As filed with the Securities and Exchange Commission on August 25, 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. 811-04815
Ultra Series Funds
5910 Mineral Point Road
Madison, WI 53705
(608) 238-5851
(Registrant's Exact Name, Address and Telephone Number)
Kevin S. Thompson, Esq.
Vice President
CUNA Mutual Group
5910 Mineral Point Road
Madison, WI 53705
(Name and Address of Agent for Service)
Copy to:
Stephen E. Roth, Esq.
Sutherland Asbill & Brennan LLP
1275 Pennsylvania Avenue, N.W.
Washington, D. C. 20004-2415
----------
Date of Fiscal Year End: December 31, 2005
Date of Reporting Period: June 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 on August 31, 2006 appears beginning on the
following page.
SEMIANNUAL REPORT
FOR PERIOD ENDED JUNE 30, 2006
Money Market, Bond, High Income, Balanced, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Global Securities, and International
Stock Funds of the Ultra Series Fund
DISTRIBUTED BY:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677
TELEPHONE:
(319) 352-4090
(800) 798-5500
(MEMBERS LOGO)
MEMBERS(R) Variable Annuity
MEMBERS(R) Variable Annuity II
MEMBERS(R) Choice Variable Annuity
MEMBERS(R) Variable Annuity III
MEMBERS(R) Variable Universal Life
MEMBERS(R) Variable Universal Life II
Ultra Vers-ALL LIFE(SM)
This material is for reporting purposes only and shall not be used in
connection with a solicitation, offer or any proposed sale or purchase of
securities unless preceded or accompanied by a prospectus.
LOGO
BUILT TO STAND THE TEST OF TIME.
SEMIANNUAL REPORT
This booklet contains a semiannual report for the Ultra Series Fund for our
family of MEMBERS(R) Variable Annuity and MEMBERS(R) Variable Universal Life
contracts. The Ultra Series Fund is the underlying mutual fund family supporting
the subaccounts of the CUNA Mutual Life Variable Account and CUNA Mutual Life
Variable Annuity Account.
The Ultra Series Fund includes the Money Market 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, and Global Securities Fund.
If you own a MEMBERS(R) Variable Universal Life or Ultra Vers-ALL Life policy,
as you refer to the semiannual report for the Ultra Series Fund, the funds
available on your policy are the Mid Cap Growth Fund, Large Cap Growth Fund,
Large Cap Value Fund, Balanced Fund, Bond Fund, and Money Market Fund.
If you have any questions, please call the Home Office at 1-800-798-5500, Monday
through Friday, 7:00 a.m. to 8:00 p.m.
As with all mutual funds, the Securities and Exchange Commission has not
approved or disapproved the shares of these funds, nor does the Commission
guarantee the accuracy or adequacy of the prospectus. Any statement to the
contrary is a criminal offense.
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
(PHOTO OF DAVID P. MARKS)
- --------------------------------------------------------------------------------
Dear Investor:
I am pleased to provide my first letter to you as President of the Ultra Series
Fund. 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 Ultra
Series 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 investors 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 Ultra Series 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 the Ultra Series Fund 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
Economic growth was very strong in the first two months of 2006 as consumer
spending and manufacturing activity rebounded from the severe shock delivered by
Hurricanes Katrina and Rita. However, the economy cooled somewhat during the
last four months of the six-month period ended June 30, 2006 as weakness in the
housing market, rising interest rates, and high energy prices damped economic
activity. Inflation picked up throughout the period at both the "headline" and
"core" (ex-food and energy) levels. Conditions in the labor market probably
reached near-term peak health in February but deteriorated very gradually
afterwards.
The U.S. Federal Reserve staff economic forecast calls for more moderate growth
in the next six to twelve months as the effects of a cooling housing market
filter through the rest of the economy. Housing turnover and residential
construction have slowed. With interest rates higher, fewer home-equity loans
and refinancings are occurring, removing a source of income for the consumer,
while falling home prices in some of the hotter real estate markets are causing
a negative rather than positive "wealth effect". Cash-rich corporations remain
an economic bulwark, and exports may prove another source of economic strength
in the near-term.
INTERNATIONAL ECONOMIES
East Asia continues to experience rapid economic growth. Chinese real GDP growth
may have topped 10% during the period with India not far behind. Japan,
benefiting from solid export growth and growing domestic demand, has poked its
head back up into a reflationary environment for the first time in ten years.
Europe posted surprisingly strong economic performance, raising hopes that the
productivity revolution that has already swept the U.S. and Asia is finally
reaching Europe.
Not part of the Semiannual Report.
- -------------------------------------------------------------------------------
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
Global Securities Fund............................. 16
International Stock Fund........................... 18
PORTFOLIOS OF INVESTMENTS
Money Market Fund.................................. 20
Bond Fund.......................................... 21
High Income Fund................................... 26
Balanced Fund...................................... 33
Large Cap Value Fund............................... 39
Large Cap Growth Fund.............................. 41
Mid Cap Value Fund................................. 43
Mid Cap Growth Fund................................ 47
Global Securities Fund............................. 49
International Stock Fund........................... 53
FINANCIAL STATEMENTS
Statements of Assets and Liabilities............... 60
Statements of Operations........................... 62
Statements of Changes in Net Assets................ 64
Financial Highlights............................... 68
NOTES TO FINANCIAL STATEMENTS............................... 73
OTHER INFORMATION........................................... 79
TRUSTEES AND OFFICERS....................................... 81
</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 the Ultra Series Fund, including
charges and expenses, request a prospectus from your registered representative
or from CUNA Mutual Life Insurance Company, 2000 Heritage Way, Waverly, IA
50677. 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 1-800-798-5500. Current performance may be lower or
higher than the performance data quoted within. Past performance does not
guarantee future results.
- -------------------------------------------------------------------------------
1
BOND FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Bond Fund seeks to generate a high level of current income, consistent with
the prudent limitation of investment risk.
PORTFOLIO MANAGEMENT
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 price sensitivity to changes in interest rates. 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 Ultra Series Bond Fund returned -0.78% during the six-month period ending
June 30, 2006, equaling the performance of the Merrill Lynch U.S. Domestic
Master Index which also returned -0.78%.
During the first six months of 2006 the yield on the 10 year U.S. Treasury note
increased by 75 basis points. The fund's short duration helped performance
during the period. Performance was helped by management's strategic decision to
overweight spread sectors, such as corporate bonds, asset-backed (ABS) and
commercial mortgage-backed securities (CMBS), January through April and
underweight spread sectors in May and June. This positioning helped the fund's
performance each month but March. An underweight position in high yield bonds
relative to peers hurt performance through May. In May we began to see the
strong rally in high yield start to fizzle with only CCC-rated high yield bonds
returning positive excess return and in June investment grade debt outperformed
high yield bonds by 46 basis points. Further, in May we reduced exposure to
corporate debt to underweight and increased exposure to U.S. Treasurys to
overweight.
At the tactical level, performance was helped by security selection in ABS and
CMBS while an overweight in discount mortgages hurt performance in the first
quarter. In the corporate sector, security selection was index-like with
outperformers canceling out underperformers.
When we anticipate the end of the Fed's tightening campaign, we will reposition
the portfolio toward a more neutral curve. The fund should perform well if
defensive sectors continue to perform in a market with increasing volatility and
slowing 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). We continue to monitor the portfolio's holdings
closely for signs of such possibilities.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
2
BOND FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH U.S. DOMESTIC MASTER
BOND FUND INDEX
--------- ----------------------------------
6/96 $ 10,000 $ 10,000
6/97 $ 10,767 $ 10,818
6/98 $ 11,648 $ 11,972
6/99 $ 11,938 $ 12,341
6/00 $ 12,367 $ 12,904
6/01 $ 13,510 $ 14,336
6/02 $ 14,602 $ 15,567
6/03 $ 15,791 $ 17,236
6/04 $ 15,739 $ 17,288
6/05 $ 16,759 $ 18,493
6/06 $ 16,602 $ 18,331
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Asset Backed 4%
Commercial Mortgage Backed 6%
Private Label Mortgage Backed 2%
Corporate Notes and Bonds 25%
Mortgage Backed 22%
U.S. Government and Agency Obligations 36%
Cash and Other Net Assets 5%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
1 Year 3 Years 5 Years 10 Years
-------------------------------------------------
BOND FUND -0.93% 1.68% 4.21% 5.20%
Merrill Lynch U.S. Domestic Master Index -0.88 2.07 5.04 6.25
</Table>
- --------------------------------------------------------------------------------
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 Ultra Series 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 Ultra Series High Income Fund generated a positive return of 1.87% for the
six-month period ending June 30, 2006. For the same period, the Merrill Lynch
U.S. High Yield Master II Index returned 3.07%. A significant portion of this
performance differential was due to the performance of General Motors and Ford
Motors, which make up a huge 11% of the benchmark index (each with an
approximate 5.5% weighting). During the first half of the year, the automotive
sector posted a gain of approximately 10.72%. The Merrill Lynch U.S. High Yield
Master II Index excluding GM and Ford generated a 2.16% return for the same
period, which is more in line with the fund's performance. The fund is currently
underweight the automotive sector for two reasons: diversification and
fundamentals. From a diversification perspective, we attempt to mitigate risk by
constructing a diversified portfolio and as such, we typically cap credit
exposure at 2% of any issuer. From a fundamental perspective, we are currently
cautious toward the automotive industry due to the competitive, operational, and
labor issues that are presently impacting this industry.
During the period, the fund benefited from the positive performance of its
holdings in the aerospace and food/beverage sectors. Merger and acquisition
activity boosted the prices of specific issuers in those sectors, as the
acquiring companies were rated investment grade. The fund also benefited from
its cable holdings, as this sector was the largest positive contributor to
performance during the quarter.
The high yield market performed well, on a relative basis for the first six
months of 2006. This positive performance was in sharp contrast to other fixed
income markets, as both the Merrill Lynch U.S. Treasury and the U.S. Corporate
Master Indices had negative returns during the period. While many pundits
predicted a difficult market environment, the Merrill Lynch U.S. High Yield
Master II Index returned 3.07% for the six-months ending June 30, 2006,
outperforming all other U.S. fixed-income sectors. However, it should be noted
that the impressive gains for General Motors and Ford Motor bonds somewhat
skewed the indices' results to the upside. Excluding these two major U.S.
automakers, the high yield market still returned a solid 2.16% for the period.
Year-to-date, the 10-year Treasury moved significantly as the yield rose from
4.40% to 5.14%. During the latter part of the second quarter, the high yield
market transitioned from a seller's to a buyer's market due to renewed investor
caution. This transition caused some high yield deals to be scaled back, some
deals to be cancelled, and some deals to be repriced at substantially higher
rates than original price talk indicated. Spreads also widened during the
quarter, according to the Credit Suisse High Yield Index, expanding from 334
basis points at the end of March to 359 basis points at the end of June. Looking
at performance from a quality rating perspective, riskier triple C credits
substantially outperformed single B rated bonds, while double B rated bonds had
greater sensitivity to rising interest rates and lagged other rating categories
during the first half of 2006. The supply of new issues also picked up in the
second quarter. Year-to-date, 180 new issues were priced, totaling approximately
$70 billion. In comparison, 201 new issues, which totaled approximately $55
billion, came to market over the same period one year ago.
- --------------------------------------------------------------------------------
4
HIGH INCOME FUND PERFORMANCE REVIEW
The outlook for the U. S. financial markets appears cloudy for the remainder of
the year. To us, the delicate balance between warding off inflation and
dampening economic growth tilts in favor of no additional rate hikes in 2006.
Investors seem to be riveted on the Federal Reserve policy. We believe that the
tightening cycle is now reaching an inflection point. Once short-term rates
stabilize, investor sentiment may be revitalized and enthusiasm for fixed income
assets could resume if the U.S. economy can sustain a 2.5% annualized growth
rate and core inflation is contained at 2%. In our judgment, default rates
should remain near historical lows for at least the next 12 months, as most high
yield issuers have improved their operating efficiencies and the liquidity of
their balance sheets. If interest rates plateau near current levels, the high
yield market could deliver better returns over the next six months than it did
during the first half of 2006.
MEMBERS Capital Advisors, Inc. - Adviser
Shenkman Capital Management, Inc. - Subadviser
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH U.S. HIGH YIELD MASTER II
HIGH INCOME FUND INDEX
---------------- ---------------------------------------
10/00 $ 10,000 $ 10,000
6/01 $ 10,197 $ 10,168
6/02 $ 10,257 $ 9,724
6/03 $ 11,756 $ 11,883
6/04 $ 12,654 $ 13,095
6/05 $ 13,785 $ 14,485
6/06 $ 14,364 $ 15,168
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
<Table>
Telecommunications 9%
Gaming 8%
Support Services 7%
Media - Cable 6%
Health Care 5%
Consumer Products 5%
Utilities 5%
Oil and Gas 5%
Cash and Other Net
Assets 5%
Media - Diversified and
Services 4%
Technology 4%
Non Food and Drug
Retailers 3%
Printing and Publishing 3%
Aerospace/Defense 3%
Forestry/Paper 3%
Building Materials 3%
Food and Drug Retailers 2%
General Industrial and
Manufacturing 2%
Media - Broadcasting 2%
Environmental 2%
Beverage/Food 2%
Chemicals 2%
Auto Parts & Equipment 2%
Packaging 2%
Hotels 1%
Metals and Mining 1%
Leisure and
Entertainment 1%
Automotive 1%
Apparel/Textiles 1%
Transportation 1%
Building & Construction 0%*
Restaurants 0%*
Steel 0%*
</Table>
*Rounds to 0%
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
Since
1 Year 3 Years 5 Years Inception(2)
-----------------------------------------------------
HIGH INCOME FUND 4.20% 6.91% 7.09% 6.60%
Merrill Lynch U.S. High Yield Master II
Index 4.70 8.46 8.32 7.63
</Table>
(2) Fund commenced investment operations on October 31, 2000.
- --------------------------------------------------------------------------------
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 increasingly volatile environment that developed over the first six months
of 2006 provided a good example of the value of diversification. With its
exposure to stocks, bonds and money market instruments, the Ultra Series
Balanced Fund was able to generate small positive returns of 0.15%, in spite of
largely negative returns in the bond markets and the very mixed results in
stocks, where large-cap growth stocks lost money and small-cap value stocks
provided double-digit returns.
In the stock portion of the portfolio, which ended the period with a return just
over 1%, results were aided by an overweighting (relative to the overall stock
market as represented by the Russell 1000(R) Index) in energy stocks. This
overweighting was focused in the equipment and services area which benefited
greatly from higher oil prices, and from owning Marathon Oil which advanced
approximately 27% on higher than expected production volumes and selling prices.
Information technology was the most difficult area during this period as many of
the industry leaders declined 15% to 20% (Dell, EMC, Yahoo!, and Adobe) or more
(eBay declined more than 30%). In virtually all instances, these declines
reflected reductions in investors' expectations for future growth in
profits - reductions that reflected the growing fear that Federal Reserve
interest rate increases intended to fend off inflationary pressures may also
significantly slow the economy.
In the fixed income portion of the portfolio, the fund was short duration which
helped performance during the period. During the first six months of 2006 the
yield on the 10 year U.S. Treasury note increased by 75 basis points.
Performance was helped by management's strategic decision to overweight spread
sectors, such as corporate bonds, asset-backed securities (ABS) and commercial
mortgage-backed securities (CMBS), January through April and underweight spread
sectors in May and June. This positioning helped the fund's performance each
month but March. An underweight position in high yield bonds relative to peers
hurt performance through May. In May we began to see the strong rally in high
yield start to fizzle with only CCC-rated high yield bonds returning positive
excess return and in June investment grade debt outperformed high yield bonds by
46 basis points. Further, in May we reduced exposure to corporate debt to
underweight and increased exposure to U.S. Treasurys to overweight.
At the tactical level, performance was helped by security selection in ABS and
CMBS while an overweight in discount mortgages hurt performance in the first
quarter. In the corporate sector, security selection was index-like with
outperformers canceling out underperformers.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
6
BALANCED FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH U.S. DOMESTIC
BALANCED FUND MASTER INDEX RUSSELL 1000(R) INDEX
------------- --------------------------- ---------------------
6/96 $ 10,000 $ 10,000 $ 10,000
6/97 $ 11,610 $ 10,818 $ 13,226
6/98 $ 13,501 $ 11,972 $ 17,214
6/99 $ 15,687 $ 12,341 $ 20,988
6/00 $ 16,782 $ 12,904 $ 22,929
6/01 $ 16,295 $ 14,336 $ 19,500
6/02 $ 15,235 $ 15,567 $ 16,012
6/03 $ 15,616 $ 17,236 $ 16,166
6/04 $ 17,333 $ 17,288 $ 19,314
6/05 $ 18,609 $ 18,493 $ 20,846
6/06 $ 19,194 $ 18,331 $ 22,738
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Common Stocks 58%
Asset Backed 1%
Commercial Mortgage Backed 2%
Private Label Mortgage Backed 1%
Corporate Notes and Bonds 9%
Mortgage Backed 8%
U.S. Government and Agency Obligations 17%
Cash and Other Net Assets 4%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
1 Year 3 Years 5 Years 10 Years
-------------------------------------------------
BALANCED FUND 3.14% 7.12% 3.33% 6.74%
Merrill Lynch U.S. Domestic Master Index -0.88 2.07 5.04 6.25
Russell 1000(R) Index 9.08 12.04 3.12 8.56
</Table>
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
The six months ended June 30, 2006 began with the U. S. stock market advancing
nicely on a foundation of confidence that the Federal Reserve's interest rate
policy would not jeopardize further economic growth. The market reversed itself,
however, in May when investors got a different message - that the Fed may well
have to continue to increase rates to counter the increasing inflationary
pressures, even at the risk of derailing economic growth. Throughout the period,
however, corporate fundamentals held up well.
In this environment, value investors benefited while growth stocks suffered, as
is often the case when broad investor optimism is replaced by a healthy degree
of skepticism. The Ultra Series Large Cap Value Fund returned 4.84% over this
six-month period while the overall stock market as represented by the Russell
1000(R) Index gained 2.76%. Within this broad market index, the value segment
(Russell 1000(R) Value Index) gained 6.56% while the growth segment (Russell
1000(R) Growth Index) suffered a small decline of -0.93%.
Relative to the Russell 1000(R) Value Index performance, the fund's returns
benefited from a heavier position in energy stocks, and from the particular
energy stocks owned, especially Marathon Oil and Schlumberger which
significantly outperformed the group. Detractors from relative performance
primarily were in the consumer staples area, including Proctor & Gamble and Sara
Lee, which failed to meet investors' earnings expectations, and health care
where Watson Pharmaceuticals initiated an expensive takeover of Andrx, a maker
of low-margin generic drugs, and hospital operator HCA announced disappointing
earnings. Many information technology stocks also underperformed, led by
established names like Intel and Computer Associates as they announced
reductions in their near-term growth expectations.
Fund management expects continued stock market volatility and continued harsh
treatment by the market of companies that fail to meet investors' expectations.
In this environment, as has been the case so far this year, value investing can
provide superior returns as well as serve to moderate volatility - a very
attractive mix of attributes.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
8
LARGE CAP VALUE FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
LARGE CAP VALUE FUND RUSSELL 1000(R) VALUE INDEX
-------------------- ---------------------------
6/96 $ 10,000 $ 10,000
6/97 $ 13,116 $ 13,319
6/98 $ 16,722 $ 17,159
6/99 $ 21,188 $ 19,967
6/00 $ 21,204 $ 18,187
6/01 $ 19,014 $ 20,066
6/02 $ 16,697 $ 18,270
6/03 $ 15,954 $ 18,083
6/04 $ 18,922 $ 21,906
6/05 $ 20,763 $ 24,984
6/06 $ 22,935 $ 28,008
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 7%
Consumer Staples 7%
Energy 16%
Financials 33%
Health Care 7%
Industrials 7%
Information Technology 4%
Materials 4%
Telecommunication Services 5%
Utilities 6%
Cash and Other Net Assets 3%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
1 Year 3 Years 5 Years 10 Years
---------------------------------------------------
LARGE CAP VALUE FUND 10.47% 12.86% 3.82% 8.66%
Russell 1000(R) Value Index 12.10 15.70 6.90 10.85
</Table>
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
Growth investors experienced two very different market environments during this
short, six-month period ended June 30, 2006. Through early May, the seemingly
riskless economic environment coaxed many investors into the stocks of lower
quality and higher expectations companies. Once the Federal Reserve made clear
its intent to stifle inflation with less regard for the impact this could have
on the level of economic activity, risk aversion returned with a vengeance,
resulting in large and rapid declines in the prices of these more aggressive
stocks.
The Ultra Series Large Cap Growth Fund traced a similar price pattern over this
very erratic period. After being up approximately 3% in early May, it declined
along with its index to end the period with a modest loss of -1.29%, generally
in line with the Russell 1000(R) Growth Index return of -0.93%. Relative to this
index, the fund's performance was helped primarily by its greater emphasis on
energy stocks, especially Weatherford and Consolidated Energy, both prime
beneficiaries of the higher oil prices. Some consumer staples stocks also were
good contributors, including personal products company Colgate-Palmolive and
warehouse retailer Costco, both of which appealed to investors due to the
stability of their earnings growth outlooks. The most troublesome area for the
fund during this period was health care where several holdings modestly
underperformed and one holding, generic drug maker Teva Pharmaceuticals,
declined approximately 25% on an acquisition-related earnings shortfall and
growing concerns about competition for generics, including from a large
proprietary drug manufacturer.
Looking ahead, the Federal Reserve continues to be a key market bellwether as it
responds to the ongoing flow of economic data. We believe we are approaching an
inflection point, however, where the current concerns will be validated or
proven wrong, and the markets will react accordingly. Our approach in this
environment is to maintain exposure to what we consider to be defensive stocks
as well as stocks which we believe will perform very well if strong economic
growth resumes. This "barbell" approach improves the likelihood that our
investors will receive reasonable returns under either scenario.
MEMBERS Capital Advisors, Inc. - Adviser
- --------------------------------------------------------------------------------
10
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
LARGE CAP GROWTH FUND RUSSELL 1000(R) INDEX RUSSELL 1000(R) GROWTH INDEX
--------------------- --------------------- ----------------------------
6/96 $ 10,000 $ 10,000 $ 10,000
6/97 $ 12,684 $ 13,226 $ 13,134
6/98 $ 16,545 $ 17,214 $ 17,257
6/99 $ 19,833 $ 20,988 $ 21,962
6/00 $ 22,734 $ 22,929 $ 27,598
6/01 $ 22,450 $ 19,500 $ 17,615
6/02 $ 15,922 $ 16,012 $ 12,949
6/03 $ 16,078 $ 16,166 $ 13,330
6/04 $ 18,900 $ 19,314 $ 15,713
6/05 $ 20,021 $ 20,846 $ 15,977
6/06 $ 20,354 $ 22,738 $ 16,955
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 9%
Consumer Staples 10%
Energy 5%
Financials 7%
Health Care 19%
Industrials 15%
Information Technology 28%
Materials 1%
Telecommunication Services 2%
Utilities 1%
Cash and Other Net Assets 3%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
1 Year 3 Years 5 Years 10 Years
---------------------------------------------------
LARGE CAP GROWTH FUND 1.66% 8.18% -1.94% 7.37%
Russell 1000(R) Index 9.08 12.04 3.12 8.56
Russell 1000(R) Growth Index 6.12 8.35 -0.76 5.42
</Table>
- --------------------------------------------------------------------------------
11
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Mid Cap Value Fund seeks long-term capital appreciation.
PORTFOLIO MANAGEMENT
Livia S. Asher 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 Ultra Series 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.
- --------------------------------------------------------------------------------
In the very favorable economic environment that prevailed during the first few
months of this year, mid- and small-capitalization, value companies' stock
returns led all other size and style categories. When the outlook became more
clouded in early May, it was the smaller growth companies that fell the hardest
in price. So, for the six months through June 30, 2006, mid- and small-cap value
stocks were the performance leaders, pushing the Russell Midcap(R) Value Index
to a gain of 7.02%.
The Ultra Series Mid Cap Value Fund, with its primary exposure to attractively
valued stocks of midsized companies, supplemented by a modest exposure to
small-caps, provided a return of 5.99%, somewhat above the long-term average for
this market sector. This was fueled by outperformance in information technology,
consumer goods and industrials. In the information technology sector, Tellabs
and electronic connector-maker Molex each gained approximately 25% on favorable
results. The consumer areas saw Hain Celestial, maker and seller of natural
foods and personal care products, gain in excess of 20% as it continued to
exceed investors' expectations for profitability and growth. Among industrials,
major contributors ranged from Manpower, up some 40% as its international
operations added significantly to results, to railroad operator CSX, which
advanced nearly 30% from very modest valuation levels as rail pricing increases
proved to be sustainable. Returns were dampened primarily by financial stocks,
including capital markets-related stocks as they reacted to the Federal
Reserve's continued increases in interest rates, and insurance-related stocks,
which, in spite of greatly improved pricing, were punished as hurricane fears
returned.
Although smaller capitalization value stocks have led the markets for some time,
we continue to see good buying opportunities in this area of the market, and
believe the fund is well positioned to continue to outperform other areas of the
market.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
- --------------------------------------------------------------------------------
12
MID CAP VALUE FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MID CAP VALUE FUND RUSSELL MIDCAP(R) VALUE INDEX RUSSELL 2500(TM) VALUE INDEX
------------------ ----------------------------- ----------------------------
5/99 $ 10,000 $ 10,000 $ 10,000
6/99 $ 10,470 $ 10,156 $ 10,559
6/00 $ 12,114 $ 9,353 $ 10,447
6/01 $ 15,216 $ 11,591 $ 13,075
6/02 $ 15,145 $ 11,814 $ 13,937
6/03 $ 14,398 $ 11,739 $ 13,854
6/04 $ 18,141 $ 15,356 $ 18,552
6/05 $ 20,326 $ 18,704 $ 21,788
6/06 $ 22,977 $ 21,370 $ 24,517
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 11%
Consumer Staples 9%
Energy 7%
Financials 28%
Health Care 4%
Industrials 9%
Information Technology 8%
Materials 6%
Telecommunication Services 1%
Utilities 12%
Cash and Other Net Assets 5%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
Since
1 Year 3 Years 5 Years Inception(2)
----------------------------------------------------
MID CAP VALUE FUND 13.04% 16.86% 8.59% 12.31%
Russell Midcap(R) Value Index 14.25 22.10 13.01 11.17
Russell 2500(TM) Value Index 12.52 20.96 13.40 13.32
</Table>
(2) Fund commenced investment operations on May 1, 1999
- --------------------------------------------------------------------------------
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 Ultra Series 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.
- --------------------------------------------------------------------------------
The Ultra Series Mid Cap Growth Fund returned -0.06% during the six-month period
ended June 30, 2006, outperforming the custom benchmark(1) of -2.7%. The Russell
3000(R) Growth Index returned -0.32% during the period, while the Russell
2500(TM) Growth Index returned 4.98%.
Favorable stock selection produced positive benchmark-relative results in seven
sectors during the six-month period. Stock selection was strongest within the
Information Technology and Health Care sectors. Positive relative results were
somewhat offset by weak stock selection in Consumer Discretionary and
Telecommunication Services. In addition, an overweight position to the weak
performing Health Care sector also negatively contributed to performance.
Key individual contributors to relative performance were Network Appliance
(Technology Hardware & Equipment), UBS (Diversified Financials) and Countrywide
Financial (Banks). Data management firm, Network Appliance, rose in conjunction
with strong revenue growth and a broadening product lineup. UBS rose after it
reported a strong quarter with solid guidance. Shares of Countrywide Financial
continued to benefit from company's strong organic growth in the mortgage
financing sector through market share gains.
Positive results were partially offset by Jos A Bank Clothiers (Retailing), DR
Horton (Consumer Durables & Apparel), and Medtronic (Health Care & Equipment).
Jos A Bank Clothiers declined after the company announced disappointing earnings
and lowered its earnings forecast. Homebuilder DR Horton fell as a result of the
slowing housing market. Medical device maker Medtronic declined as safety
concerns over some ICD (implanted cardiac defibrillator) products clouded the
short-term outlook for the industry.
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
Information Technology sectors relative to the Russell 2500(TM) Growth Index and
an underweight to Industrials and Materials. We continue to find 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 for the period 1/1/06 to 4/30/06 and the Russell 2500(TM)
Growth Index for the period 5/1/06 to 6/30/06.
- --------------------------------------------------------------------------------
14
MID CAP GROWTH FUND PERFORMANCE REVIEW
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
RUSSELL 2500(TM) GROWTH
MID CAP GROWTH FUND RUSSELL 3000(R) GROWTH INDEX INDEX
------------------- ---------------------------- -----------------------
10/00 $ 10,000 $ 10,000 $ 10,000
6/01 $ 7,081 $ 7,187 $ 8,785
6/02 $ 4,941 $ 5,291 $ 6,526
6/03 $ 5,375 $ 5,439 $ 6,794
6/04 $ 6,834 $ 6,462 $ 8,840
6/05 $ 7,013 $ 6,586 $ 9,500
6/06 $ 7,691 $ 7,037 $ 10,888
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 21%
Energy 11%
Financials 12%
Health Care 16%
Industrials 11%
Information Technology 26%
Telecommunication Services 2%
Cash and Other Net Assets 1%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
Since
1 Year 3 Years 5 Years Inception(2)
----------------------------------------------------
MID CAP GROWTH FUND 9.67% 12.68% 1.67% -4.53%
Russell 3000(R) Growth Index 6.84 8.96 -0.43 -5.30
Russell 2500(TM) Growth Index 14.61 17.03 4.39 1.51
</Table>
(2) Fund commenced investment operations on October 31, 2000.
- --------------------------------------------------------------------------------
15
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
The Global Securities Fund seeks capital appreciation.
PORTFOLIO MANAGEMENT
MEMBERS Capital Advisors as adviser may use one or more subadvisers with any of
the Ultra Series funds under a "manager of managers" approach. Oppenheimer
Funds, Inc. is currently the only subadviser for the Global Securities Fund.
Rajeev Bhaman at OppenheimerFunds is the lead portfolio manager responsible for
deciding which securities are purchased or sold in the Global Securities Fund.
PRINCIPAL INVESTMENT STRATEGIES
The fund invests mainly in foreign equity securities and equity securities of
companies in the U.S. The fund can invest without limit in foreign securities
and can invest in any country, including countries with developed or emerging
markets. However, the fund currently emphasizes investments in developed
markets such as the U.S., Western European countries and Japan. The fund
normally will invest in at least three countries (one of which may be the
U.S.). The fund does not limit its investments to companies in a particular
capitalization range, but currently focuses its investments in mid-cap and
large-cap companies.
In selecting securities for the fund, the adviser looks primarily for foreign
and U.S. companies with high growth potential. The adviser uses fundamental
analysis of a company's financial statements, management structure, operations
and product development, and considers factors affecting the industry of which
the issuer is part. The adviser considers overall and relative economic
conditions in U.S. and foreign markets, and seeks broad portfolio
diversification in different countries to help moderate the special risks of
foreign investing.
- --------------------------------------------------------------------------------
The Ultra Series Global Securities Fund generated a positive return of 3.60% for
the six-month period ending June 30, 2006, underperformed its benchmark, the
MSCI World Index, which returned 6.37% for the same period.
The period was characterized by significant global monetary tightening, as the
U.S. and Europe increased interest rates and Japan positioned for possible rate
hikes despite 0% inflation. Emerging markets, characteristic producers of
commodities, benefited from rising commodity prices; however, liquidity concerns
during May and June led to significant declines in their stock prices.
Currencies remained relatively stable, with the U.S. dollar appreciating in the
market sell-off, though still down for the year against the Euro. Concerns about
oil prices still persist, as do worries about the decline of housing prices in
the U.S. and their consequent impact on consumption.
In contrast, other global indicators support continued economic growth.
Confidence levels in Europe and Japan are fairly high, with consumers and
corporations resuming spending after a hiatus of several years. Also, though
pockets of weakness are beginning to show, the U.S. consumer continues to drive
the current economic expansion.
The oil and gas sector outperformed as a whole, with Husky Energy, Inc., a
long-standing Canadian oil and gas holding of the fund, being one of the largest
contributors to returns in the first half of 2006. Significant contributions to
return were also delivered by Transocean, Inc., a provider of offshore contract
drilling services for oil and gas wells; Hyundai Heavy Industries Co. Ltd., the
world's leading tanker manufacturer in Korea; and Zee Telefilms Ltd., one of the
leading television channels in India.
A number of our larger holdings, including eBay, Inc., Advanced Micro Devices,
Inc., and Carnival Corp., which operates Carnival Cruise Lines, had a
disappointing half-year as economic concerns, particularly those relating to
competition, increased. We believe that results over the coming years will bear
out our confidence in the value offered by these stocks as the robustness of
their franchises is demonstrated.
We are also finding more opportunities in the U.S., where valuations look
attractive compared to international markets. Wal-Mart Stores, Inc., a recent
purchase and the world's largest retailer, was available during the period at
approximately 15 times forward earnings, the cheapest valuation in its history.
Although the market is concerned about the company's labor practices, Wal-Mart
still exhibits qualities we seek - ability to grow earnings faster than GDP,
efficient use of capital, great franchise, and availability at a reasonable
price. We are also finding opportunities in technology, where fears of a
slowdown and concerns over previous options issuances have made for excellent
long term opportunities in highly cash generative businesses.
- --------------------------------------------------------------------------------
16
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
Tightening global monetary policy or other economic risks could derail the
current expansion, though that is not our central operating assumption. In the
face of economic uncertainty, value is almost always best added by strong stock
selection. Accordingly, we continue to seek and invest in strong business
franchises worldwide that are attractively priced, and will remain firmly
focused on the long-term investment horizon.
