<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5857
---------------------------------------------
CMG Fund Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts 02111
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Russell Kane, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-617-772-3363
----------------------------
Date of fiscal year end: July 31, 2003
--------------------------
Date of reporting period: July 31, 2003
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
Item 1. Report to Stockholders
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG SMALL CAP FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Fund. The Board of Trustees for CMG Small Cap Fund approved the change of the
fund's fiscal year end from October 31 to July 31. As a result, this report
covers the nine-month period since the last annual report. The next report you
will receive will be a report for the six-month period through January 2004.
The fund returned 25.89% for the nine-month period ended July 31, 2003. The
fund's return was less than the Russell 2000 Index and the Russell 2000 Growth
Index, which returned 28.84% and 31.35%, respectively, for the same period. The
fund's returns were driven largely by health care and information technology
stocks. The fund slightly underperformed its benchmarks because it was
underweight in lower-quality technology names, which posted strong gains, and
because it was overweight in energy, which was a weak performer this period.
Early in the period, the stock market was volatile as fears about the economy
and impending war with Iraq eroded investor confidence. However, a swift end to
the major military campaign in Iraq, higher-than-expected corporate first
quarter 2003 profits, improved revenue growth and economic stimulus in the form
of lower interest rates and tax rates, helped fuel a broad stock market rally
that commenced in May. Small cap stocks did even better than large cap stocks
because investors believed these stocks stood to gain more in an improving
environment.
During the nine-month period, some of the fund's strongest gains came from
health care and technology. In health care, our investments in Caremark Rx and
Mid Atlantic Medical Services (1.4% and 1.7% of net assets, respectively) did
well. In technology, Amdocs and Macromedia (0.6% and 1.5% of net assets,
respectively) were strong performers. However, the fund experienced
disappointing returns from webMethods (0.5% of net assets) and Acxiom, which we
eliminated from the portfolio.
The fund's underweight in lower-quality technology stocks benefited performance
early in the period. However, it hurt performance in the second quarter of 2003
as lower-quality technology stocks bounced back strongly in the post-war market
rally. During the period, we increased our technology weight, but we maintained
our emphasis on high-quality stocks. We believe that over the long term, these
stocks will generate the most attractive returns.
Early in the period, the fund benefited from a significant overweight in energy
stocks. However, our energy holdings, which typically do not fare as well in the
summer, did not do well as the period progressed. We have maintained our
emphasis on energy because we believe the industry is in the midst of an up
cycle, especially for natural gas. Within energy, we have focused on drilling
companies, such as Precision Drilling, the largest Canadian land rig company,
Patterson-UTI Energy and Key Energy Services (1.0%, 0.5% and 0.8% of net assets,
respectively). We believe that all three companies are likely beneficiaries of
greater investments in energy infrastructure, which is being driven by higher
natural gas prices. Although roughly 70% of our energy investments are focused
on such companies in the oil service sector, we also
1
<Page>
have approximately 30% of our energy position invested in energy producers, such
as Chesapeake Energy and XTO Energy (0.7% and 1.1% of net assets, respectively).
At the end of the period, our energy weight was triple that of the Russell 2000
Index.
The fund's positioning reflects our outlook for a stronger economy later this
year. In addition to our overweight in energy, we plan to maintain an overweight
position in the health care sector, where we expect earnings growth to remain
positive. We also believe that selected technology stocks will be direct
beneficiaries of an economic recovery.
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Amphenol 3.1
Education Management 2.1
Mid Atlantic Medical Services 1.7
First Health Group 1.6
Harman International Industries 1.6
Henry Schein 1.6
DaVita 1.6
Fair Issaac 1.5
Andrx 1.5
Macromedia 1.5
</Table>
We appreciate your continued confidence in the CMG Small Cap Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee that the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
2
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[CHART]
GROWTH OF A $10,000 INVESTMENT, JULY 31, 1993 TO JULY 31, 2003
<Table>
<Caption>
CMG SMALL CAP FUND RUSSELL 2000 INDEX RUSSELL 2000 GROWTH INDEX
7/31/1993 $ 10,000 $ 10,000 $ 10,000
8/31/1993 $ 10,727 $ 10,432 $ 10,479
9/30/1993 $ 10,849 $ 10,726 $ 10,825
10/31/1993 $ 10,693 $ 11,002 $ 11,138
11/30/1993 $ 10,307 $ 10,640 $ 10,687
12/31/1993 $ 10,782 $ 11,004 $ 11,109
1/31/1994 $ 11,184 $ 11,349 $ 11,404
2/28/1994 $ 11,132 $ 11,308 $ 11,354
3/31/1994 $ 10,671 $ 10,711 $ 10,656
4/30/1994 $ 10,684 $ 10,775 $ 10,672
5/31/1994 $ 10,623 $ 10,654 $ 10,434
6/30/1994 $ 10,337 $ 10,292 $ 9,984
7/31/1994 $ 10,412 $ 10,460 $ 10,127
8/31/1994 $ 10,851 $ 11,043 $ 10,871
9/30/1994 $ 10,976 $ 11,007 $ 10,918
10/31/1994 $ 11,107 $ 10,964 $ 11,036
11/30/1994 $ 10,625 $ 10,521 $ 10,589
12/31/1994 $ 10,965 $ 10,804 $ 10,840
1/31/1995 $ 10,700 $ 10,668 $ 10,620
2/28/1995 $ 11,180 $ 11,111 $ 11,109
3/31/1995 $ 11,489 $ 11,303 $ 11,435
4/30/1995 $ 11,606 $ 11,553 $ 11,607
5/31/1995 $ 11,786 $ 11,752 $ 11,760
6/30/1995 $ 12,485 $ 12,362 $ 12,570
7/31/1995 $ 13,247 $ 13,074 $ 13,549
8/31/1995 $ 13,436 $ 13,345 $ 13,716
9/30/1995 $ 13,902 $ 13,584 $ 13,998
10/31/1995 $ 13,612 $ 12,976 $ 13,309
11/30/1995 $ 14,367 $ 13,521 $ 13,896
12/31/1995 $ 14,955 $ 13,878 $ 14,205
1/31/1996 $ 14,947 $ 13,863 $ 14,087
2/29/1996 $ 15,633 $ 14,296 $ 14,729
3/31/1996 $ 15,883 $ 14,587 $ 15,021
4/30/1996 $ 17,400 $ 15,368 $ 16,175
5/31/1996 $ 18,462 $ 15,973 $ 17,004
6/30/1996 $ 17,343 $ 15,317 $ 15,899
7/31/1996 $ 15,872 $ 13,980 $ 13,958
8/31/1996 $ 17,010 $ 14,792 $ 14,991
9/30/1996 $ 18,065 $ 15,370 $ 15,763
10/31/1996 $ 17,734 $ 15,133 $ 15,083
11/30/1996 $ 18,174 $ 15,757 $ 15,503
12/31/1996 $ 18,218 $ 16,170 $ 15,805
1/31/1997 $ 18,965 $ 16,493 $ 16,200
2/28/1997 $ 17,929 $ 16,094 $ 15,222
3/31/1997 $ 16,719 $ 15,334 $ 14,147
4/30/1997 $ 16,808 $ 15,377 $ 13,983
5/31/1997 $ 18,672 $ 17,087 $ 16,084
6/30/1997 $ 19,605 $ 17,820 $ 16,630
7/31/1997 $ 21,101 $ 18,649 $ 17,481
8/31/1997 $ 21,983 $ 19,076 $ 18,006
9/30/1997 $ 23,792 $ 20,472 $ 19,442
10/31/1997 $ 22,517 $ 19,574 $ 18,274
11/30/1997 $ 21,995 $ 19,447 $ 17,839
12/31/1997 $ 22,210 $ 19,787 $ 17,850
1/31/1998 $ 21,353 $ 19,474 $ 17,612
2/28/1998 $ 22,786 $ 20,913 $ 19,168
3/31/1998 $ 24,515 $ 21,775 $ 19,971
4/30/1998 $ 24,719 $ 21,895 $ 20,092
5/31/1998 $ 22,632 $ 20,715 $ 18,632
6/30/1998 $ 23,132 $ 20,758 $ 18,822
7/31/1998 $ 22,152 $ 19,077 $ 17,250
8/31/1998 $ 17,106 $ 15,372 $ 13,269
9/30/1998 $ 18,471 $ 16,576 $ 14,614
10/31/1998 $ 18,801 $ 17,252 $ 15,377
11/30/1998 $ 19,892 $ 18,156 $ 16,570
12/31/1998 $ 21,974 $ 19,280 $ 18,070
1/31/1999 $ 21,739 $ 19,536 $ 18,883
2/28/1999 $ 19,309 $ 17,954 $ 17,155
3/31/1999 $ 19,691 $ 18,234 $ 17,766
4/30/1999 $ 20,329 $ 19,868 $ 19,335
5/31/1999 $ 20,793 $ 20,158 $ 19,366
6/30/1999 $ 22,732 $ 21,069 $ 20,386
7/31/1999 $ 23,333 $ 20,491 $ 19,756
8/31/1999 $ 22,803 $ 19,733 $ 19,018
9/30/1999 $ 23,209 $ 19,737 $ 19,385
10/31/1999 $ 25,706 $ 19,818 $ 19,881
11/30/1999 $ 29,282 $ 21,001 $ 21,982
12/31/1999 $ 35,165 $ 23,379 $ 25,858
1/31/2000 $ 35,390 $ 23,002 $ 25,617
2/29/2000 $ 45,009 $ 26,800 $ 31,578
3/31/2000 $ 43,483 $ 25,034 $ 28,259
4/30/2000 $ 38,147 $ 23,527 $ 25,405
5/31/2000 $ 36,210 $ 22,155 $ 23,180
6/30/2000 $ 41,525 $ 24,087 $ 26,175
7/31/2000 $ 38,108 $ 23,312 $ 23,931
8/31/2000 $ 42,578 $ 25,090 $ 26,449
9/30/2000 $ 40,704 $ 24,353 $ 25,134
10/31/2000 $ 38,685 $ 23,266 $ 23,094
11/30/2000 $ 33,970 $ 20,877 $ 18,900
12/31/2000 $ 36,578 $ 22,670 $ 20,056
1/31/2001 $ 37,079 $ 23,851 $ 21,679
2/28/2001 $ 33,023 $ 22,287 $ 18,707
3/31/2001 $ 30,338 $ 21,197 $ 17,006
4/30/2001 $ 33,773 $ 22,855 $ 19,088
5/31/2001 $ 34,022 $ 23,417 $ 19,531
6/30/2001 $ 34,771 $ 24,225 $ 20,064
7/31/2001 $ 32,959 $ 22,914 $ 18,353
8/31/2001 $ 30,524 $ 22,174 $ 17,205
9/30/2001 $ 25,716 $ 19,189 $ 14,429
10/31/2001 $ 27,527 $ 20,312 $ 15,817
11/30/2001 $ 29,462 $ 21,884 $ 17,137
12/31/2001 $ 31,530 $ 23,234 $ 18,205
1/31/2002 $ 30,530 $ 22,993 $ 17,557
2/28/2002 $ 28,845 $ 22,363 $ 16,421
3/31/2002 $ 30,844 $ 24,161 $ 17,848
4/30/2002 $ 29,845 $ 24,380 $ 17,462
5/31/2002 $ 28,720 $ 23,298 $ 16,441
6/30/2002 $ 26,847 $ 22,142 $ 15,047
7/31/2002 $ 23,037 $ 18,799 $ 12,734
8/31/2002 $ 23,537 $ 18,752 $ 12,728
9/30/2002 $ 22,476 $ 17,406 $ 11,809
10/31/2002 $ 22,912 $ 17,964 $ 12,406
11/30/2002 $ 24,284 $ 19,567 $ 13,636
12/31/2002 $ 23,036 $ 18,477 $ 12,695
1/31/2003 $ 22,974 $ 17,965 $ 12,349
2/28/2003 $ 22,661 $ 17,422 $ 12,020
3/31/2003 $ 23,099 $ 17,647 $ 12,201
4/30/2003 $ 24,910 $ 19,320 $ 13,355
5/31/2003 $ 27,157 $ 21,393 $ 14,861
6/30/2003 $ 27,844 $ 21,780 $ 15,147
7/31/2003 $ 28,851 $ 23,144 $ 16,293
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 25.89 25.20 5.42 11.18
Russell 2000 Index 28.84 23.11 3.94 8.75
Russell 2000 Growth Index 31.35 27.97 -1.13 5.01
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 23.89 3.72 3.78 10.91
Russell 2000 Index 25.14 -1.64 0.97 8.24
Russell 2000 Growth Index 28.29 0.69 -4.25 4.35
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance does not guarantee
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell 2000 Index is an unmanaged index generally considered representative
of the market for small domestic stocks. The Russell 2000 Growth Index, also an
unmanaged index, measures the performance of those Russell 2000 companies with
higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not investments, do not incur fees or expenses, and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
3
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
ENDED YEAR ENDED OCTOBER 31,
JULY 31, -----------------------------------------------------------------------------
2003(a) 2002 2001 2000 1999(b) 1998(b)
----------- ----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 3.67 $ 4.41 $ 18.78 $ 13.59 $ 9.96 $ 13.60
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment loss (0.02)(c) (0.02)(c) (0.01) (0.09) (0.04) (0.03)
Net realized and unrealized
gain (loss) on investments 0.97 (0.72) (2.18) 6.80 3.69 (2.21)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment
operations 0.95 (0.74) (2.19) 6.71 3.65 (2.24)
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net realized
gains - -(d) (12.18) (1.52) (0.02) (1.40)
----------- ----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF
PERIOD $ 4.62 $ 3.67 $ 4.41 $ 18.78 $ 13.59 $ 9.96
=========== =========== =========== =========== =========== ===========
Total return (e) 25.89%(f) (16.76)% (28.84)% 50.49% 36.70% (16.49)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 293,924 $ 227,874 $ 283,521 $ 258,480 $ 240,129 $ 267,789
Ratio of net expenses to
average net assets (g) 0.81%(h) 0.79% 0.82% 0.79% 0.79% 0.77%
Ratio of net investment loss to
average net assets (g) (0.55)%(h) (0.49)% (0.22)% (0.39)% (0.33)% (0.20)%
Portfolio turnover rate 89%(f) 120% 160% 163% 186% 159%
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (96.2%)
Consumer Discretionary (17.3%)
Auto Components (2.0%)
Autoliv, Inc. 101,072 $ 2,910,874
Gentex Corp. (a) 87,915 3,124,499
---------------
6,035,373
---------------
Hotels, Restaurants & Leisure (4.5%)
Ameristar Casinos, Inc. (a) 92,400 2,018,016
Fairmont Hotels & Resorts, Inc. 27,900 703,080
Leapfrog Enterprises, Inc. (a) 41,300 1,251,390
O'Charley's, Inc. (a) 73,120 1,388,549
Outback Steakhouse, Inc. 50,247 1,876,725
P.F. Chang's China Bistro, Inc. (a) 47,517 2,298,873
Panera Bread Co., Class A (a) 53,776 2,224,713
Ruby Tuesday, Inc. 62,500 1,422,500
---------------
13,183,846
---------------
Household Durables (1.6%)
Harman International Industries, Inc. 56,400 4,715,040
---------------
Media (3.8%)
Entercom Communications Corp. (a) 89,719 4,251,783
Entravision Communications Corp., Class A (a) 171,130 1,822,534
Lamar Advertising Co. (a) 74,685 2,562,442
Radio One, Inc., Class D (a) 161,092 2,672,516
---------------
11,309,275
---------------
Specialty Retail (5.3%)
Advance Auto Parts, Inc. (a) 32,600 2,214,518
Cost Plus, Inc. (a) 41,660 1,552,668
Electronics Boutique Holdings Corp. (a) 44,400 1,189,032
GameStop Corp. (a) 90,500 1,230,800
Hollywood Entertainment Corp. (a) 101,319 1,696,080
Linens 'N Things, Inc. (a) 59,900 1,602,325
Michaels Stores, Inc. 64,358 2,484,862
O'Reilly Automotive, Inc. (a) 45,036 1,715,872
PETsMART, Inc. 98,200 1,947,306
---------------
15,633,463
---------------
Textiles, Apparel & Luxury Goods (0.1%)
Columbia Sportswear Co. (a) 2,700 143,073
---------------
Energy (9.2%)
Energy Equipment & Services (6.0%)
CAL Dive International, Inc. (a) 72,687 1,439,203
Grey Wolf, Inc. (a) 231,770 818,148
Key Energy Services, Inc. (a) 238,400 2,219,504
Maverick Tube Corp. (a) 67,700 1,117,050
National-Oilwell, Inc. (a) 124,538 2,291,499
Oceaneering International, Inc. (a) 52,022 1,326,561
Patterson-UTI Energy, Inc. (a) 55,500 1,531,800
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Precision Drilling Corp. (a) 81,576 $ 2,961,209
TETRA Technologies, Inc. (a) 36,200 1,189,170
Varco International, Inc. (a) 152,322 2,632,124
---------------
17,526,268
---------------
Oil & Gas (3.2%)
Chesapeake Energy Corp. 199,700 1,911,129
Patina Oil & Gas Corp. 54,653 1,643,962
Premcor, Inc. (a) 118,000 2,573,580
XTO Energy, Inc. 171,896 3,317,593
---------------
9,446,264
---------------
Financials (2.5%)
Diversified Financials (0.2%)
iPayment Holdings, Inc. (a) 20,800 534,352
---------------
Insurance (2.3%)
IPC Holdings Ltd. 48,245 1,660,111
Philadelphia Consolidated Holding Corp. (a) 1,400 56,476
ProAssurance Corp. (a) 78,600 2,212,590
Scottish Annuity & Life Holdings Ltd. 126,192 2,883,487
---------------
6,812,664
---------------
Health Care (22.9%)
Biotechnology (4.4%)
Connetics Corp. (a) 199,500 3,622,920
ICOS Corp. (a) 95,100 4,148,262
Martek Biosciences Corp. (a) 43,600 2,115,516
Neurocrine Biosciences, Inc. (a) 28,207 1,514,152
SangStat Medical Corp. (a) 88,000 1,408,880
---------------
12,809,730
---------------
Health Care Equipment & Supplies (2.6%)
ArthroCare Corp. (a) 33,700 564,475
CTI Molecular Imaging, Inc. (a) 79,252 1,256,937
Kyphon, Inc. (a) 97,752 2,110,466
Orthofix International NV (a) 36,176 1,197,426
Wilson Greatbatch Technologies, Inc. (a) 64,475 2,521,617
---------------
7,650,921
---------------
Health Care Providers & Services (12.3%)
Caremark Rx, Inc. (a) 169,287 4,235,561
Cerner Corp. (a) 76,700 2,427,555
Cobalt Corp. (a) 74,300 1,524,636
Community Health Systems, Inc. (a) 71,000 1,576,200
Coventry Health Care, Inc. (a) 72,200 3,889,414
DaVita, Inc. (a) 166,046 4,649,288
First Health Group Corp. (a) 186,233 4,808,536
Henry Schein, Inc. (a) 79,595 4,651,532
IMPAC Medical Systems, Inc. (a) 69,000 1,669,800
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Mid Atlantic Medical Services, Inc. (a) 91,692 $ 4,986,211
PacifiCare Health Systems, Inc. (a) 31,400 1,755,260
---------------
36,173,993
---------------
Pharmaceuticals (3.6%)
Andrx Corp. (a) 192,757 4,371,729
AtheroGenics, Inc. (a) 99,800 1,447,100
CIMA Labs, Inc. (a) 69,600 2,004,480
Trimeris, Inc. (a) 61,835 2,742,382
---------------
10,565,691
---------------
Industrials (11.2%)
Airlines (0.3%)
SkyWest, Inc. 46,300 865,347
---------------
Commercial Services & Supplies (8.5%)
BISYS Group, Inc. (a) 142,719 2,362,000
Corinthian Colleges, Inc. (a) 59,727 3,261,691
Corporate Executive Board Co. (a) 74,233 3,223,197
Education Management Corp. (a) 108,246 6,285,845
Global Payments, Inc. 58,764 2,069,080
Resources Connection, Inc. (a) 115,500 3,024,945
Stericycle, Inc. (a) 45,409 2,049,308
Waste Connections, Inc. (a) 77,600 2,634,520
---------------
24,910,586
---------------
Construction & Engineering (1.2%)
Chicago Bridge & Iron Co. NV 85,252 2,102,314
Jacobs Engineering Group, Inc. (a) 7,509 329,195
URS Corp. (a) 54,583 1,091,660
---------------
3,523,169
---------------
Electrical Equipment (0.3%)
Power-One, Inc. (a) 97,100 1,028,289
---------------
Machinery (0.9%)
Albany International Corp., Class A 91,354 2,609,984
---------------
Information Technology (31.1%)
Communications Equipment (4.0%)
Aspect Communications Corp. (a) 21,300 155,490
AudioCodes Ltd. (a) 77,900 437,798
Corvis Corp. (a) 514,700 741,168
F5 Networks, Inc. (a) 105,500 1,978,125
Foundry Networks, Inc. (a) 128,300 2,314,532
NetScreen Technologies, Inc. (a) 164,500 3,558,135
Polycom, Inc. (a) 108,800 1,816,960
Sonus Networks, Inc. (a) 100,900 700,246
---------------
11,702,454
---------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Computers & Peripherals (1.7%)
Advanced Digital Information Corp. (a) 121,200 $ 1,407,132
Electronics For Imaging, Inc. (a) 170,764 3,586,044
---------------
4,993,176
---------------
Electronic Equipment & Instruments (4.4%)
Amphenol Corp., Class A (a) 169,628 9,159,912
Benchmark Electronics, Inc. (a) 97,500 3,880,500
---------------
13,040,412
---------------
Internet Software & Services (1.1%)
Internet Security Systems, Inc. (a) 120,600 1,424,286
iPass, Inc. (a) 8,075 145,915
NetGear, Inc. (a) 14,000 247,394
webMethods, Inc. (a) 184,400 1,438,320
---------------
3,255,915
---------------
Information Technology Consulting & Services (1.9%)
CACI International, Inc., Class A (a) 53,600 2,108,624
Cognizant Technology Solutions Corp. (a) 119,700 3,684,366
---------------
5,792,990
---------------
Semiconductor Equipment & Products (9.3%)
Axcelis Technologies, Inc. (a) 192,300 1,415,328
Brooks Automation, Inc. (a) 85,200 1,640,100
Cabot Microelectronics Corp. (a) 37,200 2,310,492
ChipPAC, Inc., Class A (a) 244,300 1,392,510
Conexant Systems, Inc. (a) 155,700 766,044
Credence Systems Corp. (a) 284,700 2,718,885
DuPont Photomasks, Inc. (a) 39,300 805,257
FEI Co. (a) 33,700 748,140
Integrated Device Technology, Inc. (a) 177,000 2,037,270
Lattice Semiconductor Corp. (a) 151,000 1,173,270
Microsemi Corp. (a) 213,400 3,640,604
Photronics, Inc. (a) 133,579 2,451,175
Pixelworks, Inc. (a) 107,100 731,493
PMC-Sierra, Inc. (a) 74,200 909,692
Power Integrations, Inc. (a) 40,800 1,166,064
Ultratech, Inc. (a) 144,600 3,361,950
---------------
27,268,274
---------------
Software (8.7%)
Activision, Inc. (a) 177,300 2,065,545
Amdocs Ltd. (a) 84,800 1,728,224
Autodesk, Inc. 113,500 1,697,960
Citrix Systems, Inc. (a) 94,400 1,713,360
Documentum, Inc. (a) 73,423 1,259,204
Fair Isaac Corp. 83,100 4,490,724
JDA Software Group, Inc. (a) 108,700 1,604,412
Macromedia, Inc. (a) 211,300 4,335,876
Mercury Interactive Corp. (a) 61,900 2,436,384
Micromuse, Inc. (a) 53,700 385,566
MicroStrategy, Inc. (a) 36,200 1,579,044
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Software (continued)
National Instruments Corp. (a) 36,866 $ 1,312,798
THQ, Inc. (a) 300 4,944
Ulticom, Inc. (a) 52,100 608,528
Verity, Inc. (a) 23,000 306,130
---------------
25,528,699
---------------
Materials (1.1%)
Chemicals (1.1%)
Minerals Technologies, Inc. 25,976 1,297,501
OM Group, Inc. (a) 139,300 1,937,663
---------------
3,235,164
---------------
Telecommunication Services (0.5%)
Wireless Telecommunication Services (0.5%)
Dobson Communications Corp., Class A (a) 212,600 1,369,144
---------------
Utilities (0.4%)
Multi-Utilities & Unregulated Power (0.4%)
Calpine Corp. (a) 199,600 1,139,716
---------------
Total Common Stocks
(Cost of $224,301,276) 282,803,272
---------------
Investment Management Company (0.5%)
iShares MSCI Japan Index Fund
(Cost of $1,473,360) 180,900 1,374,840
---------------
<Caption>
PAR
-----------
Short-Term Obligation (3.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 0.950%,
collateralized by a U.S. Treasury Bond
maturing 08/15/08, market value of $9,263,609
(repurchase proceeds $9,077,240)
(Cost of $9,077,000) $ 9,077,000 9,077,000
---------------
Total Investments (99.8%)
(Cost of $234,851,636) (b) 293,255,112
Other Assets & Liabilities, Net (0.2%) 669,147
---------------
Net Assets (100.0%) $ 293,924,259
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $237,196,447.
See Accompanying Notes to Financial Statements.
9
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
<Caption>
ASSETS:
Investments, at identified cost $ 234,851,636
-----------------
Investments, at value $ 293,255,112
Cash 348
Receivable for:
Investments sold 5,227,781
Interest 240
Dividends 3,932
-----------------
Total assets 298,487,413
-----------------
LIABILITIES:
Payable for:
Investments purchased 3,796,023
Capital stock redeemed 517,000
Investment management fee 185,859
Transfer agent fee 3,812
Trustees' fees 7,610
Audit fee 23,420
Other liabilities 29,430
-----------------
Total liabilities 4,563,154
-----------------
NET ASSETS $ 293,924,259
=================
NET ASSETS consist of:
Paid-in capital $ 334,793,998
Undistributed net investment income 79,879
Accumulated net realized loss (99,353,094)
Net unrealized appreciation on investments 58,403,476
-----------------
NET ASSETS $ 293,924,259
=================
Shares of capital stock outstanding 63,594,223
=================
Net asset value, offering and redemption price per share $ 4.62
=================
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
STATEMENTS OF OPERATIONS
<Table>
<Caption>
FOR THE FOR THE
PERIOD ENDED YEAR ENDED
JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ----------------
NET INVESTMENT INCOME:
Income:
Dividends $ 333,036 $ 608,663
Interest 146,891 286,876
Foreign withholding tax (2,519) (384)
---------------- ----------------
Total income 477,408 895,155
---------------- ----------------
Expenses:
Investment management fee 1,402,493 2,238,619
Transfer agent fee 13,597 18,000
Trustees' fees 7,020 7,481
Custody fee 18,621 55,926
Audit fee 21,322 21,631
Other expenses 44,105 20,374
---------------- ----------------
Total expenses 1,507,158 2,362,031
Custody earnings credit (812) -
---------------- ----------------
Net expenses 1,506,346 2,362,031
---------------- ----------------
Net investment loss (1,028,938) (1,466,876)
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investments 7,809,978 (50,084,055)
Net change in unrealized appreciation/depreciation on investments 52,680,821 (2,348,752)
---------------- ----------------
Net gain (loss) 60,490,799 (52,432,807)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 59,461,861 $ (53,899,683)
---------------- ----------------
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED --------------------------------------
JULY 31, 2003(a) 2002 2001
----------------- ----------------- -----------------
Operations:
Net investment loss $ (1,028,938) $ (1,466,876) $ (535,747)
Net realized gain (loss) on investments 7,809,978 (50,084,055) (56,978,384)
Net change in unrealized appreciation/depreciation
on investments 52,680,821 (2,348,752) (26,583,589)
----------------- ----------------- -----------------
Net increase (decrease) from operations 59,461,861 (53,899,683) (84,097,720)
Distributions declared to shareholders:
From net realized gains - (74,803) (128,856,426)
Net capital share transactions 6,588,720 (1,672,970) 237,995,336
----------------- ----------------- -----------------
Net increase (decrease) in net assets 66,050,581 (55,647,456) 25,041,190
NET ASSETS:
Beginning of period 227,873,678 283,521,134 258,479,944
----------------- ----------------- -----------------
End of period $ 293,924,259 $ 227,873,678 $ 283,521,134
================= ================= =================
Undistributed net investment income $ 79,879 $ 72,143 $ -
================= ================= =================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
12
<Page>
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Small Cap Fund (formerly CMC Small Cap Fund) (the "Fund") is a portfolio of
CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end diversified
investment company registered under the Investment Company Act of 1940, as
amended.
The Trust has established eleven other operational portfolios, CMG Small/Mid Cap
Fund (formerly CMC Small/Mid Cap Value Fund), CMG International Stock Fund
(formerly CMC International Stock Fund), CMG Enhanced S&P 500(R) Index Fund, CMG
Mid Cap Growth Fund, CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG
Small Cap Value Fund, CMG Fixed Income Securities Fund (formerly CMC Fixed
Income Securities Fund), CMG High Yield Fund (formerly CMC High Yield Fund), CMG
Strategic Equity Fund (formerly CMC Strategic Equity Fund) and CMG Short Term
Bond Fund (formerly CMC Short Term Bond Fund), which are not included in these
financial statements. Each portfolio issues a separate series of the Trust's
shares and maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end of the Fund from October 31 to July 31. The Fund's 2003 fiscal
year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Equity securities are valued based on the last sale prices
reported by the principal securities exchanges on which the investments are
traded or, in the absence of recorded sales, at the closing bid prices on such
exchanges or over-the-counter markets. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded. Short-term fixed income obligations
with less than 60 days to maturity when purchased are valued at amortized cost,
which approximates market value. Investments for which market quotations are not
readily available will be valued at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees. Foreign currency exchange rates and the value of foreign securities
are also generally determined prior to the close of the New York Stock Exchange.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close of
the customary trading session of the New York Stock Exchange, which would not be
reflected in the computation of the Fund's net asset value. If events materially
affecting the value of such securities and such exchange rates occur during such
period, then these securities and exchange rates will be valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Board of Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes.
13
<Page>
INVESTMENT INCOME AND EXPENSES. Dividend income less foreign taxes withheld (if
any) is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend, if
such information is obtained subsequent to the ex-dividend date. Interest income
is recorded on the accrual basis. Expenses are recorded on the accrual basis and
the Fund bears expenses incurred specifically on its behalf as well as a portion
of general expenses incurred on behalf of the Trust and its underlying
portfolios.
FOREIGN CURRENCY TRANSLATIONS. The books and records of the Fund are maintained
in U.S. dollars. Foreign currencies, investments and other assets and
liabilities of the Fund are translated into U.S. dollars at the daily rates of
exchange on the valuation date. Purchases and sales of investment securities,
dividend and interest income and certain expenses are translated at the rates of
exchange prevailing on the respective dates of such transactions. The Fund does
not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes
in market prices on investments held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from the sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalents of the amounts actually received or
paid. Net unrealized foreign exchange gains or losses arise from changes in the
value of assets and liabilities, other than investments in securities, resulting
from changes in the exchange rates. Such transactions are shown separately on
the statement of operations.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared and paid annually. Distributions from any net realized gains
are generally declared and paid annually. Additional distributions of net
investment income and capital gains may be made at the discretion of the Board
of Trustees in accordance with the requirements of the Internal Revenue Code.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
OTHER. There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities. These
risks may involve foreign currency exchange rate fluctuations, adverse political
and economic developments and the possible prevention of currency exchange or
other foreign governmental laws or restrictions.
2. FEDERAL INCOME TAX:
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for deferral of
losses from wash sales, capital loss carryforwards and real estate investment
trust adjustments. Reclassifications are made to the Fund's capital accounts to
reflect income and gains available for distribution (or available capital loss
carryforwards) under income tax regulations.
14
<Page>
For the period ended July 31, 2003, permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME LOSS CAPITAL
-------------- ------------ ------------
$ 1,036,674 $ 34,801 $ (1,071,475)
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
The tax character of distributions paid for the period ended July 31, 2003 and
the years ended October 31, 2002 and October 31, 2001 was as follows:
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED -----------------------------
JULY 31, 2003 2002 2001
------------- ------------- -------------
Distributions paid from:
Ordinary income $ - $ 74,803 $ 86,730,796
Long-term capital gains - - 42,125,630
------------- ------------- -------------
$ - $ 74,803 $ 128,856,426
============= ============= =============
</Table>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED
UNDISTRIBUTED LONG-TERM UNREALIZED
ORDINARY INCOME CAPITAL GAINS APPRECIATION*
--------------- ------------- -------------
$ - $ - $ 56,058,665
</Table>
*The difference between book-basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and real
estate investment trust adjustments.
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARDS
-------------
YEAR OF EXPIRATION
2009 $ 44,821,859
2010 52,106,545
-------------
$ 96,928,404
=============
</Table>
Utilization of the capital loss carryforwards above could be significantly
limited under rules imposed by the Internal Revenue Code.
Expired capital loss carryforwards, if any, are recorded as a reduction of
paid-in capital.
15
<Page>
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Fund, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect,
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Fund. The merger did not change the way the Fund is managed, the investment
personnel assigned to manage the Fund or the fees paid by the Fund.
Columbia is the investment advisor of the Fund. Investment management fees are
paid monthly to Columbia. The Fund's fees are based on an annual rate of 0.75%
of average daily net assets.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than their capacity as trustees. Other officers
and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $812 of
custody fees were reduced by balance credits for the period ended July 31, 2003.
The Fund could have invested a portion of the assets utilized in connection with
the expense offset arrangement in an income producing asset if it had not
entered into such an agreement.
4. INVESTMENT TRANSACTIONS:
As of July 31, 2003, for federal income tax purposes, net unrealized
appreciation (depreciation) on investments was as follows:
<Table>
Gross unrealized appreciation $ 62,767,135
Gross unrealized depreciation (6,708,470)
-------------
Net unrealized appreciation $ 56,058,665
=============
</Table>
For the period ended July 31, 2003, purchases and sales of investments, other
than short-term obligations, were $228,081,064 and $209,696,728, respectively.
16
<Page>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED -------------------------------------
JULY 31, 2003(a) 2002 2001
----------------- --------------- -----------------
SHARES:
Shares sold 6,868,955 28,006,875 39,257,493
Shares issued for reinvestment of dividends - 15,143 21,433,664
Less shares redeemed (5,286,942) (30,327,298) (10,135,991)
----------------- --------------- -----------------
Net increase (decrease) in shares 1,582,013 (2,305,280) 50,555,166
================= =============== =================
AMOUNTS:
Sales $ 26,844,551 $ 122,231,939 $ 201,524,146
Reinvestment of dividends - 74,656 128,601,986
Less redemptions (20,255,831) (123,979,565) (92,130,796)(b)
----------------- --------------- -----------------
Net increase (decrease) $ 6,588,720 $ (1,672,970) $ 237,995,336
================= =============== =================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) Includes $42,964,973 from the delivery of securities in in-kind redemptions.
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2004. The Fund did not utilize the line of credit during the period
ended July 31, 2003.
7. BENEFICIAL INTEREST:
At July 31, 2003, 43.48% of the outstanding shares of the Fund were held by five
shareholders, each holding in excess of 5% of the Fund's shares outstanding.
Investment activity of these shareholders may have a material effect on the
Fund.
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbant trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
17
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG SMALL CAP FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Small Cap Fund (formerly
CMC Small Cap Fund) (the "Fund"), a portfolio of CMG Fund Trust (formerly CMC
Fund Trust), at July 31, 2003, and the results of its operations, the changes in
its net assets, and its financial highlights for 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 Fund's 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 July 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
18
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the fund's distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ---------------------- -------------- ------------------ --------------------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the Liberty All-Star
One Financial Center and Principal Funds since May 2002; Chief Accounting Officer of the
Boston, MA 02111 Accounting Liberty Funds and Liberty All-Star Funds since June 2001;
(42 years old) Officer Controller and Chief Accounting Officer of the Galaxy Funds
since September 2002 (formerly Vice President, Corporate Audit,
State Street Bank and Trust Company from May 1998 to April
2001; Audit Manager from July 1994 to June 1997; Senior Audit
Manager from July 1997 to May 1998, Coopers & Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star Funds,
245 Summer Street Financial December 2002 Stein Roe Funds and Galaxy Funds; Senior Vice President of
Boston, MA 02110 Officer Liberty Funds Group LLC. Prior to his current positions,
(39 years old) Mr. Connaughton was Controller of Liberty Funds, Liberty
All-Star Funds and Stein Roe Funds; Vice President of
Liberty Funds Group LLC and Colonial Management Associates,
Inc.; Senior Tax Manager, Coopers & Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and Chief
1300 S.W. Sixth Avenue Assistant Operating Officer-West Coast of the Adviser. Prior to his
Portland, OR 97201 Secretary current positions with the Adviser, Mr. Curtis was President,
(49 years old) Senior Vice President and General Counsel of the Adviser.
Mr. Curtis is also currently the President of Columbia Trust
Company and Columbia Financial Center Incorporated, affiliates
of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice President of the
1300 S.W. Sixth Avenue Investment Adviser; Chief Investment Officer and Senior Vice President of
Portland, OR 97201 Officer and Columbia Trust Company. Prior to his current positions with
(45 years old) Senior Vice the Adviser, Mr. Johnson was Chief Investment Officer and
President Vice President of the Adviser.
</Table>
19
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ---------------------- -------------- ------------------ --------------------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating Officer of
One Financial Center Columbia Management Group, Inc. (the parent of the Adviser)
Boston, MA 02111 since December 2001; Director, Executive Vice President and
(50 years old) Chief Operating Officer of the Adviser since April 2003;
(formerly Chief Operations Officer of Mutual Funds, Liberty
Financial Companies, Inc. from August 2000 to November,
2001; Executive Vice President of Stein Roe & Farnham
Incorporated (Stein Roe) from April 1999 to April 2003;
Director of Colonial Management Associates, Inc. from
April 1999 to April 2003; Director of Stein Roe from
September 2000 to April 2003); President of Liberty Funds
since February 2003; Manager of Stein Roe Floating
Rate Limited Liability Company since October 2000 (formerly
Vice President of Liberty Funds from April, 1999 to
August 2000; Chief Operating Officer and Chief Compliance
Officer, Putnam Mutual Funds from December 1993 to March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his current positions,
1300 S.W. Sixth Avenue Mr. Wentzien was Associate Counsel of the Advisor.
Portland, OR 97201
(43 years old)
</Table>
20
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- --------------------- ----------- --------------- -------------- ---------------- -------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics,
Economics University of
University of Washington, since
Washington January 1976; Ford
Seattle, WA 98195 and Louisa Van
(61 years old) Voorhis Professor
of Political
Economy,
University of
Washington, since
September 1993;
Director,
Institute for
Economic Research,
University of
Washington, since
September 2001;
Adjunct Professor
of Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and
Banking, since
September 1993;
consultant on
econometric and
statistical
matters.
</Table>
21
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ------------------------- ----------- --------------- -------------- ---------------- -------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins 27 None
1211 S.W. 5th Avenue Coie LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, 27 The Regence Group,
100 S.W. Market St. #1500 The Regence Group Regence BlueCross
Portland, OR 97207 (a healthcare BlueShield of
(62 years old) maintenance Oregon; NW
organization). Natural, a
natural gas service
provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
22
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-02/8430-0703 (09/03) C-03/025
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG ENHANCED S&P 500(R) INDEX FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Enhanced S&P(R)
500 Index Fund. The fund returned 7.30% from its inception on May 5, 2003
through July 31, 2003, outpacing the S&P 500 Index, which returned 6.94% for the
same period. During this initial period, performance was helped as cash flowed
into the fund and was invested in a rising market.
The stock market gained ground during the period with the easing of some of the
uncertainty surrounding the war in Iraq. The Federal Reserve Board's policy of
continued low interest rates, combined with the tax cuts passed by Congress, set
the stage for continued economic growth and provided a positive environment for
equity markets.
As an enhanced index fund, we seek to outperform the S&P 500 through focused
stock selection. As such, the portfolio is similar to the S&P 500 in industry
weightings and market capitalization; however, it will generally hold from 150
to 250 names as compared to the 500 holdings of the S&P 500. As of July 31,
2003, the fund had 221 names. Our goal is to identify the most attractive stocks
in each category, using a combination of proprietary, fundamental and systematic
research. Using a well-defined, disciplined investment process, we thoroughly
evaluate the cost to add a good name to the portfolio and remove a stale one.
Individual weightings of any particular name is generally no more than 50 basis
points, or one half of one percent, higher or lower than that stock's weighting
in the S&P 500 Index. Maintaining low turnover and minimizing transaction costs
are key parts of our investment strategy.
During this startup phase of less than three months, it is difficult to identify
specific stocks that helped or hurt performance. The opportunity to build a new
portfolio in a rising market worked to our benefit. Moving forward, our strategy
is to favor high quality companies with strong balance sheets and income
statements that still have reasonable relative valuations. We look for companies
that have some characteristic that gives them an edge over their competitors.
This could be a management change or a new product lineup, as reflected in an
earnings revision, earnings surprise or a trend of starting to outperform their
peers.
This is a core fund with many characteristics of the S&P 500 Index, including
modest relative risk. We will continue to focus on high quality, reasonably
valued stocks that we believe will deliver superior performance. In a market
where lower quality speculative stocks take the lead, this fund is unlikely to
keep up, but we believe the coming months are more likely to bring strong,
broad-based economic growth. The fund is positioned to benefit from these
conditions.
1
<Page>
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Microsoft 3.4
Pfizer 3.3
General Electric 2.5
Citigroup 2.5
Exxon Mobil 2.4
Johnson & Johnson 2.2
Wal-Mart 2.1
Intel 2.1
Bank of America 1.8
Merck & Co 1.6
</Table>
We appreciate your investment in the CMG Enhanced S&P 500(R) Index Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
The primary risk involved with investing in the fund includes equity risk,
market risk and tracking error risk. Unlike the S&P 500 Index, the fund incurs
administrative expenses and transaction costs in trading stocks. The composition
of the S&P 500 Index and the stocks held by the fund will diverge.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2003
<Table>
<Caption>
CMG ENHANCED S&P 500(R) INDEX FUND S&P 500 INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,376
6/30/2003 $ 10,540 $ 10,509
7/31/2003 $ 10,730 $ 10,694
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Enhanced S&P 500(R) Index Fund 5/5/03 7.30
S&P 500 Index 6.94
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Enhanced S&P 500(R) Index Fund 5/5/03 5.40
S&P 500 Index 5.08
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. Total return performance is illustrated for the periods ended July
31, 2003.
The S&P 500 Index is an unmanaged index of 500 widely held, large capitalization
US stocks. Unlike the fund, the index is not an investment, does not incur fees
or expenses and is not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from May 5, 2003.
3
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Mid Cap
Growth Fund. The fund returned 9.30% from its inception on May 5, 2003 through
July 31, 2003. That was lower than the Russell Midcap Growth Index, which
returned 12.66% during the same period. The fund's underweight in low-quality
technology stocks, which were the period's star performers, and an overweight in
energy stocks, which trailed the broader market, detracted from performance.
As the cloud of uncertainty that had surrounded the build-up to war in Iraq
lifted in May, both the US economy and stock markets strengthened. Lower
interest and tax rates created a more favorable environment for investors, who
shifted towards riskier segments of the stock market, such as technology. As a
result, this sector was one of the period's best performers.
The fund missed out on some of the strong gains delivered by speculative
technology issues because of its emphasis on high-quality technology companies
with established earnings. These speculative stocks were the sector's leading
performers early in the period. However, by the end of the period some of these
low-quality issues started to cool off and the fund made up some lost ground.
Within the technology sector, the fund's bottom-up research process helped us
identify companies with reasonable valuations and above-average earnings growth,
such as Amdocs and VERITAS Software (1.5% and 1.5% of net assets, respectively).
Although neither stock was a stand-out during the period, we own them for their
long-term growth potential.
As valuations on technology stocks moved higher in July, we took some profits
from some of our holdings but held our technology weight steady by adding
selectively to our position. We believe that at their current price levels, many
technology stocks reflect expectations for a significant improvement in the
economy and in earnings. During the third quarter, which has historically been
weak for technology stocks, we are taking a cautious approach with this sector.
Strong stock selection and an overweight position in health care also
contributed positively to performance during the period. Among the portfolio's
best performers were Caremark Rx, a pharmacy benefits manager; Barr
Laboratories, a generic drug company; and Gilead Sciences, a biotechnology
company (3.4%, 2.4% and 0.9% of net assets, respectively). We believe that both
generic drug and biotech companies have the potential to generate attractive
earnings as more branded names lose their patent protection and as legislators
work to expand Medicare prescription benefits.
We are optimistic that the economy is on the road to recovery, thanks to fiscal
and monetary policy measures that have been taken to stimulate growth. As a
result, we have emphasized industrial, technology, telecommunications and
consumer stocks within the fund--all sectors that we believe would benefit from
a stronger economy. In choosing stocks, we remain focused on companies that
demonstrate the ability to generate above-average earnings and cash flow over
the long term. The result is a carefully constructed portfolio of mid-cap growth
stocks highly diversified across market sectors.
4
<Page>
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Caremark Rx 3.4
WellPoint Health Networks 2.8
Barr Laboratories 2.4
Electronic Arts 2.1
Univision Communications 2.1
AmerisourceBergen 2.0
UnitedHealth Group 1.8
Microchip Technology 1.8
BJ Services 1.7
Williams-Sonoma 1.6
</Table>
We appreciate your investment in the CMG Mid Cap Growth Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
5
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2003
<Table>
<Caption>
CMG MID CAP GROWTH FUND RUSSELL MIDCAP GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,580 $ 10,675
6/30/2003 $ 10,730 $ 10,828
7/31/2003 $ 10,930 $ 11,266
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Mid Cap Growth Fund 5/5/03 9.30
Russell Midcap Growth Index 12.66
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Mid Cap Growth Fund 5/5/03 7.30
Russell Midcap Growth Index 8.77
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell Midcap Growth Index is a market-weighted index that measures
performance of the smallest 800 companies of the Russell 1000 Index with higher
price-to-book ratios and higher forecasted growth values. Unlike the fund, an
index is not an investment, does not incur fees and is not professionally
managed. It is not possible to invest directly in an index. Securities in the
fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from May 5, 2003.
