As filed with the Securities and Exchange Commission on August 28, 2007
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)
Pamela M. Krill, 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, 2007
Date of Reporting Period: June 30, 2007
ITEM 1. REPORTS TO STOCKHOLDERS
A copy of the report transmitted on August 31, 2007 to stockholders of the Ultra
Series Fund (also referred to herein as the "Registrant" or the "Trust"),
pursuant to Rule 30e-1 under the Investment Company Act of 1940, appears
beginning on the following page.
SEMIANNUAL REPORT
FOR PERIOD ENDED JUNE 30, 2007
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money
Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small 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
Member NASD & SIPC
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.
Move confidently into the future(TM)
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 Conservative Allocation, Moderate Allocation,
Aggressive Allocation, Money Market, Bond, High Income, Diversified Income,
Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap
Value, Small Cap Growth, International Stock, and Global Securities Funds.
If you own a MEMBERS(R) Variable Universal Life or Ultra Vers-ALL LIFE(SM)
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, Diversified Income Fund, Bond Fund, and Money Market
Fund.
If you own a MEMBERS(R) Variable Annuity I, MEMBERS(R) Variable Annuity II,
MEMBERS(R) Choice Variable Annuity, MEMBERS(R) Variable Annuity III, or
MEMBERS(R) Variable Universal Life II policy, as you refer to the semiannual
report for the Ultra Series Fund, the funds available on your policy are the
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money
Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global
Securities and International Stock Funds.
Nothing in this report represents a recommendation of a security by the
investment adviser. Manager views and portfolio holdings may have changed since
the date of this report.
For more complete information, including charges and expenses, obtain a
prospectus from your representative or call the Home Office at 1-800-798-5500,
Monday through Friday, 7:00 a.m. to 8:00 p.m. Consider the investment
objectives, risks and charges and expenses of the investment carefully before
investing.
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
- --------------------------------------------------------------------------------
(MARKS PHOTO)
DAVID P. MARKS
- --------------------------------------------------------------------------------
Dear Investor:
In 2006, your funds generated solid absolute and competitive performance across
a broad range of portfolios. We also launched three "life-style" or allocation
funds to meet the specific needs of members that would like the asset allocation
decision left in the hands of professional investors based upon three different
styles -- aggressive, moderate, and conservative. We sometimes alter our
short-term asset allocations of the "life-style funds" in response to the
changing investment markets to take advantage of perceived opportunities. Those
changes are not, however, substantially counter to our view of the optimal
long-term allocations to reflect an investor's risk appetite and investment
goals.
In 2007, we have added additional talent to the analytic team, built and are
utilizing a state-of-the-art trading room and have also added small cap value
and small cap growth alternatives.
Peer performance through June 2007 was very good in some of our funds, but
disappointing in others, although absolute results were generally positive. I
feel good that all four of the equity funds that were furthest behind have made
good progress in the last few months.
The attached report provides summaries of the activities and performance of each
of the Ultra Series Funds, as well as the investments within each fund.
We remain committed to your long-term investment success and appreciate the
opportunity to serve not only Ultra Series Fund investors, but the entire credit
union system. Please do not hesitate to contact me directly if you have any
questions.
Sincerely,
/s/ DAVID P. MARKS
David P. Marks, CFA
President
Not part of the Semiannual Report.
- -------------------------------------------------------------------------------
SUMMARY OF ECONOMIC AND FINANCIAL MARKET CONDITIONS
U.S. ECONOMY
The U.S. economy slowed in the six-month period ended June 30, 2007. Growth was
below what the U.S. Federal Reserve believes to be its long-term potential
expansion rate of 2.75%, with real GDP estimated to have been just 0.7% in the
first quarter and considerably stronger in the second quarter. Consumer spending
was generally solid in the first quarter but probably slowed in the second
quarter. A deep recession in the housing market, inventory reductions and an
unexpected slowdown in capital spending by U.S. corporations detracted from
growth in the first quarter while trade and an inventory rebuild helped growth
in the second quarter. Manufacturing activity was sluggish as auto-makers cut
production and slower new-home construction reduced the demand for building
supplies. Commercial construction was perhaps the strongest part of the economy,
and it appears that many workers in residential construction have been able to
find jobs in commercial construction. The labor market held up well during the
period overall and wage growth remained steady. Core (ex-food and energy)
inflation receded, but food and energy prices rose significantly.
U.S. STOCKS
U.S. stocks posted healthy gains over the period as corporate earnings surprised
on the up-side. Analysts were forced to revise earnings estimates upwards as
companies were able to draw more growth from stronger economies abroad despite
the slowdown in the U.S. This may have benefited larger firms with more diverse
markets as large-cap stocks out-performed smaller stocks, reversing a seven-year
trend. The Dow Jones Industrial Average of mega-cap "blue chips" returned 8.75%
during the period while the large-cap S&P 500 Index returned 6.96% and the
small-cap Russell 2000(R) Index returned 6.45%
U.S. BONDS
U.S. bonds posted positive returns but continued to lag their coupons,
particularly at longer maturities, as concerns about inflation and hawkish
language from the U.S. Federal Reserve led to uncertainty among market
participants. The yield curve became significantly less inverted as market
participants became more doubtful that short-term interest-rate cuts would occur
in 2007. Another factor in the rise in long-term bond yields may have been the
steady upward drift of yields elsewhere in the world as central banks globally
hiked rates, making U.S. yields less attractive. Fraud or loose practices among
lenders and borrowers during the height of the housing boom resulted in a crisis
in the market for subprime loans that heavily impacted segments of the bond
market. High-yield corporate bonds continued to out-perform investment-grade
issues as corporate earnings and balance sheets remained solid although hints of
risk-aversion among credit investors began to appear in June.
INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS
Economic growth was surprisingly strong in Europe and positive in Japan. The
emerging Asian boom persisted, with both the Chinese and Indian economies
growing in the high single digits. The relative weakness of the U.S. economy led
to a decline in the relative value of the U.S. dollar, which strengthened the
returns of international stocks for U.S. investors. The MSCI EAFE Index, which
represents developed markets, returned 11.09% while the MSCI Emerging Markets
Index returned 17.75%.
Not part of the Semiannual Report.
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
FUND PERFORMANCE REVIEWS
Conservative Allocation Fund....................... 2
Moderate Allocation Fund........................... 4
Aggressive Allocation Fund......................... 6
Bond Fund.......................................... 8
High Income Fund................................... 10
Diversified Income Fund............................ 12
Large Cap Value Fund............................... 14
Large Cap Growth Fund.............................. 16
Mid Cap Value Fund................................. 18
Mid Cap Growth Fund................................ 20
Small Cap Value Fund............................... 22
Small Cap Growth Fund.............................. 24
Global Securities Fund............................. 26
International Stock Fund........................... 28
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund....................... 30
Moderate Allocation Fund........................... 31
Aggressive Allocation Fund......................... 32
Money Market Fund.................................. 33
Bond Fund.......................................... 34
High Income Fund................................... 40
Diversified Income Fund............................ 47
Large Cap Value Fund............................... 54
Large Cap Growth Fund.............................. 57
Mid Cap Value Fund................................. 60
Mid Cap Growth Fund................................ 65
Small Cap Value Fund............................... 67
Small Cap Growth Fund.............................. 69
Global Securities Fund............................. 73
International Stock Fund........................... 75
FINANCIAL STATEMENTS
Statements of Assets and Liabilities............... 82
Statements of Operations........................... 86
Statements of Changes in Net Assets................ 90
Financial Highlights............................... 96
NOTES TO FINANCIAL STATEMENTS............................... 104
OTHER INFORMATION........................................... 113
TRUSTEES AND OFFICERS....................................... 116
</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
CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
For the first half of 2007, the Ultra Series Conservative Allocation Fund
provided a return of 2.34%. This was during a period of bond market returns
ranging generally from 1% to 3%, and stock market returns in the general area of
8% to 10% for U. S. stock indexes and 10% or more for international stock
indexes.
The fund's strategic allocation target remains at approximately 66% fixed income
investments and 33% equities. Very attractive absolute returns (Class Y Shares
at net asset value) were provided by the MEMBERS Mid Cap Growth Fund (+13.67%)
and the MEMBERS International Stock Fund (+7.83%) in the equities area, and the
MEMBERS High Income Fund (+2.97%) in the fixed income component as these market
sectors outperformed. The fund's other investments performed generally in line
with their representative markets. Overall, the fund provided a return for this
six-month period that is generally in line with what we consider to be typical
for a fund of this type over the long-term.
The relatively stable and quite favorable market environment we have experienced
for some time now is causing some conservative investors to question their
investment approach and seek more risky and higher potential return investments.
An important axiom of investing is "stability breeds instability." One way this
happens is by investors moving into typically more volatile investments during
times when volatility is low. When those investments return to their usual
patterns, these investors tend to bail out with little regard for price, which
amplifies the instability and forces out another tier of investors, etc. So, if
you are considering moving to riskier investments, we encourage you to work with
your financial advisor to be sure such a move is right for you and is done in a
way you will be comfortable with when the more challenging markets return.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Debt Securities 54%
Foreign Securities 5%
Alternative Asset Classes 6%
Money Market Securities and Other Net Assets 12%
Equity Securities 23%
</Table>
PORTFOLIO HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE(1)
<Table>
Western Asset Intermediate Bond 19.0%
Portfolio
Dodge & Cox Income Fund 19.0%
SSGA Prime Money Market Fund 12.1%
MEMBERS Bond Fund, Class Y 11.5%
MEMBERS Large Cap Growth Fund, 11.1%
Class Y
MEMBERS Large Cap Value Fund, 8.4%
Class Y
Cohen & Steers Institutional 5.7%
Realty Shares, Inc.
MEMBERS International Stock 5.0%
Fund, Class Y
MEMBERS High Income Fund, Class 4.6%
Y
MEMBERS Mid Cap Growth Fund, 3.6%
Class Y
</Table>
(1) Each underlying fund has its own risks and investment strategies. A copy of
each underlying fund's financial statements is available at no cost on the
EDGAR database on the SEC's website at www.sec.gov.
- --------------------------------------------------------------------------------
2
CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
CONSERVATIVE ALLOCATION FUND MERRILL LYNCH U.S. DOMESTIC
CONSERVATIVE ALLOCATION FUND CUSTOM INDEX(2) MASTER INDEX(3)
---------------------------- ---------------------------- ---------------------------
6/30/06 10000 10000 10000
6/07 10986 11030 10650
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
Since EXPENSE RATIO(6)
Inception(5) Gross Net
------------ ------ -----
CONSERVATIVE ALLOCATION FUND 9.83% 1.01% 0.91%
Conservative Allocation Fund Custom Index(2) 10.27% NA NA
Merrill Lynch U.S. Domestic Master Index(3) 6.48% NA NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Conservative Allocation Fund Custom Index consists of 55% Merrill Lynch
U.S. Domestic Master Index, 30% Russell 1000(R) Index, and 15% 90-Day U.S.
Treasury Bills. A description of the Merrill Lynch U.S. Domestic Master
Index is set forth below. The Russell 1000(R) Index is a large-cap market
index which measures the performance of the 1,000 largest U.S. companies
based on total market capitalization.
(3) The Merrill Lynch U.S. Domestic Master Index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through, and investment-grade corporate bonds meeting specified
selection criteria.
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The Since
Inception index returns are also from June 30, 2006.
(6) The expense ratio is based on estimated expenses to be incurred by the fund,
as described in the Prospectus, for the fiscal year ending December 31,
2007. If a net figure is disclosed, this reflects the fund's actual expense
ratio after taking into account the investment adviser's contractual
agreement to reduce its management fees from 0.30% to 0.20% until at least
April 30, 2008.
- --------------------------------------------------------------------------------
3
MODERATE ALLOCATION FUND PERFORMANCE REVIEW
For the first half of 2007, the Ultra Series Moderate Allocation Fund provided a
return of 5.19%. This was during a period of bond market returns ranging
generally from 1% to 3%, and stock market returns in the general area of 8% to
10% for U. S. stock indexes and 10% or more for international stock indexes.
The fund's strategic allocation target remains at approximately 66% equities and
33% fixed income investments. Very attractive absolute returns were provided by
the Vanguard Emerging Markets ETF (+18.02%) and the following MEMBERS Funds
(Class Y Shares at net asset value): Mid Cap Growth Fund (+13.67%),
International Stock Fund (+7.83%), and Mid Cap Value Fund (+8.37%) in the
equities area, and the High Income Fund (+2.97%) in the fund's fixed income
component as these market sectors outperformed. The fund's other investments
performed generally in line with their representative markets.
These returns for this six-month period are not annualized, and based on the
history of the markets, should not be expected to continue at this pace
indefinitely. We expect, however, that the investment markets can continue to
provide investors with attractive long-term returns.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Equity Securities 47%
Alternative Asset Classes 4%
Money Market Securities and Other Net Assets 6%
Foreign Securities 15%
Debt Securities 28%
</Table>
PORTFOLIO HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE(1)
<Table>
MEMBERS International Stock
Fund, Class Y 12.5%
Western Asset Intermediate Bond
Portfolio 11.9%
MEMBERS Large Cap Growth Fund,
Class Y 11.2%
MEMBERS Large Cap Value Fund,
Class Y 11.1%
MEMBERS Bond Fund, Class Y 10.0%
MEMBERS Mid Cap Growth Fund,
Class Y 7.9%
MEMBERS High Income Fund, Class
Y 6.6%
SSGA Prime Money Market Fund 5.0%
MEMBERS Small Cap Growth Fund,
Class Y 4.7%
MEMBERS Mid Cap Value Fund,
Class Y 4.5%
Cohen & Steers Institutional
Realty Shares, Inc. 4.5%
Columbia Marsico Focused
Equities Fund, Class Z 4.4%
MEMBERS Small Cap Value Fund,
Class Y 3.5%
Vanguard Emerging Markets ETF 2.2%
</Table>
(1) Each underlying fund has its own risks and investment strategies. A copy of
each underlying fund's financial statements is available at no cost on the
EDGAR database on the SEC's website at www.sec.gov.
- --------------------------------------------------------------------------------
4
MODERATE ALLOCATION FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
MODERATE ALLOCATION FUND
MODERATE ALLOCATION FUND CUSTOM INDEX(2) RUSSELL 1000(R) INDEX(3)
------------------------ ------------------------ ------------------------
6/30/06 $10,000 $10,000 $10,000
6/07 $11,558 $11,547 $12,021
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
Since EXPENSE RATIO(6)
Inception(5) Gross Net
------------ ------ -----
MODERATE ALLOCATION FUND 15.53% 1.21% 1.11%
Moderate Allocation Fund Custom Index(2) 15.43% NA NA
Russell 1000(R) Index(3) 20.15% NA NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Moderate Allocation Fund Custom Index consists of 50% Russell 1000(R)
Index, 30% Merrill Lynch U.S. Domestic Master Index, 10% MSCI EAFE Index and
10% 90-Day U.S. Treasury Bills. A description of the Russell 1000(R) Index
is set forth below. The Merrill Lynch U.S. Domestic Master Index is a
broad-based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through, and investment-grade corporate bonds meeting specified
selection criteria. The MSCI EAFE (Europe, Australasia & Far East) Index is
a free float-adjusted market capitalization index that is designed to
measure developed market equity performance, excluding the U.S. and Canada.
(3) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest U.S. companies based on total market
capitalization.
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The Since
Inception index returns are also from June 30, 2006.
(6) The expense ratio is based on estimated expenses to be incurred by the fund,
as described in the Prospectus, for the fiscal year ending December 31,
2007. If a net figure is disclosed, this reflects the fund's actual expense
ratio after taking into account the investment adviser's contractual
agreement to reduce its management fees from 0.30% to 0.20% until at least
April 30, 2008.
- --------------------------------------------------------------------------------
5
AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEWS
For the first half of 2007, the Ultra Series Aggressive Allocation Fund provided
a net return of 8.42%. This was during a period of stock market returns in the
general area of 8% to 10% for U.S. stock indexes and 10% or more for
international stock indexes.
The fund's strategic allocation target remains at essentially 100% equities
(other than a small cushion of liquidity to meet operating needs), but this
equity exposure is diversified among nine asset classes (ranging from U. S.
large-cap value to international emerging market stocks) and 10 funds, which are
managed by seven different investment management firms and 10 different lead
managers. So, the fund provides well diversified equity exposure, but only
equity exposure; it is not a fully diversified allocation fund of the type that
often includes various fixed income asset classes in addition to equities.
Very attractive absolute returns were provided by the Vanguard Emerging Markets
ETF (+18.02%), MEMBERS Mid Cap Growth Fund (+13.67%), MEMBERS International
Stock Fund (+7.83%), and MEMBERS Mid Cap Value Fund (+8.37%) as these market
sectors outperformed. (MEMBERS Funds returns shown are Class Y shares at net
asset value.) The fund's other investments performed generally in line with
their representative markets.
These returns for this six-month period are not annualized, and are certainly in
the upper range of what can reasonably be expected (based on the history of the
markets) from a fund of this nature. We expect, however, that a diversified
portfolio of stocks from markets worldwide can continue to provide investors
with attractive long-term returns.
MEMBERS Capital Advisors, Inc. - Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS
A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Equity Securities 68%
Money Market Securities and Other Net Assets 1%
Alternative Asset Classes 2%
Foreign Securities 29%
</Table>
PORTFOLIO HOLDINGS AS
A PERCENTAGE OF TOTAL MARKET VALUE(1)
<Table>
MEMBERS International Stock
Fund, Class Y 24.1%
MEMBERS Large Cap Growth Fund,
Class Y 14.3%
MEMBERS Large Cap Value Fund,
Class Y 14.2%
MEMBERS Mid Cap Growth Fund,
Class Y 11.3%
MEMBERS Mid Cap Value Fund,
Class Y 8.5%
MEMBERS Small Cap Growth Fund,
Class Y 7.6%
MEMBERS Small Cap Value Fund,
Class Y 7.1%
Vanguard Emerging Markets ETF 5.6%
Columbia Marsico Focused
Equities Fund, Class Z 5.6%
Cohen & Steers Institutional
Realty Shares 1.6%
SSGA Prime Money Market Fund 0.1%
</Table>
(1) Each underlying fund has its own risks and investment strategies. A copy of
each underlying fund's financial statements is available at no cost on the
EDGAR database on the SEC's website at www.sec.gov.
- --------------------------------------------------------------------------------
6
AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
AGGRESSIVE ALLOCATION FUND
AGGRESSIVE ALLOCATION FUND CUSTOM INDEX(2) RUSSELL 3000(R) INDEX(3)
-------------------------- -------------------------- ------------------------
6/30/06 $10,000 $10,000 $10,000
6/07 $12,197 $12,473 $12,003
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
Since EXPENSE RATIO(6)
Inception(5) Gross Net
------------ ------ ------
AGGRESSIVE ALLOCATION FUND 21.90% 1.36% 1.26%
Aggressive Allocation Fund Custom Index(2) 24.65% NA NA
Russell 3000(R) Index(3) 19.97% NA NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Aggressive Allocation Fund Custom Index consists of 55% Russell 1000(R)
Index, 22% MSCI EAFE Index, 15% Russell 2000(R) Index, and 8% MSCI Emerging
Markets Index. The Russell 1000(R) Index is a large-cap market index which
measures the performance of the 1,000 largest companies in the Russell
3000(R) Index (see definition below). The Russell 2000(R) Index is a
small-cap market index which measures the performance of the remaining 2,000
companies in the Russell 3000(R) Index. The MSCI EAFE (Europe, Australasia &
Far East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the U.S.
and Canada. The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that measures equity performance in global emerging
markets.
(3) The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents 98% of the
investable U.S. equity market.
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(5) The fund commenced investment operations on June 30, 2006. The Since
Inception index returns are also from June 30, 2006.
(6) The expense ratio is based on estimated expenses to be incurred by the fund,
as described in the Prospectus, for the fiscal year ending December 31,
2007. If a net figure is disclosed, this reflects the fund's actual expense
ratio after taking into account the investment adviser's contractual
agreement to reduce its management fees from 0.30% to 0.20% until at least
April 30, 2008.
- --------------------------------------------------------------------------------
7
BOND FUND PERFORMANCE REVIEW
The Ultra Series Bond Fund returned -0.17% during the six-month period ended
June 30, 2007, underperforming the Merrill Lynch U.S. Domestic Master Index
which returned 0.95%.
Over the last six months the U.S. economy has remained resilient while showing
signs of slowing growth -- GDP has slowed from 2.5% in the fourth quarter of
2006 to 0.7% in the first quarter before rebounding to 3.2% in the second
quarter of 2007. Despite the rebound in growth, corporate profits have begun to
slow and June saw a significant shift in investor sentiment away from risky
assets. Notwithstanding June's risk aversion and a 32 basis point increase in 10
year treasury yields over the first half of 2007, total returns across the major
fixed income sectors were positive and both investment grade and high yield
corporate bonds posted positive excess return through June. Thus, in total,
investor risk tolerance and single name event risk dominated fixed income
performance over the first half of 2007.
This has proved unfavorable for the Bond Fund as management maintained an
underweight position within corporate bonds trying to side-step the "event risk"
landmines (companies increasing their financial leverage through share buybacks,
leveraged buy-outs and other credit-deteriorating events). Unfortunately, even a
cautious stance couldn't prevent credit "blow-ups." Two asset-backed security
holdings were infected by the subprime mortgage fallout beginning in late
February, lasting through March and resurfacing in June. GSAMP Trust 2006-S5 M5
and Park Place Securities, Inc. 2004-WWF1 M10 declined by 89.5% and 15.9%,
respectively over the half year period. Additionally, April saw the unlikely
announced leveraged buyout of a financial institution, SLM Corp., or more
commonly known as Sallie Mae, and the Fund's position lost 7.4%.
In June our portfolio posture of underweighting credit risk proved beneficial
and we continue to believe it will benefit performance going forward. Event risk
is not going away. We have taken and will continue to take a vigilant stance to
protect the fund from such risk.
MEMBERS Capital Advisors, Inc. - Adviser
Dean "Jack" Call, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Asset Backed 3%
Commercial Mortgage Backed 9%
Private Label Mortgage Backed 1%
Corporate Notes and Bonds 25%
Mortgage Backed 26%
U.S. Government and Agency Obligations 30%
Asset Backed 3%
Cash And Other Net Assets 6%
</Table>
- --------------------------------------------------------------------------------
8
BOND FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH U.S. DOMESTIC MASTER
BOND FUND INDEX(2)
--------- ----------------------------------
6/97 $10,000 $10,000
6/98 $10,818 $11,067
6/99 $11,088 $11,408
6/00 $11,486 $11,929
6/01 $12,548 $13,252
6/02 $13,562 $14,391
6/03 $14,666 $15,933
6/04 $14,616 $15,981
6/05 $15,565 $17,095
6/06 $15,420 $16,945
6/07 $16,136 $17,987
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
---------------------------------------------- --------
BOND FUND 4.65% 3.35% 3.54% 4.90% 0.56%
Merrill Lynch U.S. Domestic Master
Index(2) 6.15 4.02 4.56 6.04 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Merrill Lynch U.S. Domestic Master Index is a broad-based measure of the
total rate of return performance of the U.S. investment-grade bond markets.
The index is a capitalization-weighted aggregation of outstanding U.S.
treasury, agency and supranational mortgage pass-through, and
investment-grade corporate bonds meeting specified selection criteria.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
9
HIGH INCOME FUND PERFORMANCE REVIEW
The high yield market ended the reporting period on a down note, as a major
correction occurred in June. The combination of rising Treasury yields, record
tight yield spreads, and continued concerns about the widening meltdown in the
subprime mortgage market caused many investors to re-evaluate their appetite for
risk. U.S. Treasuries and high grade corporate bonds posted returns of 1.10% and
0.82%, respectively for the six month period, while the Merrill Lynch U.S. High
Yield Master II Index posted a return of 3.05%. In this environment, the Ultra
Series High Income Fund posted a return of 2.79% during the six-month period
ended June 30, 2007.
Fundamentals within high yield remain strong with defaults on a pace that would
result in the fewest since 1981. Our outlook for default rates continues to be
positive in the near-term. Additionally, recent evidence indicates that the
private equity buyout binge may be ending. This buying activity has resulted in
deal structures deteriorating at a significant rate. In June many high yield
managers began to boycott these poorly structured deals. As a result, several
transactions were restructured or postponed.
During this six-month period, the fund benefited from its underweight in BB
rated securities and its good performance in convertible and floating rate
securities. The key detractor of performance for the fund for the period was the
significant underweight in lower priced (i.e., bonds priced below $90)
securities. Typically these securities have greater credit risk and our
conservative investment philosophy generally limits the portfolio's weightings
of these investments. However, this subcategory in high yield was the best
performing sector within the overall high yield market for the six-month period
ending June 30, 2007. Most of the selling activity in the portfolio during the
quarter was concentrated on issues that had traded to premium levels (i.e.,
above par). The majority of the portfolio continues to be concentrated in B
rated securities that we believe are solid credits. Despite trends to the
contrary, we have maintained our disciplined approach to evaluating credit and
have continued to invest in companies that we believe are reasonably levered,
well-managed, and well-positioned in their respective industries.
We believe the era of ultra-low rates and excessively easy credit is coming to
an end. High yield investors have been pushed to the wall on structure, and have
now pushed back for better terms. Unfortunately, there is still approximately
$300 billion of financings that bankers and sponsors have committed to and that
will need to be marketed to high yield and bank debt investors over the next
several quarters. One key concern is that many of these LBO (Leveraged Buy Out)
deals have been bridge financed and will stay on the underwriters' and banks'
books until they can re-market them to the high yield and bank debt market.
These bridge financings may require banks and Wall Street firms to draw down
their capital at the same time that the market encounters choppiness,
potentially resulting in less liquidity in the secondary market. However the
fundamentals for the market appear to be intact (i.e., growing U.S. economy, low
default environment, wider high yield spreads) and there should still be buyers
for well-structured and attractively priced deals. If this process can achieve a
better balance than exists today, the current market adjustment could be
temporary, and the next few months could set the stage for attractive
opportunities for high yield investors to capture both higher income and better
terms.
MEMBERS Capital Advisors, Inc. - Adviser
Shenkman Capital Management, Inc - Subadviser
Mark R. Shenkman; Frank X. Whitley; Mark R. Flanagan, CPA, CFA;
Robert Stricker, CFA; and Steve Schweitzer, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
<Table>
Gaming 8%
Health Care 8%
Oil and Gas 8%
Support Services 7%
Telecommunications 5%
Automotive 4%
Forestry/Paper 4%
Media - Diversified and
Services 4%
Non Food and Drug
Retailers 4%
Printing and Publishing 4%
Technology 4%
Utilities 4%
Cash and Other Net
Assets 3%
Chemicals 3%
Consumer Products 3%
General Industrial and
Manufacturing 3%
Media - Cable 3%
Beverage/Food 2%
Building Materials 2%
Environmental 2%
Food and Drug Retailers 2%
Insurance 2%
Metals and Mining 2%
Aerospace/Defense 1%
Apparel/Textiles 1%
Hotels 1%
Leisure and
Entertainment 1%
Media - Broadcasting 1%
Packaging 1%
Restaurants 1%
Steel 1%
Transportation 1%
</Table>
- --------------------------------------------------------------------------------
10
HIGH INCOME FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH US HIGH YIELD MASTER II
HIGH INCOME FUND INDEX(2)
---------------- -------------------------------------
10/31/00 $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
6/07 $15,805 $16,949
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
SINCE EXPENSE
1 Year 3 Years 5 Years Inception(4) RATIO(5)
-------------------------------------------- --------
HIGH INCOME FUND 10.03% 7.69% 9.03% 7.11% 0.77%
Merrill Lynch U.S. High Yield Master II
Index(2) 11.75 8.98 11.75 8.17 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Merrill Lynch U.S. High Yield Master II Index is a commonly used
benchmark index for high yield corporate bonds.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses. For periods prior
to February 28, 2005, performance is shown from the previous subadviser,
which was replaced by Shenkman Capital Management, Inc. effective February
28, 2005.
(4) The fund commenced investment operations on October 31, 2000. The Since
Inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
11
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
Over the last six months, the U.S. economy has remained resilient, but was
showing signs of fatigue by the end of the second quarter. Despite slowing
growth, corporate profits remained strong and investors maintained their
appetite for risk. In this environment, the Diversified Income Fund provided
shareholders with a six-month return of 1.74%, while the Merrill Lynch U.S.
Domestic Master Index and Russell 1000(R) Index returned 0.95% and 7.18%,
respectively.
Investor risk tolerance and single name event risk dominated fixed income
performance over the first half of 2007. This proved unfavorable for the fixed
income component of the Diversified Income Fund as management maintained an
underweight position within corporate bonds trying to side-step the "event risk"
landmines (companies increasing their financial leverage through share buybacks,
leveraged buy-outs and other credit-deteriorating events). Unfortunately, even a
cautious stance couldn't prevent credit "blow-ups." Two asset-backed security
holdings were infected by the subprime mortgage fallout beginning in late
February, lasting through March and resurfacing in June. GSAMP Trust 2006-S5 M5
and Park Place Securities Inc. 2004-WWF1 M10 declined by 89.5% and 15.9%,
respectively over the half year period. Additionally, April saw the unlikely
announced leveraged buyout of a financial institution, SLM Corp., or more
commonly known as Sallie Mae, which also hurt the fund's position.
With the Diversified Income Fund's heightened focus on generating distributable
income, the common stock portion of the fund is being reduced relative to the
bond component, and is transitioning to an "equity income" portfolio. As such,
it is being managed with the goal of providing dividend income as well as
appreciation.
During this six-month period ended June 30, 2007, the U.S. stock market (as
represented by the Russell 1000(R) Index) advanced nicely until late-February,
then suffered a decline of approximately 7% as news from China rattled investors
worldwide. It then staged a strong recovery to end the period with a gain of
7.18%. The fund's stock portfolio trailed this return as the market favored the
stocks of smaller and more cyclical companies over the fund's higher quality,
dividend-paying issuers. The key driver of the fund's performance relative to
the Russell 1000(R) Index was, and will usually be, the fund's emphasis on
dividend income. This resulted, for instance, in a substantial over-weighting of
financial stocks, which was a top yielding sector, but had the lowest total
return for this period.
We continue to believe that our bond portfolio posture of underweighting credit
risk will prove beneficial in the future. The stock portfolio's increasing focus
on yield may dampen the fund's returns during strong market advances like we
experienced in this reporting period, but should serve to stabilize returns in
volatile markets and increase monthly income distributions to shareholders.
These attributes should serve income-seeking investors well in the months and
years ahead.
MEMBERS Capital Advisors, Inc. - Adviser
John Brown, CFA; and Dean "Jack" Call, CFA, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Common Stocks 46%
Asset Backed 1%
Commercial Mortgage Backed 5%
Private Label Mortgage Backed 1%
Corporate Notes and Bonds 16%
Mortgage Backed 15%
U.S. Government and Agency Obligations 12%
Cash and Other Net Assets 4%
</Table>
- --------------------------------------------------------------------------------
12
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
MERRILL LYNCH U.S. DOMESTIC
DIVERSIFIED INCOME FUND MASTER INDEX(2) RUSSELL 1000(R) INDEX(3)
----------------------- --------------------------- ------------------------
6/97 $10,000 $10,000 $10,000
6/98 $11,629 $11,067 $13,015
6/99 $13,511 $11,408 $15,869
6/00 $14,454 $11,929 $17,336
6/01 $14,035 $13,252 $14,744
6/02 $13,122 $14,391 $12,107
6/03 $13,451 $15,933 $12,223
6/04 $14,929 $15,981 $14,603
6/05 $16,028 $17,095 $15,761
6/06 $16,532 $16,945 $17,192
6/07 $18,471 $17,987 $20,704
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(5)
---------------------------------------------- --------
DIVERSIFIED INCOME FUND 11.73% 7.35% 7.08% 6.33% 0.71%
Merrill Lynch U.S. Domestic Master
Index(2) 6.15 4.02 4.56 6.04 NA
Russell 1000(R) Index(3) 20.43 12.34 11.33 7.55 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Merrill Lynch U.S. Domestic Master Index is a broad-based measure of the
total rate of return performance of the U.S. investment-grade bond markets.
The index is a capitalization-weighted aggregation of outstanding U.S.
treasury, agency and supranational mortgage pass-through, and
investment-grade corporate bonds meeting specified selection criteria.
(3) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses. For periods prior
to May 1, 2007, the above results reflect the performance of the Balanced
Fund, which changed its name and investment strategy to the Diversified
Income Fund effective May 1, 2007.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
13
LARGE CAP VALUE FUND PERFORMANCE REVIEW
The first six months of 2007 saw good gains in the U.S. stock markets, and with
only one short period of meaningful market decline. This market decline was more
significant, however, than its size and duration might indicate. It was
triggered by U.S. investors' fears of actions by government regulators to slow
economic growth . . . in China.
This provided a vivid illustration of how the U.S. economy no longer leads the
global economy and markets, but rather can be led by what's happening elsewhere.
We expect this to become even more of a factor in the years ahead, and China is
likely to be where many of the future worldwide economic, market and even
cultural influences will originate.
Other than during the late-February, China-originated market shock, domestic
large-cap value stocks advanced quite steadily, ending the period up 6.23%
(Russell 1000(R) Value Index). The Ultra Series Large Cap Value Fund gained
5.62%.
Major contributors to the fund's returns relative to the market index included
the fund's greater-than-index exposure to energy stocks (where refiner/marketer
Valero Energy advanced 45%, oil service company Cameron International gained
35%, and several others saw high-teens to 30% returns). Also contributing was
good security selection in utilities (electricity generators and distributors
Mirant Corp. up 35% and Edison International up 25%).
Primary detractors from fund returns relative to the market were health care
where several individual stocks modestly underperformed, and some financial
services stocks that suffered with the subprime mortgage problems and related
concerns.
The fund continues to focus on stocks of companies where we are relatively
confident in our outlook and which generate strong free cash flows, which
provide great management flexibility and often lead to increased distributions
to shareholders. The fund's long-standing overweighting in energy stocks has
been gradually trimmed, but is still positive. It is modestly underweight in the
areas most vulnerable to stress in the mortgage and consumer finance areas,
particularly in the consumer discretionary and financial sectors. Although the
slowing economy is likely to make corporate profit growth and stock market gains
harder to achieve, we look for slowing but continued positive economic growth
and a generally favorable market environment for long-term investors.
MEMBERS Capital Advisors, Inc. -- Adviser
Scott D. Opsal, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 8%
Consumer Staples 8%
Energy 14%
Financials 31%
Health Care 8%
Industrials 10%
Information Technology 4%
Materials 4%
Telecommunication Services 6%
Utilities 6%
Cash and Other Net Assets 1%
</Table>
- --------------------------------------------------------------------------------
14
LARGE CAP VALUE FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
LARGE CAP VALUE FUND RUSSELL 1000(R) VALUE INDEX(2)
-------------------- ------------------------------
6/97 $10,000 $10,000
6/98 $12,749 $12,884
6/99 $16,154 $14,992
6/00 $16,166 $13,655
6/01 $14,496 $15,066
6/02 $12,730 $13,718
6/03 $12,164 $13,577
6/04 $14,427 $16,448
6/05 $15,830 $18,759
6/06 $17,486 $21,029
6/07 $21,237 $25,627
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
---------------------------------------------- --------------
LARGE CAP VALUE FUND 21.45% 13.76% 10.78% 7.82% 0.61%
Russell 1000(R) Value Index(2) 21.87 15.93 13.31 9.87 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell 1000(R) Value Index is a large-cap market index which measures
the performance of those Russell 1000 companies with lower price-to-book
ratios and lower forecasted growth values.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
15
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
The first six months of 2007 saw good gains in the U.S. stock markets, and with
only one short period of meaningful market decline. This market decline was more
significant, however, than its size and duration might indicate. It was
triggered by U.S. investors' fears of actions by government regulators to slow
economic growth . . . in China.
This provided a vivid illustration of how the U.S. economy no longer leads the
global economy and markets, but rather can be led by what's happening elsewhere.
We expect this to become even more of a factor in the years ahead, and China is
likely to be where many of the future worldwide economic, market and even
cultural influences will originate.
Other than during the late-February, China-originated market shock, domestic
large-cap growth stocks advanced quite steadily, ending the period up 8.13%
(Russell 1000(R) Growth Index). The Ultra Series Large Cap Growth Fund gained
7.05%.
The information technology sector was the major contributor to the fund's
returns relative to the market index with exceptional contributions from Nokia
and EMC Corp., each up approximately 40% in this six-month period. Primary
detractors from fund returns relative to the market were in health care (Amgen
and Genentech reduced the fund's relative return by approximately 1/4% each),
industrials, and telecommunications services (NeuStar, a key player in the
development and operation of the Internet, declined 11% and reduced the fund's
relative return by 0.35%).
The fund continues to focus primarily on stocks of companies we believe have the
capacity to grow longer and/or faster than current market expectations, and that
serve customers worldwide. Although the slowing domestic economy is likely to
make corporate profit growth and stock market gains harder to achieve, we look
for continued global economic growth and increasing investor interest in
companies capable of producing consistent earnings growth. The fund should do
very well in such an environment.
MEMBERS Capital Advisors, Inc. - Adviser
Bruce A. Ebel, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 10%
Consumer Staples 9%
Energy 8%
Financials 6%
Health Care 20%
Industrials 10%
Information Technology 31%
Materials 2%
Telecommunication Services 2%
Consumer Discretionary 10%
Utilities 1%
Cash and Other Net Assets 1%
</Table>
- --------------------------------------------------------------------------------
16
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
LARGE CAP GROWTH FUND RUSSELL 1000(R) GROWTH INDEX(2)
--------------------- -------------------------------
6/97 $10,000 $10,000
6/98 $13,044 $13,139
6/99 $15,363 $16,722
6/00 $17,924 $21,013
6/01 $17,700 $13,412
6/02 $12,553 $ 9,859
6/03 $12,676 $10,149
6/04 $14,901 $11,964
6/05 $15,785 $12,165
6/06 $16,047 $12,909
6/07 $18,776 $15,367
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
EXPENSE
1 Year 3 Years 5 Years 10 Years RATIO(4)
------------------------------------------------ --------
LARGE CAP GROWTH FUND 17.00% 8.01% 8.39% 6.50% 0.81%
Russell 1000(R) Growth Index(2) 19.04 8.70 9.28 4.39 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell 1000(R) Growth Index is a large-cap market index which measures
the performance of those Russell 1000 companies with higher price-to-book
ratios and higher forecasted growth values.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
17
MID CAP VALUE FUND PERFORMANCE REVIEW
The first six months of 2007 saw good gains in the U.S. stock markets, and with
only one short period of meaningful market decline. This market decline was more
significant, however, than its size and duration might indicate. It was
triggered by U.S. investors' fears of actions by government regulators to slow
economic growth . . . in China.
This provided a vivid illustration of how the U.S. economy no longer leads the
global economy and markets, but rather can be led by what's happening elsewhere.
We expect this to become even more of a factor in the years ahead, and China is
likely to be where many of the future worldwide economic, market and even
cultural influences will originate.
Other than during the late-February, China-originated market shock, domestic
mid-cap value stocks advanced quite steadily, ending the period up 8.69%
(Russell Midcap(R) Value Index). The Ultra Series Mid Cap Value Fund gained
8.34%.
Major contributors to the fund's returns relative to the market index included
the fund's less-than-index exposure to financial stocks and greater-than-index
exposure to energy stocks. Individual stock selection added to index-relative
returns in financials where Unum Group surged 27% on favorable earnings reports,
and the fund benefited from an underweighting and favorable stock selection in
Real Estate Investment Trusts (REITs). Underweighting materials stocks was
detrimental to the fund's relative performance, as was general stock selection
in information technology.
The fund continues to be widely diversified and focused on stocks of companies
where we are relatively confident in their positive outlook. Although the
slowing economy is likely to make corporate profit growth and stock market gains
harder to achieve, we look for slowing but continued positive economic growth
and a generally favorable market environment for long-term investors.
