As filed with the Securities and Exchange Commission on June 22, 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. 811-08261
MEMBERS Mutual 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
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: October 31, 2005
Date of Reporting Period: November 1, 2005 - April 30, 2006
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under
the Investment Company Act of 1940 (the "1940 Act") appears beginning on the
following page.
(MEMBERS LOGO)
MEMBERS(R) MUTUAL FUNDS
SEMIANNUAL REPORT
APRIL 30, 2006
CASH RESERVES FUND
BOND FUND
HIGH INCOME FUND
BALANCED FUND
LARGE CAP VALUE FUND
LARGE CAP GROWTH FUND
MID CAP VALUE FUND
MID CAP GROWTH FUND
INTERNATIONAL STOCK FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
(PHOTO OF DAVID P. MARKS)
- --------------------------------------------------------------------------------
Dear Fellow Shareholder:
I am pleased to provide my first letter to you as President of MEMBERS Mutual
Funds. Although I am replacing Larry Halverson as author of this letter, he
continues to be an invaluable resource as a Trustee for the Board and helping
with the transition of the equity team.
Beginning in November, 2005 we instituted a number of changes within the MEMBERS
Mutual Fund structure. First we aligned each portfolio with a specific portfolio
manager who has now taken direct responsibility for each portfolio. We have
hired two new, very experienced portfolio managers (Bruce Ebel and Livia Asher)
and are in the process of hiring additional research talent. We have put in
place a robust attribution process that allows us to evaluate and understand the
portfolio performance daily, and lastly, we have over-layed all of this with a
macroeconomic viewpoint that adds an additional level of long-term focus.
All of these changes (people, process, and portfolio alignment) are meant to
improve performance and allow for more consistent results over the long term. We
are pleased with the progress and the way the team is working together. We feel
very confident that these changes will benefit our shareholders and help produce
more consistent and stronger results as the people and processes are fully
implemented.
The attached Report provides summaries of the activities and performance of each
of the MEMBERS Funds.
We appreciate the opportunity to serve your investment needs and are very
committed to your long-term investment success. If you have any questions please
do not hesitate to contact me directly. I am committed to make you proud of not
only the way MEMBERS Mutual Funds conducts its business and serves the Credit
Union market and its members, but also that our performance is competitive with
today's leaders in the money management business.
Sincerely,
/s/ DAVID P. MARKS
David P. Marks, CFA
President
Not part of the Semiannual Report.
- -------------------------------------------------------------------------------
SUMMARY OF U.S. ECONOMIC AND FINANCIAL MARKET CONDITIONS
U.S. ECONOMY
The U.S. economy expanded in the six months ended April 30, 2006, with growth
depressed in late 2005 by the aftereffects of the Gulf hurricanes, but then
reaccelerating in 2006. Hurricanes Katrina and Rita provided the most powerful
shock to the U.S. economy since the 9/11 attacks in 2001. The hurricanes
disrupted transportation, drove up the prices of commodities, and shut down
economic activity all along the Gulf Coast. Gasoline prices soared after the
hurricanes devastated a huge swath of energy-related infrastructure, and the
resulting direct hit to household budgets curbed consumer spending. However,
both the industrial and service sectors proved resilient. Wage growth picked up,
job creation resumed, "core" (ex-food and energy) inflation receded, and holiday
retail sales were solid. Corporations continued to invest in capital goods, and
the housing market, despite some cooling, remained a major contributor to
growth. Despite the uneven pace of growth, the economy expanded near what is
believed to be its long-term potential rate of 3.5% during the period.
U.S. STOCKS
U.S. stocks posted solid gains over the period, which began during a downdraft
in equity markets as market participants realized that the Gulf hurricanes had a
significant negative impact on the U.S. economy. Market participants were
reassured after corporate earnings growth remained robust despite the
hurricanes. Smaller stocks continued to out-perform large-cap stocks. It is
becoming increasingly clear that the long period of small stock out-performance
derives in part from the increasing clout of hedge funds in equity markets. As
their assets have grown, hedge funds have preferred to invest in smaller
companies that are more volatile and less followed by analysts and researchers.
The higher volatility makes investing via derivatives potentially more
profitable while the lack of research coverage gives hedge funds an
informational advantage over other market players. The Russell 2000(R) Index of
small-cap stocks returned 18.91% during the period, and the S&P 500 Index of
large-cap stocks returned 9.64%.
U.S. BONDS
U.S. bonds posted negative returns overall. The U.S. Federal Reserve ("the Fed")
increased short-term interest rates four times during the period in 25
basis-point increments, taking the benchmark Federal Funds rate from 3.75% to
4.75%. U.S. Treasury bonds at longer durations under-performed as the yield
curve, after a period of inversion, underwent a parallel upward shift.
Investment-grade and high-yield corporate bond spreads remained historically
tight, with high-yield corporates out-performing other types of domestic bonds
during the period. Investors remain confident about the financial health and
cash flow generation of corporate America, but there are concerns about "event
risk" as merger and acquisition activity affects individual bond issues.
INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS
Economic growth picked up in the euro-zone after a sluggish summer and remained
very 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. Convinced that the Japanese expansion has strong momentum, the Bank of
Japan announced that it would begin paring back its policy of flooding its
financial system with liquidity. This, along with the Fed's ongoing campaign of
monetary tightening, caused some jitters in emerging markets, but emerging
markets stocks continued to out-perform other international stocks during the
period. Both European and Japanese stocks also out-performed U.S. stocks in U.S.
dollar-denominated terms as the dollar weakened against the yen and euro. The
MSCI Emerging Markets Free Index rose 37.77% during the period, while the MSCI
EAFE Index of developed markets stocks rose 23.10%. The overall pace of global
economic growth increased during the period.
Not part of the Semiannual Report.
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TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
FUND PERFORMANCE REVIEWS
Bond Fund.......................................... 2
High Income Fund................................... 4
Balanced Fund...................................... 6
Large Cap Value Fund............................... 8
Large Cap Growth Fund.............................. 10
Mid Cap Value Fund................................. 12
Mid Cap Growth Fund................................ 14
International Stock Fund........................... 16
PORTFOLIOS OF INVESTMENTS
Cash Reserves Fund................................. 18
Bond Fund.......................................... 19
High Income Fund................................... 24
Balanced Fund...................................... 31
Large Cap Value Fund............................... 37
Large Cap Growth Fund.............................. 39
Mid Cap Value Fund................................. 41
Mid Cap Growth Fund................................ 45
International Stock Fund........................... 47
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............................... 71
OTHER INFORMATION........................................... 78
TRUSTEES AND OFFICERS....................................... 82
</Table>
NONDEPOSIT INVESTMENT PRODUCTS ARE NOT FEDERALLY INSURED, INVOLVE INVESTMENT
RISK, MAY LOSE VALUE AND ARE NOT OBLIGATIONS OF OR GUARANTEED BY THE CREDIT
UNION. For more complete information about MEMBERS Mutual Funds, including
charges and expenses, request a prospectus from your registered representative
or from MEMBERS Mutual Funds, P.O. Box 8390, Boston, MA 02266-8390. Consider the
investment objectives, risks, and charges and expenses of the investment
carefully before investing. The prospectus contains this and other information
about the investment company. For more current performance information, please
call 1-800-877-6089 or visit our website at www.membersfunds.com. Current
performance may be lower or higher than the performance data quoted within. Past
performance does not guarantee future results.
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1
BOND FUND PERFORMANCE REVIEW
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INVESTMENT OBJECTIVE
The Bond Fund seeks to generate a high level of current income, consistent with
the prudent limitation of investment risk.
PORTFOLIO MANAGEMENT
Dean "Jack" Call, CFA, at MEMBERS Capital Advisors is the lead portfolio
manager and is responsible for deciding which securities are purchased or sold
in the Bond Fund. He is supported by a team of sector specialists and analysts.
PRINCIPAL INVESTMENT STRATEGIES
Under normal circumstances, the fund invests at least 80% of its assets in
bonds. To keep current income relatively stable and to limit share price
volatility, the Bond Fund emphasizes investment grade securities and maintains
an intermediate (typically 3-6 year) average portfolio duration. Duration is a
measure of a security's interest rate sensitivity. The fund may invest in the
following instruments:
- - CORPORATE DEBT SECURITIES: securities issued by domestic and foreign
corporations which have a rating within the four highest categories and, to a
limited extent (up to 20% of its assets), in securities not rated within the
four highest categories;
- - U.S. GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by the U.S.
Government or its agencies or instrumentalities;
- - FOREIGN GOVERNMENT DEBT SECURITIES: securities issued or guaranteed by a
foreign government or its agencies or instrumentalities, payable in U.S.
dollars, which have a rating within the four highest categories;
- - ASSET-BACKED AND MORTGAGE-BACKED SECURITIES: including those representing
mortgage, commercial or consumer loans originated by credit unions to the
extent permitted by law and available in the market; and
- - NON-RATED DEBT SECURITIES: securities issued or guaranteed by corporations,
financial institutions, and others which, although not rated by a national
rating service, are considered by the fund's investment adviser to have an
investment quality equivalent to the four highest categories.
- --------------------------------------------------------------------------------
The MEMBERS Bond Fund returned 0.39% (Class A shares at net asset value) during
the six-month period ended April 30, 2006, slightly underperforming the Merrill
Lynch U.S. Domestic Master Index which returned 0.50%.
While we reduced the "barbell" strategy (an investment strategy to overweight
bonds of longer and shorter maturities) in the fourth quarter of 2005, it was
not altogether abandoned and continued to contribute to performance as the yield
curve continued to flatten, with the spread between 2-Year U.S. Treasury Notes
and 10-Year Treasury Bonds narrowing to as little as -16 basis points (February
24th). Performance was also helped by management's decision to overweight spread
sectors such as corporate bonds, asset-backed securities ("ABS") and commercial
mortgage-backed securities ("CMBS"). Performance was hurt by an overweight
position in discount mortgages and being overweight on the long end of the yield
curve in March and April.
At the tactical level, performance was helped by security selection in ABS and
long-term CMBS. In the corporate sector, security selection was index-like with
outperformers canceling out underperformers. Also in the corporate segment,
performance was helped by overweighting the bonds of utility and industrial
companies and underweighting financial bonds. Within the industrial sector,
management's decision to overweight cyclical services companies helped
performance while underweighting communications companies detracted from
performance.
We have further reduced the "barbelling" of the portfolio, believing that the
Fed's new phase of "data dependency" will diminish potential excess returns from
the strategy. As we anticipate the end of the Fed's tightening campaign, we will
reposition the portfolio toward a more neutral curve position (a "laddered"
posture). The fund should perform well if sectors offering incremental yield
such as corporates and mortgages continue to perform in a market with low
volatility and positive economic growth. However, we remain wary of "event risk"
(companies increasing their financial leverage to make acquisitions, using their
cash reserves to buy back some of their stock or reducing their credit standing
through other such activities) and we continue to monitor the portfolio's
holdings closely for signs of such possibilities.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
2
BOND FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
Class A Shares (Includes Class B Shares (Includes Merrill Lynch U.S. Domestic Master
Maximum Sales Charge)(2) Maximum Applicable Cdsc)(3) Index
------------------------ --------------------------- ----------------------------------
12/29/97 $ 9,550 $10,000 $10,000
4/98 9,680 9,667 10,219
4/99 10,280 10,195 10,870
4/00 10,401 10,372 11,005
4/01 11,369 11,418 12,350
4/02 12,128 12,286 13,311
4/03 13,212 13,184 14,739
4/04 13,241 13,214 15,012
4/05 13,875 13,774 15,817
4/06 13,911 13,691 15,923
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Mortgage Backed 33%
Corporate Notes and Bonds 27%
U.S. Government and Agency Obligations 23%
Asset Backed 7%
Commercial Mortgage Backed 7%
Cash and Other Net Assets 2%
Private Label Mortgage Backed 1%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 0.26% 1.73% 4.12% 4.61% -4.21% 0.18% 3.17% 4.04%
Class B Shares(3) -0.39 1.01 3.35 3.84 -4.72 -0.07 3.00 3.84
Merrill Lynch U.S.
Domestic Master
Index 0.67 2.61 5.21 5.74 -- -- -- --
</Table>
(2) Maximum Sales Charge is 4.50% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
3
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The High Income Fund seeks high current income. The fund also seeks capital
appreciation, but only when consistent with its primary goal.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors as adviser may use one or more subadvisers with any of
the MEMBERS Funds under a "manager or managers" approach. Shenkman Capital
Management, Inc. ("SCM") is currently the only subadviser for the High Income
Fund. Mark R. Shenkman; Frank X. Whitley; Mark R. Flanagan, CPA, CFA; Robert
Stricker, CFA; and Steve Schweitzer are the funds co-primary portfolio managers
responsible for deciding which securities are purchased or sold in the High
Income Fund.
PRINCIPAL INVESTMENT STRATEGIES
The High Income Fund invests primarily in lower-rated, higher-yielding income
bearing securities, such as "junk" bonds. Because the performance of these
securities has historically been strongly influenced by economic conditions,
the fund may rotate securities selection by business sector according to the
economic outlook. Under normal market conditions, the fund invests at least 80%
of its assets in bonds rated lower than investment grade (BBB/Baa) and their
unrated equivalents or other high-yielding securities. Types of bonds and other
securities include, but are not limited to, domestic and foreign corporate
bonds, debentures, notes, convertible securities, preferred stocks, municipal
obligations and government obligations. The fund may invest in mortgage-backed
securities
- --------------------------------------------------------------------------------
The MEMBERS High Income Fund generated a positive return of 4.54% (Class A
shares at net asset value) for the six-month period ended April 30, 2006,
modestly underperforming the Merrill Lynch High Yield Master II Index which
returned 4.98% for the same period. The high yield market saw an additional
boost in the latter part of the period as new issuance significantly failed to
keep up with overall demand. Some key highlights driving the market during the
reporting period included the following: CCC rated and lower priced securities
outperformed better quality and par plus securities; yield spreads continued to
compress; and default rates declined further. This outperformance of lower rated
securities coupled with the fund's emphasis on relatively sound BB credits
hindered performance relative to the benchmark for the period.
Some of the key drivers of the fund's positive performance during the period
were holdings in the cable, gaming, services, telecom, and technology sectors.
The portfolio also benefited by avoiding two highly levered issuers that are
large components of the overall market, but do not meet SCM's credit quality
standards, as these credits significantly underperformed. The portfolio
continues to be well-positioned from both a credit and interest rate
perspective. The portfolio has an average rating of B2/B, an average price of
approximately $101.97, and an average duration of 3.6 years.
The high yield sector appears to be on its way to posting its fourth consecutive
year of outperformance versus other U.S. fixed income sectors. The high yield
market's period return of approximately 4.98% was in sharp contrast to
investment grade corporates and U.S. Treasuries, which posted low returns for
the period of only 0.04% and 0.15%, respectively. If inflation remains at
current levels and the U.S. job market does not tighten significantly from
current levels, the Fed will most likely be nearing the end of its credit
tightening cycle. However, further increases beyond a 5.25% Federal Funds rate
could damage the equity market's rally and dampen investor demand for high
yield. We believe that investors' need for current income remains a solid pillar
of support for the high yield market. In addition, we are encouraged that
investors' expectations for high yield performance remain relatively low. With
many investors focused on other asset classes, the high yield market may quietly
continue to produce favorable returns that are supported by solid fundamental
factors, including steady economic growth and low default rates, as well as
several positive technical factors, such as a limited supply of securities and
robust demand for current income.
MEMBERS Capital Advisors, Inc. - Adviser
Shenkman Capital Management, Inc. - Subadviser
- --------------------------------------------------------------------------------
4
HIGH INCOME FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
Class A Shares (Includes Class B Shares (Includes Merrill Lynch U.S. High Yield
Maximum Sales Charge)(2) Maximum Applicable CDSC)(3) Master II Index
------------------------ --------------------------- -----------------------------
12/29/97 $ 9,550 $10,000 $10,000
4/98 9,826 9,800 10,346
4/99 10,198 10,091 10,679
4/00 10,113 10,114 10,385
4/01 10,019 10,001 10,453
4/02 10,081 10,223 10,818
4/03 10,933 10,947 11,641
4/04 12,147 12,145 13,356
4/05 12,810 12,710 14,224
4/06 13,885 13,671 15,516
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
<Table>
Telecommunications 9% Technology 4% Apparel/Textiles 1%
Gaming 8% Utilities 4% Auto Parts & Equipment 1%
Support Services 7% Cash and Other Net Assets 3% Environmental 1%
Health Care 6% Chemicals 3% Food and Drug Retailers 1%
Media - Cable 6% Media - Broadcasting 3% Hotels 1%
Oil and Gas 6% Beverage/Food 2% Leisure and Entertainment 1%
Consumer Products 5% Building Materials 2% Restaurants 1%
Aerospace/Defense 4% Forestry/Paper 2% Transportation 1%
Media - Diversified and Services 4% General Industrial and Manufacturing 2% Automotive 0%*
Non Food and Drug Retailers 4% Metals and Mining 2% Steel 0%*
Printing and Publishing 4% Packaging 2%
</Table>
*Rounds to 0%
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 8.40% 8.30% 6.74% 4.59% 3.55% 6.63% 5.76% 4.02%
Class B Shares(3) 7.56 7.46 5.96 3.82 3.06 6.44 5.66 3.82
Merrill Lynch U.S.
High Yield Master II
Index 9.09 10.05 8.22 5.41 -- -- -- --
</Table>
(2) Maximum Sales Charge is 4.50% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
5
BALANCED FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Balanced Fund seeks a high total return through the combination of income
and capital appreciation.
PORTFOLIO MANAGEMENT
John H. Brown, CFA, and Dean "Jack" Call, CFA, at MEMBERS Capital Advisors are
co-lead portfolio managers and are responsible for deciding which securities
are purchased or sold in the Balanced Fund. They are supported by a team of
sector specialists and analysts.
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 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 typically invests in equity or bond securities which
are similar to those in which the Large Cap Growth, Large Cap Value and Bond
Funds invest.
- --------------------------------------------------------------------------------
The six months ended April 30, 2006 was a period of positive returns for stocks,
but relatively flat returns for bonds. Yields of treasury notes and bonds with
maturities greater than two years rose between 0.4% and 0.5%. Inflation
expectations increased, as crude oil prices gained 20% and gold rose 35% during
the period. The riskier assets performed the best during the period. Emerging
market and high yield bonds beat AAA-rated and treasury bonds. Equity returns
were fueled by the emerging market and international stocks as they gained 38%
and 23% respectively. Small stocks rose 16%. However, the broad market as
measured by the Russell 1000(R) Index was ahead over 9%, and more specifically,
the largest 100 stocks (blue chips), rose only 7%. Among the ten sectors,
performance was led by the inflation beneficiaries (materials, energy, and
industrials), while the defensive stable issues (consumer staples, health care,
and utilities) lagged.
The MEMBERS Balanced Fund gained 4.91% during the period (Class A shares at net
asset value). The bond position, roughly one-third of the fund, turned in a
slightly positive return as interest coupons earned offset modestly falling bond
prices, which were responding to rising interest rates.
The stock portion of the fund, roughly two-thirds of the fund, turned in
positive results. Results lagged the broader stock market benchmarks, a result
of underperformance in the consumer discretionary, health care, and information
technology sectors, while our energy holdings were a nice boost to performance.
Sector allocation had little impact, while stock selection in large
capitalization stocks was a negative impact. Our focus on undervalued, large
capitalization, blue chip stocks held back relative returns, as lower quality
performed better than higher quality during the period.
The Balanced Fund ended the period over benchmark weight in the consumer
staples, health care, industrials, and energy sectors.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
6
BALANCED FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
Class B Shares (Includes
Class A Shares (Includes Maximum Applicable Merrill Lynch U.S. Domestic
Maximum Sales Charge)(2) CDSC)(3) Master Index Russell 1000(R) Index
------------------------ ------------------------ --------------------------- ---------------------
12/29/97 $ 9,425 $10,000 $10,000 $10,000
4/98 10,281 10,432 10,219 11,671
4/99 11,736 11,420 10,870 14,041
4/00 12,653 12,852 11,005 15,789
4/01 12,579 12,728 12,350 13,632
4/02 11,993 12,329 13,311 11,999
4/03 11,228 11,357 14,739 10,384
4/04 12,792 12,952 15,012 12,866
4/05 13,607 13,675 15,817 13,792
4/06 14,678 14,640 15,923 16,096
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Common Stocks 67%
Mortgage Backed 10%
U.S. Government and Agency Obligations 10%
Corporate Notes and Bonds 8%
Commercial Mortgage Backed 2%
Cash and Other Net Assets 2%
Asset Backed 1%
Private Label Mortgage Backed 0%
</Table>
*Rounds to 0%
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 7.87% 9.34% 3.13% 5.46% 1.69% 7.21% 1.92% 4.71%
Class B Shares(3) 7.06 8.52 2.36 4.68 2.56 7.52 1.99 4.68
Merril Lynch U.S.
Domestic Master
Index 0.67 2.61 5.21 5.74 -- -- -- --
Russell 1000(R) Index 16.71 15.73 3.38 5.87 -- -- -- --
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
7
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Large Cap Value Fund seeks long-term capital growth with income as a
secondary consideration.
PORTFOLIO MANAGEMENT
Scott D. Opsal, CFA, at MEMBERS Capital Advisors is the lead portfolio manager
and is responsible for deciding which securities are purchased or sold in the
Large Cap Value Fund. He is supported by a team of sector specialists and
analysts.
PRINCIPAL INVESTMENT STRATEGIES
The Large Cap Value Fund will focus on stocks of companies with financial and
market strength and a long-term record of financial performance, and will,
under normal market conditions, maintain at least 80% of its assets in such
large cap stocks (generally a market capitalization of more than $10 billion or
the smallest companies in the Russell 1000(R) Value Index if smaller). The fund
generally follows what is known as a "value" approach which generally means
that the managers seek to invest in stocks at prices below their perceived
intrinsic value as estimated based on fundamental analysis of the issuing
company and its prospects. By investing in value stocks, the fund attempts to
limit the downside risk over time but may also produce smaller gains than other
stock funds if their intrinsic values are not realized by the market or if
growth-oriented investments are favored by investors.
- --------------------------------------------------------------------------------
In spite of high energy prices and rising interest rates, U. S. stocks managed
to advance quite strongly over the six-month period ended April 30, 2006. The
fund returned a historically very attractive 10.23% (Class A shares at net asset
value) for the period while the Russell 1000(R) Value Index returned 12.87%.
Performance was dampened by disappointing results in health care stocks,
particularly pharmaceuticals where Watson Pharmaceuticals announced it was
planning to acquire another generic drug manufacturer, causing Watson's price to
fall. Other large pharmaceutical companies also saw earnings fall short of
expectations at the same time expected long-term growth rates were slowing. In
information technology, leading companies with solid business models like Intel,
Automatic Data Processing and CA, Inc. failed to maintain investors'
expectations and suffered price declines in spite of the generally rising
market.
Partially offsetting these and other under-performing areas was the energy
sector where the fund was slightly overweighted relative to the Russell 1000(R)
Value Index and where stock selection was particularly favorable due to
management's decision to emphasize equipment and services companies (Transocean,
Schlumberger and Cooper Cameron).
The Large Cap Value Fund was maintaining its modest overweight in energy stocks
as it entered the second half of the fiscal year, reflecting management's belief
that oil prices may ease from their peaks, but are likely to remain high
indefinitely. Management expects improving relative performance from its
pharmaceutical stocks as the year progresses, and also looks for some recovery
in the nation's leading technology companies as investors seek dependable
earnings as overall economic growth slows in response to rising interest rates
and persistently high energy prices. This slowing is not expected to reach
recessionary levels, however, so equity market returns should remain positive as
the year progresses.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
8
LARGE CAP VALUE FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
Class A Shares (Includes Class B Shares (Includes
Maximum Sales Charge)(2) Maximum Applicable CDSC)(3) Russell 1000(R) Value Index
------------------------ --------------------------- ---------------------------
12/29/97 $ 9,425 $10,000 $10,000
4/98 10,928 11,114 11,429
4/99 12,910 12,287 13,039
4/00 13,654 13,893 12,533
4/01 12,430 12,566 13,339
4/02 11,300 11,609 12,817
4/03 9,286 9,365 11,150
4/04 11,577 11,709 14,078
4/05 12,643 12,695 16,039
4/06 14,542 14,486 18,975
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 8%
Consumer Staples 6%
Energy 15%
Financials 34%
Health Care 8%
Industrials 8%
Information Technology 5%
Materials 4%
Telecommunication Services 5%
Consumer Discretionary 8%
Utilities 6%
Cash and Other Net Assets 1%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 15.02% 16.13% 3.19% 5.34% 8.42% 13.86% 1.97% 4.59%
Class B Shares(3) 14.11 15.27 2.40 4.55 9.61 14.38 2.03 4.55
Russell 1000(R) Value
Index 18.31 19.39 7.30 7.98 -- -- -- --
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
9
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Large Cap Growth Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
Bruce A. Ebel, CFA, at MEMBERS Capital Advisors is the lead portfolio manager
and is responsible for deciding which securities are purchased or sold in the
Large Cap Growth Fund. He is supported by a team of sector specialists and
analysts.
PRINCIPAL INVESTMENT STRATEGIES
The Large Cap Growth Fund invests primarily in common stocks, and will, under
normal market conditions, maintain at least 80% of its assets in such large cap
stocks (generally a market capitalization of more than $10 billion or the
smallest companies in the Russell 1000(R) Growth Index if smaller). The fund
seeks stocks that have low market prices relative to their perceived growth
capabilities as estimated based on fundamental analysis of the issuing
companies and their prospects. This is sometimes referred to as a "growth"
approach. Relative to the Large Cap Value Fund, the Large Cap Growth Fund will
seek more earnings growth capability in the stocks it purchases, and may
include 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 six-month period ended April 30, 2006 presented many challenges for stock
investors, but was rewarding for most sectors of the market as consumers
continued to drive the economy forward in spite of the post-Katrina slowdown.
The MEMBERS Large Cap Growth Fund returned 4.64% (Class A shares at net asset
value) in spite of the significant portfolio restructuring completed during this
period. This restructuring was undertaken to sharpen the fund's investment focus
on large cap growth stocks (as described in the February 28, 2006 prospectus).
The fund's representative market index, the Russell 1000(R) Growth Index,
advanced 7.06% over this six-month period.
The fund's return relative to the Russell 1000(R) Growth Index was reduced
primarily by its holdings of consumer discretionary and information technology
stocks. Although the consumer area underperformed the general market and the
fund was underweighted in the sector, the individual stocks owned in the fund
significantly underperformed the group. For example, eBay declined nearly 20%
during the period from its purchase to April 30 in response to tempered earnings
guidance from company management. This stock single-handedly reduced the fund's
return by -0.30%. Cheesecake Factory dampened returns by about -0.16% for
similar reasons as the market became very intolerant of performance shortfalls
or even reductions in the growth expectations of company management.
Information technology stocks that proved costly to the fund this period
included some of the sector's leading companies like Intel and Yahoo!. Here,
too, any suspicion by the street of slowing earnings growth produced significant
and immediate price declines.
Positive contributions came from the consumer staples area where, for example,
the fund's significant position in Colgate-Palmolive responded well to its
improving fundamentals. The fund also benefited from its holdings in Goldman
Sachs and other capital markets stocks, which are experiencing strong earnings
from their merger and acquisition activities.
The fund continues to see many attractive growth stocks, especially among the
larger, leading firms. We expect these more stable and dependable growers of
earnings to receive increased attention from the market as its appetite for risk
declines in the face of our slowing economy.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
10
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
CLASS A SHARES (INCLUDES
CLASS B SHARES (INCLUDES MAXIMUM APPLICABLE RUSSELL 1000(R) GROWTH
MAXIMUM SALES CHARGE)(2) CDSC)(3) RUSSELL 1000(R) INDEX INDEX
------------------------ ------------------------ --------------------- ----------------------
12/29/97 $ 9,425 $10,000 $10,000 $10,000
4/98 11,057 11,261 11,671 12,162
4/99 12,558 12,034 14,041 15,389
4/00 14,585 14,870 15,789 19,632
4/01 14,708 14,940 13,632 13,301
4/02 12,057 12,401 11,999 10,627
4/03 9,674 9,779 10,384 9,102
4/04 11,801 11,969 12,866 11,072
4/05 12,475 12,552 13,792 11,116
4/06 13,630 13,619 16,096 12,804
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 8%
Consumer Staples 11%
Energy 6%
Financials 5%
Health Care 21%
Industrials 15%
Information Technology 28%
Materials 1%
Telecommunication Services 2%
Consumer Discretionary 8%
Utilities 1%
Cash and Other Net Assets 2%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 9.25% 12.11% -1.51% 4.52% 2.98% 9.92% -2.67% 3.78%
Class B Shares(3) 8.49 11.30 -2.22 3.77 3.99 10.35 -2.62 3.77
Russell 1000(R) Index 16.71 15.73 3.38 5.87 -- -- -- --
Russell 1000(R) Growth
Index 15.18 12.05 -0.76 3.01 -- -- -- --
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
11
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Mid Cap Value Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
Livia S. Asher, CFA, at MEMBERS Capital Advisors ("MCA") currently manages the
majority of the assets of the fund and is responsible for deciding which
securities are purchased or sold in the portion of the Mid Cap Value Fund MCA
manages. She is supported by a team of sector specialists and analysts. MCA as
adviser may use one or more subadvisers with any of the MEMBERS Funds under a
"manager of managers" approach. Wellington Management Company, LLP ("Wellington
Management") is currently the only subadviser for the Mid Cap Value Fund,
focusing on the smaller-cap portion of the fund. Stephen T. O'Brien, CFA, at
Wellington Management is the lead portfolio manager of this portion of the
fund. He is assisted by Timothy J. McCormack CFA, and Shaun F. Pedersen.
PRINCIPAL INVESTMENT STRATEGIES
The Mid Cap Value Fund invests primarily in common stocks of midsize and
smaller companies (generally a market capitalization of less than $15 billion
or the largest companies in the Russell 2500(TM) Value Index if greater), and
will under normal market conditions, maintain at least 80% of its assets in
such mid cap securities. However, the fund will not automatically sell a stock
just because its market capitalization has changed, and such positions may be
increased through additional purchases.
The fund seeks stocks in this midsize to smaller range that have a low market
price relative to their value as estimated based on fundamental analysis of the
issuing company and its prospects. This is sometimes referred to as a "value"
approach. The Mid Cap Value Fund includes smaller, less developed issuers,
which may have difficulty competing with larger companies, but the successful
ones tend to grow faster than larger companies, using profits to expand rather
than to pay dividends.
- --------------------------------------------------------------------------------
For the six-month period ended April 30, 2006 the MEMBERS Mid Cap Value Fund
returned 13.23% (Class A shares at net asset value), modestly outperforming the
Russell Midcap(R) Value Index return of 13.58% and lagging the Russell 2500(TM)
Value Index return of 15.33%.
Sectors of strong relative performance included materials, industrials,
information technology and consumer staples. In contrast, weaker performance
occurred within the utilities, health care and financials. However, the fund
actually added positive relative performance within the utility sector by both
being underweight the sector and being positioned in the better performing
individual stocks within the sector.
Similarly, we gained strong relative positive variance of 0.74% versus the
Russell Midcap(R) Value Index within consumer staples as we were particularly
overweight in food and food retailers. Within food we chose to invest in Hain
Celestial Group, an out of benchmark name that appreciated 39% during this
six-month period. We also owned Albertson's that agreed to be acquired.