6
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Mid Cap Value
Fund. The fund returned 6.90% from its inception on May 5, 2003 through July 31,
2003. It trailed the Russell Midcap Value Index, which returned 11.62% during
the same period. The fund's focus on stable, less risky value stocks restrained
performance as more aggressive stocks did particularly well during this period.
Comparative returns were also hampered by the fact that fund assets were not
fully invested during the initial startup period of the fund when markets began
to rally.
As the period began, expectations for economic recovery fueled a strong rally in
the stock market. Investors responded favorably to the relatively swift end to
the major fighting in Iraq, low interest rates and increasing consumer
confidence. Reductions in dividend and capital gains tax rates further buoyed
the market.
With investors demonstrating an increased appetite for risk, aggressive,
volatile stocks were the top performers. Among the biggest gainers were
technology stocks and companies with high amounts of debt on their balance
sheets. As a result, our stock selection in the technology sector hurt the
fund's relative performance because we favored more stable, financially sound
companies. Further, the fund's performance was hurt by Six Flags, a theme park
operator, and Newell Rubbermaid, which makes a wide variety of consumer products
(0.4% and 1.0% of net assets, respectively). At Six Flags, unseasonably wet
weather and a sluggish economy resulted in lower than expected park attendance
and cash flow. Newell Rubbermaid revised downward its outlook for earnings and
cash flow for the year citing, among other things, retailer inventory
reductions, pricing pressure in certain businesses and poor performance in
others. Our slightly overweight allocation in energy also reduced relative
returns. After a strong run earlier in the year, energy stocks were the worst
performers in the index during the period.
Industrial stocks Navistar International and Ingersoll-Rand (1.6% and 1.2% of
net assets respectively) were top performers as investors began to feel more
confident that business spending was picking up. Navistar is a leading
heavy-duty truck producer and Ingersoll-Rand manufactures refrigeration,
construction and industrial equipment. On the consumer side, our strongest gain
came from Federated Department Stores Inc. (2.1% of net assets). Gradually
improving trends in the country's largest upscale department store operator gave
investors confidence that the company was well positioned to benefit from an
ongoing economic recovery.
Our strategy is to focus on identifying well-managed companies in good or
improving businesses with attractive valuations. We are bottom-up,
research-intensive investors who believe in visiting the companies we invest in
to see operations firsthand. We generally run a fairly concentrated portfolio of
about 100 securities. As of July 31, 2003, we had 98 holdings, and common stocks
made up 94.8% of the portfolio.
7
<Page>
We believe that the pendulum favoring aggressive stocks may have swung too far,
and that the market could rotate back to the higher quality names that the fund
tends to favor. Longer term, we believe that a lower capital gains tax rate is
likely to benefit stocks. More important, a reduction in taxes on dividends
should benefit value stocks disproportionately, as historically they have tended
to pay higher dividends than growth stocks.
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Golden West Financial 2.8
Dean Foods 2.4
XTO Energy 2.3
Federated Department Stores 2.1
First Health Group 1.8
Brinker International 1.7
TJX 1.7
Avon Products 1.6
Amphenol 1.6
Navistar International 1.6
</Table>
We appreciate your investment in the CMG Mid Cap Value Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
8
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2003
<Table>
<Caption>
CMG MID CAP VALUE FUND RUSSELL MIDCAP VALUE INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,320 $ 10,750
6/30/2003 $ 10,370 $ 10,825
7/31/2003 $ 10,690 $ 11,162
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Mid Cap Value Fund 5/5/03 6.90
Russell Midcap Value Index 11.62
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Mid Cap Value Fund 5/5/03 3.70
Russell Midcap Value Index 8.25
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell Midcap Value Index is an unmanaged index measures the performance of
those Russell Midcap companies with lower price-to-book ratios and lower
forecasted growth values. The stocks are also members of the Russell 1000 Value
Index. Unlike the fund, an index is not an investment, does not incur fees and
is not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from May 5, 2003.
9
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Small/Mid Cap
Fund. The Board of Trustees approved the change of the fund's fiscal year end
from October 31 to July 31. As a result, this report covers the nine-month
period since the last annual report. The next report you will receive will be a
report for the six-month period through January 2004.
The fund returned 19.25% for the nine-month period ended July 31, 2003. For the
same period, the Russell 2500 Index returned 27.24%, while the Russell 2500
Growth Index returned 29.74%. The fund underperformed these indices because it
was underweight in the strong-performing technology sector, especially among
lower-quality technology stocks that lacked a predictable earnings stream.
The stock market began to move up early in the period, then backed off as
worries about SARS (severe acute respiratory syndrome), a build-up to war in
Iraq and a weak US economy discouraged investors. In May, when the major
military campaign in Iraq was declared over and first-quarter corporate earnings
were better than expected, stocks began a strong rally. Small and mid-cap stocks
did better, in general, than large cap stocks.
Within the technology sector, we emphasized high quality stocks--companies with
earnings that were not dependent on an economic recovery. Unfortunately, these
stocks underperformed lower-quality stocks through June. In July, investors
began to grow wary of the high valuations on many of technology's strongest
performers, and higher-quality technology stocks began to gain ground. We
increased our technology exposure during the period. However, we continued to
focus on high-quality companies because we believe they have the long-term
potential to do well.
An overweight position in energy hurt the fund. Although energy performed well
at the beginning of the period, it fell behind during the summer rally by a
significant margin. Finally, in the consumer discretionary sector, an overweight
position in media stocks hurt performance. We had emphasized media because it
tends to do well in a strengthening economy. But a solid recovery has yet to
materialize, and media stocks were in general weak performers during the period.
By contrast, strong stock selection in health care helped returns. We avoided
hospitals, which suffered from decreased volumes related to the weak flu season
and concerns about Medicare reimbursements. The fund owned some smaller health
care companies, which performed particularly well. These included health
maintenance organizations (HMOs), biotechnology companies, pharmacy benefit
managers (PBMs), and specialty and generic pharmaceuticals.
Although the painful bear market of the past three years may finally be over,
valuations are no longer cheap. We believe they already reflect expectations for
a full economic recovery. We have positioned the fund in anticipation of
recovery, with an emphasis on economically-sensitive sectors such as technology
and industrials. However, until we actually see economic improvement--and a big
improvement in corporate earnings--we are cautious about raising our
10
<Page>
stake in these economically-sensitive sectors and lowering our exposure to
defensive investments, such as health care.
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Caremark Rx 2.7
Amphenol 2.3
Barr Laboratories 2.3
Education Management 2.1
Electronic Arts 2.1
WellPoint Health Networks 2.1
DaVita 1.9
Microchip Technology 1.8
Univision Communications 1.8
Mid Atlantic Medical Services 1.7
</Table>
We appreciate your continued confidence in the CMG Small/Mid Cap Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee that the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in small-cap stocks and mid-cap stocks may present special risks,
including possible illiquidity and greater price volatility than stocks of
larger, more established companies.
11
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, DECEMBER 1, 2000 TO JULY 31, 2003
<Table>
<Caption>
CMC SMALL/MID CAP FUND RUSSELL 2500 INDEX RUSSELL 2500 GROWTH INDEX
11/30/2000 $ 10,000 $ 10,000 $ 10,000
12/31/2000 $ 10,830 $ 10,861 $ 10,620
1/31/2001 $ 10,780 $ 11,218 $ 11,308
2/28/2001 $ 9,480 $ 10,496 $ 9,563
3/31/2001 $ 8,650 $ 9,920 $ 8,506
4/30/2001 $ 9,689 $ 10,796 $ 9,802
5/31/2001 $ 9,710 $ 11,120 $ 10,086
6/30/2001 $ 9,640 $ 11,278 $ 10,314
7/31/2001 $ 9,290 $ 10,875 $ 9,554
8/31/2001 $ 8,730 $ 10,518 $ 8,919
9/30/2001 $ 7,659 $ 9,157 $ 7,522
10/31/2001 $ 7,999 $ 9,630 $ 8,264
11/30/2001 $ 8,499 $ 10,409 $ 8,978
12/31/2001 $ 8,900 $ 10,993 $ 9,470
1/31/2002 $ 8,650 $ 10,857 $ 9,065
2/28/2002 $ 8,290 $ 10,667 $ 8,505
3/31/2002 $ 8,740 $ 11,404 $ 9,190
4/30/2002 $ 8,580 $ 11,376 $ 8,885
5/31/2002 $ 8,420 $ 11,042 $ 8,438
6/30/2002 $ 7,840 $ 10,420 $ 7,662
7/31/2002 $ 7,081 $ 9,177 $ 6,710
8/31/2002 $ 7,030 $ 9,204 $ 6,709
9/30/2002 $ 6,690 $ 8,475 $ 6,202
10/31/2002 $ 6,960 $ 8,751 $ 6,559
11/30/2002 $ 7,270 $ 9,465 $ 7,168
12/31/2002 $ 6,870 $ 9,038 $ 6,715
1/31/2003 $ 6,890 $ 8,797 $ 6,569
2/28/2003 $ 6,770 $ 8,586 $ 6,416
3/31/2003 $ 6,860 $ 8,668 $ 6,501
4/30/2003 $ 7,271 $ 9,440 $ 7,068
5/31/2003 $ 7,881 $ 10,368 $ 7,817
6/30/2003 $ 8,060 $ 10,566 $ 7,978
7/31/2003 $ 8,300 $ 11,134 $ 8,509
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/1/00 19.25 17.23 -6.75
Russell 2500 Index 27.24 21.34 4.11
Russell 2500 Growth Index 29.74 26.79 -5.88
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/1/00 20.48 2.81 -8.02
Russell 2500 Index 24.68 1.41 2.16
Russell 2500 Growth Index 28.63 4.11 -8.38
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell 2500 Index is an unmanaged index generally considered representative
of the market for small and mid cap stocks. The Russell 2500 Growth Index, also
an unmanaged index, measures the performance of those Russell 2500 companies
with higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not investments, do not incur fees or expenses, and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from November 30, 2000.
12
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Growth Fund. The fund returned 15.30% from its inception on May 5, 2003 through
July 31, 2003. The fund underperformed the Russell 2000 Growth Index, which
returned 18.93% for the period. Our strategy of focusing on companies with
healthy balance sheets, attractive business models and strong management teams
led to positive stock selection across a variety of sectors.
During the spring and early summer, equities made strong headway, as investors
became more convinced that lower interest rates and lower tax rates would help
the economy recover. The official end of the major combat phase of the war with
Iraq gave a further boost to the market. Small-cap growth stocks, which
typically respond more quickly to an improving economy than larger-cap names,
led the market's advance. Economically sensitive technology stocks, as well as
more speculative and low-priced micro-cap stocks, did particularly well.
Technology stocks were some of our best performers. Most notable was Brooks
Automation (1.3% of net assets), a leading supplier of factory automation
equipment for semiconductor manufacturers. The company benefited from cost
reductions and expert execution of its business plan in preparation of a growing
market. We also had a sizable stake in the health care sector. Our top
performers included LifePoint Hospitals, which operates rural hospitals; Telik,
a biotechnology company, and WellChoice, a managed care company in New York
(0.5%, 0.6% and 0.7% of net assets, respectively).
As the period progressed, we added to our investment in the consumer
discretionary sector. We believe that low interest rates and lower tax rates
will benefit consumer spending. One of our largest positions and best performers
was Station Casinos (1.5% of net assets), a casino operator that rallied as
consumers increased spending on leisure activities. We also benefited from
owning Red Robin Gourmet Burgers (0.2% of net assets), a casual dining
restaurant chain whose stock rallied after being added to the Russell 2000
Growth Index. PETCO Animal Supplies (1.3% of net assets) also posted strong
gains as it increased its share of the pet-supply market, expanded its store
base and improved its profit margins.
Energy stocks detracted from performance. We focused on companies that would
benefit from tight natural gas supplies coupled with growing demand and high
commodity prices. Unfortunately, the cool spring and the ability of many
industrial users to shift to lower-priced fuel sources hurt prospects for many
companies, including Tom Brown and St. Mary Land & Exploration, two exploration
and production companies (0.4% and 0.7% of net assets, respectively).
Going forward, we expect continued low interest rates and stimulative fiscal and
monetary policies to bolster economic growth. As companies become more
optimistic in their outlooks, we also expect hiring and spending to increase.
Economic acceleration typically bodes well for small-cap growth companies. As we
see more evidence of economic improvement, we are
13
<Page>
allocating more assets into the cyclical technology and consumer discretionary
sectors, while maintaining diversification across a range of industries. Our
focus will remain on companies with strong management, healthy balance sheets
and competitive market positions--characteristics that we believe have the
potential to generate superior long-term returns.
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Station Casinos 1.5
Jarden 1.5
Advance Auto Parts 1.4
Serologicals 1.4
PETCO Animal Supplies 1.3
Maverick Tube 1.3
Brooks Automation 1.3
Investors Financial Services 1.3
Entegris 1.2
Integra LifeSciences 1.2
</Table>
We appreciate your investment in the CMG Small Cap Growth Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee that the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
14
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2003
<Table>
<Caption>
CMG SMALL CAP GROWTH FUND RUSSELL 2000 GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,750 $ 10,848
6/30/2003 $ 11,010 $ 11,057
7/31/2003 $ 11,530 $ 11,893
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Small Cap Growth Fund 5/5/03 15.30
Russell 2000 Growth Index 18.93
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Small Cap Growth Fund 5/5/03 10.10
Russell 2000 Growth Index 10.57
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell 2000 Growth Index is an unmanaged index that measures the
performance of those Russell 2000 companies with higher price-to-book ratios and
higher forecasted growth values. Unlike the fund, indices are not investments,
do not incur fees and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from May 5, 2003.
15
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Value Fund. The fund returned 12.90% from its inception on May 5, 2003 through
July 31, 2003. The fund underperformed the Russell 2000 Value Index, which
returned 15.40% for the period. The fund benefited from an emphasis on
economically-sensitive sectors, as well as strong stock selection. We focused on
small-cap stocks with relatively inexpensive valuations and solid financial
conditions, including low levels of debt, high cash positions and favorable
earnings prospects.
Stocks rallied during late spring and early summer, buoyed by relief that the
major combat phase of the war with Iraq was declared over and the economic
outlook was improving. As investors became more optimistic and less risk averse,
small-cap stocks outpaced larger-cap names. The fund benefited as small-cap
stocks rallied across most sectors. Our bias toward higher-quality companies
slightly hampered the fund's returns early on when beaten-down, lower-quality
stocks posted the strongest gains. However, the fund benefited in June and July,
as investors became more sensitive to earnings prospects and began moving back
toward the higher-quality types of stocks we favor.
We positioned the fund to reflect our expectations that the economy would
continue to advance and interest rates would start to rise. A sizable
concentration in the economically sensitive technology sector bolstered
performance, as many of our software, semiconductor, hardware and information
technology service holdings posted strong returns. We avoided lower-quality
technology companies.
We also focused on the consumer discretionary and industrials sectors, which
tend to benefit from an improving economy. Our consumer discretionary stocks
included retailers, restaurants, entertainment, automotive and clothing
manufacturers. Many generated strong returns as optimism increased and consumer
spending remained strong. Our industrial investments, which ranged from
machinery and transportation companies to business services companies, also
contributed positively to performance. Strong stock selection in other sectors
that represented smaller stakes in the portfolio also helped returns. Within
health care, investments in health management organizations (HMOs) and selected
nursing homes did particularly well as profits rose. The fund also benefited
from strong returns in the energy and utilities sectors.
We had a large stake in financials, but avoided both thrifts--financial
institutions that lend primarily to homeowners--and real estate investment
trusts (REITs). We expect thrifts to lag as interest rates move up and mortgage
refinancing activity slows. REITs also looked less attractive to us, given
recent tax law changes. Our decision to keep a somewhat lighter-than-normal
position in financials helped performance as the sector trailed the overall
market. The fund also benefited from strong stock picks within the sector,
especially among banks and insurers.
Looking ahead, we are optimistic about the prospects for small-cap stocks.
Despite the recent rally, we believe small-cap valuations remain attractive
relative to large caps. In addition, we believe the economy is still in the
early stages of a recovery, which is positive for small-cap
16
<Page>
stocks. As long as valuations remain attractive, we plan to remain biased toward
economically-sensitive sectors. However, we will maintain our disciplined
strategy, focusing on value-priced stocks of companies in strong financial
condition, which we believe offer the best potential for attractive long-term
returns.
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
Peabody Energy 1.3
Cytec Industries 1.1
Cash America International 1.1
MPS Group 1.0
CH Energy Group 0.9
Imagistics International 0.9
Northeast Utilities 0.9
PacifiCare Health Systems 0.8
Delphi Financial Group 0.8
Corn Products International 0.8
</Table>
We appreciate your investment in the CMG Small Cap Value Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
17
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JULY 31, 2003
<Table>
<Caption>
CMG SMALL CAP VALUE FUND RUSSELL 2000 INDEX RUSSELL 2000 VALUE INDEX
5/5/2003 $ 10,000 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,828 $ 10,808
6/30/2003 $ 10,720 $ 11,024 $ 10,991
7/31/2003 $ 11,290 $ 11,714 $ 11,540
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Small Cap Value Fund 5/5/03 12.90
Russell 2000 Index 17.14
Russell 2000 Value Index 15.40
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Small Cap Value Fund 5/5/03 7.20
Russell 2000 Index 10.24
Russell 2000 Value Index 9.91
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Russell 2000 Index is an unmanaged market capitalization weighted index that
tracks the performance of 2000 small companies. The Russell 2000 Value Index is
an unmanaged index that measures the performance of those Russell 2000 companies
with lower price-to-book ratios and lower forecasted growth rates. Unlike the
fund, indices are not investments, do not incur fees and are not professionally
managed. It is not possible to invest directly in an index. Securities in the
fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from May 5, 2003.
18
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG International
Stock Fund. The Board of Trustees approved the change of the fund's fiscal year
end from October 31 to July 31. As a result, this report covers the nine-month
period since the last annual report. The next report you will receive will be a
report for the six-month period through January 2004.
For the nine-month period ended July 31, 2003, the fund returned 11.39%. The
fund's return trailed the 15.68% return of the MSCI AC World Free ex-US Index.
The fund's underweight in Europe, particularly Germany, was the main reason for
its weak performance relative to the index.
The market environment for international stocks changed dramatically over the
nine-month reporting period. The first half of the period was clouded by the
buildup to war in Iraq, the outbreak of SARS (severe acute respiratory syndrome)
and sluggish global economic growth. In this environment, major central banks
trimmed interest rates in an effort to boost economic growth. In the final four
months of the reporting period, economic data improved as lower interest rates
began to do their work, and some of the geopolitical issues that weighed heavily
on the markets earlier appeared to be under control. As a result, many markets
moved higher.
Germany was a particularly strong late-period performer, as investors showed
their approval of the government's plans to accelerate tax cuts that had been
scheduled for 2005. Lower taxes would put more disposable income into consumer's
pockets. Because we believe the long-term prospects for Germany are becoming
favorable, we have begun adding German stocks to the portfolio. For example, we
purchased Allianz, Germany's leading insurance company, and Puma, an athletic
shoe manufacturer (1.7% and 0.7% of net assets, respectively). While we reduced
investments in the United Kingdom (UK) in order to invest in Germany, the UK
continued to account for the largest country allocation in the portfolio.
Investments in the UK made a positive contribution to performance.
Our outlook toward Japan became more positive during the period. Interest rates
have declined for 20 years in Japan, but we believe they may have bottomed in
June--a healthy sign for the financial markets. We also began seeing better
profit growth from companies that had undertaken restructuring programs over the
past two years. As a result, we increased our position in Japan. We returned to
the financial sector for the first time in many years and invested in UFJ
Holdings, Inc., a large Japanese bank (0.3% of net assets). We also added Nissan
Motor and Matsushita Electric Industrial, which makes Panasonic brand products
(0.4% and 2.0% of net assets, respectively).
In addition to Japan, the fund had a sizeable position in Thailand, which
benefited the fund's relative performance. The country's low interest rates have
sparked a pick-up in consumer spending. Also, stock valuations remain attractive
and profit growth appears robust. Emphasizing the consumer area, we added Big C
Supercenter, a large retailer, and Land and Houses, the leading residential
construction company (0.4% and 0.7% of net assets, respectively.)
19
<Page>
On a sector basis, we emphasized generic pharmaceutical companies in the
portfolio. Our investments in Teva Pharmaceutical Industries in Israel and
Ranbaxy Laboratories in India (1.4% and 0.6% of net assets, respectively)
benefited the fund's return.
As we look ahead to the second half of 2003, we believe that global economies
are experiencing a synchronous recovery, brought about by support from leading
central banks and aggressive monetary policies. We have already begun to take
advantage of opportunities in Germany and Japan and will continue to seek
investments in other areas that we believe could benefit from an improving
global economy.
The fund's top ten holdings and countries as of July 31, 2003 were:
<Table>
<Caption>
HOLDINGS (%)
Vodafone Group 2.6
Credit Suisse 2.2
BP PLC 2.0
Matsushita Electric 2.0
Novartis 1.7
ING Groep 1.7
Telefonica 1.7
Allianz 1.7
Amadeus Global Travel 1.6
Pearson 1.6
</Table>
<Table>
<Caption>
COUNTRIES (%)
United Kingdom 23.2
Japan 19.5
Spain 7.2
France 6.6
Switzerland 5.4
Netherlands 4.5
Italy 4.3
Germany 4.1
United States 4.1
Thailand 3.9
</Table>
We appreciate your continued confidence in the CMG International Stock Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings and country breakdowns are calculated as a percentage of net assets and
are subject to change. Because the fund is actively managed, there is no
guarantee the fund will continue to maintain the holdings breakdown listed. The
fund's holdings and their weightings within the portfolio may change as market
conditions change.
There are also specific risks involved when investing in foreign stocks, such as
currency exchange rate fluctuations, economic change, instability of emerging
countries and political developments.
20
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1994 TO JULY 31, 2003
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND MSCI EAFE INDEX MSCI AC WORLD FREE EX-US INDEX
1/31/1994 $ 10,000 $ 10,000 $ 10,000
2/28/1994 $ 10,058 $ 9,972 $ 9,924
3/31/1994 $ 9,622 $ 9,542 $ 9,469
4/30/1994 $ 9,735 $ 9,947 $ 9,791
5/31/1994 $ 9,600 $ 9,890 $ 9,793
6/30/1994 $ 9,690 $ 10,030 $ 9,863
7/31/1994 $ 9,687 $ 10,126 $ 10,024
8/31/1994 $ 9,962 $ 10,366 $ 10,361
9/30/1994 $ 9,603 $ 10,039 $ 10,104
10/31/1994 $ 9,877 $ 10,374 $ 10,375
11/30/1994 $ 9,395 $ 9,875 $ 9,875
12/31/1994 $ 9,243 $ 9,937 $ 9,853
1/31/1995 $ 8,568 $ 9,555 $ 9,405
2/28/1995 $ 8,443 $ 9,528 $ 9,354
3/31/1995 $ 8,768 $ 10,122 $ 9,883
4/30/1995 $ 8,951 $ 10,503 $ 10,268
5/31/1995 $ 8,838 $ 10,378 $ 10,222
6/30/1995 $ 8,805 $ 10,196 $ 10,081
7/31/1995 $ 9,368 $ 10,831 $ 10,653
8/31/1995 $ 9,236 $ 10,419 $ 10,283
9/30/1995 $ 9,436 $ 10,622 $ 10,459
10/31/1995 $ 9,316 $ 10,336 $ 10,180
11/30/1995 $ 9,500 $ 10,623 $ 10,419
12/31/1995 $ 9,753 $ 11,052 $ 10,832
1/31/1996 $ 9,924 $ 11,097 $ 10,980
2/29/1996 $ 9,924 $ 11,135 $ 10,980
3/31/1996 $ 10,309 $ 11,371 $ 11,185
4/30/1996 $ 10,657 $ 11,702 $ 11,524
5/31/1996 $ 10,812 $ 11,486 $ 11,351
6/30/1996 $ 11,038 $ 11,551 $ 11,409
7/31/1996 $ 10,546 $ 11,213 $ 11,030
8/31/1996 $ 10,711 $ 11,238 $ 11,094
9/30/1996 $ 10,950 $ 11,537 $ 11,370
10/31/1996 $ 10,869 $ 11,419 $ 11,256
11/30/1996 $ 11,243 $ 11,874 $ 11,690
12/31/1996 $ 11,389 $ 11,720 $ 11,555
1/31/1997 $ 11,387 $ 11,310 $ 11,342
2/28/1997 $ 11,664 $ 11,496 $ 11,550
3/31/1997 $ 11,754 $ 11,537 $ 11,525
4/30/1997 $ 12,017 $ 11,598 $ 11,622
5/31/1997 $ 12,705 $ 12,353 $ 12,340
6/30/1997 $ 13,301 $ 13,034 $ 13,022
7/31/1997 $ 13,691 $ 13,245 $ 13,285
8/31/1997 $ 12,716 $ 12,256 $ 12,239
9/30/1997 $ 13,581 $ 12,942 $ 12,901
10/31/1997 $ 12,551 $ 11,947 $ 11,803
11/30/1997 $ 12,501 $ 11,825 $ 11,656
12/31/1997 $ 12,549 $ 11,928 $ 11,790
1/31/1998 $ 12,632 $ 12,473 $ 12,142
2/28/1998 $ 13,175 $ 13,274 $ 12,952
3/31/1998 $ 13,781 $ 13,683 $ 13,400
4/30/1998 $ 14,165 $ 13,791 $ 13,497
5/31/1998 $ 14,395 $ 13,723 $ 13,253
6/30/1998 $ 14,327 $ 13,827 $ 13,202
7/31/1998 $ 14,363 $ 13,967 $ 13,328
8/31/1998 $ 12,638 $ 12,236 $ 11,449
9/30/1998 $ 11,715 $ 11,861 $ 11,207
10/31/1998 $ 12,397 $ 13,097 $ 12,380
11/30/1998 $ 13,375 $ 13,767 $ 13,045
12/31/1998 $ 14,078 $ 14,310 $ 13,495
1/31/1999 $ 14,741 $ 14,267 $ 13,480
2/28/1999 $ 14,375 $ 13,927 $ 13,178
3/31/1999 $ 14,622 $ 14,508 $ 13,815
4/30/1999 $ 15,038 $ 15,096 $ 14,506
5/31/1999 $ 14,692 $ 14,318 $ 13,824
6/30/1999 $ 15,591 $ 14,877 $ 14,460
7/31/1999 $ 16,105 $ 15,318 $ 14,800
8/31/1999 $ 16,471 $ 15,375 $ 14,851
9/30/1999 $ 16,866 $ 15,530 $ 14,952
10/31/1999 $ 17,659 $ 16,113 $ 15,509
11/30/1999 $ 19,774 $ 16,672 $ 16,129
12/31/1999 $ 22,387 $ 18,169 $ 17,668
1/31/2000 $ 21,220 $ 17,015 $ 16,708
2/29/2000 $ 22,701 $ 17,473 $ 17,159
3/31/2000 $ 22,145 $ 18,151 $ 17,805
4/30/2000 $ 20,137 $ 17,196 $ 16,811
5/31/2000 $ 18,403 $ 16,777 $ 16,381
6/30/2000 $ 19,443 $ 17,433 $ 17,079
7/31/2000 $ 18,434 $ 16,702 $ 16,404
8/31/2000 $ 18,896 $ 16,847 $ 16,607
9/30/2000 $ 17,740 $ 16,027 $ 15,686
10/31/2000 $ 17,025 $ 15,649 $ 15,187
11/30/2000 $ 16,269 $ 15,062 $ 14,505
12/31/2000 $ 17,052 $ 15,597 $ 15,000
1/31/2001 $ 16,874 $ 15,589 $ 15,225
2/28/2001 $ 15,950 $ 14,420 $ 14,019
3/31/2001 $ 14,886 $ 13,458 $ 13,028
4/30/2001 $ 15,798 $ 14,393 $ 13,914
5/31/2001 $ 15,482 $ 13,885 $ 13,530
6/30/2001 $ 14,937 $ 13,317 $ 13,010
7/31/2001 $ 14,468 $ 13,075 $ 12,721
8/31/2001 $ 14,202 $ 12,744 $ 12,406
9/30/2001 $ 12,859 $ 11,453 $ 11,089
10/31/2001 $ 13,201 $ 11,746 $ 11,400
11/30/2001 $ 13,479 $ 12,180 $ 11,921
12/31/2001 $ 13,800 $ 12,252 $ 12,075
1/31/2002 $ 13,241 $ 11,601 $ 11,558
2/28/2002 $ 13,330 $ 11,682 $ 11,641
3/31/2002 $ 13,978 $ 12,370 $ 12,322
4/30/2002 $ 14,040 $ 12,395 $ 12,353
5/31/2002 $ 14,206 $ 12,552 $ 12,488
6/30/2002 $ 13,862 $ 12,053 $ 11,948
7/31/2002 $ 12,731 $ 10,863 $ 10,783
8/31/2002 $ 12,667 $ 10,838 $ 10,784
9/30/2002 $ 11,397 $ 9,674 $ 9,641
10/31/2002 $ 11,841 $ 10,194 $ 10,158
11/30/2002 $ 12,298 $ 10,657 $ 10,647
12/31/2002 $ 11,824 $ 10,298 $ 10,303
1/31/2003 $ 11,326 $ 9,869 $ 9,941
2/28/2003 $ 11,186 $ 9,643 $ 9,739
3/31/2003 $ 11,109 $ 9,454 $ 9,550
4/30/2003 $ 11,939 $ 10,381 $ 10,471
5/31/2003 $ 12,590 $ 11,010 $ 11,138
6/30/2003 $ 12,833 $ 11,276 $ 11,446
7/31/2003 $ 13,191 $ 11,549* $ 11,751*
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG International Stock Fund 02/01/94 11.39 3.61 -1.68 2.96
MSCI AC World Free ex-US Index 15.68 8.98 -2.48 1.72
MSCI EAFE Index 13.27 6.30 -3.73 1.53
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG International Stock Fund 02/01/94 12.60 -7.42 -2.18 2.69
MSCI AC World Free ex-US Index 18.73 -4.19 -2.81 1.45
MSCI EAFE Index 16.54 -6.46 -4.00 1.28
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance does not guarantee
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The MSCI AC (Morgan Stanley Capital International All Country) World Free ex-US
Index is an unmanaged index designed to measure equity market performance in the
global developed and emerging markets excluding the United States. The MSCI EAFE
(Morgan Stanley Capital International Europe, Australasia and Far East) Index is
an unmanaged index representing major stock markets in Europe, Australia and the
Far East. Unlike the fund, indices are not investments, do not incur fees and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from January 31, 1994.
21
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
PERIOD
ENDED
JULY 31,
2003 (a)
---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.04
Net realized and unrealized gain on investments 0.69
---------
Total from investment operations 0.73
---------
NET ASSET VALUE, END OF PERIOD $ 10.73
=========
Total return (c)(d)(e) 7.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 9,134
Ratio of net expenses to average net assets (f)(g)(h) 0.25%
Ratio of net investment income to average net assets (f)(g)(h) 1.50%
Waiver/reimbursement (g)(h) 1.37%
Portfolio turnover rate (e) 2%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value.
(d) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.25% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
22
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
PERIOD
ENDED
JULY 31,
2003 (a)
---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.01)
Net realized and unrealized gain on investments 0.94
---------
Total from investment operations 0.93
---------
NET ASSET VALUE, END OF PERIOD $ 10.93
=========
Total return (c)(d)(e) 9.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,161
Ratio of net expenses to average net assets (f)(g)(h) 0.70%
Ratio of net investment loss to average net assets (f)(g)(h) (0.44)%
Waiver/reimbursement (g)(h) 3.85%
Portfolio turnover rate (e) 23%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value.
(d) Had the investment advisor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.70% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
23
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
PERIOD
ENDED
JULY 31,
2003 (a)
---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.01
Net realized and unrealized gain on investments 0.68
---------
Total from investment operations 0.69
---------
NET ASSET VALUE, END OF PERIOD $ 10.69
=========
Total return (c)(d)(e) 6.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,651
Ratio of net expenses to average net assets (f)(g)(h) 0.70%
Ratio of net investment income to average net assets (f)(g)(h) 0.49%
Waiver/reimbursement (g)(h) 3.61%
Portfolio turnover rate (e) 2%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value.
(d) Had the investment advisor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.70% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
24
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD YEAR PERIOD
ENDED ENDED ENDED
JULY 31, OCTOBER 31, OCTOBER 31,
2003 (a) 2002 2001 (b)
--------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.96 $ 8.00 $ 10.00
--------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)(c) (0.04)(c) (0.02)
Net realized and unrealized gain (loss) on investments 1.37 (1.00) (1.98)
--------- ----------- -----------
Total from investment operations 1.34 (1.04) (2.00)
--------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.30 $ 6.96 $ 8.00
========= =========== ===========
Total return (d)(e) 19.25%(f) (13.00)% (20.00)%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 73,926 $ 54,769 $ 49,391
Ratio of net expenses to average net assets (g) 0.78%(h)(i) 0.80% 0.80%(h)
Ratio of net investment loss to average net assets (g) (0.50)%(h)(i) (0.45)% (0.23)%(h)
Waiver/reimbursement 0.06%(h)(i) 0.06% 0.17%(h)
Portfolio turnover rate 84%(f) 125% 167%(f)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on December 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during
the period.
(d) Total return at net asset value.
(e) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
(i) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.75% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
25
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
PERIOD
ENDED
JULY 31,
2003 (a)
---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.02)
Net realized and unrealized gain on investments 1.55
---------
Total from investment operations 1.53
---------
NET ASSET VALUE, END OF PERIOD $ 11.53
=========
Total return (c)(d)(e) 15.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 21,006
Ratio of net expenses to average net assets (f)(g)(h) 0.80%
Ratio of net investment loss to average net assets (f)(g)(h) (0.62)%
Waiver/reimbursement (g)(h) 0.35%
Portfolio turnover rate (e) 37%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value.
(d) Had the investment advisor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.80% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
26
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
PERIOD
ENDED
JULY 31,
2003 (a)
---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.02
Net realized and unrealized gain on investments 1.27
---------
Total from investment operations 1.29
---------
NET ASSET VALUE, END OF PERIOD $ 11.29
=========
Total return (c)(d)(e) 12.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 21,356
Ratio of net expenses to average net assets (f)(g)(h) 0.80%
Ratio of net investment income to average net assets (f)(g)(h) 0.66%
Waiver/reimbursement (g)(h) 0.36%
Portfolio turnover rate (e) 5%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value.
(d) Had the investment advisor not waived or reimbursed a portion of
expenses, total return would have been reduced.
(e) Not annualized.
(f) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(g) Annualized.
(h) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.80% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
27
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
ENDED YEAR ENDED OCTOBER 31,
JULY 31, ----------------------------------------------------------------------
2003 (a) 2002 2001 2000 1999 1998
---------- ---------- ---------- ---------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.32 $ 10.42 $ 16.20 $ 17.86 $ 12.54 $ 42.71
---------- ---------- ---------- ---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11(b) 0.02(b) 0.03 0.04 (0.02) 0.25
Net realized and unrealized gain
(loss) on investments, foreign
currency and foreign capital
gains tax 0.95 (1.09) (3.09) (0.36) 5.34 (0.78)
---------- ---------- ---------- ---------- ---------- -----------
Total from investment operations 1.06 (1.07) (3.06) (0.32) 5.32 (0.53)
---------- ---------- ---------- ---------- ---------- -----------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net investment income (0.05) (0.03) - - - -
From net realized gains - - (2.72) (1.34) -(c) (29.64)
---------- ---------- ---------- ---------- ---------- -----------
Total distributions declared
to shareholders (0.05) (0.03) (2.72) (1.34) -(c) (29.64)
---------- ---------- ---------- ---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.33 $ 9.32 $ 10.42 $ 16.20 $ 17.86 $ 12.54
========== ========== ========== ========== ========== ==========
Total return (d) 11.39%(e)(f) (10.28)% (22.46)% (3.58)% 42.44% (1.24)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 58,488 $ 20,616 $ 20,553 $ 22,975 $ 30,492 $ 15,377
Ratio of net expenses to average
net assets (g) 0.93%(h)(i) 1.31% 1.26% 1.11% 1.31% 1.04%
Ratio of net investment income (loss)
to average net assets (g) 1.50%(h)(i) 0.21% 0.29% 0.12% (0.14)% 0.60%
Waiver/reimbursement 0.06%(h)(i) - - - - -
Portfolio turnover rate 59%(f) 111% 117% 140% 96% 53%
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during
the period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
(i) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.75% of the Fund's
average daily net assets.
See Accompanying Notes to Financial Statements.
28
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (95.2%)
Consumer Discretionary (14.2%)
Auto Components (0.4%)
Johnson Controls, Inc. 100 $ 9,661
Visteon Corp. 4,300 27,219
------------
36,880
------------
Automobiles (0.4%)
Ford Motor Co. 1,700 18,802
Harley-Davidson, Inc. 400 18,752
------------
37,554
------------
Hotels, Restaurants & Leisure (1.7%)
Carnival Corp. 2,000 68,620
Hilton Hotels Corp. 700 10,220
McDonald's Corp. 2,300 52,923
Royal Caribbean Cruises Ltd. 300 8,775
Starwood Hotels & Resorts Worldwide, Inc. 600 19,560
------------
160,098
------------
Household Durables (0.6%)
Black & Decker Corp. 400 16,344
Leggett & Platt, Inc. 400 8,856
Pulte Homes, Inc. 200 12,224
Stanley Works 600 16,998
------------
54,422
------------
Internet & Catalog Retail (0.4%)
eBay, Inc. (a) 300 32,160
------------
Leisure Equipment & Products (0.5%)
Brunswick Corp. 700 18,865
Eastman Kodak Co. 600 16,578
Mattel, Inc. 400 7,772
------------
43,215
------------
Media (3.9%)
AOL Time Warner, Inc. (a) 1,600 24,688
Clear Channel Communications, Inc. (a) 700 28,665
Comcast Corp., Class A (a) 3,000 90,960
Gannett Co., Inc. 600 46,098
McGraw-Hill Companies, Inc. 900 54,702
Omnicom Group, Inc. 300 22,164
Univision Communications, Inc., Class A (a) 300 9,360
Viacom, Inc. 1,600 69,632
Walt Disney Co. 400 8,768
------------
355,037
------------
Multi-Line Retail (3.4%)
Family Dollar Stores, Inc. 200 7,502
Federated Department Stores, Inc. 300 12,003
Kohl's Corp. (a) 500 29,675
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Multi-Line Retail (continued)
May Department Stores Co. 1,700 $ 42,007
Sears, Roebuck and Co. 600 24,420
Target Corp. 200 7,664
Wal-Mart Stores, Inc. 3,400 190,094
------------
313,365
------------
Specialty Retail (2.1%)
Bed Bath & Beyond, Inc. (a) 300 11,607
Best Buy Co., Inc. (a) 600 26,190
Home Depot, Inc. 2,400 74,880
Lowe's Companies, Inc. 1,100 52,316
Limited Brands 1,100 18,381
RadioShack Corp. 300 7,971
------------
191,345
------------
Textiles, Apparel & Luxury Goods (0.8%)
Jones Apparel Group, Inc. (a) 300 8,685
Liz Claiborne, Inc. 300 10,329
NIKE, Inc., Class B 1,100 56,914
------------
75,928
------------
Consumer Staples (7.4%)
Beverages (3.2%)
Anheuser-Busch Companies, Inc. 1,300 67,366
Coca-Cola Co. 3,300 148,401
PepsiCo, Inc. 1,600 73,712
------------
289,479
------------
Food & Drug Retailing (0.1%)
Walgreen Co. 300 8,976
------------
Food Products (0.7%)
Campbell Soup Co. 700 16,905
H.J. Heinz Co. 1,300 44,278
Kellogg Co. 200 6,866
------------
68,049
------------
Household Products (1.6%)
Colgate-Palmolive Co. 1,300 70,980
Procter & Gamble Co. 900 79,083
------------
150,063
------------
Personal Products (0.8%)
Gillette Co. 2,300 70,748
------------
Tobacco (1.0%)
Altria Group, Inc. 2,200 88,022
------------
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Energy (4.9%)
Energy Equipment & Services (0.6%)
Noble Corp. (a) 1,400 $ 46,018
Transocean, Inc. 400 7,828
------------
53,846
------------
Oil & Gas (4.3%)
Anadarko Petroleum Corp. 700 30,660
Apache Corp. 400 24,784
Burlington Resources, Inc. 700 32,319
ChevronTexaco Corp. 700 50,477
Devon Energy Corp. 200 9,474
Exxon Mobil Corp. 6,200 220,596
Marathon Oil Corp. 800 20,592
------------
388,902
------------
Financials (19.3%)
Banks (6.7%)
Bank of America Corp. 2,000 165,140
Bank of New York Co., Inc. 1,300 39,156
Bank One Corp. 200 7,912
Charter One Financial, Inc. 300 9,756
Fifth Third Bancorp 1,000 55,010
Mellon Financial Corp. 300 9,075
National City Corp. 1,100 36,245
Northern Trust Corp. 700 30,562
SouthTrust Corp. 300 8,598
SunTrust Banks, Inc. 200 12,180
U.S. Bancorp 3,700 90,724
Wachovia Corp. 300 13,107
Washington Mutual, Inc. 1,800 71,064
Wells Fargo & Co. 1,000 50,530
Zions Bancorp 300 16,752
------------
615,811
------------
Diversified Financials (7.9%)
American Express Co. 600 26,502
Bear Stearns Companies, Inc. 300 20,100
Capital One Financial Corp. 800 38,328
Citigroup, Inc. 5,000 224,000
Fannie Mae 400 25,616
Federated Investors, Inc. 800 22,992
Franklin Resources, Inc. 1,000 43,450
Freddie Mac 1,100 53,735
J.P. Morgan Chase & Co. 3,100 108,655
MBNA Corp. 800 17,832
Merrill Lynch & Co., Inc. 1,000 54,370
Morgan Stanley 600 28,464
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Diversified Financials (continued)
State Street Corp. 600 $ 27,540
T. Rowe Price Group, Inc. 800 32,472
------------
724,056
------------
Insurance (4.2%)
AFLAC, Inc. 600 19,248
Ambac Financial Group, Inc. 800 52,696
American International Group, Inc. 1,800 115,560
Chubb Corp. 100 6,480
Lincoln National Corp. 200 7,468
Marsh & McLennan Companies, Inc. 200 9,924
MBIA, Inc. 1,100 55,682
MGIC Investment Corp. 400 22,200
Prudential Financial, Inc. 1,800 64,044
Radian Group, Inc. 600 28,086
------------
381,388
------------
Real Estate (0.5%)
Equity Office Properties Trust 1,300 36,062
Equity Residential 300 8,370
------------
44,432
------------
Health Care (14.1%)
Biotechnology (1.1%)
Amgen, Inc. (a) 900 62,622
Biogen, Inc. (a) 300 11,526
Chiron Corp. (a) 200 9,120
MedImmune, Inc. (a) 400 15,676
------------
98,944
------------
Health Care Equipment & Supplies (1.6%)
Baxter International, Inc. 700 19,327
Beckman Coulter, Inc. 200 8,868
Becton, Dickinson & Co. 300 10,989
Guidant Corp. 200 9,444
Medtronic, Inc. 1,700 87,550
Zimmer Holdings, Inc. (a) 300 14,343
------------
150,521
------------
Health Care Providers & Supplies (1.6%)
Anthem, Inc. (a) 200 15,102
Cardinal Health, Inc. 200 10,950
CIGNA Corp. 700 32,746
IMS Health, Inc. 1,900 36,746
UnitedHealth Group, Inc. 500 26,045
WellPoint Health Networks 300 25,095
------------
146,684
------------
Pharmaceuticals (9.8%)
Abbott Laboratories 1,400 54,950
Allergan, Inc. 100 8,048
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Pharmaceuticals (continued)
Bristol-Myers Squibb Co. 900 $ 23,580
Eli Lilly & Co. 1,000 65,840
Forest Laboratories, Inc. (a) 500 23,940
Johnson & Johnson 3,800 196,802
King Pharmaceuticals, Inc. (a) 600 9,036
Merck & Co., Inc. 2,700 149,256
Pfizer, Inc. 8,900 296,904
Wyeth 1,400 63,812
------------
892,168
------------
Industrials (10.3%)
Aerospace & Defense (2.0%)
Boeing Co. 300 9,936
General Dynamics Corp. 800 63,472
Goodrich Corp. 400 9,200
L-3 Communications Holdings, Inc. 200 9,816
Northrop Grumman Corp. 200 18,448
Precision Castparts Corp. 300 9,675
Rockwell Collins, Inc. 300 7,809
United Technologies Corp. 800 60,184
------------
188,540
------------
Air Freight & Logistics (0.7%)
FedEx Corp. 600 38,634
United Parcel Service, Inc., Class B 400 25,232
------------
63,866
------------
Airlines (0.1%)
Delta Air Lines, Inc. 1,100 13,090
------------
Commercial Services & Supplies (2.4%)
Apollo Group, Inc., Class A (a) 200 12,952
Automatic Data Processing, Inc. 400 14,832
Cendant Corp. (a) 1,700 30,515
Convergys Corp. (a) 600 10,122
Equifax, Inc. 1,200 27,948
First Data Corp. 1,200 45,312
Fiserv, Inc. (a) 200 7,808
H&R Block, Inc. 900 38,151
Paychex, Inc. 600 19,518
Pitney Bowes, Inc. 300 11,430
------------
218,588
------------
Electrical Equipment (0.4%)
American Power Conversion Corp. 600 10,458
Cooper Industries Ltd., Class A 300 13,299
Thomas & Betts Corp. (a) 600 9,156
------------
32,913
------------
</Table>
See Accompanying Notes to Financial Statements.