MEMBERS Capital Advisors, Inc. - Adviser
Livia S. Asher, Portfolio Manager
Wellington Management Company, LLP - Subadviser
Stephen T. O'Brien, CFA, Lead Portfolio Manager,
assisted by Timothy J. McCormack, CFA and Shaun F. Pedersen
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 14%
Consumer Staples 7%
Energy 7%
Financials 27%
Health Care 4%
Industrials 12%
Information Technology 8%
Materials 5%
Telecommunication Services 2%
Utilities 11%
Cash and Other Net Assets 3%
</Table>
- --------------------------------------------------------------------------------
18
MID CAP VALUE FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
RUSSELL MIDCAP(R) VALUE RUSSELL 2500(TM) VALUE
MID CAP VALUE FUND INDEX2 INDEX3
------------------ ----------------------- ----------------------
5/1/99 $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
6/07 $27,470 $26,090 $29,032
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
SINCE EXPENSE
1 Year 3 Years 5 Years Inception(5) RATIO(6)
-------------------------------------------------- --------
MID CAP VALUE FUND 19.56% 14.83% 12.65% 13.17% 1.01%
Russell Midcap(R) Value Index(2) 22.09 19.32 17.17 12.45 NA
Russell 2500(TM) Value Index(3) 18.41 16.10 15.81 13.93 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell Midcap(R) Value Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with lower price-to-book
ratios and lower forecasted growth values.
(3) The Russell 2500(TM) Value Index is a mid-cap market index which measures
the performance of those Russell 2500 companies with lower price-to-book
ratios and lower forecasted growth values.
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(5) The fund commenced investment operations on May 1, 1999. The Since Inception
index returns are also from May 1, 1999.
(6) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
19
MID CAP GROWTH FUND PERFORMANCE REVIEW
During the first six months of 2007, equity markets strengthened as
better-than-expected corporate earnings, healthy merger and acquisition activity
and views of solidifying economic growth outweighed concerns of rising interest
rates and the weakening housing and credit environment.
Mid cap stocks led large caps and small caps over the first half of the year
when measured using the S&P MidCap 400 Index, the S&P 500 Index and the Russell
2000(R) Index. For the first time in several quarters, growth outperformed value
as the Russell Midcap(R) Growth Index advanced 10.97% and the Russell Midcap(R)
Value Index gained 8.69%.
The Ultra Series Mid Cap Growth Fund advanced 14.42% during the six-month period
ended June 30, 2007, outperforming the 10.97% return of the Russell Midcap(R)
Growth Index. Favorable stock selection produced strong benchmark-relative
returns during the six-month period. Stock selection in financials, information
technology, and consumer discretionary sectors was most additive to performance.
These positive results were partially offset by weaker performance in the
telecommunication services sector. Our underweight in the strong-performing
materials sector detracted from relative returns, while our overweight in energy
contributed to the fund's performance.
In this environment, we continue to find high-quality predictable growth
companies to include in the portfolio. At the end of the period, our bottom-up
investment decisions resulted in greater-than-benchmark weights in the
industrials, health care , financials and information technology sectors, and
underweight positions in the materials, consumer staples, utilities,
telecommunication services and consumer discretionary sectors.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
Francis J. Boggan, CFA, Portfolio Manager
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumer Discretionary 17%
Energy 11%
Financials 12%
Health Care 16%
Industrials 20%
Information Technology 22%
Consumer Discretionary 17%
Cash and Other Net Assets 2%
</Table>
- --------------------------------------------------------------------------------
20
MID CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
(LINEGRAPH)
<Table>
<Caption>
RUSSELL MIDCAP(R) GROWTH
MID CAP GROWTH FUND INDEX(2) RUSSELL 2500(TM) GROWTH INDEX(3)
------------------- ------------------------ --------------------------------
10/31/00 $10,000 $10,000 $10,000
6/01 $ 7,081 $ 7,586 $ 8,785
6/02 $ 4,941 $ 5,588 $ 6,526
6/03 $ 5,375 $ 5,999 $ 6,794
6/04 $ 6,834 $ 7,638 $ 8,840
6/05 $ 7,013 $ 8,468 $ 9,500
6/06 $ 7,691 $ 9,572 $10,888
6/07 $ 9,807 $11,460 $12,960
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
<Table>
<Caption>
SINCE EXPENSE
1 Year 3 Years 5 Years Inception(5) RATIO(6)
----------------------------------------- --------
MID CAP GROWTH FUND 27.52% 12.79% 14.70% -0.29% 0.86%
Russell Midcap(R) Growth Index(2) 19.73 14.48 15.45 2.07 NA
Russell 2500(TM) Growth Index(3) 19.03 13.60 14.71 3.97 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell Midcap(R) Growth Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with higher price-to-book
ratios and higher forecasted growth values.
(3) The Russell 2500(TM) Growth Index is a mid-cap market index which measures
the performance of those Russell 2500 companies with higher price-to-book
ratios and higher forecasted growth values.
(4) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses. For periods prior
to May 1, 2002, performance is shown from the previous subadviser, which was
replaced by Wellington Management Company, LLP effective May 1, 2002.
(5) The fund commenced investment operations on October 31, 2000. The Since
Inception index returns are also from October 31, 2000.
(6) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
21
SMALL CAP VALUE FUND PERFORMANCE REVIEW
Equities experienced strong and broad positive performance in the second quarter
as better-than-expected corporate earnings, healthy merger and acquisition
activity and views of solidifying economic growth outweighed concerns of rising
interest rates and the weakening housing and credit environment. Strong returns
in April and May, however, were countered by a lackluster June as negative news
flow regarding the U.S. subprime mortgage market further exacerbated concerns
about the housing market.
In May and June, mid cap stocks led small caps and large caps when measured
using the S&P MidCap 400 Index, the Russell 2000(R) Indexes and the S&P 500
Index. Over the same time period, growth outperformed value as the Russell
2000(R) Growth Index advanced 4.0% and the Russell 2000(R) Value Index gained
1.3%. Within the benchmark Russell 2000(R) Value Index, six broad economic
sectors posted positive returns with industrials, materials, telecommunication
services, energy, information technology and health care all showing gains.
The Ultra Series Small Cap Value Fund advanced 0.78% since its inception date of
May 1, 2007, underperforming the 1.25% gain of the Russell 2000(R) Value Index.
The unfavorable relative return was primarily driven by less favorable stock
selection during the two-month period. Stock selection was weakest in
industrials, energy and materials, but was partially offset by strong stock
selection in information technology and consumer staples. The portfolio's
overweight posture to industrials, which was the result of our bottom-up stock
selection, contributed positively to performance. Although sector allocation is
a residual of our bottom-up stock selection, our underweight of the
strong-performing materials and information technology sectors detracted from
relative returns.
Our investment approach emphasizes individual stock selection and sector weights
are a residual of the process. We do, however, carefully consider
diversification across economic sectors to limit risk. At the end of the period
ending June 30, 2007, our bottom-up investment decisions resulted in
greater-than-benchmark weights in the industrials, consumer discretionary and
consumer staples and underweight positions in the information technology,
financials, materials, utilities and energy sectors.
MEMBERS Capital Advisors, Inc. - Adviser
Wellington Management Company, LLP - Subadviser
Stephen T. O'Brien, CFA, Lead Portfolio Manager,
assisted by Timothy J. McCormack, CFA and Shaun F. Pedersen
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Financials 29%
Telecommunication Services 1%
Cash and Other Net Assets 4%
Health Care 4%
Energy 4%
Materials 3%
Information Technology 5%
Consumer Staples 6%
Industrials 23%
Consumer Discretionary 17%
Utilities 4%
</Table>
- --------------------------------------------------------------------------------
22
SMALL CAP VALUE FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
SMALL CAP VALUE FUND RUSSELL 2000(R) VALUE INDEX(2)
-------------------- ------------------------------
5/1/07 $10,000 $10,000
6/07 $10,078 $10,125
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
SINCE EXPENSE
INCEPTION(4) RATIO(5)
------------ --------
SMALL CAP VALUE FUND 0.78% 1.01%
Russell 2000(R) Value Index(2) 1.25 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell 2000(R) Value Index is a small-cap market index which measures
the performance of those Russell 2000 companies with lower price-to-book
ratios and lower forecasted growth values.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The fund commenced investment operations on May 1, 2007. The Since Inception
index returns are also from May 1, 2007.
(5) The expense ratio is based on estimated expenses to be incurred by the fund,
as described in the Prospectus, for the fiscal year ending December 31,
2007.
- --------------------------------------------------------------------------------
23
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
In April and May, equity markets rose on the strength of corporate earnings
which exceeded analyst expectations as well as speculation of a Federal Reserve
interest rate cut by year-end. However, in June such interest rate bets were
reversed and equity markets consolidated into a holding pattern while investors
watched bond prices tumble and yields surge. Bond market participants seemed to
be pricing in robust economic growth projections. According to analysts, 2nd
quarter economic growth was expected to rebound to a 2.75% annual rate, after
rising only 0.7% the first three months of the year.
The growth style was the key beneficiary of performance during the 2nd quarter.
The Russell 1000(R) Growth Index jumped 6.85%, closely followed by the Russell
2000(R) Growth Index which climbed 6.69%. The broad market S&P 500 Index
advanced 6.28%, while the Russell 1000 Value rose 4.92%, and the Russell 2000(R)
Value Index added 2.30%. Leading sectors for the period included technology,
energy, health care, telecommunications, and industrials. Lagging sectors were
utilities, consumer cyclicals, consumer services, transportation, and commercial
services. Since the fund's May 1, 2007 inception, the Ultra Series Small Cap
Growth Fund returned 5.56% versus the Russell 2000(R) Growth Index return of
3.96%.
The portfolio benefited from exceptional asset selection. This was particularly
good in the smallest capitalization quintile of stocks. Select over-weighted
assets that benefited performance included Foster Wheeler and Deckers Outdoor.
Positive exposure to stocks with higher earnings yield also benefited
performance; however, some value was defrayed due to stylistic exposure to value
and momentum factors. On a sector level, good exposure to Industrials, and
Financials, added incremental return to the portfolio. Good performers in these
sectors included General Cable Corp., Bucyrus Int'l, and Calamos Asset
Management. Unfortunately, the fund's overexposure to consumer cyclicals
somewhat hindered performance relative to the benchmark.
Turnover for the fund during the June rebalancing was 32%. Momentum factors
increased slightly, while risk factors remained the same. Sector shifts included
increases to commercial services, and basic materials. Both technology and
consumer cyclicals were cut back. The portfolio's average market capitalization
was $1.8B versus $1.3B for the Russell 2000(R) Growth Index for the period.
According to consensus opinion, the economy is expected to grow at a 2.5% to
3.0% annual rate for the second half of the year without sparking inflationary
pressures. According to the Federal Reserve, the pickup in growth has not
increased overall pressures on wages and prices. The market appears hopeful that
the housing slump and defaults of subprime mortgage borrowers will not worsen
and affect consumer spending. Consumers have had to bear the burden of record
gasoline prices and higher borrowing costs, and at some point these pressures
will begin to pinch their spending. The portfolio has been structured in a more
defensive posture, yet it is still poised to take advantage of a growing
economy.
MEMBERS Capital Advisors, Inc. - Adviser
Paradigm Asset Management Company, LLC - Subadviser
James E. Francis; Jeffrey E. Marcus; and Gregory Pai, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Consumes Staples 3%
Information Technology 16%
Cash and Other Net Assets 2%
Energy 6%
Financials 8%
Materials 7%
Telecommunication Services 1%
Industrials 26%
Health Care 16%
Consumer Discretionary 14%
Utilities 1%
</Table>
- --------------------------------------------------------------------------------
24
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
SMALL CAP GROWTH FUND RUSSELL 2000(R) GROWTH INDEX(2)
--------------------- -------------------------------
5/1/07 $10,000 $10,000
6/07 $10,556 $10,396
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
SINCE EXPENSE
INCEPTION(4) RATIO(5)
------------ --------
SMALL CAP GROWTH FUND 5.56% 1.01%
Russell 2000(R) Growth Index(2) 3.96 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The Russell 2000(R) Growth Index is a small-cap market index which measures
the performance of those Russell 2000 companies with higher price-to-book
ratios and higher forecasted growth values.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The fund commenced investment operations on May 1, 2007. The Since Inception
index returns are also from May 1, 2007.
(5) The expense ratio is based on estimated expenses to be incurred by the fund,
as described in the Prospectus, for the fiscal year ending December 31,
2007.
- --------------------------------------------------------------------------------
25
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
Effective May 1, 2007, Mondrian Investment Partners Limited replaced Oppenheimer
Funds, Inc. as subadviser for the Ultra Series Global Securities Fund. The fund
generated a positive return of 7.52% for the six-month period ending June 30,
2007, underperforming its benchmark, the MSCI World Index, which returned 9.48%
in the same period (all returns in U.S. dollars).
In Europe and North America unemployment is at low levels with evidence of
skills shortages emerging. Also, input costs for raw materials and oil-based
goods remain at elevated levels. As a result, interest rates have been on a
rising trend for some time as central banks have shifted focus to containing
inflationary pressures. Following the rise in rates and some easing in economic
growth, markets priced in interest rates peaking over the summer and then
declining soon after. However, the resilience of global demand suggests that it
may be some time before interest rates move down significantly.
With regard to market allocation, returns were helped by our overweight
positions in Australia, Singapore, Spain and the United Kingdom, all markets
which performed well. Further support came from underweight positions in some of
the weaker markets, in particular, Sweden and Switzerland. However, these
influences were partly offset by the adverse effects from being out of a number
of the better-performing, often energy-rich markets, such as, Canada and Norway.
Also negative, was the allocation to some weaker areas, mainly, the Netherlands
and Belgium.
Stock selection was less favorable, having a negative effect on returns overall.
In the UK, concerns about the impact of higher interest rates on mortgage demand
weighed heavily on the largely retail-oriented UK bank stocks in the portfolio.
But we remain confident that fears of severe weakness in consumer loan demand in
Europe and the USA are overblown. In both areas, our analysis has found a number
of banks that are well capitalized and should be better able to cope with a rise
in bad debts. The stronger performance of other stocks, for instance, energy
companies, helped to mitigate weakness elsewhere.
Looking forward, we continue to view markets in parts of Europe and the Pacific
region, outside of Japan, as attractive. For instance, we have increased the
holding in the Switzerland-based global pharmaceutical company, Novartis. This
company has a strong pipeline of patent drugs and also has exposure to the
fast-growing generic drug market. Another notable move was an increased
allocation to Microsoft. Although under competitive pressure from the likes of
Google, our long-term dividend discount modeling finds Microsoft to have a
sustainable, strong, cash-generative profile.
Strong global demand has supported equity markets recently, stretching
valuations. However, it is not clear how sustainable these gains will be.
Through our disciplined long-term approach we continue to find new stocks at
attractive valuations that fit in with our cautious, defensive approach.
MEMBERS Capital Advisors, Inc. - Adviser
Mondrian Investment Partners Limited - Subadviser effective May 1, 2007
David G. Tilles; Clive A. Gilmore; Elizabeth A. Desmond, CFA; Nigel G. May;
and Brendan Baker, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
United States 39%
Europe (Excluding United Kingdom) 26%
United Kingdom 17%
Pacific Basin 11%
Japan 6%
Cash and Other Net Assets 1%
</Table>
- --------------------------------------------------------------------------------
26
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
MORGAN STANLEY CAPITAL INTERNATIONAL
GLOBAL SECURITIES FUND WORLD INDEX(2) (MSCI WORLD INDEX)
---------------------- ------------------------------------
10/31/00 $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
6/07 $16,862 $14,367
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
SINCE EXPENSE
1 Year 3 Years 5 Years Inception(4) RATIO(5)
-------------------------------------------------- --------
GLOBAL SECURITIES FUND 21.82% 18.13% 15.20% 8.15% 0.97%
MSCI World Index(2) 24.19 17.30 14.55 5.83 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The MSCI World Index is free float-adjusted market capitalization index that
is designed to measure global developed market equity performance, including
the U.S. and Canada.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses. For periods prior
to May 1, 2007, performance is shown from the previous subadviser, which was
replaced by Mondrian Partners Limited effective May 1, 2007.
(4) The fund commenced investment operations on October 31, 2000. The Since
Inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
27
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
The first quarter started off strongly as the momentum from equity markets in
2006 continued into 2007. At the end of February, the market experienced a sharp
correction, as concerns about what the regulatory authorities in China might do
to slow that economy added to concerns about the U.S. economy, particularly the
housing market. This caused investors around the world to take profits that had
been built up over the previous eight months of positive stock-market returns.
Currency movements, particularly the strengthening of the yen against the U.S.
dollar, exacerbated the sell-off, as investors were forced to pull back on the
yen-denominated leverage that had helped fuel the previous stock-market rally.
Markets quickly stabilized and, by the end of March, had almost fully regained
their previous highs. The second quarter started out well for equity markets,
with a strong April. May and June proved more volatile, as concerns about
interest rates, various housing markets around the globe, and possible further
fallout from the decline of the U.S. subprime mortgage market occupied
investors' attention.
In this environment the Ultra Series International Stock Fund returned 8.35%
versus the MSCI EAFE Index return of 11.09%. Small Cap International stocks
returned 11.66% for the period and Emerging Markets (as represented by the MSCI
Emerging Markets Free index) returned 17.75%
From a broad sector-perspective, materials, industrials and energy performed
well based on strong indications of economic growth resilience while health care
and utilities lagged. Financials were among the worst performing sectors owing
to increasing concerns about overhang from the subprime mortgage fallout. At a
country level, European stocks outperformed driven by strength in the European
economy. Asian markets excluding Japan also performed well, while Japanese
stocks lagged significantly amid concerns about the country's economic recovery.
While the multi-year rally in equities continues, a change in market leadership
appears to be underway, as investors' risk tolerance moderates after an extended
period of embracing risk. This was seen during the second quarter as large-cap
stocks outperformed small caps after an extended period of underperformance.
Historically, periods of slowing corporate-earnings growth have favored
larger-cap, more diversified, and more consistently profitable companies, as
investors seek out stability in a more adverse environment. Our relative-value
orientation has led us to this large-cap part of the market, since it offers low
valuations and consistently high returns on equity. Valuations remain
attractive, earnings visibility is quite strong, and the fundamentals for owning
certain large-cap stocks are compelling. We believe the fund is well positioned
to benefit from those companies that, from our perspective, are attractively
valued yet offer high returns on capital and high levels of free cash flow. As a
result, we believe the fund should perform well in these market conditions.
MEMBERS Capital Advisors, Inc. - Adviser
Lazard Asset Management LLC - Subadviser
John R. Reinsberg, CFA; Michael A. Bennett, CFA; Michael G. Fry, CFA; James
Donald, CFA; and Brian Pessin, CFA, Portfolio Managers
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
(PIE CHART)
<Table>
Europe (Excluding United Kingdom) 44%
United Kingdom 23%
Japan 13%
Pacific Basin 8%
Latin America 4%
Other Countries 4%
Africa 2%
Europe (Excluding United Kingdom) 44%
Cash And Other Net Assets 2%
</Table>
- --------------------------------------------------------------------------------
28
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
CUMULATIVE PERFORMANCE $10,000 INVESTMENT(1,3)
(LINEGRAPH)
<Table>
<Caption>
MORGAN STANLEY CAPITAL INTERNATIONAL
EUROPE, AUSTRALASIA & FAR EAST INDEX(2)
INTERNATIONAL STOCK FUND (MSCI EAFE INDEX)
------------------------ ---------------------------------------
10/31/00 $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
6/07 $18,456 $17,903
</Table>
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
<Table>
<Caption>
SINCE EXPENSE
1 Year 3 Years 5 Years Inception(4) RATIO(5)
----------------------------------------- --------
INTERNATIONAL STOCK FUND 24.10% 22.48% 17.52% 9.63% 1.22%
MSCI EAFE Index(2) 27.54 22.75 18.21 9.21 NA
</Table>
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The MSCI EAFE (Europe, Australasia & Far East) Index is a free
float-adjusted market capitalization index that is designed to measure
developed market equity performance, excluding the U.S. and Canada.
(3) 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 variable life insurance
contracts that invest in the fund, as described in the Prospectus. If these
fees, charges, or expenses were included, fund returns would have been
lower. Fund returns also assume that dividends and capital gains are
reinvested in additional shares of the fund. 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. The
fund's past performance is not indicative of future performance. Current
performance may be lower or higher than the performance data cited. For fund
performance data current to the most recent month-end, please call
1-800-798-5500. Indices are unmanaged and investors cannot invest in them
directly. Index returns do not reflect fees or expenses.
(4) The fund commenced investment operations on October 31, 2000. The Since
Inception index returns are also from October 31, 2000.
(5) The expense ratio is based on expenses incurred by the fund, as described in
the Prospectus, as of the fiscal year ended December 31, 2006.
- --------------------------------------------------------------------------------
29
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.90%
- -------------------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 5.69%
33,571 Cohen & Steers Institutional Realty Shares, Inc. ............................... $ 1,748,058
-----------
DEBT SECURITIES - 54.08%
470,029 Dodge & Cox Income Fund......................................................... 5,833,055
367,264 MEMBERS Bond Fund,
Class Y (R)..................................................................... 3,529,404
192,164 MEMBERS High Income Fund,
Class Y (R)..................................................................... 1,420,094
569,392 Western Asset Intermediate Bond Portfolio....................................... 5,847,653
-----------
16,630,206
-----------
EQUITY SECURITIES - 23.05%
212,033 MEMBERS Large Cap Growth Fund,
Class Y (R)*.................................................................... 3,394,651
153,928 MEMBERS Large Cap Value Fund,
Class Y (R)..................................................................... 2,581,380
150,446 MEMBERS Mid Cap Growth Fund,
Class Y (R)*.................................................................... 1,113,297
-----------
7,089,328
-----------
FOREIGN SECURITIES - 4.98%
95,074 MEMBERS International Stock Fund,
Class Y (R)..................................................................... 1,531,638
-----------
MONEY MARKET SECURITIES - 12.10%
3,722,372 SSgA Prime Money Market Fund.................................................... 3,722,372
-----------
TOTAL INVESTMENT COMPANIES
( Cost $30,613,038** ).......................................................... 30,721,602
NET OTHER ASSETS AND LIABILITIES - 0.10%
- -------------------------------------------------------------------------------------------------------------
31,168
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 30,752,770
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$30,641,104.
(R) Affiliated Company (see Note 10).
- --------------------------------------------------------------------------------
30
See accompanying Notes to Financial Statements.
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.48%
- -------------------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 4.45%
104,326 Cohen & Steers Institutional Realty Shares, Inc. ............................... $ 5,432,241
-----------
DEBT SECURITIES - 28.36%
1,262,845 MEMBERS Bond Fund,
Class Y (R)..................................................................... 12,135,937
1,088,163 MEMBERS High Income Fund,
Class Y (R)..................................................................... 8,041,528
1,409,396 Western Asset Intermediate Bond Portfolio....................................... 14,474,492
-----------
34,651,957
-----------
EQUITY SECURITIES - 47.02%
237,095 Columbia Funds Series Trust - Columbia Marsico Focused Equities Fund,
Class Z......................................................................... 5,408,133
847,996 MEMBERS Large Cap Growth Fund,
Class Y (R)*.................................................................... 13,576,423
801,312 MEMBERS Large Cap Value Fund,
Class Y (R)..................................................................... 13,438,010
1,290,610 MEMBERS Mid Cap Growth Fund,
Class Y (R)*.................................................................... 9,550,513
388,439 MEMBERS Mid Cap Value Fund,
Class Y (R)..................................................................... 5,484,756
520,635 MEMBERS Small Cap Growth Fund,
Class Y (R)*.................................................................... 5,779,052
392,452 MEMBERS Small Cap Value Fund,
Class Y (R)*.................................................................... 4,218,858
-----------
57,455,745
-----------
FOREIGN SECURITIES - 14.64%
946,596 MEMBERS International Stock Fund,
Class Y (R)..................................................................... 15,249,654
28,800 Vanguard Emerging Markets ETF................................................... 2,629,152
-----------
17,878,806
-----------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
MONEY MARKET SECURITIES - 5.01%
6,125,450 SSgA Prime Money Market Fund.................................................... $ 6,125,450
-----------
TOTAL INVESTMENT COMPANIES
( Cost $118,337,239** )......................................................... 121,544,199
NET OTHER ASSETS AND LIABILITIES - 0.52%
- -------------------------------------------------------------------------------------------------------------
640,651
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 122,184,850
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$118,602,877.
(R) Affiliated Company (see Note 10).
ETF Exchange Traded Fund.
- --------------------------------------------------------------------------------
31
See accompanying Notes to Financial Statements.
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 99.46%
- -------------------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASSES - 1.62%
14,551 Cohen & Steers Institutional Realty
Shares, Inc. ................................................................... $ 757,645
-----------
EQUITY SECURITIES - 68.26%
114,412 Columbia Funds
Series Trust - Columbia Marsico Focused Equities Fund,
Class Z......................................................................... 2,609,738
413,323 MEMBERS Large Cap Growth Fund,
Class Y (R)*.................................................................... 6,617,303
392,998 MEMBERS Large Cap Value Fund,
Class Y (R)..................................................................... 6,590,571
710,879 MEMBERS Mid Cap Growth Fund,
Class Y (R)*.................................................................... 5,260,506
280,200 MEMBERS Mid Cap Value Fund,
Class Y (R)..................................................................... 3,956,419
317,836 MEMBERS Small Cap Growth Fund,
Class Y (R)*.................................................................... 3,527,981
308,635 MEMBERS Small Cap Value Fund,
Class Y (R)*.................................................................... 3,317,827
-----------
31,880,345
-----------
FOREIGN SECURITIES - 29.56%
694,716 MEMBERS International Stock Fund,
Class Y (R)..................................................................... 11,191,877
28,600 Vanguard Emerging Markets ETF................................................... 2,610,894
-----------
13,802,771
-----------
MONEY MARKET SECURITIES - 0.02%
7,483 SSgA Prime Money Market Fund.................................................... 7,483
-----------
TOTAL INVESTMENT COMPANIES
( Cost $43,039,618** ).......................................................... 46,448,244
NET OTHER ASSETS AND LIABILITIES - 0.54%
- -------------------------------------------------------------------------------------------------------------
254,578
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 46,702,822
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$43,258,943.
(R) Affiliated Company (see Note 10).
ETF Exchange Traded Fund.
- --------------------------------------------------------------------------------
32
See accompanying Notes to Financial Statements.
MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 91.49%
- -------------------------------------------------------------------------------------------------------------
FEDERAL AGRICULTURAL MORTGAGE CORP. - 3.07%
$3,250,000 5.140%, due 07/12/07 (A)........................................................ $ 3,244,896
-----------
FEDERAL FARM CREDIT BANK - 3.77%
983,000 2.625%, due 09/17/07............................................................ 977,404
3,000,000 5.180%, due 03/26/08 (G)........................................................ 2,999,672
-----------
3,977,076
-----------
FEDERAL HOME LOAN BANK - 18.42%
4,000,000 5.172%, due 07/05/07 (A)........................................................ 3,997,701
1,000,000 5.183%, due 07/05/07 (A)........................................................ 999,424
4,000,000 5.141%, due 07/25/07 (A)........................................................ 3,986,291
1,474,000 5.150%, due 08/03/07 (A)........................................................ 1,467,041
4,000,000 4.875%, due 08/22/07............................................................ 3,997,177
2,000,000 5.030%, due 02/07/08 (G)........................................................ 2,000,000
3,000,000 5.189%, due 04/01/08 (G)........................................................ 2,999,322
-----------
19,446,956
-----------
FEDERAL HOME LOAN MORTGAGE CORP. - 30.19%
1,500,000 5.130%, due 07/09/07 (A)........................................................ 1,498,290
1,500,000 4.000%, due 07/13/07............................................................ 1,499,360
4,000,000 5.150%, due 07/20/07 (A)........................................................ 3,989,128
350,000 5.165%, due 07/25/07 (A)........................................................ 348,795
2,000,000 5.120%, due 07/30/07 (A)........................................................ 1,991,751
4,100,000 0.010%, due 08/06/07 (A)........................................................ 4,078,906
4,750,000 5.105%, due 08/27/07 (A)........................................................ 4,711,606
2,500,000 5.145%, due 09/04/07 (A)........................................................ 2,476,776
75,000 5.100%, due 09/10/07 (A)........................................................ 74,246
3,350,000 5.145%, due 09/10/07 (A)........................................................ 3,316,007
2,500,000 5.150%, due 09/17/07 (A)........................................................ 2,472,104
3,000,000 5.085%, due 10/09/07 (A)........................................................ 2,957,625
2,500,000 5.060%, due 11/30/07 (A)........................................................ 2,446,589
-----------
31,861,183
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 36.04%
4,000,000 5.170%, due 07/02/07 (A)........................................................ 3,999,426
1,100,000 5.170%, due 07/11/07 (A)........................................................ 1,098,420
1,410,000 5.171%, due 07/13/07 (A)........................................................ 1,407,570
2,000,000 5.120%, due 07/18/07 (A)........................................................ 1,995,164
4,500,000 5.130%, due 07/26/07 (A)........................................................ 4,483,969
4,940,000 5.140%, due 07/27/07 (A)........................................................ 4,921,662
4,000,000 5.120%, due 08/01/07 (A)........................................................ 3,982,364
3,000,000 4.750%, due 08/03/07............................................................ 2,998,612
2,750,000 5.150%, due 08/15/07 (A)........................................................ 2,732,297
4,265,000 5.150%, due 09/05/07 (A)........................................................ 4,224,731
1,113,000 5.150%, due 09/07/07 (A)........................................................ 1,102,173
3,000,000 5.150%, due 09/19/07 (A)........................................................ 2,965,667
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$2,150,000 5.070%, due 10/03/07 (A)........................................................ $ 2,121,538
-----------
38,033,593
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
( Cost $96,563,704)............................................................. 96,563,704
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 8.31%
- -------------------------------------------------------------------------------------------------------------
4,034,747 J.P. Morgan Prime Money Market Fund............................................. 4,034,747
4,738,512 SSgA Prime Money Market Fund.................................................... 4,738,512
-----------
TOTAL INVESTMENT COMPANIES
( Cost $8,773,259).............................................................. 8,773,259
TOTAL INVESTMENTS - 99.80%
- -------------------------------------------------------------------------------------------------------------
( Cost $105,336,963** )...................................................................... 105,336,963
NET OTHER ASSETS AND LIABILITIES - 0.20%
- -------------------------------------------------------------------------------------------------------------
209,708
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 105,546,671
- -------------------------------------------------------------------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$105,336,963.
(A) Rate noted represents annualized yield at time of
purchase.
(G) Floating rate note. Date shown is next reset date.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
33
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 2.73%
- --------------------------------------------------------------------------------------------------------------
$ 652,045 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................................ $ 650,349
1,853,433 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34............................................................ 1,789,756
1,405,744 Countrywide Asset-Backed Certificates,
Series 2003-S1, Class A4 (M)
5.009%, due 12/25/32............................................................ 1,398,864
2,000,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33............................................................ 1,970,460
2,008,551 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due 12/01/27............................................................ 2,043,378
4,338,262 GSAMP Trust,
Series 2006-S5, Class M5 (M)
7.488%, due 09/25/36............................................................ --
3,500,000 New Century Home Equity Loan Trust,
Series 2003-5, Class AI5
5.500%, due 11/25/33............................................................ 3,479,795
2,475,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36............................................................ 2,169,879
424,738 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31............................................................ 422,852
1,423,564 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35............................................................ 1,401,004
2,245,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C) (G)
8.320%, due 05/25/34............................................................ 2,104,452
-----------
TOTAL ASSET BACKED
( Cost $22,166,882 )............................................................ 17,430,789
COMMERCIAL MORTGAGE BACKED - 9.08%
- --------------------------------------------------------------------------------------------------------------
1,743,025 Bear Stearns Commercial Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16............................................................ 1,730,656
4,100,000 Bear Stearns Commercial Mortgage Securities,
Series 2003-T10, Class E (C) (G)
5.540%, due 03/13/40............................................................ 3,977,944
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
$ 2,211,506 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46............................................................ $ 2,161,066
2,800,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46............................................................ 2,630,640
1,810,000 Bear Stearns Commercial Mortgage Securities,
Series 2005-T20, Class F (C)
5.155%, due 10/12/42............................................................ 1,690,943
4,200,000 Government National Mortgage Association,
Series 2004-43, Class C (G)
5.008%, due 12/16/25............................................................ 4,093,662
3,000,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36............................................................ 2,930,652
6,450,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29............................................................ 6,247,006
3,200,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29............................................................ 3,023,730
5,550,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40............................................................ 5,291,933
7,000,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45............................................................ 6,646,663
5,740,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43............................................................ 5,626,544
1,695,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35............................................................ 1,566,028
1,998,226 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35............................................................ 1,964,277
8,450,000 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C8, Class A2
3.894%, due 11/15/35............................................................ 8,277,932
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost $59,358,604 )............................................................ 57,859,676
</Table>
- --------------------------------------------------------------------------------
34
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
PRIVATE LABEL MORTGAGE BACKED - 1.43%
- --------------------------------------------------------------------------------------------------------------
$ 6,318,587 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36............................................................ $ 6,298,494
2,826,505 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36............................................................ 2,811,820
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost $9,105,561 )............................................................. 9,110,314
CORPORATE NOTES AND BONDS - 24.70%
- --------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.50%
2,500,000 American Association of Retired Persons (C)
7.500%, due 05/01/31............................................................ 2,958,135
2,300,000 Carnival Corp. (D)
3.750%, due 11/15/07............................................................ 2,286,283
4,400,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................................ 4,277,733
-----------
9,522,151
-----------
CONSUMER STAPLES - 0.96%
1,250,000 Coca-Cola Enterprises, Inc.
4.375%, due 09/15/09............................................................ 1,224,884
2,330,000 Diageo Capital PLC (D) (O)
5.500%, due 09/30/16............................................................ 2,252,828
2,700,000 Safeway, Inc.
4.125%, due 11/01/08............................................................ 2,658,139
-----------
6,135,851
-----------
ENERGY - 1.81%
3,500,000 ConocoPhillips
6.650%, due 07/15/18............................................................ 3,722,194
2,460,000 Hess Corp.
7.875%, due 10/01/29............................................................ 2,772,848
2,310,000 Transocean, Inc.
7.500%, due 04/15/31............................................................ 2,554,421
2,275,000 Valero Energy Corp.
7.500%, due 04/15/32............................................................ 2,484,455
-----------
11,533,918
-----------
FINANCE - 4.26%
2,885,000 American General Finance Corp. (O)
5.850%, due 06/01/13............................................................ 2,899,093
2,500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10............................................................ 2,433,505
2,000,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07............................................................ 2,005,054
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
FINANCE (CONTINUED)
$ 1,250,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26............................................................ $ 1,333,749
1,680,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30............................................................ 1,928,766
2,750,000 Goldman Sachs Group, Inc.
5.700%, due 09/01/12............................................................ 2,748,334
4,250,000 HSBC Finance Corp.
6.500%, due 11/15/08............................................................ 4,309,678
3,135,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17............................................................ 3,045,659
2,700,000 SLM Corp.
5.125%, due 08/27/12............................................................ 2,390,037
2,000,000 U.S. Bank NA/Cincinnati OH
6.300%, due 02/04/14............................................................ 2,067,766
2,065,000 Western Union Co.
5.930%, due 10/01/16............................................................ 2,014,678
-----------
27,176,319
-----------
FOOD & DRUG RETAILERS - 0.57%
3,450,000 Medco Health Solutions, Inc.
7.250%, due 08/15/13............................................................ 3,630,231
-----------
HEALTH CARE - 2.66%
2,600,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................................ 2,740,662
1,740,000 Genentech, Inc.
5.250%, due 07/15/35............................................................ 1,536,161
3,480,000 Merck & Co., Inc.
6.400%, due 03/01/28............................................................ 3,550,425
3,500,000 Quest Diagnostics, Inc.
5.450%, due 11/01/15............................................................ 3,296,286
3,600,000 WellPoint, Inc.
5.000%, due 12/15/14............................................................ 3,399,091
2,370,000 Wyeth
6.500%, due 02/01/34............................................................ 2,436,822
-----------
16,959,447
-----------
INDUSTRIALS - 5.08%
760,000 Boeing Co.
8.625%, due 11/15/31............................................................ 1,007,648
1,380,000 Boeing Co.
6.875%, due 10/15/43............................................................ 1,528,778
1,140,000 D.R. Horton, Inc.
5.250%, due 02/15/15............................................................ 1,020,129
4,000,000 DaimlerChrysler NA Holding Corp.
4.750%, due 01/15/08............................................................ 3,986,172
3,850,000 Dow Chemical Co. (O)
5.750%, due 12/15/08............................................................ 3,856,387
2,000,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09............................................................ 1,957,704
</Table>
- --------------------------------------------------------------------------------
35
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)
$ 3,200,000 General Electric Co.
5.000%, due 02/01/13............................................................ $ 3,102,522
1,125,000 GMAC LLC (O)
6.125%, due 08/28/07............................................................ 1,125,766
3,265,000 GMAC LLC
7.250%, due 03/02/11............................................................ 3,254,294
958,000 Raytheon Co.
4.500%, due 11/15/07............................................................ 954,642
2,465,000 Waste Management, Inc.
7.125%, due 12/15/17............................................................ 2,565,197
2,250,000 Westvaco Corp.
8.200%, due 01/15/30............................................................ 2,380,486
3,000,000 Weyerhaeuser Co.
6.875%, due 12/15/33............................................................ 2,873,457
2,870,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10............................................................ 2,783,630
-----------
32,396,812
-----------
MEDIA - 1.09%
3,080,000 Comcast Cable Communication Holdings, Inc.
9.455%, due 11/15/22............................................................ 3,908,985
3,000,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13............................................................ 3,028,707
-----------
6,937,692
-----------
PIPELINE - 0.25%
1,675,000 KN Energy, Inc. (O)
7.250%, due 03/01/28............................................................ 1,608,596
-----------
REAL ESTATE INVESTMENT TRUST - 0.17%
1,060,000 Simon Property Group L.P.
5.875%, due 03/01/17............................................................ 1,054,127
-----------
TELECOMMUNICATIONS - 0.80%
2,400,000 Cisco Systems, Inc.
5.500%, due 02/22/16............................................................ 2,341,939
2,915,000 Sprint Nextel Corp.
6.000%, due 12/01/16............................................................ 2,765,330
-----------
5,107,269
-----------
TRANSPORTATION - 0.94%
2,925,000 Burlington Northern Santa Fe Corp. (O)
8.125%, due 04/15/20............................................................ 3,354,893
1,268,000 Norfolk Southern Corp.
5.590%, due 05/17/25............................................................ 1,153,208
1,400,000 Norfolk Southern Corp.
7.050%, due 05/01/37............................................................ 1,479,040
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
TRANSPORTATION (CONTINUED)
$ 9,631 Southwest Airlines Co.,
Series A3
8.700%, due 07/01/11............................................................ $ 10,113
-----------
5,997,254
-----------
UTILITIES - 4.61%
2,750,000 Consumers Energy Co.
5.650%, due 04/15/20............................................................ 2,632,754
2,000,000 Energy East Corp.
8.050%, due 11/15/10............................................................ 2,139,818
2,940,000 Illinois Power Co.
7.500%, due 06/15/09............................................................ 2,998,624
3,445,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36............................................................ 3,280,384
2,765,000 New York State Electric & Gas Corp.
4.375%, due 11/15/07............................................................ 2,752,580
2,925,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34............................................................ 2,833,415
2,400,000 Progress Energy, Inc.
