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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 811-08879
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SUN CAPITAL ADVISERS TRUST
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(Exact name of registrant as specified in charter)
One Sun Life Executive Park, Wellesley Hills, Massachusetts 02481
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(Address of principal executive offices) (Zip code)
James M.A. Anderson
Sun Capital Advisers Trust
One Sun Life Executive Park
Wellesley Hills, Massachusetts 02481
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(Name and address of agent for service)
Registrant's telephone number, including area code: (781) 237-6030
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Date of fiscal year end: December 31, 2003
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Date of reporting period: December 31, 2003
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Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Investment Company Act of 1940, as amended:
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SUN CAPITAL ADVISERS TRUST-SM-
ANNUAL REPORT DECEMBER 31, 2003
---------------------------------------------
Sun Capital-SM- All Cap Fund
Sun Capital Investment Grade Bond Fund-Registered Trademark-
Sun Capital Money Market Fund-Registered Trademark-
Sun Capital Real Estate Fund-Registered Trademark-
SC-SM- Alger Growth Fund
SC-SM- Alger Income & Growth Fund
SC-SM- Alger Small Capitalization Fund
SC-SM- Davis Financial Fund
SC-SM- Davis Venture Value Fund
SC-SM- Neuberger Berman Mid Cap Growth Fund
SC-SM- Neuberger Berman Mid Cap Value Fund
SC-SM- Value Equity Fund
SC-SM- Value Managed Fund
SC-SM- Value Mid Cap Fund
SC-SM- Value Small Cap Fund
SC-SM- Blue Chip Mid Cap Fund
SC-SM- Investors Foundation Fund
SC-SM- Select Equity Fund
Sun Capital Advisers Trust is a mutual fund registered with the Securities and
Exchange Commission under the Investment Company Act of 1940. Its investment
adviser is Sun Capital Advisers Inc.-Registered Trademark-, a member of the Sun
Life Financial group of companies.
[SUN LIFE FINANCIAL LOGO]
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MANAGEMENT'S DISCUSSION & ANALYSIS
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ALL CAP FUND
For the year ended December 31, 2003 the All Cap Fund generated a total return
of 52.89%, beating the S&P 500 Index return of 28.68%. Since inception May 1,
2002 through December 31, 2003, the All Cap Fund has returned 9.03% versus 3.81%
for the S&P 500 Index.
As has been the case throughout 2003, the Fund remained weighted towards
economically sensitive stocks at year-end. During the third quarter we shifted
our capitalization strategy somewhat to a bias towards mid and large
capitalization stocks, in contrast to our small to mid cap focus in the first
half of the year. The reason for this change was due to the strong performance
of many of our small and mid cap holdings during the second quarter, which led
to many of them reaching our target valuations. As a result of the moves, many
larger capitalization stocks, which lagged the small cap move, became better
relative values. Because we have the flexibility to invest in stocks within a
wide range of market capitalizations, we were able to shift our portfolio mix to
take advantage of the best relative values. The top performers for the year were
small cap holdings such as Allmerica Financial, Concord Communications, Pegasus
Communications, and i-Stat.
During the fourth quarter, we continued to adjust the portfolio to take
advantage of the improvement in the overall US economy. Weightings were
increased in consumer discretion, energy, and telecommunications, and decreased
in healthcare, materials, and information technology. The drop in healthcare
weightings was due to a takeover of one of our stocks, i-Stat, which was up over
280% for the year. However, we remain overweight large cap pharmaceutical stocks
due to their cheap valuations relative to the market. Despite the strong
performance of the US markets in 2003, we continued to find undervalued and
out-of-favor issues, adding during Q4 such names as Eastman Kodak, Merck, AON
Corp, Agco, Transocean, Micron Technology and Brocade Communications.
Overall, the All Cap Fund has maintained a diversified portfolio roughly aligned
with S&P 500 sector weightings, but one which trades at a discount to the S&P
500 Index with respect to price to sales, price to book, and price to cash flow.
Specifically, valuation metrics as of December 31 show the portfolio trading at
0.72 times sales vs. 1.62 times for the S&P 500 Index, a price to book of 1.7
vs. 3.1, and a price to cash flow of 9.3 vs. 12.3, respectively. The portfolio's
dividend yield (1.6%) and debt to capitalization ratio (37%) are in line with
the S&P 500 index's 1.6% yield and 35% debt to capitalization.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- --------------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Annaly Mortgage Management, Inc. 2.7% Drugs 8.2%
Archer-Daniels-Midland Co. 2.6% Insurance 7.1%
Vicor Corp. 2.6% Aerospace & Defense 5.6%
Pegasus Communications Corp. 2.5% Food, Beverages & Tobacco 5.5%
Unumprovident Corp 2.4% Telecommunications 4.7%
GATX Corp. 2.2%
Pfizer, Inc. 2.1%
Comcast Corp 2.1%
BMC Software, Inc. 2.1%
Tenet Healthcare Corp. 2.1%
</Table>
1
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ALL CAP FUND AND
THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
ALL CAP FUND S&P 500 INDEX
May 1, 2002 $10,000 $10,000
Jun 30, 2002 $8,360 $9,227
Sep 30, 2002 $6,440 $8,556
Dec 31, 2002 $7,557 $8,270
Mar 31, 2003 $6,976 $8,010
Jun 30, 2003 $9,582 $9,242
Sep 30, 2003 $9,925 $9,487
Dec 31, 2003 $11,554 $10,642
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR FUND***
-------- --------
All Cap Fund............................ 52.89% 9.03%
S&P 500 Index........................... 28.68% 3.81%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the All Cap Fund and the
return on the investment will fluctuate and redemption proceeds may be higher or
lower than an investor's original cost. Returns greater than one year are
annualized.
***For the period from May 1, 2002 (commencement of operations) to December 31,
2003.
2
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MANAGEMENT'S DISCUSSION & ANALYSIS
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INVESTMENT GRADE BOND FUND
For 2003, the Sun Capital Investment Grade Bond Fund returned 9.63% versus the
Lehman Brothers Aggregate Bond Index return of 4.10%. The Fund's credit
overweight, specifically BBBs, was the main driver of outperformance for 2003.
In addition, the Fund's high yield component positively affected performance as
has the Fund's duration, which is slightly short that of the benchmark. For
2003, the Lehman BBB Corporate Index returned 11.81% while the Merrill High
Yield Index returning 28.15%. While 2002, was one of the worst years for the
Credit sector, 2003 turned out to be one of the best years in terms of relative
price performance as investors recognized this undervalued asset class. For
2003, the ratio of downgrades to upgrades, as compiled by Moody's, was reported
as 4x, a vast improvement from 2002's figure of 7.1x. During 2003, corporations
focused on such measures as cash flow generation and debt reduction.
Despite significant spread tightening, we continue to believe that corporate
bonds retain value when contrasted to other investment grade fixed income asset
classes. As such, corporate bonds comprised 38.8% of the portfolio as of
December 31, 2003. Mortgage-backed securities and collateralized mortgage
obligations comprised 28.7% of the portfolio, US Treasuries 11.4%, 5.8% of which
were Treasury Inflation Protected Securities (TIPS). Remaining assets were
divided as follows: US Agencies 8.3%, commercial mortgage-backed securities
4.3%, asset-backed securities 1.6% and other 6.9%.
Third quarter 2003 GDP growth was reported at 8.2%. This figure will likely not
be repeated for 2004 as expectations are for 4% growth. With growth, normally
comes higher interest rates, although Federal Reserve Governors continue to
signal to the market that monetary policy will remain in expansionary mode, and
in addition, they remain comfortable with the level (declining) of the U.S.
Dollar. While the Federal Reserve may not raise interest rates, the market may
drive Treasury rates higher. Pressuring rates will be a growing budget deficit
as the US Government is expected to issue almost 40% more Treasuries in 2004
than 2003. The 10-year Treasury ended the year yielding 4.25%, up 43 basis
points for the year.
The US Dollar began 2003 close to parity with the Euro and by year-end fell to
$1.25. A lower US Dollar helps US corporations that have overseas exposure
making US goods more affordable. Improving earnings and prospects for US
companies should result in an expansion of the workforce. Causing concern is the
rising prices of US assets for foreign entities, especially Treasuries.
With US Government securities yields likely headed higher, an underweight
(versus the Index) of these sectors is appropriate. Spread sectors such as
corporate bonds, MBS, CMBS and ABS will be the main areas of focus. However,
these sectors are considered "rich" or "tight" by many. We will dig beneath the
surface to uncover what we believe to be opportunities for outperformance.
3
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<Table>
<Caption>
TOP TEN BOND ISSUERS TOP FIVE BOND SECTORS
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
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% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Federal Home Loan Mortgage 18.3% U.S. Government Agency
Federal National Mortgage Assn. 11.8% Obligations 47.7%
US Treasuries 11.6% Electric Utilities 6.6%
Government National Mortgage Assn. 7.3% Telecommunications 5.3%
Allegheny Power Co. 2.6% Broadcasting/Media 4.8%
Continental Cablevision, Inc. 1.7% Commercial Mortgage Backed
Northrop Grumman Corp. 1.6% Securities 4.4%
Time Warner Entertainment Co. 1.6%
Great Lakes Power, Inc. 1.6%
GMAC Commercial Mortgage 1.5%
Securities, Inc.
</Table>
4
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INVESTMENT GRADE
BOND FUND AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
INVESTMENT GRADE LEHMAN BROTHERS
BOND FUND AGGREGATE BOND INDEX
Dec 7, 98 $10,000 $10,000
Dec 31, 98 $10,004 $10,025
Mar 31, 99 $10,045 $9,975
Jun 30, 99 $9,956 $9,888
Sep 30, 99 $9,963 $9,955
Dec 31, 99 $9,948 $9,943
Mar 31, 2000 $10,120 $10,162
Jun 30, 2000 $10,291 $10,338
Sep 30, 2000 $10,591 $10,651
Dec 31, 2000 $10,929 $11,099
Mar 31, 2001 $11,278 $11,435
Jun 30, 2001 $11,351 $11,499
Sep 30, 2001 $11,656 $12,031
Dec 31, 2001 $11,717 $12,037
Mar 31, 2002 $11,730 $12,048
Jun 30, 2002 $11,839 $12,493
Sep 30, 2002 $12,124 $13,065
Dec 31, 2002 $12,329 $13,271
Mar 31, 2003 $12,649 $13,456
Jun 30, 2003 $13,244 $13,792
Sep 30, 2003 $13,305 $13,772
Dec 31, 2003 $13,516 $13,815
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FIVE YEARS FUND***
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Investment Grade Bond Fund.... 9.63% 7.34% 6.20% 6.12%
Lehman Brothers Aggregate Bond
Index....................... 4.10% 7.57% 6.62% 6.54%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The Lehman
Brothers Aggregate Bond Index is composed of securities from the Lehman Brothers
Government/Corporate Bond Index, the Mortgage-Backed Securities Index and the
Asset-Backed Securities Index.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Investment Grade Bond Fund and the return on
the investment will fluctuate and redemption proceeds may be higher or lower
than an investor's original cost. Returns greater than one year are annualized.