33
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Industrial Conglomerates (3.4%)
3M Co. 400 $ 56,080
General Electric Co. 8,000 227,520
Tyco International Ltd. 1,300 24,180
------------
307,780
------------
Machinery (1.1%)
Danaher Corp. 200 14,440
Dover Corp. 400 14,644
Illinois Tool Works, Inc. 600 41,790
Ingersoll-Rand Co., Class A 600 32,544
------------
103,418
------------
Road & Rail (0.2%)
Burlington Northern Santa Fe Corp. 600 16,536
------------
Information Technology (14.8%)
Communications Equipment (2.1%)
Avaya, Inc. (a) 1,200 11,520
Cisco Systems, Inc. (a) 7,100 138,592
QUALCOMM, Inc. 300 11,238
Scientific-Atlanta, Inc. 1,100 33,319
------------
194,669
------------
Computers & Peripherals (3.6%)
Apple Computer, Inc. (a) 600 12,630
Dell, Inc. (a) 2,700 90,936
Hewlett-Packard Co. 1,900 40,223
International Business Machines Corp. 1,800 146,250
Lexmark International, Inc. (a) 600 38,502
------------
328,541
------------
Electronic Equipment & Instruments (0.3%)
Celestica, Inc. 1,000 15,330
Waters Corp. (a) 300 9,513
------------
24,843
------------
Internet Software & Services (0.4%)
Check Point Software Technologies Ltd. (a) 1,000 17,790
Sungard Data Systems, Inc. 300 7,872
Yahoo!, Inc. 400 12,452
------------
38,114
------------
Office Electronics (0.2%)
Xerox Corp. 1,400 15,120
------------
Semiconductor Equipment & Products (3.9%)
Altera Corp. (a) 800 15,392
Analog Devices, Inc. (a) 200 7,590
Intel Corp. 7,600 189,620
Linear Technology Corp. 1,600 59,008
Maxim Integrated Products, Inc. 900 35,172
</Table>
See Accompanying Notes to Financial Statements.
34
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Semiconductor Equipment & Products (continued)
National Semiconductor Corp. (a) 400 $ 8,940
QLogic Corp. (a) 300 12,645
Texas Instruments, Inc. 900 16,983
Xilinx, Inc. (a) 400 10,512
------------
355,862
------------
Software (4.3%)
Adobe Systems, Inc. 400 13,072
Citrix Systems, Inc. (a) 400 7,260
Intuit, Inc. (a) 200 8,604
Microsoft Corp. 11,900 314,160
Oracle Corp. (a) 3,700 44,400
VERITAS Software Corp. (a) 300 9,240
------------
396,736
------------
Materials (3.0%)
Chemicals (1.1%)
Monsanto Co. 2,200 50,600
Praxair, Inc. 200 12,932
Sigma-Aldrich Corp. 600 34,182
------------
97,714
------------
Construction Materials (0.1%)
Vulcan Materials Co. 300 12,066
------------
Containers & Packaging (0.8%)
Bemis Co., Inc. 600 26,814
Temple-Inland, Inc. 1,100 51,029
------------
77,843
------------
Metals & Mining (0.6%)
Alcoa, Inc. 1,100 30,547
Allegheny Technologies, Inc. 1,700 12,835
Newmont Mining Corp. 300 10,830
------------
54,212
------------
Paper & Forest Products (0.4%)
Georgia-Pacific Corp. 400 8,740
MeadWestvaco Corp. 300 7,263
Weyerhaeuser Co. 300 16,887
------------
32,890
------------
Telecommunication Services (4.0%)
Diversified Telecommunication Services (3.6%)
BellSouth Corp. 3,100 78,957
CenturyTel, Inc. 1,400 48,006
SBC Communications, Inc. 5,000 116,800
Sprint Corp.-FON Group 700 9,884
Verizon Communications, Inc. 2,100 73,206
------------
326,853
------------
</Table>
See Accompanying Notes to Financial Statements.
35
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Wireless Telecommunication Services (0.4%)
Nextel Communications, Inc., Class A (a) 1,800 $ 32,868
------------
Utilities (3.2%)
Electric Utilities (1.9%)
Dominion Resources, Inc. 300 18,030
Edison International (a) 600 9,846
Entergy Corp. 400 20,604
Exelon Corp. 700 40,229
Public Service Enterprise Group, Inc. 800 32,600
Southern Co. 800 22,752
TECO Energy, Inc. 1,400 17,360
TXU Corp. 600 12,102
------------
173,523
------------
Gas Utilities (1.1%)
Kinder Morgan, Inc. 900 48,150
Sempra Energy 1,800 50,094
------------
98,244
------------
Multi-Utilities & Unregulated Power (0.2%)
Duke Energy Corp. 1,000 17,550
------------
Total Common Stocks
(Cost of $8,593,297) 8,694,472
------------
<Caption>
PAR
---------
Short-Term Obligation (9.6%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at
1.000%, collateralized by a U.S. Treasury Bond
maturing 11/15/21, market value of $897,498
(repurchase proceeds $879,024)
(Cost of $879,000) $ 879,000 879,000
------------
Total Investments (104.8%)
(Cost of $9,472,297) (b) 9,573,472
Other Assets & Liabilities, Net (-4.8%) (439,004)
------------
Net Assets (100.0%) $ 9,134,468
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $9,472,358.
See Accompanying Notes to Financial Statements.
36
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (98.0%)
Consumer Discretionary (18.6%)
Auto Components (0.9%)
Gentex Corp. (a) 545 $ 19,369
------------
Hotels, Restaurants & Leisure (5.1%)
Brinker International, Inc. (a) 890 31,150
Darden Restaurants, Inc. 1,435 26,849
MGM MIRAGE (a) 570 19,551
Outback Steakhouse, Inc. 370 13,820
Starwood Hotels & Resorts Worldwide, Inc. 545 17,767
------------
109,137
------------
Household Durables (0.5%)
Garmin Ltd. 300 11,478
------------
Internet & Catalog Retail (1.1%)
InterActiveCorp (a) 565 22,866
------------
Leisure Equipment & Products (0.5%)
Mattel, Inc. 545 10,589
------------
Media (4.8%)
Citadel Broadcasting Corp. (a) 500 9,500
COX Radio, Inc. (a) 1,065 22,312
Interpublic Group of Companies, Inc. 990 13,662
Univision Communications, Inc., Class A (a) 1,420 44,304
Westwood One, Inc. (a) 490 14,965
------------
104,743
------------
Multi-Line Retail (2.2%)
Dollar Tree Stores, Inc. (a) 370 13,572
Family Dollar Stores, Inc. 435 16,317
Kohl's Corp. (a) 305 18,102
------------
47,991
------------
Specialty Retail (3.5%)
Bed Bath & Beyond, Inc. (a) 705 27,276
Chico's FAS, Inc. (a) 545 14,797
Williams-Sonoma, Inc. (a) 1,205 34,041
------------
76,114
------------
Consumer Staples (0.7%)
Food & Drug Retailing (0.7%)
Whole Foods Market, Inc. (a) 305 15,548
------------
Energy (8.1%)
Energy Equipment & Services (4.3%)
BJ Services Co. (a) 1,065 36,476
Nabors Industries Ltd. (a) 270 9,666
National-Oilwell, Inc. (a) 890 16,376
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Noble Corp. (a) 545 $ 17,914
Patterson-UTI Energy, Inc. (a) 445 12,282
------------
92,714
------------
Oil & Gas (3.8%)
Apache Corp. 455 28,192
Murphy Oil Corp. 370 18,271
Valero Energy Corp. 595 21,658
XTO Energy, Inc. 695 13,414
------------
81,535
------------
Financials (5.2%)
Diversified Financials (1.1%)
Legg Mason, Inc. 175 12,250
Providian Financial Corp. (a) 1,075 10,374
------------
22,624
------------
Insurance (4.1%)
Ambac Financial Group, Inc. 425 27,995
Arthur J. Gallagher & Co. 695 18,438
Axis Capital Holdings Ltd. (a) 490 12,828
Stancorp Financial Group, Inc. 545 30,411
------------
89,672
------------
Health Care (25.7%)
Biotechnology (1.6%)
Gilead Sciences, Inc. (a) 275 18,769
ICOS Corp. (a) 250 10,905
MedImmune, Inc. (a) 120 4,703
------------
34,377
------------
Health Care Equipment & Supplies (2.3%)
Boston Scientific Corp. (a) 370 23,395
Hillenbrand Industries, Inc. 195 10,626
Varian Medical Systems, Inc. (a) 270 16,567
------------
50,588
------------
Health Care Providers & Services (16.2%)
AmerisourceBergen Corp. 695 43,848
Anthem, Inc. (a) 370 27,939
Caremark Rx, Inc. (a) 2,900 72,558
Community Health Systems, Inc. (a) 695 15,429
DaVita, Inc. (a) 695 19,460
First Health Group Corp. (a) 545 14,072
Lincare Holdings, Inc. (a) 545 19,838
UnitedHealth Group, Inc. 740 38,547
WebMD Corp. (a) 2,120 25,610
WellChoice, Inc. (a) 440 13,684
WellPoint Health Networks, Inc. (a) 715 59,810
------------
350,795
------------
</Table>
See Accompanying Notes to Financial Statements.
38
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Pharmaceuticals (5.6%)
Andrx Corp. (a) 1,260 $ 28,577
Barr Laboratories, Inc. (a) 770 52,013
Biovail Corp. (a) 775 29,752
Teva Pharmaceutical Industries Ltd., ADR 175 10,034
------------
120,376
------------
Industrials (12.8%)
Aerospace & Defense (1.0%)
Raytheon Co. 695 21,336
------------
Commercial Services & Supplies (7.8%)
BISYS Group, Inc. (a) 1,260 20,853
ChoicePoint, Inc. (a) 695 26,507
Cintas Corp. 370 15,233
Corporate Executive Board Co. (a) 565 24,532
Education Management Corp. (a) 370 21,486
Republic Services, Inc. 660 15,972
Robert Half International, Inc. (a) 890 19,322
Weight Watchers International, Inc. (a) 555 24,919
------------
168,824
------------
Electrical Equipment (0.6%)
American Power Conversion Corp. 705 12,288
------------
Trading Companies & Distributors (3.4%)
CDW Corp. 545 26,095
Fastenal Co. 565 21,470
W.W. Grainger, Inc. 545 26,814
------------
74,379
------------
Information Technology (26.6%)
Communications Equipment (2.7%)
3Com Corp. (a) 1,805 8,808
Comverse Technology, Inc. (a) 570 8,407
Scientific-Atlanta, Inc. 420 12,722
UTStarcom, Inc. (a) 670 28,522
------------
58,459
------------
Computers & Peripherals (0.5%)
Lexmark International, Inc. (a) 170 10,909
------------
Electronic Equipment & Instruments (3.8%)
Amphenol Corp., Class A (a) 375 20,250
AU Optronics Corp., ADR 1,365 12,694
Jabil Circuit, Inc. (a) 1,145 26,392
Sanmina-SCI Corp. (a) 1,000 7,940
Symbol Technologies, Inc. 1,075 13,771
------------
81,047
------------
</Table>
See Accompanying Notes to Financial Statements.
39
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Internet Software & Services (0.7%)
Check Point Software Technologies Ltd. (a) 810 $ 14,410
------------
Semiconductor Equipment & Products (9.0%)
Agere Systems, Inc., Class A (a) 7,820 21,974
Altera Corp. (a) 565 10,871
Amkor Technology, Inc. (a) 1,060 15,550
Fairchild Semiconductor International, Inc. (a) 990 12,622
Marvell Technology Group Ltd. (a) 555 19,514
Microchip Technology, Inc. 1,445 38,090
National Semiconductor Corp. (a) 925 20,674
Novellus Systems, Inc. (a) 705 25,246
Taiwan Semiconductor Manufacturing Co., Ltd. (a) 2,204 22,044
Teradyne, Inc. (a) 580 9,541
------------
196,126
------------
Software (9.9%)
Amdocs Ltd. (a) 1,620 33,015
BMC Software, Inc. (a) 1,065 15,016
Electronic Arts, Inc. (a) 545 45,780
Fair Isaac Corp. 300 16,212
Intuit, Inc. (a) 370 15,917
Mercury Interactive Corp. (a) 695 27,355
Siebel Systems, Inc. (a) 1,130 10,599
Symantec Corp. (a) 370 17,357
VERITAS Software Corp. (a) 1,075 33,110
------------
214,361
------------
Materials (0.3%)
Chemicals (0.3%)
Methanex Corp. 670 6,204
------------
Total Investments (98.0%)
(Cost of $2,002,510) (b) 2,118,859
Other Assets & Liabilities, Net (2.0%) 42,304
------------
Net Assets (100.0%) $ 2,161,163
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $2,006,796.
<Table>
<Caption>
ACRONYM NAME
--------------- -------------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
40
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (94.8%)
Consumer Discretionary (18.9%)
Auto Components (3.6%)
Gentex Corp. (a) 800 $ 28,432
Johnson Controls, Inc. 150 14,492
Lear Corp. (a) 600 31,188
Superior Industries International 500 21,615
------------
95,727
------------
Hotels, Restaurants & Leisure (4.4%)
Brinker International, Inc. (a) 1,300 45,500
Darden Restaurants, Inc. 700 13,097
Harrah's Entertainment, Inc. 600 26,190
International Game Technology, Inc. 900 22,905
Six Flags, Inc. (a) 2,300 10,925
------------
118,617
------------
Household Durables (1.0%)
Newell Rubbermaid, Inc. 1,100 25,993
------------
Leisure Equipment & Products (0.8%)
Mattel, Inc. 1,050 20,402
------------
Media (3.1%)
Knight-Ridder, Inc. 500 34,315
Mediacom Communications Corp. (a) 1,800 16,956
New York Times Co., Class A 700 31,220
------------
82,491
------------
Multi-Line Retail (2.1%)
Federated Department Stores, Inc. 1,400 56,014
------------
Specialty Retail (3.4%)
Borders Group, Inc. (a) 1,100 19,580
Ross Stores, Inc. 550 25,135
TJX Companies, Inc. 2,300 44,735
------------
89,450
------------
Textiles, Apparel & Luxury Goods (0.5%)
Wolverine World Wide, Inc. 700 13,370
------------
Consumer Staples (5.4%)
Beverages (0.9%)
Pepsi Bottling Group, Inc. 1,100 24,178
------------
Food Products (2.9%)
Dean Foods Co. (a) 2,100 62,853
Hormel Foods Corp. 600 13,068
------------
75,921
------------
Personal Products (1.6%)
Avon Products, Inc. 700 43,673
------------
</Table>
See Accompanying Notes to Financial Statements.
41
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Energy (6.6%)
Energy Equipment & Services (2.4%)
BJ Services Co. (a) 550 $ 18,838
Noble Corp. (a) 550 18,078
Transocean, Inc. (a) 1,100 21,527
Weatherford International Ltd. (a) 150 5,440
------------
63,883
------------
Oil & Gas (4.2%)
Amerada Hess Corp. 700 32,879
Occidental Petroleum Corp. 550 17,980
XTO Energy, Inc. 3,100 59,830
------------
110,689
------------
Financials (20.4%)
Banks (11.7%)
Banknorth Group, Inc. 1,100 30,360
Charter One Financial, Inc. 900 29,268
City National Corp. 550 27,692
Cullen/Frost Bankers, Inc. 550 20,141
Golden West Financial Corp. 900 74,340
Greenpoint Financial Corp. 700 35,182
North Fork Bancorporation, Inc. 900 31,545
Sovereign Bancorp, Inc. 2,300 41,262
Webster Financial Corp. 550 20,603
------------
310,393
------------
Diversified Financials (2.3%)
Bear Stearns Companies, Inc. 150 10,050
Janus Capital Group, Inc. 2,300 40,250
Lehman Brothers Holdings, Inc. 150 9,490
------------
59,790
------------
Insurance (6.4%)
Ambac Financial Group, Inc. 550 36,228
Cincinnati Financial Corp. 100 3,930
Loews Corp. 500 23,000
Nationwide Financial Services, Class A 550 17,022
PMI Group, Inc. 1,100 36,443
Radian Group, Inc. 700 32,767
St. Paul Companies, Inc. 600 21,102
------------
170,492
------------
Health Care (4.7%)
Health Care Equipment & Supplies (1.2%)
Biomet, Inc. 1,100 32,571
------------
Health Care Providers & Services (3.5%)
Anthem, Inc. (a) 100 7,551
First Health Group Corp. (a) 1,800 46,476
</Table>
See Accompanying Notes to Financial Statements.
42
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Health Care Providers & Services (continued)
HCA, Inc. 700 $ 24,675
WellPoint Health Networks, Inc. (a) 150 12,548
------------
91,250
------------
Industrials (11.4%)
Aerospace & Defense (0.8%)
Alliant Techsystems, Inc. (a) 150 8,235
Northrop Grumman Corp. 150 13,836
------------
22,071
------------
Air Freight & Logisitics (0.5%)
CNF, Inc. 450 12,532
------------
Commercial Services & Supplies (3.5%)
Brinks Co. 1,400 23,016
Cendant Corp. (a) 2,300 41,285
DST Systems, Inc. (a) 150 5,514
Manpower, Inc. 600 22,860
------------
92,675
------------
Electrical Equipment (0.4%)
Ametek, Inc. 300 11,868
------------
Industrial Conglomerates (1.0%)
Carlisle Companies, Inc. 600 26,250
------------
Machinery (5.2%)
Dover Corp. (a) 550 20,136
Ingersoll-Rand Co., Ltd. 600 32,544
Mueller Industries, Inc. (a) 600 17,250
Navistar International Corp. (a) 1,100 42,922
Parker Hannifin Corp. 550 25,355
------------
138,207
------------
Information Technology (9.0%)
Communications Equipment (1.2%)
Andrew Corp. (a) 3,000 32,670
------------
Electronic Equipment & Instruments (4.7%)
Amphenol Corp., Class A (a) 800 43,200
Arrow Electronics, Inc. (a) 900 15,345
Littelfuse, Inc. (a) 500 11,645
Millipore Corp. (a) 500 22,245
Varian, Inc. (a) 600 19,494
Vishay Intertechnology, Inc. (a) 900 11,970
------------
123,899
------------
Information Technology Consulting & Services (1.3%)
Affiliated Computer Services, Inc. (a) 700 34,685
------------
</Table>
See Accompanying Notes to Financial Statements.
43
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Office Electronics (0.6%)
Zebra Technologies Corp. (a) 200 $ 15,516
------------
Software (1.2%)
Reynolds & Reynolds Co. 1,100 31,812
------------
Materials (11.2%)
Chemicals (8.0%)
Air Products & Chemicals, Inc. 700 32,536
Eastman Chemical Co. 700 25,410
Ecolab, Inc. 300 7,413
Engelhard Corp. 700 18,396
International Flavors & Fragrances, Inc. 1,300 39,195
Lubrizol Corp. 700 23,373
PPG Industries, Inc. 550 31,058
Praxair, Inc. 550 35,563
------------
212,944
------------
Containers & Packaging (0.9%)
Crown Holdings, Inc. (a) 1,500 11,205
Packaging Corp. of America (a) 700 13,230
------------
24,435
------------
Paper & Forest Products (2.3%)
Boise Cascade Corp. 550 13,635
Georgia-Pacific Corp. 1,100 24,035
MeadWestvaco Corp. 900 21,789
------------
59,459
------------
Telecommunication Services (1.4%)
Wireless Telecommunication Services (1.4%)
Telephone & Data Systems, Inc. 700 37,359
------------
Utilities (5.8%)
Electric Utilities (5.1%)
Allete, Inc. 600 16,080
Entergy Corp. 550 28,331
Exelon Corp. 700 40,229
PPL Corp. 550 21,775
Progress Energy, Inc. 700 28,518
------------
134,933
------------
Multi-Utilities & Unregulated Power (0.7%)
Energy East Corp. 900 18,639
------------
Total Common Stocks
(Cost of $2,407,291) 2,514,858
------------
</Table>
See Accompanying Notes to Financial Statements.
44
<Page>
<Table>
<Caption>
PAR VALUE
--------- ------------
Short-Term Obligation (5.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at
1.000%, collateralized by a U.S. Treasury Bond
maturing 11/15/21, market value of $154,048
(repurchase proceeds $145,004)
(Cost of $145,000) $ 145,000 $ 145,000
------------
Total Investments (100.3%)
(Cost of $2,552,291) (b) 2,659,858
Other Assets & Liabilities, Net (-0.3%) (8,915)
------------
Net Assets (100.0%) $ 2,650,943
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $2,552,383.
See Accompanying Notes to Financial Statements.
45
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (99.1%)
Consumer Discretionary (19.3%)
Auto Components (0.8%)
Gentex Corp. (a) 17,435 $ 619,640
------------
Hotels, Restaurants & Leisure (4.8%)
Brinker International, Inc. (a) 24,870 870,450
Darden Restaurants, Inc. 44,300 828,853
Fairmont Hotels & Resorts, Inc. 7,000 176,400
MGM MIRAGE (a) 16,400 562,520
Outback Steakhouse, Inc. 13,000 485,550
Starwood Hotels & Resorts Worldwide, Inc. 18,600 606,360
------------
3,530,133
------------
Household Durables (2.1%)
Garmin Ltd. 9,500 363,470
Harman International Industries, Inc. 14,490 1,211,364
------------
1,574,834
------------
Internet & Catalog Retail (1.1%)
InterActiveCorp (a) 19,700 797,259
------------
Leisure Equipment & Products (0.4%)
Mattel, Inc. 14,295 277,752
------------
Media (5.8%)
Citadel Broadcasting Corp. (a) 18,100 343,900
Entercom Communications Corp. (a) 22,925 1,086,416
Interpublic Group of Companies, Inc. 31,200 430,560
Lamar Advertising Co. (a) 18,705 641,769
Univision Communications, Inc., Class A (a) 41,710 1,301,352
Westwood One, Inc. (a) 16,870 515,210
------------
4,319,207
------------
Multi-Line Retail (0.6%)
Dollar Tree Stores, Inc. (a) 11,000 403,480
------------
Specialty Retail (3.6%)
Advance Auto Parts, Inc. (a) 8,500 577,405
Bed Bath & Beyond, Inc. (a) 8,360 323,448
Michaels Stores, Inc. 18,240 704,246
Williams-Sonoma, Inc. (a) 37,960 1,072,370
------------
2,677,469
------------
Textiles, Apparel & Luxury Goods (0.1%)
Columbia Sportswear Co. (a) 600 31,794
------------
</Table>
See Accompanying Notes to Financial Statements.
46
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Consumer Staples (0.6%)
Food & Drug Retailing (0.6%)
Whole Foods Market, Inc. (a) 9,300 $ 474,077
------------
Energy (9.7%)
Energy Equipment & Services (4.9%)
BJ Services Co. (a) 34,400 1,178,200
Nabors Industries Ltd. (a) 10,730 384,134
National-Oilwell, Inc. (a) 30,280 557,152
Noble Corp. (a) 16,950 557,146
Patterson-UTI Energy, Inc. (a) 13,940 384,744
Precision Drilling Corp. (a) 14,590 529,617
------------
3,590,993
------------
Oil & Gas (4.8%)
Apache Corp. 14,685 909,883
Murphy Oil Corp. 10,200 503,676
Premcor, Inc. (a) 29,700 647,757
Valero Energy Corp. 20,220 736,008
XTO Energy, Inc. 38,653 746,003
------------
3,543,327
------------
Financials (4.7%)
Diversified Financials (1.1%)
Legg Mason, Inc. 6,100 427,000
Providian Financial Corp. (a) 38,300 369,595
------------
796,595
------------
Insurance (3.6%)
Ambac Financial Group, Inc. 17,900 1,179,073
Arthur J. Gallagher & Co. 25,740 682,882
Axis Capital Holdings Ltd. (a) 16,700 437,206
IPC Holdings Ltd. 11,740 403,973
------------
2,703,134
------------
Health Care (25.1%)
Biotechnology (2.3%)
Gilead Sciences, Inc. (a) 10,320 704,340
ICOS Corp. (a) 24,000 1,046,880
------------
1,751,220
------------
Health Care Equipment & Supplies (2.1%)
Boston Scientific Corp. (a) 9,800 619,654
Hillenbrand Industries, Inc. 6,490 353,640
Varian Medical Systems, Inc. (a) 9,080 557,149
------------
1,530,443
------------
Health Care Providers & Services (15.5%)
AmerisourceBergen Corp. 11,360 716,702
Anthem, Inc. (a) 10,877 821,322
Caremark Rx, Inc. (a) 78,795 1,971,451
</Table>
See Accompanying Notes to Financial Statements.
47
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Community Health Systems, Inc. (a) 17,990 $ 399,378
Coventry Health Care, Inc. (a) 18,600 1,001,982
DaVita, Inc. (a) 51,405 1,439,340
Lincare Holdings, Inc. (a) 17,000 618,800
Mid Atlantic Medical Services, Inc. (a) 23,050 1,253,459
PacifiCare Health Systems, Inc. (a) 7,900 441,610
WebMD Corp. (a) 69,000 833,520
WellChoice, Inc. (a) 13,000 404,300
WellPoint Health Networks, Inc. (a) 18,300 1,530,795
------------
11,432,659
------------
Pharmaceuticals (5.2%)
Andrx Corp. (a) 32,400 734,832
Barr Laboratories, Inc. (a) 24,910 1,682,670
Biovail Corp. (a) 26,600 1,021,174
Teva Pharmaceutical Industries Ltd., ADR 6,850 392,779
------------
3,831,455
------------
Industrials (11.2%)
Commercial Services & Supplies (7.9%)
BISYS Group, Inc. (a) 38,580 638,499
ChoicePoint, Inc. (a) 25,886 987,292
Cintas Corp. 9,100 374,647
Education Management Corp. (a) 27,070 1,571,955
Global Payments, Inc. 8,690 305,975
Republic Services, Inc. 23,355 565,191
Robert Half International, Inc. (a) 30,940 671,707
Weight Watchers International, Inc. (a) 15,180 681,582
------------
5,796,848
------------
Construction & Engineering (0.1%)
Jacobs Engineering Group, Inc. (a) 1,920 84,173
------------
Electrical Equipment (0.5%)
American Power Conversion Corp. 21,280 370,910
------------
Machinery (0.2%)
Flowserve Corp. (a) 9,180 176,807
------------
Trading Companies & Distributors (2.5%)
CDW Corp. 13,940 667,447
Fastenal Co. 10,100 383,800
W.W. Grainger, Inc. 16,170 795,564
------------
1,846,811
------------
Information Technology (27.8%)
Communications Equipment (4.0%)
3Com Corp. (a) 60,300 294,264
Comverse Technology, Inc. (a) 17,700 261,075
</Table>
See Accompanying Notes to Financial Statements.
48
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Communications Equipment (continued)
F5 Networks, Inc. (a) 24,610 $ 461,438
Polycom, Inc. (a) 27,600 460,920
Scientific-Atlanta, Inc. 14,900 451,321
UTStarcom, Inc. (a) 24,200 1,030,194
------------
2,959,212
------------
Computers & Peripherals (1.6%)
Electronics For Imaging, Inc. (a) 39,715 834,015
Lexmark International, Inc. (a) 5,730 367,694
------------
1,201,709
------------
Electronic Equipment & Instruments (5.0%)
Amphenol Corp., Class A (a) 31,300 1,690,200
AU Optronics Corp., ADR 48,715 453,050
Jabil Circuit, Inc. (a) 37,460 863,453
Sanmina-SCI Corp. (a) 33,800 268,372
Symbol Technologies, Inc. 33,700 431,697
------------
3,706,772
------------
Internet Software & Services (0.6%)
Check Point Software Technologies Ltd. (a) 25,400 451,866
------------
Semiconductor Equipment & Products (6.4%)
Agere Systems, Inc., Class A (a) 274,000 769,940
Amkor Technology, Inc. (a) 35,900 526,653
Conexant Systems, Inc. (a) 39,100 192,372
Marvell Technology Group Ltd. (a) 21,300 748,908
Microchip Technology, Inc. 50,960 1,343,306
National Semiconductor Corp. (a) 17,570 392,690
Novellus Systems, Inc. (a) 20,500 734,105
------------
4,707,974
------------
Software (10.2%)
Amdocs Ltd. (a) 49,900 1,016,962
Autodesk, Inc. 27,800 415,888
BMC Software, Inc. (a) 32,000 451,200
Electronic Arts, Inc. (a) 18,400 1,545,600
Fair Isaac Corp. 20,830 1,125,653
Intuit, Inc. (a) 12,465 536,244
Mercury Interactive Corp. (a) 21,410 842,698
Siebel Systems, Inc. (a) 37,780 354,376
Symantec Corp. (a) 12,660 593,881
VERITAS Software Corp. (a) 21,090 649,572
------------
7,532,074
------------
Materials (0.3%)
Chemicals (0.3%)
Methanex Corp. 22,300 206,498
------------
</Table>
See Accompanying Notes to Financial Statements.
49
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Utilities (0.4%)
Multi-Utilities & Unregulated Power (0.4%)
Calpine Corp. (a) 55,300 $ 315,763
------------
Total Common Stocks
(Cost of $59,903,367) 73,242,888
------------
<Caption>
PAR
---------
Short-Term Obligation (0.6%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 0950%,
collateralized by a U.S. Treasury Note
maturing 01/31/05, market value of $461,078
(repurchase proceeds $448,012)
(Cost of $448,000) $ 448,000 448,000
------------
Total Investments (99.7%)
(Cost of $60,351,367) (b) 73,690,888
Other Assets & Liabilities, Net (0.3%) 234,959
------------
Net Assets (100.0%) $ 73,925,847
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $61,045,757.
<Table>
<Caption>
ACRONYM NAME
--------------- -------------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
50
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (96.9%)
Consumer Discretionary (16.8%)
Hotels, Restaurants & Leisure (4.3%)
Alliance Gaming Corp. (a) 10,300 $ 219,700
Applebee's International, Inc. 7,000 223,300
Red Robin Gourmet Burgers (a) 2,100 45,444
Scientific Games Corp., Class A (a) 12,900 108,360
Station Casinos, Inc. 10,600 307,400
------------
904,204
------------
Household Durables (1.2%)
Meritage Corp. (a) 5,500 244,090
------------
Leisure Equipment & Products (0.6%)
SCP Pool Corp. (a) 3,300 127,908
------------
Media (3.0%)
Digital Theater Systems, Inc. (a) 800 16,800
Lin TV Corp. (a) 6,800 148,104
Radio One, Inc., Class D (a) 8,900 147,651
Sinclair Broadcast Group, Inc., Class A (a) 17,800 183,874
TiVo, Inc. (a) 12,500 136,125
------------
632,554
------------
Specialty Retail (6.7%)
Advance Auto Parts, Inc. (a) 4,400 298,892
Blue Rhino Corp. (a) 13,900 162,630
Cost Plus, Inc. (a) 3,800 141,626
Party City Corp. (a) 10,500 120,120
PETCO Animal Supplies, Inc. (a) 11,300 283,517
Sharper Image Corp. (a) 8,300 233,404
Too, Inc. (a) 9,400 172,960
------------
1,413,149
------------
Textiles, Apparel & Luxury Goods (1.0%)
Warnaco Group, Inc. (a) 12,500 196,875
------------
Consumer Staples (1.2%)
Food & Drug Retailing (0.6%)
Performance Food Group Co. (a) 3,400 128,452
------------
Food Products (0.6%)
American Italian Pasta Co., Class A (a) 3,200 128,288
------------
Energy (8.0%)
Energy Equipment & Services (4.6%)
Key Energy Services, Inc. (a) 24,000 223,440
Matrix Service Co. (a) 12,800 229,504
Maverick Tube Corp. (a) 16,900 278,850
</Table>
See Accompanying Notes to Financial Statements.
51
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Superior Energy Services, Inc. (a) 6,400 $ 57,728
Unit Corp. (a) 9,400 183,958
------------
973,480
------------
Oil & Gas (3.4%)
Frontier Oil Corp. 11,800 178,888
Patina Oil & Gas Corp. 7,075 212,816
Spinnaker Exploration Co. (a) 4,900 107,065
St. Mary Land & Exploration Co. 5,300 136,952
Tom Brown, Inc. (a) 3,000 76,050
------------
711,771
------------
Financials (11.6%)
Banks (4.4%)
Boston Private Financial Holdings, Inc. 4,400 104,060
Dime Community Bancshares 3,700 91,760
East West Bancorp, Inc. 4,200 181,566
Mercantile Bank Corp. 3,300 113,190
Prosperity Bancshares, Inc. 7,700 163,548
UCBH Holdings, Inc. 5,100 157,233
W Holding Co., Inc. 5,900 113,280
------------
924,637
------------
Diversified Financials (3.5%)
ASTA Funding, Inc. 3,200 89,504
Commercial Capital Bancorp, Inc. (a) 2,700 51,300
Investors Financial Services Corp. 8,500 270,895
Jefferies Group, Inc. 3,000 178,110
MTC Technologies, Inc. (a) 5,500 144,490
------------
734,299
------------
Insurance (2.7%)
Hilb, Rogal & Hamilton Co. 5,300 178,451
Infinity Property & Casualty Corp. 7,700 202,433
Philadelphia Consolidated Holding Corp. (a) 3,900 157,326
RLI Corp. 1,000 32,360
------------
570,570
------------
Real Estate (1.0%)
American Financial Realty Trust 13,800 203,412
------------
Health Care (19.7%)
Biotechnology (5.3%)
BioMarin Pharmaceutical, Inc. (a) 15,500 168,020
Charles River Laboratories International, Inc. (a) 6,300 234,108
Ciphergen Biosystems, Inc. (a) 9,900 82,071
Neurocrine Biosciences, Inc. (a) 1,900 101,992
Protein Design Labs, Inc. (a) 10,400 132,704
Serologicals Corp. (a) 18,700 287,232
Telik, Inc. (a) 6,100 116,449
------------
1,122,576
------------
</Table>
See Accompanying Notes to Financial Statements.
52
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Health Care Equipment & Supplies (8.3%)
American Medical Systems Holdings, Inc. (a) 8,200 $ 147,354
Bio-Rad Laboratories, Inc., Class A (a) 3,400 190,400
Integra LifeSciences Holdings (a) 9,900 247,599
Kyphon, Inc. (a) 5,700 123,063
Medical Action Industries, Inc. (a) 12,100 170,973
Merit Medical Systems, Inc. (a) 2,600 70,980
Noven Pharmaceuticals, Inc. (a) 15,300 169,677
Respironics, Inc. (a) 3,100 123,938
SonoSite, Inc. (a) 9,400 205,484
Wright Medical Group, Inc. (a) 7,100 181,902
Zoll Medical Corp. (a) 3,300 103,752
------------
1,735,122
------------
Health Care Providers & Services (2.1%)
Cobalt Corp. (a) 4,700 96,444
Hooper Holmes, Inc. 13,000 91,000
LifePoint Hospitals, Inc. (a) 3,700 104,451
WellChoice, Inc. (a) 4,800 149,280
------------
441,175
------------
Pharmaceuticals (4.0%)
InterMune, Inc. (a) 5,500 103,400
Nektar Therapeutics (a) 15,100 133,484
Salix Pharmaceuticals Ltd. (a) 7,300 83,220
SICOR, Inc. (a) 11,100 216,450
Taro Pharmaceutical Industries Ltd. (a) 3,100 169,167
Trimeris, Inc. (a) 3,100 137,485
------------
843,206
------------
Industrials (12.4%)
Aerospace & Defense (1.5%)
DRS Technologies, Inc. (a) 6,900 189,267
Integrated Defense Technologies, Inc. (a) 4,400 70,356
Mercury Computer Systems, Inc. (a) 3,300 65,439
------------
325,062
------------
Air Freight & Logistics (0.9%)
EGL, Inc. (a) 3,700 61,124
UTI Worldwide, Inc. 3,600 127,026
------------
188,150
------------
Commercial Services & Supplies (5.1%)
Arbitron, Inc. (a) 4,500 167,400
Corporate Executive Board Co. (a) 3,500 151,970
FTI Consulting, Inc. (a) 8,700 191,400
Integrated Alarm Services Group, Inc. (a) 11,800 109,268
Navigant Consulting, Inc. (a) 5,900 79,709
NCO Group, Inc. (a) 5,400 104,112
Sylvan Learning Systems, Inc. (a) 4,400 116,996
</Table>
See Accompanying Notes to Financial Statements.
53
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Commercial Services & Supplies (continued)
United Stationers, Inc. (a) 2,500 $ 95,800
Waste Connections, Inc. (a) 1,900 64,505
------------
1,081,160
------------
Construction & Engineering (0.7%)
Chicago Bridge & Iron Co. NV 5,700 140,562
------------
Machinery (1.7%)
AGCO Corp. (a) 8,200 157,276
CUNO, Inc. (a) 3,600 139,536
UNOVA, Inc. (a) 4,100 55,801
------------
352,613
------------
Road & Rail (2.5%)
Dollar Thrifty Automotive Group, Inc. (a) 5,000 112,150
Genesee & Wyoming, Inc., Class A (a) 7,300 163,593
Heartland Express, Inc. (a) 5,800 147,320
Old Dominion Freight Line, Inc. (a) 3,000 96,000
------------
519,063
------------
Information Technology (25.3%)
Communications Equipment (0.7%)
F5 Networks, Inc. (a) 6,400 120,000
Finisar Corp. (a) 13,800 26,046
------------
146,046
------------
Computers & Peripherals (2.7%)
Applied Films Corp. (a) 6,200 154,132
Cray, Inc. (a) 21,600 239,112
Pinnacle Systems, Inc. (a) 19,600 161,504
------------
554,748
------------
Electronic Equipment & Instruments (2.6%)
Anixter International, Inc. (a) 3,500 78,085
Global Imaging Systems, Inc. (a) 8,000 203,920
Itron, Inc. (a) 7,800 163,800
Planar Systems, Inc. (a) 4,000 96,480
------------
542,285
------------
Information Technology Consulting & Services (2.3%)
Cognizant Technology Solutions Corp. (a) 4,900 150,822
GRIC Communications, Inc. (a) 10,300 57,886
Priority Healthcare Corp., Class B (a) 4,100 84,583
SRA International, Inc., Class A (a) 5,100 178,398
------------
471,689
------------
</Table>
See Accompanying Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Internet Software & Services (2.6%)
Digital River, Inc. (a) 9,000 $ 193,320
FindWhat.com (a) 3,900 81,159
iPass, Inc. (a) 500 9,035
PEC Solutions, Inc. (a) 4,500 100,980
webMethods, Inc. (a) 20,700 161,460
------------
545,954
------------
Semiconductor Equipment & Products (8.7%)
Artisan Components, Inc. (a) 9,700 202,827
Brooks Automation, Inc. (a) 14,200 273,350
Cymer, Inc. (a) 3,000 121,350
DSP Group, Inc. (a) 4,300 112,789
Entegris, Inc. (a) 18,300 262,056
Integrated Circuit Systems, Inc. (a) 2,300 69,115
Lattice Semiconductor Corp. (a) 17,300 134,421
Monolithic System Technology, Inc. (a) 10,200 103,224
Mykrolis Corp. (a) 11,800 145,966
Silicon Image, Inc. (a) 31,400 165,792
Skyworks Solutions, Inc. (a) 8,000 68,080
Zoran Corp. (a) 6,500 176,215
------------
1,835,185
------------
Software (5.7%)
Activision, Inc. (a) 10,350 120,578
Borland Software Corp. (a) 20,900 194,370
Documentum, Inc. (a) 6,600 113,190
Epicor Software Corp. (a) 15,400 121,968
Jack Henry & Associates, Inc. 4,700 87,843
Magma Design Automation, Inc. (a) 10,000 199,500
Micromuse, Inc. (a) 16,300 117,034
Take-Two Interactive Software, Inc. (a) 4,900 130,340
Verity, Inc. (a) 9,000 119,790
------------
1,204,613
------------
Materials (1.6%)
Containers & Packaging (1.6%)
Crown Holdings, Inc. 4,900 36,603
Jarden Corp. (a) 10,300 304,777
------------
341,380
------------
Telecommunication Services (0.3%)
Diversified Telecommunication Services (0.3%)
Intrado, Inc. (a) 4,000 65,400
------------
Total Common Stocks
(Cost of $18,734,277) 20,349,678
------------
</Table>
See Accompanying Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
PAR VALUE
--------- ------------
Short-Term Obligation (3.3%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at
1.000%, collateralized by a U.S. Treasury Note
maturing 11/15/21, market value of $723,358
(repurchase proceeds $704,020)
(Cost of $704,000) $ 704,000 $ 704,000
------------
Total Investments (100.2%)
(Cost of $19,438,277) (b) 21,053,678
Other Assets & Liabilities, Net (-0.2%) (47,476)
------------
Net Assets (100.0%) $ 21,006,202
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $19,442,330.
See Accompanying Notes to Financial Statements.
56
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (98.6%)
Consumer Discretionary (17.7%)
Auto Components (1.1%)
BorgWarner, Inc. 1,700 $ 113,509
Modine Manufacturing Co. 2,600 55,224
Standard Motor Products, Inc. 5,900 59,118
------------
227,851
------------
Hotels, Restaurants & Leisure (2.7%)
Bally Total Fitness Holding Corp. (a) 10,900 104,858
CBRL Group, Inc. 3,300 116,292
Landry's Restaurants, Inc. 5,700 116,907
Lone Star Steakhouse & Saloon, Inc. 7,700 165,781
Prime Hospitality Corp. (a) 9,400 70,312
------------
574,150
------------
Household Durables (2.0%)
American Greetings Corp., Class A (a) 5,700 101,517
Bassett Furniture Industries, Inc. 5,600 76,944
Jacuzzi Brands, Inc. (a) 17,100 102,771
Russ Berrie & Co, Inc. 1,200 42,060
Toro Co. 2,600 103,948
------------
427,240
------------
Leisure Equipment & Products (0.7%)
JAKKS Pacific, Inc. (a) 7,400 84,508
Johnson Outdoors, Inc., Class A (a) 3,900 55,844
M&F Worldwide Corp. (a) 1,700 14,518
Travis Boats & Motors, Inc. (a) 300 291
------------
155,161
------------
Media (1.5%)
Alliance Atlantis Communications, Inc., Class B (a) 11,700 167,895
Liberty Corp. 3,300 143,154
------------
311,049
------------
Multi-Line Retail (1.5%)
BJ's Wholesale Club, Inc. (a) 6,100 118,950
Neiman-Marcus Group, Inc., Class A (a) 3,400 133,620
ShopKo Stores, Inc. 5,100 69,360
------------
321,930
------------
Specialty Retail (5.9%)
Building Materials Holding Corp. 3,400 45,390
CompuCom Systems, Inc. (a) 12,800 71,680
Dress Barn, Inc. (a) 5,500 71,940
Friedman's, Inc., Class A 8,000 106,960
Goody's Family Clothing, Inc. 9,900 81,873
Hughes Supply, Inc. 2,500 91,000
Monro Muffler Brake, Inc. (a) 5,047 158,274
Movie Gallery, Inc. (a) 5,200 104,000
OfficeMax, Inc. (a) 8,600 77,228
Rent-Way, Inc. (a) 16,400 87,576
TBC Corp. (a) 7,000 140,420
</Table>
See Accompanying Notes to Financial Statements.
