OMB APPROVAL
OMB Number: 3235-0570
Expires: October 31, 2006
Estimated average burden
hours per response: 5.0
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 number: 811-3153
FRANK RUSSELL INVESTMENT COMPANY
(Exact name of registrant as specified in charter)
909 A STREET, TACOMA WASHINGTON 98402
(Address of principal executive offices) (Zip code)
GREGORY J. LYONS, ASSISTANT SECRETARY
FRANK RUSSELL INVESTMENT COMPANY
909 A STREET
TACOMA, WASHINGTON 98402
253-596-2406
-------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 253-572-9500
Date of fiscal year end: OCTOBER 31
Date of reporting period: November 1, 2003 to April 30, 2004
ITEM 1. REPORTS TO STOCKHOLDERS
MONEY MARKET FUNDS
FRANK RUSSELL INVESTMENT COMPANY
(MOUNTAIN BACKGROUND GRAPHIC)
2004 SEMIANNUAL REPORT
CLASS A AND S SHARES
MONEY MARKET FUND
CLASS S SHARES
US GOVERNMENT MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
APRIL 30, 2004
(RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on three Funds, each of
which has distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
Money Market Funds
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Money Market Fund.................................................... 3
US Government Money Market Fund...................................... 7
Tax Free Money Market Fund........................................... 8
Notes to Schedules of Investments.................................... 15
Statement of Assets and Liabilities.................................. 16
Statement of Operations.............................................. 17
Statement of Changes in Net Assets................................... 18
Financial Highlights................................................. 20
Notes to Financial Statements........................................ 23
Disclosure of Information about Fund Directors....................... 27
Manager, Money Managers and Service Providers........................ 31
</Table>
Frank Russell Investment Company - Money Market Funds
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance quoted represents past performance and,
except for a money market fund, the investment return and principal value of an
investment will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. An investment in a money market fund is neither
insured nor guaranteed by the US government. There can be no assurance that a
money market fund will be able to maintain a stable net asset value of $1.00 per
share. Investments in securities of non-US issuers and foreign currencies
involve investment risks different than those of US issuers; the Prospectus
contains further information and details regarding these risks. Income from
tax-free funds may be subject to an alternative minimum tax, or state and local
taxes. Russell Fund Distributors, Inc., is the distributor of Frank Russell
Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES - 33.1%
Allstate Financial Global Funding (E) 25,000 1.210 08/16/04 25,010
Associates Corp. of NA (E) 12,950 1.210 06/25/04 12,950
Bank of America 16,024 6.625 06/15/04 16,131
Bayerische Landesbank (NY) (E) 57,000 1.110 02/25/05 57,017
Bear Stearns Master (E) 68,500 1.150 12/01/10 68,500
Bear Stearns Master (E) 31,500 1.400 12/01/10 31,500
First USA Bank (E) 50,000 1.324 07/21/04 50,025
General Electric Capital Corp. (E) 44,000 1.230 06/11/04 44,010
General Electric Capital Services Inc. (E) 10,000 1.230 05/07/04 10,000
Goldman Sachs Group Inc. (E) 15,000 1.350 05/03/04 15,000
Goldman Sachs Group Inc. (E) 10,810 1.370 05/28/04 10,813
Goldman Sachs Group Inc. (E) 6,000 1.330 06/25/04 6,003
Goldman Sachs Group, L.P. (E) 15,000 1.180 03/15/05 14,989
Gotham Funding Corp. 35,000 1.090 05/26/04 34,974
Grantor Trust 1997-11, daily call or put (E) 6,835 1.120 12/01/04 6,835
Grantor Trust 1998-T67, daily call or put (E) 2,233 1.120 07/01/04 2,233
Household Finance Corp. 8,934 6.000 05/01/04 8,934
Household Finance Corp. 40,000 1.040 05/03/04 39,998
Household Finance Corp. 2,000 8.000 08/01/04 2,034
Household Finance Corp. 15,743 8.000 05/09/05 16,763
Household Finance Corp. (E) 8,000 1.470 05/28/04 8,002
HSBC Bank USA (E) 14,000 1.260 09/24/04 14,012
JP Morgan Chase & Company (E) 11,000 1.290 05/20/04 11,001
Long Lane Master Trust IV (E) 25,000 1.310 12/30/04 25,000
Merrill Lynch & Co Inc. 10,435 5.350 06/15/04 10,489
Merrill Lynch & Co Inc. 5,500 4.540 03/08/05 5,642
Nations Bank Corp. 4,000 6.125 07/15/04 4,038
New York Life Insurance Co. (E) 22,000 1.180 05/19/04 22,000
New York Life Insurance Co. (E) 50,000 1.200 11/19/04 50,000
Pacific Life Insurance Co. (E) 50,000 1.230 04/25/05 50,000
Principal Life Global Funding I (E) 6,200 1.190 12/17/04 6,204
Protective Life Insurance Co. (E) 50,000 1.270 08/23/04 50,000
Protective Life US Funding 19,000 5.500 05/14/04 19,030
Protective Life US Funding (E) 51,200 1.380 02/04/05 51,313
Tango Finance Corp. 15,000 1.070 05/04/04 14,999
Tango Finance Corp. 20,000 1.510 03/09/05 20,000
Tango Finance Corp. (E) 10,000 1.060 06/07/04 10,000
Tango Finance Corp. (E) 35,000 1.150 12/10/04 35,000
Tango Finance Corp. (E) 50,000 1.070 02/25/05 49,994
The Travelers Insurance Company (E) 50,000 1.210 11/12/04 50,000
------------
TOTAL CORPORATE BONDS AND NOTES (amortized cost $980,443) 980,443
------------
MUNICIPAL BONDS - 2.4%
Illinois Health Facilities Authority Revenue, weekly demand
(E)(n) 44,700 1.100 07/01/24 44,700
Illinois Health Facilities Authority Revenue, weekly demand
(E)(n) 27,300 1.100 01/01/28 27,300
------------
TOTAL MUNICIPAL BONDS (amortized cost $72,000) 72,000
------------
</Table>
Money Market Fund 3
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
REGISTERED INVESTMENT COMPANY FUNDS - 0.3%
Merrill Lynch Premier Institutional Fund 279,246 279
Nations Cash Reserves 322,896 323
Reserve Primary Fund Class 8 7,211,215 7,211
------------
TOTAL REGISTERED INVESTMENT COMPANY FUNDS (amortized cost
$7,813) 7,813
------------
DOMESTIC COMMERCIAL PAPER - 54.1%
Bavaria Universal Funding Corp. 35,540 1.080 05/10/04 35,530
Bavaria Universal Funding Corp. 5,000 1.070 05/17/04 4,998
Bavaria Universal Funding Corp. 25,025 1.080 05/17/04 25,013
Bavaria Universal Funding Corp. 12,535 1.070 06/21/04 12,516
Bavaria Universal Funding Corp. 10,500 1.070 06/22/04 10,484
Bavaria Universal Funding Corp. 5,000 1.090 07/01/04 4,991
Bavaria Universal Funding Corp. 19,054 1.080 07/01/04 19,019
Bavaria Universal Funding Corp. 13,264 1.090 07/06/04 13,237
Bavaria Universal Funding Corp. 11,000 1.120 07/15/04 10,974
Bavaria Universal Funding Corp. 8,000 1.130 07/26/04 7,978
Bills Securitization Ltd. 5,308 1.070 06/01/04 5,303
BTM Capital Corp. 1,119 1.080 05/04/04 1,119
BTM Capital Corp. 20,000 1.070 05/10/04 19,995
BTM Capital Corp. 2,000 1.090 05/17/04 1,999
BTM Capital Corp. 39,000 1.080 05/17/04 38,981
BTM Capital Corp. 10,000 1.090 05/26/04 9,992
BTM Capital Corp. 40,000 1.080 05/26/04 39,970
BTM Capital Corp. 15,000 1.090 06/01/04 14,986
BTM Capital Corp. 20,000 1.090 06/03/04 19,980
Co-Op Association of Tractor Dealers - Series A 5,000 1.230 05/03/04 5,000
Co-Op Association of Tractor Dealers - Series A 7,100 1.230 05/05/04 7,099
Co-Op Association of Tractor Dealers - Series A 3,000 1.080 05/14/04 2,999
Co-Op Association of Tractor Dealers - Series A 2,000 1.070 05/21/04 1,999
Co-Op Association of Tractor Dealers - Series A 8,000 1.060 05/26/04 7,994
Co-Op Association of Tractor Dealers - Series A 8,300 1.180 06/09/04 8,289
Co-Op Association of Tractor Dealers - Series A 3,000 1.090 07/12/04 2,993
Co-Op Association of Tractor Dealers - Series A 6,000 1.110 07/14/04 5,986
Co-Op Association of Tractor Dealers - Series A 6,000 1.120 07/16/04 5,986
Co-Op Association of Tractor Dealers - Series A 12,100 1.130 08/06/04 12,063
Co-Op Association of Tractor Dealers - Series A 6,100 1.120 08/13/04 6,080
Co-Op Association of Tractor Dealers - Series A 14,400 1.120 08/16/04 14,352
Co-Op Association of Tractor Dealers - Series A 5,000 1.120 08/17/04 4,983
Co-Op Association of Tractor Dealers - Series A 8,500 1.120 08/20/04 8,471
Co-Op Association of Tractor Dealers - Series A 1,700 1.130 08/23/04 1,694
Co-Op Association of Tractor Dealers - Series A 5,000 1.120 09/24/04 4,977
Co-Op Association of Tractor Dealers - Series A 1,246 1.200 10/01/04 1,240
Co-Op Association of Tractor Dealers - Series A 14,500 1.210 10/13/04 14,420
Co-Op Association of Tractor Dealers - Series A 5,000 1.300 10/18/04 4,969
Co-Op Association of Tractor Dealers - Series A 3,800 1.300 10/20/04 3,776
Co-Op Association of Tractor Dealers - Series A 3,400 1.300 10/22/04 3,379
Co-Op Association of Tractor Dealers - Series B 3,000 1.120 05/05/04 3,000
Co-Op Association of Tractor Dealers - Series B 5,000 1.230 05/05/04 4,999
Co-Op Association of Tractor Dealers - Series B 3,000 1.220 05/07/04 2,999
Co-Op Association of Tractor Dealers - Series B 5,300 1.060 05/26/04 5,296
</Table>
4 Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Co-Op Association of Tractor Dealers - Series B 2,000 1.100 06/08/04 1,998
Co-Op Association of Tractor Dealers - Series B 1,000 1.070 06/18/04 999
Co-Op Association of Tractor Dealers - Series B 1,000 1.060 06/22/04 998
Co-Op Association of Tractor Dealers - Series B 1,000 1.080 06/24/04 998
Co-Op Association of Tractor Dealers - Series B 1,000 1.080 07/06/04 998
Co-Op Association of Tractor Dealers - Series B 1,000 1.100 07/23/04 997
Co-Op Association of Tractor Dealers - Series B 6,100 1.130 08/06/04 6,081
Co-Op Association of Tractor Dealers - Series B 20,700 1.120 08/16/04 20,631
Co-Op Association of Tractor Dealers - Series B 4,500 1.120 08/20/04 4,484
Co-Op Association of Tractor Dealers - Series B 2,000 1.100 09/20/04 1,991
Co-Op Association of Tractor Dealers - Series B 1,000 1.200 09/28/04 995
Co-Op Association of Tractor Dealers - Series B 7,400 1.230 09/28/04 7,362
Co-Op Association of Tractor Dealers - Series B 2,000 1.200 10/01/04 1,990
Co-Op Association of Tractor Dealers - Series B 9,100 1.300 10/20/04 9,043
Co-Op Association of Tractor Dealers - Series B 1,500 1.300 10/22/04 1,491
Credit Suisse First Boston Inc. 50,000 1.040 05/17/04 49,977
Eiffel Funding LLC 27,000 1.050 05/03/04 26,998
Eiffel Funding LLC 50,000 1.050 05/10/04 49,987
Galleon Capital Corp. 25,000 1.230 07/19/04 24,933
Galleon Capital Corp. 55,471 1.090 08/11/04 55,300
Galleon Capital Corp. 3,079 1.280 09/10/04 3,065
General Electric Capital Corp. 40,000 1.390 12/13/04 39,651
General Electric Capital International Funding Inc. 75,000 1.060 05/03/04 74,996
Giro Balanced Funding Corp. 13,148 1.060 05/13/04 13,143
Giro Balanced Funding Corp. 28,284 1.050 05/13/04 28,274
Giro Balanced Funding Corp. 3,031 1.060 05/17/04 3,030
Giro Balanced Funding Corp. 3,430 1.060 05/18/04 3,428
Giro Balanced Funding Corp. 20,990 1.060 06/15/04 20,962
Gotham Funding Corp. 2,500 1.080 05/03/04 2,500
Gotham Funding Corp. 27,000 1.090 05/12/04 26,991
Gotham Funding Corp. 7,500 1.100 05/14/04 7,497
Gotham Funding Corp. 10,000 1.090 05/18/04 9,995
Gotham Funding Corp. 12,000 1.090 05/19/04 11,993
Gotham Funding Corp. 15,000 1.090 05/24/04 14,990
Gotham Funding Corp. 27,891 1.090 05/25/04 27,871
Gotham Funding Corp. 12,500 1.080 05/25/04 12,491
Hatteras Funding 3,145 1.060 06/14/04 3,141
High Peak Funding LLC 20,000 1.060 05/03/04 19,999
High Peak Funding LLC 57,000 1.060 05/17/04 56,973
High Peak Funding LLC 50,000 1.060 05/27/04 49,962
Household Finance Corp. 25,000 1.060 05/03/04 24,999
Ivory Funding Corp. 17,095 1.060 05/11/04 17,090
Ivory Funding Corp. 10,779 1.060 05/12/04 10,776
Ivory Funding Corp. 28,040 1.060 05/28/04 28,018
KZH-KMS Corp 4,475 1.060 05/18/04 4,473
Lockhart Funding LLC 56,000 1.080 05/13/04 55,980
Lockhart Funding LLC 5,500 1.090 05/20/04 5,497
Lockhart Funding LLC 36,000 1.060 05/27/04 35,972
Lockhart Funding LLC 47,000 1.080 06/03/04 46,953
Lockhart Funding LLC 5,000 1.100 07/06/04 4,990
Long Lane Master Trust IV 13,343 1.060 05/06/04 13,341
Long Lane Master Trust IV 30,000 1.060 05/17/04 29,986
</Table>
Money Market Fund 5
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Long Lane Master Trust IV 15,000 1.060 05/20/04 14,992
L'oreal USA Inc 28,000 1.070 06/03/04 27,973
Louis Dreyfus Corp. (Barc) 26,500 1.050 05/07/04 26,495
Moat Funding LLC 2,750 1.250 10/01/04 2,735
Principal Financial Services, Inc. 50,000 1.060 05/06/04 49,993
Principal Financial Services, Inc. 40,000 1.060 05/17/04 39,981
Texas Department of Economic Development 12,000 1.060 05/27/04 11,991
Three Pillars Funding Corp. 11,539 1.050 05/05/04 11,538
------------
TOTAL DOMESTIC COMMERCIAL PAPER (amortized cost $1,605,084) 1,605,084
------------
UNITED STATES GOVERNMENT AGENCIES - 5.7%
AID to INH Portugal Guaranteed Note, weekly demand (LIBOR
Floater) (E) 8,750 1.548 12/01/17 8,851
Federal Home Loan Bank Note 9,500 1.239 02/15/05 9,487
Federal Home Loan Bank Note 6,095 1.560 05/13/05 6,090
Federal National Mortgage Association Note 25,000 1.250 08/27/04 24,998
Federal National Mortgage Association Note 25,000 1.620 12/08/04 25,000
Federal National Mortgage Association Note 25,000 1.620 12/08/04 25,000
Federal National Mortgage Association Note 25,000 1.500 03/08/05 25,000
Federal National Mortgage Association Note 30,000 1.360 05/03/05 29,943
Federal National Mortgage Association Note 15,000 1.750 05/23/05 15,000
------------
TOTAL UNITED STATES GOVERNMENT AGENCIES (amortized cost
$169,369) 169,369
------------
YANKEE CERTIFICATE OF DEPOSIT - 4.0%
Canadian Imperial Bank 50,000 1.370 02/04/05 50,000
Deutsche Bank AG 70,000 1.180 12/16/04 70,000
------------
TOTAL YANKEE CERTIFICATE OF DEPOSIT (amortized cost
$120,000) 120,000
------------
TOTAL INVESTMENTS - 99.6% (amortized cost $2,954,709) (+) 2,954,709
OTHER ASSETS AND LIABILITIES, NET - 0.4% 11,169
------------
NET ASSETS - 100.0% 2,965,878
============
</Table>
See accompanying notes which are an integral part of the financial statements.
6 Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
US GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
UNITED STATES GOVERNMENT AGENCIES - 53.8%
Aid to Sri Lanka Guaranteed Note (LIBOR Floater) (E) 2,125 1.580 06/15/12 2,137
Federal Farm Credit Bank Note 500 5.000 05/10/04 500
Federal Farm Credit Bank Note 200 6.250 07/29/04 202
Federal Home Loan Bank 1,000 3.375 05/14/04 1,001
Federal Home Loan Bank 2,200 4.875 05/14/04 2,203
Federal Home Loan Bank 460 6.450 06/17/04 463
Federal Home Loan Bank 300 1.250 08/13/04 300
Federal Home Loan Bank 250 6.000 08/25/04 254
Federal Home Loan Bank 3,000 1.400 02/25/05 2,999
Federal Home Loan Bank 1,000 1.470 02/28/05 1,000
Federal Home Loan Bank 4,000 1.500 03/01/05 4,000
Federal Home Loan Bank (E) 100 1.008 12/15/04 100
Federal Home Loan Mortgage Corp. 100 3.250 05/20/04 100
Federal Home Loan Mortgage Corp. 150 6.715 05/28/04 151
Federal Home Loan Mortgage Corp. 700 1.140 08/10/04 700
Federal National Mortgage Association 785 7.400 07/01/04 793
Federal National Mortgage Association 2,000 1.250 08/27/04 2,000
Federal National Mortgage Association (E) 5,000 1.040 03/23/05 5,000
Federal National Mortgage Association Note 1,000 1.620 12/08/04 1,000
Federal National Mortgage Association Note (E) 1,000 1.080 12/15/04 1,000
Federal National Mortgage Association Note (E) 1,450 1.239 02/15/05 1,448
Student Loan Marketing Association Note 1,500 2.000 03/15/05 1,508
------------
TOTAL INVESTMENTS - 53.8% (amortized cost $28,859) 28,859
------------
REPURCHASE AGREEMENTS - 45.8%
Agreement with ABN AMRO Bank and The Bank of New York
(Tri-party) of $13,200 dated April 30, 2004 at 1.020% to
be repurchased at $13,201 on May 3, 2004, collateralized
by:
$13,500 various U.S. Government Agency Notes, valued at
$13,465 13,200
Agreement with State Street Bank & Trust of $11,322 dated
April 30, 2004 at 0.950% to be repurchased at $11,323 on
May 3, 2004, collateralized by:
$12,000 U.S. Government Agency Securities, valued at
$11,553 11,322
------------
TOTAL REPURCHASE AGREEMENTS (identified cost $24,522) 24,522
------------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS - 99.6%
(cost $53,381) (+) 53,381
OTHER ASSETS AND LIABILITIES, NET - 0.4% 218
------------
NET ASSETS - 100.0% 53,599
============
</Table>
See accompanying notes which are an integral part of the financial statements.
US Government Money Market Fund 7
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 99.7%
Alabama - 1.4%
Lauderdale County Public Park Recreation Board Revenue
Bonds, weekly demand (E) 600 1.090 12/01/20 600
Mobile Industrial Development Board Revenue Bonds, weekly
demand (E) 1,200 1.150 06/01/04 1,200
------------
1,800
------------
Arizona - 4.4%
Maricopa County Industrial Development Authority Revenue
Bonds, weekly demand (E) 2,225 1.090 04/15/30 2,225
Phoenix, Arizona Industrial Development Authority, daily
demand (E) 3,400 1.100 01/01/31 3,399
------------
5,624
------------
California - 0.6%
Carlsbad Unified School District Certificate of
Participation, weekly demand (E)(u) 500 1.060 09/01/24 500
Rohnert Park California Revenue Bonds, weekly demand (E) 215 1.070 06/15/25 215
------------
715
------------
Colorado - 8.0%
Arapahoe County Water & Wastewater Authority Revenue Bonds,
weekly demand (E) 2,000 1.120 12/01/33 2,000
Denver City & County Colorado Revenue Bonds, weekly demand
(E) 3,285 1.100 12/01/29 3,284
One Horse Business Improvement District Revenue Bonds,
weekly demand (E) 2,780 1.190 12/01/25 2,780
SBC Metropolitan District General Obligation Limited, weekly
demand (E) 2,000 1.190 12/01/17 2,000
------------
10,064
------------
Delaware - 0.8%
Delaware State Economic Development Authority Revenue Bonds,
weekly demand (E) 550 1.200 12/01/15 550
Delaware State Economic Development Authority Revenue Bonds,
weekly demand (E) 400 1.110 05/01/15 400
------------
950
------------
District of Columbia - 0.5%
District of Columbia Revenue Bonds, weekly demand (E) 700 1.190 12/01/23 700
------------
Florida - 2.3%
Fort Pierce Florida Revenue Bonds, weekly demand (E) 300 1.090 10/01/17 300
Orange County Industrial Development Authority Revenue
Bonds, semi-annual demand (E) 2,495 1.300 10/01/15 2,495
Pinellas County Health Facility Authority Revenue Bonds,
weekly demand (E)(u) 100 1.140 12/01/15 100
------------
2,895
------------
Georgia - 3.1%
Dalton Georgia Revenue Bonds, weekly demand (E)(u) 1,090 1.150 01/01/12 1,090
Fulton County Housing Authority Revenue Bonds, weekly demand
(E) 1,000 1.080 06/01/23 1,000
Gwinnett County Development Authority Revenue Bonds, weekly
demand (E) 65 1.090 03/01/17 65
</Table>
8 Tax Free Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Gwinnett County Development Authority Revenue Bonds, weekly
demand (E) 700 1.090 03/01/21 700
Marietta Housing Authority Revenue Bonds, weekly demand (E) 1,050 1.080 02/01/26 1,050
------------
3,905
------------
Illinois - 11.4%
Illinois Educational Facilities Authority Revenue Bonds,
weekly demand (E) 900 1.090 10/01/31 900
Illinois Educational Facilities Authority Revenue Bonds,
weekly demand (E) 400 1.080 03/01/34 400
Illinois Educational Facilities Authority Revenue Bonds,
weekly demand (E) 1,000 1.080 08/01/30 1,000
Illinois Educational Facilities Authority Revenue Bonds,
weekly demand (E) 1,450 1.080 11/01/32 1,450
Illinois Finance Authority Revenue Bonds, weekly demand (E) 150 1.110 09/01/08 150
Illinois Finance Authority Revenue Bonds, weekly demand (E) 800 1.230 04/01/21 800
Illinois Finance Authority Revenue Bonds, weekly demand (E) 700 1.230 08/01/26 700
Illinois Finance Authority Revenue Bonds, weekly demand (E) 2,775 1.150 07/01/33 2,775
Illinois State Educational Facilities Authority Revenue,
weekly demand (E) 800 1.080 03/01/27 800
Oakbrook Terrace Illinois Revenue Bonds, weekly demand (E) 2,100 1.100 12/01/25 2,100
Troy Grove Illinois Revenue Bonds, weekly demand (E) 750 2.360 05/01/10 750
Winnebago & Boone Counties School District No. 205 Notes 1,500 2.270 10/28/04 1,504
Winnebago & Boone Counties School District No. 205 Notes 1,000 2.280 10/29/04 1,005
------------
14,334
------------
Indiana - 6.7%
Goshen Community Schools Notes 1,500 1.900 12/31/04 1,505
Goshen Indiana Revenue Bonds, weekly demand (E) 2,200 1.110 10/01/37 2,200
Indiana Bond Bank Revenue Notes 1,500 2.000 01/25/05 1,510
Indiana Health Facility Financing Authority Revenue Bonds,
weekly demand (E) 1,500 1.090 01/01/20 1,500
Indiana Health Facility Financing Authority Revenue Bonds,
weekly demand (E) 200 1.150 12/01/29 200
Spencer-Owen Community Schools Warrants 1,500 2.000 12/31/04 1,509
------------
8,424
------------
Iowa - 1.2%
Iowa Finance Authority Revenue Bonds, weekly demand (E) 1,300 1.150 11/01/32 1,300
Iowa Higher Education Loan Authority Revenue Bonds, weekly
demand (E) 200 1.100 11/01/30 200
------------
1,500
------------
Kansas - 1.3%
Kansas Development Finance Authority Revenue Bonds, daily
demand (E) 300 1.150 05/15/26 300
Kansas Development Finance Authority Revenue Bonds, weekly
demand (E) 185 1.100 11/15/28 185
Prairie Village Kansas Revenue Bonds, weekly demand (E) 1,150 1.080 11/01/30 1,150
------------
1,635
------------
Kentucky - 2.2%
County of Jefferson Kentucky Revenue Bonds, weekly demand
(E) 1,800 1.110 10/01/19 1,800
Kentucky Association of Counties Certificate of
Participation 1,000 2.000 06/30/04 1,002
------------
2,802
------------
</Table>
Tax Free Money Market Fund 9
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Maryland - 1.1%
County of Montgomery Maryland, monthly demand (E) 690 1.130 04/01/14 690
Maryland State Economic Development Corp. Revenue Bonds,
weekly demand (E) 660 1.090 09/01/24 660
------------
1,350
------------
Massachusetts - 1.6%
Chicopee Massachusetts General Obligation Unlimited Notes 1,000 2.000 11/19/04 1,002
Massachusetts Development Finance Agency Revenue Bonds,
weekly demand (E) 1,000 1.080 10/01/29 1,000
------------
2,002
------------
Michigan - 7.7%
Green Lake Township Economic Development Corp. Revenue
Bonds, weekly demand (E) 2,800 1.100 06/01/27 2,800
Kalamazoo City School District General Obligation Unlimited
(u) 1,000 3.750 05/01/04 1,000
Lansing Economic Development Corp. Revenue Bonds,
semi-annual demand (E) 1,570 1.250 05/01/15 1,570
Michigan State Job Development Authority Revenue Bonds,
monthly demand (E) 1,900 1.020 11/01/14 1,900
Northville Township Economic Development Corp. Revenue
Bonds, weekly demand (E) 500 1.100 05/01/14 500
Oakland County Economic Development Corp. Revenue Bonds,
semi-annual demand (E) 765 1.600 08/01/15 765
Pinckney Community Schools General Obligation Unlimited
Notes 1,200 1.500 08/20/04 1,201
------------
9,736
------------
Minnesota - 3.0%
Arden Hills Minnesota Revenue Bonds, weekly demand (E) 496 1.150 09/01/29 496
City of Austin Minnesota Revenue Bonds, weekly demand (E) 1,400 1.190 12/01/13 1,400
City of Minneapolis Minnesota Revenue Bonds, weekly demand
(E) 500 1.200 05/01/26 500
Minnesota Higher Education Facilities Authority Revenue
Bonds, weekly demand (E) 200 1.100 10/01/30 200
St. Paul Housing & Redevelopment Authority Revenue Bonds,
weekly demand (E) 1,230 1.240 08/01/25 1,230
------------
3,826
------------
Missouri - 3.8%
Clayton Industrial Development Authority Revenue Bonds,
weekly demand (E) 1,000 1.240 01/01/09 1,000
Kansas City Industrial Development Authority Revenue Bonds,
weekly demand (E) 800 1.100 04/01/27 800
Missouri State Health & Educational Facilities Authority
Revenue Bonds, weekly demand (E) 300 0.950 11/01/32 300
Missouri State Health & Educational Facilities Authority
Revenue Bonds, weekly demand (E) 400 1.150 10/01/24 400
St. Charles County Industrial Development Authority Revenue
Bonds, weekly demand (E) 2,300 1.190 12/01/27 2,300
------------
4,800
------------
</Table>
10 Tax Free Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Multi-State and Other - 0.9%
Greystone Municipal Lease Certificate Trust Certificate of
Participation, weekly demand (E)(a) 385 1.260 07/01/05 385
Greystone Revenue Bond Certificate Trust, weekly demand
(E)(e) 800 1.230 05/01/28 800
------------
1,185
------------
Nebraska - 0.1%
Nebraska Educational Finance Authority Revenue Bonds, weekly
demand (E) 100 1.100 08/01/31 100
------------
New York - 1.6%
New York City Municipal Water Finance Authority Revenue
Bonds, weekly demand (E) 1,100 0.970 06/15/18 1,100
New York, New York General Obligation, daily demand (E) 900 1.120 08/01/21 900
------------
2,000
------------
North Carolina - 1.5%
Mcdowell County Industrial Facilities & Pollution Control
Financing Authority Revenue Bonds, weekly demand (E) 1,935 1.120 05/01/22 1,935
------------
Ohio - 4.5%
American Municipal Power-Ohio Inc. Revenue Notes 620 1.250 12/02/04 620
American Municipal Power-Ohio Inc. Revenue Notes 565 1.300 12/09/04 565
American Municipal Power-Ohio Inc. Revenue Notes 2,200 1.150 03/17/05 2,200
Clermont County Ohio Revenue Bonds, semi-annual demand (E) 465 1.300 05/01/12 465
Scioto County Ohio Revenue Bonds, weekly demand (E) 535 1.300 12/01/15 535
Stark County Ohio Revenue Bonds, weekly demand (E) 1,320 1.300 09/15/16 1,320
------------
5,705
------------
Oregon - 0.9%
Hillsboro Oregon Revenue Bonds, weekly demand (E) 1,150 1.130 08/01/11 1,150
------------
Pennsylvania - 7.1%
Berks County Industrial Development Authority, weekly demand
(E) 1,350 1.150 12/01/04 1,350
Dallastown Area School District General Obligation
Unlimited, weekly demand (E)(u) 700 1.150 05/01/20 700
Hazleton Area Industrial Development Authority Revenue
Bonds, weekly demand (E) 685 1.100 10/01/24 685
Pennsylvania State Higher Educational Facilities Authority
Revenue Bonds, annual demand (E) 1,500 1.150 05/01/31 1,500
Philadelphia Authority For Industrial Development Revenue
Bonds, weekly demand (pre-refunded 7/1/2004) (E)(ae) 1,270 8.000 01/01/24 1,323
Philadelphia Hospitals & Higher Education Facilities
Authority Revenue Bonds, weekly demand (E) 1,360 1.110 06/01/14 1,360
Sayre Health Care Facilities Authority Revenue Bonds, weekly
demand (E)(u) 1,100 1.100 12/01/20 1,100
Temple University of the Commonwealth System Revenue Notes 900 1.200 05/04/04 900
------------
8,918
------------
</Table>
Tax Free Money Market Fund 11
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Tennessee - 4.0%
Franklin County Health & Educational Facilities Board
Revenue Bonds, semi-annual demand (E) 1,490 1.100 09/01/10 1,490
Knox County Health Educational & Housing Facilities Board
Revenue Bonds, weekly demand (E) 320 1.090 03/01/19 320
Knox County Industrial Development Board Revenue Bonds,
weekly demand (E)(u) 2,100 1.350 12/01/14 2,100
Wilson County Industrial Development Board, weekly demand
(E) 1,100 1.180 07/01/26 1,100
------------
5,010
------------
Texas - 4.8%
Garland Health Facilities Development Corp. Revenue Bonds,
weekly demand (E) 400 1.080 11/15/32 400
San Antonio Independent School District General Obligation
Unlimited 660 4.000 08/15/04 666
State of Texas Revenue Notes 2,000 2.000 08/31/04 2,006
Tarrant County Housing Finance Corp. Revenue Bonds, weekly
demand (E) 3,000 1.080 02/15/27 3,000
------------
6,072
------------
Vermont - 4.4%
Vermont Educational & Health Buildings Financing Agency
Revenue Bonds, weekly demand (E) 1,765 1.180 06/01/22 1,765
Vermont Educational & Health Buildings Financing Agency
Revenue Bonds, weekly demand (E) 695 1.180 06/01/27 695
Vermont Educational & Health Buildings Financing Agency
Revenue Bonds, weekly demand (E)(u) 1,200 1.100 12/01/25 1,200
Vermont Educational & Health Buildings Financing Agency
Revenue Bonds, weekly demand (E) 1,910 1.100 10/01/25 1,910
------------
5,570
------------
Virginia - 0.8%
Virginia Public School Authority Revenue Bonds 1,000 4.500 08/01/04 1,009
------------
Washington - 1.6%
Washington State Housing Finance Commission Nonprofit
Housing Revenue, daily demand (E) 100 1.080 07/01/11 100
Washington State Housing Finance Commission Revenue Bonds,
weekly demand (E) 155 1.120 08/01/19 155
Washington State Housing Finance Commission Revenue Bonds,
weekly demand (E) 1,175 1.170 08/01/24 1,175
Washington State Housing Finance Commission Revenue Bonds,
weekly demand (E) 400 1.120 08/01/19 400
Washington State Housing Finance Commission Revenue Bonds,
weekly demand (E) 200 1.120 12/01/33 200
------------
2,030
------------
West Virginia - 0.8%
Marshall County West Virginia Revenue Bonds, weekly demand
(E) 1,000 1.230 03/01/26 1,000
------------
</Table>
12 Tax Free Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY# $
- --------------------------------------------------------------------------------------------------------------------------
Wisconsin - 5.6%
City of Milwaukee Wisconsin Revenue Bonds, weekly demand (E) 650 1.110 06/01/29 650
Milwaukee Redevelopment Authority Revenue Bonds, weekly
demand (E) 600 1.200 07/01/21 600
New Berlin School District General Obligation Unlimited
Notes 1,500 2.000 09/03/04 1,505
West Salem School District Revenue Notes 1,000 1.750 09/01/04 1,002
Wisconsin State Health & Educational Facilities Authority
Revenue Bonds, weekly demand (E) 1,955 1.130 06/01/19 1,955
Wisconsin State Health & Educational Facilities Authority
Revenue Bonds, weekly demand (E) 1,345 1.120 08/15/30 1,345
------------
7,057
------------
TOTAL INVESTMENTS - 99.7% (amortized cost $125,803)(+) 125,803
OTHER ASSETS AND LIABILITIES, NET - 0.3% 363
------------
NET ASSETS - 100.0% 126,166
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Tax Free Money Market Fund 13
FRANK RUSSELL INVESTMENT COMPANY
TAX FREE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004
<Table>
<Caption>
- ----------------------------------------------------------------------------
QUALITY RATINGS AS A % OF VALUE (Unaudited)
P-1/A-1; MIG1/SP-1/F1 or equivalent 100%
===
ECONOMIC SECTOR EMPHASIS AS A % OF VALUE (Unaudited)
Non-Profit 22%
Multi-Family Housing Bond 15
Corporate 14
Cashflow Note 10
Education (colleges and universities) 8
Hospital 8
Nursing Home 6
School District 4
Bond Anticipation Note 3
Water and Sewer 3
General Obligation 2
Special Tax 2
Annual Appropriation 1
Asset Backed 1
Pre-refunded 1
---
100%
===
</Table>
See accompanying notes which are an integral part of the financial statements.
14 Tax Free Money Market Fund
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO SCHEDULES OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
FOOTNOTES:
(E) Adjustable or floating rate security. Rate shown reflects rate in effect
at period end.
(u) Bond is insured by a guarantor.
(ae) Pre-refunded: These bonds are collateralized by US Treasury securities,
which are held in escrow by a trustee and used to pay principal and
interest in the tax-exempt issue and to retire the bonds in full at the
earliest refunding date. The rate noted is for descriptive purposes;
effective yield may vary.
# All securities with a maturity date greater than thirteen months have a
demand feature, or an optional or mandatory put, or are pre-refunded,
resulting in an effective maturity of thirteen months or less.
Additionally, all daily and weekly demand securities are backed by direct
payment letters of credit.
(n) Taxable security.
(+) The identified cost for Federal income tax purpose is the same.
(a) Multi-State bond issue including Alabama, California, Colorado,
Connecticut, Florida, Georgia, Illinois, Indiana, Kansas, Kentucky,
Massachusetts, Maine, Michigan, Minnesota, New Hampshire, New Jersey, New
York, Ohio, Oklahoma, Pennsylvania, South Carolina, Texas, and Virginia.
(e) Multi-State bond issue including Arkansas, Florida, Georgia, Kansas,
Kentucky, Tennessee, and Virginia.
ABBREVIATIONS:
LIBOR - London Interbank Offered Rate
A-1 - A short-term obligation rated A-1 is rated in the highest category by
Standard & Poor's for commercial paper obligations. The obligor's capacity to
meet its financial commitment on the obligation is strong. Within this category,
certain obligations are designated with a plus (+) sign. This indicates that the
obligor's capacity to meet its financial commitment on these obligations is
extremely strong.
F-1 - Highest credit quality. Indicates the strongest capacity for timely
payment of financial commitments; (may have an added "+" to denote any
exceptionally strong credit feature.)
MIG1 - This designation denotes superior credit quality. Excellent protection is
afforded by established cash flows, highly reliable liquidity support, or
demonstrated broad-based access to the markets for refinancing.
P-1 - The highest tax-exempt rating given by Moody's Investor Services to
commercial paper with a "superior capacity for repayment."
SP-1 - The highest short-term municipal note credit rating given by Standard &
Poor's Corporation to notes with a "very strong or strong capacity to pay
principal and interest."
Notes to Schedules of Investments 15
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
MONEY MARKET US GOVERNMENT TAX FREE
AMOUNTS IN THOUSANDS FUND MONEY MARKET FUND MONEY MARKET FUND
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments at amortized cost which approximates value $ 2,954,709 $ 28,859 $ 125,803
Repurchase agreements at cost which approximates value -- 24,522 --
Cash -- -- 88
Receivables:
Interest 4,679 268 384
Investments sold 8,030 -- --
Fund shares sold 1,115 10 --
Prepaid expenses 132 -- --
------------------- ------------------- --------------------
Total assets 2,968,665 53,659 126,275
------------------- ------------------- --------------------
LIABILITIES
Payables:
Due to Custodian 10 -- --
Accrued fees to affiliates 267 18 29
Other accrued expenses 73 11 3
Dividends 2,437 31 77
------------------- ------------------- --------------------
Total liabilities 2,787 60 109
------------------- ------------------- --------------------
NET ASSETS $ 2,965,878 $ 53,599 $ 126,166
=================== =================== ====================
Net Assets Consist of:
Undistributed (overdistributed) net investment income $ (141) $ -- $ --
Accumulated net realized gain (loss) (135) (44) (127)
Shares of beneficial interest 29,662 536 1,263
Additional paid-in capital 2,936,492 53,107 125,030
------------------- ------------------- --------------------
NET ASSETS $ 2,965,878 $ 53,599 $ 126,166
=================== =================== ====================
NET ASSET VALUE, per share:
Net asset value per share: Class A* $ 1.00 $ -- $ --
Class A - Net assets $ 1,475,014 $ -- $ --
Class A - Shares outstanding ($.01 par value) 1,475,007 -- --
Net asset value per share: Class S* $ 1.00 $ 1.00 $ 1.00
Class S - Net assets $ 2,964,403,332 $ 53,598,798 $ 126,165,673
Class S - Shares outstanding ($.01 par value) 2,964,678,812 53,642,999 126,292,184
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
* Net asset value per share equals class level net assets divided by class
level shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements.
16 Statement of Assets and Liabilities
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
MONEY MARKET US GOVERNMENT TAX FREE
AMOUNTS IN THOUSANDS FUND MONEY MARKET FUND MONEY MARKET FUND
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 746 $ -- $ --
Interest 15,386 338 764
------------------- ------------------- --------------------
Total investment income 16,132 338 764
------------------- ------------------- --------------------
EXPENSES
Advisory fees 2,793 60 133
Administrative fees 698 15 33
Custodian fees 207 18 29
Distribution fees - Class A 1 -- --
Transfer agent fees 100 29 18
Professional fees 44 7 8
Registration fees 165 7 11
Trustees' fees 42 1 2
Printing fees 41 4 3
Miscellaneous 26 -- 3
------------------- ------------------- --------------------
Expenses before reductions 4,117 141 240
Expense reductions (2,103) -- (1)
------------------- ------------------- --------------------
Net expenses 2,014 141 239
------------------- ------------------- --------------------
Net investment income (loss) 14,118 197 525
------------------- ------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments 34 (1) (5)
------------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 14,152 $ 196 $ 520
=================== =================== ====================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 17
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET
FUND
-------------------------------------------
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003
- -----------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net investment income
(loss) $ 14,118 $ 23,513
Net realized gain (loss) 34 (43)
------------------- --------------------
Net increase (decrease) in net
assets from operations 14,152 23,470
------------------- --------------------
DISTRIBUTIONS
From net investment income
Class A (5) (3)
Class S (14,113) (23,651)
------------------- --------------------
Net decrease in net assets
from distributions (14,118) (23,654)
------------------- --------------------
SHARE TRANSACTIONS
Net increase (decrease)
in net assets from
share transactions 601,540 459,669
------------------- --------------------
TOTAL NET INCREASE (DECREASE)
IN NET ASSETS 601,574 459,485
NET ASSETS
Beginning of period 2,364,304 1,904,819
------------------- --------------------
End of period $ 2,965,878 $ 2,364,304
=================== ====================
Undistributed
(overdistributed) net
investment income included in
net assets $ (141) $ (141)
</Table>
See accompanying notes which are an integral part of the financial statements.
18 Statement of Changes in Net Assets
<Table>
<Caption>
US GOVERNMENT TAX FREE
MONEY MARKET FUND MONEY MARKET FUND
----------------------------------------------------- ------------------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003 (UNAUDITED) 2003
- -------------------------------------------------------------------------------------------------------
$ 197 $ 710 $ 525 $ 1,376
(1) (17) (5) --
------------------------------ ------------------- ------------------- -------------------
196 693 520 1,376
------------------------------ ------------------- ------------------- -------------------
-- -- -- --
(197) (710) (525) (1,376)
------------------------------ ------------------- ------------------- -------------------
(197) (710) (525) (1,376)
------------------------------ ------------------- ------------------- -------------------
(8,619) (30,946) (11,507) (36,945)
------------------------------ ------------------- ------------------- -------------------
(8,620) (30,963) (11,512) (36,945)
62,219 93,182 137,678 174,623
------------------------------ ------------------- ------------------- -------------------
$ 53,599 $ 62,219 $ 126,166 $ 137,678
============================== =================== =================== ===================
$ -- $ -- $ -- $ --
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 19
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$
$ $ $ DISTRIBUTIONS
NET ASSET VALUE NET TOTAL INCOME FROM NET
BEGINNING OF INVESTMENT FROM INVESTMENT
PERIOD INCOME (LOSS) OPERATIONS INCOME
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
Class A
April 30, 2004* 1.0000 .0050 .0050 (.0050)
October 31, 2003 (1) 1.0000 .0051 .0051 (.0051)
- ----------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 1.0000 .0050 .0050 (.0050)
October 31, 2003 1.0000 .0121 .0121 (.0121)
October 31, 2002 1.0000 .0185 .0185 (.0185)
October 31, 2001 1.0000 .0483 .0483 (.0483)
October 31, 2000 (2) 1.0000 .0519 .0519 (.0519)
December 31, 1999 1.0000 .0515 .0515 (.0515)
December 31, 1998 1.0000 .0553 .0553 (.0553)
- ----------------------------------------------------------------------------------------------------------
US GOVERNMENT MONEY MARKET FUND
Class S
April 30, 2004* 1.0000 .0033 .0033 (.0033)
October 31, 2003 1.0000 .0085 .0085 (.0085)
October 31, 2002 1.0000 .0173 .0173 (.0173)
October 31, 2001 1.0000 .0446 .0446 (.0446)
October 31, 2000 (2) 1.0000 .0500 .0500 (.0500)
December 31, 1999 1.0000 .0483 .0483 (.0483)
December 31, 1998 1.0000 .0520 .0520 (.0520)
- ----------------------------------------------------------------------------------------------------------
TAX FREE MONEY MARKET FUND
Class S
April 30, 2004* 1.0000 .0039 .0039 (.0039)
October 31, 2003 1.0000 .0094 .0094 (.0094)
October 31, 2002 1.0000 .0152 .0152 (.0152)
October 31, 2001 1.0000 .0317 .0317 (.0317)
October 31, 2000 (2) 1.0000 .0333 .0333 (.0333)
December 31, 1999 1.0000 .0326 .0326 (.0326)
December 31, 1998 1.0000 .0331 .0331 (.0331)
- ----------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
20 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS,
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(%)(A) (000)
- -----------------------------------------------------------------------------
(.0050) 1.0000 .46 1,475
(.0051) 1.0000 .59 682
- -----------------------------------------------------------------------------
(.0050) 1.0000 .51 2,964,403
(.0121) 1.0000 1.28 2,363,623
(.0185) 1.0000 1.87 1,904,819
(.0483) 1.0000 4.94 1,886,741
(.0519) 1.0000 5.32 1,757,430
(.0515) 1.0000 5.27 2,026,717
(.0553) 1.0000 5.69 1,605,026
- -----------------------------------------------------------------------------
(.0033) 1.0000 .33 53,599
(.0085) 1.0000 .86 62,219
(.0173) 1.0000 1.74 93,182
(.0446) 1.0000 4.55 108,884
(.0500) 1.0000 5.12 81,316
(.0483) 1.0000 4.93 190,150
(.0520) 1.0000 5.34 166,224
- -----------------------------------------------------------------------------
(.0039) 1.0000 .39 126,166
(.0094) 1.0000 .94 137,678
(.0152) 1.0000 1.53 174,623
(.0317) 1.0000 3.22 180,699
(.0333) 1.0000 3.38 169,808
(.0326) 1.0000 3.31 246,695
(.0331) 1.0000 3.36 194,663
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME
NET ASSETS, NET ASSETS, TO AVERAGE
NET(B)(C) GROSS(B) NET ASSETS(B)
- ---
.23 .38 .92
.26 5.24 .96
- ---
.14 .29 1.01
.16 .31 1.21
.14 .29 1.84
.14 .29 4.78
.17 .32 6.23
.17 .32 5.15
.16 .31 5.54
- ---
.47 .47 .66
.41 .48 .87
.25 .45 1.73
.37 .63 4.43
.32 .58 5.91
.30 .54 4.83
.32 .55 5.20
- ---
.36 .36 .79
.32 .36 .95
.25 .35 1.52
.30 .40 3.17
.34 .44 3.96
.21 .31 3.28
.34 .44 3.29
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 21
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2004
- --------------------------------------------------------------------------------
* For the six months ended April 30, 2004 (Unaudited).
(1) For the period April 21, 2003 (commencement of operations) to October 31,
2003.
(2) For the ten months ended October 31, 2000.
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
(c) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
22 Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios, referred to as "Funds."
These financial statements report on three Funds, each of which has distinct
investment objectives and strategies. The Investment Company is registered
under the Investment Company Act of 1940, as amended, as a diversified,
open-end management investment company. It is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Funds in the
preparation of these financial statements.
Security valuation
The Money Market, US Government Money Market and the Tax Free Money Market
Funds' portfolio investments comply with Rule 2a-7 of the Investment Company
Act of 1940, as amended. Accordingly, each portfolio instrument meeting
certain materiality parameters and credit worthiness standards is initially
valued at cost, and thereafter a constant accretion/amortization to maturity
of any discount/premium is assumed. The Funds may value certain securities
for which market quotations are not readily available at "fair value," as
determined in good faith pursuant to procedures established by the Board of
Trustees.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost.
Investment income
Dividend income is recorded on the ex-dividend date and interest income is
recorded on the accrual basis.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, each Fund is
a separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income tax provision was required for the Funds.
Dividends and distributions to shareholders
The Money Market, US Government Money Market and Tax Free Money Market Funds
declare and record dividends daily and pay them monthly. Capital gain
distributions are generally declared and paid annually. An additional
distribution may be paid by the Funds to avoid imposition of federal income
and excise tax on any remaining undistributed capital gains and net
investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) on investment for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP primarily relate to investments in certain securities
sold at a loss and capital loss carryforwards. Accordingly, a Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
Notes to Financial Statements 23
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Expenses
The Funds will pay their own expenses other than those expressly assumed by
Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most
expenses can be directly attributed to the individual Funds. Expenses which
cannot be directly attributed to a specific Fund are allocated among all
Funds principally based on their relative net assets.
Class Allocation
The Money Market Fund offers the following classes of shares: Class A and
Class S. All share classes have identical voting, dividend, liquidation, and
other rights and the same terms and conditions. The separate classes of
shares differ principally in the distribution fees. Shareholders of each
class bear certain expenses that pertain to that particular class. Realized
and unrealized gains (losses), net investment income, and expenses with the
exception of class level expenses, are allocated daily to each class of
shares based upon the relative proportion of net assets of each class.
Repurchase agreements
The Funds may engage in repurchase agreements with several financial
institutions whereby a Fund, through its custodian, receives delivery of
underlying securities as collateral. Each Fund's money manager will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities at Fed wire closing time
remains at least equal to 102% of the repurchase price. The money manager
will notify the Seller to immediately increase the collateral on the
repurchase agreement to 102% of the repurchase price if collateral value
falls below 102%. If the seller defaults, and the fair value of the
collateral declines, realization of the collateral by the Fund may be delayed
or limited.
Guarantees
In the normal course of business the Funds enter into contracts that contain
a variety of representations which provide general indemnifications. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds expect the risk of loss to be remote.
3. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers all of the Funds which comprise the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
Frank Russell Company researches and recommends to FRIMCo, and to the
Investment Company, one or more investment management organizations to manage
the portfolio of each Fund.
The Investment Company Funds are permitted to invest their cash reserves
(i.e., monies awaiting investment in portfolio securities suitable for the
Funds' objectives) in the Money Market, US Government Money Market, and Tax
Free Money Market Funds. As of April 30, 2004, $1,234,739,105, $3,185,000,
and $7,395,984, respectively, represents the investments of other affiliated
Funds not presented herein. In addition, a portion of the collateral received
from the Investment Company's securities lending program in the amount of
$1,075,000,000 is invested in the Money Market Fund.
The advisory and administrative fees, which are based upon the average daily
net assets of each Fund and the rates specified in the table below, are
payable monthly and total $2,985,742 and $746,435, respectively, for the
period ended April 30, 2004.
<Table>
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
----------------------------------------------------------------------
Money Market 0.20% 0.05%
US Government Money Market 0.20 0.05
Tax Free Money Market 0.20 0.05
</Table>
The Advisor has contractually agreed to waive 0.15% of its 0.25% combined
advisory and administrative fees for the Money Market Fund. The amount of
such waiver for the period ended April 30, 2004 was $2,094,601. The advisor
does not have the ability to recover amounts waived from previous periods.
24 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Custodian
The Funds have entered into arrangements with their Custodian whereby custody
credits realized as a result of uninvested cash balances were used to reduce
a portion of the Fund's expenses. During the period ended April 30, 2004, the
Fund's custodian fees were reduced by the following amounts under these
arrangements:
<Table>
Money Market $ 8,038
US Government Money Market 257
Tax Free Money Market 807
</Table>
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Funds. Total fees for the Funds listed for the period ended
April 30, 2004 were $147,122.
Distributor
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling
Agents, as defined in the Plan, for sales support services provided, and
related expenses incurred which are primarily intended to result in the sale
of the Class A shares subject to the Distribution Plan. The 12b-1
distribution payments shall not exceed 0.15% of the average daily net assets
of a Fund's Class A shares on an annual basis.
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 Funds, and Russell Investment Funds ("RIF"), which has
5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly meeting attended in
person, $2,000 for each special meeting attended in person, and $2,000 for
each Joint Audit Committee meeting or Nominating and Governance Committee
meeting attended in person. The Trustee will receive a $500 fee for attending
the meetings by phone instead of receiving the full fee had the member
attended in person. Out of pocket expenses are also paid by the Russell Fund
Complex. The Lead Trustee is paid a fee of $10,000 per year, and each
Committee Chair is paid a fee of $6,000.
4. FEDERAL INCOME TAXES
At October 31, 2003, certain Funds had net tax basis capital loss
carryforwards which may be applied against any realized net taxable gains in
each succeeding year or until their respective expiration dates, whichever
occurs first. Available capital loss carryforwards and expiration dates are
as follows:
<Table>
<Caption>
FUNDS 10/31/04 10/31/05 10/31/06
---------------------------------------------------------------------------------
Money Market $ 814 $ -- $ 3,246
US Government Money Market 3,331 1,570 762
Tax Free Money Market -- -- --
</Table>
<Table>
<Caption>
FUNDS 10/31/07 10/31/08 10/31/09 10/31/10 10/31/11
-----------------------------------------------------------------------------------------------------------------------
Money Market $ 12,599 $ 106,731 $ 35,378 $ -- $ 43,223
US Government Money Market 1,782 8,484 15,034 2,688 17,267
Tax Free Money Market -- 68,310 59,628 19 --
<Caption>
FUNDS TOTALS
-----------------------------------
Money Market $ 201,991
US Government Money Market 50,918
Tax Free Money Market 127,957
</Table>
Notes to Financial Statements 25
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
5. FUND SHARE TRANSACTIONS (amounts in thousands)
Share transactions for the period ended April 30, 2004 and the year ended
October 31, 2003 were as follows:
<Table>
<Caption>
CLASS A CLASS S
ON A CONSTANT DOLLAR BASIS ON A CONSTANT DOLLAR BASIS
------------------------------------- -------------------------------------
2004 2003(A) 2004 2003
----------------- ----------------- ----------------- -----------------
Money Market
Proceeds from shares sold $ 3,495 $ 1,943 $ 8,603,419 $ 15,450,052
Proceeds from reinvestment of
distributions 4 2 1,777 4,486
Payments for shares redeemed (2,709) (1,260) (8,004,446) (14,995,554)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) $ 790 $ 685 $ 600,750 $ 458,984
================= ================= ================= =================
US Government Money Market
Proceeds from shares sold $ -- $ -- $ 44,969 $ 87,929
Proceeds from reinvestment of
distributions -- -- 156 565
Payments for shares redeemed -- -- (53,744) (119,440)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) $ -- $ -- $ (8,619) $ (30,946)
================= ================= ================= =================
Tax Free Money Market
Proceeds from shares sold $ -- $ -- $ 173,447 $ 243,707
Proceeds from reinvestment of
distributions -- -- 369 925
Payments for shares redeemed -- -- (185,323) (281,577)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) $ -- $ -- $ (11,507) $ (36,945)
================= ================= ================= =================
</Table>
(a) Share transactions for Money Market Fund Class A are for the period
April 21, 2003 (commencement of operations) to October 31, 2003.
6. LINE OF CREDIT
Each of the Funds of the Investment Company share in a $75 million revolving
credit facility for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. The Funds are charged an annual commitment fee of .125% on the
average daily unused amount of the aggregate commitment, which is allocated
among each of the Funds. Interest is calculated at the Federal Fund Rate plus
.50% annually. The Funds may borrow up to a maximum of 33.33% of the value of
their net assets under the agreement. The agreement will expire December 22,
2004 and will be reviewed at such time for possible renewal. The Funds did
not have any drawdowns during the period ended April 30, 2004.
7. BENEFICIAL INTEREST
As of April 30, 2004, the following table includes each shareholder with
shares of beneficial interest of greater than 10% of the total outstanding
shares of each respective Fund:
<Table>
<Caption>
FUNDS # OF SHAREHOLDERS %
--------------------------------------------------------------------------------
Money Market 1 36.3
US Government Money Market 3 64.7
Tax Free Money Market 2 65.6
</Table>
8. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800) 787-7354, (ii)
on the Fund's website at www.russell.com, and (iii) on the Securities and
Exchange Commission's website at www.sec.gov.
26 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., and Chairman successor is - Chairman Emeritus, FRIC and
Born July 3, 1932 Emeritus since duly elected RIF
1999 and qualified - Chairman Emeritus, Frank
909 A Street Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC; 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF; (investment
Chairman of the and qualified - CEO and Chairman of the company);
909 A Street Board since 1999 Board, Russell Fund
Tacoma, Washington Until successor Distributors, Inc. and
98402-1616 is chosen and FRIMCo;
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee since Appointed until - 1990 - 2003, President, FRC, 35 None
Phillips, 2002 successor is - 1993 - 2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty. Limited, Frank
Russell Japan Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
Disclosure of Information about Fund Directors 27
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected Until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001 - 2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979 - 2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
28 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr. 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
- 1995 to 1999, Hearing
Officer, University of
Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 29
FRANK RUSSELL INVESTMENT COMPANY
MONEY MARKET FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, with Fund and Term Principal Occupation(s)
Age, Length of of During the
Address Time Served Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
30 Disclosure of Information about Fund Directors
MONEY MARKET FUNDS
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
Money Market Fund
Frank Russell Investment Management Company, Tacoma, WA
US Government Money Market Fund
Frank Russell Investment Management Company, Tacoma, WA
Tax Free Money Market Fund
Weiss, Peck & Greer, LLC, New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 31
(This page intentionally left blank)
(RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-070 (1 04/04)
FRANK RUSSELL INVESTMENT COMPANY (Mountain Graphic)
RUSSELL FUNDS
2004 Semiannual Report
CLASS C, E, AND S SHARES
DIVERSIFIED EQUITY FUND
SPECIAL GROWTH FUND
QUANTITATIVE EQUITY FUND
INTERNATIONAL SECURITIES FUND
EMERGING MARKETS FUND
REAL ESTATE SECURITIES FUND
SHORT TERM BOND FUND
DIVERSIFIED BOND FUND
MULTISTRATEGY BOND FUND
TAX EXEMPT BOND FUND
TAX-MANAGED LARGE CAP FUND
TAX-MANAGED MID & SMALL CAP FUND
CLASS C, E, I, AND S SHARES
SELECT GROWTH FUND
SELECT VALUE FUND
APRIL 30, 2004
(RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on fourteen Funds, each
of which has distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
Russell Funds
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Diversified Equity Fund.............................................. 3
Special Growth Fund.................................................. 10
Quantitative Equity Fund............................................. 21
International Securities Fund........................................ 27
Emerging Markets Fund................................................ 43
Real Estate Securities Fund.......................................... 53
Short Term Bond Fund................................................. 55
Diversified Bond Fund................................................ 66
Multistrategy Bond Fund.............................................. 84
Tax Exempt Bond Fund................................................. 104
Tax-Managed Large Cap Fund........................................... 114
Tax-Managed Mid & Small Cap Fund..................................... 118
Select Growth Fund................................................... 124
Select Value Fund.................................................... 128
Notes to Schedules of Investments.................................... 133
Statement of Assets and Liabilities.................................. 134
Statement of Operations.............................................. 142
Statement of Changes in Net Assets................................... 146
Financial Highlights................................................. 150
Notes to Financial Statements........................................ 165
Disclosure of Information about Fund Directors....................... 186
Manager, Money Managers and Service Providers........................ 190
</Table>
Frank Russell Investment Company - Russell Funds
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance as of April 1, 1995 is reported gross of
investment advisory fees. For periods thereafter, performance and yields are
reported net of investment advisory fees but gross of investment services fees,
descriptions of which can be obtained from the investment advisor. Investment
services fees and other account expenses will reduce performance (e.g., an
investment services fee of 0.2% off average managed assets will reduce a 10.0%
return to 9.8%). The performance quoted represents past performance and the
investment return and principal value of an investment will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost.
Investments in securities of non-US issuers and foreign currencies involve
investment risks different than those of US issuers; the Prospectus contains
further information and details regarding these risks. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 93.4%
Auto and Transportation - 2.4%
American Axle & Manufacturing
Holdings, Inc. (AE)(z) 7,500 289
Autoliv, Inc. 3,800 162
BorgWarner, Inc. (z) 7,200 590
Burlington Northern Santa Fe
Corp. 64,690 2,115
CSX Corp. 118,050 3,631
Delphi Corp. 106,700 1,088
Delta Air Lines, Inc. 961,000 585
FedEx Corp. 52,606 3,783
Ford Motor Co. (z) 52,100 800
General Motors Corp. 40,300 1,911
Landstar System, Inc. (AE) 3,600 162
Lear Corp. 10,000 606
Magna International, Inc. Class A 3,500 276
Navistar International Corp. 69,200 3,124
Norfolk Southern Corp. 37,000 881
Oshkosh Truck Corp. 5,200 266
Paccar, Inc. 5,000 282
Skywest, Inc. 10,900 198
Southwest Airlines Co. 391,100 5,585
Swift Transportation Co., Inc.
(AE) 34,700 587
Union Pacific Corp. 66,760 3,934
United Parcel Service, Inc. Class
B 141,500 9,926
Visteon Corp. 164,200 1,783
Werner Enterprises, Inc. 88,100 1,761
------------
44,325
------------
Consumer Discretionary - 15.3%
Abercrombie & Fitch Co. Class A 62,900 1,978
Accenture, Ltd. Class A (AE) 23,400 556
Activision, Inc. (AE) 69,700 1,050
Advance Auto Parts (AE) 59,600 2,572
Apollo Group, Inc. Class A (AE) 37,600 3,417
Autonation, Inc. (AE) 16,900 288
Avon Products, Inc. 24,400 2,050
Bed Bath & Beyond, Inc. (AE) 98,200 3,645
Best Buy Co., Inc. 13,800 749
Borders Group, Inc. 9,300 223
Callaway Golf Co. 9,500 161
Career Education Corp. (AE) 14,200 909
Carnival Corp. 63,000 2,688
Cendant Corp. 202,850 4,803
Christopher & Banks Corp. 45,300 810
Circuit City Stores, Inc. 59,750 698
Claire's Stores, Inc. 10,400 212
Clear Channel Communications,
Inc. 209,050 8,673
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Coach, Inc. (AE) 39,600 1,687
Darden Restaurants, Inc. 25,400 576
DIRECTV Group, Inc. (The) 109,199 1,955
DoubleClick, Inc. (AE) 35,400 286
Eastman Kodak Co. 33,900 874
eBay, Inc. (AE) 158,597 12,659
Education Management Corp. (AE) 9,800 348
Electronic Arts, Inc. (AE) 165,353 8,370
Estee Lauder Cos., Inc. (The)
Class A 40,200 1,838
Federated Department Stores 11,000 539
Fisher Scientific International 16,500 966
Four Seasons Hotels, Inc. (z) 55,788 2,985
Fox Entertainment Group, Inc.
Class A (AE) 39,700 1,106
Gannett Co., Inc. 124,550 10,796
Gap, Inc. (The) 45,300 997
Gemstar-TV Guide International,
Inc. (AE) 12,700 71
Gillette Co. (The) 191,500 7,836
GTECH Holdings Corp. 19,800 1,206
Harrah's Entertainment, Inc. 6,000 319
Hasbro, Inc. 22,800 431
Home Depot, Inc. 246,500 8,674
InterActiveCorp (AE) 3,600 115
International Game Technology 78,200 2,951
Interpublic Group of Cos., Inc. 32,000 502
Jack in the Box, Inc. (AE) 4,700 127
JC Penney Co., Inc. Holding Co. 223,400 7,564
Jones Apparel Group, Inc. 6,600 242
Kimberly-Clark Corp. 152,680 9,993
Kohl's Corp. (AE) 81,200 3,393
Leggett & Platt, Inc. 4,400 99
Liberty Media Corp. Class A (AE) 387,200 4,236
Liz Claiborne, Inc. 5,500 193
Lowe's Cos., Inc. 65,375 3,403
Ltd Brands 100,400 2,072
Mandalay Resort Group (z) 49,351 2,835
Marriott International, Inc.
Class A 133,700 6,305
May Department Stores Co. (The) 20,960 646
Maytag Corp. (z) 8,000 223
McDonald's Corp. 290,580 7,912
Mohawk Industries, Inc. (AE) (z) 8,100 625
Newell Rubbermaid, Inc. 75,450 1,784
Nike, Inc. Class B 78,528 5,650
Office Depot, Inc. (AE) 51,400 900
Omnicom Group 102,400 8,142
Pacific Sunwear Of California
(AE) 18,900 406
RadioShack Corp. 13,700 421
Reader's Digest Association, Inc.
(The) 10,000 143
</Table>
Diversified Equity Fund 3
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Reebok International, Ltd. 68,000 2,474
Reed Elsevier PLC - ADR (z) 56,460 2,129
Ross Stores, Inc. 20,500 625
Royal Caribbean Cruises, Ltd. (z) 41,668 1,689
RR Donnelley & Sons Co. 30,400 894
Sabre Holdings Corp. 2,100 50
Sears Roebuck and Co. 44,930 1,799
Snap-On, Inc. 4,700 159
Stanley Works (The) 5,400 230
Staples, Inc. 84,000 2,164
Starbucks Corp. (AE) 64,768 2,517
Starwood Hotels & Resorts
Worldwide, Inc. 137,750 5,481
Station Casinos, Inc. 6,400 289
Strayer Education, Inc. 1,300 162
Target Corp. 306,030 13,273
Tech Data Corp. (AE)(z) 16,800 571
Tiffany & Co. 168,375 6,567
Time Warner, Inc. 755,400 12,706
TJX Cos., Inc. 22,510 553
Too, Inc. (AE) 45,200 793
Toro Co. 3,100 180
Tribune Co. 89,080 4,265
United Auto Group, Inc. 4,700 145
Univision Communications, Inc.
Class A (AE)(z) 102,700 3,476
VeriSign, Inc. (AE) 78,900 1,273
VF Corp. 17,200 794
Viacom, Inc. Class B 281,150 10,866
Wal-Mart Stores, Inc. 338,108 19,272
Walt Disney Co. 284,240 6,546
Waste Management, Inc. 117,850 3,347
Wendy's International, Inc. 18,600 725
Whirlpool Corp. 4,800 314
Wynn Resorts, Ltd. (AE)(z) 46,402 1,853
Yahoo!, Inc. (AE) 55,700 2,811
------------
281,875
------------
Consumer Staples - 6.4%
Altria Group, Inc. 213,200 11,807
Anheuser-Busch Cos., Inc. Class 36,800 1,886
Campbell Soup Co. 32,900 909
Clorox Co. 59,700 3,091
Coca-Cola Co. (The) 264,900 13,396
Colgate-Palmolive Co. 139,200 8,057
Del Monte Foods Co. (AE)(z) 34,000 376
Diageo PLC - ADR (z) 22,080 1,203
HJ Heinz Co. 70,810 2,704
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Kellogg Co. 107,430 4,609
Kroger Co. 70,900 1,241
PepsiCo, Inc. 475,679 25,920
Procter & Gamble Co. 253,116 26,767
RJ Reynolds Tobacco Holdings,
Inc. (z) 14,600 946
Safeway, Inc. (AE) 50,800 1,166
Sara Lee Corp. 103,250 2,383
Smithfield Foods, Inc. (AE) 66,650 1,773
Supervalu, Inc. 22,500 693
Systemco Corp. 87,730 3,356
Tyson Foods, Inc. Class A 30,930 580
Unilever NV (z) 6,300 415
UST, Inc. 24,700 919
Walgreen Co. 87,260 3,009
WM Wrigley Jr Co. 11,400 703
------------
117,909
------------
Financial Services - 20.2%
ACE, Ltd. 8,000 351
Aflac, Inc. 20,940 884
AG Edwards, Inc. (z) 65,100 2,382
Allstate Corp. (The) 123,850 5,685
American Express Co. 230,800 11,298
American International Group,
Inc. 378,245 27,101
AmeriCredit Corp. (AE) 64,000 1,037
Ameritrade Holding Corp. (AE) 71,000 869
AmSouth Bancorp 31,600 696
Archstone-Smith Trust (o) 29,200 801
Astoria Financial Corp. 18,900 651
Automatic Data Processing, Inc. 161,862 7,091
Bank of America Corp. 462,910 37,260
Bank of New York Co., Inc. (The) 33,800 985
Bank One Corp. 110,220 5,442
BB&T Corp. 22,200 766
Brandywine Realty Trust (o) 2,600 66
Capital One Financial Corp. 72,900 4,777
Charles Schwab Corp. (The) 155,890 1,604
Charter One Financial, Inc. 23,500 784
Chubb Corp. 89,340 6,164
Cigna Corp. 89,000 5,741
CIT Group, Inc. 66,600 2,289
Citigroup, Inc. 1,059,965 50,974
CNA Financial Corp. (AE) 400 11
Comerica, Inc. 19,800 1,022
Countrywide Financial Corp. 44,337 2,629
Crescent Real Estate Equities Co.
(o) 93,950 1,453
Deluxe Corp. 16,000 661
Equity Office Properties Trust
(o) 67,000 1,686
</Table>
4 Diversified Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Equity Residential (o) 34,500 947
Fannie Mae 206,210 14,171
Fidelity National Financial, Inc. 12,210 447
First American Corp. 6,700 182
First Data Corp. 39,200 1,779
Franklin Resources, Inc. 45,500 2,495
Freddie Mac 45,800 2,675
Global Payments, Inc. 3,500 168
Goldman Sachs Group, Inc. 138,290 13,345
Hartford Financial Services
Group, Inc. 116,500 7,116
Health Care REIT, Inc. (o) 4,700 150
HRPT Properties Trust (o) 7,400 71
Huntington Bancshares, Inc. (z) 33,200 710
IMPAC Mortgage Holdings, Inc. (o) 7,100 134
Instinet Group, Inc. 129,300 844
Janus Capital Group, Inc. 20,920 318
Jefferson-Pilot Corp. 12,100 600
JP Morgan Chase & Co. 418,018 15,717
Keycorp 64,000 1,901
Kimco Realty Corp. (o) 5,500 235
LandAmerica Financial Group, Inc. 2,700 111
Lehman Brothers Holdings, Inc. 24,100 1,769
Lincoln National Corp. 77,000 3,456
Loews Corp. 17,750 1,030
Manulife Financial Corp. 30,344 1,116
Marsh & McLennan Cos., Inc. 12,940 584
MBIA, Inc. 6,605 389
MBNA Corp. 98,000 2,389
Mellon Financial Corp. 146,400 4,339
Merrill Lynch & Co., Inc. 217,314 11,785
Metlife, Inc. 144,870 4,998
MGIC Investment Corp. (z) 13,200 972
Morgan Stanley 269,100 13,829
National City Corp. 79,740 2,765
Nationwide Financial Services 6,800 234
Ohio Casualty Corp. 4,600 90
Old Republic International Corp. 15,500 360
Paychex, Inc. 199,370 7,433
PMI Group, Inc. (The) 84,350 3,630
PNC Financial Services Group,
Inc. 63,900 3,393
Prentiss Properties Trust (o) 3,500 112
Principal Financial Group 21,000 741
Progressive Corp. (The) 6,200 543
Radian Group, Inc. 84,700 3,939
Regions Financial Corp. 32,800 1,138
SLM Corp. 201,026 7,701
SouthTrust Corp. 37,460 1,164
Sovereign Bancorp, Inc. 186,100 3,718
St Paul Travelers Cos., Inc.
(The) 301,187 12,249
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
SunTrust Banks, Inc. 100,860 6,864
Torchmark Corp. 7,400 385
Union Planters Corp. (z) 12,600 350
UnionBanCal Corp. 6,000 321
US Bancorp 47,056 1,207
Wachovia Corp. 65,300 2,987
Waddell & Reed Financial, Inc.
Class A 7,900 176
Washington Mutual, Inc. 71,130 2,802
Wells Fargo & Co. 176,300 9,954
XL Capital, Ltd. Class A 53,600 4,092
------------
372,280
------------
Health Care - 14.1%
Abbott Laboratories 79,400 3,495
Aetna, Inc. 11,900 985
AmerisourceBergen Corp. 17,300 1,001
Amgen, Inc. 330,650 18,606
Amylin Pharmaceuticals, Inc.
(AE)(z) 41,000 918
Anthem, Inc. (AE)(z) 66,600 5,899
Barr Pharmaceuticals, Inc. (AE) 43,200 1,789
Baxter International, Inc. 84,010 2,659
Biogen Idec, Inc. (AE) 54,750 3,230
Boston Scientific Corp. (AE) 358,983 14,787
Bristol-Myers Squibb Co. 74,700 1,875
Cardinal Health, Inc. 14,200 1,040
Caremark Rx, Inc. (AE) 54,100 1,831
Coventry Health Care, Inc. (AE) 5,550 232
CR Bard, Inc. 5,750 611
Dade Behring Holdings, Inc. (AE) 4,300 198
DaVita, Inc. (AE) 4,500 230
Eli Lilly & Co. 146,800 10,835
Express Scripts, Inc. (AE) 3,900 302
Forest Laboratories, Inc. (AE) 116,231 7,495
Genentech, Inc. (AE) 203,289 24,964
Gilead Sciences, Inc. (AE) 51,900 3,157
GlaxoSmithKline PLC - ADR 75,400 3,167
Guidant Corp. 117,250 7,388
HCA, Inc. 5,500 223
Humana, Inc. 8,570 140
IMS Health, Inc. 37,300 942
Invitrogen Corp. (AE) 16,400 1,185
IVAX Corp. 76,900 1,638
Johnson & Johnson 281,530 15,211
Kinetic Concepts, Inc. (AE) 21,300 1,031
King Pharmaceuticals, Inc. (AE) 11,800 204
Kyphon, Inc. (AE) 3,500 88
McKesson Corp. 14,900 490
</Table>
Diversified Equity Fund 5
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Medco Health Solutions, Inc. (AE) 25,400 899
Medtronic, Inc. 237,007 11,959
Merck & Co., Inc. 138,300 6,500
Mylan Laboratories 20,700 474
Novartis AG - ADR 44,720 2,003
Oxford Health Plans 15,700 855
Pacificare Health Systems (AE) 4,200 150
Pfizer, Inc. 1,452,596 51,944
Province Healthcare Co. (AE) 8,800 141
Quest Diagnostics 32,387 2,732
Roche Holding AG - ADR (z) 18,620 1,953
Schering-Plough Corp. 59,800 1,000
Select Medical Corp. 16,400 311
St Jude Medical, Inc. 79,449 6,059
Tenet Healthcare Corp. 182,300 2,144
Teva Pharmaceutical Industries,
Ltd. - ADR 58,750 3,617
Triad Hospitals, Inc. (AE) 11,700 398
UnitedHealth Group, Inc. 231,183 14,213
Watson Pharmaceuticals, Inc. (AE) 19,300 687
Wyeth 108,000 4,112
Zimmer Holdings, Inc. (AE) 122,656 9,794
------------
259,791
------------
Integrated Oils - 3.6%
BP PLC - ADR 133,610 7,068
ChevronTexaco Corp. 111,552 10,207
ConocoPhillips 239,906 17,105
Exxon Mobil Corp. 405,270 17,244
Marathon Oil Corp. 173,400 5,819
Occidental Petroleum Corp. 101,200 4,777
Unocal Corp. 91,040 3,281
------------
65,501
------------
Materials and Processing - 4.2%
Acuity Brands, Inc. 3,700 91
Air Products & Chemicals, Inc. 51,830 2,582
Alcan, Inc. 63,150 2,541
Alcoa, Inc. 130,650 4,017
American Standard Cos., Inc. (AE) 8,000 842
Archer-Daniels-Midland Co. 684,115 12,013
Bemis Co. 11,000 297
Bowater, Inc. 72,080 3,024
Corn Products International, Inc. 71,300 3,030
Domtar, Inc. 110,800 1,273
Dow Chemical Co. (The) 95,700 3,798
Eastman Chemical Co. 12,100 515
Ecolab, Inc. 29,900 891
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
EI Du Pont de Nemours & Co. 141,975 6,098
Florida Rock Industries, Inc. 3,000 119
Freeport-McMoRan Copper & Gold,
Inc. Class B 48,500 1,479
Georgia-Pacific Corp. 32,600 1,144
Hercules, Inc. 18,900 210
IMC Global, Inc. 247,300 3,109
International Paper Co. 137,010 5,524
Lennar Corp. Class B (z) 11,886 522
Lubrizol Corp. 17,500 557
Martin Marietta Materials, Inc.
(z) 14,600 631
Masco Corp. 70,000 1,961
MeadWestvaco Corp. 16,560 433
Monsanto Co. 143,673 4,970
Newmont Mining Corp. 13,300 497
Phelps Dodge Corp. 14,500 955
PPG Industries, Inc. 70,880 4,204
Praxair, Inc. 28,270 1,033
Sherwin-Williams Co. (The) 13,600 517
Smurfit-Stone Container Corp.
(AE) 101,940 1,752
Sonoco Products Co. 5,500 137
St. Joe Co. (The) 50,950 1,997
Syngenta AG - ADR 156,830 2,498
Temple-Inland, Inc. 5,800 358
United States Steel Corp. 24,500 701
Vulcan Materials Co. 12,700 587
Worthington Industries 21,000 379
------------
77,286
------------
Miscellaneous - 4.6%
3M Co. 159,100 13,759
Brunswick Corp. 33,650 1,383
Eaton Corp. 17,400 1,033
FMC Corp. 11,600 498
Fortune Brands, Inc. 7,300 557
General Electric Co. 1,577,913 47,258
Honeywell International, Inc. 141,670 4,899
ITT Industries, Inc. 11,700 928
Johnson Controls, Inc. 18,600 1,020
Textron, Inc. 17,100 944
Tyco International, Ltd. 356,101 9,775
Vivendi Universal SA - ADR 123,100 3,043
------------
85,097
------------
Other Energy - 1.8%
Anadarko Petroleum Corp. 18,600 997
Apache Corp. 38,300 1,604
Consol Energy, Inc. 78,450 2,246
</Table>
6 Diversified Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Devon Energy Corp. 16,810 1,029
El Paso Corp. 116,400 816
EOG Resources, Inc. 122,000 6,009
GlobalSantaFe Corp. 20,000 527
Halliburton Co. 10,500 313
National-Oilwell, Inc. Class C
(AE) 35,000 977
Noble Corp. (AE) 56,000 2,081
NRG Energy, Inc. 48,350 1,049
Patterson-UTI Energy, Inc. 50,100 1,813
Premcor, Inc. (AE) 56,600 1,949
Reliant Energy, Inc. (AE) 353,150 2,935
Schlumberger, Ltd. 135,000 7,902
Valero Energy Corp. 6,300 402
------------
32,649
------------
Producer Durables - 4.1%
Agilent Technologies, Inc. (AE) 150,050 4,053
Applied Materials, Inc. (AE) 136,690 2,492
Boeing Co. (The) 208,500 8,901
Caterpillar, Inc. 173,655 13,498
Centex Corp. 24,400 1,170
Cooper Industries, Ltd. Class A 21,800 1,197
Crane Co. 6,000 185
Deere & Co. 79,840 5,432
Dionex Corp. (AE) 1,400 71
DR Horton, Inc. 18,600 536
Emerson Electric Co. 82,450 4,965
Goodrich Corp. 25,520 735
Hubbell, Inc. Class B 11,000 494
Illinois Tool Works, Inc. 13,400 1,155
KB Home 5,900 407
Koninklijke Philips Electronics
NV 180,700 4,845
Lennar Corp. Class A 55,877 2,618
Lockheed Martin Corp. 85,580 4,082
MDC Holdings, Inc. 28,730 1,775
Molex, Inc. 11,200 334
Northrop Grumman Corp. 41,970 4,166
Novellus Systems, Inc. (AE) 18,950 549
Parker Hannifin Corp. 61,000 3,373
Pitney Bowes, Inc. 12,000 525
Polycom, Inc. (AE) 6,400 122
Pulte Homes, Inc. 11,600 570
Standard-Pacific Corp. 7,900 398
Steelcase, Inc. Class A (z) 3,100 38
Teradyne, Inc. (AE) 43,800 893
United Defense Industries, Inc.
(AE) 4,800 166
United Technologies Corp. 55,100 4,753
------------
74,498
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Technology - 11.2%
ADC Telecommunications, Inc.
(AE)(z) 90,600 227
Adobe Systems, Inc. 9,100 376
Altera Corp. (AE) 195,100 3,904
Amphenol Corp. Class A (AE) 12,000 379
Analog Devices, Inc. 105,880 4,510
Arrow Electronics, Inc. 6,200 157
Autodesk, Inc. 49,900 1,672
Avaya, Inc. (AE) 102,500 1,402
Avnet, Inc. 156,400 3,384
BEA Systems, Inc. (AE) 108,200 1,235
BearingPoint, Inc. (AE) 120,150 1,204
Benchmark Electronics, Inc. (AE) 3,200 86
Broadcom Corp. Class A (AE) 97,810 3,693
Celestica, Inc. (AE)(z) 44,300 779
Cisco Systems, Inc. (AE) 1,218,520 25,431
Computer Sciences Corp. 14,300 585
Comverse Technology, Inc. (AE) 71,700 1,173
Corning, Inc. 282,810 3,119
CSG Systems International (AE) 6,800 114
Dell, Inc. (AE) 478,328 16,603
Electronic Data Systems Corp. 114,500 2,094
EMC Corp. 403,160 4,499
Flextronics International, Ltd.
(AE) 9,000 145
General Dynamics Corp. 2,300 215
Hewlett-Packard Co. 223,260 4,398
Ingram Micro, Inc. Class A (AE) 52,200 624
Intel Corp. 454,700 11,699
International Business Machines
Corp. 121,300 10,695
International Rectifier Corp.
(AE) 66,500 2,636
Jabil Circuit, Inc. (AE) 15,200 401
Juniper Networks, Inc. (AE)(z) 252,780 5,531
LSI Logic Corp. (AE) 17,400 129
Lucent Technologies, Inc. (z) 202,800 683
Maxim Integrated Products 150,274 6,911
Micron Technology, Inc. 160,950 2,192
Microsoft Corp. 905,188 23,508
Motorola, Inc. 528,459 9,644
National Semiconductor Corp. (AE) 7,800 318
Nortel Networks Corp. 43,700 163
ON Semiconductor Corp. (AE) 9,450 47
Oracle Corp. (AE) 622,200 6,981
PerkinElmer, Inc. 39,000 751
Plexus Corp. (AE) 5,400 78
PMC - Sierra, Inc. (AE) 89,600 1,089
Qualcomm, Inc. 346,281 21,629
Sanmina-SCI Corp. (AE) 400,900 4,017
SAP AG - ADR 42,700 1,592
Siebel Systems, Inc. (AE) 357,300 3,673
</Table>
Diversified Equity Fund 7
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Solectron Corp. (AE) 157,800 773
Sony Corp. - ADR (z) 12,140 466
Tellabs, Inc. (AE) 22,800 199
Texas Instruments, Inc. 180,200 4,523
Veritas Software Corp. (AE) 11,100 296
Vishay Intertechnology, Inc.
(AE)(z) 14,500 252
Xilinx, Inc. 80,680 2,713
------------
205,597
------------
Utilities - 5.5%
AGL Resources, Inc. 5,900 169
Alliant Energy Corp. (z) 6,000 149
Alltel Corp. 13,700 690
America Movil SA de CV Class L -
ADR 56,100 1,896
American Electric Power Co., Inc. 28,800 877
AT&T Corp. 52,820 906
AT&T Wireless Services, Inc. (AE) 205,750 2,841
BellSouth Corp. 323,300 8,344
Centerpoint Energy, Inc. 43,900 474
Cinergy Corp. 43,400 1,647
CMS Energy Corp. (z) 47,900 398
Comcast Corp. Class A 163,550 4,741
Comcast Corp. Special Class A 48,673 1,465
Constellation Energy Group, Inc. 13,500 519
COX Communications, Inc. Class A
(AE)(z) 57,420 1,877
Dominion Resources, Inc. 29,390 1,875
DTE Energy Co. (z) 26,900 1,050
Duke Energy Corp. (z) 34,600 729
Edison International 26,100 611
Energy East Corp. (z) 55,580 1,309
Entergy Corp. 165,110 9,015
Exelon Corp. 39,400 2,637
FirstEnergy Corp. 68,530 2,680
KeySpan Corp. 24,510 886
National Fuel Gas Co. 28,340 694
Nextel Communications, Inc. Class
A (AE) 219,768 5,244
NII Holdings, Inc. Class B (AE) 4,100 144
Northeast Utilities 37,100 681
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
NSTAR 17,620 853
Pepco Holdings, Inc. 8,500 161
PG&E Corp. 158,000 4,348
Pinnacle West Capital Corp. 14,000 547
PPL Corp. 47,110 2,019
Progress Energy, Inc. - CVO
(AE)(B)(Y) 5,500 2
Public Service Enterprise Group,
Inc. 106,100 4,552
Puget Energy, Inc. 7,000 154
Qwest Communications
International 56,900 229
SBC Communications, Inc. 398,387 9,920
Sprint Corp.-FON Group 237,720 4,253
Telephone & Data Systems, Inc. 29,950 1,976
TXU Corp. 72,720 2,483
Verizon Communications, Inc. 359,860 13,581
Vodafone Group PLC - ADR 58,448 1,434
Xcel Energy, Inc. 31,000 519
------------
101,579
------------
TOTAL COMMON STOCKS
(cost $1,548,165) 1,718,387
------------
SHORT-TERM INVESTMENTS - 8.5%
Frank Russell Investment Company
Money Market Fund 111,715,922 111,716
Frank Russell Investment Company
Money Market Fund (N) 16,801,489 16,801
State Street Securities Lending
Quality Trust (N) 18,091,059 18,091
United States Treasury Bill
(y)(s) 0.930% due 06/10/04 10,000 9,990
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $156,598) 156,598
------------
TOTAL INVESTMENTS - 101.9%
(identified cost $1,704,763) 1,874,985
OTHER ASSETS AND LIABILITIES,
NET - (1.9)% (34,525)
------------
NET ASSETS - 100.0% 1,840,460
============
</Table>
See accompanying notes which are an integral part of the financial statements.
8 Diversified Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Russell 1000 Index
expiration date 06/04 (31) 9,165 (380)
S&P 500 E-Mini Index
expiration date 06/04 (250) 13,826 (249)
S&P 500 Index
expiration date 06/04 (192) 53,093 (458)
S&P Midcap 400 Index
expiration date 06/04 (151) 44,032 (1,125)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (2,212)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
Diversified Equity Fund 9
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 93.6%
Auto and Transportation - 3.5%
AAR Corp. 37,700 383
Alaska Air Group, Inc. 36,700 812
America West Holdings Corp. Class
B (AE) 24,300 241
American Axle & Manufacturing
Holdings, Inc. (AE) 68,900 2,651
ArvinMeritor, Inc. 18,100 374
ASV, Inc. (AE)(z) 7,050 209
Autoliv, Inc. 21,000 893
Bandag, Inc. 6,400 279
Collins & Aikman Corp. (z) 33,100 203
Dana Corp. 65,800 1,327
Dura Automotive Systems, Inc.
Class A (AE) 10,400 131
EGL, Inc. (AE) 6,650 123
ExpressJet Holdings, Inc. (AE)(z) 11,050 141
Florida East Coast Industries (z) 3,950 144
Frontier Airlines, Inc. (AE)(z) 13,150 119
General Maritime Corp. (AE)(z) 55,000 1,105
Gentex Corp. 20,400 802
Goodyear Tire & Rubber Co. (The)
(z) 16,350 142
Grupo TMM SA - ADR 83,000 232
Gulfmark Offshore, Inc. (AE) 52,000 786
Heartland Express, Inc. (z) 10,722 263
JB Hunt Transport Services, Inc. 12,450 394
Kansas City Southern 36,400 504
Kirby Corp. 3,800 131
Lear Corp. 46,000 2,789
Mesa Air Group, Inc. (AE)(z) 13,750 97
Navistar International Corp. 22,800 1,029
Offshore Logistics, Inc. 30,800 676
OMI Corp. 111,700 1,125
Oshkosh Truck Corp. 17,700 906
Overnite Corp. 23,885 573
Pacer International, Inc. (AE) 114,104 2,145
SCS Transportation, Inc. (AE) 1,200 27
Skywest, Inc. 7,550 137
TBC Corp. (AE) 1,100 31
Teekay Shipping Corp. 18,300 1,113
Tenneco Automotive, Inc. 29,100 402
Tidewater, Inc. 2,500 71
Visteon Corp. 56,600 615
Wabash National Corp. 32,090 815
Wabtec Corp. 55,300 901
------------
25,841
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Consumer Discretionary - 22.1%
Abercrombie & Fitch Co. Class A 47,700 1,500
AC Moore Arts & Crafts, Inc. (AE) 26,620 725
Activision, Inc. (AE) 94,800 1,428
Advance Auto Parts (AE) 33,300 1,437
Advo, Inc. 80,200 2,518
Alliance Gaming Corp. (AE) 57,698 1,441
AnnTaylor Stores Corp. (AE) 26,035 1,055
Applebees International, Inc. 20,070 778
Applica, Inc. 20,900 234
aQuantive, Inc. (AE)(z) 91,300 918
Arbitron, Inc. 41,550 1,548
Argosy Gaming Co. (AE) 6,700 251
Asbury Automotive Group, Inc.
(AE)(z) 23,000 372
Banta Corp. 23,150 1,030
Barnes & Noble, Inc. (AE) 25,000 747
Big 5 Sporting Goods Corp. (AE) 10,750 267
Blockbuster, Inc. Class A(z) 95,350 1,578
Bob Evans Farms, Inc. 15,300 469
Borders Group, Inc. 42,200 1,012
Brink's Co. (The) 49,600 1,375
Brookstone, Inc. (AE) 15,000 298
Brown Shoe Co., Inc. (z) 3,750 137
Caesars Entertainment, Inc. (AE) 170,150 2,254
Callaway Golf Co. 132,414 2,247
CDI Corp. (z) 6,600 213
CDW Corp. 10,500 656
CEC Entertainment, Inc. (AE) 5,100 174
Charlotte Russe Holding, Inc.
(AE) 37,800 622
Charming Shoppes (z) 77,900 550
Childrens Place (AE)(z) 33,001 869
Choice Hotels International, Inc. 48,776 2,190
ChoicePoint, Inc. (AE) 51,633 2,268
Claire's Stores, Inc. 119,356 2,432
CNET Networks, Inc. (AE)(z) 28,776 245
Conn's, Inc. (AE) 28,430 472
Consolidated Graphics, Inc. (AE) 5,200 194
Convergys Corp. (AE) 32,850 477
Corinthian Colleges, Inc. (AE) 19,300 591
Corporate Executive Board Co. 45,419 2,346
Cost Plus, Inc. (AE) 13,797 499
Cox Radio, Inc. Class A (AE) 66,250 1,372
Cumulus Media, Inc. Class A (AE) 39,900 839
Darden Restaurants, Inc. 8,800 199
Department 56 (AE) 5,300 85
Dick's Sporting Goods, Inc.
(AE)(z) 26,548 716
Digital Theater Systems, Inc.
(AE) 18,400 412
Dillard's, Inc. Class A 36,900 621
Dollar Thrifty Automotive Group
(AE) 25,600 675
</Table>
10 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
DoubleClick, Inc. (AE) 43,470 351
Earthlink, Inc. (AE) 52,000 479
Education Management Corp. (AE) 71,500 2,535
Emmis Communications Corp. Class
A (AE) 23,600 552
Entercom Communications Corp.
(AE) 24,600 1,122
Entravision Communications Corp.
Class A (AE) 98,675 901
Federated Department Stores 18,000 882
Finish Line Class A (AE)(z) 41,900 1,405
FTI Consulting, Inc. (AE)(z) 35,100 577
Furniture Brands International,
Inc. 26,000 732
GameStop Corp. Class A (AE)(z) 8,100 143
Gemstar-TV Guide International,
Inc. (AE)(z) 128,480 718
Genesco, Inc. (AE)(z) 34,750 773
Geo Group, Inc. (The) (AE) 4,900 115
Getty Images, Inc. (AE) 61,462 3,357
Gevity HR, Inc. 43,335 955
Goody's Family Clothing, Inc. 11,574 145
Gray Television, Inc. 57,000 845
GTECH Holdings Corp. 61,050 3,720
Handleman Co. (z) 38,450 866
Harman International Industries,
Inc. 22,450 1,703
Harris Interactive, Inc. (AE) 62,317 454
Harte-Hanks, Inc. Class C 33,800 810
Haverty Furniture Cos., Inc. 11,100 201
Hearst-Argyle Television, Inc.
Class C 139,000 3,650
Helen of Troy, Ltd. (AE)(z) 33,500 1,114
Hewitt Associates, Inc. Class A
(AE) 28,000 865
Hollinger International, Inc. 19,900 397
IKON Office Solutions, Inc. (z) 23,500 262
Infospace, Inc. (AE)(z) 18,290 598
Insight Enterprises, Inc. (AE) 46,400 777
International Speedway Corp.
Class A 13,700 577
ITT Educational Services, Inc. 26,500 1,069
Jack in the Box, Inc. (AE) 63,800 1,728
Jo-Ann Stores, Inc. Class C (AE) 9,500 269
Jones Apparel Group, Inc. 17,600 644
Journal Register Co. (AE) 15,600 309
K2, Inc. 36,300 532
Kelly Services, Inc. Class A 4,750 141
Korn/Ferry International (AE) 13,600 204
K-Swiss, Inc. Class A (z) 20,050 391
Lamar Advertising Co. (AE) 26,500 1,088
Landry's Restaurants, Inc. 46,120 1,544
La-Z-Boy, Inc. Class C 45,600 950
Leapfrog Enterprises, Inc.
(AE)(z) 24,100 518
Lee Enterprises, Inc. 24,300 1,161
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Lightbridge, Inc. (AE)(z) 700 4
Lin TV Corp. Class A (AE)(z) 44,100 992
Lithia Motors, Inc. Class A 21,000 542
Liz Claiborne, Inc. 27,400 962
Magellan Health Services, Inc.
(AE) 23,700 761
Marvel Enterprises, Inc. (AE)(z) 34,800 661
Maytag Corp. 28,500 795
McClatchy Co. Class A 17,825 1,266
Media General, Inc. Class A 14,900 1,071
Men's Wearhouse, Inc. (AE) 7,600 194
Modem Media, Inc. (AE) 75,088 389
Monster Worldwide, Inc. (AE) 46,400 1,188
Movado Group, Inc. 2,800 84
Movie Gallery, Inc. (z) 11,800 229
MPS Group, Inc. (AE) 197,550 2,161
Nautilus Group, Inc. (z) 142,410 2,290
Navigant Consulting, Inc. (AE) 15,300 268
Neiman-Marcus Group, Inc. Class A 7,900 384
Nu Skin Enterprises, Inc. (z) 23,850 565
On Assignment, Inc. (AE) 29,100 148
O'Reilly Automotive, Inc. (AE) 28,578 1,283
Orient-Express Hotels, Ltd. Class
A 45,500 735
Papa John's International, Inc.
(AE)(z) 7,350 246
Payless Shoesource, Inc. (AE) 15,700 222
PEP Boys-Manny Moe & Jack (z) 25,600 703
Petco Animal Supplies, Inc. (AE) 51,528 1,513
Pier 1 Imports, Inc. 29,400 607
Playboy Enterprises, Inc. Class B
(AE) 1,900 25
Playtex Products, Inc. (AE) 36,300 269
Polo Ralph Lauren Corp. 60,900 2,107
Pre-Paid Legal Services, Inc.
(AE)(z) 34,450 861
Prime Hospitality Corp. 13,050 131
Pulitzer, Inc. 38,230 1,934
Quiksilver, Inc. (AE) 96,398 2,085
Radio One, Inc. Class D (AE)(z) 94,000 1,782
RC2 Corp. (AE)(z) 6,200 168
Reebok International, Ltd. 16,880 614
Regal Entertainment Group Class A
(z) 55,700 1,214
Regis Corp. 20,897 907
Rent-A-Center, Inc. Class C (AE) 59,800 1,750
Rent-Way, Inc. (AE)(z) 13,700 128
Republic Services, Inc. 38,000 1,095
Ross Stores, Inc. 33,500 1,022
RR Donnelley & Sons Co. (z) 32,791 965
Russell Corp. 22,400 373
Ryan's Family Steak Houses, Inc.
(AE) 60,800 1,103
Sabre Holdings Corp. 30,300 715
Saks, Inc. 156,000 2,246
Scholastic Corp. (AE) 32,100 910
</Table>
Special Growth Fund 11
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Scientific Games Corp. Class A
(AE)(z) 109,900 1,983
SCP Pool Corp. (AE) 64,000 2,573
Select Comfort Corp. (AE)(z) 13,200 320
Service Corp. International (z) 88,300 653
ShopKo Stores, Inc. (z) 83,200 1,103
Sinclair Broadcast Group, Inc.
Class A (AE)(z) 78,000 964
Sirva, Inc. (AE) 28,975 673
SkillSoft PLC - ADR (AE) 101,100 1,264
Snap-On, Inc. 31,300 1,057
Sohu.com, Inc. (AE)(z) 43,300 725
Sonic Automotive, Inc. 6,500 162
Sourcecorp (AE) 3,600 92
Speedway Motorsports, Inc. (z) 58,800 1,753
Spherion Corp. (AE) 10,800 106
Stage Stores, Inc. (AE)(z) 36,000 1,413
Stamps.com, Inc. 15,300 104
Steak N Shake Co. (The) (z) 21,250 401
Stein Mart, Inc. (AE) 11,900 151
Steinway Musical Instruments (AE) 2,500 91
Sylvan Learning Systems, Inc.
(AE) 27,623 974
Talbots, Inc. 23,855 834
Tech Data Corp. (AE) 9,000 306
Tele2 AB Class A - ADR (AE)(z) 42,350 1,141
TeleTech Holdings, Inc. (AE)(z) 62,950 385
Tetra Tech, Inc. (AE) 29,675 493
Thomas Nelson, Inc. 5,400 141
Tiffany & Co. 11,500 449
Toro Co. 18,500 1,076
Tupperware Corp. 28,040 525
Unifirst Corp. 2,900 86
United Auto Group, Inc. 23,100 712
United Stationers, Inc. 27,850 1,058
Vail Resorts, Inc. (AE) 14,900 232
Valassis Communications, Inc. 15,900 491
Valueclick, Inc. (AE) 76,770 795
VeriSign, Inc. (AE) 39,500 637
Washington Post Class B 1,100 1,012
Weight Watchers International,
Inc. (AE)(z) 13,000 507
WESCO International, Inc. (AE) 13,200 189
West Corp. (AE) 33,700 823
Wireless Facilities, Inc. (AE)(z) 55,240 530
Zale Corp. (AE) 14,350 802
------------
160,918
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Consumer Staples - 3.1%
7-Eleven, Inc. (AE) 12,400 200
Adolph Coors Co. Class B 11,400 749
Chiquita Brands International,
Inc. (AE) 7,600 137
Church & Dwight, Inc. 23,200 1,043
Coca-Cola Bottling Co.
Consolidated 17,377 924
Constellation Brands, Inc. Class
A (AE) 50,900 1,686
DIMON, Inc. 16,700 116
Duane Reade, Inc. (AE) 15,400 257
Flowers Foods, Inc. 43,250 1,059
Fresh Brands, Inc. 49,000 431
Great Atlantic & Pacific Tea Co.
(z) 20,200 162
Hain Celestial Group, Inc. (AE) 32,860 651
Interstate Bakeries 12,700 144
John B. Sanfilippo & Son (z) 4,400 138
Lance, Inc. (z) 11,600 175
Longs Drug Stores Corp. 30,000 588
NBTY, Inc. (AE) 49,500 1,839
Pathmark Stores, Inc. (AE) 97,700 835
Pepsi Bottling Group, Inc. 36,900 1,080
PepsiAmericas, Inc. 88,100 1,765
Pilgrim's Pride Corp. (z) 20,250 468
RJ Reynolds Tobacco Holdings,
Inc. (z) 47,150 3,054
Ruddick Corp. 7,000 143
Sanderson Farms, Inc. 15,800 587
Schweitzer-Mauduit International,
Inc. 200 6
Standard Commercial Corp. 2,000 37
Supervalu, Inc. 98,250 3,025
Tootsie Roll Industries, Inc. 6,470 225
Tyson Foods, Inc. Class A 29,700 557
Universal Corp. 14,400 723
------------
22,804
------------
Financial Services - 17.0%
Advent Software, Inc. (AE) 33,800 631
AG Edwards, Inc. 17,200 629
Alabama National Bancorp 1,800 92
Alliance Data Systems Corp. (AE) 145,871 5,073
Allmerica Financial Corp. 23,900 831
AMB Property Corp. (o) 7,700 233
American Financial Group, Inc. 4,900 150
AmeriCredit Corp. (AE)(z) 181,961 2,950
AMLI Residential Properties Trust
(o)(z) 13,950 353
Anthracite Capital, Inc. (o) 40,900 430
Anworth Mortgage Asset Corp. (o) 20,400 238
Arden Realty, Inc. (o) 17,850 504
Aspen Insurance Holdings, Ltd. 44,500 1,038
</Table>
12 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Associated Banc-Corp 19,030 779
Assured Guaranty, Ltd. (AE)(z) 9,900 175
Astoria Financial Corp. 32,800 1,129
AvalonBay Communities, Inc. (o) 27,000 1,340
Bancorp Bank (The) (AE) 30,360 574
Bancorpsouth, Inc. 20,850 422
Bank Mutual Corp. 32,400 342
Bank of Hawaii Corp. 81,300 3,555
BankAtlantic Bancorp, Inc. Class
A 11,900 186
Banknorth Group, Inc. 23,900 732
Bear Stearns Cos., Inc. (The) 10,650 853
BISystem Group, Inc. (The) (AE) 11,700 170
Blackrock, Inc. (z) 11,900 740
BOK Financial Corp. (AE) 4,300 168
Boykin Lodging Co. (o)(z) 8,000 63
Brandywine Realty Trust (o) 19,700 499
Capital Automotive REIT (o) 19,100 537
CapitalSource, Inc. (AE)(z) 44,000 927
Capstead Mortgage Corp. (o)(z) 28,250 363
Cash America International, Inc.
(z) 33,100 708
CBL & Associates Properties, Inc.
(o) 10,300 518
CCC Information Services Group
(AE) 3 --
Central Pacific Financial Corp. 4,400 110
Certegy, Inc. 15,000 537
Charter Municipal Mortgage
Acceptance Co. 21,200 415
Chelsea Property Group, Inc. (o) 6,500 332
Chemical Financial Corp. (z) 3,200 110
CIT Group, Inc. 20,800 715
City Holding Co. 3,600 110
City National Corp. 11,000 678
CNA Surety Corp. 59,700 650
Colonial BancGroup, Inc. (The) 114,000 1,964
Commerce Bancshares, Inc. 13,237 594
Commerce Group, Inc. (z) 7,900 365
Commercial Federal Corp. 39,550 1,015
Commercial Net Lease Realty
(o)(z) 30,400 504
Community Bank System, Inc. 36,360 740
CompuCredit Corp. (AE) 9,700 161
Correctional Properties Trust (o) 3,100 81
Corus Bankshares, Inc. 2,800 106
CVB Financial Corp. 3,740 77
D&B Corp. (AE) 3,500 183
Delphi Financial Group Class A 3,500 141
Direct General Corp. (z) 20,650 738
Doral Financial Corp. 55,925 1,834
Dow Jones & Co., Inc. 3,500 161
Downey Financial Corp. 15,055 726
Duke Realty Corp. (o) 28,000 816
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
E*Trade Financial Corp. (AE) 58,507 665
Eastgroup Properties (o) 9,100 263
eFunds Corp. (AE) 22,895 368
Entertainment Properties Trust
(o) 10,500 351
Equity Inns, Inc. (o) 24,400 200
Equity One, Inc. (o) 26,300 431
Euronet Worldwide, Inc. (AE)(z) 53,125 1,032
Fair Isaac Corp. 22,487 758
Falck SPA (AE) 25,200 784
Fidelity National Financial, Inc. 26,950 986
First American Corp. 51,100 1,386
First Bancorp Puerto Rico 12,850 474
First Commonwealth Financial
Corp. (z) 1,900 27
First Midwest Bancorp, Inc. 8,500 287
First Niagara Financial Group,
Inc. 39,300 495
First Republic Bank (z) 2,800 107
FirstFed Financial Corp. 10,400 420
Flagstar Bancorp, Inc. 46,100 942
Flushing Financial Corp. 8,100 139
Fremont General Corp. 10,900 240
Friedman Billings Ramsey Group,
Inc. Class A 54,650 1,011
Fulton Financial Corp. (z) 10,290 212
Gabelli Asset Management, Inc.
Class A (z) 15,000 603
GATX Corp. 23,800 559
Getty Realty Corp. (o) 10,000 215
Glenborough Realty Trust, Inc.
(o) 23,000 432
Global Payments, Inc. 79,100 3,796
Hancock Holding Co. (z) 3,600 100
Hawthorne Financial Corp. 900 30
Health Care Property Investors,
Inc. (o) 16,500 394
Health Care REIT, Inc. (o) 31,500 1,006
Healthcare Realty Trust, Inc. (o) 22,600 810
Heritage Property Investment
Trust (o) 15,200 386
Highwoods Properties, Inc. (o) 20,900 471
Hospitality Properties Trust (o) 21,600 844
HRPT Properties Trust (o) 266,100 2,541
Hypercom Corp. (AE)(z) 66,710 447
IBERIABANK Corp. 2,300 131
IMPAC Mortgage Holdings, Inc. (o) 43,600 820
IndyMac Bancorp, Inc. 16,950 545
Innkeepers USA Trust (o) 19,900 152
Instinet Group, Inc. 20,500 134
International Bancshares Corp.
(z) 220 12
Investors Financial Services
Corp. (z) 42,700 1,660
IPC Holdings, Ltd. 26,400 972
iStar Financial, Inc. (o) 19,000 675
</Table>
Special Growth Fund 13
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Jack Henry & Associates, Inc. 47,300 860
Jefferies Group, Inc. 27,900 951
Keystone Property Trust (o) 8,600 175
Kilroy Realty Corp. (o) 16,400 514
Koger Equity, Inc. (o) 33,050 692
Kronos, Inc. (AE) 13,815 504
La Quinta Corp. 34,900 251
LandAmerica Financial Group, Inc.
(z) 73,700 3,037
LaSalle Hotel Properties (o) 7,900 174
Legg Mason, Inc. 8,300 764
Lexington Corporate Properties
Trust (o)(z) 12,600 233
LTC Properties, Inc. (o)(z) 4,700 73
Mack-Cali Realty Corp. (o) 15,300 571
Markel Corp. (AE) 6,200 1,817
Meristar Hospitality Corp. (o) 69,900 405
Mid-America Apartment
Communities, Inc. Class M (o) 6,100 197
Moody's Corp. 5,500 355
Nara Bancorp, Inc. (z) 3,200 92
National Health Investors, Inc.
(o) 9,300 223
National Penn Bancshares, Inc.
(z) 3,844 116
Nationwide Financial Services 19,100 657
Nationwide Health Properties,
Inc. (o) 31,600 573
Navigators Group, Inc. (AE) 523 14
NBT Bancorp, Inc. 2,700 56
NDCHealth Corp. (z) 23,000 526
New Century Financial Corp. (z) 32,300 1,370
New Plan Excel Realty Trust (o) 20,300 456
North Fork BanCorp., Inc. (z) 19,500 724
Nuveen Investments, Inc. Class A 24,400 625
OceanFirst Financial Corp. 4,200 92
Ohio Casualty Corp. 11,400 224
Pacific Capital Bancorp (z) 7,900 290
People's Bank 8,800 371
PFF Bancorp, Inc. 19,510 731
Philadelphia Consolidated Holding
Co. (AE) 20,816 1,202
PMI Group, Inc. (The) 17,880 769
Post Properties, Inc. (o) 12,100 325
Prentiss Properties Trust (o) 28,100 900
Procentury Corp. (AE) 25,365 266
Protective Life Corp. 15,300 550
Provident Bankshares Corp. (z) 7,276 205
Providian Financial Corp. 152,612 1,851
PS Business Parks, Inc. (o) 8,200 311
R&G Financial Corp. Class B 17,300 535
Radian Group, Inc. 32,900 1,530
Raymond James Financial, Inc. 44,170 1,110
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Reckson Associates Realty Corp.
(o) 6,000 143
Redwood Trust, Inc. (o) 34,650 1,506
Regency Centers Corp. (o) 6,150 233
RenaissanceRe Holdings, Ltd. 23,400 1,233
Republic Bancorp, Inc. Class A 41,785 783
Ryder System, Inc. 56,350 2,073
SEI Investments Co. 7,600 224
Senior Housing Properties Trust
(o) 52,150 780
Silicon Valley Bancshares (z) 57,700 1,983
SL Green Realty Corp. (o) 5,600 228
Southwest Bancorp, Inc. 50,000 825
Sovereign Bancorp, Inc. 38,900 777
Sovran Self Storage, Inc. (o) 25,400 858
Stancorp Financial Group, Inc. 18,800 1,163
Sterling Bancorp 5,940 164
Sterling Financial Corp. (AE) 20,389 673
Stewart Information Services
Corp. 28,000 994
Summit Properties, Inc. (o) 11,600 263
Susquehanna Bancshares, Inc. 7,400 173
TCF Financial Corp. 10,400 515
TradeStation Group, Inc. (AE) 43,700 281
Trizec Properties, Inc. (o) 9,100 130
UCBH Holdings, Inc. 33,960 1,257
UMB Financial Corp. (z) 7,698 387
United Bankshares, Inc. 2,500 75
United Rentals, Inc. (AE) 38,450 661
Universal Health Realty Income
Trust (o) 4,200 109
Washington Mutual, Inc. 2005
Warrants (AE) 237,600 36
Webster Financial Corp. 25,000 1,088
Weingarten Realty Investors (o) 37,900 1,096
WellChoice, Inc. (AE)(z) 12,400 526
WesBanco, Inc. (z) 3,500 100
Westamerica BanCorp. 11,900 578
WFS Financial, Inc. (AE) 4,300 192
Whitney Holding Corp. 16,600 681
World Acceptance Corp. (AE) 10,473 160
WR Berkley Corp. 4,800 194
WSFS Financial Corp. 6,300 305
Zenith National Insurance Corp.
(z) 1,700 73
Zions BanCorp. 13,500 763
------------
123,658
------------
Health Care - 12.4%
Abgenix, Inc. (AE) 48,000 781
Able Laboratories, Inc. (AE) 30,800 593
Advanced Medical Optics, Inc.
(AE) 5,100 161
</Table>
14 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Advanced Neuromodulation Systems,
Inc. (z) 14,577 397
Alkermes, Inc. (AE)(z) 53,212 816
Alpharma, Inc. Class A 35,900 780
AmediSystem, Inc. (AE) 13,015 392
American Medical Security Group,
Inc. (z) 11,450 293
American Medical Systems
Holdings, Inc. (AE) 42,900 1,114
Applera Corp. - Celera Genomics
Group (AE) 105,350 1,242
Atrix Labs, Inc. (AE)(z) 17,800 537
Bioenvision, Inc. (AE) 30,785 351
Bio-Rad Laboratories, Inc. Class
A (AE) 25,850 1,515
Bradley Pharmaceuticals (AE)(z) 5,600 147
Cell GeneSystem, Inc. (AE) 34,814 385
Cephalon, Inc. (AE) 11,300 643
Commerzbank AG 2004 Warrants
(AE)(z) 6,600 25
Community Health Systems, Inc.
(AE) 26,700 689
Connetics Corp. (AE) 36,490 710
Cooper Cos., Inc. 16,048 867
Dade Behring Holdings, Inc. (AE) 29,100 1,339
Datascope Corp. 3,700 123
DaVita, Inc. (AE) 89,226 4,560
Edwards Lifesciences Corp. (AE) 29,100 1,003
Endo Pharmaceuticals Holdings,
Inc. (AE) 14,250 340
eResearch Technology, Inc.
(AE)(z) 74,325 2,340
First Horizon Pharmaceutical
Corp. (AE)(z) 44,300 687
Flamel Technologies - ADR (AE)(z) 33,240 877
Genencor International, Inc. (AE) 37,700 547
Gen-Probe, Inc. (AE) 59,083 1,970
Health Net, Inc. (AE) 59,100 1,504
Healthsouth Corp. (AE)(z) 133,200 573
Henry Schein, Inc. (AE) 6,235 439
Humana, Inc. 222,250 3,621
Idexx Laboratories, Inc. (AE) 14,750 904
I-Flow Corp. (AE) 38,940 570
Inamed Corp. (AE) 13,465 792
Incyte Corp. (AE)(z) 38,300 304
Invitrogen Corp. (AE) 21,700 1,567
Kindred Healthcare, Inc. (AE)(z) 22,550 1,104
Kinetic Concepts, Inc. (AE) 15,270 739
King Pharmaceuticals, Inc. (AE) 35,900 619
Kos Pharmaceuticals, Inc. (AE) 68,235 2,809
LCA-Vision, Inc. (AE) 8,802 222
Ligand Pharmaceuticals, Inc.
Class B (AE)(z) 77,300 1,655
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Lincare Holdings, Inc. (AE) 43,900 1,525
Manor Care, Inc. 24,500 795
Maxygen (AE) 9,600 105
Medarex, Inc. (AE)(z) 93,300 889
Medicis Pharmaceutical Class A 29,800 1,279
Merit Medical Systems, Inc.
(AE)(z) 13,900 218
Millennium Pharmaceuticals, Inc.
(AE) 31,200 468
Millipore Corp. 24,500 1,285
Myriad Genetics, Inc. (AE)(z) 25,700 443
Neurocrine Biosciences, Inc.
(AE)(z) 22,700 1,490
Odyssey HealthCare, Inc. (AE)(z) 20,211 340
Omnicare, Inc. 33,200 1,377
Omnicell, Inc. (AE)(z) 7,600 105
Orthofix International NV (AE) 13,700 617
Owens & Minor, Inc. 5,800 141
Pacificare Health Systems (AE)(z) 68,100 2,435
Pain Therapeutics, Inc. (AE) 66,943 492
Parexel International Corp. (AE) 33,000 645
Pediatrix Medical Group, Inc.
(AE) 23,000 1,645
Perrigo Co. 30,177 651
Pharmaceutical Resources, Inc. 20,400 822
Pharmacopeia, Inc. (AE) 60,300 1,081
Possis Medical, Inc. (AE)(z) 71,100 1,808
Protein Design Labs, Inc. (AE) 34,900 854
Province Healthcare Co. (AE) 76,500 1,223
QLT, Inc. (AE) 26,800 723
Quidel Corp. (AE)(z) 97,023 660
Respironics, Inc. (AE) 41,250 2,162
Salix Pharmaceuticals, Ltd.
(AE)(z) 25,500 789
Savient Pharmaceuticals, Inc.
(AE) 27,300 102
Select Medical Corp. 127,716 2,420
Sepracor, Inc. (AE)(z) 21,100 1,009
Serologicals Corp. (AE)(z) 45,027 834
Sola International, Inc. (AE) 6,450 132
Sonic Innovations, Inc. (AE)(z) 166,020 1,519
Stericycle, Inc. (AE) 24,900 1,191
Steris Corp. (AE) 31,500 698
Sybron Dental Specialties, Inc.
(AE) 51,966 1,520
Symbion, Inc. 48,825 796
Thermogenesis (AE) 84,335 396
Triad Hospitals, Inc. (AE) 31,100 1,058
United Surgical Partners
International, Inc. (AE) 54,664 1,980
United Therapeutics Corp. (AE)(z) 42,070 1,036
Valeant Pharmaceuticals
International (z) 18,800 434
VCA Antech, Inc. (AE)(z) 98,568 4,031
</Table>
Special Growth Fund 15
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Ventana Medical Systems (AE) 5,200 257
ViaSystem Healthcare, Inc. (AE) 12,900 250
Vicuron Pharmaceuticals, Inc.
(AE) 500 11
West Pharmaceutical Services,
Inc. 1,000 39
------------
90,426
------------
Materials and Processing - 6.6%
Aceto Corp. 52,500 718
Acuity Brands, Inc. 23,200 568
Airgas, Inc. 17,800 394
AK Steel Holding Corp. (AE) 18,300 86
Albany International Corp. Class
A 18,800 573
Albemarle Corp. 8,500 249
Allegheny Technologies, Inc. 12,250 125
Aptargroup, Inc. 12,700 499
Arch Chemicals, Inc. 6,600 193
Armor Holdings, Inc. (AE) 26,015 860
Ashland, Inc. 36,000 1,724
Ball Corp. 8,800 581
Building Material Holding Corp. 5,900 97
Cabot Corp. 38,400 1,298
Calgon Carbon Corp. 113,320 681
Carpenter Technology 13,400 366
Century Aluminum Co. 27,180 538
Ceradyne, Inc. (AE)(z) 26,606 759
Chesapeake Corp. 11,700 266
Clarcor, Inc. 20,110 885
Cleveland-Cliffs, Inc. (z) 3,300 156
Commercial Metals Co. 27,350 717
Constar International, Inc. (AE) 32,000 152
Corn Products International, Inc. 200 9
Crown Holdings, Inc. 82,900 700
Cytec Industries, Inc. 80,700 3,174
Eastern Co. (The) 47,200 769
ElkCorp 21,353 592
EMCOR Group, Inc. (AE)(z) 3,250 133
Encore Wire Corp. (AE) 3,200 87
Florida Rock Industries, Inc. 21,900 871
GrafTech International, Ltd. (AE) 59,120 524
Griffon Corp. (AE) 19,550 429
Harsco Corp. 2,400 104
HB Fuller Co. 11,400 312
Hercules, Inc. 45,500 506
Hughes Supply, Inc. 36,450 2,037
ID Biomedical Corp. (AE)(z) 7,100 66
IMC Global, Inc. 30,400 382
Jones Lang LaSalle, Inc. (AE) 9,100 215
Lafarge North America, Inc. 42,800 1,894
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Lennox International, Inc. (z) 41,250 689
LNR Property Corp. 37,650 1,891
Louisiana-Pacific Corp. 28,200 665
Lubrizol Corp. 25,700 817
Martin Marietta Materials, Inc. 30,400 1,315
Maverick Tube Corp. (AE) 31,916 722
Mueller Industries, Inc. 15,600 523
Myers Industries, Inc. 7,000 99
NCI Building Systems, Inc. (AE) 5,700 167
OM Group, Inc. 25,600 652
Owens-Illinois, Inc. (AE) 4,200 59
Pactiv Corp. (AE) 35,500 815
Perini Corp. (z) 60,610 855
PolyOne Corp. 22,000 150
Precision Castparts Corp. 19,700 887
Quanta Services, Inc. (AE)(z) 102,100 558
Reliance Steel & Aluminum Co. (z) 42,400 1,400
Royal Gold, Inc. (z) 6,700 82
RTI International Metals, Inc. 5,900 86
Ryerson Tull, Inc. 8,200 96
Schnitzer Steel Industries, Inc.
Class A 17,500 460
Sealed Air Corp. (AE) 16,900 829
Shaw Group, Inc. (The) (AE)(z) 64,000 768
Silgan Holdings, Inc. (AE) 6,600 278
Smurfit-Stone Container Corp.
(AE) 57,400 987
Southern Peru Copper Corp. (z) 14,650 425
Steel Dynamics, Inc. (AE)(z) 32,760 789
Symyx Technologies (AE)(z) 6,550 168
Texas Industries, Inc. 38,100 1,284
Tredegar Corp. (z) 2,800 37
Unifi, Inc. 46,300 116
URS Corp. 12,900 333
USEC, Inc. 36,950 254
USG Corp. (z) 112,100 1,595
Washington Group International,
Inc. (AE) 20,444 738
Watsco, Inc. 33,750 984
Wausau-Mosinee Paper Corp. 10,100 142
------------
48,004
------------
Miscellaneous - 1.0%
Brunswick Corp. 37,200 1,529
Carlisle Cos., Inc. 13,900 824
GenCorp, Inc. (z) 26,700 283
Johnson Controls, Inc. 13,600 746
Lancaster Colony Corp. 3,150 130
San-In Godo Bank, Ltd. (The) (AE) 131,400 1,148
Textron, Inc. 15,650 864
</Table>
16 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Trinity Industries, Inc. (z) 27,000 818
Wesco Financial Corp. 3,410 1,352
------------
7,694
------------
Other Energy - 4.5%
Atwood Oceanics, Inc. (AE)(z) 11,200 410
Capstone Turbine Corp. 17,300 44
Comstock Resources, Inc. (AE) 32,820 668
Cooper Cameron Corp. (AE) 11,600 561
Denbury Resources Inc. (AE) 63,000 1,150
Encore Acquisition Co. (AE) 3,800 113
Evergreen Resources, Inc. (AE)(z) 24,100 967
Global Power Equipment Group,
Inc. (AE) 19,500 141
Grant Prideco, Inc. (AE) 76,500 1,167
Houston Exploration Co. (AE) 7,750 347
Key Energy Services, Inc. (AE) 136,399 1,454
Massey Energy Co. 24,900 583
Nabors Industries, Ltd. (AE) 15,400 683
National-Oilwell, Inc. Class C
(AE) 67,500 1,885
Patina Oil & Gas Corp. 80,662 2,242
Patterson-UTI Energy, Inc. (z) 109,899 3,978
Petroleum Development Corp.
(AE)(z) 21,500 568
Petroquest Energy, Inc. (AE) 34,000 110
Reliant Energy, Inc. (AE) 141,700 1,178
Rowan Cos., Inc. 37,500 836
Smith International, Inc. 15,700 860
Sunoco, Inc. 22,800 1,434
Swift Energy Co. (AE) 23,400 508
Talisman Energy, Inc. 14,185 808
TEPPCO Partners L.P. (z) 24,800 932
Tesoro Petroleum Corp. (z) 117,700 2,390
Tom Brown, Inc. (AE) 6,000 287
Unit Corp. 34,233 967
Universal Compression Holdings,
Inc. (AE) 22,650 674
Veritas DGC, Inc. (AE)(z) 110,850 2,265
Vintage Petroleum, Inc. 32,300 487
Westport Resources Corp. (AE) 13,200 452
XTO Energy, Inc. 58,157 1,553
------------
32,702
------------
Producer Durables - 6.0%
Advanced Energy Industries, Inc.
(AE) 27,100 359
American Power Conversion 42,200 787
American Tower Corp. Class A 62,900 783
AO Smith Corp. 4,050 121
Arris Group, Inc. (AE) 47,500 284
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Artesyn Technologies, Inc.
(AE)(z) 79,395 731
Audiovox Corp. Class A (AE)(z) 1,050 16
Briggs & Stratton Corp. 10,600 742
Brooks Automation, Inc. (AE) 54,455 906
Cable Design Technologies Corp.
(AE)(z) 84,000 717
Cascade Corp. 39,400 820
Champion Enterprises, Inc.
(AE)(z) 49,383 538
Cherokee International Corp. (AE) 33,015 492
CNH Global NV 46,400 922
Crane Co. 4,550 140
Credence Systems Corp. (AE)(z) 66,945 746
Crown Castle International Corp.
(AE) 41,200 575
Curtiss-Wright Corp. (z) 16,400 772
Cymer, Inc. (AE) 14,200 454
Dominion Homes, Inc. (AE)(z) 3,100 89
Donaldson Co., Inc. 89,607 2,458
DR Horton, Inc. 34,950 1,007
Engineered Support Systems, Inc. 3,000 146
EnPro Industries, Inc. (AE) 650 13
ESCO Technologies, Inc. 24,600 1,188
Esterline Technologies Corp. 10,950 271
FSI International, Inc. (AE) 24,200 145
Genlyte Group, Inc. (AE) 400 23
Goodrich Corp. 77,650 2,236
Graco, Inc. 5,175 146
Kadant, Inc. (AE) 4,300 79
Kimball International, Inc. Class
B (z) 12,000 177
Lennar Corp. Class A 20,200 946
Lincoln Electric Holdings, Inc. 8,000 252
Littelfuse, Inc. (AE) 8,980 345
M/I Homes, Inc. (z) 6,250 267
Manitowoc Co. 42,910 1,305
MDC Holdings, Inc. 22,350 1,381
Meritage Corp. 21,200 1,438
Metrologic Instruments, Inc. (AE) 700 11
Mettler Toledo International,
Inc. (AE) 30,500 1,367
Milacron, Inc. (z) 91,500 360
Molex, Inc. 18,500 551
Moog, Inc. Class A 14,200 469
Novatel Wireless, Inc. (AE) 35,080 517
Orbital Sciences Corp. (AE)(z) 79,200 1,020
Pall Corp. 27,600 656
Paxar Corp. (AE) 56,920 938
Photronics, Inc. (AE) 50,100 746
Plantronics, Inc. (AE) 43,750 1,660
Polycom, Inc. (AE) 35,900 685
SBA Communications Corp. (AE) 10,000 40
Semitool, Inc. (AE) 8,329 92
</Table>
Special Growth Fund 17
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Standard-Pacific Corp. 42,217 2,129
Steelcase, Inc. Class A (z) 15,600 192
Symmetricom, Inc. (AE) 135,300 1,084
Tecumseh Products Co. Class A 13,600 529
Tektronix, Inc. 32,500 962
Teledyne Technologies, Inc. (AE) 47,800 907
Terex Corp. 22,480 738
Thomas Industries, Inc. 2,200 74
Toll Brothers, Inc. (AE)(z) 27,200 1,076
United Industrial Corp. 17,100 351
Vyyo, Inc. (AE)(z) 68,750 406
Watts Water Technologies, Inc.
Class A 39,500 967
William Lyon Homes, Inc. (AE)(z) 1,600 141
------------
43,485
------------
Technology - 13.9%
3Com Corp. (AE) 285,100 1,756
Acxiom Corp. (AE) 12,200 282
ADC Telecommunications, Inc. (AE) 276,600 692
Adtran, Inc. 23,144 567
Advanced Fibre Communications,
Inc. (AE) 56,800 949
Aeroflex, Inc. (AE) 181,630 2,285
Agile Software Corp. (AE) 62,800 474
AgilySystem, Inc. (z) 4,200 49
Alliance Semiconductor Corp. (AE) 36,800 213
Altiris, Inc. (AE)(z) 19,900 503
Analogic Corp. 16,500 781
Anixter International, Inc. 31,850 933
Anteon International Corp. (AE) 16,200 505
Applied Micro Circuits Corp. (AE) 134,590 594
Ascential Software Corp. (AE) 71,173 1,210
Aspect Communications Corp. (AE) 11,800 140
Aspen Technology, Inc. (AE)(z) 149,610 972
ATI Technologies, Inc. (AE) 24,800 361
Atmel Corp. (AE) 207,400 1,211
Autodesk, Inc. 77,150 2,585
Avaya, Inc. (AE) 38,700 529
Avnet, Inc. 189,249 4,096
AVX Corp. 45,800 650
BearingPoint, Inc. (AE) 113,800 1,140
Benchmark Electronics, Inc. (AE) 19,200 519
Borland Software Corp. (AE) 24,500 202
California Micro Devices CP
(AE)(z) 35,332 507
Ceridian Corp. (AE) 41,200 881
Chordiant Software, Inc. (AE)(z) 218,139 851
Ciena Corp. (AE) 128,900 534
Cognos, Inc. (AE) 25,175 794
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Coherent, Inc. (AE)(z) 15,250 373
CommScope, Inc. (AE)(z) 18,400 322
Compuware Corp. (AE) 111,300 851
Comtech Telecommunications (AE) 22,926 371
Comverse Technology, Inc. (AE) 78,300 1,281
Cray, Inc. (AE) 88,520 549
Cypress Semiconductor Corp.
(AE)(z) 119,100 1,664
Ditech Communications Corp. (AE) 43,960 632
Dot Hill Systems Corp. (AE)(z) 18,200 137
DRS Technologies, Inc. (AE) 26,000 735
E.piphany, Inc. (AE) 46,000 201
EDO Corp. 54,300 1,233
EMS Technologies, Inc. (AE) 3,300 58
Emulex Corp. (AE)(z) 45,800 763
ESS Technology (AE) 22,800 244
Exar Corp. (AE) 123,600 1,886
Fairchild Semiconductor
International, Inc. (AE) 97,579 1,900
Filenet Corp. (AE) 7,700 211
Foundry Networks, Inc. (AE) 28,450 326
Gerber Scientific, Inc. (z) 18,400 110
Harris Corp. 30,700 1,383
Hifn, Inc. (AE)(z) 55,623 485
Imation Corp. 33,400 1,302
InFocus Corp. (AE) 107,000 874
Informatica Corp. (AE) 93,300 675
Ingram Micro, Inc. Class A (AE) 48,950 585
Integrated Circuit Systems, Inc.
(AE) 38,000 900
Integrated Device Technology,
Inc. (AE) 156,800 2,109
Integrated Silicon Solutions,
Inc. (AE) 48,400 665
Intergraph Corp. (AE) 7,800 194
International Rectifier Corp.
(AE) 17,500 694
Internet Security Systems (AE) 56,200 747
Intersil Corp. Class A 49,300 974
Kemet Corp. (AE) 83,000 1,028
Keynote Systems, Inc. (AE) 44,100 523
Komag, Inc. (AE)(z) 10,000 127
L-3 Communications Holdings, Inc. 12,000 741
Lawson Software, Inc. (AE) 41,000 291
LSI Logic Corp. (AE) 260,150 1,936
Macromedia, Inc. (AE) 16,400 338
Macrovision Corp. (AE) 79,170 1,333
Maxtor Corp. (AE) 206,300 1,343
Mentor Graphics Corp. 59,829 993
Mercury Interactive Corp. (AE) 12,200 519
Methode Electronics, Inc. 11,450 130
Micromuse, Inc. (AE) 88,810 596
Microsemi Corp. 41,600 452
MicroStrategy, Inc. Class A (AE) 38,932 1,870
</Table>
18 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
MRO Software, Inc. (AE) 6,575 88
MSC.Software Corp. (z) 79,700 743
National Instruments Corp. 35,600 1,088
NCR Corp. (AE) 7,200 322
NetIQ Corp. (AE) 47,900 616
Netopia, Inc. (AE)(z) 57,760 345
Network Associates, Inc. (AE) 19,600 307
Newport Corp. 38,500 571
Novell, Inc. (AE) 107,800 1,039
ON Semiconductor Corp. (AE) 81,500 394
PalmOne, Inc. (AE)(z) 17,000 277
PanAmSat Corp. (AE)(z) 6,000 138
Park Electrochemical Corp. (z) 8,700 205
Peregrine Systems, Inc. (AE) 21,010 420
Performance Technologies, Inc.
(AE)(z) 38,851 505
PerkinElmer, Inc. 26,000 501
Perot Systems Corp. Class A (AE) 56,400 751
Plexus Corp. (AE) 17,200 247
Pomeroy IT Solutions, Inc. 7,100 99
Quantum Corp. (AE)(z) 195,800 613
Quest Software, Inc. (AE)(z) 93,100 1,047
RadiSystem Corp. (AE)(z) 50,525 943
RADWARE, Ltd. (AE) 28,455 601
Remec, Inc. (AE)(z) 62,000 390
Sanmina-SCI Corp. (AE) 342,100 3,429
Seachange International, Inc.
(AE)(z) 10,800 125
Semtech Corp. (AE) 70,700 1,486
Serena Software, Inc. (AE)(z) 68,800 1,223
Sigma Designs, Inc. (AE)(z) 16,150 94
Silicon Graphics, Inc. (AE)(z) 144,600 279
Silicon Storage Technology, Inc.
(AE) 42,700 566
Skyworks Solutions, Inc. (z) 44,000 377
SonicWALL, Inc. (AE) 104,450 748
Spectrasite, Inc. (AE) 19,000 710
SRS Labs, Inc. (AE) 98,997 445
Stellent, Inc. (AE) 84,495 629
StrataSystem, Inc. (AE)(z) 30,335 620
Sybase, Inc. (AE) 15,300 262
SYKES Enterprises, Inc. (AE)(z) 10,200 56
Symbol Technologies, Inc. 76,800 922
Tellabs, Inc. (AE) 84,400 737
TIBCO Software, Inc. (AE) 109,300 820
Transaction Systems Architects,
Inc. Class A (AE) 12,800 272
Triquint Semiconductor, Inc. (AE) 43,800 240
TTM Technologies, Inc. (AE) 41,430 460
Ulticom, Inc. (AE) 49,185 461
UniSystem Corp. 74,200 967
UNOVA, Inc. (AE)(z) 94,450 1,653
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Utstarcom, Inc. (AE)(z) 7,700 203
Verint Systems, Inc. (AE)(z) 4,800 129
Verity, Inc. (AE) 66,515 825
Vishay Intertechnology, Inc. (AE) 18,350 319
Vitesse Semiconductor Corp. (AE) 101,203 433
WatchGuard Technologies (AE) 103,360 719
Wavecom Sa - ADR (AE) 47,900 463
WebEx Communications, Inc.
(AE)(z) 46,250 1,038
Western Digital Corp. (AE) 82,400 666
Zoran Corp. (AE)(z) 61,920 1,024
------------
101,069
------------
Utilities - 3.5%
AGL Resources, Inc. 26,600 761
Allete, Inc. 27,000 933
Avista Corp. (z) 48,450 819
Centerpoint Energy, Inc. 147,600 1,593
CMS Energy Corp. (z) 46,300 385
Dobson Communications Corp. Class
A (AE)(z) 107,900 386
Duquesne Light Holdings, Inc. (z) 7,500 141
Empire District Electric Co.
(The) (z) 10,400 216
Energen Corp. 26,300 1,088
Hawaiian Electric Industries (z) 14,800 736
IDT Corp. (AE) 46,300 860
Laclede Group, Inc. (The) (z) 4,400 121
MDU Resources Group, Inc. 42,200 945
National Fuel Gas Co. 1,600 39
New Jersey Resources Corp. 7,150 272
Nextel Partners, Inc. Class A
(AE)(z) 100,700 1,344
Northeast Utilities 137,850 2,530
Northwest Natural Gas Co. 4,500 132
NSTAR 22,200 1,074
OGE Energy Corp. 18,000 433
Pinnacle West Capital Corp. 3,700 145
PNM Resources, Inc. 15,300 446
Primus Telecommunications GP
(AE)(z) 81,900 456
PTEK Holdings, Inc. (AE)(z) 301,320 3,065
Sierra Pacific Resources (z) 29,100 206
South Jersey Industries, Inc. 3,000 124
Southwest Gas Corp. 8,500 194
TECO Energy, Inc. (z) 14,900 190
Telephone & Data Systems, Inc. 29,050 1,916
TELUS Corp. 41,900 659
Time Warner Telecom, Inc. Class A
(AE)(z) 39,850 151
UGI Corp. 42,500 1,339
US Cellular Corp. (AE) 23,400 802
</Table>
Special Growth Fund 19
FRANK RUSSELL INVESTMENT COMPANY
SPECIAL GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
WGL Holdings, Inc. 24,300 687
WPS Resources Corp. 8,500 389
------------
25,577
------------
TOTAL COMMON STOCKS
(cost $572,373) 682,178
------------
SHORT-TERM INVESTMENTS - 20.5%
Frank Russell Investment Company
Money Market Fund 45,718,445 45,718
Frank Russell Investment Company
Money Market Fund (N) 48,457,847 48,458
State Street Securities Lending
Quality Trust (N) 52,177,148 52,177
United States Treasury Bill
(y)(s)
0.930% due 06/10/04 3,000 2,997
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $149,350) 149,350
------------
TOTAL INVESTMENTS - 114.1%
(identified cost $721,723) 831,528
OTHER ASSETS AND LIABILITIES,
NET - (14.1%) (102,848)
------------
NET ASSETS - 100.0% 728,680
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Russell 2000 Index
expiration date 06/04 (92) 25,753 (1,155)
Russell 2000 E-Mini Index
expiration date 06/04 (194) 10,862 (389)
S&P 500 Index
expiration date 06/04 (19) 5,254 (108)
S&P 500 E-Mini Index
expiration date 06/04 (118) 6,526 (111)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,763)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
20 Special Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 96.3%
Auto and Transportation - 3.0%
American Axle & Manufacturing
Holdings, Inc. (AE) 65,055 2,503
Autoliv, Inc. 34,469 1,466
Burlington Northern Santa Fe
Corp. 107,100 3,502
CSX Corp. 51,500 1,584
Delphi Corp. 83,000 847
FedEx Corp. 124,498 8,953
Ford Motor Co. 268,600 4,126
General Motors Corp. (z) 199,800 9,475
Harley-Davidson, Inc. 86,100 4,849
JB Hunt Transport Services, Inc.
(z) 86,243 2,730
Landstar System, Inc. (AE) 11,200 504
Lear Corp. 33,600 2,037
Norfolk Southern Corp. 58,600 1,396
Oshkosh Truck Corp. 12,400 635
Paccar, Inc. 14,600 824
Skywest, Inc. (z) 36,500 664
Southwest Airlines Co. 34,500 493
Swift Transportation Co., Inc.
(AE) 17,542 297
Union Pacific Corp. 13,000 766
United Parcel Service, Inc.
Class B 152,000 10,663
------------
58,314
------------
Consumer Discretionary - 17.6%
Accenture, Ltd. Class A (AE) 125,643 2,987
Activision, Inc. (AE) 51,600 777
Advance Auto Parts (AE) 30,606 1,321
Autonation, Inc. (AE) 149,500 2,544
Barnes & Noble, Inc. (AE) 7,942 237
Bed Bath & Beyond, Inc. (AE) 54,600 2,027
Best Buy Co., Inc. 43,800 2,376
Black & Decker Corp. 61,000 3,529
Borders Group, Inc. (z) 73,651 1,765
Brinker International, Inc. (AE) 5,253 202
Caesars Entertainment, Inc. (AE) 243,703 3,229
Callaway Golf Co. (z) 27,600 468
Career Education Corp. (AE) 39,000 2,496
CBRL Group, Inc. 20,200 759
Cendant Corp. 859,397 20,351
ChoicePoint, Inc. (AE) 7,100 312
Claire's Stores, Inc. 81,991 1,671
Clear Channel Communications,
Inc. 17,800 739
Coach, Inc. (AE) 96,000 4,090
Convergys Corp. (AE) 120,984 1,757
Darden Restaurants, Inc. 84,600 1,917
Dollar General Corp. 274,148 5,143
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Eastman Kodak Co. 113,300 2,922
eBay, Inc. (AE) 31,000 2,474
Education Management Corp. (AE) 25,800 915
Electronic Arts, Inc. (AE) 118,100 5,978
Federated Department Stores 395,809 19,395
Foot Locker, Inc. 31,900 766
Fox Entertainment Group, Inc.
Class A (AE) 458,527 12,770
Gap, Inc. (The) 364,400 8,020
Getty Images, Inc. (AE) 25,300 1,381
Gillette Co. (The) 299,722 12,265
GTECH Holdings Corp. (z) 38,473 2,344
Harman International Industries,
Inc. 111,712 8,473
Harrah's Entertainment, Inc. 47,354 2,518
Harte-Hanks, Inc. Class C 11,300 271
Hearst-Argyle Television, Inc.
Class C (z) 10,232 269
Home Depot, Inc. 929,539 32,709
International Game Technology 119,300 4,502
ITT Educational Services, Inc. 3,561 144
Kimberly-Clark Corp. 222,900 14,589
Ltd Brands 9,863 204
Mandalay Resort Group (z) 74,600 4,286
May Department Stores Co. (The) 398,592 12,277
Maytag Corp. 108,588 3,030
McDonald's Corp. 351,000 9,558
McGraw-Hill Cos., Inc. (The)
Class C 147,643 11,643
MGM Mirage 62,311 2,854
Michaels Stores, Inc. (z) 31,793 1,591
Mohawk Industries, Inc. (AE) 21,400 1,651
Pacific Sunwear Of California
(AE) 43,675 938
Quiksilver, Inc. (AE) 11,300 244
RadioShack Corp. 185,253 5,698
Regis Corp. 48,696 2,114
Rent-A-Center, Inc. Class C (AE) 35,100 1,027
Ross Stores, Inc. 60,700 1,851
Sabre Holdings Corp. 30,704 724
Saks, Inc. 39,700 572
ServiceMaster Co. (The) 10,400 126
Snap-On, Inc. 14,900 503
Starwood Hotels & Resorts
Worldwide, Inc. 6,500 259
Strayer Education, Inc. 3,200 400
Target Corp. 131,800 5,716
Time Warner, Inc. 737,700 12,408
Toro Co. 10,200 593
Tribune Co. 72,700 3,481
United Auto Group, Inc. 5,800 179
University of Phoenix Online (AE) 29,648 2,581
</Table>
Quantitative Equity Fund 21
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Viacom, Inc. Class B 594,555 22,980
Wal-Mart Stores, Inc. 312,316 17,802
Walt Disney Co. 322,958 7,438
Waste Management, Inc. 226,000 6,418
Wendy's International, Inc. 13,700 534
Whirlpool Corp. 56,353 3,692
Yahoo!, Inc. (AE) 48,200 2,432
Yum! Brands, Inc. (AE) 92,000 3,569
------------
344,775
------------
Consumer Staples - 5.2%
Adolph Coors Co. Class B 17,487 1,149
Albertson's, Inc. (z) 100,500 2,348
Altria Group, Inc. 246,420 13,647
Anheuser-Busch Cos., Inc. 200,273 10,262
Coca-Cola Co. (The) 54,100 2,736
Coca-Cola Enterprises, Inc. 215,951 5,831
Constellation Brands, Inc. Class
A (AE) 17,600 583
CVS Corp. 45,300 1,750
Hershey Foods Corp. 18,300 1,627
HJ Heinz Co. 40,400 1,543
Kellogg Co. 185 8
Kroger Co. 147,500 2,581
Loews Corp. - Carolina Group (z) 17,253 453
Pepsi Bottling Group, Inc. 226,725 6,636
PepsiAmericas, Inc. (z) 113,320 2,270
PepsiCo, Inc. 23,008 1,254
Procter & Gamble Co. 205,100 21,689
Safeway, Inc. (AE) 61,800 1,418
Sara Lee Corp. 294,847 6,805
Smithfield Foods, Inc. (AE) 3,420 91
Supervalu, Inc. 157,146 4,839
Systemco Corp. 35,100 1,343
Tyson Foods, Inc. Class A 445,625 8,351
WM Wrigley Jr Co. 35,743 2,205
------------
101,419
------------
Financial Services - 20.8%
Affiliated Computer Services,
Inc. Class A (AE) 44,900 2,178
Alliance Data Systems Corp. (AE) 8,600 299
Allstate Corp. (The) 344,831 15,828
American Express Co. 8,200 401
American International Group,
Inc. 79,713 5,711
Annaly Mortgage Management, Inc.
(o)(z) 36,600 633
Arden Realty, Inc. (o) 2,352 66
Automatic Data Processing, Inc. 118,200 5,178
Bank of America Corp. 442,056 35,580
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Bank One Corp. 88,400 4,364
BB&T Corp. 54,300 1,873
Bear Stearns Cos., Inc. (The) (z) 49,700 3,983
Brandywine Realty Trust (o) 8,900 226
Charter One Financial, Inc. 147,500 4,922
Cigna Corp. 56,255 3,629
Cincinnati Financial Corp. 32,340 1,326
Citigroup, Inc. 1,305,295 62,771
CNA Financial Corp. (AE) 20,900 573
Countrywide Financial Corp. 63,000 3,736
Doral Financial Corp. (z) 75,172 2,465
DST Systems, Inc. (AE)(z) 14,600 645
Equity Office Properties Trust
(o) 36,500 919
Fannie Mae 233,490 16,045
Federated Investors, Inc. Class B 45,100 1,326
Fidelity National Financial, Inc. 296,426 10,849
First American Corp. 28,500 773
First Horizon National Corp. 59,100 2,598
Fiserv, Inc. (AE) 41,700 1,525
Freddie Mac 136,283 7,959
Friedman Billings Ramsey Group,
Inc. Class A (z) 108,149 2,001
General Growth Properties, Inc.
(o) 49,522 1,343
Global Payments, Inc. 11,100 533
Goldman Sachs Group, Inc. 132,300 12,767
Greenpoint Financial Corp. 34,472 1,344
H&R Block, Inc. 65,900 2,973
Hartford Financial Services
Group, Inc. 25,400 1,551
Health Care REIT, Inc. (o) 8,500 271
Hospitality Properties Trust (o) 15,948 623
HRPT Properties Trust (o) 10,000 96
IMPAC Mortgage Holdings, Inc.
(o)(z) 26,200 493
iStar Financial, Inc. (o) 10,700 380
Jack Henry & Associates, Inc. (z) 109,582 1,993
JP Morgan Chase & Co. 597,514 22,467
Keycorp 137,000 4,069
Kimco Realty Corp. (o) 17,600 752
Lehman Brothers Holdings, Inc. 42,200 3,097
Lincoln National Corp. 6,052 272
Loews Corp. 22,500 1,305
Macerich Co. (The) (o) 3,470 145
Marsh & McLennan Cos., Inc. 54,106 2,440
MBNA Corp. 620,971 15,139
Merrill Lynch & Co., Inc. 153,395 8,319
Moody's Corp. 27,400 1,768
Morgan Stanley 437,545 22,485
National City Corp. 357,631 12,399
National Commerce Financial Corp. 18,000 479
</Table>
22 Quantitative Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nationwide Financial Services 26,571 914
North Fork BanCorp., Inc. (z) 14,900 553
Ohio Casualty Corp. 15,100 296
Old Republic International Corp. 47,900 1,112
Pan Pacific Retail Properties,
Inc. (o) 3,210 141
Paychex, Inc. 129,500 4,828
Popular, Inc. 13,600 571
Principal Financial Group 79,600 2,810
Progressive Corp. (The) 107,300 9,391
Protective Life Corp. 11,500 414
Providian Financial Corp. 12,670 154
Regions Financial Corp. 31,600 1,097
Ryder System, Inc. 18,387 676
SLM Corp. 124,100 4,754
SouthTrust Corp. 19,300 600
Sungard Data Systems, Inc. (AE) 211,794 5,521
Thornburg Mortgage, Inc. (o)(z) 17,300 448
UnionBanCal Corp. 30,500 1,630
US Bancorp 216,526 5,552
Wachovia Corp. 416,477 19,054
Washington Mutual, Inc. 227,600 8,965
Wells Fargo & Co. 223,571 12,623
WR Berkley Corp. 119,047 4,821
Zions BanCorp. 18,500 1,046
------------
407,856
------------
Health Care - 15.3%
Abbott Laboratories 257,600 11,340
Aetna, Inc. 69,200 5,726
Affymetrix, Inc. (AE)(z) 69,336 2,119
AmerisourceBergen Corp. 29,300 1,696
Amgen, Inc. 169,900 9,560
Barr Pharmaceuticals, Inc. (AE) 13,200 547
Baxter International, Inc. 48,000 1,519
Beckman Coulter, Inc. 22,000 1,228
Becton Dickinson & Co. 188,487 9,528
Biomet, Inc. 17,400 687
Boston Scientific Corp. (AE) 173,700 7,155
Bristol-Myers Squibb Co. 232,600 5,838
Cardinal Health, Inc. 64,000 4,688
Caremark Rx, Inc. (AE) 106,300 3,598
Community Health Systems, Inc.
(AE) 21,000 542
Coventry Health Care, Inc. (AE) 104,982 4,392
Dade Behring Holdings, Inc. (AE) 13,500 621
DaVita, Inc. (AE) 18,100 925
Eli Lilly & Co. 6,900 509
Endo Pharmaceuticals Holdings,
Inc. (AE) 31,447 751
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Eon Labs, Inc. (AE)(z) 9,700 638
Genentech, Inc. (AE) 108,915 13,375
Guidant Corp. 137,000 8,632
Health Management Associates,
Inc. Class A 43,000 995
Humana, Inc. 213,320 3,475
IMS Health, Inc. 42,600 1,076
Johnson & Johnson 878,707 47,476
King Pharmaceuticals, Inc. (AE) 21,900 378
Kyphon, Inc. (AE) (z) 12,100 304
Manor Care, Inc. 19,500 633
McKesson Corp. 214,500 7,048
Medco Health Solutions, Inc. (AE) 30,400 1,076
Medtronic, Inc. 93,700 4,728
Merck & Co., Inc. 644,149 30,275
Mylan Laboratories 117,600 2,694
Oxford Health Plans 6,118 333
Pacificare Health Systems (AE) 13,900 497
Pfizer, Inc. 1,296,780 46,372
Province Healthcare Co. (AE) 27,200 435
Quest Diagnostics 38,400 3,239
Respironics, Inc. (AE) 35,065 1,838
Schering-Plough Corp. 200,500 3,354
Select Medical Corp. 54,400 1,031
Stryker Corp. 57,200 5,659
Triad Hospitals, Inc. (AE) 41,900 1,425
UnitedHealth Group, Inc. 328,039 20,168
Universal Health Services, Inc.
Class B 4,366 192
Varian Medical Systems, Inc. 60,740 5,214
Watson Pharmaceuticals, Inc. (AE) 64,000 2,279
WellPoint Health Networks 2,840 317
Wyeth 320,858 12,215
------------
300,340
------------
Integrated Oils - 4.6%
Amerada Hess Corp. 19,600 1,394
ChevronTexaco Corp. 102,600 9,388
ConocoPhillips 230,600 16,442
Exxon Mobil Corp. 931,373 39,629
Marathon Oil Corp. 393,982 13,222
Occidental Petroleum Corp. 216,181 10,204
------------
90,279
------------
Materials and Processing - 2.8%
Acuity Brands, Inc. 11,300 277
Alcoa, Inc. 254,741 7,833
American Standard Cos., Inc. (AE) 25,000 2,630
Archer-Daniels-Midland Co. 400,313 7,029
</Table>
Quantitative Equity Fund 23
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Cabot Corp. 16,454 556
Dow Chemical Co. (The) 189,550 7,523
Ecolab, Inc. 99,400 2,962
EI Du Pont de Nemours & Co. 7,100 305
Energizer Holdings, Inc. (AE) 35,800 1,550
Florida Rock Industries, Inc. (z) 30,267 1,204
Freeport-McMoRan Copper & Gold,
Inc. Class B 47,300 1,443
Georgia-Pacific Corp. 118,264 4,151
Masco Corp. 127,400 3,568
Monsanto Co. 104,602 3,618
Phelps Dodge Corp. 41,204 2,712
Praxair, Inc. 40,000 1,462
Sherwin-Williams Co. (The) 65,086 2,477
Sigma-Aldrich Corp. 45,400 2,571
Vulcan Materials Co. 7,597 351
------------
54,222
------------
Miscellaneous - 4.2%
3M Co. 241,614 20,895
Fortune Brands, Inc. 56,785 4,330
General Electric Co. 1,524,919 45,670
ITT Industries, Inc. 31,800 2,521
Johnson Controls, Inc. 58,500 3,209
Textron, Inc. 100,600 5,551
------------
82,176
------------
Other Energy - 0.6%
Anadarko Petroleum Corp. 39,587 2,121
Halliburton Co. 48,300 1,439
Pogo Producing Co. 39,917 1,969
Premcor, Inc. (AE)(z) 18,474 636
Reliant Energy, Inc. (AE) 95,700 795
Valero Energy Corp. 85,380 5,444
------------
12,404
------------
Producer Durables - 3.6%
Agilent Technologies, Inc. (AE) 109,700 2,963
Boeing Co. (The) 88,100 3,761
Briggs & Stratton Corp. 7,900 553
Caterpillar, Inc. 67,600 5,255
Centex Corp. 196,708 9,432
Deere & Co. 41,530 2,826
DR Horton, Inc. (z) 313,978 9,043
Lennar Corp. Class A 11,600 543
Lexmark International, Inc. (AE) 106,627 9,645
Lockheed Martin Corp. 58,700 2,800
Molex, Inc. (z) 56,200 1,674
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Northrop Grumman Corp. 34,800 3,454
NVR, Inc. (z) 10,882 4,908
Polycom, Inc. (AE) 58,974 1,125
Pulte Homes, Inc. 43,000 2,114
Rockwell Collins, Inc. 139,363 4,494
Standard-Pacific Corp. 24,400 1,231
Steelcase, Inc. Class A (z) 8,200 101
Tektronix, Inc. 62,500 1,850
United Defense Industries, Inc.
(AE) 48,642 1,685
United Technologies Corp. 11,400 983
------------
70,440
------------
Technology - 13.3%
3Com Corp. (AE) 331,171 2,040
Acxiom Corp. (AE) 3,595 83
ADC Telecommunications, Inc. (AE) 188,600 472
Adobe Systems, Inc. 34,169 1,413
Altera Corp. (AE) 52,700 1,055
Amkor Technology, Inc. (AE) 19,998 162
Amphenol Corp. Class A (AE) 38,100 1,204
Analog Devices, Inc. 89,700 3,821
Apple Computer, Inc. 49,200 1,266
Atmel Corp. (AE) 55,786 326
Autodesk, Inc. 8,005 268
Benchmark Electronics, Inc. (AE) 11,300 305
BMC Software, Inc. (AE) 55,180 955
Broadcom Corp. Class A (AE) 65,600 2,477
Ciena Corp. (AE) 36,400 151
Cisco Systems, Inc. (AE) 916,524 19,128
Computer Associates
International, Inc. 93,237 2,500
Computer Sciences Corp. 61,900 2,532
Comverse Technology, Inc. (AE) 59,000 965
Corning, Inc. 194,800 2,149
CSG Systems International (AE) 10,405 175
Cypress Semiconductor Corp.
(AE)(z) 10,100 141
Dell, Inc. (AE) 283,800 9,851
EMC Corp. 1,327,141 14,811
General Dynamics Corp. 14,600 1,367
Harris Corp. 10,260 462
Hewlett-Packard Co. 288,200 5,678
Ingram Micro, Inc. Class A (AE) 65,500 783
Intel Corp. 1,537,150 39,550
International Business Machines
Corp. 249,517 22,000
Intuit, Inc. (AE) 52,700 2,238
Jabil Circuit, Inc. (AE) 26,000 686
Juniper Networks, Inc. (AE)(z) 32,300 707
Kemet Corp. (AE) 53,100 657
LSI Logic Corp. (AE) 16,900 126
</Table>
24 Quantitative Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Maxim Integrated Products 199,506 9,175
Micron Technology, Inc. 63,300 862
Microsoft Corp. 1,577,087 40,956
Motorola, Inc. 458,300 8,364
National Semiconductor Corp. (AE) 34,600 1,411
Network Appliance, Inc. (AE) 15,501 289
Oracle Corp. (AE) 377,800 4,239
PanAmSat Corp. (AE)(z) 3,465 80
Peoplesoft, Inc. (AE) 14,110 238
Plexus Corp. (AE) 19,000 273
Qualcomm, Inc. 91,800 5,734
Retek, Inc. (AE) 9,502 66
Rockwell Automation, Inc. 30,000 981
Sandisk Corp. (AE)(z) 153,500 3,547
Sanmina-SCI Corp. (AE) 586,883 5,881
Scientific-Atlanta, Inc. 165,223 5,352
Siebel Systems, Inc. (AE) 106,227 1,092
Solectron Corp. (AE) 20,000 98
Storage Technology Corp. (AE) 86,688 2,277
Sun MicroSystems, Inc. (AE) 567,020 2,211
SynopSystem, Inc. (AE)(z) 127,112 3,398
Texas Instruments, Inc. 708,079 17,773
Triquint Semiconductor, Inc. (AE) 38,000 209
Veritas Software Corp. (AE) 13,000 347
Xilinx, Inc. 68,300 2,297
------------
259,654
------------
Utilities - 5.3%
AGL Resources, Inc. 19,300 552
American Electric Power Co., Inc. 41,700 1,269
AT&T Corp. 119,800 2,055
AT&T Wireless Services, Inc. (AE) 125,430 1,732
BellSouth Corp. 694,549 17,926
Centerpoint Energy, Inc. (z) 92,900 1,002
Comcast Corp. Class A 15,300 461
Constellation Energy Group, Inc. 100,556 3,869
Dominion Resources, Inc. 33,000 2,106
DPL, Inc. 53,100 936
DTE Energy Co. 54,300 2,119
Duke Energy Corp. (z) 123,800 2,607
Edison International 323,800 7,577
Entergy Corp. 1,248 68
Exelon Corp. 170,300 11,400
National Fuel Gas Co. 16,500 404
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nextel Communications, Inc. Class
A (AE) 332,600 7,936
Nicor, Inc. (z) 1,821 62
NII Holdings, Inc. Class B (AE) 10,100 354
NiSource, Inc. 21,500 433
Northeast Utilities 65,300 1,198
NTL, Inc. (AE) 36,500 2,072
Oneok, Inc. (z) 40,900 857
PG&E Corp. 23,276 641
Pinnacle West Capital Corp. 12,800 500
Qwest Communications
International 83,400 335
SBC Communications, Inc. 136,300 3,394
Sempra Energy 50,600 1,607
Sprint Corp.-FON Group 429,361 7,681
TXU Corp. 109,000 3,721
UGI Corp. 8,400 265
UnitedGlobalCom, Inc. Class A
(AE) 83,800 627
Verizon Communications, Inc. 446,662 16,857
WGL Holdings, Inc. (z) 6,800 192
------------
104,815
------------
TOTAL COMMON STOCKS
(cost $1,659,161) 1,886,694
------------
SHORT-TERM INVESTMENTS - 6.3%
Frank Russell Investment Company
Money Market Fund 67,230,000 67,230
Frank Russell Investment Company
Money Market Fund (N) 24,089,434 24,089
State Street Securities Lending
Quality Trust (N) 25,938,378 25,938
United States Treasury Bill
(y)(s)
0.930% due 06/10/04 5,000 4,996
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $122,253) 122,253
------------
TOTAL INVESTMENTS - 102.6%
(identified cost $1,781,414) 2,008,947
OTHER ASSETS AND LIABILITIES,
NET - (2.6%) (50,620)
------------
NET ASSETS - 100.0% 1,958,327
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Quantitative Equity Fund 25
FRANK RUSSELL INVESTMENT COMPANY
QUANTITATIVE EQUITY FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Russell 1000 Index
expiration date 06/04 (33) 9,756 (398)
S&P 500 E-Mini Index
expiration date 06/04 (363) 20,076 (446)
S&P 500 Index
expiration date 06/04 (56) 15,485 (456)
S&P Midcap 400 Index
expiration date 06/04 (85) 24,786 (297)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,597)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
26 Quantitative Equity Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 89.7%
Australia - 3.1%
Alumina, Ltd. (z) 6,000 22
Amcor, Ltd. 703,213 3,526
AMP, Ltd. (AE) 330,804 1,379
Australia & New Zealand Banking
Group, Ltd. 215,004 2,884
Australian Gas Light Co., Ltd. 7,500 63
Australian Stock Exchange, Ltd. 11,190 130
BHP Billiton, Ltd. 341,185 2,827
Billabong International, Ltd. (z) 17,190 94
BlueScope Steel, Ltd. 199,500 847
Boral, Ltd. 35,200 153
Brambles Industries, Ltd. (z) 201,650 808
CFS Gandel Retail Trust 88,100 87
Coca-Cola Amatil, Ltd. 8,900 44
Coles Myer, Ltd. (z) 470,643 2,846
Commonwealth Bank of Australia 26,500 598
Commonwealth Property Office Fund
(z) 68,400 56
CSL, Ltd. 32,825 523
CSR, Ltd. 88,900 123
David Jones, Ltd. (z) 58,400 67
Deutsche Office Trust 46,800 37
Foster's Group, Ltd. 1,471,398 5,198
Futuris Corp., Ltd. (z) 29,800 33
General Property Trust 47,400 103
Iluka Resources, Ltd. 7,500 21
Insurance Australia Group, Ltd.
(z) 58,000 204
James Hardie Industries NV 48,970 237
John Fairfax Holdings, Ltd. 135,400 328
Leighton Holdings, Ltd. (z) 1,100 8
Lend Lease Corp., Ltd. 39,200 302
Lion Nathan, Ltd. 11,200 51
Macquarie Bank, Ltd. (z) 17,340 434
Macquarie Infrastructure Group 25,200 50
Mayne Nickless, Ltd. 37,100 85
National Australia Bank, Ltd. (z) 380,057 8,091
Newcrest Mining, Ltd. 3,600 30
News Corp., Ltd. (z) 122,982 1,135
OneSteel, Ltd. 78,200 127
Orica, Ltd. 94,389 1,007
Origin Energy, Ltd. 20,900 86
PaperlinX, Ltd. 10,700 39
Promina Group, Ltd. (AE) 417,249 1,130
Publishing & Broadcasting, Ltd.
(z) 31,540 278
Qantas Airways, Ltd. 42,600 103
QBE Insurance Group, Ltd. (z) 131,057 1,103
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Rinker Group, Ltd. 85,569 440
Rio Tinto, Ltd. (z) 3,100 73
Santos, Ltd. 397,500 1,846
Sons of Gwalia, Ltd. (AE)(z) 28,100 50
Stockland Trust Group (AE)(z) 25,500 95
Suncorp-Metway, Ltd. 15,200 147
TABCORP Holdings, Ltd. (z) 8,500 81
Telstra Corp., Ltd. 931,287 3,216
Wesfarmers, Ltd. 21,800 450
Westfield Holdings, Ltd. (z) 29,500 302
Westfield Trust (z) 34,500 101
Westpac Banking Corp. 193,070 2,437
WMC Resources, Ltd. 134,100 464
Woodside Petroleum, Ltd. 5,500 66
Woolworths, Ltd. 76,990 656
------------
47,721
------------
Austria - 0.1%
Erste Bank der Oesterreichischen
Sparkassen AG 4,600 688
OMV AG 1,500 274
------------
962
------------
Belgium - 0.9%
AGFA-Gevaert NV (z) 45,949 1,044
Belgacom SA (AE) 39,862 1,209
Colruyt SA 5,200 559
Delhaize Group (z) 21,300 1,034
Dexia (z) 95,270 1,566
Dexia (AE) 81,850 1
Electrabel (z) 6,592 2,164
Fortis 12,600 274
Fortis (z) 139,912 3,048
Groupe Bruxelles Lambert SA (z) 4,000 241
KBC Bancassurance Holding (z) 24,000 1,349
Solvay SA 1,900 159
Umicore (z) 26,100 1,510
------------
14,158
------------
Brazil - 0.1%
Cia Vale do Rio Doce - ADR 25,328 1,152
Petroleo Brasileiro SA - ADR 27,650 799
------------
1,951
------------
Canada - 1.3%
Abitibi-Consolidated, Inc. 71,400 500
Alcan, Inc. 11,400 459
Bank of Montreal 472 18
</Table>
International Securities Fund 27
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Bank of Nova Scotia 103,730 2,661
Bombardier, Inc. Class B 309,000 1,362
Canadian National Railway Co. 26,900 1,015
Canadian Natural Resources, Ltd. 18,100 996
Cinram International, Inc. 22,800 384
Great-West Lifeco, Inc. 7,800 287
Magna International, Inc. Class A 8,300 659
Manulife Financial Corp. 10,400 385
Nortel Networks Corp. 61,700 231
Precision Drilling Corp. (AE) 18,500 881
Research In Motion, Ltd. (AE) 26,250 2,277
Royal Bank of Canada 28,000 1,245
Suncor Energy, Inc. 21,600 515
Talisman Energy, Inc. 67,400 3,835
TELUS Corp. (Non-voting shares) 21,600 340
Thomson Corp. (The) (AE) 56,800 1,809
------------
19,859
------------
China - 0.3%
China Petroleum & Chemical Corp.
