/Textiles 1%
Auto Parts and Equipment 0%*
Restaurants 0%*
Steel 0%*
* Rounds to 0%.
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Since
Year Years Years Inception(2)
---- ----- ----- ------------
High Income Fund 2.51% 9.78% 7.12% 6.87%
Lehman Brothers High Yield Bond Index 2.74 13.77 8.85 8.11
Merrill Lynch U.S. High Yield Master II Index 2.74 13.42 8.39 7.76
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2005
8 FUND PERFORMANCE REVIEW
BALANCED FUND
INVESTMENT OBJECTIVE
The Balanced Fund seeks a high total return through the combination of income
and capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by MEMBERS Capital Advisors.
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 Stock and Growth and Income Stock
Funds invest, the same types of bonds in which the Bond Fund invests, and the
same types of money market instruments in which the Money Market Fund invests.
2005 RETURNS
Ultra Series Balanced Fund 3.89%
Russell 1000(R) Index 6.27%
Merrill Lynch U.S. Domestic Master Index 2.55%
Equity performance was helped by a strategic overweight in the energy sector.
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 and services subsector under-performed. Equity
performance was helped by stock selection in the financials sector. We were able
to close positions in Chubb Corporation and Prudential Financial after realizing
significant gains and commercial insurance provider ACE Ltd. rose on market
participants' hopes that it will be able to increase premiums after the Gulf
hurricanes. Bond performance was helped by management's decision to overweight
shorter and longer maturities in the portfolio. This so-called "barbell"
strategy generally contributes to performance when the yield curve flattens, as
it did during the reporting period. Performance was also helped by an
underweight in BBB-rated corporate bonds, 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.
MEMBERS Capital Advisors -- Advisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 9
BALANCED FUND
BALANCED FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
Balanced Fund $10,000 $11,078 $12,947 $14,681 $16,809
Merrill Lynch U.S. Domestic Master Index $10,000 $10,359 $11,359 $12,367 $12,248
Russell 1000(R) Index $10,000 $12,245 $16,267 $20,663 $24,984
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Balanced Fund $17,457 $16,922 $15,038 $17,566 $19,031 $19,773
Merrill Lynch U.S. Domestic Master Index $13,685 $14,824 $16,367 $17,041 $17,781 $18,235
Russell 1000(R) Index $23,038 $20,170 $15,803 $20,526 $22,867 $24,300
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
ASSET ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Balanced Fund Asset Allocation as a Percentage of Net
Assets:
Common Stock 67%
Cash and Other Net Assets 1%
U.S. Government and Agency Obligations 10%
Private Label Mortgage Backed*
Asset Backed 2%
Commercial Mortgage Backed 2%
Corporate Notes and Bonds 10%
Morgage Backed 8%
- -------------
* Rounds to 0%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Balanced Fund 3.89% 9.55% 2.52% 7.05%
Russell 1000(R) Index 6.27 15.42 1.07 9.29
Merrill Lynch U.S. Domestic Master Index 2.55 3.67 5.91 6.19
ANNUAL REPORT DECEMBER 31, 2005
10 FUND PERFORMANCE REVIEW
GROWTH AND INCOME STOCK FUND
INVESTMENT OBJECTIVE
The Growth and Income Stock Fund seeks long-term capital growth with income as a
secondary consideration.
PORTFOLIO MANAGEMENT
The fund is managed by MEMBERS Capital Advisors.
PRINCIPAL INVESTMENT STRATEGIES
The Growth and Income Stock Fund will focus on stocks of larger companies with
financial and market strengths and a long-term record of financial performance,
and will, under normal market conditions, maintain at least 80% of its assets in
such stocks. Primarily through ownership of a diversified portfolio of common
stocks and securities convertible into common stocks, the fund will seek a rate
of return in excess of returns typically available from less variable investment
alternatives.
The fund generally follows what is known as a "value" approach, which generally
means that the managers seek to invest in stocks at prices below their perceived
intrinsic value as estimated based on fundamental analysis of the issuing
company and its prospects. By investing in value stocks, the fund attempts to
limit the downside risk over time but may also produce smaller gains than other
stock funds if their intrinsic values are not realized by the market or if
growth-oriented stocks are favored by investors.
2005 RETURNS
Ultra Series Growth and Income Stock Fund 5.58%
Russell 1000(R) Value Index 7.05%
Performance was hurt by a modest underweight in the utilities sector while
performance was helped by a slight overweight in the health care 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. The
Altria Group performed well, but the portfolio was significantly underweight in
the stock versus the index. Two stocks the fund was overweighted versus the
index--Kimberly-Clark and General Mills--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 our
conservative posture hurt performance as higher beta materials stocks led the
market. DuPont, Alcan and Alcoa were hit hard by rising energy prices, which
surged 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.
Performance was helped by stock selection in the energy sector, by far the
best-performing sector during the reporting period, as oil services concern
Transocean and exploration & production company Devon Energy each rose more than
60%.
We continue to favor mega-cap and high-quality stocks, which have
under-performed smaller and lower-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. We
have recently added to positions in General Electric, Textron and Pfizer and
initiated positions in health care insurance company WellPoint and electric
utility Exelon. We think the market will eventually reward the competitive and
financial strengths of these companies.
MEMBERS Capital Advisors -- Advisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 11
GROWTH AND INCOME STOCK FUND
GROWTH AND INCOME STOCK FUND COMPARISON OF CHANGE IN
VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
---------- ---------- ---------- ---------- ----------
Growth and Income Stock Fund $10,000 $12,329 $16,036 $18,913 $22,308
Russell 1000(R) Value Index $10,000 $12,164 $16,444 $19,014 $20,411
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Growth and Income Stock Fund $22,490 $20,082 $15,755 $19,833 $22,298 $23,543
Russell 1000(R) Value Index $21,843 $20,622 $17,421 $22,652 $26,389 $28,250
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Growth and Income Stock Fund Sector Allocation as a
Percentage of Net Assets:
Utilities 6%
Telecommunication Services 4%
Materials 4%
Information Technology 7%
Industrials 8%
Health Care 9%
Cash and Other Net Assets 3%
Consumer Discretionary 8%
Consumer Staples 6%
Energy 13%
Financials 32%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Growth and Income Stock Fund 5.58% 14.33% 0.92% 8.94%
Russell 1000(R) Value Index 7.05 17.49 5.28 10.94
ANNUAL REPORT DECEMBER 31, 2005
12 FUND PERFORMANCE REVIEW
CAPITAL APPRECIATION STOCK FUND
INVESTMENT OBJECTIVE
The Capital Appreciation Stock Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
The fund is managed by MEMBERS Capital Advisors.
PRINCIPAL INVESTMENT STRATEGIES
The Capital Appreciation Stock Fund invests primarily in common stocks and will,
under normal market conditions, maintain at least 80% of its assets in such
securities. The fund seeks stocks that have both low market prices relative to
their perceived intrinsic value and growth capabilities as estimated based on
fundamental analysis of the issuing companies and their prospects. This is
referred to as a "core" or "blend" approach. Relative to the Growth and Income
Stock Fund, the Capital Appreciation Stock Fund will seek more earnings growth
capability in the stocks it purchases, and will include some smaller, less
developed companies and some companies undergoing more significant changes in
their operations or experiencing significant changes in their markets. The fund
will diversify its holdings among various industries and among companies within
those industries. The combination of these factors introduces greater investment
risk than the Growth and Income Stock Fund, but can also provide higher
long-term returns than are typically available from less risky investments.
2005 RETURNS
Ultra Series Capital Appreciation Stock Fund 2.42%
Russell 1000(R) Index 6.27%
Performance was helped significantly by a strategic overweight in the energy
sector. An underweight in the health care sector detracted from performance.
Performance was hurt by stock selection in the health care sector, where
pharmaceutical concern Abbott Laboratories under-performed after its gross and
operating margins fell in the second quarter of 2005. Medical device provider
Boston Scientific also disappointed after its Taxus coronary stent lost market
share amid growing safety concerns. We have sold our position in both of these
stocks to pursue more attractive investment opportunities. Stock selection in
the information technology sector also hurt performance as the fund's holdings
in the semiconductor and semiconductor equipment subsector, particularly
Novellus Systems and Altera, under-performed.
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. We also have
added some higher-potential, more volatile stocks to the portfolio due to our
generally positive outlook for the stock market over the next twelve months and
to move the portfolio towards its new large-cap growth benchmark. Fast growing
companies like new positions Yahoo!, eBay, and Amgen tend to out-perform in
rising markets.
MEMBERS Capital Advisors -- Advisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 13
CAPITAL APPRECIATION STOCK FUND
CAPITAL APPRECIATION STOCK FUND COMPARISON OF
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
---------- ---------- ---------- ---------- ----------
Capital Appreciation Stock Fund $10,000 $12,144 $15,846 $19,319 $24,186
Russell 1000(R) Index $10,000 $12,245 $16,267 $20,663 $24,984
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Capital Appreciation Stock Fund $25,221 $22,923 $15,724 $20,304 $22,118 $22,653
Russell 1000(R) Index $23,038 $20,170 $15,803 $20,526 $22,867 $24,300
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Capital Appreciation Stock Fund Sector Allocation as
a Percentage of Net Assets:
Information Technology 25%
Industrials 14%
Health Care 17%
Consumer Discretionary 11%
Materials 4%
Consumer Staples 11%
Telecommunication Services 1%
Energy 4%
Utilities 1%
Financials 7%
Cash and Other Net Assets 5%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Ten
Year Years Years Years
---- ----- ----- -----
Capital Appreciation Stock Fund 2.42% 12.94% -2.12% 8.52%
Russell 1000(R) Index 6.27 15.42 1.07 9.29
ANNUAL REPORT DECEMBER 31, 2005
14 FUND PERFORMANCE REVIEW
MID-CAP STOCK FUND
INVESTMENT OBJECTIVE
The Mid-Cap Stock Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more sub-advisors under a "manager of
managers" approach to make investment decisions for some or all of the assets of
this fund. Wellington Management Company, LLP is the only subadvisor currently
used by MEMBERS Capital Advisors to manage the assets within the small-cap
portion of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Mid-Cap Stock Fund invests primarily in common stocks of midsize and smaller
companies (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 its market capitalization has grown
beyond $12 billion, or fallen below $1 billion, and such positions may be
increased through additional purchases.
The fund seeks midsize and smaller stocks that have a low market price relative
to their value as estimated based on fundamental analysis of the issuing company
and its prospects. This is sometimes referred to as a "value" approach. Relative
to both the Growth and Income Stock and Capital Appreciation Stock Funds, the
Mid-Cap Stock Fund includes smaller, less developed issuers. These midsize and
smaller companies often have difficulty competing with larger companies, but the
successful ones tend to grow faster than larger companies (within the ranges
noted above) by often using profits to expand rather than to pay dividends.
The fund diversifies its holdings among various industries and among companies
within those industries but is often less diversified than the Growth and Income
Stock Fund. The combination of these factors introduces greater investment risk
than the Growth and Income Stock Fund, but can also provide higher long-term
returns than are typically available from less risky investments.
2005 RETURNS
Ultra Series Mid-Cap Stock Fund 10.32%
Russell Midcap(R) Value Index 12.65%
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 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. Performance was 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 subsector. Electronic device maker
Arrow Electronics and telecommunications equipment provider Tellabs were also
strong performers on improving fundamentals.
Among the small-cap shares in the portfolio, favorable stock selection produced
positive benchmark-relative returns during the twelve-month period. Key
individual contributors to relative performance were Vintage Petroleum (Energy),
Herbalife (Household & Personal Products), O'Reilly Automotive (Retailing),
Gildan Activewear (Consumer Durables & Apparel), and Plains Exploration &
Production (Energy). Detractors from relative performance during the period
included NBTY (Household & Personal Products), IPC Holdings (Insurance), and
Wolverine Tube (Capital Goods).
MEMBERS Capital Advisors -- Advisor
Wellington Management Company, LLP -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 15
MID-CAP STOCK FUND
MID-CAP STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
<Table>
<Caption>
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/31/2000 12/31/2001 12/31/2002
Mid-Cap Stock Fund 5/1/1999 $10,000 $11,368 $14,079 $15,651 $12,926
Russell MidCap(R) Value Index $10,000 $ 9,418 $11,224 $11,486 $10,378
<Caption>
12/31/2003 12/31/2004 12/31/2005
Mid-Cap Stock Fund $16,960 $19,651 $21,678
Russell MidCap(R) Value Index $14,328 $17,725 $19,968
</Table>
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Mid-Cap Stock Fund Sector Allocation as a Percentage
of Net Assets:
<Table>
Cash and Other Net Assets 3%
Utilities 8%
Telecommunication Services 1%
Materials 8%
Information Technology 9%
Industrials 13%
Health Care 7%
Consumer Discretionary 12%
Consumer Staples 5%
Energy 10%
Financials 24%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Since
Year Years Years Inception(2)
----- ----- ----- ------------
Mid-Cap Stock Fund 10.32% 18.81% 9.02% 12.30%
Russell Midcap(R) Value Index 12.65 24.38 12.21 10.91
(2) Returns are from inception, May 1, 1999.
ANNUAL REPORT DECEMBER 31, 2005
16 FUND PERFORMANCE REVIEW
MULTI-CAP GROWTH STOCK FUND
INVESTMENT OBJECTIVE
The Multi-Cap Growth Stock Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more sub-advisors under a "manager of
managers" approach to make investment decisions for this fund. Wellington
Management Company, LLP is the only subadvisor currently used by MEMBERS Capital
Advisors to manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The Multi-Cap Growth Stock Fund invests generally in common stocks, securities
convertible into common stocks and related equity securities. Under normal
market conditions, the fund will maintain at least 80% of its assets in these
securities. The fund is managed by a team of portfolio managers of the
subadvisor, each with expertise in a specific range of the market capitalization
spectrum. Each of the portfolio managers has a distinct sub-portfolio that is
focused on the manager's area of market capitalization expertise. Typically,
between 60% and 90% of the fund will be invested in large capitalization
companies (generally over $12 billion of market capitalization). The subadvisor
may invest up to 25% of the fund in mid capitalization companies (generally
between $2 billion and $12 billion of market capitalization) and up to 20% in
small capitalization companies (generally under $2 billion of market
capitalization). The fund seeks securities of growth companies across a broad
range of market capitalization, which are companies that may be:
- - major enterprises that have demonstrated and are expected to sustain
above-average growth or whose rates of earnings growth are anticipated to
accelerate because of factors such as expectations relative to management,
new or unique products, superior market position, changes in demand for the
company's products, or changes in the economy or segments of the economy
affecting the company; or
- - early in their life cycle, but have the potential to become much larger
enterprises.
2005 RETURNS
Ultra Series Multi-Cap Growth Stock Fund 8.75%
Russell 3000(R) Growth Index 5.17%
Favorable stock selection produced positive benchmark-relative returns during
the twelve-month period. Stock selection was strongest within the information
technology, health care and energy 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 the
consumer discretionary sector.
Key individual contributors to relative performance were Google, AstraZeneca and
Petro-Canada. Internet search and advertising company Google benefited from both
a strong secular trend toward increased online advertising and greater investor
appreciation of its exceptional growth dynamics. AstraZeneca advanced due to
strong earnings results as operating margins improved and sales increased.
Petro-Canada gained on the continued rise in oil prices.
Positive results were partially offset by eBay, Electronic Arts, and XM
Satellite Radio. Internet auctioneer eBay declined in response to concerns about
slowing growth and increasing competition. The video game manufacturer
Electronic Arts lowered guidance as software sales fell shy of expectations
during this video game console transition period. XM Satellite Radio reacted
negatively to declining conversion rates from OEM installations and rising
expenses associated with increased advertising and promotion.
As always, we continue to utilize security specific research to build the fund
one stock at a time. We 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 of time. At the
conclusion of the twelve-month period, these bottom-up, stock-specific decisions
resulted in greater-than-benchmark weights in the financials, health care, and
information technology sectors and underweight positions in the consumer staples
and consumer discretionary sectors.
MEMBERS Capital Advisors -- Advisor
Wellington Management Company, LLP -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 17
MULTI-CAP GROWTH STOCK FUND
MULTI-CAP GROWTH STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000
INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999
---------- ---------- ---------- ---------- ----------
Multi-Cap Growth Stock Fund 10/31/2000 $10,000
Russell 3000(R) Growth Index $10,000
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Multi-Cap Growth Stock Fund $ 9,047 $ 6,252 $ 4,676 $ 6,238 $ 7,076 $ 7,695
Russell 3000(R) Growth Index $ 8,285 $ 6,659 $ 4,792 $ 6,277 $ 6,712 $ 7,059
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Multi-Cap Growth Stock Fund Sector Allocation as a
Percentage of Net Assets:
Cash and Other Net Assets 3%
Information Technology 31%
Industrials 11%
Consumer Discretionary 8%
Consumer Staples 1%
Energy 4%
Financials 16%
Telecommunication Services 1%
Health Care 25%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Since
Year Years Years Inception(2)
---- ----- ----- ------------
Multi-Cap Growth Stock Fund 8.75% 18.06% -3.18% -4.94%
Russell 3000(R) Growth Index 5.17 13.78 -3.15% -6.52
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2005
18 FUND PERFORMANCE REVIEW
GLOBAL SECURITIES FUND
INVESTMENT OBJECTIVE
The Global Securities Fund seeks capital appreciation.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more sub-advisors under a "manager of
managers" approach to make investment decisions for this fund. Oppenheimer
Funds, Inc. is the only subadvisor currently used by MEMBERS Capital Advisors to
manage the assets of the fund.
PRINCIPAL INVESTMENT STRATEGIES
The fund invests mainly in foreign equity securities and equity securities of
companies in the U.S. The fund can invest without limit in foreign securities
and can invest in any country, including countries with developed or emerging
markets. However, the fund currently emphasizes investments in developed markets
such as the U.S., Western European countries and Japan. The fund normally will
invest in at least three countries (one of which may be the U.S.). The fund does
not limit its investments to companies in a particular capitalization range, but
currently focuses its investments in mid-cap and large-cap companies.
In selecting securities for the fund, the advisor looks primarily for foreign
and U.S. companies with high growth potential. The advisor uses fundamental
analysis of a company's financial statements, management structure, operations
and product development, and considers factors affecting the industry of which
the issuer is part.
The advisor considers overall and relative economic conditions in U.S. and
foreign markets, and seeks broad portfolio diversification in different
countries to help moderate the special risks of foreign investing.
2005 RETURNS
Ultra Series Global Securities Fund 13.97%
MSCI World Index 10.02%
Stock selection generally contributed to the fund's relative performance.
Hyundai Heavy Industries, the world's largest shipbuilder, was one of the fund's
best performing stocks. We bought the stock on the belief that the average
tanker age was high and the move toward double-hulled tankers would create a
demand for new ship construction. The stock was very reasonably priced due to
some concerns over their ownership of non-core businesses. Those issues have now
been resolved and the stock more than doubled during the reporting period.
Another winner for the fund was AMD, whose new dual core processor chip achieved
significant traction in the server market versus Intel's competing offering. The
market's skepticism towards AMD's competitive position waned during the period,
helping the stock to rise. Two of the fund's energy stocks, Husky Energy, Inc.
and Transocean, Inc., an oil reserves company and driller, respectively, also
helped performance due to the rising cost of oil and natural gas.
Negative contributors to the fund's performance included JDS Uniphase Corp., an
optical components company. We had bought this stock in previous years in the
belief that there was a significant opportunity for a turnaround and that the
risk was reflected in its stock price. However, the turnaround never
materialized and we have since sold the stock. Another negative contributor was
Vodafone. As one of our largest holdings, Vodafone has yet to deliver
performance in line with our expectations. A slow market in Europe coupled with
greater than expected capital expenditure in Japan and a realized tax change all
detracted from results. A lengthening of the sales cycle in video conferencing
technology led to earnings disappointments at Tandberg, one of our poorest
performers. We still believe Tandberg's technology has merit and will be adopted
more widely in the coming year. Our position in International Game Technology,
the world's largest manufacturer of casino gaming machines, also disappointed.
The company's earnings growth did not meet investors' expectations and
consequently its stock price fell. However, we believe the long-term prospects
remain strong. The company is a leader in its industry and its stock is
reasonably priced. Therefore, we added modestly to our position in the stock on
its weakness.
Our investment decision-making does not focus on predicting stock-market levels
or short-term economic trends. Rather, it tries to look past them for secular
longer term growth opportunities that are available at reasonable prices. We
look to buy stocks with an investment horizon of three to five years where we
may have the opportunity to double our money. We continue to see such
opportunities in global equity markets.
MEMBERS Capital Advisors -- Advisor
Oppenheimer Funds, Inc. -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 19
GLOBAL SECURITIES FUND
GLOBAL SECURITIES FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 6/30/1999 12/31/1999
---------- ---------- ---------- ---------- --------- ----------
Global Securities Fund 10/31/2000 $10,000
Morgan Stanley Capital International
World Index (MSCI World Index) $10,000
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
Global Securities Fund $ 9,989 $ 8,959 $ 7,008 $ 9,899 $11,723 $13,360
Morgan Stanley Capital International
World Index (MSCI World Index) $ 9,548 $ 7,970 $ 6,413 $ 8,577 $ 9,885 $10,876
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing Global Securities Fund Geographical Allocation as a
Percentage of Net Assets:
United Kingdom 12%
Pacific Basin 5%
Other Countries 3%
Latin America 5%
Japan 11%
Europe(excluding United Kingdom) 22%
Canada 2%
United States 36%
Cash and Other Net Assets 4%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Since
Year Years Years Inception(2)
----- ------ ----- ------------
Global Securities Fund 13.97% 23.99% 5.99% 5.76%
MSCI World Index 10.02 19.26 2.64 1.64
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2005
20 FUND PERFORMANCE REVIEW
INTERNATIONAL STOCK FUND
INVESTMENT OBJECTIVE
The International Stock Fund seeks long-term growth of capital.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors uses one or more subadvisors under a "manager of
managers" approach to make investment decisions for this fund. Lazard Asset
Management 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 issued by a foreign government, are principally traded
outside of the U.S., or are quoted or denominated in a foreign currency.
Equity securities include common stocks, securities convertible into common
stocks, preferred stocks, and other securities representing equity interests
such as American depository receipts ("ADRs" -- receipts typically issued by a
U.S. financial institution which evidence ownership of underlying securities of
foreign corporate issuers), European depository receipts ("EDRs") and Global
depository receipts ("GDRs"). EDRs and GDRs are receipts evidencing an
arrangement with a non-U.S. financial institution similar to that for ADRs and
are designed for use in non-U.S. securities markets. The fund may also invest in
debt securities, foreign money market instruments, and other income bearing
securities as well as forward foreign currency exchange contracts and other
derivative securities and contracts. The fund always holds securities of issuers
located in at least three countries other than the U.S.
2005 RETURNS
Ultra Series International Stock Fund 16.53%
MSCI EAFE Index 14.02%
Fund performance versus the MSCI EAFE Index continued to benefit from its
exposure to developed market small-cap and emerging markets stocks. Given the
extended period of out-performance by these stocks and what we believe is their
markedly decreased relative value versus large-cap developed market stocks, we
are considering whether to reduce this exposure in 2006.
LARGE-CAP DEVELOPED MARKETS STOCKS
Stock selection in technology benefited the portfolio, as one of its holdings
(Hoya Corp.) continued to post solid earnings results throughout the year, in
addition to doubling its dividend payout and announcing a share buy-back. The
demand for the company's glass templates, which are used to make liquid crystal
displays, remains robust. The shares of a Japanese manufacturer of motors for IT
products (Nidec) also rose after the company announced solid second quarter
results. We believe that the company should continue to benefit from the
strength of its HDD (hard disk drive) motors business, as demand for digital
music players continues to be strong. Stock selection in consumer discretionary
also helped performance, as the shares of a large Japanese automobile company
(Toyota) were purchased in a timely fashion prior to Japan's recent strong
rally. The shares of a large U.K. clothing retailer (Marks and Spencer) also
rose sharply, due to the company reporting better-than-expected earnings. The
CEO's restructuring efforts have begun to bear fruit, and the company is
benefiting from a rebound in U.K. consumer confidence. Shares of a luxury goods
holding (Richemont) also rose, as the company benefits from robust demand by
affluent consumers. Stock selection in telecom services detracted from
performance, as this group has been weak due to an increasingly competitive
landscape in European wireless services and continued declines in wire-line
telephony. However, we believe that the portfolio's holdings in this sector are
undervalued, particularly in relation to their robust free-cash generation, and
that investors' outlook for the group is overly pessimistic. An underweight
position in materials also hurt returns, as this was one of the top-performing
sectors.
SMALL-CAP DEVELOPED MARKETS STOCKS
Performance was hurt by the portfolio's underperformance in the energy sector.
Returns were also impacted by an underweight position in Japan, the best
performing market in 2005. A top performer for the year was Leopalace21, the
Japanese developer and manager of real estate properties, particularly
apartments. Since the beginning of August, real estate and real estate-related
shares have attracted the interest of investors. Recent land-price surveys in
Japan have begun to indicate that land prices have been rising, not only in
Tokyo, but regionally as well. In some locations, it is the first indication of
a recovery for the past 10 years. Leopalace21, both directly and indirectly, has
been a beneficiary of this land appreciation. Nokian Tyres, the Finish
manufacturer and marketer of winter tires, hurt performance, as the company
issued a profit warning stating that third-quarter results would be below
analysts' forecasts. We believe that a number of factors contributing to the
shortfall were short-term, including a late snow fall in Scandinavia, start-up
losses in a number of new stores in the retail chain, and start-up losses in
Nokian Tyres' new Russian manufacturing plant. We will continue to monitor this
situation closely to understand whether long-term financial productivity has
been impacted.
EMERGING MARKETS STOCKS
For 2005 as a whole, the emerging markets asset class recorded a rise of 34
percent, and all of the countries within the MSCI Emerging Markets Index ended
the year higher, except for Venezuela. The largest rises were in Latin American
and Eastern European equities. Asian emerging markets also performed
respectably, and every sector experienced an increase of at least 25 percent.
The portfolios experienced good stock selection in all sectors, except energy,
where lack of exposure to Gazprom (Russia) hurt returns as the stock rose
sharply due to the ending of its two-tier share structure.
The international economy demonstrated tremendous resiliency in 2005, as growth
remained robust even as energy prices soared and central banks around the world
continued to tighten monetary policy. Our outlook on international stocks
remains positive, as earnings growth and cash generation remain robust, and
valuations appear relatively attractive compared to historical norms. However,
increases in interest rates outside the United States may raise the level of
uncertainty about the earnings potential of smaller, more volatile companies.
Thus, we would expect a market rotation away from such companies and toward
larger, more consistently profitable companies, as the economic recovery matures
and corporate earnings growth slows from its current robust rate.
MEMBERS Capital Advisors -- Advisor
Lazard Asset Management LLC -- Subadvisor
ANNUAL REPORT DECEMBER 31, 2005
FUND PERFORMANCE REVIEW 21
INTERNATIONAL STOCK FUND
INTERNATIONAL STOCK FUND COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT(1)
12/31/1995 12/31/1996 12/31/1997 12/31/1998 6/30/1999 12/31/1999
---------- ---------- ---------- ---------- --------- ----------
International Stock Fund 10/31/2000 $10,000
Morgan Stanley Capital International
Europe, Australia & Far East Index
(MSCI EAFE Index) $10,000
12/31/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/31/2005
---------- ---------- ---------- ---------- ---------- ----------
International Stock Fund $ 9,745 $ 7,946 $ 7,312 $ 9,769 $11,771 $13,717
Morgan Stanley Capital International
Europe, Australia & Far East Index
(MSCI EAFE Index) $ 9,972 $ 7,865 $ 6,634 $ 9,232 $11,143 $12,704
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate
account fees, charges, or expenses imposed by the variable annuity and life
insurance contracts that use the fund, as described in the Prospectus. All
dividends and capital gains are reinvested. Investment return and principal
value will fluctuate, so an investor's shares, when redeemed, may be worth
more or less than when purchased. Further information relating to the
fund's performance is contained in the Prospectus and elsewhere in this
report. Past performance is not indicative of future performance. Indices
are unmanaged and investors cannot invest in them. Additionally, the
indices do not reflect expenses or sales charges.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
Graphic: Pie chart showing International Fund Geographical Allocation as a
Percentage of Net Assets:
Pacific Basin 8%
Latin America 4%
Japan 22%
Other Countries 3%
United Kingdom 17%
Africa 2%
Europe (excluding United Kingdom) 40%
Cash and Other Net Assets 4%
AVERAGE ANNUAL TOTAL RETURN THROUGH DECEMBER 31, 2005
One Three Five Since
Year Years Years Inception(2)
----- ----- ----- ------------
International Stock Fund 16.53% 23.33% 7.08% 6.30%
MSCI EAFE Index 14.02 24.18 4.94 4.72
(2) Returns are from inception, October 31, 2000.
