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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 811-9555
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Commonfund Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
15 Old Danbury Road, Wilton, CT 06897
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(Address of principal executive offices) (Zip code)
Verne Sedlacek, President and Chief Executive Officer
15 Old Danbury Road, Wilton, CT 06897
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(Name and address of agent for service)
Registrant's telephone number, including area code: 203-563-5000
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Date of fiscal year end: 04/30/03
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Date of reporting period: 05/01/02 - 4/30/03
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ITEM 1. REPORTS TO STOCKHOLDERS.
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COMMONFUND INSTITUTIONAL FUNDS
ANNUAL REPORT APRIL 30, 2003
COMMONFUND
[GRAPHIC]
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Letter to Shareholders
COMMONFUND INSTITUTIONAL FUNDS
June 27, 2003
SUBJECT: COMMONFUND INSTITUTIONAL FUNDS - ANNUAL REPORT
Dear Investor:
I'm happy to enclose Commonfund Institutional Funds Annual Report for the year
ending April 30, 2003.
These funds continue to underscore Commonfund's commitment to serving the
investment needs of nonprofit organizations such as your own.
A commitment which now enters its 34th year.
Thank you for your support.
Sincerely,
/s/ Robert L. Bovinette
Robert L. Bovinette
President and Chief Executive Officer
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TABLE OF CONTENTS
<Table>
MANAGEMENT REVIEW 5
SCHEDULE OF INVESTMENTS
CIF Core Equity Fund 13
CIF Small Cap Growth Fund 16
CIF Small Cap Value Fund 21
CIF International Equity Fund 26
CIF Core Plus Bond Fund 31
CIF Inflation-Indexed Bond Fund 37
CIF Low Duration Fund 38
CIF Short Duration Fund 40
STATEMENTS OF ASSETS AND LIABILITIES 44
STATEMENTS OF OPERATIONS 46
STATEMENTS OF CHANGES IN NET ASSETS 48
FINANCIAL HIGHLIGHTS 52
NOTES TO FINANCIAL STATEMENTS 56
REPORT OF INDEPENDENT AUDITORS 61
FEDERAL TAX INFORMATION 62
DIRECTORS AND OFFICERS 63
INVESTMENT MANAGERS LIST 65
</Table>
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CIF CORE EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Advanced Investment Technology, Inc.
Iridian Asset Management LLC
John A. Levin & Co., Inc.
Marsico Capital Management LLC
SSgA Funds Management, Inc., one of the State Street Global
Advisor Companies
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
large and medium capitalization U.S. companies.
FUND STRATEGY
The CIF Core Equity Fund invests primarily in a diversified portfolio of common
stocks and securities convertible into common stocks of large and medium
capitalization U.S. companies. Generally, these issuers will have market
capitalizations in the range of the companies in the S&P 500 Composite Index,
which is the benchmark index for the Fund. The Fund is designed to add value
over its benchmark primarily through stock selection, rather than sector or
style variance, with volatility similar to that of its benchmark index. The Fund
seeks to achieve its investment objective through the construction of "core" and
"satellite" portfolios. The "core" portfolio, which ordinarily will comprise
approximately 40% of the Fund, utilizes a single Sub-Adviser to track the S&P
500 Composite Index in terms of sector, industry and capitalization, while
adding value through stock selection. The remainder of the Fund is comprised of
several "satellite" portfolios whose Sub-Advisers apply specific investment
strategies, such as growth or value, which may deviate from the benchmark in
terms of volatility, capitalization and sector selection. The Fund may use
derivative instruments for both hedging and non-hedging purposes.
ANALYSIS
The CIF Core Equity Fund returned -14.65% for the twelve months ended April 30,
2003, trailing the S&P 500 index return of -13.31% by 134 basis points. The last
year was punctuated by considerable market volatility, with the S&P 500 monthly
returns ranging from -10.86% to +8.79%. The fourth calendar quarter, and in
particular the months of October and November, marked a difficult turning point
for the Fund. During the two month period, the S&P 500 posted strong results
(+15.19%); however, the strength of the return was heavily weighted to a few
sectors with fairly unattractive fundamentals. Two sectors, communication
services (+48.35%) and technology (+40.65%) led the performance, while the
remaining sectors lagged far behind, between +0.70% and +16.91%. The Fund was
underweighted in both of the top performing sectors. While the pronounced
technology related rally lost its momentum fairly quickly, the two month period
left the Fund 324 basis points behind the S&P 500, and the CIF Core Equity Fund
spent the remainder of the year attempting to overcome the deficit.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------- ------------- -------------------------
CIF Core Equity Fund -14.65% -11.50%
S&P 500 Composite Index -13.31% -13.16%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Equity Fund (since inception), and
the S&P 500 Composite Index
<Table>
<Caption>
CIF CORE EQUITY FUND S&P 500 COMPOSITE INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 9,591 $ 9,500
10/31/2001 $ 8,280 $ 8,115
4/30/2002 $ 8,812 $ 8,302
10/31/2002 $ 7,217 $ 6,890
4/30/2003 $ 7,520 $ 7,195
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
5
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CIF SMALL CAP GROWTH FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Artisan Partners, L.P.
Constitution Research & Management, Inc.
SSgA Funds Management, Inc., one of the State Street Global
Advisor Companies
Veredus Asset Management, LLC
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of growth oriented
stocks of smaller capitalization U.S. companies.
FUND STRATEGY
The CIF Small Cap Growth Fund invests primarily in growth oriented equity
securities of small U.S. companies. Generally, these issuers will have market
capitalizations in the range of the companies in the Russell 2000 Growth Index,
which is the benchmark index for the Fund. The Fund hires Sub-Advisers whose
approaches to stock selection are complementary and are designed to add
long-term value over the benchmark index. Short-term volatility may be greater
than that of the benchmark index. The Fund seeks to achieve its investment
objective through the construction of "core" and "satellite" portfolios. The
"core" portfolio is intended to track the Russell 2000 Growth Index in terms of
sector, industry and capitalization much more closely than the "satellite"
portfolios. The "satellite" portfolios, in turn, are expected to generate
greater amounts of longer term "alpha" (i.e., return in excess of that of the
benchmark index) than the "core" portfolio, and are therefore expected to
deviate more from the benchmark in terms of volatility, capitalization, and
sector selection. The Fund may use derivative instruments for both hedging and
non-hedging purposes.
ANALYSIS
The CIF Small Cap Growth Fund returned -28.02% for the year ended April 30,
2003, trailing the -23.50% return for the Russell 2000 Growth Index. The Fund
continues to get hurt on a relative basis by undeweighting the financial sector
and holding a market-like exposure to the technology sector. Financial stocks, a
safe haven within the small cap area over the past year, only declined -2.3% for
the year, and have been the best performing sector within the index. The Fund
averaged an 8% underweight to this sector, as it focused on higher potential
growth areas such as consumer cyclicals, technology and healthcare. Technology
remained a significant portion of the small cap growth space and carried a
weight of almost 25%. This was the 2nd worst performing sector in the index. As
has been the case for the entire year, the Fund remains positioned to take
advantage of an economic rebound.
The Fund effected two manager changes over the year ended April 30, 2003.
CapitalWorks Investment Partners was removed from the Fund and SSgA Funds
Management, Inc. was added to the Fund effective October 1, 2002.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------- ---------------- -------------------------
CIF Small Cap Growth Fund -28.02% -19.89%
Russell 2000 Growth Index -23.50% -15.99%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Small Cap Growth Fund (since inception),
and the Russell 2000 Growth Index
<Table>
<Caption>
CIF SMALL CAP GROWTH FUND RUSSELL 2000 GROWTH INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 9,610 $ 9,517
10/31/2001 $ 8,010 $ 7,886
4/30/2002 $ 8,280 $ 8,706
10/31/2002 $ 5,740 $ 6,185
4/30/2003 $ 5,960 $ 6,660
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
6
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CIF SMALL CAP VALUE FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: High Rock Capital LLC
Skyline Asset Management, L.P.
SSgA Funds Management, Inc., one of the State Street Global
Advisor Companies
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of value oriented
common stocks of smaller capitalization U.S. companies.
FUND STRATEGY
The CIF Small Cap Value Fund invests primarily in value oriented equity
securities of small U.S. companies. Generally, these issuers will have market
capitalizations in the range of companies in the Russell 2000 Value Index, which
is the benchmark index for the Fund. The Fund hires Sub-Advisers whose
approaches to stock selection are complementary and are designed to add
long-term value over the benchmark index. Short-term volatility may be greater
than that of the benchmark index. The Fund seeks to achieve its investment
objective through the construction of "core" and "satellite" portfolios. The
"core" portfolio is intended to track the Russell 2000 Value Index in terms of
sector, industry and capitalization much more closely than the "satellite"
portfolios. The "satellite" portfolios, in turn, are expected to generate
greater amounts of longer term "alpha" (i.e., return in excess of that of the
benchmark index) than the "core" portfolio, and are therefore expected to
deviate more from the benchmark in terms of volatility, capitalization, and
sector selection. The Fund may use derivative instruments for both hedging and
non-hedging purposes.
ANALYSIS
The CIF Small Cap Value Fund returned -21.91% for the year ended April 30, 2003,
trailing the -18.84% return for the Russell 2000 Value Index. The overall sector
weightings of the Fund mainly accounted for the relative underperformance during
this period, as the Fund remains positioned in areas of the market that are
expected to experience faster growth in an economic recovery, yet remain
attractively valued. These sector weighting differences are most pronounced in
financials (underweight by 7%), technology and consumer cyclicals (overweight by
6%). All told, sector allocation detracted 2.2% from relative results.
The Fund effected three manager changes over the year ended April 30, 2003.
Martingale Asset Management, L.P. and NorthPointe Capital LLC were removed from
the Fund and SSgA Funds Management, Inc. was added to the Fund effective
October 1, 2002.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------- ----------------- -------------------------
CIF Small Cap Value Fund -21.91% -1.89%
Russell 2000 Value Index -18.84% 2.10%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Small Cap Value Fund (since inception),
and the Russell 2000 Value Index
<Table>
<Caption>
CIF SMALL CAP VALUE FUND RUSSELL 2000 VALUE INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,751 $ 10,565
10/31/2001 $ 9,954 $ 10,024
4/30/2002 $ 12,246 $ 12,935
10/31/2002 $ 9,024 $ 9,771
4/30/2003 $ 9,563 $ 10,497
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
7
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CIF INTERNATIONAL EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Capital Guardian Trust Company
Grantham, Mayo, Van Otterloo & Co., LLC
TT International Investment Management
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of equity securities
of non-U.S. issuers.
FUND STRATEGY
The CIF International Equity Fund invests primarily in common stocks and other
equity securities of foreign companies. The Fund generally invests in equity
securities of non-U.S. issuers represented in the MSCI EAFE (Europe,
Australasia, Far East) Index, which is the benchmark for the Fund and includes
most developed countries in those regions. The Fund may also invest up to 10% of
its assets in equity securities of issuers located in emerging markets. The Fund
may use derivative instruments for both hedging and non-hedging purposes. The
Fund seeks to achieve its investment objective through the construction of
"core" and "satellite" portfolios. The "core" portfolio, which ordinarily will
comprise approximately 50% of the Fund, utilizes a market-oriented Sub-Adviser
with a strong bottom-up stock selection and sector allocation process that
favors both value and growth stocks. "Satellite" portfolios whose Sub-Advisers
apply a more targeted investment strategy, such as growth or value, and which
may deviate more from the benchmark in terms of volatility and stock selection
will comprise up to 50% of the Fund. The Fund may invest up to 10% of it's
assets in a passively managed international equity index strategy.
ANALYSIS
The CIF International Equity Fund beat its benchmark by almost 200 basis points,
returning -14.29% versus MSCI's EAFE Index return of -16.26%. The largest source
of that better relative performance was, as we expected, stock selection. In
such strongly negative markets, avoiding the big decliners was additive. This
past year, fourteen of the Fund's 15 top contributors were underweights to
stocks with large falls. These stocks were across sectors, but the Fund added
the most value in financials, technology and telecom. A geographical perspective
shows that country weights and stock selection helped relative performance, even
including the drag on performance that the average 5% exposure to emerging
markets provided. Underweighting the sharply declining Japan and picking good
stocks in the UK and Germany were the biggest contributors to performance.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------- ---------------- -------------------------
CIF International Equity Fund -14.29% -13.28%
MSCI EAFE Index -16.26% -16.01%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF International Equity Fund (since
inception), and the MSCI EAFE Index
<Table>
<Caption>
CIF INTERNATIONAL EQUITY FUND MSCI EAFE INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 9,411 $ 9,228
10/31/2001 $ 7,732 $ 7,531
4/30/2002 $ 8,366 $ 7,947
10/31/2002 $ 7,043 $ 6,537
4/30/2003 $ 7,171 $ 6,655
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
8
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CIF CORE PLUS BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: BlackRock Advisors, Inc.
Western Asset Management Company
FUND OBJECTIVE
High current income and price appreciation by investing in a diversified
portfolio of primarily fixed income securities of varying maturities.
FUND STRATEGY
The CIF Core Plus Bond Fund invests primarily in investment grade bonds and
other fixed income securities in an attempt to outperform the broad U.S. bond
market. Investment grade securities are those rated in one of the four highest
categories at the time of investment, or determined by a Sub-Adviser to be of
equivalent quality. The Fund also may invest up to 20% of its assets in
securities rated below investment grade, but in one of the six highest rating
categories, and up to 20% of its assets in non-dollar denominated securities.
The Sub-Advisors may invest in certain derivatives and may use certain
techniques such as currency hedging, in order to outperform the broad market.
The benchmark for the Fund is the Lehman Brothers Aggregate Bond Index. The Fund
will be managed to have a targeted duration within a band of (+/-) 20% around
the duration of the benchmark. The Fund seeks to achieve its investment
objective by maintaining a core portfolio of securities that is aligned with the
composition and duration of the Fund's benchmark index, which tracks the overall
U.S. bond market. The Sub-Advisers then seek to add value by investing a portion
of the Fund's assets in fixed income securities that are not represented in the
benchmark and using investment techniques designed to overweight or underweight
the Fund's portfolio relative to benchmark characteristics.
ANALYSIS
The CIF Core Plus Bond Fund returned 10.51% for the twelve months ended
April 30, 2003, compared to its benchmark, the Lehman Brothers Aggregate Bond
Index that returned 10.48%. It was a tale of two very different six month
periods. From May through October 2002, the bond market acted as though the
world was ending. Corporate malfeasance, fears of a double dip recession and
geopolitical risk weighed heavily on the markets. Corporate and emerging market
debt spreads gapped wider as investors focused on safety and security. Starting
in November, investors started to focus on value and the hunt for yield started.
Flows into mutual funds continued to be significant throughout the early months
of 2003. New issuance was thin and new cash was pushed into the secondary
market. Credit markets experienced one of the strongest runs in history with
investment grade, high yield and emerging markets debt spreads compressing
dramatically. The net effect of this wild market ride was that the Fund
recovered all it had lost on a dramatic round trip. The same holdings that
caused the Fund to underperform during the summer, were the ones that propelled
performance over the winter.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------------- ------------ -------------------------
CIF Core Plus Bond Fund 10.51% 8.50%
Lehman Brothers Aggregate Bond Index 10.48% 8.99%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Plus Bond Fund (since inception),
and the Lehman Brothers Aggregate Bond Index
<Table>
<Caption>
LEHMAN BROTHERS AGGREGATE
CIF CORE PLUS BOND FUND BOND INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,133 $ 10,260
10/31/2001 $ 10,824 $ 11,066
4/30/2002 $ 10,946 $ 11,064
10/31/2002 $ 11,324 $ 11,718
4/30/2003 $ 12,097 $ 12,224
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
9
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CIF INFLATION-INDEXED BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Adviser: Western Asset Management Company
FUND OBJECTIVE
Maximize real return to the extent consistent with preservation of capital and
liquidity by investing in a portfolio of U.S. Treasury Inflation Indexed
Securities of varying maturities.
FUND STRATEGY
The CIF Inflation-Indexed Bond Fund invests primarily in U.S. Treasury Inflation
Indexed Securities. Inflation-indexed securities are fixed income securities
that are structured to provide protection against inflation. The value of a
bond's principal or the interest paid on the bond is adjusted to track changes
in the U.S. Consumer Price Index. Up to 20% of the Fund may be invested in
investment grade securities that are not indexed to inflation. Investment grade
securities are those rated in one of the four highest categories at the time of
investment, or determined by a Sub-Adviser to be of equivalent quality. The
benchmark for the Fund is the Lehman Brothers U.S. TIPS Index. The Fund will
normally maintain effective duration within (+/-)1.5 years of the Lehman
Brothers U.S. TIPS Index.
ANALYSIS
For the twelve months ended April 30, 2003, the CIF Inflation-Indexed Bond Fund
returned 14.22% compared to the Lehman Brothers U.S. TIPS Index's return of
14.68%. Relative value was lost from yield curve and duration management over
the period.
Real yields continued to fall throughout the past twelve months, and have become
more volatile. Real yields dropped sharply and yield curve steepened with
five-year securities outperforming ten years and long bonds. The Fund continued
to shorten duration to less-than-benchmark as the real yield on TIPS declined.
Yield curve management continued to prove difficult as the real yield curve
continued to flatten, outperforming the nominal yield curve. In this
environment, creating extra duration at the front end of the yield curve is
difficult without utilizing leverage, which the Fund does not allow.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- -------------------------------------- ------------ -------------------------
CIF Inflation-Indexed Bond Fund 14.22% 11.27%
Lehman Brothers U.S. TIPS Index 14.68% 11.53%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Inflation-Indexed Bond Fund (since
inception), and the Lehman Brothers U.S. TIPS Index
<Table>
<Caption>
CIF INFLATION-INDEXED BOND FUND LEHMAN BROTHERS U.S. TIPS INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,527 $ 10,540
10/31/2001 $ 10,990 $ 11,166
4/30/2002 $ 11,233 $ 11,249
10/31/2002 $ 12,139 $ 12,177
4/30/2003 $ 12,829 $ 12,900
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
10
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CIF LOW DURATION BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Metropolitan West Asset Management Company
Seix Investment Advisors
FUND OBJECTIVE
Preservation of capital with higher total return than is generally obtainable
from money market instruments by investing in a diversified portfolio of
investment grade bonds and other fixed income securities of varying maturities,
while maintaining a portfolio duration between one and three years.
FUND STRATEGY
The CIF Low Duration Bond Fund invests primarily in a diversified portfolio of
dollar denominated investment grade bonds, including obligations issued or
guaranteed by the U.S. Government or its agencies and instrumentalities, as well
as corporate, asset-backed and mortgage-backed securities. Investment grade
securities are those rated in one of the four highest categories at the time of
investment, or determined by a Sub-Adviser to be of equivalent quality. The Fund
may invest up to 20% of its assets in other fixed income securities, including
non-dollar denominated securities and securities rated below investment grade at
the time of purchase. The benchmark for the Fund is the Merrill Lynch 1-3 Year
Treasury Index. The Fund will maintain an average portfolio duration of between
one and three years.
ANALYSIS
For the twelve months ended April 30, 2003, the CIF Low Duration Fund returned
3.84% compared to the Merrill Lynch 1-3 Year Treasury Index's return of 5.39%.
As the markets continued to be wary of various economic and geopolitical risks,
two-year Treasury yields continued to plunge ever lower from 3.22% twelve months
ago, to finish April 30, 2003 at 1.48%. That's a full 1.5% lower than
year-over-year headline CPI during the same period. Fund exposures to corporate
issues finally turned the corner as spreads sharply compressed over the second
half of the fiscal year. Some of the depressed corporate holdings had staged an
impressive recovery as the overly pessimistic market was finally shaken out in
November. The Fund continued to maintain its shorter-than index duration
primarily through exposure to mortgage and prepayment sensitive asset-backed
securities. These exposures had performed poorly as lower rates sent refinancing
speeds to record levels in March. The combined position was the primary
contributor to fund underperformance as mortgages and home-equity loans did not
realize price appreciation as yields continued to fall.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- ---------------------------------------- ---------- -------------------------
CIF Low Duration Bond Fund 3.84% 5.38%
Merrill Lynch 1-3 Year Treasury Index 5.39% 6.34%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Low Duration Bond Fund (since inception),
and the Merrill Lynch 1-3 Year Treasury Index
<Table>
<Caption>
CIF LOW DURATION BOND FUND MERRILL LYNCH 1-3 YEAR TREASURY INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,293 $ 10,303
10/31/2001 $ 10,757 $ 10,849
4/30/2002 $ 10,882 $ 10,951
10/31/2002 $ 11,151 $ 11,379
4/30/2003 $ 11,299 $ 11,541
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
11
<Page>
CIF SHORT DURATION FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Wellington Management Company, LLP
Western Asset Management Company
FUND OBJECTIVE
Current interest income with some price appreciation, each consistent with
liquidity and safety of principal by investing in a portfolio of U.S. Government
securities and other high quality debt securities.
FUND STRATEGY
The CIF Short Duration Fund invests primarily in a diversified portfolio of
securities issued or guaranteed by the U.S. Government and its agencies and
instrumentalities, obligations of U.S. and foreign commercial banks, corporate
debt securities, including commercial paper, and fully collateralized repurchase
agreements with highly rated counterparties. The fixed income securities
acquired by the Fund may include mortgage-backed and asset-backed securities.
The Fund will invest only in fixed income securities rated at the time of
investment in one of the three highest rating categories by a major rating
agency, or determined by a Sub-Adviser to be of equivalent quality. The
benchmark for the Fund is the Merrill Lynch 3-Month U.S. Treasury Bill Index.
The Fund's investment strategies are designed to produce a total rate of return
that exceeds the total return on 90 day U.S. Treasury Bills. The Fund seeks to
minimize fluctuations in net asset value by maintaining high credit quality
standards and employing a relatively short effective duration. Duration is a
measure of a security's price volatility, or risk, associated with changes in
interest rates. The Fund's effective duration generally will not exceed one (1)
year, and the maximum remaining maturity of any individual security will be five
and one-half (5 1/2) years, except for certain mortgage-related and asset-backed
securities.
ANALYSIS
The CIF Short Duration Fund returned 1.94% compared to 1.62% for the Merrill
Lynch 3-Month Treasury Bill Index over the twelve months ended April 30, 2003.
Concerns over corporate governance, U.S. economic health and military conflict
continued to weigh on the markets, driving interest rates to ever lower levels.
In contrast to last fall, corporate malfeasance, while still experienced in
early 2003, had a more isolated effect on the corporate bond market, punishing
only the wayward issuer, not the entire market. In general, corporate spreads
raced tighter from November to April as the search for yield impacted the market
with tremendous demand and little supply. The Fund benefited from exposure to
longer dated securities as yields plunged in the intermediate sector of the
yield curve. Holdings in corporate, mortgage and asset-backed securities
continue to offer incremental yield and price appreciation adding value.
TOTAL RETURN (AS OF 4/30/03)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (5/1/00)
- ------------------------------------------ --------- -----------------------
CIF Short Duration Fund 1.94% 4.11%
Merrill Lynch 3-Month U.S. Treasury Bill 1.62% 3.63%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Short Duration Fund (since inception),
and the Merrill Lynch 3-Month U.S. Treasury Bill Index
<Table>
<Caption>
MERRILL LYNCH 3-MONTH
CIF SHORT DURATION FUND U.S. TREASURY BILL INDEX
5/1/2000 $ 10,000 $ 10,000
10/31/2000 $ 10,328 $ 10,310
4/30/2001 $ 10,695 $ 10,627
10/31/2001 $ 10,961 $ 10,845
4/30/2002 $ 11,071 $ 10,950
10/31/2002 $ 11,186 $ 11,053
4/30/2003 $ 11,286 $ 11,128
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
12
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
COMMON STOCK 97.56%
BASIC INDUSTRIES 3.00%
14,200 ALCAN ALUMINUM LTD $ 416,628
2,800 ALCOA INC 64,204
12,200 BALL CORP 685,152
7,600 COOPER INDS INC CL A 281,960
13,000 CROWN HLDGS INC* 68,900
9,500 DOW CHEMICAL CO 310,080
12,300 E I DU PONT DE NEMOURS & CO 523,119
4,800 EASTMAN CHEMICAL CO 146,544
10,900 FREEPORT MCMORAN COPPER & GOLD INC CL B 188,679
8,200 GEORGIA PACIFIC TIMBER GROUP 126,608
5,400 GOODRICH CO 75,978
4,700 INTL PAPER CO 168,025
1,294 JACOBS ENGINEERING GROUP INC* 53,248
3,200 LUBRIZOL CORP 101,152
4,700 LYONDELL CHEMICAL CO 68,385
11,300 NEWELL RUBBERMAID INC 344,424
1,700 PPG INDS INC 82,467
4,700 PRAXAIR INC 272,976
5,400 PRECISION CASTPARTS CORP 149,526
1,100 PREMCOR INC* 24,519
3,900 SEALED AIR CORP* 167,115
6,000 WEYERHAUSER CO 297,540
--------------
TOTAL BASIC INDUSTRIES $ 4,617,229
CAPITAL GOODS 8.56%
3,600 3M CO $ 453,744
1,400 ALLIANT TECHSYSTEMS INC* 75,208
5,600 AMERICAN STD COS INC* 398,664
3,200 AVX CORP 34,016
4,200 DANAHER CORP 289,716
8,900 DEERE & CO 391,867
5,300 DOVER CORP 152,322
5,800 GENERAL DYNAMICS CORP 360,006
205,890 GENERAL ELECTRIC CO 6,063,460
11,200 HONEYWELL INTL INC 264,320
7,800 INGERSOLL-RAND CO 343,824
1,800 JOHNSON CONTROLS INC 148,032
29,700 KONINKLIJKE PHILIPS ELECTRS NV SPON ADR 554,796
9,100 LOCKHEED MARTIN CORP 455,455
3,100 MASCO CORP 65,317
7,000 MILLIPORE CORP* 239,050
500 NVR INC* 178,875
9,200 PACKAGING CORP OF AMERICA* 173,052
1,800 PARKER HANNIFIN CORP 73,224
12,100 ROCKWELL AUTOMATION INC 275,880
12,800 SMURFIT-STONE CONTAINER CORP* 180,096
8,700 TEXTRON INC 256,563
39,000 THERMO ELECTRON CORP* 708,630
65,400 TYCO INTL LTD 1,020,240
1,800 VISHAY INTERTECHNOLOGY INC* 22,500
--------------
TOTAL CAPITAL GOODS $ 13,178,857
CONSUMER DURABLES 4.14%
15,100 BAYERISCHE MOTOREN WERKE AG $ 503,357
6,300 BLACK & DECKER CORP 259,875
41,500 FORD MOTOR CO 427,450
13,800 GENERAL MOTORS CORP 497,490
6,200 GOODYEAR TIRE & RUBBER CO 35,464
3,276 HARLEY DAVIDSON INC 145,585
64,200 HOME DEPOT INC 1,805,946
9,500 INGRAM MICRO INC CL A* 95,000
3,000 KB HOME 147,810
2,300 LEAR CORP* 91,402
10,258 LENNAR CORP CL A 556,394
1,065 LENNAR CORP CL B* 57,031
2,800 LEXMARK INTL INC* 208,628
21,040 LOWES CO INC 923,446
6,832 MDC HLDGS INC 314,955
6,200 NEWS CORP LTD PFD ORDINARY SHARES 145,452
800 PENTAIR INC 30,832
2,500 PITNEY BOWES INC $ 87,775
800 RYLAND GROUP INC 43,384
--------------
TOTAL CONSUMER DURABLES $ 6,377,276
CONSUMER NON-DURABLES 8.33%
200 ADOLPH COORS CO CL B $ 10,706
15,400 ALTRIA GROUP INC 473,704
12,068 ANHEUSER BUSCH COS INC 601,952
32,700 ARCHER DANIELS MIDLAND CO 362,316
1,100 AVON PRODUCTS INC 63,987
11,300 CAMPBELL SOUP CO 248,939
16,400 COCA COLA CO 662,560
9,200 COLGATE PALMOLIVE CO 525,964
7,700 CONSTELLATION BRANDS INC* 206,437
12,900 DEAN FOODS CO* 561,537
700 GILLETTE CO 21,315
19,300 H J HEINZ CO 576,684
8,800 HASBRO INC 140,800
800 HERSHEY FOODS CORP 52,200
1,500 INTL GAME TECHNOLOGY* 129,450
5,200 JONES APPAREL GROUP INC* 148,304
8,000 KIMBERLY CLARK CORP 398,160
4,900 KRAFT FOODS INC CL A 151,410
3,200 LANCASTER COLONY CORP 136,736
3,700 LIZ CLAIBORNE INC 120,361
15,800 MATTEL INC 343,492
33,054 MONSANTO CO 575,140
400 NIKE INC CL B 21,412
3,000 PEPSI BOTTLING GROUP INC 61,620
40,890 PEPSICO INC 1,769,719
36,246 PROCTER & GAMBLE CO 3,256,703
3,300 REEBOK INTL LTD* 102,498
30,600 SARA LEE CORP 513,468
11,400 SHERWIN WILLIAMS CO 317,832
5,300 TYSON FOODS INC CL A 51,039
400 UST INC 12,532
3,400 VF CORP 133,756
3,600 VIAD CORP 72,396
--------------
TOTAL CONSUMER NON-DURABLES $ 12,825,129
CONSUMER SERVICES 13.57%
30,300 ACCENTURE LTD* $ 485,406
700 ADVANCE AUTO PARTS INC* 34,818
51,850 AOL TIME WARNER INC* 709,308
3,100 AUTOZONE INC* 250,511
33,200 BEARINGPOINT INC* 271,244
7,500 BECTON DICKINSON & CO 265,500
6,258 BED BATH & BEYOND INC* 247,254
800 BEST BUY CO INC* 27,664
1,900 BORDERS GROUP INC* 30,400
3,600 BRUNSWICK CORP 78,588
9,600 CARNIVAL CORP 264,864
400 CBRL GROUP INC 12,752
800 CDW COMPUTER CENTERS INC* 34,112
27,200 CENDANT CORP* 388,416
27,278 CLEAR CHANNEL COMMUNICATIONS INC* 1,066,843
16,348 COMCAST CORP CL A* 521,665
4,500 COMCAST CORP SPECIAL CL A* 135,270
1,300 COX RADIO INC CL A* 29,653
14,600 DARDEN RESTAURANTS INC 255,646
2,100 DIAL CORP 43,743
1,400 DOLLAR GENERAL CORP 20,356
10,500 DUN & BRADSTREET CORP* 396,900
7,900 EASTMAN KODAK CO 236,289
7,822 EBAY INC* 725,647
7,588 ECHOSTAR COMMUNICATIONS CORP CL A* 227,336
500 FAIR ISAAC CORP 26,040
8,200 FEDERATED DEPT STORES INC* 251,084
3,400 FORTUNE BRANDS INC 164,560
11,671 FOUR SEASONS HOTELS INC 352,114
5,400 H&R BLOCK INC 208,548
3,300 HARRAHS ENTMT INC* 129,987
</Table>
13
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
600 HEARST ARGYLE TELEVISION INC* $ 14,454
1,700 IKON OFFICE SOLUTIONS INC 13,192
9,200 JC PENNEY CO INC 156,952
37,500 LIBERTY MEDIA CORP CL A* 412,500
33,400 LIMITED BRANDS 485,636
6,600 MANDALAY RESORT GROUP* 174,372
31,600 MCDONALDS CORP 540,360
300 MCGRAW HILL COS INC 17,517
9,025 MGM MIRAGE* 256,490
2,900 OFFICE DEPOT INC* 36,714
6,700 RADIO SHACK CORP 158,857
1,700 ROSS STORES INC 64,430
15,400 RR DONNELLEY & SONS CO 310,464
1,800 STAPLES INC* 34,272
7,626 STARBUCKS CORP* 179,135
9,700 SUPERVALUE INC 159,759
21,909 TIFFANY & CO 607,756
2,800 TIMBERLAND CO CL A* 139,972
18,500 TJX COS INC 356,125
11,200 TRIBUNE CO 548,576
42,000 VIACOM INC* 1,823,220
3,300 WALGREEN CO 101,838
71,200 WAL-MART STORES INC 4,009,984
56,988 WALT DISNEY CO 1,063,396
16,000 WASTE MGMT INC 347,520
2,000 WHOLE FOODS MARKET INC* 118,720
1,300 WINN DIXIE STORES INC 16,289
30,790 WYNN RESORTS LTD* 520,043
14,100 YUM! BRANDS INC* 348,270
--------------
TOTAL CONSUMER SERVICES $ 20,909,331
ENERGY 4.76%
3,300 ANADARKO PETROLEUM CORP $ 146,520
5,675 APACHE CORP 324,894
500 BJ SERVICES CO* 18,255
8,100 BURLINGTON RES INC 375,111
2,400 CENTERPOINT ENERGY INC 18,960
11,249 CHEVRONTEXACO CORP 706,550
200 CONOCOPHILLIPS 10,060
27,300 CONSTELLATION ENERGY GROUP INC 799,344
111,700 EXXON MOBIL CORP 3,931,840
18,300 HALLIBURTON CO 391,803
2,700 MARATHON OIL CORP 61,479
3,700 OCCIDENTAL PETROLEUM CORP 110,445
1,700 SEMPRA ENERGY INC 45,628
700 SUNOCO INC 26,047
13,100 UNOCAL CORP 362,870
--------------
TOTAL ENERGY $ 7,329,806
FINANCIAL SERVICES 18.54%
1,300 AETNA INC $ 64,740
7,900 AFLAC INC 258,409
700 AG EDWARDS INC 20,881
6,600 ALLMERICA FINL CORP* 100,980
11,900 ALLSTATE CORP 449,701
2,500 AMBAC FINANCIAL GROUP INC 145,875
33,000 AMERICAN EXPRESS CO 1,249,380
31,521 AMERICAN INTL GROUP INC 1,826,642
9,800 AMSOUTH BANCORP 206,290
24,200 AON CORP 536,272
30,100 BANK OF AMERICA CORP 2,228,905
24,100 BANK OF NEW YORK INC 637,445
1,900 BANK ONE CORP 68,495
2,600 BEAR STEARNS COS INC 173,784
1,900 CAPITAL ONE FINL CORP 79,553
1,800 CHARLES SCHWAB CORP 15,534
3,625 CHARTER ONE FINL INC 105,306
17,100 CIGNA CORP 894,330
29,500 CIT GROUP INC 600,915
116,341 CITIGROUP INC 4,566,384
200 COMERICA INC 8,702
2,700 E*TRADE GROUP INC* 14,850
14,200 EQUIFAX INC $ 329,298
21,730 FANNIE MAE 1,573,035
2,700 FIDELITY NATIONAL FINL INC 92,880
700 FIRST TENNESSEE NATL CORP 30,660
37,400 FLEETBOSTON FINL CORP 991,848
2,900 FRANKLIN RESOURCES INC 101,152
2,700 FREDDIE MAC 156,330
10,680 GOLDMAN SACHS GROUP INC 810,612
1,700 GREENPOINT FINL CORP 81,192
1,600 HARTFORD FINL SVCS GROUP INC 65,216
1,000 HIBERNIA CORP CL A 18,120
19,200 JOHN HANCOCK FINL SVCS INC 557,184
43,490 JP MORGAN CHASE & CO INC 1,276,431
3,634 LEHMAN BROTHERS HOLDINGS INC 228,833
6,700 LINCOLN NATL CORP 214,132
9,700 MBNA CORP 183,330
3,700 MELLON FINL CORP 97,865
1,500 MERCURY GEN CORP 66,000
8,300 MERRILL LYNCH & CO INC 340,715
3,200 METLIFE INC 91,936
2,000 MGIC INVESTMENT CORP 90,920
2,200 MORGAN STANLEY 98,450
1,900 NEUBERGER BERMAN INC 58,330
5,700 NORTH FORK BANCORP INC 184,452
1,700 NUVEEN INVESTMENTS INC CL A 41,650
700 PMI GROUP INC 21,574
8,200 PNC FINL SVCS GROUP INC 359,980
4,300 PROGRESSIVE CORP 292,400
900 PROTECTIVE LIFE CORP 25,857
13,448 SLM CORP 1,506,176
6,800 ST PAUL COS INC 233,512
500 TORCHMARK CORP 19,375
1,100 TRUSTMARK CORP 27,037
5,100 UNIONBANCAL CORP 206,040
37,800 UNUMPROVIDENT CORP 434,700
55,958 US BANCORP 1,239,470
15,900 WACHOVIA CORP 607,539
14,800 WASHINGTON MUTUAL INC 584,600
9,400 WELLS FARGO & CO 453,644
2,600 WILLIS GROUP HOLDINGS LTD 81,094
4,900 XL CAPITAL LTD CL A 403,270
400 ZIONS BANCORP 19,708
--------------
TOTAL FINANCIAL SERVICES $ 28,549,920
HEALTH CARE 15.76%
5,100 ABBOTT LABS $ 207,213
46,322 AMGEN INC* 2,840,002
500 ANTHEM INC* 34,320
3,600 BARR LABORATORIES INC* 200,160
9,500 BIOGEN INC* 360,905
1,500 BOSTON SCIENTIFIC CORP* 64,575
38,900 BRISTOL MYERS SQUIBB CO 993,506
2,200 CARDINAL HEALTH INC 121,616
6,700 CELGENE CORP* 178,287
3,800 CEPHALON INC* 155,192
1,900 CHIRON CORP* 77,577
4,200 CR BARD INC 266,196
1,300 DAVITA INC* 26,806
18,600 ELI LILLY & CO 1,187,052
3,300 FOREST LABS INC CL A* 170,676
19,368 GENENTECH INC* 735,790
5,000 GENZYME CORP - GENL DIVISION* 201,400
13,600 GUIDANT CORP* 530,264
22,292 HCA INC 715,573
800 HEALTH NET INC* 20,872
700 HILLENBRAND INDS INC 34,930
11,200 ICN PHARMACEUTICALS INC 98,000
8,664 IDEC PHARMACEUTICALS CORP* 283,746
4,000 INVITROGEN CORP* 130,800
40,754 JOHNSON & JOHNSON 2,296,895
10,900 LABORATORY CORP OF AMERICA HLDGS* 321,114
18,000 MANOR CARE INC* 350,100
</Table>
14
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
1,600 MCKESSON CORP $ 44,384
8,300 MEDTRONIC INC 396,242
32,900 MERCK & CO INC 1,914,122
8,800 MYLAN LABS INC 248,776
9,800 OXFORD HEALTH PLANS INC* 286,846
128,000 PFIZER INC 3,936,000
16,437 QUEST DIAGNOSTICS INC* 982,111
1,900 QUINTILES TRANSNATIONAL CORP* 26,695
11,700 SCHERING PLOUGH CORP 211,770
2,300 ST JUDE MED INC* 120,658
18,700 TENET HEALTHCARE CORP* 277,508
20,484 UNITED HEALTH GROUP INC 1,887,191
5,619 VIASYS HEALTHCARE INC* 91,028
3,200 WATSON PHARMACEUTICALS INC* 93,024
4,700 WELLPOINT HEALTH NETWORK INC* 356,918
3,100 WYETH 134,943
14,070 ZIMMER HOLDINGS INC* 659,883
--------------
TOTAL HEALTH CARE $ 24,271,666
REAL ESTATE (PUBLICLY TRADED) 0.03%
1,300 PUBLIC STORAGE INC $ 41,795
--------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 41,795
TECHNOLOGY 16.42%
7,100 AGILENT TECHNOLOGIES INC* $ 113,742
16,500 AMKOR TECHNOLOGY INC* 124,905
1,400 ANALOG DEVICES INC* 46,368
7,600 APPLIED MATERIALS INC* 110,960
4,900 ARROW ELECTRONICS INC* 82,712
10,080 AT&T CORP 171,864
2,600 AT&T WIRELESS SVCS INC* 16,796
8,700 AUTOMATIC DATA PROCESSING INC 292,581
6,900 BEA SYS INC* 73,899
2,600 BMC SOFTWARE INC* 38,792
147,926 CISCO SYS INC* 2,224,807
3,400 CITRIX SYS INC* 64,464
8,200 COMPUTER ASSOC INTL INC 133,168
49,848 DELL COMPUTER CORP* 1,441,106
4,200 DST SYS INC* 128,940
12,688 ELECTRONIC ARTS INC* 752,018
46,600 EMC CORP* 423,594
19,600 FIRST DATA CORP 768,908
1,300 FISERV INC* 38,272
4,100 GENERAL MOTORS CORP CL H* 48,380
25,501 HEWLETT PACKARD CO 415,666
22,000 IBM CORP 1,867,800
88,560 INTEL CORP 1,629,504
7,622 INTUIT INC* 295,581
1,900 KLA TENCOR CORP* 77,900
5,600 L 3 COMMUNICATIONS HLDGS INC* 248,640
1,300 LINEAR TECHNOLOGY CORP 44,811
800 MAXIM INTEGRATED PRODS INC 31,432
3,700 MICROCHIP TECHNOLOGY INC 76,923
166,680 MICROSOFT CORP 4,262,008
43,700 MOTOROLA INC 345,667
14,500 NATIONAL SEMICONDUCTOR CORP* 271,585
72,574 NEXTEL COMMUNICATIONS INC CL A* 1,073,369
700 NOVELLUS SYS INC* 19,628
103,058 ORACLE CORP* 1,224,329
1,100 QLOGIC CORP* 48,389
7,200 QUALCOMM INC 229,608
5,000 QWEST COMMUNICATIONS INTL INC* 18,850
20,400 RAYTHEON CO 610,572
29,600 SBC COMMUNICATIONS INC 691,456
1,100 SCIENTIFIC ATLANTA INC 17,875
1,600 SPRINT CORP (FON GROUP) 18,416
15,400 STORAGE TECHNOLOGY CORP* 380,688
7,700 SUNGARD DATA SYS INC* 165,550
1,700 SYMANTEC CORP* 74,715
7,500 TEKTRONIX INC* 140,775
1,500 TELEPHONE & DATA SYS INC 64,635
45,700 TEXAS INSTRUMENTS INC 844,993
3,400 TOTAL SYSTEM SERVICES INC $ 62,900
9,000 UNITED STATES CELLULAR CORP* 216,450
11,700 UNITED TECHNOLOGIES CORP 723,177
6,100 VERISIGN INC* 75,762
700 VERITAS SOFTWARE CO* 15,407
42,000 VERIZON COMMUNICATIONS INC 1,569,960
6,700 XILINX INC* 181,369
6,700 YAHOO! INC* 166,026
--------------
TOTAL TECHNOLOGY $ 25,298,692
TRANSPORTATION 1.87%
3,600 BURLINGTON NORTHERN SANTA FE CORP $ 101,376
6,600 CNF INC 200,244
18,800 CSX CORP 601,224
21,705 FEDEX CORP 1,299,695
1,200 NORFOLK SOUTHERN CORP 25,452
8,232 RYANAIR HOLDINGS PLC SPON ADR* 326,563
3,363 RYDER SYS INC 83,537
3,900 UNITED PARCEL SVC INC CL B 242,268
--------------
TOTAL TRANSPORTATION $ 2,880,359
UTILITIES 2.58%
3,400 ALLETE INC $ 80,784
600 ALLTEL CORP 28,116
43,500 BELLSOUTH CORP 1,108,815
3,500 DPL INC 48,440
7,100 DUKE ENERGY CORP 124,889
2,400 EDISON INTL* 35,016
28,450 EL PASO CORP 213,375
6,500 ENTERGY CORP 302,965
17,300 EXELON CORP 917,592
5,097 FIRSTENERGY CORP 171,922
3,800 FPL GROUP INC 231,306
4,300 KEYSPAN CORP 145,641
12,300 MIRANT CORP* 40,713
3,600 PG&E CORP* 53,928
1,700 PINNACLE WEST CAPITAL CORP 56,474
1,200 PPL CORP 43,440
1,900 PUBLIC SERVICE ENTERPRISE GROUP INC 73,093
42,500 WILLIAMS COS INC 295,375
--------------
TOTAL UTILITIES $ 3,971,884
--------------
TOTAL COMMON STOCK (COST $155,533,061) $ 150,251,944
PREFERRED STOCK 0.12%
CONSUMER DURABLES 0.12%
488 PORSCHE AG PFD $ 179,721
--------------
TOTAL CONSUMER DURABLES $ 179,721
--------------
TOTAL PREFERRED STOCK (COST $221,513) $ 179,721
--------------
TOTAL INVESTMENTS AT VALUE 97.68% (COST $155,754,574) 150,431,665
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 2.32% 3,579,301
--------------
NET ASSETS 100.00% $ 154,010,966
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER COST ON
SETTLEMENT IN EXCHANGE UNITS OF ORIGINATION NET UNREALIZED
DATE FOR USD CURRENCY DATE VALUE DEPRECIATION
- ------------------------------------------------------------------------------------------
Sales
5/5/03 EUR 58,648 $ 65,388 $ 65,444 $ (56)
</Table>
See Notes to Financial Statements.