57
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Specialty Retail (continued)
United Rentals, Inc. (a) 5,500 $ 79,750
Zale Corp. (a) 3,200 152,160
------------
1,268,251
------------
Textiles, Apparel & Luxury Goods (2.3%)
Delta Apparel, Inc. 2,300 36,248
Kellwood Co. 5,100 167,535
Maxwell Shoe Co., Inc., Class A (a) 8,000 108,560
Russell Corp. 5,600 111,496
Stride Rite Corp. 7,200 72,144
------------
495,983
------------
Consumer Staples (3.0%)
Food Products (2.2%)
Central Garden & Pet Co. (a) 4,200 115,248
Corn Products International, Inc. 5,600 175,280
Omega Protein Corp. (a) 1,600 10,160
Ralcorp Holdings, Inc. (a) 6,100 164,944
------------
465,632
------------
Personal Products (0.2%)
Inter Parfums, Inc. 4,300 49,407
------------
Tobacco (0.6%)
Universal Corp. 2,800 119,308
------------
Energy (5.4%)
Energy Equipment & Services (1.4%)
Lufkin Industries, Inc. 4,600 117,121
Universal Compression Holdings, Inc. (a) 4,000 79,400
Willbros Group, Inc. (a) 12,200 116,510
------------
313,031
------------
Oil & Gas (4.0%)
Denbury Resources, Inc. (a) 7,900 102,305
Harvest Natural Resources, Inc. (a) 20,000 134,800
Peabody Energy Corp. 9,100 279,279
Vintage Petroleum, Inc. 11,300 129,611
Western Gas Resources, Inc. 2,200 83,468
Westport Resources Corp. (a) 5,900 122,425
------------
851,888
------------
Financials (21.4%)
Banks (10.7%)
BancFirst Corp. 700 38,220
BancorpSouth, Inc. 5,300 112,360
Bank of Granite Corp. 5,100 100,878
Bryn Mawr Bank Corp. 3,100 125,860
Capitol Bancorp Ltd. 2,300 60,720
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Banks (continued)
Chemical Financial Corp. 5,000 $ 156,250
Chittenden Corp. 5,800 169,360
Community First Bankshares, Inc. 4,000 109,880
Community Trust Bancorp, Inc. 2,800 80,276
Corus Bankshares, Inc. 2,700 138,915
First Citizens BancShares, Inc., Class A 800 92,000
First Financial Bankshares, Inc. 2,550 91,749
Greater Bay Bancorp 2,200 43,098
Hancock Holding Co. 1,200 56,904
MainSource Financial Group, Inc. 2,000 52,980
MASSBANK Corp. 1,700 55,442
Merchants Bancshares, Inc. 4,100 115,620
MetroCorp. Bancshares, Inc. 900 11,034
Mid-State Bancshares 7,300 147,971
Northrim BanCorp, Inc. 3,700 64,824
Omega Financial Corp. 900 31,392
Riggs National Corp. 8,100 131,058
Simmons First National Corp., Class A 3,800 91,960
TriCo Bancshares 5,200 137,977
Whitney Holding Corp. 1,800 62,190
------------
2,278,918
------------
Diversified Financials (2.2%)
Cash America International, Inc. 13,300 227,962
CompuCredit Corp. (a) 2,900 44,399
Metris Companies, Inc. (a) 15,600 57,720
MFC Bancorp Ltd. (a) 12,500 131,375
------------
461,456
------------
Insurance (3.7%)
AmerUs Group Co. 2,100 64,302
CNA Surety Corp. (a) 700 7,140
Commerce Group, Inc. 2,600 98,930
Delphi Financial Group, Inc., Class A 3,600 177,660
Kansas City Life Insurance Co. 600 26,988
Navigators Group, Inc. (a) 1,600 51,344
Phoenix Companies, Inc. 13,000 121,680
RLI Corp. 3,800 122,968
State Auto Financial Corp. 3,900 91,455
Universal American Financial Corp. (a) 5,300 35,616
------------
798,083
------------
Real Estate (4.8%)
American Financial Realty Trust 2,500 36,850
Boykin Lodging Co. (a) 8,300 65,404
EastGroup Properties, Inc. 3,800 104,044
Equity One, Inc. 6,100 103,700
Getty Realty Corp. 4,100 98,974
Keystone Property Trust 4,100 79,089
Mid-America Apartment Communities, Inc. 4,000 114,400
Nationwide Health Properties, Inc. 6,700 114,704
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Real Estate (continued)
PS Business Parks, Inc. 4,300 $ 159,401
Universal Health Realty Income Trust 2,700 74,385
Urstadt Biddle Properties, Class A 6,000 81,300
------------
1,032,251
------------
Health Care (6.7%)
Health Care Equipment & Supplies (0.5%)
Sola International, Inc. (a) 5,700 96,729
------------
Health Care Providers & Services (5.8%)
Chronimed, Inc. (a) 5,900 67,673
Cross Country Healthcare, Inc. (a) 6,200 92,938
Genesis Health Ventures, Inc. (a) 6,400 136,000
Humana, Inc. (a) 8,400 147,168
Kindred Healthcare, Inc. (a) 3,400 81,464
LifePoint Hospitals, Inc. (a) 2,100 59,283
MAXIMUS, Inc. (a) 2,100 63,000
PacifiCare Health Systems, Inc. (a) 3,200 178,880
Pediatrix Medical Group, Inc. (a) 3,000 122,190
Province Healthcare Co. (a) 4,100 54,940
Stewart Enterprises, Inc., Class A (a) 17,600 77,616
US Oncology, Inc. (a) 20,000 160,400
------------
1,241,552
------------
Pharmaceuticals (0.4%)
Alpharma, Inc., Class A 4,300 85,355
------------
Industrials (16.8%)
Aerospace & Defense (1.6%)
Armor Holdings, Inc. (a) 6,400 97,728
Herley Industries, Inc. (a) 4,300 79,980
Ladish Co., Inc. (a) 9,200 56,212
Precision Castparts Corp. 3,500 112,875
------------
346,795
------------
Air Freight & Logistics (0.6%)
Ryder System, Inc. 4,200 122,052
------------
Airlines (1.0%)
Atlantic Coast Airlines Holdings, Inc. (a) 8,300 62,831
Mesaba Holdings, Inc. (a) 4,900 36,995
SkyWest, Inc. 6,400 119,616
------------
219,442
------------
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Building Products (1.0%)
NCI Building Systems, Inc. (a) 4,700 $ 83,237
Watsco, Inc. 7,100 123,753
------------
206,990
------------
Commercial Services & Supplies (5.3%)
Banta Corp. 3,100 104,904
Cable Design Technologies Corp. (a) 7,900 50,955
Casella Waste Systems, Inc., Class A (a) 14,500 168,200
Century Business Services, Inc. (a) 16,300 55,746
Consolidated Graphics, Inc. (a) 6,000 144,000
Electro Rent Corp. (a) 2,800 30,688
Handleman Co. (a) 7,800 135,720
Imagistics International, Inc. (a) 6,700 192,290
Kimball International, Inc., Class B 7,700 116,039
ProsoftTraining (a) 13,645 6,017
RemedyTemp, Inc., Class A (a) 1,300 14,430
SOURCECORP, Inc. (a) 4,100 97,990
TeleTech Holdings, Inc. (a) 900 3,537
------------
1,120,516
------------
Construction & Engineering (1.9%)
Comfort Systems USA, Inc. (a) 13,700 44,525
EMCOR Group, Inc. (a) 3,900 161,070
MasTec, Inc. (a) 19,900 144,275
Shaw Group, Inc. (a) 6,700 57,017
------------
406,887
------------
Electrical Equipment (1.2%)
Genlyte Group, Inc. (a) 2,300 85,675
Tecumseh Products Co. 2,800 101,920
Woodward Governor Co. 1,800 76,320
------------
263,915
------------
Industrial Conglomerates (0.4%)
Carlisle Companies, Inc. 2,100 91,875
------------
Machinery (3.0%)
Alamo Group, Inc. 2,900 38,715
Briggs & Stratton Corp. 2,100 115,647
Esterline Technologies Corp. (a) 5,900 112,985
Harsco Corp. 4,600 171,948
Kadant, Inc. (a) 6,000 118,860
Oshkosh Truck Corp. 1,100 73,172
UNOVA, Inc. (a) 600 8,166
------------
639,493
------------
Road & Rail (0.8%)
Covenant Transport, Inc., Class A (a) 4,600 80,868
Kansas City Southern (a) 4,800 58,320
U.S. Xpress Enterprises, Inc., Class A (a) 2,800 36,204
------------
175,392
------------
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Information Technology (15.9%)
Communications Equipment (1.7%)
Anaren, Inc. (a) 4,000 $ 44,040
Andrew Corp. (a) 9,407 102,442
Black Box Corp. 2,500 101,250
Optical Communication Products, Inc. (a) 21,900 40,515
Tollgrade Communications, Inc. (a) 5,000 69,300
------------
357,547
------------
Computers & Peripherals (1.6%)
Electronics For Imaging, Inc. (a) 4,300 90,300
Imation Corp. 1,100 39,259
Intergraph Corp. (a) 4,200 92,820
Iomega Corp. 11,100 129,648
------------
352,027
------------
Electronic Equipment & Instruments (5.1%)
Analogic Corp. 1,700 82,076
Anixter International, Inc. (a) 2,500 55,775
Benchmark Electronics, Inc. (a) 2,900 115,420
Checkpoint Systems, Inc. (a) 6,200 96,348
MTS Systems Corp. 6,800 101,660
Nu Horizons Electronics Corp. (a) 10,400 69,472
Pioneer-Standard Electronics, Inc. 10,100 90,698
Planar Systems, Inc. (a) 4,300 103,716
Plexus Corp. (a) 9,500 137,085
Somera Communications, Inc. (a) 8,000 13,280
Tech Data Corp. (a) 3,800 118,940
Vishay Intertechnology, Inc. (a) 8,200 109,060
------------
1,093,530
------------
Information Technology Consulting & Services (2 7%)
Acxiom Corp. (a) 6,100 96,929
American Management Systems, Inc. (a) 10,900 158,268
Computer Horizons Corp. (a) 11,500 46,920
Management Network Group, Inc. (a) 28,700 58,835
MPS Group, Inc. (a) 22,600 212,214
------------
573,166
------------
Internet Software & Services (0.8%)
SonicWALL, Inc. (a) 19,700 105,986
Stellent, Inc. (a) 2,500 17,875
TriZetto Group, Inc. (a) 4,900 37,921
------------
161,782
------------
Semiconductor Equipment & Products (2.1%)
DuPont Photomasks, Inc. (a) 4,500 92,205
Exar Corp. (a) 6,500 92,950
FSI International, Inc. (a) 200 998
Integrated Device Technology, Inc. (a) 8,600 98,986
</Table>
See Accompanying Notes to Financial Statements.
62
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Semiconductor Equipment & Products (continued)
Pericom Semiconductor Corp. (a) 6,300 $ 56,858
Zoran Corp. (a) 3,600 97,596
------------
439,593
------------
Software (1.9%)
MSC Software Corp. (a) 3,800 28,196
Novell, Inc. (a) 20,200 71,710
Pervasive Software, Inc. (a) 9,600 57,600
PLATO Learning, Inc. (a) 15,200 86,640
Sybase, Inc. (a) 7,300 114,610
Transaction Systems Architects, Inc., Class A (a) 4,300 51,301
------------
410,057
------------
Materials (6.1%)
Chemicals (3.1%)
A. Schulman, Inc. 4,700 76,516
Cytec Industries, Inc. (a) 6,100 235,582
H.B. Fuller Co. 3,600 87,336
Lubrizol Corp. 4,400 146,916
Minerals Technologies, Inc. 2,300 114,885
------------
661,235
------------
Construction Materials (0.8%)
AMCOL International Corp. 4,200 39,564
Centex Construction Products, Inc. 3,000 135,000
------------
174,564
------------
Containers & Packaging (0.9%)
AptarGroup, Inc. 2,700 100,575
Greif, Inc. 3,500 82,600
------------
183,175
------------
Metals & Mining (0.9%)
Carpenter Technology Corp. 6,400 117,312
RTI International Metals, Inc. 8,100 81,729
------------
199,041
------------
Paper & Forest Products (0.4%)
Glatfelter 3,400 42,602
Schweitzer-Mauduit International, Inc. 1,700 42,908
------------
85,510
------------
Telecommunication Services (1.0%)
Diversified Telecommunication Services (0.9%)
Advanced Fibre Communications, Inc. (a) 6,400 107,968
North Pittsburgh Systems, Inc. 4,800 86,400
------------
194,368
------------
Wireless Telecommunication Services (0.1%)
Metro One Telecommunications, Inc. (a) 5,300 21,518
------------
</Table>
See Accompanying Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Utilities (4.6%)
Electric Utilities (3.5%)
Central Vermont Public Service Corp. 6,800 $ 147,016
CH Energy Group, Inc. 4,500 195,075
El Paso Electric Co. (a) 7,700 89,089
Maine & Maritimes Corp. 1,500 48,450
MGE Energy, Inc. 2,700 84,591
Northeast Utilities 10,900 183,120
------------
747,341
------------
Gas Utilities (0.8%)
Cascade Natural Gas Corp. 2,900 56,115
Northwest Natural Gas Co. 2,200 62,634
WGL Holdings, Inc. 2,400 61,224
------------
179,973
------------
Multi-Utilities & Unregulated Power (0.3%)
MDU Resources Group, Inc. 1,800 57,096
------------
Total Common Stocks
(Cost of $19,128,259) 21,060,105
------------
<Caption>
PAR
---------
Short-Term Obligation (1.9%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 1000%,
collateralized by a U.S. Treasury Note
maturing 11/15/16, market value of $424,478
(repurchase proceeds $410,011)
(Cost of $410,000) $ 410,000 410,000
------------
Total Investments (100.5%)
(Cost of $19,538,259) (b) 21,470,105
Other Assets & Liabilities, Net (-0.5%) (113,777)
------------
Net Assets (100.0%) $ 21,356,328
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for federal income tax purposes is $19,538,372.
See Accompanying Notes to Financial Statements.
64
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (95.9%)
Consumer Discretionary (18.7%)
Auto Components (0.5%)
F.C.C. Co., Ltd. 3,700 $ 99,547
Nissan Shatai Co., Ltd. 51,900 168,511
------------
268,058
------------
Automobiles (0.8%)
Honda Motor Co., Ltd. 6,300 243,263
Nissan Motor Co., Ltd. 21,000 204,899
------------
448,162
------------
Hotels, Restaurants & Leisure (0.8%)
Accor SA 12,300 461,848
------------
Household Durables (5.7%)
Koninklijke (Royal) Philips Electronics NV 26,100 549,080
Land and Houses Public Co., Ltd., NVDR 2,029,400 420,476
Matsushita Electric Industrial Co., Ltd. 98,000 1,159,643
Pioneer Corp. 28,700 676,836
Sanyo Electric Co., Ltd. 145,000 543,035
------------
3,349,070
------------
Internet & Catalog Retail (0.4%)
Belluna Co., Ltd. 6,000 218,725
------------
Media (4.8%)
BEC World Public Co., Ltd. 21,200 122,207
British Sky Broadcasting PLC (a) 53,900 611,054
JC Decaux SA (a) 24,560 292,410
Pearson PLC 98,600 925,029
Reed Elsevier PLC 36,100 278,116
VNU NV 18,000 580,852
------------
2,809,668
------------
Multi-Line Retail (1.5%)
Don Quijote Co., Ltd. (a) 1,400 69,753
Don Quijote Co., Ltd., Bonus Shares (a)(b) 1,400 70,334
Wal-Mart de Mexico SA de CV, Class V 260,500 774,316
------------
914,403
------------
Specialty Retail (2.6%)
Kesa Electricals PLC (a) 20,780 68,550
Kingfisher PLC 90,912 410,359
Next PLC 38,600 705,317
Shimamura Co., Ltd. 5,700 328,960
------------
1,513,186
------------
Textiles, Apparel & Luxury Goods (1.6%)
LVMH Moet Hennessy Louis Vuitton SA 7,400 405,444
Puma AG 3,500 399,017
Sanyo Shokai Ltd. 26,000 149,836
------------
954,297
------------
</Table>
See Accompanying Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Consumer Staples (5.5%)
Beverages (0.7%)
Pernod-Ricard SA 4,425 $ 383,945
------------
Food & Drug Retailing (1.1%)
Seven-Eleven Japan Co., Ltd. 26,000 664,978
------------
Food Products (1.0%)
Nestle SA, Registered Shares 2,400 478,759
Yakult Honsha Co., Ltd. 9,000 124,434
------------
603,193
------------
Household Products (1.3%)
Reckitt Benckiser PLC 33,600 618,551
Srithai Superware Co., Ltd. (a) 770,000 145,785
------------
764,336
------------
Personal Products (0.5%)
L'Oreal SA 4,650 305,800
------------
Tobacco (0.9%)
Imperial Tobacco Group PLC 33,400 525,648
------------
Energy (3.7%)
Oil & Gas (3.7%)
BP PLC, ADR 28,220 1,172,541
ENI S.p.A 52,100 767,181
Total SA 1,341 198,519
------------
2,138,241
------------
Financials (21.3%)
Banks (14.6%)
Anglo Irish Bank Corp. PLC 27,700 253,831
Banco Popular Espanol SA 7,300 349,293
Banco Santander Central Hispano SA 97,100 872,502
Barclays PLC 99,652 750,885
Credit Agricole SA 37,751 717,865
Credit Suisse Group 41,020 1,288,641
Danske Bank A/S 30,800 563,391
Grupo Financiero BBVA Bancomer SA de CV (a) 360,000 301,405
Royal Bank of Scotland Group PLC 30,904 873,768
Siam Commercial Bank Public Co., Ltd. (a) 550,600 485,168
Standard Chartered PLC 63,600 821,831
UBS AG, Registered Shares 4,400 257,552
UFJ Holdings, Inc. 100 198,464
UniCredito Italiano S.p.A 176,200 825,276
------------
8,559,872
------------
</Table>
See Accompanying Notes to Financial Statements.
66
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Diversified Financials (3.2%)
Euronext NV 19,400 $ 486,573
ING Groep NV 49,500 1,000,216
Nomura Holdings, Inc. 28,000 372,016
------------
1,858,805
------------
Insurance (2.5%)
Allianz AG, Registered Shares 9,300 992,348
Converium Holding AG 3,100 147,264
Irish Life & Permanent PLC 11,100 122,182
Irish Life & Permanent PLC 19,200 213,437
------------
1,475,231
------------
Real Estate (1.0%)
Mitsubishi Estate Co., Ltd. 78,000 569,981
------------
Health Care (11.5%)
Health Care Equipment & Supplies (2.7%)
Olympus Optical Co., Ltd. 37,000 821,881
ResMed, Inc. (a) 8,600 341,420
Smith & Nephew PLC 63,400 378,506
------------
1,541,807
------------
Pharmaceuticals (8.8%)
Chugai Pharmaceutical Co., Ltd. 44,400 498,843
Dr. Reddy's Laboratories, Ltd., ADR 11,400 285,456
GlaxoSmithKline PLC 33,043 633,820
Novartis AG, Registered Shares 26,080 1,005,377
Ranbaxy Laboratories Ltd., GDR 18,600 356,804
Sanofi-Synthelabo SA 4,850 272,921
Sawai Pharmaceutical Co., Ltd. 14,500 348,578
Stada Arzneimittel AG 4,600 268,153
Takeda Chemical Industries Ltd. 13,000 464,189
Taro Pharmaceutical Industries Ltd. (a) 3,400 185,538
Teva Pharmaceutical Industries Ltd. ADR 14,600 837,164
------------
5,156,843
------------
Industrials (9.7%)
Airlines (1.2%)
Cathay Pacific Airways Ltd. 185,000 259,737
Singapore Airlines Ltd. 73,000 448,209
------------
707,946
------------
Commercial Services & Supplies (2.1%)
Amadeus Global Travel Distribution SA, Class A 140,900 941,641
Capita Group PLC 70,900 279,526
------------
1,221,167
------------
Industrial Conglomerates (2.1%)
Big C Supercenter Public Co., Ltd., NVDR 517,000 222,855
Burberry Group PLC 60,800 297,432
</Table>
See Accompanying Notes to Financial Statements.
67
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Industrial Conglomerates (continued)
JSC MMC Norilsk Nickel, ADR (a) 3,800 $ 142,690
Smiths Group PLC 47,500 559,519
------------
1,222,496
------------
Machinery (1.3%)
Atlas Copco AB, Class B 16,000 436,068
Linde AG 7,100 301,684
------------
737,752
------------
Transportation Infrastructure (3.0%)
Abertis Infraestructuras SA 30,945 416,394
BAA PLC 60,000 452,829
Cosco Pacific Ltd. 660,000 702,375
Zhejiang Expressway Co., Ltd., Class H 458,000 215,809
------------
1,787,407
------------
Information Technology (10.6%)
Communications Equipment (1.5%)
Nokia Oyj, ADR 21,000 321,300
Nortel Networks Corp. (a) 193,900 573,049
------------
894,349
------------
Electronic Equipment & Instruments (0.6%)
Keyence Corp. 2,000 372,680
------------
Information Technology Consulting & Services (1.1%)
Indra Sistemas SA 53,100 622,066
------------
Internet Software & Services (0.8%)
T-Online International AG (a) 42,100 442,131
------------
Office Electronics (1.6%)
Canon, Inc. 19,000 915,092
------------
Semiconductor Equipment & Products (4.3%)
ARM Holdings PLC (a) 200,100 286,581
Rohm Co., Ltd. 2,800 329,699
Samsung Electronics Co., Ltd. 1,350 475,731
Taiwan Semiconductor Manufacturing Co., Ltd.,
ADR (a) 69,876 698,760
Tokyo Electron Ltd. 12,400 727,988
------------
2,518,759
------------
Software (0.7%)
Dassault Systemes SA 12,352 425,925
------------
Materials (6.2%)
Construction Materials (1.3%)
Siam Cement Public Co., Ltd., NVDR 208,000 738,080
------------
</Table>
See Accompanying Notes to Financial Statements.
68
<Page>
<Table>
<Caption>
SHARES VALUE
--------- ------------
Common Stocks (continued)
Chemicals (1.0%)
L'Air Liquide SA 2,580 $ 402,512
Shin-Etsu Chemical Co., Ltd. 6,100 212,747
------------
615,259
------------
Containers & Packaging (0.9%)
Amcor Ltd. 92,300 500,631
------------
Metals & Mining (1.9%)
BHP Billiton Ltd. 65,500 415,470
BHP Billiton PLC 119,000 710,924
------------
1,126,394
------------
Paper & Forest Products (1.1%)
Stora Enso Oyj, Class R 36,500 458,344
UPM-Kymmene Oyj 12,000 195,706
------------
654,050
------------
Telecommunication Services (6.9%)
Diversified Telecommunication Services (2.8%)
PT Telekomunikasi Indonesia ADR 12,000 124,680
Telecom Italia S.p.A 64,900 549,634
Telefonica SA (a) 85,213 994,440
------------
1,668,754
------------
Wireless Telecommunication Services (4.1%)
NTT DoCoMo, Inc. 383 877,791
Vodafone Group PLC 790,928 1,501,858
------------
2,379,649
------------
Utilities (1.8%)
Electric Utilities (0.9%)
National Grid Transco PLC 87,000 540,401
------------
Gas Utilities (0.9%)
Centrica PLC 67,000 191,105
Snam Rete Gas S.p.A 91,000 349,562
------------
540,667
------------
Total Common Stocks
(Cost of $51,877,660) 56,117,752
------------
<Caption>
UNITS
---------
Warrants (0.2%)
Financials (0.2%)
Banks (0.2%)
Siam Commercial Bank Public Co., Ltd. (a)
Expires 06/22/04
(Cost of $148,273) 826,000 127,864
------------
</Table>
See Accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
PAR VALUE
----------- ------------
Short-Term Obligation (3.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 0.950%,
collateralized by a U.S. Treasury Bond
maturing 11/15/10, market value of $2,074,600
(repurchase proceeds $2,030,054)
(Cost of $2,030,000) $ 2,030,000 $ 2,030,000
------------
Total Investments (99.6%)
(Cost of $54,055,933) (c) 58,275,616
Other Assets & Liabilities, Net (0.4%) 212,077
------------
Net Assets (100.0%) $ 58,487,693
============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Security purchased on a when-issued basis.
(c) Cost for federal income tax purposes is $54,492,302.
<Table>
<Caption>
ACRONYM NAME
--------------- -------------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
NVDR Non-Voting Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
SUMMARY OF SECURITIES % OF TOTAL
BY COUNTRY (UNAUDITED) VALUE INVESTMENTS
- -------------------------------- ------------ -----------
United Kingdom $ 13,594,149 23.3%
Japan 11,432,706 19.6
Spain 4,196,336 7.2
France 3,867,188 6.6
Switzerland 3,177,594 5.5
Netherlands 2,616,720 4.5
Italy 2,491,653 4.3
Germany 2,403,332 4.1
United States* 2,371,420 4.1
Thailand 2,262,435 3.9
Mexico 1,075,721 1.8
Israel 1,022,702 1.8
Finland 975,351 1.7
Australia 916,101 1.6
Bermuda 702,375 1.2
Taiwan 698,760 1.2
India 642,260 1.1
Ireland 589,450 1.0
Canada 573,049 1.0
Denmark 563,390 1.0
South Korea 475,731 0.8
Singapore 448,209 0.8
Sweden 436,068 0.7
Hong Kong 259,737 0.4
China 215,809 0.4
Russia 142,690 0.2
Indonesia 124,680 0.2
------------ -----------
$ 58,275,616 100.0%
============ ===========
</Table>
* Includes short-term obligation.
See Accompanying Notes to Financial Statements.
71
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG MID CAP GROWTH FUND
Portfolios of CMG Fund Trust
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
<Caption>
CMG ENHANCED CMG
S&P 500(R) MID CAP
INDEX FUND GROWTH FUND
-------------- --------------
ASSETS:
Investments, at identified cost $ 9,472,297 $ 2,002,510
-------------- --------------
Investments, at value $ 9,573,472 $ 2,118,859
Cash 175 47,461
Cash denominated in foreign currency (cost of $193,169) - -
Receivable for:
Investments sold - 60,949
Capital stock sold 400,000 -
Interest 24 -
Dividends and foreign tax reclaims 8,723 319
Expense reimbursement due from investment advisor 4,181 4,650
Other assets - -
-------------- --------------
Total assets 9,986,575 2,232,238
-------------- --------------
LIABILITIES:
Payable for:
Investments purchased 837,320 55,245
Investment management fee 1,429 1,155
Trustees' fees 736 427
Audit fee 11,250 13,250
Deferred foreign taxes - -
Other liabilities 1,372 998
-------------- --------------
Total liabilities 852,107 71,075
-------------- --------------
NET ASSETS $ 9,134,468 $ 2,161,163
============== ==============
NET ASSETS consist of:
Paid-in capital $ 9,015,000 $ 2,042,300
Undistributed net investment income 14,758 -
Accumulated net realized gain (loss) 3,535 2,514
Net unrealized appreciation (depreciation) on:
Investments 101,175 116,349
Foreign currency translations - -
Foreign capital gains tax - -
-------------- --------------
NET ASSETS $ 9,134,468 $ 2,161,163
============== ==============
Shares of capital stock outstanding 851,673 197,710
============== ==============
Net asset value, offering and redemption price per share $ 10.73 $ 10.93
============== ==============
</Table>
See Accompanying Notes to Financial Statements.
72
<Page>
CMG MID CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG INTERNATIONAL STOCK FUND
<Table>
<Caption>
CMG CMG CMG CMG CMG
MID CAP SMALL/MID SMALL CAP SMALL CAP INTERNATIONAL
VALUE FUND CAP FUND GROWTH FUND VALUE FUND STOCK FUND
------------ ------------ ------------ ------------ ------------
ASSETS:
Investments, at identified cost $ 2,552,291 $ 60,351,367 $ 19,438,277 $ 19,538,259 $ 54,055,933
------------ ------------ ------------ ------------ ------------
Investments, at value $ 2,659,858 $ 73,690,888 $ 21,053,678 $ 21,470,105 $ 58,275,616
Cash 882 240 295 374 17
Cash denominated in foreign currency (cost of $193,169) - - - - 192,655
Receivable for:
Investments sold - 2,176,382 200,057 116,602 -
Capital stock sold - - - - -
Interest 4 12 20 11 54
Dividends and foreign tax reclaims 1,511 7,955 1,535 14,594 112,814
Expense reimbursement due from investment advisor 4,650 4,340 4,650 4,650 8,114
Other assets - 270 - - 1,232
------------ ------------ ------------ ------------ ------------
Total assets 2,666,905 75,880,087 21,260,235 21,606,336 58,590,502
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased - 1,887,487 226,105 222,208 -
Investment management fee 1,285 46,638 13,263 13,134 35,207
Trustees' fees 427 382 415 416 -
Audit fee 13,250 19,733 13,250 13,250 21,945
Deferred foreign taxes - - - - 45,657
Other liabilities 1,000 - 1,000 1,000 -
------------ ------------ ------------ ------------ ------------
Total liabilities 15,962 1,954,240 254,033 250,008 102,809
------------ ------------ ------------ ------------ ------------
NET ASSETS $ 2,650,943 $ 73,925,847 $ 21,006,202 $ 21,356,328 $ 58,487,693
============ ============ ============ ============ ============
NET ASSETS consist of:
Paid-in capital $ 2,539,150 $ 84,465,614 $ 18,592,735 $ 19,281,800 $ 62,966,136
Undistributed net investment income 1,986 25,825 - 26,809 352,135
Accumulated net realized gain (loss) 2,240 (23,905,113) 798,066 115,873 (9,004,814)
Net unrealized appreciation (depreciation) on:
Investments 107,567 13,339,521 1,615,401 1,931,846 4,219,683
Foreign currency translations - - - - 210
Foreign capital gains tax - - - - (45,657)
------------ ------------ ------------ ------------ ------------
NET ASSETS $ 2,650,943 $ 73,925,847 $ 21,006,202 $ 21,356,328 $ 58,487,693
============ ============ ============ ============ ============
Shares of capital stock outstanding 248,038 8,906,142 1,821,611 1,890,857 5,660,247
============ ============ ============ ============ ============
Net asset value, offering and redemption price per share $ 10.69 $ 8.30 $ 11.53 $ 11.29 $ 10.33
============ ============ ============ ============ ============
</Table>
73
<Page>
STATEMENTS OF OPERATIONS
For the Period Ended July 31, 2003
<Table>
<Caption>
CMG ENHANCED CMG
S&P 500(R) MID CAP
INDEX FUND (a) GROWTH FUND (a)
-------------- ---------------
NET INVESTMENT INCOME:
Income:
Dividends $ 16,159 $ 746
Interest 1,029 291
Other income - -
Foreign withholding tax - (41)
-------------- --------------
Total income 17,188 996
-------------- --------------
Expenses:
Investment management fee 2,429 2,671
Transfer agent fee - -
Trustees' fees 826 518
Custody fee - -
Audit fee 11,250 13,250
Legal fee 1,375 1,000
Other expenses - -
-------------- --------------
Total operating expenses 15,880 17,439
Expense reimbursement from investment advisor (13,450) (14,767)
Custody earnings credit - -
-------------- --------------
Net operating expenses 2,430 2,672
-------------- --------------
Net investment income (loss) 14,758 (1,676)
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 3,535 4,190
Foreign currency transactions - -
-------------- --------------
Net realized gain 3,535 4,190
-------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 101,175 116,349
Foreign currency translations - -
Foreign capital gains tax - -
-------------- --------------
Net change in unrealized appreciation/depreciation 101,175 116,349
-------------- --------------
Net gain 104,710 120,539
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 119,468 $ 118,863
-------------- --------------
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
(b) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
74
<Page>
CMG MID CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG INTERNATIONAL STOCK FUND
<Table>
<Caption>
CMG CMG CMG
MID CAP SMALL/MID SMALL CAP
VALUE FUND (a) CAP FUND (b) GROWTH FUND (a)
-------------- ------------- ---------------
NET INVESTMENT INCOME:
Income:
Dividends $ 4,525 $ 117,783 $ 4,047
Interest 316 14,962 3,231
Other income - 1,165 -
Foreign withholding tax - (2,083) (55)
-------------- -------------- --------------
Total income 4,841 131,827 7,223
-------------- -------------- --------------
Expenses:
Investment management fee 2,854 351,050 33,104
Transfer agent fee - 5,322 -
Trustees' fees 518 2,369 518
Custody fee - 6,018 -
Audit fee 13,250 18,668 13,250
Legal fee 1,000 4,735 1,000
Other expenses - 4,282 -
-------------- -------------- --------------
Total operating expenses 17,622 392,444 47,872
Expense reimbursement from investment advisor (14,767) (25,955) (14,767)
Custody earnings credit - (2) -
-------------- -------------- --------------
Net operating expenses 2,855 366,487 33,105
-------------- -------------- --------------
Net investment income (loss) 1,986 (234,660) (25,882)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 2,240 98,697 823,948
Foreign currency transactions - - -
-------------- -------------- --------------
Net realized gain 2,240 98,697 823,948
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 107,567 12,048,506 1,615,401
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation 107,567 12,048,506 1,615,401
-------------- -------------- --------------
Net gain 109,807 12,147,203 2,439,349
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 111,793 $ 11,912,543 $ 2,413,467
-------------- -------------- --------------
<Caption>
CMG CMG
SMALL CAP INTERNATIONAL
VALUE FUND (a) STOCK FUND (b)
-------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 57,074 $ 686,649
Interest 2,240 13,746
Other income - 24,082
Foreign withholding tax (21) (72,637)
-------------- --------------
Total income 59,293 651,840
-------------- --------------
Expenses:
Investment management fee 32,483 200,181
Transfer agent fee - 5,323
Trustees' fees 518 2,507
Custody fee - 27,767
Audit fee 13,250 22,520
Legal fee 1,000 3,208
Other expenses - 2,978
-------------- --------------
Total operating expenses 47,251 264,484
Expense reimbursement from investment advisor (14,767) (16,009)
Custody earnings credit - (93)
-------------- --------------
Net operating expenses 32,484 248,382
-------------- --------------
Net investment income (loss) 26,809 403,458
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 115,873 (1,899,379)
Foreign currency transactions - (50,852)
-------------- --------------
Net realized gain 115,873 (1,950,231)
-------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 1,931,846 5,820,875
Foreign currency translations - (4,706)
Foreign capital gains tax - (45,657)
-------------- --------------
Net change in unrealized appreciation/depreciation 1,931,846 5,770,512
-------------- --------------
Net gain 2,047,719 3,820,281
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 2,074,528 $ 4,223,739
-------------- --------------
</Table>
75
<Page>
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
STATEMENTS OF OPERATIONS
For the Year Ended October 31, 2002
<Table>
<Caption>
CMG CMG
SMALL/MID INTERNATIONAL
CAP FUND STOCK FUND
-------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 145,972 $ 370,183
Interest 77,530 12,298
Foreign withholding tax (192) (29,962)
-------------- --------------
Total income 223,310 352,519
-------------- --------------
Expenses:
Investment management fee 479,380 173,724
Transfer agent fee 18,000 18,000
Trustees' fees 1,762 241
Custody fee 25,215 49,928
Audit fee 18,700 27,000
Other expenses 5,810 34,962
-------------- --------------
Total operating expenses 548,867 303,855
Expense reimbursement from investment advisor (37,748) -
-------------- --------------
Net operating expenses 511,119 303,855
-------------- --------------
Net investment income (loss) (287,809) 48,664
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments (11,733,008) (3,468,760)
Foreign currency transactions - 44,506
Foreign capital gains tax - (8,860)
-------------- --------------
Net realized loss (11,733,008) (3,433,114)
-------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 1,504,894 56,567
Foreign currency translations - 11,667
-------------- --------------
Net change in unrealized appreciation/depreciation 1,504,894 68,234
-------------- --------------
Net loss (10,228,114) (3,364,880)
-------------- --------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (10,515,923) $ (3,316,216)
-------------- --------------
</Table>
See Accompanying Notes to Financial Statements.
76
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) MID CAP MID CAP
INDEX FUND GROWTH FUND VALUE FUND
----------------- ----------------- -----------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED
JULY 31, 2003 (a) JULY 31, 2003 (a) JULY 31, 2003 (a)
----------------- ----------------- -----------------
Operations:
Net investment income (loss) $ 14,758 $ (1,676) $ 1,986
Net realized gain on investments and foreign
currency transactions 3,535 4,190 2,240
Net change in unrealized appreciation/depreciation
on investments and foreign currency translations 101,175 116,349 107,567
-------------- -------------- --------------
Net increase from operations 119,468 118,863 111,793
Net capital share transactions 9,015,000 2,042,300 2,539,150
-------------- -------------- --------------
Net increase in net assets 9,134,468 2,161,163 2,650,943
NET ASSETS:
Beginning of period - - -
-------------- -------------- --------------
End of period $ 9,134,468 $ 2,161,163 $ 2,650,943
============== ============== ==============
Undistributed net investment income $ 14,758 $ - $ 1,986
============== ============== ==============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements.
77
<Page>
CMG SMALL/MID CAP FUND
CMG SMALL CAP GROWTH FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
SMALL/MID CAP SMALL CAP
FUND GROWTH FUND
--------------------------------------------------- -----------------
YEAR ENDED OCTOBER 31
PERIOD ENDED -------------------------------- PERIOD ENDED
JULY 31, 2003 (a) 2002 2001 (b) JULY 31, 2003 (c)
----------------- -------------- --------------- -----------------
Operations:
Net investment loss $ (234,660) $ (287,809) $ (112,466) $ (25,882)
Net realized gain (loss) on
investments and foreign
currency transactions 98,697 (11,733,008) (12,270,802) 823,948
Net change in unrealized
appreciation/depreciation
on investments and foreign
currency translations 12,048,506 1,504,894 (213,878) 1,615,401
-------------- -------------- -------------- --------------
Net increase (decrease)
from operations 11,912,543 (10,515,923) (12,597,146) 2,413,467
Net capital share transactions 7,244,525 15,893,745 61,988,103 18,592,735
-------------- -------------- -------------- --------------
Net increase in net assets 19,157,068 5,377,822 49,390,957 21,006,202
NET ASSETS:
Beginning of period 54,768,779 49,390,957 - -
-------------- -------------- -------------- --------------
End of period $ 73,925,847 $ 54,768,779 $ 49,390,957 $ 21,006,202
============== ============== ============== ==============
Undistributed net investment
income $ 25,825 $ 21,326 $ - $ -
============== ============== ============== ==============
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on December 1, 2000.
(c) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements.
78
<Page>
CMG SMALL CAP VALUE FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
SMALL CAP INTERNATIONAL
VALUE FUND STOCK FUND
----------------- ---------------------------------------------------
YEAR ENDED OCTOBER 31,
PERIOD ENDED PERIOD ENDED --------------------------------
JULY 31, 2003 (a) JULY 31, 2003 (b) 2002 2001
----------------- ----------------- -------------- --------------
Operations:
Net investment income $ 26,809 $ 403,458 $ 48,664 $ 61,683
Net realized gain (loss) on
investments and foreign
currency transactions 115,873 (1,950,231) (3,433,114) (3,611,973)
Net change in unrealized
appreciation/depreciation
on investments, foreign
currency translations and
foreign capital gains tax 1,931,846 5,770,512 68,234 (1,895,347)
-------------- -------------- -------------- --------------
Net increase (decrease)
from operations 2,074,528 4,223,739 (3,316,216) (5,445,637)
Distributions declared to shareholders:
From net investment income - (92,056) (69,418) -
From net realized gains - - - (3,805,346)
-------------- -------------- -------------- --------------
Total distributions declared
to shareholders - (92,056) (69,418) (3,805,346)
Net capital share transactions 19,281,800 33,740,397 3,448,057 6,829,402
-------------- -------------- -------------- --------------
Net increase in net assets 21,356,328 37,872,080 62,423 (2,421,581)
NET ASSETS:
Beginning of period - 20,615,613 20,553,190 22,974,771
-------------- -------------- -------------- --------------
End of period $ 21,356,328 $ 58,487,693 $ 20,615,613 $ 20,553,190
============== ============== ============== ==============
Undistributed net investment
income $ 26,809 $ 352,135 $ 84,225 $ 69,333
============== ============== ============== ==============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
(b) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
79
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Enhanced S&P 500(R) Index Fund, CMG Mid Cap Growth Fund, CMG Mid Cap Value
Fund, CMG Small/Mid Cap Fund (formerly CMC Small/Mid Cap Fund), CMG Small Cap
Growth Fund, CMG Small Cap Value Fund and CMG International Stock Fund (formerly
CMC International Stock Fund) (the "Funds") are portfolios of CMG Fund Trust
(formerly CMC Fund Trust) (the "Trust"), an open-end diversified investment
company registered under the Investment Company Act of 1940, as amended. The CMG
Enhanced S&P 500(R) Index Fund, CMG Mid Cap Growth Fund, CMG Mid Cap Value Fund,
CMG Small Cap Growth Fund and CMG Small Cap Value Fund became operational on
May 5, 2003.
The Trust has established five other operational portfolios, CMG Small Cap Fund,
CMG Strategic Equity Fund, CMG Fixed Income Securities Fund, CMG High Yield Fund
and CMG Short Term Bond Fund, which are not included in these financial
statements. Each portfolio issues a separate series of the Trust's shares and
maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end of the CMG International Stock Fund and CMG Small/Mid Cap Fund
from October 31 to July 31. The Funds' 2003 fiscal year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Funds in the preparation of their financial
statements.
INVESTMENT VALUATION. Equity securities are valued based on the last sale prices
reported by the principal securities exchanges on which the investments are
traded or, in the absence of recorded sales, at the closing bid prices on such
exchanges or over-the-counter markets. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded. Short-term fixed income obligations
with less than 60 days to maturity when purchased are valued at amortized cost,
which approximates market value. Investments for which market quotations are not
readily available will be valued at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees of the Trust. Foreign currency exchange rates and the value of foreign
securities are generally determined prior to the close of the New York Stock
Exchange. Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined and the
close of the customary trading session of the New York Stock Exchange, which
would not be reflected in the computation of the Funds' net asset value. If
events materially affecting the value of such securities and such exchange rates
occur during such period, then these securities and exchange rates will be
valued at their fair value as determined in good faith under procedures
established by and under the general supervision of the Board of Trustees of the
Trust.
REPURCHASE AGREEMENTS. The Funds may engage in repurchase agreement
transactions. The Funds, through their custodian, receive delivery of underlying
securities collateralizing repurchase agreements. The Funds' investment
80
<Page>
advisor determines that the value of the underlying securities is at all times
at least equal to the resale price. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral may
be subject to legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes. Securities purchased on a when-issued or forward-delivery basis
may be settled a month or more after trade date; interest income is not accrued
until settlement date. Each of the Funds will segregate liquid assets with a
current value at least equal to the amount of its when-issued purchase
commitments until settlement date.
INVESTMENT INCOME AND EXPENSES. Dividend income less foreign taxes withheld (if
any) is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend, if
such information is obtained subsequent to the ex-dividend date. Interest income
is recorded on the accrual basis. Expenses are recorded on the accrual basis and
each Fund bears expenses incurred specifically on its behalf as well as a
portion of general expenses incurred on behalf of the Trust and its underlying
portfolios.
FORWARD CURRENCY EXCHANGE CONTRACTS. Certain Funds may enter into forward
currency exchange contracts in connection with planned purchases or sales of
securities or to hedge the U.S. dollar value of the portfolio securities
denominated in a foreign currency. Contracts are valued at the prevailing
forward exchange rate of the underlying currencies. The gain or loss arising
from the difference between the original contract price and the closing price of
such contract is included in the net realized gains or losses from foreign
currency transactions. Fluctuations in the value of forward currency exchange
contracts are recorded for financial reporting purposes as unrealized gains or
losses. The Funds could be exposed to risks if counterparties to the forward
contracts are unable to meet the terms of their contracts or if the value of the
foreign currency changes unfavorably. The effect of any change in the value of a
hedged foreign currency would be offset by the corresponding change (resulting
from a change in exchange rates) in value of the securities denominated in that
currency. As of July 31, 2003, the Funds had no outstanding forward currency
exchange contracts.
FOREIGN CURRENCY TRANSLATIONS. The books and records of the Funds are maintained
in U.S. dollars. Foreign currencies, investments and other assets and
liabilities of the Funds are translated into U.S. dollars at the daily rates of
exchange on the valuation date. Purchases and sales of investment securities,
dividend and interest income and certain expenses are translated at the rates of
exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices on investments held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from the sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books and the U.S. dollar equivalents of the amounts actually received or
paid. Net unrealized foreign exchange gains or losses arise from changes in the
value of assets and liabilities, other than investments in securities, resulting
from changes in the exchange rate. Such transactions are shown separately on the
statement of operations.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared and paid annually. Distributions from any net realized gains
are generally declared and paid annually. Additional distributions of net
investment income and capital gains for each Fund may be made at the discretion
of the Board of Trustees in accordance with federal income tax regulations.
81
<Page>
FEDERAL INCOME TAXES. Each Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Funds.
Therefore, no federal income or excise tax provision is required.
FOREIGN CAPITAL GAINS TAXES. Realized gains in certain countries may be subject
to foreign taxes at the Fund level, at rates ranging from approximately 10% to
30%. The Funds provide for such foreign taxes on net realized and unrealized
gains at the appropriate rate for each jurisdiction.
OTHER. There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities. These
risks may involve foreign currency exchange rate fluctuations, adverse political
and economic developments and the possible prevention of currency exchange or
other foreign governmental laws or restrictions.
2. FEDERAL INCOME TAX:
Income and capital gain 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 treatments for deferral of losses from wash sales, net operating
losses, capital loss carryforwards, foreign currency transactions and real
estate investment trust adjustments. Reclassifications are made to the Funds'
capital accounts to reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
For the period ended July 31, 2003, permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN CAPITAL
-------------- -------------- --------------
CMG Mid Cap Growth Fund $ 1,676 $ (1,676) $ --
CMG Small/Mid Cap Fund 239,159 -- (239,159)
CMG Small Cap Growth Fund 25,882 (25,882) --
CMG International Stock Fund (43,492) 50,852 (7,360)
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
The tax character of distributions paid during the period ended July 31, 2003
and the years ended October 31, 2002 and October 31, 2001 was as follows:
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND
--------------------------------------------------
YEAR ENDED OCTOBER 31,
PERIOD ENDED --------------------------------
JULY 31, 2003 2002 2001
-------------- -------------- --------------
Distributions paid from:
Ordinary income $ 92,056 $ 69,418 $ --
Long-term capital gains -- -- 3,805,346
-------------- -------------- --------------
$ 92,056 $ 69,418 $ 3,805,346
============== ============== ==============
</Table>
82
<Page>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
-------------- -------------- --------------
CMG Enhanced S&P 500(R)
Index Fund $ 18,354 $ -- $ 101,114
CMG Mid Cap Growth Fund 6,799 -- 112,063
CMG Mid Cap Value Fund 4,318 -- 107,475
CMG Small/Mid Cap Fund -- -- 12,645,131
CMG Small Cap Growth Fund 802,119 -- 1,611,348
CMG Small Cap Value Fund 142,795 -- 1,931,733
CMG International Stock Fund 352,135 -- 3,783,524
</Table>
* The difference between book-basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and real
estate investment trust adjustments.
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
-------------------------------------------------------------
2009 2010 2011 TOTAL
------------- ------------- ------------- -------------
CMG Small/Mid Cap Fund $ 11,372,398 $ 11,756,670 $ 55,830 $ 23,184,898
CMG International Stock Fund 3,488,300 3,440,479 1,639,666 8,568,445
</Table>
Utilization of the capital loss carryforwards above could be significantly
limited under rules imposed by the Internal Revenue Code.
Expired capital loss carryforwards, if any, are recorded as a reduction of
paid-in capital.
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Funds, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Funds. The merger did not change the way the Funds are managed, the
investment personnel assigned to manage the Funds or the fees paid by the Funds.
Columbia is the investment advisor to the Funds. For CMG Enhanced S&P 500(R)
Index Fund, CMG Mid Cap Growth Fund, CMG Mid Cap Value Fund, CMG Small Cap
Growth Fund and CMG Small Cap Value Fund the investment management fee is a
unified fee. Out of the unified fee, Columbia pays all accounting expenses,
legal fees, transfer agent fees, custody fees and miscellaneous expenses of the
Funds. The unified fee does not include brokerage fees, taxes, Trustee's fees,
Trustee legal counsel fees, audit fees and interest expenses associated with any
borrowings by the Funds and extraordinary expenses. Effective March 1, 2003, CMG
International Stock Fund and CMG Small/Mid Cap Fund began accruing based on the
unified fee structure. Investment management fees are paid monthly to Columbia
at the following annual rates based on average daily net assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small/Mid Cap Fund 0.75%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
CMG International Stock Fund 0.75%
</Table>
83
<Page>
For the CMG Enhanced S&P 500(R) Index Fund, CMG Mid Cap Growth Fund, CMG Mid Cap
Value Fund, CMG Small Cap Growth Fund and CMG Small Cap Value Fund, Columbia has
contractually agreed to reimburse these Funds indefinitely, to the extent that
expenses incurred by these Funds, together with the advisory fee, exceed the
following annual rates based on each Fund's average daily net assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
</Table>
Effective March 1, 2003, Columbia contractually agreed to reimburse the CMG
Small/Mid Cap Fund and CMG International Stock Fund indefinitely, to the extent
that expenses incurred by these Funds, together with the advisory fee, exceed
0.75% of the Funds' average daily net assets. Prior to March 1, 2003, Columbia
contractually agreed to reimburse the CMG Small/Mid Cap Fund to the extent that
expenses incurred by the Fund, together with the advisory fee, exceed 0.80% of
the Fund's average daily net assets.