ANNUAL REPORT DECEMBER 31, 2005
22 MONEY MARKET FUND -- PORTFOLIO OF INVESTMENTS
Value
Par Value (Note 2)
- --------- -----------
COMMERCIAL PAPER (A) - 43.40%
CONSUMER STAPLES - 4.22%
$2,250,000 Coca Cola Co.
4.160%, due 01/17/06 $ 2,245,840
1,750,000 Coca Cola Co.
4.180%, due 01/17/06 1,746,749
-----------
3,992,589
-----------
FINANCE - 27.70%
4,250,000 American Express Credit Corp.
4.280%, due 01/05/06 4,247,979
3,500,000 American General Finance Corp.
4.270%, due 01/06/06 3,497,924
2,000,000 CIT Group, Inc.
3.870%, due 02/14/06 1,990,540
4,250,000 Citigroup Funding Inc.
4.270%, due 01/03/06 4,248,992
4,000,000 General Electric Capital Corp.
4.290%, due 01/11/06 3,995,233
4,000,000 Toyota Motor Credit Co.
4.200%, due 01/03/06 3,999,067
4,250,000 UBS Finance Delaware LLC
4.290%, due 01/23/06 4,238,858
-----------
26,218,593
-----------
FOREIGN - 2.90%
2,755,000 Government of Quebec
4.250%, due 01/30/06 2,745,568
-----------
HEALTH CARE - 8.58%
4,000,000 Medtronic, Inc.
4.250%, due 01/18/06 3,991,972
4,135,000 Pfizer Investment Capital
4.170%, due 01/11/06 4,130,210
-----------
8,122,182
-----------
TOTAL COMMERCIAL PAPER
(Cost $41,078,932) 41,078,932
-----------
ASSET BACKED - 1.37%
1,297,233 Nissan Auto Receivables Owner Trust, Series 2005-C,
Class A1, 3.861%, due 09/15/06 1,297,233
-----------
TOTAL ASSET BACKED
(Cost $1,297,233) 1,297,233
-----------
CORPORATE NOTES AND BONDS - 20.81%
FINANCE - 16.84%
2,025,000 Bank of America Corp.
7.125%, due 09/15/06 2,065,544
5,250,000 Goldman Sachs Group, Inc., Series B (G)
4.331%, due 01/03/06 5,252,063
2,500,000 HSBC Finance Corp.
3.375%, due 02/21/06 2,498,980
3,100,000 Merrill Lynch & Co., Inc. (G)
4.773%, due 02/22/06 3,105,145
3,000,000 Morgan Stanley
6.100%, due 04/15/06 3,019,597
-----------
15,941,329
-----------
HEALTH CARE - 3.97%
$3,750,000 Merck & Co., Inc. (C)
4.726%, due 02/22/06 $ 3,753,863
-----------
TOTAL CORPORATE NOTES AND BONDS
(Cost $19,695,192) 19,695,192
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 29.35%
FEDERAL FARM CREDIT BANK (G) - 11.94%
7,000,000 4.181%, due 01/01/06 6,999,422
4,300,000 4.230%, due 01/16/06 4,300,000
-----------
11,299,422
-----------
FEDERAL HOME LOAN BANK (A) - 9.49%
3,500,000 3.550%, due 01/06/06 3,498,274
5,500,000 4.160%, due 01/31/06 5,480,934
-----------
8,979,208
-----------
FEDERAL HOME LOAN MORTGAGE CORP. (A) - 2.95%
2,800,000 4.200%, due 01/30/06 2,790,527
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (A) - 4.97%
3,750,000 4.210%, due 02/01/06 3,736,405
1,000,000 4.470%, due 10/02/06 965,978
-----------
4,702,383
-----------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS
(Cost $27,771,540) 27,771,540
-----------
Value
Shares (Note 2)
- ------ -----------
INVESTMENT COMPANIES - 5.96%
4,380,271 J.P. Morgan Prime
Money Market Fund 4,380,271
1,257,921 SSgA Prime Money Market Fund 1,257,921
-----------
TOTAL INVESTMENT COMPANIES
(Cost $5,638,192) 5,638,192
-----------
TOTAL INVESTMENTS - 100.89%
(Cost $95,481,089**) 95,481,089
-----------
NET OTHER ASSETS AND LIABILITIES - (0.89)% (844,181)
-----------
TOTAL NET ASSETS - 100.00% $94,636,908
===========
- ----------
** Aggregate cost for Federal tax purposes was $95,481,089.
(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 deemed to be liquid
under guidelines established by the Board of Trustees.
(G) Floating rate note. Date shown is next reset date.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
BOND FUND -- PORTFOLIO OF INVESTMENTS 23
Value
Par Value (Note 2)
- --------- -----------
ASSET BACKED - 5.04%
$ 709,462 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 $ 707,692
2,100,000 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 2,075,040
4,200,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 4,102,026
3,300,000 Countrywide Asset-Backed
Certificates, Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32 3,293,403
2,000,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 1,941,346
2,647,167 Green Tree Financial Corp.,
Series 1996-1, Class M1
7.000%, due 03/15/27 2,609,970
2,543,387 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due 12/01/27 2,588,357
2,300,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 2,384,789
3,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due 11/25/33 3,512,613
2,475,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36 2,271,973
2,000,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 1,992,362
1,745,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 1,735,483
2,245,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.379%, due 03/25/33 2,244,959
-----------
TOTAL ASSET BACKED
(Cost $31,636,271) 31,460,013
-----------
COMMERCIAL MORTGAGE BACKED - 5.87%
4,243,406 Bear Stearns Commercial Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16 4,244,385
1,810,000 Bear Stearns Commercial Mortgage Securities
Series 2005-T20, Class F (C)(G)
5.303%, due 10/12/42 1,765,316
2,800,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46 2,722,034
2,800,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 2,716,867
$3,000,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 $ 3,028,168
3,200,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 3,124,775
1,271,639 Morgan Stanley Capital I,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 1,290,732
5,550,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 5,468,457
7,000,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45 6,720,461
1,695,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 1,479,616
4,177,341 Wachovia Bank Commercial Mortgage Trust
Series 2003-C6, Class A1
3.364%, due 08/15/35 4,061,584
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $37,518,395) 36,622,395
-----------
PRIVATE LABEL MORTGAGE BACKED - 1.20%
7,500,000 Bank of America Alternative Loan Trust,
Series 2005-12, 6.000%, due 01/25/36 7,509,375
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $7,509,345) 7,509,375
-----------
CORPORATE NOTES AND BONDS - 27.66%
CABLE - 0.42%
2,500,000 Comcast Cable Communications
6.875%, due 06/15/09 2,625,828
-----------
CAPITAL GOODS - 0.55%
3,500,000 Caterpillar Financial Services Corp.,
Series F
2.500%, due 10/03/06 3,439,114
-----------
CONSUMER DISCRETIONARY - 2.27%
2,500,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 3,101,563
2,300,000 Carnival Corp. (D)
3.750%, due 11/15/07 2,248,305
4,000,000 Cendant Corp.
6.250%, due 01/15/08 4,072,136
4,400,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 4,733,577
-----------
14,155,581
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
24 BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
CONSUMER STAPLES - 0.62%
$1,250,000 Coca-Cola Enterprises, Inc. (O)
4.375%, due 09/15/09 $ 1,230,995
2,700,000 Safeway, Inc.
4.125%, due 11/01/08 2,614,464
-----------
3,845,459
-----------
ENERGY - 2.70%
2,460,000 Amerada Hess Corp.
7.875%, due 10/01/29 2,978,772
2,000,000 Burlington Resources Finance Co.
5.700%, due 03/01/07 2,011,804
3,500,000 ConocoPhillips
6.650%, due 07/15/18 3,949,071
2,310,000 Devon Financing Corp. ULC (O)
7.875%, due 09/30/31 2,935,315
2,000,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 2,222,000
2,275,000 Valero Energy Corp.
7.500%, due 04/15/32 2,764,787
-----------
16,861,749
-----------
FINANCE - 4.96%
2,700,000 AIG SunAmerica Global Financing XII (C)
5.300%, due 05/30/07 2,714,064
2,500,000 American General Finance Corp.,
Series H, 4.625%, due 09/01/10 2,446,540
2,000,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 2,089,050
2,500,000 CIT Group, Inc.
7.375%, due 04/02/07 2,572,812
1,250,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 1,405,190
1,680,000 GE Global Insurance Holding Corp.
7.750%, due 06/15/30 2,038,626
2,750,000 Goldman Sachs Group, Inc. (O)
5.700%, due 09/01/12 2,828,865
4,250,000 HSBC Finance Corp.
6.500%, due 11/15/08 4,423,294
3,000,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 3,026,268
2,000,000 U.S. Bank N.A.
6.300%, due 02/04/14 2,157,894
2,750,000 Wachovia Corp. (O)
4.950%, due 11/01/06 2,750,212
2,500,000 Washington Mutual Finance Corp.
6.250%, due 05/15/06 2,513,643
-----------
30,966,458
-----------
HEALTH CARE - 2.89%
2,600,000 Eli Lilly & Co.
6.570%, due 01/01/16 2,900,420
1,740,000 Genentech, Inc.
5.250%, due 07/15/35 1,676,812
$3,480,000 Merck & Co., Inc.
6.400%, due 03/01/28 $ 3,772,459
3,500,000 Quest Diagnostics, Inc. (C)
5.450%, due 11/01/15 3,526,184
3,600,000 WellPoint, Inc.
5.000%, due 12/15/14 3,536,294
2,370,000 Wyeth
6.500%, due 02/01/34 2,608,979
-----------
18,021,148
-----------
INDUSTRIALS - 5.28%
760,000 Boeing Co.
8.625%, due 11/15/31 1,072,035
1,380,000 Boeing Co.
6.875%, due 10/15/43 1,632,722
1,140,000 D.R. Horton, Inc. (O)
5.250%, due 02/15/15 1,067,198
4,000,000 DaimlerChrysler N.A. Holding Corp. (O)
4.750%, due 01/15/08 3,963,508
3,850,000 Dow Chemical Co. (O)
5.750%, due 12/15/08 3,949,484
2,000,000 Ford Motor Credit Co.
5.800%, due 01/12/09 1,744,678
3,200,000 General Electric Co. (O)
5.000%, due 02/01/13 3,198,336
1,125,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 1,042,849
1,225,000 General Motors Acceptance Corp.
7.250%, due 03/02/11 1,125,944
800,000 International Paper Co.
7.875%, due 08/01/06 810,910
1,125,000 Pulte Homes, Inc. (O)
5.200%, due 02/15/15 1,058,328
958,000 Raytheon Co.
4.500%, due 11/15/07 949,746
2,465,000 Waste Management, Inc.
7.125%, due 12/15/17 2,732,307
2,250,000 Westvaco Corp.
8.200%, due 01/15/30 2,635,191
3,000,000 Weyerhaeuser Co.
6.875%, due 12/15/33 3,116,394
2,870,000 WM. Wrigley Jr. Co.
4.300%, due 07/15/10 2,816,753
-----------
32,916,383
-----------
PIPELINE - 0.30%
1,675,000 Kinder Morgan, Inc.
7.250%, due 03/01/28 1,875,124
-----------
REITS - 0.58%
2,735,000 EOP Operating L.P.
4.750%, due 03/15/14 2,584,547
1,060,000 Simon Property Group, L.P. (O)
5.625%, due 08/15/14 1,067,210
-----------
3,651,757
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 25
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
TELECOMMUNICATIONS - 1.67%
$3,000,000 Bellsouth Capital Funding
7.875%, due 02/15/30 $ 3,621,648
775,000 Sprint Capital Corp.
7.125%, due 01/30/06 776,240
2,000,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 2,015,424
2,500,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 2,508,235
1,500,000 Vodafone Group PLC (D)
5.000%, due 12/16/13 1,473,360
------------
10,394,907
------------
TRANSPORTATION - 1.11%
2,925,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 3,677,263
1,268,000 Norfolk Southern Corp.
5.590%, due 05/17/25 1,266,779
1,400,000 Norfolk Southern Corp.
7.050%, due 05/01/37 1,670,657
12,451 Southwest Airlines Co.,
Series A3, 8.700%, due 07/01/11 13,354
270,248 Union Pacific Railroad Co.,
Series 1995-A, 6.540%, due 07/01/15 284,933
------------
6,912,986
------------
UTILITIES - 4.31%
3,000,000 Constellation Energy Group, Inc. (O)
4.550%, due 06/15/15 2,814,027
2,750,000 Consumers Energy Co.
5.650%, due 04/15/20 2,698,022
2,750,000 DTE Energy Co.
6.450%, due 06/01/06 2,767,619
2,000,000 Energy East Corp.
8.050%, due 11/15/10 2,241,238
2,925,000 Pacific Gas and Electric Co.
6.050%, due 03/01/34 3,027,255
2,400,000 Progress Energy, Inc.
7.750%, due 03/01/31 2,878,922
3,500,000 Southern Power Co., Series B
6.250%, due 07/15/12 3,682,189
3,400,000 Virginia Electric and Power Co.,
Series A, 5.750%, due 03/31/06 3,407,691
3,000,000 Wisconsin Electric Power
6.500%, due 06/01/28 3,385,191
------------
26,902,154
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $171,113,572) 172,568,648
------------
MORTGAGE BACKED - 26.12%
FEDERAL HOME LOAN MORTGAGE CORP. - 5.88%
5,866,398 5.000%, due 05/01/18 Pool # E96322 5,816,301
7,674,557 3.000%, due 10/15/21 Series 2659,
Class NJ 7,567,866
185,844 8.000%, due 06/01/30 Pool # C01005 198,207
958,540 7.000%, due 03/01/31 Pool # C48129 998,643
350,961 6.500%, due 03/01/32 Pool # C65648 360,306
5,306,799 5.000%, due 07/01/33 Pool # A11325 5,156,152
1,408,376 6.000%, due 10/01/34 Pool # A28439 1,422,572
$1,365,681 6.000%, due 10/01/34 Pool # A28598 $ 1,379,447
8,797,184 5.500%, due 11/01/34 Pool # A28282 8,725,046
732,373 5.000%, due 04/01/35 Pool # A32314 709,028
1,761,329 5.000%, due 04/01/35 Pool # A32315 1,705,187
2,184,482 5.000%, due 04/01/35 Pool # A32316 2,114,852
566,970 5.000%, due 04/01/35 Pool # A32509 548,898
------------
36,702,505
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 19.40%
4,796,177 4.000%, due 04/01/15 Pool # 255719 4,640,213
348,632 6.000%, due 05/01/16 Pool # 582558 356,379
1,456,412 5.500%, due 09/01/17 Pool # 657335 1,466,478
2,080,332 5.500%, due 02/01/18 Pool # 673194 2,094,711
5,832,751 5.000%, due 05/01/20 Pool # 813965 5,770,671
4,880,001 4.500%, due 09/01/20 Pool # 835465 4,748,761
845,328 6.000%, due 05/01/21 Pool # 253847 860,693
4,057,147 5.500%, due 12/01/22 Pool # 254587 4,059,173
244,811 7.000%, due 12/01/29 Pool # 762813 256,134
377,062 7.000%, due 11/01/31 Pool # 607515 393,615
663,858 6.000%, due 02/01/32 Pool # 611619 671,683
597,156 6.500%, due 03/01/32 Pool # 631377 613,716
34,192 7.000%, due 04/01/32 Pool # 641518 35,681
617,158 7.000%, due 05/01/32 Pool # 644591 644,251
5,731,043 6.500%, due 06/01/32 Pool # 545691 5,889,968
39,734 7.000%, due 08/01/32 Pool # 641302 41,464
6,244,157 5.500%, due 04/01/33 Pool # 690206 6,198,366
1,740,365 6.000%, due 08/01/33 Pool # 729407 1,758,535
878,386 6.000%, due 08/01/33 Pool # 729413 887,557
7,912,339 5.000%, due 10/01/33 Pool # 254903 7,694,126
8,551,969 5.500%, due 11/01/33 Pool # 555880 8,489,253
154,195 5.000%, due 05/01/34 Pool # 782214 149,707
2,043,265 5.000%, due 06/01/34 Pool # 778891 1,983,792
8,248,182 5.500%, due 06/01/34 Pool # 780384 8,175,313
276,961 7.000%, due 07/01/34 Pool # 792636 288,957
1,013,877 5.500%, due 08/01/34 Pool # 793647 1,004,920
4,918,512 5.500%, due 03/01/35 Pool # 810075 4,871,377
3,749,646 5.500%, due 03/01/35 Pool # 815976 3,713,711
4,366,703 5.500%, due 07/01/35 Pool # 825283 (H) 4,324,856
5,845,179 5.000%, due 08/01/35 Pool # 829670 5,663,735
2,449,177 5.500%, due 08/01/35 Pool # 826872 (H) 2,425,705
4,648,033 5.000%, due 09/01/35 Pool # 820347 4,503,751
5,369,178 5.000%, due 09/01/35 Pool # 835699 5,202,510
8,222,335 5.000%, due 10/01/35 Pool # 797669 7,967,100
1,141,738 5.500%, due 10/01/35 Pool # 836912 1,130,797
6,185,703 5.000%, due 11/01/35 Pool # 844809 5,993,689
6,275,000 5.000%, due 12/01/35 Pool # 850561 6,080,214
------------
121,051,562
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.84%
114,035 8.000%, due 10/20/15, Pool # 002995 121,334
4,200,000 5.008%, due 12/16/25
Series 2004-43, Class C (G) 4,172,204
427,129 6.500%, due 02/20/29, Pool # 002714 443,895
439,387 6.500%, due 04/20/31, Pool # 003068 456,092
------------
5,193,525
------------
TOTAL MORTGAGE BACKED
(Cost $163,760,062) 162,947,592
------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
26 BOND FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 30.37%
FEDERAL FARM CREDIT BANK - 0.69%
$ 4,000,000 5.875%, due 10/03/16 $ 4,326,740
------------
FEDERAL HOME LOAN MORTGAGE CORP. - 2.88%
10,000,000 5.500%, due 07/15/06 10,047,770
2,500,000 4.875%, due 11/15/13 2,511,825
5,500,000 4.500%, due 01/15/14 5,398,014
------------
17,957,609
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.74%
4,675,000 4.000%, due 09/02/08 4,578,901
2,400,000 5.250%, due 08/01/12 2,423,021
3,905,000 4.625%, due 10/15/14 (O) 3,858,979
------------
10,860,901
------------
U.S. TREASURY BONDS - 3.09%
14,825,000 6.250%, due 05/15/30 (O) 18,411,953
750,000 5.375%, due 02/15/31 (O) 842,461
------------
19,254,414
------------
U.S. TREASURY NOTES - 21.97%
14,600,000 1.500%, due 03/31/06 (O) 14,508,181
5,000,000 2.250%, due 04/30/06 (O) 4,967,385
900,000 2.000%, due 05/15/06 (O) 892,406
9,000,000 2.625%, due 11/15/06 (O) 8,861,832
19,000,000 3.125%, due 01/31/07 (O) 18,734,304
3,700,000 3.375%, due 02/28/07 (O) 3,654,904
2,500,000 4.000%, due 08/31/07 (O) 2,483,398
5,200,000 3.750%, due 05/15/08 (O) 5,126,061
7,740,000 3.000%, due 02/15/09 (O) 7,428,589
12,000,000 2.625%, due 03/15/09 (O) 11,375,160
6,000,000 3.500%, due 02/15/10 5,809,219
12,625,000 3.875%, due 05/15/10 (O) 12,385,819
3,750,000 3.875%, due 09/15/10 (O) 3,671,925
10,200,000 4.500%, due 11/15/10 (O) 10,254,988
1,915,000 4.000%, due 02/15/14 (O) 1,863,086
6,565,000 4.250%, due 11/15/14 (O) 6,488,577
2,750,000 4.000%, due 02/15/15 (O) 2,666,210
2,975,000 4.125%, due 05/15/15 (O) 2,909,806
11,000,000 4.250%, due 08/15/15 (O) 10,857,770
2,145,000 4.500%, due 11/15/15 (O) 2,162,595
------------
137,102,215
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $188,628,751) 189,501,879
------------
CERTIFICATE OF DEPOSIT - 2.67%
$16,663,593 State Street Eurodollar
2.350%, due 01/03/06 $ 16,663,593
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $16,663,593) 16,663,593
------------
Value
Shares (Note 2)
- ------ -------------
INVESTMENT COMPANIES - 27.92%
3 J.P. Morgan Prime Money
Market Fund 3
26,101,339 SSgA Prime Money Market Fund (N) 26,101,339
148,124,161 State Street Navigator Securities
Lending Portfolio (I) 148,124,161
-------------
TOTAL INVESTMENT COMPANIES
(Cost $174,225,503) 174,225,503
-------------
TOTAL INVESTMENTS - 126.85%
(Cost $791,055,492**) 791,498,998
-------------
NET OTHER ASSETS AND LIABILITIES - (26.85)% (167,523,192)
-------------
TOTAL NET ASSETS - 100.00% $ 623,975,806
=============
- ----------
** Aggregate cost for Federal tax purposes was $791,879,240.
(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 securitities have been determined to be
liquid under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 0.60% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of December 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.
(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.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of December 31, 2005.
(O) All (or portion of security) on loan.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS 27
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS - 90.56%
AEROSPACE/DEFENSE - 4.55%
$500,000 Alliant Techsystems, Inc.
8.500%, due 05/15/11 $ 525,000
290,000 Argo-Tech Corp. (O)
9.250%, due 06/01/11 297,250
500,000 Armor Holdings, Inc. (O)
8.250%, due 08/15/13 537,500
600,000 BE Aerospace, Inc., Series B
8.000%, due 03/01/08 600,000
920,000 BE Aerospace, Inc., Series B
8.875%, due 05/01/11 966,000
600,000 DI Finance/DynCorp International, Series B
9.500%, due 02/15/13 624,000
400,000 DRS Technologies, Inc.
6.875%, due 11/01/13 382,500
300,000 Esterline Technologies Corp.
7.750%, due 06/15/13 313,500
800,000 K&F Acquisition, Inc. (O)
7.750%, due 11/15/14 808,000
350,000 L-3 Communications Corp.
6.125%, due 01/15/14 346,500
300,000 L-3 Communications Corp. (C)
6.375%, due 10/15/15 299,250
100,000 Standard Aero Holdings, Inc.
8.250%, due 09/01/14 82,000
300,000 TransDigm, Inc.
8.375%, due 07/15/11 315,750
----------
6,097,250
----------
APPAREL/TEXTILES - 0.82%
400,000 Levi Strauss & Co. (G)
8.804%, due 04/01/12 403,000
335,000 Levi Strauss & Co.
12.250%, due 12/15/12 373,525
300,000 Warnaco, Inc.
8.875%, due 06/15/13 323,250
----------
1,099,775
----------
BEVERAGE/FOOD - 2.16%
350,000 B&G Foods, Inc.
8.000%, due 10/01/11 357,000
500,000 Del Monte Corp.
8.625%, due 12/15/12 531,250
400,000 Del Monte Corp.
6.750%, due 02/15/15 390,000
500,000 Doane Pet Care Co. (C)
10.625%, due 11/15/15 521,250
250,000 Dole Food Co., Inc.
7.250%, due 06/15/10 242,500
180,000 Michael Foods, Inc. (O)
8.000%, due 11/15/13 184,500
400,000 NBTY, Inc. (C)
7.125%, due 10/01/15 381,000
300,000 Pinnacle Foods Holding Corp. (O)
8.250%, due 12/01/13 285,750
----------
2,893,250
----------
BUILDING MATERIALS - 0.96%
$500,000 Goodman Global Holding Co., Inc. (C)(O)
7.875%, due 12/15/12 $ 465,000
300,000 Interface, Inc.
7.300%, due 04/01/08 303,000
290,000 Interface, Inc.
10.375%, due 02/01/10 313,925
100,000 Jacuzzi Brands, Inc.
9.625%, due 07/01/10 106,250
101,000 Nortek, Inc.
8.500%, due 09/01/14 97,465
----------
1,285,640
----------
CHEMICALS - 3.26%
505,000 Equistar Chemicals L.P./
Equistar Funding Corp.
10.625%, due 05/01/11 555,500
571,000 Huntsman International LLC (O)
10.125%, due 07/01/09 589,557
112,000 Lyondell Chemical Co.
9.500%, due 12/15/08 117,320
450,000 Lyondell Chemical Co. (O)
11.125%, due 07/15/12 503,438
80,000 Nalco Co.
7.750%, due 11/15/11 82,200
600,000 Nalco Co. (O)
8.875%, due 11/15/13 628,500
300,000 PQ Corp. (C)
7.500%, due 02/15/13 279,000
560,000 Resolution Performance Products, Inc. (O)
13.500%, due 11/15/10 592,200
300,000 Rhodia S.A. (D)(O)
10.250%, due 06/01/10 328,500
149,000 Rockwood Specialties Group, Inc.
10.625%, due 05/15/11 163,341
530,000 Rockwood Specialties Group, Inc.
7.500%, due 11/15/14 528,013
----------
4,367,569
----------
CONSUMER PRODUCTS - 3.90%
350,000 ACCO Brands Corp.
7.625%, due 08/15/15 329,875
400,000 American Achievement Corp.
8.250%, due 04/01/12 406,000
600,000 Central Garden and Pet Co.
9.125%, due 02/01/13 633,000
250,000 Chattem, Inc.
7.000%, due 03/01/14 253,750
500,000 Church & Dwight Co., Inc. (O)
6.000%, due 12/15/12 492,500
290,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11 304,500
500,000 Elizabeth Arden, Inc.
7.750%, due 01/15/14 505,000
350,000 Jarden Corp.
9.750%, due 05/01/12 360,500
800,000 Leslie's Poolmart
7.750%, due 02/01/13 802,000
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
28 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
CONSUMER PRODUCTS (CONTINUED)
$ 300,000 Samsonite Corp.
8.875%, due 06/01/11 $ 310,500
350,000 Simmons Bedding Co.
7.875%, due 01/15/14 323,750
500,000 Visant Corp.
7.625%, due 10/01/12 502,500
-----------
5,223,875
-----------
ENVIRONMENTAL - 0.94%
250,000 Allied Waste North America
6.500%, due 11/15/10 247,500
315,000 Allied Waste North America (O)
7.875%, due 04/15/13 325,238
300,000 Allied Waste North America, Series B 315,000
8.500%, due 12/01/08
350,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 368,375
-----------
1,256,113
-----------
FOOD & DRUG RETAILERS - 1.00%
1,100,000 Rite Aid Corp.
7.125%, due 01/15/07 1,100,000
250,000 Stater Brothers Holdings (O)
8.125%, due 06/15/12 247,500
-----------
1,347,500
-----------
FORESTRY/PAPER - 1.83%
500,000 Abitibi-Consolidated, Inc. (D)(G)
7.991%, due 06/15/11 481,250
350,000 Boise Cascade LLC, Series B (G)
7.025%, due 10/15/12 341,250
250,000 Caraustar Industries, Inc.
7.375%, due 06/01/09 240,000
500,000 Caraustar Industries, Inc. (O)
9.875%, due 04/01/11 510,000
145,000 Catalyst Paper Corp. (D)(O)
7.375%, due 03/01/14 126,875
230,000 Graphic Packaging International Corp.
9.500%, due 08/15/13 219,650
180,000 Jefferson Smurfit Corp., U.S.
8.250%, due 10/01/12 172,800
355,000 JSG Funding PLC (D)
9.625%, due 10/01/12 355,000
-----------
2,446,825
-----------
GAMING - 9.52%
500,000 American Casino & Entertainment
Properties LLC
7.850%, due 02/01/12 512,500
500,000 Ameristar Casinos, Inc.
