<Page>
-----------------------------
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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 811-5857
---------------------------------------------
CMG Fund Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts 02111
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jean S. Loewenberg, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-617-426-3750
----------------------------
Date of fiscal year end: October 31, 2003
--------------------------
Date of reporting period: April 30, 2003
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
[COLUMBIA MANAGEMENT GROUP LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG SMALL CAP FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
APRIL 30, 2003
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Fund. The fund returned 8.72% for the six-month period ended April 30, 2003. The
fund performed better than the Russell 2000 Index and the Russell 2000 Growth
Index, which returned 7.55% and 7.68%, respectively, for the same period. The
fund benefited from a rebound in small-cap stocks and positive stock selection
across all sectors.
Small-cap stocks made a strong comeback during the period, despite a volatile
market environment. Last fall, the market rallied, with small-cap names leading
the way. Small caps then declined in the months leading up to war with Iraq and
were further weighed down by growing pessimism related to SARS, North Korea and
a weak US economy. However, a swift end to the war, better-than-expected first
quarter earnings and renewed hope of economic improvement triggered a strong
spring stock market rebound that again buoyed small-cap stocks. During this
reporting period, growth stocks edged out value stocks.
The fund's best relative gains came from the industrial sector, where
educational stocks, as well as construction and engineering firms, rallied on
strong end-market demand. Technology, a large sector concentration in the fund,
was also up. Our focus was on software companies, which--because they do not
have the same overcapacity issues as hardware firms--stand to benefit earlier in
an economic recovery. Many of our software stocks did well as business prospects
stabilized.
In health care, another large sector in the fund, we focused on health
maintenance organizations (HMOs), which benefited from pricing power and growing
enrollments, as well as pharmacy benefits managers (PBMs), which contain costs
by buying drugs in bulk for member companies. We also owned companies producing
and developing specialty and generic pharmaceuticals, which did well as patents
on many branded drugs expired and demand for generics increased. Consumer
discretionary stocks posted only modest gains for the fund. Within that sector
we focused on economically sensitive media stocks, which were weak performers.
We believe that the painful bear market of the past three years may be over.
However, valuations are no longer cheap and already reflect expectations for an
economic recovery. We envision a choppy market this summer as investors wait for
an increase in corporate spending to boost the economy. We expect companies will
be more willing to invest in their businesses once they see improved cash flows
and better earnings. As it becomes apparent that companies are beginning to meet
their earnings forecasts, we will begin to raise our stake in economically
sensitive technology stocks and pare back on defensive health care names.
1
<Page>
The fund's top ten holdings (as a percentage of net assets) as of April 30,
2003 were:
<Table>
<Caption>
HOLDING (%)
Caremark Rx 3.0
Amphenol 2.7
Education Management 2.3
Mid Atlantic Medical Services 2.0
First Health Group 2.0
Neurocrine Biosciences 1.9
Entercom Communications 1.6
DaVita 1.6
Harman International Industries 1.5
Fair, Isaac & Co. 1.4
</Table>
We appreciate your continued confidence in the CMG Small Cap Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale. Total return performance is illustrated for the period ended April 30,
2003.
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more
established companies.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings
breakdown may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, APRIL 30, 1993 TO APRIL 30, 2003
<Table>
<Caption>
CMG SMALL CAP FUND RUSSELL 2000 RUSSELL 2000 GROWTH
4/30/1993 $ 10,000 $ 10,000 $ 10,000
5/31/1993 $ 10,530 $ 10,442 $ 10,599
6/30/1993 $ 10,694 $ 10,507 $ 10,624
7/31/1993 $ 10,816 $ 10,652 $ 10,731
8/31/1993 $ 11,603 $ 11,112 $ 11,245
9/30/1993 $ 11,735 $ 11,425 $ 11,616
10/31/1993 $ 11,566 $ 11,719 $ 11,951
11/30/1993 $ 11,148 $ 11,333 $ 11,467
12/31/1993 $ 11,662 $ 11,721 $ 11,920
1/31/1994 $ 12,097 $ 12,089 $ 12,237
2/28/1994 $ 12,040 $ 12,045 $ 12,184
3/31/1994 $ 11,542 $ 11,409 $ 11,434
4/30/1994 $ 11,556 $ 11,477 $ 11,451
5/31/1994 $ 11,490 $ 11,348 $ 11,196
6/30/1994 $ 11,181 $ 10,962 $ 10,714
7/31/1994 $ 11,261 $ 11,142 $ 10,867
8/31/1994 $ 11,737 $ 11,763 $ 11,665
9/30/1994 $ 11,871 $ 11,724 $ 11,716
10/31/1994 $ 12,014 $ 11,678 $ 11,842
11/30/1994 $ 11,493 $ 11,206 $ 11,363
12/31/1994 $ 11,860 $ 11,508 $ 11,632
1/31/1995 $ 11,573 $ 11,363 $ 11,396
2/28/1995 $ 12,093 $ 11,836 $ 11,921
3/31/1995 $ 12,427 $ 12,039 $ 12,270
4/30/1995 $ 12,553 $ 12,306 $ 12,456
5/31/1995 $ 12,748 $ 12,518 $ 12,619
6/30/1995 $ 13,504 $ 13,168 $ 13,488
7/31/1995 $ 14,328 $ 13,926 $ 14,539
8/31/1995 $ 14,533 $ 14,215 $ 14,718
9/30/1995 $ 15,037 $ 14,469 $ 15,021
10/31/1995 $ 14,723 $ 13,822 $ 14,282
11/30/1995 $ 15,540 $ 14,403 $ 14,912
12/31/1995 $ 16,175 $ 14,783 $ 15,243
1/31/1996 $ 16,167 $ 14,767 $ 15,116
2/29/1996 $ 16,909 $ 15,227 $ 15,806
3/31/1996 $ 17,180 $ 15,538 $ 16,119
4/30/1996 $ 18,821 $ 16,369 $ 17,356
5/31/1996 $ 19,969 $ 17,014 $ 18,247
6/30/1996 $ 18,758 $ 16,315 $ 17,061
7/31/1996 $ 17,168 $ 14,891 $ 14,978
8/31/1996 $ 18,399 $ 15,756 $ 16,086
9/30/1996 $ 19,539 $ 16,372 $ 16,914
10/31/1996 $ 19,182 $ 16,120 $ 16,185
11/30/1996 $ 19,658 $ 16,784 $ 16,635
12/31/1996 $ 19,705 $ 17,224 $ 16,960
1/31/1997 $ 20,513 $ 17,568 $ 17,384
2/28/1997 $ 19,393 $ 17,143 $ 16,334
3/31/1997 $ 18,084 $ 16,334 $ 15,181
4/30/1997 $ 18,179 $ 16,380 $ 15,005
5/31/1997 $ 20,196 $ 18,201 $ 17,260
6/30/1997 $ 21,205 $ 18,982 $ 17,845
7/31/1997 $ 22,823 $ 19,864 $ 18,758
8/31/1997 $ 23,777 $ 20,319 $ 19,321
9/30/1997 $ 25,734 $ 21,807 $ 20,863
10/31/1997 $ 24,355 $ 20,849 $ 19,609
11/30/1997 $ 23,790 $ 20,714 $ 19,143
12/31/1997 $ 24,023 $ 21,076 $ 19,154
1/31/1998 $ 23,096 $ 20,743 $ 18,899
2/28/1998 $ 24,645 $ 22,276 $ 20,568
3/31/1998 $ 26,516 $ 23,194 $ 21,430
4/30/1998 $ 26,736 $ 23,322 $ 21,561
5/31/1998 $ 24,480 $ 22,065 $ 19,993
6/30/1998 $ 25,021 $ 22,111 $ 20,197
7/31/1998 $ 23,960 $ 20,320 $ 18,511
8/31/1998 $ 18,502 $ 16,374 $ 14,238
9/30/1998 $ 19,978 $ 17,656 $ 15,682
10/31/1998 $ 20,336 $ 18,376 $ 16,501
11/30/1998 $ 21,515 $ 19,339 $ 17,781
12/31/1998 $ 23,768 $ 20,536 $ 19,390
1/31/1999 $ 23,513 $ 20,809 $ 20,263
2/28/1999 $ 20,885 $ 19,124 $ 18,409
3/31/1999 $ 21,298 $ 19,422 $ 19,064
4/30/1999 $ 21,988 $ 21,162 $ 20,748
5/31/1999 $ 22,490 $ 21,471 $ 20,781
6/30/1999 $ 24,588 $ 22,442 $ 21,876
7/31/1999 $ 25,237 $ 21,827 $ 21,200
8/31/1999 $ 24,664 $ 21,019 $ 20,407
9/30/1999 $ 25,103 $ 21,024 $ 20,801
10/31/1999 $ 27,804 $ 21,110 $ 21,333
11/30/1999 $ 31,672 $ 22,370 $ 23,588
12/31/1999 $ 38,035 $ 24,902 $ 27,747
1/31/2000 $ 38,278 $ 24,501 $ 27,489
2/29/2000 $ 48,682 $ 28,547 $ 33,886
3/31/2000 $ 47,032 $ 26,665 $ 30,324
4/30/2000 $ 41,261 $ 25,060 $ 27,262
5/31/2000 $ 39,165 $ 23,599 $ 24,873
6/30/2000 $ 44,914 $ 25,657 $ 28,087
7/31/2000 $ 41,218 $ 24,831 $ 25,680
8/31/2000 $ 46,053 $ 26,725 $ 28,382
9/30/2000 $ 44,026 $ 25,940 $ 26,971
10/31/2000 $ 41,843 $ 24,783 $ 24,781
11/30/2000 $ 36,742 $ 22,238 $ 20,281
12/31/2000 $ 39,564 $ 24,148 $ 21,522
1/31/2001 $ 40,106 $ 25,406 $ 23,263
2/28/2001 $ 35,718 $ 23,739 $ 20,074
3/31/2001 $ 32,814 $ 22,578 $ 18,249
4/30/2001 $ 36,529 $ 24,344 $ 20,483
5/31/2001 $ 36,799 $ 24,943 $ 20,958
6/30/2001 $ 37,609 $ 25,803 $ 21,530
7/31/2001 $ 35,649 $ 24,407 $ 19,694
8/31/2001 $ 33,015 $ 23,619 $ 18,463
9/30/2001 $ 27,815 $ 20,440 $ 15,483
10/31/2001 $ 29,773 $ 21,636 $ 16,972
11/30/2001 $ 31,866 $ 23,310 $ 18,389
12/31/2001 $ 34,103 $ 24,749 $ 19,535
1/31/2002 $ 33,022 $ 24,491 $ 18,840
2/28/2002 $ 31,199 $ 23,820 $ 17,621
3/31/2002 $ 33,362 $ 25,735 $ 19,152
4/30/2002 $ 32,281 $ 25,969 $ 18,738
5/31/2002 $ 31,064 $ 24,816 $ 17,642
6/30/2002 $ 29,038 $ 23,586 $ 16,146
7/31/2002 $ 24,918 $ 20,024 $ 13,664
8/31/2002 $ 25,459 $ 19,974 $ 13,658
9/30/2002 $ 24,310 $ 18,540 $ 12,671
10/31/2002 $ 24,782 $ 19,135 $ 13,313
11/30/2002 $ 26,266 $ 20,842 $ 14,632
12/31/2002 $ 24,916 $ 19,681 $ 13,622
1/31/2003 $ 24,849 $ 19,136 $ 13,252
2/28/2003 $ 24,511 $ 18,558 $ 12,898
3/31/2003 $ 24,984 $ 18,797 $ 13,093
4/30/2003 $ 26,951 $ 20,579 $ 14,331
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund (08/30/89) 8.72 -16.53 0.15 10.42
Russell 2000 7.55 -20.76 -2.47 7.48
Russell 2000 Growth 7.68 -23.50 -7.84 3.67
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund (08/30/89) 2.78 -25.10 -1.18 9.23
Russell 2000 1.39 -26.96 -4.12 6.22
Russell 2000 Growth 3.34 -31.63 -9.38 2.40
</Table>
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. The principal value and
investment returns will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distributions. Total return performance is
illustrated for the periods ended April 30, 2003 and March 31, 2003.
The Russell 2000 Index is an unmanaged index generally considered representative
of the market for small domestic stocks. The Russell 2000 Growth Index, also an
unmanaged index, measures the performance of those Russell 2000 companies with
higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not invesments, do not incur fees and are not professionally
managed. It is not possible to invest directly in an index. Securities in the
fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
Advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
3
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small/Mid Cap
Fund. The fund returned 4.45% for the six-month period ended April 30, 2003. For
the same period, the Russell 2500 Index returned 7.87%, while the Russell 2500
Growth Index returned 7.76%. The fund underperformed these indices because it
was underweight in the strong-performing technology sector and because of
disappointing returns from some of the stocks it held.
The market took a volatile course during the past six months, with small- and
mid-cap stocks leading large-cap stocks on both the upside and downside. Stocks
began last fall with a strong rally, led by lower quality, beaten-down
technology and telecommunications stocks. The market gave up some of these gains
in December and then posted further declines in the months leading up to the war
with Iraq. Worries related to SARS, North Korea and the weak US economy added
further pressure to the market. A swift end to the war and better-than-expected
first quarter earnings fueled a strong spring rally. By the end of the six-month
period, growth stocks had edged out value stocks.
In the technology sector, we emphasized high quality stocks - companies with
earnings that were not dependent on an economic recovery for their performance.
Unfortunately, these did not perform as well as lower quality stocks during the
past six months. A few of our larger software investments also lost value when
earnings forecasts were revised downward. Consumer discretionary, another major
sector concentration for the fund, hampered relative returns as a result of our
focus on economically sensitive media stocks.
By contrast, strong stock selection in the health care sector helped returns. We
avoided hospitals, which suffered from decreased volumes related to the weak flu
season and concerns about Medicare reimbursements. The fund owned some smaller
health care companies that performed particularly well. These included health
maintenance organizations (HMOs) that enjoyed strong pricing and growing
enrollments; biotechnology companies that benefited from new product approvals;
pharmacy benefit managers (PBMs), which contain drug costs by buying in bulk;
and specialty and generic pharmaceuticals. Our stock selection in industrials
was also positive, driven by educational companies that benefited from increased
enrollments.
We believe that the painful bear market of the past three years may be over.
Valuations, however, are no longer cheap and already reflect expectations for an
economic recovery. We envision a choppy market this summer as investors wait for
an increase in corporate spending to boost the economy. We expect companies will
be more willing to invest in their businesses once they see improved cash flows
and better earnings. As it becomes apparent that companies are beginning to meet
their earnings forecasts, we will begin to raise our stake in economically
sensitive technology stocks and pare back on defensive health care names.
4
<Page>
The fund's top ten holdings (as a percentage of net assets) as of April 30,
2003 were:
<Table>
<Caption>
HOLDING (%)
Caremark Rx 2.5
Education Management 2.3
WellPoint Health Networks 2.2
Amphenol 2.2
Barr Laboratories 2.1
Mid Atlantic Medical Services 2.1
BJ Services 2.0
Williams-Sonoma 1.7
Gilead Sciences 1.7
Entercom Communications 1.7
</Table>
We appreciate your continued confidence in the CMG Small/Mid Cap Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale. Total return performance is illustrated for the periods ended April 30,
2003.
Investing in small-cap and mid-cap stocks may present special risks,
including possible illiquidity and greater price volatility than stocks of
larger, more established companies.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings
breakdown may change as market conditions change.
5
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG SMALL/MID CAP FUND RUSSELL 2500* RUSSELL 2500 GROWTH*
11/30/2000 $ 10,000 $ 10,000 $ 10,000
12/31/2000 $ 10,830 $ 10,861 $ 10,620
1/31/2001 $ 10,780 $ 11,218 $ 11,308
2/28/2001 $ 9,480 $ 10,496 $ 9,563
3/31/2001 $ 8,650 $ 9,920 $ 8,506
4/30/2001 $ 9,689 $ 10,796 $ 9,802
5/31/2001 $ 9,710 $ 11,120 $ 10,086
6/30/2001 $ 9,640 $ 11,278 $ 10,314
7/31/2001 $ 9,290 $ 10,875 $ 9,554
8/31/2001 $ 8,730 $ 10,518 $ 8,919
9/30/2001 $ 7,659 $ 9,157 $ 7,522
10/31/2001 $ 7,999 $ 9,630 $ 8,264
11/30/2001 $ 8,499 $ 10,409 $ 8,978
12/31/2001 $ 8,900 $ 10,993 $ 9,470
1/31/2002 $ 8,650 $ 10,857 $ 9,065
2/28/2002 $ 8,290 $ 10,667 $ 8,505
3/31/2002 $ 8,740 $ 11,404 $ 9,190
4/30/2002 $ 8,580 $ 11,376 $ 8,885
5/31/2002 $ 8,420 $ 11,042 $ 8,438
6/30/2002 $ 7,840 $ 10,420 $ 7,662
7/31/2002 $ 7,081 $ 9,177 $ 6,710
8/31/2002 $ 7,030 $ 9,204 $ 6,709
9/30/2002 $ 6,690 $ 8,475 $ 6,202
10/31/2002 $ 6,960 $ 8,751 $ 6,559
11/30/2002 $ 7,270 $ 9,465 $ 7,168
12/31/2002 $ 6,870 $ 9,038 $ 6,715
1/31/2003 $ 6,890 $ 8,797 $ 6,569
2/28/2003 $ 6,770 $ 8,586 $ 6,416
3/31/2003 $ 6,860 $ 8,668 $ 6,501
4/30/2003 $ 7,270 $ 9,440 $ 7,068
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund (12/1/00) 4.45 -15.27 -12.37
Russell 2500 Index 7.87 -17.01 -2.36*
Russell 2500 Growth Index 7.76 -20.47 -13.38*
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund (12/1/00) 2.54 -21.51 -14.93
Russell 2500 Index 2.27 -24.00 -9.98*
Russell 2500 Growth Index 4.81 -29.28 -24.60*
</Table>
*Index performance is from 11/30/00
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. The principal value and
investment returns will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distributions. Total return performance is
illustrated for the periods ended April 30, 2003 and March 31, 2003.
The Russell 2500 Index is an unmanaged index generally considered representative
of the market for small and mid cap stocks. The Russell 2500 Growth Index, also
an unmanaged index, measures the performance of those Russell 2500 companies
with higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not invesments, do not incur fees and are not professionally
managed. It is not possible to invest directly in an index. Securities in the
fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
Advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
6
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG International
Stock Fund. For the six-month period ended April 30, 2003, the fund returned
0.82%. The fund's return lagged the MSCI AC World Free ex-US Index, which
returned 3.08%. The fund's relatively large commitment to the Japanese market
and an underweight in European markets were the major reasons it underperformed
the index. However, the decline of the US dollar was positive for performance. A
weaker dollar benefits investors when assets denominated in foreign currencies
are converted to US dollars.
Most overseas economies struggled during the six months, as a variety of
geopolitical issues had a negative impact on consumer and business confidence.
Although all major central banks cut interest rates in order to boost economic
growth, their efforts had relatively little immediate effect. The war in Iraq,
SARS and concerns about instability in North Korea also cast a cloud over the
economic environment. Against this backdrop, stock market returns in overseas
markets were mixed. Certain emerging markets in Latin America produced
double-digit gains, while European and Asian markets either declined or
generated more modest returns.
One of the fund's biggest country positions was in Japan, where valuations
had become attractive and profit forecasts had improved. We favored
internationally competitive companies, such as Canon, Honda Motor and Olympus
Optical (1.1%, 0.6% and 0.8% of net assets, respectively). Unfortunately, the
Japanese stock market declined, mostly from the result of the unwinding of
"cross-share holdings," rather than fundamental problems. Historically, many
Japanese companies have maintained large positions in each other's
companies--a practice known as CROSS-SHARE holdings. Recently, the Japanese
government passed legislation to reduce the amount of holdings that banks are
allowed to own. As these positions were sold to comply with the new
guidelines, many Japanese stock prices came under pressure.
In other parts of Asia, we concentrated on companies that we believe have the
potential to benefit from the strong growth of the Chinese economy, which has
been in the 7% to 9% range. In Europe, we favored the United Kingdom, where the
Bank of England has trimmed interest rates. Continental Europe was less
attractive because interest rates remained relatively high in an environment of
poor economic growth.
There were several themes in the portfolio. To take advantage of the trend of
containing health care costs, we focused on generic pharmaceutical companies,
such as Teva Pharmaceutical in Israel and Ranbaxy Laboratories in India (1.5%
and 0.8% of net assets, respectively). We also built up positions in the
financial and telecommunications sectors--areas that had declined
significantly and, therefore, had attractive prices.
Going forward, we think the US dollar's decline could act as a catalyst for
overseas economic growth. In Europe, where the euro is strong against the US
dollar, central banks may be more aggressive about cutting interest rates. Lower
interest rates could boost economic growth. In
7
<Page>
Asia, countries with currencies pegged to the US dollar should benefit because
their products will be less expensive when sold in the United States and Europe.
Cheaper products often lead to increased sales, stronger earnings and,
ultimately, higher stock prices. In this environment, we believe stocks have the
potential to make modest gains over the next several months.
The country composition of the fund's portfolio (as a percentage of total
invesments) as of April 30, 2003 was:
<Table>
<Caption>
COUNTRY (%)
United Kingdom 24.8
Japan 18.3
France 8.3
Spain 5.5
Netherlands 5.5
Switzerland 4.3
Australia 4.3
United States 4.0
Italy 3.6
Thailand 3.4
South Korea 2.1
Ireland 2.0
Mexico 2.0
Israel 1.8
Germany 1.8
Finland 1.6
China 1.5
India 1.3
Denmark 1.1
Taiwan 1.0
Bermuda 0.9
Sweden 0.5
Hong Kong 0.4
</Table>
The fund's top ten holdings (as a percentage of net assets) as of April 30, 2003
were:
<Table>
<Caption>
HOLDING (%)
Vodafone Group 2.5
Royal Bank of Scotland Group 2.1
Telefonica 2.0
Unilever 1.9
Smith & Nephew 1.8
UniCredito Italiano 1.6
Teva Pharmaceutical Industries 1.5
ENI 1.5
Standard Chartered Bank 1.4
Pearson 1.4
</Table>
We appreciate your continued confidence in the CMG International Stock Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns may fluctuate, resulting in a gain or loss on sale.
Total return performance is illustrated for the period ended April 30, 2003.
There are also specific risks involved when investing in foreign stocks, such as
currency exchange rate fluctuations, economic change, instability of emerging
countries and political developments.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holding breakdown
may change as market conditions change.