MEMBERS Capital Advisors, Inc. - Adviser
Oppenheimer Funds, Inc. - Subadviser
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MORGAN STANLEY CAPITAL INTERNATIONAL
GLOBAL SECURITIES FUND WORLD INDEX (MSCI WORLD INDEX)
---------------------- ------------------------------------
10/00 $ 10,000 $ 10,000
6/01 $ 9,237 $ 8,559
6/02 $ 8,311 $ 7,285
6/03 $ 7,790 $ 7,147
6/04 $ 10,229 $ 8,902
6/05 $ 11,682 $ 9,845
6/06 $ 13,841 $ 11,569
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Canada 2%
United States 36%
Europe (excluding United Kingdom) 22%
Japan 11%
Latin America 5%
Pacific Basin 5%
United Kingdom 12%
Other Countries 3%
Cash and Other Net Assets 4%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
Since
1 Year 3 Years 5 Years Inception(2)
----------------------------------------------------
GLOBAL SECURITIES FUND 18.48% 21.12% 8.42% 5.91%
MSCI World Index 17.50 17.41 6.21 2.89
</Table>
(2) Fund commenced investment operations on October 31, 2000.
- --------------------------------------------------------------------------------
17
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 Ultra Series 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; James Donald, CFA;
Brian Pessin, 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.
- --------------------------------------------------------------------------------
ULTRA SERIES INTERNATIONAL STOCK FUND
The Ultra Series International Stock Fund returned 8.42% during the six-month
period ended June 30, 2006, compared to returns of 10.50% for the MSCI EAFE
Index, 5.83% for the MSCI EAFE Small Cap Index, and 7.33% for the MSCI Emerging
Markets Index. The fund is comprised of a mix of strategies encompassing all the
aforementioned markets.
INTERNATIONAL EQUITY
Stock selection in the financials sector benefited performance for the period in
addition to stock selection in consumer discretionary. Regionally, stock
selection in Japan produced solid gains, as holdings in the consumer,
industrial, information technology, and health care sectors rose more than the
market. Conversely, stock selection in information technology detracted from
performance. Stock selection in telecom services detracted from performance, as
the shares of France Telecom declined. Stock selection in utilities also
dampened performance, as the Portfolio lacked exposure to some of the European
utilities, which rose dramatically on merger news, such as Endessa.
EMERGING MARKETS
Emerging markets equities began 2006 with quite solid returns, rising over 20
percent by the end of April, aided by heightened interest in the asset class.
Capital flows into the asset class exceeded last year's total of $20.3 billion,
reaching approximately $30 billion. However, beginning in May, emerging markets
shares experienced a major correction, as investors became more concerned about
inflationary pressures and higher interest rates globally. The MSCI Emerging
Markets Index has gained 7.2 percent for the year to date, with Latin American
shares performing the best. The portfolio benefited from stock selection and an
overweight to Indonesia helped performance, as did a favorable overweight in
Brazil. Stock selection within materials and industrials aided returns. The
portfolio was hurt by poor stock selection and an underweight to Russia
detracted from returns. Poor stock selection within Korea, India, and Brazil
also hurt performance, as did an overweight to Egypt and an underweight to
China. The portfolio experienced poor stock selection and an overweight to
consumer discretionary stocks hurt performance. Stock selection and an
underweight to energy also detracted from returns. We continue to eliminate or
trim positions where our upside expectations are modest and invest funds into
shares that we believe have higher upside potential. A recent sale in the
portfolio has been FEMSA (Mexico), which hit its target price.
INTERNATIONAL SMALL CAP
The first half of 2006 was divided into two distinct market environments for the
international equity markets. The year started out strongly, as small cap stocks
posted solid gains in the first quarter. European small caps led the other
regions, but all regions showed healthy gains. The beginning of the second
quarter was a continuation of the robust start of the year for international
equities,
- --------------------------------------------------------------------------------
18
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
with markets rallying strongly through April. However, a May equity sell-off
continued into the beginning of June, as investors' appetites for risk
diminished. The areas of the market that had been the strongest through April,
such as commodity-related and small-cap stocks, were the most severely impacted.
Markets began to recover around the middle of the June, resulting in flat
performance for the final month of the quarter. Today, the market is clearly
concerned about higher interest rates, tighter labor supplies around the world,
and high commodity prices, particularly energy-related commodities. Any changes
in these macro factors could have strong impacts on the market. The portfolio
witnessed solid performance for the second quarter, outperforming in the
declining market environment. By country, stock selection was generally solid,
with particularly good performance in Japan and the Netherlands. Good stock
selection in the industrial and consumer discretionary sectors, along with an
underweight position in information technology, also contributed to positive
sector performance. Stock selection in Australia and the materials sector hurt
returns.
MEMBERS Capital Advisors, Inc. - Adviser
Lazard Asset Management LLC - Subadviser
CHANGE IN VALUE OF $10,000 INVESTMENT(1)
(LINEGRAPH)
<Table>
<Caption>
MORGAN STANLEY INTERNATIONAL EUROPE
AUSTRALASIA & FAR EAST INDEX (MSCI
INTERNATIONAL STOCK FUND EAFE INDEX)
------------------------ -----------------------------------
10/00 $ 10,000 $ 10,000
6/01 $ 8,766 $ 8,535
6/02 $ 8,235 $ 7,757
6/03 $ 8,013 $ 7,287
6/04 $ 10,044 $ 9,681
6/05 $ 11,770 $ 11,048
6/06 $ 14,871 $ 14,038
</Table>
(1)This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index. Fund returns are calculated after mutual fund
level expenses have been subtracted, but do not include any separate account
fees, charges or expenses imposed by the variable annuity and life insurance
contracts that use the fund, as described in the Prospectus. All dividends
and capital gains are reinvested. Investment return and principal value will
fluctuate, so an investor's shares, when redeemed, may be worth more or less
than when purchased. Further information relating to the fund's performance
is contained in the Prospectus and elsewhere in this report. Past performance
is not indicative of future performance. Indices are unmanaged and investors
cannot invest in them. Index returns do not reflect expenses or sales
charges.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Africa 2%
Europe (excluding United Kingdom) 40%
Japan 22%
Latin America 4%
Pacific Basin 8%
United Kingdom 17%
Other Countries 3%
Cash and Other Net Assets 4%
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2006
<Table>
<Caption>
Since
1 Year 3 Years 5 Years Inception(2)
----------------------------------------------------
INTERNATIONAL STOCK FUND 26.35% 22.89% 11.15% 7.26%
MSCI EAFE Index 27.07 24.43 10.44 6.26
</Table>
(2) Fund commenced investment operations on October 31, 2000.
- --------------------------------------------------------------------------------
19
MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 8.09%
- -------------------------------------------------
FINANCE - 8.09%
$2,025,000 Bank of America Corp.
7.125%, due
09/15/06............ $ 2,036,990
5,250,000 Goldman Sachs Group, Inc.,
Series B (G)
5.149%, due
08/01/06............ 5,250,302
-----------
7,287,292
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$7,287,292 )........ 7,287,292
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 84.56%
- -------------------------------------------------
FEDERAL AGRICULTURAL MORTGAGE CORP.
(A) - 10.04%
1,080,000 5.060%, due
07/06/06............ 1,079,241
4,000,000 4.850%, due
07/07/06............ 3,996,767
4,000,000 4.995%, due
08/31/06............ 3,966,145
-----------
9,042,153
-----------
FEDERAL FARM CREDIT BANK - 13.63%
4,300,000 5.044%, due 07/14/06
(G)................. 4,300,000
3,000,000 5.150%, due 07/25/06
(A)................. 2,989,700
4,000,000 4.850%, due 07/26/06
(A)................. 3,986,528
1,000,000 5.150%, due 07/28/06
(A)................. 996,138
-----------
12,272,366
-----------
FEDERAL HOME LOAN BANK - 15.21%
1,500,000 5.080%, due 07/10/06
(A)................. 1,498,095
2,779,000 4.985%, due 07/12/06
(A)................. 2,774,767
3,500,000 5.140%, due 07/14/06
(A)................. 3,493,504
2,955,000 4.940%, due 07/21/06
(A)................. 2,946,890
2,000,000 4.950%, due 08/18/06
(A)................. 1,986,943
1,000,000 2.875%, due
09/15/06............ 995,069
-----------
13,695,268
-----------
FEDERAL HOME LOAN MORTGAGE CORP. -
17.17%
2,000,000 4.810%, due 07/11/06
(A)................. 1,997,328
3,000,000 4.932%, due 07/18/06
(A)................. 2,993,013
2,000,000 4.940%, due 07/24/06
(A)................. 1,993,688
2,000,000 4.810%, due 07/31/06
(A)................. 1,991,983
2,500,000 5.210%, due 08/22/06
(A)................. 2,481,186
4,000,000 5.370%, due 01/26/07
(G)................. 4,000,000
-----------
15,457,198
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
- -------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 18.92%
$2,000,000 4.580%, due 07/05/06
(A)................. $ 1,998,982
3,200,000 5.060%, due 07/05/06
(A)................. 3,198,201
3,000,000 5.180%, due 07/17/06
(A)................. 2,993,093
1,276,000 4.830%, due 07/26/06
(A)................. 1,271,720
4,000,000 5.170%, due 07/27/06
(A)................. 3,985,064
1,000,000 4.470%, due 10/02/06
(A)................. 988,452
2,600,000 5.550%, due
07/16/07............ 2,599,937
-----------
17,035,449
-----------
TENNESSEE VALLEY AUTHORITY
(A) - 5.70%
3,400,000 4.980%, due
07/20/06............ 3,391,064
1,750,000 5.150%, due
08/03/06............ 1,741,739
-----------
5,132,803
-----------
U.S. TREASURY BILLS (A) - 3.89%
3,500,000 4.600%, due
07/06/06............ 3,497,764
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$76,133,001 )....... 76,133,001
-----------
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 7.81%
- -------------------------------------------------
4,209,373 J.P. Morgan Prime
Money Market Fund... 4,209,373
2,819,271 SSgA Prime Money
Market Fund......... 2,819,271
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$7,028,644 )........ 7,028,644
-----------
TOTAL INVESTMENTS - 100.46%
- -------------------------------------------------
( Cost $90,448,937** )............... 90,448,937
NET OTHER ASSETS AND LIABILITIES - (0.46)%
- -------------------------------------------------
(416,806)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 90,032,131
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$90,448,937.
(A) Rate noted represents annualized yield at time of
purchase.
(G) Floating rate note. Date shown is next reset date.
- --------------------------------------------------------------------------------
20
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 4.37%
- -------------------------------------------------
$ 684,469 ABSC Long Beach Home Equity Loan
Trust,
Series 2000-LB1,
Class AF5 (M)
8.550%, due
09/21/30........... $ 682,552
2,100,000 Ameriquest Mortgage Securities,
Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due
05/25/34........... 2,017,370
4,200,000 Citibank Credit Card Issuance
Trust,
Series 2004-A1, Class A1
2.550%, due
01/20/09........... 4,133,018
1,531,652 Countrywide Asset-Backed
Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due
12/25/32........... 1,523,165
2,000,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due
10/25/33........... 1,930,763
2,350,463 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due
12/01/27........... 2,326,800
3,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due
11/25/33........... 3,468,853
3,640,000 Park Place Securities, Inc.,
Series 2004-WWF1, Class M10 (G)(M)
7.823%, due
12/25/34........... 3,630,330
2,475,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due
02/25/36........... 2,325,727
1,781,050 Residential Asset Mortgage
Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due
03/25/31........... 1,771,574
1,745,000 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due
05/25/35........... 1,720,411
2,245,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
8.323%, due
03/25/33........... 2,244,932
-----------
TOTAL ASSET BACKED
( Cost
$28,012,015 )...... 27,775,495
COMMERCIAL MORTGAGE BACKED - 5.72%
- -------------------------------------------------
2,635,914 Bear Stearns Commercial Mortgage
Securities,
Series 2001-TOP4, Class A1
5.060%, due
11/15/16........... 2,600,652
2,800,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A2
3.700%, due
02/13/46........... 2,698,483
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
$ 2,800,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16, Class A6 (G)
4.750%, due
02/13/46........... $ 2,595,815
1,810,000 Bear Stearns Commercial Mortgage
Securities,
Series 2005-T20, Class F (C)(G)
5.156%, due
10/12/42........... 1,687,605
4,200,000 Government National Mortgage
Association,
Series 2004-43, Class C (G)
5.008%, due
12/16/25........... 4,037,610
3,000,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due
06/10/36........... 2,897,045
3,200,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due
12/15/29........... 2,981,058
5,550,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due
04/14/40........... 5,218,707
7,000,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due
09/13/45........... 6,528,192
1,695,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due
11/28/35........... 1,395,991
3,796,815 Wachovia Bank Commercial Mortgage
Trust,
Series 2003-C6, Class A1
3.364%, due
08/15/35........... 3,668,835
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost
$38,341,477 )...... 36,309,993
-----------
PRIVATE LABEL MORTGAGE BACKED - 1.59%
- -------------------------------------------------
7,110,659 Bank of America Alternative Loan
Trust,
Series 2005-12, Class 3CB1
6.000%, due
01/25/36........... 7,013,243
3,140,508 Bank of America Alternative Loan
Trust,
Series 2006-3, Class 2CB1
6.000%, due
04/25/36........... 3,085,436
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost
$10,200,544 )...... 10,098,679
-----------
CORPORATE NOTES AND BONDS - 25.19%
- -------------------------------------------------
CAPITAL GOODS - 0.55%
3,500,000 Caterpillar Financial Services
Corp.,
Series F
2.500%, due
10/03/06........... 3,473,862
-----------
</Table>
- --------------------------------------------------------------------------------
21
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 DISCRETIONARY - 1.65%
$ 2,500,000 American Association of Retired
Persons (C)
7.500%, due
05/01/31........... $ 2,927,008
2,300,000 Carnival Corp. (D)
3.750%, due
11/15/07........... 2,234,682
4,400,000 Erac USA Finance Co. (C)
6.700%, due
06/01/34........... 4,345,783
1,000,000 Harrah's Operating Co., Inc.
6.500%, due
06/01/16........... 974,384
-----------
10,481,857
-----------
CONSUMER STAPLES - .60%
1,250,000 Coca-Cola Enterprises, Inc.
4.375%, due
09/15/09........... 1,205,828
2,700,000 Safeway, Inc.
4.125%, due
11/01/08........... 2,592,926
-----------
3,798,754
-----------
ENERGY - 2.46%
2,000,000 Burlington Resources Finance Co.
5.700%, due
03/01/07........... 1,995,148
3,500,000 ConocoPhillips
6.650%, due
07/15/18........... 3,705,149
2,310,000 Devon Financing Corp. ULC
7.875%, due
09/30/31........... 2,637,937
2,460,000 Hess Corp.
7.875%, due
10/01/29........... 2,744,556
2,000,000 Pemex Project Funding Master Trust
(O)
7.375%, due
12/15/14........... 2,064,000
2,275,000 Valero Energy Corp.
7.500%, due
04/15/32........... 2,469,983
-----------
15,616,773
-----------
FINANCE - 4.34%
2,700,000 AIG SunAmerica Global Financing XII
(C)
5.300%, due
05/30/07........... 2,689,335
2,885,000 American General Finance Corp.
5.850%, due
06/01/13........... 2,860,039
2,500,000 American General Finance Corp.,
Series H
4.625%, due
09/01/10........... 2,393,918
2,000,000 Bear Stearns Cos., Inc.
7.800%, due
08/15/07........... 2,044,800
2,500,000 CIT Group, Inc.
7.375%, due
04/02/07........... 2,531,140
1,250,000 GE Insurance Solutions Corp.
7.000%, due
02/15/26........... 1,315,906
1,680,000 GE Insurance Solutions Corp.
7.750%, due
06/15/30........... 1,906,627
2,750,000 Goldman Sachs Group, Inc.
5.700%, due
09/01/12........... 2,723,298
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FINANCE (CONTINUED)
$ 4,250,000 HSBC Finance Corp.
6.500%, due
11/15/08........... $ 4,325,106
2,000,000 U.S. Bank N.A.
6.300%, due
02/04/14........... 2,050,650
2,750,000 Wachovia Corp.
4.950%, due
11/01/06........... 2,742,976
-----------
27,583,795
-----------
HEALTH CARE - 2.64%
2,600,000 Eli Lilly & Co.
6.570%, due
01/01/16........... 2,728,994
1,740,000 Genentech, Inc.
5.250%, due
07/15/35........... 1,502,006
3,480,000 Merck & Co., Inc.
6.400%, due
03/01/28........... 3,467,514
3,500,000 Quest Diagnostics, Inc.
5.450%, due
11/01/15........... 3,318,318
3,600,000 WellPoint, Inc.
5.000%, due
12/15/14........... 3,348,331
2,370,000 Wyeth
6.500%, due
02/01/34........... 2,372,877
-----------
16,738,040
-----------
INDUSTRIALS - 5.55%
760,000 Boeing Co.
8.625%, due
11/15/31........... 988,049
1,380,000 Boeing Co.
6.875%, due
10/15/43........... 1,484,899
1,140,000 D.R. Horton, Inc. (O)
5.250%, due
02/15/15........... 1,013,214
4,000,000 DaimlerChrysler N.A. Holding Corp.
4.750%, due
01/15/08........... 3,934,596
3,850,000 Dow Chemical Co.
5.750%, due
12/15/08........... 3,859,175
2,000,000 Ford Motor Credit Co.
5.800%, due
01/12/09........... 1,827,136
3,200,000 General Electric Co.
5.000%, due
02/01/13........... 3,065,085
1,125,000 General Motors Acceptance Corp.
6.125%, due
08/28/07........... 1,113,235
4,750,000 General Motors Acceptance Corp.
7.250%, due
03/02/11........... 4,605,163
800,000 International Paper Co.
7.875%, due
08/01/06........... 800,974
</Table>
- --------------------------------------------------------------------------------
22
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
INDUSTRIALS (CONTINUED)
$ 1,125,000 Pulte Homes, Inc.
5.200%, due
02/15/15........... $ 1,003,239
958,000 Raytheon Co.
4.500%, due
11/15/07........... 940,522
2,465,000 Waste Management, Inc.
7.125%, due
12/15/17........... 2,628,910
2,250,000 Westvaco Corp. (O)
8.200%, due
01/15/30........... 2,437,099
3,000,000 Weyerhaeuser Co.
6.875%, due
12/15/33........... 2,821,083
2,870,000 WM Wrigley Jr. Co.
4.300%, due
07/15/10........... 2,731,207
-----------
35,253,586
-----------
MEDIA - 0.74%
4,220,000 Comcast Cable Communications
Holdings, Inc.
8.375%, due
03/15/13........... 4,686,901
-----------
PIPELINE - 0.24%
1,675,000 KN Energy, Inc.
7.250%, due
03/01/28........... 1,514,898
-----------
REAL ESTATE INVESTMENT TRUSTS -
0.55%
2,735,000 EOP Operating L.P.
4.750%, due
03/15/14........... 2,480,659
1,060,000 Simon Property Group L.P.
5.625%, due
08/15/14........... 1,027,511
-----------
3,508,170
-----------
TELECOMMUNICATIONS - 1.29%
2,400,000 Cisco Systems, Inc.
5.500%, due
02/22/16........... 2,304,545
2,000,000 Telephone & Data Systems, Inc.
7.000%, due
08/01/06........... 2,000,828
2,500,000 Verizon Wireless Capital LLC
5.375%, due
12/15/06........... 2,497,245
1,500,000 Vodafone Group PLC (D)
5.000%, due
12/16/13........... 1,386,396
-----------
8,189,014
-----------
TRANSPORTATION - 1.01%
2,925,000 Burlington Northern Santa Fe Corp.
8.125%, due
04/15/20........... 3,450,073
1,268,000 Norfolk Southern Corp.
5.590%, due
05/17/25........... 1,181,237
1,400,000 Norfolk Southern Corp.
7.050%, due
05/01/37........... 1,529,856
11,204 Southwest Airlines Co., Series A3
8.700%, due
07/01/11........... 12,125
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
TRANSPORTATION (CONTINUED)
$ 263,241 Union Pacific Railroad Co., Series
1995-A
6.540%, due
07/01/15........... $ 269,912
-----------
6,443,203
-----------
UTILITIES - 3.57%
3,000,000 Constellation Energy Group, Inc.
4.550%, due
06/15/15........... 2,656,620
2,750,000 Consumers Energy Co.
5.650%, due
04/15/20........... 2,560,602
2,000,000 Energy East Corp.
8.050%, due
11/15/10........... 2,150,220
2,165,000 Ohio Power Co., Series K
6.000%, due
06/01/16........... 2,134,885
2,925,000 Pacific Gas & Electric Co.
6.050%, due
03/01/34........... 2,760,659
2,400,000 Progress Energy, Inc.
7.750%, due
03/01/31........... 2,676,989
1,200,000 Sierra Pacific Power Co. (C)
6.000%, due
05/15/16........... 1,140,890
3,500,000 Southern Power Co., Series B
6.250%, due
07/15/12........... 3,527,990
3,000,000 Wisconsin Electric Power
6.500%, due
06/01/28........... 3,088,956
-----------
22,697,811
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$166,110,663 )..... 159,986,664
-----------
MORTGAGE BACKED - 22.35%
- -------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 4.95%
5,312,051 5.000%, due 05/01/18
Pool # E96322...... 5,124,846
5,031,883 Series 2659, Class NJ
3.000%, due
10/15/21........... 4,956,772
164,052 8.000%, due 06/01/30
Pool # C01005...... 173,049
892,201 7.000%, due 03/01/31
Pool # C48129...... 914,493
348,527 6.500%, due 03/01/32
Pool # C65648...... 351,804
5,017,613 5.000%, due 07/01/33
Pool # A11325...... 4,708,536
1,299,446 6.000%, due 10/01/34
Pool # A28439...... 1,282,009
1,355,182 6.000%, due 10/01/34
Pool # A28598...... 1,336,997
8,275,660 5.500%, due 11/01/34
Pool # A28282...... 7,969,678
</Table>
- --------------------------------------------------------------------------------
23
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
FEDERAL HOME LOAN
MORTGAGE CORP. (CONTINUED)
$ 726,905 5.000%, due 04/01/35
Pool # A32314...... $ 679,385
1,648,058 5.000%, due 04/01/35
Pool # A32315...... 1,540,320
2,009,133 5.000%, due 04/01/35
Pool # A32316...... 1,877,791
559,996 5.000%, due 04/01/35
Pool # A32509...... 523,387
-----------
31,439,067
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 17.27%
4,382,908 4.000%, due 04/01/15
Pool # 255719...... 4,098,775
5,834,601 5.500%, due 04/01/16
Pool # 745444...... 5,745,418
307,027 6.000%, due 05/01/16
Pool # 582558...... 308,140
1,341,766 5.500%, due 09/01/17
Pool # 657335...... 1,319,558
1,998,003 5.500%, due 02/01/18
Pool # 673194...... 1,964,935
5,369,139 5.000%, due 05/01/20
Pool # 813965...... 5,172,626
4,665,005 4.500%, due 09/01/20
Pool # 835465...... 4,409,551
746,561 6.000%, due 05/01/21
Pool # 253847...... 744,100
240,296 7.000%, due 12/01/29
Pool # 762813...... 246,548
326,921 7.000%, due 11/01/31
Pool # 607515...... 334,967
550,409 6.500%, due 03/01/32
Pool # 631377...... 555,267
11,715 7.000%, due 04/01/32
Pool # 641518...... 12,001
519,838 7.000%, due 05/01/32
Pool # 644591...... 532,631
5,039,508 6.500%, due 06/01/32
Pool # 545691...... 5,083,986
5,817,086 5.500%, due 04/01/33
Pool # 690206...... 5,611,745
7,440,685 5.000%, due 10/01/33
Pool # 254903...... 6,989,046
7,921,396 5.500%, due 11/01/33
Pool # 555880...... 7,641,774
152,786 5.000%, due 05/01/34
Pool # 782214...... 143,276
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 1,923,964 5.000%, due 06/01/34
Pool # 778891...... $ 1,804,210
7,653,416 5.500%, due 06/01/34
Pool # 780384...... 7,370,641
183,096 7.000%, due 07/01/34
Pool # 792636...... 187,350
939,665 5.500%, due 08/01/34
Pool # 793647...... 904,947
4,456,012 5.500%, due 03/01/35
Pool # 810075...... 4,282,996
3,722,203 5.500%, due 03/01/35
Pool # 815976...... 3,577,679
4,199,208 5.500%, due 07/01/35
Pool # 825283...... 4,036,163
5,740,224 5.000%, due 08/01/35
Pool # 829670...... 5,369,261
2,433,965 5.500%, due 08/01/35
Pool # 826872...... 2,339,460
4,517,608 5.000%, due 09/01/35
Pool # 820347...... 4,225,657
5,021,405 5.000%, due 09/01/35
Pool # 835699...... 4,696,896
7,974,504 5.000%, due 10/01/35
Pool # 797669...... 7,459,150
1,134,548 5.500%, due 10/01/35
Pool # 836912...... 1,090,497
6,053,115 5.000%, due 11/01/35
Pool # 844809...... 5,661,931
6,146,133 5.000%, due 12/01/35
Pool # 850561...... 5,748,938
-----------
109,670,120
-----------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 0.13%
93,896 8.000%, due 10/20/15
Pool # 002995...... 99,075
369,413 6.500%, due 02/20/29
Pool # 002714...... 373,665
376,701 6.500%, due 04/20/31
Pool # 003068...... 380,510
-----------
853,250
-----------
TOTAL MORTGAGE BACKED
( Cost
$146,903,845 )..... 141,962,437
-----------
</Table>
- --------------------------------------------------------------------------------
24
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 35.58%
- -------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.64%
$ 4,000,000 5.875%, due
10/03/16........... $ 4,096,900
-----------
FEDERAL HOME LOAN
MORTGAGE CORP. - 2.77%
10,000,000 5.500%, due
07/15/06........... 9,999,770
2,500,000 4.875%, due
11/15/13........... 2,405,525
5,500,000 4.500%, due
01/15/14........... 5,164,973
-----------
17,570,268
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 1.66%
$ 4,675,000 4.000%, due
09/02/08........... 4,526,746
2,400,000 5.250%, due
08/01/12........... 2,344,951
3,905,000 4.625%, due
10/15/14 (O)....... 3,679,803
-----------
10,551,500
-----------
U.S. TREASURY BONDS - 4.12%
14,825,000 6.250%, due
05/15/30 (O)....... 16,791,625
9,250,000 5.375%, due
02/15/31 (O)....... 9,409,710
-----------
26,201,335
-----------
U.S. TREASURY NOTES - 26.39%
2,750,000 2.875%, due
11/30/06........... 2,723,358
19,000,000 3.125%, due
01/31/07 (O)....... 18,764,723
3,700,000 3.375%, due
02/28/07 (O)....... 3,654,183
12,000,000 3.625%, due
04/30/07 (O)....... 11,836,872
2,500,000 4.000%, due
08/31/07 (O)....... 2,464,745
4,160,000 3.000%, due
11/15/07 (O)....... 4,038,936
10,000,000 4.625%, due
03/31/08 (O)....... 9,905,470
6,400,000 4.875%, due
04/30/08 (O)....... 6,365,248
5,200,000 3.750%, due
05/15/08 (O)....... 5,068,580
7,740,000 3.000%, due
02/15/09 (O)....... 7,337,280
12,000,000 2.625%, due
03/15/09 (O)....... 11,250,468
6,000,000 3.500%, due
02/15/10 (O)....... 5,682,654
12,625,000 3.875%, due
05/15/10 (O)....... 12,082,024
8,750,000 3.875%, due
09/15/10 (O)....... 8,349,416
13,000,000 4.500%, due
11/15/10 (O)....... 12,698,361
23,100,000 4.875%, due
02/15/12 (O)....... 22,847,332
1,915,000 4.000%, due
02/15/14 (O)....... 1,779,004
6,565,000 4.250%, due
11/15/14 (O)....... 6,174,179
2,750,000 4.000%, due
02/15/15 (O)....... 2,534,081
2,975,000 4.125%, due
05/15/15 (O)....... 2,762,451
5,900,000 4.250%, due
08/15/15 (O)....... 5,520,418
3,945,000 4.500%, due
11/15/15 (O)....... 3,757,612
-----------
167,597,395
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$230,600,548 )..... 226,017,398
-----------
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 28.03%
- -------------------------------------------------
3 J.P. Morgan Prime
Money
Market Fund........ $ 3
26,320,567 SSgA Prime Money
Market Fund........ 26,320,567
151,749,171 State Street
Navigator
Securities
Lending Portfolio
(I)................ 151,749,171
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$178,069,741)...... 178,069,741
-----------
TOTAL INVESTMENTS - 122.83%
- -------------------------------------------------
( Cost $798,238,833** )............. 780,220,407
NET OTHER ASSETS AND LIABILITIES - (22.83)%
- -------------------------------------------------
(145,033,480)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 635,186,927
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$799,094,070.
(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 0.57% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of June 30, 2006.
(I) Represents investments of cash collateral received
in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient
collateral market value. If collateral market value falls below a stated
level, the issuer will either initiate a clean-up call or increase the
stated interest rate.
(O) All (or portion of security) on loan.
PLC Public Limited Company.
- --------------------------------------------------------------------------------
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 - 93.54%
- -------------------------------------------------
AEROSPACE/DEFENSE - 3.36%
$ 440,000 Argo-Tech Corp.
9.250%, due
06/01/11............ $ 453,200
500,000 Armor Holdings, Inc.
(O)
8.250%, due
08/15/13............ 517,500
920,000 BE Aerospace, Inc.,
Series B
8.875%, due
05/01/11............ 952,200
548,000 DI Finance/DynCorp
International,
Series B
9.500%, due
02/15/13............ 569,920
400,000 DRS Technologies, Inc.
6.875%, due
11/01/13............ 385,000
500,000 DRS Technologies, Inc.
7.625%, due
02/01/18............ 497,500
800,000 K&F Acquisition, Inc.
7.750%, due
11/15/14............ 788,000
350,000 L-3 Communications Corp.
6.125%, due
01/15/14............ 332,500
300,000 L-3 Communications Corp., Series B
6.375%, due
10/15/15............ 286,500
-----------
4,782,320
-----------
APPAREL/TEXTILES - 0.76%
400,000 Levi Strauss & Co. (G)(O)
9.740%, due
04/01/12............ 407,000
335,000 Levi Strauss & Co.
12.250%, due
12/15/12............ 370,175
300,000 Warnaco, Inc.
8.875%, due
06/15/13............ 304,500
-----------
1,081,675
-----------
AUTO PARTS & EQUIPMENT - 1.18%
750,000 Goodyear Tire & Rubber Co. (O)
7.857%, due
08/15/11............ 695,625
1,000,000 United Components, Inc.
9.375%, due
06/15/13............ 985,000
-----------
1,680,625
-----------
AUTOMOTIVE - 0.80%
700,000 Ford Motor Credit Co.
6.625%, due
06/16/08............ 666,256
500,000 General Motors Acceptance Corp. (O)
6.750%, due
12/01/14............ 464,410
-----------
1,130,666
-----------
BEVERAGE/FOOD - 2.05%
500,000 B&G Foods, Inc.
8.000%, due
10/01/11............ 500,000
500,000 Del Monte Corp.
8.625%, due
12/15/12............ 515,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
BEVERAGE/FOOD (CONTINUED)
$ 400,000 Del Monte Corp.
6.750%, due
02/15/15............ $ 371,000
180,000 Michael Foods, Inc.
8.000%, due
11/15/13............ 176,850
400,000 NBTY, Inc.
7.125%, due
10/01/15............ 376,000
1,000,000 Pinnacle Foods Holding Corp. (O)
8.250%, due
12/01/13............ 982,500
-----------
2,921,350
-----------
BUILDING & CONSTRUCTION - 0.53%
750,000 Interline Brands, Inc.
8.125%, due
06/15/14............ 748,125
-----------
BUILDING MATERIALS - 2.57%
1,000,000 Goodman Global Holdings, Inc. (O)
7.875%, due
12/15/12............ 955,000
300,000 Interface, Inc.
7.300%, due
04/01/08............ 301,500
290,000 Interface, Inc. (O)
10.375%, due
02/01/10............ 317,188
500,000 Jacuzzi Brands, Inc.
9.625%, due
07/01/10............ 528,125
591,000 Nortek, Inc.
8.500%, due
09/01/14............ 571,792
1,000,000 U.S. Concrete, Inc. (C)(H)(L)
8.375%, due
04/01/14............ 982,600
-----------
3,656,205
-----------
CHEMICALS - 2.01%
505,000 Equistar Chemicals
L.P./ Equistar
Funding Corp.
10.625%, due
05/01/11............ 542,244
571,000 Huntsman International LLC (O)
10.125%, due
07/01/09............ 579,565
112,000 Lyondell Chemical Co.
9.500%, due
12/15/08............ 115,080
80,000 Nalco Co.
7.750%, due
11/15/11............ 79,800
600,000 Nalco Co. (O)
8.875%, due
11/15/13............ 604,500
244,000 Rhodia S.A. (D)(O)
10.250%, due
06/01/10............ 260,470
149,000 Rockwood Specialties Group, Inc.
10.625%, due
05/15/11............ 159,244
530,000 Rockwood Specialties Group, Inc.
7.500%, due
11/15/14............ 519,400
-----------
2,860,303
-----------
CONSUMER PRODUCTS - 5.05%
400,000 American Achievement Corp. (O)
8.250%, due
04/01/12............ 394,000
</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)
- -------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
$ 600,000 Central Garden and Pet Co.