10.750%, due 02/15/09 530,000
500,000 Aztar Corp.
9.000%, due 08/15/11 529,375
300,000 Aztar Corp. (O)
7.875%, due 06/15/14 314,250
$ 500,000 Boyd Gaming Corp.
8.750%, due 04/15/12 $ 536,250
470,000 Boyd Gaming Corp. (O)
6.750%, due 04/15/14 466,475
1,000,000 CCM Merger, Inc. (C)
8.000%, due 08/01/13 960,000
200,000 Chukchansi Economic Development
Authority (C)(G)
8.060%, due 11/15/12 204,000
500,000 Chukchansi Economic Development
Authority (C)
8.000%, due 11/15/13 513,125
650,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due 03/15/12 691,437
500,000 Hard Rock Hotel, Inc.
8.875%, due 06/01/13 538,750
400,000 Herbst Gaming, Inc.
7.000%, due 11/15/14 398,000
500,000 Isle of Capri Casinos, Inc.
9.000%, due 03/15/12 528,750
700,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 682,500
1,000,000 Kerzner International, Ltd. (C)
6.750%, due 10/01/15 972,500
300,000 Las Vegas Sands Corp.
6.375%, due 02/15/15 288,750
255,000 Mandalay Resort Group
9.375%, due 02/15/10 279,225
250,000 Mandalay Resort Group, Series B
10.250%, due 08/01/07 266,563
545,000 MGM Mirage (O)
8.375%, due 02/01/11 583,150
315,000 MGM Mirage (O)
5.875%, due 02/27/14 300,825
250,000 MGM Mirage
6.625%, due 07/15/15 249,375
500,000 Penn National Gaming, Inc.
8.875%, due 03/15/10 525,000
365,000 Pinnacle Entertainment, Inc. (O)
8.750%, due 10/01/13 388,725
345,000 Scientific Games Corp.
6.250%, due 12/15/12 339,394
300,000 Seneca Gaming Corp. (C)
7.250%, due 05/01/12 301,875
300,000 Seneca Gaming Corp. (O)
7.250%, due 05/01/12 301,875
310,000 Station Casinos, Inc.
6.500%, due 02/01/14 313,100
250,000 Wynn Las Vegas LLC/
Wynn Las Vegas Capital Corp. (O)
6.625%, due 12/01/14 243,125
-----------
12,758,894
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 29
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
GENERAL INDUSTRIAL & MANUFACTURING - 1.43%
$ 500,000 Chart Industries, Inc. (C)
9.125%, due 10/15/15 $ 510,000
500,000 Hexcel Corp.
6.750%, due 02/01/15 482,500
400,000 Mueller Group, Inc.
10.000%, due 05/01/12 425,000
500,000 Wesco Distribution, Inc. (C)
7.500%, due 10/15/17 503,125
-----------
1,920,625
-----------
HEALTH CARE - 7.03%
500,000 Alderwoods Group, Inc.
7.750%, due 09/15/12 517,500
600,000 Carriage Services, Inc.
7.875%, due 01/15/15 610,500
600,000 DaVita, Inc. (O)
7.250%, due 03/15/15 607,500
175,000 Extendicare Health Services, Inc. (O)
6.875%, due 05/01/14 171,063
400,000 Fisher Scientific International, Inc. (C)
6.125%, due 07/01/15 400,000
910,000 HCA, Inc.
7.875%, due 02/01/11 978,393
300,000 HCA, Inc. (O)
6.375%, due 01/15/15 303,250
300,000 IASIS Healthcare LLC/
IASIS Capital Corp.
8.750%, due 06/15/14 315,000
200,000 Omega Healthcare Investors, Inc.
7.000%, due 04/01/14 200,750
750,000 Omnicare, Inc.
6.875%, due 12/15/15 761,250
500,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15 516,250
500,000 Res-Care, Inc. (C)
7.750%, due 10/15/13 500,000
600,000 Select Medical Corp.
7.625%, due 02/01/15 577,500
300,000 Service Corp. International/U.S. (O)
7.700%, due 04/15/09 315,000
500,000 Skilled Healthcare Group, Inc. (C)
11.000%, due 01/15/14 505,000
500,000 Sybron Dental Specialties, Inc.
8.125%, due 06/15/12 525,000
500,000 Triad Hospitals, Inc.
7.000%, due 11/15/13 501,250
500,000 Vanguard Health Holding Co., II LLC
9.000%, due 10/01/14 531,250
375,000 Warner Chilcott Corp. (C)
8.750%, due 02/01/15 345,000
250,000 Watson Pharmaceuticals, Inc. (O)(P)
1.750%, due 03/15/23 238,125
-----------
9,419,581
-----------
HOTELS - 2.09%
$ 600,000 Felcor Lodging L.P. (G)
8.830%, due 06/01/11 $ 624,000
600,000 Gaylord Entertainment Co.
8.000%, due 11/15/13 628,500
250,000 Host Marriott L.P., Series G
9.250%, due 10/01/07 263,750
200,000 Host Marriott L.P., Series O
6.375%, due 03/15/15 199,500
350,000 La Quinta Properties, Inc.
7.000%, due 08/15/12 378,875
645,000 Starwood Hotels & Resorts
Worldwide, Inc.
7.875%, due 05/01/12 711,113
-----------
2,805,738
-----------
LEISURE & ENTERTAINMENT - 1.98%
395,000 AMC Entertainment, Inc., Series B (O)
8.625%, due 08/15/12 412,775
700,000 Intrawest Corp. (D)
7.500%, due 10/15/13 708,750
300,000 NCL Corp
10.625%, due 07/15/14 309,750
400,000 Speedway Motorsports, Inc.
6.750%, due 06/01/13 405,000
300,000 Town Sports International, Inc.
9.625%, due 04/15/11 314,250
500,000 Vail Resorts, Inc.
6.750%, due 02/15/14 500,000
-----------
2,650,525
-----------
MEDIA - BROADCASTING - 2.46%
454,000 Allbritton Communications Co.
7.750%, due 12/15/12 456,270
400,000 Gray Television, Inc.
9.250%, due 12/15/11 427,000
100,000 LIN Television Corp.
6.500%, due 05/15/13 95,875
550,000 LIN Television Corp., Series B (O)
6.500%, due 05/15/13 527,312
350,000 Radio One, Inc.
6.375%, due 02/15/13 339,938
400,000 Radio One, Inc., Series B
8.875%, due 07/01/11 422,000
1,000,000 Sinclair Broadcast Group, Inc.
8.000%, due 03/15/12 1,030,000
-----------
3,298,395
-----------
MEDIA - CABLE - 4.64%
300,000 Cablevision Systems Corp., Series B (G)
8.716%, due 04/01/09 303,000
250,000 Cablevision Systems Corp., Series B (O)
8.000%, due 04/15/12 233,750
700,000 CSC Holdings, Inc., Series B (O)
8.125%, due 08/15/09 707,000
200,000 DirecTV Holdings LLC
6.375%, due 06/15/15 195,500
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
30 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
MEDIA - CABLE (CONTINUED)
$ 176,000 DirecTV Holdings LLC/
DirecTV Financing Co.
8.375%, due 03/15/13 $ 189,200
1,000,000 Echostar Communications Corp. (P)
5.750%, due 05/15/08 975,000
600,000 Insight Communications Co., Inc. (B)
0.000%, due 02/15/11 627,000
600,000 Kabel Deutschland GmbH (C)(D)
10.625%, due 07/01/14 631,500
1,000,000 Lodgenet Entertainment Corp.
9.500%, due 06/15/13 1,087,500
300,000 Mediacom Broadband LLC (C)
8.500%, due 10/15/15 277,875
523,000 Telenet Group Holding N.V. (B)(C)(D)
0.000%, due 06/15/14 428,860
550,000 Videotron Ltee (D)
6.875%, due 01/15/14 556,875
----------
6,213,060
----------
MEDIA - DIVERSIFIED & SERVICES - 3.36%
500,000 Advanstar Communications, Inc.
10.750%, due 08/15/10 548,125
750,000 Advanstar Communications, Inc., Series B
12.000%, due 02/15/11 788,438
500,000 Corus Entertainment, Inc. (D)
8.750%, due 03/01/12 541,250
400,000 Intelsat Bermuda, Ltd. (C)(D)(G)
8.695%, due 01/15/12 406,500
355,000 Intelsat Bermuda, Ltd. (C)(D)
8.625%, due 01/15/15 358,550
500,000 Intelsat, Ltd. (D)
5.250%, due 11/01/08 455,625
210,000 Lamar Media Corp.
7.250%, due 01/01/13 217,875
500,000 Lamar Media Corp.
6.625%, due 08/15/15 501,875
300,000 New Skies Satellites N.V. (D)(G)
9.573%, due 11/01/11 312,000
530,000 PanAmSat Holding Corp. (B)(O)
0.000%, due 11/01/14 371,000
----------
4,501,238
----------
METALS AND MINING - 1.91%
500,000 Alpha Natural Resources LLC/
Alpha Natural Resources Capital Corp.
10.000%, due 06/01/12 540,625
250,000 Arch Western Finance LLC
6.750%, due 07/01/13 254,688
400,000 Consol Energy, Inc.
7.875%, due 03/01/12 436,500
510,000 Foundation PA Coal Co.
7.250%, due 08/01/14 527,212
$ 300,000 Massey Energy Co.
6.625%, due 11/15/10 $ 304,875
320,000 Peabody Energy Corp.
5.875%, due 04/15/16 311,600
175,000 Peabody Energy Corp., Series B
6.875%, due 03/15/13 182,000
----------
2,557,500
----------
NON FOOD & DRUG RETAILERS - 2.53%
500,000 Affinity Group, Inc.
9.000%, due 02/15/12 499,375
500,000 Buhrmann US, Inc.
7.875%, due 03/01/15 488,125
445,000 Couche-Tard U.S. L.P./
Couche-Tard Finance Corp.
7.500%, due 12/15/13 458,350
250,000 GSC Holdings Corp. (C)(G)(O)
7.875%, due 10/01/11 247,500
200,000 GSC Holdings Corp. (C)(O)
8.000%, due 10/01/12 188,000
400,000 Pantry, Inc.
7.750%, due 02/15/14 400,000
350,000 Petro Stopping Centers L.P. /
Petro Financial Corp. (C)
9.000%, due 02/15/12 351,750
750,000 Stripes Acquisition LLC/
Susser Finance Corp. (C)
10.625%, due 12/15/13 761,250
----------
3,394,350
----------
OIL & GAS - 5.29%
339,000 Chesapeake Energy Corp.
7.000%, due 08/15/14 350,865
180,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 180,000
470,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 481,750
700,000 Compton Petroleum Finance Corp.
(C)(D)(O)
7.625%, due 12/01/13 715,750
400,000 Comstock Resources, Inc.
6.875%, due 03/01/12 391,500
350,000 Denbury Resources, Inc.
7.500%, due 04/01/13 355,250
250,000 Denbury Resources, Inc.
7.500%, due 12/15/15 253,125
300,000 Encore Acquisition Co.
6.250%, due 04/15/14 285,000
500,000 Encore Acquisition Co.
6.000%, due 07/15/15 460,000
500,000 Exco Resources, Inc.
7.250%, due 01/15/11 507,500
400,000 Frontier Oil Corp.
6.625%, due 10/01/11 408,000
300,000 Hanover Compressor Co.
8.625%, due 12/15/10 317,250
320,000 Hanover Compressor Co.
9.000%, due 06/01/14 348,800
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 31
Value
Par Value (Note 2)
- --------- ----------
CORPORATE NOTES AND BONDS (CONTINUED)
OIL & GAS (CONTINUED)
$ 300,000 Harvest Operations Corp. (D)
7.875%, due 10/15/11 $ 298,500
320,000 Plains Exploration & Production Co. (O)
7.125%, due 06/15/14 331,200
500,000 Range Resources Corp.
6.375%, due 03/15/15 490,000
500,000 Universal Compression, Inc.
7.250%, due 05/15/10 507,500
400,000 Whiting Petroleum Corp.
7.250%, due 05/01/13 405,000
----------
7,086,990
----------
PACKAGING - 1.46%
300,000 BWAY Corp.
10.000%, due 10/15/10 313,500
750,000 Crown Americas LLC and Crown
Americas Capital Corp. (C)
7.625%, due 11/15/13 778,125
270,000 Owens-Brockway Glass Container, Inc.
8.875%, due 02/15/09 281,812
85,000 Owens-Brockway Glass Container, Inc.
8.750%, due 11/15/12 91,375
500,000 Silgan Holdings, Inc.
6.750%, due 11/15/13 497,500
----------
1,962,312
----------
PRINTING & PUBLISHING - 2.72%
300,000 CBD Media, Inc.
8.625%, due 06/01/11 306,000
244,000 Dex Media East LLC/
Dex Media East Finance Co.
12.125%, due 11/15/12 285,480
194,000 Dex Media West LLC/
Dex Media Finance Co., Series B
9.875%, due 08/15/13 215,340
1,115,000 Dex Media, Inc. (B)(O)
0.000%, due 11/15/13 886,425
1,000,000 Houghton Mifflin Co.
9.875%, due 02/01/13 1,068,750
300,000 Morris Publishing Group LLC
7.000%, due 08/01/13 283,125
170,000 Primedia, Inc.
8.875%, due 05/15/11 156,825
400,000 R. H. Donnelley, Inc.
10.875%, due 12/15/12 451,000
----------
3,652,945
----------
RESTAURANTS - 0.23%
300,000 Domino's, Inc.
8.250%, due 07/01/11 313,500
----------
STEEL - 0.23%
300,000 Valmont Industries, Inc.
6.875%, due 05/01/14 302,250
----------
SUPPORT SERVICES - 5.85%
$ 500,000 Ahern Rentals, Inc. (C)
9.250%, due 08/15/13 $ 526,250
300,000 Ashtead Holdings PLC (C)(D)
8.625%, due 08/01/15 315,750
400,000 Cardtronics, Inc. (C)
9.250%, due 08/15/13 398,000
800,000 Coinmach Corp.
9.000%, due 02/01/10 838,000
450,000 Corrections Corp. of America
6.250%, due 03/15/13 445,500
1,000,000 Hertz Corp. (C)
8.875%, due 01/01/14 1,018,750
1,000,000 Hertz Corp. (C)
10.500%, due 01/01/16 1,030,000
640,000 Iron Mountain, Inc.
8.625%, due 04/01/13 667,200
140,000 Iron Mountain, Inc.
7.750%, due 01/15/15 141,050
195,000 Knowledge Learning Corp., Inc. (C)
7.750%, due 02/01/15 185,250
500,000 Mac-Gray Corp.
7.625%, due 08/15/15 503,750
1,100,000 NationsRent Cos., Inc. (O)
9.500%, due 05/01/15 1,155,000
600,000 Williams Scotsman, Inc.
8.500%, due 10/01/15 621,000
----------
7,845,500
----------
TECHNOLOGY - 4.06%
500,000 Activant Solutions, Inc. (C)(G)(O)
10.054%, due 04/01/10 515,625
300,000 Flextronics International, Ltd. (D)(O)(P)
1.000%, due 08/01/10 273,375
500,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 508,125
350,000 IKON Office Solutions, Inc. (C)
7.750%, due 09/15/15 341,250
430,000 Lucent Technologies, Inc.
5.500%, due 11/15/08 427,850
1,000,000 Lucent Technologies, Inc.
6.450%, due 03/15/29 857,500
250,000 Sungard Data Systems, Inc. (C)(G)
8.525%, due 08/15/13 258,750
500,000 Sungard Data Systems, Inc. (C)
9.125%, due 08/15/13 517,500
500,000 Sungard Data Systems, Inc. (C)
10.250%, due 08/15/15 500,000
600,000 Syniverse Technologies, Inc., Series B
7.750%, due 08/15/13 604,500
605,000 Xerox Corp.
7.625%, due 06/15/13 638,275
----------
5,442,750
----------
TELECOMMUNICATIONS - 7.75%
948,000 Alamosa Delaware, Inc.
12.000%, due 07/31/09 1,036,875
900,000 American Cellular Corp., Series B
10.000%, due 08/01/11 976,500
200,000 American Tower Corp.
7.125%, due 10/15/12 206,000
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
32 HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 203,000 AT&T Corp. (G)
9.050%, due 11/15/11 $ 224,685
280,000 Centennial Cellular Operating Co./
Centennial Communications Corp.
10.125%, due 06/15/13 304,500
150,000 Centennial Communications Corp./
Cellular Operating Co. LLC/Puerto Rico Operations
8.125%, due 02/01/14 152,250
335,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14 329,556
400,000 Cincinnati Bell, Inc.
7.000%, due 02/15/15 392,000
561,000 Citizens Communications Co.
9.250%, due 05/15/11 618,502
750,000 Citizens Communications Co.
6.250%, due 01/15/13 725,625
280,000 Eircom Funding (D)
8.250%, due 08/15/13 299,600
241,000 MCI, Inc.
6.908%, due 05/01/07 242,808
346,000 MCI, Inc.
7.688%, due 05/01/09 357,245
500,000 MCI, Inc.
8.735%, due 05/01/14 553,125
435,000 Qwest Corp.
7.875%, due 09/01/11 468,712
390,000 Qwest Corp.
8.875%, due 03/15/12 439,725
500,000 Rogers Wireless, Inc. (D)
8.000%, due 12/15/12 529,375
100,000 Rural Cellular Corp. (G)
8.991%, due 03/15/10 102,750
500,000 Rural Cellular Corp.
8.250%, due 03/15/12 527,500
333,000 SBA Telecommunications, Inc./
SBA Communications Corp. (B)
0.000%, due 12/15/11 308,858
440,000 Time Warner Telecom Holdings, Inc. (O)
9.250%, due 02/15/14 464,200
275,000 Time Warner Telecom, Inc. (O)
10.125%, due 02/01/11 288,063
500,000 UbiquiTel Operating Co.
9.875%, due 03/01/11 553,750
275,000 Valor Telecommunications Enterprises LLC/
Finance Corp.
7.750%, due 02/15/15 287,375
------------
10,389,579
------------
TRANSPORTATION - 0.85%
500,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14 505,625
605,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 629,200
------------
1,134,825
------------
UTILITIES - 5.75%
$ 450,000 Allegheny Energy Supply (C)
8.250%, due 04/15/12 $ 507,375
1,350,000 Edison Mission Energy
7.730%, due 06/15/09 1,393,875
300,000 El Paso Corp.
7.625%, due 08/16/07 305,250
565,000 El Paso Corp.
7.000%, due 05/15/11 560,762
300,000 Holly Energy Partners L.P.
6.250%, due 03/01/15 290,625
750,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14 682,500
300,000 Mirant Americas Generation LLC (E)(H)
8.300%, due 05/01/11 379,500
1,000,000 Mirant North America LLC (C)
7.375%, due 12/31/13 1,011,250
365,000 Mission Energy Holding Co.
13.500%, due 07/15/08 423,400
335,000 Northwestern Corp.
5.875%, due 11/01/14 335,630
200,000 Sierra Pacific Resources
7.803%, due 06/15/12 211,727
53,000 Sierra Pacific Resources
8.625%, due 03/15/14 57,345
500,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 467,500
1,000,000 Texas Genco LLC/
Texas Genco Financing Corp. (C)
6.875%, due 12/15/14 1,082,500
------------
7,709,239
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $121,347,741) 121,377,593
------------
Value
Shares (Note 2)
---------
PREFERRED STOCKS - 2.17%
AUTO PARTS & EQUIPMENT - 0.32%
20,340 General Motors Corp., Series A (P)
4.500% 424,292
---------
LEISURE & ENTERTAINMENT - 0.21%
12,000 Six Flags, Inc. (O)(P)
7.250% 277,440
---------
OIL & GAS - 0.14%
2,000 Chesapeake Energy Corp. (O)(P)
4.500% 189,250
---------
TELECOMMUNICATIONS - 1.50%
38,000 Crown Castle International Corp. (P)
6.250% 2,023,500
---------
TOTAL PREFERRED STOCKS
(Cost $2,745,986) 2,914,482
---------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 33
Value
Par Value (Note 2)
- --------- ------------
CERTIFICATE OF DEPOSIT - 1.68%
$ 2,253,174 State Street Eurodollar
2.350%, due 01/03/06 $ 2,253,174
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $2,253,174) 2,253,174
------------
Shares
INVESTMENT COMPANIES - 16.42%
5,655,766 SSgA Prime Money Market Fund (N) 5,655,766
16,352,133 State Street Navigator Securities
Lending Portfolio (I) 16,352,133
------------
TOTAL INVESTMENT COMPANIES
(Cost $22,007,899) 22,007,899
------------
TOTAL INVESTMENTS - 110.83%
(Cost $148,354,800**) 148,553,148
------------
NET OTHER ASSETS AND LIABILITIES - (10.83)% (14,521,093)
------------
TOTAL NET ASSETS - 100.00% $134,032,055
============
- ----------
** Aggregate cost for Federal tax purposes was $148,382,834.
(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 6.82% of total net assets.
(E) In default. Issuer is bankrupt.
(G) Floating rate or variable rate note. Rate shown is as of December 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.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of December 31, 2005.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
34 BALANCED FUND -- PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS - 66.70%
CONSUMER DISCRETIONARY - 6.62%
73,000 Brinker International, Inc. $ 2,822,180
53,000 Carnival Corp. 2,833,910
194,100 Viacom, Class B * 6,327,660
105,000 Comcast Corp., Class A * 2,725,800
60,000 eBay, Inc. * 2,595,000
188,000 Home Depot, Inc. 7,610,240
42,000 Lowe's Cos., Inc. 2,799,720
81,000 McDonald's Corp. 2,731,320
115,600 Target Corp. 6,354,532
117,100 Tiffany & Co. 4,483,759
296,000 Time Warner, Inc. 5,162,240
231,300 Walt Disney Co. 5,544,261
------------
51,990,622
------------
CONSUMER STAPLES - 6.49%
107,000 Altria Group, Inc. 7,995,040
125,000 Coca-Cola Co. 5,038,750
51,000 Colgate-Palmolive Co. 2,797,350
99,404 CVS Corp. 2,626,254
146,800 General Mills, Inc. 7,240,176
63,000 PepsiCo, Inc. 3,722,040
190,000 Procter & Gamble Co. 10,997,200
225,500 Wal-Mart Stores, Inc. 10,553,400
------------
50,970,210
------------
ENERGY - 5.68%
141,000 Chevron Corp. 8,004,570
126,000 ConocoPhillips 7,330,680
41,000 Devon Energy Corp. 2,564,140
212,200 Exxon Mobil Corp. 11,919,274
91,700 Marathon Oil Corp. 5,590,949
57,000 Schlumberger, Ltd. 5,537,550
52,062 Transocean, Inc. * 3,628,201
------------
44,575,364
------------
FINANCIALS - 13.76%
84,600 ACE, Ltd. 4,521,024
72,514 Allstate Corp. 3,920,832
104,000 American Express Co. 5,351,840
161,800 American International Group, Inc. 11,039,614
259,996 Bank of America Corp. 11,998,815
356,705 Citigroup, Inc. 17,310,894
82,000 Freddie Mac 5,358,700
38,900 Goldman Sachs Group, Inc. 4,967,919
185,154 J.P. Morgan Chase & Co. 7,348,762
130,000 Marsh & McLennan Cos., Inc. 4,128,800
39,000 Merrill Lynch & Co., Inc. 2,641,470
55,000 Metlife, Inc. 2,695,000
148,500 Morgan Stanley 8,425,890
76,000 National City Corp. 2,551,320
72,500 SunTrust Banks, Inc. 5,275,100
132,000 U.S. Bancorp 3,945,480
105,000 Wells Fargo & Co. 6,597,150
------------
108,078,610
------------
HEALTH CARE - 8.92%
131,900 Abbott Laboratories $ 5,200,817
72,000 Amgen, Inc. * 5,677,920
78,000 Applera Corp. - Applied Biosystems
Group 2,071,680
171,000 Baxter International, Inc. 6,438,150
161,000 Bristol-Myers Squibb Co. 3,699,780
23,500 Cigna Corp. 2,624,950
67,200 Community Health Systems, Inc. * 2,576,448
70,000 Genzyme Corp. * 4,954,600
109,000 IMS Health, Inc. 2,716,280
43,000 Invitrogen Corp. * 2,865,520
136,100 Johnson & Johnson 8,179,610
99,000 Medtronic, Inc. 5,699,430
264,619 Pfizer, Inc. 6,170,915
88,000 Stryker Corp. 3,909,840
157,300 Wyeth 7,246,811
------------
70,032,751
------------
INDUSTRIALS - 8.34%
72,000 3M Co. 5,580,000
67,900 Burlington Northern Santa Fe Corp. 4,808,678
56,900 FedEx Corp. 5,882,891
608,800 General Electric Co. 21,338,440
107,900 Honeywell International, Inc. 4,019,275
73,200 Illinois Tool Works, Inc. 6,440,868
140,000 Tyco International, Ltd. 4,040,400
138,200 United Technologies Corp. 7,726,762
186,200 Waste Management, Inc. 5,651,170
------------
65,488,484
------------
INFORMATION TECHNOLOGY - 11.11%
48,000 Affiliated Computer Services,
Inc., Class A * 2,840,640
170,000 Altera Corp. * 3,150,100
177,000 Applied Materials, Inc. 3,175,380
58,000 Automatic Data Processing, Inc. 2,661,620
63,800 Celestica, Inc. * 673,728
156,000 Cisco Systems, Inc. * 2,670,720
53,000 Computer Sciences Corp. * 2,683,920
173,000 Dell, Inc. * 5,188,270
474,000 EMC Corp./Massachusetts * 6,455,880
103,440 First Data Corp. 4,448,954
140,000 Hewlett-Packard Co. 4,008,200
358,000 Intel Corp. 8,935,680
97,600 International Business Machines
Corp. 8,022,720
85,048 Koninklijke Philips Electronics
N.V. 2,644,993
226,000 Micron Technology, Inc. (O)* 3,008,060
461,000 Microsoft Corp. 12,055,150
176,000 Motorola, Inc. 3,975,840
61,000 Qualcomm, Inc. 2,627,880
123,000 Texas Instruments, Inc. 3,944,610
103,000 Yahoo!, Inc. * 4,035,540
------------
87,207,885
------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 35
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS (CONTINUED)
MATERIALS - 2.05%
61,000 E.I. du Pont de Nemours & Co. $ 2,592,500
63,000 Inco, Ltd. * 2,744,910
138,700 Rohm and Haas Co. 6,715,854
61,000 Weyerhaeuser Co. 4,046,740
------------
16,100,004
------------
TELECOMMUNICATION SERVICES - 1.85%
51,200 Alltell Corp. 3,230,720
88,000 AT&T, Inc. 2,155,120
61,700 BellSouth Corp. 1,672,070
211,000 Sprint Nextel Corp. 4,928,960
85,012 Verizon Communications, Inc. 2,560,561
------------
14,547,431
------------
UTILITIES - 1.88%
252,900 AES Corp. * 4,003,407
56,000 Consolidated Edison, Inc. 2,594,480
34,800 Dominion Resources, Inc. 2,686,560
131,900 FPL Group, Inc. 5,481,764
14,766,211
------------
TOTAL COMMON STOCKS
(Cost $430,625,684) 523,757,572
------------
Value
Par Value (Note 2)
- --------- ------------
ASSET BACKED - 1.70%
$ 652,452 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 650,824
1,100,000 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34 1,086,926
1,300,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due 01/20/09 1,269,675
1,120,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due 10/25/33 1,087,154
1,720,658 Green Tree Financial Corp.,
Series 1996-1, Class M1
7.000%, due 03/15/27 1,696,480
1,130,060 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due 12/01/27 1,150,040
2,100,000 Green Tree Home Equity Loan Trust,
Series 1999-A, Class B1
8.970%, due 11/15/27 2,177,416
1,025,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36 940,918
1,500,000 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31 1,494,272
$ 740,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35 $ 735,964
1,045,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.379%, due 03/25/33 1,044,981
------------
TOTAL ASSET BACKED
(Cost $13,398,180) 13,334,650
------------
COMMERCIAL MORTGAGE BACKED - 2.12%
765,000 Bear Stearns Commercial Mortgage
Securities, Series 2005-T20, Class F (C) (G)
5.303%, due 10/12/42 746,114
1,987,902 Bear Stearns Commercial Mortgage
Securities, Series 2001-TOP4, Class A1
5.060%, due 11/15/16 1,988,360
1,325,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16, Class A2
3.700%, due 02/13/46 1,288,105
1,325,000 Bear Stearns Commercial Mortgage
Securities, Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46 1,285,660
1,400,000 Greenwich Capital Commercial
Funding Corp., Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36 1,413,145
1,600,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29 1,562,387
821,031 Morgan Stanley Capital I,
Series 1999-CAM1, Class A3
6.920%, due 03/15/32 833,359
2,600,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40 2,561,800
2,500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45 2,400,165
775,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 676,521
1,951,678 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35 1,897,596
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $17,026,776) 16,653,212
------------
PRIVATE LABEL MORTGAGE BACKED - 0.37%
2,900,000 Bank of America Alternative Loan Trust,
Series 2005-12, 6.000%, due 1/25/36 2,903,625
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $2,903,614) 2,903,625
------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
36 BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- ------------
CORPORATE NOTES AND BONDS - 9.64%
CABLE - 0.20%
$1,500,000 Comcast Cable Communications
6.875%, due 06/15/09 $ 1,575,497
-----------
CAPITAL GOODS - 0.25%
2,000,00 Caterpillar Financial Services
Corp., Series F
2.500%, due 10/03/06 1,965,208
-----------
CONSUMER DISCRETIONARY - 1.00%
2,000,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 2,481,250
1,500,000 Carnival Corp. (D)(O)
3.750%, due 11/15/07 1,466,286
1,900,000 Cendant Corp. (O)
6.250%, due 01/15/08 1,934,265
1,850,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 1,990,254
-----------
7,872,055
-----------
CONSUMER STAPLES - 0.17%
1,400,000 Safeway, Inc.