8
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND MSCI EAFE MSCI AC WORLD FREE EX-US
1/31/1994 $ 10,000 $ 10,000 $ 10,000
2/28/1994 $ 10,058 $ 9,972 $ 9,924
3/31/1994 $ 9,622 $ 9,542 $ 9,469
4/30/1994 $ 9,735 $ 9,947 $ 9,791
5/31/1994 $ 9,600 $ 9,890 $ 9,793
6/30/1994 $ 9,690 $ 10,030 $ 9,863
7/31/1994 $ 9,687 $ 10,126 $ 10,024
8/31/1994 $ 9,962 $ 10,366 $ 10,361
9/30/1994 $ 9,603 $ 10,039 $ 10,104
10/31/1994 $ 9,877 $ 10,374 $ 10,375
11/30/1994 $ 9,395 $ 9,875 $ 9,875
12/31/1994 $ 9,243 $ 9,937 $ 9,853
1/31/1995 $ 8,568 $ 9,555 $ 9,405
2/28/1995 $ 8,443 $ 9,528 $ 9,354
3/31/1995 $ 8,768 $ 10,122 $ 9,883
4/30/1995 $ 8,951 $ 10,503 $ 10,268
5/31/1995 $ 8,838 $ 10,378 $ 10,222
6/30/1995 $ 8,805 $ 10,196 $ 10,081
7/31/1995 $ 9,368 $ 10,831 $ 10,653
8/31/1995 $ 9,236 $ 10,419 $ 10,283
9/30/1995 $ 9,436 $ 10,622 $ 10,459
10/31/1995 $ 9,316 $ 10,336 $ 10,180
11/30/1995 $ 9,500 $ 10,623 $ 10,419
12/31/1995 $ 9,753 $ 11,052 $ 10,832
1/31/1996 $ 9,924 $ 11,097 $ 10,980
2/29/1996 $ 9,924 $ 11,135 $ 10,980
3/31/1996 $ 10,309 $ 11,371 $ 11,185
4/30/1996 $ 10,657 $ 11,702 $ 11,524
5/31/1996 $ 10,812 $ 11,486 $ 11,351
6/30/1996 $ 11,038 $ 11,551 $ 11,409
7/31/1996 $ 10,546 $ 11,213 $ 11,030
8/31/1996 $ 10,711 $ 11,238 $ 11,094
9/30/1996 $ 10,950 $ 11,537 $ 11,370
10/31/1996 $ 10,869 $ 11,419 $ 11,256
11/30/1996 $ 11,243 $ 11,874 $ 11,690
12/31/1996 $ 11,389 $ 11,720 $ 11,555
1/31/1997 $ 11,387 $ 11,310 $ 11,342
2/28/1997 $ 11,664 $ 11,496 $ 11,550
3/31/1997 $ 11,754 $ 11,537 $ 11,525
4/30/1997 $ 12,017 $ 11,598 $ 11,622
5/31/1997 $ 12,705 $ 12,353 $ 12,340
6/30/1997 $ 13,301 $ 13,034 $ 13,022
7/31/1997 $ 13,691 $ 13,245 $ 13,285
8/31/1997 $ 12,716 $ 12,256 $ 12,239
9/30/1997 $ 13,581 $ 12,942 $ 12,901
10/31/1997 $ 12,551 $ 11,947 $ 11,803
11/30/1997 $ 12,501 $ 11,825 $ 11,656
12/31/1997 $ 12,549 $ 11,928 $ 11,790
1/31/1998 $ 12,632 $ 12,473 $ 12,142
2/28/1998 $ 13,175 $ 13,274 $ 12,952
3/31/1998 $ 13,781 $ 13,683 $ 13,400
4/30/1998 $ 14,165 $ 13,791 $ 13,497
5/31/1998 $ 14,395 $ 13,723 $ 13,253
6/30/1998 $ 14,327 $ 13,827 $ 13,202
7/31/1998 $ 14,363 $ 13,967 $ 13,328
8/31/1998 $ 12,638 $ 12,236 $ 11,449
9/30/1998 $ 11,715 $ 11,861 $ 11,207
10/31/1998 $ 12,397 $ 13,097 $ 12,380
11/30/1998 $ 13,375 $ 13,767 $ 13,045
12/31/1998 $ 14,078 $ 14,310 $ 13,495
1/31/1999 $ 14,741 $ 14,267 $ 13,480
2/28/1999 $ 14,375 $ 13,927 $ 13,178
3/31/1999 $ 14,622 $ 14,508 $ 13,815
4/30/1999 $ 15,038 $ 15,096 $ 14,506
5/31/1999 $ 14,692 $ 14,318 $ 13,824
6/30/1999 $ 15,591 $ 14,877 $ 14,460
7/31/1999 $ 16,105 $ 15,318 $ 14,800
8/31/1999 $ 16,471 $ 15,375 $ 14,851
9/30/1999 $ 16,866 $ 15,530 $ 14,952
10/31/1999 $ 17,659 $ 16,113 $ 15,509
11/30/1999 $ 19,774 $ 16,672 $ 16,129
12/31/1999 $ 22,387 $ 18,169 $ 17,668
1/31/2000 $ 21,220 $ 17,015 $ 16,708
2/29/2000 $ 22,701 $ 17,473 $ 17,159
3/31/2000 $ 22,145 $ 18,151 $ 17,805
4/30/2000 $ 20,137 $ 17,196 $ 16,811
5/31/2000 $ 18,403 $ 16,777 $ 16,381
6/30/2000 $ 19,443 $ 17,433 $ 17,079
7/31/2000 $ 18,434 $ 16,702 $ 16,404
8/31/2000 $ 18,896 $ 16,847 $ 16,607
9/30/2000 $ 17,740 $ 16,027 $ 15,686
10/31/2000 $ 17,025 $ 15,649 $ 15,187
11/30/2000 $ 16,269 $ 15,062 $ 14,505
12/31/2000 $ 17,052 $ 15,597 $ 15,000
1/31/2001 $ 16,874 $ 15,589 $ 15,225
2/28/2001 $ 15,950 $ 14,420 $ 14,019
3/31/2001 $ 14,886 $ 13,458 $ 13,028
4/30/2001 $ 15,798 $ 14,393 $ 13,914
5/31/2001 $ 15,482 $ 13,885 $ 13,530
6/30/2001 $ 14,937 $ 13,317 $ 13,010
7/31/2001 $ 14,468 $ 13,075 $ 12,721
8/31/2001 $ 14,202 $ 12,744 $ 12,406
9/30/2001 $ 12,859 $ 11,453 $ 11,089
10/31/2001 $ 13,201 $ 11,746 $ 11,400
11/30/2001 $ 13,479 $ 12,180 $ 11,921
12/31/2001 $ 13,800 $ 12,252 $ 12,075
1/31/2002 $ 13,241 $ 11,601 $ 11,558
2/28/2002 $ 13,330 $ 11,682 $ 11,641
3/31/2002 $ 13,978 $ 12,370 $ 12,322
4/30/2002 $ 14,040 $ 12,395 $ 12,353
5/31/2002 $ 14,206 $ 12,552 $ 12,488
6/30/2002 $ 13,862 $ 12,053 $ 11,948
7/31/2002 $ 12,731 $ 10,863 $ 10,783
8/31/2002 $ 12,667 $ 10,838 $ 10,784
9/30/2002 $ 11,397 $ 9,674 $ 9,641
10/31/2002 $ 11,841 $ 10,194 $ 10,158
11/30/2002 $ 12,299 $ 10,657 $ 10,647
12/31/2002 $ 11,824 $ 10,298 $ 10,303
1/31/2003 $ 11,326 $ 9,869 $ 9,941
2/28/2003 $ 11,186 $ 9,643 $ 9,739
3/31/2003 $ 11,109 $ 9,454 $ 9,550
4/30/2003 $ 11,939 $ 10,381* $ 10,471
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
INCEPTION 6-MONTH 1-YEAR 5-YEAR LIFE
CMG International Stock (02/01/94) 0.82 -14.96 -3.36 1.94
MSCI AC World Free ex-US 3.08 -15.23 -4.95 0.50*
MSCI EAFE 1.81 -16.27 -5.52 0.40*
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
INCEPTION 6-MONTH 1-YEAR 5-YEAR LIFE
CMG International Stock (02/01/94) -2.52 -20.51 -4.22 1.16
MSCI AC World Free ex-US -0.94 -22.08 -6.55 -0.50
MSCI EAFE -2.29 -23.14 -7.13 -0.61*
</Table>
* Index return from 1/31/94
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. The principal value and
investment returns will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distributions. Total return performance is
illustrated for the periods ended April 30, 2003 and March 31, 2003.
The MSCI AC (Morgan Stanley Capital International All Country) World Free ex-US
Index is an unmanaged index designed to measure equity market performance in the
global developed an emerging markets including the United States. The MCI EAFE
Index (Morgan Stanley Capital International Europe, Australia and Far East
Index) is an unmanaged index representing major stock markets in Europe,
Australia and the Far East. Unlike the fund, indices are not invesments, do not
incur fees and are not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
Advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
9
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------------------------
2003 2002 2001 2000 1999(a) 1998(a)
----------- --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 3.67 $ 4.41 $ 18.78 $ 13.59 $ 9.96 $ 13.60
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)(b) (0.02)(b) (0.01) (0.09) (0.04) (0.03)
Net realized and unrealized
gain (loss) on investments 0.33 (0.72) (2.18) 6.80 3.69 (2.21)
----------- --------- --------- --------- --------- ---------
Total from investment
operations 0.32 (0.74) (2.19) 6.71 3.65 (2.24)
----------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net realized
gains - (0.00)(c) (12.18) (1.52) (0.02) (1.40)
----------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF
PERIOD $ 3.99 $ 3.67 $ 4.41 $ 18.78 $ 13.59 $ 9.96
=========== ========= ========= ========= ========= =========
Total return (g) 8.72%(d) -16.76% -28.84% 50.49% 36.70% -16.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 250,788 $ 227,874 $ 283,521 $ 258,480 $ 240,129 $ 267,789
Ratio of expenses to average
net assets (e) 0.78%(f) 0.79% 0.82% 0.79% 0.79% 0.77%
Ratio of net investment loss to
average net assets (e) (0.49)%(f) (0.49)% (0.22)% (0.39)% (0.33)% (0.20)%
Portfolio turnover rate 57%(d) 120% 160% 163% 186% 159%
</Table>
(a) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Not annualized.
(e) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(f) Annualized.
(g) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
10
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
APRIL 30, OCTOBER 31, OCTOBER 31,
2003 2002 2001 (a)
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.96 $ 8.00 $ 10.00
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)(b) (0.04)(b) (0.02)
Net realized and unrealized gain (loss) on investments 0.33 (1.00) (1.98)
----------- ----------- -----------
Total from investment operations 0.31 (1.04) (2.00)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 7.27 $ 6.96 $ 8.00
=========== =========== ===========
Total return (c)(h) 4.45%(d) -13.00% -20.00%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 63,531 $ 54,769 $ 49,391
Ratio of net expenses to average net assets (e)(f) 0.78%(g) 0.80% 0.80%(g)
Ratio of total expenses to average net assets (e)(f) 0.84%(g) 0.86% 0.97%(g)
Ratio of net investment loss to average net assets (f) (0.47)%(g) (0.45)% (0.23)%(g)
Portfolio turnover rate 61%(d) 125% 167%(d)
</Table>
(a) The Fund commenced investment operations on December 1, 2000. Per share data
reflects activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(d) Not annualized.
(e) Effective February 27, 2003, the investment advisor has contractually agreed
to reimburse ordinary expenses of the Fund indefinitely, to the extent that
these expenses, together with the advisory fee, exceed 0.75% of the Fund's
average daily net assets. Prior to February 27, 2003, the rate in effect was
0.80% of the Fund's average daily net assets.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Total return at net asset value.
See Accompanying Notes to Financial Statements.
11
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ---------------------------------------------------------------
2003 2002 2001 2000 1999 1998
----------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.32 $ 10.42 $ 16.20 $ 17.86 $ 12.54 $ 42.71
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.07(a) 0.02(a) 0.03 0.04 (0.02) 0.25
Net realized and unrealized
gain (loss) on investments,
foreign currency and foreign
capital gains tax 0.01 (1.09) (3.09) (0.36) 5.34 (0.78)
----------- -------- -------- -------- -------- --------
Total from investment
operations 0.08 (1.07) (3.06) (0.32) 5.32 (0.53)
----------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net investment income (0.05) (0.03) - - - -
From net realized gains - - (2.72) (1.34) (0.00)(b) (29.64)
----------- -------- -------- -------- -------- --------
Total distributions (0.05) (0.03) (2.72) (1.34) (0.00)(b) (29.64)
----------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.35 $ 9.32 $ 10.42 $ 16.20 $ 17.86 $ 12.54
=========== ======== ======== ======== ======== ========
Total return (h) 0.82%(c)(d) -10.28% -22.46% -3.58% 42.44% -1.24%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 37,860 $ 20,616 $ 20,553 $ 22,975 $ 30,492 $ 15,377
Ratio of net expenses to
average net assets (e) 0.93%(f)(g) 1.31% 1.26% 1.11% 1.31% 1.04%
Ratio of total expenses to
average net assets (e) 0.97%(f)(g) 1.31% 1.26% 1.11% 1.31% 1.04%
Ratio of net investment income
(loss) to average net assets (e) 1.50%(f) 0.21% 0.29% 0.12% (0.14)% 0.60%
Portfolio turnover rate 41%(c) 111% 117% 140% 96% 53%
</Table>
(a) Per share data was calculated using average shares outstanding during the
period.
(b) Rounds to less than $0.01 per share.
(c) Not annualized.
(d) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(e) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(f) Annualized.
(g) Effective February 27, 2003, the investment advisor has contractually agreed
to reimburse ordinary expenses of the Fund indefinitely, to the extent that
these expenses, together with the advisory fee, exceed 0.75% of the Fund's
average daily net assets.
(h) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
12
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (93.1%)
Consumer Discretionary (18.4%)
Auto Components (1.9%)
Autoliv, Inc. 90,372 $ 2,196,040
Gentex Corp. (a) 83,615 2,525,173
-------------
4,721,213
-------------
Hotels, Restaurants & Leisure (3.4%)
Ameristar Casinos, Inc. 30,200 409,189
California Pizza Kitchen, Inc. (a) 63,500 1,280,160
Cheesecake Factory, Inc. (a) 36,230 1,144,506
Outback Steakhouse, Inc. 50,247 1,795,828
P.F. Chang's China Bistro, Inc. (a) 61,417 2,573,372
Panera Bread Co., Class A (a) 39,176 1,333,159
-------------
8,536,214
-------------
Household Durables (1.5%)
Harman International Industries, Inc. (a) 56,400 3,755,676
-------------
Media (5.2%)
Cumulus Media, Inc., Class A (a) 74,300 1,280,932
Entercom Communications Corp. (a) 82,519 4,009,598
Entravision Communications Corp., Class A (a) 158,030 1,202,608
Lamar Advertising Co. (a) 99,785 3,584,277
Radio One, Inc., Class D (a) 183,892 2,813,548
-------------
12,890,963
-------------
Specialty Retail (5.9%)
Advance Auto Parts, Inc. (a) 32,600 1,621,524
Aeropostale, Inc. (a) 52,100 937,800
Cost Plus, Inc. (a) 86,860 2,669,208
Electronics Boutique Holdings Corp. (a) 44,400 830,280
GameStop Corp. (a) 13,600 162,520
Hollywood Entertainment Corp. (a) 128,819 2,286,537
Linens 'n Things, Inc. (a) 59,900 1,269,281
Michaels Stores, Inc. (a) 64,358 2,010,544
O'Reilly Automotive, Inc. (a) 45,036 1,335,768
PETCO Animal Supplies, Inc. (a) 35,700 754,341
PETsMART, Inc. (a) 62,700 948,651
-------------
14,826,454
-------------
Textiles, Apparel & Luxury Goods (0.5%)
Reebok International Ltd. (a) 43,233 1,342,817
-------------
Energy (9.9%)
Energy Equipment & Services (5.4%)
CAL Dive International, Inc. (a) 68,687 1,105,861
Grey Wolf, Inc. (a) 231,770 938,668
Key Energy Services, Inc. (a) 58,200 586,074
National-Oilwell, Inc. (a) 116,438 2,444,034
Oceaneering International, Inc. (a) 36,322 819,424
Patterson-UTI Energy, Inc. (a) 64,400 2,130,996
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Precision Drilling Corp. (a) 88,376 $ 3,038,367
Varco International, Inc. (a) 130,922 2,302,918
-------------
13,366,342
-------------
Oil & Gas (4.5%)
Chesapeake Energy Corp. 236,400 1,905,384
Patina Oil & Gas Corp. 58,143 2,007,678
Premcor, Inc. (a) 136,200 3,035,898
Tesoro Petroleum Corp. (a) 168,700 1,310,799
XTO Energy, Inc. 158,496 3,090,672
-------------
11,350,431
-------------
Financials (1.9%)
Insurance (1.9%)
IPC Holdings Ltd. 55,145 1,894,231
ProAssurance Corp. (a) 21,600 559,224
Scottish Annuity & Life Holdings Ltd. 126,192 2,233,598
-------------
4,687,053
-------------
Health Care (23.3%)
Biotechnology (3.8%)
ICOS Corp. (a) 62,100 1,661,175
Martek Biosciences Corp. (a) 60,100 2,045,203
Neurocrine Biosciences, Inc. (a) 106,707 4,828,492
SangStat Medical Corp. (a) 84,100 1,059,660
-------------
9,594,530
-------------
Health Care Equipment & Supplies (3.5%)
American Medical Systems Holdings, Inc. (a) 78,468 1,245,287
CTI Molecular Imaging, Inc. (a) 70,652 1,297,171
Kyphon, Inc. (a) 97,752 922,779
Orthofix International NV (a) 44,076 1,240,739
Wilson Greatbatch Technologies, Inc. (a) 65,375 2,143,646
Wright Medical Group, Inc. (a) 99,349 1,885,644
-------------
8,735,266
-------------
Health Care Providers & Services (12.8%)
Caremark Rx, Inc. (a) 374,987 7,465,991
Cobalt Corp. (a) 95,900 1,577,555
Community Health Systems, Inc. (a) 129,100 2,452,900
Coventry Health Care, Inc. (a) 65,700 2,681,874
DaVita, Inc. (a) 191,646 3,951,740
First Health Group Corp. (a) 198,233 4,965,737
Henry Schein, Inc. (a) 75,095 3,240,349
IMPAC Medical Systems, Inc. (a) 32,400 577,368
Mid Atlantic Medical Services, Inc. (a) 116,692 5,081,937
-------------
31,995,451
-------------
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Pharmaceuticals (3.2%)
Andrx Corp. (a) 160,957 $ 2,597,846
Pharmaceutical Resources, Inc. (a) 50,475 2,218,376
Trimeris, Inc. (a) 73,535 3,264,219
-------------
8,080,441
-------------
Industrials (14.4%)
Commercial Services & Supplies (10.1%)
BISYS Group, Inc. (a) 132,719 2,240,297
Career Education Corp. (a) 47,410 2,850,763
Corinthian Colleges, Inc. (a) 68,827 3,151,588
Corporate Executive Board Co. (a) 74,233 3,042,811
Education Management Corp. (a) 119,446 5,831,354
Global Payments, Inc. 47,764 1,481,162
Resources Connection, Inc. (a) 97,700 2,129,860
Stericycle, Inc. (a) 45,409 1,784,120
Sylvan Learning Systems, Inc. (a) 67,575 1,185,265
Waste Connections, Inc. (a) 53,600 1,803,104
-------------
25,500,324
-------------
Construction & Engineering (2.5%)
Chicago Bridge & Iron Co. NV 158,352 3,167,040
Jacobs Engineering Group, Inc. (a) 54,709 2,251,275
URS Corp. (a) 54,583 775,079
-------------
6,193,394
-------------
Machinery (1.0%)
Albany International Corp., Class A 85,054 2,019,182
Flowserve Corp. (a) 32,197 497,122
-------------
2,516,304
-------------
Road & Rail (0.8%)
Yellow Corp. (a) 72,864 1,945,469
-------------
Information Technology (22.8%)
Communications Equipment (2.6%)
F5 Networks, Inc. (a) 110,900 1,525,984
Foundry Networks, Inc. (a) 143,700 1,563,456
NetScreen Technologies, Inc. (a) 128,800 2,612,064
Scientific-Atlanta, Inc. 63,200 1,027,000
-------------
6,728,504
-------------
Computers & Peripherals (1.4%)
Advanced Digital Information Corp. (a) 80,600 646,412
Electronics for Imaging, Inc. (a) 150,164 2,883,149
-------------
3,529,561
-------------
Electronic Equipment & Instruments (3.5%)
Amphenol Corp., Class A (a) 152,628 6,759,894
Benchmark Electronics, Inc. (a) 43,900 1,139,205
Electro Scientific Industries, Inc. (a) 70,952 952,885
-------------
8,851,984
-------------
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Internet Software & Services (2.0%)
Internet Security Systems, Inc. (a) 91,400 $ 1,199,168
webMethods, Inc. (a) 189,600 1,907,376
Websense, Inc. (a) 125,700 1,793,739
-------------
4,900,283
-------------
Information Technology Consulting & Services (2.0%)
Acxiom Corp. (a) 97,541 1,361,672
CACI International, Inc., Class A (a) 34,300 1,198,099
Cognizant Technology Solutions Corp. (a) 136,500 2,451,540
-------------
5,011,311
-------------
Semiconductor Equipment & Products (1.9%)
Lattice Semiconductor Corp. (a) 151,000 1,310,680
Microsemi Corp. (a) 159,700 1,873,281
Photronics, Inc. (a) 89,679 1,127,265
PMC-Sierra, Inc. (a) 44,900 370,425
-------------
4,681,651
-------------
Software (9.4%)
Activision, Inc. (a) 121,200 1,854,360
Amdocs Ltd. (a) 135,800 2,398,228
Autodesk, Inc. 113,500 1,766,060
Citrix Systems, Inc. (a) 70,200 1,330,992
Documentum, Inc. (a) 165,923 3,051,324
Fair, Isaac & Co., Inc. 69,000 3,593,520
FileNET Corp. (a) 108,600 1,671,354
J.D. Edwards & Co. (a) 116,800 1,399,264
Macromedia, Inc. (a) 155,700 1,963,377
Mercury Interactive Corp. (a) 69,900 2,372,406
National Instruments Corp. (a) 32,366 1,038,301
Verity, Inc. (a) 67,100 1,109,163
-------------
23,548,349
-------------
Materials (1.1%)
Chemicals (0.8%)
Minerals Technologies, Inc. 45,476 2,012,313
-------------
Paper & Forest Products (0.3%)
Louisiana-Pacific Corp. (a) 91,551 739,732
-------------
Utilities (1.3%)
Electric Utilities (0.2%)
Reliant Resources, Inc. (a) 79,800 448,476
-------------
Multi-Utilities & Unregulated Power (1.1%)
Calpine Corp. (a) 533,900 2,867,043
-------------
Total Common Stocks
(Cost of $201,842,240) 233,357,549
-------------
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PAR VALUE
------------ -------------
Short-Term Obligation (5.6%)
Repurchase agreement with State Street Bank &
Trust Co., dated 04/30/03, due 05/01/03 at 1.180%,
collateralized by a U.S. Treasury Note
maturing 12/31/03, market value of $14,352,975
(repurchase proceeds $14,069,461)
(Cost of $14,069,000) $ 14,069,000 $ 14,069,000
-------------
Total Investments (98.7%)
(Cost of $215,911,240) (b) 247,426,549
Other Assets & Liabilities, Net (1.3%) 3,361,196
-------------
NET ASSETS (100.0%) $ 250,787,745
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
See Accompanying Notes to Financial Statements.
17
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (96.2%)
Consumer Discretionary (19.5%)
Auto Components (0.8%)
Gentex Corp. (a) 17,435 $ 526,537
-------------
Hotels, Restaurants & Leisure (3.5%)
Brinker International, Inc. (a) 24,870 789,623
Darden Restaurants, Inc. 44,300 775,693
Outback Steakhouse, Inc. 3,700 132,238
Starwood Hotels & Resorts Worldwide, Inc. 18,600 499,224
-------------
2,196,778
-------------
Household Durables (2.0%)
Harman International Industries, Inc. (a) 14,490 964,889
Mattel, Inc. 14,295 310,773
-------------
1,275,662
-------------
Media (7.2%)
Entercom Communications Corp. (a) 21,825 1,060,477
Hispanic Broadcasting Corp. (a) 29,040 744,876
Knight-Ridder, Inc. 5,050 325,978
Lamar Advertising Co. (a) 25,505 916,140
Radio One, Inc., Class D (a) 31,160 476,748
Univision Communications, Inc., Class A (a) 10,610 321,271
Westwood One, Inc. (a) 20,370 710,913
-------------
4,556,403
-------------
Multi-Line Retail (0.7%)
Dollar Tree Stores, Inc. (a) 17,510 445,630
-------------
Specialty Retail (4.7%)
Advance Auto Parts, Inc. (a) 8,500 422,790
Bed Bath & Beyond, Inc. (a) 8,360 330,304
CDW Computer Centers, Inc. (a) 13,940 594,402
Michaels Stores, Inc. (a) 18,240 569,818
Williams-Sonoma, Inc. (a) 42,060 1,088,513
-------------
3,005,827
-------------
Textiles, Apparel & Luxury Goods (0.6%)
Reebok International Ltd. (a) 11,380 353,463
-------------
Consumer Staples (1.1%)
Household Products (1.1%)
Dial Corp. 34,370 715,927
-------------
Energy (11.7%)
Energy Equipment & Services (6.5%)
BJ Services Co. (a) 34,400 1,255,944
Nabors Industries Ltd. (a) 12,330 483,336
National-Oilwell, Inc. (a) 30,280 635,577
Noble Corp. (a) 18,150 561,743
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Patterson-UTI Energy, Inc. (a) 19,940 $ 659,815
Precision Drilling Corp. (a) 14,590 501,604
-------------
4,098,019
-------------
Oil & Gas (5.2%)
Apache Corp. 16,685 955,216
Premcor, Inc. (a) 36,200 806,898
Valero Energy Corp. 21,520 790,860
XTO Energy, Inc. 38,653 753,740
-------------
3,306,714
-------------
Financials (4.2%)
Diversified Financials (1.1%)
Legg Mason, Inc. 6,100 331,230
Moody's Corp. 7,815 377,386
-------------
708,616
-------------
Insurance (3.1%)
Ambac Financial Group, Inc. 17,900 1,044,465
Arthur J. Gallagher & Co. 18,140 453,319
IPC Holdings Ltd. 13,240 454,794
-------------
1,952,578
-------------
Health Care (26.4%)
Biotechnology (3.2%)
Biogen, Inc. (a) 8,500 322,915
Gilead Sciences, Inc. (a) 23,520 1,085,213
MedImmune, Inc. (a) 9,070 319,899
Millennium Pharmaceuticals, Inc. (a) 26,700 293,700
-------------
2,021,727
-------------
Health Care Equipment & Supplies (3.9%)
Biomet, Inc. 14,735 448,828
Boston Scientific Corp. (a) 18,300 787,815
Hillenbrand Industries, Inc. 12,390 618,261
Varian Medical Systems, Inc. (a) 11,680 629,085
-------------
2,483,989
-------------
Health Care Providers & Services (14.2%)
AmerisourceBergen Corp. 11,360 657,176
Anthem, Inc. (a) 9,577 657,365
Caremark Rx, Inc. (a) 78,795 1,568,808
Community Health Systems, Inc. (a) 33,590 638,210
Coventry Health Care, Inc. (a) 17,000 693,940
DaVita, Inc. (a) 51,405 1,059,971
Laboratory Corporation of America Holdings (a) 19,720 580,951
Lincare Holdings, Inc. (a) 14,500 440,365
Mid Atlantic Medical Services, Inc. (a) 30,550 1,330,452
WellPoint Health Networks, Inc. (a) 18,300 1,389,702
-------------
9,016,940
-------------
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Pharmaceuticals (5.1%)
Andrx Corp. (a) 24,000 $ 387,360
Barr Laboratories, Inc. (a) 24,510 1,362,756
Biovail Corp. (a) 13,100 473,565
Pharmaceutical Resources, Inc. (a) 12,855 564,977
Teva Pharmaceutical Industries Ltd., ADR 9,950 464,665
-------------
3,253,323
-------------
Industrials (11.4%)
Commercial Services & Supplies (8.1%)
BISYS Group, Inc. (a) 52,980 894,302
ChoicePoint, Inc. (a) 25,886 913,258
Education Management Corp. (a) 29,970 1,463,135
Global Payments, Inc. 8,690 269,477
Republic Services, Inc. (a) 17,055 366,000
Robert Half International, Inc. (a) 30,940 503,703
Weight Watchers International, Inc. (a) 15,180 713,156
-------------
5,123,031
-------------
Construction & Engineering (0.9%)
Jacobs Engineering Group, Inc. (a) 14,120 581,038
-------------
Electrical Equipment (0.5%)
American Power Conversion Corp. (a) 21,280 331,542
-------------
Machinery (0.2%)
Flowserve Corp. (a) 9,180 141,739
-------------
Trading Companies & Distributors (1.7%)
Fastenal Co. 10,100 349,359
W.W. Grainger, Inc. 16,170 746,246
-------------
1,095,605
-------------
Information Technology (21.1%)
Communications Equipment (1.5%)
F5 Networks, Inc. (a) 24,610 338,634
Scientific-Atlanta, Inc. 39,300 638,625
-------------
977,259
-------------
Computers & Peripherals (0.9%)
Electronics For Imaging, Inc. (a) 28,015 537,888
-------------
Electronic Equipment & Instruments (4.1%)
Amphenol Corp., Class A (a) 31,300 1,386,277
Jabil Circuit, Inc. (a) 44,460 831,402
Symbol Technologies, Inc. 33,700 368,341
-------------
2,586,020
-------------
Information Technology Consulting & Services (0.5%)
Acxiom Corp. (a) 24,970 348,581
-------------
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (Continued)
Semiconductor Equipment & Products (3.0%)
Microchip Technology, Inc. 47,960 $ 997,088
National Semiconductor Corp. (a) 17,570 329,086
Novellus Systems, Inc. (a) 20,500 574,820
-------------
1,900,994
-------------
Software (11.1%)
Amdocs Ltd. (a) 37,600 664,016
Autodesk, Inc. 27,800 432,568
BMC Software, Inc. 32,000 477,440
Electronic Arts, Inc. 13,000 770,510
Fair, Isaac & Co., Inc. 17,630 918,170
Intuit, Inc. (a) 16,365 634,635
J.D. Edwards & Co. (a) 30,910 370,302
Mercury Interactive Corp. (a) 22,410 760,595
Network Associates, Inc. (a) 27,600 315,468
Siebel Systems, Inc. (a) 39,080 338,824
Symantec Corp. (a) 20,760 912,402
VERITAS Software Corp. (a) 21,090 464,191
-------------
7,059,121
-------------
Utilities (0.8%)
Electric Utilities (0.2%)
Reliant Resources, Inc. 20,300 114,086
-------------
Multi-Utilities & Unregulated Power (0.6%)
Calpine Corp. (a) 71,500 383,955
-------------
Total Common Stocks
(Cost of $55,172,053) 61,098,992
-------------
<Caption>
PAR
------------
Short-Term Obligation (3.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 04/30/03, due 05/01/03 at 1.180%,
collateralized by a U.S. Treasury Note
maturing 08/15/09, market value of $1,971,627
(repurchase proceeds $1,928,063)
(Cost of $1,928,000) $ 1,928,000 1,928,000
-------------
Total Investments (99.2%)
(Cost of $57,100,053) (b) 63,026,992
Other Assets & Liabilities, Net (0.8%) 503,645
-------------
NET ASSETS (100.0%) $ 63,530,637
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
See Accompanying Notes to Financial Statements.