Combined, these two stocks added nearly 0.30% to relative performance.
The return versus the Russell Midcap(R) Value Index was most severely negatively
impacted by our holdings within the financial sector, -1.2%. We were underweight
in this sector, particularly within non-bank industries, where our underweight
in the REIT sector, an area that marched into its seventh year of
outperformance, pulled down results. We were also underweight within insurance,
and while that decision proved correct, our positioning within the reinsurance
market post the hurricane season proved to be early. Still, our relative
performance was bolstered within financials by our overweight of the broker
stocks, where our single largest stock holding in Bear Stearns was especially
positive.
Within industrials we saw a mixed picture with our overweight in temporary
employment company Manpower and railroad CSX adding 0.20% and 0.21%,
respectively, to relative performance. However, we took profits a little too
early within metals, selling steel manufacturer Nucor and hurting our overall
performance by 0.28%.
As we entered the second half of the fiscal year, the portfolio was positioned
for a still strong, though moderating, economy and somewhat stretched consumer.
As such we maintain our overweight in consumer staples but underweight consumer
discretionary. We have a slight overweight bias to industrials, materials,
information technology and health care. Our overweight in energy reflects our
view of long-term supply constraints. Finally, assuming that interest rates have
not yet peaked we remain underweight financial stocks though our overweight
within capital markets is intact. Importantly, we remain focused on picking
individual stocks within our overall framework that reflect our assumptions for
the economy and the stock market.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
- --------------------------------------------------------------------------------
12
MID CAP VALUE FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
CLASS B SHARES (INCLUDES
CLASS A SHARES (INCLUDES MAXIMUM APPLICABLE RUSSELL MIDCAP(R) VALUE RUSSELL 2500(TM) VALUE
MAXIMUM SALES CHARGE)(2) CDSC)(3) INDEX INDEX
------------------------ ------------------------ ----------------------- ----------------------
2/28/01 $ 9,425 $10,000 $10,000 $10,000
4/01 9,793 9,930 10,258 10,277
4/02 10,601 11,160 11,121 12,014
4/03 8,630 8,705 9,621 10,189
4/04 11,281 11,370 12,981 14,307
4/05 12,212 12,330 15,616 16,287
4/06 15,139 15,332 19,481 20,655
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 10%
Consumer Staples 9%
Energy 7%
Financials 28%
Health Care 6%
Industrials 10%
Information Technology 9%
Materials 8%
Telecommunication Services 1%
Utilities 10%
Cash and Other Net Assets 2%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 23.97% 20.60% 9.10% 9.60% 16.88% 18.24% 7.83% 8.35%
Class B Shares(3) 23.16 19.60 8.25 8.75 18.66 18.78 7.96 8.62
Russell Midcap(R)
Value Index 24.75 26.51 13.69 13.77 -- -- -- --
Russell 2500(TM) Value
Index 26.82 26.56 14.98 15.05 -- -- -- --
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 28, 2001.
- --------------------------------------------------------------------------------
13
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Mid Cap Growth Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors as adviser may use one or more subadvisers with any of
the MEMBERS Funds under a "manager of managers" approach. Wellington Management
Company, LLP ("Wellington Management") is currently the only subadviser of the
Mid Cap Growth Fund. Francis J. Boggan, CFA, at Wellington Management is the
lead portfolio manager responsible for deciding which securities are purchased
or sold in the Mid Cap Growth Fund.
PRINCIPAL INVESTMENT STRATEGIES
The Mid Cap Growth Fund invests generally in common stocks, securities
convertible into common stocks and related equity securities of mid-size and
smaller companies (generally a market capitalization of less than $15 billion
or the largest companies in the Russell 2500(TM) Growth Index if greater).
Under normal market conditions, the fund will maintain at least 80% of its
assets in such mid cap securities. The fund seeks attractive long-term returns
through bottom-up security selection based on fundamental analysis in a
diversified portfolio of high-quality growth companies with attractive
valuations. These will typically be industry-leading companies in niches with
strong growth prospects. The fund seeks stocks of such companies at
price-earnings valuations approximately equal to the company's expected long-
term, sustainable growth rate.
- --------------------------------------------------------------------------------
During the six-month period ended April 30, 2006, the MEMBERS Mid Cap Growth
Fund returned 15.30% (Class A shares at net asset value), outperforming the
custom benchmark(1) return of 11.34%. The Russell Midcap(R) Growth Index
returned 15.18% during the period, while the Russell 2500(TM)Growth Index
returned 19.11%.
Favorable stock selection produced positive benchmark-relative results in almost
all sectors during the six-month period. Stock selection was strongest within
the information technology and financials sectors. The fund's underweight
allocation to the weak performing consumer staples sector also contributed
positively to performance. Positive relative results were somewhat offset by
weak stock selection and an underweight allocation to the strongest performing
sector, telecommunication services.
Key individual contributors to relative performance were Penn National Gaming
(consumer services), Network Appliance (technology hardware & equipment), and
Shuffle Master (consumer services). Penn National Gaming, an owner and operator
of gaming properties and horse racetracks, rose sharply after receiving positive
regulatory rulings regarding two casino properties. Data management firm,
Network Appliance, rose in conjunction with strong revenue growth and a
broadening product lineup. Shuffle Master, a gaming and casino supplier,
increased as a result of its successful acquisition of an Australian equipment
maker.
Positive results were partially offset by Coventry Health Care (health care
equipment & services), DR Horton (consumer durables & apparel), and Electronic
Arts (software & services). Coventry Health Care's stock slumped with
uncertainties surrounding Medicare reimbursement rates. Homebuilder DR Horton
declined, reflecting rising inventory levels and interest rates. Video game
manufacturer Electronic Arts lowered guidance as software sales fell shy of
expectations.
In this environment, we continue to find many high-quality, predictable-growth
companies to include in the fund. As a result of bottom-up investment decisions,
we ended the period with an overweight to the consumer discretionary and health
care sectors relative to the Russell 2500(TM) Growth Index and an underweight to
industrials and consumer staples. We continue to find no shortage of companies
that we think should be able to deliver improving margins, growing profits, and
higher returns on investments.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
(1)The custom benchmark is composed of the following: the Russell 3000(R) Growth
Index from 5/31/02 to 2/28/06 and the Russell 2500(TM) Growth Index for
periods thereafter.
- --------------------------------------------------------------------------------
14
MID CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
CLASS A SHARES CLASS B SHARES
(INCLUDES MAXIMUM (INCLUDES MAXIMUM RUSSELL 3000(R) RUSSELL 2500(TM) RUSSELL MIDCAP(R)
SALES CHARGE)(2) APPLICABLE CDSC)(3) GROWTH INDEX GROWTH INDEX GROWTH INDEX
----------------- ------------------- --------------- ---------------- -----------------
2/29/00 $9,425 $10,000 $10,000 $10,000 $10,000
4/00 8,087 8,194 10,022 8,621 9,357
4/01 5,353 5,405 6,840 6,424 6,599
4/02 3,949 4,130 5,521 5,823 5,609
4/03 3,450 3,473 4,692 4,632 4,674
4/04 4,486 4,528 5,768 6,505 6,363
4/05 4,562 4,613 5,786 6,678 6,812
4/06 5,825 5,910 6,763 8,953 8,738
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 23%
Energy 11%
Financials 11%
Health Care 18%
Industrials 14%
Information Technology 18%
Materials 3%
Telecommunication Services 1%
Cash and Other Net Assets 1%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 27.69% 19.08% 1.70% -7.51% 20.23% 16.78% 0.49% -8.39%
Class B Shares(3) 26.82 18.19 0.98 -8.17 22.32 17.35 0.59 -8.17
Russell 3000(R) Growth
Index 16.90 12.96 -0.22 -6.14 -- -- -- --
Russell 2500(TM)
Growth Index 34.07 24.57 6.86 -1.78 -- -- -- --
Russell Midcap(R)
Growth Index 28.27 23.19 5.77 -2.16
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on February 29, 2000.
- --------------------------------------------------------------------------------
15
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The International Stock Fund seeks long-term growth of capital.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors as adviser may use one or more subadvisers with any of
the MEMBERS Funds under a "manager of managers" approach. Lazard Asset
Management LLC is currently the only subadviser for the International Stock
Fund. Lazard manages the fund on team basis. John R. Reinsberg, CFA; Gabrielle
M. Boyle, CFA; Michael A. Bennett, CFA; Michael Powers, CFA; and Michael G.
Fry, CFA, are the funds co-primary portfolio managers responsible for deciding
which securities are purchased or sold in the International Stock Fund.
PRINCIPAL INVESTMENT STRATEGIES
Under normal market conditions, the International Stock Fund invests at least
80% of its assets in foreign equity securities. Foreign equity securities are
securities that are issued by companies organized or whose principal operations
are outside the U.S., are principally traded outside of the U.S., or are quoted
or denominated in a foreign currency. Equity securities include common stocks,
securities convertible into common stocks, preferred stocks, and other
securities representing equity interests such as American Depository Receipts
("ADRs" -- receipts typically issued by a U.S. financial institution which
evidence ownership of underlying securities of foreign corporate issuers),
European Depository Receipts ("EDRs") and Global Depository Receipts ("GDRs").
EDRs and GDRs are receipts evidencing an arrangement with a non-U.S. financial
institution similar to that for ADRs and are designed for use in non-U.S.
securities markets. The fund may also invest in debt securities, foreign money
market instruments, and other income bearing securities as well as forward
foreign currency exchange contracts and other derivative securities and
contracts. The fund always holds securities of issuers located in at least
three countries other than the U.S.
- --------------------------------------------------------------------------------
The MEMBERS International Stock Fund returned 23.20% (Class A shares at net
asset value) during the six-month period ended April 30, 2006, compared to
returns of 23.10% for the MSCI EAFE Index, 28.15% for the MSCI EAFE Small Cap
Index, and 37.77% for the MSCI Emerging Markets Index. The fund is comprised of
a mix of strategies encompassing the aforementioned markets and benefited from
structural allocations to both the small cap and emerging market segments.
INTERNATIONAL LARGE CAP
International stocks posted solid gains in November and December, as the outlook
for international economies continued to be positive. Despite a modest pullback
in February, the first quarter of 2006 witnessed a sharp rally in international
markets, propelled by a continuation of strong profit growth, and coupled with
robust merger and acquisition activity, particularly in Europe. Among the
developed markets, Europe and Japan posted the most positive returns over the
period, while the United Kingdom lagged. The Japanese market, which had soared
during the second half of 2005, witnessed profit taking in the first quarter of
2006. From a sector perspective, materials, industrials, technology, and
financials were among the best performers. While all sectors posted positive
returns, telecom services, health care, and consumer staples lagged. The
portfolio benefited from stock selection in the financial, consumer
discretionary, and technology sectors. Stock selection in telecom services and
consumer staples detracted from performance. Of the top ten stocks in this part
of the fund, by weight, the most positive contributors were Credit Suisse Group
and Mitsubishi UFJ Financial Group, while Nestle S.A. and Novartis AG detracted
from returns.
INTERNATIONAL SMALL CAP
International small caps witnessed positive performance over the six-month
period ended April 30, 2006. The MSCI EAFE Small Cap Index posted a gain of
28.6%, modestly outperforming international large cap stocks. While all sectors
posted positive returns, telecom services, utilities, and consumer staples
lagged. Stock selection in industrials and financials benefited performance over
the period. Conversely, stock selection in information technology hurt returns,
as did an overweight position and stock selection in consumer discretionary. Of
the portfolio's top ten stocks, by weight, top performers were USG People NV and
Man Group PLC, while the weakest performers were Elekta AB and Neopost. Despite
the poor performance of the latter two companies' share prices, we are confident
in the underlying fundamentals of the businesses and remain shareholders.
INTERNATIONAL EMERGING MARKETS
Emerging markets equities experienced solid returns for the period gaining 37.6%
in U.S. dollar terms, aided by heightened interest in the asset class. Capital
flows have been particularly robust thus far in 2006, exceeding the total for
2005 as a whole. All regions performed well during this period. The materials,
energy, industrials, and financials sectors were the best performers over the
last six months. The health care and telecom services sectors underperformed.
- --------------------------------------------------------------------------------
16
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
Performance was helped by solid security selection within the materials sector.
Top contributors to performance included shares in Telkom Indonesia (Indonesia),
which rose sharply due to robust cellular demand, and PetroBras (Brazil) shares,
which gained based on continued high oil prices. An underweight position in
energy detracted from performance, as did stock selection within the energy and
consumer discretionary sectors. Stock selection within Russia also detracted
from returns, as shares in Trader Media East fell on poor management guidance.
In Asia, Yanzhou Coal (China) shares fell after the company announced
higher-than-expected costs, and ChinaTrust (Taiwan) shares also fell based on
concerns about potential political legislation governing personal bankruptcy
regulation.
MEMBERS Capital Advisors, Inc. - Adviser
Lazard Asset Management LLC - Subadviser
CUMULATIVE PERFORMANCE OF $10,000 SINCE INCEPTION(1)
(LINEGRAPH)
<Table>
<Caption>
MORGAN STANLEY INTERNATIONAL
CLASS A SHARES (INCLUDES CLASS B SHARES (INCLUDES EUROPE, AUSTRALASLA & FAR EAST
MAXIMUM SALES CHARGE)(2) MAXIMUM APPLICABLE CDSC)(3) INDEX (MSCI EAFE INDEX)
------------------------ --------------------------- ------------------------------
12/29/97 $ 9,425 $10,000 $10,000
4/98 11,104 11,301 11,659
4/99 11,084 10,916 12,802
4/00 10,981 11,103 14,616
4/01 9,632 9,703 12,270
4/02 9,044 9,291 10,599
4/03 7,895 7,983 8,912
4/04 10,942 11,062 12,543
4/05 12,920 12,984 14,477
4/06 17,478 17,419 19,399
</Table>
(1)This chart compares a $10,000 investment made in the fund on its inception
date to a $10,000 investment made in the Index. All dividends and capital
gains are reinvested. Further information relating to the fund's performance,
including expense reimbursements, is contained in the Prospectus and
elsewhere in this report. Past performance is not indicative of future
performance. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Indices are unmanaged and investors cannot invest in them. Index
returns do not reflect expenses or sales charges. The graph above and the
table below do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Africa 2%
Europe (Excluding United Kingdom) 47%
Japan 20%
Latin America 4%
Pacific Basin 7%
United Kingdom 14%
Other Countries 2%
Cash and Other Net Assets 4%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH APRIL 30, 2006
<Table>
<Caption>
% RETURN WITHOUT SALES CHARGE % RETURN AFTER SALES CHARGE(4)
Since Since
1 Year 3 Years 5 Years Inception(5) 1 Year 3 Years 5 Years Inception(5)
----------------------------------------- -----------------------------------------
Class A Shares(2) 35.28% 30.33% 12.65% 7.69% 27.53% 27.77% 11.33% 6.93%
Class B Shares(3) 34.15 29.32 11.81 6.88 29.65 28.62 11.56 6.88
MSCI EAFE Index 34.00 29.60 9.59 8.27 -- -- -- --
</Table>
(2) Maximum Sales Charge is 5.75% for A Shares.
(3) Maximum Contingent Deferred Sales Charge is 4.5% for B Shares; reduced after
12 months and eliminated after six years.
(4) Assuming Maximum Applicable Sales Charge.
(5) Fund commenced investment operations on December 29, 1997.
- --------------------------------------------------------------------------------
17
CASH RESERVES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 8.02%
- -------------------------------------------------
FINANCE - 8.02%
$ 475,000 Bank of America
Corp.
7.125%, due
09/15/06........... $ 480,070
700,000 Goldman Sachs Group, Inc.,
Series B (G)
4.866%, due
08/01/06........... 700,119
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$1,180,189 )....... 1,180,189
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 83.27%
- -------------------------------------------------
FEDERAL AGRICULTURAL MORTGAGE CORP.
(A) - 5.39%
800,000 4.850%, due
07/07/06........... 792,779
-----------
FEDERAL FARM CREDIT BANK - 22.01%
700,000 4.650%, due
05/03/06 (A)....... 699,819
700,000 4.716%, due
06/01/06 (G)....... 699,988
700,000 4.761%, due
07/14/06 (G)....... 700,000
400,000 4.350%, due
07/17/06 (A)....... 396,279
750,000 4.850%, due
07/26/06 (A)....... 741,310
-----------
3,237,396
-----------
FEDERAL HOME LOAN BANK (A) - 6.78%
700,000 4.640%, due
05/08/06........... 699,369
300,000 4.760%, due
06/16/06........... 298,175
-----------
997,544
-----------
FEDERAL HOME LOAN MORTGAGE
CORP. - 19.03%
700,000 4.670%, due
05/02/06 (A)....... 699,909
200,000 4.680%, due
05/05/06 (A)....... 199,896
650,000 4.660%, due
05/09/06 (A)....... 649,327
250,000 4.740%, due
05/30/06 (A)....... 249,046
1,000,000 4.990%, due
01/26/07 (G)....... 1,000,000
-----------
2,798,178
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (A) - 14.12%
500,000 4.680%, due
05/12/06........... 499,285
600,000 4.740%, due
06/07/06........... 597,077
1,000,000 4.470%, due
10/02/06........... 980,878
-----------
2,077,240
-----------
TENNESSEE VALLEY AUTHORITY (A) -
4.75%
700,000 4.700%, due
05/18/06........... 698,446
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
- -------------------------------------------------
U.S. TREASURY BILLS (A) - 11.19%
$ 900,000 4.450%, due
05/18/06........... $ 898,109
750,000 4.531%, due
05/25/06........... 747,734
-----------
1,645,843
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$12,247,426 )...... 12,247,426
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 8.90%
- -------------------------------------------------
593,089 J.P. Morgan Prime
Money Market
Fund............... 593,089
715,136 SSgA Prime Money
Market Fund........ 715,136
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$1,308,225 )....... 1,308,225
TOTAL INVESTMENTS - 100.19%
- -------------------------------------------------
( Cost $14,735,840** )............... 14,735,840
NET OTHER ASSETS AND LIABILITIES - (0.19)%
- -------------------------------------------------
(27,435)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 14,708,405
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$14,735,840.
(A) Rate noted represents annualized yield at time of
purchase.
(G) Floating rate note. Date shown is next reset date.
- --------------------------------------------------------------------------------
18
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 6.97%
- -------------------------------------------------
$ 67,225 ABSC Long Beach Home Equity Loan
Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due
09/21/30............ $ 67,052
300,000 Ameriquest Mortgage Securities,
Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due
05/25/34............ 293,541
860,000 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1
2.550%, due
01/20/09............ 843,888
464,137 Countrywide Asset-Backed
Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due
12/25/32............ 462,561
560,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due
10/25/33............ 541,134
457,650 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due
12/01/27............ 457,145
1,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due
11/25/33............ 1,493,899
580,000 Park Place Securities, Inc.,
Series 2004-WWF1, Class M10 (G)(M)
7.459%, due
02/25/35............ 576,402
1,621,000 Residential Asset Mortgage Products,
Inc.,
Series 2003-RS9, Class AI5
4.990%, due
03/25/31............ 1,613,206
315,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due
05/25/35............ 312,776
440,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.959%, due
03/25/33............ 439,972
-----------
TOTAL ASSET BACKED
( Cost
$7,143,418 )........ 7,101,576
COMMERCIAL MORTGAGE BACKED - 7.35%
- -------------------------------------------------
557,753 Bear Stearns Commercial Mortgage
Securities,
Series 2001-TOP4, Class A1
5.060%, due
11/15/16............ 553,473
525,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A2
3.700%, due
02/13/46............ 507,978
525,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A6 (G)
4.750%, due
02/13/46............ 490,623
325,000 Bear Stearns Commercial Mortgage
Securities,
Series 2005-T20, Class F (C)(G)
5.156%, due
10/12/42............ 305,893
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
$1,100,000 Government National Mortgage
Association,
Series 2004-43, Class C (G)
5.008%, due
12/16/25............ $ 1,066,565
1,200,000 Greenwich Capital Commercial Funding
Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due
06/10/36............ 1,171,126
800,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due
12/15/29............ 753,730
12,445 Morgan Stanley Capital I,
Series 1999-CAM1, Class A3
6.920%, due
03/15/32............ 12,430
1,150,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due
04/14/40............ 1,091,598
500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due
09/13/45............ 470,883
330,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due
11/28/35............ 273,088
814,123 Wachovia Bank Commercial Mortgage
Trust,
Series 2003-C6, Class A1
3.364%, due
08/15/35............ 789,013
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost
$7,812,670 )........ 7,486,400
PRIVATE LABEL MORTGAGE BACKED - 1.04%
- -------------------------------------------------
1,066,604 Bank of America Alternative Loan
Trust,
Series 2005-12, Class 3CB1
6.000%, due
01/25/36............ 1,054,687
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost
$1,067,670 )........ 1,054,687
CORPORATE NOTES AND BONDS - 26.62%
- -------------------------------------------------
CAPITAL GOODS - 0.97%
1,000,000 Caterpillar Financial Services
Corp.,
Series F
2.500%, due
10/03/06............ 988,550
-----------
CONSUMER DISCRETIONARY - 2.09%
750,000 American Association of Retired
Persons (C)
7.500%, due
05/01/31............ 876,257
700,000 Carnival Corp. (D)
3.750%, due
11/15/07............ 682,538
575,000 Erac USA Finance Co. (C)
6.700%, due
06/01/34............ 569,730
-----------
2,128,525
-----------
</Table>
- --------------------------------------------------------------------------------
19
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
CONSUMER STAPLES - 0.72%
$ 750,000 Coca-Cola Enterprises, Inc. (O)
4.375%, due
09/15/09............ $ 728,064
-----------
ENERGY - 1.67%
240,000 Amerada Hess Corp.
7.875%, due
10/01/29............ 273,380
500,000 Burlington Resources Finance Co.
5.700%, due
03/01/07............ 499,868
400,000 Pemex Project Funding Master Trust
(O)
7.375%, due
12/15/14............ 424,000
450,000 Valero Energy Corp.
7.500%, due
04/15/32............ 504,206
-----------
1,701,454
-----------
FINANCE - 6.36%
500,000 AIG SunAmerica Global Financing XII
(C)
5.300%, due
05/30/07............ 499,148
500,000 American General Finance Corp.,
Series H
4.625%, due
09/01/10............ 479,521
500,000 Bear Stearns Cos., Inc.
7.800%, due
08/15/07............ 514,933
500,000 CIT Group, Inc.
7.375%, due
04/02/07............ 509,061
290,000 GE Global Insurance Holding Corp.
7.000%, due
02/15/26............ 308,180
330,000 GE Global Insurance Holding Corp.
7.750%, due
06/15/30............ 381,910
750,000 Goldman Sachs Group, Inc.
5.700%, due
09/01/12............ 749,114
750,000 HSBC Finance Corp.
6.500%, due
11/15/08............ 770,256
500,000 Merrill Lynch & Co., Inc.
7.375%, due
05/15/06............ 500,324
500,000 U.S. Bank N.A.
6.300%, due
02/04/14............ 515,849
750,000 Wachovia Corp.
4.950%, due
11/01/06............ 748,503
500,000 Washington Mutual Finance Corp.
6.250%, due
05/15/06............ 500,172
-----------
6,476,971
-----------
FORESTRY/PAPER - 0.35%
325,000 Westvaco Corp.
8.200%, due
01/15/30............ 355,844
-----------
HEALTH CARE - 1.36%
500,000 Eli Lilly & Co.
6.570%, due
01/01/16............ 529,259
325,000 Genentech, Inc.
5.250%, due
07/15/35............ 281,589
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
HEALTH CARE (CONTINUED)
$ 345,000 Merck & Co., Inc.
6.400%, due
03/01/28............ $ 342,955
230,000 Wyeth (O)
6.500%, due
02/01/34............ 232,939
-----------
1,386,742
-----------
INDUSTRIALS - 5.57%
240,000 Boeing Co.
8.625%, due
11/15/31............ 311,870
215,000 D.R. Horton, Inc.
5.250%, due
02/15/15............ 195,728
500,000 DaimlerChrysler N.A. Holding Corp.
4.750%, due
01/15/08............ 493,421
1,000,000 Dow Chemical Co.
5.750%, due
12/15/08............ 1,009,726
800,000 General Electric Co.
5.000%, due
02/01/13............ 773,453
250,000 General Motors Acceptance Corp. (O)
6.125%, due
08/28/07............ 243,009
850,000 General Motors Acceptance Corp.
7.250%, due
03/02/11............ 812,704
200,000 International Paper Co.
7.875%, due
08/01/06............ 201,006
215,000 Pulte Homes, Inc. (O)
5.200%, due
02/15/15............ 196,926
192,000 Raytheon Co.
4.500%, due
11/15/07............ 189,483
235,000 Waste Management, Inc.
7.125%, due
12/15/17............ 252,183
500,000 Weyerhaeuser Co. (O)
6.875%, due
12/15/33............ 490,777
525,000 WM Wrigley Jr. Co.
4.300%, due
07/15/10............ 502,949
-----------
5,673,235
-----------
PIPELINE - 0.36%
345,000 KN Energy, Inc.
7.250%, due
03/01/28............ 361,471
-----------
REAL ESTATE INVESTMENT TRUSTS -
0.26%
270,000 Simon Property Group, L.P. (O)
5.625%, due
08/15/14............ 263,595
-----------
TELECOMMUNICATIONS - 1.84%
500,000 Bellsouth Capital Funding
7.875%, due
02/15/30............ 565,101
400,000 Cisco Systems, Inc.
5.500%, due
02/22/16............ 389,920
200,000 Telephone & Data Systems, Inc.
7.000%, due
08/01/06............ 200,423
250,000 Verizon Wireless Capital LLC
5.375%, due
12/15/06............ 250,126
</Table>
- --------------------------------------------------------------------------------
20
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 500,000 Vodafone Group PLC (D)
5.000%, due
12/16/13............ $ 470,649
-----------
1,876,219
-----------
TRANSPORTATION - 1.08%
285,000 Burlington Northern Santa Fe Corp.
8.125%, due
04/15/20............ 338,678
359,000 Norfolk Southern Corp.
5.590%, due
05/17/25............ 333,162
390,000 Norfolk Southern Corp.
7.050%, due
05/01/37............ 425,950
-----------
1,097,790
-----------
UTILITIES - 3.99%
550,000 Constellation Energy Group, Inc.
4.550%, due
06/15/15............ 494,982
750,000 DTE Energy Co.
6.450%, due
06/01/06............ 750,596
500,000 Energy East Corp.
8.050%, due
11/15/10............ 543,607
750,000 Niagara Mohawk Power Corp.
7.750%, due
05/15/06............ 750,618
285,000 Pacific Gas and Electric Co.
6.050%, due
03/01/34............ 272,617
250,000 Progress Energy,
Inc. (O)
7.750%, due
03/01/31............ 283,334
200,000 Sierra Pacific Power
Co. (C)
6.000%, due
05/15/16............ 193,722
750,000 Wisconsin Electric
Power 6.500%, due
06/01/28............ 770,876
-----------
4,060,352
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$27,527,773 )....... 27,098,812
MORTGAGE BACKED - 32.67%
- -------------------------------------------------
FEDERAL HOME LOAN
MORTGAGE CORP. - 4.38%
850,201 5.000%, due 05/01/18
Pool # E96322....... 828,230
8,709 8.000%, due 06/01/30
Pool # C01005....... 9,264
51,219 7.000%, due 03/01/31
Pool # C48133....... 52,683
164,040 6.500%, due 01/01/32
Pool # C62333....... 167,375
2,549,717 5.000%, due 07/01/33
Pool # A11325....... 2,419,389
268,937 6.000%, due 10/01/34
Pool # A28439....... 268,320
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
FEDERAL HOME LOAN
MORTGAGE CORP. (CONTINUED)
$ 280,576 6.000%, due 10/01/34
Pool # A28598....... $ 279,933
231,472 5.000%, due 04/01/35
Pool # A32315....... 218,919
234,499 5.000%, due 04/01/35
Pool # A32316....... 221,781
-----------
4,465,894
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 28.14%
1,362,386 4.000%, due 04/01/15
Pool # 255719....... 1,285,569
969,547 5.500%, due 04/01/16
Pool # 745444 (H)... 965,517
64,143 6.000%, due 05/01/16
Pool # 582558....... 64,989
844,174 5.500%, due 02/01/18
Pool # 673194....... 838,780
1,012,783 5.000%, due 05/01/20
Pool # 813965....... 986,435
1,126,216 4.500%, due 09/01/20
Pool # 835465....... 1,072,836
114,654 6.000%, due 05/01/21
Pool # 253847....... 115,088
765,830 5.500%, due 12/01/22
Pool # 254587....... 751,339
47,912 7.000%, due 12/01/29
Pool # 762813....... 49,404
105,223 7.000%, due 11/01/31
Pool # 607515....... 108,316
155,585 6.000%, due 02/01/32
Pool # 611619....... 155,336
487,131 6.500%, due 03/01/32
Pool # 631377....... 496,733
14,589 7.000%, due 04/01/32
Pool # 641518....... 15,015
45,033 7.000%, due 05/01/32
Pool # 644591....... 46,357
1,256,155 6.500%, due 06/01/32
Pool # 545691....... 1,280,917
428,616 6.000%, due 12/01/32
Pool # 676552....... 427,931
2,188,610 5.500%, due 04/01/33
Pool # 690206....... 2,131,431
425,406 6.000%, due 08/01/33
Pool # 729418....... 424,221
871,529 6.000%, due 08/01/33
Pool # 729423....... 869,101
1,084,609 5.000%, due 10/01/33
Pool # 254903....... 1,029,717
</Table>
- --------------------------------------------------------------------------------
21
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$1,740,944 5.500%, due 11/01/33
Pool # 555880....... $ 1,695,460
163,487 5.000%, due 05/01/34
Pool # 775604....... 155,006
416,114 5.000%, due 05/01/34
Pool # 780890....... 394,528
259,114 5.000%, due 06/01/34
Pool # 255230....... 245,672
2,110,284 5.500%, due 06/01/34
Pool # 780384....... 2,052,765
37,934 7.000%, due 07/01/34
Pool # 792636....... 39,008
429,482 5.500%, due 08/01/34
Pool # 793647....... 417,776
1,629,371 5.500%, due 03/01/35
Pool # 815976....... 1,582,950
752,690 5.500%, due 07/01/35
Pool # 825283....... 731,246
1,054,393 5.000%, due 08/01/35
Pool # 829670....... 997,582
460,875 5.500%, due 08/01/35
Pool # 826872....... 447,745
830,727 5.000%, due 09/01/35
Pool # 820347....... 785,967
929,755 5.000%, due 09/01/35
Pool # 835699....... 879,660
1,066,383 5.000%, due 10/01/35
Pool # 797669....... 1,008,926
1,093,156 5.500%, due 10/01/35
Pool # 836912....... 1,062,012
993,036 5.000%, due 11/01/35
Pool # 844504....... 939,531
1,081,473 5.000%, due 11/01/35
Pool # 844809....... 1,023,203
1,136,495 5.000%, due 12/01/35
Pool # 850561....... 1,075,261
-----------
28,649,330
-----------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 0.15%
23,776 8.000%, due 10/20/15
Pool # 002995....... 25,157
74,263 6.500%, due 02/20/29
Pool # 002714....... 75,860
52,317 6.500%, due 04/20/31
Pool # 003068....... 53,374
-----------
154,391
-----------
TOTAL MORTGAGE BACKED
( Cost
$34,067,152 )....... 33,269,615
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 22.96%
- -------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.51%
$ 500,000 5.875%, due
10/03/16............ $ 517,264
-----------
FEDERAL HOME LOAN
MORTGAGE CORP. - 2.76%
2,500,000 4.875%, due
11/15/13............ 2,431,588
400,000 4.500%, due
01/15/14............ 379,456
-----------
2,811,044
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.48%
1,400,000 4.000%, due
09/02/08............ 1,361,794
1,095,000 4.625%, due 10/15/14
(O)................. 1,043,688
1,000,000 6.625%, due
11/15/30............ 1,141,646
-----------
3,547,128
-----------
U.S. TREASURY BONDS - 2.15%
1,745,000 6.250%, due 05/15/30
(O)................. 1,972,122
210,000 5.375%, due 02/15/31
(O)................. 213,150
-----------
2,185,272
-----------
U.S. TREASURY NOTES - 14.06%
350,000 2.000%, due 05/15/06
(O)................. 349,617
2,250,000 2.625%, due 11/15/06
(O)................. 2,222,226
1,500,000 3.125%, due
01/31/07............ 1,479,785
800,000 3.375%, due 02/28/07
(O)................. 789,782
1,000,000 4.000%, due 08/31/07
(O)................. 988,359
1,040,000 3.000%, due 11/15/07
(O)................. 1,010,993
1,470,000 3.750%, due 05/15/08
(O)................. 1,438,304
2,280,000 3.000%, due 02/15/09
(O)................. 2,168,850
650,000 3.875%, due 05/15/10
(O)................. 625,625
300,000 3.875%, due 09/15/10
(O)................. 287,836
100,000 4.500%, due 11/15/10
(O)................. 98,332
550,000 4.000%, due 02/15/15
(O)................. 509,609
360,000 4.250%, due 08/15/15
(O)................. 338,498
2,100,000 4.500%, due 11/15/15
(O)................. 2,009,765
-----------
14,317,581
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$23,875,728 )....... 23,378,289
</Table>
- --------------------------------------------------------------------------------
22
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 20.29%
- -------------------------------------------------
2,568,172 SSgA Prime Money
Market Fund (N)..... $ 2,568,172
18,089,008 State Street
Navigator Securities
Lending Portfolio
(I)................. 18,089,008
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$20,657,180 )....... 20,657,180
TOTAL INVESTMENTS - 117.90%
- -------------------------------------------------
( Cost $122,151,591** )............. 120,046,559
NET OTHER ASSETS AND LIABILITIES - (17.90)%
- -------------------------------------------------
(18,229,439)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 101,817,120
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$122,221,606.