4.125%, due 11/01/08 1,355,648
-----------
ENERGY - 0.70%
1,150,000 Amerada Hess Corp.
7.875%, due 10/01/29 1,392,515
1,500,000 ConocoPhillips (O)
6.650%, due 07/15/18 1,692,459
1,030,000 Devon Financing Corp. ULC (O)
7.875%, due 09/30/31 1,308,820
1,000,000 Pemex Project Funding Master Trust
7.375%, due 12/15/14 1,111,000
-----------
5,504,794
-----------
FINANCE - 1.69%
1,500,000 American General Finance Corp., Series H (O)
4.625%, due 09/01/10 1,467,924
2,000,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07 2,089,050
1,500,000 CIT Group, Inc.
7.375%, due 04/02/07 1,543,688
1,000,000 GE Global Insurance Holding Corp.
7.000%, due 02/15/26 1,124,152
785,000 GE Global Insurance Holding Corp.
7.750%, due 06/15/30 952,572
1,350,000 HSBC Finance Corp. (O)
6.500%, due 11/15/08 1,405,046
2,500,000 Merrill Lynch & Co., Inc.
7.375%, due 05/15/06 2,521,890
2,000,000 U.S. Bank N.A.
6.300%, due 02/04/14 2,157,894
-----------
13,262,216
-----------
HEALTH CARE - 0.95%
1,200,000 Eli Lilly & Co.
6.570%, due 01/01/16 1,338,655
$ 740,000 Genentech, Inc.
5.250%, due 07/15/35 $ 713,127
1,220,000 Merck & Co., Inc. (O)
6.400%, due 03/01/28 1,322,529
1,500,000 Quest Diagnostics, Inc. (C)
5.450%, due 11/01/15 1,511,221
1,400,000 WellPoint, Inc.
5.000%, due 12/15/14 1,375,226
1,100,000 Wyeth
6.500%, due 02/01/34 1,210,918
-----------
7,471,676
-----------
INDUSTRIALS - 0.99%
620,000 Boeing Co. (O)
6.875%, due 10/15/43 733,542
350,000 Boeing Co.
8.625%, due 11/15/31 493,700
515,000 D.R. Horton, Inc. (O)
5.250%, due 02/15/15 482,112
1,000,000 Ford Motor Credit Co.
5.800%, due 01/12/09 872,339
575,000 General Motors Acceptance Corp.
6.125%, due 08/28/07 533,012
600,000 General Motors Acceptance Corp.
7.250%, due 03/02/11 551,483
525,000 Pulte Homes, Inc. (O)
5.200%, due 02/15/15 493,886
1,150,000 Waste Management, Inc.
7.125%, due 12/15/17 1,274,707
1,025,000 Westvaco Corp.
8.200%, due 01/15/30 1,200,476
1,170,000 WM. Wrigley Jr. Co. (O)
4.300%, due 07/15/10 1,148,293
-----------
7,783,550
-----------
PIPELINE - 0.11%
775,000 Kinder Morgan, Inc. (O)
7.250%, due 03/01/28 867,595
-----------
REITS - 0.22%
1,265,000 EOP Operating L.P.
4.750%, due 03/15/14 1,195,412
530,000 Simon Property Group, L.P. (O)
5.625%, due 08/15/14 533,605
-----------
1,729,017
-----------
TELECOMMUNICATIONS - 0.92%
2,000,000 Bellsouth Capital Funding
7.875%, due 02/15/30 2,414,432
775,000 Sprint Capital Corp.
7.125%, due 01/30/06 776,240
1,500,000 Telephone & Data Systems, Inc.
7.000%, due 08/01/06 1,511,568
2,500,000 Verizon Wireless Capital LLC
5.375%, due 12/15/06 2,508,235
-----------
7,210,475
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 37
Value
Par Value (Note 2)
- --------- -----------
CORPORATE NOTES AND BONDS (CONTINUED)
TRANSPORTATION - 0.50%
$1,365,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 $ 1,716,056
957,000 Norfolk Southern Corp.
5.590%, due 05/17/25 956,079
1,050,000 Norfolk Southern Corp.
7.050%, due 05/01/37 1,252,992
-----------
3,925,127
-----------
UTILITIES - 1.94%
1,400,000 Constellation Energy Group, Inc. (O)
4.550%, due 06/15/15 1,313,212
1,250,000 Consumers Energy Co.
5.650%, due 04/15/20 1,226,374
2,000,000 DTE Energy Co.
6.450%, due 06/01/06 2,012,814
2,000,000 Energy East Corp.
8.050%, due 11/15/10 2,241,238
1,365,000 Pacific Gas and Electric Co.
6.050%, due 03/01/34 1,412,719
2,000,000 Progress Energy, Inc. (O)
7.750%, due 03/01/31 2,399,102
1,500,000 Southern Power Co., Series B
6.250%, due 07/15/12 1,578,081
3,000,000 Virginia Electric and Power Co.,
Series A, 5.750%, due 03/31/06 3,006,786
-----------
15,190,326
-----------
TOTAL CORPORATE NOTES AND BONDS
(Cost $74,703,613) 75,713,184
-----------
MORTGAGE BACKED - 8.48%
FEDERAL HOME LOAN MORTGAGE CORP. - 1.22%
148,675 8.000%, due 06/01/30 Pool # C01005 158,566
577,133 6.500%, due 01/01/32 Pool # C62333 592,645
142,778 6.500%, due 03/01/32 Pool # C65648 146,580
5,306,799 5.000%, due 07/01/33 Pool # A11325 5,156,152
653,159 6.000%, due 10/01/34 Pool # A28439 659,743
633,360 6.000%, due 10/01/34 Pool # A28598 639,744
396,041 5.000%, due 04/01/35 Pool # A32314 383,417
786,511 5.000%, due 04/01/35 Pool # A32315 761,441
750,913 5.000%, due 04/01/35 Pool # A32316 726,977
376,551 5.000%, due 04/01/35 Pool # A32509 364,548
-----------
9,589,813
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 6.95%
2,251,727 4.000%, due 04/01/15 Pool # 255719 2,178,504
639,158 6.000%, due 05/01/16 Pool # 582558 653,361
3,651,972 5.000%, due 12/01/17 Pool # 672243 3,618,725
3,000,000 4.500%, due 09/01/20 Pool # 835465 2,919,320
719,160 6.000%, due 05/01/21 Pool # 253847 732,231
114,647 7.000%, due 12/01/29 Pool # 762813 119,949
377,062 7.000%, due 11/01/31 Pool # 607515 393,615
553,326 6.000%, due 02/01/32 Pool # 611619 559,848
18,312 7.000%, due 04/01/32 Pool # 641518 19,109
339,291 7.000%, due 05/01/32 Pool # 644591 354,186
2,071,993 6.500%, due 06/01/32 Pool # 545691 2,129,450
17,989 7.000%, due 08/01/32 Pool # 641302 18,772
$3,176,710 6.000%, due 08/01/33 Pool # 734849 $ 3,209,877
1,825,068 6.500%, due 09/01/33 Pool # 737582 1,872,595
2,394,736 5.500%, due 10/01/33 Pool # 254904 2,377,174
8,551,969 5.500%, due 11/01/33 Pool # 555880 8,489,253
6,011,924 5.000%, due 05/01/34 Pool # 780890 5,836,936
132,564 7.000%, due 07/01/34 Pool # 792636 138,307
979,508 5.500%, due 08/01/34 Pool # 793647 970,855
3,637,988 5.500%, due 03/01/35 Pool # 815976 3,603,124
1,815,419 5.500%, due 07/01/35 Pool # 825283 (H) 1,798,022
1,074,738 5.500%, due 08/01/35 Pool # 826872 (H) 1,064,439
1,899,674 5.000%, due 09/01/35 Pool # 820347 1,840,705
2,247,474 5.000%, due 09/01/35 Pool # 835699 2,177,708
2,575,671 5.000%, due 10/01/35 Pool # 797669 2,495,718
2,494,955 5.500%, due 10/01/35 Pool # 836912 2,471,045
2,625,000 5.000%, due 12/01/35 Pool # 850561 2,543,516
-----------
54,586,344
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.31%
2,100,000 5.008%, due 12/16/25 Series 2004-43,
Class C (G) 2,086,102
361,848 6.500%, due 04/20/31 Pool # 003068 375,605
-----------
2,461,707
-----------
TOTAL MORTGAGE BACKED
(Cost $67,169,273) 66,637,864
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 10.04%
FEDERAL HOME LOAN MORTGAGE CORP. - 0.43%
3,400,000 4.500%, due 01/15/14 3,336,954
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.37%
2,400,000 3.800%, due 01/18/08 2,354,342
2,250,000 4.000%, due 09/02/08 2,203,749
750,000 5.250%, due 08/01/12 757,194
2,400,000 4.625%, due 10/15/14 (O) 2,371,716
2,500,000 6.625%, due 11/15/30 3,082,580
-----------
10,769,581
-----------
U.S. TREASURY BONDS - 1.04%
3,975,000 6.250%, due 05/15/30 (O) 4,936,763
2,900,000 5.375%, due 02/15/31 (O) 3,257,515
-----------
8,194,278
-----------
U.S. TREASURY NOTES - 7.20%
6,935,000 2.000%, due 05/15/06 (O) 6,876,483
3,000,000 3.125%, due 01/31/07 (O) 2,958,048
3,700,000 3.375%, due 02/28/07 (O) 3,654,904
12,000,000 4.375%, due 05/15/07 (O) 11,990,160
1,125,000 2.750%, due 08/15/07 (O) 1,095,909
1,300,000 4.000%, due 08/31/07 (O) 1,291,367
6,975,000 2.625%, due 05/15/08 (O) 6,700,359
9,980,000 3.000%, due 02/15/09 (O) 9,578,465
700,000 2.625%, due 03/15/09 (O) 663,551
3,250,000 3.875%, due 05/15/10 (O) 3,188,429
350,000 3.875%, due 09/15/10 (O) 342,713
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
38 BALANCED FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Par Value (Note 2)
- --------- -----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
U.S. TREASURY NOTES (CONTINUED)
$ 950,000 4.500%, due 11/15/10 (O) $ 955,121
310,000 4.000%, due 02/15/14 (O) 301,596
825,000 4.250%, due 11/15/14 (O) 815,396
3,000,000 4.125%, due 05/15/15 (O) 2,934,258
2,125,000 4.250%, due 08/15/15 (O) 2,097,524
1,075,000 4.500%, due 11/15/15 (O) 1,083,818
-----------
56,528,101
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $79,046,248) 78,828,914
-----------
Value
Par Value (Note 2)
- --------- -----------
INVESTMENT COMPANIES - 11.63%
1 Columbia Funds Series Trust -
Columbia Cash Reserves 1
1 J.P. Morgan Prime
Money Market Fund 1
9,814,306 SSgA Prime Money Market Fund (N) 9,814,306
81,504,074 State Street Navigator Securities
Lending Portfolio (I) 81,504,074
------------
TOTAL INVESTMENT COMPANIES
(Cost $91,318,382) 91,318,382
------------
TOTAL INVESTMENTS - 110.68%
(Cost $776,191,770**) 869,147,403
------------
NET OTHER ASSETS AND LIABILITIES - (10.68)% (83,846,520)
------------
TOTAL NET ASSETS - 100.00% $785,300,883
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $778,159,011.
(C) Security sold within terms of a private placement memorandum exempt from
registration under sectio 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 0.19% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of December 31, 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.
(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.
(N) Security segregated for forward or when-issued purchase commitments
outstanding as of December 31, 2005.
(O) All (or portion of security) on loan.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
GROWTH AND INCOME STOCK FUND -- PORTFOLIO OF INVESTMENTS 39
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS - 97.18%
CONSUMER DISCRETIONARY - 8.21%
71,800 Belo Corp., Class A (O) $ 1,537,238
485,200 Viacom, Class B* 15,817,520
275,295 Comcast Corp., Class A (O)* 7,146,659
299,900 Home Depot, Inc. 12,139,952
578,400 McDonald's Corp. 19,503,648
233,400 Newell Rubbermaid, Inc. (O) 5,550,252
231,900 Target Corp. 12,747,543
697,600 Time Warner, Inc. 12,166,144
631,400 Walt Disney Co. 15,134,658
------------
101,743,614
------------
CONSUMER STAPLES - 6.08%
248,400 Altria Group, Inc. 18,560,448
158,700 Coca-Cola Co. 6,397,197
376,200 General Mills, Inc. 18,554,184
180,900 Kimberly-Clark Corp. 10,790,685
162,700 Procter & Gamble Co. 9,417,076
614,600 Sara Lee Corp. 11,615,940
------------
75,335,530
------------
ENERGY - 13.19%
128,600 Apache Corp. 8,811,672
158,780 BP PLC, ADR 10,196,852
460,846 Chevron Corp. 26,162,227
327,400 ConocoPhillips 19,048,132
238,000 Cooper Cameron Corp. (O)* 9,853,200
242,400 Devon Energy Corp. 15,159,696
760,400 Exxon Mobil Corp. 42,711,668
151,500 Marathon Oil Corp. 9,236,955
115,800 Schlumberger, Ltd. 11,249,970
159,546 Transocean, Inc.* 11,118,761
------------
163,549,133
------------
FINANCIALS - 31.74%
431,926 Allstate Corp. 23,354,239
385,100 American International Group, Inc. 26,275,373
188,200 AmSouth Bancorp. 4,932,722
940,342 Bank of America Corp. 43,396,783
30,000 Bear Stearns Cos., Inc. 3,465,900
995,014 Citigroup, Inc. 48,288,029
129,600 Equity Residential, REIT 5,069,952
189,500 Freddie Mac 12,383,825
80,400 General Growth Properties, Inc.,
REIT 3,777,996
78,900 Goldman Sachs Group, Inc. 10,076,319
800,388 J.P. Morgan Chase & Co. 31,767,400
54,800 Lehman Brothers Holdings, Inc. 7,023,716
78,700 Marsh & McLennan Cos., Inc. (O) 2,499,512
201,700 Merrill Lynch & Co., Inc. 13,661,141
121,200 Metlife, Inc. 5,938,800
380,600 Morgan Stanley 21,595,244
373,100 National City Corp. (O) 12,524,967
292,900 Prudential Financial, Inc. 21,437,351
221,900 St. Paul Travelers Cos., Inc. 9,912,273
181,100 SunTrust Banks, Inc. $ 13,176,836
471,900 U.S. Bancorp 14,105,091
45,200 Vornado Realty Trust, REIT 3,772,844
432,100 Wachovia Corp. 22,840,806
99,400 Washington Mutual, Inc. 4,323,900
444,300 Wells Fargo & Co. 27,915,369
------------
393,516,388
------------
HEALTH CARE - 8.79%
237,800 Abbott Laboratories 9,376,454
330,300 Baxter International, Inc. 12,435,795
138,300 Community Health Systems, Inc. (O)* 5,302,422
184,850 GlaxoSmithKline PLC, ADR 9,331,228
138,500 HCA, Inc. 6,994,250
102,400 Johnson & Johnson 6,154,240
186,000 Merck & Co., Inc. 5,916,660
1,477,300 Pfizer, Inc. 34,450,636
101,000 Triad Hospitals, Inc.* 3,962,230
198,400 Watson Pharmaceuticals, Inc. (O)* 6,449,984
188,000 Wyeth 8,661,160
------------
109,035,059
------------
INDUSTRIALS - 7.80%
217,400 Burlington Northern Santa Fe Corp. 15,396,268
82,600 Emerson Electric Co. 6,170,220
796,600 General Electric Co. 27,920,830
331,900 Honeywell International, Inc. 12,363,275
146,500 Masco Corp. 4,422,835
121,100 Textron, Inc. 9,322,278
203,000 Tyco International, Ltd. 5,858,580
163,400 United Technologies Corp. 9,135,694
204,000 Waste Management, Inc. 6,191,400
------------
96,781,380
------------
INFORMATION TECHNOLOGY - 7.07%
307,000 Applied Materials, Inc. 5,507,580
161,800 Automatic Data Processing, Inc. 7,425,002
331,526 Computer Associates International,
Inc. 9,345,718
153,100 Computer Sciences Corp.* 7,752,984
555,400 EMC Corp./Massachusetts* 7,564,548
98,401 Freescale Semiconductor, Inc.,
Class B* 2,476,753
434,935 Hewlett-Packard Co. 12,452,189
290,100 Intel Corp. 7,240,896
150,500 International Business Machines
Corp. 12,371,100
327,600 Motorola, Inc. 7,400,484
253,400 Texas Instruments, Inc. 8,126,538
------------
87,663,792
------------
MATERIALS - 4.14%
83,600 Air Products & Chemicals, Inc. 4,948,284
232,200 Alcoa, Inc. 6,866,154
110,600 Dow Chemical Co. 4,846,492
290,900 E.I. du Pont de Nemours & Co. (O) 12,363,250
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
40 GROWTH AND INCOME STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
MATERIALS (CONTINUED)
68,800 Inco, Ltd.* $ 2,997,616
24,400 Phelps Dodge Corp. 3,510,428
103,800 PPG Industries, Inc. 6,010,020
147,700 Weyerhaeuser Co. 9,798,418
--------------
51,340,662
--------------
TELECOMMUNICATION SERVICES - 4.45%
278,600 Alltell Corp. 17,579,660
592,600 AT&T, Inc. 14,512,774
246,000 Sprint Nextel Corp. 5,746,560
574,235 Verizon Communications, Inc. 17,295,958
--------------
55,134,952
--------------
UTILITIES - 5.71%
130,700 Ameren Corp. 6,697,068
237,500 Consolidated Edison, Inc. (O) 11,003,375
108,400 Dominion Resources, Inc. 8,368,480
275,100 Duke Energy Corp. 7,551,495
71,700 Edison International 3,126,837
121,800 Exelon Corp. 6,472,452
76,900 FirstEnergy Corp. 3,767,331
230,800 FPL Group, Inc. 9,592,048
197,600 Progress Energy, Inc. (O) 8,678,592
159,200 Southern Co. 5,497,176
--------------
70,754,854
--------------
TOTAL COMMON STOCKS
(Cost $979,258,281) 1,204,855,364
--------------
INVESTMENT COMPANIES - 5.38%
1 Columbia Funds Series Trust -
Columbia Cash Reserves 1
2 J.P. Morgan Prime
Money Market Fund 2
34,377,177 SSgA Prime Money Market Fund 34,377,177
32,341,500 State Street Navigator Securities
Lending Portfolio (I) 32,341,500
--------------
TOTAL INVESTMENT COMPANIES
(Cost $66,718,680) 66,718,680
--------------
TOTAL INVESTMENTS - 102.56%
(Cost $1,045,976,961**) 1,271,574,044
--------------
NET OTHER ASSETS AND LIABILITIES - (2.56)% (31,705,633)
--------------
TOTAL NET ASSETS - 100.00% $1,239,868,411
==============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $1,046,132,235.
(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.
REIT Real Estate Investment Trust.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
CAPITAL APPRECIATION STOCK FUND -- PORTFOLIO OF INVESTMENTS 41
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS - 95.58%
CONSUMER DISCRETIONARY - 11.50%
156,900 Bed Bath & Beyond, Inc. * $ 5,671,935
193,300 Viacom, Class B * 6,301,580
166,100 Cheesecake Factory/The * 6,210,479
122,000 Comcast Corp., Class A * 3,167,120
129,100 DreamWorks Animation SKG, Inc. (O) * 3,170,696
264,500 eBay, Inc. * 11,439,625
190,300 Home Depot, Inc. 7,703,344
71,900 Kohl's Corp. * 3,494,340
64,700 Lowe's Cos., Inc. 4,312,902
67,022 Morningstar, Inc. (O) * 2,321,642
103,100 Starbucks Corp. * 3,094,031
105,000 Target Corp. 5,771,850
78,800 Tiffany & Co. (O) 3,017,252
365,200 Time Warner, Inc. 6,369,088
166,600 Walt Disney Co. 3,993,402
67,700 Yum! Brands, Inc. 3,173,776
------------
79,213,062
------------
CONSUMER STAPLES - 10.77%
43,600 Altria Group, Inc. 3,257,792
45,900 Brown-Forman Corp. 3,181,788
92,500 Coca-Cola Co. 3,728,675
186,800 Colgate-Palmolive Co. 10,245,980
64,700 Costco Wholesale Corp. 3,200,709
148,400 CVS Corp. 3,920,728
72,700 General Mills, Inc. 3,585,564
201,200 PepsiCo, Inc. 11,886,896
215,800 Procter & Gamble Co. 12,490,504
69,700 Walgreen Co. 3,084,922
332,700 Wal-Mart Stores, Inc. 15,570,360
------------
74,153,918
------------
ENERGY - 4.37%
56,370 Apache Corp. 3,862,472
56,300 ConocoPhillips 3,275,534
83,100 Dresser-Rand Group, Inc. (O) * 2,009,358
82,600 Noble Corp. 5,826,604
243,600 Weatherford International, Ltd. * 8,818,320
144,233 XTO Energy, Inc. 6,337,598
------------
30,129,886
------------
FINANCIALS - 6.85%
178,700 ACE, Ltd. 9,549,728
192,700 American Express Co. 9,916,342
49,200 American International Group, Inc. 3,356,916
70,800 Bank of America Corp. 3,267,420
98,700 Bank of New York Co., Inc. 3,143,595
163,600 Citigroup, Inc. 7,939,508
78,400 Goldman Sachs Group, Inc. 10,012,464
------------
47,185,973
------------
HEALTH CARE - 17.51%
135,600 Amgen, Inc. * $ 10,693,416
65,800 AstraZeneca PLC, ADR 3,197,880
22,300 Cerner Corp. (O) * 2,027,293
246,800 Community Health Systems,
Inc. (O) * 9,462,312
116,300 Eli Lilly & Co. 6,581,417
78,100 Forest Laboratories, Inc. * 3,177,108
36,400 Genentech, Inc. * 3,367,000
87,900 Genzyme Corp. * 6,221,562
75,770 Hospira, Inc. * 3,241,441
165,000 Invitrogen Corp. (O) * 10,995,600
176,200 Johnson & Johnson 10,589,620
176,800 Medtronic, Inc. 10,178,376
536,002 Pfizer, Inc. 12,499,566
63,500 St. Jude Medical, Inc. * 3,187,700
278,300 Stryker Corp. 12,364,869
53,900 UnitedHealth Group, Inc. 3,349,346
204,900 Wyeth 9,439,743
------------
120,574,249
------------
INDUSTRIALS - 14.09%
85,000 3M Co. 6,587,500
133,100 CSX Corp. 6,757,487
112,400 Danaher Corp. 6,269,672
100,100 FedEx Corp. 10,349,339
896,000 General Electric Co. 31,404,800
85,700 Graco, Inc. 3,126,336
112,100 Illinois Tool Works, Inc. 9,863,679
53,000 Rockwell Automation, Inc. 3,135,480
52,200 Stericycle, Inc. (O) * 3,073,536
115,900 Tyco International, Ltd. 3,344,874
146,500 United Technologies Corp. 8,190,815
163,800 Waste Management, Inc. 4,971,330
------------
97,074,848
------------
INFORMATION TECHNOLOGY - 25.39%
68,800 Affiliated Computer Services,
Inc., Class A (O) * 4,071,584
351,100 Altera Corp. * 6,505,883
190,800 Cadence Design Systems, Inc. * 3,228,336
955,400 Cisco Systems, Inc. * 16,356,448
112,300 Citrix Systems, Inc. * 3,231,994
66,900 Cognizant Technology Solutions
Corp., Class A * 3,368,415
322,600 Dell, Inc. * 9,674,774
119,200 Electronic Arts, Inc. * 6,235,352
629,100 EMC Corp./Massachusetts * 8,568,342
16,827 Freescale Semiconductor, Inc.,
Class B * 423,536
744,400 Intel Corp. 18,580,224
142,500 International Business Machines Corp. 11,713,500
138,700 Kla-Tencor Corp. 6,842,071
396,000 Micron Technology, Inc. (O) * 5,270,760
1,079,700 Microsoft Corp. 28,234,155
263,300 Motorola, Inc. 5,947,947
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
42 CAPITAL APPRECIATION STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS (CONTINUED)
INFORMATION TECHNOLOGY (CONTINUED)
176,200 Nokia OYJ, ADR $ 3,224,460
92,800 Novellus Systems, Inc. * 2,238,336
219,000 Qualcomm, Inc. 9,434,520
171,600 Texas Instruments, Inc. 5,503,212
414,400 Yahoo!, Inc. * 16,236,192
------------
174,890,041
------------
MATERIALS - 3.47%
136,600 Praxair, Inc. 7,234,336
141,200 Rohm and Haas Co. 6,836,904
148,200 Weyerhaeuser Co. 9,831,588
------------
23,902,828
------------
TELECOMMUNICATION SERVICES - .89%
263,200 Sprint Nextel Corp. 6,148,352
------------
UTILITIES - 0.74%
321,100 AES Corp. * 5,083,013
------------
TOTAL COMMON STOCKS
(Cost $606,204,446) 658,356,170
------------
INVESTMENT COMPANIES - 7.26%
305,500 iShares Russell 1000 Growth Index Fund (O) 15,583,555
1 J.P. Morgan Prime
Money Market Fund 1
16,898,841 SSgA Prime Money Market Fund 16,898,841
17,555,942 State Street Navigator Securities Lending Portfolio (I) 17,555,942
------------
TOTAL INVESTMENT COMPANIES
(Cost $50,127,393) 50,038,339
------------
TOTAL INVESTMENTS - 102.84%
(Cost $656,331,839**) 708,394,509
------------
NET OTHER ASSETS AND LIABILITIES - (2.84)% (19,582,870)
------------
TOTAL NET ASSETS - 100.00% $688,811,639
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $656,346,896.
(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.