Trustees' fees and expenses are paid directly by each Fund to trustees having no
affiliation with the Funds other than their capacity as trustees. Other officers
and trustees received no compensation from the Funds.
The transfer agent for the Funds is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month. Effective March 1, 2003, the Funds
transfer agent fees are included in the unified fee.
Columbia is responsible for providing pricing and bookkeeping services to the
Funds under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Funds
are not charged a fee for these services.
OTHER. Prior to March 1, 2003, the CMG Small/Mid Cap Fund and CMG International
Stock Fund had an agreement with their custodian bank under which custody fees
of $2 and $93, respectively, were reduced by balance credits for the period
November 1, 2002 through February 28, 2003. The CMG Small/Mid Cap Fund and CMG
International Stock Fund could have invested a portion of the assets utilized in
connection with the expense offset arrangement in an income-producing asset if
it had not entered into such an agreement. Effective March 1, 2003, the custody
fees and balance credits are included in the unified fee.
4. INVESTMENT TRANSACTIONS:
As of July 31, 2003, for federal income tax purposes, net unrealized
appreciation (depreciation) on investments, was as follows:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
-------------- -------------- --------------
CMG Enhanced S&P 500(R)
Index Fund $ 300,603 $ (199,489) $ 101,114
CMG Mid Cap Growth Fund 158,507 (46,444) 112,063
CMG Mid Cap Value Fund 148,887 (41,412) 107,475
CMG Small/Mid Cap Fund 13,887,667 (1,242,536) 12,645,131
CMG Small Cap Growth Fund 2,213,403 (602,055) 1,611,348
CMG Small Cap Value Fund 2,224,178 (292,445) 1,931,733
CMG International Stock Fund 5,267,219 (1,483,905) 3,783,314
</Table>
84
<Page>
During the period ended July 31, 2003, purchases and sales of investments, other
than short-term obligations, were as follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
CMG Enhanced S&P 500(R)
Index Fund $ 8,696,897 $ 107,136
CMG Mid Cap Growth Fund 2,395,126 396,806
CMG Mid Cap Value Fund 2,449,935 44,885
CMG Small/Mid Cap Fund 58,472,123 50,963,699
CMG Small Cap Growth Fund 24,471,951 6,561,622
CMG Small Cap Value Fund 19,905,922 893,536
CMG International Stock Fund 52,302,261 19,797,754
</Table>
During the period ended July 31, 2003, purchases and sales of U.S. Government
securities were as follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
CMG Enhanced S&P 500(R)
Index Fund $ 89,735 $ --
</Table>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, each Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
CMG ENHANCED
S&P 500(R)
INDEX FUND
----------------
PERIOD ENDED
JULY 31, 2003 (a)
----------------
SHARES:
Shares sold 851,673
Shares issued for reinvestment of dividends --
Less shares redeemed --
------------
Net increase in shares 851,673
============
AMOUNTS:
Sales $ 9,015,000
Reinvestment of dividends --
Less redemptions --
------------
Net increase $ 9,015,000
============
</Table>
85
<Page>
<Table>
<Caption>
CMG MID CAP CMG MID CAP
GROWTH FUND VALUE FUND
----------------- ----------------
PERIOD ENDED PERIOD ENDED
JULY 31, 2003 (a) JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 197,710 248,038
Shares issued for reinvestment of dividends - -
Less shares redeemed - -
-------------- --------------
Net increase in shares 197,710 248,038
============== ==============
AMOUNTS:
Sales $ 2,042,300 $ 2,539,150
Reinvestment of dividends - -
Less redemptions - -
-------------- --------------
Net increase $ 2,042,300 $ 2,539,150
============== ==============
<Caption>
CMG SMALL/MID CAP FUND
-------------------------------------------------
YEAR ENDED OCTOBER 31,
PERIOD ENDED -------------------------------
JULY 31, 2003 (b) 2002 2001 (c)
----------------- -------------- --------------
SHARES:
Shares sold 1,296,527 2,797,021 6,370,886
Less shares redeemed (262,053) (1,096,189) (200,050)
-------------- -------------- --------------
Net increase in shares 1,034,474 1,700,832 6,170,836
============== ============== ==============
AMOUNTS:
Sales $ 9,106,124 $ 23,551,961 $ 63,886,904 (d)
Less redemptions (1,861,599) (7,658,216) (1,898,801)
-------------- -------------- --------------
Net increase $ 7,244,525 $ 15,893,745 $ 61,988,103
============== ============== ==============
<Caption>
CMG SMALL CAP CMG SMALL CAP
GROWTH FUND VALUE FUND
----------------- -----------------
PERIOD ENDED PERIOD ENDED
JULY 31, 2003 (a) JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 1,873,343 1,931,086
Shares issued for reinvestment of dividends -- --
Less shares redeemed (51,732) (40,229)
-------------- --------------
Net increase in shares 1,821,611 1,890,857
============== ==============
AMOUNTS:
Sales $ 19,177,304 $ 19,724,518
Reinvestment of dividends -- --
Less redemptions (584,569) (442,718)
-------------- --------------
Net increase $ 18,592,735 $ 19,281,800
============== ==============
</Table>
86
<Page>
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND
--------------------------------------------------
YEAR ENDED OCTOBER 31,
PERIOD ENDED -------------------------------
JULY 31, 2003 (b) 2002 2001 (c)
----------------- -------------- --------------
SHARES:
Shares sold 3,755,927 944,395 359,392
Shares issued for reinvestment of dividends 9,466 6,392 287,630
Less shares redeemed (317,061) (710,896) (93,552)
-------------- -------------- --------------
Net increase in shares 3,448,332 239,891 553,470
============== ============== ==============
AMOUNTS:
Sales $ 36,683,376 $ 10,312,316 $ 4,186,828
Reinvestment of dividends 86,707 69,418 3,805,346
Less redemptions (3,029,686) (6,933,677) (1,162,772)
-------------- -------------- --------------
Net increase $ 33,740,397 $ 3,448,057 $ 6,829,402
============== ============== ==============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
(b) The Fund has changed its fiscal year end from October 31 to July 31.
(c) The Fund commenced investment operations on December 1, 2000.
(d) Includes $20,397,942 of securities in an in-kind transfer.
6. LINE OF CREDIT:
The Funds are a party to a $100,000,000 uncommitted line of credit that covers
all the funds of the Trust together with the Columbia Funds, an affiliated group
of funds managed by the investment advisor. The uncommitted line of credit
expires on July 2, 2004. The Funds did not utilize the line of credit during the
period ended July 31, 2003.
7. BENEFICIAL INTEREST:
At July 31, the Funds had shareholders that held greater than 5% of the shares
outstanding. Investment activities of these shareholders may have a material
effect on the Funds. The number of shareholders greater than 5% and the
aggregate percentage of shares outstanding held were as follows:
<Table>
CMG Enhanced S&P 500(R) Index Fund 2 99.99%
CMG Mid Cap Growth Fund 3 99.95%
CMG Mid Cap Value Fund 3 99.96%
CMG Small/Mid Cap Fund 10 79.74%
CMG Small Cap Growth Fund 2 96.07%
CMG Small Cap Value Fund 2 96.66%
CMG International Stock Fund 4 83.80%
</Table>
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbent trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
87
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG ENHANCED S&P 500(R)
INDEX FUND, CMG MID CAP GROWTH FUND, CMG MID CAP VALUE FUND, CMG SMALL/MID CAP
FUND, CMG SMALL CAP GROWTH FUND, CMG SMALL CAP VALUE FUND AND CMG INTERNATIONAL
STOCK FUND
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 present fairly, in all
material respects, the financial position of CMG Enhanced S&P 500(R) Index Fund,
CMG Mid Cap Growth Fund, CMG Mid Cap Value Fund, CMG Small/Mid Cap Fund
(formerly CMC Small/Mid Cap Fund), CMG Small Cap Growth Fund, CMG Small Cap
Value Fund and CMG International Stock Fund (formerly CMC International Stock
Fund) (the "Funds"), seven of the portfolios of CMG Fund Trust (formerly CMC
Fund Trust), at July 31, 2003, and the results of each of their operations, the
changes in each of their net assets, and their financial highlights for 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 July
31, 2003 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
88
<Page>
Unaudited Information
FEDERAL INCOME TAX INFORMATION
CMG INTERNATIONAL STOCK FUND:
Foreign taxes paid during the fiscal year ended July 31, 2003, amounting to
$72,636 ($0.01 per share) are expected to be passed through to shareholders as
100% allowable foreign tax credits on Form 1099-DIV for the year ending
December 31, 2003.
Gross income derived from sources within foreign countries amounted to $652,864
($0.12 per share) for the fiscal year ended July 31, 2003.
For non-corporate shareholders 0.00% of income distributed by the Fund for the
year ended July 31, 2003 represent qualified dividend income subject to the 15%
income tax rate category.
89
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the funds' distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------- -------------- ------------------ ------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the
One Financial Center and Principal Liberty All-Star Funds since May 2002; Chief
Boston, MA 02111 Accounting Accounting Officer of the Liberty Funds and
(42 years old) Officer Liberty All-Star Funds since June 2001;
Controller and Chief Accounting Officer of the
Galaxy Funds since September 2002 (formerly Vice
President, Corporate Audit, State Street Bank
and Trust Company from May 1998 to April 2001;
Audit Manager from July 1994 to June 1997;
Senior Audit Manager from July 1997 to May 1998,
Coopers & Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star
245 Summer Street Financial December 2002 Funds, Stein Roe Funds and Galaxy Funds; Senior
Boston, MA 02110 Officer Vice President of Liberty Funds Group LLC. Prior
(39 years old) to his current positions, Mr. Connaughton was
Controller of Liberty Funds, Liberty All-Star
Funds and Stein Roe Funds; Vice President of
Liberty Funds Group LLC and Colonial Management
Associates, Inc.; Senior Tax Manager, Coopers &
Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and
1300 S.W. Sixth Avenue Assistant Chief Operating Officer-West Coast of the
Portland, OR 97201 Secretary Adviser. Prior to his current positions with the
(49 years old) Adviser, Mr. Curtis was President, Senior Vice
President and General Counsel of the Adviser.
Mr. Curtis is also currently the President of
Columbia Trust Company and Columbia Financial
Center Incorporated, affiliates of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice
1300 S.W. Sixth Avenue Investment President of the Adviser; Chief Investment
Portland, OR 97201 Officer and Officer and Senior Vice President of Columbia
(45 years old) Senior Vice Trust Company. Prior to his current positions
President with the Adviser, Mr. Johnson was Chief
Investment Officer and Vice President of the
Adviser.
</Table>
90
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------- -------------- ------------------ ------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating
One Financial Center Officer of Columbia Management Group, Inc. (the
Boston, MA 02111 parent of the Adviser) since December 2001;
(50 years old) Director, Executive Vice President and Chief
Operating Officer of the Adviser since April
2003; (formerly Chief Operations Officer of
Mutual Funds, Liberty Financial Companies, Inc.
from August 2000 to November, 2001; Executive
Vice President of Stein Roe & Farnham
Incorporated (Stein Roe) from April 1999 to
April 2003; Director of Colonial Management
Associates, Inc. from April 1999 to April 2003;
Director of Stein Roe from September 2000 to
April 2003); President of Liberty Funds since
February 2003; Manager of Stein Roe Floating
Rate Limited Liability Company since October
2000 (formerly Vice President of Liberty Funds
from April, 1999 to August 2000; Chief Operating
Officer and Chief Compliance Officer, Putnam
Mutual Funds from December 1993 to March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his
1300 S.W. Sixth Avenue current positions, Mr. Wentzien was Associate
Portland, OR 97201 Counsel of the Advisor.
(43 years old)
</Table>
91
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ------------------------- ----------- --------------------- --------------------- ---------------- ---------------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics, University
Economics of Washington, since
University of January 1976; Ford
Washington and Louisa Van
Seattle, WA 98195 Voorhis Professor of
(61 years old) Political Economy,
University of
Washington, since
September 1993;
Director, Institute
for Economic
Research, University
of Washington, since
September 2001;
Adjunct Professor of
Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and Banking,
since September 1993;
consultant on
econometric and
statistical matters.
</Table>
92
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ------------------------- ----------- --------------------- --------------------- ---------------- ---------------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins Coie 27 None
1211 S.W. 5th Avenue LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, The 27 The Regence Group,
100 S.W. Market St. #1500 Regence Group (a Regence BlueCross
Portland, OR 97207 healthcare BlueShield of Oregon;
(62 years old) maintenance NW Natural, a natural
organization). gas service provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
93
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-02/8490-0703 (09/03) C-03/019
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Funds distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEET BOSTON FINANCIAL COMPANY
CMG SHORT TERM BOND FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Short Term Bond
Fund. The Board of Trustees for CMG Short Term Bond Fund approved the change of
the fund's fiscal year end from October to July. As a result, this report covers
the nine-month period since the last annual report. The next report you will
receive will be a report for the six-month period through January 2004.
For the nine-month period ended July 31, 2003, the fund returned 1.91%. The fund
outperformed the Merrill Lynch 1-3 Government Index, which returned 1.40% during
the same period. However, its relatively short duration caused it to
underperform the Merrill Lynch 1-5 Government/Credit Index, which returned
2.86%. The fund's high-quality orientation held back results because lower
quality corporate bonds were the top performers over the time period.
The economy continued to experience a weak recovery, with gross domestic product
(GDP) rising by just 1.4% in the first quarter. Second-quarter GDP growth was
better, at 2.4%, but some of this improvement reflected a temporary spike in
defense spending. Business investment and industrial production were especially
sluggish throughout the period. The government has sought to stimulate the
economy by a three-pronged approach of reducing taxes, increasing the money
supply and lowering short-term interest rates. In late June, the Federal Reserve
lowered the fed funds rate-the overnight interest rate at which commercial
banks lend money to each other-by one quarter of a percentage point, to just
1.00%. In this environment, mortgage rates dropped to 45-year lows, and the
resulting wave of mortgage refinancing added to household income. As a result,
automobile sales have been strong, as has the housing market.
In the first half of 2003, yields on money market mutual funds, CDs and bank
deposits declined to historically low levels, and fixed-income investors sought
higher yields by moving into lower quality securities as well as securities with
longer maturities. While this trend toward risk-taking produced positive returns
for the fund's shareholders, the fund's conservative style limited the benefit
it could derive as compared to more aggressive funds. The CMG Short Term Bond
Fund holds only US dollar-denominated investment-grade securities and has an
average credit quality of AA+. Only 6% of the portfolio was invested in bonds
with BBB ratings. However, this conservative stance aided the fund's relative
performance in July, because interest rates moved up sharply. Yields on the
5-year Treasury bill moved from 2.08% to 3.22%. The fund's emphasis on high
quality and its relatively short duration enabled it to perform better than its
peer group during this extremely volatile month.
Overall, the yield differential between lower quality and investment grade bonds
has come down sharply, but we believe that corporate bonds still represent an
attractive value. As a result, we have maintained a market weight in the
corporate sector. We have worked to reduce the portfolio's exposure to risk by
increasing the number of individual corporate bond holdings.
1
<Page>
The fund has maintained its positions in high-quality mortgage-backed and
asset-backed securities, which provide higher yields than Treasuries without the
credit risk of lower-quality corporate bonds. The asset-backed sector did
especially well in the first quarter, then stabilized during the second quarter.
Mortgage pass-throughs were held back throughout this period by unusually high
refinancing activity. Refinancing causes a portion of the securities to prepay
instead of appreciating as interest rates move lower. The fund has sought to
lower its prepayment exposure by focusing on mortgages with lower coupons, and
has kept its duration short by investing in pass-throughs backed by 15-year
mortgages, which are less volatile than 30-year pass-throughs. Mortgage
refinancing activity began to slow as interest rates moved higher in July.
Many analysts and market observers expect economic growth to accelerate during
the second half of the year, possibly to the 3-4% level. Should the economy
improve to this extent, interest rates could be pushed higher. Some of this
anticipated upward move took place in July, but the continued possibility of
higher rates has led us to maintain a relatively low duration on the fund.
The fund's top ten holdings (as a percentage of net assets) as of July 31, 2003
(%):
<Table>
U.S. Treasury Bills, 1.17% 8/14/03 3.5
Federal National Mortgage Association, 4.50% TBA 3.3
SLM Student Loan Trust, 1.63% 1/25/14 2.5
Federal National Mortgage Association, 5.50% 2/1/18 2.3
SLM Student Loan Trust, 1.50% 1/25/10 2.3
Federal National Mortgage Association, 5.00% TBA 2.2
U.S. Treasury Inflation Indexed Bond, 3.63% 1/15/08 1.9
Federal Home Loan Mortgage Corp., 4.50% 11/1/07 1.8
Federal National Mortgage Association, 6.00% 5/1/09 1.7
Keycorp Student Loan Trust, 1.55% 8/27/25 1.5
</Table>
We appreciate your continued confidence in the CMG Short Term Bond Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are disclosed as of July 31, 2003, and are subject to change. Because
the fund is actively managed, there is no guarantee the fund will continue to
maintain the holdings breakdown listed. The fund's holdings and their weighting
within the portfolio may change as market conditions change.
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates; the
financial strength of issuers of lower-rated bonds and political and economic
developments.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 2, 1998 TO JULY 31, 2003
<Table>
<Caption>
CMG SHORT TERM BOND FUND MERRILL LYNCH 1-5 YEAR GOVERNMENT/CORPORATE BOND INDEX
2/2/1998 $ 10,000 $ 10,000
2/28/1998 $ 10,005 $ 9,998
3/31/1998 $ 10,040 $ 10,037
4/30/1998 $ 10,099 $ 10,084
5/31/1998 $ 10,168 $ 10,146
6/30/1998 $ 10,236 $ 10,205
7/31/1998 $ 10,279 $ 10,250
8/31/1998 $ 10,425 $ 10,399
9/30/1998 $ 10,563 $ 10,585
10/31/1998 $ 10,536 $ 10,619
11/30/1998 $ 10,561 $ 10,604
12/31/1998 $ 10,612 $ 10,643
1/31/1999 $ 10,691 $ 10,697
2/28/1999 $ 10,608 $ 10,600
3/31/1999 $ 10,688 $ 10,687
4/30/1999 $ 10,723 $ 10,723
5/31/1999 $ 10,687 $ 10,681
6/30/1999 $ 10,704 $ 10,712
7/31/1999 $ 10,695 $ 10,724
8/31/1999 $ 10,705 $ 10,745
9/30/1999 $ 10,815 $ 10,832
10/31/1999 $ 10,847 $ 10,857
11/30/1999 $ 10,875 $ 10,874
12/31/1999 $ 10,886 $ 10,876
1/31/2000 $ 10,879 $ 10,853
2/29/2000 $ 10,956 $ 10,930
3/31/2000 $ 11,046 $ 11,015
4/30/2000 $ 11,040 $ 11,023
5/31/2000 $ 11,075 $ 11,055
6/30/2000 $ 11,233 $ 11,200
7/31/2000 $ 11,316 $ 11,280
8/31/2000 $ 11,431 $ 11,385
9/30/2000 $ 11,543 $ 11,487
10/31/2000 $ 11,598 $ 11,539
11/30/2000 $ 11,743 $ 11,672
12/31/2000 $ 11,929 $ 11,841
1/31/2001 $ 12,094 $ 12,013
2/28/2001 $ 12,197 $ 12,106
3/31/2001 $ 12,295 $ 12,217
4/30/2001 $ 12,301 $ 12,224
5/31/2001 $ 12,386 $ 12,296
6/30/2001 $ 12,440 $ 12,341
7/31/2001 $ 12,639 $ 12,539
8/31/2001 $ 12,734 $ 12,630
9/30/2001 $ 12,918 $ 12,857
10/31/2001 $ 13,064 $ 13,008
11/30/2001 $ 12,973 $ 12,930
12/31/2001 $ 12,945 $ 12,903
1/31/2002 $ 13,010 $ 12,940
2/28/2002 $ 13,080 $ 13,021
3/31/2002 $ 12,995 $ 12,891
4/30/2002 $ 13,104 $ 13,068
5/31/2002 $ 13,205 $ 13,169
6/30/2002 $ 13,284 $ 13,284
7/31/2002 $ 13,352 $ 13,454
8/31/2002 $ 13,464 $ 13,568
9/30/2002 $ 13,588 $ 13,740
10/31/2002 $ 13,456 $ 13,739
11/30/2002 $ 13,452 $ 13,714
12/31/2002 $ 13,581 $ 13,924
1/31/2003 $ 13,599 $ 13,931
2/28/2003 $ 13,699 $ 14,054
3/31/2003 $ 13,724 $ 14,082
4/30/2003 $ 13,774 $ 14,145
5/31/2003 $ 13,888 $ 14,296
6/30/2003 $ 13,900 $ 14,315
7/31/2003 $ 13,713 $ 14,133
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2003 (%)
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund (02/02/98) 1.91 2.70 5.93 5.92
Merrill Lynch 1-5 Year Government/Corporate
Bond Index 2.86 5.05 6.64 6.50
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2003 (%)
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond Fund (02/02/98) 2.30 4.64 6.31 6.28
Merrill Lynch 1-5 Year Government/Corporate
Bond Index 4.19 7.77 7.01 6.86
</Table>
The fund's inception date is February 2, 1998, and index performance is from
January 31, 1998.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Total return performance is
for the periods ended July 31, 2003 and June 30, 2003. The principal value and
investment returns, will fluctuate, resulting in a gain or loss on sale. All
results shown assume reinvestment of distributions. The graph and table do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
The Merrill Lynch 1-5 Year Govt./Corp. Index is an unmanaged index that includes
all U.S. government debt with at least $100 million face value outstanding, as
well as investment grade rated corporate debt with at least $100 million
outstanding, with maturities between 1-5 years. Unlike mutual funds, indices are
not investments, do not incur fees and are not professionally managed. It is not
possible to invest directly in an index. Securities in the fund may not match
those in an index. Index performance is from January 31, 1998.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
3
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD PERIOD
ENDED YEAR ENDED OCTOBER 31, ENDED
JULY 31, -------------------------------------------------- OCTOBER 31,
2003(a) 2002 2001 2000 1999 1998(b)
--------- --------- --------- --------- --------- ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 12.15 $ 12.41 $ 11.73 $ 11.72 $ 12.09 $ 12.00
--------- --------- --------- --------- --------- ------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.34(c) 0.59(c)(d) 0.76 0.77 0.72 0.54
Net realized and unrealized
gain (loss) on investments (0.11) (0.22)(d) 0.68 0.01 (0.37) 0.09
--------- --------- --------- --------- --------- ------------
Total from investment
operations 0.23 0.37 1.44 0.78 0.35 0.63
--------- --------- --------- --------- --------- ------------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net investment income (0.37) (0.63) (0.76) (0.77) (0.72) (0.54)
From net realized gains - - - - -(e) -
--------- --------- --------- --------- --------- ------------
Total distributions (0.37) (0.63) (0.76) (0.77) (0.72) (0.54)
--------- --------- --------- --------- --------- ------------
NET ASSET VALUE, END OF
PERIOD $ 12.01 $ 12.15 $ 12.41 $ 11.73 $ 11.72 $ 12.09
========= ========= ========= ========= ========= ============
Total return (f)(g) 1.91%(h) 3.12% 12.62% 6.92% 2.96% 5.38%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 113,193 $ 140,757 $ 89,791 $ 82,809 $ 144,821 $ 42,692
Ratio of net expenses to
average net assets (i)(j) 0.25%(k) 0.25% 0.25% 0.25% 0.25% 0.25%(k)
Ratio of interest expense to
average net assets -(k)(l) - - - - -
Ratio of net investment income
to average net assets (i)(j) 3.79%(k) 4.73%(d) 6.27% 6.56% 6.22% 5.97%(k)
Waiver/reimbursement (i) 0.08%(k) 0.05% 0.08% 0.08% 0.07% 0.13%(k)
Portfolio turnover rate 93%(h) 132% 82% 86% 128% 132%(h)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on February 2, 1998. Per share
data, total return and portfolio turnover reflect activity from that date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the period ended October 31, 2002, was to decrease net investment
income per share by $0.04, decrease net realized and unrealized loss per
share by $0.04 and decrease ratio of net investment income to average net
assets from 5.08% to 4.73%. Per share data and ratios for periods prior to
October 31, 2002 have not been restated to reflect this change in
presentation.
(e) Rounds to less than $0.01 per share.
(f) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(g) Total return at net asset value assuming all distributions reinvested.
(h) Not annualized.
(i) The investment advisor has contractually agreed to reimburse ordinary
expenses of the Fund, to the extent that these expenses, together with the
Fund's advisory fee, exceed 0.25% of the Fund's average daily net assets.
(j) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(k) Annualized.
(l) Rounds to less than 0.01%.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
U.S. Government& Agency Securities (18.7%)
U.S. Treasury Note & Bond (1.9%)
U.S. Treasury Inflation Index Bond
3.625% 01/15/2008 $ 2,016,223 $ 2,202,094
--------------
U.S. Agency Bonds (3.7%)
Federal Home Loan Mortgage Corp. (FHLMC)
4.500% 11/01/2007 1,978,359 2,016,438
5.500% 09/01/2017 - 12/01/2017 2,130,013 2,171,028
--------------
4,187,466
--------------
Federal National Mortgage Association (FNMA) (9.7%)
5.500% 02/01/2018 2,600,002 2,650,936
6.000% 03/01/2009 - 05/01/2009 2,033,525 2,085,807
To Be Announced
4.500% 08/18/2018(a) 3,820,000 3,719,725
5.000% 08/18/2018(a) 2,500,000 2,496,100
--------------
10,952,568
--------------
Agency Collateralized Mortgage Obligations (1.9%)
FHLMC GNMA Multiclass Mtg. Partn. Ctfs.
Gtd. Series 24 Cl. J
6.250% 11/25/2023 420,000 443,527
FHLMC Multiclass Mtg. Partn. Ctfs.
Gtd. Series 2462 Cl. JE
6.500% 11/15/2030 680,000 700,769
FNMA 2003-92 FA
1.650% 09/30/2033 1,000,000 1,000,938
--------------
2,145,234
--------------
Other Government Agencies (1.5%)
A.I.D., Morocco
1.125% 05/01/2023 (b) 400,000 396,000
Small Business Administration
1.625% 10/25/2021 - 06/25/2022 (b) 685,249 686,253
1.750% 07/25/2021 - 11/25/2021 (b) 152,728 152,909
2.125% 01/25/2017 (b) 397,322 401,300
--------------
1,636,462
--------------
Total U.S. Government& Agency Securities
(Cost of $21,413,983) 21,123,824
--------------
Corporate Notes& Bonds (34.6%)
Financials (15.5%)
American General Finance Corp.
5.375% 09/01/2009 250,000 263,369
American International Group, Inc.
2.875% 05/15/2008 (c) 1,200,000 1,152,031
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Corporate Notes & Bonds (continued)
Financials (continued)
AXA Financial, Inc.
9.000% 12/15/2004 $ 525,000 $ 570,922
Bank of America Corp.
6.625% 10/15/2007 1,000,000 1,112,031
Bank One Corp.
2.625% 06/30/2008 750,000 703,457
CIT Group, Inc.
7.625% 08/16/2005 250,000 274,753
Citigroup, Inc.
6.750% 12/01/2005 950,000 1,044,378
Ford Motor Credit Co.
7.375% 10/28/2009 1,085,000 1,109,044
FPL Group Capital, Inc.
6.875% 06/01/2004 750,000 781,899
General Electric Capital Corp.
4.250% 01/15/2008 1,450,000 1,482,486
General Motors Acceptance Corp.
4.500% 07/15/2006 625,000 626,611
Goldman Sachs Group, Inc.
4.125% 01/15/2008 325,000 329,457
Health Care Property Investors, Inc.
6.875% 06/08/2005 500,000 529,593
Household Finance Corp.
6.400% 06/17/2008 475,000 521,706
J.P. Morgan Chase & Co.
3.625% 05/01/2008 600,000 592,060
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 550,000 554,363
Merrill Lynch & Co., Inc.
2.470% 03/10/2006 700,000 695,617
Morgan Stanley
6.100% 04/15/2006 650,000 704,708
SLM Corp.
5.625% 04/10/2007 800,000 857,589
US Bancorp
3.125% 03/15/2008 1,000,000 973,372
Wachovia Corp.
4.950% 11/01/2006 850,000 907,752
Washington Mutual, Inc.
5.625% 01/15/2007 600,000 648,608
Wells Fargo & Co.
7.250% 08/24/2005 980,000 1,080,270
--------------
17,516,076
--------------
Health Care (1.5%)
Anthem, Inc.
4.875% 08/01/2005 475,000 496,958
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Corporate Notes & Bonds (continued)
Health Care (continued)
WellPoint Health Networks, Inc.
6.375% 06/15/2006 $ 600,000 $ 660,863
Wyeth
6.250% 03/15/2006 500,000 545,212
--------------
1,703,033
--------------
Industrial (13.0%)
Anadarko Petroleum Corp.
3.250% 05/01/2008 650,000 631,127
AT&T Corp.
7.000% 11/15/2006 350,000 387,178
Boeing Co.
8.100% 11/15/2006 525,000 600,441
ChevronTexaco Capital Co.
3.500% 09/17/2007 500,000 502,819
Coca-Cola Enterprises, Inc.
8.000% 01/04/2005 925,000 1,003,065
Costco Wholesale Corp.
5.500% 03/15/2007 975,000 1,052,194
Cox Enterprises, Inc.
8.000% 02/15/2007 (c) 475,000 541,295
DaimlerChrysler N.A. Holding Corp.
4.750% 01/15/2008 300,000 299,101
Deutsche Telekom International Finance BV
8.500% 06/15/2010 275,000 324,554
Devon Energy Corp.
2.750% 08/01/2006 550,000 546,749
Honeywell International, Inc.
5.125% 11/01/2006 475,000 508,950
International Business Machines Corp.
4.250% 09/15/2009 680,000 680,583
Jones Intercable, Inc.
7.625% 04/15/2008 500,000 560,450
Kroger Co.
7.650% 04/15/2007 275,000 309,299
Lockheed Martin Corp.
7.700% 06/15/2008 475,000 553,186
Lowe's Companies, Inc.
7.500% 12/15/2005 500,000 559,205
Marathon Oil Corp.
5.375% 06/01/2007 500,000 531,624
Newell Rubbermaid, Inc.
2.000% 05/01/2005 600,000 597,895
Occidental Petroleum Corp.
4.250% 03/15/2010 425,000 417,757
Procter & Gamble Co.
4.750% 06/15/2007 675,000 709,026
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Time Warner, Inc.
7.975% 08/15/2004 $ 425,000 $ 446,662
Union Pacific Corp.
3.875% 02/15/2009 325,000 317,622
United Technologies Corp.
4.875% 11/01/2006 900,000 953,150
Verizon Global Funding Corp.
7.600% 03/15/2007 825,000 941,724
Wal-Mart Stores
4.375% 07/12/2007 750,000 780,125
--------------
14,755,781
--------------
Utilities (2.1%)
Alabama Power Co.
3.125% 05/01/2008 725,000 706,695
Dominion Resources, Inc.
2.800% 02/15/2005 700,000 703,395
Kinder Morgan Energy Partners L.P.
8.000% 03/15/2005 585,000 638,551
Progress Energy, Inc.
5.850% 10/30/2008 300,000 317,951
--------------
2,366,592
--------------
International (2.5%)
Ontario Province
6.000% 02/21/2006 700,000 761,796
Quebec Province
6.500% 01/17/2006 600,000 659,026
7.000% 01/30/2007 85,000 96,168
Republic of Italy
2.500% 03/31/2006 750,000 751,866
United Mexican States
4.625% 10/08/2008 505,000 502,475
--------------
2,771,331
--------------
Total Corporate Notes & Bonds
(Cost of $38,103,577) 39,112,813
--------------
Other Securitized Loans (30.4%)
Asset Backed Securities (17.0%)
ABFS Mortgage Loan Trust
Series 1997-2 Cl. A5
7.125% 01/15/2029 269,975 286,001
Advanta Mortgage Loan Trust
Series 1994-1 Cl. A2
6.300% 07/25/2025 87,955 87,929
AmeriCredit Automobile Receivables Trust
Series 2002-EM Cl. A3A
2.970% 03/06/2007 1,255,000 1,277,608
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Other Securitized Loans (continued)
Asset Backed Securities (continued)
Cityscape Home Equity Loan Trust
Series 1996-3 Cl. A8
7.650% 09/25/2025 $ 1,369,834 $ 1,369,427
Series 1997-B Cl. A7
7.410% 05/25/2028 254,488 259,038
Series 1997-3 Cl. A5
7.890% 07/25/2018 475,141 496,813
Series 1997-4 Cl. A4
7.440% 10/25/2018 301,946 312,884
ContiMortgage Home Equity Loan Trust
Series 1997-3 Cl. A8
7.580% 08/15/2028 1,061,422 1,061,401
Green Tree Financial Corp.
Series 1996-4 Cl. A7
7.900% 06/15/2027 1,117,895 1,126,711
IMC Home Equity Loan Trust
Series 1995-3 Cl. A5
7.500% 04/25/2026 1,280,000 1,279,619
Series 1997-3 Cl. A6
7.520% 08/20/2028 143,563 147,648
KeyCorp Student Loan Trust
Series 1996-A Cl. A2
1.545% 08/27/2025 (b) 1,704,209 1,716,838
Lehman Home Equity Loan Trust
Series 1996-3 Cl. A2
1.336% 12/15/2027 (b) 340,399 339,044
Merit Securities Corp.
Series 13 Cl. A4
7.880% 12/28/2033 1,215,000 1,175,011
Oakwood Mortgage Investors, Inc.
Series 2000-D Cl. A4
7.400% 07/15/2030 375,000 335,625
SLM Student Loan Trust
Series 1997-2 Cl. A2
1.495% 01/25/2010 (b) 2,572,587 2,583,772
Series 1997-3 Cl. A2
1.535% 10/25/2010 (b) 1,084,122 1,091,117
Series 1997-4 Cl. A2
1.645% 10/25/2010 (b) 1,087,815 1,098,657
Series 1998-2 Cl. A2
1.625% 01/25/2014 (b) 2,787,803 2,813,613
UCFC Home Equity Loan Trust
Series 1998-D Cl. AF7
6.315% 04/15/2030 447,721 468,434
--------------
19,327,190
--------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Other Securitized Loans (continued)
Collateralized Mortgage Obligations (11.9%)
Bear Stearns Asset Backed Securities, Inc.
Series 2002-AC3 Cl. A2
5.490% 08/25/2026 $ 329,177 $ 329,747
Series 2003-AC2 Cl. A3
3.500% 06/25/2033 1,321,249 1,305,314
Countrywide Home Loans
Series 2002-5 Cl. 2A1
6.000% 04/25/2017 622,183 630,962
Series 2002-16 Cl. 1A1
6.500% 09/25/2032 299,434 300,381
First Nationwide Trust
Series 2000-1 CL 2A3
8.000% 10/25/2030 490,906 495,189
NationsLink Funding Corp.
Series 1999-Sl Cl. A5
6.888% 05/10/2007 500,000 553,884
Norwest Asset Securities Corp.
Series 1998-31 Cl. A1
6.250% 01/25/2014 191,616 194,179
Ocwen Residential MBS Corp.
Series 1998-R1 Cl. A1
7.000% 10/25/2040 (c) 648,132 657,092
PNC Mortgage Securities Corp.
Series 1996-PR1 Cl. A
5.929% 04/28/2027 (b) 172,081 173,397
Series 1998-12 Cl. 4A5
6.475% 01/25/2029 133,462 134,905
Residential Asset Securitization Trust
Series 1998-A3 Cl. A
6.500% 04/25/2013 446,783 451,655
Series 1999-A1 Cl. A1
6.750% 03/25/2029 231,152 232,222
Series 2002-A1 Cl. A2
5.350% 09/25/2026 380,404 380,754
Series 2002-A1 Cl. A4
6.590% 01/25/2030 (b) 1,500,000 1,533,533
Series 2002-A5 Cl. A2
5.820% 01/25/2027 889,423 891,103
Residential Funding Mortgage Securities I, Inc.
Series 1999-S25 Cl. A1
6.750% 12/25/2014 215,471 218,325
Series 2002-S15 Cl. A2
5.400% 09/25/2023 823,862 833,159
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------ --------------
Other Securitized Loans (continued)
Collateralized Mortgage Obligations (continued)
Saco I, Inc.
Series 1997-2 Cl. A5
7.000% 08/25/2036 (c) $ 920,000 $ 935,441
Structured Asset Securities Corp.
Series 1999-1 Cl. 2A6
6.500% 03/25/2029 522,818 533,854
Washington Mutual Mortgage Securities Corp.
Series 2003-MS5 Cl. 1A4
1.535% 03/25/2018 (b) 1,698,955 1,701,308
Series 2003-S4 Cl. 1A3
1.810% 06/25/2018 (b) 943,117 943,914
--------------
13,430,318
--------------
Commercial Mortgage Backed Securities (1.5%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.606% 06/15/2013 (b)(c) 1,113,889 1,113,067
Nomura Asset Securities Corp.
Series 1996-MD5 Cl. A1B
7.120% 04/13/2039 530,000 582,860
--------------
1,695,927
--------------
Total Other Securitized Loans
(Cost of $34,268,523) 34,453,435
--------------
Short-Term Obligations (17.5%)
U.S. Treasury Bill (3.5%)
1.165% 08/14/2003 4,000,000 3,998,447
--------------
Repurchase Agreement (14.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 0.950%,
collateralized by a U.S. Treasury Note
maturing 08/15/08, market value of $16,189,185
(repurchase proceeds $15,867,419) 15,867,000 15,867,000
--------------
Total Short-Term Obligations
(Cost of $19,865,447) 19,865,447
--------------
Total Investments (101.2%)
(Cost of $113,651,530) (d) 114,555,519
Other Assets & Liabilities, Net (-1.2%) (1,362,579)
--------------
Net Assets (100.0%) $ 113,192,940
==============
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
Notes to Schedule of Investments:
(a) This security, or a portion thereof, has been purchased on a delayed
delivery basis whereby the terms that are fixed are the purchase price,
interest rate and settlement date. The exact quantity purchased may be
slightly more or less than the amount shown.
(b) Variable rate security - the rate reported is the current rate in effect.
(c) This security is exempt from registration under Rule 144A of the Securities
Act of 1933 and may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At July 31, 2003, the value of
these securities amounted to $4,398,926 which represents 3.9% of net assets.
(d) Cost for federal income tax purposes is $113,873,359.
See Accompanying Notes to Financial Statements.
12
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
ASSETS:
Investments, at identified cost (including repurchase agreement) $ 113,651,530
--------------
Investments, at value $ 98,688,519
Repurchase agreement 15,867,000
Cash 994
Receivable for:
Investments sold 794,226
Capital stock sold 5,543,239
Interest 680,480
Expense reimbursement due from investment advisor 18,662
Other assets 34,755
--------------
Total Assets 121,627,875
--------------
LIABILITIES:
Payable for:
Investments purchased 1,886,740
Investments purchased on a delayed delivery basis 6,467,173
Dividends 18,029
Investment management fee 25,151
Transfer agent fee 3,766
Trustees' fees 1,378
Audit fee 24,860
Reports to shareholders 5,035
Other liabilities 2,803
--------------
Total Liabilities 8,434,935
--------------
NET ASSETS $ 113,192,940
==============
NET ASSETS consist of:
Paid-in capital $ 115,431,614
Overdistributed net investment income (226,765)
Accumulated net realized loss (2,915,898)
Net unrealized appreciation on investments 903,989
--------------
NET ASSETS $ 113,192,940
==============
Shares of capital stock outstanding 9,421,221
==============
Net asset value, offering and redemption price per share $ 12.01
==============
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
STATEMENTS OF OPERATIONS
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ----------------
NET INVESTMENT INCOME:
Interest $ 3,944,145 $ 6,974,368
---------------- ----------------
Expenses:
Investment management fee 244,051 350,367
Transfer agent fee 13,589 18,000
Trustees' fee 2,711 3,582
Custody fee 5,874 10,859
Audit fee 26,658 18,125
Other expenses 29,028 23,732
---------------- ----------------
Total expenses 321,911 424,665
Expense reimbursement by investment advisor (78,347) (72,236)
Custody earnings credit (163) -
---------------- ----------------
Net operating expenses 243,401 352,429
Interest expense 649 -
---------------- ----------------
Net expenses 244,050 352,429
---------------- ----------------
Net investment income 3,700,095 6,621,939
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investments 2,198,748 (2,162,083)
Net change in unrealized appreciation/depreciation on investments (2,821,216) 67,269
---------------- ----------------
Net loss (622,468) (2,094,814)
---------------- ----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 3,077,627 $ 4,527,125
---------------- ----------------
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
14
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED -----------------------------
JULY 31, 2003(a) 2002 2001
---------------- ------------- -------------
Operations:
Net investment income $ 3,700,095 $ 6,621,939 $ 5,181,142
Net realized gain (loss) on investments 2,198,748 (2,162,083) 988,510
Net change in unrealized appreciation/depreciation
on investments (2,821,216) 67,269 3,767,046
---------------- ------------- -------------
Net increase from operations 3,077,627 4,527,125 9,936,698
Distributions declared to shareholders:
From net investment income (4,009,769) (7,115,313) (5,181,142)
---------------- ------------- -------------
Net capital share transactions (26,631,502) 53,553,765 2,226,463
---------------- ------------- -------------
Net increase (decrease) in net assets (27,563,644) 50,965,577 6,982,019
NET ASSETS:
Beginning of period 140,756,584 89,791,007 82,808,988
---------------- ------------- -------------
End of period $ 113,192,940 $ 140,756,584 $ 89,791,007
================ ============= =============
Overdistributed net investment income $ (226,765) $ (339,254) $ -
================ ============= =============
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
15
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Short Term Bond Fund (formerly CMC Short Term Bond Fund) (the "Fund") is a
portfolio of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end
diversified investment company registered under the Investment Company Act of
1940, as amended.
The Trust has established eleven other operational portfolios, CMG Small Cap
Fund (formerly CMC Small Cap Fund), CMG Small/Mid Cap Fund (formerly CMC
Small/Mid Cap Value Fund), CMG International Stock Fund (formerly CMC
International Stock Fund), CMG Enhanced S&P 500 Index Fund, CMG Mid Cap Growth
Fund, CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG Small Cap Value
Fund, CMG Fixed Income Securities Fund (formerly CMC Fixed Income Securities
Fund), CMG High Yield Fund (formerly CMC High Yield Fund) and CMG Strategic
Equity Fund (formerly CMC Strategic Equity Fund), which are not included in
these financial statements. Each portfolio issues a separate series of the
Trust's shares and maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end of the Fund from October 31 to July 31. Accordingly, the Fund's
2003 fiscal year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on market
value as quoted by dealers who are market makers in these securities, by
independent pricing services, or by the investment advisor using a methodology
approved by the Board of Trustees. Investment securities with less than 60 days
to maturity when purchased are valued at amortized cost, which approximates
market value. Investment securities for which market quotations are not readily
available will be valued at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes.
Securities purchased on a when-issued or forward-delivery basis may settle a
month or more after trade date; interest income is not accrued until settlement
date. It is the Fund's policy to segregate liquid assets with a current value at
least equal to the amount of its when-issued purchase commitments until
settlement date.
INVESTMENT INCOME AND EXPENSES. Interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis and the Fund bears expenses
incurred specifically on its behalf as well as a portion of general expenses
incurred on behalf of the Trust and its underlying portfolios.
16
<Page>
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared daily and paid monthly. Distributions from any net realized
gains are generally declared and paid annually. Additional distributions of net
investment income and capital gains for the Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner which results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
PREMIUM AND DISCOUNT AMORTIZATION. The Fund amortizes premium and accretes
discount on all debt securities.
2. FEDERAL INCOME TAX:
Income and capital gain 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 treatments for deferral of losses from wash sales, discount
accretion/premium amortization on debt securities, current year distribution
payable and capital loss carryforwards. Reclassifications are made to the Fund's
capital accounts to reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
For the period ended July 31, 2003, permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
OVERDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME LOSS CAPITAL
--------------- ------------ ---------
$ 422,163 $ (390,971) $ (31,192)
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
17
<Page>
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal years ended October 31, 2002 and October 31, 2001, was as
follows:
<Table>
<Caption>
YEAR ENDED
PERIOD ENDED ------------------------------------
JULY 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2001
------------- ---------------- ----------------
Ordinary Income $ 4,009,769 $ 7,115,313 $ 5,181,142
</Table>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
------------- ------------- -------------
$ - $ - $ 682,160
</Table>
*The difference between book-basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and discount
accretion/premium amortization on debt securities.
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRY FORWARDS
--------------
YEAR OF EXPIRATION
2008 $ 537,548
2010 2,365,257
-------------
$ 2,902,805
=============
</Table>
Utilization of the capital loss carryforwards above could be significantly
limited under rules imposed by the Internal Revenue Code.
Expired capital loss carryforwards, if any, are recorded as a reduction of a
paid-in capital.
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Fund, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect,
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Fund. The merger did not change the way the Fund is managed, the investment
personnel assigned to manage the Fund or the fees paid by the Fund.
Columbia is the investment advisor of the Fund. Investment management fees are
paid monthly to Columbia by the Fund. The fees are based on an annual rate of
0.25% of the Fund's average daily net assets.
Columbia has contractually agreed, through October 31, 2004, to reimburse
ordinary expenses (expenses incurred throughout the ordinary course of business)
of the Fund, to the extent that these expenses, together with the Fund's
advisory fee, exceed 0.25% of the Fund's average daily net assets.
18
<Page>
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than their capacity as trustees. Other officers
and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $163 of
custody fees were reduced by balance credits for the period ended July 31, 2003.
