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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-9555
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Commonfund Institutional Funds
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
15 Old Danbury Road, Wilton, CT 06897
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(Address of principal executive offices) (Zip code)
Verne Sedlacek, President and Chief Executive Officer
15 Old Danbury Road, Wilton, CT 06897
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(Name and address of agent for service)
Registrant's telephone number, including area code: (203) 563-5000
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Date of fiscal year end: 04/30/2004
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Date of reporting period: 10/31/2003
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ITEM 1. REPORTS TO STOCKHOLDERS.
(Semi-Annual Report for the period 5/1/03 through 10/31/03 is filed herewith)
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COMMONFUND INSTITUTIONAL FUNDS
SEMI-ANNUAL REPORT OCTOBER 31, 2003
[COMMONFUND LOGO]
ORGANIZATIONS CHANGE, MISSIONS DON'T.
[GRAPHIC]
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Letter to Shareholders
COMMONFUND INSTITUTIONAL FUNDS
December 3, 2003
SUBJECT: COMMONFUND INSTITUTIONAL FUNDS - SEMI ANNUAL REPORT
Dear Investor:
I'm happy to enclose Commonfund Institutional Funds Semi Annual Report for the
period ending October 31, 2003.
These funds continue to underscore Commonfund's commitment to serving the
investment needs of nonprofit organizations such as your own.
A commitment which now enters its 34th year.
Thank you for your support.
Sincerely,
/s/ Verne O. Sedlacek
Verne O. Sedlacek
President and Chief Executive Officer
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TABLE OF CONTENTS
<Table>
MANAGEMENT REVIEW 5
SCHEDULE OF INVESTMENTS
CIF Core Equity Fund 11
CIF Small Cap Fund 14
CIF International Equity Fund 19
CIF Core Plus Bond Fund 23
CIF Inflation-Indexed Bond Fund 29
CIF Short Duration Fund 30
STATEMENTS OF ASSETS AND LIABILITIES 34
STATEMENTS OF OPERATIONS 36
STATEMENTS OF CHANGES IN NET ASSETS 38
FINANCIAL HIGHLIGHTS 42
NOTES TO FINANCIAL STATEMENTS 46
DIRECTORS AND OFFICERS 50
INVESTMENT MANAGERS LIST 52
</Table>
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CIF CORE EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Artisan Partners, L.P.
John A. Levin & Co., Inc.
Marsico Capital Management LLC
Martingale Asset Management, L.P.
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
large and medium capitalization U.S. companies.
FUND STRATEGY
The CIF Core Equity Fund invests primarily in a diversified portfolio of common
stocks and securities convertible into common stocks of large and medium
capitalization U.S. companies. Generally, these issuers will have market
capitalizations in the range of the companies in the S&P 500 Composite Index,
which is the benchmark index for the fund. The fund is designed to add value
over its benchmark primarily through stocks selection, rather than sector or
style variance, with volatility similar to that of its benchmark index.
The fund seeks to achieve its investment objective by taking advantage of the
stock selection expertise, primarily within the large cap sector, of its
Sub-Advisers. The fund uses a multi-manager approach, relying on one or more
Sub-Advisers who select stocks using quantitative and bottom-up fundamental
analysis. The Investment Manager actively manages the allocation of assets among
the Sub-Advisers based on the market environment and an assessment of each
Sub-Adviser's investment portfolio and its characteristics. The fund may use
derivative instruments for both hedging and non-hedging purposes.
ANALYSIS
For the six-month period ending October 31, 2003, the CIF Core Equity Fund
returned 17.94 percent, outperforming the S&P 500 index return of 15.62 percent
by 232 basis points. The strong market return during this timeframe reflected
renewed optimism regarding corporate profitability and economic growth. Many of
the fallen growth stocks of the late 1990's have experienced strong gain and
have led the market from a performance standpoint, despite weak operating
fundamentals. The market advance has been led by small and mid capitalization
stocks, as they have outperformed their large cap counterparts by wide margins.
Fund level positioning has largely led to the strong absolute and relative
performance over this timeframe. The portfolio has benefited from a bias toward
mid cap oriented stocks, which returned over 29 percent. Additionally, strong
relative performance from the fund's consumer discretionary (+25.27 percent),
and information technology (32.58 percent) holdings led to the outperformance
relative to the index.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
FISCAL YEAR TO DATE ONE-YEAR SINCE INCEPTION (1/2/01)
- ---------------------------------------------------------------------- ----------------- ---------------------------
CIF Core Equity Fund 17.94% 22.92% -4.15%
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S&P 500 Composite Index 15.62% 20.80% -6.29%
- ---------------------------------------------------------------------- ----------------- ---------------------------
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Equity Fund (since inception), and
the S&P 500 Composite Index
<Table>
<Caption>
CIF CORE EQUITY FUND S&P 500 Composite Index
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 9,591 $ 9,500
10/31/2001 $ 8,280 $ 8,115
4/30/2002 $ 8,812 $ 8,302
10/31/2002 $ 7,217 $ 6,890
4/30/2003 $ 7,520 $ 7,195
10/31/2003 $ 8,869 $ 8,320
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
5
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CIF SMALL CAP FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Artisan Partners, L.P.
Chartwell Investment Partners, L.P.
Martingale Asset Management, L.P.
TCW Asset Management Company
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
smaller capitalization U.S. companies.
FUND STRATEGY
The CIF Small Cap Fund invests primarily in equity securities of small U.S.
companies. Generally, these companies will have market capitalizations in the
range of the companies in the Russell 2000 Index, which is the benchmark index
for the fund. The fund hires Sub-Advisers whose approaches to stock selection
are complementary and are designed to add long-term value over the benchmark
index. Short-term volatility may be greater than that of the benchmark index.
The fund seeks to achieve its investment objective by taking advantage of
inefficiencies that are persistent within the small cap sector of the market.
The fund uses a multi-manager approach, relying on one or more Sub-Advisers who
select stocks using quantitative and bottom-up fundamental analysis. The
Investment Manger actively manages the allocation of assets among the
Sub-Advisers based on the market environment and an assessment of each
Sub-Adviser's investment portfolio and its characteristics. The fund may use
derivative instruments for both hedging and non-hedging purposes.
ANALYSIS
Since the CIF Small Cap Fund's inception on September 2, 2003 through October
31, 2003, the fund has returned 5.70 percent. This compares to an index return
of 6.40 percent for the same time frame. During this period, the fund lost
relative performance from the lower end of the capitalization spectrum. As has
been persistent through the market rally dating back to March, the smaller cap
companies, and typically those with negative or no earnings, have held a
performance advantage in comparison to the "larger" small cap companies. This
time period was no different, as stocks under $500 million in market
capitalization returned roughly 300 basis points over all other stocks in the
index. The fund was largely underweight this market cap segment during this time
period, resulting in relative underperformance. Typical with most market
rallies, a small cash position in the portfolio was a drag on performance as
well.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
SINCE INCEPTION (9/2/03)
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CIF Small Cap Fund 5.70%
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Russell 2000 Index 6.40%
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</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Small Cap Fund (since inception), and the
Russell 2000 Index
<Table>
<Caption>
CIF SMALL CAP FUND RUSSELL 2000 INDEX
9/2/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,680 $ 9,815
10/31/2003 $ 10,570 $ 10,640
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
6
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CIF INTERNATIONAL EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Capital Guardian Trust Company
Causeway Capital Management, LLC
Mastholm Asset Management, LLC
Philadelphia International Advisors
William Blair & Company, LLC
TT International Investment Management
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of equity securities
of non-U.S. issuers.
FUND STRATEGY
The CIF International Equity Fund invests primarily in common stocks and other
equity securities of foreign companies. The fund generally invests in equity
securities of non-U.S. issuers represented in the MSCI World Ex-US Net Index,
which is the benchmark index for the fund. The fund may also invest up to 10% of
its assets in equity securities of issuers located in emerging markets. The fund
may use derivative instruments for both hedging and non-hedging purposes. The
fund seeks to achieve its investment objective by taking advantage of the stock
selection expertise and distinct investment strategies of its Sub-Advisers. The
fund uses a multi-manager approach, relying on one or more Sub-Advisers who
select stocks utilizing bottom-up fundamental analysis. The Investment Manager
actively manages the allocation of assets among the Sub-Advisers based on the
market environment and an assessment of each Sub-Adviser's investment portfolio
and its characteristics. The fund may invest up to 10% of it's assets in a
passively managed international equity index strategy.
ANALYSIS
For the six-month period ending October 31, 2003, the fund returned 24.34
percent versus the index return of 24.93 percent. This strong period of
performance for the fund was driven in part by overweight positions in the
surging semiconductor industry such as Tokyo Electron, and by an underweight
position and solid stock selection in the Energy sector. An overweight in
Telecomm Services and stock selection within the bank industry detracted from
performance. Regionally, the fund benefited from strong stock picking in the
United Kingdom and Switzerland, while an underweight position and weak stock
selection in the rallying Japan market hurt the fund on a relative basis.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
FISCAL YEAR TO DATE ONE-YEAR SINCE INCEPTION (1/2/01)
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CIF International Equity Fund 24.34% 26.59% -3.97%
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MSCI EAFE Index 24.77% 27.03% -6.35%
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MSCI World Ex-US Net Index 24.93% 28.17% -6.05%
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</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF International Equity Fund (since
inception), the MSCI EAFE Index, and the MSCI World Ex-US Net Index
<Table>
<Caption>
CIF INTERNATIONAL EQUITY FUND MSCI EAFE INDEX MSCI WORLD EX-US NET INDEX
1/2/2001 $ 10,000 $ 10,000 $ 10,000
4/30/2001 $ 9,411 $ 9,228 $ 9,198
10/31/2001 $ 7,732 $ 7,531 $ 7,515
4/30/2002 $ 8,366 $ 7,947 $ 7,951
10/31/2002 $ 7,043 $ 6,537 $ 6,538
4/30/2003 $ 7,171 $ 6,655 $ 6,708
10/31/2003 $ 8,916 $ 8,304 $ 8,380
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
7
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CIF CORE PLUS BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: BlackRock Advisors, Inc.
Western Asset Management Company
Western Asset Management Company Limited
FUND OBJECTIVE
High current income and price appreciation by investing in a diversified
portfolio of fixed income securities of varying maturities.
FUND STRATEGY
The CIF Core Plus Bond Fund invests primarily in investment grade bonds and
other fixed income securities in an attempt to outperform the broad U.S. bond
market. Investment grade securities are those rated in one of the four highest
categories at the time of investment, or determined by a Sub-Adviser to be of
equivalent quality. The fund also may invest up to 20 percent of its assets in
securities rated below investment grade, but in one of the six highest rating
categories, and up to 20 percent of its assets in non-dollar denominated
securities. The Sub-Advisors may invest in certain derivatives and may use
certain techniques, such as currency hedging, in order to outperform the broad
market. The benchmark for the fund is the Lehman Brothers Aggregate Bond Index.
The fund will be managed to have a targeted duration within a band of (+/-) 20
percent around the duration of the benchmark. The fund seeks to achieve its
investment objective by maintaining a core portfolio of securities that is
aligned with the composition and duration of the fund's benchmark index, which
tracks the overall U.S. bond market. The Sub-Advisers then seek to add value by
investing a portion of the fund's assets in fixed income securities that are not
represented in the benchmark and using investment techniques designed to
overweight or underweight the fund's portfolio relative to benchmark
characteristics.
ANALYSIS
For the six-month period ending October 31, 2003, the CIF Core Plus Bond Fund
returned 1.57 percent compared to its benchmark, the Lehman Brothers Aggregate
Bond Index, which returned 0.57 percent. Concerns over deflation prompted the
Federal Reserve to provide an injection of stimulus by reducing the Fed funds
rate to 1.00 percent from 1.25 percent after the Federal Open Market Committee
meeting held on June 25, 2003. Despite signs of economic recovery in the third
quarter of 2003, monetary policy remained relatively unchanged, and short rates
remained anchored at 1.00 percent. However, interest rates rose along the
remainder of the Treasury yield curve. The yield differential between two- and
ten-year Treasuries steepened 11 basis points. The fund's longer-than-benchmark
duration in this period of rising interest rates detracted from performance, as
did the fund's barbelled yield curve positioning amid curve steepening. Moderate
exposure to the "plus" strategies of emerging market debt (EMD) and high yield
enhanced returns. While the broad market returned 0.57 percent, EMD and high
yield returned 7.77 and 8.91 percent, respectively. A tandem rise in real yields
and breakeven inflation levels had contradictory effects on the performance of
Treasury Inflation Protected Securities (TIPS). Rising real yields detracted
from performance, while rising breakeven inflation levels enhanced relative
returns. Ultimately, the broad TIPS market returned 4.55 percent and exposure to
TIPS aided fund performance.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
FISCAL YEAR TO DATE ONE-YEAR SINCE INCEPTION (1/2/01)
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CIF Core Plus Bond Fund 1.57% 8.50% 7.54%
- ---------------------------------------------------------------------- ----------------- ---------------------------
Lehman Brothers Aggregate Bond Index 0.57% 4.91% 7.56%
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</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Plus Bond Fund (since inception),
and the Lehman Brothers Aggregate Bond Index
<Table>
<Caption>
LEHMAN BROTHERS AGGREGATE
CIF CORE PLUS BOND FUND BOND INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,133 $ 10,260
10/31/2001 $ 10,918 $ 11,066
4/30/2002 $ 10,946 $ 11,064
10/31/2002 $ 11,324 $ 11,718
4/30/2003 $ 12,097 $ 12,224
10/31/2003 $ 12,287 $ 12,293
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
8
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CIF INFLATION-INDEXED BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Adviser: Western Asset Management Company
FUND OBJECTIVE
Maximize real return to the extent consistent with preservation of capital and
liquidity by investing in a portfolio of U.S. Treasury Inflation Indexed
Securities of varying maturities.
FUND STRATEGY
The CIF Inflation-Indexed Bond Fund invests primarily in U.S. Treasury Inflation
Indexed Securities. Inflation-indexed securities are fixed income securities
that are structured to provide protection against inflation. The value of a
bond's principal or the interest paid on the bond is adjusted to track changes
in the U.S. Consumer Price Index. Up to 20 percent of the fund may be invested
in investment grade securities that are not indexed to inflation. Investment
grade securities are those rated in one of the four highest categories at the
time of investment, or determined by a Sub-Adviser to be of equivalent quality.
The benchmark for the fund is the Lehman Brothers U.S. TIPS Index. The fund will
normally maintain effective duration within (+/-)1.5 years of the Lehman
Brothers U.S. TIPS Index.
ANALYSIS
For the six-month period ending October 31, 2003, the CIF Inflation-Indexed Bond
Fund returned 4.45 percent compared to its benchmark, the Lehman Brothers U.S.
TIPS Index, which returned 4.56 percent. A tandem rise in real yields and
breakeven inflation levels had contradictory effects on the performance of
Treasury Inflation Protected Securities (TIPS). Rising real yields detracted
from performance, while rising breakeven inflation levels enhanced relative
returns. Ultimately, the fund lost relative value from yield curve and duration
management. Long rates increased more than short rates, resulting in a
steepening of the real yield curve. This proved detrimental to fund performance,
as most of the fund's duration contribution was through longer-maturity
securities.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
FISCAL YEAR TO DATE ONE-YEAR SINCE INCEPTION (1/2/01)
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CIF Inflation-Indexed Bond Fund 4.45% 10.41% 10.89%
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Lehman Brothers U.S. TIPS Index 4.56% 10.77% 11.14%
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</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Inflation-Indexed Bond Fund (since
inception), and the Lehman Brothers U.S. TIPS Index
<Table>
<Caption>
CIF INFLATION-INDEXED BOND FUND LEHMAN BROTHERS U.S. TIPS INDEX
1/2/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,527 $ 10,540
10/31/2001 $ 11,157 $ 11,166
4/30/2002 $ 11,233 $ 11,249
10/31/2002 $ 12,139 $ 12,177
4/30/2003 $ 12,829 $ 12,900
10/31/2003 $ 13,402 $ 13,488
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
9
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CIF SHORT DURATION FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Wellington Management Company, LLP
Western Asset Management Company
FUND OBJECTIVE
Current interest income with some price appreciation, each consistent with
liquidity and safety of principal by investing in a portfolio of U.S. Government
securities and other high quality debt securities.
FUND STRATEGY
The CIF Short Duration Fund invests primarily in a diversified portfolio of
securities issued or guaranteed by the U.S. Government and its agencies and
instrumentalities, obligations of U.S. and foreign commercial banks, corporate
debt securities, including commercial paper, and fully collateralized repurchase
agreements with highly rated counterparties. The fixed income securities
acquired by the fund may include mortgage-backed and asset-backed securities.
The fund will invest only in fixed income securities rated at the time of
investment in one of the three highest rating categories by a major rating
agency, or determined by a Sub-Adviser to be of equivalent quality. The
benchmark for the fund is the Merrill Lynch 3-Month U.S. Treasury Bill Index.
The fund's investment strategies are designed to produce a total rate of return
that exceeds the total return on 90 day U.S. Treasury Bills. The fund seeks to
minimize fluctuations in net asset value by maintaining high credit quality
standards and employing a relatively short effective duration. Duration is a
measure of a security's price volatility, or risk, associated with changes in
interest rates. The fund's effective duration generally will not exceed one (1)
year, and the maximum remaining maturity of any individual security will be five
and one-half (5 1/2) years, except for certain mortgage-related and asset-backed
securities.
ANALYSIS
For the six-month period ending October 31,2003, the CIF Short Duration Fund
returned 0.57 percent compared to its benchmark, the Merrill Lynch 3-Month U.S.
Treasury Bill Index, which returned 0.56 percent. As rates increased across the
Treasury yield curve following positive economic data, short-term interest rates
remained anchored at 1.00 percent. Duration and yield curve management adversely
affected performance. The fund's longer-than-benchmark duration in this period
of rising rates detracted from fund performance. The excess yield offered by
spread products, particularly corporates and fixed rate asset-backed securities
(ABS) mitigated some of the negative effects of the fund's duration stance. Home
equity, home improvement, and manufactured housing were among ABS collateral
types that performed well. Corporates and ABS account for approximately 50
percent of the holdings in the portfolio.
TOTAL RETURN (AS OF 10/31/03)
<Table>
<Caption>
FISCAL YEAR TO DATE ONE-YEAR SINCE INCEPTION (5/1/00)
- ---------------------------------------------------------------------- ----------------- ---------------------------
CIF Short Duration Fund 0.57% 1.46% 3.68%
- ---------------------------------------------------------------------- ----------------- ---------------------------
Merrill Lynch 3-Month U.S. Treasury Bill Index 0.56% 1.25% 3.27%
- ---------------------------------------------------------------------- ----------------- ---------------------------
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Short Duration Fund (since inception),
and the Merrill Lynch 3-Month U.S. Treasury Bill Index
<Table>
<Caption>
MERRILL LYNCH 3-MONTH
CIF SHORT DURATION FUND U.S. TREASURY BILL INDEX
5/1/2000 $ 10,000 $ 10,000
10/31/2000 $ 10,328 $ 10,310
4/30/2001 $ 10,695 $ 10,627
10/31/2001 $ 10,961 $ 10,845
4/30/2002 $ 11,071 $ 10,950
10/31/2002 $ 11,186 $ 11,053
4/30/2003 $ 11,286 $ 11,128
10/31/2003 $ 11,350 $ 11,191
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST. THE MARKET INDEX SHOWN ABOVE IS UNMANAGED
AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS
AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
10
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
October 31, 2003 (Unaudited)
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
COMMON STOCK 98.30%
BASIC INDUSTRIES 1.76%
11,600 ALCAN ALUMINUM LTD $ 463,188
800 ALCOA INC 25,256
21,100 BALL CORP 1,185,820
7,400 COOPER INDS INC CL A 391,460
10,300 DOW CHEMICAL CO 388,207
17,200 E I DU PONT DE NEMOURS & CO 694,880
3,300 GRIFFON CORP* 63,855
1,294 JACOBS ENGINEERING GROUP INC* 59,938
11,500 PACTIV CORP* 253,575
---------------
TOTAL BASIC INDUSTRIES $ 3,526,179
CAPITAL GOODS 4.54%
3,900 BRIGGS & STRATTON CORP $ 253,539
1,000 CARLISLE COS INC 57,350
36,072 CATERPILLAR INC 2,643,356
6,000 DANAHER CORP 497,100
2,200 FISHER SCIENTIFIC INTL INC* 88,550
4,200 FLUOR CORP 155,736
19,305 HONEYWELL INTL INC 590,926
3,400 INGERSOLL RAND CO CL A 205,360
26,100 KONINKLIJKE PHILIPS ELECTRS NV SPON ADR 700,524
5,800 LEAR CORP* 336,922
7,550 NORTHROP GRUMMAN CORP 674,970
300 NVR INC* 146,820
500 PLANAR SYS INC* 11,570
14,600 ROCKWELL AUTOMATION INC 453,330
23,500 SMURFIT-STONE CONTAINER CORP 364,250
11,400 TEXTRON INC 566,466
29,800 THERMO ELECTRON CORP* 655,004
18,500 VISHAY INTERTECHNOLOGY INC* 346,875
7,000 WW GRAINGER INC 320,460
---------------
TOTAL CAPITAL GOODS $ 9,069,108
CONSUMER DURABLES 5.65%
5,800 AMERICAN AXLE & MANUFACTURING HLDGS INC* $ 200,680
7,205 BAYERISCHE MOTOREN WERKE AG 288,547
142,879 GENERAL ELECTRIC CO 4,144,920
32,100 GENERAL MOTORS CORP 1,369,707
4,900 GETTY IMAGES INC* 219,030
2,576 HARLEY DAVIDSON INC 122,128
39,700 HOME DEPOT INC 1,471,679
12,158 LENNAR CORP CL A 1,116,712
945 LENNAR CORP CL B 82,073
24,640 LOWES CO INC 1,452,035
400 MARVEL ENTERPRISES INC* 11,780
11,928 MDC HLDGS INC 802,993
---------------
TOTAL CONSUMER DURABLES $ 11,282,284
CONSUMER NON-DURABLES 6.37%
20,600 ALTRIA GROUP INC $ 957,900
10,968 ANHEUSER BUSCH COS INC 540,284
38,200 ARCHER DANIELS MIDLAND CO 548,170
2,800 DEAN FOODS CO* 84,700
4,600 DIAGEO PLC SPON ADR 219,926
10,900 ESTEE LAUDER COS INC CL A 407,551
800 GENERAL MILLS INC 35,880
8,100 H J HEINZ CO 286,173
5,300 INTL GAME TECHNOLOGY 173,575
400 JONES APPAREL GROUP INC 13,800
1,800 KRAFT FOODS INC CL A 52,380
22,500 MATTEL INC 435,600
39,600 MONSANTO CO 991,980
1,300 PEPSI AMERICAS INC 19,474
29,000 PEPSICO INC 1,386,780
45,033 PROCTER & GAMBLE CO 4,426,294
47,100 SARA LEE CORP 938,703
10,700 TYSON FOODS INC CL A 152,689
26,900 UNITED STATIONERS INC* 1,000,949
1,300 UNIVERSAL CORP VA 56,654
---------------
TOTAL CONSUMER NON-DURABLES $ 12,729,462
CONSUMER SERVICES 14.51%
61,400 ACCENTURE LTD* $ 1,436,760
2,200 ADVANCE AUTO PARTS INC* 172,084
18,000 BEARINGPOINT INC* 169,200
4,800 BECTON DICKINSON & CO 175,488
1,300 BOSTON COMMUNICATIONS GROUP INC* 12,246
80,666 CAREMARK RX INC* 2,020,683
9,300 CARMAX INC* 293,043
36,900 CENDANT CORP* 753,867
19,700 CLAIRES STORES INC 762,390
14,700 COMCAST CORP CL A* 498,624
11,800 COSTCO WHOLESALE CORP* 417,366
7,000 DOLLAR TREE STORES INC* 267,260
45,000 EASTMAN KODAK CO 1,099,350
4,885 EBAY INC* 273,267
27,288 ECHOSTAR COMMUNICATIONS CORP CL A* 1,045,676
2,400 ENTERCOM COMMUNICATIONS CORP* 109,944
8,600 EXPEDITORS INTL OF WASHINGTON INC 322,844
28,300 FEDERATED DEPT STORES INC 1,345,665
11,671 FOUR SEASONS HOTELS INC 643,422
38,800 FOX ENTMT GROUP INC CL A* 1,074,760
24,400 GENERAL MOTORS CORP CL H* 400,892
5,700 HANDLEMAN CO 101,745
7,900 HOLLYWOOD ENTMT CORP* 120,080
4,500 IRON MOUNTAIN INC* 172,080
1,100 JOHN H HARLAND CO 29,953
3,100 KOHLS CORP* 173,817
11,100 LAMAR ADVERTISING CO CL A* 336,330
37,700 LIBERTY MEDIA CORP CL A* 380,393
26,100 LIMITED BRANDS 459,360
23,400 MCDONALDS CORP 585,234
4,688 MONSTER WORLDWIDE INC* 119,403
14,700 MOVIE GALLERY INC* 303,996
7,400 NEW YORK TIMES CO CL A 351,722
6,100 OMNICOM GROUP INC 486,780
6,350 RENT-A-CENTER INC* 198,501
14,500 ROBERT HALF INTL INC* 342,345
16,522 SEARS ROEBUCK & CO 869,553
15,400 STAPLES INC* 413,028
15,726 STARBUCKS CORP* 496,942
9,300 SUPERVALUE INC 234,546
36,002 TIFFANY & CO 1,708,295
32,400 TIME WARNER INC* 495,396
16,100 TRIBUNE CO 789,705
11,600 UNIVISION COMMUNICATIONS INC CL A* 393,820
44,197 VIACOM INTL INC CL B 1,762,134
39,400 WAL-MART STORES INC 2,322,630
27,093 WALT DISNEY CO 613,386
7,500 WENDYS INTL INC 277,875
4,100 WHOLE FOODS MARKET INC* 242,884
4,200 WILLIAMS SONOMA INC* 148,386
30,790 WYNN RESORTS LTD* 620,726
7,600 XM SATELITE RADIO HLDGS INC* 153,976
---------------
TOTAL CONSUMER SERVICES $ 28,999,852
ENERGY 4.46%
16,600 BP PLC SPON ADR $ 703,508
14,100 CHEVRONTEXACO CORP 1,047,630
25,100 CONOCOPHILLIPS 1,434,465
4,800 CONSTELLATION ENERGY GROUP INC 174,576
50,800 EXXON MOBIL CORP 1,858,264
6,400 NABORS INDS LTD* 241,920
34,500 OCCIDENTAL PETROLEUM CORP 1,216,470
1,200 PEABODY ENERGY CORP 39,996
1,400 PETROLEUM DEVELOPMENT CORP* 18,564
12,700 SMITH INTL INC* 472,821
2,800 SUNOCO INC 122,528
17,700 UNOCAL CORP 560,736
7,100 VERITAS DGC INC* 62,906
7,600 WEATHERFORD INTL LTD* 264,100
67,500 WILLIAMS COS INC 688,500
---------------
TOTAL ENERGY $ 8,906,984
</Table>
11
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 18.70%
20,900 ALLSTATE CORP $ 825,550
33,200 AMERICAN INTL GROUP INC 2,019,556
23,800 AMERITRADE HLDG CORP CL A* 324,632
22,000 AON CORP 481,800
44,100 BANK OF AMERICA CORP 3,339,693
36,500 BANK OF NEW YORK INC 1,138,435
1,400 BEAR STEARNS COS 106,750
5,900 CAPITALSOURCE INC* 128,325
8,700 CHARLES SCHWAB CORP 117,972
4,700 CIGNA CORP 268,135
15,200 CIT GROUP INC 511,024
148,928 CITIGROUP INC 7,059,187
4,883 COUNTRYWIDE FINL CORP 513,301
26,900 DORAL FINL CORP 1,358,450
1,600 FIDELITY NATL FINL INC 49,472
23,100 FIRST AMERICAN CORP 661,815
900 FIRST TENNESSEE NATL CORP 40,824
13,700 FLEETBOSTON FINL CORP 553,343
3,200 GOLDEN WEST FINL CORP 321,376
11,800 JOHN HANCOCK FINL SVCS INC 417,130
59,700 MBNA CORP 1,477,575
61,361 MERRILL LYNCH & CO INC 3,632,571
8,200 MGIC INVESTMENT CORP 420,742
11,900 MORGAN STANLEY 652,953
9,000 PAYCHEX INC 350,280
7,500 PLATINUM UNDERWRITERS HLDGS LTD 215,550
10,800 PNC FINL SVCS GROUP INC 578,556
17,500 PRINCIPAL FINL GROUP INC 548,625
28,700 PRUDENTIAL FINL INC 1,108,968
10,800 SEI INVESTMENT CO 314,496
59,240 SLM CORP 2,319,838
8,500 T ROWE PRICE GROUP INC 349,775
6,100 THORNBURG MTG INC 166,225
1,200 UNIONBANCAL CORP 65,004
28,958 US BANCORP 788,237
39,700 WACHOVIA CORP 1,821,039
21,100 WELLS FARGO & CO 1,188,352
11,250 WR BERKLEY CORP 385,762
10,900 XL CAPITAL LTD CL A 757,550
---------------
TOTAL FINANCIAL SERVICES $ 37,378,868
HEALTH CARE 14.08%
22,400 AAIPHARMA INC* $ 405,216
23,900 ABBOTT LABS 1,018,618
3,000 ALLERGAN INC 226,860
2,700 AMERISOURCEBERGEN CORP 153,279
49,418 AMGEN INC* 3,052,056
12,700 ANDRX GROUP* 252,730
4,100 ANTHEM INC* 280,563
36,027 BOSTON SCIENTIFIC CORP* 2,439,748
8,500 CARDINAL HEALTH INC 504,390
6,900 ENDO PHARMACEUTICAL HLDGS INC* 112,884
31,539 GENENTECH INC* 2,585,252
3,300 GENZYME CORP* 151,470
9,300 GILEAD SCIENCES INC* 507,594
12,600 HCA INC 481,950
2,200 IDEXX LABS INC* 104,060
6,900 INVITROGEN CORP* 438,771
9,200 IVAX CORP* 177,192
59,300 JOHNSON & JOHNSON 2,984,569
700 MEDIMMUNE INC* 18,662
38,600 MERCK & CO INC 1,708,050
18,200 MILLENNIUM PHARMACEUTICALS INC* 289,744
16,550 MYLAN LABS INC 399,682
157,900 PFIZER INC 4,989,640
10,029 QUEST DIAGNOSTICS INC* 678,462
52,094 UNITED HEALTH GROUP INC 2,650,543
1,600 VARIAN MEDICAL SYS* 102,304
22,401 ZIMMER HLDGS INC* 1,429,408
---------------
TOTAL HEALTH CARE $ 28,143,697
INDUSTRIAL 1.38%
500 CSS INDUSTRIES INC $ 13,495
35,218 LOCKHEED MARTIN CORP 1,632,706
16,200 RAYTHEON CO 428,976
33,100 TYCO INTL LTD 691,128
---------------
TOTAL INDUSTRIAL $ 2,766,305
OTHER U.S. AGENCIES 0.91%
25,230 FNMA $ 1,808,739
---------------
TOTAL OTHER U.S. AGENCIES $ 1,808,739
REAL ESTATE (PUBLICLY TRADED) 0.32%
5,200 ANWORTH MTG ASSET CORP $ 73,008
14,500 NATIONAL HEALTH INVESTORS INC 308,125
7,800 STARWOOD HOTELS & RESORTS 263,094
---------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 644,227
TECHNOLOGY 17.97%
9,300 ADOBE SYS INC $ 407,712
900 AFFILIATED COMPUTER SVCS INC CL A* 44,037
65,700 AGERE SYS INC CL A* 228,636
39,800 AGERE SYS INC CL B* 134,922
2,200 ALTERA CORP* 44,506
14,200 AMDOCS LTD* 304,732
14,500 AMKOR TECHNOLOGY INC* 273,325
14,500 APPLE COMPUTER INC* 331,905
7,700 AUTOMATIC DATA PROCESSING INC 290,598
29,500 AVAYA INC* 381,730
3,200 AVID TECHNOLOGY INC* 165,568
5,400 AVOCENT CORP* 204,120
29,300 BEA SYS INC* 407,270
152,140 CISCO SYS INC* 3,191,897
10,500 COGNOS INC* 361,935
36,600 CORNING INC* 401,868
52,330 DELL INC* 1,890,160
3,800 DIEBOLD INC 216,828
16,688 ELECTRONIC ARTS INC* 1,652,780
71,427 EMC CORP* 988,550
5,300 FIRST DATA CORP 189,210
8,400 FISERV INC* 296,688
13,100 HEWLETT PACKARD CO 292,261
34,400 IBM CORP 3,078,112
206,855 INTEL CORP 6,836,558
8,300 INTERACTIVE CORP* 304,693
1,400 INTERDIGITAL COMMUNICATIONS CORP* 23,786
17,100 JUNIPER NETWORKS INC* 307,629
6,400 KLA TENCOR CORP* 366,912
7,400 LINEAR TECHNOLOGY CORP 315,314
7,932 MAXIM INTEGRATED PRODS INC 394,300
151,000 MICROSOFT CORP 3,948,650
14,900 MOLEX INC 467,711
12,300 NETWORK APPLIANCE INC* 303,564
16,400 NETWORK ASSOCIATES INC* 228,452
75,600 NORTEL NETWORKS CORP* 336,420
12,000 NOVELLUS SYS INC* 495,480
65,200 ORACLE CORP* 779,792
13,600 PMC SIERRA INC* 247,112
22,333 QUALCOMM INC 1,060,818
5,500 RESEARCH IN MOTION LTD* 242,660
1,300 SANDISK CORP* 104,780
14,900 SEAGATE TECHNOLOGY HLDGS INC 342,402
9,800 SUNGARD DATA SYS INC* 274,890
25,600 SYMBOL TECHNOLOGIES INC 319,744
3,400 SYNOPSYS INC* 107,848
6,700 TAKE-TWO INTERACTIVE SOFTWARE INC* 264,985
13,900 VERISIGN INC* 220,593
11,200 VERITAS SOFTWARE CO* 404,880
10,600 WESTERN WIRELESS CORP CL A* 205,640
44,900 XEROX CORP* 471,450
16,300 XILINX INC* 516,710
5,700 YAHOO! INC* 249,090
---------------
TOTAL TECHNOLOGY $ 35,922,213
</Table>
12
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 3.14%
5,100 AT&T CORP $ 94,809
56,400 BELLSOUTH CORP 1,483,884
9,400 NEXTEL COMMUNICATIONS INC CL A* 227,480
38,500 SBC COMMUNICATIONS INC 923,230
46,900 SPRINT CORP (FON GROUP) 750,400
45,600 SPRINT CORP (PCS GROUP)* 198,360
77,100 VERIZON COMMUNICATIONS INC 2,590,560
---------------
TOTAL TELECOMMUNICATIONS $ 6,268,723
TRANSPORTATION 3.15%
24,800 CSX CORP $ 789,136
21,700 EXPRESSJET HLDGS INC* 332,010
31,045 FEDEX CORP 2,351,969
7,519 JETBLUE AIRWAYS CORP* 433,696
11,732 RYANAIR HLDGS PLC SPON ADR* 604,198
32,700 RYDER SYS INC 981,000
25,900 SOUTHWEST AIRLINES CO 502,460
13,600 SWIFT TRANSPORTATION INC* 305,048
---------------
TOTAL TRANSPORTATION $ 6,299,517
UTILITIES 1.36%
8,800 ENTERGY CORP $ 474,320
22,200 EXELON CORP 1,408,590
10,500 FIRSTENERGY CORP 361,095
7,300 FPL GROUP INC 465,302
---------------
TOTAL UTILITIES $ 2,709,307
---------------
TOTAL COMMON STOCK (COST $175,026,626) $ 196,455,465
PREFERRED STOCK 0.44%
CONSUMER DURABLES 0.44%
29,600 NEWS CORP LTD SPON ADR $ 873,200
---------------
TOTAL CONSUMER DURABLES $ 873,200
---------------
TOTAL PREFERRED STOCK (COST $757,276) $ 873,200
---------------
TOTAL INVESTMENTS AT VALUE 98.74% (COST $175,783,902) 197,328,665
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES 1.26% 2,518,736
---------------
NET ASSETS 100.00% $ 199,847,401
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE
SETTLEMENT IN EXCHANGE UNITS OF COST ON NET UNREALIZED
DATE FOR USD CURRENCY ORIGINATION DATE VALUE DEPRECIATION
- ---------------------------------------------------------------------------------------------
Buys
12/17/03 EUR 246,890 $ 287,014 $ 286,657 $ (357)
Sales
12/17/03 EUR 246,890 $ 278,300 $ 286,657 $ (8,357)
</Table>
See Notes to Financial Statements.