21
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (96.4%)
Consumer Discretionary (21.1%)
Auto Components (0.9%)
Denso Corp. 9,000 $ 128,485
F.C.C. Co., Ltd. 2,000 47,027
Nissan Shatai Co., Ltd. 51,900 155,160
-------------
330,672
-------------
Automobiles (1.0%)
Honda Motor Co., Ltd. 6,300 208,977
Nissan Motor Co., Ltd. 21,000 161,362
-------------
370,339
-------------
Household Durables (5.0%)
Koninklijke (Royal) Philips Electronics NV (a) 26,100 486,471
Land & Houses Public Co., Ltd., NVDR 2,029,400 350,591
Matsushita Electric Industrial Co., Ltd. 56,000 446,759
Pioneer Corp. 23,500 471,658
Srithai Superware Public Co., Ltd. (a) 770,000 140,213
-------------
1,895,692
-------------
Internet & Catalog Retail (0.6%)
Belluna Co., Ltd. 6,000 219,684
-------------
Media (5.6%)
BEC World Public Co., Ltd. 21,200 101,954
British Sky Broadcasting PLC (a) 33,900 351,647
JC Decaux SA (a) 24,560 237,534
Pearson PLC 65,300 544,710
Reed Elsevier PLC 46,000 367,161
VNU NV (a) 18,000 523,271
-------------
2,126,277
-------------
Multi-Line Retail (4.7%)
Aeon Co., Ltd. 10,700 243,509
Don Quijote Co., Ltd. 1,400 127,326
Marui Co., Ltd. 28,500 237,660
Next PLC 28,600 431,624
Shinsegae Co., Ltd. 2,700 322,222
Wal-Mart de Mexico SA de CV 157,500 435,273
-------------
1,797,614
-------------
Specialty Retail (1.9%)
Kingfisher PLC 103,900 406,342
Shimamura Co., Ltd. 5,700 315,922
-------------
722,264
-------------
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (1.4%)
LVMH Moet Hennessy Louis Vuitton SA (a) 4,300 $ 187,986
Puma AG 3,500 336,705
-------------
524,691
-------------
Consumer Staples (11.4%)
Beverages (3.5%)
Diageo PLC 35,600 395,191
Foster's Group Ltd. 132,500 371,742
Heineken NV (a) 4,500 167,396
Pernod-Ricard SA 4,425 389,128
-------------
1,323,457
-------------
Food & Drug Retailing (1.6%)
Big C Supercenter Public Co., Ltd. 517,000 161,732
Carrefour SA (a) 4,535 197,601
Seven-Eleven Japan Co., Ltd. 10,000 238,495
-------------
597,828
-------------
Food Products (3.2%)
Nestle SA 1,800 367,374
Unilever NV 11,115 701,543
Yakult Honsha Co., Ltd. 9,000 132,264
-------------
1,201,181
-------------
Household Products (1.3%)
Reckitt Benckiser PLC 28,100 495,994
-------------
Personal Products (0.9%)
L'Oreal SA (a) 4,650 333,007
-------------
Tobacco (0.9%)
Imperial Tobacco Group PLC 21,200 355,043
-------------
Energy (3.2%)
Oil & Gas (3.2%)
BP PLC, ADR 12,920 497,937
ENI S.p.A 38,700 552,564
Total Fina Elf SA 1,341 176,176
-------------
1,226,677
-------------
Financials (15.7%)
Banks (12.9%)
Banco Popular Espanol SA 4,800 233,137
Banco Santander Central Hispano SA 23,900 188,127
Bank of Ireland 41,460 512,239
Barclays PLC 57,752 399,300
Credit Agricole SA 7,400 136,437
Credit Lyonnais SA 2,200 136,643
Danske Bank A/S 20,900 402,752
</Table>
See Accompanying Notes to Financial Statements.
23
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Banks (continued)
Grupo Financiero BBVA Bancomer SA de CV (a) 360,000 $ 312,436
Kookmin Bank 5,100 143,136
Royal Bank of Scotland Group PLC 29,604 777,064
Siam Commercial Bank Public Co., Ltd. (a) 195,600 156,398
Standard Chartered Bank Ltd. (a) 49,000 547,078
UBS AG (Registered Shares) 7,000 332,497
UniCredito Italiano S.p.A 139,200 610,107
-------------
4,887,351
-------------
Diversified Financials (0.9%)
ING Groep NV 11,700 190,340
Nomura Holdings, Inc. 16,000 158,683
-------------
349,023
-------------
Insurance (1.0%)
Converium Holding AG (a) 3,100 140,155
Irish Life & Permanent PLC 20,800 241,683
-------------
381,838
-------------
Real Estate (0.9%)
Mitsubishi Estate Co., Ltd. 55,000 322,388
-------------
Health Care (13.5%)
Health Care Equipment & Supplies (3.5%)
Olympus Optical Co., Ltd. 17,000 294,802
ResMed, Inc. (a) 8,600 315,448
Smith & Nephew PLC (a) 104,900 700,115
-------------
1,310,365
-------------
Pharmaceuticals (10.0%)
Chugai Pharmaceutical Co., Ltd. 23,000 241,434
CSL Ltd. 18,300 179,240
Dr. Reddy's Laboratories Ltd., ADR 11,400 215,460
GlaxoSmithKline PLC 19,643 394,006
Novartis AG (a) 12,580 496,793
Ranbaxy Laboratories Ltd., GDR 18,600 288,300
Sanofi Synthelabo SA (a) 8,650 516,945
Sawai Pharmaceutical Co., Ltd. 8,500 205,576
Schering AG 6,700 299,276
Takeda Chemical Industries Ltd. 8,000 293,584
Taro Pharmaceutical Industries Ltd. (a) 2,100 96,096
Teva Pharmaceutical Industries Ltd., ADR 12,300 574,410
-------------
3,801,120
-------------
Industrials (6.6%)
Air Freight & Logistics (0.4%)
Exel PLC 14,500 139,161
-------------
</Table>
See Accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Commercial Services & Supplies (1.6%)
Amadeus Global Travel Distribution SA 78,800 $ 394,716
Capita Group PLC 53,900 218,557
-------------
613,273
-------------
Industrial Conglomerates (1.3%)
Smiths Group PLC 17,300 185,127
Wesfarmers Ltd. 19,920 305,635
-------------
490,762
-------------
Transportation Infrastructure (3.3%)
ACESA Infraestructuras SA (a) 30,945 403,086
BAA PLC 44,500 343,799
Cosco Pacific Ltd. 394,000 333,425
Zhejiang Expressway Co., Ltd., Class H 458,000 174,707
-------------
1,255,017
-------------
Information Technology (7.4%)
Communications Equipment (0.3%)
Nokia Oyj, ADR 8,000 132,560
-------------
Electronic Equipment & Instruments (1.2%)
Hoya Corp. 4,000 236,816
Keyence Corp. 1,320 212,499
-------------
449,315
-------------
Information Technology Consulting & Services (0.3%)
Indra Sistemas SA 11,400 98,147
-------------
Office Electronics (1.1%)
Canon, Inc. 10,000 404,770
-------------
Semiconductor Equipment & Products (3.6%)
Rohm Co., Ltd. 2,800 288,982
Samsung Electronics Co., Ltd. 1,350 338,889
Taiwan Semiconductor Manufacturing Co., Ltd. (a) 45,000 376,650
Tokyo Electron Ltd. 9,400 352,855
-------------
1,357,376
-------------
Software (0.9%)
Dassault Systemes SA 12,352 357,561
-------------
Materials (8.1%)
Chemicals (2.4%)
Givaudan SA 790 306,145
L'Air Liquide SA 1,580 239,728
Shin-Etsu Chemical Co., Ltd. 12,200 365,754
-------------
911,627
-------------
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
SHARES VALUE
------------ -------------
Common Stocks (continued)
Construction Materials (0.9%)
Siam Cement Public Co., Ltd. (a) 126,000 $ 355,924
-------------
Containers & Packaging (1.0%)
Amcor Ltd. 76,300 397,076
-------------
Metals & Mining (2.0%)
BHP Billiton Ltd. 65,500 370,815
Rio Tinto PLC 19,163 366,600
-------------
737,415
-------------
Paper & Forest Products (1.8%)
Stora Enso Oyj, Class R 27,500 299,483
Svenska Cellulosa AB, Class B 5,600 189,779
UPM-Kymmene Corp. 12,000 175,765
-------------
665,027
-------------
Telecommunication Services (6.1%)
Diversified Telecommunication Services (2.0%)
Telefonica SA (a) 69,602 771,217
-------------
Wireless Telecommunication Services (4.1%)
NTT DoCoMo, Inc. 186 384,246
Orange SA (a) 26,100 209,530
Vodafone Group PLC 476,028 940,367
-------------
1,534,143
-------------
Utilities (3.3%)
Electric Utilities (1.9%)
Huaneng Power International, Inc., Class H 418,000 396,612
National Grid Transco PLC 50,300 330,680
-------------
727,292
-------------
Gas Utilities (1.4%)
Centrica PLC 67,000 178,170
Hong Kong and China Gas Co., Ltd. 140,000 165,148
Snam Rete Gas S.p.A 50,500 183,508
-------------
526,826
-------------
Total Common Stocks
(Cost of $36,148,209) 36,496,994
-------------
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligations (3.3%)
Time Deposit (0.1%)
Euro Dollar Time Deposit
1.550% 01/01/05 EUR 26,450 $ 29,574
-------------
Repurchase Agreement (3.2%)
Repurchase agreement with State Street Bank &
Trust Co., dated 04/30/03, due 05/01/03 at 1.180%,
collateralized by a U.S. Treasury Note
maturing 03/31/04, market value of $1,234,878
(repurchase proceeds $1,206,040) $ 1,206,000 1,206,000
-------------
Total Short-Term Obligations
(Cost of $1,234,366) 1,235,574
-------------
Total Investments (99.7%)
(Cost of $37,382,575) (b) 37,732,568
Other Assets & Liabilities, Net (0.3%) 127,161
-------------
NET ASSETS (100.0%) $ 37,859,729
=============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
------------- ----------------------------
EUR Euro
NVDR Non-Voting Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
SUMMARY OF SECURITIES % OF TOTAL
BY COUNTRY VALUE INVESTMENTS
- ------------------------- ---------------- ------------------
United Kingdom $ 9,365,672 24.8%
Japan 6,896,677 18.3
France 3,118,276 8.3
Spain 2,088,430 5.5
Netherlands 2,069,021 5.5
Switzerland 1,642,964 4.3
Australia 1,624,508 4.3
United States* 1,521,448 4.0
Italy 1,346,180 3.6
Thailand 1,266,811 3.4
South Korea 804,247 2.1
Ireland 753,922 2.0
Mexico 747,709 2.0
Israel 670,506 1.8
Germany 665,555 1.8
Finland 607,809 1.6
China 571,319 1.5
India 503,760 1.3
Denmark 402,752 1.1
Taiwan 376,650 1.0
Bermuda 333,425 0.9
Sweden 189,779 0.5
Hong Kong 165,148 0.4
---------------- ------------------
$ 37,732,568 100.0%
================ ==================
</Table>
* Includes short-term obligations.
See Accompanying Notes to Financial Statements.
28
<Page>
CMG SMALL CAP FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID CAP INTERNATIONAL
FUND FUND STOCK FUND
------------- ------------- -------------
ASSETS:
Investments at identified cost $ 215,911,240 $ 57,100,053 $ 37,382,575
------------- ------------- -------------
Investments at value $ 247,426,549 $ 63,026,992 $ 37,732,568
Cash 230 843 116
Cash denominated in foreign currencies (cost of $48,671) - - 49,548
Receivable for:
Investments sold 7,189,847 1,524,891 -
Interest - 63 77
Dividends - 3,090 149,370
Foreign tax reclaims 633 - 84,994
Expense reimbursement due from investment advisor - 16,643 6,301
Other assets - 5,974 9,522
------------- ------------- -------------
Total assets 254,617,259 64,578,496 38,032,496
------------- ------------- -------------
LIABILITIES:
Payable for:
Investments purchased 3,642,126 996,987 136,224
Investment management fee 146,739 37,945 22,353
Transfer agent fee 2,142 - -
Trustees' fee 6,950 - -
Audit fee 14,263 12,927 14,190
Other liabilities 17,294 - -
------------- ------------- -------------
Total liabilities 3,829,514 1,047,859 172,767
------------- ------------- -------------
NET ASSETS $ 250,787,745 $ 63,530,637 $ 37,859,729
============= ============= =============
NET ASSETS consist of:
Paid-in capital $ 333,074,079 $ 83,459,861 $ 46,513,850
Undistributed (accumulated) net investment income (loss) (493,979) (114,084) 213,205
Accumulated net realized loss (113,307,664) (25,742,079) (9,227,224)
Net unrealized appreciation on:
Investments 31,515,309 5,926,939 349,993
Foreign currency - - 9,905
------------- ------------- -------------
NET ASSETS $ 250,787,745 $ 63,530,637 $ 37,859,729
============= ============= =============
Shares of capital stock outstanding 62,897,854 8,740,007 4,047,094
============= ============= =============
Net asset value, offering and redemption price per share $ 3.99 $ 7.27 $ 9.35
============= ============= =============
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
CMG SMALL CAP FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
STATEMENTS OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID CAP INTERNATIONAL
FUND FUND STOCK FUND
------------- ------------- -------------
NET INVESTMENT INCOME:
Income:
Dividends $ 255,166 $ 82,387 $ 394,299
Interest 93,021 10,980 8,054
Foreign withholding tax (1,494) (297) (43,935)
------------- ------------- -------------
Total income 346,693 93,070 358,418
------------- ------------- -------------
Expenses:
Investment management fee 873,273 218,085 110,289
Transfer agent fee 9,000 6,000 6,000
Trustees' fee 5,936 1,533 1,650
Custody fee 14,962 3,858 18,387
Other expenses 10,184 15,671 7,440
------------- ------------- -------------
Total expenses 913,355 245,147 143,766
Expense reimbursement by investment advisor - (16,643) (6,301)
Custody earnings credit (540) (24) (83)
------------- ------------- -------------
Net expenses 912,815 228,480 137,382
------------- ------------- -------------
Net investment income (loss) (566,122) (135,410) 221,036
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCY AND FOREIGN CAPITAL GAINS TAX:
Net realized loss on:
Investments (6,109,791) (1,738,269) (2,097,234)
Foreign currency transactions - - (15,299)
Foreign capital gains tax - - (9,256)
------------- ------------- -------------
Net realized loss (6,109,791) (1,738,269) (2,121,789)
------------- ------------- -------------
Net change in unrealized appreciation/depreciation on:
Investments 25,792,654 4,635,924 1,951,185
Foreign currency translations - - 4,989
------------- ------------- -------------
Net change in net unrealized appreciation/
depreciation 25,792,654 4,635,924 1,956,174
------------- ------------- -------------
Net gain (loss) 19,682,863 2,897,655 (165,615)
------------- ------------- -------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 19,116,741 $ 2,762,245 $ 55,421
------------- ------------- -------------
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG SMALL CAP FUND
----------------------------------
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
Operations:
Net investment loss $ (566,122) $ (1,466,876)
Net realized loss on investments (6,109,791) (50,084,055)
Net change in unrealized appreciation/depreciation on investments 25,792,654 (2,348,752)
-------------- ----------------
Net increase (decrease) from operations 19,116,741 (53,899,683)
Distributions declared to shareholders:
From net realized gains - (74,803)
Net capital share transactions 3,797,326 (1,672,970)
-------------- ----------------
Net increase (decrease) in net assets 22,914,067 (55,647,456)
NET ASSETS:
Beginning of period 227,873,678 283,521,134
-------------- ----------------
End of period $ 250,787,745 $ 227,873,678
============== ================
Undistributed (accumulated) net investment income (loss) $ (493,979) $ 72,143
============== ================
</Table>
See Accompanying Notes to Financial Statements
31
<Page>
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG SMALL/ CMG INTERNATIONAL
MID CAP FUND STOCK FUND
---------------------------------- ----------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002 APRIL 30, 2003 OCTOBER 31, 2002
-------------- ---------------- -------------- ----------------
Operations:
Net investment income (loss) $ (135,410) $ (287,809) $ 221,036 $ 48,664
Net realized loss on
investments, foreign
currency transactions and
foreign capital gains tax (1,738,269) (11,733,008) (2,121,789) (3,433,114)
Net change in unrealized
appreciation/depreciation
on investments and foreign
currency translations 4,635,924 1,504,894 1,956,174 68,234
-------------- ---------------- -------------- ----------------
Net increase (decrease)
from operations 2,762,245 (10,515,923) 55,421 (3,316,216)
Distributions declared to shareholders:
From net investment income - - (92,056) (69,418)
Net capital share transactions 5,999,613 15,893,745 17,280,751 3,448,057
-------------- ---------------- -------------- ----------------
Net increase in net assets 8,761,858 5,377,822 17,244,116 62,423
NET ASSETS:
Beginning of period 54,768,779 49,390,957 20,615,613 20,553,190
-------------- ---------------- -------------- ----------------
End of period $ 63,530,637 $ 54,768,779 $ 37,859,729 $ 20,615,613
============== ================ ============== ================
Undistributed (accumulated) net
investment income (loss) $ (114,084) $ 21,326 $ 213,205 $ 84,225
============== ================ ============== ================
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
CMG SMALL CAP FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Small Cap Fund, CMG Small/Mid Cap Fund and CMG International Stock Fund
(formerly CMC Small Cap Fund, CMC Small/Mid Cap Fund and CMC International Stock
Fund, respectively) (the "Funds") are portfolios of CMG Fund Trust (formerly
CMC Fund Trust) (the "Trust"), an open-end diversified investment company
registered under the Investment Company Act of 1940, as amended. The Trust has
established five other portfolios, CMG Strategic Equity Fund, CMG Fixed Income
Securities Fund, CMG High Yield Fund, CMG International Bond Fund and CMG Short
Term Bond Fund, which are not included in these financial statements. The CMG
International Bond Fund is not yet operational. Each portfolio issues a separate
series of the Trust's shares and maintains a separate investment portfolio.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by each Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on the last
sales prices reported by the principal securities exchanges on which the
investments are traded or, in the absence of recorded sales, at the closing bid
prices on such exchanges or over-the-counter markets. If the foreign share
prices are not readily available as a result of limited share activity, the
securities are valued at the last sale price of the local shares in the
principal market in which such securities are normally traded. Investment
securities with less than 60 days to maturity when purchased are valued at
amortized cost, which approximates market value. Investment securities for which
market quotations are not readily available will be valued at fair market value
as determined in good faith under procedures established by and under the
general supervision of the Board of Trustees. Foreign currency exchange rates
are also generally determined prior to the close of the New York Stock Exchange.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close of
the customary trading session of the New York Stock Exchange, which would not be
reflected in the computation of the Funds' net asset value. If events materially
affecting the value of such securities and such exchange rates occur during such
period, then these securities will be valued as their fair value as determined
in good faith by or under the supervision of the Board of Trustees.
REPURCHASE AGREEMENTS. The Funds may engage in repurchase agreement
transactions. The Funds, through their custodian, receive delivery of underlying
securities collateralizing repurchase agreements. The Funds' investment advisor
determines that the value of the underlying securities is at all times at least
equal to the resale price. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes.
INVESTMENT INCOME AND EXPENSES. Dividend income less foreign taxes withheld (if
any) is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend, if
such information is obtained subsequent to the ex-dividend date. Interest income
is recorded on the accrual basis. Expenses are recorded on the accrual basis and
each Fund bears expenses incurred specifically on its behalf as well as a
portion of general expenses incurred on behalf of the Trust and its underlying
portfolios.
33
<Page>
FORWARD CURRENCY EXCHANGE CONTRACTS. The CMG International Stock Fund may enter
into forward currency contracts in connection with planned purchases or sales of
securities or to hedge the US dollar value of the portfolio securities
denominated in a foreign currency. Contracts are valued at the prevailing
forward exchange rate of the underlying currencies. The gain or loss arising
from the difference between the original contract price and the closing price of
such contract is included in the net realized gains or losses from foreign
currency transactions. Fluctuations in the value of forward currency contracts
are recorded for financial reporting purposes as unrealized gains or losses. The
Fund could be exposed to risks if counterparties to the forward contracts are
unable to meet the terms of their contracts or if the value of the foreign
currency changes unfavorably. The effect of any change in the value of a hedged
foreign currency would be offset by the corresponding change (resulting from a
change in exchange rates) in value of the securities denominated in that
currency. Net realized loss arising from such transactions for the six months
ended April 30, 2003, amounted to $15,299 and is included in realized loss on
foreign currency transactions. As of April 30, 2003, the Fund had no outstanding
forward currency contracts.
FOREIGN CURRENCY TRANSLATIONS. The books and records of the CMG International
Stock Fund are maintained in U.S. dollars. Foreign currencies, investments and
other assets and liabilities of the Fund are translated into U.S. dollars at the
daily rates of exchange on the valuation date. Purchases and sales of investment
securities, dividend and interest income and certain expenses are translated at
the rates of exchange prevailing on the respective dates of such transactions.
The CMG International Stock Fund does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices on investments held. Such
fluctuations are included with the net realized and unrealized gain or loss from
investments.
Reported net realized foreign currency gains or losses arise from the sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
CMG International Stock Fund's books and the U.S. dollar equivalents of the
amounts actually received or paid. Net unrealized foreign exchange gains or
losses arise from changes in the value of assets and liabilities, other than
investments in securities, resulting from changes in the exchange rate.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared and paid annually. Distributions from any net realized gains
are generally declared and paid annually. Additional distributions of net
investment income and capital gains for each Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. Each Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Funds.
Therefore, no federal income or excise tax provision is required.
FOREIGN CAPITAL GAINS TAXES. Realized gains in certain countries may be subject
to foreign taxes at the Fund level, at rates ranging from approximately 10% to
30%. The Funds provide for such foreign taxes on net realized and unrealized
gains at the appropriate rate for each jurisdiction.
34
<Page>
OTHER. There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities. These
risks may involve foreign currency exchange rate fluctuations, adverse political
and economic developments and the possible prevention of currency exchange or
other foreign governmental laws or restrictions.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
Columbia Management Advisors, Inc. ("Columbia"), formerly known as Columbia
Management Co., an indirect, wholly-owned subsidiary of FleetBoston Financial
Corporation ("Fleet") is the investment advisor of the Funds.
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
previous administrator to the Funds, merged into Columbia. At the time of the
merger, Columbia assumed the obligations of Colonial with respect to the Funds.
The merger did not change the way the Funds are managed, the investment
personnel assigned to manage the Funds or the fees paid by the Funds to
Columbia.
Investment management fees are paid monthly to Columbia. The Fund's fees are
based on an annual rate of 0.75% of average daily net assets. Effective March 1,
2003, for the CMG Small/Mid Cap Fund and the CMG International Stock Fund the
investment management fee is a unified fee which includes accounting expenses,
legal fees, transfer agent fees, custody fees and miscellaneous expenses. The
unified fee does not include Trustee's fees, Trustee legal counsel fees, audit
fees and interest expenses associated with any borrowings by the Funds.
Effective February 27, 2003, Columbia contractually agreed to reimburse ordinary
expenses (expenses incurred throughout the ordinary course of business) of the
CMG Small/Mid Cap Fund and CMG International Stock Fund indefinitely, to the
extent that these expenses, together with the advisory fee, exceed 0.75% of the
Fund's average daily net assets. Prior to February 27, 2003, the rate in effect
for CMG Small/Mid Cap Fund was 0.80% of the Fund's average daily net assets.
Trustees' fees and expenses are paid directly by each Fund to trustees having no
affiliation with the Funds other than their capacity as trustees. Other officers
and trustees received no compensation from the Funds.
The transfer agent for the Funds is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month. Effective March 1, 2003, for the CMG
Small/Mid Cap Fund and the CMG International Stock Fund transfer agent fees are
included in the unified fee.
Columbia is responsible for providing pricing and bookkeeping services to the
Funds under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Funds
are not charged a fee for these services.
OTHER. The Funds each have an agreement with their custodian bank under which
custody fees were reduced by balance credits. The Funds could have invested a
portion of the assets utilized in connection with the expense offset arrangement
in an income producing asset if it had not entered into such an agreement. The
amounts of custody credits for the six months ended April 30, 2003 were as
follows:
<Table>
CMG Small Cap Fund $ 540
CMG Small/Mid Cap Fund 24
CMG International Stock Fund 83
</Table>
35
<Page>
3. FEDERAL INCOME TAX:
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
Reclassifications are made to the Funds' capital accounts to reflect income and
gains available for distribution (or available capital loss carryforwards) under
income tax regulations.