7.750%, due 03/01/31............................................................ 2,774,686
1,200,000 Sierra Pacific Power Co.,
Series M
6.000%, due 05/15/16............................................................ 1,176,920
3,500,000 Southern Power Co./GA,
Series B
6.250%, due 07/15/12............................................................ 3,578,456
2,165,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17............................................................ 2,082,130
3,000,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28............................................................ 3,128,520
-----------
29,378,287
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost $161,912,000 )........................................................... 157,437,954
MORTGAGE BACKED - 25.63%
- --------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 4.35%
4,374,075 5.000%, due 05/01/18
Pool # E96322................................................................... 4,243,355
197,300 3.000%, due 10/15/21
Series 2659,
Class NJ........................................................................ 196,927
129,089 8.000%, due 06/01/30
Pool # C01005................................................................... 136,061
644,227 7.000%, due 03/01/31
Pool # C48129................................................................... 664,950
265,167 6.500%, due 03/01/32
Pool # C65648................................................................... 270,061
</Table>
- --------------------------------------------------------------------------------
36
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)
$ 4,487,111 5.000%, due 07/01/33
Pool # A11325................................................................... $ 4,228,032
1,055,818 6.000%, due 10/01/34
Pool # A28439................................................................... 1,049,696
916,944 6.000%, due 10/01/34
Pool # A28598................................................................... 911,628
6,815,800 5.500%, due 11/01/34
Pool # A28282................................................................... 6,598,591
641,162 5.000%, due 04/01/35
Pool # A32314................................................................... 602,572
1,505,672 5.000%, due 04/01/35
Pool # A32315................................................................... 1,415,049
1,547,416 5.000%, due 04/01/35
Pool # A32316................................................................... 1,454,281
421,150 5.000%, due 04/01/35
Pool # A32509................................................................... 395,801
5,949,871 5.000%, due 01/01/37
Pool # A56371................................................................... 5,581,848
-----------
27,748,852
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.17%
3,586,422 4.000%, due 04/01/15
Pool # 255719................................................................... 3,421,661
4,774,510 5.500%, due 04/01/16
Pool # 745444................................................................... 4,718,612
256,693 6.000%, due 05/01/16
Pool # 582558................................................................... 258,224
1,129,173 5.500%, due 09/01/17
Pool # 657335................................................................... 1,116,589
1,619,229 5.500%, due 02/01/18
Pool # 673194................................................................... 1,601,183
4,534,615 5.000%, due 05/01/20
Pool # 813965................................................................... 4,385,451
4,217,615 4.500%, due 09/01/20
Pool # 835465................................................................... 4,003,921
594,716 6.000%, due 05/01/21
Pool # 253847................................................................... 597,233
190,928 7.000%, due 12/01/29
Pool # 762813................................................................... 197,697
250,627 7.000%, due 11/01/31
Pool # 607515................................................................... 259,761
378,590 6.500%, due 03/01/32
Pool # 631377................................................................... 385,296
5,407 7.000%, due 04/01/32
Pool # 641518................................................................... 5,600
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 457,123 7.000%, due 05/01/32
Pool # 644591................................................................... $ 473,783
4,172,101 6.500%, due 06/01/32
Pool # 545691................................................................... 4,245,994
5,480,529 5.500%, due 04/01/33
Pool # 690206................................................................... 5,310,040
6,642,651 5.000%, due 10/01/33
Pool # 254903................................................................... 6,257,145
6,899,797 5.500%, due 11/01/33
Pool # 555880................................................................... 6,685,158
119,227 5.000%, due 05/01/34
Pool # 782214................................................................... 112,184
1,712,381 5.000%, due 06/01/34
Pool # 778891................................................................... 1,611,234
6,613,241 5.500%, due 06/01/34
Pool # 780384................................................................... 6,402,841
86,741 7.000%, due 07/01/34
Pool # 792636................................................................... 89,455
801,693 5.500%, due 08/01/34
Pool # 793647................................................................... 776,188
3,673,173 5.500%, due 03/01/35
Pool # 810075................................................................... 3,551,707
3,665,882 5.500%, due 03/01/35
Pool # 815976................................................................... 3,544,658
3,903,848 5.500%, due 07/01/35
Pool # 825283................................................................... 3,774,755
5,185,528 5.000%, due 08/01/35
Pool # 829670................................................................... 4,872,035
2,400,127 5.500%, due 08/01/35
Pool # 826872................................................................... 2,320,759
4,056,182 5.000%, due 09/01/35
Pool # 820347................................................................... 3,810,964
4,177,930 5.000%, due 09/01/35
Pool # 835699................................................................... 3,925,352
7,318,823 5.000%, due 10/01/35
Pool # 797669................................................................... 6,876,361
929,320 5.500%, due 10/01/35
Pool # 836912................................................................... 898,589
5,589,344 5.000%, due 11/01/35
Pool # 844809................................................................... 5,251,438
5,581,361 5.000%, due 12/01/35
Pool # 850561................................................................... 5,243,937
1,943,315 5.500%, due 02/01/36
Pool # 851330................................................................... 1,879,053
2,146,479 5.500%, due 10/01/36
Pool # 896340................................................................... 2,071,261
11,179,468 5.500%, due 10/01/36
Pool # 901723................................................................... 10,787,708
</Table>
- --------------------------------------------------------------------------------
37
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 6,080,502 6.500%, due 10/01/36
Pool # 894118................................................................... $ 6,139,640
6,549,867 6.000%, due 11/01/36
Pool # 902510................................................................... 6,498,051
5,478,290 5.500%, due 05/01/37
Pool # 899323................................................................... 5,283,753
5,475,000 5.500%, due 07/01/37
Pool # 938197 (H)............................................................... 5,280,681
-----------
134,925,952
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.11%
86,033 8.000%, due 10/20/15
Pool # 002995................................................................... 90,316
304,395 6.500%, due 02/20/29
Pool # 002714................................................................... 311,179
284,626 6.500%, due 04/20/31
Pool # 003068................................................................... 290,758
-----------
692,253
-----------
TOTAL MORTGAGE BACKED
( Cost $167,696,974 )........................................................... 163,367,057
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 29.78%
- --------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.65%
4,000,000 5.875%, due 10/03/16............................................................ 4,120,320
-----------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.20%
2,500,000 4.875%, due 11/15/13 (O)........................................................ 2,435,142
5,500,000 4.500%, due 01/15/14 (O)........................................................ 5,241,951
-----------
7,677,093
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.68%
4,675,000 4.000%, due 09/02/08 (O)........................................................ 4,608,101
2,400,000 5.250%, due 08/01/12 (O)........................................................ 2,379,396
3,905,000 4.625%, due 10/15/14 (O)........................................................ 3,726,901
-----------
10,714,398
-----------
U.S. TREASURY BONDS - 3.86%
1,000,000 10.625%, due 08/15/15 (O)....................................................... 1,370,234
19,850,000 6.625%, due 02/15/27 (O)........................................................ 23,252,409
-----------
24,622,643
-----------
U.S. TREASURY NOTES - 22.39%
2,500,000 4.000%, due 08/31/07 (O)........................................................ 2,496,290
10,000,000 4.625%, due 03/31/08 (O)........................................................ 9,970,310
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
U.S. TREASURY NOTES (CONTINUED)
$ 1,015,000 3.750%, due 05/15/08 (O)........................................................ $ 1,003,898
12,000,000 2.625%, due 03/15/09 (O)........................................................ 11,552,808
3,640,000 4.875%, due 05/31/09 (O)........................................................ 3,638,864
2,000,000 3.500%, due 02/15/10 (O)........................................................ 1,931,718
9,625,000 3.875%, due 05/15/10 (O)........................................................ 9,365,577
8,750,000 3.875%, due 09/15/10 (O)........................................................ 8,488,865
13,000,000 4.500%, due 11/15/10 (O)........................................................ 12,843,597
1,485,000 4.750%, due 03/31/11 (O)........................................................ 1,476,763
23,100,000 4.625%, due 12/31/11 (O)........................................................ 22,813,052
6,425,000 4.625%, due 02/29/12 (O)........................................................ 6,342,683
6,000,000 4.875%, due 06/30/12 (H)........................................................ 5,983,596
5,660,000 3.625%, due 05/15/13 (O)........................................................ 5,291,658
1,915,000 4.000%, due 02/15/14 (O)........................................................ 1,812,818
6,565,000 4.250%, due 11/15/14 (O)........................................................ 6,263,936
2,750,000 4.000%, due 02/15/15 (O)........................................................ 2,575,116
5,900,000 4.250%, due 08/15/15 (O)........................................................ 5,598,085
14,200,000 4.625%, due 02/15/17 (O)........................................................ 13,751,820
9,920,000 4.500%, due 05/15/17 (O)........................................................ 9,510,800
-----------
142,712,254
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
( Cost $192,911,716 )........................................................... 189,846,708
CERTIFICATE OF DEPOSIT - 3.09%
- --------------------------------------------------------------------------------------------------------------
19,678,045 State Street Eurodollar
2.800%, due 07/02/07............................................................ 19,678,045
-----------
TOTAL CERTIFICATE OF DEPOSIT
( Cost $19,678,045 )............................................................ 19,678,045
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 4.49%
- --------------------------------------------------------------------------------------------------------------
3 J.P. Morgan Prime Money Market Fund............................................. 3
28,617,181 SSgA Prime Money Market Fund (N)................................................ 28,617,181
-----------
TOTAL INVESTMENT COMPANIES
( Cost $28,617,184 )............................................................ 28,617,184
</Table>
- --------------------------------------------------------------------------------
38
See accompanying Notes to Financial Statements.
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COLLATERAL FOR SECURITIES ON LOAN - 24.10%
- --------------------------------------------------------------------------------------------------------------
153,653,884 State Street Navigator Securities Lending
Prime Portfolio (I)............................................................. $ 153,653,884
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $153,653,884 )........................................................... 153,653,884
TOTAL INVESTMENTS - 125.03%
- --------------------------------------------------------------------------------------------------------------
( Cost $815,100,850** ).......................................................................... 797,001,611
NET OTHER ASSETS AND LIABILITIES - (25.03)%
- --------------------------------------------------------------------------------------------------------------
(159,564,770)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------------------
$ 637,436,841
- --------------------------------------------------------------------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$815,369,810.
(C) Security sold within terms of a private placement
memorandum exempt from registration under section 144A of the Securities
Act of 1933, as amended, and may be sold only to dealers in that program or
other "qualified institutional investors." The securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(D) Notes and bonds, issued by foreign entities,
denominated in U.S. dollars. The aggregate of these securities is 1.19% of
total net assets.
(G) Floating rate or variable rate note. Rate shown is
as of June 30, 2007.
(H) Security purchased on a delayed delivery or when-
issued basis. Rate shown is at issue date.
(I) Represents investments of cash collateral received
in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient
collateral market value. If collateral market value falls below a stated
level, the issuer will either initiate a clean-up call or increase the
stated interest rate.
(N) Security segregated for forward or when-issued
purchase commitments outstanding as of June 30, 2007.
(O) All (or portion of security) on loan.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
39
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 95.75%
- -------------------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 1.22%
$ 750,000 Alion Science and Technology Corp.
10.250%, due 02/01/15........................................................... $ 787,500
250,000 Hawker Beechcraft Acquisition Co. LLC/ Hawker Beechcraft Notes Co. (C)(O)
9.750%, due 04/01/17............................................................ 261,250
800,000 K&F Acquisition, Inc.
7.750%, due 11/15/14............................................................ 848,000
-----------
1,896,750
-----------
APPAREL/TEXTILES - 0.93%
350,000 Hanesbrands, Inc.,
Series B (G)
8.735%, due 12/15/14............................................................ 355,250
750,000 Oxford Industries, Inc.
8.875%, due 06/01/11............................................................ 774,375
300,000 Warnaco, Inc.
8.875%, due 06/15/13............................................................ 317,250
-----------
1,446,875
-----------
AUTOMOTIVE - 4.47%
750,000 American Axle & Manufacturing, Inc. (O)
7.875%, due 03/01/17............................................................ 736,875
250,000 Ford Motor Credit Co. LLC
7.250%, due 10/25/11............................................................ 240,608
750,000 Ford Motor Credit Co. LLC
7.800%, due 06/01/12............................................................ 731,645
750,000 Ford Motor Credit Co. LLC (O)
8.000%, due 12/15/16............................................................ 718,386
800,000 General Motors Corp. (O)
7.125%, due 07/15/13............................................................ 751,000
600,000 General Motors Corp. (O)
7.700%, due 04/15/16............................................................ 558,000
650,000 General Motors Corp. (O)
8.250%, due 07/15/23............................................................ 592,313
400,000 KAR Holdings, Inc. (C)
8.750%, due 05/01/14............................................................ 392,000
750,000 KAR Holdings, Inc. (C)
10.000%, due 05/01/15........................................................... 731,250
750,000 United Auto Group, Inc.
7.750%, due 12/15/16............................................................ 746,250
750,000 United Components, Inc.
9.375%, due 06/15/13............................................................ 774,375
-----------
6,972,702
-----------
BEVERAGE/FOOD - 1.63%
500,000 B&G Foods, Inc.
8.000%, due 10/01/11............................................................ 500,000
500,000 Constellation Brands, Inc. (C)
7.250%, due 05/15/17............................................................ 487,500
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
BEVERAGE/FOOD (CONTINUED)
$ 180,000 Michael Foods, Inc.
8.000%, due 11/15/13............................................................ $ 181,800
600,000 NBTY, Inc.
7.125%, due 10/01/15............................................................ 594,000
800,000 Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp. (C)(O)
10.625%, due 04/01/17........................................................... 770,000
-----------
2,533,300
-----------
BUILDING MATERIALS - 1.76%
1,000,000 Goodman Global Holdings, Inc. (O)
7.875%, due 12/15/12............................................................ 990,000
750,000 Interline Brands, Inc.
8.125%, due 06/15/14............................................................ 755,625
1,000,000 U.S. Concrete, Inc. (O)
8.375%, due 04/01/14............................................................ 997,500
-----------
2,743,125
-----------
CHEMICALS - 2.87%
1,000,000 Hexion US Finance Corp./ Hexion Nova Scotia Finance ULC
9.750%, due 11/15/14............................................................ 1,035,000
500,000 Hexion US Finance Corp./ Hexion Nova Scotia Finance ULC (G)(O)
9.860%, due 11/15/14............................................................ 515,000
500,000 Ineos Group Holdings PLC (C)(D)(O)
8.500%, due 02/15/16............................................................ 488,750
500,000 Lyondell Chemical Co.
8.000%, due 09/15/14............................................................ 513,750
600,000 Lyondell Chemical Co.
8.250%, due 09/15/16............................................................ 627,000
400,000 Momentive Performance Materials, Inc. (C)
9.750%, due 12/01/14............................................................ 404,000
600,000 Nalco Co. (O)
8.875%, due 11/15/13............................................................ 622,500
250,000 Tronox Worldwide LLC/ Tronox Finance Corp.
9.500%, due 12/01/12............................................................ 260,625
-----------
4,466,625
-----------
CONSUMER PRODUCTS - 3.21%
400,000 American Achievement Corp.
8.250%, due 04/01/12............................................................ 403,000
1,000,000 Central Garden and Pet Co.
9.125%, due 02/01/13............................................................ 1,030,000
290,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11............................................................ 304,500
900,000 Leslie's Poolmart
7.750%, due 02/01/13............................................................ 895,500
1,100,000 Simmons Co. (O)
7.875%, due 01/15/14............................................................ 1,094,500
</Table>
- --------------------------------------------------------------------------------
40
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)
$ 500,000 Visant Corp.
7.625%, due 10/01/12............................................................ $ 497,500
750,000 Visant Holding Corp.
8.750%, due 12/01/13............................................................ 780,000
-----------
5,005,000
-----------
ENVIRONMENTAL - 2.40%
1,000,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13............................................................ 1,037,500
800,000 Waste Connections, Inc. (O)(P)
3.750%, due 04/01/26............................................................ 878,000
750,000 Waste Services, Inc. (O)
9.500%, due 04/15/14............................................................ 788,438
1,000,000 WCA Waste Corp.
9.250%, due 06/15/14............................................................ 1,040,000
-----------
3,743,938
-----------
FOOD & DRUG RETAILERS - 2.02%
750,000 Rite Aid Corp. (O)
9.250%, due 06/01/13............................................................ 744,375
1,250,000 Rite Aid Corp.
8.625%, due 03/01/15............................................................ 1,168,750
500,000 Rite Aid Corp.
7.500%, due 03/01/17............................................................ 482,500
250,000 Stater Brothers Holdings (O)
8.125%, due 06/15/12............................................................ 251,875
500,000 Stater Brothers Holdings (C)
7.750%, due 04/15/15............................................................ 501,250
-----------
3,148,750
-----------
FORESTRY/PAPER - 4.48%
750,000 Abitibi-Consolidated Co. of Canada (D)(O)
8.375%, due 04/01/15............................................................ 656,250
750,000 Abitibi-Consolidated, Inc. (D)(G)
8.860%, due 06/15/11............................................................ 705,000
350,000 Boise Cascade LLC (G)
8.231%, due 10/15/12............................................................ 350,000
750,000 Boise Cascade LLC
7.125%, due 10/15/14............................................................ 712,500
750,000 Cascades, Inc. (D)
7.250%, due 02/15/13............................................................ 729,375
600,000 Catalyst Paper Corp.,
Series D (D)
8.625%, due 06/15/11............................................................ 580,500
485,000 Catalyst Paper Corp. (D)
7.375%, due 03/01/14............................................................ 435,894
750,000 Georgia-Pacific Corp. (C)
7.125%, due 01/15/17............................................................ 720,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
FORESTRY/PAPER (CONTINUED)
$1,000,000 Smurfit-Stone Container Enterprises, Inc.
8.000%, due 03/15/17............................................................ $ 970,000
500,000 Smurfit-Stone Container Enterprises, Inc.
8.375%, due 07/01/12............................................................ 500,625
250,000 Verso Paper Holdings LLC and Verson Paper, Inc. (C)(G)
9.106%, due 08/01/14............................................................ 255,000
350,000 Verso Paper Holdings LLC and Verson Paper, Inc. (C)
11.375%, due 08/01/16........................................................... 373,625
-----------
6,988,769
-----------
GAMING - 8.30%
750,000 American Casino & Entertainment Properties LLC
7.850%, due 02/01/12............................................................ 770,625
320,000 Boyd Gaming Corp.
6.750%, due 04/15/14............................................................ 313,600
750,000 CCM Merger, Inc. (C)
8.000%, due 08/01/13............................................................ 746,250
200,000 Chukchansi Economic Development Authority (C)(G)
8.859%, due 11/15/12............................................................ 203,500
750,000 Fontainebleau Las Vegas Holdings LLC/ Fontainebleau Las Vegas Capital Corp. (C)
10.250%, due 06/15/15........................................................... 738,750
650,000 Global Cash Access LLC/ Global Cash Finance Corp.
8.750%, due 03/15/12............................................................ 674,375
750,000 Herbst Gaming, Inc.
7.000%, due 11/15/14............................................................ 703,125
500,000 Isle of Capri Casinos, Inc.
9.000%, due 03/15/12............................................................ 521,250
500,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14............................................................ 473,125
1,000,000 MGM Mirage (O)
7.625%, due 01/15/17............................................................ 951,250
1,000,000 MTR Gaming Group, Inc.,
Series B
9.750%, due 04/01/10............................................................ 1,040,000
500,000 Penn National Gaming, Inc.
6.750%, due 03/01/15............................................................ 512,500
500,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12............................................................ 515,000
365,000 Pinnacle Entertainment, Inc. (O)
8.750%, due 10/01/13............................................................ 381,425
500,000 Pinnacle Entertainment, Inc. (C)
7.500%, due 06/15/15............................................................ 482,500
200,000 Seneca Gaming Corp.
7.250%, due 05/01/12............................................................ 202,750
</Table>
- --------------------------------------------------------------------------------
41
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)
$ 300,000 Seneca Gaming Corp.,
Series B
7.250%, due 05/01/12............................................................ $ 304,125
750,000 Shuffle Master, Inc. (P)
1.250%, due 04/15/24............................................................ 704,062
300,000 Station Casinos, Inc. (O)
6.875%, due 03/01/16............................................................ 264,750
750,000 Station Casinos, Inc.
7.750%, due 08/15/16............................................................ 742,500
850,000 Station Casinos, Inc.
6.625%, due 03/15/18............................................................ 731,000
1,000,000 Wimar Opco LLC/ Wimar Opco Finance Corp. (C)
9.625%, due 12/15/14............................................................ 962,500
-----------
12,938,962
-----------
GENERAL INDUSTRIAL & MANUFACTURING - 2.68%
750,000 Baldor Electric Co.
8.625%, due 02/15/17............................................................ 793,125
500,000 Chart Industries, Inc.
9.125%, due 10/15/15............................................................ 525,000
200,000 Hexcel Corp.
6.750%, due 02/01/15............................................................ 194,000
750,000 Mueller Water Products, Inc. (C)
7.375%, due 06/01/17............................................................ 743,707
700,000 RBS Global, Inc. and Rexnord Corp.
8.875%, due 09/01/16............................................................ 701,750
694,000 Trimas Corp.
9.875%, due 06/15/12............................................................ 713,085
500,000 Wesco Distribution, Inc. (O)
7.500%, due 10/15/17............................................................ 500,000
-----------
4,170,667
-----------
HEALTH CARE - 8.01%
250,000 Advanced Medical Optics, Inc. (C)
7.500%, due 05/01/17............................................................ 236,250
750,000 Advanced Medical Optics, Inc. (P)
3.250%, due 08/01/26............................................................ 672,187
1,000,000 Carriage Services, Inc.
7.875%, due 01/15/15............................................................ 1,012,500
400,000 CDRV Investors, Inc. (B)
0.000%, due 01/01/15............................................................ 364,000
800,000 Community Health Systems, Inc. (C)(H)
8.875%, due 07/15/15............................................................ 811,000
500,000 HCA, Inc. (O)
6.500%, due 02/15/16............................................................ 423,125
1,000,000 HCA, Inc. (C)
9.250%, due 11/15/16............................................................ 1,065,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
HEALTH CARE (CONTINUED)
$ 500,000 HCA, Inc., PIK (C)(O)
9.625%, due 11/15/16............................................................ $ 537,500
750,000 IASIS Healthcare LLC/ IASIS Capital Corp. (O)
8.750%, due 06/15/14............................................................ 750,000
750,000 Omnicare, Inc.,
Series OCR (P)
3.250%, due 12/15/35............................................................ 627,188
750,000 Psychiatric Solutions, Inc. (O)
7.750%, due 07/15/15............................................................ 741,562
500,000 Res-Care, Inc.
7.750%, due 10/15/13............................................................ 512,500
500,000 Service Corp. International/US (O)
7.625%, due 10/01/18............................................................ 506,250
150,000 Teva Pharmaceutical Finance Co. BV,
Series D (D)(O)(P)
1.750%, due 02/01/26............................................................ 149,438
400,000 Triad Hospitals, Inc.
7.000%, due 11/15/13............................................................ 420,480
750,000 United Surgical Partners International, Inc. (C)
8.875%, due 05/01/17............................................................ 751,875
750,000 Universal Hospital Services, Inc., PIK (C)
8.500%, due 06/01/15............................................................ 742,500
800,000 Vanguard Health Holding Co. I LLC (B)
0.000%, due 10/01/15............................................................ 652,000
750,000 Vanguard Health Holding Co. II LLC
9.000%, due 10/01/14............................................................ 742,500
750,000 Warner Chilcott Corp.
8.750%, due 02/01/15............................................................ 770,625
-----------
12,488,480
-----------
HOTEL - 0.12%
200,000 Host Marriott L.P., REIT,
Series O
6.375%, due 03/15/15............................................................ 192,000
-----------
INSURANCE - 1.54%
2,500,000 HUB International Holdings, Inc. (C)
10.250%, due 06/15/15........................................................... 2,406,250
-----------
LEISURE & ENTERTAINMENT - 0.41%
650,000 Speedway Motorsports, Inc.
6.750%, due 06/01/13............................................................ 633,750
-----------
MEDIA - BROADCASTING - 1.32%
754,000 Allbritton Communications Co.
7.750%, due 12/15/12............................................................ 757,770
100,000 LIN Television Corp.
6.500%, due 05/15/13............................................................ 97,750
</Table>
- --------------------------------------------------------------------------------
42
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)
$ 750,000 LIN Television Corp. (P)
2.500%, due 05/15/33............................................................ $ 727,500
250,000 LIN Television Corp.,
Series B
6.500%, due 05/15/13............................................................ 244,375
221,000 Sinclair Broadcast Group, Inc.
8.000%, due 03/15/12............................................................ 227,630
-----------
2,055,025
-----------
MEDIA - CABLE - 3.48%
1,000,000 Cablevision Systems Corp.,
Series B (O)
8.000%, due 04/15/12............................................................ 987,500
1,250,000 Echostar DBS Corp.
6.625%, due 10/01/14............................................................ 1,193,750
300,000 Mediacom Broadband LLC (O)
8.500%, due 10/15/15............................................................ 301,500
500,000 Mediacom Broadband LLC (C)
8.500%, due 10/15/15............................................................ 502,500
1,000,000 Mediacom LLC/Mediacom Capital Corp.
9.500%, due 01/15/13............................................................ 1,022,500
1,350,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16............................................................ 1,414,125
-----------
5,421,875
-----------
MEDIA - DIVERSIFIED & SERVICES - 3.99%
1,000,000 Hughes Network Systems LLC/ HNS Finance Corp.
9.500%, due 04/15/14............................................................ 1,045,000
400,000 Intelsat, Ltd. (D)(O)
7.625%, due 04/15/12............................................................ 357,000
1,250,000 Intelsat Bermuda, Ltd. (D)(G)
8.872%, due 01/15/15............................................................ 1,276,562
500,000 Intelsat Bermuda, Ltd.
9.250%, due 06/15/16............................................................ 531,250
750,000 Intelsat Bermuda, Ltd. (D)
11.250%, due 06/15/16........................................................... 840,000
210,000 Lamar Media Corp.
7.250%, due 01/01/13............................................................ 209,475
500,000 Lamar Media Corp.
6.625%, due 08/15/15............................................................ 473,750
500,000 LBI Media, Inc.
10.125%, due 07/15/12........................................................... 525,625
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MEDIA - DIVERSIFIED & SERVICES (CONTINUED)
$ 750,000 Quebecor Media, Inc. (D)
7.750%, due 03/15/16............................................................ $ 761,250
250,000 WMG Holdings Corp. (B)
0.000%, due 12/15/14............................................................ 190,000
-----------
6,209,912
-----------
METALS AND MINING - 2.03%
750,000 Aleris International, Inc., PIK (C)
9.000%, due 12/15/14............................................................ 756,563
750,000 Aleris International, Inc. (C)
10.000%, due 12/15/16........................................................... 744,375
1,000,000 Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp. (O)
10.000%, due 06/01/12........................................................... 1,055,000
350,000 Arch Western Finance LLC
6.750%, due 07/01/13............................................................ 336,000
250,000 Peabody Energy Corp. (P)
4.750%, due 12/15/66............................................................ 264,062
-----------
3,156,000
-----------
NON FOOD & DRUG RETAILERS - 4.48%
1,250,000 AutoNation, Inc. (G)
7.356%, due 04/15/13............................................................ 1,246,875
750,000 Blockbuster, Inc. (O)
9.000%, due 09/01/12............................................................ 693,750
500,000 Buhrmann U.S., Inc.
7.875%, due 03/01/15............................................................ 492,500
500,000 Burlington Coat Factory Warehouse Corp. (O)
11.125%, due 04/15/14........................................................... 487,500
250,000 GSC Holdings Corp. (G)
9.224%, due 10/01/11............................................................ 256,075
400,000 Pantry, Inc.
7.750%, due 02/15/14............................................................ 390,000
350,000 Petro Stopping Centers L.P./Petro Financial Corp.
9.000%, due 02/15/12............................................................ 369,250
1,000,000 Sally Holdings LLC (C)
9.250%, due 11/15/14............................................................ 1,002,500
550,000 Sally Holdings LLC (C)(O)
10.500%, due 11/15/16........................................................... 552,750
706,000 Susser Holdings LLC
10.625%, due 12/15/13........................................................... 766,010
750,000 Yankee Acquisition Corp./MA,
Series B
8.500%, due 02/15/15............................................................ 727,500
-----------
6,984,710
-----------
</Table>
- --------------------------------------------------------------------------------
43
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)
- -------------------------------------------------------------------------------------------------------------
OIL & GAS - 7.70%
$ 250,000 Berry Petroleum Co.
8.250%, due 11/01/16............................................................ $ 251,875
470,000 Chesapeake Energy Corp. (O)
6.875%, due 01/15/16............................................................ 459,425
1,000,000 Complete Production Services, Inc. (C)
8.000%, due 12/15/16............................................................ 1,010,000
700,000 Compton Petroleum Finance Corp. (O)
7.625%, due 12/01/13............................................................ 691,250
350,000 Denbury Resources, Inc.
7.500%, due 04/01/13............................................................ 350,000
300,000 Encore Acquisition Co.
6.250%, due 04/15/14............................................................ 267,750
500,000 Encore Acquisition Co.
6.000%, due 07/15/15............................................................ 441,250
500,000 Energy Partners, Ltd. (C)(G)
10.480%, due 04/15/13........................................................... 502,500
750,000 Energy Partners, Ltd. (C)
9.750%, due 04/15/14............................................................ 744,375
1,000,000 Exco Resources, Inc.
7.250%, due 01/15/11............................................................ 995,000
750,000 Harvest Operations Corp. (D)
7.875%, due 10/15/11............................................................ 735,938
750,000 Mariner Energy, Inc.
8.000%, due 05/15/17............................................................ 744,375
1,000,000 PetroHawk Energy Corp.
9.125%, due 07/15/13............................................................ 1,057,500
1,500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17............................................................ 1,443,750
1,400,000 VeraSun Energy Corp. (C)
9.375%, due 06/01/17............................................................ 1,302,000
1,000,000 W&T Offshore, Inc. (C)
8.250%, due 06/15/14............................................................ 1,000,000
-----------
11,996,988
-----------
PACKAGING - 0.50%
750,000 BWAY Corp.
10.000%, due 10/15/10........................................................... 780,937
-----------
PRINTING & PUBLISHING - 3.51%M
1,000,000 CBD Media, Inc.
8.625%, due 06/01/11............................................................ 1,010,000
750,000 Cenveo Corp.
7.875%, due 12/01/13............................................................ 735,000
500,000 Deluxe Corp. (C)
7.375%, due 06/01/15............................................................ 497,500
1,500,000 Idearc, Inc.
8.000%, due 11/15/16............................................................ 1,515,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
PRINTING & PUBLISHING (CONTINUED)
$ 750,000 RH Donnelley Corp.,
Series A-3
8.875%, due 01/15/16............................................................ $ 780,000
950,000 Valassis Communications, Inc. (C)
8.250%, due 03/01/15............................................................ 926,250
-----------
5,463,750
-----------
RESTAURANTS - 0.57%
400,000 OSI Restaurant Partners, Inc. (C)(O)
10.000%, due 06/15/15........................................................... 382,000
500,000 Seminole Hard Rock Entertainment, Inc./ Seminole Hard Rock International LLC (C)(G)
7.860%, due 03/15/14............................................................ 503,750
-----------
885,750
-----------
STEEL - 0.48%
750,000 AK Steel Corp.
7.750%, due 06/15/12............................................................ 750,000
-----------
SUPPORT SERVICES - 7.43%
1,500,000 Aramark Corp. (C)
8.500%, due 02/01/15............................................................ 1,526,250
750,000 Ashtead Capital, Inc. (C)
9.000%, due 08/15/16............................................................ 785,625
250,000 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (G)(O)
7.860%, due 05/15/14............................................................ 253,750
500,000 Cardtronics, Inc.
9.250%, due 08/15/13............................................................ 511,250
750,000 Education Management LLC/Education Management Corp.
10.250%, due 06/01/16........................................................... 789,375
500,000 FTI Consulting, Inc.
7.750%, due 10/01/16............................................................ 510,000
750,000 H&E Equipment Services, Inc. (O)
8.375%, due 07/15/16............................................................ 787,500
1,000,000 Hertz Corp.
8.875%, due 01/01/14............................................................ 1,042,500
500,000 Hertz Corp.
10.500%, due 01/01/16........................................................... 552,500
140,000 Iron Mountain, Inc.
7.750%, due 01/15/15............................................................ 136,500
500,000 Mac-Gray Corp.
7.625%, due 08/15/15............................................................ 502,500
1,000,000 Neff Corp. (C)
10.000%, due 06/01/15........................................................... 997,500
</Table>
- --------------------------------------------------------------------------------
44
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)
$ 400,000 Norcross Safety Products LLC/Norcross Capital Corp.,
Series B
9.875%, due 08/15/11............................................................ $ 421,000
1,400,000 Rental Services Corp. (C)
9.500%, due 12/01/14............................................................ 1,428,000
500,000 West Corp.
9.500%, due 10/15/14............................................................ 512,500
300,000 West Corp. (O)
11.000%, due 10/15/16........................................................... 313,500
500,000 Williams Scotsman, Inc.
8.500%, due 10/01/15............................................................ 516,250
-----------
11,586,500
-----------
TECHNOLOGY - 3.94%
750,000 Celestica, Inc. (D)(O)
7.625%, due 07/01/13............................................................ 701,250
100,000 Flextronics International, Ltd. (D)(O)(P)
1.000%, due 08/01/10............................................................ 93,000
500,000 Freescale Semiconductor, Inc. (C)(O)
8.875%, due 12/15/14............................................................ 477,500
500,000 Freescale Semiconductor, Inc. (C)(O)
10.125%, due 12/15/16........................................................... 470,000
750,000 NXP BV/NXP Funding LLC (D)(O)
9.500%, due 10/15/15............................................................ 738,750
1,000,000 Sabre Holdings Corp.
8.350%, due 03/15/16............................................................ 900,000
500,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13............................................................ 511,875
1,000,000 Sungard Data Systems, Inc.
10.250%, due 08/15/15........................................................... 1,057,500
1,250,000 Syniverse Technologies, Inc.,
Series B
7.750%, due 08/15/13............................................................ 1,193,750
-----------
6,143,625
-----------
TELECOMMUNICATIONS - 5.11%
1,000,000 Centennial Communications Corp. (G)
11.099%, due 01/01/13........................................................... 1,045,000
1,000,000 Cincinnati Bell, Inc. (O)
8.375%, due 01/15/14............................................................ 1,010,000
700,000 Cincinnati Bell Telephone Co.
6.300%, due 12/01/28............................................................ 623,000
1,500,000 Citizens Communications Co.
7.875%, due 01/15/27............................................................ 1,458,750
1,250,000 Level 3 Financing, Inc. (C)
8.750%, due 02/15/17............................................................ 1,235,938
1,500,000 Nordic Telephone Co. Holdings ApS (C)(D)
8.875%, due 05/01/16............................................................ 1,590,000
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
TELECOMMUNICATIONS (CONTINUED)
$ 500,000 PAETEC Holding Corp. (C)(H)(L)
9.500%, due 07/15/15............................................................ $ 500,000
500,000 Qwest Communications International, Inc. (G)
8.860%, due 02/15/09............................................................ 505,000
-----------
7,967,688
-----------
TRANSPORTATION - 0.79%
500,000 CHC Helicopter Corp. (D)
7.375%, due 05/01/14............................................................ 476,250
755,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14............................................................ 762,550
-----------
1,238,800
-----------
UTILITIES - 4.37%
1,500,000 Dynegy Holdings, Inc.
8.375%, due 05/01/16............................................................ 1,466,250
2,500,000 Edison Mission Energy (C)
7.625%, due 05/15/27............................................................ 2,362,500
1,000,000 Ferrellgas Partners L.P./Ferrellgas Partners Finance
8.750%, due 06/15/12............................................................ 1,030,000
750,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14............................................................ 710,625
750,000 NRG Energy, Inc.
7.375%, due 02/01/16............................................................ 751,875
500,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp. (O)
6.875%, due 12/15/13............................................................ 482,500
-----------
6,803,750
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost $150,128,680 )........................................................... 149,221,253
<Caption>
Shares
- ------
INVESTMENT COMPANY - 2.24%
- -------------------------------------------------------------------------------------------------------------
3,486,767 SSgA Prime Money Market Fund (N)................................................ 3,486,767
-----------
TOTAL INVESTMENT COMPANY
( Cost $3,486,767 )............................................................. 3,486,767
</Table>
- --------------------------------------------------------------------------------
45
See accompanying Notes to Financial Statements.
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COLLATERAL FOR SECURITIES ON LOAN - 16.47%
- -------------------------------------------------------------------------------------------------------------
25,666,595 State Street Navigator Securities
Lending Prime Portfolio (I)..................................................... $ 25,666,595
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $25,666,595 )............................................................ 25,666,595
TOTAL INVESTMENTS - 114.46%
- -------------------------------------------------------------------------------------------------------------
( Cost $179,282,042** )......................................................................... 178,374,615
NET OTHER ASSETS AND LIABILITIES - (14.46)%
- -------------------------------------------------------------------------------------------------------------
(22,538,077)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 155,836,538
- -------------------------------------------------------------------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$179,312,880.
(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 9.09%
of total net assets.
(G) Floating rate or variable rate note. Rate shown
is as of June 30, 2007.
(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, 2007.
(O) All (or portion of security) on loan.
(P) Convertible.