(C) Security sold within terms of a private placement
memorandum exempt from registration under section 144A of the Securities
Act of 1933, as amended, and may be sold only to dealers in that program or
other "qualified institutional investors." The securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(D) Notes and bonds, issued by foreign entities,
denominated in U.S. dollars. The aggregate of these securities is 1.13% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of April 30, 2006.
(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 April 30, 2006.
(O) All (or portion of security) on loan.
PLC Public Limited Company.
- --------------------------------------------------------------------------------
23
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 95.71%
- -------------------------------------------------
AEROSPACE/DEFENSE - 3.78%
$ 185,000 Argo-Tech Corp.
9.250%, due
06/01/11............ $ 194,944
250,000 Armor Holdings, Inc.
8.250%, due
08/15/13............ 266,875
260,000 BE Aerospace, Inc.,
Series B
8.875%, due
05/01/11............ 271,700
300,000 DI Finance/DynCorp
International,
Series B
9.500%, due
02/15/13............ 313,500
200,000 DRS Technologies, Inc.
7.625%, due
02/01/18............ 205,250
195,000 K&F Acquisition, Inc.
7.750%, due
11/15/14............ 199,387
205,000 L-3 Communications Corp.
6.125%, due
01/15/14............ 196,800
335,000 TransDigm, Inc.
8.375%, due
07/15/11............ 351,750
-----------
2,000,206
-----------
APPAREL/TEXTILES - 1.21%
200,000 Levi Strauss & Co. (G)(O)
9.740%, due
04/01/12............ 208,250
195,000 Levi Strauss & Co.
12.250%, due
12/15/12............ 220,350
200,000 Warnaco, Inc.
8.875%, due
06/15/13............ 210,500
-----------
639,100
-----------
AUTOMOTIVE - .26%
150,000 Ford Motor Credit Co.
6.625%, due
06/16/08............ 140,932
-----------
BEVERAGE/FOOD - 2.22%
150,000 B&G Foods, Inc.
8.000%, due
10/01/11............ 153,750
250,000 Del Monte Corp.
6.750%, due
02/15/15............ 238,750
300,000 Doane Pet Care Company
10.625%, due
11/15/15............ 366,000
125,000 Michael Foods, Inc.
8.000%, due
11/15/13............ 125,313
200,000 NBTY, Inc. (C)
7.125%, due
10/01/15............ 189,000
100,000 Pinnacle Foods Holding Corp. (O)
8.250%, due
12/01/13............ 100,250
-----------
1,173,063
-----------
BUILDING MATERIALS - 2.40%
300,000 Goodman Global Holding Co., Inc.
7.875%, due
12/15/12............ 300,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
BUILDING MATERIALS (CONTINUED)
$ 500,000 Interface, Inc.
7.300%, due
04/01/08............ $ 507,500
172,000 Interface, Inc.
10.375%, due
02/01/10............ 188,340
65,000 Jacuzzi Brands, Inc.
9.625%, due
07/01/10............ 69,631
200,000 Nortek, Inc.
8.500%, due
09/01/14............ 205,000
-----------
1,270,471
-----------
CHEMICALS - 3.42%
110,000 Equistar Chemicals L.P./
Equistar Funding Corp.
10.625%, due
05/01/11............ 119,900
288,000 Huntsman International LLC (O)
10.125%, due
07/01/09............ 293,040
175,000 Lyondell Chemical Co.
9.500%, due
12/15/08............ 182,438
115,000 Lyondell Chemical Co.
11.125%, due
07/15/12............ 127,075
60,000 Nalco Co.
7.750%, due
11/15/11............ 60,300
160,000 Nalco Co. (O)
8.875%, due
11/15/13............ 165,200
375,000 Resolution Performance Products,
Inc. (O)
13.500%, due
11/15/10............ 401,250
143,000 Rhodia S.A. (D)(O)
10.250%, due
06/01/10............ 159,802
95,000 Rockwood Specialties Group, Inc.
10.625%, due
05/15/11............ 103,075
200,000 Rockwood Specialties Group, Inc.
7.500%, due
11/15/14............ 199,500
-----------
1,811,580
-----------
CONSUMER PRODUCTS - 5.00%
250,000 American Achievement Corp.
8.250%, due
04/01/12............ 253,750
300,000 Central Garden and Pet Co.
9.125%, due
02/01/13............ 318,750
150,000 Chattem, Inc. (O)
7.000%, due
03/01/14............ 150,000
185,000 Da-Lite Screen Co., Inc.
9.500%, due
05/15/11............ 196,563
200,000 Elizabeth Arden, Inc.
7.750%, due
01/15/14............ 203,500
150,000 Jarden Corp. (O)
9.750%, due
05/01/12............ 156,000
250,000 Leslie's Poolmart
7.750%, due
02/01/13............ 250,000
175,000 Playtex Products, Inc. (O)
9.375%, due
06/01/11............ 182,437
</Table>
- --------------------------------------------------------------------------------
24
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
$ 185,000 Samsonite Corp.
8.875%, due
06/01/11............ $ 196,100
200,000 Simmons Bedding Co. (O)
7.875%, due
01/15/14............ 197,000
300,000 Visant Corp.
7.625%, due
10/01/12............ 297,750
250,000 Visant Holding Corp. (C)
8.750%, due
12/01/13............ 244,375
-----------
2,646,225
-----------
ENVIRONMENTAL - 0.97%
250,000 Casella Waste Systems, Inc.
9.750%, due
02/01/13............ 266,250
250,000 Waste Connections, Inc. (C)(P)
3.750%, due
04/01/26............ 247,500
-----------
513,750
-----------
FOOD & DRUG RETAILERS - 1.43%
100,000 Ingles Markets, Inc.
8.875%, due
12/01/11............ 104,500
500,000 Rite Aid Corp.
7.125%, due
01/15/07............ 501,250
150,000 Stater Brothers Holdings (O)
8.125%, due
06/15/12............ 150,000
-----------
755,750
-----------
FORESTRY/PAPER - 2.33%
150,000 Abitibi-Consolidated, Inc. (D)(G)
8.410%, due
06/15/11............ 152,250
200,000 Boise Cascade LLC,
Series B (G)
7.943%, due
10/15/12............ 201,500
250,000 Caraustar Industries, Inc.
9.875%, due
04/01/11............ 263,125
190,000 Catalyst Paper Corp. (D)
7.375%, due
03/01/14............ 178,125
220,000 JSG Funding PLC (D)
9.625%, due
10/01/12............ 232,100
200,000 Smurfit-Stone Container Enterprises,
Inc.
9.750%, due
02/01/11............ 204,500
-----------
1,231,600
-----------
GAMING - 7.84%
300,000 American Casino &
Entertainment Properties LLC
7.850%, due
02/01/12............ 306,000
300,000 Aztar Corp.
9.000%, due
08/15/11............ 315,750
500,000 CCM Merger, Inc. (C)(O)
8.000%, due
08/01/13............ 485,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
GAMING (CONTINUED)
$ 100,000 Chukchansi Economic Development
Authority (C)(G)
8.060%, due
11/15/12............ $ 103,250
195,000 Global Cash Access LLC/
Global Cash Finance Corp.
8.750%, due
03/15/12............ 208,894
300,000 Hard Rock Hotel, Inc.
8.875%, due
06/01/13............ 322,500
250,000 Herbst Gaming, Inc.
7.000%, due
11/15/14............ 250,000
100,000 Isle of Capri Casinos, Inc.
9.000%, due
03/15/12............ 106,125
225,000 Isle of Capri Casinos, Inc.
7.000%, due
03/01/14............ 221,063
300,000 Kerzner International Ltd. (D)
6.750%, due
10/01/15............ 311,250
155,000 Mandalay Resort Group (O)
9.375%, due
02/15/10............ 166,625
150,000 Mandalay Resort Group,
Series B
10.250%, due
08/01/07............ 157,125
345,000 MGM Mirage (O)
8.375%, due
02/01/11............ 363,112
70,000 MGM Mirage (O)
5.875%, due
02/27/14............ 65,012
200,000 Pinnacle Entertainment, Inc.
8.250%, due
03/15/12............ 209,000
150,000 Pinnacle Entertainment, Inc.
8.750%, due
10/01/13............ 161,250
200,000 Seneca Gaming Corp.
7.250%, due
05/01/12............ 199,000
200,000 Seneca Gaming Corp.,
Series B
7.250%, due
05/01/12............ 199,000
-----------
4,149,956
-----------
GENERAL INDUSTRIAL &
MANUFACTURING - 1.76%
250,000 Chart Industries, Inc./
Pre First Reserve Fund X L.P. Merger
(C)
9.125%, due
10/15/15............ 257,500
200,000 Hexcel Corp.
6.750%, due
02/01/15............ 196,500
200,000 Mueller Group, Inc.
10.000%, due
05/01/12............ 219,000
250,000 Wesco Distribution, Inc. (C)
7.500%, due
10/15/17............ 255,000
-----------
928,000
-----------
HEALTH CARE - 6.26%
200,000 Alderwoods Group, Inc.
7.750%, due
09/15/12............ 215,000
</Table>
- --------------------------------------------------------------------------------
25
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
HEALTH CARE (CONTINUED)
$ 150,000 Angiotech Pharmaceuticals, Inc.
(C)(D)
7.750%, due
04/01/14............ $ 150,750
350,000 Carriage Services, Inc.
7.875%, due
01/15/15............ 354,375
105,000 Extendicare Health Services, Inc.
6.875%, due
05/01/14............ 107,625
100,000 Fisher Scientific International,
Inc.
6.125%, due
07/01/15............ 95,250
315,000 HCA, Inc.
7.875%, due
02/01/11............ 330,016
165,000 HCA, Inc. (O)
6.375%, due
01/15/15............ 158,872
200,000 IASIS Healthcare LLC/IASIS Capital
Corp.
8.750%, due
06/15/14............ 202,000
300,000 Omega Healthcare Investors, Inc.
7.000%, due
04/01/14............ 294,000
100,000 Psychiatric Solutions, Inc.
7.750%, due
07/15/15............ 102,500
250,000 Res-Care, Inc.
7.750%, due
10/15/13............ 251,250
250,000 Sybron Dental Specialties, Inc.
8.125%, due
06/15/12............ 264,375
200,000 Triad Hospitals, Inc.
7.000%, due
11/15/13............ 195,250
200,000 Vanguard Health Holding Co., II LLC
9.000%, due
10/01/14............ 206,500
250,000 Warner Chilcott Corp. (C)
9.250%, due
02/01/15............ 248,750
150,000 Watson Pharmaceuticals, Inc. (P)
1.750%, due
03/15/23............ 137,250
-----------
3,313,763
-----------
HOTELS - 1.07%
250,000 Felcor Lodging L.P. (G)
8.830%, due
06/01/11............ 259,375
300,000 Gaylord Entertainment Co.
8.000%, due
11/15/13............ 307,875
-----------
567,250
-----------
LEISURE & ENTERTAINMENT - 0.85%
245,000 Intrawest Corp. (D)
7.500%, due
10/15/13............ 248,063
200,000 NCL Corp.
10.625%, due
07/15/14............ 202,000
-----------
450,063
-----------
MEDIA - BROADCASTING - 2.83%
260,000 Allbritton Communications Co.
7.750%, due
12/15/12............ 260,650
250,000 Gray Television, Inc.
9.250%, due
12/15/11............ 264,375
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MEDIA - BROADCASTING (CONTINUED)
$ 50,000 LIN Television Corp.
6.500%, due
05/15/13............ $ 46,250
300,000 LIN Television Corp.,
Series B
6.500%, due
05/15/13............ 277,500
150,000 Radio One, Inc.
6.375%, due
02/15/13............ 141,000
250,000 Sinclair Broadcast Group, Inc.
8.000%, due
03/15/12............ 254,375
250,000 XM Satellite Radio, Inc. (C)(H)
9.750%, due
05/01/14............ 251,250
-----------
1,495,400
-----------
MEDIA - CABLE - 6.06%
435,000 Cablevision Systems Corp.,
Series B (G)
9.620%, due
04/01/09............ 460,013
150,000 Cablevision Systems Corp.,
Series B (O)
8.000%, due
04/15/12............ 149,625
107,000 DirecTV Holdings LLC/DirecTV
Financing Co.
8.375%, due
03/15/13............ 114,356
250,000 EchoStar Communications Corp. (P)
5.750%, due
05/15/08............ 246,562
200,000 Insight Communications Co., Inc. (O)
12.250%, due
02/15/11............ 213,250
200,000 Insight Midwest L.P./Insight
Capital, Inc.
10.500%, due
11/01/10............ 210,250
400,000 Kabel Deutschland GmbH (C)(D)
10.625%, due
07/01/14............ 432,000
300,000 Lodgenet Entertainment Corp.
9.500%, due
06/15/13............ 323,250
250,000 Mediacom Broadband LLC
8.500%, due
10/15/15............ 246,250
150,000 Mediacom LLC/Mediacom Capital Corp.
(O)
9.500%, due
01/15/13............ 153,375
500,000 Telenet Group Holding N.V.
(B)(C)(D)(O)
0.000%, due
06/15/14............ 413,750
250,000 Videotron Ltee (D)
6.375%, due
12/15/15............ 245,000
-----------
3,207,681
-----------
MEDIA - DIVERSIFIED &
SERVICES - 3.83%
250,000 Advanstar Communications, Inc.
10.750%, due
08/15/10............ 271,250
200,000 Advanstar Communications, Inc.,
Series B
12.000%, due
02/15/11............ 211,500
200,000 Hughes Network Systems LLC/
HNS Finance Corp. (C)
9.500%, due
04/15/14............ 203,750
</Table>
- --------------------------------------------------------------------------------
26
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
MEDIA - DIVERSIFIED &
SERVICES (CONTINUED)
$ 300,000 Intelsat, Ltd. (D)
5.250%, due
11/01/08............ $ 288,750
150,000 Intelsat Subsidiary Holding Co.,
Ltd. (G)
9.614%, due
01/15/12............ 152,250
125,000 Lamar Media Corp.
7.250%, due
01/01/13............ 125,313
100,000 Lamar Media Corp.
6.625%, due
08/15/15............ 97,250
200,000 LBI Media, Inc.
10.125%, due
07/15/12............ 215,000
200,000 New Skies Satellites N.V. (D)(G)
9.573%, due
11/01/11............ 206,000
250,000 Quebecor Media, Inc. (C)(D)
7.750%, due
03/15/16............ 256,250
-----------
2,027,313
-----------
METALS AND MINING - 1.53%
300,000 Alpha Natural Resources LLC/
Alpha Natural Resources Capital
Corp.
10.000%, due
06/01/12............ 328,500
200,000 Foundation PA Coal Co.
7.250%, due
08/01/14............ 200,500
150,000 Massey Energy Co.
6.625%, due
11/15/10............ 151,125
130,000 Peabody Energy Corp.,
Series B
6.875%, due
03/15/13............ 130,975
-----------
811,100
-----------
NON FOOD & DRUG RETAILERS - 3.69%
200,000 Affinity Group, Inc.
9.000%, due
02/15/12............ 201,000
250,000 Autonation, Inc. (C)(G)
7.045%, due
04/15/13............ 254,375
300,000 Buhrmann US, Inc.
7.875%, due
03/01/15............ 303,750
300,000 Burlington Coat Factory
Warehouse Corp. (C)(O)
11.125%, due
04/15/14............ 304,500
260,000 Couche-Tard U.S. L.P./
Couche-Tard Finance
Corp.
7.500%, due
12/15/13............ 264,550
100,000 GSC Holdings Corp. (C)(G)
8.865%, due
10/01/11............ 103,125
150,000 Pantry, Inc.
7.750%, due
02/15/14............ 152,062
100,000 Petro Stopping Centers L.P./
Petro Financial
Corp.
9.000%, due
02/15/12............ 101,125
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
NON FOOD & DRUG RETAILERS
(CONTINUED)
$ 250,000 Stripes Acquisition LLC/
Susser Finance Corp.
(C)
10.625%, due
12/15/13............ $ 265,625
-----------
1,950,112
-----------
OIL & GAS - 5.40%
166,000 Chesapeake Energy Corp.
6.875%, due
01/15/16............ 163,510
300,000 Compton Petroleum Finance Corp.
7.625%, due
12/01/13............ 297,000
250,000 Comstock Resources, Inc.
6.875%, due
03/01/12............ 244,375
250,000 Denbury Resources, Inc.
7.500%, due
04/01/13............ 255,625
175,000 Encore Acquisition Co.
6.250%, due
04/15/14............ 166,250
200,000 Encore Acquisition Co.
6.000%, due
07/15/15............ 185,000
215,000 Exco Resources, Inc.
7.250%, due
01/15/11............ 212,313
100,000 Hanover Compressor Co.
8.625%, due
12/15/10............ 104,250
190,000 Hanover Compressor Co.
9.000%, due
06/01/14............ 204,250
250,000 Harvest Operations Corp. (D)
7.875%, due
10/15/11............ 245,000
190,000 Plains Exploration & Production Co.
(O)
7.125%, due
06/15/14............ 192,375
300,000 Range Resources Corp.
6.375%, due
03/15/15............ 289,500
100,000 Universal Compression, Inc.
7.250%, due
05/15/10............ 101,000
200,000 Whiting Petroleum Corp.
7.250%, due
05/01/13............ 199,000
-----------
2,859,448
-----------
PACKAGING - 2.06%
250,000 BWAY Corp.
10.000%, due
10/15/10............ 265,000
250,000 Crown Americas LLC and Crown
Americas Capital Corp. (C)
7.625%, due
11/15/13............ 256,250
190,000 Owens-Brockway Glass Container, Inc.
8.875%, due
02/15/09............ 197,600
115,000 Owens-Brockway Glass Container, Inc.
8.750%, due
11/15/12............ 122,762
250,000 Silgan Holdings, Inc.
6.750%, due
11/15/13............ 247,500
-----------
1,089,112
-----------
</Table>
- --------------------------------------------------------------------------------
27
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
PRINTING & PUBLISHING - 4.40%
$ 300,000 CBD Media, Inc.
8.625%, due
06/01/11............ $ 304,500
153,000 Dex Media East LLC/
Dex Media East Finance Co.
12.125%, due
11/15/12............ 173,081
665,000 Dex Media, Inc. (B)(O)
0.000%, due
11/15/13............ 565,250
132,000 Dex Media West LLC/
Dex Media Finance Co.,
Series B
9.875%, due
08/15/13............ 145,365
500,000 Houghton Mifflin Co. (O)
9.875%, due
02/01/13............ 535,000
100,000 Morris Publishing Group LLC
7.000%, due
08/01/13............ 94,250
250,000 RH Donnelley Corp. (C)
6.875%, due
01/15/13............ 232,500
250,000 RH Donnelley, Inc.
10.875%, due
12/15/12............ 277,500
-----------
2,327,446
-----------
RESTAURANTS - 0.39%
200,000 Domino's, Inc.
8.250%, due
07/01/11............ 207,000
-----------
STEEL - 0.38%
200,000 Valmont Industries,
Inc.
6.875%, due
05/01/14............ 199,000
-----------
SUPPORT SERVICES - 6.57%
150,000 Ahern Rentals, Inc.
9.250%, due
08/15/13............ 156,375
250,000 Avis Budget Car Rental LLC/
Avis Budget Finance, Inc. (C)(G)
7.576%, due
05/15/14............ 257,187
150,000 Cardtronics, Inc. (C)
9.250%, due
08/15/13............ 148,875
250,000 H&E Equipment Services LLC/
H&E Finance Corp.
11.125%, due
06/15/12............ 276,250
200,000 Hertz Corp. (C)
8.875%, due
01/01/14............ 212,500
250,000 Hertz Corp. (C)(O)
10.500%, due
01/01/16............ 276,563
410,000 Iron Mountain, Inc.
8.625%, due
04/01/13............ 426,912
350,000 Mac-Gray Corp.
7.625%, due
08/15/15............ 358,750
500,000 NationsRent Cos., Inc.
9.500%, due
05/01/15............ 542,500
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
SUPPORT SERVICES (CONTINUED)
$ 200,000 Norcross Safety Products LLC/
Norcross Capital Corp.,
Series B
9.875%, due
08/15/11............ $ 209,500
300,000 United Rentals North America, Inc.
7.750%, due
11/15/13............ 301,500
300,000 Williams Scotsman, Inc.
8.500%, due
10/01/15............ 308,250
-----------
3,475,162
-----------
TECHNOLOGY - 4.34%
250,000 Activant Solutions,
Inc. (C)(G)
10.990%, due
04/01/10............ 255,000
200,000 Flextronics International, Ltd.
(D)(O)(P)
1.000%, due
08/01/10............ 187,000
100,000 Flextronics International, Ltd. (D)
6.500%, due
05/15/13............ 98,500
450,000 Lucent Technologies, Inc.
6.450%, due
03/15/29............ 399,375
250,000 Serena Software, Inc. (C)
10.375%, due
03/15/16............ 266,250
200,000 Sungard Data Systems, Inc. (C)
9.125%, due
08/15/13............ 213,500
150,000 Sungard Data Systems, Inc. (C)
10.250%, due
08/15/15............ 161,250
300,000 Syniverse Technologies, Inc.,
Series B
7.750%, due
08/15/13............ 299,250
405,000 Xerox Corp.
7.625%, due
06/15/13............ 418,163
-----------
2,298,288
-----------
TELECOMMUNICATIONS - 8.13%
400,000 Alamosa Delaware,
Inc.
12.000%, due
07/31/09............ 428,500
500,000 American Cellular Corp.,
Series B
10.000%, due
08/01/11............ 542,500
400,000 Centennial Communications Corp. (G)
10.740%, due
01/01/13............ 418,000
350,000 Centennial Communications Corp./
Cellular Operating Co. LLC/
Puerto Rico Operations
8.125%, due
02/01/14............ 360,500
200,000 Cincinnati Bell, Inc. (O)
8.375%, due
01/15/14............ 204,500
195,000 Citizens Communications Co.
6.250%, due
01/15/13............ 189,394
165,000 Eircom Funding (D)
8.250%, due
08/15/13............ 177,375
</Table>
- --------------------------------------------------------------------------------
28
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 250,000 Nordic Telephone Co.
Holdings ApS (C)(D)(H)
8.875%, due
05/01/16............ $ 258,750
250,000 Qwest Communications
International, Inc. (G)
8.249%, due
02/15/09............ 255,000
270,000 Qwest Corp.
7.625%, due
06/15/15............ 280,800
100,000 Rogers Wireless, Inc. (D)
8.000%, due
12/15/12............ 105,000
300,000 Rural Cellular Corp.
8.250%, due
03/15/12............ 315,000
167,000 SBA Telecommunications, Inc./
SBA Communications Corp. (B)
0.000%, due
12/15/11............ 159,902
260,000 Time Warner Telecom Holdings, Inc.
9.250%, due
02/15/14............ 276,900
315,000 Time Warner Telecom, Inc.
10.125%, due
02/01/11............ 330,750
-----------
4,302,871
-----------
TRANSPORTATION - 0.86%
150,000 CHC Helicopter Corp. (D)
7.375%, due
05/01/14............ 152,625
300,000 Gulfmark Offshore, Inc. (O)
7.750%, due
07/15/14............ 303,000
-----------
455,625
-----------
UTILITIES - 4.44%
250,000 Edison Mission Energy
7.730%, due
06/15/09............ 255,938
100,000 El Paso Corp.
7.625%, due
08/16/07............ 101,500
200,000 Holly Energy Partners L.P.
6.250%, due
03/01/15............ 188,500
300,000 Inergy L.P./Inergy Finance Corp.
6.875%, due
12/15/14............ 283,500
100,000 Mirant Americas Generation LLC
8.300%, due
05/01/11............ 103,250
150,000 Mirant North America LLC (C)
7.375%, due
12/31/13............ 150,563
290,000 Mission Energy Holding Co.
13.500%, due
07/15/08............ 329,512
200,000 Northwestern Corp.
5.875%, due
11/01/14............ 196,803
500,000 NRG Energy, Inc.
7.375%, due
02/01/16............ 504,375
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
UTILITIES (CONTINUED)
$ 250,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due
12/15/13............ $ 236,875
-----------
2,350,816
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$50,351,729 )....... 50,648,083
<Caption>
Shares
- ------
PREFERRED STOCKS - 1.72%
- -------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.45%
10,030 General Motors
Corp., Series A
(O)(P)
4.500%.............. 237,911
-----------
LEISURE & ENTERTAINMENT - 0.13%
3,000 Six Flags, Inc.
(O)(P)
7.250%.............. 69,600
-----------
OIL & GAS - 0.63%
3,500 Chesapeake Energy Corp. (O)(P)
4.500%.............. 331,625
-----------
TELECOMMUNICATIONS - 0.51%
5,000 Crown Castle International Corp. (P)
6.250%.............. 272,750
-----------
TOTAL PREFERRED STOCKS
( Cost $892,619 )... 911,886
-----------
</Table>
- --------------------------------------------------------------------------------
29
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 16.51%
- -------------------------------------------------
$1,059,712 SSgA Prime Money
Market Fund (N)..... $ 1,059,712
7,674,585 State Street
Navigator Securities
Lending Portfolio
(I)................. 7,674,585
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$8,734,297 )........ 8,734,297
TOTAL INVESTMENTS - 113.94%
- -------------------------------------------------
( Cost $59,978,645** )............... 60,294,266
NET OTHER ASSETS AND LIABILITIES - (13.94)%
- -------------------------------------------------
(7,375,420)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 52,918,846
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$59,984,280.
(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 8.50% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of April 30, 2006.