The following capital loss carryforwards, determined as of October 31, 2002, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CMG CMG SMALL/ CMG
SMALL CAP MID CAP INTERNATIONAL
FUND FUND STOCK FUND
-------------- ------------- -------------
YEAR OF EXPIRATION
2009 $ 52,068,024 $ 11,372,398 $ 3,488,300
2010 52,106,545 11,756,670 3,440,479
-------------- ------------- -------------
$ 104,174,569 $ 23,129,068 $ 6,928,779
============== ============= =============
</Table>
4. INVESTMENT TRANSACTIONS:
For both financial statement and federal income tax purposes, unrealized
appreciation (depreciation) on investments at April 30, 2003, were as follows:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
FUND APPRECIATION DEPRECIATION APPRECIATION
- ---- -------------- ------------- -------------
CMG Small Cap Fund $ 39,148,026 $ (7,632,717) $ 31,515,309
CMG Small/Mid Cap Fund 7,794,096 (1,867,157) 5,926,939
CMG International Stock Fund 2,476,872 (2,126,879) 349,993
</Table>
For the six months ended April 30, 2003, purchases and sales and maturities of
long-term securities, excluding U.S. Government securities, were as follows:
<Table>
<Caption>
SALES AND
PURCHASES MATURITIES
-------------- --------------
CMG Small Cap Fund $ 132,719,170 $ 124,425,693
CMG Small/Mid Cap Fund 39,028,864 34,718,237
CMG International Stock Fund 28,064,690 11,287,464
</Table>
36
<Page>
5. CAPITAL STOCK ACTIVITY:
At April 30, 2003, each Fund had 100 million shares of no par value capital
stock authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
CMG SMALL CAP FUND
----------------------------------
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
SHARES:
Shares sold 4,958,610 28,006,875
Shares issued for reinvestment of distributions - 15,143
-------------- ----------------
4,958,610 28,022,018
Less shares redeemed (4,072,966) (30,327,298)
-------------- ----------------
Net increase (decrease) in shares 885,644 (2,305,280)
============== ================
AMOUNTS:
Sales $ 18,651,622 $ 122,231,939
Reinvestment of distributions - 74,656
-------------- ----------------
18,651,622 122,306,595
Less redemptions (14,854,296) (123,979,565)
-------------- ----------------
Net increase (decrease) $ 3,797,326 $ (1,672,970)
============== ================
</Table>
<Table>
<Caption>
CMG SMALL/MID CAP FUND
----------------------------------
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
SHARES:
Shares sold 1,112,250 2,797,021
Less shares redeemed (243,911) (1,096,189)
-------------- ----------------
Net increase in shares 868,339 1,700,832
============== ================
AMOUNTS:
Sales $ 7,711,574 $ 23,551,961
Less redemptions (1,711,961) (7,658,216)
-------------- ----------------
Net increase $ 5,999,613 $ 15,893,745
============== ================
</Table>
37
<Page>
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND
----------------------------------
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
SHARES:
Shares sold 2,043,246 944,395
Shares issued for reinvestment of distributions 9,466 6,392
-------------- ----------------
2,052,712 950,787
Less shares redeemed (217,533) (710,896)
-------------- ----------------
Net increase in shares 1,835,179 239,891
============== ================
AMOUNTS:
Sales $ 19,222,728 $ 10,312,316
Reinvestment of distributions 86,707 69,418
-------------- ----------------
19,309,435 10,381,734
Less redemptions (2,028,684) (6,933,677)
-------------- ----------------
Net increase $ 17,280,751 $ 3,448,057
============== ================
</Table>
6. LINE OF CREDIT:
The Funds are a party to a $100,000,000 uncommitted line of credit that covers
all the funds of the Trust together with the Columbia Funds, an affiliated group
of funds managed by the investment advisor. The uncommitted line of credit
expires on July 2, 2003. The Funds did not utilize the line of credit during the
six months ended April 30, 2003.
38
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/989N-0503 (06/03) C-03/011
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Funds distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG FIXED INCOME SECURITIES FUND
CMG HIGH YIELD FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
APRIL 30, 2003
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Fixed Income
Securities Fund. For the six-month period ended April 30, 2003, the fund
returned 3.60%. The fund underperformed the Lehman Brothers Aggregate Bond
Index, which returned 4.31%, and the Lipper A Rated Bond Fund Index, which
returned 5.34% over the same period. We believe that the fund's relatively low
exposure to corporate bonds, especially lower-quality bonds, which rallied
strongly during the period, accounted for its relatively weak performance.
The fixed-income markets fluctuated during the period as economic considerations
were driven by news related to the war in Iraq. Nevertheless, interest rates
moved lower and bond prices moved higher. Early in the six-month period, the
federal funds rate-the interest rate banks charge each other for overnight
loans-was reduced by one-half of a percentage point to a record low of 1.25%.
By the end of the period, with the war coming to an end, the yield on the
10-year US Treasury stood at 3.85%, after declining to a record low of 3.57% in
mid-March.
Many investors were surprised that interest rates continued to decline, as they
had expected the next move to be upward. However, continued weak economic growth
kept interest rates low. In the fourth quarter of 2002, US gross domestic
product (GDP)-a measure of the economy's growth-rose only 1.4%, followed by a
growth rate of 1.6% in the first quarter of 2003. These figures were well below
the 4% growth rate achieved in the third quarter of 2002.
Also during this period, lower quality bonds generated superior returns as
investors were generally willing to take on extra risk in pursuit of higher
yields. Corporate bonds outpaced Treasuries by a wide margin. Agency and
mortgage-backed securities also performed better than Treasuries.
Although we raised the fund's commitment to corporate bonds from 26% of net
assets to 35% of net assets during the period, our focus on higher-quality
corporate bonds was out of favor in this environment. Most of our holdings were
rated A or better. By comparison, the Lehman Brothers Aggregate Bond Index had a
higher weighting in the BBB segment, where the gains were the biggest. The index
also included some previously distressed telecommunications and utilities
securities that rebounded sharply during the six-month period.
Looking ahead, we believe that the economy has the potential to improve over the
next 12 months. If economic growth picks up and the stock market rallies, we
might see some upward pressure on interest rates. Even if the economy does not
recover by year end, we do not expect the Federal Reserve to continue to lower
interest rates. With rates at historically low levels, the amount of additional
stimulus generated by another fractional reduction would likely be limited. In
either case, we don't believe that inflation is likely to be a problem, which
means that bond investors have an opportunity to achieve a positive
inflation-adjusted return despite low prevailing interest rates.
1
<Page>
The fund's top ten holdings (as a percentage of net assets) as of April 30,
2003 were:
<Table>
<Caption>
HOLDING (%)
Federal National Mortgage Association, 5.000% TBA 14.7
Federal Home Loan Mortgage Corp., 6.000%
05/01/2017 - 05/01/2033 5.1
US Treasury Bond, 6.250% 08/15/2023 4.6
US Treasury Bond, 8.875% 08/15/2017 3.0
US Treasury Inflation Index Bonds, 3.375% 01/15/2007 2.5
Residential Asset Securitization Trust, 5.180% 01/25/2027 2.5
US Treasury Note, 3.325% 01/15/2008 2.5
Federal National Mortgage Association, 6.000% 03/01/2033 2.4
Federal Home Loan Mortgage Corp., 6.000% TBA 2.3
Residential Asset Securitization Trust, 5.820% 01/25/2027 1.9
</Table>
We appreciate your continued confidence in the CMG Fixed Income Securities Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale. Total return performance is illustrated for the period ended April 30,
2003.
Investing in fixed-income securities offers the potential for attractive
current income and total returns, but also involves certain risks. The value and
return of your investment may fluctuate as a result of changes in interest
rates; the financial strength of issuers of lower-rated bonds; political and
economic developments.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the top ten holdings breakdown listed. The fund's holdings
and their weightings within the portfolio may change as market conditions
change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG FIXED INCOME LEHMAN BROTHERS AGGREGATE LIPPER A RATE
SECURITIES FUND BOND INDEX BOND INDEX
8/31/2000 $ 10,000 $ 10,000 $ 10,000
9/30/2000 $ 10,075 $ 10,063 $ 10,055
10/31/2000 $ 10,130 $ 10,129 $ 10,097
11/30/2000 $ 10,309 $ 10,296 $ 10,247
12/31/2000 $ 10,522 $ 10,487 $ 10,457
1/31/2001 $ 10,681 $ 10,659 $ 10,651
2/28/2001 $ 10,786 $ 10,752 $ 10,747
3/31/2001 $ 10,844 $ 10,806 $ 10,785
4/30/2001 $ 10,784 $ 10,760 $ 10,723
5/31/2001 $ 10,850 $ 10,825 $ 10,794
6/30/2001 $ 10,897 $ 10,866 $ 10,837
7/31/2001 $ 11,144 $ 11,109 $ 11,083
8/31/2001 $ 11,264 $ 11,237 $ 11,208
9/30/2001 $ 11,424 $ 11,368 $ 11,252
10/31/2001 $ 11,651 $ 11,606 $ 11,495
11/30/2001 $ 11,503 $ 11,446 $ 11,356
12/31/2001 $ 11,445 $ 11,373 $ 11,271
1/31/2002 $ 11,499 $ 11,465 $ 11,350
2/28/2002 $ 11,605 $ 11,576 $ 11,434
3/31/2002 $ 11,426 $ 11,384 $ 11,251
4/30/2002 $ 11,636 $ 11,605 $ 11,450
5/31/2002 $ 11,736 $ 11,703 $ 11,537
6/30/2002 $ 11,823 $ 11,804 $ 11,587
7/31/2002 $ 11,911 $ 11,947 $ 11,656
8/31/2002 $ 12,114 $ 12,149 $ 11,869
9/30/2002 $ 12,295 $ 12,345 $ 12,053
10/31/2002 $ 12,114 $ 12,289 $ 11,933
11/30/2002 $ 12,090 $ 12,285 $ 11,976
12/31/2002 $ 12,277 $ 12,539 $ 12,236
1/31/2003 $ 12,288 $ 12,551 $ 12,261
2/28/2003 $ 12,469 $ 12,724 $ 12,440
3/31/2003 $ 12,454 $ 12,714 $ 12,432
4/30/2003 $ 12,551 $ 12,819 $ 12,571
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Fixed Income Securities Fund 8/31/00 3.60 7.86 8.91
Lehman Brothers Aggregate Bond Index 4.31 10.47 9.75
Lipper A Rated Bond Index 5.34 9.78 8.96
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
6-MONTH 1-YEAR LIFE
INCEPTION (CUMULATIVE)
CMG Fixed Income Securities Fund 8/31/00 1.29 9.00 8.88
Lehman Brothers Aggregate Bond Index 2.99 11.69 9.73
Lipper A Rated Bond Index 3.13 10.50 8.79
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. Total return performance is for the periods ended
Apri1 30, 2003 and March 31, 2003.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of
investment-grade US Treasury and agency securities, corporate bonds and
mortgage-backed bonds. Unlike a mutual fund, the index is not an investment,
does not incur fees and is not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index. The Lipper A Rated Bond Funds Index, measures performance of all A rated
bond funds tracked by Lipper Analytical Services.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
3
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG High Yield
Fund. For the six-month period ended April 30, 2003, the fund returned 10.89%.
During this time, the fund trailed the Merrill Lynch Intermediate BB Index,
which returned 13.01%. The fund fell behind the index because it focused on
higher quality junk bonds, which did not perform as well as lower quality junk
bonds during the period.
Although the period was marked by slow economic growth and investor pessimism,
the high-yield market bounced back after a period of underperforming treasuries.
A declining default rate, attractive yields and more prudent business practices
among corporate issuers fueled the rebound. Lower quality issues in previously
distressed industries, such as utilities, telecommunications and technology,
generated the strongest returns. For the six-month period ended April 30, 2003,
lower quality CCC-rated securities were up 42%, versus 13% for higher quality
BB-rated bonds.
Although higher quality issues lagged over the recent period, the fund
maintained its strategic focus on higher quality non-investment grade bonds
issued by companies with improving business prospects. Our approach emphasizes
rigorous, bottom-up credit analysis to identify compelling investment
opportunities among these higher quality issuers.
During the period, we added companies we believe have demonstrated the ability
to improve their credit statistics. In the paper and forest products sector, we
purchased Anitibi-Consolidated, Cascades and Smurfit-Stone Container (1.0%, 0.6%
and 1.1% of net assets, respectively). We also purchased positions in three
publishing companies, Houghton Mifflin, R.H. Donnelley and Dex Media East (1.4%,
1.7% and 1.8% of net assets, respectively). In the energy sector, we added
Westport Resources (1.8% of net assets), an exploration and production company
that delivered strong performance over the past year. Based on a strong credit
outlook and improving free cash flow, we believe Westport Resources is a likely
candidate for a ratings upgrade.
As part of our strategy, we target securities that we believe offer the
potential for attractive long-term value. Intensive research helps us monitor
our effort to identify issues that may affect our outlook for specific holdings.
As a result of this process, we reduced our positions in both the homebuilding
and automotive industries during the period. We sold Cummins, a manufacturer of
truck engines, based on our estimate of the firm's diminishing business
prospects. While Cummins had generated strong performance for the fund, we
became increasingly concerned with growing industry competition, a factor that
could reduce the company's profitability and credit ratings.
Overall, corporate bonds continue to attract significant new investment, and
that has benefited the high-yield market. Going forward, we remain cautious as
near-term economic prospects remain weak. We are, however, optimistic that
investors will continue to favor high-yield bonds, even if market uncertainty
prevails during the next six months. Furthermore, we are confident that our
conservative investment approach will be competive over the long term.
4
<Page>
The fund's top ten holdings (as a percentage of net assets) as of April 30, 2003
were:
<Table>
<Caption>
HOLDING (%)
Park Place Entertainment, 9.375% 02/15/2007 2.1
Harrah's Operating Co., 7.875% 12/15/2005 2.1
Cott Beverages, 8.000% 12/15/2011 2.1
Lamar Media, 7.250% 01/01/2013 2.0
Allied Waste North America, 10.000% 08/01/2009 2.0
Silgan Holdings, 9.000% 06/01/2009 1.9
Hasbro, 8.500% 03/15/2006 1.9
Extended Stay America, 9.875% 06/15/2011 1.8
Dex Media East, 12.125% 11/15/2012 1.8
Westport Resources, 8.250% 11/01/2011 1.7
</Table>
We appreciate your continued confidence in the CMG High Yield Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale. Total return performance is illustrated for the period ended April 30,
2003. Holdings are disclosed as of April 30, 2003, and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weighting within the portfolio may change as market conditions change.
Investing in high-yield securities offers the potential for high current income
and attractive total return, but involves certain risks. Lower rated bond risks
include default of the issuer, rising interest rates and risk associated with
investing in securities of foreign and emerging markets, including currency
exchange rate fluctuations and economic and political change.
5
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG HIGH YIELD FUND MERRILL LYNCH INTERMEDIATE BB INDEX
7/5/1994 $ 10,000 $ 10,000
7/31/1994 $ 9,989 $ 10,101
8/31/1994 $ 10,063 $ 10,181
9/30/1994 $ 10,105 $ 10,170
10/31/1994 $ 10,119 $ 10,192
11/30/1994 $ 9,990 $ 10,127
12/31/1994 $ 10,118 $ 10,222
1/31/1995 $ 10,261 $ 10,388
2/28/1995 $ 10,570 $ 10,671
3/31/1995 $ 10,660 $ 10,797
4/30/1995 $ 10,896 $ 10,999
5/31/1995 $ 11,176 $ 11,350
6/30/1995 $ 11,271 $ 11,451
7/31/1995 $ 11,417 $ 11,505
8/31/1995 $ 11,447 $ 11,593
9/30/1995 $ 11,613 $ 11,721
10/31/1995 $ 11,787 $ 11,833
11/30/1995 $ 11,925 $ 11,994
12/31/1995 $ 12,125 $ 12,167
1/31/1996 $ 12,304 $ 12,337
2/29/1996 $ 12,369 $ 12,299
3/31/1996 $ 12,212 $ 12,219
4/30/1996 $ 12,188 $ 12,164
5/31/1996 $ 12,204 $ 12,197
6/30/1996 $ 12,221 $ 12,313
7/31/1996 $ 12,324 $ 12,379
8/31/1996 $ 12,557 $ 12,481
9/30/1996 $ 12,778 $ 12,693
10/31/1996 $ 12,920 $ 12,892
11/30/1996 $ 13,210 $ 13,144
12/31/1996 $ 13,300 $ 13,166
1/31/1997 $ 13,407 $ 13,274
2/28/1997 $ 13,586 $ 13,415
3/31/1997 $ 13,384 $ 13,289
4/30/1997 $ 13,515 $ 13,432
5/31/1997 $ 13,860 $ 13,647
6/30/1997 $ 14,030 $ 13,838
7/31/1997 $ 14,409 $ 14,170
8/31/1997 $ 14,386 $ 14,128
9/30/1997 $ 14,593 $ 14,330
10/31/1997 $ 14,584 $ 14,419
11/30/1997 $ 14,740 $ 14,511
12/31/1997 $ 14,913 $ 14,644
1/31/1998 $ 15,165 $ 14,823
2/28/1998 $ 15,242 $ 14,857
3/31/1998 $ 15,334 $ 14,939
4/30/1998 $ 15,390 $ 15,033
5/31/1998 $ 15,472 $ 15,152
6/30/1998 $ 15,585 $ 15,253
7/31/1998 $ 15,781 $ 15,352
8/31/1998 $ 15,250 $ 15,030
9/30/1998 $ 15,545 $ 15,308
10/31/1998 $ 15,460 $ 15,136
11/30/1998 $ 15,987 $ 15,463
12/31/1998 $ 16,005 $ 15,572
1/31/1999 $ 16,187 $ 15,673
2/28/1999 $ 16,100 $ 15,601
3/31/1999 $ 16,246 $ 15,765
4/30/1999 $ 16,371 $ 15,936
5/31/1999 $ 16,185 $ 15,775
6/30/1999 $ 16,154 $ 15,766
7/31/1999 $ 16,162 $ 15,801
8/31/1999 $ 16,021 $ 15,733
9/30/1999 $ 16,023 $ 15,796
10/31/1999 $ 16,047 $ 15,723
11/30/1999 $ 16,292 $ 15,872
12/31/1999 $ 16,389 $ 15,960
1/31/2000 $ 16,315 $ 15,882
2/29/2000 $ 16,351 $ 15,858
3/31/2000 $ 16,243 $ 15,751
4/30/2000 $ 16,358 $ 15,731
5/31/2000 $ 16,342 $ 15,613
6/30/2000 $ 16,714 $ 15,956
7/31/2000 $ 16,856 $ 16,151
8/31/2000 $ 17,165 $ 16,382
9/30/2000 $ 17,146 $ 16,289
10/31/2000 $ 17,009 $ 15,953
11/30/2000 $ 16,786 $ 15,931
12/31/2000 $ 17,266 $ 16,235
1/31/2001 $ 17,933 $ 16,875
2/28/2001 $ 18,098 $ 17,130
3/31/2001 $ 18,000 $ 17,272
4/30/2001 $ 17,957 $ 17,387
5/31/2001 $ 18,046 $ 17,673
6/30/2001 $ 17,812 $ 17,544
7/31/2001 $ 17,983 $ 17,845
8/31/2001 $ 18,262 $ 18,049
9/30/2001 $ 17,507 $ 17,148
10/31/2001 $ 18,187 $ 17,565
11/30/2001 $ 18,712 $ 18,016
12/31/2001 $ 18,529 $ 17,854
1/31/2002 $ 18,657 $ 17,847
2/28/2002 $ 18,502 $ 17,729
3/31/2002 $ 18,742 $ 18,102
4/30/2002 $ 18,887 $ 18,442
5/31/2002 $ 18,851 $ 18,460
6/30/2002 $ 18,359 $ 17,068
7/31/2002 $ 18,060 $ 16,375
8/31/2002 $ 18,401 $ 16,685
9/30/2002 $ 18,314 $ 16,618
10/31/2002 $ 18,296 $ 16,583
11/30/2002 $ 18,900 $ 17,189
12/31/2002 $ 19,047 $ 17,426
1/31/2003 $ 19,245 $ 17,745
2/28/2003 $ 19,442 $ 17,895
3/31/2003 $ 19,788 $ 18,114
4/30/2003 $ 20,300 $ 18,746
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG High Yield Fund 7/6/94 10.89 7.43 5.69 8.36
Merril Lynch Intermediate BB Index 13.01 1.62 4.52 7.37
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG High Yield Fund 7/6/94 8.05 5.58 5.24 8.13
Merril Lynch Intermediate BB Index 9.02 0.08 4.78 7.03
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distribution. Total return performance is for the periods ended
April 30, 2003 and March 31, 2003.
The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting
of BB cash pay bonds, which are US dollar denominated bonds issued in the US
domestic market with maturities between 1 and 10 years. Unlike mutual funds,
indices are not investments, do not incur fees and are not professionally
managed. It is not possible to invest directly in an index. Securities in the
fund may not match those in an index. Index performance is from June 30, 1994.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
6
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD ENDED
APRIL 30, -------------------------- OCTOBER 31,
2003 2002 2001 2000 (a)
----------- -------- -------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.52 $ 10.83 $ 10.02 $ 10.00
----------- -------- -------- ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22(b) 0.56(b)(c) 0.65 0.11
Net realized and unrealized gain (loss) on
investments and futures contracts 0.16 (0.15)(c) 0.81 0.02
----------- -------- -------- ------------
Total from investment operations 0.38 0.41 1.46 0.13
----------- -------- -------- ------------
LESS DISTRIBUTIONS DECLARED TO SHARESOLDERS:
From net investment income (0.23) (0.58) (0.65) (0.11)
From net realized gains - (0.14) (0.00)(d) -
----------- -------- -------- ------------
Total distributions (0.23) (0.72) (0.65) (0.11)
----------- -------- -------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.52 $ 10.83 $ 10.02
=========== ======== ======== ============
Total return (e)(j) 3.60%(f) 3.97% 15.01% 1.31%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 25,483 $ 27,412 $ 28,774 $ 10,866
Ratio of net expenses to average net assets (g)(h) 0.40%(i) 0.40% 0.40% 0.40%(i)
Ratio of total expenses to average net assets (g)(h) 0.63%(i) 0.56% 0.65% 1.46%(i)
Ratio of net investment income to average
net assets (h) 4.22%(i) 5.34%(c) 6.14% 6.57%(i)
Portfolio turnover rate 65%(f) 147% 140% 103%(f)
</Table>
(a) The Fund commenced investment operations on September 1, 2000. Per share
data reflects activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.02, decrease net realized and unrealized loss per
share by $0.02 and decrease the ratio of net investment income to average
net assets from 5.53% to 5.34%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(d) Rounds to less than $0.01 per share.
(e) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(f) Not annualized.
(g) The investment advisor has contractually agreed, through October 31, 2004,
to reimburse ordinary expenses of the Fund, to the extent that these
expenses, together with the advisory fee, exceed 0.40% of the Fund's average
daily net assets.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(i) Annualized.
(j) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
7
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, --------------------------------------------------------------------
2003 2002 2001 2000 1999(a) 1998(a)
----------- --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 7.55 $ 8.14 $ 8.30 $ 8.54 $ 8.95 $ 9.21
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.29(b) 0.64(b)(c) 0.72 0.73 0.74 0.76
Net realized and unrealized
gain (loss) on investments 0.52 (0.58)(c) (0.16) (0.24) (0.41) (0.21)
----------- --------- --------- --------- --------- ---------
Total from investment
operations 0.81 0.06 0.56 0.49 0.33 0.55
----------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net investment
income (0.30) (0.65) (0.72) (0.73) (0.74) (0.76)
From net realized
gains - - - - (0.00)(d) (0.05)
----------- --------- --------- --------- --------- ---------
Total distributions (0.30) (0.65) (0.72) (0.73) (0.74) (0.81)
----------- --------- --------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD $ 8.06 $ 7.55 $ 8.14 $ 8.30 $ 8.54 $ 8.95
=========== ========= ========= ========= ========= =========
Total return (j) 10.89%(e)(f) 0.60% 6.92% 6.01% 3.75% 6.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 377,662 $ 286,228 $ 348,979 $ 319,985 $ 271,551 $ 263,912
Ratio of net expenses to
average net assets (g) 0.43%(h)(i) 0.42% 0.44% 0.43% 0.43% 0.45%
Ratio of total expenses to
average net assets (g) 0.43%(h)(i) 0.42% 0.44% 0.43% 0.43% 0.45%
Ratio of net investment
income to average net
assets (g) 7.54%(h) 7.98%(c) 8.63% 8.70% 8.39% 8.28%
Portfolio turnover rate 20%(e) 62% 59% 56% 62% 71%
</Table>
(a) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.01, decrease net realized and unrealized loss per
share by $0.01 and decrease the ratio of net investment income to average
net assets from 8.11% to 7.98%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(d) Rounds to less than $0.01 per share.
(e) Not annualized.
(f) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
(i) Effective February 27, 2003, the investment advisor has contractually agreed
to reimburse ordinary expenses of the Fund indefinitely, to the extent that
these expenses, together with the advisory fee, exceed 0.40% of the Fund's
average daily net assets.
(j) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
8
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
U.S. Government & Agency Securities (47.1%)
U.S. Treasury Notes & Bonds (13.6%)
U.S. Treasury Bonds
6.250% 08/15/2023 $ 990,000 $ 1,172,841
8.875% 08/15/2017 515,000 756,929
U.S. Treasury Inflation Index Bonds
3.375% 01/15/2007 595,021 648,294
U.S. Treasury Notes
3.325% 01/15/2008 583,531 645,440
4.875% 02/15/2012 235,000 254,847
-------------
3,478,351
-------------
U.S. Agency Bonds (0.3%)
Federal Home Loan Bank
3.625% 10/15/2004 80,000 82,616
-------------
Government National Mortgage Association (GNMA) (1.3%)
7.000% 01/15/2032 - 03/15/2032 307,074 325,762
-------------
Federal Home Loan Mortgage Corp. (FHLMC) (9.4%)
3.500% 09/15/2003 (a) 50,000 50,439
6.000% 05/01/2017 - 05/01/2033 1,245,671 1,295,590
6.500% 08/01/2032 431,037 450,164
To Be Announced
6.000% (b) 569,000 591,938
-------------
2,388,131
-------------
Federal National Mortgage Association (FNMA) (17.6%)
6.000% 03/01/2033 598,030 623,384
6.500% 07/01/2032 121,260 126,734
To Be Announced
5.000% (b) 3,635,000 3,737,343
-------------
4,487,461
-------------
Agency Collateralized Mortgage Obligations (4.9%)
GNMA Gtd. Remic Pass Thru Secs.