PIK Payment-in-Kind.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
46
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 45.19%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.49%
70,100 Carnival Corp. ................................................................. $ 3,418,777
97,500 Genuine Parts Co. .............................................................. 4,836,000
148,000 Home Depot, Inc. ............................................................... 5,823,800
120,000 Limited Brands, Inc. ........................................................... 3,294,000
-----------
17,372,577
-----------
CONSUMER STAPLES - 5.59%
165,000 Altria Group, Inc. ............................................................. 11,573,100
117,000 Anheuser-Busch Cos., Inc. ...................................................... 6,102,720
159,700 Coca-Cola Co. .................................................................. 8,353,907
118,000 Kimberly-Clark Corp. ........................................................... 7,893,020
94,018 Kraft Foods, Inc.,
Class A......................................................................... 3,314,134
28,000 Procter & Gamble Co. ........................................................... 1,713,320
-----------
38,950,201
-----------
ENERGY - 3.81%
117,700 BP PLC, ADR..................................................................... 8,490,878
118,500 Chevron Corp. .................................................................. 9,982,440
102,400 ConocoPhillips.................................................................. 8,038,400
-----------
26,511,718
-----------
FINANCIALS - 11.31%
82,014 Allstate Corp. ................................................................. 5,044,681
239,996 Bank of America Corp. .......................................................... 11,733,404
286,005 Citigroup, Inc. ................................................................ 14,669,197
119,000 Federal Home Loan Mortgage Corp. ............................................... 7,223,300
190,054 JPMorgan Chase & Co. ........................................................... 9,208,116
72,000 Rayonier, Inc., REIT............................................................ 3,250,080
293,100 U.S. Bancorp.................................................................... 9,657,645
174,300 Wachovia Corp. ................................................................. 8,932,875
257,000 Wells Fargo & Co. .............................................................. 9,038,690
-----------
78,757,988
-----------
HEALTH CARE - 7.04%
88,800 Abbott Laboratories............................................................. 4,755,240
234,000 Bristol-Myers Squibb Co. ....................................................... 7,385,040
81,000 Eli Lilly & Co. ................................................................ 4,526,280
206,000 Johnson & Johnson............................................................... 12,693,720
138,700 Merck & Co., Inc. .............................................................. 6,907,260
500,019 Pfizer, Inc. ................................................................... 12,785,486
-----------
49,053,026
-----------
INDUSTRIALS - 6.03%
38,400 3M Co. ......................................................................... 3,332,736
48,000 Avery Dennison Corp. ........................................................... 3,191,040
67,000 Emerson Electric Co. ........................................................... 3,135,600
417,000 General Electric Co. ........................................................... 15,962,760
108,500 Masco Corp. (O)................................................................. 3,088,995
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INDUSTRIALS (CONTINUED)
65,000 Pitney Bowes, Inc. ............................................................. $ 3,043,300
70,000 United Parcel Service, Inc.,
Class B......................................................................... 5,110,000
132,000 Waste Management, Inc. ......................................................... 5,154,600
-----------
42,019,031
-----------
INFORMATION TECHNOLOGY - 0.65%
191,000 Intel Corp. .................................................................... 4,538,160
-----------
MATERIALS - 2.89%
69,500 Dow Chemical Co. (O)............................................................ 3,073,290
90,600 E.I. Du Pont de Nemours & Co. .................................................. 4,606,104
64,200 Rohm & Haas Co. (O)............................................................. 3,510,456
113,600 Weyerhaeuser Co. ............................................................... 8,966,448
-----------
20,156,298
-----------
TELECOMMUNICATION SERVICES - 3.19%
186,415 AT&T, Inc. ..................................................................... 7,736,223
276,000 Verizon Communications, Inc. ................................................... 11,362,920
209,200 Windstream Corp. (O)............................................................ 3,087,792
-----------
22,186,935
-----------
UTILITIES - 2.19%
35,400 Ameren Corp. ................................................................... 1,734,954
75,000 Consolidated Edison, Inc. (O)................................................... 3,384,000
14,000 Dominion Resources, Inc./VA..................................................... 1,208,340
164,000 Duke Energy Corp. .............................................................. 3,001,200
24,400 FirstEnergy Corp. .............................................................. 1,579,412
32,000 Progress Energy, Inc. (O)....................................................... 1,458,880
85,000 Southern Co. ................................................................... 2,914,650
-----------
15,281,436
-----------
TOTAL COMMON STOCKS
( Cost $269,072,230 )........................................................... 314,827,370
COMMON STOCK UNIT - 0.44%
- -------------------------------------------------------------------------------------------------------------
FINANCIALS - 0.44%
35,000 AllianceBernstein Holding L.P. (O).............................................. 3,048,150
-----------
TOTAL COMMON STOCK UNIT
( Cost $2,990,079 )............................................................. 3,048,150
<Caption>
Par Value
- ---------
ASSET BACKED - 1.36%
- -------------------------------------------------------------------------------------------------------------
$ 599,648 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................................ 598,088
</Table>
- --------------------------------------------------------------------------------
47
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
$ 970,846 Ameriquest Mortgage Securities, Inc.,
Series 2004-FR1, Class M2 (M)
5.207%, due 05/25/34............................................................ $ 937,491
1,975,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13............................................................ 1,974,551
1,450,836 CIT Group Home Equity Loan Trust,
Series 2002-2, Class BF (M)
6.830%, due 06/25/33............................................................ 1,196,314
1,120,000 GMAC Mortgage Corp. Loan Trust,
Series 2004-HE2, Class M1
3.950%, due 10/25/33............................................................ 1,103,458
892,425 Green Tree Financial Corp.,
Series 1998-2, Class A6
6.810%, due 12/01/27............................................................ 907,899
1,923,238 GSAMP Trust,
Series 2006-S5, Class M5 (M)
7.488%, due 09/25/36............................................................ --
1,025,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36............................................................ 898,637
318,554 Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI5
4.990%, due 03/25/31............................................................ 317,139
603,689 Soundview Home Equity Loan Trust,
Series 2005-B, Class M6 (M)
6.175%, due 05/25/35............................................................ 594,122
1,045,000 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
8.320%, due 05/25/34............................................................ 979,578
-----------
TOTAL ASSET BACKED
( Cost $11,805,467 )............................................................ 9,507,277
COMMERCIAL MORTGAGE BACKED - 4.56%
- -------------------------------------------------------------------------------------------------------------
816,552 Bear Stearns Commercial Mortgage Securities,
Series 2001-TOP4, Class A1
5.060%, due 11/15/16............................................................ 810,758
1,815,000 Bear Stearns Commercial Mortgage Securities,
Series 2003-T10, Class E (C)(G)
5.540%, due 03/13/40............................................................ 1,760,968
1,046,516 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A2
3.700%, due 02/13/46............................................................ 1,022,647
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
$1,325,000 Bear Stearns Commercial Mortgage Securities,
Series 2004-T16, Class A6 (G)
4.750%, due 02/13/46............................................................ $ 1,244,856
765,000 Bear Stearns Commercial Mortgage Securities,
Series 2005-T20, Class F (C)
5.155%, due 10/12/42............................................................ 714,680
3,091,610 GMAC Commercial Mortgage Securities Inc.,
Series 2000-C1, Class A2
7.724%, due 03/15/33............................................................ 3,224,738
2,100,000 Government National Mortgage Association,
Series 2004-43, Class C (G)
5.008%, due 12/16/25............................................................ 2,046,831
1,400,000 Greenwich Capital Commercial Funding Corp.,
Series 2004-GG1, Class A7 (G)
5.317%, due 06/10/36............................................................ 1,367,638
2,900,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C1, Class A2
3.624%, due 01/15/29............................................................ 2,808,731
1,600,000 LB-UBS Commercial Mortgage Trust,
Series 2004-C8, Class A6 (G)
4.799%, due 12/15/29............................................................ 1,511,865
2,600,000 Morgan Stanley Capital I,
Series 2004-HQ4, Class A7
4.970%, due 04/14/40............................................................ 2,479,104
2,710,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class ANM
5.310%, due 12/15/43............................................................ 2,656,435
2,500,000 Morgan Stanley Capital I,
Series 2004-T13, Class A3
4.390%, due 09/13/45............................................................ 2,373,808
2,690,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35............................................................ 2,464,894
775,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)
5.880%, due 11/28/35............................................................ 716,030
933,583 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A1
3.364%, due 08/15/35............................................................ 917,722
3,760,000 Wachovia Bank Commercial Mortgage Trust,
Series 2003-C8, Class A2
3.894%, due 11/15/35............................................................ 3,683,435
-----------
TOTAL COMMERCIAL MORTGAGE BACKED
( Cost $32,660,226 )............................................................ 31,805,140
</Table>
- --------------------------------------------------------------------------------
48
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
PRIVATE LABEL MORTGAGE BACKED - 1.31%
- -------------------------------------------------------------------------------------------------------------
$2,443,187 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36............................................................ $ 2,435,418
3,138,089 Banc of America Alternative Loan Trust,
Series 2006-3, Class 2CB1
6.000%, due 04/25/36............................................................ 3,121,784
3,538,615 Banc of America Alternative Loan Trust,
Series 2006-4, Class 5CB1
6.500%, due 05/25/46............................................................ 3,563,471
-----------
TOTAL PRIVATE LABEL MORTGAGE BACKED
( Cost $9,117,541 )............................................................. 9,120,673
CORPORATE NOTES AND BONDS - 15.58%
- -------------------------------------------------------------------------------------------------------------
BEVERAGE/FOOD - 0.28%
2,025,000 Kraft Foods, Inc.
6.500%, due 11/01/31............................................................ 1,957,642
-----------
CONSUMER DISCRETIONARY - 1.04%
2,000,000 American Association of Retired Persons (C)
7.500%, due 05/01/31............................................................ 2,366,508
1,500,000 Carnival Corp. (D)
3.750%, due 11/15/07............................................................ 1,491,054
1,850,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................................ 1,798,592
1,600,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16............................................................ 1,580,807
-----------
7,236,961
-----------
CONSUMER STAPLES - 0.34%
1,055,000 Diageo Capital PLC (D)
5.500%, due 09/30/16............................................................ 1,020,057
1,400,000 Safeway, Inc.
4.125%, due 11/01/08............................................................ 1,378,295
-----------
2,398,352
-----------
ENERGY - 0.85%
2,000,000 Chesapeake Energy Corp.
6.375%, due 06/15/15............................................................ 1,907,500
1,500,000 ConocoPhillips
6.650%, due 07/15/18............................................................ 1,595,226
1,150,000 Hess Corp.
7.875%, due 10/01/29............................................................ 1,296,250
1,030,000 Transocean, Inc.
7.500%, due 04/15/31............................................................ 1,138,984
-----------
5,937,960
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
FINANCE - 2.74%
$1,500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10............................................................ $ 1,460,103
1,115,000 American General Finance Corp. (O)
5.850%, due 06/01/13............................................................ 1,120,447
2,000,000 Bear Stearns Cos., Inc.
7.800%, due 08/15/07............................................................ 2,005,054
1,000,000 GE Insurance Solutions Corp.
7.000%, due 02/15/26............................................................ 1,066,999
785,000 GE Insurance Solutions Corp.
7.750%, due 06/15/30............................................................ 901,239
1,350,000 HSBC Finance Corp.
6.500%, due 11/15/08............................................................ 1,368,957
1,735,000 Lehman Brothers Holdings, Inc.
5.750%, due 01/03/17............................................................ 1,685,556
3,240,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11............................................................ 3,220,576
2,000,000 Residential Capital LLC
6.500%, due 04/17/13............................................................ 1,933,158
1,505,000 SLM Corp.
5.125%, due 08/27/12............................................................ 1,332,224
2,000,000 U.S. Bank NA/Cincinnati OH
6.300%, due 02/04/14............................................................ 2,067,766
935,000 Western Union Co.
5.930%, due 10/01/16............................................................ 912,215
-----------
19,074,294
-----------
FINANCIAL SERVICES - 0.37%
2,400,000 National Rural Utilities Cooperative Finance Corp.,
Series C
7.250%, due 03/01/12............................................................ 2,557,042
-----------
FOOD & DRUG RETAILERS - 0.23%
1,550,000 Medco Health Solutions, Inc.
7.250%, due 08/15/13............................................................ 1,630,974
-----------
HEALTH CARE - 1.57%
3,950,000 Amgen, Inc. (C)
5.850%, due 06/01/17............................................................ 3,888,613
1,200,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................................ 1,264,921
740,000 Genentech, Inc.
5.250%, due 07/15/35............................................................ 653,310
1,220,000 Merck & Co., Inc.
6.400%, due 03/01/28............................................................ 1,244,689
1,500,000 Quest Diagnostics, Inc.
5.450%, due 11/01/15............................................................ 1,412,694
</Table>
- --------------------------------------------------------------------------------
49
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
$1,400,000 WellPoint, Inc.
5.000%, due 12/15/14............................................................ $ 1,321,869
1,100,000 Wyeth
6.500%, due 02/01/34............................................................ 1,131,015
-----------
10,917,111
-----------
INDUSTRIALS - 1.92%
350,000 Boeing Co.
8.625%, due 11/15/31............................................................ 464,048
620,000 Boeing Co.
6.875%, due 10/15/43............................................................ 686,842
515,000 D.R. Horton, Inc.
5.250%, due 02/15/15............................................................ 460,848
1,600,000 DaimlerChrysler NA Holding Corp.
4.750%, due 01/15/08............................................................ 1,594,469
2,000,000 Deluxe Corp.,
Series B (O)
3.500%, due 10/01/07............................................................ 1,980,000
1,000,000 Ford Motor Credit Co. LLC
5.800%, due 01/12/09............................................................ 978,852
575,000 GMAC LLC (O)
6.125%, due 08/28/07............................................................ 575,392
1,450,000 GMAC LLC
7.250%, due 03/02/11............................................................ 1,445,245
1,760,000 Overseas Shipholding Group
8.250%, due 03/15/13............................................................ 1,804,000
1,150,000 Waste Management, Inc.
7.125%, due 12/15/17............................................................ 1,196,745
1,025,000 Westvaco Corp.
8.200%, due 01/15/30............................................................ 1,084,444
1,170,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10............................................................ 1,134,790
-----------
13,405,675
-----------
MEDIA - 0.86%
1,780,000 Comcast Cable Communication Holdings, Inc.
9.455%, due 11/15/22............................................................ 2,259,089
2,400,000 COX Enterprises, Inc. (C)
4.375%, due 05/01/08............................................................ 2,375,942
1,315,000 Rogers Cable, Inc. (D)
6.250%, due 06/15/13............................................................ 1,327,583
-----------
5,962,614
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
PIPELINE - 0.33%
$ 775,000 KN Energy, Inc. (O)
7.250%, due 03/01/28............................................................ $ 744,276
1,600,000 Panhandle Eastern Pipe Line
4.800%, due 08/15/08............................................................ 1,585,627
-----------
2,329,903
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.82%
2,685,000 Equity One, Inc.
3.875%, due 04/15/09............................................................ 2,600,898
2,400,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12............................................................ 2,567,050
530,000 Simon Property Group L.P.
5.875%, due 03/01/17............................................................ 527,063
-----------
5,695,011
-----------
TELECOMMUNICATIONS - 0.55%
1,600,000 CenturyTel, Inc.,
Series F
6.300%, due 01/15/08............................................................ 1,605,379
960,000 Cisco Systems, Inc.
5.500%, due 02/22/16............................................................ 936,776
1,325,000 Sprint Nextel Corp.
6.000%, due 12/01/16............................................................ 1,256,968
-----------
3,799,123
-----------
TRANSPORTATION - 0.51%
1,365,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20............................................................ 1,565,616
957,000 Norfolk Southern Corp.
5.590%, due 05/17/25............................................................ 870,363
1,050,000 Norfolk Southern Corp.
7.050%, due 05/01/37............................................................ 1,109,280
-----------
3,545,259
-----------
UTILITIES - 3.17%
1,250,000 Consumers Energy Co.
5.650%, due 04/15/20............................................................ 1,196,706
2,000,000 Energy East Corp.
8.050%, due 11/15/10............................................................ 2,139,818
1,300,000 Illinois Power Co.
7.500%, due 06/15/09............................................................ 1,325,922
1,555,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36............................................................ 1,480,696
4,000,000 Midamerican Energy Co.
5.650%, due 07/15/12............................................................ 4,003,380
1,600,000 Nevada Power Co.,
Series R
6.750%, due 07/01/37............................................................ 1,624,216
</Table>
- --------------------------------------------------------------------------------
50
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
UTILITIES (CONTINUED)
$1,460,000 New York State Electric & Gas Corp.
4.375%, due 11/15/07............................................................ $ 1,453,442
1,365,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34............................................................ 1,322,260
2,000,000 Progress Energy, Inc.
7.750%, due 03/01/31............................................................ 2,312,238
474,000 Sierra Pacific Power Co.,
Series M
6.000%, due 05/15/16............................................................ 464,883
1,500,000 Southern Power Co./GA,
Series B
6.250%, due 07/15/12............................................................ 1,533,624
835,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17............................................................ 803,039
2,400,000 Westar Energy, Inc.
6.000%, due 07/01/14............................................................ 2,410,157
-----------
22,070,381
-----------
TOTAL CORPORATE NOTES AND BONDS
( Cost $110,654,685 )........................................................... 108,518,302
MORTGAGE BACKED - 14.87%
- -------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 1.48%
103,271 8.000%, due 06/01/30
Pool # C01005................................................................... 108,849
432,372 6.500%, due 01/01/32
Pool # C62333................................................................... 441,140
107,875 6.500%, due 03/01/32
Pool # C65648................................................................... 109,866
4,487,111 5.000%, due 07/01/33
Pool # A11325................................................................... 4,228,032
489,654 6.000%, due 10/01/34
Pool # A28439................................................................... 486,815
425,250 6.000%, due 10/01/34
Pool # A28598................................................................... 422,784
346,717 5.000%, due 04/01/35
Pool # A32314................................................................... 325,849
672,349 5.000%, due 04/01/35
Pool # A32315................................................................... 631,882
531,922 5.000%, due 04/01/35
Pool # A32316................................................................... 499,907
279,704 5.000%, due 04/01/35
Pool # A32509................................................................... 262,870
2,974,935 5.000%, due 01/01/37
Pool # A56371................................................................... 2,790,924
-----------
10,308,918
-----------
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.36%
$1,683,766 4.000%, due 04/01/15
Pool # 255719................................................................... $ 1,606,414
1,845,145 5.500%, due 04/01/16
Pool # 745444................................................................... 1,823,543
470,604 6.000%, due 05/01/16
Pool # 582558................................................................... 473,410
2,822,616 5.000%, due 12/01/17
Pool # 672243................................................................... 2,737,867
2,592,796 4.500%, due 09/01/20
Pool # 835465................................................................... 2,461,427
505,953 6.000%, due 05/01/21
Pool # 253847................................................................... 508,094
89,413 7.000%, due 12/01/29
Pool # 762813................................................................... 92,583
250,627 7.000%, due 11/01/31
Pool # 607515................................................................... 259,761
2,896 7.000%, due 04/01/32
Pool # 641518................................................................... 2,999
251,310 7.000%, due 05/01/32
Pool # 644591................................................................... 260,469
1,508,375 6.500%, due 06/01/32
Pool # 545691................................................................... 1,535,090
1,388,834 6.500%, due 09/01/33
Pool # 737582................................................................... 1,411,200
1,890,611 5.500%, due 10/01/33
Pool # 254904................................................................... 1,831,798
6,899,797 5.500%, due 11/01/33
Pool # 555880................................................................... 6,685,158
5,087,656 5.000%, due 05/01/34
Pool # 780890................................................................... 4,787,138
41,518 7.000%, due 07/01/34
Pool # 792636................................................................... 42,817
774,517 5.500%, due 08/01/34
Pool # 793647................................................................... 749,876
3,556,719 5.500%, due 03/01/35
Pool # 815976................................................................... 3,439,105
1,622,991 5.500%, due 07/01/35
Pool # 825283................................................................... 1,569,322
1,053,215 5.500%, due 08/01/35
Pool # 826872................................................................... 1,018,387
1,657,781 5.000%, due 09/01/35
Pool # 820347................................................................... 1,557,559
1,748,832 5.000%, due 09/01/35
Pool # 835699................................................................... 1,643,105
2,292,643 5.000%, due 10/01/35
Pool # 797669................................................................... 2,154,041
</Table>
- --------------------------------------------------------------------------------
51
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$2,030,774 5.500%, due 10/01/35
Pool # 836912................................................................... $ 1,963,620
2,334,832 5.000%, due 12/01/35
Pool # 850561................................................................... 2,193,679
4,077,884 5.500%, due 12/01/35
Pool # 844583................................................................... 3,943,036
872,818 5.500%, due 02/01/36
Pool # 851330................................................................... 843,956
3,092,122 5.500%, due 09/01/36
Pool # 831820................................................................... 2,983,765
4,287,049 6.000%, due 09/01/36
Pool # 831741................................................................... 4,243,568
965,767 5.500%, due 10/01/36
Pool # 896340................................................................... 931,924
4,192,301 5.500%, due 10/01/36
Pool # 901723................................................................... 4,045,390
2,797,834 6.500%, due 10/01/36
Pool # 894118................................................................... 2,825,046
3,397,115 6.000%, due 11/01/36
Pool # 902510................................................................... 3,370,240
3,957,386 5.500%, due 12/01/36
Pool # 902853................................................................... 3,818,707
3,893,869 5.500%, due 12/01/36
Pool # 903059................................................................... 3,757,417
3,896,823 5.500%, due 12/01/36
Pool # 907512................................................................... 3,760,267
3,744,207 5.500%, due 12/01/36
Pool # 907635................................................................... 3,612,999
3,513,317 6.000%, due 12/01/36
Pool # 903002................................................................... 3,477,683
3,135,764 5.500%, due 01/01/37
Pool # 906268................................................................... 3,025,878
2,901,446 5.500%, due 05/01/37
Pool # 899323................................................................... 2,798,414
2,910,000 5.500%, due 07/01/37
Pool # 938197 (H)............................................................... 2,806,718
-----------
93,053,470
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.03%
234,398 6.500%, due 04/20/31
Pool # 003068................................................................... 239,448
-----------
TOTAL MORTGAGE BACKED
( Cost $106,251,579 )........................................................... 103,601,836
</Table>
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.58%
- -------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. - 0.47%
$3,400,000 4.500%, due 01/15/14 (O)........................................................ $ 3,240,479
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.50%
2,400,000 3.800%, due 01/18/08............................................................ 2,379,660
2,250,000 4.000%, due 09/02/08............................................................ 2,217,802
750,000 5.250%, due 08/01/12 (O)........................................................ 743,561
2,400,000 4.625%, due 10/15/14 (O)........................................................ 2,290,541
2,500,000 6.625%, due 11/15/30 (O)........................................................ 2,817,378
-----------
10,448,942
-----------
U.S. TREASURY BONDS - 1.78%
10,570,000 6.625%, due 02/15/27 (O)........................................................ 12,381,761
-----------
U.S. TREASURY NOTES - 7.83%
1,125,000 2.750%, due 08/15/07 (O)........................................................ 1,122,100
1,300,000 4.000%, due 08/31/07 (O)........................................................ 1,298,071
1,725,000 4.625%, due 02/29/08 (O)........................................................ 1,720,284
1,795,000 4.875%, due 04/30/08............................................................ 1,792,616
5,175,000 3.000%, due 02/15/09 (O)........................................................ 5,019,750
700,000 2.625%, due 03/15/09 (O)........................................................ 673,914
1,400,000 4.875%, due 05/31/09 (O)........................................................ 1,399,563
3,250,000 3.875%, due 05/15/10 (O)........................................................ 3,162,403
670,000 3.875%, due 09/15/10 (O)........................................................ 650,005
500,000 4.500%, due 11/15/10 (O)........................................................ 493,984
500,000 4.750%, due 03/31/11 (O)........................................................ 497,226
4,900,000 4.875%, due 04/30/11 (O)........................................................ 4,892,728
6,150,000 4.625%, due 12/31/11 (O)........................................................ 6,073,605
3,400,000 4.625%, due 02/29/12 (O)........................................................ 3,356,439
3,000,000 4.875%, due 06/30/12 (H)........................................................ 2,991,798
5,500,000 4.000%, due 11/15/12 (O)........................................................ 5,272,696
1,980,000 3.625%, due 05/15/13 (O)........................................................ 1,851,146
310,000 4.000%, due 02/15/14 (O)........................................................ 293,459
7,550,000 4.500%, due 02/15/16 (O)........................................................ 7,276,901
1,100,000 4.625%, due 02/15/17 (O)........................................................ 1,065,282
3,830,000 4.500%, due 05/15/17 (O)........................................................ 3,672,012
-----------
54,575,982
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
( Cost $81,592,451 )............................................................ 80,647,164
CERTIFICATE OF DEPOSIT - 0.99%
- -------------------------------------------------------------------------------------------------------------
6,881,450 State Street Eurodollar
2.800%, due 07/02/07............................................................ 6,881,450
-----------
TOTAL CERTIFICATE OF DEPOSIT
( Cost $6,881,450 )............................................................. 6,881,450
</Table>
- --------------------------------------------------------------------------------
52
See accompanying Notes to Financial Statements.
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Par Value Value (Note 2)
- --------- --------------
<Caption>
Shares
- ------
INVESTMENT COMPANIES - 4.50%
- -------------------------------------------------------------------------------------------------------------
1 Columbia Funds Series Trust -
Columbia Cash Reserves.......................................................... 1
1 J.P. Morgan Prime Money Market Fund............................................. 1
31,383,568 SSgA Prime Money Market Fund (N)................................................ 31,383,568
-----------
TOTAL INVESTMENT COMPANIES
( Cost $31,383,570 )............................................................ 31,383,570
COLLATERAL FOR SECURITIES ON LOAN - 11.55%
- -------------------------------------------------------------------------------------------------------------
80,427,551 State Street Navigator Securities
Lending Prime Portfolio (I)..................................................... 80,427,551
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $80,427,551 )............................................................ 80,427,551
TOTAL INVESTMENTS - 111.93%
- -------------------------------------------------------------------------------------------------------------
( Cost $742,836,829** )......................................................................... 779,768,484
NET OTHER ASSETS AND LIABILITIES - (11.93)%
- -------------------------------------------------------------------------------------------------------------
(83,128,161)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 696,640,323
- -------------------------------------------------------------------------------------------------------------
</Table>
** Aggregate cost for Federal tax purposes was
$743,487,868.
(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 0.78%
of total net assets.
(G) Floating rate or variable rate note. Rate shown
is as of June 30, 2007.
(H) Security purchased on a delayed delivery or
when-issued basis. Rate shown is at issue date.
(I) Represents investments of cash collateral
received in connection with securities lending.
(M) Stated interest rate is contingent upon sufficient
collateral market value. If collateral market value falls below a stated
level, the issuer will either initiate a clean-up call or increase the
stated interest rate.
(N) Security segregated for forward or when-issued
purchase commitments outstanding as of June 30, 2007.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
53
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.92%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 7.66%
105,400 CBS Corp.,
Class B......................................................................... $ 3,511,928
514,643 Comcast Corp.,
Class A *....................................................................... 14,471,747
300,600 Gap, Inc. ...................................................................... 5,741,460
257,100 Home Depot, Inc. ............................................................... 10,116,885
180,700 Lowe's Cos., Inc. (O)........................................................... 5,545,683
80,700 Macy's, Inc. ................................................................... 3,210,246
169,539 McDonald's Corp. ............................................................... 8,605,800
126,800 News Corp.,
Class A......................................................................... 2,689,428
182,400 Nike, Inc.,
Class B......................................................................... 10,632,096
51,900 Sears Holdings Corp. *.......................................................... 8,797,050
70,600 Tiffany & Co. .................................................................. 3,746,036
1,021,000 Time Warner, Inc. .............................................................. 21,481,840
205,600 Walt Disney Co. ................................................................ 7,019,184
-----------
105,569,383
-----------
CONSUMER STAPLES - 7.87%
274,500 Altria Group, Inc. ............................................................. 19,253,430
130,400 Archer-Daniels-Midland Co. ..................................................... 4,314,936
158,700 Coca-Cola Co. .................................................................. 8,301,597
100,900 Costco Wholesale Corp. ......................................................... 5,904,668
132,700 CVS Caremark Corp. ............................................................. 4,836,915
173,000 General Mills, Inc. ............................................................ 10,106,660
68,200 Kellogg Co. .................................................................... 3,532,078
45,300 Kimberly-Clark Corp. ........................................................... 3,030,117
317,557 Kraft Foods, Inc.,
Class A......................................................................... 11,193,884
393,900 Procter & Gamble Co. ........................................................... 24,102,741
288,900 Wal-Mart Stores, Inc. .......................................................... 13,898,979
-----------
108,476,005
-----------
ENERGY - 14.41%
76,600 Anadarko Petroleum Corp. ....................................................... 3,982,434
122,100 Apache Corp. ................................................................... 9,962,139
62,400 Cameron International Corp. *................................................... 4,459,728
438,846 Chevron Corp. .................................................................. 36,968,387
369,400 ConocoPhillips.................................................................. 28,997,900
155,500 Devon Energy Corp. ............................................................. 12,174,095
81,200 EOG Resources, Inc. ............................................................ 5,932,472
670,000 Exxon Mobil Corp. .............................................................. 56,199,600
217,000 Marathon Oil Corp. ............................................................. 13,011,320
255,400 Occidental Petroleum Corp. ..................................................... 14,782,552
105,650 Spectra Energy Corp. ........................................................... 2,742,674
45,200 Valero Energy Corp. ............................................................ 3,338,472
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
ENERGY (CONTINUED)
107,800 Williams Cos., Inc. ............................................................ $ 3,408,636
44,800 XTO Energy, Inc. ............................................................... 2,692,480
-----------
198,652,889
-----------
FINANCIALS - 30.59%
180,326 Allstate Corp. ................................................................. 11,091,852
438,400 American International Group, Inc. ............................................. 30,701,152
752,242 Bank of America Corp. .......................................................... 36,777,112
9,600 Bear Stearns Cos., Inc. ........................................................ 1,344,000
1,021,914 Citigroup, Inc. ................................................................ 52,413,969
55,100 Equity Residential, REIT........................................................ 2,514,213
189,500 Federal Home Loan Mortgage Corp. ............................................... 11,502,650
110,100 General Growth Properties, Inc., REIT........................................... 5,829,795
63,500 Goldman Sachs Group, Inc. ...................................................... 13,763,625
42,300 Hartford Financial Services Group, Inc. ........................................ 4,166,973
620,188 JPMorgan Chase & Co. ........................................................... 30,048,109
125,300 Keycorp......................................................................... 4,301,549
44,300 Legg Mason, Inc. ............................................................... 4,358,234
98,200 Lehman Brothers Holdings, Inc. ................................................. 7,317,864
39,300 Lincoln National Corp. ......................................................... 2,788,335
29,000 M&T Bank Corp. ................................................................. 3,100,100
110,200 Marshall & Ilsley Corp. (O)..................................................... 5,248,826
138,400 Mellon Financial Corp. ......................................................... 6,089,600
145,600 Merrill Lynch & Co., Inc. ...................................................... 12,169,248
150,900 MetLife, Inc. .................................................................. 9,730,032
201,900 Morgan Stanley (L).............................................................. 16,958,542
193,300 National City Corp. (O)......................................................... 6,440,756
51,100 Prologis, REIT.................................................................. 2,907,590
194,400 Prudential Financial, Inc. ..................................................... 18,901,512
133,723 Regions Financial Corp. ........................................................ 4,426,231
29,700 Simon Property Group, Inc., REIT................................................ 2,763,288
57,100 SL Green Realty Corp., REIT..................................................... 7,074,119
104,300 SunTrust Banks, Inc. ........................................................... 8,942,682
146,400 Travelers Cos., Inc. ........................................................... 7,832,400
416,500 U.S. Bancorp.................................................................... 13,723,675
261,900 Unum Group...................................................................... 6,838,209
78,400 Vornado Realty Trust, REIT...................................................... 8,611,456
383,600 Wachovia Corp. ................................................................. 19,659,500
88,000 Washington Mutual, Inc. (O)..................................................... 3,752,320
785,300 Wells Fargo & Co. .............................................................. 27,619,001
84,300 XL Capital, Ltd. ............................................................... 7,105,647
39,000 Zions Bancorporation............................................................ 2,999,490
-----------
421,813,656
-----------
</Table>
- --------------------------------------------------------------------------------
54
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
HEALTH CARE - 8.31%
168,100 Abbott Laboratories............................................................. $ 9,001,755
27,700 Aetna, Inc. .................................................................... 1,368,380
219,400 Boston Scientific Corp. *....................................................... 3,365,596
109,600 Bristol-Myers Squibb Co. ....................................................... 3,458,976
58,500 Cardinal Health, Inc. .......................................................... 4,132,440
52,400 Cigna Corp. .................................................................... 2,736,328
91,000 Eli Lilly & Co. ................................................................ 5,085,080
327,100 Johnson & Johnson............................................................... 20,155,902
72,300 LifePoint Hospitals, Inc. *..................................................... 2,796,564
19,700 Medco Health Solutions, Inc. *.................................................. 1,536,403
307,500 Merck & Co., Inc. .............................................................. 15,313,500
892,200 Pfizer, Inc. ................................................................... 22,813,554
40,100 Thermo Fisher Scientific, Inc. *................................................ 2,073,972
53,200 UnitedHealth Group, Inc. ....................................................... 2,720,648
62,500 WellPoint, Inc. *............................................................... 4,989,375
228,600 Wyeth........................................................................... 13,107,924
-----------
114,656,397
-----------
INDUSTRIALS - 9.76%
58,700 3M Co. ......................................................................... 5,094,573
47,500 CSX Corp. ...................................................................... 2,141,300
47,100 Deere & Co. .................................................................... 5,686,854
65,700 Eaton Corp. .................................................................... 6,110,100
85,800 Emerson Electric Co. ........................................................... 4,015,440
88,900 General Dynamics Corp. ......................................................... 6,953,758
1,577,700 General Electric Co. ........................................................... 60,394,356
62,400 Honeywell International, Inc. .................................................. 3,511,872
146,500 Masco Corp. .................................................................... 4,170,855
49,400 Norfolk Southern Corp. ......................................................... 2,596,958
75,600 Parker Hannifin Corp. .......................................................... 7,401,996
64,900 Raytheon Co. ................................................................... 3,497,461
353,900 Tyco International, Ltd. ....................................................... 11,958,281
23,800 Union Pacific Corp. ............................................................ 2,740,570
117,000 United Technologies Corp. ...................................................... 8,298,810
-----------
134,573,184
-----------
INFORMATION TECHNOLOGY - 4.18%
115,800 Adobe Systems, Inc. *........................................................... 4,649,370
85,400 Automatic Data Processing, Inc. ................................................ 4,139,338
92,000 Computer Sciences Corp. *....................................................... 5,441,800
232,400 EMC Corp./Massachusetts *....................................................... 4,206,440
76,135 Hewlett-Packard Co. ............................................................ 3,397,144
100,700 International Business Machines
Corp. (O)....................................................................... 10,598,675
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INFORMATION TECHNOLOGY (CONTINUED)
54,300 Lexmark International, Inc.,
Class A (O)*.................................................................... $ 2,677,533
122,300 Maxim Integrated Products, Inc. ................................................ 4,086,043
116,300 Microsoft Corp. ................................................................ 3,427,361
499,200 Motorola, Inc. ................................................................. 8,835,840
135,000 Symantec Corp. *................................................................ 2,727,000
183,000 Xerox Corp. *................................................................... 3,381,840
-----------
57,568,384
-----------
MATERIALS - 4.00%
92,500 Air Products & Chemicals, Inc. ................................................. 7,434,225
232,200 Alcoa, Inc. .................................................................... 9,411,066
170,200 Dow Chemical Co. ............................................................... 7,526,244
134,400 E.I. Du Pont de Nemours & Co. .................................................. 6,832,896
32,696 Freeport-McMoRan Copper & Gold, Inc. ........................................... 2,707,883
70,200 Nucor Corp. .................................................................... 4,117,230
103,800 PPG Industries, Inc. ........................................................... 7,900,218
117,500 Weyerhaeuser Co. ............................................................... 9,274,275
-----------
55,204,037
-----------
TELECOMMUNICATION SERVICES - 6.46%
62,500 Alltel Corp. ................................................................... 4,221,875
1,150,387 AT&T, Inc. ..................................................................... 47,741,060
382,400 Sprint Nextel Corp. ............................................................ 7,919,504
99,800 TELUS Corp. .................................................................... 5,880,216
409,935 Verizon Communications, Inc. ................................................... 16,877,024
439,763 Windstream Corp. (O)............................................................ 6,490,902
-----------
89,130,581
-----------
UTILITIES - 5.68%
67,700 Dominion Resources, Inc./VA..................................................... 5,843,187
308,700 Duke Energy Corp. .............................................................. 5,649,210
185,500 Edison International............................................................ 10,410,260
94,700 Entergy Corp. .................................................................. 10,166,045
81,700 Exelon Corp. ................................................................... 5,931,420
101,300 FirstEnergy Corp. .............................................................. 6,557,149
153,900 FPL Group, Inc. ................................................................ 8,732,286
142,100 Mirant Corp. *.................................................................. 6,060,565
234,800 PG&E Corp. ..................................................................... 10,636,440
48,100 Public Service Enterprise Group, Inc. .......................................... 4,222,218
120,200 Southern Co. ................................................................... 4,121,658
-----------
78,330,438
-----------
TOTAL COMMON STOCKS
( Cost $1,017,419,996 )......................................................... 1,363,974,954
-----------
</Table>
- --------------------------------------------------------------------------------
55
See accompanying Notes to Financial Statements.
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 1.44%
- -------------------------------------------------------------------------------------------------------------
1 Columbia Funds Series Trust - Columbia
Cash Reserves................................................................... $ 1
2 J.P. Morgan Prime Money Market Fund............................................. 2
19,875,352 SSgA Prime Money Market Fund.................................................... 19,875,352
-----------
TOTAL INVESTMENT COMPANIES
( Cost $19,875,355 )............................................................ 19,875,355
-----------
COLLATERAL FOR SECURITIES ON LOAN - 1.72%
- -------------------------------------------------------------------------------------------------------------
23,700,335 State Street Navigator Securities Lending
Prime Portfolio (I)............................................................. 23,700,335
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $23,700,335)............................................................. 23,700,335
TOTAL INVESTMENTS - 102.08%
- -------------------------------------------------------------------------------------------------------------
( Cost $1,060,995,686** )..................................................................... 1,407,550,644
NET OTHER ASSETS AND LIABILITIES - (2.08)%
- -------------------------------------------------------------------------------------------------------------
(28,735,481)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$1,378,815,163
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$1,061,150,962.
(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).