***For the period from December 7, 1998 (commencement of operations) to
December 31, 2003.
5
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MANAGEMENT'S DISCUSSION & ANALYSIS
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MONEY MARKET FUND
For the year ended December 31, 2003 the total return of the Money Market Fund
was 0.55%, compared to 1.15% for the Merrill Lynch three-month U.S. Treasury
bill Index.
At December 31, 2003, the Fund had net assets of $113.0 million, compared to
$149.4 million a year earlier. The Fund had a seven-day yield of 0.48% and an
average maturity of 37 days. The portfolio was 74% invested in highly rated
commercial paper, 20% in U.S. Government and agency discount securities and 6%
in other short-term instruments.
The Federal Open Market Committee (FOMC) of the Federal Reserve Board started
the year with the Federal Funds rate at 1.25%. The FOMC kept rates on hold for
most of the first half of the year before lowering them by 25 basis points in
late June. The Federal Reserve's decision was based at the time on its concern
that the economy had yet to exhibit sustained growth despite the end of the war
in Iraq and that disinflationary pressures were becoming more of a concern
outweighing those of an increase in inflation. The FOMC now believes the risks
of a rise or decline in inflation are balanced. The Federal Funds rate at
year-end was 1.00%, the lowest in 45 years and the Discount rate was 2.00%. The
rate cut was the only one this year, and the 13th consecutive cut since the Fed
first began trying to stimulate the economy at the beginning of 2001.
Three-month Treasury bills started the year at 1.19%, reached their high the
first week of January at 1.21%, dropped to 0.81% by June 19th, and closed the
year at 0.92%. The spread on 90-day commercial paper over Treasury bills
fluctuated between 1 and 34 basis points during the year. This year the need for
commercial paper was significantly reduced due in part to a slow economy,
reduced inventory levels and capital expenditures. As a result, commercial paper
outstanding at year-end declined to $128.9 billion versus $137 billion at the
end of 2002.
The FOMC seems to be more optimistic regarding the economy's prospects for
recovery in the upcoming year. Their recent statement indicates that policy
accommodation can be maintained and that rates should remain on hold for a
considerable period of time. Our current strategy is to maintain a fairly
neutral average maturity in anticipation of a possible rate increase later this
year as the economy continues its recovery.
<Table>
<Caption>
TOP TEN ISSUERS
AT DECEMBER 31, 2003
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% OF NET ASSETS
---------------
Federal National Mortgage Assn. 9.6%
Federal Home Loan Mortgage 6.2%
Province of British Columbia 4.8%
American General Finance Corp. 4.2%
General Electric Capital Corp. 4.1%
Province of Quebec 4.1%
National Rural Utilities Cooperative Finance Corp. 4.1%
BellSouth Corp. 4.0%
UBS Finance, Inc. 4.0%
Toyota Motor Credit Corp. 4.0%
</Table>
6
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE MONEY MARKET FUND
AND THE MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
MONEY MERRILL LYNCH
MARKET FUND 3-MONTH T-BILL INDEX
Dec 7, 98 $10,000 $10,000
Dec 31, 98 $10,031 $10,030
Mar 31, 99 $10,138 $10,136
Jun 30, 99 $10,246 $10,255
Sep 30, 99 $10,363 $10,385
Dec 31, 99 $10,495 $10,513
Mar 31, 2000 $10,635 $10,660
Jun 30, 2000 $10,785 $10,822
Sep 30, 2000 $10,949 $10,985
Dec 31, 2000 $11,114 $11,164
Mar 31, 2001 $11,257 $11,332
Jun 30, 2001 $11,368 $11,459
Sep 30, 2001 $11,457 $11,583
Dec 31, 2001 $11,513 $11,657
Mar 31, 2002 $11,547 $11,707
Jun 30, 2002 $11,581 $11,763
Sep 30, 2002 $11,614 $11,816
Dec 31, 2002 $11,642 $11,867
Mar 31, 2003 $11,662 $11,903
Jun 30, 2003 $11,681 $11,943
Sep 30, 2003 $11,694 $11,973
Dec 31, 2003 $11,706 $12,004
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FIVE YEARS FUND***
-------- ----------- ---------- -------
Money Market Fund............. 0.55% 1.74% 3.14% 3.16%
Merrill Lynch 3-month U.S.
Treasury Bill Index......... 1.15% 2.44% 3.66% 3.67%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The Merrill
Lynch three-month U.S. Treasury Bill Index is a one-security index which at the
beginning of every month selects for inclusion the U.S. Treasury Bill maturing
closest to, but not beyond 91 days from that date. That issue is then held for
one month, sold and rolled into the new U.S. Treasury Bill.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Money Market Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from December 7, 1998 (commencement of operations) to December
31, 2003.
7
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MANAGEMENT'S DISCUSSION & ANALYSIS
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REAL ESTATE FUND
For the year ended December 31, 2003, the Fund posted a total return of 35.95%,
compared to 36.74% for the Morgan Stanley REIT Index.
For the full year 2003, Outlet Centers, Health Care, Regional Malls,
Diversified, Strip Centers, and Self Storage REITs outperformed The Morgan
Stanley REIT Index, while the Manufactured Homes, Apartments, Mixed, Hotel,
Office, Industrial, and Triple Net Lease REITs underperformed the Index.
The stocks in the portfolio that had the largest positive contribution to
performance for the full year 2003 were General Growth (Malls), Vornado
(Diversified), SL Green (Office), Kimco (Strip Centers), and CBL Properties
(Malls). The stocks that detracted from performance for the full year 2003 were
Tenet HealthCare (Health Care), AIMCO (Apartments), Crescent Realty (Office),
Dillard's (Retail), and Annaly Mortgage (Mortgages).
For the year 2003, the Morgan Stanley REIT Index was up 36.74%, beating the Dow
and the S&P 500, which were up 28.26% and 28.68%, respectively, while finishing
behind the NASDAQ which was up 50.77%.
At the end of 2003, the Fund was underweight Health Care, Apartments, Triple Net
Lease, Mixed, Outlet Centers, Diversified, Hotels, Manufactured Homes, and Self
Storage. The Fund finished the year overweight Regional Malls, Office, Strip
Centers, and Industrial. The Fund also had an investment in a mortgage REIT,
which is not a property type included in the Morgan Stanely REIT Index. In
addition, the Fund also owns a position in Dillard's, which is a department
store chain that owns most of its real estate.
The Fund continues to reduce the overweight in the Strip Centers and Regional
Malls property types selectively. We have watched the Apartment sector closely
over the last few quarters hoping for an opportunity to add to positions, or for
a new investment, but presently the valuation levels in the property type are
too high. We are finding the most value in selective names within the Office
property type currently and have recently added to positions in a few holdings.
Other recent additions to the portfolio are three Hotel REITs, which should help
the portfolio perform well in an economic recovery. The Fund's position in Tenet
HealthCare, a hospital company, was sold subsequent to year end as its
turnaround began to look overwhelmed by a growing number of legal liabilities
and financial leverage issues.
The average dividend yield for The Morgan Stanley REIT Index decreased again in
the 4th quarter to 5.61%, down from 6.54% at the end of the 2nd quarter and
6.06% at the end of the 3rd quarter. The Fund finished the quarter with a
dividend yield of 5.10% for the Fund and 4.248% for the 10-yr Treasury yield.
The weighted average and median market capitalizations for the Fund was $3.23
billion and $1.96 billion, compared to $3.71 billion and $1.16 billion for the
Morgan Stanley REIT Index.
8
<Page>
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE PROPERTY TYPES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- -------------------------------------------------------- ---------------------------------------------------
% OF NET ASSET % OF NET ASSET
-------------- --------------
SL Green Realty Corp. 5.4% Office 16.8%
General Growth Properties, Inc. 5.2% Regional Malls 16.6%
Vornado Realty Trust 4.8% Shopping Centers 14.0%
Developers Diversified Realty Corp. 4.7% Apartments 13.5%
Macerich Co. 4.4% Real Estate 7.8%
CBL & Associates Properties, Inc. 4.4%
Dillards, Inc. Class A 4.1%
AvalonBay Communities, Inc. 3.9%
American Financial Realty Trust 3.9%
Mack-Cali Realty Corp. 3.9%
</Table>
9
<Page>
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE REAL ESTATE FUND
AND THE MORGAN STANLEY REIT INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
MORGAN STANLEY
REAL ESTATE FUND REIT INDEX
Dec 7, 98 $10,000 $10,000
Dec 31, 98 $9,929 $9,774
Mar 31, 99 $9,365 $9,303
Jun 30, 99 $10,383 $10,226
Sep 30, 99 $9,536 $9,398
Dec 31, 99 $9,534 $9,330
Mar 31, 2000 $9,929 $9,577
Jun 30, 2000 $11,123 $10,571
Sep 30, 2000 $11,987 $11,396
Dec 31, 2000 $12,518 $11,887
Mar 31, 2001 $12,217 $11,829
Jun 30, 2001 $13,556 $13,121
Sep 30, 2001 $13,612 $12,780
Dec 31, 2001 $14,092 $13,411
Mar 31, 2002 $15,139 $14,524
Jun 30, 2002 $15,876 $15,228
Sep 30, 2002 $14,726 $13,874
Dec 31, 2002 $14,662 $13,900
Mar 31, 2003 $14,926 $14,048
Jun 30, 2003 $16,683 $15,822
Sep 30, 2003 $17,990 $17,357
Dec 31, 2003 $19,932 $19,006
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FIVE YEARS FUND***
-------- ----------- ---------- ---------
Real Estate Fund.............. 35.95% 16.77% 14.95% 14.58%
Morgan Stanley REIT Index..... 36.74% 16.94% 14.12% 13.49%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees. The Morgan Stanley
REIT Index is a total-return index composed of the most actively traded real
estate investment trusts and is designed to be a measure of real estate equity
performance.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Real Estate Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from December 7, 1998 (commencement of operations) to
December 31, 2003.
10
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
FRED ALGER MANAGEMENT, INC. MARKET OVERVIEW
The twelve months ending December 31, 2003 brought relief from all the selling
experienced over the past few years. During the first two months of the year,
most equity indices lost ground, as fears about a war with Iraq began to trump
economic fundamentals. However, with the outbreak of war in March, the negative
trend was reversed. Preferring war to the pre-combat uncertainty, investors
pushed most indices higher during the final month of the quarter. The second
quarter saw a continuation of the positive momentum. Reassured by the swift and
decisive allied victory in Iraq, better-than expected first quarter profits and
a 25 basis point rate cut on June 25th, investors found good reason to get back
into the Market. The second half of the year picked up right where the first
half left off. Upbeat earnings news in the tech sector, a bullish outlook from
the Fed and the highest GDP growth in 20 years all proved encouraging to
investors during the six-month period. The capture of Saddam Hussein on December
13th helped to solidify the gains. Stock prices moved higher in five of the
final six months of the year, with small cap stocks leading the way. As equity
markets headed into the New Year, low interest rates, minimal inflation and
solid economic fundamentals appeared to eclipse fear and uncertainty.