SPON ADR Sponsored American Depositary Receipt
* Non-income producing security.
Currency Code Key
EUR EURO
13
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SMALL CAP FUND
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
COMMON STOCK 97.90%
BANKING & FINANCE 0.86%
1,800 AMERICANWEST BANCORP* $ 35,928
600 CAPITAL CITY BANK GROUP INC 23,190
2,600 CENTER FINL CORP 57,382
3,400 CENTRAL PACIFIC FINL CO 88,910
600 EVERTRUST FINL GROUP INC 17,310
17,400 FIRST MARBLEHEAD CORP* 385,410
1,800 FIRST MERCHANTS CORP 48,096
700 FIRSTBANK CORP 22,295
1,000 HERITAGE FINL CORP 21,970
2,300 HUDSON RIVER BANCORP 76,820
2,300 HUMBOLDT BANCORP 37,490
1,500 LAKELAND BANCORP INC 23,205
1,200 MBT FINL CORP 21,000
400 NATIONAL BANKSHARES INC 18,180
700 OAK HILL FINL INC 20,783
1,500 RESOURCE BANKSHARES CORP 44,595
700 STATE FINL SERVICES CORP CL A 18,431
28,000 TEXAS CAPITAL BANCSHARES INC* 380,800
900 WESTERN SIERRA BANCORP* 33,633
---------------
TOTAL BANKING & FINANCE $ 1,375,428
BASIC INDUSTRIES 6.26%
10,600 ACTUANT CORP CL A* $ 341,744
11,100 AGRIUM INC 170,607
8,400 AMCOL INTL CORP 151,788
20,100 ANCHOR GLASS CONTAINER CORP* 324,615
4,400 BUILDING MATERIALS HLDG CORP 62,216
6,200 CABOT CORP 172,980
13,800 CAMBREX CORP 326,232
500 CLEVELAND CLIFFS INC* 15,000
14,500 COMMERCIAL METALS CO 357,860
5,100 ENNIS BUSINESS FORMS INC 73,236
10,900 FERRO CORP 223,777
12,500 FMC CORP* 350,125
8,100 FMC TECHNOLOGIES INC* 162,648
6,600 GARDNER DENVER INC* 136,356
4,900 GREIF INC CL A 159,397
45,500 GRIFFON CORP* 880,425
27,655 INSIGHT ENTERPRISES INC* 465,157
16,800 INTERPOOL INC 245,280
19,300 LENNOX INTL INC 319,222
18,400 M/I SCHOTTENSTEIN HOMES INC 765,992
31,500 MACDERMID INC 941,220
11,400 MAVERICK TUBE CORP* 192,546
1,400 NN INC 16,800
3,000 OCTEL CORP 55,830
10,500 OLIN CORP 182,805
19,500 ONEOK INC 387,855
3,600 ROCK TENNESSEE CO CL A 57,960
7,000 RYERSON TULL INC 56,420
18,900 SCHNITZER STEEL INDS INC CL A 712,152
6,100 SCHWEITZER MAUDUIT INTL INC 162,260
5,400 SILGAN HLDGS INC* 172,692
20,600 SPARTECH CORP 477,508
38,700 STEEL DYNAMICS INC* 720,981
800 STEVEN MADDEN LTD* 17,144
4,000 TRC COS INC* 70,920
15,400 WELLMAN INC 127,050
---------------
TOTAL BASIC INDUSTRIES $ 10,056,800
CAPITAL GOODS 11.33%
39,100 AAR CORP* $ 426,190
12,020 ACTEL CORP* 324,300
13,885 ACXIOM CORP* 220,771
4,075 ADTRAN INC 277,222
24,200 ALBANY INTL CORP CL A 747,780
9,300 APPLIED INDUSTRIAL TECHNOLOGIES INC 209,715
12,200 ARMOR HLDGS INC* 237,900
2,900 ASBURY AUTOMOTIVE GROUP INC* 49,300
8,550 ATMI INC* 196,564
6,500 BARNES GROUP INC $ 189,670
14,700 BELDEN INC 275,625
10,000 BENCHMARK ELECTRONICS INC* 487,200
16,800 BRIGGS & STRATTON CORP 1,092,168
4,100 CARLISLE COS INC 235,135
13,245 CHICAGO BRIDGE & IRON CO 360,926
38,865 CHIPPAC INC* 324,134
8,100 CHITTENDEN CORP 260,658
28,800 COHERENT INC* 662,400
30,100 CTS CORP 333,207
21,400 DSP GROUP INC* 511,032
14,400 ELECTRO SCIENTIFIC INDS INC* 353,664
4,500 EMCOR GROUP INC* 169,605
7,400 ESCO TECHNOLOGIES INC* 321,752
6,200 EXCEL TECHNOLOGY INC* 174,530
9,205 FISHER SCIENTIFIC INTL INC* 370,501
4,700 II-VI INC* 111,531
10,100 INSITUFORM TECHNOLOGIES INC CL A* 144,430
11,000 INTERTAN INC* 115,720
9,300 ITRON INC* 190,557
14,500 JLG INDS INC 173,130
8,700 KAYDON CORP 206,799
57,200 KEMET CORP* 757,900
41,000 KULICKE & SOFFA INDS INC* 601,880
10,800 LECROY CORP* 183,708
11,600 LYDALL INC* 137,924
19,875 MEMC ELECTRONICS MATERIALS INC* 222,600
3,700 MERIX CORP* 65,823
16,100 PEMSTAR INC* 56,511
6,400 PENN ENGINEERING & MFG CORP 112,000
14,100 PERKINELMER INC 253,941
8,335 PHOTON DYNAMICS INC* 315,230
36,100 PLANAR SYS INC* 835,354
20,400 PLEXUS CORP* 352,716
3,900 QUAKER CHEMICAL CORP 103,506
6,200 REGAL BELOIT CORP 126,170
20,600 REMEC INC* 227,218
1,500 RICHARDSON ELECTRONICS LTD 15,195
9,100 ROFIN SINAR TECHNOLOGIES INC* 216,125
56,760 SKYWORKS SOLUTIONS INC* 487,001
16,400 STEWART & STEVENSON SVCS 274,208
5,300 STONERIDGE INC* 72,557
28,600 TECHNITROL INC* 623,480
7,200 TECUMSEH PRODS CO CL A 295,056
8,700 TEREX CORP* 196,272
10,400 TRIMBLE NAVIGATION LTD* 287,560
7,500 VARIAN INC* 268,575
37,800 VISHAY INTERTECHNOLOGY INC* 708,750
16,800 WASTE CONNECTIONS INC* 582,624
4,200 WOODHEAD DANIEL INC 66,360
---------------
TOTAL CAPITAL GOODS $ 18,200,360
CONSUMER DURABLES 3.52%
10,300 AO SMITH CORP $ 325,995
18,300 AZTAR CORP* 382,104
7,400 BANDAG INC 270,840
2,000 BASSETT FURNITURE INDS INC 31,420
12,900 COPART INC* 160,863
9,600 DURA AUTOMOTIVE SYSTEMS INC* 92,736
15,400 ELK CORP 391,160
5,500 G & K SVCS INC CL A 181,500
10,600 HUGHES SUPPLY INC 409,690
9,700 INTER TEL INC 244,343
900 MARINE PRODUCTS CORP 13,590
14,700 MILLER HERMAN INC 337,659
10,400 MONACO COACH CORP* 250,536
12,500 OAKLEY INC 135,625
21,600 ONEIDA LTD 102,168
15,300 PSS WORLD MEDICAL INC* 142,596
3,200 PULITZER INC 166,560
8,700 THOMAS NELSON INC 137,895
800 TIVO INC* 6,416
</Table>
14
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
9,100 TORO CO $ 452,270
4,800 WABASH NATL CORP* 110,736
12,300 WATSCO INC 263,343
5,100 WILEY JOHN & SONS INC CL A 132,600
23,200 YORK INTL CORP 921,968
---------------
TOTAL CONSUMER DURABLES $ 5,664,613
CONSUMER NON-DURABLES 1.92%
2,800 AEROPOSTALE INC* $ 86,380
11,000 AMERICAN ITALIAN PASTA CO CL A* 420,640
4,300 CHIQUITA BRANDS INTL INC* 79,550
19,200 FACTORY 2 U STORES INC* 39,360
8,900 GENESCO INC* 149,965
7,400 HB FULLER CO 183,372
1,000 INNOVEX INC* 11,300
8,300 LANCE INC 107,485
7,600 NASH FINCH CO 119,700
12,500 RUSSELL CORP 228,500
8,000 STANDARD REGISTER CO 140,800
3,200 UNIFIRST CORP 84,320
24,300 UNITED STATIONERS INC* 904,203
8,700 UNIVERSAL CORP VA 379,146
9,100 WARNACO GROUP INC* 158,795
---------------
TOTAL CONSUMER NON-DURABLES $ 3,093,516
CONSUMER SERVICES 19.48%
26,100 AARON RENTS INC $ 571,590
9,845 AC MOORE ARTS & CRAFTS INC* 227,715
6,000 ADMINISTAFF INC* 69,480
10,600 ADVISORY BOARD CO* 385,734
21,500 ALLIANCE GAMING CORP* 521,375
16,500 AMERICAN EAGLE OUTFITTERS INC* 263,835
14,800 AMERISTAR CASINOS INC* 312,576
5,000 ANGELICA CORP 103,000
12,980 ANN TAYLOR STORES CORP* 464,684
8,800 APPLEBEES INTL INC 330,088
200 ARGOSY GAMING CO* 4,760
12,500 ASCENTIAL SOFTWARE CORP* 277,375
21,800 ASPECT COMMUNICATIONS CORP* 294,954
38,300 BALLYS TOTAL FITNESS HLDG CORP* 255,078
61,900 BOSTON COMMUNICATIONS GROUP INC* 583,098
16,600 BOWNE & CO INC 249,000
5,600 BRIGHT HORIZONS FAMILY SOLUTIONS INC* 240,576
6,000 BROOKSTONE INC* 122,580
7,200 BURLINGTON COAT FACTORY WAREHOUSE 154,440
14,145 CACHE INC* 358,434
13,100 CALIFORNIA PIZZA KITCHEN INC* 243,660
2,100 CASH AMERICA INTL INC 40,089
13,900 CATO CORP CL A 293,290
11,170 CHARLES RIVER ASSOCIATES INC* 343,142
23,300 CHARMING SHOPPES INC* 152,615
11,100 CHRISTOPHER & BANKS CORP 324,120
19,300 CIRCUIT CITY STORES INC 184,122
6,500 CLARK INC* 97,825
7,300 CONSOLIDATED GRAPHICS INC* 201,845
9,020 CORINTHIAN COLLEGES INC* 558,518
7,900 CORNELL CORRECTIONS* 112,101
6,085 CORP EXECUTIVE BOARD CO* 310,396
15,585 COST PLUS INC* 714,884
23,395 CUMULUS MEDIA INC* 438,188
7,300 DAVE & BUSTERS INC* 95,995
36,190 DIGITAS INC* 314,853
21,800 DOLLAR THRIFTY AUTOMOTIVE GROUP* 570,942
10,810 EDUCATION MANAGEMENT CORP* 682,976
6,400 EPIQ SYS INC* 108,160
12,325 FLAMEL TECHNOLOGIES SA SPON ADR* 311,206
22,300 FOOTLOCKER INC 399,170
6,100 FOOTSTAR INC* 38,125
2,800 FTI CONSULTING INC* 55,720
9,500 GAMESTOP CORP CL A* 159,790
12,800 GARTNER GROUP INC CL B* 156,032
2,115 GEMSTAR TV GUIDE INTL INC* 9,919
17,800 GOODYS FAMILY CLOTHING INC $ 187,612
64,805 GRAY TELEVISION INC CL B 824,320
21,700 HANCOCK FABRICS INC 323,547
18,900 HANDLEMAN CO 337,365
2,000 HARTMARX CORP* 8,560
46,200 HOLLYWOOD ENTMT CORP* 702,240
13,777 HOT TOPIC INC* 395,538
3,000 IDEX CORP 111,540
31,140 INTEGRATED ALARM SERVICES GROUP INC* 274,343
9,900 INTRAWEST CORP 166,419
13,300 J JILL GROUP INC* 161,861
6,900 JACK IN THE BOX INC* 125,511
24,900 JOHN H HARLAND CO 678,027
5,600 JOURNAL REGISTER CO* 112,168
54,185 KROLL INC* 1,260,343
20,300 LIN TV CORP CL A* 457,765
15,800 LINENS N THINGS INC* 466,416
12,000 LITHIA MOTORS INC CL A 283,440
17,200 MACROVISION CORP* 377,884
10,000 MENS WEARHOUSE INC* 294,600
15,200 METHODE ELECTRONICS CL A 181,032
2,300 MOVADO GROUP INC 55,315
42,925 MOVIE GALLERY INC* 887,689
900 NAUTILUS GROUP INC 14,049
1,800 NAVIGANT INTL INC* 27,126
3,400 NEIMAN MARCUS GROUP INC CL B* 148,240
7,100 NEW ENGLAND BUSINESS SVC INC 206,610
4,300 PANTRY INC* 70,520
35,700 PENN NATL GAMING INC* 845,733
25,295 PETSMART INC 647,805
29,200 PHOTRONICS INC* 628,968
5,800 POMEROY COMPUTER RES INC 83,404
31,800 PRG SCHULTZ INTL INC* 151,050
500 QUIXOTE CORP 12,110
40,512 RARE HOSPITALITY INTL INC* 1,004,698
8,000 RC2 CORP* 169,600
16,100 READERS DIGEST ASSN INC CL A 237,153
67,100 REGENT COMMUNICATIONS INC* 401,258
2,100 RESOURCES CONNECTION INC* 51,933
4,700 REX STORES CORP* 74,072
7,000 SCHOLASTIC CORP* 216,510
51,400 SCIENTIFIC GAMES CORP CL A* 683,620
2,500 SEVEN ELEVEN INC* 39,875
4,100 SHARPER IMAGE CORP* 118,080
20,300 SHOPKO STORES INC* 314,244
10,200 SHUFFLE MASTER INC* 310,488
28,400 SONIC AUTOMOTIVE INC 644,680
9,600 SOTHEBYS HLDGS INC CL A* 102,240
2,600 SOURCE INFORMATION MGMT CO* 22,334
7,800 SOURCECORP* 182,754
13,500 SPANISH BROADCASTING SYS INC CL A* 121,500
8,600 STAGE STORES INC* 247,422
6,100 TALBOTS INC 200,507
16,620 TETRA TECH INC* 373,618
600 THE FINISH LINE INC* 18,372
29,145 ULTIMATE ELECTRONICS INC* 262,014
14,300 UNITED AUTO GROUP INC* 371,371
11,100 VAIL RESORTS INC* 148,740
9,600 VALUEVISION MEDIA INC CL A* 156,000
7,000 VOLT INFORMATION SCIENCES INC* 122,500
8,800 WACKENHUT CORRECTIONS CORP* 183,216
15,900 WET SEAL INC CL A* 174,741
2,500 ZALE CORP* 129,400
---------------
TOTAL CONSUMER SERVICES $ 31,300,145
ENERGY 4.48%
6,500 CIMAREX ENERGY CO* $ 132,925
4,100 CLAYTON WILLIAMS ENERGY INC* 86,100
6,050 COMSTOCK RESOURCES INC* 90,326
10,000 CORE LABS NV* 153,100
10,200 FORREST OIL CORP* 239,190
5,200 LONE STAR TECHNOLOGIES INC* 72,384
</Table>
15
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
700 MATRIX SERVICE CO* $ 17,822
4,000 MOOG INC CL A* 169,600
4,900 NUEVO ENERGY CO* 96,432
15,500 OCEANEERING INTL INC* 357,430
11,700 OFFSHORE LOGISTICS INC* 255,060
1,000 PENN VA CORP 45,350
9,600 PETROLEUM DEVELOPMENT CORP* 127,296
35,100 PRIDE INTL INC* 574,938
1,800 REMINGTON OIL & GAS CORP* 32,130
6,200 ROWAN COS INC* 148,490
13,100 SOUTHWEST GAS CORP 295,798
300 SOUTHWESTERN ENERGY CO* 5,820
29,800 SUPERIOR ENERGY SVCS INC* 266,412
79,500 TESORO PETROLEUM CORP* 906,300
3,400 TETRA TECHNOLOGIES INC* 76,874
9,800 TOM BROWN INC* 264,796
12,945 ULTRA PETROLEUM CORP* 236,893
23,400 UNIT CORP* 453,726
12,500 UNIVERSAL COMPRESSION HLDGS* 274,875
44,600 VARCO INTL INC* 784,514
52,500 VERITAS DGC INC* 465,150
16,000 VINTAGE PETROLEUM INC 184,800
24,800 W H ENERGY SVCS INC* 388,864
---------------
TOTAL ENERGY $ 7,203,395
FINANCIAL SERVICES 9.69%
800 ABC BANCORP $ 13,456
3,200 ADVANTA CORP CL B 34,976
7,800 ANCHOR BANCORP WISCONSIN INC 194,220
6,100 ASTORIA FINL CORP 211,304
400 BANCFIRST CORP 21,588
1,600 BANK OF THE OZARKS INC 68,176
19,800 BANKATLANTIC BANCORP INC CL A 332,442
9,000 BANKUNITED FINL CORP CL A* 198,990
1,600 BANNER CORP 38,000
19,200 BISYS GROUP INC* 274,560
15,700 BROOKLINE BANCORP INC 232,674
300 C & F FINANCIAL CORP 13,506
1,700 CASCADE BANCORP 32,130
6,300 CITY HLDG CO 213,066
2,200 COLUMBIA BANCORP 35,200
5,800 COLUMBIA BANKING SYSTEMS INC 112,346
9,000 COMMERCIAL CAPITAL BANCORP INC* 168,930
9,600 COMMUNITY BANK SYS INC 468,000
16,200 COMMUNITY FIRST BANKSHARES INC 439,830
700 COMMUNITY TRUST BANCORP INC 22,575
19,500 COMPUCREDIT CORP* 385,515
1,100 CORUS BANKSHARES INC 64,680
700 CVB FINL CORP 13,965
11,800 DELPHI FINL GROUP INC CL A 594,366
11,525 DIGITAL INSIGHT CORP* 241,794
5,700 DIME COMMUNITY BANCSHARES 158,916
8,600 EAST WEST BANCORP INC 422,174
3,300 FBL FINL GROUP INC 86,130
800 FIRST COMMUNITY BANCSHARES 28,440
14,300 FIRST NIAGARA FINL GROUP INC 204,347
900 FIRST PLACE FINL CORP 17,325
6,700 FIRST REPUBLIC BANK 239,860
5,500 FIRSTFED FINL CORP* 247,500
22,600 FLAGSTAR BANCORP INC 503,980
1,800 FLUSHING FINL CORP 43,650
1,400 FRONTIER FINL CORP 43,890
11,000 FULTON FINANCE CORP 227,150
19,900 GOLD BANC CORP INC 257,108
13,300 GREATER BAY BANCORP 358,568
1,800 HANCOCK HLDG CO 103,014
2,500 HANMI FINL CORP 53,000
1,200 HERITAGE COMMERCE CORP* 14,160
5,300 INDEPENDENT BANK CORP MA 154,866
2,450 INDEPENDENT BANK CORP MI 70,879
7,000 IPC HLDGS LTD 262,150
19,900 IRWIN FINL CORP 557,797
13,800 JEFFERIES GROUP INC $ 427,800
600 MERCHANTS BANCSHARES INC 17,064
4,500 MID STATE BANCSHARES 109,485
7,800 NARA BANCORP INC 176,280
3,500 NBT BANCORP INC 73,500
35,800 NETBANK INC 490,818
19,800 NEW CENTURY FINL CORP 734,184
12,930 ODYSSEY RE HLDGS CORP 271,271
3,700 ORIENTAL FINL GROUP INC 94,794
6,100 PACIFIC CAPITAL BANCORP 207,766
1,400 PENN AMERICA GROUP INC 21,350
2,240 PFF BANCORP INC COM 83,552
9,400 PMA CAPITAL CORP CL A 123,610
8,000 PRIVATEBANCORP INC 324,000
13,600 PROASSURANCE CORP* 409,360
2,400 PROSPERITY BANCSHARES INC 55,440
13,000 R & G FINL CORP CL B 427,700
7,600 RLI CORP 255,360
1,400 SAFETY INSURANCE GROUP INC 22,050
1,200 SECOND BANCORP INC 33,240
15,300 SELECTIVE INSURANCE GROUP INC 469,710
6,800 SILICON VALLEY BANCSHARES* 238,680
6,500 SOUTH FINL GROUP (THE) INC 169,845
9,100 STEWART INFORMATION SERVICES CORP* 283,465
1,800 SUN BANCORP INC* 42,120
3,000 SUSQUEHANNA BANCSHARES INC 75,150
400 TAYLOR CAPITAL GROUP INC 10,168
1,400 TEXAS REGIONAL BANCSHARES INC 50,750
10,900 THORNBURG MTG INC 297,025
7,600 UICI CORP* 113,696
3,100 UMB FINL CORP 155,062
2,700 UMPQUA HLDG CORP 55,215
500 UNION BANKSHARES CORP 15,970
1,800 USB HLDG CO INC 33,660
2,500 WASHINGTON TRUST BANCORP INC 71,100
2,300 WFS FINL INC* 100,303
7,400 WORLD ACCEPT CORP* 132,756
3,000 WSFS FINL CORP 127,950
9,200 ZENITH NATL INS CORP 282,440
---------------
TOTAL FINANCIAL SERVICES $ 15,564,882
HEALTH CARE 11.20%
38,400 AAIPHARMA INC* $ 694,656
7,100 ACCREDO HEALTH INC* 226,916
6,600 ADVANCED MEDICAL OPTICS INC* 133,122
18,700 ALBANY MOLECULAR RESEARCH INC* 274,890
40,200 ALPHARMA INC CL A 731,640
18,085 AMERICAN HEALTHWAYS INC* 749,623
20,500 AMERICAN MEDICAL SYS HLDGS INC* 410,000
5,600 AMERIGROUP CORP* 234,192
11,419 AMN HEALTHCARE SVCS INC* 172,655
6,310 BARR LABS INC* 484,419
5,900 BRADLEY PHARMACEUTICALS INC* 158,533
2,400 CANDELA CORP* 41,160
6,405 CEPHALON INC* 300,779
11,400 CHARLES RIVER LABS INTL INC* 367,536
5,100 COLLAGENEX PHARMACEUTICALS INC* 49,062
27,260 CONCEPTUS INC* 333,935
6,970 COVENTRY HEALTH CARE INC* 381,607
18,800 CROSS COUNTRY HEALTHCARE INC* 261,132
19,600 CURATIVE HEALTH SVCS INC* 280,084
10,000 DADE BEHRING HLDGS INC* 305,700
6,400 DJ ORTHOPEDICS INC* 114,880
2,000 DYNACQ INTL INC* 33,460
5,000 ENZON INC* 55,800
7,745 EON LABS INC* 326,142
6,400 EPIX MEDICAL INC* 118,464
18,700 GEN PROBE INC* 500,599
16,245 HEALTHEXTRAS INC* 190,229
5,700 ICU MEDICAL INC* 192,603
6,900 IDEXX LABS INC* 326,370
11,735 IMMUCOR INC* 345,244
</Table>
16
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
6,965 IMPAC MEDICAL SYS INC* $ 163,956
18,890 INTUITIVE SURGICAL INC* 273,716
10,000 INVERESK RESEARCH GROUP INC* 232,000
15,600 KEITHLEY INSTRUMENTS INC 251,628
28,235 KOS PHARMACEUTICALS INC* 1,121,212
17,600 LIFEPOINT HOSPS INC* 452,496
400 LIGAND PHARMACEUTICALS CL B* 5,512
11,800 MATRIA HEALTHCARE INC* 198,240
5,700 MEDICINES CO* 151,905
5,000 MERIDIAN BIOSCIENCE INC 49,800
6,855 MGI PHARMA INC* 257,474
7,800 MID ATLANTIC MEDICAL SVCS INC* 455,520
12,000 NEUROCHEM INC* 168,120
21,200 NOVAVAX INC* 144,372
5,325 PHARMACEUTICAL RESOURCES INC* 384,891
31,600 PRIORITY HEALTHCARE CORP CL B* 683,508
11,700 RESPIRONICS INC* 487,773
13,800 SALIX PHARMACEUTICALS LTD* 273,240
20,800 SOLA INTL INC* 356,720
2,600 SYBRON DENTAL SPECIALTIES INC* 59,800
17,030 TARO PHARMACEUTICAL INDS LTD* 1,094,177
7,800 TECHNE CORP* 271,674
15,300 UNITED SURGICAL PARTNERS INTL INC* 461,448
43,100 US ONCOLOGY INC* 471,514
19,200 VCA ANTECH INC* 542,208
5,800 WEST PHARMACEUTICAL SVCS INC 191,690
---------------
TOTAL HEALTH CARE $ 18,000,026
INDUSTRIAL 0.36%
1,900 AAON INC* $ 35,131
400 BHA GROUP HLDGS INC 9,360
7,000 CASCADE CORP 167,650
1,400 CHESAPEAKE UTILITIES CORP 34,132
3,600 CSS INDUSTRIES INC 97,164
22,800 DIAMONDCLUSTER INTL INC* 202,920
3,700 LADISH CO INC* 28,938
---------------
TOTAL INDUSTRIAL $ 575,295
REAL ESTATE (PUBLICLY TRADED) 4.62%
1,300 ACADIA REALTY TRUST REIT $ 14,742
6,800 ANTHRACITE CAPITAL INC 69,292
54,400 ANWORTH MTG ASSET CORP 763,776
6,900 BOYKIN LODGING CO 57,132
25,200 BRANDYWINE REALTY TRUST 638,568
8,700 CBL & ASSOCIATES PPTYS INC 463,710
8,700 CORPORATE OFFICE PPTYS TRUST 168,258
4,780 CORRECTIONS CORP OF AMERICA* 117,397
15,200 ENTERTAINMENT PROPERTIES TRUST REIT 489,136
21,800 EQUITY INNS INC 184,210
32,500 FELCOR LODGING TRUST 331,175
13,500 GLENBOROUGH REALTY TRUST INC 263,250
19,900 HERITAGE PPTY INVESTMENT TRUST 561,180
34,800 HRPT PPTYS TRUST 325,728
26,600 INNKEEPERS USA TRUST 231,420
25,300 KILROY REALTY CORP 731,170
10,100 KOGER EQUITY INC 195,637
41,800 LA QUINTA CORP* 257,906
6,900 LASALLE HOTEL PROPERTIES 116,265
6,700 LTC PPTYS INC 79,328
3,700 MID AMER APT CMNTYS INC 116,180
18,100 NATIONAL HEALTH INVESTORS INC 384,625
7,800 PENNSYLVANIA REAL ESTATE TRUST 260,520
46,600 PRIME HOSPITALITY CORP* 424,060
800 TANGER FACTORY OUTLET CENTERS INC REIT 32,304
14,700 WINSTON HOTELS INC REIT 147,735
---------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 7,424,704
SOFTWARE & COMPUTER SERVICES 0.25%
1,300 ANSOFT CORP* $ 15,197
700 GSI COMMERCE INC* 6,832
11,100 OPNET TECHNOLOGIES INC* 155,844
14,080 PORTAL SOFTWARE INC* 225,280
---------------
TOTAL SOFTWARE & COMPUTER SERVICES $ 403,153
TECHNOLOGY 20.31%
40,440 ACTIVCARD CORP* $ 341,718
11,900 ACTIVISION INC* 179,571
20,400 ADAPTEC INC* 173,604
1,830 ADVANCED SEMICONDUCTER ENGINEERING INC
SPON ADR* 8,564
98,150 AEROFLEX INC* 910,832
6,200 ALTIRIS INC* 213,156
17,900 ANDREW CORP* 234,132
13,300 ANTEON INTL CORP* 454,062
5,400 APPLIED SIGNAL TECHNOLOGY INC 111,780
21,200 ARRIS GROUP INC* 127,200
19,055 ARTISAN COMPONENTS INC* 390,818
2,700 ASK JEEVES INC* 51,732
14,300 ASPEN TECHNOLOGY INC* 114,400
9,540 AT ROAD INC* 123,066
1,400 AUDIOVOX CORP CL A* 16,800
15,900 AVOCENT CORP* 601,020
105,600 AXCELIS TECHNOLOGIES INC* 1,117,248
22,300 BELL MICROPRODUCTS INC* 188,212
77,260 BORLAND SOFTWARE CORP* 686,069
4,100 BROOKS AUTOMATION INC* 102,295
35,500 CABLE DESIGN TECHNOLOGIES CORP* 342,220
5,100 CENTILLIUM COMMUNICATIONS INC* 27,336
15,715 CERIDIAN INC* 330,015
27,900 CHECKPOINT SYS INC* 525,636
49,800 CIRRUS LOGIC INC* 406,368
12,300 COMMONWEALTH TELEPHONE ENTERPRISES INC* 501,348
17,700 COMMSCOPE INC* 274,173
17,600 COMPUTER TASK GROUP INC* 67,760
4,400 COMTECH TELECOMMUNICATIONS CORP* 129,580
33,000 CREDENCE SYS CORP* 538,230
33,700 CSG SYS INTL INC* 387,213
2,000 CURTISS WRIGHT CORP 148,000
600 DENDRITE INTL INC* 9,060
6,100 DIODES INC* 144,204
24,800 DOT HILL SYS CORP* 332,568
2,100 DUCOMMUN INC* 39,270
18,100 E PIPHANY INC* 125,614
6,900 ELECTRO RENT CORP* 101,085
25,145 ELECTRONICS FOR IMAGING CORP* 681,430
16,415 EMULEX CORP* 464,873
36,105 ESPEED INC* 983,861
9,300 EVANS & SUTHERLAND COMPUTER CORP* 53,940
21,500 EXAR CORP* 345,935
60,260 EXTREME NETWORKS INC* 518,236
5,800 FACTSET RESEARCH SYS INC 253,112
12,800 FEDERAL SIGNAL CORP 189,312
6,100 FEI CO* 144,875
6,400 FILENET CORP* 171,008
13,900 FINDWHAT.COM INC* 232,269
21,600 FSI INTL INC* 136,080
3,500 GENERAL CABLE CORP* 33,215
1,700 GENERAL COMMUNICATION INC CL A* 16,762
23,400 GERBER SCIENTIFIC INC* 184,860
9,300 GLOBAL IMAGING SYS INC* 270,165
47,030 GLOBESPAN VIRATA INC* 289,705
3,500 GROUP 1 SOFTWARE INC* 63,175
59,420 HARRIS INTERACTIVE INC* 395,143
3,700 HEICO CORP 56,610
23,420 HYPERION SOLUTIONS CORP* 784,336
1,200 INET TECHNOLOGIES INC* 16,140
28,700 INFOCUS CORP* 189,133
12,500 INSIGHT COMMUNICATIONS INC* 121,125
14,800 INTEGRATED DEVICE TECHNOLOGY INC* 232,360
6,500 INTERDIGITAL COMMUNICATIONS CORP* 110,435
12,500 INTERLAND INC* 95,125
10,200 INTERVOICE INC* 106,182
123,500 INTERWOVEN INC* 468,065
3,000 INTL RECTIFIER CORP* 143,190
7,300 KAMAN CORP CL A 89,060
11,600 KOMAG INC* 218,776
</Table>
17
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
15,930 LAM RESEARCH CORP* $ 457,828
20,400 LATTICE SEMICONDUCTOR CORP* 159,120
22,825 LIONBRIDGE TECHNOLOGIES INC* 206,110
8,300 LTX CORP* 118,607
12,300 MAGMA DESIGN AUTOMATION INC* 298,029
10,525 MANHATTAN ASSOCS INC* 293,016
3,475 MARVELL TECHNOLOGY GROUP LTD* 152,448
13,900 MAXTOR CORP* 190,013
7,900 MAXWELL TECHNOLOGIES INC* 64,069
300 MERCURY COMPUTER SYS INC* 6,453
31,900 MICROMUSE INC* 256,795
2,600 MICROSEMI CORP* 53,820
25,200 MKS INSTRUMENTS INC* 655,200
9,200 MTC TECHNOLOGIES INC* 269,468
16,900 MYKROLIS CORP* 249,275
3,700 NEOFORMA INC* 58,608
2,600 NETFLIX INC* 148,980
15,500 NETIQ CORP* 188,170
16,400 NETWORK ASSOCIATES INC* 228,452
18,000 NEWPORT CORP* 283,680
24,133 PARTHUSCEVA INC* 178,343
34,900 PAXAR CORP* 418,102
21,990 PC TEL INC* 222,759
11,200 PEGASUS SOLUTIONS INC* 122,304
14,340 PER SE TECHNOLOGIES INC* 195,024
25,900 PHOENIX TECHNOLOGIES LTD* 170,422
4,700 PLANTRONICS INC* 130,707
3,100 PRICELINE.COM INC* 86,986
17,100 PROGRESS SOFTWARE CORP* 377,397
9,100 PROQUEST CO* 270,270
8,800 RAINBOW TECHNOLOGIES INC* 108,328
2,800 RENAISSANCE LEARNING INC* 70,448
2,700 RSA SEC INC* 35,019
15,395 RUDOLPH TECHNOLOGIES INC* 402,579
700 SAFENET INC* 23,345
13,600 SEMTECH CORP* 301,920
20,900 SERENA SOFTWARE INC* 360,525
51,345 SILICON IMAGE INC* 360,955
25,450 SILICON STORAGE TECHNOLOGY INC* 284,531
5,300 SOUTHERN UNION CO* 93,333
7,700 SS & C TECHNOLOGIES INC 169,400
18,900 SYMMETRICOM INC* 136,080
15,000 SYSTEMS & COMPUTER TECHNOLOGY CORP* 220,500
27,800 TAKE-TWO INTERACTIVE SOFTWARE INC* 1,099,490
2,000 TALK AMERICA HLDGS INC* 24,960
34,000 TECHNOLOGY SOLUTIONS CO* 47,940
33,400 TEKELEC* 537,406
8,200 THQ INC* 145,468
18,970 TIER TECHNOLOGIES INC CL B* 194,443
15,200 TOLLGRADE COMMUNICATIONS INC* 238,184
1,300 TRADESTATION GROUP INC* 11,063
1,000 TRANSACTION SYS ARCHITECTS INC CL A* 20,000
23,665 TTM TECHNOLOGIES INC* 381,007
3,300 ULTRATECH INC* 102,993
5,000 UNITED ONLINE INC* 143,950
12,900 VEECO INSTRUMENTS INC* 326,886
10,900 VERINT SYS INC* 244,051
20,900 VERISITY LTD* 261,041
33,085 VIRAGE LOGIC CORP* 327,542
42,410 WATCHGUARD TECHNOLOGIES INC* 243,858
3,200 WEBSENSE INC* 74,880
8,500 WHITE ELECTRONIC DESIGNS CORP* 93,500
15,600 XICOR INC* 176,592
14,400 ZORAN CORP* 239,904
---------------
TOTAL TECHNOLOGY $ 32,647,028
TRANSPORTATION 2.42%
7,500 ATLANTIC COAST AIRLINES HLDGS INC* $ 83,025
4,200 COVENANT TRANSPORT INC CL A* 80,094
56,200 EXPRESSJET HLDGS INC* 859,860
5,900 FLORIDA EAST COAST INDS INC CL A 175,348
13,600 GENESEE & WYOMING INC CL A* 330,616
7,200 OVERNITE CORP* $ 159,552
25,800 OVERSEAS SHIPHOLDING GROUP 703,308
46,595 PACER INTL INC* 960,789
8,100 SCS TRANSPORTATION INC* 121,581
11,000 SWIFT TRANSPORTATION INC* 246,730
1,300 US XPRESS ENTERPRISES INC CL A* 16,536
4,600 YELLOW CORP* 151,110
---------------
TOTAL TRANSPORTATION $ 3,888,549
UTILITIES 1.20%
7,600 AGL RESOURCES INC $ 213,940
30,400 AVISTA CORP 516,800
5,200 ENERGEN CORP 191,724
6,300 IONICS INC* 179,487
5,100 SOUTH JERSEY INDS INC 193,443
12,500 UIL HLDGS CORP 469,500
8,200 WESTAR ENERGY INC 163,836
---------------
TOTAL UTILITIES $ 1,928,730
---------------
TOTAL COMMON STOCK (COST $150,381,431) $ 157,326,624
---------------
TOTAL INVESTMENTS AT VALUE 97.90% (COST $150,381,431) 157,326,624
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES 2.10% 3,374,431
---------------
NET ASSETS 100.00% $ 160,701,055
</Table>
See Notes to Financial Statements.