SPON ADR Sponsored American Depository Receipt
*Non-income producing security.
Currency Code Key
EUR EURO
15
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SMALL CAP GROWTH FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
COMMON STOCK 97.27%
BASIC INDUSTRIES 2.18%
4,000 ACTUANT CORP CL A* $ 148,400
2,300 AIRGAS INC* 46,529
200 ARCH COAL INC 3,616
400 BIO-RAD LABORATORIES INC CL A* 18,700
300 CLARCOR INC 11,223
2,800 ENTEGRIS INC* 32,116
1,800 FERRO CORP 42,552
1,700 GEORGIA GULF CORP 38,420
1,600 GLATFELTER CO 18,320
600 GRANITE CONSTRUCTION INC 10,080
3,000 HECLA MINING CO* 11,220
600 LAWSON PRODUCTS INC 16,200
400 MAVERICK TUBE CORP* 7,116
4,600 OLIN CORP 83,352
2,300 PENFORD CORP 31,027
12,100 PIONEER NAT RES CO* 289,432
300 ROYAL GOLD INC 4,788
700 SCHWEITZER-MAUDUIT INTL INC 15,323
400 SIMPSON MANUFACTURING CO INC* 14,048
7,800 SPARTECH CORP 168,870
2,600 ST JOE CO 76,180
1,300 STEEL DYNAMICS INC* 15,730
19,300 SUREBEAM CORP CL A* 55,584
300 SURMODICS INC* 10,902
1,700 SYMYX TECHNOLOGIES INC* 26,554
2,200 WAUSAU-MOSINEE PAPER CORP 23,408
--------------
TOTAL BASIC INDUSTRIES $ 1,219,690
CAPITAL GOODS 7.80%
1,900 ACTEL CORP* $ 37,639
1,400 ACUITY BRANDS INC 21,322
100 ADVANCED POWER TECHNOLOGY INC* 394
1,500 ALBANY INTL CORP CL A 35,610
2,200 AMETEK INC 82,940
13,700 ATMI INC* 289,056
800 BALDOR ELECTRIC CO 17,792
1,300 BARNES GROUP INC 27,352
1,100 BEL FUSE INC CL B 21,670
2,400 BENCHMARK ELECTRONICS INC* 62,280
1,700 BRIGGS & STRATTON CORP 76,738
700 CARLISLE COS INC 31,752
15,500 COGNEX CORP* 339,295
9,400 CYMER INC* 268,370
7,700 DOCUMENTUM INC* 141,603
7,400 DSP GROUP INC* 154,660
600 ELECTRO SCIENTIFIC INDS INC* 8,058
300 EMCOR GROUP INC* 15,321
4,700 ESCO TECHNOLOGIES INC* 184,287
200 FLIR SYS INC* 10,416
19,500 GENESIS MICROCHIP INC* 334,620
800 GLOBAL POWER EQUIPMENT GROUP INC* 4,792
10,200 HYDRIL CO* 242,862
500 INTERMAGNETICS GENERAL CORP* 9,715
200 INVISION TECHNOLOGIES INC* 4,752
400 ITRON INC* 8,008
1,000 KAYDON CORP 22,300
1,800 LINCOLN ELECTRIC HLDGS INC 34,576
500 MANITOWAC INC 9,300
10,300 MANUFACTURERS SVCS LTD* 39,655
200 MATTHEWS INTL CORP CL A 4,712
1,776 MEDIS TECHNOLOGIES LTD* 13,904
1,200 NORDSON CORP 30,312
6,900 PLANAR SYSTEMS INC* 121,371
20,300 PLEXUS CORP* 206,654
1,400 REMEC INC* 6,930
400 ROGERS CORP* 13,240
400 ROPER INDS INC 12,236
24,300 SKYWORKS SOLUTIONS INC* 130,005
15,200 STERICYCLE INC* 597,208
12,400 TECHNITROL INC* 195,796
1,200 THOMAS & BETTS CORP* $ 18,972
200 TREX CO INC* 8,204
3,500 TRIMBLE NAVIGATION LTD* 88,375
1,100 VARIAN INC* 34,771
1,600 VICOR CORP* 10,752
1,900 WABTEC CORP 23,294
6,900 WASTE CONNECTIONS INC* 232,116
1,400 WILSON GREATBATCH TECHNOLOGIES INC* 45,906
600 WOODWARD GOVERNOR CO 22,212
--------------
TOTAL CAPITAL GOODS $ 4,354,105
CONSUMER DURABLES 7.40%
300 ACTION PERFORMANCE COS INC $ 5,547
2,100 BEASLEY BROADCAST GROUP INC CL A* 23,457
300 BOYD GAMING CORP* 4,275
700 CABOT MICROELECTRONICS CORP* 30,254
14,600 D R HORTON INC 346,020
5,800 DATASTREAM SYS INC* 50,692
1,700 DOMINION HOMES INC* 29,240
2,100 DOUBLECLICK INC* 18,060
600 GK SERVICES INC CL A 16,398
300 GROUP 1 AUTOMOTIVE INC* 8,253
9,400 HOVNANIAN ENTERPRISES INC CL A* 374,120
5,900 HUGHES SUPPLY INC 165,613
400 INFORMATION HLDGS INC* 6,960
1,800 INTER-TEL INC 29,610
12,100 KB HOME 596,167
600 KRONOS INC* 27,372
5,700 LIN TV CORP CL A* 136,287
5,400 MANHATTAN ASSOCS INC* 130,626
5,500 MAPICS INC* 33,000
3,500 MARVEL ENTERPRISES INC* 58,940
8,400 MDC HLDGS INC 387,240
600 OSHKOSH TRUCK CORP 33,600
2,800 PC CONNECTION INC* 19,712
10,600 PULTE HOMES INC 614,694
9,700 RYLAND GROUP INC 526,031
1,300 SPARTAN MOTORS INC 12,168
8,600 STANDARD PACIFIC CORP 260,150
1,300 STANLEY FURNITURE CO INC 32,162
2,400 STEIN MART INC* 13,128
300 STRATTEC SECURITY CORP* 14,943
200 SUPERIOR INDS INTL INC 7,912
900 THOR INDS INC 28,782
1,400 TORO CO 52,234
4,300 WESCO INTERNATIONAL INC* 18,662
500 WINNEBAGO INDS INC 18,510
--------------
TOTAL CONSUMER DURABLES $ 4,130,819
CONSUMER NON-DURABLES 1.54%
2,700 AMERICAN ITALIAN PASTA CO CL A* $ 119,070
11,800 CHATTEM INC* 161,306
3,200 CHIQUITA BRANDS INTL INC* 43,040
1,100 DEL MONTE FOODS CO* 8,745
1,100 DELTA & PINE LAND CO 25,586
700 DRESS BARN INC* 10,514
1,700 ELIZABETH ARDEN INC* 21,590
1,300 FLOWERS FOODS INC 36,790
2,500 INTERSTATE BAKERIES CORP 26,175
1,200 JARDEN CORP* 35,400
1,600 JM SMUCKER CO 58,048
400 MOTHERS WORK INC* 10,036
1,200 NASH FINCH CO 15,000
1,000 OSHKOSH B'GOSH INC CL A 30,380
3,000 PAYLESS SHOESOURCE INC* 47,580
300 PEET'S COFFEE & TEA INC* 5,103
900 QUIKSILVER INC* 29,340
1,700 REGIS CORP 48,161
400 SANDERSON FARMS INC 7,584
2,100 STANDARD REGISTER CO 36,288
500 WD 40 CO 13,225
3,200 WILD OATS MKTS INC* 34,624
</Table>
16
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
1,800 YANKEE CANDLE COMPANY (THE) INC* $ 39,438
--------------
TOTAL CONSUMER NON-DURABLES $ 863,023
CONSUMER SERVICES 15.77%
3,400 1-800-FLOWERS.COM INC* $ 25,976
2,900 ADVISORY BOARD CO* 106,198
31,300 ALLIANCE GAMING CORP* 499,861
1,100 AMBASSADORS GROUP INC* 13,805
14,900 AMN HEALTHCARE SVCS INC* 135,590
1,400 ANN TAYLOR STORES CORP* 33,124
1,700 ARBITRON INC* 57,902
800 BLYTH INC 21,104
1,300 BRIGHT HORIZONS FAMILY SOLUTIONS INC* 39,039
1,300 CACI INTL INC CL A* 45,409
500 CALIFORNIA PIZZA KITCHEN INC* 10,080
6,800 CBRL GROUP INC 216,784
400 CHARLES RIVER ASSOCIATES INC* 8,656
12,800 CHICO'S FAS INC* 311,552
7,800 CHRISTOPHER & BANKS CORP* 196,248
14,200 CLAIRES STORES INC 369,058
1,000 CN MAXIMUS INC* 24,100
2,000 COINSTAR INC* 36,580
6,700 COMPUTER PROGRAMS & SYSTEMS* 129,377
2,200 CORINTHIAN COLLEGES INC* 100,738
1,300 CORP EXECUTIVE BOARD CO* 53,287
1,000 COST PLUS INC* 30,730
7,000 COSTAR GROUP INC* 155,820
1,300 CPI CORP 17,355
7,100 DICK'S SPORTING GOODS INC* 213,923
2,777 DIGITAS INC* 11,108
2,400 EXELIXIS INC* 20,446
2,500 FIRST CONSULTING GROUP INC* 12,575
1,200 FORRESTER RESEARCH INC* 18,576
300 FRED'S INC 9,735
1,200 FTI CONSULTING INC* 54,300
2,000 GARTNER GROUP INC CL A* 15,880
3,100 GENENCOR INTL INC* 34,255
18,700 GUITAR CTR INC* 433,092
2,000 GYMBOREE CORP* 33,420
22,200 HIBBETT SPORTING GOODS INC* 602,952
600 HOLLINGER INTL INC 5,580
1,800 HOLLYWOOD ENTMT CORP* 31,950
14,200 HOT TOPIC INC* 347,190
1,200 IDINE REWARDS NETWORK INC* 11,700
7,300 IMCO RECYCLING INC* 50,370
1,000 ISLE OF CAPRI CASINOS INC* 12,910
2,100 ITT EDL SVCS INC* 61,950
300 JACK IN THE BOX INC* 5,340
300 JO-ANN STORES INC* 7,800
2,200 JOHN H HARLAND CO 52,690
800 K SWISS INC CL A 23,784
200 KELLY SERVICES INC 4,630
1,100 KENNETH COLE PRODUCTIONS INC CL A* 25,355
11,900 KROLL INC* 265,370
3,000 LABOR READY INC* 19,350
6,500 LEAPFROG ENTERPRISES INC* 173,550
1,500 LEARNING TREE INTL INC* 21,945
7,800 LINENS 'N THINGS INC* 165,282
2,100 MACROVISION CORP* 37,107
500 MARTHA STEWART LIVING OMNIMEDIA INC CL A* 4,340
2,600 MEMBERWORKS INC* 57,018
11,100 MENS WEARHOUSE INC* 184,815
3,000 MOVIE GALLERY INC* 55,473
1,800 NAUTILUS GROUP INC 22,860
1,200 NEW ENGLAND BUSINESS SVC INC 30,540
600 NU SKIN ENTERPRISES INC 5,400
1,300 ON ASSIGNMENT INC* 6,240
1,150 PACIFIC SUNWEAR OF CALIFORNIA INC* 26,254
1,300 PANERA BREAD CO* 44,239
1,400 PAPA JOHN'S INTL INC* 33,292
300 PENN NATL GAMING INC* 5,859
13,100 PETSMART INC* 198,203
5,300 PF CHANGS CHINA BISTRO INC* $ 222,070
17,900 PHOTRONICS INC* 225,003
1,700 PLAYBOY ENTERPRISES INC CL B* 16,524
1,400 PREPAID LEGAL SVCS INC* 32,284
1,200 PRG-SCHULTZ INTL INC* 7,656
700 PROBUSINESS SVCS INC* 9,863
1,900 QUIXOTE CORP 34,656
1,100 R H DONNELLEY CORP* 32,846
5,600 RARE HOSPITALITY INTL INC* 163,128
1,400 RC2 CORP* 22,232
8,400 REGAL ENTMT GROUP CORP CL A 164,640
32,000 REGENT COMMUNICATIONS INC* 191,680
3,500 RIGHT MGMT CONSULTANTS INC* 43,750
400 RYAN'S FAMILY STEAK HOUSE INC* 4,956
1,300 SCHOOL SPECIALTY INC* 24,141
600 SCP POOL CORP* 19,806
300 SHOE CARNIVAL INC* 4,365
9,100 SHUFFLE MASTER INC* 208,390
2,000 SONIC CORP* 54,020
500 SOTHEBY'S HLDGS INC CL A* 4,395
2,900 SOURCECORP* 45,820
4,200 SPANISH BROADCASTING SYS INC CL A* 32,214
5,400 SPORTS AUTHORITY INC* 46,602
7,500 STAGE STORES INC* 156,900
11,000 STATION CASINOS INC* 237,710
1,900 STRAYER EDUCATION INC 123,576
4,500 TELETECH HLDGS INC* 18,360
2,800 TETRA TECH INC* 43,400
8,100 TOO INC* 150,336
6,800 TRACTOR SUPPLY CO* 287,980
800 TRANSKARYOTIC THERAPIES INC* 4,801
300 TUESDAY MORNING CORP* 7,014
400 VALUEVISION MEDIA INC CL A* 5,076
700 WHITEHALL JEWELLERS INC* 6,349
1,400 WORLD FUEL SVCS CORP 29,988
1,200 WORLD WRESTLING ENTMT INC* 10,896
800 YOUNG BROADCASTING INC CL A* 13,448
--------------
TOTAL CONSUMER SERVICES $ 8,803,896
ENERGY 8.26%
700 ADVANCED ENERGY INDS INC* $ 6,727
7,500 CABOT OIL & GAS CORP CL A 183,750
4,400 CARBO CERAMICS INC 165,528
9,200 CHESAPEAKE ENERGY CORP 74,152
11,200 CIMAREX ENERGY CO* 220,640
1,400 ENERGY CONVERSION DEVICES INC* 13,342
800 EVERGREEN RESOURCES INC* 38,040
800 FRONTIER OIL CORP 13,536
41,100 GLOBAL INDS LTD* 182,484
3,300 GREY WOLF INC* 13,365
28,100 KEY ENERGY SVCS INC* 282,967
10,700 LONE STAR TECHNOLOGIES INC* 227,161
1,200 OCEANEERING INTL INC* 27,072
2,200 PATINA OIL & GAS CORP 75,966
10,500 PATTERSON-UTI ENERGY INC* 347,445
7,200 POGO PRODUCING CO 285,120
32,400 PRIDE INTL INC* 502,848
9,800 ST MARY LAND & EXPLORATION CO 251,076
34,500 SUPERIOR ENERGY SVCS INC* 312,225
1,000 TETRA TECHNOLOGIES INC* 26,600
20,900 ULTRA PETROLEUM CORP* 209,000
9,800 UNIT CORP* 192,080
31,400 VARCO INTL INC* 552,326
1,400 VINTAGE PETROLEUM INC 13,692
6,700 WESTPORT RESOURCES CORP* 139,628
14,200 W-H ENERGY SVCS INC* 255,600
--------------
TOTAL ENERGY $ 4,612,370
FINANCIAL SERVICES 7.01%
700 ALLEGIANT BANCORP INC $ 12,047
3,900 AMERITRADE HLDG CORP CL A* 19,578
700 BKF CAPITAL GROUP INC* 11,865
</Table>
17
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
1,600 BOSTON PRIVATE FINL HLDGS INC $ 30,160
5,800 BROOKLINE BANCORP INC 77,546
500 CAMDEN NATIONAL CORP 12,675
1,000 CENTURY BANCORP INC 25,820
7,400 COBALT CORP* 121,730
3,000 COMMUNITY FIRST BANKSHARES INC 80,763
2,900 CREDIT ACCEPTANCE CORP* 22,388
1,000 DIGITAL INSIGHT CORP* 16,160
1,800 DIME COMMUNITY BANCSHARES 41,508
900 EAST WEST BANCORP INC 30,465
200 FARMERS CAPITAL BANK CORP 6,572
300 FINANCIAL INSTITUTIONS INC 6,591
11,600 FIRST AMERICAN CORP 307,400
2,100 FIRST BANCORP 64,827
1,700 FIRST COMMUNITY BANCORP 50,643
400 FIRST ESSEX BANCORP INC 14,000
900 FIRST STATE BANCORP 22,059
2,100 FLAGSTAR BANCORP INC 69,510
900 FLUSHING FINL CORP 17,190
300 FRONTIER FINL CORP 8,127
1,700 GOLD BANC CORP INC 14,960
6,600 GREATER BAY BANCORP 105,600
600 HANMI FINL CORP 10,020
300 HARLEYSVILLE NATL CORP 7,950
1,900 HILB ROGAL & HAMILTON CO 67,545
2,500 INDEPENDENT BANK CORP 50,700
300 INTERCHANGE FINL SVCS CORP 5,355
9,000 IPC HLDGS LTD 309,150
300 IRWIN FINANCIAL CORP 7,110
9,100 JEFFERIES GROUP INC 353,262
3,800 KNIGHT TRADING GROUP INC* 19,228
15,700 LENDINGTREE INC* 222,469
1,600 LOCAL FINL CORP* 24,000
400 MB FINL INC 15,028
200 MERCHANTS BANCSHARES INC 4,670
4,000 MFA MTG INVESTMENTS INC 37,480
1,100 MIDWEST BANC HLDGS INC 19,789
4,700 NARA BANCORP INC 69,283
2,900 NBT BANCORP INC 52,751
1,700 NETBANK INC 16,966
1,600 NEW CENTURY FINL CORP 58,928
925 ORIENTAL FINL GROUP INC 22,755
3,800 PACIFIC UNION BANK CORP* 49,400
600 PENNROCK FINANCIAL SERVICES CORP 17,790
5,500 PLATINUM UNDERWRITERS HLDGS LTD 145,475
11,700 PORTFOLIO RECOVERY ASSOCIATES INC* 319,293
500 PROASSURANCE CORP* 12,945
2,500 PROVIDENT BANKSHARES CORP 63,500
5,600 RLI CORP 165,480
2,400 S&T BANCORP INC 66,120
6,700 SELECTIVE INS GROUP INC 168,103
200 SOUTHWEST BANCORP OF TEXAS INC* 6,796
500 STATE BANCORP INC 9,390
5,000 STATEN ISLAND BANCORP INC 85,800
880 STERLING BANCORP 24,042
700 TRIAD GUARANTY INC* 27,888
300 TRUST CO OF NEW JERSEY 8,406
1,200 UNITED BANKSHARES INC 34,656
1,200 UNITED NATL BANCORP 30,960
1,600 WESTCORP INC 33,920
1,200 WFS FINL INC* 27,251
2,000 ZENITH NATIONAL INS CORP 51,500
--------------
TOTAL FINANCIAL SERVICES $ 3,913,338
HEALTH CARE 23.33%
2,400 ADOLOR CORP* $ 33,576
4,200 ADVANCED NEUROMODULATION SYS INC* 175,854
6,200 AFFYMETRIX INC* 115,010
900 ALBANY MOLECULAR RESEARCH INC* 10,386
69,500 ALIGN TECHNOLOGY INC* 521,250
2,600 ALKERMES INC* 25,948
14,000 AMERICAN MEDICAL SYS HLDGS INC* 222,180
16,000 AMERIGROUP CORP* $ 465,920
500 AMSURG CORP* 12,985
1,600 AMYLIN PHARMACEUTICALS INC* 30,640
100 ANALOGIC CORP 4,775
900 ANTIGENICS INC* 8,856
1,600 APPLERA CORP - CELERA GENOMICS GROUP* 16,800
3,300 APRIA HEALTHCARE GROUP INC* 77,385
18,600 ARTHOCARE CORP* 284,208
500 ATRIX LABS INC* 8,780
4,000 BIOMARIN PHARMACEUTICALS INC* 43,920
1,700 BIOSITE INC* 72,556
1,000 BONE CARE INTL INC* 7,760
700 CANTEL MEDICAL CORP* 9,555
53,500 CARDIAC SCIENCE INC* 126,260
19,300 CENTENE CORP* 618,275
6,900 CHARLES RIVER LABS INTL INC* 187,335
7,600 CIMA LABS INC* 183,540
27,900 CLOSURE MED CORP* 503,595
10,200 COMMUNITY HEALTH SYS INC* 193,800
1,300 CONMED CORP* 22,646
9,800 CONNETICS CORP* 165,522
2,600 COOPER COS INC 72,540
12,800 COVANCE INC* 226,944
8,200 COVENTRY HEALTH CARE INC* 334,724
6,900 CTI MOLECULAR IMAGING INC* 126,684
1,700 CYBERONICS INC* 38,811
1,300 DIVERSA CORP* 13,442
4,600 ENDO PHARMACEUTICAL HLDGS INC* 75,992
1,600 ENZO BIOCHEM INC* 23,952
1,100 ENZON INC* 15,092
8,200 EON LABS INC* 251,248
32,900 EPIX MEDICAL INC* 314,195
6,900 GENTIVA HEALTH SVCS INC 63,066
1,200 GERON CORP* 5,556
200 HAEMONETICS CORP* 3,546
2,500 HANGER ORTHOPEDIC GROUP INC* 25,775
5,300 HARVARD BIOSCIENCE INC* 17,967
1,400 HEALTHTRONICS SURGICAL SVCS INC* 11,214
400 ICU MEDICAL INC* 12,712
2,400 IDEXX LABS INC* 93,600
7,600 IGEN INTL INC* 276,260
1,700 ILEX ONCOLOGY INC* 22,763
1,800 IMCLONE SYS INC* 32,832
600 IMMUCOR INC* 12,318
11,500 IMPAC MEDICAL SYSTEMS INC* 204,930
1,100 IMPAX LABORATORIES INC* 6,468
300 INAMED CORP* 11,187
800 INTEGRA LIFESCIENCES CORP* 21,352
900 INTERMUNE INC* 18,297
1,100 INTUITIVE SURGICAL INC* 6,864
700 INVACARE CORP 22,365
2,200 ISIS PHARMACEUTICALS INC* 12,166
1,400 IVERNESS MEDICAL INNOVATIONS INC* 25,900
4,800 IXIA* 29,232
400 KEITHLEY INSTRUMENTS INC 4,880
16,300 KENSEY NASH CORP* 354,851
7,100 KOS PHARMACEUTICALS INC* 144,840
600 KYPHON INC* 5,664
18,100 LABONE INC CL A* 341,185
1,200 LIGAND PHARMACEUTICALS CL B* 10,680
1,300 MEDICINES CO* 26,715
7,700 MEDICIS PHARMACEUTICAL CORP CL A* 443,828
4,200 MENTOR CORP 77,742
4,700 MERIT MEDICAL SYS INC* 92,073
600 MGI PHARMA INC* 8,664
8,100 MID ATLANTIC MEDICAL SVCS INC* 352,755
1,500 MOLECULAR DEVICES CORP* 18,825
2,500 NASSDA CORP* 14,650
2,200 NATURE'S SUNSHINE PRODS INC 20,834
3,300 NBTY INC* 51,150
2,300 NEUROCRINE BIOSCIENCES INC* 104,075
200 NEUROGEN CORP* 774
</Table>
18
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
300 NOVEN PHARMACEUTICALS INC* $ 2,889
400 NPS PHARMACEUTICALS INC* 7,620
13,500 ODYSSEY HEALTHCARE INC* 348,840
2,500 ORTHOLOGIC CORP* 8,450
800 OSI PHARMACEUTICALS INC* 16,800
21,500 PDI INC* 239,725
20,200 PEDIATRIX MEDICAL GROUP INC* 643,774
300 PERRIGO CO 4,608
1,700 PHARMACEUTICAL RESOURCES INC* 74,715
800 POLYMEDICA CORP 29,800
11,000 POSSIS MEDICAL INC* 211,200
8,700 PRIORITY HEALTHCARE CORP CL B* 198,360
18,200 PROVINCE HEALTHCARE CO* 182,000
2,200 Q-MED INC* 13,244
700 REGENERON PHARMACEUTICALS INC* 4,431
1,000 REHABCARE GROUP INC* 17,480
10,600 RESMED INC* 388,808
5,300 RESPIRONICS INC* 203,626
24,000 RITA MEDICAL SYS INC* 68,640
900 SANGSTAT MEDICAL CORP* 11,340
1,600 SELECT MEDICAL CORP* 27,072
4,100 SEPRACOR INC* 78,515
1,000 SEROLOGICALS CORP* 9,230
1,900 SIERRA HEALTH SVCS INC* 31,540
1,400 TANOX INC* 22,120
2,200 TARO PHARMACEUTICAL INDS LTD* 100,672
5,300 TECHNE CORP* 117,713
30,000 THORATEC CORP* 412,500
5,900 UNITED SURGICAL PARTNERS INTL INC* 109,327
9,500 VCA ANTECH INC* 159,495
500 VENTANA MED SYS INC* 11,455
20,200 VISTACARE INC CL A* 409,050
3,300 VISX INC* 51,678
1,000 VITAL SIGN INC 28,500
200 WEST PHARMACEUTICAL SVCS INC 4,770
1,200 WRIGHT MEDICAL GROUP INC* 22,776
3,200 ZOLL MEDICAL CORP* 103,360
--------------
TOTAL HEALTH CARE $ 13,029,619
REAL ESTATE (PUBLICLY TRADED) 1.04%
1,000 CBL & ASSOCIATES PPTYS INC $ 42,450
600 CHELSEA PPTY GROUP INC 23,796
6,300 CROWN AMERICAN REALTY TRUST 64,386
2,700 FEDERAL REALTY INV TRUST 83,214
500 FRIEDMAN BILLINGS RAMSEY GROUP INC CL A 5,490
2,800 GLIMCHER REALTY TRUST 57,848
7,100 INNKEEPERS USA TRUST 53,534
2,000 JONES LANG LASALLE INC* 30,140
300 MACERICH CO 9,900
600 MANUFACTURED HOME COMMUNITIES REIT 19,224
4,300 NATIONWIDE HEALTH PPTYS INC 60,200
1,900 SHURGARD STORAGE CENTERS INC 62,073
2,100 VENTAS INC 27,300
1,500 WASHINGTON REAL ESTATE INV TR 39,210
--------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 578,765
TECHNOLOGY 19.46%
19,100 ACTIVCARD CORP* $ 180,495
26,900 AEROFLEX INC* 144,722
900 ALTIRIS INC* 14,670
3,100 AMERICAN MNGT SYS INC* 38,130
300 ANSYS INC* 7,935
5,000 ANTEON INTL CORP* 118,400
3,800 ARIBA INC* 12,388
1,500 ARTISAN COMPONENTS INC* 29,655
3,900 ASIAINFO HLDGS INC* 16,926
1,600 AVID TECHNOLOGY INC* 43,952
5,800 AVOCENT CORP* 171,796
44,500 AXCELIS TECHNOLOGIES INC* 252,760
400 BLACK BOX CORP 12,700
14,600 BORLAND SOFTWARE CORP* 132,422
1,900 COHU INC 34,219
4,300 COMMONWEALTH TELEPHONE ENTERPRISES INC* $ 170,925
600 CONCORD COMMUNICATIONS INC* 7,578
11,400 COVANSYS CORP* 27,360
30,600 CRAY INC* 231,030
2,000 CREE INC* 39,900
27,600 DENDRITE INTL INC* 282,624
20,400 DIGITAL RIVER INC* 341,088
7,300 DRS TECHNOLOGIES INC* 204,473
400 DYNAMICS RESEARCH CORP* 3,928
700 ECHELON CORP* 9,170
1,750 ENGINEERED SUPPORT SYS INC 60,777
5,300 ERESEARCH TECHNOLOGY INC* 157,940
19,900 ESPEED INC* 259,695
2,200 ESS TECHNOLOGY INC* 15,224
900 EXAR CORP* 13,275
2,200 EXTREME NETWORKS INC* 9,306
1,800 F5 NETWORKS INC* 24,768
3,500 FACTSET RESEARCH SYSTEMS INC 121,800
4,100 FALCONSTOR SOFTWARE INC* 16,277
400 FEI CO* 7,316
10,900 FIDELITY NATL INFORMATION SOLUTIONS INC* 191,295
1,600 FILENET CORP* 24,624
6,000 FOUNDRY NETWORKS INC* 65,280
24,000 FREEMARKETS INC* 156,480
3,400 GENERAL BINDING CORP* 27,200
1,500 GENERAL COMMUNICATION INC CL A* 9,287
300 GLOBAL IMAGING SYS INC* 5,550
20,600 GLOBESPAN VIRATA INC* 125,042
30,300 HARRIS INTERACTIVE INC* 145,137
500 HELIX TECHNOLOGY CORP 5,760
12,700 HYPERION SOLUTIONS CORP* 359,156
5,700 INET TECHNOLOGIES INC* 45,714
3,100 INFORTE CORP* 19,840
4,600 INFOUSA INC* 24,288
9,800 INTEGRATED CIRCUIT SYSTEMS INC* 212,856
600 INTEGRATED DEFENSE TECHNOLOGIES INC* 8,562
2,300 INTERDIGITAL COMMUNICATIONS CORP* 51,819
4,300 INTERGRAPH CORP* 87,720
500 INTERNET SECURITY SYS INC* 6,560
600 J2 GLOBAL COMMUNICATIONS INC* 17,718
500 JDA SOFTWARE GROUP INC* 5,630
4,300 KEANE INC* 41,452
1,300 KEYNOTE SYS INC* 12,259
800 KOPIN CORP* 3,848
2,700 LATTICE SEMICONDUCTOR CORP* 23,436
2,800 LITTELFUSE INC* 54,768
21,300 MAGMA DESIGN AUTOMATION INC* 319,500
8,900 MANTECH INTERNATIONAL CORP CL A* 138,840
3,000 MCDATA CORP CL A* 31,740
1,200 MENTOR GRAPHICS CORP* 12,504
1,300 MERCURY COMPUTER SYS INC* 27,300
18,200 MERCURY INTERACTIVE CORP* 617,708
30,600 MICREL INC* 358,326
1,700 MRO SOFTWARE INC* 14,569
1,400 MYKROLIS CORP* 11,228
53,700 NETEGRITY INC* 254,538
1,000 NETFLIX INC* 22,900
1,600 NETIQ CORP* 22,048
2,500 NETSCOUT SYS INC* 6,525
600 NETSCREEN TECHNOLOGIES INC* 12,168
3,100 NEXTEL PARTNERS INC CL A* 18,011
1,300 OAK TECHNOLOGY INC* 6,331
1,600 OMNIVISION TECHNOLOGIES INC* 38,848
300 OVERTURE SVCS INC* 3,210
2,100 PACKETEER INC* 27,468
48,700 PARAMETRIC TECHNOLOGY CORP* 160,710
14,433 PARTHUSCEVA INC* 61,340
1,900 PAXAR CORP* 19,627
2,200 PER SE TECHNOLOGIES INC* 19,206
2,800 PHOENIX TECHNOLOGIES LTD* 12,684
3,900 PINNACLE SYS INC* 36,855
1,000 PIXELWORKS INC* 7,450
</Table>
19
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
3,000 PLANTRONICS INC* $ 55,500
2,700 POWER INTEGRATIONS INC* 59,756
1,800 POWERWAVE TECHNOLOGIES INC* 7,236
4,500 PRICE COMMUNICATIONS CORP* 54,945
3,600 PROGRESS SOFTWARE CORP* 70,164
1,700 QRS CORP* 8,840
2,300 QUEST SOFTWARE INC* 24,610
1,200 RADISYS CORP* 10,152
4,900 RAMBUS INC* 70,070
2,800 RED HAT INC* 16,800
500 RENAISSANCE LEARNING INC* 9,525
2,800 RETEK INC* 17,500
10,500 RUDOLPH TECHNOLOGIES INC* 158,655
12,300 SAFENET INC* 291,018
2,700 SANDISK CORP* 65,340
3,300 SCANSOFT INC* 17,061
400 SCANSOURCE INC* 7,964
3,800 SEMITOOL INC* 17,404
6,300 SEMTECH CORP* 100,170
30,300 SERENA SOFTWARE INC* 477,528
12,300 SILICON IMAGE INC* 73,554
2,300 SILICON LABORATORIES INC* 65,435
1,400 SILICONIX INC* 39,550
11,100 SIMPLETECH INC* 31,080
17,600 SINA CORP* 173,536
900 SPECTRALINK CORP* 7,038
600 STANDARD MICROSYSTEMS CORP* 7,596
600 SUREWEST COMMUNICATIONS 15,906
1,800 SYKES ENTERPRISES INC* 8,172
1,400 SYNPLICITY INC* 4,928
200 SYNTEL INC* 3,000
1,200 TAKE-TWO INTERACTIVE SOFTWARE INC* 27,000
1,900 TALX CORP 24,168
18,400 TEKELEC* 197,984
500 THQ INC* 7,065
9,300 TOLLGRADE COMMUNICATIONS INC* 134,943
6,000 TRANSACTION SYS ARCHITECTS INC CL A* 41,700
1,900 TRIZETTO GROUP INC* 10,260
5,700 TTM TECHNOLOGIES INC* 26,847
2,800 UNITED ONLINE INC* 62,608
1,100 UNIVERSAL ELECTRONICS INC* 11,506
12,300 VARIAN SEMICONDUCTOR EQUIPMENT ASSOCS INC* 283,515
1,300 VEECO INSTRUMENTS INC* 20,917
1,500 VERINT SYS INC* 29,477
1,300 VERITY INC* 21,489
2,200 VITALWORKS INC* 7,700
48,700 WATCHGUARD TECHNOLOGIES INC* 214,280
2,000 WEBEX COMMUNICATIONS INC* 20,600
2,200 WEBMETHODS INC* 22,132
12,100 WEBSENSE INC* 172,667
21,400 WESTERN DIGITAL CORP* 199,662
18,900 WESTERN WIRELESS CORP CL A* 115,668
2,200 WIND RIVER SYS INC* 7,282
1,600 WIRELESS FACILITIES INC* 11,136
1,100 ZORAN CORP* 19,569
--------------
TOTAL TECHNOLOGY $ 10,868,747
TRANSPORTATION 2.38%
2,900 AIRTRAN HLDGS INC* $ 22,765
2,600 ATLANTIC COAST AIRLINES HLDGS INC* 21,710
10,100 CONTINENTAL AIRLINES INC CL B* 92,112
26,900 DELTA AIR LINES INC 344,051
2,900 EGL INC* 46,516
1,600 FORWARD AIR CORP* 40,256
3,900 GENESEE & WYOMING INC CL A* 67,470
10,300 GULFMARK OFFSHORE INC* 135,960
4,650 JETBLUE AIRWAYS CORP* 146,150
400 KNIGHT TRANSPORTATION INC* 9,640
1,000 LANDSTAR SYS INC* 62,130
11,100 PACER INTL INC* 176,490
5,700 US FREIGHTWAYS CORP 162,507
--------------
TOTAL TRANSPORTATION $ 1,327,757
UTILITIES 1.10%
1,000 BLACK HILLS CORP $ 28,480
8,700 CAL DIVE INTL INC* 140,070
13,800 HEADWATERS INC* 226,320
2,700 UGI CORP 85,320
400 WESTERN GAS RESOURCES INC 14,672
17,000 WILLIAMS COS INC 118,150
--------------
TOTAL UTILITIES $ 613,012
--------------
TOTAL COMMON STOCK (COST $49,712,294) $ 54,315,141
--------------
TOTAL INVESTMENTS AT VALUE 97.27% (COST $49,712,294) 54,315,141
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 2.73% 1,522,273
--------------
NET ASSETS 100.00% $ 55,837,414
</Table>
See Notes to Financial Statements.