Class H 2,640,000 914
China Shipping Development Co.,
Ltd. Class H (z) 540,000 313
Huaneng Power International, Inc.
Class H (z) 2,088,000 1,954
PetroChina Co., Ltd. Class H (z) 2,014,000 878
------------
4,059
------------
Denmark - 0.5%
D/S Svendborg Class B (AE)(z) 75 472
Danske Bank A/S 140,731 3,162
DSV DE Sammenslut Vogn A/S (z) 1,700 72
East Asiatic Co., Ltd. A/S (z) 1,900 77
FLS Industries A/S Class B 3,400 44
GN Store Nord 8,000 62
ISS A/S (z) 22,612 1,129
Novo-Nordisk A/S Class B 42,019 1,996
Novozymes A/S Class S 2,400 99
TDC A/S (z) 5,200 177
------------
7,290
------------
Estonia - 0.1%
Hansabank EEK (AE) 79,800 611
Hansabank, Ltd. 26,600 204
------------
815
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Finland - 0.8%
Elisa OYJ (AE)(z) 7,000 96
Fortum OYJ 145,457 1,630
Nokia OYJ (z) 254,878 3,586
Nokia OYJ - ADR 66,850 937
Pohjola Group PLC Class D 10,900 108
Sampo OYJ Class A 139,850 1,339
Stora Enso OYJ 9,700 131
Tietoenator OYJ 18,900 563
UPM-Kymmene OYJ 226,374 4,172
------------
12,562
------------
France - 8.2%
Accor SA (z) 78,179 3,290
Air France (z) 12,600 219
Air Liquide (z) 7,825 1,370
Alcatel SA (z) 77,449 1,154
Altran Technologies SA (z) 20,700 216
Atos Origin 10,500 608
Aventis SA (z) 66,772 5,085
AXA (z) 270,884 5,703
BNP Paribas (z) 171,613 10,303
Bouygues (z) 99,600 3,400
Caisse Nationale du Credit
Agricole (z) 60,005 1,480
Cap Gemini SA (z) 4,000 142
Carrefour SA (z) 119,335 5,536
Casino Guichard Perrachon SA (z) 1,000 89
Christian Dior SA (z) 11,900 747
Cie de Saint-Gobain (z) 108,787 5,491
Cie Generale D'Optique Essilor
International SA (z) 9,300 544
CNP Assurances (z) 15,674 930
Compagnie Generale des
Etablissements Michelin Class
B (z) 30,499 1,427
France Telecom (z) 234,542 5,658
Groupe Danone (z) 14,817 2,482
Lafarge SA (z) 30,681 2,555
Lagardere S.C.A. (z) 71,643 4,314
L'Oreal SA (z) 24,704 1,862
LVMH Moet Hennessy Louis Vuitton
SA (z) 23,200 1,635
Pernod-Ricard (z) 4,100 517
Peugeot SA (z) 20,100 1,080
Pinault-Printemps-Redoute (z) 17,421 1,797
Renault SA (z) 18,700 1,395
Rhodia SA (z) 86,839 133
Sanofi-Synthelabo SA (z) 100,100 6,358
Schneider Electric SA (z) 30,900 2,081
</Table>
28 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Societe Assurances Generales de
France (z) 66,554 4,064
Societe BIC SA (z) 1,300 56
Societe Generale (z) 98,338 8,190
Societe Television Francaise 1
(z) 49,600 1,532
Suez SA (z) 82,216 1,647
Technip SA (z) 15,700 2,175
Thomson (z) 135,700 2,618
Total SA (z) 107,693 19,914
Total SA - ADR (z) 33,036 3,043
Unibail (z) 2,300 217
Vinci SA (z) 1,700 165
Vivendi Universal SA (z) 216,493 5,446
------------
128,668
------------
Germany - 6.5%
Adidas-Salomon AG (z) 21,950 2,534
Allianz AG (z) 43,143 4,576
Altana AG (z) 23,440 1,492
AMB Generali Holding AG (z) 7,900 577
BASF AG (z) 9,900 511
Bayer AG (z) 203,827 5,552
Bayerische Hypo-und Vereinsbank
AG 332,986 5,778
Bayerische Motoren Werke AG (z) 66,577 2,870
Celesio AG (z) 7,300 407
Commerzbank AG 19,100 329
Continental AG (z) 87,100 3,779
DaimlerChrysler AG (z) 139,094 6,232
Deutsche Bank AG (z) 17,900 1,475
Deutsche Boerse AG (z) 34,551 1,900
Deutsche Genossenschafts-
Hypothekenbank (AE) 33,400 2,161
Deutsche Lufthansa AG 92,154 1,480
Deutsche Post AG 270,791 5,968
Deutsche Telekom AG 279,856 4,829
E.ON AG (z) 78,364 5,193
Fresenius Medical Care AG (z) 7,800 543
Hannover Rueckversicherung AG (z) 20,500 704
HeidelbergCement AG 31,540 1,423
Infineon Technologies AG (AE)(z) 66,800 856
KarstadtQuelle AG (z) 88,500 1,880
Linde AG (z) 2,900 159
MAN AG (z) 158,400 5,816
Medion AG (z) 17,400 740
Merck KGaA (z) 10,100 541
Metro AG (z) 17,000 754
MG Technologies AG (z) 11,700 172
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Muenchener Rueckversicherungs AG
(z) 12,383 1,339
ProSieben SAT.1 Media AG (AE)(z) 4,639 91
Puma AG Rudolf Dassler Sport (z) 13,742 3,160
RWE AG (z) 165,748 7,192
SAP AG (z) 14,350 2,175
SAP AG - ADR 1,000 37
Schering AG (z) 75,213 3,952
Siemens AG 105,850 7,642
ThyssenKrupp AG (z) 12,100 210
T-Online International AG Class G
(AE) 66,500 723
TUI AG 9,300 194
United Internet AG 21,000 528
Volkswagen AG (z) 71,857 3,165
------------
101,639
------------
Greece - 0.5%
Alpha Bank AE 61,300 1,910
Cosmote Mobile Communications SA 46,100 737
EFG Eurobank Ergasias SA 32,700 699
Hellenic Telecommunications
Organization SA 109,089 1,584
Hellenic Telecommunications
Organization SA - ADR (z) 26,000 186
OPAP SA 115,280 2,197
------------
7,313
------------
Hong Kong - 1.8%
Bank of East Asia, Ltd. 382,143 1,112
BOC Hong Kong Holdings, Ltd. (z) 481,000 820
Cathay Pacific Airways, Ltd. (z) 51,000 92
Cheung Kong Holdings, Ltd. 131,800 1,014
China Mobile Hong Kong, Ltd. 566,500 1,493
CLP Holdings, Ltd. 84,500 450
DAH Sing Financial 15,200 109
Denway Motors, Ltd. (z) 400,000 191
Esprit Holdings, Ltd. 109,000 450
Hang Lung Properties, Ltd. (z) 540,000 727
Hang Seng Bank, Ltd. 43,600 553
Henderson Land Development (z) 8,000 36
Hong Kong & China Gas 479,000 823
Hong Kong Exchanges and Clearing,
Ltd. 30,000 60
HongKong Electric Holdings 514,000 2,254
Hongkong Land Holdings, Ltd. 63,000 109
Hopewell Holdings 54,000 96
Hutchison Whampoa, Ltd. 67,000 451
Hysan Development Co., Ltd. (z) 35,000 58
</Table>
International Securities Fund 29
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Jardine Matheson Holdings, Ltd. 161,300 1,629
Johnson Electric Holdings, Ltd. 83,000 73
Li & Fung, Ltd. 869,000 1,354
MTR Corp. (z) 558,562 849
New World Development, Ltd. (z) 162,000 130
PCCW, Ltd. (AE) 330,000 224
Shangri-La Asia, Ltd. (z) 153,000 148
Sino Land Co. (z) 1,824,000 1,105
SmarTone Telecommunications
Holding, Ltd. 8,000 9
Sun Hung Kai Properties, Ltd. 708,000 6,082
Swire Pacific, Ltd. Class A (z) 323,300 2,114
Techtronic Industries Co. 59,500 159
Wharf Holdings, Ltd. (z) 1,226,862 3,366
Yue Yuen Industrial Holdings (z) 25,500 68
------------
28,208
------------
Hungary - 0.0%
OTP Bank Rt 31,200 582
------------
India - 0.2%
InfoSystem Technologies, Ltd. -
ADR (z) 3,200 259
Reliance Industries, Ltd. - GDR 58,700 1,497
State Bank of India, Ltd. - GDR 38,000 1,480
------------
3,236
------------
Ireland - 0.5%
Bank of Ireland 310,758 3,765
CRH PLC 793 17
CRH PLC 75,347 1,600
Depfa Bank PLC 19,950 2,991
------------
8,373
------------
Israel - 0.1%
Check Point Software Technologies
(AE) 35,100 822
------------
Italy - 3.4%
Arnoldo Mondadori Editore SpA 23,200 217
Assicurazioni Generali SpA (z) 11,700 308
Autostrade SpA (z) 49,952 922
Banca Intesa SpA (AE)(z) 2,683,071 8,874
Banca Nazionale del Lavoro SpA
(AE) 160,400 359
Banca Popolare di Milano SCRL (z) 28,500 168
Banche Popolari Unite SCRL (z) 34,811 592
Banco Popolare di Verona e Novara
SCRL (z) 77,686 1,292
Benetton Group SpA (z) 90,600 1,062
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Capitalia SpA (z) 249,400 690
e.Biscom (AE)(z) 3,600 214
Enel SpA (z) 57,400 457
Ente Nazionale Idrocarburi SpA
(z) 688,374 13,991
Fiat SpA (z) 387,603 2,727
Finmeccanica SpA (z) 2,360,560 1,802
Fondiaria-Sai SpA 7,400 163
Gruppo Editoriale L'Espresso SpA
(z) 51,100 301
Italcementi SpA (z) 32,800 411
Mediaset SpA (z) 397,236 4,356
Parmalat Finanziaria SpA (z) 42,200 6
Riunione Adriatica di Sicurta SpA
(z) 26,057 477
Saipem SpA (z) 239,300 2,243
Sanpaolo IMI SpA (z) 110,130 1,284
Snam Rete Gas SpA 248,300 1,101
Telecom Italia (AE)(z) 1,196,738 3,836
Telecom Italia SpA (z) 880,792 2,053
UniCredito Italiano SpA (z) 774,600 3,611
------------
53,517
------------
Japan - 22.5%
77 Bank, Ltd. (The) 234,000 1,407
Acom Co., Ltd. 16,260 1,157
Advantest Corp. 12,300 935
Aeon Co., Ltd. 66,400 2,911
Aiful Corp. 45,410 4,606
Aioi Insurance Co., Ltd. 36,000 158
Aisin Seiki Co., Ltd. 18,300 322
Ajinomoto Co., Inc. 77,000 900
All Nippon Airways Co., Ltd. (AE) 28,000 85
Alps Electric Co., Ltd. (z) 102,000 1,469
Amano Corp. (AE) 6,000 46
Anritsu Corp. (AE)(z) 41,000 298
Aoyama Trading Co., Ltd. 1,100 25
Asahi Breweries, Ltd. 6,700 75
Asahi Glass Co., Ltd. 217,000 2,295
Asahi Kasei Corp. 49,000 268
Autobacs Seven Co., Ltd. (z) 2,200 59
Bank of Fukuoka, Ltd. (The) (z) 4,000 21
Bank of Yokohama, Ltd. (The) (z) 24,000 131
Benesse Corp. 3,100 85
Bridgestone Corp. 183,000 3,096
Brother Industries, Ltd. 6,000 59
Canon, Inc. 294,000 15,417
Central Glass Co., Ltd. 15,000 111
Central Japan Railway Co. (z) 24 196
Chiba Bank, Ltd. (The) 19,000 103
Chubu Electric Power Co., Inc.
(z) 18,400 383
</Table>
30 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Citizen Watch Co., Ltd. 34,000 343
Credit Saison Co., Ltd. 79,750 2,333
D&M Holdings, Inc. 48,000 175
Dai Nippon Printing Co., Ltd. 39,000 591
Daiichi Pharmaceutical Co., Ltd. 32,200 564
Daikin Industries, Ltd. 16,000 375
Daimaru, Inc. (AE)(z) 22,000 191
Dainippon Ink and Chemicals, Inc. 7,000 17
Daito Trust Construction Co.,
Ltd. 8,850 300
Daiwa House Industry Co., Ltd. 191,000 2,136
Daiwa Securities Group, Inc. 74,000 556
Denso Corp. 104,000 2,190
Dentsu, Inc. 211 590
Dentsu, Inc. (AE) 211 587
Don Quijote Co., Ltd. (z) 4,100 292
Dowa Mining Co., Ltd. (AE) 55,000 304
East Japan Railway Co. 341 1,742
Eisai Co., Ltd. 160,700 4,104
Faith, Inc. (z) 12 89
FamilyMart Co., Ltd. 3,600 103
Fanuc, Ltd. 8,200 502
Fast Retailing Co., Ltd. 48,800 3,801
FCC Co., Ltd. 5,400 199
Fuji Heavy Industries, Ltd. 215,000 1,034
Fuji Machine Manufacturing Co.,
Ltd. 34,400 404
Fuji Photo Film Co., Ltd. 88,000 2,829
Fujikura, Ltd. (z) 17,000 92
Fujisawa Pharmaceutical Co., Ltd. 1,900 44
Fujitsu, Ltd. (z) 94,000 653
Fukuoka Sogo Bank (z) 67,000 227
Funai Electric Co., Ltd. 7,400 1,100
Furukawa Electric Co., Ltd. (z) 67,000 258
Futaba Corp. 5,700 149
Goodwill Group, Inc. (The) (z) 607 2,386
Gunze, Ltd. 6,000 29
Hachijuni Bank (AE) 6,000 37
Hankyu Department Stores (AE) 10,000 83
Haseko Corp. (z) 182,500 531
Hirose Electric Co., Ltd. 4,300 493
HIS Co., Ltd. 8,200 225
Hitachi Cable, Ltd. 41,000 206
Hitachi Chemical Co., Ltd. 6,300 115
Hitachi Construction Machinery
Co., Ltd. (z) 5,000 67
Hitachi Maxell, Ltd. 14,000 203
Hitachi Zosen Corp. 74,000 139
Hitachi, Ltd. 704,000 4,941
Hokkaido Electric Power Co., Inc. 5,700 94
Hokuriku Electric Power Co. (z) 4,700 76
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Honda Motor Co., Ltd. 137,000 5,497
Hoya Corp. 23,200 2,509
Isetan Co., Ltd. 78,000 1,077
Isuzu Motors, Ltd. (z) 96,000 258
Itochu Corp. 475,000 2,009
Itochu Techno-Science Corp. (z) 2,200 84
Ito-Yokado Co., Ltd. 52,000 2,162
Japan Radio Co., Ltd. (z) 34,000 143
Japan Retail Fund Investment
Corp. (AE)(o) 59 391
Japan Tobacco, Inc. 80 639
JFE Holdings, Inc. 71,700 1,607
Joyo Bank (AE) 17,000 66
Kadokawa Holdings, Inc. 200 7
Kaken Pharmaceutical Co., Ltd.
(z) 11,000 61
Kamigumi Co., Ltd. 37,000 256
Kaneka Corp. 31,000 286
Kansai Electric Power Co., Inc.
(The) 67,700 1,184
Kao Corp. 98,000 2,339
Kawasaki Heavy Industries, Ltd.
(z) 92,000 141
Kawasaki Kisen Kaisha, Ltd. 35,000 150
KDDI Corp. 390 2,335
Keio Teito Electric Railway (AE) 32,000 179
Keyence Corp. 3,700 888
Kirin Brewery Co., Ltd. 7,000 69
Kobe Steel, Ltd. 50,000 69
Kokuyo Co., Ltd. 1,000 12
Komatsu, Ltd. 34,000 194
Konica Minolta Holdings, Inc. 110,000 1,522
Koyo Seiko Co., Ltd. (z) 26,000 272
Kubota Corp. 67,000 291
Kyocera Corp. 28,600 2,365
Kyorin Pharmaceutical Co., Ltd. 6,000 83
Kyowa Hakko Kogyo Co., Ltd. 3,000 20
Kyushu Electric Power Co., Inc. 40,500 697
Lawson, Inc. 52,400 1,965
Mabuchi Motor Co., Ltd. 26,700 1,840
Makita Corp. 14,000 189
Marubeni Corp. (z) 694,000 1,747
Marui Co., Ltd. 138,900 2,179
Matsumotokiyoshi Co., Ltd. (z) 51,600 1,561
Matsushita Electric Industrial
Co., Ltd. 388,000 5,696
Meiji Dairies Corp. (AE) 12,000 56
Meiji Seika Kaisha, Ltd (AE)(z) 8,000 33
Meitec Corp. (z) 6,600 233
Millea Holdings, Inc. 627 8,915
Minebea Co., Ltd. 288,000 1,406
Misawa Homes Holdings, Inc. (AE) 49,000 168
Mitsubishi Chemical Corp. 81,000 220
</Table>
International Securities Fund 31
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Mitsubishi Corp. 77,000 734
Mitsubishi Electric Corp. 378,000 1,910
Mitsubishi Estate Co., Ltd. 578,000 6,831
Mitsubishi Gas Chemical Co., Inc. 18,000 67
Mitsubishi Heavy Industries, Ltd. 208,000 573
Mitsubishi Motors Corp. (z) 141,000 349
Mitsubishi Rayon Co., Ltd. 100,000 350
Mitsubishi Securities Co., Ltd.
(z) 42,000 542
Mitsubishi Tokyo Financial Group,
Inc. 1,279 11,375
Mitsui & Co., Ltd. (z) 265,000 2,184
Mitsui Chemicals, Inc. 29,000 153
Mitsui Engineering & Shipbuilding
Co., Ltd. (AE) 90,000 161
Mitsui Fudosan Co., Ltd. 124,000 1,364
Mitsui OSK Lines, Ltd. 207,000 906
Mitsui Sumitomo Insurance Co.,
Ltd. 422,000 3,971
Mitsui Trust Holdings, Inc. 38,000 269
Mitsumi Electric Co., Ltd. (z) 4,500 49
Mizuho Financial Group, Inc. (z) 415 1,962
Murata Manufacturing Co., Ltd.
(z) 107,200 7,029
Namco, Ltd. (z) 4,300 116
NEC Corp. 349,000 2,740
NEC Electronics Corp. 3,400 239
NEC System Intergration &
Construction, Ltd. 10,800 102
Nichicon Corp. 18,200 211
Nichirei Corp. (AE) 6,000 20
Nidec Copal Corp. (z) 8,400 141
Nidec Corp. (z) 4,600 496
Nikko Cordial Corp. 320,000 1,820
Nikon Corp. (AE)(z) 68,000 795
Nintendo Co., Ltd. 7,600 717
Nippon Electric Glass Co., Ltd.
(z) 104,000 2,449
Nippon Express Co., Ltd. 426,000 2,489
Nippon Kayaku Co., Ltd. 5,000 27
Nippon Light Metal Co. (AE)(z) 91,000 227
Nippon Meat Packers, Inc. 119,000 1,418
Nippon Oil Corp. 80,000 441
Nippon Sanso Corp. (AE)(z) 27,000 123
Nippon Shokubai Co., Ltd. (AE)(z) 13,000 93
Nippon Steel Corp. 396,000 828
Nippon Telegraph & Telephone
Corp. 785 4,124
Nippon Yusen Kabushiki Kaisha 25,000 102
Nishimatsu Construction Co., Ltd.
(z) 13,000 46
Nishimatsuya Chain Co., Ltd. 800 29
Nissan Motor Co., Ltd. (z) 541,900 6,032
Nissen Co., Ltd. 6,800 147
Nisshin Seifun Group, Inc. 3,000 28
Nisshin Steel Co., Ltd. (z) 97,000 195
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nisshinbo Industries, Inc. 6,000 39
Nitto Denko Corp. 43,600 2,421
NOK Corp. (z) 37,500 1,450
Nomura Holdings, Inc. 320,000 5,193
Nomura Research Institute, Ltd. 3,200 331
NS Solutions Corp. 3,500 229
NSK, Ltd. 15,000 69
NTT DoCoMo, Inc. 142 282
OJI Paper Co., Ltd. 9,000 56
Okasan Holdings, Inc. 10,000 64
Olympus Corp. 9,000 174
Omron Corp. 54,500 1,328
Ono Pharmaceutical Co., Ltd. 1,600 69
Onward Kashiyama Co., Ltd. 2,000 30
ORIX Corp. 65,000 6,888
Pal Co., Ltd. 2,300 121
Promise Co., Ltd. 33,250 2,198
Resona Holdings, Inc. (z) 55,000 111
Ricoh Co., Ltd. 193,000 3,845
Rinnai Corp. 66,200 1,784
Rohm Co., Ltd. 20,300 2,532
Sammy Corp. (z) 21,200 897
Sanken Electric Co., Ltd. 24,000 314
Sankyo Co., Ltd. 53,100 983
Sanyo Electric Co., Ltd. 59,000 267
Secom Co., Ltd. 48,200 2,065
Seino Transportation Co., Ltd. 27,000 267
Sekisui Chemical Co., Ltd. 326,400 2,309
Sekisui House, Ltd. 198,700 2,106
Senshukai Co., Ltd. 8,000 85
SFCG Co., Ltd. (z) 16,570 3,398
Sharp Corp. 107,000 1,928
Shimachu Co., Ltd. 5,100 136
Shimamura Co. (AE) 6,800 560
Shin-Etsu Chemical Co., Ltd. 125,650 5,075
Shinko Electric Industries (z) 10,700 329
Shionogi & Co., Ltd. 23,000 362
Shiseido Co., Ltd. (z) 102,000 1,254
Shizuoka Bank, Ltd. (AE)(z) 5,000 43
Showa Shell Sekiyu KK 16,100 138
Skylark Co., Ltd. 89,200 1,749
SMC Corp. 12,800 1,466
Snow Brand Milk Products Co.,
Ltd. (z) 9,500 31
Softbank Corp. (AE)(z) 9,600 435
Sohgo Security Services Co., Ltd.
(z) 58,400 780
Sompo Japan Insurance, Inc. 65,900 594
Sony Corp. (AE)(z) 88,000 3,403
Stanley Electric Co., Ltd. 25,000 472
Sumisho Lease Co., Ltd. 14,200 486
</Table>
32 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Sumitomo Bakelite Co., Ltd. (z) 205,900 1,348
Sumitomo Chemical Co., Ltd. 517,000 2,388
Sumitomo Corp. 136,000 1,043
Sumitomo Electric Industries,
Ltd. 36,000 333
Sumitomo Forestry Co., Ltd. 31,000 327
Sumitomo Heavy Industries, Ltd.
(z) 85,000 222
Sumitomo Metal Industries, Ltd. 108,000 130
Sumitomo Mitsui Financial Group,
Inc. (z) 1,335 10,084
Sumitomo Osaka Cement Co., Ltd. 177,000 442
Sumitomo Realty & Development
Co., Ltd. (z) 254,000 2,850
Sumitomo Trust & Banking Co.,
Ltd. (The) (z) 22,000 132
Suruga Bank, Ltd. (The) 4,000 30
Suzuken Co., Ltd. 7,080 217
Suzuki Motor Corp. 72,000 1,136
Taiheiyo Cement Corp. 45,000 116
Taisei Corp. (z) 27,000 95
Taisho Pharmaceutical Co., Ltd. 2,000 39
Takashimaya Co., Ltd. (z) 130,400 1,572
Takeda Chemical Industries, Ltd. 215,700 8,693
Takefuji Corp. (z) 1,500 95
Tanabe Seiyaku Co., Ltd. 3,000 29
TDK Corp. 57,700 4,118
Telewave, Inc. 23 200
THK Co., Ltd. (z) 60,600 1,172
TIS, Inc. (z) 1,900 72
Tobu Railway Co. (AE) 11,000 47
Toda Corp. 4,000 14
Tohoku Electric Power Co., Inc. 68,500 1,100
Tokyo Electric Power Co., Inc.
(The) 87,400 1,872
Tokyo Electron, Ltd. 54,800 3,335
Tokyo Gas Co., Ltd. 101,000 374
Tokyu Corp. 244,000 1,218
Tomen Corp. (AE) 48,000 91
Toppan Printing Co., Ltd. (AE) 124,000 1,457
Toray Industries, Inc. (AE) 139,000 636
Toshiba Corp. (AE) 69,000 317
Toyo Seikan Kaisha, Ltd. 14,000 253
Toyoda Gosei Co., Ltd. 8,200 224
Toyota Motor Corp. (AE) 371,000 13,407
Toyota Tsusho Corp. 5,000 49
UBE Industries, Ltd. 59,000 100
UFJ Holdings, Inc. (z) 2,189 13,541
UFJ Tsubasa Securities Co., Ltd.
(z) 25,000 118
Uni-Charm Corp. 7,800 369
Uniden Corp. 15,000 264
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
UNY Co., Ltd. 84,000 983
USS Co., Ltd. (z) 3,030 256
Victor Co. of Japan, Ltd. (z) 6,000 66
Vodafone Holdings KK 93 219
West Japan Railway Co. 702 2,728
World Co., Ltd. 2,400 81
Yahoo Japan Corp. (AE) 229 2,592
Yahoo Japan Corp. (AE)(z) 116 1,313
Yamada Denki Co., Ltd. (AE) 41,900 1,438
Yamaha Corp. 54,300 1,018
Yamaha Motor Co., Ltd. 160,000 2,287
Yamanouchi Pharmaceutical Co.,
Ltd. 21,800 727
Yamato Transport Co., Ltd. 64,000 972
Yamazaki Baking Co., Ltd. (z) 8,000 78
Yaskawa Electric Corp. (AE) 136,000 1,095
Yokogawa Electric Corp. (z) 25,000 339
York-Benimaru Co., Ltd. Class D 8,000 247
Zexel Corp. (AE) 22,000 82
------------
351,497
------------
Luxembourg - 0.3%
Arcelor 50,000 833
Arcelor (z) 43,733 726
Arcelor (z) 141,889 2,357
Millicom International Cellular
SA (AE) 12,800 322
------------
4,238
------------
Mexico - 0.3%
America Movil SA de CV Series L -
ADR 42,000 1,420
Coca-Cola Femsa SA de CV - ADR 47,900 1,018
Telefonos de Mexico SA de CV -
ADR 49,650 1,695
------------
4,133
------------
Netherlands - 4.9%
ABN AMRO Holding NV (z) 257,270 5,593
Aegon NV (z) 234,154 3,064
Akzo Nobel NV (z) 63,925 2,329
ASM International NV (AE)(z) 47,700 989
ASML Holding NV (AE) 124,300 1,978
Buhrmann NV (z) 41,500 392
DSM NV (z) 81,200 3,890
Euronext NV (z) 22,007 640
European Aeronautic Defense and
Space Co. (z) 35,900 908
Getronics NV (z) 76,400 208
Heineken Holding NV Class A (z) 9,000 332
Heineken NV (z) 94,571 3,989
Hunter Douglas NV 2,071 99
</Table>
International Securities Fund 33
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
IHC Caland NV 9,100 428
ING Groep NV (z) 402,886 8,632
Koninklijke Ahold NV 53,600 415
Koninklijke Philips Electronics
NV (z) 245,501 6,684
Koninklijke Philips Electronics
NV (z) 42,850 1,149
OCE NV (z) 11,300 190
Qiagen NV (AE) 22,000 267
Randstad Holdings NV (z) 32,000 855
Reed Elsevier NV (z) 219,290 3,080
Royal Dutch Petroleum Co. 6,500 316
Royal Dutch Petroleum Co. (z) 346,347 16,838
Royal KPN NV (z) 426,687 3,073
Royal Numico NV (z) 90,092 2,494
TPG NV (z) 18,800 405
Unilever NV (z) 34,255 2,256
Vedior NV 6,900 100
VNU NV (z) 95,730 2,678
Wolters Kluwer NV 107,988 1,818
------------
76,089
------------
New Zealand - 0.3%
Carter Holt Harvey, Ltd. 281,900 372
Telecom Corp. of New Zealand,
Ltd. (z) 1,395,424 4,957
------------
5,329
------------
Norway - 0.6%
DNB NOR ASA (z) 152,163 963
Norsk Hydro ASA (z) 48,000 2,816
Norske Skogindustrier ASA (z) 16,400 298
Statoil ASA (z) 306,700 3,828
Telenor ASA (z) 125,400 823
Yara International ASA (AE)(z) 107,231 757
------------
9,485
------------
Portugal - 0.5%
Banco Comercial Portugues SA 669,809 1,557
Brisa-Auto Estradas de Portugal
SA Class R 62,732 427
Electricidade de Portugal SA 678,638 1,854
Portugal Telecom SGPS SA 332,059 3,601
PT Multimedia Servicos de
Telecomunicacoes e Multimedia
SGPS SA 24,400 554
Sonae SGPS SA 323,072 356
------------
8,349
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Russia - 0.2%
LUKOIL - ADR 11,700 1,275
Mobile TeleSystems - ADR (z) 8,500 918
YUKOS - ADR 15,300 681
------------
2,874
------------
Singapore - 1.6%
CapitaLand, Ltd. (z) 40,000 38
Chartered Semiconductor
Manufacturing, Ltd. (AE)(z) 63,000 56
City Developments, Ltd. 693,000 2,485
Creative Technology, Ltd. 3,900 41
DBS Group Holdings, Ltd. 526,400 4,425
Flextronics International, Ltd.
(AE)(z) 132,600 2,135
Fraser and Neave, Ltd. Series D 18,000 141
Jardine Cycle & Carriage, Ltd. 25,000 98
Keppel Corp., Ltd. (z) 97,000 408
Keppel Land, Ltd. 16,000 15
MobileOne, Ltd. 991,000 856
NatSteel, Ltd. (z) 41,000 53
Neptune Orient Lines, Ltd. (z) 559,000 641
Oversea-Chinese Banking Corp. 308,120 2,191
Overseas Union Enterprise, Ltd. 3,000 11
SembCorp Industries, Ltd. 73,000 61
Singapore Airlines, Ltd. 84,000 533
Singapore Exchange, Ltd. 62,000 59
Singapore Land, Ltd. 5,000 11
Singapore Press Holdings, Ltd. 164,300 2,028
Singapore Technologies
Engineering, Ltd. 651,000 723
Singapore Telecommunications,
Ltd. 4,012,000 5,518
United Overseas Bank, Ltd. (z) 268,000 2,158
United Overseas Land, Ltd. (z) 22,000 23
Venture Corp., Ltd. 32,000 359
------------
25,067
------------
South Africa - 0.1%
MTN Group, Ltd. 108,000 450
Nedcor, Ltd. 79,110 677
Nedcor, Ltd. Rights (AE) 32,708 70
------------
1,197
------------
South Korea - 0.9%
Daewoo Heavy Industries &
Machinery, Ltd. (AE) 78,530 603
Hanjin Shipping 11,400 160
Korea Electric Power Corp. - ADR
(z) 124,000 1,164
KT Corp. - ADR 64,700 1,197
</Table>
34 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
NCSoft Corp. 7,200 515
Nextel, Inc. (AE) 46,642 2,094
POSCO - ADR 24,500 753
Samsung Electronics - GDR 9,190 2,162
Samsung Electronics Co., Ltd. 13,220 6,276
------------
14,924
------------
Spain - 3.9%
Acerinox SA (z) 14,853 766
ACS Actividades Cons y Serv 28,632 1,391
Altadis SA (z) 169,382 4,786
Amadeus Global Travel
Distribution SA Class A (z) 33,700 199
Antena 3 de Television SA (AE) 11,020 560
Banco Bilbao Vizcaya Argentaria
SA (z) 382,508 5,047
Banco de Sabadell SA 32,300 666
Banco Popular Espanol SA (z) 18,079 997
Banco Santander Central Hispano
SA (z) 665,544 7,146
Corp Mapfre SA (z) 69,910 838
Endesa SA (z) 223,265 4,091
Fomento de Construcciones y
Contratas SA 4,500 160
Gamesa Corp. Tecnologica SA (z) 39,600 1,641
Iberdrola SA 316,883 6,247
Iberia Lineas Aereas de Espana
(z) 171,400 569
Inditex SA (z) 62,400 1,356
Indra Sistemas SA 53,300 691
Red Electrica de Espana (z) 10,300 167
Repsol YPF SA (z) 162,700 3,426
Repsol YPF SA - ADR 92,216 1,925
Sogecable SA (AE)(z) 25,300 1,083
Telefonica SA (z) 1,118,724 16,637
------------
60,389
------------
Sweden - 2.1%
Assa Abloy AB Class B (z) 59,000 719
Atlas Copco AB Class A (z) 4,500 158
Atlas Copco AB Class B (z) 3,900 126
Autoliv, Inc. 53,825 2,291
Billerud AB (z) 11,200 178
Electrolux AB Series B (z) 51,000 1,009
ForeningsSparbanken AB (z) 73,800 1,377
Hennes & Mauritz AB Class B (z) 118,590 2,905
Investor AB Class B (z) 128,370 1,303
Modern Times Group AB Class B
(AE)(z) 5,200 88
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nordea Bank AB 52,000 351
OMHEX AB (z) 8,200 111
Sandvik AB 6,700 218
Securitas AB Class B (z) 83,200 1,199
Skandia Forsakrings AB (z) 485,457 1,907
Skandinaviska Enskilda Banken AB
Class A (z) 8,000 116
Skanska AB Class B (z) 24,000 193
Song Networks Holding AB (AE) 56,600 365
Svenska Cellulosa AB Class B (z) 59,100 2,318
Svenska Handelsbanken Class A (z) 64,649 1,249
Tele2 AB Class B (z) 3,900 177
Telefonaktiebolaget LM Ericsson
Class B 4,126,746 11,188
TeliaSonera AB (z) 16,000 66
Volvo AB Series A (z) 5,700 188
Volvo AB Series B (z) 95,435 3,269
WM-data AB Class B (z) 25,000 56
------------
33,125
------------
Switzerland - 5.5%
ABB, Ltd. (z) 329,329 1,855
Actelion NV 7,300 801
Adecco SA (z) 19,564 875
Ciba Specialty Chemicals AG (z) 900 62
Clariant AG 115,741 1,469
Compagnie Financiere Richemont AG
Class A 227,301 5,849
Credit Suisse Group (z) 269,618 9,507
Georg Fischer AG (z) 607 127
Givaudan (z) 1,478 736
Holcim, Ltd. 36,982 1,910
Logitech International SA 3,100 135
Lonza Group AG (z) 26,500 1,280
Nestle SA (z) 42,320 10,710
Novartis AG Class G 270,104 12,046
PubliGroupe SA 275 88
Roche Holding AG (z) 68,885 7,228
Serono SA (z) 3,260 1,954
STMicroelectronics NV 100 2
STMicroelectronics NV (z) 29,300 646
Straumann Holding AG (z) 600 108
Sulzer AG (z) 1,666 432
Swatch Group AG Class B (z) 4,420 587
Swiss Life Holding (z) 10,145 1,385
Swiss Reinsurance 49,660 3,268
Swisscom AG (z) 6,504 2,020
Syngenta AG 30,900 2,474
</Table>
International Securities Fund 35
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Synthes-Stratec, Inc. (AE) 1,532 1,666
UBS AG (z) 139,444 9,915
Valora Holding AG (z) 495 116
Xstrata PLC 128,100 1,444
Zurich Financial Services AG
(AE)(z) 31,122 4,923
------------
85,618
------------
Taiwan - 0.2%
Taiwan Semiconductor
Manufacturing Co., Ltd. - ADR
(AE)(z) 218,382 2,081
United Microelectronics Corp. -
ADR (AE)(z) 198,970 1,035
------------
3,116
------------
Thailand - 0.1%
Advanced Info Service PCL 167,000 367
Bangkok Bank PCL 127,000 311
Siam Cement PCL 124,300 678
Siam Cement PCL 28,900 152
------------
1,508
------------
United Kingdom - 17.2%
3i Group PLC 191,878 2,055
Abbey National PLC 63,700 512
Alliance & Leicester PLC 14,800 220
Alliance Unichem PLC 19,000 201
Allied Domecq PLC 126,102 1,008
Amvescap PLC 5,600 37
Anglo American PLC (AE) 50,380 1,016
ARM Holdings PLC 113,100 234
Associated British Foods PLC 34,900 387
AstraZeneca PLC 159,434 7,559
AstraZeneca PLC 40,600 1,902
Avis Europe PLC 418,139 728
Aviva PLC 499,134 4,886
AWG PLC (AE) 35,900 370
BAA PLC 108,200 1,000
BAE Systems PLC (AE) 1,449,643 5,402
Barclays PLC 744,197 6,723
Barratt Developments PLC 26,100 286
BG Group PLC 1,496,116 8,658
BHP Billiton PLC 267,357 2,140
BOC Group PLC 128,919 2,076
Boots Group PLC 489,554 5,314
BP PLC 1,941,507 16,814
Bradford & Bingley PLC 63,100 321
Brambles Industries PLC 772,679 2,883
British Airways PLC 55,400 278
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
British American Tobacco PLC 157,300 2,389
British Land Co. PLC 63,800 736
British Sky Broadcasting PLC 624,664 7,391
BT Group PLC 678,300 2,151
Bunzl PLC 220,969 1,850
Cable & Wireless PLC 179,900 395
Cadbury Schweppes PLC 519,428 4,139
Canary Wharf Group PLC 900 5
Cattles PLC 6,500 40
Centrica PLC 814,000 3,160
Colt Telecom Group PLC (AE) 14,900 20
Compass Group PLC 80,300 506
Corus Group PLC 591,766 389
Davis Service Group PLC 13,200 90
Diageo PLC 355,257 4,774
Dixons Group PLC 11,100 31
EMI Group PLC 303,800 1,392
Enterprise Inns PLC 253,800 2,750
Galen Holdings PLC 7,100 101
GKN PLC 898,954 3,657
GlaxoSmithKline PLC 833,999 17,290
GUS PLC 239,744 3,326
Hanson PLC 5,500 42
HBOS PLC 554,767 7,199
HHG PLC (AE)(z) 13,300 11
HMV Group PLC 76,000 321
HSBC Holdings PLC (z) 58,514 855
HSBC Holdings PLC 602,532 8,649
Imperial Chemical Industries PLC 77,100 300
Imperial Tobacco Group PLC 87,366 1,939
Inchcape PLC 14,100 376
InterContinental Hotels Group PLC
(AE) 727,750 6,813
International Power PLC (AE) 108,500 271
InvenSystem PLC 492,800 171
ITV PLC 280,655 616
J Sainsbury PLC 510,791 2,527
Kelda Group PLC 27,800 229
Kesa Electricals PLC 99,828 500
Kingfisher PLC 566,140 2,849
Land Securities Group PLC 11,100 216
Legal & General Group PLC 71,500 119
Lloyds TSB Group PLC 1,020,667 7,643
LogicaCMG PLC 45,700 176
Man Group PLC 43,709 1,311
Marks & Spencer Group PLC 593,039 2,910
MFI Furniture PLC 52,000 145
Mitchells & Butlers PLC (AE) 344,563 1,549
mmO2 PLC (AE) 163,700 291
Morrison WM Supermarkets 166,241 707
</Table>
36 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
MyTravel Group PLC 116,400 18
National Grid Transco PLC 169,700 1,290
Northern Foods PLC 147,500 422
Old Mutual PLC 244,800 421
Pearson PLC 153,700 1,797
Pennon Group PLC 15,700 193
Persimmon PLC 124,000 1,445
Prudential PLC 184,537 1,452
Punch Taverns PLC 5,000 48
Reckitt Benckiser PLC Series C 61,400 1,599
Reed Elsevier PLC 142,900 1,333
Reuters Group PLC 401,100 2,658
Rexam PLC 290,826 2,360
Rio Tinto PLC 265,346 5,831
RMC Group PLC 195,700 2,046
Rolls-Royce Group PLC 154,100 634
Royal & Sun Alliance Insurance
Group 801,214 1,142
Royal Bank of Scotland Group PLC 273,600 8,229
SABMiller PLC 61,200 665
Scottish & Newcastle PLC 24,500 179
Scottish & Southern Energy PLC 207,378 2,514
Scottish Power PLC 61,900 421
Shell Transport & Trading Co. PLC 1,461,500 10,100
Shire Pharmaceuticals PLC (AE) 92,000 848
Signet Group PLC 389,700 801
Smith & Nephew PLC 108,600 1,105
Smiths Group PLC 70,800 879
SSL International PLC 12,400 72
Stagecoach Group PLC 156,700 229
Standard Chartered PLC 212,898 3,268
Tate & Lyle PLC 76,100 411
Taylor Woodrow PLC 276,497 1,385
Tesco PLC 917,300 4,054
Trinity Mirror PLC 100,200 1,096
Unilever PLC 206,500 1,952
United Business Media PLC 121,063 989
United Utilities PLC 20,900 200
United Utilities PLC Class E 10,501 64
Vodafone Group PLC (AE) 8,883,960 21,623
Whitbread PLC 104,690 1,386
Willis Group Holdings, Ltd. 35,000 1,271
Wimpey George PLC 242,200 1,765
WPP Group PLC 11,000 109
------------
268,631
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
United States - 0.1%
GlobalSantaFe Corp. (z) 39,900 1,052
------------
TOTAL COMMON STOCKS
(cost $1,189,824) 1,398,356
------------
LONG-TERM INVESTMENTS - 0.1%
Cayman Islands - 0.1%
SMFG Finance, Ltd. (144A)
2.250% due 07/11/05 51,000 1,233
United Kingdom - 0.0%
Credit Suisse Group Finance
Guernsey, Ltd.
6.000% due 12/23/05 190 199
------------
TOTAL LONG-TERM INVESTMENTS
(cost $783) 1,432
------------
<Caption>
NOTIONAL
AMOUNT
$
------------
OPTIONS PURCHASED - 0.2%
(Number of contracts)
Belgium - 0.2%
Bel 20 Index Futures
May 2004
2,475.53 (EUR) Call (184) 10,917 2,205
May 2004
2,478.89 (EUR) Call (26) 1,545 312
May 2004
2,486.60 (EUR) Call (3) 179 36
------------
2,553
------------
Switzerland - 0.0%
Swiss Market Index Futures
Jun 2004 5,622.00 (CHF) Put
(25) 1,084 96
Jun 2004 5,773.37 (CHF) Put
(32) 1,425 126
------------
222
------------
TOTAL OPTIONS PURCHASED
(cost $2,765) 2,775
------------
</Table>
International Securities Fund 37
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
PREFERRED STOCKS - 0.5%
Australia - 0.0%
News Corp., Ltd. (z) 88,992 762
------------
Brazil - 0.1%
Cia Vale do Rio Doce - ADR (z) 9,000 352
Telecomunicacoes Brasileiras SA -
ADR (z) 31,200 893
------------
1,245
------------
Germany - 0.4%
Fresenius AG (z) 40,400 2,820
Fresenius Medical Care AG (z) 2,700 129
Porsche AG (AE) 131 81
ProSieben SAT.1 Media AG (z) 95,725 1,881
Wella AG (z) 10,464 954
------------
5,865
------------
South Korea - 0.0%
Samsung Electronics Co., Ltd. 270 75
------------
TOTAL PREFERRED STOCKS
(cost $6,232) 7,947
------------
</Table>
<Table>
- --------------------------------------------------------------
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
SHORT-TERM INVESTMENTS - 38.5%
United States - 38.5%
Frank Russell Investment Company
Money Market Fund 137,643,000 137,643
Frank Russell Investment Company
Money Market Fund (N) 214,642,061 214,642
State Street Securities Lending
Quality Trust (N) 231,116,553 231,116
United States Treasury Bill
(y)(s)
4.005% due 05/20/04 (z) 3,600 3,598
2.930% due 05/27/04 3,300 3,298
2.075% due 06/10/04 (z) 10,000 9,989
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $600,286) 600,286
------------
TOTAL INVESTMENTS - 129.0%
(identified cost $1,799,890) 2,010,796
OTHER ASSETS AND LIABILITIES,
NET - (29.0%) (451,458)
------------
NET ASSETS - 100.0% 1,559,338
============
</Table>
See accompanying notes which are an integral part of the financial statements.
38 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ---------------------------------------------------------------
Long Positions
CAC-40 Index (France)
expiration date 05/04 (172) 7,477 (31)
CAC-40 Index (France)
expiration date 06/04 (192) 8,317 210
DAX Index (Germany)
expiration date 06/04 (167) 19,909 408
DJ STOXX 50 Index (EMU)
expiration date 06/04 (866) 28,527 (309)
FTSE-100 Index (UK)
expiration date 06/04 (416) 33,157 275
Hang Seng Index (Hong Kong)
expiration date 05/04 (182) 13,773 (303)
IBEX Plus Index (Spain)
expiration date 05/04 (31) 2,994 (112)
SPI 200 Index (Australia)
expiration date 06/04 (117) 7,161 (79)
TOPIX Index (Japan)
expiration date 06/04 (426) 45,628 1,588
Short Positions
AEX Index (Germany)
expiration date 05/04 (45) 3,667 94
CAC-40 Index (France)
expiration date 05/04 (169) 7,347 132
FTSE-100 Index (UK)
expiration date 06/04 (110) 8,767 (24)
MIB-30 (Italy)
expiration date 06/04 (33) 5,475 (174)
SPI 200 Index (Australia)
expiration date 06/04 (110) 6,733 82
------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts 1,757
============
<Caption>
OPTIONS WRITTEN NOTIONAL MARKET
(NUMBER OF CONTRACTS) $ $
- ---------------------------------------------------------------
Belgium
Bel 20 Index Futures
May 2004 2,475.53 (EUR) Put
(184) 10,917 (2,401)
May 2004 2,478.89 (EUR) Put
(26) 1,545 (342)
May 2004 2,486.60 (EUR) Put
(3) 179 (40)
Switzerland
Swiss Market Index Futures
Jun 2004 5,622.00 (CHF) Call
(25) 1,084 (124)
Jun 2004 5,773.37 (CHF) Call
(32) 1,425 (123)
------------
Total Liability for Options
Written (premiums received
$2,762) (3,030)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
International Securities Fund 39
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 33 AUD 45 05/03/04 --
USD 943 AUD 1,305 05/03/04 --
USD 106 AUD 147 05/04/04 --
USD 42 AUD 58 05/05/04 --
USD 41 AUD 57 05/05/04 --
USD 359 AUD 500 06/16/04 --
USD 145 AUD 200 06/16/04 (2)
USD 217 AUD 300 06/16/04 (2)
USD 146 AUD 200 06/16/04 (3)
USD 650 AUD 900 06/16/04 (4)
USD 224 AUD 300 06/16/04 (9)
USD 440 AUD 600 06/16/04 (10)
USD 1,539 AUD 2,100 06/16/04 (31)
USD 5,454 AUD 7,500 06/16/04 (68)
USD 124 CAD 171 05/03/04 --
USD 527 CAD 722 05/04/04 --
USD 102 CAD 140 05/04/04 --
USD 72 CAD 99 05/05/04 --
USD 248 CHF 324 05/03/04 2
USD 81 CHF 106 05/03/04 1
USD 1,437 CHF 1,855 05/03/04 (6)
USD 163 CHF 211 05/04/04 --
USD 171 CHF 221 05/04/04 --
USD 172 CHF 222 05/04/04 --
USD 882 CHF 1,142 05/04/04 (1)
USD 553 CHF 717 05/05/04 --
USD 1,456 CHF 1,900 06/16/04 12
USD 6,266 CHF 8,000 06/16/04 (86)
USD 52 DKK 323 05/04/04 --
USD 122 DKK 754 05/05/04 --
USD 69 DKK 432 06/16/04 --
USD 82 DKK 500 06/16/04 (1)
USD 6 EUR 5 04/30/04 --
USD 5,749 EUR 4,799 05/03/04 2
USD 198 EUR 166 05/03/04 1
USD 105 EUR 87 05/03/04 --
USD 30 EUR 25 05/04/04 --
USD 31 EUR 26 05/04/04 --
USD 48 EUR 40 05/04/04 --
USD 585 EUR 489 05/05/04 1
USD 235 EUR 196 05/05/04 --
USD 16 EUR 13 05/05/04 --
USD 29 EUR 25 05/05/04 --
USD 935 EUR 762 05/24/04 (23)
USD 3,555 EUR 3,000 06/16/04 35
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 4,521 EUR 3,800 06/16/04 26
USD 1,177 EUR 1,000 06/16/04 20
USD 591 EUR 500 06/16/04 8
USD 1,197 EUR 1,000 06/16/04 --
USD 612 EUR 500 06/16/04 (14)
USD 1,216 EUR 1,000 06/16/04 (20)
USD 1,820 EUR 1,500 06/16/04 (25)
USD 1,222 EUR 1,000 06/16/04 (26)
USD 1,226 EUR 1,000 06/16/04 (30)
USD 3,038 EUR 2,500 06/16/04 (46)
USD 2,566 EUR 2,100 06/16/04 (53)
USD 4,270 EUR 3,500 06/16/04 (81)
USD 5,958 EUR 4,900 06/16/04 (94)
USD 4,921 EUR 4,000 06/16/04 (134)
USD 38,782 EUR 31,770 06/16/04 (761)
USD 3,697 GBP 2,082 05/04/04 2
USD 136 GBP 77 05/04/04 1
USD 140 GBP 79 05/04/04 --
USD 876 GBP 494 05/05/04 1
USD 81 GBP 45 05/06/04 --
USD 879 GBP 500 06/16/04 5
USD 1,766 GBP 1,000 06/16/04 2
USD 1,769 GBP 1,000 06/16/04 (1)
USD 1,786 GBP 1,000 06/16/04 (17)
USD 1,798 GBP 1,000 06/16/04 (29)
USD 3,568 GBP 2,000 06/16/04 (31)
USD 4,462 GBP 2,500 06/16/04 (41)
USD 6,054 GBP 3,400 06/16/04 (41)
USD 1,821 GBP 1,000 06/16/04 (52)
USD 1,826 GBP 1,000 06/16/04 (57)
USD 3,610 GBP 2,000 06/16/04 (73)
USD 19,641 GBP 11,000 06/16/04 (187)
USD 169 HKD 1,320 05/03/04 --
USD 20 HKD 156 05/04/04 --
USD 257 HKD 2,000 06/16/04 --
USD 180 HKD 1,400 06/16/04 --
USD 86 HUF 17,974 05/05/04 --
USD 203 JPY 22,247 05/06/04 (2)
USD 3,838 JPY 421,549 05/06/04 (19)
USD 62 JPY 6,828 05/07/04 --
USD 127 JPY 14,012 05/07/04 --
USD 135 JPY 14,836 05/07/04 (1)
USD 619 JPY 67,958 05/07/04 (3)
USD 24 JPY 2,672 05/10/04 --
USD 7 JPY 804 05/10/04 --
</Table>
See accompanying notes which are an integral part of the financial statements.
40 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 54 JPY 5,956 05/10/04 --
USD 70 JPY 7,667 05/10/04 --
USD 150 JPY 16,507 05/10/04 --
USD 9,563 JPY 1,060,000 06/16/04 51
USD 907 JPY 100,000 06/16/04 --
USD 1,815 JPY 200,000 06/16/04 (1)
USD 910 JPY 100,000 06/16/04 (3)
USD 457 JPY 50,000 06/16/04 (3)
USD 18,604 JPY 2,050,000 06/16/04 (11)
USD 1,832 JPY 200,000 06/16/04 (18)
USD 944 JPY 100,000 06/16/04 (37)
USD 1,416 JPY 150,000 06/16/04 (56)
USD 1,419 JPY 150,000 06/16/04 (59)
USD 1,522 JPY 160,000 06/16/04 (72)
USD 3,795 JPY 410,000 06/16/04 (77)
USD 172 NOK 1,178 05/05/04 --
USD 67 SEK 517 05/03/04 1
USD 88 SEK 668 05/03/04 --
USD 255 SEK 1,945 05/03/04 --
USD 74 SEK 567 05/04/04 --
USD 30 SEK 231 05/04/04 --
USD 137 SGD 233 05/03/04 --
USD 70 SGD 118 05/03/04 --
USD 125 SGD 214 05/04/04 --
USD 69 SGD 118 05/04/04 --
USD 11 SGD 19 05/04/04 --
USD 60 SGD 100 06/16/04 (1)
AUD 12 USD 9 05/03/04 --
AUD 74 USD 53 05/03/04 --
AUD 152 USD 110 05/04/04 --
AUD 465 USD 335 05/04/04 (1)
AUD 59 USD 43 05/05/04 --
AUD 700 USD 513 06/16/04 10
AUD 200 USD 152 06/16/04 8
AUD 1,305 USD 938 06/16/04 1
CAD 2 USD 1 05/03/04 --
CAD 1,223 USD 911 05/06/04 19
CHF 9 USD 7 05/03/04 --
CHF 58 USD 45 05/03/04 --
CHF 324 USD 250 05/04/04 --
CHF 835 USD 644 05/04/04 (1)
CHF 487 USD 376 05/05/04 --
CHF 1,606 USD 1,181 05/12/04 (59)
CHF 510 USD 387 05/25/04 (7)
CHF 1,629 USD 1,314 05/26/04 56
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
CHF 6,500 USD 5,061 06/16/04 40
CHF 1,855 USD 1,439 06/16/04 6
DKK 432 USD 70 05/03/04 --
DKK 314 USD 50 05/03/04 (1)
DKK 1,140 USD 183 05/04/04 --
EUR 33 USD 40 05/03/04 (1)
EUR 55 USD 65 05/03/04 (1)
EUR 489 USD 584 05/03/04 (3)
EUR 254 USD 301 05/03/04 (4)
EUR 500 USD 591 05/03/04 (8)
EUR 165 USD 197 05/04/04 --
EUR 144 USD 172 05/04/04 (1)
EUR 356 USD 426 05/04/04 (1)
EUR 175 USD 209 05/04/04 (1)
EUR 364 USD 434 05/04/04 (1)
EUR 247 USD 297 05/05/04 --
EUR 42 USD 51 05/05/04 --
EUR 114 USD 136 05/05/04 --
EUR 762 USD 950 05/24/04 38
EUR 1,430 USD 1,687 05/25/04 (26)
EUR 4,600 USD 5,620 06/16/04 115
EUR 4,000 USD 4,833 06/16/04 46
EUR 1,500 USD 1,823 06/16/04 28
EUR 1,000 USD 1,206 06/16/04 9
EUR 4,799 USD 5,743 06/16/04 (1)
EUR 1,000 USD 1,194 06/16/04 (2)
EUR 4,270 USD 5,081 06/16/04 (30)
GBP 18 USD 32 05/04/04 --
GBP 15 USD 26 05/04/04 --
GBP 7 USD 13 05/04/04 --
GBP 87 USD 154 05/04/04 --
GBP 269 USD 476 05/04/04 (1)
GBP 15 USD 26 05/05/04 --
GBP 107 USD 189 05/06/04 --
GBP 320 USD 564 05/25/04 (4)
GBP 1,500 USD 2,737 06/16/04 84
GBP 1,000 USD 1,829 06/16/04 61
GBP 1,600 USD 2,856 06/16/04 26
GBP 200 USD 360 06/16/04 6
GBP 2,082 USD 3,683 06/16/04 --
GBP 10,700 USD 18,924 07/30/04 71
HKD 2,606 USD 334 05/03/04 --
HKD 217 USD 28 05/04/04 --
HKD 1,799 USD 231 05/04/04 --
HKD 1,320 USD 169 06/16/04 --
</Table>
See accompanying notes which are an integral part of the financial statements.
International Securities Fund 41
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
JPY 6,629 USD 61 05/06/04 --
JPY 221 USD 2 05/06/04 --
JPY 484 USD 4 05/06/04 --
JPY 36,061 USD 327 05/07/04 1
JPY 18,608 USD 169 05/07/04 --
JPY 33,817 USD 306 05/10/04 --
JPY 103,423 USD 950 05/24/04 13
JPY 66,765 USD 607 06/04/04 2
JPY 300,000 USD 2,777 06/16/04 56
JPY 100,000 USD 951 06/16/04 45
JPY 421,549 USD 3,842 06/16/04 19
JPY 20,000 USD 190 06/16/04 9
JPY 30,000 USD 278 06/16/04 6
NOK 1,811 USD 263 05/04/04 --
NOK 242 USD 35 05/05/04 --
NOK 706 USD 103 05/05/04 --
NOK 960 USD 137 05/25/04 (3)
SEK 84 USD 11 05/04/04 --
SEK 724 USD 95 05/05/04 --
SEK 1,560 USD 201 05/25/04 (3)
SEK 21,800 USD 2,863 06/16/04 12
SEK 1,945 USD 255 06/16/04 --
SEK 1,000 USD 130 06/16/04 (1)
SGD 308 USD 181 05/04/04 --
SGD 233 USD 137 06/16/04 --
SGD 700 USD 409 06/16/04 (3)
THB 3,042 USD 76 05/06/04 --
THB 5,109 USD 128 05/07/04 --
ZAR 1,047 USD 152 05/06/04 2
--------------
(1,626)
==============
</Table>
<Table>
<Caption>
% OF MARKET
INDUSTRY DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Auto and Transportation 6.1 94,788
Consumer Discretionary 12.8 199,817
Consumer Staples 5.0 78,349
Financial Services 21.4 333,220
Health Care 6.0 94,074
Integrated Oils 3.7 57,655
Materials and Processing 9.4 146,251
Miscellaneous 1.2 19,104
Options 0.2 2,775
Other Energy 4.7 73,041
Producer Durables 5.8 91,059
Technology 4.6 71,342
Utilities 9.5 147,603
Short-Term Investments 38.5 600,286
Long-Term Investments 0.1 1,432
--------------- ---------------
Total Investments 129.0 2,010,796
Other Assets and Liabilities, net (29.0) (451,458)
--------------- ---------------
Net Assets 100.0 1,559,338
=============== ===============
</Table>
<Table>
<Caption>
% OF MARKET
GEOGRAPHIC DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Africa 0.1 1,196
Asia 8.6 134,006
Europe 39.9 621,912
Japan 22.5 351,502
Latin America 0.5 7,329
Middle East 0.1 822
United Kingdom 17.2 268,625
Options 0.2 2,775
Other 1.3 20,911
Short-Term Investments 38.5 600,286
Long-Term Investments 0.1 1,432
--------------- ---------------
Total Investments 129.0 2,010,796
Other Assets and Liabilities, net (29.0) (451,458)
--------------- ---------------
Net Assets 100.0 1,559,338
=============== ===============
</Table>
See accompanying notes which are an integral part of the financial statements.
42 International Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 83.6%
Argentina - 0.2%
Central Costanera SA Class T 437,100 647
IRSA Inversiones y
Representaciones SA 390,246 322
------------
969
------------
Bermuda - 0.1%
Credicorp, Ltd. (z) 21,700 278
------------
Brazil - 2.3%
Banco Bradesco SA - ADR (z) 1,750 71
Banco do Brasil SA 100,000 650
Brasil Telecom Participacoes SA 12,803,504 71
Brasil Telecom Participacoes SA -
ADR 19,500 605
Centrais Eletricas Brasileiras SA 69,313,200 717
Cia de Concessoes Rodoviarias
(AE) 48,200 412
Cia de Saneamento Basico do
Estado de Sao Paulo 15,889,900 724
Cia Siderurgica Nacional SA 37,709,700 1,789
Cia Vale do Rio Doce 8,400 379
Cia Vale do Rio Doce - ADR (z) 18,910 860
Gerdau SA - ADR (z) 54,600 1,148
Investimentos Itau SA Rights (AE) 4,377 --
Petroleo Brasileiro SA 32,700 940
Petroleo Brasileiro SA - ADR 39,760 1,149
Souza Cruz SA 92,100 799
Tele Norte Leste Participacoes SA 44,946,000 489
Votorantim Celulose e Papel SA -
ADR 12,600 396
------------
11,199
------------
Canada - 0.2%
PetroKazakhstan, Inc. Class A (z) 30,100 807
------------
Cayman Islands - 0.0%
Morgan Stanley Capital Cayman
Islands, Ltd. (AE) 144,261 68
------------
Chile - 0.3%
Coca-Cola Embonor SA - ADR 109,300 585
Distribucion y Servicio D&S SA -
ADR 19,800 301
Embotelladora Andina SA Class B -
ADR 54,400 628
------------
1,514
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
China - 2.9%
Aluminum Corp. of China, Ltd.
Class H 630,000 370
Byd Co., Ltd. Class H 118,000 352
China Petroleum & Chemical Corp.
Class H 10,654,000 3,688
China Shipping Development Co.,
Ltd. Class H 414,000 240
China Telecom Corp., Ltd. Class H 1,626,900 485
China Travel International
Investment Hong Kong, Ltd.
(AE) 502,000 95
Datang International Power Gen.
Co., Ltd. Class H 114,000 89
Fujian Zijin Mining
Industriesustry Co., Ltd.
Class H 340,000 111
Guangshen Railway Co., Ltd. Class
H 656,000 187
Huadian Power International Co.
Class H 2,886,000 823
Huaneng Power International, Inc.
Class H 128,000 120
Jiangsu Express Class H 1,880,100 862
Jiangxi Copper Co., Ltd. Class H 280,000 109
Lenovo Group, Ltd. 3,142,000 967
PetroChina Co., Ltd. Class H 2,882,000 1,256
Shanghai Forte Land Co. Class H
(AE) 1,586,000 352
Sinopec Shanghai Petrochemical
Co., Ltd. Class H 2,299,000 774
Sinopec Yizheng Chemical Fibre
Co., Ltd. Class H 628,000 114
Sinotrans, Ltd. Class H 2,234,000 766
Travelsky Technology, Ltd. Class
H 688,700 472
Yanzhou Coal Mining Co., Ltd.
Class H 1,518,000 1,430
Zhejiang Expressway Co., Ltd.
Class H 824,000 515
------------
14,177
------------
Colombia - 0.1%
Cementos Argos SA 26,400 181
Inversiones Nacionales de
Chocolates SA 54,121 138
------------
319
------------
Croatia - 0.2%
Pliva DD - GDR 69,500 1,122
------------
</Table>
Emerging Markets Fund 43
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Czech Republic - 0.6%
Cesky Telecom AS 97,950 1,250
Komercni Banka AS 7,238 797
Philip Morris CR 1,108 714
------------
2,761
------------
Ecuador - 0.4%
La Cemento Nacional Ecuador - GDR 72,000 1,576
La Cemento Nacional Ecuador - GDR 10,500 227
------------
1,803
------------
Egypt - 0.6%
MobiNil-Egyptian Mobile Services
Class V 74,574 1,054
Orascom Construction Industries 105,114 1,628
------------
2,682
------------
Greece - 0.1%
Attica Enterprise Holding SA 123,600 539
------------
Hong Kong - 2.2%
China Insurance International
Holdings Co., Ltd. 712,000 342
China Merchants Holdings
International Co., Ltd. 1,350,000 1,592
China Mobile Hong Kong, Ltd. 1,256,000 3,309
China Overseas Land & Investment,
Ltd. 1,830,000 305
China Resources Enterprise 528,000 613
China Resources Power Holdings
Co. (AE) 1,014,000 543
Citic Pacific, Ltd. (AE) 401,000 972
CNOOC, Ltd. 3,115,000 1,118
COSCO Pacific, Ltd. 656,000 828
Panva Gas Holdings, Ltd. (AE) 957,000 426
Shanghai Industrial Holdings,
Ltd. 196,000 367
Texwinca Holdings, Ltd. 699,300 524
------------
10,939
------------
Hungary - 1.5%
Gedeon Richter Rt 3,780 385
Matav Magyar Tavkozlesi Rt 141,073 590
Matav Magyar Tavkozlesi Rt - ADR
(z) 22,600 466
Mol Magyar Olaj- es Gazipari Rt 115,480 4,362
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Mol Magyar Olaj- es Gazipari Rt.
Class R - GDR 30,900 1,149
OTP Bank Rt 21,294 397
------------
7,349
------------
India - 4.1%
Bajaj Auto, Ltd. - GDR 33,393 710
Dr Reddy's Laboratories, Ltd. -
ADR (z) 34,800 682
GAIL India, Ltd. - GDR 78,571 2,176
Genesis India Investment Co. 372,219 6,998
Grasim Industries, Ltd. - GDR 5,300 147
Gujarat Ambuja Cements, Ltd. -
GDR 67,039 483
HDFC Bank, Ltd. - ADR 44,300 1,285
Hindalco Industries, Ltd. - GDR 24,249 618
ICICI Bank, Ltd. - ADR (z) 200,000 3,100
InfoSystem Technologies, Ltd. -
ADR (z) 9,200 745
ITC, Ltd. - GDR 35,584 861
Reliance Industries, Ltd. - GDR 83,235 2,122
------------
19,927
------------
Indonesia - 3.3%
Astra International Tbk PT 3,464,000 2,247
Bank Central Asia Tbk PT 3,375,000 1,498
Bank Mandiri Persero Tbk PT 8,445,776 1,394
Bank Rakyat Indonesia (AE) 7,656,160 1,503
Indonesian Satellite Corp. Tbk PT 2,398,500 1,085
Ramayana Lestari Sentosa Tbk PT 1,309,500 797
Telekomunikasi Indonesia Tbk PT 8,088,295 7,412
------------
15,936
------------
Israel - 2.5%
Bank Hapoalim, Ltd. 1,069,200 2,759
Bank Leumi Le-Israel 603,000 1,101
Bezeq Israeli Telecommunication
Corp., Ltd. 118,061 124
Check Point Software Technologies
(AE) (z) 94,549 2,215
Koor Industries, Ltd. 6,900 271
Lipman Electronic Engineering,
Ltd. (AE) 8,400 374
Makhteshim-Agan Industries, Ltd.
Class S 147,900 598
Nice Systems, Ltd. - ADR (AE) 15,700 364
Orbotech, Ltd. 38,675 817
</Table>
44 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Partner Communications - ADR (AE) 87,930 666
Teva Pharmaceutical Industries,
Ltd. - ADR (z) 44,900 2,764
------------
12,053
------------
Luxembourg - 1.0%
F&C Emerging Markets, Ltd. -
Taiwan Investment Co. 79,100 814
F&C Industriesian Investment Co.
SICAV 287,050 1,966
Quilmes Industrial SA 392,600 373
Quilmes Industrial SA - ADR 33,710 615
Tenaris SA 334,131 1,024
Tenaris SA - ADR (z) 10,500 315
------------
5,107
------------
Malaysia - 3.4%
Astro All Asia Networks PLC (AE) 307,200 420
Berjaya Sports Toto BHD 495,500 571
British American Tobacco Malaysia
BHD 49,300 623
CIMB BHD 315,200 460
Gamuda BHD 728,500 1,074
Genting BHD 153,000 664
Hong Leong Bank BHD 331,800 445
IJM Corp. BHD 308,000 379
Magnum Corp. BHD 1,816,900 1,387
Malakoff BHD 1,013,000 1,493
Malayan Banking BHD 592,000 1,636
Malaysian Industrial Development
(AE) 912,400 286
MK Land Holdings BHD 1,124,700 829
Multi-Purpose Holdings BHD 598,100 200
OYL Industries BHD 76,300 723
Public Bank Berhad (AE) 1,203,825 1,083
Public Bank BHD 1,131,562 890
Resorts World BHD 247,700 652
Sime Darby BHD 250,700 356
SP Setia BHD 368,666 413
Symphony House BHD 416,400 179
TAN Chong Motor Holdings BHD 908,000 315
Tanjong PLC 233,800 751
Telekom Malaysia BHD 154,000 383
UMW Holdings BHD 354,000 540
------------
16,752
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Mexico - 6.8%
Alfa SA de CV Class A 163,900 531
America Movil SA de CV Class L -
ADR 161,520 5,460
America Movil SA de CV Series L 165,800 280
Cemex SA de CV 1,224,550 7,114
Cemex SA de CV - ADR (z) 65,949 1,942
Consorico ARA SA de CV (AE) 95,400 259
Controladora Co.mercial Mexicana
SA de CV 462,200 510
Corp Durango SA de CV - ADR (AE) 15,050 35
Corp GEO SA de CV Series B (AE) 92,400 529
Empresas ICA Sociedad
Controladora SA de CV 981,700 310
Fomento Economico Mexicano SA de
CV - ADR (z) 41,700 1,823
Grupo Aeroportuario del Sureste
SA de CV - ADR 21,350 417
Grupo Carso SA de CV Series 1
(AE) 31,212 114
Grupo Financiero Banorte SA de CV
Class O 933,103 3,311
Grupo Modelo SA Series C 385,400 963
Grupo Televisa SA - ADR 28,758 1,254
Telefonos de Mexico SA de CV -
ADR 141,114 4,818
Telefonos de Mexico SA de CV
Series L 552,000 940
TV Azteca SA de CV - ADR (z) 20,400 187
Wal-Mart de Mexico SA de CV
Series V 804,371 2,340
------------
33,137
------------
Pakistan - 1.2%
Engro Chemicals Pakistan 605,500 1,043
Fauji Fertilizer Co., Ltd. 514,439 1,139
HUB Power Co. 1,220,092 743
ICI Pakistan (AE) 103,000 148
Muslim Commercial Bank 1,073,839 1,047
Pakistan State Oil Co., Ltd. 17,000 80
Pakistan Telecommunication Co.,
Ltd. 898,069 693
SUI Northern Gas Pipeline 692,580 830
------------
5,723
------------
Peru - 0.1%
Cia de Minas Buenaventura SA -
ADR (z) 22,300 483
------------
</Table>
Emerging Markets Fund 45
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Philippines - 0.4%
Ayala Land, Inc. 526,000 53
Bank of the Philippine Islands 406,700 352
Metropolitan Bank & Trust 289,350 129
Philippine Long Distance
Telephone (AE) 64,200 1,237
SM Prime Holdings 1,500,000 166
------------
1,937
------------
Poland - 0.2%
KGHM Polska Miedz SA 72,077 500
Telekomunikacja Polska SA 56,200 228
Telekomunikacja Polska SA - GDR 31,300 126
------------
854
------------
Russia - 3.8%
Gazprom - ADR 32,416 1,002
LUKOIL - ADR 60,759 6,624
MMC Norilsk Nickel - ADR (z) 19,751 1,171
Mobile TeleSystems - ADR 25,726 2,777
OAO Gazprom - ADR (z) 37,796 1,168
Rostelecom - ADR (z) 8,200 105
Surgutneftegaz - ADR (z) 46,722 1,518
Tatneft - ADR 4,300 112
Vimpel-Communications - ADR
(AE)(z) 17,600 1,580
YUKOS - ADR (z) 55,815 2,484
------------
18,541
------------
South Africa - 7.0%
ABSA Group, Ltd. 618,587 3,969
Aeci, Ltd. 236,900 1,213
African Bank Investments, Ltd. 468,000 710
Alexander Forbes, Ltd. 300,000 432
AngloGold Ashanti, Ltd. 8,883 281
Anglogold, Ltd. - ADR (z) 41,934 1,318
AVI, Ltd. 310,000 812
Barloworld, Ltd. 166,885 1,666
BidBEE, Ltd. (AE) 2,124 12
Bidvest Group, Ltd. 27,182 211
FirstRand, Ltd. 986,673 1,355
Gold Fields, Ltd. 51,546 518
Harmony Gold Mining Co., Ltd. 22,243 245
Impala Platinum Holdings, Ltd. 19,651 1,331
Imperial Holdings, Ltd. 79,640 752
Investec, Ltd. 19,800 348
MTN Group, Ltd. 433,111 1,803
Murray & Roberts Holdings, Ltd. 330,000 614
Nampak, Ltd. 59,373 121
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Naspers, Ltd. Class N 383,486 2,579
Pick'n Pay Stores, Ltd. 154,959 395
Sanlam, Ltd. 2,350,040 2,945
Sappi, Ltd. 96,392 1,294
Sasol, Ltd. 160,219 2,393
Standard Bank Group, Ltd. 543,139 3,118
Telkom SA, Ltd. 264,555 2,857
Tiger Brands, Ltd. 8,684 107
VenFin, Ltd. 182,500 561
------------
33,960
------------
South Korea - 17.4%
Amorepacific Corp. 6,970 1,114
Asiana Airlines (AE) 209,704 482
Cheil Industries, Inc. 47,540 691
Daeduck Electronics Co. 74,212 756
Daelim Industrial Co. 34,000 1,263
Daewoo Shipbuilding & Marine
Engineering Co., Ltd. (AE) 11,090 113
Hana Bank 4,260 92
Hankook Tire Co., Ltd. 82,267 667
Hanwha Chem Corp. 208,900 1,408
Hite Brewery Co., Ltd. 8,410 616
Hyosung Corp. 13,930 119
Hyundai Department Store Co.,
Ltd. 4,210 114
Hyundai Heavy Industries 7,510 174
Hyundai Mobis 65,570 2,816
Hyundai Motor Co. 142,944 5,452
Industrial Bank Of Korea 88,000 608
Industrial Bank Of Korea - GDR 118,540 859
INI Steel Co. 96,300 936
Kangwon Land, Inc. 2,697 31
Kia Motors Corp. 46,190 429
Kookmin Bank 161,937 6,046
Kookmin Bank - ADR 3,500 130
Korea Electric Power Corp. 64,530 1,056
Korean Air Co., Ltd. 29,930 408
KT Corp. 35,940 1,253
KT Corp. - ADR (z) 19,700 364
KT Freetel 35,000 568
KT&G Corp. 88,550 2,249
KT&G Corp. - GDR 33,800 429
Kumgang Korea Chemical Co., Ltd. 6,640 679
LG Cable & Machinery, Ltd. (AE) 7,880 112
LG Chem, Ltd. 31,440 1,270
LG Electronics, Inc. 47,210 2,865
LG Engineering & Construction
Corp. 89,570 1,523
LG Home Shopping, Inc. 5,260 220
</Table>
46 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
LG International Corp. 46,210 354
Lotte Chilsung Beverage Co., Ltd. 1,090 643
Lotte Confectionery Co., Ltd. 1,200 533
NCSoft Corp. 5,084 364
Nong Shim Co., Ltd. 5,320 1,022
Plenus, Inc. 26,400 355
POSCO 40,321 4,931
POSCO - ADR 11,000 338
Pusan Bank 72,470 422
S1 Corp. 45,781 1,112
Samsung Corp. 21,550 257
Samsung Electro-Mechanics Co.,
Ltd. 23,180 873
Samsung Electronics - GDR 2,300 541
Samsung Electronics Co., Ltd. 45,635 21,664
Samsung Electronics Co., Ltd. -
GDR 10,059 1,398
Samsung Fire & Marine Insurance
Co., Ltd. 29,070 1,932
Samsung Heavy Industries Co.,
Ltd. 25,670 114
Samsung SDI Co., Ltd. 6,450 825
Shinhan Financial Group Co., Ltd. 207,200 3,611
Shinsegae Co., Ltd. 2,120 479
SK Corp. 14,540 610
SK Telecom Co., Ltd. 17,510 2,985
SK Telecom Co., Ltd. - ADR (z) 11,400 230
S-Oil Corp. Class N (AE) 28,390 1,132
Tae Young Corp. 11,339 376
------------
85,013
------------
Switzerland - 0.1%
Compagnie Financiere Richemont AG
- ADR 223,300 569
------------
Taiwan - 10.3%
Acer, Inc. 564,468 798
Advantech Co., Ltd. 222,315 468
Asustek Computer, Inc. 380,000 812
AU Optronics Corp. 124,000 254
Basso Industry Corp. (AE) 206,000 409
Catcher Technology Co., Ltd. (AE) 101,000 423
Cathay Financial Holding Co.,
Ltd. 660,140 1,172
Cheng Shin Rubber Industry Co.,
Ltd. 350,000 408
China Motor Corp., Ltd. 416,000 657
China Steel Corp. 1,388,000 1,237
China Steel Corp. - GDR 55,900 984
China Steel Corp. - GDR 52,300 920
Chinatrust Financial Holding Co. 1,661,770 1,786
Chunghwa Picture Tubes, Ltd. 168,000 108
Chunghwa Telecom Co., Ltd. 1,179,000 1,898
CMC Magnetics Corp. 123,000 102
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Compal Electronics, Inc. 4,361,150 4,909
Compal Electronics, Inc. - GDR 29,133 166
Elitegroup Computer Systems 82,000 60
Eva Airways Corp. (AE) 688,687 281
Evergreen Marine Corp. 550,200 422
Far Eastern Department Stores
Co., Ltd. 311,000 140
Far Eastern Textile Co., Ltd. 2,416,250 1,454
Faraday Technology Corp. 202,062 462
First Financial Holding Co., Ltd.
(AE) 969,000 709
Formosa Plastics Corp. 849,667 1,215
Fubon Financial Holding Co., Ltd. 922,000 880
Gigabyte Technology Co., Ltd. 1,031,600 1,894
HON HAI Precision Industry 892,103 3,517
Lite-On Technology Corp. 106,000 112
MediaTek, Inc. 21,000 200
Mega Financial Holding Co., Ltd. 1,412,240 948
Nan Ya Plastics Corp. 1,497,020 2,010
Phoenixtec Power Co., Ltd. 653,079 694
Polaris Securities Co., Ltd. 615,000 344
POU Chen Corp. 143,000 136
Premier Image Technology Corp. 352,000 562
President Chain Store Corp. 162,000 288
Quanta Computer, Inc. 474,800 1,000
Ritek Corp. 1,885,000 1,197
Sunplus Technology Co., Ltd. 359,000 713
Taishin Financial Holdings Co.,
Ltd. 839,000 735
Taiwan Cellular Corp. 1,918,520 1,761
Taiwan Semiconductor
Manufacturing Co., Ltd. (AE) 4,258,384 7,371
Teco Electric and Machinery Co.,
Ltd. 1,123,000 419
Uni-President Enterprises Co. 273,000 119
United Microelectronics Corp. 2,013,134 1,806
Vanguard International
Semiconductor Corp. (AE) 348,000 158
Via Technologies, Inc. 342,000 389
Yageo Corp. 1,007,000 549
Yuanta Core Pacific Securities
Co. 329,088 223
Yulon Motor Co. 135,000 155
------------
50,434
------------
Thailand - 4.0%
Advanced Info Service PCL 384,700 846
Airports of Thailand PCL (AE) 717,100 865
Bangkok Bank PCL 594,600 1,456
Bangkok Bank PCL 179,300 423
Bank of Ayudhya 1,677,000 486
Bank of Ayudhya (Alien Market) 223,400 66
</Table>
Emerging Markets Fund 47
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
BEC World PCL 902,300 415
Charoen Pokphand Foods PCL 3,243,700 298
CP Seven Eleven PCL 190,200 269
Delta Electronics Thai PCL 487,848 314
Hana Microelectronics PCL 308,930 1,050
Kasikornbank PCL 231,000 280
Kasikornbank PCL 924,600 1,121
Kiatnakin Finance PCL 339,000 333
Kiatnakin Finance PCL 11,600 11
Land and Houses PCL 885,000 248
National Petrochemical PCL 517,000 1,118
PTT Exploration & Production PCL 283,200 1,911
PTT PCL 648,200 2,365
Shin Corp. PCL 1,977,400 1,705
Siam Cement PCL 374,696 2,044
Siam City Cement PCL 33,300 178
Siam Commercial Bank PCL 644,700 745
Siam Commercial Bank PCL 296,000 342
Thai Airways International PCL 446,700 636
------------
19,525
------------
Turkey - 2.9%
Akbank TAS 527,168,432 2,449
Anadolu Efes Biracilik Ve Malt
Sanayii AS 82,039,970 1,149
Dogan Sirketler Grubu Holdings 292,006,304 539
Dogan Yayin Holding (AE) 119,905,264 399
Ford Otomotiv Sanayi AS 244,000,000 1,923
Haci Omer Sabanci Holding AS 284,345,408 926
Haci Omer Sabanci Holding AS (AE) 42,565,120 133
Hurriyet Gazeteci 183,798,304 521
Migros Turk TAS 133,065,000 665
Tupras Turkiye Petrol Rafine 91,685,000 581
Turkcell Iletisim Hizmet AS 190,276,784 2,062
Turkcell Iletisim Hizmet AS - ADR
(z) 2,400 68
Turkiye Garanti Bankasi AS 259,501,504 794
Turkiye IS Bankasi 443,280,288 1,583
Yapi ve Kredi Bankasi 106,176,816 226
------------
14,018
------------
United Kingdom - 3.1%
Anglo American PLC (AE) 437,311 8,697
Antofagasta PLC 109,836 1,834
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Genesis Smaller Companies Fund
(AE) 153,484 4,345
Old Mutual PLC 62,832 107
Old Mutual PLC 2,300 4
SABMiller PLC 24,900 268
------------
15,255
------------
United States - 0.3%
Associates Corp. of North America
(AE) 1,870,000 415
Utstarcom, Inc. (AE)(z) 50,300 1,325
------------
1,740
------------
Venezuela - 0.0%
Siderurgica Venezolana Sivensa
SACA 1,306,495 12
------------
Zimbabwe - 0.0%
Delta Corp., Ltd. 1,051,425 40
OK Zimbabwe 5,965,491 18
------------
58
------------
TOTAL COMMON STOCKS
(cost $318,351) 407,560
------------
<Caption>
NOTIONAL
AMOUNT
$
------------
OPTIONS PURCHASED - 0.6%
(Number of Contracts)
Brazil - 0.0%
Bovespa Index Futures
June 2004 23,022.15 (BRL) Call
(145) 3,406 44
------------
South Korea - 0.6%
Kospi 200 Index
June 2004 100.2575 (KRW) Call
(203) 8,673 2,396
Kospi 200 Index
June 2004 100.4275 (KRW) Call
(50) 2,140 591
------------
2,987
------------
TOTAL OPTIONS PURCHASED
(cost $3,038) 3,031
------------
</Table>
48 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
PREFERRED STOCKS - 7.7%
Brazil - 7.1%
Banco Bradesco SA 37,038 1,502
Banco Itau Holding Financeira SA 21,254,665 1,684
Brasil Telecom Participacoes SA 23,832,700 147
Braskem SA 18,024,500 359
Caemi Mineracao e Metalurgica SA 374,300 136
Centrais Eletricas Brasileiras SA 43,866,000 489
Cia Brasileira de Distribuicao
Grupo Pao de Acucar - ADR (z) 38,900 692
Cia de Bebidas das Americas 15,225,806 2,835
Cia de Bebidas das Americas - ADR
(z) 52,200 979
Cia de Tecidos do Norte de Minas
- Co.teminas 6,342,040 453
Cia Energetica de Minas Gerais 120,153,624 1,839
Cia Paranaense de Energia 89,280,000 304
Cia Siderurgica de Tubarao 7,700,000 221
Cia Suzano de Papel e Celulose 358,416 1,585
Cia Vale do Rio Doce 20,676 816
Cia Vale do Rio Doce - ADR (z) 39,700 1,552
Empresa Brasileira de Aeronautica
SA 103,300 650
Empresa Brasileira de Aeronautica
SA - ADR (z) 7,500 194
Gerdau SA 113,096 1,193
Investimentos Itau SA 238,200 231
Klabin SA (AE) 542,400 675
NET Servicos de Comunicacao SA
(AE) 1,507,800 374
Petroleo Brasileiro SA 188,470 4,700
Petroleo Brasileiro SA - ADR (z) 78,300 1,948
Sadia SA 170,000 233
Tele Norte Leste Participacoes SA 99,878,416 1,182
Tele Norte Leste Participacoes SA
- ADR (z) 38,900 461
Telecomunicacoes Brasileiras SA -
ADR 28,729 822
Telemig Celular Participacoes SA
- ADR (z) 4,700 144
Telesp Celular Participacoes SA 296,038,432 843
Telesp Celular Participacoes SA -
ADR (z) 85,900 612
Uniao de Bancos Brasileiros SA 4,458,600 170
Uniao de Bancos Brasileiros SA -
GDR (z) 91,400 1,791
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Usinas Siderurgicas de Minas
Gerais SA 110,900 1,094
Votorantim Celulose e Papel SA 25,087,000 1,570
------------
34,480
------------
South Korea - 0.6%
Hyundai Motor Co. 39,870 756
Samsung Electronics Co., Ltd. 8,270 2,284
------------
3,040
------------
TOTAL PREFERRED STOCKS
(cost $33,792) 37,520
------------
SHORT-TERM INVESTMENTS - 10.5%
United States - 10.5%
Frank Russell Investment Company
Money Market Fund 33,676,000 33,676
Frank Russell Investment Company
Money Market Fund (N) 7,481,118 7,481
State Street Securities Lending
Quality Trust (N) 8,055,319 8,055
United States Treasury Bill
(y)(s)
0.930% due 06/10/04 2,000 1,998
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $51,210) 51,210
------------
WARRANTS - 0.0%
South Africa - 0.0%
Bidvest Group, Ltd. 2006 Warrants
(AE) 849 1
Multi-Purpose Holdings BHD 2009
Warrants (AE) 65,320 11
------------
TOTAL WARRANTS
(cost $2) 12
------------
TOTAL INVESTMENTS - 102.4%
(identified cost $406,393) 499,333
OTHER ASSETS AND LIABILITIES,
NET - (2.4%) (11,950)
------------
NET ASSETS - 100.0% 487,383
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 49
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Hang Seng Index (Hong Kong)
expiration date 05/04 (51) 3,859 (69)
JSE-40 Index (South Africa)
expiration date 06/04 (241) 3,308 (112)
JSE-40 Index (South Africa)
expiration date 03/05 (260) 3,683 (165)
SIMEX Index (Taiwan)
expiration date 05/04 (264) 6,766 (799)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,145)
===============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- -----------------------------------------------------------------------------------
Brazil - 0.0%
Bovespa Index Futures
Jun 2004 23,022.15 (BRL) Put (145) 3,406 (521)
South Korea - 0.6%
Kospi 200 Index Futures
June 2004 100.28 (KRW) Put (203) 8,674 (1,337)
Kospi 200 Index Futures
June 2004 100.43 (KRW) Put (50) 2,140 (333)
---------------
Total Liability for Options Written (premiums
received $1,126) (2,191)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
50 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 10 BRL 30 05/03/04 --
USD 10 BRL 30 05/03/04 --
USD 36 BRL 108 05/03/04 --
USD 130 BRL 380 05/04/04 --
USD 45 BRL 131 05/04/04 --
USD 19 BRL 56 05/04/04 --
USD 11 BRL 32 05/04/04 --
USD 1,012 BRL 3,000 06/16/04 (12)
USD 668 BRL 2,000 06/16/04 (1)
USD 1,364 BRL 4,100 06/16/04 2
USD 1,297 BRL 3,900 06/16/04 3
USD 30 HKD 236 05/03/04 --
USD 50 HKD 389 05/04/04 --
USD 40 HKD 316 05/04/04 --
USD 85 IDR 739,913 05/05/04 (1)
USD 138 KRW 158,689 04/28/04 (3)
USD 384 KRW 443,063 05/05/04 (6)
USD 2,591 KRW 3,000,000 06/16/04 (44)
USD 429 KRW 500,000 06/16/04 (5)
USD 1,256 KRW 1,500,000 06/16/04 (2)
USD 84 KRW 100,000 06/16/04 1
USD 7,065 KRW 8,400,000 06/16/04 65
USD 6 THB 255 05/04/04 --
USD 32 THB 1,267 05/04/04 --
USD 80 THB 3,214 05/06/04 --
USD 120 THB 4,792 05/07/04 --
USD 190 THB 7,589 05/07/04 --
USD 331 ZAR 2,304 05/04/04 (2)
USD -- ZAR 3 05/04/04 --
USD 97 ZAR 663 05/05/04 (2)
USD 39 ZAR 267 05/05/04 (1)
USD 72 ZAR 502 05/06/04 --
USD 88 ZAR 613 05/06/04 (1)
USD 158 ZAR 1,092 05/06/04 (2)
USD 3,510 ZAR 24,000 06/17/04 (104)
USD 1,478 ZAR 10,000 06/17/04 (58)
USD 1,176 ZAR 8,000 06/17/04 (40)
BRL 9 USD 3 05/03/04 --
BRL 31 USD 11 05/04/04 --
HUF 45,895 USD 218 05/05/04 (2)
MXN 201 USD 17 05/03/04 --
MYR 700 USD 184 05/05/04 --
MYR 70 USD 18 05/06/04 --
PHP 552 USD 10 05/03/04 --
THB 5,829 USD 145 05/06/04 --
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
THB 1,428 USD 36 05/07/04 --
ZAR 2,000 USD 294 06/17/04 10
--------------
(205)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 51
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
% OF MARKET
INDUSTRY DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- -------------------------------------------------------------
- -------------------------------------------------------------
Auto and Transportation 4.9 24,080
Consumer Discretionary 4.2 20,304
Consumer Staples 4.4 21,613
Financial Services 15.9 77,860
Health Care 1.0 4,953
Integrated Oils 4.5 21,877
Materials and Processing 15.6 76,109
Miscellaneous 2.3 11,393
Options 0.6 3,031
Other Energy 5.6 27,134
Producer Durables 7.4 36,233
Technology 8.7 42,418
Utilities 13.7 66,995
Short-Term Investments 13.4 65,333
------------ ------------
Total Investments 102.4 499,333
Other Assets and Liabilities,
net (2.4) (11,950)
------------ ------------
Net Assets 100.0 487,383
============ ============
</Table>
<Table>
<Caption>
% OF MARKET
GEOGRAPHIC DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Africa 7.0 34,020
Asia 48.5 236,420
Europe 9.9 48,080
Latin America 17.2 83,912
Middle East 3.0 14,734
United Kingdom 2.2 10,910
Options 0.6 3,031
Other 0.6 2,893
Short-Term Investments 13.4 65,333
--------------- ---------------
Total Investments 102.4 499,333
Other Assets and Liabilities, net (2.4) (11,950)
--------------- ---------------
Net Assets 100.0 487,383
=============== ===============
</Table>
See accompanying notes which are an integral part of the financial statements.
52 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 97.2%
Apartment - 17.0%
Affordable Residential
Communities (AE)(o)(z) 81,500 1,386
Apartment Investment & Management
Co. Class A (o) 148,000 4,169
Archstone-Smith Trust (o) 1,253,407 34,381
AvalonBay Communities, Inc. (o) 622,500 30,895
BRE Properties Class A (o) 258,300 8,188
Camden Property Trust (o)(z) 194,400 8,227
Equity Residential (o) 1,791,400 49,192
Essex Property Trust, Inc. (o) 129,800 7,911
Pennsylvania Real Estate
Investment Trust (o)(z) 266,521 8,622
Summit Properties, Inc. (o) 296,000 6,698
Sun Communities, Inc. (o) 72,100 2,520
United Dominion Realty Trust,
Inc. (o) 384,500 6,902
------------
169,091
------------
Health Care - 3.6%
Health Care Property Investors,
Inc. (o) 46,300 1,107
Health Care REIT, Inc. (o) 83,800 2,677
Healthcare Realty Trust, Inc. (o) 151,500 5,431
LTC Properties, Inc. (o)(z) 135,000 2,101
National Health Investors, Inc.
(o)(z) 160,300 3,842
Omega Healthcare Investors, Inc.
(o)(z) 201,900 1,868
Senior Housing Properties Trust
(o)(z) 530,400 7,929
Ventas, Inc. (o)(z) 481,900 10,645
------------
35,600
------------
Hotels/Leisure - 8.8%
Fairmont Hotels & Resorts, Inc. 113,900 2,813
Hilton Hotels Corp. 1,500,100 26,237
Hospitality Properties Trust (o) 55,000 2,149
Host Marriott Corp. (o) 2,186,000 26,013
La Quinta Corp. (z) 390,600 2,808
LaSalle Hotel Properties (o) 108,300 2,383
Starwood Hotels & Resorts
Worldwide, Inc. 633,583 25,210
------------
87,613
------------
Leasing - 0.7%
Glenborough Realty Trust, Inc.
(o) 180,200 3,386
iStar Financial, Inc. (o) 99,000 3,518
------------
6,904
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Office/Industrial - 33.4%
Alexandria Real Estate Equities,
Inc. (o) 97,000 5,512
AMB Property Corp. (o) 247,000 7,484
American Financial Realty Trust
(o) 179,600 2,658
Arden Realty, Inc. (o) 395,000 11,147
Boston Properties, Inc. (o) 783,138 36,807
Brandywine Realty Trust (o) 28,700 727
Brookfield Properties Co. 824,300 22,916
CarrAmerica Realty Corp. (o) 287,800 8,205
Catellus Development Corp. (o) 1,229,671 26,499
Centerpoint Properties Trust (o) 203,200 14,651
Corporate Office Properties Trust
(o)(z) 80,000 1,628
Cousins Properties, Inc. (o) 34,000 956
Crescent Real Estate Equities Co.
(o) 183,500 2,839
Duke Realty Corp. (o) 121,500 3,543
Equity Office Properties Trust
(o) 581,200 14,629
Highwoods Properties, Inc. (o)(z) 464,000 10,463
Home Properties, Inc. (o) 119,700 4,470
HRPT Properties Trust (o) 363,653 3,473
Keystone Property Trust (o) 36,200 736
Kilroy Realty Corp. (o) 287,200 9,004
Liberty Property Trust (o) 739,100 27,014
Mack-Cali Realty Corp. (o) 662,000 24,726
Plum Creek Timber Co., Inc. (o) 370,600 10,955
Prentiss Properties Trust (o) 205,000 6,568
Prologis (o) 1,883,800 55,421
PS Business Parks, Inc. (o) 110,200 4,182
SL Green Realty Corp. (o) 347,000 14,158
------------
331,371
------------
Outlet Centers - 3.5%
Chelsea Property Group, Inc. (o) 678,200 34,588
------------
Regional Malls - 17.4%
CBL & Associates Properties, Inc.
(o) 41,500 2,085
General Growth Properties, Inc.
(o) 1,797,800 48,738
Macerich Co. (The) (o) 434,200 18,180
Mills Corp. (The) (o) 75,700 3,073
Rouse Co. (The) (o) 713,400 30,890
Simon Property Group, Inc. (o) 1,336,400 64,429
Taubman Centers, Inc. (o)(z) 264,300 5,154
------------
172,549
------------
</Table>
Real Estate Securities Fund 53
FRANK RUSSELL INVESTMENT COMPANY
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Self Storage - 2.0%
Public Storage, Inc. (o) 296,800 12,403
Shurgard Storage Centers, Inc.
Class A (o)(z) 213,000 7,093
------------
19,496
------------
Shopping Center - 10.8%
Developers Diversified Realty
Corp. (o) 753,200 24,667
Federal Realty Invs Trust (o) 383,500 14,220
Kimco Realty Corp. (o) 167,000 7,138
Pan Pacific Retail Properties,
Inc. (o) 429,500 18,868
Realty Income Corp. (o)(z) 30,000 1,148
Regency Centers Corp. (o) 544,800 20,653
Urstadt Biddle Properties, Inc.
Class A (o)(z) 69,000 958
Vornado Realty Trust (o) 394,900 19,923
------------
107,575
------------
TOTAL COMMON STOCKS
(cost $763,545) 964,787
------------
SHORT-TERM INVESTMENTS - 4.5%
Frank Russell Investment Company
Money Market Fund 27,363,000 27,363
Frank Russell Investment Company
Money Market Fund (N) 8,446,775 8,447
State Street Securities Lending
Quality Trust (N) 9,095,094 9,095
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $44,905) 44,905
------------
TOTAL INVESTMENTS - 101.7%
(identified cost $808,450) 1,009,692
OTHER ASSETS AND LIABILITIES,
NET - (1.7)% (17,354)
------------
NET ASSETS - 100.0% 992,338
============
</Table>
See accompanying notes which are an integral part of the financial statements.
54 Real Estate Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
LONG-TERM INVESTMENTS - 71.1%
Asset-Backed Securities - 23.3%
Alter Moneta Receivables LLC (y)
Series 2003-1 Class NOTE
2.563% due 03/15/11 2,949 2,939
AmeriCredit Automobile
Receivables Trust
Series 2002-C Class A4
3.550% due 02/12/09 3,500 3,547
Amortizing Residential Collateral
Trust (E)
Series 2002-BC5 Class A
1.420% due 07/25/32 762 763
Asset Backed Securities Corp.
Home Equity (E)
Series 2002-HE1 Class M1
2.200% due 03/15/32 1,400 1,427
Bank One Issuance Trust
Series 2002-A2 Class A2
4.160% due 01/15/08 6,000 6,142
Series 2002-A4 Class A4
2.940% due 06/16/08 2,000 2,021
Bay View Auto Trust
Series 2003-LJ1 Class A3
2.430% due 07/25/08 1,000 999
California Infrastructure PG&E-1
Series 1997-1 Class A7
6.420% due 09/25/08 6,687 7,036
California Infrastructure SCE-1
Series 1997-1 Class A6
6.380% due 09/25/08 3,616 3,808
Series 1997-1 Class A7
6.420% due 12/26/09 3,950 4,296
California Infrastructure SDG&E-1
Series 1997-1 Class A6
6.310% due 09/25/08 675 710
Capital Auto Receivables Asset
Trust
Series 2002-3 Class A3
3.580% due 10/16/06 8,920 9,087
Series 2002-4 Class A4
2.640% due 03/17/08 2,275 2,284
Capital One Auto Finance Trust
Series 2001-B Class A4
4.880% due 09/15/08 1,100 1,140
Capital One Master Trust
Series 2002-4A Class A
4.900% due 03/15/10 1,000 1,047
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Capital One Multi-Asset Execution
Trust
Series 2003-A6 Class A6
2.950% due 08/17/09 1,000 1,001
Capital One Prime Auto
Receivables Trust
Series 2003-1 Class A3
1.970% due 04/15/07 2,500 2,506
Caterpillar Financial Asset Trust
Series 2002-A Class A3
3.150% due 02/25/08 1,438 1,451
Chase Manhattan Auto Owner Trust
Series 2000-A Class A4
6.260% due 06/15/07 1,824 1,840
Series 2002-B Class A4
4.210% due 01/15/09 8,600 8,826
Chemical Master Credit Card Trust
1
Series 1996-2 Class A
5.980% due 09/15/08 4,000 4,214
Chevy Chase Auto Receivables
Trust
Series 2000-1 Class A4
7.470% due 07/15/05 315 319
Series 2001-3 Class A3
3.950% due 05/16/05 163 164
CIT Equipment Collateral
Series 2003-VT1 Class A3B
1.630% due 04/20/07 500 498
CIT Equipment Collateral
Series 2004-VT1 Class A3
2.200% due 03/20/08 1,500 1,483
CIT Marine Trust
Series 1999-A Class A4
6.250% due 11/15/19 1,000 1,054
CIT RV Trust
Series 1998-A Class A5
6.120% due 11/15/13 1,000 1,050
Citibank Credit Card Issuance
Trust
Series 2001-A6 Class A6
5.650% due 06/16/08 1,500 1,590
Series 2002-A3 Class A3
4.400% due 05/15/07 4,805 4,931
Series 2003-A3 Class A3
3.100% due 03/10/10 1,000 979
Series 2003-A5 Class A5
2.500% due 04/07/08 1,700 1,697
Series 2004-A1 Class A1
2.550% due 01/20/09 2,850 2,810
</Table>
Short Term Bond Fund 55
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
CitiFinancial Mortgage
Securities, Inc.
Series 2003-2 Class AV1
1.220% due 05/25/33 1,026 1,026
CNH Equipment Trust
Series 2003-A Class A3B
1.890% due 07/16/07 1,000 999
CNH Wholesale Master Note Trust
(E)
Series 2003-1 Class A
1.363% due 08/15/08 2,000 1,999
Community Program Loan Trust
Series 1987-A Class A4
4.500% due 10/01/18 3,282 3,289
Connecticut RRB Special Purpose
Trust CL&P
Series 2001-1 Class A5
6.210% due 12/30/11 1,000 1,094
Daimler Chrysler Auto Trust
Series 2001-D Class A4
3.780% due 02/06/07 3,000 3,050
Series 2002-B Class A4
3.530% due 12/06/07 4,000 4,070
Series 2003-B Class A3
2.250% due 08/08/07 4,100 4,099
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 2,225 2,363
Distribution Financial Services
Floorplan Master Trust (E)
Series 2003-1 Class A
1.190% due 04/15/07 3,000 3,002
Federal Farm Credit Bank
12.250% due 02/01/07 4,492 5,187
First National Master Note Trust
(E)
Series 2003-1 Class A
1.200% due 08/15/08 1,000 1,002
Fleet Credit Card Master Trust II
Series 2000-C Class A
7.020% due 02/15/08 1,211 1,288
Series 2001-B Class A
5.600% due 12/15/08 3,000 3,172
Ford Credit Auto Owner Trust
Series 2002-A Class A4A
4.360% due 09/15/06 5,100 5,223
Series 2002-B Class A4
4.750% due 08/15/06 3,500 3,606
Franklin Auto Trust
Series 2003-1 Class A4
2.270% due 05/20/11 1,170 1,148
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Government Trust Certificate
8.500% due 04/01/06 859 917
GS Auto Loan Trust
Series 2004-1 Class A3
2.130% due 11/15/07 2,000 1,988
Honda Auto Receivables Owner
Trust
Series 2003-2 Class A4
2.160% due 10/21/08 3,500 3,441
Series 2003-3 Class A3
2.140% due 04/23/07 2,500 2,500
Series 2003-5 Class A3
2.300% due 10/18/07 1,000 999
Household Automotive Trust
Series 2002-2 Class A3
2.850% due 03/19/07 2,736 2,755
Household Private Label Credit
Card Master Note Trust I
Series 2001-2 Class A
4.950% due 06/16/08 1,000 1,010
Series 2002-2 Class A
1.270% due 01/18/11 1,000 1,001
Hyundai Auto Receivables Trust
Series 2002-A Class A3
2.800% due 02/15/07 1,000 1,008
Series 2003-A Class A3
2.330% due 11/15/07 1,500 1,496
Illinois Power Special Purpose
Trust
Series 1998-1 Class A5
5.380% due 06/25/07 1,102 1,127
Series 1998-1 Class A6
5.540% due 06/25/09 2,725 2,885
MBNA Credit Card Master Note
Trust
Series 2001-A1 Class A1
5.750% due 10/15/08 1,000 1,061
MBNA Master Credit Card Trust USA
Series 1995-C Class A
6.450% due 02/15/08 4,000 4,200
Series 2000-I Class A
6.900% due 01/15/08 7,157 7,595
Mellon Auto Grantor Trust
Series 2000-2 Class A
6.390% due 07/15/07 414 418
National City Auto Receivables
Trust
Series 2002-A Class A3
4.040% due 07/15/06 383 386
Series 2002-A Class A4
4.830% due 08/15/09 2,000 2,062
Series 2004-A Class A3
2.110% due 07/15/08 1,500 1,488
</Table>
56 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Navistar Financial Corp. Owner
Trust
Series 2001-B Class A4
4.370% due 11/17/08 2,500 2,543
Series 2002-A Class A4
4.760% due 04/15/09 1,000 1,027
Nelnet Student Loan Trust (E)
Series 2002-2 Class A3
1.270% due 09/25/13 2,000 1,997
Nissan Auto Receivables Owner
Trust
Series 2001-C Class A4
4.800% due 02/15/07 1,132 1,148
Series 2003-A Class A3
1.890% due 12/15/06 2,760 2,765
Nordstrom Private Label Credit
Card Master Note Trust
Series 2001-1A Class A
4.820% due 04/15/10 3,500 3,649
Onyx Acceptance Grantor Trust
Series 2000-D Class A4
6.850% due 08/15/07 1,639 1,649
Series 2002-D Class A4
3.100% due 07/15/09 1,000 1,009
Series 2003-B Class A3
1.770% due 05/15/07 2,000 1,998
PBG Equipment Trust
Series 1998-1A Class A
6.270% due 01/20/12 1,631 1,695
Peco Energy Transition Trust
Series 1999-A Class A4
5.800% due 03/01/07 1,251 1,286
Series 1999-A Class A6
6.050% due 03/01/09 2,500 2,670
PNC Student Loan Trust I
Series 1997-2 Class A7
6.728% due 01/25/07 2,694 2,818
Prime Credit Card Master Trust
Series 2000-1 Class A
6.700% due 10/15/09 1,500 1,597
Provident Auto Lease ABS Trust
Series 1999-1 Class A2
7.025% due 01/14/12 714 748
PSE&G Transition Funding LLC
Series 2001-1 Class A2
5.740% due 03/15/07 378 387
Series 2001-1 Class A3
5.980% due 06/15/08 3,000 3,171
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Public Service New Hampshire
Funding LLC
Series 2001-1 Class A2
5.730% due 11/01/10 1,767 1,872
Railcar Leasing L.L.C.
Series 1997-1 Class A2
7.125% due 01/15/13 1,000 1,104
Regions Auto Receivables Trust
Series 2003-2 Class A3
2.310% due 01/15/08 1,500 1,499
Residential Asset Mortgage
Products, Inc.
Series 2003-RZ5 Class A2
3.180% due 03/25/27 2,000 2,008
Series 2004-RS2 Class AIIB
1.350% due 02/25/34 3,275 3,276
Sears Credit Account Master Trust
Series 1999-3 Class A
6.450% due 11/17/09 2,296 2,375
Series 2000-2 Class A
6.750% due 09/16/09 2,000 2,119
SLM Student Loan Trust
Series 2003-4 Class A5B
3.390% due 03/15/33 3,000 2,934
Series 2003-5 Class A7
1.080% due 06/17/30 3,400 3,400
Standard Credit Card Master Trust
Series 1995-1 Class A
8.250% due 01/07/07 1,375 1,438
Susquehanna Auto Lease Trust
Series 2003-1 Class A2
1.530% due 08/14/05 944 944
Series 2003-1 Class A3
2.460% due 01/14/07 1,000 1,003
Toyota Auto Receivables Owner
Trust
Series 2003-B Class A4
2.790% due 01/15/10 4,670 4,657
Triad Auto Receivables Owner
Trust
Series 2002-A Class A4
3.240% due 08/12/09 2,000 2,024
Series 2003-B Class A3
2.480% due 03/12/08 1,000 1,000
Series 2004-A Class A3
1.900% due 07/14/08 1,000 984
Vanderbilt Acquisition Loan Trust
Series 2002-1 Class A1
3.280% due 01/07/13 240 240
</Table>
Short Term Bond Fund 57
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Volkswagen Auto Loan Enhanced
Trust
Series 2003-2 Class A3
2.270% due 10/22/07 3,000 2,998
Wells Fargo Financial Auto Owner
Trust
Series 2004-A Class A4
2.670% due 08/16/10 2,000 1,969
West Penn Funding LLC Transition
Bonds
Series 1999-A Class A3
6.810% due 09/25/08 2,157 2,272
WFS Financial Owner Trust
Series 2002-3 Class A4
3.500% due 02/20/10 2,000 2,032
Series 2004-1 Class A3
2.190% due 06/20/08 1,500 1,487
Whole Auto Loan Trust
Series 2002-1 Class A3
2.600% due 08/15/06 1,000 1,007
Series 2003-1 Class A3B
1.990% due 05/15/07 1,900 1,895
Series 2003-1 Class B
2.240% due 03/15/10 1,000 1,000
World Omni Auto Receivables Trust
Series 2001-B Class A3
3.790% due 11/21/05 178 179
------------
247,486
------------
Corporate Bonds and Notes - 14.6%
Abbott Laboratories
5.625% due 07/01/06 1,500 1,593
ABN Amro Bank NV
7.250% due 05/31/05 2,000 2,110
AIG SunAmerica Global Financing
XII
5.300% due 05/30/07 3,360 3,535
Altria Group, Inc.
7.650% due 07/01/08 1,500 1,656
Amsouth Bank NA/Birmingham AL
Series BKNT
2.820% due 11/03/06 2,000 1,992
Associates Corp. Of North America
6.250% due 11/01/08 1,000 1,093
Series MTNH
7.250% due 05/08/06 1,700 1,849
7.240% due 05/17/06 1,000 1,092
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Bank of America Corp.
1.370% due 08/26/05 (E) 1,000 1,003
5.250% due 02/01/07 1,000 1,054
6.375% due 02/15/08 3,000 3,269
Bank of Montreal
6.100% due 09/15/05 2,000 2,096
7.800% due 04/01/07 1,000 1,118
BankAmerica Corp.
6.200% due 02/15/06 750 800
Bayerische Landesbank
2.500% due 03/30/06 1,500 1,513
Bear Stearns Cos., Inc. (The) (E)
1.690% due 07/15/05 1,500 1,509
Bristol-Myers Squibb Co.
4.750% due 10/01/06 7,500 7,814
CIT Group, Inc.
7.375% due 04/02/07 5,300 5,882
Citigroup, Inc.
6.750% due 12/01/05 6,500 6,948
1.245% due 05/19/06 1,000 1,002
ConocoPhillips
8.500% due 05/25/05 1,975 2,108
8.750% due 05/25/10 1,000 1,222
DaimlerChrysler NA Holding Corp.
6.400% due 05/15/06 1,200 1,277
Deluxe Corp.
2.750% due 09/15/06 1,000 999
Deutsche Bank Financial, Inc.
6.700% due 12/13/06 1,500 1,632
Entergy Mississippi, Inc.
4.350% due 04/01/08 500 496
Fifth Third Bancorp
6.750% due 07/15/05 1,250 1,319
Series BKNT
3.375% due 08/15/08 1,000 981
Ford Motor Credit Co.
6.500% due 01/25/07 1,500 1,591
General Electric Capital Corp.
8.500% due 07/24/08 1,000 1,176
Series MTNA
1.379% due 02/03/06 2,000 2,007
5.350% due 03/30/06 2,500 2,628
8.125% due 04/01/08 1,000 1,152
General Motors Acceptance Corp.
(E)(z)
4.500% due 07/15/06 300 307
Goldman Sachs Group, Inc. (E)
1.280% due 01/09/07 3,000 3,001
</Table>
58 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
GTE Corp.
6.360% due 04/15/06 2,000 2,136
GTE Hawaiian Telephone Co.
Series A
7.000% due 02/01/06 2,000 2,148
GTE North, Inc.
Series E
6.400% due 02/15/05 1,200 1,242
Harrah's Operating Co., Inc.
7.500% due 01/15/09 1,500 1,682
Heller Financial, Inc.
6.375% due 03/15/06 1,000 1,078
Household Finance Corp.
5.750% due 01/30/07 2,260 2,407
4.625% due 01/15/08 7,200 7,404
iStar Financial, Inc.
4.875% due 01/15/09 500 487
John Hancock Global Funding II
6.000% due 12/28/06 2,450 2,603
KFW International Finance
Series DTC
5.250% due 06/28/06 2,000 2,117
Lehman Brothers Holdings, Inc.
6.250% due 05/15/06 1,500 1,603
8.250% due 06/15/07 2,500 2,851
Merck & Co., Inc.
5.250% due 07/01/06 2,000 2,111
MGM Mirage
9.750% due 06/01/07 1,200 1,356
Morgan Stanley
1.280% due 01/12/07 (E) 1,000 1,001
5.800% due 04/01/07 1,000 1,068
National City Bank
Series BKNT
2.700% due 08/24/09 2,000 1,957
New York Life Global Funding
1.180% due 02/26/07 2,500 2,498
SLM Corp.
Series MTNA
5.625% due 04/10/07 5,885 6,290
Sprint Capital Corp.
7.125% due 01/30/06 1,000 1,073
6.125% due 11/15/08 100 107
SunAmerica, Inc.
6.750% due 10/01/07 3,850 4,278
Suntrust Bank (E)
Series BKNT
1.110% due 10/03/05 2,000 2,000
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Swiss Bank Corp. NY
7.250% due 09/01/06 1,500 1,653
Tosco Corp.
7.250% due 01/01/07 1,500 1,652
Toyota Motor Credit Corp.
2.750% due 08/06/09 4,000 3,941
Unilever Capital Corp.
7.125% due 11/01/10 1,000 1,144
US Bancorp
Series MTNN
5.100% due 07/15/07 3,000 3,154
US Bancorp/First Bank
7.625% due 05/01/05 1,000 1,055
US Bank National Association (E)
1.120% due 12/05/05 1,500 1,501
US Central Credit Union
2.750% due 05/30/08 1,000 957
Verizon Wireless Capital LLC
1.190% due 05/23/05 1,400 1,399
Wachovia Corp.
6.800% due 06/01/05 (z) 1,500 1,572
7.550% due 08/18/05 2,000 2,139
Washington Mutual Financial Corp.
6.250% due 05/15/06 1,745 1,868
7.250% due 06/15/06 3,005 3,283
Waste Management, Inc.
7.100% due 08/01/26 1,175 1,248
Wells Fargo & Co.
1.200% due 09/15/06 (E) 3,000 3,003
Series MTNH
6.750% due 10/01/06 500 546
6.750% due 06/15/07 2,000 2,213
Wells Fargo Financial, Inc.
6.125% due 02/15/06 750 798
------------
155,447
------------
Emerging Markets Debt - 0.5%
Brazilian Government
International Bond
2.063% due 04/15/06 (E) 832 801
10.000% due 01/16/07 1,800 1,877
2.125% due 04/15/09 (E) 118 106
Panama Government International
Bond
8.250% due 04/22/08 1,300 1,424
Peru Government International
Bond
9.125% due 01/15/08 1,000 1,110
------------
5,318
------------
</Table>
Short Term Bond Fund 59
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
International Debt - 2.9%
Abbey National PLC
6.690% due 10/17/05 2,000 2,127
Deutsche Telekom International
Finance BV
8.250% due 06/15/05 1,050 1,118
European Investment Bank
Series DTC
5.625% due 01/24/06 575 607
France Telecom Step Up Bond
8.200% due 03/01/06 1,200 1,305
HBOS Treasury Services PLC
1.220% due 01/12/07 (E) 2,500 2,501
3.750% due 09/30/08 1,000 992
HSBC Bank PLC
7.625% due 06/15/06 1,650 1,828
Hydro Quebec
Series MTNB
6.520% due 02/23/06 1,000 1,073
Inter-American Development Bank
12.250% due 12/15/08 1,250 1,690
Interstar Millennium Trust (E)
Series 2004-2G Class A
1.311% due 03/14/36 2,500 2,500
Mexico Government International
Bond
4.625% due 10/08/08 3,250 3,234
National Westminster Bank PLC
7.375% due 10/01/09 1,000 1,154
Province of British
Columbia/Canada
4.625% due 10/03/06 2,000 2,083
Province of Manitoba Canada
4.250% due 11/20/06 1,000 1,031
Province of Ontario
7.000% due 08/04/05 1,500 1,595
6.000% due 02/21/06 1,000 1,059
Province of Quebec
6.500% due 01/17/06 1,560 1,660
Telefonica Europe BV
7.350% due 09/15/05 2,700 2,877
------------
30,434
------------
Mortgage-Backed Securities - 14.3%
Banc of America Commercial
Mortgage, Inc.
Series 2004-2 Class A1
2.764% due 11/10/38 2,000 1,965
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Bank of America Mortgage
Securities
Series 2002-K Class 2A1
5.770% due 10/20/32 (E) 158 162
Series 2004-2 Class 5A1
6.500% due 10/25/31 1,080 1,115
Bear Stearns Adjustable Rate
Mortgage Trust
Series 2002-9 Class 2A
5.323% due 10/25/32 54 55
Series 2003-1 Class 5A1
5.462% due 04/25/33 884 896
Series 2003-8 Class 2A1
4.948% due 01/25/34 1,301 1,310
Bear Stearns Asset Backed
Securities, Inc.
Series 2003-AC3 Class A1
4.000% due 07/25/33 1,425 1,405
Bear Stearns Commercial Mortgage
Securities
Series 1998-C1 Class A1
6.340% due 06/16/30 728 771
Series 2001-TOP4 Class A1
5.060% due 11/15/16 461 479
Series 2003-PWR2 Class A1
3.432% due 05/11/39 935 929
Series 2003-T10 Class A1
4.000% due 03/13/40 1,519 1,499
Series 2003-T12 Class A1
2.960% due 08/13/39 1,150 1,127
Chevy Chase Home Loan Trust
Series 1996-1 Class A
7.150% due 05/15/15 509 510
Contimortgage Home Equity Trust
1998-3
Series 1998-2 Class A7
6.570% due 03/15/23 1,200 1,212
Countrywide Alternative Loan
Trust
Series 2003-6T2 Class A1
6.500% due 06/25/33 1,157 1,199
Countrywide Home Loans
6.000% due 10/25/33 1,764 1,813
CS First Boston Mortgage
Securities Corp.
Series 2002 P3 Class A
2.361% due 08/25/33 (y) 835 837
Series 2002-AR27 Class 2A2
5.742% due 10/25/32 192 196
Series 2003-C4 Class A2
3.908% due 08/15/36 1,000 996
</Table>
60 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Series 2003-CK2 Class A1
3.006% due 03/15/36 1,127 1,116
Series 2004-C1 Class A1
2.254% due 01/15/37 2,951 2,912
Federal Home Loan Mortgage Corp.
9.000% due 2005 4 4
4.000% due 2007 1,777 1,784
4.000% due 2008 1,616 1,622
4.500% due 2008 2,021 2,058
5.500% due 2008 277 288
6.500% due 2008 295 313
5.500% due 2009 601 623
6.000% due 2009 402 423
6.500% due 2009 849 894
6.000% due 2010 354 372
8.000% due 2010 143 150
6.000% due 2011 1,041 1,090
6.000% due 2013 256 269
5.500% due 2014 1,073 1,107
6.000% due 2014 271 284
6.000% due 2016 1,236 1,292
5.500% due 2017 1,737 1,784
5.000% due 2018 931 938
6.000% due 2028 233 239
5.500% due 2029 1,385 1,390
6.000% due 2029 510 522
6.000% due 2031 680 696
6.000% due 2032 986 1,009
6.500% due 2032 305 318
6.000% due 2033 1,601 1,638
Series 1993-1645 Class PD
4.500% due 09/15/08 340 349
Series 2003-2557 Class MA
4.500% due 07/15/16 831 847
Series 2003-2559 Class PB
5.500% due 08/15/30 1,184 1,204
Series 2003-2580 Class QK
4.000% due 04/15/22 1,500 1,525
Series 2003-2638 Class NK
4.000% due 02/15/15 2,200 2,239
Series 2003-2715 Class OJ
3.500% due 03/15/11 3,000 3,037
Series 2004-2760 Class EA
4.500% due 04/15/13 2,000 2,046
Federal Home Loan Mortgage Corp.
Structured Pass Through
Securities
Series 2003-H009 Class A2
1.876% due 03/15/08 1,448 1,405
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Federal National Mortgage
Association 30 Year TBA (o)
5.500% 6,200 6,185
6.000% due 2008 217 228
5.500% due 2009 5,239 5,400
6.000% due 2010 434 455
6.500% due 2010 298 316
6.000% due 2011 423 443
6.500% due 2011 292 311
4.500% due 2013 4,307 4,332
5.000% due 2013 4,548 4,621
5.500% due 2013 653 676
6.000% due 2013 860 900
6.000% due 2014 4,059 4,245
5.500% due 2016 5,116 5,257
5.000% due 2017 145 146
5.500% due 2017 11,411 11,720
6.000% due 2017 427 445
5.000% due 2018 6,303 6,348
5.500% due 2022 2,026 2,053
6.000% due 2033 64 65
Series 1994-1 Class K
6.500% due 06/25/13 495 509
Series 2003-129 Class PQ
4.500% due 07/25/33 952 975
Series 2003-27 Class TJ
4.000% due 10/25/16 1,944 1,974
Series 2003-92 Class BR
5.000% due 04/25/14 2,300 2,361
Series 2004-21 Class QA
4.000% due 11/25/17 3,500 3,558
Federal National Mortgage
Association-Aces
Series 1998-M1 Class A2
6.250% due 01/25/08 2,976 3,186
GE Capital Commercial Mortgage
Corp.
Series 2001-2 Class A1
5.260% due 08/11/33 632 657
Series 2001-3 Class A1
5.560% due 06/10/38 908 955
Government National Mortgage
Association I
7.000% due 2007 11 11
6.000% due 2008 211 223
9.500% due 2017 1 1
Government National Mortgage
Association II (E)
4.750% due 2027 245 250
4.000% due 2032 588 589
</Table>
Short Term Bond Fund 61
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Impac CMB Trust (E)
Series 2004-2 Class A2
1.340% due 04/25/34 1,282 1,274
Irwin Home Equity (E)
Series 2002-1 Class 2A1
1.390% due 06/25/29 96 96
JP Morgan Chase Commercial
Mortgage Securities Corp.
Series 2002-C2 Class A1
4.326% due 12/12/34 902 905
LB-UBS Commercial Mortgage Trust
Series 2003-C1 Class A1
2.720% due 03/15/27 887 877
Series 2003-C3 Class A1
2.599% due 05/15/27 2,305 2,253
Lehman Large Loan
Series 1997-LLI Class A2
6.840% due 10/12/34 1,150 1,171
Morgan Stanley Capital I
Series 1998-WF2 Class A1
6.340% due 07/15/30 338 353
Series 2003-T11 Class A1
3.260% due 06/13/41 1,862 1,850
Series 2004-T13 Class A1
2.850% due 09/13/45 978 962
Morgan Stanley Dean Witter
Capital I
Series 2001-TOP5 Class A1
5.020% due 10/15/35 733 759
Series 2002-HE1 Class A2
1.430% due 07/25/32 201 202
Series 2002-HQ Class A2
6.090% due 04/15/34 500 538
Series 2002-IQ2 Class A1
4.090% due 12/15/35 1,005 1,026
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 663 663
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 163 163
Residential Funding Mortgage Sec
I
Series 2002-SA2 Class A1
5.600% due 09/25/32 68 68
Residential Funding Mortgage
Securities II
Series 2003-HS1 Class AI2
2.120% due 02/25/33 2,500 2,499
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Salomon Brothers Mortgage
Securities VII
Series 2003-UP2 Class A1
4.000% due 12/25/18 2,332 2,333
Structured Asset Mortgage
Investments, Inc. (E)
Series 2002-AR3 Class A1
1.430% due 09/19/32 249 250
Structured Asset Securities Corp.
(E)
Series 2001-21A Class 1A1
6.250% due 01/25/32 403 413
United Mortgage Securities Corp.
Series 1993-1 Class AA
4.354% due 09/25/33 248 249
Vendee Mortgage Trust
Series 2001-3 Class J
6.500% due 05/15/08 665 692
Wachovia Bank Commercial Mortgage
Trust
Series 2003-C4 Class A1
3.003% due 04/15/35 896 888
Washington Mutual
Series 2001-1 Class A
3.561% due 01/25/41 45 45
Series 2002-AR10 Class A6
4.816% due 10/25/32 2,080 2,105
Series 2002-AR4 Class A1
5.501% due 04/26/32 373 378
Series 2002-AR9 Class 1A
2.634% due 08/25/42 3,489 3,515
Washington Mutual MSC Mortgage
Pass-Through CTFS (E)
Series 2002-AR2 Class 2A1
6.194% due 07/25/32 80 82
------------
152,267
------------
Municipal Bonds - 0.4%
Arizona Educational Loan
Marketing Corp., Revenue
Bonds,
monthly demand
1.080% due 12/01/37 1,300 1,300
Connecticut State Student Loan
Foundation Revenue Bonds,
weekly demand
1.090% due 06/01/29 500 500
</Table>
62 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
State of Wisconsin Revenue Bonds,
monthly demand (u)
1.050% due 05/01/32 2,700 2,700
------------
4,500
------------
Non-US Bonds - 0.1%
Deutsche Bundesrepublik
5.250% due 07/04/10 EUR 1,000 1,302
------------
United States Government Agencies
- -0.4%
Federal Home Loan Bank System
5.925% due 04/09/08 1,600 1,741
Federal Home Loan Bank System
Zero Coupon
0.000% due 04/27/10 1,097 1,032
Federal Home Loan Mortgage Corp.
MTN
5.810% due 04/04/08 1,000 1,081
------------
3,854
------------
United States Government
Treasuries - 14.6%
United States Treasury Inflation
Indexed Bonds
3.625% due 01/15/08 7,260 7,987
3.875% due 01/15/09 5,823 6,530
4.250% due 01/15/10 4,869 5,604
3.500% due 01/15/11 1,070 1,192
United States Treasury Note
2.375% due 08/15/06 134,770 134,374
------------
155,687
------------
TOTAL LONG-TERM INVESTMENTS
(cost $753,182) 756,295
------------
PREFERRED STOCKS - 0.2%
Financial Services - 0.2%
DG Funding Trust 219 2,354
------------
TOTAL PREFERRED STOCKS
(cost $2,308) 2,354
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
SHORT-TERM INVESTMENTS - 27.9%
Anz Del, Inc. Discount Commercial
Paper (y)
1.025% due 05/20/04 3,900 3,898
1.030% due 06/22/04 4,000 3,994
1.040% due 07/06/04 2,700 2,693
Associates Corp. Of North America
Series MTNH
7.625% due 04/27/05 1,000 1,055
Barclays US Funding, LLC. (y)
1.020% due 05/06/04 4,400 4,399
Boatmen's Bancshares, Inc.
7.625% due 10/01/04 3,058 3,127
CBA Del Finance, Inc.
Years 3 & 4 Commercial Paper
(y)
1.030% due 05/21/04 (c) 400 400
1.050% due 7/13/04 100 100
Chevron Trust Fund
8.110% due 12/01/04 442 459
CIT Group, Inc.
5.625% due 05/17/04 2,600 2,604
Danske Corp. Commercial Paper (y)
1.025% due 7/18/04 500 499
European Investment Bank (y)
1.010% due 5/25/04 1,600 1,599
Federal Home Loan Mortgage Corp.
Discount Note (y)
0.950% due 05/26/04 6,500 6,496
1.010% due 06/08/04 1,400 1,399
1.025% due 07/06/04 2,200 2,195
1.005% due 07/20/04 2,600 2,591
Federal National Mortgage
Association Discount Note (y)
1.040% due 05/10/04 15,400 15,397
0.990% due 05/20/04 3,500 3,498
0.950% due 06/01/04 3,200 3,224
1.010% due 06/01/04 1,300 1,299
1.020% due 06/23/04 3,500 3,495
1.015% due 06/30/04 500 499
1.010% due 07/01/04 3,500 3,490
1.020% due 07/07/04 1,300 1,297
1.025% due 07/07/04 11,100 11,072
1.040% due 07/07/04 4,900 4,888
1.040% due 07/14/04 7,000 6,982
1.010% due 07/15/04 2,700 2,692
1.010% due 07/20/04 3,500 3,488
1.060% due 07/21/04 4,900 4,887
Finland Government International
Bond
7.875% due 07/28/04 6,000 6,095
</Table>
Short Term Bond Fund 63
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Ford Motor Credit Co.
7.500% due 06/15/04 1,000 1,007
7.500% due 03/15/05 100 104
Frank Russell Investment Company
Money Market Fund 55,103,334 55,103
Frank Russell Investment Company
Money Market Fund (N) 269,963 270
General Electric Capital Corp.
Commercial Paper (y)
1.040% due 05/11/04 3,700 3,699
1.040% due 06/08/04 4,500 4,495
1.040% due 06/17/04 1,900 1,897
General Electric Capital Corp.
Series MTNA
7.250% due 05/03/04 1,000 1,000
General Motors Acceptance Corp.
(E)
1.820% due 05/17/04 1,700 1,700
1.499% due 07/21/04 300 300
HBOS Treasury Services PLC (y)
1.030% due 06/21/04 2,100 2,097
1.035% due 06/29/04 8,100 8,086
1.055% due 07/16/04 400 399
Italy Government International
Bond
5.000% due 12/15/04 JPY 39,000 364
7.250% due 02/07/05 2,500 2,605
John Hancock Global Funding, Ltd.
7.500% due 01/31/05 4,080 4,241
KFW International Finance
1.000% due 12/20/04 JPY 66,000 601
May Department Stores Co. (The)
7.150% due 08/15/04 6,200 6,296
National Bank of Canada
Series B
8.125% due 08/15/04 1,000 1,020
Norfolk Southern Corp. (E)
1.870% due 02/28/05 700 704
Philadelphia Authority For
Industrial Development
Series 1997-1997 Class A
6.488% due 06/15/04 650 452
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Rababank USA Financial Corp.
(c)(y)
1.030% due 05/10/04 400 400
Railcar Trust
Series 1992-1 Class A
7.750% due 06/01/04 849 854
Royal Bank of Scotland PLC (y)
1.050% due 07/14/04 9,700 9,676
Southwestern Bell Telephone
6.625% due 04/01/05 2,510 2,612
State Street Securities Lending
Quality Trust (N) 290,684 291
Svenska Handelsbanken (y)
1.025% due 05/24/04 4,500 4,497
Svenska Handelsbanken
8.350% due 07/15/04 1,000 1,014
UBS Finance, Inc. (y)
1.040% due 07/06/04 9,700 9,675
1.055% due 07/13/04 900 897
United States Treasury Bill (y)
1.024% due 05/06/04 10,300 10,299
1.040% due 05/13/04 10,400 10,396
0.930% due 06/03/04 (s) 645 644
0.010% due 06/03/04 16,300 16,285
0.930% due 06/10/04 (c)(s) 75 75
0.920% due 06/17/04 (c)(s) 20 20
0.942% due 06/17/04 (c)(s) 20 20
0.972% due 06/17/04 5,900 5,893
Vodafone Group PLC
7.625% due 02/15/05 6,560 6,851
Westpac Capital Corp. (y)
1.060% due 05/06/04 8,000 7,998
Westpactrust Securities (y)
1.120% due 08/17/04 2,500 2,491
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $301,488) 297,139
------------
TOTAL INVESTMENTS - 99.2%
(identified cost $1,056,978) 1,055,788
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 8,291
------------
NET ASSETS - 100.0% 1,064,079
============
</Table>
See accompanying notes which are an integral part of the financial statements.
64 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ---------------------------------------------------------------
Long Positions
Eurodollar Futures
expiration date 12/04 (51) 12,470 1
expiration date 03/05 (61) 14,842 (7)
expiration date 06/05 (59) 14,288 (17)
expiration date 09/05 (59) 14,232 (25)
expiration date 12/05 (1) 240 (2)
United States Treasury 2 Year
Notes
expiration date 06/04 (67) 14,241 (119)
United States Treasury 5 Year
Notes
expiration date 06/04 (82) 9,015 (183)
United States Treasury 10 Year
Notes
expiration date 09/04 (5) 545 (2)
------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts (354)
============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------
Euribor Futures
Dec 2004 97.00 (EUR) Put
(12) 1,106 --
Swap Option Three Month LIBOR
Oct 2004 3.80 Call (1) 5,700 (3)
United States Treasury Notes
5 Year Futures
Aug 2004 107.50 Put (15) 1,613 (13)
------------
Total Liability for Options
Written
(premiums received $30) (16)
============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 105 EUR 88 05/10/04 --
USD 247 EUR 207 05/10/04 1
EUR 207 USD 248 05/10/04 --
JPY 105,375 USD 955 05/18/04 --
--------------
1
==============
</Table>
<Table>
<Caption>
INTEREST RATE SWAPS
- ---------------------------------------------------------------------------------------------------------------------------------
NOTIONAL MARKET
COUNTER AMOUNT TERMINATION VALUE
PARTY $ FUND RECEIVES FUND PAYS DATE $
- --------------------- -------------------------- ------------------ ------------------ ---------------- ----------------
Barclays Bank PLC EUR 600 4.000% Six Month LIBOR 06/17/08 7
Barclays Bank PLC EUR 5,600 4.000% Six Month LIBOR 06/17/10 (29)
Goldman Sachs EUR 4,900 4.000% Six Month LIBOR 06/17/08 54
Merrill Lynch EUR 15,400 4.000% Six Month LIBOR 06/17/10 (80)
----------------
Total Market Value of Interest Rate Swaps
premiums paid (received) - $340 (48)
================
</Table>
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 65
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
LONG-TERM INVESTMENTS - 100.5%
Asset-Backed Securities - 11.0%
ABSC Manufactured Housing
Contract
Series 2004-OK1 Class A4
5.019% due 04/16/30 890 730
ABSC NIMs Trust
Series 2003-HE7 Class A
7.000% due 12/15/33 (y) 510 513
Series 2004-HE1 Class A
7.000% due 01/17/34 459 461
American Airlines, Inc.
7.858% due 10/01/11 335 339
American Express Master Trust (E)
Series 2001-1 Class A
1.253% due 09/15/05 1,555 1,556
Series 2002-1 Class A
1.233% due 12/15/05 910 911
AmeriCredit Automobile
Receivables Trust (E)
Series 2002-A Class A3
1.320% due 10/12/06 252 252
Series 2002-EM Class A3B
1.380% due 03/06/07 1,484 1,486
Argent NIM Trust
Series 2004-WN2 Class A
4.550% due 04/25/34 425 425
Bank One Issuance Trust (E)
Series 2003-A2 Class A2
1.213% due 10/15/08 3,715 3,717
Series 2003-C3 Class C3
4.770% due 02/16/16 1,815 1,720
Series 2004-A1 Class A1
3.450% due 10/17/11 1,325 1,293
Series 2004-A2 Class A2
1.120% due 10/15/09 1,725 1,725
BMW Floorplan Master Owner Trust
(E) Series 2003-1A Class A
1.150% due 10/17/08 1,780 1,781
Capital Auto Receivables Asset
Trust (E)
Series 2002-4 Class A3
1.170% due 01/16/06 994 994
Series 2002-5 Class A2A
1.223% due 01/18/05 21 21
Capital One Multi-Asset Execution
Trust
Series 2004-C1 Class C1
3.400% due 11/16/09 1,055 1,045
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Capital One Prime Auto
Receivables Trust
Series 2003-2 Class B
2.460% due 06/15/10 1,190 1,194
Series 2004-1 Class A4
1.170% due 08/17/09 (E)(z) 1,360 1,361
Carmax Auto Owner Trust
Series 2003-2 Class C
2.750% due 10/15/10 635 635
Chase Credit Card Master Trust
(E)
Series 2001-6 Class A
1.293% due 03/16/09 3,010 3,018
Series 2003-1 Class A
1.170% due 04/15/08 6,955 6,960
Series 2004-1 Class A
1.133% due 05/15/09 1,795 1,795
Chase Funding Mortgage Loan
Asset-Backed Certificates (E)
Series 2003-4 Class 1A1
1.261% due 09/25/17 822 822
Series 2004-1 Class 1A1
1.201% due 11/25/18 833 833
Series 2004-1 Class 2A1
1.201% due 09/25/21 2,002 2,002
Series 2004-1 Class 2A2
1.321% due 12/25/33 1,280 1,280
Chase Funding Net Interest Margin
Series 2003-5A
5.750% due 11/27/34 145 145
Chesapeake Funding LLC (E)
Series 2002-1 Class A1
1.320% due 06/07/07 506 506
Citibank Credit Card Issuance
Trust
Series 2001-A6 Class A6
5.650% due 06/16/08 1,050 1,113
Series 2003-A4 Class A4
1.240% due 03/20/09 (E) 2,485 2,488
Series 2003-C4 Class C4
5.000% due 06/10/15 1,450 1,392
CNH Wholesale Master Note Trust
(E)
Series 2003-1 Class A
1.363% due 08/15/08 3,295 3,293
College Loan Corp. Trust (E)
Series 2003-2 Class A2
1.295% due 01/25/12 2,825 2,828
Collegiate Funding Services
Education Loan Trust I (E)
1.233% due 03/28/12 758 758
</Table>
66 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Series 2003-B Class A1
1.292% due 09/30/13 905 905
Continental Airlines, Inc.
6.900% due 01/02/18 745 733
6.545% due 02/02/19 376 366
Countrywide Asset-Backed
Certificates
Series 2003-5 Class AF1B
1.280% due 08/25/22 1,254 1,254
Series 2003-5NF Class NF
6.750% due 02/25/34 (y) 364 367
Series 2004-1 Class 3A
1.390% due 04/25/34 (E) 1,133 1,134
Series 2004-2 Class 3A1
1.170% due 04/25/23 (E) 1,200 1,200
Credit-Based Asset Servicing and
Securitization Step Up (E)
Series 2004-CB1 Class AV2
1.280% due 02/25/34 1,080 1,079
Daimler Chrysler Master Owner
Trust (E)
Series 2003-A Class A
1.213% due 02/15/08 1,225 1,226
Discover Card Master Trust I (E)
Series 2000-2 Class A
1.300% due 09/18/07 1,645 1,648
Series 2002-1 Class A
1.233% due 07/15/07 2,990 2,992
Distribution Financial Services
Floorplan Master Trust (E)
Series 2003-2 Class A
1.263% due 04/15/08 1,630 1,633
Equifirst Mortgage Loan Trust (E)
Series 2004-1 Class 2A1
1.190% due 01/25/34 996 995
First Franklin NIM Trust
Series 2002-FF1 Class A
7.870% due 04/25/32 40 40
First National Master Note Trust
(E)
Series 2003-1 Class A
1.200% due 08/15/08 465 466
Fleet Credit Card Master Trust II
Series 2001-C Class A
3.860% due 03/15/07 825 832
Series 2002-A Class A
1.150% due 10/15/07 4,540 4,542
Ford Credit Auto Owner Trust (E)
Series 2002-A Class A3B
1.220% due 01/15/06 679 680
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Ford Credit Floorplan Master
Owner Trust (E)
Series 2001-1 Class A
1.190% due 07/17/06 865 865
GMAC Mortgage Corp. Loan Trust
(E)
Series 1999-1 Class A
1.390% due 06/18/27 764 765
Series 2003-HE1 Class A1
1.190% due 04/25/33 1,465 1,466
Series 2004-HE1 Class A1
1.180% due 06/25/34 1,165 1,166
Green Tree Financial Corp. Series
1995-5 Class M1
7.650% due 09/15/26 1,100 1,153
Household Credit Card Master Note
Trust I (E)
Series 2002-1 Class A
1.230% due 07/15/08 760 760
MBNA Credit Card Master Note
Trust
Series 2002-C1 Class C1
6.800% due 07/15/14 740 805
Series 2003-A2 Class A2
1.150% due 08/15/08 5,505 5,508
MBNA Master Credit Card Trust USA
(E)
Series 2000-C Class A
1.260% due 07/15/07 2,860 2,864
Merrill Lynch Mortgage Investors,
Inc. (E)
Series 2004-WMC1 Class A2
1.390% due 10/25/34 1,637 1,640
Morgan Stanley ABS Capital I (E)
Series 2004-HE2 Class A3
1.230% due 03/25/34 2,315 2,315
Navistar Financial Corp. Owner
Trust (E)
Series 2003-B Class A3
1.300% due 04/15/08 785 785
Nelnet Education Loan Funding,
Inc. Series 2004-1A Class A1A
1.260% due 05/25/19 1,580 1,579
Nelnet Student Loan Trust (E)
Series 2002-2 Class A2
1.140% due 06/25/11 394 395
Series 2003-2 Class A2
1.191% due 10/25/13 880 880
Nissan Auto Lease Trust (E)
Series 2003-A Class A3A
1.240% due 06/15/09 1,630 1,632
</Table>
Diversified Bond Fund 67
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nissan Master Owner Trust
Receivables (E)
Series 2003-A Class A1
1.160% due 09/15/08 3,660 3,663
Northstar Education Finance, Inc.
(E) Series 2004-1 Class A1
1.170% due 01/28/11 970 970
Novastar NIM Trust
Series 2004-N1 Class NOTE
4.458% due 02/25/34 879 879
NPF XII, Inc.
Series 2002-1A Class A
2.390% due 05/02/05 1,825 128
Residential Asset Mortgage
Products, Inc. (E)
Series 2002-RS5 Class AII
1.470% due 09/25/32 492 493
Series 2003-RS1 Class AII
1.490% due 02/25/33 893 896
Series 2003-RS2 Class AII
1.440% due 03/25/33 853 855
Series 2003-RS3 Class AII
1.460% due 04/25/33 701 703
Series 2003-RS4 Class AI1
1.190% due 11/25/20 459 459
Series 2003-RS4 Class AIIB
1.430% due 05/25/33 1,232 1,235
Series 2003-RS6 Class AI1
1.230% due 02/25/21 824 824
Series 2004-RS2 Class AI1
1.230% due 01/25/24 1,711 1,710
Series 2004-RS2 Class AIIB
1.350% due 02/25/34 1,016 1,016
Saxon Asset Securities Trust (E)
Series 2004-1 Class A
1.361% due 03/25/35 1,522 1,522
SLM Student Loan Trust (E)
Series 2003-11 Class A2
1.160% due 03/15/13 2,110 2,111
Series 2003-5 Class A2
1.140% due 12/17/12 1,780 1,780
Series 2003-7 Class A2
1.140% due 09/16/13 2,375 2,375
Series 2003-B Class A1
1.210% due 09/15/17 898 899
Series 2004-2 Class A2
1.190% due 04/25/13 1,635 1,635
Series 2004-A Class A1
1.180% due 03/15/17 1,740 1,740
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Small Business Administration
7.449% due 08/01/10 171 187
Specialty Underwriting &
Residential Finance (E)
Series 2003-BC1 Class A
1.430% due 01/25/34 574 575
Structured Asset Securities Corp.
(E) Series 2003-BC1 Class A
1.600% due 05/25/32 809 812
Superior Wholesale Inventory
Financing Trust (E)
Series 2000-A Class A
1.270% due 04/15/07 1,455 1,457
Tenaska Alabama II Partners, LP
6.125% due 03/30/23 271 270
Toyota Auto Receivables Owner
Trust (E)
Series 2001-A Class A4
1.210% due 09/17/07 481 482
Series 2002-C Class A4
1.150% due 05/15/09 880 880
Triad Auto Receivables Owner
Trust (E)
Series 2003-A Class A3
1.290% due 07/12/07 1,070 1,070
Wachovia Asset Securitization,
Inc. (E)
Series 2003-HE3 Class A
1.350% due 11/25/33 576 575
World Financial Network Credit
Card Master Trust (E)
Series 2001-A Class A
1.340% due 06/16/08 1,075 1,075
------------
131,338
------------
Corporate Bonds and Notes - 16.4%
Alabama Power Co.
Series Y
2.800% due 12/01/06 735 730
Amerada Hess Corp.
7.300% due 08/15/31 215 219
American Axle & Manufacturing,
Inc. (y)
5.025% due 02/11/14 805 788
American Electric Power Co., Inc.
Series C
5.375% due 03/15/10 620 641
American RE Corp.
Series B
7.450% due 12/15/26 565 610
</Table>
68 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Arrow Electronics, Inc.
6.875% due 07/01/13 345 362
AT&T Corp.
8.750% due 11/15/31 1,090 1,154
AT&T Wireless Services, Inc.
8.750% due 03/01/31 1,265 1,543
BAE Systems Holdings, Inc.
6.400% due 12/15/11 920 980
Bank of America Corp.
7.800% due 02/15/10 55 64
6.250% due 04/15/12 850 924
4.875% due 09/15/12 1,015 1,004
Bank One Corp.
2.625% due 06/30/08 880 837
5.250% due 01/30/13 500 501
BankBoston Corp.
Series B
8.250% due 12/15/26 180 201
BCI US Funding Trust (p)
8.010% due 12/29/49 570 647
Bear Stearns Cos., Inc. (The)
2.875% due 07/02/08 1,015 971
Bellsouth Capital Funding
7.875% due 02/15/30 1,030 1,208
Boeing Capital Corp. (z)
6.100% due 03/01/11 165 177
5.800% due 01/15/13 340 353
Boeing Co. (The)
5.125% due 02/15/13 490 488
Bristol-Myers Squibb Co.
5.750% due 10/01/11 630 665
Burlington Northern Santa Fe
Corp.
6.875% due 12/01/27 55 59
Cadbury Schweppes US Finance LLC
3.875% due 10/01/08 1,005 994
Campbell Soup Co.
5.875% due 10/01/08 160 172
Caterpillar Financial Services
Corp. (z)
4.875% due 06/15/07 445 467
CenterPoint Energy Houston
Electric LLC
Series J2
5.700% due 03/15/13 210 216
Cincinnati Gas & Electric
5.700% due 09/15/12 170 176
CIT Group, Inc.
5.750% due 09/25/07 155 165
6.875% due 11/01/09 100 111
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Citicorp
7.250% due 10/15/11 370 425
Citigroup, Inc.
3.500% due 02/01/08 1,190 1,182
7.250% due 10/01/10 7,485 8,549
Columbus Southern Power Co.
Series C
5.500% due 03/01/13 75 76
Comcast Cable Communications
Holdings, Inc.
9.455% due 11/15/22 2,355 3,061
Comcast Corp.
5.850% due 01/15/10 120 126
Constellation Energy Group, Inc.
(z)
6.125% due 09/01/09 235 252
Countrywide Home Loans, Inc.
3.250% due 05/21/08 1,220 1,184
Series MTNH
6.250% due 04/15/09 700 758
Series MTNK
5.500% due 02/01/07 110 116
COX Communications, Inc.
6.750% due 03/15/11 405 442
Credit Suisse First Boston USA,
Inc.
4.625% due 01/15/08 130 134
3.875% due 01/15/09 (z) 765 755
5.500% due 08/15/13 115 116
5.125% due 01/15/14 760 744
CSX Corp. (z)
6.750% due 03/15/11 915 1,003
CVS Corp.
5.625% due 03/15/06 320 337
DaimlerChrysler NA Holding Corp.
4.750% due 01/15/08 300 304
4.050% due 06/04/08 965 948
8.500% due 01/18/31 315 364
Detroit Edison Co.
6.125% due 10/01/10 190 204
6.350% due 10/15/32 95 97
Devon Energy Corp.
2.750% due 08/01/06 935 930
Devon Financing Corp. ULC
6.875% due 09/30/11 200 222
Dominion Resources, Inc.
Series B
6.250% due 06/30/12 80 85
Dow Chemical Co. (The)
7.375% due 11/01/29 385 427
</Table>
Diversified Bond Fund 69
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
DPL, Inc.
8.250% due 03/01/07 260 270
Dresdner Funding Trust I
8.151% due 06/30/31 390 448
DTE Energy Co.
6.450% due 06/01/06 265 282
Duke Capital Corp.
4.302% due 05/18/06 170 174
Duke Capital LLC
5.500% due 03/01/14 890 861
Duke Energy Field Services LLC
5.750% due 11/15/06 60 63
7.875% due 08/16/10 1,865 2,156
6.875% due 02/01/11 40 44
Duke Realty, LP
5.875% due 08/15/12 405 424
EI Du Pont de Nemours & Co.
8.250% due 09/15/06 620 696
Eli Lilly & Co.
6.770% due 01/01/36 530 593
Enterprise Products Partners, LP
7.500% due 02/01/11 645 720
Series B
6.875% due 03/01/33 2,060 2,033
EOP Operating, LP
7.000% due 07/15/11 1,235 1,371
Exelon Generation Co. LLC
5.350% due 01/15/14 1,840 1,803
FedEx Corp.
7.600% due 07/01/97 155 170
Fifth Third Bank Michigan
7.750% due 08/15/10 330 350
Financing Corp. Fico Zero Coupon
Series 15P
0.000% due 03/07/19 165 70
First Bank National Assn
5.700% due 12/15/08 70 75
FirstEnergy Corp.
Series B
6.450% due 11/15/11 410 432
Series C
7.375% due 11/15/31 1,325 1,392
FleetBoston Financial Corp.
4.875% due 12/01/06 860 900
Ford Motor Co.
6.375% due 02/01/29 90 78
8.900% due 01/15/32 475 527
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Ford Motor Credit Co.
6.500% due 01/25/07 1,665 1,766
7.375% due 10/28/09 2,010 2,173
7.875% due 06/15/10 445 489
7.375% due 02/01/11 895 957
FPL Group Capital, Inc.
6.125% due 05/15/07 510 550
General Electric Capital Corp.
3.250% due 06/15/09 1,155 1,111
Series MTNA
4.250% due 12/01/10 2,905 2,842
6.000% due 06/15/12 2,580 2,751
General Electric Co.
5.000% due 02/01/13 2,660 2,645
General Motors Acceptance Corp.
6.125% due 09/15/06 (z) 1,675 1,768
7.250% due 03/02/11 3,455 3,714
6.875% due 09/15/11 3,345 3,511
7.000% due 02/01/12 1,060 1,115
6.875% due 08/28/12 1,540 1,606
8.000% due 11/01/31 2,380 2,512
General Motors Corp.
8.375% due 07/15/33 500 541
Golden West Financial Corp.
4.125% due 08/15/07 220 227
Goldman Sachs Group, Inc.
7.350% due 10/01/09 725 826
6.875% due 01/15/11 520 579
4.750% due 07/15/13 920 875
5.250% due 10/15/13 4,955 4,870
6.345% due 02/15/34 395 378
Harsco Corp.
5.125% due 09/15/13 230 228
Historic TW, Inc.
9.125% due 01/15/13 220 271
8.050% due 01/15/16 485 561
6.950% due 01/15/28 1,145 1,173
HJ Heinz Co.
6.375% due 07/15/28 50 52
HJ Heinz Finance Co.
6.750% due 03/15/32 115 125
Household Finance Corp.
5.750% due 01/30/07 1,890 2,013
4.125% due 12/15/08 610 610
7.000% due 05/15/12 1,970 2,207
6.375% due 11/27/12 285 307
HVB Funding Trust I
8.741% due 06/30/31 500 606
</Table>
70 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
International Lease Finance Corp.
6.375% due 03/15/09 240 261
Series MTNO
4.000% due 01/17/06 1,100 1,127
4.375% due 11/01/09 1,790 1,795
International Paper Co.
4.000% due 04/01/10 1,370 1,316
5.500% due 01/15/14 310 307
ITT Industries, Inc.
7.400% due 11/15/25 740 828
JP Morgan & Co., Inc.
Series MTNA
6.000% due 01/15/09 235 252
JP Morgan Chase & Co.
5.350% due 03/01/07 445 471
6.750% due 02/01/11 (z) 960 1,072
5.750% due 01/02/13 515 533
Kellogg Co.
Series B
6.600% due 04/01/11 540 600
Kerr-McGee Corp.
6.875% due 09/15/11 935 1,021
Keycorp
7.500% due 06/15/06 750 821
Kinder Morgan, Inc.
6.500% due 09/01/12 575 619
Kraft Foods, Inc.
4.000% due 10/01/08 1,770 1,762
5.250% due 10/01/13 865 857
Kroger Co. (z)
7.500% due 04/01/31 70 78
Legg Mason, Inc.
6.750% due 07/02/08 245 268
Lehman Brothers Holdings, Inc.
6.625% due 01/18/12 325 359
Liberty Media Corp.
3.500% due 09/25/06 2,230 2,234
5.700% due 05/15/13 395 395
Liberty Property-LP
7.250% due 03/15/11 425 478
Lockheed Martin Corp.
8.500% due 12/01/29 410 519
Loral Corp.
7.000% due 09/15/23 675 730
Manufacturers & Traders Trust Co.
8.000% due 10/01/10 720 850
Merrill Lynch & Co., Inc. (z)
Series MTNB
3.125% due 07/15/08 1,165 1,127
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Miller Brewing Co.
5.500% due 08/15/13 275 278
Monumental Global Funding II
3.850% due 03/03/08 320 321
Morgan Stanley
3.875% due 01/15/09 970 956
6.750% due 04/15/11 380 420
4.750% due 04/01/14 2,935 2,742
Natexis Ambs Co. LLC (p)
8.440% due 12/29/49 270 311
National City Bank
Series BKNT
2.375% due 08/15/06 1,545 1,529
National Rural Utilities
Cooperative Finance
5.750% due 08/28/09 1,115 1,188
NB Capital Trust IV
8.250% due 04/15/27 160 178
News America Holdings
7.750% due 01/20/24 1,120 1,282
7.750% due 12/01/45 185 213
7.900% due 12/01/95 230 260
8.250% due 10/17/96 75 88
News America, Inc.
6.750% due 01/09/38 45 50
Nisource Finance Corp.
7.875% due 11/15/10 275 320
Norfolk Southern Corp.
6.200% due 04/15/09 900 975
7.050% due 05/01/37 325 348
7.900% due 05/15/97 190 219
Northern States Power Co.
Series B
8.000% due 08/28/12 1,140 1,371
Occidental Petroleum Corp.
9.250% due 08/01/19 185 249
Ohio Power Co. (z)
Series F
5.500% due 02/15/13 35 36
Oncor Electric Delivery Co.
6.375% due 05/01/12 25 27
7.250% due 01/15/33 250 279
Pacific Gas & Electric Co.
1.810% due 04/03/06 (E) 1,600 1,601
3.600% due 03/01/09 125 121
4.200% due 03/01/11 115 110
6.050% due 03/01/34 1,430 1,352
Pacificorp
4.300% due 09/15/08 815 821
</Table>
Diversified Bond Fund 71
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Pemex Project Funding Master
Trust
7.375% due 12/15/14 1,600 1,672
PNC Funding Corp.
7.500% due 11/01/09 620 714
Principal Life, Income Funding
Trusts
5.100% due 04/15/14 1,525 1,502
Progress Energy, Inc.
6.750% due 03/01/06 1,105 1,181
7.100% due 03/01/11 395 440
7.750% due 03/01/31 170 194
7.000% due 10/30/31 90 94
PSEG Power LLC
7.750% due 04/15/11 1,280 1,474
6.950% due 06/01/12 800 884
Raytheon Co.
6.750% due 08/15/07 1,000 1,096
RBS Capital Trust I (p)
4.709% due 12/29/49 675 637
Resolution Funding Corp.
Series A
8.875% due 07/15/20 1,855 2,529
8.625% due 01/15/21 715 935
8.625% due 01/15/30 390 559
Safeway, Inc.
7.250% due 02/01/31 45 48
Simon Property Group, LP
4.875% due 03/18/10 910 922
SLM Corp.
5.375% due 05/15/14 1,705 1,700
Southern California Edison Co.
8.000% due 02/15/07 1,170 1,312
Sovereign Bank
5.125% due 03/15/13 450 439
Sprint Capital Corp.
6.125% due 11/15/08 1,305 1,397
8.375% due 03/15/12 115 135
6.875% due 11/15/28 425 417
8.750% due 03/15/32 5,300 6,331
SunTrust Banks, Inc.
6.250% due 06/01/08 (z) 150 163
6.000% due 02/15/26 500 529
Tele-Communications-TCI Group
9.800% due 02/01/12 330 421
7.875% due 08/01/13 730 842
Time Warner Entertainment Co., LP
Series*
8.375% due 07/15/33 1,365 1,632
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Time Warner, Inc.
6.750% due 04/15/11 905 985
6.875% due 05/01/12 1,375 1,503
7.625% due 04/15/31 900 985
Travelers Property Casualty Corp.
5.000% due 03/15/13 160 157
Unilever Capital Corp.
5.900% due 11/15/32 325 316
United Technologies Corp.
8.750% due 03/01/21 380 491
Univision Communications, Inc.
3.500% due 10/15/07 775 767
US Bank National Association
Series BKNT
5.625% due 11/30/05 500 529
Verizon Florida, Inc.
Series F
6.125% due 01/15/13 185 194
Verizon Global Funding Corp. (z)
7.750% due 12/01/30 3,710 4,245
Verizon Maryland, Inc.
Series A
6.125% due 03/01/12 1,430 1,519
Verizon Wireless Capital LLC
5.375% due 12/15/06 555 586
Viacom, Inc.
7.700% due 07/30/10 710 823
Virginia Electric and Power Co.
Series A
5.750% due 03/31/06 485 512
5.375% due 02/01/07 1,500 1,578
Vornado Realty, LP
5.625% due 06/15/07 410 438
Wachovia Corp.
6.550% due 10/15/35 275 293
Washington Mutual, Inc.
2.400% due 11/03/05 2,175 2,175
Wells Fargo & Co.
4.950% due 10/16/13 215 210
Weyerhaeuser Co.
6.125% due 03/15/07 1,280 1,370
6.750% due 03/15/12 125 137
7.375% due 03/15/32 1,660 1,819
Wyeth
5.500% due 03/15/13 85 85
5.500% due 02/01/14 365 364
Yum! Brands, Inc.
8.875% due 04/15/11 135 165
</Table>
72 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Zurich Capital Trust I
8.376% due 06/01/37 1,595 1,786
------------
194,715
------------
International Debt - 5.6%
Abbey National PLC Step Up Bond
(p)
6.700% due 06/29/49 550 598
ACE, Ltd.
6.000% due 04/01/07 375 401
Amvescap PLC
6.600% due 05/15/05 525 546
Anthracite CDO I, Ltd.
Series 2004-1A Class DFX
5.060% due 03/23/39 685 665
AXA
8.600% due 12/15/30 1,485 1,846
Banque Centrale de Tunisie
8.250% due 09/19/27 600 668
British Sky Broadcasting PLC
8.200% due 07/15/09 320 373
British Telecommunications PLC
8.875% due 12/15/30 820 1,037
Chalet Finance PLC (y)(E) Series
2003-2A Class A1
1.363% due 11/26/13 1,070 1,071
Chile Government International
Bond
5.625% due 07/23/07 675 713
Conoco Funding Co.
6.350% due 10/15/11 815 899
Credit-Based Asset Servicing and
Securitization CBO, Ltd.
1.470% due 04/08/39 2,545 2,545
Crest, Ltd. (y)
Series 2003-2A Class C2
5.709% due 12/28/38 1,655 1,651
Crusade Global Trust (E)
Series 2004-1 Class A1
1.254% due 01/16/35 1,565 1,565
DBS Capital Funding Corp. (p)
7.657% due 03/15/49 330 373
Deutsche Telekom International
Finance BV
8.500% due 06/15/10 1,015 1,199
8.750% due 06/15/30 1,495 1,857
Diageo Finance BV (z)
3.000% due 12/15/06 935 934
Export Import Bank of Korea
4.125% due 02/10/09 290 286
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
France Telecom Step Up Bond
8.200% due 03/01/06 1,215 1,321
8.750% due 03/01/11 1,310 1,549
9.500% due 03/01/31 1,050 1,347
G-Force CDO, Ltd.
Series 2003-1A Class CFX
5.700% due 12/25/38 750 736
Gracechurch Card Funding PLC (E)
Series 2003-4 Class A
1.150% due 06/15/08 4,655 4,658
Granite Mortgages PLC (E)
Series 2003-1 Class 1A2
1.340% due 01/20/20 1,251 1,251
Series 2003-2 Class 1A2
1.280% due 07/20/20 1,895 1,895
Holmes Financing PLC (E)
Series 2001-3 Class 2A
1.300% due 01/15/07 1,405 1,405
Series 2002-6 Class 2A
1.310% due 04/15/08 3,000 2,998
Intelsat, Ltd. (z)
6.500% due 11/01/13 470 431
Inter-American Development Bank
5.375% due 11/18/08 1,100 1,177
Interstar Millennium Trust (E)
Series 2003-5G Class A2
1.400% due 01/20/36 1,512 1,513
Series 2004-2G Class A
1.311% due 03/14/36 1,445 1,445
Korea Development Bank
5.250% due 11/16/06 (z) 850 890
4.250% due 11/13/07 95 96
Korea Electric Power Corp.
5.125% due 04/23/34 145 140
Medallion Trust (E)
Series 2003-1G Class A
1.300% due 12/21/33 813 814
Series 2004-1G Class A1
1.230% due 05/25/35 1,630 1,630
Mexico Government International
Bond
6.375% due 01/16/13 600 608
5.875% due 01/15/14 (z) 1,290 1,249
8.300% due 08/15/31 935 1,003
7.500% due 04/08/33 1,912 1,893
Mizuho Financial Group Cayman,
Ltd.
5.790% due 04/15/14 330 327
Mound Financing PLC
Series 2001-2A Class A2
1.330% due 11/08/07 1,480 1,481
</Table>
Diversified Bond Fund 73
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
National Westminster Bank PLC
7.375% due 10/01/09 550 635
Newcastle CDO I, Ltd.
Series 2004-4A Class 3FX
5.110% due 03/24/39 870 821
Nova Scotia Province of
9.125% due 05/01/21 690 949
Permanent Financing PLC (E)
Series 2003-3 Class 2A
1.220% due 09/10/10 1,490 1,491
Series 2004-4 Class 2A
1.179% due 03/10/09 1,995 1,995
Petroleos Mexicanos (z)
9.500% due 09/15/27 155 177
Province of Ontario
6.000% due 02/21/06 1,315 1,392
Province of Quebec
7.500% due 07/15/23 815 992
Royal KPN NV
8.000% due 10/01/10 1,620 1,895
Santander Central Hispano
Issuances, Ltd.
7.625% due 09/14/10 155 180
Santander Financial Issuances
6.800% due 07/15/05 90 95
6.375% due 02/15/11 120 131
Sanwa Finance Aruba AEC
8.350% due 07/15/09 285 330
Standard Chartered Bank
8.000% due 05/30/31 300 357
Systems 2001 AT LLC
7.156% due 12/15/11 239 258
Telecom Italia Capital SA
5.250% due 11/15/13 510 503
6.375% due 11/15/33 315 309
Telefonica Europe BV
8.250% due 09/15/30 1,090 1,338
Telefonos de Mexico SA de CV
4.500% due 11/19/08 660 652
Thomson Corp. (The)
4.250% due 08/15/09 845 840
TPSA Finance BV
7.750% due 12/10/08 365 410
Vodafone Group PLC
7.750% due 02/15/10 350 405
------------
67,239
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Mortgage-Backed Securities - 39.0%
Asset Backed Funding Corp. NIM
Trust (y)
Series 2003-OPT1 Class NOTE
6.900% due 07/26/33 293 294
Bank of America Mortgage
Securities Series 2004-1 Class
5A1
6.500% due 09/25/33 154 158
Bear Stearns Adjustable Rate
Mortgage Trust
Series 2002-11 Class 1A1
5.652% due 02/25/33 89 90
Series 2002-11 Class 1A2
5.381% due 02/25/33 285 288
Series 2002-8 Class 3A
6.164% due 08/25/32 17 17
Series 2003-1 Class 6A1
5.199% due 04/25/33 395 399
Bear Stearns Commercial Mortgage
Securities
Series 2004-PWR3 Class A2
3.869% due 02/11/41 1,425 1,389
CDC Commercial Mortgage Trust
Series 2002-FX1 Class A1
5.252% due 05/15/19 1,241 1,291
CDC Mortgage Capital Trust (E)
Series 2002-HE2 Class A
1.410% due 01/25/33 412 413
Centex Home Equity (E)
Series 2003-A Class AV1
1.421% due 03/25/33 481 481
Chase Funding Mortgage Loan
Asset-Backed Certificates (E)
Series 2002-2 Class 2A1
1.391% due 05/25/32 1,239 1,240
Chase Funding Net Interest Margin
(y)
Series 2003-3A Class NOTE
6.875% due 06/27/36 104 104
Series 2003-C1A Class NOTE
6.750% due 03/27/36 258 260
Citicorp Mortgage Securities,
Inc. Series 2001-12 Class M
6.394% due 08/25/31 195 195
Citifinancial Mortgage
Securities, Inc. (E)
Series 2003-4 Class AF1
1.311% due 10/25/33 972 972
</Table>
74 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Commercial Mortgage Acceptance
Corp.