(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 April 30, 2006.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
- --------------------------------------------------------------------------------
30
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 66.73%
- -------------------------------------------------
CONSUMER DISCRETIONARY - 5.45%
27,000 Comcast Corp.,
Class A*........... $ 835,650
49,500 Home Depot,
Inc. .............. 1,976,535
11,000 Lowe's Cos.,
Inc. .............. 693,550
38,000 McDonald's
Corp. ............. 1,313,660
29,000 Target Corp. ...... 1,539,900
19,500 Tiffany & Co. ..... 680,355
78,000 Time Warner,
Inc. .............. 1,357,200
25,050 Viacom, Inc.*...... 997,742
53,600 Walt Disney Co. ... 1,498,656
-----------
10,893,248
-----------
CONSUMER STAPLES - 6.50%
28,000 Altria Group,
Inc. .............. 2,048,480
22,900 Coca-Cola Co. ..... 960,884
13,000 Colgate-Palmolive
Co. ............... 768,560
21,000 CVS Corp. ......... 624,120
21,500 General Mills,
Inc. .............. 1,060,810
16,000 Kellogg Co. ....... 740,960
23,000 PepsiCo, Inc. ..... 1,339,520
48,500 Procter & Gamble
Co. ............... 2,823,185
58,200 Wal-Mart Stores,
Inc. .............. 2,620,746
-----------
12,987,265
-----------
ENERGY - 7.37%
36,000 Chevron Corp. ..... 2,196,720
36,700 ConocoPhillips..... 2,455,230
10,000 Devon Energy
Corp. ............. 601,100
8,500 EOG Resources,
Inc. .............. 596,955
57,500 Exxon Mobil
Corp. ............. 3,627,100
16,200 Marathon Oil
Corp. ............. 1,285,632
16,000 Schlumberger,
Ltd. .............. 1,106,240
14,516 Transocean,
Inc.*.............. 1,176,812
5,000 Valero Energy
Corp. ............. 323,700
25,500 Weatherford
International,
Ltd.*.............. 1,349,715
-----------
14,719,204
-----------
FINANCIALS - 13.90%
18,000 ACE, Ltd. ......... 999,720
12,000 Allstate Corp. .... 677,880
27,500 American Express
Co. ............... 1,479,775
31,000 American
International
Group, Inc. ....... 2,022,750
62,092 Bank of America
Corp. ............. 3,099,632
91,600 Citigroup, Inc. ... 4,575,420
7,500 Everest Re Group,
Ltd. .............. 682,500
21,500 Federal Home Loan
Mortgage Corp. .... 1,312,790
15,000 General Growth
Properties, Inc.,
REIT............... 704,250
12,300 Goldman Sachs
Group, Inc. ....... 1,971,567
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
47,902 J.P. Morgan Chase &
Co. ............... $ 2,173,793
24,000 Merrill Lynch &
Co., Inc........... 1,830,240
16,500 Morgan Stanley..... 1,060,950
20,000 National City
Corp. ............. 738,000
19,000 SunTrust Banks,
Inc. .............. 1,469,270
35,000 U.S. Bancorp....... 1,100,400
27,000 Wells Fargo &
Co. ............... 1,854,630
-----------
27,753,567
-----------
HEALTH CARE - 8.84%
32,000 Abbott
Laboratories....... 1,367,680
16,000 Amgen, Inc.*....... 1,083,200
5,000 Barr
Pharmaceuticals,
Inc.*.............. 302,750
31,500 Baxter
International,
Inc. .............. 1,187,550
10,000 Cardinal Health,
Inc. .............. 673,500
6,000 Cigna Corp. ....... 642,000
15,800 Genzyme Corp.*..... 966,328
5,500 Gilead Sciences,
Inc.*.............. 316,250
10,500 Invitrogen
Corp.*............. 693,105
46,000 Johnson &
Johnson............ 2,696,060
30,500 Medtronic, Inc. ... 1,528,660
70,862 Pfizer, Inc. ...... 1,794,935
25,000 Stryker Corp. ..... 1,093,750
17,000 UnitedHealth Group,
Inc. .............. 845,580
9,500 WellPoint, Inc.*... 674,500
36,600 Wyeth.............. 1,781,322
-----------
17,647,170
-----------
INDUSTRIALS - 8.20%
18,000 3M Co. ............ 1,537,740
13,400 Burlington Northern
Santa Fe Corp. .... 1,065,702
13,700 FedEx Corp. ....... 1,577,281
158,000 General Electric
Co. ............... 5,465,220
28,100 Honeywell
International,
Inc. .............. 1,194,250
17,000 Illinois Tool
Works, Inc. ....... 1,745,900
35,000 United Technologies
Corp. ............. 2,198,350
42,700 Waste Management,
Inc. .............. 1,599,542
-----------
16,383,985
-----------
INFORMATION TECHNOLOGY - 10.59%
29,500 Adobe Systems,
Inc.*.............. 1,156,400
44,000 Altera Corp.*...... 960,960
30,000 Applied Materials,
Inc. .............. 538,500
15,000 Automatic Data
Processing,
Inc. .............. 661,200
41,000 Cisco Systems,
Inc.*.............. 858,950
44,500 Dell, Inc.*........ 1,165,900
20,000 eBay, Inc.*........ 688,200
122,000 EMC
Corp./Massachusetts*... 1,648,220
25,965 First Data
Corp. ............. 1,238,271
</Table>
- --------------------------------------------------------------------------------
31
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
1,100 Google, Inc., Class
A*................. $ 459,734
36,000 Hewlett-Packard
Co. ............... 1,168,920
71,000 Intel Corp. ....... 1,418,580
25,700 International
Business Machines
Corp. ............. 2,116,138
53,400 Micron Technology,
Inc.*.............. 906,198
120,000 Microsoft Corp. ... 2,898,000
46,000 Motorola, Inc. .... 982,100
16,000 Qualcomm, Inc. .... 821,440
32,000 Texas Instruments,
Inc. .............. 1,110,720
10,500 Yahoo!, Inc.*...... 344,190
-----------
21,142,621
-----------
MATERIALS - 2.16%
15,900 Dow Chemical
Co. ............... 645,699
22,500 Inco, Ltd. ........ 1,270,575
26,500 Rohm and Haas
Co. ............... 1,340,900
15,000 Weyerhaeuser
Co. ............... 1,057,050
-----------
4,314,224
-----------
TELECOMMUNICATION SERVICES - 1.61%
52,000 BellSouth Corp. ... 1,756,560
58,500 Sprint Nextel
Corp. ............. 1,450,800
-----------
3,207,360
-----------
UTILITIES - 2.11%
13,000 Dominion Resources,
Inc. .............. 973,310
23,000 Duke Energy
Corp. ............. 669,760
17,500 Exelon Corp. ...... 945,000
24,000 FPL Group, Inc. ... 950,400
17,000 PG&E Corp. ........ 677,280
-----------
4,215,750
-----------
TOTAL COMMON STOCKS
( Cost
$113,271,317 )..... 133,264,394
<Caption>
Par Value
- ---------
ASSET BACKED - 1.43%
- -------------------------------------------------
$ 103,893 ABSC Long Beach Home Equity Loan
Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due
09/21/30........... 103,625
500,000 Ameriquest Mortgage Securities,
Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due
05/25/34........... 489,236
340,000 Citibank Credit Card Issuance
Trust,
Series 2004-A1, Class A1
2.550%, due
01/20/09........... 333,630
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED (CONTINUED)
- -------------------------------------------------
$ 320,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1 (G)
3.950%, due
10/25/33........... $ 309,219
277,450 Green Tree
Financial Corp.,
Series 1998-2,
Class A6
6.810%, due
12/01/27........... 277,144
380,000 Park Place
Securities, Inc.,
Series 2004-WWF1, Class M10 (G)(M)
7.459%, due
02/25/35........... 377,643
500,000 Residential Asset Mortgage
Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due
03/25/31........... 497,596
200,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due
05/25/35........... 198,588
270,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
7.959%, due
03/25/33........... 269,983
-----------
TOTAL ASSET BACKED
( Cost
$2,888,382 )....... 2,856,664
COMMERCIAL MORTGAGE BACKED - 1.93%
- -------------------------------------------------
339,502 Bear Stearns Commercial Mortgage
Securities,
Series 2001-TOP4, Class A1
5.060%, due
11/15/16........... 336,897
350,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A2
3.700%, due
02/13/46........... 338,652
350,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A6 (G)
4.750%, due
02/13/46........... 327,082
200,000 Bear Stearns Commercial Mortgage
Securities,
Series 2005-T20, Class F (C)(G)
5.156%, due
10/12/42........... 188,242
600,000 Government National Mortgage
Association,
Series 2004-43, Class C (G)
5.008%, due
12/16/25........... 581,763
400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due
06/10/36........... 390,375
400,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due
12/15/29........... 376,865
</Table>
- --------------------------------------------------------------------------------
32
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
$ 12,446 Morgan Stanley Capital I,
Series 1999-CAM1, Class A3
6.920%, due
03/15/32........... $ 12,430
700,000 Morgan Stanley
Capital I, Series
2004-HQ4, Class A7
4.970%, due
04/14/40........... 664,451
200,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due
11/28/35........... 165,508
479,311 Wachovia Bank Commercial Mortgage
Trust,
Series 2003-C6, Class A1
3.364%, due
08/15/35........... 464,527
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost
$4,011,599 )....... 3,846,792
PRIVATE LABEL MORTGAGE BACKED - 0.24%
- -------------------------------------------------
484,820 Bank of America Alternative Loan
Trust,
Series 2005-12, Class 3CB1
6.000%, due
01/25/36........... 479,403
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost
$485,305 )......... 479,403
CORPORATE NOTES AND BONDS - 7.95%
- -------------------------------------------------
CABLE - 0.18%
350,000 Comcast Cable Communications (O)
6.875%, due
06/15/09........... 362,653
-----------
CAPITAL GOODS - 0.25%
500,000 Caterpillar Financial Services
Corp.,
Series F (O)
2.500%, due
10/03/06........... 494,275
-----------
CONSUMER DISCRETIONARY - 0.84%
750,000 American Association of Retired
Persons (C)
7.500%, due
05/01/31........... 876,257
500,000 Carnival Corp. (D)
3.750%, due
11/15/07........... 487,527
325,000 Erac USA Finance
Co. (C)
6.700%, due
06/01/34........... 322,021
-----------
1,685,805
-----------
CONSUMER STAPLES - 0.19%
400,000 Safeway, Inc.
4.125%, due
11/01/08........... 385,329
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
ENERGY - 0.22%
$ 150,000 Amerada Hess Corp.
7.875%, due
10/01/29........... $ 170,863
250,000 Pemex Project Funding Master Trust
7.375%, due
12/15/14 (O)....... 265,000
-----------
435,863
-----------
FINANCE - 1.62%
500,000 American General Finance Corp.,
Series H (O)
4.625%, due
09/01/10........... 479,521
500,000 Bear Stearns Cos.,
Inc.
7.800%, due
08/15/07........... 514,933
500,000 CIT Group, Inc.
7.375%, due
04/02/07........... 509,061
210,000 GE Global Insurance Holding Corp.
(O)
7.000%, due
02/15/26........... 223,165
205,000 GE Global Insurance Holding Corp.
7.750%, due
06/15/30........... 237,247
250,000 HSBC Finance Corp.
6.500%, due
11/15/08........... 256,752
500,000 Merrill Lynch &
Co., Inc.
7.375%, due
05/15/06........... 500,324
500,000 U.S. Bank N.A.
6.300%, due
02/04/14........... 515,849
-----------
3,236,852
-----------
FORESTRY/PAPER - 0.09%
175,000 Westvaco Corp.
8.200%, due
01/15/30........... 191,608
-----------
HEALTH CARE - 0.42%
300,000 Eli Lilly & Co.
6.570%, due
01/01/16........... 317,555
195,000 Genentech, Inc.
5.250%, due
07/15/35........... 168,954
205,000 Merck & Co., Inc.
(O)
6.400%, due
03/01/28........... 203,785
150,000 Wyeth (O)
6.500%, due
02/01/34........... 151,916
-----------
842,210
-----------
INDUSTRIALS - 0.88%
150,000 Boeing Co.
8.625%, due
11/15/31........... 194,919
130,000 D.R. Horton, Inc.
5.250%, due
02/15/15........... 118,347
250,000 Ford Motor Credit
Co.
5.800%, due
01/12/09........... 226,288
150,000 General Motors Acceptance Corp. (O)
6.125%, due
08/28/07........... 145,805
515,000 General Motors Acceptance Corp.
7.250%, due
03/02/11........... 492,403
</Table>
- --------------------------------------------------------------------------------
33
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
INDUSTRIALS (CONTINUED)
$ 135,000 Pulte Homes, Inc.
(O)
5.200%, due
02/15/15........... $ 123,651
150,000 Waste Management,
Inc.
7.125%, due
12/15/17........... 160,968
310,000 WM Wrigley Jr. Co.
4.300%, due
07/15/10........... 296,980
-----------
1,759,361
-----------
PIPELINE - 0.11%
205,000 KN Energy, Inc.
7.250%, due
03/01/28........... 214,787
-----------
REAL ESTATE INVESTMENT
TRUSTS - 0.07%
140,000 Simon Property Group, L.P. (O)
5.625%, due
08/15/14........... 136,679
-----------
TELECOMMUNICATIONS - 0.92%
500,000 Bellsouth Capital
Funding
7.875%, due
02/15/30........... 565,100
240,000 Cisco Systems, Inc.
5.500%, due
02/22/16........... 233,952
537,000 Telephone & Data Systems, Inc.
7.000%, due
08/01/06........... 538,137
500,000 Verizon Wireless
Capital LLC
5.375%, due
12/15/06........... 500,253
-----------
1,837,442
-----------
TRANSPORTATION - 0.36%
175,000 Burlington Northern Santa Fe Corp.
8.125%, due
04/15/20........... 207,960
239,000 Norfolk Southern
Corp.
5.590%, due
05/17/25........... 221,798
260,000 Norfolk Southern
Corp.
7.050%, due
05/01/37........... 283,967
-----------
713,725
-----------
UTILITIES - 1.80%
375,000 Constellation Energy Group, Inc.
4.550%, due
06/15/15........... 337,488
500,000 DTE Energy Co.
6.450%, due
06/01/06........... 500,397
500,000 Energy East Corp.
8.050%, due
11/15/10........... 543,607
750,000 Niagara Mohawk
Power Corp.
7.750%, due
05/15/06........... 750,618
175,000 Pacific Gas and
Electric Co.
6.050%, due
03/01/34........... 167,397
350,000 Progress Energy,
Inc. (O)
7.750%, due
03/01/31........... 396,668
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
UTILITIES (CONTINUED)
$ 126,000 Sierra Pacific
Power Co. (C)
6.000%, due
05/15/16........... $ 122,044
750,000 Wisconsin Electric
Power (O)
6.500%, due
06/01/28........... 770,876
-----------
3,589,095
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$16,036,361 )...... 15,885,684
MORTGAGE BACKED - 10.27%
- -------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 1.30%
16,112 8.000%, due
06/01/30
Pool # C01005...... 17,139
246,060 6.500%, due
01/01/32
Pool # C62333...... 251,062
1,821,227 5.000%, due
07/01/33
Pool # A11325...... 1,728,135
158,059 6.000%, due
10/01/34
Pool # A28439...... 157,697
164,900 6.000%, due
10/01/34
Pool # A28598...... 164,522
152,772 5.000%, due
04/01/35
Pool # A32315...... 144,486
132,735 5.000%, due
04/01/35
Pool # A32316...... 125,537
-----------
2,588,578
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 8.86%
489,608 4.000%, due
04/01/15
Pool # 255719...... 462,002
618,334 5.500%, due
04/01/16
Pool # 745444
(H)................ 615,764
96,214 6.000%, due
05/01/16
Pool # 582558...... 97,483
982,450 5.000%, due
12/01/17
Pool # 672243...... 958,716
828,640 5.000%, due
05/01/20
Pool # 813965...... 807,083
1,126,216 4.500%, due
09/01/20
Pool # 835465...... 1,072,836
160,515 6.000%, due
05/01/21
Pool # 253847...... 161,123
30,489 7.000%, due
12/01/29
Pool # 762813...... 31,439
105,223 7.000%, due
11/01/31
Pool # 607515...... 108,316
103,723 6.000%, due
02/01/32
Pool # 611619...... 103,557
</Table>
- --------------------------------------------------------------------------------
34
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 72,053 7.000%, due
05/01/32
Pool # 644591...... $ 74,171
602,955 6.500%, due
06/01/32
Pool # 545691...... 614,840
1,279,625 6.000%, due
08/01/33
Pool # 729413...... 1,276,059
684,769 6.000%, due
08/01/33
Pool # 729418...... 682,861
793,336 5.500%, due
10/01/33
Pool # 254904...... 772,609
2,321,258 5.500%, due
11/01/33
Pool # 555880...... 2,260,613
29,031 5.000%, due
05/01/34
Pool # 782214...... 27,525
634,066 5.000%, due
06/01/34
Pool # 255230...... 601,174
23,844 7.000%, due
07/01/34
Pool # 792636...... 24,519
262,693 5.500%, due
08/01/34
Pool # 793647...... 255,533
538,718 5.500%, due
03/01/35
Pool # 810075...... 523,370
1,000,161 5.500%, due
03/01/35
Pool # 815976...... 971,667
460,244 5.500%, due
07/01/35
Pool # 825283...... 447,131
613,019 5.000%, due
08/01/35
Pool # 829670...... 579,989
277,516 5.500%, due
08/01/35
Pool # 826872...... 269,610
495,521 5.000%, due
09/01/35
Pool # 820347...... 468,823
578,725 5.000%, due
09/01/35
Pool # 835699...... 547,543
969,439 5.000%, due
10/01/35
Pool # 797669...... 917,206
695,125 5.000%, due
11/01/35
Pool # 844504...... 657,672
688,210 5.000%, due
11/01/35
Pool # 844809...... 651,129
691,779 5.000%, due
12/01/35
Pool # 850561...... 654,506
-----------
17,696,869
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.11%
15,552 8.000%, due
10/20/15
Pool # 002995...... 16,455
103,969 6.500%, due
02/20/29
Pool # 002714...... 106,203
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 87,194 6.500%, due
04/20/31
Pool # 003068...... $ 88,956
-----------
211,614
-----------
TOTAL MORTGAGE BACKED
( Cost
$21,032,023 )...... 20,497,061
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 9.87%
- -------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.52%
1,000,000 5.875%, due
10/03/16........... 1,034,527
-----------
FEDERAL HOME LOAN BANK - 1.14%
2,300,000 4.250%, due
04/16/07........... 2,279,907
-----------
FEDERAL HOME LOAN MORTGAGE
CORP. - 0.35%
750,000 4.500%, due
01/15/14........... 711,481
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.12%
600,000 3.800%, due
01/18/08........... 586,105
525,000 4.000%, due
09/02/08........... 510,673
500,000 5.250%, due
08/01/12........... 491,797
675,000 4.625%, due
10/15/14 (O)....... 643,369
-----------
2,231,944
-----------
U.S. TREASURY BONDS - 1.20%
1,360,000 6.250%, due
05/15/30 (O)....... 1,537,012
840,000 5.375%, due
02/15/31 (O)....... 852,600
-----------
2,389,612
-----------
U.S. TREASURY NOTES - 5.54%
2,225,000 2.000%, due
05/15/06 (O)....... 2,222,566
250,000 2.500%, due
05/31/06 (O)....... 249,531
500,000 2.625%, due
11/15/06 (O)....... 493,828
1,400,000 3.125%, due
01/31/07........... 1,381,132
800,000 3.375%, due
02/28/07 (O)....... 789,782
700,000 2.750%, due
08/15/07 (O)....... 681,187
200,000 4.000%, due
08/31/07 (O)....... 197,672
520,000 3.000%, due
11/15/07 (O)....... 505,497
1,610,000 3.000%, due
02/15/09 (O)....... 1,531,513
225,000 3.875%, due
05/15/10 (O)....... 216,562
100,000 3.875%, due
09/15/10 (O)....... 95,945
30,000 4.500%, due
11/15/10 (O)....... 29,500
1,000,000 4.875%, due
02/15/12 (O)....... 996,328
800,000 4.000%, due
02/15/14 (O)....... 747,344
415,000 4.125%, due
05/15/15 (O)....... 387,312
</Table>
- --------------------------------------------------------------------------------
35
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
- -------------------------------------------------
U.S. TREASURY NOTES (CONTINUED)
$ 340,000 4.250%, due
08/15/15 (O)....... $ 319,693
234,000 4.500%, due
11/15/15 (O)....... 223,945
-----------
11,069,337
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$20,072,156 )...... 19,716,808
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 7.76%
- -------------------------------------------------
1 J.P. Morgan Prime
Money Market
Fund............... 1
2,518,897 SSgA Prime Money
Market Fund(N)..... 2,518,897
12,983,405 State Street
Navigator
Securities Lending
Portfolio(I)....... 12,983,405
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$15,502,303 )...... 15,502,303
TOTAL INVESTMENTS - 106.18%
- -------------------------------------------------
( Cost $193,299,446** )............. 212,049,109
NET OTHER ASSETS AND LIABILITIES - (6.18)%
- -------------------------------------------------
(12,335,517)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 199,713,592
- -------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$194,003,386.
(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 0.24% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of April 30, 2006.
(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 April 30, 2006.
(O) All (or portion of security) on loan.
REITReal Estate Investment Trust.
- --------------------------------------------------------------------------------
36
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.60%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 7.97%
34,200 CBS Corp. ........ $ 871,074
41,791 Comcast Corp.,
Class A*.......... 1,293,431
7,700 Federated
Department Stores,
Inc. ............. 599,445
43,800 Home Depot,
Inc. ............. 1,748,934
7,900 J.C. Penney Co.,
Inc. ............. 517,134
82,100 McDonald's
Corp. ............ 2,838,197
35,000 Newell Rubbermaid,
Inc. ............. 959,700
107,100 Time Warner,
Inc. ............. 1,863,540
34,200 Viacom, Inc.*..... 1,362,186
93,600 Walt Disney
Co. .............. 2,617,056
------------
14,670,697
------------
CONSUMER STAPLES - 5.96%
36,500 Altria Group,
Inc. ............. 2,670,340
19,200 Archer-Daniels-Midland
Co. .............. 697,728
7,700 Clorox Co. ....... 494,186
21,500 Coca-Cola Co. .... 902,140
7,900 Colgate-Palmolive
Co. .............. 467,048
25,400 General Mills,
Inc. ............. 1,253,236
20,800 Kellogg Co. ...... 963,248
11,600 Kimberly-Clark
Corp. ............ 678,948
21,400 Procter & Gamble
Co. .............. 1,245,694
38,800 Sara Lee Corp. ... 693,356
19,900 Wal-Mart Stores,
Inc. ............. 896,097
------------
10,962,021
------------
ENERGY - 15.12%
26,100 Apache Corp. ..... 1,854,144
73,666 Chevron Corp. .... 4,495,099
72,200 ConocoPhillips.... 4,830,180
28,700 Cooper Cameron
Corp.*............ 1,441,888
35,200 Devon Energy
Corp. ............ 2,115,872
124,700 Exxon Mobil
Corp. ............ 7,866,076
31,300 Marathon Oil
Corp. ............ 2,483,968
18,352 Transocean,
Inc.*............. 1,487,797
19,300 Valero Energy
Corp. ............ 1,249,482
------------
27,824,506
------------
FINANCIALS - 34.37%
51,300 Allstate Corp. ... 2,897,937
56,000 American
International
Group, Inc. ...... 3,654,000
27,500 AmSouth Bancorp... 795,850
136,784 Bank of America
Corp. ............ 6,828,257
5,000 Bear Stearns Cos.,
Inc. ............. 712,550
158,266 Citigroup,
Inc. ............. 7,905,387
23,700 Equity
Residential,
REIT.............. 1,063,419
27,600 Federal Home Loan
Mortgage Corp. ... 1,685,256
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
21,800 General Growth
Properties, Inc.,
REIT.............. $ 1,023,510
13,800 Goldman Sachs
Group, Inc. ...... 2,212,002
116,368 J.P. Morgan Chase
& Co. ............ 5,280,780
11,400 Lehman Brothers
Holdings, Inc. ... 1,723,110
35,500 Merrill Lynch &
Co., Inc.......... 2,707,230
44,800 Morgan Stanley.... 2,880,640
57,100 National City
Corp. ............ 2,106,990
39,700 Prudential
Financial,
Inc. ............. 3,101,761
20,300 RenaissanceRe
Holdings Ltd. .... 853,615
4,600 SL Green Realty
Corp., REIT....... 455,400
21,400 St. Paul Travelers
Cos., Inc. ....... 942,242
27,700 SunTrust Banks,
Inc. ............. 2,142,041
68,600 U.S. Bancorp...... 2,156,784
11,400 Vornado Realty
Trust, REIT....... 1,090,296
66,000 Wachovia Corp. ... 3,950,100
14,500 Washington Mutual,
Inc. (O).......... 653,370
64,600 Wells Fargo &
Co. .............. 4,437,374
------------
63,259,901
------------
HEALTH CARE - 7.72%
23,500 Abbott
Laboratories...... 1,004,390
6,300 Amgen, Inc.*...... 426,510
30,000 Bristol-Myers
Squibb Co. ....... 761,400
3,500 Cigna Corp. ...... 374,500
21,100 Community Health
Systems, Inc.*.... 764,664
10,100 HCA, Inc. ........ 443,289
9,300 Invitrogen Corp.
(O)*.............. 613,893
15,000 Johnson &
Johnson........... 879,150
28,700 Merck & Co.,
Inc. ............. 987,854
216,140 Pfizer, Inc. ..... 5,474,826
16,500 Watson
Pharmaceuticals,
Inc.*............. 469,260
9,500 WellPoint,
Inc.*............. 674,500
27,500 Wyeth............. 1,338,425
------------
14,212,661
------------
INDUSTRIALS - 7.78%
29,300 Burlington
Northern Santa Fe
Corp. ............ 2,330,229
12,000 Emerson Electric
Co. .............. 1,019,400
115,800 General Electric
Co. .............. 4,005,522
48,300 Honeywell
International,
Inc. ............. 2,052,750
22,900 Masco Corp. ...... 730,510
17,600 Textron, Inc. .... 1,583,120
</Table>
- --------------------------------------------------------------------------------
37
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
INDUSTRIALS (CONTINUED)
23,800 United
Technologies
Corp. ............ $ 1,494,878
29,700 Waste Management,
Inc. ............. 1,112,562
------------
14,328,971
------------
INFORMATION TECHNOLOGY - 4.48%
21,700 Automatic Data
Processing,
Inc. ............. 956,536
22,300 Computer Sciences
Corp.*............ 1,305,665
14,894 Freescale
Semiconductor,
Inc., Class B*.... 471,693
63,221 Hewlett-Packard
Co. .............. 2,052,786
18,800 Intel Corp. ...... 375,624
20,300 International
Business Machines
Corp. ............ 1,671,502
20,100 Microsoft
Corp. ............ 485,415
43,600 Motorola, Inc. ... 930,860
------------
8,250,081
------------
MATERIALS - 4.28%
13,200 Air Products &
Chemicals,
Inc. ............. 904,464
34,400 Alcoa, Inc. ...... 1,162,032
16,400 Dow Chemical
Co. .............. 666,004
18,100 E.I. du Pont de
Nemours & Co. .... 798,210
10,100 Inco, Ltd. ....... 570,347
5,100 Nucor Corp. ...... 554,982
7,200 Phelps Dodge
Corp. ............ 620,568
15,400 PPG Industries,
Inc. ............. 1,033,648
22,300 Weyerhaeuser
Co. .............. 1,571,481
------------
7,881,736
------------
TELECOMMUNICATION SERVICES - 5.08%
22,300 Alltell Corp. .... 1,435,451
58,200 AT&T, Inc. ....... 1,525,422
71,400 BellSouth
Corp. ............ 2,411,892
65,400 Sprint Nextel
Corp. ............ 1,621,920
71,320 Verizon
Communications,
Inc. ............. 2,355,700
------------
9,350,385
------------
UTILITIES - 5.84%
12,200 Dominion
Resources, Inc. .. 913,414
45,100 Duke Energy Corp.
(O)............... 1,313,312
20,600 Edison
International..... 832,446
12,700 Entergy Corp. .... 888,238
40,500 Exelon Corp. ..... 2,187,000
17,900 FirstEnergy
Corp. ............ 907,709
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
UTILITIES (CONTINUED)
34,000 FPL Group,
Inc. ............. $ 1,346,400
37,700 PG&E Corp. ....... 1,501,968
26,900 Southern Co. ..... 866,987
------------
10,757,474
------------
TOTAL COMMON STOCKS
( Cost
$147,628,115 ).... 181,498,433
INVESTMENT COMPANIES - 2.43%
- -----------------------------------------------
6,800 iShares Russell
Midcap Value Index
Fund.............. 916,504
1,133,649 SSgA Prime Money
Market Fund....... 1,133,649
2,431,200 State Street
Navigator
Securities Lending
Portfolio (I)..... 2,431,200
------------
TOTAL INVESTMENT COMPANIES
( Cost
$4,483,454 )...... 4,481,353
TOTAL INVESTMENTS - 101.03%
- -----------------------------------------------
( Cost $152,111,569** )............ 185,979,786
NET OTHER ASSETS AND LIABILITIES - (1.03)%
- -----------------------------------------------
(1,911,846)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 184,067,940
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$152,926,885.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
REITReal Estate Investment Trust.
- --------------------------------------------------------------------------------
38
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.26%
- -------------------------------------------------
CONSUMER DISCRETIONARY - 7.65%
31,100 Bed Bath & Beyond,
Inc.*............... $ 1,192,685
32,800 Cheesecake
Factory/The*........ 1,035,168
31,200 DreamWorks Animation
SKG, Inc.*.......... 845,520
17,000 Home Depot, Inc. ... 678,810
20,900 Kohl's Corp.*....... 1,167,056
12,800 Lowe's Cos.,
Inc. ............... 807,040
11,557 Morningstar, Inc.
(O)*................ 491,635
20,400 Starbucks Corp.*.... 760,308
17,100 Target Corp. ....... 908,010
19,050 Viacom, Inc.*....... 758,761
10,000 Walt Disney Co. .... 279,600
20,700 Yum! Brands,
Inc. ............... 1,069,776
-----------
9,994,369
-----------
CONSUMER STAPLES - 11.41%
4,500 Altria Group,
Inc. ............... 329,220
18,300 Coca-Cola Co. ...... 767,868
51,500 Colgate-Palmolive
Co. ................ 3,044,680
29,500 Costco Wholesale
Corp. .............. 1,605,685
27,100 CVS Corp. .......... 805,412
38,400 PepsiCo, Inc. ...... 2,236,416
50,600 Procter & Gamble
Co. ................ 2,945,426
13,800 Walgreen Co. ....... 578,634
57,300 Wal-Mart Stores,
Inc. ............... 2,580,219
-----------
14,893,560
-----------
ENERGY - 5.43%
10,200 Consol Energy,
Inc. ............... 868,632
18,600 Denbury Resources,
Inc.*............... 606,360
7,600 ENSCO International,
Inc. ............... 406,524
4,800 EOG Resources,
Inc. ............... 337,104
1,613 Hugoton Royalty
Trust............... 44,603
15,600 Noble Corp. ........ 1,231,464
46,300 Weatherford
International,
Ltd.*............... 2,450,659
27,066 XTO Energy, Inc. ... 1,146,245
-----------
7,091,591
-----------
FINANCIALS - 5.35%
34,100 ACE, Ltd. .......... 1,893,914
26,900 American Express
Co. ................ 1,447,489
9,700 American
International Group,
Inc. ............... 632,925
14,400 Citigroup, Inc. .... 719,280
14,300 Goldman Sachs Group,
Inc. ............... 2,292,147
-----------
6,985,755
-----------
HEALTH CARE - 20.97%
7,800 Abbott
Laboratories........ 333,372
38,400 Amgen, Inc.*........ 2,599,680
10,500 Barr
Pharmaceuticals,
Inc.*............... 635,775
14,300 Biogen Idec,
Inc.*............... 641,355
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
HEALTH CARE (CONTINUED)
9,500 Cardinal Health,
Inc. ............... $ 639,825
14,400 Cerner Corp. (O)*... 570,960
11,500 Covance, Inc.*...... 671,025
18,900 Eli Lilly & Co. .... 1,000,188
7,500 Express Scripts,
Inc.*............... 586,050
10,900 Genentech, Inc.*.... 868,839
11,700 Gen-Probe, Inc.
(O)*................ 625,599
21,600 Genzyme Corp.*...... 1,321,056
8,800 Gilead Sciences,
Inc.*............... 506,000
31,500 Invitrogen Corp.