The Fund could have invested a portion of the assets utilized in connection with
the expense offset arrangement in an income-producing asset if it had not
entered into such an agreement.
4. INVESTMENT TRANSACTIONS:
As of July 31, 2003, for federal income tax purposes, net unrealized
appreciation (depreciation) on investments were as follows:
<Table>
Gross unrealized appreciation $ 1,648,769
Gross unrealized depreciation (966,609)
-----------
Net unrealized appreciation $ 682,160
===========
</Table>
For the period ended July 31, 2003, purchases, sales and maturities of long-term
securities were as follows:
<Table>
<Caption>
SALES AND
PURCHASES MATURITIES
------------- -------------
Investment securities other than
U.S Government obligations $ 41,474,921 $ 64,908,437
U.S. Government obligations 68,729,953 83,301,372
------------- -------------
Total $ 110,204,874 $ 148,209,809
============= =============
</Table>
19
<Page>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
YEAR ENDED
PERIOD ENDED -----------------------------------
JULY 31, 2003(a) OCTOBER 31, 2002 OCTOBER 31, 2001
---------------- ---------------- ----------------
SHARES:
Shares sold 4,425,228 7,604,040 1,315,054
Shares issued for reinvested of distributions 318,466 574,008 428,341
Less shares redeemed (6,910,326) (3,823,461) (1,569,944)
---------------- ---------------- ----------------
Net increase (decrease) (2,166,632) 4,354,587 173,451
================ ================ ================
AMOUNTS:
Sales $ 53,909,699 $ 93,097,391 $ 15,953,301
Reinvestment of distributions 3,872,033 7,003,463 5,181,142
Less redemptions (84,413,234) (46,547,089) (18,907,980)
---------------- ---------------- ----------------
Net increase (decrease) $ (26,631,502) $ 53,553,765 $ 2,226,463
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2004. For the period ended July 31, 2003, the average daily loan
balance outstanding on days where borrowing existed was $12,900,000 at a
weighted average interest rate of 1.81%.
7. BENEFICIAL INTEREST:
At July 31, 2003, 71.21% of the outstanding shares of the Fund were held by six
shareholders, each holding in excess of 5% of the Fund's shares outstanding.
Investment activity of these shareholders may have a material effect on the
Fund.
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbent trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
20
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG SHORT TERM BOND FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Short Term Bond Fund (formerly
CMC Short Term Bond Fund) (the "Fund"), one of the portfolios of CMG Fund Trust
(formerly CMC Fund Trust), at July 31, 2003, and the results of its operations,
the changes in its net assets and the financial highlights for 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
Fund's 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 July 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
21
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the fund's distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------- -------------- ------------------ --------------------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the Liberty All-Star
One Financial Center and Principal Funds since May 2002; Chief Accounting Officer of the Liberty
Boston, MA 02111 Accounting Funds and Liberty All-Star Funds since June 2001; Controller
(42 years old) Officer and Chief Accounting Officer of the Galaxy Funds since
September 2002 (formerly Vice President, Corporate Audit,
State Street Bank and Trust Company from May 1998 to April
2001; Audit Manager from July 1994 to June 1997; Senior Audit
Manager from July 1997 to May 1998, Coopers & Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star Funds, Stein Roe
245 Summer Street Financial December 2002 Funds and Galaxy Funds; Senior Vice President of Liberty Funds
Boston, MA 02110 Officer Group LLC. Prior to his current positions, Mr. Connaughton was
(39 years old) Controller of Liberty Funds, Liberty All-Star Funds and Stein
Roe Funds; Vice President of Liberty Funds Group LLC and
Colonial Management Associates, Inc.; Senior Tax Manager,
Coopers & Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and Chief
1300 S.W. Sixth Avenue Assistant Operating Officer-West Coast of the Adviser. Prior to his
Portland, OR 97201 Secretary current positions with the Adviser, Mr. Curtis was President,
(49 years old) Senior Vice President and General Counsel of the Adviser.
Mr. Curtis is also currently the President of Columbia Trust
Company and Columbia Financial Center Incorporated,
affiliates of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice President of the
1300 S.W. Sixth Avenue Investment Adviser; Chief Investment Officer and Senior Vice President of
Portland, OR 97201 Officer and Columbia Trust Company. Prior to his current positions with
(45 years old) Senior Vice the Adviser, Mr. Johnson was Chief Investment Officer and
President Vice President of the Adviser.
</Table>
22
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------- -------------- ------------------ --------------------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating Officer of
One Financial Center Columbia Management Group, Inc. (the parent of the Adviser)
Boston, MA 02111 since December 2001; Director, Executive Vice President and
(50 years old) Chief Operating Officer of the Adviser since April 2003;
(formerly Chief Operations Officer of Mutual Funds, Liberty
Financial Companies, Inc. from August 2000 to November, 2001;
Executive Vice President of Stein Roe & Farnham Incorporated
(Stein Roe) from April 1999 to April 2003; Director of
Colonial Management Associates, Inc. from April 1999 to April
2003; Director of Stein Roe from September 2000 to April
2003); President of Liberty Funds since February 2003; Manager
of Stein Roe Floating Rate Limited Liability Company since
October 2000 (formerly Vice President of Liberty Funds from
April, 1999 to August 2000; Chief Operating Officer and Chief
Compliance Officer, Putnam Mutual Funds from December 1993 to
March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his current positions,
1300 S.W. Sixth Avenue Mr. Wentzien was Associate Counsel of the Advisor.
Portland, OR 97201
(43 years old)
</Table>
23
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ------------------------- -------------- ------------------- -------------------- ---------------- --------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics,
Economics University of
University of Washington, since
Washington January 1976; Ford
Seattle, WA 98195 and Louisa Van
(61 years old) Voorhis Professor of
Political Economy,
University of
Washington, since
September 1993;
Director, Institute
for Economic
Research, University
of Washington, since
September 2001;
Adjunct Professor of
Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and Banking,
since September
1993; consultant on
econometric and
statistical matters.
</Table>
24
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ------------------------- -------------- ------------------- -------------------- ---------------- --------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins 27 None
1211 S.W. 5th Avenue Coie LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, 27 The Regence
100 S.W. Market St. #1500 The Regence Group Group,
Portland, OR 97207 (a healthcare Regence
(62 years old) maintenance BlueCross
organization). BlueShield of
Oregon; NW
Natural, a
natural gas
service
provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
25
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
926-02/8460-0703 (09/03) C-03/023
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG HIGH YIELD FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG High Yield Fund.
The Board of Trustees for CMG High Yield Fund approved the change of the fund's
fiscal year end from October to July. As a result, this report covers the
nine-month period since the last annual report. The next report you will receive
will be a report for the six-month period through January 2004.
For the nine-month period ended July 31, 2003, the fund returned 10.67%. During
this time, the fund underperformed both the Merrill Lynch Intermediate BB Index,
which returned 14.22%, and the Lipper High Current Yields Category average,
which was 21.08% for the period.
Renewed strength among corporate issuers prompted a market rally among lower
quality high yield bonds during the period. This rally was fueled by several
factors including record levels of new issuance, low interest rates and a
declining default rate. However, the fund's focus on higher quality issues
hampered relative performance in an environment where lower quality issues from
previously distressed industries such as telecommunications and electric
utilities delivered the market's best returns.
The fund's emphasis on higher quality companies with improving business
prospects, strengthening operating margins and declining debt provides exposure
to the most attractive long-term opportunities in the high-yield market. Our
focus on bottom-up, research intensive credit analysis helps us construct a
portfolio of quality companies--a strategy we believe will generate the most
consistent returns over time.
The home building, hotel, and service industries were among the fund's strongest
performing sectors during the period. Noteworthy contributors included KB Homes,
Toll Corp., Extended Stay America, Host Marriott and United Rentals.(1)
During the period, we added investments in the chemical sector with the purchase
of Equistar Chemical, MacDermid and Ethyl Corp.(1) In healthcare, we added
Province Healthcare and Apogent Technologies(1). Finally, credit analysis helped
us identify selected issues in the energy industry, including Key Energy Service
and Offshore Logistics.(1)
With interest rates likely to increase, we reduced our exposure to homebuilders
with the sale of Technical Olympic. We also liquidated our position in IMC
Global, which suffered from declining margins that resulted from escalating
natural gas prices.
We believe that the high-yield market remains an attractive sector. Short-term
interest rates are expected to remain low and equity markets are trading at high
valuation levels. Although the high-yield market is close to its average
historical valuation, we believe it continues to offer opportunities.
- ----------
(1) Holdings are disclosed as a percentage of net assets as of July 31, 2003 and
are subject to change: KB Homes (1.5%), Toll Corp. (1.3%), Extended Stay
America (1.7%), Host Marriott (1.2%), United Rentals (1.4%), Equistar
Chemical (0.4%), MacDermid (0.8%), Ethyl Corp. (0.7%), Province Healthcare
(0.8%), Apogent Technologies (0.1%), Key Energy Service (0.6%) and Offshore
Logistics (1.2%).
1
<Page>
The fund's top ten holdings (as a percentage of net assets) as of July 31,
2003 (%):
<Table>
Lamar Media Corp., 7.250% 1/1/13 2.3
Allied Waste North America, Inc., 10.000% 8/1/09 2.1
Park Place Entertainment Corp., 9.375% 2/15/07 1.9
Cott Beverages, Inc., 8.000% 12/15/11 1.8
R.H. Donnelley Financial Corp., 10.875% 12/15/12 1.7
Silgan Holdings, Inc., 9.000% 6/1/09 1.7
Triad Hospitals, Inc., 8.750% 5/1/09 1.7
Extended Stay America, Inc., 9.875% 6/15/11 1.7
AmerisourceBergen Corp., 8.125% 9/1/08 1.6
Dex Media East LLC, 12.125% 11/15/12 1.5
</Table>
We appreciate your continued confidence in the CMG High Yield Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in high yield securities offers the potential for high current income
and attractive total return, but involves certain risks. Lower-rated bond risks
include default of the issuer and rising interest rates.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, JULY 6, 1994 TO JULY 31, 2003
<Table>
<Caption>
CMG HIGH YIELD FUND MERRILL LYNCH INTERMEDIATE BB INDEX
$ 10,000 $ 10,000
07/01/1994 - 07/31/1994 $ 9,989 $ 10,101
08/01/1994 - 08/31/1994 $ 10,063 $ 10,181
09/01/1994 - 09/30/1994 $ 10,105 $ 10,170
10/01/1994 - 10/31/1994 $ 10,119 $ 10,192
11/01/1994 - 11/30/1994 $ 9,990 $ 10,127
12/01/1994 - 12/31/1994 $ 10,118 $ 10,222
01/01/1995 - 01/31/1995 $ 10,261 $ 10,388
02/01/1995 - 02/28/1995 $ 10,570 $ 10,671
03/01/1995 - 03/31/1995 $ 10,660 $ 10,797
04/01/1995 - 04/30/1995 $ 10,896 $ 10,999
05/01/1995 - 05/31/1995 $ 11,176 $ 11,350
06/01/1995 - 06/30/1995 $ 11,271 $ 11,451
07/01/1995 - 07/31/1995 $ 11,417 $ 11,505
08/01/1995 - 08/31/1995 $ 11,447 $ 11,593
09/01/1995 - 09/30/1995 $ 11,613 $ 11,721
10/01/1995 - 10/31/1995 $ 11,787 $ 11,833
11/01/1995 - 11/30/1995 $ 11,925 $ 11,994
12/01/1995 - 12/31/1995 $ 12,125 $ 12,167
01/01/1996 - 01/31/1996 $ 12,304 $ 12,337
02/01/1996 - 02/29/1996 $ 12,369 $ 12,299
03/01/1996 - 03/31/1996 $ 12,212 $ 12,219
04/01/1996 - 04/30/1996 $ 12,188 $ 12,164
05/01/1996 - 05/31/1996 $ 12,204 $ 12,197
06/01/1996 - 06/30/1996 $ 12,221 $ 12,313
07/01/1996 - 07/31/1996 $ 12,324 $ 12,379
08/01/1996 - 08/31/1996 $ 12,557 $ 12,481
09/01/1996 - 09/30/1996 $ 12,778 $ 12,693
10/01/1996 - 10/31/1996 $ 12,920 $ 12,892
11/01/1996 - 11/30/1996 $ 13,210 $ 13,144
12/01/1996 - 12/31/1996 $ 13,300 $ 13,166
01/01/1997 - 01/31/1997 $ 13,407 $ 13,274
02/01/1997 - 02/28/1997 $ 13,586 $ 13,415
03/01/1997 - 03/31/1997 $ 13,384 $ 13,289
04/01/1997 - 04/30/1997 $ 13,515 $ 13,432
05/01/1997 - 05/31/1997 $ 13,860 $ 13,647
06/01/1997 - 06/30/1997 $ 14,030 $ 13,838
07/01/1997 - 07/31/1997 $ 14,409 $ 14,170
08/01/1997 - 08/31/1997 $ 14,386 $ 14,128
09/01/1997 - 09/30/1997 $ 14,593 $ 14,330
10/01/1997 - 10/31/1997 $ 14,584 $ 14,419
11/01/1997 - 11/30/1997 $ 14,740 $ 14,511
12/01/1997 - 12/31/1997 $ 14,913 $ 14,644
01/01/1998 - 01/31/1998 $ 15,165 $ 14,823
02/01/1998 - 02/28/1998 $ 15,242 $ 14,857
03/01/1998 - 03/31/1998 $ 15,334 $ 14,939
04/01/1998 - 04/30/1998 $ 15,390 $ 15,033
05/01/1998 - 05/31/1998 $ 15,472 $ 15,152
06/01/1998 - 06/30/1998 $ 15,585 $ 15,253
07/01/1998 - 07/31/1998 $ 15,781 $ 15,352
08/01/1998 - 08/31/1998 $ 15,250 $ 15,030
09/01/1998 - 09/30/1998 $ 15,545 $ 15,308
10/01/1998 - 10/31/1998 $ 15,460 $ 15,136
11/01/1998 - 11/30/1998 $ 15,987 $ 15,463
12/01/1998 - 12/31/1998 $ 16,005 $ 15,572
01/01/1999 - 01/31/1999 $ 16,187 $ 15,673
02/01/1999 - 02/28/1999 $ 16,100 $ 15,601
03/01/1999 - 03/31/1999 $ 16,246 $ 15,765
04/01/1999 - 04/30/1999 $ 16,371 $ 15,936
05/01/1999 - 05/31/1999 $ 16,185 $ 15,775
06/01/1999 - 06/30/1999 $ 16,154 $ 15,766
07/01/1999 - 07/31/1999 $ 16,162 $ 15,801
08/01/1999 - 08/31/1999 $ 16,021 $ 15,733
09/01/1999 - 09/30/1999 $ 16,023 $ 15,796
10/01/1999 - 10/31/1999 $ 16,047 $ 15,723
11/01/1999 - 11/30/1999 $ 16,292 $ 15,872
12/01/1999 - 12/31/1999 $ 16,389 $ 15,960
01/01/2000 - 01/31/2000 $ 16,315 $ 15,882
02/01/2000 - 02/29/2000 $ 16,351 $ 15,858
03/01/2000 - 03/31/2000 $ 16,243 $ 15,751
04/01/2000 - 04/30/2000 $ 16,358 $ 15,731
05/01/2000 - 05/31/2000 $ 16,342 $ 15,613
06/01/2000 - 06/30/2000 $ 16,714 $ 15,956
07/01/2000 - 07/31/2000 $ 16,856 $ 16,151
08/01/2000 - 08/31/2000 $ 17,165 $ 16,382
09/01/2000 - 09/30/2000 $ 17,146 $ 16,289
10/01/2000 - 10/31/2000 $ 17,009 $ 15,953
11/01/2000 - 11/30/2000 $ 16,786 $ 15,931
12/01/2000 - 12/31/2000 $ 17,266 $ 16,235
01/01/2001 - 01/31/2001 $ 17,933 $ 16,875
02/01/2001 - 02/28/2001 $ 18,098 $ 17,130
03/01/2001 - 03/31/2001 $ 18,000 $ 17,272
04/01/2001 - 04/30/2001 $ 17,957 $ 17,387
05/01/2001 - 05/31/2001 $ 18,046 $ 17,673
06/01/2001 - 06/30/2001 $ 17,812 $ 17,544
07/01/2001 - 07/31/2001 $ 17,983 $ 17,845
08/01/2001 - 08/31/2001 $ 18,262 $ 18,049
09/01/2001 - 09/30/2001 $ 17,507 $ 17,148
10/01/2001 - 10/31/2001 $ 18,187 $ 17,565
11/01/2001 - 11/30/2001 $ 18,712 $ 18,016
12/01/2001 - 12/31/2001 $ 18,529 $ 17,854
01/01/2002 - 01/31/2002 $ 18,657 $ 17,847
02/01/2002 - 02/28/2002 $ 18,502 $ 17,729
03/01/2002 - 03/31/2002 $ 18,742 $ 18,102
04/01/2002 - 04/30/2002 $ 18,887 $ 18,442
05/01/2002 - 05/31/2002 $ 18,851 $ 18,460
06/01/2002 - 06/30/2002 $ 18,359 $ 17,068
07/01/2002 - 07/31/2002 $ 18,060 $ 16,375
08/01/2002 - 08/31/2002 $ 18,401 $ 16,685
09/01/2002 - 09/30/2002 $ 18,314 $ 16,618
10/01/2002 - 10/31/2002 $ 18,296 $ 16,583
11/01/2002 - 11/30/2002 $ 18,900 $ 17,189
12/01/2002 - 12/31/2002 $ 19,047 $ 17,426
01/01/2003 - 01/31/2003 $ 19,245 $ 17,745
02/01/2003 - 02/28/2003 $ 19,442 $ 17,895
03/01/2003 - 03/31/2003 $ 19,788 $ 18,114
04/01/2003 - 04/30/2003 $ 20,288 $ 18,737
05/01/2003 - 05/31/2003 $ 20,315 $ 18,898
06/01/2003 - 06/30/2003 $ 20,591 $ 19,263
07/01/2003 - 07/31/2003 $ 20,260 $ 18,947
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JULY 31, 2003 (%)
<Table>
<Caption>
INCEPTION 9-MONTH 1-YEAR 5-YEAR LIFE
CMG High Yield Fund (07/06/94) 10.67 12.12 5.12 8.10
Merril Lynch Intermediate BB Index 14.22 15.67 4.30 7.29
- --------------------------------------------------------------------------------------------
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JUNE 30, 2003 (%)
<Table>
<Caption>
INCEPTION 9-MONTH 1-YEAR 5-YEAR LIFE
CMG High Yield Fund (07/06/94) 12.44 12.17 5.74 8.38
Merril Lynch Intermediate BB Index 15.93 12.87 4.79 7.56
- --------------------------------------------------------------------------------------------
</Table>
The fund's inception date is July 6, 1994 and index performance is from June 30,
1994.
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance does not guarantee
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting
of BB cash pay bonds, which are U.S. dollar denominated bonds issued in the U.S.
domestic market with maturities between 1 and 10 years. Unlike the fund, an
index is not an investment, does not incur fees or expenses and is not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
3
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD
ENDED YEAR ENDED OCTOBER 31
JULY 31, ---------------------------------------------------------------------
2003 (a) 2002 2001 2000 1999 (b) 1998 (b)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 7.55 $ 8.14 $ 8.30 $ 8.54 $ 8.95 $ 9.21
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.43(c) 0.64(c)(d) 0.72 0.73 0.74 0.76
Net realized and unrealized
gain (loss) on investments 0.37 (0.58)(d) (0.16) (0.24) (0.41) (0.21)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment
operations 0.80 0.06 0.56 0.49 0.33 0.55
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net investment
income (0.45) (0.65) (0.72) (0.73) (0.74) (0.76)
From net realized gains - - - - -(e) (0.05)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions
declared to shareholders (0.45) (0.65) (0.72) (0.73) (0.74) (0.81)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $ 7.90 $ 7.55 $ 8.14 $ 8.30 $ 8.54 $ 8.95
========== ========== ========== ========== ========== ==========
Total return (f) 10.67%(g)(h) 0.60% 6.92% 6.01% 3.75% 6.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 429,042 $ 286,228 $ 348,979 $ 319,985 $ 271,551 $ 263,912
Ratio of net expenses to
average net assets (i) 0.42%(j)(k) 0.42% 0.44% 0.43% 0.43% 0.45%
Ratio of net investment income
to average net assets (i) 7.32%(j)(k) 7.98%(d) 8.63% 8.70% 8.39% 8.28%
Waiver/reimbursement 0.01%(j)(k) -% -% -% -% -%
Portfolio turnover rate 47%(h) 62% 59% 56% 62% 71%
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.01, decrease net realized and unrealized loss per
share data by $0.01 and decrease the ratio of net investment income to
average net assets from 8.11% to 7.98%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
(k) Effective March 1, 2003, the investment advisor has contractually agreed to
reimburse other expenses of the Fund indefinitely, to the extent that these
expenses, together with the advisory fee, exceed 0.40% of the Fund's average
daily net assets.
See Accompanying Notes to Financial Statements
4
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (93.3%)
Aerospace (3.2%)
K & F Industries, Inc.
Senior Subordinated Notes, Series B
9.625% 12/15/2010 $ 2,700,000 $ 2,956,500
L-3 Communications Corp.
Senior Subordinated Notes
7.625% 06/15/2012 5,975,000 6,273,750
TD Funding Corp.
Senior Subordinated Notes
8.375% 07/15/2011 (a) 4,475,000 4,553,313
---------------
13,783,563
---------------
Automotive/Auto Parts (2.9%)
American Axle & Manufacturing, Inc.
Senior Subordinated Notes
9.750% 03/01/2009 5,850,000 6,296,063
Lear Corp.
Senior Notes, Series B
7.960% 05/15/2005 2,700,000 2,889,000
8.110% 05/15/2009 2,760,000 3,125,700
---------------
12,310,763
---------------
Broadcasting (1.2%)
Sinclair Broadcast Group, Inc.
Senior Subordinated Notes
8.000% 03/15/2012 695,000 712,375
8.750% 12/15/2011 4,285,000 4,542,100
---------------
5,254,475
---------------
Cable TV (8.1%)
British Sky Broadcasting Group PLC
7.300% 10/15/2006 1,850,000 2,021,125
CSC Holdings, Inc.:
Debentures, Series B
8.125% 08/15/2009 775,000 767,250
Senior Subordinated Debentures
9.875% 02/15/2013 4,185,000 4,321,012
10.500% 05/15/2016 1,235,000 1,315,275
DirecTV Holdings
Senior Notes
8.375% 03/15/2013 (a) 5,490,000 6,066,450
LIN Television Corp.
Senior Subordinated Notes
6.500% 05/15/2013 (a) 3,700,000 3,533,500
Mediacom LCC/Mediacom Capital Corp.
Senior Notes
7.875% 02/15/2011 4,725,000 4,447,406
9.500% 01/15/2013 2,475,000 2,450,250
</Table>
See Accompanying Notes to Financial Statements
5
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Cable TV (continued)
Rogers Cable, Inc.
Notes
6.250% 06/15/2013 (a) $ 1,125,000 $ 1,080,000
7.875% 05/01/2012 2,615,000 2,784,975
TCI Communications, Inc.
Senior Notes
8.750% 08/01/2015 4,825,000 5,898,833
---------------
34,686,076
---------------
Capital Goods (1.2%)
Kennametal, Inc.
Senior Notes
7.200% 06/15/2012 5,060,000 5,233,932
---------------
Chemicals (3.3%)
Acetex Corp.
Senior Notes
10.875% 08/01/2009 (a) 1,825,000 1,998,375
Airgas, Inc.
Senior Subordinated Notes
9.125% 10/01/2011 4,070,000 4,415,950
Equistar Chemical LP
Senior Notes
10.125% 09/01/2008 1,100,000 1,089,000
10.625% 05/01/2011 (a) 675,000 668,250
Ethyl Corp.
Senior Notes
8.875% 05/01/2010 2,750,000 2,791,250
MacDermid, Inc.
Senior Subordinated Notes
9.125% 07/15/2011 2,960,000 3,285,600
---------------
14,248,425
---------------
Consumer Products (2.5%)
Hasbro, Inc.
Notes
6.150% 07/15/2008 500,000 517,500
8.500% 03/15/2006 3,710,000 4,025,350
Scotts Co.
Senior Subordinated Notes
8.625% 01/15/2009 5,725,000 5,982,625
---------------
10,525,475
---------------
Diversified Media (2.3%)
Lamar Media Corp.
Senior Subordinated Notes
7.250% 01/01/2013 9,210,000 9,394,200
7.250% 01/01/2013 (a) 300,000 306,000
---------------
9,700,200
---------------
</Table>
See Accompanying Notes to Financial Statements
6
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Energy (10.8%)
Chesapeake Energy Corp.
8.375% 11/01/2008 $ 75,000 $ 79,125
9.000% 08/15/2012 3,775,000 4,095,875
Senior Notes
7.500% 09/15/2013 (a) 3,120,000 3,213,600
Chesapeake Energy Corp.
Senior Notes, Series B
8.500% 03/15/2012 1,150,000 1,198,875
Grant Prideco, Inc.
Senior Notes
9.000% 12/15/2009 5,455,000 5,809,575
Grant Prideco, Inc.
Senior Notes, Series B
9.625% 12/01/2007 2,270,000 2,451,600
Key Energy Services, Inc.
Senior Notes
6.375% 05/01/2013 2,085,000 2,022,450
Key Energy Services, Inc.
Senior Notes, Series C
8.375% 03/01/2008 480,000 499,200
Offshore Logistics, Inc.
Senior Notes
6.125% 06/15/2013 (a) 5,305,000 5,039,750
Pogo Producing Co.
Senior Subordinated Notes, Series B
8.250% 04/15/2011 1,120,000 1,198,400
Pride International, Inc.
Senior Notes
10.000% 06/01/2009 2,125,000 2,295,000
Universal Compression, Inc.
Senior Notes
7.250% 05/15/2010 (a) 1,400,000 1,414,000
Vintage Petroleum, Inc.
Senior Subordinated Notes
9.750% 06/30/2009 3,945,000 4,181,700
Westport Resources Corp.
Senior Subordinated Notes
8.250% 11/01/2011 6,030,000 6,421,950
8.250% 11/01/2011 (a) 225,000 239,625
XTO Energy, Inc.
Senior Notes
6.250% 04/15/2013 300,000 301,500
7.500% 04/15/2012 5,600,000 6,048,000
---------------
46,510,225
---------------
</Table>
See Accompanying Notes to Financial Statements
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Entertainment/Film (1.4%)
Cinemark USA, Inc.
Senior Subordinated Notes
9.000% 02/01/2013 $ 5,675,000 $ 6,072,250
---------------
Environmental (2.4%)
Allied Waste North America, Inc.
Senior Subordinated Notes, Series B
10.000% 08/01/2009 8,550,000 9,009,562
Synagro Technologies, Inc.
Senior Subordinated Notes
9.500% 04/01/2009 1,360,000 1,441,600
---------------
10,451,162
---------------
Food/Beverage/Tobacco (3.7%)
Constellation Brands, Inc.
Senior Notes, Series B
8.000% 02/15/2008 500,000 520,000
Constellation Brands, Inc.
Senior Subordinated Notes
8.500% 03/01/2009 6,050,000 6,171,000
Constellation Brands, Inc.
Senior Subordinated Notes, Series B
8.125% 01/15/2012 1,345,000 1,378,625
Cott Beverages, Inc.
Senior Subordinated Notes
8.000% 12/15/2011 7,250,000 7,685,000
---------------
15,754,625
---------------
Food & Drug Retail (0.9%)
Winn-Dixie Stores, Inc.
Senior Notes
8.875% 04/01/2008 3,555,000 3,759,413
---------------
Gaming (5.0%)
Harrah's Operating Co., Inc.
Senior Subordinated Notes
7.875% 12/15/2005 5,025,000 5,408,156
International Game Technology
Senior Notes
8.375% 05/15/2009 1,030,000 1,218,781
Park Place Entertainment Corp.
Senior Subordinated Notes
9.375% 02/15/2007 7,450,000 8,139,125
Station Casinos, Inc.
Senior Subordinated Notes
8.875% 12/01/2008 3,760,000 3,910,400
9.875% 07/01/2010 2,625,000 2,854,688
---------------
21,531,150
---------------
</Table>
See Accompanying Notes to Financial Statements
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Health Care (8.7%)
AdvancePCS
Senior Notes
8.500% 04/01/2008 $ 4,725,000 $ 5,055,750
AmerisourceBergen Corp.
Senior Notes
7.250% 11/15/2012 1,500,000 1,567,500
8.125% 09/01/2008 6,600,000 7,062,000
Apogent Technologies, Inc.
Senior Subordinated Notes
6.500% 05/15/2013 (a) 575,000 560,625
Omnicare, Inc.
Senior Subordinated Notes, Series B
8.125% 03/15/2011 5,750,000 6,080,625
Province Healthcare Co.
Senior Subordinated Notes
7.500% 06/01/2013 3,375,000 3,240,000
Select Medical Corp.
Senior Subordinated Notes
7.500% 08/01/2013 (a) 2,600,000 2,574,000
9.500% 06/15/2009 3,625,000 3,896,875
Triad Hospitals, Inc.
Senior Notes, Series B
8.750% 05/01/2009 6,805,000 7,247,325
---------------
37,284,700
---------------
Homebuilders (2.9%)
KB Homes
Senior Subordinated Notes
7.750% 02/01/2010 260,000 273,000
8.625% 12/15/2008 5,175,000 5,666,625
9.500% 02/15/2011 630,000 689,850
Toll Corp.
Senior Subordinated Notes
7.750% 09/15/2007 5,325,000 5,458,125
8.250% 12/01/2011 225,000 245,250
---------------
12,332,850
---------------
Hotels (4.1%)
Extended Stay America, Inc.
Senior Subordinated Notes
9.875% 06/15/2011 6,675,000 7,108,875
Host Marriott LP
Senior Notes, Series E
8.375% 02/15/2006 5,175,000 5,265,562
ITT Corp.
Notes
6.750% 11/15/2005 2,750,000 2,846,250
</Table>
See Accompanying Notes to Financial Statements
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Hotels (continued)
Starwood Hotels & Resorts Worldwide, Inc.
Senior Notes
7.375% 05/01/2007 $ 2,410,000 $ 2,494,350
---------------
17,715,037
---------------
Industrials (0.6%)
Westinghouse Air Brake Co.
Senior Notes
6.875% 07/31/2013 (a) 2,600,000 2,613,000
---------------
Leisure (0.8%)
Speedway Motorsports, Inc.
Senior Subordinated Notes
6.750% 06/01/2013 (a) 3,350,000 3,350,000
---------------
Metals & Mining(1.5%)
Arch Western Finance
Senior Notes
6.750% 07/01/2013 4,560,000 4,491,600
Peabody Energy Corp.
Senior Notes
6.875% 03/15/2013 1,860,000 1,869,300
---------------
6,360,900
---------------
Packaging (6.0%)
Ball Corp.
Senior Notes
6.875% 12/15/2012 3,690,000 3,690,000
6.875% 12/15/2012 (a) 5,505,000 5,505,000
7.750% 08/01/2006 1,250,000 1,337,500
Constar International, Inc.
Senior Subordinated Notes
11.000% 12/01/2012 2,905,000 2,875,950
Owens-Illinois, Inc.
Senior Notes
7.150% 05/15/2005 1,290,000 1,296,450
7.350% 05/15/2008 1,750,000 1,697,500
8.100% 05/15/2007 2,110,000 2,110,000
Silgan Holdings, Inc.
Senior Subordinated Debentures
9.000% 06/01/2009 7,075,000 7,313,781
---------------
25,826,181
---------------
Paper & Forest Products (2.8%)
Abitibi-Consolidated Inc.,
Notes
6.000% 06/20/2013 850,000 760,548
7.875% 08/01/2009 2,725,000 2,835,008
</Table>
See Accompanying Notes to Financial Statements
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Paper & Forest Products (continued)
Cascades, Inc.
Senior Notes
7.250% 02/15/2013 (a) $ 2,215,000 $ 2,170,700
Smurfit-Stone Container Corp.
Senior Notes
8.250% 10/01/2012 625,000 631,250
Stone Container Corp.
Senior Notes
8.375% 07/01/2012 2,665,000 2,691,650
9.750% 02/01/2011 2,810,000 2,978,600
---------------
12,067,756
---------------
Printing & Publishing (4.8%)
Dex Media East LLC
Senior Subordinated Notes
12.125% 11/15/2012 5,670,000 6,548,850
Houghton Mifflin Co.
Senior Subordinated Notes
9.875% 02/01/2013 (a) 4,780,000 4,983,150
Morris Publishing Group, Inc.
Senior Subordinated Notes
7.000% 08/01/2013 (a) 1,425,000 1,425,000
R.H. Donnelley Financial Corp.:
Senior Notes
8.875% 12/15/2010 (a) 45,000 48,713
Senior Subordinated Notes
10.875% 12/15/2012 (a) 6,585,000 7,408,125
---------------
20,413,838
---------------
Real Estate Investment Trust (1.8%)
Health Care REIT, Inc.
Notes
7.500% 08/15/2007 3,550,000 3,800,190
8.000% 09/12/2012 125,000 133,923
iStar Financial, Inc.
Senior Notes
7.000% 03/15/2008 3,200,000 3,335,437
8.750% 08/15/2008 500,000 542,500
---------------
7,812,050
---------------
Restaurants (2.3%)
Yum! Brands, Inc.
Senior Notes
7.450% 05/15/2005 520,000 546,650
7.650% 05/15/2008 550,000 594,000
7.700% 07/01/2012 2,155,000 2,327,400
</Table>
See Accompanying Notes to Financial Statements
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Restaurants (continued)
8.500% 04/15/2006 $ 4,080,000 $ 4,416,600
8.875% 04/15/2011 1,875,000 2,109,375
---------------
9,994,025
---------------
Services (5.6%)
Corrections Corp. of America
Senior Notes
7.500% 05/01/2011 2,300,000 2,323,000
7.500% 05/01/2011 (a) 5,850,000 6,069,375
Iron Mountain, Inc.
Senior Subordinated Notes
7.750% 01/15/2015 3,990,000 4,009,950
8.625% 04/01/2013 5,300,000 5,525,250
United Rentals, Inc.
Senior Subordinated Notes, Series B
8.800% 08/15/2008 3,000,000 2,865,000
9.250% 01/15/2009 1,075,000 1,037,375
9.500% 06/01/2008 2,150,000 2,107,000
---------------
23,936,950
---------------
Shipping (1.2%)
Teekay Shipping Corp.
Senior Notes
8.875% 07/15/2011 4,700,000 5,170,000
---------------
Telecommunications (1.3%)
Nextel Communications, Inc.:
Senior Discount Notes
9.750% 10/31/2007 1,730,000 1,781,900
9.950% 02/15/2008 1,525,000 1,586,000
Senior Notes
9.375% 11/15/2009 2,175,000 2,305,500
---------------
5,673,400
---------------
Total Corporate Notes & Bonds
(Cost of $389,719,007) 400,372,421
---------------
</Table>
See Accompanying Notes to Financial Statements
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Short-Term Obligation (10.2%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at
0.950%, collateralized by a U.S. Treasury
Bond maturing 10/30/03, market value of
$44,732,888 (repurchase proceeds $43,854,157)
(Cost of $43,853,000) $ 43,853,000 $ 43,853,000
---------------
Total Investments (103.5%)
(Cost of $433,572,007) (b) 444,225,421
Other Assets & Liabilities, Net (-3.5%) (15,183,747)
---------------
Net Assets (100.0%) $ 429,041,674
===============
</Table>
Notes to Schedule of Investments:
(a) This security is exempt from registration under Rule 144A of the Securities
Act of 1933 and may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At July 31, 2003, the value of
these securities amounted to $64,820,551 which represents 15.1% of net
assets.
(b) Cost for federal income tax purposes is $434,147,350.
See Accompanying Notes to Financial Statements
13
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
ASSETS:
Investments, at identified cost (including repurchase agreement) $ 433,572,007
---------------
Investments, at value $ 400,372,421
Repurchase agreement 43,853,000
Cash 2,874,317
Receivable for:
Investments sold 173,324
Capital stock sold 79,391
Interest 8,023,121
Expense reimbursement due from investment advisor 6,400
Other assets 688
---------------
Total assets 455,382,662
---------------
LIABILITIES:
Payable for:
Investments purchased 23,570,231
Capital stock redeemed 2,225,000
Distributions 374,604
Investment management fee 144,610
Trustees' fees 293
Audit fee 26,250
---------------
Total liabilities 26,340,988
---------------
NET ASSETS $ 429,041,674
===============
NET ASSETS consist of:
Paid-in capital $ 481,482,285
Overdistributed net investment income (482,515)
Accumulated net realized loss (62,611,510)
Net unrealized appreciation on investments 10,653,414
---------------
NET ASSETS $ 429,041,674
===============
Shares of capital stock outstanding 54,313,889
===============
Net asset value, offering and redemption price per share $ 7.90
===============
</Table>
See Accompanying Notes to Financial Statements
14
<Page>
STATEMENTS OF OPERATIONS
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003 (a) OCTOBER 31, 2002
----------------- -----------------
NET INVESTMENT INCOME:
Interest $ 20,461,215 $ 30,052,216
----------------- -----------------
Expenses:
Investment management fee 1,057,088 1,430,917
Transfer agent fee 5,322 18,000
Trustees' fees 2,279 2,055
Custody fee 3,675 17,330
Other expenses 57,392 49,227
----------------- -----------------
Total expenses 1,125,756 1,517,529
Expense reimbursement from investment advisor (25,023) -
Custody earnings credit (302) -
----------------- -----------------
Net expenses 1,100,431 1,517,529
----------------- -----------------
Net investment income 19,360,784 28,534,687
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments 1,182,628 (24,532,571)
Net change in unrealized appreciation/depreciation on investments 11,692,827 (3,668,160)
----------------- -----------------
Net gain (loss) 12,875,455 (28,200,731)
----------------- -----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 32,236,239 $ 333,956
----------------- -----------------
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED ------------------------------------
JULY 31, 2003 (a) 2002 2001
------------------ ---------------- ----------------
Operations:
Net investment income $ 19,360,784 $ 28,534,687 $ 31,585,879
Net realized gain (loss) on investments 1,182,628 (24,532,571) (24,290,896)
Net change in unrealized appreciation/depreciation
on investments 11,692,827 (3,668,160) 17,086,965
------------------ ---------------- ----------------
Net increase from operations 32,236,239 333,956 24,381,948
Distributions declared to shareholders:
From net investment income (19,919,406) (28,989,392) (31,585,879)
------------------ ---------------- ----------------
Net capital share transactions 130,496,403 (34,095,515) 36,198,436
------------------ ---------------- ----------------
Net increase (decrease) in net assets 142,813,236 (62,750,951) 28,994,505
NET ASSETS:
Beginning of period 286,228,438 348,979,389 319,984,884
------------------ ---------------- ----------------
End of period $ 429,041,674 $ 286,228,438 $ 348,979,389
================== ================ ================
Overdistributed net investment income $ (482,515) $ (370,235) $ -
================== ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
16
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG High Yield Fund (formerly CMC High Yield Fund) (the "Fund") is a portfolio
of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end,
diversified investment company registered under the Investment Company Act of
1940, as amended.
The Trust has established eleven other operational portfolios, CMG Small Cap
Fund (formerly CMC Small Cap Fund), CMG Small/Mid Cap Fund (formerly CMC
Small/Mid Cap Value Fund), CMG International Stock Fund (formerly CMC
International Stock Fund), CMG Enhanced S&P 500(R) Index Fund, CMG Mid Cap
Growth Fund, CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG Small Cap
Value Fund, CMG Fixed Income Securities Fund (formerly CMC Fixed Income
Securities Fund) ,CMG Short Term Bond Fund (formerly CMC Short Term Bond Fund)
and CMG Strategic Equity Fund (formerly CMC Strategic Equity Fund), which are
not included in these financial statements. Each portfolio issues a separate
series of the Trust's shares and maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end from October 31 to July 31. Accordingly, the Fund's 2003 fiscal
year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Fixed-income securities are valued daily based on market
values as quoted by dealers who are market makers in these securities, by
independent pricing services, or by the investment advisor using a methodology
approved by the Board of Trustees. Short-term obligations with less than 60 days
to maturity when purchased are valued at amortized cost, which approximates
market value. Investment securities for which market quotations are not readily
available will be valued at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
FINANCIAL FUTURES CONTRACTS. The Fund may invest in financial futures contracts
solely for the purpose of hedging its existing portfolio securities, or
securities that the Fund intends to purchase, against fluctuations in fair value
caused by changes in prevailing market interest rates. Upon entering into a
financial futures contract, the Fund is required to pledge to the broker an
amount of cash, U.S. government securities or other assets, equal to a certain
percentage of the contract amount (initial margin deposit). Subsequent payments,
known as "variation margin," are made or received by the Fund each day,
depending on the daily fluctuations in the fair value of the underlying
security. The Fund recognizes an unrealized gain or loss equal to the daily
variation margin. Should market conditions move unexpectedly, the Fund may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates and
the underlying hedged assets. The daily changes in contract value are recorded
as unrealized gains or losses, and the Fund recognizes the realized gain or loss
when the contract is closed.
17
<Page>
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes.
Securities purchased on a when-issued or forward-delivery basis may settle a
month or more after trade date; interest income is not accrued until settlement
date. It is the Fund's policy to segregate liquid assets with a current value at
least equal to the amount of its when-issued purchase commitments until
settlement date.
INVESTMENT INCOME AND EXPENSES. Interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis and the Fund bears expenses
incurred specifically on its behalf as well as a portion of general expenses
incurred on behalf of the Trust and its underlying portfolios.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared daily and paid monthly. Distributions from any net realized
gains are generally declared and paid annually. Additional distributions of net
investment income and capital gains by the Fund may be made at the discretion of
the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
PREMIUM AND DISCOUNT AMORTIZATION. The Fund amortizes premium and accretes
discount on all debt securities.
OTHER. The Fund invests in lower rated debt securities, which may be more
susceptible to adverse economic conditions than investment-grade holdings. These
securities are often subordinated to the prior claim of other senior lenders,
and uncertainties exist as to an issuer's ability to meet principal and interest
payments. As of July 31, 2003, the credit ratings of securities held by the
Fund's portfolio (less short-term investments) were as follows (Unaudited): Baa
(2.7%), Ba (51.6%), or B (45.7%), by Moody's Investor Services, Inc.
2. FEDERAL INCOME TAX:
Income and capital gain 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 treatments for deferral of losses from wash sales, discount
accretion/premium amortization on debt securities, current year distribution
payable and capital loss carryforwards. Reclassifications are made to the Fund's
capital accounts to reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
18
<Page>
For the period ended July 31, 2003, permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
OVERDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME LOSS CAPITAL
--------------- -------------- ----------
$ 446,342 $ (446,343) $ 1
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal years ended October 31, 2002 and October 31, 2001 was as follows:
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED ---------------------------------
JULY 31, 2003 2002 2001
---------------- --------------- ---------------
Ordinary Income $ 19,919,406 $ 28,989,392 $ 31,585,879
</Table>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
---------------- --------------- --------------
$ 374,604 $ - $ 10,078,071
</Table>
* The difference between book-basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and
discount accretion/premium amortization on debt securities.
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARDS
----------------
YEAR OF EXPIRATION
2007 $ 7,445,989
2008 5,633,565
2009 24,244,763
2010 25,194,365
-------------
$ 62,518,682
=============
</Table>
Utilization of the capital loss carryforwards above could be significantly
limited under rules imposed by the Internal Revenue Code.
Expired capital loss carryforwards, if any, are recorded as a reduction of
paid-in capital.
19
<Page>
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Fund, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect,
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Fund. The merger did not change the way the Fund is managed, the investment
personnel assigned to manage the Fund or the fees paid by the Fund.
Columbia is the investment advisor of the Fund. Investment management fees are
paid monthly to Columbia at an annual rate of 0.40% of the Fund's average daily
net assets. Effective March 1, 2003, the investment management fee is a unified
fee. Out of the unified fee, Columbia pays all accounting expenses, legal fees,
transfer agent fees, custody fees and miscellaneous expenses of the Fund. The
unified fee does not include brokerage fees, taxes, Trustee's fees, Trustee
legal counsel fees, audit fees, interest expenses associated with any borrowings
by the Fund and extraordinary expenses.
Effective March 1, 2003, Columbia contractually agreed to reimburse the Fund, to
the extent that expenses incurred by the Fund, together with the advisory fee,
exceed 0.40% of the Fund's average daily net assets. Prior to March 1, 2003, the
reimbursement was not in effect for the Fund.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than their capacity as trustees. Other officers
and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month. Effective March 1, 2003, transfer
agent fees are included in the unified fee.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund had an agreement with its custodian bank under which $302 of
custody fees were reduced by balance credits for the period from November 1,
2002 through February 28, 2003. The Fund could have invested a portion of the
assets utilized in connection with the expense offset arrangement in an
income-producing asset if it had not entered into such an agreement. Effective
March 1, 2003, the custody fees and balance credits are included in the unified
fee.
4. INVESTMENT TRANSACTIONS:
As of July 31, 2003, for federal income tax purposes, net unrealized
appreciation (depreciation) on investments were as follows:
<Table>
Gross unrealized appreciation $ 13,663,696
Gross unrealized depreciation (3,585,625)
--------------
Net unrealized appreciation $ 10,078,071
==============
</Table>
For the period ended July 31, 2003, purchases and sales of long-term securities
were $269,691,764 and $154,669,502, respectively.
20
<Page>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
YEAR ENDED
PERIOD ENDED ------------------------------------
JULY 31, 2003 (a) OCTOBER 31, 2002 OCTOBER 31, 2001
------------------ ---------------- ----------------
SHARES:
Shares sold 34,794,784 16,446,956 12,295,392
Shares issued for reinvestment of dividends 2,111,371 3,176,244 3,395,836
Less shares redeemed (20,522,378) (24,583,292) (11,374,544)
------------------ ---------------- ----------------
Net increase (decrease) in shares 16,383,777 (4,960,092) 4,316,684
================== ================ ================
AMOUNTS:
Sales $ 274,845,721 $ 131,994,303 $ 101,372,083
Reinvestment of dividends 16,684,887 25,255,040 28,167,501
Less redemptions (161,034,205) (191,344,858) (93,341,148)
------------------ ---------------- ----------------
Net increase (decrease) $ 130,496,403 $ (34,095,515) $ 36,198,436
================== ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2004. The Fund did not utilize the line of credit during the period
ended July 31, 2003.