Series 1998-C2 Class A2
6.030% due 09/15/30 815 874
Countrywide Asset-Backed
Certificates (E)
Series 2000-2 Class AV1
1.371% due 06/25/31 49 49
Series 2003-BC2 Class 2A1
1.441% due 06/25/33 281 282
Series 2003-BC4 Class 2A2
1.461% due 09/25/33 705 707
Series 2003-S2 Class A1
1.311% due 12/25/18 1,127 1,127
Countrywide Home Loans, Inc. (E)
Series 2003-42 Class 2A1
1.271% due 10/25/33 639 639
CS First Boston Mortgage
Securities Corp.
Series 1998-C1 Class A1B
6.480% due 05/17/40 1,715 1,866
Series 2002-10 Class 2A1
7.500% due 05/25/32 201 213
Series 2002-18 Class 1AIO
7.500% due 06/25/32 900 33
Series 2004-1 Class 2A2
6.000% due 02/25/34 538 553
Series 2004-C1 Class A4
4.750% due 01/15/37 1,740 1,688
Equifirst Mortgage Loan Trust (E)
Series 2003-2 Class 3A3
2.470% due 09/25/33 1,375 1,383
Federal Home Loan Mortgage Corp.
15 Year Gold TBA (o)
4.500% 6,290 6,192
5.000% 3,405 3,427
6.500% 1,155 1,222
30 Year Gold TBA (o)
4.500% 3,645 3,422
5.000% 22,830 22,099
5.500% 15,250 15,226
6.000% 6,490 6,638
6.500% 505 526
6.750% due 2007 2 2
7.000% due 2008 52 55
8.000% due 2008 13 14
8.500% due 2008 3 3
8.000% due 2009 13 14
7.000% due 2010 25 27
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
8.000% due 2010 3 3
6.000% due 2011 723 757
7.000% due 2011 9 9
8.000% due 2011 43 46
6.000% due 2012 9 9
8.000% due 2012 28 30
7.000% due 2014 142 151
12.000% due 2014 26 29
12.000% due 2015 30 36
6.000% due 2016 24 26
9.000% due 2016 92 102
12.500% due 2016 3 3
6.000% due 2017 834 872
8.000% due 2017 48 52
9.000% due 2017 1 1
5.000% due 2018 863 870
9.000% due 2018 173 195
9.000% due 2020 74 80
9.000% due 2022 27 30
9.000% due 2024 69 77
6.500% due 2025 13 14
8.500% due 2025 52 57
9.000% due 2025 11 13
9.000% due 2026 2 2
8.500% due 2027 246 268
6.500% due 2028 342 357
6.500% due 2029 436 454
7.820% due 2030 17 17
7.500% due 2031 124 133
6.500% due 2032 8,358 8,705
7.000% due 2032 2,010 2,123
7.500% due 2032 287 309
6.000% due 2033 2,295 2,349
6.000% due 2033 2,633 2,695
5.500% due 2034 4,123 4,119
Series 1991-1053 Class G
7.000% due 03/15/21 140 141
Series 2002-2504 Class L
5.500% due 03/15/15 14 14
Federal Home Loan Mortgage Corp.
Structured Pass Through
Securities
Series 2003-54 Class 3AIO
0.769% due 02/25/43 7,637 172
Series 2003-H010 Class A1
1.582% due 09/15/08 1,290 1,271
Federal National Mortgage
Association 15 Year TBA (o)
4.000% 6,865 6,594
4.500% 23,020 22,653
</Table>
Diversified Bond Fund 75
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
5.000% 24,780 24,919
5.500% 15,345 15,743
6.000% 2,725 2,855
30 Year TBA (o)
5.500% 39,920 39,815
6.000% 20,490 20,957
6.500% 7,470 7,773
7.000% 1,725 1,824
30 Year Gold TBA (o)
4.500% 5,065 4,751
5.000% 12,680 12,284
9.500% due 2005 5 5
9.500% due 2006 7 8
7.000% due 2007 16 16
7.200% due 2007 924 1,012
7.000% due 2008 40 43
7.000% due 2009 62 67
8.000% due 2010 8 8
10.500% due 2010 2 3
7.000% due 2011 30 32
8.000% due 2011 8 8
7.000% due 2012 8 8
6.000% due 2013 106 111
6.500% due 2013 66 70
5.500% due 2014 64 66
6.500% due 2015 48 51
7.000% due 2015 28 30
5.500% due 2016 289 298
6.000% due 2016 188 197
6.500% due 2016 286 303
9.000% due 2016 4 4
5.500% due 2017 2,125 2,183
6.000% due 2017 2,484 2,592
6.500% due 2017 1,098 1,163
8.000% due 2017 122 134
8.500% due 2017 10 11
9.000% due 2017 92 103
4.000% due 2018 653 629
5.000% due 2018 4,392 4,423
5.500% due 2018 1,562 1,604
6.000% due 2018 1,270 1,325
6.500% due 2018 760 795
6.500% due 2019 315 329
6.500% due 2020 113 118
8.000% due 2020 9 10
6.500% due 2022 194 203
7.500% due 2022 26 28
7.500% due 2023 3 3
7.500% due 2024 88 94
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
8.000% due 2024 233 254
7.000% due 2025 34 36
7.500% due 2025 23 25
8.500% due 2025 5 5
7.000% due 2026 10 11
9.000% due 2026 40 45
7.500% due 2027 4 5
6.500% due 2028 1,038 1,081
7.000% due 2028 1,022 1,082
7.500% due 2028 19 21
6.500% due 2029 3,378 3,520
6.500% due 2030 356 372
7.000% due 2030 39 41
8.000% due 2030 556 601
6.500% due 2031 1,981 2,066
7.000% due 2031 204 215
7.500% due 2031 887 949
6.000% due 2032 322 329
6.500% due 2032 3,316 3,463
7.000% due 2032 6,219 6,588
7.500% due 2032 210 225
5.500% due 2033 1,417 1,415
6.000% due 2033 3,575 3,659
6.500% due 2033 3,778 3,933
7.000% due 2033 379 401
4.246% due 2034 599 604
5.000% due 2034 919 891
5.000% due 2034 11,189 10,849
5.500% due 2034 808 806
5.500% due 2034 10,545 10,528
6.000% due 2034 495 506
Series 1992-10 Class ZD
8.000% due 11/25/21 2,278 2,377
Series 1993-134 Class H
6.500% due 08/25/08 1,385 1,485
Series 1993-208 Class SA
0.450% due 02/25/23 2,104 8
Series 1997-81 Class PC
5.000% due 04/18/27 139 141
Series 2001-62 Class DA
6.000% due 02/25/29 15 15
Series 2003-81 Class MJ
5.000% due 02/25/27 440 447
Federal National Mortgage
Association Grantor Trust
Series 2001-T13 Class A1
1.260% due 03/25/32 (E) 582 582
Series 2001-T6 Class B
6.088% due 05/25/11 1,530 1,646
</Table>
76 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Series 2002-T13 Class A1
1.200% due 08/25/32 (E) 113 113
Series 2002-T5 Class A1
1.220% due 05/25/32 (E) 1,429 1,432
Series 2002-T7 Class A1
1.210% due 07/25/32 (E) 853 853
Series 2003-T3 Class 1A
1.220% due 06/25/33 (E) 1,573 1,573
Series 2003-T4 Class 1A
1.210% due 09/26/33 (E) 3,646 3,647
Federal National Mortgage
Association Whole Loan
Series 2002-W1 Class 2AIO
0.599% due 04/25/42 6,913 103
Series 2002-W11 Class AV1
1.270% due 11/25/32 3,222 3,225
Series 2002-W2 Class AV1
1.230% due 06/25/32 1,048 1,048
Series 2002-W6 Class 2AIO
0.351% due 06/25/42 6,446 60
Series 2003-W1 Class 1A1
6.500% due 12/25/42 206 215
Series 2003-W13 Class AF1
1.170% due 10/25/33 526 526
Series 2003-W13 Class AV1
1.170% due 10/25/33 955 955
Series 2003-W13 Class AV2
1.240% due 10/25/33 1,015 1,016
Series 2003-W16 Class AF1
1.190% due 11/25/33 1,370 1,371
Series 2003-W16 Class AV1
1.250% due 11/25/33 1,159 1,159
Series 2003-W5 Class A
1.210% due 04/25/33 2,217 2,223
Series 2003-W9 Class A
1.220% due 06/25/33 3,304 3,303
First Franklin Mortgage Loan
Asset Backed Certificates (E)
Series 2003-FFH1 Class 2A1
1.250% due 09/25/33 803 803
Freddie Mac
15 Year Gold TBA (o)
5.500% 115 118
30 Year Gold TBA (o)
5.500% 7,050 7,013
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Inc.
Series 1999-C2 Class A1
6.570% due 09/15/33 652 692
Series 2003-C3 Class A4
5.023% due 04/10/40 270 267
GMAC Mortgage Corp. Loan Trust
(E)
Series 2003-AR1 Class A1
1.260% due 10/19/33 665 664
Series 2003-AR2 Class 2A1
1.290% due 12/19/33 1,637 1,636
Government National Mortgage
Association
30 Year TBA (o)
8.000% 985 1,075
Series 1998-23 Class ZA
6.500% due 09/20/28 7,181 7,504
Series 2002-61 Class A
3.261% due 12/16/16 658 665
Series 2002-61 Class BA
4.648% due 03/16/26 1,040 1,049
Series 2004-20 Class C
4.430% due 04/16/34 1,765 1,699
Government National Mortgage
Association I
30 Year TBA (o)
5.000% 4,930 4,790
5.500% 1,910 1,910
6.000% 8,995 9,220
8.000% due 2007 1 1
6.500% due 2008 27 29
6.500% due 2009 321 342
7.000% due 2011 3 3
8.000% due 2016 2 2
9.500% due 2016 15 16
8.000% due 2017 12 13
10.500% due 2020 23 26
8.000% due 2022 59 65
8.500% due 2022 33 37
7.500% due 2025 34 37
8.000% due 2025 102 112
9.000% due 2025 595 668
7.000% due 2029 17 19
7.500% due 2029 133 143
8.500% due 2029 51 56
7.500% due 2030 570 612
8.000% due 2030 107 117
8.500% due 2030 73 80
7.000% due 2031 1,393 1,482
</Table>
Diversified Bond Fund 77
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
7.500% due 2031 48 52
8.000% due 2031 9 10
6.500% due 2032 698 729
7.000% due 2032 1,912 2,033
7.500% due 2032 489 525
8.000% due 2032 60 65
5.500% due 2033 398 399
Government National Mortgage
Association II
30 Year TBA (o)
5.500% 435 435
4.375% due 2023 470 476
4.625% due 2023 623 638
4.375% due 2024 295 299
5.500% due 2033 5,374 5,376
5.500% due 2034 3,058 3,059
Greenwich Capital Commercial
Funding Corp.
Series 2004-GG1 Class A7
5.317% due 06/10/36 1,650 1,658
GSAMP Trust (E)
Series 2003-AHL Class A2A
1.300% due 10/25/33 1,007 1,008
GSMPS Mortgage Loan Trust Series
2003-3 Class A1
7.000% due 06/25/43 854 901
GSRPM Mortgage Loan Trust (E)
Series 2003-1 Class A1
1.350% due 01/25/32 133 133
HFC Home Equity Loan Asset Backed
Certificates (E)
Series 2001-1 Class A
1.390% due 01/20/31 757 758
Household Mortgage Loan Trust (E)
Series 2002-HC1 Class A
1.400% due 05/20/32 109 109
IndyMac Loan Trust
Series 2003-L1 Class A1
1.480% due 11/25/08 1,547 1,547
JP Morgan Chase Commercial
Mortgage Securities Corp.
Series 2003-PM1A Class A3
5.169% due 08/12/40 1,880 1,899
LB-UBS Commercial Mortgage Trust
Series 2001-C3 Class A1
6.058% due 06/15/20 452 483
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Long Beach Asset Holdings Corp.
Series 2003-2 Class N1
7.627% due 06/25/33 142 143
Series 2003-4 Class N1
6.535% due 08/25/33 185 187
Long Beach Mortgage Loan Trust
(E)
Series 2003-4 Class AV2
1.170% due 08/25/33 63 63
Series 2004-1 Class A4
1.230% due 02/25/34 1,912 1,911
MASTR Alternative Loans Trust
Series 2003-2 Class 7A1
7.000% due 12/25/32 163 167
Mastr Asset Backed Securities
Trust (E)
Series 2004-OPT1 Class A3
1.360% due 02/25/34 831 831
Merrill Lynch Mortgage Investors,
Inc.
Series 2002-NC1 Class A1
1.420% due 05/25/33 (E) 493 493
Series 2003-OP1N Class N1
7.250% due 09/25/34 410 414
Series 2003-WMC1 Class A2
1.460% due 11/25/33 (E) 578 580
Series 2003-WMC2 Class A2
1.440% due 02/25/34 (E) 794 795
Series 2004-WM1N Class N1
4.500% due 10/25/34 707 707
Morgan Stanley ABS Capital I (E)
Series 2003-NC10 Class A2
1.300% due 10/25/33 877 878
Series 2003-NC5 Class A2
1.380% due 04/25/33 498 499
Series 2004-HE1 Class A3
1.260% due 01/25/34 2,114 2,114
Morgan Stanley Dean Witter
Capital I
Series 2001-TOP3 Class A3
6.200% due 07/15/33 790 855
Series 2003-NC4 Class A2
1.470% due 04/25/33 406 407
Mortgage Capital Funding, Inc.
Series 1998-MC2 Class A2
6.423% due 06/18/30 1,995 2,165
MSDWCC Heloc Trust (E) Series
2003-2 Class A
1.360% due 04/25/16 1,991 1,993
Nationslink Funding Corp. Series
1999-SL Class A4
6.654% due 11/10/30 468 490
</Table>
78 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Option One Mortgage Loan Trust
(E)
Series 2001-4 Class A
1.400% due 01/25/32 577 578
Series 2002-2 Class A
1.370% due 06/25/32 764 765
Series 2003-1 Class A2
1.520% due 02/25/33 1,155 1,159
Series 2003-2 Class A2
1.400% due 04/25/33 507 508
Option One Mortgage Securities
Corp. NIM Trust
Series 2003-3 Class N
1.410% due 04/25/10 388 388
Series 2003-6A Class NOTE
1.320% due 10/26/10 590 590
Pacificamerica Home Equity Loan
Series 1998-2 Class AF
6.590% due 06/26/28 113 113
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 332 331
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 82 82
Renaissance NIM Trust
Series 2003-D Class NOTE
6.657% due 03/26/34 329 332
Residential Asset Securities
Corp. (E)
Series 2001-KS1 Class AII
1.335% due 03/25/32 366 367
Series 2002-KS3 Class A1B
1.350% due 05/25/32 849 849
Series 2003-KS1 Class A2
1.460% due 01/25/33 568 570
Series 2003-KS2 Class AI1
1.200% due 08/25/19 468 468
Series 2003-KS9 Class AI1
1.260% due 02/25/21 706 707
Residential Funding Mortgage
Securities II (E)
Series 2003-HI1 Class A1
1.200% due 04/25/10 101 101
Saxon Asset Securities Trust (E)
Series 2001-3 Class AV2
1.380% due 08/25/31 102 102
Series 2003-1 Class AV1
1.410% due 06/25/33 1,040 1,042
Saxon Net Interest Margin Trust
Series 2003-A Class A
6.656% due 08/26/33 337 339
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Securitized Asset Backed
Receivables LLC Trust (E)
Series 2004-OP1 Class A2
1.350% due 02/25/34 910 910
Sharp SP I LLC Net Interest
Margin Trust
Series 2004-FM1N Class N
6.160% due 09/25/34 360 362
Small Business Administration
Series 1999-P10B Class 1
7.540% due 08/10/09 1,970 2,156
Series 2000-10B Class 1
7.452% due 09/01/10 3,695 4,030
Specialty Underwriting &
Residential Finance (E)
Series 2004-BC1 Class A2
1.330% due 02/25/35 960 960
Structured Asset Securities Corp.
(E) Series 2002-HF1 Class A
1.390% due 01/25/33 88 88
Wells Fargo Mortgage Backed
Securities Trust
Series 2002-9 Class B1
6.250% due 06/25/32 235 236
------------
464,149
------------
Municipal Bonds - 0.7%
Commonwealth of Massachusetts
General Obligation Limited (u)
5.750% due 08/01/11 400 453
County of Clark Nevada General
Obligation Limited, weekly
demand (u)
5.000% due 06/01/26 1,000 1,002
County of Jefferson Alabama
Revenue Bonds, weekly
demand(ae)
5.000% due 02/01/41 100 110
Energy Northwest Revenue Bonds
5.500% due 07/01/13 200 221
5.500% due 07/01/14 100 110
Florida State Board Education
General Obligation Unlimited,
weekly demand
5.000% due 06/01/33 1,300 1,302
Golden State Tobacco
Securitization Corp. Revenue
Bonds, weekly demand
5.000% due 06/01/21 1,000 996
</Table>
Diversified Bond Fund 79
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Lower Colorado River Authority
Revenue Bonds, weekly demand
(u)
5.000% due 05/15/31 1,000 991
New York City Municipal Water
Finance Authority Revenue
Bonds, weekly demand
5.000% due 06/15/34 100 99
Orange County Sanitation District
Certificate of Participation,
weekly demand
5.000% due 02/01/33 100 99
Orange County Water District
Certificate of Participation,
weekly demand (u)
5.000% due 08/15/34 700 690
South Carolina Transportation
Infrastructure Bank Revenue
Bonds, weekly demand
5.000% due 10/01/33 1,300 1,302
University of Texas Revenue
Bonds, weekly demand
5.000% due 08/15/33 100 99
Utah State Board Of Regents
Revenue Bonds, weekly demand
1.160% due 05/01/41 500 500
------------
7,974
------------
Non-US Bonds - 0.6%
Bundesschatzanweisungen
2.000% due 03/10/06 EUR 5,750 6,849
Deutsche Bundesrepublik
5.250% due 01/04/11 EUR 100 130
------------
6,979
------------
United States Government Agencies
- -7.3%
Federal Home Loan Bank (z)
1.875% due 06/15/06 1,730 1,706
Federal Home Loan Bank System
1.500% due 08/19/05 245 244
2.500% due 03/15/06 (z) 7,915 7,934
5.375% due 02/15/07 (z) 2,020 2,145
3.000% due 04/15/09 (z) 3,870 3,699
4.500% due 09/16/13 1,255 1,214
Federal Home Loan Mortgage Corp.
(z)
5.250% due 01/15/06 2,220 2,328
5.500% due 07/15/06 9,145 9,705
2.750% due 08/15/06 1,580 1,583
4.875% due 03/15/07 4,420 4,644
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
2.750% due 03/15/08 1,035 1,005
3.625% due 09/15/08 5,120 5,085
7.000% due 03/15/10 2,425 2,765
5.125% due 07/15/12 4,694 4,789
5.125% due 08/20/12 5,250 5,215
4.500% due 01/15/13 1,330 1,295
4.500% due 07/15/13 255 247
6.750% due 03/15/31 1,060 1,196
Federal National Mortgage
Association
5.500% due 02/15/06 (z) 2,365 2,494
4.750% due 06/18/07 (z) 1,215 1,220
4.250% due 07/15/07 (z) -- --
6.000% due 05/15/08 (z) 1,360 1,477
2.500% due 06/15/08 (z) 6,585 6,293
5.250% due 01/15/09 (z) 3,030 3,203
6.625% due 09/15/09 (z) 3,440 3,855
7.250% due 01/15/10 (z) 2,160 2,489
5.500% due 03/15/11 320 338
6.125% due 03/15/12 (z) 2,175 2,369
4.375% due 03/15/13 (z) 1,125 1,086
4.625% due 10/15/13 430 419
3.625% due 07/05/14 1,665 973
7.250% due 05/15/30 (z) 1,245 1,488
6.625% due 11/15/30 (z) 1,690 1,878
6.210% due 08/06/38 320 339
Financing Corp. Principal Only
Strip
0.000% due 05/11/18 90 41
0.000% due 12/06/18 155 67
0.000% due 04/05/19 875 371
0.000% due 09/26/19 585 240
Tennessee Valley Authority (z)
6.375% due 06/15/05 20 21
------------
87,460
------------
United States Government
Treasuries - 19.9%
United States Treasury Inflation
Indexed Bonds (z)
3.375% due 01/15/07 235 253
3.625% due 01/15/08 230 254
3.875% due 01/15/09 4,881 5,474
3.500% due 01/15/11 214 238
3.375% due 01/15/12 419 465
3.000% due 07/15/12 5,669 6,127
3.875% due 04/15/29 340 424
United States Treasury Note
6.750% due 05/15/05 (z) 4,990 5,249
2.000% due 08/31/05 (z) 22,455 22,499
1.875% due 01/31/06 (z) 6,375 6,342
</Table>
80 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
4.625% due 05/15/06 (z) 6,550 6,844
6.875% due 05/15/06 (z) 28,130 30,644
7.000% due 07/15/06 (z) 7,555 8,287
2.375% due 08/15/06 (z) 8,050 8,026
4.375% due 05/15/07 (z) 1,310 1,366
6.625% due 05/15/07 (z) 8,700 9,638
6.125% due 08/15/07 (z) 3,645 3,999
3.125% due 09/15/08 (z) 8,135 8,027
3.375% due 11/15/08 (z) 28,350 28,192
3.375% due 12/15/08 (z) 1,970 1,956
3.250% due 01/15/09 (z) 2,230 2,199
6.000% due 08/15/09 (z) 7,160 7,942
5.750% due 08/15/10 (z) 3,800 4,177
5.000% due 02/15/11 (z) 2,295 2,421
5.000% due 08/15/11 (z) 725 762
4.000% due 11/15/12 (z) 2,890 2,815
4.250% due 08/15/13 (z) 5,840 5,742
12.000% due 08/15/13 (z) 420 563
13.250% due 05/15/14 (z) 680 978
12.500% due 08/15/14 (z) 1,235 1,752
9.875% due 11/15/15 (z) 1,330 1,934
9.250% due 02/15/16 525 735
7.500% due 11/15/16 (z) 6,505 8,087
8.750% due 05/15/17 (z) 2,625 3,589
8.125% due 08/15/19 (z) 7,765 10,239
8.125% due 08/15/21 (z) 6,120 8,141
6.875% due 08/15/25 (z) 4,725 5,638
6.000% due 02/15/26 (z) 2,545 2,752
6.375% due 08/15/27 (z) 1,080 1,223
6.125% due 11/15/27 (z) 1,285 1,413
6.125% due 08/15/29 (z) 6,505 7,182
United States Treasury STRIP
Principal (z)
0.000% due 11/15/21 4,835 1,824
------------
236,412
------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,200,157) 1,196,266
------------
PREFERRED STOCKS - 0.1%
Financial Services - 0.1%
Centaur Funding Corp. 390,000 494
DG Funding Trust 103 1,107
------------
TOTAL PREFERRED STOCKS
(cost $1,502) 1,601
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
SHORT-TERM INVESTMENTS - 50.8%
ABN Amro North America Discount
Note (y)
1.025% due 05/20/04 4,800 4,797
Anz Del, Inc. Discount Commercial
Paper
1.030% due 06/02/04 (c)(y) 500 500
1.035% due 06/25/04 (y) 4,800 4,792
1.045% due 07/04/04 (y) 100 100
ASB Bank, Ltd. (y)
1.065% due 07/14/04 500 499
ASIF II
1.200% due 01/26/05 JPY 70,000 638
Barclays US Funding, LLC.
1.020% due 05/06/04 4200 4,199
1.030% due 06/08/04 1,000 999
CBA Del Finance, Inc. Years 3 & 4
Commercial Paper (y)
1.050% due 07/13/04 4,900 4,887
CDC Commercial Paper (y)
1.050% due 07/07/04 2,400 2,394
1.100% due 08/04/04 1,000 997
CIT Group, Inc.
5.625% due 05/17/04 1,600 1,602
EI Dupont
1.015% due 05/13/04 1,400 1,400
European Investment Bank (y)
1.050% due 07/16/04 2,600 2,593
0.875% due 11/08/04 JPY 24,000 218
Federal Home Loan Bank Discount
Corp.
0.950% due 05/28/04 7,000 6,995
Federal Home Loan Bank System (z)
4.125% due 01/14/05 385 392
Federal Home Loan Mortgage Corp.
Discount Note (z)(y)
1.011% due 05/25/04 (c) 500 500
1.048% due 06/01/04 3,600 3,597
1.025% due 07/06/04 2,700 2,693
Federal National Mortgage
Association
6.500% due 08/01/04 30 --
Federal National Mortgage
Association Discount Note
(y)(z)
1.050% due 06/15/04 5,600 5,593
1.020% due 06/23/04 1,800 1,797
1.025% due 07/07/04 4,800 4,788
Frank Russell Investment Company
Money Market Fund 114,862,032 114,862
</Table>
Diversified Bond Fund 81
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Frank Russell Investment Company
Money Market Fund (N) 173,041,427 173,041
General Electric Capital Corp.
Commercial Paper (y)
1.040% due 06/08/04 3,500 3,496
1.040% due 06/17/04 1,800 1,797
1.050% due 07/07/04 100 100
General Motors Acceptance Corp.
(E)
1.580% due 07/20/04 1,700 1,700
1.570% due 07/30/04 800 800
HBOS Treasury Services PLC (y)
1.050% due 05/04/04 (c) 2,500 2,500
1.040% due 05/27/04 2,000 1,998
1.045% due 06/22/04 800 799
1.055% due 07/19/04 100 100
Historic TW, Inc.
7.975% due 08/15/04 300 305
International Bank for
Reconstruction & Development
4.750% due 12/20/04 JPY 6,000 56
Italy Government International
Bond
5.000% due 12/15/04 JPY 15,000 140
Kansai International Airport
1.300% due 07/29/04 JPY 14,000 127
KFW International Finance
1.000% due 12/20/04 JPY 81,000 738
Pfizer, Inc. (y)
1.015% due 06/03/04 4,800 4,796
Residential Asset Mortgage
Products, Inc. Series 2002-RZ4
Class AIO
5.750% due 04/25/05 1,008 40
Royal Bank of Scotland PLC (y)
1.025% due 06/01/04 1,300 1,299
1.050% due 07/14/04 3,200 3,192
Shell Finance (UK) PLC (y)
1.020% due 06/03/04 4,800 4,796
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Stadshypotek Del, Inc. (y)
1.040% due 06/04/04 3,100 3,097
State of California Notes
2.000% due 06/16/04 400 400
State Street Securities Lending
Quality Trust (N) 186,322,932 186,323
Svenska Handlesbanken, Inc. (y)
1.030% due 05/13/04 2,300 2,299
1.065% due 07/14/04 2,300 2,295
Toyota Motor Credit Corp.
1.040% due 06/08/04 (y) 3,800 3,796
1.000% due 12/20/04 JPY 11,000 100
UBS Finance, Inc. (y)
1.030% due 06/10/04 1,300 1,299
1.055% due 07/13/04 4,100 4,089
United States Treasury Bill (y)
1.024% due 05/06/04 (c)(z) 1,700 1,700
1.010% due 05/20/04 (z) 3,200 3,198
1.010% due 05/27/04 (c)(z) 400 400
0.930% due 06/03/04 (s) 985 984
0.980% due 09/30/04 (s) 100 100
United States Treasury Note (z)
7.875% due 11/15/04 19,620 20,307
Westpactrust Securities (y)
1.040% due 06/24/04 700 699
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $604,811) 604,738
------------
TOTAL INVESTMENTS - 151.4%
(identified cost $1,806,470) 1,802,605
OTHER ASSETS AND LIABILITIES,
NET - (51.4%) (612,023)
------------
NET ASSETS - 100.0% 1,190,582
============
</Table>
See accompanying notes which are an integral part of the financial statements.
82 Diversified Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
DIVERSIFIED BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ---------------------------------------------------------------
Long Positions
Euribor Futures (UK)
expiration date 06/05 (15) 4,370 8
expiration date 09/05 (13) 3,779 3
expiration date 12/05 (24) 6,961 (10)
Eurodollar Futures
expiration date 03/05 (54) 13,139 (42)
expiration date 06/05 (98) 23,733 (145)
expiration date 09/05 (14) 3,377 (27)
expiration date 12/05 (16) 3,846 (28)
expiration date 03/06 (4) 959 (2)
Germany, Federal Republic
5 Year Bonds
expiration date 06/04 (72) 9,618 (30)
Germany, Federal Republic
10 Year Bonds
expiration date 06/04 (56) 7,656 (24)
United States Treasury Bonds
expiration date 06/04 (28) 2,999 (85)
United States Treasury 2 Year
Notes
expiration date 06/04 (46) 9,777 (29)
United States Treasury 5 Year
Notes
expiration date 06/04 (24) 2,639 (55)
United States Treasury 10 Year
Notes
expiration date 06/04 (305) 33,703 (745)
expiration date 09/04 (27) 2,946 (8)
Short Positions
United States Treasury Bonds
expiration date 06/04 (36) 3,855 169
United States Treasury 5 Year
Notes
expiration date 06/04 (40) 4,398 120
------------
Total Unrealized
Appreciation (Depreciation)
on Open Futures Contracts (930)
============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------
Euribor Futures
Sep 2004 97.50 (EUR) Put (6) 175,259 --
Dec 2004 97.00 (EUR) Put (6) 174,360 --
Eurodollar Futures
Jun 2004 98.00 Put (31) 7,595 --
United States Treasury Notes 5
Year Futures
Aug 2004 111.50 Call (5) 558 (2)
United States Treasury Notes 10
Year Futures
May 2004 116.00 Call (8) 9,287 --
Aug 2004 114.00 Call (1) 114 --
Aug 2004 115.00 Call (11) 1,265 (3)
Aug 2004 115.00 Call (16) 1,840 (5)
Aug 2004 108.00 Put (15) 1,620 (25)
------------
Total Liability for Options
Written (premiums received
$76) (35)
============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
EUR 414 USD 497 05/10/04 1
EUR 4,280 USD 5,067 07/26/04 (50)
--------------
(49)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
Diversified Bond Fund 83
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 71.3%
Asset-Backed Securities - 2.8%
ABSC NIMs Trust
Series 2004-HE1 Class A
7.000% due 01/17/34 395 397
Alliance Capital Funding LLC Series 1998-1 Class
A3
5.840% due 02/15/10 169 173
American Airlines, Inc.
6.817% due 05/23/11 345 317
7.858% due 10/01/11 635 643
Americredit Automobile Receivables Trust
Series 2001-C Class A4
5.010% due 07/14/08 990 1,022
Ameriquest Mortgage Securities, Inc. Series
2003-5 Class A2
2.430% due 07/25/33 290 291
Ares Leveraged Investment Fund, LP (E)
Series 1998-2 Class B2
5.710% due 10/31/05 930 893
Argent NIM Trust(y)
Series 2003-N7 Class 2A1
5.680% due 03/25/34 231 231
ATA Airlines, Inc.(y)
6.990% due 04/15/16 601 526
Capital One Multi-Asset Execution Trust
6.000% due 08/15/13 1,465 1,538
Series 2003-C2 Class C2
4.320% due 04/15/09 205 209
Carlyle High Yield Partners
Series 1 Class C1
8.740% due 05/31/07 850 876
Centex Home Equity
Series 2004-B Class AF1
1.833% due 09/25/19 1,071 1,068
Chancellor/Triton CBO, Ltd.(y) Series 1998-1A
Class A1
6.710% due 08/05/10 653 639
Chase Funding Mortgage Loan Asset-Backed
Certificates
Series 2003-1 Class 1A1
2.005% due 02/25/17 139 139
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Chase Funding Net Interest Margin(y) Series
2003-6A Class NOTE
5.000% due 01/27/35 217 217
Citibank Credit Card Issuance Trust
Series 2000-A3 Class A3
6.875% due 11/16/09 900 999
Series 2001-A6 Class A6
5.650% due 06/16/08 1,775 1,881
Continental Airlines, Inc.
7.033% due 06/15/11 1,160 996
6.900% due 01/02/18 308 303
6.545% due 02/02/19 101 99
Countrywide Asset-Backed Certificates Series
2004-1NIM Class NOTE
6.000% due 05/25/34 425 423
Delta Air Lines, Inc.
7.299% due 09/18/06 240 190
Fleet Credit Card Master Trust II Series 2001-C
Class A
3.860% due 03/15/07 1,400 1,412
Ford Credit Auto Owner Trust Series 2003-A Class
A2A
1.620% due 08/15/05 266 266
Golden Tree High Yield Opportunities, LP
Series 2000-1 Class C1
9.404% due 10/31/07 1,100 1,133
Harley-Davidson Motorcycle Trust
Series 2002-1 Class A1
3.020% due 09/15/06 97 97
Series 2002-2 Class A1
1.910% due 04/15/07 147 148
Series 2003-1 Class A1
1.560% due 05/15/07 277 277
HFC Home Equity Loan Asset Backed Certificates
(E)
Series 2003-1 Class A
1.450% due 10/20/32 1,500 1,503
Home Equity Asset Trust(y) Series 2003-5N Class
A
7.500% due 01/27/34 131 132
Honda Auto Receivables Owner Trust Series 2003-1
Class A2
1.460% due 09/19/05 339 339
Lehman ABS Manufactured Housing Contract
Series 2001-B Class A1
3.010% due 03/15/10 54 51
</Table>
84 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
MBNA Master Credit Card Trust USA
Series 1996-B Class A
1.360% due 08/15/08 (E) 45 45
Series 2000-E Class A
7.800% due 10/15/12 600 709
Mid-State Trust
Series 2003-11 Class A1
4.864% due 07/15/38 210 203
Niagara Mohawk Power Corp.
7.625% due 10/01/05 510 543
Power Contract Financing LLC
5.200% due 02/01/06 825 837
6.256% due 02/01/10 450 466
Prudential Holdings LLC
8.695% due 12/18/23 500 611
Sankaty Market Value CDO Series 2001-3 Class B1
7.379% due 04/30/09 480 509
Sharp SP I LLC Net Interest Margin Trust
Series 2004-HE1N Class N
6.900% due 11/25/33 323 325
Sharps SP I, LLC
7.000% due 01/25/34 710 710
6.850% due 03/01/34 519 519
SLM Student Loan Trust (E)
Series 1996-2 Class A2
1.695% due 07/27/09 466 470
Series 1997-2 Class CTFS
1.815% due 10/25/12 900 904
Series 2002-7 Class A2
1.210% due 06/17/13 65 65
Series 2004-1 Class A1
1.210% due 01/26/15 971 972
Small Business Administration
7.449% due 08/01/10 342 374
Small Business Administration Participation
Certificates
7.500% due 04/01/17 2,577 2,825
Tenaska Alabama II Partners, LP
6.125% due 03/30/23 502 501
Wells Fargo Financial Auto Owner Trust
Series 2004-A Class A2
1.470% due 03/15/07 1,100 1,097
Whole Auto Loan Trust
Series 2002-1 Class A2
1.880% due 06/15/05 146 146
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
World Financial Properties
6.910% due 09/01/13 569 625
6.950% due 09/01/13 226 249
------------
33,133
------------
Corporate Bonds and Notes - 15.5%
Aetna, Inc.
7.875% due 03/01/11 545 637
AIG SunAmerica Global Financing VI
6.300% due 05/10/11 380 411
Albertson's, Inc.
7.500% due 02/15/11 215 244
Allied Waste North America (z)
6.500% due 11/15/10 135 135
Series B
8.500% due 12/01/08 180 200
7.875% due 01/01/09 1,410 1,463
Altria Group, Inc.
7.000% due 11/04/13 205 218
7.750% due 01/15/27 180 192
Amerada Hess Corp.
7.875% due 10/01/29 430 466
7.300% due 08/15/31 385 392
American Electric Power Co., Inc. Series C
5.375% due 03/15/10 100 103
American RE Corp.
Series B
7.450% due 12/15/26 1,090 1,177
Anheuser-Busch Cos., Inc.(z)
5.000% due 03/01/19 570 537
Anthem Insurance Cos., Inc.
9.125% due 04/01/10 290 360
AON Corp.
7.375% due 12/14/12 385 433
Appalachian Power Co.
Series H
5.950% due 05/15/33 80 75
Arch Capital Group
7.350% due 05/01/34 745 743
Arrow Electronics, Inc.
6.875% due 07/01/13 670 704
AT&T Corp.
8.050% due 11/15/11 1,145 1,256
8.750% due 11/15/31 1,140 1,206
AT&T Wireless Services, Inc.
7.875% due 03/01/11 100 115
8.750% due 03/01/31 90 110
</Table>
Multistrategy Bond Fund 85
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Avaya, Inc.
11.125% due 04/01/09 113 133
Avista Capital Trust III
6.500% due 04/01/34 980 965
Avista Corp.
7.750% due 01/01/07 55 60
9.750% due 06/01/08 610 732
Avnet, Inc.
9.750% due 02/15/08 210 242
AXA Financial, Inc.
6.500% due 04/01/08 120 132
BAE Systems Holdings, Inc.
6.400% due 12/15/11 1,875 1,998
Bank of America Corp.
7.800% due 02/15/10 65 76
Series MTNI
1.430% due 10/22/04 925 926
BankBoston Corp.
Series B
8.250% due 12/15/26 280 312
BCI US Funding Trust Step Up Bond (p)
8.010% due 12/29/49 975 1,106
Bear Stearns Cos., Inc. (The)
4.650% due 07/02/18 820 731
Boeing Capital Corp. (z)
6.100% due 03/01/11 315 337
Bowater, Inc. (z)
6.500% due 06/15/13 1,015 982
Boyd Gaming Corp.
9.250% due 08/01/09 225 251
Burlington Northern Santa Fe Corp.
6.875% due 12/01/27 55 59
Campbell Soup Co.
5.875% due 10/01/08 430 462
Capital One Bank
6.500% due 06/13/13 415 433
CenterPoint Energy Houston Electric LLC
Series J2
5.700% due 03/15/13 300 309
CenterPoint Energy Resources Corp.
7.750% due 02/15/11 (z) 640 717
7.875% due 04/01/13 630 710
Centerpoint Energy, Inc. (z)
Series B
6.850% due 06/01/15 450 457
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Cincinnati Gas & Electric
5.700% due 09/15/12 210 217
Series A
5.400% due 06/15/33 65 57
Series B
5.375% due 06/15/33 50 44
CIT Group, Inc.
5.750% due 09/25/07 230 245
6.875% due 11/01/09 140 156
Citicorp
Series MTNF
6.375% due 11/15/08 265 289
Citigroup, Inc.
3.500% due 02/01/08 2,680 2,663
7.250% due 10/01/10 665 760
6.000% due 02/21/12 (z) 305 328
5.625% due 08/27/12 210 219
Citizens Communications Co.
8.500% due 05/15/06 525 566
7.600% due 06/01/06 155 164
Clear Channel Communications, Inc.
7.650% due 09/15/10 170 194
Columbus Southern Power Co.
Series C
5.500% due 03/01/13 115 117
Series D
6.600% due 03/01/33 130 135
Comcast Cable Communications
8.375% due 05/01/07 705 799
6.750% due 01/30/11 225 247
Comcast Corp.
5.850% due 01/15/10 190 200
ConocoPhillips Holding Co.
6.950% due 04/15/29 360 396
Consolidated Natural Gas Co.
Series A
5.000% due 03/01/14 105 102
Series C
6.250% due 11/01/11 155 167
Constellation Energy Group, Inc.
7.600% due 04/01/32 185 207
Consumers Energy Co.
4.800% due 02/17/09 185 187
4.000% due 05/15/10 85 81
5.375% due 04/15/13 95 94
Continental Airlines, Inc.
Series 01-1
6.503% due 06/15/11 250 242
</Table>
86 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 981A
6.648% due 09/15/17 221 214
Series A (z)
7.875% due 07/02/18 170 168
Corrections Corp. of America
7.500% due 05/01/11 790 828
Countrywide Home Loans, Inc.
3.250% due 05/21/08 425 413
Series MTNK
5.500% due 02/01/07 135 142
Credit Suisse First Boston USA, Inc.
4.625% due 01/15/08 200 206
6.125% due 11/15/11 390 417
5.500% due 08/15/13 230 232
CSC Holdings, Inc. (z)
10.500% due 05/15/16 450 518
DaimlerChrysler NA Holding Corp.
8.000% due 06/15/10 70 80
7.300% due 01/15/12 500 553
8.500% due 01/18/31 165 191
Detroit Edison Co.
6.125% due 10/01/10 55 59
6.350% due 10/15/32 325 331
Developers Diversified Realty Corp.
4.625% due 08/01/10 475 467
Devon Financing Corp. ULC
6.875% due 09/30/11 420 466
Dominion Resources, Inc.
Series B
6.250% due 06/30/12 120 128
DPL, Inc.
8.250% due 03/01/07 590 614
DR Horton, Inc.
6.875% due 05/01/13 180 188
Dresdner Funding Trust I
8.151% due 06/30/31 755 868
Duke Capital Corp.
4.302% due 05/18/06 705 721
Duke Energy Field Services LLC
5.750% due 11/15/06 80 84
6.875% due 02/01/11 60 66
Echostar DBS Corp.
6.375% due 10/01/11 315 319
El Paso Corp. (z)
6.950% due 12/15/07 2,600 2,392
El Paso Natural Gas Co.
Series A
7.625% due 08/01/10 205 211
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Electronic Data Systems Corp. (z)
7.125% due 10/15/09 150 154
Series B
6.000% due 08/01/13 125 116
Eli Lilly & Co.
6.770% due 01/01/36 905 1,012
Entergy Gulf States, Inc.
3.600% due 06/01/08 120 116
Enterprise Products Partners, LP
7.500% due 02/01/11 465 519
EOP Operating, LP
4.750% due 03/15/14 70 65
7.500% due 04/19/29 297 321
Erac USA Finance Co.
7.350% due 06/15/08 560 629
Exelon Corp.
6.750% due 05/01/11 215 237
Exelon Generation Co. LLC (z)
6.950% due 06/15/11 475 529
Farmers Exchange Capital
7.050% due 07/15/28 900 874
Farmers Insurance Exch
8.625% due 05/01/24 875 990
Federated Department Stores
7.000% due 02/15/28 235 249
6.900% due 04/01/29 60 63
FedEx Corp.
2.650% due 04/01/07 220 215
7.600% due 07/01/97 225 247
Felcor Lodging, LP
10.000% due 09/15/08 450 480
FGIC Corp.
6.000% due 01/15/34 450 438
Fifth Third Bank Michigan
7.750% due 08/15/10 540 572
Financing Corp. Fico Zero Coupon Series 15P
0.000% due 03/07/19 390 166
FirstEnergy Corp.
Series B
6.450% due 11/15/11 1,515 1,595
Series C
7.375% due 11/15/31 345 362
FMC Corp.
10.250% due 11/01/09 35 41
Ford Motor Co.
6.375% due 02/01/29 260 226
7.450% due 07/16/31 (z) 1,125 1,097
</Table>
Multistrategy Bond Fund 87
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ford Motor Credit Co.
5.625% due 10/01/08 (z) 830 846
5.800% due 01/12/09 500 509
7.375% due 10/28/09 160 173
7.875% due 06/15/10 785 862
7.375% due 02/01/11 1,840 1,968
7.250% due 10/25/11 630 669
7.000% due 10/01/13 (z) 455 468
General Electric Capital Corp.
Series MTNA
4.250% due 12/01/10 395 386
6.750% due 03/15/32 465 501
General Electric Co.
6.750% due 01/15/06 215 228
4.500% due 07/15/06 115 117
7.250% due 03/02/11 1,115 1,199
6.875% due 09/15/11 3,085 3,238
7.000% due 02/01/12 275 289
5.000% due 02/01/13 1,330 1,322
8.000% due 11/01/31 690 728
General Motors Corp.
8.375% due 07/15/33 1,405 1,520
Georgia-Pacific Corp.
8.125% due 05/15/11 1,000 1,128
9.125% due 07/01/22 45 46
Glencore Funding LLC
9.000% due 04/15/14 1,305 1,233
Golden West Financial Corp.
4.125% due 08/15/07 360 372
Goldman Sachs Group, Inc.
6.875% due 01/15/11 1,545 1,719
6.600% due 01/15/12 150 164
5.250% due 10/15/13 780 767
6.345% due 02/15/34 1,310 1,252
GTE Corp.
6.940% due 04/15/28 385 399
GulfTerra Energy Partners, LP
6.250% due 06/01/10 295 305
Series B
8.500% due 06/01/10 144 161
Halliburton Co.
5.500% due 10/15/10 1,280 1,308
Harleysville Group, Inc.
5.750% due 07/15/13 160 150
Harrah's Operating Co., Inc.
8.000% due 02/01/11 230 266
Hartford Financial Services Group, Inc.
2.375% due 06/01/06 40 40
7.900% due 06/15/10 80 93
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
HCA, Inc.
5.250% due 11/06/08 270 270
6.950% due 05/01/12 395 413
6.300% due 10/01/12 115 115
7.500% due 12/15/23 400 396
7.580% due 09/15/25 130 130
7.500% due 11/06/33 145 144
Health Net, Inc.
8.375% due 04/15/11 455 537
Hertz Corp.
7.625% due 08/15/07 75 81
Hilton Hotels Corp.
7.625% due 12/01/12 630 704
Historic TW, Inc.
8.180% due 08/15/07 435 493
9.125% due 01/15/13 430 530
8.050% due 01/15/16 1,490 1,723
6.625% due 05/15/29 85 84
HJ Heinz Finance Co.
6.750% due 03/15/32 250 272
Honeywell International, Inc.
6.125% due 11/01/11 265 286
Hornbeck Offshore Services, Inc.
10.625% due 08/01/08 545 598
Household Finance Corp.
4.125% due 12/15/08 1,160 1,160
5.875% due 02/01/09 660 707
6.375% due 11/27/12 625 673
HVB Funding Trust I
8.741% due 06/30/31 965 1,170
Hyatt Equities LLC
6.875% due 06/15/07 220 233
ICI Wilmington, Inc.
4.375% due 12/01/08 210 208
International Lease Finance Corp.
6.375% due 03/15/09 350 381
5.875% due 05/01/13 225 235
International Paper Co.
4.250% due 01/15/09 190 189
5.500% due 01/15/14 575 570
Iron Mountain, Inc.
7.750% due 01/15/15 185 190
6.625% due 01/01/16 200 186
iStar Financial, Inc.
7.000% due 03/15/08 145 153
ITT Industries, Inc.
7.400% due 11/15/25 455 509
Jabil Circuit, Inc.
5.875% due 07/15/10 290 301
</Table>
88 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
John Hancock Financial Services, Inc.
5.625% due 12/01/08 120 128
John Hancock Global Funding II
7.900% due 07/02/10 440 514
JP Morgan & Co., Inc.
Series MTNA
6.000% due 01/15/09 495 531
JP Morgan Chase & Co.
5.350% due 03/01/07 160 169
6.000% due 02/15/09 170 182
7.000% due 11/15/09 65 73
6.750% due 02/01/11 175 195
6.625% due 03/15/12 95 105
Kellogg Co.
Series B
6.600% due 04/01/11 1,640 1,822
Kennametal, Inc.
7.200% due 06/15/12 380 405
Kerr-McGee Corp.
5.875% due 09/15/06 45 48
6.875% due 09/15/11 115 126
7.875% due 09/15/31 200 226
KeySpan Corp.
7.250% due 11/15/05 175 188
7.625% due 11/15/10 525 611
Kraft Foods, Inc.
5.250% due 06/01/07 170 179
4.000% due 10/01/08 695 692
5.625% due 11/01/11 750 775
6.250% due 06/01/12 125 134
5.250% due 10/01/13 1,075 1,066
Kroger Co.
7.250% due 06/01/09 270 303
8.000% due 09/15/29 210 246
Lehman Brothers Holdings, Inc.
6.625% due 01/18/12 585 646
Lenfest Communications, Inc.
7.625% due 02/15/08 100 111
Liberty Media Corp.
3.500% due 09/25/06 2,585 2,590
5.700% due 05/15/13 85 85
Liberty Mutual Group
7.000% due 03/15/34 580 569
Lockheed Martin Corp.
8.200% due 12/01/09 1,510 1,794
7.750% due 05/01/26 75 88
8.500% due 12/01/29 320 405
Lodgenet Entertainment Corp.
9.500% due 06/15/13 700 770
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Lone Star Industries
8.850% due 06/15/05 655 683
Lyondell Chemical Co. (z)
Series B
9.875% due 05/01/07 1,115 1,171
Manufacturers & Traders Trust Co.
8.000% due 10/01/10 220 260
Marathon Oil Corp. (z)
6.800% due 03/15/32 175 184
Massachusetts Mutual Life Insurance Co.(z)
5.625% due 05/15/33 850 799
May Department Stores Co. (The)
6.700% due 09/15/28 215 222
7.875% due 03/01/30 250 293
MBNA Corp.
6.125% due 03/01/13 470 495
Medco Health Solutions, Inc.
7.250% due 08/15/13 1,530 1,651
MGM Mirage
9.750% due 06/01/07 385 435
8.500% due 09/15/10 545 614
Michaels Stores, Inc.
9.250% due 07/01/09 655 720
Midland Funding II
Series B
13.250% due 07/23/06 165 186
Miller Brewing Co.
4.250% due 08/15/08 205 206
5.500% due 08/15/13 560 567
Mizuho Preferred Capital Co. LLC Step Up Bond
(p)
8.790% due 12/29/49 1,490 1,646
Mohawk Industries, Inc.
Series D
7.200% due 04/15/12 80 90
Monongahela Power Co.
5.000% due 10/01/06 180 182
Monumental Global Funding II
3.850% due 03/03/08 490 492
Morgan Stanley
6.750% due 04/15/11 785 867
4.750% due 04/01/14 930 869
Natexis Ambs Co. LLC (p)
8.440% due 12/29/49 430 496
National Rural Utilities Cooperative Finance
5.750% due 08/28/09 200 213
</Table>
Multistrategy Bond Fund 89
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Nationwide Financial Services (z)
6.250% due 11/15/11 395 423
Nationwide Mutual Insurance Co.
7.500% due 02/15/24 355 367
7.875% due 04/01/33 710 815
NB Capital Trust IV
8.250% due 04/15/27 240 267
Nevada Power Co.
9.000% due 08/15/13 190 210
6.500% due 04/15/12 265 263
News America Holdings
8.875% due 04/26/23 120 150
7.750% due 12/01/45 420 483
7.900% due 12/01/95 410 463
8.250% due 10/17/96 135 159
News America, Inc.
7.300% due 04/30/28 310 339
6.750% due 01/09/38 65 73
Nisource Finance Corp.
7.625% due 11/15/05 105 113
7.875% due 11/15/10 760 885
Norfolk Southern Corp.
7.900% due 05/15/97 930 1,071
Northern Border Pipeline Co.
6.250% due 05/01/07 560 608
Occidental Petroleum Corp.
9.250% due 08/01/19 285 384
Ohio Edison Co.
5.450% due 05/01/15 215 207
Ohio Power Co. (z)
Series F
5.500% due 02/15/13 55 56
Series G
6.600% due 02/15/33 130 135
Oncor Electric Delivery Co.
7.250% due 01/15/33 480 536
Owens-Brockway
7.750% due 05/15/11 160 168
8.750% due 11/15/12 195 213
Pacific Gas & Electric Co.
3.600% due 03/01/09 240 233
4.200% due 03/01/11 225 216
4.800% due 03/01/14 470 450
6.050% due 03/01/34 2,390 2,260
Packaging Corp. of America
5.750% due 08/01/13 110 111
PanAmSat Corp.
8.500% due 02/01/12 185 209
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Panhandle Eastern Pipe Line
2.750% due 03/15/07 70 68
Pemex Project Funding Master Trust
7.375% due 12/15/14 105 110
8.625% due 02/01/22 1,165 1,247
Popular North America, Inc.
4.250% due 04/01/08 925 933
Portola Packaging, Inc. (z)
8.250% due 02/01/12 1,130 955
Progress Energy, Inc.
7.100% due 03/01/11 40 45
6.850% due 04/15/12 90 99
7.000% due 10/30/31 535 561
Prudential Holdings LLC
Series FSA
7.245% due 12/18/23 1,060 1,205
PSEG Energy Holdings LLC
7.750% due 04/16/07 1,230 1,285
8.625% due 02/15/08 (z) 130 140
Qwest Capital Funding, Inc.
7.000% due 08/03/09 65 54
6.500% due 11/15/18 30 22
Qwest Services Corp.
13.500% due 12/15/10 415 481
Rabobank Capital Funding II (p)
5.260% due 12/31/49 535 528
Raytheon Co.
8.300% due 03/01/10 125 148
4.850% due 01/15/11 70 70
RBS Capital Trust I (p)
4.709% due 12/29/49 1,000 944
RC Trust 1 Equity Preferred
3.500% due 05/15/06 4,000 2,164
Reckson Operating Partnership, LP
5.150% due 01/15/11 310 303
Roundy's, Inc.
Series B
8.875% due 06/15/12 500 543
Rouse Co. (The)
3.625% due 03/15/09 140 134
5.375% due 11/26/13 55 54
Russia Paris Club Participant
5.000% due 03/31/30 103,738 799
Safeway, Inc. (z)
7.250% due 02/01/31 65 69
Schering-Plough Corp.
5.300% due 12/01/13 470 469
6.500% due 12/01/33 755 766
</Table>
90 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Sealed Air Corp.
5.625% due 07/15/13 180 182
Smithfield Foods, Inc.
Series B
8.000% due 10/15/09 430 474
7.750% due 05/15/13 80 86
Southern California Edison Co.
7.625% due 01/15/10 650 743
5.000% due 01/15/14 45 44
6.000% due 01/15/34 (z) 440 424
Sovereign Bancorp, Inc.
10.500% due 11/15/06 2,325 2,712
Sprint Capital Corp.
6.125% due 11/15/08 160 171
6.375% due 05/01/09 265 285
8.375% due 03/15/12 1,160 1,361
6.875% due 11/15/28 775 761
8.750% due 03/15/32 1,295 1,547
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/07 65 70
7.875% due 05/01/12 405 443
Station Casinos, Inc.
6.000% due 04/01/12 310 308
Swift Energy Co.
10.250% due 08/01/09 240 254
TCI Communications, Inc.
7.875% due 02/15/26 145 165
TECO Energy, Inc.
7.200% due 05/01/11 245 245
Tele-Communications-TCI Group
9.800% due 02/01/12 940 1,200
7.875% due 08/01/13 915 1,056
Tenet Healthcare Corp.
5.000% due 07/01/07 (z) 180 166
7.375% due 02/01/13 (z) 115 104
6.875% due 11/15/31 260 215
Tesoro Petroleum Corp.
8.000% due 04/15/08 660 711
Texas Eastern Transmission, LP
7.000% due 07/15/32 180 191
Texas-New Mexico Power Co.
6.250% due 01/15/09 175 180
Time Warner Entertainment Co., LP
Series*
8.375% due 03/15/23 765 900
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Time Warner, Inc.
6.750% due 04/15/11 945 1,028
7.625% due 04/15/31 475 520
7.700% due 05/01/32 690 762
Toys R US, Inc.
7.375% due 10/15/18 185 177
Travelers Property Casualty Corp.
5.000% due 03/15/13 250 245
TXU Corp.
Series J
6.375% due 06/15/06 125 133
TXU Energy Co.
7.000% due 03/15/13 1,515 1,675
Tyson Foods, Inc.
8.250% due 10/01/11 280 326
Union Pacific Corp.
5.750% due 10/15/07 845 902
6.125% due 01/15/12 (z) 800 856
Union Planters Corp.
7.750% due 03/01/11 265 308
Univision Communications, Inc.
7.850% due 07/15/11 440 513
UST, Inc.
6.625% due 07/15/12 685 744
Valero Logistics Operations, LP
6.050% due 03/15/13 490 507
Verizon Florida, Inc.
Series F
6.125% due 01/15/13 350 366
Verizon Global Funding Corp.
7.750% due 12/01/30 370 423
Verizon New York, Inc.
Series A
6.875% due 04/01/12 310 339
Series B
7.375% due 04/01/32 (z) 920 991
Verizon/New England
6.500% due 09/15/11 70 76
Vintage Petroleum, Inc. (z)
7.875% due 05/15/11 500 530
Wachovia Corp.
7.550% due 08/18/05 875 936
Washington Mutual, Inc.
8.250% due 04/01/10 280 329
Waste Management, Inc.
7.000% due 07/15/28 460 484
Wells Fargo & Co.
4.950% due 10/16/13 390 382
</Table>
Multistrategy Bond Fund 91
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Wells Fargo Bank NA
7.550% due 06/21/10 250 290
Weyerhaeuser Co.
6.000% due 08/01/06 105 111
6.750% due 03/15/12 760 833
Williams Gas Pipelines
7.375% due 11/15/06 725 785
Wisconsin Electric Power
5.625% due 05/15/33 40 37
Wisconsin Energy Corp.
6.200% due 04/01/33 145 141
Wyeth
5.500% due 03/15/13 150 150
5.500% due 02/01/14 675 673
Xerox Corp.
7.125% due 06/15/10 275 279
Yum! Brands, Inc.
8.875% due 04/15/11 665 811
Zurich Capital Trust I
8.376% due 06/01/37 1,365 1,528
------------
181,807
------------
Emerging Markets Debt - 1.5%
Argentina Bonos (E)
1.234% due 08/03/12 2,000 1,315
Argentina Government International Bond
11.375% due 03/15/10 785 254
11.375% due 01/30/17 1,035 339
Brazilian Government International Bond
2.063% due 04/15/06 (E) 128 123
2.125% due 04/15/09 (E) 59 53
9.250% due 10/22/10 (z) 420 403
11.000% due 01/11/12 1,100 1,117
11.000% due 08/17/40 (z) 3,510 3,264
Bulgaria Government International Bond (E)
2.000% due 07/28/24 570 569
Ecuador Government International Bond
12.000% due 11/15/12 2,500 2,244
7.000% due 08/15/30 1,875 1,399
Federal Republic of Brazil
6.000% due 04/15/24 1,375 1,045
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
OAO Gazprom (y)
9.625% due 03/01/13 290 298
Panama Government International Bond
8.875% due 09/30/27 300 303
Peru Government International Bond (z)
8.750% due 11/21/33 675 601
Russia Government International Bond
5.000% due 03/31/30 3,400 3,116
Venezuela Government International Bond (E)
2.063% due 03/31/20 1,175 946
------------
17,389
------------
International Debt - 5.7%
Abbey National PLC Step Up Bond (p)(z)
6.700% due 06/29/49 775 842
Abitibi-Consolidated, Inc. (z)
6.950% due 12/15/06 830 861
8.550% due 08/01/10 500 542
8.850% due 08/01/30 125 127
Aegon NV
4.750% due 06/01/13 395 384
America Movil SA de CV
5.500% due 03/01/14 635 594
Arlington Street CDO, Ltd.(y)
Series 2000-1A Class A2
7.660% due 06/10/12 1,840 1,895
AXA
8.600% due 12/15/30 385 479
Batterson Park CBO I, Ltd.
Series 1998-1A Class A4
6.130% due 01/02/11 106 109
Bowater Canada Finance
7.950% due 11/15/11 610 650
British Sky Broadcasting PLC
8.200% due 07/15/09 885 1,032
British Telecommunications PLC
8.375% due 12/15/10 585 696
Chile Government International Bond
5.500% due 01/15/13 3,500 3,522
Conoco Funding Co.
6.350% due 10/15/11 1,355 1,494
DBS Capital Funding Corp. (p)
7.657% due 03/15/49 655 741
</Table>
92 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Deutsche Telekom International Finance BV
8.500% due 06/15/10 380 449
8.750% due 06/15/30 2,005 2,490
Dominican Republic International Bond
9.040% due 01/23/13 1,105 807
2.063% due 08/30/24 845 600
Dresdner Bank AG for Kyivstar GSM
12.750% due 11/21/05 560 609
Evergreen Funding, Ltd. Series REGS
1.680% due 11/15/10 830 764
Export Import Bank of Korea
4.125% due 02/10/09 540 532
Export Import Bank Of Korea
4.250% due 11/27/07 90 90
France Telecom Step Up Bond
8.200% due 03/01/06 1,420 1,544
8.750% due 03/01/11 2,640 3,121
9.500% due 03/01/31 430 551
Hutchison Whampoa International 03/13, Ltd.
6.500% due 02/13/13 170 171
Hutchison Whampoa International 03/33, Ltd.
5.450% due 11/24/10 150 148
Inco, Ltd.
7.750% due 05/15/12 220 255
7.200% due 09/15/32 260 280
Intelsat, Ltd. (z)
6.500% due 11/01/13 895 821
Jamaica Government International Bond
10.625% due 06/20/17 835 831
Juniper CBO, Ltd.
Series 1999-1A Class A1
6.830% due 04/15/11 955 996
Korea Development Bank
4.250% due 11/13/07 140 141
Korea Electric Power Corp.
5.125% due 04/23/34 285 276
Mantis Reef, Ltd.
4.692% due 11/14/08 385 383
Mexico Government International Bond
9.875% due 02/01/10 100 123
8.375% due 01/14/11 (z) 170 196
6.375% due 01/16/13 260 263
8.125% due 12/30/19 2,400 2,610
8.000% due 09/24/22 465 491
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
8.300% due 08/15/31 1,015 1,089
7.500% due 04/08/33 600 594
Mizuho Financial Group Cayman, Ltd.
5.790% due 04/15/14 3,535 3,505
Newcourt Credit Group, Inc. Series B
6.875% due 02/16/05 245 255
Nexen, Inc.
5.050% due 11/20/13 205 199
Oil Insurance, Ltd.
5.150% due 08/15/33 915 923
Petro-Canada
4.000% due 07/15/13 45 41
5.350% due 07/15/33 160 138
Petroleos Mexicanos (z)
9.500% due 09/15/27 235 269
Petroleum Geo-Services ASA (z)
8.000% due 11/05/06 730 746
Poland Government International Bond
4.750% due 10/27/24 750 688
Province of Quebec
7.500% due 07/15/23 1,470 1,789
PTC International Finance II SA
11.250% due 12/01/09 775 833
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294% due 03/15/14 290 337
Royal Bank of Scotland Group PLC (p)(z)
Series 1
9.118% due 03/31/49 2,350 2,497
Royal KPN NV
8.000% due 10/01/10 1,340 1,567
Santander Central Hispano Issuances, Ltd.
7.625% due 09/14/10 455 527
Santander Financial Issuances
6.800% due 07/15/05 155 163
6.375% due 02/15/11 130 142
Sanwa Finance Aruba AEC
8.350% due 07/15/09 495 574
Sappi Papier Holding AG
6.750% due 06/15/12 190 205
Shaw Communications, Inc.
8.250% due 04/11/10 605 679
7.200% due 12/15/11 (z) 190 203
Singapore Telecommunications, Ltd.
7.375% due 12/01/31 830 937
SingTel Optus Finance Pty, Ltd.
8.125% due 06/15/09 465 538
</Table>
Multistrategy Bond Fund 93
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Smurfit Capital Funding PLC
6.750% due 11/20/05 950 979
South Street CBO, Ltd.
Series 1999-1A Class A1
7.160% due 07/01/11 1,230 1,080
Stora Enso Oyj (z)
7.375% due 05/15/11 255 290
Systems 2001 AT LLC
7.156% due 12/15/11 349 377
6.664% due 09/15/13 470 513
Telecom Italia Capital SA
5.250% due 11/15/13 1,015 1,001
6.375% due 11/15/33 590 579
Telefonos de Mexico SA de CV
4.500% due 11/19/08 820 810
TELUS Corp.
7.500% due 06/01/07 705 779
8.000% due 06/01/11 2,020 2,343
TPSA Finance BV
7.750% due 12/10/08 730 820
Tyco International Group SA
6.375% due 10/15/11 1,840 1,938
UFJ Finance Aruba AEC
6.750% due 07/15/13 1,340 1,415
Weatherford International, Ltd.
4.950% due 10/15/13 660 638
------------
66,510
------------
Mortgage-Backed Securities - 33.4%
Banc of America Commercial Mortgage, Inc.
Series 2004-2 Class A2
3.520% due 11/10/38 520 505
Bank of America Alternative Loan Trust
Series 2003-10 Class 2A1
6.000% due 12/25/33 1,093 1,122
Series 2004-2 Class 1A1
6.000% due 03/25/34 665 678
Bank of America Mortgage Securities
Series 2003-D Class 1A2
3.428% due 05/25/33 (E) 61 61
Series 2003-I Class 2A4
3.828% due 10/25/33 (E) 760 759
Series 2004-1 Class 5A1
6.500% due 09/25/33 386 395
Series 2004-A Class 1A1
3.488% due 02/25/34 (E) 667 659
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Bear Stearns Adjustable Rate Mortgage Trust
Series 2003-8 Class 4A1
4.834% due 01/25/34 1,600 1,609
Cendant Mortgage Corp.
Series 2002-4 Class A6
6.500% due 07/25/32 87 87
Citicorp Mortgage Securities, Inc.
Series 2001-12 Class M
6.394% due 08/25/31 284 284
Conseco Finance (E)
Series 2000-C Class A
1.533% due 12/15/29 727 727
Countrywide Asset-Backed Certificates (E)
Series 2000-2 Class AV1
1.371% due 06/25/31 83 83
CS First Boston Mortgage Securities Corp.
Series 2002-10 Class 2A1
7.500% due 05/25/32 312 332
Series 2002-18 Class 1AIO
7.500% due 06/25/32 1,400 52
Series 2002-22 Class 1AIO
8.000% due 07/25/32 1,800 69
Series 2002-30 Class 1A1
7.500% due 11/25/32 15 16
Series 2003-23 Class 5A1
6.000% due 09/25/33 6 7
Series 2003-23 Class 6A1
6.500% due 09/25/33 902 939
Series 2003-23 Class 7A1
5.000% due 09/25/18 709 711
Series 2003-29 Class 5A1
7.000% due 12/25/33 700 728
Series 2004-1 Class 2A2
6.000% due 02/25/34 1,034 1,062
Series 2004-1 Class 3A1
7.000% due 02/25/34 320 338
Deutsche ALT-A Securities, Inc. Alternate Loan
Trust
Series 2003-3 Class 2A3
4.500% due 10/25/33 420 422
Deutsche Mortgage Securities, Inc.
Series 2004-2 Class A2
3.080% due 01/25/34 480 475
DLJ Mortgage Acceptance Corp. (E)
Series 1996-Q5 Class A1
1.620% due 06/25/26 74 74
</Table>
94 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
15 Year Gold TBA (o)
4.500% 4,770 4,695
5.000% 10,135 10,201
6.500% 2,130 2,253
30 Year Gold TBA (o)
4.500% 2,325 2,183
5.000% 14,220 13,730
5.500% 12,700 12,632
6.000% 5,665 5,794
6.500% 880 916
12.000% due 2012 3 3
12.000% due 2013 35 38
12.000% due 2014 26 29
11.000% due 2015 31 35
6.000% due 2016 330 345
10.000% due 2016 73 82
12.000% due 2016 54 60
12.500% due 2016 2 2
5.000% due 2018 2,238 2,256
8.000% due 2020 394 426
11.000% due 2020 154 175
10.500% due 2021 77 87
8.500% due 2025 87 95
7.000% due 2027 590 625
8.500% due 2027 503 548
7.500% due 2028 117 127
6.500% due 2029 957 998
7.500% due 2029 251 270
6.500% due 2030 65 68
7.500% due 2030 885 950
7.820% due 2030 30 31
8.000% due 2030 425 459
8.500% due 2030 927 1,002
7.000% due 2031 1,541 1,627
7.500% due 2031 1,157 1,243
8.000% due 2031 770 832
6.500% due 2032 2,667 2,778
7.000% due 2032 862 910
7.500% due 2032 2,304 2,475
5.000% due 2033 1,270 1,246
5.500% due 2033 2,835 2,833
6.000% due 2033 817 836
6.500% due 2033 1,124 1,171
7.500% due 2033 331 357
5.000% due 2034 1,310 1,271
Series 1991-1037 Class Z
9.000% due 02/15/21 150 150
Series 2000-2247 Class SC
6.338% due 08/15/30 206 13
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2000-2266 Class F
1.570% due 11/15/30 432 433
Series 2002-2463 Class SJ
6.900% due 03/15/32 859 85
Series 2002-2517 Class PT
5.000% due 10/15/26 1,493 1,499
Series 2003-2564 Class IM
5.000% due 09/15/14 2,103 210
Series 2003-2591 Class IQ
5.000% due 06/15/17 3,159 330
Series 2003-2613 Class DI
5.500% due 05/15/27 3,461 300
Series 2003-2649 Class IM
7.000% due 07/15/33 1,393 262
Federal Home Loan Mortgage Corp. Interest Only
STRIP Series 1998-191 Class IO
8.000% due 01/01/28 96 21
Series 1998-194 Class IO
6.500% due 04/01/28 612 130
Series 2001-212 Class IO
6.000% due 05/01/31 1,001 214
Series 2001-215 Class IO
8.000% due 06/01/31 552 111
Federal Home Loan Mortgage Corp. Participation
Certificate
6.500% due 11/01/28 827 862
6.500% due 09/01/29 192 200
6.500% due 07/01/29 178 186
Federal Home Loan Mortgage Corp. Structured Pass
Through Securities
Series 2002-50 Class A3
2.182% due 09/27/07 183 183
Series 2003-54 Class 2AIO
0.248% due 02/25/43 26,317 210
Series 2003-54 Class 3AIO
0.769% due 02/25/43 10,429 235
Series 2003-58 Class 1A2
3.108% due 05/25/35 440 440
Series 2003-58 Class 2A
6.500% due 09/25/43 1,088 1,141
Federal Housing Authority
7.430% due 07/01/22 868 886
Federal National Mortgage Association 15 Year
TBA (o)
4.000% 2,055 1,968
</Table>
Multistrategy Bond Fund 95
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
4.500% 17,450 17,171
5.000% 8,025 8,070
5.500% 15,250 15,631
30 Year TBA (o)
4.500% 845 789
5.500% 33,980 33,876
6.000% 19,920 20,372
6.500% 19,135 19,911
7.000% 7,950 8,404
6.000% due 2009 26 28
6.000% due 2013 442 462
6.000% due 2014 205 215
5.500% due 2016 230 236
6.000% due 2016 3,266 3,408
11.000% due 2016 225 261
5.000% due 2017 3,733 3,761
5.500% due 2017 5,974 6,136
6.000% due 2017 3,670 3,830
6.500% due 2017 276 293
4.000% due 2018 1,209 1,165
5.000% due 2018 25,139 25,315
5.500% due 2018 1,591 1,634
6.000% due 2018 1,349 1,407
3.526% due 2023 74 76
7.500% due 2024 21 22
3.471% due 2026 658 679
7.000% due 2026 65 69
9.000% due 2026 129 144
7.500% due 2027 41 44
6.500% due 2029 5 5
7.500% due 2029 306 328
7.500% due 2030 1,264 1,352
8.000% due 2030 1,365 1,477
8.500% due 2030 2,718 2,937
9.500% due 2030 246 277
6.500% due 2031 1,600 1,671
7.000% due 2031 1,530 1,617
7.500% due 2031 1,981 2,119
8.000% due 2031 1,841 1,991
8.500% due 2031 2,069 2,234
6.000% due 2032 932 954
6.500% due 2032 18,972 19,759
7.000% due 2032 6,410 6,800
7.500% due 2032 1,197 1,281
8.000% due 2032 14 15
8.500% due 2032 211 228
5.000% due 2033 1,344 1,309
5.500% due 2033 2,322 2,318
6.000% due 2033 4,976 5,095
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
6.500% due 2033 5,029 5,235
4.246% due 2034 1,153 1,163
5.000% due 2034 6,706 6,504
5.000% due 2034 2,022 1,961
5.500% due 2034 1,515 1,513
6.000% due 2034 949 971
2.634% due 2040 1,504 1,526
Series 1992-10 Class ZD
8.000% due 11/25/21 2,224 2,321
Series 1997-68 Class SC - IO
7.375% due 05/18/27 315 41
Series 2001-4 Class SA - IO
6.450% due 02/17/31 504 47
Series 2002-50 Class SC - IO
7.000% due 12/25/29 261 21
Series 2003-16 Class NIO
5.000% due 02/25/15 1,897 180
Series 2003-25 Class IKO - IO
7.000% due 04/25/33 1,244 179
Series 2003-32 Class UIO
6.000% due 05/25/33 950 130
Series 2003-33 Class IA - IO
6.500% due 05/25/33 1,350 254
Series 2003-81 Class MJ - IO
5.000% due 02/25/27 850 863
Series 2003-82 Class IA - IO
6.000% due 08/25/32 1,628 246
Series 2003-82 Class WIO
6.000% due 08/25/32 336 50
Federal National Mortgage Association Grantor
Trust
Series 1999-T2 Class A1
7.500% due 01/19/39 95 102
Federal National Mortgage Association Interest
Strip
Series 1997-281 Class 2 - IO
9.000% due 11/01/26 120 26
Series 2000-306 Class IO
8.000% due 05/01/30 160 33
Series 2001-317 Class 2 - IO
8.000% due 08/01/31 357 72
Series 2002-320 Class 2 - IO
7.000% due 03/01/32 106 24
Federal National Mortgage Association Whole Loan
Series 2002-W1 Class 2AIO
0.599% due 04/25/42 11,504 171
Series 2002-W6 Class 2AIO
0.351% due 06/25/42 10,255 95
</Table>
96 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-W17 Class 1A6
5.310% due 08/25/33 5,400 5,395
Series 2003-W19 Class 1A2
3.471% due 11/25/33 938 944
Series 2003-W6 Class 1A11
2.115% due 10/25/42 159 159
First Horizon Asset Securities, Inc.
Series 2003-5 Class 1A17
8.000% due 07/25/33 241 259
First Nationwide Trust (E)
Series 2001-4 Class 3A5
1.720% due 09/25/31 147 147
First Union-Lehman Brothers-Bank of America
Series 1998-C2 Class A2
6.560% due 11/18/35 1,230 1,346
Government National Mortgage Association
Series 1999-27 Class SE - IO
7.500% due 08/16/29 (E) 312 35
Series 1999-44 Class SA - IO
7.450% due 12/16/29 (E) 498 55
Series 2001-46 Class SA - IO
6.480% due 09/16/31 (E) 184 12
Series 2002-62 Class B
4.763% due 01/16/25 325 327
Series 2003-18 Class YI - IO
5.500% due 03/20/33 693 70
Series 2003-5 Class B
4.486% due 10/16/25 795 788
Government National Mortgage Association I
30 Year TBA (o)
5.500% 2,005 2,005
6.000% 2,995 3,070
11.000% due 2009 18 20
11.000% due 2010 79 88
11.500% due 2010 14 16
11.000% due 2013 21 23
10.500% due 2015 62 70
11.000% due 2015 15 18
10.500% due 2016 178 202
10.500% due 2017 39 45
10.000% due 2020 63 71
10.500% due 2021 111 129
10.000% due 2022 141 158
9.500% due 2023 620 698
10.000% due 2025 196 227
6.500% due 2028 348 364
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
7.500% due 2031 240 258
6.500% due 2032 1,938 2,025
5.500% due 2033 418 419
Government National Mortgage Association II
30 Year TBA (o)
5.500% 815 814
4.375% due 2023 242 245
4.625% due 2023 80 82
4.750% due 2023 50 51
4.625% due 2024 370 380
4.750% due 2024 387 397
4.375% due 2025 761 766
4.625% due 2025 37 38
4.750% due 2025 27 28
4.625% due 2026 185 189
8.500% due 2026 169 186
4.375% due 2027 310 313
4.750% due 2027 444 454
4.000% due 2029 1,384 1,395
GSR Mortgage Loan Trust
Series 2004-2F Class 6A1
7.000% due 01/25/34 426 446
MASTR Alternative Loans Trust
Series 2003-2 Class 7A1
7.000% due 12/25/32 233 239
Series 2003-6 Class 3A1
8.000% due 09/25/33 422 444
Series 2003-9 Class 1A1
5.500% due 12/25/18 772 800
Series 2004-1 Class 2A1
7.000% due 01/25/34 944 964
MASTR Asset Securitization Trust
Series 2003-12 Class 3A5
5.250% due 10/25/14 532 539
Merrill Lynch Mortgage Investors, Inc.
Series 2003-WM1N Class N1
7.000% due 11/25/33 101 102
Merrill Lynch Mortgage Trust
Series 2002-MW1 Class J
5.695% due 07/12/34 365 281
Nationslink Funding Corp.
Series 1999-SL Class A4
6.654% due 11/10/30 468 490
Nomura Asset Acceptance Corp.
Series 2004-AP1 Class A2
3.238% due 03/25/34 535 532
</Table>
Multistrategy Bond Fund 97
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
PNC Mortgage Securities Corp.
Series 2000-4 Class CB2
6.832% due 06/25/30 239 231
Series 2000-4 Class CB3
6.832% due 06/25/30 133 134
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 580 580
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 163 163
Residential Asset Mortgage Products, Inc.
Series 2004-SL1 Class A3
7.000% due 11/25/31 856 885
Residential Funding Mortgage
Series 2004-S5 Class VA
5.250% due 04/25/34 580 591
Salomon Brothers Mortgage Securities VII
Series 1999-C1 Class J
7.000% due 05/18/32 310 249
Structured Asset Securities Corp.
Series 2002-22H Class 1A
7.000% due 11/25/32 309 332
Series 2003-33H Class 1A1
5.500% due 10/25/33 948 940
Vendee Mortgage Trust
Series 2000-1 Class 2G
7.250% due 06/15/09 330 347
Series 2002-1 Class 2IO
0.245% due 08/15/31 28,560 281
Washington Mutual (E)
Series 2002-AR9 Class 1A
2.634% due 08/25/42 3,046 3,068
Series 2003-AR4 Class A7
3.950% due 05/25/33 310 309
Series 2003-S1 Class A1
5.000% due 04/25/33 415 416
Wells Fargo Mortgage Backed Securities Trust
Series 2002-9 Class B1
6.250% due 06/25/32 333 335
Series 2003-K Class 2A5
4.522% due 11/25/33 440 404
Series 2003-M Class A1
4.774% due 12/25/33 949 956
------------
391,700
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Municipal Bonds - 1.7%
City of Chicago Illinois General Obligation
Unlimited, weekly demand (u)
5.000% due 01/01/35 2,600 2,545
City of Forsyth Montana Revenue Bonds (E)
5.200% due 05/01/33 220 230
Clark County School District General Obligation
Limited (u)
5.000% due 06/15/10 2,600 2,838
Colorado Department of Transportation Revenue
Bonds (u)
5.000% due 12/15/13 885 961
County of Clark Nevada General Obligation
Limited, weekly demand (u)
5.000% due 06/01/32 1,900 1,895
Florida State Board Education General Obligation
Unlimited, weekly demand
5.000% due 06/01/31 1,500 1,505
Florida State Turnpike Authority Revenue Bonds
(u)
5.000% due 07/01/11 800 871
Golden State Tobacco Securitization Corp.
Revenue Bonds, weekly demand
5.625% due 06/01/38 415 415
Lower Colorado River Authority Revenue Bonds,
weekly demand (u)
5.000% due 05/15/33 200 198
Metropolitan Transportation Authority Revenue
Bonds, weekly demand (u)
5.000% due 11/15/32 300 300
Metropolitan Washington Airports Authority
Revenue Bonds, weekly demand
5.000% due 10/01/34 410 395
New York State Environmental Facilities Corp.
Revenue Bonds, weekly demand
5.000% due 06/15/33 300 302
Orange County Sanitation District Certificate of
Participation, weekly demand
5.000% due 02/01/33 200 197
</Table>
98 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Pennsylvania Higher Education Assistance Agency
Revenue Bonds, weekly demand
1.089% due 09/01/43 600 600
State of California General Obligation
Unlimited, weekly demand
5.000% due 02/01/33 270 255
State of Illinois General Obligation Unlimited
5.100% due 06/01/33 1,480 1,343
State of Oregon General Obligation Unlimited
5.892% due 06/01/27 1,295 1,318
State of Washington General Obligation
Unlimited, weekly demand (u)
5.000% due 01/01/27 2,000 2,005
State of Wisconsin Revenue Bonds (u)
5.700% due 05/01/26 540 536
West Virginia Economic Development Authority
Revenue Bonds (u)
5.370% due 07/01/20 200 202
6.070% due 07/01/26 655 653
------------
19,564
------------
Non-US Bonds - 1.6%
Bank Nederlandse Gemeenten
5.000% due 02/04/08 AUD 1,350 942
BAT International Finance PLC
4.875% due 02/25/09 EUR 220 271
Bundesschatzanweisungen
2.000% due 03/10/06 EUR 11,180 13,316
Deutsche Bundesrepublik
5.250% due 01/04/11 EUR 1,565 2,038
Dexia Municipal Agency
5.750% due 04/07/09 NZD 1,525 927
France Telecom
7.000% due 12/23/09 EUR 100 137
General Motors Acceptance Corp.
5.375% due 06/06/11 EUR 920 1,106
Mexico Government International Bond Value
Recovery Rights
Zero Coupon (AE)
Series B
0.000% due 06/01/04 5,900 27
Series C
0.000% due 06/01/05 5,900 103
Series D
0.000% due 06/30/06 3,700 46
Series E
0.000% due 06/01/07 3,700 28
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Olivetti Finance NV
5.875% due 01/24/08 EUR 100 129
------------
19,070
------------
Registered Investment Company Funds - 0.0%
Pacific Investment Management Co. Series High
Yield Portfolio Institutional 17,789 148
------------
United States Government Agencies - 0.4%
Federal Home Loan Mortgage Corp. (z)
2.750% due 03/15/08 1,060 1,030
5.125% due 11/07/13 1,700 1,673
Federal National Mortgage Association (z)
4.375% due 03/15/13 1,270 1,226
Financing Corp. Principal Only STRIP
0.000% due 12/06/18 385 167
0.000% due 04/05/19 1,445 613
0.000% due 09/26/19 990 407
Residual Funding Principal Only STRIP
0.000% due 10/15/20 400 157
------------
5,273
------------
United States Government Treasuries - 8.6%
United States Treasury Inflation Indexed Bonds
3.375% due 01/15/07 1,558 1,680
3.625% due 01/15/08 (z) 1,250 1,376
3.875% due 01/15/09 (z) 3,178 3,564
3.375% due 01/15/12 (z) 1,678 1,861
3.000% due 07/15/12 (z) 5,807 6,277
1.875% due 07/15/13 573 565
2.000% due 01/15/14 (z) 4,342 4,311
3.875% due 04/15/29 (z) 2,265 2,824
3.375% due 04/15/32 (s) 692 822
United States Treasury Note
1.500% due 03/31/06 565 557
4.625% due 05/15/06 (z) 5,485 5,731
3.500% due 11/15/06 (z) 3,100 3,165
4.375% due 05/15/07 (z) 3,500 3,650
6.000% due 08/15/09 (z) 4,810 5,335
</Table>
Multistrategy Bond Fund 99
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
6.500% due 02/15/10 (z) 7,750 8,812
5.000% due 08/15/11 (z) 1,000 1,051
3.875% due 02/15/13 (z) 7,975 7,670
4.250% due 08/15/13 3,880 3,815
4.000% due 02/15/14 (z) 2,370 2,277
8.750% due 05/15/17 (z) 5,630 7,698
8.125% due 08/15/19 (z) 10,425 13,746
7.625% due 02/15/25 (z) 2,500 3,221
6.000% due 02/15/26 (z) 5,500 5,948
6.125% due 08/15/29 (z) 3,725 4,113
5.375% due 02/15/31 1,170 1,185
------------
101,254
------------
TOTAL LONG-TERM INVESTMENTS
(cost $831,060) 835,848
------------
COMMON STOCKS - 0.1%
Other Energy - 0.1%
Nexen, Inc. 63,900 1,633
------------
TOTAL COMMON STOCKS
(cost $1,612) 1,633
------------
PREFERRED STOCKS - 0.5%
Consumer Discretionary - 0.0%
Cablevision Systems Corp. 5,600 585
------------
Financial Services - 0.4%
Centaur Funding Corp. 1,750,000 2,217
DG Funding Trust 191 2,053
------------
4,270
------------
Utilities - 0.1%
TNP Enterprises, Inc. 5,321 615
------------
TOTAL PREFERRED STOCKS
(cost $5,072) 5,470
------------
SHORT-TERM INVESTMENTS - 65.1%
ANZ Delaware, Inc. Discount Commercial Paper (y)
1.040% due 07/06/04 300 299
ANZ Delaware, Inc. (y)
1.025% due 05/20/04 6,600 6,596
1.035% due 06/25/04 1,600 1,598
1.060% due 07/19/04 1,900 1,895
ASIF II
1.200% due 01/26/05 JPY 125,000 1,140
Barclays US Fund (y)
1.020% due 05/06/04 7,300 7,299
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Barclays US Funding, LLC. (c)(y)
1.020% due 05/21/04 800 800
CBA Del Finance, Inc. Years 3 & 4 Commercial
Paper (y)
1.030% due 05/10/04 9,000 8,998
1.030% due 05/21/04 900 899
1.025% due 06/11/04 (c) 200 200
Danske Corp. Commercial Paper (y)
1.030% due 05/10/04 2,600 2,599
1.020% due 05/12/04 (c) 900 900
1.025% due 05/19/04 (c) 600 600
1.025% due 06/18/04 6,000 5,992
European Investment Bank (y)
1.020% due 05/10/04 (c) 1,500 1,500
1.010% due 05/25/04 2,400 2,398
Federal Home Loan Bank Discount Note (y)
1.010% due 06/18/04 10,000 9,987
Federal Home Loan Bank System (z)
4.125% due 01/14/05 600 611
Federal Home Loan Mortgage Corp. Discount Note
(y)(z)
1.005% due 07/20/04 10,000 9,966
Federal National Mortgage Association Discount
Notes (y)
0.020% due 05/04/04 (z) 10,000 9,999
1.020% due 05/05/04 (z) 7,400 7,399
1.000% due 06/01/04 (z) 1,300 1,299
1.005% due 06/09/04 (z) 10,000 9,990
1.050% due 06/15/04 (z) 8,000 7,990
1.020% due 06/23/04 (z) 3,400 3,395
1.025% due 06/30/04 (z) 1,400 1,397
1.694% due 07/01/04 (z) 400 399
1.020% due 07/07/04 (z) 24,200 24,141
1.045% due 07/14/04 (z) 9,600 9,575
1.015% due 07/14/04 1 1
1.010% due 07/20/04 3,400 3,390
1.062% due 07/21/04 (z) 15,000 14,960
Ford Motor Credit Co.(y)
1.870% due 09/03/04 2,300 2,303
Frank Russell Investment Company Money Market
Fund 252,632,000 252,632
Frank Russell Investment Company Money Market
Fund (N) 121,171,189 121,171
General Electric Capital Corp. Commercial Paper
(y)
1.040% due 05/11/04 7,000 6,998
1.040% due 06/15/04 1,400 1,398
1.040% due 06/17/04 1,100 1,099
</Table>
100 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
1.050% due 07/07/04 200 200
1.040% due 07/08/04 700 698
General Motors Acceptance Corp. (E)
1.580% due 07/20/04 1,600 1,600
1.570% due 07/30/04 2,200 2,200
HBOS Treasury Services PLC (y)
1.030% due 06/21/04 10,100 10,085
1.055% due 07/16/04 300 299
Historic TW, Inc.
7.975% due 08/15/04 225 229
International Bank for Reconstruction &
Development
4.750% due 12/20/04 JPY 16,000 149
Italy Government International Bond
5.000% due 12/15/04 JPY 42,000 392
Kansai International Airport
1.300% due 07/29/04 JPY 28,000 254
KFW International Finance
1.000% due 12/20/04 JPY 38,000 346
Rabobank USA Financial Corp. (c)(y)
1.030% due 05/10/04 800 800
Residential Asset Mortgage Products, Inc.
Series 2002-RZ4 Class AIO
5.750% due 04/25/05 1,543 61
Royal Bank of Scotland (y)
1.030% due 05/11/04 (c) 300 300
1.020% due 07/15/04 1,000 999
1.050% due 07/14/04 6,700 6,683
State of California Notes
2.000% due 06/16/04 500 501
State Street Securities Lending Quality Trust
(N) 130,471,480 130,471
Svenska Handlsbn (y)
1.025% due 05/24/04 1,200 1,199
UBS Finance, Inc. (y)
1.020% due 06/03/04 3,500 3,497
1.020% due 06/28/04 1,400 1,398
1.040% due 07/06/04 3,600 3,591
1.055% due 07/13/04 1,300 1,296
1.070% due 07/15/04 600 598
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
US Bancorp/First Bank
Series MTNJ
6.875% due 12/01/04 850 876
United States Treasury Bill (y)
1.080% due 05/06/04 (c)(z) 6,700 6,700
1.040% due 05/13/04 (z) 14,200 14,195
1.010% due 05/27/04 (z) 2,100 2,098
0.930% due 06/03/04 (c)(s)(z) 300 300
0.927% due 06/03/04 (s)(z) 500 499
2.291% due 06/03/04 (s)(z) 1,225 1,224
0.880% due 06/17/04 (c)(s) 20 20
0.885% due 06/17/04 (c)(s) 70 70
0.918% due 06/17/04 (c)(s) 125 125
2.263% due 07/15/04 (s) 400 399
1.486% due 09/23/04 (s) 350 349
0.980% due 09/30/04 (s) 350 348
United States Treasury Note (z)
6.000% due 08/15/04 1,800 1,825
7.875% due 11/15/04 19,130 19,800
Westpac Capital Corp. (y)
1.030% due 07/07/04 1,800 1,794
Westpac Trust Securities (y)
1.040% due 05/25/04 1,100 1,099
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $763,490) 763,380
------------
WARRANTS - 0.0%
Materials and Processing - 0.0%
Solutia, Inc. 2009 Warrants (AE) 850 --
------------
Utilities - 0.0%
GT Group Telecom, Inc. 2010 Warrants (AE) 676 --
------------
TOTAL WARRANTS
(cost $105) --
------------
TOTAL INVESTMENTS - 137.0%
(identified cost $1,601,339) 1,606,331
OTHER ASSETS AND LIABILITIES,
NET - (37.0%) (434,280)
------------
NET ASSETS - 100.0% 1,172,051
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Multistrategy Bond Fund 101
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ---------------------------------------------------------------
Long Positions
Eurodollar Futures
expiration date 12/04 (4) 978 4
expiration date 03/05 (51) 12,409 (55)
expiration date 06/05 (57) 13,804 (67)
expiration date 09/05 (64) 15,438 (73)
expiration date 12/05 (66) 15,866 (76)
expiration date 03/06 (7) 1,678 (4)
Germany, Federal Republic 5
Year Bonds
expiration date 06/04 (147) 19,636 (49)
Germany, Federal Republic 10
Year Bonds
expiration date 06/04 (12) 1,641 (6)
United States Treasury Bonds
expiration date 06/04 (92) 9,853 (281)
United States Treasury 2 Year
Notes
expiration date 06/04 (172) 36,558 (155)
United States Treasury 5 Year
Notes
expiration date 06/04 (24) 2,639 (58)
United States Treasury 10 Year
Notes
expiration date 06/04 (648) 71,604 (2,046)
expiration date 09/04 (26) 2,836 (8)
Short Positions
10 Year Interest Rate Swap
Futures
expiration date 06/04 (9) 967 48
United States Treasury Bonds
expiration date 06/04 (3) 321 24
United States Treasury 5 Year
Notes
expiration date 06/04 (189) 20,778 485
United States Treasury 10 Year
Notes
expiration date 06/04 (111) 12,266 306
------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts (2,011)
============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------
Euribor Futures
Sept 2004 97.50 (EUR) Put
(12) 350,517 (1)
Dec 2004 97.00 (EUR) Put
(11) 319,660 --
Eurodollar Futures
June 2004 98.00 Put (36) 8,820 --
Swap Option Three Month LIBOR
Oct 2004 6.00 Call (1) 7,200 (85)
Oct 2004 3.80 Call (1) 5,700 (3)
Nov 2004 3.14 Call (1) 12,560 (132)
Oct 2004 6.00 Put (1) 7,200 (5)
Nov 2004 6.70 Put (1) 26,800 (6)
United States Treasury Notes
5 Year Futures
Aug 2004 111.50 Call (10) 1,115 (4)
Aug 2004 107.50 Put (15) 1,613 (13)
United States Treasury Notes
10 Year Futures
May 2004 116.00 Call (15) 1,740 --
Aug 2004 114.00 Call (1) 114 --
Aug 2004 115.00 Call (22) 2,530 (6)
Aug 2004 115.00 Call (29) 3,335 (9)
Aug 2004 108.00 Put (29) 3,132 (47)
------------
Total Liability for Options
Written
(premiums received $501) (311)
============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 173 EUR 144 05/10/04 --
USD 173 EUR 144 05/10/04 --
USD 109 JPY 11,962 05/18/04 (1)
USD 1,307 JPY 141,398 05/18/04 (25)
EUR 192 USD 230 05/10/04 --
EUR 225 USD 267 06/28/04 (3)
EUR 227 USD 268 07/26/04 (3)
EUR 8,330 USD 9,862 07/26/04 (97)
JPY 141,410 USD 1,304 05/18/04 23
--------------
(106)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
102 Multistrategy Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
MULTISTRATEGY BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
INDEX SWAPS
- ---------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
FUND RECEIVES COUNTER AMOUNT FUND PAYS TERMINATION (DEPRECIATION)
UNDERLYING SECURITY PARTY $ FLOATING RATE DATE $
- ------------------------------ ---------------- --------- ----------------------- -------------- ----------------
Bear Stearns 1 Month USD LIBOR-
High Yield Index Bear Stearns 1,760 BBA minus 0.10% 05/31/04 (7)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 3,380 BBA minus 0.52% 05/31/04 (118)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 2,790 BBA minus 0.50% 06/30/04 (39)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 3,180 BBA minus 0.60% 06/30/04 (110)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 4,350 BBA minus 0.59% 06/30/04 (151)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 4,980 BBA minus 0.45% 07/31/04 (174)
----------------
(599)
================
</Table>
<Table>
<Caption>
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------------------------------
NOTIONAL MARKET
COUNTER AMOUNT TERMINATION VALUE
PARTY $ FUND RECEIVES FUND PAYS DATE $
- ------------------------------------------------- ------------------ -------------------- ---------------- ----------------
Barclay's EUR 4,600 4.000% Six Month LIBOR 06/17/10 (24)
Citigroup EUR 800 4.000% Six Month LIBOR 06/17/10 (4)
Goldman EUR 6,200 4.000% Six Month LIBOR 06/17/08 68
Goldman EUR 4,000 4.000% Six Month LIBOR 06/17/10 (21)
JP Morgan EUR 200 4.000% Six Month LIBOR 06/17/10 (1)
Merrill Lynch EUR 4,900 Six Month LIBOR 4.00% 03/15/07 83
Merrill Lynch EUR 23,400 4.000% Six Month LIBOR 06/17/10 (121)
UBS EUR 200 4.000% Six Month LIBOR 06/17/10 (1)
----------------
Total Market Value of Interest Rate Swaps premiums
paid (received) - $467 (21)
================
</Table>
See accompanying notes which are an integral part of the financial statements.
Multistrategy Bond Fund 103
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS - 94.4%
Alabama - 1.7%
Birmingham Jefferson Civic Center Authority Special Tax (u) 425 5.250 01/01/05 436
City of Tuscaloosa Alabama General Obligation Unlimited 340 5.000 02/15/07 363
County of Baldwin Alabama General Obligation Unlimited (u) 545 5.000 02/01/14 584
County of Jefferson Alabama General Obligation Unlimited (u) 500 5.000 04/01/10 543
Courtland Industrial Development Board Revenue Bonds 250 5.000 11/01/13 262
Huntsville Health Care Authority Revenue Bonds 200 5.250 06/01/05 207
Marshall County Health Care Authority Revenue Bonds 155 4.500 01/01/05 158
Marshall County Health Care Authority Revenue Bonds 160 4.500 01/01/06 165
Mobile County Board of School Commissioners General
Obligation Unlimited, weekly demand (u) 375 5.000 03/01/12 402
------------
3,120
------------
Alaska - 0.6%
City of Anchorage Alaska General Obligation Unlimited,
weekly demand (u) 500 5.750 12/01/16 560
State of Alaska General Obligation Unlimited (u) 595 5.250 07/15/11 658
------------
1,218
------------
Arizona - 3.8%
Arizona School Facilities Board Revenue Bonds 1,200 5.000 07/01/13 1,303
Arizona State Transportation Board Revenue Bonds (u) 500 5.750 07/01/04 504
Arizona State Transportation Board Revenue Bonds, weekly
demand 500 5.250 07/01/12 548
Maricopa County Pollution Control Corp.. Revenue Bonds (E) 200 2.900 06/01/35 196
Phoenix Civic Improvement Corp. Revenue Bonds (u) 250 5.500 07/01/07 272
Phoenix Civic Plaza Building Corp. Revenue Bonds, weekly
demand 1,000 5.900 07/01/10 1,056
Pima County Unified School District No. 1 Tucson General
Obligation Unlimited, semi-annual demand (u) 1,000 4.750 07/01/14 1,045
Pima County Unified School District No. 12 Sunnyside General
Obligation Unlimited (u) 1,015 4.500 07/01/07 1,080
Salt River Project Agricultural Improvement & Power District
Revenue Bonds 230 5.500 01/01/05 236
Salt River Project Agricultural Improvement & Power District
Revenue Bonds 270 5.500 01/01/05 278
State of Arizona Certificate of Participation (u) 200 5.500 05/01/10 223
University of Arizona Revenue Bonds (u) 430 5.000 06/01/06 456
------------
7,197
------------
Arkansas - 0.1%
Fayetteville Arkansas Revenue Bonds 105 3.200 06/01/07 105
------------
California - 8.1%
ABAG Finance Authority for Nonprofit Corps Certificate of
Participation, weekly demand 600 5.700 08/15/14 630
California Health Facilities Financing Authority Revenue
Bonds (E) 1,500 4.950 07/01/26 1,510
California Housing Finance Agency Revenue Bonds, weekly
demand (u) 980 5.850 08/01/16 1,029
California State Department of Transportation Revenue Bonds
(u) 1,000 5.000 02/01/15 1,073
California State Department of Water Resources Revenue Bonds 250 5.500 05/01/10 276
California State Department of Water Resources Revenue Bonds
(u) 500 5.250 05/01/11 549
California State Department of Water Resources Revenue Bonds
(u) 1,000 5.250 05/01/12 1,094
California Statewide Communities Development Authority
Revenue Bonds (E) 1,000 5.200 12/01/29 1,059
California Statewide Communities Development Authority
Revenue Bonds (E) 500 3.450 04/01/35 486
California Statewide Communities Development Authority
Revenue Bonds (E) 900 4.350 11/01/36 934
Golden State Tobacco Securitization Corp. Revenue Bonds,
weekly demand 1,000 5.000 06/01/21 996
</Table>
104 Tax Exempt Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
Golden State Tobacco Securitization Corp. Revenue Bonds,
weekly demand 665 5.250 06/01/16 675
Southern California Public Power Authority Revenue Bonds (u) 405 5.375 01/01/12 447
State of California General Obligation Unlimited 1,000 6.600 02/01/10 1,145
State of California General Obligation Unlimited 1,000 5.000 10/01/11 1,066
State of California General Obligation Unlimited 550 5.000 02/01/12 579
State of California General Obligation Unlimited 1,000 5.000 02/01/12 1,052
State of California General Obligation Unlimited, weekly
demand 500 5.250 02/01/14 528
------------
15,128
------------
Colorado - 1.0%
Colorado Department of Transportation Revenue Bonds (u) 265 6.000 06/15/08 298
Colorado Housing & Finance Authority Revenue Bonds (E) 120 6.300 08/01/16 124
Colorado Housing & Finance Authority Revenue Bonds,
semi-annual demand 170 6.300 08/01/12 177
Colorado Housing & Finance Authority Revenue Bonds, weekly
demand 115 7.250 04/01/10 118
Colorado Housing & Finance Authority Revenue Bonds, weekly
demand 65 6.700 10/01/16 68
Denver Health & Hospital Authority Revenue Bonds 1,000 5.000 12/01/04 1,018
------------
1,803
------------
Delaware - 0.6%
Delaware State Economic Development Authority Revenue Bonds 825 6.500 01/01/08 899
Delaware State Economic Development Authority Revenue Bonds,
semi-annual demand (E)(u) 250 4.900 05/01/26 268
------------
1,167
------------
District of Columbia - 1.7%
District of Columbia Certificate of Participation (u) 500 5.250 01/01/08 541
District of Columbia General Obligation Unlimited (u) 70 5.500 06/01/09 78
District of Columbia General Obligation Unlimited (u) 930 5.500 06/01/09 1,032
District of Columbia General Obligation Unlimited, weekly
demand (pre-refunded 6/1/2006) (ae) 800 6.375 06/01/16 890
District of Columbia Revenue Bonds Zero Coupon (u) 400 0.000 07/01/05 390
District of Columbia Tobacco Settlement Financing
Corporation Revenue Bonds 200 5.200 05/15/08 201
------------
3,132
------------
Florida - 6.8%
City of Tallahassee Florida Revenue Bonds (u) 500 5.000 10/01/11 546
County of Escambia Florida Revenue Bonds, weekly demand (u) 740 5.250 10/01/14 802
County of Hillsborough Florida Revenue Bonds, semi-annual
demand 120 6.200 12/01/08 130
Escambia County Health Facilities Authority Revenue Bonds 1,000 5.000 11/15/06 1,069
First Governmental Financing Commission Revenue Bonds (u) 1,555 5.500 07/01/14 1,741
Florida State Board of Education General Obligation
Unlimited 1,000 6.500 06/01/07 1,124
Florida State Division of Bond Finance Revenue Bonds (u) 500 5.750 07/01/06 540
Florida Water Pollution Control Financing Corp. Revenue
Bonds, weekly demand 500 5.500 01/15/12 554
Hillsborough County Educational Facilities Authority Revenue
Revenue Bonds, semi-annual demand (u) 915 5.750 04/01/18 981
JEA Revenue Bonds 1,500 5.000 10/01/09 1,632
Martin County Health Facilities Authority Revenue Bonds 200 5.250 11/15/08 210
North Miami Florida Revenue Bonds (u) 1,325 5.000 04/01/10 1,439
Orlando Utilities Commission Revenue Bonds 1,225 5.900 10/01/08 1,381
</Table>
Tax Exempt Bond Fund 105
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
State of Florida General Obligation Unlimited, weekly demand
(pre-refunded 7/1/2005) (ae) 500 5.800 07/01/18 531
------------
12,680
------------
Georgia - 3.9%
City of Atlanta Georgia Revenue Bonds (u) 1,000 5.500 11/01/14 1,122
Columbia County Georgia Revenue Bonds (u) 750 6.000 06/01/20 866
Dalton Georgia Revenue Bonds (u) 500 5.750 01/01/09 559
Fulton County Development Authority Revenue Bonds 500 5.750 11/01/11 572
Georgia Municipal Electric Authority Revenue Bonds (u) 850 6.250 01/01/17 1,004
Georgia State Road & Tollway Authority Revenue Bonds 590 5.250 03/01/11 654
Private Colleges & Universities Authority Revenue Bonds 55 6.000 06/01/04 55
Private Colleges & Universities Authority Revenue Bonds 70 6.000 06/01/05 72
State of Georgia General Obligation Unlimited 1,000 5.750 08/01/08 1,121
State of Georgia General Obligation Unlimited 600 6.500 12/01/09 703
State of Georgia General Obligation Unlimited 500 5.250 05/01/11 554
------------
7,282
------------
Hawaii - 1.4%
Honolulu City & County Hawaii General Obligation Unlimited
(u) 1,000 5.000 07/01/14 1,075
Kauai County Hawaii General Obligation Unlimited, weekly
demand (pre-refunded 8/1/2010) (u)(ae) 375 6.250 08/01/19 439
State of Hawaii General Obligation Unlimited (u) 1,000 5.750 01/01/10 1,125
------------
2,639
------------
Illinois - 6.7%
Chicago Metropolitan Water Reclamation District-Greater
Chicago General Obligation Unlimited 2,000 6.500 12/01/07 2,265
City of Chicago Illinois General Obligation Unlimited,
weekly demand (u) 750 6.000 01/01/11 851
City of Chicago Illinois Tax Allocation Zero Coupon (u) 700 0.000 12/01/07 632
Cook County Community Consolidated School District No.
15-Palatine General Obligation Limited Zero Coupon (u) 1,000 0.000 12/01/11 728
Cook County Community Consolidated School District No.
15-Palatine General Obligation Limited Zero Coupon (u) 2,235 0.000 12/01/13 1,454
Illinois Educational Facilities Authority Revenue Bonds 450 3.350 03/01/34 441
Illinois Finance Authority General Obligation Unlimited Zero
Coupon (u) 400 0.000 01/01/10 320
Illinois Finance Authority Revenue Bonds, weekly demand
(pre-refunded 7/1/2006) (ae) 420 7.375 07/01/21 477
Illinois Health Facilities Authority Revenue Bonds 1,000 5.250 09/01/04 1,009
Illinois Health Facilities Authority Revenue Bonds 440 4.000 10/01/04 444
Illinois Health Facilities Authority Revenue Bonds (u) 1,420 5.500 08/15/05 1,489
Illinois Health Facilities Authority Revenue Bonds (u) 240 5.500 08/01/07 262
Lake County Community Unit School District No. 116-Round
Lake General Obligation Unlimited (u) 400 7.600 02/01/14 515
Lake County Forest Preservation District General Obligation
Unlimited Zero Coupon 1,215 0.000 12/01/07 1,096
Macon County & Decatur Illinois Certificate of Participation
(u) 425 6.500 01/01/05 440
------------
12,423
------------
Indiana - 3.3%
Allen County Jail Building Corp. Revenue Bonds 300 5.750 10/01/09 337
City of Indianapolis Indiana Revenue Bonds (u) 450 5.000 10/01/06 482
</Table>
106 Tax Exempt Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
Columbus Multi School Building Corp. Indiana Revenue Bonds
(u) 450 5.000 01/10/10 488
Franklin Township School Building Corp./Marion County
Indiana Revenue Bonds 500 5.750 07/15/06 542
Indiana Health Facility Financing Authority Revenue Bonds 90 4.500 02/15/05 91
Indiana Health Facility Financing Authority Revenue Bonds 560 5.375 12/01/08 617
Indiana Health Facility Financing Authority Revenue Bonds 1,000 5.500 11/15/10 1,094
Indiana Health Facility Financing Authority Revenue Bonds
(pre-refunded 11/1/2007) (E)(ae) 1,290 5.000 11/01/26 1,375
Indiana Housing Finance Authority Revenue Bonds, weekly
demand 375 6.600 07/01/05 378
Indiana University Revenue Bonds, weekly demand 500 5.750 08/01/10 558
Lawrenceburg Indiana Revenue Bonds (E) 225 2.625 10/01/19 223
------------
6,185
------------
Iowa - 0.2%
Iowa Finance Authority Revenue Bonds 290 6.000 07/01/10 323
------------
Kansas - 2.8%
Butler & Sedgwick Counties Unified School District No. 385
Andover General Obligation Unlimited (u) 500 5.000 09/01/09 545
Kansas Development Finance Authority Revenue Bonds 1,000 5.500 11/01/11 1,127
Kansas Development Finance Authority Revenue Bonds (u) 150 5.000 08/01/10 163
Kansas Development Finance Authority Revenue Bonds (u) 1,000 5.000 08/01/13 1,083
Kansas State Department of Transportation Revenue Bonds 500 7.250 03/01/05 524
Kansas State Department of Transportation Revenue Bonds,
weekly demand (E) 700 1.050 09/01/20 700
La Cygne Kansas Revenue Bonds, weekly demand (E) 1,000 3.900 03/01/15 1,009
------------
5,151
------------
Louisiana - 0.7%
Jefferson Parish Hospital Service District No. 2 Revenue
Bonds, annual demand (u) 1,000 5.250 12/01/15 1,055
Louisiana Energy & Power Authority Revenue Bonds (u) 200 5.500 01/01/08 219
------------
1,274
------------
Massachusetts - 4.1%
Commonwealth of Massachusetts General Obligation Limited (u) 1,500 5.000 12/01/07 1,628
Commonwealth of Massachusetts General Obligation Limited,
weekly demand (pre-refunded 2/1/2010) (ae) 430 6.000 02/01/11 495
Commonwealth of Massachusetts General Obligation Limited,
weekly demand (pre-refunded 10/1/2010) (ae) 1,000 5.750 10/01/19 1,132
Commonwealth of Massachusetts General Obligation Unlimited 1,000 5.250 08/01/13 1,086
Massachusetts Bay Transportation Authority Revenue Bonds 500 6.000 03/01/06 537
Massachusetts Bay Transportation Authority Revenue Bonds 1,000 5.250 07/01/10 1,109
Massachusetts Development Finance Agency Revenue Bonds 360 5.750 08/01/05 376
Massachusetts Development Finance Agency Revenue Bonds 185 5.125 12/01/11 193
Massachusetts Health & Educational Facilities Authority
Revenue Bonds 215 4.500 10/01/05 221
Massachusetts Health & Educational Facilities Authority
Revenue Bonds 135 5.000 07/01/07 141
Massachusetts Health & Educational Facilities Authority
Revenue Bonds 145 5.000 07/01/09 154
Massachusetts State Port Authority Revenue Bonds 200 6.000 07/01/06 216
Massachusetts State Port Authority Revenue Bonds 125 5.250 07/01/07 135
Massachusetts State Port Authority Revenue Bonds 150 5.750 07/01/10 168
------------
7,591
------------
</Table>
Tax Exempt Bond Fund 107
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
Michigan - 2.3%
Bishop International Airport Authority Revenue Bonds (u) 750 5.000 12/01/10 788
Ferndale Michigan General Obligation Unlimited, semi-annual
demand (u) 250 5.000 04/01/15 265
Kent Hospital Finance Authority Revenue Bonds 250 5.250 01/15/07 265
Manistee Area Public Schools General Obligation Unlimited
(u) 235 6.000 05/01/08 263
Michigan Municipal Bond Authority Revenue Bonds (u) 665 5.000 05/01/13 718
Michigan Municipal Bond Authority Revenue Bonds, weekly
demand (pre-refunded 10/1/2010) (ae) 500 5.750 10/01/11 576
Michigan State Hospital Finance Authority Revenue Bonds 1,000 5.500 10/01/04 1,018
Michigan State Hospital Finance Authority Revenue Bonds (u) 250 5.000 05/15/07 268
Michigan State Hospital Finance Authority Revenue Bonds,
weekly demand 190 5.500 03/01/13 203
------------
4,364
------------
Minnesota - 0.6%
City of St. Cloud Minnesota Revenue Bonds (u) 340 5.500 05/01/06 362
Minnesota Housing Finance Agency Revenue Bonds, weekly
demand 285 6.700 01/01/18 289
State of Minnesota General Obligation Unlimited 500 6.000 08/01/05 528
------------
1,179
------------
Mississippi - 0.8%
State of Mississippi General Obligation Unlimited 300 5.375 07/01/17 331
State of Mississippi General Obligation Unlimited 1,000 6.000 11/01/08 1,128
------------
1,459
------------
Missouri - 0.4%
Jackson County Reorganized School District No. 7 General
Obligation Unlimited (u) 250 4.375 03/01/11 262
Missouri Housing Development Commission Revenue Bonds 240 4.350 12/01/07 248
Southeast Missouri State University Revenue Bonds (u) 250 5.625 04/01/10 281
------------
791
------------
Montana - 0.6%
Montana State Board of Regents Revenue Bonds (u) 500 4.750 05/15/13 529
Montana State Board of Regents Revenue Bonds (u) 500 4.750 05/15/14 525
------------
1,054
------------
Nebraska - 0.6%
Nebraska Public Power District Revenue Bonds (u) 1,000 5.000 01/01/11 1,085
------------
Nevada - 1.2%
Clark County School District General Obligation Limited,
weekly demand (E)(u) 670 5.250 06/15/10 730
Clark County School District General Obligation Limited,
weekly demand (pre-refunded 6/15/2009) (u)(ae) 330 5.250 06/15/10 366
Henderson Nevada General Obligation Limited (u) 475 6.000 06/01/06 515
Truckee Meadows Water Authority Revenue Bonds (u) 500 5.500 07/01/11 561
------------
2,172
------------
New Hampshire - 0.5%
New Hampshire Health & Education Facilities Authority
Revenue Bonds 325 4.600 10/01/07 338
New Hampshire Health & Education Facilities Authority
Revenue Bonds 225 6.500 07/01/10 228
New Hampshire Health & Education Facilities Authority
Revenue Bonds 350 5.000 07/01/14 358
------------
924
------------
</Table>
108 Tax Exempt Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
New Jersey - 3.6%
City of Trenton New Jersey General Obligation Unlimited (u) 790 4.000 01/15/12 804
New Jersey State Educational Facilities Authority Revenue
Bonds 1,000 5.750 09/01/10 1,131
New Jersey State Housing & Mortgage Finance Agency Revenue
Bonds (u) 1,000 4.300 11/01/07 1,060
New Jersey State Transit Corporation Certificate of
Participation (u) 1,350 5.500 09/15/07 1,482
New Jersey State Turnpike Authority Revenue Bonds (u) 500 5.500 01/01/09 553
New Jersey Transportation Trust Fund Authority Revenue Bonds 1,000 6.000 06/15/06 1,083
New Jersey Transportation Trust Fund Authority Revenue Bonds 500 6.000 06/15/07 557
------------
6,670
------------
New Mexico - 0.9%
New Mexico Finance Authority Revenue Bonds, weekly demand
(u) 500 5.000 04/01/15 528
New Mexico State Highway Commission Revenue Bonds 570 5.500 06/15/06 612
Rio Rancho New Mexico Revenue Bonds (u) 500 8.000 05/15/04 501
------------
1,641
------------
New York - 7.9%
City of New York New York General Obligation Unlimited 1,000 5.500 08/15/08 1,091
City of New York New York General Obligation Unlimited 250 5.250 12/01/09 271
City of New York New York General Obligation Unlimited 1,000 5.500 08/01/09 1,094
City of New York New York General Obligation Unlimited 730 5.000 06/01/10 778
City of New York New York General Obligation Unlimited 200 5.000 08/01/14 208
City of New York New York General Obligation Unlimited,
weekly demand 130 5.000 08/01/10 139
City of New York New York General Obligation Unlimited,
weekly demand 125 5.750 08/01/11 137
City of New York New York General Obligation Unlimited,
weekly demand 235 5.250 11/01/12 252
Long Island Power Authority Revenue Bonds 250 5.000 06/01/09 267
Metropolitan Transportation Authority Revenue Bonds 500 5.300 07/01/05 523
New York City Municipal Water Finance Authority Revenue
Bonds 1,500 5.250 06/15/12 1,650
New York State Dormitory Authority Revenue Bonds 375 6.000 08/15/04 380
New York State Dormitory Authority Revenue Bonds (u) 1,900 7.000 07/01/09 2,103
New York State Dormitory Authority Revenue Bonds (E)(u) 650 5.250 11/15/29 704
New York State Environmental Facilities Corp. Revenue Bonds
(u) 1,000 6.000 06/15/12 1,158
New York State Urban Development Corp. Revenue Bonds 225 5.125 07/01/15 235
New York State Urban Development Corp. Revenue Bonds 500 5.250 01/01/21 541
Niagara County Industrial Development Agency Revenue Bonds
(E) 350 5.550 11/15/24 361
Suffolk County Judicial Facilities Agency Revenue Bonds (u) 500 5.500 04/15/09 555
Tobacco Settlement Financing Authority Revenue Bonds, weekly
demand 1,000 5.500 06/01/10 1,032
Tobacco Settlement Financing Authority Revenue Bonds, weekly
demand 300 5.250 06/01/13 314
TSASC Inc. Revenue Bonds 1,000 5.500 07/15/13 1,003
------------
14,796
------------
North Carolina - 1.2%
North Carolina Eastern Municipal Power Agency Revenue Bonds 250 5.500 01/01/10 268
North Carolina Municipal Power Agency No. 1 Catawba Revenue
Bonds 200 5.500 01/01/13 215
North Carolina Municipal Power Agency No. 1 Catawba Revenue
Bonds, semi-annual demand (u) 1,500 6.000 01/01/12 1,720
------------
2,203
------------
Ohio - 3.5%
Akron Bath Copley Joint Township Hospital District Revenue
Bonds (u) 520 4.125 11/15/13 526
Columbus Ohio General Obligation Limited 585 5.250 01/01/11 646
County of Hamilton Ohio Revenue Bonds (u) 250 6.000 12/01/05 267
Erie County Ohio Revenue Bonds 275 4.000 08/15/04 277
</Table>
Tax Exempt Bond Fund 109
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
Jackson Local School District Stark & Summit Counties
General Obligation Unlimited Zero Coupon (u) 500 0.000 12/01/07 455
Ohio State Building Authority Revenue Bonds 575 5.750 04/01/08 639
Ohio State Building Authority Revenue Bonds (u) 500 6.000 04/01/06 538
State of Ohio General Obligation Unlimited 300 5.250 06/15/04 301
State of Ohio General Obligation Unlimited 550 5.500 05/01/08 608
State of Ohio General Obligation Unlimited 1,500 5.000 05/01/09 1,636
Steubenville Ohio Revenue Bonds 280 5.700 10/01/10 306
University of Cincinnati Revenue Bonds (u) 300 5.500 06/01/08 332
------------
6,531
------------
Oklahoma - 1.0%
Grand River Dam Authority Revenue Bonds (u) 250 5.000 06/01/12 272
Oklahoma Development Finance Authority Revenue Bonds 275 5.000 10/01/13 281
Oklahoma Housing Finance Agency Revenue Bonds, weekly demand 195 7.600 09/01/15 209
Oklahoma Industries Authority Revenue Bonds, Series B, daily
demand (E)(u) 1,200 1.100 08/15/29 1,200
------------
1,962
------------
Oregon - 0.7%
Clackamas County School Distrist No. 62C Oregon City General
Obligation Unlimited, weekly demand (pre-refunded
6/15/2010) (ae) 435 6.000 06/15/11 502
Oregon State Department of Administrative Services Revenue
Bonds, weekly demand (u) 750 5.250 04/01/10 824
------------
1,326
------------
Pennsylvania - 2.1%
Allegheny County Port Authority Revenue Bonds, weekly demand
(u) 250 5.500 03/01/17 271
City of Philadelphia Pennsylvania Revenue Bonds (u) 500 6.750 08/01/05 532
City of Philadelphia Pennsylvania Revenue Bonds (u) 500 5.500 07/01/07 546
City of Philadelphia Pennsylvania Revenue Bonds (u) 750 5.250 08/01/13 820
Erie County Industrial Development Authority Revenue Bonds 180 5.300 04/01/12 194
Norwin School District General Obligation Unlimited, weekly
demand (pre-refunded 4/1/2010) (u)(ae) 250 6.000 04/01/20 288
Owen J. Roberts School District General Obligation Unlimited
(u) 500 5.000 08/15/12 541
Sayre Health Care Facilities Authority Revenue Bonds, weekly
demand 750 5.300 12/01/12 782
------------
3,974
------------
Puerto Rico - 0.1%
Commonwealth of Puerto Rico General Obligation Unlimited (E) 200 6.000 07/01/13 222
------------
Rhode Island - 0.1%
Rhode Island Health & Educational Building Corp. Revenue
Bonds 150 5.750 08/15/10 159
------------
South Carolina - 1.4%
Richland-Lexington Airport District Revenue Bonds (u) 250 5.000 01/01/06 263
Richland-Lexington Airport District Revenue Bonds (u) 500 5.000 01/01/09 542
Richland-Lexington Airport District Revenue Bonds (u) 440 5.000 01/01/10 476
Rock Hill South Carolina Revenue Bonds (u) 250 5.000 01/01/10 272
South Carolina State Public Service Authority Revenue Bonds,
weekly demand (u) 375 5.500 01/01/11 415
Spartanburg County South Carolina Revenue Bonds (u) 500 6.000 04/15/07 551
------------
2,519
------------
</Table>
110 Tax Exempt Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
South Dakota - 0.9%
Sioux Falls South Dakota Revenue Bonds (u) 250 5.500 11/15/10 279
South Dakota State Building Authority Revenue Bonds (u) 1,330 5.000 09/01/12 1,435
------------
1,714
------------
Tennessee - 0.9%
County of Williamson Tennessee General Obligation Unlimited 500 6.000 03/01/06 538
Metropolitan Government Nashville & Davidson County Health &
Educational Facility Board Revenue Bonds 920 5.000 11/01/06 989
Metropolitan Government Nashville & Davidson County
Tennessee Revenue Bonds (u) 180 5.250 01/01/13 197
------------
1,724
------------
Texas - 9.2%
Alvin Independent School District General Obligation
Unlimited 515 6.750 08/15/09 605
Alvin Independent School District General Obligation
Unlimited 545 6.750 08/15/10 648
Brazos River Authority Revenue Bonds (u) 500 3.625 04/01/12 480
Brazos River Authority Revenue Bonds (E) 220 5.400 10/01/29 231
Brazos River Harbor Navigation District Revenue Bonds (E) 220 4.750 05/15/33 227
City of Houston Texas Revenue Bonds (u) 500 6.000 07/01/04 504
City of San Antonio Texas Revenue Bonds 1,000 5.250 02/01/13 1,093
County of Harris Texas General Obligation Limited 1,435 5.250 08/15/09 1,584
County of Harris Texas Revenue Bonds, annual demand (u) 1,000 5.000 08/15/21 1,078
Dallas Independent School District General Obligation
Unlimited 2,100 5.000 02/15/14 2,259
El Paso Independent School District General Obligation
Unlimited 1,000 5.375 08/15/09 1,108
Fort Bend County Industrial Development Corp. Revenue Bonds
(E) 250 3.000 10/01/11 255
North Central Texas Health Facility Development Corp.
Revenue Bonds (u) 1,050 5.500 04/01/05 1,090
Port of Corpus Christi Authority of Nueces County Texas
Revenue Bonds, weekly demand 385 5.350 11/01/10 395
Red River Texas Revenue Bonds, weekly demand (E) 250 2.750 03/01/31 242
Round Rock Independent School District General Obligation
Unlimited 1,000 6.500 08/01/10 1,173
Round Rock Independent School District General Obligation
Unlimited 430 5.375 08/01/12 475
Round Rock Independent School District General Obligation
Unlimited, weekly demand 750 6.500 08/01/11 876
Texas A & M University Revenue Bonds (E) 1,000 5.000 07/01/08 1,087
Titus County Hospital District General Obligation Limited
(u) 1,000 5.000 08/15/13 1,071
University of Texas Permanent University Fund Revenue Bonds 420 5.000 07/01/09 457
Waco Health Facilities Development Corp. Revenue Bonds 250 5.200 11/15/06 268
------------
17,206
------------
Utah - 1.0%
County of Utah Revenue Bonds 200 5.050 11/01/17 215
Intermountain Power Agency Revenue Bonds (u) 1,400 6.500 07/01/10 1,632
------------
1,847
------------
Virginia - 1.8%
County of Fairfax Virginia Certificate of Participation,
weekly demand 200 5.750 04/15/13 221
Hampton Virginia Revenue Bonds 240 5.000 01/01/14 252
Middle River Regional Jail Authority Revenue Bonds, weekly
demand (u) 1,015 5.000 05/15/15 1,082
Peninsula Ports Authority Revenue Bonds (E) 225 3.300 10/01/33 225
Prince William County Service Authority Revenue Bonds (u) 555 5.500 07/01/05 581
Virginia Commonwealth Transportation Board Revenue Bonds,
weekly demand 360 5.375 05/15/12 397
</Table>
Tax Exempt Bond Fund 111
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL DATE MARKET
AMOUNT ($) RATE OF VALUE
OR SHARES % MATURITY $
- --------------------------------------------------------------------------------------------------------------------------
Virginia Public Building Authority Revenue Bonds 500 5.750 08/01/07 553
------------
3,311
------------
Washington - 1.6%
Clallam County Public Utility District No. 1 Revenue Bonds
(u) 385 5.000 01/01/08 415
Kitsap County Washington General Obligation Limited, weekly
demand (u) 775 5.750 07/01/14 869
State of Washington General Obligation Unlimited 500 6.500 07/01/04 504
Washington Public Power Supply System Revenue Bonds 375 7.000 07/01/08 440
Washington Public Power Supply System Revenue Bonds 625 7.000 07/01/08 724
------------
2,952
------------
West Virginia - 0.1%
West Virginia State Hospial Finance Authority Revenue Bonds 120 6.500 09/01/05 128
West Virginia State Hospial Finance Authority Revenue Bonds 30 6.500 09/01/05 32
------------
160
------------
Wisconsin - 1.9%
City of Madison Wisconsin Revenue Bonds 280 4.875 10/01/27 293
Oconto Falls Public School District General Obligation
Unlimited, weekly demand (pre-refunded 3/1/2011) (u)(ae) 750 5.750 03/01/13 854
State of Wisconsin General Obligation Unlimited 625 5.125 11/01/11 683
Wisconsin Housing & Economic Development Authority Revenue
Bonds, weekly demand 50 6.850 11/01/12 50
Wisconsin State Health & Educational Facilities Authority
Revenue Bonds 70 5.000 07/01/06 73
Wisconsin State Health & Educational Facilities Authority
Revenue Bonds (u) 1,425 5.000 12/01/10 1,543
------------
3,496
------------
TOTAL MUNICIPAL BONDS
(cost $171,869) 175,859
------------
SHORT-TERM INVESTMENTS - 4.0%
Frank Russell Tax Free Money Market Fund 7,395,984 7,396
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,396) 7,396
------------
TOTAL INVESTMENTS - 98.4%
(identified cost $179,265) 183,255
OTHER ASSETS AND LIABILITIES, NET - 1.6% 2,989
------------
NET ASSETS - 100.0% 186,244
============
</Table>
See accompanying notes which are an integral part of the financial statements.
112 Tax Exempt Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
- ----------------------------------------------------------------------------
QUALITY RATINGS AS A % OF VALUE (Unaudited)
AAA 57%
AA 25
A 9
BBB 9
---
100%
===
ECONOMIC SECTOR EMPHASIS AS A % OF VALUE (Unaudited)
General Obligation 36%
Healthcare Revenue 15
Utility Revenue 15
Other 12
State & Community Lease 5
Universities 5
Cash Equivalents 4
Housing Revenue 4
Pollution Control Revenue 2
Refunded & Special Obligation 2
---
100%
===
</Table>
See accompanying notes which are an integral part of the financial statements.
Tax Exempt Bond Fund 113
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED LARGE CAP FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 94.2%
Auto and Transportation - 2.9%
Burlington Northern Santa Fe
Corp. 4,800 157
CSX Corp. 3,100 95
Delphi Corp. 65,900 672
FedEx Corp. 300 22
General Motors Corp. 1,200 57
Harley-Davidson, Inc. 130,800 7,367
Lear Corp. 17,500 1,061
Norfolk Southern Corp. 5,100 121
Union Pacific Corp. 3,300 194
United Parcel Service, Inc. Class
B 8,600 603
------------
10,349
------------
Consumer Discretionary - 15.6%
Abercrombie & Fitch Co. Class A 17,200 541
Accenture, Ltd. Class A (AE) 22,800 542
Apollo Group, Inc. Class A (AE) 50,400 4,580
Bed Bath & Beyond, Inc. (AE) 44,200 1,641
Black & Decker Corp. 1,300 75
Cintas Corp. 1,200 54
eBay, Inc. (AE) 97,000 7,743
Electronic Arts, Inc. (AE) 3,400 172
EW Scripps Co. Class A 4,700 496
Fox Entertainment Group, Inc.
Class A (AE) 17,200 479
Gannett Co., Inc. 9,700 841
Gap, Inc. (The) 19,000 418
Gillette Co. (The) 14,400 589
Home Depot, Inc. 147,500 5,191
Jones Apparel Group, Inc. 38,400 1,405
Kohl's Corp. (AE) 43,800 1,830
Krispy Kreme Doughnuts, Inc. (AE) 22,100 718
Leggett & Platt, Inc. 60,600 1,370
Lowe's Cos., Inc. 77,000 4,009
Ltd Brands 38,862 802
Mattel, Inc. 30,000 509
McDonald's Corp. 24,300 662
Newell Rubbermaid, Inc. 36,100 853
Nike, Inc. Class B 12,800 921
Starbucks Corp. (AE) 91,700 3,563
Target Corp. 22,900 993
Tiffany & Co. 28,800 1,123
Time Warner, Inc. 13,775 232
Tribune Co. 36,360 1,741
Viacom, Inc. Class B 62,400 2,412
Wal-Mart Stores, Inc. 104,400 5,951
Walt Disney Co. 35,800 824
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Waste Management, Inc. 8,600 244
Weight Watchers International,
Inc. (AE) 25,200 983
Wendy's International, Inc. 3,100 121
Yum! Brands, Inc. (AE) 9,200 357
------------
54,985
------------
Consumer Staples - 8.0%
Altria Group, Inc. 42,300 2,343
Clorox Co. 13,600 704
Coca-Cola Co. (The) 127,700 6,458
CVS Corp. 28,100 1,086
Diageo PLC - ADR 18,300 997
HJ Heinz Co. 14,000 535
Kraft Foods, Inc. Class A 25,300 833
PepsiCo, Inc. 53,600 2,921
Procter & Gamble Co. 67,430 7,131
Sara Lee Corp. 105,700 2,440
Systemco Corp. 8,800 337
Walgreen Co. 43,100 1,486
WM Wrigley Jr Co. 19,300 1,191
------------
28,462
------------
Financial Services - 19.9%
Aflac, Inc. 6,300 266
Allstate Corp. (The) 41,500 1,905
AMBAC Financial Group, Inc. 27,250 1,880
American Express Co. 19,700 964
American International Group,
Inc. 51,200 3,668
Automatic Data Processing, Inc. 67,200 2,944
Bank of America Corp. 55,667 4,481
Bank of New York Co., Inc. (The) 72,500 2,113
Capital One Financial Corp. 65,200 4,273
CarrAmerica Realty Corp. (o) 4,900 140
Cigna Corp. 18,300 1,181
CIT Group, Inc. 17,900 615
Citigroup, Inc. 201,622 9,696
City National Corp. 600 37
Compass Bancshares, Inc. 6,900 265
Countrywide Financial Corp. 30,000 1,779
E*Trade Financial Corp. (AE) 21,300 242
Equity Office Properties Trust
(o) 100 3
Fannie Mae 4,900 337
Fifth Third Bancorp 34,600 1,857
First Data Corp. 81,400 3,695
Freddie Mac 23,200 1,355
Goldman Sachs Group, Inc. 9,700 936
Greenpoint Financial Corp. 35,700 1,392
Hartford Financial Services
Group, Inc. 3,100 189
</Table>
114 Tax-Managed Large Cap Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED LARGE CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Hibernia Corp. Class A 6,600 144
JP Morgan Chase & Co. 34,200 1,286
Marsh & McLennan Cos., Inc. 34,900 1,574
MBIA, Inc. 13,300 783
MBNA Corp. 12,800 312
Merrill Lynch & Co., Inc. 3,600 195
Metlife, Inc. 8,500 293
Moody's Corp. 23,300 1,503
Morgan Stanley 51,200 2,631
North Fork BanCorp., Inc. (z) 3,800 141
Piper Jaffray Cos. (AE) 765 37
PNC Financial Services Group,
Inc. 30,900 1,641
Prologis (o) 5,900 174
Rouse Co. (The) (o) 4,300 186
SouthTrust Corp. 12,500 389
St Paul Travelers Cos., Inc.
(The) 15,650 636
State Street Corp. 26,500 1,293
Sungard Data Systems, Inc. (AE) 12,700 331
SunTrust Banks, Inc. 13,200 898
Synovus Financial Corp. 54,400 1,299
Torchmark Corp. 11,300 588
US Bancorp 102,570 2,630
Wachovia Corp. 25,000 1,144
Wells Fargo & Co. 60,700 3,427
XL Capital, Ltd. Class A 10,300 786
------------
70,534
------------
Health Care - 13.6%
Abbott Laboratories 7,200 317
Aetna, Inc. 12,500 1,034
Allergan, Inc. 25,400 2,236
AmerisourceBergen Corp. 400 23
Amgen, Inc. 60,800 3,421
Anthem, Inc. (AE)(z) 8,100 717
Biomet, Inc. 3,600 142
Boston Scientific Corp. (AE) 1,900 78
Eli Lilly & Co. 42,400 3,130
Forest Laboratories, Inc. (AE) 13,800 890
Genentech, Inc. (AE) 38,700 4,752
Genzyme Corp. (AE) 27,000 1,176
Gilead Sciences, Inc. (AE) 2,400 146
Guidant Corp. 31,600 1,991
HCA, Inc. 8,100 329
Human Genome Sciences, Inc. (AE) 4,200 51
Johnson & Johnson 143,246 7,740
Medtronic, Inc. 56,200 2,836
Merck & Co., Inc. 69,000 3,243
Oxford Health Plans 10,800 588
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Pfizer, Inc. 238,500 8,529
Sepracor, Inc. (AE)(z) 14,400 688
Stryker Corp. 19,000 1,880
Wyeth 60,700 2,311
------------
48,248
------------
Integrated Oils - 4.7%
BP PLC - ADR 25,350 1,341
ChevronTexaco Corp. 48,000 4,392
ConocoPhillips 48,652 3,469
Exxon Mobil Corp. 150,196 6,391
Unocal Corp. 30,500 1,099
------------
16,692
------------
Materials and Processing - 3.0%
Air Products & Chemicals, Inc. 14,500 722
Alcan, Inc. 15,200 611
Alcoa, Inc. 19,456 598
Archer-Daniels-Midland Co. 9,400 165
Avery Dennison Corp. 23,800 1,529
Bowater, Inc. 7,400 310
Dow Chemical Co. (The) 22,400 889
Eastman Chemical Co. 9,300 396
EI Du Pont de Nemours & Co. 34,800 1,495
Georgia-Pacific Corp. 2,900 102
Lyondell Chemical Co. 27,300 446
Masco Corp. 17,500 490
Monsanto Co. 12,809 443
PPG Industries, Inc. 12,400 735
Temple-Inland, Inc. 5,800 358
United States Steel Corp. 43,000 1,231
------------
10,520
------------
Miscellaneous - 4.7%
3M Co. 1,600 138
Fortune Brands, Inc. 2,000 153
General Electric Co. 318,500 9,539
Honeywell International, Inc. 34,200 1,183
Johnson Controls, Inc. 12,200 669
SPX Corp. 1,000 44
Textron, Inc. 30,000 1,655
Tyco International, Ltd. 126,534 3,473
------------
16,854
------------
Other Energy - 0.7%
Anadarko Petroleum Corp. 22,900 1,227
Devon Energy Corp. 6,800 416
Dynegy, Inc. Class A (z) 11,100 44
</Table>
Tax-Managed Large Cap Fund 115
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED LARGE CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Pride International, Inc. (AE) 3,600 61
Rowan Cos., Inc. 10,700 239
Valero Energy Corp. 1,900 121
Williams Cos., Inc. 50,200 517
------------
2,625
------------
Producer Durables - 3.8%
Boeing Co. (The) 9,400 401
Cooper Industries, Ltd. Class A 14,200 780
Emerson Electric Co. 41,400 2,493
Illinois Tool Works, Inc. 17,400 1,500
Ingersoll-Rand Co. Class A 11,700 755
Koninklijke Philips Electronics
NV 43,500 1,166
Lexmark International, Inc. (AE) 2,200 199
Lockheed Martin Corp. 38,700 1,846
Northrop Grumman Corp. 17,700 1,757
Novellus Systems, Inc. (AE) 6,000 174
Pitney Bowes, Inc. 12,000 525
United Technologies Corp. 21,300 1,837
------------
13,433
------------
Technology - 12.3%
Altera Corp. (AE) 57,300 1,147
Analog Devices, Inc. 5,800 247
Cisco Systems, Inc. (AE) 281,400 5,873
Computer Sciences Corp. 14,000 573
Corning, Inc. 18,000 199
Dell, Inc. (AE) 156,100 5,418
EMC Corp. 8,200 92
Hewlett-Packard Co. 87,700 1,728
Intel Corp. 107,700 2,771
International Business Machines
Corp. 50,900 4,488
Juniper Networks, Inc. (AE)(z) 11,300 247
Linear Technology Corp. 66,800 2,380
Maxim Integrated Products 3,600 166
Mercury Interactive Corp. (AE) 1,200 51
Micron Technology, Inc. 21,300 290
Microsoft Corp. 365,500 9,492
NCR Corp. (AE) 13,200 590
Oracle Corp. (AE) 31,200 350
Qualcomm, Inc. 57,700 3,604
Raytheon Co. 13,200 426
Red Hat, Inc. (AE) 73,800 1,676
Sun MicroSystems, Inc. (AE) 28,900 113
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Tellabs, Inc. (AE) 11,200 98
Xilinx, Inc. 45,800 1,540
------------
43,559
------------
Utilities - 5.0%
AT&T Wireless Services, Inc. (AE) 46,400 641
BellSouth Corp. 6,100 157
Cinergy Corp. 28,300 1,074
Comcast Corp. Class A 900 26
Comcast Corp. Special Class A 11,533 347
Consolidated Edison, Inc. 500 21
Constellation Energy Group, Inc. 1,100 42
Edison International 24,300 569
Entergy Corp. 21,700 1,185
FirstEnergy Corp. 2,500 98
Nextel Communications, Inc. Class
A (AE) 15,400 367
PG&E Corp. 60,000 1,651
Pinnacle West Capital Corp. 22,300 871
PPL Corp. 28,800 1,234
Puget Energy, Inc. 36,600 804
SBC Communications, Inc. 76,700 1,910
SCANA Corp. 34,690 1,193
Sprint Corp.-FON Group 7,700 138
TXU Corp. 4,800 164
Verizon Communications, Inc. 111,018 4,190
Wisconsin Energy Corp. 21,700 681
Xcel Energy, Inc. 17,300 288
------------
17,651
------------
TOTAL COMMON STOCKS
(cost $264,527) 333,912
------------
PREFERRED STOCKS - 0.5%
Consumer Discretionary - 0.5%
News Corp., Ltd. - ADR 43,900 1,482
------------
TOTAL PREFERRED STOCKS
(cost $1,438) 1,482
------------
SHORT-TERM INVESTMENTS - 5.5%
Frank Russell Investment Company
Money Market Fund 15,884,000 15,884
Frank Russell Investment Company
Money Market Fund (N) 928,607 929
State Street Securities Lending
Quality Trust (N) 999,881 1,000
</Table>
116 Tax-Managed Large Cap Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED LARGE CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
United States Treasury Bill
(y)(s)
0.930% due 06/10/04 1,500 1,498
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $19,311) 19,311
------------
TOTAL INVESTMENTS - 100.2%
(identified cost $285,276) 354,705
OTHER ASSETS AND LIABILITIES
NET - (0.2%) (577)
------------
NET ASSETS - 100.0% 354,128
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
S&P 500 E-Mini Index
expiration date 06/04 (113) 6,249 (118)
S&P 500 Index
expiration date 06/04 (43) 11,891 (123)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (241)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
Tax-Managed Large Cap Fund 117
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 95.2%
Auto and Transportation - 4.7%
Aftermarket Technology Corp. (AE) 7,600 115
ArvinMeritor, Inc. 14,100 292
Autoliv, Inc. 4,800 204
Bandag, Inc. 3,000 131
CNF, Inc. 6,300 230
Genesee & Wyoming, Inc. Class A
(AE) 32,450 748
JB Hunt Transport Services, Inc. 5,700 180
Keystone Automotive Industries,
Inc. (AE) 5,400 140
Kirby Corp. 5,700 197
Lear Corp. 3,300 200
Marten Transport, Ltd. (AE) 3,500 61
Modine Manufacturing Co. 3,000 83
Old Dominion Freight Line (AE) 1,300 48
Oshkosh Truck Corp. 8,900 456
Overnite Corp. 22,100 530
Overseas Shipholding Group 5,200 170
Pacer International, Inc. (AE) 13,300 250
Pinnacle Airlines Corp. (AE) 6,400 91
Quantum Fuel Systems Technologies
Worldwide, Inc. (AE) 37,500 228
RailAmerica, Inc. 20,500 251
Skywest, Inc. 12,400 226
Thor Industries, Inc. 8,400 234
USF Corp. 1,900 63
Wabash National Corp. 9,100 231
Winnebago Industries 5,600 161
Yellow Roadway Corp. 3,386 115
------------
5,635
------------
Consumer Discretionary - 23.7%
Aaron Rents, Inc. 7,700 223
Activision, Inc. (AE) 31,400 473
Advance Auto Parts (AE) 5,400 233
Aeropostale, Inc. (AE) 13,500 297
AMC Entertainment, Inc. 9,300 148
America's Car Mart, Inc. (AE) 5,900 153
AnnTaylor Stores Corp. (AE) 5,900 239
Applebees International, Inc. 6,300 244
aQuantive, Inc. (AE)(z) 15,900 160
Aramark Corp. Class B 9,000 257
Aztar Corp. (AE) 9,200 238
Barnes & Noble, Inc. (AE) 8,400 251
Big 5 Sporting Goods Corp. (AE) 22,700 563
Bob Evans Farms, Inc. 4,600 141
Boca Resorts, Inc. Class A (AE) 11,800 207
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Boyd Gaming Corp. 14,400 338
Bright Horizons Family Solutions,
Inc. (AE) 3,700 164
Brookstone, Inc. (AE) 22,500 448
Buffalo Wild Wings, Inc. (AE)(z) 8,100 269
Career Education Corp. (AE) 7,200 461
CEC Entertainment, Inc. (AE) 9,300 318
Central European Distribution
Corp. (AE)(z) 7,400 227
Choice Hotels International, Inc. 3,700 166
Cole National Corp. Class A
(AE)(z) 3,800 97
Corinthian Colleges, Inc. (AE) 9,600 294
Corrections Corp. of America 8,900 324
Deckers Outdoor Corp. (AE)(z) 4,400 118
Education Management Corp. (AE) 5,600 199
Electronics Boutique Holdings
Corp. (AE)(z) 3,700 100
Estee Lauder Cos., Inc. (The)
Class A 13,800 631
Fisher Scientific International 8,800 515
Fox Entertainment Group, Inc.
Class A (AE) 16,900 471
Furniture Brands International,
Inc. 4,400 124
GameStop Corp. Class A (AE) 19,200 338
Gaylord Entertainment Co. 17,300 542
Gevity HR, Inc. 4,300 95
GTECH Holdings Corp. 12,700 774
Harman International Industries,
Inc. 3,300 250
Hearst-Argyle Television, Inc.
Class C 9,400 247
Hibbett Sporting Goods, Inc. (AE) 1,800 44
Ihop Corp. 3,000 111
Insight Enterprises, Inc. (AE) 8,700 146
Jack in the Box, Inc. (AE) 9,000 244
Jarden Corp. (AE) 15,750 586
JOS A Bank Clothiers, Inc.
(AE)(z) 2,400 76
Kellwood Co. 3,400 134
Landry's Restaurants, Inc. 8,000 268
Liberty Media Corp. Class A (AE) 277,924 3,039
LKQ Corp. (AE) 7,100 126
Mandalay Resort Group (z) 12,100 695
Manpower, Inc. 10,300 483
Marvel Enterprises, Inc. (AE)(z) 12,000 228
MGM Mirage 5,500 252
Monro Muffler, Inc. (AE) 6,000 143
MPS Group, Inc. (AE) 16,100 176
MSC Industrial Direct Co. Class A 16,600 476
Navigant Consulting, Inc. (AE) 10,100 177
Neiman-Marcus Group, Inc. Class A 4,400 214
Nordstrom, Inc. 1,800 64
Outback Steakhouse, Inc. 5,100 224
</Table>
118 Tax-Managed Mid & Small Cap Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
PDI, Inc. (AE) 3,100 79
Petco Animal Supplies, Inc. (AE) 6,200 182
Petsmart, Inc. 16,900 468
Pinnacle Entertainment, Inc. 8,700 99
Polo Ralph Lauren Corp. 13,100 453
RC2 Corp. (AE) 8,800 239
Regal Entertainment Group Class A
(z) 5,800 126
Regis Corp. 6,700 291
Rent-A-Center, Inc. Class C (AE) 22,200 650
Republic Services, Inc. 18,000 519
Ross Stores, Inc. 15,600 476
Roto-Rooter, Inc. 4,400 213
Ruby Tuesday, Inc. 6,300 188
Scientific Games Corp. Class A
(AE) 6,700 121
Sharper Image Corp. (AE)(z) 4,000 122
Shuffle Master, Inc. (AE)(z) 9,300 305
Source Interlink Cos., Inc. (AE) 8,100 87
Sourcecorp (AE) 6,800 175
Sports Authority, Inc. (The) (AE) 13,996 537
Stage Stores, Inc. (AE) 6,500 255
Station Casinos, Inc. 25,100 1,132
Steak N Shake Co. (The) 9,500 179
Steven Madden, Ltd. (AE) 3,800 73
Strayer Education, Inc. 2,700 337
Tele2 AB Class A - ADR (AE)(z) 6,500 175
Thomas Nelson, Inc. 13,200 345
United Auto Group, Inc. 2,900 89
United Natural Foods, Inc. (AE) 3,400 85
Universal Technical Institute,
Inc. (AE) 4,900 218
Valueclick, Inc. (AE) 32,300 335
Ventiv Health, Inc. (AE) 10,000 141
WESCO International, Inc. (AE) 13,700 196
Yankee Candle Co., Inc. (AE) 5,300 144
Zale Corp. (AE) 1,900 106
------------
28,383
------------
Consumer Staples - 1.4%
Chiquita Brands International,
Inc. (AE) 24,300 438
Dean Foods Co. (AE) 5,200 175
Del Monte Foods Co. (AE) 19,000 210
NBTY, Inc. (AE) 3,300 123
PepsiAmericas, Inc. 9,400 188
Ruddick Corp. 5,000 102
Tyson Foods, Inc. Class A 24,400 457
------------
1,693
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Financial Services - 17.6%
Alleghany Corp. 208 55
American Capital Strategies, Ltd. 14,600 383
American Financial Group, Inc. 8,300 255
AmerUs Group Co. 6,800 262
Anthracite Capital, Inc. (o) 7,300 77
Ashford Hospitality Trust, Inc.
(AE)(o) 17,900 150
Asta Funding, Inc. (z) 19,300 309
Astoria Financial Corp. 9,300 320
Bank of the Ozarks, Inc. (z) 9,400 224
BankAtlantic Bancorp, Inc. Class
A 8,100 127
Banknorth Group, Inc. 13,300 407
Capital Automotive REIT (o) 1,900 53
Capital Trust Class A (z) 4,600 104
Cash America International, Inc. 19,600 419
Certegy, Inc. 5,600 200
CIT Group, Inc. 23,600 811
CNA Financial Corp. (AE) 6,600 181
CNA Surety Corp. 8,800 96
Commerce Bancshares, Inc. 9,492 426
Compass Bancshares, Inc. 13,400 514
Credit Acceptance Corp. (AE) 10,100 145
Cullen/Frost Bankers, Inc. 4,700 204
Delphi Financial Group Class A 8,600 345
Doral Financial Corp. 10,200 334
E*Trade Financial Corp. (AE) 29,300 333
Eaton Vance Corp. 8,200 299
Encore Capital Group, Inc.
(AE)(z) 11,000 176
Fidelity National Financial, Inc. 14,998 549
First American Corp. 11,700 317
First Bancorp Puerto Rico 4,600 170
Flagstar Bancorp, Inc. 1,600 33
Friedman Billings Ramsey Group,
Inc. Class A 9,755 180
Glacier Bancorp, Inc. 6,200 190
HCC Insurance Holdings, Inc. 1,800 58
Hibernia Corp. Class A 6,500 142
Host Marriott Corp. (o) 13,300 158
IMPAC Mortgage Holdings, Inc. (o) 8,300 156
IndyMac Bancorp, Inc. 10,200 328
Investment Technology Group, Inc. 15,500 222
Investors Financial Services
Corp. (z) 5,200 202
Jefferies Group, Inc. 8,800 300
Legg Mason, Inc. 8,900 819
Leucadia National Corp. 4,000 197
Marlin Business Services, Inc.
(AE) 12,000 204
MB Financial Corp. 2,200 78
Mercury General Corp. 3,100 158
Mills Corp. (The) (o) 6,200 252
</Table>
Tax-Managed Mid & Small Cap Fund 119
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Nationwide Financial Services 8,500 292
Navigators Group, Inc. (AE) 2,700 70
NCO Group, Inc. (AE) 11,200 254
Netbank, Inc. 14,600 158
New Century Financial Corp. (z) 9,500 403
New York Community Bancorp, Inc.
(z) 17,010 426
Novastar Financial, Inc. (o)(z) 2,300 75
Odyssey Re Holdings Corp. (z) 2,500 59
Ohio Casualty Corp. 6,800 133
Old Republic International Corp. 21,400 497
Penn-America Group, Inc. Class C 14,400 176
Philadelphia Consolidated Holding
Co. (AE) 1,900 110
PMI Group, Inc. (The) 5,700 245
Popular, Inc. 24,000 1,008
PrivateBancorp, Inc. 600 33
Protective Life Corp. 7,000 252
Provident Bankshares Corp. 3,255 92
R&G Financial Corp. Class B 4,200 130
Radian Group, Inc. 7,780 362
Raymond James Financial, Inc. 12,150 305
Reinsurance Group Of America 8,200 318
RLI Corp. 2,300 80
Safety Insurance Group, Inc. (z) 2,800 61
SEI Investments Co. 7,400 218
Selective Insurance Group 2,700 97
Sky Financial Group, Inc. 10,000 239
Sovereign Bancorp, Inc. 32,900 657
State Auto Financial Corp. 2,500 70
Sterling Financial Corp. (AE) 6,300 208
Transatlantic Holdings, Inc. 1,500 134
Umpqua Holdings Corp. 3,900 74
UnionBanCal Corp. 4,900 262
United PanAm Financial Corp. (AE) 9,100 131
United Rentals, Inc. (AE) 7,800 134
Universal American Financial
Corp. (AE) 10,000 110
USI Holdings Corp. (AE)(z) 17,300 262
Vornado Realty Trust (o) 7,900 399
Washington Mutual, Inc. 2005
Warrants (AE) 9,000 1
Webster Financial Corp. 6,600 287
World Acceptance Corp. (AE) 10,403 159
WR Berkley Corp. 4,000 162
------------
21,065
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Health Care - 12.3%
Advanced Medical Optics, Inc.
(AE)(z) 3,700 117
AmediSystem, Inc. (AE)(z) 7,300 220
American Healthways, Inc. (AE)(z) 9,800 237
American Medical Security Group,
Inc. 6,300 161
Andrx Corp. (AE) 13,500 309
Apogent Technologies, Inc. (AE) 7,700 250
Arthrocare Corp. (AE)(z) 5,600 132
Beckman Coulter, Inc. 8,200 458
Candela Corp. (AE) 9,800 104
Celgene Corp. (AE)(z) 4,200 217
Charles River Laboratories
International, Inc. (AE) 6,800 313
Community Health Systems, Inc.
(AE) 3,100 80
Cooper Cos., Inc. 10,800 583
Covance, Inc. (AE) 8,600 290
Coventry Health Care, Inc. (AE) 5,700 238
Cytyc Corp. (AE) 27,900 597
Dade Behring Holdings, Inc. (AE) 4,300 198
DaVita, Inc. (AE) 10,200 521
Edwards Lifesciences Corp. (AE) 6,700 231
Endo Pharmaceuticals Holdings,
Inc. (AE) 8,600 205
Genentech, Inc. (AE) 19,500 2,394
Gen-Probe, Inc. (AE) 7,700 257
Idexx Laboratories, Inc. (AE) 5,100 312
IDX Systems Corp. (AE) 4,100 130
Inamed Corp. (AE) 4,600 271
Invitrogen Corp. (AE) 12,900 932
Kindred Healthcare, Inc. (AE)(z) 4,800 235
KV Pharmaceutical Co. Class A
(AE)(z) 10,650 256
LabOne, Inc. 3,600 106
Laserscope (AE)(z) 4,100 122
Martek Biosciences Corp. (AE)(z) 3,200 203
Microtek Medical Holdings, Inc.
(AE)(z) 13,200 61
Molina Healthcare, Inc. (z) 1,900 68
Mylan Laboratories 29,775 682
Ocular Sciences, Inc. (AE) 6,100 171
Omnicare, Inc. 19,500 809
Omnicell, Inc. (AE) 4,970 68
Pediatrix Medical Group, Inc.
(AE) 2,600 186
Perrigo Co. 5,900 127
Pharmaceutical Resources, Inc. 2,800 113
PSS World Medical, Inc. (AE) 18,300 205
Quality Systems, Inc. (AE) 6,800 292
Renal Care Group, Inc. (AE) 4,500 223
Salix Pharmaceuticals, Ltd. (AE) 9,000 278
</Table>
120 Tax-Managed Mid & Small Cap Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Select Medical Corp. 11,800 224
Sola International, Inc. (AE) 9,000 185
Sybron Dental Specialties, Inc.
(AE) 4,200 123
Wright Medical Group, Inc. (AE) 7,400 254
------------
14,748
------------
Integrated Oils - 0.4%
KCS Energy, Inc. 41,600 500
------------
Materials and Processing - 5.7%
Acuity Brands, Inc. 2,200 54
Armor Holdings, Inc. (AE) 6,200 205
Carpenter Technology 3,700 101
Cytec Industries, Inc. 11,400 448
Drew Industries, Inc. (AE) 4,200 156
Dycom Industries, Inc. (AE) 12,500 295
Florida Rock Industries, Inc. 6,900 275
GrafTech International, Ltd. (AE) 10,200 90
Griffon Corp. (AE) 6,400 140
HB Fuller Co. 2,800 77
Hughes Supply, Inc. 4,800 268
Integrated Electrical Services,
Inc. (AE) 65,900 643
Jacobs Engineering Group, Inc. 4,000 167
Lennox International, Inc. 7,100 119
Lubrizol Corp. 5,600 178
Martin Marietta Materials, Inc. 6,000 260
OM Group, Inc. 9,900 252
Precision Castparts Corp. 6,800 306
Quanex Corp. 2,300 94
Rogers Corp. 6,400 382
Schnitzer Steel Industries, Inc.
Class A 8,100 213
Silgan Holdings, Inc. (AE) 1,000 42
Smurfit-Stone Container Corp.
(AE) 32,800 564
Trammell Crow Co. (AE) 8,000 108
Universal Forest Products, Inc. 3,500 95
URS Corp. 4,000 103
Valspar Corp. 7,800 387
Washington Group International,
Inc. (AE) 4,600 166
WCI Communities, Inc. (AE)(z) 19,900 484
WD-40 Co. 1,000 30
York International Corp. 3,400 133
------------
6,835
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Miscellaneous - 0.9%
Carlisle Cos., Inc. 7,000 415
FMC Corp. 5,900 253
San-In Godo Bank, Ltd. (The) (AE) 29,300 256
Walter Industries, Inc. (z) 16,700 208
------------
1,132
------------
Other Energy - 7.0%
Arch Coal, Inc. 8,800 269
Chesapeake Energy Corp. 18,500 254
Comstock Resources, Inc. (AE) 6,600 134
Denbury Resources Inc. (AE) 15,000 274
Energy Partners, Ltd. (AE)(z) 10,900 153
Forest Oil Corp. 8,700 228
Harvest Natural Resources, Inc.
(AE) 28,900 475
Houston Exploration Co. (AE) 7,600 340
Magnum Hunter Resources, Inc.
(AE)(z) 18,500 190
Nuevo Energy Co. (AE) 9,400 324
Patina Oil & Gas Corp. 17,650 491
Peabody Energy Corp. 8,700 408
Penn Virginia Corp. 9,100 599
Pioneer Natural Resources Co. 9,900 324
Plains Exploration & Production
Co. (AE) 19,500 384
Range Resources Corp. 15,800 198
St Mary Land & Exploration Co. 6,800 246
Stone Energy Corp. (AE) 7,800 384
Swift Energy Co. (AE) 6,400 139
Tesoro Petroleum Corp. 21,900 445
Valero Energy Corp. 17,300 1,103
Whiting Petroleum Corp. (AE) 40,000 1,014
------------
8,376
------------
Producer Durables - 9.0%
Applied Industrial Technologies,
Inc. 5,000 131
Arris Group, Inc. (AE) 33,800 202
Beazer Homes USA, Inc. (z) 1,800 177
Briggs & Stratton Corp. 4,800 336
California Amplifier, Inc.
(AE)(z) 9,400 76
Cascade Corp. 3,900 81
C-COR.net Corp. (AE) 12,200 111
Crown Castle International Corp.
(AE) 41,600 580
Dionex Corp. (AE) 7,100 362
Dominion Homes, Inc. (AE)(z) 7,800 225
Donaldson Co., Inc. 5,400 148
DR Horton, Inc. 2,900 84
Duratek, Inc. (AE) 6,400 83
Engineered Support Systems, Inc. 7,050 343
</Table>
Tax-Managed Mid & Small Cap Fund 121
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Graco, Inc. 8,250 233
Hovnanian Enterprises, Inc. Class
A (AE)(z) 9,600 345
Hubbell, Inc. Class B 6,200 279
Imagistics International, Inc.
(AE) 4,800 194
JLG Industries, Inc. 15,900 235
Joy Global, Inc. 10,000 263
Kennametal, Inc. 4,700 203
Lennar Corp. Class A 19,500 914
M/I Homes, Inc. 7,200 307
MDC Holdings, Inc. 7,827 484
Meritage Corp. 1,100 75
MKS Instruments, Inc. (AE) 6,500 125
Moog, Inc. Class A 16,350 540
NMS Communications Corp. (AE) 18,100 140
Nordson Corp. 10,800 373
NVR, Inc. (z) 800 361
Orbital Sciences Corp. (AE)(z) 37,300 480
Pentair, Inc. 9,000 536
Rayovac Corp. (AE) 7,000 187
Standard-Pacific Corp. 8,800 444
Technical Olympic USA, Inc. 8,100 265
Tektronix, Inc. 5,400 160
Toll Brothers, Inc. (AE) 11,200 443
Watts Water Technologies, Inc.
Class A 10,800 264
------------
10,789
------------
Technology - 8.4%
Amkor Technology, Inc. (AE) 13,000 105
Anixter International, Inc. 4,300 126
AnSystem, Inc. (AE) 5,000 185
Ascential Software Corp. (AE) 11,700 199
Atmel Corp. (AE) 38,700 226
Avnet, Inc. 16,400 355
Avocent Corp. (AE) 5,000 160
BEA Systems, Inc. (AE) 24,400 278
Benchmark Electronics, Inc. (AE) 13,500 365
Brooktrout, Inc. (AE) 4,900 50
Ceva, Inc. (AE)(z) 22,200 179
Chordiant Software, Inc. (AE) 33,300 130
Cypress Semiconductor Corp.
(AE)(z) 27,600 386
Ditech Communications Corp. (AE) 13,200 190
Fairchild Semiconductor
International, Inc. (AE) 8,300 162
Inet Technologies, Inc. (AE) 7,800 77
InFocus Corp. (AE) 45,800 374
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Integrated Silicon Solutions,
Inc. (AE) 14,200 195
International Rectifier Corp.
(AE) 6,600 262
Juniper Networks, Inc. (AE) 15,300 335
Macrovision Corp. (AE) 9,400 158
Mantech International Corp. Class
A (AE)(z) 9,300 233
MAPICS, Inc. (AE) 13,400 107
Mapinfo Corp. (AE) 9,400 104
MEMC Electronic Materials, Inc.
(AE) 25,200 201
Merix Corp. (AE)(z) 11,200 174
Microchip Technology, Inc. 26,100 731
Microsemi Corp. 16,400 178
Netopia, Inc. (AE) 18,800 112
Omnivision Technologies, Inc.
(AE)(z) 7,000 156
Open Solutions, Inc. (AE) 4,100 101
PerkinElmer, Inc. 5,300 102
Red Hat, Inc. (AE) 22,400 509
RSA Security, Inc. (AE) 5,000 80
Sandisk Corp. (AE) 14,400 333
Silicon Laboratories, Inc.
(AE)(z) 8,900 420
SonicWALL, Inc. (AE) 76,500 548
Stellent, Inc. (AE) 25,500 190
Tekelec (AE) 2,900 48
Trimble Navigation, Ltd. (AE) 10,050 252
TTM Technologies, Inc. (AE) 13,600 151
Tyler Technologies, Inc. (z) 29,100 275
Utstarcom, Inc. (AE)(z) 2,800 74
Vishay Intertechnology, Inc.
(AE)(z) 17,100 298
Zhone Technologies, Inc. (AE) 74,500 252
------------
10,126
------------
Utilities - 4.1%
Allete, Inc. 9,700 335
Centennial Communications Corp.
(AE) 19,300 116
Cleco Corp. 9,000 162
COX Communications, Inc. Class A
(AE) 28,700 938
CT Communications, Inc. 9,000 112
Energen Corp. 5,300 219
Energy East Corp. 15,400 363
Hawaiian Electric Industries (z) 3,800 189
MDU Resources Group, Inc. 11,400 255
NSTAR 7,000 339
Oneok, Inc. 7,000 147
PTEK Holdings, Inc. (AE)(z) 26,000 264
SCANA Corp. 10,000 344
</Table>
122 Tax-Managed Mid & Small Cap Fund
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED MID & SMALL CAP FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
South Jersey Industries, Inc. 4,300 177
Talk America Holdings, Inc.