(O)*................ 2,079,315
58,100 Johnson & Johnson... 3,405,241
27,100 Medtronic, Inc. .... 1,358,252
20,800 Pharmaceutical
Product Development,
Inc. ............... 746,096
12,500 St. Jude Medical,
Inc.*............... 493,500
59,800 Stryker Corp. ...... 2,616,250
53,197 Teva Pharmaceutical
Industries Ltd., ADR
(O)................. 2,154,478
22,100 UnitedHealth Group,
Inc. ............... 1,099,255
7,200 WellPoint, Inc.*.... 511,200
39,400 Wyeth............... 1,917,598
-----------
27,380,909
-----------
INDUSTRIALS - 14.87%
13,200 Boeing Co. ......... 1,101,540
8,500 Caterpillar,
Inc. ............... 643,790
12,600 CSX Corp. .......... 862,974
7,200 Danaher Corp. ...... 461,592
10,900 FedEx Corp. ........ 1,254,917
197,500 General Electric
Co. ................ 6,831,525
11,400 Graco, Inc. ........ 532,950
15,800 Illinois Tool Works,
Inc. ............... 1,622,660
22,500 Ingersoll-Rand Co.,
Ltd., Class A....... 984,375
12,600 Rockwell Automation,
Inc. ............... 912,996
10,300 Stericycle, Inc.*... 678,152
8,000 United Parcel
Service, Inc. ...... 648,560
27,400 United Technologies
Corp. .............. 1,720,994
30,800 Waste Management,
Inc. ............... 1,153,768
-----------
19,410,793
-----------
INFORMATION TECHNOLOGY - 28.26%
26,100 Adobe Systems,
Inc.*............... 1,023,120
36,900 Altera Corp.*....... 805,896
11,200 Amphenol Corp. ..... 647,360
204,900 Cisco Systems,
Inc.*............... 4,292,655
28,700 Citrix Systems,
Inc.*............... 1,145,704
13,100 Cognizant Technology
Solutions Corp.,
Class A*............ 833,291
72,300 Dell, Inc.*......... 1,894,260
58,700 eBay, Inc.*......... 2,019,867
142,900 EMC
Corp./Massachusetts*... 1,930,579
</Table>
- --------------------------------------------------------------------------------
39
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
4,100 Google, Inc., Class
A*.................. $ 1,713,554
121,000 Intel Corp. ........ 2,417,580
16,000 International
Business Machines
Corp. .............. 1,317,440
21,400 Kla-Tencor Corp. ... 1,030,624
39,900 Micron Technology,
Inc.*............... 677,103
224,200 Microsoft Corp. .... 5,414,430
52,000 Motorola, Inc. ..... 1,110,200
25,600 NAVTEQ Corp.*....... 1,062,912
87,200 Nokia OYJ, ADR...... 1,975,952
37,300 Oracle Corp.*....... 544,207
41,600 Qualcomm, Inc. ..... 2,135,744
33,600 Texas Instruments,
Inc. ............... 1,166,256
30,300 VeriSign, Inc.*..... 712,656
31,300 Yahoo!, Inc.*....... 1,026,014
-----------
36,897,404
-----------
MATERIALS - 1.33%
11,900 Praxair, Inc. ...... 667,947
15,100 Weyerhaeuser Co. ... 1,064,097
-----------
1,732,044
-----------
TELECOMMUNICATION SERVICES - 2.21%
11,200 Amdocs, Ltd.*....... 416,640
49,700 NeuStar, Inc., Class
A (O)*.............. 1,744,470
29,100 Sprint Nextel
Corp. .............. 721,680
-----------
2,882,790
-----------
UTILITIES - 0.78%
59,700 AES Corp.*.......... 1,013,109
-----------
TOTAL COMMON STOCKS
( Cost
$119,518,878 )...... 128,282,324
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 6.75%
- -------------------------------------------------
29,300 Industrial Select
Sector SPDR Fund
(O)................. $ 1,011,729
23,700 Nasdaq-100 Index
Tracking Stock
(O)................. 991,608
624,970 SSgA Prime Money
Market Fund......... 624,970
6,180,826 State Street
Navigator Securities
Lending Portfolio
(I)................. 6,180,826
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$8,784,006 )........ 8,809,133
TOTAL INVESTMENTS - 105.01%
- -------------------------------------------------
( Cost $128,302,884** )............. 137,091,457
NET OTHER ASSETS AND LIABILITIES - (5.01)%
- -------------------------------------------------
(6,543,624)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 130,547,833
- -------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$128,408,911.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
- --------------------------------------------------------------------------------
40
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.71%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 9.87%
7,600 Advo, Inc. (O).... $ 215,384
7,800 AnnTaylor Stores
Corp.*............ 291,174
9,300 Belo Corp., Class
A (O)............. 170,469
6,300 Cato Corp., Class
A (O)............. 142,569
2,500 CEC Entertainment,
Inc.*............. 87,750
8,000 Darden
Restaurants,
Inc. ............. 316,800
7,254 Federated
Department Stores,
Inc. ............. 564,724
33,639 Interpublic Group
of Cos., Inc.
(O)*.............. 322,262
6,900 J.C. Penney Co.,
Inc. ............. 451,674
18,800 Jones Apparel
Group, Inc. ...... 645,780
5,700 Matthews
International
Corp., Class A.... 198,360
5,000 Modine
Manufacturing
Co. .............. 145,050
36,600 Newell Rubbermaid,
Inc. ............. 1,003,572
12,900 O'Reilly
Automotive,
Inc.*............. 437,052
9,800 Stage Stores,
Inc. ............. 306,348
5,400 Standard-Pacific
Corp. ............ 171,234
10,100 Tempur-Pedic
International,
Inc. (O)*......... 159,479
27,200 TJX Cos., Inc. ... 656,336
14,600 Univision
Communications,
Inc., Class A*.... 521,074
5,800 Valassis
Communications,
Inc.*............. 169,766
7,400 WCI Communities,
Inc. (O)*......... 189,662
6,700 Yankee Candle Co.,
Inc. ............. 201,938
------------
7,368,457
------------
CONSUMER STAPLES - 9.56%
19,800 Albertson's,
Inc. ............. 501,534
24,900 Archer-Daniels-Midland
Co. .............. 904,866
11,500 Casey's General
Stores, Inc. ..... 245,985
10,100 Clorox Co. ....... 648,218
6,100 Costco Wholesale
Corp. ............ 332,023
19,500 Hain Celestial
Group, Inc.
(O)*.............. 524,550
7,500 Herbalife,
Ltd.*............. 261,000
5,600 Hormel Foods
Corp. ............ 187,936
13,000 McCormick & Co.,
Inc. ............. 452,790
11,300 NBTY, Inc.*....... 255,945
10,600 Pepsi Bottling
Group, Inc. ...... 340,260
17,500 Safeway, Inc. .... 439,775
21,000 Sara Lee Corp. ... 375,270
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
CONSUMER STAPLES (CONTINUED)
24,600 Spectrum Brands,
Inc. (O)*......... $ 407,130
21,000 The Kroger
Company*.......... 425,460
5,700 Universal
Corp./Richmond
VA................ 216,999
14,100 UST, Inc. (O)..... 619,413
------------
7,139,154
------------
ENERGY - 6.80%
3,600 Amerada Hess
Corp. ............ 515,772
6,600 Arch Coal,
Inc. ............. 626,934
10,800 BJ Services
Co. .............. 410,940
7,750 Encore Acquisition
Co.*.............. 237,460
8,400 ENSCO
International,
Inc. ............. 449,316
3,600 EOG Resources,
Inc. ............. 252,828
9,300 Forest Oil
Corp.*............ 340,101
6,400 Marathon Oil
Corp. ............ 507,904
8,300 Newfield
Exploration
Co.*.............. 370,180
11,200 Pioneer Natural
Resources Co. .... 479,584
4,800 Plains Exploration
and Production
Co.*.............. 176,976
10,600 Smith
International,
Inc. ............. 447,638
6,100 Whiting Petroleum
Corp. (O)*........ 257,725
------------
5,073,358
------------
FINANCIALS - 28.10%
9,600 AMB Property
Corp., REIT....... 479,904
4,300 American Capital
Strategies, Ltd.
(O)............... 149,726
14,700 AmSouth Bancorp... 425,418
10,600 Archstone-Smith
Trust, REIT....... 518,128
7,000 Ares Capital
Corp. ............ 118,720
11,760 Associated
Banc-Corp. (O).... 397,723
10,700 Assured Guaranty,
Ltd. ............. 265,895
6,100 Bank of America
Corp. ............ 304,512
8,700 Bear Stearns Cos.,
Inc. ............. 1,239,837
7,800 Camden Property
Trust, REIT....... 536,094
6,600 Capital One
Financial
Corp. ............ 571,824
6,000 CIT Group,
Inc. ............. 324,060
14,100 Colonial
BancGroup,
Inc. ............. 365,613
6,900 Compass
Bancshares,
Inc. ............. 379,224
3,700 Cousins
Properties, Inc.,
REIT.............. 116,365
4,050 Delphi Financial
Group, Class A.... 212,180
3,100 Equity Inns, Inc.,
REIT.............. 50,220
11,800 Equity
Residential,
REIT.............. 529,466
4,800 Everest Re Group,
Ltd. ............. 436,800
</Table>
- --------------------------------------------------------------------------------
41
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
FINANCIALS (CONTINUED)
13,000 Federated
Investors, Inc.,
Class B........... $ 456,300
3,300 First Midwest
Bancorp, Inc. .... 118,899
6,800 General Growth
Properties, Inc.,
REIT.............. 319,260
6,500 Hartford Financial
Services Group,
Inc. ............. 597,545
4,800 International
Bancshares
Corp. ............ 137,328
2,900 IPC Holdings, Ltd.
(O)............... 77,343
13,200 iStar Financial,
Inc., REIT........ 505,032
7,100 J.P. Morgan Chase
& Co. ............ 322,198
9,600 Janus Capital
Group, Inc. ...... 186,816
14,300 Kimco Realty
Corp., REIT....... 530,959
700 LaSalle Hotel
Properties,
REIT.............. 30,611
4,500 M&T Bank Corp. ... 537,300
11,800 Marshall & Ilsley
Corp. ............ 539,496
2,400 MB Financial,
Inc. ............. 84,912
3,900 MBIA, Inc. ....... 232,557
16,100 Mellon Financial
Corp. ............ 605,843
8,100 Merrill Lynch &
Co., Inc. ........ 617,706
7,400 NewAlliance
Bancshares,
Inc. ............. 106,856
7,200 PartnerRe,
Ltd. ............. 450,360
2,500 Pennsylvania Real
Estate Investment
Trust (O)......... 101,400
7,200 Platinum
Underwriters
Holdings, Ltd.
(Bermuda) (O)..... 198,504
13,400 Prologis, REIT.... 672,948
2,100 PS Business Parks,
Inc., REIT........ 109,095
6,300 Radian Group,
Inc. ............. 395,136
4,000 RAIT Investment
Trust, REIT (O)... 103,520
10,800 Realty Income
Corp., REIT (O)... 244,836
6,500 Reinsurance Group
of America,
Inc. ............. 312,650
10,200 RenaissanceRe
Holdings, Ltd. ... 428,910
8,400 Safeco Corp. ..... 435,960
8,400 Scottish Re Group,
Ltd. ............. 195,132
8,000 Simon Property
Group, Inc.,
REIT.............. 655,040
6,100 TCF Financial
Corp. (O)......... 163,846
4,620 Texas Regional
Bancshares, Inc.,
Class A........... 132,455
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
11,200 Thornburg
Mortgage, Inc.,
REIT (O).......... $ 323,792
8,300 Universal American
Financial Corp.
(O)*.............. 122,342
24,600 UnumProvident
Corp. (O)......... 499,626
8,000 U-Store-It Trust,
REIT.............. 146,240
5,200 Ventas, Inc.,
REIT.............. 169,884
5,500 Vornado Realty
Trust, REIT....... 526,020
7,500 Washington Mutual,
Inc. (O).......... 337,950
3,800 Webster Financial
Corp. ............ 178,410
2,700 Westamerica
Bancorp........... 138,078
6,103 Zions Bancorp..... 506,732
------------
20,977,536
------------
HEALTH CARE - 6.02%
5,100 Amsurg Corp.
(O)*.............. 130,254
7,400 Becton Dickinson &
Co. .............. 466,496
8,400 Biogen Idec,
Inc.*............. 376,740
2,500 Charles River
Laboratories
International,
Inc.*............. 118,125
3,700 Cigna Corp. ...... 395,900
2,400 Dentsply
International,
Inc. ............. 143,208
4,400 Diagnostic
Products Corp.
(O)............... 255,200
6,016 Fisher Scientific
International,
Inc.*............. 424,429
9,900 Health Management
Associates, Inc.,
Class A........... 205,029
3,000 Idexx
Laboratories, Inc.
(O)*.............. 249,630
4,500 Invitrogen Corp.
(O)*.............. 297,045
9,600 Omnicare, Inc.
(O)............... 544,416
7,000 Triad Hospitals,
Inc.*............. 288,400
3,900 Varian, Inc.*..... 168,753
15,200 Watson
Pharmaceuticals,
Inc.*............. 432,288
------------
4,495,913
------------
INDUSTRIALS - 9.65%
7,800 Acuity Brands,
Inc. ............. 321,984
8,200 Airtran Holdings,
Inc. (O)*......... 114,636
2,700 Albany
International
Corp.,
Class A........... 105,570
4,900 Avery Dennison
Corp. ............ 306,250
5,200 Carlisle Cos.,
Inc. ............. 439,400
16,700 CSX Corp. ........ 1,143,783
6,787 Genesee & Wyoming,
Inc.,
Class A*.......... 222,410
2,400 Graco, Inc. ...... 112,200
10,300 Ingersoll-Rand
Co., Ltd.,
Class A........... 450,625
</Table>
- --------------------------------------------------------------------------------
42
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
INDUSTRIALS (CONTINUED)
11,500 Manpower, Inc. ... $ 749,225
11,100 Masco Corp. ...... 354,090
5,100 Mueller
Industries,
Inc. ............. 193,188
8,000 Parker-Hannifin
Corp. ............ 648,400
8,600 R. R. Donnelley &
Sons Co. ......... 289,734
7,300 Republic Services,
Inc. ............. 321,273
6,400 Simpson
Manufacturing Co.,
Inc. ............. 255,936
10,000 Timken Co. (O).... 349,000
6,700 United Stationers,
Inc.*............. 359,455
6,100 W.W. Grainger,
Inc. ............. 469,212
------------
7,206,371
------------
INFORMATION TECHNOLOGY - 9.03%
6,700 Affiliated
Computer Services,
Inc., Class A*.... 373,592
13,200 Arrow Electronics,
Inc.*............. 477,840
10,900 ATMI, Inc. (O)*... 309,560
24,600 Avaya, Inc.*...... 295,200
9,500 Belden CDT, Inc.
(O)............... 297,350
7,700 Computer Sciences
Corp.*............ 450,835
22,000 Convergys
Corp.*............ 428,340
3,400 Diebold, Inc. .... 144,670
11,200 Electronic Data
Systems Corp. .... 303,296
14,100 Intersil Corp.,
Class A........... 417,501
36,900 LSI Logic Corp.
(O)*.............. 392,985
102,900 Lucent
Technologies, Inc.
(O)*.............. 287,091
4,600 MAXIMUS, Inc. .... 160,264
11,600 Molex, Inc. ...... 430,592
6,600 NAM TAI
Electronics,
Inc. ............. 149,028
28,600 Reynolds and
Reynolds Co.,
Class A........... 850,564
39,600 Tellabs, Inc.*.... 627,660
10,500 Varian
Semiconductor
Equipment
Associates, Inc.
(O)*.............. 343,875
------------
6,740,243
------------
MATERIALS - 8.14%
11,500 Agrium, Inc. ..... 296,930
11,000 Air Products &
Chemicals,
Inc. ............. 753,720
3,300 Aptargroup,
Inc. ............. 172,953
2,900 Ashland, Inc. .... 190,878
4,200 Bemis Co. ........ 132,132
6,500 Compass Minerals
International,
Inc. (O).......... 171,145
13,200 Dow Chemical
Co. .............. 536,052
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
MATERIALS (CONTINUED)
7,500 Inco, Ltd. ....... $ 423,525
6,500 Martin Marietta
Materials,
Inc. ............. 690,040
16,100 Novelis, Inc.
(O)............... 392,840
4,300 Nucor Corp. ...... 467,926
11,200 PPG Industries,
Inc. ............. 751,744
10,800 Rohm and Haas
Co. .............. 546,480
23,500 Smurfit-Stone
Container
Corp.*............ 304,325
3,600 United States
Steel Corp. ...... 246,600
------------
6,077,290
------------
TELECOMMUNICATION SERVICES - 0.77%
8,800 CenturyTel,
Inc. ............. 331,760
18,400 Citizens
Communications
Co. .............. 244,352
------------
576,112
------------
UTILITIES - 9.77%
16,700 AES Corp.*........ 283,399
12,200 American Electric
Power Co.,
Inc. ............. 408,212
4,400 Atmos Energy Corp.
(O)............... 116,776
14,900 Constellation
Energy Group,
Inc. ............. 818,308
15,700 Edison
International..... 634,437
6,300 Entergy Corp. .... 440,622
2,200 New Jersey
Resources Corp.
(O)............... 97,394
15,500 NSTAR............. 428,575
22,500 PG&E Corp. ....... 896,400
8,650 PNM Resources,
Inc. ............. 218,931
22,900 PPL Corp. ........ 665,016
6,500 Progress Energy,
Inc. ............. 278,200
12,200 Public Service
Enterprise Group,
Inc. ............. 764,940
7,800 Sempra Energy..... 358,956
7,600 UGI Corp. ........ 170,240
8,500 Westar Energy,
Inc. ............. 177,990
3,100 WGL Holdings, Inc.
(O)............... 91,202
23,500 Xcel Energy,
Inc. ............. 442,740
------------
7,292,338
------------
TOTAL COMMON STOCKS
( Cost
$60,034,071 )..... 72,946,772
</Table>
- --------------------------------------------------------------------------------
43
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
UTILITIES (CONTINUED)
INVESTMENT COMPANIES - 13.64%
- -----------------------------------------------
3,600 iShares Russell
Midcap Value Index
Fund.............. $ 485,208
942,772 SSgA Prime Money
Market Fund....... 942,772
8,753,804 State Street
Navigator
Securities Lending
Portfolio (I)..... 8,753,804
------------
TOTAL INVESTMENT COMPANIES
( Cost
$10,181,521 )..... 10,181,784
TOTAL INVESTMENTS - 111.35%
- -----------------------------------------------
( Cost $70,215,592** )............. 83,128,556
NET OTHER ASSETS AND LIABILITIES - (11.35)%
- -----------------------------------------------
(8,470,255)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 74,658,301
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$70,242,790.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
REITReal Estate Investment Trust.
- --------------------------------------------------------------------------------
44
See accompanying Notes to Financial Statements.
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.76%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 23.22%
23,500 Abercrombie &
Fitch Co.,
Class A........... $ 1,427,155
18,200 Career Education
Corp.*............ 671,034
9,000 Christopher &
Banks Corp. ...... 237,780
8,500 Coach, Inc.*...... 280,670
18,600 Coldwater Creek,
Inc.*............. 520,056
34,600 D.R. Horton,
Inc. ............. 1,038,692
11,200 Fastenal Co. ..... 524,272
8,400 ITT Educational
Services, Inc.*... 533,820
25,800 JOS A Bank
Clothiers, Inc.*.. 1,083,600
30,100 Michaels Stores,
Inc. ............. 1,138,683
22,600 O'Reilly
Automotive,
Inc.*............. 765,688
45,600 Penn National
Gaming, Inc.*..... 1,856,832
22,500 Rare Hospitality
International,
Inc.*............. 700,200
15,100 Shuffle Master,
Inc.*............. 557,945
1,600 Steiner Leisure,
Ltd.*............. 68,992
16,200 Urban Outfitters,
Inc.*............. 375,840
8,400 Zumiez, Inc.*..... 273,000
------------
12,054,259
------------
ENERGY - 10.50%
32,600 Chesapeake Energy
Corp. ............ 1,032,768
30,400 Noble Energy,
Inc. ............. 1,367,392
43,000 Patterson-UTI
Energy, Inc. ..... 1,391,480
17,900 Plains Exploration
and Production
Co.*.............. 659,973
28,600 Pride
International,
Inc.*............. 997,854
------------
5,449,467
------------
FINANCIALS - 10.79%
8,430 Affiliated
Managers Group*... 853,959
46,600 Doral Financial
Corp. ............ 368,606
60,200 E*Trade Financial
Corp.*............ 1,497,776
11,000 Nasdaq Stock
Market, Inc.*..... 411,620
25,890 Nuveen
Investments, Inc.,
Class A........... 1,245,827
8,300 optionsXpress
Holdings, Inc. ... 261,450
25,700 WR Berkley
Corp. ............ 961,694
------------
5,600,932
------------
HEALTH CARE - 18.09%
17,300 Amedisys, Inc.*... 573,668
23,600 Applera
Corp. - Applied
Biosystems
Group............. 680,624
3,700 Bausch & Lomb,
Inc. ............. 181,115
16,800 Biomet, Inc. ..... 624,624
25,700 Biovail Corp. .... 669,742
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
HEALTH CARE (CONTINUED)
9,700 Celgene Corp.*.... $ 408,952
5,700 Cephalon, Inc.*... 374,262
20,200 Coventry Health
Care, Inc.*....... 1,003,334
500 Diagnostic
Products Corp. ... 29,000
12,900 Fisher Scientific
International,
Inc.*............. 910,095
22,000 Health Net,
Inc.*............. 895,400
21,200 Kinetic Concepts,
Inc.*............. 925,592
21,100 Omnicare, Inc. ... 1,196,581
13,800 Patterson Cos.,
Inc.*............. 449,604
8,600 The Cooper Cos.,
Inc. ............. 471,452
------------
9,394,045
------------
INDUSTRIALS - 14.26%
28,700 Alliance Data
Systems Corp.*.... 1,578,500
15,000 DRS Technologies,
Inc. ............. 832,950
12,900 DST Systems,
Inc.*............. 793,608
12,700 Flir Systems,
Inc.*............. 310,515
17,700 Graco, Inc. ...... 827,475
13,800 Oshkosh Truck
Corp. ............ 844,560
14,400 Precision
Castparts
Corp. ............ 906,912
18,000 Resources
Connection,
Inc.*............. 484,200
9,500 Terex Corp.*...... 822,225
------------
7,400,945
------------
INFORMATION TECHNOLOGY - 17.94%
17,200 Amphenol Corp. ... 994,160
21,400 Autodesk, Inc.*... 899,656
18,300 Avid Technology,
Inc.*............. 705,465
7,300 CDW Corp. ........ 434,496
10,000 Cognizant
Technology
Solutions Corp.,
Class A*.......... 636,100
17,800 Foundry Networks,
Inc.*............. 252,938
16,000 Intuit, Inc.*..... 866,720
13,000 Lam Research
Corp.*............ 635,440
15,000 MEMC Electronic
Materials,
Inc.*............. 609,000
37,800 Polycom, Inc.*.... 831,600
28,200 QLogic Corp.*..... 586,842
43,300 Varian
Semiconductor
Equipment
Associates,
Inc.*............. 1,418,075
9,700 Waters Corp.*..... 439,604
------------
9,310,096
------------
MATERIALS - 2.60%
10,100 Freeport-McMoRan
Copper & Gold,
Inc. ............. 652,258
12,400 Inco, Ltd. ....... 700,228
------------
1,352,486
------------
</Table>
- --------------------------------------------------------------------------------
45
See accompanying Notes to Financial Statements.
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
TELECOMMUNICATION SERVICES - 1.36%
15,400 NeuStar, Inc.,
Class A*.......... $ 540,540
9,200 Syniverse
Holdings, Inc.*... 162,932
------------
703,472
------------
TOTAL COMMON STOCKS
( Cost
$48,984,801 )..... 51,265,702
INVESTMENT COMPANY - 0.95%
- -----------------------------------------------
491,829 SSgA Prime Money
Market Fund....... 491,829
------------
TOTAL INVESTMENT COMPANY
( Cost
$491,829 )........ 491,829
TOTAL INVESTMENTS - 99.71%
- -----------------------------------------------
( Cost $49,476,630** )............. 51,757,531
NET OTHER ASSETS AND LIABILITIES - 0.29%
- -----------------------------------------------
150,680
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 51,908,211
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$49,506,867.
- --------------------------------------------------------------------------------
46
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.33%
- ----------------------------------------------
ARGENTINA - 0.04%
1,600 Banco Macro Bansud
S.A., ADR*......... $ 37,072
------------
AUSTRALIA - 0.99%
17,180 ABC Learning
Centres, Ltd. ..... 110,859
88,751 BlueScope Steel,
Ltd. .............. 517,443
13,700 James Hardie
Industries N.V. ... 98,283
21,052 John Fairfax
Holdings, Ltd. .... 62,328
43,663 Macquarie
Infrastructure
Group.............. 118,334
------------
907,247
------------
BELGIUM - 1.13%
20,500 InBev N.V. ........ 1,034,610
------------
BRAZIL - 1.37%
4,500 Brasil Telecom
Participacoes S.A.,
ADR................ 183,825
20,500 Cia de Concessoes
Rodoviarias........ 179,455
8,100 Gerdau S.A., ADR... 140,130
9,600 Grendene S.A. ..... 81,282
3,900 Petroleo
Brasileiro, S.A.,
ADR................ 385,437
9,300 Souza Cruz S.A. ... 176,613
6,300 Ultrapar
Participacoes S.A.,
ADR................ 110,691
------------
1,257,433
------------
CHILE - 0.07%
2,200 AFP Provida S.A.,
ADR................ 60,060
------------
CHINA - 0.29%
1,860 CNOOC, Ltd., ADR... 153,785
137,000 People's Food
Holdings, Ltd. .... 108,317
------------
262,102
------------
EGYPT - 0.54%
3,045 Eastern Tobacco.... 193,686
2,920 Orascom
Construction
Industries......... 120,357
3,500 Orascom Telecom
Holding S.A.E. .... 184,672
------------
498,715
------------
FINLAND - 0.15%
6,700 Sampo OYJ.......... 138,369
------------
FRANCE - 12.41%
22,600 AXA S.A. .......... 829,912
14,300 BNP Paribas........ 1,352,066
2,100 Carbone Lorraine... 121,254
51,000 France Telecom
S.A. .............. 1,191,672
6,608 Lafarge S.A. ...... 813,307
11,600 Lagardere
S.C.A. ............ 959,134
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FRANCE (CONTINUED)
2,200 Neopost S.A. ...... $ 248,973
14,369 Sanofi-Aventis..... 1,355,869
8,400 Schneider Electric
S.A. .............. 951,686
8,200 Total S.A. ........ 2,268,999
35,500 Vivendi Universal
S.A. .............. 1,296,901
------------
11,389,773
------------
GERMANY - 5.99%
3,900 Allianz AG......... 653,304
12,400 Bayerische Motoren
Werke AG........... 674,807
5,900 Deutsche Bank AG... 724,826
1,100 Fielmann AG........ 105,394
4,200 Fresenius Medical
Care AG & Co.
KGaA............... 504,261
1,000 Patrizia Immobilien
AG*................ 27,065
262 PUMA AG Rudolf
Dassler Sport...... 105,673
14,236 Siemens AG......... 1,347,812
2,411 Techem AG.......... 108,076
16,080 Volkswagen AG*..... 1,242,477
------------
5,493,695
------------
GREECE - 0.31%
2,200 Hellenic Exchanges
S.A. .............. 40,491
3,490 OPAP S.A. ......... 129,084
3,700 Piraeus Bank
S.A.*.............. 116,674
------------
286,249
------------
HONG KONG - 0.78%
43,500 China Netcom Group
Corp., Hong Kong,
Ltd. .............. 79,390
24,100 Esprit Holdings,
Ltd. .............. 193,033
83,000 Hutchison
Telecommunications
International,
Ltd.*.............. 146,663
345,000 Pacific Basin
Shipping, Ltd. .... 153,518
173,000 SA SA International
Holdings, Ltd. .... 71,403
92,000 Texwinca Holdings,
Ltd. .............. 67,637
------------
711,644
------------
HUNGARY - 0.26%
620 Gedeon Richter
Rt. ............... 133,592
900 MOL Magyar Olaj-es
Gazipari Rt. ...... 107,089
------------
240,681
------------
INDIA - 0.92%
7,200 Hero Honda Motors,
Ltd. .............. 136,845
18,600 Hindustan Lever,
Ltd. .............. 120,685
5,122 Oil & Natural Gas
Corp., Ltd. ....... 148,022
</Table>
- --------------------------------------------------------------------------------
47
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------
INDIA (CONTINUED)
12,002 Satyam Computer
Services, Ltd. .... $ 200,033
12,100 State Bank of
India, Ltd. ....... 238,873
------------
844,458
------------
INDONESIA - 0.77%
764,000 Bank Mandiri
Persero Tbk PT..... 166,833
9,600 Telekomunikasi
Indonesia Tbk PT,
ADR................ 331,200
330,000 United Tractors Tbk
PT................. 204,550
------------
702,583
------------
IRELAND - 2.43%
11,117 Anglo Irish Bank
Corp. PLC.......... 183,140
52,527 Bank of Ireland.... 985,329
22,687 CRH PLC............ 834,731
5,000 DCC PLC............ 121,501
4,200 Irish Life &
Permanent PLC...... 107,204
------------
2,231,905
------------
ISRAEL - 0.24%
44,000 Bank Hapoalim
B.M. .............. 221,718
346 Israel Chemicals,
Ltd. .............. 1,369
------------
223,087
------------
ITALY - 7.24%
17,700 Assicurazioni
Generali SpA....... 663,829
30,117 Banco Popolare di
Verona e Novara
S.c.r.l. .......... 848,186
111,450 Enel SpA........... 963,719
42,300 ENI SpA............ 1,292,218
2,700 Lottomatica SpA.... 124,541
83,144 Mediaset SpA....... 1,052,717
214,500 Telecom Italia
SpA................ 601,119
144,945 UniCredito Italiano
SpA................ 1,092,339
------------
6,638,668
------------
JAPAN - 20.67%
3,100 ABC-Mart, Inc. .... 72,613
2,600 Aoyama Trading Co.,
Ltd. .............. 87,295
3,500 Asahi Pretec
Corp. ............. 126,741
9,200 Asia Securities
Printing Co.,
Ltd. .............. 102,209
16,000 Bosch Corp. ....... 76,924
6,000 Chiyoda Corp. ..... 135,003
2,000 Daito Trust
Construction Co.,
Ltd. .............. 104,065
11,600 Dodwell BMS,
Ltd. .............. 98,591
1,400 Don Quijote Co.,
Ltd. .............. 119,482
165 eAccess, Ltd. ..... 113,988
134 East Japan Railway
Co. ............... 1,047,031
1,900 Eizo Nanao
Corp. ............. 64,795
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
JAPAN (CONTINUED)
4,000 Hisamitsu
Pharmaceutical Co.,
Inc. .............. $ 123,402
1,400 Hogy Medical Co.,
Ltd. .............. 74,076
21,800 Hoya Corp. ........ 883,305
6,100 Ichiyoshi
Securities Co.,
Ltd. .............. 111,786
2,800 Ito En, Ltd. ...... 103,116
4,000 JSR Corp. ......... 123,401
4,100 Leopalace21
Corp. ............. 160,000
2,500 Mars Engineering
Corp. ............. 67,678
11,500 Marui Co., Ltd. ... 222,369
123 Mitsubishi UFJ
Financial Group,
Inc. .............. 1,935,135
10,100 Murata
Manufacturing Co.,
Ltd. .............. 735,917
9,200 Nidec Corp. ....... 709,963
116,500 Nissan Motor Co.,
Ltd. .............. 1,532,854
7,700 Nissen Co.,
Ltd. .............. 120,804
76 NIWS Co., HQ,
Ltd. .............. 83,498
60,000 Nomura Holdings,
Inc. .............. 1,357,943
7,500 OSG Corp. ......... 159,196
2,800 Rinnai Corp. ...... 77,275
1,700 Secom Techno
Service Co.,
Ltd.*.............. 76,801
19,800 Sony Corp. ........ 995,438
85 Sumitomo Mitsui
Financial Group,
Inc. .............. 933,861
74,000 Sumitomo Trust &
Banking Co.,
Ltd. .............. 788,293
10,000 Suruga Bank,
Ltd. .............. 139,837
4,000 Takamatsu Corp. ... 84,377
22,800 Takeda
Pharmaceutical Co.,
Ltd. .............. 1,394,753
22,400 THK Co., Ltd. ..... 732,393
193,000 Tokyo Gas Co.,
Ltd. .............. 934,678
7,700 Toyota Motor
Corp. ............. 450,732
1,100 USS Co., Ltd. ..... 82,373
52,000 Yamato Holdings
Co., Ltd. ......... 1,037,486
37,300 Yokogawa Electric
Corp. ............. 591,423
------------
18,972,900
------------
MEXICO - 1.00%
2,500 CEMEX, S.A. de
C.V., ADR.......... 168,800
4,040 Desarrolladora
Homex S.A. de C.V.,
ADR*............... 154,813
1,970 Fomento Economico
Mexicano S.A. de
C.V., ADR.......... 182,974
39,900 Grupo Mexico S.A.