REIT Real Estate Investment Trust
SPON ADR Sponsored American Depositary Receipt
* Non-income producing security.
18
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INTERNATIONAL EQUITY FUND
October 31, 2003 (Unaudited)
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
COMMON STOCK 93.88%
AUSTRALIA 1.84%
190,477 BHP BILLITON LTD $ 1,583,992
71,900 FOSTERS GROUP LTD 233,146
17,100 MACQUARIE BANK LTD 422,724
22 NEWS CORP LTD 196
150,000 PASMINCO LTD* --
5,543 RIO TINTO LTD 140,213
15,800 SIGMA CO LTD 75,113
34,000 TOLL HLDGS LTD 201,682
60,400 WMC RESOURCES LTD* 219,427
---------------
TOTAL AUSTRALIA $ 2,876,493
AUSTRIA 0.21%
3,000 ERSTE BANK DER OESTERREICHISCHEN SPARKASSEN AG $ 331,696
---------------
TOTAL AUSTRIA $ 331,696
BELGIUM 0.19%
4,800 UMICORE $ 292,113
---------------
TOTAL BELGIUM $ 292,113
CANADA 3.33%
31,800 CELESTICA INC* $ 451,166
16,000 CINRAM INTL INC 333,462
4,500 COGNOS INC* 155,411
19,100 INCO LTD* 633,841
22,700 MANULIFE FINL CORP 688,896
7,200 PETRO CANADA 290,229
3,400 PRECISION DRILLING CORP* 133,802
4,700 RESEARCH IN MOTION* 207,676
6,100 SHOPPERS DRUG MART CORP* 133,982
44,700 TALISMAN ENERGY INC 2,183,705
---------------
TOTAL CANADA $ 5,212,170
CHINA 0.67%
262,500 BYD CO LTD CL H $ 684,500
238,000 HUANENG PWR INTL INC SER H 370,836
---------------
TOTAL CHINA $ 1,055,336
DENMARK 0.50%
100 A P MOLLER MAERSK A S $ 785,044
---------------
TOTAL DENMARK $ 785,044
EGYPT 0.08%
10,800 ORASCOM CONSTRUCTION $ 120,829
---------------
TOTAL EGYPT $ 120,829
FINLAND 0.62%
25,600 NOKIA OYJ $ 434,794
10,500 OUTOKUMPU OYJ 127,067
21,800 UPM KYMMENE OYJ 408,014
---------------
TOTAL FINLAND $ 969,875
FRANCE 9.02%
3,700 ACCOR SA $ 145,511
800 AIR LIQUIDE SA 118,575
41,200 AVENTIS SA 2,181,617
29,400 AXA 557,093
2,298 BIC 95,156
17,700 BNP PARIBAS SA 930,046
1,200 BONDUELLE SCA 95,139
12,900 BOUYGUES 350,912
8,700 CHRISTIAN DIOR SA 484,651
26,000 CIE DE ST-GOBAIN 1,096,865
34,131 CREDIT AGRICOLE SA 724,904
2,100 GROUPE DANONE 316,874
2,300 KLEPIERRE 122,591
3,900 ORPEA* 62,112
17,354 PSA PEUGEOT CITROEN 744,422
11,900 RENAULT SA 787,140
1,500 RODRIGUEZ GROUP 101,835
19,463 SANOFI-SYNTHELABO SA 1,204,821
2,900 SCHNEIDER ELECTRIC SA $ 169,742
2,900 SEB SA 319,594
52,000 THOMSON 1,095,354
12,300 TOTAL SA 1,911,743
6,880 VINCI SA 498,675
---------------
TOTAL FRANCE $ 14,115,372
GERMANY 4.87%
4,200 ALTANA AG $ 264,680
6,302 BAYER AG 151,430
31,200 BAYERISCHE MOTOREN WERKE AG 1,249,502
27,600 DEUTSCHE LUFTHANSA AG 432,827
20,600 DEUTSCHE POST AG 396,331
23,083 DEUTSCHE TELEKOM AG REGD* 363,601
18,900 E.ON AG 955,310
2,601 HYPO REAL ESTATE HLDG AG* 45,355
5,000 INFOSYS TECHNOLOGIES SPON ADR 423,050
14,800 METRO AG 605,272
6,056 MUENCHENER RUECKVERSICHERUNGS AG REGD 722,244
1,200 PUMA AG 175,045
4,400 SAP AG 640,142
16,100 SIEMENS AG REGD 1,085,543
2,300 STADA ARZNEIMITTEL AG 119,223
---------------
TOTAL GERMANY $ 7,629,555
GREECE 0.71%
15,100 COCA COLA HELLENIC BOTTLING SA $ 292,445
4,800 FOLLI FOLLIE SA 112,493
63,600 HELLENIC TELECOM ORGANIZATION SA 712,733
---------------
TOTAL GREECE $ 1,117,671
HONG KONG 2.81%
139,500 BOC HONG KONG HLDGS LTD $ 241,611
268,000 CATHAY PACIFIC AIRWAYS LTD 512,484
124,000 CHINA INSURANCE INTL HLDGS CO LTD 83,032
46,000 CHINA MOBILE LTD 130,613
240,500 CNOOC LTD 453,703
156,000 DENWAY INVESTMENT 128,565
57,500 ESPRIT HLDGS LTD 180,666
44,900 HANG SENG BANK LTD 560,838
120,000 HENDERSON LAND DEVELOPMENT CO 503,754
18,000 HUTCHISON WHAMPOA LTD 139,653
178,000 LI & FUNG 299,123
12,000 PICC PROPERTY & CASUALTY CL H* 2,810
15,000 SUN HUNG KAI PPTYS LTD 127,001
118,500 SWIRE PACIFIC LTD CL A 723,296
84,585 TECHTRONIC INDUSTRIES CO 233,092
33,000 WHARF HLDGS LTD 83,077
---------------
TOTAL HONG KONG $ 4,403,318
INDIA 0.59%
6,100 DOCTOR REDDYS LAB $ 162,626
3,100 HDFC BANK LTD ADR 80,259
37,800 SATYAM COMPUTER SERVICES LTD ADR 684,180
---------------
TOTAL INDIA $ 927,065
INDONESIA 0.06%
232,500 PT UNILEVER INDONESIA TBK $ 88,250
---------------
TOTAL INDONESIA $ 88,250
IRELAND 2.65%
119,280 ALLIED IRISH BANKS PLC $ 1,746,324
21,400 ANGLO IRISH BANK PLC 256,985
57,400 CRH PLC 1,031,149
3,990 DEPFA BANK PLC 446,676
11,700 GRAFTON GROUP PLC UTS 72,767
11,700 RYANAIR HLDGS PLC SPON ADR* 602,550
---------------
TOTAL IRELAND $ 4,156,451
ISRAEL 0.15%
4,200 TEVA PHARMACEUTICAL INDS LTD SPON ADR $ 238,938
---------------
TOTAL ISRAEL $ 238,938
</Table>
19
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
ITALY 0.26%
32,152 CAPITALIA SPA* $ 89,704
9,500 MERLONI ELETTRODOMESTICI SPA 160,134
21,200 SAIPEM SPA 154,278
---------------
TOTAL ITALY $ 404,116
JAPAN 20.10%
11,780 ACOM CO LTD $ 527,199
3,600 ADVANTEST CORP 268,195
3,200 ASKUL CORP 168,536
3,100 BANDAI CO 82,340
2,100 BELLUNA CO LTD 83,668
8,200 BENESSE CORP 201,392
7,000 BRIDGESTONE CORP 91,691
20,000 CALSONIC KANSEI CORP 152,272
45,000 CANON INC 2,177,650
900 CAWACHI LTD 63,856
21,000 CHIYODA CORP* 136,963
40,000 DAI NIPPON PRINTING CO LTD 617,820
31,000 DAIWA SECS GROUP INC 226,716
11 DENTSU INC 49,529
60 EAST JAPAN RAILWAY CO 271,797
6,500 FANUC LTD 390,822
9,200 FAST RETAILING CO LTD 559,021
12 FUJI TELEVISION NETWORK INC 63,856
31,000 FUJITSU LTD 194,288
28,000 HINO MOTORS LTD 159,949
14,000 HITACHI LTD 82,267
42,700 HONDA MOTOR CO LTD 1,685,705
4,700 HOYA CORP 425,388
300 JAPAN TELECOM CO LTD 897,803
21 JAPAN TOBACCO INC 140,210
1,300 KAPPA CREATE CO LTD 111,984
45,000 KAWASAKI KISEN KAISHA LTD 180,516
3,070 KEYENCE CORP 675,241
3,400 KOMERI CO LTD 77,628
113,300 KONICA MINOLTA HLDGS INC 1,489,230
12,200 MARUI CO LTD 154,921
21,000 MATSUSHITA ELECTRIC INDL CO LTD 276,791
31 MILLEA HLDGS INC 369,400
2,300 MISUMI CORP 104,816
12,000 MITSUBISHI CORP 124,546
29,000 MITSUBISHI ELECTRIC CORP 129,522
52,500 MITSUBISHI ESTATE CO LTD 503,343
75,000 MITSUBISHI HEAVY IND CO LTD 206,031
113 MITSUBISHI TOKYO FINL GROUP INC 812,025
63,000 MITSUI & CO 458,453
12,000 MITSUI FUDOSAN 111,666
16,000 MITSUI SUMITOMO INSURANCE CO 131,860
1,000 NAKANISHI INC 51,758
16 NET ONE SYSTEMS 119,925
46,000 NIKKO CORDIAL CORP 248,128
11,000 NIPPON ELECTRIC GLASS CO LTD 202,119
87 NIPPON TEL & TEL CORP 388,566
410 NIPPON TELEVISION NETWORK CORP 59,336
83,600 NISSAN MOTOR CO 936,874
1,900 NITORI CO LTD 121,153
21,100 NITTO DENKO CORP 1,107,445
66,000 NOMURA HLDGS INC 1,133,470
72,200 NSK LTD 297,509
170 NTT DOCOMO INC 368,036
6,000 OMRON CORP 131,532
4,100 ORACLE CORP JAPAN 240,551
5,100 ORIX CORP 429,117
5,600 PIONEER CORP 139,573
400 POINT INC 9,460
15,300 PROMISE CO LTD 687,515
2,800 ROHM CO 377,459
54,000 SANYO ELECTRIC CO LTD 247,564
4,500 SAWAI PHARMACEUTICAL CO LTD 158,412
14,000 SECOM CO LTD 547,596
63,000 SEKISUI CHEMICAL 310,029
23,000 SHARP CORP $ 362,150
4,100 SMC CORP 493,410
34 SUMITOMO MITSUI FINL GROUP INC 171,028
25,000 SUMITOMO REALTY & DEVELOPMENT 231,955
67,000 SUMITOMO TRUST & BKG CO 374,203
4,800 SUZUKEN CO LTD 148,451
7,540 TAKEFUJI CORP 446,495
32 THE GOODWILL GROUP INC 230,536
22,200 THK CO 450,321
4,300 TOKYO BROADCASTING SYS INC 68,880
7,400 TOKYO ELECTRON LTD 530,423
90,000 TOKYU CORP 446,173
246 UFJ HLDGS* 1,051,712
5,800 USS CO LTD 412,043
21 YAHOO JAPAN CORP* 311,366
25,700 YAMAHA CORP 517,811
46,100 YAMANOUCHI PHARMACEUTICAL CO 1,157,375
9,000 YAMATO TRANSPORT CO LTD 119,607
---------------
TOTAL JAPAN $ 31,473,972
MEXICO 0.34%
158,800 AMERICA MOVIL SA DE CV SER L* $ 188,757
166,900 GRUPO FINANCIERO BBVA BANCOMER SA DE CV CL B* 141,661
76,700 WAL-MART DE MEXICO SER C 199,671
---------------
TOTAL MEXICO $ 530,089
NETHERLANDS 5.74%
15,800 ABN AMRO HLDGS NV $ 331,533
36,700 AEGON NV 481,247
11,900 AKZO NOBEL NV 376,278
4,000 EURONEXT NV 97,882
28,800 ING GROEP NV CVA 597,953
33,838 KONINKLIJKE AHOLD NV* 286,371
64,400 KONINKLIJKE KPN NV* 489,617
64,957 KONINKLIJKE PHILIPS ELECTRS NV 1,751,135
8,500 QIAGEN NV* 99,603
39,100 ROYAL DUTCH PETROLEUM CO 1,734,970
83,300 TNT POST GROEP NV 1,796,312
39,800 VEDIOR NV CVA 573,717
12,300 VNU NV 374,627
---------------
TOTAL NETHERLANDS $ 8,991,245
NEW ZEALAND 0.29%
150,732 TELECOM CORP OF NEW ZEALAND $ 448,268
---------------
TOTAL NEW ZEALAND $ 448,268
NORWAY 0.85%
11,700 NORSK HYDRO ASA $ 658,451
123,000 TELENOR ASA 669,608
---------------
TOTAL NORWAY $ 1,328,059
PORTUGAL 0.30%
56,700 PORTUGAL TELECOM SA $ 476,556
---------------
TOTAL PORTUGAL $ 476,556
SINGAPORE 1.29%
24,000 DBS GROUP HLDGS LTD $ 197,134
55,000 HYFLUX LTD 58,129
97,000 NEPTUNE ORIENT LINES LTD* 123,691
72,000 OSIM INTL LTD 43,838
1,045,000 SINGAPORE TELECOM LTD 1,032,425
89,000 UNISTEEL TECHNOLOGY LTD 67,480
45,000 UNITED OVERSEAS BANK 351,532
13,000 VENTURE MFG SINGAPORE LTD 141,130
---------------
TOTAL SINGAPORE $ 2,015,359
SOUTH AFRICA 0.18%
49,400 MTN GROUP LTD* $ 176,966
166,100 NETWORK HEALTHCARE HLDGS LTD* 105,996
---------------
TOTAL SOUTH AFRICA $ 282,962
</Table>
20
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
SOUTH KOREA 1.99%
3,790 HANA BANK $ 65,969
5,600 KOOKMIN BANK 204,411
8,850 LG ELECTRONICS INC 458,390
1,720 POSCO 200,558
4,280 SAMSUNG ELECTRONICS CO LTD 1,699,704
2,800 SK TELECOM 494,466
---------------
TOTAL SOUTH KOREA $ 3,123,498
SPAIN 2.20%
17,600 ALTADIS SA SER A $ 426,796
15,400 AMADEUS GLOBAL TRAVEL DISTR SER A 96,673
149 ANTENA 3 TELEVISION SA* 4,862
39,900 BANCO BILBAO VIZCAYA ARGENTARIA SA 457,808
3,800 BANCO POPULAR ESPANOL 197,595
47,700 BANCO SANTANDER CENTRAL HISPANO SA 457,473
66,300 ENDESA SA 1,052,057
4,200 GRUPO FERROVIAL SA 119,914
5,500 PROSEGUR COMP SEGURIDAD 89,512
44,000 TELEFONICA SA 547,305
---------------
TOTAL SPAIN $ 3,449,995
SWEDEN 0.77%
6,700 ATLAS COPCO AB CL A $ 235,333
16,400 AUTOLIV INC SPON ADR 540,300
5,400 GUNNEBO AB 119,410
11,000 VOLVO AB CL B 307,402
---------------
TOTAL SWEDEN $ 1,202,445
SWITZERLAND 8.92%
900 ACTELION LTD* $ 85,596
27,800 ADECCO SA 1,639,458
3,800 CONVERIUM HLDG AG 187,247
51,971 CREDIT SUISSE GROUP 1,831,157
1,000 GEBERIT AG 411,877
40,000 LOGITECH INTL SA* 1,602,576
1,600 MICRONAS SEMICONDUCTOR* 66,499
4,319 NESTLE SA 950,901
58,900 NOVARTIS AG 2,245,112
12,100 ROCHE HLDG AG 1,001,273
1,100 SERONO SA 759,501
800 SGS SOC GEN SURVEILLANCE R 451,717
4,771 SWISS RE 300,298
24,025 UBS AG 1,475,306
7,468 ZURICH FINL SVCS AG* 956,325
---------------
TOTAL SWITZERLAND $ 13,964,843
TAIWAN 1.57%
94,000 AU OPTRONICS CORP* $ 126,717
196,000 CATHAY FINL HLDG CO LTD 323,061
546,060 EVA AIRWAYS CORP 231,443
84,000 HON HAI PRECISION INDS 375,806
18,000 MEDIATEK INC 185,430
122,020 NAN YA PLASTICS CORP 162,693
96,000 PREMIER IMAGE TECHNOLOGY CORP 158,234
129,000 QUANTA COMPUTER INC 351,214
168,000 TAIWAN SEMICONDUCTOR MFG* 331,302
226,000 UNITED MICROELECTRONICS CORP* 206,876
---------------
TOTAL TAIWAN $ 2,452,776
THAILAND 0.08%
358,300 LAND & HOUSE PUBLIC CO LTD $ 121,245
---------------
TOTAL THAILAND $ 121,245
TURKEY 0.04%
1,595,900 ENKA INSAAT VE SANAYI AS $ 55,959
---------------
TOTAL TURKEY $ 55,959
UNITED KINGDOM 20.49%
22,000 3I GROUP PLC $ 231,464
74,612 ABBEY NATL PLC 712,514
15,900 ACAMBIS PLC* 98,752
18,700 ASTRAZENECA PLC $ 888,153
57,200 AVIVA PLC 469,312
39,600 BAA PLC 313,148
102,700 BAE SYS PLC 318,926
119,000 BG GROUP PLC 542,706
56,600 BHP BILLITON PLC 444,459
33,659 BOC GROUP PLC 458,940
77,200 BOOTS GROUP PLC 933,407
135,200 BP PLC 938,359
129,100 BRITISH AIRWAYS PLC* 455,679
39,200 BRITISH AMERICAN TOBACCO INDS PLC 473,958
82,800 BRITISH SKY BROADCASTING PLC* 899,248
119,800 BT GROUP PLC 377,111
104,900 CADBURY SCHWEPPES PLC 672,433
44,300 CAPITA GROUP PLC 185,870
7,500 CATTLES HLDGS PLC 40,600
422,600 CENTRICA PLC 1,323,107
16,000 CP SHIPS LTD 302,872
53,900 DAVIS SERVICE GROUP PLC 346,655
82,000 DIAGEO PLC 964,309
101,800 EMI GROUP PLC 302,312
35,700 ENTERPRISE INNS PLC 512,213
9,400 GALEN HLDGS PLC 120,672
17,300 GLAXOSMITHKLINE PLC 370,488
201,392 GRANADA PLC 400,704
30,560 HANSON PLC 211,584
280,000 HAYS PLC 579,678
140,917 HBOS PLC 1,639,230
73,683 HSBC HLDGS PLC 1,107,421
14,689 IMPERIAL TOBACCO GROUP PLC 243,532
98,600 KINGFISHER PLC 472,677
60,600 LLOYDS TSB GROUP PLC 420,853
12,800 MAN GROUP PLC 314,737
35,100 MFI FURNITURE GROUP PLC 96,641
590,681 MM02 PLC* 641,508
49,800 NEXT PLC 997,196
42,300 PEARSON PLC 437,864
16,500 RECKITT BENCKISER PLC 347,196
50,531 REED ELSEVIER PLC 392,728
127,800 REUTERS GROUP PLC 556,814
59,700 ROYAL BANK OF SCOTLAND GROUP PLC 1,599,652
77,592 SHELL TRANS & TRDG PLC 484,545
67,120 STANDARD CHARTERED PLC 1,073,501
508,800 TESCO PLC 2,039,802
57,801 UNILEVER PLC 492,879
1,306,135 VODAFONE GROUP PLC 2,742,852
44,800 WOLSELEY PLC 549,079
52,718 XSTRATA PLC 541,232
---------------
TOTAL UNITED KINGDOM $ 32,081,572
UNITED STATES 0.17%
8,000 WILLIS GROUP HLDGS LTD $ 266,400
---------------
TOTAL UNITED STATES $ 266,400
---------------
TOTAL COMMON STOCK (COST $133,317,000) $ 146,989,535
CORPORATE DEBT 1.08%
JAPAN 0.28%
JPY 27,000,000 SMFG FINANCE CO 2.250% 07/11/2005 $ 446,532
---------------
TOTAL JAPAN $ 446,532
SWITZERLAND 0.80%
JPY 99,700,000 UBS AG 0.000% 03/13/2006 $ 1,246,331
---------------
TOTAL SWITZERLAND $ 1,246,331
---------------
TOTAL CORPORATE DEBT (COST $1,248,883) $ 1,692,863
PREFERRED STOCK 0.54%
BRAZIL 0.23%
946,200 AMBEV $ 202,204
10,900 GERDAU SA DE CV 158,608
---------------
TOTAL BRAZIL $ 360,812
</Table>
21
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
GERMANY 0.31%
7,600 FRESENIUS AG $ 485,748
---------------
TOTAL GERMANY $ 485,748
---------------
TOTAL PREFERRED STOCK (COST $843,620) $ 846,560
RIGHTS 0.04%
32,762 CREDIT AGRICOLE SA* $ 7,617
5,592 MUENCHENER RUECKVERSICHERUNGS AG* 46,220
---------------
TOTAL RIGHTS (COST $0) $ 53,837
---------------
TOTAL INVESTMENTS AT MARKET VALUE 95.54% (COST $135,409,503) 149,582,795
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES 4.46% 6,983,707
NET ASSETS 100.00% $ 156,566,502
</Table>
<Table>
<Caption>
INDUSTRY SECTOR BREAKDOWN % OF TOTAL INVESTMENTS
- ---------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 19.84%
TECHNOLOGY 12.82
CONSUMER DURABLES 10.43
CAPITAL GOODS 8.57
HEALTH CARE 7.64
ENERGY 7.35
CONSUMER SERVICES 7.20
CONSUMER NON-DURABLES 6.60
BASIC INDUSTRIES 5.27
TRANSPORTATION 3.92
TELECOMMUNICATIONS 2.55
UTILITIES 2.23
BANKING & FINANCE 1.88
REAL ESTATE (PUBLICLY TRADED) 1.15
FOOD AND DRUG RETAILERS 1.13
INDUSTRIAL 1.10
SOFTWARE & COMPUTER SERVICES 0.26
OTHER 0.06
TELECOMMUNICATION SERVICES 0.00
--------------------------------------------------------------------------------
TOTAL 100.00%
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE COST ON NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF ORIGINATION APPRECIATION
DATE FOR USD CURRENCY DATE VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
Buys
11/03/03 CHF 139,197 $ 104,684 $ 104,240 $ (444)
11/03/03 GBP 70,472 119,785 119,587 (198)
11/04/03 CHF 13,217 9,971 9,897 (74)
11/04/03 EUR 51,179 59,525 59,496 (29)
11/04/03 GBP 89,978 152,665 152,688 23
11/04/03 JPY 22,399,624 206,659 203,753 (2,906)
11/05/03 CHF 99,059 73,971 74,184 213
11/05/03 EUR 138,874 160,678 161,437 759
11/05/03 GBP 445,042 754,704 755,160 456
11/05/03 JPY 495,675 4,560 4,509 (51)
1/30/04 CHF 500,228 356,758 375,419 18,661
- -----------------------------------------------------------------------------------
TOTAL $ 16,410
Sales
11/03/03 EUR 130,000 $ 152,094 $ 151,125 $ 969
11/03/03 GBP 57,009 96,910 96,742 168
11/03/03 HKD 275,351 35,458 35,457 1
11/04/03 JPY 25,438,015 233,314 231,391 1,923
11/05/03 NOK 231,021 32,449 32,665 (216)
1/30/04 CHF 500,228 372,000 375,419 (3,419)
- -----------------------------------------------------------------------------------
TOTAL $ (574)
</Table>
CROSS CURRENCY FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
EXCHANGE DATE THROUGH CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
11/05/03 (2,334,800) CHF 2,600,000 AUD $ 96,137
11/05/03 (1,110,000) AUD 1,004,490 CHF (35,269)
11/17/03 (124,950,000) JPY 1,500,000 CAD 314
11/17/03 (300,000) EUR 450,903 CAD (6,734)
11/20/03 (416,858) GBP 910,000 CAD (16,677)
11/17/03 (500,000) CAD 41,156,500 JPY (4,596)
11/17/03 (155,612) CAD 100,000 EUR (1,782)
11/20/03 (337,019) CAD 150,000 GBP (1,253)
- -----------------------------------------------------------------------------------------------
TOTAL $ 30,140
</Table>
See Notes to Financial Statements.
ADR American Depositary Receipt
SPON ADR Sponsored American Depositary Receipt
* Non-income producing security.