(AE)(z) 27,800 248
Vectren Corp. 6,300 152
Wisconsin Energy Corp. 16,300 512
------------
4,872
------------
TOTAL COMMON STOCKS
(cost $101,946) 114,154
------------
SHORT-TERM INVESTMENTS - 12.7%
Frank Russell Investment Company
Money Market Fund 4,928,000 4,928
Frank Russell Investment Company
Money Market Fund (N) 4,738,426 4,738
State Street Securities Lending
Quality Trust (N) 5,102,116 5,102
United States Treasury Bill
(c)(y)(s)
0.930% due 06/10/04 500 499
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $15,267) 15,267
------------
TOTAL INVESTMENTS - 107.9%
(identified cost $117,213) 129,421
OTHER ASSETS AND LIABILITIES,
NET - (7.9)% (9,525)
------------
NET ASSETS - 100.0% 119,896
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
Long Positions
Russell 2000 Index
expiration date 06/04 (15) 4,199 (196)
S&P 500 E-Mini Index
expiration date 06/04 (10) 553 (5)
S&P 500 Index
expiration date 06/04 (3) 830 (14)
------------
Total Unrealized Appreciation
(Depreciation) on Open Futures Contracts (215)
============
</Table>
Tax-Managed Mid & Small Cap Fund 123
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 95.1%
Auto and Transportation - 1.5%
Pacer International, Inc. (AE) 4,700 88
Southwest Airlines Co. 75,900 1,084
United Parcel Service, Inc. Class
B 5,300 372
------------
1,544
------------
Consumer Discretionary - 21.8%
3DO Co. (The) (AE) 6,525 --
Activision, Inc. (AE) 12,300 185
Advance Auto Parts (AE) 13,600 587
Advo, Inc. 5,900 185
Amazon.Com, Inc. (AE) 22,880 994
Apollo Group, Inc. Class A (AE) 6,630 603
Ask Jeeves (AE)(z) 3,800 135
Avon Products, Inc. 3,980 334
Buca, Inc. (AE)(z) 14,900 98
Buffalo Wild Wings, Inc. (AE) 2,600 86
CDW Corp. 1,100 69
Charlotte Russe Holding, Inc.
(AE) 4,300 71
ChoicePoint, Inc. (AE) 2,700 119
Christopher & Banks Corp. (z) 10,300 184
Crown Media Holdings, Inc. Class
A (AE)(z) 9,200 81
Cumulus Media, Inc. Class A (AE) 4,400 92
DiamondCluster International,
Inc. (AE)(z) 15,000 154
Digital Theater Systems, Inc.
(AE) 2,000 45
DIRECTV Group, Inc. (The) 24,834 445
Dollar Thrifty Automotive Group
(AE) 2,900 76
DoubleClick, Inc. (AE)(z) 8,100 65
eBay, Inc. (AE) 25,590 2,043
Estee Lauder Cos., Inc. (The)
Class A 9,100 416
Fisher Scientific International 3,800 222
Gray Television, Inc. 6,400 95
GSI Commerce, Inc. (AE) 6,600 64
Hearst-Argyle Television, Inc.
Class C 4,800 126
Home Depot, Inc. 40,500 1,425
International Game Technology 7,490 283
International Speedway Corp.
Class A 1,500 63
iVillage, Inc. (AE)(z) 13,700 88
J Jill Group, Inc. (The) (AE) 4,200 89
JC Penney Co., Inc. Holding Co. 15,000 508
Jones Apparel Group, Inc. 2,000 73
Jupitermedia Corp. (AE)(z) 7,800 66
K2, Inc. 4,000 59
Kimberly-Clark Corp. 4,900 321
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Magna Entertainment Corp. Class A
(AE)(z) 10,500 54
McDonald's Corp. 25,300 689
Monster Worldwide, Inc. (AE) 5,200 133
MPS Group, Inc. (AE) 18,600 203
Nautilus Group, Inc. (z) 7,400 119
Neoforma, Inc. (AE)(z) 3,060 40
Nike, Inc. Class B 5,360 386
Omnicom Group 7,300 580
PC Mall, Inc. (AE)(z) 3,700 69
Pixar (AE)(z) 7,000 478
Radio One, Inc. Class D (AE) 6,000 114
Republic Services, Inc. 4,200 121
Rocky Shoes & Boots, Inc. (AE)(z) 3,100 70
Sabre Holdings Corp. 3,400 80
Scientific Games Corp. Class A
(AE)(z) 12,300 222
Sinclair Broadcast Group, Inc.
Class A (AE)(z) 8,800 109
Skechers U.S.A., Inc. Class A
(AE) 5,800 71
SkillSoft PLC - ADR (AE) 11,300 141
Speedway Motorsports, Inc. (z) 6,500 194
Staples, Inc. 19,100 492
Starbucks Corp. (AE) 20,330 790
Starwood Hotels & Resorts
Worldwide, Inc. 7,800 310
Target Corp. 16,170 701
Time Warner, Inc. 20,970 353
Tivo, Inc. (AE)(z) 5,900 41
Too, Inc. (AE)(z) 10,300 181
Univision Communications, Inc.
Class A (AE)(z) 20,000 677
Vans, Inc. (AE)(z) 2,400 49
Ventiv Health, Inc. (AE) 7,600 107
VeriSign, Inc. (AE) 22,200 358
Wal-Mart Stores, Inc. 33,990 1,937
XM Satellite Radio Holdings, Inc.
Class A (AE) 18,080 433
Yahoo!, Inc. (AE) 25,600 1,292
------------
22,143
------------
Consumer Staples - 6.2%
Anheuser-Busch Cos., Inc. Class 7,900 405
Campbell Soup Co. 7,500 207
Coca-Cola Co. (The) 8,000 405
Imperial Sugar Co. (AE)(z) 6,300 77
NBTY, Inc. (AE) 3,000 111
</Table>
124 Select Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
PepsiCo, Inc. 35,360 1,927
Procter & Gamble Co. 17,240 1,823
Systemco Corp. 14,290 547
Walgreen Co. 22,630 780
------------
6,282
------------
Financial Services - 10.6%
Advent Software, Inc. (AE) 3,800 71
Aflac, Inc. 11,000 465
American Express Co. 17,550 859
American International Group,
Inc. 31,200 2,235
AmeriCredit Corp. (AE) 14,500 235
Ameritrade Holding Corp. (AE)(z) 16,100 197
Capital One Financial Corp. 13,900 911
Cardinal Financial Corp. (AE) 5,900 53
Charles Schwab Corp. (The) 69,380 714
Citigroup, Inc. 12,700 611
CyberSource Corp. (AE) 11,000 70
Falck SPA (AE) 2,800 87
Fannie Mae 12,700 873
First Data Corp. 8,800 399
Global Payments, Inc. 2,900 139
Goldman Sachs Group, Inc. 3,900 376
Great American Financial
Resources, Inc. (z) 3,100 49
Instinet Group, Inc. (z) 29,400 192
Lakeland Bancorp, Inc. (z) 3,700 58
Mercer Insurance Group, Inc. (AE) 6,500 77
Paychex, Inc. 10,480 391
Pico Holdings, Inc. (AE)(z) 3,300 52
Progressive Corp. (The) 15,460 1,353
Providian Financial Corp. 10,100 123
Republic First Bancorp, Inc. (AE) 3,200 39
Santander BanCorp (z) 3,000 90
------------
10,719
------------
Health Care - 19.0%
Abgenix, Inc. (AE) 5,400 88
Able Laboratories, Inc. (AE) 3,500 67
American Medical Systems
Holdings, Inc. (AE) 4,800 125
Amgen, Inc. 37,310 2,099
Amylin Pharmaceuticals, Inc.
(AE)(z) 9,400 211
Anthem, Inc. (AE) 3,600 319
Barr Pharmaceuticals, Inc. (AE) 8,150 338
Biogen Idec, Inc. (AE) 8,930 527
Boston Scientific Corp. (AE) 11,800 486
Cardinal Health, Inc. 3,200 234
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Caremark Rx, Inc. (AE) 12,300 416
Eli Lilly & Co. 9,100 672
Forest Laboratories, Inc. (AE) 10,350 667
Genentech, Inc. (AE) 23,360 2,870
Gilead Sciences, Inc. (AE) 3,470 211
Guidant Corp. 12,340 778
Guilford Pharmaceuticals, Inc.
(AE)(z) 6,700 42
Invitrogen Corp. (AE)(z) 3,700 267
IVAX Corp. 17,500 373
Kinetic Concepts, Inc. (AE) 4,800 232
LCA-Vision, Inc. (AE)(z) 4,201 106
Ligand Pharmaceuticals, Inc.
Class B (AE)(z) 3,000 64
Medarex, Inc. (AE)(z) 10,600 101
Medicis Pharmaceutical Class A 3,300 142
Palomar Medical Technologies,
Inc. (AE) 4,600 72
Pfizer, Inc. 135,970 4,863
Prime Medical Services, Inc.
(AE)(z) 9,000 63
SFBC International, Inc. (AE) 2,200 80
St Jude Medical, Inc. 11,690 891
Teva Pharmaceutical Industries,
Ltd. - ADR (z) 11,340 698
Ventana Medical Systems (AE) 500 25
Wyeth 9,300 354
Zimmer Holdings, Inc. (AE) 10,230 817
------------
19,298
------------
Information Technology - 0.1%
AboveNet, Inc. (AE)(z) 1,500 60
------------
Materials and Processing - 1.8%
Alcoa, Inc. 10,220 314
Archer-Daniels-Midland Co. 23,710 416
Cellegy Pharmaceuticals, Inc.
(AE)(z) 10,300 39
Culp, Inc. 4,400 38
Cytec Industries, Inc. 1,900 75
Encore Wire Corp. (AE)(z) 3,600 98
GTx, Inc. (AE)(z) 3,900 53
LSI Industries, Inc. 4,400 51
Monsanto Co. 14,200 491
Oregon Steel Mills, Inc. (AE) 4,600 39
RTI International Metals, Inc. 2,300 34
Smurfit-Stone Container Corp.
(AE) 6,400 110
Wolverine Tube, Inc. (AE) 5,600 68
------------
1,826
------------
</Table>
Select Growth Fund 125
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Miscellaneous - 5.9%
3M Co. 5,900 510
General Electric Co. 155,490 4,658
Honeywell International, Inc. 12,200 422
Trinity Industries, Inc. 3,000 91
Tyco International, Ltd. 12,450 342
------------
6,023
------------
Other Energy - 1.5%
Apache Corp. 6,250 262
EOG Resources, Inc. 9,600 473
Grant Prideco, Inc. (AE) 8,600 131
Key Energy Services, Inc. (AE) 8,300 88
Nabors Industries, Ltd. (AE) 1,700 75
National-Oilwell, Inc. Class C
(AE) 11,300 315
Patterson-UTI Energy, Inc. (z) 4,700 170
Westmoreland Coal Co. (z) 3,000 59
------------
1,573
------------
Producer Durables - 2.3%
American Power Conversion 4,700 88
Applied Materials, Inc. (AE) 47,560 867
Applied Signal Technology, Inc.
(z) 3,000 81
August Technology Corp. (AE) 1,600 21
Boeing Co. (The) 5,200 222
Caterpillar, Inc. 4,200 326
Emerson Electric Co. 7,000 422
General Cable Corp. (z) 8,600 66
Measurement Specialties, Inc.
(AE)(z) 3,500 66
Radyne Co.mstream Corp. (AE) 8,100 75
Southern Energy Homes, Inc. (AE) 24,000 101
Zygo Corp. (AE) 2,800 31
------------
2,366
------------
Technology - 23.4%
3Com Corp. (AE) 20,800 128
ACT Teleconferencing, Inc.
(AE)(z) 23,700 74
Aeroflex, Inc. (AE) 14,000 176
Agile Software Corp. (AE) 6,900 52
Anacomp, Inc. Class A (AE) 4,800 88
Analog Devices, Inc. 13,290 566
Analogic Corp. 1,700 80
answerthink, Inc. (AE) 14,900 108
Aspect Communications Corp. (AE) 5,500 65
Autodesk, Inc. 11,400 382
Avaya, Inc. (AE) 27,500 376
BEA Systems, Inc. (AE) 24,600 281
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Borland Software Corp. (AE) 2,700 22
Broadcom Corp. Class A (AE) 15,960 603
California Micro Devices CP (AE) 7,800 112
Captaris, Inc. (AE) 3,900 22
Carrier Access Corp. (AE) 7,700 82
Centillium Communications, Inc.
(AE) 9,900 38
Cisco Systems, Inc. (AE) 168,190 3,511
Comverse Technology, Inc. (AE) 11,600 190
Corning, Inc. 28,200 311
CovanSystem Corp. (AE) 7,200 101
Cyberguard Corp. (AE) 6,500 56
Dell, Inc. (AE) 78,610 2,729
Diodes, Inc. (AE)(z) 3,300 72
Ditech Communications Corp. (AE) 5,400 78
EDO Corp. 6,100 138
EMC Corp. 49,890 557
Exar Corp. (AE) 13,900 212
InFocus Corp. (AE) 8,800 72
Integrated Device Technology,
Inc. (AE) 17,600 237
Intel Corp. 95,400 2,455
InterVoice, Inc. (AE) 6,300 78
Juniper Networks, Inc. (AE)(z) 45,750 1,001
L-3 Communications Holdings, Inc. 1,200 74
Lantronix, Inc. (AE)(z) 39,700 66
MAPICS, Inc. (AE)(z) 5,900 47
Maxim Integrated Products 14,200 653
Microsoft Corp. 61,700 1,602
Motorola, Inc. 28,380 518
NetIQ Corp. (AE) 5,400 69
Network Appliance, Inc. (AE) 31,700 590
Newport Corp. 4,300 64
Novell, Inc. (AE) 12,000 116
Onyx Software Corp. (AE) 11,175 40
Oracle Corp. (AE) 65,100 730
Perot Systems Corp. Class A (AE) 6,200 83
PMC - Sierra, Inc. (AE) 20,400 248
Qualcomm, Inc. 18,980 1,185
Quest Software, Inc. (AE)(z) 8,900 100
Saba Software, Inc. (AE)(z) 13,025 51
SAP AG - ADR 6,730 251
Seebeyond Technology Corp. (AE) 11,900 45
Selectica, Inc. (AE)(z) 9,800 42
Silicon Graphics, Inc. (AE)(z) 16,200 31
Silicon Storage Technology, Inc.
(AE) 4,700 62
Sony Corp. - ADR 2,880 111
Symbol Technologies, Inc. 8,500 102
Tellabs, Inc. (AE) 9,400 82
</Table>
126 Select Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Texas Instruments, Inc. 27,800 698
Three-Five Systems, Inc. (AE)(z) 8,100 41
Witness Systems, Inc. (AE) 7,700 108
Xilinx, Inc. 26,970 907
------------
23,769
------------
Utilities - 1.0%
America Movil SA de CV Class L -
ADR 9,540 322
MDU Communications International,
Inc. (AE) 20,900 51
Nextel Partners, Inc. Class A
(AE)(z) 11,300 151
Ubiquitel, Inc. (AE)(z) 17,400 72
Verizon Communications, Inc. 10,400 392
------------
988
------------
TOTAL COMMON STOCKS
(cost $88,218) 96,591
------------
SHORT-TERM INVESTMENTS - 10.5%
Frank Russell Investment Company
Money Market Fund 4,621,000 4,621
Frank Russell Investment Company
Money Market Fund (N) 2,677,113 2,677
State Street Securities Lending
Quality Trust (N) 2,882,590 2,883
United States Treasury Bill
(y)(s) 0.930% due 06/10/04 500 499
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $10,680) 10,680
------------
TOTAL INVESTMENTS - 105.6%
(identified cost $98,898) 107,271
OTHER ASSETS AND LIABILITIES,
NET - (5.6%) (5,655)
------------
NET ASSETS - 100.0% 101,616
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ----------------------------------------------------------------
Long Positions
Nasdaq 100 Index
expiration date 06/04 (2) 281 (8)
Russell 1000 Growth Index
expiration date 06/04 (13) 3,027 (12)
S&P 500 E-Mini Index
expiration date 06/04 (21) 1,161 (23)
S&P 500 Index
expiration date 06/04 (2) 553 (16)
------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts (59)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Select Growth Fund 127
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
COMMON STOCKS - 93.9%
Auto and Transportation - 1.2%
AMR Corp. 48,200 547
Autoliv, Inc. 7,200 306
Burlington Northern Santa Fe
Corp. 33,720 1,103
Pacer International, Inc. (AE) 8,700 164
Union Pacific Corp. 14,570 859
------------
2,979
------------
Consumer Discretionary - 12.0%
Abercrombie & Fitch Co. Class A 17,900 563
Accenture, Ltd. Class A (AE) 5,600 133
AnnTaylor Stores Corp. (AE) 9,800 397
BJ's Wholesale Club, Inc. (AE) 12,700 308
Black & Decker Corp. 29,200 1,689
Borders Group, Inc. 17,200 412
Caesars Entertainment, Inc. (AE) 68,200 904
Circuit City Stores, Inc. 24,000 280
Costco Wholesale Corp. 19,100 715
Federated Department Stores 11,800 578
Fisher Scientific International 10,100 591
Furniture Brands International,
Inc. 8,300 234
Getty Images, Inc. (AE) 25,300 1,381
Hasbro, Inc. 5,400 102
Hearst-Argyle Television, Inc.
Class C 14,000 368
Home Depot, Inc. 32,200 1,133
Kimberly-Clark Corp. 62,880 4,115
Knight-Ridder, Inc. 6,900 534
Labor Ready, Inc. (AE) (z) 26,800 339
Lone Star Steakhouse & Saloon 8,300 255
Ltd Brands 20,688 427
MarineMax, Inc. (AE) 2,400 68
Mattel, Inc. 22,900 388
May Department Stores Co. (The) 31,700 976
McDonald's Corp. 112,850 3,073
Movado Group, Inc. 4,500 135
Newell Rubbermaid, Inc. 36,500 863
Petco Animal Supplies, Inc. (AE) 11,200 329
RadioShack Corp. 5,700 175
Reed Elsevier PLC - ADR (z) 13,590 512
RR Donnelley & Sons Co. 12,978 382
Sears Roebuck and Co. 3,830 153
Service Corp. International 66,900 494
Staples, Inc. 18,000 464
Time Warner, Inc. 34,350 578
TJX Cos., Inc. 5,400 133
Tribune Co. 16,130 772
United Online, Inc. (AE) 24,800 412
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Viacom, Inc. Class B 49,844 1,926
Walt Disney Co. 32,400 746
WPP Group PLC - ADR 13,519 666
Yum! Brands, Inc. (AE) 20,800 807
------------
29,510
------------
Consumer Staples - 5.4%
Altria Group, Inc. 42,210 2,338
Anheuser-Busch Cos., Inc. Class 16,100 825
Chiquita Brands International,
Inc. (AE) 11,900 214
Clorox Co. 17,200 891
Colgate-Palmolive Co. 15,000 868
CVS Corp. 16,000 618
Diageo PLC - ADR (z) 26,180 1,427
General Mills, Inc. 16,600 809
HJ Heinz Co. 38,340 1,464
Kellogg Co. 26,010 1,116
Kraft Foods, Inc. Class A 23,000 757
Lance, Inc. (z) 14,900 225
Longs Drug Stores Corp. 14,700 288
PepsiCo, Inc. 2,330 127
Sara Lee Corp. 46,100 1,064
Tyson Foods, Inc. Class A 7,690 144
------------
13,175
------------
Financial Services - 27.0%
ACE, Ltd. 22,100 969
Aflac, Inc. 5,300 224
AG Edwards, Inc. 11,200 410
Allstate Corp. (The) 40,090 1,840
American Express Co. 13,480 660
American International Group,
Inc. 16,300 1,168
Arbor Realty Trust, Inc.
(AE)(o)(z) 7,900 154
Astoria Financial Corp. 10,400 358
Bank of America Corp. 84,288 6,785
Bank of New York Co., Inc. (The) 22,900 667
Bank One Corp. 17,210 850
Bankunited Financial Corp. Class
A 11,000 291
Bear Stearns Cos., Inc. (The) 7,100 569
Capital Automotive REIT (o) 5,200 146
Charter One Financial, Inc. 16,300 544
Chubb Corp. 4,160 287
Cigna Corp. 10,900 703
CIT Group, Inc. 35,400 1,217
Citigroup, Inc. 128,520 6,182
Comerica, Inc. 13,700 707
Commerce Bancshares, Inc. 14,145 635
Countrywide Financial Corp. 7,800 463
</Table>
128 Select Value Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Cullen/Frost Bankers, Inc. 5,200 225
Dime Community Bancshares 24,125 413
Doral Financial Corp. 12,025 394
Dow Jones & Co., Inc. 15,900 733
Fannie Mae 38,050 2,615
First Data Corp. 37,313 1,694
Franklin Resources, Inc. 9,100 499
Freddie Mac 15,200 888
Friedman Billings Ramsey Group,
Inc. Class A 71,100 1,315
Goldman Sachs Group, Inc. 20,530 1,981
Greater Bay Bancorp (z) 11,100 315
H&R Block, Inc. 16,100 726
Hartford Financial Services
Group, Inc. 8,890 543
Innkeepers USA Trust (o) 25,000 191
Janus Capital Group, Inc. 1,800 27
JP Morgan Chase & Co. 81,600 3,068
Keycorp 24,800 737
Lincoln National Corp. 10,399 467
Maguire Properties, Inc. (o) 15,900 362
Marsh & McLennan Cos., Inc. 3,180 143
MBNA Corp. 81,450 1,986
Mellon Financial Corp. 35,230 1,044
Mercury General Corp. 4,900 250
Merrill Lynch & Co., Inc. 46,740 2,535
Metlife, Inc. 31,970 1,103
MGIC Investment Corp. 19,600 1,443
National Commerce Financial Corp. 23,800 633
PMI Group, Inc. (The) 6,500 280
PNC Financial Services Group,
Inc. 28,110 1,493
Providian Financial Corp. 97,000 1,177
Republic Bancorp, Inc. 31,340 408
Safeco Corp. 16,700 731
Sandy Spring Bancorp, Inc. (z) 10,600 379
SLM Corp. 33,800 1,295
SouthTrust Corp. 8,060 251
Sovereign Bancorp, Inc. 76,400 1,526
St Paul Travelers Cos., Inc.
(The) 40,450 1,645
SunTrust Banks, Inc. 23,830 1,622
Triad Guaranty, Inc. (AE)(z) 7,500 410
US Bancorp 57,500 1,474
Waddell & Reed Financial, Inc.
Class A 13,500 300
Wells Fargo & Co. 14,400 813
Zions BanCorp. 7,300 413
------------
66,376
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Health Care - 10.0%
Abbott Laboratories 37,500 1,651
Amgen, Inc. 19,300 1,086
Anthem, Inc. (AE) 21,700 1,922
Baxter International, Inc. 25,500 807
Becton Dickinson & Co. 29,100 1,471
Biogen Idec, Inc. (AE) 22,915 1,352
Caremark Rx, Inc. (AE) 28,000 948
Conmed Corp. (AE) 5,400 133
CR Bard, Inc. 1,320 140
DaVita, Inc. (AE) 4,900 250
Eli Lilly & Co. 4,100 303
Genzyme Corp. (AE) 19,400 845
Guidant Corp. 24,010 1,513
HCA, Inc. 37,400 1,520
Johnson & Johnson 26,410 1,427
LabOne, Inc. 9,600 284
Merck & Co., Inc. 6,400 301
Millipore Corp. 8,200 430
Novartis AG - ADR 10,840 486
Pacificare Health Systems (AE) 31,900 1,141
Pfizer, Inc. 104,280 3,729
Respironics, Inc. (AE) 1,900 100
Roche Holding AG - ADR (z) 4,500 472
Triad Hospitals, Inc. (AE) 17,600 599
UnitedHealth Group, Inc. 12,900 793
Wyeth 26,300 1,001
------------
24,704
------------
Integrated Oils - 5.1%
BP PLC - ADR 16,560 876
ChevronTexaco Corp. 26,721 2,445
ConocoPhillips 33,500 2,389
Exxon Mobil Corp. 87,800 3,736
Marathon Oil Corp. 58,100 1,950
Unocal Corp. 30,670 1,105
------------
12,501
------------
Materials and Processing - 9.3%
Aceto Corp. 5,050 69
Air Products & Chemicals, Inc. 13,300 662
Akzo Nobel NV - ADR (z) 19,700 718
Alcoa, Inc. 23,700 729
Alumina, Ltd. - ADR (z) 25,800 381
Archer-Daniels-Midland Co. 56,290 988
Ball Corp. 10,200 673
Bemis Co. 21,600 583
Boise Cascade Corp. 17,300 584
</Table>
Select Value Fund 129
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Bowater, Inc. 20,810 873
Brady Corp. Class A 6,200 241
Dow Chemical Co. (The) 85,180 3,381
Dycom Industries, Inc. (AE) 17,500 413
Eagle Materials, Inc. 3,200 210
EI Du Pont de Nemours & Co. 45,600 1,959
Freeport-McMoRan Copper & Gold,
Inc. Class B 12,700 387
Golden Star Resources, Ltd.
(AE)(z) 30,300 135
International Paper Co. 36,740 1,481
International Steel Group, Inc.
(AE) 24,300 706
Lyondell Chemical Co. 24,100 394
MeadWestvaco Corp. 26,200 685
Monsanto Co. 38,560 1,334
Phelps Dodge Corp. 8,600 566
PPG Industries, Inc. 14,090 836
Praxair, Inc. 5,640 206
Reliance Steel & Aluminum Co. 9,400 310
Rohm & Haas Co. 20,700 803
Schulman A, Inc. 18,100 362
Silgan Holdings, Inc. (AE) 4,500 189
Smurfit-Stone Container Corp.
(AE) 14,290 246
Syngenta AG - ADR (z) 37,880 603
URS Corp. 7,700 199
Weyerhaeuser Co. 15,300 906
------------
22,812
------------
Miscellaneous - 2.2%
3M Co. 3,800 329
General Electric Co. 46,800 1,402
Honeywell International, Inc. 20,400 705
Teleflex, Inc. 4,800 219
Tyco International, Ltd. 73,400 2,015
Vivendi Universal SA - ADR 34,500 853
------------
5,523
------------
Other Energy - 3.0%
Anadarko Petroleum Corp. 9,300 498
Baker Hughes, Inc. 24,000 880
Burlington Resources, Inc. 15,300 1,029
Chesapeake Energy Corp. 82,100 1,129
Devon Energy Corp. 3,660 224
ENSCO International, Inc. 14,600 400
EOG Resources, Inc. 3,700 182
GlobalSantaFe Corp. 4,870 128
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Kerr-McGee Corp. 13,600 665
Noble Corp. (AE) 14,180 527
Schlumberger, Ltd. 5,440 318
Transocean, Inc. 50,000 1,389
------------
7,369
------------
Producer Durables - 4.9%
Cooper Industries, Ltd. Class A 3,400 187
Deere & Co. 17,390 1,183
Emerson Electric Co. 24,920 1,501
Joy Global, Inc. 6,100 160
Lam Research Corp. (AE) 48,800 1,080
Lockheed Martin Corp. 38,060 1,815
Northrop Grumman Corp. 7,880 782
Novellus Systems, Inc. (AE) 4,500 130
Polycom, Inc. (AE) 14,200 271
Rofin-Sinar Technologies, Inc.
(AE) 10,700 248
Teradyne, Inc. (AE)(z) 37,800 770
United Defense Industries, Inc.
(AE) 9,600 333
United Technologies Corp. 22,400 1,932
WW Grainger, Inc. 12,700 665
Xerox Corp. 78,000 1,048
------------
12,105
------------
Technology - 5.3%
Adtran, Inc. 3,700 91
Amdocs, Ltd. (AE) 47,200 1,253
Apple Computer, Inc. 11,900 306
Autodesk, Inc. 10,100 338
Avaya, Inc. (AE) 35,400 484
BMC Software, Inc. (AE) 17,600 304
Corning, Inc. 107,600 1,187
DRS Technologies, Inc. (AE) 4,300 121
Hewlett-Packard Co. 78,610 1,549
Intel Corp. 26,700 687
International Business Machines
Corp. 14,760 1,301
Jabil Circuit, Inc. (AE) 10,600 280
Merix Corp. (AE)(z) 19,300 300
Microsoft Corp. 93,250 2,422
Netgear, Inc. (AE)(z) 10,500 114
ON Semiconductor Corp. (AE) 70,000 338
Raytheon Co. 11,600 374
Rockwell Automation, Inc. 23,600 771
Tellabs, Inc. (AE) 31,100 272
Zilog, Inc. (AE) 38,000 461
------------
12,953
------------
</Table>
130 Select Value Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
Utilities - 8.5%
AES Corp. (The) 65,100 564
Alltel Corp. 14,100 710
BellSouth Corp. 30,200 779
Cascade Natural Gas Corp. 10,900 224
Cinergy Corp. 10,480 398
Comcast Corp. Class A 20,900 629
Comcast Corp. Special Class A 31,010 899
COX Communications, Inc. Class A
(AE) 11,000 360
Dominion Resources, Inc. 17,710 1,130
Energen Corp. 8,700 360
Energy East Corp. 14,320 337
Entergy Corp. 6,550 358
Exelon Corp. 13,000 870
FirstEnergy Corp. 4,270 167
FPL Group, Inc. 18,600 1,183
KeySpan Corp. 6,270 227
National Fuel Gas Co. 7,050 173
NiSource, Inc. 24,800 500
NSTAR 4,280 207
Pepco Holdings, Inc. 18,000 341
PPL Corp. 22,680 972
Progress Energy, Inc. - CVO
(AE)(B)(Y) 1,300 --
Puget Energy, Inc. 7,900 173
Questar Corp. 30,500 1,082
SBC Communications, Inc. 67,140 1,672
Sprint Corp.-FON Group 113,550 2,031
TXU Corp. 17,540 599
Verizon Communications, Inc. 97,290 3,672
Vodafone Group PLC - ADR 14,126 347
------------
20,964
------------
TOTAL COMMON STOCKS
(cost $208,712) 230,971
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- --------------------------------------------------------------
PREFERRED STOCKS - 0.4%
Consumer Discretionary - 0.4%
News Corp., Ltd. - ADR 27,124 915
------------
TOTAL PREFERRED STOCKS
(cost $656) 915
------------
SHORT-TERM INVESTMENTS - 7.4%
Frank Russell Investment Company
Money Market Fund 13,135,000 13,135
Frank Russell Investment Company
Money Market Fund (N) 2,072,030 2,072
State Street Securities Lending
Quality Trust (N) 2,231,066 2,231
United States Treasury Bill
(y)(s)
0.930% due 06/10/04 800 799
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $18,237) 18,237
------------
TOTAL INVESTMENTS - 101.7%
(identified cost $227,605) 250,123
OTHER ASSETS AND LIABILITIES,
NET - (1.7%) (4,266)
------------
NET ASSETS - 100.0% 245,857
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Select Value Fund 131
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
Long Positions
Russell 1000 Value Index
expiration date 06/04 (25) 7,191 (124)
S&P 500 E-Mini Index
expiration date 06/04 (38) 2,102 (64)
S&P 500 Index
expiration date 06/04 (17) 4,701 (151)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (339)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
132 Select Value Fund
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
FOOTNOTES:
(AE) Nonincome-producing security.
(o) Real Estate Investment Trust (REIT).
(s) Held as collateral in connection with futures contracts purchased (sold),
options written, or swaps entered into by the Fund.
(y) Rate noted is yield-to-maturity from date of acquisition.
(c) At amortized cost, which approximates market.
(E) Adjustable or floating rate security. Rate shown reflects rate in effect
at period end.
(o) Forward commitment.
(p) Perpetual floating rate security. Rate shown reflects rate in effect at
period end.
(u) Bond is insured by a guarantor.
(ae) Pre-refunded: These bonds are collateralized by US Treasury securities,
which are held in escrow by a trustee and used to pay principal and
interest in the tax-exempt issue and to retire the bonds in full at the
earliest refunding date. The rate noted is for descriptive purposes;
effective yield may vary.
(O) In default.
# All securities with a maturity date greater than thirteen months have a
demand feature or an optional or mandatory put, or are pre-refunded,
resulting in an effective maturity of thirteen months or less.
Additionally, all daily and weekly demand securities are backed by direct
payment letters of credit.
(Y) This security has been valued by the Security Valuation Committee. It is
possible that the estimated value may differ significantly from the amount
that might ultimately be realized.
(B) Illiquid security.
(z) All or a portion of the shares of this security are on loan.
(y) Restricted security. Security may have contractual restrictions on resale,
may have been offered in a private placement transaction, and may not be
registered under the Securities Act of 1933.
(N) The security is purchased with the cash collateral from the securities
loaned.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
ADS - American Depositary Share
CMO - Collateralized Mortgage Obligation
CVO - Contingent Value Obligation
144A - Represents private placement security for qualified buyers according to
rule 144A of the Securities Act of 1933.
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
PIK - Payment in Kind
FDIC - Federal Deposit Insurance Company
REMIC - Real Estate Mortgage Investment Conduit
STRIP - Separate Trading of Registered Interest and Principal of Securities
TBA - To Be Announced Security
FOREIGN CURRENCY ABBREVIATIONS:
<Table>
ARS - Argentine peso HKD - Hong Kong dollar PLN - Polish zloty
AUD - Australian dollar HUF - Hungarian forint RUB - Russian ruble
BRL - Brazilian real IDR - Indonesian rupiah SEK - Swedish krona
CAD - Canadian dollar ILS - Israeli shekel SGD - Singapore dollar
CHF - Swiss franc INR - Indian rupee SKK - Slovakian koruna
CLP - Chilean peso ITL - Italian lira THB - Thai baht
CNY - Chinese renminbi yuan JPY - Japanese yen TRL - Turkish lira
COP - Colombian peso KES - Kenyan schilling TWD - Taiwanese dollar
CRC - Costa Rica colon KRW - South Korean won USD - United States dollar
CZK - Czech koruna MXN - Mexican peso VEB - Venezuelan bolivar
DKK - Danish krone MYR - Malaysian ringgit VND - Vietnam dong
EGP - Egyptian pound NZD - New Zealand Dollar ZAR - South African rand
EUR - Euro PEN - Peruvian nouveau sol
BP - British pound sterling PHP - Philippine peso
</Table>
Notes to Schedule of Investments 133
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED EQUITY SPECIAL GROWTH
AMOUNTS IN THOUSANDS FUND FUND
- -----------------------------------------------------------------------------------------------------------
ASSETS
Investments, at identified cost $ 1,704,763 $ 721,723
- -----------------------------------------------------------------------------------------------------------
Investments, at market*** 1,874,985 831,528
Cash -- --
Foreign currency holdings* -- --
Unrealized appreciation on foreign currency exchange
contracts -- --
Receivables:
Dividends and interest 1,937 669
Investments sold 23,879 6,865
Fund shares sold 5,132 2,948
Foreign taxes recoverable -- --
From Advisor -- --
Daily variation margin on futures contracts -- --
Prepaid expenses 96 --
Interest rate swap contracts, at market value**** -- --
------------------- --------------------
Total assets 1,906,029 842,010
------------------- --------------------
LIABILITIES
Payables:
Due to Custodian -- --
Investments purchased 26,779 8,768
Fund shares redeemed 1,432 2,489
Accrued fees to affiliates 1,591 916
Other accrued expenses 61 44
Daily variation margin on futures contracts 813 478
Deferred tax liability -- --
Unrealized depreciation on foreign currency exchange
contracts -- --
Options written, at market value** -- --
Payable upon return of securities loaned 34,893 100,635
Unrealized depreciation on index swap contracts -- --
Interest rate swap contracts, at market value**** -- --
------------------- --------------------
Total liabilities 65,569 113,330
------------------- --------------------
NET ASSETS $ 1,840,460 $ 728,680
=================== ====================
Net Assets Consist of:
Undistributed (overdistributed) net investment income $ 492 $ (750)
Accumulated net realized gain (loss) (133,012) 86,764
Unrealized appreciation (depreciation) on:
Investments 170,222 109,805
Futures contracts (2,212) (1,763)
Options written -- --
Index swap contracts -- --
Interest rate swap contracts -- --
Foreign currency-related transactions -- --
Shares of beneficial interest 473 143
Additional paid-in capital 1,804,497 534,481
------------------- --------------------
NET ASSETS $ 1,840,460 $ 728,680
=================== ====================
</Table>
See accompanying notes which are an integral part of the financial statements.
134 Statement of Assets and Liabilities
<Table>
<Caption>
QUANTITATIVE EQUITY INTERNATIONAL SECURITIES EMERGING MARKETS REAL ESTATE SECURITIES SHORT TERM
FUND FUND FUND FUND BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
$ 1,781,414 $ 1,799,890 $ 406,393 $ 808,450 $ 1,056,978
- --------------------------------------------------------------------------------------------------------------------------------
2,008,947 2,010,796 499,333 1,009,692 1,055,788
-- -- -- -- 5,882
-- 4,016 4,969 -- 70
-- 960 81 -- 1
1,967 6,507 1,838 913 5,838
5,313 20,205 3,804 6,419 23,409
5,358 4,634 2,263 3,062 5,689
-- 456 -- -- --
-- -- -- -- 148
-- -- -- -- 52
99 184 101 -- --
-- -- -- -- 61
-------------------- -------------------- -------------------- -------------------- ----------------------
2,021,684 2,047,758 512,389 1,020,086 1,096,938
-------------------- -------------------- -------------------- -------------------- ----------------------
-- 51 306 -- --
9,392 32,318 4,023 7,957 28,475
1,658 1,389 368 1,098 2,957
1,721 1,628 729 1,150 633
83 107 66 1 108
475 1,474 530 -- --
-- 78 971 -- --
-- 2,586 286 -- --
-- 3,030 2,191 -- 16
50,028 445,759 15,536 17,542 561
-- -- -- -- --
-- -- -- -- 109
-------------------- -------------------- -------------------- -------------------- ----------------------
63,357 488,420 25,006 27,748 32,859
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 1,958,327 $ 1,559,338 $ 487,383 $ 992,338 $ 1,064,079
==================== ==================== ==================== ==================== ======================
$ 611 $ (4,789) $ (8,255) $ (3,211) $ 1,593
(72,495) (121,337) (96,975) 63,413 341
227,533 210,906 92,940 201,242 (1,190)
(1,597) 1,757 (1,145) -- (354)
-- (268) (1,065) -- 14
-- -- -- -- --
-- -- -- -- (388)
-- (1,734) (257) -- (5)
571 288 415 281 560
1,803,704 1,474,515 501,725 730,613 1,063,508
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 1,958,327 $ 1,559,338 $ 487,383 $ 992,338 $ 1,064,079
==================== ==================== ==================== ==================== ======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 135
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED EQUITY SPECIAL GROWTH
FUND FUND
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, offering and redemption price per share:
Net asset value per share: Class C***** $ 37.99 $ 47.96
Class C -- Net assets $ 83,630,120 $ 44,659,549
Class C -- Shares outstanding ($.01 par value) 2,201,579 931,169
Net asset value per share: Class E***** $ 38.97 $ 50.02
Class E -- Net assets $ 41,475,199 $ 19,923,795
Class E -- Shares outstanding ($.01 par value) 1,064,280 398,295
Net asset value per share: Class I***** $ -- $ --
Class I -- Net assets $ -- $ --
Class I -- Shares outstanding ($.01 par value) -- --
Net asset value per share: Class S***** $ 38.96 $ 51.34
Class S -- Net assets $ 1,715,354,319 $ 664,095,459
Class S -- Shares outstanding ($.01 par value) 44,023,992 12,935,755
- -----------------------------------------------------------------------------------------------------------
Amounts in thousands
* Foreign currency holdings -- cost $ -- $ --
** Premiums received on options written $ -- $ --
*** Securities on loan included in investments $ 34,025 $ 97,940
**** Interest rate swap contracts -- premiums paid
(received) $ -- $ --
***** Net asset value per share equals class level net
assets divided by class level shares of beneficial
interest outstanding.
</Table>
See accompanying notes which are an integral part of the financial statements.
136 Statement of Assets and Liabilities
<Table>
<Caption>
QUANTITATIVE EQUITY INTERNATIONAL SECURITIES EMERGING MARKETS REAL ESTATE SHORT TERM
FUND FUND FUND SECURITIES FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------
$ 33.53 $ 52.16 $ 11.43 $ 34.74 $ 18.98
$ 85,394,882 $ 68,190,704 $ 16,903,042 $ 43,406,420 $ 40,183,191
2,547,004 1,307,243 1,478,686 1,249,389 2,117,465
$ 34.24 $ 53.79 $ 11.76 $ 35.08 $ 19.03
$ 44,146,918 $ 32,416,805 $ 11,596,611 $ 19,735,908 $ 22,774,367
1,289,408 602,696 986,235 562,547 1,196,503
$ -- $ -- $ -- $ -- $ --
$ -- $ -- $ -- $ -- $ --
-- -- -- -- --
$ 34.33 $ 54.25 $ 11.75 $ 35.36 $ 19.01
$ 1,828,785,058 $ 1,458,730,708 $ 458,883,346 $ 929,195,696 $ 1,001,121,391
53,265,247 26,888,151 39,045,972 26,276,926 52,664,727
- ------------------------------------------------------------------------------------------------------------------------------
$ -- $ 4,062 $ 5,019 $ -- $ 69
$ -- $ 2,762 $ 1,126 $ -- $ 30
$ 48,826 $ 424,204 $ 15,162 $ 17,030 $ 549
$ -- $ -- $ -- $ -- $ 340
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 137
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED BOND MULTISTRATEGY BOND
AMOUNTS IN THOUSANDS FUND FUND
- -----------------------------------------------------------------------------------------------------------
ASSETS
Investments, at identified cost $ 1,806,470 $ 1,601,339
- -----------------------------------------------------------------------------------------------------------
Investments, at market*** 1,802,605 1,606,331
Cash 6,985 1,104
Foreign currency holdings* 668 290
Unrealized appreciation on foreign currency exchange
contracts 1 23
Receivables:
Dividends and interest 9,944 9,207
Investments sold 67,231 62,855
Fund shares sold 3,034 2,762
Foreign taxes recoverable -- --
From Advisor -- --
Daily variation margin on futures contracts 173 314
Prepaid expenses -- 91
Interest rate swap contracts, at market value**** -- 151
------------------- --------------------
Total assets $ 1,890,641 $ 1,683,128
------------------- --------------------
LIABILITIES
Payables:
Due to Custodian -- --
Investments purchased 338,825 256,694
Fund shares redeemed 1,053 574
Accrued fees to affiliates 703 878
Other accrued expenses 29 58
Daily variation margin on futures contracts -- 19
Deferred tax liability -- --
Unrealized depreciation on foreign currency exchange
contracts 50 129
Options written, at market value** 35 311
Payable upon return of securities loaned 359,364 251,643
Unrealized depreciation on index swap contracts -- 599
Interest rate swap contracts, at market value**** -- 172
------------------- --------------------
Total liabilities 700,059 511,077
------------------- --------------------
NET ASSETS $ 1,190,582 $ 1,172,051
=================== ====================
Net Assets Consist of:
Undistributed (overdistributed) net investment income $ 2,795 $ 2,199
Accumulated net realized gain (loss) (2,718) 6,597
Unrealized appreciation (depreciation) on:
Investments (3,865) 4,992
Futures contracts (930) (2,011)
Options written 41 190
Index swap contracts -- (599)
Interest rate swap contracts -- (488)
Foreign currency-related transactions (53) (108)
Shares of beneficial interest 508 1,132
Additional paid-in capital 1,194,804 1,160,147
------------------- --------------------
NET ASSETS $ 1,190,582 $ 1,172,051
=================== ====================
</Table>
See accompanying notes which are an integral part of the financial statements.
138 Statement of Assets and Liabilities
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
TAX EXEMPT BOND LARGE CAP MID & SMALL CAP SELECT GROWTH SELECT VALUE
FUND FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
$ 179,265 $ 285,276 $ 117,213 $ 98,898 $ 227,605
- --------------------------------------------------------------------------------------------------------------------------
183,255 354,705 129,421 107,271 250,123
-- -- -- 22 --
-- -- -- -- --
-- -- -- -- --
2,453 302 47 45 332
1,099 451 -- 1,208 1,311
1,168 1,329 508 449 890
-- -- -- -- --
-- -- 34 65 10
-- -- -- -- 6
-- 35 -- -- --
-- -- -- -- --
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 187,975 $ 356,822 $ 130,010 $ 109,060 $ 252,672
-------------------- -------------------- -------------------- -------------------- ----------------------
14 -- -- -- --
1,453 287 -- 1,612 1,771
175 36 30 108 349
86 283 166 103 247
3 28 22 16 72
-- 132 55 45 73
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
-- 1,928 9,841 5,560 4,303
-- -- -- -- --
-- -- -- -- --
-------------------- -------------------- -------------------- -------------------- ----------------------
1,731 2,694 10,114 7,444 6,815
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 186,244 $ 354,128 $ 119,896 $ 101,616 $ 245,857
==================== ==================== ==================== ==================== ======================
$ 371 $ 544 $ (182) $ (185) $ 138
(1,016) (111,250) (20,773) (22,588) (24,070)
3,990 69,429 12,208 8,373 22,518
-- (241) (215) (59) (339)
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
86 215 118 142 252
182,813 395,431 128,740 115,933 247,358
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 186,244 $ 354,128 $ 119,896 $ 101,616 $ 245,857
==================== ==================== ==================== ==================== ======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 139
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED BOND MULTISTRATEGY BOND
FUND FUND
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, offering and redemption price per share:
Net asset value per share: Class C***** $ 23.90 $ 10.33
Class C -- Net assets $ 41,247,467 $ 43,903,195
Class C -- Shares outstanding ($.01 par value) 1,725,557 4,248,204
Net asset value per share: Class E***** $ 23.97 $ 10.34
Class E -- Net assets $ 38,934,023 $ 26,108,607
Class E -- Shares outstanding ($.01 par value) 1,623,956 2,524,217
Net asset value per share: Class I***** $ -- $ --
Class I -- Net assets $ -- $ --
Class I -- Shares outstanding ($.01 par value) -- --
Net asset value per share: Class S***** $ 23.42 $ 10.35
Class S -- Net assets $ 1,110,400,438 $ 1,102,039,937
Class S -- Shares outstanding ($.01 par value) 47,421,573 106,460,135
- -----------------------------------------------------------------------------------------------------------
Amounts in thousands
* Foreign currency holdings -- cost 670 287
** Premiums received on options written 76 501
*** Securities on loan included in investments 350,811 246,191
**** Interest rate swap contracts -- premiums paid
(received) -- 467
***** Net asset value per share equals class level net
assets divided by class level shares of beneficial
interest outstanding.
</Table>
See accompanying notes which are an integral part of the financial statements.
140 Statement of Assets and Liabilities
<Table>
<Caption>
TAX EXEMPT TAX-MANAGED TAX-MANAGED SELECT GROWTH SELECT VALUE
BOND FUND LARGE CAP FUND MID & SMALL CAP FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
$ 21.68 $ 16.16 $ 9.80 $ 6.89 $ 9.67
$ 11,465,951 $ 12,974,248 $ 5,895,879 $ 5,038,932 $ 14,359,405
528,924 802,781 601,853 731,021 1,485,585
$ 21.74 $ 16.47 $ 10.14 $ 7.09 $ 9.77
$ 6,919,658 $ 5,570,879 $ 1,007,682 $ 5,539,129 $ 8,248,728
318,274 338,294 99,415 781,405 844,254
$ -- $ -- $ -- $ 7.18 $ 9.79
$ -- $ -- $ -- $ 42,754,659 $ 83,734,330
-- -- -- 5,955,923 8,553,756
$ 21.72 $ 16.51 $ 10.21 $ 7.16 $ 9.77
$ 167,858,209 $ 335,582,639 $ 112,991,945 $ 48,282,960 $ 139,515,028
7,729,969 20,330,214 11,064,931 6,745,839 14,273,287
- --------------------------------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ --
$ -- $ -- $ -- $ -- $ --
$ -- $ 1,887 $ 9,583 $ 5,382 $ 4,193
$ -- $ -- $ -- $ -- $ --
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 141
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED EQUITY SPECIAL GROWTH
AMOUNTS IN THOUSANDS FUND FUND
- -----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 12,732 $ 3,706
Dividends from affiliated money market funds 601 179
Interest 44 11
Securities lending income 53 188
Less foreign taxes withheld -- --
------------------- --------------------
Total investment income 13,430 4,084
------------------- --------------------
EXPENSES
Advisory fees 6,302 3,279
Administrative fees 400 175
Custodian fees 246 191
Distribution fees - Class C 283 158
Transfer agent fees 639 713
Professional fees 50 29
Registration fees 36 23
Shareholder servicing fees - Class C 94 53
Shareholder servicing fees - Class E 48 24
Trustees' fees 26 11
Printing fees 31 11
LifePoints funds fees 677 149
Miscellaneous 25 18
------------------- --------------------
Expenses before reductions 8,857 4,834
Expense reductions (1) --
------------------- --------------------
Net expenses 8,856 4,834
------------------- --------------------
Net investment income (loss) 4,574 (750)
------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments 100,639 70,248
Futures contracts 11,770 5,413
Options written -- --
Index swap contracts -- --
Interest rate swap contracts -- --
Foreign currency-related transactions -- 1
------------------- --------------------
Net realized gain (loss) 112,409 75,662
------------------- --------------------
Net change in unrealized appreciation (depreciation) on:
Investments (30,288) (35,042)
Futures contracts (5,237) (2,908)
Options written -- --
Index swap contracts -- --
Interest rate swap contracts -- --
Foreign currency-related transactions -- --
------------------- --------------------
Net change in unrealized appreciation (depreciation) (35,525) (37,950)
------------------- --------------------
Net realized and unrealized gain (loss) 76,884 37,712
------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 81,458 $ 36,962
=================== ====================
</Table>
See accompanying notes which are an integral part of the financial statements.
142 Statement of Operations
<Table>
<Caption>
QUANTITATIVE EQUITY INTERNATIONAL SECURITIES EMERGING MARKETS REAL ESTATE SECURITIES SHORT TERM
FUND FUND FUND FUND BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
$ 14,475 $ 15,860 $ 6,515 $ 20,972 $ 31
341 575 113 131 284
22 90 10 -- 13,244
37 397 3 34 8
-- (1,755) (2,736) -- --
-------------------- -------------------- -------------------- -------------------- ----------------------
14,875 15,167 3,905 21,137 13,567
-------------------- -------------------- -------------------- -------------------- ----------------------
6,748 6,620 2,680 3,965 2,367
430 339 112 239 263
223 838 503 108 152
288 221 59 152 156
710 644 648 878 205
45 61 49 29 32
39 32 22 27 34
96 74 20 51 52
52 38 14 24 27
28 7 9 15 16
24 22 12 13 15
685 611 111 193 361
20 40 21 11 10
-------------------- -------------------- -------------------- -------------------- ----------------------
9,388 9,547 4,260 5,705 3,690
-- (1) (1) -- (296)
-------------------- -------------------- -------------------- -------------------- ----------------------
9,388 9,546 4,259 5,705 3,394
-------------------- -------------------- -------------------- -------------------- ----------------------
5,487 5,621 (354) 15,432 10,173
-------------------- -------------------- -------------------- -------------------- ----------------------
93,683 64,056 44,759 27,291 886
7,759 9,732 747 -- 866
-- (1,149) 1,730 -- 49
-- -- -- -- --
-- -- -- -- --
-- 8,191 188 -- 59
-------------------- -------------------- -------------------- -------------------- ----------------------
101,442 80,830 47,424 27,291 1,860
-------------------- -------------------- -------------------- -------------------- ----------------------
(10,924) 50,545 (5,143) (4,157) (5,051)
(3,873) 195 (1,331) -- (18)
-- (261) (1,036) -- (34)
-- -- -- -- --
-- -- -- -- (388)
-- (6,375) (460) -- (5)
-------------------- -------------------- -------------------- -------------------- ----------------------
(14,797) 44,104 (7,970) (4,157) (5,496)
-------------------- -------------------- -------------------- -------------------- ----------------------
86,645 124,934 39,454 23,134 (3,636)
-------------------- -------------------- -------------------- -------------------- ----------------------
$ 92,132 $ 130,555 $ 39,100 $ 38,566 $ 6,537
==================== ==================== ==================== ==================== ======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 143
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED MULTISTRATEGY
AMOUNTS IN THOUSANDS BOND FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 32 $ 234
Dividends from affiliated money market funds 540 1,065
Interest 17,518 18,130
Securities lending income 110 72
Less foreign taxes withheld -- --
------------------- --------------------
Total investment income 18,200 19,501
------------------- --------------------
EXPENSES
Advisory fees 2,253 3,195
Administrative fees 261 241
Custodian fees 220 211
Distribution fees - Class C 145 151
Transfer agent fees 330 408
Transfer agent fees - Class C -- --
Transfer agent fees - Class E -- --
Transfer agent fees - Class I -- --
Transfer agent fees - Class S -- --
Professional fees 41 33
Registration fees 29 33
Shareholder servicing fees - Class C 48 50
Shareholder servicing fees - Class E 45 29
Trustees' fees 17 16
Printing fees 17 11
LifePoints funds fees 462 452
Miscellaneous 12 10
------------------- --------------------
Expenses before reductions 3,880 4,840
Expense reductions (5) (13)
------------------- --------------------
Net expenses 3,875 4,827
------------------- --------------------
Net investment income (loss) 14,325 14,674
------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments 12,947 10,026
Futures contracts 1,746 3,444
Options written 274 129
Index swap contracts -- 1,072
Interest rate swap contracts -- 49
Foreign currency-related transactions (601) (1,102)
------------------- --------------------
Net realized gain (loss) 14,366 13,618
------------------- --------------------
Net change in unrealized appreciation (depreciation) on:
Investments (17,216) (11,938)
Futures contracts (1,172) (2,846)
Options written 11 147
Index swap contracts -- (640)
Interest rate swap contracts -- (488)
Foreign currency-related transactions 396 658
------------------- --------------------
Net change in unrealized appreciation (depreciation) (17,981) (15,107)
------------------- --------------------
Net realized and unrealized gain (loss) (3,615) (1,489)
------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 10,710 $ 13,185
=================== ====================
</Table>
See accompanying notes which are an integral part of the financial statements.
144 Statement of Operations
<Table>
<Caption>
TAX EXEMPT TAX-MANAGED LARGE TAX-MANAGED MID & SELECT GROWTH SELECT VALUE
BOND FUND CAP FUND SMALL CAP FUND FUND FUND
- -----------------------------------------------------------------------------------------------------
$ -- $ 2,448 $ 545 $ 289 $ 2,254
31 92 27 30 59
3,351 7 2 2 5
-- 4 21 11 11
-- -- -- -- --
----------------- ----------------- ----------------- ----------------- -----------------
3,382 2,551 595 332 2,329
----------------- ----------------- ----------------- ----------------- -----------------
259 1,199 586 381 839
43 84 30 24 60
50 63 53 75 134
39 44 21 17 48
54 102 79 -- --
-- -- -- 6 19
-- -- -- 4 8
-- -- -- 20 23
-- -- -- 28 136
15 18 16 17 45
20 15 15 16 16
13 15 7 6 16
8 6 1 6 10
3 5 2 1 3
3 6 2 -- 3
-- 43 13 -- --
1 7 5 10 14
----------------- ----------------- ----------------- ----------------- -----------------
508 1,607 830 611 1,374
-- -- (53) (94) (14)
----------------- ----------------- ----------------- ----------------- -----------------
508 1,607 777 517 1,360
----------------- ----------------- ----------------- ----------------- -----------------
2,874 944 (182) (185) 969
----------------- ----------------- ----------------- ----------------- -----------------
(57) 3,462 14,886 5,128 14,080
-- 2,162 729 431 1,429
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
----------------- ----------------- ----------------- ----------------- -----------------
(57) 5,624 15,615 5,559 15,509
----------------- ----------------- ----------------- ----------------- -----------------
(2,920) 20,335 (8,745) (4,661) 2,916
-- (945) (383) (165) (874)
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
----------------- ----------------- ----------------- ----------------- -----------------
(2,920) 19,390 (9,128) (4,826) 2,042
----------------- ----------------- ----------------- ----------------- -----------------
(2,977) 25,014 6,487 733 17,551
----------------- ----------------- ----------------- ----------------- -----------------
$ (103) $ 25,958 $ 6,305 $ 548 $ 18,520
================= ================= ================= ================= =================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 145
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
DIVERSIFIED EQUITY SPECIAL GROWTH QUANTITATIVE EQUITY
FUND FUND FUND
----------------------------- ----------------------------- ------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net investment income
(loss) $ 4,574 $ 6,921 $ (750) $ (1,430) $ 5,487 $ 8,529
Net realized gain (loss) 112,409 (2,872) 75,662 58,822 101,442 (11,751)
Net change in unrealized
appreciation
(depreciation) (35,525) 233,298 (37,950) 157,908 (14,797) 274,488
------------ ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in net
assets from operations 81,458 237,347 36,962 215,300 92,132 271,266
------------ ----------- ------------ ----------- ------------ ------------
DISTRIBUTIONS
From net investment
income
Class C -- (1) -- -- -- (10)
Class E (46) (85) -- -- (85) (112)
Class I -- -- -- -- -- --
Class S (4,876) (5,995) -- -- (5,630) (7,568)
From net realized gain
Class C -- -- (1,068) -- -- --
Class E -- -- (460) -- -- --
Class S -- -- (16,646) -- -- --
------------ ----------- ------------ ----------- ------------ ------------
Net decrease in net assets from
distributions (4,922) (6,081) (18,174) -- (5,715) (7,690)
------------ ----------- ------------ ----------- ------------ ------------
SHARE TRANSACTIONS
Net increase (decrease)
in net assets from
share transactions 220,261 282,744 25,701 (82,089) 213,931 263,950
------------ ----------- ------------ ----------- ------------ ------------
TOTAL NET INCREASE (DECREASE)
IN NET ASSETS 296,797 514,010 44,489 133,211 300,348 527,526
NET ASSETS
Beginning of period 1,543,663 1,029,653 684,191 550,980 1,657,979 1,130,453
------------ ----------- ------------ ----------- ------------ ------------
End of period $ 1,840,460 $ 1,543,663 $ 728,680 $ 684,191 $ 1,958,327 $ 1,657,979
============ =========== ============ =========== ============ ============
Undistributed
(overdistributed) net
investment income
included in net assets $ 492 $ 840 $ (750) $ -- $ 611 $ 839
</Table>
See accompanying notes which are an integral part of the financial statements.
146 Statement of Changes in Net Assets
<Table>
<Caption>
INTERNATIONAL SECURITIES EMERGING MARKETS REAL ESTATE SECURITIES SHORT TERM BOND
FUND FUND FUND FUND
----------------------------- ----------------------------- ----------------------------- -------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- -----------------------------------------------------------------------------------------------------------------------------------
$ 5,621 $ 8,520 $ (354) $ 4,051 $ 15,432 $ 33,486 $ 10,173 $ 22,155
80,830 2,054 47,424 15,372 27,291 2,082 1,860 9,015
44,104 262,557 (7,970) 116,104 (4,157) 179,953 (5,496) (9,543)
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
130,555 273,131 39,100 135,527 38,566 215,521 6,537 21,627
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
(769) (125) (309) -- (765) (839) (142) (466)
(530) (175) (262) (10) (414) (546) (165) (448)
-- -- -- -- -- -- -- --
(26,815) (10,212) (11,244) (1,302) (20,828) (30,677) (8,788) (19,621)
-- -- -- -- (7) (87) -- --
-- -- -- -- (4) (45) -- --
-- -- -- -- (174) (2,473) -- --
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
(28,114) (10,512) (11,815) (1,312) (22,192) (34,667) (9,095) (20,535)
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
135,649 245,827 51,634 (986) 96,081 74,523 46,655 385,285
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
238,090 508,446 78,919 133,229 112,455 255,377 44,097 386,377
1,321,248 812,802 408,464 275,235 879,883 624,506 1,019,982 633,605
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
$ 1,559,338 $ 1,321,248 $ 487,383 $ 408,464 $ 992,338 $ 879,883 $ 1,064,079 $ 1,019,982
============ ============ ============ ============ ============ ============ ============ ==============
$ (4,789) $ 17,704 $ (8,255) $ 3,914 $ (3,211) $ 3,364 $ 1,593 $ 515
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 147
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
DIVERSIFIED BOND MULTISTRATEGY BOND TAX EXEMPT BOND
FUND FUND FUND
----------------------------- ----------------------------- ------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net investment income
(loss) $ 14,325 $ 27,629 $ 14,674 $ 23,624 $ 2,874 $ 5,666
Net realized gain (loss) 14,366 24,962 13,618 21,691 (57) 1,122
Net change in unrealized
appreciation
(depreciation) (17,981) (11,562) (15,107) 10,480 (2,920) (575)
------------ ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in net
assets from operations 10,710 41,029 13,185 55,795 (103) 6,213
------------ ----------- ------------ ----------- ------------ ------------
DISTRIBUTIONS
From net investment
income
Class C (317) (612) (621) (620) (119) (231)
Class E (431) (805) (436) (421) (102) (183)
Class I -- -- -- -- -- --
Class S (14,030) (25,990) (20,058) (20,948) (2,589) (5,249)
From net realized gain
Class C (812) (635) (525) -- -- --
Class E (760) (625) (300) -- -- --
Class S (22,428) (18,769) (12,913) -- -- --
------------ ----------- ------------ ----------- ------------ ------------
Net decrease in net assets from
distributions (38,778) (47,436) (34,853) (21,989) (2,810) (5,663)
------------ ----------- ------------ ----------- ------------ ------------
SHARE TRANSACTIONS
Net increase (decrease)
in net assets from
share transactions 170,551 217,274 249,751 275,998 30,205 (2,503)
------------ ----------- ------------ ----------- ------------ ------------
TOTAL NET INCREASE (DECREASE)
IN NET ASSETS 142,483 210,867 228,083 309,804 27,292 (1,953)
NET ASSETS
Beginning of period 1,048,099 837,232 943,968 634,164 158,952 160,905
------------ ----------- ------------ ----------- ------------ ------------
End of period $ 1,190,582 $ 1,048,099 $ 1,172,051 $ 943,968 $ 186,244 $ 158,952
============ =========== ============ =========== ============ ============
Undistributed
(overdistributed) net
investment income
included in net assets $ 2,795 $ 3,248 $ 2,199 $ 8,640 $ 371 $ 307
</Table>
See accompanying notes which are an integral part of the financial statements.
148 Statement of Changes in Net Assets
<Table>
<Caption>
TAX-MANAGED LARGE CAP TAX-MANAGED MID & SMALL CAP SELECT GROWTH SELECT VALUE
FUND FUND FUND FUND
----------------------------- ----------------------------- ----------------------------- -------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- -----------------------------------------------------------------------------------------------------------------------------------
$ 944 $ 2,209 $ (182) $ (97) $ (185) $ (242) $ 969 $ 802
5,624 (731) 15,615 338 5,559 1,315 15,509 (1,408)
19,390 57,730 (9,128) 27,070 (4,826) 16,676 2,042 26,381
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
25,958 59,208 6,305 27,311 548 17,749 18,520 25,775
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
-- -- -- -- -- -- (8) (3)
(17) (18) -- -- -- -- (22) (29)
-- -- -- -- -- -- (384) (310)
(1,649) (2,876) -- -- -- -- (541) (343)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
(1,666) (2,894) -- -- -- -- (955) (685)
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
7,613 (89,784) 978 (1,556) 18,514 18,110 7,559 123,293
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
31,905 (33,470) 7,283 25,755 19,062 35,859 25,124 148,383
322,223 355,693 112,613 86,858 82,554 46,695 220,733 72,350
------------ ------------ ------------ ------------ ------------ ------------ ------------ --------------
$ 354,128 $ 322,223 $ 119,896 $ 112,613 $ 101,616 $ 82,554 $ 245,857 $ 220,733
============ ============ ============ ============ ============ ============ ============ ==============
$ 544 $ 1,266 $ (182) $ -- $ (185) $ -- $ 138 $ 124
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 149
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
DIVERSIFIED EQUITY FUND
Class C
April 30, 2004* 36.27 (.08) 1.80 1.72
October 31, 2003 30.52 (.13) 5.88 5.75
October 31, 2002 35.83 (.18) (5.13) (5.31)
October 31, 2001 50.12 (.24) (13.82) (14.06)
October 31, 2000 (1) 54.13 (.24) (2.55) (2.79)
December 31, 1999 (5) 52.04 (.20) 8.14 7.94
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 37.12 .06 1.84 1.90
October 31, 2003 31.10 .12 6.00 6.12
October 31, 2002 36.35 .08 (5.23) (5.15)
October 31, 2001 50.55 .07 (13.96) (13.89)
October 31, 2000 (1) 54.43 .08 (2.57) (2.49)
December 31, 1999 51.40 .13 8.81 8.94
December 31, 1998 43.64 .10 10.34 10.44
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 37.13 .11 1.84 1.95
October 31, 2003 31.09 .20 6.01 6.21
October 31, 2002 36.35 .16 (5.23) (5.07)
October 31, 2001 50.55 .18 (13.97) (13.79)
October 31, 2000 (1) 54.33 .19 (2.57) (2.38)
December 31, 1999 51.39 .28 8.79 9.07
December 31, 1998 43.64 .30 10.34 10.64
- --------------------------------------------------------------------------------------------------------------
SPECIAL GROWTH FUND
Class C
April 30, 2004* 46.99 (.28) 2.57 2.29
October 31, 2003 33.52 (.46) 13.93 13.47
October 31, 2002 37.42 (.45) (3.45) (3.90)
October 31, 2001 51.05 (.38) (7.12) (7.50)
October 31, 2000 (1) 48.22 (.38) 4.56 4.18
December 31, 1999 (5) 42.17 (.45) 9.72 9.27
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 48.77 (.10) 2.67 2.57
October 31, 2003 34.53 (.18) 14.42 14.24
October 31, 2002 38.27 (.16) (3.58) (3.74)
October 31, 2001 51.74 (.06) (7.25) (7.31)
October 31, 2000 (1) 48.55 (.07) 4.61 4.54
December 31, 1999 42.91 (.16) 9.02 8.86
December 31, 1998 45.42 (.17) .09 (.08)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 49.95 (.04) 2.75 2.71
October 31, 2003 35.28 (.08) 14.75 14.67
October 31, 2002 39.01 (.07) (3.66) (3.73)
October 31, 2001 52.52 .05 (7.37) (7.32)
October 31, 2000 (1) 49.18 .04 4.67 4.71
December 31, 1999 43.34 (.05) 9.12 9.07
December 31, 1998 45.72 .01 .08 .09
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
DIVERSIFIED EQUITY FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 --(e) -- --
October 31, 2002 -- -- --
October 31, 2001 -- (.23) --
October 31, 2000 (1) -- (1.22) --
December 31, 1999 (5) (.03) (5.82) --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.05) -- --
October 31, 2003 (.10) -- --
October 31, 2002 (.09) -- (.01)
October 31, 2001 (.08) (.23) --
October 31, 2000 (1) (.17) (1.22) --
December 31, 1999 (.09) (5.82) --
December 31, 1998 (.08) (2.60) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.12) -- --
October 31, 2003 (.17) -- --
October 31, 2002 (.16) -- (.03)
October 31, 2001 (.18) (.23) --
October 31, 2000 (1) (.18) (1.22) --
December 31, 1999 (.31) (5.82) --
December 31, 1998 (.29) (2.60) --
- ----------------------------------------------------------------------------------------
SPECIAL GROWTH FUND
Class C
April 30, 2004* -- (1.32) --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 -- (6.13) --
October 31, 2000 (1) -- (1.35) --
December 31, 1999 (5) -- (3.22) --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* -- (1.32) --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (.03) (6.13) --
October 31, 2000 (1) -- (1.35) --
December 31, 1999 -- (3.22) --
December 31, 1998 -- (2.43) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* -- (1.32) --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (.06) (6.13) --
October 31, 2000 (1) (.02) (1.35) --
December 31, 1999 (.01) (3.22) --
December 31, 1998 (.04) (2.43) --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
150 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
-- 37.99 4.74 83,630
-- 36.27 18.88 64,316
-- 30.52 (14.85) 33,858
(.23) 35.83 (28.14) 20,222
(1.22) 50.12 (5.07) 21,526
(5.85) 54.13 15.83 14,787
- -----------------------------------------------------------------------------
(.05) 38.97 5.12 41,475
(.10) 37.12 19.77 34,229
(.10) 31.10 (14.22) 23,656
(.31) 36.35 (27.59) 23,586
(1.39) 50.55 (4.49) 19,666
(5.91) 54.43 17.95 12,958
(2.68) 51.40 24.59 9,007
- -----------------------------------------------------------------------------
(.12) 38.96 5.27 1,715,354
(.17) 37.13 20.09 1,445,118
(.19) 31.09 (14.02) 972,139
(.41) 36.35 (27.41) 1,119,120
(1.40) 50.55 (4.28) 1,516,448
(6.13) 54.33 18.21 1,569,920
(2.89) 51.39 25.11 1,367,016
- -----------------------------------------------------------------------------
(1.32) 47.96 4.92 44,660
-- 46.99 40.19 36,364
-- 33.52 (10.42) 18,583
(6.13) 37.42 (15.93) 11,662
(1.35) 51.05 8.83 10,762
(3.22) 48.22 22.53 5,990
- -----------------------------------------------------------------------------
(1.32) 50.02 5.34 19,924
-- 48.77 41.24 16,581
-- 34.53 (9.77) 11,731
(6.16) 38.27 (15.29) 11,051
(1.35) 51.74 9.53 9,678
(3.22) 48.55 21.19 5,411
(2.43) 42.91 .04 6,139
- -----------------------------------------------------------------------------
(1.32) 51.34 5.46 664,095
-- 49.95 41.61 631,246
-- 35.28 (9.56) 520,666
(6.19) 39.01 (15.05) 608,921
(1.37) 52.52 9.76 759,435
(3.23) 49.18 21.45 697,211
(2.47) 43.34 .42 595,862
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
1.97 1.97 (.42) 70.80
2.05 2.05 (.39) 109.50
2.03 2.03 (.51) 128.80
1.99 1.99 (.58) 146.81
1.94 1.94 (.56) 141.75
1.94 1.94 (.41) 110.36
- ---------------------------------------------------------------------------------
1.23 1.23 .33 70.80
1.30 1.30 .36 109.50
1.28 1.28 .21 128.80
1.24 1.24 .17 146.81
1.19 1.19 .19 141.75
1.19 1.19 .23 110.36
1.33 1.33 .21 100.31
- ---------------------------------------------------------------------------------
.98 .98 .58 70.80
1.04 1.04 .61 109.50
1.03 1.03 .46 128.80
.99 .99 .42 146.81
.94 .94 .45 141.75
.93 .93 .51 110.36
.91 .91 .62 100.31
- ---------------------------------------------------------------------------------
2.27 2.27 (1.15) 58.77
2.36 2.36 (1.21) 127.15
2.31 2.31 (1.15) 125.06
2.27 2.27 (.89) 126.83
2.21 2.22 (.91) 136.00
2.23 2.23 (1.10) 111.98
- ---------------------------------------------------------------------------------
1.49 1.49 (.37) 58.77
1.62 1.62 (.46) 127.15
1.56 1.56 (.40) 125.06
1.52 1.52 (.14) 126.83
1.46 1.47 (.16) 136.00
1.49 1.49 (.36) 111.98
1.58 1.58 (.39) 129.19
- ---------------------------------------------------------------------------------
1.26 1.26 (.14) 58.77
1.35 1.35 (.19) 127.15
1.32 1.32 (.17) 125.06
1.27 1.27 .11 126.83
1.21 1.22 .08 136.00
1.24 1.24 (.10) 111.98
1.15 1.15 .03 129.19
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 151
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
QUANTITATIVE EQUITY FUND
Class C
April 30, 2004* 31.92 (.06) 1.67 1.61
October 31, 2003 26.53 (.09) 5.49 5.40
October 31, 2002 31.88 (.15) (5.20) (5.35)
October 31, 2001 43.88 (.21) (10.47) (10.68)
October 31, 2000 (1) 44.94 (.22) .07 (.15)
December 31, 1999 (5) 43.02 (.20) 8.00 7.80
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 32.55 .07 1.69 1.76
October 31, 2003 26.94 .12 5.60 5.72
October 31, 2002 32.28 .07 (5.27) (5.20)
October 31, 2001 44.17 .07 (10.57) (10.50)
October 31, 2000 (1) 45.19 .06 (.08) (.02)
December 31, 1999 42.50 .13 8.50 8.63
December 31, 1998 36.80 .12 8.54 8.66
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 32.64 .11 1.69 1.80
October 31, 2003 27.01 .20 5.61 5.81
October 31, 2002 32.36 .15 (5.28) (5.13)
October 31, 2001 44.27 .16 (10.59) (10.43)
October 31, 2000 (1) 45.19 .15 (.02) .13
December 31, 1999 42.53 .24 8.50 8.74
December 31, 1998 36.78 .27 8.55 8.82
- --------------------------------------------------------------------------------------------------------------
INTERNATIONAL SECURITIES FUND
Class C
April 30, 2004* 48.46 (.04) 4.47 4.43
October 31, 2003 38.51 (.05) 10.21 10.16
October 31, 2002 44.53 (.18) (5.84) (6.02)
October 31, 2001 62.46 (.19) (14.94) (15.13)
October 31, 2000 (1) 74.51 .17 (9.68) (9.51)
December 31, 1999 (5) 60.66 (.32) 17.92 17.60
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 49.98 .15 4.62 4.77
October 31, 2003 39.61 .28 10.50 10.78
October 31, 2002 45.47 .13 (5.99) (5.86)
October 31, 2001 63.24 .21 (15.18) (14.97)
October 31, 2000 (1) 74.95 .57 (9.74) (9.17)
December 31, 1999 60.68 .40 17.72 18.12
December 31, 1998 54.64 .28 6.53 6.81
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 50.44 .22 4.64 4.86
October 31, 2003 39.98 .38 10.59 10.97
October 31, 2002 45.78 .25 (6.05) (5.80)
October 31, 2001 63.51 .34 (15.26) (14.92)
October 31, 2000 (1) 75.11 .76 (9.82) (9.06)
December 31, 1999 60.86 .51 17.82 18.33
December 31, 1998 54.69 .69 6.32 7.01
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
QUANTITATIVE EQUITY FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 (.01) -- --
October 31, 2002 -- -- --
October 31, 2001 -- (1.32) --
October 31, 2000 (1) -- (.91) --
December 31, 1999 (5) (.04) (5.84) --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.07) -- --
October 31, 2003 (.11) -- --
October 31, 2002 (.13) -- (.01)
October 31, 2001 (.07) (1.32) --
October 31, 2000 (1) (.09) (.91) --
December 31, 1999 (.10) (5.84) --
December 31, 1998 (.16) (2.80) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.11) -- --
October 31, 2003 (.18) -- --
October 31, 2002 (.20) -- (.02)
October 31, 2001 (.16) (1.32) --
October 31, 2000 (1) (.14) (.91) --
December 31, 1999 (.24) (5.84) --
December 31, 1998 (.27) (2.80) --
- ----------------------------------------------------------------------------------------
INTERNATIONAL SECURITIES FUND
Class C
April 30, 2004* (.73) -- --
October 31, 2003 (.21) -- --
October 31, 2002 -- -- --
October 31, 2001 -- (2.80) --
October 31, 2000 (1) -- (2.54) --
December 31, 1999 (5) (.17) (3.58) --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.96) -- --
October 31, 2003 (.41) -- --
October 31, 2002 -- -- --
October 31, 2001 -- (2.80) --
October 31, 2000 (1) -- (2.54) --
December 31, 1999 (.27) (3.58) --
December 31, 1998 (.57) (.20) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (1.05) -- --
October 31, 2003 (.51) -- --
October 31, 2002 -- -- --
October 31, 2001 (.01) (2.80) --
October 31, 2000 (1) -- (2.54) --
December 31, 1999 (.50) (3.58) --
December 31, 1998 (.64) (.20) --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
152 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
-- 33.53 5.04 85,395
(.01) 31.92 20.35 65,096
-- 26.53 (16.78) 34,113
(1.32) 31.88 (24.87) 20,530
(.91) 43.88 (.16) 20,935
(5.88) 44.94 18.89 13,613
- -----------------------------------------------------------------------------
(.07) 34.24 5.41 44,147
(.11) 32.55 21.28 37,594
(.14) 26.94 (16.16) 25,667
(1.39) 32.28 (24.30) 23,700
(1.00) 44.17 .11 15,314
(5.94) 45.19 21.11 7,987
(2.96) 42.50 24.34 7,479
- -----------------------------------------------------------------------------
(.11) 34.33 5.52 1,828,785
(.18) 32.64 21.58 1,555,289
(.22) 27.01 (15.94) 1,070,673
(1.48) 32.36 (24.11) 1,200,247
(1.05) 44.27 .47 1,556,534
(6.08) 45.19 21.37 1,545,021
(3.07) 42.53 24.82 1,316,051
- -----------------------------------------------------------------------------
(.73) 52.16 9.20 68,191
(.21) 48.46 26.52 47,087
-- 38.51 (13.52) 21,860
(2.80) 44.53 (25.29) 12,470
(2.54) 62.46 (13.13) 11,849
(3.75) 74.51 29.39 7,522
- -----------------------------------------------------------------------------
(.96) 53.79 9.60 32,417
(.41) 49.98 27.57 26,768
-- 39.61 (12.91) 16,796
(2.80) 45.47 (24.70) 15,897
(2.54) 63.24 (12.58) 9,964
(3.85) 74.95 30.21 5,552
(.77) 60.68 12.53 4,431
- -----------------------------------------------------------------------------
(1.05) 54.25 9.74 1,458,731
(.51) 50.44 27.81 1,247,393
-- 39.98 (12.67) 774,146
(2.81) 45.78 (24.51) 812,857
(2.54) 63.51 (12.40) 1,061,171
(4.08) 75.11 30.52 1,133,495
(.84) 60.86 12.90 940,779
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
1.96 1.96 (.36) 49.24
2.02 2.02 (.32) 108.71
2.02 2.02 (.49) 71.10
1.98 1.98 (.57) 85.00
1.92 1.92 (.60) 59.25
1.93 1.93 (.47) 89.52
- ---------------------------------------------------------------------------------
1.22 1.22 .39 49.24
1.28 1.28 .43 108.71
1.27 1.27 .24 71.10
1.22 1.22 .18 85.00
1.17 1.17 .15 59.25
1.18 1.18 .28 89.52
1.31 1.31 .30 77.23
- ---------------------------------------------------------------------------------
.97 .97 .64 49.24
1.02 1.02 .69 108.71
1.02 1.02 .48 71.10
.98 .98 .43 85.00
.92 .92 .42 59.25
.93 .93 .53 89.52
.91 .91 .69 77.23
- ---------------------------------------------------------------------------------
2.27 2.27 (.14) 32.99
2.42 2.42 (.12) 69.11
2.46 2.46 (.42) 79.09
2.41 2.41 (.36) 104.65
2.29 2.30 .30 101.84
2.30 2.30 (.51) 120.52
- ---------------------------------------------------------------------------------
1.50 1.50 .56 32.99
1.67 1.67 .67 69.11
1.72 1.72 .30 79.09
1.66 1.66 .41 104.65
1.54 1.55 1.00 101.84
1.55 1.55 .61 120.52
1.64 1.64 .49 68.46
- ---------------------------------------------------------------------------------
1.25 1.25 .81 32.99
1.42 1.42 .90 69.11
1.47 1.47 .55 79.09
1.42 1.42 .62 104.65
1.29 1.30 1.31 101.84
1.30 1.30 .79 120.52
1.22 1.22 1.15 68.46
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 153
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
EMERGING MARKETS FUND
Class C
April 30, 2004* 10.68 (.07) 1.06 .99
October 31, 2003 7.22 .02 3.44 3.46
October 31, 2002 6.89 (.09) .42 .33
October 31, 2001 9.15 (.04) (2.22) (2.26)
October 31, 2000 (1) 12.47 (.10) (3.20) (3.30)
December 31, 1999 (5) 8.07 (.12) 4.57 4.45
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 10.98 (.02) 1.09 1.07
October 31, 2003 7.41 .09 3.49 3.58
October 31, 2002 7.01 (.02) .42 .40
October 31, 2001 9.24 .02 (2.25) (2.23)
October 31, 2000 (1) 12.51 (.03) (3.20) (3.23)
December 31, 1999 8.48 (.04) 4.14 4.10
December 31, 1998 (4) 7.37 (.02) 1.13 1.11
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 10.98 (.01) 1.09 1.08
October 31, 2003 7.43 .11 3.48 3.59
October 31, 2002 7.05 --(e) .40 .40
October 31, 2001 9.25 .04 (2.24) (2.20)
October 31, 2000 (1) 12.52 --(e) (3.21) (3.21)
December 31, 1999 8.48 .03 4.10 4.13
December 31, 1998 11.79 .12 (3.35) (3.23)
- --------------------------------------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
Class C
April 30, 2004* 33.94 .39 1.10 1.49
October 31, 2003 26.52 1.11 7.53 8.64
October 31, 2002 26.97 1.07 (.01) 1.06
October 31, 2001 25.93 1.16 1.02 2.18
October 31, 2000 (1) 22.69 .84 3.11 3.95
December 31, 1999 (5) 24.13 1.08 (1.06) .02
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 34.24 .53 1.12 1.65
October 31, 2003 26.72 1.34 7.60 8.94
October 31, 2002 27.14 1.32 (.06) 1.26
October 31, 2001 26.07 1.38 1.03 2.41
October 31, 2000 (1) 22.76 .98 3.14 4.12
December 31, 1999 24.27 1.28 (1.24) .04
December 31, 1998 31.02 1.26 (6.12) (4.86)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 34.51 .59 1.11 1.70
October 31, 2003 26.89 1.42 7.67 9.09
October 31, 2002 27.31 1.41 (.06) 1.35
October 31, 2001 26.22 1.46 1.03 2.49
October 31, 2000 (1) 22.86 1.04 3.15 4.19
December 31, 1999 24.44 1.30 (1.20) .10
December 31, 1998 30.86 1.34 (6.13) (4.79)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- -----------------------------------------------------------------------------------------
EMERGING MARKETS FUND
Class C
April 30, 2004* (.24) -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.02) -- --
December 31, 1999 (5) (.05) -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.29) -- --
October 31, 2003 (.01) -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.04) -- --
December 31, 1999 (.07) -- --
December 31, 1998 (4) -- -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.31) -- --
October 31, 2003 (.04) -- --
October 31, 2002 (.02) -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.06) -- --
December 31, 1999 (.09) -- --
December 31, 1998 (.08) -- --
- -----------------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
Class C
April 30, 2004* (.68) (.01) --
October 31, 2003 (1.11) (.11) --
October 31, 2002 (1.51) -- --
October 31, 2001 (1.14) -- --
October 31, 2000 (1) (.71) -- --
December 31, 1999 (5) (1.46) -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.80) (.01) --
October 31, 2003 (1.31) (.11) --
October 31, 2002 (1.68) -- --
October 31, 2001 (1.34) -- --
October 31, 2000 (1) (.81) -- --
December 31, 1999 (1.55) -- --
December 31, 1998 (1.43) (.46) --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.84) (.01) --
October 31, 2003 (1.36) (.11) --
October 31, 2002 (1.77) -- --
October 31, 2001 (1.40) -- --
October 31, 2000 (1) (.83) -- --
December 31, 1999 (1.68) -- --
December 31, 1998 (1.17) (.46) --
- -----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
154 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.24) 11.43 9.50 16,903
-- 10.68 47.58 12,306
-- 7.22 4.94 5,194
-- 6.89 (24.70) 2,377
(.02) 9.15 (26.51) 2,228
(.05) 12.47 55.43 1,631
- -----------------------------------------------------------------------------
(.29) 11.76 9.86 11,597
(.01) 10.98 48.39 9,598
-- 7.41 5.71 6,478
-- 7.01 (24.13) 6,959
(.04) 9.24 (25.90) 6,388
(.07) 12.51 48.71 6,314
-- 8.48 15.06 39
- -----------------------------------------------------------------------------
(.31) 11.75 9.99 458,883
(.04) 10.98 48.27 386,560
(.02) 7.43 5.91 263,563
-- 7.05 (23.89) 273,486
(.06) 9.25 (25.79) 359,201
(.09) 12.52 49.03 430,794
(.08) 8.48 (27.57) 294,349
- -----------------------------------------------------------------------------
(.69) 34.74 4.19 43,406
(1.22) 33.94 33.23 32,784
(1.51) 26.52 3.56 15,712
(1.14) 26.97 8.41 5,718
(.71) 25.93 17.54 3,393
(1.46) 22.69 .19 1,771
- -----------------------------------------------------------------------------
(.81) 35.08 4.60 19,736
(1.42) 34.24 34.21 16,651
(1.68) 26.72 4.27 10,661
(1.34) 27.14 9.23 11,415
(.81) 26.07 18.24 9,094
(1.55) 22.76 .30 7,134
(1.89) 24.27 (16.25) 843
- -----------------------------------------------------------------------------
(.85) 35.36 4.71 929,196
(1.47) 34.51 34.58 830,448
(1.77) 26.89 4.55 598,133
(1.40) 27.31 9.48 607,280
(.83) 26.22 18.53 669,529
(1.68) 22.86 .55 589,300
(1.63) 24.44 (15.94) 576,326
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
2.79 2.79 (1.12) 35.94
3.09 3.09 .19 95.13
3.12 3.12 (1.08) 90.21
3.08 3.09 (.55) 83.74
2.91 2.92 (1.02) 73.11
2.91 2.91 (1.23) 94.85
- ---------------------------------------------------------------------------------
2.03 2.03 (.37) 35.94
2.36 2.37 1.02 95.13
2.38 2.38 (.29) 90.21
2.33 2.33 .21 83.74
2.16 2.17 (.30) 73.11
2.17 2.17 (.40) 94.85
--(d) --(d) --(d) 59.35
- ---------------------------------------------------------------------------------
1.79 1.79 (.11) 35.94
2.11 2.11 1.30 95.13
2.14 2.14 (.02) 90.21
2.09 2.09 .44 83.74
1.91 1.92 (.02) 73.11
1.91 1.91 .26 94.85
1.75 1.75 1.20 59.35
- ---------------------------------------------------------------------------------
2.11 2.11 2.13 13.76
2.20 2.30 3.67 46.09
2.19 2.59 3.74 67.70
2.17 2.17 4.20 44.50
2.16 2.16 4.06 53.30
2.14 2.14 5.12 42.69
- ---------------------------------------------------------------------------------
1.37 1.37 2.88 13.76
1.43 1.62 4.46 46.09
1.46 1.82 4.54 67.70
1.42 1.42 4.96 44.50
1.41 1.41 4.78 53.30
1.39 1.39 5.42 42.69
1.47 1.47 4.90 42.58
- ---------------------------------------------------------------------------------
1.10 1.10 3.16 13.76
1.18 1.18 4.66 46.09
1.19 1.19 4.82 67.70
1.17 1.18 5.19 44.50
1.16 1.16 5.00 53.30
1.14 1.14 5.41 42.69
1.05 1.05 4.93 42.58
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 155
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class C
April 30, 2004* 19.01 .09 (.06) .03
October 31, 2003 18.98 .31 .06 .37
October 31, 2002 19.01 .56 .13 .69
October 31, 2001 18.23 .85 .89 1.74
October 31, 2000 (1) 18.13 .79 .04 .83
December 31, 1999 (7) 18.36 .68 (.31) .37
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 19.08 .16 (.06) .10
October 31, 2003 19.04 .48 .03 .51
October 31, 2002 19.02 .77 .06 .83
October 31, 2001 18.24 1.02 .85 1.87
October 31, 2000 (1) 18.08 .88 .07 .95
December 31, 1999 (6) 18.51 .80 (.34) .46
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 19.05 .19 (.06) .13
October 31, 2003 19.01 .52 .03 .55
October 31, 2002 18.99 .80 .08 .88
October 31, 2001 18.22 1.07 .83 1.90
October 31, 2000 (1) 18.03 .91 .09 1.00
December 31, 1999 18.46 .90 (.36) .54
December 31, 1998 18.35 .99 .11 1.10
- --------------------------------------------------------------------------------------------------------------
DIVERSIFIED BOND FUND
Class C
April 30, 2004* 24.49 .19 (.05) .14
October 31, 2003 24.68 .48 .38 .86
October 31, 2002 24.49 .74(g) .23(g) .97
October 31, 2001 22.71 1.06 1.81 2.87
October 31, 2000 (1) 22.24 .99 .41 1.40
December 31, 1999 (5) 24.00 1.03 (1.61) (.58)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 24.56 .28 (.05) .23
October 31, 2003 24.74 .67 .37 1.04
October 31, 2002 24.54 .92(g) .24(g) 1.16
October 31, 2001 22.75 1.22 1.84 3.06
October 31, 2000 (1) 22.23 1.13 .44 1.57
December 31, 1999 23.92 1.30 (1.65) (.35)
December 31, 1998 24.06 1.32 .45 1.77
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 24.00 .31 (.04) .27
October 31, 2003 24.21 .71 .36 1.07
October 31, 2002 24.03 .97(g) .23(g) 1.20
October 31, 2001 22.31 1.29 1.75 3.04
October 31, 2000 (1) 21.77 1.16 .41 1.57
December 31, 1999 23.53 1.31 (1.60) (.29)
December 31, 1998 23.43 1.38 .47 1.85
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- -----------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class C
April 30, 2004* (.06) -- --
October 31, 2003 (.34) -- --
October 31, 2002 (.72) -- --
October 31, 2001 (.96) -- --
October 31, 2000 (1) (.73) -- --
December 31, 1999 (7) (.60) -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.15) -- --
October 31, 2003 (.47) -- --
October 31, 2002 (.81) -- --
October 31, 2001 (1.09) -- --
October 31, 2000 (1) (.79) -- --
December 31, 1999 (6) (.89) -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.17) -- --
October 31, 2003 (.51) -- --
October 31, 2002 (.86) -- --
October 31, 2001 (1.13) -- --
October 31, 2000 (1) (.81) -- --
December 31, 1999 (.97) -- --
December 31, 1998 (.99) -- --
- -----------------------------------------------------------------------------------------
DIVERSIFIED BOND FUND
Class C
April 30, 2004* (.20) (.53) --
October 31, 2003 (.49) (.56) --
October 31, 2002 (.78) -- --
October 31, 2001 (1.09) -- --
October 31, 2000 (1) (.93) -- --
December 31, 1999 (5) (1.05) (.13) --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.29) (.53) --
October 31, 2003 (.66) (.56) --
October 31, 2002 (.96) -- --
October 31, 2001 (1.27) -- --
October 31, 2000 (1) (1.05) -- --
December 31, 1999 (1.21) (.13) --
December 31, 1998 (1.56) (.35) --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.32) (.53) --
October 31, 2003 (.72) (.56) --
October 31, 2002 (1.02) -- --
October 31, 2001 (1.32) -- --
October 31, 2000 (1) (1.03) -- --
December 31, 1999 (1.32) (.13) (.02)
December 31, 1998 (1.40) (.35) --
- -----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
156 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.06) 18.98 .18 40,183
(.34) 19.01 1.97 41,644
(.72) 18.98 3.73 16,294
(.96) 19.01 9.77 1,709
(.73) 18.23 4.67 672
(.60) 18.13 2.02 801
- -----------------------------------------------------------------------------
(.15) 19.03 .51 22,774
(.47) 19.08 2.70 20,274
(.81) 19.04 4.53 17,516
(1.09) 19.02 10.54 17,685
(.79) 18.24 5.36 9,898
(.89) 18.08 2.53 8,693
- -----------------------------------------------------------------------------
(.17) 19.01 .67 1,001,121
(.51) 19.05 2.95 958,064
(.86) 19.01 4.81 599,795
(1.13) 18.99 10.76 401,137
(.81) 18.22 5.64 422,884
(.97) 18.03 3.03 447,590
(.99) 18.46 6.09 260,539
- -----------------------------------------------------------------------------
(.73) 23.90 .58 41,247
(1.05) 24.49 3.58 36,159
(.78) 24.68 4.11 26,915
(1.09) 24.49 13.02 15,027
(.93) 22.71 6.44 7,315
(1.18) 22.24 (2.47) 4,652
- -----------------------------------------------------------------------------
(.82) 23.97 .96 38,934
(1.22) 24.56 4.36 34,339
(.96) 24.74 4.90 26,985
(1.27) 24.54 13.87 17,763
(1.05) 22.75 7.25 5,492
(1.34) 22.23 (1.51) 3,639
(1.91) 23.92 7.63 4,703
- -----------------------------------------------------------------------------
(.85) 23.42 1.10 1,110,400
(1.28) 24.00 4.63 977,601
(1.02) 24.21 5.18 783,332
(1.32) 24.03 14.11 745,020
(1.03) 22.31 7.40 714,153
(1.47) 21.77 (1.26) 765,674
(1.75) 23.53 8.09 808,761
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
1.60 1.66 .98 50.44
1.56 1.72 1.63 187.92
1.52 1.70 3.08 163.86
1.52 1.66 4.72 260.94
1.64 1.66 5.01 92.31
1.72 1.72 4.41 177.08
- ---------------------------------------------------------------------------------
.85 .91 1.73 50.44
.80 .97 2.52 187.92
.77 .96 4.04 163.86
.77 .91 5.48 260.94
.89 .91 5.77 92.31
.97 .97 5.05 177.08
- ---------------------------------------------------------------------------------
.60 .66 1.98 50.44
.56 .72 2.70 187.92
.52 .71 4.26 163.86
.52 .67 5.76 260.94
.64 .66 6.00 92.31
.74 .74 5.22 177.08
.66 .66 5.37 129.85
- ---------------------------------------------------------------------------------
1.65 1.65 1.58 62.86
1.69 1.70 1.94 147.44
1.66 1.66 3.09(g) 156.21
1.64 1.64 4.53 155.87
1.62 1.63 5.37 128.88
1.62 1.62 4.88 152.23
- ---------------------------------------------------------------------------------
.89 .89 2.34 62.86
.94 .94 2.70 147.44
.91 .91 3.85(g) 156.21
.89 .89 5.22 155.87
.87 .88 6.13 128.88
.87 .87 5.49 152.23
.98 .98 5.42 216.88
- ---------------------------------------------------------------------------------
.65 .65 2.59 62.86
.69 .69 2.95 147.44
.66 .66 4.11(g) 156.21
.64 .65 5.60 155.87
.62 .63 6.35 128.88
.61 .61 5.78 152.23
.57 .57 5.83 216.88
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 157
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
MULTISTRATEGY BOND FUND
Class C
April 30, 2004* 10.54 .09 .02 .11
October 31, 2003 10.03 .23 .50 .73
October 31, 2002 10.20 .30(g) (.04)(g) .26
October 31, 2001 9.60 .46 .62 1.08
October 31, 2000 (1) 9.47 .44 .09 .53
December 31, 1999 (5) 10.14 .42 (.63) (.21)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 10.55 .13 .02 .15
October 31, 2003 10.03 .31 .50 .81
October 31, 2002 10.21 .38(g) (.06)(g) .32
October 31, 2001 9.61 .53 .62 1.15
October 31, 2000 (1) 9.47 .49 .11 .60
December 31, 1999 10.10 .56 (.66) (.10)
December 31, 1998 (3) 10.30 .16 .07 .23
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 10.56 .15 .01 .16
October 31, 2003 10.04 .34 .50 .84
October 31, 2002 10.22 .40(g) (.05)(g) .35
October 31, 2001 9.61 .56 .63 1.19
October 31, 2000 (1) 9.46 .52 .08 .60
December 31, 1999 10.11 .57 (.65) (.08)
December 31, 1998 10.26 .60 .08 .68
- --------------------------------------------------------------------------------------------------------------
TAX EXEMPT BOND FUND
Class C
April 30, 2004* 21.99 .26 (.30) (.04)
October 31, 2003 21.94 .58 .07 .65
October 31, 2002 21.76 .60 .22 .82
October 31, 2001 20.83 .68 .95 1.63
October 31, 2000 (1) 20.45 .59 .32 .91
December 31, 1999 (8) 21.38 .45 (.84) (.39)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 22.06 .35 (.32) .03
October 31, 2003 21.99 .75 .06 .81
October 31, 2002 21.81 .78 .18 .96
October 31, 2001 20.87 .84 .95 1.79
October 31, 2000 (1) 20.47 .71 .33 1.04
December 31, 1999 (9) 21.19 .50 (.71) (.21)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 22.03 .37 (.31) .06
October 31, 2003 21.96 .80 .07 .87
October 31, 2002 21.79 .83 .18 1.01
October 31, 2001 20.84 .89 .96 1.85
October 31, 2000 (1) 20.42 .75 .33 1.08
December 31, 1999 21.39 .84 (.95) (.11)
December 31, 1998 21.19 .81 .19 1.00
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
MULTISTRATEGY BOND FUND
Class C
April 30, 2004* (.17) (.15) --
October 31, 2003 (.22) -- --
October 31, 2002 (.43) -- --
October 31, 2001 (.48) -- --
October 31, 2000 (1) (.40) -- --
December 31, 1999 (5) (.45) (.01) --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.21) (.15) --
October 31, 2003 (.29) -- --
October 31, 2002 (.50) -- --
October 31, 2001 (.55) -- --
October 31, 2000 (1) (.46) -- --
December 31, 1999 (.52) (.01) --
December 31, 1998 (3) (.20) (.23) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.22) (.15) --
October 31, 2003 (.32) -- --
October 31, 2002 (.53) -- --
October 31, 2001 (.58) -- --
October 31, 2000 (1) (.45) -- --
December 31, 1999 (.56) (.01) --
December 31, 1998 (.60) (.23) --
- ----------------------------------------------------------------------------------------
TAX EXEMPT BOND FUND
Class C
April 30, 2004* (.27) -- --
October 31, 2003 (.60) -- --
October 31, 2002 (.64) -- --
October 31, 2001 (.70) -- --
October 31, 2000 (1) (.53) -- --
December 31, 1999 (8) (.54) -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.35) -- --
October 31, 2003 (.74) -- --
October 31, 2002 (.78) -- --
October 31, 2001 (.85) -- --
October 31, 2000 (1) (.64) -- --
December 31, 1999 (9) (.51) -- --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.37) -- --
October 31, 2003 (.80) -- --
October 31, 2002 (.84) -- --
October 31, 2001 (.90) -- --
October 31, 2000 (1) (.66) -- --
December 31, 1999 (.86) -- --
December 31, 1998 (.80) -- --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
158 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.32) 10.33 1.08 43,903
(.22) 10.54 7.37 36,397
(.43) 10.03 2.71 24,569
(.48) 10.20 11.58 15,926
(.40) 9.60 5.77 10,879
(.46) 9.47 (2.10) 6,666
- -----------------------------------------------------------------------------
(.36) 10.34 1.45 26,109
(.29) 10.55 8.23 20,975
(.50) 10.03 3.36 14,017
(.55) 10.21 12.40 12,675
(.46) 9.61 6.46 6,182
(.53) 9.47 (1.08) 3,248
(.43) 10.10 1.89 2,610
- -----------------------------------------------------------------------------
(.37) 10.35 1.47 1,102,040
(.32) 10.56 8.49 886,596
(.53) 10.04 3.72 595,577
(.58) 10.22 12.68 622,518
(.45) 9.61 6.56 593,020
(.57) 9.46 (.81) 556,703
(.83) 10.11 6.79 547,747
- -----------------------------------------------------------------------------
(.27) 21.68 (.21) 11,466
(.60) 21.99 2.98 8,701
(.64) 21.94 3.84 7,179
(.70) 21.76 7.95 2,248
(.53) 20.83 4.53 780
(.54) 20.45 (1.82) 474
- -----------------------------------------------------------------------------
(.35) 21.74 .11 6,920
(.74) 22.06 3.75 5,849
(.78) 21.99 4.54 5,051
(.85) 21.81 8.77 6,398
(.64) 20.87 5.17 3,445
(.51) 20.47 (.99) 2,854
- -----------------------------------------------------------------------------
(.37) 21.72 .28 167,858
(.80) 22.03 4.01 144,402
(.84) 21.96 4.77 148,675
(.90) 21.79 9.09 140,352
(.66) 20.84 5.37 129,084
(.86) 20.42 (.52) 123,960
(.80) 21.39 4.82 128,959
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ----------------------------------------------------------------------------------
1.85 1.85 1.81 102.85
1.94 1.95 2.22 281.71
1.85 1.85 3.08(g) 252.09
1.89 1.89 4.63 176.44
1.86 1.90 5.56 105.03
1.80 1.84 4.80 134.11
- ----------------------------------------------------------------------------------
1.13 1.13 2.52 102.85
1.18 1.19 3.01 281.71
1.17 1.17 3.80(g) 252.09
1.14 1.14 5.33 176.44
1.11 1.15 6.31 105.03
1.05 1.11 5.54 134.11
--(d) --(d) --(d) 334.86
- ----------------------------------------------------------------------------------
.86 .87 2.80 102.85
.94 .94 3.22 281.71
.92 .92 4.06(g) 252.09
.89 .89 5.66 176.44
.86 .90 6.54 105.03
.80 .86 5.79 134.11
.80 .81 5.76 334.86
- ----------------------------------------------------------------------------------
1.52 1.52 2.40 17.46
1.56 1.56 2.62 37.46
1.56 1.56 2.82 39.83
1.53 1.53 3.18 31.16
1.64 1.64 3.48 38.16
1.57 1.57 3.12 119.34
- ----------------------------------------------------------------------------------
.77 .77 3.15 17.46
.81 .81 3.37 37.46
.83 .83 3.57 39.83
.78 .78 3.93 31.16
.89 .89 4.08 38.16
.82 .82 3.76 119.34
- ----------------------------------------------------------------------------------
.52 .52 3.40 17.46
.56 .56 3.62 37.46
.57 .57 3.84 39.83
.53 .53 4.21 31.16
.64 .64 4.32 38.16
.57 .57 3.99 119.34
.72 .72 3.80 74.42
- ----------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 159
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class C
April 30, 2004* 15.02 (.03) 1.17 1.14
October 31, 2003 12.61 (.04) 2.45 2.41
October 31, 2002 15.60 (.06) (2.93) (2.99)
October 31, 2001 20.68 (.10) (4.98) (5.08)
October 31, 2000 (1) 21.17 (.10) (.39) (.49)
December 31, 1999 (10) 20.92 --(e) .35 .35
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 15.30 .03 1.20 1.23
October 31, 2003 12.83 .06 2.50 2.56
October 31, 2002 15.78 .05 (2.95) (2.90)
October 31, 2001 (11) 20.10 .03 (4.25) (4.22)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 15.34 .05 1.20 1.25
October 31, 2003 12.87 .10 2.48 2.58
October 31, 2002 15.81 .09 (2.95) (2.86)
October 31, 2001 20.87 .08 (5.04) (4.96)
October 31, 2000 (1) 21.17 .08 (.37) (.29)
December 31, 1999 18.26 .14 2.88 3.02
December 31, 1998 13.90 .10 4.35 4.45
- --------------------------------------------------------------------------------------------------------------
TAX-MANAGED MID & SMALL CAP FUND
Class C
April 30, 2004* 9.33 (.06) .53 .47
October 31, 2003 7.12 (.08) 2.29 2.21
October 31, 2002 7.88 (.09) (.67) (.76)
October 31, 2001 11.07 .12 (3.31) (3.19)
October 31, 2000 (1) 10.71 (.10) .47 .37
December 31, 1999 (10) 10.00 --(e) .71 .71
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 9.62 (.03) .55 .52
October 31, 2003 7.28 (.02) 2.36 2.34
October 31, 2002 8.00 (.03) (.69) (.72)
October 31, 2001 (11) 10.00 (.01) (1.99) (2.00)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 9.68 (.01) .54 .53
October 31, 2003 7.31 --(e) 2.37 2.37
October 31, 2002 8.02 (.01) (.69) (.70)
October 31, 2001 11.15 .01 (3.14) (3.13)
October 31, 2000 (1) 10.73 --(e) .43 .43
December 31, 1999 (10) 10.00 .01 .72 .73
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- -----------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) -- -- --
December 31, 1999 (10) (.10) -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.06) -- --
October 31, 2003 (.09) -- --
October 31, 2002 (.05) -- --
October 31, 2001 (11) (.10) -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.08) -- --
October 31, 2003 (.11) -- --
October 31, 2002 (.08) -- --
October 31, 2001 (.10) -- --
October 31, 2000 (1) (.01) -- --
December 31, 1999 (.11) -- --
December 31, 1998 (.08) (.01) --
- -----------------------------------------------------------------------------------------
TAX-MANAGED MID & SMALL CAP FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.01) -- --
December 31, 1999 (10) -- -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (11) -- -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 (.01) -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.01) -- --
December 31, 1999 (10) -- -- --
- -----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
160 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
-- 16.16 7.59 12,974
-- 15.02 19.11 10,022
-- 12.61 (19.17) 7,740
-- 15.60 (24.57) 7,611
-- 20.68 (2.30) 6,596
(.10) 21.17 2.24 308
- -----------------------------------------------------------------------------
(.06) 16.47 8.03 5,571
(.09) 15.30 20.04 4,743
(.05) 12.83 (18.47) 2,618
(.10) 15.78 (21.10) 3,359
- -----------------------------------------------------------------------------
(.08) 16.51 8.19 335,583
(.11) 15.34 20.24 307,458
(.08) 12.87 (18.21) 345,335
(.10) 15.81 (23.86) 448,557
(.01) 20.87 (1.39) 674,460
(.11) 21.17 16.57 566,001
(.09) 18.26 32.08 305,452
- -----------------------------------------------------------------------------
-- 9.80 5.04 5,896
-- 9.33 31.04 5,025
-- 7.12 (9.65) 3,450
-- 7.88 (28.88) 2,688
(.01) 11.07 3.52 2,414
-- 10.71 7.10 222
- -----------------------------------------------------------------------------
-- 10.14 5.41 1,008
-- 9.62 32.14 850
-- 7.28 (9.00) 885
-- 8.00 (20.00) 837
- -----------------------------------------------------------------------------
-- 10.21 5.48 112,992
-- 9.68 32.42 106,738
(.01) 7.31 (8.77) 82,523
-- 8.02 (28.14) 90,095
(.01) 11.15 4.08 105,630
-- 10.73 7.30 29,053
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
1.90 1.90 (.41) 11.36
1.94 1.94 (.30) 127.47
1.91 1.91 (.40) 65.39
1.88 1.88 (.56) 52.57
1.86 1.86 (.58) 43.48
1.57 1.57 (.28) 48.35
- ---------------------------------------------------------------------------------
1.15 1.15 .34 11.36
1.19 1.19 .46 127.47
1.16 1.16 .36 65.39
1.15 1.15 .16 52.57
- ---------------------------------------------------------------------------------
.90 .90 .59 11.36
.94 .94 .71 127.47
.91 .91 .58 65.39
.88 .88 .45 52.57
.86 .86 .46 43.48
.85 .85 .71 48.35
.99 .99 .61 50.59
- ---------------------------------------------------------------------------------
2.25 2.34 (1.26) 77.18
2.25 2.49 (1.06) 81.91
2.25 2.53 (1.12) 89.13
2.25 2.54 (.93) 105.31
2.25 2.77 (1.05) 71.20
2.18 8.78 .73 3.33
- ---------------------------------------------------------------------------------
1.50 1.59 (.51) 77.18
1.50 1.74 (.31) 81.91
1.50 1.78 (.37) 89.13
1.50 1.84 (.16) 105.31
- ---------------------------------------------------------------------------------
1.25 1.34 (.25) 77.18
1.25 1.49 (.06) 81.91
1.25 1.53 (.13) 89.13
1.25 1.54 .07 105.31
1.25 1.85 (.04) 71.20
1.25 7.95 1.92 3.33
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 161
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
SELECT GROWTH FUND
Class C
April 30, 2004* 6.85 (.05) .09 .04
October 31, 2003 5.23 (.09) 1.71 1.62
October 31, 2002 6.65 (.10) (1.32) (1.42)
October 31, 2001 (12) 10.00 (.08) (3.27) (3.35)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 7.03 (.02) .08 .06
October 31, 2003 5.31 (.04) 1.76 1.72
October 31, 2002 6.68 (.04) (1.33) (1.37)
October 31, 2001 (12) 10.00 (.02) (3.30) (3.32)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 7.10 (.01) .09 .08
October 31, 2003 5.35 (.02) 1.77 1.75
October 31, 2002 6.71 (.02) (1.34) (1.36)
October 31, 2001 (12) 10.00 --(e) (3.29) (3.29)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 7.08 (.01) .09 .08
October 31, 2003 5.34 (.02) 1.76 1.74
October 31, 2002 6.71 (.02) (1.35) (1.37)
October 31, 2001 (12) 10.00 --(e) (3.29) (3.29)
- --------------------------------------------------------------------------------------------------------------
SELECT VALUE FUND
Class C
April 30, 2004* 8.97 (.01) .72 .71
October 31, 2003 7.41 (.01) 1.58 1.57
October 31, 2002 8.51 (.02) (1.07) (1.09)
October 31, 2001 (12) 10.00 --(e) (1.48) (1.48)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 9.05 .03 .72 .75
October 31, 2003 7.46 .06 1.58 1.64
October 31, 2002 8.53 .06 (1.07) (1.01)
October 31, 2001 (12) 10.00 .05 (1.48) (1.43)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 9.07 .05 .72 .77
October 31, 2003 7.46 .08 1.61 1.69
October 31, 2002 8.54 .08 (1.07) (.99)
October 31, 2001 (12) 10.00 .09 (1.48) (1.39)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 9.05 .04 .72 .76
October 31, 2003 7.45 .07 1.60 1.67
October 31, 2002 8.53 .07 (1.07) (1.00)
October 31, 2001 (12) 10.00 .08 (1.48) (1.40)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- -----------------------------------------------------------------------------------------
SELECT GROWTH FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (12) -- -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (12) -- -- --
- -----------------------------------------------------------------------------------------
Class I
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (12) -- -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (12) -- -- --
- -----------------------------------------------------------------------------------------
SELECT VALUE FUND
Class C
April 30, 2004* (.01) -- --
October 31, 2003 (.01) -- --
October 31, 2002 (.01) -- --
October 31, 2001 (12) (.01) -- --
- -----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.03) -- --
October 31, 2003 (.05) -- --
October 31, 2002 (.06) -- --
October 31, 2001 (12) (.04) -- --
- -----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.05) -- --
October 31, 2003 (.08) -- --
October 31, 2002 (.09) -- --
October 31, 2001 (12) (.07) -- --
- -----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.04) -- --
October 31, 2003 (.07) -- --
October 31, 2002 (.08) -- --
October 31, 2001 (12) (.07) -- --
- -----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
162 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
-- 6.89 .44 5,039
-- 6.85 31.17 3,265
-- 5.23 (21.35) 1,341
-- 6.65 (33.50) 1,017
- -----------------------------------------------------------------------------
-- 7.09 .85 5,539
-- 7.03 32.39 4,865
-- 5.31 (20.51) 2,814
-- 6.68 (33.20) 2,714
- -----------------------------------------------------------------------------
-- 7.18 1.13 42,755
-- 7.10 32.71 32,003
-- 5.35 (20.27) 18,150
-- 6.71 (32.90) 21,044
- -----------------------------------------------------------------------------
-- 7.16 1.13 48,283
-- 7.08 32.58 42,421
-- 5.34 (20.42) 24,389
-- 6.71 (32.90) 24,072
- -----------------------------------------------------------------------------
(.01) 9.67 7.88 14,359
(.01) 8.97 21.19 9,972
(.01) 7.41 (12.82) 2,061
(.01) 8.51 (14.76) 1,844
- -----------------------------------------------------------------------------
(.03) 9.77 8.37 8,249
(.05) 9.05 22.01 7,778
(.06) 7.46 (11.86) 3,314
(.04) 8.53 (14.33) 3,155
- -----------------------------------------------------------------------------
(.05) 9.79 8.58 83,734
(.08) 9.07 22.60 74,600
(.09) 7.46 (11.72) 35,169
(.07) 8.54 (13.92) 28,983
- -----------------------------------------------------------------------------
(.04) 9.77 8.39 139,515
(.07) 9.05 22.53 128,383
(.08) 7.45 (11.78) 31,806
(.07) 8.53 (14.04) 31,288
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
2.20 2.35 (1.50) 79.46
2.20 2.74 (1.57) 149.76
2.11 2.82 (1.53) 212.37
2.17 2.97 (1.32) 169.36
- ---------------------------------------------------------------------------------
1.35 1.50 (.65) 79.46
1.26 1.79 (.62) 149.76
1.16 1.87 (.58) 212.37
1.29 2.05 (.45) 169.36
- ---------------------------------------------------------------------------------
.95 1.21 (.25) 79.46
.93 1.58 (.31) 149.76
.89 1.65 (.31) 212.37
.89 1.75 (.03) 169.36
- ---------------------------------------------------------------------------------
1.06 1.22 (.37) 79.46
1.03 1.56 (.40) 149.76
.97 1.68 (.39) 212.37
.94 1.74 (.09) 169.36
- ---------------------------------------------------------------------------------
2.23 2.23 (.29) 51.30
2.15 2.42 (.12) 105.71
2.00 2.40 (.27) 92.95
2.00 2.64 -- 71.75
- ---------------------------------------------------------------------------------
1.37 1.37 .57 51.30
1.21 1.48 .77 105.71
1.04 1.43 .70 92.95
1.25 1.85 .76 71.75
- ---------------------------------------------------------------------------------
.95 .99 .99 51.30
.90 1.23 1.12 105.71
.79 1.22 .95 92.95
.79 1.48 1.25 71.75
- ---------------------------------------------------------------------------------
1.12 1.12 .82 51.30
1.01 1.28 1.03 105.71
.87 1.27 .86 92.95
.86 1.50 1.18 71.75
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 163
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
* For the six months ended April 30, 2004 (Unaudited).
(1) For the ten months ended October 31, 2000.
(2) For the period May 27, 1997 (commencement of sale) to December 31, 1997.
(3) For the period September 11, 1998 (commencement of sale) to December 31,
1998.
(4) For the period September 22, 1998 (commencement of sale) to December 31,
1998.
(5) For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(6) For the period February 18, 1999 (commencement of sale) to December 31,
1999.
(7) For the period March 3, 1999 (commencement of sale) to December 31, 1999.
(8) For the period March 29, 1999 (commencement of sale) to December 31, 1999.
(9) For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(10) For the period December 1, 1999 (commencement of operations) to December
31, 1999.
(11) For the period December 6, 2000 (commencement of sale) to October 31,
2001.
(12) For the period January 31, 2001 (commencement of operations) to October
31, 2001.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) The ratio for the period ended December 31, 1998 is not meaningful due to
the Class's short period of operation.
(e) Less than $.01 per share.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
(g) As a result of a revision to reflect accretion of market discount or
premium, certain amounts for the fiscal year ended October 31, 2002 have
been reclassified from what was previously reported. The reclassification
has no impact on the net assets of the fund. The impact of this change is
as follows:
<Table>
<Caption>
RATIO OF NET
NET REALIZED INVESTMENT INCOME
NET INVESTMENT AND UNREALIZED TO AVERAGE
INCOME (LOSS) GAIN (LOSS) NET ASSETS
$ $ %
- ----------------------------------------------------------------------------------
Diversified Bond - Class C .02 (.02) .07
Diversified Bond - Class E .01 (.01) .07
Diversified Bond - Class S .02 (.02) .07
Multi Strategy Bond - Class C (.03) .03 (.26)
Multi Strategy Bond - Class E (.02) .02 (.22)
Multi Strategy Bond - Class S (.02) .02 (.21)
</Table>
See accompanying notes which are an integral part of the financial statements.
164 Notes to Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios, referred to as "Funds."
These financial statements report on fourteen Funds, each of which has
distinct investment objectives and strategies. The Investment Company is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. It is organized and
operates as a Massachusetts business trust under an amended master trust
agreement dated July 26, 1984. The Investment Company's master trust
agreement permits the Board of Trustees to issue an unlimited number of full
and fractional shares of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Funds in the
preparation of these financial statements.
Security valuation
United States equity securities listed and traded principally on any national
securities exchange are valued on the basis of the last sale price or, if
there were no sales on that day, at the last reported price, on the primary
exchange on which the security is traded.
Fixed-income securities listed and traded principally on any national
securities exchange are valued at the evaluated bid price or, if there were
no sales on that day, at the last reported bid price, on the primary exchange
on which the security is traded. Over-the-counter fixed-income securities and
options are valued on the basis of the last sale price. Many fixed-income
securities do not trade each day, and thus last sale or bid prices are
frequently not available. Accordingly, fixed-income securities may be valued
using prices provided by a pricing service approved by the Board of Trustees
when such prices are believed to reflect the market value of such securities.
Futures contracts are valued on the basis of the last sale price. Exchange
listed futures contracts are valued on a basis of the last quoted daily
settlement prices established by the exchange on which they trade. If there
were no sales, futures are valued at the last reported bid price.
Investments in other mutual funds are valued at their net asset value per
share, calculated at the close of business.
The value of swap agreements are equal to the Funds' obligation (or rights)
under swap contracts which will generally be equal to the net amounts to be
paid or received under the contracts based upon the relative values of the
positions held by each party to the contracts.
International equity securities traded on a foreign national securities
exchange or an over-the-counter market (foreign or domestic) are valued on
the basis of the official closing price, or, lacking the official closing
price, at the last sale price on the primary exchange on which the security
is traded.
Short-Term Investments purchased by the Funds and maturing within 60 days at
the time of purchase are valued at "amortized cost" unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees. Generally, trading in
non-U.S. securities is substantially completed each day at various times
prior to the close of trading on the U.S. markets. The values of such
securities used in computing the net asset value of a portfolio's shares are
generally determined as of such times. Occasionally, events that affect the
values of such securities may occur between the times at which they are
generally determined and the close of the U.S. Markets and would therefore
not be reflected in the computation of a portfolio's net asset value. In such
event, these securities will then be valued at their fair value as determined
in good faith under consistently applied procedures established by and under
the general supervision of the Board of Trustees.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost incurred by each money manager within a particular Fund.
Notes to Financial Statements 165
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Investment income
Dividend income is recorded net of applicable withholding taxes on the
ex-dividend date, except that certain dividends from foreign securities are
recorded as soon as the Funds are informed of the ex-dividend date. Interest
income is recorded on the accrual basis. All premiums and discounts,
including original issue discounts, are amortized/accreted using the interest
method.
Reclassification of Financial Information
As a result of a revision to reflect accretion of market discount or premium,
certain amounts for the fiscal year ended October 31, 2002 have been
reclassified from what was previously reported as follows: net investment
income for the Diversified Bond Fund increased $758,964 with a corresponding
decrease to net unrealized gain (loss); net investment income for the
Multistrategy Bond Fund decreased $293,526 with a corresponding increase to
net unrealized gain (loss); and net investment income for the Short-Term Bond
Fund increased $485,704 with a corresponding decrease to net unrealized gain
(loss). These reclassifications have not impact on the net asset of the
Funds.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, each Fund is
a separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income tax provision was required for the Funds.
Dividends and distributions to shareholders
For all Funds, income, dividends and capital gain distributions, if any, are
recorded on the ex-dividend date. Dividends are generally declared and paid
quarterly for the equity Funds, annually for the international Funds and
monthly for the fixed income Funds. Capital gain distributions are generally
declared and paid annually. An additional distribution may be paid by the
Funds to avoid imposition of federal income and excise tax on any remaining
undistributed capital gains and net investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) on investment and foreign currency-related transactions for a
reporting period may differ significantly from distributions during such
period. The differences between tax regulations and GAAP primarily relate to
investments in options, futures, forward contracts, swap contracts, passive
foreign investment companies, foreign-denominated investments,
mortgage-backed securities, certain securities sold at a loss, capital loss
carryforwards and by recording gains and losses from securities transactions
on the basis of specific identified cost incurred by each money manager for
financial reporting purposes and on the basis of specific identified cost
incurred by each Fund for tax purposes.
Expenses
The Funds will pay their own expenses other than those expressly assumed by
Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most
expenses can be directly attributed to the individual Funds. Expenses which
cannot be directly attributed to a specific Fund are allocated among all
Funds principally based on their relative net assets.
Class Allocation
The Funds offer the following classes of shares: Class C, Class E, Class I
and Class S. All share classes have identical voting, dividend, liquidation
and other rights and the same terms and conditions. The separate classes of
shares differ principally in the applicable distribution fees and shareholder
servicing fees. Shareholders of each class bear certain expenses that pertain
to that particular class. Realized and unrealized gains (losses), net
investment income, and expenses with the exception of class level expenses,
are allocated daily to each class of shares based upon the relative
proportion of net assets of each class.
166 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Foreign currency translations
The books and records of the Funds are maintained in US dollars. Foreign
currency amounts and transactions of the Funds are translated into US dollars
on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from: sales and maturities of short-term securities; sales
of foreign currencies; currency gains or losses realized between the trade
and settlement dates on securities transactions; the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Funds' books and the US dollar equivalent of the amounts actually received or
paid. Net unrealized gains or losses from foreign currency-related
transactions arise from changes in the value of assets and liabilities, other
than investments in securities, at year-end, as a result of changes in the
exchange rates.
The Funds do not isolate that portion of the results of operations of the
Funds that arises as a result of changes in exchange rates from that portion
that arises from changes in market prices of investments during the year.
Such fluctuations are included with the net realized and unrealized gain or
loss from investments. However, for federal income tax purposes the Funds do
isolate the effects of changes in foreign exchange rates from the
fluctuations arising from changes in market prices for realized gain (or
loss) on debt obligations.
Derivatives
To the extent permitted by the investment objectives, restrictions and
policies set forth in the Funds' Prospectus and Statement of Additional
Information, the Funds may participate in various derivative-based
transactions. Derivative securities are instruments or agreements whose value
is derived from an underlying security or index. They include options,
futures, swaps, forwards, structured notes and stripped securities. These
instruments offer unique characteristics and risks that assist the Funds in
meeting their investment strategies.
The Funds typically use derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may be
used by certain Funds through the use of options and futures to earn
"market-like" returns with their excess and liquidity reserve cash balances.
Hedging is used by some Funds to limit or control risks, such as adverse
movements in exchange rates and interest rates. Return enhancement can be
accomplished through the use of derivatives in a Fund. By purchasing certain
instruments, Funds may more effectively achieve the desired portfolio
characteristics that assist them in meeting their investment objectives.
Depending on how the derivatives are structured and utilized, the risks
associated with them may vary widely. These risks are generally categorized
as market risk, liquidity risk and counterparty or credit risk.
Foreign currency exchange contracts
In connection with portfolio purchases and sales of securities denominated in
a foreign currency, certain Funds may enter into foreign currency exchange
spot contracts and forward foreign currency exchange contracts ("contracts").
The International Securities Fund may enter into forward foreign currency
overlays on liquidity reserve balances. Additionally, from time to time the
International Securities, Emerging Markets, Short Term Bond, Diversified Bond
and Multistrategy Bond Funds may enter into contracts to hedge certain
foreign currency-denominated assets. Contracts are recorded at market value.
Certain risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and are
generally limited to the amount of unrealized gain on the contracts, if any,
that are recognized in the Statement of Assets and Liabilities. Realized
gains or losses arising from such transactions are included in net realized
gain (or loss) from foreign currency-related transactions. Open contracts at
April 30, 2004 are presented on the Schedule of Investments for the
applicable Funds.
Forward commitments
The Funds may contract to purchase securities for a fixed price at a future
date beyond customary settlement time (not to exceed 120 days) (i.e., a
"forward commitment", "delayed settlement" or "when issued" transaction,
e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its
investment portfolio and meet redemption requests. The price of the
underlying securities and the date when the securities will be delivered and
paid for are fixed at the time the transaction is negotiated. The
Notes to Financial Statements 167
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Funds may dispose of a forward commitment transaction prior to settlement if
it is appropriate to do so and realize short-term gains (or losses) upon such
sale. When effecting such transactions, cash or liquid high-grade debt
obligations of the Fund in a dollar amount sufficient to make payment for the
portfolio securities to be purchased will be segregated on the Fund's records
at the trade date and maintained until the transaction is settled. A forward
commitment transaction involves a risk of loss if the value of the security
to be purchased declines prior to the settlement date or the other party to
the transaction fails to complete the transaction.
Options
The Funds may purchase and sell (write) call and put options on securities
and securities indices, provided such options are traded on a national
securities exchange or in an over-the-counter market. The Funds may also
purchase and sell call and put options on foreign currencies. The domestic
equity Funds may utilize options to equitize liquidity reserve balances.
When a Fund writes a covered call or a put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the current market
value of the option written. The Fund receives a premium on the sale of a
call option but gives up the opportunity to profit from any increase in stock
value above the exercise price of the option, and when the Fund writes a put
option it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated
expiration date or the Fund enters into a closing purchase transaction, the
Fund realizes a gain (or loss, if the cost of a closing purchase transaction
exceeds the premium received when the option was sold) without regard to any
unrealized gain or loss on the underlying security, and the liability related
to such option is extinguished. If a call option which the Fund has written
is exercised, the Fund realizes a capital gain or loss from the sale of the
underlying security, and the proceeds from such sale are increased by the
premium originally received. When a put option which a Fund has written is
exercised, the amount of the premium originally received will reduce the cost
of the security which a Fund purchases upon exercise of the option. Realized
gains (losses) on purchased options are included in net realized gain (loss)
from investments.
The Funds' use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets and
Liabilities. The face or contract amounts of these instruments reflect the
extent of the Funds' exposure to market risk. The risks may be caused by an
imperfect correlation between movements in the price of the instrument and
the price of the underlying securities and interest rates.
Futures Contracts
The domestic and international equity Funds utilize futures contracts to
equitize uninvested cash balances. The fixed income Funds may utilize futures
contracts (i.e., interest rate, foreign currency and index futures contracts)
to a limited extent. The face or contract amounts of these instruments
reflect the extent of the Funds' exposure to off balance sheet risk. The
primary risks associated with the use of futures contracts are an imperfect
correlation between the change in market value of the securities held by the
Fund and the prices of futures contracts and the possibility of an illiquid
market. Upon entering into a futures contract, the Funds are required to
deposit with a broker an amount, termed the initial margin, which typically
represents 5% of the purchase price indicated in the futures contract.
Payments to and from the broker, known as variation margin, are required to
be made on a daily basis as the price of the futures contract fluctuates.
Changes in initial settlement value are accounted for as unrealized
appreciation (depreciation) until the contracts are terminated, at which time
realized gains and losses are recognized.
Swap Agreements
The Emerging Markets, Diversified Equity, Special Growth, Quantitative
Equity, Tax-Managed Large Cap, Tax-Managed Mid & Small Cap, Select Growth,
Select Value, International Securities, Diversified Bond, Multistrategy Bond
and Short Term Bond Funds may enter into swap agreements as an additional
equitization vehicle for uninvested cash balances held by those Funds or to
effect investment transactions consistent with these Funds' investment
objectives and strategies. Swap agreements are two party contracts entered
into primarily by institutional investors for periods ranging from a few
weeks to more than one year. In a standard swap transaction, the two parties
agree to exchange the returns (or differentials in rates of return) earned or
realized on particular investments or instruments. The returns to be
exchanged between the parties are calculated with respect to a "notional
amount" (i.e. a specified dollar amount that is hypothetically invested in a
"basket" of securities representing a
168 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
particular index). Amounts paid to and received from the swap counterparties
representing capital appreciation and depreciation on the underlying
securities and accrued interest expense and interest income are recorded as
net realized gain (loss). The Fund is exposed to credit risk in the event of
non-performance by the swap counterparties; however, the Fund does not
anticipate non-performance by the counterparties.
Investments in emerging markets
Investing in emerging markets may involve special risks and considerations
for the Emerging Markets Fund not typically associated with investing in the
United States markets. These risks include revaluation of currencies, high
rates of inflation, repatriation on income and capital, and future adverse
political and economic developments. Moreover, securities issued in these
markets may be less liquid, subject to government ownership controls, delayed
settlements, and their prices more volatile than those of comparable
securities in the United States.
Guarantees
In the normal course of business the Funds enter into contracts that contain
a variety of representations which provide general indemnifications. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds expect the risk of loss to be remote.
3. INVESTMENT TRANSACTIONS
Securities
During the period ended April 30, 2004, purchases and sales of investment
securities (excluding US Government and Agency obligations, short-term
investments, options, futures and repurchase agreements) were as follows:
<Table>
<Caption>
FUNDS PURCHASES SALES
- ---------------------------------------------------------------
Diversified Equity $ 1,361,492,451 $ 1,144,835,102
Special Growth 410,197,103 407,669,211
Quantitative Equity 1,100,380,035 879,527,793
International Securities 541,514,101 445,135,653
Emerging Markets 173,137,976 151,447,327
Real Estate Securities 233,861,802 133,171,649
Short Term Bond 263,378,375 221,811,600
Diversified Bond 298,538,894 265,463,507
</Table>
<Table>
<Caption>
FUNDS PURCHASES SALES
- ---------------------------------------------------------------
Multistrategy Bond $ 445,871,389 $ 419,919,892
Tax Exempt Bond 57,847,792 28,430,343
Tax-Managed Large Cap 48,139,222 36,930,118
Tax-Managed Mid & Small
Cap 88,882,909 88,317,731
Select Growth 88,990,149 70,505,873
Select Value 10,540,446 117,086,411
</Table>
Purchases and sales of US Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
<Table>
<Caption>
FUNDS PURCHASES SALES
--------------------------------------------------------------------------------
Short Term Bond $ 175,546,908 $ 172,282,228
Diversified Bond 551,415,540 501,761,183
Multistrategy Bond 501,046,746 472,549,312
</Table>
Written Options Contracts
Fund transactions in written options contracts for the period ended April 30,
2004 were as follows:
<Table>
<Caption>
INTERNATIONAL SECURITIES EMERGING MARKETS
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
------------------------------------------------------------------------------------------------------------------------------
Outstanding October 31, 2003 158 $ 639,766 297 $ 858,702
Opened 1,728 18,564,981 940 2,432,863
Closed (1,616) (16,443,209) (839) (2,165,921)
Expired -- -- -- --
------------------- ------------------- ------------------- -------------------
Outstanding April 30, 2004 270 $ 2,761,538 398 $ 1,125,644
=================== =================== =================== ===================
</Table>
Notes to Financial Statements 169
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHORT TERM BOND DIVERSIFIED BOND
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
------------------------------------------------------------------------------------------------------------------------------
Outstanding October 31, 2003 2 $ 48,509 126 $ 73,536
Opened 28 30,217 393 316,853
Closed -- -- (326) (252,421)
Expired (2) (48,509) (94) (61,726)
------------------- ------------------- ------------------- -------------------
Outstanding April 30, 2004 28 $ 30,217 99 $ 76,242
=================== =================== =================== ===================
</Table>
<Table>
<Caption>
MULTISTRATEGY BOND
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
------------------------------------------------------------------------------------
Outstanding October 31, 2003 96 $ 399,559
Opened 353 253,056
Closed (223) (124,411)
Expired (41) (27,503)
------------------- -------------------
Outstanding April 30, 2004 185 $ 500,701
=================== ===================
</Table>
Securities Lending
The Investment Company has a securities lending program whereby each Fund can
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (US currency), US Government or US Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is collateralized by cash, such collateral shall be invested by
the securities lending agent, State Street Bank and Trust Company ("State
Street"), in short-term instruments, money market mutual funds, and such
other short-term investments, provided the investments meet certain quality
and diversification requirements. The collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street and is recorded as income for the Fund. To
the extent that a loan is secured by non-cash collateral, brokers pay the
Fund negotiated lenders' fees, which are divided between the Fund and State
Street and are recorded as securities lending income for the Fund. All
collateral received will be in an amount at least equal to 102% (for loans of
US securities) or 105% (for non-US securities) of the market value of the
loaned securities at the inception of each loan. Should the borrower of the
securities fail financially, there is a risk of delay in recovery of the
securities or loss of rights in the collateral. Consequently, loans are made
only to borrowers which are deemed to be of good financial standing. As of
April 30, 2004, the value of outstanding securities on loan and the value of
collateral amounted to as follows:
<Table>
<Caption>
VALUE OF VALUE OF
FUNDS SECURITIES ON LOAN COLLATERAL
- ----------------------------------------------------------------
Diversified Equity $ 34,024,611 $ 34,892,548
Special Growth 97,940,297 100,634,995
Quantitative Equity 48,825,780 50,027,811
International
Securities 424,203,817 445,758,615
Emerging Markets 15,161,693 15,536,438
Real Estate
Securities 17,029,884 17,541,869
Short Term Bond 548,965 560,647
</Table>
<Table>
- ----------------------------------------------------------------
<Caption>
VALUE OF VALUE OF
FUNDS SECURITIES ON LOAN COLLATERAL
Diversified Bond $ 350,811,442 $ 359,364,359
Multistrategy Bond 246,190,553 251,642,669
Tax-Managed Large Cap 1,886,558 1,928,488
Tax-Managed Mid &
Small Cap 9,583,115 9,840,542
Select Growth 5,382,208 5,559,702
Select Value 4,193,304 4,303,096
</Table>
170 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
As of April 30, 2004, the cash collateral received for the securities on loan
are invested as follows:
<Table>
<Caption>
STATE STREET
SECURITIES LENDING
FUNDS FRIC MONEY MARKET QUALITY TRUST (1)
- ----------------------------------------------------------------
Diversified Equity $ 16,801,489 $ 18,091,059
Special Growth 48,457,847 52,177,148
Quantitative Equity 24,089,434 25,938,378
International
Securities 214,642,061 231,116,553
Emerging Markets 7,481,118 8,055,319
Real Estate
Securities 8,446,775 9,095,094
Short Term Bond 269,963 290,684
</Table>
<Table>
- ----------------------------------------------------------------
<Caption>
STATE STREET
SECURITIES LENDING
FUNDS FRIC MONEY MARKET QUALITY TRUST (1)
Diversified Bond $ 173,041,427 $ 186,322,932
Multistrategy Bond 121,171,189 130,471,480
Tax-Managed Large Cap 928,607 999,881
Tax-Managed Mid &
Small Cap 4,738,426 5,102,116
Select Growth 2,677,113 2,882,590
Select Value 2,072,030 2,231,066
</Table>
(1) The State Street Securities Lending Quality Trust investment balance
includes pending items that account for the difference between the total
amount invested and the total cash collateral amount.
As of April 30, 2004, the non-cash collateral received for the securities on
loan in the following funds was:
<Table>
<Caption>
NON-CASH COLLATERAL NON-CASH COLLATERAL
FUNDS VALUE HOLDING
- ----------------------------------------------------------------
Special Growth $ 53,845 Irrevocable letters
of credit
International
Securities 1,101,635 Pool of US
Government
securities
</Table>
4. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers all of the Funds which comprise the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
Frank Russell Company researches and recommends to FRIMCo, and to the
Investment Company, one or more investment management organizations to manage
the portfolio of each Fund.
The Funds are permitted to invest their cash reserves (i.e., monies awaiting
investment in portfolio securities suitable for the Funds' objectives), in
the Frank Russell Investment Company Money Market and Tax Free Money Market
Funds (series of the Investment Company not presented herein). As of April
30, 2004, $1,509,329,212 of the Money Market Fund's net assets and $7,395,894
of the Tax Free Money Market Fund's net assets represents investments by
these Funds and $1,212,104,031 of the Money Market Funds' net assets
represents the investments of other affiliated Funds not presented herein.
The advisory and administrative fees, which are based upon the average daily
net assets of each Fund and the rates specified in the table below, are
payable monthly and total $40,673,148 and $2,701,095 respectively, for the
period ended April 30, 2004.
<Table>
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
- --------------------------------------------------------------
Diversified Equity .73% .05%
Special Growth .90 .05
Quantitative Equity .73 .05
International Securities .90 .05
Emerging Markets 1.15 .05
Real Estate Securities .80 .05
Short Term Bond .45 .05
</Table>
<Table>
- --------------------------------------------------------------
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
Diversified Bond .40% .05%
Multistrategy Bond .60 .05
Tax Exempt Bond .30 .05
Tax-Managed Large Cap .70 .05
Tax-Managed Mid & Small Cap .98 .05
Select Growth .80 .05
Select Value .70 .05
</Table>
The Advisor has contractually agreed to waive up to the full amount of its
1.03% combined advisory and administrative fees for the Tax-Managed Mid &
Small Cap Fund, and to reimburse the Fund to the extent that Fund level
expenses exceed 1.20% of
Notes to Financial Statements 171
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
the Fund's average daily net assets on an annual basis. The total amount of
the waiver for the period ended April 30, 2004 was $53,068. There were no
reimbursements for the period ended April 30, 2004.
From November 1, 2003 through February 29, 2004 the advisor has contractually
agreed to waive up to the full amount of its 0.50% combined advisory and
administrative fees for the Short Term Bond Fund, and to reimburse the Fund
to the extent that Fund level expenses exceed 0.52% of the Fund's average
daily net assets on an annual basis. The total amount of the waiver for that
period was $293,361. There were no reimbursements for that period.
For the Select Growth Fund, the Advisor has contractually agreed to waive up
to the full amount of its transfer agency fees, administrative fees, and
advisory fees to the extent that expenses for Class C, Class E, Class I and
Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average
daily net assets of each such class on an annual basis. If a waiver of
advisory fees is required for any class of shares of the Fund, advisory fees
will be waived equally across all classes of the Fund. This may result in a
waiver amount that is greater than what is required to reduce total net
operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%,
0.95% and 1.15%, respectively. The total amount of the waiver for the period
ended April 30, 2004 was $93,777. There were no reimbursements for the period
ended April 30, 2004.
For the Select Value Fund, the Advisor has contractually agreed to waive up
to the full amount of its transfer agency fees, administrative fees, and
advisory fees to the extent that expenses for Class C, Class E, Class I and
Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average
daily net assets of each such class on an annual basis. If a waiver of
advisory fees is required for any class of shares of the Fund, advisory fees
will be waived equally across all classes of the Fund. This may result in a
waiver amount that is greater than what is required to reduce total net
operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%,
0.95% and 1.15%, respectively. The total amount of the waiver for the period
ended April 30, 2004 was $14,248. There were no reimbursements for the period
ended April 30, 2004.
The advisor does not have the ability to recover amounts waived or reimbursed
from previous periods.
Special Service Charge
A special servicing agreement was entered into in February 1999 by the
Advisor and approved annually by the Funds' Board of Trustees. The special
servicing agreement is between the Fund of Funds (a group of five LifePoints
Funds and the Tax-Managed Global Equity Fund which invest in a combination of
Class S shares of the Investment Company's portfolios) and the Funds listed
below, the "Underlying Funds" in which the Fund of Funds invest. In
accordance with the special servicing agreement, expenses from the operation
of the Fund of Funds are borne by the Underlying Funds based on each
Underlying Fund's proportionate share of assets owned by the Fund of Funds.
No Underlying Funds will be charged expenses that exceed the estimated
savings to each respective Underlying Fund. These estimated savings appear in
the form of reduced transfer agent costs resulting from the elimination of
separate shareholder accounts which either currently are or have potential to
be invested in the Underlying Funds. Rather than having each investor open a
shareholder account to invest individually in the Underlying Funds, the Fund
of Funds act as omnibus accounts combining thousands of individual
shareholder accounts into a single account. This benefits the Underlying
Funds, by significantly reducing the number of shareholder accounts that need
to be maintained, and by the omnibus accounts' netting out the trades of
individual shareholders to a point where the Fund of Funds only execute one
trade each day with each Underlying Fund. In the event that the financial
benefits to the Underlying Funds do not exceed aggregate expenses of any Fund
of Fund, the Advisor will reimburse the respective Underlying Funds.
For the period ended April 30, 2004, the special servicing expense charged to
the Underlying Funds amounted to:
<Table>
<Caption>
AMOUNT
UNDERLYING FUNDS PAID
- ------------------------------------------------
Diversified Equity $ 676,643
Special Growth 149,265
Quantitative Equity 685,271
International Securities 611,046
Emerging Markets 111,400
Real Estate Securities 193,264
</Table>
<Table>
- ------------------------------------------------
<Caption>
AMOUNT
UNDERLYING FUNDS PAID
Short Term Bond $ 361,487
Diversified Bond 461,750
Multistrategy Bond 451,551
Tax-Managed Large Cap 43,140
Tax-Managed Mid & Small Cap 12,942
</Table>
172 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Custodian
The Funds have entered into arrangements with their Custodian whereby custody
credits realized as a result of uninvested cash balances were used to reduce
a portion of the Funds' expenses. During the period ended April 30, 2004 the
Fund's custodian fees were reduced by the following amounts under these
arrangements:
<Table>
<Caption>
AMOUNT
FUNDS PAID
- ------------------------------------------------
Diversified Equity $ 613
Special Growth 415
Quantitative Equity 126
International Securities 1,105
Emerging Markets 1,032
Real Estate Securities 139
Short Term Bond 2,335
</Table>
<Table>
- ------------------------------------------------
<Caption>
AMOUNT
FUNDS PAID
Diversified Bond $ 4,800
Multistrategy Bond 13,471
Tax Exempt Bond 171
Tax-Managed Large Cap 12
Tax-Managed Mid & Small Cap 85
Select Growth 80
Select Value 167
</Table>
Analytic services
Fees for analytic services provided to the Funds are paid or accrued to
Russell/Mellon Analytical Services, an affiliate of the Investment Company.
Russell/Mellon Analytical Services provides TruVP System to the Funds,
pursuant to a written Service Agreement. The TruVP System provides analytics
used by the investment department. Total fees for the Funds reported herein
for the period ended April 30, 2004 were $93,144.
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Funds. Total fees for the Funds reported herein for the
period ended April 30, 2004 were $5,654,307.
In addition, FRIMCo has contractually agreed to waive a portion of its
transfer agency fees to the extent that those fees would affect "Other
Expenses" of certain Funds by one basis point or more. The total transfer
agent fee waivers for the period ended April 30, 2004 were as follows:
<Table>
<Caption>
TA FEE
FUNDS WAIVER AMOUNT
-------------------------------------------------------
Select Growth $ 19,875
Select Value 14,248
</Table>
Distributor and Shareholder Servicing
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling
Agents, as defined in the Plan, for sales support services provided, and
related expenses incurred which are primarily intended to result in the sale
of the Class C shares subject to the Distribution Plan. The 12b-1
distribution payments shall not exceed 0.75% of the average daily net assets
of a Fund's Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class E and Class C shares of the Funds. The shareholder
servicing payments shall not exceed 0.25% of the average daily net assets of
a Fund's Class E and Class C shares on an annual basis.
Pursuant to the rules of the National Association of Securities Dealers, Inc.
("NASD"), the asset-based sales charges on Shares of the Funds may not exceed
6.25% of total gross sales, subject to certain exclusions. This 6.25%
limitation is imposed at the class level of each Fund rather than on a per
shareholder basis. Therefore, long-term shareholders may pay more than the
economic equivalent of the maximum sales charges permitted by the NASD.
Notes to Financial Statements 173
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Brokerage commissions
The Funds may effect portfolio transactions through Frank Russell Securities,
Inc., an affiliate of the Advisor, when a money manager determines that the
Fund will receive competitive execution, price, and commissions. Amounts
retained by Frank Russell Securities, Inc. for the period ended April 30,
2004 were as follows:
<Table>
<Caption>
FUNDS AMOUNT
- ------------------------------------------------
Diversified Equity $ 27,449
Special Growth 31,015
Quantitative Equity 888
International Securities 77,336
Emerging Markets 47,905
</Table>
<Table>
- ------------------------------------------------
<Caption>
FUNDS AMOUNT
Real Estate Securities $ 10,284
Tax-Managed Large Cap 9,745
Tax-Managed Mid & Small Cap 6,805
Select Growth 4,301
Select Value 11,148
</Table>
Additionally, the Funds paid brokerage commissions to non-affiliated brokers
who provided brokerage and research services to the Advisor.
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 Funds, and Russell Investment Funds ("RIF"), which has
5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly meeting attended in
person, $2,000 for each special meeting attended in person, and $2,000 for
each Joint Audit Committee meeting or Nominating and Governance Committee
meeting attended in person. The Trustee will receive a $500 fee for attending
the meetings by phone instead of receiving the full fee had the member
attended in person. Out of pocket expenses are also paid by the Russell Fund
Complex. The Lead Trustee is paid a fee of $10,000 per year, and each
Committee Chair is paid a fee of $6,000 per year.
5. FEDERAL INCOME TAXES
At October 31, 2003, the following Funds had net tax basis capital loss
carryforwards which may be applied against any net realized taxable gains in
each succeeding year or until their respective expiration dates, whichever
occurs first. Available capital loss carryforwards and expiration dates are
as follows:
<Table>
<Caption>
FUNDS 10/31/04 10/31/05 10/31/06 10/31/07
----------------------------------------------------------------------------------------------------------------
Diversified Equity $ -- $ -- $ -- $ --
Quantitative Equity -- -- -- --
International Securities -- -- -- --
Emerging Markets -- -- 50,206,158 30,325,300
Real Estate Securities -- -- -- --
Short Term Bond -- -- -- --
Tax Exempt Bond -- -- -- --
Tax-Managed Large Cap -- -- 456,687 716,803
Tax-Managed Mid & Small Cap -- -- -- --
Select Growth -- -- -- --
Select Value -- -- -- 18,997,330
</Table>
174 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDS 10/31/08 10/31/09 10/31/10 10/31/11 TOTALS
-----------------------------------------------------------------------------------------------------------------------
Diversified Equity $ -- $ 172,665,373 $ 142,748,135 $ 7,114,511 $ 322,528,019
Quantitative Equity -- 111,873,333 119,241,118 9,890,542 241,004,993
International Securities -- 130,311,494 114,932,732 27,880,979 273,125,205
Emerging Markets 6,163,374 62,678,057 24,430,000 -- 173,802,889
Real Estate Securities -- -- -- 482,634 482,634
Short Term Bond 2,566,255 -- -- -- 2,566,255
Tax Exempt Bond 959,198 -- -- -- 959,198
Tax-Managed Large Cap 15,494,001 40,037,533 59,069,223 -- 115,774,247
Tax-Managed Mid & Small Cap 6,256,218 17,757,128 14,180,832 -- 38,194,178
Select Growth -- 15,155,988 14,206,106 245,281 29,607,375
Select Value 451,724 6,893,154 10,022,818 972,824 37,337,850
</Table>
At April 30, 2004, the cost of investments, net unrealized appreciation
(depreciation), undistributed ordinary income and undistributed long-term
capital gains for income tax purposes were as follows:
<Table>
<Caption>
INTERNATIONAL
DIVERSIFIED EQUITY SPECIAL GROWTH QUANTITATIVE EQUITY SECURITIES
-----------------------------------------------------------------------------------------------------------
Cost of Investments $ 1,717,496,374 $ 723,553,803 $ 1,790,164,095 $ 1,809,595,743
================ ================ ================ ================
Unrealized Appreciation 185,164,762 134,933,191 252,770,110 234,778,544
Unrealized Depreciation (27,675,789) (26,959,209) (33,986,965) (33,577,855)
---------------- ---------------- ---------------- ----------------
Net Unrealized Appreciation
(Depreciation) $ 157,488,973 $ 107,973,982 $ 218,783,145 $ 201,200,689
================ ================ ================ ================
</Table>
<Table>
<Caption>
REAL ESTATE
EMERGING MARKETS SECURITIES SHORT TERM BOND DIVERSIFIED BOND MULTISTRATEGY BOND
------------------------------------------------------------------------------------------------------------------------------
Cost of Investments $ 414,520,881 $ 808,644,840 $ 1,056,797,995 $ 1,807,895,525 $ 1,602,112,454
================ ================ ================ ================ ================
Unrealized Appreciation 99,346,791 207,488,005 4,655,192 13,900,756 14,119,630
Unrealized Depreciation (14,534,427) (6,440,897) (6,274,363) (19,191,728) (9,901,350)
---------------- ---------------- ---------------- ---------------- ----------------
Net Unrealized Appreciation
(Depreciation) $ 84,812,364 $ 201,047,108 $ (1,619,171) $ (5,290,972) $ 4,218,280
================ ================ ================ ================ ================
</Table>
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED MID
TAX EXEMPT BOND LARGE CAP & SMALL CAP SELECT GROWTH SELECT VALUE
------------------------------------------------------------------------------------------------------------------------------
Cost of Investments $ 179,265,344 $ 285,647,740 $ 117,222,947 $ 99,221,503 $ 228,043,329
================ ================ ================ ================ ================
Unrealized Appreciation 5,328,220 71,989,338 18,674,122 11,070,172 26,295,632
Unrealized Depreciation (1,338,585) (2,931,945) (6,475,173) (3,020,587) (4,216,339)
---------------- ---------------- ---------------- ---------------- ----------------
Net Unrealized Appreciation
(Depreciation) $ 3,989,635 $ 69,057,393 $ 12,198,949 $ 8,049,585 $ 22,079,293
================ ================ ================ ================ ================
</Table>
Notes to Financial Statements 175
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands)
Share transactions for the period ended April 30, 2004 and the year ended
October 31, 2003 were as follows:
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
DIVERSIFIED EQUITY ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 599 918 $ 22,812 $ 29,738
Proceeds from reinvestment of
distributions -- -- -- 1
Payments for shares redeemed (170) (254) (6,471) (8,024)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) 429 664 16,341 21,715
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 224 324 8,814 10,798
Proceeds from reinvestment of
distributions 1 3 45 84
Payments for shares redeemed (83) (166) (3,263) (5,479)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) 142 161 5,596 5,403
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 9,223 15,421 360,294 508,916
Proceeds from reinvestment of
distributions 58 99 2,232 3,277
Payments for shares redeemed (4,175) (7,870) (164,202) (256,567)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,106 7,650 198,324 255,626
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 5,677 8,475 $ 220,261 $ 282,744
================= ================= ================= =================
</Table>
<Table>
<Caption>
SPECIAL GROWTH
Class C
Proceeds from shares sold 231 336 $ 11,459 $ 12,846
Proceeds from reinvestment of
distributions 22 -- 1,039 --
Payments for shares redeemed (96) (116) (4,769) (4,329)
----------------- ----------------- ----------------- -----------------
Net increase(decrease) 157 220 7,729 8,517
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 109 144 5,680 5,861
Proceeds from reinvestment of
distributions 9 -- 445 --
Payments for shares redeemed (60) (144) (3,098) (6,167)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 58 -- 3,027 (306)
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,445 4,627 128,722 184,124
Proceeds from reinvestment of
distributions 223 -- 11,203 --
Payments for shares redeemed (2,368) (6,750) (124,980) (274,424)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 300 (2,123) 14,945 (90,300)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 515 (1,903) $ 25,701 $ (82,089)
================= ================= ================= =================
</Table>
176 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
QUANTITATIVE EQUITY ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 689 1,057 $ 23,199 $ 30,240
Proceeds from reinvestment of
distributions -- -- -- 10
Payments for shares redeemed (181) (304) (6,080) (8,469)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 508 753 17,119 21,781
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 212 410 7,306 11,848
Proceeds from reinvestment of
distributions 2 4 83 110
Payments for shares redeemed (80) (212) (2,786) (6,243)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 134 202 4,603 5,715
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 10,941 18,665 377,084 541,077
Proceeds from reinvestment of
distributions 79 145 2,672 4,204
Payments for shares redeemed (5,412) (10,800) (187,547) (308,827)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,608 8,010 192,209 236,454
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 6,250 8,965 $ 213,931 $ 263,950
================= ================= ================= =================
</Table>
<Table>
<Caption>
INTERNATIONAL SECURITIES
Class C
Proceeds from shares sold 407 687 $ 21,226 $ 27,986
Proceeds from reinvestment of
distributions 15 3 743 121
Payments for shares redeemed (87) (286) (4,540) (11,309)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 335 404 17,429 16,798
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 120 339 6,449 13,969
Proceeds from reinvestment of
distributions 10 4 526 174
Payments for shares redeemed (63) (231) (3,377) (9,667)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 67 112 3,598 4,476
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 5,967 10,820 321,440 453,336
Proceeds from reinvestment of
distributions 235 147 12,187 5,776
Payments for shares redeemed (4,046) (5,597) (219,005) (234,559)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,156 5,370 114,622 224,553
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,558 5,886 $ 135,649 $ 245,827
================= ================= ================= =================
</Table>
Notes to Financial Statements 177
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
EMERGING MARKETS ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 431 1,750 $ 5,041 $ 14,145
Proceeds from reinvestment of
distributions 27 -- 295 --
Payments for shares redeemed (132) (1,316) (1,564) (10,531)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 326 434 3,772 3,614
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 245 919 3,027 7,634
Proceeds from reinvestment of
distributions 22 1 254 10
Payments for shares redeemed (155) (921) (1,897) (7,838)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 112 (1) 1,384 (194)
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 8,489 13,237 103,071 110,203
Proceeds from reinvestment of
distributions 638 112 7,205 885
Payments for shares redeemed (5,285) (13,605) (63,798) (115,494)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,842 (256) 46,478 (4,406)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 4,280 177 $ 51,634 $ (986)
================= ================= ================= =================
</Table>
<Table>
<Caption>
REAL ESTATE SECURITIES
Class C
Proceeds from shares sold 383 471 $ 14,131 $ 14,334
Proceeds from reinvestment of
distributions 19 29 727 873
Payments for shares redeemed (119) (127) (4,384) (3,737)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 283 373 10,474 11,470
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 142 202 5,313 6,382
Proceeds from reinvestment of
distributions 11 19 415 585
Payments for shares redeemed (76) (134) (2,856) (4,089)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 77 87 2,872 2,878
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 5,187 8,676 193,462 266,549
Proceeds from reinvestment of
distributions 343 746 13,394 22,895
Payments for shares redeemed (3,318) (7,603) (124,121) (229,269)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,212 1,819 82,735 60,175
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,572 2,279 $ 96,081 $ 74,523
================= ================= ================= =================
</Table>
178 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
SHORT TERM BOND ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 541 2,032 $ 10,362 $ 38,752
Proceeds from reinvestment of
distributions 7 22 127 412
Payments for shares redeemed (622) (721) (11,874) (13,733)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (74) 1,333 (1,385) 25,431
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 258 659 4,943 12,587
Proceeds from reinvestment of
distributions 8 21 145 397
Payments for shares redeemed (132) (537) (2,521) (10,255)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 134 143 2,567 2,729
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 11,294 33,169 216,137 632,686
Proceeds from reinvestment of
distributions 231 611 4,412 11,625
Payments for shares redeemed (9,150) (15,043) (175,076) (287,186)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,375 18,737 45,473 357,125
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,435 20,213 $ 46,655 $ 385,285
================= ================= ================= =================
</Table>
<Table>
<Caption>
DIVERSIFIED BOND
Class C
Proceeds from shares sold 426 700 $ 10,346 $ 17,196
Proceeds from reinvestment of
distributions 45 48 1,079 1,156
Payments for shares redeemed (222) (361) (5,392) (8,833)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 249 387 6,033 9,519
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 359 750 8,740 18,440
Proceeds from reinvestment of
distributions 49 58 1,184 1,421
Payments for shares redeemed (182) (501) (4,428) (12,285)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 226 307 5,496 7,576
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 11,310 20,002 268,825 480,706
Proceeds from reinvestment of
distributions 607 952 14,334 22,638
Payments for shares redeemed (5,220) (12,585) (124,137) (303,165)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,697 8,369 159,022 200,179
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 7,172 9,063 $ 170,551 $ 217,274
================= ================= ================= =================
</Table>
Notes to Financial Statements 179
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
MULTISTRATEGY BOND ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 1,093 1,666 $ 11,473 $ 17,358
Proceeds from reinvestment of
distributions 107 57 1,113 590
Payments for shares redeemed (405) (720) (4,252) (7,482)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 795 1,003 8,334 10,466
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 603 938 6,344 9,804
Proceeds from reinvestment of
distributions 71 41 737 421
Payments for shares redeemed (138) (388) (1,450) (4,023)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 536 591 5,631 6,202
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 29,968 40,061 314,453 419,242
Proceeds from reinvestment of
distributions 1,248 1,056 13,000 10,872
Payments for shares redeemed (8,742) (16,456) (91,667) (170,784)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 22,474 24,661 235,786 259,330
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 23,805 26,255 $ 249,751 $ 275,998
================= ================= ================= =================
</Table>
<Table>
<Caption>
TAX EXEMPT BOND
Class C
Proceeds from shares sold 199 212 $ 4,408 $ 4,651
Proceeds from reinvestment of
distributions 5 9 101 208
Payments for shares redeemed (71) (152) (1,566) (3,348)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 133 69 2,943 1,511
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 85 156 1,909 3,434
Proceeds from reinvestment of
distributions 5 8 101 181
Payments for shares redeemed (37) (129) (826) (2,851)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 53 35 1,184 764
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,282 2,197 50,583 48,457
Proceeds from reinvestment of
distributions 100 211 2,197 4,639
Payments for shares redeemed (1,207) (2,623) (26,702) (57,874)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,175 (215) 26,078 (4,778)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 1,361 (111) $ 30,205 $ 2,503
================= ================= ================= =================
</Table>
180 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
TAX-MANAGED LARGE CAP ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 206 189 $ 3,297 $ 2,569
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (70) (136) (1,125) (1,843)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 136 53 2,172 726
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 59 130 971 1,846
Proceeds from reinvestment of
distributions 1 1 17 18
Payments for shares redeemed (32) (25) (510) (320)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 28 106 478 1,544
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,099 6,995 34,317 93,132
Proceeds from reinvestment of
distributions 90 198 1,429 2,561
Payments for shares redeemed (1,898) (13,997) (30,783) (187,747)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 291 (6,804) 4,963 (92,054)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 455 (6,645) $ 7,613 $ (89,784)
================= ================= ================= =================
</Table>
<Table>
<Caption>
TAX-MANAGED MID & SMALL CAP
Class C
Proceeds from shares sold 119 193 $ 1,178 $ 1,496
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (56) (138) (554) (1,050)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 63 55 624 446
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 20 83 202 638
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (9) (117) (89) (975)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 11 (34) 113 (337)
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 1,080 5,313 11,045 41,254
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (1,047) (5,570) (10,804) (42,919)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 33 (257) 241 (1,665)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 107 (236) $ 978 $ (1,556)
================= ================= ================= =================
</Table>
Notes to Financial Statements 181
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
SELECT GROWTH ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 365 289 $ 2,572 $ 1,782
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (110) (69) (780) (379)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 255 220 1,792 1,403
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 133 238 976 1,575
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (44) (77) (325) (458)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 89 161 651 1,117
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 1,678 1,424 12,518 8,243
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (230) (309) (1,721) (1,742)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,448 1,115 10,797 6,501
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,234 2,268 16,277 13,901
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (1,478) (843) (11,003) (4,812)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 756 1,425 5,274 9,089
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,548 2,921 $ 18,514 $ 18,110
================= ================= ================= =================
</Table>
182 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
SELECT VALUE ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 533 395 $ 5,162 $ 2,973
Shares issued in connection with
acquisition of Equity Income Fund 523 4,583
Proceeds from reinvestment of
distributions 1 -- 8 2
Payments for shares redeemed (159) (85) (1,552) (668)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 375 833 3,618 6,890
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 70 382 686 3,038
Shares issued in connection with
acquisition of Equity Income Fund 144 1,273
Proceeds from reinvestment of
distributions 2 4 22 29
Payments for shares redeemed (87) (114) (865) (974)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (15) 416 (157) 3,366
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 1,969 1,054 19,544 6,240
Shares issued in connection with
acquisition of Equity Income Fund 4,359 38,574
Proceeds from reinvestment of
distributions 35 33 337 267
Payments for shares redeemed (1,677) (1,936) (16,528) (14,535)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 327 3,510 3,353 30,546
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,720 4,346 26,590 32,482
Shares issued in connection with
acquisition of Equity Income Fund 7,103 62,787
Proceeds from reinvestment of
distributions 52 42 496 339
Payments for shares redeemed (2,678) (1,581) (26,341) (13,117)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 94 9,910 745 82,491
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 781 14,669 $ 7,559 $ 123,293
================= ================= ================= =================
</Table>
7. LINE OF CREDIT
Each of the Funds of the Investment Company share in a $75 million revolving
credit facility for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. The Funds are charged an annual commitment fee of .125% on the
average daily unused amount of the aggregate commitment, which is allocated
among each of the Funds. Interest is calculated at the Federal Fund Rate plus
.50% annually. The Funds may borrow up to a maximum of 33.33% of the value of
their net assets under the agreement. The agreement will expire December 22,
2004 and will be reviewed at such time for possible renewal. The Funds did
not have any drawdowns for the period ended April 30, 2004.
Notes to Financial Statements 183
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
8. BENEFICIAL INTEREST
As of April 30, 2004, the following table includes shareholders with shares
of beneficial interest greater than 10% of the total outstanding shares of
each respective Fund:
<Table>
<Caption>
# OF SHAREHOLDERS %
--------------------------------------------------------------------------------
Diversified Equity 4 53.6
Special Growth 2 31.9
Quantitative Equity 3 43.4
International Securities 4 57.6
Emerging Markets 3 47.4
Real Estate Securities 2 32.0
Short-Term Bond 3 64.8
Diversified Bond 2 47.3
Multistrategy Bond 3 67.9
Tax Exempt Bond 1 44.2
Tax-Managed Large Cap 2 50.9
Tax-Managed Mid & Small Cap 1 51.9
Select Growth 2 72.8
Select Value 2 48.0
</Table>
9. ILLIQUID OR RESTRICTED SECURITIES
A Fund may invest a portion of its net assets not to exceed 15% in securities
that are illiquid. Illiquid securities are securities that may not be readily
marketable, and that cannot be sold within seven days in the ordinary course
of business at the approximate amount at which the Fund has valued the
securities. Illiquid and restricted securities may be priced by the Funds
using fair value procedures approved by the Board of Trustees. Restricted
securities are subject to contractual limitations on resale, are often issued
in private placement transactions, and are not registered under the
Securities Act of 1933 (the "Act"). The most common types of restricted
securities are those sold under Rule 144A of the Act and commercial paper
sold under Section 4(2) of the Act. Such restricted securities are not
subject to the 15% limitation if the Adviser, under supervision of the Board
of Trustees, determines that a liquid trading market exists.