Remic Tr. 1999-14 Cl. PE
6.000% 11/20/2025 150,000 156,289
Remic Tr. 2002-40 Cl. UL
6.500% 06/01/2032 170,000 180,566
FHLMC GNMA Multiclass Mtg. Partn. Ctfs
Gtd. Series 24 Cl. J
6.250% 11/25/2023 150,000 161,037
Gtd. Series 2113 Cl. MU
6.500% 08/15/2027 260,000 268,311
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
U.S. Government & Agency Securities (continued)
FNMA Gtd. Remic Pass Thru Ctfs.
Remic Tr. 2001-56 Cl. KD
6.500% 07/25/2030 $ 140,000 $ 146,265
Remic Tr. 2001-34 Cl. AE
6.000% 07/25/2029 310,000 326,059
-------------
1,238,527
-------------
Total U.S. Government & Agency Securities
(Cost of $11,630,651) 12,000,848
-------------
Corporate Notes & Bonds (35.3%)
Financials (13.4%)
American General Finance
5.375% 09/01/2009 50,000 53,522
Bank of America Corp.
5.875% 02/15/2009 100,000 111,786
7.800% 02/15/2010 100,000 121,796
Bank One N.A. Illinois
3.700% 01/15/2008 150,000 153,297
CIT Group, Inc.
7.250% 08/15/2005 60,000 65,009
Citigroup, Inc.
7.250% 10/01/2010 175,000 207,766
Equitable Companies, Inc.
9.000% 12/15/2004 175,000 193,814
Ford Motor Credit Co.
6.875% 02/01/2006 235,000 243,259
7.375% 10/28/2009 25,000 25,575
General Electric Capital Corp.
6.750% 03/15/2032 25,000 29,029
General Motors Acceptance Corp.
5.250% 05/16/2005 175,000 179,680
Goldman Sachs Group, Inc.
6.125% 02/15/2033 75,000 77,830
Health Care Property Investors, Inc.
6.875% 06/08/2005 (c) 125,000 133,785
Household Finance Corp.
6.400% 06/17/2008 130,000 145,993
John Deere Capital Corp.
3.900% 01/15/2008 135,000 137,915
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 150,000 153,372
Merrill Lynch & Co.
2.470% 03/10/2006 125,000 125,069
Morgan Stanley & Co.
4.250% 05/15/2010 50,000 49,727
6.100% 04/15/2006 75,000 82,337
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
SLM Corp.
5.125% 08/27/2012 $ 200,000 $ 208,559
US Bank N.A
6.375% 08/01/2011 225,000 257,458
Wachovia Corp.
4.950% 11/01/2006 200,000 215,292
Washington Mutual, Inc.
5.625% 01/15/2007 150,000 163,887
Wells Fargo & Co.
7.250% 08/24/2005 150,000 168,113
Wells Fargo Financial, Inc.
4.875% 06/12/2007 110,000 117,806
-------------
3,421,676
-------------
Health Care (0.9%)
Anthem, Inc.
6.800% 08/01/2012 85,000 96,958
Wyeth
6.250% 03/15/2006 125,000 138,290
-------------
235,248
-------------
Industrial (15.3%)
Alcan, Inc.
7.250% 03/15/2031 75,000 91,795
Anadarko Finance Co.
7.500% 05/01/2031 125,000 153,737
Anheuser-Busch Companies, Inc.
5.750% 04/01/2010 50,000 55,998
AT&T Corp.
8.000% 11/15/2031 75,000 83,792
Boeing Co.
6.125% 02/15/2033 100,000 100,535
Canadian National Railway Co.
7.195% 01/02/2016 74,295 87,189
Caterpillar Financial Services Corp.
6.875% 08/01/2004 200,000 212,833
ChevronTexaco Capital Co.
3.500% 09/17/2007 200,000 204,886
Coca-Cola Enterprises, Inc.
6.950% 11/15/2026 60,000 69,693
Comcast Corp.
7.050% 03/15/2033 50,000 54,454
Conoco, Inc.
5.900% 04/15/2004 50,000 51,978
Coors Brewing Co.
6.375% 05/15/2012 75,000 84,125
Cox Enterprises, Inc.
8.000% 02/15/2007 (d) 115,000 131,062
DaimlerChrysler N.A. Holding Corp.
8.500% 01/18/2031 55,000 68,995
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Devon Financing Corp.
6.875% 09/30/2011 $ 110,000 $ 126,726
Diageo Capital PLC
3.375% 03/20/2008 225,000 225,641
General Electric Co.
5.000% 02/01/2013 275,000 284,234
Honeywell International, Inc.
7.500% 03/01/2010 150,000 181,419
International Business Machines Corp.
5.875% 11/29/2032 175,000 184,392
Jones Intercable, Inc.
7.625% 04/15/2008 75,000 85,547
Occidental Petroleum
4.250% 03/15/2010 100,000 100,749
PepsiAmericas, Inc.
3.875% 09/12/2007 125,000 127,515
Phillips Petroleum Co.
8.500% 05/25/2005 125,000 141,230
Potash Corporation of Saskatchewan, Inc.
4.875% 03/01/2013 50,000 49,766
Procter & Gamble Co.
4.750% 06/15/2007 150,000 160,880
Time Warner, Inc.
7.975% 08/15/2004 75,000 79,901
Union Pacific Corp.
3.875% 02/15/2009 110,000 110,099
United Technologies Corp.
6.700% 08/01/2028 110,000 126,438
7.125% 11/15/2010 100,000 119,178
Verizon Global Funding Corp.
7.250% 12/01/2010 150,000 175,712
Wal-Mart Stores
4.375% 07/12/2007 150,000 158,736
-------------
3,889,235
-------------
Utilities (3.0%)
Dominion Resources, Inc.
2.800% 02/15/2005 150,000 151,032
DTE Energy Co.
6.375% 04/15/2033 100,000 105,210
FPL Group Capital, Inc.
6.125% 05/15/2007 175,000 189,802
Kinder Morgan Energy Partners L.P.
8.000% 03/15/2005 125,000 138,174
Progress Energy, Inc.
7.750% 03/01/2031 50,000 61,226
Southern Power Co.
6.250% 07/15/2012 120,000 132,944
-------------
778,388
-------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
International (2.7%)
British Columbia Province
5.375% 10/29/2008 $ 80,000 $ 88,483
Ontario Province
3.500% 09/17/2007 100,000 102,492
6.000% 02/21/2006 100,000 110,611
Quebec Province
6.500% 01/17/2006 95,000 105,724
Republic of Italy
2.500% 03/31/2006 150,000 151,380
United Mexican States
8.000% 09/24/2022 110,000 122,100
-------------
680,790
-------------
Total Corporate Notes & Bonds
(Cost of $8,337,531) 9,005,337
-------------
Other Securitized Loans (16.5%)
Asset Backed Securities (5.2%)
Americredit Automobile Receivables Trust
Series 2000-1 Cl. B
7.160% 09/05/2005 450,000 467,804
IMC Home Equity Loan Trust
Series 1997-3 Cl. A6
7.520% 08/20/2028 22,715 23,641
Merit Securities Corp.
Series 13 Cl. A4
7.880% 12/28/2033 390,000 385,331
New Century Home Equity Loan Trust
Series 1999-NCA Cl. A7
7.320% 07/25/2029 16,070 17,133
SLM Student Loan Trust
Series 1997-4 Cl. A2
1.908% 10/25/2010 (c) 196,007 198,141
Wilshire Mortgage Loan Trust
Series 1997-2 Cl. A5
7.255% 05/25/2028 213,813 227,448
-------------
1,319,498
-------------
Collateralized Mortgage Obligations (10.2%)
Countrywide Home Loans
Series 2002-16 Cl. 1A1
6.500% 09/25/2032 121,608 124,832
First Nationwide Trust
Series 2000-1 Cl. IIA3
8.000% 10/25/2030 322,954 330,113
IMPAC Secured Assets Corp.
Series 2002-3 Cl. A2
5.210% 08/25/2032 250,000 252,540
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Other Securitized Loans (continued)
PNC Mortgage Securities Corp.
Series 1998-12 Cl. 4A4
6.500% 01/25/2029 $ 45,255 $ 45,911
Residential Asset Securitization Trust
1999-A1 Cl. A1
6.750% 03/25/2029 182,510 184,673
Series 2002-A1 Cl. A4
6.590% 01/25/2030 390,000 405,249
Series 2002-A5 Cl. A2
5.820% 01/25/2027 478,394 484,545
Series 2002-A7 Cl. A2
5.180% 11/25/2026 640,000 647,106
Structured Asset Securities Corp.
Series 1999-ALS2 Cl. A2
6.750% 07/25/2029 113,644 114,037
-------------
2,589,006
-------------
Commercial Mortgage Backed Securities (1.1%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.810% 06/15/2013 (c)(d) 187,541 187,297
NationsLink Funding Corp.
Series 1999-SL Cl. A5
6.888% 05/10/2007 90,000 101,691
-------------
288,988
-------------
Total Other Securitized Loans
(Cost of $4,154,549) 4,197,492
-------------
Short-Term Obligation (19.5%)
Repurchase agreement with State Street
Bank & Trust Co., dated 04/30/03, due 05/01/03 at
1.180%, collateralized by a U.S. Treasury Note
maturing 11/15/04, market value of $5,083,674
(repurchase proceeds $4,981,163)
(Cost of $4,981,000) 4,981,000 4,981,000
-------------
Total Investments (118.4%)
(Cost of $29,103,731) (e) 30,184,677
Other Assets & Liabilities, Net (-18.4%) (4,701,549)
-------------
Net Assets (100.0%) $ 25,483,128
=============
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
Futures Contracts Open at April 30, 2003:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
PURCHASED EXPIRES CONTRACTS VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------
Long - U.S. Treasury Bond June 2003 4 $ 456,125 $ 3,188
Short - U.S. Treasury Note June 2003 (15) (3,238,594) (13,828)
--------------
$ (10,640)
==============
</Table>
Notes to Schedule of Investments:
(a) This security, or a portion thereof, with a market value of $50,439, is
being used to collateralize open futures contracts.
(b) This security, or a portion thereof, has been purchased on a delayed
delivery basis whereby the terms that are fixed are the purchase price,
interest rate and settlement date. The exact quantity purchased may be
slightly more or less than the amount shown.
(c) Variable rate security - the rate reported is the current rate in effect.
(d) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At April 30,
2003, the value of these securities amounted to $318,359 which represents
1.2% of net assets.
(e) Cost for federal income tax purposes is $29,146,289.
See Accompanying Notes to Financial Statements.
15
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (93.8%)
Aerospace (2.1%)
K & F Industries, Inc.
Senior Subordinated Notes, Series B
9.625% 12/15/2010 $ 2,700,000 $ 2,916,000
L-3 Communications Corp.
7.625% 06/15/2012 4,450,000 4,906,125
-------------
7,822,125
-------------
Automotive/Auto Parts (3.3%)
American Axle & Manufacturing, Inc.
Senior Subordinated Notes
9.750% 03/01/2009 5,375,000 5,858,750
Lear Corp.
Senior Notes, Series B
7.960% 05/15/2005 5,200,000 5,564,000
8.110% 05/15/2009 860,000 967,500
-------------
12,390,250
-------------
Broadcasting (1.4%)
Sinclair Broadcast Group, Inc.
8.000% 03/15/2012 95,000 100,225
8.000% 03/15/2012 (a) 600,000 633,000
8.750% 12/15/2011 4,285,000 4,649,225
-------------
5,382,450
-------------
Cable TV (8.5%)
British Sky Broadcasting Group PLC
7.300% 10/15/2006 1,850,000 1,998,000
CSC Holdings, Inc.
Debentures, Series B
8.125% 08/15/2009 775,000 821,500
CSC Holdings, Inc.
Senior Subordinated Debentures
9.875% 02/15/2013 4,185,000 4,383,788
10.500% 05/15/2016 1,635,000 1,843,463
DirecTV Holdings
Senior Notes
8.375% 03/15/2013 (a) 2,815,000 3,152,800
Mediacom L.L.C./Mediacom Capital Corp.
Senior Notes
7.875% 02/15/2011 4,725,000 4,748,625
9.500% 01/15/2013 2,475,000 2,660,625
Rogers Cable, Inc.
Notes
7.875% 05/01/2012 2,615,000 2,811,125
Rogers Communications, Inc.
Senior Notes
8.875% 07/15/2007 3,450,000 3,557,812
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
TCI Communications, Inc.
Senior Notes
8.750% 08/01/2015 $ 4,825,000 $ 6,042,372
-------------
32,020,110
-------------
Capital Goods (1.2%)
Kennmetal, Inc.
Senior Notes
7.200% 06/15/2012 4,410,000 4,694,762
-------------
Chemicals (2.2%)
Airgas, Inc.
9.125% 10/01/2011 1,100,000 1,226,500
Equistar Chemical
10.125% 09/01/2008 1,100,000 1,155,000
Equistar Chemical
Senior Notes
10.625% 05/01/2011 (a) 675,000 713,813
Ethyl Corp.
Senior Notes
8.875% 05/01/2010 (a) 2,750,000 2,860,000
IMC Global, Inc.
11.250% 06/01/2011 (a) 450,000 513,000
IMC Global, Inc.
Notes
7.625% 11/01/2005 375,000 382,500
IMC Global, Inc.
Series B
11.250% 06/01/2011 975,000 1,106,625
MacDermid, Inc.
9.125% 07/15/2011 340,000 377,400
-------------
8,334,838
-------------
Consumer Products (4.4%)
Hasbro, Inc.
Notes
6.150% 07/15/2008 500,000 512,500
Hasbro, Inc.
Senior Notes
8.500% 03/15/2006 6,485,000 7,084,862
Platex Products, Inc.
Senior Subordinated Notes
9.375% 06/01/2011 2,575,000 2,793,875
Scotts Co.
Senior Subordinated Notes
8.625% 01/15/2009 5,725,000 6,068,500
-------------
16,459,737
-------------
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Diversified Media (2.0%)
Lamar Media Corp.
Senior Subordinated Notes
7.250% 01/01/2013 (a) $ 7,185,000 $ 7,562,212
-------------
Energy (8.9%)
Chesapeake Energy Corp.
8.375% 11/01/2008 75,000 80,625
9.000% 08/15/2012 3,450,000 3,846,750
Chesapeake Energy Corp.
Senior Notes
7.500% 09/15/2013 (a) 3,120,000 3,315,000
Grant Prideco, Inc.
9.000% 12/15/2009 4,080,000 4,467,600
Grant Prideco, Inc.
Series B
9.625% 12/01/2007 775,000 856,375
Pogo Producing Co.
Senior Subordinated Notes
8.250% 04/15/2011 1,120,000 1,215,200
Pride International, Inc.
Senior Notes
10.000% 06/01/2009 2,125,000 2,326,875
Vintage Petroleum, Inc.
Senior Subordinated Notes
9.750% 06/30/2009 3,945,000 4,221,150
Westport Resources Corp.
8.250% 11/01/2011 6,030,000 6,572,700
8.250% 11/01/2011 (a) 225,000 245,250
XTO Energy, Inc.
Senior Notes
6.250% 04/15/2013 (a) 300,000 312,750
7.500% 04/15/2012 5,600,000 6,160,000
-------------
33,620,275
-------------
Entertainment/Film (1.4%)
Cinemark USA, Inc.
Senior Subordinated Notes
9.000% 02/01/2013 (a) 4,900,000 5,295,875
-------------
Environmental (2.2%)
Allied Waste North America, Inc.
Senior Subordinated Notes, Series B
10.000% 08/01/2009 7,050,000 7,534,688
Synagro Technologies, Inc.
Senior Subordinated Notes
9.500% 04/01/2009 560,000 602,000
-------------
8,136,688
-------------
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Food/Beverage/Tobacco (4.1%)
Constellation Brands, Inc.
Senior Subordinated Notes
8.500% 03/01/2009 $ 5,550,000 $ 5,855,250
Constellation Brands, Inc.
Series B
8.000% 02/15/2008 500,000 537,500
8.125% 01/15/2012 1,145,000 1,215,131
Cott Beverages, Inc.
Senior Subordinated Notes
8.000% 12/15/2011 7,250,000 7,793,750
-------------
15,401,631
-------------
Food & Drug Retail (1.7%)
Winn-Dixie Stores, Inc.
Senior Notes
8.875% 04/01/2008 6,055,000 6,509,125
-------------
Gaming (6.3%)
Harrah's Operating Co., Inc.
Senior Subordinated Notes
7.875% 12/15/2005 7,300,000 7,865,750
International Game Technology
Senior Notes
7.875% 05/15/2004 2,100,000 2,203,895
8.375% 05/15/2009 1,030,000 1,228,881
Park Place Entertainment Corp.
Senior Subordinated Notes
9.375% 02/15/2007 7,450,000 8,101,875
Station Casinos, Inc.
Senior Subordinated Notes
8.875% 12/01/2008 2,450,000 2,578,625
9.875% 07/01/2010 1,625,000 1,791,562
-------------
23,770,588
-------------
Health Care (9.8%)
AdvancePCS
Senior Notes
8.500% 04/01/2008 4,725,000 5,103,000
AmerisourceBergen Corp.
7.250% 11/15/2012 (a) 1,500,000 1,590,000
AmerisourceBergen Corp.
Senior Notes
8.125% 09/01/2008 5,400,000 5,886,000
HCA, Inc.
Notes
6.950% 05/01/2012 225,000 241,947
8.750% 09/01/2010 4,075,000 4,765,660
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
HCA, Inc.
Senior Notes
7.875% 02/01/2011 $ 2,850,000 $ 3,207,598
OmniCare, Inc.
Senior Subordinated Notes, Series B
8.125% 03/15/2011 5,600,000 6,104,000
Select Medical Corp.
Senior Subordinated Notes
9.500% 06/15/2009 3,625,000 3,878,750
Triad Hospitals, Inc.
Senior Notes, Series B
8.750% 05/01/2009 5,805,000 6,312,938
-------------
37,089,893
-------------
Homebuilders (3.1%)
KB Home
Senior Subordinated Notes
7.750% 02/01/2010 260,000 273,000
8.625% 12/15/2008 5,175,000 5,589,000
9.500% 02/15/2011 430,000 474,075
Toll Corp.
Senior Subordinated Notes
7.750% 09/15/2007 5,325,000 5,498,063
-------------
11,834,138
-------------
Hotels (4.7%)
Extended Stay America, Inc.
Senior Subordinated Notes
9.875% 06/15/2011 6,675,000 6,942,000
Host Marriott L.P.
8.375% 02/15/2006 5,175,000 5,317,312
ITT Corp.
Notes
6.750% 11/15/2005 2,750,000 2,846,250
Starwood Hotels & Resorts Worldwide, Inc.
7.375% 05/01/2007 2,410,000 2,518,450
-------------
17,624,012
-------------
Leisure (1.6%)
Six Flags, Inc.
Senior Notes
9.500% 02/01/2009 1,100,000 1,122,000
9.750% 06/15/2007 4,650,000 4,824,375
-------------
5,946,375
-------------
Packaging (5.9%)
Ball Corp.
6.875% 12/15/2012 250,000 263,125
Ball Corp.
Senior Notes
7.750% 08/01/2006 1,250,000 1,334,375
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Ball Corp.
Senior Subordinated Notes
8.250% 08/01/2008 $ 4,515,000 $ 4,740,750
Constar International, Inc.
Senior Subordinated Notes
11.000% 12/01/2012 3,075,000 3,228,750
Owens-Illinois, Inc.
Senior Notes
7.150% 05/15/2005 1,290,000 1,315,800
7.350% 05/15/2008 1,750,000 1,732,500
8.100% 05/15/2007 2,110,000 2,162,750
Silgan Holdings, Inc.
Senior Subordinated Debentures
9.000% 06/01/2009 7,075,000 7,358,000
-------------
22,136,050
-------------
Paper & Forest Products (2.9%)
Anitibi-Consolidated, Inc.
7.875% 08/01/2009 2,725,000 2,929,375
Anitibi-Consolidated, Inc.
Notes
6.950% 04/01/2008 850,000 897,825
Cascades, Inc.
Senior Notes
7.250% 02/15/2013 (a) 2,215,000 2,336,825
Smurfit-Stone Container Corp.
8.250% 10/01/2012 625,000 679,687
Smurfit-Stone Container Corp.
Senior Notes
8.375% 07/01/2012 890,000 967,875
9.750% 02/01/2011 2,810,000 3,154,225
-------------
10,965,812
-------------
Printing & Publishing (4.9%)
Dex Media East LLC
Senior Subordinated Notes
12.125% 11/15/2012 (a) 5,670,000 6,747,300
Houghton Mifflin Co.
Senior Notes
9.875% 02/01/2013 (a) 4,780,000 5,186,300
R.H. Donnelley Financial Corp.
Senior Notes
8.875% 12/15/2010 (a) 45,000 50,400
R.H. Donnelley Financial Corp.
Senior Subordinated Notes
10.875% 12/15/2012 (a) 5,485,000 6,348,887
-------------
18,332,887
-------------
</Table>
See Accompanying Notes to Financial Statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Real Estate Investment Trust (2.4%)
Health Care REIT, Inc.
Senior Notes
7.500% 08/15/2007 $ 5,550,000 $ 5,855,777
iSTAR Financial, Inc.
Senior Notes
7.000% 03/15/2008 3,075,000 3,174,624
-------------
9,030,401
-------------
Restaurants (2.1%)
Yum! Brands, Inc.
Senior Notes
7.450% 05/15/2005 520,000 559,000
7.650% 05/15/2008 550,000 605,000
7.700% 07/01/2012 305,000 339,313
8.500% 04/15/2006 4,080,000 4,528,800
8.875% 04/15/2011 1,875,000 2,179,688
-------------
8,211,801
-------------
Services (3.8%)
Iron Mountain, Inc.
7.750% 01/15/2015 3,990,000 4,289,250
Iron Mountain, Inc.
Senior Unsecured Notes
8.625% 04/01/2013 3,875,000 4,223,750
United Rentals, Inc.
Senior Notes, Series B
9.250% 01/15/2009 1,075,000 1,032,000
United Rentals, Inc.
Senior Subordinated Notes, Series B
8.800% 08/15/2008 3,000,000 2,820,000
9.500% 06/01/2008 2,150,000 2,064,000
-------------
14,429,000
-------------
Shipping (1.3%)
Teekay Shipping Corp.
Senior Notes
8.875% 07/15/2011 4,700,000 5,134,750
-------------
Telecommunications (1.6%)
Nextel Communications, Inc.
Senior Discount Notes, Cl. A
9.750% 10/31/2007 1,730,000 1,790,550
9.950% 02/15/2008 1,525,000 1,601,250
10.650% 09/15/2007 2,670,000 2,796,825
-------------
6,188,625
-------------
Total Corporate Notes & Bonds
(Cost of $333,712,004) 354,324,410
-------------
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Short-Term Obligation (4.8%)
Repurchase agreement with State
Street Bank & Trust Co., dated 04/30/03,
due 05/01/03 at 1.180%,
collateralized by a U.S. Treasury
Note maturing 04/30/05,
market value of $18,545,000
(repurchase proceeds $18,178,596)
(Cost of $18,178,000) $ 18,178,000 $ 18,178,000
-------------
Total Investments (98.6%)
(Cost of $351,890,004) (b) 372,502,410
Other Assets & Liabilities, Net (1.4%) 5,159,772
-------------
Net Assets (100.0%) $ 377,662,182
=============
</Table>
Notes to Schedule of Investments:
(a) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At April 30,
2003, the value of these securities amounted to $46,863,412 which
represents 12.4% of net assets.
(b) Cost for federal income tax purposes is $352,262,402.
See Accompanying Notes to Financial Statements.