REIT Real Estate Investment Trust
*Non-income producing security.
20
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SMALL CAP VALUE FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
COMMON STOCK 95.02%
BASIC INDUSTRIES 9.45%
7,200 A SCHULMAN INC $ 117,785
400 ACTUANT CORP CL A* 14,840
24,600 AIRGAS INC* 497,658
1,900 ALBEMARLE CORP 51,300
1,500 AM CASTLE & CO* 6,930
4,700 ARCH CHEMICAL INC 100,251
5,100 BOISE CASCADE CORP 117,147
1,500 BUILDING MATERIALS HLDG CORP 18,615
4,000 CARPENTER TECHNOLOGY CORP 52,240
5,900 CENTURY ALUMINUM CO 39,235
2,600 CHESAPEAKE CORP 46,696
700 CLEVELAND CLIFFS INC* 12,600
18,100 CROWN HLDGS INC* 95,930
5,800 CYTEC INDS INC* 185,658
8,000 FERRO CORP 189,120
4,800 FLORIDA ROCK INDS INC 182,400
2,100 FMC CORP* 38,052
4,200 GEORGIA GULF CORP 94,920
5,400 GLATFELTER CO 61,830
10,000 GRANITE CONSTRUCTION INC 168,000
6,000 GRAPHIC PACKAGING INTERNATIONAL CORP* 30,180
5,500 GREAT LAKES CHEM CORP 135,080
7,000 GREIF INC CL A 143,150
800 GRIFFON CORP* 10,896
2,200 HERCULES INC* 22,330
15,100 IMC GLOBAL INC 136,806
25,400 KENNAMETAL INC 799,846
2,300 LAWSON PRODUCTS INC 62,100
10,600 LENNOX INTL INC 157,516
15,400 LOUISIANA PAC CORP* 124,432
1,400 M/I SCHOTTENSTEIN HOMES INC 47,824
2,600 MILLENIUM CHEMICALS INC 36,166
15,200 MINERALS TECHNOLOGIES INC 672,600
1,700 MUELLER INDS INC* 43,435
2,100 NACCO INDS INC CL A 110,250
4,000 OCTEL CORP 59,200
5,100 OMNOVA SOLUTIONS INC* 18,105
10,100 ONEOK INC 191,597
1,700 PENFORD CORP 22,933
24,300 POLYONE CORP 112,266
4,600 POTLATCH CORP 109,710
800 PRECISION CASTPARTS CORP 22,152
500 QUANEX CORP 14,380
4,300 RELIANCE STEEL & ALUMINUM CO 73,100
2,100 ROANOKE ELECTRIC STEEL CORP 14,511
7,600 RTI INTL METALS INC* 76,760
3,600 RYERSON TULL INC 27,036
6,000 SOLUTIA INC 8,160
1,000 SPARTECH CORP 21,650
1,200 STEEL DYNAMICS INC* 14,520
6,200 UNIFI INC* 36,890
600 UNIVERSAL FOREST PRODUCTS INC 10,560
19,400 UNOVA INC* 142,784
17,000 USEC INC 95,200
13,300 WAUSAU-MOSINEE PAPER CORP 141,512
18,800 WELLMAN INC 215,072
5,700 WORTHINGTON INDS INC 76,551
--------------
TOTAL BASIC INDUSTRIES $ 6,128,467
CAPITAL GOODS 7.08%
4,900 ACUITY BRANDS INC $ 74,627
3,500 ADTRAN INC* 141,680
5,700 BARNES GROUP INC 119,928
2,300 BELDEN INC 27,347
3,400 BENCHMARK ELECTRONICS INC* 88,230
10,100 BRIGGS & STRATTON CORP 455,914
5,400 C & D TECHNOLOGIES INC 71,820
2,000 CARLISLE COS INC 90,720
5,700 CASELLA WASTE SYS INC CL A* 48,564
5,500 COLUMBUS MCKINNON CORP* 8,470
500 DSP GROUP INC* $ 10,450
2,300 EMCOR GROUP INC* 117,461
1,900 ESTERLINE TECHNOLOGIES CORP* 33,725
1,400 FISHER SCIENTIFIC INTL INC* 40,334
41,000 FLOWSERVE CORP* 633,040
3,000 JOY GLOBAL INC* 37,110
900 KADANT INC* 14,625
900 KAYDON CORP 20,070
56,800 KEMET CORP* 520,856
3,200 MANITOWAC INC 59,520
20,700 MANUFACTURERS SVCS LTD* 79,695
6,200 MASTEC INC* 13,516
1,443 MEDIS TECHNOLOGIES LTD* 11,297
1,600 MILLIPORE CORP* 54,640
4,800 NCI BUILDING SYS INC* 77,280
500 NORDSON CORP 12,630
5,800 NU HORIZONS ELECTRONICS CORP* 29,574
8,700 PITTSTON BRINK'S GROUP 110,925
1,600 POWER-ONE INC* 9,360
2,300 REGAL-BELOIT CORP 39,445
2,000 REMEC INC* 9,900
1,600 RICHARDSON ELECTRONICS LTD 12,640
1,100 ROPER INDS INC 33,649
4,800 SANMINA-SCI CORP* 23,040
6,200 SKYWORKS SOLUTIONS INC* 33,170
3,900 SPS TECHNOLOGIES INC* 102,882
10,500 STANLEY WORKS 252,315
3,100 STEELCASE INC CL A 29,729
3,000 STONERIDGE INC* 32,400
2,700 TECHNITROL INC* 42,633
3,100 TECUMSEH PRODS CO CL A 124,744
4,500 THOMAS & BETTS CORP* 71,145
4,700 TRIMBLE NAVIGATION LTD* 118,675
5,600 US INDS INC* 26,600
7,000 US STEEL CORP 100,240
14,700 USG CORP* 103,047
3,100 VICOR CORP* 20,832
8,900 WABTEC CORP 109,114
2,200 WALTER INDS INC 22,330
700 WASTE CONNECTIONS INC* 23,548
8,300 WATERS CORP* 199,283
1,200 WOODWARD GOVERNOR CO 44,424
--------------
TOTAL CAPITAL GOODS $ 4,589,193
CONSUMER DURABLES 7.77%
3,900 A O SMITH CORP $ 116,298
1,100 APOGEE ENTERPRISES INC 11,374
1,600 APPLICA INC* 8,400
3,900 ARVINMERITOR INC 61,698
2,100 BANDAG INC 73,185
1,400 BASSETT FURNITURE INDS INC 17,206
6,100 BEASLEY BROADCAST GROUP INC CL A* 68,137
1,400 BOCA RESORTS INC CL A* 17,360
6,500 BOSTON COMMUNICATIONS GROUP INC* 117,585
1,700 BOYD GAMING CORP* 24,225
3,700 CATALINA MARKETING CORP* 65,971
1,000 CHEMED CORP 34,860
700 CHOICE HOTELS INTL INC* 17,080
21,500 CLAYTON HOMES INC 266,815
5,800 COACHMEN INDS INC 73,370
1,800 COPART INC* 15,192
4,900 CROWN MEDIA HLDGS INC* 19,845
8,000 DATASTREAM SYS INC* 69,920
1,300 DEPARTMENT 56 INC* 15,340
3,800 EMMIS COMMUNICATIONS CORP* 72,086
9,000 ENTRAVISION COMMUNICATIONS CORP* 68,490
4,200 FLEETWOOD ENTERPRISES INC* 21,168
44,100 FURNITURE BRANDS INTL INC* 1,047,375
3,900 GK SERVICES INC CL A 106,587
4,200 HUGHES SUPPLY INC 117,894
6,800 IMAGISTICS INTL INC* 146,336
5,400 IMATION CORP* 185,220
</Table>
21
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
1,200 KIMBALL INTL INC CL B $ 19,188
1,700 LA-Z-BOY INC 33,201
1,000 LEGGETT & PLATT INC 20,650
5,900 LIN TV CORP CL A* 141,069
2,000 MAYTAG CORP 41,680
6,100 MODINE MFG CO 123,220
17,500 MONACO COACH CORP* 236,600
6,900 OAKLEY INC* 72,450
1,000 ONEIDA LTD 11,030
1,000 OSHKOSH TRUCK CORP 56,000
4,700 PC CONNECTION INC* 33,088
1,500 PENTAIR INC 57,810
15,600 PSS WORLD MEDICAL INC* 93,756
5,200 RADIO ONE INC* 80,756
1,500 RALCORP HLDGS INC* 37,350
1,500 STANLEY FURNITURE CO INC 37,110
400 SUPERIOR INDS INTL INC 15,824
13,700 TENNECO AUTOMOTIVE INC* 53,567
2,500 THOR INDS INC 79,950
20,400 TORO CO 761,124
3,400 TOWER AUTOMOTIVE INC* 9,520
9,300 US CONCRETE INC* 34,968
3,500 WINNEBAGO INDS INC 129,570
--------------
TOTAL CONSUMER DURABLES $ 5,038,498
CONSUMER NON-DURABLES 5.51%
1,700 ALBERTO CULVER CO CL A $ 81,056
3,200 BROWN SHOE CO INC 93,536
11,600 CHIQUITA BRANDS INTL INC* 156,020
4,600 CORN PRODUCTS INTL INC 137,448
500 DEB SHOPS INC 9,525
75,300 DEL MONTE FOODS CO* 598,635
1,800 DELTA & PINE LAND CO 41,868
8,300 DIMON INC 54,448
900 DRESS BARN INC* 13,518
900 ELIZABETH ARDEN INC* 11,430
5,400 FLOWERS FOODS INC 152,820
5,300 GUESS? INC* 21,359
1,800 HAIN CELESTIAL GROUP INC* 31,068
5,500 HB FULLER CO 134,915
3,900 INTERSTATE BAKERIES CORP 40,833
4,300 INTL MULTIFOODS CORP* 82,345
3,900 JM SMUCKER CO 141,492
4,500 KELLWOOD CO 133,290
1,400 OXFORD INDS INC 46,900
9,300 PAYLESS SHOESOURCE INC* 147,498
12,100 PEPSI AMERICAS INC 151,129
300 QUIKSILVER INC* 9,780
700 REGIS CORP 19,831
4,200 ROBERT MONDAVI CORP CL A* 103,068
6,800 RPM INC 84,048
12,600 RUSSELL CORP 240,912
20,100 SENSIENT TECHNOLOGIES CORP 444,210
2,500 STANDARD REGISTER CO 43,200
6,100 STEINWAY MUSICAL INSTRUMENTS INC* 86,010
1,900 UNITED STATIONERS INC* 51,509
400 UNIVERSAL CORP 15,620
7,300 WALLACE COMPUTER SVCS INC 190,749
--------------
TOTAL CONSUMER NON-DURABLES $ 3,570,070
CONSUMER SERVICES 16.14%
20,500 AARON RENTS INC $ 458,175
4,400 ADVO INC* 173,008
10,200 ALDERWOODS GROUP INC* 49,674
1,300 ALLIANCE GAMING CORP* 20,761
8,900 AMERICAN EAGLE OUTFITTERS INC* 155,750
4,600 ANGELICA CORP 77,234
1,300 ANN TAYLOR STORES CORP* 30,758
1,500 ARBITRON INC* 51,090
2,300 ARGOSY GAMING CO* 46,851
1,500 BARNES & NOBLE INC* 29,550
1,600 BIG LOTS INC* 20,032
1,900 BLYTH INC $ 50,122
2,900 BOB EVANS FARMS 73,573
5,200 BORDERS GROUP INC* 83,200
5,700 BOWNE & CO INC 64,296
1,600 CALLAWAY GOLF CO 22,288
3,800 CASH AMERICA INTL INC 38,988
1,800 CENTRAL GARDEN & PET CO* 43,614
19,300 CHARMING SHOPPES INC* 90,710
5,000 CKE RESTAURANT INC* 27,350
3,700 CLAIRES STORES INC 96,163
400 CN MAXIMUS INC* 9,640
4,000 COMPUCOM SYS INC* 15,200
300 CONSOLIDATED GRAPHICS INC* 5,730
1,600 DARDEN RESTAURANTS INC 28,016
5,119 DIGITAS INC* 20,476
2,400 DOLLAR THRIFTY AUTOMOTIVE GROUP* 39,384
5,600 DUANE READE INC* 75,320
2,800 DYCOM INDS INC* 30,912
9,600 EXELIXIS INC* 81,782
3,200 FIRST CONSULTING GROUP INC* 16,096
4,600 FOOTSTAR INC* 42,550
4,500 FOSSIL INC* 82,260
5,500 GARTNER GROUP INC CL A* 43,670
23,500 GARTNER GROUP INC CL B* 184,240
2,200 GAYLORD ENTERTAINMENT CO* 45,782
26,900 HANCOCK FABRICS INC 419,640
1,800 HANDLEMAN CO* 30,510
3,300 HOLLYWOOD ENTMT CORP* 58,575
21,700 IDEX CORP 691,145
5,500 IMCO RECYCLING INC* 37,950
900 ISLE OF CAPRI CASINOS INC* 11,619
1,300 JAKKS PAC INC* 16,900
1,300 JO-ANN STORES INC* 33,800
600 JOHN H HARLAND CO 14,370
17,600 JOURNAL REGISTER CO* 311,696
800 K SWISS INC CL A 23,784
4,100 K2 INC* 39,114
1,000 KELLY SERVICES INC 23,150
500 KENNETH COLE PRODUCTIONS INC CL A* 11,525
2,600 LANDRY'S RESTAURANTS INC 48,620
6,300 LONE STAR STEAKHOUSE & SALOON INC 132,111
3,100 MANDALAY RESORT GROUP* 81,902
4,000 MEDIA GEN INC CL A 219,840
900 MEMBERWORKS INC* 19,737
1,100 MENS WEARHOUSE INC* 18,315
5,800 METHODE ELECTRONICS CL A 60,900
25,500 MICHAELS STORES INC* 796,620
29,200 MOORE CORP LTD* 333,464
24,300 MSC INDL DIRECT CO CL A* 449,550
2,300 NAVIGANT INTL INC* 24,817
2,700 NCO GROUP INC* 45,225
1,600 NORDSTROM INC 27,728
3,800 NU SKIN ENTERPRISES INC 34,200
23,169 O CHARLEYS INC* 468,941
11,700 OFFICEMAX INC* 66,105
2,900 PAPA JOHN'S INTL INC* 68,962
2,900 PATHMARK STORES INC* 20,271
2,200 PEP BOYS - MANNY MOE & JACK 18,832
13,800 PLAYTEX PRODUCTS INC* 101,430
8,100 PRIMEDIA INC* 21,060
1,200 R H DONNELLEY CORP* 35,832
1,000 RARE HOSPITALITY INTL INC* 29,130
2,800 READERS DIGEST ASSN INC CL A 33,600
2,100 REMEDYTEMP INC CL A* 24,570
750 RIGHT MGMT CONSULTANTS INC* 9,375
4,500 ROBERT HALF INTL INC* 73,260
2,700 RR DONNELLEY & SONS CO 54,432
39,500 RUBY TUESDAY INC 778,150
4,500 RUDDICK CORP 59,895
20,300 SAKS INC* 181,685
27,903 SCHOOL SPECIALTY INC* 518,159
31,500 SERVICE CORP INTL* 106,470
</Table>
22
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
11,500 SEVEN-ELEVEN INC* $ 103,385
600 SHOE CARNIVAL INC* 8,730
4,600 SHOPKO STORES INC* 55,338
10,800 SINCLAIR BROADCAST GROUP INC CL A* 114,480
2,900 SIX FLAGS INC* 17,052
11,400 SOTHEBY'S HLDGS INC CL A* 100,206
4,800 SOURCECORP* 75,840
9,900 SPANISH BROADCASTING SYS INC CL A* 75,933
3,500 SPEEDWAY MOTORSPORTS INC 85,085
5,100 SPORTS AUTHORITY INC* 44,013
2,100 STAGE STORES INC* 43,932
2,600 STATION CASINOS INC* 56,186
21,500 STEWART ENTERPRISES INC* 62,995
5,000 TETRA TECH INC* 77,500
21,500 TOMMY HILFIGER CORP* 176,730
3,100 TRANS WORLD ENTERTAINMENT CORP* 11,160
5,900 VALUEVISION MEDIA INC CL A* 74,871
3,100 VOLT INFORMATION SCIENCES INC* 41,013
4,700 WACKENHUT CORRECTIONS CORP* 51,700
1,100 WORLD FUEL SVCS CORP 23,562
2,200 YOUNG BROADCASTING INC CL A* 36,982
4,300 ZOMAX INC* 14,362
--------------
TOTAL CONSUMER SERVICES $ 10,462,266
ENERGY 3.73%
4,400 CABOT OIL & GAS CORP CL A $ 107,800
5,900 CHESAPEAKE ENERGY CORP 47,554
3,700 ENSCO INTL INC 93,980
900 FORREST OIL CORP* 18,702
3,400 GLOBAL INDS LTD* 15,096
32,200 GRANT PRIDECO INC* 367,402
1,200 GULF ISLAND FABRICATION INC* 20,088
2,900 HELMERICH & PAYNE INC 74,617
1,500 HOLLY CORP 42,735
1,400 LACLEDE GROUP INC 33,740
1,100 MOOG INC CL A* 34,980
4,900 NEWFIELD EXPLORATION CO* 168,511
7,300 NUEVO ENERGY CO* 97,820
1,000 NUI CORP 14,070
3,800 OCEANEERING INTL INC* 85,728
700 OFFSHORE LOGISTICS INC* 13,300
1,400 OIL STATES INTL INC* 15,932
5,200 PIEDMONT NAT GAS INC 194,272
9,200 RANGE RESOURCES CORP* 54,372
14,000 SPINNAKER EXPLORATION CO* 299,600
3,900 ST MARY LAND & EXPLORATION CO 99,918
6,500 SWIFT ENERGY CO* 54,080
9,400 TESORO PETROLEUM CORP* 73,038
2,100 TETRA TECHNOLOGIES INC* 55,860
10,200 TOM BROWN INC* 250,104
4,800 VERITAS DGC INC* 32,880
5,500 VINTAGE PETROLEUM INC 53,790
--------------
TOTAL ENERGY $ 2,419,969
FINANCIAL SERVICES 17.08%
2,900 ABC BANCORP $ 40,890
1,600 AMERICAN MEDICAL SECURITY GROUP INC* 27,200
1,600 AMERICAN PHYSICIANS CAP INC* 36,336
1,800 APEX MTG CAPITAL INC 11,772
1,600 ARGONAUT GROUP INC 16,128
2,600 ASTORIA FINL CORP 65,052
4,500 BALDWIN & LYONS INC CL B 103,500
400 BANCFIRST CORP 19,932
18,000 BANK OF HAWAII CORP 593,280
4,900 BANKATLANTIC BANCORP INC CL A 56,448
7,600 BANNER CORP 126,084
11,300 BAY VIEW CAP CORP* 64,749
2,600 BERKSHIRE HILLS BANCORP INC 68,640
400 BOSTONFED BANCORP INC 10,500
900 CENTURY BANCORP INC 23,238
1,600 CHARTER MUNICIPAL MTG ACCEPTANCE CO 30,480
2,200 CNA SURETY CORP 20,196
1,200 COASTAL BANCORP INC $ 36,048
14,848 COMMERCE BANCSHARES INC 561,997
9,600 COMMERCIAL FED CORP 206,592
4,100 COMMUNITY BANK SYS INC 142,065
660 COMMUNITY TRUST BANCORP INC 17,767
3,000 CORUS BANKSHARES INC 129,330
6,100 CREDIT ACCEPTANCE CORP* 47,092
23,300 DELPHI FINL GROUP INC CL A 1,026,365
6,100 E*TRADE GROUP INC* 33,550
4,400 EMC INSURANCE GROUP INC 84,172
5,600 FIRST CHARTER CORP 97,272
1,100 FIRST CITIZENS BANCSHARES INC CL A 106,986
700 FIRST FINANCIAL CORP INDIANA 35,700
1,700 FIRST INDIANA CORP 28,356
8,900 FIRST SOURCE CORP 117,925
2,000 FIRSTFED FINL CORP* 64,980
4,600 FLAGSTAR BANCORP INC 152,260
1,400 FLUSHING FINL CORP 26,740
13,200 FREMONT GENERAL CORP 123,552
2,700 GABELLI ASSET MGMT INC CL A* 84,402
2,100 GBC BANCORP 57,687
2,400 GOLD BANC CORP INC 21,120
3,100 HAWTHORNE FINL CORP* 95,480
2,400 IMPAC MTG HLDGS INC 31,968
33,389 INFINITY PPTY & CASUALTY CORP* 704,508
2,000 INTEGRA BANK CORP 34,060
3,100 INVESTMENT TECH GROUP* 44,299
29,300 ISTAR FINL INC 876,949
6,100 JANUS CAPITAL GROUP INC 84,790
12,200 KNIGHT TRADING GROUP INC* 61,732
4,000 LANDAMERICA FINL GROUP 164,280
600 LENDINGTREE INC* 8,502
500 LIBERTY CORP 22,085
3,400 LOCAL FINL CORP* 51,000
300 MAF BANCORP INC 10,128
12,300 MFA MTG INVESTMENTS INC 115,251
12,300 MPS GROUP INC* 83,025
400 NAVIGATORS GROUP INC* 10,740
4,900 NBT BANCORP INC 89,131
2,800 NETBANK INC 27,944
2,300 NEW CENTURY FINL CORP 84,709
7,300 NYMAGIC INC 160,600
22,000 OCWEN FINL CORP* 78,760
2,800 OHIO CASUALTY CORP* 35,070
2,900 PFF BANCORP INC COM 97,701
1,500 PHILADELPHIA CONSOLIDATED HLDG CO* 58,515
3,000 PMA CAPITAL CORP CL A 25,620
3,100 PMI GROUP INC 95,542
3,700 PRESIDENTIAL LIFE CORP 29,896
3,700 PROVIDENT BANKSHARES CORP 93,980
26,400 PROVIDENT FINL GROUP INC 624,360
10,900 PROVIDENT FINL SERVICES INC* 185,191
2,300 REINSURANCE GROUP OF AMERICA INC 65,895
2,000 REPUBLIC BANCORP INC CL A 26,120
9,000 RIGGS NATIONAL CORP 124,560
500 RLI CORP 14,775
1,100 S&T BANCORP INC 30,305
30,200 SCOTTISH ANNUITY & LIFE HLDGS LTD 534,540
16,139 SELECTIVE INS GROUP INC 404,928
1,700 SIMMONS FIRST NATIONAL CORP CL A 63,988
2,500 SOUTH FINL GROUP (THE) INC 61,250
3,900 ST FRANCIS CAPITAL CORP 97,851
6,100 STATEN ISLAND BANCORP INC 104,676
800 STERLING FINL CORP* 19,112
3,300 STEWART INFORMATION SERVICES CORP* 88,044
7,140 SUN BANCORP INC* 114,526
2,900 SUPERIOR FINL CORP 55,216
5,600 SWS GROUP INC 92,792
9,400 THORNBURY MTG INC 210,560
2,300 UICI CORP* 27,370
1,000 UMB FINL CORP 39,550
5,600 UNITED COMMUNITY FINL CORP 51,184
</Table>
23
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
3,500 UNIZAN FINL CORP $ 60,970
700 W HLDG CO INC 13,783
4,500 WEST COAST BANCORP 69,975
3,000 WESTCORP INC 63,600
300 WFS FINL INC* 6,813
1,300 ZENITH NATIONAL INS CORP 33,475
--------------
TOTAL FINANCIAL SERVICES $ 11,078,057
HEALTH CARE 4.80%
2,500 ALPHARMA INC CL A $ 46,625
1,300 AMYLIN PHARMACEUTICALS INC* 24,895
500 ANALOGIC CORP 23,875
3,800 APPLERA CORP - CELERA GENOMICS GROUP* 39,900
12,400 APRIA HEALTHCARE GROUP INC* 290,780
9,100 BIO-TECHNOLOGY GENERAL CORP* 31,486
1,200 CELL GENESYS INC* 10,704
10,500 CELL THERAPEUTICS INC* 94,500
1,400 CENTENE CORP* 44,849
700 CIMA LABS INC* 16,905
6,800 CONMED CORP* 118,456
4,800 CORIXA CORP* 34,416
500 CV THERAPEUTICS INC* 9,990
600 DATASCOPE CORP 17,159
2,800 EON LABS INC* 85,792
1,700 FIRST HEALTH GROUP CORP* 42,585
2,400 GENE LOGIC INC* 15,864
700 GENESIS HEALTH VENTURES INC* 10,472
1,300 GENTIVA HEALTH SVCS INC 11,882
10,300 HAEMONETICS CORP* 182,619
5,200 HANGER ORTHOPEDIC GROUP INC* 53,612
27,000 HEALTH NET INC* 704,430
3,900 HUMANA INC* 43,095
700 ILEX ONCOLOGY INC* 9,373
1,600 IMCLONE SYS INC* 29,184
1,000 KOS PHARMACEUTICALS INC* 20,400
2,300 LIFEPOINT HOSPS INC* 44,896
6,200 MAXYGEN INC* 50,840
3,400 MEDCATH CORP* 15,266
2,700 MEDQUIST INC* 51,273
1,300 MOLECULAR DEVICES CORP* 16,315
2,200 NATURE'S SUNSHINE PRODS INC 20,834
4,100 NEKTAR THERAPEUTICS* 32,882
2,100 NEUROGEN CORP* 8,127
3,200 OSI PHARMACEUTICALS INC* 67,200
2,600 PACIFICARE HEALTH SYS INC* 82,784
1,000 PEDIATRIX MEDICAL GROUP INC* 31,870
2,700 POZEN INC* 12,258
7,600 PRIME MEDICAL SERVICES INC* 39,140
1,300 PROTEIN DESIGN LABS INC* 12,909
4,400 SEPRACOR INC* 84,260
400 SUNRISE ASSISTED LIVING INC* 10,800
100 SYBRON DENTAL SPECIALTIES INC* 2,035
2,000 TANOX INC* 31,600
2,100 THORATEC CORP* 28,875
8,600 TRIAD HOSPITALS INC* 189,286
1,500 UNITED THERAPEUTICS CORP* 26,923
26,100 US ONCOLOGY INC* 187,398
3,000 VCA ANTECH INC* 50,367
--------------
TOTAL HEALTH CARE $ 3,111,986
REAL ESTATE (PUBLICLY TRADED) 4.09%
2,900 AMLI RESIDENTIAL PROPERTIES REIT $ 65,656
700 ANWORTH MTG ASSET CORP 9,786
800 BEDFORD PROPERTY INVESTORS INC 21,320
15,900 BOYKIN LODGING CO REIT 130,539
7,200 BRANDYWINE REALTY TRUST 160,560
5,800 CAPITAL AUTOMOTIVE 150,162
3,600 COLONIAL PPTYS TRUST 122,436
6,200 CORRECTIONS CORP OF AMERICA* 131,750
1,095 FRIEDMAN BILLINGS RAMSEY GROUP INC CL A 12,023
5,700 GLIMCHER REALTY TRUST 117,762
6,800 HEALTHCARE REALTY TRUST INC 187,204
5,500 HERITAGE PPTY INVESTMENT TRUST $ 139,700
11,300 INSIGNIA FINL GROUP INC* 125,430
6,800 JONES LANG LASALLE INC* 102,476
43,400 LA QUINTA CORP 147,126
6,500 LEXINGTON CORP PPTYS TRUST 112,060
15,900 LTC PPTYS INC 122,430
1,200 MISSON WEST PROPERTIES INC 11,832
9,600 NATIONWIDE HEALTH PPTYS INC 134,400
100 PAN PACIFIC RETAIL PPTYS INC 3,912
6,200 RAIT INVESTMENT TRUST 139,500
1,300 RAMCO-GERSHENSON PPTYS TRUST 29,705
3,300 SHURGARD STORAGE CENTERS INC 107,811
1,300 SIZELER PROPERTY INVESTORS INC REIT 12,870
2,900 SUMMIT PPTYS INC 56,028
7,500 TAUBMAN CENTERS INC 131,325
1,700 TRAMMELL CROW CO* 14,790
1,100 URSTADT BIDDLE PPTYS REIT CL A 13,420
10,200 VENTAS INC 132,600
500 WELLSFORD REAL PPTYS INC* 7,850
--------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 2,654,463
TECHNOLOGY 12.97%
9,229 AEROFLEX INC* $ 49,652
23,500 AGERE SYSTEMS INC* 42,065
4,500 ALLEN TELECOM INC* 60,885
4,600 AMERICAN MNGT SYS INC* 56,580
3,500 AMKOR TECHNOLOGY INC* 26,495
3,900 ANAREN INC* 29,250
12,100 ANDREW CORP* 92,807
5,000 ANIXTER INTL INC* 114,900
1,400 APPLE COMPUTER INC* 19,880
4,700 ARIBA INC* 15,322
2,500 ARRIS GROUP INC* 9,752
6,100 ASCENTIAL SOFTWARE CORP* 23,424
1,200 AVID TECHNOLOGY INC* 32,964
3,900 AVOCENT CORP* 115,518
19,600 AXCELIS TECHNOLOGIES INC* 111,328
10,100 BELL MICROPRODUCTS INC* 46,258
600 BLACK BOX CORP 19,050
31,400 BORLAND SOFTWARE CORP* 284,798
12,400 BROADWING INC* 57,412
7,100 CABLE DESIGN TECHNOLOGIES CORP* 49,061
5,500 CDI CORP* 153,615
27,600 CERIDIAN INC* 385,020
10,800 CIBER INC* 58,644
21,400 CREDENCE SYS CORP* 151,940
3,500 CREE INC* 69,825
2,700 CROWN CASTLE INTL CORP* 17,199
15,400 DUPONT PHOTOMASKS INC* 286,286
21,700 EARTHLINK INC* 149,513
3,600 ELECTRO RENT CORP* 35,928
32,100 ELECTRONICS FOR IMAGING CORP* 616,320
1,500 EXAR CORP* 22,125
21,700 FAIRCHILD SEMICONDUCTOR INTL INC CL A* 257,579
11,300 FEDERAL SIGNAL CORP 195,264
10,900 FILENET CORP* 167,751
17,600 FLEXTRONICS INTL LTD* 154,000
43,100 GLOBESPAN VIRATA INC* 261,617
2,500 HEICO CORP 18,550
3,800 HUTCHINSON TECHNOLOGY INC* 89,832
8,000 IGATE CAP CORP* 21,520
6,400 INFORTE CORP* 40,960
2,900 INSIGHT COMMUNICATIONS INC* 39,817
13,500 INTEGRATED DEVICE TECHNOLOGY INC* 139,455
39,700 INTERWOVEN INC* 75,033
24,000 INTL RECTIFIER CORP* 542,880
8,600 IOMEGA CORP* 79,980
8,500 KEANE INC* 81,940
12,400 KEYNOTE SYS INC* 116,932
3,200 LATTICE SEMICONDUCTOR CORP* 27,776
3,400 LITTELFUSE INC* 66,504
11,600 MAXTOR CORP* 63,800
</Table>
24
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
9,100 MENTOR GRAPHICS CORP* $ 94,822
800 METTLER TOLEDO INTL INC* 28,400
20,800 MICROMUSE INC* 136,053
1,300 MTS SYS CORP 16,303
4,300 NCR CORP* 94,256
2,300 NETFLIX INC* 52,670
1,400 NETIQ CORP* 19,292
2,800 NETRATINGS INC* 17,668
5,600 NETSCOUT SYS INC* 14,616
6,300 NETWORK ASSOCIATES INC* 72,009
29,500 NOVELL INC* 81,125
30,200 OPENWAVE SYSTEMS INC* 52,246
2,100 PAXAR CORP* 21,693
1,400 PC-TEL INC* 12,852
1,700 PER SE TECHNOLOGIES INC* 14,841
1,600 PERICOM SEMICONDUCTOR CORP* 13,568
900 PEROT SYSTEMS CORP CL A* 9,558
4,800 PIONEER STANDARD ELECTRONICS INC 46,512
4,400 POWERWAVE TECHNOLOGIES INC* 17,688
6,400 PTEK HLDGS INC* 28,544
6,400 QUANTUM CORP* 22,080
4,300 REGISTER.COM INC* 24,510
12,300 SAFEGUARD SCIENTIFICS INC* 21,525
700 SANDISK CORP* 16,940
500 SILICONIX INC* 14,125
4,000 SOUTHERN UNION CO* 55,800
600 STANDARD MICROSYSTEMS CORP* 7,596
27,300 SYBASE INC* 349,440
13,000 SYCAMORE NETWORKS INC* 41,990
2,600 SYKES ENTERPRISES INC* 11,804
2,100 TALK AMERICA HOLDINGS INC* 18,459
15,700 TECH DATA CORP* 376,800
10,100 TRANSACTION SYS ARCHITECTS INC CL A* 70,195
400 TRIUMPH GROUP INC* 10,512
2,500 TRIZETTO GROUP INC* 13,500
2,600 TURNSTONE SYS INC* 6,500
18,300 UNISYS CORP* 190,320
4,300 UNITED DEFENSE INDUSTRIES INC* 105,006
4,500 UNITED ONLINE INC* 100,620
1,700 UTSTARCOM INC* 37,011
7,000 VARIAN SEMICONDUCTOR EQUIPMENT ASSOCS INC* 161,350
2,300 VERINT SYS INC* 45,197
2,100 VERITY INC* 34,713
40,600 VIGNETTE CORP* 83,636
8,100 WESTERN DIGITAL CORP* 75,573
3,900 WIRELESS FACILITIES INC* 27,144
--------------
TOTAL TECHNOLOGY $ 8,412,068
TRANSPORTATION 4.39%
9,300 AIRBORNE INC $ 184,698
7,800 ARKANSAS BEST CORP 197,730
8,980 EGL INC* 144,039
11,100 EXPRESSJET HLDGS INC* 128,205
500 HUNT JB TRANSPORTATION SVCS INC* 17,275
7,400 KANSAS CITY SOUTHERN INDS INC* 81,918
2,900 KIRBY CORP* 75,864
12,700 PACER INTL INC* 201,930
13,200 POLARIS INDS PARTNERS INC 697,884
2,000 ROADWAY CORP 74,120
8,700 RYDER SYS INC 216,108
4,000 TRICO MARINE SVCS INC* 7,920
3,700 US FREIGHTWAYS CORP 105,487
1,000 US XPRESS ENTERPRISES INC CL A* 9,250
19,100 WERNER ENTERPRISES INC 431,469
10,300 YELLOW CORP* 275,010
--------------
TOTAL TRANSPORTATION $ 2,848,907
UTILITIES 2.01%
2,800 AGL RES INC $ 72,044
8,100 ATMOS ENERGY CORP 184,518
2,200 BLACK HILLS CORP 62,656
1,500 CENTRAL VERMONT PUBLIC SERVICE 26,535
2,300 CLECO CORP $ 34,500
14,100 DQE INC 191,760
13,200 EL PASO ELECTRIC CO* 149,688
3,400 ENERGEN CORP 111,520
3,300 SOUTH JERSEY INDS INC 115,434
5,350 UGI CORP 169,060
2,100 UNISOURCE ENERGY CORP 37,443
6,500 WESTAR ENERGY INC 91,390
1,500 WESTERN GAS RESOURCES INC 55,020
--------------
TOTAL UTILITIES $ 1,301,568
--------------
TOTAL COMMON STOCK (COST $60,283,621) $ 61,615,512
INDEX FUNDS 1.20%
9,800 ISHARES RUSSELL 2000 INDEX FUND $ 778,022
--------------
TOTAL INDEX FUNDS (COST $778,968) $ 778,022
--------------
TOTAL INVESTMENTS AT VALUE 96.22% (COST $61,062,589) 62,393,534
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 3.78% 2,449,669
--------------
NET ASSETS 100.00% $ 64,843,203
</Table>
See Notes to Financial Statements.
REIT Real Estate Investment Trust
*Non-income producing security.