Pursuant to guidelines established by the Board of Trustees, the Adviser has
determined that a liquid trading market exists for the following restricted
securities held as of April 30, 2004:
Illiquid Securities
<Table>
<Caption>
COST MARKET VALUE
FUND - % OF NET ASSETS ACQUISITION SHARES COST PER UNIT (000) (000)
SECURITIES DATE OUTSTANDING $ $ $
----------------------------------------------------------------------------------------------------------------------------
Diversified Equity Fund - 0.0%
Progress Energy, Inc. -- CVO 12/01/00 2,300 0.49 1 1
Progress Energy, Inc. -- CVO 04/07/04 3,200 0.49 2 1
--------------
2
==============
Select Value Fund - 0.0%
Progress Energy, Inc. -- CVO 12/01/00 1,300 0.49 1 --
--------------
--
==============
</Table>
184 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Restricted Securities (144A)
<Table>
<Caption>
COST MARKET VALUE
FUND - % OF NET ASSETS ACQUISITION SHARES COST PER UNIT (000) (000)
SECURITIES DATE OUTSTANDING $ $ $
------------------------------------------------------------------------------------------------------------------------------
Short Term Bond Fund - 0.4%
Alter Moneta Receivables LLC 09/17/03 2,949,191 100.44 2,962 2,939
CS First Boston Mortgage Securities Corp. 09/24/02 834,612 100.00 835 837
--------------
3,776
==============
Diversified Bond Fund - 0.4%
ABSC NIMs Trust 11/04/03 510,128 98.67 503 513
Asset Backed Funding Corp. NIM Trust 08/22/03 293,266 100.00 293 294
Countrywide Asset-Backed Certificates 02/12/04 363,651 99.89 363 367
Chalet Finance PLC 10/08/03 1,070,000 100.00 1,070 1,071
Chase Funding Net Interest Margin 06/05/03 104,092 99.90 104 104
Chase Funding Net Interest Margin 02/12/04 257,807 99.89 258 260
Crest, Ltd. 11/25/03 1,655,000 100.00 1,655 1,651
--------------
4,260
==============
Multistrategy Bond Fund - 0.3%
Argent NIM Trust 12/09/03 230,551 100.00 231 231
Arlington Street CDO, Ltd. 06/04/03 1,839,875 102.82 1,892 1,895
ATA Airlines, Inc. 01/20/04 600,917 85.58 514 526
Chancellor/Triton CBO, Ltd. 11/12/03 652,540 95.98 626 639
Chase Funding Net Interest Margin 02/12/04 217,305 99.87 217 217
Home Equity Asset Trust 10/08/03 131,312 99.01 130 132
OAO Gazprom 04/22/04 290,000 107.62 312 298
--------------
3,938
==============
</Table>
10. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800) 787-7354,
(ii) on the Fund's website at www.russell.com, and (iii) on the Securities
and Exchange Commission's website at www.sec.gov.
Notes to Financial Statements 185
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., Born July 3, and Chairman successor is - Chairman Emeritus, FRIC and
1932 Emeritus since duly elected RIF
1999 and qualified - Chairman Emeritus, Frank
909 A Street Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF (investment
and qualified - CEO and Chairman of the company)
909 A Street Board, Russell Fund
Tacoma, Washington Chairman of the Until successor Distributors, Inc. and
98402-1616 Board since 1999 is chosen and FRIMCo
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October, 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
186 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee Since Appointed until - 1990 - 2003, President, FRC, 35 None
Phillips, 2002 successor is - 1993 - 2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified. Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty. Limited, Frank
Russell Japan Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
A Street Tacoma,
Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected Until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 187
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001 - 2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979 - 2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr. 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
- 1995 to 1999, Hearing
Officer, University of
Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
188 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, with Fund and Term Principal Occupation(s)
Age, Length of of During the
Address Time Served Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 189
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
Diversified Equity Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Ark Asset Management Co., Inc., New York, NY
Barclays Global Fund Advisors, San Francisco, CA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Marsico Capital Management, LLC, Denver, CO
MFS Institutional Advisors, Inc., Boston, MA
Montag & Caldwell, Inc., Atlanta, GA
Suffolk Capital Management, LLC, New York, NY
Turner Investment Partners, Inc., Berwyn, PA
Special Growth Fund
CapitalWorks Investment Partners, LLC, San Diego, CA
David J. Greene and Company, LLC, New York, NY
Delphi Management, Inc., Boston, MA
Goldman Sachs Asset Management, L.P., New York, NY
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Roxbury Capital Management, LLC, Santa Monica, CA
Suffolk Capital Management, LLC, New York, NY
TimesSquare Capital Management, Inc., New York, NY
Quantitative Equity Fund
Aronson + Johnson + Ortiz, LP, Philadelphia, PA
Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
International Securities Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
AQR Capital Management, LLC, New York, NY
Axiom International Investors LLC, Greenwich, CT
Capital International, Inc., Los Angeles, CA
Delaware International Advisers Ltd., London, England
Fidelity Management & Research Company, Boston, MA
Marvin & Palmer Associates, Inc., Wilmington, DE
Mastholm Asset Management, LLC, Bellevue, WA
Oechsle International Advisors, LLC, Boston, MA
The Boston Company Asset Management, LLC, Boston, MA
190 Manager, Money Managers and Service Providers
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL FUNDS
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
Emerging Markets Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Arrowstreet Capital, Limited Partnership, Cambridge, MA
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Managers Limited, London, England
T. Rowe Price International, Inc., Baltimore, MD
Real Estate Securities Fund
AEW Management and Advisors, L.P., Boston, MA
INVESCO Institutional (N.A.), Inc., which acts as a money manager to the Fund
through its INVESCO Real Estate division, Dallas, TX
RREEF America L.L.C., Chicago, IL
Short Term Bond Fund
Merganser Capital Management L.P., Cambridge, MA
Pacific Investment Management Company LLC,
Newport Beach, CA
STW Fixed Income Management, Santa Barbara, CA
Diversified Bond Fund
Lincoln Capital Fixed Income Management Company,
Chicago, IL
Pacific Investment Management Company LLC,
Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
Multistrategy Bond Fund
Delaware Management Company, a series of Delaware Management Business Trust,
Philadelphia, PA
Morgan Stanley Investment Management Inc., West Conshohocken, PA
Pacific Investment Management Company LLC,
Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
Tax Exempt Bond Fund
MFS Institutional Advisors, Inc., Boston, MA
Standish Mellon Asset Management Company LLC,
Boston, MA
Tax-Managed Large Cap Fund
Kayne Anderson Rudnick Investment Management, LLC, Los Angeles, CA
John A. Levin & Co., Inc., New York, NY
J.P. Morgan Investment Management Inc., New York, NY
Sands Capital Management, Inc., Arlington, VA
Tax-Managed Mid & Small Cap Fund
Geewax, Terker & Company, Chadds Ford, PA
Select Growth Fund
Ark Asset Management Co., Inc., New York, NY
CapitalWorks Investment Partners, LLC, San Diego, CA
Fuller & Thaler Asset Management, Inc., San Mateo, CA
TCW Investment Management Company, Los Angeles, CA
Turner Investment Partners, Inc., Berwyn, PA
Select Value Fund
DePrince, Race & Zollo, Inc., Orlando, FL
Iridian Asset Management LLC, Westport, CT
MFS Institutional Advisors, Inc., Boston, MA
Systematic Financial Management, L.P., Teaneck, NJ
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 191
(This page intentionally left blank)
(This page intentionally left blank)
(RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-067 (1 04/04)
TAX-MANAGED GLOBAL EQUITY FUND
FRANK RUSSELL INVESTMENT COMPANY
(MOUNTAIN BACKGROUND GRAPHIC)
2004 SEMIANNUAL REPORT
CLASS C, E, AND S SHARES
TAX-MANAGED GLOBAL EQUITY FUND
APRIL 30, 2004
(RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on one Fund, which has
distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
Tax-Managed Global Equity Fund
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Schedule of Investments.............................................. 3
Statement of Assets and Liabilities.................................. 4
Statement of Operations.............................................. 5
Statement of Changes in Net Assets................................... 6
Financial Highlights - Class C....................................... 7
Financial Highlights - Class S....................................... 8
Notes to Financial Statements........................................ 9
Disclosure of Information about Fund Directors....................... 14
Manager, Money Managers and Service Providers........................ 18
</Table>
Frank Russell Investment Company - Tax-Managed Global Equity Fund
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. Performance and yields are reported net of investment
advisory fees but gross of investment services fees, descriptions of which can
be obtained from the investment advisor. Investment services fees and other
account expenses will reduce performance (e.g., an investment services fee of
0.2% off average managed assets will reduce a 10.0% return to 9.8%). The
performance quoted represents past performance and the investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. Investments in securities of
non-US issuers and foreign currencies involve investment risks different than
those of US issuers; the Prospectus contains further information and details
regarding these risks. Russell Fund Distributors, Inc., is the distributor of
Frank Russell Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Domestic Equities - 74.8%
Quantitative Equity Fund 141,311 4,851
Tax-Managed Large Cap Fund 1,468,030 24,237
Tax-Managed Mid & Small Cap Fund 712,122 7,271
------------
36,359
------------
International Equities - 25.0%
Emerging Markets Fund 206,545 2,427
International Securities Fund 178,932 9,707
------------
12,134
------------
TOTAL INVESTMENTS - 99.8%
(identified cost $39,065) 48,493
OTHER ASSETS AND LIABILITIES,
NET - 0.2% 100
------------
NET ASSETS - 100.0% 48,593
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Schedule of Investments 3
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
- --------------------------------------------------------------------------------
<Table>
ASSETS
Investments at market (identified cost $39,065)..................................... $ 48,493
Receivable for fund shares sold.................................................. 186
----------------------
Total assets........................................................................ 48,679
----------------------
LIABILITIES
Payables:
Investments purchased................................. $ 75
Accrued fees to affiliates............................ 11
--------------------
Total liabilities................................................................... 86
----------------------
NET ASSETS.......................................................................... $ 48,593
======================
Net Assets Consist of:
Undistributed (overdistributed) net investment income............................... $ 44
Accumulated net realized gain (loss)................................................ (18,358)
Unrealized appreciation (depreciation) on investments............................... 9,428
Shares of beneficial interest....................................................... 59
Additional paid-in capital.......................................................... 57,420
----------------------
NET ASSETS.......................................................................... $ 48,593
======================
NET ASSET VALUE, per share:
Class C ($12,963,518 divided by 1,587,520 shares of $.01 par value shares of
beneficial interest outstanding)............................................... $ 8.17
======================
Class S ($35,629,588 divided by 4,270,121 shares of $.01 par value shares of
beneficial interest outstanding)............................................... $ 8.34
======================
</Table>
See accompanying notes which are an integral part of the financial statements.
4 Statement of Assets and Liabilities
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME
Income distributions from Underlying Funds....................................... $ 393
EXPENSES
Advisory fees............................................ $ 48
Distribution fees - Class C.............................. 47
Shareholder servicing fees - Class C..................... 16
--------------------
Expenses before reductions............................... 111
Expense reductions....................................... (48)
--------------------
Net expenses........................................................................ 63
----------------------
Net investment income (loss)........................................................ 330
----------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments............................................. 113
Net change in unrealized appreciation (depreciation) on investments................. 3,142
----------------------
Net realized and unrealized gain (loss)............................................. 3,255
----------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS............................... $ 3,585
======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 5
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)............................. $ 330 $ 207
Net realized gain (loss)................................. 113 (7,432)
Net change in unrealized appreciation (depreciation)..... 3,142 16,252
-------------------- ----------------------
Net increase (decrease) in net assets from
operations........................................... 3,585 9,027
-------------------- ----------------------
DISTRIBUTIONS
From net investment income
Class C............................................... (10) --
Class S............................................... (317) (166)
-------------------- ----------------------
Net decrease in net assets from distributions......... (327) (166)
-------------------- ----------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions........................................... 951 (4,575)
-------------------- ----------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................. 4,209 4,286
NET ASSETS
Beginning of period...................................... 44,384 40,098
-------------------- ----------------------
End of period (including undistributed (overdistributed)
net investment income of $44 and $41, respectively).... $ 48,593 $ 44,384
==================== ======================
</Table>
See accompanying notes which are an integral part of the financial statements.
6 Statement of Changes in Net Assets
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS C
For a Share Outstanding Throughout each Period.
<Table>
<Caption>
FISCAL YEAR ENDED OCTOBER 31,
--------------------------------------------------------------
2004* 2003 2002 2001 2000**
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 7.61 $ 6.15 $ 7.29 $ 9.73 $ 10.00
------------ ------------ ------------ ------------ --------------
INCOME FROM OPERATIONS
Net investment income (loss) (a)(b)......... .02 (.02) (.05) (.06) (.06)
Net realized and unrealized gain (loss)..... .55 1.48 (1.03) (2.38) (.19)
------------ ------------ ------------ ------------ --------------
Total income from operations............. .57 1.46 (1.08) (2.44) (.25)
------------ ------------ ------------ ------------ --------------
DISTRIBUTIONS
From net investment income.................. (.01) -- -- -- (.02)
From net realized gain...................... -- -- (.06) -- --
------------ ------------ ------------ ------------ --------------
Total distributions...................... (.01) -- (.06) -- (.02)
------------ ------------ ------------ ------------ --------------
NET ASSET VALUE, END OF PERIOD................. $ 8.17 $ 7.61 $ 6.15 $ 7.29 $ 9.73
============ ============ ============ ============ ==============
TOTAL RETURN (%) (c)........................... 7.44 23.74 (14.94) (25.08) (2.55)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).... 12,964 11,523 10,130 8,104 7,133
Ratios to average net assets (%):
Operating expenses, net (d)(e)(f)........ 1.00 1.00 1.00 1.00 1.00
Operating expenses, gross (d)(e)......... 1.20 1.20 1.20 1.20 1.20
Net investment income (loss) (c)......... .30 (.25) (.68) (.73) (.68)
Portfolio turnover rate (%) (c)............. 10.12 59.50 52.55 30.55 44.04
</Table>
* For the six months ended April 30, 2004 (Unaudited).
** For the period January 31, 2000 (commencement of operations) to October
31, 2000.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declarations of dividends by the underlying companies in which the
Fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) The calculation includes only those expenses charged directly to the Funds
and does not include expenses charged to the Underlying Funds in which the
Fund invests.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 7
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
FINANCIAL HIGHLIGHTS - CLASS S
For a Share Outstanding Throughout each Period.
<Table>
<Caption>
FISCAL YEAR ENDED OCTOBER 31,
--------------------------------------------------------------
2004* 2003 2002 2001 2000**
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 7.80 $ 6.27 $ 7.38 $ 9.77 $ 10.00
------------ ------------ ------------ ------------ --------------
INCOME FROM OPERATIONS
Net investment income (loss) (a)(b)......... .07 .05 .03 .02 .01
Net realized and unrealized gain (loss)..... .54 1.52 (1.06) (2.39) (.22)
------------ ------------ ------------ ------------ --------------
Total income from operations............. .61 1.57 (1.03) (2.37) (.21)
------------ ------------ ------------ ------------ --------------
DISTRIBUTIONS
From net investment income.................. (.07) (.04) (.02) (.02) (.02)
From net realized gain...................... -- -- (.06) -- --
------------ ------------ ------------ ------------ --------------
Total distributions...................... (.07) (.04) (.08) (.02) (.02)
------------ ------------ ------------ ------------ --------------
NET ASSET VALUE, END OF PERIOD................. $ 8.34 $ 7.80 $ 6.27 $ 7.38 $ 9.77
============ ============ ============ ============ ==============
TOTAL RETURN (%) (c)........................... 7.87 25.09 (14.10) (24.27) (2.12)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).... 35,629 32,861 29,968 34,661 26,802
Ratios to average net assets (%):
Operating expenses, net (d)(e)(f)........ -- -- -- -- --
Operating expenses, gross (d)(e)......... .20 .20 .20 .20 .20
Net investment income (loss) (c)......... .82 .77 .39 .29 .06
Portfolio turnover rate (%) (c)............. 10.12 59.50 52.55 30.55 44.04
</Table>
* For the six months ended April 30, 2004 (Unaudited).
** For the period February 1, 2000 (commencement of operations) to October
31, 2000.
(a) Average month-end shares outstanding were used for this calculation.
(b) Recognition of net investment income by the Fund is affected by the timing
of the declarations of dividends by the underlying companies in which the
fund invests.
(c) Periods less than one year are not annualized.
(d) The ratios for periods less than one year are annualized.
(e) The calculation includes only those expenses charged directly to the Funds
and does not include expenses charged to the Underlying Funds in which the
Fund invests.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
8 Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios, referred to as "Funds."
These financial statements report on one Fund, which has a distinct
investment objective and strategy. The Investment Company is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. It is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
The Fund allocates its assets by investing in a combination of Class S shares
of the Investment Company's portfolios (the "Underlying Funds"). The Fund
will adjust its investments within set limits based on Frank Russell
Investment Management Company's ("FRIMCo" or "Advisor") outlook for the
economy, financial markets and relative market valuation of the asset classes
represented by each Underlying Fund. However, the Fund may deviate from set
limits when, in FRIMCo's opinion, it is necessary to pursue the Fund's
investment objective. The amounts allocated to each Underlying Fund by the
Fund will generally vary within 10% of the percentages specified below:
<Table>
<Caption>
ASSET ALLOCATION
ASSET CLASS/UNDERLYING FUNDS TARGETS
- ---------------------------------------------------
Equities
US Equities
Tax-Managed Large Cap 50%
Tax-Managed Mid & Small
Cap 15
Quantitative Equity 10
International Equities
International
Securities 20
Emerging Markets 5
</Table>
Objectives of the Underlying Funds:
Tax-Managed Large Cap Fund
Seeks to provide long term capital growth on an after-tax basis.
Tax-Managed Mid & Small Cap Fund
Seeks to provide long term capital growth on an after-tax basis.
Quantitative Equity Fund
Seeks to provide long term capital growth.
International Securities Fund
Seeks to provide long term capital growth.
Emerging Markets Fund
Seeks to provide long term capital growth.
Financial statements of the Underlying Funds can be obtained by calling the
Office of Shareholder Inquiries at (800) 787-7354.
Notes to Financial Statements 9
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Fund in the
preparation of these financial statements.
Security valuation
Investments in Underlying Funds are valued at the net asset value per share
of each Underlying Fund as of 4:00 p.m. Eastern time, or the close of regular
trading on the New York Stock Exchange, if earlier.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost.
Investment income
Distributions of income and capital gains from the Underlying Funds are
recorded on the ex-dividend date.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, the Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to the Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income tax provision was required for the Fund.
Dividends and distributions to shareholders
Income, dividends and capital gain distributions, if any, are recorded on the
ex-dividend date. Income dividends are generally declared and paid quarterly.
Capital gain distributions are generally declared and paid annually. An
additional distribution may be paid by the Fund to avoid imposition of
federal income and excise tax on any remaining undistributed capital gains
and net investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) from investment transactions for a reporting period may differ
significantly from distributions during such period. The differences between
tax regulations and GAAP relate primarily to wash sale deferrals and capital
loss carryforwards. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting its
net asset value.
Expenses
Expenses included in the accompanying financial statements reflect the
expenses of the Fund and do not include any expenses associated with the
Underlying Funds.
Class allocation
The Fund offers the following classes of shares: Class C and Class S. All
share classes have identical voting, dividend, liquidation and other rights
and the same terms and conditions. The separate classes of shares differ
principally in the applicable distribution fees and shareholder servicing
fees. Shareholders of each class bear certain expenses that pertain to that
particular class. Realized and unrealized gains (losses), net investment
income, and expenses with the exception of class level expenses, are
allocated daily to each class of shares based upon the relative proportion of
net assets of each class.
Guarantees
In the normal course of business the Fund enters into contracts that contain
a variety of representations which provide general indemnifications. The
Fund's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet
occurred. However, the Fund expects the risk of loss to be remote.
10 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Securities
During the period ended April 30, 2004, purchases and sales of the Underlying
Funds were as follows:
<Table>
<Caption>
FUND PURCHASES SALES
--------------------------------------------------------------------------------
Tax-Managed Global Equity $ 5,821,774 $ 4,874,261
</Table>
4. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers all of the Funds which comprise the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
The Fund is permitted to invest its cash reserves (i.e., monies awaiting
investment in portfolio securities suitable for the Fund's objectives) in the
Frank Russell Investment Company Money Market Fund. As of April 30, 2004, the
Fund had no amount invested in the Money Market Fund.
The Fund is charged an advisory fee equal to 0.20% of average daily net
assets. For the period ended April 30, 2004, the Advisor contractually agreed
to waive the advisory fee. The Advisor does not have the ability to recover
amounts waived from previous periods. The administrative fee was charged to
the Underlying Funds in accordance with the special servicing agreements
discussed below.
The Fund will not bear any operating expenses. Operating expenses include
those expenses arising from accounting, administrative, custody, auditing,
legal, trustee and transfer agent services. They do not include expenses
attributable to advisory fees (which are currently waived by FRIMCo), any
Rule 12b-1 distribution fee, any shareholder service fees, or any
nonrecurring extraordinary expenses. The Fund's operating expenses are borne
either by the Underlying Funds in which the Fund invests or by FRIMCo. This
arrangement is governed by special servicing agreements among each of the
affected Funds and FRIMCo. Those agreements are entered into on a yearly
basis and must be re-approved annually by the Investment Company's Board of
Trustees.
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Fund. The Underlying Funds have borne this expense.
Distributor and Shareholder Servicing
Pursuant to the Distribution Agreement with the Investment Company, Russell
Fund Distributors, Inc. ("Distributor"), a wholly-owned subsidiary of FRIMCo,
serves as distributor for all Investment Company portfolio shares, including
Class C and Class S shares of the Fund.
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor or any Selling Agents, as
defined in the Plan for sales support services provided, and related expenses
incurred which are primarily intended to result in the sale of Class C shares
subject to the Distribution Plan. The 12b-1 distribution payments shall not
exceed 0.75% of the average daily net assets of the Fund's Class C shares on
an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Fund may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class C shares of the Fund. The shareholder servicing
payments shall not exceed 0.25% of the average daily net assets of a Fund's
Class C shares on an annual basis.
Accrued shareholder servicing and distribution fees payable to affiliates as
of April 30, 2004 were $10,842.
Notes to Financial Statements 11
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 funds, and Russell Investment Funds ("RIF"), which has
5 funds. Each of the trustees is a trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly meeting attended in
person, $2,000 for each special meeting attended in person, and $2,000 for
each Joint Audit Committee meeting or Nominating and Governance Committee
meeting attended in person. The Trustee will receive a $500 fee for attending
the meetings by phone instead of receiving the full fee had the member
attended in person. Out of pocket expenses are also paid by the Russell Fund
Complex. The Lead Trustee is paid a fee of $10,000 per year, and each
Committee Chair is paid a fee of $6,000 per year.
Transactions With Affiliated Companies
An affiliated company is a company in which a Fund has ownership of at least
5% of the voting securities. Transactions during the period ended April 30,
2004 with Underlying Funds which are or were affiliates are as follows:
<Table>
<Caption>
AFFILIATE PURCHASE COST SALES COST INCOME DISTRIBUTIONS
---------------------------------------------------------------------------------------------------------------
Tax-Managed Mid & Small Cap $ 1,138,045 $ 898,174 $ --
Tax-Managed Large Cap 2,236,080 1,969,288 122,845
---------------------- ---------------------- ----------------------
$ 3,374,125 $ 2,867,462 $ 122,845
====================== ====================== ======================
</Table>
5. FEDERAL INCOME TAXES
At October 31, 2003, the Fund had a net tax basis capital loss carryforward
which may be applied against any net realized taxable gains in each
succeeding year or until their respective expiration dates, whichever occurs
first. Available capital carryforwards and expiration dates are as follows:
<Table>
<Caption>
FUND 10/31/10 10/31/11 TOTAL
---------------------------------------------------------------------------------------------------------------
Tax-Managed Global Equity $ 2,466,127 $ 3,637,299 $ 6,103,426
</Table>
At April 30, 2004, the cost of investments, net unrealized appreciation
(depreciation), undistributed ordinary income and undistributed long-term
capital gains for income tax purposes were as follows:
<Table>
<Caption>
TAX-MANAGED
GLOBAL EQUITY FUND
---------------------------------------------------------
Cost of Investments $ 39,096,174
================
Unrealized Appreciation $ 9,396,951
Unrealized Depreciation --
----------------
Net Unrealized Appreciation
(Depreciation) $ 9,396,951
================
</Table>
12 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands)
Share transactions for the period April 30, 2004 and the year ended October
31, 2003 were as follows:
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
TAX-MANAGED GLOBAL EQUITY 2004 2003 2004 2003
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 222 1,365 $ 1,810 $ 8,773
Proceeds from reinvestment of
distributions 1 -- 10 --
Payments for shares redeemed (150) (1,498) (1,231) (9,531)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 73 (133) 589 (758)
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 517 3,006 4,235 19,264
Proceeds from reinvestment of
distributions 38 25 309 155
Payments for shares redeemed (499) (3,594) (4,182) (23,236)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 56 (563) 362 (3,817)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 129 (696) $ 951 $ (4,575)
================= ================= ================= =================
</Table>
7. LINE OF CREDIT
Each of the Funds of the Investment Company share in a $75 million revolving
credit facility for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. The Funds are charged an annual commitment fee of .125% on the
average daily unused amount of the aggregate commitment, which is allocated
among each of the Funds. Interest is calculated at the Federal Fund Rate plus
.50% annually. The Fund may borrow up to a maximum of 33.33% of the value of
its net assets under the agreement. The agreement will expire December 22,
2004 and will be reviewed at such time for possible renewal. The Fund did not
have any drawdowns during the period ended April 30, 2004.
8. BENEFICIAL INTEREST
As of April 30, 2004, the following table includes one shareholder with
shares of beneficial interest of greater than 10% of the total outstanding
shares of the Fund:
<Table>
<Caption>
FUND # OF SHAREHOLDERS %
--------------------------------------------------------------------------------
Tax-Managed Global Equity 1 19.7
</Table>
9. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800) 787-7354, (ii)
on the Fund's website at www.russell.com, and (iii) on the Securities and
Exchange Commission's website at www.sec.gov.
Notes to Financial Statements 13
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., and successor is - Chairman Emeritus, FRIC and
Born July 3, 1932 Chairman duly elected RIF
Emeritus since and qualified - Chairman Emeritus, Frank
909 A Street 1999 Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF (investment
Chairman of the and qualified - CEO and Chairman of the company)
909 A Street Board since 1999 Board, Russell Fund
Tacoma, Washington Until successor Distributors, Inc. and
98402-1616 is chosen and FRIMCo
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October, 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee Since Appointed until - 1990-2003, President, FRC, 35 None
Phillips, 2002 successor is - 1993-2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified. Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty. Limited, Frank
Russell Japan Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
14 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected Until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001-2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979-2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 15
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr. 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
909 A Street - 1995 to 1999, Hearing
Tacoma, Washington Officer, University of
98402-1616 Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
16 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
TAX-MANAGED GLOBAL EQUITY FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, with Fund and Term Principal Occupation(s)
Age, Length of of During the
Address Time Served Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 17
TAX-MANAGED GLOBAL EQUITY FUND
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS OF UNDERLYING FUNDS
Quantitative Equity Fund
Aronson + Johnson + Ortiz, LP, Philadelphia, PA
Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Tax-Managed Large Cap Fund
Kayne Anderson Rudnick Investment Management, LLC, Los Angeles, CA
John A. Levin & Co., Inc., New York, NY
J.P. Morgan Investment Management Inc., New York, NY
Sands Capital Management, Inc., Arlington, VA
Tax-Managed Mid & Small Cap Fund
Geewax, Terker & Company, Chadds Ford, PA
Emerging Markets Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Arrowstreet Capital, Limited Partnership, Cambridge, MA
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Management Limited, London, England
T. Rowe Price International, Inc., Baltimore, MD
International Securities Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
AQR Capital Management, LLC, New York, NY
Axiom International Investors LLC, Greenwich, CT
Capital International, Inc., Los Angeles, CA
Delaware International Advisers Ltd., London, England
Fidelity Management & Research Company, Boston, MA
Marvin & Palmer Associates, Inc., Wilmington, DE
Mastholm Asset Management, LLC, Bellevue, WA
Oechsle International Advisors, LLC, Boston, MA
The Boston Company Asset Management, LLC, Boston, MA
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
18 Manager, Money Managers and Service Providers
(This page intentionally left blank)
(RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-092 (1 04/04)
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
2004 Semiannual Report
CLASS A, C, D, E, AND S SHARES
EQUITY AGGRESSIVE STRATEGY FUND
AGGRESSIVE STRATEGY FUND
BALANCED STRATEGY FUND
MODERATE STRATEGY FUND
CONSERVATIVE STRATEGY FUND
APRIL 30, 2004
(FRANK RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on five Funds, each of
which has distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
LifePoints(R) Funds
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Equity Aggressive Strategy Fund...................................... 3
Aggressive Strategy Fund............................................. 4
Balanced Strategy Fund............................................... 5
Moderate Strategy Fund............................................... 6
Conservative Strategy Fund........................................... 7
Statement of Assets and Liabilities.................................. 8
Statement of Operations.............................................. 10
Statement of Changes in Net Assets................................... 12
Financial Highlights................................................. 14
Notes to Financial Statements........................................ 25
Disclosure of Information about Fund Directors....................... 37
Manager, Money Managers and Service Providers........................ 41
</Table>
Frank Russell Investment Company - LifePoints Funds
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. Performance and yields are reported net of investment
advisory fees but gross of investment services fees, descriptions of which can
be obtained from the investment advisor. Investment services fees and other
account expenses will reduce performance (e.g., an investment services fee of
0.2% off average managed assets will reduce a 10.0% global return to 9.8%). The
performance quoted represents past performance and the investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. Investments in securities of
non-US issuers and foreign currencies involve investment risks different than
those of US issuers; the Prospectus contains further information and details
regarding these risks. Russell Fund Distributors, Inc., is the distributor of
Frank Russell Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) EQUITY AGGRESSIVE STRATEGY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Domestic Equities - 70.7%
Diversified Equity Fund 4,826,810 188,101
Quantitative Equity Fund 5,484,990 188,300
Real Estate Securities Fund 1,285,694 45,462
Special Growth Fund 741,376 38,062
------------
459,925
------------
International Equities - 28.9%
Emerging Markets Fund 2,682,987 31,525
International Securities Fund 2,886,818 156,610
------------
188,135
------------
TOTAL INVESTMENTS - 99.6%
(identified cost $592,237) 648,060
OTHER ASSETS AND LIABILITIES, NET - 0.4% 2,296
------------
NET ASSETS - 100.0% 650,356
============
</Table>
See accompanying notes which are an integral part of the financial statements.
LifePoints(R) Equity Aggressive Strategy Fund 3
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) AGGRESSIVE STRATEGY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Bonds - 20.1%
Multistrategy Bond Fund 24,440,130 252,955
------------
Domestic Equities - 56.6%
Diversified Equity Fund 7,362,487 286,916
Quantitative Equity Fund 8,365,278 287,180
Real Estate Securities Fund 2,114,609 74,772
Special Growth Fund 1,202,213 61,722
------------
710,590
------------
International Equities - 22.8%
Emerging Markets Fund 4,200,493 49,356
International Securities Fund 4,379,908 237,610
------------
286,966
------------
TOTAL INVESTMENTS - 99.5%
(identified cost $1,176,508) 1,250,511
OTHER ASSETS AND LIABILITIES, NET - 0.5% 5,865
------------
NET ASSETS - 100.0% 1,256,376
============
</Table>
See accompanying notes which are an integral part of the financial statements.
4 LifePoints(R) Aggressive Strategy Fund
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) BALANCED STRATEGY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Bonds - 40.3%
Diversified Bond Fund 17,445,200 408,567
Multistrategy Bond Fund 39,458,378 408,394
------------
816,961
------------
Domestic Equities - 40.6%
Diversified Equity Fund 8,257,668 321,801
Quantitative Equity Fund 9,383,483 322,135
Real Estate Securities Fund 2,850,419 100,791
Special Growth Fund 1,545,240 79,332
------------
824,059
------------
International Equities - 18.8%
Emerging Markets Fund 5,023,394 59,025
International Securities Fund 5,942,283 322,369
------------
381,394
------------
TOTAL INVESTMENTS - 99.7%
(identified cost $1,871,654) 2,022,414
OTHER ASSETS AND LIABILITIES, NET - 0.3% 6,265
------------
NET ASSETS - 100.0% 2,028,679
============
</Table>
See accompanying notes which are an integral part of the financial statements.
LifePoints(R) Balanced Strategy Fund 5
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) MODERATE STRATEGY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Bonds - 60.2%
Diversified Bond Fund 6,528,513 152,898
Short Term Bond Fund 9,849,687 187,243
------------
340,141
------------
Domestic Equities - 28.5%
Diversified Equity Fund 1,574,021 61,339
Quantitative Equity Fund 1,787,110 61,351
Real Estate Securities Fund 632,912 22,380
Special Growth Fund 319,541 16,405
------------
161,475
------------
International Equities - 10.9%
International Securities Fund 1,134,241 61,533
------------
TOTAL INVESTMENTS - 99.6%
(identified cost $529,633) 563,149
OTHER ASSETS AND LIABILITIES, NET - 0.4% 2,213
------------
NET ASSETS - 100.0% 565,362
============
</Table>
See accompanying notes which are an integral part of the financial statements.
6 LifePoints(R) Moderate Strategy Fund
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) CONSERVATIVE STRATEGY FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
INVESTMENTS
Portfolios of the Frank Russell
Investment Company Series
Mutual Fund - Class S Shares
Bonds - 80.1%
Diversified Bond Fund 4,035,187 94,504
Short Term Bond Fund 13,140,780 249,806
------------
344,310
------------
Domestic Equities - 16.8%
Diversified Equity Fund 761,102 29,660
Quantitative Equity Fund 864,416 29,675
Real Estate Securities Fund 359,486 12,712
------------
72,047
------------
International Equities - 3.0%
International Securities Fund 235,558 12,779
------------
TOTAL INVESTMENTS - 99.9%
(identified cost $412,318) 429,136
OTHER ASSETS AND LIABILITIES, NET - 0.1% 581
------------
NET ASSETS - 100.0% 429,717
============
</Table>
See accompanying notes which are an integral part of the financial statements.
LifePoints(R) Conservative Strategy Fund 7
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
EQUITY AGGRESSIVE
AMOUNTS IN THOUSANDS STRATEGY FUND
- ----------------------------------------------------------------------------------------------
ASSETS
Investments, at identified cost $ 592,237
- ----------------------------------------------------------------------------------------------
Investments, at market 648,060
Receivables:
Investments sold 988
Fund shares sold 3,674
--------------------
Total assets 652,722
--------------------
LIABILITIES
Payables:
Investments purchased --
Fund shares redeemed 2,113
Accrued fees to affiliates 253
--------------------
Total liabilities 2,366
--------------------
NET ASSETS $ 650,356
====================
Net Assets Consist of:
Undistributed (overdistributed) net investment income $ (1,088)
Accumulated net realized gain (loss) (52,500)
Unrealized appreciation (depreciation) on investments 55,823
Shares of beneficial interest 737
Additional paid-in capital 647,384
--------------------
NET ASSETS $ 650,356
====================
NET ASSET VALUE, offering and redemption price per share:
Net asset value per share: Class A* $ 8.98
Maximum offering price per share (Net asset value plus sales charge
of 5.75%): Class A $ 9.53
Class A -- Net assets $ 26,245,197
Class A -- Shares outstanding ($.01 par value) 2,923,807
Net asset value per share: Class C* $ 8.68
Class C -- Net assets $ 152,939,943
Class C -- Shares outstanding ($.01 par value) 17,620,438
Net asset value per share: Class D* $ 8.85
Class D -- Net assets $ 206,947,387
Class D -- Shares outstanding ($.01 par value) 23,395,858
Net asset value per share: Class E* $ 8.83
Class E -- Net assets $ 158,799,751
Class E -- Shares outstanding ($.01 par value) 17,977,562
Net asset value per share: Class S* $ 8.92
Class S -- Net assets $ 105,423,786
Class S -- Shares outstanding ($.01 par value) 11,813,632
- ----------------------------------------------------------------------------------------------
</Table>
* Net asset value per share equals class level net assets divided by class level
shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements.
8 Statement of Assets and Liabilities
<Table>
<Caption>
AGGRESSIVE STRATEGY BALANCED STRATEGY MODERATE STRATEGY CONSERVATIVE STRATEGY
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------
$ 1,176,508 $ 1,871,654 $ 529,633 $ 412,318
- ------------------------------------------------------------------------------------------
1,250,511 2,022,414 563,149 429,136
-- -- -- 304
8,827 12,164 3,173 1,083
-------------- -------------- -------------- --------------
1,259,338 2,034,578 566,322 430,523
-------------- -------------- -------------- --------------
1,849 2,052 343 --
627 3,054 400 659
486 793 217 147
-------------- -------------- -------------- --------------
2,962 5,899 960 806
-------------- -------------- -------------- --------------
$ 1,256,376 $ 2,028,679 $ 565,362 $ 429,717
============== ============== ============== ==============
$ (6,175) $ (7,070) $ (1,879) $ (1,036)
(28,790) (51,660) (8,702) (1,182)
74,003 150,760 33,516 16,818
1,321 2,050 555 412
1,216,017 1,934,599 541,872 414,705
-------------- -------------- -------------- --------------
$ 1,256,376 $ 2,028,679 $ 565,362 $ 429,717
============== ============== ============== ==============
$ 9.50 $ 9.89 $ 10.17 $ 10.43
$ 10.08 $ 10.49 $ 10.79 $ 11.07
$ 89,851,691 $ 150,505,191 $ 32,452,386 $ 12,365,275
9,457,634 15,221,469 3,192,203 1,185,994
$ 9.47 $ 9.86 $ 10.15 $ 10.39
$ 318,793,056 $ 539,809,377 $ 121,645,642 $ 66,973,122
33,672,192 54,757,211 11,989,303 6,446,818
$ 9.53 $ 9.91 $ 10.20 $ 10.47
$ 369,657,537 $ 573,135,579 $ 215,304,310 $ 123,944,116
38,777,884 57,847,044 21,107,631 11,836,747
$ 9.51 $ 9.90 $ 10.17 $ 10.44
$ 264,254,125 $ 392,552,227 $ 108,106,586 $ 188,027,742
27,789,475 39,657,947 10,631,610 18,013,376
$ 9.55 $ 9.93 $ 10.19 $ 10.47
$ 213,820,052 $ 372,676,879 $ 87,852,804 $ 38,406,682
22,398,652 37,521,817 8,623,356 3,667,104
- ------------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 9
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
EQUITY AGGRESSIVE
AMOUNTS IN THOUSANDS STRATEGY FUND
- ----------------------------------------------------------------------------------------------
INVESTMENT INCOME
Income distributions from Underlying Funds $ 5,281
--------------------
EXPENSES
Advisory fees 583
Distribution fees - Class A 21
Distribution fees - Class C 487
Distribution fees - Class D 225
Shareholder servicing fees - Class C 162
Shareholder servicing fees - Class D 225
Shareholder servicing fees - Class E 198
--------------------
Expenses before reductions 1,901
Expense reductions (583)
--------------------
Net expenses 1,318
--------------------
Net investment income (loss) 3,963
--------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments (3,812)
Capital gain distributions from Underlying Funds 834
--------------------
Net realized gain (loss) (2,978)
Net change in unrealized appreciation (depreciation) on investments 29,411
--------------------
Net realized and unrealized gain (loss) 26,433
--------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 30,396
====================
</Table>
See accompanying notes which are an integral part of the financial statements.
10 Statement of Operations
<Table>
<Caption>
AGGRESSIVE STRATEGY BALANCED STRATEGY MODERATE STRATEGY CONSERVATIVE STRATEGY
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------
$ 10,211 $ 30,068 $ 6,629 $ 5,027
-------------------- -------------------- -------------------- ----------------------
1,081 1,810 507 410
69 126 32 11
1,030 1,795 412 226
390 626 232 137
344 598 137 75
390 626 232 137
314 497 130 243
-------------------- -------------------- -------------------- ----------------------
3,618 6,078 1,682 1,239
(1,081) (1,810) (507) (410)
-------------------- -------------------- -------------------- ----------------------
2,537 4,268 1,175 829
-------------------- -------------------- -------------------- ----------------------
7,674 25,800 5,454 4,198
-------------------- -------------------- -------------------- ----------------------
(3,657) (6,489) 71 479
5,684 6,291 1,663 888
-------------------- -------------------- -------------------- ----------------------
2,027 (198) 1,734 1,367
35,560 40,330 5,463 645
-------------------- -------------------- -------------------- ----------------------
37,587 40,132 7,197 2,012
-------------------- -------------------- -------------------- ----------------------
$ 45,261 $ 65,932 $ 12,651 $ 6,210
==================== ==================== ==================== ======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 11
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
EQUITY AGGRESSIVE
STRATEGY FUND
-------------------------------------------
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003
- ---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss) $ 3,963 $ 1,425
Net realized gain (loss) (2,978) (18,378)
Net change in unrealized appreciation (depreciation) 29,411 101,265
------------------- --------------------
Net increase (decrease) in net assets from operations 30,396 84,312
------------------- --------------------
DISTRIBUTIONS
From net investment income
Class A (147) (7)
Class C (797) (78)
Class D (1,482) (226)
Class E (1,609) (763)
Class S (1,016) (604)
From net realized gain
Class A -- --
Class C -- --
Class D -- --
Class E -- --
Class S -- --
------------------- --------------------
Net decrease in net assets from distributions (5,051) (1,678)
------------------- --------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions 143,741 147,276
------------------- --------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS 169,086 229,910
NET ASSETS
Beginning of period 481,270 251,360
------------------- --------------------
End of period $ 650,356 $ 481,270
=================== ====================
Undistributed (overdistributed) net investment income included
in net assets $ (1,088) $ --
</Table>
See accompanying notes which are an integral part of the financial statements.
12 Statement of Changes in Net Assets
<Table>
<Caption>
AGGRESSIVE STRATEGY BALANCED STRATEGY MODERATE STRATEGY
FUND FUND FUND
------------------------------ ------------------------------ ------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- ----------------------------------------------------------------------------------------------------
$ 7,674 $ 4,790 $ 25,800 $ 17,171 $ 5,454 $ 5,679
2,027 (17,014) (198) (30,338) 1,734 (3,992)
35,560 145,154 40,330 204,835 5,463 35,410
------------- ------------- ------------- ------------- ------------- -------------
45,261 132,930 65,932 191,668 12,651 37,097
------------- ------------- ------------- ------------- ------------- -------------
(792) (71) (1,853) (222) (398) (87)
(2,834) (535) (7,371) (3,343) (1,310) (942)
(3,983) (1,068) (8,885) (4,205) (2,634) (1,746)
(3,461) (1,967) (8,104) (6,694) (1,619) (1,913)
(2,779) (1,611) (6,657) (4,456) (1,372) (1,469)
-- -- -- -- (38) --
-- -- -- -- (174) --
-- -- -- -- (281) --
-- -- -- -- (172) --
-- -- -- -- (133) --
------------- ------------- ------------- ------------- ------------- -------------
(13,849) (5,252) (32,870) (18,920) (8,131) (6,157)
------------- ------------- ------------- ------------- ------------- -------------
351,701 324,158 449,858 639,674 117,618 222,379
------------- ------------- ------------- ------------- ------------- -------------
383,113 451,836 482,920 812,422 122,138 253,319
873,263 421,427 1,545,759 733,337 443,224 189,905
------------- ------------- ------------- ------------- ------------- -------------
$ 1,256,376 $ 873,263 $ 2,028,679 $ 1,545,759 $ 565,362 $ 443,224
============= ============= ============= ============= ============= =============
$ (6,175) $ -- $ (7,070) $ -- $ (1,879) $ --
<Caption>
CONSERVATIVE STRATEGY
FUND
------------------------------
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003
- ---
$ 4,198 $ 4,758
1,367 1,764
645 15,230
------------- -------------
6,210 21,752
------------- -------------
(129) (33)
(607) (555)
(1,368) (1,006)
(2,590) (2,699)
(540) (730)
(25) --
(195) --
(344) --
(666) --
(122) --
------------- -------------
(6,586) (5,023)
------------- -------------
41,853 261,289
------------- -------------
41,477 278,018
388,240 110,222
------------- -------------
$ 429,717 $ 388,240
============= =============
$ (1,036) $ --
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 13
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
EQUITY AGGRESSIVE STRATEGY FUND
Class A
April 30, 2004 * 8.50 .06 .51 .57
October 31, 2003 (2) 6.38 .02 2.13 2.15
- --------------------------------------------------------------------------------------------------------------
Class C
April 30, 2004 * 8.23 .04 .47 .51
October 31, 2003 6.60 (.01) 1.65 1.64
October 31, 2002 7.70 (.02) (.93) (.95)
October 31, 2001 10.24 (.04) (2.30) (2.34)
October 31, 2000 (5) 11.38 (.04) (.35) (.39)
December 31, 1999 (8) 9.80 .06 1.98 2.04
- --------------------------------------------------------------------------------------------------------------
Class D
April 30, 2004 * 8.38 .06 .49 .55
October 31, 2003 6.70 .02 1.69 1.71
October 31, 2002 7.79 .01 (.94) (.93)
October 31, 2001 10.33 --(d) (2.32) (2.32)
October 31, 2000 (5) 11.43 --(d) (.34) (.34)
December 31, 1999 9.81 .06 2.01 2.07
December 31, 1998 (6) 9.92 .01 .10 .11
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004 * 8.37 .07 .48 .55
October 31, 2003 6.69 .04 1.68 1.72
October 31, 2002 7.76 .03 (.93) (.90)
October 31, 2001 10.28 .03 (2.32) (2.29)
October 31, 2002 (5) 11.39 .03 (.35) (.32)
December 31, 1999 9.80 .10 2.00 2.10
December 31, 1998 8.83 .03 1.18 1.21
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004 * 8.45 .08 .49 .57
October 31, 2003 6.75 .07 1.69 1.76
October 31, 2002 7.83 .06 (.96) (.90)
October 31, 2001 10.34 .05 (2.33) (2.28)
October 31, 2000 (9) 10.91 .04 .17 .21
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET TOTAL
INVESTMENT INCOME REALIZED GAIN DISTRIBUTIONS
- ----------------------------------------
EQUITY AGGRESSIVE STRATEGY FUND
Class A
April 30, 2004 * (.09) -- (.09)
October 31, 2003 (2) (.03) -- (.03)
- ----------------------------------------
Class C
April 30, 2004 * (.06) -- (.06)
October 31, 2003 (.01) -- (.01)
October 31, 2002 (.01) (.14) (.15)
October 31, 2001 (.12) (.08) (.20)
October 31, 2000 (5) (.14) (.61) (.75)
December 31, 1999 (8) (.30) (.16) (.46)
- ----------------------------------------
Class D
April 30, 2004 * (.08) -- (.08)
October 31, 2003 (.03) -- (.03)
October 31, 2002 (.02) (.14) (.16)
October 31, 2001 (.14) (.08) (.22)
October 31, 2000 (5) (.15) (.61) (.76)
December 31, 1999 (.29) (.16) (.45)
December 31, 1998 (6) (.17) (.05) (.22)
- ----------------------------------------
Class E
April 30, 2004 * (.09) -- (.09)
October 31, 2003 (.04) -- (.04)
October 31, 2002 (.03) (.14) (.17)
October 31, 2001 (.15) (.08) (.23)
October 31, 2002 (5) (.18) (.61) (.79)
December 31, 1999 (.35) (.16) (.51)
December 31, 1998 (.19) (.05) (.24)
- ----------------------------------------
Class S
April 30, 2004 * (.10) -- (.10)
October 31, 2003 (.06) -- (.06)
October 31, 2002 (.04) (.14) (.18)
October 31, 2001 (.15) (.08) (.23)
October 31, 2000 (9) (.17) (.61) (.78)
- ----------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
14 Financial Highlights
<Table>
<Caption>
$ $
NET ASSET VALUE, % NET ASSETS,
END OF TOTAL END OF PERIOD
PERIOD RETURN(B)(E) (000)
- ----------------------------------------------------------
8.98 6.69 26,245
8.50 33.75 7,399
- ----------------------------------------------------------
8.68 6.17 152,940
8.23 24.91 99,808
6.60 (12.73) 45,267
7.70 (23.24) 40,982
10.24 (3.37) 43,005
11.38 21.26 15,860
- ----------------------------------------------------------
8.85 6.53 206,947
8.38 25.60 128,624
6.70 (12.34) 36,092
7.79 (22.91) 12,208
10.33 (2.90) 12,592
11.43 21.58 3,732
9.81 1.17 4,923
- ----------------------------------------------------------
8.83 6.53 158,800
8.37 25.89 155,984
6.69 (12.05) 111,765
7.76 (22.72) 156,698
10.28 (2.75) 190,273
11.39 21.96 202,066
9.80 13.75 91,459
- ----------------------------------------------------------
8.92 6.71 105,424
8.45 26.26 89,455
6.75 (11.95) 58,236
7.83 (22.43) 46,029
10.34 1.93 25,524
- ----------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO
NET(C)(F)(G) GROSS(C)(F) NET ASSETS(B) TURNOVER RATE(B)
- ---
.25 .45 .68 5.35
.25 .45 .30 17.81
- ---
1.00 1.20 .42 5.35
1.00 1.20 (.19) 17.81
1.00 1.20 (.32) 29.86
1.00 1.20 (.45) 47.86
1.00 1.25 (.35) 58.41
1.00 1.25 .59 76.20
- ---
.50 .70 .65 5.35
.50 .70 .24 17.81
.50 .70 .20 29.86
.50 .70 .05 47.86
.50 .75 .01 58.41
.50 .75 .64 76.20
.50 .89 .01 73.95
- ---
.25 .45 .74 5.35
.25 .45 .59 17.81
.25 .45 .44 29.86
.25 .45 .30 47.86
.25 .50 .24 58.41
.25 .50 .99 76.20
.25 .62 .28 73.95
- ---
-- .20 .95 5.35
-- .20 .90 17.81
-- .20 .72 29.86
-- .20 .59 47.86
-- .25 .45 58.41
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 15
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
AGGRESSIVE STRATEGY FUND
Class A
April 30, 2004 * 9.12 .07 .44 .51
October 31, 2003 (4) 7.20 .04 1.94 1.98
- --------------------------------------------------------------------------------------------------------------
Class C
April 30, 2004 * 9.09 .04 .44 .48
October 31, 2003 7.49 .02 1.61 1.63
October 31, 2002 8.46 .04 (.79) (.75)
October 31, 2001 10.35 .05 (1.80) (1.75)
October 31, 2000 (5) 11.15 .05 (.29) (.24)
December 31, 1999 (7) 10.11 .13 1.36 1.49
- --------------------------------------------------------------------------------------------------------------
Class D
April 30, 2004 * 9.15 .07 .43 .50
October 31, 2003 7.54 .05 1.63 1.68
October 31, 2002 8.52 .08 (.79) (.71)
October 31, 2001 10.41 .10 (1.81) (1.71)
October 31, 2000 (5) 11.20 .09 (.28) (.19)
December 31, 1999 9.95 .15 1.57 1.72
December 31, 1998 (6) 10.09 .13 (.05) .08
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004 * 9.13 .08 .43 .51
October 31, 2003 7.51 .08 1.63 1.71
October 31, 2002 8.49 .11 (.81) (.70)
October 31, 2001 10.38 .12 (1.80) (1.68)
October 31, 2000 (5) 11.17 .11 (.28) (.17)
December 31, 1999 9.94 .18 1.56 1.74
December 31, 1998 9.14 .19 .87 1.06
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004 * 9.16 .09 .44 .53
October 31, 2003 7.54 .10 1.63 1.73
October 31, 2002 8.52 .13 (.81) (.68)
October 31, 2001 10.41 .14 (1.80) (1.66)
October 31, 2000 (10) 10.82 .11 .09 .20
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET TOTAL
INVESTMENT INCOME REALIZED GAIN DISTRIBUTIONS
- ----------------------------------------
AGGRESSIVE STRATEGY FUND
Class A
April 30, 2004 * (.13) -- (.13)
October 31, 2003 (4) (.06) -- (.06)
- ----------------------------------------
Class C
April 30, 2004 * (.10) -- (.10)
October 31, 2003 (.03) -- (.03)
October 31, 2002 (.05) (.17) (.22)
October 31, 2001 (.10) (.04) (.14)
October 31, 2000 (5) (.18) (.38) (.56)
December 31, 1999 (7) (.29) (.16) (.45)
- ----------------------------------------
Class D
April 30, 2004 * (.12) -- (.12)
October 31, 2003 (.07) -- (.07)
October 31, 2002 (.10) (.17) (.27)
October 31, 2001 (.14) (.04) (.18)
October 31, 2000 (5) (.22) (.38) (.60)
December 31, 1999 (.31) (.16) (.47)
December 31, 1998 (6) (.21) (.01) (.22)
- ----------------------------------------
Class E
April 30, 2004 * (.13) -- (.13)
October 31, 2003 (.09) -- (.09)
October 31, 2002 (.11) (.17) (.28)
October 31, 2001 (.17) (.04) (.21)
October 31, 2000 (5) (.24) (.38) (.62)
December 31, 1999 (.35) (.16) (.51)
December 31, 1998 (.25) (.01) (.26)
- ----------------------------------------
Class S
April 30, 2004 * (.14) -- (.14)
October 31, 2003 (.11) -- (.11)
October 31, 2002 (.13) (.17) (.30)
October 31, 2001 (.19) (.04) (.23)
October 31, 2000 (10) (.23) (.38) (.61)
- ----------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
16 Financial Highlights
<Table>
<Caption>
$ $
NET ASSET VALUE, % NET ASSETS,
END OF TOTAL END OF PERIOD
PERIOD RETURN(B)(E) (000)
- ----------------------------------------------------------
9.50 5.59 89,852
9.12 27.35 27,700
- ----------------------------------------------------------
9.47 5.23 318,793
9.09 21.89 219,946
7.49 (9.20) 102,324
8.46 (17.06) 80,514
10.35 (2.15) 67,296
11.15 15.21 29,365
- ----------------------------------------------------------
9.53 5.44 369,657
9.15 22.44 232,636
7.54 (8.78) 58,031
8.52 (16.58) 15,307
10.41 (1.72) 12,628
11.20 17.69 6,096
9.95 .96 3,649
- ----------------------------------------------------------
9.51 5.56 264,254
9.13 22.90 233,112
7.51 (8.64) 152,805
8.49 (16.40) 177,992
10.38 (1.50) 193,351
11.17 17.95 167,677
9.94 11.69 62,188
- ----------------------------------------------------------
9.55 5.77 213,820
9.16 23.10 159,869
7.54 (8.37) 108,267
8.52 (16.15) 86,466
10.41 1.59 35,585
- ----------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO
NET(C)(F)(G) GROSS(C)(F) NET ASSETS(B) TURNOVER RATE(B)
- ---
.25 .45 .73 1.83
.25 .45 .51 15.15
- ---
1.00 1.20 .44 1.83
1.00 1.20 .24 15.15
1.00 1.20 .51 11.73
1.00 1.20 .53 13.12
1.00 1.25 .43 40.57
1.00 1.25 1.50 71.44
- ---
.50 .70 .68 1.83
.50 .70 .66 15.15
.50 .70 .92 11.73
.50 .70 1.02 13.12
.50 .75 .81 40.57
.50 .75 1.48 71.44
.50 .93 1.35 93.08
- ---
.25 .45 .85 1.83
.25 .45 1.02 15.15
.25 .45 1.29 11.73
.25 .45 1.30 13.12
.25 .50 1.04 40.57
.25 .50 1.73 71.44
.25 .66 1.88 93.08
- ---
-- .20 .94 1.83
-- .20 1.30 15.15
-- .20 1.51 11.73
-- .20 1.50 13.12
-- .25 1.15 40.57
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 17
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
BALANCED STRATEGY FUND
Class A
April 30, 2004 * 9.64 .13 .31 .44
October 31, 2003 (2) 8.20 .06 1.47 1.53
- --------------------------------------------------------------------------------------------------------------
Class C
April 30, 2004 * 9.61 .11 .30 .41
October 31, 2003 8.33 .09 1.31 1.40
October 31, 2002 9.04 .12 (.59) (.47)
October 31, 2001 10.20 .16 (1.09) (.93)
October 31, 2000 (5) 10.72 .15 (.11) .04
December 31, 1999 (7) 10.26 .25 .70 .95
- --------------------------------------------------------------------------------------------------------------
Class D
April 30, 2004 * 9.66 .14 .29 .43
October 31, 2003 8.36 .12 1.34 1.46
October 31, 2002 9.08 .16 (.59) (.43)
October 31, 2001 10.25 .21 (1.10) (.89)
October 31, 2000 (5) 10.77 .17 (.09) .08
December 31, 1999 10.13 .30 .84 1.14
December 31, 1998 (6) 10.22 .24 .07 .31
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004 * 9.65 .17 .27 .44
October 31, 2003 8.35 .17 1.31 1.48
October 31, 2002 9.06 .19 (.60) (.41)
October 31, 2001 10.22 .24 (1.11) (.87)
October 31, 2000 (5) 10.74 .21 (.11) .10
December 31, 1999 10.12 .30 .86 1.16
December 31, 1998 9.46 .31 .78 1.09
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004 * 9.68 .16 .29 .45
October 31, 2003 8.38 .19 1.31 1.50
October 31, 2002 9.09 .22 (.60) (.38)
October 31, 2001 10.25 .28 (1.12) (.84)
October 31, 2000 (9) 10.45 .19 .23 .42
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET TOTAL
INVESTMENT INCOME REALIZED GAIN DISTRIBUTIONS
- ----------------------------------------
BALANCED STRATEGY FUND
Class A
April 30, 2004 * (.19) -- (.19)
October 31, 2003 (2) (.09) -- (.09)
- ----------------------------------------
Class C
April 30, 2004 * (.16) -- (.16)
October 31, 2003 (.12) -- (.12)
October 31, 2002 (.13) (.11) (.24)
October 31, 2001 (.20) (.03) (.23)
October 31, 2000 (5) (.24) (.32) (.56)
December 31, 1999 (7) (.37) (.12) (.49)
- ----------------------------------------
Class D
April 30, 2004 * (.18) -- (.18)
October 31, 2003 (.16) -- (.16)
October 31, 2002 (.18) (.11) (.29)
October 31, 2001 (.25) (.03) (.28)
October 31, 2000 (5) (.28) (.32) (.60)
December 31, 1999 (.38) (.12) (.50)
December 31, 1998 (6) (.37) (.03) (.40)
- ----------------------------------------
Class E
April 30, 2004 * (.19) -- (.19)
October 31, 2003 (.18) -- (.18)
October 31, 2002 (.19) (.11) (.30)
October 31, 2001 (.26) (.03) (.29)
October 31, 2000 (5) (.30) (.32) (.62)
December 31, 1999 (.42) (.12) (.54)
December 31, 1998 (.40) (.03) (.43)
- ----------------------------------------
Class S
April 30, 2004 * (.20) -- (.20)
October 31, 2003 (.20) -- (.20)
October 31, 2002 (.22) (.11) (.33)
October 31, 2001 (.29) (.03) (.32)
October 31, 2000 (9) (.30) (.32) (.62)
- ----------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
18 Financial Highlights
<Table>
<Caption>
$ $
NET ASSET VALUE, % NET ASSETS,
END OF TOTAL END OF PERIOD
PERIOD RETURN(B)(E) (000)
- ----------------------------------------------------------
9.89 4.59 150,505
9.64 18.80 60,696
- ----------------------------------------------------------
9.86 4.22 539,809
9.61 17.02 396,344
8.33 (5.42) 186,825
9.04 (9.25) 136,748
10.20 .43 81,188
10.72 9.53 39,325
- ----------------------------------------------------------
9.91 4.44 573,136
9.66 17.76 396,545
8.36 (5.01) 121,077
9.08 (8.83) 38,381
10.25 .84 17,296
10.77 11.64 9,075
10.13 3.23 4,953
- ----------------------------------------------------------
9.90 4.56 392,552
9.65 18.00 414,051
8.35 (4.73) 269,458
9.06 (8.59) 288,164
10.22 1.04 296,435
10.74 11.80 295,542
10.12 11.66 161,108
- ----------------------------------------------------------
9.93 4.67 372,677
9.68 18.22 278,123
8.38 (4.47) 155,977
9.09 (8.35) 96,801
10.25 4.09 36,898
- ----------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO
NET(C)(F)(G) GROSS(C)(F) NET ASSETS(B) TURNOVER RATE(B)
- ---
.25 .45 1.32 4.86
.25 .45 .74 18.55
- ---
1.00 1.20 1.13 4.86
1.00 1.20 1.05 18.55
1.00 1.20 1.38 12.18
1.00 1.20 1.71 33.42
1.00 1.25 1.43 31.70
1.00 1.25 2.96 64.63
- ---
.50 .70 1.36 4.86
.50 .70 1.38 18.55
.50 .70 1.75 12.18
.50 .70 2.25 33.42
.50 .75 1.67 31.70
.50 .75 3.07 64.63
.50 .86 2.46 78.85
- ---
.25 .45 1.70 4.86
.25 .45 1.88 18.55
.25 .45 2.17 12.18
.25 .45 2.51 33.42
.25 .50 2.02 31.70
.25 .50 2.89 64.63
.25 .61 3.05 78.85
- ---
-- .20 1.62 4.86
-- .20 2.12 18.55
-- .20 2.40 12.18
-- .20 2.64 33.42
-- .25 2.05 31.70
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 19
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
MODERATE STRATEGY FUND
Class A
April 30, 2004 * 10.03 .12 .20 .32
October 31, 2003 (3) 9.02 .07 1.06 1.13
- --------------------------------------------------------------------------------------------------------------
Class C
April 30, 2004 * 10.01 .08 .20 .28
October 31, 2003 9.15 .12 .91 1.03
October 31, 2002 9.59 .19 (.38) (.19)
October 31, 2001 10.20 .29 (.58) (.29)
October 31, 2000 (5) 10.46 .24 (.02) .22
December 31, 1999 (8) 10.15 .32 .48 .80
- --------------------------------------------------------------------------------------------------------------
Class D
April 30, 2004 * 10.06 .11 .20 .31
October 31, 2003 9.19 .16 .92 1.08
October 31, 2002 9.64 .23 (.38) (.15)
October 31, 2001 10.24 .33 (.56) (.23)
October 31, 2000 (5) 10.49 .28 (.02) .26
December 31, 1999 10.15 .33 .50 .83
December 31, 1998 (6) 10.18 .26 .09 .35
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004 * 10.03 .12 .20 .32
October 31, 2003 9.16 .21 .89 1.10
October 31, 2002 9.59 .27 (.38) (.11)
October 31, 2001 10.20 .36 (.58) (.22)
October 31, 2000 (5) 10.46 .28 .00 .28
December 31, 1999 10.15 .40 .46 .86
December 31, 1998 9.61 .39 .57 .96
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004 * 10.05 .13 .20 .33
October 31, 2003 9.17 .23 .90 1.13
October 31, 2002 9.61 .28 (.38) (.10)
October 31, 2001 10.21 .39 (.58) (.19)
October 31, 2000 (10) 10.27 .29 .19 .48
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET TOTAL
INVESTMENT INCOME REALIZED GAIN DISTRIBUTIONS
- ----------------------------------------
MODERATE STRATEGY FUND
Class A
April 30, 2004 * (.16) (.02) (.18)
October 31, 2003 (3) (.12) -- (.12)
- ----------------------------------------
Class C
April 30, 2004 * (.12) (.02) (.14)
October 31, 2003 (.17) -- (.17)
October 31, 2002 (.20) (.05) (.25)
October 31, 2001 (.30) (.02) (.32)
October 31, 2000 (5) (.28) (.20) (.48)
December 31, 1999 (8) (.40) (.09) (.49)
- ----------------------------------------
Class D
April 30, 2004 * (.15) (.02) (.17)
October 31, 2003 (.21) -- (.21)
October 31, 2002 (.25) (.05) (.30)
October 31, 2001 (.35) (.02) (.37)
October 31, 2000 (5) (.31) (.20) (.51)
December 31, 1999 (.40) (.09) (.49)
December 31, 1998 (6) (.37) (.01) (.38)
- ----------------------------------------
Class E
April 30, 2004 * (.16) (.02) (.18)
October 31, 2003 (.23) -- (.23)
October 31, 2002 (.27) (.05) (.32)
October 31, 2001 (.37) (.02) (.39)
October 31, 2000 (5) (.34) (.20) (.54)
December 31, 1999 (.46) (.09) (.55)
December 31, 1998 (.41) (.01) (.42)
- ----------------------------------------
Class S
April 30, 2004 * (.17) (.02) (.19)
October 31, 2003 (.25) -- (.25)
October 31, 2002 (.29) (.05) (.34)
October 31, 2001 (.39) (.02) (.41)
October 31, 2000 (10) (.34) (.20) (.54)
- ----------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
20 Financial Highlights
<Table>
<Caption>
$ $
NET ASSET VALUE, % NET ASSETS,
END OF TOTAL END OF PERIOD
PERIOD RETURN(B)(E) (000)
- ----------------------------------------------------------
10.17 3.13 32,452
10.03 12.56 18,820
- ----------------------------------------------------------
10.15 2.77 121,646
10.01 11.36 96,231
9.15 (2.00) 39,694
9.59 (2.87) 20,859
10.20 2.20 10,392
10.46 8.03 4,139
- ----------------------------------------------------------
10.20 3.00 215,304
10.06 11.94 154,267
9.19 (1.58) 38,170
9.64 (2.33) 5,545
10.24 2.65 3,157
10.49 8.40 1,367
10.15 3.57 1,780
- ----------------------------------------------------------
10.17 3.12 108,107
10.03 12.19 99,926
9.16 (1.22) 66,462
9.59 (2.19) 57,885
10.20 2.81 49,818
10.46 8.65 45,350
10.15 10.19 18,573
- ----------------------------------------------------------
10.19 3.23 87,853
10.05 12.55 73,980
9.17 (1.08) 45,579
9.61 (1.87) 24,078
10.21 4.09 7,584
- ----------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO
NET(C)(F)(G) GROSS(C)(F) NET ASSETS(B) TURNOVER RATE(B)
- ---
.25 .45 1.15 3.11
.25 .45 .84 11.08
- ---
1.00 1.20 .81 3.11
1.00 1.20 1.29 11.08
1.00 1.20 2.05 15.16
1.00 1.20 2.95 42.49
1.00 1.25 2.30 39.55
1.00 1.25 3.35 120.04
- ---
.50 .70 1.03 3.11
.50 .70 1.62 11.08
.50 .70 2.51 15.16
.50 .70 3.39 42.49
.50 .75 2.66 39.55
.50 .75 3.28 120.04
.50 1.01 2.65 175.58
- ---
.25 .45 1.21 3.11
.25 .45 2.22 11.08
.25 .45 2.84 15.16
.25 .45 3.60 42.49
.25 .50 2.77 39.55
.25 .50 3.87 120.04
.25 .94 3.71 175.58
- ---
-- .20 1.31 3.11
-- .20 2.44 11.08
-- .20 2.97 15.16
-- .20 3.97 42.49
-- .25 3.12 39.55
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 21
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
CONSERVATIVE STRATEGY FUND
Class A
April 30, 2004 * 10.42 .11 .08 .19
October 31, 2003 (1) 9.94 .09 .50 .59
- --------------------------------------------------------------------------------------------------------------
Class C
April 30, 2004 * 10.38 .07 .08 .15
October 31, 2003 9.90 .12 .52 .64
October 31, 2002 10.10 .28 (.18) .10
October 31, 2001 10.17 .42 (.07) .35
October 31, 2000 (5) 10.12 .31 .07 .38
December 31, 1999 (8) 10.26 .43 .04 .47
- --------------------------------------------------------------------------------------------------------------
Class D
April 30, 2004 * 10.47 .10 .07 .17
October 31, 2003 9.97 .16 .55 .71
October 31, 2002 10.17 .33 (.18) .15
October 31, 2001 10.21 .44 (.03) .41
October 31, 2000 (5) 10.16 .33 .09 .42
December 31, 1999 10.25 .44 .08 .52
December 31, 1998 (6) 10.20 .32 .06 .38
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004 * 10.43 .12 .07 .19
October 31, 2003 9.94 .20 .52 .72
October 31, 2002 10.13 .36 (.18) .18
October 31, 2001 10.19 .49 (.07) .42
October 31, 2000 (5) 10.14 .34 .10 .44
December 31, 1999 10.24 .49 .06 .55
December 31, 1998 9.88 .46 .29 .75
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004 * 10.47 .13 .06 .19
October 31, 2003 9.97 .23 .52 .75
October 31, 2002 10.16 .38 (.18) .20
October 31, 2001 10.21 .55 (.10) .45
October 31, 2000 (11) 10.09 .37 .14 .51
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET TOTAL
INVESTMENT INCOME REALIZED GAIN DISTRIBUTIONS
- ----------------------------------------
CONSERVATIVE STRATEGY FUND
Class A
April 30, 2004 * (.14) (.04) (.18)
October 31, 2003 (1) (.11) -- (.11)
- ----------------------------------------
Class C
April 30, 2004 * (.10) (.04) (.14)
October 31, 2003 (.16) -- (.16)
October 31, 2002 (.29) (.01) (.30)
October 31, 2001 (.42) -- (.42)
October 31, 2000 (5) (.33) -- (.33)
December 31, 1999 (8) (.56) (.05) (.61)
- ----------------------------------------
Class D
April 30, 2004 * (.13) (.04) (.17)
October 31, 2003 (.21) -- (.21)
October 31, 2002 (.34) (.01) (.35)
October 31, 2001 (.45) -- (.45)
October 31, 2000 (5) (.37) -- (.37)
December 31, 1999 (.56) (.05) (.61)
December 31, 1998 (6) (.33) -- (.33)
- ----------------------------------------
Class E
April 30, 2004 * (.14) (.04) (.18)
October 31, 2003 (.23) -- (.23)
October 31, 2002 (.36) (.01) (.37)
October 31, 2001 (.48) -- (.48)
October 31, 2000 (5) (.39) -- (.39)
December 31, 1999 (.60) (.05) (.65)
December 31, 1998 (.39) -- (.39)
- ----------------------------------------
Class S
April 30, 2004 * (.15) (.04) (.19)
October 31, 2003 (.25) -- (.25)
October 31, 2002 (.38) (.01) (.39)
October 31, 2001 (.50) -- (.50)
October 31, 2000 (11) (.39) -- (.39)
- ----------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
22 Financial Highlights
<Table>
<Caption>
$ $
NET ASSET VALUE, % NET ASSETS,
END OF TOTAL END OF PERIOD
PERIOD RETURN(B)(E) (000)
- ----------------------------------------------------------
10.43 1.81 12,365
10.42 6.01 5,526
- ----------------------------------------------------------
10.39 1.44 66,973
10.38 6.51 54,674
9.90 1.01 24,739
10.10 3.49 9,850
10.17 3.76 2,500
10.12 4.67 1,697
- ----------------------------------------------------------
10.47 1.57 123,944
10.47 7.17 92,430
9.97 1.52 25,145
10.17 4.11 3,066
10.21 4.20 1,162
10.16 5.18 1,001
10.25 3.77 618
- ----------------------------------------------------------
10.44 1.78 188,028
10.43 7.33 199,230
9.94 1.79 35,385
10.13 4.21 24,070
10.19 4.44 14,076
10.14 5.54 16,875
10.24 7.70 4,411
- ----------------------------------------------------------
10.47 1.81 38,407
10.47 7.63 36,380
9.97 2.02 24,953
10.16 4.52 11,429
10.21 5.17 2,643
- ----------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS, NET ASSETS, TO AVERAGE PORTFOLIO
NET(C)(F)(G) GROSS(C)(F) NET ASSETS(B) TURNOVER RATE(B)
- ---
.25 .45 1.08 3.32
.25 .45 .97 30.98
- ---
1.00 1.20 .71 3.32
1.00 1.20 1.21 30.98
1.00 1.20 2.78 35.08
1.00 1.20 4.20 54.86
1.00 1.25 3.04 53.89
1.00 1.25 4.77 125.01
- ---
.50 .70 .96 3.32
.50 .70 1.57 30.98
.50 .70 3.33 35.08
.50 .70 4.06 54.86
.50 .75 3.27 53.89
.50 .75 4.24 125.01
.50 1.73 3.09 169.79
- ---
.25 .45 1.11 3.32
.25 .45 1.86 30.98
.25 .45 3.54 35.08
.25 .45 4.83 54.86
.25 .50 3.40 53.89
.25 .50 4.76 125.01
.25 2.50 4.41 169.79
- ---
-- .20 1.21 3.32
-- .20 2.27 30.98
-- .20 3.79 35.08
-- .20 5.49 54.86
-- .25 3.71 53.89
- ---
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 23
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
* For the six months ended April 30, 2004 (Unaudited).
(1) For the period March 3, 2003 (commencement of operations) to October 31,
2003.
(2) For the period March 4, 2003 (commencement of operations) to October 31,
2003.
(3) For the period March 5, 2003 (commencement of operations) to October 31,
2003.
(4) For the period March 10, 2003 (commencement of operations) to October 31,
2003.
(5) For the ten months ended October 31, 2000.
(6) For the period March 24, 1998 (commencement of sale) to December 31, 1998.
(7) For the period January 29, 1999 (commencement of sale) to December 31,
1999.
(8) For the period February 11, 1999 (commencement of sale) to December 31,
1999.
(9) For the period January 31, 2000 (commencement of sale) to October 31,
2000.
(10) For the period February 1, 2000 (commencement of sale) to October 31,
2000.
(11) For the period February 14, 2000 (commencement of sale) to October 31,
2000.
(a) Recognition of net investment income by the Fund is affected by the timing
of the declaration of dividends by the underlying companies in which the
Fund invests.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) Less than $.01 per share for the period.
(e) Excludes the effects of sales charges. If sales charges were included, the
total return would be lower.
(f) The calculation includes only those expenses charged directly to the Funds
and does not include expenses charged to the Underlying Funds in which the
Funds invest.
(g) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
24 Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios, referred to as "Funds."
These financial statements report on five LifePoints(R) Funds, each of which
has distinct investment objectives and strategies. The Investment Company is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. It is organized and
operates as a Massachusetts business trust under an amended master trust
agreement dated July 26, 1984. The Investment Company's master trust
agreement permits the Board of Trustees to issue an unlimited number of full
and fractional shares of beneficial interest at a $.01 par value.
Each of the LifePoints Funds allocates its assets by investing in a
combination of Class S shares of the Investment Company's portfolios (the
"Underlying Funds"). Each of the LifePoints Funds will adjust its investments
within set limits based on Frank Russell Investment Management Company's
("FRIMCo" or "Advisor") outlook for the economy, financial markets and
relative market valuation of the asset classes represented by each Underlying
Fund. However, the LifePoints Funds may deviate from set limits when, in
FRIMCo's opinion, it is necessary to pursue a LifePoints Fund's investment
objective. The amounts allocated to each Underlying Fund by each LifePoints
Fund will generally vary within 10% of the percentages specified below:
<Table>
<Caption>
ASSET ALLOCATION TARGETS
-------------------------------------------------------------------------------------------------
EQUITY AGGRESSIVE AGGRESSIVE BALANCED MODERATE CONSERVATIVE
ASSET CLASS/UNDERLYING FUNDS STRATEGY FUND STRATEGY FUND STRATEGY FUND STRATEGY FUND STRATEGY FUND
- ---------------------------------------------------------------------------------------------------------------------------------
Equities
US Equities
Diversified Equity 29% 23% 16% 11% 7%
Special Growth 6 5 4 3 --
Quantitative Equity 29 23 16 11 7
Real Estate
Securities 7 6 5 4 3
International Equities
International
Securities 24 19 16 11 3
Emerging Markets 5 4 3 -- --
Bonds
Diversified Bond -- -- 20 27 22
Short Term Bond -- -- -- 33 58
Multistrategy Bond -- 20 20 -- --
</Table>
Objectives of the Underlying Funds:
Diversified Equity Fund
Seeks to provide long term capital growth.
Special Growth Fund
Seeks to provide long term capital growth.
Quantitative Equity Fund
Seeks to provide long term capital growth.
Real Estate Securities Fund
Seeks to provide current income and long term capital growth.
International Securities Fund
Seeks to provide long term capital growth.
Notes to Financial Statements 25
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Emerging Markets Fund
Seeks to provide long term capital growth.
Diversified Bond Fund
Seeks to provide current income and the preservation of capital.
Short Term Bond Fund
Seeks to provide current income and preservation of capital with a focus on
short duration securities.
Multistrategy Bond Fund
Seeks to provide current income and capital appreciation.
Financial statements of the Underlying Funds can be obtained by calling the
Office of Shareholder Inquiries at (800) 787-7354.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Funds in the
preparation of these financial statements.
Security valuation
Investments in Underlying Funds are valued at the net asset value per share
of each Fund as of 4:00 p.m. Eastern time, or the close of regular trading on
the New York Stock Exchange, if earlier.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost.
Investment income
Distributions of income and capital gains from the Underlying Funds are
recorded on the ex-dividend date.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, each Fund is
a separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income tax provision was required for the Funds.
Dividends and distributions to shareholders
Income, dividends and capital gain distributions, if any, are recorded on the
ex-dividend date. Income dividends are generally declared and paid quarterly.
Capital gain distributions are generally declared and paid annually. An
additional distribution may be paid by the Funds to avoid imposition of
federal income and excise tax on any remaining undistributed capital gains
and net investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) from investment transactions for a reporting period may differ
significantly from distributions during such period. The differences between
tax regulations and GAAP relate primarily to investments in the Underlying
Funds sold at a loss, wash sale deferrals, capital loss
26 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
carryforwards, and by recording gains and losses from securities transactions
on the basis of specific identified cost incurred by each money manager for
financial reporting purposes and on the basis of specific identified cost
incurred by the Fund for tax purposes. Accordingly, the Funds may
periodically make reclassifications among certain of their capital accounts
without impacting their net asset value.
Expenses
Expenses included in the accompanying financial statements reflect the
expenses of each Fund and do not include any expenses associated with the
Underlying Funds. Because the Underlying Funds have varied expense and fee
levels and the Funds may own different proportions of the Underlying Funds at
different times, the amount of the fees and expenses incurred indirectly by
the Funds will vary.
Class Allocation
The Funds offer the following classes of shares: Class A, Class C, Class D,
Class E and Class S. All share classes have identical voting, dividend,
liquidation and other rights and the same terms and conditions. The separate
classes of shares differ principally in the applicable sales charges,
distribution fees and shareholder servicing fees. Shareholders of each class
bear certain expenses that pertain to that particular class. Realized and
unrealized gains (losses), net investment income, and expenses with the
exception of class level expenses, are allocated daily to each class of
shares based upon the relative proportion of net assets of each class.
Guarantees
In the normal course of business the Funds enter into contracts that contain
a variety of representations which provide general indemnifications. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds expect the risk of loss to be remote.
3. INVESTMENT TRANSACTIONS
Securities
During the period ended April 30, 2004, purchases and sales of the Underlying
Funds were as follows:
<Table>
<Caption>
FUNDS PURCHASES SALES
--------------------------------------------------------------------------------
Equity Aggressive Strategy $ 175,253,898 $ 31,089,421
Aggressive Strategy 370,917,049 19,772,555
Balanced Strategy 538,856,205 87,990,944
Moderate Strategy 131,451,456 15,794,176
Conservative Strategy 54,589,210 13,659,365
</Table>
4. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers all of the Funds which comprise the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
The Funds are charged an advisory fee equal to 0.20% and an administrative
fee equal to 0.05% of average daily net assets. For the period ended April
30, 2004, the Advisor contractually agreed to waive the advisory fee for all
Funds. The advisor does not have the ability to recover amounts waived from
previous periods. The administrative fees were charged to the Underlying
Funds in accordance with the special servicing agreements discussed below.
No LifePoints Fund will bear any operating expenses. Operating expenses
include those expenses arising from accounting, administrative, custody,
auditing, legal, trustee and transfer agent services. They do not include
expenses attributable to advisor (which are currently waived by FRIMCo), any
Rule 12b-1 distribution fee, any shareholder service fees, or any
nonrecurring extraordinary expenses. A LifePoints Fund's operating expenses
are borne either by the Underlying Funds in which the LifePoints Fund invests
or by FRIMCo. This arrangement is governed by Special Servicing Agreements
among each of the
Notes to Financial Statements 27
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
affected Funds and FRIMCo. Those agreements are entered into on a yearly
basis and must be re-approved annually by the Investment Company's Board of
Trustees.
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Funds. The Underlying Funds have borne this expense.
Distributor and Shareholder Servicing
Pursuant to the Distribution Agreement with the Investment Company, Russell
Fund Distributors, Inc. ("Distributor"), a wholly-owned subsidiary of FRIMCo,
serves as distributor for all Investment Company portfolio shares, including
Class A, Class C, Class D, and Class E shares of the Funds.
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor or any Selling Agents, as
defined in the Plan for sales support services provided, and related expenses
incurred which are primarily intended to result in the sale of the Class A,
Class C and Class D shares subject to the Distribution Plan. The 12b-1
distribution payments shall not exceed 0.25% of the average daily net assets
of a Fund's Class A or Class D shares or 0.75% of the average daily net
assets of a Fund's Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class C, Class D, and Class E shares of the Funds. The
shareholder servicing payments shall not exceed 0.25% of the average daily
net assets of a Fund's Class C, Class D, and Class E shares on an annual
basis.
Pursuant to the rules of the National Association of Securities Dealers, Inc.
("NASD"), the aggregate initial sales charges and asset-based sales charges
on Shares of the Funds may not exceed 6.25% of total gross sales, subject to
certain exclusions. This 6.25% limitation is imposed at the class level on
each of the Class A shares, Class C and Class D shares of each Fund rather
than on a per shareholder basis. Therefore, long-term shareholders of the
Class A, Class C and Class D shares may pay more than the economic equivalent
of the maximum sales charges permitted by the NASD. For the period ended
April 30, 2004, the sales commissions paid to the distributors for the sale
of Class A shares are as follows:
<Table>
<Caption>
AGGREGATE CLASS A FRONT-END
FRONT-END SALES SALES CHARGES
CHARGES ON RETAINED BY
FUNDS CLASS A SHARES DISTRIBUTOR
---------------------------------------------------------------------------
Equity Aggressive Strategy $ 393,315 $ 60,385
Aggressive Strategy 1,734,506 283,877
Balanced Strategy 2,294,830 379,994
Moderate Strategy 394,739 70,918
Conservative Strategy 173,849 28,138
</Table>
Accrued Shareholder Servicing and Distribution fees payable to affiliates as
of April 30, 2004 were as follows:
<Table>
Equity Aggressive Strategy $ 252,631
Aggressive Strategy 485,647
Balanced Strategy 792,936
Moderate Strategy 217,047
Conservative Strategy 147,104
----------------
$ 1,895,365
================
</Table>
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 funds, and Russell Investment Funds ("RIF"), which has
5 funds. Each of the trustees is a trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly
28 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
meeting attended in person, $2,000 for each special meeting attended in
person, and $2,000 for each Joint Audit Committee meeting or Nominating and
Governance Committee meeting attended in person. The Trustee will receive a
$500 fee for attending the meetings by phone instead of receiving the full
fee had the member attended in person. Out of pocket expenses are also paid
by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per
year, and each Committee Chair is paid a fee of $6,000 per year.
Transactions With Affiliated Companies
An affiliated company is a company in which a Fund has ownership of at least
5% of the voting securities. Transactions during the period ended April 30,
2004 with Underlying Funds which are or were affiliates are as follows:
<Table>
<Caption>
PURCHASES SALES INCOME
AFFILIATE COST COST DISTRIBUTIONS
---------------------------------------------------------------------------------------------------------------
Equity Aggressive Strategy
Diversified Equity $ 50,695,078 $ 10,176,975 $ 508,040
Special Growth 10,598,024 2,213,628 --
Quantitative Equity 50,679,467 9,713,931 544,329
International Securities 40,956,990 8,310,333 2,594,321
Emerging Markets 8,608,033 2,496,801 733,555
---------------------- ---------------------- ----------------------
$ 161,537,592 $ 32,911,668 $ 4,380,245
====================== ====================== ======================
Aggressive Strategy
Diversified Equity $ 81,393,196 $ 5,025,634 $ 744,138
Special Growth 18,451,056 1,347,978 --
Quantitative Equity 81,358,855 4,813,674 794,787
International Securities 66,681,576 8,296,123 3,766,381
Emerging Markets 15,111,683 2,547,699 1,077,352
Real Estate Securities 22,771,815 299,432 1,430,239
Multistrategy Bond 85,148,868 1,099,500 2,398,346
---------------------- ---------------------- ----------------------
$ 370,917,049 $ 23,430,040 $ 10,211,243
====================== ====================== ======================
Balanced Strategy
Diversified Equity $ 77,242,352 $ 17,158,639 $ 880,847
Special Growth 20,144,080 4,709,059 --
Quantitative Equity 77,433,025 16,085,517 945,891
International Securities 77,680,722 22,378,132 5,518,403
Emerging Markets 14,998,218 4,958,909 1,408,553
Real Estate Securities 26,451,471 3,225,801 2,000,575
Diversified Bond 123,227,915 82,327,837 8,665,677
Multistrategy Bond 121,678,421 13,008,422 10,648,433
---------------------- ---------------------- ----------------------
$ 538,856,204 $ 163,852,316 $ 30,068,379
====================== ====================== ======================
Moderate Strategy
Short-Term Bond $ 43,642,945 $ 1,366,853 $ 1,487,867
Diversified Bond 38,349,731 1,107,904 3,279,900
---------------------- ---------------------- ----------------------
$ 81,992,676 $ 2,474,757 $ 4,767,767
====================== ====================== ======================
Conservative Strategy
Short-Term Bond $ 29,495,231 $ 3,186,654 $ 2,105,618
Diversified Bond 12,755,872 1,084,929 2,226,656
---------------------- ---------------------- ----------------------
$ 42,251,103 $ 4,271,583 $ 4,332,274
====================== ====================== ======================
</Table>
Notes to Financial Statements 29
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
5. FEDERAL INCOME TAXES
At October 31, 2003, certain Funds had net tax basis capital loss
carryforwards which may be applied against any realized net taxable gains in
each succeeding year or until their respective expiration dates, whichever
occurs first. Available capital loss carryforwards and expiration dates are
as follows:
<Table>
<Caption>
FUNDS 10/31/10 10/31/11 TOTALS
---------------------------------------------------------------------------------------------
Equity Aggressive Strategy $ 2,165,868 $ 333,051 $ 2,498,919
Aggressive Strategy 1,128,214 3,664,857 4,793,071
</Table>
At April 30, 2004, the cost of investments, net unrealized appreciation
(depreciation), undistributed ordinary income and undistributed long-term
capital gains for income tax purposes were as follows:
<Table>
<Caption>
EQUITY BALANCED MODERATE
AGGRESSIVE STRATEGY AGGRESSIVE STRATEGY STRATEGY STRATEGY
----------------------------------------------------------------------------------------------------------------
Cost of Investments $ 596,272,678 $ 1,180,377,657 $ 1,878,831,569 $ 563,148,999
================= ================= ================= =================
Unrealized Appreciation $ 51,787,134 $ 70,133,761 $ 143,582,764 $ 34,598,929
Unrealized Depreciation -- -- -- (1,246,679)
----------------- ----------------- ----------------- -----------------
Net Unrealized Appreciation
(Depreciation) $ 51,787,134 $ 70,133,761 $ 143,582,764 $ 33,352,250
================= ================= ================= =================
<Caption>
CONSERVATIVE
STRATEGY
-----------------------------
Cost of Investments $ 412,367,895
=================
Unrealized Appreciation $ 18,321,506
Unrealized Depreciation (1,553,093)
-----------------
Net Unrealized Appreciation
(Depreciation) $ 16,768,413
=================
</Table>
30 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands)
Share transactions for the period ended April 30, 2004 and the year ended
October 31, 2003 were as follows:
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
EQUITY AGGRESSIVE STRATEGY ----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold 2,100 871 $ 19,056 $ 7,023
Proceeds from reinvestment of
distributions 16 1 146 7
Payments for shares redeemed (62) (2) (559) (14)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,054 870 18,643 7,016
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 7,096 6,837 62,217 49,737
Proceeds from reinvestment of
distributions 91 12 779 76
Payments for shares redeemed (1,698) (1,582) (14,839) (11,049)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,489 5,267 48,157 38,764
----------------- ----------------- ----------------- -----------------
Class D
Proceeds from shares sold 9,097 11,224 80,858 80,872
Proceeds from reinvestment of
distributions 168 32 1,482 226
Payments for shares redeemed (1,217) (1,295) (10,831) (9,440)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 8,048 9,961 71,509 71,658
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 3,826 6,304 34,230 44,891
Proceeds from reinvestment of
distributions 180 107 1,591 754
Payments for shares redeemed (4,669) (4,483) (41,778) (32,088)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (663) 1,928 (5,957) 13,557
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 3,262 7,631 29,487 55,585
Proceeds from reinvestment of
distributions 109 83 974 593
Payments for shares redeemed (2,141) (5,754) (19,072) (39,897)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,230 1,960 11,389 16,281
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 16,158 19,986 $ 143,741 $ 147,276
================= ================= ================= =================
</Table>
Notes to Financial Statements 31
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
AGGRESSIVE STRATEGY ----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold 6,485 3,060 $ 62,637 $ 26,148
Proceeds from reinvestment of
distributions 81 8 787 71
Payments for shares redeemed (144) (32) (1,413) (283)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,422 3,036 62,011 25,936
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 11,406 13,357 109,439 109,064
Proceeds from reinvestment of
distributions 289 68 2,791 527
Payments for shares redeemed (2,214) (2,894) (21,344) (23,097)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 9,481 10,531 90,886 86,494
----------------- ----------------- ----------------- -----------------
Class D
Proceeds from shares sold 14,186 19,083 137,040 153,999
Proceeds from reinvestment of
distributions 409 131 3,982 1,068
Payments for shares redeemed (1,234) (1,497) (11,914) (12,011)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 13,361 17,717 129,108 143,056
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 6,376 10,576 61,556 84,281
Proceeds from reinvestment of
distributions 355 243 3,436 1,946
Payments for shares redeemed (4,479) (5,618) (43,216) (44,655)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,252 5,201 21,776 41,572
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 6,639 9,569 64,263 78,334
Proceeds from reinvestment of
distributions 257 191 2,503 1,531
Payments for shares redeemed (1,945) (6,671) (18,846) (52,765)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,951 3,089 47,920 27,100
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 36,467 39,574 $ 351,701 $ 324,158
================= ================= ================= =================
</Table>
32 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
BALANCED STRATEGY ----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold 9,086 6,305 $ 91,495 $ 58,044
Proceeds from reinvestment of
distributions 181 23 1,813 220
Payments for shares redeemed (342) (32) (3,426) (303)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 8,925 6,296 89,882 57,961
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 17,178 24,336 171,606 215,010
Proceeds from reinvestment of
distributions 729 382 7,239 3,283
Payments for shares redeemed (4,374) (5,933) (43,885) (51,826)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 13,533 18,785 134,960 166,467
----------------- ----------------- ----------------- -----------------
Class D
Proceeds from shares sold 17,681 29,186 177,540 255,832
Proceeds from reinvestment of
distributions 889 481 8,885 4,205
Payments for shares redeemed (1,771) (3,099) (17,817) (27,507)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 16,799 26,568 168,608 232,530
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 8,996 19,900 90,478 172,508
Proceeds from reinvestment of
distributions 803 759 7,995 6,586
Payments for shares redeemed (13,041) (10,029) (130,584) (87,498)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (3,242) 10,630 (32,111) 91,596
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 11,462 16,853 115,527 150,358
Proceeds from reinvestment of
distributions 587 480 5,873 4,188
Payments for shares redeemed (3,251) (7,231) (32,881) (63,426)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 8,798 10,102 88,519 91,120
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 44,813 72,381 $ 449,858 $ 639,674
================= ================= ================= =================
</Table>
Notes to Financial Statements 33
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
MODERATE STRATEGY ----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold 1,429 1,900 $ 14,711 $ 18,364
Proceeds from reinvestment of
distributions 41 9 418 86
Payments for shares redeemed (155) (32) (1,606) (310)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,315 1,877 13,523 18,140
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 3,984 6,861 40,934 65,105
Proceeds from reinvestment of
distributions 139 97 1,425 903
Payments for shares redeemed (1,746) (1,685) (17,983) (15,881)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,377 5,273 24,376 50,127
----------------- ----------------- ----------------- -----------------
Class D
Proceeds from shares sold 6,543 12,731 67,608 120,603
Proceeds from reinvestment of
distributions 283 185 2,915 1,746
Payments for shares redeemed (1,049) (1,738) (10,701) (16,307)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,777 11,178 59,822 106,042
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 2,500 4,778 25,761 44,857
Proceeds from reinvestment of
distributions 173 203 1,777 1,899
Payments for shares redeemed (2,004) (2,276) (20,580) (21,378)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 669 2,705 6,958 25,378
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,424 5,068 25,003 47,963
Proceeds from reinvestment of
distributions 131 144 1,349 1,349
Payments for shares redeemed (1,295) (2,818) (13,413) (26,620)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,260 2,394 12,939 22,692
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 11,398 23,427 $ 117,618 $ 222,379
================= ================= ================= =================
</Table>
34 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
CONSERVATIVE STRATEGY ----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold 706 607 $ 7,471 $ 6,240
Proceeds from reinvestment of
distributions 13 2 132 26
Payments for shares redeemed (63) (79) (669) (824)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 656 530 6,934 5,442
----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 2,196 4,191 23,114 42,212
Proceeds from reinvestment of
distributions 72 51 760 513
Payments for shares redeemed (1,086) (1,475) (11,415) (14,968)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,182 2,767 12,459 27,757
----------------- ----------------- ----------------- -----------------
Class D
Proceeds from shares sold 3,447 6,798 36,565 69,156
Proceeds from reinvestment of
distributions 162 99 1,712 1,006
Payments for shares redeemed (604) (586) (6,400) (5,984)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,005 6,311 31,877 64,178
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 1,571 23,409 16,613 234,581
Proceeds from reinvestment of
distributions 308 265 3,246 2,692
Payments for shares redeemed (2,966) (8,135) (31,311) (83,057)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,087) 15,539 (11,452) 154,216
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 903 3,345 9,593 33,879
Proceeds from reinvestment of
distributions 58 68 608 691
Payments for shares redeemed (770) (2,440) (8,166) (24,874)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 191 973 2,035 9,696
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 3,947 26,120 $ 41,853 $ 261,289
================= ================= ================= =================
</Table>
7. LINE OF CREDIT
Each of the Funds of the Investment Company share in a $75 million revolving
credit facility for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. The Funds are charged an annual commitment fee of .125% on the
average daily unused amount of the aggregate commitment, which is allocated
among each of the Funds. Interest is calculated at the Federal Fund Rate plus
.50% annually. The Funds may borrow up to a maximum of 33.33% of the value of
their net assets under the agreement. The agreement will expire December 22,
2004 and will be reviewed at such time for possible renewal. The Investment
Company did not have any drawdowns during the period ended April 30, 2004.
Notes to Financial Statements 35
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
8. BENEFICIAL INTEREST
As of April 30, 2004, the following table includes shareholders with shares
of beneficial interest of greater than 10% of the total outstanding shares of
each respective Fund:
<Table>
<Caption>
FUNDS # OF SHAREHOLDERS %
--------------------------------------------------------------------------------
Equity Aggressive Strategy 2 42.6
Aggressive Strategy 2 36.8
Balanced Strategy 2 35.3
Moderate Strategy 2 41.3
Conservative Strategy 2 54.5
</Table>
9. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800)787-7354, (ii)
on the Fund's website at www.russell.com, and (iii) on the Securities and
Exchange Commission's website at www.sec.gov.
36 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., and Chairman successor is - Chairman Emeritus, FRIC and
Born July 3, 1932 Emeritus since duly elected RIF
1999 and qualified - Chairman Emeritus, Frank
909 A Street Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF (investment
Chairman of the and qualified - CEO and Chairman of the company)
909 A Street Board since 1999 Board, Russell Fund
Tacoma, Washington Until successor Distributors, Inc. and
98402-1616 is chosen and FRIMCo
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October, 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee Since Appointed until - 1990-2003, President, FRC, 35 None
Phillips, 2002 successor is - 1993-2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified. Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty. Limited, Frank
Russell Japan Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
Disclosure of Information about Fund Directors 37
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected Until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001-2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979-2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
38 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr. 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
- 1995 to 1999, Hearing
Officer, University of
Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 39
FRANK RUSSELL INVESTMENT COMPANY
LIFEPOINTS(R) FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, with Fund and Term Principal Occupation(s)
Age, Length of of During the
Address Time Served Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
40 Disclosure of Information about Fund Directors
LIFEPOINTS(R) FUNDS
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS OF UNDERLYING FUNDS
Diversified Equity Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Ark Asset Management Co., Inc., New York, NY
Barclays Global Fund Advisors, San Francisco, CA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Marsico Capital Management, LLC, Denver, CO
MFS Institutional Advisors, Inc., Boston, MA
Montag & Caldwell, Inc., Atlanta, GA
Suffolk Capital Management, LLC, New York, NY
Turner Investment Partners, Inc., Berwyn, PA
Special Growth Fund
CapitalWorks Investment Partners, LLC, San Diego, CA
David J. Greene and Company, LLC, New York, NY
Delphi Management, Inc., Boston, MA
Goldman Sachs Asset Management, L.P., New York, NY
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Roxbury Capital Management, LLC, Santa Monica, CA
Suffolk Capital Management, LLC, New York, NY
TimesSquare Capital Management, Inc., New York, NY
Quantitative Equity Fund
Aronson + Johnson + Ortiz, LP, Philadelphia, PA
Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Manager, Money Managers and Service Providers 41
LIFEPOINTS(R) FUNDS
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
International Securities Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
AQR Capital Management, LLC, New York, NY
Axiom International Investors LLC, Greenwich, CT
Capital International, Inc., Los Angeles, CA
Delaware International Advisers Ltd., London, England
Fidelity Management & Research Company, Boston, MA
Marvin & Palmer Associates, Inc., Wilmington, DE
Mastholm Asset Management, LLC, Bellevue, WA
Oechsle International Advisors, LLC, Boston, MA
The Boston Company Asset Management, LLC, Boston, MA
Emerging Markets Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Arrowstreet Capital, Limited Partnership, Cambridge, MA
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Management Limited, London, England
T. Rowe Price International, Inc., Baltimore, MD
Real Estate Securities Fund
AEW Management and Advisors, L.P., Boston, MA
INVESCO Institutional (N.A.), Inc., which acts as a money manager to the Fund
through its INVESCO Real Estate division, Dallas, TX
RREEF America L.L.C., Chicago, IL
Short Term Bond Fund
Merganser Capital Management L.P., Cambridge, MA
Pacific Investment Management Company LLC, Newport Beach, CA
STW Fixed Income Management, Santa Barbara, CA
Diversified Bond Fund
Lincoln Capital Fixed Income Management Company, Chicago, IL
Pacific Investment Management Company LLC, Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
Multistrategy Bond Fund
Delaware Management Company, a series of Delaware Management Business Trust,
Philadelphia, PA
Morgan Stanley Investment Management Inc., West Conshohocken, PA
Pacific Investment Management Company LLC, Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
42 Manager, Money Managers and Service Providers
(This page intentionally left blank)
(FRANK RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-071 (1 04/04)
INSTITUTIONAL FUNDS
FRANK RUSSELL INVESTMENT COMPANY
(MOUNTAIN BACKGROUND LOGO)
2004 SEMIANNUAL REPORT
CLASS E, I, AND Y SHARES
EQUITY I FUND
EQUITY II FUND
EQUITY Q FUND
INTERNATIONAL FUND
FIXED INCOME I FUND
FIXED INCOME III FUND
CLASS C, E, AND S SHARES
EMERGING MARKETS FUND
REAL ESTATE SECURITIES FUND
SHORT TERM BOND FUND
CLASS C, E, I, AND S SHARES
SELECT GROWTH FUND
SELECT VALUE FUND
APRIL 30, 2004
(RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on eleven Funds, each
of which has distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
Institutional Funds
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Equity I Fund........................................................ 3
Equity II Fund....................................................... 10
Equity Q Fund........................................................ 21
International Fund................................................... 27
Fixed Income I Fund.................................................. 43
Fixed Income III Fund................................................ 61
Emerging Markets Fund................................................ 80
Real Estate Securities Fund.......................................... 90
Short Term Bond Fund................................................. 92
Select Growth Fund................................................... 103
Select Value Fund.................................................... 107
Notes to Schedules of Investments.................................... 112
Statement of Assets and Liabilities.................................. 114
Statement of Operations.............................................. 118
Statement of Changes in Net Assets................................... 120
Financial Highlights................................................. 124
Notes to Financial Statements........................................ 137
Disclosure of Information about Fund Directors....................... 156
Manager, Money Managers and Service Providers........................ 160
</Table>
Frank Russell Investment Company - Institutional Funds
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. The performance as of April 1, 1995 is reported gross of
investment advisory fees. For periods thereafter, performance and yields are
reported net of investment advisory fees but gross of investment services fees,
descriptions of which can be obtained from the investment advisor. Investment
services fees and other account expenses will reduce performance (e.g., an
investment services fee of 0.2% off average managed assets will reduce a 10.0%
return to 9.8%). The performance quoted represents past performance and the
investment return and principal value of an investment will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost.
Investments in securities of non-US issuers and foreign currencies involve
investment risks different than those of US issuers; the Prospectus contains
further information and details regarding these risks. Russell Fund
Distributors, Inc., is the distributor of Frank Russell Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 95.4%
Auto and Transportation - 2.5%
American Axle & Manufacturing Holdings, Inc.
(AE) 3,100 119
Autoliv, Inc. 1,900 81
BorgWarner, Inc. 3,100 254
Burlington Northern Santa Fe Corp. 26,570 869
CSX Corp. 48,450 1,490
Dana Corp. 5,000 101
Delphi Corp. 49,900 509
FedEx Corp. 21,482 1,545
Ford Motor Co. 24,200 372
General Motors Corp. (z) 18,500 877
Landstar System, Inc. (AE) 1,400 63
Lear Corp. 4,300 261
Magna International, Inc. Class A 1,400 110
Navistar International Corp. 26,750 1,208
Norfolk Southern Corp. 22,200 529
Oshkosh Truck Corp. 1,000 51
Skywest, Inc. 200 4
Southwest Airlines Co. 164,100 2,343
Swift Transportation Co., Inc. (AE) 14,550 246
Union Pacific Corp. 31,110 1,833
United Parcel Service, Inc. Class B 60,100 4,216
Visteon Corp. 68,900 748
Werner Enterprises, Inc. 36,950 739
------------
18,568
------------
Consumer Discretionary - 15.6%
Abercrombie & Fitch Co. Class A 27,100 852
Accenture, Ltd. Class A (AE) 9,900 235
Activision, Inc. (AE) 29,150 439
Advance Auto Parts (AE) 29,400 1,269
Apollo Group, Inc. Class A (AE) 16,340 1,485
Avon Products, Inc. 10,310 866
BearingPoint, Inc. (AE) 50,400 505
Bed Bath & Beyond, Inc. (AE) 43,800 1,626
Best Buy Co., Inc. 4,400 239
Borders Group, Inc. 3,900 93
Carnival Corp. 26,450 1,129
Cendant Corp. 100,100 2,370
Christopher & Banks Corp. 18,900 338
Circuit City Stores, Inc. 36,000 420
Clear Channel Communications, Inc. 89,250 3,703
Coach, Inc. (AE) 11,800 503
Darden Restaurants, Inc. 9,200 208
DIRECTV Group, Inc. (The) 45,569 816
DoubleClick, Inc. (AE) 14,800 119
Eastman Kodak Co. 14,600 377
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
eBay, Inc. (AE) 63,152 5,041
Education Management Corp. (AE) 4,000 142
Electronic Arts, Inc. (AE) 75,549 3,824
Estee Lauder Cos., Inc. (The) Class A 16,800 768
Federated Department Stores 6,300 309
Fisher Scientific International 6,900 404
Four Seasons Hotels, Inc. (z) 52,879 2,829
Fox Entertainment Group, Inc. Class A (AE) 15,500 432
Gannett Co., Inc. 54,050 4,685
Gillette Co. (The) 85,500 3,499
GTECH Holdings Corp. 7,600 463
Harrah's Entertainment, Inc. 2,200 117
Hasbro, Inc. 9,700 183
Home Depot, Inc. 100,800 3,547
InterActiveCorp (AE) 1,500 48
International Game Technology 32,510 1,227
Interpublic Group of Cos., Inc. 13,700 215
Jack in the Box, Inc. (AE) 1,800 49
JC Penney Co., Inc. Holding Co. 93,550 3,168
Jones Apparel Group, Inc. 5,100 187
Kimberly-Clark Corp. 63,570 4,161
Kohl's Corp. (AE) 36,300 1,517
Leggett & Platt, Inc. 3,200 72
Liberty Media Corp. Class A (AE) 162,500 1,778
Lowe's Cos., Inc. 27,200 1,416
Ltd Brands 43,600 900
Mandalay Resort Group 20,149 1,158
Marriott International, Inc. Class A 59,000 2,782
May Department Stores Co. (The) 13,000 400
Maytag Corp. 3,300 92
McDonald's Corp. 101,620 2,767
Newell Rubbermaid, Inc. 31,700 749
Nike, Inc. Class B 32,509 2,339
Office Depot, Inc. (AE) 20,000 350
Omnicom Group 44,600 3,546
Reader's Digest Association, Inc. (The) 6,200 89
Reebok International, Ltd. 29,300 1,066
Reed Elsevier PLC - ADR (z) 23,810 898
Ross Stores, Inc. 8,100 247
Royal Caribbean Cruises, Ltd. (z) 17,037 691
RR Donnelley & Sons Co. 13,700 403
Sears Roebuck and Co. 19,990 801
Stanley Works (The) 2,000 85
Staples, Inc. 35,100 904
Starbucks Corp. (AE) 22,700 882
Starwood Hotels & Resorts Worldwide, Inc. 64,450 2,564
</Table>
Equity I Fund 3
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Target Corp. 127,930 5,548
Tech Data Corp. (AE) 7,600 258
Tiffany & Co. 84,684 3,303
Time Warner, Inc. 288,260 4,849
TJX Cos., Inc. 9,500 233
Too, Inc. (AE) 18,900 332
Toro Co. 1,200 70
Tribune Co. 28,270 1,354
United Auto Group, Inc. 1,900 59
Univision Communications, Inc. Class A (AE) 43,000 1,456
VeriSign, Inc. (AE) 33,000 532
VF Corp. 7,700 355
Viacom, Inc. Class B 116,770 4,513
Wal-Mart Stores, Inc. 138,284 7,881
Walt Disney Co. 125,300 2,886
Waste Management, Inc. 50,050 1,421
Wendy's International, Inc. 5,200 203
Whirlpool Corp. 2,900 190
Yahoo!, Inc. (AE) 18,600 939
------------
117,768
------------
Consumer Staples - 6.7%
Altria Group, Inc. 90,430 5,008
Anheuser-Busch Cos., Inc. Class 15,300 784
Campbell Soup Co. 13,700 379
Clorox Co. 25,350 1,313
Coca-Cola Co. (The) 115,100 5,821
Colgate-Palmolive Co. 61,200 3,542
Del Monte Foods Co. (AE) 13,100 145
Diageo PLC - ADR (z) 9,340 509
HJ Heinz Co. 28,250 1,079
Kellogg Co. 45,370 1,946
Kroger Co. 35,400 620
PepsiCo, Inc. 207,150 11,287
Procter & Gamble Co. 105,903 11,198
RJ Reynolds Tobacco Holdings, Inc. (z) 5,800 376
Safeway, Inc. (AE) 22,900 526
Sara Lee Corp. 44,200 1,020
Smithfield Foods, Inc. (AE) 28,000 745
Supervalu, Inc. 12,700 391
Systemco Corp. 36,970 1,414
Tyson Foods, Inc. Class A 12,890 242
Unilever NV 2,800 185
UST, Inc. 11,200 417
Walgreen Co. 36,830 1,270
WM Wrigley Jr Co. 4,500 278
------------
50,495
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Financial Services - 20.9%
ACE, Ltd. 5,300 232
Aflac, Inc. 9,200 389
AG Edwards, Inc. (z) 28,000 1,025
Alliance Data Systems Corp. (AE) 2,600 90
Allstate Corp. (The) 51,840 2,379
American Express Co. 98,750 4,834
American International Group, Inc. 163,270 11,697
AmeriCredit Corp. (AE) 26,700 433
Ameritrade Holding Corp. (AE) 29,500 361
AmSouth Bancorp 13,700 302
Archstone-Smith Trust (o) 13,300 365
Astoria Financial Corp. 8,600 296
Automatic Data Processing, Inc. 67,152 2,942
Bank of America Corp. 195,986 15,774
Bank of New York Co., Inc. (The) 15,700 457
Bank One Corp. 45,180 2,231
BB&T Corp. 13,700 473
Brandywine Realty Trust (o) 1,100 28
Capital One Financial Corp. 30,900 2,025
Charles Schwab Corp. (The) 65,820 677
Charter One Financial, Inc. 2,100 70
Chubb Corp. 38,460 2,654
Cigna Corp. 33,650 2,171
CIT Group, Inc. 27,950 961
Citigroup, Inc. 429,971 20,676
Comerica, Inc. 12,900 666
Countrywide Financial Corp. 14,947 886
Crescent Real Estate Equities Co. (o) 39,400 610
Deluxe Corp. 6,100 252
Equity Office Properties Trust (o) 29,900 753
Equity Residential (o) 15,700 431
Fannie Mae 85,910 5,904
Fidelity National Financial, Inc. 5,390 197
First Data Corp. 16,400 744
Franklin Resources, Inc. 19,500 1,069
Freddie Mac 28,800 1,682
Global Payments, Inc. 1,500 72
Goldman Sachs Group, Inc. 56,652 5,467
Hartford Financial Services Group, Inc. 50,760 3,100
HRPT Properties Trust (o) 1,700 16
Huntington Bancshares, Inc. 12,900 276
IMPAC Mortgage Holdings, Inc. (o) 3,000 56
Instinet Group, Inc. 54,000 353
Janus Capital Group, Inc. 13,800 210
Jefferson-Pilot Corp. 6,900 342
JP Morgan Chase & Co. 182,064 6,846
Keycorp 21,700 644
Kimco Realty Corp. (o) 2,400 103
</Table>
4 Equity I Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LandAmerica Financial Group, Inc. 900 37
Lehman Brothers Holdings, Inc. 10,700 785
Lincoln National Corp. 32,900 1,477
Loews Corp. 7,400 429
Manulife Financial Corp. 14,082 518
Marsh & McLennan Cos., Inc. 5,500 248
MBIA, Inc. 2,900 171
MBNA Corp. 43,900 1,070
Mellon Financial Corp. 60,870 1,804
Merrill Lynch & Co., Inc. 89,493 4,853
Metlife, Inc. 61,560 2,124
MGIC Investment Corp. (z) 5,200 383
Morgan Stanley 113,700 5,843
National City Corp. 32,260 1,118
Nationwide Financial Services 2,600 89
Old Republic International Corp. 7,100 165
Paychex, Inc. 91,750 3,420
PMI Group, Inc. (The) 37,800 1,627
PNC Financial Services Group, Inc. 26,630 1,414
Prentiss Properties Trust (o) 1,500 48
Progressive Corp. (The) 2,800 245
R&G Financial Corp. Class B 1,100 34
Radian Group, Inc. 36,500 1,698
Regions Financial Corp. 8,300 288
SLM Corp. 81,614 3,127
SouthTrust Corp. 15,530 483
Sovereign Bancorp, Inc. 80,000 1,598
St Paul Travelers Cos., Inc. (The) 131,125 5,333
SunTrust Banks, Inc. 43,790 2,980
Torchmark Corp. 3,400 177
Union Planters Corp. 10,500 292
US Bancorp 19,274 494
Wachovia Corp. 21,500 984
Waddell & Reed Financial, Inc. Class A 4,200 93
Washington Mutual, Inc. 31,985 1,260
Wells Fargo & Co. 73,850 4,170
XL Capital, Ltd. Class A 23,800 1,817
------------
156,917
------------
Health Care - 14.1%
Abbott Laboratories 33,700 1,483
Aetna, Inc. 4,500 372
AmerisourceBergen Corp. 7,250 420
Amgen, Inc. 135,170 7,605
Amylin Pharmaceuticals, Inc. (AE)(z) 17,100 383
Anthem, Inc. (AE)(z) 27,770 2,460
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Barr Pharmaceuticals, Inc. (AE) 17,350 719
Baxter International, Inc. 27,600 874
Biogen Idec, Inc. (AE) 23,100 1,363
Boston Scientific Corp. (AE) 150,321 6,192
Bristol-Myers Squibb Co. 21,900 550
Cardinal Health, Inc. 5,900 432
Caremark Rx, Inc. (AE) 22,600 765
Coventry Health Care, Inc. (AE) 2,400 100
CR Bard, Inc. 2,500 266
Dade Behring Holdings, Inc. (AE) 1,600 74
DaVita, Inc. (AE) 1,900 97
Eli Lilly & Co. 60,200 4,443
Forest Laboratories, Inc. (AE) 48,063 3,099
Genentech, Inc. (AE) 86,525 10,624
Gilead Sciences, Inc. (AE) 22,100 1,344
GlaxoSmithKline PLC - ADR 32,100 1,348
Guidant Corp. 49,330 3,108
HCA, Inc. 4,200 171
IMS Health, Inc. 9,500 240
Invitrogen Corp. (AE) 6,800 491
IVAX Corp. 32,100 684
Johnson & Johnson 104,630 5,653
Kinetic Concepts, Inc. (AE) 8,900 431
King Pharmaceuticals, Inc. (AE) 2,300 40
Medco Health Solutions, Inc. (AE) 8,900 315
Medtronic, Inc. 92,214 4,653
Merck & Co., Inc. 36,600 1,720
Mylan Laboratories 16,950 388
Novartis AG - ADR 18,920 848
Oxford Health Plans 4,100 223
Pfizer, Inc. 606,755 21,697
Province Healthcare Co. (AE) 3,400 54
Quest Diagnostics 14,897 1,257
Roche Holding AG - ADR (z) 7,900 829
Schering-Plough Corp. 25,400 425
Select Medical Corp. 1,200 23
St Jude Medical, Inc. 33,183 2,531
Tenet Healthcare Corp. 81,950 964
Teva Pharmaceutical Industries, Ltd. - ADR (z) 24,680 1,519
Triad Hospitals, Inc. (AE) 5,400 184
UnitedHealth Group, Inc. 97,923 6,020
Watson Pharmaceuticals, Inc. (AE) 8,200 292
Wyeth 46,200 1,759
Zimmer Holdings, Inc. (AE) 53,990 4,311
------------
105,843
------------
</Table>
Equity I Fund 5
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Integrated Oils - 3.7%
BP PLC - ADR 56,640 2,996
ChevronTexaco Corp. 48,929 4,477
ConocoPhillips 101,385 7,229
Exxon Mobil Corp. 176,300 7,502
Marathon Oil Corp. 74,400 2,497
Occidental Petroleum Corp. 43,950 2,074
Unocal Corp. 37,870 1,365
------------
28,140
------------
Materials and Processing - 4.3%
Acuity Brands, Inc. 1,400 34
Air Products & Chemicals, Inc. 21,520 1,072
Alcan, Inc. 27,700 1,114
Alcoa, Inc. 49,170 1,512
American Standard Cos., Inc. (AE) 2,500 263
Archer-Daniels-Midland Co. 281,796 4,948
Bemis Co. 4,000 108
Bowater, Inc. 30,120 1,264
Carpenter Technology 1,000 28
Corn Products International, Inc. 29,900 1,271
Domtar, Inc. 46,500 534
Dow Chemical Co. (The) 40,250 1,598
Eastman Chemical Co. 7,900 336
Ecolab, Inc. 13,100 390
EI Du Pont de Nemours & Co. 61,400 2,637
Florida Rock Industries, Inc. 1,300 52
Freeport-McMoRan Copper & Gold, Inc. Class B 20,400 622
Georgia-Pacific Corp. 9,100 319
Hercules, Inc. 21,000 233
IMC Global, Inc. 103,800 1,305
International Paper Co. 58,310 2,351
Lubrizol Corp. 5,200 165
Martin Marietta Materials, Inc. 5,400 234
Masco Corp. 14,300 401
MeadWestvaco Corp. 4,208 110
Monsanto Co. 59,919 2,073
Newmont Mining Corp. 5,700 213
Phelps Dodge Corp. 6,050 398
PPG Industries, Inc. 28,740 1,705
Praxair, Inc. 20,800 760
Sherwin-Williams Co. (The) 6,300 240
Smurfit-Stone Container Corp. (AE) 45,430 781
Sonoco Products Co. 3,000 75
St. Joe Co. (The) 21,400 839
Syngenta AG - ADR 66,280 1,056
Temple-Inland, Inc. 5,200 321
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
United States Steel Corp. 9,000 258
Vulcan Materials Co. 7,500 347
Worthington Industries 7,500 135
------------
32,102
------------
Miscellaneous - 4.7%
3M Co. 67,300 5,820
Brunswick Corp. 14,100 580
Eaton Corp. 6,000 356
FMC Corp. 5,200 223
General Electric Co. 649,810 19,461
Honeywell International, Inc. 58,753 2,032
ITT Industries, Inc. 5,000 396
Johnson Controls, Inc. 7,400 406
Textron, Inc. 7,300 403
Tyco International, Ltd. 161,917 4,445
Vivendi Universal SA - ADR 52,200 1,290
------------
35,412
------------
Other Energy - 1.8%
Apache Corp. 16,200 678
Consol Energy, Inc. 32,900 942
Devon Energy Corp. 6,980 427
El Paso Corp. 52,700 369
EOG Resources, Inc. 51,600 2,541
GlobalSantaFe Corp. 8,400 222
Halliburton Co. 10,500 313
National-Oilwell, Inc. Class C (AE) 14,600 408
Noble Corp. (AE) 23,160 861
NRG Energy, Inc. 20,200 438
Patterson-UTI Energy, Inc. 21,500 778
Premcor, Inc. (AE) 23,750 818
Reliant Energy, Inc. (AE) 152,100 1,264
Schlumberger, Ltd. 59,630 3,490
Valero Energy Corp. 1,800 115
------------
13,664
------------
Producer Durables - 4.1%
Agilent Technologies, Inc. (AE) 60,950 1,646
Applied Materials, Inc. (AE) 60,310 1,099
Boeing Co. (The) 76,750 3,276
Caterpillar, Inc. 78,460 6,099
Centex Corp. 8,000 384
Cooper Industries, Ltd. Class A 9,500 522
Crane Co. 4,500 139
Deere & Co. 33,720 2,294
Dionex Corp. (AE) 800 41
DR Horton, Inc. 6,450 186
</Table>
6 Equity I Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Emerson Electric Co. 34,430 2,073
Engineered Support Systems, Inc. 1,350 66
Goodrich Corp. 8,600 248
Hubbell, Inc. Class B 4,500 202
Illinois Tool Works, Inc. 4,300 371
Kla-Tencor Corp. (AE) 1,800 75
Koninklijke Philips Electronics NV 76,800 2,059
Lennar Corp. Class A 21,675 1,015
Lockheed Martin Corp. 36,200 1,727
MDC Holdings, Inc. 13,108 810
Molex, Inc. 4,200 125
Northrop Grumman Corp. 17,360 1,723
Novellus Systems, Inc. (AE) 8,000 232
Parker Hannifin Corp. 26,600 1,471
Pitney Bowes, Inc. 5,700 249
Pulte Homes, Inc. 5,000 246
Steelcase, Inc. Class A (z) 1,300 16
Teradyne, Inc. (AE) 18,350 374
United Defense Industries, Inc. (AE) 1,500 52
United Technologies Corp. 23,850 2,057
------------
30,877
------------
Technology - 11.3%
ADC Telecommunications, Inc. (AE) 59,200 148
Adtran, Inc. 1,600 39
Advanced Micro Devices, Inc. 6,000 85
Altera Corp. (AE) 81,300 1,627
Amphenol Corp. Class A (AE) 3,600 114
Analog Devices, Inc. 43,950 1,872
Arrow Electronics, Inc. 3,000 76
Atmel Corp. (AE) 4,700 27
Autodesk, Inc. 20,900 700
Avaya, Inc. (AE) 42,800 586
Avnet, Inc. 64,500 1,396
BEA Systems, Inc. (AE) 45,200 516
Benchmark Electronics, Inc. (AE) 1,700 46
Broadcom Corp. Class A (AE) 41,310 1,560
Celestica, Inc. (AE) 18,700 329
Cisco Systems, Inc. (AE) 481,710 10,052
Computer Sciences Corp. 6,100 250
Comverse Technology, Inc. (AE) 25,900 424
Corning, Inc. 114,990 1,268
CSG Systems International (AE) 2,900 49
Dell, Inc. (AE) 194,607 6,755
Electronic Data Systems Corp. 47,000 860
EMC Corp. 145,960 1,629
Flextronics International, Ltd. (AE) 12,500 201
General Dynamics Corp. 1,700 159
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Hewlett-Packard Co. 92,787 1,828
Ingram Micro, Inc. Class A (AE) 23,900 286
Intel Corp. 184,800 4,755
International Business Machines Corp. 50,780 4,477
International Rectifier Corp. (AE) 28,000 1,110
Intersil Corp. Class A 3,300 65
Jabil Circuit, Inc. (AE) 4,300 113
Juniper Networks, Inc. (AE)(z) 106,260 2,325
Linear Technology Corp. 3,000 107
Lucent Technologies, Inc. (z) 103,000 347
Maxim Integrated Products 65,699 3,021
Micron Technology, Inc. 57,700 786
Microsoft Corp. 378,983 9,841
Motorola, Inc. 208,521 3,806
National Semiconductor Corp. (AE) 1,400 57
Nortel Networks Corp. 13,900 52
ON Semiconductor Corp. (AE) 32,700 157
Oracle Corp. (AE) 261,700 2,936
PerkinElmer, Inc. 13,200 254
Plexus Corp. (AE) 2,300 33
PMC - Sierra, Inc. (AE) 37,400 454
Qualcomm, Inc. 149,087 9,311
Sanmina-SCI Corp. (AE) 165,850 1,662
SAP AG - ADR 17,960 670
Siebel Systems, Inc. (AE) 151,900 1,562
Solectron Corp. (AE) 69,400 340
Sony Corp. - ADR 5,120 197
Tellabs, Inc. (AE) 9,600 84
Texas Instruments, Inc. 76,300 1,915
Veritas Software Corp. (AE) 6,000 160
Vishay Intertechnology, Inc. (AE) 7,600 132
Xilinx, Inc. 35,620 1,198
------------
84,809
------------
Utilities - 5.7%
Alliant Energy Corp. (z) 3,200 80
Alltel Corp. 4,500 227
America Movil SA de CV Class L - ADR 23,700 801
American Electric Power Co., Inc. 23,600 718
AT&T Corp. 22,640 388
AT&T Wireless Services, Inc. (AE) 86,350 1,192
BellSouth Corp. 139,400 3,598
Centerpoint Energy, Inc. 15,100 163
Cinergy Corp. 18,260 693
CMS Energy Corp. (z) 26,000 216
Comcast Corp. Class A 31,683 954
Comcast Corp. Special Class A 57,730 1,674
</Table>
Equity I Fund 7
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Constellation Energy Group, Inc. 7,100 273
COX Communications, Inc. Class A (AE) 25,460 832
Dominion Resources, Inc. 9,000 574
DTE Energy Co. 4,700 183
Duke Energy Corp. 15,400 324
Energy East Corp. (z) 23,910 563
Entergy Corp. 69,550 3,797
Exelon Corp. 16,100 1,078
FirstEnergy Corp. 28,280 1,106
KeySpan Corp. 10,120 366
MDU Resources Group, Inc. 2,400 54
National Fuel Gas Co. 12,220 299
Nextel Communications, Inc. Class A (AE) 87,679 2,092
NII Holdings, Inc. Class B (AE)(z) 1,700 60
Northeast Utilities 16,800 308
NSTAR 7,430 360
Pepco Holdings, Inc. 3,700 70
PG&E Corp. 67,600 1,860
Pinnacle West Capital Corp. 7,800 305
PPL Corp. 18,590 797
Progress Energy, Inc. - CVO (AE)(B) 3,200 1
Public Service Enterprise Group, Inc. 45,000 1,931
Puget Energy, Inc. 3,600 79
Qwest Communications International 34,000 137
SBC Communications, Inc. 172,340 4,291
Sempra Energy 2,100 67
Sprint Corp.-FON Group 91,100 1,630
Telephone & Data Systems, Inc. 13,900 917
TXU Corp. 33,730 1,152
Verizon Communications, Inc. 145,199 5,480
Vodafone Group PLC - ADR 24,696 606
Xcel Energy, Inc. 11,900 199
------------
42,495
------------
TOTAL COMMON STOCKS
(cost $632,088) 717,090
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 0.0%
Corporate Bonds and Notes - 0.0%
Delta Air Lines, Inc.
8.000% due 06/03/23 403 245
------------
TOTAL LONG-TERM INVESTMENTS
(cost $294) 245
------------
SHORT-TERM INVESTMENTS - 5.8%
Frank Russell Investment Company Money Market
Fund 27,027,285 27,027
Frank Russell Investment Company Money Market
Fund (N) 6,610,022 6,610
State Street Securities Lending Quality Trust
(N) 7,117,363 7,117
United States Treasury Bill (y)(s)
0.930% due 06/10/04 3,000 2,997
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $43,751) 43,751
------------
TOTAL INVESTMENTS - 101.2%
(identified cost $676,133) 761,086
OTHER ASSETS AND LIABILITIES,
NET - (1.2%) (9,283)
------------
NET ASSETS - 100.0% 751,803
============
</Table>
See accompanying notes which are an integral part of the financial statements.
8 Equity I Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
Long Positions
Russell 1000 Index
expiration date 06/04 (13) 3,843 (183)
S&P 500 E-Mini Index
expiration date 06/04 (25) 1,383 (37)
S&P 500 Index
expiration date 06/04 (32) 8,849 (241)
S&P Midcap 400 Index
expiration date 06/04 (62) 18,079 (445)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (906)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Equity I Fund 9
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 94.4%
Auto and Transportation - 3.4%
AAR Corp. 47,330 480
Alaska Air Group, Inc. (z) 46,050 1,019
America West Holdings Corp. Class B (AE) 35,100 347
American Axle & Manufacturing Holdings, Inc.
(AE) 77,700 2,989
Arctic Cat, Inc. 7,200 171
ArvinMeritor, Inc. 21,000 434
ASV, Inc. (AE)(z) 8,820 262
Autoliv, Inc. 18,900 804
Aviall, Inc. 12,700 210
Bandag, Inc. 7,900 344
Collins & Aikman Corp. (z) 37,725 232
Dana Corp. 82,100 1,655
Dura Automotive Systems, Inc. Class A (AE) 16,500 207
EGL, Inc. (AE) 8,410 156
ExpressJet Holdings, Inc. (AE)(z) 13,860 176
Florida East Coast Industries 5,010 183
Frontier Airlines, Inc. (AE)(z) 16,510 150
General Maritime Corp. (AE) 71,000 1,426
Gentex Corp. 25,400 999
Goodyear Tire & Rubber Co. (The) (z) 20,460 178
Grupo TMM SA - ADR 92,500 259
Gulfmark Offshore, Inc. (AE) 66,900 1,012
JB Hunt Transport Services, Inc. 15,680 496
Kansas City Southern 42,200 584
Lear Corp. 35,000 2,122
Martin Midstream Partners, LP (z) 37,650 948
Mesa Air Group, Inc. (AE)(z) 17,290 122
Navistar International Corp. 26,500 1,196
Northwest Airlines Corp. (AE)(z) 10,691 100
OMI Corp. 143,700 1,447
Oshkosh Truck Corp. 26,700 1,367
Overnite Corp. 28,271 679
Pacer International, Inc. (AE) 147,675 2,776
SCS Transportation, Inc. (AE) 9,700 222
Skywest, Inc. 9,520 173
Teekay Shipping Corp. (z) 22,800 1,386
Tenneco Automotive, Inc. 36,900 509
Tidewater, Inc. 3,400 96
Visteon Corp. 65,300 709
Wabash National Corp. 38,320 974
Wabtec Corp. 62,700 1,022
------------
30,621
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Consumer Discretionary - 22.2%
Abercrombie & Fitch Co. Class A 58,900 1,852
AC Moore Arts & Crafts, Inc. (AE) 31,420 856
Activision, Inc. (AE) 114,000 1,717
Advance Auto Parts (AE) 41,200 1,778
Advo, Inc. 105,680 3,318
Alliance Gaming Corp. (AE) 70,687 1,765
AnnTaylor Stores Corp. (AE) 36,079 1,462
Applebees International, Inc. 23,960 929
Applica, Inc. 29,900 335
aQuantive, Inc. (AE)(z) 109,220 1,098
Arbitron, Inc. 51,560 1,921
Argosy Gaming Co. (AE) 7,900 296
Asbury Automotive Group, Inc. (AE) 23,980 388
Banta Corp. 29,800 1,326
Barnes & Noble, Inc. (AE) 31,400 938
BearingPoint, Inc. (AE) 193,600 1,940
Big 5 Sporting Goods Corp. (AE)(z) 12,800 318
Blockbuster, Inc. Class A (z) 119,810 1,983
Bob Evans Farms, Inc. 18,900 579
Borders Group, Inc. 52,100 1,249
Brink's Co. (The) 58,000 1,608
Brookstone, Inc. (AE) 17,850 355
Brown Shoe Co., Inc. 4,660 170
Caesars Entertainment, Inc. (AE) 168,730 2,236
Callaway Golf Co. 157,925 2,680
CDI Corp. (z) 8,290 267
CDW Corp. 14,600 912
CEC Entertainment, Inc. (AE) 6,470 221
Charlotte Russe Holding, Inc. (AE) 53,400 878
Charming Shoppes 94,503 667
Childrens Place (AE)(z) 39,618 1,044
Choice Hotels International, Inc. 45,216 2,030
ChoicePoint, Inc. (AE) 67,500 2,965
Claire's Stores, Inc. 161,160 3,284
CNET Networks, Inc. (AE)(z) 34,368 293
Conn's, Inc. (AE) 33,485 556
Consolidated Graphics, Inc. (AE) 7,200 269
Convergys Corp. (AE) 41,270 599
Corinthian Colleges, Inc. (AE) 24,100 738
Corporate Executive Board Co. 55,796 2,882
Cost Plus, Inc. (AE) 16,366 592
Cox Radio, Inc. Class A (AE) 83,330 1,726
Cumulus Media, Inc. Class A (AE) 55,200 1,160
Department 56 (AE) 6,600 106
Dick's Sporting Goods, Inc. (AE)(z) 31,620 853
Digital Theater Systems, Inc. (AE) 25,300 566
Dillard's, Inc. Class A 44,700 752
Dollar Thrifty Automotive Group (AE) 53,500 1,410
</Table>
10 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
DoubleClick, Inc. (AE) 52,390 423
Earthlink, Inc. (AE) 62,900 579
Education Management Corp. (AE) 89,000 3,156
Emmis Communications Corp. Class A (AE) 28,030 656
Entercom Communications Corp. (AE) 30,500 1,391
Entravision Communications Corp. Class A (AE) 117,210 1,070
Ethan Allen Interiors, Inc. 24,295 1,010
Federated Department Stores 21,900 1,073
Finish Line Class A (AE) 52,580 1,763
FTI Consulting, Inc. (AE)(z) 43,100 709
Furniture Brands International, Inc. 33,600 946
GameStop Corp. Class A (AE)(z) 10,150 179
Gemstar-TV Guide International, Inc. (AE)(z) 150,000 839
Genesco, Inc. (AE)(z) 41,512 924
Geo Group, Inc. (The) (AE) 4,000 94
Getty Images, Inc. (AE) 75,975 4,148
Gevity HR, Inc. 51,684 1,139
Goody's Family Clothing, Inc. 14,300 179
Gray Television, Inc. 78,900 1,169
GTECH Holdings Corp. 77,420 4,716
Handleman Co. (z) 48,380 1,089
Harman International Industries, Inc. 28,290 2,146
Harris Interactive, Inc. (AE) 74,034 540
Harte-Hanks, Inc. Class C 36,500 875
Hasbro, Inc. 9,700 183
Haverty Furniture Cos., Inc. 13,300 240
Hearst-Argyle Television, Inc. Class C 178,780 4,693
Hewitt Associates, Inc. Class A (AE) 34,000 1,051
Hollinger International, Inc. 23,100 461
IKON Office Solutions, Inc. 29,570 329
Infospace, Inc. (AE)(z) 21,750 711
Insight Enterprises, Inc. (AE) 80,110 1,341
International Speedway Corp. Class A 19,000 800
ITT Educational Services, Inc. 33,260 1,341
Jack in the Box, Inc. (AE) 86,300 2,337
Jo-Ann Stores, Inc. Class C (AE) 11,600 328
Jones Apparel Group, Inc. 24,400 893
Journal Register Co. (AE) 22,600 448
K2, Inc. 50,400 739
Kelly Services, Inc. Class A 5,950 177
Korn/Ferry International (AE) 15,700 235
K-Swiss, Inc. Class A (z) 44,690 872
Lamar Advertising Co. (AE) 32,500 1,334
Landry's Restaurants, Inc. 44,177 1,479
La-Z-Boy, Inc. Class C 34,400 717
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Leapfrog Enterprises, Inc. (AE) 28,000 602
Lee Enterprises, Inc. 30,800 1,472
Lightbridge, Inc. (AE) 890 6
Lin TV Corp. Class A (AE) 53,540 1,204
Lithia Motors, Inc. Class A 29,560 764
Liz Claiborne, Inc. 34,900 1,225
Magellan Health Services, Inc. (AE) 29,200 938
Marvel Enterprises, Inc. (AE)(z) 42,750 812
Maytag Corp. 38,000 1,060
McClatchy Co. Class A 22,650 1,608
Media General, Inc. Class A 4,500 323
Men's Wearhouse, Inc. (AE) 9,500 242
Modem Media, Inc. (AE) 89,584 464
Monster Worldwide, Inc. (AE) 64,200 1,644
Movado Group, Inc. 3,300 99
Movie Gallery, Inc. (z) 14,840 288
MPS Group, Inc. (AE) 269,510 2,948
Nautilus Group, Inc. (z) 181,757 2,923
Navigant Consulting, Inc. (AE) 19,300 338
Nu Skin Enterprises, Inc. (z) 29,930 708
On Assignment, Inc. (AE) 34,600 176
O'Reilly Automotive, Inc. (AE) 34,163 1,534
Orient-Express Hotels, Ltd. Class A 56,600 915
Outback Steakhouse, Inc. 21,500 944
Papa John's International, Inc. (AE)(z) 9,270 310
Payless Shoesource, Inc. (AE) 19,800 280
PEP Boys-Manny Moe & Jack (z) 32,110 882
Petco Animal Supplies, Inc. (AE) 63,083 1,852
Pier 1 Imports, Inc. 34,100 705
Playboy Enterprises, Inc. Class B (AE) 1,500 20
Playtex Products, Inc. (AE) 30,900 229
Polo Ralph Lauren Corp. 72,700 2,515
Pre-Paid Legal Services, Inc. (AE)(z) 42,450 1,061
Prime Hospitality Corp. 16,350 164
Pulitzer, Inc. 43,630 2,208
Quiksilver, Inc. (AE) 116,934 2,529
Radio One, Inc. Class D (AE)(z) 123,400 2,340
Reebok International, Ltd. 20,220 736
Regal Entertainment Group Class A (z) 69,600 1,517
Regis Corp. 29,897 1,298
Rent-A-Center, Inc. Class C (AE) 71,000 2,078
Rent-Way, Inc. (AE)(z) 6,300 59
Republic Services, Inc. 52,700 1,519
Ross Stores, Inc. 43,000 1,312
RR Donnelley & Sons Co. 40,177 1,182
Russell Corp. 12,800 213
Ryan's Family Steak Houses, Inc. (AE) 77,350 1,403
Sabre Holdings Corp. 41,900 988
Saks, Inc. 187,650 2,702
Scholastic Corp. (AE) 37,400 1,061
</Table>
Equity II Fund 11
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Scientific Games Corp. Class A (AE)(z) 152,000 2,742
SCP Pool Corp. (AE)(z) 79,900 3,213
Select Comfort Corp. (AE) 16,540 401
Service Corp. International (z) 103,100 762
ShopKo Stores, Inc. (z) 104,600 1,387
Sinclair Broadcast Group, Inc. Class A (AE)(z) 108,000 1,335
Sirva, Inc. (AE) 34,932 811
Skechers U.S.A., Inc. Class A (AE)(z) 1,200 15
SkillSoft PLC - ADR (AE) 140,100 1,751
Snap-On, Inc. 37,400 1,263
Sohu.com, Inc. (AE)(z) 54,410 911
Sonic Automotive, Inc. 8,100 202
Sourcecorp (AE) 8,000 206
Speedway Motorsports, Inc. (z) 78,900 2,353
Spherion Corp. (AE) 10,800 106
Stage Stores, Inc. (AE)(z) 73,082 2,869
Steak N Shake Co. (The) 23,340 440
Stein Mart, Inc. (AE) 13,400 170
Steinway Musical Instruments (AE)(z) 1,800 65
Sylvan Learning Systems, Inc. (AE) 32,937 1,161
Talbots, Inc. 28,243 987
Tech Data Corp. (AE) 11,340 386
Tele2 AB Class A - ADR (AE)(z) 53,240 1,435
TeleTech Holdings, Inc. (AE)(z) 74,310 454
Tetra Tech, Inc. (AE) 37,125 617
Thomas Nelson, Inc. 6,000 157
Tiffany & Co. 14,300 558
Toro Co. 22,400 1,303
Tupperware Corp. 33,320 624
Unifirst Corp. (z) 3,600 106
United Auto Group, Inc. 26,300 811
United Stationers, Inc. 35,060 1,332
Vail Resorts, Inc. (AE)(z) 15,600 243
Valassis Communications, Inc. 18,500 572
Valueclick, Inc. (AE) 95,330 988
VeriSign, Inc. (AE) 54,700 882
Washington Post Class B 1,370 1,260
Watson Wyatt & Co. Holdings (AE) 2,600 68
Weight Watchers International, Inc. (AE)(z) 16,300 636
WESCO International, Inc. (AE) 17,600 252
West Corp. (AE)(z) 43,371 1,060
Wireless Facilities, Inc. (AE)(z) 64,850 622
WMS Industries, Inc. (z) 30,600 864
Zale Corp. (AE) 18,100 1,012
------------
203,181
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Consumer Staples - 3.3%
7-Eleven, Inc. (AE) 29,200 470
Adolph Coors Co. Class B 13,200 867
Chiquita Brands International, Inc. (AE) 9,570 172
Church & Dwight, Inc. 26,100 1,173
Coca-Cola Bottling Co. Consolidated 20,444 1,088
Constellation Brands, Inc. Class A (AE) 104,900 3,475
DIMON, Inc. 16,600 115
Duane Reade, Inc. (AE) 17,800 297
Flowers Foods, Inc. 58,690 1,437
Fresh Brands, Inc. 65,150 573
Great Atlantic & Pacific Tea Co. (z) 19,400 155
Hain Celestial Group, Inc. (AE) 39,015 772
Interstate Bakeries 15,980 181
John B. Sanfilippo & Son 5,540 174
Lance, Inc. (z) 14,700 222
Longs Drug Stores Corp. 37,710 739
NBTY, Inc. (AE) 65,300 2,427
Pathmark Stores, Inc. (AE) 126,300 1,080
Pepsi Bottling Group, Inc. 47,500 1,390
PepsiAmericas, Inc. 109,000 2,183
Pilgrim's Pride Corp. (z) 25,780 596
RJ Reynolds Tobacco Holdings, Inc. (z) 59,300 3,841
Ruddick Corp. 10,090 206
Sanderson Farms, Inc. 17,124 637
Schweitzer-Mauduit International, Inc. 3,800 118
Standard Commercial Corp. 3,600 67
Supervalu, Inc. 122,290 3,765
Tootsie Roll Industries, Inc. 8,660 302
Tyson Foods, Inc. Class A 34,500 647
Universal Corp. 14,200 713
------------
29,882
------------
Financial Services - 17.5%
Advent Software, Inc. (AE) 46,900 876
AG Edwards, Inc. 7,000 256
Alabama National Bancorp 1,675 85
Alfa Corp. (z) 9,000 122
Alliance Data Systems Corp. (AE) 177,737 6,179
Allmerica Financial Corp. 27,200 945
AMB Property Corp. (o) 17,400 527
American Financial Group, Inc. 28,060 861
American Financial Realty Trust (o) 13,700 203
AmeriCredit Corp. (AE)(z) 225,534 3,656
AMLI Residential Properties Trust (o) 17,270 437
Anthracite Capital, Inc. (o) 41,800 439
Anworth Mortgage Asset Corp. (o)(z) 30,400 355
Arden Realty, Inc. (o) 22,440 633
</Table>
12 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Aspen Insurance Holdings, Ltd. 56,000 1,306
Associated Banc-Corp. 32,700 1,339
Associated Estates Realty Corp. (z) 1,000 8
Assured Guaranty, Ltd. (AE)(z) 12,400 219
Astoria Financial Corp. 57,600 1,983
AvalonBay Communities, Inc. (o) 13,100 650
Bancorp Bank (The) (AE) 35,764 676
Bancorpsouth, Inc. 14,350 290
Bank of Hawaii Corp. 104,060 4,550
BankAtlantic Bancorp, Inc. Class A (z) 11,700 183
Banknorth Group, Inc. 30,800 943
Bear Stearns Cos., Inc. (The) 13,150 1,054
BISystem Group, Inc. (The) (AE) 15,600 226
Blackrock, Inc. 15,060 937
BOK Financial Corp. (AE) 5,263 206
Boykin Lodging Co. (o)(z) 10,900 86
Brandywine Realty Trust (o) 23,500 595
Capital Automotive REIT (o) 14,000 394
CapitalSource, Inc. (AE)(z) 54,800 1,154
Capstead Mortgage Corp. (o)(z) 35,510 456
Cash America International, Inc. 44,360 949
CBL & Associates Properties, Inc. (o) 23,900 1,201
Central Pacific Financial Corp. (z) 4,300 108
Certegy, Inc. 19,000 680
Charter Municipal Mortgage Acceptance Co. 26,400 517
Chelsea Property Group, Inc. (o) 8,200 418
Chemical Financial Corp. 3,800 130
CIT Group, Inc. 24,100 828
City Holding Co. 3,086 94
City National Corp. 13,300 820
CNA Surety Corp. 80,000 871
Colonial BancGroup, Inc. (The) 129,100 2,224
Columbia Banking Systems, Inc. 4,700 105
Commerce Bancshares, Inc. 16,580 744
Commerce Group, Inc. (z) 2,800 129
Commercial Federal Corp. 41,230 1,058
Commercial Net Lease Realty (o) 37,270 618
Community Bank System, Inc. 47,400 964
CompuCredit Corp. (AE) 16,600 275
Cornerstone Realty Income Trust, Inc. (o) 14,700 111
Corus Bankshares, Inc. 2,800 106
Crescent Real Estate Equities Co. (o) 45,900 710
CVB Financial Corp. 7,150 147
D&B Corp. (AE) 4,490 235
Delphi Financial Group Class A 4,465 179
Direct General Corp. (z) 24,713 883
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Doral Financial Corp. 70,270 2,304
Dow Jones & Co., Inc. 29,000 1,337
Downey Financial Corp. 20,100 970
Duke Realty Corp. (o) 33,050 964
E*Trade Financial Corp. (AE) 69,740 792
Eastgroup Properties (o) 10,200 295
eFunds Corp. (AE) 9,464 152
Entertainment Properties Trust (o)(z) 9,100 304
Equity Inns, Inc. (o) 26,500 217
Equity One, Inc. (o)(z) 25,600 420
Euronet Worldwide, Inc. (AE)(z) 63,343 1,231
Fair Isaac Corp. 27,937 942
Falck SPA (AE) 34,900 1,085
Fidelity National Financial, Inc. 35,200 1,288
First American Corp. 79,500 2,156
First Bancorp Puerto Rico 7,720 285
First Midwest Bancorp, Inc. 1,670 56
First Niagara Financial Group, Inc. 49,014 618
First Republic Bank (z) 9,900 377
FirstFed Financial Corp. 15,400 622
Flagstar Bancorp, Inc. 57,990 1,185
Flushing Financial Corp. 7,950 137
Fremont General Corp. 14,100 310
Friedman Billings Ramsey Group, Inc. Class A 68,730 1,272
Fulton Financial Corp. 11,075 228
Gabelli Asset Management, Inc. Class A (z) 18,770 755
GATX Corp. 27,600 649
Getty Realty Corp. (o) 12,800 275
Glenborough Realty Trust, Inc. (o) 31,260 587
Global Payments, Inc. (z) 101,800 4,884
Hancock Holding Co. (z) 4,400 123
Harbor Florida Bancshares, Inc. 6,038 167
Hawthorne Financial Corp. (z) 4,100 138
Health Care Property Investors, Inc. (o) 27,400 655
Health Care REIT, Inc. (o) 32,500 1,038
Healthcare Realty Trust, Inc. (o) 42,300 1,516
Heritage Property Investment Trust (o) 21,600 548
Hibernia Corp. Class A 15,400 336
Hospitality Properties Trust (o) 21,730 849
HRPT Properties Trust (o) 306,040 2,923
Hypercom Corp. (AE)(z) 80,354 538
IBERIABANK Corp. 2,600 148
IMPAC Mortgage Holdings, Inc. (o) 42,100 792
IndyMac Bancorp, Inc. 37,760 1,214
Innkeepers USA Trust (o) 25,400 194
Instinet Group, Inc. 37,000 242
International Bancshares Corp. (z) 600 32
Investors Financial Services Corp. (z) 52,100 2,025
</Table>
Equity II Fund 13
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
IPC Holdings, Ltd. 36,400 1,340
iStar Financial, Inc. (o) 24,700 878
Jack Henry & Associates, Inc. 59,100 1,075
Jefferies Group, Inc. 34,600 1,180
Keystone Property Trust (o) 10,100 205
Kilroy Realty Corp. (o) 20,400 640
Koger Equity, Inc. (o) 39,360 825
Kronos, Inc. (AE) 16,295 594
La Quinta Corp. (z) 91,800 660
LandAmerica Financial Group, Inc. 90,990 3,750
LaSalle Hotel Properties (o) 9,700 213
Legg Mason, Inc. 10,000 921
LTC Properties, Inc. (o)(z) 6,600 103
Mack-Cali Realty Corp. (o) 26,450 988
Markel Corp. (AE) 7,800 2,285
MB Financial Corp. 6,265 221
Meristar Hospitality Corp. (o) 89,500 519
Mid-America Apartment Communities, Inc. Class M
(o) 9,500 306
Moody's Corp. 6,900 445
Nara Bancorp, Inc. (z) 300 9
National Health Investors, Inc. (o) 10,300 247
National Penn Bancshares, Inc. (z) 3,990 120
National Processing, Inc. (AE) 13,700 340
Nationwide Financial Services 22,900 788
Nationwide Health Properties, Inc. (o) 34,600 627
NDCHealth Corp. (z) 28,800 659
New Century Financial Corp. (z) 40,570 1,721
New Plan Excel Realty Trust (o) 75,600 1,696
North Fork BanCorp., Inc. (z) 25,000 928
Nuveen Investments, Inc. Class A 30,000 769
OceanFirst Financial Corp. (z) 6,300 138
Odyssey Re Holdings Corp. (z) 12,500 297
Ohio Casualty Corp. 23,700 465
Pan Pacific Retail Properties, Inc. (o) 3,000 132
People's Bank/Bridgeport CT (z) 3,700 156
PFF Bancorp, Inc. 22,790 853
Philadelphia Consolidated Holding Co. (AE) 24,950 1,441
PMI Group, Inc. (The) 21,330 918
Prentiss Properties Trust (o) 33,200 1,064
Procentury Corp. (AE)(z) 30,245 318
Protective Life Corp. 35,400 1,273
Provident Bankshares Corp. 11,498 324
Providian Financial Corp. 199,631 2,422
PS Business Parks, Inc. (o) 10,400 395
R&G Financial Corp. Class B 20,850 645
Radian Group, Inc. 41,600 1,935
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Raymond James Financial, Inc. 91,192 2,291
Reckson Associates Realty Corp. (o) 5,500 131
Redwood Trust, Inc. (o) 44,300 1,925
Regency Centers Corp. (o) 7,830 297
RenaissanceRe Holdings, Ltd. 30,475 1,606
Republic Bancorp, Inc. Class A 39,897 748
RLI Corp. 6,800 236
Ryder System, Inc. 66,860 2,460
SEI Investments Co. 9,200 272
Senior Housing Properties Trust (o) 67,990 1,016
Silicon Valley Bancshares (z) 72,500 2,491
SL Green Realty Corp. (o) 13,400 547
Southwest Bancorp, Inc. 67,000 1,106
Sovereign Bancorp, Inc. 49,924 997
Sovran Self Storage, Inc. (o) 28,400 959
Stancorp Financial Group, Inc. 21,900 1,355
Sterling Bancorp (z) 7,250 200
Sterling Financial Corp. (AE) 24,201 799
Stewart Information Services Corp. 32,810 1,165
Summit Properties, Inc. (o) 15,800 358
Susquehanna Bancshares, Inc. 7,300 171
TCF Financial Corp. 13,000 644
Texas Regional Bancshares, Inc. Class A (z) 5,605 237
TradeStation Group, Inc. (AE)(z) 54,990 354
Trizec Properties, Inc. (o) 11,150 160
Trustmark Corp. 4,400 117
UCBH Holdings, Inc. (z) 41,230 1,526
UMB Financial Corp. (z) 8,992 451
United Rentals, Inc. (AE) 48,330 831
Universal Health Realty Income
Trust (o)(z) 6,500 169
Washington Federal, Inc. 12,009 281
Washington Mutual, Inc. 2005 Warrants (AE) 205,900 31
Webster Financial Corp. 26,440 1,150
Weingarten Realty Investors (o) 62,200 1,798
WellChoice, Inc. (AE)(z) 22,400 950
WFS Financial, Inc. (AE) 6,200 276
Whitney Holding Corp. 19,450 797
World Acceptance Corp. (AE)(z) 12,558 192
WR Berkley Corp. 6,070 246
WSFS Financial Corp. 5,100 247
Zions BanCorp. 17,000 961
------------
158,484
------------
Health Care - 12.2%
Abgenix, Inc. (AE) 66,400 1,080
Able Laboratories, Inc. (AE) 42,700 822
</Table>
14 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Advanced Medical Optics, Inc. (AE) 6,400 202
Alkermes, Inc. (AE)(z) 63,980 981
Alpharma, Inc. Class A 41,410 900
AmediSystem, Inc. (AE) 15,515 467
American Medical Security Group, Inc. (z) 14,150 362
American Medical Systems Holdings, Inc. (AE) 59,500 1,545
Applera Corp. - Celera Genomics Group (AE) 117,400 1,384
Atrix Labs, Inc. (AE)(z) 22,100 667
Beverly Enterprises, Inc. (AE)(z) 17,900 107
Bioenvision, Inc. (AE) 36,710 418
Bio-Rad Laboratories, Inc. Class A (AE) 30,380 1,780
Bradley Pharmaceuticals (AE)(z) 7,000 184
Cell GeneSystem, Inc. (AE)(z) 39,569 437
Cephalon, Inc. (AE) 14,200 808
Community Health Systems, Inc. (AE) 45,400 1,171
Connetics Corp. (AE) 43,520 846
Cooper Cos., Inc. 19,199 1,037
Dade Behring Holdings, Inc. (AE) 33,200 1,527
Datascope Corp. 4,300 142
DaVita, Inc. (AE) 111,554 5,699
Edwards Lifesciences Corp. (AE) 36,500 1,258
Endo Pharmaceuticals Holdings, Inc. (AE) 17,920 428
eResearch Technology, Inc. (AE)(z) 93,295 2,937
First Horizon Pharmaceutical Corp. (AE)(z) 55,050 854
Flamel Technologies - ADR (AE)(z) 39,593 1,045
Genencor International, Inc. (AE) 43,700 635
Gen-Probe, Inc. (AE) 73,080 2,436
Health Net, Inc. (AE) 68,600 1,745
Healthsouth Corp. (AE) 154,700 665
Henry Schein, Inc. (AE) 7,432 524
Humana, Inc. 280,980 4,577
Idexx Laboratories, Inc. (AE) 18,600 1,139
I-Flow Corp. (AE)(z) 46,391 679
Inamed Corp. (AE) 15,938 938
Incyte Corp. (AE)(z) 48,400 384
Invitrogen Corp. (AE) 27,270 1,970
Kindred Healthcare, Inc. (AE)(z) 28,270 1,385
Kinetic Concepts, Inc. (AE) 17,300 837
King Pharmaceuticals, Inc. (AE) 44,700 771
Kos Pharmaceuticals, Inc. (AE)(z) 84,129 3,463
LCA-Vision, Inc. (AE) 10,507 265
Ligand Pharmaceuticals, Inc. Class B (AE)(z) 99,900 2,139
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Lincare Holdings, Inc. (AE) 55,000 1,910
Manor Care, Inc. 60,330 1,957
Maxygen (AE) 9,300 101
Medarex, Inc. (AE)(z) 129,300 1,232
Medicis Pharmaceutical Class A 41,200 1,768
Merit Medical Systems, Inc. (AE) 17,500 275
Millennium Pharmaceuticals, Inc. (AE) 39,000 585
Millipore Corp. 28,400 1,489
Myriad Genetics, Inc. (AE) 29,800 513
Neurocrine Biosciences, Inc. (AE)(z) 28,045 1,841
Odyssey HealthCare, Inc. (AE)(z) 25,159 423
Omnicare, Inc. 28,100 1,166
Omnicell, Inc. (AE)(z) 9,570 132
Orthofix International NV (AE) 17,100 770
Owens & Minor, Inc. (z) 7,210 175
Pacificare Health Systems (AE)(z) 83,270 2,978
Pain Therapeutics, Inc. (AE)(z) 79,421 584
Parexel International Corp. (AE) 37,600 735
Pediatrix Medical Group, Inc. (AE) 28,600 2,045
Perrigo Co. 28,030 605
Pharmaceutical Resources, Inc. 25,500 1,028
Pharmacopeia, Inc. (AE) 70,200 1,259
Possis Medical, Inc. (AE)(z) 85,079 2,164
Protein Design Labs, Inc. (AE) 43,500 1,065
Province Healthcare Co. (AE) 91,300 1,460
QLT, Inc. (AE)(z) 33,400 901
Quidel Corp. (AE)(z) 115,746 787
Renal Care Group, Inc. (AE) 16,300 807
Respironics, Inc. (AE) 51,660 2,708
Salix Pharmaceuticals, Ltd. (AE)(z) 20,000 619
Savient Pharmaceuticals, Inc. (AE) 36,000 135
Select Medical Corp. 157,824 2,991
Sepracor, Inc. (AE)(z) 26,300 1,257
Serologicals Corp. (AE)(z) 53,738 995
Sola International, Inc. (AE) 8,090 166
Sonic Innovations, Inc. (AE)(z) 192,539 1,762
Stericycle, Inc. (AE) 31,100 1,487
Steris Corp. (AE) 32,100 711
Sybron Dental Specialties, Inc. (AE) 52,599 1,539
Symbion, Inc. 57,937 944
Thermogenesis (AE) 100,964 474
Triad Hospitals, Inc. (AE) 43,200 1,469
United Surgical Partners International, Inc.