ANNUAL REPORT DECEMBER 31, 2005
MID-CAP STOCK FUND -- PORTFOLIO OF INVESTMENTS 43
Value
Shares (Note 2)
- ------ -----------
COMMON STOCKS - 96.87%
CONSUMER DISCRETIONARY - 11.61%
16,400 Advo, Inc. $ 462,152
139,000 Belo Corp., Class A (O) 2,975,990
58,800 Brinker International, Inc. 2,273,208
20,100 Cato Corp., Class A 431,145
7,950 CEC Entertainment, Inc. * 270,618
16,540 Federated Department Stores, Inc. 1,097,098
150,800 Interpublic Group of Cos., Inc. * 1,455,220
10,700 J.C. Penney Co., Inc. 594,920
84,700 Jones Apparel Group, Inc. 2,601,984
66,200 Linens 'n Things, Inc. (O) * 1,760,920
11,800 Matthews International Corp., Class A 429,638
13,200 Modine Manufacturing Co. 430,188
166,200 Newell Rubbermaid, Inc. (O) 3,952,236
49,600 O'Reilly Automotive, Inc. * 1,587,696
52,700 Outback Steakhouse, Inc. 2,192,847
24,800 Ruby Tuesday, Inc. (O) 642,072
30,400 Stage Stores, Inc. (O) 905,312
11,800 Standard-Pacific Corp. 434,240
67,200 Talbots, Inc. 1,869,504
34,900 Tempur-Pedic International, Inc. (O) * 401,350
32,700 Tiffany & Co. 1,252,083
94,300 TJX Cos., Inc. 2,190,589
16,200 Valassis Communications, Inc. * 470,934
25,600 WCI Communities, Inc. (O) * 687,360
23,100 Yankee Candle Co., Inc. (O) 591,360
-----------
31,960,664
-----------
CONSUMER STAPLES - 5.30%
26,000 Casey's General Stores, Inc. 644,800
54,500 Clorox Co. 3,100,505
168,400 Hain Celestial Group, Inc. (O) * 3,563,344
27,700 Herbalife, Ltd. * 900,804
19,400 Hormel Foods Corp. 633,992
59,200 McCormick & Co., Inc. 1,830,464
32,600 NBTY, Inc. (O) * 529,750
84,000 Sara Lee Corp. 1,587,600
13,300 Universal Corp./Richmond VA 576,688
30,000 UST, Inc. 1,224,900
-----------
14,592,847
-----------
ENERGY - 10.37%
21,800 Amerada Hess Corp. 2,764,676
15,200 Arch Coal, Inc. (O) 1,208,400
63,400 BJ Services Co. 2,324,878
21,750 Encore Acquisition Co. * 696,870
66,800 ENSCO International, Inc. 2,962,580
30,500 EOG Resources, Inc. 2,237,785
46,900 Forest Oil Corp. (O) * 2,137,233
48,900 Marathon Oil Corp. 2,981,433
66,400 Pioneer Natural Resources Co. 3,404,328
16,300 Plains Exploration and
Production Co. * 647,599
77,900 Smith International, Inc. 2,890,869
68,600 Valero Energy Corp. 3,539,760
18,500 Whiting Petroleum Corp. * 740,000
-----------
28,536,411
-----------
FINANCIALS - 24.15%
14,800 American Capital Strategies, Ltd. $ 535,908
72,500 AmSouth Bancorp. 1,900,225
14,900 Arthur J. Gallagher & Co. (O) 460,112
61,676 Associated Banc-Corp. (O) 2,007,554
39,800 Assured Guaranty, Ltd. 1,010,522
42,000 Bear Stearns Cos., Inc. 4,852,260
67,600 Colonial BancGroup, Inc. 1,610,232
42,000 Compass Bancshares, Inc. 2,028,180
16,100 Cousins Properties, Inc., REIT (O) 455,630
12,900 Delphi Financial Group, Class A 593,529
37,000 Equity Residential, REIT 1,447,440
84,000 Federated Investors, Inc., Class B 3,111,360
35,400 First Horizon National Corp. (O) 1,360,776
10,900 First Midwest Bancorp, Inc. 382,154
52,700 FirstMerit Corp. (O) 1,365,457
900 International Bancshares Corp. 26,424
9,800 IPC Holdings, Ltd. 268,324
56,900 Jefferson-Pilot Corp. 3,239,317
8,400 LaSalle Hotel Properties, REIT 308,448
16,400 M&T Bank Corp. 1,788,420
51,900 Marshall & Ilsley Corp. 2,233,776
8,000 MB Financial, Inc. (O) 283,200
45,700 MBIA, Inc. 2,749,312
33,400 NewAlliance Bancshares, Inc. 485,636
35,900 North Fork Bancorp., Inc. 982,224
47,000 PartnerRe, Ltd. (O) 3,086,490
24,600 Platinum Underwriters Holdings, Ltd. (Bermuda) 764,322
65,600 Principal Financial Group 3,111,408
54,000 Protective Life Corp. 2,363,580
7,800 PS Business Parks, Inc., REIT 383,760
58,000 Radian Group, Inc. 3,398,220
13,900 RAIT Investment Trust, REIT (O) 360,288
29,700 Realty Income Corp., REIT 642,114
22,000 Reinsurance Group of America, Inc. 1,050,720
67,900 Safeco Corp. 3,836,350
28,400 Scottish Re Group, Ltd. (O) 697,220
24,400 SL Green Realty Corp., REIT 1,863,916
52,700 TCF Financial Corp. (O) 1,430,278
14,600 Texas Regional Bancshares, Inc., Class A 413,180
51,000 Torchmark Corp. 2,835,600
23,500 Universal American Financial Corp. * 354,380
35,900 U-Store-It Trust, REIT 755,695
18,000 Ventas, Inc., REIT 576,360
13,300 Webster Financial Corp. 623,770
9,400 Westamerica Bancorp. 498,858
25,600 Zions Bancorp. 1,934,336
-----------
66,467,265
-----------
HEALTH CARE - 6.96%
16,600 Amsurg Corp. (O) * 379,476
38,600 Becton Dickinson & Co. 2,319,088
8,900 Charles River Laboratories
International, Inc. * 377,093
43,100 Community Health Systems, Inc. * 1,652,454
8,400 Dentsply International, Inc. 450,996
13,100 Diagnostic Products Corp. 636,005
47,212 Fisher Scientific International, Inc. * 2,920,534
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
44 MID-CAP STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
37,800 Health Management Associates,
Inc., Class A $ 830,088
36,300 Hospira, Inc. * 1,552,914
29,600 Idexx Laboratories, Inc. (O) * 2,130,608
16,800 Invitrogen Corp. (O) * 1,119,552
41,000 Omnicare, Inc. 2,346,020
31,700 Triad Hospitals, Inc. * 1,243,591
12,000 Varian, Inc. * 477,480
22,100 Watson Pharmaceuticals, Inc. * 718,471
------------
19,154,370
------------
INDUSTRIALS - 13.33%
26,900 Acuity Brands, Inc. (O) 855,420
32,600 Airtran Holdings, Inc. (O) * 522,578
10,200 Albany International Corp., Class A 368,832
56,200 Avery Dennison Corp. (O) 3,106,174
17,900 Carlisle Cos., Inc. 1,237,785
75,000 CSX Corp. 3,807,750
8,100 Curtiss-Wright Corp. (O) 442,260
25,625 Genesee & Wyoming, Inc., Class A * 962,219
100,700 Ingersoll-Rand Co., Ltd., Class A 4,065,259
77,200 Manpower, Inc. 3,589,800
56,600 Masco Corp. 1,708,754
17,500 Mueller Industries, Inc. 479,850
33,700 Parker-Hannifin Corp. 2,222,852
69,000 R. R. Donnelley & Sons Co. 2,360,490
73,300 Republic Services, Inc. 2,752,415
25,600 Simpson Manufacturing Co., Inc. (O) 930,560
39,000 Teleflex, Inc. (O) 2,534,220
28,900 United Stationers, Inc. * 1,401,650
44,700 W.W. Grainger, Inc. 3,178,170
8,900 Werner Enterprises, Inc. 175,330
------------
36,702,368
------------
INFORMATION TECHNOLOGY - 8.78%
46,200 Affiliated Computer Services,
Inc., Class A * 2,734,116
72,900 Arrow Electronics, Inc. * 2,334,987
30,200 ATMI, Inc. (O) * 844,694
139,000 Avaya, Inc. * 1,483,130
32,925 Belden CDT, Inc. (O) 804,358
9,000 Black Box Corp. 426,420
32,000 Computer Sciences Corp. * 1,620,480
78,300 Convergys Corp. * 1,241,055
8,100 Diebold, Inc. 307,800
6,900 Electronics for Imaging * 183,609
84,000 Intersil Corp., Class A 2,089,920
96,900 LSI Logic Corp. * 775,200
400,000 Lucent Technologies, Inc. (O) * 1,064,000
15,700 MAXIMUS, Inc. 576,033
40,000 Molex, Inc. 1,038,000
22,900 NAM TAI Electronics, Inc. (O) 515,250
98,000 Reynolds and Reynolds Co., Class A 2,750,860
204,600 Tellabs, Inc. * 2,230,140
26,000 Varian Semiconductor Equipment Associates, Inc. (O) * 1,142,180
------------
24,162,232
------------
MATERIALS - 7.51%
10,300 Aber Diamond Corp. $ 379,349
49,000 Air Products & Chemicals, Inc. 2,900,310
11,000 Aptargroup, Inc. 574,200
10,000 Ashland, Inc. 579,000
14,600 Bemis Co. 406,902
22,600 Compass Minerals International, Inc. (O) 554,604
19,000 Inco, Ltd. * 827,830
32,000 Martin Marietta Materials, Inc. 2,455,040
55,500 Novelis, Inc. 1,159,395
9,500 Nucor Corp. 633,840
44,000 PPG Industries, Inc. 2,547,600
49,000 Rohm and Haas Co. 2,372,580
176,500 Smurfit-Stone Container Corp. * 2,501,005
112,800 Valspar Corp. 2,782,776
------------
20,674,431
------------
TELECOMMUNICATION SERVICES - 1.08%
90,000 CenturyTel, Inc. 2,984,400
------------
UTILITIES - 7.78%
106,900 AES Corp. * 1,692,227
84,400 Alliant Energy Corp. 2,366,576
24,400 Ameren Corp. 1,250,256
17,000 Atmos Energy Corp. 444,720
68,700 CMS Energy Corp. * 996,837
44,000 Consolidated Edison, Inc. (O) 2,038,520
72,900 Constellation Energy Group, Inc. 4,199,040
9,800 New Jersey Resources Corp. (O) 410,522
66,000 Pepco Holdings, Inc. 1,476,420
29,650 PNM Resources, Inc. 726,129
43,000 Progress Energy, Inc. 1,888,560
26,200 UGI Corp. 539,720
29,400 Weststar Energy, Inc. 632,100
13,400 WGL Holdings, Inc. (O) 402,804
60,500 Wisconsin Energy Corp. 2,363,130
------------
21,427,561
------------
TOTAL COMMON STOCKS
(Cost $211,893,653) 266,662,549
------------
INVESTMENT COMPANIES - 14.05%
8,354,226 SSgA Prime Money Market Fund 8,354,226
30,335,353 State Street Navigator Securities Lending Portfolio (I) 30,335,353
------------
TOTAL INVESTMENT COMPANIES
(Cost $38,689,579) 38,689,579
------------
TOTAL INVESTMENTS - 110.92%
(Cost $250,583,232**) 305,352,128
------------
NET OTHER ASSETS AND LIABILITIES - (10.92)% (30,073,474)
------------
TOTAL NET ASSETS - 100.00% $275,278,654
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $250,674,532.
(I) Represents investments of cash collateral received in connection with
securities lending.
(O) All (or portion of security) on loan.
REIT Real Estate Investment Trust.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
MULTI-CAP GROWTH STOCK FUND -- PORTFOLIO OF INVESTMENTS 45
Value
Shares (Note 2)
- ------ -----------
COMMON STOCKS - 94.82%
CONSUMER DISCRETIONARY - 5.51%
40,080 aQuantive, Inc. (O) * $ 1,011,619
34,900 Chico's FAS, Inc. * 1,533,157
42,500 D.R. Horton, Inc. 1,518,525
41,400 Education Management Corp. * 1,387,314
47,000 Fastenal Co. (O) 1,841,930
12,961 GameStop Corp., Class A (O) * 412,417
24,110 GameStop Corp., Class B * 696,779
77,780 Geox SpA 856,135
76,200 La Quinta Corp. (O) * 848,868
12,080 Red Robin Gourmet Burgers,
Inc., (O) * 615,597
31,100 Too, Inc. (O) * 877,331
72,100 Univision Communications, Inc.,
Class A * 2,119,019
48,400 Williams-Sonoma, Inc. * 2,088,460
175,270 XM Satellite Radio Holdings, Inc.,
Class A (O) * 4,781,365
-----------
20,588,516
-----------
CONSUMER STAPLES - 1.36%
87,830 Procter & Gamble Co. 5,083,600
-----------
ENERGY - 4.35%
15,280 Arch Coal, Inc. (O) 1,214,760
20,975 Cabot Oil & Gas Corp. (O) 945,972
53,500 Cameco Corp. (O) 3,391,365
47,900 EOG Resources, Inc. 3,514,423
33,280 Halliburton Co. 2,062,029
105,520 Petro-Canada 4,230,297
33,200 Suntech Power Holdings Co., Ltd.,
ADR * 904,700
-----------
16,263,546
-----------
FINANCIALS - 15.98%
13,400 Affiliated Managers Group (O) * 1,075,350
25,350 Arch Capital Group, Ltd. * 1,387,912
24,880 CB Richard Ellis Group, Inc.,
Class A * 1,464,188
27,400 Chicago Mercantile Exchange
Holdings, Inc. 10,069,226
369,582 Countrywide Financial Corp. 12,636,009
32,600 Equifax, Inc. 1,239,452
100,540 Franklin Resources, Inc. 9,451,765
84,930 Legg Mason, Inc. 10,165,272
51,220 Nasdaq Stock Market, Inc. (O) * 1,801,920
39,690 Nuveen Investments, Inc., Class A (O) 1,691,588
91,990 UBS AG 8,752,848
-----------
59,735,530
-----------
HEALTH CARE - 24.39%
35,570 Abgenix, Inc. (O) * 765,111
34,030 Alkermes, Inc. (O) * 650,654
114,520 Amgen, Inc. * 9,031,047
32,820 Amylin Pharmaceuticals, Inc. (O) * 1,310,174
319,440 AstraZeneca PLC, ADR 15,524,784
49,300 Biomet, Inc. 1,802,901
26,500 Cephalon, Inc. (O) * 1,715,610
HEALTH CARE (CONTINUED)
24,380 Covance, Inc. * $ 1,183,649
31,000 Coventry Health Care, Inc. * 1,765,760
47,200 DaVita, Inc. * 2,390,208
61,470 Digene Corp. (O) * 1,793,080
46,000 Health Net, Inc. * 2,371,300
38,860 Hologic, Inc. * 1,473,571
42,700 Lincare Holdings, Inc. * 1,789,557
251,900 Medtronic, Inc. 14,501,883
18,840 Pharmaceutical Product
Development, Inc. 1,167,138
146,340 Sanofi-Aventis, ADR 6,424,326
327,040 Schering-Plough Corp. 6,818,784
210,310 UnitedHealth Group, Inc. 13,068,663
19,180 Vertex Pharmaceuticals, Inc. (O) * 530,711
64,300 WellPoint, Inc. * 5,130,497
-----------
91,209,408
-----------
INDUSTRIALS - 11.33%
20,540 Advisory Board Co. (O) * 979,142
138,330 Boeing Co. 9,716,299
49,000 CH Robinson Worldwide, Inc. 1,814,470
16,000 Corporate Executive Board Co. 1,435,200
37,360 Corrections Corp. of America (O) * 1,680,079
109,580 Danaher Corp. 6,112,372
25,200 Expeditors International of
Washington, Inc. 1,701,252
68,460 General Dynamics Corp. 7,807,863
142,220 General Electric Co. 4,984,811
34,180 Gol Linhas Aereas Inteligentes
S.A., ADR (O) 964,218
14,340 Jacobs Engineering Group, Inc. (O) * 973,256
55,455 Knight Transportation, Inc. 1,149,582
55,400 Robert Half International, Inc. 2,099,106
16,010 Stericycle, Inc. * 942,669
-----------
42,360,319
-----------
INFORMATION TECHNOLOGY - 30.90%
144,160 Adobe Systems, Inc. 5,328,154
123,700 Altera Corp. * 2,292,161
83,780 Apple Computer, Inc. * 6,022,944
39,000 Cognizant Technology Solutions
Corp., Class A * 1,963,650
51,700 Cognos, Inc. (O) * 1,794,507
229,170 Electronic Arts, Inc. * 11,987,883
29,600 Equinix, Inc. (O) * 1,206,496
22,650 F5 Networks, Inc. (O) * 1,295,354
36,900 Foundry Networks, Inc. * 509,589
18,180 Google, Inc., Class A * 7,542,155
22,700 Homestore, Inc. 116,969
79,800 Jabil Circuit, Inc. * 2,959,782
56,900 Linear Technology Corp. 2,052,383
40,090 Logitech International S.A., ADR (O) * 1,875,009
20,200 Microsemi Corp. (O) * 558,732
359,890 Microsoft Corp. 9,411,123
44,200 Monster Worldwide, Inc. * 1,804,244
456,760 Network Appliance, Inc. * 12,332,520
58,200 Nvidia Corp. * 2,127,792
194,630 Opsware, Inc. (O) * 1,321,538
39,200 Pixar * 2,066,624
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
46 MULTI-CAP GROWTH STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ -----------
COMMON STOCKS (CONTINUED)
INFORMATION TECHNOLOGY (CONTINUED)
247,340 Qualcomm, Inc. $ 10,655,407
161,880 Red Hat, Inc. (O) * 4,409,611
73,100 Redback Networks, Inc. (O) * 1,027,786
25,210 Salesforce.com, Inc. (O) * 807,981
33,200 SanDisk Corp. * 2,085,624
42,580 THQ, Inc. (O) * 1,015,533
76,200 VeriFone Holdings, Inc. (O) * 1,927,860
397,190 Yahoo!, Inc. * 15,561,904
34,800 Zebra Technologies Corp., Class A * 1,491,180
------------
115,552,495
------------
TELECOMMUNICATION SERVICES - 1.00%
60,080 Alamosa Holdings, Inc. * 1,118,089
97,100 American Tower Corp., Class A * 2,631,410
3,749,499
------------
TOTAL COMMON STOCKS
(Cost $292,920,463) 354,542,913
------------
COMMON STOCK UNIT - 2.00%
CONSUMER DISCRETIONARY - 2.00%
117,160 Starwood Hotels & Resorts
Worldwide, Inc. 7,481,838
------------
TOTAL COMMON STOCK UNIT
(Cost $6,863,665) 7,481,838
------------
INVESTMENT COMPANIES - 15.14%
13,390 iShares Russell 2000 Growth Index
Fund (O) 932,747
8,470 Oil Service HOLDRs Trust (O) 1,091,783
9,527,617 SSgA Prime Money Market Fund 9,527,617
45,072,703 State Street Navigator Securities
Lending Portfolio (I) 45,072,703
------------
TOTAL INVESTMENT COMPANIES
(Cost $56,309,136) 56,624,850
------------
TOTAL INVESTMENTS - 111.96%
(Cost $356,093,264**) 418,649,601
NET OTHER ASSETS AND LIABILITIES - (11.96)% (44,728,221)
------------
TOTAL NET ASSETS - 100.00% $373,921,380
============
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $356,451,771.
(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.
ANNUAL REPORT DECEMBER 31, 2005
GLOBAL SECURITIES FUND -- PORTFOLIO OF INVESTMENTS 47
Value
Shares (Note 2)
- ------ ---------
COMMON STOCKS - 94.07%
AUSTRALIA - 0.49%
4,881 Australia & New Zealand Banking
Group, Ltd. $ 85,822
51,907 Macquarie Airports 120,801
----------
206,623
----------
BERMUDA - 1.40%
5,237 ACE, Ltd. 279,865
1,450 Everest Re Group, Ltd. 145,508
2,500 XL Capital, Ltd., Class A 168,450
---------
593,823
---------
BRAZIL - 0.99%
10,760 Empressa Brasileira de Aeronautica
S.A., ADR 420,716
----------
CANADA - 1.76%
10,500 Husky Energy, Inc. 531,326
3,677 Manulife Financial Corp. 215,300
----------
746,626
----------
DENMARK - 0.25%
1,900 Novo-Nordisk A/S 106,926
----------
FINLAND - 0.52%
10,140 Fortum OYJ 190,203
1,025 Neste Oil OYJ * 28,986
----------
219,189
----------
FRANCE - 6.65%
710 Cie Generale d'Optique Essilor
International S.A. 57,341
11,750 European Aeronautic Defence and
Space Co. N.V. 443,868
5,430 JC Decaux S.A. * 126,675
5,400 LVMH Moet Hennessy Louis
Vuitton S.A. 479,921
7,750 Sanofi-Aventis 679,139
3,080 Societe Generale 378,958
7,820 Technip S.A. 470,430
740 Total S.A. 185,953
----------
2,822,285
----------
GERMANY - 3.72%
3,064 Allianz AG 464,216
5,429 Bayerische Motoren Werke AG 238,195
2,340 SAP AG 424,411
5,281 Siemens AG 452,772
----------
1,579,594
----------
HONG KONG - 1.20%
89,200 Hong Kong and China Gas 189,823
15,560 Hutchison Whampoa, Ltd. 148,304
32,216 Television Broadcasts, Ltd. 171,186
----------
509,313
----------
INDIA - 2.84%
63,050 Hindustan Lever, Ltd. $ 275,318
5,825 ICICI Bank, Ltd., ADR 167,760
8,195 Infosys Technologies, Ltd. 545,423
62,230 ZEE Telefilms, Ltd. 217,736
----------
1,206,237
----------
IRELAND - 0.42%
11,679 Anglo Irish Bank Corp. PLC 177,423
----------
JAPAN - 10.90%
2,280 Canon, Inc. 133,458
8,500 Chugai Pharmaceutical Co., Ltd. 182,431
5,390 Credit Saison Co., Ltd. 269,317
1,300 Fanuc, Ltd. 110,392
7,290 Hoya Corp. 262,212
5,000 JGC Corp. 95,224
6,000 Kao Corp. 160,842
82 KDDI Corp. 473,023
700 Keyence Corp. 199,228
5,600 Murata Manufacturing Co., Ltd. 359,145
1,800 Nidec Corp. 153,156
1,200 Nintendo Co., Ltd. 145,063
62 Resona Holdings, Inc. * 249,830
20,740 Shionogi & Co., Ltd. 292,239
11,000 Shiseido Co., Ltd. 205,294
12,910 Sony Corp. 527,877
5,830 Square Enix Co., Ltd. 163,703
2,860 Takeda Pharmaceutical Co., Ltd. 154,791
7,570 Toyota Motor Corp. 393,013
64 Yahoo! Japan Corp. 97,184
----------
4,627,422
----------
MEXICO - 1.25%
43,240 Grupo Modelo S.A., Series C 156,626
4,643 Grupo Televisa S.A., ADR 373,762
----------
530,388
----------
NETHERLANDS - 1.22%
16,700 Koninklijke Philips Electronics N.V. 519,124
----------
NORWAY - 0.22%
15,450 Tandberg ASA 94,591
----------
PORTUGAL - 0.28%
37,834 Energias de Portugal S.A. 116,488
----------
SINGAPORE - 0.40%
65,659 Singapore Press Holdings, Ltd. 169,764
----------
SOUTH KOREA - 2.48%
3,040 Hyundai Heavy Industries * 231,118
710 Samsung Electronics Co., Ltd. 462,570
17,730 SK Telecom Co., Ltd., ADR 359,742
----------
1,053,430
----------
SPAIN - 0.67%
8,750 Inditex S.A. 285,466
----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
48 GLOBAL SECURITIES FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ ----------
COMMON STOCKS (CONTINUED)
SWEDEN - 4.53%
19,500 Hennes & Mauritz AB $ 662,981
8,486 Investor AB, Series B 148,532
323,650 Telefonaktiebolaget LM Ericsson 1,112,606
-----------
1,924,119
-----------
SWITZERLAND - 3.01%
8,864 Credit Suisse Group 451,643
4,341 Novartis AG 227,952
3,474 Roche Holding AG 521,252
630 Syngenta AG * 78,334
-----------
1,279,181
-----------
TAIWAN - 0.63%
27,119 Taiwan Semiconductor Manufacturing
Co., Ltd., ADR 268,749
-----------
UNITED KINGDOM - 12.11%
12,470 3I Group PLC 181,633
5,688 BP PLC, ADR 365,283
17,594 Burberry Group PLC 129,948
47,037 Cadbury Schweppes PLC 444,217
1,420 Diageo PLC 20,561
7,765 GUS PLC 137,724
24,520 HSBC Holdings PLC (Hong Kong) 393,405
19,140 Pearson PLC 226,153
34,703 Prudential PLC 328,033
22,758 Reckitt Benckiser PLC 750,970
20,437 Royal Bank of Scotland Group PLC 616,427
29,223 Smith & Nephew PLC 268,950
22,680 Tesco PLC 129,215
471,370 Vodafone Group PLC 1,016,701
12,170 WPP Group PLC 131,561
-----------
5,140,781
-----------
UNITED STATES - 36.13%
4,240 3M Co. 328,600
7,050 Adobe Systems, Inc. 260,568
26,340 Advanced Micro Devices, Inc. * 806,004
4,150 Affymetrix, Inc. (O) * 198,162
10,060 Altera Corp. * 186,412
1,450 Altria Group, Inc. 108,344
3,110 Amazon.com, Inc. * 146,636
6,500 American Express Co. 334,490
5,130 Amgen, Inc. * 404,552
1,660 Amylin Pharmaceuticals, Inc. (O) * 66,267
3,700 Avon Products, Inc. 105,635
75 Berkshire Hathaway, Inc., Class B * 220,162
4,140 Biomet, Inc. 151,400
3,820 Boeing Co. 268,317
8,570 Boston Scientific Corp. * 209,879
4,870 Burlington Resources, Inc. 419,794
7,421 Cadence Design Systems, Inc. * 125,563
7,000 Carnival Corp. 374,290
4,686 Chevron Corp. 266,024
12,550 Cisco Systems, Inc. * 214,856
2,150 Citigroup, Inc. 104,340
6,430 Coach, Inc. * $ 214,376
24,370 Corning, Inc. * 479,114
7,670 Cree, Inc. (O) * 193,591
12,960 eBay, Inc. * 560,520
3,420 Emerson Electric Co. 255,474
3,230 Express Scripts, Inc. * 270,674
5,810 Gap, Inc. 102,488
2,500 Genentech, Inc. * 231,250
6,040 Gilead Sciences, Inc. * 317,885
8,400 GlobalSantaFe Corp. 404,460
2,600 ImClone Systems, Inc. (O) * 89,024
3,813 International Business Machines Corp. 313,429
8,400 International Game Technology 258,552
5,760 International Rectifier Corp. * 183,744
6,100 Intuit, Inc. * 325,130
8,640 J.P. Morgan Chase & Co. 342,922
4,770 Juniper Networks, Inc. * 106,371
3,010 Lockheed Martin Corp. 191,526
1,560 Medtronic, Inc. 89,809
21,360 Microsoft Corp. 558,564
7,880 Morgan Stanley 447,111
3,002 Nektar Therapeutics (O) * 49,413
7,780 Northern Trust Corp. 403,160
3,220 Northrop Grumman Corp. 193,554
29,240 Novell, Inc. * 258,189
7,110 Pfizer, Inc. 165,805
2,912 Procter & Gamble Co. 168,547
7,670 Qualcomm, Inc. 330,424
6,120 Quest Diagnostics, Inc. 315,058
6,330 Raytheon Co. 254,150
1,760 Silicon Laboratories, Inc. * 64,522
53,400 Sirius Satellite Radio, Inc. (O) * 357,780
6,560 Starbucks Corp. * 196,866
34,610 Sun Microsystems, Inc. * 145,016
3,600 Theravance, Inc. * 81,072
2,700 Tiffany & Co. 103,383
8,320 Transocean, Inc. * 579,821
10,100 Walt Disney Co. 242,097
4,040 Wyeth 186,123
-----------
15,331,289
-----------
TOTAL COMMON STOCKS
(Cost $31,119,153) 39,929,547
-----------
COMMON STOCK UNIT - 0.53%
MEXICO - 0.53%
31,110 Fomento Economico Mexicano, S.A.
de C.V. 225,376
-----------
TOTAL COMMON STOCK UNIT
(Cost $125,085) 225,376
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
GLOBAL SECURITIES FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 49
Value
Shares (Note 2)
- ------ --------
PREFERRED STOCKS - 1.51%
BRAZIL - 1.09%
6,313 Cia de Bebidas das Americas, ADR $ 240,210
12,465 Tele Norte Leste Participacoes S.A. 221,493
-----------
461,703
-----------
GERMANY - 0.43%
251 Porsche AG 180,412
-----------
TOTAL PREFERRED STOCKS
(Cost $421,970) 642,115
-----------
INVESTMENT COMPANIES - 5.29%
UNITED STATES - 5.29%
1,309,011 SSgA Prime Money Market Fund 1,309,011
937,794 State Street Navigator Securities
Lending Portfolio (I) 937,794
-----------
TOTAL INVESTMENT COMPANIES
(Cost $2,246,805) 2,246,805
-----------
TOTAL INVESTMENTS - 101.40%
(Cost $33,913,013**) 43,043,843
-----------
NET OTHER ASSETS AND LIABILITIES - (1.40)% (594,183)
-----------
TOTAL NET ASSETS - 100.00% $42,449,660
===========
- ----------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $34,248,089.