23
<Page>
CMG FIXED INCOME SECURITIES FUND
CMG HIGH YIELD FUND
Portfolios of CMG Fund Trust
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
<Caption>
CMG CMG
FIXED INCOME HIGH YIELD
SECURITIES FUND FUND
--------------- ---------------
ASSETS:
Investments at identified cost (including repurchase agreement) $ 29,103,731 $ 351,890,004
--------------- ---------------
Investments at value $ 25,203,677 $ 354,324,410
Repurchase agreement 4,981,000 18,178,000
Cash 485 52,008
Receivable for:
Investments sold 84,881 -
Investments sold on a delayed delivery basis 2,270,616 -
Capital stock sold - 3,656,065
Interest 208,429 8,255,675
Expense reimbursement due from investment advisor 31,041 4,210
Other assets 33,736 2,185
--------------- ---------------
Total assets 32,813,865 384,472,553
--------------- ---------------
LIABILITIES:
Payable for:
Investments purchased 135,591 6,323,636
Investments purchased on a delayed delivery basis 7,169,795 -
Capital stock redeemed - 24,300
Futures variation margin 3,047 -
Distributions - 334,827
Investment management fee 8,685 120,042
Transfer agent fee 2,104 -
Trustees' fee - 38
Audit fee 11,515 7,528
--------------- ---------------
Total liabilities 7,330,737 6,810,371
--------------- ---------------
NET ASSETS $ 25,483,128 $ 377,662,182
=============== ===============
NET ASSETS consist of:
Paid-in capital $ 24,269,627 $ 421,128,281
Overdistributed net investment income (61,919) (684,473)
Accumulated net realized gain (loss) 205,114 (63,394,032)
Net unrealized appreciation (depreciation) on:
Investments 1,080,946 20,612,406
Futures contracts (10,640) -
--------------- ---------------
NET ASSETS $ 25,483,128 $ 377,662,182
=============== ===============
Shares of capital stock outstanding 2,387,760 46,854,416
=============== ===============
Net asset value, offering and redemption price per share $ 10.67 $ 8.06
=============== ===============
</Table>
See Accompanying Notes to Financial Statements
24
<Page>
CMG FIXED INCOME SECURITIES FUND
CMG HIGH YIELD FUND
Portfolios of CMG Fund Trust
STATEMENTS OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
<Caption>
CMG CMG
FIXED INCOME HIGH YIELD
SECURITIES FUND FUND
--------------- ---------------
NET INVESTMENT INCOME:
Interest $ 611,685 $ 13,123,947
--------------- ---------------
Expenses:
Investment management fee 46,402 657,752
Transfer agent fee 9,000 6,000
Trustees' fee 404 1,500
Custody fee 1,895 3,416
Audit fee 10,540 8,748
Reports to shareholders 10,031 -
Other expenses 5,814 28,000
--------------- ---------------
Total expenses 84,086 705,416
Expenses reimbursed by investment advisor (31,041) (4,210)
Custody earnings credit (13) (539)
--------------- ---------------
Net expenses 53,032 700,667
--------------- ---------------
Net investment income 558,653 12,423,280
--------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 291,117 (46,237)
Futures contracts (46,933) -
--------------- ---------------
Net realized gain (loss) 244,184 (46,237)
--------------- ---------------
Net change in unrealized appreciation/depreciation on:
Investments 140,814 21,651,819
Futures contracts 31,469 -
--------------- ---------------
Net change in net unrealized appreciation/depreciation 172,283 21,651,819
--------------- ---------------
Net gain 416,467 21,605,582
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 975,120 $ 34,028,862
=============== ===============
</Table>
See Accompanying Notes to Financial Statements
25
<Page>
CMG FIXED INCOME SECURITIES FUND
CMG HIGH YIELD FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG FIXED INCOME CMG HIGH YIELD
SECURITIES FUND FUND
---------------------------------- ----------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002 APRIL 30, 2003 OCTOBER 31, 2002
-------------- ---------------- -------------- ----------------
Operations:
Net investment income $ 558,653 $ 1,502,637 $ 12,423,280 $ 28,534,687
Net realized gain (loss) on
investments and futures
contracts 244,184 22,974 (46,237) (24,532,571)
Net change in net unrealized
appreciation/depreciation on
investments and futures
contracts 172,283 (441,733) 21,651,819 (3,668,160)
-------------- ---------------- -------------- ----------------
Net increase from
operations 975,120 1,083,878 34,028,862 333,956
Distributions declared to shareholders:
From net investment income (579,236) (1,555,680) (12,737,518) (28,989,392)
From net realized gains - (361,418) - -
-------------- ---------------- -------------- ----------------
Total distributions declared to
shareholders (579,236) (1,917,098) (12,737,518) (28,989,392)
Net capital share transactions (2,324,536) (529,328) 70,142,400 (34,095,515)
-------------- ---------------- -------------- ----------------
Net increase (decrease) in net assets (1,928,652) (1,362,548) 91,433,744 (62,750,951)
NET ASSETS:
Beginning of period 27,411,780 28,774,328 286,228,438 348,979,389
-------------- ---------------- -------------- ----------------
End of period $ 25,483,128 $ 27,411,780 $ 377,662,182 $ 286,228,438
============== ================ ============== ================
Overdistributed net
investment income $ (61,919) $ (41,336) $ (684,473) $ (370,235)
============== ================ ============== ================
</Table>
See Accompanying Notes to Financial Statements
26
<Page>
CMG FIXED INCOME SECURITIES FUND
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Fixed Income Securities Fund and CMG High Yield Fund (formerly CMC Fixed
Income Securities Fund and CMC High Yield Fund, respectively) (the "Funds") are
portfolios of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an
open-end diversified investment company registered under the Investment Company
Act of 1940, as amended. The Trust has established six other portfolios, CMG
Small Cap Fund, CMG International Stock Fund, CMG Small/Mid Cap Fund, CMG
Strategic Equity Fund, CMG Short Term Bond Fund and CMG International Bond Fund,
which are not included in these financial statements. The CMG International Bond
Fund is not yet operational. Each portfolio issues a separate series of the
Trust's shares and maintains a separate investment portfolio. Following is a
summary of significant accounting policies, in conformity with accounting
principles generally accepted in the United States of America, which are
consistently followed by each Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on market
value as quoted by dealers who are market makers in these securities, by
independent pricing services, or by the investment advisor using a methodology
approved by the Board of Trustees. Investment securities with less than 60 days
to maturity when purchased are valued at amortized cost, which approximates
market value. Investment securities for which market quotations are not readily
available will be valued at fair market value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees.
REPURCHASE AGREEMENTS. The Funds may engage in repurchase agreement
transactions. The Funds, through their custodian, receive delivery of underlying
securities collateralizing repurchase agreements. The Funds' investment advisor
determines that the value of the underlying securities is at all times at least
equal to the resale price. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings.
FINANCIAL FUTURES CONTRACTS. The CMG Fixed Income Securities Fund may invest in
financial futures contracts solely for the purpose of hedging its existing
portfolio securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. Upon entering into a financial futures contract, the Fund is required to
pledge to the broker an amount of cash, U.S. government securities, or other
assets, equal to a certain percentage of the contract amount (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the Fund each day, depending on the daily fluctuations in the fair value of
the underlying security. The Fund recognizes a gain or loss equal to the daily
variation margin. Should market conditions move unexpectedly, the Fund may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts interest rates, and
the underlying hedged assets. The daily changes in contract value are recorded
as unrealized gains or losses and the Fund recognizes the realized gain or loss
when the contract is closed. The underlying value of open futures contracts are
shown on the schedule of investments under the caption "Futures Contracts".
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes. Securities purchased on a when-issued or forward-delivery basis
may settle a month or more after trade date; interest income is not accrued
until settlement date. It is each Fund's policy to segregate liquid assets with
a current value at least equal to the amount of its when-issued purchase
commitments until settlement date.
27
<Page>
INVESTMENT INCOME AND EXPENSES. Interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis and each Fund bears expenses
incurred specifically on its behalf as well as a portion of general expenses
incurred on behalf of the Trust and its underlying portfolios.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared daily and paid monthly. Distributions from any net realized
gains are generally declared and paid annually. Additional distributions of net
investment income and capital gains for each Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. Each Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Funds.
Therefore, no federal income or excise tax provision is required.
PREMIUM AND DISCOUNT AMORTIZATION. The Funds amortize premium and accreting
discount on all debt securities.
OTHER. The CMG High Yield Fund invests in lower rated debt securities, which may
be more susceptible to adverse economic conditions than investment grade
holdings. These securities are often subordinated to the prior claim of other
senior lenders, and uncertainties exist as to an issuer's ability to meet
principal and interest payments. As of April 30, 2003, the credit ratings of
securities held by the CMG High Yield Fund's portfolio (less short term
investments) were as follows: Baa (2.7%), Ba (51.6%), or B (45.7%), by Moody's
Investor Services, Inc.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
Columbia Management Advisors, Inc. ("Columbia"), formerly known as Columbia
Management Co., an indirect, wholly-owned subsidiary of FleetBoston Financial
Corporation ("Fleet") is the investment advisor of the Funds.
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
previous administrator to the Funds, merged into Columbia. At the time of the
merger, Columbia assumed the obligations of Colonial with respect to the Funds.
The merger did not change the way the Funds are managed, the investment
personnel assigned to manage the Funds or the fees paid by the Funds to
Columbia.
Investment management fees are paid monthly to Columbia by each Fund. The fees
are based on an annual rate of 0.35% and 0.40% of average daily net assets for
the CMG Fixed Income Securities Fund and CMG High Yield Fund, respectively.
Effective March 1, 2003, for the CMG High Yield Fund the investment management
fee is a unified fee which includes accounting expenses, legal fees, transfer
agent fees, custody fees and miscellaneous expenses. The
28
<Page>
unified fee does not include Trustee's fees, Trustee legal counsel fees, audit
fees and interest expenses associated with any borrowings by the Fund.
Columbia has contractually agreed to reimburse ordinary expenses (expenses
incurred throughout the ordinary course of business) of each Fund, to the extent
that these expenses, together with the advisory fee, exceed 0.40% of each Fund's
average daily net assets. Prior to February 27, 2003, reimbursement was not in
effect for the CMG High Yield Fund. For CMG Fixed Income Securities Fund,
Columbia has contractually agreed to reimburse expenses through October 31,
2004. For CMG High Yield Fund, Columbia has contractually agreed to reimburse
expenses indefinitely.
Trustees' fees and expenses are paid directly by each Fund to trustees having no
affiliation with the Funds other than their capacity as trustees. Other officers
and trustees received no compensation from the Funds.
The transfer agent for the Funds is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month. Effective March 1, 2003, transfer
agent fees are included in the unified fee.
Columbia is responsible for providing pricing and bookkeeping services to the
Funds under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Funds
are not charged a fee for these services.
OTHER. The Funds each have an agreement with their custodian bank under which
custody fees were reduced by balance credits. The Funds could have invested a
portion of the assets utilized in connection with the expense offset arrangement
in an income-producing asset if it had not entered into such an agreement. The
amounts of custody credits for the six months ended April 30, 2003 were as
follows:
<Table>
CMG Fixed Income Securities Fund $ 13
CMG High Yield Fund 539
</Table>
3. FEDERAL INCOME TAX:
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
Reclassifications are made to the Funds' capital accounts to reflect income and
gains available for distribution (or available capital loss carryforwards) under
income tax regulations.
29
<Page>
The following capital loss carryforwards, determined as of October 31, 2002, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CMG
FIXED INCOME CMG
SECURITIES HIGH YIELD
YEAR OF EXPIRATION FUND FUND
- ------------------ ------------ ------------
2007 $ - $ 8,196,069
2008 - 5,633,565
2009 - 24,244,763
2010 54,281 25,194,365
------------ ------------
$ 54,281 $ 63,268,762
============ ============
</Table>
4. INVESTMENT TRANSACTIONS:
For federal income tax purposes, unrealized appreciation (depreciation) on
investments at April 30, 2003, were as follows:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
FUND APPRECIATION DEPRECIATION APPRECIATION
- ---- ------------ ------------ ------------
CMG Fixed Income Securities Fund $ 1,099,528 $ (61,140) $ 1,038,388
CMG High Yield Fund 20,288,464 (48,456) 20,240,008
</Table>
For the six months ended April 30, 2003, purchases, sales and maturities of
long-term securities, were as follows:
<Table>
<Caption>
CMG FIXED INCOME CMG HIGH YIELD
SECURITIES FUND FUND
---------------- --------------
PURCHASES:
Investment securities other than U.S.
Government obligations $ 3,757,640 $ 166,807,062
U.S. Government obligations 12,918,280 -
---------------- --------------
Total purchases $ 16,675,920 $ 166,807,062
================ ==============
SALES AND MATURITIES:
Investment securities other than U.S.
Government obligations $ 10,087,481 $ 61,551,160
U.S. Government obligations 9,820,404 -
---------------- --------------
Total sales and maturities $ 19,907,885 $ 61,551,160
================ ==============
</Table>
30
<Page>
5. CAPITAL STOCK ACTIVITY:
At April 30, 2003, each Fund had 100 million shares of no par value capital
stock authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
CMG FIXED INCOME CMG HIGH
SECURITIES FUND YIELD FUND
---------------------------------- ----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2003 2002 2003 2002
--------------- --------------- --------------- ---------------
SHARES:
Shares sold 126,913 226,168 21,628,074 16,446,956
Shares issued for reinvestment
of distributions 43,709 182,889 1,365,341 3,176,244
--------------- --------------- --------------- ---------------
170,622 409,057 22,993,415 19,623,200
Less shares redeemed (389,458) (458,196) (14,069,111) (24,583,292)
--------------- --------------- --------------- ---------------
Net increase (decrease) in shares (218,836) (49,139) 8,924,304 (4,960,092)
=============== =============== =============== ===============
AMOUNTS:
Sales $ 1,336,244 $ 2,380,359 $ 168,718,039 $ 131,994,303
Reinvestment of distributions 462,577 1,909,849 10,717,416 25,255,040
--------------- --------------- --------------- ---------------
1,798,821 4,290,208 179,435,455 157,249,343
Less redemptions (4,123,357) (4,819,536) (109,293,055) (191,344,858)
--------------- --------------- --------------- ---------------
Net increase (decrease) $ (2,324,536) $ (529,328) $ 70,142,400 $ (34,095,515)
=============== =============== =============== ===============
</Table>
6. LINE OF CREDIT
The Funds are a party to a $100,000,000 uncommitted line of credit that covers
all the funds of the Trust together with the Columbia Funds, an affiliated group
of funds managed by the investment advisor. The uncommitted line of credit
expires on July 2, 2003. The Funds did not utilize the line of credit during the
six months ended April 30, 2003.
31
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMG-03/991N-0503 (06/03) C-03/009
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Funds distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG SHORT TERM BOND FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
APRIL 30, 2003
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Short Term
Bond Fund. For the six-month period ended April 30, 2003, the fund returned
2.36%. During the same period, the Merrill Lynch 1-5 Government/Corporate Bond
Index returned 2.96%.
The fund's duration, a measure of its sensitivity to changing interest rates,
detracted slightly from relative performance. We maintained a relatively short
duration in an effort to minimize the likelihood of capital losses if interest
rates were to rise. At the end of the period, the fund's duration was 1.7 years
compared with 2.4 years for the Merrill Lynch 1-5 Government/Corporate Bond
Index. Because bond prices move in the opposite direction of interest rates, we
lower duration when we expect interest rates to rise. Conversely, we raise
duration when we expect interest rates to fall. If we are wrong and interest
rates fall after we shorten duration or rise after we lengthen duration, fund
performance can be hurt, which was the case during the six-month period when
interest rates continued to decline even though we lowered our duration.
The fixed-income markets fluctuated during the period, as economic
considerations were driven by news related to the war in Iraq. Nevertheless,
interest rates moved modestly lower and bond prices closed the period higher.
Early in the six-month period, the federal funds rate--the interest rate banks
charge each other for overnight loans--was reduced by one-half of a percentage
point to a record low of 1.25%. By the end of the period, with the war coming to
an end, the yield on the 10-year US Treasury stood at 3.85%, after declining to
a record low of 3.57% in mid-March.
Many investors were surprised that interest rates continued to decline, as they
had expected the next move to be upward. However, continued weak economic growth
kept interest rates low. In the fourth quarter of 2002, US gross domestic
product (GDP)--a measure of the economy's growth--rose only 1.4%, followed by a
rate of 1.9% in the first quarter of 2003. These figures were well below the 4%
growth rate achieved in the third quarter of 2002.
In the bond market, lower quality issues generated the best returns as investors
willing to take on extra risk in pursuit of higher yields were rewarded. During
the six-month period, corporate bonds outpaced Treasuries by a wide margin.
Agency and mortgage-backed securities also performed better than Treasuries.
Although we raised the fund's commitment to corporate bonds from 32% to 35% of
net assets, our focus on higher-quality corporate bonds was out of favor in this
environment. Our weighting in mortgages remained steady at about 50% of net
assets.
Looking ahead, we believe that the economy has the potential to improve over the
next 12 months. If economic growth picks up and the stock market moves higher,
we might see some upward pressure on interest rates. Even if the economy does
not recover by year end, we do not expect the Federal Reserve to continue to
lower interest rates. With rates at historically low levels, the amount of
additional stimulus generated by another fractional reduction would likely be
limited. In either case, we don't believe that inflation is likely to be a
problem, which
1
<Page>
means that bond investors have an opportunity to achieve a positive
inflation-adjusted return despite low prevailing interest rates.
The fund's top ten holdings (as a percentage of net assets) as of April 30, 2003
were:
<Table>
<Caption>
HOLDING (%)
Federal National Mortgage Association, 5.000% TBA 7.2
SLM Student Loan Trust, 1.901% 10/25/2011 3.5
Federal National Mortgage Association, 5.500% TBA 2.7
Federal Home Loan Mortgage Corp., 6.000% 03/01/2017 - 08/01/2017 2.4
U.S. Treasury Inflation Index Bond, 3.375% 01/15/2007 2.4
United States Treasury Note, 3.625% 01/15/2008 2.4
SLM Student Loan Trust, 1.871% 01/25/2014 2.1
Federal National Mortgage Association, 6.000% 03/01/2009 - 05/01/2009 2.1
SLM Student Loan Trust, 1.741% 01/25/2010 2.0
Federal Home Loan Mortgage Corp., 4.500% 11/01/2007 1.7
</Table>
We appreciate your continued confidence in the CMG Short Term Bond Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings and sector breakdowns are disclosed as of April 30, 2003 and are
subject to change. Because the fund is actively managed, there is no guarantee
the fund will continue to maintain the holdings breakdown listed. The fund's
holdings and their weightings within the portfolio may change as market
conditions change.
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates, the
financial strength of issuers of lower-rated bonds and political and economic
developments.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG SHORT TERM BOND FUND MERRILL LYNCH 1-5 GOV'T/CORP BOND INDEX
2/2/1998 $ 10,000 $ 10,000
2/28/1998 $ 10,005 $ 9,998
3/31/1998 $ 10,040 $ 10,037
4/30/1998 $ 10,099 $ 10,085
5/31/1998 $ 10,168 $ 10,147
6/30/1998 $ 10,236 $ 10,206
7/31/1998 $ 10,279 $ 10,250
8/31/1998 $ 10,425 $ 10,399
9/30/1998 $ 10,563 $ 10,585
10/31/1998 $ 10,536 $ 10,620
11/30/1998 $ 10,561 $ 10,605
12/31/1998 $ 10,612 $ 10,645
1/31/1999 $ 10,691 $ 10,698
2/28/1999 $ 10,608 $ 10,601
3/31/1999 $ 10,688 $ 10,688
4/30/1999 $ 10,723 $ 10,724
5/31/1999 $ 10,687 $ 10,682
6/30/1999 $ 10,704 $ 10,713
7/31/1999 $ 10,695 $ 10,725
8/31/1999 $ 10,705 $ 10,746
9/30/1999 $ 10,815 $ 10,833
10/31/1999 $ 10,847 $ 10,858
11/30/1999 $ 10,875 $ 10,875
12/31/1999 $ 10,886 $ 10,878
1/31/2000 $ 10,879 $ 10,854
2/29/2000 $ 10,956 $ 10,931
3/31/2000 $ 11,046 $ 11,016
4/30/2000 $ 11,040 $ 11,024
5/31/2000 $ 11,075 $ 11,056
6/30/2000 $ 11,233 $ 11,202
7/31/2000 $ 11,316 $ 11,281
8/31/2000 $ 11,431 $ 11,386
9/30/2000 $ 11,543 $ 11,488
10/31/2000 $ 11,598 $ 11,540
11/30/2000 $ 11,743 $ 11,673
12/31/2000 $ 11,929 $ 11,842
1/31/2001 $ 12,094 $ 12,014
2/28/2001 $ 12,197 $ 12,108
3/31/2001 $ 12,295 $ 12,218
4/30/2001 $ 12,301 $ 12,225
5/31/2001 $ 12,386 $ 12,297
6/30/2001 $ 12,440 $ 12,343
7/31/2001 $ 12,639 $ 12,540
8/31/2001 $ 12,734 $ 12,632
9/30/2001 $ 12,918 $ 12,858
10/31/2001 $ 13,064 $ 13,010
11/30/2001 $ 12,973 $ 12,932
12/31/2001 $ 12,945 $ 12,904
1/31/2002 $ 13,010 $ 12,942
2/28/2002 $ 13,080 $ 13,022
3/31/2002 $ 12,995 $ 12,892
4/30/2002 $ 13,104 $ 13,070
5/31/2002 $ 13,205 $ 13,170
6/30/2002 $ 13,284 $ 13,285
7/31/2002 $ 13,352 $ 13,455
8/31/2002 $ 13,464 $ 13,569
9/30/2002 $ 13,588 $ 13,742
10/31/2002 $ 13,456 $ 13,740
11/30/2002 $ 13,452 $ 13,718
12/31/2002 $ 13,581 $ 13,927
1/31/2003 $ 13,599 $ 13,934
2/28/2003 $ 13,699 $ 14,056
3/31/2003 $ 13,724 $ 14,085
4/30/2003 $ 13,773 $ 14,149
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF 4/30/03 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund 2/2/98 2.36 5.10 6.40 6.30
Merril Lynch 1-5 Year
Government/Corporate Bond Index 2.96 8.24 7.00 6.84
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF 3/31/03 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund 2/2/98 1.00 5.60 6.45 6.33
Merril Lynch 1-5 Year
Government/Corporate Bond Index 2.49 9.25 7.01 6.86
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. The principal value and
investment returns will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distribution. Total return performance is
for the periods ended Apri1 30, 2003 and March 31, 2003.
The Merrill Lynch 1-5 Year Government/Corporate Bond Index is an unmanaged index
that includes all US government debt with at least $100 million face value
outstanding, as well as investment-grade-rated corporate debt with at least $100
million outstanding, with maturities between 1-5 years. Unlike the fund, indices
are not investments, do not incur fees and are not professionally managed. It is
not possible to invest directly in an index. Securities in the fund may not
match those in an index. Index performance is from January 31, 1998.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
3
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED YEAR ENDED OCTOBER 31, ENDED
APRIL 30, --------------------------------------------------------- OCTOBER 31,
2003 2002 2001 2000 1999 1998 (a)
------------ --------- --------- --------- --------- ------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 12.15 $ 12.41 $ 11.73 $ 11.72 $ 12.09 $ 12.00
------------ --------- --------- --------- --------- ------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.24(b) 0.59(b)(c) 0.76 0.77 0.72 0.54
Net realized and unrealized
gain (loss) on investments 0.04 (0.22)(c) 0.68 0.01 (0.37) 0.09
------------ --------- --------- --------- --------- ------------
Total from investment
operations 0.28 0.37 1.44 0.78 0.35 0.63
------------ --------- --------- --------- --------- ------------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net
investment income (0.25) (0.63) (0.76) (0.77) (0.72) (0.54)
From net realized
gains - - - - (0.00)(d) -
------------ --------- --------- --------- --------- ------------
Total distributions (0.25) (0.63) (0.76) (0.77) (0.72) (0.54)
------------ --------- --------- --------- --------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.18 $ 12.15 $ 12.41 $ 11.73 $ 11.72 $ 12.09
============ ========= ========= ========= ========= ============
TOTAL RETURN (e)(k) 2.36%(f) 3.12% 12.62% 6.92% 2.96% 5.38%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 141,485 $ 140,757 $ 89,791 $ 82,809 $ 144,821 $ 42,692
Ratio of net expenses to
average net assets (g)(h) 0.25%(i) 0.25% 0.25% 0.25% 0.25% 0.25%(i)
Ratio of total expenses to
average net assets (g)(h) 0.31%(i) 0.30% 0.33% 0.33% 0.32% 0.38%(i)
Ratio of interest expense to
average net assets 0.00%(j) - - - - -
Ratio of net investment income
to average net assets (h) 3.96%(i) 4.73%(c) 6.27% 6.56% 6.22% 5.97%(i)
Portfolio turnover rate 49%(f) 132% 82% 86% 128% 132%(f)
</Table>
(a) The Fund commenced investment operations on February 2, 1998. Per share
data reflects activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.04, decrease net realized and unrealized loss per
share by $0.04 and decrease ratio of net investment income to average net
assets from 5.08% to 4.73%. Per share data and ratios for periods prior to
October 31, 2002 have not been restated to reflect this change in
presentation.
(d) Rounds to less than $0.01 per share.
(e) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(f) Not annualized.
(g) The investment advisor has contractually agreed, through October 31, 2004,
to reimburse ordinary expenses of the Fund, to the extent that these
expenses, together with the advisory fee, exceed 0.25% of the Fund's
average daily net assets.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(i) Annualized.
(j) Rounds to less than 0.01%.
(k) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
U.S. Government & Agency Securities (23.8%)
U.S. Treasury Note & Bond (4.8%)
U.S. Treasury Inflation Index Bond
3.375% 01/15/2007 $ 3,119,525 $ 3,398,823
U.S. Treasury Note
3.625% 01/15/2008 3,053,624 3,377,595
---------------
6,776,418
---------------
U.S. Agency Bonds (5.0%)
Federal Home Loan Mortgage Corp. (FHLMC)
4.500% 11/01/2007 2,393,577 2,472,864
5.500% 09/01/2017 1,033,708 1,075,133
6.000% 03/01/2017 - 08/01/2017 3,303,882 3,453,257
10.250% 09/01/2009 5,556 6,200
---------------
7,007,454
---------------
Federal National Mortgage Association (FNMA) (12.0%)
6.000% 03/01/2009 - 05/01/2009 2,875,579 2,978,677
To Be Announced
5.000% (a) 9,975,000 10,245,218
5.500% (a) 3,700,000 3,849,156
---------------
17,073,051
---------------
Agency Collateralized Mortgage Obligations (1.1%)
FHLMC GNMA Multiclass Mtg. Partn. Ctfs.
Gtd. Series 24 Cl. J
6.250% 11/25/2023 420,000 450,903
FHLMC Multiclass Mtg. Partn. Ctfs.
Gtd. Series 2046 Cl. PD
5.750% 03/15/2024 138,986 138,994
Gtd. Series 2120 Cl. PH
6.000% 09/15/2011 213,840 213,877
Gtd. Series 2462 Cl. JE
6.500% 11/15/2030 680,000 720,834
---------------
1,524,608
---------------
Other Government Agencies (0.9%)
Small Business Administration
1.875% 10/25/2021 - 06/25/2022 695,380 696,207
2.000% 07/25/2021 - 11/25/2021 155,058 155,184
2.375% 01/25/2017 405,672 409,585
---------------
1,260,976
---------------
Total U.S. Government & Agency Securities
(Cost of $33,383,568) 33,642,507
---------------
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (35.2%)
Financials (13.3%)
American General Finance
5.375% 09/01/2009 $ 250,000 $ 267,612
Bank of America Corp.
6.625% 10/15/2007 1,350,000 1,536,502
Bank One N.A. Illinois
3.700% 01/15/2008 700,000 715,387
CIT Group, Inc.
7.625% 08/16/2005 400,000 437,791
Citigroup, Inc.
6.750% 12/01/2005 950,000 1,057,825
Equitable Companies, Inc.
9.000% 12/15/2004 525,000 581,443
Ford Motor Credit Co.
6.875% 02/01/2006 1,375,000 1,423,324
General Electric Capital Corp.
4.250% 01/15/2008 1,650,000 1,720,031
General Motors Acceptance Corp.
5.250% 05/16/2005 950,000 975,405
Goldman Sachs Group, Inc.
4.125% 01/15/2008 325,000 335,775
Health Care Property Investors, Inc.
6.875% 06/08/2015 (b) 675,000 722,440
Household Finance Corp.
6.400% 06/17/2008 700,000 786,116
John Deere Capital Corp.
3.900% 01/15/2008 650,000 664,034
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 725,000 741,300
Merrill Lynch & Co., Inc.
2.470%, 03/10/2006 700,000 700,384
Morgan Stanley
6.100% 04/15/2006 650,000 713,583
US Bancorp
3.125% 03/15/2008 1,300,000 1,286,576
USA Education
5.625% 04/10/2007 1,000,000 1,094,886
Wachovia Corp.
4.950% 11/01/2006 1,100,000 1,184,104
Washington Mutual, Inc.
5.625% 01/15/2007 600,000 655,546
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Wells Fargo & Co.
5.900% 05/21/2006 $ 125,000 $ 137,977
7.250% 08/24/2005 980,000 1,098,341
---------------
18,836,382
---------------
Health Care (1.5%)
Anthem, Inc.
4.875% 08/01/2005 475,000 499,047
WellPoint Health Networks, Inc.