At the end of last year, many observers remarked that the markets had been down
for three years in a row between 2000 and 2002 and that a fourth year in a row
would be very unlikely. 2003 was rather spectacular for the markets, with the
S&P 500 up 28.7%, and the Nasdaq up 50.8%. We feel that the combination of
improved fundamentals, low inflation, low interest rates, and steadily
increasing demand will mean continued improvement in corporate earnings. When
that fact is juxtaposed to an election year and the low-yield on bonds, we see
significant upside in equities in 2004. We also take the capture of Saddam
Hussein as an indication that a stable, democratic future is possible for Iraq,
and that we may see a lessening of international tension.
11
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
ALGER GROWTH FUND (SUBADVISED BY FRED ALGER MANAGEMENT, INC.)
The Alger Growth Fund returned 34.27% for the twelve months ended December 31,
2003, compared to 28.68% for the S&P 500 Index. The fund seeks long-term capital
appreciation by focusing on growing companies that generally have broad product
lines, markets, financial resources and depth of management. Under normal
circumstances, the fund invests primarily in the equity securities of large
companies, those having a market capitalization of $1 billion or greater.
Individual stock selection is based on the in-depth, fundamental research
conducted by our staff of seasoned analysts. Through the efforts of our research
staff, we seek out those companies that have higher earnings growth potential
than the broad market, exceptionally strong management, sustainability and
predictability of growth, and market dominance.
During the twelve-month period, the Fund benefited from strong security
selection in the information technology and health care sectors, and an
underweighting in the relatively weak consumer staples sector in beating the S&P
500 benchmark. At the stock level, holdings that contributed most positively to
the Fund's performance throughout the year included eBay Inc., Yahoo Inc., Intel
Corp., Cisco Systems Inc. and Veritas Software Corp. Conversely, securities that
detracted most from the Fund's value included General Dynamics Corp., Accenture
Ltd., HCA Inc., Harley-Davidson Inc. and Travelers Property Casualty Corp. The
Fund remains well diversified, with Information Technology, Consumer
Discretionary and Health Care representing the top three sectors as of December
31, 2003.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Microsoft Corp. 3.9% Software 12.3%
eBay, Inc. 3.1% Semiconductors 8.4%
Tyco International Ltd. 3.1% Internet & Catalog Retail 7.2%
Yahoo, Inc. 2.9% Communication Equipment 5.9%
Cisco Systems, Inc. 2.9% Industrial Conglomerates 5.6%
Boston Scientific Corp. 2.7%
Genentech, Inc. 2.6%
Amazon.com , Inc. 2.6%
General Electric Co. 2.6%
Teradyne, Inc. 2.5%
</Table>
12
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ALGER GROWTH FUND
AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
ALGER GROWTH FUND S&P 500 INDEX
Apr 1, 2002 $10,000 $10,000
Jun 30, 2002 $8,570 $8,661
Sep 30, 2002 $6,940 $7,165
Dec 31, 2002 $7,126 $7,770
Mar 31, 2003 $7,076 $7,525
Jun 30, 2003 $8,307 $8,684
Sep 30, 2003 $8,567 $8,914
Dec 31, 2003 $9,568 $10,002
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR FUND***
-------- --------------
Alger Growth Fund....................... 34.27% -2.49%
S&P 500 Index........................... 28.68% -0.02%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Alger Growth Fund and
the return on the investment will fluctuate and redemption proceeds may be
higher or lower than an investor's original cost. Returns greater than one year
are annualized.
***For the period from April 1, 2002 (commencement of operations) to
December 31, 2003.
13
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
ALGER INCOME & GROWTH FUND (SUBADVISED BY FRED ALGER MANAGEMENT, INC.)
The Alger Income & Growth Fund returned 30.34% during the twelve months ended
December 31, 2003, outperforming the 28.68% return of its benchmark, the S&P 500
Index. The Fund primarily seeks to provide a high level of dividend income; its
secondary goal is to provide capital appreciation. It invests in dividend paying
equity securities, such as common or preferred stocks, preferably those which we
believe offer opportunities for capital appreciation. Individual stock selection
is based on the in-depth, fundamental research conducted by our analysts.
Through the efforts of our research staff, we seek out those companies that have
higher earnings growth potential than the broad market, exceptionally strong
management, sustainability and predictability of growth, and market dominance.
During the twelve-month period, the Fund benefited from strong security
selection in the information technology and health care sectors and an
underweighting in the relatively weak consumer staples sector in beating the S&P
500 benchmark. At the stock level, holdings that contributed most positively to
the Fund's performance throughout the year included Intel Corp., eBay Inc.,
Cisco Systems Inc., UCBH Holdings Inc. and Tyco International Ltd. Conversely,
securities that detracted most from the Fund's value included General Dynamics
Corp., Travelers Property Casualty Corp., NiSource Inc., Verizon Communications
Inc. and Medtronic Inc. The Fund remains well diversified, with Information
Technology, Consumer Discretionary and Health Care representing the top three
sectors as of December 31, 2003.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Microsoft Corp 3.6% Pharmaceuticals 10.0%
General Electric Co. 3.4% Software 8.7%
Altria Group, Inc. 3.4% Semiconductors 6.1%
Tyco International Ltd. 3.3% Communication Equipment 4.3%
Intel Corp. 3.2% Media 4.1%
Cisco Systems, Inc. 3.1%
Pfizer, Inc. 3.0%
eBay, Inc. 2.8%
Walt Disney Co 2.7%
Yahoo!, Inc. 2.6%
</Table>
14
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ALGER INCOME &
GROWTH FUND AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
ALGER INCOME & GROWTH FUND S&P 500 INDEX
Apr 1, 2002 $10,000 $10,000
Jun 30, 2002 $8,740 $8,661
Sep 30, 2002 $7,120 $7,165
Dec 31, 2002 $7,380 $7,770
Mar 31, 2003 $7,250 $7,525
Jun 30, 2003 $8,383 $8,684
Sep 30, 2003 $8,584 $8,914
Dec 31, 2003 $9,620 $10,002
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR FUND***
-------- --------------
Alger Income & Growth Fund.............. 30.34% -2.19%
S&P 500 Index........................... 28.68% -0.02%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Alger Income & Growth
Fund and the return on the investment will fluctuate and redemption proceeds may
be higher or lower than an investor's original cost. Returns greater than one
year are annualized.
***For the period from April 1, 2002 (commencement of operations) to
December 31, 2003.
15
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
ALGER SMALL CAPITALIZATION FUND (SUBADVISED BY FRED ALGER MANAGEMENT, INC.)
The Alger Small Capitalization Fund returned 43.50% for the twelve months ended
December 31, 2003, compared to 48.54% for the Russell 2000 Growth Index. The
fund seeks long-term capital appreciation by focusing on small, fast-growing
companies that offer innovative products, services or technologies to a rapidly
expanding marketplace. Under normal circumstances, the portfolio invests
primarily in the equity securities of small capitalization companies, those
having a market capitalization within the range of the Russell 2000 Growth Index
or the S&P SmallCap 600 Index. Individual stock selection is based on the
in-depth, fundamental research conducted by our analysts. Through the efforts of
our research staff, we seek out those companies that have higher earnings growth
potential than the broad market, exceptionally strong management, sustainability
and predictability of growth, and market dominance.
During the twelve-month period, the Fund benefited from strong security
selection in the consumer staples sector but was hurt by poor performing
information technology and financials stocks in missing the Russell 2000
benchmark. At the stock level, holdings that contributed most positively to the
Fund's performance throughout the year included International Rectifier Corp.,
Amdocs Ltd., Pharmaceutical Resources Inc., Monster Worldwide Inc. and Openwave
Systems Inc. Conversely, securities that detracted most from the Fund's value
included Bank Mutual Corp., Accredo Health Inc., Cerner Corp., Charles River
Laboratories International Inc. and LaBranche & Co. Inc. The Fund remains well
diversified, with Consumer Discretionary, Health Care and Technology
representing the top three sectors as of December 31, 2003.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------------- ----------------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Kindred Healthcare, Inc. 1.5% Internet Software & Services 10.2%
Mid Atlantic Medical Services, Inc. 1.4% Biotechnology 6.6%
Medicines Co. 1.4% Health Care Provider & Services 5.0%
Actuant Corp. 1.4% Hotels, Restaurants & Leisure 4.8%
Multimedia Games, Inc. 1.3% Communication Equipment 4.7%
Ann Taylor Stores Corp. 1.3%
Dade Behring Holdings Inc. 1.3%
InterMune Inc. 1.3%
Wright Medical Group, Inc. 1.3%
Gevity HR, Inc. 1.3%
</Table>
16
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ALGER SMALL
CAPITALIZATION FUND AND THE RUSSELL 2000 GROWTH INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
ALGER SMALL RUSSELL 2000
CAPITALIZATION FUND GROWTH INDEX
Apr 1, 2002 $10,000 $10,000
Jun 30, 2002 $8,810 $8,430
Sep 30, 2002 $7,210 $6,616
Dec 31, 2002 $7,610 $7,113
Mar 31, 2003 $7,490 $6,836
Jun 30, 2003 $8,810 $8,487
Sep 30, 2003 $9,640 $9,375
Dec 31, 2003 $10,920 $10,565
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR FUND***
-------- -------
Alger Small Capitalization Fund......... 43.50% 5.15%
Russell 2000 Growth Index............... 48.54% 3.20%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The Russell
2000 Growth Index includes securities of companies in the Russell 2000 Index
which have a greater than average growth orientation. The Russell 2000 Index
includes the 2,000 companies with the smallest market capitalizations from the
Russell 3000 Index, an index representing 98% of the investable U.S. equity
market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Alger Small
Capitalization Fund and the return on the investment will fluctuate and
redemption proceeds may be higher or lower than an investor's original cost.
Returns greater than one year are annualized.
***For the period from April 1, 2002 (commencement of operations) to
December 31, 2003.
17
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
DAVIS ADVISORS MARKET OVERVIEW
During the year-ended December 31, 2003, the stock market, as measured by the
S&P 500 Index, returned 28.68%. U.S. economic activity, as measured by the gross
domestic product trended down over the first six months of the year but improved
sharply in the third quarter. Interest rates, as measured by the 10-year
Treasury bond, declined steadily over the first six months and then rebounded
sharply in the third quarter. Interest rates held steady in the fourth quarter.