25
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INTERNATIONAL EQUITY FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
COMMON STOCK 93.11%
AUSTRALIA 2.55%
43,600 ALUMINA LTD $ 118,915
29,974 AMCOR LTD 155,814
25,800 AUSTRALIAN & NEW ZEALAND BANK GROUP 300,996
43,396 BHP BILLITON LTD 245,403
36,800 BRAMBLES INDS LTD 118,554
100,507 DAVID JONES LTD 66,016
13,515 FOODLAND ASSOC LTD 166,550
86,753 FOSTERS GROUP LTD 243,122
48,898 INSURANCE AUSTRALIA GROUP LTD 94,823
55,800 JOHN FAIRFAX HLDGS 106,462
170,455 M.I.M. HLDGS LTD 181,268
8,000 MAYNE GROUP LTD 14,813
9,702 NATIONAL AUSTRALIA BANK LTD 197,245
31,844 NEWS CORP LTD 226,690
119,020 OIL SEARCH LTD* 47,650
150,000 PASMINCO LTD* --
14,400 PUBLISHING & BROADCASTING LTD 79,540
6,000 SONS OF GWALIA LTD 6,944
13,700 WESTPAC BANKING CORP 136,349
69,331 WMC LTD* 173,480
54,700 WOOLWORTHS LTD 442,091
--------------
TOTAL AUSTRALIA $ 3,122,725
AUSTRIA 0.19%
600 BBAG OEST BRAU-BETEILIGUNGS AG $ 61,931
650 ERSTE BANK DER OESTERREICHISCHEN SPARKASSEN AG 51,431
750 FLUGHAFEN WIEN AG 26,165
390 OMV AG 46,832
5,000 TELEKOM AUSTRIA* 51,224
--------------
TOTAL AUSTRIA $ 237,583
BELGIUM 0.41%
550 ALMANIJ NV $ 20,624
6,000 DEXIA 68,768
500 ELECTRABEL 119,858
5,600 FORTIS 93,579
2,500 KBC BANKVERZEKERINGEN 88,443
1,140 SOLVAY 80,533
1,200 UCB SA 33,212
--------------
TOTAL BELGIUM $ 505,017
BRAZIL 0.33%
6,000 CIA VALE DO RIO DOCE ADR $ 167,760
5,800 CIA VALE DO RIO DOCE SPON ADR 153,120
4,100 VOTORANTIM CELULOSE E PAPEL SPON ADR 77,900
--------------
TOTAL BRAZIL $ 398,780
CANADA 0.22%
3,700 BCE INC $ 73,118
19,000 HUDSON'S BAY CO 134,428
1,900 ROTHMANS INC 30,461
3,800 TECK CORP CL B 27,177
--------------
TOTAL CANADA $ 265,184
DENMARK 0.44%
2,400 CARLSBERG A/S CL B $ 87,304
12,539 NOVO NORDISK A/S CL B 454,240
--------------
TOTAL DENMARK $ 541,544
FINLAND 3.26%
16,000 HUHTAMAKI OYJ $ 170,525
7,000 M-REAL OYJ CL B 55,075
14,200 METSO OYJ 134,701
42,000 NOKIA CORP SPON ADR 695,940
141,807 NOKIA OYJ 2,399,170
36,958 UPM-KYMMENE OYJ 540,311
--------------
TOTAL FINLAND $ 3,995,722
FRANCE 8.80%
3,900 ACCOR SA $ 128,526
2,200 AGF-ASSUR GEN DE FRANCE 72,895
2,462 AIR LIQUIDE SA 372,848
4,400 AXA 66,831
1,500 BIC 52,731
25,100 BNP PARIBAS SA 1,178,168
21,600 BOUYGUES 528,395
2,700 CARREFOUR SA 117,424
600 CASINO GUICHARD PERRACHON SA 40,846
438 CHRISTIAN DIOR 15,603
2,000 CIE DE ST-GOBAIN 69,237
29,060 CREDIT AGRICOLE SA 534,787
5,800 ESSILOR INTL SA 237,487
34,640 FRANCE TELECOM SA 798,739
3,650 GROUPE DANONE 516,507
300 IMERYS SA 39,808
3,600 L'OREAL SA 257,327
300 LAFARGE SA 20,155
1,100 LAGARDERE S C A 42,033
1,800 MICHELIN CIE GLE DES ETABL 66,592
5,500 PECHINEY CL A 158,667
17,306 PSA PEUGEOT CITROEN 810,008
12,100 RENAULT SA 523,264
32,400 SANOFI-SYNTHELABO SA 1,932,666
11,900 SCHNEIDER ELECTRIC SA 563,355
1,000 SOPHIA 33,480
12,100 STMICROELECTRONICS NV 250,087
6,400 STMICROELECTRONICS NV (NEW YORK SHARES) 131,776
14,400 SUEZ SA 234,467
550 TECHNIP-COFLEXIP SA 45,053
600 TELEVISION FRANCAISE 16,854
1,850 TOTAL SA 242,590
39,100 VIVENDI UNIVERSAL 637,080
1,378 WENDEL INVESTISSEMENT 36,924
--------------
TOTAL FRANCE $ 10,773,210
GERMANY 6.24%
3,800 ADIDAS-SALOMON AG $ 326,966
2,200 AIXTRON AG 7,439
5,787 ALLIANZ AG VINKULIERT 409,109
4,300 BAYERISCHE MOTOREN WERKE AG 143,340
9,200 BILFINGER & BERGER BAU AG 243,846
12,400 CONTINENTAL AG* 221,830
19,300 DAIMLER CHRYSLER AG 622,471
3,300 DEUTSCHE BK AG 170,661
43,800 DEUTSCHE LUFTHANSA AG* 461,435
121,367 DEUTSCHE TELEKOM AG REGD 1,622,638
3,700 EPCOS AG* 57,148
3,000 FRAPORT AG 59,896
8,400 INFINEON TECHNOLOGIES AG* 62,340
8,100 K&S AG 173,108
3,000 KOLNISCHE RUECKVERSICHERUNGS AG* 247,752
5,900 METRO AG 163,886
5,000 MG TECHNOLOGIES AG* 45,533
9,518 MUENCHENER RUECKVERSICHERUNGS AG REGD 950,677
5,530 REPOWER SYSTEMS AG* 147,807
2,200 SAP AG 225,387
600 SAP AG SPON ADR 15,306
22,187 SIEMENS AG REGD 1,106,060
7,333 SUEDZUCKER AG 124,227
1,600 TUI AG 23,409
--------------
TOTAL GERMANY $ 7,632,271
GREECE 0.01%
2,000 GREEK ORGANIZATION OF FOOTBALL PROGNOSTICS SA $ 18,258
--------------
TOTAL GREECE $ 18,258
HONG KONG 1.82%
31,000 CHEUNG KONG HLDGS $ 171,316
117,000 CHINA MOBILE 234,779
293,000 HANG LUNG PPTYS LTD 253,589
</Table>
26
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
31,200 HANG SENG BANK LTD $ 309,038
149,600 HKR INTL* 24,553
239,000 HONG KONG LAND HLDG 267,680
31,000 HUTCHISON WHAMPOA 172,508
106,000 JOHNSON ELECTRIC HLDGS 114,168
168,000 LI & FUNG 188,484
184,000 NEW WORLD DEVELOPMENT CO 56,032
16,986 SCMP GROUP LTD 6,425
40,000 SHANGHAI INDUSTRIAL HLDG LTD 47,955
17,000 SUN HUNG KAI PPTYS LTD 79,779
24,500 SWIRE PACIFIC LTD CL A 97,069
150,000 SWIRE PACIFIC LTD CL B 95,204
150,000 WHEELOCK & CO LTD 104,820
--------------
TOTAL HONG KONG $ 2,223,399
INDIA 0.23%
6,000 GAIL INDIA LTD GDR 144A** $ 60,260
4,000 HINDALCO INDS LTD GDR 52,153
9,375 ICICI BANK LTD ADR 49,406
5,200 ITC LTD GDR 75,400
2,100 RELIANCE INDS SPON GDR 144A** 24,386
6,300 VIDESH SANCHAR NIGAM LTD GDR REGS 20,475
--------------
TOTAL INDIA $ 282,080
INDONESIA 0.22%
341,538 PT ASTRA INTL INC* $ 119,116
62,000 PT INDONESIAN SATELLITE CORP TBK 62,189
124,000 PT INTL NICKEL INDONESIA TBK 92,927
--------------
TOTAL INDONESIA $ 274,232
IRELAND 0.59%
13,074 ALLIED IRISH BANKS PLC $ 200,621
10,000 BANK OF IRELAND 122,202
25,900 CRH PLC 397,725
--------------
TOTAL IRELAND $ 720,548
ITALY 2.28%
5,000 ALLEANZA ASSICURAZIONI SPA $ 46,760
6,800 ASSICURAZIONE GENERALI 156,253
12,480 BANCA MONTE DEI PASCHI DI SIENA SPA* 34,471
17,000 ENEL SPA 101,690
137,584 ENI SPA 1,960,754
1,500 FIAT SPA 11,417
800 IFI ISTIT FIN INDUSTR SPA PRIV 7,749
17,630 INTESABCI SPA 45,646
4,570 RAS SPA 65,894
1,700 SAN PAOLO-IMI SPA 14,020
9,000 SNAM RETE GAS SPA 32,643
6,000 TELECOM ITALIA MOBILE DI RISP 26,047
11,600 TELECOM ITALIA SPA 94,762
25,700 TELECOM ITALIA SPA DI RISP 126,484
16,000 UNICREDITO ITALIANO SPA 69,996
--------------
TOTAL ITALY $ 2,794,586
JAPAN 14.46%
2,200 ACOM CO LTD 144A** $ 61,798
5,400 ADVANTEST 181,117
29,000 AEON CO LTD 658,980
2,465 AIFUL CORP 92,598
6,000 AISIN SEIKI CO LTD 80,899
8,000 AJINOMOTO CO INC 81,167
10,000 ALPS ELECTRONICS CO LTD 107,915
3,630 ARISAWA MFG CO 84,160
3,100 BANDAI CO 114,892
10,000 BANK OF FUKUOKA LTD 42,680
20,000 CANON INC 808,318
12,000 CHUBU ELECTRIC PWR 241,489
18,900 CHUGAI PHARMACEUTICAL CO LTD 198,097
5,000 CREDIT SAISON CO 94,122
20,000 DAI NIPPON PRINTING CO LTD 194,198
12,000 DAIKIN INDS LTD 199,631
14,000 DAIMARU INC 50,361
46,000 DAIWA SECS GROUP $ 180,899
10,000 DENSO CORP 142,546
26 EAST JAPAN RAILWAY CO 117,726
7,000 FUJI PHOTO FILM LTD 178,434
2,900 HIROSE ELECTRONICS 207,421
26,000 HITACHI LTD 86,768
25,400 HONDA MOTOR CO LTD 841,271
4,400 HOYA CORP 260,104
21,000 ITOCHU CORP 44,021
51,000 JAPAN AIRLINES SYS CORP* 90,659
38 JAPAN TELECOM CO LTD 103,874
9,400 JFE HLDGS INC 113,263
10,000 KANSAI ELECTRIC POWER CO 167,282
22,000 KAO CORP 401,224
114 KDDI CORP 346,034
770 KEYENCE CORP 123,771
4,000 KIRIN BEVERAGE CORP 64,296
20,000 KONICA CORP 182,962
2,100 KOSE CORP 66,560
1,600 KYOCERA CORP 78,081
5,000 MATSUSHITA ELECTRIC INDL CO LTD 39,829
22,000 MITSUBISHI CORP 130,790
48,000 MITSUBISHI ELECTRIC CORP 124,367
20,500 MITSUBISHI ESTATE CO LTD 119,982
133,000 MITSUBISHI HEAVY IND CO LTD 295,531
85,000 MITSUBISHI MOTOR CORP* 181,033
15,000 MITSUBISHI RAYON CO 34,337
18 MITSUBISHI TOKYO FINL GROUP INC 60,976
59,000 MITSUI FUDOSAN 317,609
25,000 MITSUI SUMITOMO INSURANCE CO 117,391
10,500 MURATA MANUFACTURING CO LTD 374,182
62,000 NEC CORP* 193,912
75,000 NIKKO CORDIAL CORP 201,241
16,000 NIPPON OIL CORP 63,726
180 NIPPON TEL & TEL CORP 630,890
110,000 NISSAN MOTOR CO 843,954
3,000 NISSIN FOOD PRODUCTS 65,403
7,000 NITTO DENKO CORP 201,325
24,000 NOMURA HLDGS INC 237,666
19,000 NTN CORP 72,648
202 NTT DOCOMO INC 416,669
5,000 OMRON CORP 80,496
8,100 ORIX CORP 370,158
11,000 RICOH CORP LTD 168,699
2,500 RINNAI CORP 54,503
4,600 ROHM CO 474,040
13,000 SANKYO CO 188,362
5,000 SEINO TRANSPORTATION CO LTD 29,515
36,000 SEKISUI HOUSE 264,431
3,000 SHIMACHU CO 49,581
2,200 SHIMAMURA 121,751
31,000 SHIONOGI & CO 368,070
5,000 SHISEIDO CO LTD 45,657
5,000 SHOWA CORP 46,579
12,700 SONY CORP 308,821
14,000 SUMITOMO TRUST & BKG CO 39,678
40,000 SUZUKI MOTOR CORP 473,587
6,000 TAIYO YUDEN CO 45,732
26,100 TAKEDA CHEMICAL INDS LTD 956,373
3,000 TANABE SEIYAKU CO 19,722
6,500 TDK CORP 225,641
5,000 TOKYO BROADCASTING SYS INC 58,653
6,600 TOKYO ELECTRIC POWER CO INC (THE) 133,926
16,200 TOKYO ELECTRON 607,194
20,000 TOKYO GAS 65,068
33,000 TOKYU CORP 89,376
63,000 TORAY INDS INC 152,138
2,000 TOSTEM INAX HLDG CORP 21,332
7,000 USHIO ELECTRIC 78,652
17 WEST JAPAN RAILWAY CO 53,027
6 YAHOO JAPAN CORP* 67,416
5,200 YAMAHA CORP 58,819
</Table>
27
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
3,000 YAMANOUCHI PHARMACEUTICAL CO $ 75,717
8,000 YAMATO TRANSPORT CO LTD 89,485
--------------
TOTAL JAPAN $ 17,695,278
LUXEMBOURG 0.09%
18,600 SOCIETE EUROPEENNE SATELLITE $ 108,977
--------------
TOTAL LUXEMBOURG $ 108,977
MALAYSIA 0.02%
20,000 MAXIS COMMUNICATIONS BERHAD $ 27,632
--------------
TOTAL MALAYSIA $ 27,632
MEXICO 0.90%
16,300 AMERICA MOVIL SA DE CV $ 273,351
5,000 COCA COLA FEMSA SA DE CV SPON ADR SER L 106,250
45,000 GRUPO FINANCIERO BBVA BANCOMER SA DE CV CL B* 39,132
22,700 TELEFONOS DE MEXICO SA CL L SPON ADR 685,767
--------------
TOTAL MEXICO $ 1,104,500
NETHERLANDS 8.38%
44,530 ABN AMRO HLDGS NV $ 752,390
79,794 AEGON NV 811,246
1,900 AKZO NOBEL NV 42,238
2,600 ASML HLDGS NV* 22,458
11,500 ASML HLDGS NV (NEW YORK SHARES)* 101,315
2,000 HAGEMEYER NV 9,687
22,150 HEINEKEN NV 822,414
94,057 ING GROEP NV CVA (SHARE CERTIFICATES) 1,527,279
2,472 KONINKLIJKE AHOLD NV 11,311
99,400 KONINKLIJKE KPN NV* 661,145
14,800 KONINKLIJKE NUMICO NV 138,080
67,081 KONINKLIJKE PHILIPS ELECTRS NV 1,247,956
200 KONINKLIJKE PHILIPS ELECTRS NV SPON ADR 3,736
5,832 KONINKLIJKE VENDEX KBB NV 57,275
1,500 KONINKLIJKE VOPAK NV 17,058
3,600 LAURUS NV* 4,982
51,019 ROYAL DUTCH PETROLEUM CO 2,086,749
7,000 ROYAL DUTCH PETROLEUM CO (NEW YORK SHARES) 286,160
1,500 TNT POST GROEP NV 23,403
19,719 UNILEVER NV CVA (SHARE CERTIFICATES) 1,242,261
750 UNIVAR NV* 5,223
11,658 VNU NV 338,269
700 WERELDHAVE NV 40,310
--------------
TOTAL NETHERLANDS $ 10,252,945
NEW ZEALAND 0.62%
116,000 AIR NEW ZEALAND* $ 27,900
110,000 CARTER HOLT HARVEY LTD 100,291
29,000 LION NATHAN LTD 102,496
198,221 TELECOM CORP OF NEW ZEALAND 531,091
--------------
TOTAL NEW ZEALAND $ 761,778
NORWAY 1.30%
7,500 EKORNES ASA $ 100,746
8,700 NORSK HYDRO ASA 368,001
11,400 NORSKE SKOGINDUSTRIER 156,392
11,000 PROSAFE ASA* 185,487
23,000 SMEDVIG ASA SER A 112,407
14,200 SMEDVIG ASA SER B 58,847
77,300 STATOIL ASA 613,071
--------------
TOTAL NORWAY $ 1,594,951
PORTUGAL 0.13%
21,400 PORTUGAL TELECOM SA $ 153,086
--------------
TOTAL PORTUGAL $ 153,086
SINGAPORE 1.30%
68,200 ALLGREEN PPTYS $ 30,920
17,000 DBS GROUP HLDGS LTD 83,296
59,000 DBS GROUP HLDGS LTD REG D ADR 144A** 289,088
64,000 JARDINE STRATEGIC HLDGS LTD 160,000
100,000 MOBILEONE LTD 70,962
29,000 SINGAPORE AIRLINES $ 154,342
40,000 SINGAPORE LAND 75,693
126,000 SINGAPORE TECHNOLOGIES ENGINEERING 113,539
581,000 SINGAPORE TELECOM LTD 144A** 474,459
120,000 SMART CORP LTD 34,805
13,000 VENTURE MFG SINGAPORE LTD 108,358
--------------
TOTAL SINGAPORE $ 1,595,462
SOUTH AFRICA 0.20%
15,000 LIBERTY GROUP LTD $ 96,890
550,000 MARRIOTT PPTY FUND 143,617
--------------
TOTAL SOUTH AFRICA $ 240,507
SOUTH KOREA 0.96%
5,730 KOREA ELECTRIC POWER CORP $ 96,443
16,000 KT CORP SPON ADR 324,160
7,000 SAMSUNG CO 36,815
400 SAMSUNG ELECTRONICS CO LTD 100,412
4,955 SAMSUNG ELECTRONICS CO LTD GDR 621,924
--------------
TOTAL SOUTH KOREA $ 1,179,754
SPAIN 3.37%
1,000 ACS ACTIVIDADES DE CONSTRUCCION $ 37,665
8,180 ALTADIS SA SER A 210,877
85,100 BANCO BILBAO VIZCAYA ARGENTARIA SA 856,644
500 BANCO POPULAR ESPANOL 24,240
89,589 BANCO SANTANDER CENTRAL HISPANO SA 703,869
11,300 ENDESA SA 160,283
4,600 GAS NATURAL SDG SA 88,041
31,191 IBERDROLA SA 502,296
24,100 INDITEX 480,355
5,000 NH HOTELES SA* 44,919
3,000 RED ELECTRICA DE ESPANA 35,656
24,700 REPSOL YPF SA 359,726
50,145 TELEFONICA SA* 554,582
4,500 UNION ELECTRICA FENOSA 62,624
--------------
TOTAL SPAIN $ 4,121,777
SWEDEN 1.44%
32,900 ASSA ABLOY AB CL B $ 313,728
10,500 AUTOLIV INC SDR 256,733
16,500 BILLERUD AB 218,865
95,500 ERICSSON (L M) TELEFONAKTIEBOLAGET SER B* 86,981
28,600 FORENINGSSPARBANKEN A 388,107
10,700 PERBIO SCIENCE AB 139,314
19,400 SAAB AB 243,102
7,400 SVENSKA HANDELSBANKEN AB CL A 117,608
--------------
TOTAL SWEDEN $ 1,764,438
SWITZERLAND 8.24%
1,300 ABB LTD* $ 3,997
30 BANK SARASIN & COMPAGNIE SA B 34,284
125 CENTERPULSE REG* 27,326
42,680 CIE FINCANC RICHEMONT 630,933
70,349 CREDIT SUISSE GROUP 1,680,533
150 FORBO HLDGS AG 46,450
300 GEBERIT AG* 94,448
20 GRANDS MAGASINS JELMOLI 12,652
100 GRANDS MAGASINS JELMOLI REG 12,755
3,060 HOLCIM LTD CL B 574,187
500 LONZA GROUP AG 30,358
4,870 NESTLE SA 992,815
27,814 NOVARTIS AG 1,097,139
4,550 ROCHE HOLDING AG 289,512
300 SULZER AG REG 36,994
14,247 SWISS RE 930,682
4,351 SWISSCOM AG 1,345,753
177 SYNTHES-STRATEC INC 111,579
32,071 UBS AG 1,521,617
460 VALORA HLDG AG 82,585
4,962 ZURICH FINANCIAL SVCS AG 523,163
--------------
TOTAL SWITZERLAND $ 10,079,762
</Table>
28
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
TAIWAN 0.27%
9,000 ASUSTEK COMPUTER INC $ 17,556
9,360 COMPAL ELECTRONICS GDR 144A* ** 50,478
36,500 TAIWAN CEMENT CORP* 10,470
18,924 TAIWAN SEMICONDUCTOR MFG SPON ADR 158,394
140,000 UNITED MICROELECTRONICS CORP* 80,321
4,000 UNITED MICROELECTRONICS CORP ADR* 12,960
--------------
TOTAL TAIWAN $ 330,179
THAILAND 0.21%
34,000 ELECTRICITY GENER $ 32,913
20,000 PTT EXPLORATION & PRODUCTION ALIEN MKT 52,251
57,000 SHIN CORP PLC 19,279
50,000 SIAM CEMENT PCL 148,122
--------------
TOTAL THAILAND $ 252,565
UNITED KINGDOM 23.63%
47,708 ABBEY NATIONAL $ 338,928
10,000 ALLIED DOMECQ PLC 56,099
47,287 ANGLO AMERICAN PLC 677,165
41,400 ARM HLDGS PLC* 42,347
89,831 ASTRAZENECA PLC 3,543,550
2,900 ASTRAZENECA PLC SPON ADR 115,623
9,500 AVIVA PLC 66,807
54,623 BAA PLC 421,665
239,650 BAE SYS PLC 486,436
70,824 BARCLAYS PLC 489,283
130,600 BG GROUP PLC 522,350
57,573 BHP BILLITON PLC 294,451
13,500 BOC GROUP PLC 170,238
6,200 BOOTS GROUP PLC 56,730
29,000 BP PLC 183,775
26,000 BRAMBLES INDS PLC 77,291
83,896 BRITISH AMERICAN TOBACCO INDS PLC 804,521
66,185 BRITISH SKY BROADCASTING PLC* 685,984
45,900 BT GROUP PLC 131,497
6,800 BUNZL PLC 48,961
3,500 CADBURY SCHWEPPES PLC 19,495
66,800 CENTRICA PLC 177,494
22,700 COMPASS PLC 104,487
56,211 DIAGEO PLC 623,484
15,000 DIXONS GROUP PLC 26,671
11,468 FKI PLC 13,609
12,700 GALLAHER GROUP 120,264
22,477 GLAXOSMITHKLINE PLC 450,485
9,200 GREAT UNIVERSAL STORES PLC 85,025
9,000 HANSON PLC 50,417
35,000 HAYS PLC 46,709
166,805 HBOS PLC 1,954,149
182,795 HSBC HLDGS PLC 2,002,703
11,118 IMPERIAL CHEMICAL INDS 23,056
9,100 IMPERIAL TOBACCO GROUP PLC 152,276
5,085 INTERCONTINENTAL HOTELS GROUP* 30,883
18,000 INTERNATIONAL POWER PLC* 32,221
9,000 JOHN WOOD GROUP PLC 22,403
45,000 KIDDE PLC 51,783
109,688 KINGFISHER PLC 428,630
65,680 LEGAL & GENERAL GROUP PLC 81,354
22,000 LLOYDS TSB GROUP PLC 144,690
1,680 LONMIN PLC 18,661
42,857 MARKS & SPENCER PLC 199,666
5,085 MITCHELLS & BUTLERS PLC* 17,229
779,114 MM02 PLC* 694,210
77,075 NATIONAL GRID GROUP PLC 506,291
13,000 P&O STEAM NAVIGATION CO 40,100
68,000 PEARSON PLC 566,771
67,128 PRUDENTIAL PLC 410,910
9,000 RANK GROUP 34,774
6,600 RECKITT BENCKISER PLC 116,402
26,400 RENTOKIL INITIAL PLC 78,902
69,100 REUTERS GROUP PLC 149,093
2,000 RMC GROUP PLC 12,786
209,774 ROYAL & SUN ALLIANCE INSURANCE GROUP $ 366,284
79,441 ROYAL BANK OF SCOTLAND GROUP PLC 2,083,522
15,000 SABMILLER PLC 103,327
8,000 SCOTTISH & NEWCASTLE PLC 45,710
9,000 SCOTTISH & SOUTHERN ENERGY 92,491
90,399 SCOTTISH POWER 561,667
10,000 SEVERN TRENT 114,275
30,300 SHELL TRANS & TRDG PLC 181,480
49,100 SMITHS GROUP PLC 524,992
90,110 STANDARD CHARTERED PLC 1,005,248
150,548 TESCO PLC 476,414
24,671 TOMKINS PLC 83,593
7,500 TRINITY MIRROR 52,143
38,500 UNILEVER PLC 378,426
10,000 UNITED UTILITIES PLC 96,055
7,200 VIRIDIAN GROUP PLC 59,408
1,939,316 VODAFONE GROUP PLC 3,827,897
800 VODAFONE GROUP PLC SPON ADR 15,808
4,000 WOLSELEY PLC 38,678
12,600 XSTRATA PLC 112,068
--------------
TOTAL UNITED KINGDOM $ 28,921,270
--------------
TOTAL COMMON STOCK (COST $126,362,107) $ 113,970,000
CORPORATE DEBT 1.13%
JAPAN 0.28%
JPY 60,000,000 SMFG FINANCE CO 144A 2.250% 07/11/2005** $ 343,367
--------------
TOTAL JAPAN $ 343,367
SWITZERLAND 0.85%
CHF 42,000 CREDIT SUISSE GROUP FINANCE GRN 6.000% 12/23/2005 $ 32,407
JPY 117,700,000 UBS AG 0.000% 03/13/2006 1,009,145
--------------
TOTAL SWITZERLAND $ 1,041,552
--------------
TOTAL CORPORATE DEBT (COST $1,490,848) $ 1,384,919
PREFERRED STOCK 0.45%
AUSTRALIA 0.02%
3,631 NEWS CORP LTD PFD $ 21,442
--------------
TOTAL AUSTRALIA $ 21,442
GERMANY 0.42%
7,000 BAYERISCHE MOTOREN WERKE AG PFD* $ 159,365
10,000 RHEINMETAL AG PFD 157,356
7,900 VOLKSWAGEN AG PFD 201,455
--------------
TOTAL GERMANY $ 518,176
ITALY 0.01%
2,200 FIAT SPA PFD $ 9,624
--------------
TOTAL ITALY $ 9,624
--------------
TOTAL PREFERRED STOCK (COST $491,352) $ 549,242
--------------
TOTAL INVESTMENTS AT MARKET VALUE 94.69% (COST $128,344,307) 115,904,161
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 5.31% 6,494,669
--------------
NET ASSETS 100.00% $ 122,398,830
</Table>
29
<Page>
<Table>
<Caption>
INDUSTRY SECTOR BREAKDOWN % OF TOTAL INVESTMENTS
- -------------------------------------------------------------------------------------------
FINANCIAL SERVICES 24.07%
TECHNOLOGY 18.67
CAPITAL GOODS 9.54
HEALTH CARE 9.06
CONSUMER DURABLES 8.90
CONSUMER NON-DURABLES 8.45
ENERGY 6.33
BASIC INDUSTRIES 4.72
CONSUMER SERVICES 3.46
UTILITIES 3.27
REAL ESTATE (PUBLICLY TRADED) 1.44
TRANSPORTATION 1.17
TELECOMMUNICATIONS 0.66
OTHER 0.26
----------------------------------------------------------------------------
TOTAL 100.00%
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF COST ON APPRECIATION
DATE FOR USD CURRENCY ORIGINATION DATE VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------------
Buys
5/02/03 JPY 6,955,495 $ 57,770 $ 58,322 $ 552
5/05/03 EUR 8,405 9,191 9,379 188
6/27/03 JPY 30,159,360 251,464 253,400 1,936
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL $ 2,676
Sales
5/01/03 CAD 155,864 $ 108,503 $ 108,646 $ (143)
5/01/03 GBP 9,102 14,455 14,548 (93)
5/01/03 JPY 259,200 2,151 2,173 (22)
5/02/03 AUD 158,000 98,608 98,837 (229)
5/02/03 CHF 1,239 903 914 (11)
5/02/03 EUR 104,442 115,312 116,558 (1,246)
5/02/03 GBP 23,099 36,691 36,918 (227)
5/05/03 EUR 5,211 5,699 5,815 (116)
5/05/03 HKD 570,000 73,083 73,084 (1)
5/05/03 SGD 10,025 5,642 5,646 (4)
5/20/03 JPY 100,000,000 832,639 839,062 (6,423)
5/30/03 EUR 1,350,000 1,486,350 1,505,113 (18,763)
6/27/03 JPY 30,159,360 252,000 253,400 (1,400)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL $ (28,678)
</Table>
CROSS CURRENCY FORWARD CONTRACTS
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
EXCHANGE DATE THROUGH CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------
5/09/03 (1,650,000) GBP 2,423,014 EUR $ 67,426
5/27/03 (679,239) EUR 86,039,260 JPY (35,254)
5/27/03 (86,039,260) JPY 676,021 EUR 31,666
6/04/03 (2,739,825) MXN 226,194 EUR (12,805)
6/09/03 (25,581,080) JPY 207,723 EUR 16,710
7/14/03 (484,586) CHF 511,976 CAD (2,619)
7/17/03 (53,889,700) JPY 661,142 CAD 5,773
9/12/03 (7,888,680) JPY 61,950 EUR 2,385
9/30/03 (136,571,820) JPY 1,077,915 EUR 45,946
10/16/03 (2,499,232) HKD 305,934 EUR 19,545
- -----------------------------------------------------------------------------------------------------------
TOTAL $ 138,773
</Table>
See Notes to Financial Statements.
ADR American Depository Receipt
GDR Global Depository Receipt
SPON ADR Sponsored American Depository Receipt
SPON GDR Sponsored Global Depository Receipt
*Non-income producing security.
**Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2003, these
securities amounted to $1,303,836 or 1.1% of net assets.