(O) All (or portion of security) on loan.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
56
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 99.51%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.45%
31,900 Bed Bath & Beyond, Inc. *....................................................... $ 1,148,081
20,900 Best Buy Co., Inc. ............................................................. 975,403
234,300 Cheesecake Factory (O)*......................................................... 5,745,036
46,200 Coach, Inc. *................................................................... 2,189,418
246,750 Comcast Corp.,
Class A *....................................................................... 6,938,610
38,700 Harley-Davidson, Inc. (O)....................................................... 2,306,907
61,700 Home Depot, Inc. ............................................................... 2,427,895
43,100 J Crew Group, Inc. (O)*......................................................... 2,331,279
29,800 Kohl's Corp. *.................................................................. 2,116,694
15,400 Las Vegas Sands Corp. (O)*...................................................... 1,176,406
126,300 Lowe's Cos., Inc. .............................................................. 3,876,147
105,300 News Corp.,
Class A......................................................................... 2,233,413
164,600 Nike, Inc.,
Class B......................................................................... 9,594,534
32,400 Omnicom Group, Inc. ............................................................ 1,714,608
89,200 Panera Bread Co.,
Class A (O)*.................................................................... 4,108,552
61,800 Starbucks Corp. *............................................................... 1,621,632
61,500 Target Corp. ................................................................... 3,911,400
34,800 Tiffany & Co. .................................................................. 1,846,488
64,800 Time Warner, Inc. .............................................................. 1,363,392
100,550 Viacom, Inc.,
Class B *....................................................................... 4,185,897
51,500 Walt Disney Co. ................................................................ 1,758,210
303,700 XM Satellite Radio Holdings, Inc.,
Class A (O)*.................................................................... 3,574,549
77,400 Yum! Brands, Inc. .............................................................. 2,532,528
-----------
69,677,079
-----------
CONSUMER STAPLES - 9.04%
132,800 Altria Group, Inc. ............................................................. 9,314,592
26,800 Anheuser-Busch Cos., Inc. ...................................................... 1,397,888
125,600 Coca-Cola Co. .................................................................. 6,570,136
60,800 Colgate-Palmolive Co. .......................................................... 3,942,880
76,400 Costco Wholesale Corp. ......................................................... 4,470,928
80,200 CVS Caremark Corp. ............................................................. 2,923,290
170,100 PepsiCo, Inc. .................................................................. 11,030,985
80,400 Procter & Gamble Co. ........................................................... 4,919,676
112,000 Walgreen Co. ................................................................... 4,876,480
226,000 Wal-Mart Stores, Inc. .......................................................... 10,872,860
-----------
60,319,715
-----------
ENERGY - 7.67%
29,500 Baker Hughes, Inc. ............................................................. 2,481,835
40,500 Cameron International Corp. (O)*................................................ 2,894,535
28,000 Denbury Resources, Inc. *....................................................... 1,050,000
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
ENERGY (CONTINUED)
8,800 Dresser-Rand Group, Inc. *...................................................... $ 347,600
17,000 ENSCO International, Inc. ...................................................... 1,037,170
34,800 EOG Resources, Inc. ............................................................ 2,542,488
100,600 Exxon Mobil Corp. .............................................................. 8,438,328
57,900 Halliburton Co. ................................................................ 1,997,550
66,400 Marathon Oil Corp. ............................................................. 3,981,344
33,600 Noble Corp. .................................................................... 3,276,672
27,400 Peabody Energy Corp. ........................................................... 1,325,612
15,700 Quicksilver Resources, Inc. (O)*................................................ 699,906
102,200 Schlumberger, Ltd. ............................................................. 8,680,868
25,000 Transocean, Inc. *.............................................................. 2,649,500
49,600 Valero Energy Corp. ............................................................ 3,663,456
30,700 Weatherford International, Ltd. *............................................... 1,695,868
72,733 XTO Energy, Inc. ............................................................... 4,371,253
-----------
51,133,985
-----------
FINANCIALS - 6.06%
113,300 American Express Co. ........................................................... 6,931,694
18,800 American International Group, Inc. ............................................. 1,316,564
10,600 BlackRock, Inc./New York (O).................................................... 1,659,854
24,400 Cbot Holdings, Inc.,
Class A (O)*.................................................................... 5,041,040
81,800 Charles Schwab Corp. ........................................................... 1,678,536
3,300 Chicago Mercantile Exchange
Holdings, Inc.,
Class A......................................................................... 1,763,388
62,500 Citigroup, Inc. ................................................................ 3,205,625
23,200 Goldman Sachs Group, Inc. ...................................................... 5,028,600
23,600 Janus Capital Group, Inc. ...................................................... 657,024
6,000 Jones Lang LaSalle, Inc. ....................................................... 681,000
23,400 Legg Mason, Inc. ............................................................... 2,302,092
112,500 Mellon Financial Corp. ......................................................... 4,950,000
15,200 Merrill Lynch & Co., Inc. ...................................................... 1,270,416
12,300 NYSE Euronext (O)............................................................... 905,526
17,700 Prologis, REIT.................................................................. 1,007,130
38,700 T Rowe Price Group, Inc. ....................................................... 2,008,143
-----------
40,406,632
-----------
HEALTH CARE - 19.81%
173,100 Abbott Laboratories............................................................. 9,269,505
44,900 Aetna, Inc. .................................................................... 2,218,060
75,800 Allergan, Inc. ................................................................. 4,369,112
138,626 Amgen, Inc. *................................................................... 7,664,632
56,700 Amylin Pharmaceuticals, Inc. (O)*............................................... 2,333,772
30,400 Baxter International, Inc. ..................................................... 1,712,736
179,900 Bristol-Myers Squibb Co. ....................................................... 5,677,644
</Table>
- --------------------------------------------------------------------------------
57
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
47,700 Cardinal Health, Inc. .......................................................... $ 3,369,528
47,000 Eli Lilly & Co. ................................................................ 2,626,360
20,200 Express Scripts, Inc. *......................................................... 1,010,202
164,200 Genentech, Inc. *............................................................... 12,423,372
61,000 Gen-Probe, Inc. *............................................................... 3,685,620
44,100 Genzyme Corp. *................................................................. 2,840,040
90,800 Gilead Sciences, Inc. *......................................................... 3,520,316
77,400 Hologic, Inc. (O)*.............................................................. 4,280,994
124,000 Johnson & Johnson............................................................... 7,640,880
68,100 Medco Health Solutions, Inc. *.................................................. 5,311,119
182,800 Medtronic, Inc. ................................................................ 9,480,008
145,500 Merck & Co., Inc. .............................................................. 7,245,900
67,900 PDL BioPharma, Inc. (O)*........................................................ 1,582,070
136,100 Schering-Plough Corp. .......................................................... 4,142,884
29,400 St. Jude Medical, Inc. *........................................................ 1,219,806
29,500 Stryker Corp. .................................................................. 1,861,155
42,329 Teva Pharmaceutical Industries,
Ltd., ADR....................................................................... 1,746,071
152,200 UnitedHealth Group, Inc. ....................................................... 7,783,508
88,000 VCA Antech, Inc. *.............................................................. 3,316,720
23,200 WellPoint, Inc. *............................................................... 1,852,056
93,873 Wyeth........................................................................... 5,382,678
77,000 Zimmer Holdings, Inc. *......................................................... 6,536,530
-----------
132,103,278
-----------
INDUSTRIALS - 10.10%
46,400 3M Co. ......................................................................... 4,027,056
68,500 Boeing Co. ..................................................................... 6,586,960
30,100 Burlington Northern Santa Fe Corp. ............................................. 2,562,714
94,400 C.H. Robinson Worldwide, Inc. .................................................. 4,957,888
64,400 Caterpillar, Inc. .............................................................. 5,042,520
45,600 Corporate Executive Board Co. (O)............................................... 2,959,896
22,900 Danaher Corp. .................................................................. 1,728,950
11,200 Deere & Co. .................................................................... 1,352,288
58,800 Emerson Electric Co. ........................................................... 2,751,840
23,900 Expeditors International Washington, Inc. ...................................... 987,070
73,200 FedEx Corp. .................................................................... 8,123,004
271,400 General Electric Co. ........................................................... 10,389,192
58,500 Honeywell International,
Inc. ........................................................................... 3,292,380
12,300 McDermott International, Inc. *................................................. 1,022,376
14,900 Monster Worldwide, Inc. *....................................................... 612,390
7,000 Parker Hannifin Corp. .......................................................... 685,370
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INDUSTRIALS (CONTINUED)
25,000 Raytheon Co. ................................................................... $ 1,347,250
53,200 Stericycle, Inc. (O)*........................................................... 2,365,272
8,100 Terex Corp. *................................................................... 658,530
62,700 United Technologies Corp. ...................................................... 4,447,311
15,900 WW Grainger Inc. ............................................................... 1,479,495
-----------
67,379,752
-----------
INFORMATION TECHNOLOGY - 31.21%
50,700 Accenture, Ltd. ................................................................ 2,174,523
142,900 Adobe Systems, Inc. *........................................................... 5,737,435
43,700 Agilent Technologies, Inc. *.................................................... 1,679,828
67,100 Apple, Inc. *................................................................... 8,188,884
48,200 Automatic Data Processing, Inc. ................................................ 2,336,254
44,800 Broadcom Corp.,
Class A *....................................................................... 1,310,400
835,300 Cisco Systems, Inc. *........................................................... 23,263,105
20,000 Citrix Systems, Inc. *.......................................................... 673,400
71,200 Corning, Inc. *................................................................. 1,819,160
170,800 Dell, Inc. *.................................................................... 4,876,340
147,400 eBay, Inc. *.................................................................... 4,743,332
40,100 Electronic Arts, Inc. *......................................................... 1,897,532
356,800 EMC Corp./Massachusetts *....................................................... 6,458,080
63,421 Fiserv, Inc. *.................................................................. 3,602,313
16,400 Global Payments, Inc. .......................................................... 650,260
46,000 Google, Inc.,
Class A *....................................................................... 24,075,480
192,000 Hewlett-Packard Co. ............................................................ 8,567,040
468,500 Intel Corp. .................................................................... 11,131,560
129,200 International Business Machines
Corp. (O)....................................................................... 13,598,300
72,600 Kla-Tencor Corp. (O)............................................................ 3,989,370
13,200 Lexmark International, Inc.,
Class A (O)*.................................................................... 650,892
131,900 Maxim Integrated Products, Inc. ................................................ 4,406,779
16,800 MEMC Electronic Materials, Inc. *............................................... 1,026,816
97,000 Micron Technology, Inc. *....................................................... 1,215,410
827,100 Microsoft Corp. ................................................................ 24,374,637
93,200 Motorola, Inc. ................................................................. 1,649,640
35,100 Network Appliance, Inc. *....................................................... 1,024,920
224,200 Nokia OYJ, ADR.................................................................. 6,302,262
551,800 Oracle Corp. *.................................................................. 10,875,978
250,500 Qualcomm, Inc. ................................................................. 10,869,195
53,900 SanDisk Corp. *................................................................. 2,637,866
20,300 Silicon Laboratories, Inc. (O)*................................................. 702,583
160,300 Texas Instruments, Inc. ........................................................ 6,032,089
85,200 Trimble Navigation, Ltd. *...................................................... 2,743,440
</Table>
- --------------------------------------------------------------------------------
58
See accompanying Notes to Financial Statements.
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
106,100 Yahoo!, Inc. *.................................................................. $ 2,878,493
-----------
208,163,596
-----------
MATERIALS - 2.51%
26,100 Freeport-McMoRan Copper & Gold,
Inc............................................................................. 2,161,602
145,600 Monsanto Co. ................................................................... 9,833,824
121,700 Nalco Holding Co. .............................................................. 3,340,665
36,300 Newmont Mining Corp. ........................................................... 1,417,878
-----------
16,753,969
-----------
TELECOMMUNICATION SERVICES - 2.03%
406,200 NeuStar, Inc.,
Class A (O)*.................................................................... 11,767,614
21,500 NII Holdings, Inc. *............................................................ 1,735,910
-----------
13,503,524
-----------
UTILITIES - 0.63%
24,300 Mirant Corp. *.................................................................. 1,036,395
40,700 Veolia Environment, ADR (O)..................................................... 3,191,287
-----------
4,227,682
-----------
TOTAL COMMON STOCKS
( Cost $569,166,811)............................................................ 663,669,212
INVESTMENT COMPANIES - 0.63%
- -------------------------------------------------------------------------------------------------------------
1 J.P. Morgan Prime Money Market Fund............................................. 1
4,197,590 SSgA Prime Money Market Fund.................................................... 4,197,590
-----------
TOTAL INVESTMENT COMPANIES
( Cost $4,197,591 )............................................................. 4,197,591
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COLLATERAL FOR SECURITIES ON LOAN - 8.06%
- -------------------------------------------------------------------------------------------------------------
53,765,117 State Street Navigator Securities
Lending Prime Portfolio (I)..................................................... $ 53,765,117
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $53,765,117 )............................................................ 53,765,117
TOTAL INVESTMENTS - 108.20%
- -------------------------------------------------------------------------------------------------------------
( Cost $627,129,519** )......................................................................... 721,631,920
NET OTHER ASSETS AND LIABILITIES - (8.20)%
- -------------------------------------------------------------------------------------------------------------
(54,687,161)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 666,944,759
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$628,203,724.
(I) Represents investments of cash collateral
received in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
59
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.13%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 13.65%
14,900 Autoliv, Inc. .................................................................. $ 845,575
6,800 Black & Decker Corp. (O)........................................................ 605,880
24,500 Cato Corp.,
Class A (O)..................................................................... 554,190
19,300 Centex Corp. (O)................................................................ 781,843
172,600 Ford Motor Co. (O).............................................................. 1,637,974
13,600 Fortune Brands, Inc. (O)........................................................ 1,121,184
37,250 Gannett Co., Inc. .............................................................. 2,052,103
134,000 Gap, Inc. ...................................................................... 2,563,420
27,800 Genuine Parts Co. .............................................................. 1,385,552
67,700 Goodyear Tire & Rubber Co. (O)*................................................. 2,290,291
12,500 Harrah's Entertainment, Inc. ................................................... 1,065,500
28,100 Hibbett Sports, Inc. (O)*....................................................... 757,014
22,600 J.C. Penney Co., Inc. .......................................................... 1,644,376
56,600 JOS A Bank Clothiers, Inc. (O)*................................................. 2,410,028
20,600 KB Home (O)..................................................................... 821,734
18,800 Liberty Media Corp. - Capital,
Series A *...................................................................... 2,189,824
39,700 Liberty Media Corp.-Interactive *............................................... 891,265
49,800 Limited Brands, Inc. (O)........................................................ 1,390,416
28,600 Matthews International Corp.,
Class A (O)..................................................................... 1,245,530
13,900 Modine Manufacturing Co. (O).................................................... 315,808
44,400 Nike, Inc.,
Class B......................................................................... 2,588,076
52,600 O'Reilly Automotive, Inc. (O)*.................................................. 1,928,316
32,200 Pulte Homes, Inc. .............................................................. 729,652
33,400 Rare Hospitality International,
Inc. (O)*....................................................................... 888,106
77,200 Saks, Inc. (O).................................................................. 1,655,168
13,300 Sears Holdings Corp. *.......................................................... 2,241,449
10,600 Sonic Corp. (O)*................................................................ 233,730
51,600 Stage Stores, Inc. (O).......................................................... 1,116,108
12,500 Standard-Pacific Corp. (O)...................................................... 227,125
11,000 Starwood Hotels & Resorts Worldwide,
Inc. ........................................................................... 750,200
18,700 Talbots, Inc. (O)............................................................... 416,262
21,900 Tempur-Pedic International, Inc. (O)............................................ 563,487
19,300 Tiffany & Co. .................................................................. 1,014,215
66,300 TJX Cos., Inc. ................................................................. 1,820,598
34,700 Valassis Communications, Inc. (O)*.............................................. 607,250
15,800 VF Corp. ....................................................................... 1,451,862
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
CONSUMER DISCRETIONARY (CONTINUED)
43,500 Virgin Media, Inc. (O).......................................................... $ 1,074,450
63,100 Warner Music Group Corp. (O).................................................... 912,426
1,900 Washington Post Co.,
Class B......................................................................... 1,473,241
33,700 Wyndam Worldwide Corp. *........................................................ 1,229,039
-----------
49,490,267
-----------
CONSUMER STAPLES - 6.61%
22,500 Altria Group, Inc. ............................................................. 1,573,200
16,900 Bunge, Ltd. .................................................................... 1,387,659
44,000 Casey's General Stores, Inc. ................................................... 1,218,800
54,100 ConAgra Foods, Inc. ............................................................ 1,460,700
106,100 Constellation Brands, Inc.,
Class A (O)*.................................................................... 2,650,378
41,700 Costco Wholesale Corp. (O)...................................................... 2,427,774
48,800 Dean Foods Co. ................................................................. 1,525,976
20,000 Herbalife, Ltd. ................................................................ 789,800
32,800 HJ Heinz Co. ................................................................... 1,554,392
31,100 Hormel Foods Corp. ............................................................. 1,164,695
27,500 Lance, Inc. (O)................................................................. 659,450
21,500 McCormick & Co., Inc./MD........................................................ 826,245
17,300 Molson Coors Brewing Co.,
Class B......................................................................... 1,576,376
70,000 Safeway, Inc. .................................................................. 2,383,500
31,869 SUPERVALU, Inc. ................................................................ 1,458,963
16,400 Universal Corp./Richmond, VA (O)................................................ 1,000,072
5,900 UST, Inc. (O)................................................................... 313,290
-----------
23,971,270
-----------
ENERGY - 6.61%
53,600 Chesapeake Energy Corp. (O)..................................................... 1,857,776
54,000 El Paso Corp. .................................................................. 919,080
49,800 Forest Oil Corp. *.............................................................. 2,111,520
53,900 Hess Corp. ..................................................................... 3,058,286
21,500 Murphy Oil Corp. ............................................................... 1,264,845
26,500 Nabors Industries, Ltd. *....................................................... 884,305
32,500 Newfield Exploration Co. *...................................................... 1,470,300
31,300 Noble Energy, Inc. ............................................................. 1,915,560
9,300 Overseas Shipholding Group (O).................................................. 756,927
17,400 Pioneer Natural Resources Co. .................................................. 845,118
19,500 Plains Exploration &
Production Co. *................................................................ 928,200
22,500 Rowan Cos., Inc. (O)............................................................ 902,025
20,600 Smith International, Inc. ...................................................... 1,200,568
70,800 Spectra Energy Corp. ........................................................... 1,827,348
23,400 St. Mary Land & Exploration Co. ................................................ 840,060
14,100 Sunoco, Inc. ................................................................... 1,117,002
</Table>
- --------------------------------------------------------------------------------
60
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
25,800 Whiting Petroleum Corp. (O)*.................................................... $ 1,046,190
31,700 Williams Cos., Inc. ............................................................ 1,004,573
-----------
23,949,683
-----------
FINANCIALS - 26.62%
48,300 Ameriprise Financial, Inc. ..................................................... 3,114,867
29,000 AON Corp. ...................................................................... 1,225,250
33,300 Archstone-Smith Trust, REIT..................................................... 1,968,030
43,500 Ares Capital Corp. (O).......................................................... 741,240
36,900 Asset Acceptance Capital Corp. (O).............................................. 660,141
41,576 Associated Banc-Corp. .......................................................... 1,360,782
59,700 Assured Guaranty, Ltd. ......................................................... 1,786,821
25,700 Bank of America Corp. .......................................................... 1,261,613
8,800 BlackRock, Inc./New York (O).................................................... 1,397,440
30,200 Boston Properties, Inc., REIT................................................... 3,089,762
27,500 Capital One Financial Corp. .................................................... 2,190,925
27,700 Cincinnati Financial Corp. ..................................................... 1,213,814
68,500 CIT Group, Inc. ................................................................ 3,801,750
40,200 Colonial BancGroup, Inc. ....................................................... 1,007,010
12,600 Cousins Properties, Inc., REIT.................................................. 367,038
16,600 Credit Acceptance Corp. (O)*.................................................... 450,192
12,250 Delphi Financial Group, Inc.,
Class A......................................................................... 516,215
25,300 Equity Inns, Inc., REIT (O)..................................................... 565,455
19,400 Equity Residential, REIT........................................................ 884,834
23,200 Everest Re Group, Ltd. ......................................................... 2,506,528
31,000 Federated Investors, Inc.,
Class B......................................................................... 1,208,070
21,800 Financial Federal Corp. (O)..................................................... 650,294
10,900 First Midwest Bancorp, Inc./ IL (O)............................................. 389,348
25,600 General Growth Properties,
Inc., REIT...................................................................... 1,356,800
51,900 Genworth Financial, Inc. ....................................................... 1,815,462
26,500 Hartford Financial Services
Group, Inc. .................................................................... 2,610,515
15,200 IndyMac Bancorp, Inc. (O)....................................................... 458,432
28,000 Innkeepers USA Trust, REIT...................................................... 496,440
21,450 International Bancshares Corp. (O).............................................. 557,056
9,800 IPC Holdings, Ltd. ............................................................. 318,794
67,900 iStar Financial, Inc., REIT..................................................... 3,061,611
32,800 JPMorgan Chase & Co. ........................................................... 1,605,888
79,100 Keycorp......................................................................... 2,763,754
54,300 Kimco Realty Corp., REIT........................................................ 2,069,916
29,600 Legg Mason, Inc. ............................................................... 2,971,840
26,500 Lincoln National Corp. ......................................................... 1,882,560
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
11,600 M&T Bank Corp. ................................................................. $ 1,256,628
18,800 Maguire Properties, Inc., REIT.................................................. 648,600
63,800 Marshall & Ilsley Corp. ........................................................ 3,068,780
13,600 MB Financial, Inc. (O).......................................................... 478,992
19,000 MBIA, Inc. (O).................................................................. 1,205,930
49,500 Mellon Financial Corp. (O)...................................................... 2,199,780
16,700 Merrill Lynch & Co., Inc. ...................................................... 1,436,534
33,400 NewAlliance Bancshares, Inc. (O)................................................ 496,324
27,700 PartnerRe, Ltd. ................................................................ 2,144,257
21,900 Platinum Underwriters Holdings, Ltd.
(Bermuda)....................................................................... 773,070
26,300 Principal Financial Group, Inc. ................................................ 1,536,183
13,700 Prologis, REIT.................................................................. 790,079
6,500 PS Business Parks, Inc., REIT................................................... 406,900
15,400 Public Storage, REIT............................................................ 1,203,048
40,800 RAIT Investment Trust, REIT (O)................................................. 1,091,400
27,000 Rayonier, Inc., REIT............................................................ 1,222,830
37,200 Realty Income Corp., REIT....................................................... 943,020
22,000 Reinsurance Group of America,
Inc. (O)........................................................................ 1,331,660
30,200 RenaissanceRe Holdings, Ltd. ................................................... 1,858,810
20,900 Safeco Corp. ................................................................... 1,306,250
12,800 Simon Property Group, Inc., REIT................................................ 1,208,448
9,600 SL Green Realty Corp., REIT..................................................... 1,191,168
47,600 TCF Financial Corp. (O)......................................................... 1,321,852
15,700 Torchmark Corp. ................................................................ 1,056,610
33,900 Universal American Financial
Corp. (O)*...................................................................... 743,088
87,500 Unum Group...................................................................... 2,297,750
41,200 U-Store-It Trust, REIT (O)...................................................... 679,800
14,600 Ventas, Inc., REIT.............................................................. 526,476
31,500 Vornado Realty Trust, REIT...................................................... 3,467,835
13,300 Webster Financial Corp. ........................................................ 570,703
9,400 Westamerica Bancorporation (O).................................................. 427,700
18,500 XL Capital, Ltd. ............................................................... 1,554,000
22,400 Zions Bancorporation............................................................ 1,746,080
-----------
96,517,072
-----------
HEALTH CARE - 4.18%
22,900 Abbott Laboratories............................................................. 1,230,188
37,800 Amsurg Corp. (O)*............................................................... 925,344
31,300 Applera Corp. - Applied Biosystems
Group........................................................................... 951,833
6,200 Bausch & Lomb, Inc. (O)......................................................... 427,552
21,500 Cardinal Health, Inc. .......................................................... 1,518,760
</Table>
- --------------------------------------------------------------------------------
61
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)
31,400 Centene Corp. (O)*.............................................................. $ 686,718
31,300 Charles River Laboratories
International, Inc. (O)*........................................................ 1,611,950
12,300 Dentsply International, Inc. ................................................... 470,844
38,100 IMS Health, Inc. ............................................................... 1,222,629
8,300 Invitrogen Corp. *.............................................................. 611,876
50,200 King Pharmaceuticals, Inc. *.................................................... 1,029,100
40,400 LifePoint Hospitals, Inc. *..................................................... 1,565,096
13,600 Medco Health Solutions, Inc. *.................................................. 1,058,352
28,300 Omnicare, Inc. (O).............................................................. 1,029,837
1,400 Orthofix International N.V. *................................................... 64,484
13,400 Varian, Inc. *.................................................................. 743,700
-----------
15,148,263
-----------
INDUSTRIALS - 12.23%
38,700 ACCO Brands Corp. (O)*.......................................................... 928,413
14,600 Acuity Brands, Inc. ............................................................ 891,330
61,100 Airtran Holdings, Inc. (O)*..................................................... 665,990
19,300 Albany International Corp.,
Class A (O)..................................................................... 786,861
11,200 Avery Dennison Corp. ........................................................... 741,104
20,025 Belden, Inc. (O)................................................................ 1,124,204
45,700 Carlisle Cos., Inc. ............................................................ 2,130,077
27,100 CSX Corp. ...................................................................... 1,217,332
20,500 Dover Corp. .................................................................... 1,045,500
26,100 Eaton Corp. .................................................................... 2,416,338
5,900 Esco Technologies, Inc. *....................................................... 215,340
10,700 Flowserve Corp. ................................................................ 760,770
12,300 GATX Corp. (O).................................................................. 613,401
22,187 Genesee & Wyoming, Inc.,
Class A (O)*.................................................................... 663,391
22,200 Graco, Inc. .................................................................... 887,556
60,600 Ingersoll-Rand Co., Ltd.,
Class A......................................................................... 3,318,456
19,900 ITT Corp. ...................................................................... 1,351,210
39,100 KBR, Inc. *..................................................................... 1,026,766
27,700 L-3 Communications Holdings, Inc. .............................................. 2,678,867
26,800 Masco Corp. (O)................................................................. 750,400
33,900 Mueller Industries, Inc. ....................................................... 1,173,618
29,500 Norfolk Southern Corp. ......................................................... 1,570,580
35,200 Parker Hannifin Corp. .......................................................... 3,439,744
23,000 Pitney Bowes, Inc. ............................................................. 1,069,730
24,900 Republic Services, Inc. ........................................................ 756,960
41,900 RR Donnelley & Sons Co. ........................................................ 1,815,946
22,000 Simpson Manufacturing Co., Inc. (O)............................................. 737,000
91,600 Southwest Airlines Co. (O)...................................................... 1,367,588
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INDUSTRIALS (CONTINUED)
59,800 Spirit Aerosystems Holdings, Inc.,
Class A *....................................................................... $ 2,124,096
51,500 Timken Co. ..................................................................... 1,848,335
13,200 United Stationers, Inc. *....................................................... 885,852
19,300 USG Corp. (O)*.................................................................. 938,945
25,700 WW Grainger Inc. ............................................................... 2,388,301
-----------
44,340,001
-----------
INFORMATION TECHNOLOGY - 8.47%
23,000 Advanced Micro Devices, Inc. (O)*............................................... 333,270
10,600 Affiliated Computer Services, Inc.,
Class A *....................................................................... 606,214
36,600 Altera Corp. ................................................................... 811,056
57,900 Arrow Electronics, Inc. *....................................................... 2,251,731
64,700 Avaya, Inc. *................................................................... 1,092,136
47,300 CA, Inc. ....................................................................... 1,213,718
31,900 Citrix Systems, Inc. *.......................................................... 1,084,281
33,200 Computer Sciences Corp. *....................................................... 1,968,760
50,100 Convergys Corp. *............................................................... 1,224,444
12,000 Diebold, Inc. (O)............................................................... 630,240
44,200 Electronic Data Systems Corp. .................................................. 1,222,572
24,800 Electronics for Imaging *....................................................... 708,536
29,300 Intersil Corp.,
Class A......................................................................... 935,842
36,400 Juniper Networks, Inc. *........................................................ 922,012
16,900 Lexmark International, Inc.,
Class A *....................................................................... 849,225
114,300 LSI Corp. *..................................................................... 874,395
19,400 Maxim Integrated Products, Inc. ................................................ 657,660
19,100 MAXIMUS, Inc. .................................................................. 835,816
106,700 Micron Technology, Inc. (O)*.................................................... 1,324,147
44,100 Molex, Inc. (O)................................................................. 1,331,820
49,500 NAM TAI Electronics, Inc. ...................................................... 603,405
29,600 NCR Corp. *..................................................................... 1,535,056
59,900 Novellus Systems, Inc. (O)*..................................................... 1,730,511
22,300 SanDisk Corp. *................................................................. 1,084,672
121,400 Tellabs, Inc. *................................................................. 1,307,478
161,000 Xerox Corp. *................................................................... 2,984,940
27,100 Xyratex, Ltd. *................................................................. 598,368
-----------
30,722,305
-----------
MATERIALS - 5.34%
26,000 Air Products & Chemicals, Inc. ................................................. 2,079,480
26,500 Allegheny Technologies, Inc. ................................................... 2,791,775
12,500 Aptargroup, Inc. ............................................................... 451,500
17,800 Bemis Co., Inc. ................................................................ 583,306
22,300 Celanese Corp. ................................................................. 863,010
</Table>
- --------------------------------------------------------------------------------
62
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
MATERIALS (CONTINUED)
13,900 Compass Minerals International,
Inc. (O)........................................................................ $ 483,442
5,300 Deltic Timber Corp. (O)......................................................... 295,104
21,500 E.I. Du Pont de Nemours & Co. .................................................. 1,094,995
24,000 Freeport-McMoRan Copper &
Gold, Inc. ..................................................................... 1,975,680
20,200 Lyondell Chemical Co. .......................................................... 745,784
13,100 MeadWestvaco Corp. ............................................................. 453,784
42,300 PPG Industries, Inc. ........................................................... 3,153,042
34,300 Rohm & Haas Co. ................................................................ 1,843,968
7,300 Temple-Inland, Inc. ............................................................ 444,570
19,400 United States Steel Corp. ...................................................... 2,108,780
-----------
19,368,220
-----------
TELECOMMUNICATION SERVICES - 2.19%
66,800 Citizens Communications Co. .................................................... 1,030,056
82,800 NeuStar, Inc.,
Class A (O)*.................................................................... 2,334,132
25,900 NII Holdings, Inc. *............................................................ 2,121,728
124,800 Qwest Communications International,
Inc. (O)*....................................................................... 1,214,304
82,800 Windstream Corp. (O)............................................................ 1,225,440
-----------
7,925,660
-----------
UTILITIES - 11.23%
19,700 Alliant Energy Corp. ........................................................... 764,163
30,900 Ameren Corp. ................................................................... 1,505,139
81,900 American Electric Power Co., Inc. .............................................. 3,648,645
14,800 Atmos Energy Corp. ............................................................. 443,260
72,600 CMS Energy Corp. ............................................................... 1,240,734
35,500 Consolidated Edison, Inc. (O)................................................... 1,606,730
8,800 Constellation Energy Group, Inc. ............................................... 763,488
34,700 DTE Energy Co. ................................................................. 1,673,234
73,500 Edison International............................................................ 4,103,505
14,300 Entergy Corp. .................................................................. 1,525,095
41,500 Mirant Corp. *.................................................................. 1,766,655
20,600 National Fuel Gas Co (O)........................................................ 883,946
9,800 New Jersey Resources Corp. (O).................................................. 501,662
35,900 NRG Energy, Inc. (O)*........................................................... 1,492,722
51,700 NSTAR (O)....................................................................... 1,680,767
21,500 Oneok, Inc. (O)................................................................. 1,073,495
94,700 PG&E Corp. ..................................................................... 4,280,440
29,750 PNM Resources, Inc. ............................................................ 827,942
46,400 PPL Corp. ...................................................................... 2,159,456
44,900 Progress Energy, Inc. .......................................................... 2,042,052
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
UTILITIES (CONTINUED)
19,700 Questar Corp. .................................................................. $ 1,032,674
39,800 Sempra Energy................................................................... 2,345,414
26,200 UGI Corp. ...................................................................... 704,518
29,400 Westar Energy, Inc. (O)......................................................... 722,064
13,400 WGL Holdings, Inc. (O).......................................................... 441,664
72,000 Xcel Energy, Inc. (O)........................................................... 1,477,440
-----------
40,706,904
-----------
TOTAL COMMON STOCKS
( Cost $296,320,668 )........................................................... 352,129,645
INVESTMENT COMPANIES - 2.89%
- -------------------------------------------------------------------------------------------------------------
39,400 Consumer Discretionary Select Sector
SPDR Fund ETF (O)............................................................... 1,547,632
6,700 iShares Russell Midcap Value Index
Fund ETF........................................................................ 1,056,456
14,900 Market Vectors Gold Miners ETF.................................................. 560,687
24,300 Materials Select Sector
SPDR Fund ETF (O)............................................................... 977,346
43,200 Powershares QQQ ETF (O)......................................................... 2,052,432
15,300 SPDR S&P Metals & Mining ETF.................................................... 951,201
3,344,125 SSgA Prime Money Market Fund.................................................... 3,344,125
-----------
TOTAL INVESTMENT COMPANIES
( Cost $10,393,641 )............................................................ 10,489,879
COLLATERAL FOR SECURITIES ON LOAN - 21.63%
- -------------------------------------------------------------------------------------------------------------
78,420,250 State Street Navigator Securities Lending
Prime Portfolio (I)............................................................. 78,420,250
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $78,420,250 )............................................................ 78,420,250
TOTAL INVESTMENTS - 121.65%
- -------------------------------------------------------------------------------------------------------------
( Cost $385,134,559** )......................................................................... 441,039,774
NET OTHER ASSETS AND LIABILITIES - (21.65)%
- -------------------------------------------------------------------------------------------------------------
(78,507,158)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 362,532,616
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$385,349,956.
- --------------------------------------------------------------------------------
63
See accompanying Notes to Financial Statements.
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ETF Exchange Traded Fund.
REITReal Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
64
See accompanying Notes to Financial Statements.
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.46%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 17.34%
20,400 American Eagle Outfitters, Inc. ................................................ $ 523,464
300,600 Carter's, Inc. (O)*............................................................. 7,797,564
95,500 Chico's FAS, Inc. (O)*.......................................................... 2,324,470
102,700 Coldwater Creek, Inc. (O)*...................................................... 2,385,721
229,700 DreamWorks Animation SKG, Inc.,
Class A (O)*.................................................................... 6,624,548
164,900 Gildan Activewear, Inc. (O)*.................................................... 5,654,421
157,200 H&R Block, Inc. ................................................................ 3,673,764
129,200 JOS A Bank Clothiers, Inc. (O)*................................................. 5,357,924
177,700 O'Reilly Automotive, Inc. (O)*.................................................. 6,494,935
165,000 Priceline.com, Inc. *........................................................... 11,342,100
147,400 Rare Hospitality International, Inc. (O)*....................................... 3,945,898
144,600 Steiner Leisure, Ltd. *......................................................... 7,102,752
93,900 Tween Brands, Inc. (O)*......................................................... 4,187,940
87,500 Zumiez, Inc. (O)*............................................................... 3,305,750
-----------
70,721,251
-----------
ENERGY - 10.53%
84,200 Atwood Oceanics, Inc.(O)*....................................................... 5,777,804
292,000 Complete Production Services, Inc. (O)*......................................... 7,548,200
88,400 Hercules Offshore, Inc. (O)*.................................................... 2,862,392
84,900 Noble Corp. .................................................................... 8,279,448
59,500 Noble Energy, Inc. ............................................................. 3,712,205
104,000 Pride International, Inc. (O)*.................................................. 3,895,840
90,000 St. Mary Land & Exploration Co. ................................................ 3,295,800
51,900 Sunoco, Inc. (O)................................................................ 4,135,392
72,600 Todco *......................................................................... 3,427,446
-----------
42,934,527
-----------
FINANCIALS - 11.98%
79,700 Affiliated Managers Group, Inc. (O)*............................................ 10,262,172
222,800 E*Trade Financial Corp. *....................................................... 4,921,652
102,900 Endurance Specialty Holdings, Ltd. ............................................. 4,120,116
38,200 IntercontinentalExchange, Inc. (O)*............................................. 5,647,870
178,700 Invesco PLC, ADR (O)............................................................ 4,619,395
121,440 Nuveen Investments, Inc.,
Class A (O)..................................................................... 7,547,496
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
115,300 optionsXpress Holdings, Inc. (O)................................................ $ 2,958,598
269,100 WR Berkley Corp. ............................................................... 8,756,514
-----------
48,833,813
-----------
HEALTH CARE - 16.41%
105,599 Amedisys, Inc. (O)*............................................................. 3,836,412
143,100 Angiodynamics, Inc. (O)*........................................................ 2,577,231
118,600 Barr Pharmaceuticals, Inc. *.................................................... 5,957,278
46,900 Beckman Coulter, Inc. .......................................................... 3,033,492
91,100 Cephalon, Inc. (O)*............................................................. 7,323,529
108,400 Coventry Health Care, Inc. (O)*................................................. 6,249,260
192,200 Health Net, Inc. *.............................................................. 10,148,160
78,200 Hologic, Inc. (O)*.............................................................. 4,325,242
183,000 Hospira, Inc. *................................................................. 7,144,320
84,600 Invitrogen Corp. (O)*........................................................... 6,239,250
96,200 Psychiatric Solutions, Inc. (O)*................................................ 3,488,212
111,000 Waters Corp. *.................................................................. 6,588,960
-----------
66,911,346
-----------
INDUSTRIALS - 19.88%
27,800 Carlisle Cos., Inc. ............................................................ 1,292,978
204,900 Graco, Inc. (O)................................................................. 8,253,372
233,000 Herman Miller, Inc. ............................................................ 7,362,800
191,500 HUB Group, Inc.,
Class A *....................................................................... 6,733,140
93,800 Joy Global, Inc. (O)............................................................ 5,471,354
99,500 Manpower, Inc. ................................................................. 9,177,880
142,800 Oshkosh Truck Corp. ............................................................ 8,984,976
67,100 Precision Castparts Corp. ...................................................... 8,143,256
93,220 Resources Connection, Inc. *.................................................... 3,093,039
160,700 Robert Half International, Inc. ................................................ 5,865,550
92,000 Terex Corp. *................................................................... 7,479,600
120,600 Thomas & Betts Corp. *.......................................................... 6,994,800
33,500 Triumph Group, Inc. (O)......................................................... 2,193,245
-----------
81,045,990
-----------
INFORMATION TECHNOLOGY - 22.32%
131,400 Akamai Technologies, Inc. (O)*.................................................. 6,391,296
90,600 Alliance Data Systems Corp. *................................................... 7,001,568
292,300 Amphenol Corp.,
Class A......................................................................... 10,420,495
119,870 Autodesk, Inc. (O)*............................................................. 5,643,480
280,600 Benchmark Electronics, Inc. (O)*................................................ 6,347,172
</Table>
- --------------------------------------------------------------------------------
65
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)
41,000 Cognizant Technology Solutions Corp.,
Class A *....................................................................... $ 3,078,690
66,300 DST Systems, Inc. (O)*.......................................................... 5,251,623
160,200 Flir Systems, Inc. (O)*......................................................... 7,409,250
298,640 Foundry Networks, Inc. *........................................................ 4,975,342
200,400 Lam Research Corp. *............................................................ 10,300,560
44,800 MEMC Electronic Materials, Inc. *............................................... 2,738,176
287,700 Perot Systems Corp.,
Class A (O)*.................................................................... 4,902,408
130,900 Polycom, Inc. *................................................................. 4,398,240
416,700 QLogic Corp. *.................................................................. 6,938,055
130,550 Varian Semiconductor Equipment
Associates, Inc. (O)*........................................................... 5,229,833
-----------
91,026,188
-----------
TOTAL COMMON STOCKS
( Cost $339,693,192 )........................................................... 401,473,115
INVESTMENT COMPANY - 1.98%
- -------------------------------------------------------------------------------------------------------------
8,082,550 SSgA Prime Money Market Fund.................................................... 8,082,550
-----------
TOTAL INVESTMENT COMPANY
( Cost $8,082,550 )............................................................. 8,082,550
COLLATERAL FOR SECURITIES ON LOAN - 25.67%
- -------------------------------------------------------------------------------------------------------------
104,644,310 State Street Navigator Securities Lending
Prime Portfolio (I)............................................................. 104,644,310
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $104,644,310 )........................................................... 104,644,310
TOTAL INVESTMENTS - 126.11%
- -------------------------------------------------------------------------------------------------------------
( Cost $452,420,052** )......................................................................... 514,199,975
NET OTHER ASSETS AND LIABILITIES - (26.11)%
- -------------------------------------------------------------------------------------------------------------
(106,460,809)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 407,739,166
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$455,670,791.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
66
See accompanying Notes to Financial Statements.
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.35%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 17.17%
1,500 Catalina Marketing Corp. ....................................................... $ 47,250
3,200 Cato Corp.,
Class A......................................................................... 70,208
900 CEC Entertainment, Inc. *....................................................... 31,680
2,700 Helen of Troy, Ltd. *........................................................... 72,900
2,400 Hibbett Sports, Inc. *.......................................................... 65,712
2,700 Matthews International Corp.,
Class A......................................................................... 117,747
1,000 Modine Manufacturing Co. ....................................................... 22,600
2,900 Rare Hospitality International, Inc. *.......................................... 77,633
1,300 Sonic Corp. *................................................................... 28,756
5,300 Stage Stores, Inc. ............................................................. 111,088
2,000 Talbots, Inc. .................................................................. 50,060
2,100 Tempur-Pedic International, Inc. ............................................... 54,390
1,900 Unifirst Corp................................................................... 83,695
3,200 Valassis Communications, Inc. *................................................. 55,008
-----------
888,727
-----------
CONSUMER STAPLES - 6.05%
4,000 Casey's General Stores, Inc. ................................................... 109,040
1,300 Herbalife, Ltd. ................................................................ 51,545
2,600 Lance, Inc. .................................................................... 61,256
1,500 Universal Corp. ................................................................ 91,380
-----------
313,221
-----------
ENERGY - 3.98%
2,600 Penn Virginia Corp. ............................................................ 104,520
2,500 Whiting Petroleum Corp. *....................................................... 101,300
-----------
205,820
-----------
FINANCIALS - 28.72%
1,300 Acadia Realty Trust, REIT....................................................... 33,735
1,300 American Campus Communities, Inc.,
REIT............................................................................ 36,777
4,100 Ares Capital Corp. ............................................................. 69,085
4,700 Asset Acceptance Capital Corp. *................................................ 83,190
5,600 Assured Guaranty, Ltd. ......................................................... 165,536
1,400 Asta Funding, Inc. ............................................................. 53,802
1,300 Cousins Properties, Inc., REIT.................................................. 37,713
1,200 Credit Acceptance Corp. *....................................................... 32,196
1,800 Delphi Financial Group, Inc.,
Class A......................................................................... 75,276
2,600 Equity Inns, Inc., REIT......................................................... 58,240
1,900 Financial Federal Corp. ........................................................ 56,658
1,100 First Midwest Bancorp, Inc. .................................................... 39,061
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FINANCIALS (CONTINUED)
3,000 Innkeepers USA Trust, REIT...................................................... $ 53,190
2,090 International Bancshares Corp. ................................................. 53,546
1,000 IPC Holdings, Ltd. ............................................................. 32,290
1,500 Maguire Properties, Inc., REIT.................................................. 51,495
1,300 MB Financial, Inc. ............................................................. 45,162
2,600 NewAlliance Bancshares, Inc. ................................................... 38,272
600 Pennsylvania Real Estate Investment
Trust, REIT..................................................................... 26,598
2,000 Platinum Underwriters Holdings, Ltd.