This combination provided a favorable background for stocks as they advanced
strongly in the fourth quarter.
DAVIS FINANCIAL FUND (SUBADVISED BY DAVIS ADVISORS)
The Fund returned 34.42% for the year ended December 31, 2003, compared with a
return of 28.68% for the S&P 500 Index. Contributors and detractors to relative
performance over the year included:
- The financial services sector as a whole outperformed the S&P 500 Index.
In addition, the specific companies in the financial services sector,
which the Fund owned, outperformed the majority of financial services
companies included in the Index. American Express, up 37.66%, D&B Corp.,
up 47.03% and Golden West Financial, up 44.31%, were important Fund
holdings in this sector.
- The Fund also makes strategic investments in non-financial companies.
These companies as a group were strong contributors to both relative and
absolute performance. These companies included Tyco International, up
55.57%, and Sealed Air Corp., up 45.15%.
- In the strong bull market cash holdings were a drag on relative
performance. The Fund's short-term performance was also hurt by State
Street Corp., down 18.57%, and Principal Financial Group, down 8.50%. The
Fund sold both of these holdings.
We continue to believe that long-term demographics favor financial services
companies. The Fund's investment strategy is to perform extensive research to
buy companies with expanding earnings at value prices and hold them for the long
term. After a strong year such as the Fund enjoyed in 2003, we caution investors
not to be overly optimistic. We are strong supporters of long-term buy-and-hold
investing.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
American Express Co. 7.0% Insurance 25.2%
Julius Baer Holding, Ltd. AG 6.8% Banking S & L 22.6%
Tyco International Ltd. 5.8% Financial Services 19.1%
Golden West Financial Corp. 5.3% Investment Firm 15.7%
Wells Fargo & Co. 4.7% Diversified Manufacturing 5.8%
Fifth Third Bancorp 4.7%
Bank One Corp. 4.7%
D&B Corp. 4.6%
Citigroup, Inc. 4.5%
Janus Capital Group, Inc. 4.4%
</Table>
18
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE DAVIS FINANCIAL
FUND AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
DAVIS FINANCIAL FUND S&P 500 INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $10,010 $9,478
Aug 31, 2000 $10,880 $10,067
Sep 30, 2000 $10,930 $9,535
Oct 31, 2000 $10,930 $9,495
Nov 30, 2000 $10,390 $8,747
Dec 31, 2000 $11,339 $8,790
Mar 31, 2001 $10,157 $7,747
Jun 30, 2001 $11,069 $8,206
Sep 30, 2001 $9,503 $6,999
Dec 31, 2001 $10,594 $7,752
Mar 31, 2002 $10,574 $7,772
Jun 30, 2002 $9,443 $6,733
Sep 30, 2002 $8,033 $5,572
Dec 31, 2002 $8,640 $6,043
Mar 31, 2003 $8,083 $5,852
Jun 30, 2003 $9,904 $6,752
Sep 30, 2003 $10,211 $6,931
Dec 31, 2003 $11,613 $7,775
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- -------------- --------------
Davis Financial Fund............... 34.42% 0.80% 4.42%
S&P 500 Index...................... 28.68% -4.05% -7.05%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Davis Financial Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from July 17, 2000 (commencement of operations) to
December 31, 2003.
19
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
DAVIS VENTURE VALUE FUND (SUBADVISED BY DAVIS ADVISORS)
The Fund returned 30.50% for the year ended December 31, 2003, compared with a
return of 28.68% for the S&P 500 Index. Contributors and detractors to relative
performance over the year included:
- The Fund's large holdings in financial services companies, and their
strong performance through the year, were the most important contributor
to the Fund's strong relative performance. American Express, up 37.66%
and Progressive Corp., up 68.68% were important contributors in this
sector.
- The capital goods companies which the Fund held as a group outperformed
the Index by a substantial margin. Tyco International, up 55.57% was the
Fund's most important contributor to the performance of this sector.
- Weaker performance from the Fund's health care companies, and cash
holdings were a drag on relative performance. The Fund's short-term
performance was also hurt by Kraft, down 15.42%, Safeway, down 6.21%, and
Takefuji, down 13.63%. The Fund sold its Safeway holdings but continues
to hold the other two.
We have built a portfolio which is quite different in composition from the S&P
500 Index. The Fund's investment strategy is to perform extensive research to
buy companies with expanding earnings at value prices and hold them for the long
term. After a strong year such as the Fund enjoyed in 2003, we caution investors
not to be overly optimistic. We are strong supporters of long-term buy-and-hold
investing.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
American Express Co. 7.6% Insurance 19.4%
Altria Group, Inc. 6.1% Banking S & L 17.7%
American International Group, Inc. 5.7% Financial Services 11.9%
Berkshire Hathaway, Inc. 4.8% Consumer Products & Services 6.1%
Tyco International Co. 4.3% Investment Firm 5.4%
HSBC Holdings PLC 4.3%
Citigroup, Inc. 4.1%
Wells Fargo & Co. 3.9%
The Progressive Corp. 3.7%
Bank One Corp. 3.6%
</Table>
20
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE DAVIS VENTURE VALUE
FUND AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
DAVIS VENTURE VALUE FUND S&P 500 INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $9,640 $9,478
Aug 31, 2000 $10,220 $10,067
Sep 30, 2000 $9,770 $9,535
Oct 31, 2000 $9,790 $9,495
Nov 30, 2000 $9,300 $8,747
Dec 31, 2000 $9,858 $8,790
Mar 31, 2001 $8,885 $7,747
Jun 30, 2001 $9,156 $8,206
Sep 30, 2001 $7,943 $6,999
Dec 31, 2001 $8,812 $7,752
Mar 31, 2002 $8,731 $7,772
Jun 30, 2002 $7,894 $6,733
Sep 30, 2002 $6,897 $5,572
Dec 31, 2002 $7,380 $6,043
Mar 31, 2003 $7,028 $5,852
Jun 30, 2003 $8,248 $6,752
Sep 30, 2003 $8,405 $6,931
Dec 31, 2003 $9,632 $7,775
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- -------------- --------------
Davis Venture Value Fund........... 30.50% -0.77% -1.08%
S&P 500 Index...................... 28.68% -4.05% -7.05%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Davis Venture Value
Fund and the return on the investment will fluctuate and redemption proceeds may
be higher or lower than an investor's original cost. Returns greater than one
year are annualized.
***For the period from July 17, 2000 (commencement of operations) to
December 31, 2003.
21
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
NEUBERGER BERMAN MANAGEMENT, INC. MARKET OVERVIEW
After three years of losses, the bear market for stocks ended in 2003 with the
first year of positive returns for the S&P 500, DJIA & NASDAQ since 1999.
Even though the economy had recovered from the recession lows, many investors
feared that growth was fragile as business spending remained tepid and
employment was weak. However, the Federal Reserve held rates low, which in turn
allowed consumer spending to be unleashed from massive mortgage refinancing. In
addition, fiscal stimulus provided strength to consumers through tax cuts and
spending hikes. Finally, the end to major conflict in Iraq provided the
psychological lift to boost equity prices. Corporate earnings jumped in the
third and fourth quarter as economic growth picked up steam.
All major equity indices registered gains with growth and value styles advancing
about the same amount in 2003. Small capitalization and technology stocks
generated the greatest returns. The Russell 2000 small cap index was up a record
47.25%, beating the Russell 1000's return of 29.89% for the fifth straight year.
The Russell Midcap index wasn't too far behind small caps with a 40.06% advance.
The stocks of cyclical and less quality firms performed much better than larger,
high quality and stable companies.
22
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
NEUBERGER BERMAN MID CAP GROWTH FUND
(SUBADVISED BY NEUBERGER BERMAN MANAGEMENT, INC.)
The Neuberger Berman Mid Cap Growth Fund, while posting positive returns of
29.08%, underperformed the Russell Midcap Growth Index, which returned 42.71% in
the year ending December 31, 2003. Mid-cap growth managers struggled versus the
benchmark in 2003, with the Russell Mid Cap Growth Index return ranking in the
top 16% of the peer group as defined by Lipper.
The largest contributors to portfolio performance for the year were security
selection within Industrials, Telecommunications and Energy. In Industrials our
emphasis on education stocks was additive to performance. Also, stock selection
within Telecommunications was additive to performance for the year. Although one
of the weaker performing sectors on a year-to-date basis, security selection
within Energy was additive to performance due to the fact that companies that
had the ability to either increase reserves or production within oil and gas
were emphasized such as: Murphy Oil (MUR) and XTO Energy (XTO)
In addition, in terms of sector allocation our overweight Information Technology
(IT) one of the strongest performing sectors was additive to performance for the
year. Lastly, our under weight in Consumer Staples, one of the weaker sectors,
was also contributory to performance.
Stock selection with Information Technology (IT) had the most negative impact on
relative portfolio performance. The defensive nature of our holdings in this
sector at the beginning of the second quarter fell behind the Indices as the
market moved sharply upward in April and May. For example, the portfolio held
names in technology that we believe would have performed well in the event that
spending in this area does not improve significantly. These defensive, less
cyclical, lower octane names under-performed the more cyclical, higher beta
names in the sector. In May, we began repositioning the portfolio strategically
to take advantage of this shift in the market. In addition holdings in Consumer
Discretionary negatively impacted the portfolio as one holding reported a
negative earnings surprise.
Into 2004 we believe that market leadership will continue in technology,
consumer discretionary, industrials, materials and financials which have been
areas that we have been emphasizing in the portfolios since the beginning of the
second quarter 2003. Having said that we also believe that next years stock
market will be highly rotational in terms of factor influences as the market
continues to deal with hedge fund program trading and the mutual fund trading
scandal.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ------------------------------------------------------------ ------------------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Zebra Technologies Corp. 2.6% Electronics Semiconductors 7.1%
Nextel Partners, Inc. 1.7% Computers & Business Equipment 5.5%
Univision Communications, Inc. 1.6% Retail trade 5.5%
Coach, Inc. 1.5% Drugs & Health Care 5.2%
Franklin Resources, Inc. 1.5% Diversified Financial Services 3.7%
Symantec Corp. 1.5%
Nordstrom, Inc. 1.5%
UTStarcom,Inc. 1.5%
Microchip Technology, Inc, 1.5%
Harman International Industries, Inc. 1.4%
</Table>
23
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE NEUBERGER BERMAN
MID CAP GROWTH FUND AND THE RUSSELL MIDCAP GROWTH INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
NEUBERGER BERMAN RUSSELL MIDCAP
MID CAP GROWTH FUND GROWTH INDEX
May 1, 2001 $10,000 $10,000
Jun 30, 2001 $10,110 $9,958
Sep 30, 2001 $7,300 $7,190
Dec 31, 2001 $8,750 $9,135
Mar 31, 2002 $8,631 $8,974
Jun 30, 2002 $7,241 $7,335
Sep 30, 2002 $6,100 $6,075
Dec 31, 2002 $6,190 $6,632
Mar 31, 2003 $6,120 $6,631
Jun 30, 2003 $7,060 $7,875
Sep 30, 2003 $7,130 $8,438
Dec 31, 2003 $7,990 $9,464
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR TWO YEARS FUND***
-------- -------------- --------------
Neuberger Berman Mid Cap Growth
Fund............................. 29.08% -4.44% -8.06%
Russell Midcap Growth Index........ 42.71% 1.78% -2.04%
</Table>
*The performance data of the indices has been prepared from sources and data
that the investment adviser believes to be reliable, but no representation is
made as to their accuracy. The indices are unmanaged and have no fees or costs.