(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.
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets % of Net Assets
- ---------------------------------------------------- ---------------
Pharmaceuticals 7.2%
Banks 6.9%
Semiconductors & Semiconductor
Equipment 5.9%
Communications Equipment 5.5%
Software 5.0%
Media 4.8%
Oil, Gas & Consumable Fuels 4.7%
Wireless Telecommunication Services 4.4%
Diversified Financial Services 4.3%
Insurance 4.3%
Aerospace & Defense 4.2%
Net Other Assets & Liabilities 3.9%
Energy Equipment & Services 3.4%
Household Products 3.2%
Specialty Retail 3.0%
Household Durables 2.8%
Biotechnology 2.2%
Internet & Catalog Retail 2.0%
Hotels, Restaurants & Leisure 2.0%
Electrical Equipment 1.9%
Automobiles 1.9%
Health Care Equipment & Supplies 1.8%
Textiles, Apparel & Luxury Goods 1.6%
Beverages 1.5%
Electronic Equipment & Instruments 1.5%
Health Care Providers & Services 1.4%
IT Services 1.3%
Industrial Conglomerates 1.1%
Computers & Peripherals 1.1%
Food Products 1.0%
Personal Products 0.7%
Machinery 0.5%
Diversified Telecommunication Services 0.5%
Gas Utilities 0.4%
Office Electronics 0.3%
Food & Staples Retailing 0.3%
Transportation Infrastructure 0.3%
Electric Utilities 0.3%
Tobacco 0.3%
Internet Software & Services 0.2%
Construction & Engineering 0.2%
Chemicals 0.2%
-----
100.0%
=====
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
50 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS
Value
Shares (Note 2)
- ------ ----------
COMMON STOCKS - 94.35%
AUSTRALIA - 0.72%
31,274 ABC Learning Centres, Ltd. $ 165,311
28,700 James Hardie Industries N.V. 189,631
53,020 John Fairfax Holdings, Ltd. 156,088
97,738 Macquarie Infrastructure Group 255,445
-----------
766,475
-----------
AUSTRIA - 0.19%
3,660 Erste Bank der Oesterreichischen
Sparkassen AG 203,923
-----------
BELGIUM - 1.19%
19,800 Belgacom S.A. 645,969
14,900 InBev N.V. 648,791
-----------
1,294,760
-----------
BRAZIL - 1.88%
6,900 Brasil Telecom Participacoes S.A., ADR 257,715
6,320 Cia Brasileira de Distribuicao
Grupo Pao de Acucar, ADR 207,928
904 Cia de Bebidas das Americas, ADR 29,561
6,700 Cia de Concessoes Rodoviarias 212,289
8,250 Cia Vale do Rio Doce, ADR 339,405
14,100 Gerdau S.A., ADR 235,188
13,000 Grendene S.A. 125,018
6,900 Petroleo Brasileiro, S.A., ADR 491,763
11,400 Souza Cruz S.A. 141,554
-----------
2,040,421
-----------
CHILE - 0.12%
4,450 AFP Provida S.A., ADR 126,380
-----------
CHINA - 0.46%
2,590 CNOOC, Ltd., ADR 176,042
271,000 People's Food Holdings, Ltd. 174,355
224,000 Yanzhou Coal Mining Co., Ltd.,
Class H 143,728
-----------
494,125
-----------
EGYPT - 0.74%
24,200 Commercial International Bank 247,745
4,807 Eastern Tobacco 276,421
2,700 Orascom Telecom Holding S.A.E. 279,939
-----------
804,105
-----------
FINLAND - 0.52%
12,000 Amer Sports OYJ 223,529
8,700 Nokian Renkaat OYJ 109,722
13,200 Sampo OYJ 230,095
-----------
563,346
-----------
FRANCE - 10.86%
26,100 AXA S.A. 842,542
17,800 BNP Paribas 1,440,733
3,600 Carbone Lorraine 164,556
43,600 France Telecom S.A. 1,083,737
12,200 Lafarge S.A. 1,097,990
14,270 Lagardere S.C.A. 1,098,405
4,000 Neopost S.A. $ 401,207
10,664 Sanofi-Aventis 934,495
10,400 Schneider Electric S.A. 927,986
9,730 Total S.A. 2,445,025
43,000 Vivendi Universal S.A. 1,347,359
-----------
11,784,035
-----------
GERMANY - 4.06%
7,800 Deutsche Bank AG 756,490
1,900 Fielmann AG 128,474
521 PUMA AG Rudolf Dassler Sport 152,083
21,700 Siemens AG 1,860,473
4,600 Techem AG * 206,453
24,700 Volkswagen AG 1,304,831
-----------
4,408,804
-----------
GREECE - 0.43%
3,900 Athens Stock Exchange S.A. 41,381
6,740 OPAP S.A. 232,262
8,825 Piraeus Bank S.A. 188,946
-----------
462,589
-----------
HONG KONG - 0.83%
77,000 China Netcom Group Corp., Hong
Kong, Ltd. 122,647
46,145 Esprit Holdings, Ltd. 327,926
133,000 Hutchison Telecommunications
International, Ltd. 192,119
316,000 SA SA International Holdings, Ltd. 110,040
205,000 Texwinca Holdings, Ltd. 148,061
-----------
900,793
-----------
HUNGARY - 0.28%
900 Gedeon Richter Rt. 161,564
1,500 MOL Magyar Olaj-es Gazipari Rt. 140,207
-----------
301,771
-----------
INDIA - 1.24%
10,300 Hero Honda Motors, Ltd. 195,036
63,400 Hindalco Industries, Ltd., GDR (C) 201,992
32,800 Hindustan Lever, Ltd. 143,227
8,268 Oil & Natural Gas Corp., Ltd. 215,887
19,166 Satyam Computer Services, Ltd. 315,600
6,700 State Bank of India, Ltd., GDR (C) 270,159
-----------
1,341,901
-----------
INDONESIA - 0.85%
1,156,500 Bank Mandiri Persero Tbk PT 192,750
1,957,500 Bumi Resources Tbk PT 151,189
17,100 Telekomunikasi Indonesia Tbk PT, ADR 408,006
452,000 United Tractors Tbk PT 168,811
-----------
920,756
-----------
IRELAND - 2.02%
23,136 Anglo Irish Bank Corp. PLC 351,238
42,200 Bank of Ireland 665,144
26,068 CRH PLC 767,113
11,413 DCC PLC 244,626
7,800 Irish Life & Permanent PLC 159,426
-----------
2,187,547
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 51
Value
Shares (Note 2)
- ------ ----------
COMMON STOCKS (CONTINUED)
ISRAEL - 0.24%
55,700 Bank Hapoalim B.M. $ 258,547
1 Koor Industries, Ltd. * 48
-----------
258,595
-----------
ITALY - 6.05%
22,100 Assicurazioni Generali SpA 772,563
39,367 Banco Popolare di Verona e Novara
S.c.r.l. 796,708
95,400 Enel SpA 749,574
53,100 ENI SpA 1,473,302
13,500 Mediolanum SpA 89,046
5,100 Lottomatica SpA * 184,384
434,700 Telecom Italia SpA 1,266,338
179,208 UniCredito Italiano SpA 1,235,109
-----------
6,567,024
-----------
JAPAN - 21.66%
4,800 ABC-Mart, Inc. 135,188
5,000 Aoyama Trading Co, Ltd. 169,240
7,300 Asahi Pretec Corp. 177,112
36,000 Bosch Corp. 174,075
11,000 Chiyoda Corp. 252,884
4,100 Credit Saison Co., Ltd. 204,861
4,500 Daito Trust Construction Co., Ltd. 232,864
2,300 Don Quijote Co., Ltd. 192,382
220 eAccess, Ltd. 155,837
169 East Japan Railway Co. 1,162,699
4,500 Eizo Nanao Corp. 173,312
123,900 Fujitsu, Ltd. 943,860
7,000 Hisamitsu Pharmaceutical Co., Inc. 176,366
2,900 Hogy Medical Co., Ltd. 156,710
36,600 Hoya Corp. 1,316,457
2,900 Ito En, Ltd. 173,685
6,600 JSR Corp. 173,566
8,000 Leopalace21 Corp. 290,465
6,000 Mars Engineering Corp. 156,770
187 Mitsubishi Tokyo Financial Group, Inc. 2,538,174
19,200 Murata Manufacturing Co., Ltd. 1,231,354
11,600 Nidec Corp. 987,004
149 NIWS Co., HQ, Ltd. 203,504
76,500 Nomura Holdings, Inc. 1,466,661
416 NTT DoCoMo, Inc. 635,222
14,500 OSG Corp. 300,751
6,100 Rinnai Corp. 144,634
3,500 Secom Techno Service Co., Ltd. 141,627
8,100 Shin-Etsu Chemical Co., Ltd. 430,837
123,000 Shinsei Bank, Ltd. 711,622
27,100 Sony Corp. 1,108,093
97,000 Sumitomo Trust & Banking Co., Ltd. 991,559
20,000 Suruga Bank, Ltd. 252,290
23,100 Takeda Pharmaceutical Co., Ltd. 1,250,238
232,000 Tokyo Gas Co., Ltd. 1,031,286
41,500 Toyota Motor Corp. 2,154,564
2,450 USS Co., Ltd. 156,295
75,600 Yokogawa Electric Corp. 1,289,074
26 Yoshinoya D&C Co., Ltd. 48,524
-----------
23,491,646
-----------
LUXEMBOURG - 0.15%
14,400 Stolt Offshore S.A. * $ 167,573
MEXICO - 0.89%
34,400 America Telecom, S.A. de C.V.,
Series A1 * 167,327
5,380 Desarrolladora Homex S.A. de C.V.,
ADR * 165,059
2,980 Fomento Economico Mexicano S.A. de
C.V., ADR 216,080
34,400 Grupo Mexico S.A. de C.V. 80,265
2,850 Grupo Televisa S.A., ADR 229,425
25,900 Kimberly-Clark de Mexico, S.A. de
C.V., Class A 92,598
2,300 Urbi Desarrollos Urbanos S.A. de C.V. * 15,905
-----------
966,659
-----------
MOROCCO - 0.15%
15,200 Maroc Telecom * 165,466
-----------
NETHERLANDS - 3.26%
4,087 Boskalis Westminster 272,240
9,792 Fugro N.V. 314,591
2,601 Hunter Douglas N.V. 141,623
28,600 Royal Dutch Shell PLC, Class A 873,120
1,762 SBM Offshore N.V. 142,408
51,300 TNT N.V. 1,603,786
4,575 USG People N.V. 193,954
-----------
3,541,722
-----------
NORWAY - 1.96%
99,900 Den Norske Bank ASA 1,066,279
8,700 Ekornes ASA 160,247
39,100 Statoil ASA 898,424
-----------
2,124,950
-----------
PERU - 0.13%
6,200 Credicorp, Ltd. 141,298
-----------
PHILIPPINES - 0.22%
7,100 Philippine Long Distance Telephone
Co., ADR 238,134
-----------
RUSSIA - 0.56%
8,900 Evraz Group S.A., GDR 161,090
3,640 LUKOIL, ADR 216,580
6,500 Mobile Telesystems OJSC, ADR 227,500
-----------
605,170
-----------
SINGAPORE - 0.84%
226,800 Oversea-Chinese Banking Corp. 913,691
-----------
SOUTH AFRICA - 1.17%
46,400 Edgars Consolidated Stores, Ltd. 257,933
9,000 Kumba Resources, Ltd. 145,138
67,380 Murray & Roberts Holdings, Ltd. 208,798
88,600 Old Mutual PLC 250,869
38,430 Sanlam, Ltd. 92,293
105,822 Steinhoff International Holdings, Ltd. 313,701
-----------
1,268,732
-----------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
52 INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED)
Value
Shares (Note 2)
- ------ ------------
COMMON STOCKS (CONTINUED)
SOUTH KOREA - 2.99%
1,150 Hite Brewery Co., Ltd. * $ 163,717
1,600 Hyundai Motor Co. * 153,910
10,760 Kangwon Land, Inc. * 218,604
8,901 Kookmin Bank * 673,185
7,500 KT Corp., ADR 161,625
3,900 LG Electronics, Inc. * 344,310
4,100 LG Household & Health Care, Ltd. * 222,936
8,600 LG.Philips LCD Co., Ltd., ADR * 184,556
2,420 Samsung Electronics Co., Ltd., GDR (C) 797,390
1,600 Samsung SDI Co., Ltd. * 184,281
2,800 SK Corp. * 144,222
------------
3,248,736
------------
SPAIN - 0.65%
7,300 Abengoa, S.A. 107,280
9,852 Corp. Mapfre S.A. 162,751
12,400 Indra Sistemas, S.A. 242,434
8,500 Prosegur Cia de Seguridad S.A. 194,470
------------
706,935
------------
SWEDEN - 0.71%
21,840 Elekta AB, Class B 324,517
18,400 Getinge AB 253,709
16,600 Swedish Match AB 195,444
------------
773,670
------------
SWITZERLAND - 7.31%
20,900 Compagnie Financiere Richemont AG,
Class A 909,145
39,730 Credit Suisse Group 2,024,343
210 Geberit AG 166,090
5,180 Nestle S.A. 1,548,150
38,600 Novartis AG 2,026,944
5,900 Zurich Financial Services AG * 1,256,322
------------
7,930,994
------------
TAIWAN - 1.51%
62,580 Advantech Co., Ltd. 177,307
227,243 Chinatrust Financial Holding Co. 180,000
7,000 Chunghwa Telecom Co., Ltd., ADR 128,450
54,000 Delta Electronics, Inc. 110,718
10,692 Delta Electronics, Inc., GDR (C) 109,547
204,000 Fubon Financial Holding Co., Ltd. 175,262
56,186 HON HAI Precision Industry Co., Ltd. 308,112
184,549 Taiwan Semiconductor Manufacturing
Co., Ltd. 351,399
10,300 Taiwan Semiconductor Manufacturing
Co., Ltd., ADR 102,073
------------
1,642,868
------------
THAILAND - 0.11%
158,500 Thai Union Frozen Products Public
Co., Ltd. 123,692
------------
TURKEY - 0.61%
45,431 Akbank T.A.S. 370,069
18,898 Turkcell Iletisim Hizmet A.S., ADR 290,273
------------
660,342
------------
UNITED KINGDOM - 16.71%
169,600 Barclays PLC $ 1,780,961
124,800 BP PLC 1,327,678
78,200 Brit Insurance Holdings PLC 119,615
14,483 Bunzl PLC 158,806
99,000 Cadbury Schweppes PLC 934,954
20,859 Cattles PLC 118,034
12,368 Collins Stewart Tullett PLC 126,475
119,600 Diageo PLC 1,731,763
108,052 Enodis PLC * 240,486
11,300 Enterprise Inns PLC 182,167
26,310 Filtrona PLC 128,870
34,300 GlaxoSmithKline PLC 865,971
23,600 Halfords Group PLC 143,989
32,040 Imperial Tobacco Group PLC 956,489
17,000 Intertek Group PLC 203,643
7,443 Man Group PLC 244,325
153,300 Marks and Spencer Group PLC 1,330,519
96,232 National Grid PLC 940,237
12,300 Northgate PLC 205,792
11,400 Premier Oil PLC * 159,484
88,033 Prudential PLC 832,139
125,131 Regus Group PLC * 226,884
62,800 Royal Bank of Scotland Group PLC 1,894,193
10,250 Signet Group PLC, ADR 191,573
206,300 Tesco PLC 1,175,358
812,293 Vodafone Group PLC 1,752,040
16,600 William Hill PLC 152,776
------------
18,125,221
------------
VENEZUELA - 0.08%
6,231 Cia Anonima Nacional Telefonos de
Venezuela - CANTV, ADR 89,103
------------
TOTAL COMMON STOCKS
(Cost $80,142,552) 102,353,952
------------
COMMON STOCK UNITS - 0.36%
BRAZIL - 0.13%
3,200 All America Latina Logistica S.A. 136,673
------------
IRELAND - 0.23%
23,636 Grafton Group PLC * 254,167
------------
TOTAL COMMON STOCK UNITS
(Cost $324,986) 390,840
------------
PREFERRED STOCKS - 1.42%
BRAZIL - 1.27%
460,200 Caemi Mineracao e Metalurgica S.A. 671,925
6,920 Cia de Bebidas das Americas, ADR 263,306
11,220 Telemar Norte Leste S.A. 305,061
5,800 Usinas Siderurgicas de Minas
Gerais S.A. 138,078
------------
1,378,370
------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
INTERNATIONAL STOCK FUND -- PORTFOLIO OF INVESTMENTS (CONTINUED) 53
Value
Shares (Note 2)
- ------ ------------
PREFERRED STOCKS (CONTINUED)
SOUTH KOREA - 0.15%
2,450 Hyundai Motor Co. $ 157,439
------------
TOTAL PREFERRED STOCKS
(Cost $686,660) 1,535,809
------------
WARRANTS AND RIGHTS - 0.01%
INDIA - 0.01%
15,850 Hindalco Industries Ltd. Exp. 01/06/06
(Exercise Price $2.14) (L) * 12,388
------------
JAPAN - 0.00%
120 Belluna Co., Ltd. Exp. 01/06/06
(Exercise Price $34.61) (L) * 1,091
------------
TOTAL WARRANTS AND RIGHTS
(Cost $113) 13,479
------------
INVESTMENT COMPANY - 3.62%
UNITED STATES - 3.62%
3,926,734 SSgA Prime Money Market Fund 3,926,734
------------
TOTAL INVESTMENT COMPANY
(Cost $3,926,734) 3,926,734
------------
TOTAL INVESTMENTS - 99.76%
(Cost $85,081,045**) 108,220,814
------------
NET OTHER ASSETS AND LIABILITIES - 0.24% 260,878
------------
TOTAL NET ASSETS - 100.00% $108,481,692
============
* Non-income producing.
** Aggregate cost for Federal tax purposes was $85,321,407.
(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 or
at the discretion of the Board of Trustees (see note 2).
ADR American Depository Receipt.
GDR Global Depository Receipt.
PLC Public Limited Company.
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets % of Net Assets
- ---------------------------------------------------- ---------------
Banks 18.6%
Oil, Gas & Consumable Fuels 7.9%
Electronic Equipment & Instruments 5.0%
Pharmaceuticals 5.0%
Diversified Telecommunication Services 4.9%
Insurance 4.2%
Net Other Assets less Liabilities 3.8%
Automobiles 3.7%
Beverages 3.0%
Wireless Telecommunication Services 2.8%
Electrical Equipment 2.7%
Media 2.6%
Food Products 2.6%
Diversified Financial Services 2.5%
Construction Materials 2.1%
Metals & Mining 2.1%
Household Durables 2.0%
Multiline Retail 1.6%
Electric Utilities 1.6%
Semiconductors & Semiconductor Equipment 1.6%
Commercial Services & Supplies 1.5%
Air Freight & Logistics 1.5%
Tobacco 1.4%
Food & Staples Retailing 1.3%
Textiles, Apparel & Luxury Goods 1.2%
Road & Rail 1.2%
Computers & Peripherals 1.0%
Gas Utilities 1.0%
Hotels, Restaurants & Leisure 0.9%
Real Estate 0.9%
Specialty Retail 0.8%
Construction & Engineering 0.8%
Health Care Equipment & Supplies 0.7%
Chemicals 0.7%
Machinery 0.7%
Energy Equipment & Services 0.6%
IT Services 0.5%
Transportation Infrastructure 0.4%
Distributors 0.4%
Industrial Conglomerates 0.4%
Office Electronics 0.4%
Leisure Equipment & Products 0.4%
Auto Components 0.3%
Household Products 0.2%
Personal Products 0.2%
Building Products 0.2%
Internet Software & Services 0.1%
-----
100.0%
=====
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
54 STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2005
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
------------ ------------ ------------ ------------
ASSETS:
Investments in securities, at value* $95,481,089 $791,498,998 $148,553,148 $869,147,403
Cash -- -- 333,710 383
Foreign currency** -- -- -- --
Receivables:
Investments sold -- -- -- 11,387,934
Fund shares sold -- 235,139 154,795 --
Dividends and interest 361,891 5,590,502 2,409,587 3,039,010
Other assets -- 14,041 6,388 7,352
----------- ------------ ------------ ------------
Total Assets 95,842,980 797,338,680 151,457,628 883,582,082
----------- ------------ ------------ ------------
LIABILITIES:
Payables:
Investments purchased -- 24,639,438 990,076 15,393,898
Upon return of securities loaned -- 148,124,161 16,352,133 81,504,074
Fund shares redeemed 1,162,058 315,361 -- 911,812
Accrued management fees 44,014 283,914 83,364 471,415
Accrued expenses and other -- -- -- --
----------- ------------ ------------ ------------
Total Liabilities 1,206,072 173,362,874 17,425,573 98,281,199
----------- ------------ ------------ ------------
Net assets applicable to outstanding capital stock $94,636,908 $623,975,806 $134,032,055 $785,300,883
=========== ============ ============ ============
Represented by:
Capital stock and additional paid-in capital $94,636,908 $636,730,514 $134,016,012 $696,125,153
Accumulated net investment income (loss) -- 407,191 120,993 248,343
Accumulated net realized gain (loss) on investments and
foreign currency related transactions -- (13,605,405) (303,298) (4,028,246)
Unrealized appreciation of investments (including appreciation
(depreciation) of foreign currency related transactions) -- 443,506 198,348 92,955,633
----------- ------------ ------------ ------------
Total net assets - representing net assets applicable to outstanding
capital stock $94,636,908 $623,975,806 $134,032,055 $785,300,883
=========== ============ ============ ============
Number of Class Z Shares issued and outstanding 94,636,908 61,379,354 13,393,138 40,470,029
=========== ============ ============ ============
Net asset value per share of outstanding capital stock,
offering price and redemption price $ 1.00 $ 10.17 $ 10.01 $ 19.40
=========== ============ ============ ============
*Cost of Investments $95,481,089 $791,055,492 $148,354,800 $776,191,770
----------- ------------ ------------ ------------
**Cost of Foreign Currency $ -- $ -- $ -- $ --
----------- ------------ ------------ ------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
55
GROWTH AND CAPITAL APPRECIATION MID-CAP MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL
INCOME STOCK FUND STOCK FUND STOCK FUND STOCK FUND FUND STOCK FUND
- ----------------- -------------------- ------------ ---------------- ----------------- -------------
$1,271,574,044 $708,394,509 $305,352,128 $418,649,601 $43,043,843 $108,220,814
-- 389 14,700 -- -- --
-- -- -- -- 109,038 170,090
-- -- 38,424 1,439,950 37,671 262,684
107,956 62,404 316,940 -- 172,211 73,512
2,236,888 686,597 292,519 271,432 75,914 161,771
2,425 3,857 3,157 5,981 5,019 39,405
-------------- ------------ ------------ ------------ ----------- ------------
1,273,921,313 709,147,756 306,017,868 420,366,964 43,443,696 108,928,276
-------------- ------------ ------------ ------------ ----------- ------------
-- 1,180,714 171,540 671,024 16,814 320,855
32,341,500 17,555,942 30,335,353 45,072,703 937,794 --
1,072,287 1,123,221 -- 431,772 -- --
638,296 476,240 232,321 270,085 33,495 107,341
819 -- -- -- 5,933 18,388
-------------- ------------ ------------ ------------ ----------- ------------
34,052,902 20,336,117 30,739,214 46,445,584 994,036 446,584
-------------- ------------ ------------ ------------ ----------- ------------
$1,239,868,411 $688,811,639 $275,278,654 $373,921,380 $42,449,660 $108,481,692
============== ============ ============ ============ =========== ============
$1,016,837,904 $697,520,527 $220,159,087 $305,762,402 $32,956,134 $ 84,261,422
351,650 133,823 41,701 -- 44,902 (126,870)
(2,918,226) (60,905,381) 308,970 5,602,629 324,585 1,218,823
225,597,083 52,062,670 54,768,896 62,556,349 9,124,039 23,128,317
-------------- ------------ ------------ ------------ ----------- ------------
$1,239,868,411 $688,811,639 $275,278,654 $373,921,380 $42,449,660 $108,481,692
============== ============ ============ ============ =========== ============
39,207,837 34,485,115 15,912,419 55,468,682 3,298,443 8,763,956
============== ============ ============ ============ =========== ============
$ 31.62 $ 19.97 $ 17.30 $ 6.74 $ 12.87 $ 12.38
============== ============ ============ ============ =========== ============
$1,045,976,961 $656,331,839 $250,583,232 $356,093,264 $33,913,013 $ 85,081,045
-------------- ------------ ------------ ------------ ----------- ------------
$ -- $ -- $ -- $ -- $ 109,883 $ 169,351
-------------- ------------ ------------ ------------ ----------- ------------
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
56 STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 2005
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
------------ ----------- ----------- ------------
INVESTMENT INCOME:
Interest $4,170,846 $27,431,823 $ 8,966,620 $ 12,822,027
Dividends -- -- 82,214 9,751,843
Less: Foreign taxes withheld -- -- -- (9,240)
Securities lending income -- 239,785 64,980 126,421
---------- ----------- ----------- ------------
Total investment income 4,170,846 27,671,608 9,113,814 22,691,051
---------- ----------- ----------- ------------
EXPENSES:
Management fees 589,529 3,299,300 944,473 5,495,728
Trustees' fees 2,690 7,458 2,578 9,724
Audit and Tax fees 4,150 15,023 3,891 20,195
Compliance expense 2,184 3,072 2,239 2,925
Other expenses 2,480 12,625 2,208 17,470
---------- ----------- ----------- ------------
Total expenses 601,033 3,337,478 955,389 5,546,042
---------- ----------- ----------- ------------
NET INVESTMENT INCOME (LOSS) 3,569,813 24,334,130 8,158,425 17,145,009
---------- ----------- ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments (including net realized
gain (loss) on foreign currency related transactions)* -- (1,022,703) (55,467) 34,758,254
Net change in unrealized appreciation (depreciation)
on investments (including net unrealized appreciation
(depreciation) on foreign currency related transactions)** -- (8,458,566) (4,831,959) (21,835,267)
---------- ----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS -- (9,481,269) (4,887,426) 12,922,987
---------- ----------- ----------- ------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,569,813 $14,852,861 $ 3,270,999 $ 30,067,996
========== =========== =========== ============
* Includes foreign capital gains taxes paid of $1,448 and $1,433 for the
Global Securities and International Stock Funds, respectively.