de C.V. ........... 139,594
6,800 Grupo Televisa
S.A., ADR.......... 144,160
35,800 Kimberly-Clark de
Mexico, S.A. de
C.V., Class A...... 126,056
------------
916,397
------------
</Table>
- --------------------------------------------------------------------------------
48
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------
MOROCCO - 0.19%
10,545 Maroc Telecom...... $ 173,049
------------
NETHERLANDS - 3.51%
2,040 Boskalis
Westminster........ 159,147
4,892 Fugro N.V. ........ 205,518
1,335 Hunter Douglas
N.V. .............. 94,542
24,200 Royal Dutch Shell
PLC, Class A....... 830,319
882 SBM Offshore
N.V. .............. 94,694
41,150 TNT N.V. .......... 1,482,531
7,400 Trader Media East
Ltd., GDR*......... 65,860
3,378 USG People N.V. ... 291,246
------------
3,223,857
------------
NORWAY - 1.84%
6,600 Acergy S.A.*....... 107,579
49,500 Den Norske Bank
ASA................ 686,419
4,300 Ekornes ASA........ 95,370
24,200 Statoil ASA........ 796,763
------------
1,686,131
------------
PERU - 0.13%
4,500 Credicorp, Ltd. ... 121,950
------------
PHILIPPINES - 0.20%
4,700 Philippine Long
Distance Telephone
Co., ADR........... 186,825
------------
RUSSIA - 0.36%
4,700 Evraz Group S.A.,
GDR................ 117,500
6,600 Mobile Telesystems
OJSC, ADR.......... 215,556
------------
333,056
------------
SOUTH AFRICA - 1.27%
8,800 Aquarius Platinum,
Ltd. .............. 129,381
30,900 Edgars Consolidated
Stores, Ltd. ...... 194,904
9,200 Kumba Resources,
Ltd. .............. 173,662
33,098 Murray & Roberts
Holdings, Ltd. .... 149,434
56,400 Old Mutual PLC..... 197,541
22,570 Sanlam, Ltd. ...... 58,181
67,296 Steinhoff
International
Holdings, Ltd. .... 266,190
------------
1,169,293
------------
SOUTH KOREA - 2.60%
650 Hite Brewery Co.,
Ltd. .............. 85,454
900 Hyundai Motor
Co. ............... 79,103
9,300 Kangwon Land,
Inc. .............. 191,285
5,586 Kookmin Bank....... 500,442
4,740 KT Corp., ADR...... 110,300
2,600 LG Electronics,
Inc. .............. 215,288
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
SOUTH KOREA (CONTINUED)
2,600 LG Household &
Health Care,
Ltd. .............. $ 207,570
5,700 LG.Philips LCD Co.,
Ltd., ADR*......... 119,985
1,579 Samsung Electronics
Co., Ltd., GDR
(C)................ 538,439
1,020 Samsung SDI Co.,
Ltd. .............. 84,351
2,310 Shinhan Financial
Group Co., Ltd. ... 115,108
1,900 SK Corp. .......... 139,801
------------
2,387,126
------------
SPAIN - 1.65%
3,100 Abengoa S.A. ...... 96,776
48,211 Banco Bilbao
Vizcaya Argentaria
S.A. .............. 1,065,644
4,300 Corp. Mapfre
S.A. .............. 90,975
6,400 Indra Sistemas,
S.A. .............. 131,850
4,900 Prosegur Cia de
Seguridad S.A. .... 130,205
------------
1,515,450
------------
SWEDEN - 1.28%
11,180 Elekta AB, Class
B.................. 184,538
6,200 Getinge AB......... 107,392
9,900 Lindex AB*......... 146,599
5,750 Swedish Match AB... 86,318
183,000 Telefonaktiebolaget
LM Ericsson........ 651,360
------------
1,176,207
------------
SWITZERLAND - 8.31%
17,000 Compagnie
Financiere
Richemont AG, Class
A.................. 879,960
25,280 Credit Suisse
Group.............. 1,586,555
100 Geberit AG......... 116,576
7,700 Julius Baer Holding
AG................. 737,587
3,363 Nestle S.A. ....... 1,024,817
38,100 Novartis AG........ 2,183,940
4,500 Zurich Financial
Services AG........ 1,093,958
------------
7,623,393
------------
TAIWAN - 1.34%
40,186 Advantech Co.,
Ltd. .............. 110,204
144,214 Chinatrust
Financial Holding
Co. ............... 118,419
4,900 Chunghwa Telecom
Co., Ltd., ADR..... 100,940
33,000 Delta Electronics,
Inc. .............. 102,805
7,861 Delta Electronics,
Inc., GDR (C)...... 122,451
128,100 Fubon Financial
Holding Co.,
Ltd. .............. 124,057
</Table>
- --------------------------------------------------------------------------------
49
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- ----------------------------------------------
TAIWAN (CONTINUED)
37,100 HON HAI Precision
Industry Co.,
Ltd. .............. $ 251,736
115,349 Taiwan
Semiconductor
Manufacturing Co.,
Ltd. .............. 246,193
5,300 Taiwan
Semiconductor
Manufacturing Co.,
Ltd., ADR.......... 55,544
------------
1,232,349
------------
THAILAND - 0.08%
93,300 Thai Union Frozen
Products Public
Co., Ltd. ......... 77,077
------------
TURKEY - 0.25%
1,300 Enka Insaat ve
Sanayi AS.......... 20,176
12,005 Turkcell Iletisim
Hizmet A.S., ADR... 204,685
------------
224,861
------------
UNITED KINGDOM - 13.72%
83,600 BAE Systems PLC.... 635,880
113,600 Barclays PLC....... 1,417,690
56,100 BP PLC............. 691,422
7,626 Bunzl PLC.......... 96,490
13,867 Cattles PLC........ 95,370
98,800 Diageo PLC......... 1,628,988
48,700 Enodis PLC......... 133,086
5,900 Enterprise Inns
PLC................ 100,287
14,560 Filtrona PLC....... 83,557
46,073 Gallaher Group
PLC................ 731,100
26,000 Imperial Tobacco
Group PLC.......... 807,152
9,100 Intertek Group
PLC................ 136,693
3,939 Man Group PLC...... 181,344
94,722 Marks and Spencer
Group PLC.......... 1,010,392
83,563 National Grid
PLC................ 876,136
6,700 Northgate PLC...... 134,270
6,200 Premier Oil PLC*... 116,004
19,600 Reckitt Benckiser
PLC................ 713,808
53,431 Regus Group PLC*... 113,162
31,504 Royal Bank of
Scotland Group
PLC................ 1,027,954
6,400 Signet Group PLC,
ADR................ 123,264
160,100 Tesco PLC.......... 931,911
295,422 Vodafone Group
PLC................ 696,987
8,900 William Hill PLC... 102,881
------------
12,585,828
------------
TOTAL COMMON STOCKS
( Cost
$64,860,569 )...... 86,564,100
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCK UNIT - 0.17%
- ----------------------------------------------
IRELAND - 0.17%
11,200 Grafton Group
PLC*............... $ 155,380
------------
TOTAL COMMON STOCK UNIT
( Cost
$113,763 )......... 155,380
PREFERRED STOCKS - 1.66%
- ----------------------------------------------
BRAZIL - 1.36%
7,300 Bradespar S.A. .... 290,708
224,600 Caemi Mineracao e
Metalurgica
S.A. .............. 412,564
4,500 Cia de Bebidas das
Americas, ADR...... 208,350
50,600 Klabin S.A. ....... 129,495
7,300 Telemar Norte Leste
S.A. .............. 202,884
------------
1,244,001
------------
SOUTH KOREA - 0.30%
1,510 Hyundai Motor
Co. ............... 86,931
9,300 Lotte Shopping Co.,
Ltd., GDR (C)*..... 191,022
------------
277,953
------------
TOTAL PREFERRED STOCKS
( Cost
$977,827 )......... 1,521,954
WARRANTS AND RIGHTS - 0.00%
- ----------------------------------------------
JAPAN - 0.00%
240 Belluna Co., Ltd.
Exp. 12/31/30
(Exercise Price
$32.19) (L)*....... 688
------------
TOTAL WARRANTS AND RIGHTS
( Cost $227 )...... 688
</Table>
- --------------------------------------------------------------------------------
50
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CERTIFICATE OF DEPOSIT - 3.68%
- ----------------------------------------------
UNITED STATES - 3.68%
$3,380,941 State Street
Eurodollar
2.600%, due
05/01/06.......... $ 3,380,941
------------
TOTAL CERTIFICATE OF DEPOSIT
( Cost
$3,380,941 )...... 3,380,941
TOTAL INVESTMENTS - 99.84%
- ----------------------------------------------
( Cost $69,333,327** )............ 91,623,063
NET OTHER ASSETS AND LIABILITIES - 0.16%
- ----------------------------------------------
148,615
TOTAL NET ASSETS - 100.00%
- ----------------------------------------------
$ 91,771,678
- ----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$69,409,280.
(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.
- --------------------------------------------------------------------------------
51
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets
<Table>
<Caption>
% of Net Assets
---------------
Banks 17.5%
Oil, Gas & Consumable
Fuels 7.6%
Pharmaceuticals 5.7%
Automobiles 4.6%
Insurance 4.1%
Media 3.9%
Net Other Assets &
Liabilities 3.9%
Diversified
Telecommunication
Services 3.8%
Electronic Equipment &
Instruments 3.8%
Diversified Financial
Services 3.7%
Beverages 3.5%
Electrical Equipment 2.6%
Road & Rail 2.3%
Tobacco 2.2%
Construction Materials 2.1%
Electric Utilities 2.0%
Household Durables 2.0%
Multiline Retail 1.9%
Air Freight & Logistics 1.6%
Metals & Mining 1.6%
Commercial Services &
Supplies 1.4%
Food Products 1.3%
Machinery 1.3%
Textiles, Apparel &
Luxury Goods 1.2%
Wireless
Telecommunication
Services 1.2%
Household Products 1.1%
</Table>
<Table>
<Caption>
% of Net Assets
---------------
Semiconductors &
Semiconductor Equipment 1.1%
Food & Staples Retailing 1.0%
Gas Utilities 1.0%
Aerospace & Defense 0.7%
Communications Equipment 0.7%
Construction &
Engineering 0.7%
Hotels, Restaurants &
Leisure 0.7%
Specialty Retail 0.7%
Health Care Providers &
Services 0.6%
Real Estate 0.6%
Energy Equipment &
Services 0.5%
Chemicals 0.4%
Distributors 0.4%
Health Care Equipment &
Supplies 0.4%
IT Services 0.4%
Building Products 0.3%
Office Electronics 0.3%
Transportation
Infrastructure 0.3%
Industrial Conglomerates 0.2%
Marine 0.2%
Personal Products 0.2%
Auto Components 0.1%
Computers & Peripherals 0.1%
Internet Software &
Services 0.1%
Internet & Catalog
Retail 0.1%
Leisure Equipment &
Products 0.1%
Materials 0.1%
Paper & Forest Products 0.1%
-----------
100.0%
-----------
-----------
</Table>
- --------------------------------------------------------------------------------
52
See accompanying Notes to Financial Statements.
This page is left blank intentionally.
- --------------------------------------------------------------------------------
53
STATEMENTS OF ASSETS AND LIABILITIES AS OF APRIL 30, 2006 (UNAUDITED)
<Table>
- ------------------------------------------------------------------------------------------
<Caption>
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
ASSETS:
Investments:
Investments at cost $14,735,840 $122,151,591 $59,978,645
Net unrealized appreciation
(depreciation) - (2,105,032) 315,621
------------------------------------------------
Total investments at value 14,735,840 120,046,559 60,294,266
Cash - 1,617 -
Foreign currency (cost of $85,866)(Note
2) - - -
Receivables:
Investments sold - - 116,246
Fund shares sold 2,789 60,483 50,056
Dividends and interest 16,467 1,059,468 1,101,724
Due from Advisor, net 2,451 - -
Prepaid insurance and registration fees 163 986 613
Other assets 21,760 25,354 29,081
------------------------------------------------
Total Assets 14,779,470 121,194,467 61,591,986
------------------------------------------------
LIABILITIES:
Payables:
Investments purchased - 967,831 800,411
Fund shares repurchased 49,290 191,890 64,738
Due to Advisor, net - 27,205 15,507
Upon return of securities loaned - 18,089,008 7,674,585
Administration and transfer agent fees 4,235 20,925 15,931
Distribution fees - Class B 3,064 25,791 11,812
Shareholder servicing fees - 21,013 10,870
Accrued expenses and other payables 14,476 33,684 79,286
------------------------------------------------
Total Liabilities 71,065 19,377,347 8,673,140
------------------------------------------------
NET ASSETS $14,708,405 $101,817,120 $52,918,846
------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $14,708,425 $105,038,398 $57,217,160
Accumulated undistributed
net investment income (loss) - (10,735) 155,121
Accumulated net realized gain (loss) on
investments sold and foreign currency
related transactions (20) (1,105,511) (4,769,056)
Net unrealized appreciation
(depreciation) of investments
(including appreciation
(depreciation) of foreign currency
related transactions) - (2,105,032) 315,621
------------------------------------------------
NET ASSETS $14,708,405 $101,817,120 $52,918,846
------------------------------------------------
CLASS A SHARES:
Net Assets $ 9,755,136 $ 60,248,881 $33,824,330
Shares of beneficial interest
outstanding 9,777,822 6,222,063 4,596,513
NET ASSET VALUE and redemption price
per share(1) $ 1.00 $ 9.68 $ 7.36
Sales charge of offering price(2) 0.06 0.49 0.35
------------------------------------------------
Maximum offering price per share $ 1.06 $ 10.14 $ 7.71
------------------------------------------------
CLASS B SHARES:
Net Assets $ 4,953,269 $ 41,568,239 $19,094,516
Shares of beneficial interest
outstanding 4,968,382 4,291,597 2,585,674
Net Asset Value and redemption price
per share(1) $ 1.00 $ 9.69 $ 7.38
------------------------------------------------
</Table>
(1) If applicable, redemption price per share may be reduced by a contingent
deferred sales charge and/or redemption fee.
(2) Sales charge of offering price is 5.75% for the Cash Reserves, Balanced,
Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, and
International Stock Funds; and 4.50% for the Bond and High Income Funds.
- --------------------------------------------------------------------------------
54
See accompanying Notes to Financial Statements.
<Table>
- -------------------------------------------------------------------------------------------------
<Caption>
BALANCED LARGE CAP LARGE CAP MID CAP MID CAP INTERNATIONAL
FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
$193,299,446 $152,111,569 $ 128,302,884 $ 70,215,592 $ 49,476,630 $ 69,333,327
18,749,663 33,868,217 8,788,573 12,912,964 2,280,901 22,289,736
- -------------------------------------------------------------------------------------------------
212,049,109 185,979,786 137,091,457 83,128,556 51,757,531 91,623,063
980 - - - - -
- - - - - 86,002
1,117,080 579,166 144,907 561,343 1,324,673 692,611
117,771 95,514 55,865 107,054 42,304 135,760
765,582 287,221 111,500 59,364 9,429 274,625
- - - - - -
1,889 1,636 1,241 638 419 597
26,075 27,328 29,215 25,078 25,878 60,396
- -------------------------------------------------------------------------------------------------
214,078,486 186,970,651 137,434,185 83,882,033 53,160,234 92,873,054
- -------------------------------------------------------------------------------------------------
976,904 - 285,844 315,909 1,103,572 895,272
141,268 262,158 241,899 40,364 77,939 73,941
91,773 62,424 58,170 44,476 16,283 55,950
12,983,405 2,431,200 6,180,826 8,753,804 - -
42,868 46,238 43,662 20,903 18,427 12,717
56,778 43,419 31,336 15,499 10,224 9,385
44,529 37,419 27,091 15,118 10,526 18,276
27,369 19,853 17,524 17,659 15,052 35,835
- -------------------------------------------------------------------------------------------------
14,364,894 2,902,711 6,886,352 9,223,732 1,252,023 1,101,376
- -------------------------------------------------------------------------------------------------
$199,713,592 $184,067,940 $ 130,547,833 $ 74,658,301 $ 51,908,211 $ 91,771,678
- -------------------------------------------------------------------------------------------------
$184,452,322 $169,861,557 $ 135,429,758 $ 53,399,044 $ 56,664,173 $ 62,697,354
(7,702) 730,251 (360) 25,745 (167,473) 36,698
(3,480,691) (20,392,085) (13,670,138) 8,320,548 (6,869,390) 6,747,003
18,749,663 33,868,217 8,788,573 12,912,964 2,280,901 22,290,623
- -------------------------------------------------------------------------------------------------
$199,713,592 $184,067,940 $ 130,547,833 $ 74,658,301 $ 51,908,211 $ 91,771,678
- -------------------------------------------------------------------------------------------------
$107,769,194 $113,268,762 $ 80,424,397 $ 49,151,499 $ 35,168,361 $ 75,864,896
8,464,799 7,890,182 5,631,124 3,293,456 5,686,065 4,920,417
$ 12.73 $ 14.36 $ 14.28 $ 14.92 $ 6.19 $ 15.42
0.78 0.88 0.87 0.91 0.38 0.94
- -------------------------------------------------------------------------------------------------
$ 13.51 $ 15.24 $ 15.15 $ 15.83 $ 6.57 $ 16.36
- -------------------------------------------------------------------------------------------------
$ 91,944,398 $ 70,799,178 $ 50,123,436 $ 25,506,802 $ 16,739,850 $ 15,906,782
7,215,141 5,000,429 3,702,645 1,769,164 2,835,574 1,042,275
$ 12.74 $ 14.16 $ 13.54 $ 14.42 $ 5.90 $ 15.26
- -------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
55
See accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2006 (UNAUDITED)
<Table>
- ------------------------------------------------------------------------------------------
<Caption>
CASH RESERVES BOND HIGH INCOME
FUND FUND FUND
INVESTMENT INCOME:
Interest $ 371,684 $ 2,681,648 $ 2,119,136
Dividends - - 26,355
Less: Foreign taxes withheld - - (34)
Securities lending income - 15,357 11,678
-----------------------------------------------
Total investment income 371,684 2,697,005 2,157,135
-----------------------------------------------
EXPENSES:
Management fees 34,377 264,836 150,198
Administration and transfer agent fees 18,745 99,740 60,562
Registration expenses 12,310 13,454 12,159
Custodian and accounting fees 7,518 16,754 13,792
Professional fees 6,867 11,066 11,104
Reports to shareholder expense 1,308 7,797 4,452
Trustees' fees 830 5,055 2,609
Distribution fees - Class B 20,557 167,334 75,608
Shareholder servicing fees - Class A - 76,640 43,069
Shareholder servicing fees - Class B - 55,778 25,203
Compliance expense 2,581 2,581 2,581
Other expenses 833 3,407 2,246
-----------------------------------------------
Total expenses before
reimbursement/waiver 105,926 724,442 403,583
Less reimbursement/waiver (38,104) (82,186) (54,893)
-----------------------------------------------
Total expenses net of
reimbursement/waiver 67,822 642,256 348,690
-----------------------------------------------
NET INVESTMENT INCOME (LOSS) 303,862 2,054,749 1,808,445
-----------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on investments
(including net realized gain (loss) on
foreign currency related transactions)* (13) (233,204) 326,193
Net change in unrealized appreciation
(depreciation) on investments (including
a net unrealized appreciation
(depreciation) on foreign currency
related transactions)** - (1,505,136) 264,839
-----------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (13) (1,738,340) 591,032
-----------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 303,849 $ 316,409 $ 2,399,477
-----------------------------------------------
</Table>
- ----------------------------------
()* Includes foreign capital gains taxes paid of $3,813 for the International
Stock Fund.
()** Net of deferred foreign capital gains taxes of $10,779 for the
International Stock Fund.
- --------------------------------------------------------------------------------
56
See accompanying Notes to Financial Statements.
<Table>
- ---------------------------------------------------------------------------------------
<Caption>
BALANCED LARGE CAP LARGE CAP MID CAP MID CAP INTERNATIONAL
FUND VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND STOCK FUND
$1,720,118 $ 35,388 $ 31,009 $ 25,517 $ 27,154 $ 28,786
1,324,511 2,353,747 963,088 600,048 162,503 807,447
(422) - (5,358) (361) (948) (60,149)
15,792 1,820 6,451 4,456 2,586 -
- ---------------------------------------------------------------------------------------
3,059,999 2,390,955 995,190 629,660 191,295 776,084
- ---------------------------------------------------------------------------------------
661,094 498,418 499,138 332,449 188,056 415,240
200,840 214,130 198,218 95,136 86,885 73,120
13,871 14,403 13,614 10,292 10,420 13,070
24,259 19,470 16,749 16,411 21,349 89,522
14,445 13,732 12,263 10,314 9,145 13,491
14,126 13,601 10,807 4,774 3,892 4,824
8,314 8,615 6,305 3,141 2,378 3,572
357,812 272,166 198,757 90,034 58,852 48,699
134,996 135,832 100,127 57,475 43,068 82,634
119,271 90,722 66,252 30,011 19,617 16,233
2,581 2,581 2,581 2,581 2,581 2,581
6,143 5,553 3,951 2,410 1,776 2,341
- ---------------------------------------------------------------------------------------
1,557,752 1,289,223 1,128,762 655,028 448,019 765,327
(81,092) (112,505) (133,212) (75,152) (89,251) (83,927)
- ---------------------------------------------------------------------------------------
1,476,660 1,176,718 995,550 579,876 358,768 681,400
- ---------------------------------------------------------------------------------------
1,583,339 1,214,237 (360) 49,784 (167,473) 94,684
- ---------------------------------------------------------------------------------------
1,904,974 6,230,947 11,941,257 8,337,393 10,713,985 6,783,703
6,022,884 9,965,838 (6,016,946) 243,545 (3,548,843) 9,644,915
- ---------------------------------------------------------------------------------------
7,927,858 16,196,785 5,924,311 8,580,938 7,165,142 16,428,618
- ---------------------------------------------------------------------------------------
$9,511,197 $17,411,022 $ 5,923,951 $ 8,630,722 $ 6,997,669 $ 16,523,302
- ---------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
57
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
- ------------------------------------------------------------------------------------------------------
<Caption>
CASH RESERVES FUND BOND FUND
--------------------------------- ---------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2006 YEAR ENDED APRIL 30, 2006 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2005 (UNAUDITED) OCTOBER 31, 2005
NET ASSETS AT BEGINNING OF
PERIOD $17,347,840 $20,348,022 $109,530,215 $115,169,491
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income 303,862 366,161 2,054,749 3,920,310
Net realized gain (loss) (13) (7) (233,204) 210,525
Net change in unrealized
appreciation (dep) - - (1,505,136) (3,572,710)
---------------------------------------------------------------------
Net increase in net assets
from operations 303,849 366,154 316,409 558,125
---------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Class A (221,921) (261,600) (1,315,512) (2,405,620)
Class B (82,744) (105,896) (787,268) (1,647,191)
---------------------------------------------------------------------
TOTAL DISTRIBUTIONS (304,665) (367,496) (2,102,780) (4,052,811)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 10,403,487 6,087,557 5,815,315 13,980,460
Issued to shareholders in
reinvestment of
distributions 214,819 258,400 1,267,969 2,314,294
Shares redeemed (12,105,655) (7,018,403) (7,723,545) (12,352,304)
Redemption fees - - 395 1,381
---------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (1,487,349) (672,446) (639,866) 3,943,831
---------------------------------------------------------------------
CLASS B SHARES
Shares sold 506,703 1,672,418 1,066,325 3,970,780
Issued to shareholders in
reinvestment of
distributions 75,152 97,404 720,303 1,512,182
Shares redeemed (1,733,125) (4,096,216) (7,073,486) (11,571,383)
---------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (1,151,270) (2,326,394) (5,286,858) (6,088,421)
---------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (2,639,435) (3,000,182) (7,713,095) (5,639,276)
---------------------------------------------------------------------
NET ASSETS at end of period $14,708,405 $17,347,840 $101,817,120 $109,530,215
---------------------------------------------------------------------
Undistributed (distribution in
excess of) net investment
income $ - $ 803 $ (10,735) $ 37,296
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 10,403,487 6,087,557 591,063 1,394,768
Issued to shareholders in
reinvestment of
distributions 214,819 258,400 129,051 230,356
Shares redeemed (12,105,655) (7,018,403) (785,488) (1,229,378)
---------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (1,487,349) (672,446) (65,374) 395,746
---------------------------------------------------------------------
CLASS B SHARES
Shares sold 506,703 1,672,418 108,440 394,605
Issued to shareholders in
reinvestment of
distributions 75,152 97,404 73,270 150,443
Shares redeemed (1,733,125) (4,096,216) (719,263) (1,150,615)
---------------------------------------------------------------------
Net decrease from capital
stock transactions (1,151,270) (2,326,394) (537,553) (605,567)
---------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
58
See accompanying Notes to Financial Statements.
<Table>
<Caption>
HIGH INCOME FUND BALANCED FUND LARGE CAP VALUE FUND
------------------------------------- ------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2006 YEAR ENDED APRIL 30, 2006 YEAR ENDED APRIL 30, 2006 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2005 (UNAUDITED) OCTOBER 31, 2005 (UNAUDITED) OCTOBER 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
$ 65,126,572 $67,485,810 $205,715,130 $204,684,264 $177,793,189 $169,337,191
- -----------------------------------------------------------------------------------------------------------------------------------
1,808,445 4,289,635 1,583,339 3,188,269 1,214,237 1,726,743
326,193 493,268 1,904,974 7,310,825 6,230,947 (333,713)
264,839 (3,072,100) 6,022,884 579,312 9,965,838 14,146,845
- -----------------------------------------------------------------------------------------------------------------------------------
2,399,477 1,710,803 9,511,197 11,078,406 17,411,022 15,539,875
- -----------------------------------------------------------------------------------------------------------------------------------
(1,186,307) (2,947,502) (1,035,644) (2,024,516) (1,397,838) (1,084,836)
(624,187) (1,279,041) (559,306) (1,230,115) (417,037) (377,017)
- -----------------------------------------------------------------------------------------------------------------------------------
(1,810,494) (4,226,543) (1,594,950) (3,254,631) (1,814,875) (1,461,853)
4,498,461 8,513,095 8,681,979 19,500,679 10,527,389 21,817,829
911,949 1,770,738 1,022,837 1,999,000 1,385,061 1,072,530
(15,829,411) (8,840,700) (13,571,631) (16,722,892) (11,574,718) (12,359,804)
117 198 447 352 45 43
- -----------------------------------------------------------------------------------------------------------------------------------
(10,418,884) 1,443,331 (3,866,368) 4,777,139 337,777 10,530,598
- -----------------------------------------------------------------------------------------------------------------------------------
809,458 2,949,055 2,760,548 9,776,495 2,150,305 5,643,751
512,880 1,035,777 546,958 1,199,896 406,274 368,151
(3,700,163) (5,271,661) (13,358,923) (22,546,439) (12,215,752) (22,164,524)
- -----------------------------------------------------------------------------------------------------------------------------------
(2,377,825) (1,286,829) (10,051,417) (11,570,048) (9,659,173) (16,152,622)
- -----------------------------------------------------------------------------------------------------------------------------------
(12,207,726) (2,359,238) (6,001,538) 1,030,866 6,274,751 8,455,998
- -----------------------------------------------------------------------------------------------------------------------------------
$ 52,918,846 $65,126,572 $199,713,592 $205,715,130 $184,067,940 $177,793,189
-------------------------------------------------------------------------------------------------------------------------------
$ 155,121 $ 157,170 $ (7,702) $ 3,909 $ 730,251 $ 1,330,889
-------------------------------------------------------------------------------------------------------------------------------
610,771 1,133,885 687,527 1,594,151 762,094 1,686,415
124,275 237,816 81,134 163,465 103,132 82,885
(2,159,986) (1,189,373) (1,073,835) (1,365,001) (837,069) (950,793)
- -----------------------------------------------------------------------------------------------------------------------------------
(1,424,940) 182,328 (305,174) 392,615 28,157 818,507
- -----------------------------------------------------------------------------------------------------------------------------------
109,721 393,564 218,313 799,826 157,711 443,034
138,631 43,371 98,163 30,593 28,784
69,630
(501,002) (704,210) (1,058,027) (1,838,903) (895,825) (1,733,043)
- -----------------------------------------------------------------------------------------------------------------------------------
(321,651) (172,015) (796,343) (940,914) (707,521) (1,261,225)
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
59
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
LARGE CAP GROWTH FUND MID CAP VALUE FUND
------------------------------------ ------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2006 YEAR ENDED APRIL 30, 2006 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2005 (UNAUDITED) OCTOBER 31, 2005
- ------------------------------------------------------------------------------------------------------------
NET ASSETS AT BEGINNING OF
PERIOD $133,731,230 $137,218,036 $66,758,591 $60,207,060
---------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss) (360) 426,541 49,784 (30,551)
Net realized gain 11,941,257 4,642,829 8,337,393 4,522,348
Net change in unrealized
appreciation (dep) (6,016,946) 3,474,748 243,545 3,767,022
---------------------------------------------------------------------------
Net increase in net assets
from operations 5,923,951 8,544,118 8,630,722 8,258,819
---------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Class A (422,539) (4,002) (24,039) (295,803)
Class B - - - -
Net realized gains
Class A - - (2,905,036) -
Class B - - (1,562,221) -
---------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (422,539) (4,002) (4,491,296) (295,803)
CAPITAL STOCK TRANSACTIONS:
CLASS A SHARES
Shares sold 6,956,543 11,846,637 4,221,862 6,770,681
Issued to shareholders in
reinvestment of
distributions 419,623 3,921 2,882,283 263,976
Shares redeemed (8,944,547) (11,623,924) (4,886,027) (8,335,996)
Redemption fees 70 13 150 1,213
---------------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (1,568,311) 226,647 2,218,268 (1,300,126)
---------------------------------------------------------------------------
CLASS B SHARES
Shares sold 1,368,362 3,402,886 2,081,278 3,467,853
Issued to shareholders in
reinvestment of
distributions - - 1,515,962 -
Shares redeemed (8,484,860) (15,656,455) (2,055,224) (3,579,212)
---------------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (7,116,498) (12,253,569) 1,542,016 (111,359)
---------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (3,183,397) (3,486,806) 7,899,710 6,551,531
---------------------------------------------------------------------------
NET ASSETS at end of period $130,547,833 $133,731,230 $74,658,301 $66,758,591
---------------------------------------------------------------------------
Undistributed (distribution in
excess of) net investment
income $ (360) $ 422,539 $ 25,745 $ -
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A SHARES
Shares sold 491,618 871,267 292,520 502,042
Issued to shareholders in
reinvestment of
distributions 30,145 286 207,080 19,715
Shares redeemed (632,792) (853,010) (340,138) (610,886)
---------------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (111,029) 18,543 159,462 (89,129)
---------------------------------------------------------------------------
CLASS B SHARES
Shares sold 101,483 264,215 148,623 263,787
Issued to shareholders in
reinvestment of
distributions - - 112,460 -
Shares redeemed (630,658) (1,211,040) (147,098) (271,823)
---------------------------------------------------------------------------
Net increase (decrease) from
capital stock transactions (529,175) (946,825) 113,985 (8,036)
---------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
60
See accompanying Notes to Financial Statements.