9.125%, due
02/01/13............ $ 618,000
250,000 Chattem, Inc. (O)
7.000%, due
03/01/14............ 242,500
500,000 Church & Dwight Co., Inc.
6.000%, due
12/15/12............ 462,500
290,000 Da-Lite Screen Co., Inc.
9.500%, due
05/15/11............ 307,400
550,000 Elizabeth Arden, Inc.
7.750%, due
01/15/14............ 540,375
650,000 Jarden Corp. (O)
9.750%, due
05/01/12............ 663,000
800,000 Leslie's Poolmart
7.750%, due
02/01/13............ 776,000
600,000 Playtex Products, Inc. (O)
9.375%, due
06/01/11............ 624,750
300,000 Samsonite Corp.
8.875%, due
06/01/11............ 311,250
1,100,000 Simmons Bedding Co. (O)
7.875%, due
01/15/14............ 1,028,500
500,000 Visant Corp.
7.625%, due
10/01/12............ 485,000
750,000 Visant Holding Corp. (C)(O)
8.750%, due
12/01/13............ 723,750
-----------
7,177,025
-----------
ENVIRONMENTAL - 2.47%
315,000 Allied Waste North America, Inc.
7.875%, due
04/15/13............ 315,000
500,000 Allied Waste North America, Inc.
(C)(O)
7.125%, due
05/15/16............ 471,250
300,000 Allied Waste North America, Inc.,
Series B
8.500%, due
12/01/08............ 310,500
600,000 Casella Waste Systems, Inc.
9.750%, due
02/01/13............ 630,000
800,000 Waste Connections, Inc. (C)(O)(P)
3.750%, due
04/01/26............ 770,000
1,000,000 WCA Waste Corp. (C)(H)
9.250%, due
06/15/14............ 1,010,000
-----------
3,506,750
-----------
FOOD & DRUG RETAILERS - 1.64%
250,000 Ingles Markets, Inc.
8.875%, due
12/01/11............ 261,562
1,100,000 Rite Aid Corp.
7.125%, due
01/15/07............ 1,097,250
750,000 Rite Aid Corp. (O)
9.250%, due
06/01/13............ 720,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FOOD & DRUG RETAILERS (CONTINUED)
$ 250,000 Stater Brothers Holdings
8.125%, due
06/15/12............ $ 246,875
-----------
2,325,687
-----------
FORESTRY/PAPER - 2.61%
500,000 Abitibi-Consolidated Co. of Canada
(D)(O)
8.375%, due
04/01/15............ 456,250
750,000 Abitibi-Consolidated, Inc. (D)(G)(O)
8.829%, due
06/15/11............ 731,250
350,000 Boise Cascade LLC, Series B (G)(O)
7.943%, due
10/15/12............ 348,250
350,000 Cascades, Inc. (D)
7.250%, due
02/15/13............ 323,750
145,000 Catalyst Paper Corp. (D)
7.375%, due
03/01/14............ 129,775
600,000 Catalyst Paper Corp., Series D (D)
8.625%, due
06/15/11............ 585,000
355,000 JSG Funding PLC (D)
9.625%, due
10/01/12............ 365,650
750,000 Smurfit-Stone Container Enterprises,
Inc.
9.750%, due
02/01/11............ 770,625
-----------
3,710,550
-----------
GAMING - 7.77%
500,000 American Casino & Entertainment
Properties LLC
7.850%, due
02/01/12............ 501,250
500,000 Boyd Gaming Corp.
8.750%, due
04/15/12............ 523,750
470,000 Boyd Gaming Corp. (O)
6.750%, due
04/15/14............ 445,912
750,000 CCM Merger, Inc. (C)(O)
8.000%, due
08/01/13............ 708,750
200,000 Chukchansi Economic Development
Authority (C)(G)
8.780%, due
11/15/12............ 204,000
500,000 Chukchansi Economic Development
Authority (C)
8.000%, due
11/15/13............ 503,125
650,000 Global Cash Access LLC/Global Cash
Finance Corp.
8.750%, due
03/15/12............ 684,938
500,000 Hard Rock Hotel, Inc.
8.875%, due
06/01/13............ 536,875
850,000 Herbst Gaming, Inc.
7.000%, due
11/15/14............ 807,500
500,000 Isle of Capri Casinos, Inc.
9.000%, due
03/15/12............ 521,875
800,000 Isle of Capri Casinos, Inc.
7.000%, due
03/01/14............ 755,000
</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)
- -------------------------------------------------
GAMING (CONTINUED)
$ 900,000 Kerzner International Ltd. (D)
6.750%, due
10/01/15............ $ 939,375
255,000 Mandalay Resort Group
9.375%, due
02/15/10............ 268,388
545,000 MGM Mirage
8.375%, due
02/01/11............ 558,625
250,000 MGM Mirage
6.625%, due
07/15/15............ 233,125
1,000,000 MTR Gaming Group, Inc., Series B (O)
9.750%, due
04/01/10............ 1,056,250
500,000 Pinnacle Entertainment, Inc.
8.250%, due
03/15/12............ 501,250
365,000 Pinnacle Entertainment, Inc. (O)
8.750%, due
10/01/13............ 380,512
345,000 Scientific Games Corp.
6.250%, due
12/15/12............ 322,575
300,000 Seneca Gaming Corp.
7.250%, due
05/01/12............ 290,625
300,000 Seneca Gaming Corp., Series B
7.250%, due
05/01/12............ 290,625
-----------
11,034,325
-----------
GENERAL INDUSTRIAL &
MANUFACTURING - 1.59%
500,000 Chart Industries, Inc./Pre First
Reserve Fund X L.P. Merger (C)
9.125%, due
10/15/15............ 510,000
700,000 Hexcel Corp.
6.750%, due
02/01/15............ 654,500
550,000 Mueller Group, Inc.
10.000%, due
05/01/12............ 591,250
500,000 Wesco Distribution, Inc. (C)
7.500%, due
10/15/17............ 500,000
-----------
2,255,750
-----------
HEALTH CARE - 5.45%
500,000 Alderwoods Group,
Inc.
7.750%, due
09/15/12............ 527,500
600,000 Angiotech Pharmaceuticals, Inc.
(C)(D)
7.750%, due
04/01/14............ 573,000
600,000 Carriage Services, Inc.
7.875%, due
01/15/15............ 585,000
600,000 DaVita, Inc.
7.250%, due
03/15/15............ 576,000
175,000 Extendicare Health Services, Inc.
6.875%, due
05/01/14............ 182,875
400,000 Fisher Scientific International,
Inc.
6.125%, due
07/01/15............ 385,500
250,000 Hanger Orthopedic Group, Inc. (C)
10.250%, due
06/01/14............ 247,500
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
HEALTH CARE (CONTINUED)
$ 300,000 HCA, Inc. (O)
6.375%, due
01/15/15............ $ 277,965
300,000 IASIS Healthcare LLC/IASIS Capital
Corp.
8.750%, due
06/15/14............ 294,000
200,000 Omega Healthcare Investors, Inc.
7.000%, due
04/01/14............ 189,000
500,000 Psychiatric Solutions, Inc.
7.750%, due
07/15/15............ 489,375
500,000 Res-Care, Inc.
7.750%, due
10/15/13............ 496,250
500,000 Teva Pharmaceutical Finance LLC,
Series C (O)(P)
0.250%, due
02/01/26............ 471,875
750,000 Triad Hospitals, Inc.
7.000%, due
11/15/13............ 729,375
1,000,000 Vanguard Health Holding Co., II LLC
9.000%, due
10/01/14............ 997,500
495,000 Warner Chilcott Corp.
8.750%, due
02/01/15............ 509,850
250,000 Watson Pharmaceuticals, Inc. (P)
1.750%, due
03/15/23............ 219,375
-----------
7,751,940
-----------
HOTELS - 1.21%
600,000 Gaylord Entertainment Co.
8.000%, due
11/15/13............ 599,250
250,000 Host Marriott L.P., Series G
9.250%, due
10/01/07............ 257,812
200,000 Host Marriott L.P., Series O
6.375%, due
03/15/15............ 188,000
645,000 Starwood Hotels & Resorts Worldwide,
Inc.
7.875%, due
05/01/12............ 673,219
-----------
1,718,281
-----------
LEISURE & ENTERTAINMENT - 1.07%
700,000 Intrawest Corp. (D)
7.500%, due
10/15/13............ 696,500
650,000 Speedway Motorsports, Inc.
6.750%, due
06/01/13............ 630,500
192,000 Town Sports International, Inc.
9.625%, due
04/15/11............ 198,240
-----------
1,525,240
-----------
MEDIA - BROADCASTING - 2.50%
754,000 Allbritton Communications Co.
7.750%, due
12/15/12............ 746,460
400,000 Gray Television, Inc.
9.250%, due
12/15/11............ 416,000
100,000 LIN Television Corp. (O)
6.500%, due
05/15/13............ 91,250
</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)
- -------------------------------------------------
MEDIA - BROADCASTING (CONTINUED)
$ 550,000 LIN Television Corp., Series B
6.500%, due
05/15/13............ $ 501,875
350,000 Radio One, Inc.
6.375%, due
02/15/13............ 320,250
400,000 Radio One, Inc., Series B
8.875%, due
07/01/11............ 414,500
320,000 Salem Communications Holding Corp.,
Series B
9.000%, due
07/01/11............ 334,400
500,000 Sinclair Broadcast Group, Inc.
8.000%, due
03/15/12............ 507,500
250,000 XM Satellite Radio, Inc. (C)(O)
9.750%, due
05/01/14............ 228,750
-----------
3,560,985
-----------
MEDIA - CABLE - 5.68%
1,000,000 Cablevision Systems Corp., Series B
(G)
9.620%, due
04/01/09............ 1,060,000
250,000 Cablevision Systems Corp., Series B
(O)
8.000%, due
04/15/12............ 246,562
750,000 EchoStar Communications Corp. (O)(P)
5.750%, due
05/15/08............ 735,000
600,000 Insight Communications Co., Inc. (O)
12.250%, due
02/15/11............ 634,500
600,000 Insight Midwest L.P./Insight
Capital, Inc.
10.500%, due
11/01/10............ 625,500
1,000,000 Kabel Deutschland GmbH (C)(D)
10.625%, due
07/01/14............ 1,055,000
1,000,000 Lodgenet Entertainment Corp.
9.500%, due
06/15/13............ 1,065,000
300,000 Mediacom Broadband LLC
8.500%, due
10/15/15............ 288,000
1,000,000 Mediacom LLC/Mediacom Capital Corp.
(O)
9.500%, due
01/15/13............ 995,000
1,000,000 Telenet Group Holding N.V.
(B)(C)(D)(O)
0.000%, due
06/15/14............ 847,500
550,000 Videotron Ltee (D)
6.875%, due
01/15/14............ 521,125
-----------
8,073,187
-----------
MEDIA - DIVERSIFIED &
SERVICES - 4.15%
500,000 Advanstar Communications, Inc.
10.750%, due
08/15/10............ 536,250
750,000 Advanstar
Communications,
Inc., Series B
12.000%, due
02/15/11............ 789,375
650,000 Hughes Network Systems LLC/HNS
Finance Corp. (C)
9.500%, due
04/15/14............ 637,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MEDIA - DIVERSIFIED & SERVICES
(CONTINUED)
$ 500,000 Intelsat Bermuda, Ltd. (C)(D)(H)
9.250%, due
06/15/16............ $ 516,250
500,000 Intelsat Bermuda, Ltd. (C)(D)(H)
11.250%, due
06/15/16............ 512,500
400,000 Intelsat Subsidiary Holding Co.,
Ltd. (G)
9.614%, due
01/15/12............ 404,000
210,000 Lamar Media Corp.
7.250%, due
01/01/13............ 205,275
500,000 Lamar Media Corp.
6.625%, due
08/15/15............ 462,500
500,000 LBI Media, Inc.
10.125%, due
07/15/12............ 532,500
300,000 New Skies Satellites N.V. (D)(G)
10.414%, due
11/01/11............ 309,750
340,000 PanAmSat Holding Corp. (B)
0.000%, due
11/01/14............ 251,325
750,000 Quebecor Media, Inc. (C)(D)
7.750%, due
03/15/16............ 735,000
-----------
5,891,725
-----------
METALS AND MINING - 1.18%
600,000 Alpha Natural
Resources LLC/ Alpha
Natural Resources
Capital Corp.
10.000%, due
06/01/12............ 642,000
250,000 Arch Western Finance LLC
6.750%, due
07/01/13............ 239,375
510,000 Foundation PA Coal Co.
7.250%, due
08/01/14............ 497,250
300,000 Massey Energy Co.
6.625%, due
11/15/10............ 295,500
-----------
1,674,125
-----------
NON FOOD & DRUG RETAILERS - 3.53%
500,000 Affinity Group, Inc.
9.000%, due
02/15/12............ 497,500
1,250,000 Autonation, Inc. (C)(G)
7.045%, due
04/15/13............ 1,243,750
500,000 Buhrmann U.S., Inc. (O)
7.875%, due
03/01/15............ 493,750
750,000 Burlington Coat Factory Warehouse
Corp. (C)(O)
11.125%, due
04/15/14............ 727,500
250,000 GSC Holdings Corp. (G)
8.865%, due
10/01/11............ 256,875
400,000 Pantry, Inc.
7.750%, due
02/15/14............ 396,000
350,000 Petro Stopping Centers L.P./Petro
Financial Corp.
9.000%, due
02/15/12............ 347,375
</Table>
- --------------------------------------------------------------------------------
29
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)
- -------------------------------------------------
NON FOOD & DRUG RETAILERS
(CONTINUED)
$1,000,000 Stripes Acquisition LLC/Susser
Finance Corp. (C)
10.625%, due
12/15/13............ $ 1,055,000
-----------
5,017,750
-----------
OIL & GAS - 4.38%
470,000 Chesapeake Energy
Corp.
6.875%, due
01/15/16............ 444,150
700,000 Compton Petroleum Finance Corp.
7.625%, due
12/01/13............ 668,500
400,000 Comstock Resources, Inc.
6.875%, due
03/01/12............ 373,500
350,000 Denbury Resources, Inc.
7.500%, due
04/01/13............ 350,000
250,000 Denbury Resources, Inc.
7.500%, due
12/15/15............ 248,750
300,000 Encore Acquisition Co.
6.250%, due
04/15/14............ 276,000
500,000 Encore Acquisition Co.
6.000%, due
07/15/15............ 450,000
750,000 Exco Resources, Inc.
7.250%, due
01/15/11............ 720,000
320,000 Hanover Compressor Co.
9.000%, due
06/01/14............ 334,400
750,000 Harvest Operations Corp. (D)(O)
7.875%, due
10/15/11............ 712,500
500,000 Mariner Energy, Inc. (C)
7.500%, due
04/15/13............ 481,250
320,000 Plains Exploration & Production Co.
(O)
7.125%, due
06/15/14............ 315,200
500,000 Range Resources Corp.
6.375%, due
03/15/15............ 461,250
400,000 Whiting Petroleum Corp. (O)
7.250%, due
05/01/13............ 383,000
-----------
6,218,500
-----------
PACKAGING - 1.75%
750,000 BWAY Corp.
10.000%, due
10/15/10............ 787,500
750,000 Crown Americas LLC and Crown
Americas Capital Corp. (C)
7.625%, due
11/15/13............ 736,875
270,000 Owens-Brockway Glass Container, Inc.
8.875%, due
02/15/09............ 278,100
700,000 Silgan Holdings, Inc.
6.750%, due
11/15/13............ 682,500
-----------
2,484,975
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
PRINTING & PUBLISHING - 3.40%
$1,000,000 CBD Media, Inc.
8.625%, due
06/01/11............ $ 995,000
1,115,000 Dex Media, Inc. (B)(O)
0.000%, due
11/15/13............ 939,388
194,000 Dex Media West
LLC/Dex Media
Finance Co., Series
B
9.875%, due
08/15/13............ 210,247
1,000,000 Houghton Mifflin Co.
9.875%, due
02/01/13............ 1,037,500
300,000 Morris Publishing Group LLC
7.000%, due
08/01/13............ 285,000
1,000,000 RH Donnelley Corp. (C)
6.875%, due
01/15/13............ 920,000
400,000 RH Donnelley, Inc.
10.875%, due
12/15/12............ 439,000
-----------
4,826,135
-----------
RESTAURANTS - 0.29%
397,000 Domino's, Inc.
8.250%, due
07/01/11............ 411,888
-----------
STEEL - 0.20%
300,000 Valmont Industries, Inc.
6.875%, due
05/01/14............ 289,500
-----------
SUPPORT SERVICES - 6.62%
500,000 Ahern Rentals, Inc.
9.250%, due
08/15/13............ 505,000
300,000 Ashtead Holdings PLC (C)(D)
8.625%, due
08/01/15............ 303,000
500,000 Avis Budget Car Rental LLC/Avis
Budget Finance, Inc. (C)(G)
7.576%, due
05/15/14............ 498,750
500,000 Cardtronics, Inc. (C)
9.500%, due
08/15/13............ 492,500
750,000 Education Management LLC/Education
Management Corp. (C)
10.250%, due
06/01/16............ 746,250
550,000 H&E Equipment
Services LLC/
H&E Finance Corp.
11.125%, due
06/15/12............ 607,360
1,000,000 Hertz Corp. (C)
8.875%, due
01/01/14............ 1,025,000
500,000 Hertz Corp. (C)(O)
10.500%, due
01/01/16............ 530,000
640,000 Iron Mountain, Inc.
8.625%, due
04/01/13............ 640,000
140,000 Iron Mountain, Inc. (O)
7.750%, due
01/15/15............ 133,700
500,000 Mac-Gray Corp.
7.625%, due
08/15/15............ 505,000
</Table>
- --------------------------------------------------------------------------------
30
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)
- -------------------------------------------------
SUPPORT SERVICES (CONTINUED)
$1,100,000 NationsRent Cos., Inc.
9.500%, due
05/01/15............ $ 1,163,250
400,000 Norcross Safety Products
LLC/Norcross Capital Corp., Series B
9.875%, due
08/15/11............ 415,000
900,000 United Rentals North America, Inc.
(O)
7.750%, due
11/15/13............ 855,000
600,000 Williams Scotsman, Inc.
8.500%, due
10/01/15............ 592,500
400,000 Williams Scotsman, Inc. (C)
8.500%, due
10/01/15............ 395,000
-----------
9,407,310
-----------
TECHNOLOGY - 3.97%
500,000 Flextronics International, Ltd.
(D)(O)(P)
1.000%, due
08/01/10............ 465,000
500,000 Flextronics International, Ltd. (D)
6.500%, due
05/15/13............ 475,000
350,000 Ikon Office Solutions, Inc. (O)
7.750%, due
09/15/15............ 346,500
315,000 Lucent Technologies, Inc. (O)
5.500%, due
11/15/08............ 307,125
1,000,000 Lucent Technologies,
Inc.
6.450%, due
03/15/29............ 850,000
750,000 Serena Software, Inc. (C)
10.375%, due
03/15/16............ 753,750
500,000 Sungard Data Systems, Inc. (C)
9.125%, due
08/15/13............ 518,750
250,000 Sungard Data Systems, Inc. (C)(G)
9.431%, due
08/15/13............ 261,562
500,000 Sungard Data Systems, Inc. (C)
10.250%, due
08/15/15............ 516,875
600,000 Syniverse Technologies, Inc., Series
B
7.750%, due
08/15/13............ 583,500
400,000 Xerox Capital Trust I
8.000%, due
02/01/27............ 401,500
155,000 Xerox Corp.
7.625%, due
06/15/13............ 156,162
-----------
5,635,724
-----------
TELECOMMUNICATIONS - 8.26%
948,000 Alamosa Delaware, Inc. (O)
12.000%, due
07/31/09............ 1,007,250
1,150,000 American Cellular Corp., Series B
10.000%, due
08/01/11............ 1,210,375
280,000 Centennial Cellular Operating
Co./Centennial Communications Corp.
10.125%, due
06/15/13............ 294,700
1,000,000 Centennial Communications Corp. (G)
10.740%, due
01/01/13............ 1,020,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
TELECOMMUNICATIONS (CONTINUED)
$ 650,000 Centennial Communications
Corp./Cellular Operating Co.
LLC/Puerto Rico Operations
8.125%, due
02/01/14............ $ 625,625
1,000,000 Cincinnati Bell, Inc. (O)
8.375%, due
01/15/14............ 985,000
400,000 Cincinnati Bell, Inc.
7.000%, due
02/15/15............ 377,000
280,000 Eircom Funding (D)
8.250%, due
08/15/13............ 296,800
1,500,000 Nordic Telephone Co. Holdings ApS
(C)(D)
8.875%, due
05/01/16............ 1,541,250
750,000 Qwest Communications International,
Inc. (G)
8.670%, due
02/15/09............ 764,062
230,000 Qwest Corp.
7.625%, due
06/15/15............ 227,125
500,000 Rural Cellular Corp.
8.250%, due
03/15/12............ 513,125
1,000,000 Time Warner Telecom Holdings, Inc.
9.250%, due
02/15/14............ 1,025,000
1,000,000 UbiquiTel Operating Co.
9.875%, due
03/01/11............ 1,087,500
750,000 Windstream Corp. (C)(H)
8.625%, due
08/01/16............ 766,875
-----------
11,741,687
-----------
TRANSPORTATION - 0.75%
500,000 CHC Helicopter Corp. (D)
7.375%, due
05/01/14............ 480,000
605,000 Gulfmark Offshore, Inc.
7.750%, due
07/15/14............ 589,875
-----------
1,069,875
-----------
UTILITIES - 4.76%
750,000 Dynegy Holdings, Inc. (C)(O)
8.375%, due
05/01/16............ 738,750
950,000 Edison Mission Energy
7.730%, due
06/15/09............ 959,500
750,000 Edison Mission Energy (C)
7.750%, due
06/15/16............ 736,875
500,000 Ferrellgas Partners L.P./Ferrellgas
Partners Finance
8.750%, due
06/15/12............ 507,500
300,000 Holly Energy Partners L.P.
6.250%, due
03/01/15............ 274,500
750,000 Inergy L.P./Inergy Finance Corp.
6.875%, due
12/15/14............ 697,500
300,000 Mirant Americas Generation LLC
8.300%, due
05/01/11............ 296,250
1,000,000 Mirant North America LLC (C)
7.375%, due
12/31/13............ 965,000
</Table>
- --------------------------------------------------------------------------------
31
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)
- -------------------------------------------------
UTILITIES (CONTINUED)
$ 335,000 NorthWestern Corp.
5.875%, due
11/01/14............ $ 328,205
750,000 NRG Energy, Inc.
7.375%, due
02/01/16............ 731,250
53,000 Sierra Pacific Resources (O)
8.625%, due
03/15/14............ 56,145
500,000 Suburban Propane Partners
L.P./Suburban Energy Finance Corp.
(O)
6.875%, due
12/15/13............ 467,500
-----------
6,758,975
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$135,532,728 )...... 132,929,158
-----------
<Caption>
Shares
- ------
PREFERRED STOCKS - 1.67%
- -------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.72%
42,195 General Motors Corp.,
Series A (O)(P)..... 1,029,980
-----------
OIL & GAS - 0.31%
4,700 Chesapeake Energy
Corp. (O)(P)........ 438,863
-----------
TELECOMMUNICATIONS - 0.64%
16,000 Crown Castle
International Corp.
(P)................. 908,000
-----------
TOTAL PREFERRED STOCKS
( Cost
$2,189,953 )........ 2,376,843
-----------
Par Value
- ----------
CERTIFICATE OF DEPOSIT - 0.77%
- -------------------------------------------------
1,093,928 State Street Eurodollar
2.800%, due
07/03/06............ 1,093,928
-----------
TOTAL CERTIFICATE OF DEPOSIT
( Cost
$1,093,928 )........ 1,093,928
-----------
Shares
- ----------
INVESTMENT COMPANIES - 23.70%
- -------------------------------------------------
6,366,433 SSgA Prime Money
Market Fund (N)..... 6,366,433
27,303,238 State Street
Navigator Securities
Lending Portfolio
(I)................. 27,303,238
-----------
TOTAL INVESTMENT COMPANIES
( Cost
$33,669,671 )....... 33,669,671
-----------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
TOTAL INVESTMENTS - 119.68%
- -------------------------------------------------
( Cost $172,486,280** )............ $170,069,600
NET OTHER ASSETS AND LIABILITIES - (19.68)%
- -------------------------------------------------
$ (27,960,071)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 142,109,529
- -------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$172,495,846.
(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 9.73% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of June 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.
(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).
(N) Security segregated for forward or when-issued
purchase commitments outstanding as of June 30, 2006.
(O) All (or portion of security) on loan.
(P) Convertible.
PLC Public Limited Company.
- --------------------------------------------------------------------------------
32
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 57.70%
- -------------------------------------------------
CONSUMER DISCRETIONARY - 4.78%
91,700 Comcast Corp.*..... $ 3,002,258
164,200 Home Depot,
Inc. .............. 5,876,718
36,700 Lowe's Cos.,
Inc. .............. 2,226,589
128,300 McDonald's
Corp. ............. 4,310,880
70,000 Newell Rubbermaid,
Inc. .............. 1,808,100
100,900 Target Corp. ...... 4,930,983
258,500 Time Warner,
Inc. .............. 4,472,050
84,750 Viacom, Inc.*...... 3,037,440
173,800 Walt Disney Co. ... 5,214,000
----------
34,879,018
----------
CONSUMER STAPLES - 6.11%
93,600 Altria Group,
Inc. .............. 6,873,048
78,600 Coca-Cola Co. ..... 3,381,372
44,500 Colgate-Palmolive
Co. ............... 2,665,550
70,704 CVS Corp. ......... 2,170,613
71,600 General Mills,
Inc. .............. 3,698,856
53,200 Kellogg Co. ....... 2,576,476
75,100 PepsiCo, Inc. ..... 4,509,004
165,900 Procter & Gamble
Co. ............... 9,224,040
196,900 Wal-Mart Stores,
Inc. .............. 9,484,673
----------
44,583,632
----------
ENERGY - 6.60%
123,100 Chevron Corp. ..... 7,639,586
124,900 ConocoPhillips..... 8,184,697
35,800 Devon Energy
Corp. ............. 2,162,678
28,800 EOG Resources,
Inc. .............. 1,996,992
185,300 Exxon Mobil
Corp. ............. 11,368,155
54,200 Marathon Oil
Corp. ............. 4,514,860
51,500 Schlumberger,
Ltd. .............. 3,353,165
45,462 Transocean,
Inc.*.............. 3,651,508
16,600 Valero Energy
Corp. ............. 1,104,232
84,700 Weatherford
International,
Ltd.*.............. 4,202,814
----------
48,178,687
----------
FINANCIALS - 11.69%
62,900 ACE, Ltd. ......... 3,182,111
42,714 Allstate Corp. .... 2,337,737
90,800 American Express
Co. ............... 4,832,376
114,800 American
International
Group, Inc. ....... 6,778,940
209,296 Bank of America
Corp. ............. 10,067,138
311,705 Citigroup, Inc. ... 15,036,649
33,200 Everest Re Group,
Ltd. .............. 2,874,124
71,600 Federal Home Loan
Mortgage Corp. .... 4,081,916
49,800 General Growth
Properties, Inc.,
REIT............... 2,243,988
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
17,900 Goldman Sachs
Group, Inc. ....... $ 2,692,697
161,654 J.P. Morgan Chase &
Co. ............... 6,789,468
40,900 Merrill Lynch &
Co., Inc. ......... 2,845,004
37,200 Morgan Stanley..... 2,351,412
66,300 National City
Corp. ............. 2,399,397
43,200 SunTrust Banks,
Inc. .............. 3,294,432
115,200 U.S. Bancorp....... 3,557,376
86,400 UnumProvident
Corp. ............. 1,566,432
41,100 Wachovia Corp. .... 2,222,688
91,700 Wells Fargo &
Co. ............... 6,151,236
----------
85,305,121
----------
HEALTH CARE - 7.73%
111,800 Abbott
Laboratories....... 4,875,598
63,200 Amgen, Inc.*....... 4,122,536
95,500 Baxter
International,
Inc. .............. 3,510,580
88,000 Bristol-Myers
Squibb Co. ........ 2,275,680
33,200 Cardinal Health,
Inc. .............. 2,135,756
26,200 Cigna Corp. ....... 2,580,962
45,900 Genzyme Corp.*..... 2,802,195
18,800 Gilead Sciences,
Inc.*.............. 1,112,208
165,000 Johnson &
Johnson............ 9,886,800
99,500 Medtronic, Inc. ... 4,668,540
271,019 Pfizer, Inc. ...... 6,360,816
76,800 Stryker Corp. ..... 3,234,048
68,900 UnitedHealth Group,
Inc. .............. 3,085,342
129,000 Wyeth.............. 5,728,890
----------
56,379,951
----------
INDUSTRIALS - 6.55%
16,400 3M Co. ............ 1,324,628
39,300 Burlington Northern
Santa Fe Corp. .... 3,114,525
22,000 Caterpillar,
Inc. .............. 1,638,560
35,800 FedEx Corp. ....... 4,183,588
531,600 General Electric
Co. ............... 17,521,536
94,200 Honeywell
International,
Inc. .............. 3,796,260
97,600 Illinois Tool
Works, Inc. (O).... 4,636,000
120,700 United Technologies
Corp. ............. 7,654,794
109,200 Waste Management,
Inc. .............. 3,918,096
----------
47,787,987
----------
INFORMATION TECHNOLOGY - 8.67%
96,900 Adobe Systems,
Inc.*.............. 2,941,884
90,600 Applied Materials,
Inc. .............. 1,474,968
50,600 Automatic Data
Processing,
Inc. .............. 2,294,710
181,200 Cisco Systems,
Inc.*.............. 3,538,836
94,300 Dell, Inc.*........ 2,301,863
78,600 eBay, Inc.*........ 2,302,194
414,100 EMC Corp./
Massachusetts*..... 4,542,677
</Table>
- --------------------------------------------------------------------------------
33
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
78,640 First Data
Corp. ............. $ 3,541,945
4,200 Google, Inc., Class
A*................. 1,761,186
108,500 Hewlett-Packard
Co. ............... 3,437,280
182,100 Intel Corp. ....... 3,450,795
76,400 International
Business Machines
Corp. ............. 5,869,048
70,000 Maxim Integrated
Products, Inc. .... 2,247,700
141,900 Micron Technology,
Inc.*.............. 2,137,014
402,500 Microsoft Corp. ... 9,378,250
153,700 Motorola, Inc. .... 3,097,055
24,900 NAVTEQ Corp.*...... 1,112,532
96,100 Oracle Corp.*...... 1,392,489
50,300 Qualcomm, Inc. .... 2,015,521
107,400 Texas Instruments,
Inc. .............. 3,253,146
36,700 Yahoo!, Inc.*...... 1,211,100
----------
63,302,193
----------
MATERIALS - 1.85%
53,600 Dow Chemical
Co. ............... 2,092,008
56,300 Inco, Ltd. (O)..... 3,710,170
88,200 Rohm & Haas Co. ... 4,420,584
53,200 Weyerhaeuser
Co. ............... 3,311,700
----------
13,534,462
----------
TELECOMMUNICATION SERVICES - 1.68%
170,200 BellSouth Corp. ... 6,161,240
32,100 NII Holdings,
Inc.*.............. 1,809,798
214,800 Sprint Nextel
Corp. ............. 4,293,852
----------
12,264,890
----------
UTILITIES - 2.04%
44,500 Dominion Resources,
Inc. .............. 3,328,155
81,200 Duke Energy
Corp. ............. 2,384,844
60,200 Exelon Corp. ...... 3,421,166
84,700 FPL Group, Inc. ... 3,504,886
57,200 PG&E Corp. ........ 2,246,816
----------
14,885,867
----------
TOTAL COMMON STOCKS
( Cost
$345,029,384 )..... 421,101,808
----------
<Caption>
Par Value
- ---------
ASSET BACKED - 1.45%
- -------------------------------------------------
$ 629,467 ABSC Long Beach Home Equity Loan
Trust,
Series 2000-LB1,
Class AF5 (M)
8.550%, due
09/21/30........... 627,705
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED (CONTINUED)
- -------------------------------------------------
$ 1,100,000 Ameriquest Mortgage Securities,
Inc.,
Series 2004-FR1,
Class M2 (M)
5.207%, due
05/25/34........... $ 1,056,717
1,300,000 Citibank Credit Card Issuance
Trust,
Series 2004-A1,
Class A1
2.550%, due
01/20/09........... 1,279,267
1,120,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2,
Class M1
3.950%, due
10/25/33........... 1,081,227
1,044,341 Green Tree Financial Corp.,
Series 1998-2,
Class A6
6.810%, due
12/01/27........... 1,033,827
1,400,000 Park Place Securities, Inc.,
Series 2004-WWF1,
Class M10 (G)(M)
7.823%, due
12/25/34........... 1,396,281
1,025,000 Renaissance Home Equity Loan Trust,
Series 2005-4,
Class M9 (M)
7.000%, due
02/25/36........... 963,180
1,335,788 Residential Asset Mortgage
Products, Inc.,
Series 2003-RS9,
Class AI5
4.990%, due
03/25/31........... 1,328,681
740,000 Soundview Home Equity Loan Trust,
Series 2005-B,
Class M6 (M)
6.175%, due
05/25/35........... 729,573
1,045,000 Wells Fargo Home Equity Trust,
Series 2004-2,
Class M8A (C)(G)
8.323%, due
03/25/33........... 1,044,968
----------
TOTAL ASSET BACKED
( Cost
$10,662,446 )...... 10,541,426
----------
COMMERCIAL MORTGAGE BACKED - 2.25%
- -------------------------------------------------
1,234,842 Bear Stearns Commercial Mortgage
Securities,
Series 2001-TOP4,
Class A1
5.060%, due
11/15/16........... 1,218,324
1,325,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16,
Class A2
3.700%, due
02/13/46........... 1,276,961
1,325,000 Bear Stearns Commercial Mortgage
Securities,
Series 2004-T16,
Class A6 (G)
4.750%, due
02/13/46........... 1,228,377
</Table>
- --------------------------------------------------------------------------------
34
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------
$ 765,000 Bear Stearns Commercial Mortgage
Securities,
Series 2005-T20,
Class F (C)(G)
5.156%, due
10/12/42........... $ 713,270
2,100,000 Government National Mortgage
Association,
Series 2004-43,
Class C (G)
5.008%, due
12/16/25........... 2,018,805
1,400,000 Greenwich Capital Commercial
Funding Corp.,
Series 2004-GG1,
Class A7 (G)
5.317%, due
06/10/36........... 1,351,954
1,600,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8,
Class A6 (G)
4.799%, due
12/15/29........... 1,490,529
2,600,000 Morgan Stanley Capital I,
Series 2004-HQ4,
Class A7
4.970%, due
04/14/40........... 2,444,800
2,500,000 Morgan Stanley Capital I,
Series 2004-T13,
Class A3
4.390%, due
09/13/45........... 2,331,497
775,000 Multi Security Asset Trust,
Series 2005-RR4A,
Class J (C)
5.880%, due
11/28/35........... 638,285
1,773,894 Wachovia Bank Commercial Mortgage
Trust,
Series 2003-C6,
Class A1
3.364%, due
08/15/35........... 1,714,100
----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost
$17,329,341 )...... 16,426,902
----------
PRIVATE LABEL MORTGAGE BACKED - 0.84%
- -------------------------------------------------
2,749,455 Bank of America Alternative Loan
Trust,
Series 2005-12,
Class 3CB1
6.000%, due
01/25/36........... 2,711,787
3,486,706 Bank of America Alternative Loan
Trust,
Series 2006-3,
Class 2CB1
6.000%, due
04/25/36........... 3,425,563
----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost
$6,175,456 )....... 6,137,350
----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 8.89%
- -------------------------------------------------
CAPITAL GOODS - 0.27%
$ 2,000,000 Caterpillar Financial Services
Corp.,
Series F
2.500%, due
10/03/06........... $ 1,985,064
----------
CONSUMER DISCRETIONARY - 0.77%
2,000,000 American Association of Retired
Persons (C)
7.500%, due
05/01/31........... 2,341,606
1,500,000 Carnival Corp. (D)
3.750%, due
11/15/07........... 1,457,402
1,850,000 Erac USA Finance Co. (C)
6.700%, due
06/01/34........... 1,827,204
----------
5,626,212
----------
CONSUMER STAPLES - 0.18%
1,400,000 Safeway, Inc.