The Russell Midcap Growth Index measures the performance of those Russell Midcap
Index companies with higher price-to-book ratios and higher forecasted growth
values.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Neuberger Berman Mid
Cap Growth Fund and the return on the investment will fluctuate and redemption
proceeds may be higher or lower than an investor's original cost. Returns
greater than one year are annualized.
***For the period from May 1, 2001 (commencement of operations) to December 31,
2003.
24
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
NEUBERGER BERMAN MID CAP VALUE FUND
(SUBADVISED BY NEUBERGER BERMAN MANAGEMENT, INC.)
The Neuberger Berman Mid Cap Value Fund produced a solid total return of 36.35%
in 2003 but fell shy of the Russell Midcap Value Index (RMCV) return of 38.07%.
On an absolute basis, the Fund's holdings in Consumer Discretionary and
Financials made the largest contribution to portfolio total return. The positive
impacts of portfolio holdings within Health Care, Energy, Industrials and
Information Technology (IT) were also sizable.
On a relative basis, strong stock selection in Consumer Discretionary and Energy
was beneficial, while lower returns in Health Care and Financials led to
underperformance of the index.
We continue to be significantly overweight the Health Care and Energy sectors
and substantially underweight Information Technology and Utilities. This is not
due to our outlook on the sectors themselves, but is a result of our bottom-up
stock selection process. We believe our holdings within Health Care and Energy
remain very attractive on a fundamental and valuation basis. The fundamentals of
the companies we own in both sectors are, in our opinion, more favorable now,
going into 2004, than they were going into 2003. Even if commodity prices end up
being weaker than expected, we have confidence that our holdings would still be
able to meet our earnings expectations, given their solid balance sheets and low
operating and financing costs that would protect margins. In addition, their low
valuation multiples would likely provide a cushion against stock price
pressures. As for our underweight allocation to Information Technology, we have
simply been unable to find many quality companies at valuations not already
reflecting highly optimistic economic and earnings growth assumptions.
We have a neutral view on the stock market; i.e., we believe 2004 is likely to
be a year of normal, single-digit returns. After a strong 2003, we believe
investors' positive expectations are already being reflected in many equity
valuations, and see little remaining that could carry the market significantly
higher. We do, however, believe that there is ample opportunity for select
stocks in 2004: those companies trading at valuations below what they are worth.
We note that our portfolio trades at a 22% discount to the RMCV based on 2004
earnings expectations, and is 32% cheaper than mid-caps overall on the same
basis (as represented in the Russell MidCap). In addition, our portfolio has a
higher return on equity (a measure of profitability and how effectively
companies use shareholders' money) and higher historical & projected earnings
growth rates than the RMCV. This is representative of our high quality
discipline, and of our affinity for growth but our discipline of under-paying
for it.
We can't predict what the economy or the market will do in 2004. This is
irrelevant given that we run the portfolio on a bottom-up basis. What we do to
reduce risk is pay low prices for what we believe are strong, well-run
businesses possessing the ability to act/react to favorable and unfavorable
economic conditions and events. We also try to ensure that there is enough
upside potential to justify the investment risks we take.
25
<Page>
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Constellation Brands, Inc. 2.5% Oil Crude Producers 6.7%
Triad Hospitals, Inc. 2.5% Financial Miscellaneous 6.4%
Oxford Health Plans, Inc. 2.4% Auto Parts 5.3%
First Tennessee National Corp. 2.4% Financial Services 5.2%
RenaissanceRe Holdings Ltd. 2.3% Banks 4.9%
Charter One Financial, Inc. 2.3%
Radian Group, Inc. 2.3%
Manpower, Inc. 2.3%
V.F. Corp. 2.3%
Lear Corp. 2.3%
</Table>
26
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE NEUBERGER BERMAN
MID CAP VALUE FUND AND THE RUSSELL MIDCAP VALUE INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
NEUBERGER BERMAN RUSSELL MIDCAP
MID CAP VALUE FUND VALUE INDEX
May 1, 2001 $10,000 $10,000
Jun 30, 2001 $10,060 $10,146
Sep 30, 2001 $8,980 $8,975
Dec 31, 2001 $9,893 $10,055
Mar 31, 2002 $10,374 $10,850
Jun 30, 2002 $10,014 $10,343
Sep 30, 2002 $8,538 $8,485
Dec 31, 2002 $8,950 $9,085
Mar 31, 2003 $8,759 $8,716
Jun 30, 2003 $10,045 $10,276
Sep 30, 2003 $10,618 $10,886
Dec 31, 2003 $12,204 $12,543
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR TWO YEARS FUND***
-------- --------- -------
Neuberger Berman Mid Cap Value
Fund............................. 36.35% 11.07% 7.74%
Russell Midcap Value Index......... 38.07% 11.69% 8.87%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The Russell
Midcap Value Index measures the performance of those Russell Midcap Index
companies with lower price-to-book ratios and lower forecasted growth values.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Neuberger Berman Mid
Cap Value Fund and the return on the investment will fluctuate and redemption
proceeds may be higher or lower than an investor's original cost. Returns
greater than one year are annualized.
***For the period from May 1, 2001 (commencement of operations) to December 31,
2003.
27
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
OPCAP ADVISORS MARKET OVERVIEW
The stock market turned sharply higher in 2003, fueled by an improving economy
and better-than-expected corporate earnings. The year was a huge success for the
market, as the S&P 500 Index returned 28.68%, its first annual gain since 1999.
The stocks of mid-sized companies outperformed those of large companies, as the
S&P MidCap 400 Index returned 35.62%. Small company stocks performed best, as
the S&P SmallCap 600 Index returned 38.79%. Non-U.S. markets also had a strong
year, the MSCI EAFE (Europe, Australia and Far East) Index rose 35.28%.
During the fourth quarter in particular, exceedingly positive economic news --
including bullish reports on corporate profits, gross domestic product ("GDP")
growth and productivity -- matched or topped the expectations that had been
priced into the equity markets. In November, the federal government revised
third-quarter GDP growth to a sizzling 8.2% annual rate, up from the
already-buoyant 7.2% initial estimate.
The question is whether the economic expansion is here to stay. We believe it
is. While an 8.2% GDP growth rate is likely not sustainable, we believe the
economy can grow at an above-average pace for many quarters to come. The current
expansion represents, in our view, the coming together of previous technology
investments, business process improvements, widespread cost reductions and
monetary stimulus. There has been a time lag between the favorable actions and
the economic benefits, but we believe this lag has now passed.
Two areas of potential economic concern are unemployment and the decline of the
dollar. We see unemployment abating to normal levels over the course of 2004 as
the expansion progresses and businesses find that even with improved
productivity, workers must be hired to keep pace. As for the dollar, we do not
view its decline thus far as cause for concern. We have long believed the dollar
to be overvalued and over time expect the currency to stabilize near its fair
value.
Even with the sharp rise in stock prices in 2003, we perceive valuations as
being reasonable against low inflation, historically low interest rates and
improving corporate profits. As the economy continues to demonstrate not only
health but also strength, we anticipate further economic growth and an
accompanying rise in equity prices.
Looking specifically to 2004, the stock market is not likely to match the
exceptional gains of 2003. Nonetheless, we believe stocks have room to advance
during the coming year. Through careful research, we will continue to seek out
stocks trading at large discounts to intrinsic value, as the dual goals of
controlling risk and providing excellent long-term investment performance are
pursued.
28
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
VALUE EQUITY FUND (SUBADVISED BY OPCAP ADVISORS)
The SC Value Equity Fund returned 32.76%, exceeding the 30.03% return of the
benchmark Russell 1000 Value Index. The Fund invests in companies priced below
our estimate of intrinsic value with a goal of controlling risk and generating
long-term capital appreciation. The Fund's consumer discretionary, materials and
consumer staple holdings performed particularly well, partially offsetting the
underperformance of the Fund's financial stocks. EMC (data storage products) was
the largest contributor to performance, approximately doubling in price on new
product introductions and improving earnings. Profits were taken on this
position as it was sold as the price advanced. Dollar General (discount
retailing) increased on higher earnings and favorable same-store sales trends.
Other contributors to performance included, Citigroup (financial services),
Sears Roebuck (retailing) and ConocoPhillips (oil and gas). UnumProvident
(disability insurance) was the largest detractor from performance, declining
after the company restated prior year earnings. This investment was increased on
price weakness. Other detractors from performance included, Anadarko Petroleum
(oil and gas) and Boeing (aircraft and aerospace). Both of these positions were
sold.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
ConocoPhillips 5.0% Financial Services 14.6%
Freddie Mac 4.3% Banking 10.6%
International Paper Co. 3.9% Energy 10.6%
Fannie Mae 3.5% Insurance 6.4%
Citigroup, Inc. 3.3% Media 5.5%
BP PLC 3.3%
Exelon Corp. 3.1%
Inco Ltd. 2.9%
Wells Fargo & Co. 2.9%
Hughes Electronics Corp. 2.9%
</Table>
29
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE VALUE EQUITY FUND
AND THE RUSSELL 1000 VALUE INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
VALUE EQUITY FUND RUSSELL 1000 VALUE INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $9,690 $9,437
Aug 31, 2000 $10,210 $10,135
Sep 30, 2000 $10,240 $9,665
Oct 31, 2000 $10,890 $9,549
Nov 30, 2000 $10,730 $8,676
Dec 31, 2000 $11,335 $8,781
Mar 31, 2001 $11,305 $10,215
Jun 30, 2001 $11,619 $10,714
Sep 30, 2001 $10,619 $9,541
Dec 31, 2001 $11,049 $10,244
Mar 31, 2002 $10,912 $10,663
Jun 30, 2002 $9,235 $9,755
Sep 30, 2002 $7,355 $7,924
Dec 31, 2002 $8,014 $8,654
Mar 31, 2003 $7,811 $8,163
Jun 30, 2003 $9,101 $9,573
Sep 30, 2003 $9,400 $9,771
Dec 31, 2003 $10,639 $11,157
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
--------------- --------------- --------------
Value Equity Fund.................. 32.76% -2.09% 1.81%
Russell 1000 Value Index........... 30.03% 1.22% 3.21%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The Russell 1000 Value Index measures the performance of
companies with lower price-to-book ratios and lower forecasted growth values in
the Russell 1000 Index, an index which measures the performance of the 1,000
largest companies in the Russell 3000 Index. The Russell 3000 Index measures the
performance of the 3,000 largest U.S. companies based on total market
capitalization.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Value Equity Fund and
the return on the investment will fluctuate and redemption proceeds may be
higher or lower than an investor's original cost. Returns greater than one year
are annualized.