(AE) 65,125 2,359
United Therapeutics Corp. (AE)(z) 50,316 1,239
Valeant Pharmaceuticals International (z) 23,700 547
VCA Antech, Inc. (AE)(z) 119,828 4,900
</Table>
Equity II Fund 15
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ventana Medical Systems (AE) 7,200 356
Vicuron Pharmaceuticals, Inc. (AE) 630 14
West Pharmaceutical Services, Inc. 3,400 132
------------
111,199
------------
Materials and Processing - 6.8%
Aceto Corp. 67,800 928
Acuity Brands, Inc. 28,500 697
Airgas, Inc. 35,600 789
AK Steel Holding Corp. (AE) 24,100 113
Albany International Corp. Class A 13,500 412
Albemarle Corp. 200 6
Allegheny Technologies, Inc. 15,410 157
Aptargroup, Inc. 14,500 570
Arch Chemicals, Inc. 6,280 183
Armor Holdings, Inc. (AE) 31,559 1,043
Ashland, Inc. 45,800 2,194
Ball Corp. 1,700 112
Brush Engineered Materials, Inc. 8,100 131
Building Material Holding Corp. 7,300 120
Cabot Corp. 56,600 1,913
Calgon Carbon Corp. 145,600 875
Carpenter Technology 20,800 568
Century Aluminum Co. 49,810 986
Ceradyne, Inc. (AE)(z) 31,912 911
Chesapeake Corp. 14,700 334
Clarcor, Inc. 13,050 574
Cleveland-Cliffs, Inc. (z) 4,170 198
Commercial Metals Co. 17,140 449
Constar International, Inc. (AE) 39,200 187
Corn Products International, Inc. 7,000 298
Crown Holdings, Inc. 96,200 812
Cytec Industries, Inc. 130,600 5,134
ElkCorp 25,485 706
EMCOR Group, Inc. (AE)(z) 4,070 166
Encore Wire Corp. (AE)(z) 11,300 309
Florida Rock Industries, Inc. 27,000 1,074
GrafTech International, Ltd. (AE) 69,960 621
Greif, Inc. Class A 3,500 115
Griffon Corp. (AE)(z) 24,550 539
Harsco Corp. 25,800 1,123
Hercules, Inc. 52,900 588
Hughes Supply, Inc. 45,850 2,563
ID Biomedical Corp. (AE)(z) 8,900 83
IMC Global, Inc. 28,000 352
Jones Lang LaSalle, Inc. (AE) 9,700 229
Lafarge North America, Inc. 51,500 2,279
Lennox International, Inc. (z) 88,710 1,482
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LNR Property Corp. 47,870 2,404
Louisiana-Pacific Corp. 35,510 838
Lubrizol Corp. 27,300 868
Martin Marietta Materials, Inc. 33,500 1,449
Maverick Tube Corp. (AE) 38,110 862
Mueller Industries, Inc. 22,800 765
Myers Industries, Inc. 7,425 105
NCI Building Systems, Inc. (AE) 9,100 266
OM Group, Inc. 32,080 816
Owens-Illinois, Inc. (AE) 32,900 459
Pactiv Corp. (AE) 44,200 1,014
Perini Corp. (z) 72,265 1,019
PolyOne Corp. (z) 27,640 189
Precision Castparts Corp. 25,300 1,139
Quanta Services, Inc. (AE) 118,400 648
Reliance Steel & Aluminum Co. 53,690 1,773
Royal Gold, Inc. (z) 8,460 104
RPM International, Inc. 98,600 1,487
RTI International Metals, Inc. 5,100 75
Schnitzer Steel Industries, Inc. Class A 22,000 578
Schulman A, Inc. 18,500 370
Sealed Air Corp. (AE) 21,100 1,036
Silgan Holdings, Inc. (AE) 5,200 219
Smurfit-Stone Container Corp. (AE) 79,500 1,367
Southern Peru Copper Corp. 18,440 535
Steel Dynamics, Inc. (AE) 39,120 942
Steel Technologies, Inc. 28,330 546
Symyx Technologies (AE)(z) 8,280 212
Texas Industries, Inc. 47,900 1,615
Trammell Crow Co. (AE) 8,000 108
Unifi, Inc. 53,300 133
URS Corp. 14,300 369
USEC, Inc. 46,440 320
USG Corp. (z) 140,800 2,004
Washington Group International, Inc. (AE) 30,690 1,109
Watsco, Inc. 42,370 1,235
Wausau-Mosinee Paper Corp. 5,000 70
------------
61,971
------------
Miscellaneous - 1.0%
Brunswick Corp. 43,600 1,792
Carlisle Cos., Inc. 6,600 391
GenCorp, Inc. (z) 33,300 353
Johnson Controls, Inc. 17,400 955
Lancaster Co.lony Corp. 3,970 164
San-In Godo Bank, Ltd. (The) (AE) 151,500 1,324
Textron, Inc. 20,000 1,104
</Table>
16 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Trinity Industries, Inc. (z) 37,400 1,133
Wesco Financial Corp. 4,795 1,901
------------
9,117
------------
Other Energy - 4.7%
Atwood Oceanics, Inc. (AE) 12,000 440
Capstone Turbine Corp. 21,400 55
Comstock Resources, Inc. (AE) 40,420 823
Cooper Cameron Corp. (AE) 14,500 701
Denbury Resources Inc. (AE) 82,100 1,499
Diamond Offshore Drilling (z) 26,000 587
Encore Acquisition Co. (AE) 4,400 131
Evergreen Resources, Inc. (AE)(z) 29,800 1,196
Global Power Equipment Group, Inc. (AE) 24,300 176
Grant Prideco, Inc. (AE) 106,000 1,617
Houston Exploration Co. (AE) 21,090 944
Key Energy Services, Inc. (AE) 177,178 1,889
Massey Energy Co. 36,300 850
Nabors Industries, Ltd. (AE) 21,300 945
National-Oilwell, Inc. Class C (AE) 85,000 2,373
Oil States International, Inc. (AE) 5,700 77
Patina Oil & Gas Corp. 101,110 2,811
Patterson-UTI Energy, Inc. (z) 141,032 5,103
Petroleum Development Corp. (AE) 27,080 715
Petroquest Energy, Inc. (AE) 72,300 234
Reliant Energy, Inc. (AE) 173,275 1,440
Rowan Cos., Inc. 49,000 1,093
Smith International, Inc. 19,600 1,073
Sunoco, Inc. 28,580 1,798
Swift Energy Co. (AE) 28,800 625
Talisman Energy, Inc. 18,400 1,048
TEPPCO Partners L.P. (z) 31,800 1,196
Tesoro Petroleum Corp. (z) 147,990 3,006
Tom Brown, Inc. (AE) 7,300 350
Unit Corp. 40,583 1,146
Universal Compression Holdings, Inc. (AE) 35,830 1,066
Veritas DGC, Inc. (AE)(z) 144,030 2,943
Westport Resources Corp. (AE) 18,600 637
XTO Energy, Inc. 76,823 2,051
------------
42,638
------------
Producer Durables - 6.2%
Advanced Energy Industries, Inc. (AE)(z) 33,800 448
American Power Conversion 58,400 1,090
American Tower Corp. Class A (z) 78,500 977
Ametek, Inc. 7,800 207
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
AO Smith Corp. 5,070 152
Applied Industrial Technologies, Inc. 11,300 297
Arris Group, Inc. (AE) 55,100 329
Artesyn Technologies, Inc. (AE)(z) 94,645 872
Audiovox Corp. Class A (AE) 1,310 20
Briggs & Stratton Corp. 26,100 1,827
Brooks Automation, Inc. (AE) 64,770 1,078
Cable Design Technologies Corp. (AE)(z) 107,000 913
Cascade Corp. 53,300 1,110
Champion Enterprises, Inc. (AE)(z) 59,292 646
Cherokee International Corp. (AE) 39,913 595
CNH Global NV 52,980 1,052
Crane Co. 5,740 177
Credence Systems Corp. (AE)(z) 80,202 893
Crown Castle International Corp. (AE) 50,100 699
CTS Corp. 18,300 239
Curtiss-Wright Corp. 20,580 969
Cymer, Inc. (AE) 18,000 576
Dominion Homes, Inc. (AE)(z) 3,900 112
Donaldson Co., Inc. 133,686 3,667
DR Horton, Inc. 44,775 1,290
Engineered Support Systems, Inc. 3,760 183
EnPro Industries, Inc. (AE) 840 17
ESCO Technologies, Inc. 29,196 1,410
Esterline Technologies Corp. 20,650 511
FSI International, Inc. (AE)(z) 21,000 126
Gardner Denver, Inc. (AE) 400 10
Genlyte Group, Inc. (AE) 4,600 264
Goodrich Corp. 96,230 2,770
Graco, Inc. 6,505 183
Kadant, Inc. (AE) 3,800 70
Kimball International, Inc. Class B 15,100 223
Lennar Corp. Class A 26,200 1,227
Lincoln Electric Holdings, Inc. 9,600 303
Littelfuse, Inc. (AE) 10,900 419
M/I Homes, Inc. 7,780 332
Manitowoc Co. 47,870 1,456
MDC Holdings, Inc. 22,550 1,393
Meritage Corp. 29,600 2,008
Mettler Toledo International, Inc. (AE) 38,200 1,712
Milacron, Inc. 106,100 417
Mine Safety Appliances Co. 2,500 68
Molex, Inc. 23,700 706
Moog, Inc. Class A 17,575 580
Novatel Wireless, Inc. (AE) 41,815 616
Orbital Sciences Corp. (AE) 92,000 1,185
Pall Corp. 32,100 763
</Table>
Equity II Fund 17
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Paxar Corp. (AE) 67,618 1,114
Photronics, Inc. (AE)(z) 62,000 923
Plantronics, Inc. (AE) 54,980 2,086
Polycom, Inc. (AE) 36,500 696
SBA Communications Corp. (AE)(z) 12,100 48
Semitool, Inc. (AE) 10,300 113
Standard-Pacific Corp. 47,178 2,380
Steelcase, Inc. Class A (z) 18,600 229
Stewart & Stevenson Services (z) 8,600 137
Symmetricom, Inc. (AE) 161,963 1,297
Tecumseh Products Co. Class A 16,020 623
Tektronix, Inc. 47,900 1,418
Teledyne Technologies, Inc. (AE) 55,400 1,051
Terex Corp. 26,830 881
Thomas Industries, Inc. 5,200 176
Toll Brothers, Inc. (AE) 34,900 1,381
United Industrial Corp. 20,000 411
Vyyo, Inc. (AE)(z) 82,611 487
Watts Water Technologies, Inc. Class A 46,100 1,129
William Lyon Homes, Inc. (AE)(z) 2,040 180
------------
55,947
------------
Technology - 13.7%
3Com Corp. (AE) 387,300 2,386
Acxiom Corp. (AE) 15,300 354
ADC Telecommunications, Inc. (AE) 330,700 827
Adtran, Inc. 27,688 679
Advanced Fibre Communications, Inc. (AE) 82,860 1,384
Aeroflex, Inc. (AE) 240,020 3,019
Agile Software Corp. (AE) 86,600 654
AgilySystem, Inc. (z) 2,600 30
Alliance Semiconductor Corp. (AE) 42,700 247
Altiris, Inc. (AE)(z) 24,700 625
Analogic Corp. 20,400 966
Anixter International, Inc. 40,010 1,172
Anteon International Corp. (AE)(z) 20,500 640
Applied Micro Circuits Corp. (AE) 160,540 708
Ascential Software Corp. (AE) 88,807 1,510
Aspect Communications Corp. (AE) 14,890 176
Aspen Technology, Inc. (AE)(z) 181,470 1,180
ATI Technologies, Inc. (AE) 30,700 447
Atmel Corp. (AE) 273,500 1,597
Autodesk, Inc. 97,000 3,250
Avaya, Inc. (AE) 53,600 733
Avnet, Inc. 183,400 3,969
AVX Corp. 61,500 873
Benchmark Electronics, Inc. (AE) 23,600 638
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Borland Software Corp. (AE) 33,900 280
California Micro Devices CP (AE) 42,106 604
Ceridian Corp. (AE) 61,800 1,321
Chordiant Software, Inc. (AE) 257,759 1,005
Ciena Corp. (AE) 164,300 680
Cognos, Inc. (AE) 30,010 946
Coherent, Inc. (AE) 8,407 206
CommScope, Inc. (AE)(z) 23,090 404
Compuware Corp. (AE) 88,800 679
Comtech Telecommunications (AE) 27,374 443
Comverse Technology, Inc. (AE) 93,800 1,535
Cray, Inc. (AE) 105,535 654
Cypress Semiconductor Corp. (AE)(z) 147,130 2,055
Ditech Communications Corp. (AE) 51,900 746
Dot Hill Systems Corp. (AE) 22,880 172
DRS Technologies, Inc. (AE) 30,600 864
E.piphany, Inc. (AE) 53,400 234
EDO Corp. 75,300 1,709
Emulex Corp. (AE)(z) 57,000 950
ESS Technology (AE)(z) 14,900 160
Exar Corp. (AE) 171,300 2,614
Fairchild Semiconductor International, Inc. (AE) 116,115 2,261
Filenet Corp. (AE) 9,620 264
Foundry Networks, Inc. (AE) 33,920 389
Gerber Scientific, Inc. (z) 23,140 139
GTSI Corp. (AE) 82,767 950
Harris Corp. 36,100 1,626
Hifn, Inc. (AE)(z) 63,129 550
Imation Corp. 41,700 1,625
InFocus Corp. (AE) 139,300 1,138
Informatica Corp. (AE) 125,100 906
Ingram Micro, Inc. Class A (AE) 61,520 735
Integrated Circuit Systems, Inc. (AE) 47,100 1,116
Integrated Device Technology, Inc. (AE) 217,200 2,921
Intergraph Corp. (AE) 800 20
International Rectifier Corp. (AE) 20,700 821
Internet Security Systems (AE) 65,200 867
Intersil Corp. Class A 61,100 1,207
Interwoven, Inc. (AE) 17,400 146
Kemet Corp. (AE) 101,900 1,262
Keynote Systems, Inc. (AE) 51,200 607
Komag, Inc. (AE)(z) 12,600 160
L-3 Communications Holdings, Inc. (z) 16,700 1,031
Lawson Software, Inc. (AE) 55,400 393
LSI Logic Corp. (AE) 362,450 2,697
Macromedia, Inc. (AE) 20,300 418
Macrovision Corp. (AE) 94,118 1,585
Maxtor Corp. (AE) 250,700 1,632
</Table>
18 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
MEMC Electronic Materials, Inc. (AE) 125,500 1,000
Mentor Graphics Corp. 71,031 1,178
Mercury Interactive Corp. (AE) 15,300 651
Methode Electronics, Inc. 14,470 164
Micromuse, Inc. (AE) 105,895 711
Microsemi Corp. 51,700 562
MicroStrategy, Inc. Class A (AE)(z) 46,811 2,249
National Instruments Corp. 44,450 1,358
NCR Corp. (AE) 8,980 401
NetIQ Corp. (AE) 66,300 853
Netopia, Inc. (AE)(z) 68,900 411
Network Associates, Inc. (AE) 24,400 383
Newport Corp. 53,100 788
Norske Skogindustrier ASA (z) 30,500 99
Novell, Inc. (AE) 149,400 1,440
ON Semiconductor Corp. (AE) 100,000 483
PalmOne, Inc. (AE)(z) 36,800 601
PanAmSat Corp. (AE)(z) 7,520 174
Park Electrochemical Corp. 3,100 73
Peregrine Systems, Inc. (AE)(z) 25,406 508
Performance Technologies, Inc. (AE)(z) 46,144 599
PerkinElmer, Inc. 11,400 219
Perot Systems Corp. Class A (AE) 78,000 1,039
Plexus Corp. (AE) 10,600 152
Pomeroy IT Solutions, Inc. 7,700 107
Quantum Corp. (AE) 260,300 815
Quest Software, Inc. (AE) 127,400 1,433
RadiSystem Corp. (AE)(z) 60,230 1,124
RADWARE, Ltd. (AE) 33,928 717
Remec, Inc. (AE)(z) 79,900 503
Sanmina-SCI Corp. (AE) 427,070 4,279
Seachange International, Inc. (AE)(z) 13,530 157
Semtech Corp. (AE) 87,457 1,838
Serena Software, Inc. (AE)(z) 85,400 1,518
Sigma Designs, Inc. (AE)(z) 20,320 118
Silicon Graphics, Inc. (AE)(z) 200,000 386
Silicon Storage Technology, Inc. (AE) 59,300 786
Skyworks Solutions, Inc. (z) 55,100 472
SonicWALL, Inc. (AE) 133,710 957
Spectrasite, Inc. (AE) 23,800 889
SRS Labs, Inc. (AE) 106,200 478
Stellent, Inc. (AE) 101,539 756
StrataSystem, Inc. (AE)(z) 36,165 739
Sybase, Inc. (AE) 19,200 328
SYKES Enterprises, Inc. (AE) 13,000 71
Symbol Technologies, Inc. 106,300 1,276
Tellabs, Inc. (AE) 116,900 1,021
TIBCO Software, Inc. (AE) 133,300 1,000
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Transaction Systems Architects, Inc. Class A
(AE) 16,030 340
Triquint Semiconductor, Inc. (AE) 34,000 187
TTM Technologies, Inc. (AE)(z) 62,002 689
Ulticom, Inc. (AE) 52,146 489
UniSystem Corp. 87,900 1,145
UNOVA, Inc. (AE)(z) 68,170 1,193
Utstarcom, Inc. (AE) 8,900 235
Verint Systems, Inc. (AE)(z) 6,070 163
Verity, Inc. (AE) 79,148 981
Vishay Intertechnology, Inc. (AE) 23,090 402
Vitesse Semiconductor Corp. (AE) 120,383 515
WatchGuard Technologies (AE) 122,275 851
Wavecom Sa - ADR (AE) 55,600 537
WebEx Communications, Inc. (AE)(z) 58,110 1,304
Western Digital Corp. (AE) 101,900 823
Zoran Corp. (AE)(z) 75,565 1,249
------------
122,758
------------
Utilities - 3.4%
AGL Resources, Inc. 29,900 855
Allete, Inc. 31,600 1,092
Avista Corp. 60,870 1,029
Centerpoint Energy, Inc. (z) 181,900 1,963
CMS Energy Corp. 53,800 447
Dobson Communications Corp. Class A (AE)(z) 144,500 517
Duquesne Light Holdings, Inc. (z) 9,460 178
Energen Corp. 34,500 1,427
Hawaiian Electric Industries (z) 15,500 771
IDT Corp. (AE) 58,240 1,082
Laclede Group, Inc. (The) (z) 5,400 149
MDU Resources Group, Inc. 38,400 860
New Jersey Resources Corp. 3,600 137
Nextel Partners, Inc. Class A (AE)(z) 139,550 1,863
Northeast Utilities 173,300 3,180
NSTAR 26,800 1,297
OGE Energy Corp. 39,000 938
Pepco Holdings, Inc. 10,000 189
Pinnacle West Capital Corp. 13,200 516
PNM Resources, Inc. 23,300 680
Primus Telecommunications GP (AE)(z) 102,000 568
PTEK Holdings, Inc. (AE)(z) 351,672 3,577
Sierra Pacific Resources (z) 36,570 259
South Jersey Industries, Inc. 5,200 214
Southwest Gas Corp. 9,740 222
TECO Energy, Inc. (z) 18,700 238
Telephone & Data Systems, Inc. 35,880 2,367
</Table>
Equity II Fund 19
FRANK RUSSELL INVESTMENT COMPANY
EQUITY II FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
TELUS Corp. 52,000 818
Time Warner Telecom, Inc. Class A (AE)(z) 50,070 190
UGI Corp. 36,000 1,134
US Cellular Corp. (AE) 29,430 1,009
WGL Holdings, Inc. 24,500 693
------------
30,459
------------
TOTAL COMMON STOCKS
(cost $713,352) 856,257
------------
SHORT-TERM INVESTMENTS - 19.1%
Frank Russell Investment Company Money Market
Fund 47,812,002 47,812
Frank Russell Investment Company Money Market
Fund (N) 58,931,220 58,931
State Street Securities Lending Quality Trust
(N) 63,454,387 63,454
United States Treasury Bill (y)(s) 0.930% due
06/10/04 3,000 2,998
------------
TOTAL SHORT-TERM INVESTMENTS
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
(cost $173,195) 173,195
------------
TOTAL INVESTMENTS - 113.5%
(identified cost $886,547) 1,029,452
OTHER ASSETS AND LIABILITIES,
NET - (13.5%) (121,994)
------------
NET ASSETS - 100.0% 907,458
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Russell 2000 E-Mini Index expiration date 06/04
(453) 25,363 (1,486)
Russell 2000 Index
expiration date 06/04 (53) 14,836 (710)
S&P 500 E-Mini Index
expiration date 06/04 (168) 9,291 (201)
S&P 500 Index
expiration date 06/04 (11) 3,042 (90)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (2,487)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
20 Equity II Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 95.8%
Auto and Transportation - 2.9%
American Axle & Manufacturing Holdings, Inc.
(AE) 41,671 1,603
Autoliv, Inc. 23,769 1,011
Burlington Northern Santa Fe Corp. 68,000 2,224
CSX Corp. 35,500 1,092
Delphi Corp. 116,400 1,187
FedEx Corp. 79,715 5,732
Ford Motor Co. (z) 185,100 2,843
General Motors Corp. (z) 111,700 5,297
Harley-Davidson, Inc. 59,100 3,329
JB Hunt Transport Services, Inc. (z) 55,350 1,752
Landstar System, Inc. (AE)(z) 7,700 346
Lear Corp. 21,300 1,291
Norfolk Southern Corp. 38,200 910
Paccar, Inc. 9,600 542
Skywest, Inc. (z) 37,300 679
Swift Transportation Co., Inc. (AE) 11,273 191
Union Pacific Corp. 7,900 466
United Parcel Service, Inc. Class B 100,800 7,071
------------
37,566
------------
Consumer Discretionary - 17.7%
Accenture, Ltd. Class A (AE) 80,701 1,918
Activision, Inc. (AE) 25,350 382
Advance Auto Parts (AE) 7,326 316
Advo, Inc. (z) 9,800 308
Autonation, Inc. (AE) 107,800 1,835
Barnes & Noble, Inc. (AE) 5,064 151
Bed Bath & Beyond, Inc. (AE) 37,400 1,388
Best Buy Co., Inc. 28,900 1,568
Black & Decker Corp. 41,900 2,424
Borders Group, Inc. (z) 27,804 666
Brinker International, Inc. (AE)(z) 3,376 130
Caesars Entertainment, Inc. (AE) 156,471 2,073
Career Education Corp. (AE) 41,400 2,650
CBRL Group, Inc. 13,900 522
Cendant Corp. 540,317 12,795
ChoicePoint, Inc. (AE) 7,200 316
Claire's Stores, Inc. 83,740 1,707
Clear Channel Communications, Inc. 12,300 510
Coach, Inc. (AE) 81,900 3,489
Convergys Corp. (AE) 110,576 1,606
Darden Restaurants, Inc. 40,700 922
Dollar General Corp. 226,888 4,256
Eastman Kodak Co. 82,600 2,130
eBay, Inc. (AE) 25,100 2,003
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Education Management Corp. (AE) 20,100 713
Electronic Arts, Inc. (AE) 79,400 4,019
Federated Department Stores 257,553 12,620
Foot Locker, Inc. 22,000 528
Fox Entertainment Group, Inc. Class A (AE) 301,647 8,401
Gap, Inc. (The) 251,800 5,542
Gemstar-TV Guide International, Inc. (AE)(z) 20,800 116
Getty Images, Inc. (AE) 17,400 950
Gillette Co. (The) 192,583 7,880
GTECH Holdings Corp. (z) 15,813 963
Harman International Industries, Inc. 71,785 5,445
Harrah's Entertainment, Inc. 30,411 1,617
Hearst-Argyle Television, Inc. Class C 6,572 173
Home Depot, Inc. 632,998 22,275
International Game Technology 84,700 3,197
ITT Educational Services, Inc. (z) 2,416 97
Kimberly-Clark Corp. 170,900 11,185
Ltd Brands 6,747 139
Mandalay Resort Group (z) 51,200 2,941
May Department Stores Co. (The) 290,530 8,948
Maytag Corp. 69,779 1,947
McDonald's Corp. 261,500 7,121
McGraw-Hill Cos., Inc. (The) Class C 102,554 8,087
MGM Mirage (z) 40,484 1,855
Michaels Stores, Inc. (z) 20,401 1,021
Mohawk Industries, Inc. (AE)(z) 12,800 987
Pacific Sunwear of California (AE) 39,948 858
RadioShack Corp. 114,542 3,523
Regis Corp. 31,291 1,359
Rent-A-Center, Inc. Class C (AE) 24,050 704
Ross Stores, Inc. 43,000 1,312
Sabre Holdings Corp. 22,300 526
Snap-On, Inc. 9,900 334
Starwood Hotels & Resorts Worldwide, Inc. 32,600 1,297
Strayer Education, Inc. 4,600 575
Target Corp. 88,300 3,830
Time Warner, Inc. 386,500 6,501
Toro Co. (z) 6,500 378
Tribune Co. 44,200 2,116
United Auto Group, Inc. (z) 9,700 299
University of Phoenix Online (AE) 19,221 1,673
Viacom, Inc. Class B 403,773 15,606
Wal-Mart Stores, Inc. 159,643 9,100
Walt Disney Co. 208,921 4,811
Waste Management, Inc. 120,500 3,422
Wendy's International, Inc. 29,900 1,166
</Table>
Equity Q Fund 21
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Whirlpool Corp. 36,213 2,372
Yahoo!, Inc. (AE) 30,600 1,544
Yum! Brands, Inc. (AE) 65,700 2,549
------------
230,687
------------
Consumer Staples - 5.0%
Adolph Co.ors Co. Class B (z) 11,722 770
Albertson's, Inc. (z) 69,000 1,612
Altria Group, Inc. 122,400 6,779
Anheuser-Busch Cos., Inc. Class 128,941 6,607
Coca-Cola Co. (The) 19,000 961
Coca-Cola Enterprises, Inc. 161,938 4,372
Constellation Brands, Inc. Class A (AE) 12,100 401
CVS Corp. 28,700 1,109
Hershey Foods Corp. 12,600 1,120
HJ Heinz Co. 34,500 1,318
Kellogg Co. 124 5
Kroger Co. 68,800 1,204
Loews Corp. - Carolina Group (z) 11,082 291
Pepsi Bottling Group, Inc. 145,481 4,258
PepsiAmericas, Inc. (z) 72,820 1,459
PepsiCo, Inc. 13,446 733
Procter & Gamble Co. 141,100 14,921
Safeway, Inc. (AE) 40,300 925
Sara Lee Corp. 207,662 4,793
Smithfield Foods, Inc. (AE) 2,166 58
Supervalu, Inc. 100,881 3,106
Systemco Corp. 33,200 1,270
Tyson Foods, Inc. Class A 291,623 5,465
WM Wrigley Jr Co. 20,084 1,239
------------
64,776
------------
Financial Services - 20.4%
Affiliated Computer Services, Inc. Class A
(AE)(z) 30,900 1,499
Allstate Corp. (The) 243,537 11,178
American Express Co. 5,600 274
American International Group, Inc. 54,366 3,895
Annaly Mortgage Management, Inc. (o)(z) 25,100 434
Archstone-Smith Trust (o) 18,800 516
Arden Realty, Inc. (o) 1,510 43
Automatic Data Processing, Inc. 79,000 3,461
Bank of America Corp. 292,840 23,571
Bank of New York Co., Inc. (The) 29,700 865
Bank One Corp. 60,500 2,987
Bear Stearns Cos., Inc. (The) 32,500 2,605
Brandywine Realty Trust (o) 6,100 155
Charter One Financial, Inc. 80,800 2,696
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Cigna Corp. 38,180 2,463
Cincinnati Financial Corp. 22,155 908
Citigroup, Inc. 841,474 40,467
Countrywide Financial Corp. 35,850 2,126
Doral Financial Corp. 27,449 900
DST Systems, Inc. (AE)(z) 10,000 442
Equity Office Properties Trust (o) 44,600 1,123
Fannie Mae 152,249 10,463
Federated Investors, Inc. Class B 31,000 911
Fidelity National Financial, Inc. 175,376 6,419
First American Corp. 31,800 862
First Horizon National Corp. 40,500 1,780
Fiserv, Inc. (AE) 28,500 1,042
Freddie Mac 43,045 2,514
Friedman Billings Ramsey Group, Inc. Class A (z) 73,563 1,361
General Growth Properties, Inc. (o) 32,390 878
Global Payments, Inc. (z) 7,900 379
Goldman Sachs Group, Inc. 91,700 8,849
Greenpoint Financial Corp. 4,030 157
H&R Block, Inc. 38,300 1,728
Hartford Financial Services Group, Inc. 16,500 1,008
Health Care REIT, Inc. (o) 9,400 300
Hospitality Properties Trust (o) 10,324 403
HRPT Properties Trust (o) 10,400 99
iStar Financial, Inc. (o) 7,000 249
Jack Henry & Associates, Inc. (z) 70,356 1,280
JP Morgan Chase & Co. 293,252 11,026
Keycorp 101,200 3,006
Kimco Realty Corp. (o) 16,500 705
LandAmerica Financial Group, Inc. 6,300 260
Lehman Brothers Holdings, Inc. 33,900 2,488
Lincoln National Corp. 19,089 857
Loews Corp. 18,800 1,091
Macerich Co. (The) (o) 2,261 95
Marsh & McLennan Cos., Inc. 34,758 1,568
MBNA Corp. 439,859 10,724
Merrill Lynch & Co., Inc. 127,316 6,904
Moody's Corp. 14,800 955
Morgan Stanley 290,870 14,948
National City Corp. 244,825 8,488
National Commerce Financial Corp. 12,100 322
Nationwide Financial Services 17,423 599
North Fork BanCorp., Inc. (z) 10,200 379
Nuveen Investments, Inc. Class A (z) 5,000 128
Old Republic International Corp. 32,400 752
Pan Pacific Retail Properties, Inc. (o) 2,061 91
Paychex, Inc. 78,200 2,915
</Table>
22 Equity Q Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Popular, Inc. 9,300 391
Prentiss Properties Trust (o) 8,000 256
Principal Financial Group 57,300 2,023
Progressive Corp. (The) 72,800 6,371
Protective Life Corp. 6,400 230
Providian Financial Corp. 8,142 99
Radian Group, Inc. 1,500 70
Regions Financial Corp. 5,500 191
Ryder System, Inc. 11,804 434
SLM Corp. 85,100 3,260
SouthTrust Corp. 13,900 432
State Street Corp. 36,000 1,757
Sungard Data Systems, Inc. (AE) 136,007 3,546
Thornburg Mortgage, Inc. (o)(z) 11,900 308
UnionBanCal Corp. 35,800 1,913
US Bancorp 150,656 3,863
Wachovia Corp. 268,623 12,290
Washington Mutual, Inc. 158,900 6,259
Wells Fargo & Co. 127,917 7,222
WR Berkley Corp. 78,005 3,159
Zions BanCorp. 12,600 712
------------
266,377
------------
Health Care - 15.2%
Abbott Laboratories 155,300 6,836
Aetna, Inc. 48,300 3,997
Affymetrix, Inc. (AE)(z) 44,524 1,361
AmerisourceBergen Corp. 20,300 1,175
Amgen, Inc. 100,500 5,655
Applera Corp. - Celera Genomics Group (AE) 2,900 34
Barr Pharmaceuticals, Inc. (AE) 10,400 431
Baxter International, Inc. 30,900 978
Beckman Coulter, Inc. 15,100 843
Becton Dickinson & Co. 114,858 5,806
Biomet, Inc. 11,700 462
Boston Scientific Corp. (AE) 103,100 4,247
Bristol-Myers Squibb Co. 187,700 4,711
Cardinal Health, Inc. 35,400 2,593
Caremark Rx, Inc. (AE) 73,000 2,471
Coventry Health Care, Inc. (AE) 69,587 2,912
Dade Behring Holdings, Inc. (AE)(z) 13,300 612
DaVita, Inc. (AE) 10,100 516
Eli Lilly & Co. 4,700 347
Endo Pharmaceuticals Holdings, Inc. (AE) 20,209 482
Eon Labs, Inc. (AE)(z) 13,200 868
Genentech, Inc. (AE) 64,955 7,976
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Guidant Corp. 91,400 5,759
Health Management Associates, Inc. Class A 29,500 682
Humana, Inc. 169,762 2,765
IMS Health, Inc. 48,400 1,222
Johnson & Johnson 598,231 32,323
King Pharmaceuticals, Inc. (AE) 14,600 252
Manor Care, Inc. 8,400 272
McKesson Corp. 128,000 4,206
Medco Health Solutions, Inc. (AE) 28,300 1,002
Medtronic, Inc. 63,000 3,179
Merck & Co., Inc. 429,561 20,189
Mylan Laboratories (z) 77,550 1,777
Oxford Health Plans 9,075 494
Pacificare Health Systems (AE)(z) 9,100 325
Pfizer, Inc. 922,887 33,003
Province Healthcare Co. (AE)(z) 13,600 217
Quest Diagnostics 25,300 2,134
Respironics, Inc. (AE) 22,511 1,180
Schering-Plough Corp. 78,900 1,320
Select Medical Corp. 35,700 677
Stryker Corp. 31,800 3,146
Triad Hospitals, Inc. (AE) 23,300 792
UnitedHealth Group, Inc. 222,095 13,654
Universal Health Services, Inc. Class B 2,804 123
Varian Medical Systems, Inc. (z) 39,012 3,349
WellPoint Health Networks 1,798 201
Wyeth 206,580 7,865
------------
197,421
------------
Integrated Oils - 4.8%
Amerada Hess Corp. 13,600 967
ChevronTexaco Corp. 69,800 6,387
ConocoPhillips 161,700 11,529
Exxon Mobil Corp. 675,533 28,744
Marathon Oil Corp. 252,332 8,468
Occidental Petroleum Corp. 138,879 6,555
------------
62,650
------------
Materials and Processing - 2.7%
Acuity Brands, Inc. 7,600 186
Alcoa, Inc. 182,662 5,617
American Standard Cos., Inc. (AE) 14,900 1,567
Archer-Daniels-Midland Co. 163,180 2,865
Cabot Corp. 10,574 357
Dow Chemical Co. (The) 122,615 4,867
Ecolab, Inc. 104,200 3,105
EI Du Pont de Nemours & Co. 4,800 206
</Table>
Equity Q Fund 23
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Energizer Holdings, Inc. (AE) 24,400 1,057
Florida Rock Industries, Inc. (z) 20,309 808
Freeport-McMoRan Copper & Gold, Inc. Class B 32,500 991
Georgia-Pacific Corp. 76,914 2,700
Masco Corp. 79,800 2,235
Monsanto Co. 65,259 2,257
Mueller Industries, Inc. (z) 5,600 188
Phelps Dodge Corp. 27,294 1,797
Praxair, Inc. 20,900 764
Sherwin-Williams Co. (The) 44,323 1,686
Sigma-Aldrich Corp. 31,000 1,756
Vulcan Materials Co. 4,882 226
------------
35,235
------------
Miscellaneous - 4.2%
3M Co. 157,487 13,619
Eaton Corp. 15,200 903
Fortune Brands, Inc. 35,190 2,683
General Electric Co. 996,081 29,834
ITT Industries, Inc. 32,000 2,537
Johnson Controls, Inc. 38,800 2,129
Textron, Inc. 50,500 2,787
------------
54,492
------------
Other Energy - 0.7%
Anadarko Petroleum Corp. 39,374 2,110
Halliburton Co. 43,900 1,308
Pogo Producing Co. 26,884 1,326
Premcor, Inc. (AE)(z) 11,871 409
Reliant Energy, Inc. (AE) 53,400 444
Valero Energy Corp. 54,838 3,496
------------
9,093
------------
Producer Durables - 3.5%
Agilent Technologies, Inc. (AE) 47,400 1,280
Boeing Co. (The) 25,300 1,080
Briggs & Stratton Corp. (z) 7,200 504
Caterpillar, Inc. 44,300 3,443
Centex Corp. 128,657 6,169
Deere & Co. 26,700 1,817
DR Horton, Inc. 213,375 6,145
Kla-Tencor Corp. (AE) 14,100 588
Lennar Corp. Class A 7,100 333
Lexmark International, Inc. (AE) 68,539 6,200
Lockheed Martin Corp. 58,500 2,790
Molex, Inc. (z) 41,300 1,230
Northrop Grumman Corp. 21,000 2,084
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
NVR, Inc. 6,988 3,152
Polycom, Inc. (AE) 42,242 806
Pulte Homes, Inc. 26,600 1,308
Rockwell Collins, Inc. 89,448 2,885
Standard-Pacific Corp. (z) 22,300 1,125
Steelcase, Inc. Class A (z) 8,300 102
Tektronix, Inc. 42,900 1,270
United Defense Industries, Inc. (AE)(z) 36,138 1,252
------------
45,563
------------
Technology - 13.1%
3Com Corp. (AE) 212,704 1,310
Acxiom Corp. (AE) 2,309 53
ADC Telecommunications, Inc. (AE) 75,100 188
Adobe Systems, Inc. 16,571 685
Altera Corp. (AE) 34,600 692
Amkor Technology, Inc. (AE)(z) 12,851 104
Amphenol Corp. Class A (AE) 25,500 806
Analog Devices, Inc. 50,300 2,143
Apple Computer, Inc. 32,100 826
Atmel Corp. (AE)(z) 36,189 211
Autodesk, Inc. 5,144 172
Benchmark Electronics, Inc. (AE) 1,900 51
BMC Software, Inc. (AE) 35,458 613
Broadcom Corp. Class A (AE) 45,000 1,699
Ciena Corp. (AE) 25,000 104
Cisco Systems, Inc. (AE) 631,476 13,179
Computer Associates International, Inc. 59,884 1,605
Computer Sciences Corp. 61,100 2,500
Comverse Technology, Inc. (AE) 31,500 515
Corning, Inc. 119,300 1,316
CSG Systems International (AE) 24,882 418
Cypress Semiconductor Corp. (AE)(z) 6,900 96
Dell, Inc. (AE) 191,500 6,647
Electronic Data Systems Corp. 6,400 117
EMC Corp.achusetts 884,279 9,869
General Dynamics Corp. 27,300 2,556
Harris Corp. 2,010 91
Hewlett-Packard Co. 93,800 1,848
Ingram Micro, Inc. Class A (AE) 45,000 538
Intel Corp. 1,000,559 25,744
International Business Machines Corp. 171,105 15,086
Intuit, Inc. (AE) 36,100 1,533
Jabil Circuit, Inc. (AE) 26,700 705
Juniper Networks, Inc. (AE)(z) 23,500 514
Kemet Corp. (AE)(z) 4,500 56
LSI Logic Corp. (AE) 26,900 200
Maxim Integrated Products 138,173 6,355
</Table>
24 Equity Q Fund
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Micron Technology, Inc. 42,100 573
Microsoft Corp. 982,740 25,522
Motorola, Inc. 294,800 5,380
National Semiconductor Corp. (AE) 33,400 1,362
Network Appliance, Inc. (AE) 9,956 185
Oracle Corp. (AE) 203,600 2,284
PanAmSat Corp. (AE)(z) 2,226 51
Peoplesoft, Inc. (AE) 9,062 153
Plexus Corp. (AE)(z) 11,900 171
Qualcomm, Inc. 63,700 3,979
Retek, Inc. (AE) 6,101 43
Rockwell Automation, Inc. 20,600 673
Sandisk Corp. (AE)(z) 105,300 2,433
Sanmina-SCI Corp. (AE) 362,950 3,637
Scientific-Atlanta, Inc. 106,173 3,439
Siebel Systems, Inc. (AE) 81,855 841
Solectron Corp. (AE) 10,000 49
Storage Technology Corp. (AE) 57,784 1,518
Sun MicroSystems, Inc. (AE) 364,149 1,420
SynopSystem, Inc. (AE)(z) 81,518 2,179
Texas Instruments, Inc. 447,176 11,224
Triquint Semiconductor, Inc. (AE)(z) 13,400 74
Veritas Software Corp. (AE) 33,600 896
Xilinx, Inc. 45,100 1,517
------------
170,748
------------
Utilities - 5.6%
AGL Resources, Inc. 20,200 578
American Electric Power Co., Inc. 7,000 213
AT&T Corp. 114,300 1,960
AT&T Wireless Services, Inc. (AE) 80,553 1,112
BellSouth Corp. 437,186 11,284
Centerpoint Energy, Inc. (z) 99,800 1,077
Comcast Corp. Class A 10,400 313
Constellation Energy Group, Inc. 64,894 2,497
Dominion Resources, Inc. 21,600 1,378
DPL, Inc. 36,400 641
DTE Energy Co. 37,700 1,471
Duke Energy Corp. 85,400 1,799
Edison International 232,400 5,438
Entergy Corp. 802 44
Exelon Corp. 116,912 7,826
National Fuel Gas Co. 12,000 294
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Nextel Communications, Inc. Class A (AE) 242,400 5,784
Nicor, Inc. (z) 1,165 40
NII Holdings, Inc. Class B (AE)(z) 9,800 343
NiSource, Inc. 14,800 298
Northeast Utilities 44,600 818
NTL, Inc. (AE) 24,900 1,414
Oneok, Inc. (z) 28,000 587
Pepco Holdings, Inc. 18,900 358
PG&E Corp. 15,133 416
Pinnacle West Capital Corp. 6,400 250
Qwest Communications International 88,400 355
SBC Communications, Inc. 92,300 2,298
Sempra Energy 95,600 3,035
Sprint Corp.-FON Group 275,911 4,936
TXU Corp. 66,700 2,277
UnitedGlobalCom, Inc. Class A (AE) 58,700 439
Verizon Communications, Inc. 296,697 11,197
WGL Holdings, Inc. (z) 4,900 139
------------
72,909
------------
TOTAL COMMON STOCKS
(cost $1,066,858) 1,247,517
------------
SHORT-TERM INVESTMENTS - 6.9%
Frank Russell Investment Company Money Market
Fund 48,516,900 48,517
Frank Russell Investment Company Money Market
Fund (N) 18,074,095 18,074
State Street Securities Lending Quality Trust
(N) 19,461,342 19,461
United States Treasury Bill (y)(s)
0.930% due 06/10/04 4,000 3,996
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $90,048) 90,048
------------
TOTAL INVESTMENTS - 102.7%
(identified cost $1,156,906) 1,337,565
OTHER ASSETS AND LIABILITIES,
NET - (2.7%) (35,097)
------------
NET ASSETS - 100.0% 1,302,468
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Equity Q Fund 25
FRANK RUSSELL INVESTMENT COMPANY
EQUITY Q FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
Long Positions
Russell 1000 Index
expiration date 06/04 (36) 6,386 (255)
S&P 500 E-Mini Index
expiration date 06/04 (176) 9,734 (170)
S&P 500 Index
expiration date 06/04 (66) 18,251 (532)
S&P Midcap 400 Index
expiration date 06/04 (66) 19,246 (384)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,341)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
26 Equity Q Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 92.8%
Australia - 3.2%
Alumina, Ltd. (z) 3,600 13
Amcor, Ltd. 626,532 3,141
AMP, Ltd. (AE) 297,463 1,240
Australia & New Zealand Banking Group, Ltd. 197,306 2,647
Australian Gas Light Co., Ltd. 4,500 38
Australian Stock Exchange, Ltd. 10,220 119
BHP Billiton, Ltd. 332,750 2,757
Billabong International, Ltd. (z) 15,250 84
BlueScope Steel, Ltd. 162,300 689
Boral, Ltd. 32,000 139
Brambles Industries, Ltd. (z) 153,950 617
CFS Gandel Retail Trust 96,500 96
Coca-Cola Amatil, Ltd. 9,700 48
Coles Myer, Ltd. 367,129 2,220
Commonwealth Bank of Australia (z) 23,100 521
Commonwealth Property Office Fund (z) 74,900 62
CSL, Ltd. 28,064 447
CSR, Ltd. 86,200 120
David Jones, Ltd. (z) 62,200 71
Deutsche Office Trust 51,200 41
Foster's Group, Ltd. 1,197,544 4,230
Futuris Corp., Ltd. 24,000 26
General Property Trust 51,900 113
Iluka Resources, Ltd. 7,600 21
Insurance Australia Group, Ltd. (z) 46,200 162
James Hardie Industries NV 41,860 203
John Fairfax Holdings, Ltd. 146,800 355
Leighton Holdings, Ltd. (z) 1,200 9
Lend Lease Corp., Ltd. 30,090 232
Lion Nathan, Ltd. 5,200 23
Macquarie Bank, Ltd. (z) 14,020 351
Macquarie Infrastructure Group 27,500 55
Mayne Nickless, Ltd. 14,400 33
National Australia Bank, Ltd. (z) 325,593 6,932
Newcrest Mining, Ltd. 1,400 12
News Corp., Ltd. (z) 105,328 972
OneSteel, Ltd. 67,900 110
Orica, Ltd. 78,065 833
Origin Energy, Ltd. 22,900 94
PaperlinX, Ltd. 12,300 44
Promina Group, Ltd. (AE) 331,129 897
Publishing & Broadcasting, Ltd. (z) 24,230 213
Qantas Airways, Ltd. 84,800 205
QBE Insurance Group, Ltd. (z) 107,319 903
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Rinker Group, Ltd. 71,570 368
Rio Tinto, Ltd. (z) 2,800 66
Santos, Ltd. 403,528 1,874
Sons of Gwalia, Ltd. (AE)(z) 19,400 35
Stockland Trust Group (AE)(z) 27,900 104
Suncorp-Metway, Ltd. 5,300 51
TABCORP Holdings, Ltd. (z) 4,100 39
Telstra Corp., Ltd. 764,863 2,641
Wesfarmers, Ltd. 15,900 328
Westfield Holdings, Ltd. (z) 25,000 256
Westfield Trust (z) 37,800 111
Westpac Banking Corp. 122,006 1,540
WMC Resources, Ltd. 93,300 323
Woodside Petroleum, Ltd. 300 4
Woolworths, Ltd. 60,520 516
------------
40,394
------------
Austria - 0.1%
Erste Bank der Oesterreichischen Sparkassen AG 3,500 524
OMV AG 2,200 402
------------
926
------------
Belgium - 0.9%
AGFA-Gevaert NV (z) 27,604 627
Belgacom SA (AE) 34,779 1,054
Colruyt SA 4,400 473
Delhaize Group (z) 13,900 675
Dexia (AE) 107,780 1
Dexia (z) 93,760 1,542
Electrabel (z) 5,347 1,755
Fortis (z) 141,847 3,090
Fortis 11,300 246
KBC Bancassurance Holding (z) 14,600 820
Solvay SA 2,100 176
Umicore (z) 20,100 1,163
------------
11,622
------------
Brazil - 0.1%
Cia Vale do Rio Doce - ADR 15,100 687
Petroleo Brasileiro SA - ADR 28,080 812
------------
1,499
------------
Canada - 1.2%
Abitibi-Consolidated, Inc. 59,700 418
Alcan, Inc. 10,200 410
Bank of Nova Scotia 92,796 2,380
Bombardier, Inc. Class B 252,700 1,114
</Table>
International Fund 27
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Canadian Natural Resources, Ltd. 17,200 946
Cinram International, Inc. 7,400 125
Great-West Lifeco, Inc. 6,900 254
Magna International, Inc. Class A 11,500 913
Manulife Financial Corp. 9,200 340
Nortel Networks Corp. 58,600 219
Petro-Canada 21,300 942
Precision Drilling Corp. (AE) 17,600 838
Research In Motion, Ltd. (AE) 20,500 1,779
Royal Bank of Canada 17,600 783
Suncor Energy, Inc. 12,700 303
Talisman Energy, Inc. 36,300 2,065
TELUS Corp. (Non-voting shares) 18,300 288
Thomson Corp. (The) (AE) 48,000 1,529
------------
15,646
------------
China - 0.2%
China Petroleum & Chemical Corp. Class H 1,190,000 412
China Shipping Development Co., Ltd. Class H (z) 346,000 201
Huaneng Power International, Inc. Class H (z) 1,708,000 1,599
PetroChina Co., Ltd. Class H (z) 956,000 417
------------
2,629
------------
Denmark - 0.5%
Coloplast A/S Class B 200 19
D/S Svendborg Class B (AE) (z) 52 327
Danisco A/S 800 38
Danske Bank A/S 131,725 2,959
DSV DE Sammenslut Vogn A/S (z) 400 17
East Asiatic Co., Ltd. A/S (z) 1,900 77
FLS Industries A/S Class B 3,800 50
GN Store Nord 13,000 101
ISS A/S (z) 17,525 875
Novo-Nordisk A/S Class B 35,272 1,676
TDC A/S (z) 5,600 190
------------
6,329
------------
Estonia - 0.1%
Hansabank EEK (AE) 75,900 581
Hansabank, Ltd. 25,300 194
------------
775
------------
Finland - 0.8%
Elisa OYJ Class S (AE) (z) 6,900 94
Fortum OYJ 90,271 1,011
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Nokia OYJ (z) 199,155 2,802
Nokia OYJ - ADR 66,163 927
Pohjola Group PLC Class D 6,300 63
Sampo OYJ Class A 142,150 1,361
Stora Enso OYJ Class R 10,600 143
Tietoenator OYJ 10,500 313
UPM-Kymmene OYJ 203,866 3,757
------------
10,471
------------
France - 8.5%
Accor SA (z) 68,747 2,893
Air France (z) 12,800 223
Air Liquide (z) 6,312 1,105
Alcatel SA (z) 70,577 1,051
Altran Technologies SA (z) 21,600 225
Atos Origin (z) 7,500 435
Aventis SA (z) 49,086 3,738
AXA (z) 205,116 4,319
BNP Paribas (z) 151,666 9,106
Bouygues (z) 72,400 2,472
Caisse Nationale du Credit Agricole (z) 42,729 1,054
Carrefour SA (z) 113,249 5,253
Casino Guichard Perrachon SA (z) 2,000 178
Christian Dior SA (z) 11,000 691
Cie de Saint-Gobain (z) 85,277 4,304
Cie Generale D'Optique Essilor International SA
(z) 6,800 398
CNP Assurances (z) 12,346 732
Compagnie Generale des Etablissements Michelin
Class B (z) 29,494 1,380
France Telecom 220,902 5,329
Groupe Danone (z) 12,174 2,040
Klepierre 300 18
Lafarge SA (z) 29,290 2,439
Lagardere S.C.A. (z) 57,598 3,468
L'Oreal SA (z) 21,626 1,630
LVMH Moet Hennessy Louis Vuitton SA (z) 17,400 1,226
Pernod-Ricard (z) 3,600 454
Peugeot SA (z) 14,900 800
Pinault-Printemps-Redoute (z) 15,579 1,607
Renault SA (z) 10,800 806
Rhodia SA (z) 86,697 133
Sanofi-Synthelabo SA (z) 91,900 5,837
Schneider Electric SA (z) 28,816 1,941
Societe Assurances Generales de France (z) 56,118 3,426
Societe BIC SA (z) 1,000 43
</Table>
28 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Societe Generale (z) 79,449 6,617
Societe Television Francaise 1 (z) 28,000 865
Suez SA (z) 74,438 1,491
Technip SA (z) 10,100 1,399
Thomson (z) 137,000 2,643
Total SA (z) 92,215 17,052
Total SA - ADR (z) 29,126 2,683
Unibail (z) 1,400 132
Vivendi Universal SA (z) 191,731 4,823
------------
108,459
------------
Germany - 6.7%
Adidas-Salomon AG (z) 20,986 2,423
Allianz AG (z) 38,978 4,134
Altana AG (z) 9,900 630
AMB Generali Holding AG (z) 8,000 585
BASF AG (z) 10,800 557
Bayer AG (z) 172,119 4,688
Bayerische Hypo-und Vereinsbank AG 297,107 5,155
Bayerische Motoren Werke AG (z) 61,462 2,649
Celanese AG 1,000 42
Celesio AG (z) 5,500 307
Commerzbank AG 12,700 219
Continental AG (z) 68,700 2,981
DaimlerChrysler AG (z) 125,395 5,618
Deutsche Bank AG (z) 16,500 1,359
Deutsche Boerse AG (z) 30,917 1,700
Deutsche Genossenschafts-Hypothekenbank (AE) 30,500 1,974
Deutsche Lufthansa AG 79,619 1,279
Deutsche Post AG 213,340 4,702
Deutsche Telekom AG 237,931 4,106
E.ON AG (z) 69,312 4,593
Hannover Rueckversicherung AG (z) 15,500 532
HeidelbergCement AG 29,943 1,351
Infineon Technologies AG (AE)(z) 50,700 649
KarstadtQuelle AG (z) 92,000 1,955
Linde AG (z) 3,200 175
MAN AG (z) 100,400 3,686
Medion AG (z) 19,000 808
Merck KGaA (z) 26,100 1,397
Metro AG (z) 13,400 594
MG Technologies AG (z) 6,800 100
Muenchener Rueckversicherungs AG (z) 7,000 757
ProSieben SAT.1 Media AG (AE)(z) 3,943 77
Puma AG Rudolf Dassler Sport (z) 13,123 3,018
RWE AG (z) 129,913 5,637
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
SAP AG (z) 10,829 1,642
Schering AG (z) 72,778 3,824
Siemens AG 80,550 5,816
ThyssenKrupp AG (z) 10,000 174
T-Online International AG Class G (AE) 49,500 538
TUI AG 4,500 94
United Internet AG 16,100 405
Volkswagen AG (z) 61,778 2,721
------------
85,651
------------
Greece - 0.5%
Alpha Bank AE 51,200 1,595
Cosmote Mobile Communications SA 39,300 628
EFG Eurobank Ergasias SA 27,800 594
Hellenic Telecommunications Organization SA 107,052 1,555
OPAP SA 108,560 2,068
------------
6,440
------------
Hong Kong - 1.9%
Bank of East Asia, Ltd. 345,132 1,004
BOC Hong Kong Holdings, Ltd. (z) 388,000 662
Cathay Pacific Airways, Ltd. (z) 27,000 49
Cheung Kong Holdings, Ltd. 119,200 917
China Mobile Hong Kong, Ltd. 583,300 1,537
CLP Holdings, Ltd. 70,500 375
DAH Sing Financial 16,400 118
Denway Motors, Ltd. (z) 580,000 277
Esprit Holdings, Ltd. 100,000 413
Hang Lung Properties, Ltd. (z) 444,000 598
Hang Seng Bank, Ltd. 34,900 443
Henderson Land Development (z) 8,000 36
Hong Kong & China Gas 412,000 708
Hong Kong Exchanges and Clearing, Ltd. 18,000 36
HongKong Electric Holdings 410,500 1,800
Hongkong Land Holdings, Ltd. 56,000 97
Hopewell Holdings 57,000 101
Hutchison Whampoa, Ltd. 62,000 417
Hysan Development Co., Ltd. (z) 35,000 58
Jardine Matheson Holdings, Ltd. 129,300 1,306
Johnson Electric Holdings, Ltd. 77,500 69
Li & Fung, Ltd. 726,000 1,131
MTR Corp. (z) 491,045 746
New World Development, Ltd. (z) 109,000 87
PCCW, Ltd. (AE) 233,000 158
Shangri-La Asia, Ltd. (z) 127,000 123
Sino Land Co. (z) 1,736,000 1,052
</Table>
International Fund 29
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Sun Hung Kai Properties, Ltd. 609,000 5,231
Swire Pacific, Ltd. Class A (z) 332,600 2,175
Techtronic Industries Co. (z) 52,500 141
Wharf Holdings, Ltd. (z) 1,009,537 2,770
Yue Yuen Industrial Holdings (z) 18,000 48
------------
24,683
------------
Hungary - 0.0%
OTP Bank Rt 29,600 552
------------
India - 0.2%
InfoSystem Technologies, Ltd. - ADR (z) 2,400 194
Reliance Industries, Ltd. - GDR 55,900 1,425
State Bank of India, Ltd. - GDR 36,100 1,406
------------
3,025
------------
Ireland - 0.6%
Bank of Ireland 328,384 3,978
CRH PLC 63,133 1,341
CRH PLC 1,206 26
Depfa Bank PLC 17,250 2,586
------------
7,931
------------
Israel - 0.1%
Check Point Software Technologies (AE) 33,300 780
------------
Italy - 3.7%
Arnoldo Mondadori Editore SpA (z) 21,300 199
Assicurazioni Generali SpA (z) 8,100 214
Autostrade SpA (z) 42,436 783
Banca Intesa SpA (AE)(z) 2,247,064 7,432
Banca Nazionale del Lavoro SpA (AE) 39,900 89
Banca Popolare di Milano SCRL (z) 31,200 184
Banche Popolari Unite Scrl (z) 24,281 413
Banco Popolare di Verona e Novara Scrl (z) 67,478 1,122
Benetton Group SpA (z) 82,100 962
Capitalia SpA (z) 80,700 223
e.Biscom (AE)(z) 3,100 184
Edison SpA (AE) 94,400 155
Enel SpA (z) 62,900 501
Ente Nazionale Idrocarburi SpA (z) 578,687 11,761
Fiat SpA (z) 362,210 2,548
Finmeccanica SpA (z) 2,543,752 1,942
Fondiaria-Sai SpA 7,400 163
Gruppo Editoriale L'Espresso SpA (z) 37,700 222
Italcementi SpA (z) 35,900 450
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mediaset SpA (z) 372,478 4,084
Parmalat Finanziaria SpA (z) 46,200 6
Riunione Adriatica di Sicurta SpA (z) 34,156 625
Saipem SpA (z) 193,600 1,814
Sanpaolo IMI SpA (z) 105,249 1,227
Snam Rete Gas SpA 146,800 651
Telecom Italia (AE)(z) 1,150,477 3,688
Telecom Italia Media SpA 87,200 38
Telecom Italia SpA (z) 739,271 1,723
Tiscali SpA (AE)(z) 7,800 40
UniCredito Italiano SpA (z) 731,100 3,408
------------
46,851
------------
Japan - 23.2%
77 Bank, Ltd. (The) (z) 235,000 1,413
Acom Co., Ltd. 12,750 908
Advantest Corp. 10,300 783
Aeon Co., Ltd. 60,700 2,661
Aiful Corp. 41,580 4,218
Aioi Insurance Co., Ltd. 29,000 127
Aisin Seiki Co., Ltd. 15,600 274
Ajinomoto Co., Inc. 43,000 503
All Nippon Airways Co., Ltd. (AE) 21,000 64
Alps Electric Co., Ltd. (z) 107,000 1,541
Amano Corp. (AE) 7,000 54
Anritsu Corp. (AE)(z) 35,000 255
Aoyama Trading Co., Ltd. 1,200 28
Asahi Glass Co., Ltd. 156,000 1,650
Asahi Kasei Corp. 34,000 186
Autobacs Seven Co., Ltd. 2,100 56
Bank of Yokohama, Ltd. (The) (z) 23,000 126
Benesse Corp. 3,400 94
Bridgestone Corp. 172,000 2,910
Brother Industries, Ltd. 12,000 118
Canon, Inc. 250,090 13,115
Central Glass Co., Ltd. 16,000 118
Central Japan Railway Co. (z) 16 131
Chiba Bank, Ltd. (The) 19,000 103
Chubu Electric Power Co., Inc. 18,700 390
Citizen Watch Co., Ltd. (z) 34,000 343
Credit Saison Co., Ltd. 80,600 2,358
D&M Holdings, Inc. 23,000 84
Dai Nippon Printing Co., Ltd. 37,000 561
Daicel Chemical Industries, Ltd. 1,000 4
Daiichi Pharmaceutical Co., Ltd. 32,500 569
Daikin Industries, Ltd. 13,000 304
Daimaru, Inc. (AE) 24,000 209
Dainippon Ink and Chemicals, Inc. 8,000 20
</Table>
30 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Daito Trust Construction Co., Ltd. 8,290 281
Daiwa House Industry Co., Ltd. 145,000 1,622
Daiwa Securities Group, Inc. 70,000 526
Denso Corp. 96,300 2,028
Dentsu, Inc. 160 448
Dentsu,, Inc. (AE) 205 570
Don Quijote Co., Ltd. (z) 8,000 569
Dowa Mining Co., Ltd. (AE) 47,000 260
East Japan Railway Co. 232 1,185
Eisai Co., Ltd. 142,500 3,639
FamilyMart Co., Ltd. 4,000 115
Fanuc, Ltd. 7,500 459
Fast Retailing Co., Ltd. 34,700 2,703
FCC Co., Ltd. 4,600 170
Fuji Electric Holdings Co., Ltd. (z) 22,000 58
Fuji Heavy Industries, Ltd. 221,200 1,064
Fuji Machine Manufacturing Co., Ltd. 39,600 465
Fuji Photo Film Co., Ltd. 87,000 2,797
Fujikura, Ltd. (z) 22,000 119
Fujisawa Pharmaceutical Co., Ltd. 1,600 37
Fujitsu Support and Service, Inc. (z) 1,100 19
Fujitsu, Ltd. (z) 55,000 382
Fukuoka Sogo Bank (z) 58,000 196
Funai Electric Co., Ltd. 7,050 1,048
Furukawa Electric Co., Ltd. (z) 62,000 239
Futaba Corp. 12,300 322
Global Media Online, Inc. 100 5
Goodwill Group, Inc. (The) (z) 464 1,824
Gunze, Ltd. 7,000 34
Hankyu Department Stores (AE) 9,000 75
Haseko Corp. (z) 173,500 504
Hirose Electric Co., Ltd. 5,100 584
HIS Co., Ltd. 3,700 102
Hitachi Cable, Ltd. 36,000 181
Hitachi Chemical Co., Ltd. 3,700 68
Hitachi Construction Machinery Co., Ltd. (z) 4,000 54
Hitachi Maxell, Ltd. 21,000 304
Hitachi Zosen Corp. 41,500 78
Hitachi, Ltd. 524,000 3,678
Hokkaido Electric Power Co., Inc. 3,500 58
Hokuriku Electric Power Co. (z) 3,900 63
Honda Motor Co., Ltd. 128,100 5,140
Hoya Corp. 18,300 1,979
Isetan Co., Ltd. 44,000 607
Isuzu Motors, Ltd. 48,000 129
Itochu Corp. 377,000 1,595
Itochu Techno-Science Corp. 1,000 38
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ito-Yokado Co., Ltd. 37,000 1,538
Japan Radio Co., Ltd. (z) 33,000 139
Japan Retail Fund Investment Corp. (AE)(o) 51 338
Japan Tobacco, Inc. 72 575
JFE Holdings, Inc. 45,100 1,011
Joyo Bank (AE) 10,000 39
JSR Corp. 1,000 21
Kadokawa Holdings, Inc. 100 4
Kaken Pharmaceutical Co., Ltd. (z) 12,000 67
Kamigumi Co., Ltd. 32,000 222
Kaneka Corp. 22,000 203
Kansai Electric Power Co., Inc. (The) 55,500 971
Kao Corp. 104,000 2,482
Kawasaki Heavy Industries, Ltd. (z) 61,000 93
Kawasaki Kisen Kaisha, Ltd. 31,000 133
KDDI Corp. 345 2,065
Keio Teito Electric Railway (AE) 27,000 151
Keyence Corp. 3,300 792
Kobe Steel, Ltd. (z) 50,000 69
Kokuyo Co., Ltd. 1,100 14
Komatsu, Ltd. 30,000 171
Konica Minolta Holdings, Inc. 93,000 1,287
Koyo Seiko Co., Ltd. (z) 28,000 293
Kubota Corp. 59,000 256
Kuraya Sanseido, Inc. (z) 2,000 26
Kyocera Corp. 24,200 2,001
Kyorin Pharmaceutical Co., Ltd. 3,000 42
Kyowa Hakko Kogyo Co., Ltd. 1,000 7
Kyushu Electric Power Co., Inc. 13,400 231
Lawson, Inc. 48,800 1,830
Mabuchi Motor Co., Ltd. 28,900 1,992
Makita Corp. 16,000 216
Marubeni Corp. (z) 655,000 1,649
Marui Co., Ltd. 84,500 1,325
Matsumotokiyoshi Co., Ltd. (z) 51,600 1,561
Matsushita Electric Industrial Co., Ltd. 323,000 4,742
Meiji Dairies Corp. (AE) 9,000 42
Meiji Seika Kaisha, Ltd (AE)(z) 8,000 33
Meitec Corp. 5,900 208
Millea Holdings, Inc. 541 7,693
Minebea Co., Ltd. 316,000 1,543
Misawa Homes Holdings, Inc. (AE) 46,000 158
Mitsubishi Chemical Corp. 19,000 52
Mitsubishi Corp. 58,000 553
Mitsubishi Electric Corp. 433,000 2,188
Mitsubishi Estate Co., Ltd. 498,000 5,886
Mitsubishi Gas Chemical Co., Inc. 20,000 75
Mitsubishi Heavy Industries, Ltd. 197,000 542
Mitsubishi Motors Corp. (z) 114,000 282
</Table>
International Fund 31
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mitsubishi Rayon Co., Ltd. 85,000 298
Mitsubishi Securities Co., Ltd. (z) 36,000 465
Mitsubishi Tokyo Financial Group, Inc. 954 8,485
Mitsui & Co., Ltd. (z) 173,000 1,426
Mitsui Chemicals, Inc. 32,000 168
Mitsui Engineering & Shipbuilding Co., Ltd.
(AE)(z) 77,000 137
Mitsui Fudosan Co., Ltd. 92,000 1,012
Mitsui OSK Lines, Ltd. 180,000 787
Mitsui Sumitomo Insurance Co., Ltd. 385,000 3,623
Mitsui Trust Holdings, Inc. 19,000 134
Mitsumi Electric Co., Ltd. (z) 4,900 53
Mizuho Financial Group, Inc. 361 1,707
Murata Manufacturing Co., Ltd. (z) 84,200 5,521
Namco, Ltd. (z) 5,000 134
NEC Corp. 285,000 2,238
NEC Electronics Corp. 3,000 211
NEC System Intergration & Construction, Ltd. 9,400 89
Nichicon Corp. 16,500 192
Nichirei Corp. (AE) 90,000 300
Nidec Co.pal Corp. (z) 6,100 102
Nidec Corp. (z) 3,000 324
Nikko Cordial Corp. 256,000 1,456
Nikon Corp. (AE)(z) 59,000 690
Nintendo Co., Ltd. 5,200 491
Nippon Electric Glass Co., Ltd. (z) 82,000 1,931
Nippon Express Co., Ltd. 433,000 2,529
Nippon Kayaku Co., Ltd. 4,000 21
Nippon Light Metal Co. (AE)(z) 86,000 214
Nippon Meat Packers, Inc. 94,000 1,120
Nippon Oil Corp. 76,000 418
Nippon Sanso Corp. (AE)(z) 29,000 132
Nippon Shokubai Co., Ltd. (AE)(z) 15,000 108
Nippon Steel Corp. 313,000 655
Nippon Telegraph & Telephone Corp. 639 3,357
Nippon Yusen Kabushiki Kaisha (z) 27,000 110
Nishimatsu Construction Co., Ltd. (z) 14,000 49
Nishimatsuya Chain Co., Ltd. 900 33
Nissan Motor Co., Ltd. 400,900 4,462
Nissen Co., Ltd. 8,100 175
Nisshin Seifun Group, Inc. 1,000 9
Nisshin Steel Co., Ltd. (z) 106,000 213
Nisshinbo Industries, Inc. 6,000 39
Nitto Denko Corp. 37,000 2,054
NOK Corp. 34,500 1,334
Nomura Holdings, Inc. 280,000 4,544
Nomura Research Institute, Ltd. 2,700 279
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
NS Solutions Corp. 3,000 196
NTN Corp. 4,000 17
NTT DoCoMo, Inc. 132 262
OJI Paper Co., Ltd. 9,000 56
Okasan Holdings, Inc. 7,000 45
Olympus Corp. 11,000 213
Omron Corp. 51,600 1,257
Ono Pharmaceutical Co., Ltd. 1,700 73
Onward Kashiyama Co., Ltd. 2,000 30
ORIX Corp. 56,500 5,987
Pal Co., Ltd. 2,400 126
Pioneer Corp. 600 17
Promise Co., Ltd. 29,050 1,921
Resona Holdings, Inc. (z) 61,000 123
Ricoh Co., Ltd. 178,000 3,547
Rinnai Corp. 65,000 1,751
Rohm Co., Ltd. 19,000 2,370
Sammy Corp. (z) 6,300 266
Sanken Electric Co., Ltd. (z) 20,000 261
Sankyo Co., Ltd. 41,100 761
Sanyo Electric Co., Ltd. 51,000 231
Secom Co., Ltd. 35,900 1,538
Sega Corp. (z) 1,700 18
Seino Transportation Co., Ltd. 24,000 237
Sekisui Chemical Co., Ltd. 247,000 1,747
Sekisui House, Ltd. 188,300 1,995
Senshukai Co., Ltd. 7,000 74
SFCG Co., Ltd. (z) 12,830 2,631
Sharp Corp. 80,000 1,442
Shimachu Co., Ltd. 5,700 152
Shimamura Co. (AE) 4,600 379
Shin-Etsu Chemical Co., Ltd. 118,600 4,791
Shinko Electric Industries (z) 8,900 274
Shionogi & Co., Ltd. 22,000 346
Shiseido Co., Ltd. (z) 111,000 1,364
Shizuoka Bank, Ltd. (AE)(z) 3,000 26
Showa Shell Sekiyu KK 15,800 136
Skylark Co., Ltd. (z) 86,400 1,694
SMC Corp./Japan 9,900 1,134
Snow Brand Milk Products Co., Ltd. (z) 10,000 32
Softbank Corp. (AE)(z) 7,300 331
Sohgo Security Services Co., Ltd. (z) 63,300 846
Sompo Japan Insurance, Inc. 63,200 570
Sony Corp. (AE)(z) 65,400 2,529
Stanley Electric Co., Ltd. 21,400 404
Sumisho Lease Co., Ltd. 12,100 414
Sumitomo Bakelite Co., Ltd. (z) 211,400 1,384
Sumitomo Chemical Co., Ltd. 445,300 2,057
Sumitomo Corp. 52,000 399
Sumitomo Electric Industries, Ltd. (z) 35,000 323
</Table>
32 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Sumitomo Forestry Co., Ltd. 27,000 284
Sumitomo Heavy Industries, Ltd. (z) 84,000 220
Sumitomo Metal Industries, Ltd. 71,000 86
Sumitomo Mitsui Financial Group, Inc. (z) 1,054 7,961
Sumitomo Osaka Cement Co., Ltd. 151,000 377
Sumitomo Realty & Development Co., Ltd. (z) 199,000 2,233
Sumitomo Trust & Banking Co., Ltd. (The) (z) 24,000 144
Suruga Bank, Ltd. (The) 4,000 30
Suzuken Co., Ltd. 6,720 206
Suzuki Motor Corp. 61,000 962
Taiheiyo Cement Corp. 45,000 116
Taisei Corp. (z) 19,000 67
Takashimaya Co., Ltd. (z) 69,000 832
Takeda Chemical Industries, Ltd. 185,000 7,456
Takefuji Corp. (z) 1,640 104
Tanabe Seiyaku Co., Ltd. 3,000 29
TDK Corp. 57,000 4,068
Telewave, Inc. 10 87
THK Co., Ltd. (z) 57,600 1,114
TIS, Inc. (z) 2,400 91
Tobu Railway Co. (AE) 24,000 103
Toda Corp. 4,000 14
Tohoku Electric Power Co., Inc. 58,500 939
Tokyo Electric Power Co., Inc. (The) 53,800 1,152
Tokyo Electron, Ltd. 50,400 3,067
Tokyo Gas Co., Ltd. 96,000 356
Tokyo Steel Manufacturing Co., Ltd. (z) 3,800 64
Tokyu Corp. 128,000 639
Tomen Corp. (AE) 48,000 91
Toppan Printing Co., Ltd. (AE) 100,000 1,175
Toray Industries, Inc. (AE) 73,000 334
Toshiba Corp. (AE) 75,000 344
Tostem Inax Holding Corp. 4,000 76
Toyo Seikan Kaisha, Ltd. 11,000 199
Toyoda Gosei Co., Ltd. 7,000 191
Toyota Motor Corp. (AE) 294,800 10,653
Toyota Tsusho Corp. 2,000 20
Ube Industries, Ltd./Japan 47,000 80
UFJ Holdings, Inc. (z) 1,711 10,584
UFJ Tsubasa Securities Co., Ltd. (z) 21,000 99
Uni-Charm Corp. 6,900 326
Uniden Corp. 11,000 194
UNY Co., Ltd. 32,000 374
USS Co., Ltd. (z) 2,710 229
Victor Co. of Japan, Ltd. (z) 7,000 77
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Vodafone Holdings KK 78 184
West Japan Railway Co. (z) 568 2,207
World Co., Ltd. 2,600 88
Yahoo Japan Corp. (AE)(z) 85 962
Yahoo Japan Corp. (AE) 189 2,140
Yamada Denki Co., Ltd. (AE) 39,800 1,366
Yamaha Corp. 40,700 763
Yamaha Motor Co., Ltd. 153,000 2,187
Yamanouchi Pharmaceutical Co., Ltd. 23,600 787
Yamato Transport Co., Ltd. (z) 54,000 820
Yamazaki Baking Co., Ltd. (z) 6,000 59
Yaskawa Electric Corp. (AE) 130,000 1,047
Yokogawa Electric Corp. (z) 17,000 231
York-Benimaru Co., Ltd. Class D 6,800 210
Zexel Corp. (AE) 22,000 82
------------
296,096
------------
Luxembourg - 0.3%
Arcelor (z) 201,263 3,343
Millicom International Cellular SA (AE) 10,900 274
------------
3,617
------------
Mexico - 0.3%
America Movil SA de CV Class L - ADR 35,300 1,193
Coca-Cola Femsa SA de CV - ADR 52,200 1,110
Telefonos de Mexico SA de CV - ADR (z) 47,900 1,635
------------
3,938
------------
Netherlands - 5.2%
ABN AMRO Holding NV (z) 231,209 5,026
Aegon NV (z) 177,257 2,320
Akzo Nobel NV (z) 53,806 1,960
ASM International NV (AE)(z) 45,400 941
ASML Holding NV (AE) 110,600 1,760
Buhrmann NV (z) 42,900 405
DSM NV (z) 79,800 3,823
Euronext NV (z) 18,730 545
European Aeronautic Defense and Space Co. (z) 34,100 862
Getronics NV (z) 72,600 197
Heineken Holding NV Class A (z) 7,600 280
Heineken NV (z) 82,566 3,483
Hunter Douglas NV 2,118 101
IHC Caland NV 4,900 231
ING Groep NV (z) 333,354 7,143
Koninklijke Ahold NV 18,400 142
Koninklijke Philips Electronics NV (z) 190,408 5,184
Koninklijke Philips Electronics NV (z) 48,780 1,308
</Table>
International Fund 33
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
OCE NV (z) 11,900 200
Qiagen NV (AE) 12,100 147
Randstad Holdings NV (z) 30,400 812
Reed Elsevier NV (z) 153,632 2,158
Royal Dutch Petroleum Co. (z) 309,912 15,068
Royal Dutch Petroleum Co. 6,000 292
Royal KPN NV (z) 370,506 2,668
Royal Numico NV 75,779 2,098
TPG NV (z) 16,800 362
Unilever NV (z) 29,717 1,957
Vedior NV 3,200 46
VNU NV 87,412 2,445
Wolters Kluwer NV 110,185 1,855
------------
65,819
------------
New Zealand - 0.4%
Carter Holt Harvey, Ltd. 295,400 389
Telecom Corp. of New Zealand, Ltd. (z) 1,166,174 4,143
------------
4,532
------------
Norway - 0.6%
DNB NOR ASA (z) 129,363 819
Norsk Hydro ASA (z) 42,600 2,499
Norske Skogindustrier ASA (z) 11,800 215
Statoil ASA (z) 229,300 2,862
Telenor ASA (z) 106,700 700
Yara International ASA (AE) (z) 85,304 602
------------
7,697
------------
Portugal - 0.6%
Banco Comercial Portugues SA 571,806 1,329
Brisa-Auto Estradas de Portugal SA Class R 58,480 398
Electricidade de Portugal SA 672,512 1,837
Portugal Telecom SGPS SA 294,457 3,193
PT Multimedia Servicos de Telecomunicacoes e
Multimedia SGPS SA 18,500 420
Sonae SGPS SA 301,171 332
------------
7,509
------------
Russia - 0.2%
LUKOIL - ADR 8,900 970
Mobile TeleSystems - ADR (z) 7,700 831
YUKOS - ADR 13,000 579
------------
2,380
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Singapore - 1.7%
CapitaLand, Ltd. (z) 18,000 17
Chartered Semiconductor Manufacturing, Ltd.
(AE)(z) 66,000 58
City Developments, Ltd. 611,000 2,191
ComfortDelgro Corp., Ltd. 16,000 12
Creative Technology, Ltd. 3,900 41
DBS Group Holdings, Ltd. 531,400 4,467
Flextronics International, Ltd. (AE)(z) 109,900 1,769
Fraser and Neave, Ltd. Series D 15,000 117
Jardine Cycle & Carriage, Ltd. 21,000 83
Keppel Corp., Ltd. (z) 93,000 391
MobileOne, Ltd. 933,000 806
NatSteel, Ltd. (z) 44,400 58
Neptune Orient Lines, Ltd. (z) 523,000 599
Oversea-Chinese Banking Corp. 250,320 1,780
Overseas Union Enterprise, Ltd. 3,000 11
SembCorp Industries, Ltd. 65,000 55
Singapore Airlines, Ltd. 62,000 394
Singapore Exchange, Ltd. 54,000 52
Singapore Land, Ltd. 3,000 7
Singapore Press Holdings, Ltd. 148,100 1,828
Singapore Technologies Engineering, Ltd. 700,000 778
Singapore Telecommunications, Ltd. (z) 3,169,000 4,359
United Overseas Bank, Ltd. (z) 251,000 2,021
United Overseas Land, Ltd. (z) 14,000 15
Venture Corp., Ltd. 28,000 314
------------
22,223
------------
South Africa - 0.1%
MTN Group, Ltd. 102,600 427
Nedcor, Ltd. 93,924 804
Nedcor, Ltd. Rights (AE) 38,833 83
------------
1,314
------------
South Korea - 0.9%
Daewoo Heavy Industries & Machinery, Ltd. (AE) 74,640 573
Hanjin Shipping 10,900 153
Korea Electric Power Corp. - ADR (z) 125,600 1,179
KT Corp. - ADR 70,200 1,299
NCSoft Corp. 5,500 394
Nextel, Inc. (AE) 40,818 1,832
POSCO - ADR 25,200 775
Samsung Electronics - GDR 5,420 1,275
</Table>
34 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Samsung Electronics Co., Ltd. 9,530 4,524
Samsung Electronics Co., Ltd. - GDR 1,100 259
------------
12,263
------------
Spain - 4.0%
Acerinox SA (z) 15,212 784
ACS Actividades Cons y Serv 22,442 1,090
Altadis SA (z) 146,579 4,142
Amadeus Global Travel Distribution SA Class A
(z) 24,900 147
Antena 3 de Television SA (AE) 8,506 432
Banco Bilbao Vizcaya Argentaria SA (z) 344,365 4,543
Banco de Sabadell SA 33,700 695
Banco Popular Espanol SA (z) 15,318 845
Banco Santander Central Hispano SA (z) 530,423 5,695
Corp Mapfre SA (z) 71,880 861
Endesa SA (z) 159,657 2,925
Fomento de Construcciones y Contratas SA 5,000 178
Gamesa Corp. Tecnologica SA 33,400 1,384
Iberdrola SA 265,593 5,236
Iberia Lineas Aereas de Espana (z) 224,100 744
Inditex SA 58,000 1,261
Indra Sistemas SA 39,800 516
Repsol YPF SA (z) 138,200 2,910
Repsol YPF SA - ADR 93,883 1,960
Sogecable SA (AE)(z) 21,500 920
Telefonica SA (z) 931,017 13,847
Union Fenosa SA 7,200 150
------------
51,265
------------
Sweden - 2.2%
Assa Abloy AB Class B (z) 44,500 542
Atlas Copco AB Class A (z) 4,900 172
Atlas Copco AB Class B (z) 4,300 139
Autoliv, Inc. 43,269 1,842
Billerud AB (z) 5,200 83
Electrolux AB Series B (z) 53,000 1,048
ForeningsSparbanken AB (z) 57,300 1,069
Hennes & Mauritz AB Class B (z) 107,108 2,623
Investor AB Class B (z) 121,874 1,237
Nordea Bank AB 57,000 384
OMHEX AB (z) 8,400 113
Sandvik AB (z) 7,400 241
Securitas AB Class B (z) 59,600 859
Skandia Forsakrings AB (z) 452,448 1,778
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Skandinaviska Enskilda Banken AB Class A 8,800 128
Skanska AB Class B (z) 7,200 58
Song Networks Holding AB (AE) 31,600 204
Svenska Cellulosa AB Class B 42,700 1,675
Svenska Handelsbanken Class A (z) 59,250 1,145
Tele2 AB Class B (z) 2,700 123
Telefonaktiebolaget LM Ericsson Class B 3,541,024 9,600
TeliaSonera AB (z) 17,500 72
Volvo AB Series A (z) 5,400 178
Volvo AB Series B (z) 90,938 3,115
WM-data AB Class B (z) 25,000 56
------------
28,484
------------
Switzerland - 5.7%
ABB, Ltd. (z) 303,896 1,712
Actelion NV 4,700 516
Adecco SA (z) 14,016 627
Ciba Specialty Chemicals AG (z) 1,000 69
Clariant AG (z) 124,030 1,574
Compagnie Financiere Richemont AG Class A 200,785 5,167
Credit Suisse Group 212,372 7,488
Georg Fischer AG (z) 620 130
Givaudan (z) 800 398
Holcim, Ltd. 30,826 1,592
Logitech International SA 4,100 178
Lonza Group AG (z) 28,740 1,388
Nestle SA (z) 37,657 9,530
Novartis AG Class G 247,772 11,050
PubliGroupe SA 227 73
Roche Holding AG (z) 62,854 6,596
Serono SA (z) 1,630 977
STMicroelectronics NV (z) 21,300 469
Straumann Holding AG (z) 400 72
Sulzer AG (z) 1,869 485
Swatch Group AG Class B (z) 4,360 579
Swiss Life Holding (z) 8,719 1,191
Swiss Reinsurance 36,625 2,410
Swisscom AG (z) 4,948 1,537
Syngenta AG 14,400 1,153
Synthes-Stratec, Inc. (AE) 1,160 1,261
UBS AG (z) 124,843 8,876
Valora Holding AG (z) 533 125
Xstrata PLC 102,400 1,154
Zurich Financial Services AG (AE)(z) 27,347 4,326
------------
72,703
------------
</Table>
International Fund 35
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Taiwan - 0.2%
Taiwan Semiconductor Manufacturing Co., Ltd. -
ADR (AE)(z) 184,689 1,760
United Microelectronics Corp. - ADR (AE)(z) 190,410 990
------------
2,750
------------
Thailand - 0.1%
Advanced Info Service PCL 93,000 205
Bangkok Bank PCL 144,000 353
Siam Cement PCL 22,000 115
Siam Cement PCL 118,100 644
------------
1,317
------------
United Kingdom - 17.7%
3i Group PLC 160,922 1,724
Abbey National PLC 28,700 231
Alliance & Leicester PLC 14,200 211
Alliance Unichem PLC 9,000 95
Allied Domecq PLC 111,760 893
Amvescap PLC 6,200 41
Anglo American PLC (AE) 42,722 861
ARM Holdings PLC 49,600 103
Associated British Foods PLC 32,700 363
AstraZeneca PLC 134,639 6,384
AstraZeneca PLC 37,600 1,761
Avis Europe PLC 389,694 678
Aviva PLC 394,681 3,863
AWG PLC (AE) 37,299 384
BAA PLC 147,900 1,366
BAE Systems PLC (AE) 1,352,242 5,039
Barclays PLC 662,790 5,987
Barratt Developments PLC 28,200 309
BG Group PLC 1,205,261 6,975
BHP Billiton PLC 190,713 1,526
BOC Group PLC 120,526 1,941
Boots Group PLC 408,236 4,431
BP PLC 1,554,250 13,461
Bradford & Bingley PLC 48,300 245
Brambles Industries PLC 628,266 2,344
British Airways PLC 43,800 220
British American Tobacco PLC 133,200 2,023
British Land Co. PLC 54,700 631
British Sky Broadcasting PLC 469,844 5,559
BT Group PLC 688,200 2,182
Bunzl PLC 226,521 1,896
Cable & Wireless PLC 172,500 378
Cadbury Schweppes PLC 420,306 3,349
Canary Wharf Group PLC 1,000 5
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Centrica PLC 767,900 2,981
Cobham PLC 500 12
Colt Telecom Group PLC (AE) 10,800 14
Compass Group PLC 68,400 431
Corus Group PLC 492,983 324
Davis Service Group PLC 3,500 24
Diageo PLC 338,764 4,553
Dixons Group PLC 12,200 34
EMI Group PLC 279,000 1,279
Enterprise Inns PLC 193,900 2,101
Firstgroup PLC 7,200 34
Galen Holdings PLC 4,500 64
GKN PLC 856,134 3,483
GlaxoSmithKline PLC 695,843 14,427
GUS PLC 191,505 2,657
Hanson PLC 5,500 42
HBOS PLC 452,787 5,876
HHG PLC (AE)(z) 14,500 12
HMV Group PLC 39,000 165
HSBC Holdings PLC 534,640 7,674
HSBC Holdings PLC (z) 46,468 679
Imperial Chemical Industries PLC 71,500 278
Imperial Tobacco Group PLC 81,445 1,807
Inchcape PLC 13,200 352
InterContinental Hotels Group PLC (AE) 622,270 5,826
International Power PLC (AE) 104,700 261
InvenSystem PLC 370,800 128
ITV PLC 262,321 576
J Sainsbury PLC 426,767 2,111
Johnston Press PLC 2,500 24
Kelda Group PLC 24,600 203
Kesa Electricals PLC 86,655 434
Kingfisher PLC 507,466 2,554
Land Securities Group PLC 3,900 76
Lloyds TSB Group PLC 885,622 6,631
LogicaCMG PLC 51,500 199
Man Group PLC 38,816 1,164
Marks & Spencer Group PLC 619,878 3,042
MFI Furniture PLC 50,500 141
Mitchells & Butlers PLC (AE) 212,750 956
mmO2 PLC (AE) 152,600 271
Morrison WM Supermarkets 139,075 592
MyTravel Group PLC 233,200 36
National Grid Transco PLC 151,000 1,147
Northern Foods PLC 108,900 311
Old Mutual PLC 271,100 466
Pearson PLC 153,100 1,790
Pennon Group PLC 22,700 279
</Table>
36 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Persimmon PLC 88,700 1,034
Prudential PLC 153,690 1,210
Punch Taverns PLC 5,000 48
Reckitt Benckiser PLC Series C 51,800 1,349
Reed Elsevier PLC 109,900 1,025
Reuters Group PLC 320,900 2,126
Rexam PLC 236,654 1,920
Rio Tinto PLC 259,754 5,708
RMC Group PLC 74,000 774
Rolls-Royce Group PLC 118,300 487
Royal & Sun Alliance Insurance Group 790,327 1,127
Royal Bank of Scotland Group PLC 246,900 7,426
SABMiller PLC 6,800 74
Scottish & Newcastle PLC 22,000 161
Scottish & Southern Energy PLC 200,603 2,432
Scottish Power PLC 63,200 430
Shell Transport & Trading Co. PLC 1,382,430 9,553
Shire Pharmaceuticals PLC (AE) 77,200 712
Signet Group PLC 165,100 339
Smith & Nephew PLC 85,300 868
Smiths Group PLC 56,600 702
SSL International PLC 8,200 48
Stagecoach Group PLC 131,000 191
Standard Chartered PLC 176,308 2,706
Tate & Lyle PLC 83,300 450
Taylor Woodrow PLC 10,500 53
Tesco PLC 557,100 2,462
Trinity Mirror PLC 46,100 504
Unilever PLC 169,400 1,601
United Business Media PLC 108,511 887
United Utilities PLC 18,400 176
Vodafone Group PLC (AE) 7,652,486 18,626
Whitbread PLC 91,800 1,215
Willis Group Holdings, Ltd. 19,800 719
Wimpey George PLC 175,100 1,276
WPP Group PLC 9,000 89
------------
226,488
------------
United States - 0.1%
GlobalSantaFe Corp. (z) 38,000 1,002
------------
TOTAL COMMON STOCKS
(cost $992,682) 1,186,060
------------
LONG-TERM INVESTMENTS - 0.1%
Cayman Islands - 0.1%
SMFG Finance, Ltd. (144A)
2.250% due 07/11/05 39,000 943
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
United Kingdom - 0.0%
Credit Suisse Group Finance Guernsey, Ltd.
6.000% due 12/23/05 125 131
------------
TOTAL LONG-TERM INVESTMENTS
(cost $521) 1,074
------------
<Caption>
NOTIONAL
AMOUNT
$
------------
OPTIONS PURCHASED - 0.2%
(Number of Contracts)
Belgium - 0.2%
Bel 20 Index Futures
May 2004 2,475.53 (EUR) Call (180) 10,680 2,157
May 2004 2,478.89 (EUR) Call (6) 356 72
------------
2,229
------------
Switzerland - 0.0%
Swiss Market Index Futures
June 2004 5,622.00 (CHF) Put (39) 1,692 150
June 2004 5,804.00 (CHF) Put (4) 179 17
------------
167
------------
TOTAL OPTIONS PURCHASED
(cost $2,390) 2,396
------------
<Caption>
PRINCIPAL
AMOUNT ($)
OR SHARES
------------
PREFERRED STOCKS - 0.5%
Australia - 0.0%
News Corp., Ltd. (z) 81,508 698
------------
Brazil - 0.1%
Cia Vale do Rio Doce - ADR 6,000 235
Telecomunicacoes Brasileiras SA - ADR (z) 31,600 904
------------
1,139
------------
</Table>
International Fund 37
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Germany - 0.4%
Fresenius AG (z) 25,100 1,752
Fresenius Medical Care AG (z) 2,200 105
Porsche AG (AE) 124 77
ProSieben SAT.1 Media AG (z) 87,849 1,726
Wella AG (z) 9,393 856
------------
4,516
------------
South Korea - 0.0%
Samsung Electronics Co., Ltd. 260 72
------------
TOTAL PREFERRED STOCKS
(cost $4,728) 6,425
------------
SHORT-TERM INVESTMENTS - 33.7%
United States - 33.7%
Frank Russell Investment Company Money Market
Fund 33,382,001 33,382
Frank Russell Investment Company Money Market
Fund (V) 182,042,464 182,042
State Street Securities Lending Quality Trust
(V) 196,014,828 196,015
United States Treasury Bill (y)(s) 0.907% due
05/20/04 5,500 5,497
0.937% due 05/27/04 3,300 3,298
0.930% due 06/10/04 10,000 9,989
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $430,223) 430,223
------------
TOTAL INVESTMENTS - 127.3%
(identified cost $1,430,544) 1,626,178
OTHER ASSETS AND LIABILITIES,
NET - (27.3)% (349,050)
------------
NET ASSETS - 100.0% 1,277,128
============
</Table>
See accompanying notes which are an integral part of the financial statements.
38 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
CAC-40 Index (France)
expiration date 05/04 (36) 1,565 (14)
expiration date 06/04 (145) 6,281 130
DAX Index (Germany)
expiration date 06/04 (104) 12,399 189
DJ STOXX 50 Index (EMU)
expiration date 06/04 (438) 14,428 (205)
FTSE-100 Index (UK)
expiration date 06/04 (206) 16,419 16
Hang Seng Index (Hong Kong)
expiration date 05/04 (148) 11,200 (243)
IBEX Plus Index (Spain)
expiration date 05/04 (26) 2,511 (96)
SPI 200 Index (Australia)
expiration date 06/04 (57) 3,489 (46)
TOPIX Index (Japan)
expiration date 06/04 (258) 27,634 784
Short Positions
AEX Index (Germany)
expiration date 05/04 (34) 2,771 86
CAC-40 Index (France)
expiration date 05/04 (153) 6,651 139
FTSE-100 Index (UK)
expiration date 06/04 (95) 7,572 (77)
MIB-30 (Italy)
expiration date 06/04 (27) 4,479 (178)
SPI 200 Index (Australia)
expiration date 06/04 (95) 5,815 81
---------------
Total Unrealized Appreciation
(Depreciation) on Open Futures Contracts 566
===============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Belgium
Bel 20 Index Futures
May 2004 2,475.53 (EUR) Put (180) 10,680 (2,349)
May 2004 2,479.89 (EUR) Put (6) 357 (79)
Switzerland
Swiss Market Index Futures
June 2004 5,622.00 (CHF) Call (39) 1,692 (193)
June 2004 5,804.00 (CHF) Call (4) 179 (15)
---------------
Total Liability for Options Written (premiums
received $2,386) (2,636)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
International Fund 39
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 28 AUD 38 05/03/04 --
USD 93 AUD 128 05/04/04 --
USD 21 AUD 28 05/05/04 --
USD 36 AUD 50 05/05/04 --
USD 2 AUD 3 06/16/04 --
USD 146 AUD 200 06/16/04 (3)
USD 650 AUD 900 06/16/04 (4)
USD 719 AUD 1,000 06/16/04 (1)
USD 720 AUD 1,000 06/16/04 (2)
USD 733 AUD 1,000 06/16/04 (15)
USD 5,817 AUD 8,000 06/16/04 (72)
USD 119 CAD 164 05/03/04 --
USD 98 CAD 134 05/04/04 --
USD 67 CAD 92 05/05/04 --
USD 69 CHF 90 05/03/04 --
USD 236 CHF 308 05/03/04 2
USD 147 CHF 189 05/04/04 --
USD 147 CHF 190 05/04/04 --
USD 149 CHF 192 05/04/04 --
USD 838 CHF 1,085 05/04/04 (1)
USD 520 CHF 673 05/05/04 --
USD 19 CHF 25 06/16/04 --
USD 460 CHF 600 06/16/04 3
USD 6,188 CHF 7,900 06/16/04 (85)
USD 43 DKK 264 05/04/04 --
USD 107 DKK 663 05/05/04 --
USD 13 DKK 80 06/16/04 --
USD 131 DKK 800 06/16/04 (2)
USD 90 EUR 75 05/03/04 --
USD 152 EUR 127 05/03/04 1
USD 9 EUR 7 05/04/04 --
USD 19 EUR 16 05/04/04 --
USD 25 EUR 21 05/04/04 --
USD 41 EUR 34 05/04/04 --
USD 14 EUR 11 05/05/04 --
USD 25 EUR 21 05/05/04 --
USD 224 EUR 187 05/05/04 --
USD 493 EUR 412 05/05/04 1
USD 832 EUR 677 05/24/04 (21)
USD 175 EUR 147 06/16/04 --
USD 1,177 EUR 1,000 06/16/04 20
USD 1,197 EUR 1,000 06/16/04 --
USD 1,226 EUR 1,000 06/16/04 (30)
USD 2,322 EUR 1,900 06/16/04 (48)
USD 2,426 EUR 2,000 06/16/04 (33)
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 3,549 EUR 3,000 06/16/04 42
USD 6,323 EUR 5,200 06/16/04 (100)
USD 8,285 EUR 7,000 06/16/04 92
USD 13,489 EUR 11,050 06/16/04 (265)
USD 32,961 EUR 27,000 06/16/04 (649)
USD 104 GBP 59 05/04/04 1
USD 133 GBP 75 05/04/04 --
USD 835 GBP 471 05/05/04 1
USD 76 GBP 43 05/06/04 --
USD 357 GBP 200 06/16/04 (3)
USD 893 GBP 500 06/16/04 (9)
USD 1,412 GBP 798 06/16/04 --
USD 1,758 GBP 1,000 06/16/04 10
USD 1,767 GBP 1,000 06/16/04 1
USD 1,821 GBP 1,000 06/16/04 (52)
USD 5,304 GBP 3,000 06/16/04 2
USD 5,698 GBP 3,200 06/16/04 (39)
USD 7,142 GBP 4,000 06/16/04 (68)
USD 19,636 GBP 11,000 06/16/04 (181)
USD 20 HKD 156 05/04/04 --
USD 104 HKD 812 06/16/04 --
USD 128 HKD 1,000 06/16/04 --
USD 180 HKD 1,400 06/16/04 --
USD 82 HUF 17,175 05/05/04 --
USD 55 JPY 6,069 05/07/04 --
USD 92 JPY 10,147 05/07/04 --
USD 103 JPY 11,345 05/07/04 (1)
USD 583 JPY 63,957 05/07/04 (3)
USD 4 JPY 402 05/10/04 --
USD 24 JPY 2,672 05/10/04 --
USD 47 JPY 5,211 05/10/04 --
USD 63 JPY 6,901 05/10/04 --
USD 107 JPY 11,791 05/10/04 --
USD 571 JPY 60,000 06/16/04 (26)
USD 748 JPY 82,115 06/16/04 (4)
USD 907 JPY 100,000 06/16/04 --
USD 912 JPY 100,000 06/16/04 (5)
USD 945 JPY 100,000 06/16/04 (38)
USD 1,371 JPY 150,000 06/16/04 (10)
USD 1,413 JPY 150,000 06/16/04 (53)
USD 1,416 JPY 150,000 06/16/04 (56)
USD 3,650 JPY 400,000 06/16/04 (22)
USD 8,622 JPY 950,000 06/16/04 (5)
USD 9,383 JPY 1,040,000 06/16/04 50
USD 13,159 JPY 1,450,000 06/16/04 (8)
</Table>
See accompanying notes which are an integral part of the financial statements.
40 International Fund
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 130 NOK 894 05/05/04 --
USD 73 SEK 563 05/03/04 1
USD 75 SEK 573 05/03/04 --
USD 23 SEK 173 05/04/04 --
USD 64 SEK 489 05/04/04 --
USD 133 SEK 1,018 06/16/04 --
USD 55 SGD 93 05/03/04 --
USD 81 SGD 137 05/04/04 --
USD 100 SGD 171 05/04/04 --
USD 18 SGD 30 06/16/04 --
AUD 3 USD 2 05/03/04 --
AUD 9 USD 7 05/03/04 --
AUD 83 USD 60 05/03/04 (1)
AUD 555 USD 401 05/03/04 --
AUD 130 USD 94 05/04/04 --
AUD 442 USD 319 05/04/04 (1)
AUD 50 USD 36 05/05/04 --
AUD 200 USD 145 06/16/04 2
AUD 1,000 USD 746 06/16/04 27
AUD 1,700 USD 1,240 06/16/04 19
AUD 2,600 USD 1,946 06/16/04 79
CAD 1 USD 1 05/03/04 --
CAD 1,089 USD 811 05/06/04 17
CHF 0 USD -- 05/03/04 --
CHF 6 USD 4 05/03/04 --
CHF 25 USD 19 05/03/04 --
CHF 45 USD 35 05/03/04 --
CHF 943 USD 721 05/03/04 (7)
CHF 349 USD 269 05/04/04 --
CHF 643 USD 495 05/04/04 (1)
CHF 370 USD 286 05/05/04 --
CHF 1,431 USD 1,052 05/12/04 (52)
CHF 380 USD 288 05/25/04 (5)
CHF 1,449 USD 1,169 05/26/04 50
CHF 500 USD 383 06/16/04 (4)
CHF 6,400 USD 4,983 06/16/04 39
DKK 80 USD 13 05/03/04 --
DKK 196 USD 31 05/03/04 --
DKK 836 USD 134 05/04/04 --
DKK 535 USD 86 05/05/04 --
EUR 29 USD 35 05/03/04 --
EUR 42 USD 50 05/03/04 (1)
EUR 147 USD 176 05/03/04 --
EUR 241 USD 285 05/03/04 (4)
EUR 367 USD 438 05/03/04 (2)
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
EUR 400 USD 473 05/03/04 (7)
EUR 3,062 USD 3,623 05/03/04 (46)
EUR 140 USD 168 05/04/04 --
EUR 166 USD 198 05/04/04 (2)
EUR 328 USD 393 05/04/04 (2)
EUR 338 USD 404 05/04/04 (2)
EUR 594 USD 710 05/04/04 (3)
EUR 39 USD 47 05/05/04 --
EUR 97 USD 116 05/05/04 --
EUR 262 USD 314 05/05/04 --
EUR 677 USD 845 05/24/04 34
EUR 1,090 USD 1,286 05/25/04 (20)
EUR 1,000 USD 1,194 06/16/04 (2)
EUR 1,000 USD 1,232 06/16/04 35
EUR 1,300 USD 1,538 06/16/04 (18)
EUR 1,500 USD 1,853 06/16/04 58
EUR 2,000 USD 2,362 06/16/04 (31)
EUR 4,500 USD 5,498 06/16/04 112
EUR 10,000 USD 11,917 06/16/04 (51)
EUR 17,200 USD 20,445 06/16/04 (139)
GBP 6 USD 10 05/04/04 --
GBP 12 USD 21 05/04/04 --
GBP 74 USD 131 05/04/04 --
GBP 237 USD 419 05/04/04 (1)
GBP 798 USD 1,417 05/04/04 (1)
GBP 940 USD 1,666 05/04/04 (2)
GBP 23 USD 41 05/05/04 --
GBP 81 USD 143 05/06/04 --
GBP 240 USD 423 05/25/04 (3)
GBP 200 USD 360 06/16/04 6
GBP 700 USD 1,237 06/16/04 (1)
GBP 1,000 USD 1,763 06/16/04 (5)
GBP 1,000 USD 1,834 06/16/04 65
GBP 4,200 USD 7,490 06/16/04 62
GBP 6,700 USD 12,089 06/16/04 240
GBP 8,550 USD 15,121 07/30/04 57
HKD 812 USD 104 05/03/04 --
HKD 2,470 USD 317 05/03/04 --
HKD 217 USD 28 05/04/04 --
HKD 1,706 USD 219 05/04/04 --
HKD 1,000 USD 128 06/16/04 --
JPY 147 USD 1 05/06/04 --
JPY 358 USD 3 05/06/04 --
JPY 2,554 USD 23 05/06/04 --
JPY 6,474 USD 59 05/06/04 --
</Table>
See accompanying notes which are an integral part of the financial statements.
International Fund 41
FRANK RUSSELL INVESTMENT COMPANY
INTERNATIONAL FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
JPY 8,915 USD 81 05/06/04 1
JPY 79,750 USD 729 05/06/04 6
JPY 82,115 USD 748 05/06/04 4
JPY 155,607 USD 1,422 05/06/04 13
JPY 14,886 USD 135 05/07/04 --
JPY 30,835 USD 280 05/07/04 1
JPY 429,667 USD 3,907 05/07/04 14
JPY 32,140 USD 291 05/10/04 --
JPY 91,992 USD 845 05/24/04 12
JPY 59,396 USD 540 06/04/04 2
JPY 30,000 USD 278 06/16/04 7
JPY 100,000 USD 951 06/16/04 45
JPY 200,000 USD 1,828 06/16/04 14
JPY 230,000 USD 2,098 06/16/04 12
JPY 250,000 USD 2,346 06/16/04 78
JPY 500,000 USD 4,575 06/16/04 40
JPY 900,000 USD 8,439 06/16/04 276
NOK 73 USD 11 05/03/04 --
NOK 557 USD 80 05/03/04 (1)
NOK 1,487 USD 216 05/04/04 --
NOK 162 USD 24 05/05/04 --
NOK 576 USD 84 05/05/04 --
NOK 730 USD 104 05/25/04 (2)
NZD 228 USD 142 05/03/04 (1)
SEK 1,018 USD 134 05/03/04 --
SEK 1,922 USD 249 05/03/04 (2)
SEK 84 USD 11 05/04/04 --
SEK 676 USD 88 05/05/04 --
SEK 1,230 USD 159 05/25/04 (2)
SEK 3,000 USD 389 06/16/04 (3)
SEK 21,700 USD 2,850 06/16/04 12
SGD 30 USD 18 05/03/04 --
SGD 292 USD 171 05/04/04 --
SGD 700 USD 409 06/16/04 (3)
THB 3,453 USD 86 05/06/04 --
THB 4,870 USD 122 05/07/04 --
ZAR 996 USD 144 05/06/04 2
--------------
(674)
==============
</Table>
<Table>
<Caption>
% OF MARKET
INDUSTRY DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Auto and Transportation 6.4 81,133
Consumer Discretionary 13.1 167,865
Consumer Staples 5.2 65,895
Financial Services 22.2 283,609
Health Care 6.3 80,310
Integrated Oils 3.8 48,813
Materials and Processing 9.6 122,987
Miscellaneous 1.3 16,011
Options 0.2 2,396
Other Energy 4.9 62,266
Producer Durables 6.0 76,361
Technology 4.7 60,331
Utilities 9.9 126,904
Short-Term Investments 33.6 430,223
Long-Term Investments 0.1 1,074
--------------- ---------------
Total Investments 127.3 1,626,178
Other Assets and Liabilities, net (27.3) (349,050)
--------------- ---------------
Net Assets 100.0 1,277,128
=============== ===============
<Caption>
GEOGRAPHIC DIVERSIFICATION % OF MARKET
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Africa 0.1 1,314
Asia 9.0 114,582
Europe 41.5 530,005
Japan 23.2 296,091
Latin America 0.5 6,575
Middle East 0.1 780
United Kingdom 17.7 226,489
Options 0.2 2,396
Other 1.3 16,649
Short-Term Investments 33.6 430,223
Long-Term Investments 0.1 1,074
--------------- ---------------
Total Investments 127.3 1,626,178
Other Assets and Liabilities, net (27.3) (349,050)
--------------- ---------------
Net Assets 100.0 1,277,128
=============== ===============
</Table>
See accompanying notes which are an integral part of the financial statements.
42 International Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 103.2%
Asset-Backed Securities - 12.0%
ABSC Manufactured Housing Contract
Series 2004-OK1 Class A4
5.019% due 04/16/30 845 693
ABSC NIMs Trust (y)
Series 2003-HE7 Class A
7.000% due 12/15/33 549 552
Series 2004-HE1 Class A
7.000% due 01/17/34 464 466
American Airlines, Inc.
7.858% due 10/01/11 325 329
American Express Master Trust (E)
Series 2001-1 Class A
1.253% due 09/15/05 3,580 3,581
Series 2002-1 Class A
1.233% due 12/15/05 945 946
AmeriCredit Automobile Receivables Trust (E)
Series 2002-A Class A3
1.320% due 10/12/06 2,000 2,000
Amortizing Residential Collateral Trust (E)
Series 2002-BC5 Class A
1.420% due 07/25/32 363 364
Argent NIM Trust
Series 2004-WN2 Class A
4.550% due 04/25/34 410 410
Bank One Issuance Trust
Series 2003-C3 Class C3
4.770% due 02/16/16 2,345 2,223
Series 2004-A1 Class A1
3.450% due 10/17/11 1,275 1,244
Series 2004-A2 Class A2
1.120% due 10/15/09 1,670 1,670
BMW Floorplan Master Owner Trust (E)
Series 2003-1A Class A
1.150% due 10/17/08 1,890 1,891
Capital Auto Receivables Asset Trust (E)
Series 2002-5 Class A2A
1.223% due 01/18/05 31 31
Capital One Multi-Asset Execution Trust
Series 2004-C1 Class C1
3.400% due 11/16/09 1,040 1,030
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust
Series 2003-2 Class B
2.460% due 06/15/10 1,445 1,450
Series 2004-1 Class A4
1.170% due 08/17/09 (z) 1,340 1,341
Carmax Auto Owner Trust
Series 2003-2 Class C
2.750% due 10/15/10 680 680
Chase Credit Card Master Trust (E)
Series 2001-6 Class A
1.293% due 03/16/09 2,225 2,231
Series 2003-1 Class A
1.170% due 04/15/08 2,065 2,066
Chase Funding Mortgage Loan Asset-Backed
Certificates (E)
Series 2003-4 Class 1A1
1.261% due 09/25/17 1,079 1,079
Series 2004-1 Class 1A1
1.201% due 11/25/18 804 804
Series 2004-1 Class 2A1
1.201% due 09/25/21 1,937 1,937
Series 2004-1 Class 2A2
1.321% due 12/25/33 1,240 1,240
Chase Funding Net Interest Margin
Series 2003-5A
5.750% due 11/27/34 182 182
Chesapeake Funding LLC (E)
Series 2002-1 Class A1
1.320% due 06/07/07 894 894
Citibank Credit Card Issuance Trust
Series 2001-A6 Class A6
5.650% due 06/16/08 1,400 1,484
Series 2003-A4 Class A4
1.240% due 03/20/09 2,390 2,393
Series 2003-C4 Class C4
5.000% due 06/10/15 1,875 1,800
CNH Wholesale Master Note Trust (E)
Series 2003-1 Class A
1.363% due 08/15/08 3,745 3,743
College Loan Corp. Trust (E)
Series 2003-2 Class A2
1.295% due 01/25/12 3,065 3,068
Collegiate Funding Services Education Loan Trust
I (E)
1.233% due 03/28/12 1,052 1,052
Series 2003-B Class A1
1.292% due 09/30/13 1,184 1,184
</Table>
Fixed Income I Fund 43
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Continental Airlines, Inc.
6.900% due 01/02/18 720 708
6.545% due 02/02/19 351 342
Countrywide Asset-Backed Certificates
Series 2003-5 Class AF1B
1.280% due 08/25/22 (E) 1,333 1,333
Series 2003-5NF Class NF
6.750% due 02/25/34 (y) 374 378
Series 2004-1 Class 3A
1.390% due 04/25/34 (E) 1,113 1,115
Series 2004-2 Class 3A1
1.170% due 04/25/23 (E) 1,166 1,166
Credit-Based Asset Servicing and Securitization
(E)
Series 2004-CB1 Class AV2
1.280% due 02/25/34 1,056 1,056
Daimler Chrysler Master Owner Trust (E)
Series 2003-A Class A
1.213% due 02/15/08 1,700 1,701
Discover Card Master Trust I (E)
Series 2000-2 Class A
1.300% due 09/18/07 3,620 3,626
Series 2002-1 Class A
1.233% due 07/15/07 5,435 5,438
Distribution Financial Services Floorplan Master
Trust (E)
Series 2003-2 Class A
1.263% due 04/15/08 2,255 2,259
Equifirst Mortgage Loan Trust (E)
Series 2004-1 Class 2A1
1.190% due 01/25/34 962 961
Federal Housing Authority: Project Citi 68 (E)
7.000% due 06/27/21 607 623
First Franklin NIM Trust
Series 2002-FF1 Class A
7.870% due 04/25/32 71 72
First National Master Note Trust (E)
Series 2003-1 Class A
1.200% due 08/15/08 660 661
Fleet Credit Card Master Trust II
Series 2001-C Class A
3.860% due 03/15/07 970 979
Ford Credit Auto Owner Trust (E)
Series 2002-A Class A3B
1.220% due 01/15/06 554 554
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust (E)
Series 2001-1 Class A
1.190% due 07/17/06 3,075 3,076
GMAC Mortgage Corp. Loan Trust (E)
Series 1999-1 Class A
1.390% due 06/18/27 1,051 1,052
Series 2003-HE1 Class A1
1.190% due 04/25/33 2,055 2,056
Series 2004-HE1 Class A1
1.180% due 06/25/34 1,130 1,131
Green Tree Financial Corp.
Series 1995-5 Class M1
7.650% due 09/15/26 1,065 1,116
GSAMP Trust
Series 2004-FM1N Class NOTE
5.250% due 11/25/33 651 650
HFC Home Equity Loan Asset Backed Certificates
(E)
Series 2003-1 Class A
1.450% due 10/20/32 780 782
MBNA Credit Card Master Note Trust
Series 2002-C1 Class C1
6.800% due 07/15/14 1,375 1,496
MBNA Master Credit Card Trust USA (E)
Series 2000-C Class A
1.260% due 07/15/07 390 391
Merrill Lynch Mortgage Investors, Inc. (E)
Series 2004-WMC1 Class A2
1.390% due 10/25/34 1,600 1,604
Morgan Stanley ABS Capital I (E)
Series 2004-HE2 Class A3
1.230% due 03/25/34 2,205 2,205
Navistar Financial Corp. Owner Trust (E)
Series 2003-B Class A3
1.300% due 04/15/08 840 840
Nelnet Education Loan Funding, Inc.
Series 2004-1A Class A1A
1.260% due 05/25/19 1,555 1,554
Nelnet Student Loan Trust (E)
Series 2002-2 Class A2
1.140% due 06/25/11 629 630
Series 2003-2 Class A2
1.191% due 10/25/13 1,158 1,158
</Table>
44 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Nissan Auto Lease Trust (E)
Series 2003-A Class A3A
1.240% due 06/15/09 1,740 1,742
Nissan Master Owner Trust Receivables (E)
Series 2003-A Class A1
1.160% due 09/15/08 4,035 4,038
North Carolina State Education Authority (E)
Series 2000-2000 Class G
1.280% due 06/01/09 181 182
Northstar Education Finance, Inc. (E)
Series 2004-1 Class A1
1.170% due 01/28/11 945 945
Novastar NIM Trust
Series 2004-N1 Class NOTE
4.458% due 02/25/34 929 929
NPF XII, Inc. (O)
Series 2002-1A Class A
2.390% due 05/02/05 3,235 226
Residential Asset Mortgage Products, Inc. (E)
Series 2002-RS5 Class AII
1.470% due 09/25/32 781 783
Series 2003-RS1 Class AII
1.490% due 02/25/33 1,224 1,228
Series 2003-RS2 Class AII
1.440% due 03/25/33 1,195 1,198
Series 2003-RS3 Class AII
1.460% due 04/25/33 964 967
Series 2003-RS4 Class AI1
1.190% due 11/25/20 590 590
Series 2003-RS4 Class AIIB
1.430% due 05/25/33 1,584 1,588
Series 2003-RS6 Class AI1
1.230% due 02/25/21 1,079 1,079
Series 2004-RS2 Class AI1
1.230% due 01/25/24 1,660 1,659
Series 2004-RS2 Class AIIB
1.350% due 02/25/34 2,524 2,524
Saxon Asset Securities Trust (E)
Series 2004-1 Class A
1.361% due 03/25/35 1,488 1,488
SLM Student Loan Trust (E)
Series 2003-11 Class A2
1.160% due 03/15/13 2,255 2,256
Series 2003-12 Class A1
1.120% due 06/15/09 1,761 1,761
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-5 Class A2
1.140% due 12/17/12 2,305 2,305
Series 2003-7 Class A2
1.140% due 09/16/13 3,010 3,010
Series 2003-B Class A1
1.210% due 09/15/17 1,255 1,256
Series 2004-2 Class A2
1.190% due 04/25/13 1,580 1,580
Series 2004-A Class A1
1.180% due 03/15/17 1,685 1,685
Small Business Administration
7.449% due 08/01/10 343 374
Specialty Underwriting & Residential Finance (E)
Series 2003-BC1 Class A
1.430% due 01/25/34 806 808
Structured Asset Investment Loan Trust (E)
Series 2003-BC5 Class 1A1
1.220% due 06/25/33 676 676
Structured Asset Securities Corp. (E)
Series 2003-BC1 Class A
1.600% due 05/25/32 1,110 1,113
Superior Wholesale Inventory Financing Trust (E)
Series 2000-A Class A
1.270% due 04/15/07 2,530 2,533
Tenaska Alabama II Partners, LP
6.125% due 03/30/23 266 265
Toyota Auto Receivables Owner Trust (E)
Series 2001-A Class A4
1.210% due 09/17/07 1,167 1,168
Triad Auto Receivables Owner Trust (E)
Series 2003-A Class A3
1.290% due 07/12/07 1,505 1,505
Wachovia Asset Securitization, Inc. (E)
Series 2003-HE3 Class A
1.350% due 11/25/33 618 617
------------
132,849
------------
Corporate Bonds and Notes - 17.6%
Alabama Power Co.
Series Y
2.800% due 12/01/06 750 744
Altria Group, Inc. (z)
7.000% due 07/15/05 1,100 1,153
</Table>
Fixed Income I Fund 45
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Amerada Hess Corp.
7.300% due 08/15/31 205 209
American Axle & Manufacturing, Inc. (y)
5.025% due 02/11/14 775 759
American Electric Power Co., Inc.
Series C
5.375% due 03/15/10 755 781
American RE Corp.
Series B
7.450% due 12/15/26 545 589
Argent NIM Trust
4.459% due 03/25/34 460 460
Arrow Electronics, Inc.
6.875% due 07/01/13 335 352
AT&T Corp.
8.050% due 11/15/11 55 60
8.750% due 11/15/31 820 868
AT&T Wireless Services, Inc.
8.750% due 03/01/31 1,205 1,470
BAE Systems Holdings, Inc.
6.400% due 12/15/11 810 863
Bank of America Corp.
7.800% due 02/15/10 40 47
6.250% due 04/15/12 990 1,076
4.875% due 09/15/12 955 945
Bank One Corp. (z)
2.625% due 06/30/08 1,115 1,061
5.250% due 01/30/13 765 766
BankBoston Corp.
Series B
8.250% due 12/15/26 170 190
BCI US Funding Trust (p)
8.010% due 12/29/49 505 573
Bear Stearns Cos., Inc. (The)
2.875% due 07/02/08 1,290 1,235
Bellsouth Capital Funding
7.875% due 02/15/30 1,000 1,173
Boeing Capital Corp. (z)
6.100% due 03/01/11 150 160
5.800% due 01/15/13 440 456
Boeing Co. (The)
5.125% due 02/15/13 685 682
Bristol-Myers Squibb Co.
5.750% due 10/01/11 860 908
Burlington Northern Santa Fe Corp.
6.875% due 12/01/27 80 86
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Cadbury Schweppes US Finance LLC
3.875% due 10/01/08 1,210 1,197
Campbell Soup Co.
5.875% due 10/01/08 165 177
Caterpillar Financial Services Corp. (z)
4.875% due 06/15/07 460 482
CenterPoint Energy Houston Electric LLC
Series J2
5.700% due 03/15/13 195 201
Cincinnati Gas & Electric
5.700% due 09/15/12 275 284
CIT Group, Inc.
5.750% due 09/25/07 160 170
6.875% due 11/01/09 80 89
Citicorp
7.250% due 10/15/11 455 522
Citigroup, Inc.
3.500% due 02/01/08 985 979
7.250% due 10/01/10 7,130 8,143
Columbus Southern Power Co.
Series C
5.500% due 03/01/13 80 81
Comcast Cable Communications Holdings, Inc.
9.455% due 11/15/22 2,280 2,964
Comcast Corp.
5.850% due 01/15/10 135 142
Constellation Energy Group, Inc. (z)
6.125% due 09/01/09 380 408
Countrywide Home Loans, Inc.
3.250% due 05/21/08 (z) 905 879
Series MTNH
6.250% due 04/15/09 890 963
Series MTNK
5.500% due 02/01/07 100 105
COX Communications, Inc.
6.750% due 03/15/11 555 606
Credit Suisse First Boston USA, Inc.
4.625% due 01/15/08 155 160
3.875% due 01/15/09 785 775
5.500% due 08/15/13 95 96
5.125% due 01/15/14 (z) 745 729
CVS Corp.
5.625% due 03/15/06 440 463
DaimlerChrysler NA Holding Corp.
4.050% due 06/04/08 1,155 1,135
8.500% due 01/18/31 410 474
Detroit Edison Co.
6.125% due 10/01/10 165 177
6.350% due 10/15/32 105 107
</Table>
46 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Devon Energy Corp.
2.750% due 08/01/06 1,225 1,218
Dominion Resources, Inc.
Series B
6.250% due 06/30/12 90 96
Dow Chemical Co. (The)
7.375% due 11/01/29 400 443
DPL, Inc.
8.250% due 03/01/07 230 239
Dresdner Funding Trust I
8.151% due 06/30/31 385 442
DTE Energy Co.
6.450% due 06/01/06 475 505
Duke Capital Corp.
4.302% due 05/18/06 165 169
Duke Capital LLC
5.500% due 03/01/14 840 813
Duke Energy Field Services LLC
5.750% due 11/15/06 50 53
7.875% due 08/16/10 1,605 1,855
6.875% due 02/01/11 35 39
Duke Realty, LP (z)
5.875% due 08/15/12 665 696
EI Du Pont de Nemours & Co.
8.250% due 09/15/06 795 892
Eli Lilly & Co.
6.770% due 01/01/36 475 531
Enterprise Products Partners, LP
7.500% due 02/01/11 620 692
Series B
6.875% due 03/01/33 1,975 1,949
EOP Operating, LP
7.000% due 07/15/11 850 943
Exelon Generation Co. LLC
5.350% due 01/15/14 1,885 1,847
FedEx Corp.
7.600% due 07/01/97 150 164
Fifth Third Bank Michigan
7.750% due 08/15/10 450 477
First Bank National Assn
5.700% due 12/15/08 70 75
FirstEnergy Corp.
Series B
6.450% due 11/15/11 410 432
Series C
7.375% due 11/15/31 230 242
FleetBoston Financial Corp.
4.875% due 12/01/06 890 931
Ford Motor Co.
6.375% due 02/01/29 185 161
8.900% due 01/15/32 470 522
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ford Motor Credit Co.
6.500% due 01/25/07 1,460 1,548
7.375% due 10/28/09 1,915 2,070
7.875% due 06/15/10 445 489
7.375% due 02/01/11 720 770
FPL Group Capital, Inc. (z)
6.125% due 05/15/07 855 921
General Electric Capital Corp.
3.250% due 06/15/09 1,500 1,442
Series MTNA
4.250% due 12/01/10 2,740 2,680
6.000% due 06/15/12 1,765 1,882
General Electric Co.
5.000% due 02/01/13 2,935 2,918
General Motors Acceptance Corp.
6.125% due 09/15/06 (z) 1,780 1,878
7.250% due 03/02/11 3,330 3,580
6.875% due 09/15/11 3,165 3,322
7.000% due 02/01/12 1,130 1,189
6.875% due 08/28/12 1,520 1,585
8.000% due 11/01/31 2,215 2,338
General Motors Corp.
8.375% due 07/15/33 730 790
Golden West Financial Corp.
4.125% due 08/15/07 270 279
Goldman Sachs Group, Inc.
7.350% due 10/01/09 745 849
6.875% due 01/15/11 505 562
4.750% due 07/15/13 995 947
5.250% due 10/15/13 3,930 3,863
6.345% due 02/15/34 380 363
Harsco Corp.
5.125% due 09/15/13 215 213
Historic TW, Inc.
9.125% due 01/15/13 235 290
8.050% due 01/15/16 460 532
6.950% due 01/15/28 1,230 1,260
HJ Heinz Finance Co.
6.750% due 03/15/32 165 180
Household Finance Corp.
5.750% due 01/30/07 2,030 2,162
4.125% due 12/15/08 575 575
7.000% due 05/15/12 1,745 1,955
6.375% due 11/27/12 285 307
HVB Funding Trust I
8.741% due 06/30/31 485 588
</Table>
Fixed Income I Fund 47
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
International Lease Finance Corp.
6.375% due 03/15/09 250 272
Series MTNO
4.000% due 01/17/06 1,330 1,363
4.375% due 11/01/09 1,865 1,870
International Paper Co.
4.000% due 04/01/10 (z) 1,330 1,278
5.500% due 01/15/14 310 307
ITT Industries, Inc.
7.400% due 11/15/25 225 252
JP Morgan & Co., Inc.
Series MTNA
6.000% due 01/15/09 260 279
JP Morgan Chase & Co.
5.350% due 03/01/07 390 412
6.750% due 02/01/11 1,160 1,296
5.750% due 01/02/13 285 295
Kellogg Co.
Series B
6.600% due 04/01/11 700 778
Kerr-McGee Corp.
6.875% due 09/15/11 1,000 1,092
Keycorp
7.500% due 06/15/06 875 958
Kinder Morgan, Inc.
6.500% due 09/01/12 555 597
Kraft Foods, Inc.
4.000% due 10/01/08 1,845 1,837
5.250% due 10/01/13 830 823
Kroger Co. (z)
7.500% due 04/01/31 65 72
Legg Mason, Inc.
6.750% due 07/02/08 405 444
Lehman Brothers Holdings, Inc.
6.625% due 01/18/12 300 331
Liberty Media Corp.
3.500% due 09/25/06 3,345 3,351
5.700% due 05/15/13 35 35
Liberty Property-LP
7.250% due 03/15/11 410 461
Lockheed Martin Corp.
8.200% due 12/01/09 140 166
8.500% due 12/01/29 205 259
Manufacturers & Traders Trust Co.
8.000% due 10/01/10 995 1,175
Merrill Lynch & Co., Inc. (z)
Series MTNB
3.125% due 07/15/08 1,525 1,475
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Miller Brewing Co.
5.500% due 08/15/13 275 278
Monumental Global Funding II
3.850% due 03/03/08 320 321
Morgan Stanley
3.875% due 01/15/09 940 926
6.750% due 04/15/11 345 381
4.750% due 04/01/14 2,720 2,541
Natexis Ambs Co. LLC (p)
8.440% due 12/29/49 300 346
National City Bank
Series BKNT
2.375% due 08/15/06 1,725 1,707
National Rural Utilities Cooperative Fin
5.750% due 08/28/09 1,155 1,231
NB Capital Trust IV
8.250% due 04/15/27 180 200
News America Holdings
7.750% due 01/20/24 1,205 1,379
7.750% due 12/01/45 175 201
7.900% due 12/01/95 250 282
8.250% due 10/17/96 70 83
News America, Inc.
6.750% due 01/09/38 45 50
Nisource Finance Corp.
7.875% due 11/15/10 265 308
Norfolk Southern Corp.
6.200% due 04/15/09 875 948
7.050% due 05/01/37 355 380
7.900% due 05/15/97 165 190
Northern States Power Co.
Series B
8.000% due 08/28/12 1,060 1,275
Occidental Petroleum Corp.
9.250% due 08/01/19 215 289
Ohio Power Co. (z)
Series F
5.500% due 02/15/13 45 46
Oncor Electric Delivery Co.
6.375% due 05/01/12 25 27
7.250% due 01/15/33 245 273
Pacific Gas & Electric Co.
1.810% due 04/03/06 (E) 1,600 1,601
3.600% due 03/01/09 125 121
4.200% due 03/01/11 115 110
6.050% due 03/01/34 1,385 1,310
Pacificorp
4.300% due 09/15/08 995 1,002
</Table>
48 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Pemex Project Funding Master Trust
7.375% due 12/15/14 600 627
8.625% due 02/01/22 100 107
PNC Funding Corp.
7.500% due 11/01/09 445 512
Principal Life, Income Funding Trusts
5.100% due 04/15/14 1,450 1,428
Progress Energy, Inc.
6.750% due 03/01/06 960 1,026
7.100% due 03/01/11 295 329
7.750% due 03/01/31 95 108
7.000% due 10/30/31 210 220
PSEG Power LLC
7.750% due 04/15/11 1,375 1,583
6.950% due 06/01/12 1,020 1,127
Raytheon Co.
6.750% due 08/15/07 975 1,068
RBS Capital Trust I (p)
4.709% due 12/29/49 750 708
Resolution Funding Corp.
Series A
8.125% due 10/15/19 425 542
8.875% due 07/15/20 1,995 2,720
8.625% due 01/15/21 545 713
8.625% due 01/15/30 240 344
Safeway, Inc.
7.250% due 02/01/31 45 48
Simon Property Group, LP
4.875% due 03/18/10 1,100 1,115
SLM Corp.
5.375% due 05/15/14 1,610 1,606
Southern California Edison Co.
8.000% due 02/15/07 1,195 1,340
Sovereign Bank
5.125% due 03/15/13 440 429
Sprint Capital Corp.
6.125% due 11/15/08 1,755 1,879
8.375% due 03/15/12 110 129
6.875% due 11/15/28 420 412
8.750% due 03/15/32 5,020 5,996
SunTrust Banks, Inc.
6.250% due 06/01/08 (z) 160 174
6.000% due 02/15/26 1,100 1,164
Tele-Communications-TCI Group
9.800% due 02/01/12 465 594
7.875% due 08/01/13 565 652
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Time Warner Entertainment Co., LP
Series*
8.375% due 07/15/33 1,305 1,560
Time Warner, Inc.
6.750% due 04/15/11 875 952
6.875% due 05/01/12 1,480 1,618
7.625% due 04/15/31 855 936
Travelers Property Casualty Corp.
5.000% due 03/15/13 180 176
Unilever Capital Corp.
5.900% due 11/15/32 330 321
Univision Communications, Inc.
3.500% due 10/15/07 840 831
US Bank National Association
Series BKNT
5.625% due 11/30/05 560 592
Verizon Florida, Inc.
Series F
6.125% due 01/15/13 165 173
Verizon Global Funding Corp. (z)
7.750% due 12/01/30 3,600 4,119
Verizon Maryland, Inc.
Series A
6.125% due 03/01/12 1,295 1,375
Verizon Wireless Capital LLC
1.190% due 05/23/05 700 699
5.375% due 12/15/06 905 955
Viacom, Inc.
7.700% due 07/30/10 685 794
Virginia Electric and Power Co.
Series A
5.750% due 03/31/06 500 527
5.375% due 02/01/07 1,300 1,368
Vornado Realty, LP
5.625% due 06/15/07 715 763
Wachovia Corp.
6.550% due 10/15/35 370 395
Washington Mutual, Inc.
2.400% due 11/03/05 2,320 2,320
Wells Fargo & Co.
4.950% due 10/16/13 195 191
Weyerhaeuser Co.
6.125% due 03/15/07 1,265 1,354
6.750% due 03/15/12 115 126
7.375% due 03/15/32 1,615 1,769
Wyeth
5.500% due 03/15/13 85 85
5.500% due 02/01/14 345 344
Yum! Brands, Inc.
8.875% due 04/15/11 130 158
</Table>
Fixed Income I Fund 49
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Zurich Capital Trust I
8.376% due 06/01/37 1,785 1,998
------------
195,410
------------
International Debt - 6.0%
Abbey National PLC Step Up Bond (p)
6.700% due 06/29/49 720 783
ACE, Ltd.
6.000% due 04/01/07 700 748
Amvescap PLC
6.600% due 05/15/05 900 937
Anthracite CDO I, Ltd.
Series 2004-1A Class DFX
5.060% due 03/23/39 665 645
AXA
8.600% due 12/15/30 1,480 1,839
Banque Centrale de Tunisie
8.250% due 09/19/27 550 612
British Sky Broadcasting PLC
8.200% due 07/15/09 305 356
British Telecommunications PLC
8.875% due 12/15/30 860 1,088
Chalet Finance PLC (y)(E)
Series 2003-2A Class A1
1.363% due 11/26/13 1,190 1,191
Chile Government International Bond
5.625% due 07/23/07 920 971
Conoco Funding Co.
6.350% due 10/15/11 810 893
Credit-Based Asset Servicing and Securitization
CBO, Ltd.
1.470% due 04/08/39 2,465 2,465
Crest, Ltd. (y)
Series 2003-2A Class C2
5.709% due 12/28/38 1,710 1,706
Crusade Global Trust (E)
Series 2004-1 Class A1
1.254% due 01/16/35 1,463 1,463
DBS Capital Funding Corp. (p)
7.657% due 03/15/49 305 345
Deutsche Telekom International Finance BV
8.500% due 06/15/10 1,170 1,382
8.750% due 06/15/30 1,470 1,826
Diageo Finance BV
3.000% due 12/15/06 955 954
Export Import Bank of Korea
4.125% due 02/10/09 280 276
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
France Telecom Step Up Bond
8.200% due 03/01/06 340 370
8.750% due 03/01/11 930 1,099
9.500% due 03/01/31 1,185 1,520
G-Force CDO, Ltd.
Series 2003-1A Class CFX
5.700% due 12/25/38 765 750
Granite Mortgages PLC (E)
Series 2003-1 Class 1A2
1.340% due 01/20/20 1,717 1,718
Series 2003-2 Class 1A2
1.280% due 07/20/20 1,820 1,820
Holmes Financing PLC (E)
Series 2001-3 Class 2A
1.300% due 01/15/07 2,485 2,485
Series 2002-6 Class 2A
1.310% due 04/15/08 4,600 4,598
Intelsat, Ltd. (z)
6.500% due 11/01/13 490 449
Inter-American Development Bank
5.375% due 01/18/06 1,285 1,352
Interstar Millennium Trust (E)
Series 2003-5G Class A2
1.400% due 01/20/36 1,614 1,615
Series 2004-2G Class A
1.311% due 03/14/36 1,400 1,400
Korea Development Bank
5.250% due 11/16/06 790 827
4.250% due 11/13/07 105 106
Korea Electric Power Corp.
5.125% due 04/23/34 140 136
Medallion Trust (E)
Series 2003-1G Class A
1.300% due 12/21/33 1,141 1,143
Series 2004-1G Class A1
1.230% due 05/25/35 1,580 1,580
Mexico Government International Bond
6.375% due 01/16/13 700 709
5.875% due 01/15/14 (z) 1,245 1,205
8.125% due 12/30/19 (z) 900 979
8.300% due 08/15/31 310 333
7.500% due 04/08/33 1,873 1,854
Mizuho Financial Group Cayman, Ltd.
5.790% due 04/15/14 280 278
Mound Financing PLC
Series 2001-2A Class A2
1.330% due 11/08/07 1,935 1,937
National Westminster Bank PLC
7.375% due 10/01/09 380 438
</Table>
50 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Newcastle CDO I, Ltd.
Series 2004-4A Class 3FX
5.110% due 03/24/39 845 797
Permanent Financing PLC (E)
Series 2003-3 Class 2A
1.220% due 09/10/10 1,580 1,581
Series 2004-4 Class 2A
1.179% due 03/10/09 1,935 1,935
Petroleos Mexicanos (z)
9.500% due 09/15/27 145 166
Province of Ontario
6.000% due 02/21/06 1,450 1,535
5.500% due 10/01/08 100 107
Province of Quebec
7.500% due 07/15/23 760 925
Royal Bank of Scotland Group PLC (p)
Series 1
9.118% due 03/31/49 200 245
Royal KPN NV
8.000% due 10/01/10 1,605 1,877
Santander Central Hispano Issuances, Ltd.
7.625% due 09/14/10 150 174
Santander Financial Issuances
6.800% due 07/15/05 110 116
6.375% due 02/15/11 120 131
Sanwa Finance Aruba AEC
8.350% due 07/15/09 350 406
Systems 2001 AT LLC
7.156% due 12/15/11 358 387
Telecom Italia Capital SA
5.250% due 11/15/13 555 547
6.375% due 11/15/33 275 270
Telefonica Europe BV
8.250% due 09/15/30 1,035 1,271
Telefonos de Mexico SA de CV
4.500% due 11/19/08 700 692
Thomson Corp. (The)
4.250% due 08/15/09 1,090 1,084
TPSA Finance BV
7.750% due 12/10/08 340 382
Vodafone Group PLC
7.750% due 02/15/10 375 434
------------
66,243
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mortgage-Backed Securities - 40.5%
Asset Backed Funding Corp. NIM Trust (y)
Series 2003-OPT1 Class NOTE
6.900% due 07/26/33 359 360
Bank of America Mortgage Securities
Series 2004-1 Class 5A1
6.500% due 09/25/33 154 158
Series 2004-2 Class 5A1
6.500% due 10/25/31 499 515
Bear Stearns Commercial Mortgage Securities
Series 2004-PWR3 Class A2
3.869% due 02/11/41 1,380 1,345
CDC Commercial Mortgage Trust
Series 2002-FX1 Class A1
5.252% due 05/15/19 1,700 1,768
Centex Home Equity (E)
Series 2003-A Class AV1
1.421% due 03/25/33 670 670
Chase Funding Mortgage Loan Asset-Backed
Certificates (E)
Series 2002-2 Class 2A1
1.391% due 05/25/32 1,621 1,623
Chase Funding Net Interest Margin (y)
Series 2003-3A Class NOTE
6.875% due 06/27/36 154 154
Series 2003-C1A Class NOTE
6.750% due 03/27/36 374 377
Citicorp Mortgage Securities, Inc.
Series 2001-12 Class M
6.394% due 08/25/31 186 186
Citifinancial Mortgage Securities, Inc. (E)
Series 2003-4 Class AF1
1.311% due 10/25/33 1,002 1,003
Commercial Mortgage Acceptance Corp.
Series 1998-C2 Class A2
6.030% due 09/15/30 1,205 1,292
Countrywide Asset-Backed Certificates (E)
Series 2003-BC2 Class 2A1
1.441% due 06/25/33 395 396
Series 2003-BC4 Class 2A2
1.461% due 09/25/33 920 922
Series 2003-S2 Class A1
1.311% due 12/25/18 1,203 1,203
</Table>
Fixed Income I Fund 51
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Countrywide Home Loans, Inc. (E)
Series 2003-42 Class 2A1
1.271% due 10/25/33 813 813
Series 2004-7 Class 5A2
1.370% due 05/25/34 900 900
CS First Boston Mortgage Securities Corp.
Series 1998-C1 Class A1B
6.480% due 05/17/40 1,950 2,122
Series 2002-10 Class 2A1
7.500% due 05/25/32 226 240
Series 2002-18 Class 1AIO
7.500% due 06/25/32 1,195 44
Series 2004-1 Class 2A2
6.000% due 02/25/34 519 533
Series 2004-C1 Class A4
4.750% due 01/15/37 1,685 1,634
Equifirst Mortgage Loan Trust (E)
Series 2003-2 Class 3A3
2.470% due 09/25/33 1,731 1,740
Federal Home Loan Mortgage Corp.
15 Year Gold TBA (o)
4.500% 5,955 5,862
5.000% 4,310 4,338
5.500% 250 256
6.500% 1,140 1,206
30 Year Gold TBA (o)
4.500% 2,970 2,788
5.000% 8,400 8,111
5.500% 7,025 6,988
5.500% 27,360 26,939
6.000% 6,045 6,183
6.500% 700 729
7.000% due 2008 43 45
8.000% due 2009 18 19
6.000% due 2010 71 74
7.000% due 2010 232 247
8.000% due 2010 43 46
6.000% due 2011 428 448
7.000% due 2011 26 28
6.000% due 2012 16 16
6.000% due 2013 125 131
12.000% due 2014 51 59
6.000% due 2016 1,019 1,065
9.000% due 2016 166 184
12.500% due 2016 6 6
6.000% due 2017 910 951
9.000% due 2017 1 1
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
5.000% due 2018 279 281
5.000% due 2018 946 953
9.000% due 2018 270 304
9.000% due 2020 148 160
7.500% due 2024 13 14
6.500% due 2025 41 43
8.000% due 2025 85 93
9.000% due 2025 24 26
9.000% due 2026 2 2
3.608% due 2027 124 127
8.500% due 2027 163 177
6.500% due 2028 400 417
6.500% due 2029 940 980
7.500% due 2029 1 1
7.820% due 2030 23 24
7.500% due 2031 86 92
6.500% due 2032 5,653 5,887
7.000% due 2032 1,894 2,000
7.500% due 2032 360 387
6.000% due 2033 5,279 5,403
5.500% due 2034 3,964 3,960
Series 1993-1606 Class I
6.500% due 11/15/08 404 37
Series 1998-2104 Class ZM
6.000% due 12/15/28 1,376 1,445
Series 2000-2266 Class F
1.570% due 11/15/30 55 55
Federal Home Loan Mortgage Corp. Structured Pass
Through Securities
Series 2003-54 Class 3AIO
0.769% due 02/25/43 6,681 151
Series 2003-H010 Class A1
1.582% due 09/15/08 1,635 1,611
Federal National Mortgage Association
15 Year TBA (o))
4.000% 6,655 6,392
4.500% 21,670 21,326
5.000% 22,560 22,687
5.500% 14,445 14,821
6.000% 1,170 1,226
30 Year TBA (o)
4.500% 5,310 4,981
5.000% 12,520 12,130
5.500% 34,775 34,683
6.000% 20,005 20,462
6.500% 8,870 9,230
8.000% due 2006 2 2
7.200% due 2007 924 1,012
7.000% due 2011 24 26
8.000% due 2011 17 18
</Table>
52 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
5.500% due 2013 28 29
6.500% due 2013 100 106
6.500% due 2013 17 18
6.500% due 2015 70 74
7.000% due 2015 23 25
6.000% due 2016 236 247
6.500% due 2016 73 77
5.500% due 2017 401 412
6.000% due 2017 9,824 10,252
6.500% due 2017 844 893
7.500% due 2017 3 3
9.000% due 2017 70 78
4.000% due 2018 648 624
5.000% due 2018 2,716 2,735
5.500% due 2018 2,222 2,282
6.000% due 2018 976 1,018
6.500% due 2018 852 891
8.500% due 2018 37 40
6.500% due 2019 407 426
6.500% due 2020 146 153
7.500% due 2022 1 1
7.500% due 2023 8 8
7.500% due 2024 240 259
8.000% due 2024 334 364
8.500% due 2024 63 69
9.000% due 2024 14 16
7.000% due 2025 65 69
7.500% due 2025 64 69
8.000% due 2025 11 12
8.500% due 2025 67 73
7.000% due 2026 66 70
7.500% due 2026 7 8
9.000% due 2026 18 20
7.000% due 2027 17 18
7.500% due 2027 11 12
9.000% due 2027 2 3
6.500% due 2028 1,376 1,434
7.500% due 2028 52 56
6.500% due 2029 2,630 2,741
7.000% due 2029 453 479
7.500% due 2029 219 234
6.500% due 2030 29 30
7.500% due 2030 3 3
8.000% due 2030 533 577
6.500% due 2031 1,422 1,483
7.500% due 2031 572 611
8.000% due 2031 590 638
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
6.000% due 2032 231 236
6.500% due 2032 4,452 4,642
7.000% due 2032 6,764 7,164
7.500% due 2032 1,484 1,587
8.000% due 2032 33 35
5.500% due 2033 1,385 1,383
6.000% due 2033 2,784 2,849
6.500% due 2033 2,826 2,942
4.246% due 2034 579 584
5.000% due 2034 10,649 10,325
5.000% due 2034 924 896
5.500% due 2034 10,835 10,817
5.500% due 2034 798 796
6.000% due 2034 500 511
Series 1992-158 Class ZZ
7.750% due 08/25/22 657 715
Series 1993-134 Class H
6.500% due 08/25/08 1,930 2,069
Series 1997-81 Class PC
5.000% due 04/18/27 209 212
Series 2003-81 Class MJ
5.000% due 02/25/27 445 452
Federal National Mortgage Association Grantor
Trust (E)
Series 2001-T13 Class A1
1.260% due 03/25/32 555 555
Series 2001-T6 Class B
6.088% due 05/25/11 2,460 2,647
Series 2002-T13 Class A1
1.200% due 08/25/32 28 28
Series 2002-T5 Class A1
1.220% due 05/25/32 2,718 2,723
Federal National Mortgage Association Whole Loan
Series 2002-W1 Class 2AIO
0.599% due 04/25/42 9,399 139
Series 2002-W11 Class AV1
1.270% due 11/25/32 2,057 2,058
Series 2002-W2 Class AV1
1.230% due 06/25/32 1,250 1,250
Series 2002-W6 Class 2AIO
0.351% due 06/25/42 7,650 71
Series 2003-W13 Class AF1
1.170% due 10/25/33 689 689
Series 2003-W13 Class AV1
1.170% due 10/25/33 1,251 1,251
Series 2003-W13 Class AV2
1.240% due 10/25/33 1,330 1,331
Series 2003-W16 Class AF1
1.190% due 11/25/33 1,512 1,513
</Table>
Fixed Income I Fund 53
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-W16 Class AV1
1.250% due 11/25/33 1,278 1,278
Series 2003-W5 Class A
1.210% due 04/25/33 3,113 3,121
Series 2003-W9 Class A
1.220% due 06/25/33 4,272 4,270
Series 2004-W2 Class 5AF
1.450% due 03/25/44 1,571 1,570
Federal National Mortgage Association-Aces
Series 2000-M1 Class A
7.394% due 01/17/13 390 401
First Franklin Mortgage Loan Asset Backed
Certificates (E)
Series 2003-FFH1 Class 2A1
1.250% due 09/25/33 1,012 1,012
GMAC Commercial Mortgage Securities, Inc.
Series 1999-C2 Class A1
6.570% due 09/15/33 1,537 1,631
Series 2003-C3 Class A4
5.023% due 04/10/40 355 351
GMAC Mortgage Corp. Loan Trust (E)
Series 2003-AR1 Class A1
1.260% due 10/19/33 808 806
Series 2003-AR2 Class 2A1
1.290% due 12/19/33 1,749 1,748
Government National Mortgage Association
30 Year TBA (o)
8.00% 610 666
Series 2002-61 Class A
3.261% due 12/16/16 818 826
Series 2002-61 Class BA
4.648% due 03/16/26 1,325 1,337
Series 2004-20 Class C
4.430% due 04/16/34 1,710 1,646
Government National Mortgage Association I
30 Year TBA (o)
5.00% 4,655 4,523
5.50% 2,110 2,110
6.00% 8,540 8,754
8.500% due 2005 3 3
6.500% due 2008 18 19
6.500% due 2009 119 127
6.500% due 2010 16 17
7.000% due 2011 21 23
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
9.500% due 2016 30 34
8.000% due 2017 20 22
10.500% due 2020 104 120
8.000% due 2022 52 57
8.500% due 2022 4 4
8.500% due 2024 29 32
8.000% due 2025 72 78
8.000% due 2029 156 170
8.500% due 2029 85 93
7.500% due 2030 506 543
8.000% due 2030 43 47
8.500% due 2030 18 20
7.000% due 2031 817 869
7.500% due 2031 143 153
6.500% due 2032 686 716
7.000% due 2032 1,833 1,948
7.500% due 2032 819 879
5.500% due 2033 271 271
7.000% due 2033 54 58
Government National Mortgage Association II
30 Year TBA (o)
5.50% 420 420
4.625% due 2027 122 125
3.500% due 2030 108 109
4.000% due 2030 563 568
7.500% due 2032 123 132
5.500% due 2033 7,037 7,039
5.500% due 2034 1,060 1,061
Greenwich Capital Commercial Funding Corp.
Series 2004-GG1 Class A7
5.317% due 06/10/36 1,625 1,633
GSAMP Trust (E)
Series 2003-AHL Class A2A
1.300% due 10/25/33 1,077 1,078
Series 2004-SEA1 Class A1A
1.290% due 10/25/33 1,520 1,519
GSRPM Mortgage Loan Trust (E)
Series 2003-1 Class A1
1.350% due 01/25/32 187 187
HFC Home Equity Loan Asset Backed Certificates
(E)
Series 2001-1 Class A
1.390% due 01/20/31 295 295
Impac CMB Trust (E)
Series 2004-2 Class A2
1.340% due 04/25/34 592 588
</Table>
54 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
IndyMac Loan Trust
Series 2003-L1 Class A1
1.480% due 11/25/08 1,642 1,642
JP Morgan Chase Commercial Mortgage Securities
Corp.
Series 2003-PM1A Class A3
5.169% due 08/12/40 2,080 2,101
LB-UBS Commercial Mortgage Trust
Series 2001-C3 Class A1
6.058% due 06/15/20 628 671
Long Beach Asset Holdings Corp.
Series 2003-2 Class N1
7.627% due 06/25/33 194 195
Series 2003-4 Class N1
6.535% due 08/25/33 242 244
Long Beach Mortgage Loan Trust (E)
Series 2003-4 Class AV2
1.170% due 08/25/33 79 79
Series 2004-1 Class A4
1.230% due 02/25/34 1,884 1,884
MASTR Alternative Loans Trust
Series 2003-2 Class 7A1
7.000% due 12/25/32 159 163
Mastr Asset Backed Securities Trust (E)
Series 2004-OPT1 Class A3
1.360% due 02/25/34 807 807
Merrill Lynch Mortgage Investors, Inc. (E)
Series 2002-NC1 Class A1
1.420% due 05/25/33 676 677
Series 2003-OP1N Class N1
7.250% due 09/25/34 406 410
Series 2003-WMC1 Class A2
1.460% due 11/25/33 803 805
Series 2003-WMC2 Class A2
1.440% due 02/25/34 1,107 1,109
Series 2004-WM1N Class N1
4.500% due 10/25/34 684 684
Morgan Stanley ABS Capital I (E)
Series 2003-NC10 Class A2
1.300% due 10/25/33 965 966
Series 2003-NC5 Class A2
1.380% due 04/25/33 683 684
Series 2004-HE1 Class A3
1.260% due 01/25/34 2,067 2,067
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Morgan Stanley Dean Witter Capital I
Series 2001-TOP3 Class A3
6.200% due 07/15/33 845 914
Series 2003-NC4 Class A2
1.470% due 04/25/33 561 562
Mortgage Capital Funding, Inc.
Series 1998-MC2 Class A2
6.423% due 06/18/30 2,590 2,811
MSDWCC Heloc Trust (E)
Series 2003-2 Class A
1.360% due 04/25/16 2,132 2,134
Option One Mortgage Loan Trust (E)
Series 2001-4 Class A
1.400% due 01/25/32 792 793
Series 2002-2 Class A
1.370% due 06/25/32 999 1,001
Series 2003-1 Class A2
1.520% due 02/25/33 1,631 1,637
Series 2003-2 Class A2
1.400% due 04/25/33 711 712
Option One Mortgage Securities Corp. NIM Trust
Series 2003-3 Class N
1.410% due 04/25/10 534 534
Series 2003-6A Class NOTE
1.320% due 10/26/10 634 634
Pacificamerica Home Equity Loan
Series 1998-2 Class AF
6.590% due 06/26/28 130 131
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 332 331
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 82 82
Prudential Home Mortgage Securities
Series 1992-38 Class A8
6.950% due 11/25/22 486 486
Renaissance NIM Trust
Series 2003-D Class NOTE
6.657% due 03/26/34 333 336
Residential Asset Securities Corp. (E)
Series 2001-KS1 Class AII
1.335% due 03/25/32 474 474
Series 2002-KS3 Class A1B
1.350% due 05/25/32 1,167 1,168
Series 2003-KS1 Class A2
1.460% due 01/25/33 783 785
Series 2003-KS2 Class AI1
1.200% due 08/25/19 651 651
</Table>
Fixed Income I Fund 55
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-KS9 Class AI1
1.260% due 02/25/21 758 759
Residential Funding Mortgage Securities II (E)
Series 2003-HI1 Class A1
1.200% due 04/25/10 140 140
Salomon Brothers Mortgage Securities VII
Series 2003-UP2 Class A1
4.000% due 12/25/18 1,101 1,102
Saxon Asset Securities Trust (E)
Series 2001-3 Class AV2
1.380% due 08/25/31 141 141
Series 2003-1 Class AV1
1.410% due 06/25/33 1,442 1,446
Saxon Net Interest Margin Trust
Series 2003-A Class A
6.656% due 08/26/33 384 387
Securitized Asset Backed Receivables LLC Trust
(E)
Series 2004-OP1 Class A2
1.350% due 02/25/34 881 881
Sharp SP I LLC Net Interest Margin Trust
Series 2004-FM1N Class N
6.160% due 09/25/34 348 350
Series 2004-OP1N Class NA
4.450% due 12/25/33 901 900
Small Business Administration
Series 1999-P10B Class 1
7.540% due 08/10/09 1,182 1,294
Small Business Administration Participation
Certificates
Series 2003-20I Class 1
5.130% due 09/01/23 98 98
Specialty Underwriting & Residential Finance (E)
Series 2004-BC1 Class A2
1.330% due 02/25/35 931 931
Structured Asset Securities Corp. (E)
Series 2003-S1 Class A1
1.260% due 08/25/33 498 498
Washington Mutual
Series 2002-AR4 Class A1
5.501% due 04/26/32 182 184
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities Trust
Series 2002-9 Class B1
6.250% due 06/25/32 225 227
------------
450,363
------------
Municipal Bonds - 0.7%
County of Clark Nevada General Obligation
Limited, weekly demand (u)
5.000% due 06/01/26 1,000 1,002
Energy Northwest Revenue Bonds
5.500% due 07/01/14 200 220
Golden State Tobacco Securitization Corp.
Revenue Bonds, weekly demand
6.250% due 06/01/33 650 606
Lower Colorado River Authority Revenue Bonds,
weekly demand (u)
5.000% due 05/15/33 600 594
Metropolitan Transportation Authority Revenue
Bonds, weekly demand (u)
5.000% due 11/15/32 200 200
Michigan State Building Authority Revenue Bonds
(u)
5.250% due 10/15/12 100 110
New York City Municipal Water Finance Authority
Revenue Bonds, weekly
5.000% due 06/15/34 1,300 1,284
New York City Transitional Finance Authority
Revenue Bonds, weekly demand
5.000% due 02/01/31 700 694
New York State Dormitory Authority Revenue Bonds
5.250% due 07/01/11 450 490
New York State Environmental Facilities Corp.
Revenue Bonds, weekly demand
5.000% due 07/15/33 100 101
Orange County Sanitation District Certificate of
Participation, weekly demand
5.000% due 02/01/33 100 99
</Table>
56 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
South Carolina Transportation Infrastructure
Bank Revenue Bonds, weekly
5.000% due 10/01/33 1,300 1,302
Tobacco Settlement Financing Corp. Revenue
Bonds, weekly demand
6.125% due 06/01/24 150 143
6.750% due 06/01/39 700 662
University of Texas Revenue Bonds, weekly demand
5.000% due 08/15/33 200 198
Utah State Board Of Regents Revenue Bonds,
weekly demand
1.160% due 05/01/41 500 500
------------
8,205
------------
Non-US Bonds - 0.8%
Bundesschatzanweisungen
2.000% due 03/10/06 EUR 5,590 6,659
Deutsche Bundesrepublik
5.250% due 07/04/10 EUR 500 651
5.250% due 01/04/11 EUR 200 260
4.500% due 01/04/13 EUR 700 865
------------
8,435
------------
United States Government Agencies - 7.3%
Federal Home Loan Bank (z)
1.875% due 06/15/06 1,095 1,080
Federal Home Loan Bank System
2.500% due 03/15/06 (z) 4,690 4,701
5.375% due 02/15/07 (z) 760 807
3.000% due 04/15/09 (z) 3,555 3,398
4.500% due 11/15/12 (z) 2,155 2,105
4.500% due 09/16/13 1,000 967
Federal Home Loan Mortgage Corp. (z)
5.250% due 01/15/06 1,055 1,106
5.500% due 07/15/06 8,320 8,830
2.750% due 08/15/06 2,845 2,850
4.875% due 03/15/07 3,915 4,114
2.750% due 03/15/08 995 967
3.625% due 09/15/08 3,145 3,124
5.125% due 07/15/12 1,500 1,530
5.125% due 08/20/12 8,685 8,626
4.500% due 01/15/13 950 925
6.750% due 03/15/31 2,047 2,310
6.250% due 07/15/32 600 637
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Federal National Mortgage Association
5.500% due 02/15/06 (z) 5,815 6,131
4.750% due 06/18/07 (z) 1,995 2,003
2.500% due 06/15/08 (z) 5,995 5,729
5.250% due 01/15/09 (z) 2,875 3,039
6.400% due 05/14/09 5 5
6.625% due 09/15/09 (z) 3,355 3,759
7.250% due 01/15/10 (z) 2,795 3,221
5.500% due 03/15/11 385 407
6.125% due 03/15/12 (z) 3,905 4,252
4.375% due 03/15/13 (z) 1,025 989
4.625% due 10/15/13 270 263
Zero coupon
0.000% due 07/05/14 165 96
7.250% due 05/15/30 (z) 955 1,141
6.625% due 11/15/30 (z) 30 33
6.210% due 08/06/38 570 604
Financing Corp. Principal Only Strip
0.000% due 04/05/19 1,200 509
0.000% due 09/26/19 800 329
Tennessee Valley Authority (z)
6.375% due 06/15/05 850 892
------------
81,479
------------
United States Government Treasuries - 18.3%
United States Treasury Inflation Indexed Bonds
(z)
3.625% due 01/15/08 173 190
3.875% due 01/15/09 5,449 6,110
3.375% due 01/15/12 4,403 4,885
3.000% due 07/15/12 1,470 1,589
United States Treasury Note
1.250% due 05/31/05 (z) 455 453
2.000% due 08/31/05 (z) 12,645 12,670
1.875% due 01/31/06 (z) 10,795 10,739
4.625% due 05/15/06 (z) 4,260 4,451
6.875% due 05/15/06 (z) 12,385 13,492
7.000% due 07/15/06 (z) 18,145 19,903
2.375% due 08/15/06 (z) 8,005 7,982
4.375% due 05/15/07 (z) 5,295 5,521
6.625% due 05/15/07 (z) 1,820 2,016
6.125% due 08/15/07 260 285
3.125% due 09/15/08 (z) 8,790 8,673
3.375% due 11/15/08 (z) 22,425 22,301
6.000% due 08/15/09 (z) 3,225 3,577
10.375% due 11/15/09 (z) 460 482
11.750% due 02/15/10 (z) 3,165 3,413
</Table>
Fixed Income I Fund 57
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
5.750% due 08/15/10 (z) 6,430 7,067
5.000% due 02/15/11 (z) 2,820 2,975
13.875% due 05/15/11 (z) 3,365 4,125
5.000% due 08/15/11 (z) 625 657
14.000% due 11/15/11 1,590 2,030
4.000% due 11/15/12 (z) 1,405 1,368
10.375% due 11/15/12 (z) 2,840 3,521
4.250% due 08/15/13 (z) 3,350 3,294
9.875% due 11/15/15 (z) 300 436
9.250% due 02/15/16 635 889
7.500% due 11/15/16 (z) 7,115 8,846
8.750% due 05/15/17 (z) 2,490 3,404
8.125% due 08/15/19 (z) 8,850 11,670
8.125% due 08/15/21 (z) 5,425 7,216
6.875% due 08/15/25 (z) 4,605 5,495
6.000% due 02/15/26 (z) 1,465 1,584
6.375% due 08/15/27 1,195 1,353
6.125% due 11/15/27 (z) 2,140 2,353
6.125% due 08/15/29 (z) 3,385 3,738
United States Treasury STRIP Principal (z)
0.000% due 11/15/09 125 100
0.000% due 11/15/21 6,570 2,478
------------
203,331
------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,151,294) 1,146,315
------------
</Table>
<Table>
NOTIONAL
AMOUNT
$
------------
<Caption>
OPTIONS PURCHASED - 0.0%
(Number of Contracts)
Euribor Futures
Dec 2005 92.00 (EUR) Put (40) 1,102,482 (1)
Euro Bobl Futures
May 2004 108.50 (EUR) Put (25) 325,052 --
------------
TOTAL OPTIONS PURCHASED
(cost $1) (1)
------------
<Caption>
PRINCIPAL
AMOUNT ($)
OR SHARES
------------
- -----------------------------------------------------------------------------
PREFERRED STOCKS - 0.1%
Financial Services - 0.1%
Centaur Funding Corp. 390,000 494
DG Funding Trust 94 1,011
------------
TOTAL PREFERRED STOCKS
(cost $1,415) 1,505
------------
SHORT-TERM INVESTMENTS - 47.3%
ABN Amro North America Discount Note (c)(y)
1.025% due 05/20/04 200 200
Alcon Capital Corp. (c)(y)
1.020% due 05/25/04 500 500
Anz Del, Inc. Discount Commercial Paper (y)
1.035% due 06/25/04 4,500 4,493
ANZ Delaware, Inc. (c)(y)
1.025% due 05/25/04 700 700
ASIF II
1.200% due 01/26/05 JPY 56,000 511
CBA Del Finance, Inc. Years 3 & 4 Commercial
Paper (c)(y)
1.030% due 05/26/04 200 200
CDC Commercial Paper (y)
1.100% due 08/04/04 1,900 1,894
Danske Corp. Commercial Paper (y)
1.020% due 06/04/04 4,800 4,795
EI Dupont (c)(y)
1.015% due 05/13/04 800 800
European Investment Bank (y)
1.050% due 07/16/04 2,500 2,493
0.875% due 11/08/04 JPY 24,000 218
Federal Home Loan Bank Discount Corp. (y)
1.015% due 05/07/04 (z)(c) 700 700
0.950% due 05/28/04 6,500 6,495
Federal Home Loan Bank System (y)(z)
1.020% due 05/04/04 (c) 3,800 3,800
4.125% due 01/14/05 451 459
Federal National Mortgage Association
6.500% due 11/01/04 19 19
Federal National Mortgage Association Discount
Note (y)(z)
1.000% due 06/23/04 1,800 1,797
1.020% due 05/05/04 6,000 5,999
</Table>
58 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ford Motor Credit Co.
6.700% due 07/16/04 900 909
7.500% due 03/15/05 100 104
Frank Russell Investment Company Money Market
Fund 98,140,183 98,140
Frank Russell Investment Company Money Market
Fund (N) 158,727,777 158,728
General Electric Capital Corp. Commercial Paper
(y)
1.040% due 06/15/04 2,500 2,497
1.060% due 07/09/04 2,300 2,294
General Motors Acceptance Corp. (E)
1.580% due 07/20/04 1,500 1,500
Guaranteed Export Trust
6.550% due 06/15/04 65 65
HBOS Treasury Services PLC (y)
1.030% due 06/29/04 2,000 1,997
HBOS Treasury Services PLC Commercial Paper (y)
1.035% due 07/06/04 2,900 2,892
Historic TW, Inc.
7.975% due 08/15/04 300 305
International Bank for Reconstruction &
Development
4.750% due 12/20/04 JPY 6,000 56
Italy Government International Bond
5.000% due 12/15/04 JPY 15,000 140
Kansai International Airport
1.300% due 07/29/04 JPY 14,000 127
KFW International Finance
1.000% due 12/20/04 JPY 81,000 738
Lloyds Bank PLC (y)
1.045% due 06/03/04 2,000 1,998
Residential Asset Mortgage Products, Inc.
Series 2002-RZ4 Class AIO
5.750% due 04/25/05 1,143 45
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Royal Bank of Scotland PLC (y)
1.040% due 05/04/04 (c) 4,000 4,000
1.025% due 06/01/04 899 899
1.020% due 06/02/04 100 100
Shell Finance (y)
1.020% due 06/01/04 3,600 3,597
Stadshypotek Del, Inc. (y)
1.030% due 05/27/04 4,800 4,796
State of California Notes
2.000% due 06/16/04 250 250
State Street Securities Lending Quality Trust
(V) 170,910,661 170,910
Svenska Handlesbanken, Inc. (y)
1.025% due 05/26/04 4,800 4,797
1.030% due 05/28/04 (c) 400 400
Toyota Motor Credit Corp.
1.000% due 12/20/04 JPY 11,000 100
United States Treasury Bill (y)
1.024% due 05/06/04 (z) 3,600 3,599
1.010% due 05/27/04 (z) 5,100 5,096
0.930% due 06/03/04 (s) 1,110 1,109
1.030% due 06/03/04 (z)(s) 6,900 6,894
0.980% due 09/30/04 (s) 75 75
United States Treasury Note (z)
7.875% due 11/15/04 9,230 9,554
Westpac Trust Securities (c)(y)
1.030% due 05/25/04 900 900
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $525,513) 525,684
------------
TOTAL INVESTMENTS - 150.6%
(identified cost $1,678,223) 1,673,503
OTHER ASSETS AND LIABILITIES,
NET - (50.6%) (562,707)
------------
NET ASSETS - 100.0% 1,110,796
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Fixed Income I Fund 59
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME I FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Euribor Futures (UK)
expiration date 09/05 (20) 5,813 (4)
expiration date 12/05 (39) 11,312 (27)
Eurodollar Futures
expiration date 12/04 (8) 1,956 (4)
expiration date 03/05 (72) 17,518 (88)
expiration date 06/05 (82) 19,858 (109)
expiration date 09/05 (81) 19,538 (104)
expiration date 12/05 (83) 19,952 (107)
expiration date 03/06 (7) 1,678 (4)
Germany, Federal Republic
5 Year Bonds
expiration date 06/04 (44) 5,878 (17)
Germany, Federal Republic
10 Year Bonds
expiration date 06/04 (8) 1,094 (4)
United States Treasury Bonds
expiration date 06/04 (24) 2,570 (67)
United States Treasury 2 Year Notes
expiration date 06/04 (52) 11,052 (39)
United States Treasury 5 Year Notes
expiration date 06/04 (8) 880 (15)
United States Treasury 10 Year Notes
expiration date 06/04 (42) 4,641 (20)
expiration date 06/04 (292) 32,266 (799)
expiration date 09/04 (9) 982 (3)
Short Positions
United States Treasury Bonds
expiration date 06/04 (19) 2,035 90
United States Treasury 5 Year Notes
expiration date 06/04 (94) 10,334 181
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,140)
===============
<Caption>
OPTIONS WRITTEN NOTIONAL MARKET
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Euribor Futures
Sep 2004 97.50 (EUR) Put (6) 175,259 --
Dec 2004 97.00 (EUR) Put (5) 145,300 --
Eurodollar Futures
Jun 2004 98.00 Put (25) 6,125 --
United States Treasury Notes
5 Year Futures
Aug 2004 111.50 Call (5) 558 (2)
United States Treasury Notes
10 Year Futures
May 2004 116.00 Call (8) 928 --
Aug 2004 114.00 Call (1) 114 --
Aug 2004 115.00 Call (26) 2,990 (8)
Aug 2004 108.00 Put (15) 1,620 (25)
---------------
Total Liability for Options Written
(premiums received $70) (35)
===============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
EUR 169 USD 203 05/10/04 --
EUR 4,160 USD 4,925 07/26/04 (49)
JPY 47,419 USD 430 05/18/04 --
--------------
(49)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
60 Fixed Income I Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 70.2%
Asset-Backed Securities - 3.3%
ABSC NIMs Trust
Series 2004-HE1 Class A
7.000% due 01/17/34 118 119
Alliance Capital Funding LLC
Series 1998-1 Class A3
5.840% due 02/15/10 48 49
American Airlines, Inc.
6.817% due 05/23/11 105 96
7.858% due 10/01/11 195 198
Americredit Automobile Receivables Trust
Series 2001-C Class A4
5.010% due 07/14/08 300 310
Ameriquest Mortgage Securities, Inc.
Series 2003-5 Class A2
2.430% due 07/25/33 90 90
Ares Leveraged Investment Fund, LP (E)
Series 1998-2 Class B2
5.710% due 10/31/05 280 269
Argent NIM Trust (y)
Series 2003-N7 Class 2A1
5.680% due 03/25/34 77 77
ATA Airlines, Inc. (y)
6.990% due 04/15/16 187 164
Capital One Multi-Asset Execution Trust 455 478
Series 2003-C2 Class C2
4.320% due 04/15/09 85 87
Carlyle High Yield Partners
Series 1 Class C1
8.740% due 05/31/07 350 361
Centex Home Equity
Series 2004-B Class AF1
1.833% due 09/25/19 341 340
Chancellor/Triton CBO, Ltd. (y)
Series 1998-1A Class A1
6.710% due 08/05/10 218 213
Chase Funding Mortgage Loan Asset-Backed
Certificates
Series 2003-1 Class 1A1
2.005% due 02/25/17 62 62
Chase Funding Net Interest Margin (y)
Series 2003-6A Class NOTE
5.000% due 01/27/35 72 72
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Citibank Credit Card Issuance Trust
Series 2000-A3 Class A3
6.875% due 11/16/09 200 222
Series 2003-A3 Class A3
3.100% due 03/10/10 275 269
Continental Airlines, Inc.
7.033% due 06/15/11 345 296
6.900% due 01/02/18 104 102
6.545% due 02/02/19 106 103
Countrywide Asset-Backed Certificates
Series 2004-1NIM Class NOTE
6.000% due 05/25/34 127 127
Delta Air Lines, Inc.
7.299% due 09/18/06 100 79
Ford Credit Auto Owner Trust
Series 2003-A Class A2A
1.620% due 08/15/05 114 114
Harley-Davidson Motorcycle Trust
Series 2002-2 Class A1
1.910% due 04/15/07 84 84
Series 2003-1 Class A1
1.560% due 05/15/07 119 119
Home Equity Asset Trust (y)
Series 2003-5N Class A
7.500% due 01/27/34 45 45
Honda Auto Receivables Owner Trust
Series 2002-4 Class A2
1.660% due 06/15/05 43 43
Series 2003-1 Class A2
1.460% due 09/19/05 148 148
Lehman ABS Manufactured Housing Contract
Series 2001-B Class A1
3.010% due 03/15/10 34 33
MBNA Master Credit Card Trust USA
Series 2000-E Class A
7.800% due 10/15/12 705 833
Mid-State Trust
Series 2003-11 Class A1
4.864% due 07/15/38 76 73
Niagara Mohawk Power Corp.
7.625% due 10/01/05 435 462
Power Contract Financing LLC
5.200% due 02/01/06 258 261
6.256% due 02/01/10 165 171
Prudential Holdings LLC
8.695% due 12/18/23 170 208
</Table>
Fixed Income III Fund 61
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Sharp SP I LLC Net Interest Margin Trust
Series 2003-HE1N Class N
6.900% due 11/25/33 550 550
SLM Student Loan Trust (E)
Series 1996-2 Class A2
1.695% due 07/27/09 170 172
Series 1997-2 Class CTFS
1.815% due 10/25/12 300 301
Series 2004-1 Class A1
1.210% due 01/26/15 378 378
Small Business Administration
7.449% due 08/01/10 285 312
Small Business Administration Participation
Certificates
7.500% due 04/01/17 2,577 2,823
Tenaska Alabama II Partners, LP
6.125% due 03/30/23 164 163
Wells Fargo Financial Auto Owner Trust
Series 2004-A Class A2
1.470% due 03/15/07 300 299
Whole Auto Loan Trust
Series 2002-1 Class A2
1.880% due 06/15/05 73 73
World Financial Properties
6.950% due 09/01/13 226 249
------------
12,097
------------
Corporate Bonds and Notes - 15.5%
Aetna, Inc.
7.875% due 03/01/11 170 199
Albertson's, Inc. (z)
7.500% due 02/15/11 60 68
Allied Waste North America (z)
6.500% due 11/15/10 35 35
Series B
8.500% due 12/01/08 65 72
7.875% due 01/01/09 369 383
Altria Group, Inc.
7.000% due 11/04/13 60 64
7.750% due 01/15/27 60 64
Amerada Hess Corp.
7.875% due 10/01/29 110 119
7.300% due 08/15/31 115 117
American Electric Power Co., Inc.
Series C
5.375% due 03/15/10 40 41
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
American RE Corp.
Series B
7.450% due 12/15/26 330 356
Anheuser-Busch Cos., Inc.
due 03/01/19 175 165
Anthem Insurance Cos., Inc.
9.125% due 04/01/10 145 180
AON Corp.
7.375% due 12/14/12 125 140
Appalachian Power Co.