4.125%, due
11/01/08........... 1,344,480
-----------
ENERGY - 0.70%
1,500,000 ConocoPhillips (O)
6.650%, due
07/15/18........... 1,587,921
1,030,000 Devon Financing Corp. ULC
7.875%, due
09/30/31........... 1,176,223
1,150,000 Hess Corp. (O)
7.875%, due
10/01/29........... 1,283,024
1,000,000 Pemex Project Funding Master Trust
7.375%, due
12/15/14........... 1,032,000
----------
5,079,168
----------
FINANCE - 1.57%
1,115,000 American General Finance Corp.
5.850%, due
06/01/13........... 1,105,353
1,500,000 American General Finance Corp.,
Series H
4.625%, due
09/01/10........... 1,436,350
2,000,000 Bear Stearns Cos., Inc.
7.800%, due
08/15/07........... 2,044,800
1,500,000 CIT Group, Inc.
7.375%, due
04/02/07........... 1,518,684
1,000,000 GE Insurance Solutions Corp. (O)
7.000%, due
02/15/26........... 1,052,725
785,000 GE Insurance Solutions Corp.
7.750%, due
06/15/30........... 890,894
1,350,000 HSBC Finance Corp.
6.500%, due
11/15/08........... 1,373,857
2,000,000 U.S. Bank N.A.
6.300%, due
02/04/14........... 2,050,650
----------
11,473,313
----------
</Table>
- --------------------------------------------------------------------------------
35
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------
HEALTH CARE - 0.95%
$ 1,200,000 Eli Lilly & Co.
6.570%, due
01/01/16........... $ 1,259,536
740,000 Genentech, Inc.
5.250%, due
07/15/35........... 638,784
1,220,000 Merck & Co., Inc. (O)
6.400%, due
03/01/28........... 1,215,623
1,500,000 Quest Diagnostics, Inc.
5.450%, due
11/01/15........... 1,422,136
1,400,000 WellPoint, Inc.
5.000%, due
12/15/14........... 1,302,129
1,100,000 Wyeth
6.500%, due
02/01/34........... 1,101,335
----------
6,939,543
----------
INDUSTRIALS - 1.22%
350,000 Boeing Co.
8.625%, due
11/15/31........... 455,023
620,000 Boeing Co. (O)
6.875%, due
10/15/43........... 667,129
515,000 D.R. Horton, Inc. (O)
5.250%, due
02/15/15........... 457,724
1,000,000 Ford Motor Credit Co.
5.800%, due
01/12/09........... 913,568
575,000 General Motors Acceptance Corp. (O)
6.125%, due
08/28/07........... 568,987
1,950,000 General Motors Acceptance Corp.
7.250%, due
03/02/11........... 1,890,540
525,000 Pulte Homes, Inc. (O)
5.200%, due
02/15/15........... 468,178
1,150,000 Waste Management, Inc.
7.125%, due
12/15/17........... 1,226,469
1,025,000 Westvaco Corp. (O)
8.200%, due
01/15/30........... 1,110,234
1,170,000 WM Wrigley Jr. Co.
4.300%, due
07/15/10........... 1,113,419
----------
8,871,271
----------
MEDIA - 0.25%
1,620,000 Comcast Cable Communications
Holdings, Inc.
8.375%, due
03/15/13........... 1,799,237
----------
PIPELINE - 0.10%
775,000 KN Energy, Inc.
7.250%, due
03/01/28........... 700,923
----------
REAL ESTATE INVESTMENT TRUSTS -
0.23%
1,265,000 EOP Operating L.P.
4.750%, due
03/15/14........... 1,147,361
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
$ 530,000 Simon Property Group L.P. (O)
5.625%, due
08/15/14........... $ 513,756
----------
1,661,117
----------
TELECOMMUNICATIONS - 0.67%
960,000 Cisco Systems, Inc.
5.500%, due
02/22/16........... 921,818
1,500,000 Telephone & Data Systems, Inc.
7.000%, due
08/01/06........... 1,500,621
2,500,000 Verizon Wireless Capital LLC
5.375%, due
12/15/06........... 2,497,245
----------
4,919,684
----------
TRANSPORTATION - 0.50%
1,365,000 Burlington Northern Santa Fe Corp.
8.125%, due
04/15/20........... 1,610,034
957,000 Norfolk Southern Corp.
5.590%, due
05/17/25........... 891,517
1,050,000 Norfolk Southern Corp.
7.050%, due
05/01/37........... 1,147,392
----------
3,648,943
----------
UTILITIES - 1.48%
1,400,000 Constellation Energy Group, Inc.
4.550%, due
06/15/15........... 1,239,756
1,250,000 Consumers Energy Co.
5.650%, due
04/15/20........... 1,163,910
2,000,000 Energy East Corp.
8.050%, due
11/15/10........... 2,150,220
835,000 Ohio Power Co.,
Series K (O)
6.000%, due
06/01/16........... 823,385
1,365,000 Pacific Gas & Electric Co.
6.050%, due
03/01/34........... 1,288,307
2,000,000 Progress Energy, Inc. (O)
7.750%, due
03/01/31........... 2,230,824
474,000 Sierra Pacific Power Co. (C)
6.000%, due
05/15/16........... 450,652
1,500,000 Southern Power Co.,
Series B (O)
6.250%, due
07/15/12........... 1,511,996
----------
10,859,050
----------
TOTAL CORPORATE NOTES AND BONDS
( Cost
$66,979,982 )...... 64,908,005
----------
</Table>
- --------------------------------------------------------------------------------
36
See accompanying Notes to Financial Statements.
BALANCED FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED - 8.46%
- -------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 1.20%
$ 131,241 8.000%, due 06/01/30
Pool # C01005...... $ 138,439
471,133 6.500%, due 01/01/32
Pool # C62333...... 475,723
141,788 6.500%, due 03/01/32
Pool # C65648...... 143,121
5,017,613 5.000%, due 07/01/33
Pool # A11325...... 4,708,536
602,641 6.000%, due 10/01/34
Pool # A28439...... 594,554
628,490 6.000%, due 10/01/34
Pool # A28598...... 620,057
393,084 5.000%, due 04/01/35
Pool # A32314...... 367,387
735,931 5.000%, due 04/01/35
Pool # A32315...... 687,821
690,637 5.000%, due 04/01/35
Pool # A32316...... 645,488
371,918 5.000%, due 04/01/35
Pool # A32509...... 347,605
----------
8,728,731
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 7.22%
2,057,703 4.000%, due 04/01/15
Pool # 255719...... 1,924,308
2,254,825 5.500%, due 04/01/16
Pool # 745444...... 2,220,360
562,882 6.000%, due 05/01/16
Pool # 582558...... 564,924
3,305,096 5.000%, due 12/01/17
Pool # 672243...... 3,190,416
2,867,831 4.500%, due 09/01/20
Pool # 835465...... 2,710,789
635,134 6.000%, due 05/01/21
Pool # 253847...... 633,040
112,532 7.000%, due 12/01/29
Pool # 762813...... 115,460
326,921 7.000%, due 11/01/31
Pool # 607515...... 334,967
6,274 7.000%, due 04/01/32
Pool # 641518...... 6,427
285,788 7.000%, due 05/01/32
Pool # 644591...... 292,821
1,821,976 6.500%, due 06/01/32
Pool # 545691...... 1,838,057
1,606,441 6.500%, due 09/01/33
Pool # 737582...... 1,618,511
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 2,213,121 5.500%, due 10/01/33
Pool # 254904...... $ 2,134,999
7,921,396 5.500%, due 11/01/33
Pool # 555880...... 7,641,774
5,698,561 5.000%, due 05/01/34
Pool # 780890...... 5,343,863
87,637 7.000%, due 07/01/34
Pool # 792636...... 89,673
907,812 5.500%, due 08/01/34
Pool # 793647...... 874,271
3,611,363 5.500%, due 03/01/35
Pool # 815976...... 3,471,142
1,745,785 5.500%, due 07/01/35
Pool # 825283...... 1,678,000
1,068,063 5.500%, due 08/01/35
Pool # 826872...... 1,026,593
1,846,368 5.000%, due 09/01/35
Pool # 820347...... 1,727,047
2,101,900 5.000%, due 09/01/35
Pool # 835699...... 1,966,064
2,498,037 5.000%, due 10/01/35
Pool # 797669...... 2,336,601
2,479,244 5.500%, due 10/01/35
Pool # 836912...... 2,382,980
2,571,092 5.000%, due 12/01/35
Pool # 850561...... 2,404,934
4,362,773 5.500%, due 12/01/35
Pool # 844583...... 4,193,377
----------
52,721,398
----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.04%
310,224 6.500%, due
04/20/31
Pool # 003068...... 313,361
----------
TOTAL MORTGAGE BACKED
( Cost
$63,939,181 )...... 61,763,490
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 16.84%
- -------------------------------------------------
FEDERAL HOME LOAN BANK - 0.95%
6,975,000 4.250%, due
04/16/07........... 6,905,682
----------
FEDERAL HOME LOAN MORTGAGE
CORP. - 0.44%
3,400,000 4.500%, due
01/15/14........... 3,192,892
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.42%
2,400,000 3.800%, due
01/18/08 (O)....... 2,337,783
2,250,000 4.000%, due
09/02/08........... 2,178,648
</Table>
- --------------------------------------------------------------------------------
37
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)
- -------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 750,000 5.250%, due
08/01/12........... $ 732,797
2,400,000 4.625%, due
10/15/14 (O)....... 2,261,594
2,500,000 6.625%, due
11/15/30........... 2,831,003
----------
10,341,825
----------
U.S. TREASURY BONDS - 1.24%
5,375,000 6.250%, due
05/15/30 (O)....... 6,088,026
2,900,000 5.375%, due
02/15/31 (O)....... 2,950,071
----------
9,038,097
----------
U.S. TREASURY NOTES - 12.79%
2,775,000 2.875%, due
11/30/06 (O)....... 2,748,116
8,700,000 3.375%, due
02/28/07 (O)....... 8,592,268
12,000,000 4.375%, due
05/15/07 (O)....... 11,908,128
1,125,000 2.750%, due
08/15/07 (O)....... 1,094,502
1,300,000 4.000%, due
08/31/07........... 1,281,667
1,980,000 3.000%, due
11/15/07 (O)....... 1,922,378
5,250,000 4.625%, due
02/29/08 (O)....... 5,202,214
8,125,000 4.875%, due
04/30/08 (O)....... 8,080,881
9,980,000 3.000%, due
02/15/09 (O)....... 9,460,731
700,000 2.625%, due
03/15/09 (O)....... 656,277
3,250,000 3.875%, due
05/15/10 (O)....... 3,110,224
670,000 3.875%, due
09/15/10 (O)....... 639,327
500,000 4.500%, due
11/15/10 (O)....... 488,399
11,300,000 4.875%, due
04/30/11 (O)....... 11,184,797
7,800,000 4.875%, due
02/15/12 (O)....... 7,714,684
5,500,000 4.000%, due
11/15/12 (O)....... 5,169,571
310,000 4.000%, due
02/15/14 (O)....... 287,985
1,830,000 4.125%, due
05/15/15 (O)....... 1,699,256
925,000 4.250%, due
08/15/15 (O)....... 865,489
601,000 4.500%, due
11/15/15 (O)....... 572,452
11,300,000 4.500%, due
02/15/16 (O)....... 10,750,888
----------
93,430,234
----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
( Cost
$124,850,806 )..... 122,908,730
----------
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 16.65%
- -------------------------------------------------
1 Columbia Funds
Series
Trust - Columbia
Cash Reserves...... 1
1 J.P. Morgan Prime
Money Market
Fund............... 1
33,324,528 SSgA Prime Money
Market Fund........ 33,324,528
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES (CONTINUED)
- -------------------------------------------------
88,174,349 State Street
Navigator
Securities Lending
Portfolio (I)...... $ 88,174,349
----------
TOTAL INVESTMENT COMPANIES
( Cost
$121,498,879 )..... 121,498,879
----------
TOTAL INVESTMENTS - 113.08%
- -------------------------------------------------
( Cost
$756,465,475** )... 825,286,590
NET OTHER ASSETS AND LIABILITIES - (13.08)%
- -------------------------------------------------
(95,442,353)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------
$ 729,844,237
- -------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$758,009,180.
(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 0.20% of
total net assets.
(G) Floating rate note or variable rate note. Rate
shown is as of June 30, 2006.
(I) Represents investments of cash collateral received
in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient
collateral market value. If collateral market value falls below a stated
level, the issuer will either initiate a clean-up call or increase the
stated interest rate.
(O) All (or portion of security) on loan.
REIT Real Estate Investment Trust.
- --------------------------------------------------------------------------------
38
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.98%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 7.27%
242,600 CBS Corp. ........ $ 6,562,330
275,295 Comcast Corp.
(O)*.............. 9,013,158
104,800 Federated
Department Stores,
Inc. ............. 3,835,680
227,400 Home Depot,
Inc. ............. 8,138,646
54,200 J.C. Penney Co.,
Inc. ............. 3,659,042
578,400 McDonald's
Corp. ............ 19,434,240
233,400 Newell Rubbermaid,
Inc. ............. 6,028,722
163,800 News Corp. ....... 3,149,251
753,200 Time Warner,
Inc. ............. 13,030,360
619,600 Walt Disney
Co. .............. 18,588,000
------------
91,439,429
------------
CONSUMER STAPLES - 7.56%
259,900 Altria Group,
Inc. ............. 19,084,457
130,400 Archer-Daniels-Midland
Co. .............. 5,382,912
52,400 Clorox Co. ....... 3,194,828
158,700 Coca-Cola Co. .... 6,827,274
53,900 Colgate-Palmolive
Co. .............. 3,228,610
173,000 General Mills,
Inc. ............. 8,937,180
141,800 Kellogg Co. ...... 6,867,374
73,200 Kimberly-Clark
Corp. ............ 4,516,440
519,200 Procter & Gamble
Co. .............. 28,867,520
96,600 Sara Lee Corp. ... 1,547,532
136,000 Wal-Mart Stores,
Inc. ............. 6,551,120
------------
95,005,247
------------
ENERGY - 15.57%
177,000 Apache Corp. ..... 12,080,250
195,600 Cameron
International
Corp.*............ 9,343,812
518,646 Chevron Corp. .... 32,187,171
506,200 ConocoPhillips.... 33,171,286
242,400 Devon Energy
Corp. ............ 14,643,384
45,300 EOG Resources,
Inc. ............. 3,144,196
873,400 Exxon Mobil
Corp. ............ 53,583,090
223,700 Marathon Oil
Corp. ............ 18,634,210
125,446 Transocean,
Inc.*............. 10,075,823
132,000 Valero Energy
Corp. ............ 8,780,640
------------
195,643,862
------------
FINANCIALS - 32.85%
352,626 Allstate Corp. ... 19,299,221
473,200 American
International
Group, Inc. ...... 27,942,460
188,200 AmSouth Bancorp... 4,977,890
959,342 Bank of America
Corp. ............ 46,144,350
35,400 Bear Stearns Cos.,
Inc. ............. 4,958,832
1,116,014 Citigroup,
Inc. ............. 53,836,515
79,000 Compass
Bancshares,
Inc. ............. 4,413,379
162,200 Equity
Residential,
REIT.............. 7,255,206
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
189,500 Federal Home Loan
Mortgage Corp. ... $ 10,803,395
148,900 General Growth
Properties, Inc.,
REIT.............. 6,709,434
49,400 Goldman Sachs
Group, Inc. ...... 7,431,242
819,388 J.P. Morgan Chase
& Co. ............ 34,414,296
154,600 Lehman Brothers
Holdings, Inc. ... 10,072,190
96,100 Marshall & Ilsley
Corp. ............ 4,412,749
164,300 Merrill Lynch &
Co., Inc. ........ 11,428,708
258,300 Morgan Stanley.... 16,327,143
345,900 National City
Corp. ............ 12,518,121
194,400 Prudential
Financial,
Inc. ............. 15,104,880
138,900 RenaissanceRe
Holdings, Ltd. ... 6,731,094
32,000 SL Green Realty
Corp., REIT....... 3,503,040
146,400 St. Paul Travelers
Cos., Inc. ....... 6,526,512
148,400 SunTrust Banks,
Inc. ............. 11,316,984
471,900 U.S. Bancorp...... 14,572,272
247,600 UnumProvident
Corp. ............ 4,488,988
78,400 Vornado Realty
Trust, REIT....... 7,647,920
458,300 Wachovia Corp. ... 24,784,864
99,400 Washington Mutual,
Inc. (O).......... 4,530,652
459,300 Wells Fargo &
Co. .............. 30,809,844
------------
412,962,181
------------
HEALTH CARE - 7.07%
161,400 Abbott
Laboratories...... 7,038,654
43,600 Amgen, Inc.*...... 2,844,028
204,400 Bristol-Myers
Squibb Co. ....... 5,285,784
24,000 Cigna Corp. ...... 2,364,240
138,300 Community Health
Systems, Inc.
(O)*.............. 5,082,525
63,000 Invitrogen Corp.
(O)*.............. 4,162,410
102,400 Johnson &
Johnson........... 6,135,808
186,000 Merck & Co.,
Inc. ............. 6,775,980
1,444,600 Pfizer, Inc. ..... 33,904,762
112,400 Watson
Pharmaceuticals,
Inc.*............. 2,616,672
86,100 WellPoint,
Inc.*............. 6,265,497
144,300 Wyeth............. 6,408,363
------------
88,884,723
------------
INDUSTRIALS - 7.18%
107,300 Burlington
Northern Santa Fe
Corp. ............ 8,503,525
50,100 CSX Corp. ........ 3,529,044
47,100 Deere & Co. ...... 3,932,379
82,600 Emerson Electric
Co. .............. 6,922,706
</Table>
- --------------------------------------------------------------------------------
39
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)
76,500 General Dynamics
Corp. ............ $ 5,007,690
1,065,900 General Electric
Co. .............. 35,132,064
156,800 Honeywell
International,
Inc. ............. 6,319,040
146,500 Masco Corp. ...... 4,342,260
69,900 Textron, Inc. .... 6,443,382
100,600 United
Technologies
Corp. ............ 6,380,052
105,000 Waste Management,
Inc. ............. 3,767,400
------------
90,279,542
------------
INFORMATION TECHNOLOGY - 4.57%
143,800 Adobe Systems,
Inc.*............. 4,365,768
110,100 Automatic Data
Processing,
Inc. ............. 4,993,035
153,100 Computer Sciences
Corp.*............ 7,416,164
98,401 Freescale
Semiconductor,
Inc., Class B*.... 2,892,989
295,535 Hewlett-Packard
Co. .............. 9,362,549
129,600 Intel Corp. ...... 2,455,920
138,900 International
Business Machines
Corp. ............ 10,670,298
117,200 Maxim Integrated
Products, Inc. ... 3,763,292
238,800 Microsoft
Corp. ............ 5,564,040
297,900 Motorola, Inc. ... 6,002,685
------------
57,486,740
------------
MATERIALS - 4.20%
92,500 Air Products &
Chemicals,
Inc. ............. 5,912,600
232,200 Alcoa, Inc. ...... 7,513,992
193,700 Dow Chemical
Co. .............. 7,560,111
63,200 E.I. Du Pont de
Nemours & Co. .... 2,629,120
68,800 Inco, Ltd. ....... 4,533,920
70,200 Nucor Corp. ...... 3,808,350
48,800 Phelps Dodge
Corp. ............ 4,009,408
103,800 PPG Industries,
Inc. ............. 6,850,800
159,400 Weyerhaeuser
Co. .............. 9,922,650
------------
52,740,951
------------
TELECOMMUNICATION SERVICES - 5.08%
152,200 Alltel Corp. ..... 9,714,926
400,000 AT&T, Inc. ....... 11,156,000
485,500 BellSouth
Corp. ............ 17,575,100
446,800 Sprint Nextel
Corp. ............ 8,931,532
490,035 Verizon
Communications,
Inc. ............. 16,411,272
------------
63,788,830
------------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
UTILITIES - 5.63%
83,600 Dominion
Resources, Inc. .. $ 6,252,444
308,700 Duke Energy Corp.
(O)............... 9,066,519
141,100 Edison
International..... 5,502,900
86,700 Entergy Corp. .... 6,134,025
204,200 Exelon Corp. ..... 11,604,686
122,300 FirstEnergy
Corp. ............ 6,629,883
230,800 FPL Group,
Inc. ............. 9,550,504
257,900 PG&E Corp. ....... 10,130,312
184,200 Southern Co. ..... 5,903,610
------------
70,774,883
------------
TOTAL COMMON STOCKS
( Cost
$1,001,963,394 )... 1,219,006,388
------------
INVESTMENT COMPANIES - 5.45%
- -----------------------------------------------
1 Columbia Funds Series Trust -
Columbia Cash
Reserves.......... 1
216,757 iShares Russell
1000 Value Index
Fund.............. 15,849,272
93,900 iShares Russell
Midcap Value Index
Fund.............. 12,410,763
2 J.P. Morgan Prime
Money Market
Fund.............. 2
14,315,744 SSgA Prime Money
Market Fund....... 14,315,744
25,977,742 State Street
Navigator
Securities Lending
Portfolio (I)..... 25,977,742
------------
TOTAL INVESTMENT COMPANIES
( Cost
$68,465,825 )..... 68,553,524
------------
TOTAL INVESTMENTS - 102.43%
- -----------------------------------------------
( Cost $1,070,429,219** )....... 1,287,559,912
NET OTHER ASSETS AND LIABILITIES - (2.43)%
- -----------------------------------------------
(30,599,553)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$1,256,960,359
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$1,070,731,930.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
REITReal Estate Investment Trust.
- --------------------------------------------------------------------------------
40
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.48%
- -------------------------------------------------------------
CONSUMER DISCRETIONARY - 9.14%
156,900 Bed Bath & Beyond, Inc.*....... $ 5,204,373
62,300 Best Buy Co., Inc. ............ 3,416,532
166,100 Cheesecake Factory (O)*........ 4,476,395
142,200 Comcast Corp.*................. 4,655,628
39,100 Harley-Davidson, Inc. ......... 2,146,199
127,300 Home Depot, Inc. .............. 4,556,067
145,500 Kohl's Corp.*.................. 8,601,960
64,700 Lowe's Cos., Inc. ............. 3,925,349
166,400 News Corp. .................... 3,191,552
103,100 Starbucks Corp.*............... 3,893,056
66,100 Target Corp. .................. 3,230,307
96,650 Viacom, Inc.*.................. 3,463,936
81,900 Walt Disney Co. ............... 2,457,000
93,100 XM Satellite Radio Holdings,
Inc., Class A (O)*............. 1,363,915
105,600 Yum! Brands, Inc. ............. 5,308,512
-----------
59,890,781
-----------
CONSUMER STAPLES - 10.26%
23,200 Altria Group, Inc. ............ 1,703,576
92,500 Coca-Cola Co. ................. 3,979,350
270,500 Colgate-Palmolive Co. ......... 16,202,950
155,000 Costco Wholesale Corp. ........ 8,855,150
148,400 CVS Corp. ..................... 4,555,880
228,100 PepsiCo, Inc. ................. 13,695,124
56,000 Procter & Gamble Co. .......... 3,113,600
69,700 Walgreen Co. .................. 3,125,348
248,600 Wal-Mart Stores, Inc. ......... 11,975,062
-----------
67,206,040
-----------
ENERGY - 5.30%
148,300 Consol Energy, Inc. ........... 6,928,576
95,300 Denbury Resources, Inc.*....... 3,018,151
39,200 ENSCO International, Inc. ..... 1,803,984
24,600 EOG Resources, Inc. ........... 1,705,764
38,100 Exxon Mobil Corp. ............. 2,337,435
8,597 Hugoton Royalty Trust (O)...... 255,331
41,000 Marathon Oil Corp. ............ 3,415,300
46,600 Noble Corp. ................... 3,467,972
131,800 Weatherford International,
Ltd.*.......................... 6,539,916
119,433 XTO Energy, Inc. .............. 5,287,299
-----------
34,759,728
-----------
FINANCIALS - 6.61%
178,700 ACE, Ltd. ..................... 9,040,433
40,500 Aflac, Inc. ................... 1,877,175
173,300 American Express Co. .......... 9,223,026
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
49,200 American International Group,
Inc. .......................... $ 2,905,260
11,000 Cbot Holdings, Inc., Class
A*............................. 1,315,490
7,200 Chicago Mercantile Exchange
Holdings, Inc. ................ 3,536,280
98,200 Citigroup, Inc. ............... 4,737,168
24,000 Goldman Sachs Group, Inc. ..... 3,610,320
54,600 Mellon Financial Corp. ........ 1,879,878
28,100 Merrill Lynch & Co., Inc. ..... 1,954,636
48,100 Wells Fargo & Co. ............. 3,226,548
-----------
43,306,214
-----------
HEALTH CARE - 18.66%
41,000 Abbott Laboratories............ 1,788,010
201,700 Amgen, Inc.*................... 13,156,891
74,200 Biogen Idec, Inc.*............. 3,437,686
33,100 Cerner Corp. (O)*.............. 1,228,341
59,800 Covance, Inc. (O)*............. 3,660,956
157,700 Eli Lilly & Co. ............... 8,716,079
56,300 Genentech, Inc.*............... 4,605,340
61,000 Gen-Probe, Inc. (O)*........... 3,292,780
135,500 Genzyme Corp.*................. 8,272,275
45,400 Gilead Sciences, Inc.*......... 2,685,864
117,900 Invitrogen Corp. (O)*.......... 7,789,653
255,900 Johnson & Johnson.............. 15,333,528
106,500 Medtronic, Inc. ............... 4,996,980
71,800 Merck & Co., Inc. ............. 2,615,674
107,800 Pharmaceutical Product
Development, Inc. ............. 3,785,936
63,500 St. Jude Medical, Inc.*........ 2,058,670
224,100 Stryker Corp. (O).............. 9,436,851
279,429 Teva Pharmaceutical Industries
Ltd., ADR...................... 8,827,162
173,000 UnitedHealth Group, Inc. ...... 7,746,940
37,100 WellPoint, Inc.*............... 2,699,767
138,600 Wyeth.......................... 6,155,226
-----------
122,290,609
-----------
INDUSTRIALS - 14.63%
68,500 Boeing Co. .................... 5,610,835
44,800 Caterpillar, Inc. ............. 3,336,704
64,800 CSX Corp. ..................... 4,564,512
37,000 Danaher Corp. ................. 2,379,840
56,400 FedEx Corp. ................... 6,590,904
1,034,500 General Electric Co. .......... 34,097,120
39,500 Honeywell International,
Inc. .......................... 1,588,820
166,000 Illinois Tool Works, Inc. ..... 7,885,000
117,900 Ingersoll-Rand Co., Ltd., Class
A.............................. 5,043,762
70,700 Stericycle, Inc. (O)*.......... 4,602,570
</Table>
- --------------------------------------------------------------------------------
41
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------
INDUSTRIALS (CONTINUED)
37,900 Trinity Industries, Inc. (O)... $ 1,531,160
41,900 United Parcel Service, Inc. ... 3,449,627
146,500 United Technologies Corp. ..... 9,291,030
163,800 Waste Management, Inc. ........ 5,877,144
-----------
95,849,028
-----------
INFORMATION TECHNOLOGY - 27.72%
43,700 Adobe Systems, Inc.*........... 1,326,732
88,700 Amdocs, Ltd.*.................. 3,246,420
57,200 Apple Computer, Inc.*.......... 3,267,264
1,077,800 Cisco Systems, Inc.*........... 21,049,434
148,700 Citrix Systems, Inc. (O)*...... 5,968,818
157,800 Corning, Inc.*................. 3,817,182
373,700 Dell, Inc.*.................... 9,122,017
302,600 eBay, Inc.*.................... 8,863,154
739,300 EMC Corp./Massachusetts*....... 8,110,121
77,200 First Data Corp. .............. 3,477,088
21,700 Google, Inc., Class A*......... 9,099,461
99,300 Hewlett-Packard Co. ........... 3,170,550
634,900 Intel Corp. ................... 12,031,355
83,700 International Business Machines
Corp. ......................... 6,429,834
64,400 Kla-Tencor Corp. .............. 2,677,108
129,300 Maxim Integrated Products,
Inc. .......................... 4,151,823
206,100 Micron Technology, Inc.*....... 3,103,866
1,180,500 Microsoft Corp. ............... 27,505,650
263,300 Motorola, Inc. ................ 5,305,495
134,200 NAVTEQ Corp. (O)*.............. 5,996,056
457,500 Nokia OYJ, ADR................. 9,268,950
195,700 Oracle Corp.*.................. 2,835,693
160,000 Qualcomm, Inc. ................ 6,411,200
171,600 Texas Instruments, Inc. ....... 5,197,764
156,100 VeriSign, Inc. (O)*............ 3,616,837
199,600 Yahoo!, Inc.*.................. 6,586,800
-----------
181,636,672
-----------
MATERIALS - 1.26%
70,000 E.I. Du Pont de Nemours &
Co. ........................... 2,912,000
39,900 Monsanto Co. .................. 3,359,181
38,100 Newmont Mining Corp. .......... 2,016,633
-----------
8,287,814
-----------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
TELECOMMUNICATION SERVICES - 2.17%
286,200 NeuStar, Inc. (O)*............. $ 9,659,250
27,300 NII Holdings, Inc.*............ 1,539,174
149,700 Sprint Nextel Corp. ........... 2,992,503
-----------
14,190,927
-----------
UTILITIES - 0.73%
89,200 AES Corp.*..................... 1,645,740
55,000 Exelon Corp. .................. 3,125,650
-----------
4,771,390
-----------
TOTAL COMMON STOCKS
( Cost $613,702,491 ).......... 632,189,203
-----------
INVESTMENT COMPANIES - 9.62%
- -------------------------------------------------------------
56,800 Industrial Select Sector SPDR
Fund (O)....................... 1,919,840
285,200 iShares Russell 1000 Growth
Index Fund (O)................. 14,425,416
1 J.P. Morgan Prime Money Market
Fund........................... 1
99,800 Nasdaq-100 Index Tracking Stock
(O)............................ 3,868,248
6,643,991 SSgA Prime Money Market Fund... 6,643,991
36,201,103 State Street Navigator
Securities Lending Portfolio
(I)............................ 36,201,103
-----------
TOTAL INVESTMENT COMPANIES
( Cost $63,158,660 )........... 63,058,599
-----------
TOTAL INVESTMENTS - 106.10%
- -------------------------------------------------------------
( Cost $676,861,151** )......................... 695,247,802
NET OTHER ASSETS AND LIABILITIES - (6.10)%
- -------------------------------------------------------------
(39,975,907)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------
$ 655,271,895
- -------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$677,647,070.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
- --------------------------------------------------------------------------------
42
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 95.08%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 11.15%
26,200 Advo, Inc. ....... $ 644,782
33,200 AnnTaylor Stores
Corp.*............ 1,440,216
11,900 Autoliv, Inc. .... 673,183
20,100 Cato Corp., Class
A (O)............. 519,585
7,950 CEC Entertainment,
Inc.*............. 255,354
34,100 Darden
Restaurants,
Inc. ............. 1,343,540
22,500 Eastman Kodak
Co. .............. 535,050
35,780 Federated
Department Stores,
Inc. ............. 1,309,548
35,200 Gannett Co. ...... 1,968,736
11,700 J.C. Penney Co.,
Inc. ............. 789,867
16,500 Johnson Controls,
Inc. ............. 1,356,630
66,600 Jones Apparel
Group, Inc. ...... 2,117,214
56,600 JOS A Bank
Clothiers, Inc.*.. 1,356,136
31,500 Liberty Media
Holding
Corp - Capital*... 2,638,755
28,200 Liz Claiborne,
Inc. ............. 1,045,092
31,600 Mattel, Inc. ..... 521,716
19,700 Matthews
International
Corp., Class A
(O)............... 679,059
13,900 Modine
Manufacturing
Co. .............. 324,704
116,500 Newell Rubbermaid,
Inc. ............. 3,009,195
44,300 O'Reilly
Automotive, Inc.