** Net of deferred foreign capital gains taxes of $5,932 and $12,417 for the
Global Securities and International Stock Funds, respectively
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
57
GROWTH AND CAPITAL APPRECIATION MID-CAP MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL
INCOME STOCK FUND STOCK FUND STOCK FUND STOCK FUND FUND STOCK FUND
- ----------------- -------------------- ----------- ---------------- ----------------- -------------
$ 1,021,256 $ 518,590 $ 316,118 $ 270,307 $ 28,709 $ 80,230
27,410,679 10,934,198 3,609,278 2,197,705 613,876 2,502,029
(1,835) -- (2,809) (23,929) (34,245) (185,587)
31,819 21,764 21,226 50,292 1,918 --
----------- ------------ ----------- ----------- ---------- -----------
28,461,919 11,474,552 3,943,813 2,494,375 610,258 2,396,672
----------- ------------ ----------- ----------- ---------- -----------
7,290,748 5,508,758 2,427,324 2,900,501 327,189 1,072,032
14,209 8,736 3,646 4,913 1,633 2,151
30,430 17,943 6,322 9,220 1,734 2,916
3,871 3,072 2,443 2,587 2,107 2,198
26,411 14,919 4,342 6,878 156 1,284
----------- ------------ ----------- ----------- ---------- -----------
7,365,669 5,553,428 2,444,077 2,924,099 332,819 1,080,581
----------- ------------ ----------- ----------- ---------- -----------
21,096,250 5,921,124 1,499,736 (429,724) 277,439 1,316,091
----------- ------------ ----------- ----------- ---------- -----------
47,262,731 77,473,653 12,530,913 27,566,260 1,825,787 7,102,228
(1,814,129) (66,887,523) 10,903,068 2,972,824 2,869,918 6,148,261
----------- ------------ ----------- ----------- ---------- -----------
45,448,602 10,586,130 23,433,981 30,539,084 4,695,705 13,250,489
----------- ------------ ----------- ----------- ---------- -----------
$66,544,852 $ 16,507,254 $24,933,717 $30,109,360 $4,973,144 $14,566,580
=========== ============ =========== =========== ========== ===========
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
58 STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET BOND
FUND FUND
---------------------------- ---------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2005 2004
------------- ------------ ------------ ------------
OPERATIONS:
Net investment income $ 3,569,813 $ 1,216,811 $ 24,334,130 $ 21,970,364
Net realized gain (loss) on investments -- 4,560 (1,022,703) (1,324,964)
Net change in unrealized appreciation
(depreciation) on investments -- -- (8,458,566) (2,650,107)
------------- ------------ ------------ ------------
Increase in net assets from operations 3,569,813 1,221,371 14,852,861 17,995,293
------------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (3,569,813) (1,221,371) (25,187,481) (22,943,666)
Realized gains on investments -- -- -- --
------------- ------------ ------------ ------------
Change in net assets from distributions (3,569,813) (1,221,371) (25,187,481) (22,943,666)
------------- ------------ ------------ ------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 73,648,677 70,158,523 72,846,545 53,219,293
Net asset value of shares issued in reinvestment
of distributions 3,569,812 1,221,371 25,187,481 22,943,666
------------- ------------ ------------ ------------
77,218,489 71,379,894 98,034,026 76,162,959
Cost of shares repurchased (111,585,478) (83,751,943) (37,879,319) (49,369,882)
------------- ------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions (34,366,989) (12,372,049) 60,154,707 26,793,077
------------- ------------ ------------ ------------
Total increase (decrease) in net assets (34,366,989) (12,372,049) 49,820,087 21,844,704
------------- ------------ ------------ ------------
NET ASSETS:
Beginning of year 129,003,897 141,375,946 574,155,719 552,311,015
------------- ------------ ------------ ------------
End of year $ 94,636,908 $129,003,897 $623,975,806 $574,155,719
============= ============ ============ ============
Undistributed net investment income included in net
assets $ -- $ -- $ 407,191 $ 790,781
============= ============ ============ ============
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 73,648,677 70,158,523 6,996,067 5,048,956
Shares issued in reinvestment of distributions 3,569,812 1,221,371 2,473,567 2,226,228
------------- ------------ ------------ ------------
77,218,489 71,379,894 9,469,634 7,275,184
Shares redeemed (111,585,478) (83,751,943) (3,620,161) (4,702,045)
------------- ------------ ------------ ------------
Net increase (decrease) in shares outstanding (34,366,989) (12,372,049) 5,849,473 2,573,139
============= ============ ============ ============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
59
HIGH INCOME BALANCED GROWTH AND INCOME
FUND FUND STOCK FUND
- --------------------------- --------------------------- -------------------------------
2005 2004 2005 2004 2005 2004
- ------------ ------------ ------------ ------------ -------------- --------------
$ 8,158,425 $ 7,158,161 $ 17,145,009 $ 17,276,568 $ 21,096,250 $ 18,162,837
(55,467) 873,817 34,758,254 7,402,296 47,262,731 (918,039)
(4,831,959) 1,031,966 (21,835,267) 35,727,109 (1,814,129) 116,031,062
- ------------ ------------ ------------ ------------ -------------- --------------
3,270,999 9,063,944 30,067,996 60,405,973 66,544,852 133,275,860
- ------------ ------------ ------------ ------------ -------------- --------------
(8,189,568) (7,039,140) (17,769,981) (17,712,402) (21,292,637) (18,038,982)
-- -- -- -- -- --
- ------------ ------------ ------------ ------------ -------------- --------------
(8,189,568) (7,039,140) (17,769,981) (17,712,402) (21,292,637) (18,038,982)
- ------------ ------------ ------------ ------------ -------------- --------------
20,027,643 25,198,530 36,861,655 59,107,678 49,472,499 68,601,989
8,189,568 7,039,140 17,769,981 17,712,402 21,292,637 18,038,982
- ------------ ------------ ------------ ------------ -------------- --------------
28,217,211 32,237,670 54,631,636 76,820,080 70,765,136 86,640,971
(7,584,937) (4,184,153) (67,484,769) (45,837,921) (81,230,522) (62,768,309)
- ------------ ------------ ------------ ------------ -------------- --------------
20,632,274 28,053,517 (12,853,133) 30,982,159 (10,465,386) 23,872,662
- ------------ ------------ ------------ ------------ -------------- --------------
15,713,705 30,078,321 (555,118) 73,675,730 34,786,829 139,109,540
- ------------ ------------ ------------ ------------ -------------- --------------
118,318,350 88,240,029 785,856,001 712,180,271 1,205,081,582 1,065,972,042
- ------------ ------------ ------------ ------------ -------------- --------------
$134,032,055 $118,318,350 $785,300,883 $785,856,001 $1,239,868,411 $1,205,081,582
============ ============ ============ ============ ============== ==============
$ 120,993 $ 88,010 $ 248,343 $ 599,881 $ 351,650 $ 548,037
============ ============ ============ ============ ============== ==============
1,929,477 2,419,532 1,916,299 3,216,004 1,606,506 2,417,824
818,241 677,653 912,310 928,670 670,800 592,517
- ------------ ------------ ------------ ------------ -------------- --------------
2,747,718 3,097,185 2,828,609 4,144,674 2,277,306 3,010,341
(732,661) (406,999) (3,487,864) (2,485,291) (2,617,285) (2,203,171)
- ------------ ------------ ------------ ------------ -------------- --------------
2,015,057 2,690,186 (659,255) 1,659,383 (339,979) 807,170
============ ============ ============ ============ ============== ==============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
60 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
CAPITAL APPRECIATION MID-CAP
STOCK FUND STOCK FUND
--------------------------- ---------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2005 2004
- ------------------------------- ------------ ------------ ------------ ------------
OPERATIONS:
Net investment income (loss) $ 5,921,124 $ 5,196,254 $ 1,499,736 $ 2,213,101
Net realized gain on investments 77,473,653 36,747,922 12,530,913 9,881,213
Net change in unrealized appreciation
(depreciation) on investments (66,887,523) 14,394,457 10,903,068 16,109,310
------------ ------------ ------------ ------------
Increase in net assets from operations 16,507,254 56,338,633 24,933,717 28,203,624
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (6,310,154) (4,762,955) (1,627,429) (1,964,713)
Realized gains on investments -- -- (13,318,365) (3,150,100)
------------ ------------ ------------ ------------
Change in net assets from distributions (6,310,154) (4,762,955) (14,945,794) (5,114,813)
------------ ------------ ------------ ------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 31,909,564 54,919,015 45,306,662 43,440,149
Net asset value of shares issued in
reinvestment of distributions 6,310,154 4,762,955 14,945,794 5,114,813
------------ ------------ ------------ ------------
38,219,718 59,681,970 60,252,456 48,554,962
Cost of shares repurchased (53,366,921) (35,098,751) (13,021,409) (12,282,215)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
from capital share transactions (15,147,203) 24,583,219 47,231,047 36,272,747
------------ ------------ ------------ ------------
Total increase (decrease) in net assets (4,950,103) 76,158,897 57,218,970 59,361,558
------------ ------------ ------------ ------------
NET ASSETS:
Beginning of year 693,761,742 617,602,845 218,059,684 158,698,126
------------ ------------ ------------ ------------
End of year $688,811,639 $693,761,742 $275,278,654 $218,059,684
============ ============ ============ ============
Undistributed net investment income included in
net assets $ 133,823 $ 522,853 $ 41,701 $ 209,682
============ ============ ============ ============
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 1,621,706 2,969,351 2,659,915 2,818,998
Shares issued in reinvestment of distributions 313,847 242,123 858,822 309,034
------------ ------------ ------------ ------------
1,935,553 3,211,474 3,518,737 3,128,032
Shares redeemed (2,698,813) (1,910,924) (755,653) (805,044)
------------ ------------ ------------ ------------
Net increase (decrease) in shares outstanding (763,260) 1,300,550 2,763,084 2,322,988
============ ============ ============ ============
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
61
MULTI-CAP GROWTH GLOBAL SECURITIES INTERNATIONAL STOCK
STOCK FUND FUND FUND
- --------------------------- ------------------------- --------------------------
2005 2004 2005 2004 2005 2004
- ------------- ------------ ----------- ----------- ------------ -----------
$ (429,724) $ 108,826 $ 277,439 $ 137,788 $ 1,316,091 $ 759,288
27,566,260 15,884,838 1,825,787 955,799 7,102,228 4,696,572
2,972,824 22,531,530 2,869,918 3,252,956 6,148,261 7,609,319
- ------------ ------------ ----------- ----------- ------------ -----------
30,109,360 38,525,194 4,973,144 4,346,543 14,566,580 13,065,179
- ------------ ------------ ----------- ----------- ------------ -----------
(2,416) (104,600) (281,616) (60,400) (1,238,822) (935,800)
(33,333,764) (9,996,293) (446,500) -- (5,789,722) --
- ------------ ------------ ----------- ----------- ------------ -----------
(33,336,180) (10,100,893) (728,116) (60,400) (7,028,544) (935,800)
- ------------ ------------ ----------- ----------- ------------ -----------
30,180,099 41,631,056 10,785,227 9,116,708 26,432,320 11,086,320
33,336,180 10,100,893 728,116 60,400 7,028,544 935,800
- ------------ ------------ ----------- ----------- ------------ -----------
63,516,279 51,731,949 11,513,343 9,177,108 33,460,864 12,022,120
(23,041,233) (12,411,692) (3,288,184) (1,574,680) (10,993,782) (2,280,833)
- ------------ ------------ ----------- ----------- ------------ -----------
40,475,046 39,320,257 8,225,159 7,602,428 22,467,082 9,741,287
- ------------ ------------ ----------- ----------- ------------ -----------
37,248,226 67,744,558 12,470,187 11,888,571 30,005,118 21,870,666
- ------------ ------------ ----------- ----------- ------------ -----------
336,673,154 268,928,596 29,979,473 18,090,902 78,476,574 56,605,908
- ------------ ------------ ----------- ----------- ------------ -----------
$373,921,380 $336,673,154 $42,449,660 $29,979,473 $108,481,692 $78,476,574
============ ============ =========== =========== ============ ===========
$ -- $ 2,416 $ 44,902 $ 76,416 $ (126,870) $ (266,657)
============ ============ =========== =========== ============ ===========
4,512,208 6,436,576 914,007 900,050 2,174,329 1,109,597
4,941,013 1,584,023 56,585 5,275 564,730 82,835
- ------------ ------------ ----------- ----------- ------------ -----------
9,453,221 8,020,599 970,592 905,325 2,739,059 1,192,432
(3,465,269) (1,910,726) (280,836) (157,063) (885,684) (215,745)
- ------------ ------------ ----------- ----------- ------------ -----------
5,987,952 6,109,873 689,756 748,262 1,853,375 976,687
============ ============ =========== =========== ============ ===========
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
62 FINANCIAL HIGHLIGHTS
MONEY MARKET FUND
----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.03 0.01 0.01 0.01 0.04
Net Realized and Unrealized Gain (Loss) -- 0.00(1) 0.00(1) 0.00(1) --
------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 0.03 0.01 0.01 0.01 0.04
------- -------- -------- -------- --------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.03) (0.01) (0.01) (0.01) (0.04)
------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======== ======== ======== ========
TOTAL RETURN** 2.78% 0.92% 0.75% 1.50% 3.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $94,637 $129,004 $141,376 $177,443 $174,261
Ratio of Expenses to Average Net Assets 0.46% 0.45% 0.45% 0.45% 0.46%
Ratio of Net Investment Income to Average Net Assets 2.73% 0.90% 0.75% 1.45% 3.51%
BOND FUND
----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 10.34 $ 10.43 $ 10.59 $ 10.20 $ 10.15
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.42 0.42 0.46 0.54 0.62
Net Realized and Unrealized Gain (Loss) (0.16) (0.07) (0.14) 0.32 0.23
-------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 0.26 0.35 0.32 0.86 0.85
-------- -------- -------- -------- --------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.43) (0.44) (0.48) (0.47) (0.59)
Return of Capital -- -- -- -- (0.21)
-------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (0.43) (0.44) (0.48) (0.47) (0.80)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 10.17 $ 10.34 $ 10.43 $ 10.59 $ 10.20
======== ======== ======== ======== ========
TOTAL RETURN** 2.51% 3.36% 3.05% 8.55% 8.32%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $623,976 $574,156 $552,311 $553,494 $384,837
Ratio of Expenses to Average Net Assets 0.56% 0.55% 0.55% 0.55% 0.55%
Ratio of Net Investment Income to Average Net Assets 4.06% 4.02% 4.29% 5.14% 5.91%
Portfolio Turnover 51% 67% 82% 78% 112%
- ----------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
(1) Amount represents less than $0.005 per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
FINANCIAL HIGHLIGHTS 63
HIGH INCOME FUND
----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF YEAR $ 10.40 $ 10.16 $ 9.04 $ 9.41 $ 9.86
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.68 0.74 0.72 0.71 0.84
Net Realized and Unrealized Gain (Loss) (0.42) 0.16 0.93 (0.44) (0.51)
-------- -------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS 0.26 0.90 1.65 0.27 0.33
-------- -------- ------- ------- -------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.65) (0.66) (0.53) (0.64) (0.78)
-------- -------- ------- ------- -------
TOTAL DISTRIBUTIONS (0.65) (0.66) (0.53) (0.64) (0.78)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF YEAR $ 10.01 $ 10.40 $ 10.16 $ 9.04 $ 9.41
======== ======== ======= ======= =======
TOTAL RETURN** 2.51% 8.92% 18.46% 3.06% 3.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $134,032 $118,318 $88,240 $25,850 $17,496
Ratio of Expenses to Average Net Assets 0.76% 0.76% 0.75% 0.76% 0.77%
Ratio of Net Investment Income to Average Net Assets 6.47% 7.08% 7.29% 7.64% 8.41%
Portfolio Turnover 86%(2) 58% 45% 38% 34%
BALANCED FUND
-------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 19.11 $ 18.04 $ 15.85 $ 18.42 $ 20.45
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.42 0.43 0.45 0.53 0.58
Net Realized and Unrealized Gain (Loss) 0.32 1.08 2.18 (2.58) (1.23)
-------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 0.74 1.51 2.63 (2.05) (0.65)
-------- -------- -------- -------- --------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.45) (0.44) (0.44) (0.52) (0.57)
Distributions from Net Realized Gains -- -- -- (0.00)(1) (0.81)
-------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (0.45) (0.44) (0.44) (0.52) (1.38)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 19.40 $ 19.11 $ 18.04 $ 15.85 $ 18.42
======== ======== ======== ======== ========
TOTAL RETURN** 3.89% 8.34% 16.82% (11.13)% (3.07)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $785,301 $785,856 $712,180 $592,243 $679,548
Ratio of Expenses to Average Net Assets 0.71% 0.70% 0.70% 0.70% 0.70%
Ratio of Net Investment Income to Average Net Assets 2.18% 2.34% 2.66% 3.12% 3.04%
Portfolio Turnover 52% 38% 39% 50% 52%
- ----------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
(1) Amount represents less than $0.005 per share.
(2) Subadvisor change February 28, 2005.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
64 FINANCIAL HIGHLIGHTS
GROWTH AND INCOME STOCK FUND
------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- ---------- ---------- ---------- -------- ----------
NET ASSET VALUE, BEGINNING OF YEAR $ 30.47 $ 27.52 $ 22.20 $ 28.73 $ 33.41
---------- ---------- ---------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.54 0.46 0.40 0.35 0.31
Net Realized and Unrealized Gain (Loss) 1.16 2.95 5.31 (6.53) (3.88)
---------- ---------- ---------- -------- ----------
TOTAL FROM INVESTMENT OPERATIONS 1.70 3.41 5.71 (6.18) (3.57)
---------- ---------- ---------- -------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.55) (0.46) (0.39) (0.35) (0.31)
Distributions from Net Realized Gains -- -- -- -- (0.79)
Return of Capital -- -- -- -- (0.01)
---------- ---------- ---------- -------- ----------
TOTAL DISTRIBUTIONS (0.55) (0.46) (0.39) (0.35) (1.11)
---------- ---------- ---------- -------- ----------
NET ASSET VALUE, END OF YEAR $ 31.62 $ 30.47 $ 27.52 $ 22.20 $ 28.73
========== ========== ========== ======== ==========
TOTAL RETURN** 5.58% 12.43% 25.89% (21.55)% (10.71)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $1,239,868 $1,205,082 $1,065,972 $764,895 $1,031,655
Ratio of Expenses to Average Net Assets 0.61% 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income to Average Net Assets 1.74% 1.67% 1.69% 1.39% 1.05%
Portfolio Turnover 28% 15% 17% 18% 21%
CAPITAL APPRECIATION STOCK FUND
----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 19.68 $ 18.19 $ 14.15 $ 20.70 $ 26.39
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.17 0.15 0.07 0.04 0.02
Net Realized and Unrealized Gain (Loss) 0.30 1.48 4.05 (6.54) (2.37)
-------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.63 4.12 (6.50) (2.35)
-------- -------- -------- -------- --------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.18) (0.14) (0.08) (0.04) (0.02)
Distributions from Net Realized Gains -- -- -- (0.01) (3.32)
-------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (0.18) (0.14) (0.08) (0.05) (3.34)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 19.97 $ 19.68 $ 18.19 $ 14.15 $ 20.70
======== ======== ======== ======== ========
TOTAL RETURN** 2.42% 8.94% 29.13% (31.41)% (9.11)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $688,812 $693,762 $617,603 $592,512 $871,111
Ratio of Expenses to Average Net Assets 0.81% 0.80% 0.80% 0.80% 0.80%
Ratio of Net Investment Income to Average Net Assets 0.86% 0.82% 0.47% 0.25% 0.10%
Portfolio Turnover 73% 26% 29% 27% 28%
- ----------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
FINANCIAL HIGHLIGHTS 65
MID-CAP STOCK FUND
----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 16.58 $ 14.66 $ 11.22 $ 13.94 $ 13.77
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* 0.11 0.18 0.07 0.07 0.05
Net Realized and Unrealized Gain (Loss) 1.61 2.14 3.43 (2.51) 1.39
-------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 1.72 2.32 3.50 (2.44) 1.44
-------- -------- -------- -------- --------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.11) (0.15) (0.06) (0.06) (0.11)
Distributions from Net Realized Gains (0.89) (0.25) -- (0.22) (1.16)
-------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (1.00) (0.40) (0.06) (0.28) (1.27)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 17.30 $ 16.58 $ 14.66 $ 11.22 $ 13.94
======== ======== ======== ======== ========
TOTAL RETURN** 10.32% 15.86% 31.21% (17.41)% 11.16%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $275,279 $218,060 $158,698 $102,589 $105,414
Ratio of Expenses to Average Net Assets 1.01% 1.00% 1.00% 1.01% 1.01%
Ratio of Net Investment Income to Average Net Assets 0.62% 1.20% 0.57% 0.54% 0.40%
Portfolio Turnover 29% 25% 22% 33% 42%
MULTI-CAP GROWTH STOCK FUND
-------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- -------- -------- --------- -------
NET ASSET VALUE, BEGINNING OF YEAR $ 6.80 $ 6.20 $ 4.67 $ 6.24 $ 9.04
-------- -------- -------- --------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income (Loss) * (0.01) 0.00(1) (0.01) (0.00)(1) (0.00)(1)
Net Realized and Unrealized Gain (Loss) 0.59 0.81 1.57 (1.57) (2.79)
-------- -------- -------- --------- -------
TOTAL FROM INVESTMENT OPERATIONS 0.58 0.81 1.56 (1.57) (2.79)
-------- -------- -------- --------- -------
DISTRIBUTIONS:
Distributions from Net Investment Income -- (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1)
Distributions from Net Realized Gains (0.64) (0.21) (0.03) -- --
Return of Capital -- -- -- -- (0.01)
-------- -------- -------- --------- -------
TOTAL DISTRIBUTIONS (0.64) (0.21) (0.03) (0.00)(1) (0.01)
-------- -------- -------- --------- -------
NET ASSET VALUE, END OF YEAR $ 6.74 $ 6.80 $ 6.20 $ 4.67 $ 6.24
======== ======== ======== ========= =======
TOTAL RETURN** 8.75% 13.41% 33.41% (25.21)% (30.89)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $373,921 $336,673 $268,929 $ 75,503 $13,923
Ratio of Expenses to Average Net Assets 0.86% 0.85% 0.85% 0.86% 0.87%
Ratio of Net Investment Income to Average Net Assets (0.13)% 0.04% (0.19)% 0.03% (0.07)%
Portfolio Turnover 88% 77% 118% 157% 204%
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
(1) Amount represents less than $0.005 per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
66 FINANCIAL HIGHLIGHTS
GLOBAL SECURITIES FUND
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- ------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF YEAR
INCOME FROM INVESTMENT OPERATIONS: $ 11.49 $ 9.72 $ 6.94 $ 8.91 $ 9.96
------- ------- ------- ------- -------
Net Investment Income* 0.09 0.06 0.05 0.04 0.04
Net Realized and Unrealized Gain (Loss) 1.52 1.73 2.80 (1.98) (1.06)
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS 1.61 1.79 2.85 (1.94) (1.02)
------- ------- ------- ------- -------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.09) (0.02) (0.07) (0.03) (0.03)
Distributions from Net Realized Gains (0.14) -- -- -- --
Return of Capital -- -- -- -- (0.00)(1)
------- ------- ------- ------- -------
TOTAL DISTRIBUTIONS (0.23) (0.02) (0.07) (0.03) (0.03)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF YEAR $ 12.87 $ 11.49 $ 9.72 $ 6.94 $ 8.91
======= ======= ======= ======= =======
TOTAL RETURN** 13.97% 18.42% 41.24% (21.77)% (10.32)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $42,450 $29,979 $18,091 $10,174 $11,488
Ratio of Expenses to Average Net Assets 0.97% 0.96% 0.96% 0.96% 0.97%
Ratio of Net Investment Income to Average Net Assets 0.80% 0.60% 0.66% 0.55% 0.45%
Portfolio Turnover 27% 18% 35% 37% 38%
INTERNATIONAL STOCK FUND
-------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2005 2004 2003 2002 2001
- ------------------------------- -------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF YEAR
INCOME FROM INVESTMENT OPERATIONS: $ 11.36 $ 9.54 $ 7.19 $ 7.89 $ 9.73
-------- ------- ------- ------- -------
Net Investment Income* 0.17 0.12 0.11 0.09 0.07
Net Realized and Unrealized Gain (Loss) 1.71 1.84 2.30 (0.72) (1.86)
-------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS 1.88 1.96 2.41 (0.63) (1.79)
-------- ------- ------- ------- -------
DISTRIBUTIONS:
Distributions from Net Investment Income (0.15) (0.14) (0.05) (0.07) (0.01)
Distributions from Net Realized Gains (0.71) -- -- -- --
Return of Capital -- -- (0.01) -- (0.04)
-------- ------- ------- ------- -------
TOTAL DISTRIBUTIONS (0.86) (0.14) (0.06) (0.07) (0.05)
-------- ------- ------- ------- -------
NET ASSET VALUE, END OF YEAR $ 12.38 $ 11.36 $ 9.54 $ 7.19 $ 7.89
======== ======= ======= ======= =======
TOTAL RETURN** 16.53% 20.48% 33.61% (7.98)% (18.46)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Year (in 000's) $108,482 $78,477 $56,606 $19,959 $18,977
Ratio of Expenses to Average Net Assets 1.21% 1.21% 1.21% 1.21% 1.22%
Ratio of Net Investment Income to Average Net Assets 1.47% 1.16% 1.38% 1.15% 0.78%
Portfolio Turnover 52% 46% 33% 38% 47%
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
(1) Amount represents less than $0.005 per share.
See accompanying Notes to Financial Statements.
ANNUAL REPORT DECEMBER 31, 2005
NOTES TO FINANCIAL STATEMENTS 67
1. DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Fund
is a series fund with ten investment portfolios (the "funds"), each with
different investment objectives and policies. The Declaration of Trust
permits the trustees to issue an unlimited number of full and fractional
shares of the Trust without par value. As of the date of this report, the
trustees have authorized the issuance of one class of shares of the funds
designated as Class Z. Class Z shares are offered to separate accounts (the
"Accounts") of CUNA Mutual Life Insurance Company and to qualified pension
and retirement plans of CUNA Mutual Life Insurance Company or its
affiliates ("CUNA Mutual Group"). The Fund may, in the future, offer other
share classes to separate accounts of insurance companies and to qualified
pension and retirement plans that are not affiliated with CUNA Mutual
Group. The Fund does not offer shares directly to the general public.
The Fund has entered into an agreement with CUNA Mutual Life Insurance
Company setting forth the terms and conditions pursuant to which the
Accounts purchase and redeem shares of the funds. Investments in the Fund
by the Accounts are made through either variable annuity or variable life
insurance contracts. Net purchase payments under the variable contracts are
placed in one or more subaccounts of the Accounts, and the assets of each
subaccount are invested (without sales or redemption charges) in shares of
the fund corresponding to that subaccount. Fund shares are sold and
redeemed at a price equal to the shares' net asset value. The assets of
each fund are held separate from the assets of the other funds.
The Fund has entered into a management agreement with MEMBERS Capital
Advisors, Inc. (the "Investment Advisor"), an affiliated company, whereby
the Investment Advisor provides or has arranged to provide directly or
through third parties, investment advisory, custody, transfer agency,
dividend disbursing, legal, accounting, and administrative services to the
funds ("Management Agreement"). 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
Stock Fund, Global Securities Fund, International Stock Fund and a portion
of the Mid-Cap 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 reporting period. Actual results
could differ from those estimates. The following is a summary of
significant accounting policies consistently followed by each fund in the
preparation of its financial statements.
PORTFOLIO VALUATION
Securities and other investments are valued as follows: Equity securities
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 Fund 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 Money Market Fund
are valued on an amortized cost basis.
Over-the-counter securities not quoted on NASDAQ are valued at the last
sale price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and
asked prices. Over-the-counter options are valued based upon prices
provided by market makers in such securities or dealers in such currencies.
Financial futures contracts generally are valued at the settlement price
established by the exchange on which the contracts are primarily traded.
The Investment 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.
ANNUAL REPORT DECEMBER 31, 2005
68 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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) 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 Fund.
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 its 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.
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 December 31, 2005,
none of the funds had open repurchase agreements.
The Fund has established a procedure providing that the securities serving
as collateral for each repurchase agreement must be delivered to the Fund's
custodian either physically or in book-entry form and that the collateral
must be marked to market daily to ensure that the 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 it rights.
FOREIGN CURRENCY TRANSACTIONS
The books and records are maintained in U.S. dollars. Foreign currency
denominated transactions (i.e. market value of investment securities,
assets and liabilities, purchases and sales of investment securities, and
income and expenses) are translated into U.S. dollars at the current rate
of exchange.
The High Income, Mid-Cap Stock, Multi-Cap Growth Stock, Global Securities
and International Stock Funds report certain foreign currency-related
transactions as components of realized gains or losses for financial
reporting purposes, whereas such components are treated as ordinary income
for federal income tax purposes.