6.375% 06/15/2006 750,000 829,056
Wyeth
6.250% 03/15/2006 700,000 774,425
---------------
2,102,528
---------------
Industrial (15.1%)
Anadarko Petroleum Corp.
5.375% 03/01/2007 625,000 675,058
AT&T Corp.
6.500% 11/15/2006 (b) 350,000 375,671
Boeing Co.
8.100% 11/15/2006 525,000 609,084
BP America, Inc.
5.000% 12/16/2003 1,500,000 1,532,492
Caterpillar Financial Services Corp.
6.875% 08/01/2004 1,100,000 1,170,582
ChevronTexaco Capital Co.
3.500% 09/17/2007 1,025,000 1,050,043
Coca-Cola Enterprises, Inc.
8.000% 01/04/2005 1,100,000 1,211,441
Costco Wholesale Corp.
5.500% 03/15/2007 1,175,000 1,282,234
Cox Enterprises, Inc.
8.000% 02/15/2007 (c) 575,000 655,311
DaimlerChrysler N.A. Holding Corp.
4.750% 01/15/2008 450,000 465,362
Diageo Capital PLC
3.375% 03/20/2008 1,275,000 1,278,631
Honeywell International, Inc.
5.125% 11/01/2006 875,000 946,664
International Business Machines Corp.
4.250% 09/15/2009 680,000 709,128
Jones Intercable, Inc.
7.625% 04/15/2008 500,000 570,315
Lowe's Companies, Inc.
7.500% 12/15/2005 800,000 907,997
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Occidental Petroleum Corp.
4.250% 03/15/2010 $ 425,000 $ 428,185
Pepsi Bottling Holdings, Inc.
5.375% 02/17/2004 (c) 1,150,000 1,185,394
Phillips Petroleum Co.
8.500% 05/25/2005 895,000 1,011,209
Procter & Gamble Co.
4.750% 06/15/2007 675,000 723,960
TCI Communications, Inc.
7.250% 08/01/2005 150,000 161,825
Time Warner, Inc.
7.975% 08/15/2004 625,000 665,841
Union Pacific Corp.
3.875% 02/15/2009 550,000 550,496
United Technologies Corp.
4.875% 11/01/2006 1,125,000 1,204,694
Verizon Global Funding Corp.
7.600% 03/15/2007 1,025,000 1,169,450
Wal-Mart Stores
4.375% 07/12/2007 750,000 793,680
---------------
21,334,747
---------------
Utilities (2.0%)
Dominion Resources, Inc.
2.800% 02/15/2005 700,000 704,818
FPL Group Capital, Inc.
6.875% 06/01/2004 1,000,000 1,054,296
Kinder Morgan Energy Partners L.P.
8.000% 03/15/2005 760,000 840,101
Progress Energy, Inc.
5.850% 10/30/2008 300,000 328,982
---------------
2,928,197
---------------
International (3.3%)
A.I.D., Morocco
1.280% 05/01/2023 (b) 400,000 396,000
Ontario Province
6.000% 02/21/2006 1,400,000 1,548,550
Quebec Province
6.500% 01/17/2006 1,200,000 1,335,464
7.000% 01/30/2007 85,000 97,974
Republic of Italy
2.500% 03/31/2006 750,000 756,898
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
United Mexican States
4.625% 10/08/2008 $ 505,000 $ 513,333
---------------
4,648,219
---------------
Total Corporate Notes & Bonds
(Cost of $47,354,033) 49,850,073
---------------
Other Securitized Loans (32.0%)
Asset Backed Securities (17.1%)
ABFS Mortgage Loan Trust
Series 1997-2 Cl. A5
7.125% 01/15/2029 298,508 318,565
Advanta Mortgage Loan Trust
Series 1994-1 Cl. A2
6.300% 07/25/2025 102,457 103,186
Cityscape Home Equity Loan Trust
Series 1996-3 Cl. A8
7.650% 09/25/2025 1,470,000 1,469,693
Series 1997-B Cl. A7
7.410% 05/25/2028 292,646 304,704
Series 1997-3 Cl. A5
7.890% 07/25/2018 559,771 592,655
Series 1997-4 Cl. A4
7.440% 10/25/2018 352,497 367,857
ContiMortgage Home Equity Loan Trust
Series 1997-3 Cl. A8
7.580% 08/15/2028 1,233,259 1,259,254
FirstPlus Home Loan Owner Trust
Series 1997-3 Cl. A7
7.220% 11/10/2020 9,243 9,245
GE Capital Mortgage Services, Inc.
Series 1995-HE1 Cl. A6
7.500% 09/25/2010 28,208 28,202
Green Tree Financial Corp.
Series 1996-4 Cl. A7
7.900% 06/15/2027 1,174,658 1,216,731
IMC Home Equity Loan Trust
Series 1995-3 Cl. A5
7.500% 04/25/2026 1,280,000 1,279,727
Series 1997-3 Cl. A6
7.520% 08/20/2028 176,043 183,216
KeyCorp Student Loan Trust
Series 1996-A Cl. A2
1.791% 08/27/2025 (b) 1,849,133 1,863,881
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Lehman Home Equity Loan Trust
Series 1996-3 Cl. A2
1.540% 12/15/2027 (b) $ 356,236 $ 354,927
Merit Securities Corp.
Series 13 Cl. A4
7.880% 12/28/2033 1,215,000 1,200,453
SLM Student Loan Trust
Series 1997-2 Cl. A2
1.741% 01/25/2010 (b) 2,782,108 2,795,516
Series 1997-3 Cl. A2
1.781% 10/25/2010 (b) 1,154,871 1,163,096
Series 1997-4 Cl. A2
1.891% 10/25/2010 (b) 1,158,617 1,171,235
Series 1998-1 Cl. A2
1.901% 10/25/2011 (b) 4,928,976 4,991,373
Series 1998-2 Cl. A2
1.871% 01/25/2014 (b) 2,954,361 2,993,653
UCFC Home Equity Loan Trust
Series 1998-D Cl. AF7
6.315% 04/15/2030 518,791 550,021
---------------
24,217,190
---------------
Collateralized Mortgage Obligations (13.7%)
Bear Stearns Asset Backed Securities Trust
Series 2002-AC3 Cl. A2
5.490% 06/25/2032 886,692 896,059
CMC Securities Corp. IV
Series 1997-2 Cl. 1A12
7.250% 11/25/2027 119,319 119,781
Countrywide Home Loans
Series 2002-5 Cl. 2A1
6.000% 04/25/2017 963,967 987,765
Series 2002-16 Cl. 1A1
6.500% 09/25/2032 851,255 873,825
First Nationwide Trust
Series 1999-1 Cl. 1A
6.500% 03/25/2029 595,059 605,916
Series 2000-1 Cl. 2A3
8.000% 10/25/2030 740,895 757,319
NationsLink Funding Corp.
Series 1999-SL Cl. A5
6.888% 05/10/2007 500,000 564,950
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Norwest Asset Securities Corp.
Series 1998-31 Cl. A1
6.250% 01/25/2014 $ 292,480 $ 299,491
Ocwen Residential MBS Corp.
Series 1998-R1 Cl. A1
7.000% 10/25/2040 (c) 728,557 743,241
PNC Mortgage Securities Corp.
Series 1996-PR1 Cl. A
5.845% 04/28/2027 (b)(c) 305,198 308,483
Series 1998-12 Cl. 4A5
6.475% 01/25/2029 271,530 276,717
Series 1999-5 Cl. 2A6
6.750% 07/25/2029 17,230 17,209
Residential Asset Securitization Trust
Series 1998-A3 Cl. A
6.500% 04/25/2013 508,045 592,745
Series 1999-A1 Cl. A1
6.750% 03/25/2029 344,524 348,608
Series 2002-A1 Cl. A2
5.350% 09/25/2026 1,573,970 1,585,137
Series 2002-A1 Cl. A4
6.590% 01/25/2030 1,500,000 1,558,649
Series 2002-A5 Cl. A2
5.820% 01/25/2027 2,290,762 2,320,224
Residential Funding Mortgage Securities I, Inc.
Series 1999-S25 Cl. A1
6.750% 12/25/2014 319,960 327,602
Series 2002-S15 Cl. A2
5.400% 09/25/2032 1,711,482 1,744,915
Saco I, Inc.
Series 1997-2 Cl. 1A5
7.000% 08/25/2036 (c) 920,000 941,611
Structured Asset Mortgage Investments, Inc.
Series 2002-3 Cl. 1A
6.750% 07/28/2028 1,176,703 1,185,197
Structured Asset Securities Corp.
Series 1999-ALS2 Cl. A2
6.750% 07/25/2029 297,003 298,030
Washington Mutual Mortgage Securities Corp.
Series 2003-MS5 Cl. 1A4
1.805% 03/25/2018 (b) 1,991,845 1,990,461
---------------
19,343,935
---------------
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Commercial Mortgage Backed Securities (1.2%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.810% 06/15/2013 (b)(c) $ 1,138,639 $ 1,137,161
Nomura Asset Securities Corp.
Series 1996-MD5 Cl. A1B
7.120% 04/13/2039 530,000 592,052
---------------
1,729,213
---------------
Total Other Securitized Loans
(Cost of $44,748,379) 45,290,338
---------------
Short-Term Obligations (18.8%)
U.S. Treasury Bill (2.9%)
1.150% 05/01/2003 4,100,000 4,100,000
Repurchase Agreement (15.9%)
Repurchase agreement with State Street
Bank & Trust Co., dated 04/30/03, due 05/01/03 at
1.180%, collateralized by a U.S. Treasury Note
maturing 04/30/05, market value of $22,975,000
(repurchase proceeds $22,524,738) 22,524,000 22,524,000
---------------
Total Short-Term Obligations
(Cost of $26,624,000) 26,624,000
---------------
Total Investments (109.8%)
(Cost of $152,109,980) (d) 155,406,918
Other Assets & Liabilities, Net (-9.8%) (13,921,688)
---------------
Net Assets (100.0%) $ 141,485,230
===============
</Table>
Notes to Schedule of Investments:
(a) This security, or a portion thereof, has been purchased on a delayed
delivery basis whereby the terms that are fixed are the purchase price,
interest rate and settlement date. The exact quantity purchased may be
slightly more or less than the amount shown.
(b) Variable rate security - the rate reported is the current rate in
effect.
(c) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At April 30,
2003, the value of these securities amounted to $4,971,201 which
represents 3.5% of net assets.
(d) Cost for federal income tax purposes is $152,371,259.
See Accompanying Notes to Financial Statements.
12
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
ASSETS:
Investments at identified cost (including repurchase agreement) $ 152,109,980
--------------
Investments at value $ 132,882,918
Repurchase agreement 22,524,000
Cash 344,164
Receivable for:
Investments sold 1,517,418
Investments sold on a delayed delivery basis 4,833,261
Capital stock sold 1,000,000
Interest 948,435
Expense reimbursement due from investment advisor 43,859
Other assets 36,401
--------------
Total assets 164,130,456
--------------
LIABILITIES:
Payable for:
Investments purchased 3,378,878
Investments purchased on a delayed delivery basis 19,216,984
Distributions 4,004
Investment management fee 29,508
Transfer agent fee 2,104
Trustees' fee 934
Audit fee 9,538
Custody fee 2,626
Interest 650
--------------
Total liabilities 22,645,226
--------------
NET ASSETS $ 141,485,230
==============
NET ASSETS consist of:
Paid-in capital $ 142,461,924
Overdistributed net investment income (521,759)
Accumulated net realized loss (3,751,873)
Net unrealized appreciation on investments 3,296,938
--------------
NET ASSETS $ 141,485,230
==============
Shares of capital stock outstanding 11,616,750
==============
Net asset value, offering and redemption price per share $ 12.18
==============
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Interest $ 2,817,952
--------------
Expenses:
Investment management fee 167,445
Transfer agent fee 9,000
Trustees' fee 1,944
Custody fee 4,368
Audit fee 11,086
Other expenses 17,468
--------------
Total operating expenses 211,311
Expense reimbursement by investment advisor (43,859)
Custody earnings credit (657)
--------------
Net operating expenses 166,795
Interest expense 650
--------------
Net expenses 167,445
--------------
Net investment income 2,650,507
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments 971,802
Net change in unrealized appreciation/depreciation on investments (428,267)
--------------
Net gain 543,535
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 3,194,042
--------------
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
--------------- ----------------
Operations:
Net investment income $ 2,650,507 $ 6,621,939
Net realized gain (loss) on investments 971,802 (2,162,083)
Net change in net unrealized appreciation/depreciation on investments (428,267) 67,269
--------------- ---------------
Net increase from operations 3,194,042 4,527,125
Distributions declared to shareholders:
From net investment income (2,833,012) (7,115,313)
Net capital share transactions 367,616 53,553,765
--------------- ---------------
Net increase in net assets 728,646 50,965,577
NET ASSETS:
Beginning of period 140,756,584 89,791,007
--------------- ---------------
End of period $ 141,485,230 $ 140,756,584
=============== ===============
Overdistributed net investment income $ (521,759) $ (339,254)
=============== ===============
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Short Term Bond Fund (formerly CMC Short Term Bond Fund) (the "Fund") is a
portfolio of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end
diversified investment company registered under the Investment Company Act of
1940, as amended. The Trust has established seven other portfolios, CMG Small
Cap Fund, CMG International Stock Fund, CMG Small/Mid Cap Fund, CMG Strategic
Equity Fund, CMG International Bond Fund, CMG Fixed Income Securities Fund, and
CMG High Yield Fund, which are not included in these financial statements. The
CMG International Bond Fund is not yet operational. Each portfolio issues a
separate series of the Trust's shares and maintains a separate investment
portfolio. Following is a summary of significant accounting policies, in
conformity with accounting principles generally accepted in the United States of
America, which are consistently followed by the Fund in the preparation of its
financial statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on market
value as quoted by dealers who are market makers in these securities, by
independent pricing services, or by the investment advisor using a methodology
approved by the Board of Trustees. Investment securities with less than 60 days
to maturity when purchased are valued at amortized cost, which approximates
market value. Investment securities for which market quotations are not readily
available will be valued at fair market value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes. Securities purchased on a when-issued or forward-delivery basis
may settle a month or more after trade date; interest income is not accrued
until settlement date. It is the Fund's policy to segregate liquid assets with a
current value at least equal to the amount of its when-issued purchase
commitments until settlement date.
INVESTMENT INCOME AND EXPENSES. Interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis and the Fund bears expenses
incurred specifically on its behalf as well as a portion of general expenses
incurred on behalf of the Trust and its underlying portfolios.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared daily and paid monthly. Distributions from any net realized
gains are generally declared and paid annually. Additional distributions of net
investment income and capital gains for the Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
16
<Page>
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner which results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
PREMIUM AND DISCOUNT AMORTIZATION. The Fund amortizes premium and accretes
discount on all debt securities.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
Columbia Management Advisors, Inc. ("Columbia"), formerly known as Columbia
Management Co., an indirect, wholly-owned subsidiary of FleetBoston Financial
Corporation ("Fleet") is the investment advisor of the Fund.
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
previous administrator to the Fund, merged into Columbia. At the time of the
merger, Columbia assumed the obligations of Colonial with respect to the Fund.
The merger did not change the way the Fund is managed, the investment personnel
assigned to manage the Fund or the fees paid by the Fund to Columbia.
Investment management fees are paid monthly to Columbia by the Fund. The fees
are based on an annual rate of 0.25% of the Fund's average daily net assets.
Columbia has contractually agreed, through October 31, 2004, to reimburse
ordinary expenses (expenses incurred throughout the ordinary course of business)
of the Fund, to the extent that these expenses, together with the Fund's
advisory fee, exceed 0.25% of the Fund's average daily net assets.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than their capacity as trustees. Other officers
and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $657 of
custody fees were reduced by balance credits for the six months ended April 30,
2003. The Fund could have invested a portion of the assets utilized in
connection with the expense offset arrangement in an income-producing asset if
it had not entered into such an agreement.
17
<Page>
3. FEDERAL INCOME TAX:
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
Reclassifications are made to the Fund's capital accounts to reflect income and
gains available for distribution (or available capital loss carryforwards) under
income tax regulations.
The following capital loss carryforwards, determined as of October 31, 2002, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF CAPITAL LOSS
EXPIRATION CARRYFORWARD
-------------- ----------------
2007 $ 481,786
2008 1,870,624
2010 2,365,257
---------------
$ 4,717,667
===============
</Table>
4. INVESTMENT TRANSACTIONS:
For federal income tax purposes, net unrealized appreciation of investments at
April 30, 2003 was $3,035,659, composed of gross appreciation of $3,268,989 and
gross depreciation of $233,330.
For the six months ended April 30, 2003, purchases, sales and maturities of
long-term securities were as follows:
<Table>
<Caption>
PURCHASES SALES AND MATURITIES
--------------- --------------------
Investment securities other than
U.S Government obligations $ 24,935,692 $ 30,245,412
U.S. Government obligations 35,554,025 32,780,312
-------------- ----------------
Total $ 60,489,717 $ 63,025,724
============== ================
</Table>
18
<Page>
5. CAPITAL STOCK ACTIVITY:
At April 30, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
--------------- ----------------
SHARES:
Shares sold 2,665,838 7,604,040
Shares issued for reinvestment of distributions 229,748 574,008
--------------- ----------------
2,895,586 8,178,048
Less shares redeemed (2,866,689) (3,823,461)
--------------- ----------------
Net increase 28,897 4,354,587
=============== ================
AMOUNTS:
Sales $ 32,482,459 $ 93,097,391
Reinvestment of distributions 2,792,711 7,003,463
--------------- ----------------
35,275,170 100,100,854
Less redemptions (34,907,554) (46,547,089)
--------------- ----------------
Net increase $ 367,616 $ 53,553,765
=============== ================
</Table>
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2003. For the six months ended April 30, 2003, the average daily loan
balance outstanding on days where borrowing existed was $12,900,000 at a
weighted average interest rate of 1.81%.
19
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
926-03/992N-0503 (06/03) C-03/012
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
APRIL 30, 2003
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Strategic
Equity Fund. For the six-month period ended April 30, 2003, the fund returned
6.37%. It did better than the S&P 500 Index, which returned 4.47%.
The conflict with Iraq, a sluggish economy and pessimism among consumers
dominated the six-month period. The housing market, which benefited from
historically low mortgage rates, was one bright spot as the stock market
remained volatile. It rallied briefly in the fall, then declined for most of the
first quarter, before making a strong comeback on news that the war with Iraq
was ending. By April, investors had become more optimistic that the Federal
Reserve's stance on interest rates and the anticipated approval of the Bush tax
plan could boost economic growth.
Several sectors contributed to strong fund performance during the period.
Energy, technology and telecommunications-three industries plagued by high
profile fraud issues in recent years-rebounded, delivering positive returns.
Improved corporate governance and a focus on earnings quality benefited
companies such as Halliburton, an international energy services company (0.8% of
net assets), as well as those in the semiconductor industry.
In health care, our investments in medical device companies Guidant and Boston
Scientific (0.1% and 0.3% of net assets, respectively) also generated attractive
returns. Based on our conviction that drug stocks had bottomed last fall, we
took positions in Bristol-Myers Squibb and Wyeth (0.6% and 0.4% of net assets,
respectively). The fund also emphasized emerging markets, focusing primarily on
companies in Russia and Latin America. In particular, we believe that the
cellular telephone business overseas offers fair valuations and attractive
growth potential. Telecommunications providers Mobile Telesystems in Russia and
PT Telekomunikasi in Indonesia (0.7% and 0.2% of net assets, respectively)
provided the fund with favorable performance.
Two significant sectors that detracted from performance during the period were
media and insurance. American International Group (AIG), a leading international
insurance and financial services company (0.9% of net assets), delivered poor
earnings due to concerns about the complexity of its balance sheet and
accelerating premium prices. In addition, AIG's aircraft leasing business was
hurt by the war with Iraq. In the media sector, geopolitical concerns and a
decline in first-quarter advertising contributed to weaker-than-expected
results.
Going forward, we anticipate a pick-up in business spending as a weaker dollar
helps strengthen exports. Given current economic conditions and our
expectations, we believe shifting the fund's focus from the consumer to the
industrial sector may be warranted. We have already begun reallocating assets
away from consumer industries, such as retail, and repositioning the fund to
benefit from expected increases in capital spending. Finally, our commitment to
emerging markets remains a key strategy moving forward. We remain optimistic
about prospective returns from our investments in Russian and Indonesian
1
<Page>
telecommunications companies, the food and beverage business in Mexico and China
and the oil refinery market in China.
In our opinion, compelling valuations and low interest rates provide an
attractive environment for stocks going forward. We plan to continue using
bottom-up research to uncover companies that may benefit from the modest
economic growth we anticipate later this year.
The fund's top ten holdings (as a percentage of net assets) as of April 30, 2003
were:
<Table>
<Caption>
HOLDING (%)
3M 1.6
American International Group 0.9
eBay 0.9
International Business Machines 0.9
Microsoft 0.8
Gillette 0.8
Eli Lilly 0.8
Pfizer 0.8
Coca-Cola 0.8
SAP AG 0.8
</Table>
We appreciate your continued confidence in the CMG Strategic Equity Fund.
The Columbia Investment Team
April 30, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
An investment in CMG Strategic Equity Fund offers the potential for long-term
growth, but also involves certain risks, including stock market fluctuations due
to economic and business developments.
Holdings are disclosed as of April 30, 2003, and are subject to change. Because
the fund is actively managed, there is no guarantee the fund will continue to
maintain the holdings breakdown listed. The fund's holdings and their breakdown
within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CMG STRATEGIC EQUITY FUND S&P 500 INDEX
10/9/2001 $ 10,000 $ 10,000
10/31/2001 $ 10,100 $ 10,191
11/30/2001 $ 11,040 $ 10,973
12/31/2001 $ 11,386 $ 11,069
1/31/2002 $ 11,315 $ 10,908
2/28/2002 $ 11,295 $ 10,697
3/31/2002 $ 11,956 $ 11,099
4/30/2002 $ 11,816 $ 10,427
5/31/2002 $ 11,836 $ 10,351
6/30/2002 $ 11,286 $ 9,614
7/31/2002 $ 10,494 $ 8,865
8/31/2002 $ 10,565 $ 8,922
9/30/2002 $ 9,633 $ 7,953
10/31/2002 $ 10,154 $ 8,652
11/30/2002 $ 11,025 $ 9,161
12/31/2002 $ 10,357 $ 8,623
1/31/2003 $ 10,105 $ 8,398
2/28/2003 $ 9,954 $ 8,272
3/31/2003 $ 9,924 $ 8,353
4/30/2003 $ 10,800 $ 9,040
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF APRIL 30, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 6.37 -8.60 5.07
S&P 500 Index 4.47 -13.30 -6.18
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF MARCH 31, 2003 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 3.02 -17.00 -0.52
S&P 500 Index 5.01 -24.75 -11.32
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. The principal value and
investment returns will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distribution. Total return performance is
illustrated for the periods ended April 30, 2003 and March 31, 2003.
The S&P 500 Index is an unmanaged index generally considered representative of
the U.S. stock market. Unlike the fund, indices are not investments, do not
incur fees and are not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Index performance is from September 30, 2001.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
3
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED PERIOD ENDED
APRIL 30, OCTOBER 31, OCTOBER 31,
2003 2002 2001 (a)
----------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.14 $ 10.10 $ 10.00
----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.07(b) 0.11(b) 0.00(c)
Net realized and unrealized gain (loss) on investments
and foreign currency 0.57 (0.05) 0.10
----------- ----------- ------------
Total from investment operations 0.64 0.06 0.10
----------- ----------- ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.06) (0.02) -
----------- ----------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.72 $ 10.14 $ 10.10
=========== =========== ===========
Total return (d)(i) 6.37%(e) 0.53% 1.00%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 326,572 $ 188,179 $ 36,942
Ratio of net expenses to average net assets (f)(g) 0.40%(h) 0.40% 0.40%(h)
Ratio of total expenses to average net assets (f)(g) 0.45%(h) 0.47% 1.20%(h)
Ratio of net investment income to average net assets (g) 1.28%(h) 1.01% 0.04%(h)
Portfolio turnover rate 55%(e) 172% 14%(e)
</Table>
(a) The Fund commenced investment operations on October 9, 2001. Per share data
reflects activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(e) Not annualized.