Currency Code Key
AUD AUSTRALIAN DOLLAR
CAD CANADIAN DOLLAR
CHF SWISS FRANC
EUR EURO
GBP UK POUND
HKD HONG KONG DOLLAR
JPY JAPANESE YEN
MXN MEXICAN NEW PESO
SGD SINGAPORE DOLLAR
30
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE PLUS BOND FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 5.50%
25,000 AMERICAN AIRLINES INC 99-1 CL A2
7.024% 10/15/2009 $ 20,965
320,000 BAYVIEW FINANCIAL ACQUISITION TRUST 20-FA CL A IO
144A 14.000% 06/25/2005* 56,400
745,071 CDC MORTGAGE CAPITAL TRUST 02-HE3 CL A (FRN)
1.810% 03/25/2033 747,855
704,109 CENTEX HOME EQUITY TRUST 02-D CL AV (FRN)
1.760% 12/25/2032 705,797
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-C1 CL C1
(STEP BOND) 2.610% 02/09/2009 199,125
1,100,000 CONSECO FINANCE SECS CORP 00-6 CL A5
(STEP BOND) 7.270% 09/01/2032 1,068,963
661,220 COUNTRYWIDE ASSET BACKED CERT 02-BC1 CL A
(STEP BOND) 1.650% 04/25/2032 661,382
550,742 COUNTRYWIDE HOME EQUITY LOAN TRUST 02-F CL A
(FRN) 1.660% 11/15/2028 551,818
270,000 DAIMLER CHRYSLER MASTER OWNER TRUST 02-A CL A
(FRN) 1.370% 05/16/2005 270,164
390,707 EQCC TR 02-1 CL 2A (FRN) 1.620% 11/25/2031 391,069
146,894 GREEN TREE FINL CORP 92-2 CL B
9.150% 01/15/2018 119,422
149,310 HANAREUM INTL FDG LTD 1A CL 1 144A (FRN)
1.530% 12/14/2011* 149,155
489,207 LONG BEACH MTG LOAN TRUST 01-2 CL A2
(STEP BOND) 1.585% 07/25/2031 488,902
238,338 MERRILL LYNCH MTG INVESTORS 02-AFC1 CL AF1
(FRN) 1.550% 07/25/2016 238,371
58,828 NEXTCARD CREDIT CARD MASTER TRUST 01-1 CL A
144A (FRN) 1.610% 04/16/2007* 58,929
800,000 NISSAN AUTO RECEIVABLES OWNER TRUST 02-B CL A3
3.990% 12/15/2005 818,899
100,000 PEGASUS AVIATION LEASE SECURITIZATION 00-1 CL A2
144A 8.370% 03/25/2030* 50,203
375,000 SEARS CREDIT ACCOUNT MASTER TRUST 02-5 (FRN)
1.690% 11/17/2009 375,282
174,582 SLM STUDENT LOAN TRUST 01-3 CL A1L (FRN)
1.360% 04/25/2010 174,674
296,784 SLM STUDENT LOAN TRUST 01-4 CL A1 (FRN)
1.370% 01/25/2011 297,186
400,000 STANDARD CREDIT CARD MASTER TR 95-1 CL A
8.250% 01/07/2007 442,911
237,057 XEROX EQUIPMENT LEASE OWNER TRUST 01-1 CL A
144A (FRN) 3.310% 02/15/2008* 237,728
--------------
TOTAL ASSET BACKED SECURITIES (COST $8,169,646) $ 8,125,200
COLLATERALIZED MORTGAGE OBLIGATIONS 3.27%
PRIVATE LABEL CMO'S 3.00%
201,444 AMORTIZING RESIDENTIAL COLLATERAL TRUST 02-
BC1M CL A (FRN) 1.585% 01/01/2032 $ 201,129
200,000 BANK OF AMERICA MTG SEC INC SER 98-6 CL A4
6.250% 12/26/2028 204,599
8,700,000 BEAR STEARNS COMMERCIAL MTG SECS 02-HOME
CL X1 IO 144A 1.594% 12/03/2013* 95,317
200,000 CAPCO AMERICA SEC 98-D7 CL A1B 6.260% 10/15/2030 224,765
439,376 COMMERCIAL MTG ACCEP CORP 97-ML1 CL A4
6.735% 12/15/2030 481,409
600,000 CRIMI MAE COMMERCIAL MTG TRUST 98-C1 CL A2
144A 7.000% 06/02/2033* 668,424
250,000 DLJ COMMERCIAL MTG CORP SER 00-CKP1 CL A1B
7.180% 08/10/2010 292,257
250,000 GMAC COMM MTG SECS INC 99-C2 CL A2
6.945% 09/15/2033 288,433
727,431 IMPAC CMB TRUST 02-1 CL A1 (FRN) 1.640% 03/25/2032 728,056
157,057 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.640% 05/25/2033 157,057
325,000 MORGAN STANLEY CAPITAL I 99-FNV1 CL A2
6.530% 03/15/2031 368,630
500,000 STRUCTURED ASSET SEC CORP 96-CFL CL G
7.750% 02/25/2028 576,150
20,570 WASHINGTON MUTUAL 00-1 CL A1 (FRN)
1.610% 06/25/2024 20,572
122,688 WASHINGTON MUTUAL 02-MS12 CL A
6.500% 05/25/2032 $ 126,147
--------------
TOTAL PRIVATE LABEL CMO'S $ 4,432,945
U.S. AGENCY CMO'S 0.27%
383,032 FHLMC 2277 CL B 7.500% 01/15/2031 $ 403,626
--------------
TOTAL U.S. AGENCY CMO'S $ 403,626
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $4,853,572) $ 4,836,571
CORPORATE DEBT 27.80%
BANKING & FINANCE 8.98%
70,000 AMERICAN GENERAL CORP TREASURY SECURITIES
8.500% 07/01/2030 $ 92,974
600,000 ARCEL FINANCE LTD SECD 144A 5.984% 02/01/2009* 638,598
175,000 ASIF GLOBAL FINANCING XVII SR NTS 144A
3.850% 11/26/2007* 178,337
20,000 BANK OF AMERICA CORP SR NTS 3.875% 01/15/2008 20,604
270,000 BANK OF AMERICA CORP SUB 7.400% 01/15/2011 324,132
20,000 BANK OF AMERICA CORP SUB NTS 7.800% 02/15/2010 24,326
250,000 BANK ONE CORP SUB NTS 7.875% 08/01/2010 304,875
190,000 BARCLAYS BANK PLC BDS 144A 8.550% 09/15/2049++* 238,306
400,000 BOEING CAPITAL CORP 7.375% 09/27/2010 454,628
50,000 CHASE MANHATTAN CORP SUB NTS
7.125% 06/15/2009 58,092
160,000 CIT GROUP INC 6.500% 02/07/2006 173,117
20,000 CITIGROUP INC 5.875% 02/22/2033 20,526
165,000 CITIGROUP INC GBL SR NTS 5.750% 05/10/2006 180,610
90,000 CITIGROUP INC GBL SR NTS 3.500% 02/01/2008 90,896
290,000 CITIGROUP INC GBL SR NTS 6.000% 02/21/2012 323,052
115,000 CITIGROUP INC SR NTS 6.750% 12/01/2005 127,976
275,000 CITIGROUP INC SUB NTS 7.250% 10/01/2010 326,009
100,000 CITIGROUP INC SUB NTS 5.625% 08/27/2012 107,926
15,000 CREDIT SUISSE FIRST BOSTON USA INC
7.125% 07/15/2032 17,449
140,000 CREDIT SUISSE FIRST BOSTON USA INC GBL SR NTS
4.625% 01/15/2008 146,773
35,000 CREDIT SUISSE FIRST BOSTON USA INC NTS 6.125%
11/15/2011 38,007
460,107 DRYDEN INVESTOR TRUST BDS 144A
7.157% 07/23/2008* 493,465
140,000 EUROPEAN INVESTMENT BANK 5.625% 01/24/2006 152,969
60,000 FLEETBOSTON FINANCIAL CORP MTN NTS 4.200%
11/30/2007 62,114
610,000 FORD MOTOR CR CO 7.450% 07/16/2031 542,920
250,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.875% 06/15/2010 258,865
60,000 FORD MOTOR CREDIT CO 6.875% 02/01/2006 62,070
255,000 FORD MOTOR CREDIT CO GBL LANDMARK BDS
7.375% 10/28/2009 260,466
210,000 FORD MOTOR CREDIT CO GBL LANDMARK BDS
7.375% 02/01/2011 212,887
90,000 FORD MOTOR CREDIT CO NTS 5.800% 01/12/2009 85,670
25,000 GENERAL ELECTRIC CAP CORP MTN NTS
6.500% 12/10/2007 28,412
310,000 GENERAL ELECTRIC CAP CORP MTN NTS
6.125% 02/22/2011 345,106
55,000 GENERAL ELECTRIC CAP CORP MTN NTS
5.875% 02/15/2012 60,155
155,000 GENERAL ELECTRIC CAP CORP MTN NTS
6.000% 06/15/2012 171,038
170,000 GENERAL MTRS ACCEP CORP 7.750% 01/19/2010 183,356
135,000 GENERAL MTRS ACCEP CORP 6.875% 09/15/2011 137,590
500,000 GENERAL MTRS ACCEP CORP MTN (FRN)
2.049% 01/20/2004 498,860
115,000 GOLDMAN SACHS GROUP INC 6.875% 01/15/2011 132,223
400,000 GOLDMAN SACHS GROUP INC 6.600% 01/15/2012 450,968
300,000 HELLER FINL INC NTS 8.000% 06/15/2005 336,141
120,000 HOUSEHOLD FINANCE CORP 4.625% 01/15/2008 125,220
100,000 HOUSEHOLD FINANCE CORP 6.400% 06/17/2008 112,179
185,000 HOUSEHOLD FINANCE CORP 6.500% 11/15/2008 206,371
60,000 HOUSEHOLD FINANCE CORP 8.000% 07/15/2010 72,214
</Table>
31
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
5,000 HOUSEHOLD FINANCE CORP 6.375% 08/01/2010 $ 5,470
80,000 HOUSEHOLD FINANCE CORP 7.000% 05/15/2012 91,623
115,000 HOUSEHOLD FINANCE CORP 6.375% 11/27/2012 126,868
140,000 JP MORGAN CHASE & CO GBL SUB NTS
5.750% 01/02/2013 148,753
40,000 JP MORGAN CHASE & CO SUB NTS 6.750% 02/01/2011 45,549
340,000 JP MORGAN CHASE & CO SUB NTS 6.625% 03/15/2012 383,446
20,000 LABRANCHE & CO SR NTS 9.500% 08/15/2004 21,200
195,000 LEHMAN BROS HLDG INC NTS 6.250% 05/15/2006 216,149
100,000 LEHMAN BROS HLDG INC NTS 8.250% 06/15/2007 118,794
50,000 METLIFE INC SR NTS 6.500% 12/15/2032 55,462
50,000 MORGAN STANLEY 6.100% 04/15/2006 54,854
100,000 MORGAN STANLEY 5.800% 04/01/2007 109,001
360,000 MORGAN STANLEY 6.750% 04/15/2011 409,027
55,000 MORGAN STANLEY 5.300% 03/01/2013 57,084
50,000 OSPREY TRUST/OSPREY I 144A 7.797% 01/15/2049*# 7,250
25,000 OSPREY TRUST/OSPREY I 144A 8.310% 01/15/2049*# 3,625
220,000 PDVSA FINANCE LTD 8.500% 11/16/2012 180,400
20,000 PDVSA FINANCE LTD 7.400% 08/15/2016 14,200
170,000 PETROZUATA FINANCE INC 144A 8.220% 04/01/2017* 126,650
200,000 PRUDENTIAL FDG LLC NTS 6.600% 05/15/2008 226,114
115,000 SEARS ROEBUCK ACCEPTANCE CORP 6.700% 04/15/2012 121,581
25,000 SOVEREIGN BANCORP INC 10.500% 11/15/2006 30,250
460,000 SPRINT CAP CORP 8.375% 03/15/2012 511,750
170,000 SUMITOMO MITSUI BANK NY SUB NTS
8.000% 06/15/2012 202,018
35,000 SUN LIFE CANADA US CAPITAL 144A
8.526% 05/29/2049* 40,139
140,000 US BANCORP NTS MTN 3.125% 03/15/2008 138,554
90,000 US BANCORP SR NTS MTN 3.950% 08/23/2007 92,800
290,000 VERIZON GLOBAL FDG CORP 7.250% 12/01/2010 339,102
75,000 VERIZON GLOBAL FDG CORP 7.750% 12/01/2030 92,607
10,000 VERIZON GLOBAL FDG CORP 7.750% 06/15/2032 12,365
120,000 VERIZON GLOBAL FDG CORP CV 0.000% 05/15/2021 70,950
300,000 WELLS FARGO FINANCIAL INC 5.875% 08/15/2008 336,612
--------------
TOTAL BANKING & FINANCE $ 13,268,719
BASIC INDUSTRIES 1.93%
11,000 ABITIBI-CONSOLIDATED INC 8.500% 08/01/2029 $ 11,752
25,000 AINSWORTH LUMBER CO LTD SR SECD NTS
13.875% 07/15/2007 27,875
250,000 AK STEEL CORP 7.875% 02/15/2009 221,875
55,000 AK STEEL CORP GTD SR NTS 7.750% 06/15/2012 48,056
15,000 ALLIED WASTE INDS INC NTS 144A
9.250% 09/01/2012* 16,425
150,000 ALLIED WASTE NORTH AMER INC 8.875% 04/01/2008 162,000
120,000 ALLIED WASTE NORTH AMER INC 10.000% 08/01/2009 128,250
38,000 AMERICAN STANDARD INC 7.375% 04/15/2005 39,710
40,000 AMERICAN STANDARD INC 8.250% 06/01/2009 43,600
7,000 BALL CORP SR NT 6.875% 12/15/2012 7,367
55,000 BRIGGS & STRATTON CORP 8.875% 03/15/2011 61,600
23,000 CASCADES INC 144A 7.250% 02/15/2013* 24,265
75,000 DOW CHEMICAL CO NTS 5.970% 01/15/2009 81,239
80,000 DOW CHEMICAL CO NTS 7.375% 11/01/2029 90,672
13,000 FMC CORP SR SECURED NT 144A
10.250% 11/01/2009* 14,625
17,000 GEORGIA-PACIFIC CORP 9.500% 12/01/2011 17,977
1,000 GEORGIA-PACIFIC CORP 8.875% 05/15/2031 910
9,000 GEORGIA-PACIFIC CORP NTS 144A
8.875% 02/01/2010* 9,697
11,000 GEORGIA-PACIFIC CORP NTS 144A 9.375% 02/01/2013* 12,100
26,000 IMC GLOBAL INC GTD 10.875% 06/01/2008 29,640
3,000 IMC GLOBAL INC GTD 11.250% 06/01/2011 3,405
25,000 INTERNATIONAL PAPER CO 144A 5.300% 04/01/2015* 25,196
11,000 LENNAR CORP SR NTS 9.950% 05/01/2010 12,848
50,000 LYONDELL CHEMICAL CO 11.125% 07/15/2012 54,000
35,000 LYONDELL CHEMICAL CO SR SECD NTS 144A
9.500% 12/15/2008* 35,700
32,000 MACDERMID INC 9.125% 07/15/2011 35,520
120,000 MEADWESTVACO CORP 6.850% 04/01/2012 135,699
70,000 METHANEX CORP 7.750% 08/15/2005 72,625
20,000 NORSKE SKOG CANADA 8.625% 06/15/2011 20,700
30,000 NORTEK INC SR NTS SER B 9.250% 03/15/2007 $ 30,937
89,000 NORTEK INC SR NTS SER B 8.875% 08/01/2008 92,115
70,000 OWENS-BROCKWAY SR SECURED NT
8.750% 11/15/2012 74,725
85,000 PEABODY ENERGY CORP 8.875% 05/15/2008 88,931
15,000 RESOLUTION PERFORMANCE 13.500% 11/15/2010 16,087
30,000 SMURFIT-STONE CONTAINER EXP 8.250% 10/01/2012 32,625
16,000 SPX CORP SR NTS 7.500% 01/01/2013 17,440
20,000 STANDARD-PACIFIC CORP SR NT 7.750% 03/15/2013 20,450
60,000 TEMBEC INDS INC GTD 8.500% 02/01/2011 62,400
90,000 TOLL CORP SR SUB NTS 8.250% 12/01/2011 96,975
150,000 UNITED TECH CORP 4.875% 11/01/2006 160,497
75,000 WEYERHAEUSER CO 6.000% 08/01/2006 81,288
30,000 WEYERHAEUSER CO 5.950% 11/01/2008 32,777
25,000 WEYERHAEUSER CO 5.250% 12/15/2009 26,073
100,000 WEYERHAEUSER CO 6.750% 03/15/2012 112,026
30,000 WEYERHAEUSER CO 7.125% 07/15/2023 32,506
280,000 WEYERHAEUSER CO 7.375% 03/15/2032 319,411
95,000 WEYERHAEUSER CO 6.875% 12/15/2033 102,228
--------------
TOTAL BASIC INDUSTRIES $ 2,844,819
CABLE & MEDIA 1.99%
10,000 ADELPHIA COMMUNICATIONS CORP SR NTS
10.500% 07/15/2004# $ 4,900
250,000 AOL TIME WARNER INC 7.625% 04/15/2031 275,701
80,000 AOL TIME WARNER INC 7.700% 05/01/2032 89,085
35,000 AOL TIME WARNER INC GTD 6.125% 04/15/2006 37,258
58,000 BRITISH SKY BROADCASTING GROUP PLC GTD 6.875%
02/23/2009 62,785
65,000 CHARTER COMMUNICATIONS HLDGS
11.125% 01/15/2011 42,900
145,000 CHARTER COMMUNICATIONS HLDGS INC SR NTS
10.750% 10/01/2009 96,425
2,000 CLEAR CHANNEL COMMUNICATIONS
8.000% 11/01/2008 2,290
25,000 COMCAST CABLE COMMUNICATIONS CORP 8.875%
05/01/2017 31,662
390,000 COMCAST CABLE COMMUNICATIONS CORP SR NTS
6.750% 01/30/2011 430,462
165,000 COMCAST CORP 8.375% 11/01/2005 185,440
50,000 COMCAST CORP NTS 5.500% 03/15/2011 51,579
75,000 COMCAST CORP NT 6.500% 01/15/2015 81,480
32,000 CSC HLDGS INC 7.875% 02/15/2018 33,680
6,000 CSC HLDGS INC 7.625% 07/15/2018 6,225
15,000 CSC HLDGS INC SR NTS 7.875% 12/15/2007 15,787
15,000 CSC HLDGS INC SR NTS 7.625% 04/01/2011 15,787
35,000 DIRECTV HOLDINGS/FINANCE SR NTS 144A
8.375% 03/15/2013* 39,200
55,000 ECHOSTAR DBS CORP SR NTS 10.375% 10/01/2007 61,600
83,000 ECHOSTAR DBS CORP SR NTS 9.125% 01/15/2009 93,375
56,000 ECHOSTAR DBS CORP SR NTS 9.375% 02/01/2009 60,410
17,000 EMMIS COMMUNICATIONS CORP 8.125% 03/15/2009 17,935
16,000 LAMAR MEDIA CORP SR SUB NTS 144A
7.250% 01/01/2013* 16,840
200,000 LIBERTY MEDIA CORP CV 3.750% 02/15/2030 113,250
500,000 NEWS AMER HLDGS GTD 7.430% 10/01/2026 557,171
65,000 TIME WARNER COS INC 7.570% 02/01/2024 70,298
60,000 TIME WARNER ENTMT CO LP SR SUB NTS
8.375% 07/15/2033 76,149
130,000 TIME WARNER INC GTD 6.625% 05/15/2029 128,362
80,000 TURNER BROADCASTING SYS INC SR NTS
8.375% 07/01/2013 92,708
130,000 VIACOM INC 5.625% 08/15/2012 140,676
--------------
TOTAL CABLE & MEDIA $ 2,931,420
CONSUMER DURABLES 0.15%
215,000 GENERAL ELECTRIC CO NTS 5.000% 02/01/2013 $ 222,219
--------------
TOTAL CONSUMER DURABLES $ 222,219
CONSUMER NON-DURABLES 2.11%
8,000 AMERICAN GREETINGS CORP SR NTS
6.100% 08/01/2028 $ 7,840
</Table>
32
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
56,000 CONSTELLATION BRANDS INC 8.000% 02/15/2008 $ 60,200
14,000 CONSTELLATION BRANDS INC 8.500% 03/01/2009 14,770
15,000 DEL MONTE CORP SR SUB NTS 144A
8.625% 12/15/2012* 16,144
70,000 DELHAIZE AMERICA INC 8.125% 04/15/2011 74,200
280,000 DYNERGY HLDGS INC SR NTS 8.750% 02/15/2012 266,000
75,000 GENERAL MILLS INC NTS 5.125% 02/15/2007 80,778
70,000 GENERAL MILLS INC NTS 6.000% 02/15/2012 76,794
150,000 KELLOGG CO 6.600% 04/01/2011 171,517
225,000 KRAFT FOODS INC 5.625% 11/01/2011 235,421
25,000 KROGER CO SR NT 7.700% 06/01/2029 28,917
250,000 NABISCO INC DEBS 7.550% 06/15/2015 292,195
250,000 PEPSI BOTTLING GROUP INC SR NTS 7.000% 03/01/2029 296,302
350,000 PHILIP MORRIS DEB 7.750% 01/15/2027 354,073
250,000 PROCTER & GAMBLE CO DEB 8.500% 08/10/2009 315,808
200,000 REYNOLDS RJ TOBACCO HLDGS GTD SER B
7.750% 05/15/2006 197,551
210,000 REYNOLDS RJ TOBACCO HLDGS INC
7.250% 06/01/2012 197,947
220,000 SARA LEE CORP 6.250% 09/15/2011 246,115
33,000 SMITHFIELD FOODS INC SR NTS 8.000% 10/15/2009 33,825
125,000 UNILEVER CAP CORP GTD 7.125% 11/01/2010 148,656
--------------
TOTAL CONSUMER NON-DURABLES $ 3,115,053
CONSUMER SERVICES 1.34%
20,000 ARGOSY GAMING CO SR SUB NTS
10.750% 06/01/2009 $ 22,100
86,000 AVIS GROUP HLDGS INC 11.000% 05/01/2009 95,890
45,000 BOYD GAMING CORP SR SUB NTS 144A
7.750% 12/15/2012* 46,687
30,000 EXTENDED STAY AMERICA INC SR SUB NTS
9.875% 06/15/2011 31,200
90,000 HARRAHS OPER CO INC GTD 7.875% 12/15/2005 96,975
51,000 HASBRO INC 5.600% 11/01/2005 51,510
56,000 INTL GAME TECHNOLOGY SR NTS 8.375% 05/15/2009 66,813
25,000 IRON MOUNTAIN INC SR NTS 7.750% 01/15/2015 26,875
44,000 JC PENNEY CORP INC 8.000% 03/01/2010 46,750
47,000 MGM MIRAGE INC 6.625% 02/01/2005 48,527
35,000 MGM MIRAGE INC 9.750% 06/01/2007 39,200
10,000 MOHEGAN TRIBAL GAMING SR NTS
8.125% 01/01/2006 10,625
52,000 MOHEGAN TRIBAL GAMING SR SUB NTS
8.750% 01/01/2009 55,250
40,000 MOHEGAN TRIBAL GAMING SR SUB NTS
8.375% 07/01/2011 42,600
8,000 MOORE NORTH AMERICA FINANCE INC NOTE 144A
7.875% 01/15/2011* 8,520
5,000 PARK PL ENTMT CORP SR NT 144A 7.000% 04/15/2013* 5,125
41,000 PARK PL ENTMT CORP SR SUB NTS 9.375% 02/15/2007 44,587
25,000 PARK PL ENTMT CORP SR SUB NTS 8.875% 09/15/2008 27,000
10,000 PARK PL ENTMT CORP SR SUB NTS 8.125% 05/15/2011 10,575
15,000 PERKIN-ELMER INC SR SUB NTS 144A
8.875% 01/15/2013* 16,162
55,000 RYLAND GROUP INC 8.000% 08/15/2006 58,712
10,000 RYLAND GROUP INC SR SUB NTS 8.250% 04/01/2008 10,400
20,000 SIX FLAGS INC 9.500% 02/01/2009 20,400
140,000 TARGET CORP 5.875% 03/01/2012 152,780
5,000 TRICON GLOBAL RESTAURANTS INC SR NTS
8.500% 04/15/2006 5,550
250,000 WAL-MART STORES NTS 7.550% 02/15/2030 320,095
110,000 WASTE MANAGEMENT INC 144A 6.375% 11/15/2012* 121,879
135,000 WASTE MANAGEMENT INC GTD 7.375% 05/15/2029 156,134
120,000 WASTE MANAGEMENT INC SR NTS
7.375% 08/01/2010 139,911
100,000 WASTE MANAGEMENT INC SR NTS
7.125% 12/15/2017 114,316
50,000 YUM! BRANDS INC 8.875% 04/15/2011 58,125
25,000 YUM! BRANDS INC SR NTS 7.450% 05/15/2005 26,875
--------------
TOTAL CONSUMER SERVICES $ 1,978,148
ENERGY 3.01%
25,000 AMERADA HESS CORP SR NTS 7.125% 03/15/2033 $ 27,469
40,000 ANADARKO PETROLEUM CORP 5.375% 03/01/2007 43,166
7,000 CHESAPEAKE ENERGY CORP 8.125% 04/01/2011 7,560
15,000 CHESAPEAKE ENERGY CORP 7.750% 01/15/2015 16,050
18,000 CHESAPEAKE ENERGY CORP SR NT
144A 7.500% 09/15/2013* 19,125
25,000 CHESAPEAKE ENERGY CORP SR NTS
9.000% 08/15/2012 27,875
80,000 CHEVRONTEXACO CAPITAL CO 3.500% 09/17/2007 81,872
30,000 CONOCO FDG CO 5.450% 10/15/2006 32,733
220,000 CONOCO FDG CO 6.350% 10/15/2011 249,315
150,000 CONOCO FDG CO 7.250% 10/15/2031 181,805
105,000 CONOCO INC 5.900% 04/15/2004 109,128
125,000 CONOCO INC SR NTS 6.950% 04/15/2029 146,218
180,000 CONOCOPHILLIPS 8.750% 05/25/2010 226,613
80,000 CONOCOPHILLIPS CO NTS 4.750% 10/15/2012 81,585
50,000 CONOCOPHILLIPS CO NTS 5.900% 10/15/2032 51,781
90,000 CONSOLIDATED NATURAL GAS CO 5.375% 11/01/2006 96,977
80,000 DEVON ENERGY CORP 7.950% 04/15/2032 100,125
70,000 DEVON FINANCING CORP ULC GTD 6.875% 09/30/2011 80,512
20,000 DOMINION RESOURCES INC 4.125% 02/15/2008 20,458
45,000 DTE ENERGY CO SR NTS 6.450% 06/01/2006 49,290
80,000 EXELON CORP 6.750% 05/01/2011 90,205
5,000 FIRSTENERGY CORP SER A 5.500% 11/15/2006 5,284
240,000 FIRSTENERGY CORP SER B 6.450% 11/15/2011 259,453
120,000 FIRSTENERGY CORP SER C 7.375% 11/15/2031 132,241
50,000 FLORIDA POWER CORP 4.800% 03/01/2013 50,858
50,000 FOREST OIL CORP 7.750% 05/01/2014 52,000
140,000 GAZPROM OAO 144A 9.625% 03/01/2013* 149,100
40,000 HANOVER EQUIPMENT TRUST 8.750% 09/01/2011 40,800
40,000 KINDER MORGAN ENERGY PARTNERS LP NTS
7.300% 08/15/2033 46,712
75,000 KINDER MORGAN INC 7.250% 03/01/2028 84,112
20,000 LEVIATHAN GAS PIPELINE PARTNERS SR SUB NTS
10.375% 06/01/2009 21,600
50,000 OCEAN ENERGY INC GTD SER B 8.375% 07/01/2008 52,562
20,000 PARKER & PARSLEY PETROLEUM SR NTS
8.250% 08/15/2007 22,755
45,000 PEABODY ENERGY CORP SENIOR NOTE 144A
6.875% 03/15/2013* 46,800
275,000 PETROLIAM NASIONAL BERHAD 144A
7.625% 10/15/2026* 292,008
50,000 PIONEER NATURAL RESOURCE CO GTD
9.625% 04/01/2010 61,494
75,000 POGO PRODUCING CO 10.375% 02/15/2009 81,750
450,000 PROGRESS ENERGY INC NTS NCL 7.100% 03/01/2011 517,492
9,000 SOUTHERN CAL EDISON NTS 144A 8.000% 02/15/2007* 9,810
30,000 SOUTHERN NATURAL GAS CO NTS 8.000% 03/01/2032 30,675
45,000 SWIFT ENERGY CO SR SUB NTS 9.375% 05/01/2012 47,025
110,000 TENNESSEE GAS PIPELINE 8.375% 06/15/2032 113,300
30,000 TENNESSEE GAS PIPELINE CO NTS 7.500% 04/01/2017 29,400
40,000 VINTAGE PETROLEUM INC 7.875% 05/15/2011 41,050
31,000 VINTAGE PETROLEUM INC SR NTS 144A
8.250% 05/01/2012* 33,093
37,000 WESTERN OIL SANDS INC 8.375% 05/01/2012 39,590
4,000 WESTPORT RESOURCES CORP NEW SUB NT
8.250% 11/01/2011 4,360
7,000 WESTPORT RESOURCES CORP SR SUB NT 144A
8.250% 11/04/2011* 7,630
380,000 WILLIAMS COS INC 144A 8.750% 03/15/2032* 370,500
40,000 XTO ENERGY INC NT 144A 6.250% 04/15/2013* 41,700
21,000 XTO ENERGY INC SR NTS 7.500% 04/15/2012 23,100
--------------
TOTAL ENERGY $ 4,448,116
FINANCIAL SERVICES 0.02%
25,000 AMERICO LIFE INC SR NT 144A 7.875% 05/01/2013* $ 24,688
--------------
TOTAL FINANCIAL SERVICES $ 24,688
</Table>
33
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
HEALTH CARE 1.38%
40,000 AMERISOURCEBERGEN CORP SR NTS 8.125% 09/01/2008 $ 43,600
605,000 BRISTOL-MYERS SQUIBB CO 5.750% 10/01/2011 656,973
32,000 COVENTRY HEALTH CARE INC SR NTS 8.125% 02/15/2012 34,320
344,000 ELI LILLY & CO NTS 7.125% 06/01/2025 424,582
60,000 FRESENIUS MED CAP TR IV GTD 7.875% 06/15/2011 62,700
20,000 HCA INC 6.910% 06/15/2005 21,261
60,000 HCA INC 7.125% 06/01/2006 64,503
45,000 HCA INC 7.250% 05/20/2008 49,768
54,000 HCA INC 8.750% 09/01/2010 63,152
15,000 HEALTHSOUTH CORP SR NTS 8.500% 02/01/2008# 9,563
105,000 HEALTHSOUTH CORP SR SUB NTS 10.750% 10/01/2008# 27,825
22,000 MANOR CARE INC 8.000% 03/01/2008 23,870
72,000 MANOR CARE INC SR NTS 7.500% 06/15/2006 77,297
67,000 OMNICARE INC 8.125% 03/15/2011 73,030
75,000 TENET HEALTHCARE CORP 6.375% 12/01/2011 71,250
222,000 TENET HEALTHCARE CORP 7.375% 02/01/2013 219,225
20,000 UNITED SURGICAL PARTNERS HLDGS INC
SR SUB NTS 10.000% 12/15/2011 21,400
90,000 WELLPOINT HEALTH NETWORK INC 6.375% 06/15/2006 99,416
--------------
TOTAL HEALTH CARE $ 2,043,735
INDUSTRIAL 2.99%
15,000 AGCO CORP 9.500% 05/01/2008 $ 16,350
32,000 AMERICAN AXLE & MANUFACTURING INC
9.750% 03/01/2009 34,880
300,000 ANADARKO FINANCE CO 7.500% 05/01/2031 367,763
15,000 ASBURY AUTOMOTIVE GROUP INC SR SUB NTS
9.000% 06/15/2012 14,100
55,000 AUTONATION INC GTD 9.000% 08/01/2008 59,950
23,000 BEAZER HOMES USA INC SR NTS 8.375% 04/15/2012 25,128
60,000 CROWN EURO HOLDINGS SA 144A 9.500% 03/01/2011* 63,900
35,000 D.R. HORTON INC 10.500% 04/01/2005 38,675
20,000 D.R. HORTON INC 7.875% 08/15/2011 21,600
30,000 D.R. HORTON INC NTS 7.500% 12/01/2007 31,800
15,000 D.R. HORTON INC SR NTS 8.000% 02/01/2009 16,275
55,000 DAIMLERCHRYSLER AG 7.450% 03/01/2027 61,065
155,000 DAIMLERCHRYSLER NORTH AMER HLDG CORP NTS
4.750% 01/15/2008 160,124
55,000 DRESSER INC 9.375% 04/15/2011 56,650
50,000 DURA OPERATING CORP SER B 8.625% 04/15/2012 51,875
510,000 GENERAL MOTORS NOVA SCOTIA FINANCE CO
6.850% 10/15/2008 534,092
80,000 HONEYWELL INTL INC 6.875% 10/03/2005 88,523
29,000 LEAR CORP 7.960% 05/15/2005 31,030
29,000 LEAR CORP SER B 8.110% 05/15/2009 32,625
95,000 LOCKHEED MARTIN CORP 8.500% 12/01/2029 127,451
180,000 LOCKHEED MARTIN CORP 7.200% 05/01/2036 211,111
70,000 NORTHROP GRUMMAN CORP 7.750% 02/15/2031 88,925
60,000 PACKAGING CORP OF AMERICA GTD
9.625% 04/01/2009 65,100
69,000 SCHULER HOMES GTD 9.375% 07/15/2009 75,383
399,045 SYSTEMS 2001 ASSET TRUST CL G 144A
6.664% 09/15/2013* 434,813
89,000 TEEKAY SHIPPING CORP 8.875% 07/15/2011 97,233
30,000 TEREX CORP 8.875% 04/01/2008 31,200
30,000 TEREX CORP 9.250% 07/15/2011 32,100
10,000 TYCO INTL GROUP SA 5.875% 11/01/2004 10,100
140,000 TYCO INTL GROUP SA 6.375% 06/15/2005 141,400
187,000 TYCO INTL GROUP SA 5.800% 08/01/2006 184,195
30,000 TYCO INTL GROUP SA 6.125% 11/01/2008 29,475
10,000 TYCO INTL GROUP SA 6.125% 01/15/2009 9,825
10,000 TYCO INTL GROUP SA 6.750% 02/15/2011 10,000
320,000 TYCO INTL GROUP SA 6.375% 10/15/2011 315,200
306,000 TYCO INTL GROUP SA 7.000% 06/15/2028 287,640
554,000 TYCO INTL GROUP SA 6.875% 01/15/2029 517,990
30,000 TYCO INTL GROUP SA (FRN) 1.790% 07/30/2003 29,550
10,000 WCI COMMUNITIES INC 10.625% 02/15/2011 10,600
5,000 WCI COMMUNITIES INC 9.125% 05/01/2012 5,050
--------------
TOTAL INDUSTRIAL $ 4,420,746
REAL ESTATE (PUBLICLY TRADED) 0.21%
75,000 EOP OPERATING LP NTS 7.750% 11/15/2007 $ 86,804
75,000 EOP OPERTAING LP GUAR NTS 7.000% 07/15/2011 85,299
40,000 HMH PPTYS INC SR NTS SER B 7.875% 08/01/2008 40,400
12,000 HMH PPTYS INC SR NTS SER C 8.450% 12/01/2008 12,300
60,000 STARWOOD HOTELS & RESORTS WORLDWIDE INC
SR NT 7.375% 05/01/2007 62,700
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
8.750% 05/01/2009 10,625
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
9.000% 05/01/2012 10,725
--------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 308,853
TECHNOLOGY 0.36%
300,000 ELECTRONIC DATA SYS NTS 7.125% 10/15/2009 $ 324,000
41,000 FLEXTRONICS INTL 9.875% 07/01/2010 45,920
63,000 PANAMSAT CORP SR NTS 144A 8.500% 02/01/2012* 68,198
25,000 SEAGATE TECHNOLOGY HDD HLDGS SR NTS
8.000% 05/15/2009 26,844
60,000 UNISYS CORP SR NTS 7.250% 01/15/2005 62,700
--------------
TOTAL TECHNOLOGY $ 527,662
TELECOMMUNICATIONS 1.13%
62,000 AT&T BROADBAND CORP NTS 8.375% 03/15/2013 $ 75,644
80,000 AT&T CORP SR NTS 8.500% 11/15/2031 89,071
85,000 BRITISH TELECOM PLC BDS (STEP BOND)
8.875% 12/15/2030 113,077
20,000 DEUTSCHE TELEKOM INT FIN 8.500% 06/15/2010 24,107
83,000 L-3 COMMUNICATIONS CORP SR SUB NTS
7.625% 06/15/2012 91,508
40,000 NEXTEL COMMUNICATIONS (STEP BOND)
9.950% 02/15/2008 42,000
32,000 NEXTEL COMMUNICATIONS INC SR SERIAL
9.375% 11/15/2009 34,560
25,000 PANAMSAT CORP 6.875% 01/15/2028 24,125
45,000 QWEST CAPITAL FDG INC 7.000% 08/03/2009 37,238
150,000 QWEST CAPITAL FDG INC 7.900% 08/15/2010 126,375
155,000 SBC COMMUNICATIONS INC 6.250% 03/15/2011 172,913
100,000 SBC COMMUNICATIONS INC 5.875% 08/15/2012 109,866
28,000 SHAW COMMUNICATIONS INC 8.250% 04/11/2010 30,310
18,000 SHAW COMMUNICATIONS INC SR NTS
7.200% 12/15/2011 18,585
150,000 VERIZON NEW JERSEY INC 5.875% 01/17/2012 163,821
175,000 VERIZON PENNSYLVANIA INC SER A
5.650% 11/15/2011 188,376
55,000 VODAFONE GROUP PLC 6.250% 11/30/2032 58,738
20,000 WORLDCOM INC 8.000% 05/15/2006# 5,650
230,000 WORLDCOM INC 8.250% 05/15/2010# 64,975
10,000 WORLDCOM INC 6.950% 08/15/2028# 2,825
515,000 WORLDCOM INC BDS 8.250% 05/15/2031# 145,488
155,000 WORLDCOM INC NTS 7.500% 05/15/2011# 43,788
--------------
TOTAL TELECOMMUNICATIONS $ 1,663,040
TRANSPORTATION 0.90%
150,000 BURLINGTON NORTH SANTA FE CORP NTS
6.375% 12/15/2005 $ 165,909
40,000 CANADIAN NATIONAL RAILWAY CO
6.900% 07/15/2028 46,325
50,000 CANADIAN NATIONAL RAILWAY CO NT
4.400% 03/15/2013 49,181
42,443 CONTINENTAL AIRLINES INC 97-4 CL 4A
6.900% 01/02/2018 36,248
50,000 DELTA AIR LINES INC 7.570% 11/18/2010 48,517
80,945 DELTA AIR LINES INC 6.619% 03/18/2011 78,392
188,644 DELTA AIR LINES INC 6.718% 01/02/2023 195,690
23,000 KANSAS CITY SOUTHERN RAILWAY GTD
9.500% 10/01/2008 25,415
50,000 NORFOLK SOUTHERN CORP 7.050% 05/01/2037 57,270
75,000 NORFOLK SOUTHERN CORP SR NTS
6.200% 04/15/2009 83,982
</Table>
34
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
15,000 OVERSEAS SHIPHOLDING GROUP INC NT
8.750% 12/01/2013 $ 15,427
35,000 OVERSEAS SHIPHOLDING GROUP INC NT
144A 8.250% 03/15/2013* 36,094
458,000 TRAINS 5-02 144A (FRN) 5.936% 01/25/2007* 494,996
--------------
TOTAL TRANSPORTATION $ 1,333,446
UTILITIES 1.30%
17,000 AES CORP 8.375% 08/15/2007 $ 15,555
12,000 AES CORP 8.750% 06/15/2008 11,580
29,000 AES CORP 9.375% 09/15/2010 28,420
15,000 AES CORP 8.875% 02/15/2011 14,325
51,000 AES CORP NT 144A 10.000% 07/15/2005* 53,550
125,000 AES CORP SR NTS 9.500% 06/01/2009 123,125
13,000 AES CORP SR SUB NTS 10.250% 07/15/2006 12,870
8,000 AES CORP SR SUB NTS 8.500% 11/01/2007 7,320
47,000 CALPINE CORP 8.500% 02/15/2011 34,310
80,000 CALPINE CORP SR NTS 8.250% 08/15/2005 67,200
110,000 DETROIT EDISON CO 6.125% 10/01/2010 121,660
80,000 DOMINION RESOURCES INC 5.700% 09/17/2012 85,326
90,000 DOMINION RESOURCES INC SER D SR NTS
5.125% 12/15/2009 93,751
100,000 EL PASO CORP CV 0.000% 02/28/2021 41,250
490,000 EL PASO CORP MTN 7.800% 08/01/2031 387,100
180,000 EL PASO CORP MTN 7.750% 01/15/2032 142,200
50,000 EL PASO ENERGY CORP NTS 7.625% 07/15/2011 43,500
10,000 EL PASO ENERGY LP SR SUB NTS 8.500% 06/01/2011 10,775
20,000 EL PASO ENERGY PARTNERS LP/EL PASO ENERGY
PARTNERS FINANCE CORP SR SUB NTS
144A 10.625% 12/01/2012* 23,000
120,000 EL PASO NATURAL GAS CO 144A 8.375% 06/15/2032* 121,200
250,000 HYDRO-QUEBEC GTD 6.300% 05/11/2011 288,214
30,000 ONCOR ELECTRIC DELIVERY CO SR SECD NTS
144A 6.375% 01/15/2015* 33,446
50,000 ONCOR ELECTRIC DELIVERY CO SR SECD NTS 144A
7.250% 01/15/2033* 58,451
47,000 ORION POWER HLDGS INC SR NTS
12.000% 05/01/2010 50,995
50,000 TXU ENERGY CO NTS 144A 7.000% 03/15/2013* 55,213
--------------
TOTAL UTILITIES $ 1,924,336
--------------
TOTAL CORPORATE DEBT (COST $39,247,158) $ 41,055,000
FOREIGN DEBT 11.56%
CAD 1,100,000 CANADIAN GOVERNMENT 4.500% 09/01/2007 $ 775,429
CAD 1,251,000 CANADIAN GOVERNMENT 5.250% 06/01/2012 892,338
CAD 200,000 CANADIAN GOVERNMENT 6.500% 03/08/2029 151,748
CAD 394,000 CANADIAN GOVERNMENT 5.750% 06/01/2029 286,725
EUR 1,330,000 DEUTSCHLAND REPUBLIC 3.750% 01/04/2009 1,505,802
EUR 1,209,000 DEUTSCHLAND REPUBLIC 5.000% 01/04/2012 1,441,397
EUR 1,810,000 DEUTSCHLAND REPUBLIC 5.500% 01/04/2031 2,199,736
120,000 FED REPUBLIC OF BRAZIL 14.500% 10/15/2009 136,200
185,000 FED REPUBLIC OF BRAZIL 12.000% 04/15/2010 188,238
492,564 FED REPUBLIC OF BRAZIL 8.000% 04/15/2014 430,994
205,000 FED REPUBLIC OF BRAZIL 11.000% 08/17/2040 178,863
63,529 FED REPUBLIC OF BRAZIL (FRN) 2.188% 04/15/2009 52,729
260,000 FED REPUBLIC OF BRAZIL (FRN) 2.188% 04/15/2012 191,750
221,654 FED REPUBLIC OF BRAZIL C BD 8.000% 04/15/2014 193,947
785,000 MEXICO GLOBAL BOND 11.500% 05/15/2026 1,150,025
3,000 PANAMA 9.625% 02/08/2011 3,428
178,888 PANAMA IRB 5.000% 07/17/2014 162,788
374,400 PERU PDI (FRN) 5.000% 03/07/2017 322,920
230,000 QUEBEC PROV CDA DEBS 7.500% 09/15/2029 297,544
180,000 REBUBLIC OF KOREA 8.875% 220,275
40,000 REPUBLIC OF BULGARIA 8.250% 01/15/2015 45,060
285,000 REPUBLIC OF BULGARIA 144A 8.250% 01/15/2015* 320,625
60,000 REPUBLIC OF COLOMBIA 10.500% 07/09/2010 67,350
121,543 REPUBLIC OF COLOMBIA 9.750% 04/09/2011 135,520
165,000 REPUBLIC OF COLOMBIA 11.750% 02/25/2020 199,650
EUR 1,907,417 REPUBLIC OF GERMANY 4.500% 08/17/2007 2,236,176
250,000 REPUBLIC OF PANAMA 9.625% 02/08/2011 285,625
70,000 REPUBLIC OF PANAMA 9.375% 07/23/2012 79,625
77,000 REPUBLIC OF PANAMA 10.750% 05/15/2020 $ 93,170
140,000 REPUBLIC OF PANAMA 8.250% 04/22/2008 151,200
30,000 REPUBLIC OF PHILIPPINES 9.875% 01/15/2019 31,200
75,000 REPUBLIC OF PHILIPPINES 10.625% 03/16/2025 81,000
215,000 REPUBLIC OF PHILIPPINES GBL BDS 9.875% 01/15/2019 223,600
40,000 RUSSIAN FEDERATION 8.250% 03/31/2010 45,100
710,000 RUSSIAN FEDERATION (STEP BOND) 5.000% 03/31/2030 639,000
SEK 3,290,000 SWEDEN (KINGDOM OF) BDS 8.000% 08/15/2007 464,458
SEK 2,570,000 SWEDEN (KINGDOM OF) BDS 5.000% 01/28/2009 325,566
50,000 UNITED MEXICAN STATES 4.625% 10/08/2008 50,700
300,000 UNITED MEXICAN STATES 8.375% 01/14/2011 357,750
30,000 UNITED MEXICAN STATES 6.625% 03/03/2015 31,350
300,000 UNITED MEXICAN STATES 8.125% 12/30/2019 338,550
80,000 UNITED MEXICAN STATES MTN 8.000% 09/24/2022 88,600
--------------
TOTAL FOREIGN DEBT (COST $15,031,692) $ 17,073,751
U.S. GOVERNMENT AND AGENCIES 58.55%
FHLMC POOLS 2.98%
613,230 FHLMC GOLD POOL #C01310 6.500% 03/01/2032 $ 640,273
14,772 FHLMC GOLD POOL #E01049 6.000% 09/01/2016 15,437
81,606 FHLMC GOLD POOL #E01095 6.000% 01/01/2017 85,277
349,230 FHLMC GOLD POOL #E01184 6.000% 08/01/2017 364,881
63,112 FHLMC GOLD POOL #E89931 6.000% 05/01/2017 65,941
163,008 FHLMC GOLD POOL #E90471 5.500% 07/01/2017 169,490
403,986 FHLMC GOLD POOL #G01391 7.000% 04/01/2032 426,215
298,180 FHLMC GOLD POOL #G11149 6.500% 07/01/2011 316,825
900,000 FHLMC GOLD SF MTG TBA 7.500% 960,188
400,000 FHLMC GOLD TBA 6.000% 05/01/2017 417,875
900,000 FHLMC TBA 6.500% 05/01/2031 939,656
--------------
TOTAL FHLMC POOLS $ 4,402,058
FNMA POOLS 11.91%
31,606 FNMA POOL #190000 6.000% 09/01/2008 $ 33,385
32,615 FNMA POOL #190040 6.000% 09/01/2008 34,451
136,031 FNMA POOL #323120 6.000% 10/01/2011 143,418
1,900,000 FNMA POOL #3904 5.000% 05/01/2018 1,957,593
904,404 FNMA POOL #512117 7.500% 12/01/2029 964,320
156,450 FNMA POOL #568053 6.500% 05/01/2016 165,788
46,218 FNMA POOL #569336 7.500% 01/01/2031 49,265
59,437 FNMA POOL #583203 6.500% 05/01/2031 62,101
35,592 FNMA POOL #631415 6.500% 02/01/2032 37,187
300,790 FNMA POOL #641482 6.500% 07/01/2032 314,274
198,683 FNMA POOL #658906 (FRN) 4.652% 01/01/2033 204,962
68,526 FNMA POOL #668339 5.500% 11/01/2017 71,334
6,500,000 FNMA TBA 5.500% 05/20/2014 6,757,972
400,000 FNMA TBA 6.500% 05/01/2016 423,750
600,000 FNMA TBA 6.000% 05/01/2017 628,687
2,400,000 FNMA TBA 6.000% 05/01/2032 2,497,500
300,000 FNMA TBA 6.500% 05/01/2032 313,406
1,500,000 FNMA TBA 7.000% 05/01/2032 1,584,843
1,300,000 FNMA TBA 6.000% 07/01/2032 1,345,906
--------------
TOTAL FNMA POOLS $ 17,590,142
GNMA POOLS 12.60%
19,850 GNMA POOL #493555 6.500% 04/15/2031 $ 20,876
14,296 GNMA POOL #498941 6.500% 04/15/2031 15,034
255,803 GNMA POOL #560194 6.500% 04/15/2031 269,023
278,241 GNMA POOL #780914 6.000% 11/15/2028 291,859
7,016,457 GNMA POOL #781340 6.500% 10/15/2031 7,384,933
6,370,000 GNMA TBA 6.500% 05/01/2032 6,692,481
3,760,000 GNMA TBA 6.000% 06/05/2003 3,930,373
--------------
TOTAL GNMA POOLS $ 18,604,579
OTHER U.S. AGENCIES 18.40%
15,700,000 FHLB 1.200% 05/01/2003 $ 15,700,000
100,000 FHLMC 0.000% 07/03/2003 99,797
60,000 FHLMC 4.875% 03/15/2007 65,077
500,000 FHLMC 4.500% 05/01/2018 506,250
1,300,000 FHLMC 5.500% 05/01/2033 1,335,344
275,000 FHLMC MTN 3.500% 04/01/2008 280,129
315,000 FHLMC NTS 6.875% 09/15/2010 377,515
220,000 FICO STRIP CPN-3 DEB 0.000% 11/30/2017 102,500
</Table>
35
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
375,000 FNMA 5.000% 01/15/2007 $ 407,823
465,000 FNMA 7.250% 01/15/2010 563,794
405,000 FNMA 7.125% 06/15/2010 489,955
320,000 FNMA 6.000% 05/15/2011 364,390
2,600,000 FNMA 4.500% 05/01/2018 2,630,875
700,000 FNMA 5.500% 05/01/2033 719,032
600,000 FNMA 5.500% 06/01/2033 613,875
580,000 FNMA DEBS 6.000% 05/15/2008 658,142
1,250,000 FNMA DISC NT 0.000% 10/22/2003 1,242,991
700,000 GNMA 5.500% 05/01/2033 722,532
100,000 RESOLUTION FDG CORP FED STRIPS
0.000% 07/15/2018 45,409
100,000 RESOLUTION FDG CORP FED STRIPS
0.000% 10/15/2018 44,666
198,728 SMALL BUSINESS ADMINISTRATION
5.199% 08/01/2012 203,667
--------------
TOTAL OTHER U.S. AGENCIES $ 27,173,763
U.S. TREASURIES 12.66%
335,000 U.S. TREASURY BDS 10.375% 11/15/2012 $ 443,875
550,000 U.S. TREASURY BDS 12.000% 08/15/2013 792,859
190,000 U.S. TREASURY BDS 9.250% 02/15/2016 282,996
805,000 U.S. TREASURY BDS 8.125% 08/15/2019 1,129,138
230,000 U.S. TREASURY BDS 8.500% 02/15/2020 333,877
535,000 U.S. TREASURY BDS 8.000% 11/15/2021 750,484
650,000 U.S. TREASURY BDS 6.000% 02/15/2026 750,851
395,000 U.S. TREASURY BDS 6.750% 08/15/2026 497,823
1,815,000 U.S. TREASURY BDS 5.375% 02/15/2031 1,980,477
435,000 U.S. TREASURY BILL 1.155% 05/01/2003** 435,000
430,000 U.S. TREASURY BILL 1.115% 05/22/2003** 429,720
200,000 U.S. TREASURY BILL 1.134% 07/31/2003** 199,430
400,000 U.S. TREASURY BILL 1.139% 08/07/2003** 398,771
1,346,818 U.S. TREASURY INFLATION INDEXED BD
3.625% 04/15/2028 1,560,205
2,783,775 U.S. TREASURY INFLATION INDEXED BD
3.875% 04/15/2029 3,374,022
130,000 U.S. TREASURY NTS 5.625% 02/15/2006 143,305
250,000 U.S. TREASURY NTS 3.500% 11/15/2006 260,606
90,000 U.S. TREASURY NTS 3.000% 11/15/2007 91,234
370,000 U.S. TREASURY NTS 3.000% 02/15/2008 373,815
715,000 U.S. TREASURY NTS 5.000% 08/15/2011 782,925
660,000 U.S. TREASURY NTS 4.000% 11/15/2012 668,430
910,000 U.S. TREASURY NTS 3.875% 02/15/2013 911,208
350,000 U.S. TREASURY SECURITY WI 2.875% 05/15/2008 352,133
180,000 U.S. TREASURY STRIP PO 0.000% 05/15/2017 91,979
1,775,000 U.S. TREASURY STRIP PO 0.000% 11/15/2021 681,593
190,000 U.S. TREASURY STRIP PO 0.000% 08/15/2027 53,203
3,310,000 U.S. TREASURY STRIP PO 0.000% 11/15/2027 921,365
--------------
TOTAL U.S. TREASURIES $ 18,691,324
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $85,403,692) $ 86,461,866
STATE AND MUNICIPAL OBLIGATIONS 0.07%
100,000 CALIFORNIA STATE DEPARTMENT OF WATER
RESOURCES 3.975% 05/01/2005 $ 102,043
--------------
TOTAL STATE AND MUNICIPAL OBLIGATIONS (COST $99,991) $ 102,043
PURCHASED OPTION CONTRACTS 0.06%
7,500 EURO EURIBOR EXP 09/15/2003 CALL 94.50 $ 27,161
9,000 DEUTSCHLAND REPUBLIC EURO BOBL FUT EXP
05/23/2003 CALL 110.50 43,189
32,000 DEUTSCHLAND REPUBLIC EURO BOBL FUT EXP
05/23/2003 CALL 112.25 6,785
31,250 STERLING MID-CRV EXP 06/18/2003 CALL 96.50 5,244
--------------
TOTAL PURCHASED OPTION CONTRACTS (COST $110,413) $ 82,379
--------------
TOTAL INVESTMENTS AT VALUE 106.81% (COST $152,916,164) 157,736,810
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS (6.81%) (10,059,441)
--------------
NET ASSETS 100.00% $ 147,677,369
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NOTIONAL PREMIUM
TYPE OF CONTRACT AMOUNT RECEIVED VALUE
- ---------------------------------------------------------------------------------------------
US 10YR NOTE FUT JUN EXP 5/24/03 CALL 115 1,700,000 $ 16,431 $ 13,016
US 10YR NOTE FUT JUN EXP 5/24/03 PUT 113 1,200,000 8,190 1,687
US 10YR NOTE FUT SEP EXP 8/23/03 CALL 118 1,600,000 9,420 7,000
US 10YR NOTE FUT SEP EXP 8/23/03 PUT 108 1,600,000 11,670 3,750
US 10YR NOTE FUT SEP EXP 8/23/03 PUT 110 1,200,000 11,940 5,813
US LONG BOND (CBT) FUT SEP EXP 8/23/03 PUT 108 1,200,000 22,252 11,625
- ---------------------------------------------------------------------------------------------
TOTAL $ 79,903 $ 42,891
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE COST ON NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF ORIGINATION APPRECIATION
DATE FOR USD CURRENCY DATE VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------
Buys
5/14/03 SEK 3,726,654 $ 448,298 $ 455,252 $ 6,954
- --------------------------------------------------------------------------------------------------------------
TOTAL $ 6,954
Sales
5/12/03 CAD 2,388,211 $ 1,619,562 $ 1,663,757 $ (44,195)
5/13/03 EUR 2,087,270 2,218,717 2,328,489 (109,772)
5/14/03 SEK 10,261,542 1,219,343 1,253,561 (34,218)
5/20/03 EUR 5,523,382 5,909,405 6,160,182 (250,777)
- --------------------------------------------------------------------------------------------------------------
TOTAL $ (438,962)
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
EXPIRATION NUMBER OF ORIGINAL UNREALIZED
TYPE OF CONTRACT DATE POSITION CONTRACTS VALUE VALUE GAIN (LOSS)
- ------------------ -------------------------------------------------------------------------------------------
US 10 YR NOTE FUT
JUNE 03 06/2003 SHORT 111 $ 12,779,234 $ 12,778,875 $ 359
US 10Y AGENCY FUT
JUN03 06/2003 LONG 58 6,517,540 6,543,125 25,585
US 5YR NOTE (CBT)
JUNE 03 06/2003 SHORT 170 19,284,207 19,337,500 (53,293)
US LONG BOND FUT
(CBT) JUNE 03 06/2003 LONG 38 4,335,149 4,333,188 (1,961)
- ---------------------------------------------------------------------------------------------------------------
TOTAL $ (29,310)
</Table>
See Notes to Financial Statements.