<Table>
<Caption>
MID CAP GROWTH FUND INTERNATIONAL STOCK FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2006 YEAR ENDED APRIL 30, 2006 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2005 (UNAUDITED) OCTOBER 31, 2005
- -----------------------------------------------------------------------------------
$46,859,450 $38,927,058 $69,746,931 $51,473,800
- -----------------------------------------------------------------------------------
(167,473) (210,899) 94,684 647,859
10,713,985 3,883,785 6,783,703 8,668,893
(3,548,843) 718,895 9,644,915 1,851,149
- -----------------------------------------------------------------------------------
6,997,669 4,391,781 16,523,302 11,167,901
- -----------------------------------------------------------------------------------
- - (635,430) (419,232)
- - (30,964) (8,299)
- - (31,599) -
- - (6,158) -
- -----------------------------------------------------------------------------------
- - (704,151) (427,531)
3,976,629 9,319,697 6,747,190 8,611,712
- - 647,398 404,891
(6,051,424) (5,891,137) (3,535,450) (3,252,531)
116 36 271 768
- -----------------------------------------------------------------------------------
(2,074,679) 3,428,596 3,859,409 5,764,840
- -----------------------------------------------------------------------------------
1,586,066 2,860,783 3,671,056 3,618,865
- - 36,150 8,157
(1,460,295) (2,748,768) (1,361,019) (1,859,101)
- -----------------------------------------------------------------------------------
125,771 112,015 2,346,187 1,767,921
- -----------------------------------------------------------------------------------
5,048,761 7,932,392 22,024,747 18,273,131
- -----------------------------------------------------------------------------------
$51,908,211 $46,859,450 $91,771,678 $69,746,931
-------------------------------------------------------------------------------
$ (167,473) $ - $ 36,698 $ 608,408
-------------------------------------------------------------------------------
677,586 1,823,270 478,111 720,801
- - 48,064 34,695
(1,032,527) (1,141,602) (254,816) (265,298)
- -----------------------------------------------------------------------------------
(354,941) 681,668 271,359 490,198
- -----------------------------------------------------------------------------------
281,811 579,081 261,309 307,425
- - 2,707 705
(259,778) (557,779) (97,134) (158,736)
- -----------------------------------------------------------------------------------
22,033 21,302 166,882 149,394
- -----------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
61
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
CASH RESERVES FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.02 0.01 0.001 0.01 0.04
-------------------------------------------------------------------------------
Total from investment operations 0.02 0.02 0.01 0.00 0.01 0.04
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.02) (0.02) (0.01) (0.00)1 (0.01) (0.04)
-------------------------------------------------------------------------------
Total distributions (0.02) (0.02) (0.01) (0.00) (0.01) (0.04)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value - - - - - -
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
TOTAL RETURN (2) 1.89%(4) 2.33% 0.68% 0.75% 1.57% 4.50%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $9,755 $11,243 $11,916 $14,236 $16,487 $11,508
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 0.99%(5) 0.98% 0.82% 0.87% 0.99% 1.25%
After reimbursement of expenses by
Advisor 0.55%(5) 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 3.78%(5) 2.30% 0.68% 0.75% 1.46% 3.96%
CLASS B
------
NET ASSET VALUE at beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.02 0.00(1) 0.00(1) 0.01 0.04
-------------------------------------------------------------------------------
Total from investment operations 0.02 0.02 0.00 0.00 0.01 0.04
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.02) (0.02) - (0.00)(1) (0.01) (0.04)
-------------------------------------------------------------------------------
Total distributions (0.02) (0.02) - (0.00) (0.01) (0.04)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value - - 0.00 - - -
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
TOTAL RETURN (2) 1.51%(4) 1.57% 0.07% 0.08% 0.81% 3.72%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $4,953 $ 6,105 $ 8,432 $12,071 $17,636 $ 9,571
Ratios of expenses to average net
assets:
Before reimbursement of expenses by
Advisor 1.74%(5) 1.73% 1.57% 1.62% 1.74% 2.00%
After reimbursement of expenses by
Advisor 1.30%(5) 1.30% 1.15%(3) 1.23%(3) 1.30% 1.30%
Ratio of net investment income to
average net assets After
reimbursement of expenses by
Advisor 3.02%(5) 1.49% 0.06% 0.08% 0.71% 3.21%
</Table>
- ----------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Total return without applicable sales charge.
(3) Amount includes fees waived by distributor (Note 3).
(4) Not annualized.
(5) Annualized.
- --------------------------------------------------------------------------------
62
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
BOND FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 9.85 $ 10.17 $ 10.12 $ 10.17 $ 10.23 $ 9.57
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.21 0.39 0.37 0.40 0.47 0.55
Net realized and unrealized gain
(loss) on investments (0.17) (0.31) 0.07 (0.05) (0.06)(2) 0.67
-------------------------------------------------------------------------------
Total from investment operations 0.04 0.08 0.44 0.35 0.41 1.22
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.21) (0.40) (0.39) (0.40) (0.47) (0.56)
-------------------------------------------------------------------------------
Total distributions (0.21) (0.40) (0.39) (0.40) (0.47) (0.56)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value (0.17) (0.32) 0.05 (0.05) (0.06) 0.66
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.68 $ 9.85 $ 10.17 $ 10.12 $ 10.17 $ 10.23
-------------------------------------------------------------------------------
TOTAL RETURN (1) 0.39%(3) 0.74% 4.46% 3.51% 4.21% 13.07%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $60,249 $61,942 $59,900 $78,165 $63,069 $28,813
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.06%(4) 1.07% 1.01% 1.10% 1.17% 1.28%
After reimbursement of expenses by
Advisor 0.90%(4) 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 4.20%(4) 3.82% 3.73% 3.94% 4.62% 5.53%
Portfolio Turnover 20%(3) 43% 81% 75% 90% 109%
CLASS B
-------
NET ASSET VALUE at beginning of
period $ 9.85 $ 10.17 $ 10.12 $ 10.18 $ 10.24 $ 9.58
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17 0.31 0.30 0.33 0.39 0.48
Net realized and unrealized gain
(loss) on investments (0.16) (0.31) 0.07 (0.06) (0.05)(2) 0.66
-------------------------------------------------------------------------------
Total from investment operations 0.01 - 0.37 0.27 0.34 1.14
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.17) (0.32) (0.32) (0.33) (0.40) (0.48)
-------------------------------------------------------------------------------
Total distributions (0.17) (0.32) (0.32) (0.33) (0.40) (0.48)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value (0.16) (0.32) 0.05 (0.06) (0.06) 0.66
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.69 $ 9.85 $ 10.17 $ 10.12 $ 10.18 $ 10.24
-------------------------------------------------------------------------------
TOTAL RETURN (1) 0.11%(3) (0.01)% 3.68% 2.64% 3.44% 12.23%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $41,568 $47,588 $55,269 $64,529 $60,517 $31,119
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.81%(4) 1.82% 1.76% 1.85% 1.92% 2.03%
After reimbursement of expenses by
Advisor 1.65%(4) 1.65% 1.65% 1.65% 1.65% 1.65%
Ratio of net investment income to
average net assets After
reimbursement of expenses by
Advisor 3.45%(4) 3.08% 2.95% 3.19% 3.87% 4.78%
Portfolio Turnover 20%(3) 43% 81% 75% 90% 109%
</Table>
- ----------------------------------
(1) Total return without applicable sales charge.
(2) The amount shown for a share outstanding does not correspond with the
aggregate net gain (loss) on investments due to the timing of sales and
repurchases of shares in relation to fluctuating market values of the
investments of the Fund.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
63
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
HIGH INCOME FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 7.29 $ 7.56 $ 7.36 $ 6.57 $ 7.13 $ 8.02
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.27 0.49 0.55 0.54 0.58 0.74
Net realized and unrealized gain
(loss) on investments 0.06 (0.28) 0.21 0.80 (0.55) (0.88)
-------------------------------------------------------------------------------
Total from investment operations 0.33 0.21 0.76 1.34 0.03 (0.14)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.26) (0.48) (0.56) (0.55) (0.59) (0.75)
-------------------------------------------------------------------------------
Total distributions (0.26) (0.48) (0.56) (0.55) (0.59) (0.75)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.07 (0.27) 0.20 0.79 (0.56) (0.89)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.36 $ 7.29 $ 7.56 $ 7.36 $ 6.57 $ 7.13
-------------------------------------------------------------------------------
TOTAL RETURN (1) 4.54%(3) 2.85% 10.73% 21.09% 0.33% (1.94)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $33,824 $43,872 $44,137 $33,024 $18,055 $10,939
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.20%(4) 1.23% 1.16% 1.38% 1.59% 1.68%
After reimbursement of expenses by
Advisor 1.00%(4) 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 6.90%(4) 6.50% 7.37% 7.73% 8.55% 9.75%
Portfolio Turnover 28%(3) 81%(2) 60% 58% 47% 38%
CLASS B
-------
NET ASSET VALUE at beginning of
period $ 7.31 $ 7.58 $ 7.37 $ 6.59 $ 7.14 $ 8.04
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.23 0.43 0.49 0.49 0.54 0.69
Net realized and unrealized gain
(loss) on investments 0.07 (0.28) 0.22 0.78 (0.55) (0.89)
-------------------------------------------------------------------------------
Total from investment operations 0.30 0.15 0.71 1.27 (0.01) (0.20)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.23) (0.42) (0.50) (0.49) (0.54) (0.70)
-------------------------------------------------------------------------------
Total distributions (0.23) (0.42) (0.50) (0.49) (0.54) (0.70)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.07 (0.27) 0.21 0.78 (0.55) (0.90)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.38 $ 7.31 $ 7.58 $ 7.37 $ 6.59 $ 7.14
-------------------------------------------------------------------------------
TOTAL RETURN (1) 4.14%(3) 2.06% 10.02% 19.96% (0.27)% (2.77)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $19,095 $21,255 $23,349 $21,992 $15,561 $15,063
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.95%(4) 1.98% 1.91% 2.13% 2.34% 2.43%
After reimbursement of expenses by
Advisor 1.75%(4) 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to
average net assets After
reimbursement of expenses by
Advisor 6.16%(4) 5.75% 6.63% 6.98% 7.80% 9.00%
Portfolio Turnover 28%(3) 81%(2) 60% 58% 47% 38%
</Table>
- ----------------------------------
(1) Total return without applicable sales charge.
(2) Reflects subadvisor change as of February 28, 2005.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
64
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
BALANCED FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 12.25 $ 11.81 $ 11.18 $ 10.16 $ 11.28 $ 12.65
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.12 0.24 0.22 0.25 0.28 0.30
Net realized and unrealized gain
(loss) on investments 0.48 0.44 0.64 1.02 (1.12) (1.37)
-------------------------------------------------------------------------------
Total from investment operations 0.60 0.68 0.86 1.27 (0.84) (1.07)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.12) (0.24) (0.23) (0.25) (0.28) (0.30)
Distributions from capital gains - - - - (0.00)(1) -
-------------------------------------------------------------------------------
Total distributions (0.12) (0.24) (0.23) (0.25) (0.28) (0.30)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.48 0.44 0.63 1.02 (1.12) (1.37)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 12.73 $ 12.25 $ 11.81 $ 11.18 $ 10.16 $ 11.28
-------------------------------------------------------------------------------
TOTAL RETURN (2) 4.91%(3) 5.74% 7.71% 12.72% (7.59)% (8.54)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $107,769 $107,457 $ 98,900 $ 83,606 $70,389 $61,836
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.18%(4) 1.21% 1.17% 1.32% 1.30% 1.35%
After reimbursement of expenses by
Advisor 1.10%(4) 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 1.91%(4) 1.88% 1.88% 2.38% 2.56% 2.55%
Portfolio Turnover 33%(3) 34% 39% 35% 48% 57%
CLASS B
------
NET ASSET VALUE at beginning of
period $ 12.26 $ 11.82 $ 11.19 $ 10.17 $ 11.29 $ 12.66
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.07 0.14 0.13 0.17 0.20 0.21
Net realized and unrealized gain
(loss) on investments 0.48 0.44 0.64 1.02 (1.12) (1.37)
-------------------------------------------------------------------------------
Total from investment operations 0.55 0.58 0.77 1.19 (0.92) (1.16)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.07) (0.14) (0.14) (0.17) (0.20) (0.21)
Distributions from capital gains - - - - (0.00)(1) -
-------------------------------------------------------------------------------
Total distributions (0.07) (0.14) (0.14) (0.17) (0.20) (0.21)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.48 0.44 0.63 1.02 (1.12) (1.37)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 12.74 $ 12.26 $ 11.82 $ 11.19 $ 10.17 $ 11.29
-------------------------------------------------------------------------------
TOTAL RETURN (2) 4.52%(3) 4.94% 6.90% 11.87% (8.27)% (9.22)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $ 91,945 $ 98,258 $105,784 $100,787 $90,903 $92,054
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.93%(4) 1.96% 1.92% 2.07% 2.05% 2.10%
After reimbursement of expenses by
Advisor 1.85%(4) 1.85% 1.85% 1.85% 1.85% 1.85%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 1.16%(4) 1.15% 1.14% 1.63% 1.81% 1.80%
Portfolio Turnover 33%(3) 34% 39% 35% 48% 57%
</Table>
- ----------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
65
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP VALUE FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 13.20 $ 12.19 $ 11.05 $ 9.37 $ 11.14 $ 14.06
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.12 0.16 0.14 0.12 0.10(1) 0.06
Net realized and unrealized gain
(loss) on investments 1.22 1.00 1.12 1.64 (1.82) (2.92)
-------------------------------------------------------------------------------
Total from investment operations 1.34 1.16 1.26 1.76 (1.72) (2.86)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.18) (0.15) (0.12) (0.08) (0.05) (0.06)
-------------------------------------------------------------------------------
Total distributions (0.18) (0.15) (0.12) (0.08) (0.05) (0.06)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 1.16 1.01 1.14 1.68 (1.77) (2.92)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.36 $ 13.20 $ 12.19 $ 11.05 $ 9.37 $ 11.14
-------------------------------------------------------------------------------
TOTAL RETURN (2) 10.23%(3) 9.56% 11.48% 18.95% (15.51)% (20.42)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $113,269 $103,765 $85,855 $68,406 $53,896 $55,966
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.12%(4) 1.17% 1.13% 1.35% 1.30% 1.29%
After reimbursement of expenses by
Advisor 1.00%(4) 1.00% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 1.63%(4) 1.29% 1.26% 1.29% 0.91% 0.60%
Portfolio Turnover 32%(3) 12% 16% 20% 18% 24%
CLASS B
------
NET ASSET VALUE at beginning of
period $ 12.97 $ 11.98 $ 10.87 $ 9.24 $ 11.02 $ 13.96
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.09 0.06 0.05 0.02(1) (0.02)
Net realized and unrealized gain
(loss) on investments 1.19 0.96 1.10 1.60 (1.79) (2.92)
-------------------------------------------------------------------------------
Total from investment operations 1.27 1.05 1.16 1.65 (1.77) (2.94)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.08) (0.06) (0.05) (0.02) (0.01) -
-------------------------------------------------------------------------------
Total distributions (0.08) (0.06) (0.05) (0.02) (0.01) -
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 1.19 0.99 1.11 1.63 (1.78) (2.94)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.16 $ 12.97 $ 11.98 $ 10.87 $ 9.24 $ 11.02
-------------------------------------------------------------------------------
TOTAL RETURN (2) 9.80%(3) 8.73% 10.70% 17.93% (16.09)% (21.06)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $ 70,799 $ 74,028 $83,482 $79,765 $72,329 $97,081
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.87%(4) 1.92% 1.89% 2.10% 2.05% 2.04%
After reimbursement of expenses by
Advisor 1.75%(4) 1.75% 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 0.90%(4) 0.57% 0.53% 0.54% 0.16% (0.15)%
Portfolio Turnover 32%(3) 12% 16% 20% 18% 24%
</Table>
- ----------------------------------
(1) Calculated based on average shares outstanding.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
66
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP GROWTH FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 13.72 $ 12.87 $ 11.88 $ 9.63 $ 12.81 $ 16.44
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.08 0.01 (0.00)(1) (0.02)(2) (0.04)(2)
Net realized and unrealized gain
(loss) on investments 0.61 0.77 0.98 2.25 (3.11) (3.59)
-------------------------------------------------------------------------------
Total from investment operations 0.63 0.85 0.99 2.25 (3.13) (3.63)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.07) (0.00)(1) - - - -
Distributions from capital gains - - - - (0.05) -
-------------------------------------------------------------------------------
Total distributions (0.07) (0.00) - - (0.05) -
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.56 0.85 0.99 2.25 (3.18) (3.63)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.28 $ 13.72 $ 12.87 $ 11.88 $ 9.63 $ 12.81
-------------------------------------------------------------------------------
TOTAL RETURN (3) 4.64%(4) 6.61% 8.33% 23.36% (24.54)% (22.08)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $80,424 $78,785 $73,674 $71,733 $55,865 $59,801
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.40%(5) 1.44% 1.38% 1.64% 1.58% 1.58%
After reimbursement of expenses by
Advisor 1.20%(5) 1.20% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 0.29%(5) 0.62% 0.08% 0.05% (0.16)% (0.30)%
Portfolio Turnover 92%(4) 18% 27% 25% 25% 30%
CLASS B
------
NET ASSET VALUE at beginning of
period $ 12.98 $ 12.27 $ 11.40 $ 9.31 $ 12.48 $ 16.13
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.03) (0.01) (0.08) (0.08) (0.11)(2) (0.15)(2)
Net realized and unrealized gain
(loss) on investments 0.59 0.72 0.95 2.17 (3.01) (3.50)
-------------------------------------------------------------------------------
Total from investment operations 0.56 0.71 0.87 2.09 (3.12) (3.65)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains - - - - (0.05) -
-------------------------------------------------------------------------------
Total distributions - - - - (0.05) -
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.56 0.71 0.87 2.09 (3.17) (3.65)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 13.54 $ 12.98 $ 12.27 $ 11.40 $ 9.31 $ 12.48
-------------------------------------------------------------------------------
TOTAL RETURN (3) 4.31%(4) 5.79% 7.63% 22.45% (25.12)% (22.63)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $50,124 $54,946 $63,544 $62,832 $54,600 $72,667
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 2.15%(5) 2.19% 2.13% 2.39% 2.33% 2.33%
After reimbursement of expenses by
Advisor 1.95%(5) 1.94% 1.95% 1.95% 1.95% 1.95%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor (0.44)%(5) (0.09)% (0.67)% (0.70)% (0.91)% (1.05)%
Portfolio Turnover 92%(4) 18% 27% 25% 25% 30%
</Table>
- ----------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
- --------------------------------------------------------------------------------
67
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
------------------------------------------------------------------------------------------------------------------------
<Caption>
MID CAP VALUE FUND
---------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 ------------------------------------------------- INCEPTION(1)
(unaudited) 2005 2004 2003 2002 to 10/31/01
CLASS A
------
NET ASSET VALUE at beginning of period $ 14.08 $ 12.44 $ 11.12 $ 8.64 $ 9.48 $ 10.00
---------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.03 0.09 0.01 0.02 0.00(2,3)
Net realized and unrealized gain
(loss) on investments 1.77 1.70 1.23 2.47 (0.85) (0.52)
---------------------------------------------------------------------------------
Total from investment operations 1.80 1.73 1.32 2.48 (0.83) (0.52)
---------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.01) (0.09) - - (0.01) -
Distributions from capital gains (0.95) - - - (0.00)(3) -
---------------------------------------------------------------------------------
Total distributions (0.96) (0.09) - - (0.01) -
---------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.84 1.64 1.32 2.48 (0.84) (0.52)
---------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.92 $ 14.08 $ 12.44 $ 11.12 $ 8.64 $ 9.48
---------------------------------------------------------------------------------
TOTAL RETURN (4) 13.23%(5) 13.95% 11.87% 28.70% (8.79)% (5.20)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $49,151 $44,126 $40,103 $31,591 $22,650 $15,345
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.61%(6) 1.70% 1.61% 1.92% 1.97% 2.29%(6)
After reimbursement of expenses by
Advisor 1.40%(6) 1.40% 1.40% 1.40% 1.40% 1.40%(6)
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 0.40%(6) 0.20% 0.77% 0.17% 0.18% 0.03%(6)
Portfolio Turnover 50%(5) 37% 21% 25% 31% 30%(5)
CLASS B
------
NET ASSET VALUE at beginning of period $ 13.67 $ 12.09 $ 10.91 $ 8.54 $ 9.43 $ 10.00
---------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.02) (0.07) 0.00(3) (0.05) (0.06)(2) (0.05)(2)
Net realized and unrealized gain
(loss) on investments 1.72 1.65 1.18 2.42 (0.83) (0.52)
---------------------------------------------------------------------------------
Total from investment operations 1.70 1.58 1.18 2.37 (0.89) (0.57)
---------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains (0.95) - - - (0.00)(3) -
---------------------------------------------------------------------------------
Total distributions (0.95) - - - (0.00) -
---------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.75 1.58 1.18 2.37 (0.89) (0.57)
---------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.42 $ 13.67 $ 12.09 $ 10.91 $ 8.54 $ 9.43
---------------------------------------------------------------------------------
TOTAL RETURN (4) 12.89%(5) 13.07% 10.82% 27.75% (9.43)% (5.70)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $25,507 $22,633 $20,104 $16,721 $11,765 $ 6,192
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 2.36%(6) 2.45% 2.36% 2.67% 2.72% 3.04%(6)
After reimbursement of expenses by
Advisor 2.15%(6) 2.15% 2.15% 2.15% 2.15% 2.15%(6)
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor (0.35)%(6) (0.55)% 0.01% (0.58)% (0.57)% (0.72)%(6)
Portfolio Turnover 50%(5) 37% 21% 25% 31% 30%(5)
</Table>
- ----------------------------------
(1) Fund commenced investment operations on February 28, 2001.
(2) Calculated based on average shares outstanding.
(3) Amounts represent less than $0.005 per share.
(4) Total return without applicable sales charge.
(5) Not annualized.
(6) Annualized.
- --------------------------------------------------------------------------------
68
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
--------------------------------------------------------------------------------------------------------------------
<Caption>
MID CAP GROWTH FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of
period $ 5.36 $ 4.83 $ 4.46 $ 3.49 $ 4.27 $ 7.87
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.01) (0.01) (0.03) (0.03) (0.02)(1) (0.02)
Net realized and unrealized gain
(loss) on investments 0.84 0.54 0.40 1.00 (0.76) (3.58)
-------------------------------------------------------------------------------
Total from investment operations 0.83 0.53 0.37 0.97 (0.78) (3.60)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.83 0.53 0.37 0.97 (0.78) (3.60)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 6.19 $ 5.36 $ 4.83 $ 4.46 $ 3.49 $ 4.27
-------------------------------------------------------------------------------
TOTAL RETURN (2) 15.30%(3) 10.97% 8.30% 27.79% (18.27)% (45.74)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $35,168 $32,395 $25,897 $14,366 $ 7,915 $13,263
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.55%(4) 1.69% 1.62% 2.40% 2.60% 2.36%
After reimbursement of expenses by
Advisor 1.20%(4) 1.19% 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor (0.43)%(4) (0.25)% (0.64)% (0.42)% (0.55)% (0.46)%
Portfolio Turnover 159%(3) 92% 71% 123% 214% 230%
CLASS B
------
NET ASSET VALUE at beginning of
period $ 5.14 $ 4.67 $ 4.34 $ 3.42 $ 4.22 $ 7.83
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.03) (0.05) (0.06) (0.02) (0.05)(1) (0.07)
Net realized and unrealized gain
(loss) on investments 0.79 0.52 0.39 0.94 (0.75) (3.54)
-------------------------------------------------------------------------------
Total from investment operations 0.76 0.47 0.33 0.92 (0.80) (3.61)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 0.76 0.47 0.33 0.92 (0.80) (3.61)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 5.90 $ 5.14 $ 4.67 $ 4.34 $ 3.42 $ 4.22
-------------------------------------------------------------------------------
TOTAL RETURN (2) 14.98%(3) 10.06% 7.60% 26.90% (18.96)% (46.10)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $16,740 $14,464 $13,030 $ 9,935 $ 6,050 $ 6,902
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 2.30%(4) 2.44% 2.37% 3.15% 3.35% 3.11%
After reimbursement of expenses by
Advisor 1.95%(4) 1.94% 1.95% 1.95% 1.95% 1.95%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor (1.19)%(4) (0.98)% (1.39)% (1.17)% (1.30)% (1.21)%
Portfolio Turnover 159%(3) 92% 71% 123% 214% 230%
</Table>
- ----------------------------------
(1) Calculated based on average shares outstanding.
(2) Total return without applicable sales charge.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
69
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
----------------------------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL STOCK FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED OCTOBER 31,
ENDED 04/30/06 --------------------------------------------------------------
(unaudited) 2005 2004 2003 2002 2001
CLASS A
------
NET ASSET VALUE at beginning of period $ 12.65 $ 10.56 $ 8.92 $ 7.00 $ 7.31 $ 9.55
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.14 0.08 0.10 0.07(2) 0.04
Net realized and unrealized gain
(loss) on investments 2.89 2.05 1.66 1.88 (0.38) (2.21)
-------------------------------------------------------------------------------
Total from investment operations 2.92 2.19 1.74 1.98 (0.31) (2.17)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.14) (0.10) (0.10) (0.06) - (0.07)
Distributions from capital gains (0.01) - - - - -
-------------------------------------------------------------------------------
Total distributions (0.15) (0.10) (0.10) (0.06) - (0.07)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 2.77 2.09 1.64 1.92 (0.31) (2.24)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 15.42 $ 12.65 $ 10.56 $ 8.92 $ 7.00 $ 7.31
-------------------------------------------------------------------------------
TOTAL RETURN (3) 23.20%(4) 20.81% 19.56% 28.46% (4.24)% (22.88)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $75,865 $58,825 $43,915 $33,664 $25,732 $25,829
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 1.81%(5) 1.90% 1.85% 2.11% 2.29% 2.14%
After reimbursement of expenses by
Advisor 1.60%(5) 1.60% 1.60% 1.60% 1.60% 1.60%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor 0.36%(5) 1.15% 0.76% 1.30% 0.69% 0.45%
Portfolio Turnover 37%(4) 64% 45% 34% 47% 86%
CLASS B
------
NET ASSET VALUE at beginning of period $ 12.48 $ 10.41 $ 8.78 $ 6.89 $ 7.25 $ 9.48
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.04) 0.04 (0.00)(1) 0.04 0.02(2) (0.02)
Net realized and unrealized gain
(loss) on investments 2.86 2.04 1.64 1.85 (0.38) (2.20)
-------------------------------------------------------------------------------
Total from investment operations 2.82 2.08 1.64 1.89 (0.36) (2.22)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income (0.03) (0.01) (0.01) (0.00)(1) - (0.01)
Distributions from capital gains (0.01) - - - - -
-------------------------------------------------------------------------------
Total distributions (0.04) (0.01) (0.01) (0.00) - (0.01)
-------------------------------------------------------------------------------
Net increase (decrease) in net asset
value 2.78 2.07 1.63 1.89 (0.36) (2.23)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 15.26 $ 12.48 $ 10.41 $ 8.78 $ 6.89 $ 7.25
-------------------------------------------------------------------------------
TOTAL RETURN (3) 22.65%(4) 20.00% 18.67% 27.44% (4.97)% (23.48)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $15,907 $10,922 $ 7,559 $ 5,806 $ 4,591 $ 4,787
Ratios of expenses to average net
assets
Before reimbursement of expenses by
Advisor 2.56%(5) 2.65% 2.59% 2.86% 3.04% 2.89%
After reimbursement of expenses by
Advisor 2.35%(5) 2.35% 2.35% 2.35% 2.35% 2.35%
Ratio of net investment income to
average net assets
After reimbursement of expenses by
Advisor (0.37)%(5) 0.41% 0.03% 0.55% (0.06)% (0.30)%
Portfolio Turnover 37%(4) 64% 45% 34% 47% 86%
</Table>
- ----------------------------------
(1) Amounts represent less than $0.005 per share.
(2) Calculated based on average shares outstanding.
(3) Total return without applicable sales charge.
(4) Not annualized.
(5) Annualized.
- --------------------------------------------------------------------------------
70
See accompanying Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
MEMBERS Mutual Funds, a Delaware Business Trust (the "Trust"), is registered
under the Investment Company Act of 1940, as amended (the "1940 Act") as a
diversified, open-end, management investment company. As of the date of this
report, the Trust offers nine funds (individually, a "fund," collectively, the
"Funds") each with two classes of shares: Class A and Class B. The Declaration
of Trust permits the Trustees to issue an unlimited number of shares of
beneficial interest of the Trust without par value. Each class of shares
represents an interest in the assets of the respective fund and has identical
voting, dividend, liquidation and other rights, except that each class of shares
bears its own distribution fees and servicing fees, if any, and its proportional
share of fund level expenses, is subject to its own sales charges, if any, and
has exclusive voting rights on matters pertaining to Rule 12b-1 of the 1940 Act
as it relates to that class. The Trust has entered into an Investment Advisory
Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Advisor"). The
Investment Advisor has entered into subadvisory agreements with certain
subadvisers ("Subadvisers") for the management of the investments of the High
Income Fund, Mid Cap Growth Fund, International Stock Fund, and a portion of the
Mid Cap Value Fund. The accompanying financial statements include the Cash
Reserves Fund, Bond Fund, High Income Fund, Balanced Fund, Large Cap Value Fund,
Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund and International
Stock Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reported period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by each fund in the preparation of its financial statements.
PORTFOLIO VALUATION: Securities and other investments are valued as follows:
Equity securities and exchange-traded funds listed on any U.S. or foreign stock
exchange or quoted on the National Association of Securities Dealers Automated
Quotation System ("NASDAQ") are valued at the last quoted sale price or official
closing price on that exchange or NASDAQ on the valuation day (provided that,
for securities traded on NASDAQ, the Funds utilize the NASDAQ Official Closing
Price). If no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ
are valued at the mean between the closing bid and closing asked prices and (b)
equity securities traded on a foreign exchange are valued at the official bid
price. Debt securities purchased with a remaining maturity of 61 days or more
are valued by a pricing service selected by the Trust or on the basis of
dealer-supplied quotations. Investments in shares of open-ended mutual funds,
including money market funds, are valued at their daily net asset value (NAV)
which is calculated as of 3:00 p.m. Central Time on each day on which the New
York Stock Exchange is open for business. NAV per share is determined by
dividing each fund's total net assets by the number of shares of such fund
outstanding at the time of calculation. Total net assets are determined by
adding the total current value of portfolio securities, cash, receivables, and
other assets and subtracting liabilities. Short-term instruments having
maturities of 60 days or less and all securities in the Cash Reserves Fund are
valued on an amortized cost basis.
Over-the-counter securities not quoted on NASDAQ are valued at the last sale
price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and asked
prices. Over-the-counter options are valued based upon prices provided by market
makers in such securities or dealers in such currencies. Financial futures
contracts generally are valued at the settlement price established by the
exchange on which the contracts are primarily traded. The 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.
The value of all assets and liabilities expressed in foreign currencies will be
converted into U.S. dollar values at the noon (Eastern Standard Time) Reuters
spot rate.
All other securities for which either quotations are not readily available, no
other sales have occurred, or do not in 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
- --------------------------------------------------------------------------------
71
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 Trust.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all it's taxable income to
its shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the Funds on the basis of
relative net assets. Class-specific expenses are borne by that class.
CLASSES: Income and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative net assets.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The Funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities. As of April 30, 2006,
none of the funds have open repurchase agreements.