Series H
5.950% due 05/15/33 45 42
Arch Capital Group
7.350% due 05/01/34 230 229
Arrow Electronics, Inc.
6.875% due 07/01/13 205 215
AT&T Corp.
8.050% due 11/15/11 375 411
8.750% due 11/15/31 370 392
AT&T Wireless Services, Inc.
8.750% due 03/01/31 50 61
Avaya, Inc.
11.125% due 04/01/09 34 40
Avista Capital Trust III
6.500% due 04/01/34 300 296
Avista Corp.
9.750% due 06/01/08 220 264
Avnet, Inc.
9.750% due 02/15/08 70 81
BAE Systems Holdings, Inc.
6.400% due 12/15/11 485 517
Bank of America Corp.
7.800% due 02/15/10 15 17
Series MTNI
1.430% due 10/22/04 575 576
BankBoston Corp.
Series B
8.250% due 12/15/26 100 111
BCI US Funding Trust (p)
8.010% due 12/29/49 345 391
Bear Stearns Cos., Inc. (The)
4.650% due 07/02/18 240 214
Boeing Capital Corp. (z)
6.100% due 03/01/11 100 107
Bowater, Inc. (z)
6.500% due 06/15/13 310 300
Boyd Gaming Corp.
9.250% due 08/01/09 65 72
</Table>
62 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Burlington Northern Santa Fe Corp.
6.875% due 12/01/27 60 64
Campbell Soup Co.
5.875% due 10/01/08 115 124
Capital One Bank
6.500% due 06/13/13 130 136
CenterPoint Energy, Inc.
Series B
6.850% due 06/01/15 150 152
CenterPoint Energy Houston Electric LLC
Series J2
5.700% due 03/15/13 85 87
CenterPoint Energy Resources Corp. (z)
7.750% due 02/15/11 210 235
7.875% due 04/01/13 195 220
Cincinnati Gas & Electric (z)
5.700% due 09/15/12 50 52
Series A
5.400% due 06/15/33 20 18
Series B
5.375% due 06/15/33 20 17
CIT Group, Inc.
5.625% due 05/17/04 600 601
5.750% due 09/25/07 90 96
6.875% due 11/01/09 55 61
Citicorp
Series MTNF
6.375% due 11/15/08 205 223
Citigroup, Inc.
3.500% due 02/01/08 570 566
7.250% due 10/01/10 310 354
6.000% due 02/21/12 (z) 40 43
Citizens Communications Co.
8.500% due 05/15/06 170 183
7.600% due 06/01/06 45 48
Clear Channel Communications, Inc.
7.650% due 09/15/10 50 57
Columbus Southern Power Co.
Series C
5.500% due 03/01/13 50 51
Series D
6.600% due 03/01/33 25 26
Comcast Cable Communications
8.375% due 05/01/07 320 363
6.750% due 01/30/11 60 66
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Comcast Corp.
5.850% due 01/15/10 80 84
Conoco Funding Co.
6.350% due 10/15/11 515 568
ConocoPhillips Holding Co.
6.950% due 04/15/29 125 137
Consolidated Natural Gas Co.
Series C
6.250% due 11/01/11 80 86
Constellation Energy Group, Inc.
7.600% due 04/01/32 65 73
Consumers Energy Co.
4.800% due 02/17/09 55 56
4.000% due 05/15/10 30 28
5.375% due 04/15/13 20 20
Continental Airlines, Inc.
Series 01-1
6.503% due 06/15/11 115 111
Series A
7.875% due 07/02/18 50 49
Corrections Corp. of America
7.500% due 05/01/11 75 79
7.500% due 05/01/11 175 183
Countrywide Home Loans, Inc.
3.250% due 05/21/08 120 116
Series MTNK
5.500% due 02/01/07 70 74
Credit Suisse First Boston USA, Inc.
4.625% due 01/15/08 100 103
6.125% due 11/15/11 140 150
5.500% due 08/15/13 55 56
CSC Holdings, Inc. (z)
10.500% due 05/15/16 135 155
DaimlerChrysler NA Holding Corp.
7.300% due 01/15/12 (z) 125 138
8.500% due 01/18/31 100 116
Detroit Edison Co.
6.350% due 10/15/32 160 163
Developers Diversified Realty Corp.
4.625% due 08/01/10 145 142
Devon Financing Corp. ULC
6.875% due 09/30/11 130 144
Dominion Resources, Inc.
Series B
6.250% due 06/30/12 60 64
DPL, Inc.
8.250% due 03/01/07 210 218
DR Horton, Inc.
6.875% due 05/01/13 50 52
Dresdner Funding Trust I
8.151% due 06/30/31 235 270
</Table>
Fixed Income III Fund 63
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Duke Capital Corp.
due 05/18/06 210 215
Duke Energy Field Services LLC
5.750% due 11/15/06 40 42
6.875% due 02/01/11 20 22
Echostar DBS Corp.
6.375% due 10/01/11 100 101
El Paso Corp. (z)
7.875% due 06/15/12 300 264
8.050% due 10/15/30 500 398
El Paso Natural Gas Co.
Series A
7.625% due 08/01/10 65 67
Electronic Data Systems Corp.
7.125% due 10/15/09 35 36
Series B
6.000% due 08/01/13 50 46
Eli Lilly & Co.
6.770% due 01/01/36 315 352
Entergy Gulf States, Inc.
3.600% due 06/01/08 40 39
Enterprise Products Partners, LP
7.500% due 02/01/11 150 167
EOP Operating, LP
7.500% due 04/19/29 95 103
4.500% due 03/15/14 20 19
Erac USA Finance Co.
7.350% due 06/15/08 170 191
Exelon Corp.
6.750% due 05/01/11 70 77
Exelon Generation Co. LLC (z)
6.950% due 06/15/11 155 173
Farmers Exchange Capital
7.050% due 07/15/28 250 243
Farmers Insurance Exch
8.625% due 05/01/24 310 351
Federated Department Stores
7.000% due 02/15/28 80 85
FedEx Corp.
2.650% due 04/01/07 70 68
7.600% due 07/01/97 90 99
Felcor Lodging, LP
10.000% due 09/15/08 135 144
FGIC Corp.
6.000% due 01/15/34 135 131
Fifth Third Bank Michigan
7.750% due 08/15/10 330 350
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Financing Corp. Fico Zero Coupon
Series 15P
0.000% due 03/07/19 90 38
FirstEnergy Corp.
Series B
6.450% due 11/15/11 390 411
Series C
7.375% due 11/15/31 140 147
FMC Corp.
10.250% due 11/01/09 15 18
Ford Motor Co.
6.375% due 02/01/29 130 113
7.450% due 07/16/31 345 336
Ford Motor Credit Co. (z)
5.625% due 10/01/08 240 245
5.800% due 01/12/09 400 407
7.875% due 06/15/10 285 313
7.375% due 02/01/11 430 460
7.000% due 10/01/13 145 149
General Electric Capital Corp.
Series MTNA
4.250% due 12/01/10 55 54
6.750% due 03/15/32 (z) 150 161
General Electric Co. (z)
5.000% due 02/01/13 455 452
General Motors Acceptance Corp.
6.750% due 01/15/06 60 64
4.500% due 07/15/06 (z) 45 46
7.250% due 03/02/11 365 392
6.875% due 09/15/11 1,075 1,128
7.000% due 02/01/12 70 74
8.000% due 11/01/31 65 69
General Motors Corp. (z)
8.375% due 07/15/33 440 476
Georgia-Pacific Corp.
9.125% due 07/01/22 15 15
Glencore Funding LLC
6.000% due 04/15/14 400 378
Golden West Financial Corp.
4.125% due 08/15/07 160 165
Goldman Sachs Group, Inc.
6.875% due 01/15/11 500 556
5.250% due 10/15/13 250 246
6.345% due 02/15/34 415 397
GTE Corp.
6.940% due 04/15/28 205 213
</Table>
64 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
GulfTerra Energy Partners, LP
6.250% due 06/01/10 85 88
Series B
8.500% due 06/01/10 61 68
Halliburton Co.
5.500% due 10/15/10 390 399
Harleysville Group, Inc.
5.750% due 07/15/13 50 47
Harrah's Operating Co., Inc.
8.000% due 02/01/11 75 87
Hartford Financial Services Group, Inc.
7.900% due 06/15/10 35 41
HCA, Inc.
5.250% due 11/06/08 90 90
6.950% due 05/01/12 60 63
6.300% due 10/01/12 30 30
7.500% due 12/15/23 200 198
7.580% due 09/15/25 55 55
7.500% due 11/06/33 50 50
Health Net, Inc.
8.375% due 04/15/11 140 165
Hertz Corp.
7.625% due 08/15/07 35 38
Hilton Hotels Corp.
7.625% due 12/01/12 190 212
Historic TW, Inc.
7.975% due 08/15/04 375 382
8.180% due 08/15/07 100 113
9.125% due 01/15/13 190 234
8.050% due 01/15/16 580 671
HJ Heinz Finance Co.
6.750% due 03/15/32 105 114
Honeywell International, Inc.
6.125% due 11/01/11 75 81
Hornbeck Offshore Services, Inc.
10.625% due 08/01/08 170 187
Household Finance Corp.
4.125% due 12/15/08 365 365
5.875% due 02/01/09 260 278
6.375% due 11/27/12 150 162
HVB Funding Trust I
8.741% due 06/30/31 255 309
HVB Funding Trust III
9.000% due 10/22/31 40 50
Hyatt Equities LLC
6.875% due 06/15/07 85 90
ICI Wilmington, Inc.
4.375% due 12/01/08 45 45
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
International Lease Finance Corp.
6.375% due 03/15/09 155 169
5.875% due 05/01/13 80 83
International Paper Co.
4.250% due 01/15/09 60 60
5.500% due 01/15/14 180 178
Iron Mountain, Inc.
7.750% due 01/15/15 80 82
6.625% due 01/01/16 40 37
iStar Financial, Inc.
7.000% due 03/15/08 35 37
ITT Industries, Inc.
7.400% due 11/15/25 135 151
Jabil Circuit, Inc.
5.875% due 07/15/10 105 109
John Hancock Global Funding II
7.900% due 07/02/10 200 234
JP Morgan & Co., Inc.
Series MTNA
6.000% due 01/15/09 165 177
JP Morgan Chase & Co.
5.350% due 03/01/07 75 79
7.000% due 11/15/09 10 11
6.750% due 02/01/11 70 78
6.625% due 03/15/12 35 39
Kellogg Co.
Series B
6.600% due 04/01/11 510 567
Kennametal, Inc.
7.200% due 06/15/12 110 117
Kerr-McGee Corp.
5.875% due 09/15/06 20 21
6.875% due 09/15/11 30 33
7.875% due 09/15/31 55 62
KeySpan Corp.
7.250% due 11/15/05 150 161
Kraft Foods, Inc.
5.250% due 06/01/07 75 79
4.000% due 10/01/08 215 214
5.625% due 11/01/11 245 253
6.250% due 06/01/12 50 54
5.250% due 10/01/13 320 317
Kroger Co.
7.250% due 06/01/09 175 197
8.000% due 09/15/29 75 88
Lehman Brothers Holdings, Inc.
6.625% due 01/18/12 195 215
</Table>
Fixed Income III Fund 65
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Liberty Media Corp.
3.500% due 09/25/06 840 842
5.700% due 05/15/13 40 40
Liberty Mutual Group
7.000% due 03/15/34 180 177
Lockheed Martin Corp.
8.200% due 12/01/09 600 713
7.750% due 05/01/26 45 53
8.500% due 12/01/29 35 44
Lodgenet Entertainment Corp. (z)
9.500% due 06/15/13 225 248
Lone Star Industries
8.850% due 06/15/05 195 203
Lyondell Chemical Co.
Series B
9.875% due 05/01/07 330 347
Manufacturers & Traders Trust Co.
8.000% due 10/01/10 115 136
Marathon Oil Corp. (z)
6.800% due 03/15/32 60 63
Massachusetts Mutual Life Insurance Co.
5.625% due 05/15/33 250 235
May Department Stores Co. (The)
7.875% due 03/01/30 145 170
MBNA Corp.
6.125% due 03/01/13 155 163
Medco Health Solutions, Inc.
7.250% due 08/15/13 470 507
MGM Mirage
9.750% due 06/01/07 115 130
8.500% due 09/15/10 170 192
Michaels Stores, Inc.
9.250% due 07/01/09 195 214
Midland Funding II
Series B
13.250% due 07/23/06 55 62
Miller Brewing Co.
4.250% due 08/15/08 70 70
5.500% due 08/15/13 165 167
Mizuho Preferred Capital Co. LLC (p)
8.790% due 12/29/49 475 525
Mohawk Industries, Inc.
Series D
7.200% due 04/15/12 45 51
Monongahela Power Co.
5.000% due 10/01/06 55 56
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Monumental Global Funding II
3.850% due 03/03/08 200 201
Morgan Stanley
6.750% due 04/15/11 240 265
4.750% due 04/01/14 285 266
Natexis Ambs Co. LLC (p)
8.440% due 12/29/49 185 213
National Rural Utilities Cooperative Fin
5.750% due 08/28/09 85 91
Nationwide Financial Services (z)
6.250% due 11/15/11 265 284
Nationwide Mutual Insurance Co.
7.875% due 04/01/33 220 253
NB Capital Trust IV
8.250% due 04/15/27 115 128
Nevada Power Co.
6.500% due 04/15/12 85 84
9.000% due 08/15/13 60 66
News America Holdings
7.750% due 12/01/45 135 155
7.900% due 12/01/95 120 136
8.250% due 10/17/96 45 53
News America, Inc.
7.300% due 04/30/28 135 148
Nisource Finance Corp.
7.625% due 11/15/05 45 48
7.875% due 11/15/10 260 303
Norfolk Southern Corp.
7.900% due 05/15/97 285 328
Northern Border Pipeline Co.
6.250% due 05/01/07 170 184
Occidental Petroleum Corp.
9.250% due 08/01/19 135 182
Ohio Edison Co.
5.450% due 05/01/15 55 53
Ohio Power Co.
Series F
5.500% due 02/15/13 (z) 25 25
Series G
6.600% due 02/15/33 35 36
Oncor Electric Delivery Co.
7.250% due 01/15/33 140 156
Owens-Brockway
7.750% due 05/15/11 50 52
8.750% due 11/15/12 55 60
Pacific Gas & Electric Co.
3.600% due 03/01/09 75 73
4.200% due 03/01/11 70 67
4.800% due 03/01/14 145 139
6.050% due 03/01/34 730 690
</Table>
66 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Packaging Corp. of America
5.750% due 08/01/13 40 40
PanAmSat Corp.
8.500% due 02/01/12 60 68
Panhandle Eastern Pipe Line
2.750% due 03/15/07 25 24
Pemex Project Funding Master Trust
8.000% due 11/15/11 20 22
7.375% due 12/15/14 95 99
8.625% due 02/01/22 190 203
Popular North America, Inc.
4.250% due 04/01/08 285 287
Portola Packaging, Inc. (z)
8.250% due 02/01/12 345 292
Progress Energy, Inc.
7.000% due 10/30/31 185 194
Prudential Holdings LLC
Series FSA
7.245% due 12/18/23 370 421
PSEG Energy Holdings LLC
7.750% due 04/16/07 395 413
8.625% due 02/15/08 (z) 65 70
Qwest Capital Funding, Inc.
7.000% due 08/03/09 25 21
6.500% due 11/15/18 25 18
Qwest Services Corp.
13.500% due 12/15/10 115 133
Rabobank Capital Funding II (p)
5.26% due 12/31/49 165 163
Raytheon Co.
8.300% due 03/01/10 50 59
4.850% due 01/15/11 10 10
RBS Capital Trust I (p)
4.709% due 12/29/49 435 410
RC Trust 1 Equity Preferred
3.500% due 05/15/06 1,510 817
Reckson Operating Partnership, LP
5.150% due 01/15/11 95 93
Rouse Co. (The)
3.625% due 03/15/09 40 38
5.375% due 11/26/13 20 20
Safeway, Inc.
5.800% due 08/15/12 55 57
Schering-Plough Corp.
5.300% due 12/01/13 160 160
6.500% due 12/01/33 225 228
Sealed Air Corp.
5.625% due 07/15/13 60 61
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Smithfield Foods, Inc.
Series B
8.000% due 10/15/09 105 116
7.750% due 05/15/13 30 32
Southern California Edison Co.
7.625% due 01/15/10 200 229
5.000% due 01/15/14 15 15
6.000% due 01/15/34 135 130
Sovereign Bancorp, Inc.
10.500% due 11/15/06 755 881
Sprint Capital Corp.
6.125% due 11/15/08 80 86
6.375% due 05/01/09 75 81
8.375% due 03/15/12 265 311
6.875% due 11/15/28 285 280
8.750% due 03/15/32 405 484
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/07 20 22
7.875% due 05/01/12 135 148
Station Casinos, Inc.
6.000% due 04/01/12 100 99
Swift Energy Co.
10.250% due 08/01/09 75 80
TCI Communications, Inc.
7.875% due 02/15/26 80 91
TECO Energy, Inc.
7.200% due 05/01/11 80 80
Tele-Communications-TCI Group
9.800% due 02/01/12 270 345
7.875% due 08/01/13 225 260
Tenet Healthcare Corp.
5.000% due 07/01/07 (z) 65 60
7.375% due 02/01/13 (z) 50 45
6.875% due 11/15/31 65 54
Tesoro Petroleum Corp.
8.000% due 04/15/08 200 216
Texas Eastern Transmission, LP
7.000% due 07/15/32 45 48
Texas-New Mexico Power Co.
6.250% due 01/15/09 55 57
Time Warner Cos., Inc.
7.570% due 02/01/24 35 38
Time Warner Entertainment Co., LP
Series*
8.375% due 03/15/23 270 318
</Table>
Fixed Income III Fund 67
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Time Warner, Inc.
6.750% due 04/15/11 30 33
7.625% due 04/15/31 160 175
7.700% due 05/01/32 130 144
Toys R US, Inc.
7.375% due 10/15/18 60 57
Travelers Property Casualty Corp.
5.000% due 03/15/13 110 108
TXU Corp.
Series J
6.375% due 06/15/06 40 43
TXU Energy Co.
7.000% due 03/15/13 475 525
Tyson Foods, Inc.
8.250% due 10/01/11 90 105
Union Pacific Corp.
5.750% due 10/15/07 370 395
6.125% due 01/15/12 195 209
Union Planters Corp.
7.750% due 03/01/11 125 146
Univision Communications, Inc.
7.850% due 07/15/11 135 157
UST, Inc.
6.625% due 07/15/12 200 217
Valero Logistics Operations, LP
6.050% due 03/15/13 160 166
Verizon Florida, Inc.
Series F
6.125% due 01/15/13 100 105
Verizon Global Funding Corp.
7.750% due 12/01/30 30 34
Verizon New York, Inc.
Series A
6.875% due 04/01/12 90 98
Series B
7.375% due 04/01/32 (z) 280 302
Verizon/New England
6.500% due 09/15/11 40 43
Washington Mutual, Inc.
8.250% due 04/01/10 80 94
Waste Management, Inc.
7.000% due 07/15/28 135 142
Wells Fargo & Co.
4.950% due 10/16/13 125 122
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Weyerhaeuser Co.
6.000% due 08/01/06 30 32
6.750% due 03/15/12 235 258
Williams Gas Pipelines
7.375% due 11/15/06 215 233
Wisconsin Energy Corp.
6.200% due 04/01/33 60 58
Wyeth
5.500% due 03/15/13 50 50
5.500% due 02/01/14 195 194
Xerox Corp.
7.125% due 06/15/10 90 91
Yum! Brands, Inc.
8.875% due 04/15/11 215 262
Zurich Capital Trust I
8.376% due 06/01/37 425 476
------------
57,785
------------
Emerging Markets Debt - 1.6%
Argentina Bonos (E)
1.234% due 08/03/12 615 404
Argentina Government International Bond
11.375% due 03/15/10 255 82
11.375% due 01/30/17 320 105
Brazilian Government International Bond
2.063% due 04/15/06 (E) 400 385
2.125% due 04/15/09 (E) 882 794
9.250% due 10/22/10 (z) 130 125
11.000% due 08/17/40 (z) 790 735
Series RG
2.125% due 04/15/09 (E) 59 53
Bulgaria Government International Bond (E)
2.000% due 07/28/24 220 219
Ecuador Government International Bond
12.000% due 11/15/12 780 700
7.000% due 08/15/30 585 437
Federal Republic of Brazil
6.000% due 04/15/24 400 304
OAO Gazprom (y)
9.625% due 03/01/13 100 103
Peru Government International Bond
9.125% due 02/21/12 100 105
8.750% due 11/21/33 (z) 215 191
Russia Government International Bond
5.000% due 03/31/30 1,055 967
Venezuela Government International Bond (E)
2.063% due 03/31/20 360 290
------------
5,999
------------
</Table>
68 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
International Debt - 5.8%
Abbey National PLC Step Up Bond (p)
6.700% due 06/29/49 275 299
Abitibi-Consolidated, Inc. (z)
6.950% due 12/15/06 255 264
8.550% due 08/01/10 140 152
8.850% due 08/01/30 60 61
Aegon NV
4.750% due 06/01/13 130 126
America Movil SA de CV
5.500% due 03/01/14 195 182
Arlington Street CDO, Ltd. (y)
Series 2000-1A Class A2
7.660% due 06/10/12 920 948
AXA
8.600% due 12/15/30 125 155
Batterson Park CBO I, Ltd.
Series 1998-1A Class A4
6.130% due 01/02/11 67 69
Bowater Canada Finance
7.950% due 11/15/11 185 197
British Sky Broadcasting PLC
8.200% due 07/15/09 285 332
British Telecommunications PLC
8.375% due 12/15/10 240 286
Chile Government International Bond
5.500% due 01/15/13 1,500 1,509
DBS Capital Funding Corp. (p)
7.657% due 03/15/49 205 232
Deutsche Telekom International Finance BV
8.500% due 06/15/10 265 313
8.750% due 06/15/30 550 683
Dominican Republic International Bond
9.040% due 01/23/13 340 248
2.063% due 08/30/24 250 178
Dresdner Bank AG for Kyivstar GSM
12.750% due 11/21/05 180 196
Evergreen Funding, Ltd.
Series REGS
1.680% due 11/15/10 352 324
Export Import Bank of Korea
4.125% due 02/10/09 160 158
Export-Import Bank Of Korea
4.250% due 11/27/07 30 30
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
France Telecom Step Up Bond
8.200% due 03/01/06 750 816
8.750% due 03/01/11 845 999
9.500% due 03/01/31 90 115
Hutchison Whampoa International 03/13, Ltd.
6.500% due 02/13/13 120 121
Inco, Ltd.
7.750% due 05/15/12 85 99
7.200% due 09/15/32 65 70
Intelsat, Ltd. (z)
6.500% due 11/01/13 285 261
Jamaica Government International Bond
10.625% due 06/20/17 260 259
Juniper CBO, Ltd.
Series 1999-1A Class A1
6.830% due 04/15/11 295 308
Korea Development Bank (z)
4.250% due 11/13/07 45 45
Korea Electric Power Corp.
5.125% due 04/23/34 85 82
Mantis Reef, Ltd.
4.692% due 11/14/08 200 199
Mexico Government International Bond
8.375% due 01/14/11 35 40
6.375% due 01/16/13 100 101
8.125% due 12/30/19 200 218
8.000% due 09/24/22 300 317
8.300% due 08/15/31 400 429
7.500% due 04/08/33 180 178
Mizuho Financial Group Cayman, Ltd.
5.790% due 04/15/14 1,095 1,086
Newcourt Credit Group, Inc.
Series B
6.875% due 02/16/05 70 73
Nexen, Inc.
5.050% due 11/20/13 55 53
Oil Insurance, Ltd.
5.150% due 08/15/33 280 283
Petro-Canada
5.350% due 07/15/33 70 60
Petroleos Mexicanos (z)
9.500% due 09/15/27 90 103
Petroleum Geo-Services ASA
8.000% due 11/05/06 220 225
Province of Quebec
7.500% due 07/15/23 545 663
</Table>
Fixed Income III Fund 69
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
PTC International Finance II SA
11.250% due 12/01/09 240 258
Ras Laffan Liquefied Natural Gas Co., Ltd.
8.294% due 03/15/14 85 99
Royal Bank of Scotland Group PLC (p)
Series 1
9.118% due 03/31/49 600 736
Royal KPN NV
8.000% due 10/01/10 410 480
Santander Central Hispano Issuances, Ltd.
7.625% due 09/14/10 15 17
Santander Financial Issuances
6.375% due 02/15/11 180 196
Sanwa Finance Aruba AEC
8.350% due 07/15/09 170 197
Sappi Papier Holding AG
6.750% due 06/15/12 65 70
Shaw Communications, Inc.
8.250% due 04/11/10 185 208
7.200% due 12/15/11 (z) 65 70
Singapore Telecommunications, Ltd.
7.375% due 12/01/31 245 277
SingTel Optus Finance Pty, Ltd.
8.125% due 06/15/09 150 174
Smurfit Capital Funding PLC
6.750% due 11/20/05 305 314
South Street CBO, Ltd.
Series 1999-1A Class A1
7.160% due 07/01/11 345 303
Stora Enso OYJ
7.375% due 05/15/11 105 120
Systems 2001 AT LLC
7.156% due 12/15/11 184 198
6.664% due 09/15/13 152 166
Telecom Italia Capital SA
5.250% due 11/15/13 305 301
6.375% due 11/15/33 190 186
Telefonos de Mexico SA de CV
4.500% due 11/19/08 240 237
TELUS Corp.
7.500% due 06/01/07 240 265
8.000% due 06/01/11 605 702
TPSA Finance BV
7.750% due 12/10/08 225 253
Tyco International Group SA
6.375% due 10/15/11 700 737
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
UFJ Finance Aruba AEC
6.750% due 07/15/13 425 449
Weatherford International, Ltd.
4.950% due 10/15/13 220 213
------------
21,371
------------
Mortgage-Backed Securities - 32.5%
Aurora Loan Services (E)
Series 2000-2 Class 2A1
1.800% due 05/25/30 53 53
Banc of America Commercial Mortgage, Inc.
Series 2004-2 Class A2
3.520% due 11/10/38 160 155
Bank of America Alternative Loan Trust
Series 2003-10 Class 2A1
6.000% due 12/25/33 366 375
Series 2004-2 Class 1A1
6.000% due 03/25/34 187 191
Bank of America Mortgage Securities (E)
Series 2003-D Class 1A2
3.428% due 05/25/33 25 25
Series 2003-I Class 2A4
3.828% due 10/25/33 265 265
Series 2004-1 Class 5A1
6.500% due 09/25/33 77 79
Series 2004-A Class 1A1
3.488% due 02/25/34 198 196
Cendant Mortgage Corp.
Series 2002-4 Class A6
6.500% due 07/25/32 32 32
Citicorp Mortgage Securities, Inc.
Series 2001-12 Class M
6.394% due 08/25/31 121 121
CS First Boston Mortgage Securities Corp.
Series 2002-10 Class 2A1
7.500% due 05/25/32 155 165
Series 2002-18 Class 1AIO
7.500% due 06/25/32 725 27
Series 2002-22 Class 1AIO
8.000% due 07/25/32 925 35
Series 2002-22 Class 2AIO
6.000% due 06/25/32 4,250 22
Series 2002-30 Class 1A1
7.500% due 11/25/32 5 6
</Table>
70 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-23 Class 5A1
6.000% due 09/25/33 2 2
Series 2003-23 Class 6A1
6.500% due 09/25/33 284 295
Series 2003-23 Class 7A1
5.000% due 09/25/18 244 245
Series 2003-29 Class 5A1
7.000% due 12/25/33 243 252
Series 2004-1 Class 2A2
6.000% due 02/25/34 324 333
Series 2004-1 Class 3A1
7.000% due 02/25/34 103 109
Deutsche ALT-A Securities, Inc. Alternate Loan
Trust
Series 2003-3 Class 2A3
4.500% due 10/25/33 140 141
Deutsche Mortgage Securities, Inc.
Series 2004-2 Class A2
3.080% due 01/25/34 145 143
DLJ Mortgage Acceptance Corp. (E)
Series 1996-Q5 Class A1
1.620% due 06/25/26 74 74
Federal Home Loan Mortgage Corp.
15 Year Gold TBA (o)
4.500% 1,505 1,481
5.000% 3,285 3,306
6.500% 655 693
30 Year Gold TBA (o)
4.500% 720 676
5.000% 4,555 4,397
6.000% 1,060 1,084
6.500% 280 292
6.000% due 2016 123 128
8.500% due 2017 124 136
10.500% due 2017 41 47
5.000% due 2018 607 612
10.000% due 2020 125 140
8.500% due 2025 44 48
3.608% due 2027 131 135
8.500% due 2027 244 266
3.537% due 2028 91 93
3.690% due 2028 102 104
7.000% due 2030 371 392
7.500% due 2030 428 460
7.820% due 2030 23 24
8.000% due 2030 178 193
7.000% due 2031 532 562
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
7.500% due 2031 44 48
8.000% due 2031 86 93
6.500% due 2032 802 835
7.500% due 2032 761 817
5.000% due 2033 450 441
5.500% due 2033 1,459 1,458
6.000% due 2033 336 344
6.500% due 2033 108 112
6.500% due 2033 1,332 1,388
5.000% due 2034 495 480
Series 1991-1037 Class Z
9.000% due 02/15/21 150 150
Series 2003-2591 Class IQ-IO
5.000% due 06/15/17 645 67
Series 2003-2610 Class UIO
6.500% due 05/15/33 318 58
Series 2003-2613 Class DIO
5.500% due 05/15/27 600 52
Series 2003-2649 Class IM-IO
7.000% due 07/15/33 431 81
Federal Home Loan Mortgage Corp. Interest Only
STRIP
Series 1998-191 Class IO
8.000% due 01/01/28 76 16
Series 1998-194 Class IO
6.500% due 04/01/28 267 57
Series 2001-212 Class IO
6.000% due 05/01/31 215 46
Series 2001-215 Class IO
8.000% due 06/01/31 185 37
Federal Home Loan Mortgage Corp. Structured Pass
Through Securities
Series 2002-50 Class A3
2.182% due 09/27/07 97 97
Series 2003-54 Class 2AIO
0.248% due 02/25/43 11,917 95
Series 2003-54 Class 3AIO
0.769% due 02/25/43 2,345 53
Series 2003-58 Class 1A2
3.108% due 05/25/35 150 150
Series 2003-58 Class 2A
6.500% due 09/25/43 350 367
Federal National Mortgage Association
15 Year TBA (o)
4.000% 645 618
4.500% 5,330 5,244
5.000% 3,170 3,187
5.500% 5,025 5,149
30 Year TBA (o)
4.500% 265 247
5.500% 14,620 14,566
</Table>
Fixed Income III Fund 71
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
6.000% 6,390 6,534
6.500% 8,800 9,157
7.000% 1,400 1,480
6.000% due 2016 69 72
5.000% due 2017 909 916
5.500% due 2017 1,179 1,211
6.000% due 2017 597 623
6.500% due 2017 126 134
4.000% due 2018 369 356
5.000% due 2018 3,295 3,317
5.500% due 2018 558 573
6.000% due 2018 461 481
10.000% due 2018 96 107
10.000% due 2024 88 98
3.342% due 2025 66 67
3.471% due 2026 483 499
7.500% due 2027 47 50
7.000% due 2028 85 89
7.000% due 2029 437 462
7.500% due 2029 332 356
8.000% due 2029 41 45
8.500% due 2029 8 8
7.000% due 2030 43 45
7.500% due 2030 161 173
8.500% due 2030 914 988
9.500% due 2030 197 222
6.500% due 2031 571 596
7.000% due 2031 1,495 1,580
7.500% due 2031 259 277
7.500% due 2031 698 747
8.000% due 2031 1,012 1,094
8.500% due 2031 733 791
6.000% due 2032 195 200
6.500% due 2032 3,472 3,617
7.000% due 2032 1,635 1,737
7.500% due 2032 574 614
8.000% due 2032 129 139
5.000% due 2033 456 444
5.500% due 2033 831 830
6.000% due 2033 1,969 2,015
6.500% due 2033 1,636 1,703
4.246% due 2034 349 352
5.000% due 2034 1,841 1,785
5.000% due 2034 569 552
5.500% due 2034 459 458
6.000% due 2034 300 307
Series 1992-10 Class ZD
8.000% due 11/25/21 2,224 2,321
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2002-50 Class SC-IO
7.000% due 12/25/29 145 12
Series 2003-16 Class NIO
5.000% due 02/25/15 746 71
Series 2003-25 Class IK-IO
7.000% due 04/25/33 311 45
Series 2003-32 Class UIO
6.000% due 05/25/33 276 38
Series 2003-33 Class IA-IO
6.500% due 05/25/33 456 86
Series 2003-81 Class MJ
5.000% due 02/25/27 265 269
Series 2003-82 Class IA-IO
6.000% due 08/25/32 477 72
Series 2003-82 Class WIO
6.000% due 08/25/32 126 19
Federal National Mortgage Association Interest
Strip
Series 1997-281 Class 2-IO
9.000% due 11/01/26 96 21
Series 2000-306 Class IO
8.000% due 05/01/30 124 26
Series 2001-317 Class 2-IO
8.000% due 08/01/31 140 28
Series 2002-320 Class 2-IO
7.000% due 03/01/32 64 14
Federal National Mortgage Association Whole Loan
Series 2002-W1 Class 2AIO
0.599% due 04/25/42 7,007 104
Series 2002-W6 Class 2AIO
0.351% due 06/25/42 5,274 49
Series 2003-W17 Class 1A6
5.310% due 08/25/33 1,700 1,698
Series 2003-W19 Class 1A2
3.471% due 11/25/33 313 315
Series 2003-W6 Class 1A11
2.115% due 10/25/42 80 80
First Horizon Asset Securities, Inc.
Series 2003-5 Class 1A17
8.000% due 07/25/33 92 99
First Nationwide Trust (E)
Series 2001-4 Class 3A5
1.720% due 09/25/31 105 105
First Union-Lehman Brothers-
Bank of America
Series 1998-C2 Class A2
6.560% due 11/18/35 420 460
</Table>
72 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Government National Mortgage Association (E)
Series 1999-27 Class SE-IO
7.500% due 08/16/29 416 47
Series 1999-44 Class SA-IO
7.450% due 12/16/29 388 43
Series 2000-29 Class SIO
7.400% due 09/20/30 165 17
Series 2002-27 Class SA-IO
6.900% due 05/16/32 256 22
Series 2002-62 Class B
4.763% due 01/16/25 160 161
Series 2003-18 Class YIO
5.500% due 03/20/33 213 21
Government National Mortgage Association I
30 Year TBA (o)
5.500% 605 605
6.000% 920 943
10.500% due 2016 45 53
11.000% due 2020 117 137
10.000% due 2022 93 104
7.500% due 2024 65 70
6.500% due 2028 215 225
6.500% due 2032 762 796
7.500% due 2032 95 102
5.500% due 2033 159 159
Government National Mortgage Association II
30 Year TBA (o)
5.500% 245 245
4.625% due 2023 132 135
4.750% due 2023 50 51
4.625% due 2024 370 380
4.750% due 2024 399 410
4.375% due 2025 462 467
4.750% due 2025 12 12
4.625% due 2026 185 189
4.375% due 2027 325 328
4.625% due 2027 29 29
4.750% due 2027 258 264
4.375% due 2028 11 11
3.500% due 2030 710 716
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
GSMPS Mortgage Loan Trust
Series 2003-3 Class A1
7.000% due 06/25/43 498 526
GSR Mortgage Loan Trust
Series 2004-2F Class 6A1
7.000% due 01/25/34 123 129
MASTR Alternative Loans Trust
Series 2003-2 Class 7A1
7.000% due 12/25/32 99 102
Series 2003-6 Class 3A1
8.000% due 09/25/33 116 122
Series 2003-9 Class 1A1
5.500% due 12/25/18 281 291
Series 2004-1 Class 2A1
7.000% due 01/25/34 292 299
MASTR Asset Securitization Trust
Series 2003-12 Class 3A5
5.250% due 10/25/14 161 163
Merrill Lynch Mortgage Trust
Series 2002-MW1 Class J
5.695% due 07/12/34 185 143
Nomura Asset Acceptance Corp.
Series 2004-AP1 Class A2
3.238% due 03/25/34 175 174
PNC Mortgage Securities Corp.
Series 2000-4 Class CB2
6.832% due 06/25/30 102 98
Series 2000-4 Class CB3
6.832% due 06/25/30 58 58
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 166 166
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 82 82
Residential Asset Mortgage Products, Inc.
Series 2004-SL1 Class A3
7.000% due 11/25/31 262 271
Residential Funding Mortgage
Series 2004-S5 Class VA
5.250% due 04/25/34 195 199
Salomon Brothers Mortgage Securities VII
Series 1999-C1 Class J
7.000% due 05/18/32 140 112
Structured Asset Securities Corp.
Series 2002-22H Class 1A
7.000% due 11/25/32 110 118
Series 2003-33H Class 1A1
5.500% due 10/25/33 278 275
Vendee Mortgage Trust
Series 2000-1 Class 2G
7.250% due 06/15/09 260 273
Series 2002-1 Class 2IO
0.245% due 08/15/31 17,996 177
</Table>
Fixed Income III Fund 73
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Washington Mutual (E)
Series 2003-AR4 Class A7
3.950% due 05/25/33 103 103
Series 2003-S1 Class A1
5.000% due 04/25/33 138 139
Wells Fargo Mortgage Backed Securities Trust
Series 2002-9 Class B1
6.250% due 06/25/32 142 143
Series 2003-K Class 2A5
4.522% due 11/25/33 160 147
Series 2003-M Class A1
4.774% due 12/25/33 304 306
------------
120,154
------------
Municipal Bonds - 1.7%
City of Chicago Illinois General Obligation
Unlimited, weekly demand (u)
5.000% due 01/01/35 800 783
City of Colorado Springs Colorado Revenue Bonds,
weekly demand
5.000% due 11/15/33 200 200
City of Forsyth Montana Revenue Bonds
5.200% due 05/01/33 70 73
Colorado Department of Transportation Revenue
Bonds (u)
5.000% due 12/15/13 270 293
County of Clark Nevada General Obligation
Limited, weekly demand (u)
5.000% due 06/01/32 1,000 997
Florida State Board Education General Obligation
Unlimited, weekly demand
5.000% due 06/01/33 700 701
Golden State Tobacco Securitization Corp.
Revenue Bonds, weekly demand
5.625% due 06/01/38 140 140
Metropolitan Transportation Authority Revenue
Bonds, weekly demand (u)
5.000% due 11/15/32 200 200
Metropolitan Washington Airports Authority
Revenue Bonds, weekly demand
5.000% due 10/01/34 130 125
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Orange County Sanitation District Certificate of
Participation, weekly demand
5.000% due 02/01/33 100 99
South Carolina Transportation Infrastructure
Bank Revenue Bonds, weekly
5.000% due 10/01/33 700 701
State of California General Obligation
Unlimited, weekly demand
5.000% due 02/01/33 75 71
State of California Notes
2.000% due 06/16/04 200 200
State of Illinois General Obligation Unlimited
5.100% due 06/01/33 455 413
State of Oregon General Obligation Unlimited
5.892% due 06/01/27 395 402
State of Wisconsin Revenue Bonds (u)
5.700% due 05/01/26 175 174
Utah State Board Of Regents Revenue Bonds,
weekly demand
1.160% due 05/01/41 500 500
West Virginia Economic Development Authority
Revenue Bonds (u)
5.370% due 07/01/20 65 66
6.070% due 07/01/26 200 199
------------
6,337
------------
Non-US Bonds - 1.9%
Bank Nederlandse Gemeenten
5.000% due 02/04/08 AUD 410 286
BAT International Finance PLC
4.875% due 02/25/09 EUR 80 99
Bundesschatzanweisungen
2.000% due 03/10/06 EUR 3,440 4,097
Deutsche Bundesrepublik
5.250% due 01/04/11 EUR 485 632
Dexia Municipal Agency
5.750% due 04/07/09 NZD 490 298
France Telecom
7.000% due 12/23/09 EUR 45 62
General Motors Acceptance Corp.
5.375% due 06/06/11 EUR 280 337
KBC Bank Funding Trust I (p)
6.880% due 06/30/49 EUR 600 803
</Table>
74 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mexico Government International Bond Value
Recovery Rights Zero Coupon (AE)(E)
Series B
0.000% due 06/01/04 2,000 9
Series C
0.000% due 06/30/05 2,000 35
Series D
0.000% due 06/30/06 1,300 16
Series E
0.000% due 06/01/07 1,300 10
Olivetti Finance NV
5.875% due 01/24/08 EUR 45 58
Russia Paris Club Participant
2.025% due 08/20/20 JPY 31,816 245
------------
6,987
------------
Registered Investment Company Funds - 0.0%
Pacific Investment Management Co.
Series High Yield Portfolio Institutional 5,727 48
------------
United States Government Agencies - 0.5%
Federal Home Loan Mortgage Corp. (z)
2.750% due 03/15/08 280 272
5.125% due 11/07/13 530 522
Federal National Mortgage Association (z)
4.375% due 03/15/13 435 420
Financing Corp. Fico
Zero Coupon
0.000% due 04/05/19 475 202
0.000% due 09/26/19 535 220
------------
1,636
------------
United States Government Treasuries - 7.4%
United States Treasury Inflation Indexed Bonds
3.375% due 01/15/07 (s) 1,205 1,299
3.625% due 01/15/08 (z) 231 254
3.875% due 01/15/09 (z) 1,476 1,655
3.375% due 01/15/12 (z) 3,250 3,605
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
3.000% due 07/15/12 911 985
1.875% due 07/15/13 112 110
2.000% due 01/15/14 (z) 1,370 1,361
3.375% due 04/15/32 (s) 220 261
United States Treasury Note
1.500% due 03/31/06 175 173
4.625% due 05/15/06 (z) 2,325 2,428
7.000% due 07/15/06 (z) 170 186
2.250% due 02/15/07 160 158
4.375% due 05/15/07 (z) 1,035 1,079
3.375% due 12/15/08 50 50
6.500% due 02/15/10 (z) 600 682
5.000% due 02/15/11 320 338
3.875% due 02/15/13 (z) 2,050 1,972
4.250% due 08/15/13 (z) 1,300 1,278
8.750% due 05/15/17 (z) 905 1,237
8.125% due 08/15/19 (z) 3,775 4,977
6.000% due 02/15/26 (z) 1,605 1,736
6.125% due 08/15/29 (z) 1,160 1,281
5.375% due 02/15/31 335 338
------------
27,443
------------
TOTAL LONG-TERM INVESTMENTS
(cost $257,338) 259,857
------------
PREFERRED STOCKS - 0.5%
Consumer Discretionary - 0.0%
Cablevision Systems Corp. 1,750 183
------------
Financial Services - 0.4%
Centaur Funding Corp. 525,000 665
DG Funding Trust 59 634
------------
1,299
------------
Utilities - 0.1%
TNP Enterprises, Inc. 1,669 193
------------
TOTAL PREFERRED STOCKS
(cost $1,510) 1,675
------------
COMMON STOCKS - 0.1%
Other Energy - 0.1%
Nexen, Inc. 20,150 515
------------
TOTAL COMMON STOCKS
(cost $506) 515
------------
</Table>
Fixed Income III Fund 75
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 59.2%
ANZ Delaware, Inc. (y)
1.030% due 06/02/04 (c) 200 200
1.035% due 06/25/04 2,800 2,795
1.050% due 07/06/04 100 100
ASIF II
1.200% due 01/26/05 JPY 32,000 292
Barclays US Funding, LLC. (c)(y)
1.040% due 06/21/04 200 200
CBA Del Finance, Inc. Years 3 & 4 Commercial
Paper (c)(y)
1.020% due 05/04/04 300 300
1.020% due 06/10/04 400 400
Danske Corp. Commercial Paper (y)
1.020% due 06/04/04 1,100 1,099
European Investment Bank
0.875% due 11/08/04 JPY 14,000 127
Federal Home Loan Bank Discount Note. (y)
0.950% due 05/28/04 7,000 6,995
0.981% due 06/23/04 10,800 10,784
Federal Home Loan Bank System (z)
4.125% due 01/14/05 310 316
Federal Home Loan Mortgage Corp. Discount Notes
(y)(z)
1.020% due 05/04/04 (c) 600 600
1.025% due 05/04/04 (c) 2,800 2,800
0.969% due 06/01/04 1,700 1,699
Federal National Mortgage Association
10.000% due 02/01/05 1 1
Federal National Mortgage Association Discount
Notes (c)(y)
1.020% due 05/05/04 400 400
Federal National Mortgage Association Discount
Note (y)(z)
0.981% due 06/23/04 6,400 6,391
1.010% due 06/23/04 1,100 1,098
1.020% due 06/23/04 1,100 1,098
1.015% due 07/14/04 1,100 1,097
1.060% due 07/21/04 1,800 1,795
1.062% due 07/21/04 1,000 997
Ford Motor Credit Co.
1.870% due 09/03/04 1,400 1,402
Frank Russell Investment Company Money Market
Fund 94,990,000 94,990
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Frank Russell Investment Company Money Market
Fund (N) 25,796,943 25,797
General Electric Capital Corp. Commercial Paper
(y)
1.040% due 06/08/04 800 799
1.060% due 07/09/04 2,300 2,295
General Motors Acceptance Corp. (E)(y)
1.570% due 07/30/04 1,000 1,000
HBOS Treasury Services PLC (y)
1.040% due 05/27/04 100 999
1.060% due 06/29/04 (c) 200 200
1.040% due 06/30/04 1,900 1,895
1.035% due 07/06/04 100 100
International Bank for Reconstruction &
Development
4.750% due 12/20/04 JPY 4,000 37
Italy Government International Bond
5.000% due 12/15/04 JPY 9,000 84
Kansai International Airport
1.300% due 07/29/04 JPY 8,000 73
KFW International Finance
0.149% due 12/20/04 JPY 47,000 428
Residential Asset Mortgage Products, Inc.
Series 2002-RZ4 Class AIO
5.750% due 04/25/05 794 31
Royal Bank of Scotland PLC (y)
1.025% due 05/04/04 (c) 300 300
1.040% due 05/04/04 (c) 1,000 1,000
1.025% due 06/01/04 700 699
1.020% due 06/02/04 (c) 400 400
Shell Finance Commercial Paper (y)
1.020% due 05/12/04 2,900 2,899
State Street Securities Lending Quality Trust
(N) 27,776,944 27,777
Svenska Handlesbanken, Inc.
1.025% due 05/26/04 2,900 2,898
1.070% due 07/21/04 200 199
Toyota Motor Credit Corp.
0.027% due 12/20/04 JPY 7,000 64
UBS Finance, Inc. Commercial Paper (y)
1.030% due 06/10/04 2,700 2,697
United States Treasury Bill (y)
0.854% due 05/06/04 (c) (z) 1,400 1,400
1.040% due 05/13/04 (z) 2,800 2,799
0.916% due 06/03/04 (c)(s) 30 30
0.930% due 06/03/04 (c)(s) (z) 140 140
0.944% due 06/03/04 (c)(s) 25 25
0.885% due 06/17/04 (c)(s) (z) 30 30
</Table>
76 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
0.921% due 06/17/04 (c)(s) 40 40
0.942% due 06/17/04 (c)(s) 20 20
1.221% due 09/23/04 (s) 500 498
0.980% due 09/30/04 (s) 75 75
United States Treasury Note (z)
7.875% due 11/15/04 2,365 2,448
Westpac Capital Corp.
1.090% due 08/20/04 800 797
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $218,998) 218,949
------------
WARRANTS - 0.00%
Consumer Discretionary - 0.0%
Travelcenters Of America, Inc. 2009 Warrants
(AE) 20 --
------------
Materials and Processing - 0.0%
Solutia, Inc. 2009 Warrants (AE) 450 --
------------
Utilities - 0.0%
GT Group Telecom, Inc. 2010 Warrants (AE) 450 --
------------
TOTAL WARRANTS
(cost $61) --
------------
TOTAL INVESTMENTS - 130.0%
(identified cost $478,413) 480,996
OTHER ASSETS AND LIABILITIES,
NET - (30.0%) (110,966)
------------
NET ASSETS - 100.0% 370,030
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Fixed Income III Fund 77
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Eurodollar Futures
expiration date 12/04 (4) 978 3
expiration date 03/05 (18) 4,380 (18)
expiration date 06/05 (18) 4,359 (22)
expiration date 09/05 (18) 4,342 (23)
expiration date 12/05 (18) 4,327 (24)
expiration date 03/06 (1) 240 (1)
Germany, Federal Republic 5 Year Bonds
expiration date 06/04 (39) 5,210 (16)
Germany, Federal Republic 10 Year Bonds
expiration date 06/04 (2) 273 (1)
United States Treasury Bonds
expiration date 06/04 (38) 4,070 (156)
United States Treasury 2 Year Notes
expiration date 06/04 (50) 10,627 (51)
United States Treasury 5 Year Notes
expiration date 06/04 (7) 770 (17)
United States Treasury 10 Year Notes
expiration date 06/04 (238) 26,298 (831)
expiration date 09/04 (9) 982 (3)
Short Positions
10 Year Interest Rate Swap Futures
expiration date 06/04 (2) 215 11
United States Treasury Bonds
expiration date 06/04 (1) 107 8
United States Treasury 5 Year Notes
expiration date 06/04 (21) 2,309 77
United States Treasury 10 Year Notes
expiration date 06/04 (29) 3,205 85
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (979)
===============
<Caption>
OPTIONS WRITTEN NOTIONAL MARKET
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Euribor Futures
Sep 2004 97.50 (EUR) Put (4) 116,839 --
Dec 2004 97.00 (EUR) Put (3) 87,629 --
Eurodollar Futures
Jun 2004 98.00 Put (12) 2,940 --
Swap Option Three Month LIBOR
Oct 2004 3.80 Call (1) 15,200 (1)
Oct 2004 5.97 Call (1) 17,910 (211)
Oct 2004 6.00 Call (1) 4,200 (50)
Oct 2004 5.97 Put (1) 17,910 (10)
Oct 2004 6.00 Put (1) 4,200 (3)
United States Treasury Notes
5 Year Futures
Aug 2004 111.50 Call (3) 3,345 (1)
Aug 2004 107.50 Put (4) 430 (4)
United States Treasury Notes
10 Year Futures
May 2004 116.00 Call (5) 580 --
Aug 2004 114.00 Call (1) 114 --
Aug 2004 115.00 Call (16) 1,840 (5)
Aug 2004 108.00 Put (9) 972 (14)
---------------
Total Liability for Options Written
(premiums received $344) (299)
===============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
EUR 108 USD 130 5/10/2004 --
EUR 657 USD 788 5/10/2004 1
EUR 82 USD 97 6/28/2004 (1)
EUR 102 USD 121 7/26/2004 (1)
EUR 2,560 USD 3,031 7/26/2004 (30)
--------------
(31)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
78 Fixed Income III Fund
FRANK RUSSELL INVESTMENT COMPANY
FIXED INCOME III FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
INDEX SWAPS
- ---------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
FUND RECEIVES COUNTER AMOUNT FUND PAYS TERMINATION (DEPRECIATION)
UNDERLYING SECURITY PARTY $ FLOATING RATE DATE $
- ------------------------------ ---------------- --------- ----------------------- -------------- ----------------
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 1,090 BBA minus 0.52% 05/31/04 (38)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Bear Stearns 760 BBA minus 0.60% 06/30/04 (26)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 920 BBA minus 0.35% 06/30/04 (13)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 1,575 BBA minus 0.59% 06/30/04 (55)
Lehman Brothers CMBS 1 Month USD LIBOR-
ERISA Eligible Index Lehman Brothers 1,360 BBA minus 0.45% 07/31/04 (47)
----------------
(179)
================
</Table>
<Table>
<Caption>
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------------------------------
NOTIONAL MARKET
COUNTER AMOUNT TERMINATION VALUE
PARTY $ FUND RECEIVES FUND PAYS DATE $
- --------------------- -------------------------- ------------------ -------------------- ---------------- ----------------
Barclays Bank PLC EUR 600 4.000% Six Month LIBOR 06/17/10 (3)
Goldman Sachs EUR 2,000 4.000% Six Month LIBOR 06/17/08 22
Goldman Sachs EUR 7,650 4.000% Six Month LIBOR 06/17/10 (40)
Merrill Lynch EUR 1,400 4.000% Six Month LIBOR 03/15/07 23
Merrill Lynch EUR 1,350 4.000% Six Month LIBOR 06/17/10 (7)
----------------
Total Market Value of Interest Rate Swaps premiums paid
(received) - $150 (5)
================
</Table>
See accompanying notes which are an integral part of the financial statements.
Fixed Income III Fund 79
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 83.6%
Argentina - 0.2%
Central Costanera SA Class T 437,100 647
IRSA Inversiones y Representaciones SA 390,246 322
------------
969
------------
Bermuda - 0.1%
Credicorp, Ltd. (z) 21,700 278
------------
Brazil - 2.3%
Banco Bradesco SA - ADR (z) 1,750 71
Banco do Brasil SA 100,000 650
Brasil Telecom Participacoes SA 12,803,504 71
Brasil Telecom Participacoes SA - ADR 19,500 605
Centrais Eletricas Brasileiras SA 69,313,200 717
Cia de Concessoes Rodoviarias (AE) 48,200 412
Cia de Saneamento Basico do Estado de Sao Paulo 15,889,900 724
Cia Siderurgica Nacional SA 37,709,700 1,789
Cia Vale do Rio Doce 8,400 379
Cia Vale do Rio Doce - ADR (z) 18,910 860
Gerdau SA - ADR (z) 54,600 1,148
Investimentos Itau SA Rights (AE) 4,377 --
Petroleo Brasileiro SA 32,700 940
Petroleo Brasileiro SA - ADR 39,760 1,149
Souza Cruz SA 92,100 799
Tele Norte Leste Participacoes SA 44,946,000 489
Votorantim Celulose e Papel SA - ADR 12,600 396
------------
11,199
------------
Canada - 0.2%
PetroKazakhstan, Inc. Class A (z) 30,100 807
------------
Cayman Islands - 0.0%
Morgan Stanley Capital Cayman Islands, Ltd. (AE) 144,261 68
------------
Chile - 0.3%
Coca-Cola Embonor SA - ADR 109,300 585
Distribucion y Servicio D&S SA - ADR 19,800 301
Embotelladora Andina SA Class B - ADR 54,400 628
------------
1,514
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
China - 2.9%
Aluminum Corp. of China, Ltd. Class H 630,000 370
Byd Co., Ltd. Class H 118,000 352
China Petroleum & Chemical Corp. Class H 10,654,000 3,688
China Shipping Development Co., Ltd. Class H 414,000 240
China Telecom Corp., Ltd. Class H 1,626,900 485
China Travel International Investment Hong Kong,
Ltd. (AE) 502,000 95
Datang International Power Gen. Co., Ltd. Class
H 114,000 89
Fujian Zijin Mining Industriesustry Co., Ltd.
Class H 340,000 111
Guangshen Railway Co., Ltd. Class H 656,000 187
Huadian Power International Co. Class H 2,886,000 823
Huaneng Power International, Inc. Class H 128,000 120
Jiangsu Express Class H 1,880,100 862
Jiangxi Copper Co., Ltd. Class H 280,000 109
Lenovo Group, Ltd. 3,142,000 967
PetroChina Co., Ltd. Class H 2,882,000 1,256
Shanghai Forte Land Co. Class H (AE) 1,586,000 352
Sinopec Shanghai Petrochemical Co., Ltd. Class H 2,299,000 774
Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 628,000 114
Sinotrans, Ltd. Class H 2,234,000 766
Travelsky Technology, Ltd. Class H 688,700 472
Yanzhou Coal Mining Co., Ltd. Class H 1,518,000 1,430
Zhejiang Expressway Co., Ltd. Class H 824,000 515
------------
14,177
------------
Colombia - 0.1%
Cementos Argos SA 26,400 181
Inversiones Nacionales de Chocolates SA 54,121 138
------------
319
------------
Croatia - 0.2%
Pliva DD - GDR 69,500 1,122
------------
</Table>
80 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Czech Republic - 0.6%
Cesky Telecom AS 97,950 1,250
Komercni Banka AS 7,238 797
Philip Morris CR 1,108 714
------------
2,761
------------
Ecuador - 0.4%
La Cemento Nacional Ecuador - GDR 72,000 1,576
La Cemento Nacional Ecuador - GDR 10,500 227
------------
1,803
------------
Egypt - 0.6%
MobiNil-Egyptian Mobile Services Class V 74,574 1,054
Orascom Construction Industries 105,114 1,628
------------
2,682
------------
Greece - 0.1%
Attica Enterprise Holding SA 123,600 539
------------
Hong Kong - 2.2%
China Insurance International Holdings Co., Ltd. 712,000 342
China Merchants Holdings International Co., Ltd. 1,350,000 1,592
China Mobile Hong Kong, Ltd. 1,256,000 3,309
China Overseas Land & Investment, Ltd. 1,830,000 305
China Resources Enterprise 528,000 613
China Resources Power Holdings Co. (AE) 1,014,000 543
Citic Pacific, Ltd. (AE) 401,000 972
CNOOC, Ltd. 3,115,000 1,118
COSCO Pacific, Ltd. 656,000 828
Panva Gas Holdings, Ltd. (AE) 957,000 426
Shanghai Industrial Holdings, Ltd. 196,000 367
Texwinca Holdings, Ltd. 699,300 524
------------
10,939
------------
Hungary - 1.5%
Gedeon Richter Rt 3,780 385
Matav Magyar Tavkozlesi Rt 141,073 590
Matav Magyar Tavkozlesi Rt - ADR (z) 22,600 466
Mol Magyar Olaj- es Gazipari Rt 115,480 4,362
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mol Magyar Olaj- es Gazipari Rt. Class R - GDR 30,900 1,149
OTP Bank Rt 21,294 397
------------
7,349
------------
India - 4.1%
Bajaj Auto, Ltd. - GDR 33,393 710
Dr Reddy's Laboratories, Ltd. - ADR (z) 34,800 682
GAIL India, Ltd. - GDR 78,571 2,176
Genesis India Investment Co. 372,219 6,998
Grasim Industries, Ltd. - GDR 5,300 147
Gujarat Ambuja Cements, Ltd. - GDR 67,039 483
HDFC Bank, Ltd. - ADR 44,300 1,285
Hindalco Industries, Ltd. - GDR 24,249 618
ICICI Bank, Ltd. - ADR (z) 200,000 3,100
InfoSystem Technologies, Ltd. - ADR (z) 9,200 745
ITC, Ltd. - GDR 35,584 861
Reliance Industries, Ltd. - GDR 83,235 2,122
------------
19,927
------------
Indonesia - 3.3%
Astra International Tbk PT 3,464,000 2,247
Bank Central Asia Tbk PT 3,375,000 1,498
Bank Mandiri Persero Tbk PT 8,445,776 1,394
Bank Rakyat Indonesia (AE) 7,656,160 1,503
Indonesian Satellite Corp. Tbk PT 2,398,500 1,085
Ramayana Lestari Sentosa Tbk PT 1,309,500 797
Telekomunikasi Indonesia Tbk PT 8,088,295 7,412
------------
15,936
------------
Israel - 2.5%
Bank Hapoalim, Ltd. 1,069,200 2,759
Bank Leumi Le-Israel 603,000 1,101
Bezeq Israeli Telecommunication Corp., Ltd. 118,061 124
Check Point Software Technologies (AE) (z) 94,549 2,215
Koor Industries, Ltd. 6,900 271
Lipman Electronic Engineering, Ltd. (AE) 8,400 374
Makhteshim-Agan Industries, Ltd. Class S 147,900 598
Nice Systems, Ltd. - ADR (AE) 15,700 364
Orbotech, Ltd. 38,675 817
</Table>
Emerging Markets Fund 81
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Partner Communications - ADR (AE) 87,930 666
Teva Pharmaceutical Industries, Ltd. - ADR (z) 44,900 2,764
------------
12,053
------------
Luxembourg - 1.0%
F&C Emerging Markets, Ltd. - Taiwan Investment
Co. 79,100 814
F&C Industriesian Investment Co. SICAV 287,050 1,966
Quilmes Industrial SA 392,600 373
Quilmes Industrial SA - ADR 33,710 615
Tenaris SA 334,131 1,024
Tenaris SA - ADR (z) 10,500 315
------------
5,107
------------
Malaysia - 3.4%
Astro All Asia Networks PLC (AE) 307,200 420
Berjaya Sports Toto BHD 495,500 571
British American Tobacco Malaysia BHD 49,300 623
CIMB BHD 315,200 460
Gamuda BHD 728,500 1,074
Genting BHD 153,000 664
Hong Leong Bank BHD 331,800 445
IJM Corp. BHD 308,000 379
Magnum Corp. BHD 1,816,900 1,387
Malakoff BHD 1,013,000 1,493
Malayan Banking BHD 592,000 1,636
Malaysian Industrial Development (AE) 912,400 286
MK Land Holdings BHD 1,124,700 829
Multi-Purpose Holdings BHD 598,100 200
OYL Industries BHD 76,300 723
Public Bank Berhad (AE) 1,203,825 1,083
Public Bank BHD 1,131,562 890
Resorts World BHD 247,700 652
Sime Darby BHD 250,700 356
SP Setia BHD 368,666 413
Symphony House BHD 416,400 179
TAN Chong Motor Holdings BHD 908,000 315
Tanjong PLC 233,800 751
Telekom Malaysia BHD 154,000 383
UMW Holdings BHD 354,000 540
------------
16,752
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mexico - 6.8%
Alfa SA de CV Class A 163,900 531
America Movil SA de CV Class L - ADR 161,520 5,460
America Movil SA de CV Series L 165,800 280
Cemex SA de CV 1,224,550 7,114
Cemex SA de CV - ADR (z) 65,949 1,942
Consorico ARA SA de CV (AE) 95,400 259
Controladora Co.mercial Mexicana SA de CV 462,200 510
Corp Durango SA de CV - ADR (AE) 15,050 35
Corp GEO SA de CV Series B (AE) 92,400 529
Empresas ICA Sociedad Controladora SA de CV 981,700 310
Fomento Economico Mexicano SA de CV - ADR (z) 41,700 1,823
Grupo Aeroportuario del Sureste SA de CV - ADR 21,350 417
Grupo Carso SA de CV Series 1 (AE) 31,212 114
Grupo Financiero Banorte SA de CV Class O 933,103 3,311
Grupo Modelo SA Series C 385,400 963
Grupo Televisa SA - ADR 28,758 1,254
Telefonos de Mexico SA de CV - ADR 141,114 4,818
Telefonos de Mexico SA de CV Series L 552,000 940
TV Azteca SA de CV - ADR (z) 20,400 187
Wal-Mart de Mexico SA de CV Series V 804,371 2,340
------------
33,137
------------
Pakistan - 1.2%
Engro Chemicals Pakistan 605,500 1,043
Fauji Fertilizer Co., Ltd. 514,439 1,139
HUB Power Co. 1,220,092 743
ICI Pakistan (AE) 103,000 148
Muslim Commercial Bank 1,073,839 1,047
Pakistan State Oil Co., Ltd. 17,000 80
Pakistan Telecommunication Co., Ltd. 898,069 693
SUI Northern Gas Pipeline 692,580 830
------------
5,723
------------
Peru - 0.1%
Cia de Minas Buenaventura SA - ADR (z) 22,300 483
------------
</Table>
82 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Philippines - 0.4%
Ayala Land, Inc. 526,000 53
Bank of the Philippine Islands 406,700 352
Metropolitan Bank & Trust 289,350 129
Philippine Long Distance Telephone (AE) 64,200 1,237
SM Prime Holdings 1,500,000 166
------------
1,937
------------
Poland - 0.2%
KGHM Polska Miedz SA 72,077 500
Telekomunikacja Polska SA 56,200 228
Telekomunikacja Polska SA - GDR 31,300 126
------------
854
------------
Russia - 3.8%
Gazprom - ADR 32,416 1,002
LUKOIL - ADR 60,759 6,624
MMC Norilsk Nickel - ADR (z) 19,751 1,171
Mobile TeleSystems - ADR 25,726 2,777
OAO Gazprom - ADR (z) 37,796 1,168
Rostelecom - ADR (z) 8,200 105
Surgutneftegaz - ADR (z) 46,722 1,518
Tatneft - ADR 4,300 112
Vimpel-Communications - ADR (AE)(z) 17,600 1,580
YUKOS - ADR (z) 55,815 2,484
------------
18,541
------------
South Africa - 7.0%
ABSA Group, Ltd. 618,587 3,969
Aeci, Ltd. 236,900 1,213
African Bank Investments, Ltd. 468,000 710
Alexander Forbes, Ltd. 300,000 432
AngloGold Ashanti, Ltd. 8,883 281
Anglogold, Ltd. - ADR (z) 41,934 1,318
AVI, Ltd. 310,000 812
Barloworld, Ltd. 166,885 1,666
BidBEE, Ltd. (AE) 2,124 12
Bidvest Group, Ltd. 27,182 211
FirstRand, Ltd. 986,673 1,355
Gold Fields, Ltd. 51,546 518
Harmony Gold Mining Co., Ltd. 22,243 245
Impala Platinum Holdings, Ltd. 19,651 1,331
Imperial Holdings, Ltd. 79,640 752
Investec, Ltd. 19,800 348
MTN Group, Ltd. 433,111 1,803
Murray & Roberts Holdings, Ltd. 330,000 614
Nampak, Ltd. 59,373 121
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Naspers, Ltd. Class N 383,486 2,579
Pick'n Pay Stores, Ltd. 154,959 395
Sanlam, Ltd. 2,350,040 2,945
Sappi, Ltd. 96,392 1,294
Sasol, Ltd. 160,219 2,393
Standard Bank Group, Ltd. 543,139 3,118
Telkom SA, Ltd. 264,555 2,857
Tiger Brands, Ltd. 8,684 107
VenFin, Ltd. 182,500 561
------------
33,960
------------
South Korea - 17.4%
Amorepacific Corp. 6,970 1,114
Asiana Airlines (AE) 209,704 482
Cheil Industries, Inc. 47,540 691
Daeduck Electronics Co. 74,212 756
Daelim Industrial Co. 34,000 1,263
Daewoo Shipbuilding & Marine Engineering Co.,
Ltd. (AE) 11,090 113
Hana Bank 4,260 92
Hankook Tire Co., Ltd. 82,267 667
Hanwha Chem Corp. 208,900 1,408
Hite Brewery Co., Ltd. 8,410 616
Hyosung Corp. 13,930 119
Hyundai Department Store Co., Ltd. 4,210 114
Hyundai Heavy Industries 7,510 174
Hyundai Mobis 65,570 2,816
Hyundai Motor Co. 142,944 5,452
Industrial Bank Of Korea 88,000 608
Industrial Bank Of Korea - GDR 118,540 859
INI Steel Co. 96,300 936
Kangwon Land, Inc. 2,697 31
Kia Motors Corp. 46,190 429
Kookmin Bank 161,937 6,046
Kookmin Bank - ADR 3,500 130
Korea Electric Power Corp. 64,530 1,056
Korean Air Co., Ltd. 29,930 408
KT Corp. 35,940 1,253
KT Corp. - ADR (z) 19,700 364
KT Freetel 35,000 568
KT&G Corp. 88,550 2,249
KT&G Corp. - GDR 33,800 429
Kumgang Korea Chemical Co., Ltd. 6,640 679
LG Cable & Machinery, Ltd. (AE) 7,880 112
LG Chem, Ltd. 31,440 1,270
LG Electronics, Inc. 47,210 2,865
LG Engineering & Construction Corp. 89,570 1,523
LG Home Shopping, Inc. 5,260 220
</Table>
Emerging Markets Fund 83
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LG International Corp. 46,210 354
Lotte Chilsung Beverage Co., Ltd. 1,090 643
Lotte Confectionery Co., Ltd. 1,200 533
NCSoft Corp. 5,084 364
Nong Shim Co., Ltd. 5,320 1,022
Plenus, Inc. 26,400 355
POSCO 40,321 4,931
POSCO - ADR 11,000 338
Pusan Bank 72,470 422
S1 Corp. 45,781 1,112
Samsung Corp. 21,550 257
Samsung Electro-Mechanics Co., Ltd. 23,180 873
Samsung Electronics - GDR 2,300 541
Samsung Electronics Co., Ltd. 45,635 21,664
Samsung Electronics Co., Ltd. - GDR 10,059 1,398
Samsung Fire & Marine Insurance Co., Ltd. 29,070 1,932
Samsung Heavy Industries Co., Ltd. 25,670 114
Samsung SDI Co., Ltd. 6,450 825
Shinhan Financial Group Co., Ltd. 207,200 3,611
Shinsegae Co., Ltd. 2,120 479
SK Corp. 14,540 610
SK Telecom Co., Ltd. 17,510 2,985
SK Telecom Co., Ltd. - ADR (z) 11,400 230
S-Oil Corp. Class N (AE) 28,390 1,132
Tae Young Corp. 11,339 376
------------
85,013
------------
Switzerland - 0.1%
Compagnie Financiere Richemont AG - ADR 223,300 569
------------
Taiwan - 10.3%
Acer, Inc. 564,468 798
Advantech Co., Ltd. 222,315 468
Asustek Computer, Inc. 380,000 812
AU Optronics Corp. 124,000 254
Basso Industry Corp. (AE) 206,000 409
Catcher Technology Co., Ltd. (AE) 101,000 423
Cathay Financial Holding Co., Ltd. 660,140 1,172
Cheng Shin Rubber Industry Co., Ltd. 350,000 408
China Motor Corp., Ltd. 416,000 657
China Steel Corp. 1,388,000 1,237
China Steel Corp. - GDR 55,900 984
China Steel Corp. - GDR 52,300 920
Chinatrust Financial Holding Co. 1,661,770 1,786
Chunghwa Picture Tubes, Ltd. 168,000 108
Chunghwa Telecom Co., Ltd. 1,179,000 1,898
CMC Magnetics Corp. 123,000 102
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Compal Electronics, Inc. 4,361,150 4,909
Compal Electronics, Inc. - GDR 29,133 166
Elitegroup Computer Systems 82,000 60
Eva Airways Corp. (AE) 688,687 281
Evergreen Marine Corp. 550,200 422
Far Eastern Department Stores Co., Ltd. 311,000 140
Far Eastern Textile Co., Ltd. 2,416,250 1,454
Faraday Technology Corp. 202,062 462
First Financial Holding Co., Ltd. (AE) 969,000 709
Formosa Plastics Corp. 849,667 1,215
Fubon Financial Holding Co., Ltd. 922,000 880
Gigabyte Technology Co., Ltd. 1,031,600 1,894
HON HAI Precision Industry 892,103 3,517
Lite-On Technology Corp. 106,000 112
MediaTek, Inc. 21,000 200
Mega Financial Holding Co., Ltd. 1,412,240 948
Nan Ya Plastics Corp. 1,497,020 2,010
Phoenixtec Power Co., Ltd. 653,079 694
Polaris Securities Co., Ltd. 615,000 344
POU Chen Corp. 143,000 136
Premier Image Technology Corp. 352,000 562
President Chain Store Corp. 162,000 288
Quanta Computer, Inc. 474,800 1,000
Ritek Corp. 1,885,000 1,197
Sunplus Technology Co., Ltd. 359,000 713
Taishin Financial Holdings Co., Ltd. 839,000 735
Taiwan Cellular Corp. 1,918,520 1,761
Taiwan Semiconductor Manufacturing Co., Ltd.
(AE) 4,258,384 7,371
Teco Electric and Machinery Co., Ltd. 1,123,000 419
Uni-President Enterprises Co. 273,000 119
United Microelectronics Corp. 2,013,134 1,806
Vanguard International Semiconductor Corp. (AE) 348,000 158
Via Technologies, Inc. 342,000 389
Yageo Corp. 1,007,000 549
Yuanta Core Pacific Securities Co. 329,088 223
Yulon Motor Co. 135,000 155
------------
50,434
------------
Thailand - 4.0%
Advanced Info Service PCL 384,700 846
Airports of Thailand PCL (AE) 717,100 865
Bangkok Bank PCL 594,600 1,456
Bangkok Bank PCL 179,300 423
Bank of Ayudhya 1,677,000 486
Bank of Ayudhya (Alien Market) 223,400 66
</Table>
84 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
BEC World PCL 902,300 415
Charoen Pokphand Foods PCL 3,243,700 298
CP Seven Eleven PCL 190,200 269
Delta Electronics Thai PCL 487,848 314
Hana Microelectronics PCL 308,930 1,050
Kasikornbank PCL 231,000 280
Kasikornbank PCL 924,600 1,121
Kiatnakin Finance PCL 339,000 333
Kiatnakin Finance PCL 11,600 11
Land and Houses PCL 885,000 248
National Petrochemical PCL 517,000 1,118
PTT Exploration & Production PCL 283,200 1,911
PTT PCL 648,200 2,365
Shin Corp. PCL 1,977,400 1,705
Siam Cement PCL 374,696 2,044
Siam City Cement PCL 33,300 178
Siam Commercial Bank PCL 644,700 745
Siam Commercial Bank PCL 296,000 342
Thai Airways International PCL 446,700 636
------------
19,525
------------
Turkey - 2.9%
Akbank TAS 527,168,432 2,449
Anadolu Efes Biracilik Ve Malt Sanayii AS 82,039,970 1,149
Dogan Sirketler Grubu Holdings 292,006,304 539
Dogan Yayin Holding (AE) 119,905,264 399
Ford Otomotiv Sanayi AS 244,000,000 1,923
Haci Omer Sabanci Holding AS 284,345,408 926
Haci Omer Sabanci Holding AS (AE) 42,565,120 133
Hurriyet Gazeteci 183,798,304 521
Migros Turk TAS 133,065,000 665
Tupras Turkiye Petrol Rafine 91,685,000 581
Turkcell Iletisim Hizmet AS 190,276,784 2,062
Turkcell Iletisim Hizmet AS - ADR (z) 2,400 68
Turkiye Garanti Bankasi AS 259,501,504 794
Turkiye IS Bankasi 443,280,288 1,583
Yapi ve Kredi Bankasi 106,176,816 226
------------
14,018
------------
United Kingdom - 3.1%
Anglo American PLC (AE) 437,311 8,697
Antofagasta PLC 109,836 1,834
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Genesis Smaller Companies Fund (AE) 153,484 4,345
Old Mutual PLC 62,832 107
Old Mutual PLC 2,300 4
SABMiller PLC 24,900 268
------------
15,255
------------
United States - 0.3%
Associates Corp. of North America (AE) 1,870,000 415
Utstarcom, Inc. (AE)(z) 50,300 1,325
------------
1,740
------------
Venezuela - 0.0%
Siderurgica Venezolana Sivensa SACA 1,306,495 12
------------
Zimbabwe - 0.0%
Delta Corp., Ltd. 1,051,425 40
OK Zimbabwe 5,965,491 18
------------
58
------------
TOTAL COMMON STOCKS
(cost $318,351) 407,560
------------
<Caption>
NOTIONAL
AMOUNT
$
------------
OPTIONS PURCHASED - 0.6%
(Number of Contracts)
Brazil - 0.0%
Bovespa Index Futures
June 2004 23,022.15 (BRL) Call (145) 3,406 44
------------
South Korea - 0.6%
Kospi 200 Index
June 2004 100.2575 (KRW) Call (203) 8,673 2,396
Kospi 200 Index
June 2004 100.4275 (KRW) Call (50) 2,140 591
------------
2,987
------------
TOTAL OPTIONS PURCHASED
(cost $3,038) 3,031
------------
</Table>
Emerging Markets Fund 85
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
PREFERRED STOCKS - 7.7%
Brazil - 7.1%
Banco Bradesco SA 37,038 1,502
Banco Itau Holding Financeira SA 21,254,665 1,684
Brasil Telecom Participacoes SA 23,832,700 147
Braskem SA 18,024,500 359
Caemi Mineracao e Metalurgica SA 374,300 136
Centrais Eletricas Brasileiras SA 43,866,000 489
Cia Brasileira de Distribuicao Grupo Pao de
Acucar - ADR (z) 38,900 692
Cia de Bebidas das Americas 15,225,806 2,835
Cia de Bebidas das Americas - ADR (z) 52,200 979
Cia de Tecidos do Norte de Minas - Co.teminas 6,342,040 453
Cia Energetica de Minas Gerais 120,153,624 1,839
Cia Paranaense de Energia 89,280,000 304
Cia Siderurgica de Tubarao 7,700,000 221
Cia Suzano de Papel e Celulose 358,416 1,585
Cia Vale do Rio Doce 20,676 816
Cia Vale do Rio Doce - ADR (z) 39,700 1,552
Empresa Brasileira de Aeronautica SA 103,300 650
Empresa Brasileira de Aeronautica SA - ADR (z) 7,500 194
Gerdau SA 113,096 1,193
Investimentos Itau SA 238,200 231
Klabin SA (AE) 542,400 675
NET Servicos de Comunicacao SA (AE) 1,507,800 374
Petroleo Brasileiro SA 188,470 4,700
Petroleo Brasileiro SA - ADR (z) 78,300 1,948
Sadia SA 170,000 233
Tele Norte Leste Participacoes SA 99,878,416 1,182
Tele Norte Leste Participacoes SA - ADR (z) 38,900 461
Telecomunicacoes Brasileiras SA - ADR 28,729 822
Telemig Celular Participacoes SA - ADR (z) 4,700 144
Telesp Celular Participacoes SA 296,038,432 843
Telesp Celular Participacoes SA - ADR (z) 85,900 612
Uniao de Bancos Brasileiros SA 4,458,600 170
Uniao de Bancos Brasileiros SA - GDR (z) 91,400 1,791
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Usinas Siderurgicas de Minas Gerais SA 110,900 1,094
Votorantim Celulose e Papel SA 25,087,000 1,570
------------
34,480
------------
South Korea - 0.6%
Hyundai Motor Co. 39,870 756
Samsung Electronics Co., Ltd. 8,270 2,284
------------
3,040
------------
TOTAL PREFERRED STOCKS
(cost $33,792) 37,520
------------
SHORT-TERM INVESTMENTS - 10.5%
United States - 10.5%
Frank Russell Investment Company Money Market
Fund 33,676,000 33,676
Frank Russell Investment Company Money Market
Fund (N) 7,481,118 7,481
State Street Securities Lending Quality Trust
(N) 8,055,319 8,055
United States Treasury Bill (y)(s)
0.930% due 06/10/04 2,000 1,998
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $51,210) 51,210
------------
WARRANTS - 0.0%
South Africa - 0.0%
Bidvest Group, Ltd. 2006 Warrants (AE) 849 1
Multi-Purpose Holdings BHD 2009 Warrants (AE) 65,320 11
------------
TOTAL WARRANTS
(cost $2) 12
------------
TOTAL INVESTMENTS - 102.4%
(identified cost $406,393) 499,333
OTHER ASSETS AND LIABILITIES,
NET - (2.4%) (11,950)
------------
NET ASSETS - 100.0% 487,383
============
</Table>
See accompanying notes which are an integral part of the financial statements.
86 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Hang Seng Index (Hong Kong)
expiration date 05/04 (51) 3,859 (69)
JSE-40 Index (South Africa)
expiration date 06/04 (241) 3,308 (112)
JSE-40 Index (South Africa)
expiration date 03/05 (260) 3,683 (165)
SIMEX Index (Taiwan)
expiration date 05/04 (264) 6,766 (799)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (1,145)
===============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- -----------------------------------------------------------------------------------
Brazil - 0.0%
Bovespa Index Futures
Jun 2004 23,022.15 (BRL) Put (145) 3,406 (521)
South Korea - 0.6%
Kospi 200 Index Futures
June 2004 100.28 (KRW) Put (203) 8,674 (1,337)
Kospi 200 Index Futures
June 2004 100.43 (KRW) Put (50) 2,140 (333)
---------------
Total Liability for Options Written (premiums
received $1,126) (2,191)
===============
</Table>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 87
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 10 BRL 30 05/03/04 --
USD 10 BRL 30 05/03/04 --
USD 36 BRL 108 05/03/04 --
USD 130 BRL 380 05/04/04 --
USD 45 BRL 131 05/04/04 --
USD 19 BRL 56 05/04/04 --
USD 11 BRL 32 05/04/04 --
USD 1,012 BRL 3,000 06/16/04 (12)
USD 668 BRL 2,000 06/16/04 (1)
USD 1,364 BRL 4,100 06/16/04 2
USD 1,297 BRL 3,900 06/16/04 3
USD 30 HKD 236 05/03/04 --
USD 50 HKD 389 05/04/04 --
USD 40 HKD 316 05/04/04 --
USD 85 IDR 739,913 05/05/04 (1)
USD 138 KRW 158,689 04/28/04 (3)
USD 384 KRW 443,063 05/05/04 (6)
USD 2,591 KRW 3,000,000 06/16/04 (44)
USD 429 KRW 500,000 06/16/04 (5)
USD 1,256 KRW 1,500,000 06/16/04 (2)
USD 84 KRW 100,000 06/16/04 1
USD 7,065 KRW 8,400,000 06/16/04 65
USD 6 THB 255 05/04/04 --
USD 32 THB 1,267 05/04/04 --
USD 80 THB 3,214 05/06/04 --
USD 120 THB 4,792 05/07/04 --
USD 190 THB 7,589 05/07/04 --
USD 331 ZAR 2,304 05/04/04 (2)
USD -- ZAR 3 05/04/04 --
USD 97 ZAR 663 05/05/04 (2)
USD 39 ZAR 267 05/05/04 (1)
USD 72 ZAR 502 05/06/04 --
USD 88 ZAR 613 05/06/04 (1)
USD 158 ZAR 1,092 05/06/04 (2)
USD 3,510 ZAR 24,000 06/17/04 (104)
USD 1,478 ZAR 10,000 06/17/04 (58)
USD 1,176 ZAR 8,000 06/17/04 (40)
BRL 9 USD 3 05/03/04 --
BRL 31 USD 11 05/04/04 --
HUF 45,895 USD 218 05/05/04 (2)
MXN 201 USD 17 05/03/04 --
MYR 700 USD 184 05/05/04 --
MYR 70 USD 18 05/06/04 --
PHP 552 USD 10 05/03/04 --
THB 5,829 USD 145 05/06/04 --
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
THB 1,428 USD 36 05/07/04 --
ZAR 2,000 USD 294 06/17/04 10
--------------
(205)
==============
</Table>
See accompanying notes which are an integral part of the financial statements.
88 Emerging Markets Fund
FRANK RUSSELL INVESTMENT COMPANY
EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
% OF MARKET
INDUSTRY DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Auto and Transportation 4.9 24,080
Consumer Discretionary 4.2 20,304
Consumer Staples 4.4 21,613
Financial Services 15.9 77,860
Health Care 1.0 4,953
Integrated Oils 4.5 21,877
Materials and Processing 15.6 76,109
Miscellaneous 2.3 11,393
Options 0.6 3,031
Other Energy 5.6 27,134
Producer Durables 7.4 36,233
Technology 8.7 42,418
Utilities 13.7 66,995
Short-Term Investments 13.4 65,333
--------------- ---------------
Total Investments 102.4 499,333
Other Assets and Liabilities, net (2.4) (11,950)
--------------- ---------------
Net Assets 100.0 487,383
=============== ===============
</Table>
<Table>
<Caption>
% OF MARKET
GEOGRAPHIC DIVERSIFICATION NET VALUE
(UNAUDITED) ASSETS $
- ------------------------------------------------------------------------------------
Africa 7.0 34,020
Asia 48.5 236,420
Europe 9.9 48,080
Latin America 17.2 83,912
Middle East 3.0 14,734
United Kingdom 2.2 10,910
Options 0.6 3,031
Other 0.6 2,893
Short-Term Investments 13.4 65,333
--------------- ---------------
Total Investments 102.4 499,333
Other Assets and Liabilities, net (2.4) (11,950)
--------------- ---------------
Net Assets 100.0 487,383
=============== ===============
</Table>
See accompanying notes which are an integral part of the financial statements.
Emerging Markets Fund 89
FRANK RUSSELL INVESTMENT COMPANY
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 97.2%
Apartment - 17.0%
Affordable Residential Communities (AE)(o)(z) 81,500 1,386
Apartment Investment & Management Co. Class A
(o) 148,000 4,169
Archstone-Smith Trust (o) 1,253,407 34,381
AvalonBay Communities, Inc. (o) 622,500 30,895
BRE Properties Class A (o) 258,300 8,188
Camden Property Trust (o)(z) 194,400 8,227
Equity Residential (o) 1,791,400 49,192
Essex Property Trust, Inc. (o) 129,800 7,911
Pennsylvania Real Estate Investment Trust (o)(z) 266,521 8,622
Summit Properties, Inc. (o) 296,000 6,698
Sun Communities, Inc. (o) 72,100 2,520
United Dominion Realty Trust, Inc. (o) 384,500 6,902
------------
169,091
------------
Health Care - 3.6%
Health Care Property Investors, Inc. (o) 46,300 1,107
Health Care REIT, Inc. (o) 83,800 2,677
Healthcare Realty Trust, Inc. (o) 151,500 5,431
LTC Properties, Inc. (o)(z) 135,000 2,101
National Health Investors, Inc. (o)(z) 160,300 3,842
Omega Healthcare Investors, Inc. (o)(z) 201,900 1,868
Senior Housing Properties Trust (o)(z) 530,400 7,929
Ventas, Inc. (o)(z) 481,900 10,645
------------
35,600
------------
Hotels/Leisure - 8.8%
Fairmont Hotels & Resorts, Inc. 113,900 2,813
Hilton Hotels Corp. 1,500,100 26,237
Hospitality Properties Trust (o) 55,000 2,149
Host Marriott Corp. (o) 2,186,000 26,013
La Quinta Corp. (z) 390,600 2,808
LaSalle Hotel Properties (o) 108,300 2,383
Starwood Hotels & Resorts Worldwide, Inc. 633,583 25,210
------------
87,613
------------
Leasing - 0.7%
Glenborough Realty Trust, Inc. (o) 180,200 3,386
iStar Financial, Inc. (o) 99,000 3,518
------------
6,904
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Office/Industrial - 33.4%
Alexandria Real Estate Equities, Inc. (o) 97,000 5,512
AMB Property Corp. (o) 247,000 7,484
American Financial Realty Trust (o) 179,600 2,658
Arden Realty, Inc. (o) 395,000 11,147
Boston Properties, Inc. (o) 783,138 36,807
Brandywine Realty Trust (o) 28,700 727
Brookfield Properties Co. 824,300 22,916
CarrAmerica Realty Corp. (o) 287,800 8,205
Catellus Development Corp. (o) 1,229,671 26,499
Centerpoint Properties Trust (o) 203,200 14,651
Corporate Office Properties Trust (o)(z) 80,000 1,628
Cousins Properties, Inc. (o) 34,000 956
Crescent Real Estate Equities Co. (o) 183,500 2,839
Duke Realty Corp. (o) 121,500 3,543
Equity Office Properties Trust (o) 581,200 14,629
Highwoods Properties, Inc. (o)(z) 464,000 10,463
Home Properties, Inc. (o) 119,700 4,470
HRPT Properties Trust (o) 363,653 3,473
Keystone Property Trust (o) 36,200 736
Kilroy Realty Corp. (o) 287,200 9,004
Liberty Property Trust (o) 739,100 27,014
Mack-Cali Realty Corp. (o) 662,000 24,726
Plum Creek Timber Co., Inc. (o) 370,600 10,955
Prentiss Properties Trust (o) 205,000 6,568
Prologis (o) 1,883,800 55,421
PS Business Parks, Inc. (o) 110,200 4,182
SL Green Realty Corp. (o) 347,000 14,158
------------
331,371
------------
Outlet Centers - 3.5%
Chelsea Property Group, Inc. (o) 678,200 34,588
------------
Regional Malls - 17.4%
CBL & Associates Properties, Inc. (o) 41,500 2,085
General Growth Properties, Inc. (o) 1,797,800 48,738
Macerich Co. (The) (o) 434,200 18,180
Mills Corp. (The) (o) 75,700 3,073
Rouse Co. (The) (o) 713,400 30,890
Simon Property Group, Inc. (o) 1,336,400 64,429
Taubman Centers, Inc. (o)(z) 264,300 5,154
------------
172,549
------------
</Table>
90 Real Estate Securities Fund
FRANK RUSSELL INVESTMENT COMPANY
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Self Storage - 2.0%
Public Storage, Inc. (o) 296,800 12,403
Shurgard Storage Centers, Inc. Class A (o)(z) 213,000 7,093
------------
19,496
------------
Shopping Center - 10.8%
Developers Diversified Realty Corp. (o) 753,200 24,667
Federal Realty Invs Trust (o) 383,500 14,220
Kimco Realty Corp. (o) 167,000 7,138
Pan Pacific Retail Properties, Inc. (o) 429,500 18,868
Realty Income Corp. (o)(z) 30,000 1,148
Regency Centers Corp. (o) 544,800 20,653
Urstadt Biddle Properties, Inc. Class A (o)(z) 69,000 958
Vornado Realty Trust (o) 394,900 19,923
------------
107,575
------------
TOTAL COMMON STOCKS
(cost $763,545) 964,787
------------
SHORT-TERM INVESTMENTS - 4.5%
Frank Russell Investment Company Money Market
Fund 27,363,000 27,363
Frank Russell Investment Company Money Market
Fund (N) 8,446,775 8,447
State Street Securities Lending Quality Trust
(N) 9,095,094 9,095
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $44,905) 44,905
------------
TOTAL INVESTMENTS - 101.7%
(identified cost $808,450) 1,009,692
OTHER ASSETS AND LIABILITIES,
NET - (1.7)% (17,354)
------------
NET ASSETS - 100.0% 992,338
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 91
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 71.1%
Asset-Backed Securities - 23.3%
Alter Moneta Receivables LLC (y)
Series 2003-1 Class NOTE
2.563% due 03/15/11 2,949 2,939
AmeriCredit Automobile Receivables Trust
Series 2002-C Class A4
3.550% due 02/12/09 3,500 3,547
Amortizing Residential Collateral Trust (E)
Series 2002-BC5 Class A
1.420% due 07/25/32 762 763
Asset Backed Securities Corp. Home Equity (E)
Series 2002-HE1 Class M1
2.200% due 03/15/32 1,400 1,427
Bank One Issuance Trust
Series 2002-A2 Class A2
4.160% due 01/15/08 6,000 6,142
Series 2002-A4 Class A4
2.940% due 06/16/08 2,000 2,021
Bay View Auto Trust
Series 2003-LJ1 Class A3
2.430% due 07/25/08 1,000 999
California Infrastructure PG&E-1
Series 1997-1 Class A7
6.420% due 09/25/08 6,687 7,036
California Infrastructure SCE-1
Series 1997-1 Class A6
6.380% due 09/25/08 3,616 3,808
Series 1997-1 Class A7
6.420% due 12/26/09 3,950 4,296
California Infrastructure SDG&E-1
Series 1997-1 Class A6
6.310% due 09/25/08 675 710
Capital Auto Receivables Asset Trust
Series 2002-3 Class A3
3.580% due 10/16/06 8,920 9,087
Series 2002-4 Class A4
2.640% due 03/17/08 2,275 2,284
Capital One Auto Finance Trust
Series 2001-B Class A4
4.880% due 09/15/08 1,100 1,140
Capital One Master Trust
Series 2002-4A Class A
4.900% due 03/15/10 1,000 1,047
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Capital One Multi-Asset Execution Trust
Series 2003-A6 Class A6
2.950% due 08/17/09 1,000 1,001
Capital One Prime Auto Receivables Trust
Series 2003-1 Class A3
1.970% due 04/15/07 2,500 2,506
Caterpillar Financial Asset Trust
Series 2002-A Class A3
3.150% due 02/25/08 1,438 1,451
Chase Manhattan Auto Owner Trust
Series 2000-A Class A4
6.260% due 06/15/07 1,824 1,840
Series 2002-B Class A4
4.210% due 01/15/09 8,600 8,826
Chemical Master Credit Card Trust 1
Series 1996-2 Class A
5.980% due 09/15/08 4,000 4,214
Chevy Chase Auto Receivables Trust
Series 2000-1 Class A4
7.470% due 07/15/05 315 319
Series 2001-3 Class A3
3.950% due 05/16/05 163 164
CIT Equipment Collateral
Series 2003-VT1 Class A3B
1.630% due 04/20/07 500 498
CIT Equipment Collateral
Series 2004-VT1 Class A3
2.200% due 03/20/08 1,500 1,483
CIT Marine Trust
Series 1999-A Class A4
6.250% due 11/15/19 1,000 1,054
CIT RV Trust
Series 1998-A Class A5
6.120% due 11/15/13 1,000 1,050
Citibank Credit Card Issuance Trust
Series 2001-A6 Class A6
5.650% due 06/16/08 1,500 1,590
Series 2002-A3 Class A3
4.400% due 05/15/07 4,805 4,931
Series 2003-A3 Class A3
3.100% due 03/10/10 1,000 979
Series 2003-A5 Class A5
2.500% due 04/07/08 1,700 1,697
Series 2004-A1 Class A1
2.550% due 01/20/09 2,850 2,810
</Table>
92 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc.
Series 2003-2 Class AV1
1.220% due 05/25/33 1,026 1,026
CNH Equipment Trust
Series 2003-A Class A3B
1.890% due 07/16/07 1,000 999
CNH Wholesale Master Note Trust (E)
Series 2003-1 Class A
1.363% due 08/15/08 2,000 1,999
Community Program Loan Trust
Series 1987-A Class A4
4.500% due 10/01/18 3,282 3,289
Connecticut RRB Special Purpose Trust CL&P
Series 2001-1 Class A5
6.210% due 12/30/11 1,000 1,094
Daimler Chrysler Auto Trust
Series 2001-D Class A4
3.780% due 02/06/07 3,000 3,050
Series 2002-B Class A4
3.530% due 12/06/07 4,000 4,070
Series 2003-B Class A3
2.250% due 08/08/07 4,100 4,099
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 2,225 2,363
Distribution Financial Services Floorplan Master
Trust (E)
Series 2003-1 Class A
1.190% due 04/15/07 3,000 3,002
Federal Farm Credit Bank
12.250% due 02/01/07 4,492 5,187
First National Master Note Trust (E)
Series 2003-1 Class A
1.200% due 08/15/08 1,000 1,002
Fleet Credit Card Master Trust II
Series 2000-C Class A
7.020% due 02/15/08 1,211 1,288
Series 2001-B Class A
5.600% due 12/15/08 3,000 3,172
Ford Credit Auto Owner Trust
Series 2002-A Class A4A
4.360% due 09/15/06 5,100 5,223
Series 2002-B Class A4
4.750% due 08/15/06 3,500 3,606
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Franklin Auto Trust
Series 2003-1 Class A4
2.270% due 05/20/11 1,170 1,148
Government Trust Certificate
8.500% due 04/01/06 859 917
GS Auto Loan Trust
Series 2004-1 Class A3
2.130% due 11/15/07 2,000 1,988
Honda Auto Receivables Owner Trust
Series 2003-2 Class A4
2.160% due 10/21/08 3,500 3,441
Series 2003-3 Class A3
2.140% due 04/23/07 2,500 2,500
Series 2003-5 Class A3
2.300% due 10/18/07 1,000 999
Household Automotive Trust
Series 2002-2 Class A3
2.850% due 03/19/07 2,736 2,755
Household Private Label Credit Card Master Note
Trust I
Series 2001-2 Class A
4.950% due 06/16/08 1,000 1,010
Series 2002-2 Class A
1.270% due 01/18/11 1,000 1,001
Hyundai Auto Receivables Trust
Series 2002-A Class A3
2.800% due 02/15/07 1,000 1,008
Series 2003-A Class A3
2.330% due 11/15/07 1,500 1,496
Illinois Power Special Purpose Trust
Series 1998-1 Class A5
5.380% due 06/25/07 1,102 1,127
Series 1998-1 Class A6
5.540% due 06/25/09 2,725 2,885
MBNA Credit Card Master Note Trust
Series 2001-A1 Class A1
5.750% due 10/15/08 1,000 1,061
MBNA Master Credit Card Trust USA
Series 1995-C Class A
6.450% due 02/15/08 4,000 4,200
Series 2000-I Class A
6.900% due 01/15/08 7,157 7,595
Mellon Auto Grantor Trust
Series 2000-2 Class A
6.390% due 07/15/07 414 418
National City Auto Receivables Trust
Series 2002-A Class A3
4.040% due 07/15/06 383 386
Series 2002-A Class A4
4.830% due 08/15/09 2,000 2,062
Series 2004-A Class A3
2.110% due 07/15/08 1,500 1,488
</Table>
Short Term Bond Fund 93
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Navistar Financial Corp. Owner Trust
Series 2001-B Class A4
4.370% due 11/17/08 2,500 2,543
Series 2002-A Class A4
4.760% due 04/15/09 1,000 1,027
Nelnet Student Loan Trust (E)
Series 2002-2 Class A3
1.270% due 09/25/13 2,000 1,997
Nissan Auto Receivables Owner Trust
Series 2001-C Class A4
4.800% due 02/15/07 1,132 1,148
Series 2003-A Class A3
1.890% due 12/15/06 2,760 2,765
Nordstrom Private Label Credit Card Master Note
Trust
Series 2001-1A Class A
4.820% due 04/15/10 3,500 3,649
Onyx Acceptance Grantor Trust
Series 2000-D Class A4
6.850% due 08/15/07 1,639 1,649
Series 2002-D Class A4
3.100% due 07/15/09 1,000 1,009
Series 2003-B Class A3
1.770% due 05/15/07 2,000 1,998
PBG Equipment Trust
Series 1998-1A Class A
6.270% due 01/20/12 1,631 1,695
Peco Energy Transition Trust
Series 1999-A Class A4
5.800% due 03/01/07 1,251 1,286
Series 1999-A Class A6
6.050% due 03/01/09 2,500 2,670
PNC Student Loan Trust I
Series 1997-2 Class A7
6.728% due 01/25/07 2,694 2,818
Prime Credit Card Master Trust
Series 2000-1 Class A
6.700% due 10/15/09 1,500 1,597
Provident Auto Lease ABS Trust
Series 1999-1 Class A2
7.025% due 01/14/12 714 748
PSE&G Transition Funding LLC
Series 2001-1 Class A2
5.740% due 03/15/07 378 387
Series 2001-1 Class A3
5.980% due 06/15/08 3,000 3,171
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Public Service New Hampshire Funding LLC
Series 2001-1 Class A2
5.730% due 11/01/10 1,767 1,872
Railcar Leasing L.L.C.
Series 1997-1 Class A2
7.125% due 01/15/13 1,000 1,104
Regions Auto Receivables Trust
Series 2003-2 Class A3
2.310% due 01/15/08 1,500 1,499
Residential Asset Mortgage Products, Inc.
Series 2003-RZ5 Class A2
3.180% due 03/25/27 2,000 2,008
Series 2004-RS2 Class AIIB
1.350% due 02/25/34 3,275 3,276
Sears Credit Account Master Trust
Series 1999-3 Class A
6.450% due 11/17/09 2,296 2,375
Series 2000-2 Class A
6.750% due 09/16/09 2,000 2,119
SLM Student Loan Trust
Series 2003-4 Class A5B
3.390% due 03/15/33 3,000 2,934
Series 2003-5 Class A7
1.080% due 06/17/30 3,400 3,400
Standard Credit Card Master Trust
Series 1995-1 Class A
8.250% due 01/07/07 1,375 1,438
Susquehanna Auto Lease Trust
Series 2003-1 Class A2
1.530% due 08/14/05 944 944
Series 2003-1 Class A3
2.460% due 01/14/07 1,000 1,003
Toyota Auto Receivables Owner Trust
Series 2003-B Class A4
2.790% due 01/15/10 4,670 4,657
Triad Auto Receivables Owner Trust
Series 2002-A Class A4
3.240% due 08/12/09 2,000 2,024
Series 2003-B Class A3
2.480% due 03/12/08 1,000 1,000
Series 2004-A Class A3
1.900% due 07/14/08 1,000 984
Vanderbilt Acquisition Loan Trust
Series 2002-1 Class A1
3.280% due 01/07/13 240 240
</Table>
94 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Volkswagen Auto Loan Enhanced Trust
Series 2003-2 Class A3
2.270% due 10/22/07 3,000 2,998
Wells Fargo Financial Auto Owner Trust
Series 2004-A Class A4
2.670% due 08/16/10 2,000 1,969
West Penn Funding LLC Transition Bonds
Series 1999-A Class A3
6.810% due 09/25/08 2,157 2,272
WFS Financial Owner Trust
Series 2002-3 Class A4
3.500% due 02/20/10 2,000 2,032
Series 2004-1 Class A3
2.190% due 06/20/08 1,500 1,487
Whole Auto Loan Trust
Series 2002-1 Class A3
2.600% due 08/15/06 1,000 1,007
Series 2003-1 Class A3B
1.990% due 05/15/07 1,900 1,895
Series 2003-1 Class B
2.240% due 03/15/10 1,000 1,000
World Omni Auto Receivables Trust
Series 2001-B Class A3
3.790% due 11/21/05 178 179
------------
247,486
------------
Corporate Bonds and Notes - 14.6%
Abbott Laboratories
5.625% due 07/01/06 1,500 1,593
ABN Amro Bank NV
7.250% due 05/31/05 2,000 2,110
AIG SunAmerica Global Financing XII
5.300% due 05/30/07 3,360 3,535
Altria Group, Inc.
7.650% due 07/01/08 1,500 1,656
Amsouth Bank NA/Birmingham AL
Series BKNT
2.820% due 11/03/06 2,000 1,992
Associates Corp. Of North America
6.250% due 11/01/08 1,000 1,093
Series MTNH
7.250% due 05/08/06 1,700 1,849
7.240% due 05/17/06 1,000 1,092
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Bank of America Corp.
1.370% due 08/26/05 (E) 1,000 1,003
5.250% due 02/01/07 1,000 1,054
6.375% due 02/15/08 3,000 3,269
Bank of Montreal
6.100% due 09/15/05 2,000 2,096
7.800% due 04/01/07 1,000 1,118
BankAmerica Corp.
6.200% due 02/15/06 750 800
Bayerische Landesbank
2.500% due 03/30/06 1,500 1,513
Bear Stearns Cos., Inc. (The) (E)
1.690% due 07/15/05 1,500 1,509
Bristol-Myers Squibb Co.
4.750% due 10/01/06 7,500 7,814
CIT Group, Inc.
7.375% due 04/02/07 5,300 5,882
Citigroup, Inc.
6.750% due 12/01/05 6,500 6,948
1.245% due 05/19/06 1,000 1,002
ConocoPhillips
8.500% due 05/25/05 1,975 2,108
8.750% due 05/25/10 1,000 1,222
DaimlerChrysler NA Holding Corp.
6.400% due 05/15/06 1,200 1,277
Deluxe Corp.
2.750% due 09/15/06 1,000 999
Deutsche Bank Financial, Inc.
6.700% due 12/13/06 1,500 1,632
Entergy Mississippi, Inc.
4.350% due 04/01/08 500 496
Fifth Third Bancorp
6.750% due 07/15/05 1,250 1,319
Series BKNT
3.375% due 08/15/08 1,000 981
Ford Motor Credit Co.
6.500% due 01/25/07 1,500 1,591
General Electric Capital Corp.
8.500% due 07/24/08 1,000 1,176
Series MTNA
1.379% due 02/03/06 2,000 2,007
5.350% due 03/30/06 2,500 2,628
8.125% due 04/01/08 1,000 1,152
General Motors Acceptance Corp. (E)(z)
4.500% due 07/15/06 300 307
Goldman Sachs Group, Inc. (E)
1.280% due 01/09/07 3,000 3,001
</Table>
Short Term Bond Fund 95
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
GTE Corp.
6.360% due 04/15/06 2,000 2,136
GTE Hawaiian Telephone Co.
Series A
7.000% due 02/01/06 2,000 2,148
GTE North, Inc.
Series E
6.400% due 02/15/05 1,200 1,242
Harrah's Operating Co., Inc.
7.500% due 01/15/09 1,500 1,682
Heller Financial, Inc.
6.375% due 03/15/06 1,000 1,078
Household Finance Corp.
5.750% due 01/30/07 2,260 2,407
4.625% due 01/15/08 7,200 7,404
iStar Financial, Inc.
4.875% due 01/15/09 500 487
John Hancock Global Funding II
6.000% due 12/28/06 2,450 2,603
KFW International Finance
Series DTC
5.250% due 06/28/06 2,000 2,117
Lehman Brothers Holdings, Inc.
6.250% due 05/15/06 1,500 1,603
8.250% due 06/15/07 2,500 2,851
Merck & Co., Inc.
5.250% due 07/01/06 2,000 2,111
MGM Mirage
9.750% due 06/01/07 1,200 1,356
Morgan Stanley
1.280% due 01/12/07 (E) 1,000 1,001
5.800% due 04/01/07 1,000 1,068
National City Bank
Series BKNT
2.700% due 08/24/09 2,000 1,957
New York Life Global Funding
1.180% due 02/26/07 2,500 2,498
SLM Corp.
Series MTNA
5.625% due 04/10/07 5,885 6,290
Sprint Capital Corp.
7.125% due 01/30/06 1,000 1,073
6.125% due 11/15/08 100 107
SunAmerica, Inc.
6.750% due 10/01/07 3,850 4,278
Suntrust Bank (E)
Series BKNT
1.110% due 10/03/05 2,000 2,000
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Swiss Bank Corp. NY
7.250% due 09/01/06 1,500 1,653
Tosco Corp.
7.250% due 01/01/07 1,500 1,652
Toyota Motor Credit Corp.
2.750% due 08/06/09 4,000 3,941
Unilever Capital Corp.
7.125% due 11/01/10 1,000 1,144
US Bancorp
Series MTNN
5.100% due 07/15/07 3,000 3,154
US Bancorp/First Bank
7.625% due 05/01/05 1,000 1,055
US Bank National Association (E)
1.120% due 12/05/05 1,500 1,501
US Central Credit Union
2.750% due 05/30/08 1,000 957
Verizon Wireless Capital LLC
1.190% due 05/23/05 1,400 1,399
Wachovia Corp.
6.800% due 06/01/05 (z) 1,500 1,572
7.550% due 08/18/05 2,000 2,139
Washington Mutual Financial Corp.
6.250% due 05/15/06 1,745 1,868
7.250% due 06/15/06 3,005 3,283
Waste Management, Inc.
7.100% due 08/01/26 1,175 1,248
Wells Fargo & Co.
1.200% due 09/15/06 (E) 3,000 3,003
Series MTNH
6.750% due 10/01/06 500 546
6.750% due 06/15/07 2,000 2,213
Wells Fargo Financial, Inc.
6.125% due 02/15/06 750 798
------------
155,447
------------
Emerging Markets Debt - 0.5%
Brazilian Government International Bond
2.063% due 04/15/06 (E) 832 801
10.000% due 01/16/07 1,800 1,877
2.125% due 04/15/09 (E) 118 106
Panama Government International Bond
8.250% due 04/22/08 1,300 1,424
Peru Government International Bond
9.125% due 01/15/08 1,000 1,110
------------
5,318
------------
</Table>
96 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
International Debt - 2.9%
Abbey National PLC
6.690% due 10/17/05 2,000 2,127
Deutsche Telekom International Finance BV
8.250% due 06/15/05 1,050 1,118
European Investment Bank
Series DTC
5.625% due 01/24/06 575 607
France Telecom Step Up Bond
8.200% due 03/01/06 1,200 1,305
HBOS Treasury Services PLC
1.220% due 01/12/07 (E) 2,500 2,501
3.750% due 09/30/08 1,000 992
HSBC Bank PLC
7.625% due 06/15/06 1,650 1,828
Hydro Quebec
Series MTNB
6.520% due 02/23/06 1,000 1,073
Inter-American Development Bank
12.250% due 12/15/08 1,250 1,690
Interstar Millennium Trust (E)
Series 2004-2G Class A
1.311% due 03/14/36 2,500 2,500
Mexico Government International Bond
4.625% due 10/08/08 3,250 3,234
National Westminster Bank PLC
7.375% due 10/01/09 1,000 1,154
Province of British Columbia/Canada
4.625% due 10/03/06 2,000 2,083
Province of Manitoba Canada
4.250% due 11/20/06 1,000 1,031
Province of Ontario
7.000% due 08/04/05 1,500 1,595
6.000% due 02/21/06 1,000 1,059
Province of Quebec
6.500% due 01/17/06 1,560 1,660
Telefonica Europe BV
7.350% due 09/15/05 2,700 2,877
------------
30,434
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Mortgage-Backed Securities - 14.3%
Banc of America Commercial Mortgage, Inc.
Series 2004-2 Class A1
2.764% due 11/10/38 2,000 1,965
Bank of America Mortgage Securities
Series 2002-K Class 2A1
5.770% due 10/20/32 (E) 158 162
Series 2004-2 Class 5A1
6.500% due 10/25/31 1,080 1,115
Bear Stearns Adjustable Rate Mortgage Trust
Series 2002-9 Class 2A
5.323% due 10/25/32 54 55
Series 2003-1 Class 5A1
5.462% due 04/25/33 884 896
Series 2003-8 Class 2A1
4.948% due 01/25/34 1,301 1,310
Bear Stearns Asset Backed Securities, Inc.
Series 2003-AC3 Class A1
4.000% due 07/25/33 1,425 1,405
Bear Stearns Commercial Mortgage Securities
Series 1998-C1 Class A1
6.340% due 06/16/30 728 771
Series 2001-TOP4 Class A1
5.060% due 11/15/16 461 479
Series 2003-PWR2 Class A1
3.432% due 05/11/39 935 929
Series 2003-T10 Class A1
4.000% due 03/13/40 1,519 1,499
Series 2003-T12 Class A1
2.960% due 08/13/39 1,150 1,127
Chevy Chase Home Loan Trust
Series 1996-1 Class A
7.150% due 05/15/15 509 510
Contimortgage Home Equity Trust 1998-3
Series 1998-2 Class A7
6.570% due 03/15/23 1,200 1,212
Countrywide Alternative Loan Trust
Series 2003-6T2 Class A1
6.500% due 06/25/33 1,157 1,199
Countrywide Home Loans
6.000% due 10/25/33 1,764 1,813
CS First Boston Mortgage Securities Corp.
Series 2002 P3 Class A
2.361% due 08/25/33 (y) 835 837
Series 2002-AR27 Class 2A2
5.742% due 10/25/32 192 196
Series 2003-C4 Class A2
3.908% due 08/15/36 1,000 996
</Table>
Short Term Bond Fund 97
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Series 2003-CK2 Class A1
3.006% due 03/15/36 1,127 1,116
Series 2004-C1 Class A1
2.254% due 01/15/37 2,951 2,912
Federal Home Loan Mortgage Corp.
9.000% due 2005 4 4
4.000% due 2007 1,777 1,784
4.000% due 2008 1,616 1,622
4.500% due 2008 2,021 2,058
5.500% due 2008 277 288
6.500% due 2008 295 313
5.500% due 2009 601 623
6.000% due 2009 402 423
6.500% due 2009 849 894
6.000% due 2010 354 372
8.000% due 2010 143 150
6.000% due 2011 1,041 1,090
6.000% due 2013 256 269
5.500% due 2014 1,073 1,107
6.000% due 2014 271 284
6.000% due 2016 1,236 1,292
5.500% due 2017 1,737 1,784
5.000% due 2018 931 938
6.000% due 2028 233 239
5.500% due 2029 1,385 1,390
6.000% due 2029 510 522
6.000% due 2031 680 696
6.000% due 2032 986 1,009
6.500% due 2032 305 318
6.000% due 2033 1,601 1,638
Series 1993-1645 Class PD
4.500% due 09/15/08 340 349
Series 2003-2557 Class MA
4.500% due 07/15/16 831 847
Series 2003-2559 Class PB
5.500% due 08/15/30 1,184 1,204
Series 2003-2580 Class QK
4.000% due 04/15/22 1,500 1,525
Series 2003-2638 Class NK
4.000% due 02/15/15 2,200 2,239
Series 2003-2715 Class OJ
3.500% due 03/15/11 3,000 3,037
Series 2004-2760 Class EA
4.500% due 04/15/13 2,000 2,046
Federal Home Loan Mortgage Corp. Structured Pass
Through Securities
Series 2003-H009 Class A2
1.876% due 03/15/08 1,448 1,405
Federal National Mortgage Association 30 Year
TBA (o)
5.500% 6,200 6,185
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
6.000% due 2008 217 228
5.500% due 2009 5,239 5,400
6.000% due 2010 434 455
6.500% due 2010 298 316
6.000% due 2011 423 443
6.500% due 2011 292 311
4.500% due 2013 4,307 4,332
5.000% due 2013 4,548 4,621
5.500% due 2013 653 676
6.000% due 2013 860 900
6.000% due 2014 4,059 4,245
5.500% due 2016 5,116 5,257
5.000% due 2017 145 146
5.500% due 2017 11,411 11,720
6.000% due 2017 427 445
5.000% due 2018 6,303 6,348
5.500% due 2022 2,026 2,053
6.000% due 2033 64 65
Series 1994-1 Class K
6.500% due 06/25/13 495 509
Series 2003-129 Class PQ
4.500% due 07/25/33 952 975
Series 2003-27 Class TJ
4.000% due 10/25/16 1,944 1,974
Series 2003-92 Class BR
5.000% due 04/25/14 2,300 2,361
Series 2004-21 Class QA
4.000% due 11/25/17 3,500 3,558
Federal National Mortgage Association-Aces
Series 1998-M1 Class A2
6.250% due 01/25/08 2,976 3,186
GE Capital Commercial Mortgage Corp.
Series 2001-2 Class A1
5.260% due 08/11/33 632 657
Series 2001-3 Class A1
5.560% due 06/10/38 908 955
Government National Mortgage Association I
7.000% due 2007 11 11
6.000% due 2008 211 223
9.500% due 2017 1 1
Government National Mortgage Association II (E)
4.750% due 2027 245 250
4.000% due 2032 588 589
</Table>
98 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Impac CMB Trust (E)
Series 2004-2 Class A2
1.340% due 04/25/34 1,282 1,274
Irwin Home Equity (E)
Series 2002-1 Class 2A1
1.390% due 06/25/29 96 96
JP Morgan Chase Commercial Mortgage Securities
Corp.
Series 2002-C2 Class A1
4.326% due 12/12/34 902 905
LB-UBS Commercial Mortgage Trust
Series 2003-C1 Class A1
2.720% due 03/15/27 887 877
Series 2003-C3 Class A1
2.599% due 05/15/27 2,305 2,253
Lehman Large Loan
Series 1997-LLI Class A2
6.840% due 10/12/34 1,150 1,171
Morgan Stanley Capital I
Series 1998-WF2 Class A1
6.340% due 07/15/30 338 353
Series 2003-T11 Class A1
3.260% due 06/13/41 1,862 1,850
Series 2004-T13 Class A1
2.850% due 09/13/45 978 962
Morgan Stanley Dean Witter Capital I
Series 2001-TOP5 Class A1
5.020% due 10/15/35 733 759
Series 2002-HE1 Class A2
1.430% due 07/25/32 201 202
Series 2002-HQ Class A2
6.090% due 04/15/34 500 538
Series 2002-IQ2 Class A1
4.090% due 12/15/35 1,005 1,026
Prime Mortgage Trust (E)
Series 2004-CL1 Class 1A2
1.500% due 02/25/34 663 663
Series 2004-CL1 Class 2A2
1.500% due 02/25/19 163 163
Residential Funding Mortgage Sec I
Series 2002-SA2 Class A1
5.600% due 09/25/32 68 68
Residential Funding Mortgage Securities II
Series 2003-HS1 Class AI2
2.120% due 02/25/33 2,500 2,499
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII
Series 2003-UP2 Class A1
4.000% due 12/25/18 2,332 2,333
Structured Asset Mortgage Investments, Inc. (E)
Series 2002-AR3 Class A1
1.430% due 09/19/32 249 250
Structured Asset Securities Corp. (E)
Series 2001-21A Class 1A1
6.250% due 01/25/32 403 413
United Mortgage Securities Corp.
Series 1993-1 Class AA
4.354% due 09/25/33 248 249
Vendee Mortgage Trust
Series 2001-3 Class J
6.500% due 05/15/08 665 692
Wachovia Bank Commercial Mortgage Trust
Series 2003-C4 Class A1
3.003% due 04/15/35 896 888
Washington Mutual
Series 2001-1 Class A
3.561% due 01/25/41 45 45
Series 2002-AR10 Class A6
4.816% due 10/25/32 2,080 2,105
Series 2002-AR4 Class A1
5.501% due 04/26/32 373 378
Series 2002-AR9 Class 1A
2.634% due 08/25/42 3,489 3,515
Washington Mutual MSC Mortgage Pass-Through CTFS
(E)
Series 2002-AR2 Class 2A1
6.194% due 07/25/32 80 82
------------
152,267
------------
Municipal Bonds - 0.4%
Arizona Educational Loan Marketing Corp.,
Revenue Bonds,
monthly demand
1.080% due 12/01/37 1,300 1,300
Connecticut State Student Loan Foundation
Revenue Bonds, weekly demand
1.090% due 06/01/29 500 500
</Table>
Short Term Bond Fund 99
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
State of Wisconsin Revenue Bonds,
monthly demand (u)
1.050% due 05/01/32 2,700 2,700
------------
4,500
------------
Non-US Bonds - 0.1%
Deutsche Bundesrepublik
5.250% due 07/04/10 EUR 1,000 1,302
------------
United States Government Agencies - 0.4%
Federal Home Loan Bank System
5.925% due 04/09/08 1,600 1,741
Federal Home Loan Bank System Zero Coupon
0.000% due 04/27/10 1,097 1,032
Federal Home Loan Mortgage Corp. MTN
5.810% due 04/04/08 1,000 1,081
------------
3,854
------------
United States Government Treasuries - 14.6%
United States Treasury Inflation Indexed Bonds
3.625% due 01/15/08 7,260 7,987
3.875% due 01/15/09 5,823 6,530
4.250% due 01/15/10 4,869 5,604
3.500% due 01/15/11 1,070 1,192
United States Treasury Note
2.375% due 08/15/06 134,770 134,374
------------
155,687
------------
TOTAL LONG-TERM INVESTMENTS
(cost $753,182) 756,295
------------
PREFERRED STOCKS - 0.2%
Financial Services - 0.2%
DG Funding Trust 219 2,354
------------
TOTAL PREFERRED STOCKS
(cost $2,308) 2,354
------------
SHORT-TERM INVESTMENTS - 27.9%
Anz Del, Inc. Discount Commercial Paper (y)
1.025% due 05/20/04 3,900 3,898
1.030% due 06/22/04 4,000 3,994
1.040% due 07/06/04 2,700 2,693
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Associates Corp. Of North America
Series MTNH
7.625% due 04/27/05 1,000 1,055
Barclays US Funding, LLC. (y)
1.020% due 05/06/04 4,400 4,399
Boatmen's Bancshares, Inc.
7.625% due 10/01/04 3,058 3,127
CBA Del Finance, Inc.
Years 3 & 4 Commercial Paper (y)
1.030% due 05/21/04 (c) 400 400
1.050% due 7/13/04 100 100
Chevron Trust Fund
8.110% due 12/01/04 442 459
CIT Group, Inc.
5.625% due 05/17/04 2,600 2,604
Danske Corp. Commercial Paper (y)
1.025% due 7/18/04 500 499
European Investment Bank (y)
1.010% due 5/25/04 1,600 1,599
Federal Home Loan Mortgage Corp.
Discount Note (y)
0.950% due 05/26/04 6,500 6,496
1.010% due 06/08/04 1,400 1,399
1.025% due 07/06/04 2,200 2,195
1.005% due 07/20/04 2,600 2,591
Federal National Mortgage Association Discount
Note (y)
1.040% due 05/10/04 15,400 15,397
0.990% due 05/20/04 3,500 3,498
0.950% due 06/01/04 3,200 3,224
1.010% due 06/01/04 1,300 1,299
1.020% due 06/23/04 3,500 3,495
1.015% due 06/30/04 500 499
1.010% due 07/01/04 3,500 3,490
1.020% due 07/07/04 1,300 1,297
1.025% due 07/07/04 11,100 11,072
1.040% due 07/07/04 4,900 4,888
1.040% due 07/14/04 7,000 6,982
1.010% due 07/15/04 2,700 2,692
1.010% due 07/20/04 3,500 3,488
1.060% due 07/21/04 4,900 4,887
Finland Government International Bond
7.875% due 07/28/04 6,000 6,095
</Table>
100 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Ford Motor Credit Co.
7.500% due 06/15/04 1,000 1,007
7.500% due 03/15/05 100 104
Frank Russell Investment Company Money Market
Fund 55,103,334 55,103
Frank Russell Investment Company Money Market
Fund (N) 269,963 270
General Electric Capital Corp. Commercial Paper
(y)
1.040% due 05/11/04 3,700 3,699
1.040% due 06/08/04 4,500 4,495
1.040% due 06/17/04 1,900 1,897
General Electric Capital Corp.
Series MTNA
7.250% due 05/03/04 1,000 1,000
General Motors Acceptance Corp. (E)
1.820% due 05/17/04 1,700 1,700
1.499% due 07/21/04 300 300
HBOS Treasury Services PLC (y)
1.030% due 06/21/04 2,100 2,097
1.035% due 06/29/04 8,100 8,086
1.055% due 07/16/04 400 399
Italy Government International Bond
5.000% due 12/15/04 JPY 39,000 364
7.250% due 02/07/05 2,500 2,605
John Hancock Global Funding, Ltd.
7.500% due 01/31/05 4,080 4,241
KFW International Finance
1.000% due 12/20/04 JPY 66,000 601
May Department Stores Co. (The)
7.150% due 08/15/04 6,200 6,296
National Bank of Canada
Series B
8.125% due 08/15/04 1,000 1,020
Norfolk Southern Corp. (E)
1.870% due 02/28/05 700 704
Philadelphia Authority For Industrial
Development
Series 1997-1997 Class A
6.488% due 06/15/04 650 452
Rababank USA Financial Corp. (c)(y)
1.030% due 05/10/04 400 400
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Railcar Trust
Series 1992-1 Class A
7.750% due 06/01/04 849 854
Royal Bank of Scotland PLC (y)
1.050% due 07/14/04 9,700 9,676
Southwestern Bell Telephone
6.625% due 04/01/05 2,510 2,612
State Street Securities Lending
Quality Trust (N) 290,684 291
Svenska Handelsbanken (y)
1.025% due 05/24/04 4,500 4,497
Svenska Handelsbanken
8.350% due 07/15/04 1,000 1,014
UBS Finance, Inc. (y)
1.040% due 07/06/04 9,700 9,675
1.055% due 07/13/04 900 897
United States Treasury Bill (y)
1.024% due 05/06/04 10,300 10,299
1.040% due 05/13/04 10,400 10,396
0.930% due 06/03/04 (s) 645 644
0.010% due 06/03/04 16,300 16,285
0.930% due 06/10/04 (c)(s) 75 75
0.920% due 06/17/04 (c)(s) 20 20
0.942% due 06/17/04 (c)(s) 20 20
0.972% due 06/17/04 5,900 5,893
Vodafone Group PLC
7.625% due 02/15/05 6,560 6,851
Westpac Capital Corp. (y)
1.060% due 05/06/04 8,000 7,998
Westpactrust Securities (y)
1.120% due 08/17/04 2,500 2,491
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $301,488) 297,139
------------
TOTAL INVESTMENTS - 99.2%
(identified cost $1,056,978) 1,055,788
OTHER ASSETS AND LIABILITIES,
NET - 0.8% 8,291
------------
NET ASSETS - 100.0% 1,064,079
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Short Term Bond Fund 101
FRANK RUSSELL INVESTMENT COMPANY
SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Long Positions
Eurodollar Futures
expiration date 12/04 (51) 12,470 1
expiration date 03/05 (61) 14,842 (7)
expiration date 06/05 (59) 14,288 (17)
expiration date 09/05 (59) 14,232 (25)
expiration date 12/05 (1) 240 (2)
United States Treasury 2 Year Notes
expiration date 06/04 (67) 14,241 (119)
United States Treasury 5 Year Notes
expiration date 06/04 (82) 9,015 (183)
United States Treasury 10 Year Notes
expiration date 09/04 (5) 545 (2)
---------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (354)
===============
</Table>
<Table>
<Caption>
NOTIONAL MARKET
OPTIONS WRITTEN AMOUNT VALUE
(NUMBER OF CONTRACTS) $ $
- ------------------------------------------------------------------------------------
Euribor Futures
Dec 2004 97.00 (EUR) Put (12) 1,106 --
Swap Option Three Month LIBOR
Oct 2004 3.80 Call (1) 5,700 (3)
United States Treasury Notes
5 Year Futures
Aug 2004 107.50 Put (15) 1,613 (13)
---------------
Total Liability for Options Written
(premiums received $30) (16)
===============
</Table>
<Table>
<Caption>
FOREIGN CURRENCY EXCHANGE CONTRACTS
- -------------------------------------------------------------------------
UNREALIZED
APPRECIATION
AMOUNT AMOUNT SETTLEMENT (DEPRECIATION)
SOLD BOUGHT DATE $
- ------------------- -------------------- ----------- --------------
USD 105 EUR 88 05/10/04 --
USD 247 EUR 207 05/10/04 1
EUR 207 USD 248 05/10/04 --
JPY 105,375 USD 955 05/18/04 --
--------------
1
==============
</Table>
<Table>
<Caption>
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------------------------------
NOTIONAL MARKET
COUNTER AMOUNT TERMINATION VALUE
PARTY $ FUND RECEIVES FUND PAYS DATE $
- --------------------- -------------------------- ------------------ -------------------- ---------------- ----------------
Barclays Bank PLC EUR 600 4.000% Six Month LIBOR 06/17/08 7
Barclays Bank PLC EUR 5,600 4.000% Six Month LIBOR 06/17/10 (29)
Goldman Sachs EUR 4,900 4.000% Six Month LIBOR 06/17/08 54
Merrill Lynch EUR 15,400 4.000% Six Month LIBOR 06/17/10 (80)
----------------
Total Market Value of Interest Rate Swaps
premiums paid (received) - $340 (48)
================
</Table>
See accompanying notes which are an integral part of the financial statements.
102 Short Term Bond Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 95.1%
Auto and Transportation - 1.5%
Pacer International, Inc. (AE) 4,700 88
Southwest Airlines Co. 75,900 1,084
United Parcel Service, Inc. Class B 5,300 372
------------
1,544
------------
Consumer Discretionary - 21.8%
3DO Co. (The) (AE) 6,525 --
Activision, Inc. (AE) 12,300 185
Advance Auto Parts (AE) 13,600 587
Advo, Inc. 5,900 185
Amazon.Com, Inc. (AE) 22,880 994
Apollo Group, Inc. Class A (AE) 6,630 603
Ask Jeeves (AE)(z) 3,800 135
Avon Products, Inc. 3,980 334
Buca, Inc. (AE)(z) 14,900 98
Buffalo Wild Wings, Inc. (AE) 2,600 86
CDW Corp. 1,100 69
Charlotte Russe Holding, Inc. (AE) 4,300 71
ChoicePoint, Inc. (AE) 2,700 119
Christopher & Banks Corp. (z) 10,300 184
Crown Media Holdings, Inc. Class A (AE)(z) 9,200 81
Cumulus Media, Inc. Class A (AE) 4,400 92
DiamondCluster International, Inc. (AE)(z) 15,000 154
Digital Theater Systems, Inc. (AE) 2,000 45
DIRECTV Group, Inc. (The) 24,834 445
Dollar Thrifty Automotive Group (AE) 2,900 76
DoubleClick, Inc. (AE)(z) 8,100 65
eBay, Inc. (AE) 25,590 2,043
Estee Lauder Cos., Inc. (The) Class A 9,100 416
Fisher Scientific International 3,800 222
Gray Television, Inc. 6,400 95
GSI Commerce, Inc. (AE) 6,600 64
Hearst-Argyle Television, Inc. Class C 4,800 126
Home Depot, Inc. 40,500 1,425
International Game Technology 7,490 283
International Speedway Corp. Class A 1,500 63
iVillage, Inc. (AE)(z) 13,700 88
J Jill Group, Inc. (The) (AE) 4,200 89
JC Penney Co., Inc. Holding Co. 15,000 508
Jones Apparel Group, Inc. 2,000 73
Jupitermedia Corp. (AE)(z) 7,800 66
K2, Inc. 4,000 59
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Kimberly-Clark Corp. 4,900 321
Magna Entertainment Corp. Class A (AE)(z) 10,500 54
McDonald's Corp. 25,300 689
Monster Worldwide, Inc. (AE) 5,200 133
MPS Group, Inc. (AE) 18,600 203
Nautilus Group, Inc. (z) 7,400 119
Neoforma, Inc. (AE)(z) 3,060 40
Nike, Inc. Class B 5,360 386
Omnicom Group 7,300 580
PC Mall, Inc. (AE)(z) 3,700 69
Pixar (AE)(z) 7,000 478
Radio One, Inc. Class D (AE) 6,000 114
Republic Services, Inc. 4,200 121
Rocky Shoes & Boots, Inc. (AE)(z) 3,100 70
Sabre Holdings Corp. 3,400 80
Scientific Games Corp. Class A (AE)(z) 12,300 222
Sinclair Broadcast Group, Inc. Class A (AE)(z) 8,800 109
Skechers U.S.A., Inc. Class A (AE) 5,800 71
SkillSoft PLC - ADR (AE) 11,300 141
Speedway Motorsports, Inc. (z) 6,500 194
Staples, Inc. 19,100 492
Starbucks Corp. (AE) 20,330 790
Starwood Hotels & Resorts Worldwide, Inc. 7,800 310
Target Corp. 16,170 701
Time Warner, Inc. 20,970 353
Tivo, Inc. (AE)(z) 5,900 41
Too, Inc. (AE)(z) 10,300 181
Univision Communications, Inc. Class A (AE)(z) 20,000 677
Vans, Inc. (AE)(z) 2,400 49
Ventiv Health, Inc. (AE) 7,600 107
VeriSign, Inc. (AE) 22,200 358
Wal-Mart Stores, Inc. 33,990 1,937
XM Satellite Radio Holdings, Inc. Class A (AE) 18,080 433
Yahoo!, Inc. (AE) 25,600 1,292
------------
22,143
------------
Consumer Staples - 6.2%
Anheuser-Busch Cos., Inc. Class 7,900 405
Campbell Soup Co. 7,500 207
Coca-Cola Co. (The) 8,000 405
Imperial Sugar Co. (AE)(z) 6,300 77
NBTY, Inc. (AE) 3,000 111
</Table>
Select Growth Fund 103
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
PepsiCo, Inc. 35,360 1,927
Procter & Gamble Co. 17,240 1,823
Systemco Corp. 14,290 547
Walgreen Co. 22,630 780
------------
6,282
------------
Financial Services - 10.6%
Advent Software, Inc. (AE) 3,800 71
Aflac, Inc. 11,000 465
American Express Co. 17,550 859
American International Group, Inc. 31,200 2,235
AmeriCredit Corp. (AE) 14,500 235
Ameritrade Holding Corp. (AE)(z) 16,100 197
Capital One Financial Corp. 13,900 911
Cardinal Financial Corp. (AE) 5,900 53
Charles Schwab Corp. (The) 69,380 714
Citigroup, Inc. 12,700 611
CyberSource Corp. (AE) 11,000 70
Falck SPA (AE) 2,800 87
Fannie Mae 12,700 873
First Data Corp. 8,800 399
Global Payments, Inc. 2,900 139
Goldman Sachs Group, Inc. 3,900 376
Great American Financial Resources, Inc. (z) 3,100 49
Instinet Group, Inc. (z) 29,400 192
Lakeland Bancorp, Inc. (z) 3,700 58
Mercer Insurance Group, Inc. (AE) 6,500 77
Paychex, Inc. 10,480 391
Pico Holdings, Inc. (AE)(z) 3,300 52
Progressive Corp. (The) 15,460 1,353
Providian Financial Corp. 10,100 123
Republic First Bancorp, Inc. (AE) 3,200 39
Santander BanCorp (z) 3,000 90
------------
10,719
------------
Health Care - 19.0%
Abgenix, Inc. (AE) 5,400 88
Able Laboratories, Inc. (AE) 3,500 67
American Medical Systems Holdings, Inc. (AE) 4,800 125
Amgen, Inc. 37,310 2,099
Amylin Pharmaceuticals, Inc. (AE)(z) 9,400 211
Anthem, Inc. (AE) 3,600 319
Barr Pharmaceuticals, Inc. (AE) 8,150 338
Biogen Idec, Inc. (AE) 8,930 527
Boston Scientific Corp. (AE) 11,800 486
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Cardinal Health, Inc. 3,200 234
Caremark Rx, Inc. (AE) 12,300 416
Eli Lilly & Co. 9,100 672
Forest Laboratories, Inc. (AE) 10,350 667
Genentech, Inc. (AE) 23,360 2,870
Gilead Sciences, Inc. (AE) 3,470 211
Guidant Corp. 12,340 778
Guilford Pharmaceuticals, Inc. (AE)(z) 6,700 42
Invitrogen Corp. (AE)(z) 3,700 267
IVAX Corp. 17,500 373
Kinetic Concepts, Inc. (AE) 4,800 232
LCA-Vision, Inc. (AE)(z) 4,201 106
Ligand Pharmaceuticals, Inc. Class B (AE)(z) 3,000 64
Medarex, Inc. (AE)(z) 10,600 101
Medicis Pharmaceutical Class A 3,300 142
Palomar Medical Technologies, Inc. (AE) 4,600 72
Pfizer, Inc. 135,970 4,863
Prime Medical Services, Inc. (AE)(z) 9,000 63
SFBC International, Inc. (AE) 2,200 80
St Jude Medical, Inc. 11,690 891
Teva Pharmaceutical Industries, Ltd. - ADR (z) 11,340 698
Ventana Medical Systems (AE) 500 25
Wyeth 9,300 354
Zimmer Holdings, Inc. (AE) 10,230 817
------------
19,298
------------
Information Technology - 0.1%
AboveNet, Inc. (AE)(z) 1,500 60
------------
Materials and Processing - 1.8%
Alcoa, Inc. 10,220 314
Archer-Daniels-Midland Co. 23,710 416
Cellegy Pharmaceuticals, Inc. (AE)(z) 10,300 39
Culp, Inc. 4,400 38
Cytec Industries, Inc. 1,900 75
Encore Wire Corp. (AE)(z) 3,600 98
GTx, Inc. (AE)(z) 3,900 53
LSI Industries, Inc. 4,400 51
Monsanto Co. 14,200 491
Oregon Steel Mills, Inc. (AE) 4,600 39
RTI International Metals, Inc. 2,300 34
Smurfit-Stone Container Corp. (AE) 6,400 110
Wolverine Tube, Inc. (AE) 5,600 68
------------
1,826
------------
</Table>
104 Select Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Miscellaneous - 5.9%
3M Co. 5,900 510
General Electric Co. 155,490 4,658
Honeywell International, Inc. 12,200 422
Trinity Industries, Inc. 3,000 91
Tyco International, Ltd. 12,450 342
------------
6,023
------------
Other Energy - 1.5%
Apache Corp. 6,250 262
EOG Resources, Inc. 9,600 473
Grant Prideco, Inc. (AE) 8,600 131
Key Energy Services, Inc. (AE) 8,300 88
Nabors Industries, Ltd. (AE) 1,700 75
National-Oilwell, Inc. Class C (AE) 11,300 315
Patterson-UTI Energy, Inc. (z) 4,700 170
Westmoreland Coal Co. (z) 3,000 59
------------
1,573
------------
Producer Durables - 2.3%
American Power Conversion 4,700 88
Applied Materials, Inc. (AE) 47,560 867
Applied Signal Technology, Inc. (z) 3,000 81
August Technology Corp. (AE) 1,600 21
Boeing Co. (The) 5,200 222
Caterpillar, Inc. 4,200 326
Emerson Electric Co. 7,000 422
General Cable Corp. (z) 8,600 66
Measurement Specialties, Inc. (AE)(z) 3,500 66
Radyne Co.mstream Corp. (AE) 8,100 75
Southern Energy Homes, Inc. (AE) 24,000 101
Zygo Corp. (AE) 2,800 31
------------
2,366
------------
Technology - 23.4%
3Com Corp. (AE) 20,800 128
ACT Teleconferencing, Inc. (AE)(z) 23,700 74
Aeroflex, Inc. (AE) 14,000 176
Agile Software Corp. (AE) 6,900 52
Anacomp, Inc. Class A (AE) 4,800 88
Analog Devices, Inc. 13,290 566
Analogic Corp. 1,700 80
answerthink, Inc. (AE) 14,900 108
Aspect Communications Corp. (AE) 5,500 65
Autodesk, Inc. 11,400 382
Avaya, Inc. (AE) 27,500 376
BEA Systems, Inc. (AE) 24,600 281
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Borland Software Corp. (AE) 2,700 22
Broadcom Corp. Class A (AE) 15,960 603
California Micro Devices CP (AE) 7,800 112
Captaris, Inc. (AE) 3,900 22
Carrier Access Corp. (AE) 7,700 82
Centillium Communications, Inc. (AE) 9,900 38
Cisco Systems, Inc. (AE) 168,190 3,511
Comverse Technology, Inc. (AE) 11,600 190
Corning, Inc. 28,200 311
CovanSystem Corp. (AE) 7,200 101
Cyberguard Corp. (AE) 6,500 56
Dell, Inc. (AE) 78,610 2,729
Diodes, Inc. (AE)(z) 3,300 72
Ditech Communications Corp. (AE) 5,400 78
EDO Corp. 6,100 138
EMC Corp. 49,890 557
Exar Corp. (AE) 13,900 212
InFocus Corp. (AE) 8,800 72
Integrated Device Technology, Inc. (AE) 17,600 237
Intel Corp. 95,400 2,455
InterVoice, Inc. (AE) 6,300 78
Juniper Networks, Inc. (AE)(z) 45,750 1,001
L-3 Communications Holdings, Inc. 1,200 74
Lantronix, Inc. (AE)(z) 39,700 66
MAPICS, Inc. (AE)(z) 5,900 47
Maxim Integrated Products 14,200 653
Microsoft Corp. 61,700 1,602
Motorola, Inc. 28,380 518
NetIQ Corp. (AE) 5,400 69
Network Appliance, Inc. (AE) 31,700 590
Newport Corp. 4,300 64
Novell, Inc. (AE) 12,000 116
Onyx Software Corp. (AE) 11,175 40
Oracle Corp. (AE) 65,100 730
Perot Systems Corp. Class A (AE) 6,200 83
PMC - Sierra, Inc. (AE) 20,400 248
Qualcomm, Inc. 18,980 1,185
Quest Software, Inc. (AE)(z) 8,900 100
Saba Software, Inc. (AE)(z) 13,025 51
SAP AG - ADR 6,730 251
Seebeyond Technology Corp. (AE) 11,900 45
Selectica, Inc. (AE)(z) 9,800 42
Silicon Graphics, Inc. (AE)(z) 16,200 31
Silicon Storage Technology, Inc. (AE) 4,700 62
Sony Corp. - ADR 2,880 111
Symbol Technologies, Inc. 8,500 102
Tellabs, Inc. (AE) 9,400 82
</Table>
Select Growth Fund 105
FRANK RUSSELL INVESTMENT COMPANY
SELECT GROWTH FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Texas Instruments, Inc. 27,800 698
Three-Five Systems, Inc. (AE)(z) 8,100 41
Witness Systems, Inc. (AE) 7,700 108
Xilinx, Inc. 26,970 907
------------
23,769
------------
Utilities - 1.0%
America Movil SA de CV Class L - ADR 9,540 322
MDU Communications International, Inc. (AE) 20,900 51
Nextel Partners, Inc. Class A (AE)(z) 11,300 151
Ubiquitel, Inc. (AE)(z) 17,400 72
Verizon Communications, Inc. 10,400 392
------------
988
------------
TOTAL COMMON STOCKS
(cost $88,218) 96,591
------------
SHORT-TERM INVESTMENTS - 10.5%
Frank Russell Investment Company Money Market
Fund 4,621,000 4,621
Frank Russell Investment Company Money Market
Fund (N) 2,677,113 2,677
State Street Securities Lending
Quality Trust (N) 2,882,590 2,883
United States Treasury Bill (y)(s) 0.930% due
06/10/04 500 499
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $10,680) 10,680
------------
TOTAL INVESTMENTS - 105.6%
(identified cost $98,898) 107,271
OTHER ASSETS AND LIABILITIES,
NET - (5.6%) (5,655)
------------
NET ASSETS - 100.0% 101,616
============
</Table>
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
Long Positions
Nasdaq 100 Index
expiration date 06/04 (2) 281 (8)
Russell 1000 Growth Index
expiration date 06/04 (13) 3,027 (12)
S&P 500 E-Mini Index
expiration date 06/04 (21) 1,161 (23)
S&P 500 Index
expiration date 06/04 (2) 553 (16)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (59)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
106 Select Growth Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 93.9%
Auto and Transportation - 1.2%
AMR Corp. 48,200 547
Autoliv, Inc. 7,200 306
Burlington Northern Santa Fe Corp. 33,720 1,103
Pacer International, Inc. (AE) 8,700 164
Union Pacific Corp. 14,570 859
------------
2,979
------------
Consumer Discretionary - 12.0%
Abercrombie & Fitch Co. Class A 17,900 563
Accenture, Ltd. Class A (AE) 5,600 133
AnnTaylor Stores Corp. (AE) 9,800 397
BJ's Wholesale Club, Inc. (AE) 12,700 308
Black & Decker Corp. 29,200 1,689
Borders Group, Inc. 17,200 412
Caesars Entertainment, Inc. (AE) 68,200 904
Circuit City Stores, Inc. 24,000 280
Costco Wholesale Corp. 19,100 715
Federated Department Stores 11,800 578
Fisher Scientific International 10,100 591
Furniture Brands International, Inc. 8,300 234
Getty Images, Inc. (AE) 25,300 1,381
Hasbro, Inc. 5,400 102
Hearst-Argyle Television, Inc. Class C 14,000 368
Home Depot, Inc. 32,200 1,133
Kimberly-Clark Corp. 62,880 4,115
Knight-Ridder, Inc. 6,900 534
Labor Ready, Inc. (AE) (z) 26,800 339
Lone Star Steakhouse & Saloon 8,300 255
Ltd Brands 20,688 427
MarineMax, Inc. (AE) 2,400 68
Mattel, Inc. 22,900 388
May Department Stores Co. (The) 31,700 976
McDonald's Corp. 112,850 3,073
Movado Group, Inc. 4,500 135
Newell Rubbermaid, Inc. 36,500 863
Petco Animal Supplies, Inc. (AE) 11,200 329
RadioShack Corp. 5,700 175
Reed Elsevier PLC - ADR (z) 13,590 512
RR Donnelley & Sons Co. 12,978 382
Sears Roebuck and Co. 3,830 153
Service Corp. International 66,900 494
Staples, Inc. 18,000 464
Time Warner, Inc. 34,350 578
TJX Cos., Inc. 5,400 133
Tribune Co. 16,130 772
United Online, Inc. (AE) 24,800 412
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Viacom, Inc. Class B 49,844 1,926
Walt Disney Co. 32,400 746
WPP Group PLC - ADR 13,519 666
Yum! Brands, Inc. (AE) 20,800 807
------------
29,510
------------
Consumer Staples - 5.4%
Altria Group, Inc. 42,210 2,338
Anheuser-Busch Cos., Inc. Class 16,100 825
Chiquita Brands International, Inc. (AE) 11,900 214
Clorox Co. 17,200 891
Colgate-Palmolive Co. 15,000 868
CVS Corp. 16,000 618
Diageo PLC - ADR (z) 26,180 1,427
General Mills, Inc. 16,600 809
HJ Heinz Co. 38,340 1,464
Kellogg Co. 26,010 1,116
Kraft Foods, Inc. Class A 23,000 757
Lance, Inc. (z) 14,900 225
Longs Drug Stores Corp. 14,700 288
PepsiCo, Inc. 2,330 127
Sara Lee Corp. 46,100 1,064
Tyson Foods, Inc. Class A 7,690 144
------------
13,175
------------
Financial Services - 27.0%
ACE, Ltd. 22,100 969
Aflac, Inc. 5,300 224
AG Edwards, Inc. 11,200 410
Allstate Corp. (The) 40,090 1,840
American Express Co. 13,480 660
American International Group, Inc. 16,300 1,168
Arbor Realty Trust, Inc. (AE)(o)(z) 7,900 154
Astoria Financial Corp. 10,400 358
Bank of America Corp. 84,288 6,785
Bank of New York Co., Inc. (The) 22,900 667
Bank One Corp. 17,210 850
Bankunited Financial Corp. Class A 11,000 291
Bear Stearns Cos., Inc. (The) 7,100 569
Capital Automotive REIT (o) 5,200 146
Charter One Financial, Inc. 16,300 544
Chubb Corp. 4,160 287
Cigna Corp. 10,900 703
CIT Group, Inc. 35,400 1,217
Citigroup, Inc. 128,520 6,182
Comerica, Inc. 13,700 707
Commerce Bancshares, Inc. 14,145 635
Countrywide Financial Corp. 7,800 463
</Table>
Select Value Fund 107
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Cullen/Frost Bankers, Inc. 5,200 225
Dime Community Bancshares 24,125 413
Doral Financial Corp. 12,025 394
Dow Jones & Co., Inc. 15,900 733
Fannie Mae 38,050 2,615
First Data Corp. 37,313 1,694
Franklin Resources, Inc. 9,100 499
Freddie Mac 15,200 888
Friedman Billings Ramsey Group, Inc. Class A 71,100 1,315
Goldman Sachs Group, Inc. 20,530 1,981
Greater Bay Bancorp (z) 11,100 315
H&R Block, Inc. 16,100 726
Hartford Financial Services Group, Inc. 8,890 543
Innkeepers USA Trust (o) 25,000 191
Janus Capital Group, Inc. 1,800 27
JP Morgan Chase & Co. 81,600 3,068
Keycorp 24,800 737
Lincoln National Corp. 10,399 467
Maguire Properties, Inc. (o) 15,900 362
Marsh & McLennan Cos., Inc. 3,180 143
MBNA Corp. 81,450 1,986
Mellon Financial Corp. 35,230 1,044
Mercury General Corp. 4,900 250
Merrill Lynch & Co., Inc. 46,740 2,535
Metlife, Inc. 31,970 1,103
MGIC Investment Corp. 19,600 1,443
National Commerce Financial Corp. 23,800 633
PMI Group, Inc. (The) 6,500 280
PNC Financial Services Group, Inc. 28,110 1,493
Providian Financial Corp. 97,000 1,177
Republic Bancorp, Inc. 31,340 408
Safeco Corp. 16,700 731
Sandy Spring Bancorp, Inc. (z) 10,600 379
SLM Corp. 33,800 1,295
SouthTrust Corp. 8,060 251
Sovereign Bancorp, Inc. 76,400 1,526
St Paul Travelers Cos., Inc. (The) 40,450 1,645
SunTrust Banks, Inc. 23,830 1,622
Triad Guaranty, Inc. (AE)(z) 7,500 410
US Bancorp 57,500 1,474
Waddell & Reed Financial, Inc. Class A 13,500 300
Wells Fargo & Co. 14,400 813
Zions BanCorp. 7,300 413
------------
66,376
------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Health Care - 10.0%
Abbott Laboratories 37,500 1,651
Amgen, Inc. 19,300 1,086
Anthem, Inc. (AE) 21,700 1,922
Baxter International, Inc. 25,500 807
Becton Dickinson & Co. 29,100 1,471
Biogen Idec, Inc. (AE) 22,915 1,352
Caremark Rx, Inc. (AE) 28,000 948
Conmed Corp. (AE) 5,400 133
CR Bard, Inc. 1,320 140
DaVita, Inc. (AE) 4,900 250
Eli Lilly & Co. 4,100 303
Genzyme Corp. (AE) 19,400 845
Guidant Corp. 24,010 1,513
HCA, Inc. 37,400 1,520
Johnson & Johnson 26,410 1,427
LabOne, Inc. 9,600 284
Merck & Co., Inc. 6,400 301
Millipore Corp. 8,200 430
Novartis AG - ADR 10,840 486
Pacificare Health Systems (AE) 31,900 1,141
Pfizer, Inc. 104,280 3,729
Respironics, Inc. (AE) 1,900 100
Roche Holding AG - ADR (z) 4,500 472
Triad Hospitals, Inc. (AE) 17,600 599
UnitedHealth Group, Inc. 12,900 793
Wyeth 26,300 1,001
------------
24,704
------------
Integrated Oils - 5.1%
BP PLC - ADR 16,560 876
ChevronTexaco Corp. 26,721 2,445
ConocoPhillips 33,500 2,389
Exxon Mobil Corp. 87,800 3,736
Marathon Oil Corp. 58,100 1,950
Unocal Corp. 30,670 1,105
------------
12,501
------------
Materials and Processing - 9.3%
Aceto Corp. 5,050 69
Air Products & Chemicals, Inc. 13,300 662
Akzo Nobel NV - ADR (z) 19,700 718
Alcoa, Inc. 23,700 729
Alumina, Ltd. - ADR (z) 25,800 381
Archer-Daniels-Midland Co. 56,290 988
Ball Corp. 10,200 673
Bemis Co. 21,600 583
Boise Cascade Corp. 17,300 584
</Table>
108 Select Value Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Bowater, Inc. 20,810 873
Brady Corp. Class A 6,200 241
Dow Chemical Co. (The) 85,180 3,381
Dycom Industries, Inc. (AE) 17,500 413
Eagle Materials, Inc. 3,200 210
EI Du Pont de Nemours & Co. 45,600 1,959
Freeport-McMoRan Copper & Gold, Inc. Class B 12,700 387
Golden Star Resources, Ltd. (AE)(z) 30,300 135
International Paper Co. 36,740 1,481
International Steel Group, Inc. (AE) 24,300 706
Lyondell Chemical Co. 24,100 394
MeadWestvaco Corp. 26,200 685
Monsanto Co. 38,560 1,334
Phelps Dodge Corp. 8,600 566
PPG Industries, Inc. 14,090 836
Praxair, Inc. 5,640 206
Reliance Steel & Aluminum Co. 9,400 310
Rohm & Haas Co. 20,700 803
Schulman A, Inc. 18,100 362
Silgan Holdings, Inc. (AE) 4,500 189
Smurfit-Stone Container Corp. (AE) 14,290 246
Syngenta AG - ADR (z) 37,880 603
URS Corp. 7,700 199
Weyerhaeuser Co. 15,300 906
------------
22,812
------------
Miscellaneous - 2.2%
3M Co. 3,800 329
General Electric Co. 46,800 1,402
Honeywell International, Inc. 20,400 705
Teleflex, Inc. 4,800 219
Tyco International, Ltd. 73,400 2,015
Vivendi Universal SA - ADR 34,500 853
------------
5,523
------------
Other Energy - 3.0%
Anadarko Petroleum Corp. 9,300 498
Baker Hughes, Inc. 24,000 880
Burlington Resources, Inc. 15,300 1,029
Chesapeake Energy Corp. 82,100 1,129
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Devon Energy Corp. 3,660 224
ENSCO International, Inc. 14,600 400
EOG Resources, Inc. 3,700 182
GlobalSantaFe Corp. 4,870 128
Kerr-McGee Corp. 13,600 665
Noble Corp. (AE) 14,180 527
Schlumberger, Ltd. 5,440 318
Transocean, Inc. 50,000 1,389
------------
7,369
------------
Producer Durables - 4.9%
Cooper Industries, Ltd. Class A 3,400 187
Deere & Co. 17,390 1,183
Emerson Electric Co. 24,920 1,501
Joy Global, Inc. 6,100 160
Lam Research Corp. (AE) 48,800 1,080
Lockheed Martin Corp. 38,060 1,815
Northrop Grumman Corp. 7,880 782
Novellus Systems, Inc. (AE) 4,500 130
Polycom, Inc. (AE) 14,200 271
Rofin-Sinar Technologies, Inc. (AE) 10,700 248
Teradyne, Inc. (AE)(z) 37,800 770
United Defense Industries, Inc. (AE) 9,600 333
United Technologies Corp. 22,400 1,932
WW Grainger, Inc. 12,700 665
Xerox Corp. 78,000 1,048
------------
12,105
------------
Technology - 5.3%
Adtran, Inc. 3,700 91
Amdocs, Ltd. (AE) 47,200 1,253
Apple Computer, Inc. 11,900 306
Autodesk, Inc. 10,100 338
Avaya, Inc. (AE) 35,400 484
BMC Software, Inc. (AE) 17,600 304
Corning, Inc. 107,600 1,187
DRS Technologies, Inc. (AE) 4,300 121
Hewlett-Packard Co. 78,610 1,549
Intel Corp. 26,700 687
International Business Machines Corp. 14,760 1,301
Jabil Circuit, Inc. (AE) 10,600 280
</Table>
Select Value Fund 109
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Merix Corp. (AE)(z) 19,300 300
Microsoft Corp. 93,250 2,422
Netgear, Inc. (AE)(z) 10,500 114
ON Semiconductor Corp. (AE) 70,000 338
Raytheon Co. 11,600 374
Rockwell Automation, Inc. 23,600 771
Tellabs, Inc. (AE) 31,100 272
Zilog, Inc. (AE) 38,000 461
------------
12,953
------------
Utilities - 8.5%
AES Corp. (The) 65,100 564
Alltel Corp. 14,100 710
BellSouth Corp. 30,200 779
Cascade Natural Gas Corp. 10,900 224
Cinergy Corp. 10,480 398
Comcast Corp. Class A 20,900 629
Comcast Corp. Special Class A 31,010 899
COX Communications, Inc. Class A (AE) 11,000 360
Dominion Resources, Inc. 17,710 1,130
Energen Corp. 8,700 360
Energy East Corp. 14,320 337
Entergy Corp. 6,550 358
Exelon Corp. 13,000 870
FirstEnergy Corp. 4,270 167
FPL Group, Inc. 18,600 1,183
KeySpan Corp. 6,270 227
National Fuel Gas Co. 7,050 173
NiSource, Inc. 24,800 500
NSTAR 4,280 207
Pepco Holdings, Inc. 18,000 341
PPL Corp. 22,680 972
Progress Energy, Inc. - CVO (AE)(B)(Y) 1,300 --
Puget Energy, Inc. 7,900 173
Questar Corp. 30,500 1,082
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
SBC Communications, Inc. 67,140 1,672
Sprint Corp.-FON Group 113,550 2,031
TXU Corp. 17,540 599
Verizon Communications, Inc. 97,290 3,672
Vodafone Group PLC - ADR 14,126 347
------------
20,964
------------
TOTAL COMMON STOCKS
(cost $208,712) 230,971
------------
PREFERRED STOCKS - 0.4%
Consumer Discretionary - 0.4%
News Corp., Ltd. - ADR 27,124 915
------------
TOTAL PREFERRED STOCKS
(cost $656) 915
------------
SHORT-TERM INVESTMENTS - 7.4%
Frank Russell Investment Company Money Market
Fund 13,135,000 13,135
Frank Russell Investment Company Money Market
Fund (N) 2,072,030 2,072
State Street Securities Lending
Quality Trust (N) 2,231,066 2,231
United States Treasury Bill (y)(s)
0.930% due 06/10/04 800 799
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $18,237) 18,237
------------
TOTAL INVESTMENTS - 101.7%
(identified cost $227,605) 250,123
OTHER ASSETS AND LIABILITIES,
NET - (1.7%) (4,266)
------------
NET ASSETS - 100.0% 245,857
============
</Table>
See accompanying notes which are an integral part of the financial statements.
110 Select Value Fund
FRANK RUSSELL INVESTMENT COMPANY
SELECT VALUE FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION
FUTURES CONTRACTS AMOUNT (DEPRECIATION)
(NUMBER OF CONTRACTS) $ $
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Long Positions
Russell 1000 Value Index
expiration date 06/04 (25) 7,191 (124)
S&P 500 E-Mini Index
expiration date 06/04 (38) 2,102 (64)
S&P 500 Index
expiration date 06/04 (17) 4,701 (151)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (339)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Select Value Fund 111
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO SCHEDULES OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
FOOTNOTES:
(AE) Nonincome-producing security.
(o) Real Estate Investment Trust (REIT).
(s) Held as collateral in connection with futures contracts purchased (sold),
options written, or swaps entered into by the Fund.
(y) Rate noted is yield-to-maturity from date of acquisition.
(c) At amortized cost, which approximates market.
(E) Adjustable or floating rate security. Rate shown reflects rate in effect
at period end.
(o) Forward commitment.
(p) Perpetual floating rate security. Rate shown reflects rate in effect at
period end.
(u) Bond is insured by a guarantor.
(ae) Pre-refunded: These bonds are collateralized by US Treasury securities,
which are held in escrow by a trustee and used to pay principal and
interest in the tax-exempt issue and to retire the bonds in full at the
earliest refunding date. The rate noted is for descriptive purposes;
effective yield may vary.
(O) In default.
# All securities with a maturity date greater than thirteen months have a
demand feature or an optional or mandatory put, or are pre-refunded,
resulting in an effective maturity of thirteen months or less.
Additionally, all daily and weekly demand securities are backed by direct
payment letters of credit.
(Y) This security has been valued by the Security Valuation Committee. It is
possible that the estimated value may differ significantly from the amount
that might ultimately be realized.
(B) Illiquid security.
(z) All or a portion of the shares of this security are on loan.
(y) Restricted security. Security may have contractual restrictions on resale,
may have been offered in a private placement transaction, and may not be
registered under the Securities Act of 1933.
(N) The security is purchased with the cash collateral from the securities
loaned.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
ADS - American Depositary Share
CMO - Collateralized Mortgage Obligation
CVO - Contingent Value Obligation
144A - Represents private placement security for qualified buyers according to
rule 144A of the Securities Act of 1933.
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
PIK - Payment in Kind
FDIC - Federal Deposit Insurance Company
REMIC - Real Estate Mortgage Investment Conduit
STRIP - Separate Trading of Registered Interest and Principal of Securities
TBA - To Be Announced Security
FOREIGN CURRENCY ABBREVIATIONS:
<Table>
ARS - Argentine peso HKD - Hong Kong dollar PLN - Polish zloty
AUD - Australian dollar HUF - Hungarian forint RUB - Russian ruble
BRL - Brazilian real IDR - Indonesian rupiah SEK - Swedish krona
CAD - Canadian dollar ILS - Israeli shekel SGD - Singapore dollar
CHF - Swiss franc INR - Indian rupee SKK - Slovakian koruna
CLP - Chilean peso ITL - Italian lira THB - Thai baht
CNY - Chinese renminbi yuan JPY - Japanese yen TRL - Turkish lira
COP - Colombian peso KES - Kenyan schilling TWD - Taiwanese dollar
CRC - Costa Rica colon KRW - South Korean won USD - United States dollar
CZK - Czech koruna MXN - Mexican peso VEB - Venezuelan bolivar
DKK - Danish krone MYR - Malaysian ringgit VND - Vietnamese dong
EGP - Egyptian pound NZD - New Zealand dollar ZAR - South African rand
EUR - Euro PEN - Peruvian nouveau sol
GBP - British pound sterling PHP - Philippine peso
</Table>
112 Notes to Schedules of Investments
(This page intentionally left blank)
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
EQUITY I EQUITY II EQUITY Q INTERNATIONAL
AMOUNTS IN THOUSANDS FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at identified cost $ 676,133 $ 886,547 $ 1,156,906 $ 1,430,544
- ---------------------------------------------------------------------------------------------------------------------------------
Investments, at market*** 761,086 1,029,452 1,337,565 1,626,178
Cash -- -- -- --
Foreign currency holdings* -- -- -- 2,602
Unrealized appreciation on foreign currency exchange
contracts -- -- -- 1,668
Receivables:
Dividends and interest 811 836 1,279 5,824
Investments sold 11,047 10,102 3,725 38,484
Fund shares sold 5,084 2,238 5,264 4,070
Foreign taxes recoverable -- -- -- 449
From Advisor -- -- -- --
Daily variation margin on futures contracts -- -- -- --
Prepaid expenses -- -- -- --
Unrealized appreciation on index swap contracts -- -- -- --
Interest rate swap contracts, at market value**** -- -- -- --
-------------- -------------- -------------- -----------------
Total assets 778,028 1,042,628 1,347,833 1,679,275
-------------- -------------- -------------- -----------------
LIABILITIES
Payables:
Due to Custodian -- 41 -- 1,456
Investments purchased 11,483 11,064 5,751 15,324
Fund shares redeemed 273 364 871 506
Accrued fees to affiliates 478 755 751 944
Other accrued expenses 56 57 94 20
Daily variation margin on futures contracts 208 503 363 827
Deferred tax liability -- -- -- 35
Unrealized depreciation on foreign currency exchange
contracts -- -- -- 2,342
Options written, at market value** -- -- -- 2,636
Payable upon return of securities loaned 13,727 122,386 37,535 378,057
Unrealized depreciation on index swap contracts -- -- -- --
Interest rate swap contracts, at market value**** -- -- -- --
-------------- -------------- -------------- -----------------
Total liabilities 26,225 135,170 45,365 402,147
-------------- -------------- -------------- -----------------
NET ASSETS $ 751,803 $ 907,458 $ 1,302,468 $ 1,277,128
============== ============== ============== =================
Net Assets Consist of:
Undistributed (overdistributed) net investment income $ 407 $ 565 $ 700 $ (3,890)
Accumulated net realized gain (loss) (42,327) 101,497 (122,250) (177,744)
Unrealized appreciation (depreciation) on:
Investments 84,953 142,905 180,659 195,634
Futures contracts (906) (2,487) (1,341) 566
Options written -- -- -- (250)
Index swap contracts -- -- -- --
Interest rate swap contracts -- -- -- --
Foreign currency-related transactions -- -- -- (724)
Shares of beneficial interest 278 238 411 381
Additional paid-in capital 709,398 664,740 1,244,289 1,263,155
-------------- -------------- -------------- -----------------
NET ASSETS $ 751,803 $ 907,458 $ 1,302,468 $ 1,277,128
============== ============== ============== =================
</Table>
See accompanying notes which are an integral part of the financial statements.