FRN Floating Rate Note
MTN Medium Term Note
TBA Securities purchased on a forward commitment basis with an
approximate principal amount and no definite maturity date. The
actual principal amount and maturity date will be determined on
settlement.
PO Principal Only Security
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
WI When Issued
FHLB Federal Home Loan Bank
PDI Past Due Interest
IRB Industrial Revenue Bond
FICO Financing Corporation
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed is
as of April 30, 2003. Maturity date shown is the stated maturity
date of the security.
IO Interest Only Security
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2003, these
securities amounted to $6,199,219 or 4.20% of net assets.
++ Denotes that all or a portion of these securities are maintained with
counterparties as collateral for futures.
# Denotes that this security is in default.
** Denotes yield to maturity.
Currency Code Key
CAD CANADIAN DOLLAR
EUR EURO
SEK SWEDISH KRONA
36
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INFLATION-INDEXED BOND FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCIES 98.74%
OTHER U.S. AGENCIES 0.36%
550,000 FNMA DISC NT 1.180% 10/22/2003* $ 546,916
--------------
TOTAL OTHER U.S. AGENCIES $ 546,916
U.S. TREASURIES 98.38%
17,429,412 U.S. TREASURY INFLATION INDEXED BD
3.625% 04/15/2028 $ 20,190,893
24,079,654 U.S. TREASURY INFLATION INDEXED BD
3.875% 04/15/2029 29,185,287
1,753,193 U.S. TREASURY INFLATION INDEXED BD
3.375% 04/15/2032 2,010,693
11,270,732 U.S. TREASURY INFLATION INDEXED NT
3.375% 01/15/2007 12,276,295
23,533,864 U.S. TREASURY INFLATION INDEXED NT
3.625% 01/15/2008 26,023,300
17,401,246 U.S. TREASURY INFLATION INDEXED NT
3.875% 01/15/2009 19,547,168
13,600,250 U.S. TREASURY INFLATION INDEXED NT
4.250% 01/15/2010 15,679,606
14,524,806 U.S. TREASURY INFLATION INDEXED NT
3.500% 01/15/2011 16,076,578
6,664,833 U.S. TREASURY INFLATION INDEXED NT
3.375% 01/15/2012 7,360,475
733,025 U.S. TREASURY INFLATION INDEXED NT
3.000% 07/15/2012 787,314
--------------
TOTAL U.S. TREASURIES $ 149,137,609
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $140,457,480) $ 149,684,525
PURCHASED OPTION CONTRACTS 0.00%
30,000 US 5YR NT (CBT) JUN03 EXP 05/24/2003 PUT 112.50 $ 3,750
--------------
TOTAL PURCHASED OPTION CONTRACTS (COST $8,119) $ 3,750
--------------
TOTAL INVESTMENTS AT VALUE 98.74% (COST $140,465,599) 149,688,275
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 1.26% 1,905,643
--------------
NET ASSETS 100.00% $ 151,593,918
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NOTIONAL PREMIUM
TYPE OF CONTRACT AMOUNT RECEIVED VALUE
- ---------------------------------------------------------------------------------------------
US 10YR NOTE FUT JUN EXP 5/24/03 CALL 115 6,000,000 $ 40,013 $ 45,938
US 5YR NOTE (CBT) FUT JUN EXP 5/24/03 CALL 114 13,200,000 92,153 49,500
- ---------------------------------------------------------------------------------------------
TOTAL $ 132,166 $ 95,438
</Table>
See Notes to Financial Statements.
* Denotes yield to maturity.
37
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF LOW DURATION BOND FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 20.14%
700,000 CHASE FUNDING MORTGAGE LOAN
ASSET-BACKED CERTIFICATES 01-2 CL 1A4
6.606% 11/25/2026 $ 735,207
748,664 CITIFINANCIAL MTG SECS INC 02-1 CL AF1
2.474% 09/25/2032 751,497
1,560,000 CITYSCAPE HOME EQ LOAN TRUST 96-3 CL A8
7.650% 09/25/2025 1,558,699
847,502 CONSECO FINANCE 01-A CL 2A2
6.520% 03/15/2032 861,070
943,749 CONSECO FINANCE 99-H CL MV2 (FRN)
2.710% 11/15/2029 944,095
705 CONTIMORTGAGE HOME EQ LOAN TRUST 98-3 CL A10
5.840% 05/15/2016 710
471,376 CONTIMORTGAGE HOME EQ LOAN TRUST 99-3 CL A4
7.120% 01/25/2025 471,996
354,537 FIRST PLUS HOME LOAN TRUST 99-4 CL A
7.320% 11/10/2023 354,445
1,084,056 FIRSTCITY CAP HOME EQ 98-1 CL A4 144A
(STEP BOND) 6.720% 06/25/2028* 1,120,353
1,446,112 FMAC LOAN REC TRUST 98-BA CL A2 144A
6.740% 11/15/2020* 983,356
1,270,000 GE CAP MTG SER 96-HE3 CL A5
7.925% 09/25/2026 1,322,042
800,000 GMAC MTG CORP LOAN TRUST 02-HE2 A4
6.000% 06/25/2027 832,360
1,000,000 GREEN TREE HOME EQ LOAN TRUST 98-A CL M2
7.170% 06/15/2029 1,044,149
1,000,000 GREEN TREE HOME IMPROVEMENT LOAN TRUST
96-F CL HEM2 7.950% 01/15/2028 1,025,039
360,735 IRWIN HOME EQ TRUST 99-2 CL A4 (STEP BOND)
6.890% 06/15/2029 383,429
830,793 MID-STATE TRUST VI CL A3 7.540% 07/01/2035 853,812
472,650 NEW CENTURY HOME EQ LOAN TRUST
99-NCB CL A7 (STEP BOND) 7.540% 06/25/2029 502,815
445,953 OAKWOOD MORTGAGE INVESTORS INC
02-B CL A1 (FRN) 1.540% 05/15/2013 446,071
750,000 RESIDENTIAL ASSET MTG PRODUCTS INC
00-RZ1 CL A3 (STEP BOND) 8.270% 10/25/2029 815,754
843,000 RESIDENTIAL ASSET MTG PRODUCTS INC
02-RS1 CL AI4 (STEP BOND) 6.580% 01/25/2032 873,835
631,598 RESIDENTIAL FDG MTG SECS I 02-HI1 CL A2
4.330% 06/25/2011 632,200
380,585 SOUNDVIEW HOME EQ LOAN TRUST
01-1 CL A (STEP BOND) 6.265% 04/15/2031 394,795
1,279,957 UCFC HOME EQ LOAN 97-C CL A7
6.845% 01/15/2029 1,341,232
743,070 UNION ACCEP CORP 00-D CL A3
6.720% 10/11/2005 751,638
392,628 WFS FINL OWNER TRUST 00-C CL A3
7.070% 02/20/2005 394,518
--------------
TOTAL ASSET BACKED SECURITIES (COST $19,541,075) $ 19,395,117
COLLATERALIZED MORTGAGE OBLIGATIONS 5.54%
PRIVATE LABEL CMO'S 3.00%
1,103,763 ABN AMRO MTG CORP 02-1A CL 1A1
5.850% 06/25/2032 $ 1,129,531
1,260,178 ASSET SECURITIZATION CORP 96-MD6 CL A1B
6.880% 11/13/2029 1,290,096
46,287 FLEET MTG SECS 01-1 CL A5 7.500% 01/28/2030 46,193
325,546 STRUCTURED ASSET SECS 01-15A CL 4A1
6.000% 10/25/2031 336,258
89,772 WELLS FARGO MTG BACKED SEC TRUST 02-A CL A3
5.900% 03/25/2032 89,716
--------------
TOTAL PRIVATE LABEL CMO'S $ 2,891,794
U.S. AGENCY CMO'S 2.54%
359,765 FHLMC 1433 CL Z 7.000% 02/15/2022 $ 362,636
1,416,764 FHLMC 1502 CL PZ 7.000% 08/15/2022 1,455,337
413,250 FHLMC 1726 CL Z 6.750% 02/15/2020 417,701
207,731 FNMA 92-185 CL K 7.000% 04/25/2022 210,075
--------------
TOTAL U.S. AGENCY CMO'S $ 2,445,749
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $5,420,405) $ 5,337,543
CORPORATE DEBT 11.61%
BANKING & FINANCE 6.68%
600,000 BEAR STEARNS CO (FRN) 1.561% 12/16/2004 $ 599,966
600,000 BEAR STEARNS CO MTN (FRN) 1.565% 06/26/2004 597,490
460,000 CREDIT SUISSE FIRST BOSTON USA INC
5.750% 04/15/2007 502,369
1,000,000 FORD MOTOR CREDIT CO 6.875% 02/01/2006 1,034,503
750,000 FORD MOTOR CREDIT CO MTN (FRN)
1.431% 03/13/2007 639,000
1,200,000 GENERAL MTRS ACCEP CORP 6.750% 01/15/2006 1,265,386
250,000 HOUSEHOLD FINANCE CORP NTS 6.500% 01/24/2006 278,139
235,000 HOUSEHOLD FINANCE CORP SR NTS MTN (FRN)
1.690% 05/28/2004 235,619
685,000 INTL LEASE FINANCE CORP MTN 5.500% 06/07/2004 712,005
500,000 JP MORGAN & CO SUB NTS 6.700% 11/01/2007 570,045
--------------
TOTAL BANKING & FINANCE $ 6,434,522
TELECOMMUNICATIONS 1.33%
1,000,000 CENTRAL TELEPHONE MTN 6.875% 09/21/2004 $ 1,054,710
800,000 WORLDCOM INC SR NTS 7.750% 04/01/2007# 226,000
--------------
TOTAL TELECOMMUNICATIONS $ 1,280,710
TRANSPORTATION 1.96%
572,980 CONTINENTAL AIRLINES INC 97-4 CL 4A
6.900% 01/02/2018 $ 489,347
209,155 CONTINENTAL AIRLINES INC 98-1 CL 1A
6.648% 09/15/2017 178,628
395,160 DELTA AIRLINES INC NTS 144A (FRN)
2.070% 01/25/2008* 395,160
538,694 NORTHWEST AIRLINES CORP 99-2 CL A
7.575% 03/01/2019 517,135
287,339 SOUTHWEST AIRLINES CO 00-1 CL A1
5.100% 05/01/2006 303,053
--------------
TOTAL TRANSPORTATION $ 1,883,323
UTILITIES 1.64%
1,500,000 SEMPRA ENERGY 6.925% 07/01/2004 $ 1,577,582
--------------
TOTAL UTILITIES $ 1,577,582
--------------
TOTAL CORPORATE DEBT (COST $11,519,251) $ 11,176,137
U.S. GOVERNMENT AND AGENCIES 58.34%
FHLMC POOLS 22.22%
729,690 FHLMC GOLD POOL #C90504 6.500% 12/01/2021 $ 766,904
817,097 FHLMC GOLD POOL #G10293 8.500% 11/01/2009 894,879
606,506 FHLMC GOLD POOL #G10748 9.000% 11/01/2006 615,283
490,952 FHLMC GOLD POOL #G11101 8.000% 02/01/2015 532,592
656,689 FHLMC GOLD POOL #M80697 6.500% 08/01/2008 680,077
698,373 FHLMC GOLD POOL #M80700 6.000% 09/01/2008 724,639
547,545 FHLMC GOLD POOL #M80701 6.500% 09/01/2008 567,046
675,401 FHLMC GOLD POOL #M80706 6.000% 10/01/2008 700,804
653,370 FHLMC GOLD POOL #M80723 6.000% 01/01/2009 677,944
838,138 FHLMC GOLD POOL #M80727 6.000% 02/01/2009 868,711
753,207 FHLMC GOLD POOL #M80739 6.000% 03/01/2009 780,682
709,182 FHLMC GOLD POOL #M80740 6.500% 03/01/2009 734,636
1,099,472 FHLMC GOLD POOL #M80742 6.000% 04/01/2009 1,139,577
1,156,564 FHLMC GOLD POOL #M80751 6.000% 06/01/2009 1,198,752
1,418,518 FHLMC GOLD POOL #M80754 5.500% 06/01/2009 1,471,536
766,499 FHLMC GOLD POOL #M80759 6.000% 07/01/2009 794,458
1,663,650 FHLMC GOLD POOL #M80770 5.000% 09/01/2009 1,721,095
726,952 FHLMC GOLD POOL #M80776 6.000% 08/01/2009 753,469
1,510,000 FHLMC GOLD POOL #M80827 5.500% 04/01/2010 1,566,557
795,987 FHLMC GOLD POOL #M90694 5.000% 01/01/2007 826,301
684,747 FHLMC GOLD POOL #M90702 5.500% 02/01/2007 710,906
1,080,287 FHLMC GOLD POOL #M90749 6.000% 07/01/2007 1,120,944
797,930 FHLMC GOLD POOL #M90801 5.500% 01/01/2008 828,413
217,463 FHLMC GOLD POOL #P50019 7.000% 07/01/2024 227,929
480,000 FHLMC TBA 5.500% 05/15/2018 499,050
--------------
TOTAL FHLMC POOLS $ 21,403,184
</Table>
38
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
FNMA POOLS 16.50%
629,012 FNMA POOL #253940 6.500% 08/01/2008 $ 650,966
1,376,045 FNMA POOL #253995 6.000% 09/01/2008 1,429,119
605,362 FNMA POOL #253996 6.500% 09/01/2008 626,491
521,822 FNMA POOL #254042 6.500% 10/01/2008 540,036
557,804 FNMA POOL #254084 6.000% 11/01/2008 579,318
666,377 FNMA POOL #254137 6.000% 12/01/2008 692,079
729,810 FNMA POOL #254255 6.000% 03/01/2009 755,747
1,331,166 FNMA POOL #254302 6.000% 05/01/2009 1,378,475
1,332,871 FNMA POOL #254400 5.500% 07/01/2009 1,381,439
772,995 FNMA POOL #254401 6.000% 07/01/2009 800,467
972,010 FNMA POOL #254431 6.500% 07/01/2009 1,006,462
1,617,605 FNMA POOL #254504 5.500% 10/01/2009 1,676,549
853,854 FNMA POOL #254583 5.500% 12/01/2009 884,968
907,321 FNMA POOL #313823 8.500% 09/01/2007 954,166
679,590 FNMA POOL #523852 11.000% 10/01/2014 774,472
293,015 FNMA POOL #535618 8.500% 04/01/2010 319,713
1,021,606 FNMA POOL #576027 7.500% 01/01/2015 1,096,401
333,704 FNMA POOL #596365 6.500% 07/01/2008 345,351
--------------
TOTAL FNMA POOLS $ 15,892,219
GNMA POOLS 0.13%
113,770 GNMA POOL #780321 9.500% 07/15/2007 $ 125,270
--------------
TOTAL GNMA POOLS $ 125,270
OTHER U.S. AGENCIES 8.27%
3,900,000 FHLMC DISC NT 1.180% 05/20/2003** $ 3,897,571
665,000 FHLMC DISC NT 1.175% 05/27/2003** 664,436
760,000 FHLMC MTN 3.900% 10/03/2007 768,858
1,350,000 FNMA DISC NT 1.170% 05/15/2003** 1,349,386
1,250,000 FNMA GLOBAL BOND 2.875% 10/15/2005 1,280,384
--------------
TOTAL OTHER U.S. AGENCIES $ 7,960,635
U.S. TREASURIES 11.22%
1,136,894 U.S. TREASURY INFLATION INDEXED NT
3.375% 01/15/2007 $ 1,238,327
3,675,000 U.S. TREASURY NTS 4.250% 05/31/2003 3,684,331
1,390,000 U.S. TREASURY NTS 3.875% 07/31/2003 1,399,774
4,055,000 U.S. TREASURY NTS 6.750% 05/15/2005 4,479,510
--------------
TOTAL U.S. TREASURIES $ 10,801,942
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $55,769,514) $ 56,183,250
--------------
TOTAL INVESTMENTS AT VALUE 95.63% (COST $92,250,245) 92,092,047
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 4.37% 4,207,004
--------------
NET ASSETS 100.00% $ 96,299,051
</Table>
See Notes to Financial Statements.
FRN Floating Rate Note
TBA Securities purchased on a forward commitment basis with an approximate
principal amount and no definite maturity date. The actual principal
amount and maturity date will be determined on settlement.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed is as
of April 30, 2003. Maturity date shown is the stated maturity date of
the security.
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2003, these
securities amounted to $2,498,869 or 2.6% of net assets.
# Denotes that this security is in default.
** Denotes yield to maturity.
39
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
April 30, 2003
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 28.92%
93,898 ABSC LONG BEACH HOME EQ LOAN TRUST
00-LB1 CL AV (FRN) 1.589% 08/21/2030 $ 93,884
63,394 ACE SEC CORP 01-AQ1 CL A1 (FRN) (STEP BOND)
1.580% 04/25/2031 63,330
250,000 AESOP FDG II LLC 00-3 CL A 144A (FRN)
1.508% 10/20/2004* 249,922
220,594 AFC HOME EQ LOAN TRUST 00-2 CL 1A (FRN)
1.710% 06/25/2030 220,931
397,583 AFC HOME EQ LOAN TRUST 99-1 CL 1A (FRN)
1.800% 02/24/2029 398,589
280,000 AMERICAN EXPRESS MASTER TRUST 02-2 CL A (FRN)
1.360% 05/15/2006 280,118
400,000 AMERICREDIT AUTO REC TRUST 00-C CL A4 (FRN)
1.510% 07/12/2007 399,739
500,000 AMERICREDIT AUTO REC TRUST 00-D CL A4 (FRN)
1.548% 09/12/2007 500,684
21,137 AMERICREDIT AUTO REC TRUST 01-B CL A2 (FRN)
1.410% 06/13/2005 21,137
208,334 ARG FDG CORP 00-4A CL A 144A (FRN)
1.387% 09/20/2004* 208,333
750,000 ARG FDG CORP 01-2A CL A 144A (FRN)
1.569% 03/20/2006* 747,981
249,534 ASSET BACKED SEC CORP HOME EQ LOAN TRUST
01-HE3 CL A1 (FRN) (STEP BOND) 1.580% 11/15/2031 249,533
250,000 BANK ONE ISSUANCE TRUST 03-A2 CL A2 (FRN)
1.360% 10/15/2008 249,999
200,000 BMW VEHICLE OWNER TRUST 03-A CL A2
1.450% 11/25/2005 199,750
175,528 CALIFORNIA INFRASTRUCTURE PG&E 97-1 CL A6
6.320% 09/25/2005 177,770
95,102 CALIFORNIA INFRASTRUCTURE SCE-1 97-1 CL A5
6.280% 09/25/2005 96,451
325,000 CAPITAL AUTO REC ASSET TRUST 01-2 CL A3
4.600% 09/15/2005 326,500
30,279 CAPITAL AUTO REC ASSET TRUST 02-1 CL A2 (FRN)
1.380% 03/15/2004 30,279
231,048 CAPITAL AUTO REC ASSET TRUST 02-4 CL A2B
1.740% 01/17/2005 231,334
225,000 CAPITAL AUTO REC ASSET TRUST 03-1 CL A1B (FRN)
1.360% 06/15/2005 224,948
195,000 CAPITAL ONE MULTI-ASSET EXECUTION TRUST
03-A1 CL A1 (FRN) 1.690% 01/15/2009 195,000
300,000 CHASE CREDIT CARD MASTER TRUST 02-4 CL A (FRN)
1.360% 10/15/2007 300,126
323,721 CHASE MANHATTAN AUTO OWNER TRUST 01-B CL A3
3.090% 11/15/2005 326,364
111,174 CHASE MANHATTAN AUTO OWNER TRUST 02-A CL A2
2.630% 10/15/2004 111,368
200,000 CHASE MANHATTAN AUTO OWNER TRUST 02-A CL A3
3.490% 03/15/2006 203,528
150,000 CHASE MANHATTAN AUTO OWNER TRUST 02-B CL A3
3.580% 05/15/2006 153,557
213,824 CIT GROUP HOME EQ LOAN TRUST 02-1 CL AV (FRN)
1.610% 03/25/2033 213,949
386,082 CIT GROUP HOME EQ LOAN TRUST 02-2 CL AV (FRN)
(STEP BOND) 1.590% 06/25/2033 386,079
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 00-A2 CL A2
(FRN) 1.399% 11/07/2005 199,947
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-A9 CL A9
(FRN) 1.299% 12/17/2007 199,934
175,000 CITIBANK CREDIT CARD ISSUANCE TRUST 03-A5 CL A5
2.500% 04/07/2008 176,151
109,112 CONSECO FINANCE 02-B CL A1 (FRN)
1.540% 05/15/2033 109,122
245,761 COUNTRYWIDE ASSET BACKED CERT 02-1 CL A (FRN)
1.600% 08/25/2032 245,597
323,998 COUNTRYWIDE ASSET BACKED CERT 02-BC1 CL A
(STEP BOND) 1.650% 04/25/2032 324,077
341,097 COUNTRYWIDE HOME EQ LOAN TRUST 02-A CL A
(FRN) 1.570% 04/15/2028 340,556
181,063 CREDIT-BASED ASSET SERV & SEC 00-CB2 CL A1A
(STEP BOND) 1.730% 09/25/2029 181,411
172,705 CREDIT-BASED ASSET SERV & SEC 01-CB4 CL 1A1
(STEP BOND) 1.770% 11/25/2033 $ 173,227
41,319 DAIMLER CHRYSLER AUTO TRUST 01-C CL A2
3.710% 07/06/2004 41,407
38,394 DAIMLER CHRYSLER AUTO TRUST 01-D CL A2
2.470% 06/06/2004 38,419
181,605 DAIMLER CHRYSLER AUTO TRUST 02-B CL A2
2.200% 04/06/2005 182,162
175,000 DAIMLER CHRYSLER AUTO TRUST 02-C CL A2
2.070% 06/08/2005 175,532
155,000 DAIMLER CHRYSLER MASTER OWNER TRUST
03-A CL A (FRN) 1.360% 02/15/2008 154,999
71,894 DELTA FDG HOME EQ LOAN TRUST 99-3 CL A1A
(STEP BOND) 1.720% 09/15/2029 72,031
300,000 DRIVETIME AUTO OWNER TRUST 02-C CL A3 144A
3.070% 12/17/2007* 300,469
268,574 EMC MTG LOAN TRUST 02-AA CL A1 (FRN)
1.790% 05/25/2039 269,473
500,000 FIRST BANKCARD MASTER CREDIT CARD TRUST
00-2A CL A 144A (FRN) 1.480% 04/17/2006* 500,195
401,564 FIRST SECURITY AUTO OWNER TRUST 00-1 CL A4
7.400% 10/17/2005 409,472
400,000 FIRST USA CREDIT CARD MASTER TRUST 96-8 CL A
(FRN) 1.430% 09/10/2006 400,084
250,000 FORD CREDIT AUTO OWNER TRUST 00-A CL B
7.370% 07/15/2004 251,841
80,270 FORD CREDIT AUTO OWNER TRUST 02-A CL A2B (FRN)
1.410% 05/15/2004 80,271
340,000 FORD CREDIT AUTO OWNER TRUST 02-A CL A3B (FRN)
1.430% 01/15/2006 340,073
90,000 FORD CREDIT AUTO OWNER TRUST 03-A CL A2B (FRN)
1.360% 08/15/2005 89,972
300,000 FORD CREDIT FLOORPLAN MASTER OWNER TRUST
01-1 CL A (FRN) 1.400% 07/17/2006 300,072
27,762 GMAC MTG CORP LOAN TRUST 00-CL1 CL A3
7.570% 08/25/2023 27,739
227,822 GREEN TREE FINL CORP 99-4 CL A4 6.640% 05/01/2031 228,469
53,822 GUARANTEED EXPORT TRUST 96-A CL A
6.550% 06/15/2004 55,302
20,993 HARLEY DAVIDSON EAGLEMARK MOTORCYCLE TRUST
01-1 CL A1 4.650% 09/15/2005 21,173
31,870 HARLEY DAVIDSON MOTOR TRUST 01-2 CL A1
3.770% 04/17/2006 32,042
29,498 HONDA AUTO REC OWNER TRUST 02-1 CL A2
2.550% 04/15/2004 29,519
175,000 HONDA AUTO REC OWNER TRUST 03-1 CL A2
1.460% 09/19/2005 175,134
1,000,000 HOUSEHOLD AUTO TRUST 00-2 CL A4
7.430% 04/17/2007 1,050,380
236,506 HOUSEHOLD AUTO TRUST 02-2 CL A2
2.150% 12/19/2005 237,217
245,000 HOUSEHOLD AUTO TRUST 02-3 CL A3B (FRN)
1.510% 06/18/2007 244,918
51,585 HOUSEHOLD AUTO TRUST I 99-1 CL A4
6.650% 04/17/2006 52,193
180,149 HOUSEHOLD HOME EQ LOAN TRUST 01-2 CL A (FRN)
1.690% 07/20/2031 180,339
111,577 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL A (FRN)
1.690% 12/22/2031 111,720
55,788 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL M (FRN)
2.140% 12/22/2031 56,000
330,687 INDY MAC HOME EQ LOAN ASSET-BACKED TRUST
01-A CL AV (FRN) 1.580% 03/25/2031 329,989
147,098 KEYCORP STUDENT LOAN TRUST 95-B CL A (FRN)
1.550% 09/27/2024 147,112
361,119 LONG BEACH ASSET HOLDINGS CORP 03-1 CL N 144A
(FRN) 1.700% 02/25/2008* 361,119
116,612 LONG BEACH MTG LOAN TRUST 00-1 CL AV-1 (FRN)
1.578% 01/21/2031 116,572
220,143 LONG BEACH MTG LOAN TRUST 01-2 CL A2
(STEP BOND) 1.600% 07/25/2031 220,006
</Table>
40
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
308,386 MADISON AVENUE MANUFACTURED HOUSING
CONTRACT 02-A CL A1 (FRN) 1.670% 03/25/2032 $ 307,952
265,000 MBNA CREDIT CARD MASTER NT TRUST 01-A4 CL A
(FRN) 1.440% 02/15/2007 265,256
500,000 MBNA CREDIT CARD MASTER NT TRUST 97-C CL A
(FRN) (STEP BOND) 1.420% 08/15/2006 500,130
82,186 MERRILL LYNCH MTG INVESTORS 02-AFC1 CL AF1
(FRN) 1.550% 07/25/2016 82,197
182,522 MERRILL LYNCH MTG INVESTORS 02-AFC1 CL AV1
(FRN) 1.690% 09/25/2032 182,736
387,126 MERRILL LYNCH MTG INVESTORS 03-WMC1 CL A2
(FRN) 1.680% 11/25/2033 387,471
159,186 MMCA WHOLESALE MASTER OWNER TRUST
01-1 CL A 144A (STEP BOND) 1.520% 05/15/2006* 159,068
94,973 NISSAN AUTO REC OWNER TRUST 02-A CL A2
2.670% 07/15/2004 95,125
180,000 NISSAN AUTO REC OWNER TRUST 03-A CL A2
1.450% 05/16/2005 180,078
379,283 ONYX ACCEP AUTO TRUST 01-C CL A3
4.650% 06/15/2005 382,877
3,988 ONYX ACCEP AUTO TRUST 02-A CL A2
2.680% 08/15/2004 3,990
341,000 PECO ENERGY TRANSITION TRUST 99-A CL A3 (FRN)
1.464% 03/01/2006 340,929
368,443 RESIDENTIAL ASSET SECS CORP 00-KS3 CL AII (FRN)
1.550% 07/25/2031 368,037
398,776 RESIDENTIAL ASSET SECURITIES CORP 03-KS2 CL AIIB
(FRN) 1.620% 01/25/2033 398,686
32,191 SLM LOAN TRUST 00-1 CL A1L (FRN)
1.410% 10/27/2008 32,209
218,230 SLM LOAN TRUST 02-A CL A1 (FRN)
1.409% 06/15/2016 218,551
100,000 SLM LOAN TRUST 03-A CL A1 (FRN)
1.339% 12/15/2015 100,172
105,838 SLM LOAN TRUST 99-2 CL A2L (FRN)
1.520% 04/25/2011 106,045
205,021 SOUTHERN PACIFIC SECURED ASSETS CORP 98-2
CL A1 (STEP BOND) 1.490% 07/25/2029 204,684
140,683 TEXTRON FINL CORP 01-A CL A3 144A (FRN)
1.688% 02/20/2009* 140,485
275,000 TOYOTA AUTO REC OWNER TRUST 01-C CL A4
4.720% 09/15/2008 287,622
51,063 TOYOTA AUTO REC OWNER TRUST 02-A CL A2 (FRN)
1.360% 07/15/2004 51,061
65,000 TOYOTA AUTO REC OWNER TRUST 02-C CL A3
2.650% 11/15/2006 66,102
160,000 TOYOTA AUTO REC OWNER TRUST 03-A CL A2
1.280% 08/15/2005 159,876
194,184 UNION ACCEP CORP 98-C CL A5 (STEP BOND)
5.640% 05/08/2006 194,394
53,094 WFS FINL OWNER TRUST 00-B CL A3
7.750% 11/20/2004 53,284
62,821 WFS FINL OWNER TRUST 00-C CL A3
7.070% 02/20/2005 63,123
110,236 WFS FINL OWNER TRUST 01-A CL A3 (FRN)
1.499% 10/20/2005 110,266
200,000 WFS FINL OWNER TRUST 01-A CL A4 (FRN)
1.549% 10/20/2008 199,990
112,086 WFS FINL OWNER TRUST 01-C CL A3 (FRN)
1.410% 03/20/2006 112,103
400,000 WFS FINL OWNER TRUST 02-1 CL A3B (FRN)
1.400% 12/20/2006 400,170
125,000 WFS FINL OWNER TRUST 03-1 CL A2
1.500% 03/20/2006 125,120
200,000 WHOLE AUTO LOAN TRUST 02-1 CL A2
1.880% 06/15/2005 200,617
100,489 WORLD OMNI AUTO REC TRUST 01-A CL A3
5.300% 02/20/2005 101,409
75,000 WORLD OMNI AUTO REC TRUST 03-A CL A2
1.460% 08/15/2005 75,110
--------------
TOTAL ASSET BACKED SECURITIES (COST $22,778,416) $ 22,751,545
COLLATERALIZED MORTGAGE OBLIGATIONS 9.01%
PRIVATE LABEL CMO'S 7.18%
1,500,000 BANC OF AMERICA FUNDING CORP 03-1 CL A1
6.000% 05/20/2033 $ 1,535,625
56,949 COMM 00-FL3A CL A 144A (FRN)
1.530% 11/15/2012* 56,938
9,850 COMM 01-FL5A CL A1 144A (FRN)
1.760% 11/15/2013* 9,848
700,000 CRUSADE GLOBAL TRUST 03-1 CL A (FRN)
1.409% 01/17/2034 700,952
188,363 CS FIRST BOSTON MTG SEC CORP 01-FL2A CL A 144A
(FRN) 1.560% 09/15/2013* 187,763
148,143 CS FIRST BOSTON MTG SEC CORP 03-NP6 CL A1 144A
(FRN) 2.220% 08/25/2032* 148,143
159,423 GRANITE MTG PLC 01-2 CL 1A (FRN)
1.559% 10/20/2021 159,592
82,725 GRANITE MTG PLC 02-1 CL 1A1 (FRN)
1.429% 12/20/2016 82,720
95,385 GRANITE MTG PLC 02-2 CL 1A1 (FRN)
1.439% 01/20/2017 95,385
190,000 GRANITE MTG PLC 03-1 CL 1A2 (FRN)
1.519% 01/20/2020 190,055
77,064 GRP/AG REAL ESTATE ASSET TRUST 02-1 CL A1 144A
(STEP BOND) 5.450% 04/25/2007* 76,486
206,242 GS MTG SECS CORP II 00-GSFL CL A 144A (FRN)
1.590% 08/15/2012* 205,866
265,000 HOLMES FINANCING PLC 4 CL 1A (FRN)
1.479% 07/15/2015 265,276
250,000 HOLMES FINANCING PLC 6 CL 2A (FRN)
1.459% 04/15/2008 250,000
120,000 JP MORGAN CHASE COMMERCIAL MTG SEC TRUST
03-FL1A CL A1 144A (FRN) 1.574% 02/17/2015* 120,001
133,384 KINGFISHER SECURITIZATION 01-1G CL A (STEP BOND)
1.450% 09/20/2032 133,258
250,000 MEDALLION TRUST 03-1G CL A (FRN)
1.476% 12/21/2033 250,100
78,528 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.640% 05/25/2033 78,528
205,000 PERMANENT FINANCING PLC 1 CL 3A (FRN)
1.443% 06/10/2007 204,824
125,000 PERMANENT FINANCING PLC 2 CL 2A (FRN)
1.481% 09/10/2007 125,002
250,000 RESOLUTION MTG ACCEPTANCE CORP
03-NS1A CL A1B 144A (FRN) 1.413% 06/12/2016* 250,000
207,682 TORRENS TRUST 00-1GA CL A 144A (FRN)
1.570% 07/15/2031* 207,956
314,820 WESTPAC SECURITIZATION TRUST 98-1G CL A (FRN)
1.469% 07/19/2029 315,182
--------------
TOTAL PRIVATE LABEL CMO'S $ 5,649,500
U.S. AGENCY CMO'S 1.83%
200,000 FHLMC 2481 CL OA 5.000% 08/15/2008 $ 202,890
500,000 FNMA 01-31 CL PC 6.500% 09/25/2023 504,821
190,743 FNMA 02-58 CL PA 5.000% 08/25/2014 193,051
241,948 FNMA 02-70 CL QA 5.500% 11/25/2010 246,813
50,346 FNMA 99-41 CL PB 6.500% 06/25/2010 50,341
240,531 FNMA 99-51 CL LE 6.500% 10/25/2023 241,015
--------------
TOTAL U.S. AGENCY CMO'S $ 1,438,931
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $7,104,642) $ 7,088,431
CORPORATE DEBT 17.48%
BANKING & FINANCE 11.76%
250,000 AMERICAN EXPRESS CREDIT MTN (FRN)
1.387% 11/17/2003 $ 250,104
250,000 ASIF GLOBAL FINANCING XVI 144A (FRN)
1.529% 09/02/2005* 250,150
120,000 ASSOCIATES CORP NA (FRN) 1.600% 05/08/2003 120,003
250,000 BANK OF AMERICA CORP MTN (FRN)
1.600% 05/03/2004 250,540
250,000 BANK OF AMERICA CORP MTN (FRN)
1.609% 10/22/2004 250,898
</Table>
41
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
260,000 BANK ONE CORP 7.625% 08/01/2005 $ 291,662
200,000 BOEING CAPITAL CORP SR MTN (FRN)
1.809% 09/16/2003 199,950
500,000 BP CAPITAL MARKETS PLC (FRN)
1.295% 03/08/2004 499,919
300,000 CATERPILLAR FINANCIAL SERVICES CORP MTN (FRN)
1.510% 11/04/2003 300,183
200,000 CIT GROUP INC SR NTS 7.500% 11/14/2003 205,725
300,000 CITIGROUP INC (FRN) 1.540% 03/09/2004 300,568
200,000 COUNTRYWIDE HOME LOAN MTN 6.840% 10/22/2004 213,627
350,000 FIRST UNION NATL BANK (FRN) 1.580% 02/20/2004 350,613
200,000 FLEETBOSTON FINL CORP MTN (FRN)
1.430% 07/14/2003 200,031
100,000 GENERAL ELECTRIC CAP CORP MTN (FRN)
1.409% 09/15/2004 100,157
500,000 GENERAL ELECTRIC CAP CORP MTN (FRN)
1.384% 03/15/2005 500,279
250,000 GENERAL MTRS ACCEP CORP (FRN)
1.529% 04/05/2004 247,967
300,000 GENERAL MTRS ACCEP CORP MTN (FRN)
2.049% 01/20/2004 299,316
200,000 HELLER FINL INC 6.000% 03/19/2004 207,885
250,000 HOUSEHOLD FINANCE CORP MTN (FRN)
1.500% 08/01/2003 250,053
250,000 HOUSEHOLD FINANCE CORP MTN (FRN)
1.699% 08/07/2003 250,190
275,000 JP MORGAN CHASE & CO MTN (FRN)
1.510% 05/20/2004 274,984
250,000 MONUMENT GLOBAL FDG II 144A (FRN)
1.540% 09/26/2003* 250,232
250,000 MONUMENT GLOBAL FDG II 144A (FRN)
1.475% 02/11/2005* 249,941
250,000 NATIONAL RURAL UTILITIES (FRN)
1.749% 02/07/2005 249,987
250,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CO
5.250% 07/15/2004 260,143
300,000 SLM CORP MTN (FRN) 1.650% 10/25/2004 300,640
250,000 SLM CORP MTN (FRN) 1.600% 01/25/2005 250,913
250,000 TOYOTA MOTOR CREDIT CORP MTN
2.800% 01/18/2006 254,477
250,000 UNILEVER CAPITAL CORP 6.750% 11/01/2003 256,864
250,000 US BANCORP NT MTN (FRN) 1.409% 09/16/2005 250,068
500,000 US BANK NA MTN (FRN) 1.430% 06/14/2005 500,931
250,000 VW CREDIT INC MTN 144A (FRN) 1.509% 01/22/2004* 250,167
250,000 WACHOVIA CORP 6.925% 10/15/2003 256,304
110,000 WELLS FARGO & CO (FRN) 1.350% 10/01/2004 110,100
--------------
TOTAL BANKING & FINANCE $ 9,255,571
BASIC INDUSTRIES 0.56%
250,000 ALCOA INC NT (FRN) 1.611% 12/06/2004 $ 250,517
185,000 DOW CHEMICAL CO 5.250% 05/14/2004 190,846
--------------
TOTAL BASIC INDUSTRIES $ 441,363
CONSUMER DURABLES 0.32%
250,000 BMW US CAPITAL LLC 4.248% 06/07/2003 $ 250,574
--------------
TOTAL CONSUMER DURABLES $ 250,574
CONSUMER NON-DURABLES 1.20%
225,000 ALTRIA GROUP INC 6.800% 12/01/2003 $ 226,134
200,000 COCA-COLA ENTERPRISES INC 6.625% 08/01/2004 212,117
250,000 COCA-COLA ENTERPRISES INC (FRN)
1.570% 04/26/2004 250,292
250,000 PEPSI BOTTLING HLDGS INC NT 144A
5.375% 02/17/2004* 257,645
--------------
TOTAL CONSUMER NON-DURABLES $ 946,188
CONSUMER SERVICES 1.29%
550,000 TARGET CORP NTS 7.500% 02/15/2005 $ 603,854
200,000 WAL-MART STORES INC 4.375% 08/01/2003 201,477
194,000 WAL-MART STORES INC 6.550% 08/10/2004 206,148
--------------
TOTAL CONSUMER SERVICES $ 1,011,479
ENERGY 0.54%
200,000 CONOCO FDG CO 5.450% 10/15/2006 $ 218,220
200,000 CONOCO INC 5.900% 04/15/2004 207,863
--------------
TOTAL ENERGY $ 426,083
HEALTH CARE 0.32%
250,000 UNITED HEALTH GROUP INC 144A (FRN)
1.950% 11/09/2004* $ 250,040
--------------
TOTAL HEALTH CARE $ 250,040
TECHNOLOGY 0.64%
500,000 IBM CORP (FRN) 1.443% 09/10/2004 $ 500,408
--------------
TOTAL TECHNOLOGY $ 500,408
TELECOMMUNICATIONS 0.71%
236,000 BELLSOUTH CORP 5.000% 10/15/2006 $ 253,526
300,000 SOUTHWESTERN BELL TELEPHONE CO MTN
5.770% 10/14/2003 305,803
--------------
TOTAL TELECOMMUNICATIONS $ 559,329
TRANSPORTATION 0.14%
115,468 AMERICAN AIRLINES INC (FRN) 1.910% 09/23/2007 $ 114,314
--------------
TOTAL TRANSPORTATION $ 114,314
--------------
TOTAL CORPORATE DEBT (COST $13,682,969) $ 13,755,349
FOREIGN DEBT 1.11%
250,000 DIAGEO CAPITAL PLC GTD 6.625% 06/24/2004 $ 264,506
300,000 MANITOBA (PROVINCE OF) 12/12/02
2.750% 01/17/2006 304,132
110,000 REPUBLIC OF ITALY 5.250% 01/16/2004 113,197
190,000 REPUBLIC OF ITALY 2.500% 03/31/2006 191,587
--------------
TOTAL FOREIGN DEBT (COST $866,972) $ 873,422
U.S. GOVERNMENT AND AGENCIES 17.45%
OTHER U.S. AGENCIES 17.45%
820,000 FEDERAL FARM CREDIT BANK DISC NT
0.000% 02/13/2004 $ 812,325
1,000,000 FHLB 4.875% 04/16/2004 1,034,365
250,000 FHLB 5.715% 05/12/2004 261,458
750,000 FHLB 3.375% 06/15/2004 768,069
1,000,000 FHLB 3.625% 10/15/2004 1,032,335
96,000 FHLB DISC NT 2.552% 05/16/2003** 95,950
150,000 FHLB DISC NT 1.192% 01/09/2004** 148,767
1,000,000 FHLMC DISC NT 1.192% 12/30/2003** 992,103
1,360,000 FHLMC DISC NT 1.188% 12/31/2003** 1,349,256
1,000,000 FHLMC DISC NT 1.193% 01/29/2004** 991,127
500,000 FHLMC DISC NT 1.160% 02/26/2004** 495,250
250,000 FHLMC DISC NT 1.207% 04/22/2004** 247,074
500,000 FHLMC MTN 1.585% 12/08/2003 500,057