7. BENEFICIAL INTEREST:
At July 31, 2003, 38.19% of the outstanding shares of the Fund were held by five
shareholders, each holding in excess of 5% of the Fund's shares outstanding.
Investment activity of these shareholders may have a material effect on the
Fund.
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbent trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
21
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG HIGH YIELD FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG High Yield Fund (formerly CMC
High Yield Fund) (the "Fund"), a portfolio of CMG Fund Trust (formerly CMC Fund
Trust), at July 31, 2003, and the results of its operations, the changes in its
net assets and its financial highlights for 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 Fund's 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 July 31, 2003 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
22
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the fund's distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ---------------------------- -------------- ------------------- ------------------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the Liberty All-Star
One Financial Center and Principal Funds since May 2002; Chief Accounting Officer of the
Boston, MA 02111 Accounting Liberty Funds and Liberty All-Star Funds since June 2001;
(42 years old) Officer Controller and Chief Accounting Officer of the Galaxy Funds
since September 2002 (formerly Vice President, Corporate
Audit, State Street Bank and Trust Company from May 1998 to
April 2001; Audit Manager from July 1994 to June 1997;
Senior Audit Manager from July 1997 to May 1998, Coopers &
Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star Funds, Stein
245 Summer Street Financial December 2002 Roe Funds and Galaxy Funds; Senior Vice President of Liberty
Boston, MA 02110 Officer Funds Group LLC. Prior to his current positions,
(39 years old) Mr. Connaughton was Controller of Liberty Funds, Liberty
All-Star Funds and Stein Roe Funds; Vice President of
Liberty Funds Group LLC and Colonial Management Associates,
Inc.; Senior Tax Manager, Coopers & Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and Chief
1300 S.W. Sixth Avenue Assistant Operating Officer-West Coast of the Adviser. Prior to his
Portland, OR 97201 Secretary current positions with the Adviser, Mr. Curtis was
(49 years old) President, Senior Vice President and General Counsel of the
Adviser. Mr. Curtis is also currently the President of
Columbia Trust Company and Columbia Financial Center
Incorporated, affiliates of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice President of the
1300 S.W. Sixth Avenue Investment Adviser; Chief Investment Officer and Senior Vice President
Portland, OR 97201 Officer and of Columbia Trust Company. Prior to his current positions
(45 years old) Senior Vice with the Adviser, Mr. Johnson was Chief Investment Officer
President and Vice President of the Adviser.
</Table>
23
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ---------------------------- -------------- ------------------- ------------------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating Officer of
One Financial Center Columbia Management Group, Inc. (the parent of the Adviser)
Boston, MA 02111 since December 2001; Director, Executive Vice President and
(50 years old) Chief Operating Officer of the Adviser since April 2003;
(formerly Chief Operations Officer of Mutual Funds, Liberty
Financial Companies, Inc. from August 2000 to November,
2001; Executive Vice President of Stein Roe & Farnham
Incorporated (Stein Roe) from April 1999 to April 2003;
Director of Colonial Management Associates, Inc. from April
1999 to April 2003; Director of Stein Roe from September
2000 to April 2003); President of Liberty Funds since
February 2003; Manager of Stein Roe Floating Rate Limited
Liability Company since October 2000 (formerly Vice
President of Liberty Funds from April, 1999 to August 2000;
Chief Operating Officer and Chief Compliance Officer,
Putnam Mutual Funds from December 1993 to March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his current
1300 S.W. Sixth Avenue positions, Mr. Wentzien was Associate Counsel of the Advisor.
Portland, OR 97201
(43 years old)
</Table>
24
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ---------------------------- ------------- ------------------- -------------------- ---------------- -------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics,
Economics University of
University of Washington, since
Washington January 1976; Ford
Seattle, WA 98195 and Louisa Van
(61 years old) Voorhis Professor
of Political
Economy, University
of Washington, since
September 1993;
Director, Institute
for Economic
Research, University
of Washington, since
September 2001;
Adjunct Professor of
Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and Banking,
since September 1993;
consultant on
econometric and
statistical matters.
</Table>
25
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ---------------------------- ------------- ------------------- -------------------- ---------------- -------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins 27 None
1211 S.W. 5th Avenue Coie LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, 27 The Regence
100 S.W. Market St. #1500 The Regence Group Group,
Portland, OR 97207 (a healthcare Regence
(62 years old) maintenance BlueCross
organization). BlueShield of
Oregon; NW
Natural, a
natural gas
service
provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
26
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-02/8510-0703 (09/03) C-03/022
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Strategic Equity
Fund. The Board of Trustees for CMG Strategic Equity Fund approved the change of
the fund's fiscal year end from October 31 to July 31. As a result, this report
covers the nine-month period since the last annual report. The next report you
will receive will be a report for the six-month period through January 2004.
For the nine-month period ended July 31, 2003, the fund returned 19.66%. It did
better than its benchmark, the S&P 500 Index, which returned 13.34%. The fund's
performance was driven largely by our emphasis on stocks that are tied to an
economic recovery.
Throughout much of the reporting period, the market was clouded by geopolitical
events and the economy's inability to mount a sustained rebound. By spring, a
swift end to the major military conflict in Iraq and improved corporate business
prospects at home helped create a healthier environment for the stock market.
The fund's exposure to four sectors in particular--basic materials, capital
goods, business services and technology--had a positive impact on performance.
Stocks that did well in these sectors included Polycom, a leading provider of
video conferencing services, which benefited from corporate America's emphasis
on cost cutting and Sandisk, a semiconductor manufacturer of flash memory
technology for cameras and consumer items (0.6% and 0.6% of net assets,
respectively). Fund performance was also helped by our investment in CarMax
(0.8% of net assets), which posted record sales during the period. Finally,
despite weak business prospects for the leisure travel industry, Carnival (0.4%
of net assets) delivered strong second quarter earnings as cruise reservations
rose after war tensions lessened.
The fund's emphasis on cellular communications companies overseas also helped
performance. Compelling valuations and attractive long-term growth potential
continue to fuel our optimism for this sector. Standout performers included
Millicom and Mobile Telesystems (0.5% and 0.4% of net assets, respectively).
While the fund experienced strong performance overall, several holdings failed
to meet our return expectations. In particular, our exposure to regional bell
operating companies SBC Communications (0.5% of net assets) and BellSouth (0.2%
of net assets) (which was sold subsequently) suffered from an adverse FCC
ruling. We also trimmed our exposure to energy.
The fund's positioning reflects our outlook for continued economic strength in
the months ahead. We believe that the impact of the Federal Reserve's monetary
and fiscal stimulus and improved corporate profitability are likely to take hold
during the remainder of 2003. Therefore, we will continue to focus on
opportunities in industries poised to benefit from a stronger economy.
1
<Page>
The fund's top ten holdings as of July 31, 2003 were:
<Table>
<Caption>
(%)
3M 1.6
American International Group 0.9
eBay 0.9
Caterpillar 0.9
Pfizer 0.8
Gillette 0.8
Berkshire Hathaway 0.8
CarMax 0.8
Coca-Cola 0.8
Microsoft 0.8
</Table>
We appreciate your continued confidence in the CMG Strategic Equity Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
An investment in CMG Strategic Equity Fund offers the potential for long-term
growth, but also involves certain risks, including stock market fluctuations due
to economic and business developments.
2
<Page>
GROWTH OF A $10,000 INVESTMENT, OCTOBER 9, 2001 TO JULY 31, 2003
[CHART]
<Table>
<Caption>
CMG STRATEGIC EQUITY FUND S&P 500 INDEX
$ 10,000
10/9/2001 $ 10,000 $ 10,000
10/31/2001 $ 10,100 $ 10,191
11/30/2001 $ 11,040 $ 10,973
12/31/2001 $ 11,386 $ 11,069
1/31/2002 $ 11,315 $ 10,908
2/28/2002 $ 11,295 $ 10,697
3/31/2002 $ 11,956 $ 11,099
4/30/2002 $ 11,816 $ 10,427
5/31/2002 $ 11,836 $ 10,351
6/30/2002 $ 11,286 $ 9,614
7/31/2002 $ 10,494 $ 8,865
8/31/2002 $ 10,565 $ 8,922
9/30/2002 $ 9,633 $ 7,953
10/31/2002 $ 10,154 $ 8,652
11/30/2002 $ 11,025 $ 9,161
12/31/2002 $ 10,357 $ 8,623
1/31/2003 $ 10,105 $ 8,398
2/28/2003 $ 9,954 $ 8,272
3/31/2003 $ 9,924 $ 8,353
4/30/2003 $ 10,800 $ 9,040
5/31/2003 $ 11,606 $ 9,516
6/30/2003 $ 11,757 $ 9,637
7/31/2003 $ 12,150 $ 9,807
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 19.66 15.78 11.37
S&P 500 Index 13.34 10.64 -1.06
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
9-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 22.05 4.18 9.85
S&P 500 Index 21.17 0.25 -2.09
</Table>
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The S&P 500 Index is an unmanaged index generally considered representative of
the U.S. stock market. Unlike the fund, indices are not investments, do not
incur fees and are not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
Index performance is from September 30, 2001.
3
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD YEAR PERIOD
ENDED ENDED ENDED
JULY 31, OCTOBER 31, OCTOBER 31,
2003(a) 2002 2001(b)
----------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.14 $ 10.10 $ 10.00
----------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10(c) 0.11(c) -(d)
Net realized and unrealized gains (loss) on investments
and foreign currency 1.88 (0.05) 0.10
----------- ------------- -------------
Total from investment operations 1.98 0.06 0.10
----------- ------------- -------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.06) (0.02) -
----------- ------------- -------------
NET ASSET VALUE, END OF PERIOD $ 12.06 $ 10.14 $ 10.10
=========== ============= =============
Total return (e)(f) 19.66%(g) 0.53% 1.00%(g)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 370,620 $ 188,179 $ 36,942
Ratio of net expenses to average net assets (h)(i) 0.40%(j) 0.40% 0.40%(j)
Ratio of net investment income to average net assets (h)(i) 1.22%(j) 1.01% 0.04%(j)
Waiver/reimbursement (h) 0.05%(j) 0.07% 0.80%(j)
Portfolio turnover rate 78%(g) 172% 14%(g)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on October 9, 2001. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(g) Not annualized.
(h) The investment advisor has contractually agreed, through October 31, 2004,
to reimburse ordinary expenses of the Fund, to the extent that these
expenses, together with the advisory fee, exceed 0.40% of the Fund's average
daily net assets.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (88.4%)
Consumer Discretionary (12.6%)
Auto Components (0.8%)
Modine Manufacturing Co. 75,350 $ 1,600,434
Nokian Renkaat Oyj 30,360 1,534,517
-------------
3,134,951
-------------
Hotels, Restaurants & Leisure (1.5%)
Carnival Corp. 40,000 1,372,400
Fairmont Hotel Resorts 41,900 1,055,880
McDonald's Corp 65,000 1,495,650
Starwood Hotels & Resorts Worldwide, Inc., REIT 50,000 1,630,000
-------------
5,553,930
-------------
Household Durables (1.4%)
Cavco Industries, Inc. (a) 40,000 770,040
Ekornes ASA 100,000 1,461,848
Matsushita Electric Industrial Co., Ltd. 74,100 878,085
Newell Rubbermaid, Inc. 35,100 829,413
Pioneer Corp. 50,000 1,182,500
-------------
5,121,886
-------------
Internet & Catalog Retail (0.9%)
eBay, Inc. (a) 30,000 3,216,000
-------------
Media (4.6%)
AOL Time Warner, Inc. (a) 150,815 2,327,071
Belo Corp., Class A 40,000 893,200
Clear Channel Communications, Inc. (a) 37,500 1,535,625
Entravision Communications Corp. (a) 100,000 1,065,000
General Motors Corp., Class H (a) 100,000 1,373,000
Grupo Televisa SA, ADR (a) 50,000 1,875,000
Liberty Media Corp. 100,000 1,109,000
Media General, Inc., Class A 30,000 1,730,400
Metro-Goldwyn-Mayer, Inc. (a) 50,000 683,500
Pixar, Inc. (a) 25,000 1,695,000
Pulitzer, Inc. 30,000 1,443,000
Viacom, Inc., Class B (a) 20,310 883,891
Walt Disney Co. 30,000 657,600
-------------
17,271,287
-------------
Multi-Line Retail (1.4%)
Dillard's, Inc., Class A 100,000 1,507,000
Dollar General Corp. 62,500 1,150,000
Stockmann Oyj ABP, Class B 70,000 1,310,663
Target Corp. 30,000 1,149,600
-------------
5,117,263
-------------
Specialty Retail (2.0%)
CarMax, Inc. (a) 80,996 2,875,358
Cole National Corp. (a) 50,000 564,000
Friedman's, Inc., Class A 75,000 1,002,750
Home Depot, Inc. 40,610 1,267,032
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Specialty Retail (continued)
Linens 'N Things, Inc. (a) 40,000 $ 1,070,000
Talbots, Inc. 21,200 699,388
-------------
7,478,528
-------------
Consumer Staples (6.2%)
Beverages (2.1%)
Coca-Cola Co. 62,500 2,810,625
Coca-Cola Femsa, SA de CV and Companhia
de Babidas das Americas, ADR 70,000 1,540,000
Coca-Cola Hellenic Bottling Co. SA 85,000 1,514,187
Companhia de Bebidas das Americas, ADR 70,000 1,389,500
Harbin Brewery Group, Ltd. (a) 1,000,000 352,598
-------------
7,606,910
-------------
Food & Staples Retailing (1.1%)
BJ's Wholesale Club, Inc. (a) 24,800 483,600
Longs Drug Stores Corp. 50,000 976,500
United Natural Foods, Inc. (a) 40,000 1,222,800
Walgreen Co. 50,000 1,496,000
-------------
4,178,900
-------------
Food Products (1.6%)
Archer-Daniels-Midland Co. 75,000 985,500
Campbell Soup Co. 20,000 483,000
Hain Celestial Group, Inc. (a) 50,000 820,000
Kellog Co. 37,500 1,287,375
People's Food Holdings, Ltd. 500,000 295,623
Tootsie Roll Industries, Inc. 25,000 760,250
Tyson Foods, Inc. 100,000 1,133,000
-------------
5,764,748
-------------
Personal Products (1.4%)
Estee Lauder Companies, Inc., Class A 40,000 1,493,200
Gillette Co. 98,050 3,016,018
Kimberly-Clark Corp. 17,500 847,000
------------
5,356,218
-------------
Energy (6.6%)
Energy Equipment & Services (3.4%)
Core Labratories NV (a) 55,000 709,500
FMC Technologies, Inc. (a) 50,000 1,123,000
GlobalSantaFe Corp. 45,275 1,007,369
Grant Prideco, Inc. (a) 75,000 806,250
Halliburton Co. 100,000 2,217,000
Helmerich & Payne, Inc. 40,000 1,070,000
Maverick Tube Corp. (a) 50,000 825,000
Schlumberger Ltd. 57,500 2,591,525
Transocean Inc. (a) 70,000 1,369,900
Universal Compression Holdings, Inc. (a) 31,000 615,350
Willbros Group, Inc. (a) 30,000 286,500
-------------
12,621,394
-------------
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Oil & Gas (3.2%)
Anadarko Petroleum Corp. 30,000 $ 1,314,000
BP PLC, ADR 52,500 2,181,375
China Petroleum & Chemical Corp. 50,000 1,377,500
Cimarex Energy Co. (a) 50,000 1,005,500
ConocoPhillips 37,500 1,962,750
Devon Energy Corp. 24,060 1,139,722
Murphy Oil Corp. 22,500 1,111,050
Petroleo Brasileiro SA, ADR 50,000 1,014,500
Stelmar Shipping Ltd. (a) 36,500 615,755
-------------
11,722,152
-------------
Financials (13.3%)
Banks (4.9%)
Allied Irish Banks, PLC 40,000 1,107,200
Banco Itau SA, ADR 20,000 715,600
Bank One Corp. 44,170 1,747,365
Columbia Banking Systems, Inc. 50,000 926,000
Fifth Third Bancorp 40,150 2,208,652
HSBC Holdings PLC, ADR 27,500 1,692,625
KeyCorp 40,000 1,076,400
MGIC Investment Corp. 32,500 1,803,750
PNC Financial Services Group 18,400 900,680
Radian Group, Inc. 50,000 2,340,500
U.S. Bancorp. 62,500 1,532,500
Wachovia Corp. 50,100 2,188,869
-------------
18,240,141
-------------
Diversified Financials (3.8%)
American Express Co. 37,150 1,640,916
Bank of New York Co., Inc. 50,000 1,506,000
Charles Schwab Corp. 100,000 1,041,000
Citigroup, Inc. 41,210 1,846,208
Financial Federal Corp. 30,000 909,000
GATX Corp. 62,500 1,370,000
J.P. Morgan Chase & Co. 52,900 1,854,145
Mellon Financial Corp. 30,000 907,500
Merrill Lynch & Co., Inc. 10,000 543,700
Morgan Stanley 30,000 1,423,200
Nikko Cordial Corp. 100,000 432,634
Nomura Holdings Inc., ADR 60,000 817,800
-------------
14,292,103
-------------
Insurance (4.3%)
Allstate Corp. 40,000 1,521,200
American International Group, Inc. 52,724 3,384,881
Aon Corp. 47,500 1,142,375
Berkshire Hathaway, Inc., Class B (a) 1,250 3,003,750
Chubb Corp. 10,000 648,000
Cincinnati Financial Corp. 40,000 1,572,000
Hartford Financial Services Group, Inc. 25,000 1,304,750
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Insurance (continued)
Jefferson-Pilot Corp. 20,000 $ 880,000
John Hancock Financial Services, Inc. 31,800 1,038,270
Lincoln National Corp. 20,000 746,800
St. Paul Companies, Inc. 20,000 703,400
-------------
15,945,426
-------------
Real Estate (0.3%)
Crescent Real Estate Equities Co., REIT 26,500 445,730
Post Properties, Inc., REIT 20,000 541,000
-------------
986,730
-------------
Health Care (13.2%)
Biotechnology (2.4%)
Abgenix, Inc. (a) 100,000 1,269,000
Amgen, Inc. (a) 40,000 2,783,200
Biogen, Inc. (a) 37,500 1,440,750
CuraGen Corp. (a) 50,000 245,000
IDEC Pharmaceuticals Corp. (a) 27,500 930,600
MedImmune, Inc. (a) 40,000 1,567,600
Millennium Pharmaceuticals, Inc. (a) 50,000 628,000
-------------
8,864,150
-------------
Health Care Equipment & Supplies (2.7%)
Applera Corp. - Applied Biosystems Group 75,000 1,623,750
Bausch & Lomb, Inc. 20,000 845,400
Baxter International, Inc. 40,000 1,104,400
Boston Scientific Corp. (a) 17,500 1,106,525
ICU Medical, Inc. (a) 25,000 628,000
Kyphon, Inc. (a) 40,000 863,600
Medtronic, Inc. 30,680 1,580,020
Millipore Corp. (a) 50,000 2,224,500
Wright Medical Group, Inc. (a) 10,000 256,200
-------------
10,232,395
-------------
Health Care Providers & Services (2.3%)
AmerisourceBergen Corp. 25,000 1,577,250
IDX Systems Corp. (a) 30,000 579,330
Laboratory Corp. of America Holdings (a) 50,000 1,588,500
McKesson Corp. 52,700 1,700,102
Option Care, Inc. (a) 75,000 937,500
Service Corp. Intl. (a) 75,000 302,250
UnitedHealth Group, Inc. 25,000 1,302,250
US Oncology, Inc. (a) 50,000 401,000
-------------
8,388,182
-------------
Pharmaceuticals (5.8%)
Abbott Laboratories 37,500 1,471,875
Bristol-Myers Squibb Co. 70,037 1,834,969
Elan Corp. PLC, ADR (a) 100,000 485,000
Eli Lilly & Co. 40,000 2,633,600
Gedeon Richter Rt. 25,000 1,934,404
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Pharmaceuticals (continued)
Johnson & Johnson 20,000 $ 1,035,800
Mylan Laboratories, Inc. 57,500 1,941,775
Novartis AG, ADR 50,000 1,929,500
Pfizer, Inc. 92,760 3,094,474
Schering-Plough Corp. 70,000 1,188,600
Sepracor, Inc. (a) 50,000 1,212,500
Shire Pharmaceuticals PLC, ADR (a) 50,000 1,171,500
Wyeth 32,900 1,499,581
-------------
21,433,578
-------------
Industrials (12.1%)
Aerospace & Defense (0.5%)
Lockheed Martin Corp. 20,000 1,046,800
Raytheon Co. 32,500 997,750
-------------
2,044,550
-------------
Air Freight & Couriers (0.4%)
FedEx Corp. 22,500 1,448,775
-------------
Commercial Services & Supplies (2.7%)
Avery Dennison Corp. 15,000 809,400
Cedant Corp. (a) 137,500 2,468,125
Central Parking Corp. 40,000 591,200
Cintas Corp. 30,000 1,235,100
Copart, Inc. (a) 86,400 809,568
G & K Services, Inc., Class A 30,000 938,100
Ionics, Inc. (a) 57,500 1,317,325
Waste Management, Inc. 75,000 1,791,750
-------------
9,960,568
-------------
Construction & Engineering (0.2%)
Insituform Technologies, Inc., Class A (a) 40,000 670,800
-------------
Electrical Equipment (0.9%)
Cooper Industries Ltd., Class A 40,000 1,773,200
Emerson Electric Co. 30,000 1,611,000
-------------
3,384,200
-------------
Industrial Conglomerates (3.3%)
3M Co. 42,500 5,958,500
General Electric Co. 77,500 2,204,100
Siemens AG, ADR 30,000 1,683,300
Textron, Inc. 52,500 2,279,550
-------------
12,125,450
-------------
Machinery (3.6%)
Caterpillar, Inc. 47,500 3,204,825
Deere & Co. 10,000 507,800
Eaton Corp. 32,500 2,735,525
Flowserve Corp. (a) 40,000 770,400
Joy Global, Inc. (a) 50,000 789,500
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Machinery (continued)
Kaydon Corp. 40,000 $ 945,200
Navistar International Corp. (a) 40,000 1,560,800
Pall Corp. 51,800 1,169,126
Timken Co. 70,000 1,071,000
Trinity Industries, Inc. 30,000 680,700
-------------
13,434,876
-------------
Road & Rail (0.2%)
Kansas City Southern (a) 60,000 729,000
-------------
Trading & Distribution (0.3%)
Fastenal Co. 30,000 1,140,000
-------------
Information Technology (14.2%)
Communications Equipment (2.1%)
Cisco Systems, Inc. (a) 100,180 1,955,514
Comverse Technology, Inc. (a) 102,500 1,511,875
Corvis Corp. (a) 125,000 180,000
Motorola, Inc. 51,400 464,656
Polycom, Inc. (a) 137,500 2,296,250
Telefonaktiebolaget LM Ericsson, ADR 50,000 713,500
Tellabs, Inc. (a) 100,000 673,000
-------------
7,794,795
-------------
Computers & Peripherals (1.9%)
EMC Corp. (a) 112,950 1,201,788
International Business Machines Corp. 25,000 2,031,250
Sandisk Corp. (a) 40,000 2,267,600
Sun Microsystems, Inc. (a) 150,000 561,000
Synaptics, Inc. (a) 80,000 1,067,200
-------------
7,128,838
-------------
Electronic Equipment & Instruments (1.7%)
Celestica, Inc. (a) 100,000 1,533,000
Flextronics International Ltd. (a) 100,000 1,100,000
Methode Electronics, Inc., Class A 87,500 1,033,375
Murata Manufacturing Co., Ltd. 20,000 921,736
Solectron Corp. (a) 125,000 638,750
Symbol Technologies, Inc. 75,000 960,750
-------------
6,187,611
-------------
IT Services (0.7%)
Automatic Data Processing, Inc. 37,500 1,390,500
Concord EFS, Inc. (a) 50,000 680,500
Convergys Corp. (a) 42,350 714,444
-------------
2,785,444
-------------
Internet Software & Services (0.8%)
Corillian Corp. (a) 100,000 300,000
Ebookers, PLC, ADR (a) 20,000 362,200
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Internet Software & Services (continued)
Yahoo, Inc. (a) 72,500 $ 2,256,925
-------------
2,919,125
-------------
Office Electronics (0.5%)
Canon, Inc., ADR 40,000 1,960,400
-------------
Semiconductor Equipment & Products (3.6%)
Advantest Corp. ADR 60,000 828,000
Altera Corp. (a) 30,000 577,200
Analog Devices, Inc. (a) 40,000 1,518,000
Atmel Corp. (a) 125,000 401,250
FEI Co. (a) 60,000 1,332,000
Intel Corp. 53,050 1,323,598
Micron Technology, Inc. (a) 65,575 960,018
Mykrolis Corp. (a) 42,500 525,725
Samsung Electronics Co., Ltd., GDR (b) 7,500 1,321,875
Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) 143,100 1,431,000
Teradyne, Inc. (a) 75,000 1,233,750
Texas Instruments, Inc. 94,650 1,786,046
-------------
13,238,462
-------------
Software (2.9%)
Autodesk, Inc. 77,500 1,159,400
BEA Systems, Inc. (a) 100,000 1,320,000
Microsoft Corp. (a) 106,220 2,804,208
Network Associates, Inc. (a) 40,000 452,000
Oracle Corp. (a) 110,000 1,320,000
SAP AG, ADR 55,650 1,633,328
Siebel Systems, Inc. (a) 100,000 938,000
Verity, Inc. (a) 75,000 998,250
-------------
10,625,186
-------------
Materials (6.1%)
Chemicals (2.8%)
Dow Chemical Co. 50,000 1,765,000
Eastman Chemical Co. 50,000 1,815,000
H.B. Fuller Co. 48,500 1,176,610
Olin Corp. 40,000 747,200
Potash Corp. of Saskatchewan, Inc. 35,000 2,276,400
Rohm & Haas Co. 40,000 1,414,800
Schulman (A.), Inc. 75,000 1,221,000
-------------
10,416,010
-------------
Containers & Packaging (0.6%)
Smurfit-Stone Container Corp. (a) 50,000 748,500
Temple-Inland, Inc. 30,000 1,391,700
-------------
2,140,200
-------------
Metals & Mining (1.1%)
Allegheny Technologies, Inc. 100,000 755,000
Barrick Gold Corp. 67,500 1,155,600
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
---------- -------------
Common Stocks (continued)
Metals & Mining (continued)
CONSOL Energy, Inc. 50,000 $ 932,500
Inco Ltd. (a) 57,500 1,340,325
-------------
4,183,425
-------------
Paper & Forest Products (1.6%)
Georgia-Pacific Corp. 90,000 1,966,500
International Paper Co. 30,000 1,173,600
MeadWestvaco Corp. 40,000 968,400
Votorantim Celulose e Papel SA, ADR (a) 72,800 1,684,592
-------------
5,793,092
-------------
Telecommunication Services (2.9%)
Diversified Telecommunication Services (1.5%)
AT&T Corp. (a) 60,660 1,289,632
BellSouth Corp. 30,000 764,100
PT Telekomunikasi Indonesia, ADR 100,000 1,039,000
SBC Communications, Inc. 79,500 1,857,120
Telefonos De Mexico SA de CV, ADR 15,000 462,900
-------------
5,412,752
-------------
Wireless Telecommunication Services (1.4%)
AT&T Wireless Services, Inc. (a) 100,000 853,000
Millicom International Cellular SA (a) 52,500 1,754,550
Mobile Telesystems, ADR (a) 30,000 1,657,500
Vodaphone Group PLC 50,000 949,000
-------------
5,214,050
-------------
Utilities (1.2%)
Electric Utilities (0.4%)
DPL, Inc. 35,400 515,070
TECO Energy, Inc. 75,000 930,000
-------------
1,445,070
-------------
Multi-Utilities & Unregulated Power (0.8%)
Duke Energy Corp. 50,000 877,500
EL Paso Corp. 75,000 528,000
Westar Energy, Inc. 57,000 958,170
Williams Companies., Inc. 100,000 635,000
-------------
2,998,670
-------------
Total Common Stocks
(Cost of $276,724,271) 327,708,221
-------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Preferred Stock (0.3%)
Consumer Discretionary (0.3%)
Media (0.3%)
News Corp., Ltd., ADR
(Cost of $1,127,258) 50,000 $ 1,282,000
---------------
Investment Management Company (0.3%)
iShare MSCI Japan Index Fund (a)
(Cost of $911,500) 125,000 950,000
---------------
<Caption>
PAR
---------------
Short-Term Obligation (11.2%)
Repurchase agreement with State Street Bank &
Trust, dated 7/31/03, due 8/01/03 at 0.950%
collateralized by U.S. Treasury Bonds and/or Notes
with various maturities to 5/15/04, market value of $42,458,401
(repurchase proceeds $41,623,098)
(Cost of $41,622,000) $ 41,622,000 41,622,000
---------------
Total Investments (100.2%)
(Cost of $320,385,029) (c) 371,562,221
Other Assets & Liabilities, Net (-0.2%) (942,160)
---------------
Net Assets (100.0%) $ 370,620,061
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) This security is exempt from registration under Rule 144A of the
Securities Act of 1993 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At July 31,
2003, the value of this security amounted to $1,321,875 or 0.4% of net
assets.
(c) Cost for federal income tax purposes is $323,465,262.
<Table>
<Caption>
ACRONYM NAME
--------------- ----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
ASSETS:
Investments, at identified cost $ 320,385,029
---------------
Investments, at value $ 329,940,221
Repurchase agreement 41,622,000
Cash 311
Receivable for:
Investments sold 3,942,413
Capital stock sold 61,833
Dividends 328,800
Interest 1,098
Expense reimbursement due from investment advisor 25,097
---------------
Total assets 375,921,773
---------------
LIABILITIES:
Payable for:
Investments purchased 5,125,477
Capital stock redeemed 6,641
Investment management fee 127,551
Audit fee 24,030
Custodian fee 644
Transfer agent fee 3,868
Trustees' fee 192
Other liabilities 13,309
---------------
Total liabilities 5,301,712
---------------
NET ASSETS $ 370,620,061
===============
NET ASSETS consist of:
Paid-in capital $ 325,018,841
Undistributed net investment income 2,200,131
Accumulated net realized loss (7,776,103)
Net unrealized appreciation on investments 51,177,192
---------------
NET ASSETS $ 370,620,061
===============
Shares of capital stock outstanding 30,736,830
===============
Net asset value, offering and redemption price per share $ 12.06
===============
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
STATEMENTS OF OPERATIONS
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ----------------
NET INVESTMENT INCOME:
Income:
Dividends $ 3,356,078 $ 1,226,125
Interest 277,162 278,939
Foreign withholding tax (103,594) (5,827)
---------------- ----------------
Total income 3,529,646 1,499,237
---------------- ----------------
Expenses:
Investment management fee 871,581 428,315
Transfer agent fee 13,691 18,000
Trustees' fee 1,750 3,337
Custody fee 27,841 26,399
Audit fee 22,918 17,889
Registration fee 6,335 1,070
Miscellaneous fee 4,722 781
Other expense 36,677 2,882
---------------- ----------------
Total expense 985,515 498,673
Expense reimbursements by investment advisor (112,202) (70,358)
Custody earnings credit (1,495) -
---------------- ----------------
Net expenses 871,818 428,315
---------------- ----------------
Net investment income 2,657,828 1,070,922
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investment 1,502,561 (9,098,861)
Foreign currency transactions 1,874 (145)
---------------- ----------------
Net realized gain (loss) 1,504,435 (9,099,006)
---------------- ----------------
Net change in unrealized appreciation/depreciation on investments 54,067,910 (3,343,013)
---------------- ----------------
Net gain (loss) 55,572,345 (12,442,019)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 58,230,173 $ (11,371,097)
---------------- ----------------
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
PERIOD ENDED YEAR ENDED PERIOD ENDED
JULY 31, 2003(a) OCTOBER 31, 2002 OCTOBER 31, 2001(b)
------------------- ------------------- -------------------
Operations:
Net investment income $ 2,657,828 $ 1,070,922 $ 13,033
Net realized gain (loss) on investments and
foreign currency transactions 1,504,435 (9,099,006) (196,676)
Net change in unrealized appreciation/depreciation
on investments and foreign currency translations 54,067,910 (3,343,013) 452,295
------------------- ------------------- -------------------
Net increase (decrease) from operations 58,230,173 (11,371,097) 268,652
Distributions declared to shareholders:
From net investment income (1,463,038) (63,470) -
------------------- ------------------- -------------------
Net capital share transactions 125,673,780 162,672,129 36,672,932
------------------- ------------------- -------------------
Net increase in net assets 182,440,915 151,237,562 36,941,584
NET ASSETS:
Beginning of period 188,179,146 36,941,584 -
------------------- ------------------- -------------------
End of period $ 370,620,061 $ 188,179,146 $ 36,941,584
=================== =================== ===================
Undistributed net investment income $ 2,200,131 $ 1,009,924 $ 13,033
=================== =================== ===================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on October 9, 2001.
See Accompanying Notes to Financial Statements.
16
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Strategic Equity Fund (formerly CMC Strategic Equity Fund) (the "Fund") is a
portfolio of CMG Fund Trust (formerly CMC Fund Trust) (the "Trust"), an open-end
diversified investment company registered under the Investment Company Act of
1940, as amended.
The Trust has established eleven other operational portfolios, CMG Small Cap
Fund (formerly CMC Small Cap Fund), CMG Small/Mid Cap Fund (formerly CMC
Small/Mid Cap Value Fund), CMG International Stock Fund (formerly CMC
International Stock Fund), CMG Enhanced S&P 500 Index Fund, CMG Mid Cap Growth
Fund, CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG Small Cap Value
Fund, CMG Fixed Income Securities Fund (formerly CMC Fixed Income Securities
Fund), CMG High Yield Fund (formerly CMC High Yield Fund) and CMG Short Term
Bond Fund (formerly CMC Short Term Bond Fund), which are not included in these
financial statements. Each portfolio issues a separate series of the Trust's
shares and maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end of the Fund from October 31 to July 31. The Fund's 2003 fiscal
year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Equity securities are valued based on the last sale prices
reported by the principal securities exchanges on which the investments are
traded or, in the absence of recorded sales, at the closing bid prices on such
exchanges or over-the-counter markets. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded. Short-term fixed income obligations
with less than 60 days to maturity when purchased are valued at amortized cost,
which approximates market value. Investments for which market quotations are not
readily available will be valued at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees. Foreign currency exchange rates and value of foreign securities are
also generally determined prior to the close of the New York Stock Exchange.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close of
the customary trading session of the New York Stock Exchange, which would not be
reflected in the computation of the Fund's net asset value. If events materially
affecting the value of such securities and such exchange rates occur during such
period, then these securities and exchange rates will be valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Board of Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment advisor determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
17
<Page>
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes.
Securities purchased on a when-issued or forward-delivery basis may settle a
month or more after trade date; interest income is not accrued until settlement
date. It is the Fund's policy to segregate liquid assets with a current value at
least equal to the amount of its when-issued purchase commitments until
settlement date.
INVESTMENT INCOME AND EXPENSES. Dividend income less foreign taxes withheld (if
any) is recorded on the ex-dividend date. Certain dividends from foreign
securities will be recorded as soon as the Fund is informed of the dividend, if
such information is obtained subsequent to the ex-dividend date. Interest income
is recorded on the accrual basis. Expenses are recorded on the accrual basis and
each Fund bears expenses incurred specifically on its behalf as well as a
portion of general expenses incurred on behalf of the Trust and its underlying
portfolios.
FOREIGN CURRENCY TRANSLATIONS. The books and records of the Fund are maintained
in U.S. dollars. Foreign currencies, investments and other assets and
liabilities of the Fund are translated into U.S. dollars at the daily rates of
exchange on the valuation date. Purchases and sales of investment securities,
dividend and interest income and certain expenses are translated at the rates of
exchange prevailing on the respective dates of such transactions. The Fund does
not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes
in market prices on investments held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from the sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalents of the amounts actually received or
paid. Net unrealized foreign exchange gains or losses arise from changes in the
value of assets and liabilities, other than investments in securities, resulting
from changes in the exchange rates.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared and paid annually. Distributions from any net realized gains
are generally declared and paid annually. Additional distributions of net
investment income and capital gains for the Fund may be made at the discretion
of the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
18
<Page>
OTHER. There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities. These
risks may involve foreign currency exchange rate fluctuations, adverse political
and economic developments and the possible prevention of currency exchange or
other foreign governmental laws or restrictions.
2. FEDERAL INCOME TAX:
Income and capital gain 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 treatments for deferral of losses from wash sales, real estate
investment trust adjustments and capital loss carryforwards. Reclassifications
are made to the Fund's capital accounts to reflect income and gains available
for distribution (or available capital loss carryforwards) under income tax
regulations.
For the period ended July 31, 2003 permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME LOSS CAPITAL
-------------- ------------ -------
$ (4,583) $ 4,583 $ -
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal years ended October 31, 2002 and October 31, 2001 was as follows:
<Table>
<Caption>
PERIOD OCTOBER 31,
ENDED --------------------
JULY 31, 2003 2002 2001
------------- -------- --------
Ordinary Income $ 1,463,038 $ 63,470 $ -
</Table>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS APPRECIATION*
------------- ------------- -------------
$ 2,183,469 $ - $ 48,096,959
</Table>
*The difference between book-basis and tax-basis unrealized appreciation is
attributable primarily to the tax deferral of losses on wash sales and real
estate investment trust adjustments.
19
<Page>
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARDS
-------------
YEAR OF EXPIRATION
2010 $ 4,679,207
</Table>
Utilization of the capital loss carryforwards above could be significantly
limited under rules imposed by the Internal Revenue Code.
Expired capital loss carryforwards, if any, are recorded as a reduction of
paid-in capital.
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Fund, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect,
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Fund. The merger did not change the way the Fund is managed, the investment
personnel assigned to manage the Fund or the fees paid by the Fund.
Columbia is the investment advisor of the Fund. Investment management fees are
paid monthly to Columbia. The fees are based on an annual rate of 0.40% of the
Fund's average daily net assets.
Columbia has contractually agreed, through October 31, 2004, to reimburse
ordinary expenses (expenses incurred throughout the ordinary course of business)
of the Fund, to the extent that these expenses together with the advisory fee,
exceed 0.40% of the Fund's average daily net assets.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than in their capacity as trustees. Other
officers and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $1,495 of
custody fees were reduced by balance credits for the period ended July 31, 2003.
The Fund could have invested a portion of the assets utilized in connection with
the expense offset arrangement in an income-producing asset if it had not
entered into such an agreement.
4. INVESTMENT TRANSACTIONS:
As of July 31, 2003, for federal income tax purposes, net unrealized
appreciation (depreciation) on investments were as follows:
<Table>
Gross Unrealized Appreciation $ 53,430,538
Gross Unrealized Depreciation (5,333,579)
------------
Net Unrealized Appreciation $ 48,096,959
============
</Table>
For the period ended July 31, 2003, purchases and sales of long-term securities,
excluding U.S. government securities, were $317,759,798 and $201,190,186,
respectively.
20
<Page>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
PERIOD ENDED YEAR ENDED PERIOD ENDED
JULY 31, 2003(a) OCTOBER 31, 2002 OCTOBER 31, 2002(b)
------------------- ------------------- -------------------
SHARES:
Shares sold 13,628,484 15,932,938 3,658,811
Shares issued for reinvestment of dividends and
distributions 140,587 5,562 -
Less shares redeemed (1,583,795) (1,045,757) -
------------------- ------------------- -------------------
Net increase 12,185,276 14,892,743 3,658,811
=================== =================== ===================
AMOUNTS:
Sales $ 141,164,376 $ 174,100,499 $ 36,672,932(c)
Reinvestment of dividends and distributions 1,438,209 63,245 -
Less redemptions (16,928,805) (11,491,615) -
------------------- ------------------- -------------------
Net increase $ 125,673,780 $ 162,672,129 $ 36,672,932
=================== =================== ===================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced operation on October 9, 2001.
(c) Includes $20,915,802 of securities in an in-kind transfer.
6. LINE OF CREDIT:
The Fund is party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2004. The Fund did not utilize the line of credit during the period
ended July 31, 2003.
7. BENEFICIAL INTEREST:
At July 31, 2003, 31.58% of the outstanding shares of the Fund were held by
three shareholders, each holding in excess of 5% of the Fund's shares
outstanding. Investment activity of these shareholders may have a material
effect on the Fund.
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbent trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
21
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG STRATEGIC EQUITY FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Strategic Equity Fund (formerly
CMC Strategic Equity Fund) (the "Fund"), one of the portfolios of CMG Fund Trust
(formerly CMC Fund Trust), at July 31, 2003, and the results of its operations,
changes in its net assets and financial highlights for 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 Fund's 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 July 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
22
<Page>
Unaudited Information
FEDERAL INCOME TAX INFORMATION
97.61% of the ordinary income distributed by the Fund, in the period ended
July 31, 2003, qualifies for the corporate dividends received deduction.
For non-corporate Shareholders 0.00% of income distributed by the Fund for the
period ended July 31, 2003 represent qualified dividend income subject to the
15% income tax rate category.
23
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the fund's distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ----------------------- -------------- ------------------ --------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the Liberty
One Financial Center and Principal All-Star Funds since May 2002; Chief Accounting
Boston, MA 02111 Accounting Officer of the Liberty Funds and Liberty All-Star
(42 years old) Officer Funds since June 2001; Controller and Chief
Accounting Officer of the Galaxy Funds since
September 2002 (formerly Vice President, Corporate
Audit, State Street Bank and Trust Company from
May 1998 to April 2001; Audit Manager from July
1994 to June 1997; Senior Audit Manager from July
1997 to May 1998, Coopers & Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star
245 Summer Street Financial December 2002 Funds, Stein Roe Funds and Galaxy Funds; Senior
Boston, MA 02110 Officer Vice President of Liberty Funds Group LLC. Prior
(39 years old) to his current positions, Mr. Connaughton was
Controller of Liberty Funds, Liberty All-Star
Funds and Stein Roe Funds; Vice President of
Liberty Funds Group LLC and Colonial Management
Associates, Inc.; Senior Tax Manager, Coopers &
Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and
1300 S.W. Sixth Avenue Assistant Chief Operating Officer-West Coast of the Adviser.
Portland, OR 97201 Secretary Prior to his current positions with the Adviser,
(49 years old) Mr. Curtis was President, Senior Vice President
and General Counsel of the Adviser. Mr. Curtis is
also currently the President of Columbia Trust
Company and Columbia Financial Center
Incorporated, affiliates of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice
1300 S.W. Sixth Avenue Investment President of the Adviser; Chief Investment Officer
Portland, OR 97201 Officer and and Senior Vice President of Columbia Trust
(45 years old) Senior Vice Company. Prior to his current positions with the
President Adviser, Mr. Johnson was Chief Investment Officer
and Vice President of the Adviser.
</Table>
24
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ----------------------- -------------- ------------------ --------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating
One Financial Center Officer of Columbia Management Group, Inc. (the
Boston, MA 02111 parent of the Adviser) since December 2001;
(50 years old) Director, Executive Vice President and Chief
Operating Officer of the Adviser since April 2003;
(formerly Chief Operations Officer of Mutual
Funds, Liberty Financial Companies, Inc. from
August 2000 to November, 2001; Executive Vice
President of Stein Roe & Farnham Incorporated
(Stein Roe) from April 1999 to April 2003;
Director of Colonial Management Associates, Inc.
from April 1999 to April 2003; Director of Stein
Roe from September 2000 to April 2003); President
of Liberty Funds since February 2003; Manager of
Stein Roe Floating Rate Limited Liability Company
since October 2000 (formerly Vice President of
Liberty Funds from April, 1999 to August 2000;
Chief Operating Officer and Chief Compliance
Officer, Putnam Mutual Funds from December 1993 to
March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his
1300 S.W. Sixth Avenue current positions, Mr. Wentzien was Associate
Portland, OR 97201 Counsel of the Advisor.
(43 years old)
</Table>
25
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ----------------------- -------------- ------------------ -------------------- ---------------- -------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics,
Economics University of
University of Washington, since
Washington January 1976; Ford
Seattle, WA 98195 and Louisa Van
(61 years old) Voorhis Professor of
Political Economy,
University of
Washington, since
September 1993;
Director, Institute
for Economic
Research, University
of Washington, since
September 2001;
Adjunct Professor of
Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and Banking,
since September
1993; consultant on
econometric and
statistical matters.
</Table>
26
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ----------------------- -------------- ------------------- -------------------- ---------------- -------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins 27 None
1211 S.W. 5th Avenue Coie LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, 27 The Regence
100 S.W. Market St. #1500 The Regence Group Group,
Portland, OR 97207 (a healthcare Regence
(62 years old) maintenance BlueCross
organization). BlueShield of
Oregon; NW
Natural, a
natural gas
service
provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
27
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
941-02/8450-0703 (09/03) C-03/021
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG FIXED INCOME SECURITIES FUND
A PORTFOLIO OF CMG FUND TRUST
ANNUAL REPORT
JULY 31, 2003
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Fixed Income
Securities Fund. The Board of Trustees for CMG Fixed Income Securities Fund
approved the change of the fund's fiscal year end from October to July. As a
result, this report covers the nine-month period since the last annual report.
The next report you will receive will be a report for the six-month period
through January 2004.
For the nine-month period ended July 31, 2003, the fund returned 1.76%. The fund
underperformed the Lehman Brothers Aggregate Bond Index, which returned 2.48%,
and the Lipper A Rated Bond Funds Index, which returned 3.62% over the same
period. During the reporting period non-investment-grade high-yield bonds and
non-dollar denominated securities were the top performers. Because the fund is
only invested in investment-grade US Dollar denominated securities, it
underperformed funds that are allowed to hold low quality and non-US bonds.