Currency Code Key
AUD AUSTRALIAN DOLLAR
CAD CANADIAN DOLLAR
CHF SWISS FRANC
EUR EURO
GBP UK POUND
HKD HONG KONG DOLLAR
JPY JAPANESE YEN
NOK NORWEGIAN KRONE
22
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE PLUS BOND FUND
October 31, 2003 (Unaudited)
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 4.66%
675,781 BAYVIEW FINL ACQUISITION TRUST 03-DA CL A (FRN)
1.570% 05/28/2034 $ 677,682
319,998 BAYVIEW FINL ACQUISITION TRUST 20-FA CL A IO 144A
11.000% 06/25/2005* 25,500
557,611 CDC MTG CAPITAL TRUST 02-HE3 CL A (FRN)
1.610% 03/25/2033 559,182
510,148 CENTEX HOME EQUITY 02-D CL AV (FRN)
1.560% 12/25/2032 511,184
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-C1 CL C1
(FRN) 2.129% 02/09/2009 201,108
1,100,000 CONSECO FINANCE 00-6 CL A5 (STEP BOND)
7.270% 09/01/2032 1,033,063
464,374 COUNTRYWIDE ASSET-BACKED CERT 02-BC1 CL A
(STEP BOND) 1.450% 04/25/2032 463,993
416,492 COUNTRYWIDE HOME EQ LOAN TRUST 02-F CL A (FRN)
1.470% 11/15/2028 417,371
270,000 DAIMLER CHRYSLER MASTER OWNER TRUST 02-A CL A
(FRN) 1.180% 05/15/2007 270,042
273,564 EQCC HOME EQUITY LOAN TRUST 02-1 CL 2A (FRN)
1.420% 11/25/2031 273,779
132,623 GREEN TREE FINL CORP 92-2 CL B 9.150% 01/15/2018 127,923
161,066 LONG BEACH MTG LOAN TRUST 01-2 CL A2 (STEP BOND)
1.400% 07/25/2031 161,171
500,000 MBNA MASTER CREDIT CARD NT TRUST 03-A6 CL A6
2.750% 10/15/2010 483,322
17,828 NEXTCARD CREDIT CARD MASTER TRUST 01-1 CL A 144A
(FRN) 1.420% 04/16/2007* 17,649
735,111 NISSAN AUTO REC OWNER TRUST 02-B CL A3
3.990% 12/15/2005 744,006
100,000 PEGASUS AVIATION LEASE SECURITIZATION 00-1 CL A2
144A 8.370% 03/25/2030* 59,544
375,000 SEARS CREDIT ACCOUNT MASTER TRUST 02-5 (FRN)
1.500% 11/17/2009 375,382
54,219 SLM STUDENT LOAN TRUST 01-3 CL A1L (FRN)
1.201% 04/25/2010 54,231
193,525 SLM STUDENT LOAN TRUST 01-4 CL A1 (FRN)
1.211% 01/25/2011 193,523
42,134 CONTINENTAL AIRLINES INC 97-4 CL 4A
6.900% 01/02/2018 41,533
---------------
TOTAL ASSET BACKED SECURITIES (COST $6,759,585) $ 6,691,188
COLLATERALIZED MORTGAGE OBLIGATIONS 7.39%
PRIVATE LABEL CMO'S 7.26%
703,975 ADVANTA MTG LOAN TRUST 98-3 CL A2
1.420% 09/25/2028 $ 704,003
900,000 AESOP 03-4A CL A1 144A (FRN) 1.350% 08/20/2007* 904,432
148,674 AMORTIZING RESIDENTIAL COLLATERAL TRUST 02-BC1M
CL A (FRN) 1.400% 01/01/2032 148,628
205,226 BANC OF AMERICA FUNDING CORP 03-1 CL A1
6.000% 05/20/2033 206,196
63,728 BANK OF AMERICA MTG SEC INC SER 98-6 CL A4
6.250% 12/26/2028 63,655
8,700,000 BEAR STEARNS COML MTG 02-HOME CL X1 IO 144A
1.594% 12/03/2013* 25,402
618,036 CHASE FUNDING LOAN ACQUISITION TRUST 03-C1 CL 2A1
(FRN) 1.270% 05/25/2024 617,648
432,365 COMMERCIAL MTG ACCEPT CORP 97-ML1 CL A4
6.735% 12/15/2030 467,881
600,000 CRIMI MAE COMMERCIAL MTG TRUST 98-C1 CL A2 144A
7.000% 06/02/2033* 646,848
250,000 DLJ COMMERCIAL MTG CORP 00-CKP1 CL A1B
7.180% 08/10/2010 282,293
250,000 GMAC COML MTG SEC 99-C2 CL A2 6.945% 09/15/2033 283,012
8,685,000 GS MTG SECURITIES CORP II 03-C1 CL X2 144A
1.075% 01/10/2040* 364,068
245,858 GS MTG SECURITIES CORP IL 98-C1 CL A3
6.135% 10/18/2030 264,482
59,770 HFC HOME EQUITY LOAN ASSET BACKED CERT 02-4 CL A
(FRN) 1.670% 10/20/2032 59,991
528,423 IMPAC CMB TRUST 02-1 CL A1 (FRN) 1.440% 03/25/2032 528,525
194,912 IMPAC SECURED ASSETS CMN OWNER TRUST 03-2 CL A2
6.000% 08/25/2033 $ 202,172
270,000 JP MORGAN CHASE COMMERCIAL MTG SEC CORP 01-CIB2
CL A3 6.429% 04/15/2035 299,152
101,556 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.440% 05/25/2033 101,452
325,000 MORGAN STANLEY CAPITAL I 99-FNV1 CL A2
6.530% 03/15/2031 361,801
667,785 RESIDENTIAL FUNDING SECURITIES CORP 03-RP2 CL A1
144A 1.570% 07/25/2041* 667,785
667,599 STRUCTURED ASSET INVESTMENT LOAN TRUST 03-BC4
CL 1A1 1.240% 05/25/2033 667,103
592,056 STRUCTURED ASSET INVESTMENT LOAN TRUST 03-BC5
CL 1A1 1.240% 06/25/2033 591,703
387,822 STRUCTURED ASSET SECURITIES CORP 03-AL2 CL A 144A
3.357% 01/25/2031* 371,655
500,000 STRUCTURED ASSET SECURITIES CORP 96-CFL CL G
7.750% 02/25/2028 563,643
800,000 WACHOVIA BANK COMMERCIAL MTG TRUST 03-WHL2
CL A1 144A (FRN) 1.310% 06/15/2013* 799,796
48,678 WASHINGTON MUTUAL MTG CERT 02-MS12 CL A
6.500% 05/25/2032 49,327
170,679 WASHINGTON MUTUAL MTG CERT 20-S8 CL IA1
5.750% 01/25/2033 172,409
---------------
TOTAL PRIVATE LABEL CMO'S $ 10,415,062
U.S. AGENCY CMO'S 0.13%
181,990 FHLMC 2277 CL B 7.500% 01/15/2031 $ 185,910
---------------
TOTAL U.S. AGENCY CMO'S $ 185,910
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $10,836,047) $ 10,600,972
CORPORATE DEBT 25.83%
BANKING & FINANCE 10.15%
35,000 AMERICAN GENERAL CORP TREASURY SECURITIES
8.500% 07/01/2030 $ 45,457
280,000 ANADARKO FINANCE CO 7.500% 05/01/2031 328,163
600,000 ARCEL FINANCE LTD SECD 144A 5.984% 02/01/2009* 644,904
175,000 ASIF GBL FINANCING XXIII 144A 3.900% 10/22/2008* 175,302
20,000 BANK OF AMERICA CORP SR NTS 3.875% 01/15/2008 20,288
75,000 BANK OF AMERICA CORP SR NTS 4.875% 09/15/2012 74,829
20,000 BANK OF AMERICA CORP SUB NTS 7.800% 02/15/2010 23,699
285,000 BANK OF AMERICA CORP SUB NTS 7.400% 01/15/2011 332,651
250,000 BANK ONE CORP SUB NTS 7.875% 08/01/2010 298,703
195,000 BARCLAYS BANK PLC BDS 144A (FRN) 8.550% 09/15/2049* 239,194
140,000 BEAR STEARNS COS INC 2.875% 07/02/2008 134,697
50,000 BEAR STEARNS COS INC SR NTS 7.000% 03/01/2007 56,273
145,000 BOEING CAPITAL CORP 7.375% 09/27/2010 164,809
35,000 CADBURY SCHWEPPES US FINANCE 144A
5.125% 10/01/2013* 34,717
50,000 CHASE MANHATTAN CORP SUB NTS 7.125% 06/15/2009 56,868
160,000 CIT GROUP INC 6.500% 02/07/2006 173,700
20,000 CITIGROUP INC 5.875% 02/22/2033 19,628
275,000 CITIGROUP INC GBL SR NTS 5.750% 05/10/2006 296,002
100,000 CITIGROUP INC GBL SR NTS 3.500% 02/01/2008 99,924
290,000 CITIGROUP INC GBL SR NTS 6.000% 02/21/2012 315,477
275,000 CITIGROUP INC SUB NTS 7.250% 10/01/2010 319,933
100,000 CITIGROUP INC SUB NTS 5.625% 08/27/2012 105,504
140,000 CREDIT SUISSE FIRST BOSTON USA INC GBL SR NTS
4.625% 01/15/2008 145,488
155,000 CREDIT SUISSE FIRST BOSTON USA INC NTS
6.125% 11/15/2011 167,507
428,460 DRYDEN INVESTOR TRUST BDS 144A 7.157% 07/23/2008* 465,607
30,000 EIRCOM FUNDING 144A 8.250% 08/15/2013* 32,625
150,000 FORD MOTOR CR CO 7.450% 07/16/2031 134,745
150,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.375% 10/28/2009 155,155
250,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.875% 06/15/2010 261,539
200,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.375% 02/01/2011 203,631
</Table>
23
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
45,000 FUND AMERICAN COS INC GTD SR NTS
5.875% 05/15/2013 $ 44,945
75,000 GENERAL ELECTRIC CAP CORP 3.500% 08/15/2007 75,408
25,000 GENERAL ELECTRIC CAP CORP MTN 6.500% 12/10/2007 27,931
235,000 GENERAL ELECTRIC CAP CORP MTN 6.125% 02/22/2011 256,487
230,000 GENERAL ELECTRIC CAP CORP MTN 5.875% 02/15/2012 245,597
125,000 GENERAL ELECTRIC CAP CORP MTN 6.000% 06/15/2012 134,514
20,000 GENERAL ELECTRIC CAP CORP MTN 6.750% 03/15/2032 22,177
170,000 GENERAL MTRS ACCEPT CORP 7.750% 01/19/2010 184,872
50,000 GENERAL MTRS ACCEPT CORP 6.875% 09/15/2011 51,580
500,000 GENERAL MTRS ACCEPT CORP MTN (FRN)
3.030% 05/19/2005 505,324
510,000 GENERAL MTRS NOVA SCOTIA FINANCE CO
6.850% 10/15/2008 546,324
115,000 GOLDMAN SACHS GROUP INC 6.875% 01/15/2011 130,058
220,000 GOLDMAN SACHS GROUP INC 6.600% 01/15/2012 244,014
225,000 GOLDMAN SACHS GROUP INC 5.250% 10/15/2013 225,425
300,000 HELLER FINL INC NTS 8.000% 06/15/2005 329,325
100,000 HOUSEHOLD FINANCE CORP 6.400% 06/17/2008 110,987
185,000 HOUSEHOLD FINANCE CORP 6.500% 11/15/2008 206,527
60,000 HOUSEHOLD FINANCE CORP 8.000% 07/15/2010 71,256
5,000 HOUSEHOLD FINANCE CORP 6.375% 08/01/2010 5,506
200,000 HOUSEHOLD FINANCE CORP 6.750% 05/15/2011 223,817
105,000 HOUSEHOLD FINANCE CORP 7.000% 05/15/2012 119,246
115,000 HOUSEHOLD FINANCE CORP 6.375% 11/27/2012 125,235
25,000 HOUSEHOLD FINANCE CORP 7.625% 05/17/2032 29,701
55,000 HOUSEHOLD FINANCE CORP GBL NT 4.750% 07/15/2013 53,190
80,000 HSBC CAPITAL FUNDING LP/JERSEY CHANNEL ISLANDS
144A (FRN) 4.610% 12/29/2049* 74,275
50,000 HSBC HLDGS PLC 5.250% 12/12/2012 50,754
25,000 JP MORGAN CHASE & CO 5.250% 05/30/2007 26,698
55,000 JP MORGAN CHASE & CO GBL SR NTS 3.625% 05/01/2008 54,921
40,000 JP MORGAN CHASE & CO SUB NTS 6.750% 02/01/2011 44,895
340,000 JP MORGAN CHASE & CO SUB NTS 6.625% 03/15/2012 378,065
20,000 LABRANCHE & CO SR NTS 9.500% 08/15/2004 20,275
100,000 LEHMAN BROS HLDG INC NTS 8.250% 06/15/2007 116,629
45,000 LEHMAN BROS HLDG INC NTS 4.000% 01/22/2008 45,654
90,000 LEHMAN BROS HLDG INC NTS 7.000% 02/01/2008 101,429
110,000 MERRILL LYNCH & CO MTN 3.375% 09/14/2007 110,464
25,000 METLIFE INC SR NTS 6.500% 12/15/2032 26,304
100,000 MORGAN STANLEY 5.800% 04/01/2007 109,132
300,000 MORGAN STANLEY 6.750% 04/15/2011 337,113
50,000 MORGAN STANLEY MTN 6.100% 04/15/2006 54,188
50,000 OSPREY TRUST/OSPREY I 144A 7.797% 01/15/2049*^ 8,500
25,000 OSPREY TRUST/OSPREY I 144A 8.310% 01/15/2049*^ 4,250
190,000 PDVSA FINANCE LTD 8.500% 11/16/2012 169,100
140,000 PETROZUATA FINANCE INC 144A 8.220% 04/01/2017* 121,100
200,000 PRUDENTIAL FDG LLC NTS 144A 6.600% 05/15/2008* 222,853
120,000 QWEST CAPITAL FUNDING INC 7.900% 08/15/2010 114,600
25,000 SEARS ROEBUCK ACCEPT CORP 7.000% 06/01/2032 27,307
115,000 SEARS ROEBUCK ACCEPT CORP 6.700% 04/15/2012 129,509
20,000 SLM CORP MTN 3.625% 03/17/2008 19,990
135,000 SLM CORP SR NTS MTN (FRN) 1.381% 07/25/2007 135,000
900,000 SOCIETE GENERALE NY CD 1.050% 12/13/2004 899,818
25,000 SOVEREIGN BANCORP INC 10.500% 11/15/2006 29,670
200,000 SPRINT CAP CORP 8.750% 03/15/2032 227,482
170,000 SUMITOMO MITSUI BANK NY SUB NTS
8.000% 06/15/2012 198,907
35,000 SUN LIFE CANADA US CAPITAL 144A 8.526% 05/29/2049* 38,750
150,000 UBS PFD FUNDING TR GTD 8.622% 10/29/2049 183,834
140,000 US BANCORP MTN 3.125% 03/15/2008 137,488
20,000 US BANCORP SR MTN 3.950% 08/23/2007 20,425
290,000 VERIZON GLOBAL FDG CORP 7.250% 12/01/2010 331,198
15,000 VERIZON GLOBAL FDG CORP 7.375% 09/01/2012 17,202
45,000 VERIZON GLOBAL FDG CORP 7.750% 12/01/2030 52,087
110,000 VERIZON GLOBAL FDG CORP NT 4.375% 06/01/2013 102,583
300,000 WELLS FARGO FINL INC 5.875% 08/15/2008 331,556
---------------
TOTAL BANKING & FINANCE $ 14,570,470
BASIC INDUSTRIES 1.09%
11,000 ABITIBI CONSOLIDATED INC 8.500% 08/01/2029 $ 10,946
25,000 AINSWORTH LUMBER CO LTD SR SECD NTS
13.875% 07/15/2007 28,625
73,000 ALLIED WASTE NORTH AMER INC 8.875% 04/01/2008 $ 80,665
15,000 ALLIED WASTE NORTH AMER INC SR NT
9.250% 09/01/2012 16,875
25,000 ALLIED WASTE NORTH AMER INC SR NT
7.875% 04/15/2013 26,812
38,000 AMERICAN STANDARD COS INC 7.375% 04/15/2005 40,185
10,000 AMERICAN STANDARD COS INC 8.250% 06/01/2009 11,425
7,000 BALL CORP SR NT 6.875% 12/15/2012 7,297
70,000 BRIGGS & STRATTON CORP 8.875% 03/15/2011 80,150
25,000 BROWNING FERRIS INDUSTRIES NT 7.400% 09/15/2035 23,250
25,000 CROWN EURO HLDGS SA 144A 9.500% 03/01/2011* 27,750
75,000 DOW CHEMICAL CO 5.970% 01/15/2009 80,049
35,000 DOW CHEMICAL CO 6.000% 10/01/2012 36,342
80,000 DOW CHEMICAL CO 7.375% 11/01/2029 87,233
13,000 FMC CORP SR SECD NT 10.250% 11/01/2009 15,210
39,000 GEORGIA PACIFIC CORP 8.875% 02/01/2010 44,557
17,000 GEORGIA PACIFIC CORP 9.500% 12/01/2011 19,720
1,000 GEORGIA PACIFIC CORP 8.875% 05/15/2031 1,062
7,000 GEORGIA PACIFIC CORP NT 7.700% 06/15/2015 7,280
5,000 GEORGIA PACIFIC CORP NT 7.750% 11/15/2029 4,725
26,000 IMC GLOBAL INC GTD 10.875% 06/01/2008 26,845
3,000 IMC GLOBAL INC GTD 11.250% 06/01/2011 3,097
10,000 IMC GLOBAL INC NT 144A 10.875% 08/01/2013* 10,325
35,000 INTERNATIONAL PAPER CO 5.850% 10/30/2012 36,362
11,000 LENNAR CORP SR NTS 9.950% 05/01/2010 12,677
5,000 LYONDELL CHEMICAL CO SR SECD NTS 9.500% 12/15/2008 5,000
32,000 MACDERMID INC 9.125% 07/15/2011 35,680
95,000 MEADWESTVACO CORP 6.850% 04/01/2012 104,579
25,000 NORAMPAC INC NT 144A 6.750% 06/01/2013* 26,000
30,000 NORTEK INC SR NTS SER B 9.250% 03/15/2007 31,012
19,000 NORTEK INC SR NTS SER B 8.875% 08/01/2008 19,807
50,000 NVR INC NT 5.000% 06/15/2010 48,875
50,000 OWENS BROCKWAY SR SECD NT 8.750% 11/15/2012 54,750
16,000 SPX CORP SR NTS 7.500% 01/01/2013 17,080
10,000 WESTLAKE CHEMICALS SR NT 144A 8.750% 07/15/2011* 10,550
80,000 WEYERHAEUSER CO 5.250% 12/15/2009 82,503
10,000 WEYERHAEUSER CO 6.750% 03/15/2012 10,825
30,000 WEYERHAEUSER CO 7.125% 07/15/2023 31,178
260,000 WEYERHAEUSER CO 7.375% 03/15/2032 279,904
60,000 WEYERHAEUSER CO 6.875% 12/15/2033 61,111
---------------
TOTAL BASIC INDUSTRIES $ 1,558,318
CABLE & MEDIA 1.90%
280,000 AOL TIME WARNER INC 7.625% 04/15/2031 $ 312,876
80,000 AOL TIME WARNER INC 7.700% 05/01/2032 90,391
35,000 AOL TIME WARNER INC GTD 6.125% 04/15/2006 37,646
71,000 BRITISH SKY BROADCASTING GROUP PLC GTD
6.875% 02/23/2009 78,300
105,000 CHARTER COMMUNICATIONS HLDGS LLC SR NTS
10.750% 10/01/2009 88,725
25,000 COMCAST CABLE COMMUNICATIONS CORP
8.875% 05/01/2017 31,633
300,000 COMCAST CABLE COMMUNICATIONS CORP SR NTS
6.750% 01/30/2011 332,075
70,000 COMCAST CORP 8.375% 11/01/2005 77,558
100,000 COMCAST CORP 7.050% 03/15/2033 106,540
75,000 COMCAST CORP NT 6.500% 01/15/2015 80,350
15,000 COX COMMUNICATIONS INC 7.125% 10/01/2012 17,025
50,000 COX COMMUNICATIONS INC 4.625% 06/01/2013 47,562
10,000 COX COMMUNICATIONS INC 5.500% 10/01/2015 9,922
32,000 CSC HLDGS INC 7.875% 02/15/2018 31,840
6,000 CSC HLDGS INC 7.625% 07/15/2018 5,910
20,000 DEX MEDIA FINANCE WEST 144A 8.500% 08/15/2010* 21,800
20,000 DIRECTV HLDGS FINANCE 8.375% 03/15/2013 22,500
43,000 ECHOSTAR DBS CORP (FRN) 144A 4.410% 10/01/2008* 44,182
17,000 EMMIS COMMUNICATIONS CORP 8.125% 03/15/2009 17,786
16,000 LAMAR MEDIA CORP SUB NT 7.250% 01/01/2013 16,840
70,000 LIBERTY MEDIA CORP 2.640% 09/17/2006 69,718
200,000 LIBERTY MEDIA CORP CV 3.750% 02/15/2030 124,250
25,000 NEWS AMER HLDGS DEB 8.875% 04/26/2023 31,650
350,000 NEWS AMER HLDGS GTD 7.430% 10/01/2026 395,508
25,000 NEWS AMER INC GTD 7.625% 11/30/2028 28,457
</Table>
24
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
23,000 ROGERS CABLE INC 6.250% 06/15/2013 $ 23,000
1,259 SHAW COMMUNICATIONS INC 8.250% 04/11/2010 1,391
20,000 SHAW COMMUNICATIONS INC SR NTS 7.250% 04/06/2011 21,250
18,000 SHAW COMMUNICATIONS INC SR NTS 7.200% 12/15/2011 19,125
55,000 TELE COMMUNICATIONS INC 7.875% 08/01/2013 64,446
65,000 TIME WARNER COS INC 7.570% 02/01/2024 71,783
130,000 TIME WARNER COS INC GTD 6.625% 05/15/2029 129,996
60,000 TIME WARNER ENTMT CO LP SR SUB NTS
8.375% 07/15/2033 74,474
130,000 VIACOM INC 5.625% 08/15/2012 137,312
60,000 VIVENDI UNIVERSAL SA NT 144A 6.250% 07/15/2008* 62,700
---------------
TOTAL CABLE & MEDIA $ 2,726,521
CONSUMER DURABLES 0.16%
22,000 AMERICAN AXLE & MANUFACTURING INC
9.750% 03/01/2009 $ 23,485
30,000 EASTMAN KODAK CO 7.250% 11/15/2013 30,592
180,000 GENERAL ELECTRIC CO 5.000% 02/01/2013 181,140
---------------
TOTAL CONSUMER DURABLES $ 235,217
CONSUMER NON-DURABLES 1.69%
43,000 CONSTELLATION BRANDS INC 8.000% 02/15/2008 $ 47,622
14,000 CONSTELLATION BRANDS INC 8.500% 03/01/2009 14,735
55,000 GENERAL MILLS INC 5.125% 02/15/2007 58,565
15,000 GENERAL MILLS INC 6.000% 02/15/2012 16,037
60,000 KELLOGG CO 6.600% 04/01/2011 67,037
210,000 KRAFT FOODS INC 1.940% 02/26/2004 210,176
225,000 KRAFT FOODS INC 5.625% 11/01/2011 234,017
25,000 KROGER CO SR NT 7.700% 06/01/2029 28,887
250,000 NABISCO INC DEBS 7.550% 06/15/2015 295,423
250,000 PEPSI BOTTLING GROUP INC SR NTS 7.000% 03/01/2029 285,169
350,000 PHILIP MORRIS DEB 7.750% 01/15/2027 359,638
250,000 PROCTER & GAMBLE CO DEB 8.500% 08/10/2009 307,574
10,000 REYNOLDS RJ TOBACCO HLDGS INC 7.250% 06/01/2012 9,700
200,000 REYNOLDS RJ TOBACCO HLDGS INC GTD SER B
7.750% 05/15/2006 208,000
100,000 SARA LEE CORP 6.250% 09/15/2011 110,388
33,000 SMITHFIELD FOODS INC SR NTS 8.000% 10/15/2009 36,300
125,000 UNILEVER CAP CORP GTD 7.125% 11/01/2010 144,724
---------------
TOTAL CONSUMER NON-DURABLES $ 2,433,992
CONSUMER SERVICES 1.11%
24,000 AVIS GROUP HLDGS INC 11.000% 05/01/2009 $ 26,430
26,000 HARRAHS OPER CO INC GTD 7.875% 12/15/2005 28,112
24,000 JC PENNEY CORP INC 8.000% 03/01/2010 26,700
47,000 MGM MIRAGE INC 6.625% 02/01/2005 49,056
10,000 MOHEGAN TRIBAL GAMING AUTHORITY SR NTS
8.125% 01/01/2006 10,862
50,000 MOHEGAN TRIBAL GAMING AUTHORITY SR SUB NT 144A
6.375% 07/15/2009* 51,187
40,000 MOHEGAN TRIBAL GAMING AUTHORITY SR SUB NTS
8.375% 07/01/2011 43,700
8,000 MOORE NORTH AMERICA FINANCE INC 144A
7.875% 01/15/2011* 8,640
5,000 PARK PLACE ENTMT CORP SR NT 7.000% 04/15/2013 5,212
23,000 PARK PLACE ENTMT CORP SR SUB NTS 9.375% 02/15/2007 25,875
25,000 PARK PLACE ENTMT CORP SR SUB NTS 8.875% 09/15/2008 27,781
23,000 RYLAND GROUP INC NT 8.000% 08/15/2006 25,185
10,000 RYLAND GROUP INC NT 5.375% 06/01/2008 10,300
20,000 RYLAND GROUP INC SR SUB NT 9.125% 06/15/2011 23,000
140,000 TARGET CORP 5.875% 03/01/2012 151,379
5,000 TRICON GLOBAL RESTAURANTS INC SR NTS
8.500% 04/15/2006 5,563
245,000 WAL-MART STORES INC 3.375% 10/01/2008 241,720
250,000 WAL-MART STORES INC 7.550% 02/15/2030 307,040
110,000 WASTE MANAGEMENT INC 6.375% 11/15/2012 119,878
135,000 WASTE MANAGEMENT INC GTD 7.375% 05/15/2029 151,260
120,000 WASTE MANAGEMENT INC SR NTS 7.375% 08/01/2010 138,773
100,000 WASTE MANAGEMENT INC SR NTS 7.125% 12/15/2017 111,614
---------------
TOTAL CONSUMER SERVICES $ 1,589,267
ENERGY 2.96%
10,000 AMERADA HESS CORP SR NTS 7.125% 03/15/2033 $ 9,848
40,000 ANADARKO PETROLEUM CORP 5.375% 03/01/2007 42,851
7,000 CHESAPEAKE ENERGY CORP 8.125% 04/01/2011 7,683
8,000 CHESAPEAKE ENERGY CORP SER B SR NT
8.500% 03/15/2012 8,480
80,000 CHEVRONTEXACO CAPITAL CO 3.500% 09/17/2007 81,041
195,000 CONOCO FDG CO 6.350% 10/15/2011 217,127
70,000 CONOCO FDG CO 7.250% 10/15/2031 80,836
105,000 CONOCO INC 5.900% 04/15/2004 107,142
220,000 CONOCO INC SR NTS 6.950% 04/15/2029 246,461
180,000 CONOCOPHILLIPS CO 8.750% 05/25/2010 223,669
80,000 CONOCOPHILLIPS CO 4.750% 10/15/2012 79,652
60,000 CONOCOPHILLIPS CO 7.000% 03/30/2029 67,513
60,000 CONOCOPHILLIPS CO 5.900% 10/15/2032 59,422
90,000 CONSOLIDATED NATURAL GAS CO 5.375% 11/01/2006 96,173
165,000 DEVON ENERGY CORP 7.950% 04/15/2032 197,301
70,000 DEVON FINANCING CORP PLC GTD 6.875% 09/30/2011 78,993
45,000 DTE ENERGY CO SR NTS 6.450% 06/01/2006 48,805
75,000 DUKE ENERGY CORP 4.200% 10/01/2008 74,909
280,000 DYNEGY HLDGS INC SR NT 8.750% 02/15/2012 266,000
20,000 EXELON CORP 6.750% 05/01/2011 22,163
140,000 FIRSTENERGY CORP SER B 6.450% 11/15/2011 148,713
295,000 FIRSTENERGY CORP SER C 7.375% 11/15/2031 315,139
10,000 FOREST OIL CORP 7.750% 05/01/2014 10,400
140,000 GAZPROM OAO 144A 9.625% 03/01/2013* 151,900
20,000 GULFTERRA ENERGY PARTNERS LP SR SUB NT 144A
6.250% 06/01/2010* 20,100
40,000 HANOVER EQUIPMENT TRUST 8.750% 09/01/2011 41,000
75,000 KINDER MORGAN INC 7.250% 03/01/2028 82,339
20,000 MASSEY ENERGY CO 6.950% 03/01/2007 19,950
15,000 MIDWEST GENERATION LLC 8.560% 01/02/2016 14,325
25,000 OCCIDENTAL PETROLEUM 8.450% 02/15/2029 32,401
55,000 ONCOR ELECTRIC DELIVERY 6.375% 01/15/2015 59,264
50,000 ONCOR ELECTRIC DELIVERY 7.250% 01/15/2033 56,082
20,000 PARKER & PARSLEY PETROLEUM SR NTS
8.250% 08/15/2007 22,579
45,000 PEABODY ENERGY CORP SER B 6.875% 03/15/2013 47,363
7,000 PIONEER NATURAL RESOURCE CO GTD 9.625% 04/01/2010 8,519
450,000 PROGRESS ENERGY INC NTS NCL 7.100% 03/01/2011 507,571
9,000 SOUTHERN CAL EDISON 8.000% 02/15/2007 10,103
30,000 SOUTHERN NATURAL GAS CO 8.000% 03/01/2032 29,850
15,000 TENNESSEE GAS PIPELINE CO NTS 7.500% 04/01/2017 14,925
10,000 VALERO ENERGY CORP NT 7.500% 04/15/2032 10,942
31,000 VINTAGE PETROLEUM INC SR NTS 8.250% 05/01/2012 33,945
17,000 WESTERN OIL SANDS INC 8.375% 05/01/2012 19,189
7,000 WESTPORT RESOURCES CORP SR SUB NT 144A
8.250% 11/04/2011* 7,718
4,000 WESTPORT RESOURCES CORP SUB NT 8.250% 11/01/2011 4,410
20,000 WILLIAMS COS INC 7.125% 09/01/2011 20,500
380,000 WILLIAMS COS INC 8.750% 03/15/2032 397,100
58,000 WILLIAMS COS INC SR NT 8.625% 06/01/2010 63,510
57,000 XTO ENERGY INC SR NT 6.250% 04/15/2013 59,494
21,000 XTO ENERGY INC SR NTS 7.500% 04/15/2012 23,520
---------------
TOTAL ENERGY $ 4,248,920
FINANCIAL SERVICES 0.04%
25,000 AMERICO LIFE INC SR NT 144A 7.875% 05/01/2013* $ 24,750
30,000 PACIFIC LIFE CORP 144A 6.600% 09/15/2033* 31,294
---------------
TOTAL FINANCIAL SERVICES $ 56,044
FORESTRY AND PAPER 0.05%
15,000 BOISE CASCADE CO SR NTS 6.500% 11/01/2010 $ 15,326
29,000 CASCADES INC 144A 7.250% 02/15/2013* 30,305
23,000 CASCADES INC SR NTS 7.250% 02/15/2013 24,035
---------------
TOTAL FORESTRY AND PAPER $ 69,666
HEALTH CARE 0.97%
305,000 BRISTOL-MYERS SQUIBB CO 5.750% 10/01/2011 $ 326,226
344,000 ELI LILLY & CO NTS 7.125% 06/01/2025 404,279
60,000 FRESENIUS MED CAP TR IV GTD 7.875% 06/15/2011 63,300
20,000 FRESENIUS MED CAP TRUST II 7.875% 02/01/2008 21,000
</Table>
25
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
20,000 HCA INC 6.910% 06/15/2005 $ 21,000
60,000 HCA INC 7.125% 06/01/2006 64,263
45,000 HCA INC 7.250% 05/20/2008 48,688
72,000 MANOR CARE INC SR NTS 7.500% 06/15/2006 77,850
26,000 OMNICARE INC 8.125% 03/15/2011 28,470
75,000 TENET HEALTHCARE CORP 6.375% 12/01/2011 69,563
249,000 TENET HEALTHCARE CORP 7.375% 02/01/2013 241,530
20,000 UNITED SURGICAL PARTNERS HLDGS INC SR SUB NTS
10.000% 12/15/2011 22,100
---------------
TOTAL HEALTH CARE $ 1,388,269
INDUSTRIAL 2.24%
15,000 AGCO CORP 9.500% 05/01/2008 $ 16,350
50,000 DAIMLER CHRYSLER AG 7.450% 03/01/2027 49,610
55,000 DAIMLER CHRYSLER NORTH AMER GTD HLDG CORP
4.750% 01/15/2008 54,955
510,000 DAIMLER CHRYSLER NORTH AMER GTD HLDG CORP
4.050% 06/04/2008++ 492,999
50,000 DAIMLER CHRYSLER NORTH AMER GTD HLDG CORP
6.500% 11/15/2013 50,543
20,000 DR HORTON INC 10.500% 04/01/2005 21,800
20,000 DR HORTON INC 7.875% 08/15/2011 22,200
15,000 DRESSER INC 9.375% 04/15/2011 15,413
25,000 DURA OPERATING CORP SER B 8.625% 04/15/2012 25,375
30,000 GENERAL DYNAMICS CORP 4.500% 08/15/2010 30,412