1,000,000 FNMA 1.875% 12/15/2004 1,006,800
1,200,000 FNMA DISC NT 1.147% 06/19/2003** 1,198,122
500,000 FNMA DISC NT 1.165% 07/09/2003** 498,889
1,650,000 FNMA DISC NT 1.190% 12/12/2003** 1,637,955
400,000 SLMA 3.375% 07/15/2004 410,998
250,000 SLMA (FRN) 1.236% 10/16/2003 249,974
--------------
TOTAL OTHER U.S. AGENCIES $ 13,730,874
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $13,712,605) $ 13,730,874
CERTIFICATES OF DEPOSIT 1.65%
300,000 ABBEY NATIONAL TREASURY YANKEE CD
1.290% 03/10/2004 $ 300,186
750,000 WESTDEUTSCHE LANDESBANK NY CD
1.350% 01/27/2004 750,885
250,000 WILMINGTON TRUST CO CD 1.280% 05/27/2003 250,014
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $1,299,973) $ 1,301,085
COMMERCIAL PAPER 3.71%
550,000 CLIPPER REC CORP 144A 1.205% 06/20/2003* ** $ 549,078
470,000 KFW INTL FINANCE INC 1.203% 06/26/2003** 469,123
800,000 LLOYDS BANK PLC 1.293% 05/06/2003** 799,832
</Table>
42
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
300,000 MERCK & CO INC 1.238% 05/21/2003** $ 299,787
250,000 PROCTOR & GAMBLE CO 1.293% 05/06/2003** 249,948
300,000 SVENSKA HANDELSBANKEN INC
1.203% 06/11/2003** 299,583
250,000 SVENSKA HANDELSBANKEN INC
1.213% 06/24/2003** 249,549
--------------
TOTAL COMMERCIAL PAPER (COST $2,916,818) $ 2,916,900
TIME DEPOSITS 8.48%
820,000 APRECO INC 144A 1.250% 05/13/2003* $ 819,658
350,000 BMW US CAPITAL CORP 1.246% 05/12/2003 349,867
650,000 CIESCO LP 1.230% 05/19/2003 649,600
425,000 COCA-COLA ENTERPRISES INC 144A
1.240% 05/16/2003* 424,781
650,000 CORPORATE ASSET FUNDING CO INC 144A
1.240% 06/05/2003* 649,216
524,000 CORPORATE REC CORP 144A 1.200% 05/07/2003* 523,895
325,000 DANSKE CORP 1.280% 05/09/2003 324,908
650,000 DELAWARE FUNDING CORP 144A
1.260% 05/23/2003* 649,500
700,000 GREYHAWK FUNDING LLC 144A
1.250% 05/21/2003* 699,514
570,000 PARK AVENUE RECEIVABLES CORP 144A
1.240% 05/02/2003* 569,980
500,000 UBS FINANCE (DE) LLC 1.260% 05/13/2003 499,790
515,000 WINDMILL FUNDING CORP 144A 1.250% 05/08/2003* 514,875
--------------
TOTAL TIME DEPOSITS (COST $6,675,584) $ 6,675,584
--------------
TOTAL INVESTMENTS AT VALUE 87.81% (COST $69,037,979) 69,093,190
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES 12.19% 9,594,275
--------------
NET ASSETS 100.00% $ 78,687,465
</Table>
See Notes to Financial Statements.
FRN Floating Rate Note
MTN Medium Term Note
FNMA Federal National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
SLMA Student Loan Marketing Association
FHLB Federal Home Loan Bank
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed is
as of April 30, 2003. Maturity date shown is the stated maturity
date of the security.
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2003, these
securities amounted to $10,839,245 or 13.8% of net assets.
** Denotes yield to maturity.
43
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Assets and Liabilities as of April 30, 2003
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP SMALL CAP INTERNATIONAL
FUND GROWTH FUND VALUE FUND EQUITY FUND
ASSETS:
Investments at cost $ 155,754,574 $ 49,712,294 $ 61,062,589 $ 128,344,307
--------------- --------------- --------------- ---------------
Investments at value 150,431,665 54,315,141 62,393,534 115,904,161
Cash 3,500,088 1,431,042 2,253,154 3,321,027
Foreign currency at value(1) - - - 2,328,439
Receivable for investments sold 460,226 537,598 983,264 623,756
Receivable for Fund shares sold - - - -
Receivable for expense reimbursement 11,446 6,755 6,327 14,409
Dividend and interest receivable 133,248 6,018 32,121 543,814
Tax reclaim receivable 2,594 - - 109,138
Receivable for closed futures contracts - - - -
Unrealized appreciation on forward foreign currency
contracts - - - 192,127
Prepaid expenses 4,826 860 996 3,433
TOTAL ASSETS 154,544,093 56,297,414 65,669,396 123,040,304
--------------- --------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased 433,170 381,068 740,278 408,757
Payable for Fund shares redeemed - - - 31,846
Payable for daily variation margin on open financial
futures contracts - - - -
Unrealized depreciation on forward foreign currency
contracts 56 - - 79,356
Written options at value(2) - - - -
Directors' fee payable 1,976 1,976 1,976 1,976
Advisory fee payable 55,259 39,221 45,757 67,336
Accrued expenses and other payables 42,666 37,735 38,182 52,203
TOTAL LIABILITIES 533,127 460,000 826,193 641,474
--------------- --------------- --------------- ---------------
NET ASSETS $ 154,010,966 $ 55,837,414 $ 64,843,203 $ 122,398,830
--------------- --------------- --------------- ---------------
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value $ 20,899 $ 9,369 $ 7,777 $ 17,699
Paid-in capital 191,043,345 85,133,006 76,640,165 155,246,291
Undistributed net investment income (loss) 16,038 3,007 - 1,349,486
Accumulated (distribution in excess of) net realized
gain (loss) on investments (31,746,468) (33,910,815) (13,135,684) (21,968,075)
Net unrealized appreciation (depreciation) (5,322,848) 4,602,847 1,330,945 (12,246,571)
TOTAL NET ASSETS $ 154,010,966 $ 55,837,414 $ 64,843,203 $ 122,398,830
--------------- --------------- --------------- ---------------
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED,
$0.001 PAR VALUE) 20,898,891 9,369,325 7,776,925 17,699,471
--------------- --------------- --------------- ---------------
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER SHARE $ 7.37 $ 5.96 $ 8.34 $ 6.92
--------------- --------------- --------------- ---------------
</Table>
<Table>
(1) Cost of cash denominated in foreign currencies - - - 2,263,784
(2) Premiums on written options - - - -
</Table>
See Notes to the Financial Statements.
44
<Page>
<Table>
<Caption>
CIF CIF CIF CIF
CORE PLUS INFLATION-INDEXED LOW DURATION SHORT DURATION
BOND FUND BOND FUND BOND FUND FUND
ASSETS:
Investments at cost $ 152,916,164 $ 140,465,599 $ 92,250,245 $ 69,037,979
--------------- ----------------- --------------- ---------------
Investments at value 157,736,810 149,688,275 92,092,047 69,093,190
Cash 19,751,146 1,024,720 7,710,469 10,977,811
Foreign currency at value(1) 1,945,026 - - -
Receivable for investments sold 13,139,152 - 1,954,820 -
Receivable for Fund shares sold 9,278,868 - - -
Receivable for expense reimbursement 6,196 11,860 8,988 8,075
Dividend and interest receivable 1,414,229 1,020,437 687,073 189,846
Tax reclaim receivable - - - -
Receivable for closed futures contracts - 4,635 - -
Unrealized appreciation on forward foreign currency
contracts 6,954 - - -
Prepaid expenses 4,221 5,337 3,700 5,040
TOTAL ASSETS 203,282,602 151,755,264 102,457,097 80,273,962
--------------- ----------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased 45,837,708 - 6,091,364 1,535,641
Payable for Fund shares redeemed 9,136,242 - - -
Payable for daily variation margin on open financial
futures contracts 61,639 - - -
Unrealized depreciation on forward foreign currency
contracts 438,962 - - -
Written options at value(2) 42,891 95,438 - -
Directors' fee payable 1,976 1,976 1,976 1,976
Advisory fee payable 42,139 18,801 23,688 12,353
Accrued expenses and other payables 43,676 45,131 41,018 36,527
TOTAL LIABILITIES 55,605,233 161,346 6,158,046 1,586,497
--------------- ----------------- --------------- ---------------
NET ASSETS $ 147,677,369 $ 151,593,918 $ 96,299,051 $ 78,687,465
--------------- ----------------- --------------- ---------------
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value $ 13,953 $ 14,574 $ 9,618 $ 7,799
Paid-in capital 139,894,298 138,295,008 96,108,208 78,586,259
Undistributed net investment income (loss) 1,315,075 138,288 9,470 5,595
Accumulated (distribution in excess of) net realized
gain (loss) on investments 1,954,879 3,886,644 329,953 32,601
Net unrealized appreciation (depreciation) 4,499,164 9,259,404 (158,198) 55,211
TOTAL NET ASSETS $ 147,677,369 $ 151,593,918 $ 96,299,051 $ 78,687,465
--------------- ----------------- --------------- ---------------
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED,
$0.001 PAR VALUE) 13,952,825 14,574,271 9,618,381 7,799,343
--------------- ----------------- --------------- ---------------
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER SHARE $ 10.58 $ 10.40 $ 10.01 $ 10.09
--------------- ----------------- --------------- ---------------
</Table>
<Table>
(1) Cost of cash denominated in foreign currencies 1,864,161 - - -
(2) Premiums on written options 79,903 132,166 - -
</Table>
45
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Operations for the Year Ended April 30, 2003
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP SMALL CAP INTERNATIONAL
FUND GROWTH FUND VALUE FUND EQUITY FUND
INVESTMENT INCOME
Interest $ 31,654 $ 16,715 $ 25,906 $ 75,609
Dividends(1) 2,188,730 143,697 762,304 2,393,401
INVESTMENT INCOME 2,220,384 160,412 788,210 2,469,010
--------------- --------------- --------------- ---------------
Advisory fees 637,722 507,234 597,553 710,593
Directors' fees and expenses 6,864 6,864 6,864 6,864
Custodian, transfer agent and fund accounting 101,134 46,249 52,703 232,189
Professional 52,927 52,927 52,927 58,261
Registration 20,620 15,422 15,449 15,888
Miscellaneous 15,008 8,940 9,035 11,298
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 834,275 637,636 734,531 1,035,093
--------------- --------------- --------------- ---------------
Less expense reimbursements and waivers (54,837) (74,041) (70,583) (222,985)
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND WAIVERS 779,438 563,595 663,948 812,108
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 1,440,946 (403,183) 124,262 1,656,902
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (19,689,823) (22,877,879) (12,480,262) (10,960,548)
Financial futures contracts - - - -
Written options - - - -
Foreign currency transactions (60) - (11) 924,001
NET REALIZED GAIN (LOSS) (19,689,883) (22,877,879) (12,480,273) (10,036,547)
--------------- --------------- --------------- ---------------
Change in unrealized appreciation (depreciation) on:
Investments (1,980,038) 2,585,049 (5,606,445) (4,098,876)
Financial futures contracts - - - -
Written options - - - -
Foreign currency translations 61 - - 169,892
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (1,979,977) 2,585,049 (5,606,445) (3,928,984)
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS): (21,669,860) (20,292,830) (18,086,718) (13,965,531)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ (20,228,914) $ (20,696,013) $ (17,962,456) $ (12,308,629)
--------------- --------------- --------------- ---------------
</Table>
<Table>
(1) Dividend income is net of withholding taxes of: $ 7,151 $ 77 $ 396 $ 311,340
</Table>
See Notes to the Financial Statements.
46
<Page>
<Table>
<Caption>
CIF CIF CIF CIF
CORE PLUS INFLATION-INDEXED LOW DURATION SHORT DURATION
BOND FUND BOND FUND BOND FUND FUND
INVESTMENT INCOME
Interest $ 7,786,017 $ 10,938,219 $ 4,424,792 $ 1,396,119
Dividends(1) - - - -
INVESTMENT INCOME 7,786,017 10,938,219 4,424,792 1,396,119
--------------- ----------------- --------------- ---------------
Advisory fees 505,215 300,081 324,097 127,572
Directors' fees and expenses 6,864 6,864 6,864 6,864
Custodian, transfer agent and fund accounting 123,657 166,826 91,485 26,676
Professional 52,927 57,752 52,927 52,927
Registration 15,434 18,403 15,486 15,499
Miscellaneous 14,678 19,228 9,519 16,123
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 718,775 569,154 500,378 245,661
--------------- ----------------- --------------- ---------------
Less expense reimbursements and waivers (69,212) (69,019) (68,249) (77,803)
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND WAIVERS 649,563 500,135 432,129 167,858
--------------- ----------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 7,136,454 10,438,084 3,992,663 1,228,261
--------------- ----------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 6,214,517 14,438,565 874,040 40,907
Financial futures contracts (2,743,089) 134,705 - -
Written options 547,775 58,245 - -
Foreign currency transactions (756,674) - - -
NET REALIZED GAIN (LOSS) 3,262,529 14,631,515 874,040 40,907
--------------- ----------------- --------------- ---------------
Change in unrealized appreciation (depreciation) on:
Investments 3,933,633 4,412,248 (750,942) (21,063)
Financial futures contracts (131,930) - - -
Written options 25,786 36,728 - -
Foreign currency translations (277,179) - - -
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,550,310 4,448,976 (750,942) (21,063)
--------------- ----------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS): 6,812,839 19,080,491 123,098 19,844
--------------- ----------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 13,949,293 $ 29,518,575 $ 4,115,761 $ 1,248,105
--------------- ----------------- --------------- ---------------
</Table>
<Table>
1 Dividend income is net of withholding taxes of: $ - $ - $ - $ -
</Table>
47
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Changes in Net Assets
<Table>
<Caption>
CIF CORE EQUITY FUND CIF SMALL CAP GROWTH FUND
------------------------------ ------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2003 APRIL 30, 2002 APRIL 30, 2003 APRIL 30, 2002
FROM OPERATIONS:
Net investment income (loss) $ 1,440,946 $ 841,400 $ (403,183) $ (474,118)
-------------- -------------- -------------- --------------
Net realized gain (loss) (19,689,883) (10,092,299) (22,877,879) (7,041,173)
Change in unrealized appreciation (depreciation) (1,979,977) (1,345,313) 2,585,049 325,194
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS (20,228,914) (10,596,212) (20,696,013) (7,190,097)
-------------- -------------- -------------- --------------
DISTRIBUTIONS:
Net investment income (1,435,841) (839,722) - -
Net realized gain - - - -
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (1,435,841) (839,722) - -
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 43,318,229 42,933,913 5,837,567 22,793,554
Reinvestment of distributions 712,165 209,488 - -
Cost of shares repurchased (4,407,940) (467,502) (3,164,739) (9,989)
INCREASE FROM CAPITAL SHARE TRANSACTIONS 39,622,454 42,675,899 2,672,828 22,783,565
INCREASE (DECREASE) IN NET ASSETS 17,957,699 31,239,965 (18,023,185) 15,593,468
-------------- -------------- -------------- --------------
NET ASSETS
Beginning of year $ 136,053,267 $ 104,813,302 $ 73,860,599 $ 58,267,131
-------------- -------------- -------------- --------------
END OF YEAR $ 154,010,966 $ 136,053,267 $ 55,837,414 $ 73,860,599
-------------- -------------- -------------- --------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 16,038 $ 11,009 $ 3,007 $ -
-------------- -------------- -------------- --------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of year 15,606,622 10,959,868 8,922,541 6,065,808
Sold 5,837,279 4,674,315 939,026 2,857,889
Reinvestment of distributions 99,251 24,044 - -
Repurchased (644,261) (51,605) (492,242) (1,156)
INCREASE IN SHARES OUTSTANDING 5,292,269 4,646,754 446,784 2,856,733
SHARES OUTSTANDING AT END OF YEAR 20,898,891 15,606,622 9,369,325 8,922,541
-------------- -------------- -------------- --------------
</Table>
See Notes to the Financial Statements.
48
<Page>
<Table>
<Caption>
CIF SMALL CAP VALUE FUND CIF INTERNATIONAL EQUITY FUND
------------------------------ ------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2003 APRIL 30, 2002 APRIL 30, 2003 APRIL 30, 2002
FROM OPERATIONS:
Net investment income (loss) $ 124,262 $ 379,848 $ 1,656,902 $ 933,432
-------------- -------------- -------------- --------------
Net realized gain (loss) (12,480,273) 5,860,851 (10,036,547) (8,532,538)
Change in unrealized appreciation (depreciation) (5,606,445) 4,520,446 (3,928,984) (3,440,949)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS (17,962,456) 10,761,145 (12,308,629) (11,040,055)
-------------- -------------- -------------- --------------
DISTRIBUTIONS:
Net investment income (160,688) (382,943) (1,911,078) (1,101,904)
Net realized gain (4,298,764) (4,195,393) - -
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (4,459,452) (4,578,336) (1,911,078) (1,101,904)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 5,730,265 10,734,869 36,404,119 15,050,594
Reinvestment of distributions 4,315,146 4,200,658 540,915 121,816
Cost of shares repurchased (9,041,415) (15,802) (1,628,290) (615,336)
INCREASE FROM CAPITAL SHARE TRANSACTIONS (1,003,996) 14,919,725 35,316,744 14,557,074
INCREASE (DECREASE) IN NET ASSETS (21,417,912) 21,102,534 21,097,037 2,415,115
-------------- -------------- -------------- --------------
NET ASSETS
Beginning of year $ 86,261,115 $ 65,158,581 $ 101,301,793 $ 98,886,678
-------------- -------------- -------------- --------------
END OF YEAR $ 64,843,203 $ 86,261,115 $ 122,398,830 $ 101,301,793
-------------- -------------- -------------- --------------
UNDISTRIBUTED NET INVESTMENT INCOME $ - $ 43,257 $ 1,349,486 $ 696,469
-------------- -------------- -------------- --------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of year 7,512,440 6,075,730 12,301,877 10,554,643
Sold 615,146 1,046,689 5,563,437 1,809,470
Reinvestment of distributions 534,715 391,491 78,135 15,066
Repurchased (885,376) (1,470) (243,978) (77,302)
INCREASE IN SHARES OUTSTANDING 264,485 1,436,710 5,397,594 1,747,234
SHARES OUTSTANDING AT END OF YEAR 7,776,925 7,512,440 17,699,471 12,301,877
-------------- -------------- -------------- --------------
</Table>
49
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Changes in Net Assets
<Table>
<Caption>
CIF CORE PLUS BOND FUND CIF INFLATION-INDEXED BOND FUND
--------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2003 APRIL 30, 2002 APRIL 30, 2003 APRIL 30, 2002(a)
FROM OPERATIONS:
Net investment income $ 7,136,454 $ 7,776,176 $ 10,438,084 $ 11,376,224
--------------- --------------- --------------- -----------------
Net realized gain 3,262,529 2,268,603 14,631,515 3,828,335
Change in unrealized appreciation 3,550,310 1,897,881 4,448,976 2,353,763
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 13,949,293 11,942,660 29,518,575 17,558,322
--------------- --------------- --------------- -----------------
DISTRIBUTIONS:
Net investment income (5,977,705) (7,874,300) (11,578,425) (12,042,565)
Net realized gain (2,081,762) (1,787,905) (11,262,021) (8,048,612)
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (8,059,467) (9,662,205) (22,840,446) (20,091,177)
--------------- --------------- --------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 60,061,060 35,709,290 14,105,306 21,905,115
Reinvestment of distributions 4,980,856 4,462,849 15,327,475 11,404,267
Cost of shares repurchased (85,259,970) (12,711,963) (151,185,337) (39,450,000)
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (20,218,054) 27,460,176 (121,752,556) (6,140,618)
INCREASE (DECREASE) IN NET ASSETS (14,328,228) 29,740,631 (115,074,427) (8,673,473)
--------------- --------------- --------------- -----------------
NET ASSETS
Beginning of year $ 162,005,597 $ 132,264,966 $ 266,668,345 $ 275,341,818
END OF YEAR $ 147,677,369 $ 162,005,597 $ 151,593,918 $ 266,668,345
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,315,075 $ 107,481 $ 138,288 $ 1,278,629
--------------- --------------- --------------- -----------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of year 15,956,469 13,232,601 25,847,717 26,463,626
Sold 5,778,912 3,534,633 1,321,018 2,082,404
Reinvestment of distributions 484,390 441,271 1,485,428 1,131,777
Repurchased (8,266,946) (1,252,036) (14,079,892) (3,830,090)
INCREASE IN SHARES OUTSTANDING (2,003,644) 2,723,868 (11,273,446) (615,909)
SHARES OUTSTANDING AT END OF YEAR 13,952,825 15,956,469 14,574,271 25,847,717
--------------- --------------- --------------- -----------------
</Table>
See Notes to the Financial Statements.
(a) See Note 2.
50
<Page>
<Table>
<Caption>
CIF LOW DURATION BOND FUND CIF SHORT DURATION FUND
--------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2003 APRIL 30, 2002 APRIL 30, 2003 APRIL 30, 2002
FROM OPERATIONS:
Net investment income $ 3,992,663 $ 5,341,579 $ 1,228,261 $ 1,882,226
--------------- --------------- --------------- -----------------
Net realized gain 874,040 545,443 40,907 81,947
Change in unrealized appreciation (750,942) (26,091) (21,063) (27,469)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 4,115,761 5,860,931 1,248,105 1,936,704
--------------- --------------- --------------- -----------------
DISTRIBUTIONS:
Net investment income (4,000,509) (5,324,263) (1,222,666) (1,906,682)
Net realized gain (542,248) (944,860) (28,947) (81,552)
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (4,542,757) (6,269,123) (1,251,613) (1,988,234)
--------------- --------------- --------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 15,125,000 3,814,000 92,132,065 86,945,271
Reinvestment of distributions 1,548,617 1,111,896 1,192,922 1,952,101
Cost of shares repurchased (25,250,000) (282,042) (87,503,963) (51,886,518)
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (8,576,383) 4,643,854 5,821,024 37,010,854
INCREASE (DECREASE) IN NET ASSETS (9,003,379) 4,235,662 5,817,516 36,959,324
--------------- --------------- --------------- -----------------
NET ASSETS
Beginning of year $ 105,302,430 $ 101,066,768 $ 72,869,949 $ 35,910,625
END OF YEAR $ 96,299,051 $ 105,302,430 $ 78,687,465 $ 72,869,949
UNDISTRIBUTED NET INVESTMENT INCOME $ 9,470 $ 17,316 $ 5,595 $ --
--------------- --------------- --------------- -----------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of year 10,463,620 10,004,961 7,219,695 3,560,353
Sold 1,500,459 376,165 9,127,373 8,594,674
Reinvestment of distributions 154,210 110,391 118,270 193,240
Repurchased (2,499,908) (27,897) (8,665,995) (5,128,572)
INCREASE IN SHARES OUTSTANDING (845,239) 458,659 579,648 3,659,342
SHARES OUTSTANDING AT END OF YEAR 9,618,381 10,463,620 7,799,343 7,219,695
--------------- --------------- --------------- -----------------
</Table>
51
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Financial Highlights for a Share Outstanding Throughout the Period
<Table>
<Caption>
CIF CORE EQUITY FUND CIF SMALL CAP GROWTH FUND
-------------------------------------- -----------------------------------
PERIOD PERIOD
ENDED ENDED
YEARS ENDED APRIL 30, APRIL 30, YEARS ENDED APRIL 30, APRIL 30,
2003 2002 2001(a) 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.72 $ 9.56 $ 10.00 $ 8.28 $ 9.61 $ 10.00
--------- --------- ---------- --------- --------- ---------
Income from Investment Operations:
Net investment income (loss) 0.07 0.06 0.03 (0.04) (0.05) (0.01)
Net realized and unrealized gain
(loss) on investments (1.35) (0.84) (0.44) (2.28) (1.28) (0.38)
Total from Investment Operations: (1.28) (0.78) (0.41) (2.32) (1.33) (0.39)
Less Distributions from:
Net investment income (0.07) (0.06) (0.03) - - -
Net realized gain on investments - - - - - -
Total distributions (0.07) (0.06) (0.03) - - -
Net increase (decrease) in net
asset value (1.35) (0.84) (0.44) (2.32) (1.33) (0.39)
NET ASSET VALUE, END OF PERIOD $ 7.37 $ 8.72 $ 9.56 $ 5.96 $ 8.28 $ 9.61
RATIOS/SUPPLEMENTAL DATA**
Total Return(b) (14.65)% (8.13)% (4.09)%** (28.02)% (13.84)% (3.90)%**
Net Assets, end of period (000's) $ 154,011 $ 136,053 $ 104,813 $ 55,837 $ 73,861 $ 58,267
Ratios to average net assets:
Net investment income (after
reimbursement and waiver of
certain operating expenses) 1.02% 0.71% 1.07%* (0.72)% (0.73)% (0.45)%*
Net investment income (before
reimbursement and waiver of
certain operating expenses) 0.98% 0.67% 0.80%* (0.85)% (0.82)% (0.80)%*
Operating expenses (after
reimbursement and waiver of
certain operating expenses) 0.55% 0.55% 0.55%* 1.00% 1.00% 1.00%*
Operating expenses (before
reimbursement and waiver of
certain operating expenses) 0.59% 0.59% 0.82%* 1.13% 1.09% 1.35%*
Portfolio Turnover 66% 66% 20%** 151% 210% 68%**
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
(a) Fund commenced operations on January 2, 2001.
(b) Total return would have been lower had certain expenses not been reimbursed
or waived.
52
<Page>
<Table>
<Caption>
CIF SMALL CAP VALUE FUND CIF INTERNATIONAL EQUITY FUND
-------------------------------------- ------------------------------------
PERIOD PERIOD
ENDED ENDED
YEARS ENDED APRIL 30, APRIL 30, YEARS ENDED APRIL 30, APRIL 30,
2003 2002 2001(a) 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.48 $ 10.72 $ 10.00 $ 8.23 $ 9.37 $ 10.00
--------- --------- ---------- --------- --------- ---------
Income from Investment Operations:
Net investment income (loss) 0.02 0.06 0.03 0.10 0.08 0.04
Net realized and unrealized gain
(loss) on investments (2.56) 1.38 0.72 (1.28) (1.12) (0.63)
Total from Investment Operations: (2.54) 1.44 0.75 (1.18) (1.04) (0.59)
Less Distributions from:
Net investment income (0.02) (0.06) (0.03) (0.13) (0.10) (0.04)
Net realized gain on investments (0.58) (0.62) - - - -
Total distributions (0.60) (0.68) (0.03) (0.13) (0.10) (0.04)
Net increase (decrease) in net
asset value (3.14) 0.76 0.72 (1.31) (1.14) (0.63)
NET ASSET VALUE, END OF PERIOD $ 8.34 $ 11.48 $ 10.72 $ 6.92 $ 8.23 $ 9.37
RATIOS/SUPPLEMENTAL DATA**
Total Return(b) (21.91)% 13.91% 7.51%** (14.29)% (11.10)% (5.89)%
Net Assets, end of period (000's) $ 64,843 $ 86,261 $ 65,159 $ 122,399 $ 101,302 $ 98,887
Ratios to average net assets:
Net investment income (after
reimbursement and waiver of
certain operating expenses) 0.19% 0.53% 0.98%* 1.63% 1.01% 1.37%*
Net investment income (before
reimbursement and waiver of
certain operating expenses) 0.08% 0.45% 0.66%* 1.41% 0.54% 1.08%*
Operating expenses (after
reimbursement and waiver of
certain operating expenses) 1.00% 1.00% 1.00%* 0.80% 0.80% 0.80%*
Operating expenses (before
reimbursement and waiver of
certain operating expenses) 1.11% 1.08% 1.32%* 1.02% 1.27% 1.09%*
Portfolio Turnover 211% 209% 54%** 61% 66% 21%**
</Table>
53
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Financial Highlights for a Share Outstanding Throughout the Period
<Table>
<Caption>
CIF CORE PLUS BOND FUND CIF INFLATION-INDEXED BOND FUND
-------------------------------------- -----------------------------------
PERIOD PERIOD
ENDED ENDED
YEARS ENDED APRIL 30, APRIL 30, YEARS ENDED APRIL 30, APRIL 30,
2003 2002 2001(a) 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.15 $ 10.00 $ 10.00 $ 10.32 $ 10.40 $ 10.00
--------- --------- ---------- --------- --------- ---------
Income from Investment Operations:
Net investment income 0.51 0.51 0.15 0.59 0.43(d) 0.19
Net realized and unrealized gain
(loss) on investments 0.53 0.28 (0.02) 0.83 0.24(d) 0.33
Total from Investment Operations: 1.04 0.79 0.13 1.42 0.67 0.52
Less Distributions from:
Net investment income (0.43) (0.52) (0.13) (0.63) (0.45) (0.12)
Net realized gain on investments (0.18) (0.12) - (0.71) (0.30) -
Total distributions (0.61) (0.64) (0.13) (1.34) (0.75) (0.12)
Net increase (decrease) in net
asset value 0.43 0.15 - 0.08 (0.08) 0.40
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.15 $ 10.00 $ 10.40 $ 10.32 $ 10.40
RATIOS/SUPPLEMENTAL DATA**
Total Return(c) 10.51% 8.02% 1.33%** 14.22% 6.71% 5.27%**
Net Assets, end of period (000's) $ 147,677 $ 162,006 $ 132,265 $ 151,594 $ 266,668 $ 275,342
Ratios to average net assets:
Net investment income (after
reimbursement and waiver of
certain operating expenses) 4.95% 5.01% 4.61%* 5.23% 4.12%(d) 6.99%*
Net investment income (before
reimbursement and waiver of
certain operating expenses) 4.90% 4.96% 4.37%* 5.19% 4.11%(d) 6.77%*
Operating expenses (after
reimbursement and waiver of
certain operating expenses) 0.45% 0.45% 0.45%* 0.25% 0.25% 0.25%*
Operating expenses (before
reimbursement and waiver of
certain operating expenses) 0.50% 0.50% 0.69%* 0.29% 0.26% 0.47%*
Portfolio Turnover 455% 480% 356%** 78% 185% 182%**
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
^ Calculates to less than $0.01.