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Trust's
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that each repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other default by a
seller of a repurchase agreement, a fund could experience delays in liquidating
the underlying securities during the period in which the fund seeks to enforce
its rights thereto, possible subnormal levels of income, declines in value of
the underlying securities, or lack of access to income during this period and
the expense of enforcing its rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e. market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
The Mid Cap Growth Fund and International Stock Fund report certain foreign
currency-related transactions as components of realized gains or losses for
financial reporting purposes, whereas such components are treated as ordinary
income for federal income tax purposes.
The Funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
is due to change in market prices of securities. Such amounts are categorized as
gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Cash Reserves
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. When entering into forward foreign currency
exchange contracts, the Funds agree to receive or deliver a fixed quantity of
foreign currency for an agreed-upon price on an agreed future date. These
contracts are valued daily. The Funds' net assets reflect unrealized gains or
losses on the contracts as measured by the difference between the forward
foreign currency exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date. The Funds realize a gain or a loss at the
time the forward foreign currency exchange contracts are settled or closed out
with an offsetting contract. Realized and unrealized gains and losses are
included in the Statements of Operations. For the six months ended April 30,
2006, none of the funds have open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
liquid high grade debt securities in a segregated account with the fund's
custodian in an amount equal to the value of the fund's total assets committed
to the consummation of the forward contract. If the value of the
- --------------------------------------------------------------------------------
72
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 Cash Reserves Fund, may purchase and
sell futures contracts and purchase and write options on futures contracts. The
Funds will engage in futures contracts or related options transactions to hedge
certain market positions. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government securities
or other assets, equal to a certain percentage of the contract (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the fund each day, depending on the daily fluctuations in the fair value of
the futures contract. When a fund enters into a futures contract, the fund
segregates in cash or liquid securities, of any type or maturity, equal in value
to the fund's commitment. The fund recognizes a gain or loss equal to the daily
change in the value of the futures contracts. Should market conditions move
unexpectedly, the fund may not achieve the anticipated benefits of the futures
contracts and may realize a loss. As of April 30, 2006, none of the funds have
open futures contracts.
DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
more than a month or more after the purchase. When a fund enters into an
agreement to purchase securities on a when-issued or delayed delivery basis, the
fund segregates in cash or liquid securities, of any type or maturity, equal in
value to the fund's commitment. Losses may arise due to changes in the market
value of the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to political,
economic or other factors. For the six months ended April 30, 2006, 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, and
distributions from real estate investment trusts and passive foreign investment
companies.
REDEMPTION FEES: The Bond Fund, Balanced Fund, Large Cap Value Fund, Large Cap
Growth Fund and Mid Cap Growth Fund will deduct a fee of 2% from redemption
proceeds on Class A shares held 5 business days or less. The High Income Fund,
Mid Cap Value Fund and International Stock Fund will deduct a fee of 2% from
redemption proceeds on Class A shares held 30 calendar days or less. Redemption
fees are treated as additional paid-in capital to the fund from which the shares
are redeemed and are designed to help offset any costs associated with
short-term shareholder trading. Please refer to the prospectus for additional
information on redemption fees and waivers.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For its investment advisory services to the Funds, the Investment Advisor is
entitled to receive a fee, which is computed at an annualized percentage rate of
the average daily value of the net assets of each fund as follows: 0.40% for the
Cash Reserves Fund; 0.50% for the Bond Fund; 0.55% for the High Income Fund;
0.65% for the Balanced Fund; 0.55% for the Large Cap Value Fund; 0.75% for the
Large Cap Growth Fund; 0.95% for the Mid Cap Value Fund, 0.75% for the Mid Cap
Growth Fund and 1.05% or the International Stock Fund. The Investment Advisor is
solely responsible for the payment of all fees to the Subadvisers. The
Subadvisers for the Funds at April 30, 2006, are Shenkman Capital Management,
Inc. for the High Income Fund, Wellington Management Company, LLP for a portion
of the Mid Cap Fund and the entire Mid Cap Growth Fund, and Lazard Asset
Management LLC for the International Stock Fund. The Investment Advisor manages
the other portion of the Mid Cap Fund, the Bond Fund, Balanced Fund, Large Cap
Growth Fund, Large Cap Value Fund, and Cash Reserves Fund.
The Investment Advisor has contractually agreed to waive fees and/or reimburse
expenses with respect to the Funds ("Expense Cap Agreement") until February 28,
2007, such that total expenses, exclusive of management fees, 12b-1 fees, taxes,
interest, service fees, and other extraordinary items will not exceed the
following amounts:
<Table>
<Caption>
FUND CLASS A CLASS B
- ---- ------- -------
Cash Reserves .55% 1.30%
Bond .90% 1.65%
High Income 1.00% 1.75%
Balanced 1.10% 1.85%
Large Cap Value 1.00% 1.75%
</Table>
<Table>
<Caption>
FUND CLASS A CLASS B
- ---- ------- -------
Large Cap Growth 1.20% 1.95%
Mid Cap Value 1.40% 2.15%
Mid Cap Growth 1.20% 1.95%
International Stock 1.60% 2.35%
</Table>
- --------------------------------------------------------------------------------
73
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
For the six months ended April 30, 2006, the Investment Advisor reimbursed
expenses of $38,104 for the Cash Reserves Fund, $82,186 for the Bond Fund,
$54,893 for the High Income Fund, $81,092 for the Balanced Fund, $112,505 for
the Large Cap Value Fund, $133,212 for the Large Cap Growth Fund, $75,152 for
the Mid Cap Value Fund, $89,251 for the Mid Cap Growth Fund and $83,927 for the
International Stock Fund.
Any reimbursements or fee waivers made by the Investment Advisor to a fund are
subject to repayment by the fund, to the extent that the fund is able to make
the repayment within its Expense Cap Agreement. Under the Expense Cap Agreement,
such recoupments must be made within three years, measured on a fiscal year
basis, from when the reimbursement or fee reduction occurred.
<Table>
<Caption>
RECOVERY EXPIRING RECOVERY EXPIRING RECOVERY EXPIRING
FUND OCTOBER 31, 2006 OCTOBER 31, 2007 OCTOBER 31, 2008
- ---- ---------------- ---------------- ----------------
Cash Reserves $100,514 $ 58,813 $ 78,715
Bond 284,227 150,645 187,908
High Income 168,808 97,662 159,911
Balanced 363,962 131,637 238,207
Large Cap Value 460,975 220,402 305,185
Large Cap Growth 520,392 250,709 335,822
Mid Cap Value 205,353 115,700 201,154
Mid Cap Growth 204,794 140,426 222,629
International Stock 166,715 114,012 187,015
</Table>
Through April 30, 2006 the Investment Advisor did not recoup any fees previously
waived or reimbursed under the Expense Cap Agreement.
CUNA Brokerage Services, Inc. ("CUNA Brokerage") serves as distributor of the
Funds. The Trust adopted Distribution Plans (the "Plans") with respect to the
Trust's Class A and B shares pursuant to Rule 12b-1 under the 1940 Act. Under
the Plans, the Trust will pay service fees for Class A and Class B shares at an
aggregate annual rate of 0.25% of each fund's daily net assets attributable to
the respective class of shares for all funds except the Cash Reserves Fund. The
Trust will also pay distribution fees for Class B shares at an aggregate annual
rate of 0.75% of each fund's daily net assets attributable to Class B. The
distribution fees are used to reimburse CUNA Brokerage for its distribution
expenses with respect to Class B only, including but not limited to: (1) initial
and ongoing sales compensation to selling brokers and others engaged in the sale
of fund shares, (2) marketing, promotional and overhead expenses incurred in
connection with the distribution of fund shares, and (3) interest expenses on
unreimbursed distribution expenses. The service fees will be used to compensate
selling brokers and others for providing personal and account maintenance
services to shareholders.
The distributor may from time to time voluntarily agree to waive distribution
and/or service fees with respect to the Cash Reserves Fund for the purpose of
maintaining a one-day yield or distribution rate of zero. The amount of the
daily waiver is equal to the amount required to maintain a minimum daily
distribution rate of zero. For the six months ended April 30, 2006, no such
waivers were made by the distributor.
In addition to distribution fees, CUNA Brokerage received sales charges paid by
the purchasers or redeemers of the Funds' shares. For the six months ended April
30, 2006, sales charges received by CUNA Brokerage were as follows:
<Table>
<Caption>
AMOUNT PAID
FUND CLASS A CLASS B
- ---- ------- -------
Cash Reserves $ 8,663 $ 18,622
Bond 102,044 65,543
High Income 58,211 40,809
Balanced 186,682 101,286
Large Cap Value 144,220 28,919
</Table>
<Table>
<Caption>
AMOUNT PAID
FUND CLASS A CLASS B
- ---- ------- -------
Large Cap Growth $ 93,623 $ 36,900
Mid Cap Value 108,995 21,492
Mid Cap Growth 82,040 20,369
International Stock 108,361 33,214
</Table>
Certain officers and trustees of the Funds are also officers of the Investment
Advisor. The Funds do not compensate their officers or affiliated trustees.
Unaffiliated trustees receive from the Trust an attendance fee for each Board or
Committee meeting attended, with additional remuneration paid to the "lead"
trustee and audit committee chair.
- --------------------------------------------------------------------------------
74
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to dividends from net investment income, the Cash Reserves Fund and
Bond Fund declare dividends daily. The High Income Fund and Balanced Fund
declare dividends monthly. The Large Cap Value Fund, Large Cap Growth Fund, Mid
Cap Value Fund, Mid Cap Growth Fund and the International Stock Fund declare
dividends annually. The Funds distribute net realized gains from investment
transactions, if any, to shareholders annually.
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions from
income and realized capital gains in the Funds differ from book amounts earned
during the period due to differences in the timing of capital gains recognition,
and due to the reclassification of certain gains or losses from capital to
income. Dividends from net investment income are determined on a class level.
Capital gains are determined on a fund level.
5. SECURITIES TRANSACTIONS
For the six months ended April 30, 2006, aggregate cost of purchases and
proceeds from sales of securities, other than short-term investments, were as
follows:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- --------- ----- --------- -----
Bond $18,107,342 $20,940,770 $ 2,808,193 $ 5,403,747
High Income -- -- 15,130,723 26,871,496
Balanced 13,722,976 15,521,334 52,506,283 64,023,541
Large Cap Value -- -- 56,959,412 66,306,813
Large Cap Growth -- -- 121,254,522 127,331,123
Mid Cap Value -- -- 34,758,179 34,933,449
Mid Cap Growth -- -- 77,513,189 78,143,210
International Stock -- -- 33,010,127 28,311,485
</Table>
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the Mid Cap Growth
Fund and International Stock Fund anticipate having significant investments in
such securities, and the Cash Reserves Fund is limited to U.S.
dollar-denominated foreign money market securities. Foreign securities refer to
securities that are: (1) issued by companies organized outside the U.S. or whose
principal operations are outside the U.S., (2) issued by foreign governments or
their agencies or instrumentalities, (3) principally traded outside the U.S., or
(4) quoted or denominated in a foreign currency. Foreign securities include
ADRs, EDRs, GDRs, SDRs and foreign money market securities. Dollar-denominated
securities that are part of the Merrill Lynch U.S. Domestic Master Index are not
considered a foreign security.
Certain of the funds have reclaim receivable balances, in which the funds are
due a reclaim on the taxes that have been paid to some foreign jurisdictions.
The values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
7. SECURITIES LENDING
Each fund, except the Cash Reserves Fund, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company ("State
Street"). Under the terms of the Agreement, the Funds may lend portfolio
securities to qualified borrowers in order to earn additional income. The
Agreement requires that loans are collateralized at all times by cash or other
liquid assets at least equal to 102% of the value of the securities, which is
determined on a daily basis. At April 30, 2006, 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 $182,875 and $765,120, 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 Statement
of Assets and Liabilities.
- --------------------------------------------------------------------------------
75
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statement of Operations. The value of securities on
loan at April 30, 2006 is as follows:
<Table>
<Caption>
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Bond $17,902,682
High Income 7,516,987
Balanced 13,472,208
</Table>
<Table>
<Caption>
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Large Cap Value $ 2,379,647
Large Cap Growth 6,042,792
Mid Cap Value 8,528,229
</Table>
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
For federal income tax purposes, the funds listed below have capital loss
carryovers as of October 31, 2005, which are available to offset future capital
gains, if any:
<Table>
<Caption>
CARRYOVER EXPIRING IN:
FUND 2008 2009 2010 2011 2012 2013
- ---- ---- ---- ---- ---- ---- ----
Cash Reserves $ - $ - $ - $ - $ - $ 7
Bond 194,286 - 230,858 - 310,659 65,261
High Income - 2,026,245 2,445,850 614,259 - -
Balanced - - - 5,056,953 157,889 -
Large Cap Value 1,073,602 2,865,513 11,738,982 9,713,003 - 333,474
Large Cap Growth - - 11,604,803 13,979,170 - -
Mid Cap Growth 1,396,518 10,391,144 5,728,147 - - -
</Table>
The High Income Fund, Balanced Fund, Large Cap Growth Fund, Mid Cap Value Fund,
Mid Cap Growth Fund, and International Stock Fund utilized $363,500, $7,197,142,
$3,867,992, $16,099 and $3,902,385, and $8,519,408, respectively, of prior
capital loss carryovers during the year ended October 31, 2005
At April 30, 2006, 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:
<Table>
<Caption>
FUND APPRECIATION DEPRECIATION NET
- ---- ------------ ------------ ---
Bond $ 326,525 $(2,501,572) $(2,175,047)
High Income 880,174 (570,188) 309,986
Balanced 23,457,261 (5,411,538) 18,045,723
Large Cap Value 35,769,953 (2,717,052) 33,052,901
Large Cap Growth 14,048,290 (5,365,744) 8,682,546
Mid Cap Value 14,120,099 (1,234,333) 12,885,766
Mid Cap Growth 3,613,664 (1,363,000) 2,250,664
International Stock 22,679,730 (465,947) 22,213,783
</Table>
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 being hedged. The High Income Fund, Mid Cap Growth
Fund, and International Stock Fund enter into these contracts primarily to
protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in
U.S. markets. These include risks associated with adverse changes in economic,
political, regulatory and other conditions, changes in currency exchange rates,
exchange
- --------------------------------------------------------------------------------
76
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
control regulations, expropriation of assets or nationalization, imposition of
withholding taxes on dividend or interest payments or capital gains, and
possible difficulty in obtaining and enforcing judgments against foreign
entities. Further, issuers of foreign securities are subject to different, and
often less comprehensive, accounting, reporting and disclosure requirements than
domestic issuers.
The High Income Fund invests in securities offering high current income which
generally will include bonds in the below investment grade categories of
recognized rating agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
10. CAPITAL SHARES AND AFFILIATED OWNERSHIP
Each fund is authorized to issue an unlimited number of shares of beneficial
interest with no par value. Each fund currently offers two classes of shares,
Class A and Class B. At April 30, 2006, investments in the Funds by affiliates
were as follows:
<Table>
<Caption>
CUNA CUNA
MUTUAL LIFE MUTUAL CUMIS CUNA
INSURANCE INSURANCE INSURANCE BROKERAGE
FUND CLASS COMPANY SOCIETY SOCIETY, INC. SERVICES, INC.
- ---- ----- ------- ------- ------------- --------------
Cash Reserves A $ 1,947,830 $1,940,427 $ -- $ --
Bond A 1,253,458 2,183,697 -- --
High Income A 7,270,347 -- -- --
Balanced A 13,387,009 -- 5,927,859 1,474,499
Large Cap Value A 1,056,117 3,020,727 4,161,767 --
Large Cap Growth A 12,224,904 1,907,377 -- --
Mid Cap Value A 16,060,363 -- -- --
International Stock A 4,861,545 9,270,189 33,118,612 --
</Table>
- --------------------------------------------------------------------------------
77
OTHER INFORMATION (UNAUDITED)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments, and redemption
fees; (2) ongoing costs, including management fees; distribution and/or service
(12b-1) fees; and other fund expenses. In the most recent six-month period, the
Funds limited these ongoing costs; had it not done so, expenses would have been
higher. The examples below are intended to help you understand your ongoing
costs (in dollars) of investing in the Funds and to compare these costs with the
ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the
beginning of the period and held for the entire six month period ended April 30,
2006. Expenses paid during the period in the tables below are equal to the
fund's annualized expense ratio, multiplied by the average account value over
the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
ACTUAL EXPENSES
The table below provides information about actual account values using actual
expenses and actual returns for the Funds. You may use the information in this
table, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the table for the fund you own under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
<Table>
<Caption>
CLASS A CLASS B
------------------------------------------ ------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Cash Reserves $1,000 $1,018.90 .55% $2.75 $1,015.10 1.30% $6.50
Bond 1,000 1,003.90 .90% 4.47 1,001.10 1.65% 8.19
High Income 1,000 1,045.40 1.00% 5.07 1,041.40 1.75% 8.86
Balanced 1,000 1,049.10 1.10% 5.59 1,045.20 1.85% 9.38
Large Cap Value 1,000 1,102.30 1.00% 5.21 1,098.00 1.75% 9.10
Large Cap Growth 1,000 1,046.40 1.20% 6.09 1,043.10 1.95% 9.88
Mid Cap Value 1,000 1,132.30 1.40% 7.40 1,128.90 2.15% 11.35
Mid Cap Growth 1,000 1,153.00 1.20% 6.41 1,149.80 1.95% 10.39
International Stock 1,000 1,232.00 1.60% 8.85 1,226.50 2.35% 12.97
</Table>
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below provides information about hypothetical account values and
hypothetical expenses based on the Funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the Funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
Funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds.
<Table>
<Caption>
CLASS A CLASS B
------------------------------------------ ------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Cash Reserves $1,000 $1,022.07 .55% $2.76 $1,018.35 1.30% $6.51
Bond 1,000 1,020.33 .90% 4.51 1,016.61 1.65% 8.25
High Income 1,000 1,019.84 1.00% 5.01 1,016.12 1.75% 8.75
Balanced 1,000 1,019.34 1.10% 5.51 1,015.62 1.85% 9.25
Large Cap Value 1,000 1,019.84 1.00% 5.01 1,016.12 1.75% 8.75
Large Cap Growth 1,000 1,018.84 1.20% 6.01 1,015.12 1.95% 9.74
Mid Cap Value 1,000 1,017.85 1.40% 7.00 1,014.13 2.15% 10.74
Mid Cap Growth 1,000 1,018.84 1.20% 6.01 1,015.12 1.95% 9.74
International Stock 1,000 1,016.86 1.60% 8.00 1,013.14 2.35% 11.73
</Table>
- --------------------------------------------------------------------------------
78
OTHER INFORMATION (UNAUDITED)
Please note that the expenses shown in both tables are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), or redemption fees. The information provided in the
hypothetical example table is useful in comparing ongoing costs only, and will
not help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the Funds' website at www.membersfunds.com and on
the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at
the Commission's Public Reference Room in Washington, DC. More information on
the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Funds to vote proxies
related to portfolio securities is available to shareholders at no cost on the
Funds' website at www.membersfunds.com or by calling 1-800-877-6089. The proxy
voting records for the Funds for the most recent twelve-month period ended June
30 are available to shareholders at no cost on the Funds' website at
www.membersfunds.com and on the SEC's website at www.sec.gov.
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 the MEMBERS Mutual Funds (the "Funds") reviews the
performance of the Funds and their investment adviser and subadvisers 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 adviser and subadvisers.
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 adviser and subadvisers 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 adviser 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 subadviser responded to follow-up questions concerning
their materials which the trustees and investment adviser 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 ADVISER AND
SUBADVISERS: 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 adviser and subadvisers. 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 adviser's and subadvisers' 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 adviser retained a new Chief Investment Officer ("CIO") in September
2005, and the board considered enhancements to the adviser'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 adviser and subadvisers, the board of trustees
concluded that it was generally satisfied with the nature, extent and
- --------------------------------------------------------------------------------
79
OTHER INFORMATION (UNAUDITED)
quality of the services provided and to be provided by the investment adviser
and subadvisers and that these services compare satisfactorily to those provided
by others in the industry.
INVESTMENT PERFORMANCE OF THE FUNDS AND THEIR INVESTMENT ADVISER AND
SUBADVISERS: As noted above, the Funds' board of trustees reviews the
performance of the Funds and their investment adviser and subadvisers 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 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 adviser
or, in the case of the subadvised funds, the subadviser 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 adviser,
these steps included the enhancements, noted above, which the adviser's CIO has
implemented and plans to implement.
Among other things, the trustees noted that three of the nine funds outperformed
their Morningstar peer group medians on a trailing one-year basis as of
September 30, 2005, and that an additional four funds ranked in the middle third
of their Morningstar peer groups for this period. They also noted that seven
funds outperformed their Morningstar peer group medians on a calendar
year-to-date basis through October 31, 2005, and that an eighth 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 the Large
Cap Growth Fund. With respect to this fund, the trustees engaged in a dialogue
with the investment adviser's new CIO concerning the adviser's plans for
improving its performance. Based on these reviews and discussions, the trustees
concluded that they were comfortable with the funds' performance or with the
steps which the investment adviser 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 adviser
setting forth, on a fund-by-fund basis, the adviser's revenues, expenses, and
pre-tax profitability under its investment advisory agreements with the Funds.
The trustees also reviewed the methodology which the adviser 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 adviser
appeared reasonable and were substantially lower than the margins which have
been upheld in reported judicial decisions concerning investment advisory fees.
They also noted the adviser'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 management fees and total expenses
compare to those of the other funds in its Morningstar peer group (excluding, in
the case of the Large Cap Growth Fund, index funds which the adviser did not
deem to be comparable from an expense standpoint). They noted that seven of the
nine funds' management fees after waivers ranked in the first or second
quintiles of their Morningstar peer groups (with the first quintile including
the 20% of funds with the lowest management fees), and that the remaining two
funds ranked in the third quintile. They also noted that all but one fund's
management fees before waivers ranked in the middle three quintiles, and that
all funds' total expenses ranked in the third or fourth quintiles. In addition,
the trustees considered explanations provided by the investment adviser
concerning certain funds' comparative expenses.
The trustees also considered information provided by the investment adviser and
subadvisers 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 fees charged to the Funds are
generally comparable to those charged by the adviser or subadviser, as
applicable, to other comparable funds. They also concluded that where the fees
charged 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 adviser or subadviser due to less
active cash flows, the absence of Investment Company Act regulatory
requirements, and other factors.
In addition, the trustees noted that the investment adviser has contractually
agreed to "cap" each fund's total expenses at a specified level at least through
February 28, 2007. The trustees also noted that during the nine months ended
September 30, 2005, the investment adviser absorbed expenses with respect to
each fund in amounts ranging from approximately $63,000 to more than $265,000,
pursuant to the expense "caps" which were then in effect.
- --------------------------------------------------------------------------------
80
OTHER INFORMATION (UNAUDITED)
Based on all this information, the trustees concluded that the management fees
and total expenses borne by the Funds are reasonable in relation to the services
provided, and that the investment adviser's level of profitability from its
advisory agreements with the Funds is well within reason.
ECONOMIES OF SCALE: Because the Funds are relatively small (ranging in size from
$17.4 million to $209.6 million at September 30, 2005), the trustees did not
request a formal study or analysis of whether the investment adviser experiences
economies of scale in their management, or might do so if the Funds grow in the
future. However, they did note the adviser's statement that it does not realize
significant economies of scale at the Funds' current sizes.
The trustees also noted that the Funds' advisory fee schedules do not presently
include "breakpoints" providing for lower advisory fee rates at higher asset
levels. In this connection, the trustees took note of the adviser's statement
that during the next year, it intends to examine whether it would be appropriate
to add breakpoints to any of the Funds' advisory agreements. In addition, they
also noted that the adviser has contractually agreed to "cap" each Fund's total
expenses for a specified period, as described above, and that the Funds'
management fees and total expenses compare reasonably with those of other funds.
Based on these factors, the trustees determined not to seek the addition of
"breakpoints" to the Funds' advisory fee schedules at the present time. However,
they also anticipated monitoring this issue going forward.
OTHER BENEFITS TO THE INVESTMENT ADVISER AND SUBADVISERS FROM THEIR
RELATIONSHIPS WITH THE FUNDS: The trustees also considered the nature and extent
of other benefits which may flow to the investment adviser and subadvisers from
their relationships with the Funds. The trustees noted that an affiliate of the
investment adviser acts as principal underwriter for the Funds and, in this
capacity, receives front-end sales charges, 12b-1 fees and service fees in
connection with the distribution of Fund shares and the provision of services to
Fund shareholders. As required by the Investment Company Act, the trustees
review and approve the Funds' 12b-1 plans and agreements on an annual basis. In
addition, at each regular board of trustees meeting, the trustees review the
payments which the Funds made under these plans and agreements since the last
such meeting. At its December 2 meeting, the board of trustees approved these
plans and agreements for another year, concluding that there is a reasonable
likelihood they will benefit the Funds and their shareholders.
The trustees also noted that the investment adviser and subadvisers execute a
portion of the Funds' portfolio transactions on a "soft dollar" basis, pursuant
to which the adviser and subadvisers 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 adviser on
behalf of the Funds. The trustees have also noted that the investment adviser
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 the subadvisers
were reasonable in light of the transactions each subadviser executes on behalf
of the Funds. Based on these reviews, the trustees were satisfied with the
quality of execution of the Funds' portfolio transactions and did not believe
the soft dollar benefits received by the investment adviser and subadvisers were
excessive.
Based on the foregoing information, the trustees concluded that while additional
benefits flow to the investment adviser and subadvisers 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 adviser and subadvisers 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.
- --------------------------------------------------------------------------------
81
TRUSTEES AND OFFICERS
Each trustee and officer oversees 19 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 9 portfolios and the Ultra Series Fund
with 10 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available at
no cost on the Funds' website at www.membersfunds.com or by calling
1-800-877-6089.
<Table>
<Caption>
NAME;
POSITION(S) HELD WITH THE FUND & PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS;
YEAR ELECTED(1); YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS
- --------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------------------
David P. Marks, CFA CUNA Mutual Insurance Society: Chief Investment
Trustee, President & Officer (since 2005); MEMBERS Capital Advisors, Inc.:
Principal Executive Officer President (since 2005); CUNA Mutual Life Insurance
["PEO"](2006) Company: Chief Investment Officer (since 2005);
1947 Citigroup Insurance Investors: Chief Investment
Officer (2004-2005); CIGNA Investments: Chief
Investment Officer, (2002-2004); Green Mountain
Partners: Partner (2001-2002); Allianz Investments:
Chief Investment Officer (1991-2001).
Other Directorships: CBRE Realty Finance
- --------------------------------------------------------------------------------------------
Lawrence R. Halverson, CFA MEMBERS Capital Advisors, Inc.: Senior Vice
Trustee (1997) President-Equities (since 1996).
President & PEO (1997-2005) Other Directorships: None
1945
- --------------------------------------------------------------------------------------------
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice
Treasurer (1998) President-Finance and Operations (since Jan. 2006),
1970 Assistant Vice President-Finance and Operations
(2001-2005) and Product Operations and Finance
Manager (1998-2001).
Other Directorships: None
- --------------------------------------------------------------------------------------------
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Operations
Secretary and Assistant Treasurer Officer-Mutual Funds (since July 2005), Senior
(1999) Manager Product and Fund Operations (2001-June 2005)
1960 and Operations and Administration Manager
(1998-2001).
Other Directorships: None
- --------------------------------------------------------------------------------------------
Dan P. Owens MEMBERS Capital Advisors, Inc.: Operations
Assistant Treasurer (2000) Officer-Investments (since July 2005), Senior Manager
1966 Portfolio Operations (2001-June 2005) and Investment
Operations Manager (1999-2001).
Other Directorships: None
- --------------------------------------------------------------------------------------------
Molly Nelson MEMBERS Capital Advisors, Inc.: Chief Compliance
Chief Compliance Officer (2005) Officer (since May 2005); Harris Associates L.P.:
1962 Chief Compliance Officer/Advisor (1985-2005).
Other Directorships: None
- --------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
- --------------------------------------------------------------------------------------------
Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and
Chairman (2006) President (1983-2002); Lutheran Brotherhood (now
Trustee (2003) Thrivent Financial) Chief Investment Officer (1983-
1938 2002).
Other Directorships: Regis Corp, Director (since
1982).
- --------------------------------------------------------------------------------------------
Gwendolyn M. Boeke Wartburg Theological Seminary Development
Trustee (1997) Association: Development Associate (1997-2003);
1934 Evangelical Lutheran Church in America Foundation:
Regional Director (1990-2000); Wartburg College:
Director (1986-2001).
Other Directorships: None
- --------------------------------------------------------------------------------------------
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W.
Trustee (2005) Baird & Company: Senior Vice President Marketing and
1954 First Vice President Human Resources (1986-2001).
Other Directorships: None
- --------------------------------------------------------------------------------------------
Richard E. Struthers Clearwater Capital Management: Chairman and Chief
Trustee (2004) Executive Officer (since 1998).
1952 Other Directorships: None
- --------------------------------------------------------------------------------------------
</Table>
(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.
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(MEMBERS LOGO)
MEMBERS Mutual Funds
Post Office Box 8390
Boston, MA 02266-8390
1 (800) 877-6089
www.membersfunds.com
Distributed by:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677-9202
Member NASD/SIPC
PUB-0606-1DBF
MCA-0606-783A
4460-P1060(0606)
PRESORTED
STANDARD
US POSTAGE PAID
PERMIT #3602
BERWYN, IL 60402
(MEMBERS LOGO)
MEMBERS Mutual Funds
Post Office Box 8390
Boston, MA 02266-8390
1 (800) 877-6089
www.membersfunds.com
Distributed by:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677-9202
Member NASD/SIPC
PUB-0606-1DBF
MCA-0606-783A
4460-P1060(0606)
ITEM 2. CODE OF ETHICS.
(a) Not required in this semi-annual report filed on Form N-CSR.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required in this semi-annual report filed on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required in this semi-annual report filed on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not required in this semi-annual report filed on Form N-CSR.
ITEM 6. SCHEDULE OF INVESTMENTS.
A copy of the Schedule I - Investments in securities of unaffiliated issuers is
included as part of the report to shareholders filed under Item 1 of this Form
N-CSR.
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 PURCHASES.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The President and Treasurer of the Trust have concluded that the
Trust's Disclosure Controls and Procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940) are effective based
on their evaluation of the Disclosure Controls and Procedures as of a
date within 90 days of the filing date of this report on Form N-CSR.
(b) There have been no changes in the Trust's internal controls over
financial reporting that occurred during the Trust's last fiscal
half-year that have materially affected, or are reasonably likely to
affect, the Trust's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) Not applicable.
(b) Certifications of the President and Treasurer of the Trust.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
MEMBERS MUTUAL FUNDS
BY: /s/ David P. Marks
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David P. Marks
President
DATE: 6/19/06
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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/ David P. Marks
------------------
David P. Marks
President, MEMBERS Mutual Funds
DATE: 6/19/06
----------------
BY: /s/ Mary E. Hoffmann
--------------------
Mary E. Hoffmann
Treasurer, MEMBERS Mutual Funds
DATE: 6/19/06
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EXHIBIT INDEX
Exhibit 12(b)(i) - Certification of David P. Marks, President, MEMBERS Mutual
Funds
Exhibit 12(b)(ii) - Certification of Mary E. Hoffman, Treasurer, MEMBERS Mutual
Funds
EX-99.906CERT MAIL - 906 Certification