***For the period from July 17, 2000 (commencement of operations) to December
31, 2003.
30
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
VALUE MANAGED FUND (SUBADVISED BY OPCAP ADVISORS)
The Valued Managed Fund outperformed its benchmark in a sharply higher stock
market. The Fund returned 29.07% versus 28.68% for the benchmark S&P 500 Index.
During 2003, the Fund's consumer discretionary and consumer staple stocks
performed particularly well, partially offsetting the relative underperformance
of the financial services stocks. Among individual stocks, retailer Sears
Roebuck was the top contributor to performance. This investment was purchased in
the second quarter and benefited performance as the price advanced. Tyco
International (diversified industrial company) was another new position which
contributed significantly to performance. This company was also purchased in the
second quarter when, in our view, it was inexpensive due to the cloud hanging
over the company related to the actions of prior management. New management is
revitalizing the company, which has provided the stock with a lift. Other
contributors to performance included, Hughes Electronics (satellite TV),
Citigroup (financial services) and Dollar General (discount retailing).
UnumProvident (disability insurance) was the largest detractor from performance,
declining after the company restated prior year earnings. Other detractors
included Boeing (aircraft and aerospace), which was sold in the second quarter,
and Tenet Healthcare (hospitals).
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Freddie Mac 5.8% Financial Services 19.6%
Sears Roebuck & Co. 5.1% Retail 7.6%
Hughes Electronics Corp. 5.0% Multimedia 7.5%
Fannie Mae 4.6% Energy 7.4%
Wells Fargo & Co. 4.3% Health Care Facilities 7.4%
Tyco International Ltd. 4.3%
Citigroup, Inc. 3.9%
Pfizer, Inc. 3.4%
ConocoPhillips 3.3%
BP PLC 3.3%
</Table>
31
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE VALUE MANAGED FUND
AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
VALUE MANAGED FUND S&P 500 INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $9,860 $9,478
Aug 31, 2000 $10,290 $10,067
Sep 30, 2000 $10,420 $9,535
Oct 31, 2000 $10,879 $9,495
Nov 30, 2000 $10,819 $8,747
Dec 31, 2000 $11,388 $8,790
Mar 31, 2001 $11,104 $7,747
Jun 30, 2001 $11,378 $8,206
Sep 30, 2001 $10,411 $6,999
Dec 31, 2001 $10,696 $7,752
Mar 31, 2002 $10,756 $7,772
Jun 30, 2002 $9,634 $6,733
Sep 30, 2002 $8,065 $5,572
Dec 31, 2002 $8,404 $6,043
Mar 31, 2003 $8,095 $5,844
Jun 30, 2003 $9,309 $6,743
Sep 30, 2003 $9,688 $6,922
Dec 31, 2003 $10,847 $7,765
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- -------------- --------------
Value Managed Fund................. 29.07% -1.61% 2.38%
S&P 500 Index...................... 28.68% -4.05% -7.05%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Value Managed Fund and
the return on the investment will fluctuate and redemption proceeds may be
higher or lower than an investor's original cost. Returns greater than one year
are annualized.
***For the period from July 17, 2000 (commencement of operations) to December
31, 2003.
32
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
VALUE MID CAP FUND (SUBADVISED BY OPCAP ADVISORS)
In a strong year for mid cap stocks, the Value Mid Cap Fund returned 32.04% for
the year ended December 31, 2003. This performance compared to the 40.18% return
for the S&P MidCap 400/Barra Value Index. Nearly one-third of the Fund's assets
are invested in the industrial sector, where good values have been identified.
We are focused on owning industrial firms that have the operating leverage to
increase earnings significantly in an improving economy. In fact, the Fund's
industrial holdings were strong performers during 2003, returning 40.46% versus
33.46% for the industrial sector of the S&P MidCap Index. The Fund's consumer
staple investments also performed well, while the financial and technology
positions lagged the market. For the year, among individual stocks, Dollar
General (discount retailing) was the top contributor to performance, rising
sharply on higher earnings and favorable same-store sales trends. Canadian
National Railway, the second largest contributor to performance, benefited from
an improving economic environment. Invitrogen, another top contributor, was
purchased early in 2003 and sold during the fourth quarter as profits were
taken. This company provides specialty chemicals used in life science and
discovery applications and clinical research. The Fund's investments in both
Diebold (ATM machines and electronic voting machines) and Actuant (motion
control tools and hydraulic equipment) also contributed strongly to performance.
Electro Scientific (high-tech manufacturing equipment) was the largest detractor
from performance, declining due to the company's delays in filing financial
statements. Other detractors included Apogent Technologies (equipment and
disposables for the clinical research industry) and Tenet Healthcare
(hospitals). All three of these positions have been sold.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Aramark Corp. 4.9% Manufacturing 9.9%
Lamar Advertising Co. 4.0% Commercial Services 8.8%
Millipore Corp. 3.8% Insurance 8.0%
Alliant Techsystems, Inc. 3.6% Advertising 7.6%
Canadian National Railway Co. 2.9% Aerospace 6.1%
Mettler-Toledo International, Inc. 2.7%
Rockwell Collins, Inc. 2.5%
Nationwide Financial
Services, Inc. 2.5%
Oshkosh Truck Corp. 2.5%
Actuant Corp. 2.5%
</Table>
33
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE VALUE MID CAP FUND
AND THE S&P MIDCAP 400/BARRA VALUE INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
VALUE MID CAP S&P MIDCAP 400/
FUND BARRA VALUE INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $9,670 $9,456
Aug 31, 2000 $10,330 $10,512
Sep 30, 2000 $9,980 $10,441
Oct 31, 2000 $10,361 $10,087
Nov 30, 2000 $9,610 $9,325
Dec 31, 2000 $10,337 $10,039
Mar 31, 2001 $9,804 $11,264
Jun 30, 2001 $10,658 $12,328
Sep 30, 2001 $9,181 $10,724
Dec 31, 2001 $11,044 $12,500
Mar 31, 2002 $11,537 $13,740
Jun 30, 2002 $10,440 $12,934
Sep 30, 2002 $9,294 $10,543
Dec 31, 2002 $10,386 $11,236
Mar 31, 2003 $9,934 $10,571
Jun 30, 2003 $11,473 $12,599
Sep 30, 2003 $11,936 $13,504
Dec 31, 2003 $13,714 $15,733
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- ----------- ---------
Value Mid Cap Fund................. 32.04% 9.88% 9.56%
S&P MidCap 400/Barra Value Index... 40.18% 10.52% 14.01%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The S&P MidCap 400/Barra Value Index is an unmanaged,
weighted index of the stock performance of industrial, transportation, utility
and financial companies. The index represents the performance of 400 of these
companies having medium size market capitalizations with low price-to-book
ratios and low price-to-earnings ratios.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Value Mid Cap Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from July 17, 2000 (commencement of operations) to
December 31, 2003.
34
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
VALUE SMALL CAP FUND (SUBADVISED BY OPCAP ADVISORS)
In a very strong year for small-cap stocks, the Value Small Cap Fund returned
41.62% for the year, trailing the Russell 2000 Value Index return of 46.03%. The
Fund invests in undervalued companies with market capitalizations of less than
$2 billion at the time of purchase. The Fund's consumer discretionary stocks
performed well, particularly the retailer positions, which had especially strong
gains. Among individual stocks, one-concept retailers Aeropostale (teen apparel)
and Christopher & Banks (women's apparel) were the top two contributors to the
Fund's performance and Michaels Stores (arts and crafts materials, and home
decor) was the fourth largest contributor. These stocks were purchased in late
2002 and early 2003 when, in our view, they were inexpensive due to consumer
jitteriness concerning the economy and Middle East military action. As the
stocks rebounded, all three positions were sold at a profit. Also contributing
positively to performance was Wabash National (truck trailer manufacturer) and
Intertape Polymer (specialty packaging materials). The largest detractor from
performance was Tier Technologies, which provides technology services to state
and local governments. This position was increased after its price fell. We are
becoming more encouraged now that a new management team at Tier has begun to
exit unprofitable and marginal business operations, reduce costs and win
important new contracts.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- --------------------------------------------------- ---------------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Regeneration Technologies, Inc. 2.8% Financial Services 14.5%
Interface, Inc. 2.8% Retail 10.3%
Astec Industries, Inc. 2.7% Machinery & Manufacturing 9.2%
Jos. A. Bank Clothiers, Inc. 2.5% Computer Services 5.8%
NeoPharm, Inc. 2.3% Real Estate 5.7%
EMCOR Group, Inc. 2.3%
Intertape Polymer Group, Inc. 2.2%
Wabash National Corp. 2.2%
West Marine, inc. 2.2%
Innkeepers USA Trust 2.1%
</Table>
35
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE VALUE SMALL CAP
FUND AND THE RUSSELL 2000 VALUE INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
VALUE SMALL CAP FUND RUSSELL 2000 VALUE INDEX
Jul 17, 2000 $10,000 $10,000
Jul 31, 2000 $10,050 $9,228
Aug 31, 2000 $10,420 $9,932
Sep 30, 2000 $10,600 $9,640
Oct 31, 2000 $10,990 $9,210
Nov 30, 2000 $10,830 $8,264
Dec 31, 2000 $12,191 $8,974
Mar 31, 2001 $11,046 $11,140
Jun 30, 2001 $13,205 $12,450
Sep 30, 2001 $11,238 $10,789
Dec 31, 2001 $13,278 $12,592
Mar 31, 2002 $14,270 $13,785
Jun 30, 2002 $13,173 $13,493
Sep 30, 2002 $10,212 $10,620
Dec 31, 2002 $10,541 $11,143
Mar 31, 2003 $9,905 $10,578
Jun 30, 2003 $12,111 $12,981
Sep 30, 2003 $13,017 $13,984
Dec 31, 2003 $14,928 $16,273
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- ----------- ---------
Value Small Cap Fund............... 41.62% 6.98% 12.28%
Russell 2000 Value Index........... 46.03% 13.83% 15.10%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The Russell 2000 Value Index is an unmanaged, market-
weighted total return index that measures the performance of companies within
the Russell 2000 Index having lower price-to-book ratios and lower forecasted
growth values. The Russell 2000 Index includes the 2000 companies with the
smallest market capitalizations from the Russell 3000 Index, an index
representing 98% of the investable US equity market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Value Small Cap Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from July 17, 2000 (commencement of operations) to December
31, 2003.