(a) Fund commenced operations on January 2, 2001.
(b) Fund commenced operations on May 1, 2000.
(c) Total return would have been lower had certain expenses not been reimbursed
or waived.
(d) See Note 2.
54
<Page>
<Table>
<Caption>
CIF LOW DURATION BOND FUND CIF SHORT DURATION FUND
-------------------------------------- -----------------------------------
PERIOD PERIOD
ENDED ENDED
YEARS ENDED APRIL 30, APRIL 30, YEARS ENDED APRIL 30, APRIL 30,
2003 2002 2001(a) 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.06 $ 10.10 $ 10.00 $ 10.09 $ 10.09 $ 10.00
--------- --------- ---------- --------- --------- ---------
Income from Investment Operations:
Net investment income 0.37 0.51 0.19 0.19 0.33 0.59
Net realized and unrealized gain
(loss) on investments 0.01 0.05 0.10 -^ 0.02 0.09
Total from Investment Operations: 0.38 0.56 0.29 0.19 0.35 0.68
Less Distributions from:
Net investment income (0.37) (0.51) (0.19) (0.19) (0.34) (0.58)
Net realized gain on investments (0.06) (0.09) - -^ (0.01) (0.01)
Total distributions (0.43) (0.60) (0.19) (0.19) (0.35) (0.59)
Net increase (decrease) in net
asset value (0.05) (0.04) 0.10 - - (0.09
NET ASSET VALUE, END OF PERIOD $ 10.01 $ 10.06 $ 10.10 $ 10.09 $ 10.09 $ 10.09
RATIONS/SUPPLEMENTAL DATA
Total Return(c) 3.84% 5.72% 2.93%** 1.94% 3.52% 6.95%
Net Assets, end of period (000's)
Ratios to average net assets: $ 96,299 $ 105,302 $ 101,067 $ 78,687 $ 72,870 $ 35,911
Net investment income (after
reimbursement and waiver of
certain operating expenses) 3.70% 5.08% 5.74%* 1.83% 3.22% 5.93%
Net investment income (before
reimbursement and waiver of
certain operating expenses) 3.64% 5.03% 5.49%* 1.71% 3.10% 5.46%
Operating expenses (after
reimbursement and waiver of
certain operating expenses) 0.40% 0.40% 0.40%* 0.25% 0.25% 0.25%
Operating expenses (before
reimbursement and waiver of
certain operating expenses) 0.46% 0.45% 0.65%* 0.37% 0.37% 0.72%
Portfolio Turnover 120% 101% 73%** 84% 202% 129%
</Table>
55
<Page>
NOTES TO FINANCIAL STATEMENTS FOR COMMONFUND INSTITUTIONAL FUNDS
April 30, 2003
1. ORGANIZATION
Commonfund Institutional Funds (the "Company") was established as a Delaware
business trust under an Agreement and Declaration of Trust dated August 7, 1999
and is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end, management investment company. The Company
currently consists of eight diversified series (each a "Fund" and collectively
the "Funds"), CIF Core Equity Fund, CIF Small Cap Growth Fund, CIF Small Cap
Value Fund, CIF International Equity Fund, CIF Core Plus Bond Fund, CIF
Inflation-Indexed Bond Fund, CIF Low Duration Bond Fund, and CIF Short Duration
Fund each of which operates as a distinct investment vehicle of the Company.
Commonfund Asset Management Company, Inc. ("COMANCO") manages each of the Funds.
Each Fund seeks to improve the net investment returns of its shareholders with
its own investment objectives and policies. There can be no assurance that any
Fund will achieve its investment objective.
Fund objectives:
CIF Core Equity Fund, CIF Small Cap Growth Fund, CIF Small Cap Value Fund, and
CIF International Equity Fund seek to provide long-term capital appreciation.
CIF Core Plus Bond Fund seeks to provide high current income and price
appreciation.
CIF Inflation-Indexed Bond Fund seeks to maximize real return to the extent
consistent with preservation of capital and liquidity.
CIF Low Duration Bond Fund seeks to preserve capital and provide higher total
return than is generally obtainable from money market instruments.
CIF Short Duration Fund seeks to provide current interest income with some
price appreciation, each consistent with liquidity and safety of principal.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in conformity with accounting
principles generally accepted in the United States of America, which require
management to make estimates and assumptions in the preparation of the financial
statements. Actual results could differ from these estimates or assumptions.
The following is a summary of significant accounting policies, which are in
conformity with accounting principles generally accepted in the United States of
America, and are consistently followed by the Company in the preparation of its
financial statements:
SECURITY VALUATION
Equity securities listed on securities exchanges are valued at last sale prices
except for those securities reported through the NASDAQ system which use the
NASDAQ Official Closing Price. Unlisted equity securities or listed equity
securities for which last sale prices are not available are valued at last
quoted bid prices. Corporate debt securities and debt securities of the U.S.
Government and its agencies (other than short-term investments which mature in
less than sixty days) are valued by an independent pricing service approved by
the Board of Directors, which utilizes market quotations and transactions,
quotations from dealers and various relationships among securities in
determining value. If not valued by a pricing service, such securities are
valued at prices obtained from independent brokers. Investments with prices that
cannot be readily obtained are carried at fair value as determined in good faith
under consistently applied procedures established by and under the supervision
of the Board of Directors. Short-term investments with an original maturity of
60 days or less are valued at amortized cost which approximates market value.
Options are generally valued at the last trade price or close price. If the last
trade price is not available, bid price is used.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are recorded as of trade date. Realized gains and losses
from security transactions are determined on the basis of identified cost.
Interest income, including amortization of premium and accretion of discount on
securities, is accrued daily. Dividend income is recorded on the ex-dividend
date. Foreign income and foreign capital gains realized on some foreign
securities may be subject to foreign withholding taxes, which are accrued as
applicable. Gains and losses realized on prepayments received on
mortgage-related securities are recorded in interest income. Most expenses of
the Company can be directly attributed to a particular Fund. Expenses which
cannot be directly attributed are apportioned among the Funds based upon
relative net assets or other appropriate methods.
REVISION OF FINANCIAL INFORMATION
Certain amounts in the Statements of Changes in Net Assets for the year ended
April 30, 2002 have been revised from those previously reported. The Company
reclassified amounts relating to the amortization of premiums on U.S. Treasury
Inflation Indexed investments held by the CIF Inflation-Indexed Bond Fund. Net
investment income was increased by $1,240,978 ($0.05 per share), and net
realized gains from transactions on investments and net change in unrealized
appreciation on investments were decreased by $109,493 and $1,131,485,
respectively (a total of $0.05 per share). Additionally, the ratios of net
investment income to average net assets increased by 0.45%. This
reclassification has no effect on net assets or the net increase in net assets
resulting from operations.
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders resulting from net investment income are recorded on
the ex-dividend date. The dividends are paid quarterly for CIF Core Equity Fund,
CIF Small Cap Growth Fund, CIF Small Cap Value Fund and CIF International Equity
Fund, and monthly for CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond Fund,
CIF Low Duration Bond Fund and CIF Short Duration Fund. Net realized capital
gains, if any, are distributed at least annually. Income and capital gains
distributions are determined in accordance with income tax regulations which may
differ from accounting principles generally accepted in the United States of
America. These differences are primarily due to differing book and tax
treatments in the timing of the recognition of gains or losses, including
"Post-October Losses" and losses deferred due to wash sales; and permanent
differences due to differing treatments for foreign currency transactions and
non-taxable dividends. Any taxable income or gain remaining at fiscal year end
is distributed in the following year. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications among the
components of capital. Undistributed net investment income may include temporary
book and tax basis differences which will reverse in a subsequent period.
Permanent book-tax differences, if any, are not included in ending undistributed
net investment income for the purpose of calculating net investment income per
share in the Financial Highlights.
56
<Page>
For the year ended April 30, 2003, the Funds reclassified the following book
to tax basis differences:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME GAIN/LOSS CAPITAL
- ------------------------------------------------------------------------------------------------
CIF Core Equity Fund $ (76) $ 76 $ -
CIF Small Cap Growth Fund 406,190 4,164 (410,354)
CIF Small Cap Value Fund (6,831) 6,786 45
CIF International Equity Fund 907,193 (907,193) -
CIF Core Plus Bond Fund 48,845 (48,845) -
</Table>
SWAP AGREEMENTS
Certain Funds may enter into swap agreements to exchange one return or cash flow
for another return or cash flow in order to hedge against unfavorable changes in
the value of securities or to remain fully invested and to reduce transaction
costs. Interest rate swaps involve the exchange of commitments to pay and
receive interest based on a notional principal amount. Net periodic interest
payments to be received or paid are accrued daily. Interest rate swaps are
marked-to-market daily based upon quotations from market makers and the change,
if any, is recorded as unrealized appreciation or depreciation in the Statement
of Operations. Realized gains or losses on maturity or termination of interest
rate swaps are presented in the Statement of Operations. Because there is no
organized market for these swap agreements, the value reported in the Statement
of Assets and Liabilities may differ from that which would be realized in the
event the Fund terminated its position in the agreement. Credit risks may arise
upon entering into these agreements from the potential inability of the
counterparties to meet the terms of the agreements and are generally limited to
the amount of net interest payments to be received and/or favorable movements in
the value of the underlying security, if any, at the date of default. Risks also
arise from potential for losses from adverse market movements; and such losses
could exceed the related amounts shown in the Statement of Assets and
Liabilities. The Funds entered into no such agreements during the year ended
April 30, 2003.
WHEN-ISSUED/DELAYED DELIVERY SECURITIES
The Funds may purchase or sell securities on a when-issued or delayed delivery
basis. Securities traded on a when-issued basis are traded for delivery beyond
the normal settlement date at a stated price and yield, and no income accrues to
the purchaser prior to delivery. Purchasing or selling securities on a
when-issued or delayed delivery basis involves the risk that the market price at
the time of delivery may be lower or higher than the agreed upon price, in which
case an unrealized loss may be incurred at the time of delivery.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The books and records of the Funds are maintained in U.S. dollars. Foreign
currency amounts are translated into U.S. dollars at the mean of the bid and
asked prices of such currencies against U.S. dollars last quoted by a major bank
as follows:
-- investments, other assets and liabilities -- at the prevailing rates of
exchange on the valuation date;
-- investment transactions, investment income and expenses -- at the
prevailing rates of exchange on the dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange
rates and market prices at the close of the period, the Funds do not isolate
that portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of the securities held at period end. Similarly, the Funds do not isolate
the effect of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities sold during the period.
Accordingly, realized and unrealized foreign currency gains (losses) on
investments in securities are included in the reported net realized and
unrealized gains (losses) on investment transactions and balances.
Net realized gains (losses) on foreign currency transactions represent net
foreign exchange gains (losses) from foreign currency exchange contracts,
disposition of foreign currencies, currency gains or losses realized between the
trade and settlement dates on securities transactions, and the difference
between the amount of investment income and foreign taxes recorded on each of
the Fund's books and the U.S. dollar equivalent of amounts actually received or
paid. Net unrealized currency gains (losses) from valuing foreign currency
denominated assets and liabilities at period end exchange rates are reflected as
a component of unrealized appreciation (depreciation) in the Statement of Assets
and Liabilities. The change in net unrealized foreign currency gains (losses)
for the period is reflected in the Statement of Operations.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, fluctuations of exchange rates
in relation to the U.S. dollar, the possibility of lower levels of government
supervision and regulation of foreign securities markets and the possibility of
political or economic instability.
FOREIGN CURRENCY CONTRACTS
Certain Funds may enter into foreign currency contracts generally to attempt to
protect securities and related receivables and payables against changes in
future foreign currency rates and, in certain situations, to gain exposure to
foreign currencies. A foreign currency contract is an agreement between two
parties to buy or sell currency at a set price on a future date. The value of
the contract will fluctuate with changes in currency exchange rates. The
contract is marked-to-market daily and the change in value is recorded by the
Funds as unrealized gain or loss. The Funds record realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Credit risk
may arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and is generally limited to
the amount of the unrealized gains on the contracts, if any, at the date of
default. Risks may also arise from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. See Schedules of Investments for
all open forward foreign currency contracts at April 30, 2003.
57
<Page>
FUTURES
Certain Funds may use futures contracts in order to manage their exposure to the
stock and bond markets, to hedge against unfavorable changes in the value of
securities or to remain fully invested and to reduce transaction costs. Futures
contracts provide for the sale by one party and purchase by another party of a
specified amount of a specified security, index or instrument. Futures contracts
(for which cash, government securities or other high grade liquid investments is
pledged as collateral with brokers or custodians as "initial margin") are valued
based upon their quoted daily settlement prices; changes in initial settlement
value (represented by cash paid to or received from brokers as "variation
margin") are accounted for as unrealized appreciation (depreciation). When
futures contracts are closed, the difference between the opening value at the
date the contract was entered into and the value at closing is recorded as
realized gains or losses in the Statement of Operations.
Futures contracts involve market risk in excess of the amounts recognized in
the Statement of Assets and Liabilities. Risks arise from the possible movements
in security values underlying these instruments. The change in value of futures
contracts primarily corresponds with the value of their underlying instruments,
which may not correlate with the change in value of hedged investments. See
Schedules of Investments for all open futures contracts at April 30, 2003.
PURCHASED AND WRITTEN OPTIONS
Certain Funds may write covered call and put options on portfolio securities and
other financial instruments. Premiums are received and are recorded as
liabilities. The liabilities are subsequently adjusted to reflect the current
value of the options written. Premiums received from writing options which
expire are treated as realized gains. Premiums received from writing options
which are exercised or are closed are added to or offset against the proceeds or
amount paid on the transaction to determine the net realized gain or loss. By
writing a covered call option, a Fund, in exchange for the premium, foregoes the
opportunity for capital appreciation above the exercise price should the market
price of the underlying security increase. By writing a put option, a Fund, in
exchange for the premium, accepts the risk of having to purchase a security at
an exercise price that is above the current market price. The writer for an
option may incur losses in excess of the amounts included in the Statement of
Assets and Liabilities.
Certain Funds may purchase call and put options on their portfolio securities
or other financial instruments. The Funds may purchase call options to protect
against an increase in the price of the security or financial instrument it
anticipates purchasing. The Funds may purchase put options on securities which
it holds or other financial instruments to protect against a decline in the
value of the security or financial instrument or to close out covered written
put positions. Risks may arise from an imperfect correlation between the change
in market value of the securities held by the Funds and the prices of options
relating to the securities purchased or sold by the Funds and from the possible
lack of a liquid secondary market for an option. The maximum exposure to loss
for any purchased option is limited to the premium initially paid for the
option. See Schedules of Investments for all open option contracts at April 30,
2003.
3. INVESTMENT ADVISORY FEES AND OTHER RELATED PARTY TRANSACTIONS
The Company has retained the services of Commonfund Asset Management Company,
Inc. ("COMANCO"), an indirect wholly owned subsidiary of The Common Fund for
Nonprofit Organizations ("Commonfund"), as investment manager. COMANCO exercises
overall responsibility for supervision of the investment program for the Funds
but has contracted out the day-to-day management of the investment operations of
the Funds to sub-advisers, who are compensated by COMANCO. As compensation for
the services rendered by COMANCO under the investment advisory agreement with
the Company, COMANCO receives a fee from the Funds, which is computed daily and
generally paid quarterly. The Funds pay COMANCO an annual fee shown as a
percentage of average net assets for its services, as follows:
<Table>
<Caption>
FUND EFFECTIVE RATE
- -------------------------------------------------------------------
CIF Core Equity Fund 0.45%
CIF Small Cap Growth Fund 0.90%
CIF Small Cap Value Fund 0.90%
CIF International Equity Fund 0.70%
CIF Core Plus Bond Fund 0.35%
CIF Inflation-Indexed Bond Fund 0.15 - 0.35%*
CIF Low Duration Bond Fund 0.30%
CIF Short Duration Fund 0.19%
</Table>
* The Investment Advisory Fees vary with Fund performance. The total advisory
fee payable by the Fund will be 0.25% (25 basis points) per annum of assets
under management if the return of the Fund is 50 basis points above the Lehman
U.S. TIPS Index for the prior twelve months ("fulcrum point"), and will vary
upwards or downwards by an amount equal to 20% of any performance above or
below the fulcrum point. In no event will the fee exceed 35 basis points or
decline below 15 basis points.
The Company and Investors Bank & Trust Company ("IBT Co.") have entered into
an administration agreement (the "Administration Agreement"), a custodian
agreement and a transfer agency and service agreement, pursuant to which IBT Co.
will provide general fund administration services to the Funds including, fund
administration, fund accounting, custody and transfer agent services.
The Company has entered into a distribution agreement with Commonfund
Securities, Inc. ("Commonfund Securities"), an indirect wholly owned subsidiary
of Commonfund and an affiliate of COMANCO, to serve as principal distributor for
shares of each Fund. COMANCO has agreed to pay Commonfund Securities for
services rendered to the Company and thus the Funds are not charged for these
services.
The Company will pay each Director, other than Directors that are officers of
COMANCO, an annual fee of $12,000 plus reimbursement of out-of-pocket expenses.
4. PRINCIPAL SHAREHOLDERS
The following table shows certain concentrations of principal shareholders of
each Fund as of April 30, 2003. Investment activities of these shareholders
could have a material effect on the Fund
<Table>
<Caption>
SHAREHOLDERS
HOLDING IN EXCESS OF TOTAL%
10% OF FUND'S OWNED BY TOTAL%
OUTSTANDING SHARES PRINCIPAL OWNERSHIP BY
FUND ("PRINCIPAL SHAREHOLDERS") SHAREHOLDERS COMMONFUND
- ---------------------------------------------------------------------------------------------------------------
CIF Core Equity Fund 1 47.9% 47.9%
CIF Small Cap Growth Fund 1 90.3% 90.3%
CIF Small Cap Value Fund 1 91.1% 91.1%
CIF International Equity Fund 2 72.1% 56.5%
CIF Core Plus Bond Fund 2 70.4% 54.9%
CIF Inflation-Indexed Bond Fund 3 72.3% 37.4%
CIF Low Duration Bond Fund 2 99.8% 79.8%
CIF Short Duration Fund 4 51.6% 2.3%
</Table>
58
<Page>
5. EXPENSE LIMITATIONS AND UNDERTAKINGS
COMANCO has contractually agreed that it will waive its fee or reimburse the
Funds for expenses so long as it serves as investment manager of a Fund to the
extent necessary to maintain each individual Fund's total operating expenses
from exceeding a certain percentage of average daily net assets per year stated
in the following table. This agreement may be amended only with the approval of
the Board of Directors of the Company.
<Table>
<Caption>
MAXIMUM OPERATING
EXPENSES AS A % OF
FUND AVERAGE DAILY NET ASSETS
- -----------------------------------------------------------------
CIF Core Equity Fund 0.55%
CIF Small Cap Growth Fund 1.00%
CIF Small Cap Value Fund 1.00%
CIF International Equity Fund 0.80%
CIF Core Plus Bond Fund 0.45%
CIF Inflation-Indexed Bond Fund 0.25%*
CIF Low Duration Bond Fund 0.40%
CIF Short Duration Fund 0.25%
</Table>
* COMANCO has contractually agreed to waive fees and to reimburse expenses, so
long as it serves as Investment Manager to the Fund, in order to keep Other
Expenses from exceeding 10 basis points of average daily net assets. This fee
waiver and expense reimbursement agreement may be amended or terminated only
with the consent of the Board of Directors. The Investment advisory fees paid
for the year ended April 30, 2003 were equal to 0.15% of average net assets,
but can vary from 0.15%-0.35% as more fully described in Note 3.
6. FEDERAL TAXES
Each Fund intends to continue to qualify as a "Regulated Investment Company"
under Subchapter M of the Internal Revenue Code of 1986, as amended. By so
qualifying, a Fund will not be subject to Federal income taxes to the extent
that it distributes all of its taxable income and net realized gains, if any,
for its fiscal year. In addition, by distributing during each calendar year
substantially all of its net investment income, capital gains and certain other
amounts, if any, a Fund will not be subject to Federal excise tax. Therefore, no
Federal income tax provision is required.
Certain losses incurred by a Fund between November 1 and April 30 may be
deferred until the Fund's next fiscal year. Such losses are referred to as
"Post-October Losses." CIF Core Equity Fund, CIF Small Cap Growth Fund, CIF
Small Cap Value Fund and CIF International Equity Fund have elected to defer to
May 1, 2003 Post-October Capital Losses of $8,814,990, $6,943,347, $3,548,247
and $5,286,857, respectively.
At April 30, 2003, the Funds, for Federal income tax purposes, had capital
loss carryovers which will reduce the Funds' taxable income arising from net
realized gains on investments, if any, to the extent permitted by the Internal
Revenue Code and thus will reduce the amount of distributions to shareholders
which would otherwise be necessary to relieve the Funds of any tax liability for
federal income tax. The capital loss carryovers are as follows:
<Table>
<Caption>
FUND AMOUNT EXPIRATION DATE
- --------------------------------------------------------------------
CIF Core Equity Fund $ 7,131,846 April 30, 2010
CIF Core Equity Fund 9,847,829 April 30, 2011
CIF Small Cap Growth Fund 7,246,102 April 30, 2010
CIF Small Cap Growth Fund 17,438,103 April 30, 2011
CIF Small Cap Value Fund 8,259,882 April 30, 2011
CIF International Equity Fund 8,966,747 April 30, 2010
CIF International Equity Fund 5,540,486 April 30, 2011
</Table>
The tax character of distributions paid during the year ended April 30, 2003
was as follows:
<Table>
<Caption>
ORDINARY LONG TERM
FUND INCOME CAPITAL GAIN RETURN OF CAPITAL
- --------------------------------------------------------------------------------------
CIF Core Equity Fund $ 1,435,841 $ - $ -
CIF Small Cap Value Fund 2,865,843 1,593,609 -
CIF International Equity Fund 1,911,078 - -
CIF Core Plus Bond Fund 7,629,283 430,184 -
CIF Inflation-Indexed Bond Fund 19,319,571 3,520,875 -
CIF Low Duration Bond Fund 4,542,757 - -
CIF Short Duration Fund 1,250,984 629 -
</Table>
The tax character of distributions paid during the year ended April 30, 2002
was as follows:
<Table>
<Caption>
ORDINARY LONG TERM
FUND INCOME CAPITAL GAIN RETURN OF CAPITAL
- --------------------------------------------------------------------------------------
CIF Core Equity Fund $ 839,722 $ - $ -
CIF Small Cap Growth Fund - - -
CIF Small Cap Value Fund 4,578,336 - -
CIF International Equity Fund 1,101,904 - -
CIF Core Plus Bond Fund 9,624,002 38,203 -
CIF Inflation-Indexed Bond Fund 20,091,177 - -
CIF Low Duration Bond Fund 6,269,123 - -
CIF Short Duration Fund 1,988,234 - -
</Table>
As of April 30, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
LONG TERM
CAPITAL GAIN UNREALIZED
UNDISTRIBUTED (CAPITAL LOSS APPRECIATION
FUND ORDINARY INCOME CARRYOVER) (DEPRECIATION)*
- --------------------------------------------------------------------------------------
CIF Core Equity Fund $ 15,983 $ (25,794,665) $ (11,274,598)
CIF Small Cap Growth Fund - (31,627,552) 2,322,591
CIF Small Cap Value Fund - (11,808,129) 3,390
CIF International Equity Fund 1,575,974 (19,794,090) (14,650,447)
CIF Core Plus Bond Fund 2,741,700 302,276 4,725,143
CIF Inflation-Indexed Bond Fund 1,999,807 2,084,299 9,200,237
CIF Low Duration Bond Fund 279,835 59,588 (158,198)
CIF Short Duration Fund 38,023 173 55,211
</Table>
* Includes unrealized appreciation (depreciation) on investments, derivatives,
and foreign currency denominated assets and liabilities, if any.
59
<Page>
At April 30, 2003, the cost of securities for Federal income tax purposes and
the unrealized appreciation (depreciation) of investments for Federal income tax
purposes for each Fund were as follows:
<Table>
<Caption>
NET UNREALIZED
FEDERAL GROSS GROSS NET UNREALIZED APPRECIATION/
INCOME UNREALIZED UNREALIZED APPRECIATION/ (DEPRECIATION)
FUND TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ON DERIVATIVES
- -----------------------------------------------------------------------------------------------------------------------------
CIF Core Equity Fund $ 161,706,379 $ 2,510,869 $ (13,785,527) $ (11,274,658) $ -
CIF Small Cap Growth Fund 51,992,550 4,351,893 (2,029,302) 2,322,591 -
CIF Small Cap Value Fund 62,390,144 3,754,438 (3,751,048) 3,390 -
CIF International Equity Fund 130,570,754 3,899,587 (18,550,034) (14,650,447) 174,026
CIF Core Plus Bond Fund 153,033,625 6,422,283 (1,697,140) 4,725,143 (343,441)
CIF Inflation-Indexed Bond Fund 140,492,406 9,205,375 (5,138) 9,200,237 42,891
CIF Low Duration Bond Fund 92,250,245 1,003,684 (1,161,882) (158,198) -
CIF Short Duration Fund 69,037,979 130,454 (75,243) 55,211 -
</Table>
7. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the year ended April 30, 2003 were as
follows:
LONG-TERM PURCHASES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- ---------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 130,270,270 $ 130,270,270
CIF Small Cap Growth Fund - 86,166,813 86,166,813
CIF Small Cap Value Fund - 131,456,215 131,456,215
CIF International Equity Fund - 97,551,273 97,551,273
CIF Core Plus Bond Fund 219,114,905 469,848,644 688,963,549
CIF Inflation-Indexed Bond Fund 154,262,428 - 154,262,428
CIF Low Duration Bond Fund 85,919,272 21,047,810 106,967,082
CIF Short Duration Fund 15,115,913 28,196,494 43,312,407
</Table>
LONG-TERM SALES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- ---------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 90,024,344 $ 90,024,344
CIF Small Cap Growth Fund - 82,148,818 82,148,818
CIF Small Cap Value Fund - 131,278,002 131,278,002
CIF International Equity Fund - 57,990,400 57,990,400
CIF Core Plus Bond Fund 258,197,470 466,093,047 724,290,517
CIF Inflation-Indexed Bond Fund 287,723,887 - 287,723,887
CIF Low Duration Bond Fund 82,604,499 34,577,921 117,182,420
CIF Short Duration Fund 9,222,151 29,554,158 38,776,309
</Table>
8. WRITTEN OPTIONS
The following table summarizes the written option transactions for CIF Core Plus
Bond Fund and CIF Inflation-Indexed Bond Fund for the year ended April 30, 2003:
CIF Core Plus Bond Fund
<Table>
<Caption>
PUTS CALLS
- ------------------------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------------
Outstanding, beginning of period 129 $ 113,230 155 $ 106,738
Options written 502 434,439 17,680 296,962
Options exercised 0 0 17,420 30,026
Options expired 112 89,620 35 41,904
Options sold 467 403,997 347 305,919
Outstanding, end of period 52 $ 54,052 33 $ 25,851
</Table>
CIF Inflation-Indexed Bond Fund
<Table>
<Caption>
PUTS CALLS
- -------------------------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- -------------------------------------------------------------------------------------------------
Outstanding, beginning of period 0 $ 0 0 $ 0
Options written 0 0 506 388,875
Options sold 0 0 314 256,709
Outstanding, end of period 0 $ 0 192 $ 132,166
</Table>
9. FINANCIAL INSTRUMENTS WITH CONCENTRATIONS OF CREDIT RISK
Certain Funds invests in various fixed and adjustable rate mortgage-related
securities. Yields on mortgage-related securities are affected by prevailing
interest rates, prepayment rates and other factors, which are influenced by a
variety of economic, geographic, social and other factors. The Fund may invest a
significant portion of its portfolio in various financial service issuers and in
asset-backed securities collateralized by auto loans, credit card receivables or
mortgages.
10. CONTINGENCIES AND COMMITMENTS
In the normal course of business the Funds enter into contracts that contain a
variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
11. SUBSEQUENT EVENT
At its meeting held on June 9, 2003, the Board of Directors of the Company
unanimously approved (1) a motion authorizing the liquidation of the CIF Small
Cap Growth and Value Funds no later than August 31, 2003, and (2) a motion
authorizing the filing with the S.E.C. of an amendment to the Company's
Registration Statement to add a new series of shares, the CIF Small Cap Fund.
The amendment was filed with the S.E.C. on June 11, 2003, and is scheduled to be
effective on August 28, 2003.
60
<Page>
REPORT OF INDEPENDENT AUDITORS FOR COMMONFUND INSTITUTIONAL FUNDS
[PRICEWATERHOUSECOOPERS LOGO]
To the Board of Directors and the Shareholders of
Commonfund Institutional Funds
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights, after the revisions
described in Note 2, present fairly, in all material respects, the financial
position of CIF Core Equity Fund, CIF Small Cap Growth Fund, CIF Small Cap Value
Fund, CIF International Equity Fund, CIF Core Plus Bond Fund, CIF
Inflation-Indexed Bond Fund, CIF Low Duration Bond Fund and CIF Short Duration
Fund (collectively Commonfund Institutional Funds, referred to as the "Funds")
at April 30, 2003, and the results of each of their operations, the changes in
each of their net assets and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with auditing standards generally accepted in
the United States of America, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at April 30, 2003 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for our opinion.
As described in Note 11 to the financial statements, the Board of Directors of
the Company unanimously approved a motion authorizing the liquidation of the
CIF Small Cap Growth Fund and CIF Small Cap Value Fund.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
New York, New York
June 17, 2003
61
<Page>
FEDERAL TAX INFORMATION (UNAUDITED)
For corporate shareholders, a portion of the ordinary dividends paid during the
Fund's year ended April 30, 2003 qualified for the dividends received deduction,
as follows:
<Table>
<Caption>
FUND AMOUNT
- -------------------------------------------------------
CIF Core Equity Fund 100.00%
CIF Small Cap Value Fund 22.77%
</Table>
CIF International Equity Fund paid foreign taxes available for pass through to
shareholders of $299,140 or $0.01690 per share, and the Fund recognized
$2,703,860 of gross foreign source income during the year ended April 30, 2003.
CIF Small Cap Value Fund, CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond
Fund, and CIF Short Duration Fund have designated $1,593,609, $430,184,
$3,520,875 and $629 of its current year distributions as capital gain
distributions.
The following are estimates of qualified dividend income received by the funds
through April 30, 2003:
<Table>
<Caption>
FUND AMOUNT
- -------------------------------------------------------
CIF Core Equity Fund $ 747,138
CIF Small Cap Value Fund 165,128
CIF International Equity Fund 1,301,109
</Table>
62
<Page>
DIRECTORS AND OFFICERS (UNAUDITED)
The following table lists the Company's directors and officers, their address
and age, their position with the Company, the length of time holding that
position with the Company, their principal occupation(s) during the past five
years, the number of portfolios in the fund complex they oversee, and other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies. The Company's Statement of
Additional Information includes additional information about the Company's
directors and is available, without charge, upon request by calling
1-888-TCF-MAIN or by writing The Commonfund, 15 Old Danbury Road, Wilton, CT
06897-0812.
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND TERM PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR OF OFFICE OTHER DIRECTORSHIPS HELD
- ------------------------------ ------------- ---------------- --------------------------------------------------------------
INDEPENDENT DIRECTORS
John B. Carroll 8 Director since President of GTE (Verizon) Investment Management Corporation
J2025 Main Street 1999. (communications) (1984-1997); Vice President of Investment
Ridgefield, CT 06877 Management for GTE (Verizon) Corporation (communications)
Age: 67 (1984-2000).
Trustee of iShares Trust and Director of iShares, Inc. since
1996; and Director of the J.P. Morgan Private Equity Funds
since 1998. Formerly, Trustee and Member of the Executive
Committee of Commonfund (1991-1997).
Louis W. Moelchert, Jr. 8 Director since President & Owner of Private Advisor, LLC (investments)
3712 Berrington Bridge Place 1999. since 1996; President of Spider Management Co. (investments)
Richmond, VA 23223 since 2000; and employed by the University of Richmond as
Age: 61 Vice President for Business and Finance from 1975 through
1997, and as Vice President for Investments since 1997.
Member of the Board of Trustees of Commonfund as Vice
Chairman from 1991 through 1993 and as Chairman from 1994
through 1998.
Jerald L. Stevens 8 Director since Consultant in the areas of investment and financial
1246 Old Stage Road 1999. management to a range of clients including American Express,
Chester, VT 05143 Rockefeller & Company, James Wolfenson & Co., Indiana
Age: 62 University and Xerox Financial Services.
Formerly, Trustee of the Hospital Fund, Inc. (1991-1999),
and Chairman (1995-1999).
INTERESTED DIRECTORS(1)
Robert L. Bovinette 8 Director and President and Chief Executive Officer of Commonfund since
Commonfund Institutional Funds President 1996; Trustee of Commonfund, 1996 to present (EX OFFICIO)
15 Old Danbury Road since 1999. and 1982 to 1994 (Chair, 1986 to 1990).
P.O. Box 812
Wilton, CT 06897-0812 Chairman of the Board of Directors of the Investment Manager
Age: 63 since 1999; Chairman of the Board of Commonfund Realty Inc.
since 1998, and Director of Commonfund Capital, Inc. since
1998 (Chair of the Board since 2001, and Chair of the
Executive Committee of the Board from 1998 through 2001).
David M. Lascell, Esq. 8 Director since Partner in the law firm of Harter, Secrest & Emery, LLP
330 Allens Creek Road 2000. since 2000; part owner, Director, Vice President and General
Rochester, NY 14618 Counsel of AWH Corporation; and Trustee and Treasurer of
Age: 62 Grove City College. Partner in the law firm of Hallenbeck,
Lascell et. al. (1991-2000).
Trustee of Commonfund since 1990 and currently the Chair of
Commonfund; and Honorary Trustee of Wells College.
PRINCIPAL OFFICERS
John W. Auchincloss 8 Secretary since General Counsel and Secretary of Commonfund since 2000 and
Commonfund Institutional Funds 1999. Assistant/Associate General Counsel from 1996-2000.
15 Old Danbury Road
P.O. Box 812
Wilton, CT 06897-0812
Age: 44
Jill Grossberg 8 Assistant Director and Counsel of Mutual Fund Administration at
Investors Bank & Trust Company Secretary Investors Bank & Trust Co since 2000. Associate Counsel at
200 Clarendon Street since 2000. Putnam Investments, Inc. (investments) from 1995 to 2000.
P.O. Box 9130
Boston, MA 02116
Age: 57
Victoria McFarlane 8 Assistant Director of Fund Administration at Investors Bank & Trust Co
Investors Bank & Trust Company Treasurer since 2002. Assistant Vice President at MFS Investment
200 Clarendon Street since 2003. Management (1998-2002).
P.O. Box 9130
Boston, MA 02116
Age: 36
</Table>
63
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND TERM PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR OF OFFICE OTHER DIRECTORSHIPS HELD
- ------------------------------ ------------- ---------------- --------------------------------------------------------------
Susan C. Mosher 8 Assistant Senior Director and Senior Counsel of Mutual Fund
Investors Bank & Trust Company Secretary Administration at Investors Bank & Trust Co since 1995.
200 Clarendon Street since 1999.
P.O. Box 9130
Boston, MA 02116
Age: 48
Verne Sedlacek 8 Treasurer Executive Vice President and Chief Operating Officer of
Commonfund Institutional Funds since 2003. Commonfund since 2002. Trustee of Commonfund Capital
15 Old Danbury Road (1999-2000). President and Chief Operating Officer of John
P.O. Box 812 W. Henry Company (1998-2001).
Wilton, CT 06897-0812
Age: 48
James P. Feeney 8 Vice President Director of Compliance of Commonfund since 1999. Compliance
Commonfund Institutional Funds since 2002. Manager at Prudential Insurance Company of America (1997 to
15 Old Danbury Road 1999).
P.O. Box 812
Wilton, CT 06897-0812
Age: 39
</Table>
- ----------
(1) Messrs. Bovinette, Lascell and Sedlacek are "interested persons" of the
Company (as such term is defined in the 1940 Act) by virtue of their
employment with Commonfund. The Investment Manager is an indirect, wholly
owned subsidiary of Commonfund.
64
<Page>
INVESTMENT MANAGERS
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
Advanced Investment Technology, Inc., Clearwater, FL
Iridian Asset Management LLC, Westport, CT
John A. Levin & Co., Inc., New York, NY
Marsico Capital Management LLC, Denver, CO
SSgA Funds Management, Inc., one of the State Street Global Advisor
Companies, Boston, MA
CIF SMALL CAP GROWTH FUND
Artisan Partners, L.P., Milwaukee, WI
Constitution Research & Management, LLC, Boston, MA
SSgA Funds Management, Inc., one of the State Street Global Advisor
Companies, Boston, MA
Veredus Asset Management, LLC, Louisville, KY
CIF SMALL CAP VALUE FUND
High Rock Capital LLC, Boston, MA
Skyline Asset Management, L.P., Chicago, IL
SSgA Funds Management, Inc., one of the State Street Global Advisor
Companies, Boston, MA
CIF INTERNATIONAL EQUITY FUND
Capital Guardian Trust Company, Los Angeles, CA
Grantham, Mayo, Van Otterloo & Co., LLC, Boston, MA
TT International Advisors, Inc., London, England
CIF CORE PLUS BOND FUND
BlackRock Advisors, Inc., New York, NY
Western Asset Management Company, Pasadena, CA
CIF INFLATION-INDEX BOND FUND
Western Asset Management Company, Pasadena, CA
CIF LOW DURATION BOND FUND
Metropolitan West Asset Management Company, Los Angeles, CA
Seix Investment Advisors, Woodcliff Lake, NJ
CIF SHORT DURATION FUND
Wellington Management Company, LLP, Boston, MA
Western Asset Management Company, Pasadena, CA
CUSTODIAN
INVESTORS BANK & TRUST COMPANY, BOSTON, MA
65
<Page>
Commonfund Tel 888-TCF-MAIN
15 Old Danbury Road Tel 203-563-5000
P.O. Box 812 www.commonfund.org
Wilton, CT 06897-0812
COMMONFUND
INVESTED IN YOUR SUCCESS.
<Page>
ITEM 2. CODE OF ETHICS. Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEMS 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Within the 90-day period immediately preceding the filing of this
Report, the registrant's Chief Executive Officer and Principal Financial Officer
has each evaluated the effectiveness of the registrant's "Disclosure Controls
and Procedures" and has concluded that they were effective. As such term is used
above, the registrant's Controls and Procedures are controls and other
procedures of the registrant that are designed to ensure that information
required to be disclosed by the registrant in the reports that it files or
submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported, within the time periods specified in the Securities and
Exchange Commission's rules and forms. Disclosure Controls and Procedures
include, without limitation, controls and procedures designed to ensure that
information required to be disclosed by the registrant in such reports is
accumulated and communicated to the registrant's management, including its
principal executive officer or officers and principal financial officer or
officers, 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 significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS.
(a) Code of ethics - Not applicable to this filing.
(b) Certifications attached
<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.
Commonfund Institutional Funds
----------------------------------------------------------------------
By: /s/ Verne Sedlacek
-------------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date July 7, 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: /s/ Verne Sedlacek
-------------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date July 7, 2003
-----------------
By: /s/ Peter Kirby
-------------------------------------------------------------
Peter Kirby, Treasurer
Date July 7, 2003
------------------