114 Statement of Assets and Liabilities
<Table>
<Caption>
FIXED INCOME I FIXED INCOME III EMERGING MARKETS REAL ESTATE SHORT TERM BOND SELECT GROWTH SELECT VALUE
FUND FUND FUND SECURITIES FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
$ 1,678,223 $ 478,413 $ 406,393 $ 808,450 $ 1,056,978 $ 98,898 $ 227,605
- -----------------------------------------------------------------------------------------------------------------------------------
1,673,503 480,996 499,333 1,009,692 1,055,788 107,271 250,123
6,689 6,291 -- -- 5,882 22 --
436 193 4,969 -- 70 -- --
-- 1 81 -- 1 -- --
8,994 2,742 1,838 913 5,838 45 332
67,080 18,518 3,804 6,419 23,409 1,208 1,311
3,016 3,529 2,263 3,062 5,689 449 890
-- -- -- -- -- -- --
-- -- -- -- 148 65 10
157 110 -- -- 52 -- 6
-- -- 101 -- -- -- --
-- -- -- -- -- -- --
-- 45 -- -- 61 -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------
1,759,875 512,425 512,389 1,020,086 1,096,938 109,060 252,672
-------------- -------------- -------------- -------------- -------------- -------------- -------------
-- -- 306 -- -- -- --
318,110 87,633 4,023 7,957 28,475 1,612 1,771
853 397 368 1,098 2,957 108 349
334 207 729 1,150 633 103 247
60 24 66 1 108 16 72
-- -- 530 -- -- 45 73
-- -- 971 -- -- -- --
49 32 286 -- -- -- --
35 299 2,191 -- 16 -- --
329,638 53,574 15,536 17,542 561 5,560 4,303
-- 179 -- -- -- -- --
-- 50 -- -- 109 -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------
649,079 142,395 25,006 27,748 32,859 7,444 6,815
-------------- -------------- -------------- -------------- -------------- -------------- -------------
$ 1,110,796 $ 370,030 $ 487,383 $ 992,338 $ 1,064,079 $ 101,616 $ 245,857
============== ============== ============== ============== ============== ============== =============
$ 1,468 $ 887 $ (8,255) $ (3,211) $ 1,593 $ (185) $ 138
19,982 385 (96,975) 63,413 341 (22,588) (24,070)
(4,720) 2,583 92,940 201,242 (1,190) 8,373 22,518
(1,140) (979) (1,145) -- (354) (59) (339)
35 45 (1,065) -- 14 -- --
-- (179) -- -- -- -- --
-- (155) -- -- (388) -- --
(60) (33) (257) -- (5) -- --
521 356 415 281 560 142 252
1,094,710 367,120 501,725 730,613 1,063,508 115,933 247,358
-------------- -------------- -------------- -------------- -------------- -------------- -------------
$ 1,110,796 $ 370,030 $ 487,383 $ 992,338 $ 1,064,079 $ 101,616 $ 245,857
============== ============== ============== ============== ============== ============== =============
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 115
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
EQUITY I EQUITY II EQUITY Q INTERNATIONAL
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, offering and redemption price per
share:
Net asset value per share: Class C***** $ -- $ -- $ -- $ --
Class C -- Net assets $ -- $ -- $ -- $ --
Class C -- Shares outstanding ($.01 par value) -- -- -- --
Net asset value per share: Class E***** $ 27.03 $ 38.07 $ 31.65 $ 33.53
Class E -- Net assets $ 32,264,026 $ 69,958,630 $ 47,606,071 $ 33,323,663
Class E -- Shares outstanding ($.01 par value) 1,193,782 1,837,805 1,504,016 993,901
Net asset value per share: Class I***** $ 27.00 $ 38.13 $ 31.66 $ 33.50
Class I -- Net assets $ 631,982,492 $ 644,987,224 $ 946,102,488 $ 753,641,958
Class I -- Shares outstanding ($.01 par value) 23,402,530 16,916,192 29,887,728 22,494,550
Net asset value per share: Class S***** $ -- $ -- $ -- $ --
Class S -- Net assets $ -- $ -- $ -- $ --
Class S -- Shares outstanding ($.01 par value) -- -- -- --
Net asset value per share: Class Y***** $ 27.00 $ 38.14 $ 31.65 $ 33.49
Class Y -- Net assets $ 87,556,859 $ 192,512,106 $ 308,759,086 $ 490,161,912
Class Y -- Shares outstanding ($.01 par value) 3,243,347 5,047,995 9,755,481 14,634,269
- ---------------------------------------------------------------------------------------------------------------------------------
Amounts in thousands
* Foreign currency holdings - cost $ -- $ -- $ -- $ 2,624
** Premiums received on options written $ -- $ -- $ -- $ 2,386
*** Securities on loan included in investments $ 13,385 $ 119,061 $ 36,564 $ 361,123
**** Interest rate swap contracts - premiums paid
(received) $ -- $ -- $ -- $ --
***** Net Asset Value per share equals class level net
assets divided by class level shares of
beneficial interest outstanding.
</Table>
See accompanying notes which are an integral part of the financial statements.
116 Statement of Assets and Liabilities
<Table>
<Caption>
FIXED INCOME I FIXED INCOME III EMERGING MARKETS REAL ESTATE SHORT TERM SELECT GROWTH SELECT VALUE
FUND FUND FUND SECURITIES FUND BOND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------
$ -- $ -- $ 11.43 $ 34.74 $ 18.98 $ 6.89 $ 9.67
$ -- $ -- $ 16,903,042 $ 43,406,420 $ 40,183,191 $ 5,038,932 $ 14,359,405
-- -- 1,478,686 1,249,389 2,117,465 731,021 1,485,585
$ 21.35 $ 10.40 $ 11.76 $ 35.08 $ 19.03 $ 7.09 $ 9.77
$ 26,866,638 $ 6,923,493 $ 11,596,611 $ 19,735,908 $ 22,774,367 $ 5,539,129 $ 8,248,728
1,258,672 665,532 986,235 562,547 1,196,503 781,405 844,254
$ 21.33 $ 10.39 $ -- $ -- $ -- $ 7.18 $ 9.79
$670,285,470 $ 363,106,657 $ -- $ -- $ -- $ 42,754,659 $ 83,734,330
31,419,905 34,958,127 -- -- -- 5,955,923 8,553,756
$ -- $ -- $ 11.75 $ 35.36 $ 19.01 $ 7.16 $ 9.77
$ -- $ -- $ 458,883,346 $ 929,195,696 $ 1,001,121,391 $ 48,282,960 $139,515,028
-- -- 39,045,972 26,276,926 52,664,727 6,745,839 14,273,287
$ 21.34 $ -- $ -- $ -- $ -- $ -- $ --
$413,643,859 $ -- $ -- $ -- $ -- $ -- $ --
19,380,950 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
$ 435 $ 194 $ 5,019 $ -- $ 69 $ -- $ --
$ 70 $ 344 $ 1,126 $ -- $ 30 $ -- $ --
$ 322,043 $ 52,435 $ 15,162 $ 17,030 $ 549 $ 5,382 $ 4,193
$ -- $ 150 $ -- $ -- $ 340 $ -- $ --
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 117
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
<Table>
<Caption>
EQUITY I EQUITY II EQUITY Q INTERNATIONAL
AMOUNTS IN THOUSANDS FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 5,519 $ 4,620 $ 10,137 $ 14,112
Dividends from affiliated money
market fund 186 207 211 439
Interest 16 13 11 28
Securities Lending Income 32 214 30 348
Less foreign taxes withheld -- -- -- (1,530)
-------------- -------------- -------------- -----------------
Total investment income 5,753 5,054 10,389 13,397
-------------- -------------- -------------- -----------------
EXPENSES
Advisory fees 2,024 3,140 3,547 4,558
Administrative fees -- -- -- --
Administrative fees - Class E 8 13 12 8
Administrative fees - Class I 153 162 223 170
Administrative fees - Class Y 3 8 19 24
Custodian fees 198 208 218 757
Distribution fees - Class C -- -- -- --
Transfer agent fees -- -- -- --
Transfer agent fees - Class C -- -- -- --
Transfer agent fees - Class E 5 8 5 4
Transfer agent fees - Class I 128 250 149 136
Transfer agent fees - Class S -- -- -- --
Transfer agent fees - Class Y -- -- 1 1
Professional fees 39 34 56 71
Registration fees 24 26 25 27
Shareholder servicing fees - Class
C -- -- -- --
Shareholder servicing fees - Class
E 40 65 58 38
Shareholder servicing fees - Class
S -- -- -- --
Trustees' fees 11 14 22 20
Printing fees 13 15 28 22
LifePoints funds fees -- -- -- --
Miscellaneous 19 20 15 40
-------------- -------------- -------------- -----------------
Expenses before reductions 2,665 3,963 4,378 5,876
Expense reductions -- -- -- --
-------------- -------------- -------------- -----------------
Net expenses 2,665 3,963 4,378 5,876
-------------- -------------- -------------- -----------------
Net investment income (loss) 3,088 1,091 6,011 7,521
-------------- -------------- -------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments 60,560 84,432 118,465 67,773
Futures contracts 4,027 5,515 4,767 10,590
Options written -- -- -- (1,114)
Index swap contracts -- -- -- --
Interest rate swap contracts -- -- -- --
Foreign currency-related
transactions -- 2 -- 6,874
-------------- -------------- -------------- -----------------
Net realized gain (loss) 64,587 89,949 123,232 84,123
-------------- -------------- -------------- -----------------
Net change in unrealized appreciation
(depreciation) on:
Investments (28,666) (43,442) (62,525) 36,485
Futures contracts (1,790) (3,461) (2,950) (848)
Options written -- -- -- (242)
Index swap contracts -- -- -- --
Interest rate swap contracts -- -- -- --
Foreign currency-related
transactions -- -- -- (5,308)
-------------- -------------- -------------- -----------------
Net change in unrealized appreciation
(depreciation) (30,456) (46,903) (65,475) 30,087
-------------- -------------- -------------- -----------------
Net realized and unrealized gain (loss) 34,131 43,046 57,757 114,210
-------------- -------------- -------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 37,219 $ 44,137 $ 63,768 $ 121,731
============== ============== ============== =================
</Table>
See accompanying notes which are an integral part of the financial statements.
118 Statement of Operations
<Table>
<Caption>
FIXED INCOME I FIXED INCOME III EMERGING MARKETS REAL ESTATE SHORT TERM SELECT GROWTH SELECT VALUE
FUND FUND FUND SECURITIES FUND BOND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
$ 30 $ 78 $ 6,515 $ 20,972 $ 31 $ 289 $ 2,265
475 389 113 131 284 30 59
18,144 5,898 10 -- 13,244 2 5
93 18 3 34 8 11 11
-- -- (2,736) -- -- -- (12)
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
18,742 6,383 3,905 21,137 13,567 332 2,328
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
1,386 827 2,680 3,965 2,367 381 839
-- -- 112 239 263 24 60
7 2 -- -- -- -- --
163 81 -- -- -- -- --
20 -- -- -- -- -- --
238 148 503 108 152 75 134
-- -- 59 152 156 17 48
-- -- 648 878 205 -- --
-- -- -- -- -- 6 19
4 1 -- -- -- 4 8
73 74 -- -- -- 20 23
-- -- -- -- -- 28 136
1 -- -- -- -- -- --
61 24 49 29 32 17 45
35 23 22 27 34 16 16
-- -- 20 51 52 6 16
34 8 14 24 27 6 10
-- -- -- -- -- -- --
18 5 9 15 16 1 3
12 4 12 13 15 -- 3
-- -- 111 193 361 -- --
6 4 21 11 10 10 13
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
2,058 1,201 4,260 5,705 3,690 611 1,373
(3) (5) (1) -- (296) (94) (14)
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
2,055 1,196 4,259 5,705 3,394 517 1,359
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
16,687 5,187 (354) 15,432 10,173 (185) 969
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
12,896 3,269 44,759 27,291 886 5,128 14,080
1,815 1,069 747 -- 866 431 1,429
99 41 1,730 -- 49 -- --
-- 243 -- -- -- -- --
-- 14 -- -- -- -- --
(549) (375) 188 -- 59 -- --
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
14,261 4,261 47,424 27,291 1,860 5,559 15,509
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
(16,687) (3,929) (5,143) (4,157) (5,051) (4,661) 2,916
(1,349) (1,151) (1,331) -- (18) (165) (874)
7 82 (1,036) -- (34) -- --
-- (205) -- -- -- -- --
-- (155) -- -- (388) -- --
432 233 (460) -- (5) -- --
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
(17,597) (5,125) (7,970) (4,157) (5,496) (4,826) 2,042
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
(3,336) (864) 39,454 23,134 (3,636) 733 17,551
-------------- ---------------- ---------------- --------------- ---------- ------------- ------------
$ 13,351 $ 4,323 $ 39,100 $ 38,566 $ 6,537 $ 548 $ 18,520
============== ================ ================ =============== ========== ============= ============
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Operations 119
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
EQUITY I EQUITY II
FUND FUND
------------------------------------------ -------------------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003 (UNAUDITED) 2003
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss) $ 3,088 $ 6,099 $ 1,091 $ 1,769
Net realized gain (loss) 64,587 (785) 89,949 65,064
Net change in unrealized
appreciation
(depreciation) (30,456) 123,736 (46,903) 200,125
------------------- ------------------- ------------------- --------------------
Net increase (decrease) in net
assets from operations 37,219 129,050 44,137 266,958
------------------- ------------------- ------------------- --------------------
DISTRIBUTIONS
From net investment income
Class C -- -- -- --
Class E (110) (168) -- (96)
Class I (2,715) (4,706) (774) (2,198)
Class S -- -- -- --
Class Y (447) (634) (477) (926)
From net realized gain
Class C -- -- -- --
Class E -- -- -- --
Class I -- -- -- --
Class S -- -- -- --
Class Y -- -- -- --
------------------- ------------------- ------------------- --------------------
Net decrease in net assets from
distributions (3,272) (5,508) (1,251) (3,220)
------------------- ------------------- ------------------- --------------------
SHARE TRANSACTIONS
Net increase (decrease) in
net assets from share
transactions 15,623 (86,833) 21,272 (58,035)
------------------- ------------------- ------------------- --------------------
TOTAL NET INCREASE (DECREASE) IN
NET ASSETS 49,570 36,709 64,158 205,703
NET ASSETS
Beginning of period 702,233 665,524 843,300 637,597
------------------- ------------------- ------------------- --------------------
End of period $ 751,803 $ 702,233 $ 907,458 $ 843,300
=================== =================== =================== ====================
Undistributed
(overdistributed) net
investment income
included in net assets $ 407 $ 591 $ 565 $ 725
</Table>
See accompanying notes which are an integral part of the financial statements.
120 Statement of Changes in Net Assets
<Table>
<Caption>
EQUITY Q INTERNATIONAL FIXED INCOME I
FUND FUND FUND
------------------------------ ------------------------------ ------------------------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003
- ----------------------------------------------------------------------------------------------------
$ 6,011 $ 15,257 $ 7,521 $ 13,982 $ 16,687 $ 43,134
123,232 (47,468) 84,123 (17,284) 14,261 40,799
(65,475) 328,511 30,087 268,964 (17,597) (22,967)
------------- ------------- ------------- ------------- ------------- -------------
63,768 296,300 121,731 265,662 13,351 60,966
------------- ------------- ------------- ------------- ------------- -------------
-- -- -- -- -- --
(199) (244) (655) (242) (449) (866)
(4,684) (7,473) (15,369) (9,263) (11,697) (22,683)
-- -- -- -- -- --
(1,795) (6,173) (14,741) (7,406) (7,898) (16,653)
-- -- -- -- -- --
-- -- -- -- (809) (593)
-- -- -- -- (18,686) (14,449)
-- -- -- -- -- --
-- -- -- -- (12,596) (10,087)
------------- ------------- ------------- ------------- ------------- -------------
(6,678) (13,890) (30,765) (16,911) (52,135) (65,331)
------------- ------------- ------------- ------------- ------------- -------------
(292,420) (131,199) (3,529) 5,229 83,124 (176,460)
------------- ------------- ------------- ------------- ------------- -------------
(235,330) 151,211 87,437 253,980 44,340 (180,825)
1,537,798 1,386,587 1,189,691 935,711 1,066,456 1,247,281
------------- ------------- ------------- ------------- ------------- -------------
$ 1,302,468 $ 1,537,798 $ 1,277,128 $ 1,189,691 $ 1,110,796 $ 1,066,456
============= ============= ============= ============= ============= =============
$ 700 $ 1,367 $ (3,890) $ 19,354 $ 1,468 $ 4,825
<Caption>
FIXED INCOME III
FUND
------------------------------
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
(UNAUDITED) 2003
- ---
$ 5,187 $ 11,378
4,261 11,835
(5,125) 3,093
------------- -------------
4,323 26,306
------------- -------------
-- --
(154) (212)
(7,580) (10,152)
-- --
-- --
-- --
(109) --
(4,989) --
-- --
-- --
------------- -------------
(12,832) (10,364)
------------- -------------
74,332 (24,197)
------------- -------------
65,823 (8,255)
304,207 312,462
------------- -------------
$ 370,030 $ 304,207
============= =============
$ 887 $ 3,434
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 121
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
EMERGING MARKETS
FUND
-------------------------------------------
SIX MONTHS FISCAL YEAR
ENDED ENDED
APRIL 30, 2004 OCTOBER 31,
AMOUNTS IN THOUSANDS (UNAUDITED) 2003
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss) $ (354) $ 4,051
Net realized gain (loss) 47,424 15,372
Net change in unrealized appreciation (depreciation) (7,970) 116,104
------------------- --------------------
Net increase (decrease) in net assets from operations 39,100 135,527
------------------- --------------------
DISTRIBUTIONS
From net investment income
Class C (309) --
Class E (262) (10)
Class I -- --
Class S (11,244) (1,302)
Class Y -- --
From net realized gain
Class C -- --
Class E -- --
Class I -- --
Class S -- --
Class Y -- --
------------------- --------------------
Net decrease in net assets from distributions (11,815) (1,312)
------------------- --------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions 51,634 (986)
------------------- --------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS 78,919 133,229
NET ASSETS
Beginning of period 408,464 275,235
------------------- --------------------
End of period $ 487,383 $ 408,464
=================== ====================
Undistributed (overdistributed) net investment income
included in net assets $ (8,255) $ 3,914
</Table>
See accompanying notes which are an integral part of the financial statements.
122 Statement of Changes in Net Assets
<Table>
<Caption>
REAL ESTATE SECURITIES SHORT TERM BOND SELECT GROWTH SELECT VALUE
FUND FUND FUND FUND
------------------------------ ------------------------------ ------------------------------ --------------
SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS FISCAL YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004 OCTOBER 31, APRIL 30, 2004
(UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED)
- ---------------------------------------------------------------------------------------------------------------------
$ 15,432 $ 33,486 $ 10,173 $ 22,155 $ (185) $ (242) $ 969
27,291 2,082 1,860 9,015 5,559 1,315 15,509
(4,157) 179,953 (5,496) (9,543) (4,826) 16,676 2,042
------------- ------------- ------------- ------------- ------------- ------------- -------------
38,566 215,521 6,537 21,627 548 17,749 18,520
------------- ------------- ------------- ------------- ------------- ------------- -------------
(764) (839) (142) (466) -- -- (8)
(414) (546) (165) (448) -- -- (22)
-- -- -- -- -- -- (384)
(20,828) (30,677) (8,788) (19,621) -- -- (541)
-- -- -- -- -- -- --
(7) (87) -- -- -- -- --
(4) (45) -- -- -- -- --
-- -- -- -- -- -- --
(175) (2,473) -- -- -- -- --
-- -- -- -- -- -- --
------------- ------------- ------------- ------------- ------------- ------------- -------------
(22,192) (34,667) (9,095) (20,535) -- -- (955)
------------- ------------- ------------- ------------- ------------- ------------- -------------
96,081 74,523 46,655 385,285 18,514 18,110 7,559
------------- ------------- ------------- ------------- ------------- ------------- -------------
112,455 255,377 44,097 386,377 19,062 35,859 25,124
879,883 624,506 1,019,982 633,605 82,554 46,695 220,733
------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 992,338 $ 879,883 $ 1,064,079 $ 1,019,982 $ 101,616 $ 82,554 $ 245,857
============= ============= ============= ============= ============= ============= =============
$ (3,211) $ 3,364 $ 1,593 $ 515 $ (185) $ -- $ 138
<Caption>
SELECT VALUE
FUND
-------------
FISCAL YEAR
ENDED
OCTOBER 31,
2003
- ---
$ 802
(1,408)
26,381
-------------
25,775
-------------
(3)
(29)
(310)
(343)
--
--
--
--
--
--
-------------
(685)
-------------
123,293
-------------
148,383
72,350
-------------
$ 220,733
=============
$ 124
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 123
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
EQUITY I FUND
Class E
April 30, 2004* 25.75 .08 1.29 1.37
October 31, 2003 21.46 .15 4.28 4.43
October 31, 2002 25.25 .12 (3.69) (3.57)
October 31, 2001 35.21 .15 (9.62) (9.47)
October 31, 2000 (1) 37.51 .11 (1.64) (1.53)
December 31, 1999 (6) 38.01 .13 3.11 3.24
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 25.72 .11 1.29 1.40
October 31, 2003 21.44 .21 4.26 4.47
October 31, 2002 25.23 .19 (3.70) (3.51)
October 31, 2001 (1) 35.21 .22 (9.63) (9.41)
October 31, 2000 37.46 .19 (1.63) (1.44)
December 31, 1999 35.17 .27 6.18 6.45
December 31, 1998 30.51 .27 7.10 7.37
- --------------------------------------------------------------------------------------------------------------
Class Y
April 30, 2004* 25.72 .12 1.29 1.41
October 31, 2003 21.43 .23 4.27 4.50
October 31, 2002 25.24 .20 (3.71) (3.51)
October 31, 2001 35.21 .23 (9.61) (9.38)
October 31, 2000 (7) 36.90 .14 (1.64) (1.50)
- --------------------------------------------------------------------------------------------------------------
EQUITY II FUND
Class E
April 30, 2004* 36.12 .01 1.94 1.95
October 31, 2003 25.54 .01 10.65 10.66
October 31, 2002 28.24 .02 (2.65) (2.63)
October 31, 2001 38.33 .12 (5.36) (5.24)
October 31, 2000 (1) 35.71 .03 3.32 3.35
December 31, 1999 (6) 31.37 .02 5.99 6.01
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 36.19 .04 1.95 1.99
October 31, 2003 25.59 .06 10.66 10.72
October 31, 2002 28.29 .08 (2.65) (2.57)
October 31, 2001 38.35 .18 (5.37) (5.19)
October 31, 2000 (1) 35.71 .11 3.33 3.44
December 31, 1999 30.94 .10 6.68 6.78
December 31, 1998 32.96 .09 .04 .13
- --------------------------------------------------------------------------------------------------------------
Class Y
April 30, 2004* 36.22 .07 1.94 2.01
October 31, 2003 25.61 .10 10.67 10.77
October 31, 2002 28.32 .12 (2.65) (2.53)
October 31, 2001 38.35 .20 (5.35) (5.15)
October 31, 2000 (7) 38.89 .11 (.55) (.44)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- -----------------------------------------------------------------------------------------
EQUITY I FUND
Class E
April 30, 2004* (.09) -- --
October 31, 2003 (.14) -- --
October 31, 2002 (.16) -- (.06)
October 31, 2001 (.13) (.36) --
October 31, 2000 (1) (.14) (.63) --
December 31, 1999 (6) (.12) (3.62) --
- -----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.12) -- --
October 31, 2003 (.19) -- --
October 31, 2002 (.20) -- (.08)
October 31, 2001 (1) (.21) (.36) --
October 31, 2000 (.18) (.63) --
December 31, 1999 (.28) (3.88) --
December 31, 1998 (.27) (2.44) --
- -----------------------------------------------------------------------------------------
Class Y
April 30, 2004* (.13) -- --
October 31, 2003 (.21) -- --
October 31, 2002 (.22) -- (.08)
October 31, 2001 (.23) (.36) --
October 31, 2000 (7) (.19) -- --
- -----------------------------------------------------------------------------------------
EQUITY II FUND
Class E
April 30, 2004* -- -- --
October 31, 2003 (.08) -- --
October 31, 2002 (.07) -- --
October 31, 2001 (.07) (4.78) --
October 31, 2000 (1) (.02) (.71) --
December 31, 1999 (6) (.01) (1.66) --
- -----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.05) -- --
October 31, 2003 (.12) -- --
October 31, 2002 (.13) -- --
October 31, 2001 (.09) (4.78) --
October 31, 2000 (1) (.09) (.71) --
December 31, 1999 (.10) (1.91) --
December 31, 1998 (.10) (2.05) --
- -----------------------------------------------------------------------------------------
Class Y
April 30, 2004* (.09) -- --
October 31, 2003 (.16) -- --
October 31, 2002 (.18) -- --
October 31, 2001 (.10) (4.78) --
October 31, 2000 (7) (.10) -- --
- -----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
124 Financial Highlights
<Table>
<Caption>
%
$ $ RATIO OF EXPENSES
$ NET ASSET VALUE, % NET ASSETS TO AVERAGE
TOTAL END OF TOTAL END OF PERIOD NET ASSETS
DISTRIBUTIONS PERIOD RETURN(b) (000) NET(c)(f)
- -------------------------------------------------------------------------------------------------
(.09) 27.03 5.32 32,264 .96
(.14) 25.75 20.79 32,632 .99
(.22) 21.46 (14.26) 19,476 .98
(.49) 25.25 (27.13) 30,646 .92
(.77) 35.21 (4.02) 43,171 .96
(3.74) 37.51 8.97 49,284 .95
- -------------------------------------------------------------------------------------------------
(.12) 27.00 5.49 631,982 .72
(.19) 25.72 21.02 580,055 .75
(.28) 21.44 (14.04) 588,901 .74
(.57) 25.23 (26.98) 813,827 .71
(.81) 35.21 (3.80) 1,456,456 .69
(4.16) 37.46 18.98 1,632,783 .69
(2.71) 35.17 25.10 1,381,704 .70
- -------------------------------------------------------------------------------------------------
(.13) 27.00 5.53 87,557 .64
(.21) 25.72 21.09 89,546 .66
(.30) 21.43 (13.96) 57,147 .64
(.59) 25.24 (26.93) 146,156 .62
(.19) 35.21 (4.03) 37,101 .62
- -------------------------------------------------------------------------------------------------
-- 38.07 5.37 69,959 1.10
(.08) 36.12 41.88 46,901 1.12
(.07) 25.54 (9.37) 25,874 1.12
(4.85) 28.24 (14.86) 29,647 1.08
(.73) 38.33 9.49 35,498 1.13
(1.67) 35.71 19.55 33,525 1.17
- -------------------------------------------------------------------------------------------------
(.05) 38.13 5.49 644,987 .90
(.12) 36.19 42.08 606,333 .94
(.13) 25.59 (9.17) 464,113 .92
(4.87) 28.29 (14.69) 584,718 .90
(.80) 38.35 9.73 769,096 .88
(2.01) 35.71 22.60 752,530 .92
(2.15) 30.94 .70 533,819 .91
- -------------------------------------------------------------------------------------------------
(.09) 38.14 5.53 192,512 .78
(.16) 36.22 42.34 190,066 .81
(.18) 25.61 (9.07) 147,610 .79
(4.88) 28.32 (14.59) 126,876 .78
(.10) 38.35 (1.15) 50,112 .78
- -------------------------------------------------------------------------------------------------
<Caption>
% %
RATIO OF EXPENSES RATIO OF NET
TO AVERAGE INVESTMENT INCOME %
NET ASSETS TO AVERAGE PORTFOLIO
GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- -------------------------------------------------------------
.96 .60 74.87
.99 .68 115.73
.98 .49 130.46
.92 .51 144.94
.96 .38 144.37
.95 .57 111.56
- -------------------------------------------------------------
.72 .84 74.87
.75 .92 115.73
.74 .74 130.46
.71 .72 144.94
.69 .64 144.37
.69 .72 111.56
.70 .82 100.68
- -------------------------------------------------------------
.64 .92 74.87
.66 1.00 115.73
.64 .85 130.46
.62 .81 144.94
.67 .65 144.37
- -------------------------------------------------------------
1.10 .05 59.46
1.12 .04 132.27
1.12 .07 126.57
1.09 .37 134.79
1.13 .10 137.51
1.17 .09 111.89
- -------------------------------------------------------------
.90 .23 59.46
.94 .22 132.27
.92 .27 126.57
.90 .55 134.79
.88 .35 137.51
.92 .31 111.89
.91 .29 128.87
- -------------------------------------------------------------
.78 .34 59.46
.81 .36 132.27
.79 .41 126.57
.79 .65 134.79
.83 .51 137.51
- -------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 125
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
EQUITY Q FUND
Class E
April 30, 2004* 30.10 .11 1.57 1.68
October 31, 2003 24.90 .22 5.18 5.40
October 31, 2002 29.75 .17 (4.81) (4.64)
October 31, 2001 40.70 .20 (9.75) (9.55)
October 31, 2000 (1) 41.58 .13 (.12) .01
December 31, 1999 (6) 42.99 .14 4.35 4.49
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 30.10 .14 1.59 1.73
October 31, 2003 24.89 .27 5.19 5.46
October 31, 2002 29.75 .24 (4.82) (4.58)
October 31, 2001 40.69 .26 (9.72) (9.46)
October 31, 2000 (1) 41.55 .22 (.11) .11
December 31, 1999 40.22 .34 8.03 8.37
December 31, 1998 35.90 .32 8.53 8.85
- --------------------------------------------------------------------------------------------------------------
Class Y
April 30, 2004* 30.09 .16 1.58 1.74
October 31, 2003 24.89 .30 5.17 5.47
October 31, 2002 29.75 .27 (4.82) (4.55)
October 31, 2001 40.69 .28 (9.71) (9.43)
October 31, 2000 (8) 42.29 .16 (1.54) (1.38)
- --------------------------------------------------------------------------------------------------------------
INTERNATIONAL FUND
Class E
April 30, 2004* 31.22 .16 2.89 3.05
October 31, 2003 24.71 .30 6.59 6.89
October 31, 2002 28.34 .16 (3.75) (3.59)
October 31, 2001 39.51 .28 (9.53) (9.25)
October 31, 2000 (1) 46.68 .53 (6.26) (5.73)
December 31, 1999 (6) 39.07 .24 9.73 9.97
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 31.20 .20 2.89 3.09
October 31, 2003 24.74 .36 6.53 6.89
October 31, 2002 28.38 .26 (3.78) (3.52)
October 31, 2001 39.60 .34 (9.52) (9.18)
October 31, 2000 (1) 46.67 .64 (6.27) (5.63)
December 31, 1999 38.03 .43 10.93 11.36
December 31, 1998 34.60 .52 4.10 4.62
- --------------------------------------------------------------------------------------------------------------
Class Y
April 30, 2004* 31.21 .19 2.91 3.10
October 31, 2003 24.75 .38 6.54 6.92
October 31, 2002 28.42 .32 (3.83) (3.51)
October 31, 2001 39.62 .46 (9.60) (9.14)
October 31, 2000 (7) 46.09 .46 (6.93) (6.47)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
EQUITY Q FUND
Class E
April 30, 2004* (.13) -- --
October 31, 2003 (.20) -- --
October 31, 2002 (.21) -- --
October 31, 2001 (.17) (1.23) --
October 31, 2000 (1) (.13) (.76) --
December 31, 1999 (6) (.24) (5.66) --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.17) -- --
October 31, 2003 (.25) -- --
October 31, 2002 (.28) -- --
October 31, 2001 (.25) (1.23) --
October 31, 2000 (1) (.21) (.76) --
December 31, 1999 (.38) (6.66) --
December 31, 1998 (.32) (4.21) --
- ----------------------------------------------------------------------------------------
Class Y
April 30, 2004* (.18) -- --
October 31, 2003 (.27) -- --
October 31, 2002 (.31) -- --
October 31, 2001 (.28) (1.23) --
October 31, 2000 (8) (.22) -- --
- ----------------------------------------------------------------------------------------
INTERNATIONAL FUND
Class E
April 30, 2004* (.74) -- --
October 31, 2003 (.38) -- --
October 31, 2002 (.04) -- --
October 31, 2001 -- (1.92) --
October 31, 2000 (1) -- (1.44) --
December 31, 1999 (6) (.38) (1.98) --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.79) -- --
October 31, 2003 (.43) -- --
October 31, 2002 (.12) -- --
October 31, 2001 (.12) (1.92) --
October 31, 2000 (1) -- (1.44) --
December 31, 1999 (.48) (2.24) --
December 31, 1998 (.59) (.60) --
- ----------------------------------------------------------------------------------------
Class Y
April 30, 2004* (.82) -- --
October 31, 2003 (.46) -- --
October 31, 2002 (.16) -- --
October 31, 2001 (.14) (1.92) --
October 31, 2000 (7) -- -- --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
126 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.13) 31.65 5.60 47,606
(.20) 30.10 21.76 40,924
(.21) 24.90 (15.70) 17,503
(1.40) 29.75 (23.98) 21,979
(.89) 40.70 .17 25,205
(5.90) 41.58 11.01 30,746
- -----------------------------------------------------------------------------
(.17) 31.66 5.72 946,103
(.25) 30.10 22.04 822,548
(.28) 24.89 (15.50) 854,495
(1.48) 29.75 (23.82) 983,176
(.97) 40.69 .40 1,355,536
(7.04) 41.55 21.96 1,363,336
(4.53) 40.22 25.98 1,175,900
- -----------------------------------------------------------------------------
(.18) 31.65 5.79 308,759
(.27) 30.09 22.13 674,326
(.31) 24.89 (15.41) 514,589
(1.51) 29.75 (23.74) 456,512
(.22) 40.69 (3.21) 38,812
- -----------------------------------------------------------------------------
(.74) 33.53 9.89 33,324
(.38) 31.22 28.33 24,163
(.04) 24.71 (12.68) 11,965
(1.92) 28.34 (24.54) 19,449
(1.44) 39.51 (12.59) 25,984
(2.36) 46.68 25.87 30,541
- -----------------------------------------------------------------------------
(.79) 33.50 10.02 753,642
(.43) 31.20 28.37 597,650
(.12) 24.74 (12.46) 527,791
(2.04) 28.38 (24.37) 658,920
(1.44) 39.60 (12.38) 1,104,284
(2.72) 46.67 30.46 1,263,676
(1.19) 38.03 13.52 1,013,679
- -----------------------------------------------------------------------------
(.82) 33.49 10.08 490,162
(.46) 31.21 28.51 567,878
(.16) 24.75 (12.42) 395,955
(2.06) 28.42 (24.26) 386,538
-- 39.62 (14.04) 78,103
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
.93 .93 .68 56.12
.94 .94 .80 114.72
.94 .94 .58 71.16
.89 .89 .58 79.24
.95 .96 .39 59.91
.94 .94 .55 90.16
- ---------------------------------------------------------------------------------
.69 .69 .90 56.12
.72 .72 1.02 114.72
.70 .70 .82 71.16
.70 .70 .77 79.24
.68 .68 .66 59.91
.69 .69 .80 90.16
.69 .69 .85 74.56
- ---------------------------------------------------------------------------------
.61 .61 1.04 56.12
.63 .63 1.10 114.72
.60 .60 .93 71.16
.61 .61 .86 79.24
.61 .66 .68 59.91
- ---------------------------------------------------------------------------------
1.17 1.17 .94 36.65
1.26 1.26 1.14 79.40
1.31 1.32 .57 87.84
1.26 1.26 .82 111.84
1.28 1.28 1.50 105.17
1.27 1.27 .92 118.99
- ---------------------------------------------------------------------------------
.93 .93 1.19 36.65
1.06 1.06 1.38 79.40
1.07 1.07 .92 87.84
1.06 1.06 1.00 111.84
1.00 1.00 1.76 105.17
1.00 1.00 1.07 118.99
.98 .98 1.38 64.47
- ---------------------------------------------------------------------------------
.85 .85 1.13 36.65
.96 .96 1.45 79.40
.97 .97 1.12 87.84
.96 .96 1.40 111.84
.91 .94 1.85 105.17
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 127
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
FIXED INCOME I FUND
Class E
April 30, 2004* 22.12 .30 (.05) .25
October 31, 2003 22.15 .72 .36 1.08
October 31, 2002 22.32 .90(g) .17(g) 1.07
October 31, 2001 20.79 1.19 1.58 2.77
October 31, 2000 (1) 20.30 1.07 .40 1.47
December 31, 1999 (6) 21.25 .74 (.81) (.07)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 22.11 .32 (.04) .28
October 31, 2003 22.15 .78 .35 1.13
October 31, 2002 22.32 .96(g) .17(g) 1.13
October 31, 2001 20.79 1.24 1.58 2.82
October 31, 2000 (1) 20.27 1.13 .39 1.52
December 31, 1999 21.76 1.28 (1.50) (.22)
December 31, 1998 21.51 1.32 .45 1.77
- --------------------------------------------------------------------------------------------------------------
Class Y
April 30, 2004* 22.12 .34 (.06) .28
October 31, 2003 22.16 .79 .36 1.15
October 31, 2002 22.32 .98(g) .18(g) 1.16
October 31, 2001 20.79 1.23 1.61 2.84
October 31, 2000 (7) 20.61 .81 .37 1.18
- --------------------------------------------------------------------------------------------------------------
FIXED INCOME III FUND
Class E
April 30, 2004* 10.67 .15 .01 .16
October 31, 2003 10.11 .38 .52 .90
October 31, 2002 10.37 .40(g) (.05)(g) .35
October 31, 2001 9.77 .57 .61 1.18
October 31, 2000 (1) 9.61 .51 .11 .62
December 31, 1999 (6) 10.12 .35 (.43) (.08)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 10.65 .16 .02 .18
October 31, 2003 10.09 .40 .52 .92
October 31, 2002 10.36 .42(g) (.06)(g) .36
October 31, 2001 9.76 .59 .63 1.22
October 31, 2000 (1) 9.59 .53 .11 .64
December 31, 1999 10.22 .59 (.62) (.03)
December 31, 1998 10.42 .62 .08 .70
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
FIXED INCOME I FUND
Class E
April 30, 2004* (.36) (.66) --
October 31, 2003 (.67) (.44) --
October 31, 2002 (.97) (.27) --
October 31, 2001 (1.24) -- --
October 31, 2000 (1) (.98) -- --
December 31, 1999 (6) (.88) -- --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.40) (.66) --
October 31, 2003 (.73) (.44) --
October 31, 2002 (1.03) (.27) --
October 31, 2001 (1.29) -- --
October 31, 2000 (1) (1.00) -- --
December 31, 1999 (1.25) (.02) --
December 31, 1998 (1.31) (.21) --
- ----------------------------------------------------------------------------------------
Class Y
April 30, 2004* (.40) (.66) --
October 31, 2003 (.75) (.44) --
October 31, 2002 (1.05) (.27) --
October 31, 2001 (1.31) -- --
October 31, 2000 (7) (1.00) -- --
- ----------------------------------------------------------------------------------------
FIXED INCOME III FUND
Class E
April 30, 2004* (.25) (.18) --
October 31, 2003 (.34) -- --
October 31, 2002 (.61) -- --
October 31, 2001 (.58) -- --
October 31, 2000 (1) (.46) -- --
December 31, 1999 (6) (.43) -- --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.26) (.18) --
October 31, 2003 (.36) -- --
October 31, 2002 (.63) -- --
October 31, 2001 (.62) -- --
October 31, 2000 (1) (.47) -- --
December 31, 1999 (.60) -- --
December 31, 1998 (.62) (.28) --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
128 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(1.02) 21.35 1.09 26,867
(1.11) 22.12 5.01 27,009
(1.24) 22.15 5.10 27,576
(1.24) 22.32 13.72 35,123
(.98) 20.79 7.36 33,322
(.88) 20.30 (.32) 35,950
- -----------------------------------------------------------------------------
(1.06) 21.33 1.25 670,285
(1.17) 22.11 5.26 639,846
(1.30) 22.15 5.38 713,210
(1.29) 22.32 13.98 827,324
(1.00) 20.79 7.63 902,895
(1.27) 20.27 (1.04) 1,051,362
(1.52) 21.76 8.37 978,491
- -----------------------------------------------------------------------------
(1.06) 21.34 1.28 413,644
(1.19) 22.12 5.33 399,601
(1.32) 22.16 5.50 506,495
(1.31) 22.32 14.07 520,186
(1.00) 20.79 5.89 144,049
- -----------------------------------------------------------------------------
(.43) 10.40 1.47 6,923
(.34) 10.67 9.05 6,481
(.61) 10.11 3.61 5,912
(.58) 10.37 12.47 6,037
(.46) 9.77 6.55 5,362
(.43) 9.61 (.83) 2,367
- -----------------------------------------------------------------------------
(.44) 10.39 1.67 363,107
(.36) 10.65 9.27 297,726
(.63) 10.09 3.84 306,550
(.62) 10.36 12.76 408,341
(.47) 9.76 6.75 456,160
(.60) 9.59 (.29) 467,268
(.90) 10.22 6.80 462,190
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
.65 .65 2.74 68.95
.67 .67 3.25 184.29
.64 .66 4.17(g) 165.28
.61 .61 5.51 188.97
.67 .68 6.31 117.94
.66 .66 5.79 138.69
- ---------------------------------------------------------------------------------
.39 .39 2.99 68.95
.41 .41 3.50 184.29
.38 .38 4.42(g) 165.28
.39 .39 5.75 188.97
.40 .40 6.59 117.94
.39 .39 6.05 138.69
.39 .39 6.03 226.70
- ---------------------------------------------------------------------------------
.32 .32 3.06 68.95
.35 .35 3.53 184.29
.31 .31 4.45(g) 165.28
.32 .32 5.62 188.97
.32 .34 6.63 117.94
- ---------------------------------------------------------------------------------
.96 .96 2.92 90.69
1.00 1.00 3.61 266.11
.97 .98 4.00(g) 231.09
.93 .94 5.66 165.41
.99 1.15 6.37 108.08
.94 .94 5.63 131.38
- ---------------------------------------------------------------------------------
.72 .72 3.14 90.69
.78 .78 3.83 266.11
.76 .76 4.22(g) 231.09
.72 .72 5.87 165.41
.73 .74 6.58 108.08
.69 .69 5.91 131.38
.67 .67 5.91 342.49
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 129
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
EMERGING MARKETS FUND
Class C
April 30, 2004* 10.68 (.07) 1.06 .99
October 31, 2003 7.22 .02 3.44 3.46
October 31, 2002 6.89 (.09) .42 .33
October 31, 2001 9.15 (.04) (2.22) (2.26)
October 31, 2000 (1) 12.47 (.10) (3.20) (3.30)
December 31, 1999 (3) 8.07 (.12) 4.57 4.45
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 10.98 (.02) 1.09 1.07
October 31, 2003 7.41 .09 3.49 3.58
October 31, 2002 7.01 (.02) .42 .40
October 31, 2001 9.24 .02 (2.25) (2.23)
October 31, 2000 (1) 12.51 (.03) (3.20) (3.23)
December 31, 1999 8.48 (.04) 4.14 4.10
December 31, 1998 (2) 7.37 (.02) 1.13 1.11
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 10.98 (.01) 1.09 1.08
October 31, 2003 7.43 .11 3.48 3.59
October 31, 2002 7.05 --(e) .40 .40
October 31, 2001 9.25 .04 (2.24) (2.20)
October 31, 2000 (1) 12.52 --(e) (3.21) (3.21)
December 31, 1999 8.48 .03 4.10 4.13
December 31, 1998 11.79 .12 (3.35) (3.23)
- --------------------------------------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
Class C
April 30, 2004* 33.94 .39 1.10 1.49
October 31, 2003 26.52 1.11 7.53 8.64
October 31, 2002 26.97 1.07 (.01) 1.06
October 31, 2001 25.93 1.16 1.02 2.18
October 31, 2000 (1) 22.69 .84 3.11 3.95
December 31, 1999 (3) 24.13 1.08 (1.06) .02
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 34.24 .63 1.12 1.65
October 31, 2003 26.72 1.34 7.60 8.94
October 31, 2002 27.14 1.32 (.06) 1.26
October 31, 2001 26.07 1.38 1.03 2.41
October 31, 2000 (1) 22.76 .98 3.14 4.12
December 31, 1999 24.27 1.28 (1.24) .04
December 31, 1998 31.02 1.26 (6.12) (4.86)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 34.51 .59 1.11 1.70
October 31, 2003 26.89 1.42 7.67 9.09
October 31, 2002 27.31 1.41 (.06) 1.35
October 31, 2001 26.22 1.46 1.03 2.49
October 31, 2000 (1) 22.86 1.04 3.15 4.19
December 31, 1999 24.44 1.30 (1.20) .10
December 31, 1998 30.86 1.34 (6.13) (4.79)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
EMERGING MARKETS FUND
Class C
April 30, 2004* (.24) -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.02) -- --
December 31, 1999 (3) (.05) -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.29) -- --
October 31, 2003 (.01) -- --
October 31, 2002 -- -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.04) -- --
December 31, 1999 (.07) -- --
December 31, 1998 (2) -- -- --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.31) -- --
October 31, 2003 (.04) -- --
October 31, 2002 (.02) -- --
October 31, 2001 -- -- --
October 31, 2000 (1) (.06) -- --
December 31, 1999 (.09) -- --
December 31, 1998 (.08) -- --
- ----------------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
Class C
April 30, 2004* (.68) (.01) --
October 31, 2003 (1.11) (.11) --
October 31, 2002 (1.51) -- --
October 31, 2001 (1.14) -- --
October 31, 2000 (1) (.71) -- --
December 31, 1999 (3) (1.46) -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.80) (.01) --
October 31, 2003 (1.31) (.11) --
October 31, 2002 (1.68) -- --
October 31, 2001 (1.34) -- --
October 31, 2000 (1) (.81) -- --
December 31, 1999 (1.55) -- --
December 31, 1998 (1.43) (.46) --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.84) (.01) --
October 31, 2003 (1.36) (.11) --
October 31, 2002 (1.77) -- --
October 31, 2001 (1.40) -- --
October 31, 2000 (1) (.83) -- --
December 31, 1999 (1.68) -- --
December 31, 1998 (1.17) (.46) --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
130 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.24) 11.43 9.50 16,903
-- 10.68 47.58 12,306
-- 7.22 4.94 5,194
-- 6.89 (24.70) 2,377
(.02) 9.15 (26.51) 2,228
(.05) 12.47 55.43 1,631
- -----------------------------------------------------------------------------
(.29) 11.76 9.86 11,597
(.01) 10.98 48.39 9,598
-- 7.41 5.71 6,478
-- 7.01 (24.13) 6,959
(.04) 9.24 (25.90) 6,388
(.07) 12.51 48.71 6,314
-- 8.48 15.06 39
- -----------------------------------------------------------------------------
(.31) 11.75 9.99 458,883
(.04) 10.98 48.27 386,560
(.02) 7.43 5.91 263,563
-- 7.05 (23.89) 273,486
(.06) 9.25 (25.79) 359,201
(.09) 12.52 49.03 430,794
(.08) 8.48 (27.57) 294,349
- -----------------------------------------------------------------------------
(.69) 34.74 4.19 43,406
(1.22) 33.94 33.23 32,784
(1.51) 26.52 3.56 15,712
(1.14) 26.97 8.41 5,718
(.71) 25.93 17.54 3,393
(1.46) 22.69 .19 1,771
- -----------------------------------------------------------------------------
(.81) 35.08 4.60 19,736
(1.42) 34.24 34.21 16,651
(1.68) 26.72 4.27 10,661
(1.34) 27.14 9.23 11,415
(.81) 26.07 18.24 9,094
(1.55) 22.76 .30 7,134
(1.89) 24.27 (16.25) 843
- -----------------------------------------------------------------------------
(.85) 35.36 4.71 929,196
(1.47) 34.51 34.58 830,448
(1.77) 26.89 4.55 598,133
(1.40) 27.31 9.48 607,280
(.83) 26.22 18.53 669,529
(1.68) 22.86 .55 589,300
(1.63) 24.44 (15.94) 576,326
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
2.79 2.79 (1.12) 35.94
3.09 3.09 .19 95.13
3.12 3.12 (1.08) 90.21
3.08 3.09 (.55) 83.74
2.91 2.92 (1.02) 73.11
2.91 2.91 (1.23) 94.85
- ---------------------------------------------------------------------------------
2.03 2.03 (.37) 35.94
2.36 2.37 1.02 95.13
2.38 2.38 (.29) 90.21
2.33 2.33 .21 83.74
2.16 2.17 (.30) 73.11
2.17 2.17 (.40) 94.85
--(d) --(d) --(d) 59.35
- ---------------------------------------------------------------------------------
1.79 1.79 (.11) 35.94
2.11 2.11 1.30 95.13
2.14 2.14 (.02) 90.21
2.09 2.09 .44 83.74
1.91 1.92 (.02) 73.11
1.91 1.91 .26 94.85
1.75 1.75 1.20 59.35
- ---------------------------------------------------------------------------------
2.11 2.11 2.13 13.76
2.20 2.30 3.67 46.09
2.19 2.59 3.74 67.70
2.17 2.17 4.20 44.50
2.16 2.16 4.06 53.30
2.14 2.14 5.12 42.69
- ---------------------------------------------------------------------------------
1.37 1.37 2.88 13.76
1.43 1.62 4.46 46.09
1.46 1.82 4.54 67.70
1.42 1.42 4.96 44.50
1.41 1.41 4.78 53.30
1.39 1.39 5.42 42.69
1.47 1.47 4.90 42.58
- ---------------------------------------------------------------------------------
1.10 1.10 3.16 13.76
1.18 1.18 4.66 46.09
1.19 1.19 4.82 67.70
1.17 1.18 5.19 44.50
1.16 1.16 5.00 53.30
1.14 1.14 5.41 42.69
1.05 1.05 4.93 42.58
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 131
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(a) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class C
April 30, 2004* 19.01 .09 (.06) .03
October 31, 2003 18.98 .31 .06 .37
October 31, 2002 19.01 .56 .13 .69
October 31, 2001 18.23 .85 .89 1.74
October 31, 2000 (1) 18.13 .79 .04 .83
December 31, 1999 (5) 18.36 .68 (.31) .37
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 19.08 .16 (.06) .10
October 31, 2003 19.04 .48 .03 .51
October 31, 2002 19.02 .77 .06 .83
October 31, 2001 18.24 1.02 .85 1.87
October 31, 2000 (1) 18.08 .88 .07 .95
December 31, 1999 (4) 18.51 .80 (.34) .46
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 19.05 .19 (.06) .13
October 31, 2003 19.01 .52 .03 .55
October 31, 2002 18.99 .80 .08 .88
October 31, 2001 18.22 1.07 .83 1.90
October 31, 2000 (1) 18.03 .91 .09 1.00
December 31, 1999 18.46 .90 (.36) .54
December 31, 1998 18.35 .99 .11 1.10
- --------------------------------------------------------------------------------------------------------------
SELECT GROWTH FUND
Class C
April 30, 2004* 6.85 (.05) .09 .04
October 31, 2003 5.23 (.09) 1.71 1.62
October 31, 2002 6.65 (.10) (1.32) (1.42)
October 31, 2001 (9) 10.00 (.08) (3.27) (3.35)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 7.03 (.02) .08 .06
October 31, 2003 5.31 (.04) 1.76 1.72
October 31, 2002 6.68 (.04) (1.33) (1.37)
October 31, 2001 (9) 10.00 (.02) (3.30) (3.32)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 7.10 (.01) .09 .08
October 31, 2003 5.35 (.02) 1.77 1.75
October 31, 2002 6.71 (.02) (1.34) (1.36)
October 31, 2001 (9) 10.00 --(e) (3.29) (3.29)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 7.08 (.01) .09 .08
October 31, 2003 5.34 (.02) 1.76 1.74
October 31, 2002 6.71 (.02) (1.35) (1.37)
October 31, 2001 (9) 10.00 --(e) (3.29) (3.29)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class C
April 30, 2004* (.06) -- --
October 31, 2003 (.34) -- --
October 31, 2002 (.72) -- --
October 31, 2001 (.96) -- --
October 31, 2000 (1) (.73) -- --
December 31, 1999 (5) (.60) -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.15) -- --
October 31, 2003 (.47) -- --
October 31, 2002 (.81) -- --
October 31, 2001 (1.09) -- --
October 31, 2000 (1) (.79) -- --
December 31, 1999 (4) (.89) -- --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.17) -- --
October 31, 2003 (.51) -- --
October 31, 2002 (.86) -- --
October 31, 2001 (1.13) -- --
October 31, 2000 (1) (.81) -- --
December 31, 1999 (.97) -- --
December 31, 1998 (.99) -- --
- ----------------------------------------------------------------------------------------
SELECT GROWTH FUND
Class C
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (9) -- -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (9) -- -- --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (9) -- -- --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* -- -- --
October 31, 2003 -- -- --
October 31, 2002 -- -- --
October 31, 2001 (9) -- -- --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
132 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.06) 18.98 .18 40,183
(.34) 19.01 1.97 41,644
(.72) 18.98 3.73 16,294
(.96) 19.01 9.77 1,709
(.73) 18.23 4.67 672
(.60) 18.13 2.02 801
- -----------------------------------------------------------------------------
(.15) 19.03 .51 22,774
(.47) 19.08 2.70 20,274
(.81) 19.04 4.53 17,516
(1.09) 19.02 10.54 17,685
(.79) 18.24 5.36 9,898
(.89) 18.08 2.53 8,693
- -----------------------------------------------------------------------------
(.17) 19.01 .67 1,001,121
(.51) 19.05 2.95 958,064
(.86) 19.01 4.81 599,795
(1.13) 18.99 10.76 401,137
(.81) 18.22 5.64 422,884
(.97) 18.03 3.03 447,590
(.99) 18.46 6.09 260,539
- -----------------------------------------------------------------------------
-- 6.89 .44 5,039
-- 6.85 31.17 3,265
-- 5.23 (21.35) 1,341
-- 6.65 (33.50) 1,017
- -----------------------------------------------------------------------------
-- 7.09 .85 5,539
-- 7.03 32.39 4,865
-- 5.31 (20.51) 2,814
-- 6.68 (33.20) 2,714
- -----------------------------------------------------------------------------
-- 7.18 1.13 42,755
-- 7.10 32.71 32,003
-- 5.35 (20.27) 18,150
-- 6.71 (32.90) 21,044
- -----------------------------------------------------------------------------
-- 7.16 1.13 48,283
-- 7.08 32.58 42,421
-- 5.34 (20.42) 24,389
-- 6.71 (32.90) 24,072
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
1.60 1.66 .98 50.44
1.56 1.72 1.63 187.92
1.52 1.70 3.08 163.86
1.52 1.66 4.72 260.94
1.64 1.66 5.01 92.31
1.72 1.72 4.41 177.08
- ---------------------------------------------------------------------------------
.85 .91 1.73 50.44
.80 .97 2.52 187.92
.77 .96 4.04 163.86
.77 .91 5.48 260.94
.89 .91 5.77 92.31
.97 .97 5.05 177.08
- ---------------------------------------------------------------------------------
.60 .66 1.98 50.44
.56 .72 2.70 187.92
.52 .71 4.26 163.86
.52 .67 5.76 260.94
.64 .66 6.00 92.31
.74 .74 5.22 177.08
.66 .66 5.37 129.85
- ---------------------------------------------------------------------------------
2.20 2.35 (1.50) 79.46
2.20 2.74 (1.57) 149.76
2.11 2.82 (1.53) 212.37
2.17 2.97 (1.32) 169.36
- ---------------------------------------------------------------------------------
1.35 1.50 (.65) 79.46
1.26 1.79 (.62) 149.76
1.16 1.87 (.58) 212.37
1.29 2.05 (.45) 169.36
- ---------------------------------------------------------------------------------
.95 1.21 (.25) 79.46
.93 1.58 (.31) 149.76
.89 1.65 (.31) 212.37
.89 1.75 (.03) 169.36
- ---------------------------------------------------------------------------------
1.06 1.22 (.37) 79.46
1.03 1.56 (.40) 149.76
.97 1.68 (.39) 212.37
.94 1.74 (.09) 169.36
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 133
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS -- FOR THE PERIODS ENDED
For a Share Outstanding Throughout Each Period.
<Table>
<Caption>
$ $ $ $
NET ASSET VALUE, NET NET REALIZED TOTAL INCOME
BEGINNING OF INVESTMENT AND UNREALIZED FROM
PERIOD INCOME (LOSS)(A) GAIN (LOSS) OPERATIONS
- --------------------------------------------------------------------------------------------------------------
SELECT VALUE FUND
Class C
April 30, 2004* 8.97 (.01) .72 .71
October 31, 2003 7.41 (.01) 1.58 1.57
October 31, 2002 8.51 (.02) (1.07) (1.09)
October 31, 2001 (9) 10.00 --(e) (1.48) (1.48)
- --------------------------------------------------------------------------------------------------------------
Class E
April 30, 2004* 9.05 .03 .72 .75
October 31, 2003 7.46 .06 1.58 1.64
October 31, 2002 8.53 .06 (1.07) (1.01)
October 31, 2001 (9) 10.00 .05 (1.48) (1.43)
- --------------------------------------------------------------------------------------------------------------
Class I
April 30, 2004* 9.07 .05 .72 .77
October 31, 2003 7.46 .08 1.61 1.69
October 31, 2002 8.54 .08 (1.07) (.99)
October 31, 2001 (9) 10.00 .09 (1.48) (1.39)
- --------------------------------------------------------------------------------------------------------------
Class S
April 30, 2004* 9.05 .04 .72 .76
October 31, 2003 7.45 .07 1.60 1.67
October 31, 2002 8.53 .07 (1.07) (1.00)
October 31, 2001 (9) 10.00 .08 (1.48) (1.40)
- --------------------------------------------------------------------------------------------------------------
<Caption>
$ $
DISTRIBUTIONS DISTRIBUTIONS $
FROM NET FROM NET RETURN OF
INVESTMENT INCOME REALIZED GAIN CAPITAL
- ----------------------------------------------------------------------------------------
SELECT VALUE FUND
Class C
April 30, 2004* (.01) -- --
October 31, 2003 (.01) -- --
October 31, 2002 (.01) -- --
October 31, 2001 (9) (.01) -- --
- ----------------------------------------------------------------------------------------
Class E
April 30, 2004* (.03) -- --
October 31, 2003 (.05) -- --
October 31, 2002 (.06) -- --
October 31, 2001 (9) (.04) -- --
- ----------------------------------------------------------------------------------------
Class I
April 30, 2004* (.05) -- --
October 31, 2003 (.08) -- --
October 31, 2002 (.09) -- --
October 31, 2001 (9) (.07) -- --
- ----------------------------------------------------------------------------------------
Class S
April 30, 2004* (.04) -- --
October 31, 2003 (.07) -- --
October 31, 2002 (.08) -- --
October 31, 2001 (9) (.07) -- --
- ----------------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
134 Financial Highlights
<Table>
<Caption>
$ $
$ NET ASSET VALUE, % NET ASSETS
TOTAL END OF TOTAL END OF PERIOD
DISTRIBUTIONS PERIOD RETURN(b) (000)
- -----------------------------------------------------------------------------
(.01) 9.67 7.88 14,359
(.01) 8.97 21.19 9,972
(.01) 7.41 (12.82) 2,061
(.01) 8.51 (14.76) 1,844
- -----------------------------------------------------------------------------
(.03) 9.77 8.37 8,249
(.05) 9.05 22.01 7,778
(.06) 7.46 (11.86) 3,314
(.04) 8.53 (14.33) 3,155
- -----------------------------------------------------------------------------
(.05) 9.79 8.58 83,734
(.08) 9.07 22.60 74,600
(.09) 7.46 (11.72) 35,169
(.07) 8.54 (13.92) 28,983
- -----------------------------------------------------------------------------
(.04) 9.77 8.39 139,515
(.07) 9.05 22.53 128,383
(.08) 7.45 (11.78) 31,806
(.07) 8.53 (14.04) 31,288
- -----------------------------------------------------------------------------
<Caption>
% % %
RATIO OF EXPENSES RATIO OF EXPENSES RATIO OF NET
TO AVERAGE TO AVERAGE INVESTMENT INCOME %
NET ASSETS NET ASSETS TO AVERAGE PORTFOLIO
NET(c)(f) GROSS(c) NET ASSETS(c) TURNOVER RATE(b)
- ---------------------------------------------------------------------------------
2.23 2.23 (.29) 51.30
2.15 2.42 (.12) 105.71
2.00 2.40 (.27) 92.95
2.00 2.64 -- 71.75
- ---------------------------------------------------------------------------------
1.37 1.37 .57 51.30
1.21 1.48 .77 105.71
1.04 1.43 .70 92.95
1.25 1.85 .76 71.75
- ---------------------------------------------------------------------------------
.95 .99 .99 51.30
.90 1.23 1.12 105.71
.79 1.22 .95 92.95
.79 1.48 1.25 71.75
- ---------------------------------------------------------------------------------
1.12 1.12 .82 51.30
1.01 1.28 1.03 105.71
.87 1.27 .86 92.95
.86 1.50 1.18 71.75
- ---------------------------------------------------------------------------------
</Table>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 135
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL HIGHLIGHTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
* For the six months ended April 30, 2004 (Unaudited).
(1) For the ten months ended October 31, 2000.
(2) For the period September 22, 1998 (commencement of sale) to December 31,
1998.
(3) For the period January 27, 1999 (commencement of sale) to December 31,
1999.
(4) For the period February 18, 1999 (commencement of sale) to December 31,
1999.
(5) For the period March 3, 1999 (commencement of sale) to December 31, 1999.
(6) For the period May 14, 1999 (commencement of sale) to December 31, 1999.
(7) For the period March 29, 2000 (commencement of sale) to October 31, 2000.
(8) For the period March 30, 2000 (commencement of sale) to October 31, 2000.
(9) For the period January 31, 2001 (commencement of operations) to October
31, 2001.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) The ratio for the period ended December 31, 1998 is not meaningful due to
the Class's short period of operation.
(e) Less than $.01 per share.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
(g) As a result of a revision to reflect accretion of market discount or
premium, certain amounts for the fiscal year ended October 31, 2002 have
been reclassified from what was previously reported. The reclassification
has no impact on the net assets of the fund. The impact of this change is
as follows:
<Table>
<Caption>
RATIO OF NET
NET REALIZED INVESTMENT INCOME
NET INVESTMENT AND UNREALIZED TO AVERAGE
INCOME (LOSS) GAIN (LOSS) NET ASSETS
$ $ %
- ------------------------------------------------------------------------------------
Fixed Income I Fund - Class E .03 (.03) .12
Fixed Income I Fund - Class I .02 (.02) .13
Fixed Income I Fund - Class Y .03 (.03) .14
Fixed Income III Fund - Class E (.03) .03 (.29)
Fixed Income III Fund - Class I (.03) .03 (.28)
</Table>
See accompanying notes which are an integral part of the financial statements.
136 Notes to Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios referred to as "Funds."
These financial statements report on eleven Funds, each of which has distinct
investment objectives and strategies. The Investment Company is registered
under the Investment Company Act of 1940, as amended, as a diversified,
open-end management investment company. It is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Funds in the
preparation of these financial statements.
Security valuation
United States equity securities listed and traded principally on any national
securities exchange are valued on the basis of the last sale price or, if
there were no sales on that day, at the last reported price, on the primary
exchange on which the security is traded.
Fixed-income securities listed and traded principally on any national
securities exchange are valued at the evaluated bid price or, if there were
no sales on that day, at the last reported bid price, on the primary exchange
on which the security is traded. Over-the-counter fixed-income securities and
options are valued on the basis of the last sale price. Many fixed-income
securities do not trade each day, and thus last sale or bid prices are
frequently not available. Accordingly, fixed-income securities may be valued
using prices provided by a pricing service approved by the Board of Trustees
when such prices are believed to reflect the market value of such securities.
Futures contracts are valued on the basis of the last sale price. Exchange
listed futures contracts are valued on a basis of the last quoted daily
settlement prices established by the exchange on which they trade. If there
were no sales, futures are valued at the last reported bid price.
Investments in other mutual funds are valued at their net asset value per
share, calculated at the close of business.
The value of swap agreements are equal to the Funds' obligation (or rights)
under swap contracts which will generally be equal to the net amounts to be
paid or received under the contracts based upon the relative values of the
positions held by each party to the contracts.
International equity securities traded on a foreign national securities
exchange or an over-the-counter market (foreign or domestic) are valued on
the basis of the official closing price, or, lacking the official closing
price, at the last sale price on the primary exchange on which the security
is traded.
Short-term investments purchased by the Funds and maturing within 60 days at
the time of purchase are valued at "amortized cost" unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees. Generally, trading in
non-U.S. securities is substantially completed each day at various times
prior to the close of trading on the U.S. markets. The values of such
securities used in computing the net asset value of a portfolio's shares are
generally determined as of such times. Occasionally, events that affect the
values of such securities may occur between the times at which they are
generally determined and the close of the U.S. Markets and would therefore
not be reflected in the computation of a portfolio's net asset value. In such
event, these securities will then be valued at their fair value as determined
in good faith under consistently applied procedures established by and under
the general supervision of the Board of Trustees.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost incurred by each money manager within a particular Fund.
Notes to Financial Statements 137
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Investment income
Dividend income is recorded on the ex-dividend date and interest income is
recorded on the accrual basis. All premiums and discounts, including original
issue discounts, are amortized/accreted using the interest method.
Reclassification of financial information
As a result of a revision to reflect accretion of market discount or premium,
certain amounts for the fiscal year ended October 31, 2002 have been
reclassified from what was previously reported as follows: net investment
income for the Fixed Income I Fund increased $2,252,686 with a corresponding
decrease to net unrealized gain (loss); net investment income for the Fixed
Income III Fund decreased $235,990 with a corresponding increase to net
unrealized gain (loss); and net investment income for the Short Term Bond
Fund increased $485,704 with a corresponding decrease to net unrealized gain
(loss). These reclassifications have no impact on the net assets of the
Funds.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, each Fund is
a separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income or excise tax provision was required for the Funds.
Dividends and distributions to shareholders
For all Funds, income, dividends and capital gain distributions, if any, are
recorded on the ex-dividend date. Dividends are generally declared and paid
quarterly for the equity Funds, annually for the international Funds, and
monthly for the fixed income Funds. Capital gain distributions are generally
declared and paid annually. An additional distribution may be paid by the
Funds to avoid imposition of federal income and excise tax on any remaining
undistributed capital gains and net investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) on investment and foreign currency-related transactions for a
reporting period may differ significantly from distributions during such
period. The differences between tax regulations and GAAP primarily relate to
investments in options, futures, forward contracts, swap contracts, passive
foreign investment companies, foreign-denominated investments,
mortgage-backed securities, certain securities sold at a loss, capital loss
carryforwards and by recording gains and losses from securities transactions
on the basis of specific identified cost incurred by each money manager for
financial reporting purposes and on the basis of specific identified cost
incurred by each Fund for tax purposes.
Expenses
The Funds will pay their own expenses other than those expressly assumed by
Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most
expenses can be directly attributed to the individual Funds. Expenses which
cannot be directly attributed to a specific Fund are allocated among all
Funds principally based on their relative net assets.
Class Allocation
The Funds offer the following classes of shares: Class C, Class E, Class I,
Class S and Class Y. All share classes have identical voting, dividend,
liquidation and other rights and the same terms and conditions. The separate
classes of shares differ principally in the applicable distribution fees and
shareholder servicing fees. Shareholders of each class bear certain expenses
that pertain to that particular class. Realized and unrealized gains
(losses), net investment income, and expenses with the exception of class
level expenses, are allocated daily to each class of shares based upon the
relative proportion of net assets of each class.
138 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Foreign currency translations
The books and records of the Funds are maintained in US dollars. Foreign
currency amounts and transactions of the Funds are translated into US dollars
on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from: sales and maturities of short-term securities; sales
of foreign currencies; currency gains or losses realized between the trade
and settlement dates on securities transactions; the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Funds' books and the US dollar equivalent of the amounts actually received or
paid. Net unrealized gains or losses from foreign currency-related
transactions arise from changes in the value of assets and liabilities, other
than investments in securities, at year-end, as a result of changes in the
exchange rates.
The Funds do not isolate that portion of the results of operations of the
Funds that arises as a result of changes in exchange rates from that portion
that arises from changes in market prices of investments during the year.
Such fluctuations are included with the net realized and unrealized gain or
loss from investments. However, for federal income tax purposes the Funds do
isolate the effects of changes in foreign exchange rates from the
fluctuations arising from changes in market prices for realized gain (or
loss) on debt obligations.
Derivatives
To the extent permitted by the investment objectives, restrictions and
policies set forth in the Funds' Prospectus and Statement of Additional
Information, the Funds may participate in various derivative-based
transactions. Derivative securities are instruments or agreements whose value
is derived from an underlying security or index. They include options,
futures, swaps, forwards, structured notes and stripped securities. These
instruments offer unique characteristics and risks that assist the Funds in
meeting their investment strategies.
The Funds typically use derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may be
used by certain Funds through the use of options and futures to earn
"market-like" returns with their excess and liquidity reserve cash balances.
Hedging is used by some Funds to limit or control risks, such as adverse
movements in exchange rates and interest rates. Return enhancement can be
accomplished through the use of derivatives in a Fund. By purchasing certain
instruments, Funds may more effectively achieve the desired portfolio
characteristics that assist them in meeting their investment objectives.
Depending on how the derivatives are structured and utilized, the risks
associated with them may vary widely. These risks are generally categorized
as market risk, liquidity risk and counterparty or credit risk.
Foreign currency exchange contracts
In connection with portfolio purchases and sales of securities denominated in
a foreign currency, certain Funds may enter into foreign currency exchange
spot contracts and forward foreign currency exchange contracts ("contracts").
The International Fund may enter into foreign currency forward overlays on
liquidity reserve balances. Additionally, from time to time the
International, Emerging Markets, Short Term Bond, Fixed Income I and Fixed
Income III Funds may enter into contracts to hedge certain foreign
currency-denominated assets. Contracts are recorded at market value. Certain
risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and are
generally limited to the amount of unrealized gain on the contracts, if any,
that are recognized in the Statement of Assets and Liabilities. Realized
gains or losses arising from such transactions are included in net realized
gain (or loss) from foreign currency-related transactions. Open contracts at
April 30, 2004, are presented on the Schedule of Investments for the
applicable Funds.
Forward commitments
The Funds may contract to purchase securities for a fixed price at a future
date beyond customary settlement time (not to exceed 120 days) (i.e., a
"forward commitment," "delayed settlement" or "when issued" transaction,
e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its
investment portfolio and meet redemption requests. The price of the
underlying securities and the date when the securities will be delivered and
paid for are fixed at the time the transaction is negotiated. The Funds may
dispose of a forward commitment transaction prior to settlement if it is
appropriate to do so and realize short-term
Notes to Financial Statements 139
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
gains (or losses) upon such sale. When effecting such transactions, cash or
liquid high-grade debt obligations of the Fund in a dollar amount sufficient
to make payment for the portfolio securities to be purchased will be
segregated on the Fund's records at the trade date and maintained until the
transaction is settled. A forward commitment transaction involves a risk of
loss if the value of the security to be purchased declines prior to the
settlement date or the other party to the transaction fails to complete the
transaction.
Options
The Funds may purchase and sell (write) call and put options on securities
and securities indices, provided such options are traded on a national
securities exchange or in an over-the-counter market. The Funds may also
purchase and sell call and put options on foreign currencies. The domestic
equity Funds may utilize options to equitize liquidity reserve balances.
When a Fund writes a covered call or a put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the current market
value of the option written. The Fund receives a premium on the sale of a
call option but gives up the opportunity to profit from any increase in stock
value above the exercise price of the option, and when the Fund writes a put
option it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated
expiration date or the Fund enters into a closing purchase transaction, the
Fund realizes a gain (or loss, if the cost of a closing purchase transaction
exceeds the premium received when the option was sold) without regard to any
unrealized gain or loss on the underlying security, and the liability related
to such option is extinguished. If a call option which the Fund has written
is exercised, the Fund realizes a capital gain or loss from the sale of the
underlying security, and the proceeds from such sale are increased by the
premium originally received. When a put option which a Fund has written is
exercised, the amount of the premium originally received will reduce the cost
of the security which a Fund purchases upon exercise of the option. Realized
gains (losses) on purchased options are included in net realized gain (loss)
from investments.
The Funds' use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets and
Liabilities. The face or contract amounts of these instruments reflect the
extent of the Funds' exposure to market risk. The risks may be caused by an
imperfect correlation between movements in the price of the instrument and
the price of the underlying securities and interest rates.
Futures Contracts
The domestic and international equity Funds utilize futures contracts to
equitize uninvested cash balances. Fixed Income III Fund may utilize futures
contracts (i.e., interest rate, foreign currency and index futures contracts)
to a limited extent. The face or contract amounts of these instruments
reflect the extent of the Funds' exposure to market risk. The primary risks
associated with the use of futures contracts are an imperfect correlation
between the change in market value of the securities held by the Fund and the
prices of futures contracts, and the possibility of an illiquid market. Upon
entering into a futures contract, the Funds are required to deposit with a
broker an amount, termed the initial margin, which typically represents 5% of
the purchase price indicated in the futures contract. Payments to and from
the broker, known as variation margin, are required to be made on a daily
basis as the price of the futures contract fluctuates. Changes in initial
settlement value are accounted for as unrealized appreciation (depreciation)
until the contracts are terminated, at which time realized gains and losses
are recognized.
Swap Agreements
The Equity I, Equity II, Equity Q, International, Fixed Income I, Fixed
Income III, Emerging Markets, Short Term Bond, Select Growth, and Select
Value Funds may enter into swap agreements as an additional equitization
vehicle for uninvested cash balances held by those Funds or to effect
investment transactions consistent with these Funds' investment objectives
and strategies. Swap agreements are two party contracts entered into
primarily by institutional investors for periods ranging from a few weeks to
more than one year. In a standard swap transaction, the two parties agree to
exchange the returns (or differentials in rates of return) earned or realized
on particular investments or instruments. The returns to be exchanged between
the parties are calculated with respect to a "notional amount" (i.e. a
specified dollar amount that is hypothetically invested in a "basket" of
securities representing a particular index). Amounts paid to and received
from the swap counterparties representing capital appreciation and
depreciation on the underlying securities and accrued interest expense and
interest income are recorded as
140 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
net realized gain (loss). The Fund is exposed to credit risk in the event of
non-performance by the swap counterparties; however, the Fund does not
anticipate non-performance by the counterparties.
Investments in emerging markets
Investing in emerging markets may involve special risks and considerations
for the Emerging Markets Fund not typically associated with investing in the
United States markets. These risks include revaluation of currencies, high
rates of inflation, repatriation, restrictions on income and capital, and
future adverse political and economic developments. Moreover, securities
issued in these markets may be less liquid, subject to government ownership
controls, delayed settlements, and their prices more volatile than those of
comparable securities in the United States.
Guarantees
In the normal course of business the Funds enter into contracts that contain
a variety of representations which provide general indemnifications. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds expect the risk of loss to be remote.
3. INVESTMENT TRANSACTIONS
Securities
During the period ended April 30, 2004, purchases and sales of investment
securities (excluding US Government and Agency obligations, short-term
investments, options, futures and repurchase agreements) were as follows:
<Table>
<Caption>
FUNDS PURCHASES SALES
- ---------------------------------------------------------------
Equity I $ 550,828,653 $ 536,427,934
Equity II 516,017,135 509,415,422
Equity Q 710,803,280 1,012,426,916
International 435,026,416 442,817,405
Fixed Income I 306,737,221 310,425,736
Fixed Income III 120,283,573 998,187,018
</Table>
<Table>
- ---------------------------------------------------------------
<Caption>
FUNDS PURCHASES SALES
Emerging Markets $ 173,137,976 $ 151,447,327
Real Estate Securities 233,861,802 133,171,649
Short-Term Bond 263,378,375 221,811,600
Select Growth 88,990,149 70,505,873
Select Value 130,540,446 117,086,411
</Table>
Purchases and sales of US Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
<Table>
<Caption>
FUNDS PURCHASES SALES
--------------------------------------------------------------------------
Fixed Income I $ 495,631,712 $ 483,499,485
Fixed Income III 146,279,024 148,540,816
Short Term Bond 175,546,908 172,282,228
</Table>
Written Options Contracts
Fund transactions in written options contracts for the period ended April 30,
2004 were as follows:
<Table>
<Caption>
INTERNATIONAL FIXED INCOME I
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
------------------------------------------------------------------------------------------------------------------------------
Outstanding October 31, 2003 174 $ 706,738 111 $ 72,592
Opened 1,578 17,096,662 182 119,619
Closed (1,523) (15,417,191) (121) (69,299)
Expired -- -- (81) (53,393)
---------------- ---------------- ---------------- ----------------
Outstanding April 30, 2004 229 $ 2,386,209 91 $ 69,519
================ ================ ================ ================
</Table>
Notes to Financial Statements 141
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FIXED INCOME III EMERGING MARKETS
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
------------------------------------------------------------------------------------------------------------------------------
Outstanding October 31, 2003 38 $ 315,845 297 $ 858,702
Opened 107 79,014 940 2,432,863
Closed (70) (43,050) (839) (2,165,921)
Expired (12) (7,955) -- --
---------------- ---------------- ---------------- ----------------
Outstanding April 30, 2004 63 $ 343,854 398 $ 1,125,644
================ ================ ================ ================
</Table>
<Table>
<Caption>
SHORT TERM BOND
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
-----------------------------------------------------------------------------
Outstanding October 31, 2003 2 $ 48,509
Opened 28 30,217
Closed -- --
Expired (2) (48,509)
---------------- ----------------
Outstanding April 30, 2004 28 $ 30,217
================ ================
</Table>
Securities Lending
The Investment Company has a securities lending program whereby each Fund can
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (US currency), US Government or US Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is collateralized by cash, such collateral shall be invested by
the securities lending agent, State Street Bank and Trust Company ("State
Street") in short-term instruments, money market mutual funds, and such other
short-term investments, provided the investments meet certain quality and
diversification requirements. The collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street and is recorded as income for the Fund. To
the extent that a loan is secured by non-cash collateral, brokers pay the
Fund negotiated lenders' fees, which are divided between the Fund and State
Street and are recorded as securities lending income for the Fund. All
collateral received will be in an amount at least equal to 102% (for loans of
US securities) or 105% (for non-US securities) of the market value of the
loaned securities at the inception of each loan. Should the borrower of the
securities fail financially, there is a risk of delay in recovery of the
securities or loss of rights in the collateral. Consequently, loans are made
only to borrowers which are deemed to be of good financial standing. As of
April 30, 2004, the value of outstanding securities on loan and the value of
collateral amounted to as follows:
<Table>
<Caption>
VALUE OF VALUE OF
FUNDS SECURITIES ON LOAN COLLATERAL
- ----------------------------------------------------------------
Equity I $ 13,384,771 $ 13,727,384
Equity II 119,060,774 122,385,607
Equity Q 36,564,482 37,535,436
International 361,123,363 378,057,292
Fixed Income I 322,043,370 329,638,438
Fixed Income III 52,434,924 53,573,887
</Table>
<Table>
- ----------------------------------------------------------------
<Caption>
VALUE OF VALUE OF
FUNDS SECURITIES ON LOAN COLLATERAL
Emerging Markets $ 15,161,693 $ 15,536,438
Real Estate
Securities 17,029,884 17,541,869
Short Term Bond 548,965 560,647
Select Growth 5,382,208 5,559,702
Select Value 4,193,304 4,303,096
</Table>
142 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
As of April 30, 2004, the cash collateral received for the securities on loan
are invested as follows:
<Table>
<Caption>
STATE STREET
SECURITIES LENDING
FUNDS FRIC MONEY MARKET QUALITY TRUST (1)
- ----------------------------------------------------------------
Equity I $ 6,610,022 $ 7,117,363
Equity II 58,931,220 63,454,387
Equity Q 18,074,095 19,461,342
International 182,042,464 196,014,828
Fixed Income I 158,727,777 170,910,661
Fixed Income III 25,796,943 27,776,944
</Table>
<Table>
- ----------------------------------------------------------------
<Caption>
STATE STREET
SECURITIES LENDING
FUNDS FRIC MONEY MARKET QUALITY TRUST (1)
Emerging Markets $ 7,481,118 $ 8,055,319
Real Estate
Securities 8,446,775 9,095,094
Short Term Bond 269,963 290,684
Select Growth 2,677,113 2,882,590
Select Value 2,072,030 2,231,066
</Table>
(1) The State Street Securities Lending Quality Trust investment balance
includes pending items that account for the difference between the total
amount invested and the total cash collateral amount.
As of April 30, 2004, the non-cash collateral received for the securities on
loan in the following funds was:
<Table>
<Caption>
NON-CASH
COLLATERAL
FUNDS VALUE NON-CASH COLLATERAL HOLDING
-----------------------------------------------------------------------------------------
International $1,430,687 Pool of US Government securities
</Table>
4. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers all of the Funds which comprise the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
Frank Russell Company researches and recommends to FRIMCo, and to the
Investment Company, one or more investment management organizations to manage
the portfolio of each Fund.
The Funds are permitted to invest their cash reserves (i.e., monies awaiting
investment in portfolio securities suitable for the Funds' objectives), and a
portion of the collateral received from the Investment Company's securities
lending program in the Frank Russell Investment Company Money Market Fund (a
series of the Investment Company not presented herein). As of April 30, 2004,
$954,911,226 of the Money Market Fund's net assets represents investments by
these Funds, and $1,354,842,879 represents the investments of other
affiliated Funds not presented herein.
The advisory and administrative fees (excluding Class Y administrative fees)
are based upon the average daily net assets of each Fund and the rates
specified in the table below. Class Y shares pay administrative fees to
FRIMCo at cost. The advisory and administrative fees are payable monthly and
total $25,714,605 and $1,772,579 respectively, for the period ended April 30,
2004.
<Table>
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
- --------------------------------------------------------------
Equity I .55% .05%
Equity II .70 .05
Equity Q .55 .05
International .70 .05
Fixed Income I .25 .05
Fixed Income III .50 .05
</Table>
<Table>
- --------------------------------------------------------------
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
Emerging Markets 1.15% .05%
Real Estate Securities .80 .05
Short Term Bond .45 .05
Select Growth .80 .05
Select Value .70 .05
</Table>
From November 1, 2003 through February 29, 2004 the advisor has contractually
agreed to waive up to the full amount of its 0.50% combined advisory and
administrative fees for the Short Term Bond Fund, and to reimburse the Fund
to the extent that Fund level expenses exceed 0.52% of the Fund's average
daily net assets on an annual basis. The total amount of the waiver for that
period was $293,361. There were no reimbursements for that period.
For the Select Growth Fund, the Advisor has contractually agreed to waive up
to the full amount of its transfer agency fees, administrative fees, and
advisory fees to the extent that expenses for Class C, Class E, Class I and
Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average
daily net assets of each such class on an annual basis. If a waiver of
Notes to Financial Statements 143
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
advisory fees is required for any class of shares of the Fund, advisory fees
will be waived equally across all classes of the Fund. This may result in a
waiver amount that is greater than what is required to reduce total net
operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%,
0.95% and 1.15%, respectively. The total amount of the waiver for the period
ended April 30, 2004 was $93,777. There were no reimbursements for the period
ended April 30, 2004.
For the Select Value Fund, the Advisor has contractually agreed to waive up
to the full amount of its transfer agency fees, administrative fees, and
advisory fees to the extent that expenses for Class C, Class E, Class I and
Class S exceed 2.25%, 1.40%, 0.95% and 1.15%, respectively, of the average
daily net assets of each such class on an annual basis. If a waiver of
advisory fees is required for any class of shares of the Fund, advisory fees
will be waived equally across all classes of the Fund. This may result in a
waiver amount that is greater than what is required to reduce total net
operating expense for Class C, Class E, Class I and Class S to 2.25%, 1.40%,
0.95% and 1.15%, respectively. The total amount of the waiver for the period
ended April 30, 2004 was $14,248. There were no reimbursements for the period
ended April 30, 2004.
The advisor does not have the ability to recover amounts waived or reimbursed
from previous periods.
Special Service Charge
A special servicing agreement was entered into in February 1999 by the
Advisor and approved annually by the Funds' Board of Trustees. The special
servicing agreement is between the Fund of Funds (a group of five LifePoints
Funds and the Tax-Managed Global Equity Fund which invest in a combination of
Class S shares of the Investment Company's portfolios) and the Funds listed
below, the "Underlying Funds," in which the Fund of Funds invest. In
accordance with the special services agreement, expenses from the operation
of the Fund of Funds are borne by the Underlying Funds based on each
Underlying Fund's proportionate share of assets owned by the Fund of Funds.
No Underlying Funds will be charged expenses that exceed the estimated
savings to each respective Underlying Fund. These estimated savings appear in
the form of reduced transfer agent costs resulting from the elimination of
separate shareholder accounts which either currently are or have potential to
be invested in the Underlying Funds. Rather than having each investor open a
shareholder account to invest individually in the Underlying Funds, the Fund
of Funds act as omnibus accounts combining thousands of individual
shareholder accounts into a single account. This benefits the Underlying
Funds, by significantly reducing the number of shareholder accounts that need
to be maintained, and by the omnibus accounts' netting out the trades of
individual shareholders to a point where the Fund of Funds only execute one
trade each day with each Underlying Fund. In the event that the financial
benefits to the Underlying Funds do not exceed aggregate expenses of any Fund
of Fund, the Advisor will reimburse the respective Underlying Funds.
For the period ended April 30, 2004, the special servicing expense charged to
the Underlying Funds amounted to:
<Table>
<Caption>
AMOUNT
UNDERLYING FUNDS PAID
-------------------------------------------------------
Emerging Markets $ 111,400
Real Estate Securities 193,264
Short Term Bond 361,487
</Table>
Custodian
The Funds have entered into arrangements with their Custodian whereby custody
credits realized as a result of uninvested cash balances were used to reduce
a portion of the Fund's expenses. During the period ended April 30, 2004, the
Fund's custodian fees were reduced by the following amounts under these
arrangements:
<Table>
<Caption>
CUSTODY CREDIT
FUNDS AMOUNT
- ---------------------------------------------------------
Equity I $ 452
Equity II 462
Equity Q 268
International 407
Fixed Income I 3,006
Fixed Income III 5,246
</Table>
<Table>
- ---------------------------------------------------------
<Caption>
CUSTODY CREDIT
FUNDS AMOUNT
Emerging Markets $ 1,032
Real Estate Securities 139
Short Term Bond 2,335
Select Growth 80
Select Value 167
</Table>
144 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Analytic services
Fees for analytic services provided to the Funds are paid or accrued to
Russell/Mellon Analytical Services, an affiliate of the Investment Company.
Russell/Mellon Analytical Services provides its TruVP System to the Funds,
pursuant to a written Service Agreement. The TruVP System provides analytics
used by the Advisor. Total fees for the Funds reported herein for the period
ended April 30, 2004 was $83,988.
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Funds. Total fees for the Funds reported herein for the
period ended April 30, 2004 were $2,814,213.
In addition, FRIMCo has contractually agreed to waive a portion of its
transfer agency fees to the extent that those fees would affect "Other
Expenses" of certain Funds by one basis point or more. The total transfer
agent fee waivers for the period ended April 30, 2004 were as follows:
<Table>
<Caption>
TA FEE
FUNDS WAIVER AMOUNT
-------------------------------------------------------
Select Growth $ 19,875
Select Value 14,248
</Table>
Distributor and Shareholder Servicing
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of FRIMCo, or any Selling
Agents, as defined in the Plan, for sales support services provided and
related expenses incurred which were primarily intended to result in the sale
of the Class C shares subject to the Distribution Plan. The 12b-1
distribution payments shall not exceed 0.75% of the average daily net assets
of a Fund's Class C shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Funds may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class C and Class E shares of the Funds. The shareholder
servicing payments shall not exceed 0.25% of the average daily net assets of
a Fund's Class C and Class E shares on an annual basis.
Pursuant to the rules of the National Association of Securities Dealers, Inc.
("NASD"), the asset-based sales charges on Shares of the Funds may not exceed
6.25% of total gross sales, subject to certain exclusions. This 6.25%
limitation is imposed at the class level of each Fund rather than on a per
shareholder basis. Therefore, long-term shareholders may pay more than the
economic equivalent of the maximum sales charges permitted by the NASD.
Brokerage commissions
The Funds may effect portfolio transactions through Frank Russell Securities,
Inc., an affiliate of the Advisor, when a money manager determines that the
Fund will receive competitive execution, price, and commissions. Amounts
retained by Frank Russell Securities, Inc. for the period ended April 30,
2004 were as follows:
Brokerage commissions
<Table>
<Caption>
FUNDS AMOUNT
- ------------------------------------------------
Equity I $ 19,916
Equity II 38,472
Equity Q 202
International 79,354
</Table>
<Table>
- ------------------------------------------------
<Caption>
FUNDS AMOUNT
Emerging Markets $ 47,905
Real Estate Securities 10,284
Select Growth 4,301
Select Value 11,148
</Table>
Additionally, the Funds paid brokerage commissions to non-affiliated brokers
who provided brokerage and research services to the Advisor.
Notes to Financial Statements 145
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 Funds, and Russell Investment Funds ("RIF"), which has
5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly meeting attended in
person, $2,000 for each special meeting attended in person, and $2,000 for
each Joint Audit Committee meeting or Nominating and Governance Committee
meeting attended in person. The Trustee will receive a $500 fee for attending
the meetings by phone instead of receiving the full fee had the member
attended in person. Out of pocket expenses are also paid by the Russell Fund
Complex. The Lead Trustee is paid a fee of $10,000 per year, and each
Committee Chair is paid a fee of $6,000 per year.
5. FEDERAL INCOME TAXES
At October 31, 2003, the following Funds had net tax basis capital loss
carryforwards which may be applied against any net realized taxable gains in
each succeeding year or until their respective expiration dates, whichever
occurs first. Available capital loss carryforwards and expiration dates are
as follows:
<Table>
<Caption>
FUNDS 10/31/04 10/31/05 10/31/06 10/31/07
-----------------------------------------------------------------------------------------------
Equity I $ -- $ -- $ -- $ --
Equity II -- -- -- --
Equity Q -- -- -- --
International -- -- -- --
Emerging Markets -- -- 50,206,158 30,325,300
Real Estate
Securities -- -- -- --
Short Term Bond -- -- -- --
Select Growth -- -- -- --
Select Value -- -- -- 18,997,330
</Table>
<Table>
<Caption>
FUNDS 10/31/08 10/31/09 10/31/10 10/31/11 TOTALS
------------------------------------------------------------------------------------------------------------------
Equity I $ -- $ 125,599,690 $ 63,611,111 $ -- $ 189,210,801
Equity II -- -- 706,113 -- 706,113
Equity Q -- 106,032,081 163,631,602 50,810,166 320,473,849
International -- 161,745,343 136,895,382 26,373,087 325,013,812
Emerging Markets 6,163,374 62,678,057 24,430,000 -- 173,802,889
Real Estate
Securities -- -- -- 482,634 482,634
Short Term Bond 2,566,255 -- -- -- 2,566,255
Select Growth -- 15,155,988 14,206,106 245,281 29,607,375
Select Value 451,724 6,893,154 10,022,818 972,824 37,337,850
</Table>
At April 30, 2004, the cost of investments, net unrealized appreciation
(depreciation), undistributed ordinary income and undistributed long-term
capital gains for income tax purposes were as follows:
<Table>
<Caption>
EQUITY I EQUITY II EQUITY Q
--------------------------------------------------------------------------------------------------------
Cost of Investments $ 680,646,629 $ 889,010,590 $ 1,161,709,030
================ ================ ================
Unrealized Appreciation 92,686,684 170,971,430 197,421,202
Unrealized Depreciation (12,246,950) (30,530,252) (21,564,524)
---------------- ---------------- ----------------
Net Unrealized Appreciation (Depreciation) $ 80,439,734 $ 140,441,178 $ 175,856,678
================ ================ ================
</Table>
146 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERNATIONAL FIXED INCOME I FIXED INCOME III EMERGING MARKETS
---------------------------------------------------------------------------------------------------------------------------
Cost of Investments $ 1,439,569,669 $ 1,679,407,821 $ 478,639,270 $ 414,520,881
================ ================ ================ ================
Unrealized Appreciation 214,330,915 13,729,262 6,177,058 99,346,791
Unrealized Depreciation (27,722,557) (19,633,796) (3,820,764) (14,534,427)
---------------- ---------------- ---------------- ----------------
Net Unrealized Appreciation (Depreciation) $ 186,608,358 $ (5,904,534) $ 2,356,294 $ 84,812,364
================ ================ ================ ================
</Table>
<Table>
<Caption>
REAL ESTATE
SECURITIES SHORT TERM BOND SELECT GROWTH SELECT VALUE
---------------------------------------------------------------------------------------------------------------------------
Cost of Investments $ 808,644,840 $ 1,056,797,995 $ 99,221,503 $ 228,043,329
================ ================ ================ ================
Unrealized Appreciation 207,488,005 4,655,192 11,070,172 26,295,632
Unrealized Depreciation (6,440,897) (6,274,363) (3,020,587) (4,216,339)
---------------- ---------------- ---------------- ----------------
Net Unrealized Appreciation (Depreciation) $ 201,047,108 $ (1,619,171) $ 8,049,585 $ 22,079,293
================ ================ ================ ================
</Table>
6. FUND SHARE TRANSACTIONS (amounts in thousands)
Share transactions for the period ended April 30, 2004 and the year ended
October 31, 2003 were as follows:
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
EQUITY I ----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 167 650 $ 4,554 $ 14,997
Proceeds from reinvestment of
distributions 4 7 104 159
Payments for shares redeemed (244) (298) (6,611) (6,840)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (73) 359 (1,953) 8,316
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 5,182 6,950 142,098 156,562
Proceeds from reinvestment of
distributions 92 186 2,469 4,240
Payments for shares redeemed (4,420) (12,058) (120,456) (271,340)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 854 (4,922) 24,111 (110,538)
----------------- ----------------- ----------------- -----------------
Class Y
Proceeds from shares sold 23 2,025 595 44,342
Proceeds from reinvestment of
distributions 17 28 447 634
Payments for shares redeemed (279) (1,237) (7,577) (29,587)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (239) 816 (6,535) 15,389
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 542 (3,747) $ 15,623 $ (86,833)
================= ================= ================= =================
</Table>
Notes to Financial Statements 147
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
EQUITY II ----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 796 750 $ 31,803 $ 21,475
Proceeds from reinvestment of
distributions -- 4 -- 95
Payments for shares redeemed (256) (469) (9,889) (13,915)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 540 285 21,914 7,655
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 2,598 6,027 101,494 169,020
Proceeds from reinvestment of
distributions 19 77 720 2,020
Payments for shares redeemed (2,454) (7,489) (95,148) (214,439)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 163 (1,385) 7,066 (43,399)
----------------- ----------------- ----------------- -----------------
Class Y
Proceeds from shares sold 57 946 2,241 23,754
Proceeds from reinvestment of
distributions 13 35 477 926
Payments for shares redeemed (269) (1,497) (10,426) (46,971)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (199) (516) (7,708) (22,291)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 504 (1,616) $ 21,272 $ (58,035)
================= ================= ================= =================
</Table>
<Table>
<Caption>
EQUITY Q
Class E
Proceeds from shares sold 341 1,113 $ 10,784 $ 29,266
Proceeds from reinvestment of
distributions 6 9 191 234
Payments for shares redeemed (203) (465) (6,497) (12,126)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 144 657 4,478 17,374
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 6,135 9,979 196,765 261,969
Proceeds from reinvestment of
distributions 137 260 4,271 6,940
Payments for shares redeemed (3,714) (17,235) (117,986) (451,836)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,558 (6,996) 83,050 (182,927)
----------------- ----------------- ----------------- -----------------
Class Y
Proceeds from shares sold 1,116 6,484 33,815 168,475
Proceeds from reinvestment of
distributions 58 230 1,795 6,173
Payments for shares redeemed (13,830) (4,977) (415,558) (140,294)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (12,656) 1,737 (379,948) 34,354
----------------- ----------------- ----------------- -----------------
Total increase (decrease) (9,954) (4,602) $ (292,420) $ (131,199)
================= ================= ================= =================
</Table>
148 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
INTERNATIONAL ----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 341 1,085 $ 11,404 $ 27,724
Proceeds from reinvestment of
distributions 20 10 638 235
Payments for shares redeemed (141) (805) (4,774) (20,590)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 220 290 7,268 7,369
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 5,584 9,216 187,583 234,553
Proceeds from reinvestment of
distributions 439 361 14,030 8,741
Payments for shares redeemed (2,681) (11,757) (88,867) (303,209)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,342 (2,180) 112,746 (59,915)
----------------- ----------------- ----------------- -----------------
Class Y
Proceeds from shares sold 122 3,767 4,087 102,649
Proceeds from reinvestment of
distributions 399 306 12,741 7,406
Payments for shares redeemed (4,082) (1,873) (140,371) (52,280)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (3,561) 2,200 (123,543) 57,775
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 1 310 $ (3,529) $ 5,229
================= ================= ================= =================
</Table>
<Table>
<Caption>
FIXED INCOME I
Class E
Proceeds from shares sold 176 442 $ 3,800 $ 9,824
Proceeds from reinvestment of
distributions 55 62 1,178 1,350
Payments for shares redeemed (193) (528) (4,177) (11,736)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 38 (24) 801 (562)
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 6,851 8,984 148,825 199,624
Proceeds from reinvestment of
distributions 1,300 1,556 27,834 34,071
Payments for shares redeemed (5,670) (13,801) (123,201) (306,712)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,481 (3,261) 53,458 (73,017)
----------------- ----------------- ----------------- -----------------
Class Y
Proceeds from shares sold 2,789 18,619 61,101 412,252
Proceeds from reinvestment of
distributions 957 1,220 20,494 26,740
Payments for shares redeemed (2,434) (24,630) (52,730) (541,873)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,312 (4,791) 28,865 (102,881)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 3,831 (8,076) $ 83,124 $ (176,460)
================= ================= ================= =================
</Table>
Notes to Financial Statements 149
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
FIXED INCOME III ----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 140 404 $ 1,466 $ 4,261
Proceeds from reinvestment of
distributions 21 17 220 177
Payments for shares redeemed (102) (399) (1,075) (4,223)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 59 22 611 215
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 10,135 10,228 106,810 107,732
Proceeds from reinvestment of
distributions 1,177 961 12,232 9,979
Payments for shares redeemed (4,301) (13,612) (45,321) (142,123)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 7,011 (2,423) 73,721 (24,412)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 7,070 (2,401) $ 74,332 $ (24,197)
================= ================= ================= =================
</Table>
<Table>
<Caption>
EMERGING MARKETS
Class C
Proceeds from shares sold 431 1,750 $ 5,041 $ 14,145
Proceeds from reinvestment of
distributions 27 -- 295 --
Payments for shares redeemed (132) (1,316) (1,564) (10,531)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 326 434 3,772 3,614
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 245 919 3,027 7,634
Proceeds from reinvestment of
distributions 22 1 254 10
Payments for shares redeemed (155) (921) (1,897) (7,838)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 112 (1) 1,384 (194)
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 8,489 13,237 103,071 110,203
Proceeds from reinvestment of
distributions 638 112 7,205 885
Payments for shares redeemed (5,285) (13,605) (63,798) (115,494)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,842 (256) 46,478 (4,406)
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 4,280 177 $ 51,634 $ (986)
================= ================= ================= =================
</Table>
150 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
REAL ESTATE SECURITIES ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 383 471 $ 14,131 $ 14,334
Proceeds from reinvestment of
distributions 19 29 727 873
Payments for shares redeemed (119) (127) (4,384) (3,737)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 283 373 10,474 11,470
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 142 202 5,313 6,382
Proceeds from reinvestment of
distributions 11 19 415 585
Payments for shares redeemed (76) (134) (2,856) (4,089)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 77 87 2,872 2,878
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 5,187 8,676 193,462 266,549
Proceeds from reinvestment of
distributions 343 746 13,394 22,895
Payments for shares redeemed (3,318) (7,603) (124,121) (229,269)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,212 1,819 82,735 60,175
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,572 2,279 $ 96,081 $ 74,523
================= ================= ================= =================
</Table>
<Table>
<Caption>
SHORT TERM BOND
Class C
Proceeds from shares sold 541 2,032 $ 10,362 $ 38,752
Proceeds from reinvestment of
distributions 7 22 127 412
Payments for shares redeemed (622) (721) (11,874) (13,733)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (74) 1,333 (1,385) 25,431
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 258 659 4,943 12,587
Proceeds from reinvestment of
distributions 8 21 145 397
Payments for shares redeemed (132) (537) (2,521) (10,255)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 134 143 2,567 2,729
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 11,294 33,169 216,137 632,686
Proceeds from reinvestment of
distributions 231 611 4,412 11,625
Payments for shares redeemed (9,150) (15,043) (175,076) (287,186)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,375 18,737 45,473 357,125
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,435 20,213 $ 46,655 $ 385,285
================= ================= ================= =================
</Table>
Notes to Financial Statements 151
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
SELECT GROWTH ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 365 289 $ 2,572 $ 1,782
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (110) (69) (780) (379)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 255 220 1,792 1,403
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 133 238 976 1,575
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (44) (77) (325) (458)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 89 161 651 1,117
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 1,678 1,424 12,518 8,243
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (230) (309) (1,721) (1,742)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,448 1,115 10,797 6,501
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,234 2,268 16,277 13,901
Proceeds from reinvestment of
distributions -- -- -- --
Payments for shares redeemed (1,478) (843) (11,003) (4,812)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 756 1,425 5,274 9,089
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 2,548 2,921 $ 18,514 $ 18,110
================= ================= ================= =================
</Table>
152 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (amounts in thousands) (continued)
<Table>
<Caption>
SHARES DOLLARS
------------------------------------- -------------------------------------
2004 2003 2004 2003
SELECT VALUE ----------------- ----------------- ----------------- -----------------
Class C
Proceeds from shares sold 533 395 $ 5,162 $ 2,973
Shares issued in connection with
acquisition of Equity Income Fund -- 523 -- 4,583
Proceeds from reinvestment of
distributions 1 -- 8 2
Payments for shares redeemed (159) (85) (1,552) (668)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 375 833 3,618 6,890
----------------- ----------------- ----------------- -----------------
Class E
Proceeds from shares sold 70 382 686 3,038
Shares issued in connection with
acquisition of Equity Income Fund -- 144 -- 1,273
Proceeds from reinvestment of
distributions 2 4 22 29
Payments for shares redeemed (87) (114) (865) (974)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (15) 416 (157) 3,366
----------------- ----------------- ----------------- -----------------
Class I
Proceeds from shares sold 1,969 1,054 19,544 6,240
Shares issued in connection with
acquisition of Equity Income Fund -- 4,359 -- 38,574
Proceeds from reinvestment of
distributions 35 33 337 267
Payments for shares redeemed (1,677) (1,936) (16,528) (14,535)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 327 3,510 3,353 30,546
----------------- ----------------- ----------------- -----------------
Class S
Proceeds from shares sold 2,720 4,346 26,590 32,482
Shares issued in connection with
acquisition of Equity Income Fund -- 7,103 -- 62,787
Proceeds from reinvestment of
distributions 52 42 496 339
Payments for shares redeemed (2,678) (1,581) (26,341) (13,117)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) 94 9,910 745 82,491
----------------- ----------------- ----------------- -----------------
Total increase (decrease) 781 14,669 $ 7,559 $ 123,293
================= ================= ================= =================
</Table>
7. LINE OF CREDIT
Each of the Funds of the Investment Company share in a $75 million revolving
credit facility for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. The Funds are charged an annual commitment fee of .125% on the
average daily unused amount of the aggregate commitment, which is allocated
among each of the Funds. Interest is calculated at the Federal Fund Rate plus
.50% annually. The Funds may borrow up to a maximum of 33.33% of the value of
their net assets under the agreement. The agreement will expire December 22,
2004 and will be reviewed at such time for possible renewal. The Funds did
not have any drawdowns for the period ended April 30, 2004.
Notes to Financial Statements 153
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
8. BENEFICIAL INTEREST
As of April 30, 2004, the following table includes shareholders with shares
of beneficial interest of greater than 10% of the total outstanding shares of
each respective Fund:
<Table>
<Caption>
FUNDS # OF SHAREHOLDERS %
--------------------------------------------------------------------------------
Equity I 1 44.5
Equity II 1 43.5
Equity Q 1 37.9
International 2 49.1
Fixed Income I 1 18.5
Fixed Income III 1 54.1
Emerging Markets 3 47.4
Real Estate Securities 2 32.0
Short Term Bond 3 64.8
Select Growth 2 72.8
Select Value 2 48.0
</Table>
9. ILLIQUID OR RESTRICTED SECURITIES
A Fund may invest a portion of its net assets not to exceed 15% in securities
that are illiquid. Illiquid securities are securities that may not be readily
marketable, and that cannot be sold within seven days in the ordinary course
of business at the approximate amount at which the Fund has valued the
securities. Illiquid and restricted securities may be priced by the Funds
using fair value procedures approved by the Board of Trustees. Restricted
securities are subject to contractual limitations on resale, are often issued
in private placement transactions, and are not registered under the
Securities Act of 1933 (the "Act"). The most common types of restricted
securities are those sold under Rule 144A of the Act and commercial paper
sold under Section 4(2) of the Act. Such restricted securities are not
subject to the 15% limitation if the Adviser, under supervision of the Board
of Trustees, determines that a liquid trading market exists.
Pursuant to guidelines established by the Board of Trustees, the Adviser has
determined that a liquid trading market exists for the following restricted
securities held as of April 30, 2004:
Illiquid Securities
<Table>
<Caption>
COST MARKET VALUE
FUND - % OF NET ASSETS ACQUISITION SHARES COST PER UNIT (000) (000)
SECURITIES DATE OUTSTANDING $ $ $
------------------------------------------------------------------------------------------------------------------------------
Equity I Fund -- 0.0%
Progress Energy, Inc. -- CVO 04/07/04 3,200 0.49 2 1
--------------
1
==============
Select Value Fund -- 0.0%
Progress Energy, Inc. -- CVO 12/01/00 1,300 0.49 1 --
--------------
--
==============
</Table>
154 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Restricted Securities (144A)
<Table>
<Caption>
COST MARKET VALUE
FUND - % OF NET ASSETS ACQUISITION SHARES COST PER UNIT (000) (000)
SECURITIES DATE OUTSTANDING $ $ $
------------------------------------------------------------------------------------------------------------------------------
Fixed Income I Fund -- 0.4%
ABSC NIMs Trust 11/04/03 549,369 98.67 542 552
Asset Backed Funding Corp. NIM Trust 08/22/03 359,045 100.00 359 360
Countrywide Asset-Backed Certificates 02/12/04 374,141 99.89 374 378
Chalet Finance PLC 10/08/03 1,190,000 100.00 1,190 1,191
Chase Funding Net Interest Margin 06/05/03 154,227 99.89 154 154
Chase Funding Net Interest Margin 02/12/04 373,809 99.89 373 377
Crest, Ltd. 11/25/03 1,710,000 100.00 1,710 1,706
--------------
4,718
==============
Fixed Income III Fund -- 0.4%
Argent NIM Trust 12/09/03 76,850 100.00 77 77
Arlington Street CDO, Ltd. 06/04/03 919,938 102.82 946 948
ATA Airlines, Inc. 01/20/04 186,952 85.58 160 164
Chancellor/Triton CBO, Ltd. 11/12/03 217,513 95.98 209 213
Chase Funding Net Interest Margin 02/12/04 72,435 99.87 72 72
Home Equity Asset Trust 02/27/04 45,021 99.55 45 45
OAO Gazprom 04/22/04 100,000 107.62 108 103
--------------
1,622
==============
Short Term Bond Fund -- 0.4%
Alter Moneta Receivables LLC 09/17/03 2,949,191 100.44 2,962 2,939
CS First Boston Mortgage Securities Corp. 09/24/02 834,612 100.00 835 837
--------------
3,776
==============
</Table>
10. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800) 787-7354,
(ii) on the Fund's website at www.russell.com, and (iii) on the Securities
and Exchange Commission's website at www.sec.gov.
Notes to Financial Statements 155
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., and Chairman successor is - Chairman Emeritus, FRIC and
Born July 3, 1932 Emeritus since duly elected RIF
1999 and qualified - Chairman Emeritus, Frank
909 A Street Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF (investment
Chairman of the and qualified - CEO and Chairman of the company)
909 A Street Board since 1999 Board, Russell Fund
Tacoma, Washington Until successor Distributors, Inc. and
98402-1616 is chosen and FRIMCo
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October, 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
156 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee Since Appointed until - 1990 - 2003, President, FRC, 35 None
Phillips, 2002 successor is - 1993 - 2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified. Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty. Limited, Frank
Russell Japan Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 157
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, with Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001 - 2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979 - 2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr. 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
- 1995 to 1999, Hearing
Officer, University of
Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
158 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
INSTITUTIONAL FUNDS
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, with Fund and Principal Occupation(s)
Age, Length of During the
Address Time Served Term of Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 159
INSTITUTIONAL FUNDS
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
Equity I Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Ark Asset Management Co., Inc., New York, NY
Barclays Global Fund Advisors, San Francisco, CA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Marsico Capital Management, LLC, Denver, CO
MFS Institutional Advisors, Inc., Boston, MA
Montag & Caldwell, Inc., Atlanta, GA
Suffolk Capital Management, LLC, New York, NY
Turner Investment Partners, Inc., Berwyn, PA
Equity II Fund
CapitalWorks Investment Partners, LLC, San Diego, CA
David J. Greene and Company, LLC, New York, NY
Delphi Management, Inc., Boston, MA
Goldman Sachs Asset Management, L.P., New York, NY
Jacobs Levy Equity Management, Inc., Florham Park, NJ
Roxbury Capital Management, LLC, Santa Monica, CA
Suffolk Capital Management, LLC, New York, NY
TimesSquare Capital Management, Inc., New York, NY
Equity Q Fund
Aronson + Johnson + Ortiz, LP, Philadelphia, PA
Barclays Global Fund Advisors, San Francisco, CA
Franklin Portfolio Associates, LLC, Boston, MA
Jacobs Levy Equity Management, Inc., Florham Park, NJ
160 Manager, Money Managers and Service Providers
INSTITUTIONAL FUNDS
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
International Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
AQR Capital Management, LLC, New York, NY
Axiom International Investors LLC, Greenwich, CT
Capital International, Inc., Los Angeles, CA
Delaware International Advisers Ltd., London, England
Fidelity Management & Research Company, Boston, MA
Marvin & Palmer Associates, Inc., Wilmington, DE
Mastholm Asset Management, LLC, Bellevue, WA
Oechsle International Advisors, LLC, Boston, MA
The Boston Company Asset Management, LLC, Boston, MA
Emerging Markets Fund
Alliance Capital Management L.P., which acts as money manager to the Fund
through its Bernstein Investment Research and Management Unit, New York, NY
Arrowstreet Capital, Limited Partnership, Cambridge, MA
Foreign & Colonial Emerging Markets Limited, London, England
Genesis Asset Managers Limited, London, England
T. Rowe Price International, Inc., Baltimore, MD
Real Estate Securities Fund
AEW Management and Advisors, L.P., Boston, MA
INVESCO Institutional (N.A.), Inc., which acts as money manager to the Fund
through its INVESCO Real Estate division, Dallas, TX
RREEF America L.L.C., Chicago, IL
Short Term Bond Fund
Merganser Capital Management L.P., Cambridge, MA
Pacific Investment Management Company LLC, Newport Beach, CA
STW Fixed Income Management, Santa Barbara, CA
Fixed Income I Fund
Lincoln Capital Fixed Income Management Company, Chicago, IL
Pacific Investment Management Company LLC, Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
Fixed Income III Fund
Delaware Management Company, a series of Delaware Management Business Trust,
Philadelphia, PA
Morgan Stanley Investment Management Inc., West Conshohocken, PA
Pacific Investment Management Company LLC, Newport Beach, CA
TimesSquare Capital Management, Inc., New York, NY
Select Growth Fund
Ark Asset Management Co., Inc., New York, NY
CapitalWorks Investment Partners, LLC, San Diego, CA
Fuller & Thaler Asset Management, Inc., San Mateo, CA
TCW Investment Management Company, Los Angeles, CA
Turner Investment Partners, Inc., Berwyn, PA
Select Value Fund
DePrince, Race & Zollo, Inc., Orlando, FL
Iridian Asset Management LLC, Westport, CT
MFS Institutional Advisors, Inc., Boston, MA
Systematic Financial Management, L.P., Teaneck, NJ
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 161
(This page intentionally left blank)
(RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-068 (1 04/04)
RUSSELL FUNDS
FRANK RUSSELL INVESTMENT COMPANY
(MOUNTAIN BACKGROUND GRAPHIC)
2004 SEMIANNUAL REPORT
CLASS A AND B SHARES
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
APRIL 30, 2004
(RUSSELL LOGO)
Frank Russell Investment Company
Frank Russell Investment Company is a "series mutual fund" with 30 different
investment portfolios. These financial statements report on one Fund, which has
distinct investment objectives and strategies.
Frank Russell Investment Management Company
Responsible for overall management and administration of the Funds.
Frank Russell Company
Consultant to Frank Russell Investment Management Company.
[Blank Page]
Frank Russell Investment Company
Russell Multi-Manager Principal Protected Fund
Semiannual Report
April 30, 2004 (Unaudited)
Table of Contents
<Table>
<Caption>
Page
Schedule of Investments.............................................. 3
Notes to Schedules of Investments.................................... 6
Statement of Assets and Liabilities.................................. 7
Statement of Operations.............................................. 8
Statement of Changes in Net Assets................................... 9
Financial Highlights - Class A....................................... 10
Financial Highlights - Class B....................................... 11
Notes to Financial Statements........................................ 12
Disclosure of Information about Fund Directors....................... 19
Manager, Money Managers and Service Providers........................ 23
</Table>
Frank Russell Investment Company - Russell Multi-Manager Principal Protected
Fund
Copyright (c) Frank Russell Company 2004. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. Frank Russell Company and Standard & Poor's
Corporation are the owners of the trademarks, service marks, and copyrights
related to their respective indexes. This material must be accompanied or
preceded by a current Frank Russell Investment Company Prospectus containing
complete information concerning the investment objectives and operations of the
Company, charges, and expenses. The Prospectus should be read carefully before
an investment is made. Performance is reported net of investment advisory fees
but gross of investment services fees, descriptions of which can be obtained
from the investment advisor. Investment services fees and other account expenses
will reduce performance (e.g., an investment services fee of 0.2% of average
managed assets will reduce a 10.0% return to 9.8%). The performance quoted
represents past performance and the investment return and principal value of an
investment will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. Russell Fund Distributors, Inc., is the
distributor of Frank Russell Investment Company.
[Blank Page]
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
COMMON STOCKS - 29.7%
Auto and Transportation - 1.5%
Canadian National Railway Co. 1,113 42
CSX Corp. 1,863 57
Delta Air Lines, Inc. 3,639 23
FedEx Corp. 1,850 133
Harley-Davidson, Inc. 3,130 176
Magna International, Inc. Class A 1,900 150
Southwest Airlines Co. 12,800 183
Union Pacific Corp. 3,767 222
United Parcel Service, Inc. Class B 3,060 215
------------
1,201
------------
Consumer Discretionary - 4.0%
Accenture, Ltd. Class A (AE) 5,100 121
Aramark Corp. Class B 1,000 29
Clear Channel Communications, Inc. 6,151 255
Eastman Kodak Co. 851 22
EchoStar Communications Corp. (AE) 5,150 171
Fox Entertainment Group, Inc. Class A (AE) 4,430 123
Gap, Inc. (The) 6,758 149
Gillette Co. (The) 1,698 69
Home Depot, Inc. 2,450 86
Kimberly-Clark Corp. 756 49
Kohl's Corp. (AE) 6,450 270
McDonald's Corp. 3,220 88
New York Times Co. Class A 6,030 276
Newell Rubbermaid, Inc. 1,789 42
Nike, Inc. Class B 933 67
Target Corp. 8,666 376
Time Warner, Inc. 8,024 135
TJX Cos., Inc. 8,040 198
Tribune Co. 2,676 128
Viacom, Inc. Class B 5,815 225
Walt Disney Co. 12,582 290
Waste Management, Inc. 3,075 87
------------
3,256
------------
Consumer Staples - 2.5%
Altria Group, Inc. 3,990 221
Coca-Cola Co. (The) 3,600 182
Colgate-Palmolive Co. 3,120 181
CVS Corp. 5,760 223
General Mills, Inc. 4,188 204
HJ Heinz Co. 806 31
Kellogg Co. 1,968 84
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Kraft Foods, Inc. Class A 4,672 154
Kroger Co. 2,402 42
PepsiCo, Inc. 6,890 375
Procter & Gamble Co. 3,400 360
------------
2,057
------------
Financial Services - 5.5%
Allstate Corp. (The) 508 23
American Express Co. 3,130 153
American International Group, Inc. 8,332 598
Bank of America Corp. 3,581 288
Bank of New York Co., Inc. (The) 2,554 74
Bank One Corp. 9,727 480
Cigna Corp. 736 47
Citigroup, Inc. 15,856 764
Countrywide Financial Corp. 1,000 59
Fannie Mae 5,380 370
Fiserv, Inc. (AE) 2,320 85
Golden West Financial Corp. 810 85
Hartford Financial Services Group, Inc. 1,133 69
JP Morgan Chase & Co. 1,240 47
Legg Mason, Inc. 1,000 92
Lehman Brothers Holdings, Inc. 1,000 73
Mellon Financial Corp. 3,785 112
Merrill Lynch & Co., Inc. 6,609 358
State Street Corp. 2,320 113
US Bancorp 1,891 48
Wachovia Corp. 2,233 102
Wells Fargo & Co. 8,692 491
------------
4,531
------------
Health Care - 3.8%
Abbott Laboratories 6,072 267
Allergan, Inc. 1,420 125
Baxter International, Inc. 8,188 259
Bristol-Myers Squibb Co. 1,808 45
Cardinal Health, Inc. 1,246 91
CR Bard, Inc. 1,800 191
Eli Lilly & Co. 1,010 75
Genzyme Corp. (AE) 4,640 202
Gilead Sciences, Inc. (AE) 1,410 86
Guidant Corp. 3,610 227
Johnson & Johnson 10,600 573
Merck & Co., Inc. 2,810 132
Novartis AG - ADR 5,027 225
Pfizer, Inc. 931 33
Roche Holding AG - ADR 1,000 105
</Table>
Schedule of Investments 3
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Schering-Plough Corp. 7,139 119
Wyeth 8,491 323
------------
3,078
------------
Integrated Oils - 1.2%
BP PLC - ADR 2,473 131
ConocoPhillips 3,400 242
Exxon Mobil Corp. 10,607 451
Unocal Corp. 5,150 186
------------
1,010
------------
Materials and Processing - 1.8%
Alcoa, Inc. 3,012 93
Archer-Daniels-Midland Co. 1,581 28
Barrick Gold Corp. 2,403 46
Dow Chemical Co. (The) 5,150 204
EI Du Pont de Nemours & Co. 6,222 267
International Paper Co. 3,410 137
Monsanto Co. 4,371 151
Newmont Mining Corp. 2,489 93
Potash Corp. of Saskatchewan 515 42
PPG Industries, Inc. 1,490 88
Praxair, Inc. 8,364 306
Rohm & Haas Co. 1,330 52
------------
1,507
------------
Miscellaneous - 1.3%
Eaton Corp. 3,822 227
General Electric Co. 22,008 660
Honeywell International, Inc. 337 12
Tyco International, Ltd. 4,596 126
------------
1,025
------------
Other Energy - 0.9%
Baker Hughes, Inc. 3,354 123
EOG Resources, Inc. 1,500 74
GlobalSantaFe Corp. 1,271 34
Halliburton Co. 6,760 201
Noble Corp. (AE) 2,750 102
Schlumberger, Ltd. 3,773 221
------------
755
------------
Producer Durables - 2.0%
Caterpillar, Inc. 2,300 179
Deere & Co. 3,061 208
Emerson Electric Co. 1,062 64
Illinois Tool Works, Inc. 2,967 256
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
Lexmark International, Inc. (AE) 900 81
Lockheed Martin Corp. 5,660 270
Novellus Systems, Inc. (AE) 2,420 70
Parker Hannifin Corp. 529 29
Teradyne, Inc. (AE) 1,241 25
United Technologies Corp. 4,210 363
Xerox Corp. 8,084 109
------------
1,654
------------
Technology - 3.2%
Agere Systems, Inc. Class B (AE) 12,000 26
Analog Devices, Inc. 4,025 171
Apple Computer, Inc. 4,990 128
Cisco Systems, Inc. (AE) 18,480 386
Corning, Inc. 3,550 39
Dell, Inc. (AE) 6,230 216
EMC Corp. 16,182 181
Hewlett-Packard Co. 2,310 46
Intel Corp. 9,570 246
Microsoft Corp. 20,980 545
Motorola, Inc. 11,352 207
Nortel Networks Corp. 22,639 85
Solectron Corp. (AE) 6,159 30
Texas Instruments, Inc. 5,800 146
Veritas Software Corp. (AE) 4,700 125
------------
2,577
------------
Utilities - 2.0%
BellSouth Corp. 1,405 36
Comcast Corp. Class A 5,970 180
Comcast Corp. Special Class A 4,839 140
Constellation Energy Group, Inc. 1,162 45
COX Communications, Inc. Class A (AE) 1,389 45
Dominion Resources, Inc. 3,230 206
Exelon Corp. 2,630 176
FPL Group, Inc. 927 59
Progress Energy, Inc. 2,096 90
SBC Communications, Inc. 3,417 85
Southern Co. (The) 652 19
Sprint Corp.-FON Group 9,445 169
Verizon Communications, Inc. 5,048 191
Vodafone Group PLC - ADR 8,126 199
------------
1,640
------------
TOTAL COMMON STOCKS
(cost $21,692) 24,291
------------
</Table>
4 Schedule of Investments
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
SCHEDULE OF INVESTMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands (except share amounts)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT ($) VALUE
OR SHARES $
- -----------------------------------------------------------------------------
LONG-TERM DEBT OBLIGATIONS - 65.8%
United States Government Treasuries - 65.8%
United States Treasury STRIP Coupon
0.00% due 02/15/08 49,405 43,668
0.00% due 05/15/08 11,705 10,214
------------
TOTAL LONG-TERM DEBT OBLIGATIONS
(cost $55,098) 53,882
------------
SHORT-TERM INVESTMENTS - 4.8%
Frank Russell Investment Company Money Market
Fund 359,000 359
Frank Russell Investment Company US Government
Money Market Fund 3,185,000 3,185
United States Treasury Bill (c)(y)(s) 0.935% due
06/10/04 380 380
------------
TOTAL SHORT-TERM INVESTMENTS
(cost $3,924) 3,924
------------
TOTAL INVESTMENTS - 100.3%
(identified cost $80,714) 82,097
OTHER ASSETS AND LIABILITIES, NET - (0.3%) (281)
------------
NET ASSETS - 100.0% 81,816
============
<Caption>
Unrealized
Notional Appreciation
FUTURES CONTRACTS Amount (Depreciation)
(Number of Contracts) $ $
- -------------------------------------------------------------------------------
Long Positions
S&P 500 Index
expiration date 06/04 (7) 1,936 (60)
United States Treasury 5 Year Notes
expiration date 06/04 (10) 1,099 (7)
------------
Total Unrealized Appreciation (Depreciation) on
Open Futures Contracts (67)
============
</Table>
See accompanying notes which are an integral part of the financial statements.
Schedule of Investments 5
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO SCHEDULE OF INVESTMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
FOOTNOTES:
(AE) Nonincome-producing security.
(o) Real Estate Investment Trust (REIT).
(s) Held as collateral in connection with futures contracts purchased (sold)
or options written by the Fund.
(y) Rate noted is yield-to-maturity from date of acquisition.
(c) At amortized cost, which approximates market.
(+) This security has been valued by the Security Valuation Committee,
delegated by the Board of Trustees. It is possible that the estimated
value may differ significantly from the amount that might ultimately be
realized.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
ADS - American Depositary Share
CMO - Collateralized Mortgage Obligation
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
FDIC - Federal Deposit Insurance Company
STRIP - Separate Trading of Registered Interest and Principal of Securities
6 Notes to Schedule of Investments
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
STATEMENT OF ASSETS AND LIABILITIES -- APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
- --------------------------------------------------------------------------------
<Table>
ASSETS
Investments at market (identified cost $80,714)..................................... $ 82,097
Receivables:
Dividends and interest........................................................... 29
Investments sold................................................................. 272
From Advisor..................................................................... 77
Daily variation margin on futures contracts...................................... 2
----------------------
Total assets........................................................................ 82,477
----------------------
LIABILITIES
Payables:
Due to Custodian......................................... $ 35
Investments purchased.................................... 371
Fund shares redeemed..................................... 61
Accrued fees to affiliates............................... 134
Other accrued expenses................................... 46
Daily variation margin on futures contracts.............. 14
--------------------
Total liabilities................................................................... 661
----------------------
NET ASSETS.......................................................................... $ 81,816
======================
Net Assets Consist of:
Accumulated net investment loss..................................................... $ (241)
Accumulated net realized gain (loss)................................................ 992
Unrealized appreciation (depreciation) on:
Investments................................................................... 1,383
Futures contracts............................................................. (67)
Shares of beneficial interest....................................................... 80
Additional paid-in capital.......................................................... 79,669
----------------------
NET ASSETS.................................................. $ 81,816
======================
NET ASSET VALUE, per share:
Class A ($2,848,679 divided by 276,715 shares of $.01 par value shares of
beneficial interest outstanding)............................................... $ 10.29
======================
Class B ($78,966,887 divided by 7,738,257 shares of $.01 par value shares of
beneficial interest outstanding)............................................... $ 10.20
======================
</Table>
See accompanying notes which are an integral part of the financial statements.
Statement of Assets and Liabilities 7
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
STATEMENT OF OPERATIONS -- FOR THE PERIOD ENDED APRIL 30, 2004 (UNAUDITED)
Amounts in thousands
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME
Dividends........................................................................ $ 222
Dividends from affiliated money market funds..................................... 2
Interest......................................................................... 759
----------------------
Total investment income............................................................. 983
EXPENSES
Advisory fees............................................ $ 382
Administrative fees...................................... 22
Custodian fees........................................... 55
Distribution fees - Class B.............................. 314
Transfer agent fees...................................... 54
Professional fees........................................ 18
Registration fees........................................ 16
Shareholder servicing fees - Class A..................... 4
Shareholder servicing fees - Class B..................... 105
Trustees' fees........................................... 1
Insurance policy fees.................................... 325
Printing fees............................................ 1
Amortization of offering costs........................... 21
Miscellaneous............................................ 7
--------------------
Expenses before reductions............................... 1,325
Expense reductions....................................... (101)
--------------------
Net expenses........................................................................ 1,224
----------------------
Net investment income (loss)........................................................ (241)
----------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments.............................................. 940
Futures contracts........................................ 166 1,106
--------------------
Net change in unrealized appreciation (depreciation) on:
Investments.............................................. (248)
Futures contracts........................................ (115) (363)
-------------------- ----------------------
Net realized and unrealized gain (loss)............................................. 743
----------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS............................... $ 502
======================
</Table>
See accompanying notes which are an integral part of the financial statements.
8 Statement of Operations
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS
ENDED FISCAL YEAR
APRIL 30, 2004 ENDED
AMOUNTS IN THOUSANDS (UNAUDITED) OCTOBER 31, 2003*
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)............................. $ (241) $ (291)
Net realized gain (loss)................................. 1,106 1,008
Net change in unrealized appreciation (depreciation)..... (363) 1,679
-------------------- ----------------------
Net increase (decrease) in net assets from
operations........................................... 502 2,396
-------------------- ----------------------
DISTRIBUTIONS
From net investment income
Class A............................................... -- (1)
From net realized gain
Class A............................................... (29) --
Class B............................................... (801) --
-------------------- ----------------------
Net decrease in net assets from distributions......... (830) (1)
-------------------- ----------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions........................................... (7,452) 87,201
-------------------- ----------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................. (7,780) 89,596
NET ASSETS
Beginning of period...................................... 89,596 --
-------------------- ----------------------
End of period (including accumulated net investment loss
of $241 at April 30, 2004)............................. $ 81,816 $ 89,596
==================== ======================
</Table>
* For the period January 21, 2003 (commencement of operations) to October
31, 2003.
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 9
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
FINANCIAL HIGHLIGHTS - CLASS A
For a Share Outstanding Throughout each Period.
<Table>
<Caption>
2004* 2003**
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.31 $ 10.00
-------------------- ----------------------
INCOME FROM OPERATIONS
Net investment income (loss) (a)......................... .01 .02
Net realized and unrealized gain (loss).................. (.01) .29
-------------------- ----------------------
Total income (loss) from operations................... -- .31
-------------------- ----------------------
DISTRIBUTIONS
From net investment income (b)........................... -- --
From net realized gain................................... (.02) --
-------------------- ----------------------
Total distributions................................... (.02) --
-------------------- ----------------------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.29 $ 10.31
==================== ======================
TOTAL RETURN (%) (c)(d)..................................... .75 3.17
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)................. 2,849 3,521
Ratios to average net assets (%) (e):
Operating expenses, net (f)........................... 2.10 2.02
Operating expenses, gross............................. 2.33 2.24
Net investment income (loss).......................... .17 .27
Portfolio turnover rate (%) (c).......................... 12.23 38.14
</Table>
* For the six months ended April 30, 2004 (Unaudited).
** For the period January 21, 2003 (commencement of operations) to October
31, 2003.
(a) Average month-end shares were used for this calculation.
(b) Less than $.01 per share for the period ended October 31, 2003.
(c) Periods less than one year are not annualized.
(d) Excludes the effects of sales charges. If sales charges were included, the
total return would be lower.
(e) The ratios for periods less than one year are annualized.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
10 Financial Highlights
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
FINANCIAL HIGHLIGHTS - CLASS B
For a Share Outstanding Throughout each Period.
<Table>
<Caption>
2004* 2003**
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.26 $ 10.00
-------------------- ----------------------
INCOME FROM OPERATIONS
Net investment income (loss) (a)......................... (.03) (.04)
Net realized and unrealized gain (loss).................. (.01) .30
-------------------- ----------------------
Total income (loss) from operations................... (.04) .26
-------------------- ----------------------
DISTRIBUTIONS
From net investment income (b)........................... -- --
From net realized gain................................... (.02) --
-------------------- ----------------------
Total distributions................................... (.02) --
-------------------- ----------------------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.20 $ 10.26
==================== ======================
TOTAL RETURN (%) (c)(d)..................................... .36 2.60
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)................. 78,967 86,075
Ratios to average net assets (%) (e):
Operating expenses, net (f)........................... 2.85 2.79
Operating expenses, gross............................. 3.08 3.01
Net investment income (loss).......................... (.58) (.49)
Portfolio turnover rate (%) (c).......................... 12.23 38.14
</Table>
* For the six months ended April 30, 2004 (Unaudited).
** For the period January 21, 2003 (commencement of operations) to October
31, 2003.
(a) Average month-end shares were used for this calculation.
(b) Less than $.01 per share for the period ended October 31, 2003.
(c) Periods less than one year are not annualized.
(d) Excludes the effects of sales charges. If sales charges were included, the
total return would be lower.
(e) The ratios for periods less than one year are annualized.
(f) May include amounts waived and/or reimbursed by the investment advisor and
for certain funds, custody credit arrangements. The custody credit
arrangements had an impact of less than .005%.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 11
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Frank Russell Investment Company (the "Investment Company") is a series
mutual fund with 30 different investment portfolios referred to as "Funds."
These financial statements report on one Fund, which has a distinct
investment objective and strategy. The Investment Company is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. It is organized and operates as a
Massachusetts business trust under an amended master trust agreement dated
July 26, 1984. The Investment Company's master trust agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.01 par value.
The Fund has an Offering Period, a Guarantee Period and a Post Guarantee
Period. Shares of the Fund were offered during the Offering Period but are
not offered during the Guarantee Period, except in connection with
reinvestment of distributions and dividends. Shares of the Fund will be
offered on a continuous basis during the Post Guarantee Period without the
principal protection feature. During the Guarantee Period, the Fund seeks
some capital growth, while seeking to preserve principal. As of April 30,
2004, the Fund's allocation to equity securities was approximately 30% and
the Fund's allocation to fixed income securities was approximately 70% of
total net assets. Provided that all dividends and distributions received from
the Fund have been reinvested and no shares have been redeemed by a
shareholder, the Fund guarantees that the amount distributed, if any, to each
shareholder at the end of the Guarantee Period will be no less than the value
of that shareholder's investment as of the inception of the Guarantee Period
less certain expenses. Certain extraordinary expenses which are not covered
by the Expense Limitation Agreement, such as litigation and other expenses
not incurred in the ordinary course of the Fund's business, will reduce the
Guarantee Amount. The Fund's Guarantee is backed by an unconditional and
irrevocable financial guarantee from Ambac Assurance Corporation ("Ambac"), a
financial guarantor and an operating subsidiary of Ambac Financial Group,
Inc., pursuant to a financial guarantee insurance policy issued by Ambac for
the benefit of the shareholders of the Fund. The Fund will pay to Ambac a fee
equal to 0.75% per annum of the average daily net assets of the Fund during
the Guarantee Period for providing the financial guarantee insurance policy.
If the value of a shareholders account is less than the Guaranteed Amount on
the Guarantee Maturity Date, the fund will be unable to meet its obligations
under the Guarantee. If the fund is unable to meet its obligations under the
Guarantee on the Guarantee Maturity Date, the insurance policy requires Ambac
to pay the fund an amount sufficient to ensure that all shareholders would be
able to redeem their shares on the Guarantee Maturity Date for an amount
equal to their respective Guaranteed Amounts on the Guarantee Maturity Date.
During the Post Guarantee Period, which will commence immediately following
the Guarantee Period, the Fund seeks long-term growth of capital through
investments primarily in common stocks and other equity securities. The
following table presents the time periods of the Fund's three phases:
<Table>
Offering Period 01/21/03 - 02/27/03
Guarantee Period 03/03/03 - 03/03/08
Post Guarantee Period Commencement 03/04/08
</Table>
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP") which
require the use of management estimates. The following is a summary of the
significant accounting policies consistently followed by the Fund in the
preparation of these financial statements.
Security valuation
United States equity securities listed and traded principally on any national
securities exchange are valued on the basis of the last sale price or,
lacking any sale, at the last reported pricing service price, on the primary
exchange on which the security is traded.
Fixed-income securities listed and traded principally on any national
securities exchange are valued at the evaluated bid price or, if there were
no sales on that day, at the last reported bid price, on the primary exchange
on which the security is traded. Over-the-counter fixed-income securities are
valued on the basis of the evaluated bid. Many fixed-income securities do not
trade each day, and thus last sale or bid prices are frequently not
available. Accordingly, fixed-income securities may be valued using prices
provided by a pricing service approved by the Board of Trustees when such
prices are believed to reflect the market value of such securities.
12 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Futures contracts are valued on the basis of the last sale price. Exchange
listed futures contracts are valued on a basis of the last quoted daily
settlement prices established by the exchange on which they trade. If there
were no sales, futures are valued at the last reported bid price.
Investments in other mutual funds are valued at their net asset value per
share, calculated at the close of business.
The value of swap agreements are equal to the Fund's obligation (or rights)
under swap contracts which will generally be equal to the net amounts to be
paid or received under the contracts based upon the relative values of the
positions held by each party to the contracts.
Equity securities traded over-the-counter are valued on the basis of the
official closing price, or, lacking the official closing price, at the last
sale price on the primary exchange on which the security is traded.
Short-Term investments purchased by the Fund and maturing within 60 days at
the time of purchase are valued at "amortized cost" unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
Investment transactions
Securities transactions are recorded on a trade date basis. Realized gains
and losses from securities transactions are recorded on the basis of specific
identified cost incurred by each money manager within a particular Fund.
Investment income
Dividend income is recorded on the ex-dividend date and interest income is
recorded on the accrual basis. All premiums and discounts, including original
issue discounts, are amortized/accreted using the interest method.
Federal income taxes
Since the Investment Company is a Massachusetts business trust, each Fund is
a separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income and capital gains. Therefore, no federal
income or excise tax provision was required for the Fund.
Dividends and distributions to shareholders
Income, dividends and capital gain distributions, if any, are recorded on the
ex-dividend date. Dividends and capital gain distributions are generally
declared and paid annually. An additional distribution may be paid by the
Fund to avoid imposition of federal income tax on any remaining undistributed
capital gains and net investment income.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from GAAP. As a result, net investment income and net realized
gain (or loss) on investments for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP primarily relate to investments in futures, wash sale
deferrals, certain securities sold at a loss, and by recording gains and
losses from securities transactions on the basis of specific identified cost
incurred by each money manager for financial reporting purposes and on the
basis of specific identified cost incurred by the Fund for tax purposes.
Expenses
The Fund will pay its own expenses other than those expressly assumed by
Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most
expenses can be directly attributed to the individual Fund. Expenses which
cannot be directly attributed to a specific Fund are allocated among all
Funds principally based on their relative net assets.
Notes to Financial Statements 13
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Class Allocation
The Fund offers the following classes of shares: Class A and Class B. All
share classes have identical voting, dividend, liquidation and other rights
and the same terms and conditions. The separate classes of shares differ
principally in the applicable sales charges, distribution fees and
shareholder servicing fees. Class B Shares were purchased at net asset value
without paying an initial sales charge. However, if a shareholder redeems his
or her Class B Shares within five years of the purchase date, the shareholder
will pay a deferred sales charge calculated as a percentage of NAV at time of
purchase. Shareholders of each class bear certain expenses that pertain to
that particular class. Realized and unrealized gains (losses), net investment
income, and expenses with the exception of class level expenses, are
allocated daily to each class of Shares based upon the relative proportion of
net assets of each class. Class B Shares, along with their pro rata
reinvested dividend shares, automatically convert to Class A Shares eight
years after purchase.
Derivatives
To the extent permitted by the investment objectives, restrictions and
policies set forth in the Fund's Prospectus and Statement of Additional
Information, the Fund may participate in various derivative-based
transactions. Derivative securities are instruments or agreements whose value
is derived from an underlying security or index. They include options,
futures, swaps, forwards, structured notes and stripped securities. These
instruments offer unique characteristics and risks that assist the Fund in
meeting its investment strategies.
The Fund typically uses derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may be
used by the Fund through the use of options and futures to earn "market-like"
returns with its excess and liquidity reserve cash balances. Hedging is used
by the Fund to limit or control risks, such as adverse movements in exchange
rates and interest rates. Return enhancement can be accomplished through the
use of derivatives in a Fund. By purchasing certain instruments, the Fund may
more effectively achieve the desired portfolio characteristics that assist
the Fund in meeting its investment objectives. Depending on how the
derivatives are structured and utilized, the risks associated with them may
vary widely. These risks are generally categorized as market risk, liquidity
risk and counterparty or credit risk.
Options
The Fund may purchase and sell (write) call and put options on securities and
securities indices, provided such options are traded on a national securities
exchange or in an over-the-counter market.
When the Fund writes a covered call or a put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the current market
value of the option written. The Fund receives a premium on the sale of a
call option but gives up the opportunity to profit from any increase in stock
value above the exercise price of the option, and when the Fund writes a put
option it is exposed to a decline in the price of the underlying security.
If an option which the Fund has written either expires on its stipulated
expiration date or the Fund enters into a closing purchase transaction, the
Fund realizes a gain (or loss, if the cost of a closing purchase transaction
exceeds the premium received when the option was sold) without regard to any
unrealized gain or loss on the underlying security, and the liability related
to such option is extinguished. If a call option which the Fund has written
is exercised, the Fund realizes a capital gain or loss from the sale of the
underlying security, and the proceeds from such sale are increased by the
premium originally received. When a put option which a Fund has written is
exercised, the amount of the premium originally received will reduce the cost
of the security which a Fund purchases upon exercise of the option. Realized
gains (losses) on purchased options are included in net realized gain (loss)
from investments.
The Fund's use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets and
Liabilities. The face or contract amounts of these instruments reflect the
extent of the Fund's exposure to market risk. The risks may be caused by an
imperfect correlation between movements in the price of the instrument and
the price of the underlying securities and interest rates.
Futures Contracts
The Fund utilizes futures contracts to manage allocations between equity and
fixed-income weightings. The face or contract amounts of these instruments
reflect the extent of the Fund's exposure to market risk. The primary risks
associated with the use
14 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
of futures contracts are an imperfect correlation between the change in
market value of the securities held by the Fund and the prices of futures
contracts, and the possibility of an illiquid market. Upon entering into a
futures contract, the Funds are required to deposit with a broker an amount,
termed the initial margin, which typically represents 5% of the purchase
price indicated in the futures contract. Payments to and from the broker,
known as variation margin, are required to be made on a daily basis as the
price of the futures contract fluctuates. Changes in initial settlement value
are accounted for as unrealized appreciation (depreciation) until the
contracts are terminated, at which time realized gains and losses are
recognized.
Swap Agreements
The Fund may enter into swap agreements as an additional equitization vehicle
for uninvested cash balances held by the Fund or to effect investment
transactions consistent with the Fund's investment objectives and strategies.
Swap agreements are two party contracts entered into primarily by
institutional investors for periods ranging from a few weeks to more than one
year. In a standard swap transaction, the two parties agree to exchange the
returns (or differentials in rates of return) earned or realized on
particular investments or instruments. The returns to be exchanged between
the parties are calculated with respect to a "notional amount" (i.e. a
specified dollar amount that is hypothetically invested in a "basket" of
securities representing a particular index). Amounts paid to and received
from the swap counterparties representing capital appreciation and
depreciation on the underlying securities and accrued interest expense and
interest income are recorded as net realized gain (loss). The Fund is exposed
to credit risk in the event of non-performance by the swap counterparties;
however, the Fund does not anticipate non-performance by the counterparties.
Guarantees
In the normal course of business the Fund enters into contracts that contain
a variety of representations which provide general indemnifications. The
Fund's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet
occurred. However, the Fund expects the risk of loss to be remote.
3. INVESTMENT TRANSACTIONS
Securities
During the period ended April 30, 2004, purchases and sales of investment
securities (excluding US Government and Agency obligations, short-term
investments, options, futures and repurchase agreements) were $9,841,250 and
$9,604,707, respectively. Purchases and sales of US Government and Agency
obligations (excluding short-term instruments, options, futures and
repurchase agreements) were $0 and $7,512,183 respectively. Under the
Financial Guarantee Agreement with Ambac, the Fund has certain restrictions
with respect to the type, weighting, and duration of securities for which it
may enter into transactions.
Securities Lending
The Investment Company has a securities lending program whereby each Fund can
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (US currency), US Government or US Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is collateralized by cash, such collateral shall be invested by
the securities lending agent, State Street Bank and Trust Company ("State
Street"), in short-term instruments, money market mutual funds, and such
other short-term investments, provided the investments meet certain quality
and diversification requirements. The collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. Income generated from the investment of cash
collateral, less negotiated rebate fees paid to participating brokers and
transaction costs, is divided between the Fund and State Street and is
recorded as income for the Fund. To the extent that a loan is secured by
non-cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street and are recorded as securities
lending income for the Fund. All collateral received will be in an amount at
least equal to 102% (for loans of US securities) or 105% (for non-US
securities) of the market value of the loaned securities at the inception of
each loan. Should the borrower of the securities fail financially, there is a
risk of delay in recovery of the securities or loss of rights in the
collateral. Consequently, loans are made only to borrowers which are deemed
to be of good financial standing. There were no outstanding securities on
loan as of April 30, 2004.
Notes to Financial Statements 15
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
4. RELATED PARTIES
Advisor and Administrator
FRIMCo advises and administers the Fund which is a series of the Investment
Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a
wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company.
Frank Russell Company researches and recommends to FRIMCo, and to the
Investment Company, one or more investment management organizations to manage
the portfolio of the Fund.
The Fund is permitted to invest its cash reserves (i.e., monies awaiting
investment in portfolio securities suitable for the Fund's objectives) in the
Frank Russell Investment Company Money Market Fund and the Frank Russell US
Government Money Market Fund (collectively the "Money Market Funds") (two of
the Investment Portfolios of the Investment Company not presented herein). As
of April 30, 2004, $359,000 of the Money Market Fund's net assets represents
investments by this Fund and $1,234,380,105 represents the investments of
other affiliated Funds not presented herein. As of April 30, 2004, $3,185,000
of the US Government Money Market Fund's net assets represents investment by
this Fund.
The advisory and administrative fees are based upon the average daily net
assets of the Fund and the rate specified in the table below. The advisory
and administrative fees are payable monthly and total $381,718 and $21,689,
respectively, for the period ended April 30, 2004.
<Table>
<Caption>
ANNUAL RATE
ADVISOR ADMINISTRATOR
----------------------------------------------------------------------
Guarantee Period 0.88% 0.05%
Post Guarantee Period 0.88 0.05
</Table>
Pursuant to an expense limitation agreement (the "Expense Limitation
Agreement") and subject to possible reimbursement to the investment advisor
within three years, the Fund's investment advisor has contractually agreed to
waive, during the Guarantee Period, up to the full amount of its 0.93%
combined advisory and administrative fees and to reimburse the Fund to the
extent that expenses for Class A and Class B Shares exceed 2.10% and 2.85%,
respectively, of average net assets on an annualized basis. Certain expenses
that are not covered by the Expense Limitation Agreement, such as
extraordinary expenses and other expenses not incurred in the ordinary course
of the Fund's business, will reduce the Guaranteed Amount. The total amount
of the waiver for the period ended April 30, 2004 was $100,666.
To the extent fees are waived by the Advisor, the Fund may reimburse the
Advisor for any reductions in the Fund's expenses during the three years
following the reduction if such reimbursement is requested by the Advisor, if
such reimbursement can be achieved within the specified expense limitation
and if the Board of Trustees approves the reimbursement as not inconsistent
with the best interest of the Fund. At April 30, 2004, the Advisor has not
recouped waivers of $100,666. In addition, there were no reimbursements for
the period ended April 30, 2004.
Custodian
The Fund has entered into arrangements with its Custodian whereby custody
credits realized as a result of uninvested cash balances were used to reduce
a portion of the Fund's expenses. During the period ended April 30, 2004, the
Fund's custodian fees were reduced $88 under these arrangements.
Analytic services
Fees for analytic services provided to the Fund are paid or accrued to
Russell/Mellon Analytical Services, an affiliate of the Investment Company.
Russell/Mellon Analytical Services provides its TruVP System to the Fund,
pursuant to a written Service Agreement. The TruVP System provides analytics
used by the Advisor. During the period ended April 30, 2004, analytic
services fees were $2,290.
Transfer agent
The Investment Company has a contract with FRIMCo to provide transfer agent
services to the Fund. Total fees for the Fund reported herein for the period
ended April 30, 2004 were $53,938.
16 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
Distributor and Shareholder Servicing
The Investment Company has a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to Russell Fund Distributors (the "Distributor")
which is a wholly-owned subsidiary of FRIMCo, or any Selling Agents, as
defined in the Plan, for sales support services provided and related expenses
incurred which were primarily intended to result in the sale of the Class B
Shares subject to the Distribution Plan. The 12b-1 distribution payments
shall not exceed 0.75% of the average daily net assets of a Fund's Class B
Shares on an annual basis.
In addition, the Investment Company has adopted a Shareholder Services Plan
(the "Services Plan") under which the Fund may make payments to the
Distributor or any Servicing Agent for any activities or expenses primarily
intended to assist, support or service the Servicing Agents' clients who
beneficially own Class A and Class B Shares of the Fund. The shareholder
servicing payments shall not exceed 0.25% of the average daily net assets of
a Fund's Class A and Class B Shares on an annual basis.
For the period ended April 30, 2004, the Distributor paid the following
amounts in sales charges:
<Table>
<Caption>
CLASS A CLASS B
--------------------------------------------------------------------------------
Contingent Deferred Sales Charges
(paid) N/A $ 283,986
</Table>
Pursuant to the rules of the National Association of Securities Dealers, Inc.
("NASD"), the aggregate initial sales charges, deferred sales charges and
asset-based sales charges on Shares of the Fund may not exceed 6.25% of total
gross sales, subject to certain exclusions. This 6.25% limitation is imposed
at the class level on each of the Class A Shares and the Class B Shares of
the Fund rather than on a per shareholder basis. Therefore, long-term
shareholders of the Class A and Class B Shares may pay more than the economic
equivalent of the maximum sales charges permitted by the NASD.
Brokerage commissions
The Fund may effect portfolio transactions through Frank Russell Securities,
Inc., an affiliate of the Advisor, when a money manager determines that the
Fund will receive competitive execution, price, and commissions. The amount
retained by Frank Russell Securities, Inc. for the period ended April 30,
2004 was $140. Additionally, the Fund paid brokerage commissions to
non-affiliated brokers who provided brokerage and research services to the
Advisor.
Board of Trustees
The Russell Fund Complex consists of Frank Russell Investment Company
("FRIC"), which has 30 Funds, and Russell Investment Funds ("RIF"), which has
5 Funds. Each of the Trustees is a Trustee for both FRIC and RIF. The Russell
Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer
of $52,000 per year, $5,000 for each regular quarterly meeting attended in
person, $2,000 for each special meeting attended in person, and $2,000 for
each Joint Audit Committee meeting or Nominating and Governance Committee
meeting attended in person. The Trustee will receive a $500 fee for attending
the meetings by phone instead of receiving the full fee had the member
attended in person. Out of pocket expenses are also paid by the Russell Fund
Complex. The Lead Trustee is paid a fee of $10,000 per year, and each
Committee Chair is paid a fee of $6,000 per year.
5. FEDERAL INCOME TAXES
At April 30, 2004, the cost of investments, net unrealized appreciation
(depreciation), undistributed ordinary income and undistributed long-term
capital gains for income tax purposes were as follows:
<Table>
Cost of Investments $ 80,791,389
================
Unrealized Appreciation 2,860,679
Unrealized Depreciation (1,555,264)
----------------
Net Unrealized Appreciation
(Depreciation) $ 1,305,415
================
</Table>
Notes to Financial Statements 17
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FUND SHARE TRANSACTIONS (Amounts in thousands)
Share transactions for the period ended April 30, 2004 and the period January
21, 2003 (commencement of operations) to October 31, 2003 were as follows:
<Table>
<Caption>
SHARES DOLLARS
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED ------------------------------------- -------------------------------------
FUND 2004 2003 2004 2003
----------------- ----------------- ----------------- -----------------
Class A
Proceeds from shares sold -- 487 $ -- $ 4,871
Proceeds from reinvestment of
distributions 3 -- 28 1
Payments for shares redeemed (68) (146) (703) (1,477)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (65) 341 (675) 3,395
----------------- ----------------- ----------------- -----------------
Class B
Proceeds from shares sold -- 8,794 -- 87,942
Proceeds from reinvestment of
distributions 73 -- 754 --
Payments for shares redeemed (724) (405) (7,531) (4,136)
----------------- ----------------- ----------------- -----------------
Net increase (decrease) (651) 8,389 (6,777) 83,806
----------------- ----------------- ----------------- -----------------
Total increase (decrease) (716) 8,730 $ (7,452) $ 87,201
================= ================= ================= =================
</Table>
7. BENEFICIAL INTEREST
As of April 30, 2004, the Fund had no shareholders with shares of beneficial
interest of greater than 10% of the total outstanding shares.
8. SHAREHOLDER REQUESTS FOR OTHER INFORMATION
A description of the policies and procedures that the Fund has adopted to
determine how to vote proxies relating to portfolio securities is available
(i) without charge, upon request, by calling the Fund at (800) 787-7354, (ii)
on the Fund's website at www.russell.com, and (iii) on the Securities and
Exchange Commission's website at www.sec.gov.
18 Notes to Financial Statements
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS -- APRIL 30, 2004 (UNAUDITED)
- --------------------------------------------------------------------------------
The following tables provide information for each officer and trustee of the
Russell Fund Complex. The Russell Fund Complex consists of Frank Russell
Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds
("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and
RIF. The first table provides information for trustees who are interested
trustees. The second table provides information for the independent trustees.
The third table provides information for the officers.
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, With Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES AND INTERESTED TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
*George F. Russell, Trustee Emeritus Appointed until - Director Emeritus, FRC 35 None
Jr., and Chairman successor is - Chairman Emeritus, FRIC and
Born July 3, 1932 Emeritus since duly elected RIF
1999 and qualified - Chairman Emeritus, Frank
909 A Street Russell Securities, Inc.
Tacoma, Washington - Chairman Emeritus, Russell
98402-1616 20/20 Association
- Chairman Emeritus, Frank
Russell Trust Company
- Director Emeritus FRIMCo
- Chairman of Sunshine
Management Services, LLC
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Lynn L. Anderson, Trustee since Appointed until - Vice Chairman, FRC 35 - Trustee, The
Born April 22, 1987 successor is - Chairman of the Board, SSgA Funds
1939 duly elected Trustee, FRIC and RIF (investment
Chairman of the and qualified - CEO and Chairman of the company)
909 A Street Board since 1999 Board, Russell Fund
Tacoma, Washington Until successor Distributors, Inc. and
98402-1616 is chosen and FRIMCo
qualified by - Trustee, President and
trustees Chairman of the Board, SSgA
Funds (investment company)
- Director and Chairman of the
Board, Frank Russell Trust
Company
- Director, Frank Russell
Investments (Ireland)
Limited and Frank Russell
Investments (Cayman) Ltd.
- Until October, 2002,
President and CEO, FRIC and
RIF
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
*Michael J.A. Trustee since Appointed until - 1990 - 2003, President, FRC 35 None
Phillips, 2002 successor is - 1993 - 2003, CEO, FRC
Born January 20, duly elected - Chairman of the Board and
1948 and qualified Director, FRC
- Trustee, FRIC and RIF
909 A Street - Director, FRTC and Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director/Chairman, Frank
Russell Investments
(Delaware), Inc.
- Director, Chairman of The
Board and President, Russell
20/20 Association
- Director, Frank Russell
Company Pty.
Limited, Frank Russell Japan
Co., Ltd.,
Frank Russell Investments
(Suisse), S.A., and Frank
Russell Company Limited
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an
affiliate of FRIC and RIF and is therefore an interested trustee.
Disclosure of Information about Fund Directors 19
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, With Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS
- ----------------------------------------------------------------------------------------------------------------------------
Paul E. Anderson, Trustee since Appointed until - 1996 to present, President, 35 None
Born October 15, 1984 successor is Anderson Management Group
1931 duly elected LLC (private investments
and qualified consulting)
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Paul Anton, Ph.D., Trustee Emeritus Appointed until - Retired since 1997 35 None
Born December 1, since 2003 successor is - Trustee of FRIC and RIF
1919 duly elected Until 2002
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
William E. Baxter, Trustee Emeritus Appointed until - Retired since 1986 35 None
Born June 8, 1925 since 2004 successor is - Trustee of FRIC and RIF
duly elected Until 2004
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Kristianne Blake, Trustee since Appointed until - President, Kristianne Gates 35 - Trustee WM Group
Born January 22, 2000 successor is Blake, P.S. (accounting of Funds
1954 duly elected services) (investment
and qualified company);
909 A Street - Director, Avista
Tacoma, Washington Corp
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Daniel P. Connealy, Trustee since Appointed until - Retired since 2003 35 - Director, Gold
Born June 6, 1946 2003 successor is - 2001 - 2003, Vice President Banc
duly elected and Chief Financial Officer, Corporation,
909 A Street and qualified Janus Capital Group Inc. Inc.
Tacoma, Washington - 1979 - 2001, Audit and
98402-1616 Accounting Partner,
PricewaterhouseCoopers LLP
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Lee C. Gingrich, Trustee since Appointed until - Retired since 1995 35 None
Born October 6, 1984 successor is
1930 duly elected
and qualified
909 A Street
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
20 Disclosure of Information about Fund Directors
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
No. of
Portfolios
in Russell
Position(s) Held Fund
Name, With Fund and Term Principal Occupation(s) Complex Other
Age, Length of of During the Overseen Directorships Held
Address Time Served Office Past 5 Years by Trustee by Trustee
- ----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES AND INDEPENDENT TRUSTEE EMERITUS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
Eleanor W. Palmer, Trustee since Appointed until - Retired since 1981 35 None
Born May 5, 1926 1984 successor is
duly elected
909 A Street and qualified
Tacoma, Washington
98402-1616
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Raymond P. Trustee since Appointed until - Currently, President, 35 None
Tennison, Jr., 2000 successor is Simpson Investment Company
Born December 21, duly elected and several additional
1955 and qualified subsidiary companies,
including Simpson Timber
909 A Street Company, Simpson Paper
Tacoma, Washington Company and Simpson Tacoma
98402-1616 Kraft Company
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Julie W. Weston, Trustee since Appointed until - Retired since 2000 35 None
Born October 2, 2002 successor is - 1987 to 2000, Arbitrator,
1943 duly elected The American Arbitration
and qualified Association Commercial Panel
- 1995 to 1999, Hearing
Officer, University of
Washington
- 1987 to 2002, Director,
Smith Barney Fundamental
Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
Disclosure of Information about Fund Directors 21
FRANK RUSSELL INVESTMENT COMPANY
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
DISCLOSURE OF INFORMATION ABOUT FUND DIRECTORS, CONTINUED -- APRIL 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, With Fund and Term Principal Occupation(s)
Age, Length of of During the
Address Time Served Office Past 5 Years
- --------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------------------------------------------------------------------------------------------------------------------------
Leonard P. Brennan, President and Until successor - President and CEO, FRIC
Born October 11, 1959 Chief Executive is chosen and - President and CEO, RIF
Officer since qualified by - Director, Russell Fund Distributors, Inc., Frank
909 A Street 2002 Trustees Russell Company, S.A., Frank Russell Investments
Tacoma, Washington (Singapore) Private Limited and Frank Russell
98402-1616 Investments (UK) Limited
- Director, President and CEO, FRIMCo
- Director and COO, Frank Russell Company Limited and
Russell Systems Limited
- President, Russell Insurance Agency, Inc.
- 1995 to present, Managing Director of International
Operations of FRC
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark E. Swanson, Treasurer and Until successor - Treasurer and Chief Accounting Officer, FRIC and RIF
Born November 26, 1963 Chief Accounting is chosen and 1998 to present,
Officer since qualified by - Director, Funds Administration, FRIMCo and Frank
909 A Street 1998 Trustees Russell Trust Company
Tacoma, Washington - Treasurer, SSgA Funds (investment company);
98402-1616 - Manager, Funds Accounting and Taxes, Russell Fund
Distributors, Inc.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Randall P. Lert, Chief Portfolio Until removed - Director of Investments, FRIC and RIF
Born October 3, 1953 Strategist since by Trustees - Chief Portfolio Strategist, FRIMCo
January 2004 - Chief Investment Officer, Frank Russell Trust Company
909 A Street - Director, FRIMCo and Russell Fund Distributors, Inc.
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Karl J. Ege, Secretary and Until removed - Secretary and General Counsel, FRIC, RIF, FRIMCo,
Born October 8, 1941 General Counsel by Trustees Frank Russell Trust Company and Russell Fund
since 1994 Distributors, Inc.
909 A Street - Director, Secretary and General Counsel, Frank
Tacoma, Washington Russell Capital Inc.
98402-1616 - Director and Secretary, Russell 20-20 Association
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Mark D. Amberson, Director of Until removed - Director of Short-Term Investment Funds, FRIC, RIF,
Born July 20, 1960 Short-Term by Trustees FRIMCo and Frank Russell Trust Company
Investment Funds - From 1991 to 2001, Portfolio Manager, FRIC, RIF,
909 A Street since 2001 FRIMCo and Frank Russell Trust Company
Tacoma, Washington
98402-1616
- --------------------------------------------------------------------------------------------------------------------------
</Table>
22 Disclosure of Information about Fund Directors
RUSSELL MULTI-MANAGER PRINCIPAL PROTECTED FUND
FRANK RUSSELL INVESTMENT COMPANY
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Kristianne Blake
Daniel P. Connealy
Lee C. Gingrich
Eleanor W. Palmer
Michael J.A. Phillips
Raymond P. Tennison, Jr.
Julie W. Weston
TRUSTEES EMERITUS
George F. Russell, Jr.
Paul Anton, PhD
William E. Baxter
OFFICERS
Lynn L. Anderson, Chairman of the Board
Leonard P. Brennan, President and Chief Executive Officer
Karl J. Ege, Secretary and General Counsel
Mark E. Swanson, Treasurer and Chief Accounting Officer
Tom F. Hanly, Chief Investment Officer
Randall P. Lert, Director of Investments
Mark D. Amberson, Director of Short Term Investment Funds
Gregory J. Lyons, Assistant Secretary and Associate General Counsel
Mary Beth Rhoden, Assistant Secretary
Margaret A. Foster, Assistant Secretary
Greg S. Korte, Assistant Treasurer
David J. Craig, Assistant Treasurer
Bruce S.C. Dunn, Assistant Treasurer
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
Allan Forbes Building
150 Newport Avenue AFB35
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
Lincoln Capital Management Company, Chicago, IL
Lord, Abbett & Co., Jersey City, NJ
MFS Institutional Advisors, Inc., Boston, MA
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 23
(This page intentionally left blank)
(RUSSELL LOGO)
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com 36-08-095 (1 04/04)
ITEM 2. CODE OF ETHICS. [ANNUAL REPORT ONLY]
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. [ANNUAL REPORT ONLY]
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. [ANNUAL REPORT ONLY]
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS [ANNUAL REPORT ONLY]
ITEM 6. SCHEDULE OF INVESTMENTS [NOT APPLICABLE]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES. [NOT APPLICABLE]
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANIES AND AFFILIATED PURCHASERS. [NOT APPLICABLE]
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no changes to the procedures by which shareholders may
recommend nominees to the Registrant's Board of Directors that would
require disclosure herein.
ITEM 10. CONTROLS AND PROCEDURES
(a) Registrant's principal executive officer and principal financial
officer have concluded that Registrant's disclosure controls and
procedures (as defined in Rule 30a-2(c) under the Investment Company Act
of 1940 (the "Act")) are effective, based on their evaluation of these
controls and procedures as of a date within 90 days of the date this
report is filed with the Securities and Exchange Commission.
(b) There were no significant changes in Registrant's internal controls or
in other factors that could significantly affect these controls subsequent
to the date of their evaluation.
ITEM 11. EXHIBITS
EXHIBIT LIST
(a) certification for principal executive officer of Registrant as
required by Rule 30a-2 under the Act and certification for principal
financial officer of Registrant as required by Rule 30a-2 under the Act.
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.
FRANK RUSSELL INVESTMENT COMPANY
By: /s/ Leonard P. Brennan
------------------------------------------
Leonard P. Brennan
Principal Executive Officer and Chief Executive Officer
Date: June 21, 2004
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/ Leonard P. Brennan
------------------------------------------
Leonard P. Brennan
Principal Executive Officer and Chief Executive Officer
Date: June 21, 2004
By: /s/ Mark E. Swanson
------------------------------------------
Mark E. Swanson
Principal Financial Officer, Principal Accounting Officer and Treasurer
Date: June 21, 2004