(O)*.............. 1,381,717
34,000 Stage Stores,
Inc. ............. 1,122,000
18,700 Standard-Pacific
Corp. (O)......... 480,590
10,800 Starwood Hotels &
Resorts Worldwide,
Inc. ............. 651,672
26,000 Tempur-Pedic
International,
Inc. (O)*......... 351,260
115,900 TJX Cos., Inc. ... 2,649,474
35,800 Tribune Co. ...... 1,160,994
11,400 Univision
Communications,
Inc., Class A*.... 381,900
25,700 Valassis
Communications,
Inc.*............. 606,263
15,800 VF Corp. ......... 1,073,136
25,600 WCI Communities,
Inc. (O)*......... 515,584
11,400 Wendy's
International,
Inc. ............. 664,506
11,300 Whirlpool
Corp. ............ 933,945
23,100 Yankee Candle Co.,
Inc. ............. 577,731
------------
35,079,134
------------
CONSUMER STAPLES - 8.90%
58,700 Archer-Daniels-Midland
Co. .............. 2,423,136
37,900 Casey's General
Stores, Inc. ..... 947,879
45,800 Clorox Co. ....... 2,792,426
59,600 Coca-Cola
Enterprises,
Inc. ............. 1,214,052
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
CONSUMER STAPLES (CONTINUED)
59,500 ConAgra Foods,
Inc. ............. $ 1,315,545
35,100 Constellation
Brands, Inc.*..... 877,500
25,700 Costco Wholesale
Corp. ............ 1,468,241
83,600 Hain Celestial
Group, Inc.
(O)*.............. 2,153,536
12,400 Herbalife,
Ltd.*............. 494,760
19,400 Hormel Foods Corp.
(O)............... 720,516
97,700 Kroger Co. ....... 2,135,722
59,200 McCormick & Co.,
Inc. ............. 1,986,160
18,000 NBTY, Inc.*....... 430,380
16,300 Pepsi Bottling
Group, Inc. ...... 524,045
72,900 Safeway, Inc. .... 1,895,400
84,000 Sara Lee Corp. ... 1,345,680
51,070 Supervalu, Inc.
(O)............... 1,567,837
28,600 Universal Corp./
Richmond VA....... 1,064,492
58,800 UST, Inc. (O)..... 2,657,172
------------
28,014,479
------------
ENERGY - 7.18%
38,400 Arch Coal,
Inc. ............. 1,627,008
39,000 Chesapeake Energy
Corp. ............ 1,179,750
39,550 Encore Acquisition
Co. (O)*.......... 1,061,127
17,500 ENSCO
International,
Inc. ............. 805,350
16,200 EOG Resources,
Inc. ............. 1,123,308
38,700 Forest Oil Corp.
(O)*.............. 1,283,292
57,700 Hess Corp. (O).... 3,049,445
12,500 Marathon Oil
Corp. ............ 1,041,250
21,500 Murphy Oil
Corp. ............ 1,200,990
41,000 Newfield
Exploration
Co.*.............. 2,006,540
32,100 Noble Energy,
Inc. ............. 1,504,206
28,500 Pioneer Natural
Resources Co.
(O)............... 1,322,685
19,500 Plains Exploration
& Production Co.
(O)*.............. 790,530
18,100 Smith
International,
Inc. ............. 804,907
15,400 Sunoco, Inc. ..... 1,067,066
21,700 Tesoro Corp. ..... 1,613,612
26,800 Whiting Petroleum
Corp.*............ 1,122,116
------------
22,603,182
------------
FINANCIALS - 28.15%
33,200 Ameriprise
Financial,
Inc. ............. 1,483,044
66,200 Archstone-Smith
Trust, REIT....... 3,367,594
43,500 Ares Capital
Corp. ............ 736,455
49,376 Associated
Banc-Corp. ....... 1,556,825
36,600 Assured Guaranty,
Ltd. ............. 928,542
25,700 Bank of America
Corp. ............ 1,236,170
11,500 Bear Stearns Cos.,
Inc. ............. 1,610,920
</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)
- -----------------------------------------------
FINANCIALS (CONTINUED)
23,600 Boston Properties,
Inc., REIT........ $ 2,133,440
27,500 Capital One
Financial
Corp. ............ 2,349,875
41,900 CIT Group,
Inc. ............. 2,190,951
82,900 Colonial
BancGroup,
Inc. ............. 2,128,872
40,500 Compass
Bancshares,
Inc. ............. 2,251,800
12,600 Cousins
Properties, Inc.,
REIT (O).......... 389,718
19,350 Delphi Financial
Group, Class A.... 703,566
25,300 Equity Inns, Inc.,
REIT (O).......... 418,968
38,800 Equity
Residential,
REIT.............. 1,735,524
20,300 Everest Re Group,
Ltd. ............. 1,757,371
31,000 Federated
Investors, Inc.,
Class B........... 976,500
10,900 First Midwest
Bancorp, Inc.
(O)............... 404,172
29,000 General Growth
Properties, Inc.,
REIT.............. 1,306,740
25,000 Hartford Financial
Services Group,
Inc. ............. 2,115,000
6,200 Innkeepers USA
Trust, REIT....... 107,136
19,500 International
Bancshares
Corp. ............ 535,860
9,800 IPC Holdings, Ltd.
(O)............... 241,668
56,500 iStar Financial,
Inc., REIT........ 2,132,875
29,800 J.P. Morgan Chase
& Co. ............ 1,251,600
37,800 Janus Capital
Group, Inc. ...... 676,620
55,600 Keycorp........... 1,983,808
90,400 Kimco Realty
Corp., REIT....... 3,298,696
11,900 Legg Mason,
Inc. ............. 1,184,288
26,600 Lincoln National
Corp. ............ 1,501,304
22,500 M&T Bank Corp.
(O)............... 2,653,200
60,600 Marshall & Ilsley
Corp. ............ 2,771,844
13,600 MB Financial,
Inc. ............. 480,896
16,800 MBIA, Inc. ....... 983,640
47,900 Medical Properties
Trust, Inc., REIT
(O)............... 528,816
38,900 Mellon Financial
Corp. ............ 1,339,327
16,700 Merrill Lynch &
Co., Inc. ........ 1,161,652
33,400 NewAlliance
Bancshares, Inc.
(O)............... 477,954
27,700 PartnerRe, Ltd.
(O)............... 1,774,185
8,200 Pennsylvania Real
Estate Investment
Trust, REIT (O)... 331,034
24,600 Platinum
Underwriters
Holdings, Ltd.
(Bermuda)......... 688,308
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
24,100 Principal
Financial Group,
Inc. ............. $ 1,341,165
72,600 Prologis, REIT.... 3,783,912
7,000 PS Business Parks,
Inc., REIT........ 413,000
27,200 Radian Group,
Inc. ............. 1,680,416
13,900 RAIT Investment
Trust, REIT (O)... 405,880
37,200 Realty Income
Corp., REIT (O)... 814,680
22,000 Reinsurance Group
of America,
Inc. ............. 1,081,300
39,500 RenaissanceRe
Holdings, Ltd. ... 1,914,170
16,300 Safeco Corp. ..... 918,505
28,400 Scottish Re Group,
Ltd. ............. 473,712
34,100 Simon Property
Group, Inc.,
REIT.............. 2,828,254
35,000 TCF Financial
Corp. (O)......... 925,750
9,960 Texas Regional
Bancshares, Inc.,
Class A (O)....... 377,683
48,800 Thornburg
Mortgage, Inc.,
REIT (O).......... 1,360,056
40,700 Universal American
Financial Corp.
*................. 535,205
107,300 UnumProvident
Corp. ............ 1,945,349
41,200 U-Store-It Trust,
REIT (O).......... 777,032
18,000 Ventas, Inc.,
REIT.............. 609,840
34,300 Vornado Realty
Trust, REIT....... 3,345,965
32,200 Washington Mutual,
Inc. ............. 1,467,676
13,300 Webster Financial
Corp. ............ 630,952
9,400 Westamerica
Bancorp. (O)...... 460,318
33,800 Zions Bancorp..... 2,634,372
------------
88,611,950
------------
HEALTH CARE - 3.88%
25,300 AmerisourceBergen
Corp. ............ 1,067,890
16,600 Amsurg Corp.
(O)*.............. 377,650
16,800 Becton Dickinson &
Co. .............. 1,026,984
22,300 Charles River
Laboratories
International,
Inc. (O)*......... 820,640
19,900 Cigna Corp. ...... 1,960,349
8,400 Dentsply
International,
Inc. ............. 509,040
25,212 Fisher Scientific
International,
Inc.*............. 1,841,737
37,800 Health Management
Associates, Inc.,
Class A (O)....... 745,038
64,200 Millennium
Pharmaceuticals,
Inc.*............. 640,074
29,800 Omnicare, Inc.
(O)............... 1,413,116
31,700 Triad Hospitals,
Inc.*............. 1,254,686
</Table>
- --------------------------------------------------------------------------------
44
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
HEALTH CARE (CONTINUED)
13,400 Varian, Inc.*..... $ 556,234
------------
12,213,438
------------
INDUSTRIALS - 9.08%
26,900 Acuity Brands,
Inc. (O).......... 1,046,679
46,900 Airtran Holdings,
Inc. (O)*......... 696,934
9,100 Albany
International
Corp., Class A
(O)............... 385,749
11,200 Avery Dennison
Corp. ............ 650,272
30,925 Belden CDT, Inc.
(O)............... 1,022,071
16,300 Carlisle Cos.,
Inc. ............. 1,292,590
43,400 CSX Corp. ........ 3,057,096
35,500 Eaton Corp. ...... 2,676,700
19,887 Genesee & Wyoming,
Inc., Class A
(O)*.............. 705,392
8,100 Graco, Inc. ...... 372,438
31,400 Ingersoll-Rand
Co., Ltd., Class
A................. 1,343,292
20,100 Manpower, Inc. ... 1,298,460
44,800 Masco Corp. ...... 1,327,872
17,500 Mueller
Industries,
Inc. ............. 578,025
28,800 Parker Hannifin
Corp. ............ 2,234,880
32,100 Pitney Bowes,
Inc. ............. 1,325,730
41,900 R.R. Donnelley &
Sons Co. ......... 1,338,705
16,600 Republic Services,
Inc. ............. 669,644
22,000 Simpson
Manufacturing Co.,
Inc. (O).......... 793,100
7,400 Textron, Inc. .... 682,132
42,300 Timken Co. ....... 1,417,473
20,200 United Stationers,
Inc.*............. 996,264
27,000 W.W. Grainger,
Inc. ............. 2,031,210
15,400 YRC Worldwide,
Inc.*............. 648,494
------------
28,591,202
------------
INFORMATION TECHNOLOGY - 7.69%
27,200 Affiliated
Computer Services,
Inc., Class A*.... 1,403,792
55,100 Arrow Electronics,
Inc.*............. 1,774,220
45,400 ATMI, Inc. (O)*... 1,117,748
103,000 Avaya, Inc.
(O)*.............. 1,176,260
33,900 Computer Sciences
Corp.*............ 1,642,116
89,900 Convergys
Corp.*............ 1,753,050
12,000 Diebold, Inc.
(O)............... 487,440
36,200 Electronic Data
Systems Corp. .... 870,972
17,400 Intergraph
Corp.*............ 547,926
44,500 Intersil Corp.,
Class A........... 1,034,625
41,300 Juniper Networks,
Inc.*............. 660,387
114,300 LSI Logic Corp.
(O)*.............. 1,022,985
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INFORMATION TECHNOLOGY (CONTINUED)
432,000 Lucent
Technologies, Inc.
(O)*.............. $ 1,045,440
15,700 MAXIMUS, Inc. .... 363,455
37,500 Molex, Inc. ...... 1,258,875
22,900 NAM TAI
Electronics, Inc.
(O)............... 512,273
83,900 Reynolds and
Reynolds Co.,
Class A........... 2,573,213
165,500 Tellabs, Inc.*.... 2,202,805
43,949 Varian
Semiconductor
Equipment
Associates, Inc.
(O)*.............. 1,433,177
94,300 Xerox Corp.*...... 1,311,713
------------
24,192,472
------------
MATERIALS - 5.49%
43,200 Air Products &
Chemicals,
Inc. ............. 2,761,344
11,000 Aptargroup,
Inc. ............. 545,710
10,000 Ashland, Inc. .... 667,000
14,600 Bemis Co. ........ 447,052
22,600 Compass Minerals
International,
Inc. (O).......... 563,870
23,500 Dow Chemical
Co. .............. 917,205
11,500 Inco, Ltd. (O).... 757,850
4,500 Martin Marietta
Materials,
Inc. ............. 410,175
55,500 Novelis, Inc. .... 1,197,690
18,600 Nucor Corp. ...... 1,009,050
7,500 Phelps Dodge
Corp. ............ 616,200
51,100 PPG Industries,
Inc. ............. 3,372,600
49,000 Rohm & Haas
Co. .............. 2,455,880
95,600 Smurfit-Stone
Container Corp.
(O)*.............. 1,045,864
7,300 United States
Steel Corp. ...... 511,876
------------
17,279,366
------------
TELECOMMUNICATION SERVICES - 1.35%
99,000 Citizens
Communications
Co. .............. 1,291,950
34,600 NeuStar, Inc.*.... 1,167,750
13,800 NII Holdings,
Inc.*............. 778,044
124,800 Qwest
Communications
International,
Inc.*............. 1,009,632
------------
4,247,376
------------
UTILITIES - 12.21%
92,300 AES Corp.*........ 1,702,935
19,200 Alliant Energy
Corp. ............ 658,560
33,700 Ameren Corp.
(O)............... 1,701,850
</Table>
- --------------------------------------------------------------------------------
45
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)
96,500 American Electric
Power Co.,
Inc. ............. $ 3,305,125
14,800 Atmos Energy Corp.
(O)............... 413,068
26,600 Consolidated
Edison, Inc. ..... 1,182,104
58,300 Constellation
Energy Group,
Inc. ............. 3,178,516
73,200 Edison
International..... 2,854,800
42,100 Entergy Corp. .... 2,978,575
9,800 New Jersey
Resources Corp.
(O)............... 458,444
66,800 NSTAR............. 1,910,480
95,600 PG&E Corp. ....... 3,755,168
29,750 PNM Resources,
Inc. ............. 742,560
105,500 PPL Corp. ........ 3,407,650
33,800 Progress Energy,
Inc. (O).......... 1,449,006
31,900 Public Service
Enterprise Group,
Inc. ............. 2,109,228
17,100 SCANA Corp. ...... 659,718
41,800 Sempra Energy..... 1,901,064
26,200 UGI Corp. ........ 645,044
29,400 Westar Energy,
Inc. ............. 618,870
13,400 WGL Holdings, Inc.
(O)............... 387,930
126,100 Xcel Energy, Inc.
(O)............... 2,418,598
------------
38,439,293
------------
TOTAL COMMON STOCKS
( Cost
$262,566,679 ).... 299,271,892
------------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 21.94%
- -----------------------------------------------
39,600 Consumer
Discretionary
Select Sector SPDR
Fund (O).......... $ 1,322,244
53,900 Health Care Select
Sector SPDR Fund
(O)............... 1,629,936
129,700 iShares Russell
1000 Growth Index
Fund.............. 6,560,226
12,300 iShares Russell
Midcap Value Index
Fund (O).......... 1,625,691
11,597,673 SSgA Prime Money
Market Fund....... 11,597,673
46,311,872 State Street
Navigator
Securities Lending
Portfolio (I)..... 46,311,872
------------
TOTAL INVESTMENT COMPANIES
( Cost
$69,022,596 )..... 69,047,642
------------
TOTAL INVESTMENTS - 117.02%
- -----------------------------------------------
( Cost $331,589,275** )........... 368,319,534
NET OTHER ASSETS AND LIABILITIES - (17.02)%
- -----------------------------------------------
(53,583,184)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 314,736,350
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$331,768,584.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
REITReal Estate Investment Trust.
- --------------------------------------------------------------------------------
46
See accompanying Notes to Financial Statements.
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.81%
- -----------------------------------------------
CONSUMER DISCRETIONARY - 21.43%
159,600 Abercrombie &
Fitch Co., Class A
(O)............... $ 8,846,628
147,500 Career Education
Corp.*............ 4,408,775
31,700 Coach, Inc.*...... 947,830
185,800 Coldwater Creek,
Inc. (O)*......... 4,972,008
214,900 D.R. Horton, Inc.
(O)............... 5,118,918
3,800 Garmin, Ltd.
(O)............... 400,672
58,700 ITT Educational
Services, Inc.*... 3,863,047
179,000 JOS A Bank
Clothiers, Inc.
(O)*.............. 4,288,840
144,000 Michaels Stores,
Inc. (O).......... 5,938,560
192,100 O'Reilly
Automotive,
Inc.*............. 5,991,599
370,900 Penn National
Gaming, Inc.*..... 14,383,502
106,500 Priceline.com,
Inc. (O)*......... 3,180,090
175,300 Rare Hospitality
International,
Inc.*............. 5,041,628
81,200 Scientific Game
Corp. A (O)*...... 2,892,344
79,900 Shuffle Master,
Inc. (O)*......... 2,619,122
104,900 Steiner Leisure,
Ltd. (O)*......... 4,146,697
50,500 Zumiez, Inc.
(O)*.............. 1,897,285
------------
78,937,545
------------
ENERGY - 10.97%
254,000 Chesapeake Energy
Corp. (O)......... 7,683,500
225,700 Noble Energy, Inc.
(O)............... 10,576,302
400,500 Patterson-UTI
Energy, Inc.
(O)............... 11,338,155
73,800 Plains Exploration
& Production Co.
(O)*.............. 2,991,852
250,700 Pride
International,
Inc. (O)*......... 7,829,361
------------
40,419,170
------------
FINANCIALS - 11.87%
87,500 Affiliated
Managers Group,
Inc. (O)*......... 7,602,875
494,700 E*Trade Financial
Corp. (O)*........ 11,289,054
17,600 First Marblehead
Corp. ............ 1,002,144
149,530 Nasdaq Stock
Market, Inc.
(O)*.............. 4,470,947
205,540 Nuveen
Investments, Inc.,
Class A (O)....... 8,848,497
99,500 optionsXpress
Holdings, Inc.
(O)............... 2,319,345
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
240,600 WR Berkley
Corp. ............ $ 8,211,678
------------
43,744,540
------------
HEALTH CARE - 15.74%
134,600 Amedisys, Inc.
(O)*.............. 5,101,340
130,900 Biomet, Inc. ..... 4,095,861
79,900 Biovail Corp. .... 1,870,459
75,600 Celgene Corp.
(O)*.............. 3,585,708
44,400 Cephalon, Inc.
(O)*.............. 2,668,440
136,400 Coventry Health
Care, Inc. (O)*... 7,493,816
49,100 Fisher Scientific
International,
Inc. (O)*......... 3,586,755
193,600 Health Net,
Inc.*............. 8,744,912
130,700 Kinetic Concepts,
Inc. (O)*......... 5,770,405
147,700 Omnicare, Inc.
(O)............... 7,003,934
105,700 Patterson Cos.,
Inc. (O)*......... 3,692,101
98,400 Waters Corp.*..... 4,368,960
------------
57,982,691
------------
INDUSTRIALS - 11.23%
119,100 DRS Technologies,
Inc. (O).......... 5,806,125
92,200 Fastenal Co. ..... 3,714,738
139,200 Graco, Inc. (O)... 6,400,416
65,100 Monster Worldwide,
Inc.*............. 2,777,166
123,800 Oshkosh Truck
Corp. ............ 5,882,976
132,100 Precision
Castparts
Corp. ............ 7,894,296
49,720 Resources
Connection, Inc.
(O)*.............. 1,243,994
77,400 Terex Corp.*...... 7,639,380
------------
41,359,091
------------
INFORMATION TECHNOLOGY - 26.03%
219,000 Alliance Data
Systems Corp.
(O)*.............. 12,881,580
50,400 Akamai
Technologies, Inc.
(O)*.............. 1,823,976
140,400 Amphenol Corp. ... 7,856,784
166,770 Autodesk, Inc.*... 5,746,894
153,800 Avid Technology,
Inc. (O)*......... 5,126,154
113,000 Benchmark
Electronics, Inc.
(O)*.............. 2,725,560
56,900 CDW Corp. (O)..... 3,109,585
62,400 Cognizant
Technology
Solutions Corp.,
Class A*.......... 4,203,888
100,500 DST Systems, Inc.
(O)*.............. 5,979,750
204,400 Flir Systems, Inc.
(O)*.............. 4,509,064
192,640 Foundry Networks,
Inc. (O)*......... 2,053,543
118,700 Intuit, Inc.*..... 7,168,293
</Table>
- --------------------------------------------------------------------------------
47
See accompanying Notes to Financial Statements.
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
150,100 Kanbay
International,
Inc. (O)*......... $ 2,182,454
109,300 Lam Research
Corp.*............ 5,095,566
51,500 MEMC Electronic
Materials, Inc.
(O)*.............. 1,931,250
262,500 Polycom, Inc.
(O)*.............. 5,754,000
318,900 QLogic Corp.*..... 5,497,836
376,200 Varian
Semiconductor
Equipment
Associates, Inc.
(O)*.............. 12,267,882
------------
95,914,059
------------
TELECOMMUNICATION SERVICES - 1.54%
130,000 NeuStar, Inc.*.... 4,387,500
86,700 Syniverse
Holdings, Inc.
(O)*.............. 1,274,490
------------
5,661,990
------------
TOTAL COMMON STOCKS
( Cost
$382,771,659 ).... 364,019,086
------------
INVESTMENT COMPANIES - 22.72%
- -----------------------------------------------
1,592,361 SSgA Prime Money
Market Fund....... 1,592,361
82,091,657 State Street
Navigator
Securities Lending
Portfolio (I)..... 82,091,657
------------
TOTAL INVESTMENT COMPANIES
( Cost
$83,684,018 )..... 83,684,018
------------
TOTAL INVESTMENTS - 121.53%
- -----------------------------------------------
( Cost $466,455,677** )........... 447,703,104
NET OTHER ASSETS AND LIABILITIES - (21.53)%
- -----------------------------------------------
(79,323,412)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 368,379,692
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$468,024,767.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
- --------------------------------------------------------------------------------
48
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 94.59%
- -----------------------------------------------
AUSTRALIA - 0.25%
55,307 Macquarie Airports.... $ 126,029
---------
BERMUDA - 0.80%
5,237 ACE, Ltd. ............ 264,940
1,550 Everest Re Group,
Ltd. ................. 134,183
---------
399,123
---------
BRAZIL - 0.86%
11,760 Empressa Brasileira de
Aeronautica S.A., ADR
(O)................... 428,887
---------
CANADA - 1.65%
8,900 Husky Energy, Inc. ... 559,223
8,154 Manulife Financial
Corp. ................ 258,661
---------
817,884
---------
DENMARK - 0.27%
2,100 Novo-Nordisk A/S...... 133,655
---------
FINLAND - 0.58%
9,940 Fortum OYJ............ 254,037
1,025 Neste Oil OYJ......... 36,072
---------
290,109
---------
FRANCE - 6.69%
1,922 Arkema*............... 74,934
17,820 European Aeronautic
Defence and Space Co.
N.V. ................. 511,443
1,100 JC Decaux S.A. ....... 29,041
5,930 LVMH Moet Hennessy
Louis Vuitton S.A. ... 588,026
2,410 NicOx S.A.*........... 32,274
9,150 Sanofi-Aventis........ 892,125
3,480 Societe Generale...... 511,396
8,530 Technip S.A. ......... 471,973
3,280 Total S.A. ........... 215,645
---------
3,326,857
---------
GERMANY - 4.29%
3,361 Allianz AG............ 530,501
9,095 Bayerische Motoren
Werke AG.............. 453,957
2,562 SAP AG................ 540,186
6,958 Siemens AG............ 604,874
---------
2,129,518
---------
HONG KONG - 0.38%
20,560 Hutchison Whampoa,
Ltd. ................. 187,414
---------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INDIA - 2.63%
57,850 Hindustan Lever,
Ltd. ................. $ 288,304
4,725 ICICI Bank, Ltd., ADR
(O)................... 111,746
8,495 Infosys Technologies,
Ltd. ................. 570,293
63,930 ZEE Telefilms,
Ltd. ................. 336,511
---------
1,306,854
---------
ITALY - 0.44%
19,200 Bulgari SpA........... 217,623
---------
JAPAN - 10.77%
3,870 Canon, Inc. .......... 189,605
9,400 Chugai Pharmaceutical
Co., Ltd. ............ 191,686
5,990 Credit Saison Co.,
Ltd. ................. 283,532
1,500 Fanuc, Ltd. .......... 134,667
8,290 Hoya Corp. ........... 294,662
6,000 JGC Corp. ............ 103,174
7,000 Kao Corp. ............ 183,092
92 KDDI Corp. ........... 564,831
900 Keyence Corp. ........ 229,667
1,800 Kyocera Corp. ........ 139,278
6,100 Murata Manufacturing
Co., Ltd. ............ 395,817
2,000 Nidec Corp. .......... 143,225
1,300 Nintendo Co., Ltd. ... 217,982
62 Resona Holdings,
Inc. ................. 195,467
18,740 Shionogi & Co.,
Ltd. ................. 333,868
14,000 Shiseido Co., Ltd. ... 274,486
13,910 Sony Corp. ........... 613,471
8,730 Square Enix Co.,
Ltd. ................. 181,454
4,060 Takeda Pharmaceutical
Co., Ltd. ............ 252,454
8,170 Toyota Motor Corp. ... 427,390
---------
5,349,808
---------
MEXICO - 1.30%
48,540 Grupo Modelo S.A.,
Series C.............. 186,418
23,672 Grupo Televisa S.A.,
ADR................... 457,106
---------
643,524
---------
NETHERLANDS - 1.06%
16,900 Koninklijke Philips
Electronics N.V. ..... 527,582
---------
NORWAY - 0.25%
15,250 Tandberg ASA.......... 126,145
---------
SINGAPORE - 0.32%
60,659 Singapore Press
Holdings, Ltd. ....... 157,825
---------
</Table>
- --------------------------------------------------------------------------------
49
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
SOUTH KOREA - 2.15%
1,315 Hyundai Heavy
Industries............ $ 147,613
737 Samsung Electronics
Co., Ltd. ............ 468,417
19,330 SK Telecom Co., Ltd.,
ADR................... 452,709
---------
1,068,739
---------
SPAIN - 0.80%
9,450 Inditex S.A. ......... 398,256
---------
SWEDEN - 5.26%
21,000 Hennes & Mauritz AB... 812,081
10,172 Investor AB, Series
B..................... 186,104
490,050 Telefonaktiebolaget LM
Ericsson.............. 1,616,564
---------
2,614,749
---------
SWITZERLAND - 3.18%
10,582 Credit Suisse Group... 590,937
4,976 Novartis AG........... 268,940
3,811 Roche Holding AG...... 628,814
675 Syngenta AG*.......... 89,552
---------
1,578,243
---------
TAIWAN - 1.18%
32,000 MediaTek, Inc. ....... 296,576
31,743 Taiwan Semiconductor
Manufacturing Co.,
Ltd., ADR............. 291,403
---------
587,979
---------
UNITED KINGDOM - 12.54%
13,560 3i Group PLC.......... 225,998
6,288 BP PLC, ADR........... 437,708
18,954 Burberry Group PLC.... 150,677
49,937 Cadbury Schweppes
PLC................... 481,454
15,709 Diageo PLC............ 264,137
8,355 GUS PLC............... 149,211
29,228 HSBC Holdings PLC
(Hong Kong)........... 511,782
15,490 Pearson PLC........... 210,913
37,023 Prudential PLC........ 418,207
22,048 Reckitt Benckiser
PLC................... 823,377
22,447 Royal Bank of Scotland
Group PLC............. 737,850
27,473 Smith & Nephew PLC.... 211,543
56,156 Tesco PLC............. 346,756
515,730 Vodafone Group PLC.... 1,098,858
13,470 WPP Group PLC......... 162,988
---------
6,231,459
---------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
UNITED STATES - 36.94%
6,640 3M Co. ............... $ 536,313
13,650 Adobe Systems,
Inc.*................. 414,414
27,540 Advanced Micro
Devices, Inc.*........ 672,527
4,750 Affymetrix, Inc.*..... 121,600
14,560 Altera Corp.*......... 255,528
5,530 Amgen, Inc.*.......... 360,722
8,000 Atherogenics, Inc.
(O)*.................. 104,400
11,700 Automatic Data
Processing, Inc. ..... 530,595
7,400 Avon Products,
Inc. ................. 229,400
85 Berkshire Hathaway,
Inc., Class B*........ 258,655
8,140 Biomet, Inc. ......... 254,701
4,120 Boeing Co. ........... 337,469
21,273 Boston Scientific
Corp.*................ 358,237
14,300 Carnival Corp. ....... 596,882
16,300 Cendant Corp. ........ 265,527
5,086 Chevron Corp. ........ 315,637
13,550 Cisco Systems,
Inc.*................. 264,632
7,330 Coach, Inc.*.......... 219,167
2,900 Conor Medsystems, Inc.
(O)*.................. 80,011
21,770 Corning, Inc.*........ 526,616
8,370 Cree, Inc. (O)*....... 198,871
26,360 eBay, Inc.*........... 772,085
3,920 Emerson Electric
Co. .................. 328,535
2,630 Express Scripts,
Inc.*................. 188,676
2,700 Genentech, Inc.*...... 220,860
1,700 Getty Images, Inc.
(O)*.................. 107,967
6,240 Gilead Sciences,
Inc.*................. 369,159
8,000 GlobalSantaFe
Corp. ................ 462,000
9,300 International Game
Technology............ 352,842
6,360 International
Rectifier Corp.*...... 248,549
7,700 Intuit, Inc.*......... 465,003
8,640 J.P. Morgan Chase &
Co. .................. 362,880
2,100 Johnson & Johnson..... 125,832
21,470 Juniper Networks,
Inc.*................. 343,305
3,100 Linear Technology
Corp. ................ 103,819
3,310 Lockheed Martin
Corp. ................ 237,459
7,100 Maxim Integrated
Products, Inc. ....... 227,981
3,760 Medtronic, Inc. ...... 176,419
33,260 Microsoft Corp. ...... 774,958
8,680 Morgan Stanley........ 548,663
3,002 Nektar Therapeutics
(O)*.................. 55,057
8,480 Northern Trust
Corp. ................ 468,944
3,620 Northrop Grumman
Corp. ................ 231,897
33,340 Novell, Inc.*......... 221,044
2,800 Nuvelo, Inc. (O)*..... 46,620
6,170 Qualcomm, Inc. ....... 247,232
4,220 Quest Diagnostics,
Inc. ................. 252,862
6,030 Raytheon Co. ......... 268,757
105,600 Sirius Satellite
Radio, Inc. (O)*...... 501,600
</Table>
- --------------------------------------------------------------------------------
50
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
UNITED STATES (CONTINUED)
7,260 Starbucks Corp.*...... $ 274,138
</Table>
- --------------------------------------------------------------------------------
51
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
UNITED STATES (CONTINUED)
4,000 Theravance, Inc.*..... $ 91,520
7,200 Tiffany & Co. ........ 237,744
7,520 Transocean, Inc.*..... 604,006
10,600 Wal-Mart Stores,
Inc. ................. 510,602
11,000 Walt Disney Co. ...... 330,000
4,440 Wyeth................. 197,180
6,500 Xilinx, Inc. ......... 147,225
3,800 XL Capital, Ltd.,
Class A............... 232,940
3,600 Yahoo!, Inc.*......... 118,800
---------
18,357,064
---------
TOTAL COMMON STOCKS
( Cost
$38,602,227 )......... 47,005,326
---------
COMMON STOCK UNIT - 0.59%
- -----------------------------------------------
MEXICO - 0.59%
34,710 Fomento Economico
Mexicano, S.A. de
C.V. ................. 292,130
---------
TOTAL COMMON STOCK UNIT
( Cost $154,047 )..... 292,130
---------
PREFERRED STOCKS - 1.11%
- -----------------------------------------------
BRAZIL - 0.57%
6,913 Cia de Bebidas das
Americas, ADR......... 285,161
---------
GERMANY - 0.54%
278 Porsche AG............ 268,482
---------
TOTAL PREFERRED STOCKS
( Cost $308,048 )..... 553,643
---------
INVESTMENT COMPANIES - 5.84%
- -----------------------------------------------
UNITED STATES - 5.84%
1,526,176 SSgA Prime Money
Market Fund........... 1,526,176
1,374,952 State Street Navigator
Securities Lending
Portfolio (I)......... 1,374,952
---------
2,901,128
---------
TOTAL INVESTMENT COMPANIES
( Cost $2,901,128 )... 2,901,128
---------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
TOTAL INVESTMENTS - 102.13%
- -----------------------------------------------
( Cost $41,965,450** )............ $50,752,227
NET OTHER ASSETS AND LIABILITIES - (2.13)%
- -----------------------------------------------
(1,058,717)
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$49,693,510
- -----------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$42,276,983.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depository Receipt.