(Bermuda)....................................................................... 69,500
500 PS Business Parks, Inc., REIT................................................... 31,685
3,500 RAIT Investment Trust, REIT..................................................... 91,070
3,300 Realty Income Corp., REIT....................................................... 83,127
3,000 Universal American Financial Corp. *............................................ 63,840
4,300 U-Store-It Trust, REIT.......................................................... 70,477
800 Westamerica Bancorporation...................................................... 35,392
-----------
1,486,913
-----------
HEALTH CARE - 4.43%
3,900 Amsurg Corp. *.................................................................. 94,146
2,800 Centene Corp. *................................................................. 59,976
600 Icon PLC, ADR *................................................................. 26,244
900 Varian, Inc. *.................................................................. 49,347
-----------
229,713
-----------
INDUSTRIALS - 23.46%
3,700 ACCO Brands Corp. *............................................................. 85,285
1,100 Acuity Brands, Inc. ............................................................ 66,308
5,500 Airtran Holdings, Inc. *........................................................ 60,060
1,700 Albany International Corp.,
Class A......................................................................... 68,748
2,100 Belden, Inc. ................................................................... 116,235
4,400 Bowne & Co., Inc. .............................................................. 85,844
4,000 Carlisle Cos., Inc. ............................................................ 186,040
4,100 Deswell Industries, Inc. ....................................................... 44,772
500 Esco Technologies, Inc. *....................................................... 18,130
2,200 Genesee & Wyoming, Inc.,
Class A *....................................................................... 65,648
3,500 Mueller Industries, Inc. ....................................................... 120,540
2,100 Simpson Manufacturing Co., Inc. ................................................ 70,854
190 Sterling Construction Co., Inc. *............................................... 4,018
2,400 Trex Co., Inc. *................................................................ 47,112
1,500 United Stationers, Inc. *....................................................... 99,960
3,500 Vitran Corp., Inc. *............................................................ 74,690
-----------
1,214,244
-----------
</Table>
- --------------------------------------------------------------------------------
67
See accompanying Notes to Financial Statements.
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 5.22%
2,200 Electronics for Imaging *....................................................... $ 62,084
2,300 MAXIMUS, Inc. .................................................................. 99,774
4,600 NAM TAI Electronics, Inc. ...................................................... 54,832
2,400 Xyratex, Ltd. *................................................................. 53,352
-----------
270,042
-----------
MATERIALS - 2.62%
1,800 Aptargroup, Inc. ............................................................... 64,008
1,600 Compass Minerals International, Inc. ........................................... 55,456
300 Deltic Timber Corp. ............................................................ 16,446
-----------
135,910
-----------
TELECOMMUNICATION SERVICES - 1.11%
2,000 Atlantic Tele-Network, Inc. .................................................... 57,280
-----------
UTILITIES - 3.59%
800 New Jersey Resources Corp. ..................................................... 40,816
2,500 PNM Resources, Inc. ............................................................ 69,475
1,500 Westar Energy, Inc. ............................................................ 36,420
1,200 WGL Holdings, Inc. ............................................................. 39,168
-----------
185,879
-----------
TOTAL COMMON STOCKS
( Cost $4,963,695 )............................................................. 4,987,749
INVESTMENT COMPANY - 3.79%
- -------------------------------------------------------------------------------------------------------------
196,337 SSgA Prime Money Market Fund.................................................... 196,337
-----------
TOTAL INVESTMENT COMPANY
( Cost $196,337 )............................................................... 196,337
TOTAL INVESTMENTS - 100.14%
- -------------------------------------------------------------------------------------------------------------
( Cost $5,160,032** )............................................................................. 5,184,086
NET OTHER ASSETS AND LIABILITIES - (0.14)%
- -------------------------------------------------------------------------------------------------------------
(7,637)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 5,176,449
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$5,160,032.
ADR American Depositary Receipt.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
68
See accompanying Notes to Financial Statements.
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 97.56%
- -------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 14.12%
700 Advance Auto Parts, Inc. ....................................................... $ 28,371
600 Applebees International, Inc. .................................................. 14,460
300 Buffalo Wild Wings, Inc. *...................................................... 12,477
950 California Pizza Kitchen, Inc. *................................................ 20,406
600 Carmax, Inc. *.................................................................. 15,300
500 Charlotte Russe Holding, Inc. *................................................. 13,435
500 Children's Place Retail Stores, Inc. *.......................................... 25,820
400 Cooper Tire & Rubber Co. ....................................................... 11,048
200 Ctrip.com International, Ltd., ADR.............................................. 15,726
400 Deckers Outdoor Corp. *......................................................... 40,360
400 Dick's Sporting Goods, Inc. *................................................... 23,268
400 Dollar Tree Stores, Inc. *...................................................... 17,420
300 DSW, Inc. *..................................................................... 10,446
900 Focus Media Holding, Ltd., ADR *................................................ 45,450
500 Fossil, Inc. *.................................................................. 14,745
1,000 FTD Group, Inc. ................................................................ 18,410
800 GameStop Corp.,
Class A *....................................................................... 31,280
800 Genesco, Inc. *................................................................. 41,848
800 GSI Commerce, Inc. *............................................................ 18,168
400 Jack in the Box, Inc. *......................................................... 28,376
900 LKQ Corp. *..................................................................... 22,194
1,100 Lodgenet Entertainment Corp. *.................................................. 35,266
200 Men's Wearhouse, Inc. .......................................................... 10,214
600 Outdoor Channel Holdings, Inc. *................................................ 6,762
600 Papa John's International, Inc. *............................................... 17,256
1,000 Pinnacle Entertainment, Inc. *.................................................. 28,150
300 Priceline.com, Inc. *........................................................... 20,622
200 Red Robin Gourmet Burgers, Inc. *............................................... 8,074
600 Sauer-Danfoss, Inc. ............................................................ 17,856
600 Scientific Games Corp.,
Class A *....................................................................... 20,970
1,300 Trump Entertainment Resorts, Inc. *............................................. 16,315
900 Urban Outfitters, Inc. *........................................................ 21,627
1,000 Warnaco Group, Inc. *........................................................... 39,340
600 Winnebago Industries............................................................ 17,712
1,150 WMS Industries, Inc. *.......................................................... 33,189
-----------
762,361
-----------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
CONSUMER STAPLES - 3.20%
1,000 Central Garden and Pet Co.,
Class A *....................................................................... $ 11,730
600 Elizabeth Arden, Inc. *......................................................... 14,556
1,000 Imperial Sugar Co. ............................................................. 30,790
1,200 John B. Sanfilippo & Son, Inc. *................................................ 13,200
400 Longs Drug Stores Corp. ........................................................ 21,008
300 NBTY, Inc. *.................................................................... 12,960
700 Pantry, Inc. *.................................................................. 32,270
800 Reddy Ice Holdings, Inc. ....................................................... 22,816
400 Spartan Stores, Inc. ........................................................... 13,164
-----------
172,494
-----------
ENERGY - 4.88%
500 Arch Coal, Inc. ................................................................ 17,400
1,700 Cabot Oil & Gas Corp. .......................................................... 62,696
300 Carrizo Oil & Gas, Inc. *....................................................... 12,441
300 Dawson Geophysical Co. *........................................................ 18,438
400 Lufkin Industries, Inc. ........................................................ 25,820
700 NATCO Group, Inc.,
Class A *....................................................................... 32,228
1,100 Trico Marine Services, Inc. *................................................... 44,968
800 W-H Energy Services, Inc. *..................................................... 49,528
-----------
263,519
-----------
FINANCIALS - 8.45%
50 Advanta Corp.,
Class B......................................................................... 1,557
200 Alexandria Real Estate Equities, Inc.,
REIT............................................................................ 19,364
1,400 American Physicians Capital, Inc. *............................................. 56,700
2,800 Calamos Asset Management, Inc.,
Class A......................................................................... 71,540
800 Dollar Financial Corp. *........................................................ 22,800
2,400 Ezcorp, Inc.,
Class A *....................................................................... 31,776
1,000 First Community Bancorp, Inc. .................................................. 57,210
500 Hancock Holding Co. ............................................................ 18,775
600 Mid-America Apartment Communities, Inc.,
REIT............................................................................ 31,488
900 Odyssey Re Holdings Corp. ...................................................... 38,601
1,400 Phoenix Cos., Inc. ............................................................. 21,014
200 Safety Insurance Group, Inc. ................................................... 8,280
1,400 Selective Insurance Group....................................................... 37,632
1,100 SWS Group, Inc. ................................................................ 23,782
500 Tower Group, Inc. .............................................................. 15,950
-----------
456,469
-----------
</Table>
- --------------------------------------------------------------------------------
69
See accompanying Notes to Financial Statements.
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
HEALTH CARE - 16.09%
200 Alexion Pharmaceuticals, Inc. *................................................. $ 9,012
1,000 Align Technology, Inc. *........................................................ 24,160
2,100 Alkermes, Inc. *................................................................ 30,660
800 Arthrocare Corp. *.............................................................. 35,128
2,200 Bradley Pharmaceuticals, Inc. *................................................. 47,762
200 Chemed Corp. ................................................................... 13,258
800 Corvel Corp. *.................................................................. 20,912
2,200 Cutera, Inc. *.................................................................. 54,824
600 Cynosure, Inc.,
Class A *....................................................................... 21,858
2,100 Cypress Bioscience, Inc. *...................................................... 27,846
400 Dade Behring Holdings, Inc. .................................................... 21,248
300 Digene Corp. *.................................................................. 18,015
1,300 Hologic, Inc. *................................................................. 71,903
1,000 InterMune, Inc. *............................................................... 25,940
1,400 inVentiv Health, Inc. *......................................................... 51,254
400 Inverness Medical Innovations, Inc. *........................................... 20,408
900 Kendle International, Inc. *.................................................... 33,093
300 Kyphon, Inc. *.................................................................. 14,445
400 LifePoint Hospitals, Inc. *..................................................... 15,472
900 Medcath Corp. *................................................................. 28,620
1,000 Medicines Co. *................................................................. 17,620
1,300 Omnicell, Inc. *................................................................ 27,014
900 Parexel International Corp. *................................................... 37,854
200 Pharmaceutical Product Development,
Inc. ........................................................................... 7,654
400 Sirona Dental Systems, Inc. *................................................... 15,132
800 Sun Healthcare Group, Inc. *.................................................... 11,592
400 Sunrise Senior Living, Inc. *................................................... 15,996
1,600 Symbion, Inc. *................................................................. 34,736
800 Trizetto Group *................................................................ 15,488
400 Ventana Medical Systems, Inc. *................................................. 30,908
500 Vertex Pharmaceuticals, Inc. *.................................................. 14,280
600 WellCare Health Plans, Inc. *................................................... 54,306
-----------
868,398
-----------
INDUSTRIALS - 26.47%
1,400 AAR Corp. *..................................................................... 46,214
400 Actuant Corp. .................................................................. 25,224
600 Advisory Board Co. *............................................................ 33,336
1,000 American Commercial Lines, Inc. *............................................... 26,050
500 American Reprographics Co. *.................................................... 15,395
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INDUSTRIALS (CONTINUED)
900 Bucyrus International, Inc.,
Class A......................................................................... $ 63,702
400 CDI Corp. ...................................................................... 12,880
400 Cenveo, Inc. *.................................................................. 9,276
200 Clean Harbors, Inc. *........................................................... 9,884
1,000 COMSYS IT Partners, Inc. *...................................................... 22,810
500 Consolidated Graphics, Inc. *................................................... 34,640
800 Continental Airlines, Inc. *.................................................... 27,096
600 Corrections Corp. of America *.................................................. 37,866
400 Covanta Holding Corp. *......................................................... 9,860
700 EnPro Industries, Inc. *........................................................ 29,953
700 Florida East Coast Industries, Inc. ............................................ 58,086
800 G&K Services, Inc.,
Class A......................................................................... 31,608
400 Gardner Denver, Inc. *.......................................................... 17,020
900 General Cable Corp. *........................................................... 68,175
400 Geo Group, Inc. *............................................................... 11,640
1,400 H&E Equipment Services, Inc. *.................................................. 38,836
800 Healthcare Services Group....................................................... 23,600
1,000 Heico Corp. .................................................................... 42,080
1,600 HUB Group, Inc.,
Class A *....................................................................... 56,256
1,300 Hudson Highland Group, Inc. *................................................... 27,807
400 Huron Consulting Group, Inc. *.................................................. 29,204
400 IHS, Inc. *..................................................................... 18,400
200 Jacobs Engineering Group, Inc. *................................................ 11,502
400 Kaydon Corp. ................................................................... 20,848
500 Kenexa Corp. *.................................................................. 18,855
600 Ladish Co., Inc. *.............................................................. 25,800
800 Lan Airlines S.A., ADR.......................................................... 67,320
200 Landstar System, Inc. .......................................................... 9,650
1,300 LMI Aerospace, Inc. *........................................................... 31,577
600 M&F Worldwide Corp. *........................................................... 39,948
800 Middleby Corp. *................................................................ 47,856
1,300 On Assignment, Inc. *........................................................... 13,936
400 Pall Corp. ..................................................................... 18,396
100 Perini Corp. *.................................................................. 6,153
500 Quanta Services, Inc. *......................................................... 15,335
200 RBC Bearings, Inc. *............................................................ 8,250
600 Saia, Inc. *.................................................................... 16,356
600 Steelcase, Inc.,
Class A......................................................................... 11,100
600 Stericycle, Inc. *.............................................................. 26,676
500 TeleTech Holdings, Inc. *....................................................... 16,240
</Table>
- --------------------------------------------------------------------------------
70
See accompanying Notes to Financial Statements.
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
200 Thomas & Betts Corp. *.......................................................... $ 11,600
900 UAP Holding Corp. .............................................................. 27,126
1,000 Washington Group International, Inc. *.......................................... 80,010
600 Watsco, Inc. ................................................................... 32,640
1,900 Williams Scotsman International, Inc. *......................................... 45,239
-----------
1,429,311
-----------
INFORMATION TECHNOLOGY - 16.15%
1,100 Actel Corp. *................................................................... 15,301
3,600 Aeroflex, Inc. *................................................................ 51,012
2,100 Ansoft Corp. *.................................................................. 61,929
1,400 Ansys, Inc. *................................................................... 37,100
2,000 Arris Group, Inc. *............................................................. 35,180
700 Blackboard, Inc. *.............................................................. 29,484
800 Comtech Telecommunications Corp. *.............................................. 37,136
700 Cymer, Inc. *................................................................... 28,140
1,600 Daktronics, Inc. ............................................................... 34,368
800 Diodes, Inc. *.................................................................. 33,416
700 Emulex Corp. *.................................................................. 15,288
900 Gevity HR, Inc. ................................................................ 17,397
800 i2 Technologies, Inc. *......................................................... 14,912
1,200 Infospace, Inc. ................................................................ 27,852
1,400 Inter-Tel, Inc. ................................................................ 33,502
600 Intevac, Inc. *................................................................. 12,756
400 Loral Space & Communications, Inc. *............................................ 19,712
300 Micros Systems, Inc. *.......................................................... 16,320
400 Quality Systems, Inc. .......................................................... 15,188
1,100 Rackable Systems, Inc. *........................................................ 13,596
1,300 Red Hat, Inc. *................................................................. 28,964
200 Rofin-Sinar Technologies, Inc. *................................................ 13,800
600 Shanda Interactive Entertainment, Ltd.,
ADR *........................................................................... 18,600
400 Sigma Designs, Inc. *........................................................... 10,436
400 SiRF Technology Holdings, Inc. *................................................ 8,296
400 Standard Microsystems Corp. *................................................... 13,736
1,300 Techwell, Inc. *................................................................ 17,030
200 The9, Ltd., ADR *............................................................... 9,252
500 THQ, Inc. *..................................................................... 15,260
1,200 Transaction Systems Architects, Inc. *.......................................... 40,392
900 Valueclick, Inc. *.............................................................. 26,514
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INFORMATION TECHNOLOGY (CONTINUED)
500 Varian Semiconductor Equipment
Associates, Inc. *.............................................................. $ 20,030
400 VeriFone Holdings, Inc. *....................................................... 14,100
1,000 Verint Systems, Inc. *.......................................................... 31,300
600 Wright Express Corp. *.......................................................... 20,562
1,700 Zoran Corp. *................................................................... 34,068
-----------
871,929
-----------
MATERIALS - 6.85%
1,000 Airgas, Inc. ................................................................... 47,900
600 AK Steel Holding Corp. *........................................................ 22,422
400 Cabot Corp. .................................................................... 19,072
600 Century Aluminum Co. *.......................................................... 32,778
400 CF Industries Holdings, Inc. ................................................... 23,956
400 Chaparral Steel Co. ............................................................ 28,748
400 Greif, Inc. .................................................................... 23,844
1,000 Owens-Illinois, Inc. *.......................................................... 35,000
400 Rock-Tenn Co. .................................................................. 12,688
1,300 Silgan Holdings, Inc. .......................................................... 71,864
700 Spartech Corp. ................................................................. 18,585
1,300 Terra Industries, Inc. *........................................................ 33,046
-----------
369,903
-----------
TELECOMMUNICATION SERVICES - 1.05%
2,100 Dobson Communications Corp.,
Class A *....................................................................... 23,331
1,200 NTELOS Holdings Corp. .......................................................... 33,168
-----------
56,499
-----------
UTILITIES - 0.30%
400 ITC Holdings Corp. ............................................................. 16,252
-----------
TOTAL COMMON STOCKS
( Cost $5,104,239 )............................................................. 5,267,135
COMMON STOCK UNIT - 0.79%
- -------------------------------------------------------------------------------------------------------------
ENERGY - 0.79%
1,000 Copano Energy LLC............................................................... 42,670
-----------
TOTAL COMMON STOCK UNIT
( Cost $41,987 )................................................................ 42,670
</Table>
- --------------------------------------------------------------------------------
71
See accompanying Notes to Financial Statements.
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANY - 1.56%
- -------------------------------------------------------------------------------------------------------------
84,173 SSgA Prime Money Market Fund.................................................... $ 84,173
-----------
TOTAL INVESTMENT COMPANY
( Cost $84,173 )................................................................ 84,173
TOTAL INVESTMENTS - 99.91%
- -------------------------------------------------------------------------------------------------------------
( Cost $5,230,399** )............................................................................. 5,393,978
NET OTHER ASSETS AND LIABILITIES - 0.09%
- -------------------------------------------------------------------------------------------------------------
4,815
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 5,398,793
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$5,230,399.
ADR American Depositary Receipt.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
72
See accompanying Notes to Financial Statements.
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.64%
- -------------------------------------------------------------------------------------------------------------
AUSTRALIA - 7.04%
124,041 Amcor, Ltd. .................................................................... $ 786,718
101,773 Foster's Group, Ltd. ........................................................... 551,298
44,323 National Australia Bank, Ltd. (O)............................................... 1,543,683
383,328 Telstra Corp., Ltd. (O)......................................................... 1,493,883
-----------
4,375,582
-----------
BELGIUM - 1.36%
19,885 Fortis.......................................................................... 847,638
-----------
FINLAND - 0.71%
17,786 UPM-Kymmene OYJ (O)............................................................. 440,038
-----------
FRANCE - 7.22%
11,276 Carrefour S.A. (O).............................................................. 794,853
23,193 France Telecom S.A. (O)......................................................... 639,658
4,177 Renault S.A. ................................................................... 673,191
3,806 Societe Generale (O)............................................................ 707,664
20,498 Total S.A. (O).................................................................. 1,669,942
-----------
4,485,308
-----------
GERMANY - 4.10%
13,045 Bayer AG........................................................................ 989,391
33,438 Deutsche Telekom AG............................................................. 618,877
8,822 RWE AG (O)...................................................................... 942,107
-----------
2,550,375
-----------
HONG KONG - 0.87%
106,500 Hong Kong Electric Holdings..................................................... 538,030
-----------
ITALY - 2.84%
123,045 Intesa SanPaolo SpA............................................................. 919,920
94,445 UniCredito Italiano SpA......................................................... 846,551
-----------
1,766,471
-----------
JAPAN - 5.91%
14,200 Astellas Pharma, Inc. .......................................................... 616,766
16,000 Canon, Inc. (O)................................................................. 937,401
7,100 Millea Holdings, Inc. .......................................................... 291,123
107 Nippon Telegraph & Telephone Corp. ............................................. 474,284
1,500 Nitto Denko Corp. .............................................................. 75,455
9,600 Takeda Pharmaceutical Co., Ltd. (O)............................................. 619,229
142 West Japan Railway Co. ......................................................... 660,492
-----------
3,674,750
-----------
NETHERLANDS - 2.75%
24,474 ING Groep N.V. ................................................................. 1,084,944
32,513 Reed Elsevier N.V. ............................................................. 621,537
-----------
1,706,481
-----------
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
NEW ZEALAND - 0.62%
108,460 Telecom Corp. of New Zealand,
Ltd. (O)........................................................................ $ 384,774
-----------
SINGAPORE - 1.17%
121,000 Oversea-Chinese Banking Corp. .................................................. 723,580
-----------
SPAIN - 4.49%
36,445 Banco Santander Central
Hispano S.A. ................................................................... 674,532
10,525 Iberdrola S.A. (O).............................................................. 590,942
68,212 Telefonica S.A. ................................................................ 1,525,306
-----------
2,790,780
-----------
SWITZERLAND - 2.55%
28,122 Novartis AG..................................................................... 1,585,179
-----------
TAIWAN - 0.87%
28,500 Chunghwa Telecom Co., Ltd., ADR................................................. 537,510
-----------
UNITED KINGDOM - 16.93%
36,044 Aviva PLC....................................................................... 537,596
100,954 BP PLC.......................................................................... 1,221,188
95,654 GKN PLC......................................................................... 764,189
83,538 GlaxoSmithKline PLC............................................................. 2,186,938
77,634 HBOS PLC........................................................................ 1,534,795
109,038 Lloyds TSB Group PLC............................................................ 1,216,171
34,719 Royal Dutch Shell PLC,
Class A......................................................................... 1,417,069
50,691 Unilever PLC.................................................................... 1,642,272
-----------
10,520,218
-----------
UNITED STATES - 39.21%
10,700 3M Co. ......................................................................... 928,653
42,700 Alcoa, Inc. .................................................................... 1,730,631
35,600 Bank of America Corp. .......................................................... 1,740,484
14,200 CBS Corp.,
Class B......................................................................... 473,144
24,900 Chevron Corp. .................................................................. 2,097,576
28,500 Citigroup, Inc. ................................................................ 1,461,765
50,500 ConAgra Foods, Inc. ............................................................ 1,356,430
56,900 General Electric Co. (Q)........................................................ 2,178,132
24,900 Genuine Parts Co. (O)........................................................... 1,235,040
24,900 HJ Heinz Co. ................................................................... 1,182,003
17,800 Mellon Financial Corp. (O)...................................................... 783,200
20,600 Merck & Co., Inc. .............................................................. 1,025,880
61,300 Microsoft Corp. ................................................................ 1,806,511
32,000 Oracle Corp. *.................................................................. 630,720
57,100 Pfizer, Inc. ................................................................... 1,460,047
35,600 Verizon Communications, Inc. ................................................... 1,465,652
</Table>
- --------------------------------------------------------------------------------
73
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)
22,900 Wachovia Corp. (O).............................................................. $ 1,173,625
28,500 Wyeth........................................................................... 1,634,190
-----------
24,363,683
-----------
TOTAL COMMON STOCKS
( Cost $60,195,855 )............................................................ 61,290,397
INVESTMENT COMPANY - 1.06%
- -------------------------------------------------------------------------------------------------------------
UNITED STATES - 1.06%
660,317 SSgA Prime Money Market Fund (Q)................................................ 660,317
-----------
TOTAL INVESTMENT COMPANY
( Cost $660,317 )............................................................... 660,317
COLLATERAL FOR SECURITIES ON LOAN - 14.99%
- -------------------------------------------------------------------------------------------------------------
UNITED STATES - 15.00%
9,316,620 State Street Navigator Securities Lending
Prime Portfolio (I)............................................................. 9,316,620
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $9,316,620 )............................................................. 9,316,620
TOTAL INVESTMENTS - 114.70%
- -------------------------------------------------------------------------------------------------------------
( Cost $70,172,792** )........................................................................... 71,267,334
NET OTHER ASSETS AND LIABILITIES - (14.70)%
- -------------------------------------------------------------------------------------------------------------
(9,133,233)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 62,134,101
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$70,368,526.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
(Q) Security pledged as collateral for forward currency
contracts outstanding as of June 30, 2007.
ADR American Depositary Receipt.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
OTHER INFORMATION:
Industry Concentration
<Table>
<Caption>
% of Net Assets
---------------
Commercial Banks 15.0%
Pharmaceuticals 14.7%
Diversified
Telecommunication
Services 11.5%
Oil Gas & Consumable
Fuels 10.3%
Diversified Financial
Services 8.2%
Food Products 6.7%
Industrial Conglomerates 5.0%
Software 3.9%
Metals & Mining 2.8%
Distributors 2.0%
Electric Utilities 1.8%
Media 1.8%
Chemicals 1.7%
Multi-Utilities 1.5%
Office Electronics 1.5%
Net Other Assets &
Liabilities 1.4%
Insurance 1.3%
Food & Staples Retailing 1.3%
Containers & Packaging 1.3%
Capital Markets 1.3%
Auto Components 1.2%
Automobiles 1.1%
Road & Rail 1.1%
Beverages 0.9%
Paper & Forest Products 0.7%
-----------
100.0%
-----------
-----------
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS:
<Table>
<Caption>
Appreciation/
Currency Settlement Date Local Amount Face Amount Value (Deprecation)
- -------- --------------- ------------ ----------- ---------- -------------
Great British Pound
(sell) 7/31/07 1,248,000 $2,471,914 $2,502,489 $(30,575)
</Table>
- --------------------------------------------------------------------------------
74
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.33%
- -------------------------------------------------------------------------------------------------------------
ARGENTINA - 0.24%
8,800 Tenaris S.A., ADR............................................................... $ 430,848
-----------
AUSTRALIA - 0.43%
34,410 ABC Learning Centres, Ltd. ..................................................... 202,174
50,471 Fairfax Media, Ltd. ............................................................ 201,406
28,359 James Hardie Industries N.V. ................................................... 209,962
57,992 Macquarie Infrastructure Group.................................................. 177,257
-----------
790,799
-----------
AUSTRIA - 0.13%
8,748 CAT Oil AG *.................................................................... 238,903
-----------
BAHRAIN - 0.08%
220 Investcorp Bank BSC, GDR *...................................................... 5,610
5,673 Investcorp Bank BSC, GDR (C)*................................................... 134,734
-----------
140,344
-----------
BELGIUM - 1.22%
28,232 InBev N.V. ..................................................................... 2,245,439
-----------
BRAZIL - 1.03%
4,200 Brasil Telecom Participacoes
S.A., ADR....................................................................... 253,932
34,400 JHSF Participacoes S.A. *....................................................... 200,404
6,000 Petroleo Brasileiro S.A., ADR................................................... 727,620
15,738 Souza Cruz S.A. ................................................................ 377,334
10,100 TAM S.A., ADR................................................................... 334,310
-----------
1,893,600
-----------
EGYPT - 0.70%
4,207 Eastern Tobacco................................................................. 303,007
9,860 Orascom Construction Industries................................................. 646,075
26,500 Orascom Telecom Holding S.A.E................................................... 340,252
-----------
1,289,334
-----------
FINLAND - 1.58%
92,000 Nokia OYJ....................................................................... 2,588,337
10,370 Sampo OYJ, A
Shares.......................................................................... 299,461
-----------
2,887,798
-----------
FRANCE - 9.37%
29,580 AXA S.A. ....................................................................... 1,280,102
16,650 BNP Paribas..................................................................... 1,988,982
2,955 Carbone Lorraine................................................................ 230,592
40,600 Gaz de France S.A. (O).......................................................... 2,057,796
8,674 Lafarge S.A. (O)................................................................ 1,587,811
2,467 Neopost S.A. ................................................................... 361,909
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
FRANCE (CONTINUED)
9,200 Renault S.A. ................................................................... $ 1,482,728
44,512 Sanofi-Aventis (O).............................................................. 3,616,699
56,187 Total S.A. ..................................................................... 4,577,473
-----------
17,184,092
-----------
GERMANY - 11.75%
3,439 Aareal Bank AG.................................................................. 179,465
23,700 Adidas AG....................................................................... 1,498,889
9,400 Allianz SE...................................................................... 2,206,040
36,820 Arcandor AG *................................................................... 1,245,466
7,413 Compugroup Holding AG *......................................................... 165,463
16,850 Continental AG.................................................................. 2,379,182
47,000 DaimlerChrysler AG.............................................................. 4,358,324
4,335 Demag Cranes AG................................................................. 289,812
85,900 Deutsche Post AG................................................................ 2,790,665
13,700 E.ON AG......................................................................... 2,302,065
2,600 Gerresheimer AG *............................................................... 133,573
3,733 Kloeckner & Co. AG (O).......................................................... 271,772
2,313 Pfeiffer Vacuum Technology AG................................................... 222,803
2,200 SGL Carbon AG *................................................................. 91,459
22,319 Siemens AG...................................................................... 3,215,663
6,565 Symrise AG *.................................................................... 196,239
-----------
21,546,880
-----------
GREECE - 1.26%
36,200 National Bank of Greece S.A. ................................................... 2,075,082
6,350 Piraeus Bank S.A. .............................................................. 232,307
-----------
2,307,389
-----------
HONG KONG - 0.28%
45,600 China Netcom Group Corp.,
Hong Kong, Ltd. ................................................................ 125,974
30,345 Esprit Holdings, Ltd. .......................................................... 384,998
-----------
510,972
-----------
HUNGARY - 0.30%
2,308 MOL Hungarian Oil and Gas NyRt. ................................................ 351,398
999 Richter Gedeon NyRt. ........................................................... 201,519
-----------
552,917
-----------
INDIA - 1.53%
4,559 Grasim Industries, Ltd. ........................................................ 295,288
12,100 Hero Honda Motors, Ltd. ........................................................ 206,792
51,018 Hindustan Unilever, Ltd. ....................................................... 238,976
25,378 Oil & Natural Gas Corp., Ltd. .................................................. 563,310
18,600 Punjab National Bank, Ltd. ..................................................... 251,023
</Table>
- --------------------------------------------------------------------------------
75
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
INDIA (CONTINUED)
34,932 Satyam Computer Services, Ltd. ................................................. $ 401,970
22,680 State Bank of India, Ltd. ...................................................... 853,774
-----------
2,811,133
-----------
INDONESIA - 0.76%
1,412,700 Bank Mandiri Persero Tbk PT..................................................... 488,620
208,000 PT Astra International Tbk...................................................... 389,065
5,600 Telekomunikasi Indonesia
Tbk PT, ADR..................................................................... 241,360
291,000 United Tractors Tbk PT.......................................................... 265,717
-----------
1,384,762
-----------
IRELAND - 1.95%
17,435 Anglo Irish Bank Corp. PLC...................................................... 358,283
56,364 Bank of Ireland................................................................. 1,138,448
35,891 CRH PLC......................................................................... 1,777,392
9,163 DCC PLC......................................................................... 309,079
-----------
3,583,202
-----------
ISRAEL - 0.53%
112,368 Bank Hapoalim B.M............................................................... 547,177
52,673 Israel Chemicals, Ltd. ......................................................... 417,371
-----------
964,548
-----------
ITALY - 2.76%
31,635 Aicon SpA *..................................................................... 185,831
64,800 ENI SpA......................................................................... 2,356,612
280,235 UniCredito Italiano SpA......................................................... 2,511,868
-----------
5,054,311
-----------
JAPAN - 13.24%
4,200 ABC-Mart, Inc. (O).............................................................. 95,977
8,300 Asahi Pretec Corp. ............................................................. 231,368
9,000 Chiyoda Corp. .................................................................. 171,387
54,030 Daito Trust Construction Co., Ltd. ............................................. 2,570,043
5,730 Don Quijote Co., Ltd. .......................................................... 114,688
146 East Japan Railway Co. ......................................................... 1,123,942
6,600 Eizo Nanao Corp. ............................................................... 214,999
5,400 Hisamitsu Pharmaceutical Co., Inc. ............................................. 148,778
26,900 Hoya Corp. ..................................................................... 891,544
13,380 Ichiyoshi Securities Co., Ltd. ................................................. 193,428
4,600 Ito En, Ltd. ................................................................... 150,966
3,200 Jafco Co., Ltd. ................................................................ 147,287
260 Japan Tobacco, Inc. (O)......................................................... 1,280,985
8,380 JSR Corp. ...................................................................... 202,022
7,400 Keyence Corp. .................................................................. 1,614,862
201 KK DaVinci Advisors (O)*........................................................ 175,909
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
JAPAN (CONTINUED)
6,600 Konami Corp. ................................................................... $ 151,088
9,600 MISUMI Group, Inc. ............................................................. 162,587
23,300 Nidec Corp. .................................................................... 1,366,979
117,600 Nomura Holdings, Inc. .......................................................... 2,287,103
16,700 OSG Corp. ...................................................................... 229,785
3,300 Secom Techno Service Co., Ltd. ................................................. 133,171
6,160 Shoei Co., Ltd. (O)............................................................. 129,035
260 Sumitomo Mitsui Financial
Group, Inc. .................................................................... 2,422,916
194,000 Sumitomo Trust & Banking Co., Ltd. ............................................. 1,847,170
15,300 Suruga Bank, Ltd. .............................................................. 192,544
18,400 Takeda Pharmaceutical Co., Ltd. ................................................ 1,186,856
63,100 THK Co., Ltd. .................................................................. 1,579,993
327,000 Tokyo Gas Co., Ltd. ............................................................ 1,547,490
2,010 USS Co., Ltd. .................................................................. 127,859
15,200 Yamada Denki Co., Ltd. ......................................................... 1,586,451
-----------
24,279,212
-----------
MEXICO - 0.93%
16,726 Cemex SAB de C.V., ADR *........................................................ 617,190
7,280 Desarrolladora Homex
SAB de C.V., ADR *.............................................................. 441,095
4,690 Fomento Economico Mexicano
SAB de C.V., ADR................................................................ 184,411
10,800 Grupo Televisa S.A., ADR........................................................ 298,188
38,500 Kimberly-Clark de Mexico SAB de C.V.,
Class A......................................................................... 167,692
-----------
1,708,576
-----------
NETHERLANDS - 3.11%
8,081 Boskalis Westminster............................................................ 322,400
5,131 Fugro N.V. ..................................................................... 326,379
24,000 Heineken N.V. .................................................................. 1,411,112
2,121 Hunter Douglas N.V. ............................................................ 200,782
7,652 Ordina N.V. .................................................................... 159,315
6,526 SBM Offshore N.V. .............................................................. 249,686
54,138 TNT N.V. ....................................................................... 2,446,805
7,212 USG People N.V. ................................................................ 340,285
10,537 Wavin N.V. ..................................................................... 253,997
-----------
5,710,761
-----------
NEW ZEALAND - 0.75%
389,000 Telecom Corp. of New Zealand,
Ltd. (O)........................................................................ 1,380,021
-----------
</Table>
- --------------------------------------------------------------------------------
76
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
NORWAY - 0.23%
10,720 Acergy S.A. .................................................................... $ 243,644
18,020 Songa Offshore ASA (O)*......................................................... 183,385
-----------
427,029
-----------
PHILIPPINES - 0.40%
12,900 Philippine Long Distance Telephone Co.,
ADR............................................................................. 737,880
-----------
PORTUGAL - 0.09%
20,983 Banif SGPS S.A. ................................................................ 172,477
-----------
RUSSIA - 0.86%
5,400 Evraz Group S.A., GDR........................................................... 221,940
9,700 Mobile Telesystems OJSC, ADR.................................................... 587,529
13,100 Oriflame Cosmetics S.A. ........................................................ 616,954
1,300 Pharmstandard, GDR (C)*......................................................... 21,814
60,700 TNK-BP Holding.................................................................. 132,933
-----------
1,581,170
-----------
SINGAPORE - 1.42%
1,168,000 Singapore Telecommunications, Ltd. ............................................. 2,595,386
-----------
SOUTH AFRICA - 1.58%
17,572 Aquarius Platinum, Ltd. ........................................................ 551,315
27,204 Imperial Holdings, Ltd. ........................................................ 563,001
20,243 Kumba Iron Ore, Ltd. ........................................................... 531,577
25,667 Murray & Roberts Holdings, Ltd. ................................................ 233,171
7,700 Naspers, Ltd. .................................................................. 198,921
60,817 Sanlam, Ltd. ................................................................... 194,148
104,222 Steinhoff International Holdings,
Ltd. ........................................................................... 358,157
49,731 Truworths International, Ltd. .................................................. 257,655
-----------
2,887,945
-----------
SOUTH KOREA - 2.51%
316 Amorepacific Corp. ............................................................. 250,379
3,087 Hite Brewery Co., Ltd. ......................................................... 400,974
5,422 Hyundai Motor Co. .............................................................. 428,431
17,130 Kangwon Land, Inc. ............................................................. 397,725
8,863 Kookmin Bank.................................................................... 778,037
17,000 Lotte Shopping Co., Ltd., GDR (C)............................................... 330,140
2,790 Samsung Electronics Co.,
Ltd., GDR (C)................................................................... 863,505
13,130 Shinhan Financial Group Co., Ltd. .............................................. 798,729
200 SK Telecom Co., Ltd. ........................................................... 46,111
3,300 SK Telecom Co., Ltd., ADR....................................................... 90,255
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
SOUTH KOREA (CONTINUED)
6,530 Woongjin Coway Co., Ltd. ....................................................... $ 221,236
-----------
4,605,522
-----------
SPAIN - 1.83%
4,277 Abengoa S.A. ................................................................... 176,186
108,862 Banco Bilbao Vizcaya
Argentaria S.A. (O)............................................................. 2,678,604
9,510 Indra Sistemas S.A. (O)......................................................... 238,113
6,590 Prosegur Cia de Seguridad S.A. ................................................. 252,847
-----------
3,345,750
-----------
SWEDEN - 1.62%
4,290 Cardo AB........................................................................ 187,632
16,300 Elekta AB,
Class B......................................................................... 283,261
7,630 Getinge AB, B
Shares.......................................................................... 165,185
15,400 KappAhl Holding AB.............................................................. 173,728
536,900 Telefonaktiebolaget LM Ericsson, B
Shares.......................................................................... 2,153,010
-----------
2,962,816
-----------
SWITZERLAND - 6.81%
36,730 Credit Suisse Group............................................................. 2,620,999
970 Geberit AG...................................................................... 165,615
9,215 Nestle S.A. .................................................................... 3,508,039
83,297 Novartis AG..................................................................... 4,695,281
91 Sika AG......................................................................... 185,851
4,210 Zurich Financial Services AG.................................................... 1,304,340
-----------
12,480,125
-----------
TAIWAN - 1.23%
64,850 Advantech Co., Ltd. ............................................................ 207,979
575,672 Chinatrust Financial Holding
Co., Ltd. ...................................................................... 450,128
389,000 Fubon Financial Holding Co., Ltd. .............................................. 356,445
65,023 HON HAI Precision Industry
Co., Ltd. ...................................................................... 564,036
58,000 Novatek Microelectronics
Corp., Ltd. .................................................................... 304,704
174,762 Taiwan Semiconductor Manufacturing
Co., Ltd. ...................................................................... 378,455
-----------
2,261,747
-----------
THAILAND - 0.24%
201,100 Kasikornbank PCL................................................................ 445,596
-----------
TURKEY - 0.69%
13,400 Ford Otomotiv Sanayi A.S........................................................ 125,903
63,385 Turkcell Iletisim Hizmet AS..................................................... 428,506
</Table>
- --------------------------------------------------------------------------------
77
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------
TURKEY (CONTINUED)
27,751 Turkcell Iletisim Hizmet AS, ADR................................................ $ 462,054
54,500 Turkiye Is Bankasi.............................................................. 256,035
-----------
1,272,498
-----------
UNITED KINGDOM - 22.89%
34,615 Ashmore Group PLC............................................................... 186,966
55,461 Ashtead Group PLC............................................................... 169,111
300,473 BAE Systems PLC................................................................. 2,441,194
96,600 Barclays PLC.................................................................... 1,348,740
266,675 BP PLC.......................................................................... 3,225,830
62,200 British American Tobacco PLC.................................................... 2,118,702
1 Bunzl PLC....................................................................... 14
28,170 Cattles PLC..................................................................... 221,521
10,185 Charter PLC *................................................................... 225,769
6,303 Chemring Group PLC.............................................................. 248,584
127,600 Diageo PLC...................................................................... 2,654,430
54,391 Enodis PLC...................................................................... 215,494
17,350 Enterprise Inns PLC............................................................. 239,806
35,012 Filtrona PLC.................................................................... 183,140
288,000 Friends Provident PLC........................................................... 1,035,314
117,400 GlaxoSmithKline PLC............................................................. 3,073,409
74,000 HSBC Holdings PLC............................................................... 1,358,297
46,256 Imperial Tobacco Group PLC...................................................... 2,140,708
13,160 Intertek Group PLC.............................................................. 259,772
450,300 ITV PLC......................................................................... 1,031,596
253,000 Kingfisher PLC.................................................................. 1,149,557
166,600 Lloyds TSB Group PLC............................................................ 1,858,196
23,160 Man Group PLC................................................................... 282,942
83,212 National Grid PLC............................................................... 1,231,925
81,300 Northern Rock PLC............................................................... 1,415,638
11,048 Northgate PLC................................................................... 227,612
541,788 Old Mutual PLC.................................................................. 1,835,696
36,700 Reckitt Benckiser PLC........................................................... 2,013,563
95,375 Regus Group PLC................................................................. 258,292
225,000 Tesco PLC....................................................................... 1,888,947
68,200 Unilever PLC.................................................................... 2,209,524
21,374 Vanco PLC *..................................................................... 180,085
1,418,362 Vodafone Group PLC.............................................................. 4,774,423
21,318 William Hill PLC................................................................ 263,005
-----------
41,967,802
-----------
TOTAL COMMON STOCKS
( Cost $140,757,086 )........................................................... 176,639,584
</Table>
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COMMON STOCK UNIT - 0.14%
- -------------------------------------------------------------------------------------------------------------
IRELAND - 0.14%
17,516 Grafton Group PLC *............................................................. $ 250,085
-----------
TOTAL COMMON STOCK UNIT
( Cost $184,135 )............................................................... 250,085
PREFERRED STOCKS - 1.59%
- -------------------------------------------------------------------------------------------------------------
BRAZIL - 1.34%
7,322,700 AES Tiete S.A. ................................................................. 284,399
6,666 Bradespar S.A. ................................................................. 253,026
8,000 Cia Energetica de Minas Gerais.................................................. 170,017
25,228 Cia Vale do Rio Doce............................................................ 947,013
15,100 Iochpe Maxion S.A. ............................................................. 233,721
104,500 Klabin S.A. .................................................................... 367,977
10,871 Tele Norte Leste Participacoes
S.A., ADR....................................................................... 206,223
-----------
2,462,376
-----------
GERMANY - 0.16%
3,213 Fuchs Petrolub AG............................................................... 297,551
-----------
SOUTH KOREA - 0.09%
3,540 Hyundai Motor Co. .............................................................. 161,702
-----------
TOTAL PREFERRED STOCKS
( Cost $1,596,918 )............................................................. 2,921,629
INVESTMENT COMPANY - 1.58%
- -------------------------------------------------------------------------------------------------------------
UNITED STATES - 1.58%
2,906,630 SSgA Prime Money Market Fund.................................................... 2,906,630
-----------
TOTAL INVESTMENT COMPANY
( Cost $2,906,630 )............................................................. 2,906,630
</Table>
- --------------------------------------------------------------------------------
78
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
<Table>
<Caption>
Shares Value (Note 2)
- ------ --------------
COLLATERAL FOR SECURITIES ON LOAN - 5.11%
- -------------------------------------------------------------------------------------------------------------
UNITED STATES - 5.11%
9,370,994 State Street Navigator Securities
Lending Prime Portfolio (I)..................................................... $ 9,370,994
-----------
TOTAL COLLATERAL FOR SECURITIES ON LOAN
( Cost $9,370,994 )............................................................. 9,370,994
TOTAL INVESTMENTS - 104.75%
- -------------------------------------------------------------------------------------------------------------
( Cost $154,815,763** )......................................................................... 192,088,922
NET OTHER ASSETS AND LIABILITIES - (4.75)%
- -------------------------------------------------------------------------------------------------------------
(8,711,448)
TOTAL NET ASSETS - 100.00%
- -------------------------------------------------------------------------------------------------------------
$ 183,377,474
- -------------------------------------------------------------------------------------------------------------
</Table>
* Non-income producing.