3,000 LEAR CORP 7.960% 05/15/2005 3,225
8,000 LEAR CORP SER B 8.110% 05/15/2009 9,220
125,000 LOCKHEED MARTIN CORP 8.500% 12/01/2029 162,513
180,000 LOCKHEED MARTIN CORP 7.200% 05/01/2036 210,492
15,000 NALCO CO 144A 7.750% 11/15/2011* 15,600
40,000 NORTHROP GRUMMAN CORP 7.750% 02/15/2031 48,303
23,000 SCHULER HOMES GTD 9.375% 07/15/2009 25,789
375,718 SYSTEMS 2001 ASSET TRUST CL G 144A
6.664% 09/15/2013* 414,060
40,000 TEEKAY SHIPPING CORP 8.875% 07/15/2011 44,800
10,000 TYCO INTL GROUP SA 5.875% 11/01/2004 10,313
50,000 TYCO INTL GROUP SA 6.375% 06/15/2005 52,438
187,000 TYCO INTL GROUP SA 5.800% 08/01/2006 195,415
30,000 TYCO INTL GROUP SA 6.125% 11/01/2008 31,538
10,000 TYCO INTL GROUP SA 6.125% 01/15/2009 10,513
10,000 TYCO INTL GROUP SA 6.750% 02/15/2011 10,638
320,000 TYCO INTL GROUP SA 6.375% 10/15/2011 332,800
306,000 TYCO INTL GROUP SA 7.000% 06/15/2028 310,590
554,000 TYCO INTL GROUP SA 6.875% 01/15/2029 554,693
---------------
TOTAL INDUSTRIAL $ 3,222,597
REAL ESTATE (PUBLICLY TRADED) 0.11%
75,000 EOP OPERATING LP NTS 7.750% 11/15/2007 $ 85,905
40,000 HMH PPTYS INC SR NTS SER B 7.875% 08/01/2008 41,300
12,000 HMH PPTYS INC SR NTS SER C 8.450% 12/01/2008 12,480
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
8.750% 05/01/2009 11,000
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
9.000% 05/01/2012 11,100
---------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 161,785
TECHNOLOGY 0.44%
50,000 CINCINNATI BELL INC SR NT 144A 7.250% 07/15/2013* $ 51,000
140,000 DEUTSCHE TELEKOM INTL FINANCE BV GBL NT
5.250% 07/22/2013 139,137
190,000 ELECTRONIC DATA SYS CORP NTS 7.125% 10/15/2009 197,600
110,000 ELECTRONIC DATA SYS CORP SR NT 144A
6.000% 08/01/2013* 104,159
150,000 US WEST COMMUNICATIONS INC NT 5.625% 11/15/2008 147,000
---------------
TOTAL TECHNOLOGY $ 638,896
TELECOMMUNICATIONS 0.75%
40,000 AT&T CORP SR NTS 8.500% 11/15/2031 $ 45,358
35,000 AT&T WIRELESS SVCS INC 8.125% 05/01/2012 40,596
85,000 BRITISH TELECOM PLC BDS (STEP BOND)
8.875% 12/15/2030 109,446
20,000 DEUTSCHE TELEKOM INTL 8.500% 06/15/2010 24,070
105,000 DEUTSCHE TELEKOM INTL (STEP BOND)
8.750% 06/15/2030 $ 132,096
31,000 L-3 COMMUNICATIONS CORP SR SUB NTS
7.625% 06/15/2012 33,790
35,000 PANAMSAT CORP SR NTS 8.500% 02/01/2012 37,713
25,000 TCI COMM INC 7.875% 02/15/2026 28,561
85,000 TELECOM ITALIA CAPITAL 144A 5.250% 11/15/2013* 84,339
175,000 VERIZON NEW JERSEY INC 5.875% 01/17/2012 184,569
10,000 VERIZON NEW JERSEY INC NT 7.850% 11/15/2029 11,753
10,000 VERIZON NEW YORK INC SER B 7.375% 04/01/2032 11,036
125,000 VERIZON PENNSYLVANIA INC SER A 5.650% 11/15/2011 130,560
55,000 VODAFONE GROUP PLC 6.250% 11/30/2032 55,402
20,000 WORLDCOM INC 8.000% 05/15/2006^ 7,350
230,000 WORLDCOM INC 8.250% 05/15/2010^ 84,525
55,000 WORLDCOM INC 7.500% 05/15/2011^ 20,213
10,000 WORLDCOM INC 6.950% 08/15/2028^ 3,675
85,000 WORLDCOM INC 8.250% 05/15/2031^ 31,238
---------------
TOTAL TELECOMMUNICATIONS $ 1,076,290
TRANSPORTATION 0.56%
150,000 BURLINGTON NORTH SANTA FE CORP NTS
6.375% 12/15/2005 $ 162,813
40,000 CANADIAN NATIONAL RAILWAY CO 6.900% 07/15/2028 44,079
50,000 CANADIAN NATIONAL RAILWAY CO NT 4.400% 03/15/2013 47,773
50,000 DELTA AIR LINES INC 7.570% 11/18/2010 51,464
74,925 DELTA AIR LINES INC 6.619% 03/18/2011 76,387
188,644 DELTA AIR LINES INC 6.718% 01/02/2023 199,978
23,000 KANSAS CITY SOUTHERN RAILWAY GTD
9.500% 10/01/2008 25,300
50,000 NORFOLK SOUTHERN CORP 7.050% 05/01/2037 54,795
75,000 NORFOLK SOUTHERN CORP SR NTS 6.200% 04/15/2009 82,378
35,000 OVERSEAS SHIPHOLDING GROUP 8.250% 03/15/2013 37,100
15,000 OVERSEAS SHIPHOLDING GROUP INC NT
8.750% 12/01/2013 16,200
---------------
TOTAL TRANSPORTATION $ 798,267
UTILITIES 1.61%
12,000 AES CORP 8.750% 06/15/2008 $ 12,420
29,000 AES CORP 9.375% 09/15/2010 30,740
15,000 AES CORP 8.875% 02/15/2011 15,413
222,000 AES CORP 144A 8.750% 05/15/2013* 236,985
27,000 AES CORP 144A 9.000% 05/15/2015* 28,890
30,153 AES CORP NT 144A 10.000% 07/15/2005* 31,058
86,000 AES CORP SR NTS 9.500% 06/01/2009 91,590
47,000 CALPINE CORP 8.500% 02/15/2011 33,605
80,000 CALPINE CORP SR NTS 8.250% 08/15/2005 72,000
25,000 CENTERPOINT ENERGY HOUSTON ELECTRIC LLC SER K
144A 6.950% 03/15/2033* 27,446
110,000 DETROIT EDISON CO 6.125% 10/01/2010 119,859
20,000 DOMINION RESOURCES INC 4.125% 02/15/2008 20,335
80,000 DOMINION RESOURCES INC 5.700% 09/17/2012 83,669
35,000 DOMINION RESOURCES INC 6.750% 12/15/2032 37,306
90,000 DOMINION RESOURCES INC SER D SR NTS
5.125% 12/15/2009 94,804
80,000 DUKE ENERGY CORP SR NTS 5.625% 11/30/2012 82,134
100,000 EL PASO CORP CV 0.000% 02/28/2021 43,875
490,000 EL PASO CORP MTN 7.800% 08/01/2031 371,175
180,000 EL PASO CORP MTN 7.750% 01/15/2032 136,350
50,000 EL PASO ENERGY CORP NTS 7.625% 07/15/2011 42,125
20,000 EL PASO ENERGY PARTNERS LP/EL PASO ENERGY
PARTNERS FINANCE CORP NT 10.625% 12/01/2012 23,550
140,000 EL PASO NATURAL GAS 8.375% 06/15/2032 130,200
25,000 EL PASO PRODUCTION HLD CO SR NT 144A
7.750% 06/01/2013* 24,000
250,000 HYDRO-QUEBEC GTD 6.300% 05/11/2011 280,442
15,000 NATIONAL WATERWORKS INC SR SUB NT
10.500% 12/01/2012 16,800
75,000 OHIO EDISON 144A 5.450% 05/01/2015* 73,808
47,000 ORION POWER HLDGS INC SR NTS 12.000% 05/01/2010 54,050
50,000 TXU ENERGY CO NTS 144A 7.000% 03/15/2013* 54,847
40,000 WILLIAMS COS INC 8.125% 03/15/2012 43,200
---------------
TOTAL UTILITIES $ 2,312,676
---------------
TOTAL CORPORATE DEBT (COST $35,598,454) $ 37,087,195
</Table>
26
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
FOREIGN DEBT 9.55%
300,000 AID ISRAEL 5.500% 09/18/2023 $ 301,242
EUR 795,000 BUNDESOBLIGATION SER 142 3.000% 04/11/2008 904,133
CAD 875,000 CANADIAN GOVERNMENT 5.250% 06/01/2013 683,775
EUR 1,448,000 DEUTSCHLAND REPUBLIC 3.750% 01/04/2009 1,689,697
EUR 1,209,000 DEUTSCHLAND REPUBLIC 5.000% 01/04/2012 1,482,201
EUR 1,184,000 DEUTSCHLAND REPUBLIC 5.500% 01/04/2031 1,475,638
200,000 FED REPUBLIC OF BRAZIL 14.500% 10/15/2009 247,000
185,000 FED REPUBLIC OF BRAZIL 12.000% 04/15/2010 207,662
406,365 FED REPUBLIC OF BRAZIL 8.000% 04/15/2014 378,164
10,000 FED REPUBLIC OF BRAZIL 8.875% 04/15/2024 8,450
205,000 FED REPUBLIC OF BRAZIL 11.000% 08/17/2040 200,080
58,236 FED REPUBLIC OF BRAZIL (FRN) 2.063% 04/15/2009 53,169
260,000 FED REPUBLIC OF BRAZIL (FRN) 2.063% 04/15/2012 218,400
209,340 FED REPUBLIC OF BRAZIL C BD 8.000% 04/15/2014 194,812
615,000 MEXICO GLOBAL BOND 11.500% 05/15/2026 880,987
3,000 PANAMA 9.625% 02/08/2011 3,450
235,000 PERU PDI (FRN) 5.000% 03/07/2017 219,137
65,000 PROVINCE OF QUEBEC 7.380% 04/09/2026 77,103
230,000 QUEBEC PROV CDA DEBS 7.500% 09/15/2029 282,917
30,000 QUEBEC PROV DEBS 7.500% 07/15/2023 36,278
25,000 QUEBEC PROV NTS MTN (STEP BOND) 7.365% 03/06/2026 30,093
285,000 REPUBLIC OF BULGARIA 144A 8.250% 01/15/2015* 324,187
70,000 REPUBLIC OF COLOMBIA 10.500% 07/09/2010 76,650
116,353 REPUBLIC OF COLOMBIA 9.750% 04/09/2011 128,803
185,000 REPUBLIC OF COLOMBIA 11.750% 02/25/2020 211,270
EUR 595,000 REPUBLIC OF FRANCE 3.500% 01/12/2008 692,050
70,000 REPUBLIC OF PANAMA 9.375% 07/23/2012 79,800
217,000 REPUBLIC OF PANAMA 10.750% 05/15/2020 260,400
52,000 REPUBLIC OF PANAMA 8.250% 04/22/2008 57,590
40,000 REPUBLIC OF PERU 9.125% 02/21/2012 44,700
20,000 REPUBLIC OF PERU 9.875% 02/06/2015 23,350
10,000 REPUBLIC OF PERU 4.500% 03/07/2017 8,875
10,000 REPUBLIC OF PERU 144A 9.125% 02/21/2012* 11,175
30,000 REPUBLIC OF PHILIPPINES 9.875% 01/15/2019 31,001
75,000 REPUBLIC OF PHILIPPINES 10.625% 03/16/2025 81,187
205,000 REPUBLIC OF PHILIPPINES GBL BDS 9.875% 01/15/2019 212,688
20,000 RUSSIAN FEDERATION 8.250% 03/31/2010 22,340
350,000 RUSSIAN FEDERATION (STEP BOND) 144A
5.000% 03/31/2030* 326,725
SEK 2,565,000 SWEDEN (KINGDOM OF) BDS 8.000% 08/15/2007 372,769
SEK 3,075,000 SWEDEN (KINGDOM OF) BDS 5.000% 01/28/2009 403,648
50,000 UNITED MEXICAN STATES 4.625% 10/08/2008 50,125
300,000 UNITED MEXICAN STATES 8.375% 01/14/2011 352,050
30,000 UNITED MEXICAN STATES 6.625% 03/03/2015 30,825
300,000 UNITED MEXICAN STATES 8.125% 12/30/2019 331,500
---------------
TOTAL FOREIGN DEBT (COST $12,361,939) $ 13,708,096
U.S. GOVERNMENT AND AGENCIES 57.13%
FHLMC POOLS 7.39%
394,229 FHLMC GOLD POOL #A11986 5.000% 08/01/2033 $ 388,227
199,244 FHLMC GOLD POOL #A12429 5.500% 08/01/2033 201,005
399,103 FHLMC GOLD POOL #A12699 5.000% 08/01/2033 393,026
1,199,999 FHLMC GOLD POOL #A13038 6.000% 09/01/2033 1,231,784
499,450 FHLMC GOLD POOL #A13288 5.500% 09/01/2033 503,863
200,000 FHLMC GOLD POOL #A13802 5.000% 09/01/2033 196,954
327,420 FHLMC GOLD POOL #C01310 6.500% 03/01/2032 340,554
895,550 FHLMC GOLD POOL #C01598 5.000% 08/01/2033 881,914
199,540 FHLMC GOLD POOL #C01623 5.500% 09/01/2033 201,303
457,025 FHLMC GOLD POOL #C69783 6.500% 08/01/2032 475,357
64,515 FHLMC GOLD POOL #C90213 7.000% 04/01/2018 68,044
92,834 FHLMC GOLD POOL #E00535 6.000% 02/01/2013 96,757
49,031 FHLMC GOLD POOL #E01095 6.000% 01/01/2017 50,969
202,771 FHLMC GOLD POOL #E01184 6.000% 08/01/2017 210,755
90,501 FHLMC GOLD POOL #E90471 5.500% 07/01/2017 93,230
198,304 FHLMC GOLD POOL #E98211 4.000% 07/01/2018 193,394
539,718 FHLMC GOLD POOL #G01391 7.000% 04/01/2032 567,870
1,100,000 FHLMC GOLD POOL #G01450 6.500% 08/01/2032 1,144,122
204,081 FHLMC GOLD POOL #G11149 6.500% 07/01/2011 214,762
2,580,000 FHLMC GOLD TBA 5.500% 11/01/2018 2,656,595
200,000 FHLMC GOLD TBA 6.000% 11/01/2018 207,812
300,000 FHLMC GOLD TBA 5.000% 11/01/2033 295,219
---------------
TOTAL FHLMC POOLS $ 10,613,516
FNMA POOLS 6.64%
21,598 FNMA POOL #190000 6.000% 09/01/2008 $ 22,576
24,113 FNMA POOL #190040 6.000% 09/01/2008 25,204
236,671 FNMA POOL #252345 6.000% 03/01/2014 246,748
93,397 FNMA POOL #323120 6.000% 10/01/2011 97,471
144,639 FNMA POOL #323842 5.500% 07/01/2014 149,668
518,684 FNMA POOL #512117 7.500% 12/01/2029 552,858
244,322 FNMA POOL #555144 7.000% 10/01/2032 257,309
340,847 FNMA POOL #555720 6.500% 06/01/2015 359,116
29,207 FNMA POOL #568053 6.500% 05/01/2016 30,734
13,638 FNMA POOL #569336 7.500% 01/01/2031 14,532
12,256 FNMA POOL #583203 6.500% 05/01/2031 12,735
1,779 FNMA POOL #631415 6.500% 02/01/2032 1,848
83,167 FNMA POOL #641482 6.500% 07/01/2032 86,403
45,210 FNMA POOL #668339 5.500% 11/01/2017 46,567
500,896 FNMA POOL #670370 5.500% 09/01/2017 515,929
6,489 FNMA POOL #737369 4.500% 08/01/2033 6,189
100,000 FNMA TBA 4.000% 11/01/2018 97,375
1,500,000 FNMA TBA 4.500% 11/01/2018 1,498,125
3,520,000 FNMA TBA 5.500% 11/01/2018 3,623,400
500,000 FNMA TBA 6.000% 11/01/2018 520,000
900,000 FNMA TBA 7.500% 11/01/2032 959,062
100,000 FNMA TBA 5.500% 11/01/2033 100,906
300,000 FNMA TBA 6.000% 11/01/2033 307,969
---------------
TOTAL FNMA POOLS $ 9,532,724
GNMA POOLS 14.95%
286,452 GNMA POOL #493555 6.500% 04/15/2031 $ 300,112
199,980 GNMA POOL #563599 7.000% 06/15/2032 211,839
99,586 GNMA POOL #612927 5.500% 07/15/2033 100,956
185,700 GNMA POOL #780914 6.000% 11/15/2028 192,124
264,452 GNMA POOL #781276 6.500% 04/15/2031 277,113
119,857 GNMA POOL #781328 7.000% 09/15/2031 127,091
3,990,527 GNMA POOL #781340 6.500% 10/15/2031 4,181,012
6,000,000 GNMA TBA 5.000% 11/01/2033 5,930,628
3,360,000 GNMA TBA 6.000% 11/01/2033 3,469,200
6,370,000 GNMA TBA 6.500% 11/01/2033 6,668,594
---------------
TOTAL GNMA POOLS $ 21,458,669
OTHER U.S. AGENCIES 11.44%
100,000 FHLB 432 4.500% 09/16/2013 $ 97,896
410,000 FHLMC 6.000% 06/15/2011 452,235
130,000 FHLMC 6.750% 03/15/2031 148,990
3,800,000 FHLMC DISC NT 0.940% 11/03/2003^^ 3,799,802
275,000 FHLMC MTN 3.500% 04/01/2008 273,420
1,125,000 FHLMC MTN 3.875% 11/10/2008 1,133,775
125,000 FHLMC NTS 7.000% 03/15/2010 145,371
310,000 FHLMC NTS 6.875% 09/15/2010 358,729
220,000 FICO STRIP CPN-3 DEB 0.000% 11/30/2017 100,736
325,000 FNMA 1.750% 06/16/2006 318,660
390,000 FNMA 2.750% 08/11/2006 389,113
350,000 FNMA 5.250% 04/15/2007 376,347
400,000 FNMA 6.625% 10/15/2007 450,824
625,000 FNMA 5.750% 02/15/2008 684,843
225,000 FNMA 3.750% 09/15/2008 223,925
1,450,000 FNMA 7.125% 06/15/2010 1,697,337
705,000 FNMA 6.000% 05/15/2011 777,211
1,900,000 FNMA 6.125% 03/15/2012 2,106,239
320,000 FNMA 4.750% 02/21/2013 313,474
250,000 FNMA 4.375% 07/17/2013 237,824
345,000 FNMA 6.625% 11/15/2010 394,151
655,000 FNMA DEBS 6.000% 05/15/2008 725,257
470,000 FNMA DISC NT 1.074% 03/24/2004++^^ 467,998
250,000 FNMA MTN 7.250% 01/15/2010 293,949
150,000 FNMA NTS 6.625% 09/15/2009 171,187
100,000 RESOLUTION FDG CORP FED STRIPS 0.000% 07/15/2018 44,263
100,000 RESOLUTION FDG CORP FED STRIPS 0.000% 10/15/2018 43,481
195,394 SMALL BUSINESS ADMINISTRATION 5.199% 08/01/2012 195,875
---------------
TOTAL OTHER U.S. AGENCIES $ 16,422,912
U.S. TREASURIES 16.71%
885,000 U.S. TREASURY BDS 2.000% 08/31/2005 $ 889,010
</Table>
27
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
70,000 U.S. TREASURY BDS 2.375% 08/15/2006 $ 70,219
335,000 U.S. TREASURY BDS 10.375% 11/15/2012 429,297
785,000 U.S. TREASURY BDS 12.000% 08/15/2013 1,089,402
400,000 U.S. TREASURY BDS 9.250% 02/15/2016 571,375
1,340,000 U.S. TREASURY BDS 8.125% 08/15/2019 1,798,217
265,000 U.S. TREASURY BDS 8.500% 02/15/2020 367,729
560,000 U.S. TREASURY BDS 8.000% 11/15/2021 750,509
395,000 U.S. TREASURY BDS 6.750% 08/15/2026 474,031
875,000 U.S. TREASURY BDS 5.375% 02/15/2031 904,223
301,491 U.S. TREASURY INFLATION INDEXED BD
1.875% 07/15/2013 300,667
1,209,672 U.S. TREASURY INFLATION INDEXED BD
3.625% 04/15/2028 1,464,412
3,289,745 U.S. TREASURY INFLATION INDEXED BD
3.875% 04/15/2029 4,166,282
1,360,000 U.S. TREASURY NTS 1.625% 09/30/2005 1,355,856
4,300,000 U.S. TREASURY NTS 1.625% 10/31/2005 4,282,194
190,000 U.S. TREASURY NTS 3.250% 08/15/2008 190,438
287,000 U.S. TREASURY NTS 3.125% 10/15/2008 285,408
1,505,000 U.S. TREASURY NTS 4.000% 11/15/2012 1,482,249
1,269,000 U.S. TREASURY NTS 4.250% 08/15/2013 1,263,845
3,140,000 U.S. TREASURY STRIP PO 0.000% 11/15/2021 1,163,863
270,000 U.S. TREASURY STRIP PO 0.000% 08/15/2022 95,331
895,000 U.S. TREASURY STRIP PO 0.000% 11/15/2022 311,081
190,000 U.S. TREASURY STRIP PO 0.000% 08/15/2027 50,496
90,000 U.S. TREASURY STRIP PO 0.000% 11/15/2027 23,588
610,000 U.S. TREASURY STRIP PO 0.000% 02/15/2023 209,491
---------------
TOTAL U.S. TREASURIES $ 23,989,213
---------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $81,739,414) $ 82,017,034
STATE AND MUNICIPAL OBLIGATIONS 0.55%
100,000 CALIFORNIA STATE DEPARTMENT OF WATER RESOURCES
3.975% 05/01/2005 $ 101,628
700,000 ILLINOIS STATE 5.100% 06/01/2033 632,975
60,000 OREGON STATE TAXABLE PENSION NTS 5.762% 06/01/2023 60,661
---------------
TOTAL STATE AND MUNICIPAL OBLIGATIONS (COST $859,993) $ 795,264
---------------
TOTAL INVESTMENTS AT VALUE 105.11% (COST $148,155,432) 150,899,749
---------------
LIABILITIES IN EXCESS OF OTHER ASSETS (5.11%) (7,332,906)
---------------
NET ASSETS 100.00% $ 143,566,843
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NOTIONAL PREMIUM
TYPE OF CONTRACT AMOUNT RECEIVED VALUE
- ----------------------------------------------------------------------------------------------
FG30 5.0% EXP 2/5/04 PUT 96.96875 425,000 $ 6,441 $ 6,441
US 10YR NOTE FUT DEC EXP 11/22/03 PUT 107 700,000 7,863 219
US 10YR NOTE FUT DEC EXP 11/22/03 PUT 110 1,100,000 8,195 2,922
US 10YR NOTE FUT DEC EXP 11/22/03 PUT 115 300,000 4,298 8,437
US 10YR NOTE FUT MAR EXP 2/21/04 CALL 114 2,700,000 35,584 28,687
US 10YR NOTE FUT MAR EXP 2/21/04 CALL 115 1,100,000 10,086 8,766
US 10YR NOTE FUT MAR EXP 2/21/04 CALL 116 1,600,000 12,920 9,000
US 10YR NOTE FUT MAR EXP 2/21/04 PUT 105 1,500,000 14,222 9,375
US 5YR NOTE (CBT) FUT DEC EXP 11/22/03 PUT 109.50 700,000 3,027 656
US LONG BOND (CBT) FUT DEC EXP 11/22/03 CALL 109 700,000 9,809 8,641
US LONG BOND (CBT) FUT DEC EXP 11/22/03 CALL 110 600,000 4,751 4,875
US LONG BOND (CBT) FUT DEC EXP 11/22/03 CALL 111 1,300,000 10,497 6,703
US LONG BOND (CBT) FUT DEC EXP 11/22/03 PUT 103 2,000,000 25,056 2,812
US LONG BOND (CBT) FUT DEC EXP 11/22/03 PUT 106 1,000,000 8,091 4,688
US LONG BOND (CBT) FUT MAR EXP 2/21/04 CALL 116 700,000 5,981 4,813
US LONG BOND (CBT) FUT MAR EXP 2/21/04 CALL 118 1,400,000 8,899 6,344
US LONG BOND (CBT) FUT MAR EXP 2/21/04 PUT 102 2,600,000 38,995 37,781
- ----------------------------------------------------------------------------------------------
TOTAL $ 214,715 $ 151,160
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE COST ON NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF ORIGINATION APPRECIATION
DATE FOR USD CURRENCY DATE VALUE DEPRECIATION
- -----------------------------------------------------------------------------------
Buys
11/18/03 EUR 2,059,327 $ 2,316,742 $ 2,393,016 $ 76,274
1/08/04 EUR 699,150 814,279 811,246 (3,033)
1/12/04 CAD 315,182 240,322 238,364 (1,958)
- -----------------------------------------------------------------------------------
TOTAL $ 71,283
Sales
11/03/03 EUR 483,247 $ 564,336 $ 561,774 $ 2,562
11/18/03 EUR 5,773,382 6,492,716 6,708,889 (216,173)
1/07/04 SEK 5,978,233 773,981 764,027 9,954
1/08/04 EUR 2,105,184 2,442,013 2,442,713 (700)
1/12/04 CAD 1,252,325 939,177 947,104 (7,927)
- -----------------------------------------------------------------------------------
TOTAL $ (212,284)
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
EXPIRATION NUMBER OF ORIGINAL APPRECIATION
TYPE OF CONTRACT DATE POSITION CONTRACTS VALUE VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
90 DAY L LIBOR FUT
JUN 04 06/2004 LONG 18 $ 3,687,350 $ 3,636,394 $ (50,956)
90 DAY L LIBOR FUT
SEP 04 09/2004 LONG 34 6,847,280 6,851,436 4,156
90 DAY EURO$FUT
SEP 04 09/2004 LONG 4 975,433 979,450 4,017
90 DAY EURO$FUT
SEP 05 09/2005 LONG 22 5,304,473 5,302,550 (1,923)
EURO BOBL FUT
DEC 03 12/2003 LONG 2 256,011 256,239 228
EURO BUND FUT
DEC 03 12/2003 LONG 9 1,184,145 1,179,647 (4,498)
US 10 YR NOTE FUT
DEC 03 12/2003 SHORT 67 7,346,697 7,523,891 (177,194)
US 5YR NOTE (CBT)
DEC 03 12/2003 SHORT 197 21,685,703 22,027,063 (341,360)
US LONG BOND FUT
(CBT) DEC 03 12/2003 LONG 46 4,842,746 5,001,063 158,317
- ----------------------------------------------------------------------------------------------------------
TOTAL $ (409,213)
</Table>
See Notes to Financial Statements.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FICO Financing Corporation
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage Association
IO Interest Only Security
MTN Medium Term Note
PDI Past Due Interest
PO Principal Only Security
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed
is as of October 31, 2003. Maturity date shown is the stated maturity
date of the security.
TBA Securities purchased on a forward commitment basis with an
approximate principal amount and no definite maturity date. The
actual principal amount and maturity date will be determined on
settlement.
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At October 31, 2003, these
securities amounted to $8,282,239 or 5.77% of net assets.
^ Denotes that this security is in default.
++ Denotes that all or a portion of these securities are maintained with
counterparties as collateral for futures.
^^ Denotes yield to maturity.
Currency Code Key
CAD CANADIAN DOLLAR
EUR EURO
SEK SWEDISH KRONA
28
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INFLATION-INDEXED BOND FUND
October 31, 2003 (Unaudited)
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCIES 91.77%
OTHER U.S. AGENCIES 2.35%
350,000 FNMA DISC NT 1.074% 03/24/2004++^ $ 348,509
2,015,450 TENNESSEE VALLEY AUTHORITY 3.375% 01/15/2007 2,173,885
---------------
TOTAL OTHER U.S. AGENCIES $ 2,522,394
U.S. TREASURIES 89.42%
3,185,755 U.S. TREASURY INFLATION INDEXED BD
1.875% 07/15/2013 $ 3,177,045
11,434,824 U.S. TREASURY INFLATION INDEXED BD
3.625% 04/15/2028 13,842,838
13,198,279 U.S. TREASURY INFLATION INDEXED BD
3.875% 04/15/2029 16,714,894
2,818,048 U.S. TREASURY INFLATION INDEXED BD
3.375% 04/15/2032 3,402,353
3,978,475 U.S. TREASURY INFLATION INDEXED NT
3.375% 01/15/2007 4,338,559
12,339,108 U.S. TREASURY INFLATION INDEXED NT
3.625% 01/15/2008 13,711,353
8,609,846 U.S. TREASURY INFLATION INDEXED NT
3.875% 01/15/2009 9,739,552
8,952,091 U.S. TREASURY INFLATION INDEXED NT
4.250% 01/15/2010 10,432,687
5,366,181 U.S. TREASURY INFLATION INDEXED NT
3.500% 01/15/2011 6,046,805
4,152,763 U.S. TREASURY INFLATION INDEXED NT
3.375% 01/15/2012 4,664,071
9,044,082 U.S. TREASURY INFLATION INDEXED NT
3.000% 07/15/2012 9,897,264
---------------
TOTAL U.S. TREASURIES $ 95,967,421
---------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $94,130,309) $ 98,489,815
---------------
TOTAL INVESTMENTS AT VALUE 91.77% (COST $94,130,309) 98,489,815
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES 8.23% 8,827,361
---------------
NET ASSETS 100.00% $ 107,317,176
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NOTIONAL PREMIUM
TYPE OF CONTRACT AMOUNT RECEIVED VALUE
- -----------------------------------------------------------------------------------------------
90 DAY EURO$ FUT SEP EXP 9/13/04 PUT 97.50 19,500,000 $ 60,060 $ 53,625
US 5YR NOTE (CBT) FUT DEC EXP 11/22/03
CALL 112.50 3,900,000 20,524 12,797
- -----------------------------------------------------------------------------------------------
TOTAL $ 80,584 $ 66,422
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
EXPIRATION NUMBER OF ORIGINAL APPRECIATION
TYPE OF CONTRACT DATE POSITION CONTRACTS VALUE VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
US 5YR NOTE (CBT)
DEC 03 12/2003 LONG 25 $ 2,795,438 $ 2,795,313 $ (125)
US LONG BOND FUT
(CBT) DEC 03 12/2003 LONG 5 538,775 543,594 4,819
- ----------------------------------------------------------------------------------------------------------
TOTAL $ 4,694
</Table>
See Notes to Financial Statements.
++ Denotes that all or a portion of these securities are maintained with
counterparties as collateral for futures.
^ Denotes yield to maturity.