PLC Public Limited Company.
- --------------------------------------------------------------------------------
52
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
OTHER INFORMATION:
Industry Concentration as a Percentage of Net Assets
<Table>
<Caption>
% of Net Assets
---------------
Pharmaceuticals 7.1%
Banks 6.3%
Communications Equipment 6.3%
Semiconductors &
Semiconductor Equipment 6.1%
Software 5.2%
Media 4.6%
Wireless
Telecommunication
Services 4.3%
Insurance 4.2%
Aerospace & Defense 4.1%
Net Other Assets Less
Liabilities 3.7%
Oil, Gas & Consumable
Fuels 3.7%
Diversified Financial
Services 3.2%
Specialty Retail 3.2%
Energy Equipment &
Services 3.1%
Household Durables 2.7%
Household Products 2.6%
Hotels, Restaurants &
Leisure 2.5%
Automobiles 2.3%
Health Care Equipment &
Supplies 2.2%
Beverages 2.1%
</Table>
<Table>
<Caption>
% of Net Assets
---------------
Electrical Equipment 2.1%
Textiles, Apparel &
Luxury Goods 2.1%
Biotechnology 1.8%
Electronic Equipment &
Instruments 1.6%
Internet & Catalog
Retail 1.8%
Commercial Services &
Supplies 1.6%
Industrial Conglomerates 1.5%
IT Services 1.1%
Food Products 1.0%
Multiline Retail 1.0%
Personal Products 1.0%
Health Care Providers &
Services 0.9%
Food & Staples Retailing 0.7%
Semiconductors 0.6%
Office Electronics 0.4%
Chemicals 0.3%
Machinery 0.3%
Transportation
Infrastructure 0.3%
Construction &
Engineering 0.2%
Internet Software &
Services 0.2%
-----------
100.0%
-----------
-----------
</Table>
- --------------------------------------------------------------------------------
52
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 95.01%
- -----------------------------------------------
ARGENTINA - 0.14%
9,400 Banco Macro Bansud
S.A., ADR......... $ 191,384
------------
AUSTRALIA - 0.98%
32,409 ABC Learning
Centres, Ltd. .... 153,956
122,004 BlueScope Steel,
Ltd. ............. 719,932
23,290 James Hardie
Industries
N.V. ............. 133,110
46,950 John Fairfax
Holdings, Ltd. ... 130,682
74,514 Macquarie
Infrastructure
Group............. 185,835
------------
1,323,515
------------
AUSTRIA - 0.16%
6,264 CAT Oil AG *...... 128,712
3,000 Oesterreichische
Post AG *......... 90,932
------------
219,644
------------
BELGIUM - 1.18%
32,332 InBev N.V. ....... 1,584,448
------------
BRAZIL - 1.16%
7,500 Brasil Telecom
Participacoes
S.A., ADR......... 244,275
41,600 Cia de Concessoes
Rodoviarias....... 340,023
13,600 Grendene S.A. .... 109,152
5,700 Petroleo
Brasileiro S.A.,
ADR............... 509,067
14,200 Souza Cruz
S.A. ............. 211,213
9,500 Ultrapar
Participacoes
S.A., ADR......... 149,435
------------
1,563,165
------------
CHILE - 0.07%
3,950 AFP Provida S.A.,
ADR............... 95,392
------------
CHINA - 0.26%
3,190 CNOOC, Ltd.,
ADR............... 256,412
135,000 People's Food
Holdings, Ltd. ... 88,664
------------
345,076
------------
EGYPT - 0.55%
4,407 Eastern Tobacco... 229,708
9,674 Orascom
Construction
Industries........ 294,170
5,300 Orascom Telecom
Holding S.A.E..... 219,183
------------
743,061
------------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINLAND - 0.16%
11,500 Sampo OYJ......... $ 219,254
------------
FRANCE - 13.27%
48,686 AXA S.A. ......... 1,596,397
22,750 BNP Paribas....... 2,175,972
2,700 Carbone
Lorraine.......... 148,324
81,110 France Telecom
S.A. ............. 1,742,297
10,174 Lafarge S.A. ..... 1,276,034
17,613 Lagardere
S.C.A. ........... 1,298,642
2,900 Neopost S.A. ..... 330,184
27,338 Sanofi-Aventis.... 2,665,455
13,495 Schneider Electric
S.A. ............. 1,405,435
50,787 Total S.A. ....... 3,339,013
53,992 Vivendi S.A. ..... 1,890,428
------------
17,868,181
------------
GERMANY - 8.84%
10,000 Allianz AG........ 1,578,401
29,314 Bayerische Motoren
Werke AG.......... 1,463,145
42,567 Commerzbank AG.... 1,546,973
4,768 Demag Cranes AG
*................. 140,439
9,392 Deutsche Bank
AG................ 1,056,139
4,549 DIC Asset AG...... 116,259
1,400 Fielmann AG....... 133,244
9,258 Fresenius Medical
Care AG & Co.
KGaA.............. 1,063,311
34,020 KarstadtQuelle AG
*................. 902,054
351 Puma AG Rudolf
Dassler Sport..... 136,320
21,204 Siemens AG........ 1,843,310
4,046 Techem AG......... 187,161
24,730 Volkswagen AG..... 1,732,696
------------
11,899,452
------------
GREECE - 0.31%
6,423 OPAP S.A. ........ 232,276
7,781 Piraeus Bank
S.A. ............. 184,939
------------
417,215
------------
HONG KONG - 0.69%
64,000 China Netcom Group
Corp., Hong Kong,
Ltd. ............. 112,064
33,145 Esprit Holdings,
Ltd. ............. 270,981
129,000 Hutchison
Telecommunications
International,
Ltd. ............. 210,100
302,000 Pacific Basin
Shipping, Ltd. ... 137,061
329,000 SA SA
International
Holdings, Ltd. ... 116,486
</Table>
- --------------------------------------------------------------------------------
53
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
HONG KONG (CONTINUED)
134,200 Texwinca Holdings,
Ltd. ............. $ 88,119
------------
934,811
------------
HUNGARY - 0.23%
950 Gedeon Richter
Rt................ 174,428
1,360 MOL Hungarian Oil
and Gas PLC....... 139,596
------------
314,024
------------
INDIA - 0.84%
10,700 Hero Honda Motors,
Ltd. ............. 184,591
27,400 Hindustan Lever,
Ltd. ............. 136,552
7,568 Oil & Natural Gas
Corp., Ltd. ...... 182,585
17,666 Satyam Computer
Services, Ltd. ... 272,999
22,080 State Bank of
India, Ltd. ...... 349,391
------------
1,126,118
------------
INDONESIA - 0.63%
957,000 Bank Mandiri
Persero Tbk PT.... 177,701
14,300 Telekomunikasi
Indonesia Tbk PT,
ADR............... 459,030
363,000 United Tractors
Tbk PT............ 211,616
------------
848,347
------------
IRELAND - 2.37%
16,513 Anglo Irish Bank
Corp. PLC......... 257,434
82,764 Bank of Ireland... 1,475,353
34,091 CRH PLC........... 1,107,808
8,713 DCC PLC........... 209,294
5,800 Irish Life &
Permanent PLC..... 137,855
------------
3,187,744
------------
ISRAEL - 0.42%
65,500 Bank Hapoalim
B.M. ............. 279,151
73,219 Israel Chemicals,
Ltd. ............. 292,050
1 Koor Industries,
Ltd.*............. 46
------------
571,247
------------
ITALY - 7.31%
47,154 Banco Popolare di
Verona e Novara
S.c.r.l........... 1,262,358
127,892 Capitalia SpA..... 1,048,383
174,250 Enel SpA.......... 1,500,765
48,900 ENI SpA........... 1,439,073
3,700 Lottomatica SpA... 140,234
128,892 Mediaset SpA...... 1,518,578
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
ITALY (CONTINUED)
332,900 Telecom Italia
SpA............... $ 926,301
256,935 UniCredito
Italiano SpA...... 2,009,346
------------
9,845,038
------------
JAPAN - 18.88%
3,600 ABC-Mart, Inc. ... 75,927
5,600 Aoyama Trading
Co., Ltd. ........ 175,084
5,200 Asahi Pretec
Corp. ............ 165,757
17,600 Asia Securities
Printing Co.,
Ltd. ............. 166,463
29,000 Bosch Corp. ...... 142,334
8,000 Chiyoda Corp. .... 163,486
3,300 Daito Trust
Construction Co.,
Ltd. ............. 182,717
24,000 Dodwell BMS,
Ltd. ............. 162,648
5,100 Don Quijote Co.,
Ltd. ............. 115,357
253 eAccess, Ltd. .... 165,934
213 East Japan Railway
Co. .............. 1,581,154
4,200 Eizo Nanao
Corp. ............ 131,680
5,000 Hisamitsu
Pharmaceutical
Co., Inc. ........ 153,268
3,100 Hogy Medical Co.,
Ltd. ............. 162,168
35,000 Hoya Corp. ....... 1,244,050
9,100 Ichiyoshi
Securities Co.,
Ltd. ............. 137,567
4,200 Ito En, Ltd. ..... 153,688
4,900 JSR Corp. ........ 123,671
3,400 Keyence Corp. .... 867,630
133 KK DaVinci
Advisors*......... 131,252
5,500 Mars Engineering
Corp. ............ 175,320
29,600 Marui Co.,
Ltd. ............. 460,654
190 Mitsubishi UFJ
Financial Group,
Inc. ............. 2,654,906
16,900 Murata
Manufacturing Co.,
Ltd. ............. 1,096,607
15,100 Nidec Corp. ...... 1,081,350
179,500 Nissan Motor Co.,
Ltd. ............. 1,959,521
12,700 Nissen Co.,
Ltd. ............. 157,939
129 NIWS Co., HQ,
Ltd.*............. 110,180
97,500 Nomura Holdings,
Inc. ............. 1,826,449
10,500 OSG Corp. ........ 176,704
5,200 Rinnai Corp. ..... 137,601
3,200 Secom Techno
Service Co.,
Ltd. ............. 147,836
5,170 Shoei Co.,
Ltd. ............. 156,674
131 Sumitomo Mitsui
Financial Group,
Inc. ............. 1,384,306
119,000 Sumitomo Trust &
Banking Co.,
Ltd. ............. 1,299,070
15,000 Suruga Bank,
Ltd. ............. 202,000
5,600 Takamatsu
Corp. ............ 107,838
</Table>
- --------------------------------------------------------------------------------
54
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
JAPAN (CONTINUED)
29,400 Takeda
Pharmaceutical
Co., Ltd. ........ $ 1,828,112
40,000 THK Co., Ltd. .... 1,191,214
307,000 Tokyo Gas Co.,
Ltd. ............. 1,445,116
1,750 USS Co., Ltd. .... 115,541
85,000 Yamato Holdings
Co., Ltd. ........ 1,506,921
------------
25,423,694
------------
MEXICO - 0.87%
6,408 Cemex S.A. de
C.V., ADR*........ 365,046
8,080 Desarrolladora
Homex S.A. de
C.V., ADR*........ 265,105
59,800 Grupo Mexico SAB
de C.V. .......... 171,650
10,600 Grupo Televisa
S.A., ADR......... 204,686
54,100 Kimberly-Clark de
Mexico S.A. de
C.V., Class A..... 172,160
------------
1,178,647
------------
MOROCCO - 0.16%
15,600 Maroc Telecom..... 210,310
------------
NETHERLANDS - 2.16%
2,887 Boskalis
Westminster....... 195,710
7,092 Fugro N.V. ....... 305,588
1,901 Hunter Douglas
N.V. ............. 127,897
5,448 SBM Offshore
N.V. ............. 145,082
49,538 TNT N.V. ......... 1,771,195
11,900 Trader Media East
Ltd., GDR*........ 111,860
3,375 USG People
N.V. ............. 257,902
------------
2,915,234
------------
NORWAY - 1.30%
10,500 Acergy S.A.*...... 159,795
55,900 Statoil ASA....... 1,584,714
------------
1,744,509
------------
PERU - 0.14%
6,200 Credicorp,
Ltd. ............. 185,752
------------
PHILIPPINES - 0.18%
7,000 Philippine Long
Distance Telephone
Co., ADR.......... 241,640
------------
RUSSIA - 0.37%
7,100 Evraz Group S.A.,
GDR............... 177,145
11,000 Mobile Telesystems
OJSC, ADR*........ 323,840
------------
500,985
------------
SOUTH AFRICA - 1.00%
17,185 Aquarius Platinum,
Ltd. ............. 255,755
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
SOUTH AFRICA (CONTINUED)
46,200 Edgars
Consolidated
Stores, Ltd. ..... $ 186,722
16,492 Kumba Resources,
Ltd. ............. 294,706
69,294 Murray & Roberts
Holdings, Ltd. ... 245,717
33,230 Sanlam, Ltd. ..... 67,267
100,922 Steinhoff
International
Holdings, Ltd. ... 300,808
------------
1,350,975
------------
SOUTH KOREA - 2.14%
1,050 Hite Brewery Co.,
Ltd. ............. 105,028
1,490 Hyundai Motor
Co. .............. 126,581
13,800 Kangwon Land,
Inc. ............. 235,636
8,201 Kookmin Bank...... 674,232
7,200 KT Corp., ADR..... 154,440
2,600 LG Electronics,
Inc. ............. 157,576
4,000 LG Household &
Health Care,
Ltd. ............. 345,296
2,330 Samsung
Electronics Co.,
Ltd., GDR (C)..... 732,203
3,400 Shinhan Financial
Group Co.,
Ltd. ............. 159,473
2,900 SK Corp. ......... 186,456
------------
2,876,921
------------
SPAIN - 1.87%
5,500 Abengoa S.A. ..... 133,325
99,962 Banco Bilbao
Vizcaya Argentaria
S.A. ............. 2,054,003
9,000 Indra Sistemas
S.A. ............. 176,535
6,200 Prosegur Cia de
Seguridad S.A. ... 154,492
------------
2,518,355
------------
SWEDEN - 1.32%
15,740 Elekta AB, Class
B................. 266,158
13,000 Getinge AB........ 220,727
14,100 Lindex AB......... 200,317
9,200 Swedish Match
AB................ 147,918
285,000 Telefonaktiebolaget
LM Ericsson....... 940,151
------------
1,775,271
------------
SWITZERLAND - 7.94%
27,247 Compagnie
Financiere
Richemont AG,
Class A........... 1,245,730
42,430 Credit Suisse
Group............. 2,369,443
130 Geberit AG........ 150,076
12,000 Julius Baer
Holding AG........ 1,040,454
3,369 Nestle S.A. ...... 1,056,208
57,997 Novartis AG....... 3,134,589
</Table>
- --------------------------------------------------------------------------------
55
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------
SWITZERLAND (CONTINUED)
126 Sika AG*.......... $ 139,903
7,110 Zurich Financial
Services AG....... 1,555,684
------------
10,692,087
------------
TAIWAN - 1.18%
63,580 Advantech Co.,
Ltd. ............. 182,277
399,243 Chinatrust
Financial Holding
Co. .............. 331,166
3,100 Chunghwa Telecom
Co., Ltd., ADR.... 57,257
329,000 Fubon Financial
Holding Co.,
Ltd. ............. 284,589
54,186 HON HAI Precision
Industry Co.,
Ltd. ............. 334,797
182,873 Taiwan
Semiconductor
Manufacturing Co.,
Ltd. ............. 329,934
8,137 Taiwan
Semiconductor
Manufacturing Co.,
Ltd., ADR......... 74,697
------------
1,594,717
------------
THAILAND - 0.07%
137,500 Thai Union Frozen
Products PCL...... 90,982
------------
TURKEY - 0.49%
21,027 Enka Insaat ve
Sanayi AS......... 153,840
39,618 Turkcell Iletisim
Hizmet AS......... 181,161
27,751 Turkcell Iletisim
Hizmet AS, ADR.... 329,131
------------
664,132
------------
UNITED KINGDOM - 15.37%
125,073 BAE Systems PLC... 854,968
180,723 Barclays PLC...... 2,053,116
86,700 BP PLC............ 1,010,607
10,289 Bunzl PLC......... 117,460
25,759 Cattles PLC....... 156,795
145,700 Diageo PLC........ 2,449,855
44,552 Enodis PLC........ 177,910
8,300 Enterprise Inns
PLC............... 145,467
21,065 Erinaceous Group
PLC............... 116,832
23,410 Filtrona PLC...... 125,943
98,124 Gallaher Group
PLC............... 1,532,887
41,556 Imperial Tobacco
Group PLC......... 1,282,237
12,400 Intertek Group
PLC............... 160,472
105,900 Lloyds TSB Group
PLC............... 1,040,585
5,443 Man Group PLC..... 256,399
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
UNITED KINGDOM (CONTINUED)
147,066 Marks & Spencer
Group PLC......... $ 1,595,984
204,712 National Grid
PLC............... 2,213,999
9,700 Northgate PLC..... 187,578
327,688 Old Mutual PLC.... 988,990
9,400 Premier Oil
PLC*.............. 167,266
28,000 Reckitt Benckiser
PLC............... 1,045,653
104,631 Regus Group
PLC*.............. 211,813
6,850 Signet Group PLC,
ADR............... 121,724
253,700 Tesco PLC......... 1,566,553
459,645 Vodafone Group
PLC............... 979,358
12,300 William Hill
PLC............... 142,464
------------
20,702,915
------------
TOTAL COMMON STOCKS
( Cost
$107,455,230 ).... 127,964,242
------------
COMMON STOCK UNIT - 0.16%
- -----------------------------------------------
IRELAND - 0.16%
16,736 Grafton Group
PLC*.............. 210,653
------------
TOTAL COMMON STOCK UNIT
( Cost
$171,496 )........ 210,653
------------
PREFERRED STOCKS - 1.77%
- -----------------------------------------------
BRAZIL - 1.33%
5,600,000 AES Tiete S.A. ... 134,472
10,400 Bradespar S.A. ... 355,391
6,720 Cia de Bebidas das
Americas, ADR..... 277,200
22,828 Cia Vale do Rio
Doce.............. 464,677
8,400 Iochpe Maxion
S.A. ............. 81,459
112,200 Klabin S.A. ...... 262,690
10,920 Telemar Norte
Leste S.A. ....... 218,854
------------
1,794,743
------------
GREECE - 0.11%
5,631 Motor Oil Hellas
Corinth Refineries
S.A. ............. 149,956
------------
SOUTH KOREA - 0.33%
3,540 Hyundai Motor
Co. .............. 172,010
13,800 Lotte Shopping
Co., Ltd., GDR
(C)*.............. 264,408
------------
436,418
------------
TOTAL PREFERRED STOCKS
( Cost
$2,056,345 )...... 2,381,117
------------
</Table>
- --------------------------------------------------------------------------------
56
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
WARRANTS AND RIGHTS - 0.03%
- -----------------------------------------------
FRANCE - 0.03%
47,653 AXA S.A. Exp.
06/30/06 (Exercise
Price $24.15)*.... $ 40,190
------------
JAPAN - 0.00%
120 Belluna Co., Ltd.
Exp. 12/31/30
(Exercise Price
$31.98) (L)*...... 184
------------
TOTAL WARRANTS AND RIGHTS
( Cost $113 )..... 40,374
------------
INVESTMENT COMPANY - 2.95%
- -----------------------------------------------
UNITED STATES - 2.95%
3,975,664 SSgA Prime Money
Market Fund....... 3,975,664
------------
TOTAL INVESTMENT COMPANY
( Cost
$3,975,664 )...... 3,975,664
------------
TOTAL INVESTMENTS - 99.92%
- -----------------------------------------------
( Cost $113,658,848** )........... 134,572,050
NET OTHER ASSETS AND LIABILITIES - 0.08%
- -----------------------------------------------
113,611
TOTAL NET ASSETS - 100.00%
- -----------------------------------------------
$ 134,685,661
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$114,019,734.
(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.
- --------------------------------------------------------------------------------
57
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 18.5%
Oil, Gas & Consumable
Fuels 6.8%
Pharmaceuticals 5.9%
Insurance 4.5%
Diversified Financial
Services 4.3%
Automobiles 4.2%
Media 3.8%
Diversified
Telecommunication
Services 3.6%
Beverages 3.4%
Electronic Equipment &
Instruments 3.3%
Net Other Assets less
Liabilities 3.0%
Electric Utilities 2.9%
Multiline Retail 2.6%
Tobacco 2.5%
Electrical Equipment 2.5%
Road & Rail 2.3%
Construction Materials 2.1%
Commercial Services &
Supplies 1.4%
Machinery 1.4%
Metals & Mining 1.4%
Air Freight & Logistics 1.3%
Wireless
Telecommunication
Services 1.3%
Food & Staples Retailing 1.2%
Textiles, Apparel &
Luxury Goods 1.2%
Gas Utilities 1.1%
Semiconductors &
Semiconductor Equipment 1.1%
</Table>
<Table>
<Caption>
% of Net Assets
---------------
Household Products 1.0%
Construction &
Engineering 0.9%
Food Products 0.9%
Health Care Providers &
Services 0.8%
Household Durables 0.8%
Communications Equipment 0.7%
Hotels, Restaurants &
Leisure 0.7%
Aerospace & Defense 0.6%
Real Estate Management &
Development 0.6%
Specialty Retail 0.6%
Chemicals 0.5%
Health Care Equipment &
Supplies 0.5%
Building Products 0.4%
Distributors 0.4%
Energy Equipment &
Services 0.4%
Transportation
Infrastructure 0.4%
IT Services 0.3%
Office Electronics 0.3%
Personal Products 0.3%
Auto Components 0.2%
Industrial Conglomerates 0.2%
Materials 0.2%
Paper & Forest Products 0.2%
Computers & Peripherals 0.1%
Internet & Catalog
Retail 0.1%
Internet Software &
Services 0.1%
Leisure Equipment &
Products 0.1%
Marine 0.1%
-----------
100.0%
-----------
-----------
</Table>
- --------------------------------------------------------------------------------
58
See accompanying Notes to Financial Statements.
This page is left blank intentionally.
- --------------------------------------------------------------------------------
59
See accompanying Notes to Financial Statements.
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2006 (UNAUDITED)
<Table>
- --------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
ASSETS:
Investments in securities, at
value* $ 90,448,937 $780,220,407 $ 170,069,600 $825,286,590
Foreign currency, at value** - - - -
Receivables:
Investments sold - - 297,378 2,444,490
Fund shares sold - 1,020,165 184,245 -
Dividends and interest 117,485 6,151,144 2,666,619 3,298,971
Other assets - 12,837 9,210 7,462
----------------------------------------------------------------------
Total Assets 90,566,422 787,404,553 173,227,052 831,037,513
----------------------------------------------------------------------
LIABILITIES:
Payable to custodian - - - -
Payables:
Investments purchased - - 3,716,390 11,796,310
Upon return of securities
loaned - 151,749,171 27,303,238 88,174,349
Fund shares redeemed 494,912 166,666 - 782,265
Accrued management fees 33,058 285,356 88,577 421,007
Accrued expenses and other
payables 6,321 16,433 9,318 19,345
----------------------------------------------------------------------
Total Liabilities 534,291 152,217,626 31,117,523 101,193,276
----------------------------------------------------------------------
Net assets applicable to
outstanding capital stock $ 90,032,131 $635,186,927 $ 142,109,529 $729,844,237
----------------------------------------------------------------------
REPRESENTED BY:
Capital stock and additional
paid-in capital $ 90,032,131 $652,924,591 $ 139,605,689 $638,847,229
Accumulated undistributed net
investment income (loss) - 14,500,836 5,052,969 8,770,776
Accumulated net realized gain
(loss) on investments and
foreign currency related
transactions - (14,220,074) (132,449) 13,405,117
Unrealized appreciation
(depreciation) of investments
(including appreciation
(depreciation) of foreign
currency related
transactions) - (18,018,426) (2,416,680) 68,821,115
----------------------------------------------------------------------
Total net assets - representing
net assets applicable to
outstanding capital stock $ 90,032,131 $635,186,927 $ 142,109,529 $729,844,237
----------------------------------------------------------------------
Number of Class Z Shares issued
and outstanding 90,032,131 62,973,671 13,940,017 37,555,114
----------------------------------------------------------------------
Net asset value per share of
outstanding capital stock,
offering price and redemption
price $ 1.00 $ 10.09 $ 10.19 $ 19.43
----------------------------------------------------------------------
*Cost of Investments $ 90,448,937 $798,238,833 $ 172,486,280 $756,465,475
----------------------------------------------------------------------
**Cost of Foreign Currency $ - $ - $ - $ -
----------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
60
See accompanying Notes to Financial Statements.
<Table>
-------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP LARGE CAP MID CAP MID CAP GLOBAL INTERNATIONAL
VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND SECURITIES FUND STOCK FUND
$ 1,287,559,912 $ 695,247,802 $ 368,319,534 $ 447,703,104 $ 50,752,227 $ 134,572,050
- - - - 30,399 63,661
24,001,578 6,329,008 24,152,958 5,708,265 16,295 152,674
838,704 361,496 894,006 204,627 317,203 236,039
1,601,750 449,551 389,181 44,437 88,931 280,930
4,084 5,625 8,558 63,799 11,131 72,315
-------------------------------------------------------------------------------------------------------
1,314,006,028 702,393,482 393,764,237 453,724,232 51,216,186 135,377,669
-------------------------------------------------------------------------------------------------------
- - 1,210,333 - 1 -
30,262,316 10,040,037 31,241,807 2,555,278 6,223 552,185
25,977,742 36,201,103 46,311,872 82,091,657 1,374,952 -
166,667 435,116 - 430,874 98,404 -
610,720 427,404 253,008 254,443 37,535 127,255
28,224 17,927 10,867 12,288 5,561 12,568
-------------------------------------------------------------------------------------------------------
57,045,669 47,121,587 79,027,887 85,344,540 1,522,676 692,008
-------------------------------------------------------------------------------------------------------
$ 1,256,960,359 $ 655,271,895 $ 314,736,350 $ 368,379,692 $ 49,693,510 $ 134,685,661
-------------------------------------------------------------------------------------------------------
$ 974,161,711 $ 672,046,549 $ 243,044,052 $ 301,128,755 $ 38,807,213 $ 101,346,586
12,305,544 1,498,045 1,410,269 (2,585) 326,605 1,359,624
53,362,411 (36,659,350) 33,551,770 86,006,096 1,774,927 11,070,896
217,130,693 18,386,651 36,730,259 (18,752,574) 8,784,765 20,908,555
-------------------------------------------------------------------------------------------------------
$ 1,256,960,359 $ 655,271,895 $ 314,736,350 $ 368,379,692 $ 49,693,510 $ 134,685,661
-------------------------------------------------------------------------------------------------------
37,912,602 33,232,481 17,165,072 54,684,781 3,727,101 10,036,006
-------------------------------------------------------------------------------------------------------
$ 33.15 $ 19.72 $ 18.34 $ 6.74 $ 13.33 $ 13.42
-------------------------------------------------------------------------------------------------------
$ 1,070,429,219 $ 676,861,151 $ 331,589,275 $ 466,455,677 $ 41,965,450 $ 113,658,848
-------------------------------------------------------------------------------------------------------
$ - $ - $ - $ - $ 30,074 $ 62,794
-------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
61
See accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2006 (UNAUDITED)
<Table>
- --------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET BOND HIGH INCOME BALANCED
FUND FUND FUND FUND
INVESTMENT INCOME:
Interest $ 2,129,484 $ 15,730,019 $ 5,350,495 $ 6,499,359
Dividend - - 83,673 4,661,164
Less: Foreign taxes withheld - - (2,323) (3,714)
Securities lending income - 102,079 31,317 51,254
---------------------------------------------------------
Total investment income 2,129,484 15,832,098 5,463,162 11,208,063
---------------------------------------------------------
EXPENSES:
Management fees 208,442 1,719,374 521,112 2,662,901
Trustees' fees 1,245 5,108 1,477 6,525
Audit and Tax fees 4,361 7,202 6,818 7,845
Compliance expense 1,351 6,769 1,779 8,359
---------------------------------------------------------
Total expenses 215,399 1,738,453 531,186 2,685,630
---------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,914,085 14,093,645 4,931,976 8,522,433
---------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS)
ON INVESTMENTS:
Net realized gain (loss) on
investments (including net
realized gain (loss) on foreign
currency related transactions)* - (614,669) 170,849 17,425,090
Net increase from payment by
affiliates** - - - 8,273
Net change in unrealized
depreciation on investments
(including net unrealized
appreciation (depreciation) on
foreign currency related
transactions)*** - (18,461,932) (2,615,028) (24,134,518)
---------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS)
ON INVESTMENTS - (19,076,601) (2,444,179) (6,701,155)
---------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS $ 1,914,085 $ (4,982,956) $ 2,487,797 $ 1,821,278
---------------------------------------------------------
</Table>
- ----------------------------------
* Includes foreign capital gains taxes paid of $860 for the International Stock
Fund.
** See Note 3.
***Net of deferred foreign capital gains taxes of $2,664 and $10,899 for the
Global Securities and International Stock Funds, respectively.
- --------------------------------------------------------------------------------
62
See accompanying Notes to Financial Statements.
<Table>
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP LARGE CAP MID CAP MID CAP GLOBAL INTERNATIONAL
VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND SECURITIES FUND STOCK FUND
$ 323,031 $ 168,965 $ 137,235 $ 248,020 $ 22,997 $ 104,839
15,413,977 3,921,173 2,686,282 1,407,515 528,827 2,393,708
(2,580) (32,021) (1,518) (46,394) (42,712) (256,220)
21,141 35,608 61,281 32,931 1,852 -
- -----------------------------------------------------------------------------------------------------------------------------
15,755,569 4,093,725 2,883,280 1,642,072 510,964 2,242,327
- -----------------------------------------------------------------------------------------------------------------------------
3,768,802 2,708,545 1,502,535 1,630,679 225,946 751,073
10,051 5,848 2,540 3,272 824 1,294
9,309 7,564 6,190 6,327 1,624 1,819
13,513 7,546 3,447 4,379 867 1,647
- -----------------------------------------------------------------------------------------------------------------------------
3,801,675 2,729,503 1,514,712 1,644,657 229,261 755,833
- -----------------------------------------------------------------------------------------------------------------------------
11,953,894 1,364,222 1,368,568 (2,585) 281,703 1,486,494
- -----------------------------------------------------------------------------------------------------------------------------
56,280,637 24,246,031 33,242,800 80,403,467 1,450,342 9,852,073
- - - - - -
(8,466,390) (33,676,019) (18,038,637) (81,308,923) (339,274) (2,219,762)
- -----------------------------------------------------------------------------------------------------------------------------
47,814,247 (9,429,988) 15,204,163 (905,456) 1,111,068 7,632,311
- -----------------------------------------------------------------------------------------------------------------------------
$ 59,768,141 $ (8,065,766) $ 16,572,731 $ (908,041) $ 1,392,771 $ 9,118,805
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
63
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
- -----------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET FUND BOND FUND
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005
OPERATIONS:
Net investment income $ 1,914,085 $ 3,569,813 $ 14,093,645 $ 24,334,130
Net realized gain (loss) on
investments - - (614,669) (1,022,703)
Net increase from payment
by affiliates* - - - -
Net change in unrealized
depreciation on
investments - - (18,461,932) (8,458,566)
-----------------------------------------------------------------------
Increase (decrease) in
net assets from
operations 1,914,085 3,569,813 (4,982,956) 14,852,861
-----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,914,085) (3,569,813) - (25,187,481)
-----------------------------------------------------------------------
Change in net assets from
distributions (1,914,085) (3,569,813) - (25,187,481)
-----------------------------------------------------------------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of
shares 39,327,456 73,648,677 37,536,662 72,846,545
Net asset value of shares
issued in reinvestment of
distributions 1,914,085 3,569,812 - 25,187,481
-----------------------------------------------------------------------
41,241,541 77,218,489 37,536,662 98,034,026
Cost of shares repurchased (45,846,318) (111,585,478) (21,342,585) (37,879,319)
-----------------------------------------------------------------------
Net increase (decrease)
in net assets from
capital share
transactions (4,604,777) (34,366,989) 16,194,077 60,154,707
-----------------------------------------------------------------------
Total increase (decrease) in
net assets (4,604,777) (34,366,989) 11,211,121 49,820,087
-----------------------------------------------------------------------
NET ASSETS:
Beginning of year 94,636,908 129,003,897 623,975,806 574,155,719
-----------------------------------------------------------------------
End of year $ 90,032,131 $ 94,636,908 $635,186,927 $623,975,806
-----------------------------------------------------------------------
Undistributed net investment
income included in net
assets $ - $ - $ 14,500,836 $ 407,191
-----------------------------------------------------------------------
OTHER INFORMATION:
Class Z Capital Share
transactions:
Shares sold 39,327,456 73,648,677 3,708,100 6,996,067
Shares issued in
reinvestment of
distributions 1,914,085 3,569,812 - 2,473,567
-----------------------------------------------------------------------
41,241,541 77,218,489 3,708,100 9,469,634
Shares redeemed (45,846,318) (111,585,478) (2,113,783) (3,620,161)
-----------------------------------------------------------------------
Net increase (decrease) in
shares outstanding (4,604,777) (34,366,989) 1,594,317 5,849,473
-----------------------------------------------------------------------
</Table>
- ----------------------------------
*See Note 3.