** Aggregate cost for Federal tax purposes was
$155,318,134.
(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.
(I) Represents investments of cash collateral received
in connection with securities lending.
(O) All (or portion of security) on loan.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
PLC Public Limited Company.
The industry classification method used for purposes of this report may
differ from the industry sub-classification(s) used for Trust compliance
purposes.
- --------------------------------------------------------------------------------
79
See accompanying Notes to Financial Statements.
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
OTHER INFORMATION:
Industry Concentration
<Table>
<Caption>
% of Net Assets
---------------
Commercial Banks 13.8%
Pharmaceuticals 7.1%
Oil, Gas & Consumable
Fuels 6.8%
Insurance 4.5%
Automobiles 3.9%
Beverages 3.8%
Wireless
Telecommunication
Services 3.5%
Tobacco 3.4%
Air Freight & Logistics 3.4%
Diversified
Telecommunication
Services 3.3%
Capital Markets 3.1%
Electronic Equipment &
Instruments 3.0%
Construction Materials 3.0%
Communications Equipment 2.6%
Electric Utilities 2.2%
Gas Utilities 2.0%
Net Other Assets &
Liabilities 1.9%
Food Products 1.9%
Electrical Equipment 1.9%
Real Estate Management &
Development 1.7%
Personal Products 1.7%
Machinery 1.7%
Metals & Mining 1.6%
Aerospace & Defense 1.5%
Auto Components 1.4%
Household Products 1.3%
Commercial Services &
Supplies 1.3%
</Table>
<Table>
<Caption>
% of Net Assets
---------------
Textiles, Apparel &
Luxury Goods 1.1%
Food & Staples Retailing 1.0%
Media 0.9%
Specialty Retail 0.9%
Multiline Retail 0.9%
Construction &
Engineering 0.8%
Thrifts & Mortgage
Finance 0.8%
Building Products 0.6%
Road & Rail 0.6%
Household Durables 0.5%
Chemicals 0.5%
Hotels, Restaurants &
Leisure 0.5%
Energy Equipment &
Services 0.4%
Distributors 0.4%
Industrial Conglomerates 0.4%
Semiconductors &
Semiconductor Equipment 0.4%
IT Services 0.4%
Diversified Financial
Services 0.3%
Health Care Equipment &
Supplies 0.2%
Paper & Forest Products 0.2%
Office Electronics 0.2%
Consumer Finance 0.1%
Computers & Peripherals 0.1%
Leisure Equipment &
Products 0.1%
Marine 0.1%
Transportation
Infrastructure 0.1%
Health Care Technology 0.1%
Software 0.1%
-----------
100.0%
-----------
-----------
</Table>
- --------------------------------------------------------------------------------
80
See accompanying Notes to Financial Statements.
This page is left blank intentionally.
- --------------------------------------------------------------------------------
81
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2007 (UNAUDITED)
<Table>
- --------------------------------------------------------------------------------------------
<Caption>
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
ASSETS:
Investments
Investments at cost
Unaffiliated issuers $17,443,071 $ 34,208,898 $ 5,529,783
Affiliated issuers(1) 13,169,967 84,128,341 37,509,835
Net unrealized appreciation (depreciation)
Unaffiliated issuers (291,933) (139,431) 455,977
Affiliated issuers(1) 400,497 3,346,391 2,952,649
-----------------------------------------------
Total investments at value 30,721,602 121,544,199 46,448,244
Receivables:
Investments sold - - -
Fund shares sold 37,387 652,670 262,885
Dividends and interest 4,014 7,576 114
Other assets - - -
-----------------------------------------------
Total Assets 30,763,003 122,204,445 46,711,243
-----------------------------------------------
LIABILITIES:
Payables:
Investments purchased - - -
Upon return of securities loaned - - -
Fund shares redeemed 4,761 - 120
Accrued management fees 4,630 18,114 7,337
Accrued expenses and other payables 842 1,481 964
-----------------------------------------------
Total Liabilities 10,233 19,595 8,421
-----------------------------------------------
Net assets applicable to outstanding capital
stock $30,752,770 $122,184,850 $46,702,822
-----------------------------------------------
REPRESENTED BY:
Capital stock and additional paid-in
capital $30,296,605 $117,825,787 $42,678,159
Accumulated undistributed
(over-distributed) net investment income
(loss) 321,341 640,943 (20,974)
Accumulated net realized gain (loss) on
investments and foreign currency related
transactions 26,260 511,160 637,011
Unrealized appreciation (depreciation) of
investments (including appreciation
(depreciation) of foreign currency
related transactions) 108,564 3,206,960 3,408,626
-----------------------------------------------
Total net assets - representing net assets
applicable to outstanding capital stock $30,752,770 $122,184,850 $46,702,822
-----------------------------------------------
Number of Class Z Shares issued and
outstanding 2,833,807 10,695,026 3,878,639
-----------------------------------------------
Net asset value per share of outstanding
capital stock, offering price and
redemption price $ 10.85 $ 11.42 $ 12.04
-----------------------------------------------
</Table>
(1) See Note 10 for information on affiliated issuers.
- --------------------------------------------------------------------------------
82
See accompanying Notes to Financial Statements.
<Table>
- -------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET HIGH INCOME DIVERSIFIED INCOME LARGE CAP LARGE CAP
FUND BOND FUND FUND FUND VALUE FUND GROWTH FUND
$ 105,336,963 $815,100,850 $ 179,282,042 $ 742,836,829 $1,060,995,686 $627,129,519
-- -- -- -- -- --
-- (18,099,239) (907,427) 36,931,655 346,554,958 94,502,401
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------
105,336,963 797,001,611 178,374,615 779,768,484 1,407,550,644 721,631,920
-- 2,700,679 2,244,162 3,393,216 1,199,621 4,802,592
41,046 45,823 18 -- 2,090 15,255
240,249 6,249,728 2,877,438 4,307,895 1,827,508 550,336
-- 31,658 18,303 14,163 2,604 10,390
- -------------------------------------------------------------------------------------------------------
105,618,258 806,029,499 183,514,536 787,483,758 1,410,582,467 727,010,493
- -------------------------------------------------------------------------------------------------------
-- 13,813,387 1,902,092 8,736,477 6,373,500 4,362,752
-- 153,653,884 25,666,595 80,427,551 23,700,335 53,765,117
27,373 803,470 5,596 1,239,013 944,442 1,459,954
38,722 287,822 97,366 405,227 691,972 442,633
5,492 34,095 6,349 35,167 57,055 35,278
- -------------------------------------------------------------------------------------------------------
71,587 168,592,658 27,677,998 90,843,435 31,767,304 60,065,734
- -------------------------------------------------------------------------------------------------------
$ 105,546,671 $637,436,841 $ 155,836,538 $ 696,640,323 $1,378,815,163 $666,944,759
- -------------------------------------------------------------------------------------------------------
$ 105,546,671 $654,726,302 $ 149,525,381 $ 624,306,896 $ 945,449,531 $581,919,290
148 15,852,026 5,476,064 16,402,559 12,477,954 1,028,564
(148) (15,042,248) 1,742,520 18,999,213 74,332,853 (10,505,496)
-- (18,099,239) (907,427) 36,931,655 346,554,825 94,502,401
- -------------------------------------------------------------------------------------------------------
$ 105,546,671 $637,436,841 $ 155,836,538 $ 696,640,323 $1,378,815,163 $666,944,759
- -------------------------------------------------------------------------------------------------------
105,546,671 63,170,129 14,917,285 37,085,524 37,153,569 29,016,980
- -------------------------------------------------------------------------------------------------------
$ 1.00 $ 10.09 $ 10.45 $ 18.78 $ 37.11 $ 22.98
- -------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
83
See accompanying Notes to Financial Statements.
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2007 (UNAUDITED)
<Table>
- --------------------------------------------------------------------------------------------
<Caption>
MID CAP MID CAP
VALUE FUND GROWTH FUND
ASSETS:
Investments
Investments at cost
Unaffiliated issuers $385,134,559 $ 452,420,052
Net unrealized appreciation
Unaffiliated issuers 55,905,215 61,779,923
----------------------------------
Total investments at value 441,039,774 514,199,975
Foreign currency(2) -- --
Receivables:
Investments sold 1,736,724 4,424,337
Fund shares sold -- --
Dividends and interest 465,718 120,300
Other assets 12,660 18,982
----------------------------------
Total Assets 443,254,876 518,763,594
----------------------------------
LIABILITIES:
Unrealized depreciation on forward foreign
currency contracts -- --
Payables:
Investments purchased 1,316,768 5,581,138
Upon return of securities loaned 78,420,250 104,644,310
Fund shares redeemed 700,710 492,601
Accrued management fees 264,684 286,453
Accrued expenses and other payables 19,848 19,926
----------------------------------
Total Liabilities 80,722,260 111,024,428
----------------------------------
Net assets applicable to outstanding capital stock $362,532,616 $ 407,739,166
----------------------------------
REPRESENTED BY:
Capital stock and additional paid-in capital $275,098,574 $ 330,634,792
Accumulated undistributed (over-distributed) net
investment income (loss) 1,961,689 (937,861)
Accumulated net realized gain (loss) on
investments and foreign currency related
transactions 29,567,138 16,262,312
Unrealized appreciation (depreciation) of
investments (including appreciation
(depreciation) of foreign currency related
transactions) 55,905,215 61,779,923
----------------------------------
Total net assets - representing net assets
applicable to outstanding capital stock $362,532,616 $ 407,739,166
----------------------------------
Number of Class Z Shares issued and outstanding 19,048,551 60,511,039
----------------------------------
Net asset value per share of outstanding capital
stock, offering price and redemption price $ 19.03 $ 6.74
----------------------------------
</Table>
(1) Fund commenced investment operations on May 1, 2007.
(2) Cost of Foreign Currency of $242,393 and $975,980 for the Global Securities
and International Stock Funds, respectively.
- --------------------------------------------------------------------------------
84
See accompanying Notes to Financial Statements.
<Table>
- -----------------------------------------------------------------------------------------------
<Caption>
SMALL CAP SMALL CAP GLOBAL SECURITIES INTERNATIONAL
VALUE FUND(1) GROWTH FUND(1) FUND STOCK FUND
$ 5,160,032 $ 5,230,399 $ 70,172,792 $ 154,815,763
24,054 163,579 1,094,542 37,273,159
- -----------------------------------------------------------------------------------------------
5,184,086 5,393,978 71,267,334 192,088,922
-- -- 244,459 979,827
29,636 -- 105,855 488,953
3,504 7,007 79 83,689
8,519 2,532 98,997 368,702
-- 16 11,299 136,784
- -----------------------------------------------------------------------------------------------
5,225,745 5,403,533 71,728,023 194,146,877
- -----------------------------------------------------------------------------------------------
-- -- 30,575 --
44,654 -- 155,842 1,196,021
-- -- 9,316,620 9,370,994
22 -- 38,818 436
4,267 4,387 48,397 179,973
353 353 3,670 21,979
- -----------------------------------------------------------------------------------------------
49,296 4,740 9,593,922 10,769,403
- -----------------------------------------------------------------------------------------------
$ 5,176,449 $ 5,398,793 $ 62,134,101 $ 183,377,474
- -----------------------------------------------------------------------------------------------
$ 5,139,066 $ 5,120,273 $ 42,976,385 $ 132,326,187
10,455 4,250 541,160 1,719,435
2,874 110,691 17,519,584 12,062,504
24,054 163,579 1,096,972 37,269,348
- -----------------------------------------------------------------------------------------------
$ 5,176,449 $ 5,398,793 $ 62,134,101 $ 183,377,474
- -----------------------------------------------------------------------------------------------
513,665 511,449 4,021,556 12,281,088
- -----------------------------------------------------------------------------------------------
$ 10.08 $ 10.56 $ 15.45 $ 14.93
- -----------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
85
See accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
<Table>
- ---------------------------------------------------------------------------------------------------------
<Caption>
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
INVESTMENT INCOME:
Interest $ 1,232 $ 3,517 $ 1,030
Dividends
Unaffiliated issuers 206,007 280,633 7,985
Affiliated issuers(1) 128,266 415,808 --
Less: Foreign taxes withheld -- -- --
Securities lending income -- -- --
------------------------------------------------------------
Total investment income 335,505 699,958 9,015
------------------------------------------------------------
EXPENSES:
Management fees 16,728 71,146 34,588
Trustees' fees -- -- --
Audit fees 843 1,481 965
Compliance expense -- -- --
------------------------------------------------------------
Total expenses 17,571 72,627 35,553
------------------------------------------------------------
NET INVESTMENT INCOME 317,934 627,331 (26,538)
------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments
(including net realized gain (loss)
on foreign currency related
transactions)
Unaffiliated issuers (13,996) 485 46,264
Affiliated issuers(1) (19,552) (244,891) (206,552)
Net change in unrealized appreciation
(depreciation) on investments
(including net unrealized
appreciation (depreciation) on
foreign currency related
transactions) (35,319) 2,786,097 3,007,859
------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (68,867) 2,541,691 2,847,571
------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 249,067 $ 3,169,022 $ 2,821,033
------------------------------------------------------------
</Table>
(1) See Note 10 for information on affiliated issuers.
- --------------------------------------------------------------------------------
86
See accompanying Notes to Financial Statements.
<Table>
- ---------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET HIGH INCOME DIVERSIFIED INCOME LARGE CAP LARGE CAP
FUND BOND FUND FUND FUND VALUE FUND GROWTH FUND
$ 2,671,833 $ 17,104,319 $ 5,994,942 $ 9,975,520 $ 190,373 $ 136,536
-- -- 45,591 8,579,713 16,017,180 3,504,447
-- -- -- -- -- --
-- -- (506) (10,996) (13,786) (41,533)
-- 92,802 24,101 118,248 93,166 33,447
- ---------------------------------------------------------------------------------------------------------
2,671,833 17,197,121 6,064,128 18,662,485 16,286,933 3,632,897
- ---------------------------------------------------------------------------------------------------------
231,259 1,758,073 581,716 2,499,844 4,122,107 2,639,417
1,567 6,336 1,086 6,540 10,427 6,537
2,117 12,574 2,832 13,126 22,429 13,076
1,808 9,859 2,430 10,175 18,874 10,340
- ---------------------------------------------------------------------------------------------------------
236,751 1,786,842 588,064 2,529,685 4,173,837 2,669,370
- ---------------------------------------------------------------------------------------------------------
2,435,082 15,410,279 5,476,064 16,132,800 12,113,096 963,527
- ---------------------------------------------------------------------------------------------------------
(148) (598,718) 1,706,473 18,786,838 74,065,455 22,714,394
-- -- -- -- -- --
-- (15,870,862) (2,934,362) (22,325,658) (10,177,817) 21,778,203
- ---------------------------------------------------------------------------------------------------------
(148) (16,469,580) (1,227,889) (3,538,820) 63,887,638 44,492,597
- ---------------------------------------------------------------------------------------------------------
$ 2,434,934 $ (1,059,301) $ 4,248,175 $ 12,593,980 $ 76,000,734 $ 45,456,124
- ---------------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
87
See accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
<Table>
- -----------------------------------------------------------------------------------------------
<Caption>
MID CAP MID CAP
VALUE FUND GROWTH FUND
INVESTMENT INCOME:
Interest $ 68,608 $ 194,034
Dividends
Unaffiliated issuers 3,476,941 442,687
Less: Foreign taxes withheld -- --
Securities lending income 53,258 71,863
--------------------------------------
Total investment income 3,598,807 708,584
--------------------------------------
EXPENSES:
Management fees 1,786,781 1,626,518
Trustees' fees 4,558 4,592
Audit fees 8,370 8,366
Compliance expense 6,920 6,969
--------------------------------------
Total expenses 1,806,629 1,646,445
--------------------------------------
NET INVESTMENT INCOME (LOSS) 1,792,178 (937,861)
--------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments (including net
realized gain (loss) on foreign currency related
transactions)(1)
Unaffiliated issuers 29,238,632 13,946,349
Net change in unrealized appreciation
(depreciation) on investments (including net
unrealized appreciation (depreciation) on foreign
currency related transactions)(2) (1,786,137) 38,893,428
--------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 27,452,495 52,839,777
--------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 29,244,673 $ 51,901,916
--------------------------------------
</Table>
(1) Includes foreign capital gains taxes paid of $50,498 and $257 for the Global
Securities and International Stock Funds, respectively.
(2) Net of deferred foreign capital gains taxes of $14,449 for the International
Stock Fund.
(3) Fund commenced investment operations on May 1, 2007.
- --------------------------------------------------------------------------------
88
See accompanying Notes to Financial Statements.
<Table>
- -----------------------------------------------------------------------------------------------
<Caption>
SMALL CAP SMALL CAP GLOBAL SECURITIES INTERNATIONAL
VALUE FUND(3) GROWTH FUND(3) FUND STOCK FUND
$ 2,926 $ 2,081 $ 20,719 $ 116,435
16,326 11,145 914,989 3,205,927
-- -- (75,688) (295,781)
-- -- 25,216 6,069
- -----------------------------------------------------------------------------------------------
19,252 13,226 885,236 3,032,650
- -----------------------------------------------------------------------------------------------
8,444 8,623 279,507 1,040,762
36 36 876 1,938
277 278 1,551 3,023
40 39 1,243 2,569
- -----------------------------------------------------------------------------------------------
8,797 8,976 283,177 1,048,292
- -----------------------------------------------------------------------------------------------
10,455 4,250 602,059 1,984,358
- -----------------------------------------------------------------------------------------------
2,874 110,691 17,293,402 9,893,562
24,054 163,579 (13,545,101) 2,280,156
- -----------------------------------------------------------------------------------------------
26,928 274,270 3,748,301 12,173,718
- -----------------------------------------------------------------------------------------------
$ 37,383 $ 278,520 $ 4,350,360 $ 14,158,076
- -----------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
89
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
- --------------------------------------------------------------------------------------------------------
<Caption>
CONSERVATIVE ALLOCATION FUND MODERATE ALLOCATION FUND
------------------------------- -------------------------------
SIX MONTHS ENDED INCEPTION TO SIX MONTHS ENDED INCEPTION TO
JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31,
(UNAUDITED) 2006(1) (UNAUDITED) 2006(1)
OPERATIONS:
Net investment income (loss) $ 317,934 $ 98,808 $ 627,331 $ 291,117
Net realized gain (loss) on
investments (33,548) 77,707 (244,406) 902,711
Net change in unrealized
appreciation (depreciation) on
investments (35,319) 143,883 2,786,097 420,863
-----------------------------------------------------------------
Increase (decrease) in net assets
from operations 249,067 320,398 3,169,022 1,614,691
-----------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- (113,300) -- (419,100)
Realized gains on investments -- -- -- (5,550)
-----------------------------------------------------------------
Change in net assets from
distributions -- (113,300) -- (424,650)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 22,801,825 8,937,148 82,727,939 36,371,376
Net asset value of shares issued in
reinvestment of distributions -- 113,300 -- 424,650
-----------------------------------------------------------------
22,801,825 9,050,448 82,727,939 36,796,026
Cost of shares repurchased (1,411,019) (144,649) (705,966) (992,212)
-----------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions 21,390,806 8,905,799 82,021,973 35,803,814
-----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 21,639,873 9,112,897 85,190,995 36,993,855
-----------------------------------------------------------------
NET ASSETS:
Beginning of year $ 9,112,897 $ -- $ 36,993,855 $ --
-----------------------------------------------------------------
End of year $30,752,770 $9,112,897 $122,184,850 $36,993,855
-----------------------------------------------------------------
Undistributed net investment income
(loss) included in net assets $ 321,341 $ 3,407 $ 640,943 $ 13,612
-----------------------------------------------------------------
OTHER INFORMATION:
CLASS Z CAPITAL SHARE TRANSACTIONS:
Shares sold 2,104,492 862,835 7,350,456 3,461,875
Shares issued in reinvestment of
distributions -- 10,682 -- 39,028
-----------------------------------------------------------------
2,104,492 873,517 7,350,456 3,500,903
Shares redeemed (130,452) (13,750) (62,634) (93,699)
-----------------------------------------------------------------
Net increase (decrease) in shares
outstanding 1,974,040 859,767 7,287,822 3,407,204
-----------------------------------------------------------------
</Table>
(1) Fund commenced investment operations on June 30, 2006.
- --------------------------------------------------------------------------------
90
See accompanying Notes to Financial Statements.
<Table>
- ---------------------------------------------------------------------------------------------------
<Caption>
AGGRESSIVE ALLOCATION FUND MONEY MARKET FUND BOND FUND
- ------------------------------- ------------------------------- -------------------------------
SIX MONTHS ENDED INCEPTION TO SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31,
(UNAUDITED) 2006(1) (UNAUDITED) 2006 (UNAUDITED) 2006
$ (26,538) $ 139,587 $ 2,435,082 $ 3,988,847 $ 15,410,279 $ 29,113,858
(160,288) 936,976 (148) 50 (598,718) (888,636)
3,007,859 400,767 -- -- (15,870,862) (2,671,883)
- ---------------------------------------------------------------------------------------------------
2,821,033 1,477,330 2,434,934 3,988,897 (1,059,301) 25,553,339
- ---------------------------------------------------------------------------------------------------
-- (273,700) (2,434,934) (3,988,897) -- (29,028,791)
-- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------
-- (273,700) (2,434,934) (3,988,897) -- (29,028,791)
23,258,441 20,307,936 48,768,748 80,126,027 33,802,226 67,585,994
-- 273,700 2,434,933 3,988,897 -- 29,028,791
- ---------------------------------------------------------------------------------------------------
23,258,441 20,581,636 51,203,681 84,114,924 33,802,226 96,614,785
(923,431) (238,487) (46,119,174) (78,289,668) (54,578,692) (57,842,531)
- ---------------------------------------------------------------------------------------------------
22,335,010 20,343,149 5,084,507 5,825,256 (20,776,466) 38,772,254
- ---------------------------------------------------------------------------------------------------
25,156,043 21,546,779 5,084,507 5,825,256 (21,835,767) 35,296,802
- ---------------------------------------------------------------------------------------------------
$21,546,779 $ -- $100,462,164 $94,636,908 $659,272,608 $623,975,806
- ---------------------------------------------------------------------------------------------------
$46,702,822 $21,546,779 $105,546,671 $100,462,164 $637,436,841 $659,272,608
- ---------------------------------------------------------------------------------------------------
$ (20,974) $ 5,564 $ 148 $ -- $ 15,852,026 $ 441,747
- ---------------------------------------------------------------------------------------------------
2,017,600 1,938,411 48,768,748 80,126,027 3,326,719 6,587,751
-- 24,559 2,434,933 3,988,897 -- 2,870,750
- ---------------------------------------------------------------------------------------------------
2,017,600 1,962,970 51,203,681 84,114,924 3,326,719 9,458,501
(79,300) (22,631) (46,119,174) (78,289,668) (5,381,693) (5,612,752)
- ---------------------------------------------------------------------------------------------------
1,938,300 1,940,339 5,084,507 5,825,256 (2,054,974) 3,845,749
- ---------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
91
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
- ---------------------------------------------------------------------------------------------------------
<Caption>
HIGH INCOME FUND DIVERSIFIED INCOME FUND
------------------------------- --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
OPERATIONS:
Net investment income $ 5,476,064 $10,256,810 $ 16,132,800 $ 18,878,468
Net realized gain on investments 1,706,473 475,935 18,786,838 84,996,412
Net change in unrealized
appreciation (depreciation) on
investments (2,934,362) 1,828,587 (22,325,658) (33,698,320)
------------------------------------------------------------------
Increase in net assets from
operations 4,248,175 12,561,332 12,593,980 70,176,560
------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- (10,375,136) -- (18,856,543)
Realized gains on investments -- (139,257) -- (80,756,300)
------------------------------------------------------------------
Change in net assets from
distributions -- (10,514,393) -- (99,612,843)
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 4,587,021 16,932,242 5,701,230 12,700,806
Net asset value of shares issued in
reinvestment of distributions -- 10,514,393 -- 99,612,843
------------------------------------------------------------------
4,587,021 27,446,635 5,701,230 112,313,649
Cost of shares repurchased (6,256,374) (10,267,913) (57,535,574) (132,297,562)
------------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions (1,669,353) 17,178,722 (51,834,344) (19,983,913)
------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 2,578,822 19,225,661 (39,240,364) (49,420,196)
------------------------------------------------------------------
NET ASSETS:
Beginning of year $153,257,716 $134,032,055 $735,880,687 $ 785,300,883
------------------------------------------------------------------
End of year $155,836,538 $153,257,716 $696,640,323 $ 735,880,687
------------------------------------------------------------------
Undistributed net investment income
included in net assets $ 5,476,064 $ -- $ 16,402,559 $ 269,759
------------------------------------------------------------------
OTHER INFORMATION:
CLASS Z CAPITAL SHARE TRANSACTIONS:
Shares sold 437,372 1,644,455 306,221 638,188
Shares issued in reinvestment of
distributions -- 1,033,732 -- 5,381,664
------------------------------------------------------------------
437,372 2,678,187 306,221 6,019,852
Shares redeemed (600,289) (991,123) (3,078,670) (6,631,908)
------------------------------------------------------------------
Net increase (decrease) in shares
outstanding (162,917) 1,687,064 (2,772,449) (612,056)
------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
92
See accompanying Notes to Financial Statements.
<Table>
- -----------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND
- --------------------------------- ------------------------------- -------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
$ 12,113,096 $ 24,669,545 $ 963,527 $ 2,354,937 $ 1,792,178 $ 3,531,144
74,065,455 88,090,337 22,714,394 27,685,491 29,238,632 42,468,573
(10,177,817) 131,135,559 21,778,203 20,661,528 (1,786,137) 2,922,456
- -----------------------------------------------------------------------------------------------------
76,000,734 243,895,441 45,456,124 50,701,956 29,244,673 48,922,173
- -----------------------------------------------------------------------------------------------------
-- (24,606,850) -- (2,423,723) -- (3,321,001)
-- (84,954,200) -- -- -- (42,531,370)
- -----------------------------------------------------------------------------------------------------
-- (109,561,050) -- (2,423,723) -- (45,852,371)
16,335,933 44,040,409 8,820,669 25,527,442 20,433,878 52,353,692
-- 109,561,050 -- 2,423,723 -- 45,852,371
- -----------------------------------------------------------------------------------------------------
16,335,933 153,601,459 8,820,669 27,951,165 20,433,878 98,206,063
(104,299,379) (137,026,386) (57,092,925) (95,280,146) (30,358,610) (33,341,844)
- -----------------------------------------------------------------------------------------------------
(87,963,446) 16,575,073 (48,272,256) (67,328,981) (9,924,732) 64,864,219
- -----------------------------------------------------------------------------------------------------
(11,962,712) 150,909,464 (2,816,132) (19,050,748) 19,319,941 67,934,021
- -----------------------------------------------------------------------------------------------------
$1,390,777,875 $1,239,868,411 $669,760,891 $688,811,639 $343,212,675 $275,278,654
- -----------------------------------------------------------------------------------------------------
$1,378,815,163 $1,390,777,875 $666,944,759 $669,760,891 $362,532,616 $343,212,675
- -----------------------------------------------------------------------------------------------------
$ 12,477,954 $ 364,858 $ 1,028,564 $ 65,037 $ 1,961,689 $ 169,511
- -----------------------------------------------------------------------------------------------------
459,341 1,273,440 399,842 1,254,575 1,113,315 2,809,593
-- 3,102,605 -- 113,097 -- 2,599,101
- -----------------------------------------------------------------------------------------------------
459,341 4,376,045 399,842 1,367,672 1,113,315 5,408,694
(2,888,824) (4,000,830) (2,577,706) (4,657,943) (1,627,121) (1,758,756)
- -----------------------------------------------------------------------------------------------------
(2,429,483) 375,215 (2,177,864) (3,290,271) (513,806) 3,649,938
- -----------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
93
See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
- ------------------------------------------------------------------------------------------------------
<Caption>
MID CAP GROWTH FUND SMALL CAP VALUE FUND
---------------------------------------- --------------------
SIX MONTHS ENDED INCEPTION TO
JUNE 30, 2007 YEAR ENDED JUNE 30, 2007(1)
(UNAUDITED) DECEMBER 31, 2006 (UNAUDITED)
OPERATIONS:
Net investment income (loss) $ (937,861) $ (843,809) $ 10,455
Net realized gain on investments 13,946,349 79,600,979 2,874
Net change in unrealized
appreciation (depreciation) on
investments 38,893,428 (39,669,854) 24,054
---------------------------------------------------------------
Increase in net assets from
operations 51,901,916 39,087,316 37,383
---------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- --
Realized gains on investments -- (82,043,836) --
---------------------------------------------------------------
Change in net assets from
distributions -- (82,043,836) --
CLASS Z SHARE TRANSACTIONS:
Proceeds from sale of shares 11,663,961 29,731,478 5,139,154
Net asset value of shares issued in
reinvestment of distributions -- 82,043,836 --
---------------------------------------------------------------
11,663,961 111,775,314 5,139,154
Cost of shares repurchased (29,871,164) (68,695,721) (88)
---------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions (18,207,203) 43,079,593 5,139,066
---------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 33,694,713 123,073 5,176,449
---------------------------------------------------------------
NET ASSETS:
Beginning of year $374,044,453 $373,921,380 $ --
---------------------------------------------------------------
End of year $407,739,166 $374,044,453 $5,176,449
---------------------------------------------------------------
Undistributed net investment income
(loss) included in net assets $ (937,861) $ -- $ 10,455
---------------------------------------------------------------
OTHER INFORMATION:
CLASS Z CAPITAL SHARE TRANSACTIONS:
Shares sold 1,814,737 4,285,955 513,673
Shares issued in reinvestment of
distributions -- 13,750,896 --
---------------------------------------------------------------
1,814,737 18,036,851 513,673
Shares redeemed (4,818,178) (9,991,053) (8)
---------------------------------------------------------------
Net increase (decrease) in shares
outstanding (3,003,441) 8,045,798 513,665
---------------------------------------------------------------
</Table>
(1) Fund commenced investment operations on May 1, 2007.
- --------------------------------------------------------------------------------
94
See accompanying Notes to Financial Statements.
<Table>
- ---------------------------------------------------------------------------------------------------
<Caption>
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND
- --------------------- ------------------------------------ ------------------------------------
INCEPTION TO SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 2007(1) JUNE 30, 2007 YEAR ENDED JUNE 30, 2007 YEAR ENDED
(UNAUDITED) (UNAUDITED) DECEMBER 31, 2006 (UNAUDITED) DECEMBER 31, 2006
$ 4,250 $ 602,059 $ 509,965 $ 1,984,358 $ 2,019,678
110,691 17,293,402 2,040,066 9,893,562 15,831,931
163,579 (13,545,101) 5,518,034 2,280,156 11,860,875
- ---------------------------------------------------------------------------------------------------
278,520 4,350,360 8,068,065 14,158,076 29,712,484
- ---------------------------------------------------------------------------------------------------
-- -- (618,723) -- (2,154,721)
-- -- (2,135,512) -- (14,884,822)
- ---------------------------------------------------------------------------------------------------
-- -- (2,754,235) -- (17,039,543)
5,120,295 3,084,233 12,174,171 10,147,070 35,254,910
-- -- 2,754,235 -- 17,039,543
- ---------------------------------------------------------------------------------------------------
5,120,295 3,084,233 14,928,406 10,147,070 52,294,453
(22) (2,520,755) (5,471,633) (6,631,425) (7,745,333)
- ---------------------------------------------------------------------------------------------------
5,120,273 563,478 9,456,773 3,515,645 44,549,120
- ---------------------------------------------------------------------------------------------------
5,398,793 4,913,838 14,770,603 17,673,721 57,222,061
- ---------------------------------------------------------------------------------------------------
$ - $ 57,220,263 $42,449,660 $165,703,753 $108,481,692
- ---------------------------------------------------------------------------------------------------
$5,398,793 $ 62,134,101 $57,220,263 $183,377,474 $165,703,753
- ---------------------------------------------------------------------------------------------------
$ 4,250 $ 541,160 $ (60,899) $ 1,719,435 $ (264,923)
- ---------------------------------------------------------------------------------------------------
511,451 208,707 894,005 721,242 2,588,160
-- -- 195,806 -- 1,238,302
- ---------------------------------------------------------------------------------------------------
511,451 208,707 1,089,811 721,242 3,826,462
(2) (171,019) (404,386) (463,806) (566,766)
- ---------------------------------------------------------------------------------------------------
511,449 37,688 685,425 257,436 3,259,696
- ---------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
95
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- -------------------------------------------------------------------------------------------
<Caption>
CONSERVATIVE ALLOCATION FUND
------------------------------
SIX MONTHS
Ended 06/30/07 Inception to
(unaudited) 12/31/06(1)
NET ASSET VALUE at beginning of period $ 10.60 $10.00
------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.20 0.23
Net realized and unrealized gain on investments 0.05 0.51
------------------------------
Total from investment operations 0.25 0.74
------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income -- (0.14)
------------------------------
Net increase in net asset value 0.25 0.60
------------------------------
NET ASSET VALUE at end of period $ 10.85 $10.60
------------------------------
TOTAL RETURN(3) 2.34%(4) 7.34%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $30,753 $9,113
Ratio of expenses to average net assets 0.21%(5) 0.24%(5)
Ratio of net investment income to average net assets 3.80%(5) 4.25%(5)
Portfolio Turnover 41%(4) 24%(4)
</Table>
<Table>
- -------------------------------------------------------------------------------------------
<Caption>
MODERATE ALLOCATION FUND
------------------------------
SIX MONTHS
Ended 06/30/07 Inception to
(unaudited) 12/31/06(1)
NET ASSET VALUE at beginning of period $ 10.86 $ 10.00
------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.10 0.20
Net realized and unrealized gain on investments 0.46 0.79
------------------------------
Total from investment operations 0.56 0.99
------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income -- (0.13)
Distributions from capital gains -- (0.00)(6)
Total distributions -- (0.13)
------------------------------
Net increase in net asset value 0.56 0.86
------------------------------
NET ASSET VALUE at end of period $ 11.42 $ 10.86
------------------------------
TOTAL RETURN(3) 5.19%(4) 9.87%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $122,185 $ 36,994
Ratio of expenses to average net assets 0.20%(5) 0.24%(5)
Ratio of net investment income to average net assets 1.76%(5) 3.74%(5)
Portfolio Turnover 18%(4) 23%(4)
</Table>
- ----------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Based on average shares outstanding during the year.
(3) 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.
(4) Not annualized.
(5) Annualized.
(6) Amount represents less than $0.005 per share.
- --------------------------------------------------------------------------------
96
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- ------------------------------------------------------------------------------------------
<Caption>
AGGRESSIVE ALLOCATION FUND
-----------------------------
SIX MONTHS
Ended 06/30/07 Inception to
(unaudited) 12/31/06(1)
NET ASSET VALUE at beginning of period $ 11.10 $ 10.00
-----------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)(2) (0.01) 0.15
Net realized and unrealized gain on investments 0.95 1.10
-----------------------------
Total from investment operations 0.94 1.25
-----------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.15)
-----------------------------
Net increase in net asset value 0.94 1.10
-----------------------------
NET ASSET VALUE at end of period $ 12.04 $ 11.10
-----------------------------
TOTAL RETURN(3) 8.42%(4) 12.49%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 46,703 $ 21,547
Ratio of expenses to average net assets 0.21%(5) 0.23%(5)
Ratio of net investment income to average net assets (0.15)%(5) 2.71%(5)
Portfolio Turnover 19%(4) 21%(4)
</Table>
<Table>
- -------------------------------------------------------------------------------------------------------
<Caption>
MONEY MARKET FUND
-----------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 ------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning
of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income(2) 0.02 0.04 0.03 0.01 0.01 0.01
Net realized and unrealized
gain on investments - - - 0.00(6) 0.00(6) 0.00(6)
-----------------------------------------------------------------------
Total from investment
operations 0.02 0.04 0.03 0.01 0.01 0.01
-----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.02) (0.04) (0.03) (0.01) (0.01) (0.01)
Net increase (decrease) in net
asset value - - - - - -
-----------------------------------------------------------------------
NET ASSET VALUE at end of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-----------------------------------------------------------------------
TOTAL RETURN(3) 2.38%(4) 4.54% 2.78% 0.92% 0.75% 1.50%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period
(in 000's) $105,547 $100,462 $94,637 $129,004 $141,376 $177,443
Ratio of expenses to average
net assets 0.46%(5) 0.46% 0.46% 0.45% 0.45% 0.45%
Ratio of net investment income
to average net assets 4.74%(5) 4.42% 2.73% 0.90% 0.75% 1.45%
</Table>
- ----------------------------------
(1) Commenced investment operations June 30, 2006.