29
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
October 31, 2003 (Unaudited)
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 23.73%
33,149 ABSC LONG BEACH HOME EQ LOAN TRUST 00-LB1
CL AV (FRN) 1.380% 08/21/2030 $ 33,113
39,679 ACE SEC CORP 01-AQ1 CL A1 (FRN) (STEP BOND)
1.380% 04/25/2031 39,628
173,351 AFC HOME EQ LOAN TRUST 00-2 CL 1A (FRN)
1.510% 06/25/2030 173,480
313,828 AFC HOME EQ LOAN TRUST 99-1 CL 1A (FRN)
1.600% 02/24/2029 314,540
280,000 AMERICAN EXPRESS MASTER TRUST 02-2 CL A (FRN)
1.170% 05/15/2006 280,000
65,000 AMERICAN EXPRESS MASTER TRUST 03-4 CL A
1.690% 01/15/2009 63,533
317,870 AMERICREDIT AUTO REC TRUST 00-C CL A4 (FRN)
1.330% 07/12/2007 318,013
408,338 AMERICREDIT AUTO REC TRUST 00-D CL A4 (FRN)
1.330% 09/12/2007 408,715
600,000 AMERICREDIT AUTO REC TRUST 02-1 CL A3
4.230% 10/06/2006 612,401
250,000 ARG FUNDING 01-2A CL A 144A (FRN)
1.360% 03/20/2006* 249,465
143,640 ASSET BACKED SEC CORP HOME EQ LOAN TRUST 01-HE3
CL A1 (FRN) (STEP BOND) 1.390% 11/15/2031 143,599
220,000 BANK ONE AUTO SEC TRUST 03-1 CL A2
1.290% 08/21/2006 219,968
250,000 BANK ONE ISSUANCE TRUST 03-A2 CL A2 (FRN)
1.170% 10/15/2008 250,115
200,000 BMW VEHICLE OWNER TRUST 03-A CL A2
1.450% 11/25/2005 200,072
102,407 CAPITAL AUTO REC ASSET TRUST 02-4 CL A2B
1.740% 01/17/2005 102,528
225,000 CAPITAL AUTO REC ASSET TRUST 03-1 CL A1B (FRN)
1.170% 06/15/2005 224,940
210,000 CAPITAL AUTO REC ASSET TRUST 03-2 A2A
1.200% 05/16/2005 209,734
345,000 CAPITAL AUTO REC ASSET TRUST 03-3 CL A1A
1.770% 01/16/2006 345,686
500,000 CAPITAL ONE AUTO FINANCE TRUST 02-B CL A3A
2.710% 10/16/2006 506,147
250,000 CAPITAL ONE AUTO FINANCE TRUST 03-A A2
1.400% 03/15/2006 249,922
195,000 CAPITAL ONE MULTI-ASSET EXECUTION TRUST 03-A1 CL A1
(FRN) 1.510% 01/15/2009 195,923
250,000 CAPITAL ONE PRIME AUTO REC TRUST 03-2 CL A2
1.430% 03/15/2006 249,512
215,000 CARMAX AUTO OWNER TRUST 03-1 A2
1.230% 10/17/2005 214,750
250,000 CARMAX AUTO OWNER TRUST 03-3 CL A2
1.680% 08/15/2006 250,000
300,000 CHASE CREDIT CARD MASTER TRUST 02-4 CL A (FRN)
1.170% 10/15/2007 300,000
156,094 CHASE MANHATTAN AUTO OWNER TRUST 01-B CL A3
3.090% 11/15/2005 156,881
148,677 CHASE MANHATTAN AUTO OWNER TRUST 02-A CL A3
3.490% 03/15/2006 150,076
150,000 CHASE MANHATTAN AUTO OWNER TRUST 02-B CL A3
3.580% 05/15/2006 151,633
150,000 CHASE MANHATTAN AUTO OWNER TRUST 03-A A2
1.260% 01/16/2006 149,835
600,000 CHESAPEAKE FUNDING LLC 03-1 CL A1 (FRN)
1.370% 08/07/2008 601,548
159,580 CIT GROUP HOME EQ LOAN TRUST 02-1 CL AV (FRN)
1.410% 03/25/2033 159,623
280,955 CIT GROUP HOME EQ LOAN TRUST 02-2 CL AV (FRN)
(STEP BOND) 1.390% 06/25/2033 280,853
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 00-A2 CL A2
(FRN) 1.189% 11/07/2005 199,993
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-A9 CL A9
(FRN) 1.180% 12/17/2007 200,007
175,000 CITIBANK CREDIT CARD ISSUANCE TRUST 03-A5 CL A5
2.500% 04/07/2008 175,042
674,704 COUNTRYWIDE ASSET-BACKED CERT 02-1 CL A
(FRN) 1.400% 08/25/2032 $ 675,029
227,543 COUNTRYWIDE ASSET-BACKED CERT 02-BC1 CL A
(STEP BOND) 1.450% 04/25/2032 227,357
820,187 COUNTRYWIDE ASSET-BACKED CERT 03-1 CL 3A
1.460% 06/25/2033 819,996
350,000 COUNTRYWIDE ASSET-BACKED CERT 03-BC3 CL A2
1.430% 09/25/2033 349,514
231,988 COUNTRYWIDE HOME EQ LOAN TRUST 02-A CL A (FRN)
1.380% 04/15/2028 231,677
131,333 CREDIT BASED ASSET SERV & SEC 00-CB2 CL A1A
(STEP BOND) 1.530% 09/25/2029 131,242
126,061 CREDIT BASED ASSET SERV & SEC 01-CB4 CL 1A1
1.570% 11/25/2033 126,321
275,000 DAIMLER CHRYSLER AUTO TRUST 01-A CL AA4
5.400% 03/06/2006 281,032
78,769 DAIMLER CHRYSLER AUTO TRUST 02-B CL A2
2.200% 04/06/2005 78,900
101,645 DAIMLER CHRYSLER AUTO TRUST 02-C CL A2
2.070% 06/08/2005 101,866
155,000 DAIMLER CHRYSLER MASTER OWNER TRUST 03-A CL A
(FRN) 1.170% 02/15/2008 155,071
44,614 DELTA FUNDING HOME EQ LOAN TRUST 99-3 CL A1A
(STEP BOND) 1.530% 09/15/2029 44,669
300,000 DRIVETIME AUTO OWNER TRUST 02-C CL A3 144A
3.070% 12/17/2007* 304,219
216,901 EMC MTG LOAN TRUST 02-AA CL A1 144A (FRN)
1.590% 05/25/2039* 217,456
500,000 FIRST BANKCARD MASTER CREDIT CARD TRUST 00-2A
CL A 144A (FRN) 1.290% 04/17/2006* 500,000
400,000 FIRST NORTH AMERICAN NATL BANK 03-A CL A (FRN)
1.600% 05/16/2011 400,908
201,462 FIRST SECURITY AUTO OWNER TRUST 00-1 CL A4
7.400% 10/17/2005 202,668
400,000 FIRST USA CREDIT CARD MASTER TRUST 96-8 CL A (FRN)
1.240% 09/10/2006 400,024
234,672 FORD CREDIT AUTO OWNER TRUST 02-A CL A3B (FRN)
1.240% 01/15/2006 234,694
69,514 FORD CREDIT AUTO OWNER TRUST 03-A CL A2B (FRN)
1.170% 08/15/2005 69,518
300,000 FORD CREDIT FLOORPLAN MASTER OWNER TRUST 01-1
CL A (FRN) 1.210% 07/17/2006 300,171
35,880 GUARANTEED EXPORT TRUST 96-A CL A
6.550% 06/15/2004 36,483
3,562 HARLEY DAVIDSON MOTORCYCLE TRUST 01-2 CL A1
3.770% 04/17/2006 3,566
46,988 HARLEY DAVIDSON MOTORCYCLE TRUST 03-2 A1
1.340% 01/15/2008 46,950
170,306 HONDA AUTO REC OWNER TRUST 03-1 CL A2
1.460% 09/19/2005 170,372
275,000 HONDA AUTO REC OWNER TRUST 03-2 A2
1.340% 12/21/2005 274,827
816,554 HOUSEHOLD AUTO TRUST 00-2 CL A4 7.430% 04/17/2007 844,664
101,085 HOUSEHOLD AUTO TRUST 02-2 CL A2 2.150% 12/19/2005 101,266
245,000 HOUSEHOLD AUTO TRUST 02-3 CL A3B (FRN)
1.310% 06/18/2007 244,885
225,000 HOUSEHOLD AUTO TRUST 03-1A A2 1.300% 09/18/2006 224,792
36,252 HOUSEHOLD AUTO TRUST I 99-1 CL A4 6.650% 04/17/2006 36,334
109,345 HOUSEHOLD HOME EQ LOAN TRUST 01-2 CL A (FRN)
1.490% 07/20/2031 109,391
73,574 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL A (FRN)
1.490% 12/22/2031 73,644
36,787 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL M (FRN)
1.940% 12/22/2031 36,944
461,663 HOUSEHOLD HOME EQ LOAN TRUST 02-2 CL A (FRN)
1.420% 04/20/2032 461,548
724,569 HOUSEHOLD HOME EQ LOAN TRUST 02-3 CL A
1.570% 07/20/2032 724,382
195,000 HYUNDAI AUTO RECEIVABLES TRUST 03-A A2
1.560% 09/15/2006 194,771
537,752 INDYMAC HOME EQ LOAN ASSET-BACKED TRUST 01-A
CL AV (FRN) 1.380% 03/25/2031 537,836
</Table>
30
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
463,135 INDYMAC HOME EQ LOAN ASSET-BACKED TRUST 03-A
CL AV1 (FRN) 1.280% 09/25/2019 $ 463,067
316,888 IRWIN HOME EQ TRUST 2003-A CL A1 (FRN)
1.620% 10/25/2027 317,932
119,556 KEYCORP STUDENT LOAN TRUST 95-B CL A (FRN)
1.350% 09/27/2024 119,556
217,415 LONG BEACH ASSET HLDGS CORP 03-1 CL N 144A (FRN)
1.500% 02/25/2008* 217,415
75,889 LONG BEACH MTG LOAN TRUST 00-1 CL AV-1 (FRN)
1.380% 01/21/2031 75,808
72,480 LONG BEACH MTG LOAN TRUST 01-2 CL A2 (STEP BOND)
1.400% 07/25/2031 72,527
277,807 MADISON AVENUE MANUFACTURED HOUSING CONTRACT
02-A CL A1 (FRN) 1.470% 03/25/2032 277,207
265,000 MBNA CREDIT CARD MASTER NOTE TRUST 01-A4 CL A
(FRN) 1.250% 02/15/2007 265,094
500,000 MBNA CREDIT CARD MASTER NOTE TRUST 97-C CL A
(FRN) (STEP BOND) 1.230% 08/15/2006 500,019
200,000 NAVISTAR FINL CORP OWNER TRUST 03-B CL A2
1.690% 09/15/2006 199,859
229,722 NISSAN AUTO REC OWNER TRUST 02-B CL A3
3.990% 12/15/2005 232,502
180,000 NISSAN AUTO REC OWNER TRUST 03-A CL A2
1.450% 05/16/2005 180,090
225,000 NISSAN AUTO REC OWNER TRUST 03-B
1.200% 11/15/2005 224,677
42,272 ONYX ACCEPT AUTO TRUST 01-C CL A3 4.650% 06/15/2005 42,327
166,000 PECO ENERGY TRANSITION TRUST 99-A CL A3 (FRN)
1.335% 03/01/2006 165,989
263,945 RESIDENTIAL ASSET SECURITIES CORP 00-KS3 CL AII (FRN)
1.350% 07/25/2031 263,886
550,668 RESIDENTIAL ASSET SECURITIES CORP 00-KS5 CL AII (FRN)
(STEP BOND) 1.360% 12/25/2031 550,716
798,614 RESIDENTIAL ASSET SECURITIES CORP 03-KS2 CL AIIB
(FRN) 1.420% 01/25/2033 798,004
296,685 RESIDENTIAL ASSET SECURITIES CORP 03-KS8 CL AI1
(FRN) 1.240% 05/25/2021 296,507
225,000 SEARS CREDIT ACCOUNT MASTER TRUST 96-3 CL A
7.000% 07/15/2008 229,644
1,291 SLM STUDENT LOAN TRUST 00-1 CL A1L (FRN)
1.251% 10/27/2008 1,292
209,453 SLM STUDENT LOAN TRUST 02-A CL A1 (FRN)
1.290% 06/15/2016 209,767
94,014 SLM STUDENT LOAN TRUST 03-A CL A1 (FRN)
1.250% 12/15/2015 94,017
78,314 SLM STUDENT LOAN TRUST 99-2 CL A2L (FRN)
1.310% 04/25/2011 78,435
167,675 SOUTHERN PACIFIC SECURED ASSETS CORP 98-2 CL A1
(STEP BOND) 1.290% 07/25/2029 167,385
60,243 TEXTRON FINL CORP 01-A CL A3 144A (FRN)
1.490% 02/20/2009* 60,201
275,000 TOYOTA AUTO REC OWNER TRUST 01-C CL A4
4.720% 09/15/2008 282,753
65,000 TOYOTA AUTO REC OWNER TRUST 02-C CL A3
2.650% 11/15/2006 65,624
160,000 TOYOTA AUTO REC OWNER TRUST 03-A CL A2
1.280% 08/15/2005 159,939
125,000 TOYOTA AUTO REC OWNER TRUST 03-B CL A2
1.430% 02/15/2006 124,865
447,359 WACHOVIA ASSET SECURITIZATION INC (FRN)
1.550% 12/25/2032 448,074
192,253 WFS FINL OWNER TRUST 01-A CL A4 (FRN)
1.380% 10/20/2008 192,246
55,663 WFS FINL OWNER TRUST 01-C CL A3 (FRN)
1.280% 03/20/2006 55,667
341,799 WFS FINL OWNER TRUST 02-1 CL A3B (FRN)
1.270% 12/20/2006 341,832
111,738 WFS FINL OWNER TRUST 03-1 CL A2
1.500% 03/20/2006 111,804
170,000 WFS FINL OWNER TRUST 03-2 A2
1.320% 05/20/2006 170,001
135,032 WHOLE AUTO LOAN TRUST 02-1 CL A2
1.880% 06/15/2005 $ 135,335
275,000 WHOLE AUTO LOAN TRUST 03-1 CL A2A
1.400% 04/15/2006 274,776
75,000 WORLD OMNI AUTO REC TRUST 03-A CL A2
1.460% 08/15/2005 75,059
---------------
TOTAL ASSET BACKED SECURITIES (COST $26,941,674) $ 26,898,160
COLLATERALIZED MORTGAGE OBLIGATIONS 14.41%
PRIVATE LABEL CMO'S 13.30%
215,000 AESOP 03-4A CL A1 144A (FRN) 1.350% 08/20/2007* $ 216,059
800,000 AESOP FUNDING II LLC 01-1 CL NT 144A
1.320% 04/20/2005* 799,248
296,008 AMSI 01-1 CL A 1.410% 06/25/2031 295,633
187,320 ARMS II G1 CL A (FRN) 1.370% 09/10/2034 187,320
513,064 BANC OF AMERICA FUNDING CORP 03-1 CL A1
6.000% 05/20/2033 515,489
294,542 BMW VEHICLE OWNER TRUST 02-A CL A-3
3.800% 05/25/2006 298,448
300,000 CHASE MANHATTAN AUTO OWNER TRUST 03-B CL A2
1.280% 03/15/2006 299,584
550,112 CRUSADE GLOBAL TRUST 03-1 CL A (FRN)
1.356% 01/17/2034 550,107
300,000 CRUSADE GLOBAL TRUST 03-2 CL A (FRN) (STEP BOND)
1.330% 09/18/2034 300,000
142,599 CS FIRST BOSTON MTG SECURITIES CORP 01-FL2A CL A
144A (FRN) 1.370% 09/15/2013* 142,501
100,956 CS FIRST BOSTON MTG SECURITIES CORP 03-NP6 CL A1
144A (FRN) 2.020% 08/25/2032* 100,830
486,406 EMC MTG LOAN TRUST 02-B CL A1 144A (FRN)
0.000% 02/25/2041* 492,106
349,533 EMC MTG LOAN TRUST 03-A CL A1 144A (FRN)
1.670% 08/25/2040* 350,953
6,578 FIRST PLUS HOME LOAN TRUST 97-1 CL CERT
7.640% 07/10/2022 6,575
500,000 FORD CREDIT AUTO OWNER TRUST 02-D CL A4B
1.240% 11/15/2006 500,594
133,654 GRANITE MTG PLC 01-2 CL 1A (FRN) 1.390% 10/20/2021 133,797
190,000 GRANITE MTG PLC 03-1 CL 1A2 (FRN) 1.350% 01/20/2020 190,055
600,000 GRANITE MTG PLC 03-2 CL 1A2 (FRN) (STEP BOND)
1.320% 07/20/2020 599,625
112,766 GS MTG SECS CORP II 00-GSFL CL A 144A (FRN)
1.400% 08/15/2012* 112,771
198,750 HOLMES FINANCING PLC 4 CL 1A (FRN) 1.340% 07/15/2015 198,836
250,000 HOLMES FINANCING PLC 6 CL 2A (FRN) 1.320% 04/15/2008 250,140
218,225 IMPAC CMB TRUST 02-5 CL A1 1.490% 07/25/2032 218,402
669,140 IMPAC CMB TRUST 03-6 CL A (FRN) (STEP BOND)
1.440% 07/25/2033 668,447
369,059 IRWIN HOME EQ TRUST 03-1 CL 1A1 (FRN)
1.620% 02/25/2028 370,185
398,953 IRWIN HOME EQ TRUST 03-1 CL 2A1 (FRN)
1.620% 02/25/2028 400,094
205,000 JOHN DEERE OWNER TRUST 03 CL A2 1.310% 01/15/2006 204,720
104,761 JP MORGAN CHASE COML MTG SEC TRUST 03-FL1A CL A1
144A (FRN) 1.390% 02/17/2015* 104,761
108,967 KINGFISHER SECURITIZATION 01-1G CL A (STEP BOND)
1.320% 09/20/2032 108,938
208,191 MEDALLION TRUST 03-1G CL A (FRN) 1.330% 12/21/2033 208,212
109,509 MERRILL LYNCH MTG INVESTORS 02-AFC1 CL AV1 (FRN)
1.490% 04/25/2031 109,612
457,000 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.440% 05/25/2033 456,533
714,825 MERRILL LYNCH MTG INVESTORS 03-WMC1 CL A2 (FRN)
1.480% 11/25/2033 714,950
100,000 MMCA AUTOMOBILE TRUST 02-1 CL A4 1.400% 01/15/2010 98,920
250,000 MOUND FINANCING PLC 3A A1-1 144A (FRN)
1.280% 02/08/2008* 250,000
250,000 NAVISTAR FINL DEALER NOTE MASTER TRUST 03-1 CL A
1.420% 06/25/2009 250,000
201,744 NEW CENTURY HOME EQ LOAN TRUST 01-NC1 CL A
1.410% 06/20/2031 201,480
</Table>
31
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
396,597 ONYX ACCEPT GRANTOR TRUST 03-A CL A2
1.640% 11/15/2005 $ 397,045
384,619 OPTION ONE MTG LOAN TRUST 01-4 CL A (FRN)
1.420% 01/25/2032 384,940
434,310 OPTION ONE MTG LOAN TRUST 03-1 CL A2
1.540% 02/25/2033 435,431
205,000 PERMANENT FINANCING PLC 1 CL 3A (FRN)
1.265% 06/10/2007 205,032
125,000 PERMANENT FINANCING PLC 2 CL 2A (FRN)
1.290% 09/10/2007 125,066
348,154 PROVIDENT BANK HOME EQ LOAN TRUST 00-2 CL A2
1.390% 08/25/2031 347,367
244,668 RESIDENTIAL ASSET SECURITIES CORP 03-KS6 CL A2 (FRN)
1.420% 08/25/2033 244,668
199,148 RMAC 03-NS1A CL A1B 144A (FRN) 1.290% 09/12/2017* 199,148
191,693 RMAC 03-NS2A CL A1B 144A (FRN) 1.290% 06/12/2018* 191,693
100,000 RMAC 03-NS3A CL A1B 144A (FRN) (STEP BOND)
1.264% 09/12/2018* 100,000
164,123 TORRENS TRUST 00-1GA CL A 144A (FRN)
1.380% 07/15/2031* 164,379
90,000 UCFC HOME EQ LOAN 98-D CL MF1 6.905% 04/15/2030 94,578
230,000 USAA AUTO OWNER TRUST 03-1 CL A2 1.220% 04/17/2006 229,669
789,808 WACHOVIA ASSET SECURITIZATION INC 02-HE1 CL A
1.490% 09/27/2032 792,725
253,599 WESTPAC SECURITIZATION TRUST 98-1G CL A (FRN)
1.300% 07/19/2029 253,891
---------------
TOTAL PRIVATE LABEL CMO'S $ 15,071,557
U.S. AGENCY CMO'S 1.11%
300,000 FHLMC 2638 CL KA 3.000% 07/15/2009 $ 303,229
500,000 FHLMC 2684 CL PA 5.000% 02/15/2010 512,578
115,556 FNMA 02-70 CL QA 5.500% 11/25/2010 115,443
322,623 GNMA 02-29 CL BK 6.150% 04/16/2029 325,768
---------------
TOTAL U.S. AGENCY CMO'S $ 1,257,018
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $16,341,299) $ 16,328,575
CORPORATE DEBT 14.10%
BANKING & FINANCE 7.96%
100,000 ABBEY NATL FIRST CAPITAL BV GTD SUB NT
8.200% 10/15/2004 $ 106,121
250,000 AMERICAN EXPRESS CREDIT MTN (FRN)
1.190% 11/17/2003 250,007
360,000 AMERICAN HONDA FINANCE MTN 144A (FRN)
1.312% 09/11/2006* 359,801
250,000 ASIF GLOBAL FINANCING XXII 144A (FRN)
1.280% 05/30/2006* 250,455
250,000 BANK OF AMERICA CORP MTN (FRN) 1.364% 05/03/2004 250,295
250,000 BANK OF AMERICA CORP MTN (FRN) 1.450% 10/22/2004 250,677
200,000 BANK OF NEW YORK CO INC 6.500% 12/01/2003 200,787
260,000 BANK ONE CORP 6.500% 02/01/2006 283,962
100,000 BOEING CAPITAL CORP MTN (FRN) 4.880% 08/20/2004 102,599
500,000 BP CAPITAL MARKETS PLC (FRN) 1.045% 03/08/2004 500,001
300,000 CATERPILLAR FINL SERVICES CORP MTN (FRN)
1.297% 11/04/2003 300,000
200,000 CIT GROUP INC SR NTS 7.500% 11/14/2003 200,320
300,000 CITIGROUP INC (FRN) 1.350% 03/09/2004 300,243
200,000 COUNTRYWIDE HOME LOAN MTN 6.840% 10/22/2004 209,548
300,000 CREDIT SUISSE FIRST BOSTON USA INC MTN (FRN)
1.446% 09/07/2004 300,573
350,000 FIRST UNION NATL BANK (FRN) 1.370% 02/20/2004 350,343
100,000 GENERAL ELECTRIC CAP CORP MTN (FRN)
1.290% 09/15/2004 100,143
500,000 GENERAL ELECTRIC CAP CORP MTN (FRN)
1.265% 03/15/2005 500,772
250,000 GENERAL MTRS ACCEPT CORP (FRN) 1.400% 04/05/2004 249,629
300,000 GENERAL MTRS ACCEPT CORP MTN (FRN)
3.030% 05/19/2005 303,194
200,000 HELLER FINL INC 6.000% 03/19/2004 203,529
275,000 JP MORGAN CHASE & CO MTN (FRN) 1.300% 05/20/2004 275,064
250,000 MONUMENT GLOBAL FDG II 144A (FRN)
1.262% 02/11/2005* 250,082
250,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CO
5.250% 07/15/2004 $ 256,775
250,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CO
(FRN) 1.539% 02/07/2005 251,080
250,000 NATIONWIDE BUILDING SOCIETY SR MTN 144A (FRN)
1.140% 07/23/2004* 250,033
300,000 SLM CORP MTN (FRN) 1.491% 10/25/2004 300,872
250,000 SLM CORP MTN (FRN) 1.441% 01/25/2005 250,816
250,000 TOYOTA MOTOR CREDIT CORP MTN 2.800% 01/18/2006 253,879
250,000 US BANCORP MTN (FRN) 1.290% 09/16/2005 250,187
500,000 US BANK NA MTN (FRN) 1.340% 06/14/2005 500,974
250,000 VW CREDIT INC MTN 144A (FRN) 1.350% 01/22/2004* 250,069
360,000 WELLS FARGO & CO (FRN) 1.200% 10/01/2004 360,264
---------------
TOTAL BANKING & FINANCE $ 9,023,094
BASIC INDUSTRIES 1.20%
650,000 ALCOA INC NT (FRN) 1.426% 12/06/2004 $ 651,507
185,000 DOW CHEMICAL CO 5.250% 05/14/2004 187,794
500,000 EI DUPONT DE NEMOURS 6.750% 10/15/2004 524,665
---------------
TOTAL BASIC INDUSTRIES $ 1,363,966
CAPITAL GOODS 0.29%
300,000 HONEYWELL INTL INC 6.875% 10/03/2005 $ 327,778
---------------
TOTAL CAPITAL GOODS $ 327,778
CONSUMER NON-DURABLES 1.50%
225,000 ALTRIA GROUP INC 6.800% 12/01/2003 $ 225,563
200,000 COCA COLA ENTERPRISES INC 6.625% 08/01/2004 207,163
250,000 COCA COLA ENTERPRISES INC (FRN) 1.411% 04/26/2004 250,309
250,000 DIAGEO CAPITAL PLC GTD 6.625% 06/24/2004 258,386
250,000 PEPSI BOTTLING HLDGS INC NT 144A 5.375% 02/17/2004* 252,886
250,000 PROCTER & GAMBLE CO 8.000% 11/15/2003 250,478
250,000 UNILEVER CAPITAL CORP 6.750% 11/01/2003 250,000
---------------
TOTAL CONSUMER NON-DURABLES $ 1,694,785
CONSUMER SERVICES 0.97%
300,000 MCDONALDS CORP MTN 5.150% 07/01/2004 $ 306,630
550,000 TARGET CORP NTS 7.500% 02/15/2005 589,274
194,000 WAL-MART STORES INC 6.550% 08/10/2004 201,585
---------------
TOTAL CONSUMER SERVICES $ 1,097,489
ENERGY 0.37%
200,000 CONOCO FDG CO 5.450% 10/15/2006 $ 215,087
200,000 CONOCO INC 5.900% 04/15/2004 204,080
---------------
TOTAL ENERGY $ 419,167
HEALTH CARE 0.45%
250,000 ABBOTT LABORATORIES INC 5.125% 07/01/2004 $ 256,116
250,000 UNITED HEALTH GROUP INC 144A (FRN)
1.737% 11/09/2004* 250,190
---------------
TOTAL HEALTH CARE $ 506,306
INDUSTRY 0.03%
29,000 SP POWERASSETS LTD NTS 144A 3.800% 10/22/2008* $ 29,039
---------------
TOTAL INDUSTRY $ 29,039
TECHNOLOGY 0.44%
500,000 IBM CORP (FRN) 1.265% 09/10/2004 $ 500,435
---------------
TOTAL TECHNOLOGY $ 500,435
TELECOMMUNICATIONS 0.79%
430,000 BELL ATLANTIC NEW JERSEY INC 5.875% 02/01/2004 $ 434,693
236,000 BELLSOUTH CORP 5.000% 10/15/2006 250,930
200,000 VODAFONE GROUP PLC NTS 7.625% 02/15/2005 214,595
---------------
TOTAL TELECOMMUNICATIONS $ 900,218
TRANSPORTATION 0.10%
113,804 AMERICAN AIRLINES INC (FRN) 1.760% 09/23/2007 $ 113,880
---------------
TOTAL TRANSPORTATION $ 113,880
---------------
TOTAL CORPORATE DEBT (COST $15,926,095) $ 15,976,157
</Table>
32
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------
FOREIGN DEBT 0.53%
300,000 MANITOBA (PROVINCE OF) 12/12/02 2.750% 01/17/2006 $ 301,987
110,000 REPUBLIC OF ITALY 5.250% 01/16/2004 110,930
190,000 REPUBLIC OF ITALY MTN 2.500% 03/31/2006 190,625
---------------
TOTAL FOREIGN DEBT (COST $602,982) $ 603,542
U.S. GOVERNMENT AND AGENCIES 24.94%
OTHER U.S. AGENCIES 24.94%
820,000 FEDERAL FARM CREDIT BANK DISC NT
1.010% 02/13/2004^ $ 817,630
50,000 FHLB 5.770% 02/03/2004 50,583
1,000,000 FHLB 4.875% 04/16/2004 1,016,826
250,000 FHLB 5.715% 05/12/2004 255,887
750,000 FHLB 3.375% 06/15/2004 759,917
1,000,000 FHLB 3.625% 10/15/2004 1,021,302
600,000 FHLB 2.125% 12/15/2004 604,181
150,000 FHLB DISC NT 0.974% 01/09/2004^ 149,721
225,000 FHLB DISC NT 0.978% 01/14/2004^ 224,550
200,000 FHLB LW04 6.000% 01/28/2004 202,309
600,000 FHLB M705 2.850% 11/25/2005 600,548
65,000 FHLB STRIP DEB A-1P 0.000% 02/25/2004 64,726
130,000 FHLB VW05 4.875% 05/14/2004 132,516
1,125,000 FHLMC 5.250% 02/15/2004 1,138,212
250,000 FHLMC 5.000% 05/15/2004 255,083
500,000 FHLMC 3.250% 11/15/2004 509,396
500,000 FHLMC MTN 3.125% 08/25/2006 506,076
220,000 FHLMC DISC NT 1.019% 12/04/2003^ 219,792
1,000,000 FHLMC DISC NT 0.949% 12/05/2003^ 999,093
300,000 FHLMC DISC NT 1.158% 12/12/2003^ 299,602
350,000 FHLMC DISC NT 1.027% 12/18/2003^ 349,529
328,000 FHLMC DISC NT 0.978% 12/22/2003^ 327,545
1,360,000 FHLMC DISC NT 0.987% 12/31/2003^ 1,357,766
579,000 FHLMC DISC NT 1.002% 01/05/2004^ 577,956
1,000,000 FHLMC DISC NT 1.015% 01/29/2004^ 997,511
500,000 FHLMC DISC NT 1.054% 02/26/2004^ 498,307
250,000 FHLMC DISC NT 1.115% 04/22/2004^ 248,682
750,000 FHLMC DISC NT 1.161% 06/16/2004^ 744,586
1,000,000 FHLMC MTN 3.125% 05/20/2004 1,010,414
500,000 FHLMC MTN (FRN) 1.107% 09/09/2005 499,907
1,500,000 FNMA 3.000% 06/15/2004 1,516,205
1,000,000 FNMA 7.400% 07/01/2004 1,039,656
500,000 FNMA 1.510% 11/30/2004 499,850
300,000 FNMA 1.875% 12/15/2004 301,272
500,000 FNMA 2.750% 08/11/2006 498,863
700,000 FNMA 4.000% 11/17/2006 700,758
1,600,000 FNMA 5.000% 12/19/2007 1,608,051
500,000 FNMA DISC NT 0.683% 11/03/2003^ 499,972
325,000 FNMA DISC NT 0.856% 11/05/2003^ 324,962
685,000 FNMA DISC NT 0.802% 11/14/2003^ 684,790
300,000 FNMA DISC NT 1.006% 11/25/2003^ 299,794
200,000 FNMA DISC NT 1.000% 11/26/2003^ 199,858
303,000 FNMA DISC NT 1.017% 12/04/2003^ 302,714
500,000 FNMA DISC NT 0.960% 12/10/2003^ 499,476
200,000 FNMA DISC NT 1.023% 12/11/2003^ 199,771
200,000 FNMA DISC NT 0.105% 12/12/2003^ 199,765
300,000 FNMA DISC NT 0.132% 12/24/2003^ 299,545
250,000 FNMA DISC NT 1.003% 01/07/2004^ 249,535
1,000,000 FNMA DISC NT 1.162% 06/25/2004^ 992,493
500,000 SLMA 1.020% 04/15/2004 500,000
400,000 SLMA MTN 3.375% 07/15/2004 405,917
---------------
TOTAL OTHER U.S. AGENCIES $ 28,263,400
---------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $28,271,013) $ 28,263,400
CERTIFICATES OF DEPOSIT 1.59%
300,000 ABBEY NATL TREASURY YANKEE CD 1.040% 03/10/2004 $ 299,924
250,000 CREDIT LYONNAIS NY CD 1.080% 01/07/2004 250,001
500,000 ROYAL BANK OF SCOTLAND CD 1.070% 11/28/2003 500,008
750,000 WESTDEUTSCHE LANDESBANK NY CD 1.350% 01/27/2004 750,473
---------------
TOTAL CERTIFICATES OF DEPOSIT (COST $1,799,976) $ 1,800,406
COMMERCIAL PAPER 14.51%
1,000,000 ARCHER DANIELS MIDLAND 1.145% 03/29/2004^ $ 995,331
1,000,000 DELAWARE FUNDING CORP 144A 1.050% 11/19/2003* 999,475
595,000 EDISON ASSET SECURITIZATION LLC
1.033% 12/09/2003*^ 594,346
1,000,000 EI DUPONT 1.027% 12/04/2003^ 999,047
1,000,000 EUREKA SECURITIZATION PLC 1.050% 11/18/2003 999,504
1,200,000 FALCON ASSET SECURITIZATION CORP 1.050% 11/06/2003* 1,199,825
500,000 GLAXO SMITHKLINE 1.030% 12/18/2003* 499,328
500,000 KFW INTL FINANCE INC 1.010% 12/12/2003* 499,425
980,000 NESTLE CAPITAL CORP 1.030% 11/12/2003 979,692
375,000 NESTLE CAPITAL CORP 1.040% 12/04/2003* 374,642
750,000 NEW YORK LIFE CAPITAL CORP 1.030% 12/08/2003 749,207
1,000,000 OLD LINE FUNDING CORP 1.040% 11/13/2003* 999,653
1,000,000 PARK AVENUE RECEIVABLES CORP 144A
1.050% 12/02/2003 999,096
1,110,000 PFIZER INC 1.038% 12/12/2003^ 1,108,680
1,000,000 PREFERRED RECEIVABLES FUNDING CORP
1.050% 11/19/2003* 999,475
250,000 SCHLUMBERGER TECH CORP 1.034% 12/08/2003*^ 249,732
200,000 SOCIETE GENERALE 1.031% 12/05/2003^ 199,803
1,000,000 TORONTO DOMINION HLDGS 1.031% 11/20/2003^ 999,437
1,000,000 WAL-MART STORES INC 1.000% 11/04/2003 999,917
1,000,000 WINDMILL FUNDING CORP 144A 1.060% 11/18/2003* 999,499
---------------
TOTAL COMMERCIAL PAPER (COST $16,445,085) $ 16,445,114
TIME DEPOSITS 4.62%
1,000,000 CAFCO LLC 1.050% 11/18/2003* $ 999,504
250,000 CLIPPER REC CORP 144A 1.050% 11/07/2003 249,956
600,000 CORPORATE REC CORP 1.060% 11/03/2003 599,965
500,000 CREDIT AGRICOLE IND NA 1.020% 11/06/2003 499,929
300,000 CREDIT AGRICOLE IND NA 1.030% 11/14/2003 299,889
675,000 GALAXY FUNDING INC 1.060% 11/19/2003 674,642
195,000 JP MORGAN CHASE BANK 1.120% 02/20/2004 194,327
720,000 UBS FINANCE (DE) LLC 1.035% 11/21/2003 719,586
1,000,000 YORKTOWN CAPITAL LLC 1.050% 12/05/2003 999,008
---------------
TOTAL TIME DEPOSITS (COST $5,236,806) $ 5,236,806
---------------
TOTAL INVESTMENTS AT VALUE 98.43% (COST $111,564,930) 111,552,160
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES 1.57% 1,776,054
---------------
NET ASSETS 100.00% $ 113,328,214
</Table>
See Notes to Financial Statements.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FRN Floating Rate Note
MTN Medium Term Note
SLMA Student Loan Marketing Association
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed
is as of October 31, 2003. Maturity date shown is the stated maturity
date of the security.