- --------------------------------------------------------------------------------
64
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
JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005
- --------------------------------------------------------------------------------------------------------------------------------
$ 4,931,976 $ 8,158,425 $ 8,522,433 $ 17,145,009 $ 11,953,894 $ 21,096,250
170,849 (55,467) 17,425,090 34,758,254 56,280,637 47,262,731
- - 8,273 - - -
(2,615,028) (4,831,959) (24,134,518) (21,835,267) (8,466,390) (1,814,129)
- --------------------------------------------------------------------------------------------------------------------------------
2,487,797 3,270,999 1,821,278 30,067,996 59,768,141 66,544,852
- --------------------------------------------------------------------------------------------------------------------------------
- (8,189,568) - (17,769,981) - (21,292,637)
- --------------------------------------------------------------------------------------------------------------------------------
- (8,189,568) - (17,769,981) - (21,292,637)
- --------------------------------------------------------------------------------------------------------------------------------
11,228,597 20,027,643 8,047,641 36,861,655 20,650,997 49,472,499
- 8,189,568 - 17,769,981 - 21,292,637
- --------------------------------------------------------------------------------------------------------------------------------
11,228,597 28,217,211 8,047,641 54,631,636 20,650,997 70,765,136
(5,638,920) (7,584,937) (65,325,565) (67,484,769) (63,327,190) (81,230,522)
- --------------------------------------------------------------------------------------------------------------------------------
5,589,677 20,632,274 (57,277,924) (12,853,133) (42,676,193) (10,465,386)
- --------------------------------------------------------------------------------------------------------------------------------
8,077,474 15,713,705 (55,456,646) (555,118) 17,091,948 34,786,829
- --------------------------------------------------------------------------------------------------------------------------------
134,032,055 118,318,350 785,300,883 785,856,001 1,239,868,411 1,205,081,582
- --------------------------------------------------------------------------------------------------------------------------------
$142,109,529 $134,032,055 $729,844,237 $785,300,883 $1,256,960,359 $1,239,868,411
- --------------------------------------------------------------------------------------------------------------------------------
$ 5,052,969 $ 120,993 $ 8,770,776 $ 248,343 $ 12,305,544 $ 351,650
- --------------------------------------------------------------------------------------------------------------------------------
1,100,915 1,929,477 409,791 1,916,299 630,118 1,606,506
- 818,241 - 912,310 - 670,800
- --------------------------------------------------------------------------------------------------------------------------------
1,100,915 2,747,718 409,791 2,828,609 630,118 2,277,306
(554,036) (732,661) (3,324,706) (3,487,864) (1,925,353) (2,617,285)
- --------------------------------------------------------------------------------------------------------------------------------
546,879 2,015,057 (2,914,915) (659,255) (1,295,235) (339,979)
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
65
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
JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005
- ---------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss) $ 1,364,222 $ 5,921,124 $ 1,368,568 $ 1,499,736
Net realized gain on investments 24,246,031 77,473,653 33,242,800 12,530,913
Net change in unrealized
appreciation (depreciation) on
investments (33,676,019) (66,887,523) (18,038,637) 10,903,068
-----------------------------------------------------------------------
Increase (decrease) in net
assets from operations (8,065,766) 16,507,254 16,572,731 24,933,717
-----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (6,310,154) - (1,627,429)
Realized gains on investments - - - (13,318,365)
-----------------------------------------------------------------------
Change in net assets from
distributions - (6,310,154) - (14,945,794)
-----------------------------------------------------------------------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 14,948,227 31,909,564 32,398,479 45,306,662
Net asset value of shares issued
in reinvestment of
distributions - 6,310,154 - 14,945,794
-----------------------------------------------------------------------
14,948,227 38,219,718 32,398,479 60,252,456
Cost of shares repurchased (40,422,205) (53,366,921) (9,513,514) (13,021,409)
-----------------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions (25,473,978) (15,147,203) 22,884,965 47,231,047
-----------------------------------------------------------------------
Total increase (decrease) in net
assets (33,539,744) (4,950,103) 39,457,696 57,218,970
-----------------------------------------------------------------------
NET ASSETS:
Beginning of year 688,811,639 693,761,742 275,278,654 218,059,684
-----------------------------------------------------------------------
End of year $655,271,895 $688,811,639 $314,736,350 $275,278,654
-----------------------------------------------------------------------
Undistributed net investment
income included in net assets $ 1,498,045 $ 133,823 $ 1,410,269 $ 41,701
-----------------------------------------------------------------------
OTHER INFORMATION:
Class Z Capital Share
transactions:
Shares sold 735,914 1,621,706 1,778,243 2,659,915
Shares issued in reinvestment of
distributions - 313,847 - 858,822
-----------------------------------------------------------------------
735,914 1,935,553 1,778,243 3,518,737
Shares redeemed (1,988,548) (2,698,813) (525,590) (755,653)
-----------------------------------------------------------------------
Net increase (decrease) in
shares outstanding (1,252,634) (763,260) 1,252,653 2,763,084
-----------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
66
See accompanying Notes to Financial Statements.
<Table>
<Caption>
MID CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND
-------------------------------------- -------------------------------------- --------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005 (UNAUDITED) DECEMBER 31, 2005
- --------------------------------------------------------------------------------------------------------------------------------
$ (2,585) $ (429,724) $ 281,703 $ 277,439 $ 1,486,494 $ 1,316,091
80,403,467 27,566,260 1,450,342 1,825,787 9,852,073 7,102,228
(81,308,923) 2,972,824 (339,274) 2,869,918 (2,219,762) 6,148,261
- --------------------------------------------------------------------------------------------------------------------------------
(908,041) 30,109,360 1,392,771 4,973,144 9,118,805 14,566,580
- --------------------------------------------------------------------------------------------------------------------------------
- (2,416) - (281,616) - (1,238,822)
- (33,333,764) - (446,500) - (5,789,722)
- --------------------------------------------------------------------------------------------------------------------------------
- (33,336,180) - (728,116) - (7,028,544)
- --------------------------------------------------------------------------------------------------------------------------------
21,964,672 30,180,099 8,084,474 10,785,227 22,102,520 26,432,320
- 33,336,180 - 728,116 - 7,028,544
- --------------------------------------------------------------------------------------------------------------------------------
21,964,672 63,516,279 8,084,474 11,513,343 22,102,520 33,460,864
(26,598,319) (23,041,233) (2,233,395) (3,288,184) (5,017,356) (10,993,782)
- --------------------------------------------------------------------------------------------------------------------------------
(4,633,647) 40,475,046 5,851,079 8,225,159 17,085,164 22,467,082
- --------------------------------------------------------------------------------------------------------------------------------
(5,541,688) 37,248,226 7,243,850 12,470,187 26,203,969 30,005,118
- --------------------------------------------------------------------------------------------------------------------------------
373,921,380 336,673,154 42,449,660 29,979,473 108,481,692 78,476,574
- --------------------------------------------------------------------------------------------------------------------------------
$368,379,692 $373,921,380 $49,693,510 $42,449,660 $134,685,661 $108,481,692
- --------------------------------------------------------------------------------------------------------------------------------
$ (2,585) $ - $ 326,605 $ 44,902 $ 1,359,624 $ (126,870)
- --------------------------------------------------------------------------------------------------------------------------------
3,164,480 4,512,208 596,374 914,007 1,644,749 2,174,329
- 4,941,013 - 56,585 - 564,730
- --------------------------------------------------------------------------------------------------------------------------------
3,164,480 9,453,221 596,374 970,592 1,644,749 2,739,059
(3,948,381) (3,465,269) (167,716) (280,836) (372,699) (885,684)
- --------------------------------------------------------------------------------------------------------------------------------
(783,901) 5,987,952 428,658 689,756 1,272,050 1,853,375
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
67
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<Table>
<Caption>
MONEY MARKET FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.02 0.03 0.01 0.01 0.01 0.04
Net realized and unrealized gain (loss) - - 0.001(1) 0.001(1) 0.001(1) -
-------------------------------------------------------------------------------
Total from investment operations 0.02 0.03 0.01 0.01 0.01 0.04
-------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.03) (0.01) (0.01) (0.01) (0.04)
-------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------------------------------------------------------------------------
TOTAL RETURN** 2.07% 2.78% 0.92% 0.75% 1.50% 3.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $90,032 $94,637 $129,004 $141,376 $177,443 $174,261
Ratio of expenses to average net assets 0.47%(2) 0.46% 0.45% 0.45% 0.45% 0.46%
Ratio of net investment income to average net
assets 4.13%(2) 2.73% 0.90% 0.75% 1.45% 3.51%
</Table>
<Table>
<Caption>
BOND FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 10.17 $ 10.34 $ 10.43 $ 10.59 $ 10.20 $ 10.15
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.16 0.42 0.42 0.46 0.54 0.62
Net realized and unrealized gain (loss) (0.24) (0.16) (0.07) (0.14) 0.32 0.23
-------------------------------------------------------------------------------
Total from investment operations (0.08) 0.26 0.35 0.32 0.86 0.85
-------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.43) (0.44) (0.48) (0.47) (0.59)
Return of capital - - - - - (0.21)
-------------------------------------------------------------------------------
Total distributions - (0.43) (0.44) (0.48) (0.47) (0.80)
-------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 10.09 $ 10.17 $ 10.34 $ 10.43 $ 10.59 $ 10.20
-------------------------------------------------------------------------------
TOTAL RETURN** (0.78)% 2.51% 3.36% 3.05% 8.55% 8.32%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $635,187 $623,976 $574,156 $552,311 $553,494 $384,837
Ratios of expenses to average net assets 0.56%(2) 0.56% 0.55% 0.55% 0.55% 0.55%
Ratios of net investment income to average net
assets 4.51%(2) 4.06% 4.02% 4.29% 5.14% 5.91%
Portfolio turnover 16%(3) 51% 67% 82% 78% 112%
</Table>
- ----------------------------------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than $0.005 per share.
(2) Annualized.
(3) Not Annualized.
- --------------------------------------------------------------------------------
68
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 DECEMBER 31,
ENDED 6/30/2006 ----------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 10.01 $ 10.40 $ 10.16 $ 9.04 $ 9.41 $ 9.86
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.36 0.68 0.74 0.72 0.71 0.84
Net Realized and Unrealized Gain (Loss) (0.18) (0.42) 0.16 0.93 (0.44) (0.51)
----------------------------------------------------------------------
Total from investment operations 0.18 0.26 0.90 1.65 0.27 0.33
----------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.65) (0.66) (0.53) (0.64) (0.78)
----------------------------------------------------------------------
Total distributions - (0.65) (0.66) (0.53) (0.64) (0.78)
----------------------------------------------------------------------
NET ASSET VALUE, end of period $ 10.19 $ 10.01 $ 10.40 $ 10.16 $ 9.04 $ 9.41
----------------------------------------------------------------------
TOTAL RETURN** 1.87% 2.51% 8.92% 18.46% 3.06% 3.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $142,110 $134,032 $118,318 $88,240 $25,850 $17,496
Ratios of expenses to average net assets 0.76%(2) 0.76% 0.76% 0.75% 0.76% 0.77%
Ratios of net investment income to average net
assets 7.10%(2) 6.47% 7.08% 7.29% 7.64% 8.41%
Portfolio Turnover 31%(3) 86%(4) 58% 45% 38% 34%
</Table>
<Table>
<Caption>
BALANCED FUND
-------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 6/30/2006 -------------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 19.40 $ 19.11 $ 18.04 $ 15.85 $ 18.42 $ 20.45
-------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.22 0.42 0.43 0.45 0.53 0.58
Net realized and unrealized gain (loss) (0.19) 0.32 1.08 2.18 (2.58) (1.23)
Net increase from payment by affiliates 0.00(1) - - - - -
-------------------------------------------------------------------------
Total from investment operations 0.03 0.74 1.51 2.63 (2.05) (0.65)
-------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.45) (0.44) (0.44) (0.52) (0.57)
Distributions from net realized gains - - - - (0.00)(1) (0.81)
-------------------------------------------------------------------------
Total distributions - (0.45) (0.44) (0.44) (0.52) (1.38)
-------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 19.43 $ 19.40 $ 19.11 $ 18.04 $ 15.85 $ 18.42
-------------------------------------------------------------------------
TOTAL RETURN**(5) 0.15% 3.89% 8.34% 16.82% (11.13)% (3.07)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $729,844 $785,301 $785,856 $712,180 $592,243 $679,548
Ratios of expenses to average net assets 0.71%(2) 0.71% 0.70% 0.70% 0.70% 0.70%
Ratios of net investment income to average net
assets 2.24%(2) 2.18% 2.34% 2.66% 3.12% 3.04%
Portfolio Turnover 24%(3) 52% 38% 39% 50% 52%
</Table>
- ----------------------------------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than ($0.005) per share.
(2) Annualized.
(3) Not Annualized.
(4) Subadvisor change February 28, 2005.
(5) In 2006, the Fund's Total Return included a voluntary reimbursement by the
Advisor for a realized investment loss that had no impact on the Total
Return.
- --------------------------------------------------------------------------------
69
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 DECEMBER 31,
ENDED 06/30/06 ----------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 31.62 $ 30.47 $ 27.52
----------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.31 0.54 0.46
Net realized and unrealized gain (loss) 1.22 1.16 2.95
----------------------------------------------------------
Total from investment operations 1.53 1.70 3.41
----------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income -- (0.55) (0.46)
Distributions from net realized gains -- -- --
Return of Capital -- -- --
----------------------------------------------------------
Total distributions -- (0.55) (0.46)
----------------------------------------------------------
NET ASSET VALUE, end of period $ 33.15 $ 31.62 $ 30.47
----------------------------------------------------------
TOTAL RETURN** 4.84% 5.58% 12.43%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $1,256,960 $1,239,868 $1,205,082
Ratios of expenses to average net assets 0.61%(1) 0.61% 0.60%
Ratio of net investment income to average net
assets 1.90%(1) 1.74% 1.67%
Portfolio Turnover 26%(2) 28% 15%
<Caption>
LARGE CAP VALUE FUND
--------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
--------------------------------------
(For a share outstanding throughout the period): 2003 2002 2001
- ------------------------------------------------
- ------------------------------------------------
NET ASSET VALUE, beginning of period $ 22.20 $ 28.73 $ 33.41
--------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.40 0.35 0.31
Net realized and unrealized gain (loss) 5.31 (6.53) (3.88)
--------------------------------------
Total from investment operations 5.71 (6.18) (3.57)
--------------------------------------
DISTRIBUTIONS:
Distributions from net investment income (0.39) (0.35) (0.31)
Distributions from net realized gains -- -- (0.79)
Return of Capital -- -- (0.01)
--------------------------------------
Total distributions (0.39) (0.35) (1.11)
--------------------------------------
NET ASSET VALUE, end of period $ 27.52 $ 22.20 $ 28.73
--------------------------------------
TOTAL RETURN** 25.89% (21.55)% (10.71)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $1,065,972 $764,895 $1,031,655
Ratios of expenses to average net assets 0.60% 0.60% 0.60%
Ratio of net investment income to average net
assets 1.69% 1.39% 1.05%
Portfolio Turnover 17% 18% 21%
</Table>
<Table>
<Caption>
LARGE CAP GROWTH FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 19.97 $ 19.68 $ 18.19 $ 14.15 $ 20.70 $ 26.39
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment income* 0.04 0.17 0.15 0.07 0.04 0.02
Net realized and unrealized gain (loss) (0.29) 0.30 1.48 4.05 (6.54) (2.37)
-------------------------------------------------------------------------------
Total from investment operations (0.25) 0.47 1.63 4.12 (6.50) (2.35)
-------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income -- (0.18) (0.14) (0.08) (0.04) (0.02)
Distributions from net realized gains -- -- -- -- (0.01) (3.32)
-------------------------------------------------------------------------------
Total distributions -- (0.18) (0.14) (0.08) (0.05) (3.34)
-------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 19.72 $ 19.97 $ 19.68 $ 18.19 $ 14.15 $ 20.70
-------------------------------------------------------------------------------
TOTAL RETURN** (1.29)% 2.42% 8.94% 29.13% (31.41)% (9.11)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $655,272 $688,812 $693,762 $617,603 $592,512 $871,111
Ratios of expenses to average net assets 0.81%(1) 0.81% 0.80% 0.80% 0.80% 0.80%
Ratios of net investment income to average net
assets 0.40%(1) 0.86% 0.82% 0.47% 0.25% 0.10%
Portfolio Turnover 50%(2) 73% 26% 29% 27% 28%
</Table>
- ----------------------------------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Annualized.
(2) Not Annualized.
- --------------------------------------------------------------------------------
70
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 DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 17.30 $ 16.58 $ 14.66 $ 11.22 $ 13.94 $ 13.77
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.08 0.11 0.18 0.07 0.07 0.05
Net realized and unrealized gain (loss) 0.96 1.61 2.14 3.43 (2.51) 1.39
-------------------------------------------------------------------------------
Total from investment operations 1.04 1.72 2.32 3.50 (2.44) 1.44
-------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.11) (0.15) (0.06) (0.06) (0.11)
Distributions from net realized gains - (0.89) (0.25) - (0.22) (1.16)
-------------------------------------------------------------------------------
Total distributions - (1.00) (0.40) (0.06) (0.28) (1.27)
-------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 18.34 $ 17.30 $ 16.58 $ 14.66 $ 11.22 $ 13.94
-------------------------------------------------------------------------------
TOTAL RETURN** 5.99% 10.32% 15.86% 31.21% (17.41)% 11.16%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $314,736 $275,279 $218,060 $158,698 $102,589 $105,414
Ratios of expenses to average net assets 1.01%(2) 1.01% 1.00% 1.00% 1.01% 1.01%
Ratios of net investment income to average net
assets 0.91%(2) 0.62% 1.20% 0.57% 0.54% 0.40%
Portfolio Turnover 69%(3) 29% 25% 22% 33% 42%
</Table>
<Table>
<Caption>
MID CAP GROWTH FUND
--------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 ---------------------------------------
(For a share outstanding throughout the period): (Unaudited) 2005 2004 2003
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 6.74 $ 6.80 $ 6.20 $ 4.67
--------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* (0.00)(1) (0.01) 0.00(1) (0.01)
Net realized and unrealized gain (loss) 0.00(1) 0.59 0.81 1.57
--------------------------------------------------------
Total from investment operations 0.00(1) 0.58 0.81 1.56
--------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - - (0.00)(1) (0.00)(1)
Distributions from net realized gains - (0.64) (0.21) (0.03)
Return of capital - - - -
--------------------------------------------------------
Total distributions - (0.64) (0.21) (0.03)
--------------------------------------------------------
NET ASSET VALUE, end of period $ 6.74 $ 6.74 $ 6.80 $ 6.20
--------------------------------------------------------
TOTAL RETURN** (0.06)% 8.75% 13.41% 33.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $368,380 $373,921 $336,673 $268,929
Ratios of expenses to average net assets 0.86%(2) 0.86% 0.85% 0.85%
Ratios of net investment income to average net
assets 0.00%(2) (0.13)% 0.04% (0.19)%
Portfolio Turnover 156%(3) 88% 77% 118%
<Caption>
MID CAP GROWTH FUND
--------------------------
FOR THE YEAR ENDED DECEMBER 31,
--------------------------
(For a share outstanding throughout the period): 2002 2001
- ------------------------------------------------
NET ASSET VALUE, beginning of period $ 6.24 $ 9.04
--------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* (0.00)(1) (0.00)(1)
Net realized and unrealized gain (loss) (1.57) (2.79)
--------------------------
Total from investment operations (1.57) (2.79)
--------------------------
DISTRIBUTIONS:
Distributions from net investment income (0.00)(1) (0.00)(1)
Distributions from net realized gains - -
Return of capital - (0.01)
--------------------------
Total distributions (0.00)1 (0.01)
--------------------------
NET ASSET VALUE, end of period $ 4.67 $ 6.24
--------------------------
TOTAL RETURN** (25.21)% (30.89)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $75,503 $13,923
Ratios of expenses to average net assets 0.86% 0.87%
Ratios of net investment income to average net
assets 0.03% (0.07)%
Portfolio Turnover 157% 204%
</Table>
- ----------------------------------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than ($0.005) per share.
(2) Annualized.
(3) Not Annualized.
- --------------------------------------------------------------------------------
71
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT
EACH PERIOD
<Table>
<Caption>
GLOBAL SECURITIES FUND
--------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD): (Unaudited) 2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 12.87 $ 11.49 $ 9.72 $ 6.94 $ 8.91 $ 9.96
--------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.08 0.09 0.06 0.05 0.04 0.04
Net realized and unrealized gain (loss) 0.38 1.52 1.73 2.80 (1.98) (1.06)
--------------------------------------------------------------------------------
Total from investment operations 0.46 1.61 1.79 2.85 (1.94) (1.02)
--------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.09) (0.02) (0.07) (0.03) (0.03)
Distributions from net realized gains - (0.14) - - - -
Return of capital - - - - - (0.00)(1)
--------------------------------------------------------------------------------
Total distributions - (0.23) (0.02) (0.07) (0.03) (0.03)
--------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 13.33 $ 12.87 $ 11.49 $ 9.72 $ 6.94 $ 8.91
--------------------------------------------------------------------------------
TOTAL RETURN** 3.60% 13.97% 18.42% 41.24% (21.77)% (10.32)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $ 49,694 $42,450 $29,979 $18,091 $10,174 $11,488
Ratios of expenses to average net assets 0.96%(2) 0.97% 0.96% 0.96% 0.96% 0.97%
Ratios of net investment income to average net
assets 1.18%(2) 0.80% 0.60% 0.66% 0.55% 0.45%
Portfolio Turnover 12%(3) 27% 18% 35% 37% 38%
</Table>
<Table>
<Caption>
INTERNATIONAL STOCK FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED 06/30/06 --------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD): (Unaudited) 2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, beginning of period $ 12.38 $ 11.36 $ 9.54 $ 7.19 $ 7.89 $ 9.73
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income* 0.16 0.17 0.12 0.11 0.09 0.07
Net realized and unrealized gain (loss) 0.88 1.71 1.84 2.30 (0.72) (1.86)
-------------------------------------------------------------------------------
Total from investment operations 1.04 1.88 1.96 2.41 (0.63) (1.79)
-------------------------------------------------------------------------------
DISTRIBUTIONS:
Distributions from net investment income - (0.15) (0.14) (0.05) (0.07) (0.01)
Distributions from net realized gains - (0.71) - - - -
Return of Capital - - - (0.01) - (0.04)
-------------------------------------------------------------------------------
Total distributions - (0.86) (0.14) (0.06) (0.07) (0.05)
-------------------------------------------------------------------------------
NET ASSET VALUE, end of period $ 13.42 $ 12.38 $ 11.36 $ 9.54 $ 7.19 $ 7.89
-------------------------------------------------------------------------------
TOTAL RETURN** 8.42% 16.53% 20.48% 33.61% (7.98)% (18.46)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $134,686 $108,482 $78,477 $56,606 $19,959 $18,977
Ratios of expenses to average net assets 1.21%(2) 1.21% 1.21% 1.21% 1.21% 1.22%
Ratios of net investment income to average net
assets 2.37%(2) 1.47% 1.16% 1.38% 1.15% 0.78%
Portfolio Turnover 37%(3) 52% 46% 33% 38% 47%
</Table>
- ----------------------------------
* Based on average shares outstanding during the year.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Amount represents less than ($0.005) per share.
(2) Annualized.
(3) Not Annualized.
- --------------------------------------------------------------------------------
72
See accompanying Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Fund is a
series fund with 13 investment portfolios (the "funds"), each with different
investment objectives and policies. The funds currently available are the Money
Market Fund, Bond Fund, High Income Fund, Balanced Fund, Large Cap Value Fund,
Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Global
Securities, International Stock Fund, and the Conservative Allocation Fund,
Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the
"Allocation Funds"). The Declaration of Trust permits the trustees to issue an
unlimited number of full and fractional shares of the Trust without par value.
As of the date of this report, the trustees have authorized the issuance of one
class of shares of the funds designated as Class Z. Class Z shares are offered
to separate accounts (the "Accounts") of CUNA Mutual Life Insurance Company and
to qualified pension and retirement plans of CUNA Mutual Life Insurance Company
or its affiliates ("CUNA Mutual Group"). The Fund may, in the future, offer
other share classes to separate accounts of insurance companies and to qualified
pension and retirement plans that are not affiliated with CUNA Mutual Group. The
Fund does not offer shares directly to the general public.
The accompanying financial statements include the Money Market 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. The
financial statements of the Allocation Funds which commenced operations on June
30, 2006 are presented in a separate report.
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 Fund or on the basis of
dealer-supplied quotations. Investments in shares of open-ended mutual funds,
including money market funds, are valued at their daily net asset value (NAV)
which is calculated as of 3:00 p.m. Central Time on each day on which the New
York Stock Exchange is open for business. NAV per share is determined by
dividing each fund's total net assets by the number of shares of such fund
outstanding at the time of calculation. Since the assets of each Allocation Fund
consist primarily of shares of the underlying funds, the NAV of each Allocation
Fund is determined based on the NAV's of the underlying funds. Total net assets
are determined by adding the total current value of portfolio securities, cash,
receivables, and other assets and subtracting liabilities. Short-term
instruments having maturities of 60 days or less and all securities in the Money
Market Fund are valued on an amortized cost basis.
Over-the-counter securities not quoted on NASDAQ are valued at the last sale
price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and asked
prices. Over-the-counter options are valued based upon prices provided by market
makers in such securities or dealers in such currencies. Financial futures
contracts generally are valued at the settlement price established by the
exchange on which the contracts are primarily traded. The Investment Adviser's
Securities Valuation Committee ("the Committee") shall estimate the fair value
of futures positions affected by the daily limit by using its valuation
procedures for determining fair value, when necessary. Forward foreign currency
exchange contracts are valued based on quotations supplied by dealers in such
contracts.
The value of all assets and liabilities denominated in foreign currencies will
be converted into U.S. dollar values at the noon (Eastern Standard Time) Reuters
spot rate.
All other securities for which either quotations are not readily available, no
other sales have occurred, or do not in the Investment Adviser's opinion,
reflect the current market value are appraised at their fair values as
determined in good faith by the Investment Adviser and under the general
supervision of the Board of Trustees. Because each Allocation Fund will only
invest in underlying funds, government securities and short-term paper, it is
not anticipated that the Investment Adviser will
- --------------------------------------------------------------------------------
73
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
need to "fair" value any of the investments of the Allocation Funds. However, an
underlying fund may need to fair value one or more of its investments. A fund's
investments (or underlying fund) will be valued at fair value if in the judgment
of the Committee an event impacting the value of an investment occurred between
the closing time of a security's primary market or exchange (for example, a
foreign exchange or market) and the time the fund's share price is calculated at
3:00 p.m. Central Time. Significant events may include, but are not limited to,
the following: (1) significant fluctuations in domestic markets, foreign markets
or foreign currencies; (2) occurrences not directly tied to the securities
markets such as natural disasters, armed conflicts or significant government
actions; and (3) major announcements affecting a single issuer or an entire
market or market sector. In responding to a significant event, the Committee
would determine the fair value of affected securities considering factors
including, but not limited to: index options and futures traded subsequent to
the close; ADRs, GDRs or other related receipts; currency spot or forward
markets that trade after pricing or foreign exchange; other derivative
securities traded after the close such as WEBs and SPDRs. The Committee may rely
on an independent fair valuation service to adjust the valuations of foreign
equity securities based on specific market-movement parameters established by
the Committee and approved by the Fund.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all its taxable income to
its shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the funds on the basis of
relative net assets.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities. As of June 30, 2006,
none of the funds had open repurchase agreements.
The Fund has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Fund's
custodian either physically or in book-entry form and that the collateral must
be marked to market daily to ensure that the repurchase agreement is fully
collateralized at all times. In the event of bankruptcy or other default by a
seller of a repurchase agreement, a fund could experience delays in liquidating
the underlying securities during the period in which the fund seeks to enforce
its rights thereto, possible subnormal levels of income, declines in value of
the underlying securities, or lack of access to income during this period and
the expense of enforcing it rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e. market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
The Mid Cap Growth, Global Securities and International Stock Funds report
certain foreign currency-related transactions as components of realized gains or
losses for financial reporting purposes, whereas such components are treated as
ordinary income for federal income tax purposes.
The funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
are due to changes in market prices of securities. Such amounts are categorized
as gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Money Market
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. When entering into forward foreign currency
exchange contracts, the funds agree to receive or deliver a fixed quantity of
foreign currency for an agreed-upon price on an agreed future date. These
contracts are valued daily. The funds' net assets reflect unrealized gains or
losses on the contracts as measured by the difference between the forward
foreign currency exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date. The funds realize a gain or a loss at the
time the forward foreign currency exchange contracts are settled or closed out
with an offsetting contract. Realized and unrealized gains and losses are
included in the Statements of Operations. For the six months ended June 30,
2006, none of the funds had open forward foreign currency exchange contracts.
- --------------------------------------------------------------------------------
74
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
liquid high grade debt securities in a segregated account with the fund's
custodian in an amount equal to the value of the fund's total assets committed
to the consummation of the forward contract. If the value of the securities in
the segregated account declines, additional cash or securities will be placed in
the segregated account so that the value of the account will equal the amount of
the fund's commitment with respect to the contract.
FUTURES CONTRACTS: Each fund, except the Money Market Fund, may purchase and
sell futures contracts and purchase and write options on futures contracts. The
funds will engage in futures contracts or related options transactions to hedge
certain market positions. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government securities
or other assets, equal to a certain percentage of the contract (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the fund each day, depending on the daily fluctuations in the fair value of
the futures contract. When a fund enters into a futures contract, the fund
segregates in cash or liquid securities, of any type or maturity, equal in value
to the fund's commitment. The fund recognizes a gain or loss equal to the daily
change in the value of the futures contracts. Should market conditions move
unexpectedly, the fund may not achieve the anticipated benefits of the futures
contracts and may realize a loss. As of June 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 June 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.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Fund has entered into a Management Agreement with MEMBERS Capital Advisors
Inc. (MCA), an affiliated company, whereby MCA provides or has arranged to
provide directly or through third parties, investment advisory, custody,
transfer agency, dividend disbursing, legal, accounting, and administrative
services to the funds. MCA has entered into subadvisory agreements with certain
subadvisers ("Subadvisers") for the management of the investments of the High
Income Fund, Mid Cap Growth Fund, Global Securities Fund, International Stock
Fund and a portion of the Mid Cap Value Fund.
For services under the Management Agreement, MCA is entitled to receive a
management fee, which is calculated daily and paid monthly, at an annual rate
based upon the following percentages of average daily net assets: 0.45% for the
Money Market Fund, 0.55% for the Bond Fund, 0.75% for the High Income Fund,
0.70% for the Balanced Fund, 0.60% for the Large Cap Value Fund, 0.80% for the
Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, 0.85% for the Mid Cap
Growth Fund, 0.95% for the Global Securities Fund, and 1.20% for the
International Stock Fund.
The MCA is solely responsible for the payment of all fees to the Subadvisers.
The Subadvisers for the funds at June 30, 2006 are Shenkman Capital Management,
Inc. for the High Income Fund, Wellington Management Company, LLP for a portion
of the Mid Cap Value Fund and the entire Mid Cap Growth Fund, Oppenheimer Funds,
Inc. for the Global Securities Fund and Lazard Asset Management LLC for the
International Stock Fund. MCA manages the other portion of the Mid Cap Value
Fund, Bond Fund, Balanced Fund, Large Cap Growth Fund, Large Cap Value Fund, and
the Money Market Fund.
MCA reimbursed the Balanced Fund during the current period for realized losses
resulting from a trading error in the amount of $8,273 or .0002 per share based
upon the Fund's shares outstanding as of June 30, 2006.
In addition to the management fee, the Fund is responsible for fees of the
disinterested trustees, brokerage commissions and other expenses incurred in
connection with the acquisition or disposition of investments, costs of
borrowing money, expenses for independent audits, tax, compliance and
extraordinary expenses as approved by a majority of the disinterested trustees.
Unaffiliated trustees receive from the Fund an attendance fee for each Board or
committee meeting attended, with an additional remuneration paid to the "lead"
trustee and audit committee chair.
- --------------------------------------------------------------------------------
75
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
All shares are distributed through CUNA Brokerage Service, Inc. ("CUNA
Brokerage"), an affiliated company, pursuant to a distribution agreement between
the Trust and CUNA Brokerage. CUNA Brokerage's principal place of business is
located at 5910 Mineral Point Road, Madison, WI 53705.
The Fund has entered into an agreement with CUNA Mutual Life Insurance Company
setting forth the terms and conditions pursuant to which the Accounts purchase
and redeem shares of the funds. Investments in the Fund by the Accounts are made
through either variable annuity or variable life insurance contracts. Net
purchase payments under the variable contracts are placed in one or more
subaccounts of the Accounts, and the assets of each subaccount are invested
(without sales or redemption charges) in shares of the fund corresponding to
that subaccount. Fund shares are sold and redeemed at a price equal to the
shares' net asset value. The assets of each fund are held separate from the
assets of the other funds.
4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
With respect to the Money Market Fund, dividends from net investment income and
net realized gains are declared and reinvested daily in additional full and
fractional shares of the Money Market Fund. The Bond Fund, High Income Fund,
Balanced Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund,
Mid Cap Growth Fund, Global Securities Fund, International Stock Fund, and the
Allocation Funds declare and reinvest dividends from net investment income
annually in additional full and fractional shares of the respective funds.