(2) Based on average shares outstanding during the year.
(3) 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.
(4) Not annualized.
(5) Annualized.
(6) Amount represents less than $0.005 per share.
- --------------------------------------------------------------------------------
97
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- ------------------------------------------------------------------------------------------------------------
<Caption>
BOND FUND
--------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 -------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59 $ 10.20
--------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income(1) 0.24 0.47 0.42 0.42 0.46 0.54
Net realized and unrealized
gain (loss) on investments (0.26) (0.06) (0.16) (0.07) (0.14) 0.32
--------------------------------------------------------------------------
Total from investment
operations (0.02) 0.41 0.26 0.35 0.32 0.86
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net
investment income - (0.47) (0.43) (0.44) (0.48) (0.47)
--------------------------------------------------------------------------
Net increase (decrease) in net
asset value (0.02) (0.06) (0.17) (0.09) (0.16) 0.39
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.09 $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59
--------------------------------------------------------------------------
TOTAL RETURN(2) (0.17)%(3) 4.01% 2.51% 3.36% 3.05% 8.55%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $637,437 $659,273 $623,976 $574,156 $552,311 $553,494
Ratio of expenses to average net
assets 0.56%(4) 0.56% 0.56% 0.55% 0.55% 0.55%
Ratio of net investment income to
average net assets 4.82%(4) 4.54% 4.06% 4.02% 4.29% 5.14%
Portfolio Turnover 22%(3) 27% 51% 67% 82% 78%
</Table>
<Table>
- ---------------------------------------------------------------------------------------------------------
<Caption>
HIGH INCOME FUND
----------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 -----------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04 $ 9.41
----------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income(1) 0.37 0.74 0.68 0.74 0.72 0.71
Net realized and unrealized gain
(loss) on investments (0.08) 0.16 (0.42) 0.16 0.93 (0.44)
----------------------------------------------------------------------
Total from investment
operations 0.29 0.90 0.26 0.90 1.65 0.27
----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net
investment income - (0.74) (0.65) (0.66) (0.53) (0.64)
Distributions from capital gains - (0.01) - - - -
----------------------------------------------------------------------
Total distributions - (0.75) (0.65) (0.66) (0.53) (0.64)
----------------------------------------------------------------------
Net increase (decrease) in net
asset value 0.29 0.15 (0.39) 0.24 1.12 (0.37)
----------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.45 $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04
----------------------------------------------------------------------
TOTAL RETURN(2) 2.79%(3) 9.03% 2.51% 8.92% 18.46% 3.06%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $155,837 $153,528 $134,032 $118,318 $88,240 $25,850
Ratio of expenses to average net
assets 0.76%(4) 0.77% 0.76% 0.76% 0.75% 0.76%
Ratio of net investment income to
average net assets 7.06%(4) 7.12% 6.47% 7.08% 7.29% 7.64%
Portfolio Turnover 38%(3) 64% 86%(5) 58% 45% 38%
</Table>
- ----------------------------------
(1) Based on average shares outstanding during the year.
(2) 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.
(3) Not annualized.
(4) Annualized.
(5) Subadviser change February 28, 2005.
- --------------------------------------------------------------------------------
98
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- ---------------------------------------------------------------------------------------------------------
<Caption>
DIVERSIFIED INCOME FUND
---------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 ----------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85 $ 18.42
---------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.42 0.49 0.42 0.43 0.45 0.53
Net realized and unrealized gain
(loss) on investments (0.10) 1.45 0.32 1.08 2.18 (2.58)
---------------------------------------------------------------------
Total from investment operations 0.32 1.94 0.74 1.51 2.63 (2.05)
---------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income -- (0.55) (0.45) (0.44) (0.44) (0.52)
Distributions from capital gains -- (2.33) -- -- -- (0.00)(3)
---------------------------------------------------------------------
Total distributions -- (2.88) (0.45) (0.44) (0.44) (0.52)
---------------------------------------------------------------------
Net increase (decrease) in net
asset value 0.32 (0.94) 0.29 1.07 2.19 (2.57)
---------------------------------------------------------------------
NET ASSET VALUE at end of period $ 18.78 $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85
---------------------------------------------------------------------
TOTAL RETURN(2) 1.74%(4) 9.98%(6) 3.89% 8.34% 16.82% (11.13)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $696,640 $735,881 $785,301 $785,856 $712,180 $592,243
Ratio of expenses to average net
assets 0.71%(5) 0.71% 0.71% 0.70% 0.70% 0.70%
Ratio of net investment income to
average net assets 4.52%(5) 2.52% 2.18% 2.34% 2.66% 3.12%
Portfolio Turnover 28%(4) 62% 52% 38% 39% 50%
</Table>
<Table>
- -----------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP VALUE FUND
-----------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 ------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20 $ 28.73
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.32 0.65 0.54 0.46 0.40 0.35
Net realized and unrealized gain
(loss) on investments 1.65 5.87 1.16 2.95 5.31 (6.53)
-----------------------------------------------------------------------------
Total from investment operations 1.97 6.52 1.70 3.41 5.71 (6.18)
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income -- (0.67) (0.55) (0.46) (0.39) (0.35)
Distributions from capital gains -- (2.33) -- -- -- --
-----------------------------------------------------------------------------
Total distributions -- (3.00) (0.55) (0.46) (0.39) (0.35)
-----------------------------------------------------------------------------
Net increase (decrease) in net
asset value 1.97 3.52 1.15 2.95 5.32 (6.53)
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 37.11 $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20
-----------------------------------------------------------------------------
TOTAL RETURN(2) 5.62%(4) 20.55% 5.58% 12.43% 25.89% (21.55)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $1,378,815 $1,390,778 $1,239,868 $1,205,082 $1,065,972 $764,895
Ratio of expenses to average net
assets 0.61%(5) 0.61% 0.61% 0.60% 0.60% 0.60%
Ratio of net investment income to
average net assets 1.76%(5) 1.91% 1.74% 1.67% 1.69% 1.39%
Portfolio Turnover 22%(4) 35% 28% 15% 17% 18%
</Table>
- ----------------------------------
(1) Based on average shares outstanding during the year.
(2) 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.
(3) Amount represents less than $0.005 per share.
(4) Not annualized.
(5) Annualized.
(6) In 2006, 0.01% of the Fund's total return consisted of a voluntary
reimbursement by the Adviser for a realized investment loss. Excluding this
reimbursement, the total return would have been 9.97%.
- --------------------------------------------------------------------------------
99
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP GROWTH FUND
--------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 ---------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15 $ 20.70
--------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income(1) 0.03 0.07 0.17 0.15 0.07 0.04
Net realized and unrealized gain
(loss) on investments 1.48 1.51 0.30 1.48 4.05 (6.54)
--------------------------------------------------------------------------------
Total from investment
operations 1.51 1.58 0.47 1.63 4.12 (6.50)
--------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net
investment income -- (0.08) (0.18) (0.14) (0.08) (0.04)
Distributions from capital gains -- -- -- -- -- (0.01)
--------------------------------------------------------------------------------
Total distributions -- (0.08) (0.18) (0.14) (0.08) (0.05)
--------------------------------------------------------------------------------
Net increase (decrease) in net
asset value 1.51 1.50 0.29 1.49 4.04 (6.55)
--------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 22.98 $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15
--------------------------------------------------------------------------------
TOTAL RETURN(2) 7.05%(3) 7.88% 2.42% 8.94% 29.13% (31.41)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $666,945 $669,761 $688,812 $693,762 $617,603 $592,512
Ratio of expenses to average net
assets 0.81%(4) 0.81% 0.81% 0.80% 0.80% 0.80%
Ratio of net investment income to
average net assets 0.29%(4) 0.35% 0.86% 0.82% 0.47% 0.25%
Portfolio Turnover 37%(3) 87% 73% 26% 29% 27%
</Table>
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
MID CAP VALUE FUND
--------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 ---------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22 $ 13.94
--------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income(1) 0.09 0.20 0.11 0.18 0.07 0.07
Net realized and unrealized gain
(loss) on investments 1.40 2.74 1.61 2.14 3.43 (2.51)
--------------------------------------------------------------------------------
Total from investment
operations 1.49 2.94 1.72 2.32 3.50 (2.44)
--------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net
investment income -- (0.20) (0.11) (0.15) (0.06) (0.06)
Distributions from capital gains -- (2.50) (0.89) (0.25) -- (0.22)
--------------------------------------------------------------------------------
Total distributions -- (2.70) (1.00) (0.40) (0.06) (0.28)
--------------------------------------------------------------------------------
Net increase (decrease) in net
asset value 1.49 0.24 0.72 1.92 3.44 (2.72)
--------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 19.03 $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22
--------------------------------------------------------------------------------
TOTAL RETURN(2) 8.34%(3) 16.96% 10.32% 15.86% 31.21% (17.41)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $362,533 $343,213 $275,279 $218,060 $158,698 $102,589
Ratio of expenses to average net
assets 1.01%(4) 1.01% 1.01% 1.00% 1.00% 1.01%
Ratio of net investment income to
average net assets 1.00%(4) 1.12% 0.62% 1.20% 0.57% 0.54%
Portfolio Turnover 40%(3) 95% 29% 25% 22% 33%
</Table>
- ----------------------------------
(1) Based on average shares outstanding during the year.
(2) 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.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
100
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
MID CAP GROWTH FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 --------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67 $ 6.24
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.02) (0.02) (0.01) 0.00(4) (0.01) 0.00(4)
Net realized and unrealized gain
(loss) on investments 0.87 0.78 0.59 0.81 1.57 (1.57)
-------------------------------------------------------------------------------
Total from investment operations 0.85 0.76 0.58 0.81 1.56 (1.57)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income -- -- -- (0.00)(4) (0.00)(4) (0.00)(4)
Distributions from capital gains -- (1.61) (0.64) (0.21) (0.03) --
-------------------------------------------------------------------------------
Total distributions -- (1.61) (0.64) (0.21) (0.03) (0.00)
-------------------------------------------------------------------------------
Net increase (decrease) in net
asset value 0.85 (0.85) (0.06) 0.60 1.53 (1.57)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 6.74 $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67
-------------------------------------------------------------------------------
TOTAL RETURN(3) 14.42%(5) 11.38% 8.75% 13.41% 33.41% (25.21)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $407,739 $374,044 $373,921 $336,673 $268,929 $75,503
Ratio of expenses to average net
assets 0.86%(6) 0.86% 0.86% 0.85% 0.85% 0.86%
Ratio of net investment income to
average net assets (0.49)%(6) (0.22)% (0.13)% 0.04% (0.19)% 0.03%
Portfolio Turnover 50%(5) 204% 88% 77% 118% 157%
</Table>
<Table>
- ---------------------------------------------------------------
<Caption>
SMALL CAP VALUE FUND
---------------------------
INCEPTION
to 06/30/07(1)
(unaudited)
NET ASSET VALUE at beginning of
period $ 10.00
--------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.02
Net realized and unrealized gain
on investments 0.06
--------------
Total from investment operations 0.08
--------------
Net increase in net asset value 0.08
--------------
NET ASSET VALUE at end of period $ 10.08
--------------
TOTAL RETURN(3) 0.78%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $ 5,176
Ratio of expenses to average net
assets 1.04%(6)
Ratio of net investment income to
average net assets 1.24%(6)
Portfolio Turnover 2%(5)
</Table>
- ----------------------------------
(1) Commenced investment operations May 1, 2007.
(2) Based on average shares outstanding during the year.
(3) 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.
(4) Amount represents less than $0.005 per share.
(5) Not annualized.
(6) Annualized.
- --------------------------------------------------------------------------------
101
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
SMALL CAP GROWTH FUND
---------------------------
INCEPTION
to 06/30/07(1)
(unaudited)
NET ASSET VALUE at beginning of
period $10.00
--------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.01
Net realized and unrealized gain
on investments 0.55
--------------
Total from investment operations 0.56
--------------
Net increase in net asset value 0.56
--------------
NET ASSET VALUE at end of period $10.56
--------------
TOTAL RETURN(3) 5.56%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $5,399
Ratio of expenses to average net
assets 1.04%(5)
Ratio of net investment income to
average net assets 0.49%(5)
Portfolio Turnover 32%(4)
</Table>
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
GLOBAL SECURITIES FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 --------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94 $ 8.91
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.15 0.14 0.09 0.06 0.05 0.04
Net realized and unrealized gain
(loss) on investments 0.94 2.07 1.52 1.73 2.80 (1.98)
-------------------------------------------------------------------------------
Total from investment operations 1.09 2.21 1.61 1.79 2.85 (1.94)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income -- (0.16) (0.09) (0.02) (0.07) (0.03)
Distributions from capital gains -- (0.56) (0.14) -- -- --
-------------------------------------------------------------------------------
Total distributions -- (0.72) (0.23) (0.02) (0.07) (0.03)
-------------------------------------------------------------------------------
Net increase (decrease) in net
asset value 1.09 1.49 1.38 1.77 2.78 (1.97)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 15.45 $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94
-------------------------------------------------------------------------------
TOTAL RETURN(3) 7.52%(4) 17.38% 13.97% 18.42% 41.24% (21.77)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $62,134 $57,220 $42,450 $29,979 $18,091 $10,174
Ratio of expenses to average net
assets 0.96%(5) 0.97% 0.97% 0.96% 0.96% 0.96%
Ratio of net investment income to
average net assets 2.05%(5) 1.01% 0.80% 0.60% 0.66% 0.55%
Portfolio Turnover 105%(4,6) 21% 27% 18% 35% 37%
</Table>
- ----------------------------------
(1) Commenced investment operations May 1, 2007.
(2) Based on average shares outstanding during the year.
(3) 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.
(4) Not annualized.
(5) Annualized.
(6) Subadviser change May 1, 2007.
- --------------------------------------------------------------------------------
102
See accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
<Table>
- -------------------------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL STOCK FUND
-------------------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED DECEMBER 31,
Ended 06/30/07 --------------------------------------------------------------
(unaudited) 2006 2005 2004 2003 2002
NET ASSET VALUE at beginning of
period $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19 $ 7.89
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) 0.16 0.19 0.17 0.12 0.11 0.09
Net realized and unrealized gain
(loss) on investments 0.99 2.78 1.71 1.84 2.30 (0.72)
-------------------------------------------------------------------------------
Total from investment operations 1.15 2.97 1.88 1.96 2.41 (0.63)
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment
income -- (0.20) (0.15) (0.14) (0.05) (0.07)
Distributions from capital gains -- (1.37) (0.71) -- -- --
Return of Capital -- -- -- -- (0.01) --
-------------------------------------------------------------------------------
Total distributions -- (1.57) (0.86) (0.14) (0.06) (0.07)
-------------------------------------------------------------------------------
Net increase (decrease) in net
asset value 1.15 1.40 1.02 1.82 2.35 (0.70)
-------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.93 $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19
-------------------------------------------------------------------------------
TOTAL RETURN(2) 8.35%(3) 24.19% 16.53% 20.48% 33.61% (7.98)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in
000's) $183,377 $165,704 $108,482 $78,477 $56,606 $19,959
Ratio of expenses to average net
assets 1.21%(4) 1.22% 1.21% 1.21% 1.21% 1.21%
Ratio of net investment income to
average net assets 2.29%(4) 1.48% 1.47% 1.16% 1.38% 1.15%
Portfolio Turnover 27%(3) 62% 52% 46% 33% 38%
</Table>
- ----------------------------------
(1) Based on average shares outstanding during the year.
(2) 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.
(3) Not annualized.
(4) Annualized.
- --------------------------------------------------------------------------------
103
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 15 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, Diversified Income Fund, Large Cap
Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund,
Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund,
International Stock Fund (collectively, the "Core Funds"), and the Conservative
Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund
(collectively, the "Allocation Funds"). The Small Cap Value and Small Cap Growth
Funds commenced operations on May 1, 2007. The Declaration of Trust permits the
Board of 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.
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 listed or traded 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
- --------------------------------------------------------------------------------
104
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; depository
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.
In July 2006, the Financial Accounting Standards Board ("FASB") issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes -- an
Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 addresses the
accounting for uncertainty in income taxes and establishes for all entities,
including pass-through entities, such as the funds, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing tax
returns (including whether an entity is taxable in a particular jurisdiction).
As required, the funds adopted FIN 48 effective June 29, 2007 for all open tax
years and have determined that no material uncertain tax positions exist. As a
result, the funds have not recorded any liabilities for material unrecognized
tax benefits as of June 30, 2007. It is the funds' policy to recognize accrued
interest and penalties related to uncertain tax benefits in income taxes, as
appropriate. Tax years that remain open to examination by major tax
jurisdictions include 2003 through 2006.
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, 2007,
none of the funds have 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 its rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e., market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
The 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.
- --------------------------------------------------------------------------------
105
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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: The Core Funds, 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,
2007, the Global Securities Fund had open forward foreign currency exchange
contracts.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
liquid high grade debt securities in a segregated account with the fund's
custodian in an amount equal to the value of the fund's total assets committed
to the consummation of the forward contract. If the value of the securities in
the segregated account declines, additional cash or securities will be placed in
the segregated account so that the value of the account will equal the amount of
the fund's commitment with respect to the contract.
FUTURES CONTRACTS: The Core Funds, 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, 2007,
none of the funds have open futures contracts.
DELAYED DELIVERY SECURITIES: The Core Funds 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, 2007, the Bond, High Income and Diversified Income Funds 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.
NEW ACCOUNTING PRONOUNCEMENTS: FASB also issued Statement of Financial
Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), in September
2006, which is effective for fiscal years beginning after November 15, 2007. FAS
157 defines fair value, establishes a framework for measuring fair value and
expands financial statement disclosures about fair value measurements.
Management is currently evaluating the application of FAS 157 to the funds, and
is not in a position at this time to estimate the significance of its impact, if
any, on the funds' financial statements.
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
- --------------------------------------------------------------------------------
106
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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, Small Cap Value Fund, Small 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: .45% for the
Money Market Fund, .55% for the Bond Fund, .75% for the High Income Fund, .70%
for the Diversified Income Fund, .60% for the Large Cap Value Fund, .80% for the
Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, .85% for the Mid Cap
Growth Fund, 1.00% for Small Cap Value Fund, 1.00% for Small Cap Growth Fund,
..95% for the Global Securities Fund, 1.20% for the International Stock Fund, and
..20% for the Conservative Allocation Fund, Moderate Allocation Fund and
Aggressive Allocation Fund.
MCA is solely responsible for the payment of all fees to the Subadvisers. The
Subadvisers for the funds are Shenkman Capital Management, Inc. for the High
Income Fund, Wellington Management Company, LLP for a portion of the Mid Cap
Value Fund, the entire Mid Cap Growth Fund and Small Cap Value Fund, Paradigm
for the Small Cap Growth Fund, Mondrian Investment Partners Limited (effective
May 1, 2007) 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, Diversified Income Fund, Large Cap Growth Fund, Large Cap Value
Fund, Money Market Fund, Conservative Allocation Fund, Moderate Allocation Fund
and the 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 Board of
Trustees' chairman 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
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,
Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap
Value Fund, Mid Cap Growth Fund, Mid Cap Value Fund, Small Cap Value Fund, Small
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.
- --------------------------------------------------------------------------------
107
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
5. SECURITIES TRANSACTIONS
For the six months ended June 30, 2007, 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
- ---- --------- ----- --------- -----
Conservative Allocation $ -- $ -- $ 28,382,094 $ 7,040,544
Moderate Allocation -- -- 94,282,987 12,964,121
Aggressive Allocation -- -- 28,511,439 6,442,899
Bond 113,233,137 104,291,247 16,413,716 38,212,728
High Income -- -- 61,540,041 56,765,050
Diversified Income 58,921,649 71,908,995 131,643,904 172,965,179
Large Cap Value -- -- 298,064,436 374,069,959
Large Cap Growth -- -- 242,685,731 284,263,458
Mid Cap Value -- -- 142,986,216 151,355,915
Mid Cap Growth -- -- 189,865,796 209,872,657
Small Cap Value(1) -- -- 5,143,411 106,209
Small Cap Growth(1) -- -- 6,723,903 1,688,368
Global Securities -- -- 61,977,052 60,937,057
International Stock -- -- 54,366,599 45,189,154
</Table>
- ----------------------------------
(1) Commenced investment operations on May 1, 2007.
6. FOREIGN SECURITIES
The Core Funds 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 American Depositary Receipts ("ADRs"), European
Depositary Receipts ("EDRs"), Global Depositary Receipts ("GDRs"), Swedish
Depositary Receipts ("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 funds have reclaim receivable balances, in which the funds are due a
reclaim on the taxes that have been paid to some foreign jurisdictions. The
values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
7. SECURITIES LENDING
The Core Funds, 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, 2007, cash collateral received for
funds engaged in securities lending was invested in the State Street Navigator
Securities Lending Prime Portfolio. Additionally, the Bond, Diversified Income,
Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth and Global
Securities Funds received non-cash collateral, which they are not permitted to
sell or repledge, in the amounts of $16,940,210, $6,449,139, $7,895,742,
$14,390,300, $2,276,472, $2,503,215 and $1,534,764, 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.
- --------------------------------------------------------------------------------
108
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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, 2007 is as follows:
<Table>
<Caption>
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Bond $167,148,340
High Income 25,139,603
Diversified Income 85,082,785
Large Cap Value 30,870,270
Large Cap Growth 66,556,638
</Table>
<Table>
<Caption>
FUND VALUE OF SECURITIES ON LOAN
- ---- ---------------------------
Mid Cap Value $ 78,753,446
Mid Cap Growth 104,776,714
Global Securities 10,396,411
International 8,918,506
</Table>
The primary risk associated with securities lending is if the borrower defaults
on its obligation to return the securities loaned because of insolvency or other
reasons, the funds could experience delays and costs in recovering securities
loaned or in gaining access to the collateral.
8. TAX INFORMATION
For federal income tax purposes, the funds listed below have capital loss
carryovers as of December 31, 2006, which are available to offset future capital
gains, if any:
<Table>
<Caption>
CARRYOVER EXPIRING IN:
----------------------
2007 2008 2009 2010 2011 2012 2013 2014
---- ---- ---- ---- ---- ---- ---- ----
Bond $235,991 $7,577,224 $ -- $1,857,702 $ 104,606 $1,560,242 $1,445,891 $816,322
Large Cap Growth -- -- -- -- 31,762,903 -- -- --
</Table>
The High Income, Diversified Income, Large Cap Value and Large Cap Growth Funds,
utilized $275,264, $2,061,005, $2,762,950 and $29,127,421, respectively, of
prior capital loss carryovers during the year ended December 31, 2006.
After October 31, 2006, the following funds had capital and currency losses in
the following amounts:
<Table>
<Caption>
POST-OCTOBER CURRENCY LOSSES
----------------------------
Global Securities $ 4,112
International Stock 23,001
</Table>
For federal income tax purposes, these amounts are deferred and deemed to have
occurred in the next fiscal year.
At June 30, 2007, 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
- ---- ------------ ------------ ---
Conservative Allocation $ 439,691 $ (359,193) $ 80,498
Moderate Allocation 3,869,427 (928,105) 2,941,322
Aggressive Allocation 3,237,828 (48,527) 3,189,301
Bond 2,126,510 (20,494,709) (18,368,199)
High Income 1,741,168 (2,679,433) (938,265)
Diversified Income 48,682,874 (12,402,258) 36,280,616
Large Cap Value 352,905,790 (6,506,108) 346,399,682
Large Cap Growth 106,839,836 (13,411,640) 93,428,196
Mid Cap Value 61,007,179 (5,317,361) 55,689,818
Mid Cap Growth 64,184,270 (5,655,086) 58,529,184
Small Cap Value(1) 168,865 (144,811) 24,054
Small Cap Growth(1) 282,050 (118,471) 163,579
Global Securities 2,409,415 (1,510,607) 898,808
International Stock 39,814,462 (3,043,674) 36,770,788
</Table>
- ----------------------------------
(1) Commenced investment operations on May 1, 2007.
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
- --------------------------------------------------------------------------------
109
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
9. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency
contracts and futures contracts, involves certain risks. 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.
The Allocation Funds are fund of funds, meaning that they invest primarily in
the shares of other registered investment companies (the "underlying funds"),
including ETFs. Thus, each fund's investment performance and it's ability to
achieve its investment goal are directly related to the performance of the
underlying funds in which it invests; and the 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 Allocation Funds are subject to
the risks of the underlying funds in direct proportion to the allocation of its
assets among the underlying funds.
Additionally, the Allocation Funds are 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.
- --------------------------------------------------------------------------------
110
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
10. AFFILIATED COMPANY TRANSACTIONS
The Allocation Funds invest in underlying funds, of which certain underlying
funds (the "affiliated underlying funds"), may be deemed to be under common
control because of the same Board of Trustees. A summary of the transactions
with each affiliated underlying fund during the period ended June 30, 2007
follows:
<Table>
<Caption>
BALANCE OF BALANCE OF
SHARES SHARES REALIZED
HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ------ -----------
CONSERVATIVE ALLOCATION FUND
- ---------------------------------------------------------------------------------------------------------------
MEMBERS Bond Fund
Class Y 274,769 352,315 259,820 367,264 $ 3,529,404 $ (9,975) $ 61,113
MEMBERS Cash Reserves
Fund Class Y 1,078,886 2,203,443 3,282,329 -- -- -- 37,171
MEMBERS High Income
Fund Class Y 57,564 145,329 10,7329 192,164 1,420,094 (520) 29.982
MEMBERS International
Stock Fund Class Y 30,879 71,433 7,238 95,074 1,531,638 (5,387) --
MEMBERS Large Cap
Growth Fund Class
Y(1) 65,847 158,020 11,834 212,033 3,394,651 (950) --
MEMBERS Large Cap
Value Fund Class Y 49,158 115,878 11,108 153,928 2,581,380 (2,031) --
MEMBERS Mid Cap
Growth Fund Class
Y(1) 49,247 112,897 11,698 150,446 1,113,297 (689) --
- ---------------------------------------------------------------------------------------------------------------
TOTALS $13,570,464 $(19,552) $128,266
</Table>
<Table>
<Caption>
BALANCE OF BALANCE OF
SHARES SHARES REALIZED
HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ------ -----------
MODERATE ALLOCATION FUND
- ----------------------------------------------------------------------------------------------------------------
MEMBERS Bond Fund
Class Y 379,093 903,166 19,414 1,262,845 $12,135,937 $ (2,164) $167,349
MEMBERS Cash Reserves
Fund Class Y 1,864,303 3,269,683 5,133,986 -- -- -- 67,623
MEMBERS High Income
Fund Class Y 340,940 775,883 28,660 1,088,163 8,041,528 (1,394) 180,836
MEMBERS International
Stock Fund Class Y 320,748 668,706 42,858 946,596 15,249,654 (47,901) --
MEMBERS Large Cap
Growth Fund Class
Y(1) 385,735 603,376 141,115 847,996 13,576,423 (2,862) --
MEMBERS Large Cap
Value Fund Class Y 267,282 567,345 33,315 801,312 13,438,010 (8,484) --
MEMBERS Mid Cap
Growth Fund Class
Y(1) 590,989 925,102 225,481 1,290,610 9,550,513 (13,243) --
MEMBERS Mid Cap Value
Fund Class Y 177,595 278,021 67,177 388,439 5,484,756 (162,599) --
MEMBERS Small Cap
Growth Fund Class
Y(1) -- 534,990 14,355 520,635 5,779,052 (3,614) --
MEMBERS Small Cap
Value Fund Class
Y(1) -- 402,972 10,520 392,452 4,218,858 (2,630) --
- ----------------------------------------------------------------------------------------------------------------
TOTALS $87,474,732 $(244,891) $415,808
</Table>
- ----------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income and
from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
111
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
<Table>
<Caption>
BALANCE OF BALANCE OF
SHARES SHARES REALIZED
HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ------ -----------
AGGRESSIVE ALLOCATION FUND
- ---------------------------------------------------------------------------------------------------------------
MEMBERS International
Stock Fund Class Y 352,708 378,772 36,764 694,716 $11,191,877 $ (46,977) --
MEMBERS Large Cap
Growth Fund Class
Y(1) 290,110 228,358 105,145 413,323 6,617,303 1,165 --
MEMBERS Large Cap
Value Fund Class Y 197,769 212,532 17,303 392,998 6,590,571 (5,342) --
MEMBERS Mid Cap Growth
Fund Class Y(1) 480,046 385,837 155,004 710,879 5,260,506 (7,789) --
MEMBERS Mid Cap Value
Fund Class Y 189,891 151,717 61,408 280,200 3,956,419 (145,429) --
MEMBERS Small Cap
Growth Fund Class
Y(1) -- 324,108 6,272 317,836 3,527,981 (1,246) --
MEMBERS Small Cap
Value Fund Class Y(1) -- 314,689 6,054 308,635 3,317,827 (934) --
- ---------------------------------------------------------------------------------------------------------------
TOTALS $40,462,484 $(206,552) $--
</Table>
- ----------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income and
from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
112
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 six-month period ended June 30, 2007. Expenses paid
during the period in the tables below are equal to the fund's annualized expense
ratio, multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half fiscal year period), except for the Small Cap
Value and Small Cap Growth Funds', which had 61 days.
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
- ---- ----- ----- ----- ------ ----- ------
Conservative Allocation $1,000 0.21% $1,023.40 $1.05 $1,023.75 $1.05
Moderate Allocation 1,000 0.20 1,051.90 1.02 1,023.80 1.00
Aggressive Allocation 1,000 0.21 1,084.20 1.09 1,023.75 1.05
Money Market 1,000 0.46 1,023.80 2.31 1,022.51 2.31
Bond 1,000 0.56 998.30 2.77 1,022.02 2.81
High Income 1,000 0.76 1,027.90 3.82 1,021.03 3.81
Diversified Income 1,000 0.71 1,017.40 3.55 1,021.27 3.56
Large Cap Value 1,000 0.61 1,056.20 3.11 1,021.77 3.06
Large Cap Growth 1,000 0.81 1,070.50 4.16 1,020.78 4.06
Mid Cap Value 1,000 1.01 1,083.40 5.22 1,019.79 5.06
Mid Cap Growth 1,000 0.86 1,144.20 4.57 1,020.53 4.31
Small Cap Value(1) 1,000 1.04 1,007.80 1.72 1,006.51 1.72
Small Cap Growth(1) 1,000 1.04 1,055.60 1.76 1,006.51 1.72
Global Securities 1,000 0.96 1,075.20 4.94 1,020.03 4.81
International Stock 1,000 1.21 1,083.50 6.25 1,018.79 6.06
</Table>
- ----------------------------------
(1) Commenced investment operations on May 1, 2007.
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
- --------------------------------------------------------------------------------
113
OTHER INFORMATION (UNAUDITED)
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.
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 SEC'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 Fund for the most recent
twelve-month period ended June 30 are available to shareholders at no cost on
the SEC's website at www.sec.gov.
BOARD OF TRUSTEES' APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS
Under the Investment Company Act, each fund's investment advisory agreement, and
any subadvisory agreement, must be approved at least annually by the fund's
board of trustees, including a majority of the trustees who are not "interested
persons" under the Act.
The board of trustees of Ultra Series Fund's portfolios (the "Funds") reviews
the performance of the Funds and their investment adviser and subadvisers at
each regular board meeting. At these meetings, the board also receives updates
concerning the investment strategies being pursued by the Funds, changes in the
Funds' investment processes and portfolio management personnel, the expenses
incurred by the Funds, and various other matters which may impact the Funds'
performance and that of their investment adviser and subadvisers.
At an in-person meeting held March 1, 2007, the Board approved a subadvisory
agreement between MCA and Mondrian Investment Partners Limited ("Mondrian"),
principal business address Fifth Floor, 10 Gresham Street, London EC2V 7JD,
United Kingdom, to manage the Ultra Series Global Securities Fund effective May
1, 2007.
Before the March 1 meeting, the Board asked Mondrian to provide written
information addressing factors to be considered by the trustees in deciding
whether or not to approve the subadvisory agreement. In addition, counsel to the
independent trustees advised the Board concerning its duties under the 1940 Act
and state law with respect to approval of the subadvisory agreement.
At the March 1 meeting, representatives of MCA reviewed the process by which MCA
developed its recommendation to retain Mondrian as subadviser for the Fund, and
they responded to questions from trustees concerning this process and related
matters. In addition, at this meeting representatives of Mondrian made a
presentation and responded to follow-up questions from trustees. After these
presentations and discussions, the Board unanimously approved the subadvisory
agreement. In determining to approve the agreement, the Board considered the
following factors and reached the following conclusions:
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY MONDRIAN: The trustees
received and considered a variety of information pertaining to the nature,
extent and quality of the services proposed to be provided by Mondrian. This
information included professional qualifications and experience of Mondrian's
proposed portfolio management team for the Fund; the portfolio management
processes utilized by this team; Mondrian's organization, resources and research
capabilities; and Mondrian's compliance, regulatory and litigation experience,
its portfolio transaction execution policies and practices, and its policies and
procedures for allocating transactions among accounts. After reviewing this
information and discussing it with representatives of Mondrian and MCA, the
Board concluded that it was satisfied with the nature, extent and quality of the
services proposed to be provided by Mondrian and that these services compare
satisfactorily to those provided by others in the industry.
INVESTMENT PERFORMANCE OF THE FUND: Because Mondrian had not managed the Fund
previously, the Board reviewed performance information pertaining to other
accounts which Mondrian manages in the same style which it proposed to utilize
- --------------------------------------------------------------------------------
114
OTHER INFORMATION (UNAUDITED)
for the Fund. This performance information covered a seven-year period ended
December 31, 2006, and it compared the other Mondrian-managed accounts'
performance to that of an unmanaged benchmark index, to the performance of
selected other funds, and to the performance of the Fund under its former
subadviser. The Board noted that the other Mondrian-managed accounts
outperformed the benchmark index and the Fund over the period presented and that
its performance compared favorably to the other selected funds' performance.
Based on the foregoing review, the trustees concluded that they were comfortable
with the performance which Mondrian might be expected to produce for the Fund.
COST OF SERVICES PROVIDED AND PROFITABILITY: At the March 1 meeting, the
trustees considered information provided by Mondrian concerning the management
fees it charges to other funds and accounts with similar investment objectives
and policies. The trustees concluded that the subadvisory fee proposed was in
line with Mondrian's other fees.
Because Mondrian had not previously managed the Fund, the trustees did not
request or consider information pertaining to the profitability of the proposed
subadvisory relationship to Mondrian. However, as part of its annual review of
MCA's advisory agreement with the Fund, at a meeting held on November 30, 2006
the Board considered the fees and expenses borne by the Fund as compared to
those borne by comparable funds, as well as the profitability of the Fund's
advisory agreement to MCA, and concluded it was satisfied concerning these
matters.
ECONOMIES OF SCALE: The Board noted that Mondrian's proposed subadvisory
agreement with MCA included breakpoints providing for lower subadvisory fees at
higher asset levels, although the Fund's advisory agreement with MCA does not.
At its November 30, 2006 meeting, the Board had determined not to pursue
breakpoints in the Fund's advisory agreement with MCA at that time in light of
the Fund's unitary fee structure (under which MCA bears the risk of increases in
most other service providers' fees) and the current size of the Fund.
OTHER BENEFITS TO MONDRIAN FROM ITS PROPOSED RELATIONSHIP WITH THE FUND: The
Board also considered the nature and extent of other benefits which may flow to
Mondrian from its relationship with the Fund. In this regard, the trustees noted
Mondrian's representation that it does not participate in soft dollar
arrangements. The trustees concluded that the nature and extent of any
additional benefits to Mondrian from its relationship with the Fund are not
expected to be unreasonable when considered in the context of the overall
services which Mondrian would provide and the subadvisory fees it would receive.
BOARD CONCLUSION: After taking the foregoing information and the other
information provided by MCA and Mondrian into account, the Board, acting in the
exercise of its business judgment, unanimously approved the subadvisory
agreement between MCA and Mondrian. In doing so, the Board did not assign
specific weights to the various factors considered, nor did it deem any one
factor or set of factors to be decisive. Instead, it considered the total mix of
information provided to it in reaching its decision.
- --------------------------------------------------------------------------------
115
TRUSTEES AND OFFICERS
Each trustee and officer oversees 29 portfolios in the fund complex, which
consists of the Ultra Series Fund with 15 portfolios and the MEMBERS Mutual
Funds with 14 portfolios. The address of each trustee and officer is 5910
Mineral Point Road, Madison WI 53705. The Statement of Additional Information,
which includes additional information about the trustees and officers, is
available at no cost on the SEC's web site at www.sec.gov or by calling CUNA
Mutual Life Insurance Company at 1-800-798-5500.
<Table>
<Caption>
NAME;
POSITION(S) HELD WITH THE FUND & YEAR ELECTED(1); PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS;
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 (2006) Inc.: President (since 2005); CUNA Mutual Life
1947 Insurance Company: Chief Investment Officer (since
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.: Managing Director,
Trustee (1997) Equities (since 2006), Senior Vice
Vice President (1988) President-Equities (1996-2006).
1945 Other Directorships: None
- -----------------------------------------------------------------------------------------------------
Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice
Treasurer (1999) President-Finance and Operations (since 2006),
1970 Assistant Vice President-Finance and Operations
(2001-2005); Product Operations and Finance
Manager (1998-2001).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------
Holly S. Baggot MEMBERS Capital Advisors, Inc.: Director, Mutual
Secretary and Assistant Treasurer (2003) Fund Operations, (since 2006), Operations
1960 Officer-Mutual Funds (2005-2006); Senior Manager
Product and Fund Operations (2001-2005).
Other Directorships: None
- -----------------------------------------------------------------------------------------------------
Dan P. Owens MEMBERS Capital Advisors, Inc.: Director,
Assistant Treasurer (2001) Investment Operations, (since 2006), Operations
1966 Officer-Investments (2005-2006); Senior Manager
Portfolio Operations (2001-2005).
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).
- -----------------------------------------------------------------------------------------------------
Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since
Trustee (2006) 2005); Direct Supply, Inc.: Executive Vice
1950 President of Corporate Development and Chief
Financial Officer (1988-2005).
Other Directorships: Direct Supply, Inc., Director
(since 2003).
- -----------------------------------------------------------------------------------------------------
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 Trust's Board on the date of adoption
(September 30, 2004) shall be required to resign pursuant to the terms
hereto.
- --------------------------------------------------------------------------------
116
(CUNA MUTUAL GROUP LOGO)
CUNA Mutual Life Insurance Company
2000 Heritage Way
Waverly, IA 50677
Form 1950-0807
(CUNA MUTUAL GROUP LOGO)
CUNA Mutual Life Insurance Company
2000 Heritage Way
Waverly, IA 50677
Form 1950-0807
PRESORTED
STANDARD
US POSTAGE PAID
PERMIT #3602
BERWYN, IL 60402
ITEM 2. CODE OF ETHICS.
Not required in this semi-annual report filed on Form N-CSR.
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 Applicable.
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 control
over financial reporting that occurred during the second
fiscal quarter of the period covered by this report 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: 08/20/07
--------
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: 08/20/07
--------
BY: /s/Mary E. Hoffmann
----------------------------------
Mary E. Hoffmann
Treasurer, Ultra Series Funds
DATE: 08/20/07
--------
EXHIBIT INDEX
Exhibit 12(a)(i) - Section 302 Certification of David P. Marks, President,
Ultra Series Funds
Exhibit 12(a)(ii) - Section 302 Certification of Mary E. Hoffmann, Treasurer,
Ultra Series Funds
Exhibit 12(b) - Section 906 Certification of David P. Marks and Mary E.
Hoffmann