(f) The investment advisor has contractually agreed, through October 31, 2004,
to reimburse ordinary expenses of the Fund, to the extent that these
expenses, together with the advisory fee, exceed 0.40% of the Fund's
average daily net assets.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
(i) Total return at net asset value assuming all distributions reinvested.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (89.8%)
Consumer Discretionary (13.0%)
Auto Components (0.9%)
Modine Manufacturing Co. 57,350 $ 1,158,470
Nokian Renkaat Oyj 38,000 1,572,049
--------------
2,730,519
--------------
Hotels, Restaurants & Leisure (0.8%)
Carnival Corp. 50,000 1,379,500
Starwood Hotels & Resorts Worldwide, Inc. 50,000 1,342,000
--------------
2,721,500
--------------
Household Durables (1.0%)
Ekornes ASA 95,000 1,276,982
Newell Rubbermaid, Inc. 40,000 1,219,200
Pioneer Corp. 45,000 891,000
--------------
3,387,182
--------------
Internet & Catalog Retail (0.9%)
eBay, Inc. (a) 32,500 3,015,025
--------------
Media (5.8%)
AOL Time Warner, Inc. (a) 150,815 2,063,149
Belo Corp., Class A 30,000 675,300
Clear Channel Communications, Inc. (a) 50,000 1,955,500
Emmis Communications Corp., Class A (a) 20,000 379,400
Entravision Communications Corp. (a) 100,000 761,000
General Motors Corp., Class H (a) 100,000 1,180,000
Grupo Televisa SA, ADR (a) 48,000 1,456,320
Liberty Corp. 10,000 441,700
Liberty Media Corp. (a) 125,000 1,375,000
Media General, Inc., Class A 40,000 2,198,400
Metro-Goldwyn-Mayer, Inc. (a) 50,000 557,500
Pixar, Inc. (a) 37,500 2,189,625
Pulitzer, Inc. 30,000 1,398,900
Viacom, Inc., Class B (a) 20,310 881,657
Walt Disney Co. 30,000 559,800
XM Satellite Radio Holdings, Inc. (a) 100,000 967,000
--------------
19,040,251
--------------
Multi-Line Retail (1.1%)
Dillard's, Inc., Class A 37,500 524,250
Dollar General Corp. 62,500 908,750
Stockmann Oyj ABP, Class B 50,000 799,442
Target Corp. 40,000 1,337,600
--------------
3,570,042
--------------
Specialty Retail (2.0%)
Borders Group, Inc. (a) 40,000 640,000
Carmax, Inc. (a) 80,996 1,713,065
Friedman's, Inc., Class A 75,000 862,500
Home Depot, Inc. 60,610 1,704,959
Lowe's Companies, Inc. 20,000 877,800
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Specialty Retail (continued)
Talbots, Inc. 21,200 $ 607,380
--------------
6,405,704
--------------
Textiles, Apparel & Luxury Goods (0.5%)
Nike, Inc. 30,000 1,605,900
--------------
Consumer Staples (6.2%)
Beverages (2.0%)
Coca-Cola Co. 62,500 2,525,000
Coca-Cola Femsa SA de CV 60,000 1,275,000
Coca-Cola Hellenic Bottling Co. SA 50,000 732,356
Companhia de Bebidas das Americas 50,000 994,500
Harbin Brewery Group Ltd. (a) 1,000,000 301,319
Pepsi Bottling Group, Inc. 25,000 513,500
--------------
6,341,675
--------------
Food & Drug Retailing (0.8%)
Longs Drug Stores Corp. 50,000 774,500
United Natural Foods, Inc. (a) 40,000 1,167,600
Walgreen Co. 25,000 771,500
--------------
2,713,600
--------------
Food Products (2.0%)
Archer-Daniels-Midland Co. 75,000 831,000
Campbell Soup Co. 20,000 440,600
Hain Celestial Group, Inc. (a) 50,000 863,000
Kellogg Co. 37,500 1,227,750
People's Food Holdings Ltd. 500,000 248,020
Tootsie Roll Industries, Inc. 25,000 724,500
Tyson Foods, Inc. 62,500 601,875
Unilever NV, NY Shares 20,000 1,259,400
Wimm-Bill-Dann Foods OJSC, ADR (a) 20,000 367,000
--------------
6,563,145
--------------
Personal Products (1.4%)
Estee Lauder Companies, Inc., Class A 62,500 2,031,250
Gillette Co. 88,050 2,681,123
--------------
4,712,373
--------------
Energy (6.9%)
Energy Equipment & Services (3.1%)
Core Laboratories NV (a) 55,000 550,000
FMC Technologies, Inc. (a) 37,500 705,750
GlobalSantaFe Corp. 45,275 958,019
Grant Prideco, Inc. (a) 60,000 684,600
Halliburton Co. 115,500 2,472,855
Maverick Tube Corp. (a) 50,000 889,500
Schlumberger Ltd. 50,000 2,096,500
Transocean, Inc. (a) 50,000 952,500
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Universal Compression Holdings, Inc. (a) 36,800 $ 667,552
Willbros Group, Inc. (a) 30,000 249,000
--------------
10,226,276
--------------
Oil & Gas (3.8%)
Anadarko Petroleum Corp. 37,500 1,665,000
BP PLC, ADR 42,500 1,637,950
China Petroleum and Chemical Corp. 50,000 993,500
Cimarex Energy Co. (a) 50,000 985,000
ConocoPhillips 37,500 1,886,250
Devon Energy Corp. 16,560 782,460
Petroleo Brasileiro SA, ADR 50,000 927,500
Premcor, Inc. (a) 40,000 891,600
Stelmar Shipping Ltd. (a) 36,500 553,705
Valero Energy Corp. 30,000 1,102,500
Yukos, ADR (a) 5,000 875,000
--------------
12,300,465
--------------
Financials (11.2%)
Banks (2.8%)
Bank One Corp. 44,170 1,592,329
Columbia Banking Systems, Inc. 50,000 771,000
Fifth Third Bancorp 35,150 1,732,544
KeyCorp 40,000 964,400
PNC Financial Services Group 23,400 1,027,260
U.S. Bancorp 50,000 1,107,500
Wachovia Corp. 50,100 1,914,321
--------------
9,109,354
--------------
Diversified Financials (4.1%)
American Express Co. 37,150 1,406,499
Bank of New York Co., Inc. 50,000 1,322,500
Charles Schwab Corp. 100,000 863,000
Citigroup, Inc. 41,210 1,617,493
Countrywide Financial Corp. 17,500 1,183,000
Freddie Mac 20,000 1,158,000
J.P. Morgan Chase & Co. 83,900 2,462,465
Mellon Financial Corp. 30,000 793,500
Merrill Lynch & Co., Inc. 30,000 1,231,500
Morgan Stanley 30,000 1,342,500
--------------
13,380,457
--------------
Insurance (4.0%)
Allstate Corp. 30,000 1,133,700
American International Group, Inc. 52,724 3,055,356
AON Corp. 47,500 1,052,600
Berkshire Hathaway, Inc., Class B (a) 500 1,166,000
Chubb Corp. 22,500 1,190,025
Hartford Financial Services Group, Inc. 30,000 1,222,800
Jefferson-Pilot Corp. 20,000 801,800
John Hancock Financial Services, Inc. 41,800 1,213,036
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Insurance (continued)
Lincoln National Corp. 20,000 $ 639,200
MGIC Investment Corp. 20,000 909,200
St. Paul Companies, Inc. 20,000 686,800
--------------
13,070,517
--------------
Real Estate (0.3%)
Crescent Real Estate Equities Co. 26,500 375,770
Post Properties, Inc. 30,000 772,800
--------------
1,148,570
--------------
Health Care (13.1%)
Biotechnology (2.2%)
Alkermes, Inc. (a) 30,000 299,400
Amgen, Inc. (a) 40,000 2,452,400
Biogen, Inc. (a) 40,000 1,519,600
CuraGen Corp. (a) 50,000 233,000
MedImmune, Inc. (a) 50,000 1,763,500
Millennium Pharmaceuticals, Inc. (a) 87,500 962,500
--------------
7,230,400
--------------
Health Care Equipment & Supplies (2.4%)
Applera Corp. -- Applied Biosystems Group 75,000 1,314,750
Bausch & Lomb, Inc. 30,000 1,054,800
Baxter International, Inc. 20,000 460,000
Boston Scientific Corp. (a) 20,000 861,000
Guidant Corp. (a) 10,000 389,900
Kyphon, Inc. (a) 50,000 472,000
Medtronic, Inc. 30,680 1,464,663
Millipore Corp. (a) 50,000 1,707,500
--------------
7,724,613
--------------
Health Care Providers & Services (2.4%)
AmerisourceBergen Corp. 25,000 1,446,250
IDX Systems Corp. (a) 50,000 733,500
Laboratory Corporation of America Holdings (a) 50,000 1,473,000
McKesson Corp. 52,700 1,461,898
Option Care, Inc. (a) 100,000 933,000
UnitedHealth Group, Inc. 17,500 1,612,275
--------------
7,659,923
--------------
Pharmaceuticals (6.1%)
Abbott Laboratories 37,500 1,523,625
Bristol-Myers Squibb Co. 80,037 2,044,145
Elan Corp. PLC, ADR (a) 100,000 338,000
Eli Lilly & Co. 40,000 2,552,800
Gedeon Richter Rt. 25,000 1,819,215
Mylan Laboratories, Inc. 57,500 1,625,525
Novartis AG, ADR 50,000 1,974,000
Pfizer, Inc. 82,760 2,544,870
Schering AG 30,000 1,337,700
Schering-Plough Corp., ADR 70,000 1,267,000
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Pharmaceuticals (continued)
Sepracor, Inc. (a) 50,000 $ 957,500
Shire Pharmaceuticals PLC, ADR (a) 30,000 597,000
Wyeth 32,900 1,432,137
--------------
20,013,517
--------------
Industrials (14.3%)
Aerospace & Defense (1.4%)
General Dynamics Corp. 10,000 620,700
Honeywell International, Inc. 30,000 708,000
Lockheed Martin Corp. 27,500 1,376,375
Precision Castparts Corp. 30,000 830,700
Raytheon Co. 32,500 972,725
--------------
4,508,500
--------------
Air Freight & Logistics (0.6%)
FedEx Corp. 20,000 1,197,600
Ryder System, Inc. 30,000 751,197
--------------
1,948,797
--------------
Airlines (0.6%)
Alaska Air Group, Inc. (a) 40,000 713,200
Continental Airlines, Inc., Class B (a) 125,000 1,140,000
--------------
1,853,200
--------------
Commercial Services & Supplies (1.9%)
Cendant Corp. (a) 137,500 1,963,500
Central Parking Corp. 20,000 200,000
Cintas Corp. 20,000 718,000
G & K Services, Inc., Class A 30,000 819,900
Ionics, Inc. (a) 50,000 950,000
Waste Management, Inc. 75,000 1,629,000
--------------
6,280,400
--------------
Construction & Engineering (0.6%)
Fluor Corp. 40,000 1,382,800
Insituform Technologies, Inc. (a) 40,000 638,000
--------------
2,020,800
--------------
Electrical Equipment (0.9%)
Cooper Industries Ltd., Class A 40,000 1,484,000
Emerson Electric Co. 30,000 1,521,000
--------------
3,005,000
--------------
Industrial Conglomerates (3.4%)
3M Co. 42,500 5,356,700
General Electric Co. 77,500 2,282,375
Siemens AG, ADR 30,000 1,497,000
Textron, Inc. 67,500 1,990,575
--------------
11,126,650
--------------
Machinery (4.0%)
Caterpillar, Inc. 47,500 2,498,500
Deere & Co. 42,500 1,871,275
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Machinery (continued)
Eaton Corp. 30,000 $ 2,462,100
Flowserve Corp. (a) 67,500 1,042,200
Joy Global, Inc. (a) 50,000 618,500
Kaydon Corp. 40,000 892,000
Navistar International Corp. (a) 40,000 1,116,000
Pall Corp. 51,800 1,094,016
Timken Co. 50,000 885,000
Trinity Industries, Inc. 40,000 662,000
--------------
13,141,591
--------------
Marine (0.2%)
Finnlines Oyj 25,000 550,664
--------------
Road & Rail (0.2%)
Kansas City Southern (a) 50,000 553,500
--------------
Trading Companies & Distributors (0.5%)
Fastenal Co. 30,000 1,037,700
Genuine Parts Co. 20,000 639,400
--------------
1,677,100
--------------
Information Technology (13.8%)
Communications Equipment (1.9%)
Cisco Systems, Inc. (a) 102,180 1,536,787
Comverse Technology, Inc. (a) 112,500 1,470,375
Motorola, Inc. 51,400 406,574
Research In Motion Ltd. (a) 100,000 1,563,000
Telefonaktiebolaget LM Ericsson, ADR 70,000 634,200
Tellabs, Inc. (a) 125,000 772,500
--------------
6,383,436
--------------
Computers & Peripherals (1.7%)
EMC Corp. (a) 112,950 1,026,716
International Business Machines Corp. 35,000 2,971,500
Sandisk Corp. (a) 50,000 1,210,000
Sun Microsystems, Inc. (a) 150,000 495,000
--------------
5,703,216
--------------
Electronic Equipment & Instruments (1.2%)
Celestica, Inc. (a) 50,000 578,000
Flextronics International Ltd. (a) 115,000 1,006,250
Methode Electronics, Inc., Class A 87,500 918,750
Plexus Corp. (a) 50,000 509,000
Symbol Technologies, Inc. 75,000 819,750
--------------
3,831,750
--------------
Information Technology Consulting & Services (0.7%)
Concord EFS, Inc. (a) 50,000 691,500
Convergys Corp. (a) 42,350 686,917
Infosys Technologies Ltd. 20,000 822,000
--------------
2,200,417
--------------
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Internet Software & Services (0.6%)
Yahoo, Inc. (a) 72,500 $ 1,796,550
--------------
Office Electronics (0.5%)
Canon, Inc., ADR 40,000 1,604,400
--------------
Semiconductor Equipment & Products (3.3%)
Advantest Corp., ADR 70,000 581,700
Altera Corp. (a) 40,000 632,400
Analog Devices, Inc. (a) 40,000 1,324,800
Atmel Corp. (a) 75,000 138,000
FEI Co. (a) 60,000 1,097,400
Intel Corp. 53,050 976,120
Micron Technology, Inc. (a) 75,575 642,388
Mykrolis Corp. (a) 81,000 649,620
Samsung Electronics Co. Ltd., GDR 10,000 1,250,000
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (a) 122,500 1,025,325
Teradyne, Inc. (a) 75,000 870,000
Texas Instruments, Inc. 94,650 1,750,078
--------------
10,937,831
--------------
Software (3.9%)
Activision, Inc. (a) 62,500 956,250
Adobe Systems, Inc. 30,000 1,036,800
Autodesk, Inc. 100,000 1,556,000
BEA Systems, Inc. (a) 100,000 1,071,000
Jack Henry & Associates, Inc. 40,000 521,200
Intuit, Inc. (a) 25,000 969,500
Microsoft Corp. 106,220 2,716,045
Network Associates, Inc. (a) 40,000 457,200
Oracle Corp. (a) 60,000 712,800
Parametric Technology Corp. (a) 75,000 247,500
SAP AG, ADR 98,150 2,503,806
--------------
12,748,101
--------------
Materials (7.4%)
Chemicals (2.8%)
A. Schulman, Inc. 75,000 1,226,925
Dow Chemical Co. 50,000 1,632,000
H.B. Fuller Co. 50,000 1,226,500
IMC Global, Inc. 51,800 469,308
Olin Corp. 40,000 724,800
Potash Corporation of Saskatchewan, Inc. 35,000 2,154,250
Rohm and Haas Co. 40,000 1,324,400
Syngenta AG, ADR 30,000 307,500
--------------
9,065,683
--------------
Containers & Packaging (1.0%)
Huhtamaki Oyj 40,000 427,114
Smurfit-Stone Container Corp. (a) 50,000 703,500
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Containers & Packaging (continued)
Temple-Inland, Inc. 50,000 $ 2,265,000
--------------
3,395,614
--------------
Metals & Mining (1.3%)
Barrick Gold Corp. 67,500 1,009,125
Consol Energy, Inc. 107,500 1,849,000
Inco Ltd. (a) 57,500 1,056,850
Newmont Mining Corp. 12,500 337,750
--------------
4,252,725
--------------
Paper & Forest Products (2.3%)
Abitibi-Consolidated, Inc. 50,000 350,000
Georgia-Pacific Corp. 100,000 1,544,000
International Paper Co. 40,250 1,438,938
MeadWestVaco Corp. 50,000 1,179,500
Norske Skogindustrier ASA 27,300 374,772
Pope & Talbot, Inc. 40,000 531,600
Votorantim Celulose e Papel SA, ADR (a) 62,800 1,193,200
Weyerhaeuser Co. 15,000 743,850
--------------
7,355,860
--------------
Telecommunication Services (2.4%)
Diversified Telecommunication Services (1.3%)
AT&T Corp. 65,660 1,119,503
BellSouth Corp. 30,000 764,700
PT Telekomunikasi Indonesia, ADR 83,000 768,580
SBC Communications, Inc. 72,500 1,693,600
--------------
4,346,383
--------------
Wireless Telecommunication Services (1.1%)
AT&T Wireless Services, Inc. (a) 100,000 646,000
Mobile Telesystems, ADR (a) 45,000 2,160,000
Vodafone Group PLC 30,000 592,800
--------------
3,398,800
--------------
Utilities (1.5%)
Electric Utilities (0.5%)
DPL, Inc. 35,400 489,936
TECO Energy, Inc. 100,000 1,079,000
--------------
1,568,936
--------------
Multi-Utilities & Unregulated Power (1.0%)
Calpine Corp. (a) 100,000 537,000
Duke Energy Corp. 42,500 747,575
El Paso Corp. 75,000 562,500
Westar Energy, Inc. 57,000 801,420
Williams Companies, Inc. 100,000 695,000
--------------
3,343,495
--------------
Total Common Stocks
(Cost of $274,193,468) 293,270,407
--------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Preferred Stock (0.4%)
Consumer Discretionary (0.4%)
Media (0.4%)
News Corp. Ltd., ADR
(Cost of $1,127,258) 50,000 $ 1,173,000
--------------
Investment Management Company (0.2%)
iShares MSCI Japan Index Fund (a)
(Cost of $708,000) 100,000 641,000
--------------
<Caption>
PAR
--------------
Short-Term Obligation (10.7%)
Repurchase agreement with State Street Bank & Trust Co.,
dated 04/30/03, due 05/01/03 at 1.180%, collateralized
by a U.S. Treasury Bill maturing 05/08/03, market value
of $35,781,303 (repurchase proceeds $35,080,150)
(Cost of $35,079,000) $ 35,079,000 35,079,000
--------------
Total Investments (101.1%)
(Cost of $311,107,726) (b) 330,163,407
--------------
Other Assets & Liabilities, Net (-1.1)% (3,591,777)
--------------
Net Assets (100.0%) $ 326,571,630
==============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
--------- -----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
<Table>
ASSETS:
Investments at identified cost (including repurchase agreement) $ 311,107,726
--------------
Investments at value $ 295,084,407
Repurchase agreement 35,079,000
Cash 1,129,704
Cash denominated in foreign currencies (cost $19,675) 19,910
Receivable for:
Investments sold 3,423,176
Capital stock sold 23,576
Dividends 349,608
Interest 1,150
Foreign tax reclaims 3,092
Expense reimbursement due from investment advisor 63,023
Other assets 5,093
--------------
Total assets 335,181,739
--------------
LIABILITIES:
Payable for:
Investments purchased 8,466,518
Capital stock repurchased 24,054
Investment management fee 105,234
Audit fee 12,106
Transfer agent fee 2,150
Trustees' fee 47
--------------
Total liabilities 8,610,109
--------------
NET ASSETS $ 326,571,630
==============
NET ASSETS consist of:
Paid-in capital $ 321,918,437
Undistributed net investment income 1,203,405
Accumulated net realized loss (15,606,193)
Net unrealized appreciation on:
Investments 19,055,681
Foreign currency 300
--------------
NET ASSETS $ 326,571,630
==============
Shares of capital stock outstanding 30,470,432
==============
Net asset value, offering and redemption price per share $ 10.72
==============
</Table>
See Accompanying Notes to Financial Statements
14
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS
For the Six Months Ended April 30, 2003 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 2,060,248
Interest 168,729
Foreign withholding tax (58,330)
--------------
Total income 2,170,647
--------------
Expenses:
Investment management fee 514,128
Custody fee 17,850
Transfer agent fee 9,000
Trustees' fee 1,148
Other expenses 35,780
--------------
Total expenses 577,906
Expense reimbursement by investment advisor (63,023)
Custody earnings credit (755)
--------------
Net expenses 514,128
--------------
Net investment income 1,656,519
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments (6,323,062)
Foreign currency transactions 1,990
--------------
Net realized loss (6,321,072)
--------------
Net change in unrealized appreciation/depreciation on:
Investments 21,946,399
Foreign currency translations 300
--------------
Net change in unrealized appreciation/depreciation 21,946,699
--------------
Net gain 15,625,627
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 17,282,146
--------------
</Table>
See Accompanying Notes to Financial Statements
15
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
Operations:
Net investment income $ 1,656,519 $ 1,070,922
Net realized loss on investments and foreign currency transactions (6,321,072) (9,099,006)
Net change in unrealized appreciation/depreciation on investments and foreign
currency translations 21,946,699 (3,343,013)
-------------- ----------------
Net increase (decrease) from operations 17,282,146 (11,371,097)
Distributions declared to shareholders:
From net investment income (1,463,038) (63,470)
Net capital share transactions 122,573,376 162,672,129
-------------- ----------------
Net increase in net assets 138,392,484 151,237,562
NET ASSETS:
Beginning of period 188,179,146 36,941,584
-------------- ----------------
End of period $ 326,571,630 $ 188,179,146
============== ================
Undistributed net investment income $ 1,203,405 $ 1,009,924
============== ================
</Table>
See Accompanying Notes to Financial Statements
16
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Strategic Equity Fund (formerly CMC Strategic Equity Fund) (the "Fund") is a
portfolio of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end
diversified investment company registered under the Investment Company Act of
1940, as amended. The Trust has established seven other portfolios, CMG Small
Cap Fund, CMG Small/Mid Cap Fund, CMG International Stock Fund, CMG Fixed Income
Securities Fund, CMG High Yield Fund, CMG International Bond Fund, and CMG Short
Term Bond Fund, which are not included in these financial statements. The CMG
International Bond Fund is not yet operational. Each portfolio issues a separate
series of the Trust's shares and maintains a separate investment portfolio.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on the last
sales prices reported by the principal securities exchanges on which the
investments are traded or, in the absence of recorded sales, at the closing bid
prices on such exchanges or over-the-counter markets. Investment securities with
less than 60 days to maturity when purchased are valued at amortized cost, which
approximates market value. Investment securities for which market quotations are
not readily available will be valued at fair market value as determined in good
faith under procedures established by and under the general supervision of the
Board of Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes. Securities purchased on a when-issued or forward-delivery basis
may settle a month or more after trade date; interest income is not accrued
until settlement date. It is the Fund's policy to segregate liquid assets with a
current value at least equal to the amount of its when-issued purchase
commitments until settlement date.
INVESTMENT INCOME AND EXPENSES. Dividend income less foreign taxes withheld (if
any) is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend, if
such information is obtained subsequent to the ex-dividend date. Interest income
is recorded on the accrual basis. Expenses are recorded on the accrual basis and
each Fund bears expenses incurred specifically on its behalf as well as a
portion of general expenses incurred on behalf of the Trust and its underlying
portfolios.
FOREIGN CURRENCY TRANSLATIONS. The books and records of the Fund are maintained
in U.S. dollars. Foreign currencies, investments and other assets and
liabilities of the Fund are translated into U.S. dollars at the daily rates of
exchange on the valuation date. Purchases and sales of investment securities,
dividend and interest income and certain expenses are translated at the rates of
exchange prevailing on the respective dates of such transactions. The Fund does
not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes
in market prices on investments held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments.
17
<Page>
Reported net realized foreign currency gains or losses arise from the sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalents of the amounts actually received or
paid. Net unrealized foreign exchange gains or losses arise from changes in the
value of assets and liabilities, other than investments in securities, resulting
from changes in the exchange rates.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared and paid annually. Distributions from any net realized gains
are generally declared and paid annually. Additional distributions of net
investment income and capital gains for the Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
Columbia Management Advisors, Inc. ("Columbia"), formerly known as Columbia
Management Co., an indirect, wholly-owned subsidiary of FleetBoston Financial
Corporation ("Fleet") is the investment advisor of the Fund.
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
previous administrator to the Fund, merged into Columbia. At the time of the
merger, Columbia assumed the obligations of Colonial with respect to the Fund.
The merger did not change the way the Fund is managed, the investment personnel
assigned to manage the Fund or the fees paid by the Fund to Columbia.
Investment management fees are paid monthly to Columbia by the Fund. The fees
are based on an annual rate of 0.40% of the Fund's average daily net assets.
Columbia has contractually agreed, through October 31, 2004, to reimburse
ordinary expenses (expenses incurred throughout the ordinary course of business)
of the Fund, to the extent that these expenses together with the advisory fee,
exceed 0.40% of the Fund's average daily net assets.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than in their capacity as trustees. Other
officers and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
18
<Page>
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $755 of
custody fees were reduced by balance credits for the six months ended April 30,
2003. The Fund could have invested a portion of the assets utilized in
connection with the expense offset arrangement in an income-producing asset if
it had not entered into such an agreement.
3. FEDERAL INCOME TAX:
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
Reclassifications are made to the Fund's capital accounts to reflect income and
gains available for distribution (or available capital loss carryforwards) under
income tax regulations.
The following capital loss carryforwards, determined as of October 31, 2002, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF CAPITAL LOSS
EXPIRATION CARRYFORWARD
---------- ------------
2009 $ 110,233
2010 7,127,177
------------
$ 7,237,410
============
</Table>
4. INVESTMENT TRANSACTIONS:
For both financial statement and federal income tax purposes, net unrealized
appreciation of investments at April 30, 2003 was $19,055,681, composed of gross
appreciation of $29,032,696 and gross depreciation of $9,977,015.
For the six months ended April 30, 2003, purchases and sales of long-term
securities, excluding U.S. Government securities, were $249,003,717 and
$127,339,878, respectively.
19
<Page>
5. CAPITAL STOCK ACTIVITY:
At April 30, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2003 OCTOBER 31, 2002
-------------- ----------------
SHARES:
Shares sold 12,912,919 15,932,938
Shares issued for reinvestment of distributions 140,587 5,562
-------------- ----------------
13,053,506 15,938,500
Less shares redeemed (1,134,628) (1,045,757)
-------------- ----------------
Net increase 11,918,878 14,892,743
============== ================
AMOUNTS:
Sales $ 132,801,402 $ 174,100,499
Reinvestment of distributions 1,438,209 63,245
-------------- ----------------
134,239,611 174,163,744
Less redemptions (11,666,235) (11,491,615)
-------------- ----------------
Net increase $ 122,573,376 $ 162,672,129
============== ================
</Table>
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2003. The Fund did not utilize the line of credit during the six
months ended April 30, 2003.
20
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
941-03/990N-0503 (06/03) C-03/010
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable at this time.
ITEMS 5-6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable at this time.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The Registrant's Chief Executive Officer and Chief Financial Officer, based
on their evaluation of the Registrant's disclosure controls and procedures as of
June 20, 2003, have concluded that such controls and procedures are adequately
designed to ensure that information required to be disclosed by the Registrant
in its reports that it files or submits under the Securities Exchange Act of
1934, as amended, is accumulated and communicated to the Registrant's
management, including the Chief Executive Officer and Chief Financial Officer,
or persons performing similar functions, as appropriate, to allow timely
decisions regarding required disclosure.
(b) There were no significant changes in the registrant's internal controls
or in other factors that could affect these controls subsequent to the date
of our evaluation.
ITEM 10. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable
at this time.
(b) A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the Act (17
CSR 270.30a-2) in the exact form set forth below: Attached hereto.
<Page>
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.
(Registrant) CMG Fund Trust
-------------------------------------------------------------------
By (Signature and Title)* /s/ Jeff B. Curtis
------------------------------------------------------
Jeff B. Curtis, President
Date June 24, 2003
---------------------------------------------------------------------------
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 (Signature and Title)* /s/ Jeff B. Curtis
------------------------------------------------------
Jeff B. Curtis, President
Date June 24, 2003
---------------------------------------------------------------------------
By (Signature and Title)* /s/ J. Kevin Connaughton
------------------------------------------------------
J. Kevin Connaughton, Chief Financial Officer
Date June 24, 2003
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.