Distributions from net realized gains from investment transactions, if any, are
distributed and reinvested to shareholders annually.
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions may
differ from book amounts earned during the period due to differences in the
timing of capital gains recognition, and due to the reclassification of certain
gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the six months ended June 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 $75,552,029 $60,570,633 $ 24,298,321 $ 33,232,137
High Income -- -- 54,516,933 40,955,001
Balanced 71,784,207 22,469,402 106,206,415 218,419,623
Large Cap Value -- -- 324,946,375 330,055,347
Large Cap Growth -- -- 335,833,845 346,686,064
Mid Cap Value -- -- 238,887,215 205,857,453
Mid Cap Growth -- -- 585,446,785 584,511,981
Global Securities -- -- 11,765,530 5,619,423
International Stock -- -- 63,797,721 45,249,695
</Table>
6. FOREIGN SECURITIES
Each fund may invest in foreign securities, although only the Mid Cap Growth
Fund, Global Securities Fund, and International Stock Fund anticipate having
significant investments in such securities, and the Money Market Fund is limited
to U.S. dollar-denominated foreign money market securities. Foreign securities
refer to securities that are: (1) issued by companies organized outside the U.S.
or whose principal operations are outside the U.S., (2) issued by foreign
governments or their agencies or instrumentalities, (3) principally traded
outside the U.S., or (4) quoted or denominated in a foreign currency. Foreign
securities include ADRs, EDRs, 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.
- --------------------------------------------------------------------------------
76
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
7. SECURITIES LENDING
Each fund, except the Money Market Fund, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company ("State
Street"). Under the terms of the Agreement, the funds may lend portfolio
securities to qualified borrowers in order to earn additional income. The
Agreement requires that loans are collateralized at all times by cash or other
liquid assets at least equal to 102% of the value of the securities, which is
determined on a daily basis. At June 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 $3,559,608 and $6,386,983, respectively. The value of all cash
collateral is included within the Portfolio of Investments with an offsetting
liability, payable upon return of securities loaned, reflected on the Statements
of Assets and Liabilities.
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statements of Operations. The value of securities on
loan at June 30, 2006 is as follows:
<Table>
<Caption>
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Bond $152,202,615
High Income 26,740,974
Balanced 92,670,619
Large Cap Value 25,421,601
Large Cap Growth 35,409,052
Mid Cap Value 45,181,955
Mid Cap Growth 80,230,251
Global Securities 1,328,791
</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
The tax character of distributions paid during the years ended December 31, 2005
and 2004 was as follows:
<Table>
<Caption>
ORDINARY INCOME LONG-TERM CAPITAL GAINS
--------------- -----------------------
FUND 2005 2004 2005 2004
- ---- ---- ---- ---- ----
Money Market $ 3,569,813 $ 1,221,371 $ -- $ --
Bond 25,187,481 22,943,666 -- --
High Income 8,189,568 7,039,140 -- --
Balanced 17,769,981 17,712,402 -- --
Large Cap Value 21,292,637 18,038,982 -- --
Large Cap Growth 6,310,154 4,762,955 -- --
Mid Cap Value 4,471,729 1,964,713 10,474,065 3,150,100
Mid Cap Growth 4,177,886 2,802,726 29,158,294 7,298,167
Global Securities 281,616 60,400 446,500 --
International Stock 1,689,222 935,800 5,339,322 --
</Table>
As of December 31, 2005, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
FUND ORDINARY INCOME LONG-TERM CAPITAL GAINS
- ---- --------------- -----------------------
Money Market $ -- $ --
Bond 407,191 --
High Income 120,993 --
Balanced 248,343 --
Large Cap Value 351,650 --
Large Cap Growth 133,823 --
Mid Cap Value 123,521 318,450
Mid Cap Growth 1,379,617 4,581,519
Global Securities 120,223 588,912
International Stock 935,903 420,940
</Table>
- --------------------------------------------------------------------------------
77
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
For federal income tax purposes, the funds listed below have capital loss
carryovers as of December 31, 2005, which are available to offset future capital
gains, if any:
<Table>
<Caption>
CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER CARRYOVER
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING
FUND IN 2007 IN 2008 IN 2009 IN 2010 IN 2011 IN 2012 IN 2013
- ---- ------- ------- ------- ------- ------- ------- -------
Bond $235,991 $7,577,224 $ -- $1,857,702 $ 104,606 $1,560,242 $1,445,891
High Income -- -- -- 127,582 -- -- 147,682
Balanced -- -- -- -- 2,061,005 -- --
Large Cap Value -- -- -- -- 1,844,912 918,038 --
Large Cap Growth -- -- -- 2,145,414 58,744,910 -- --
</Table>
After October 31, 2005, the following funds had capital and currency losses in
the following amounts:
<Table>
<Caption>
FUND POST-OCTOBER CURRENCY LOSSES
- ---- ----------------------------
Global Securities $ 4,712
International Stock 24,620
</Table>
For federal income tax purposes, these amounts are deferred and deemed to have
occurred in the next fiscal year.
At June 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 $ 1,898,649 $(20,772,312) $(18,873,663)
High Income 881,456 (3,307,702) (2,426,246)
Balanced 88,096,965 (20,819,555) 67,277,410
Large Cap Value 237,417,295 (20,589,313) 216,827,982
Large Cap Growth 54,316,843 (36,716,111) 17,600,732
Mid Cap Value 42,472,435 (5,921,485) 36,550,950
Mid Cap Growth 8,713,153 (29,034,816) (20,321,663)
Global Securities 9,632,688 (1,157,444) 8,475,244
International Stock 22,642,080 (2,089,764) 20,552,316
</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, International Stock Fund, and the Global Securities Fund enter into these
contracts primarily to protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in
U.S. markets. These include risks associated with adverse changes in economic,
political, regulatory and other conditions, changes in currency exchange rates,
exchange control regulations, expropriation of assets or nationalization,
imposition of withholding taxes on dividend or interest payments or capital
gains, and possible difficulty in obtaining and enforcing judgments against
foreign entities. Further, issuers of foreign securities are subject to
different, and often less comprehensive, accounting, reporting and disclosure
requirements than domestic issuers.
The High Income Fund invests in securities offering high current income which
generally will include bonds in the below investment grade categories of
recognized ratings agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
- --------------------------------------------------------------------------------
78
OTHER INFORMATION (UNAUDITED)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur
ongoing costs which include management fees; disinterested trustees fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples in the table that follows
are intended to help you understand your ongoing costs (in dollars) of investing
in the funds and to compare these costs with the ongoing costs of investing in
other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of
the period and held for the entire six-month period ended June 30, 2006.
ACTUAL EXPENSES
The table provides information about actual account values and actual expenses
for the funds. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the table
for the fund you own under the heading entitled "Actual" to estimate the
expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table also provides information about hypothetical account values and
hypothetical expenses based on the funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the funds' actual
returns. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the
funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds.
<Table>
<Caption>
ACTUAL HYPOTHETICAL
-------------------- --------------------
EXPENSES EXPENSES
BEGINNING ANNUAL ENDING PAID ENDING PAID
ACCOUNT EXPENSE ACCOUNT DURING ACCOUNT DURING
FUND VALUE RATIO VALUE PERIOD* VALUE PERIOD*
- ---- ----- ----- ----- ------- ----- -------
Money Market $1,000 0.47% $1,020.70 $2.35 $1,022.46 $2.36
Bond 1,000 0.56% 992.20 2.77 1,022.02 2.81
High Income 1,000 0.76% 1,018.70 3.80 1,021.03 3.81
Balanced 1,000 0.71% 1,001.50 3.52 1,021.27 3.56
Large Cap Value 1,000 0.61% 1,048.40 3.10 1,021.77 3.06
Large Cap Growth 1,000 0.81% 987.10 3.99 1,020.78 4.06
Mid Cap Value 1,000 1.01% 1,059.90 5.16 1,019.79 5.06
Mid Cap Growth 1,000 0.86% 999.40 4.26 1,020.53 4.31
Global Securities 1,000 0.96% 1,036.00 4.85 1,020.03 4.81
International Stock 1,000 1.21% 1,084.20 6.25 1,018.79 6.06
</Table>
(*) Expenses are equal to the fund's annualized expense ratio, multiplied by the
average account value over the period, multiplied by number of days in most
recent fiscal half-year (181) divided by 365 to reflect the one-half year
period.
PLEASE NOTE THAT THE EXPENSES SHOWN IN THE TABLE ARE MEANT TO HIGHLIGHT YOUR
ONGOING COSTS OF THE FUNDS AND DO NOT REFLECT ANY SEPARATE ACCOUNT FEES,
CHARGES, OR EXPENSES IMPOSED BY THE VARIABLE ANNUITY OR VARIABLE LIFE INSURANCE
CONTRACTS, OR RETIREMENT AND PENSION PLANS THAT USE THE FUNDS. IF THESE FEES,
CHARGES OR EXPENSES WERE INCLUDED, YOUR COSTS WOULD HAVE BEEN HIGHER. Therefore,
the information provided in the hypothetical example table is useful in
comparing ongoing fund costs only, and will not help you determine the relative
total costs of owning different funds.
- --------------------------------------------------------------------------------
79
OTHER INFORMATION (UNAUDITED)
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the SEC's website at www.sec.gov Form N-Q may also
be reviewed and copied at the Commission's Public Reference Room in Washington,
DC. More information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES, AND RECORDS
A description of the policies and procedures used by the Fund to vote proxies
related to portfolio securities is available to share-holders at no cost on the
SEC's website at www.sec.gov or by calling CUNA Mutual Life Insurance Company at
1-800-798-5500. The proxy voting records for the funds for the most recent
twelve-month period ended June 30 are available to shareholders at no cost on
the SEC's website at www.sec.gov.
- --------------------------------------------------------------------------------
80
TRUSTEES AND OFFICERS
Each trustee and officer oversees 25 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 12 portfolios and the Ultra Series
Fund with 13 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available at
no cost on the SEC's website at www.sec.gov or by calling CUNA Mutual Life
Insurance Company at 1-800-798-5500.
<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,
Principal Executive Officer Inc.: President (since 2005); CUNA Mutual Life
["PEO"](2006) Insurance Company: Chief Investment Officer (since
1947 2005); 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.
1970 2006), 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
1960 2005) 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
1966 Manager 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
1938 (1983-2002).
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
Trustee (2005) W. Baird & Company: Senior Vice President
1954 Marketing and 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.
- --------------------------------------------------------------------------------
81
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82
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- --------------------------------------------------------------------------------
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84
(CUNA MUTUAL GROUP LOGO)
CUNA Mutual Life Insurance Company
2000 Heritage Way
Waverly, IA 50677
Form 1950 0805
(SEMIANNUAL REPORT LOGO)
For Period Ended June 30, 2006
CONSERVATIVE ALLOCATION, MODERATE ALLOCATION AND AGGRESSIVE ALLOCATION FUNDS OF
THE ULTRA SERIES FUND
DISTRIBUTED BY:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677
TELEPHONE:
(319) 352-4090
(800) 798-5500
This material is for reporting purposes only and shall not be used in connection
with a solicitation, offer or any proposed sale of purchase of securities unless
preceded or accompanied by a prospectus.
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2)
------ --------------
INVESTMENTS IN UNDERLYING FUNDS - 100.00%
DEBT SECURITIES - 54.20%
51,509 MEMBERS Bond Fund Class Y $ 495,000
6,519 MEMBERS High Income Fund Class Y 47,000
----------
542,000
----------
EQUITY SECURITIES - 33.80%
3,363 MEMBERS International Stock Fund Class Y 49,000
7,950 MEMBERS Large Cap Growth Fund Class Y 109,000
10,306 MEMBERS Large Cap Value Fund Class Y 145,000
5,993 MEMBERS Mid Cap Growth Fund Class Y 35,000
----------
338,000
----------
MONEY MARKET - 12.00%
120,000 MEMBERS Cash Reserves Fund Class Y 120,000
----------
TOTAL INVESTMENTS IN UNDERLYING FUNDS
(Cost $1,000,000) 1,000,000
----------
TOTAL INVESTMENTS - 100.00%
(Cost $1,000,000**) 1,000,000
----------
NET OTHER ASSETS AND LIABILITIES - 0.00% --
----------
TOTAL NET ASSETS - 100.00% $1,000,000
----------
- ----------
** Aggregate cost for Federal tax purposes was $1,000,000.
See accompanying Notes to Financial Statements.
1
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2)
------ --------------
INVESTMENTS IN UNDERLYING FUNDS - 100.00%
DEBT SECURITIES - 54.20%
51,509 MEMBERS Bond Fund Class Y $ 495,000
6,519 MEMBERS High Income Fund Class Y 47,000
----------
542,000
----------
EQUITY SECURITIES - 33.80%
3,363 MEMBERS International Stock Fund Class Y 49,000
7,950 MEMBERS Large Cap Growth Fund Class Y 109,000
10,306 MEMBERS Large Cap Value Fund Class Y 145,000
5,993 MEMBERS Mid Cap Growth Fund Class Y 35,000
----------
338,000
----------
MONEY MARKET - 12.00%
120,000 MEMBERS Cash Reserves Fund Class Y 120,000
----------
TOTAL INVESTMENTS IN UNDERLYING FUNDS
(Cost $1,000,000) 1,000,000
----------
TOTAL INVESTMENTS - 100.00%
(Cost $1,000,000**) 1,000,000
----------
NET OTHER ASSETS AND LIABILITIES - 0.00% --
----------
TOTAL NET ASSETS - 100.00% $1,000,000
----------
- ----------
** Aggregate cost for Federal tax purposes was $1,000,000.
See accompanying Notes to Financial Statements.
2
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2)
------ --------------
INVESTMENTS IN UNDERLYING FUNDS - 100.00%
EQUITY SECURITIES - 100.00%
20,110 MEMBERS International Stock Fund Class Y $ 293,000
14,442 MEMBERS Large Cap Growth Fund Class Y 198,000
12,722 MEMBERS Large Cap Value Fund Class Y 179,000
30,308 MEMBERS Mid Cap Growth Fund Class Y 177,000
10,523 MEMBERS Mid Cap Value Fund Class Y 153,000
----------
TOTAL INVESTMENTS IN UNDERLYING FUNDS
(Cost $1,000,000) 1,000,000
----------
TOTAL INVESTMENTS - 100.00%
(Cost $1,000,000**) 1,000,000
----------
NET OTHER ASSETS AND LIABILITIES - 0.00% --
TOTAL NET ASSETS - 100.00% $1,000,000
----------
- ----------
** Aggregate cost for Federal tax purposes was $1,000,000.
See accompanying Notes to Financial Statements.
3
STATEMENT OF ASSETS AND LIABILITIES AS OF JUNE 30, 2006 (UNAUDITED)
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION FUND(1) ALLOCATION FUND (1) ALLOCATION FUND (1)
------------------ ------------------- -------------------
ASSETS:
Investments in securities, at value* $1,000,000 $1,000,000 $1,000,000
Receivables:
Fund shares sold 1,000,000 1,000,000 1,000,000
---------- ---------- ----------
Total Assets 2,000,000 2,000,000 2,000,000
---------- ---------- ----------
LIABILITIES:
Payables:
Investments purchased 1,000,000 1,000,000 1,000,000
---------- ---------- ----------
Total Liabilities 1,000,000 1,000,000 1,000,000
---------- ---------- ----------
Net assets applicable to outstanding capital stock $1,000,000 $1,000,000 $1,000,000
---------- ---------- ----------
Represented by:
Capital stock and additional paid-in capital $1,000,000 $1,000,000 $1,000,000
---------- ---------- ----------
Total net assets - representing net assets
applicable to outstanding capital stock $1,000,000 $1,000,000 $1,000,000
---------- ---------- ----------
Number of Class Z Shares issued and outstanding 100,000 100,000 100,000
---------- ---------- ----------
Net asset value per share of outstanding capital
stock, offering price and redemption price
10.00 10.00 10.00
---------- ---------- ----------
*Cost of Investments $1,000,000 $1,000,000 $1,000,000
---------- ---------- ----------
(1) Fund commenced investment operations on June 30, 2006.
See accompanying Notes to Financial Statements.
4
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2006 (UNAUDITED)
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION FUND(1) ALLOCATION FUND (1) ALLOCATION FUND (1)
------------------ ------------------- -------------------
INVESTMENT INCOME:
Interest $-- $-- $--
Dividend -- -- --
Less: Foreign taxes withheld -- -- --
Securities lending income -- -- --
--- --- ---
Total investment income -- -- --
--- --- ---
EXPENSES:
Management fees -- -- --
Trustees' fees -- -- --
Audit and Tax fees -- -- --
Compliance expense -- -- --
--- --- ---
Total expenses -- -- --
--- --- ---
NET INVESTMENT INCOME (LOSS) -- -- --
--- --- ---
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments
(including net realized gain (loss) on
on foreign currency related transactions) -- -- --
Net change in unrealized depreciation on
investments (including net unrealized
appreciation (depreciation) on foreign
currency related transactions) -- -- --
--- --- ---
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS -- -- --
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS $-- $-- $--
--- --- ---
(1) Fund commenced investment operations on June 30, 2006.
See accompanying Notes to Financial Statements.
5
STATEMENT OF CHANGES IN NET ASSETS
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION FUND ALLOCATION FUND ALLOCATION FUND
PERIOD ENDED PERIOD ENDED PERIOD ENDED
JUNE 30, 2006 JUNE 30, 2006 JUNE 30, 2006
(UNAUDITED)(1) (UNAUDITED)(1) (UNAUDITED)(1)
------------------ ------------------- -------------------
OPERATIONS:
Net investment income $ -- $ -- $ --
Net realized gain (loss) on investments -- -- --
Net change in unrealized depreciation on
investments -- -- --
---------- ---------- ----------
Increase (decrease) in net assets from
operations -- -- --
---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- --
---------- ---------- ----------
Change in net assets from distributions -- -- --
---------- ---------- ----------
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 1,000,000 1,000,000 1,000,000
Net asset value of shares issued in reinvestment
of distributions -- -- --
---------- ---------- ----------
1,000,000 1,000,000 1,000,000
---------- ---------- ----------
Cost of shares repurchased -- -- --
---------- ---------- ----------
Net increase in net assets from capital
share transactions 1,000,000 1,000,000 1,000,000
---------- ---------- ----------
Total increase in net assets 1,000,000 1,000,000 1,000,000
---------- ---------- ----------
NET ASSETS:
Beginning of year -- -- --
---------- ---------- ----------
End of year $1,000,000 $1,000,000 $1,000,000
---------- ---------- ----------
Undistributed net investment income included
in net assets $ -- $ -- $ --
---------- ---------- ----------
OTHER INFORMATION:
Class Z Capital Share transactions:
Shares sold 100,000 100,000 100,000
Shares issued in reinvestment of distributions -- -- --
---------- ---------- ----------
100,000 100,000 100,000
Shares redeemed -- -- --
---------- ---------- ----------
Net increase in shares outstanding 100,000 100,000 100,000
---------- ---------- ----------
(1) Fund commenced investment operations on June 30, 2006.
See accompanying Notes to Financial Statements.
6
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING TROUGHOUT
EACH PERIOD
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION FUND ALLOCATION FUND ALLOCATION FUND
PERIOD ENDED PERIOD ENDED PERIOD ENDED
06/30/2006 06/30/2006 06/30/2006
(UNAUDITED)(1) (UNAUDITED)(1) (UNAUDITED)(1)
------------------ ------------------- -------------------
(For a share outstanding throughout the period):
NET ASSET VALUE, beginning of period $ 10.00 $ 10.00 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net Investment Income* -- -- --
Net Realized and Unrealized Gain (Loss) -- -- --
---------- ---------- ----------
Total from Investment Operations -- -- --
---------- ---------- ----------
DISTRIBUTIONS:
Distributions from Net Investment Income -- -- --
---------- ---------- ----------
NET ASSET VALUE, end of period $ 10.00 $ 10.00 $ 10.00
---------- ---------- ----------
TOTAL RETURN** 0.00% 0.00% 0.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in 000's) $1,000,000 $1,000,000 $1,000,000
Ratios of expenses to average net assets -- -- --
Ratios of net investment income to average net assets -- -- --
Portfolio Turnover -- -- --
* Based on average shares outstanding during the period.
** These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(1) Fund commenced investment operations on June 30, 2006.
See accompanying Notes to Financial Statements.
7
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF THE FUND
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Fund
is a series fund with 13 investment portfolios (the "funds"), each with
different investment objectives and policies. The funds currently available
are the Money Market Fund, Bond Fund, High Income Fund, Balanced Fund,
Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap
Growth Fund, Global Securities, International Stock Fund and the
Conservative Allocation Fund, Moderate Allocation Fund and Aggressive
Allocation Fund (collectively, the "Allocation Funds"). The Declaration of
Trust permits the trustees to issue an unlimited number of full and
fractional shares of the Trust without par value. As of the date of this
report, the trustees have authorized the issuance of one class of shares of
the funds designated as Class Z. Class Z shares are offered to separate
accounts (the "Accounts") of CUNA Mutual Life Insurance Company and to
qualified pension and retirement plans of CUNA Mutual Life Insurance
Company or its affiliates ("CUNA Mutual Group"). The Fund may, in the
future, offer other share classes to separate accounts of insurance
companies and to qualified pension and retirement plans that are not
affiliated with CUNA Mutual Group. The Fund does not offer shares directly
to the general public.
The accompanying financial statements include the Conservative Allocation
Fund, Moderate Allocation Fund and the Aggressive Allocation Fund. The
financial statements of the Money Market Fund, Bond Fund, High Income Fund,
Balanced Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value
Fund, Mid Cap Growth Fund, Global Securities and International Stock Fund
are presented in a separate report.
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 Fund or on the basis of dealer-supplied quotations.
Investments in shares of open-ended mutual funds, including money market
funds, are valued at their daily net asset value (NAV) which is calculated
as of 3:00 p.m. Central Time on each day on which the New York Stock
Exchange is open for business. NAV per share is determined by dividing each
fund's total net assets by the number of shares of such fund outstanding at
the time of calculation. Since the assets of each Allocation Fund consist
primarily of shares of the underlying funds, the NAV of each Allocation
Fund is determined based on the NAV's of the underlying funds. Total net
assets are determined by adding the total current value of portfolio
securities, cash, receivables, and other assets and subtracting
liabilities. Short-term instruments having maturities of 60 days or less
and all securities in the Money Market Fund are valued on an amortized cost
basis.
Over-the-counter securities not quoted on NASDAQ are valued at the last
sale price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and
asked prices. Over-the-counter options are valued based upon prices
provided by market makers in such securities or dealers in such currencies.
Financial futures contracts generally are valued at the settlement price
established by the exchange on which the contracts are primarily traded.
The Investment Adviser's Securities Valuation Committee ("the Committee")
shall estimate the fair value of futures positions affected by the daily
limit by using its valuation procedures for determining fair value, when
necessary. Forward foreign currency exchange contracts are valued based on
quotations supplied by dealers in such contracts.
The value of all assets and liabilities denominated in foreign currencies
will be converted into U.S. dollar values at the noon (Eastern Standard
Time) Reuters spot rate.
All other securities for which either quotations are not readily available,
no other sales have occurred, or do not in the Investment Adviser's
opinion, reflect the current market value are appraised at their fair
values as determined in good faith by the Investment Adviser and under the
general supervision of the Board of Trustees. Because each Allocation Fund
will only invest in underlying funds, government securities and short-term
paper, it is not anticipated that the Investment Adviser will need to
"fair" value any of the investments of the Allocation Funds. However, an
underlying fund may need to "fair" value one or more of its investments. A
fund's investments (or underlying fund) 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)
8
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
and the time the fund's share price is calculated at 3:00 p.m. Central
Time. Significant events may include, but are not limited to, the
following: (1) significant fluctuations in domestic markets, foreign
markets or foreign currencies; (2) occurrences not directly tied to the
securities markets such as natural disasters, armed conflicts or
significant government actions; and (3) major announcements affecting a
single issuer or an entire market or market sector. In responding to a
significant event, the Committee would determine the fair value of affected
securities considering factors including, but not limited to: index options
and futures traded subsequent to the close; ADRs, GDRs or other related
receipts; currency spot or forward markets that trade after pricing or
foreign exchange; other derivative securities traded after the close such
as WEBs and SPDRs. The Committee may rely on an independent fair valuation
service to adjust the valuations of foreign equity securities based on
specific market-movement parameters established by the Committee and
approved by the Fund.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses on sales are determined by the identified cost method.
Interest income is recorded on an accrual basis. Dividend income is
recorded on ex-dividend date. Amortization and accretion are recorded on
the effective yield method.
FEDERAL INCOME TAXES
It is each fund's policy to comply with the requirements of Subchapter M of
the Internal Revenue Code of 1986 applicable to regulated investment
companies and to distribute substantially all its taxable income to its
shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
EXPENSES
Expenses that are directly related to one fund are charged directly to that
fund. Other operating expenses are prorated to the funds on the basis of
relative net assets.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Fund has entered into a Management Agreement with MEMBERS Capital
Advisors Inc. (MCA), an affiliated company, whereby MCA provides or has
arranged to provide directly or through third parties, investment advisory,
custody, transfer agency, dividend disbursing, legal, accounting, and
administrative services to the funds.
For services under the Management Agreement, MCA is entitled to receive a
management fee, which is calculated daily and paid monthly, at an annual
rate based upon the following percentages of average daily net assets:
0.20% for the Conservative Allocation Fund, Moderate Allocation Fund and
Aggressive Allocation Fund.
In addition to the management fee, the Fund is responsible for fees of the
disinterested trustees, brokerage commissions and other expenses incurred
in connection with the acquisition or disposition of investments, costs of
borrowing money, expenses for independent audits, tax, compliance and
extraordinary expenses as approved by a majority of the disinterested
trustees.
Unaffiliated trustees receive from the Fund an attendance fee for each
Board or committee meeting attended, with an additional remuneration paid
to the "lead" trustee and audit committee chair.
All shares are distributed through CUNA Brokerage Service, Inc. ("CUNA
Brokerage"), an affiliated company, pursuant to a distribution agreement
between the Trust and CUNA Brokerage. CUNA Brokerage's principal place of
business is located at 5910 Mineral Point Road, Madison, WI 53705.
The Fund has entered into an agreement with CUNA Mutual Life Insurance
Company setting forth the terms and conditions pursuant to which the
Accounts purchase and redeem shares of the funds. Investments in the Fund
by the Accounts are made through either variable annuity or variable life
insurance contracts. Net purchase payments under the variable contracts are
placed in one or more subaccounts of the Accounts, and the assets of each
subaccount are invested (without sales or redemption charges) in shares of
the fund corresponding to that subaccount. Fund shares are sold and
redeemed at a price equal to the shares' net asset value. The assets of
each fund are held separate from the assets of the other funds.
4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The Allocation Funds declare and reinvest dividends from net investment
income annually in additional full and fractional shares of the respective
funds. Distributions from net realized gains from investment transactions,
if any, are distributed and reinvested to shareholders annually.
Income and capital gain distributions, if any, are determined in accordance
with federal income tax regulations, which may differ from accounting
principles generally accepted in the United States of America. Taxable
distributions may differ from book amounts earned during the period due to
differences in the timing of capital gains recognition, and due to the
reclassification of certain gains or losses from capital to income.
9
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2006, aggregate cost of purchases and
proceeds from sales of securities, other than short-term investments, were
as follows:
OTHER INVESTMENT
SECURITIES
------------------
FUND PURCHASES SALES
- ---- ---------- -----
Conservative Allocation Fund $ 880,000 --
Moderate Allocation Fund 950,000 --
Aggressive Allocation Fund 1,000,000 --
6. TAX INFORMATION
Since the Allocation Funds commenced operations June 30, 2006, tax
information for prior periods is not applicable.
At June 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:
FUND APPRECIATION DEPRECIATION NET
- ---- ------------ ------------ ---
Conservative Allocation Fund -- -- --
Moderate Allocation Fund -- -- --
Aggressive Allocation Fund -- -- --
7. CONCENTRATION OF RISK
The fund is a fund of funds, meaning that it invests primarily in the
shares of other registered investment companies (the "underlying funds"),
including ETFs. Thus, the fund's investment performance and its ability to
achieve its investment goal are directly related to the performance of the
underlying funds in which it invests. Each underlying fund's performance,
in turn, depends on the particular securities in which that underlying fund
invests and the expenses of that fund. Accordingly, the fund is subject to
the risks of the underlying funds in direct proportion to the allocation of
its assets among the underlying funds. You could lose money as a result of
your investment.
Additionally, the fund is subject to ASSET ALLOCATION RISK, which is the
risk that the selection of the underlying funds and the allocation of the
fund's assets among the various asset classes and market segments will
cause the fund to under perform other funds with a similar investment
objective.
10
OTHER INFORMATION (UNAUDITED)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur
ongoing costs which include management fees; disinterested trustees fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples 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.
Since the Allocation Funds commenced operations at the close of the market on
the last day of the period there is no data to report for the six-month period
ended June 30, 2006. Going forward we will provide examples in a table provided
herein, based on an investment of $1,000 invested at the beginning of the period
and held for the entire six-month period.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the SEC's website at www.sec.gov. Form N-Q may
also be reviewed and copied at the Commission's Public Reference Room in
Washington, DC. More information on the operation of the Public Reference Room
may be obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES, AND RECORDS
A description of the policies and procedures used by the Fund to vote proxies
related to portfolio securities is available to shareholders at no cost on the
SEC's website at www.sec.gov or by calling CUNA Mutual Life Insurance Company at
1-800-798-5500. The proxy voting records for the funds for the most recent
twelve-month period ended June 30 are available to shareholders at no cost on
the SEC's website at www.sec.gov.
11
TRUSTEES AND OFFICERS
Each trustee and officer oversees 25 portfolios in the fund complex, which
consists of the MEMBERS Mutual Funds with 12 portfolios and the Ultra Series
Fund with 13 portfolios. The address of each trustee and officer is 5910 Mineral
Point Road, Madison WI 53705. The Statement of Additional Information, which
includes additional information about the trustees and officers, is available at
no cost on the SEC's website at www.sec.gov or by calling CUNA Mutual Life
Insurance Company at 1-800-798-5500.
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 Officer (since 2005); MEMBERS
Trustee, President & Capital Advisors, Inc.: President (since 2005); CUNA Mutual Life Insurance
Principal Executive Officer ["PEO"] (2006) Company: Chief Investment Officer (since 2005); Citigroup Insurance Investors:
1947 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 President-Equities (since 1996).
Trustee (1997) Other Directorships: None
President& PEO (1997-2005)
1945
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice President-Finance and Operations (since Jan.
Treasurer (1998) 2006), Assistant Vice President-Finance and Operations (2001-2005) and Product
1970 Operations and Finance Manager (1998-2001).
Other Directorships: None
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Operations Officer-Mutual Funds (since July
Secretary and Assistant Treasurer (1999) 2005), Senior Manager Product and Fund Operations (2001-June 2005) and
1960 Operations and Administration Manager (1998-2001).
Other Directorships: None
Dan P. Owens MEMBERS Capital Advisors, Inc.: Operations Officer-Investments (since July 2005),
Assistant Treasurer (2000) Senior Manager Portfolio Operations (2001-June 2005) and Investment Operations
1966 Manager (1999-2001).
Other Directorships: None
Molly Nelson MEMBERS Capital Advisors, Inc.: Chief Compliance Officer (since May 2005); Harris
Chief Compliance Officer (2005) Associates L.P.: Chief Compliance Officer/Advisor (1985-2005).
1962 Other Directorships: None
INDEPENDENT TRUSTEES
Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and President (1983-2002);
Chairman (2006) Lutheran Brotherhood (now Thrivent Financial) Chief Investment Officer (1983-2002).
Trustee (2003) Other Directorships: Regis Corp, Director (since 1982).
1938
Gwendolyn M. Boeke Wartburg Theological Seminary Development Association: Development Associate
Trustee (1997) (1997-2003); Evangelical Lutheran Church in America Foundation: Regional
1934 Director (1990-2000); Wartburg College: Director (1986-2001).
Other Directorships: None
Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior
Trustee (2005) Vice President Marketing and First Vice President Human Resources (1986-2001).
1954 Other Directorships: None
Richard E. Struthers Clearwater Capital Management: Chairman and Chief Executive Officer (since 1998).
Trustee (2004) Other Directorships: None
1952
(1) The board of trustees adopted term limits authorizing each independent
trustee to serve in such capacity until the first to occur: (1) serving one
twelve-year term, or (2) reaching the age of 72; provided however, that no
independent trustee serving on the Board on the date of adoption of such
term limits is required to resign pursuant to the adoption of such limits
prior to September 30, 2004.
12
ITEM 2. CODE OF ETHICS.
As of the period ended December 31, 2005, Ultra Series Fund (also referred to
herein as the "Registrant," or the "Trust") has adopted a code of ethics
("Code") that applies to the Registrant's principal executive officer and
principal financial officer. The registrant has not made any amendments to its
Code during the covered period.
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) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are attached hereto.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
ULTRA SERIES FUNDS
BY: /s/ David P. Marks
----------------------------------
David P. Marks
President
DATE: 8/22/06
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, Ultra Series Funds
DATE: 8/22/06
BY: /s/ Mary E. Hoffmann
----------------------------------
Mary E. Hoffmann
Treasurer, Ultra Series Funds
DATE: 8/21/06
EXHIBIT INDEX
Exhibit 2 - Code of Ethics
Exhibit 11(b)(i) - Certification of David P. Marks, President, Ultra Series
Funds
Exhibit 11(b)(ii) - Certification of Mary E. Hoffmann, Treasurer, Ultra Series
Funds