Although many analysts had predicted a return to normal economic growth in 2003,
gross domestic product (GDP) rose by just 1.4% in the first quarter. The Federal
Reserve indicated that it would continue to provide monetary stimulus as long as
the economy remained sluggish. In late June they lowered the fed funds rate by
one quarter of a percentage point, to just 1.00%.
In July, however, interest rates moved sharply higher, with the yield on the
5-year Treasury rising by more than a full percentage point, to 3.22%. Investors
appeared to have concluded that the Fed's interest rate cuts had run their
course, a view that was substantiated when second-quarter economic growth came
in at 2.4%. While it is yet to be determined if we are in a true economic
recovery, market conditions appear to be improving.
The portfolio remains modestly overweight in corporate bonds. Although the yield
spread has come down substantially, we believe that corporate bonds can continue
to outperform in an environment where Treasury yields are low. Among other bond
sectors, we are underweight in straight mortgage pass-throughs, which have
underperformed because of high levels of mortgage prepayments. Overall, our
combined position in mortgage-backed and asset-backed securities has been
reduced from 50% of the portfolio to 46%. We maintained a duration that is
somewhat shorter than the index, which helped the fund during July when interest
rates rose sharply.
Although an economic recovery has been long in coming, we are hopeful that the
latest round of interest rate cuts, combined with the stimulus provided by May's
dividend tax cut, will push business spending and capital investment higher.
Many economic analysts anticipate a return to a more normal GDP growth rate of
between 3% and 4% for the second half of this year. We believe that the fund's
relatively conservative positioning will allow it to post competitive returns in
various interest rate environments.
1
<Page>
The fund's top ten holdings (as a percentage of net assets) as of
July 31, 2003 (%):
<Table>
Federal National Mortgage Association, 4.500% TBA 12.7
Federal National Mortgage Association, 5.000% TBA 4.2
US Treasury Bond, 6.250% 8/15/2023 4.1
Federal Home Loan Mortgage Corp., 6.000% 2033 (various pools) 3.4
US Treasury Note, 3.500% 11/15/2006 3.1
US Treasury Inflation Index Bonds, 3.625% 1/15/2008 2.8
US Treasury Bond, 8.875% 8/15/2017 2.3
Residential Funding Mortgage Securities I, Inc., 1.550% 7/25/2018 2.0
Federal National Mortgage Association, 6.000% 2033 (various pools) 1.8
Federal Home Loan Bank, 3.625% 10/15/2004 1.6
</Table>
We appreciate your continued confidence in the CMG Fixed Income Securities Fund.
The Columbia Investment Team
July 31, 2003
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE INVESTMENT RESULTS. The principal
value and investment returns will fluctuate, resulting in a gain or loss on
sale.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates; and
political and economic developments.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 1, 2000 TO JULY 31, 2003
<Table>
<Caption>
CMG FIXED INCOME LEHMAN BROTHERS LIPPER A RATED BOND
SECURITIES FUND AGGREGATE BOND INDEX FUNDS INDEX
8/31/2000 $ 10,000 $ 10,000 $ 10,000
9/30/2000 $ 10,075 $ 10,063 $ 10,055
10/31/2000 $ 10,130 $ 10,129 $ 10,097
11/30/2000 $ 10,309 $ 10,296 $ 10,247
12/31/2000 $ 10,522 $ 10,487 $ 10,457
1/31/2001 $ 10,681 $ 10,659 $ 10,651
2/28/2001 $ 10,786 $ 10,752 $ 10,747
3/31/2001 $ 10,844 $ 10,806 $ 10,785
4/30/2001 $ 10,784 $ 10,760 $ 10,723
5/31/2001 $ 10,850 $ 10,825 $ 10,794
6/30/2001 $ 10,897 $ 10,866 $ 10,837
7/31/2001 $ 11,144 $ 11,109 $ 11,083
8/31/2001 $ 11,264 $ 11,237 $ 11,208
9/30/2001 $ 11,424 $ 11,368 $ 11,252
10/31/2001 $ 11,651 $ 11,606 $ 11,495
11/30/2001 $ 11,503 $ 11,446 $ 11,356
12/31/2001 $ 11,445 $ 11,373 $ 11,271
1/31/2002 $ 11,499 $ 11,465 $ 11,350
2/28/2002 $ 11,605 $ 11,576 $ 11,434
3/31/2002 $ 11,426 $ 11,384 $ 11,251
4/30/2002 $ 11,636 $ 11,605 $ 11,450
5/31/2002 $ 11,736 $ 11,703 $ 11,537
6/30/2002 $ 11,823 $ 11,804 $ 11,587
7/31/2002 $ 11,911 $ 11,947 $ 11,656
8/31/2002 $ 12,114 $ 12,149 $ 11,869
9/30/2002 $ 12,295 $ 12,345 $ 12,053
10/31/2002 $ 12,114 $ 12,289 $ 11,933
11/30/2002 $ 12,090 $ 12,285 $ 11,976
12/31/2002 $ 12,277 $ 12,539 $ 12,236
1/31/2003 $ 12,288 $ 12,551 $ 12,261
2/28/2003 $ 12,469 $ 12,724 $ 12,440
3/31/2003 $ 12,454 $ 12,714 $ 12,432
4/30/2003 $ 12,550 $ 12,819 $ 12,571
5/31/2003 $ 12,772 $ 13,058 $ 12,834
6/30/2003 $ 12,727 $ 13,031 $ 12,804
7/31/2003 $ 12,327 $ 12,594 $ 12,365
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JULY 31, 2003
<Table>
<Caption>
INCEPTION 9-MONTH 1-YEAR LIFE
CMG Fixed Income Securities Fund (09/01/00) 1.76 3.49 7.44
Lehman Brothers Aggregate Bond Index 2.48 5.42 8.22
Lipper A Rated Bond Funds Index 3.62 6.08 7.55
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JUNE 30, 2003
<Table>
<Caption>
INCEPTION 9-MONTH 1-YEAR LIFE
CMG Fixed Income Securities Fund (09/01/00) 3.52 7.65 8.90
Lehman Brothers Aggregate Bond Index 5.56 10.40 9.79
Lipper A Rated Bond Funds Index 6.22 10.50 9.12
</Table>
The fund's inception date is September 1, 2000, and index performance is from
August 31, 2000.
MUTUAL FUND PERFORMANCE CHANGES OVER TIME. Past performance is no guarantee of
future investment results. The principal value and investment returns will
fluctuate, resulting in a gain or loss on sale. All results shown assume
reinvestment of distributions. The graph and table do not reflect the deduction
of taxes that a shareholder would pay on fund distributions or the redemption of
fund shares.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of
investment-grade US Treasury and agency securities, corporate bonds and
mortgage-backed bonds. Unlike the fund, the index is not an investment, does not
incur fees or expenses, and is not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index. The Lipper A Rated Bond Funds Index, also an unmanaged index, measures
performance of all A rated bond funds tracked by Lipper Analytical Services.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the Advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
3
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
PERIOD PERIOD
ENDED YEAR ENDED OCTOBER 31, ENDED
JULY 31, -------------------------- OCTOBER 31,
2003 (a) 2002 2001 2000 (b)
--------- --------- --------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.52 $ 10.83 $ 10.02 $ 10.00
--------- --------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.31(c) 0.56(c)(d) 0.65 0.11
Net realized and unrealized gain (loss)
on investments and futures contracts (0.12) (0.15)(d) 0.81 0.02
--------- --------- --------- -----------
Total from investment operations 0.19 0.41 1.46 0.13
--------- --------- --------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.33) (0.58) (0.65) (0.11)
From net realized gains - (0.14) -(e) -
--------- --------- --------- -----------
Total distributions declared to shareholders (0.33) (0.72) (0.65) (0.11)
--------- --------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.38 $ 10.52 $ 10.83 $ 10.02
========= ========= ========= ===========
TOTAL RETURN (f)(g) 1.76%(h) 3.97% 15.01% 1.31%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 30,512 $ 27,412 $ 28,774 $ 10,866
Ratio of net expenses to average net assets (i)(j) 0.40%(k) 0.40% 0.40% 0.40%(k)
Ratio of net investment income to average
net assets (i)(j) 3.95%(k) 5.34%(d) 6.14% 6.57%(k)
Waiver/reimbursement (i) 0.29%(k) 0.16% 0.25% 1.06%(k)
Portfolio turnover rate 181%(h) 147% 140% 103%(h)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on September 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.02, decrease net realized and unrealized loss per
share data by $0.02 and decrease the ratio of net investment income to
average net assets from 5.53% to 5.34%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the investment advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(h) Not annualized.
(i) The investment advisor has contractually agreed, through October 31, 2004,
to reimburse ordinary expenses of the Fund, to the extent that these
expenses, together with the advisory fee, exceed 0.40% of the Fund's
average daily net assets.
(j) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(k) Annualized.
See Accompanying Notes to Financial Statements
4
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
July 31, 2003
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
U.S. Government & Agency Securities (45.0%)
U.S. Treasury Notes & Bonds (13.9%)
U.S. Treasury Bonds
6.250% 08/15/2023 $ 1,135,000 $ 1,246,550
8.875% 08/15/2017 515,000 711,143
U.S. Treasury Inflation Index Bonds
3.625% 01/15/2008 795,130 868,431
U.S. Treasury Notes
3.500% 11/15/2006 925,000 952,245
4.875% 02/15/2012 430,000 446,595
-------------
4,224,964
-------------
U.S. Agency Bonds (1.6%)
Federal Home Loan Bank
3.625% 10/15/2004 480,000 492,204
-------------
Government National Mortgage Association (GNMA) (0.8%)
7.000% 01/15/2032 - 03/15/2032 237,352 249,443
-------------
Federal Home Loan Mortgage Corp. (FHLMC) (4.6%)
3.500% 09/15/2003 (a) 50,000 50,147
6.000% 05/01/2017 - 05/01/2033 1,011,658 1,034,388
6.500% 08/01/2032 317,371 326,702
-------------
1,411,237
-------------
Federal National Mortgage Association (FNMA) (19.0%)
6.000% 03/01/2033 543,579 549,939
6.500% 07/01/2032 89,879 92,521
To Be Announced
4.500% 08/15/2018 (b) 3,470,000 3,378,913
4.500% 09/15/2018 (b) 500,000 489,121
5.000% 08/15/2018 (b) 797,000 795,757
5.000% 09/15/2018 (b) 500,000 500,781
-------------
5,807,032
-------------
Agency Collateralized Mortgage Obligations (5.1%)
FHLMC GNMA Gtd. Multiclass Mtg. Partn. Ctfs.
Series 24 Cl. J
6.250% 11/25/2023 150,000 158,403
Series 1602 Cl. PJ
6.500% 10/15/2023 100,000 107,430
Series 2113 Cl. MU
6.500% 08/15/2027 217,135 222,538
FNMA Gtd. Remic Pass Thru Ctfs.
Remic Tr. 2001-34 Cl. AE
6.000% 07/25/2029 470,000 478,982
Remic Tr. 2001-56 Cl. KD
6.500% 07/25/2030 140,000 144,507
Remic Tr. 2002-8 Cl. PD
6.500% 07/25/2030 100,000 103,391
</Table>
See Accompanying Notes to Financial Statements
5
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
U.S. Government & Agency Securities (continued)
Agency Collateralized Mortgage Obligations (continued)
GNMA Gtd. Remic Pass Thru Secs.
Remic Tr. 1999-14 Cl. PE
6.000% 11/20/2025 $ 150,000 $ 151,779
Remic Tr. 2002-40 Cl. UL
6.500% 06/01/2032 170,000 175,018
-------------
1,542,048
-------------
Total U.S. Government & Agency Securities
(Cost of $13,813,334) 13,726,928
-------------
Corporate Notes & Bonds (33.8%)
Financials (13.7%)
American General Finance
5.375% 09/01/2009 50,000 52,674
American International Group, Inc.
2.875% 05/15/2008 (c) 250,000 240,007
Bank of America Corp.
5.875% 02/15/2009 150,000 163,180
7.800% 02/15/2010 100,000 117,734
Bank One Corp.
2.625% 06/30/2008 300,000 281,383
CIT Group, Inc.
7.250% 08/15/2005 60,000 65,344
Citigroup, Inc.
7.250% 10/01/2010 250,000 285,904
Equitable Companies, Inc.
9.000% 12/15/2004 175,000 190,307
Ford Motor Credit Co.
7.375% 10/28/2009 260,000 265,762
General Electric Capital Corp.
6.750% 03/15/2032 100,000 105,169
General Motors Acceptance Corp.
4.500% 07/15/2006 175,000 175,451
Goldman Sachs Group, Inc.
6.125% 02/15/2033 75,000 71,699
Health Care Property Investors, Inc.
6.875% 06/08/2005 (d) 125,000 132,398
Household Finance Corp.
6.400% 06/17/2008 230,000 252,615
J.P. Morgan Chase & Co.
5.750% 01/02/2013 125,000 127,614
John Deere Capital Corp.
3.900% 01/15/2008 150,000 150,807
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 150,000 151,190
Merrill Lynch & Co.
2.470% 03/10/2006 125,000 124,217
</Table>
See Accompanying Notes to Financial Statements
6
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Financials (continued)
Morgan Stanley & Co.
4.250% 05/15/2010 $ 50,000 $ 48,763
6.100% 04/15/2006 75,000 81,312
SLM Corp.
5.125% 08/27/2012 200,000 198,706
US Bank N.A.
6.375% 08/01/2011 225,000 246,801
Wachovia Corp.
3.500% 08/15/2008 200,000 195,441
Washington Mutual, Inc.
5.625% 01/15/2007 150,000 162,152
Wells Fargo & Co.
7.250% 08/24/2005 150,000 165,347
Wells Fargo Financial, Inc.
4.875% 06/12/2007 110,000 116,286
-------------
4,168,263
-------------
Health Care (0.7%)
Anthem, Inc.
6.800% 08/01/2012 85,000 93,351
Wyeth
6.250% 03/15/2006 125,000 136,303
-------------
229,654
-------------
Industrial (14.0%)
Alcan, Inc.
7.250% 03/15/2031 125,000 139,816
Anadarko Finance Co.
7.500% 05/01/2031 125,000 141,039
Anheuser-Busch Companies, Inc.
5.750% 04/01/2010 50,000 53,807
AT&T Corp.
8.000% 11/15/2031 75,000 79,584
AT&T Wireless Services, Inc.
8.750% 03/01/2031 100,000 115,641
Boeing Co.
6.125% 02/15/2033 100,000 92,822
Canadian National Railway Co.
7.195% 01/02/2016 74,295 82,612
Caterpillar Financial Services Corp.
6.875% 08/01/2004 200,000 210,817
ChevronTexaco Capital Co.
3.500% 09/17/2007 100,000 100,564
Coca-Cola Enterprises, Inc.
6.950% 11/15/2026 125,000 135,885
Comcast Corp.
7.050% 03/15/2033 50,000 50,118
</Table>
See Accompanying Notes to Financial Statements
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Conoco, Inc.
5.900% 04/15/2004 $ 50,000 $ 51,632
Coors Brewing Co.
6.375% 05/15/2012 75,000 80,566
Cox Enterprises, Inc.
8.000% 02/15/2007 (c) 115,000 131,050
DaimlerChrysler N.A. Holding Corp.
8.500% 01/18/2031 55,000 60,228
Deutsche Telekom International Finance BV
8.000% 06/15/2010 75,000 88,515
Devon Financing Corp.
6.875% 09/30/2011 125,000 138,985
Diageo Capital PLC
3.375% 03/20/2008 250,000 246,590
General Electric Co.
5.000% 02/01/2013 275,000 269,589
International Business Machines Corp.
5.875% 11/29/2032 175,000 166,548
Jones Intercable, Inc.
7.625% 04/15/2008 75,000 84,067
Kroger Co.
6.200% 06/15/2012 85,000 88,789
Lockheed Martin Corp.
8.500% 12/01/2029 110,000 135,355
Marathon Oil Corp.
6.800% 03/15/2032 125,000 126,490
Newell Rubbermaid, Inc.
4.000% 05/01/2010 110,000 105,679
Occidental Petroleum
4.250% 03/15/2010 100,000 98,296
PepsiAmericas, Inc.
3.875% 09/12/2007 125,000 125,050
Phillips Petroleum Co.
8.500% 05/25/2005 125,000 139,361
Time Warner, Inc.
7.975% 08/15/2004 75,000 78,823
Union Pacific Corp.
3.875% 02/15/2009 110,000 107,503
United Technologies Corp.
6.700% 08/01/2028 110,000 117,013
7.125% 11/15/2010 100,000 114,213
Verizon Global Funding Corp.
7.250% 12/01/2010 200,000 227,316
Viacom, Inc.
5.500% 05/15/2033 50,000 43,951
</Table>
See Accompanying Notes to Financial Statements
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Wal-Mart Stores
4.375% 07/12/2007 $ 225,000 $ 234,037
-------------
4,262,351
-------------
Utilities (2.6%)
Consolidated Edison, Inc.
3.625% 08/01/2008 150,000 148,485
Dominion Resources, Inc.
2.800% 02/15/2005 150,000 150,727
FPL Group Capital, Inc.
6.125% 05/15/2007 175,000 191,171
Kinder Morgan Energy Partners L.P.
8.000% 03/15/2005 125,000 136,443
Progress Energy, Inc.
7.750% 03/01/2031 50,000 53,713
Southern Power Co.
6.250% 07/15/2012 120,000 127,546
-------------
808,085
-------------
International (2.8%)
Ontario Province
3.500% 09/17/2007 200,000 201,669
6.000% 02/21/2006 100,000 108,828
Quebec Province
6.500% 01/17/2006 250,000 274,594
Republic of Italy
2.500% 03/31/2006 150,000 150,373
United Mexican States
8.000% 09/24/2022 110,000 113,025
-------------
848,489
-------------
Total Corporate Notes & Bonds
(Cost of $10,191,817) 10,316,842
-------------
Other Securitized Loans (13.5%)
Asset-Backed Securities (5.5%)
Americredit Automobile Receivables Trust
Series 2000-1 Cl. B
7.160% 09/05/2005 450,000 462,429
IMC Home Equity Loan Trust
Series 1997-3 Cl. A6
7.520% 08/20/2028 60,204 61,917
Series 1997-5 Cl. A9
7.310% 11/20/2028 110,000 115,149
Merit Securities Corp.
Series 13 Cl. A4
7.880% 12/28/2033 390,000 377,164
New Century Home Equity Loan Trust
Series 1999-NCA Cl. A7
7.320% 07/25/2029 80,496 85,255
</Table>
See Accompanying Notes to Financial Statements
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Other Securitized Loans (continued)
Asset-Backed Securities (continued)
SLM Student Loan Trust
Series 1997-3 Cl. A2
1.604% 10/25/2010 (d) $ 205,608 $ 206,936
Series 1997-4 Cl. A2
1.714% 10/25/2010 (d) 184,029 185,863
Wilshire Mortgage Loan Trust
Series 1997-2 Cl. A5
7.255% 05/25/2028 178,046 187,067
-------------
1,681,780
-------------
Collateralized Mortgage Obligations (7.1%)
Countrywide Home Loans
Series 2002-16 Cl. 1A1
6.500% 09/25/2032 42,776 42,912
First Nationwide Trust
Series 2000-1 Cl. IIA3
8.000% 10/25/2030 213,985 215,852
IMPAC Secured Assets Corp.
Series 2002-3 Cl. A2
5.210% 08/25/2032 145,917 146,612
PNC Mortgage Securities Corp.
Series 1998-12 Cl. 4A4
6.500% 01/25/2029 42,634 42,831
Residential Asset Securitization Trust
Series 1999-A1 Cl. A1
6.750% 03/25/2029 148,645 149,332
Series 2002-A1 Cl. A4
6.150% 01/25/2030 (d) 390,000 398,719
Series 2002-A5 Cl. A2
5.820% 01/25/2027 185,743 186,094
Series 2002-A7 Cl. A2
5.180% 11/25/2026 369,819 372,552
Residential Funding Mortgage Securities I, Inc.,
Mtg. Pass Thru Secs.
1.550% 07/25/2018 (d) 600,000 599,940
-------------
2,154,844
-------------
Commercial Mortgage-Backed Securities (0.9%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.607% 6/15/2013 (c)(d) 183,464 183,329
NationsLink Funding Corp.
Series 1999-Sl Cl. A5
6.888% 11/10/2030 90,000 99,699
-------------
283,028
-------------
Total Other Securitized Loans
(Cost of $4,115,346) 4,119,652
-------------
</Table>
See Accompanying Notes to Financial Statements
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
------------- -------------
Short-Term Obligation (20.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 07/31/03, due 08/01/03 at 0.950%,
collateralized by a U.S. Treasury Note
maturing 05/31/04, market value of $6,255,113
(repurchase proceeds $6,128,162)
(Cost of $6,128,000) $ 6,128,000 $ 6,128,000
-------------
Total Investments (112.4%)
(Cost of $34,248,497) (e) 34,291,422
Other Assets & Liabilities, Net (-12.4%) (3,779,277)
-------------
Net Assets (100.0%) $ 30,512,145
=============
</Table>
Futures Contracts open at July 31, 2003:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
PURCHASED EXPIRES CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------
Long - U.S. Treasury Bond September 2003 4 $ 422,500 $ (49,656)
Short - U.S. Treasury Note September 2003 (15) (3,219,609) 20,625
--------------
$ (29,031)
==============
</Table>
Notes to Schedule of Investments:
(a) This security, or a portion thereof with a market value of $50,147, is
being used to collateralize open futures contracts.
(b) This security, or a portion thereof, has been purchased on a delayed
delivery basis whereby the terms that are fixed are the purchase price,
interest rate and settlement date. The exact quantity purchased may be
slightly more or less than the amount shown.
(c) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At July 31,
2003, the value of these securities amounted to $554,386 which
represents 1.8% of net assets.
(d) Variable rate security - the rate reported is the current rate in
effect.
(e) Cost for federal income tax purposes is $34,320,930.
See Accompanying Notes to Financial Statements
11
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2003
<Table>
ASSETS:
Investments, at identified cost (including repurchase agreement) $ 34,248,497
------------
Investments, at value $ 28,163,422
Repurchase agreement 6,128,000
Cash 2,320,443
Receivable for:
Interest 286,238
Futures variation margin 813
Expense reimbursement due from investment advisor 14,130
Other assets 32,301
------------
Total Assets 36,945,347
------------
LIABILITIES:
Payable for:
Investments purchased 1,030,261
Investments purchased on a delayed delivery basis 5,346,834
Distributions 10,331
Investment management fee 9,984
Transfer agent fee 3,774
Audit fee 23,270
Custody fee 1,422
Reports to shareholders 7,326
------------
Total Liabilities 6,433,202
------------
NET ASSETS $ 30,512,145
============
NET ASSETS consist of:
Paid-in capital $ 30,168,118
Overdistributed net investment income (55,614)
Accumulated net realized gain 385,747
Net unrealized appreciation/depreciation on:
Investments 42,925
Futures contracts (29,031)
------------
NET ASSETS $ 30,512,145
============
Shares of capital stock outstanding 2,938,866
============
Net asset value, offering and redemption price per share $ 10.38
============
</Table>
See Accompanying Notes to Financial Statements
12
<Page>
STATEMENTS OF OPERATIONS
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003 (a) OCTOBER 31, 2002
----------------- ----------------
NET INVESTMENT INCOME:
Interest $ 885,482 $ 1,615,377
Foreign withholding tax - (48)
----------------- ----------------
Total income 885,482 1,615,329
----------------- ----------------
Expenses:
Investment management fee 71,194 98,596
Transfer agent fee 13,597 18,000
Trustees' fees 1,939 712
Custody fee 5,674 6,095
Audit fee 22,568 22,000
Reports to shareholders 15,499 -
Other expenses 10,729 13,387
----------------- ----------------
Total expenses 141,200 158,790
Expense reimbursement from investment advisor (60,000) (46,098)
Custody earnings credit (79) -
----------------- ----------------
Net expenses 81,121 112,692
----------------- ----------------
Net investment income 804,361 1,502,637
----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 499,403 47,691
Futures contracts (47,458) (24,717)
----------------- ----------------
Net realized gain 451,945 22,974
----------------- ----------------
Net change in unrealized appreciation/depreciation on:
Investments (897,207) (377,437)
Futures contracts 13,078 (64,296)
----------------- ----------------
Net change in unrealized appreciation/depreciation (884,129) (441,733)
----------------- ----------------
Net loss (432,184) (418,759)
----------------- ----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 372,177 $ 1,083,878
----------------- ----------------
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
13
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
PERIOD ENDED --------------------------------
JULY 31, 2003 (a) 2002 2001
----------------- -------------- --------------
Operations:
Net investment income $ 804,361 $ 1,502,637 $ 1,380,761
Net realized gain on investments and futures contracts 451,945 22,974 336,180
Net change in unrealized appreciation/depreciation
on investments and futures contracts (884,129) (441,733) 1,312,501
----------------- -------------- --------------
Net increase from operations 372,177 1,083,878 3,029,442
Distributions declared to shareholders:
From net investment income (845,766) (1,555,680) (1,380,761)
From net realized gains - (361,418) (3,926)
----------------- -------------- --------------
Total distributions declared to shareholders (845,766) (1,917,098) (1,384,687)
Net capital share transactions 3,573,954 (529,328) 16,263,705
----------------- -------------- --------------
Net increase (decrease) in net assets 3,100,365 (1,362,548) 17,908,460
NET ASSETS:
Beginning of period 27,411,780 28,774,328 10,865,868
----------------- -------------- --------------
End of period $ 30,512,145 $ 27,411,780 $ 28,774,328
================= ============== ==============
Overdistributed net investment income $ (55,614) $ (41,336) $ -
================= ============== ==============
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
14
<Page>
CMG FIXED INCOME SECURITIES FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
July 31, 2003
1. SIGNIFICANT ACCOUNTING POLICIES:
CMG Fixed Income Securities Fund (formerly CMC Fixed Income Securities Fund)
(the "Fund") is a portfolio of CMG Fund Trust (formerly CMC Fund Trust) (the
"Trust"), an open-end diversified investment company registered under the
Investment Company Act of 1940, as amended.
The Trust has established eleven other operational portfolios, CMG Small Cap
Fund (formerly CMC Small Cap Fund), CMG Small/Mid Cap Fund (formerly CMC
Small/Mid Cap Value Fund), CMG International Stock Fund (formerly CMC
International Stock Fund), CMG Enhanced S&P 500(R) Index Fund, CMG Mid Cap
Growth Fund, CMG Mid Cap Value Fund, CMG Small Cap Growth Fund, CMG Small Cap
Value Fund, CMG Short Term Bond Fund (formerly CMC Short Term Bond Fund), CMG
High Yield Fund (formerly CMC High Yield Fund) and CMG Strategic Equity Fund
(formerly CMC Strategic Equity Fund), which are not included in these financial
statements. Each portfolio issues a separate series of the Trust's shares and
maintains a separate investment portfolio.
Effective January 29, 2003, the Board of Trustees approved a change in the
fiscal year end of the Fund from October 31 to July 31. Accordingly, the Fund's
2003 fiscal year ended on July 31, 2003.
Following is a summary of significant accounting policies, in conformity with
accounting principles generally accepted in the United States of America, which
are consistently followed by the Fund in the preparation of its financial
statements.
INVESTMENT VALUATION. Portfolio securities are valued daily based on market
value as quoted by dealers who are market makers in these securities, by
independent pricing services, or by the adviser using a methodology approved by
the Board of Trustees. Investment securities with less than 60 days to maturity
when purchased are valued at amortized cost, which approximates market value.
Investment securities for which market quotations are not readily available will
be valued at fair value as determined in good faith under procedures established
by and under the general supervision of the Board of Trustees.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions.
The Fund, through its custodian, receives delivery of underlying securities
collateralizing repurchase agreements. The Fund's investment adviser determines
that the value of the underlying securities is at all times at least equal to
the resale price. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings.
FINANCIAL FUTURES CONTRACTS. The Fund may invest in financial futures contracts
solely for the purpose of hedging its existing portfolio securities, or
securities that the Fund intends to purchase, against fluctuations in fair value
caused by changes in prevailing market interest rates. Upon entering into a
financial futures contract, the Fund is required to pledge to the broker an
amount of cash, U.S. government securities, or other assets, equal to a certain
percentage of the contract amount (initial margin deposit). Subsequent payments,
known as "variation margin," are made or received by the Fund each day,
depending on the daily fluctuations in the fair value of the underlying
security. The Fund recognizes a gain or loss equal to the daily variation
margin. Should market conditions move unexpectedly, the Fund may not achieve the
anticipated benefits of the financial futures contracts and may realize a loss.
The use of futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts interest rates, and the underlying
hedged assets. The daily changes in contract value are recorded as unrealized
gains or losses and the Fund recognizes the realized gain or loss when the
contract is closed. The underlying value of open futures contracts is shown on
the schedule of investments under the caption "Futures Contracts".
15
<Page>
INVESTMENT TRANSACTIONS. Investment transactions are accounted for as of the
date the investments are purchased or sold. Net realized gains and losses are
determined on the identified cost basis, which is also used for federal income
tax purposes. Securities purchased on a when-issued or forward-delivery basis
may settle a month or more after trade date; interest income is not accrued
until settlement date. It is the Fund's policy to segregate liquid assets with a
current value at least equal to the amount of its when-issued purchase
commitments until settlement date.
INVESTMENT INCOME AND EXPENSES. Interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis and the Fund bears expenses
incurred specifically on its behalf as well as a portion of general expenses
incurred on behalf of the Trust and its underlying portfolios.
USE OF ESTIMATES. The preparation of the financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment
income are declared daily and paid monthly. Distributions from any net realized
gains are generally declared and paid annually. Additional distributions of net
investment income and capital gains by the Fund may be made at the discretion of
the Board of Trustees in accordance with the requirements of the Internal
Revenue Code. Distributions to shareholders are recorded on the ex-date.
FEDERAL INCOME TAXES. The Fund intends to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies by
distributing substantially all taxable net investment income and net realized
gains to its shareholders in a manner that results in no tax to the Fund.
Therefore, no federal income or excise tax provision is required.
PREMIUM AND DISCOUNT AMORTIZATION. The Fund amortizes premium and accretes
discount on all debt securities.
2. FEDERAL INCOME TAX:
Income and capital gain 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 treatments for deferral of losses from wash sales, discount
accretion/premium amortization on debt securities, straddle deferrals and
current year distribution payable. Reclassifications are made to the Fund's
capital accounts to reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
For the period ended July 31, 2003, permanent items identified and reclassified
among the components of net assets are as follows:
<Table>
<Caption>
OVERDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
INCOME LOSS CAPITAL
--------------- -------------- -------
$ 27,127 $ (27,128) $ 1
</Table>
Net investment income, net realized gains (losses) and net assets were not
affected by this reclassification.
16
<Page>
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal years ended October 31, 2002 and October 31, 2001 was as follows:
<Table>
<Caption>
PERIOD ENDED YEAR ENDED YEAR ENDED
JULY 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2001
------------- ---------------- ----------------
Ordinary Income $ 845,766 $ 1,881,625 $ 1,384,687
Long-Term Capital Gains - 35,473 -
----------- ------------- -------------
$ 845,766 $ 1,917,098 $ 1,384,687
----------- ------------- -------------
</Table>
As of July 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM UNREALIZED
INCOME CAPITAL GAINS DEPRECIATION*
------------- ------------- -------------
$ 193,110 $ 192,855 $ (29,508)
</Table>
*The difference between book-basis and tax-basis unrealized depreciation is
attributable primarily to the tax deferral of losses on wash sales.
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES:
On April 1, 2003, Colonial Management Associates, Inc. ("Colonial"), the
administrator to the Fund, merged into Columbia Management Advisors, Inc.
("Columbia"), formerly known as Columbia Management Co., an indirect,
wholly-owned subsidiary of FleetBoston Financial Corporation ("Fleet"). At the
time of the merger, Columbia assumed the obligations of Colonial with respect to
the Fund. The merger did not change the way the Fund is managed, the investment
personnel assigned to manage the Fund or the fees paid by the Fund.
Columbia is the investment advisor of the Fund. Investment management fees are
paid monthly to Columbia by the Fund. The fees are based on an annual rate of
0.35% of the average daily net assets for the Fund.
Columbia has contractually agreed to reimburse ordinary expenses (expenses
incurred throughout the ordinary course of business) of the Fund, to the extent
that these expenses, together with the advisory fee, exceed 0.40% of the Fund's
average daily net assets. Columbia has contractually agreed to reimburse
expenses through October 31, 2004.
Trustees' fees and expenses are paid directly by the Fund to trustees having no
affiliation with the Fund other than their capacity as trustees. Other officers
and trustees received no compensation from the Fund.
The transfer agent for the Fund is Liberty Funds Services, Inc. ("LFSI"), an
indirect, wholly-owned subsidiary of Fleet. LFSI is compensated based on a per
account fee or minimum of $1,500 per month.
Columbia is responsible for providing pricing and bookkeeping services to the
Fund under a Pricing, Bookkeeping and Fund Administration Agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of these functions to State Street Bank and Trust Company ("State Street").
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for these services.
OTHER. The Fund has an agreement with its custodian bank under which $79 of
custody fees were reduced by balance credits for the period ended July 31, 2003.
The Fund could have invested a portion of the assets utilized in connection with
the expense offset arrangement in an income-producing asset if it had not
entered into such an agreement.
17
<Page>
4. INVESTMENT TRANSACTIONS:
For federal income tax purposes, unrealized appreciation (depreciation) of
investments at July 31, 2003, were as follows:
<Table>
Unrealized appreciation $ 475,154
Unrealized depreciation (504,662)
-----------
Net unrealized depreciation $ (29,508)
===========
</Table>
For the period ended July 31, 2003, purchases, sales and maturities of long-term
securities, were as follows:
<Table>
PURCHASES:
Investment securities other than U.S.
Government obligations $ 45,646,021
U.S. Government obligations 7,232,657
-------------
Total purchases $ 52,878,678
=============
SALES AND MATURITIES:
Investment securities other than U.S.
Government obligations $ 39,084,954
U.S. Government obligations 7,812,847
-------------
Total sales and maturities $ 46,897,801
=============
</Table>
5. CAPITAL STOCK ACTIVITY:
At July 31, 2003, the Fund had 100 million shares of no par value capital stock
authorized. Transactions of capital shares were as follows:
<Table>
<Caption>
YEAR ENDED
PERIOD ENDED ------------------------------------
JULY 31, 2003(a) OCTOBER 31, 2002 OCTOBER 31, 2001
---------------- ---------------- ----------------
SHARES:
Shares sold 1,265,332 226,168 2,052,574
Shares issued for reinvestment of dividends 67,108 182,889 132,329
Less shares redeemed (1,000,170) (458,196) (613,799)
---------------- ---------------- ----------------
Net increase (decrease) in shares 332,270 (49,139) 1,571,104
================ ================ ================
AMOUNTS:
Sales $ 13,544,369 $ 2,380,359 $ 21,268,948
Reinvestment of dividends 712,005 1,909,849 1,384,688
Less redemptions (10,682,420) (4,819,536) (6,389,931)
---------------- ---------------- ----------------
Net increase (decrease) $ 3,573,954 $ (529,328) $ 16,263,705
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
18
<Page>
6. LINE OF CREDIT:
The Fund is a party to a $100,000,000 uncommitted line of credit that covers all
the funds of the Trust together with the Columbia Funds, an affiliated group of
funds managed by the investment advisor. The uncommitted line of credit expires
on July 2, 2004. The Fund did not utilize the line of credit during the period
ended July 31, 2003.
7. BENEFICIAL INTEREST:
At July 31, 2003, 79.32% of the outstanding shares of the Fund were held by five
shareholders, each holding in excess of 5% of the Fund's shares outstanding.
Investment activity of these shareholders may have a material effect on the
Fund.
8. SUBSEQUENT EVENT:
The Board of Trustees of the Trust approved a proposal to elect nine new
trustees as well as three of the incumbent trustees to the Board. If
shareholders of the Trust approve the proposal, the Board of Trustees will
consist of 12 trustees which will be responsible for board oversight of the
Trust in addition to the 15 Columbia Funds and 85 Liberty Funds, each a separate
fund managed by Columbia.
Shareholders of the Trust are scheduled to vote on the proposal at a special
meeting of shareholders to be held on October 7, 2003. If approved at the
special meeting, the new Board of Trustees will be effective immediately.
19
<Page>
Report of Independent Auditors
TO THE TRUSTEES OF CMG FUND TRUST AND SHAREHOLDERS OF CMG FIXED INCOME
SECURITIES FUND
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CMG Fixed Income Securities Fund
(formerly CMC Fixed Income Securities Fund) a portfolio of CMG Fund Trust
(formerly CMC Fund Trust), at July 31, 2003, and the results of its operations,
the changes in its net assets and its financial highlights for 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
Fund's 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 July 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 26, 2003
20
<Page>
Unaudited Information
FEDERAL TAX INFORMATION:
For the fiscal year ended July 31, 2003, the Fund designates long-term capital
gains of $192,855.
21
<Page>
Officers and Trustees
The Trustees serve terms of indefinite duration. The names, addresses and ages
of the Trustees and officers of CMG Fund Trust, the term of office and length of
time served, their principal occupations during at least the past five years,
the number of portfolios in fund complex overseen by Trustee, and other
directorships they hold are shown below. Each officer listed below serves as an
officer of each CMG Fund Trust. The Statement of Additional Information (SAI)
contains additional information about the Trustees and is available without
charge upon request by calling the fund's distributor at 800-345-6611.
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ----------------------- --------------- -------------------- ---------------------------------------------------
Vicki L. Benjamin Vice President Since July 2003 Controller of the Liberty Funds and of the Liberty
One Financial Center and Principal All-Star Funds since May 2002; Chief Accounting
Boston, MA 02111 Accounting Officer of the Liberty Funds and Liberty All-Star
(42 years old) Officer Funds since June 2001; Controller and Chief
Accounting Officer of the Galaxy Funds since
September 2002 (formerly Vice President, Corporate
Audit, State Street Bank and Trust Company from
May 1998 to April 2001; Audit Manager from July
1994 to June 1997; Senior Audit Manager from July
1997 to May 1998, Coopers & Lybrand, LLP).
J. Kevin Connaughton Chief Since Treasurer of Liberty Funds, Liberty All-Star
245 Summer Street Financial December 2002 Funds, Stein Roe Funds and Galaxy Funds; Senior
Boston, MA 02110 Officer Vice President of Liberty Funds Group LLC. Prior
(39 years old) to his current positions, Mr. Connaughton was
Controller of Liberty Funds, Liberty All-Star
Funds and Stein Roe Funds; Vice President of
Liberty Funds Group LLC and Colonial Management
Associates, Inc.; Senior Tax Manager, Coopers &
Lybrand LLP.
Jeff B. Curtis President and 3 Years Managing Director, Executive Vice President and
1300 S.W. Sixth Avenue Assistant Chief Operating Officer-West Coast of the Adviser.
Portland, OR 97201 Secretary Prior to his current positions with the Adviser,
(49 years old) Mr. Curtis was President, Senior Vice President
and General Counsel of the Adviser. Mr. Curtis is
also currently the President of Columbia Trust
Company and Columbia Financial Center
Incorporated, affiliates of the Adviser.
Richard J. Johnson Chief Since January 2003 Head of Equities/Portland and Senior Vice
1300 S.W. Sixth Avenue Investment President of the Adviser; Chief Investment Officer
Portland, OR 97201 Officer and and Senior Vice President of Columbia Trust
(45 years old) Senior Vice Company. Prior to his current positions with the
President Adviser, Mr. Johnson was Chief Investment Officer
and Vice President of the Adviser.
</Table>
22
<Page>
<Table>
<Caption>
POSITION(S)
HELD WITH LENGTH OF TIME
NAME AND AGE TRUST SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ----------------------- --------------- -------------------- ---------------------------------------------------
Joseph R. Palombo Vice President Since January 2003 Executive Vice President and Chief Operating
One Financial Center Officer of Columbia Management Group, Inc. (the
Boston, MA 02111 parent of the Adviser) since December 2001;
(50 years old) Director, Executive Vice President and Chief
Operating Officer of the Adviser since April 2003;
(formerly Chief Operations Officer of Mutual
Funds, Liberty Financial Companies, Inc. from
August 2000 to November, 2001; Executive Vice
President of Stein Roe & Farnham Incorporated
(Stein Roe) from April 1999 to April 2003;
Director of Colonial Management Associates, Inc.
from April 1999 to April 2003; Director of Stein
Roe from September 2000 to April 2003); President
of Liberty Funds since February 2003; Manager of
Stein Roe Floating Rate Limited Liability Company
since October 2000 (formerly Vice President of
Liberty Funds from April, 1999 to August 2000;
Chief Operating Officer and Chief Compliance
Officer, Putnam Mutual Funds from December 1993 to
March 1999).
Mark A. Wentzien Secretary 3 Years Vice President of the Advisor. Prior to his
1300 S.W. Sixth Avenue current positions, Mr. Wentzien was Associate
Portland, OR 97201 Counsel of the Advisor.
(43 years old)
</Table>
23
<Page>
Disinterested Trustees
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ---------------------- ----------- ------------------- ---------------------- ------------------ -------------
James C. George Director Served for 9 Years Investment 27 None
1001 S.W. 5th Avenue Consultant
Suite 1100
Portland, OR 97204
(71 years old)
Charles R. Nelson Director Served for 1 Year Professor of 112**** None
Department of Economics,
Economics University of
University of Washington, since
Washington January 1976; Ford
Seattle, WA 98195 and Louisa Van
(61 years old) Voorhis Professor of
Political Economy,
University of
Washington, since
September 1993;
Director, Institute
for Economic
Research, University
of Washington, since
September 2001;
Adjunct Professor of
Statistics,
University of
Washington since
September 1980;
Associate Editor,
Journal of Money
Credit and Banking,
since September
1993; consultant on
econometric and
statistical matters.
</Table>
24
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE PRINCIPAL FUND OTHER
POSITION(S) AND OCCUPATION(S) COMPLEX DIRECTORSHIPS
HELD WITH LENGTH OF TIME DURING PAST 5 OVERSEEN BY HELD BY
NAME, ADDRESS AND AGE TRUST SERVED* YEARS** DIRECTOR/TRUSTEE DIRECTOR***
- ---------------------- ----------- ------------------- ---------------------- ------------------ -------------
Patrick J. Simpson Director Served for 3 Years Lawyer, Perkins 27 None
1211 S.W. 5th Avenue Coie LLP.
Suite 1500
Portland, OR 97204
(58 years old)
Richard L. Woolworth Director Served for 12 Years Chairman/CEO, The 27 The Regence
100 S.W. Market St. #1500 Regence Group (a Group,
Portland, OR 97207 healthcare maintenance Regence
(62 years old) organization). BlueCross
BlueShield of
Oregon; NW
Natural, a
natural gas
service
provider
</Table>
- ----------
* Each trustee serves for an indefinite term in accordance with the current
Bylaws of the Trust until the date a trustee resigns, retires or is removed
in accordance with the Bylaws of the Trust.
** All of the officers of the Funds are employees and officers of the Adviser
and/or its affiliates. Only principal occupations are listed.
*** Each trustee is a director of the 15 Columbia Funds, each an open-end
management investment company also advised by the Advisor.
**** Mr. Nelson serves as an independent trustee of the funds in the Liberty
Funds Complex, which are advised and distributed by affiliates of the
Advisor, consisting of 112 funds.
25
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- TRUSTEES -
JAMES C. GEORGE
PATRICK J. SIMPSON
RICHARD L. WOOLWORTH
CHARLES R. NELSON
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
1300 S.W. SIXTH AVENUE
PORTLAND, OREGON 97201
- LEGAL COUNSEL -
STOEL RIVES LLP
900 S.W. FIFTH AVENUE, SUITE 2300
PORTLAND, OREGON 97204-1268
- TRANSFER AGENT -
LIBERTY FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-02/8440-0703 (09/03) C-03/020
This information must be preceded or accompanied by a current prospectus. Please
read it carefully before investing. The manager's views contained in this report
are subject to change at any time, based on market and other considerations.
Portfolio changes should not be considered recommendations for action by
individual investors.
Fund distributed by Columbia Financial Center, Inc., 1301 SW Fifth Avenue,
Portland, Oregon 97201
<Page>
ITEM 2. CODE OF ETHICS.
(a) The Registrant has adopted a code of ethics that applies to the Registrant's
principal executive officer, principal financial officer and principal
accounting officer.
(b) During the period covered by this report, there were not any amendments to
the provisions of the code of ethics adopted in 2.(a) above.
(c) During the period covered by this report, there were not any waivers or
implicit waivers to the provisions of the code of ethics adopted in 2.(a) above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) The Board of Trustees (the "Board") of CMG Fund Trust (the "Trust")
determined on July 30, 2003 that the Audit Committee of the Board did not
have an Audit Committee financial expert. On October 7, 2003, shareholders
of the Trust elected nine new trustees as well as three incumbent trustees to
the Board. It is expected that the new Trust board will appoint as Audit
Committee members certain of these new trustees who have been determined by
the boards of trustees of other trusts managed by the Trust's advisor,
Columbia Management Advisors, Inc. ("CMA")(the "CMA Funds"), to be Audit
Committee financial experts. The new Trust Board has not yet met to
reconstitute the Audit Committee or to consider the determination made by the
boards of the CMA Funds.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable at this time.
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 at this time.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive officer and principal financial
officer, based on their evaluation of the Registrant's disclosure controls
and procedures as of a date within 90 days of the filing date of this report,
have concluded that such controls and procedures are adequately designed to
ensure that information required to be disclosed by the Registrant in its
reports that it files or submits under the Securities Exchange Act of 1934,
as amended, is accumulated and communicated to the Registrant's management,
including the principal executive officer and principal financial officer, or
persons performing similar functions, as appropriate, to allow timely
decisions regarding required disclosure.
(b) There was no change in the registrant's internal control over financial
reporting that occurred over the registrant's last fiscal half-year that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 10. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR
attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) CMG Fund Trust
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By /s/ Jeff B. Curtis
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Jeff B. Curtis, President
Date October 9, 2003
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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/ Jeff B. Curtis
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Jeff B. Curtis, President
Date October 9, 2003
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By /s/ J. Kevin Connaughton
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J. Kevin Connaughton, Chief Financial Officer
Date October 9, 2003
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