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At October 31, 2003, these
securities amounted to $15,080,664 or 13.31% of net assets.
^ Denotes yield to maturity.
33
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Assets and Liabilities as of October 31, 2003 (Unaudited)
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP INTERNATIONAL CORE PLUS
FUND FUND EQUITY FUND BOND FUND
ASSETS:
Investments at cost $ 175,783,902 $ 150,381,431 $ 135,409,503 $ 148,155,432
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Investments at value 197,328,665 157,326,624 149,582,795 150,899,749
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Cash 2,806,641 2,421,601 6,832,617 17,186,287
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Foreign currency at value(1) - - 1,570,662 264,005
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for investments sold 1,455,304 2,455,500 872,395 19,753,960
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for Fund shares sold 81,000 - - 665,500
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for expense reimbursement 12,583 9,967 38,355 9,384
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Dividend and interest receivable 226,513 66,518 137,396 1,407,341
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Tax reclaim receivable 1,209 56 102,642 -
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for daily variation margin on open financial
futures contracts - - - -
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Unrealized appreciation on forward foreign currency contracts 484 - 331,919 90,882
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Prepaid expenses 6,371 31,355 1,830 5,111
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
TOTAL ASSETS 201,918,770 162,311,621 159,470,611 190,282,219
========================================================================= ============= ============= ============= =============
LIABILITIES:
Payable for investments purchased 1,938,198 1,461,025 2,441,997 46,173,328
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for Fund shares redeemed - 13,578 31,191 -
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for daily variation margin on open financial futures contracts - - - 75,053
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Unrealized depreciation on forward foreign currency contracts 9,198 - 285,943 231,883
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Written options at value(2) - - - 151,160
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Directors' fee payable 2,193 2,043 2,205 2,201
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Advisory fee payable 74,964 119,333 91,993 42,395
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued expenses and other payables 46,816 14,587 50,780 39,356
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
TOTAL LIABILITIES 2,071,369 1,610,566 2,904,109 46,715,376
========================================================================= ============= ============= ============= =============
NET ASSETS $ 199,847,401 $ 160,701,055 $ 156,566,502 $ 143,566,843
========================================================================= ============= ============= ============= =============
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value $ 23,076 $ 15,196 $ 18,399 $ 13,595
========================================================================= ============= ============= ============= =============
Paid-in capital 208,365,858 151,952,908 160,479,161 135,761,311
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Undistributed net investment income (loss) 74,685 (92,464) 733,713 1,477,599
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Accumulated (distribution in excess of) net realized gain (loss) on
investments (30,152,327) 1,880,222 (18,798,580) 4,025,960
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
Net unrealized appreciation (depreciation) 21,536,109 6,945,193 14,133,809 2,288,378
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
TOTAL NET ASSETS $ 199,847,401 $ 160,701,055 $ 156,566,502 $ 143,566,843
========================================================================= ============= ============= ============= =============
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED, $0.001 PAR VALUE) 23,075,756 15,195,550 18,399,485 13,594,754
========================================================================= ============= ============= ============= =============
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER SHARE $ 8.66 $ 10.58 $ 8.51 $ 10.56
========================================================================= ============= ============= ============= =============
(1) Cost of cash denominated in foreign currencies - - 1,559,186 251,300
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
(2) Premiums on written options - - - 214,715
- ------------------------------------------------------------------------- ------------- ------------- ------------- -------------
</Table>
See Notes to the Financial Statements.
34
<Page>
<Table>
<Caption>
CIF CIF
INFLATION-INDEXED SHORT DURATION
BOND FUND FUND
ASSETS:
Investments at cost $ 94,130,309 $ 111,564,930
- ------------------------------------------------------------------------- ----------------- --------------
Investments at value 98,489,815 111,552,160
- ------------------------------------------------------------------------- ----------------- --------------
Cash 8,084,189 3,257,906
- ------------------------------------------------------------------------- ----------------- --------------
Foreign currency at value(1) - -
- ------------------------------------------------------------------------- ----------------- --------------
Receivable for investments sold - -
- ------------------------------------------------------------------------- ----------------- --------------
Receivable for Fund shares sold 200,000 -
- ------------------------------------------------------------------------- ----------------- --------------
Receivable for expense reimbursement 8,372 10,796
- ------------------------------------------------------------------------- ----------------- --------------
Dividend and interest receivable 647,817 346,644
- ------------------------------------------------------------------------- ----------------- --------------
Tax reclaim receivable - -
- ------------------------------------------------------------------------- ----------------- --------------
Receivable for daily variation margin on open financial futures
contracts 3,469 -
- ------------------------------------------------------------------------- ----------------- --------------
Unrealized appreciation on forward foreign currency contracts - -
- ------------------------------------------------------------------------- ----------------- --------------
Prepaid expenses 3,070 5,895
- ------------------------------------------------------------------------- ----------------- --------------
TOTAL ASSETS 107,436,732 115,173,401
========================================================================= ================= ==============
LIABILITIES:
Payable for investments purchased - 1,734,643
- ------------------------------------------------------------------------- ----------------- --------------
Payable for Fund shares redeemed - 70,000
- ------------------------------------------------------------------------- ----------------- --------------
Payable for daily variation margin on open financial futures contracts - -
- ------------------------------------------------------------------------- ----------------- --------------
Unrealized depreciation on forward foreign currency contracts - -
- ------------------------------------------------------------------------- ----------------- --------------
Written options at value(2) 66,422 -
- ------------------------------------------------------------------------- ----------------- --------------
Directors' fee payable 2,201 2,222
- ------------------------------------------------------------------------- ----------------- --------------
Advisory fee payable 13,562 18,085
- ------------------------------------------------------------------------- ----------------- --------------
Accrued expenses and other payables 37,371 20,237
- ------------------------------------------------------------------------- ----------------- --------------
TOTAL LIABILITIES 119,556 1,845,187
========================================================================= ================= ==============
NET ASSETS $ 107,317,176 $ 113,328,214
========================================================================= ================= ==============
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value $ 10,057 $ 11,234
========================================================================= ================= ==============
Paid-in capital 92,067,608 113,294,537
- ------------------------------------------------------------------------- ----------------- --------------
Undistributed net investment income (loss) 31,399 1,434
- ------------------------------------------------------------------------- ----------------- --------------
Accumulated (distribution in excess of) net realized gain (loss) on
investments 10,829,750 33,779
- ------------------------------------------------------------------------- ----------------- --------------
Net unrealized appreciation (depreciation) 4,378,362) (12,770)
- ------------------------------------------------------------------------- ----------------- --------------
TOTAL NET ASSETS $ 107,317,176 $ 113,328,214
========================================================================= ================= ==============
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED, $0.001 PAR VALUE) 10,057,454 11,233,816
========================================================================= ================= ==============
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER SHARE $ 10.67 $ 10.09
========================================================================= ================= ==============
(1) Cost of cash denominated in foreign currencies - -
- ------------------------------------------------------------------------- ----------------- --------------
(2) Premiums on written options 80,584 -
- ------------------------------------------------------------------------- ----------------- --------------
</Table>
35
<Page>
Statement of Operations for the Six Months Ended October 31, 2003 (Unaudited)
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP INTERNATIONAL CORE PLUS
FUND FUND(a) EQUITY FUND BOND FUND
INVESTMENT INCOME
Interest $ 7,779 $ 2,232 $ 21,230 $ 3,008,482
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Dividends(1) 1,258,458 172,570 1,511,090 -
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
INVESTMENT INCOME 1,266,237 174,802 1,532,320 3,008,482
============================================================ ============ =========== ============= ===========
Advisory fees 409,226 240,540 497,625 252,895
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Directors' fees and expenses 3,308 2,043 3,308 3,308
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Custodian, transfer agent and fund accounting 62,555 16,651 146,967 63,228
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Professional 37,566 12,611 29,931 32,971
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Registration 9,421 3,970 9,357 9,519
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Miscellaneous 24,583 5,025 15,553 10,515
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 546,659 280,840 702,741 372,436
============================================================ ============ =========== ============= ===========
Less expense reimbursements and waivers (46,493) (13,574) (134,025) (47,286)
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND WAIVERS 500,166 267,266 568,716 325,150
============================================================ ============ =========== ============= ===========
NET INVESTMENT INCOME (LOSS) 766,071 (92,464) 963,604 2,683,332
============================================================ ============ =========== ============= ===========
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 1,581,709 1,880,222 2,986,804 2,046,593
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Financial futures contracts 15,493 - 217,705 503,940
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Written options - - - 155,090
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Foreign currency transactions (3,061) - (35,014) (634,542)
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
NET REALIZED GAIN 1,594,141 1,880,222 3,169,495 2,071,081
============================================================ ============ =========== ============= ===========
Change in unrealized appreciation (depreciation) on:
Investments 26,867,672 6,945,193 26,613,438 (2,076,329)
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Financial futures contracts - - - (381,782)
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Written options - - - 26,542
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
Foreign currency translations (8,715) - (233,058) 220,783
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 26,858,957 6,945,193 26,380,380 (2,210,786)
============================================================ ============ =========== ============= ===========
NET REALIZED AND UNREALIZED GAIN (LOSS): 28,453,098 8,825,415 29,549,875 (139,705)
============================================================ ============ =========== ============= ===========
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 29,219,169 $ 8,732,951 $ 30,513,479 $ 2,543,627
============================================================ ============ =========== ============= ===========
</Table>
(a) Fund commenced operations on September 2, 2003.
<Table>
(1) Dividend income is net of withholding taxes of: $ 2,173 $ 228 $ 186,334 $ -
- ------------------------------------------------------------ ------------ ----------- ------------- -----------
</Table>
See Notes to the Financial Statements.
36
<Page>
<Table>
<Caption>
CIF CIF
INFLATION-INDEXED SHORT DURATION
BOND FUND FUND
INVESTMENT INCOME
Interest $ 2,243,179 $ 728,217
- ------------------------------------------------------------ ----------------- --------------
Dividends(1) - -
- ------------------------------------------------------------ ----------------- --------------
INVESTMENT INCOME 2,243,179 728,217
============================================================ ================= ==============
Advisory fees 93,645 98,978
- ------------------------------------------------------------ ----------------- --------------
Directors' fees and expenses 3,308 3,308
- ------------------------------------------------------------ ----------------- --------------
Custodian, transfer agent and fund accounting 50,802 17,589
- ------------------------------------------------------------ ----------------- --------------
Professional 33,848 20,079
- ------------------------------------------------------------ ----------------- --------------
Registration 9,421 10,796
- ------------------------------------------------------------ ----------------- --------------
Miscellaneous 11,144 10,528
- ------------------------------------------------------------ ----------------- --------------
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 202,168 161,278
============================================================ ================= ==============
Less expense reimbursements and waivers (46,265) (31,044)
- ------------------------------------------------------------ ----------------- --------------
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND WAIVERS 155,903 130,234
============================================================ ================= ==============
NET INVESTMENT INCOME (LOSS) 2,087,276 597,983
============================================================ ================= ==============
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 7,421,955 1,178
- ------------------------------------------------------------ ----------------- --------------
Financial futures contracts (673,708) -
- ------------------------------------------------------------ ----------------- --------------
Written options 194,859 -
- ------------------------------------------------------------ ----------------- --------------
Foreign currency transactions - -
- ------------------------------------------------------------ ----------------- --------------
NET REALIZED GAIN 6,943,106 1,178
============================================================ ================= ==============
Change in unrealized appreciation (depreciation) on:
Investments (4,863,170) (67,981)
- ------------------------------------------------------------ ----------------- --------------
Financial futures contracts 4,694 -
- ------------------------------------------------------------ ----------------- --------------
Written options (22,566) -
- ------------------------------------------------------------ ----------------- --------------
Foreign currency translations - -
- ------------------------------------------------------------ ----------------- --------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (4,881,042) (67,981)
============================================================ ================= ==============
NET REALIZED AND UNREALIZED GAIN (LOSS): 2,062,064 (66,803)
============================================================ ================= ==============
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,149,340 $ 531,180
============================================================ ================= ==============
(1) Dividend income is net of withholding taxes of: $ - $ -
- ------------------------------------------------------------ ----------------- --------------
</Table>
37
<Page>
Statement of Changes in Net Assets
<Table>
<Caption>
CIF CORE EQUITY FUND CIF SMALL CAP FUND
----------------------------------- ------------------
SIX MONTHS ENDED YEAR ENDED PERIOD ENDED
OCTOBER 31, 2003 APRIL 30, 2003 OCTOBER 31, 2003(a)
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS:
Net investment income (loss) $ 766,071 $ 1,440,946 $ (92,464)
- ------------------------------------------------------------ --------------- --------------- ---------------
Net realized gain (loss) 1,594,141 (19,689,883) 1,880,222
- ------------------------------------------------------------ --------------- --------------- ---------------
Change in unrealized appreciation (depreciation) 26,858,957 (1,979,977) 6,945,193
- ------------------------------------------------------------ --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS 29,219,169 (20,228,914) 8,732,951
============================================================ =============== =============== ===============
DISTRIBUTIONS:
Net investment income (707,424) (1,435,841) -
- ------------------------------------------------------------ --------------- --------------- ---------------
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (707,424) (1,435,841) -
============================================================ =============== =============== ===============
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 18,323,099 43,318,229 152,365,022
- ------------------------------------------------------------ --------------- --------------- ---------------
Reinvestment of distributions 702,041 712,165 -
- ------------------------------------------------------------ --------------- --------------- ---------------
Cost of shares repurchased (1,700,450) (4,407,940) (396,918)
- ------------------------------------------------------------ --------------- --------------- ---------------
INCREASE FROM CAPITAL SHARE TRANSACTIONS 17,324,690 39,622,454 151,968,104
- ------------------------------------------------------------ --------------- --------------- ---------------
INCREASE IN NET ASSETS 45,836,435 17,957,699 160,701,055
============================================================ =============== =============== ===============
NET ASSETS
Beginning of period $ 154,010,966 $ 136,053,267 $ -
============================================================ =============== =============== ===============
END OF PERIOD $ 199,847,401 $ 154,010,966 $ 160,701,055
============================================================ =============== =============== ===============
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT
INCOME (LOSS) $ 74,685 $ 16,038 $ (92,464)
============================================================ =============== =============== ===============
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 20,898,891 15,606,622 -
- ------------------------------------------------------------ --------------- --------------- ---------------
Sold 2,301,649 5,837,279 15,236,578
- ------------------------------------------------------------ --------------- --------------- ---------------
Reinvestment of distributions 84,096 99,251 -
- ------------------------------------------------------------ --------------- --------------- ---------------
Repurchased (208,880) (644,261) (41,028)
- ------------------------------------------------------------ --------------- --------------- ---------------
INCREASE IN SHARES OUTSTANDING 2,176,865 5,292,269 15,195,550
- ------------------------------------------------------------ --------------- --------------- ---------------
SHARES OUTSTANDING AT END OF PERIOD 23,075,756 20,898,891 15,195,550
============================================================ =============== =============== ===============
</Table>
See Notes to the Financial Statements.
(a) Fund commenced operations on September 2, 2003.
38
<Page>
<Table>
<Caption>
CIF INTERNATIONAL EQUITY FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
OCTOBER 31, 2003 APRIL 30, 2003
(UNAUDITED)
FROM OPERATIONS:
Net investment income (loss) $ 963,604 $ 1,656,902
- ------------------------------------------------------------ --------------- ---------------
Net realized gain (loss) 3,169,495 (10,036,547)
- ------------------------------------------------------------ --------------- ---------------
Change in unrealized appreciation (depreciation) 26,380,380 (3,928,984)
- ------------------------------------------------------------ --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS 30,513,479 (12,308,629)
============================================================ =============== ===============
DISTRIBUTIONS:
Net investment income (1,579,377) (1,911,078)
- ------------------------------------------------------------ --------------- ---------------
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (1,579,377) (1,911,078)
============================================================ =============== ===============
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 6,065,575 36,404,119
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 1,579,299 540,915
- ------------------------------------------------------------ --------------- ---------------
Cost of shares repurchased (2,411,304) (1,628,290)
- ------------------------------------------------------------ --------------- ---------------
INCREASE FROM CAPITAL SHARE TRANSACTIONS 5,233,570 35,316,744
- ------------------------------------------------------------ --------------- ---------------
INCREASE IN NET ASSETS 34,167,672 21,097,037
============================================================ =============== ===============
NET ASSETS
Beginning of period $ 122,398,830 $ 101,301,793
============================================================ =============== ===============
END OF PERIOD $ 156,566,502 $ 122,398,830
============================================================ =============== ===============
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT
INCOME (LOSS) $ 733,713 $ 1,349,486
============================================================ =============== ===============
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 17,699,471 12,301,877
- ------------------------------------------------------------ --------------- ---------------
Sold 804,018 5,563,437
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 201,609 78,135
- ------------------------------------------------------------ --------------- ---------------
Repurchased (305,613) (243,978)
- ------------------------------------------------------------ --------------- ---------------
INCREASE IN SHARES OUTSTANDING 700,014 5,397,594
- ------------------------------------------------------------ --------------- ---------------
SHARES OUTSTANDING AT END OF PERIOD 18,399,485 17,699,471
============================================================ =============== ===============
</Table>
39
<Page>
<Table>
<Caption>
CIF CORE PLUS BOND FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
OCTOBER 31, 2003 APRIL 30, 2003
(UNAUDITED)
FROM OPERATIONS:
Net investment income $ 2,683,332 $ 7,136,454
- ------------------------------------------------------------ --------------- ---------------
Net realized gain 2,071,081 3,262,529
- ------------------------------------------------------------ --------------- ---------------
Change in unrealized appreciation (2,210,786) 3,550,310
- ------------------------------------------------------------ --------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 2,543,627 13,949,293
============================================================ =============== ===============
DISTRIBUTIONS:
Net investment income (2,520,808) (5,977,705)
- ------------------------------------------------------------ --------------- ---------------
Net realized gain - (2,081,762)
- ------------------------------------------------------------ --------------- ---------------
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (2,520,808) (8,059,467)
============================================================ =============== ===============
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 92,290,613 60,061,060
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 2,102,662 4,980,856
- ------------------------------------------------------------ --------------- ---------------
Cost of shares repurchased (98,526,620) (85,259,970)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (4,133,345) (20,218,054)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS (4,110,526) (14,328,228)
============================================================ =============== ===============
NET ASSETS
Beginning of period $ 147,677,369 $ 162,005,597
============================================================ =============== ===============
END OF PERIOD $ 143,566,843 $ 147,677,369
============================================================ =============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,477,599 $ 1,315,075
============================================================ =============== ===============
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 13,952,825 15,956,469
- ------------------------------------------------------------ --------------- ---------------
Sold 8,619,006 5,778,912
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 198,312 484,390
- ------------------------------------------------------------ --------------- ---------------
Repurchased (9,175,389) (8,266,946)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN SHARES OUTSTANDING (358,071) (2,003,644)
- ------------------------------------------------------------ --------------- ---------------
SHARES OUTSTANDING AT END OF PERIOD 13,594,754 13,952,825
============================================================ =============== ===============
<Caption>
CIF INFLATION-INDEXED BOND FUND
----------------------------------
SIX MONTHS ENDED YEAR ENDED
OCTOBER 31, 2003 APRIL 30, 2003
(UNAUDITED)
FROM OPERATIONS:
Net investment income $ 2,087,276 $ 10,438,084
- ------------------------------------------------------------ --------------- ---------------
Net realized gain 6,943,106 14,631,515
- ------------------------------------------------------------ --------------- ---------------
Change in unrealized appreciation (4,881,042) 4,448,976
- ------------------------------------------------------------ --------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 4,149,340 29,518,575
============================================================ =============== ===============
DISTRIBUTIONS:
Net investment income (2,194,165) (11,578,425)
- ------------------------------------------------------------ --------------- ---------------
Net realized gain - (11,262,021)
- ------------------------------------------------------------ --------------- ---------------
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (2,194,165) (22,840,446)
============================================================ =============== ===============
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 20,800,001 14,105,306
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 1,563,312 15,327,475
- ------------------------------------------------------------ --------------- ---------------
Cost of shares repurchased (68,595,230)* (151,185,337)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (46,231,917) $ (121,752,556)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS (44,276,742) (115,074,427)
============================================================ =============== ===============
NET ASSETS
Beginning of period $ 151,593,918 $ 266,668,345
============================================================ =============== ===============
END OF PERIOD $ 107,317,176 $ 151,593,918
============================================================ =============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME $ 31,399 $ 138,288
============================================================ =============== ===============
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 14,574,271 25,847,717
- ------------------------------------------------------------ --------------- ---------------
Sold 1,955,392 1,321,018
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 146,385 1,485,428
- ------------------------------------------------------------ --------------- ---------------
Repurchased (6,618,594)* (14,079,892)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN SHARES OUTSTANDING (4,516,817) (11,273,446)
- ------------------------------------------------------------ --------------- ---------------
SHARES OUTSTANDING AT END OF PERIOD 10,057,454 14,574,271
============================================================ =============== ===============
</Table>
See Notes to the Financial Statements.
* On August 4, 2003, the Inflation-Indexed Fund incurred an in-kind
redemption of 4,863,813 shares, valued at $50,000,000, resulting in a net
realized gain of $1,698,711.
40
<Page>
<Table>
<Caption>
CIF SHORT DURATION FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
OCTOBER 31, 2003 APRIL 30, 2003
(UNAUDITED)
FROM OPERATIONS:
Net investment income $ 597,983 $ 1,228,261
- ------------------------------------------------------------ --------------- ---------------
Net realized gain 1,178 40,907
- ------------------------------------------------------------ --------------- ---------------
Change in unrealized appreciation (67,981) (21,063)
- ------------------------------------------------------------ --------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 531,180 1,248,105
============================================================ =============== ===============
DISTRIBUTIONS:
Net investment income (602,144) (1,222,666)
- ------------------------------------------------------------ --------------- ---------------
Net realized gain - (28,947)
- ------------------------------------------------------------ --------------- ---------------
DECREASE IN NET ASSETS RESULTING FROM DISTRIBUTIONS (602,144) (1,251,613)
============================================================ =============== ===============
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 99,241,842 92,132,065
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 577,813 1,192,922
- ------------------------------------------------------------ --------------- ---------------
Cost of shares repurchased (65,107,942) (87,503,963)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 34,711,713 5,821,024
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS 34,640,749 5,817,516
============================================================ =============== ===============
NET ASSETS
Beginning of period $ 78,687,465 $ 72,869,949
============================================================ =============== ===============
END OF PERIOD $ 113,328,214 $ 78,687,465
============================================================ =============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,434 $ 5,595
============================================================ =============== ===============
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 7,799,343 7,219,695
- ------------------------------------------------------------ --------------- ---------------
Sold 9,826,448 9,127,373
- ------------------------------------------------------------ --------------- ---------------
Reinvestment of distributions 57,259 118,270
- ------------------------------------------------------------ --------------- ---------------
Repurchased (6,449,234) (8,665,995)
- ------------------------------------------------------------ --------------- ---------------
INCREASE (DECREASE) IN SHARES OUTSTANDING 3,434,473 579,648
- ------------------------------------------------------------ --------------- ---------------
SHARES OUTSTANDING AT END OF PERIOD 11,233,816 7,799,343
============================================================ =============== ===============
</Table>
41
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Financial Highlights for a Share Outstanding Throughout the Period
<Table>
<Caption>
CIF CORE EQUITY FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED
OCTOBER 31, 2003 YEARS ENDED APRIL 30, PERIOD ENDED
(UNAUDITED) 2003 2002 APRIL 30, 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.37 $ 8.72 $ 9.56 $ 10.00
=================================================== =========== =========== =========== ===========
Income from Investment Operations:
Net investment income (loss) 0.03 0.07 0.06 0.03
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments 1.29 (1.35) (0.84) (0.44)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total from Investment Operations: 1.32 (1.28) (0.78) (0.41)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Less Distributions from:
Net investment income (0.03) (0.07) (0.06) (0.03)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total distributions (0.03) (0.07) (0.06) (0.03)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value 1.29 (1.35) (0.84) (0.44)
- --------------------------------------------------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.66 $ 7.37 $ 8.72 $ 9.56
- --------------------------------------------------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 17.94%** (14.65%) (8.13%) (4.09%)**
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net Assets, end of period (000's) $ 199,847 $ 154,011 $ 136,053 $ 104,813
- --------------------------------------------------- ----------- ----------- ----------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 0.84%* 1.02% 0.71% 1.07%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) 0.79%* 0.98% 0.67% 0.80%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 0.55%* 0.55% 0.55% 0.55%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 0.60%* 0.59% 0.59% 0.82%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Portfolio Turnover 65%** 66% 66% 20%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
(a) Fund commenced operations on January 2, 2001.
(b) Fund commenced operations on September 2, 2003.
(c) Total return would have been lower had certain expenses not been reimbursed
or waived.
42
<Page>
<Table>
<Caption>
CIF SMALL CAP FUND
------------------
PERIOD ENDED
OCTOBER 31, 2003
(UNAUDITED)(b)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=================================================== ===========
Income from Investment Operations:
Net investment income (loss) (0.01)
- --------------------------------------------------- -----------
Net realized and unrealized gain
(loss) on investments 0.59
- --------------------------------------------------- -----------
Total from Investment Operations: 0.58
- --------------------------------------------------- -----------
Less Distributions from:
Net investment income --
- --------------------------------------------------- -----------
Total distributions --
- --------------------------------------------------- -----------
Net increase (decrease) in net asset value 0.58
- --------------------------------------------------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.58
- --------------------------------------------------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 5.70%**
- --------------------------------------------------- -----------
Net Assets, end of period (000's) $ 160,701
- --------------------------------------------------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) (0.35)%*
- --------------------------------------------------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) (0.40)%*
- --------------------------------------------------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 1.00%*
- --------------------------------------------------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 1.05%*
- --------------------------------------------------- -----------
Portfolio Turnover 31%**
- --------------------------------------------------- -----------
<Caption>
CIF INTERNATIONAL EQUITY FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED
OCTOBER 31, 2003 YEARS ENDED APRIL 30, PERIOD ENDED
(UNAUDITED) 2003 2002 APRIL 30, 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.92 $ 8.23 $ 9.37 $ 10.00
=================================================== =========== =========== =========== ===========
Income from Investment Operations:
Net investment income (loss) 0.05 0.10 0.08 0.04
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized and unrealized gain
(loss) on investments 1.63 (1.28) (1.12) (0.63)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total from Investment Operations: 1.68 (1.18) (1.04) (0.59)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Less Distributions from:
Net investment income (0.09) (0.13) (0.10) (0.04)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total distributions (0.09) (0.13) (0.10) (0.04)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value 1.59 (1.31) (1.14) (0.63)
- --------------------------------------------------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.51 $ 6.92 $ 8.23 $ 9.37
- --------------------------------------------------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 24.34%** (14.29%) (11.10%) (5.89%)**
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net Assets, end of period (000's) $ 156,567 $ 122,399 $ 101,302 $ 98,887
- --------------------------------------------------- ----------- ----------- ----------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 1.35%* 1.63% 1.01% 1.37%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) 1.16%* 1.41% 0.54% 1.08%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 0.80%* 0.80% 0.80% 0.80%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 0.99%* 1.02% 1.27% 1.09%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Portfolio Turnover 91%** 61% 66% 21%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
</Table>
43
<Page>
<Table>
<Caption>
CIF CORE PLUS BOND FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED
OCTOBER 31, 2003 YEARS ENDED APRIL 30, PERIOD ENDED
(UNAUDITED) 2003 2002 APRIL 30, 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.58 $ 10.15 $ 10.00 $ 10.00
=================================================== =========== =========== =========== ===========
Income from Investment Operations:
Net investment income 0.20 0.51 0.51 0.15
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized and unrealized gain
(loss) on investment (0.03) 0.53 0.28 (0.02)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total from Investment Operations: 0.17 1.04 0.79 0.13
- --------------------------------------------------- ----------- ----------- ----------- -----------
Less Distributions from:
Net investment income (0.19) (0.43) (0.52) (0.13)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized gain on investments - (0.18) (0.12) -
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total distributions (0.19) (0.61) (0.64) (0.13)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value (0.02) 0.43 0.15 -
- --------------------------------------------------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.56 $ 10.58 $ 10.15 $ 10.00
- --------------------------------------------------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 1.57%** 10.51% 8.02% 1.33%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net Assets, end of period (000's) $ 143,567 $ 147,677 $ 162,006 $ 132,265
- --------------------------------------------------- ----------- ----------- ----------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 3.71%* 4.95% 5.01% 4.61%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) 3.64%* 4.90% 4.96% 4.37%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 0.45%* 0.45% 0.45% 0.45%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 0.52%* 0.50% 0.50% 0.69%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Portfolio Turnover 336%** 455% 480% 356%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
^ Calculates to less than $0.01.
(a) Fund commenced operations on January 2, 2001.
(b) Fund commenced operations on May 1, 2000.
(c) Total return would have been lower had certain expenses not been reimbursed
or waived.
(d) See Note 2.