36
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
WELLINGTON MANAGEMENT CO., LLP MARKET OVERVIEW
US equity markets rebounded in 2003, punctuated by a strong fourth quarter as
the earnings driven recovery continued to unfold. Low interest rates, tax cuts,
a stabilizing employment picture and the weak dollar provided a boost to the US
economy, and in turn, investor confidence. Risk was rewarded in 2003, as more
speculative stocks gained favor over companies with strong balance sheets and
dependable earnings. The spread of corporate impropriety to the housing market,
the New York Stock Exchange, and the mutual fund industry, as well as lingering
effects from the war in Iraq, failed to dampen investors' enthusiasm. Investors
focused on a strengthening economy, better market prospects, and a Federal
Reserve committed to keeping interest rates low.
The economic recovery is now visible on a global scale, with US growth and
corporate profits powering ahead. We expect continued, sustainable growth in
2004. A rise in consumer disposable income from tax cuts implemented last summer
has kept consumption on an accelerating trend. As the benefit from the tax cut
fades, job and salary growth will need to shoulder the consumption burden and
signs in the labor market have been generally positive. It is fair to say,
however, that with the strong market returns in 2003, we remain cautious looking
ahead. We remain cognizant of issues threatening the US equity market, including
declining liquidity, looming structural concerns, and relatively high equity
valuations. We do not anticipate that the Fed will seriously consider raising
rates until the back half of '04 and expect a decelerating trend in inflation
over the coming months.
37
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
BLUE CHIP MID CAP FUND (SUBADVISED BY WELLINGTON MANAGEMENT CO., LLP)
The SC Blue Chip Mid Cap Fund returned 36.09% during the twelve months ended
December 31, 2003, outpacing the 35.62% return for S&P Mid Cap 400 Index.
The Fund's performance relative to the Index was helped by strong stock
selection in the Financials, Telecommunications, and Information Technology
sectors. The Fund also benefited from an overweight allocation to the Health
Care sector, which performed well in 2003. Performance was held back somewhat
due to weaker stock selection in the Consumer Discretionary and Consumer Staples
sectors, as well as to an underweight allocation to the strong Information
Technology sector.
Key individual contributors on an absolute basis included Countrywide Financial
and Hudson City Bancorp, which benefited from the strong housing and refinancing
markets spurred by the low interest rate environment during 2003. Millennium
Pharmaceuticals rose sharply during the year, driven by the success of its
oncology drug Velcade to treat a bone marrow cancer known as multiple myeloma
and the slight possibility that this drug may also help treat solid tumors.
Guidant also performed well during the period on increased application of its
resynchronization defibrillators, strong growth in its implantable cardioverter
defibrillators, and a slower than expected decline in its bare metal stent
business.
The biggest individual detractors from performance on an absolute basis during
2003 included Pepsi Bottling Group, whose results were negatively impacted by
cold and inclement weather in the first quarter of the year. Newell Rubbermaid
also underperformed on a disappointing attempt to turn its business around.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Countrywide Financial Corp. 2.5% Software & Services 10.1%
Guidant Corp. 1.8% Banks 8.6%
XTO Energy, Inc. 1.6% Capital Goods 7.7%
Intuit, Inc. 1.6% Pharmaceuticals & Biotechnology 6.4%
ASML Holdings N.V. 1.5% Commercial Services & Supplies 6.2%
VeriSign, Inc. 1.5%
Parker-Hannifin Corp. 1.5%
Health Management Associates, Inc. 1.5%
EOG Resources, Inc. 1.5%
Lear Corp. 1.4%
</Table>
38
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BLUE CHIP MID CAP
FUND AND THE S&P MIDCAP 400 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
BLUE CHIP MID CAP FUND S&P MIDCAP 400 INDEX
Sep 1, 99 $10,000 $10,000
Sep 30, 99 $9,700 $9,691
Dec 31, 99 $12,707 $11,357
Mar 31, 2000 $15,610 $12,798
Jun 30, 2000 $15,187 $12,376
Sep 30, 2000 $16,768 $13,879
Dec 31, 2000 $15,879 $13,345
Mar 31, 2001 $13,918 $11,907
Jun 30, 2001 $15,446 $13,474
Sep 30, 2001 $12,790 $11,242
Dec 31, 2001 $15,366 $13,264
Mar 31, 2002 $16,004 $14,156
Jun 30, 2002 $14,910 $12,838
Sep 30, 2002 $12,243 $10,714
Dec 31, 2002 $13,075 $11,339
Mar 31, 2003 $12,813 $10,836
Jun 30, 2003 $15,127 $12,747
Sep 30, 2003 $15,663 $13,586
Dec 31, 2003 $17,794 $15,378
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- ----------- ----------
Blue Chip Mid Cap Fund............. 36.09% 3.87% 14.22%
S&P MidCap 400 Index............... 35.62% 4.84% 10.44%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's MidCap 400 Index is a capitalization-weighted index that
measures the mid-range sector of the U.S. stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee during this period. If this performance
information included the effect of the insurance charges and the fees and
expenses assumed by the investment adviser, performance numbers would be lower.
The value of an investment in the Blue Chip Mid Cap Fund and the return on the
investment will fluctuate and redemption proceeds may be higher or lower than an
investor's original cost. Returns greater than one year are annualized.
***For the period from September 1, 1999 (commencement of operations) to
December 31, 2003.
39
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
INVESTORS FOUNDATION FUND (SUBADVISED BY WELLINGTON MANAGEMENT CO., LLP)
The Investors Foundation Fund returned 29.20% during the twelve months ended
December 31, 2003, outperforming the S&P 500 Index, which returned 28.68%.
The Fund's out-performance relative to the Index during the period came
primarily from strong stock selection, particularly in Financials, Industrials,
and Health Care. Information Technology, the best performing sector in the
Index, was the one prominent detractor from relative return comparisons due to
weaker stock selection.
Key individual contributors to Fund performance, on an absolute basis, were
Cisco Systems (Information Technology), Citigroup (Financials), and Intel
(Information Technology). Cisco Systems rose sharply during the year, driven by
its aggressive growth in the storage switch business, and increased orders in
the second half of the year. Citigroup continued to execute well while
controlling its expenses. Intel benefited from the strong semiconductor cycle in
2003, increasing guidance during the year and beating earnings expectations.
Schering-Plough (Health Care), Qwest Communications (Telecommunication
Services), and Pepsi Bottling (Consumer Staples) detracted the most from Fund
performance, on an absolute basis, during the year. Schering-Plough has been
undergoing competitive pressures across several key drug franchises. Qwest
Communications was held back due to delayed audited financials, and
disappointing earnings results. Pepsi Bottling underperformed due to severe
weather in the first quarter across half of their US territories. Both Qwest
Communications and Pepsi Bottling had been eliminated from the Fund at the
year-end. Schering-Plough remains a modest holding.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Microsoft Corp 4.5% Banks 9.1%
Citigroup, Inc. 4.3% Pharmaceuticals & Biotechnology 8.7%
Cisco Systems, Inc. 2.7% Diversified Financial 7.7%
Bank of America Corp. 2.6% Software & Services 7.3%
Altria Group, Inc. 2.5% Technology Hardware & Company 7.2%
United Technologies Corp. 2.3%
Fannie Mae 2.2%
The Coca-Cola Co 2.2%
International Business Machines
Corp 2.1%
First Data Corp. 2.0%
</Table>
40
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INVESTORS
FOUNDATION FUND AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
INVESTORS FOUNDATION FUND S&P 500 INDEX
Sep 1, 99 $10,000 $10,000
Sep 30, 99 $9,680 $9,726
Dec 31, 99 $11,213 $11,173
Mar 31, 2000 $11,684 $11,429
Jun 30, 2000 $11,353 $11,126
Sep 30, 2000 $11,313 $11,018
Dec 31, 2000 $10,547 $10,156
Mar 31, 2001 $9,635 $8,952
Jun 30, 2001 $10,275 $9,476
Sep 30, 2001 $8,691 $8,085
Dec 31, 2001 $9,711 $8,949
Mar 31, 2002 $9,547 $8,973
Jun 30, 2002 $8,415 $7,771
Sep 30, 2002 $6,749 $6,429
Dec 31, 2002 $7,299 $6,971
Mar 31, 2003 $7,003 $6,751
Jun 30, 2003 $8,043 $7,791
Sep 30, 2003 $8,339 $7,997
Dec 31, 2003 $9,430 $8,971
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- -------------- --------------
Investors Foundation Fund.......... 29.20% -3.66% -1.35%
S&P 500 Index...................... 28.68% -4.05% -2.48%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Investors Foundation
Fund and the return on the investment will fluctuate and redemption proceeds may
be higher or lower than an investor's original cost. Returns greater than one
year are annualized.
***For the period from September 1, 1999 (commencement of operations) to
December 31, 2003.
41
<Page>
MANAGEMENT'S DISCUSSION & ANALYSIS
- ----------------------------------------------------------------------
SELECT EQUITY FUND (SUBADVISED BY WELLINGTON MANAGEMENT CO., LLP)
The SC Select Equity Fund returned 30.98% during the twelve months ended
December 31, 2003, outperforming the S&P 500 Index, which returned 28.68%. The
Fund's out-performance relative to the Index during the period was due to both
positive sector allocation and strong stock selection. Stock selection was
particularly strong in the Health Care and Information Technology sectors during
2003. Partially offsetting these positive results was weaker stock selection
within Consumer Staples and Financials.
Top individual contributors to Fund performance, on an absolute basis, were
Intel (Information Technology), Genzyme (Health Care), and Gap (Consumer
Discretionary). Intel benefited from the strong semiconductor cycle in 2003,
increasing guidance during the year and beating earnings expectations. Genzyme
also performed well, on the strength of developments in their product pipeline.
Finally, The Gap benefited from its strong management team.
Individual detractors from Fund performance, on an absolute basis, were Safeway
(Consumer Staples), Pepsi Bottling (Consumer Staples) and Northrop Grumman
(Industrials). All three stocks had been eliminated from the Fund as of
year-end. Safeway struggled with an inability to control its cost structure as
well as with an increased level of competition from the food and discount
retailers. Pepsi Bottling was weak after a disappointing first quarter due to
severe weather in half of their US territories. Northrop Grumman suffered from
concerns regarding a less favorable settlement in Iraq, which caused defense
stocks to fall out of favor.