ANNUAL REPORT DECEMBER 31, 2005
NOTES TO FINANCIAL STATEMENTS (CONTINUED) 69
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 are due to changes in market prices of securities. Such amounts are
categorized as gain or loss on investments for financial reporting
purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Each fund, except the Money Market 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. As of December 31,
2005, none of the funds had 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.
FUTURES CONTRACTS
Each fund, except the Money Market 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 December 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. As of
December 31, 2005, the Bond Fund, High Income Fund and Balanced Fund
entered into such transactions, the market values of which are identified
in each 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, distributions from
real estate investment trusts, and passive foreign investment companies.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Fund has entered into a Management Agreement with the Investment
Advisor. For services under the Management Agreement, the Investment
Advisor is entitled to receive a management fee, which is calculated daily
and paid monthly, at an annual rate based upon the following percentages of
average daily net assets: .45% for the Money Market Fund, .55% for the Bond
Fund, .75% for the High Income Fund, .70% for the Balanced Fund, .60% for
the Growth and Income Stock Fund, .80%
ANNUAL REPORT DECEMBER 31, 2005
70 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
for the Capital Appreciation Stock Fund, 1.00% for the Mid-Cap Stock Fund,
.85% for the Multi-Cap Growth Stock Fund, .95% for the Global Securities
Fund, and 1.20% for the International Stock Fund.
In addition to the management fee, the Fund is responsible for fees of the
disinterested trustees, brokerage commissions and other expenses incurred
in connection with the acquisition or disposition of investments, costs of
borrowing money, expenses for independent audits, tax, compliance and
extraordinary expenses as approved by a majority of the disinterested
trustees.
The Investment Advisor is solely responsible for the payment of all fees to
the Subadvisors. The Subadvisors for the funds are Shenkman Capital
Management, Inc. for the High Income Fund, Wellington Management Company,
LLP for a portion of the Mid-Cap Stock Fund and the entire Multi-Cap Growth
Stock Fund, Oppenheimer Funds, Inc. for the Global Securities Fund, and
Lazard Asset Management LLC for the International Stock Fund. The
Investment Advisor manages the other portion of the Mid-Cap Stock Fund,
Bond Fund, Balanced Fund, Capital Appreciation Fund, Growth and Income
Fund, and the Money Market Fund.
Unaffiliated trustees receive from the Fund an attendance fee for each
Board or committee meeting attended, with an additional remuneration paid
to the "lead" trustee and audit committee chair.
All shares are distributed through CUNA Brokerage Service, Inc. ("CUNA
Brokerage"), an affiliated company, pursuant to a distribution agreement
between the Trust and CUNA Brokerage. CUNA Brokerage's principal place of
business is located at 5910 Mineral Point Road, Madison, WI 53705.
4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to the Money Market Fund, dividends from net investment income
and net realized gains are declared and reinvested daily in additional full
and fractional shares of the Money Market Fund. The Bond Fund, High Income
Fund, Balanced Fund, Growth and Income Stock Fund, Capital Appreciation
Stock Fund, Mid-Cap Stock Fund, Multi-Cap Growth Stock Fund, Global
Securities Fund and the International Stock Fund declare and reinvest
dividends from net investment income annually in additional full and
fractional shares of the respective funds. Distributions from net realized
gains from investment transactions, if any, are distributed and reinvested
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 may differ from book amounts earned during the period due to
differences in the timing of capital gains recognition, and due to the
reclassification of certain gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the year ended December 31, 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 $274,607,519 $231,543,992 $ 87,178,046 $ 59,321,907
High Income -- -- 120,772,399 97,662,869
Balanced 100,197,506 129,296,051 293,330,187 267,071,926
Growth & Income Stock -- -- 333,488,457 329,302,212
Capital Appreciation Stock -- -- 493,171,234 500,096,085
Mid-Cap Stock -- -- 103,048,459 68,691,741
Multi-Cap Growth Stock -- -- 299,422,092 291,580,370
Global Securities -- -- 16,592,534 8,879,299
International Stock -- -- 59,766,007 45,100,153
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the Multi-Cap
Growth Fund, Global Securities Fund, and International Stock Fund
anticipate having significant investments in such securities, and the
Money Market 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,
ANNUAL REPORT DECEMBER 31, 2005
NOTES TO FINANCIAL STATEMENTS (CONTINUED) 71
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 Money Market Fund, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company
("State Street"). Under the terms of the Agreement, the funds may lend
portfolio securities to qualified borrowers in order to earn additional
income. The Agreement requires that loans are collateralized at all times
by cash or other liquid assets at least equal to 102% of the value of the
securities, which is determined on a daily basis. At December 31, 2005,
cash collateral received for funds engaged in securities lending was
invested in the State Street Navigator Securities Lending Prime Portfolio.
Additionally, the Bond and Balanced Funds received non-cash collateral,
which they are not permitted to sell or repledge, in the amounts of
$1,463,943 and $292,900, respectively. The value of all cash collateral is
included within the Portfolio of Investments with an offsetting liability,
payable upon return of securities loaned, reflected on the Statements of
Assets and Liabilities.
Amounts earned as interest on investments of cash collateral, net of
rebates and fees, are included in the Statements of Operations. The value
of securities on loan at December 31, 2005 is as follows:
VALUE OF SECURITIES ON LOAN
---------------------------
Bond $146,582,444
High Income 16,018,733
Balanced 80,117,754
Growth and Income Stock 31,558,878
Capital Appreciation Stock 17,116,329
Mid-Cap Stock 29,638,464
Multi-Cap Growth Stock 44,002,630
Global Securities 909,725
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.
8. TAX INFORMATION
The tax character of distributions paid during the years ended December 31,
2005 and 2004 was as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAINS
------------------------- ------------------------
2005 2004 2005 2004
----------- ----------- ----------- ----------
Money Market $ 3,569,813 $ 1,221,371 $ -- $ --
Bond 25,187,481 22,943,666 -- --
High Income 8,189,568 7,039,140 -- --
Balanced 17,769,981 17,712,402 -- --
Growth and Income Stock 21,292,637 18,038,982 -- --
Capital Appreciation Stock 6,310,154 4,762,955 -- --
Mid-Cap Stock 4,471,729 1,964,713 10,474,065 3,150,100
Multi-Cap Growth Stock 4,177,886 2,802,726 29,158,294 7,298,167
Global Securities 281,616 60,400 446,500 --
International Stock 1,689,222 935,800 5,339,322 --
ANNUAL REPORT DECEMBER 31, 2005
72 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of December 31, 2005, the components of distributable earnings on a tax
basis were as follows:
ORDINARY INCOME LONG-TERM CAPITAL GAINS
--------------- -----------------------
Money Market $ -- $ --
Bond 407,191 --
High Income 120,993 --
Balanced 248,343 --
Growth and Income Stock 351,650 --
Capital Appreciation Stock 133,823 --
Mid-Cap Stock 123,521 318,450
Multi-Cap Growth Stock 1,379,617 4,581,519
Global Securities 120,223 588,912
International Stock 935,903 420,940
For federal income tax purposes, the funds listed below have capital loss
carryovers as of December 31, 2005, which are available to offset future
capital gains, if any:
CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING
IN 2007 IN 2008 IN 2009 IN 2010 IN 2011 IN 2012 IN 2013
--------- ---------- --------- ---------- ----------- ---------- ----------
Bond $235,991 $7,577,224 $-- $1,857,702 $ 104,606 $1,560,242 $1,445,891
High Income -- -- -- 127,582 -- -- 147,682
Balanced -- -- -- -- 2,061,005 -- --
Growth & Income Stock -- -- -- -- 1,844,912 918,038 --
Capital Appreciation Stock -- -- -- 2,145,414 58,744,910 -- --
After October 31, 2005, the following funds had capital and currency losses
in the following amounts:
POST-OCTOBER CURRENCY LOSSES
----------------------------
Global Securities $ 4,712
International Stock 24,620
For federal income tax purposes, these amounts are deferred and deemed to
have occurred in the next fiscal year.
At December 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:
APPRECIATION DEPRECIATION NET
------------ ------------ ------------
Bond $ 6,124,781 $ (6,505,023) $ (380,242)
High Income 1,710,750 (1,540,436) 170,314
Balanced 101,184,036 (10,195,644) 90,988,392
Growth and Income Stock 253,399,356 (27,957,547) 225,441,809
Capital Appreciation Stock 69,453,968 (17,406,355) 52,047,613
Mid-Cap Stock 59,549,519 (4,871,923) 54,677,596
Multi-Cap Growth Stock 63,936,449 (1,738,619) 62,197,830
Global Securities 9,267,420 (471,666) 8,795,754
International Stock 24,142,372 (1,242,965) 22,899,407
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
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
ANNUAL REPORT DECEMBER 31, 2005
NOTES TO FINANCIAL STATEMENTS (CONTINUED) 73
being hedged. The High Income Fund, Multi-Cap Growth Stock Fund,
International Stock Fund, and the Global Securities Fund enter into these
contracts primarily to protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily
found in U.S. markets. These include risks associated with adverse changes
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 ratings agencies (so-called "junk bonds"). These securities
generally involve more credit risk than securities in the higher rating
categories. In addition, the trading market for high yield securities may
be relatively less liquid than the market for higher-rated securities. The
fund generally invests at least 80% of its assets in high yield securities.
ANNUAL REPORT DECEMBER 31, 2005
74 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
of Ultra Series Fund:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments of Ultra Series Fund ("the Funds"), comprising
Money Market Fund, Bond Fund, High Income Fund, Balanced Fund, Growth and Income
Stock Fund, Capital Appreciation Stock Fund, Mid-Cap Stock Fund, Multi-Cap
Growth Stock Fund, Global Securities Fund, and International Stock Fund as of
December 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 December 31, 2004 were audited by other auditors
whose report, dated February 13, 2004, 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 December 31, 2005, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios constituting the Ultra Series Fund as of December 31, 2005,
the results of their operations for the year then ended and 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
February 14, 2006
ANNUAL REPORT DECEMBER 31, 2005
OTHER INFORMATION (UNAUDITED) 75
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the SEC's website at www.sec.gov Form N-Q may also
be reviewed and copied at the Commission's Public Reference Room in Washington,
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 Fund to vote proxies
related to portfolio securities is available to shareholders at no cost on the
SEC's website at www.sec.gov or by calling CUNA Mutual Life Insurance Company at
1-800-798-5500. 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 SEC's website at www.sec.gov.
BOARD OF TRUSTEES' ANNUAL APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY
AGREEMENTS
Under the Investment Company Act, each fund's investment advisory agreement, and
any subadvisory agreement, must be approved at least annually by the fund's
board of trustees, including a majority of the trustees who are not "interested
persons" under the Act.
The board of trustees of Ultra Series Fund's portfolios (the "Funds") reviews
the performance of the Funds and their investment advisor and subadvisors at
each regular board meeting. At these meetings, the board also receives updates
concerning the investment strategies being pursued by the Funds, changes in the
Funds' investment processes and portfolio management personnel, the expenses
incurred by the Funds, and various other matters which may impact the Funds'
performance and that of their investment advisor and subadvisors.
In addition, the board of trustees considers the formal approval of the Funds'
investment advisory and subadvisory agreements at an in-person meeting held in
December of each year. The most recent such meeting was held December 2, 2005.
Prior to this meeting, the board of trustees requested that the Funds'
investment advisor and subadvisors provide written information addressing
factors to be considered by the trustees in deciding whether or not to approve
the agreements. In addition, counsel to the independent trustees provided the
trustees with a memorandum reviewing their duties under the Investment Company
Act and state law with respect to approval of the agreements, and he discussed
the substance of this memorandum with the independent trustees before the
December 2 meeting.
At the December 2 meeting, representatives of the investment advisor reviewed
the written information it had provided and responded to questions from trustees
concerning this information and related matters. In addition, at this meeting
representatives of each subadvisor responded to follow-up questions concerning
their materials which the trustees and investment advisor provided to them
before the meeting. Following these presentations and discussions, the board of
trustees unanimously approved the investment advisory agreement and each
subadvisory agreement at the December 2 meeting. In determining to approve these
agreements, the board of trustees considered the following factors and reached
the following conclusions:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY THE INVESTMENT ADVISOR AND
SUBADVISORS: The trustees received and considered a variety of information
pertaining to the nature, extent and quality of the services provided and
proposed to be provided by the investment advisor and subadvisors. This
information included professional qualifications and experience of the portfolio
management teams for each Fund; the portfolio management processes utilized by
these teams; the organization, resources and research capabilities of the
investment management companies of which these teams are a part; and the
investment advisor's and subadvisors' compliance, regulatory and litigation
experience, their portfolio transaction execution policies and practices, and
their policies and procedures for allocating transactions among accounts. In the
course of this review, the board of trustees particularly noted that the
investment advisor retained a new Chief Investment Officer ("CIO") in September
2005, and the board considered enhancements to the advisor's investment
processes and personnel which the new CIO has implemented and plans to
implement. After reviewing this information and discussing it with
representatives of the investment advisor and subadvisors, the board of trustees
concluded that it was generally satisfied with the nature, extent and quality of
the services provided and to be provided by the investment advisor and
subadvisors and that these services compare satisfactorily to those provided by
others in the industry.
INVESTMENT PERFORMANCE OF THE FUNDS AND THEIR INVESTMENT ADVISOR AND
SUBADVISORS: As noted above, the Funds' board of trustees reviews the
performance of the Funds and their investment advisor and subadvisors at each
regular board meeting held throughout the year. In addition, at the board's
December 2 meeting, the trustees reviewed the Funds' performance compared to (i)
the performance of the Funds' respective unmanaged benchmarks, which also are
used for comparative purposes in the Funds' annual
ANNUAL REPORT DECEMBER 31, 2005
76 OTHER INFORMATION (UNAUDITED) (CONTINUED)
and semi-annual reports to shareholders, and (ii) the performance of the other
funds which Morningstar considers to be "peer" funds in its published reports.
Morningstar, Inc., an investment research and reporting company, compiles and
analyzes stock, mutual fund and variable annuity data, including performance
ratings and rankings.
The trustees also considered written discussions which the investment advisor
or, in the case of the subadvised funds, the subadvisor provided to them
regarding the major elements of each Fund's investment strategy which
contributed positively or negatively to the Fund's performance during the
preceding year, as well as the steps which have been or will be taken in order
to improve performance where appropriate. In the case of the investment advisor,
these steps included the enhancements, noted above, which the advisor's CIO has
implemented and plans to implement.
Among other things, the trustees noted that six of the ten funds outperformed
their Morningstar peer group medians on a trailing one-year basis as of
September 30, 2005, and that an additional two funds ranked in the middle third
of their Morningstar peer groups for this period. They also noted that eight
funds outperformed their Morningstar peer group medians on a calendar
year-to-date basis through October 31, 2005, and that a ninth fund was in the
middle third of its peer group for this period. The only fund which ranked in
the bottom third of its Morningstar peer group for both periods was Capital
Appreciation Stock Fund. With respect to this fund, the trustees engaged in a
dialogue with the investment advisor's new CIO concerning the advisor's plans
for improving its performance. Based on these reviews and discussions, the
trustees concluded that they were comfortable with the fund's performance or
with the steps which the investment advisor intends to take to improve their
performance.
COST OF SERVICES PROVIDED AND PROFITABILITY: At the December 2 meeting, the
trustees reviewed a written presentation by the Funds' investment advisor
setting forth, on a fund-by-fund basis, the advisor's revenues, expenses, and
pre-tax profitability under its investment advisory agreements with the Funds.
The trustees also reviewed the methodology which the advisor used to allocate
revenues and expenses for purposes of this presentation. In the course of their
review, the trustees noted that the pre-tax margins reported by the advisor
appeared reasonable and were lower than the margins which have been upheld in
reported judicial decisions concerning investment advisory fees. They also noted
the advisor's representation that it expects to incur significant new expenses
over the coming year as it enhances its investment personnel and systems.
The trustees also considered how each fund's total expense ratio compares to
those of the other funds in its Morningstar peer group (excluding, in the case
of Capital Appreciation Stock Fund, index funds which the advisor did not deem
to be comparable from an expense standpoint). Because the Funds are so-called
"unitary fee" funds which pay a single fee which covers both investment advisory
and most other administrative services, the trustees did not consider
comparative Morningstar data pertaining to investment advisory fees standing
alone. The trustees noted that five of the ten funds' total expense ratios
ranked in the first or second quintiles of their Morningstar peer groups (with
the first quintile including the 20% of funds with the lowest total expense
ratios); four funds ranked in the third quintile; and one fund ranked in the
fourth quintile. They also noted the advisor's explanation that the latter fund,
International Fund, invests a portion of its assets in categories of stocks
which are outside the MSCI EAFE index (i.e., emerging markets and small-cap
stocks), so that its management fees would be expected to be higher than those
of international funds which invest solely in EAFE-type stocks.
In the case of the subadvised funds, the trustees also considered information
provided by the subadvisors concerning the management fees they charge to other
comparable mutual funds and to other accounts with similar investment objectives
and policies. The trustees concluded that the subadvisory fees borne by these
funds are generally comparable to those charged by the subadvisors to other
comparable funds. They also concluded that where the fees charged by the
subadvisors to other, non-fund accounts with similar investment objectives and
policies are lower than those charged to the Funds, the non-fund accounts
generally require less work on the part of the subadvisor due to less active
cash flows, the absence of Investment Company Act regulatory requirements, and
other factors.
Based on all this information, the trustees concluded that the total expenses
borne by the Funds are reasonable in relation to the services provided, and that
the investment advisor's level of profitability from its advisory agreements
with the Funds is well within reason.
ECONOMIES OF SCALE: Because the Funds are relatively small (with only one fund
exceeding $1 billion in assets at September 30, 2005), the trustees did not
request a formal study or analysis of whether the investment advisor experiences
economies of scale in their management, or might do so if the Funds grow in the
future. However, they did note the advisor's statement that it does not realize
significant economies of scale at the Funds' current sizes.
The trustees also noted that the Funds' unitary fee schedules do not presently
include "breakpoints" providing for lower fee rates at higher asset levels. In
this connection, the trustees took note of the advisor's statement that during
the next year, it intends to
ANNUAL REPORT DECEMBER 31, 2005
OTHER INFORMATION (UNAUDITED) (CONTINUED) 77
examine whether it would be appropriate to add breakpoints to any of the Funds'
advisory agreements. The trustees determined not to seek the addition of
"breakpoints" to the Funds' unitary fee schedules at the present time, but they
also anticipated monitoring this issue going forward.
OTHER BENEFITS TO THE INVESTMENT ADVISOR AND SUBADVISORS FROM THEIR
RELATIONSHIPS WITH THE FUNDS: The trustees also considered the nature and extent
of other benefits which may flow to the investment advisor and subadvisors from
their relationships with the Funds. The trustees noted that the investment
advisor and subadvisors execute a portion of the Funds' portfolio transactions
on a "soft dollar" basis, pursuant to which the advisor and subadvisors receive
research services from or through the executing brokers. In connection with each
regular board of trustees meeting, the trustees review a third-party evaluation
of the quality of execution of the portfolio transactions executed by the
investment advisor on behalf of the Funds. The trustees have also noted that the
investment advisor receives only propriety research, and not third-party
research, in connection with its soft dollar transactions for the Funds.
Finally, the trustees noted that the reported execution and soft dollar
benefits received by subadvisors were reasonable in light of the transactions
each subadvisor executes on behalf of the Funds. Based on these reviews, the
trustees were satisfied with the execution of the Fund's portfolio transactions
and did not believe the soft dollar benefits received by the investment advisor
and subadvisors were excessive.
Based on the foregoing information, the trustees concluded that while additional
benefits flow to the investment advisor and subadvisors from their relationships
with the Funds, the nature and extent of these additional benefits are not
unreasonable when considered in the context of the overall services provided to,
and fees received from, the Funds by these entities.
Board of trustees conclusion: After taking the foregoing information and the
other information provided by the investment advisor and subadvisors into
account, the board of trustees, acting in the exercise of its business judgment,
unanimously approved the investment advisory agreement and the subadvisory
agreements referred to above. In doing so, the board did not assign specific
weights to the various factors considered, nor did it deem any one factor or set
of factors to be decisive. Instead, it considered the total mix of information
provided to it in reaching its decisions.
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur
ongoing costs which include management fees; disinterested trustees fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples in the table that follows
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 are based on an investment of $1,000 invested at the beginning of
the period and held for the entire six-month period ended December 31, 2005.
ACTUAL EXPENSES
The table provides information about actual account values and actual expenses
for the funds. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the table
for the fund you own under the heading entitled "Actual" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table also provides information about hypothetical account values and
hypothetical expenses based on the funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds.
ANNUAL REPORT DECEMBER 31, 2005
78 OTHER INFORMATION (UNAUDITED) (CONTINUED)
ACTUAL HYPOTHETICAL
-------------------- --------------------
EXPENSES EXPENSES
BEGINNING ANNUAL ENDING PAID ENDING PAID
ACCOUNT EXPENSE ACCOUNT DURING ACCOUNT DURING
FUND VALUE RATIO VALUE PERIOD* VALUE PERIOD*
- ---- --------- ------- --------- -------- --------- --------
Money Market $1,000 0.46% $1,016.60 $2.34 $1,022.89 $2.35
Bond 1,000 0.56 998.40 2.82 1,022.38 2.85
High Income 1,000 0.76 1,022.90 3.88 1,021.37 3.87
Balanced 1,000 0.71 1,029.90 3.63 1,021.63 3.62
Growth and Income Stock 1,000 0.61 1,053.60 3.16 1,022.13 3.11
Capital Appreciation Stock 1,000 0.81 1,029.90 4.14 1,021.12 4.13
Mid-Cap Stock 1,000 1.01 1,066.50 5.26 1,020.11 5.14
Multi-Cap Growth 1,000 0.86 1,097.40 4.55 1,020.87 4.38
Global Securities 1,000 0.97 1,143.60 5.24 1,020.32 4.94
International Stock 1,000 1.21 1,165.40 6.60 1,019.11 6.16
* Expenses are equal to the fund's annualized expense ratio, multiplied by
the average account value over the period, multiplied by number of days in
most recent fiscal half-year (184) divided by 365 to reflect the one-half
year period.
PLEASE NOTE THAT THE EXPENSES SHOWN IN THE TABLE ARE MEANT TO HIGHLIGHT YOUR
ONGOING COSTS OF THE FUNDS AND DO NOT REFLECT ANY SEPARATE ACCOUNT FEES,
CHARGES, OR EXPENSES IMPOSED BY THE VARIABLE ANNUITY OR VARIABLE LIFE INSURANCE
CONTRACTS, OR RETIREMENT AND PENSION PLANS THAT USE THE FUNDS. IF THESE FEES,
CHARGES OR EXPENSES WERE INCLUDED, YOUR COSTS WOULD HAVE BEEN HIGHER.Therefore,
the information provided in the hypothetical example table is useful in
comparing ongoing fund costs only, and will not help you determine the relative
total costs of owning different funds.
ANNUAL REPORT DECEMBER 31, 2005
TRUSTEES AND OFFICERS 79
ULTRA SERIES FUND TRUSTEES AND OFFICERS
Each trustee and officer oversees 19 portfolios in the fund complex, which
consists of the Ultra Series Fund with 10 portfolios and the MEMBERS Mutual
Funds with 9 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 SEC's web site at www.sec.gov or by calling CUNA Mutual Life
Insurance Company at 1-800-798-5500.
NAME;
POSITION(S) HELD WITH THE FUND & YEAR ELECTED; 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
Trustee & Chairman (1997) President (1982-August 2005). CUNA Mutual Insurance Society: Chief Officer-
President & Principal Executive Officer (1984) Investments (1990-August 2005). CUNA Mutual Life Insurance Company:
1943 Chief Officer-Investments (1973-August 2005).
Other Directorships: None
Lawrence R. Halverson, CFA MEMBERS Capital Advisors, Inc.: Senior Vice President-Equities (since 1996).
Trustee (1997) Other Directorships: None
Vice President (1988)
1945
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice President-Finance and Operations (since
Treasurer (1999) January 2006), Assistant Vice President-Finance and Operations (2001-2005) and
1970 Product Operations and Finance Manager (1998-2001).
Other Directorships: None
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Operations Officer-Mutual Funds (since
Secretary and Assistant Treasurer (2003) July 2005), Senior Manager Product and Fund Operations (2001-June 2005) and
1960 Operations and Administration Manager (1998-2001).
Other Directorships: None
Dan P. Owens MEMBERS Capital Advisors, Inc.: Operations Officer-Investments (since July
Assistant Treasurer (2001) 2005), Senior Manager Portfolio Operations (2001-June 2005) and Investment
1966 Operations Manager (1999-2001).
Other Directorships: None
Molly Head MEMBERS Capital Advisors, Inc.: Chief Compliance Officer, (since May
Chief Compliance Officer (2005) 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
1938 (1983-2002).
Other Directorships: Regis Corp, Director (since 1982)
Gwendolyn M. Boeke Wartburg Theological Seminary Development Association: Development
Trustee (1988) Associate (1997-2003); Evangelical Lutheran Church in America Foundation:
1934 Regional Director (1990-2000); Wartburg College: Director (1986-2001).
Other Directorships: None
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior
Trustee (2005) Vice 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
Trustee (2004) (since 1998).
1952 Other Directorships: None
(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.
ANNUAL REPORT DECEMBER 31, 2005
ITEM 2. CODE OF ETHICS.
As of the period ended December 31, 2005, Ultra Series Fund (also referred to
herein as the "Registrant," or the "Trust") has adopted a code of ethics
("Code") that applies to the Registrant's principal executive officer and
principal financial officer. A copy of the code of ethics is filed as an exhibit
to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's board of trustees has determined that the Registrant has at
least one audit committee financial expert serving on its audit committee. The
name of the audit committee financial expert is Rolf F. Bjelland, who is an
"independent" trustee for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
For the fiscal years ended December 31, 2005 and December 31, 2004
respectively, the aggregate fees for professional services rendered by
Deloitte & Touche LLP ("Deloitte & Touche"), the Trust's independent
registered 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 $111,825 and $105,000 respectively.
(b) Audit Related Fees
For the fiscal years ended December 31, 2005 and December 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 December 31, 2005 and December 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 $2,553 and $2,400 respectively, in each case
100% of which was pre-approved by the Audit Committee.
Included in the scope of services comprising the fees disclosed under this
Item 4(c) were the following services: review excise tax calculations and
related distributions for the International Stock, High Income, Global
Securities, and Multi-Cap Growth Stock Funds.
(d) All Other Fees
For the fiscal years ended December 31, 2005 and December 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 December 31, 2005 and December 31,
2004, the aggregate non-audit fees billed by Deloitte & Touche for services
rendered to the Trust, MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's
investment adviser, and to any entity controlling, controlled by, or under
common control with MCA that provides ongoing services to the Trust,
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.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The Registrant's Board of Trustees has determined that the Registrant has a
separately-designated standing audit committee. The names of the audit
committee are Rolf F. Bjelland, Gwendolyn M. Boeke, Steven P. Riege, and
Richard Struthers.
ITEMS 6. SCHEDULE OF INVESTMENTS
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 Trustees,
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 the information required in filings on Form N-CSR
is recorded, processed, summarized, and reported on a timely basis.
(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.
ITEM 12. EXHIBITS.
(a) Code of Ethics
(b) Certifications of the Principal Executive and Principal Financial
Officers of the registrant
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
ULTRA SERIES FUND
BY: /s/ Michael S. Daubs
---------------------------------
Michael S. Daubs
President
Date: February 20, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
BY: /s/ Michael S. Daubs
---------------------------------
Michael S. Daubs
President, Ultra Series Fund
Date: February 20, 2006
BY: /s/ Mary E. Hoffmann
---------------------------------
Mary E. Hoffmann
Treasurer, Ultra Series Fund
DATE: February 21, 2006
EXHIBIT INDEX
2(f)(1) - Code of Ethics
10(b)(i) - Certification of Michael S. Daubs, President/Principal Executive
Officer, Ultra Series Fund
10(b)(ii) - Certification of Mary E. Hoffmann, Treasurer/Principal Financial
Officer, Ultra Series Fund
Appendix A - Audit Committee Policy Regarding Pre-Approval of Services Provided
by Independent Auditors