44
<Page>
<Table>
<Caption>
CIF INFLATION-INDEXED BOND FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED
OCTOBER 31, 2003 YEARS ENDED APRIL 30, PERIOD ENDED
(UNAUDITED) 2003 2002 APRIL 30, 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.40 $ 10.32 $ 10.40 $ 10.00
=================================================== =========== =========== =========== ===========
Income from Investment Operations:
Net investment income 0.18 0.59 0.43(d) 0.19
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized and unrealized gain
(loss) on investment 0.28 0.83 0.24(d) 0.33
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total from Investment Operations: 0.46 1.42 0.67 0.52
- --------------------------------------------------- ----------- ----------- ----------- -----------
Less Distributions from:
Net investment income (0.19) (0.63) (0.45) (0.12)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized gain on investments - (0.71) (0.30) -
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total distributions (0.19) (1.34) (0.75) (0.12)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value 0.27 0.08 (0.08) 0.40
- --------------------------------------------------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.40 $ 10.32 $ 10.40
- --------------------------------------------------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 4.45%** 14.22% 6.71% 5.27%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net Assets, end of period (000's) $ 107,317 $ 151,594 $ 266,668 $ 275,342
- --------------------------------------------------- ----------- ----------- ----------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 3.35%* 5.23% 4.12%(d) 6.99%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) 3.28%* 5.19% 4.11%(d) 6.77%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 0.25%* 0.25% 0.25% 0.25%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 0.32%* 0.29% 0.26% 0.47%*
- --------------------------------------------------- ----------- ----------- ----------- -----------
Portfolio Turnover 112%** 78% 185% 182%**
- --------------------------------------------------- ----------- ----------- ----------- -----------
<Caption>
CIF SHORT DURATION FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED
OCTOBER 31, 2003 YEARS ENDED APRIL 30, PERIOD ENDED
(UNAUDITED) 2003 2002 APRIL 30, 2001(b)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.09 $ 10.09 $ 10.09 $ 10.00
=================================================== =========== =========== =========== ===========
Income from Investment Operations:
Net investment income 0.06 0.19 0.33 0.59
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on inve -^ -^ 0.02 0.09
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total from Investment Operations: 0.06 0.19 0.35 0.68
- --------------------------------------------------- ----------- ----------- ----------- -----------
Less Distributions from:
Net investment income (0.06) (0.19) (0.34) (0.58)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net realized gain on investments - -^ (0.01) (0.01)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Total distributions (0.06) (0.19) (0.35) (0.59)
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net asset value - - - 0.09
- --------------------------------------------------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.09 $ 10.09 $ 10.09 $ 10.09
- --------------------------------------------------- ----------- ----------- ----------- -----------
RATIOS/SUPPLEMENTAL DATA
Total Return(c) 0.57%** 1.94% 3.52% 6.95%
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net Assets, end of period (000's) $ 113,328 $ 78,687 $ 72,870 $ 35,911
- --------------------------------------------------- ----------- ----------- ----------- -----------
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 1.15%* 1.83% 3.22% 5.93%
- --------------------------------------------------- ----------- ----------- ----------- -----------
Net investment income (before reimbursement
and waiver of certain operating expenses) 1.09%* 1.71% 3.10% 5.46%
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (after reimbursement
and waiver of certain operating expenses) 0.25%* 0.25% 0.25% 0.25%
- --------------------------------------------------- ----------- ----------- ----------- -----------
Operating expenses (before reimbursement
and waiver of certain operating expenses) 0.31%* 0.37% 0.37% 0.72%
- --------------------------------------------------- ----------- ----------- ----------- -----------
Portfolio Turnover 26%** 84% 202% 129%
- --------------------------------------------------- ----------- ----------- ----------- -----------
</Table>
45
<Page>
NOTES TO FINANCIAL STATEMENTS FOR COMMONFUND INSTITUTIONAL FUNDS (UNAUDITED)
1. ORGANIZATION
Commonfund Institutional Funds (the "Company") was established as a Delaware
business trust under an Agreement and Declaration of Trust dated August 7, 1999
and is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end, management investment company. The Company
currently consists of six diversified series (each a "Fund" and collectively the
"Funds"), CIF Core Equity Fund, CIF Small Cap Fund, CIF International Equity
Fund, CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond Fund, and CIF Short
Duration Fund each of which operates as a distinct investment vehicle of the
Company. Commonfund Asset Management Company, Inc. ("COMANCO") manages each of
the Funds. Each Fund seeks to improve the net investment returns of its
shareholders with its own investment objectives and policies. There can be no
assurance that any Fund will achieve its investment objective.
A new series of shares were issued named the CIF Small Cap Fund with an
inception date of September 2, 2003.
Fund objectives:
CIF Core Equity Fund, CIF Small Cap Fund, and CIF International Equity Fund
seek to provide long-term capital appreciation.
CIF Core Plus Bond Fund seeks to provide high current income and price
appreciation.
CIF Inflation-Indexed Bond Fund seeks to maximize real return to the extent
consistent with preservation of capital and liquidity.
CIF Short Duration Fund seeks to provide current interest income with some
price appreciation, each consistent with liquidity and safety of principal.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in conformity with accounting
principles generally accepted in the United States of America, which require
management to make estimates and assumptions in the preparation of the financial
statements. Actual results could differ from these estimates or assumptions.
The following is a summary of significant accounting policies, which are in
conformity with accounting principles generally accepted in the United States of
America, and are consistently followed by the Company in the preparation of its
financial statements:
SECURITY VALUATION
Equity securities listed on securities exchanges are valued at last sale prices
except for those securities reported through the NASDAQ system which use the
NASDAQ Official Closing Price. In the absence of a last sale price or the
closing price from the NASDAQ system, the current bid price is used. Unlisted
securities are valued at the current bid prices obtained from reputable brokers.
Corporate debt securities and debt securities of the U.S. Government and its
agencies (other than short-term investments which mature in less than sixty
days) are valued by an independent pricing service approved by the Board of
Directors, which utilizes market quotations and transactions, quotations from
dealers and various relationships among securities in determining value. If not
valued by a pricing service, such securities are valued at prices obtained from
independent brokers. Investments with prices that cannot be readily obtained are
carried at fair value as determined in good faith under consistently applied
procedures established by and under the supervision of the Board of Directors.
Short-term investments with an original maturity of 60 days or less are valued
at amortized cost which approximates market value. Purchased options are
generally valued at the last sale price. If the last sale price is not
available, the current bid price is used. Written options are generally valued
at the last trade price. If the last trade price is not available, the ask price
is used.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are recorded as of trade date. Realized gains and losses
from security transactions are determined on the basis of identified cost.
Interest income, including amortization of premium and accretion of discount on
securities, is accrued daily. Dividend income is recorded on the ex-dividend
date. Foreign income and foreign capital gains realized on some foreign
securities may be subject to foreign withholding taxes, which are accrued as
applicable. Gains and losses realized on prepayments received on
mortgage-related securities are recorded in interest income. Most expenses of
the Company can be directly attributed to a particular Fund. Expenses which
cannot be directly attributed are apportioned among the Funds based upon
relative net assets or other appropriate methods.
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders resulting from net investment income are recorded on
the ex-dividend date. The dividends are paid quarterly for CIF Core Equity Fund,
CIF Small Cap Fund and CIF International Equity Fund, and monthly for CIF Core
Plus Bond Fund, CIF Inflation-Indexed Bond Fund and CIF Short Duration Fund. Net
realized capital gains, if any, are distributed at least annually. Income and
capital gains distributions are determined in accordance with income tax
regulations which may differ from accounting principles generally accepted in
the United States of America. These differences are primarily due to differing
book and tax treatments in the timing of the recognition of gains or losses,
including "Post-October Losses" and losses deferred due to wash sales; and
permanent differences due to differing treatments for foreign currency
transactions and non-taxable dividends. Any taxable income or gain remaining at
fiscal year end is distributed in the following year. Permanent book and tax
basis differences relating to shareholder distributions will result in
reclassifications among the components of capital. Undistributed net investment
income may include temporary book and tax basis differences which will reverse
in a subsequent period. Permanent book-tax differences, if any, are not included
in ending undistributed net investment income for the purpose of calculating net
investment income per share in the Financial Highlights.
SWAP AGREEMENTS
Certain Funds may enter into swap agreements to exchange one return or cash flow
for another return or cash flow in order to hedge against unfavorable changes in
the value of securities or to remain fully invested and to reduce transaction
costs. Interest rate swaps involve the exchange of commitments to pay and
receive interest based on a notional principal amount. Net periodic interest
payments to be received or paid are accrued daily. Interest rate swaps are
marked-to-market daily based upon quotations from market makers and the change,
if any, is recorded as unrealized appreciation or depreciation in the Statement
of Operations. Realized gains or losses on maturity or termination of interest
rate swaps are presented in the Statement of Operations. Because there is no
organized market for these swap agreements, the value reported in the Statement
of Assets and Liabilities may differ from that which would be realized in the
event the Fund terminated its position in the agreement. Credit risks may arise
upon entering into these agreements from the potential inability of the
counterparties to meet the terms of the agreements and are generally limited to
the amount of net interest payments to be received and/or favorable movements in
the value of the underlying security, if any, at the date of default. Risks also
arise from potential for
46
<Page>
losses from adverse market movements; and such losses could exceed the related
amounts shown in the Statement of Assets and Liabilities. The Funds entered into
no such agreements during the six months ended October 31, 2003.
WHEN-ISSUED/DELAYED DELIVERY SECURITIES
The Funds may purchase or sell securities on a when-issued or delayed delivery
basis. Securities traded on a when-issued basis are traded for delivery beyond
the normal settlement date at a stated price and yield, and no income accrues to
the purchaser prior to delivery. Purchasing or selling securities on a
when-issued or delayed delivery basis involves the risk that the market price at
the time of delivery may be lower or higher than the agreed upon price, in which
case an unrealized loss may be incurred at the time of delivery.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The books and records of the Funds are maintained in U.S. dollars. Foreign
currency amounts are translated into U.S. dollars at the mean of the bid and
asked prices of such currencies against U.S. dollars last quoted by a major bank
as follows:
-- investments, other assets and liabilities -- at the prevailing rates of
exchange on the valuation date;
-- investment transactions, investment income and expenses -- at the
prevailing rates of exchange on the dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange
rates and market prices at the close of the period, the Funds do not isolate
that portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of the securities held at period end. Similarly, the Funds do not isolate
the effect of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities sold during the period.
Accordingly, realized and unrealized foreign currency gains (losses) on
investments in securities are included in the reported net realized and
unrealized gains (losses) on investment transactions and balances.
Net realized gains (losses) on foreign currency transactions represent net
foreign exchange gains (losses) from foreign currency exchange contracts,
disposition of foreign currencies, currency gains or losses realized between the
trade and settlement dates on securities transactions, and the difference
between the amount of investment income and foreign taxes recorded on each of
the Fund's books and the U.S. dollar equivalent of amounts actually received or
paid. Net unrealized currency gains (losses) from valuing foreign currency
denominated assets and liabilities at period end exchange rates are reflected as
a component of unrealized appreciation (depreciation) in the Statement of Assets
and Liabilities. The change in net unrealized foreign currency gains (losses)
for the period is reflected in the Statement of Operations.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, fluctuations of exchange rates
in relation to the U.S. dollar, the possibility of lower levels of government
supervision and regulation of foreign securities markets and the possibility of
political or economic instability.
FOREIGN CURRENCY CONTRACTS
Certain Funds may enter into foreign currency contracts generally to attempt to
protect securities and related receivables and payables against changes in
future foreign currency rates and, in certain situations, to gain exposure to
foreign currencies. A foreign currency contract is an agreement between two
parties to buy or sell currency at a set price on a future date. The value of
the contract will fluctuate with changes in currency exchange rates. The
contract is marked-to-market daily and the change in value is recorded by the
Funds as unrealized gain or loss. The Funds record realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Credit risk
may arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and is generally limited to
the amount of the unrealized gains on the contracts, if any, at the date of
default. Risks may also arise from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. See Schedules of Investments for
all open forward foreign currency contracts at October 31, 2003.
FUTURES
Certain Funds may use futures contracts in order to manage their exposure to the
stock and bond markets, to hedge against unfavorable changes in the value of
securities or to remain fully invested and to reduce transaction costs. Futures
contracts provide for the sale by one party and purchase by another party of a
specified amount of a specified security, index or instrument. Futures contracts
(for which cash, government securities or other high grade liquid investments is
pledged as collateral with brokers or custodians as "initial margin") are valued
based upon their quoted daily settlement prices; changes in initial settlement
value (represented by cash paid to or received from brokers as "variation
margin") are accounted for as unrealized appreciation (depreciation). When
futures contracts are closed, the difference between the opening value at the
date the contract was entered into and the value at closing is recorded as
realized gains or losses in the Statement of Operations.
Futures contracts involve market risk in excess of the amounts recognized in
the Statement of Assets and Liabilities. Risks arise from the possible movements
in security values underlying these instruments. The change in value of futures
contracts primarily corresponds with the value of their underlying instruments,
which may not correlate with the change in value of hedged investments. See
Schedules of Investments for all open futures contracts at October 31, 2003.
PURCHASED AND WRITTEN OPTIONS
Certain Funds may write covered call and put options on portfolio securities and
other financial instruments. Premiums are received and are recorded as
liabilities. The liabilities are subsequently adjusted to reflect the current
value of the options written. Premiums received from writing options which
expire are treated as realized gains. Premiums received from writing options
which are exercised or are closed are added to or offset against the proceeds or
amount paid on the transaction to determine the net realized gain or loss. By
writing a covered call option, a Fund, in exchange for the premium, foregoes the
opportunity for capital appreciation above the exercise price should the market
price of the underlying security increase. By writing a put option, a Fund, in
exchange for the premium, accepts the risk of having to purchase a security at
an exercise price that is above the current market price. The writer for an
option may incur losses in excess of the amounts included in the Statement of
Assets and Liabilities.
Certain Funds may purchase call and put options on their portfolio securities
or other financial instruments. The Funds may purchase call options to protect
against an increase in the price of the security or financial instrument it
anticipates purchasing. The Funds may purchase put options on securities which
it holds or other financial instruments to protect against a decline in the
value of the security or financial instrument or to close out covered written
put positions.
47
<Page>
Risks may arise from an imperfect correlation between the change in market value
of the securities held by the Funds and the prices of options relating to the
securities purchased or sold by the Funds and from the possible lack of a liquid
secondary market for an option. The maximum exposure to loss for any purchased
option is limited to the premium initially paid for the option. See Schedules of
Investments for all open option contracts at October 31, 2003.
3. INVESTMENT ADVISORY FEES AND OTHER RELATED PARTY TRANSACTIONS
The Company has retained the services of COMANCO, an indirect wholly owned
subsidiary of The Common Fund for Nonprofit Organizations ("Commonfund"), as
investment manager. COMANCO exercises overall responsibility for supervision of
the investment program for the Funds but has contracted out the day-to-day
management of the investment operations of the Funds to sub-advisers, who are
compensated by COMANCO. As compensation for the services rendered by COMANCO
under the investment advisory agreement with the Company, COMANCO receives a fee
from the Funds, which is computed daily and generally paid quarterly. The Funds
pay COMANCO an annual fee shown as a percentage of average net assets for its
services, as follows:
<Table>
<Caption>
FUND EFFECTIVE RATE
- ----------------------------------------------------------------
CIF Core Equity Fund 0.45%
- ----------------------------------------------------------------
CIF Small Cap Fund 0.90%
- ----------------------------------------------------------------
CIF International Equity Fund 0.70%
- ----------------------------------------------------------------
CIF Core Plus Bond Fund 0.35%
- ----------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 0.15-0.35%*
- ----------------------------------------------------------------
CIF Short Duration Fund 0.19%
- ----------------------------------------------------------------
</Table>
* The Investment Advisory Fees vary with Fund performance. The total advisory
fee payable by the Fund will be 0.25% (25 basis points) per annum of assets
under management if the return of the Fund is 50 basis points above the Lehman
U.S. TIPS Index for the prior twelve months ("fulcrum point"), and will vary
upwards or downwards by an amount equal to 20% of any performance above or
below the fulcrum point. In no event will the fee exceed 35 basis points or
decline below 15 basis points.
The Company and Investors Bank & Trust Company ("IBT Co.") have entered into
an administration agreement (the "Administration Agreement"), a custodian
agreement and a transfer agency and service agreement, pursuant to which IBT Co.
will provide general fund administration services to the Funds including, fund
administration, fund accounting, custody and transfer agent services.
The Company has entered into a distribution agreement with Commonfund
Securities, Inc. ("Commonfund Securities"), an indirect wholly owned subsidiary
of Commonfund and an affiliate of COMANCO, to serve as principal distributor for
shares of each Fund. COMANCO has agreed to pay Commonfund Securities for
services rendered to the Company and thus the Funds are not charged for these
services.
The Company will pay each Director, other than Directors that are officers of
COMANCO, an annual fee of $12,000 plus reimbursement of out-of-pocket expenses.
4. PRINCIPAL SHAREHOLDERS
The following table shows certain concentrations of principal shareholders of
each Fund as of October 31, 2003. Investment activities of these shareholders
could have a material effect on the Fund.
<Table>
<Caption>
SHAREHOLDERS
HOLDING IN EXCESS OF
10% OF FUND'S TOTAL % OWNED TOTAL %
OUTSTANDING SHARES BY PRINCIPAL OWNERSHIP BY
FUND ("PRINCIPAL SHAREHOLDERS") SHAREHOLDERS COMMONFUND
- ------------------------------------------------------------------------------------------
CIF Core Equity Fund 1 43.5% 43.5%
- ------------------------------------------------------------------------------------------
CIF Small Cap Fund 1 89.5% 89.5%
- ------------------------------------------------------------------------------------------
CIF International Equity Fund 2 70.1% 55.0%
- ------------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 3 53.0% 0.0%
- ------------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 2 51.1% 0.0%
- ------------------------------------------------------------------------------------------
CIF Short Duration Fund 1 12.1% 14.7%
- ------------------------------------------------------------------------------------------
</Table>
5. EXPENSE LIMITATIONS AND UNDERTAKINGS
COMANCO has contractually agreed that it will waive its fee or reimburse the
Funds for expenses so long as it serves as investment manager of a Fund to the
extent necessary to maintain each individual Fund's total operating expenses
from exceeding a certain percentage of average daily net assets per year stated
in the following table. This agreement may be amended only with the approval of
the Board of Directors of the Company.
<Table>
<Caption>
MAXIMUM OPERATING
EXPENSES AS A % OF
FUND AVERAGE DAILY NET ASSETS
- -------------------------------------------------------------
CIF Core Equity Fund 0.55%
- -------------------------------------------------------------
CIF Small Cap Fund 1.00%
- -------------------------------------------------------------
CIF International Equity Fund 0.80%*
- -------------------------------------------------------------
CIF Core Plus Bond Fund 0.45%
- -------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 0.25%**
- -------------------------------------------------------------
CIF Short Duration Fund 0.25%
- -------------------------------------------------------------
</Table>
* Effective November 1, 2003, the expense cap for the Fund will increase from
0.80% to 0.95%.
** COMANCO has contractually agreed to waive fees and to reimburse expenses, so
long as it serves as Investment Manager to the Fund, in order to keep Other
Expenses from exceeding 10 basis points of average daily net assets. This fee
waiver and expense reimbursement agreement may be amended or terminated only
with the consent of the Board of Directors. The Investment advisory fees paid
for the six months ended October 31, 2003 were equal to 0.15% of average net
assets, but can vary from 0.15%-0.35% as more fully described in Note 3.
6. FEDERAL TAXES
Each Fund intends to continue to qualify as a "Regulated Investment Company"
under Subchapter M of the Internal Revenue Code of 1986, as amended. By so
qualifying, a Fund will not be subject to Federal income taxes to the extent
that it distributes all of its taxable income and net realized gains, if any,
for its fiscal year. In addition, by distributing during each calendar year
substantially all of its net investment income, capital gains and certain other
amounts, if any, a Fund will not be subject to Federal excise tax. Therefore, no
Federal income tax provision is required.
48
<Page>
At October 31, 2003, the cost of securities for Federal income tax purposes
and the unrealized appreciation (depreciation) of investments for Federal income
tax purposes for each Fund were as follows:
<Table>
<Caption>
FEDERAL GROSS GROSS NET UNREALIZED
INCOME UNREALIZED UNREALIZED APPRECIATION/
FUND TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
- ------------------------------------------------------------------------------------------
CIF Core Equity Fund $ 180,637,914 $ 20,038,510 $ (3,347,759) $ 16,690,751
- ------------------------------------------------------------------------------------------
CIF International
Equity Fund 137,908,182 13,400,727 (1,726,114) 11,674,613
- ------------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 148,265,505 4,226,212 (1,591,968) 2,634,244
- ------------------------------------------------------------------------------------------
CIF Inflation-Indexed
Bond Fund 94,666,174 3,831,228 (7,587) 3,823,641
- ------------------------------------------------------------------------------------------
CIF Short Duration Fund 111,564,930 96,937 (109,707) (12,770)
- ------------------------------------------------------------------------------------------
CIF Small Cap Fund 150,597,603 11,252,678 (4,523,657) 6,729,021
- ------------------------------------------------------------------------------------------
</Table>
7. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the six months ended October 31, 2003 were
as follows:
LONG-TERM PURCHASES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- ----------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 142,401,950 $ 142,401,950
- ----------------------------------------------------------------------------------------
CIF Small Cap Fund - 194,799,210 194,799,210
- ----------------------------------------------------------------------------------------
CIF International Equity Fund - 129,741,866 129,741,866
- ----------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 469,254,618 31,224,159 500,478,777
- ----------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 102,340,990 - 102,340,990
- ----------------------------------------------------------------------------------------
CIF Short Duration Fund 8,686,642 31,034,246 39,720,888
- ----------------------------------------------------------------------------------------
</Table>
LONG-TERM SALES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- ----------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 123,864,432 $ 123,864,432
- ----------------------------------------------------------------------------------------
CIF Small Cap Fund - 46,298,000 46,298,000
- ----------------------------------------------------------------------------------------
CIF International Equity Fund - 125,902,714 125,902,714
- ----------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 458,964,411 34,016,892 492,981,303
- ----------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 156,257,448 - 156,257,448
- ----------------------------------------------------------------------------------------
CIF Short Duration Fund 2,577,078 15,792,975 18,370,053
- ----------------------------------------------------------------------------------------
</Table>
8. WRITTEN OPTIONS
The following table summarizes the written option transactions for CIF Core Plus
Bond Fund and CIF Inflation-Indexed Bond Fund for the six months ended October
31, 2003:
CIF Core Plus Bond Fund
<Table>
<Caption>
PUTS CALLS
- -------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- -------------------------------------------------------------------------------
Outstanding, beginning of period 52 $ 54,052 33 $ 25,851
- -------------------------------------------------------------------------------
Options written 572 164,324 199 185,302
- -------------------------------------------------------------------------------
Options exercised 10 9,013 17 16,431
- -------------------------------------------------------------------------------
Options expired 12 8,190 38 34,872
- -------------------------------------------------------------------------------
Options sold 78 84,984 76 61,324
- -------------------------------------------------------------------------------
Outstanding, end of period 524 $ 116,189 101 $ 98,526
- -------------------------------------------------------------------------------
</Table>
CIF Inflation-Indexed Bond Fund
<Table>
<Caption>
PUTS CALLS
- -------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- -------------------------------------------------------------------------------
Outstanding, beginning of period 0 $ 0 192 $ 132,166
- -------------------------------------------------------------------------------
Options written 383 222,489 330 224,195
- -------------------------------------------------------------------------------
Options exercised 0 0 222 148,578
- -------------------------------------------------------------------------------
Options expired 0 0 8 4,585
- -------------------------------------------------------------------------------
Options sold 305 162,429 253 182,674
- -------------------------------------------------------------------------------
Outstanding, end of period 78 $ 60,060 39 $ 20,524
- -------------------------------------------------------------------------------
</Table>
9. FINANCIAL INSTRUMENTS WITH CONCENTRATIONS OF CREDIT RISK
Certain Funds invests in various fixed and adjustable rate mortgage-related
securities. Yields on mortgage-related securities are affected by prevailing
interest rates, prepayment rates and other factors, which are influenced by a
variety of economic, geographic, social and other factors. The Fund may invest a
significant portion of its portfolio in various financial service issuers and in
asset-backed securities collateralized by auto loans, credit card receivables or
mortgages.
10. CONTINGENCIES AND COMMITMENTS
In the normal course of business the Funds enter into contracts that contain a
variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
11. SUBSEQUENT EVENTS
At its meeting held on November 12, 2003, the Board of Directors of the Company
unanimously approved a motion authorizing the filing with the S.E.C. of an
amendment to the Company's Registration Statement to add a new series of shares,
the CIF All Cap Equity Fund. The amendment was filed on November 14, 2003, and
is scheduled to be effective on January 30, 2004.
Effective November 21, 2003, David M. Lascell resigned as a Director of the
Company.
49
<Page>
DIRECTORS AND OFFICERS (UNAUDITED)
The following table lists the Company's directors and officers, their address
and age, their position with the Company, the length of time holding that
position with the Company, their principal occupation(s) during the past five
years, the number of portfolios in the fund complex they oversee, and other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies. The Company's Statement of
Additional Information includes additional information about the Company's
directors and is available, without charge, upon request by calling
1-888-TCF-MAIN or by writing The Commonfund, 15 Old Danbury Road, Wilton, CT
06897-0812.
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND TERM PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR OF OFFICE OTHER DIRECTORSHIPS HELD
- -------------------------------- ------------- -------------------- -------------------------------------------------------
INDEPENDENT DIRECTORS
John B. Carroll 6 Director since 1999. Retired since 2001. President of GTE (Verizon)
J2025 Main Street Investment Management Corporation (communications)
Ridgefield, CT 06877 (1997-2000); Vice President of Investment Management
Age: 67 for GTE (Verizon) Corporation (communications)
(1984-1997).
Trustee of iShares Trust and Director of iShares, Inc.
since 1996; and Director of the J.P. Morgan Private
Equity Funds since 1998. Formerly, Trustee and Member
of the Executive Committee of Commonfund (1991-1997).
Louis W. Moelchert, Jr. 6 Director since 1999. President & Owner of Private Advisor, LLC (investments)
3712 Berrington Bridge Place since 1996; President of Spider Management Co.
Richmond, VA 23223 (investments) since 2000; and employed by the
Age: 61 University of Richmond as Vice President for Business
and Finance from 1975 through 1997, and as Vice
President for Investments since 1997.
Member of the Board of Trustees of Commonfund as Vice
Chairman from 1991 through 1993 and as Chairman from
1994 through 1998.
Jerald L. Stevens 6 Director since 1999. Consultant in the areas of investment and financial
1246 Old Stage Road management to a range of clients including American
Chester, VT 05143 Express, Rockefeller & Company, James Wolfenson & Co.,
Age: 62 Indiana University and Xerox Financial Services.
Formerly, Trustee of the Hospital Fund, Inc.
(1991-1999), and Chairman (1995-1999).
INTERESTED DIRECTORS(1)
Robert L. Bovinette 6 Director and President Emeritus of Commonfund since 2003; President
14 Via Entrada Chairman of the and Chief Executive Officer of Commonfund (1996-2003);
Sandia Park, NM 87047 Board since 1999. Trustee of Commonfund, (1996-2003) (ex officio) and
Age: 63 1982 to 1994 (Chair, 1986 to 1990). Chairman of the
Board of Directors of the Investment Manager
(1999-2003); Chairman of the Board of Commonfund Realty
Inc. (1998-2003), and Director of Commonfund Capital,
Inc. since 1998 (Chair of the Board, 2001-2003, and
Chair of the Executive Committee of the Board from 1998
through 2001).
David M. Lascell, Esq. 6 Director since 2000. Vice Chair and Vice President/General Counsel of
330 Allens Creek Road Cinnabar Solutions, Inc. (manufacturing) since 2002;
Rochester, NY 14618 Vice Chair of AWH Corporation since 1991; Partner in
Age: 62 the law firm of Harter, Secrest & Emery, LLP since
2000; Part Owner, Director, Vice President and General
Counsel of AWH Corporation; and Trustee and Treasurer
of Grove City College. Partner in the law firm of
Hallenbeck, Lascell et. al. (1991-2000).
Trustee of Commonfund since 1990 and currently the
Chair of Commonfund; and Honorary Trustee of Wells
College.
PRINCIPAL OFFICERS
Verne Sedlacek 6 President since President and Chief Executive Officer of Commonfund
Commonfund Institutional Funds July 1, 2003. since July 1, 2003, and Executive Vice President and
15 Old Danbury Road Chief Operating Officer (2002-2003). Trustee of
P.O. Box 812 Commonfund Capital (1999-2001). President and Chief
Wilton, CT 06897-0812 Operating Officer of John W. Henry Company (1998-2001).
Age: 48
John W. Auchincloss 6 Secretary and Chief General Counsel and Secretary of Commonfund since 2000,
Commonfund Institutional Funds Legal Officer since and Assistant/Associate General Counsel (1996-2000).
15 Old Danbury Road 1999.
P.O. Box 812
Wilton, CT 06897-0812
Age: 45
</Table>
50
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND TERM PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR OF OFFICE OTHER DIRECTORSHIPS HELD
- -------------------------------- ------------- -------------------- -------------------------------------------------------
James P. Feeney 6 Vice President since Director of Compliance of Commonfund since 1999.
Commonfund Institutional Funds 2002. Compliance Manager at Prudential Insurance Company of
15 Old Danbury Road America (1997-1999).
P.O. Box 812
Wilton, CT 06897-0812
Age: 39
Jill Grossberg 6 Assistant Secretary Director and Counsel of Mutual Fund Administration at
Investors Bank & Trust Company since 2000. Investors Bank & Trust Co. since 2000. Associate
200 Clarendon Street Counsel at Putnam Investments, Inc. (investments)
P.O. Box 9130 (1995-2000).
Boston, MA 02116
Age: 57
Peter Kirby 6 Treasurer since Managing Director, Operations of Commonfund since 2002.
Commonfund Institutional Funds July 1, 2003. Senior Managing Director, Chief Administrative Officer
15 Old Danbury Road of Whitehall Asset Management (2001-2002). Principal
P.O. Box 812 for Morgan Stanley Asset Management, Chief Operating
Wilton, CT 06897-0812 Officer of Graystone Wealth Management Services
Age: 46 (1998-2000).
Victoria McFarlane 6 Assistant Treasurer Director of Fund Administration at Investors Bank &
Investors Bank & Trust Company since July 1, 2003. Trust Co. since 2002. Assistant Vice President at MFS
200 Clarendon Street Investment Management (1998-2002).
P.O. Box 9130
Boston, MA 02116
Age: 36
Susan C. Mosher 6 Assistant Secretary Senior Director and Senior Counsel of Mutual Fund
Investors Bank & Trust Company since 1999. Administration at Investors Bank & Trust Co. since
200 Clarendon Street 1995.
P.O. Box 9130
Boston, MA 02116
Age: 48
</Table>
(1) Messrs. Bovinette and Lascell are "interested persons" of the Company (as
such term is defined in the 1940 Act) by virtue of their employment with
Commonfund. The Investment Manager is an indirect, wholly owned subsidiary
of Commonfund.
51
<Page>
INVESTMENT MANAGERS
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
Artisan Partners, L.P., Milwaukee, WI
John A. Levin & Co., Inc., New York, NY
Marsico Capital Management LLC, Denver, CO
Martingale Asset Management, L.P., Boston, MA
CIF SMALL CAP FUND
Artisan Partners, L.P., Milwaukee, WI
Chartwell Investment Partners, L.P., Berwyn, PA
Martingale Asset Management, L.P., Boston, MA
TCW Asset Management Company, Los Angeles, CA
CIF INTERNATIONAL EQUITY FUND
Capital Guardian Trust Company, Los Angeles, CA
Causeway Capital Management, LLC, Los Angeles, CA
Mastholm Asset Management, LLC, Atlanta, GA
Philadelphia International Advisors, Philadelphia, PA
TT International Investment Management, London, England
William Blair & Company, LLC, Chicago, IL
CIF CORE PLUS BOND FUND
BlackRock Advisors, Inc., New York, NY
Western Asset Management Company, Pasadena, CA
Western Asset Management Company Limited, London, England
CIF INFLATION-INDEX BOND FUND
Western Asset Management Company, Pasadena, CA
CIF SHORT DURATION FUND
Wellington Management Company, LLP, Boston, MA
Western Asset Management Company, Pasadena, CA
CUSTODIAN
INVESTORS BANK & TRUST COMPANY, BOSTON, MA
52
<Page>
[COMMONFUND INVESTED IN YOUR SUCCESS. LOGO]
Commonfund
15 Old Danbury Road
P.O. Box 812
Wilton, CT 06897-0812
Tel 888-TCF-MAIN
Tel 203-563-5000
www.commonfund.org
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEES 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.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The Registrant's Chief Executive Officer and Principal Financial
Officer concluded that the Registrant's disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective
based on their evaluation of the Registrant's disclosure controls and procedures
as of a date within 90 days prior to the filing date of this report (the
"Evaluation Date").
(b) There were no significant changes in the registrant's internal controls
or in other factors that could significantly affect internal controls subsequent
to the Evaluation Date, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS.
(a)(1) Code of Ethics described in Item 2: Not applicable to this filing.
(a)(2) Certifications of the Chief Executive Officer and Treasurer of the
Registrant as required by Rule 30a-2(a) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(a) are attached as Exhibit 99CERT.302).
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are attached hereto as Exhibit 99CERT.906.
<Page>
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Commonfund Institutional Funds
By: /S/ Verne Sedlacek
-------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date: December 23, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /S/ Verne Sedlacek
---------------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date: December 23, 2003
By: /S/ Peter Kirby
---------------------------------------------------------------
Peter Kirby, Treasurer
Date: December 23, 2003