<Table>
<Caption>
TOP TEN EQUITY HOLDINGS TOP FIVE INDUSTRIES
AT DECEMBER 31, 2003 AT DECEMBER 31, 2003
- ---------------------------------------------------- ----------------------------------------------------
% OF NET ASSETS % OF NET ASSETS
--------------- ---------------
Citigroup, Inc. 4.7% Pharmaceuticals & Biotechnology 18.6%
Pfizer, Inc. 4.6% Diversified Financials 14.8%
Time Warner Inc. 4.3% Technology Hardware & Equipment 12.5%
The Gap, Inc. 4.1% Capital Goods 9.0%
Eli Lilly & Co. 4.1% Retailing 8.0%
Microsoft Corp. 4.0%
American International Group, Inc. 3.8%
The Goldman Sachs Group, Inc. 3.6%
United Technologies Corp. 3.5%
General Electric Co. 3.5%
</Table>
42
<Page>
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SELECT EQUITY FUND
AND THE S&P 500 INDEX*
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<Table>
<Caption>
SELECT EQUITY FUND S&P 500 INDEX
Sep 1, 99 $10,000 $10,000
Sep 30, 99 $9,700 $9,726
Dec 31, 99 $12,640 $11,173
Mar 31, 2000 $14,680 $11,429
Jun 30, 2000 $13,060 $11,126
Sep 30, 2000 $12,770 $11,018
Dec 31, 2000 $11,413 $10,156
Mar 31, 2001 $9,353 $8,952
Jun 30, 2001 $9,863 $9,476
Sep 30, 2001 $8,282 $8,085
Dec 31, 2001 $9,562 $8,949
Mar 31, 2002 $9,165 $8,973
Jun 30, 2002 $7,324 $7,771
Sep 30, 2002 $6,176 $6,429
Dec 31, 2002 $6,927 $6,971
Mar 31, 2003 $6,749 $6,751
Jun 30, 2003 $7,724 $7,791
Sep 30, 2003 $7,965 $7,997
Dec 31, 2003 $9,073 $8,971
</Table>
TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003**
<Table>
<Caption>
LIFE OF
ONE YEAR THREE YEARS FUND***
-------- -------------- --------------
Select Equity Fund................. 30.98% -7.36% -2.22%
S&P 500 Index...................... 28.68% -4.05% -2.48%
</Table>
*The performance data of the index has been prepared from sources and data that
the investment adviser believes to be reliable, but no representation is made as
to their accuracy. The index is unmanaged and has no fees or costs. The
Standard & Poor's 500 Index is a market-value weighted index of 500 stocks and
is considered to be a benchmark of the overall stock market.
**Performance data is historical and includes changes in share price and
reinvestment of income dividends and capital gains distributions. Past
performance does not indicate future results. Performance numbers are net of all
operating expenses, but do not include any insurance charges imposed in
connection with your variable insurance contract. In addition, the investment
adviser reduced its management fee and certain other expenses during this
period. If this performance information included the effect of the insurance
charges and the fees and expenses assumed by the investment adviser, performance
numbers would be lower. The value of an investment in the Select Equity Fund and
the return on the investment will fluctuate and redemption proceeds may be
higher or lower than an investor's original cost. Returns greater than one year
are annualized.
***For the period from September 1, 1999 (commencement of operations) to
December 31, 2003.
43
<Page>
ALL CAP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 93.5%
ADVERTISING AGENCIES - 0.5%
The Interpublic Group of Cos., Inc.*.... 1,714 $ 26,738
----------
AEROSPACE & DEFENSE - 5.6%
Lockheed Martin Corp.................... 1,878 96,529
Raytheon Co............................. 3,193 95,918
The Boeing Co........................... 2,228 93,888
----------
286,335
----------
AGRICULTURE - 1.1%
IMC Global, Inc......................... 5,807 57,663
----------
APPAREL & TEXTILES - 1.5%
Jones Apparel Group, Inc................ 650 22,899
Warnaco Group, Inc.*.................... 3,188 50,849
----------
73,748
----------
CABLE & SATELLITE OPERATORS - 2.1%
Comcast Corp. Class A*.................. 3,281 107,846
----------
CABLE TV SERVICES - 1.1%
Cablevision Systems New York Group
Class A*.............................. 2,437 57,001
----------
CHEMICALS - DIVERSIFIED - 1.8%
Olin Corp............................... 4,527 90,812
----------
COMPUTERS & BUSINESS EQUIPMENT - 1.7%
Brocade Communications
Systems, Inc.*........................ 15,196 87,833
----------
CONSTRUCTION & MINING EQUIPMENT - 1.8%
Nabors Industries Ltd.*................. 2,195 91,092
----------
CONSUMER PRODUCTS & SERVICES - 1.8%
Newell Rubbermaid, Inc.................. 3,983 90,693
----------
DRUGS - 8.2%
Alpharma, Inc. Class A.................. 2,297 46,170
Bristol-Myers Squibb Co................. 2,879 82,339
Johnson & Johnson....................... 1,703 87,977
Merck & Co. Inc......................... 2,036 94,063
Pfizer, Inc............................. 3,061 108,145
----------
418,694
----------
DRUGS & HEALTH CARE - 2.1%
Tenet Healthcare Corp.*................. 6,703 107,583
----------
ELECTRICAL EQUIPMENT - 2.6%
Vicor Corp.*............................ 11,422 130,325
----------
<Caption>
SHARES VALUE
ENERGY - 1.9%
Calpine Corp.*.......................... 19,629 $ 94,415
----------
FINANCIAL SERVICES - 1.4%
J. P. Morgan Chase & Co................. 1,957 71,881
----------
FOOD, BEVERAGES & TOBACCO - 5.5%
Archer-Daniels-Midland Co............... 8,713 132,612
Hain Celestial Group, Inc.*............. 2,443 56,702
Sara Lee Corp........................... 4,123 89,510
----------
278,824
----------
FOODS - 1.4%
Smithfield Foods, Inc.*................. 3,464 71,705
----------
HEALTH CARE EQUIPMENT & SUPPLIES - 1.7%
Baxter International, Inc............... 2,861 87,318
----------
INSURANCE - 7.1%
Allmerica Financial Corp.*.............. 1,940 59,694
Aon Corp................................ 3,904 93,462
Prudential Financial, Inc............... 2,134 89,137
Unumprovident Corp...................... 7,619 120,151
----------
362,444
----------
INFORMATION TECHNOLOGY CONSULTING & SERVICES - 2.1%
BMC Software, Inc.*..................... 5,773 107,666
----------
MACHINERY - 3.6%
AGCO Corp.*............................. 4,991 100,519
UNOVA, Inc.*............................ 3,507 80,485
----------
181,004
----------
MANUFACTURING - DIVERSIFIED - 1.4%
Honeywell International, Inc............ 2,153 71,975
----------
MULTIMEDIA - 3.4%
Pegasus Communications Corp.
Class A*.............................. 4,489 126,051
Viacom Inc. Class B..................... 1,030 45,712
----------
171,763
----------
OIL & GAS - 0.9%
Anadarko Petroleum Corp................. 917 46,776
----------
OIL & GAS - DRILLING - 1.9%
Transocean Inc.*........................ 3,985 95,680
----------
OIL & GAS - DRILLING EQUIPMENT - 1.8%
Grant Prideco, Inc.*.................... 6,953 90,528
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
44
<Page>
ALL CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
PHARMACEUTICALS & BIOTECHNOLOGY - 1.9%
Schering-Plough Corp.................... 5,697 $ 99,071
----------
PHOTO EQUIPMENT - 1.8%
Eastman Kodak Co........................ 3,660 93,952
----------
REAL ESTATE COMPANIES - 2.7%
Annaly Mortgage Management, Inc......... 7,414 136,418
----------
REITS - 1.9%
American Financial Realty Trust......... 5,732 97,731
----------
RETAIL - 1.7%
Dillard's, Inc. Class A................. 5,145 84,687
----------
RETAIL TRADE - 1.6%
J. C. Penney Co., Inc................... 3,123 82,072
----------
SEMICONDUCTORS - 3.9%
Agere Systems, Inc. Class B*............ 33,932 98,403
Micron Technology, Inc.*................ 7,242 97,550
----------
195,953
----------
SOFTWARE - 2.3%
Concord Communications, Inc.*........... 2,217 44,274
Midway Games, Inc.*..................... 18,458 71,617
----------
115,891
----------
SOFTWARE & SERVICES - 1.9%
Oracle Corp.*........................... 7,155 94,446
----------
<Caption>
SHARES VALUE
TELECOMMUNICATIONS - 4.7%
Arris Group, Inc.*...................... 6,851 $ 49,602
AT&T Corp............................... 4,677 94,943
AT&T Wireless Services, Inc.*........... 11,779 94,114
----------
238,659
----------
TRANSPORTATION - 2.2%
GATX Corp............................... 3,965 110,941
----------
WASTE MANAGEMENT - 0.9%
Clean Harbors, Inc.*.................... 5,112 45,548
----------
Total Common Stock
(cost $4,160,875)..................... 4,753,711
----------
SHORT TERM INVESTMENTS - 4.9%
MUTUAL FUNDS - 4.9%
Federated Prime Obligation.............. 106,901 106,901
SSGA Money Market Fund.................. 139,333 139,333
----------
Total Short Term Investments
(amortized cost $246,234)............. 246,234
----------
TOTAL INVESTMENTS - 98.4%
(cost $4,407,109)..................... 4,999,945
Other assets less liabilities - 1.6%.... 82,320
----------
NET ASSETS - 100.0%..................... $5,082,265
==========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
45
<Page>
INVESTMENT GRADE BOND FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
ASSET BACKED SECURITIES - 1.6%
Airplanes Pass Through Trust Series D
10.88%, 3/15/19 (3)................... $ 494 $ 4,938
California Infrastructure Development
6.42%, 9/25/08........................ 220 233,481
Peco Energy Transition Trust
6.13%, 3/1/09......................... 750 828,286
-----------
Total Asset Backed Securities
(cost $1,325,155)..................... 1,066,705
-----------
CORPORATE DEBT OBLIGATIONS - 39.7%
AEROSPACE - 3.1%
Bombardier Capital, Inc.
6.13%, 6/29/06 (1).................... 900 957,375
Northrop Grumman Corp.
9.38%, 10/15/24....................... 1,000 1,088,111
-----------
2,045,486
-----------
AUTOMOTIVE - 1.4%
Ford Motor Co.
7.45%, 7/16/31........................ 900 909,469
-----------
BROADCASTING/MEDIA - 4.8%
Continental Cablevision, Inc.
9.50%, 8/1/13......................... 975 1,126,230
News America, Inc.
6.75%, 1/9/38......................... 300 334,990
Panamsat Corp.
6.13%, 1/15/05........................ 675 691,031
Time Warner Entertainment Co.
10.15%, 5/1/12........................ 800 1,067,603
-----------
3,219,854
-----------
BUILDING CONSTRUCTION - 0.8%
Centex Corp.
7.35%, 4/4/06......................... 135 148,549
Pulte Homes, Inc.
7.88%, 6/15/32........................ 320 371,665
-----------
520,214
-----------
ELECTRIC UTILITIES - 6.6%
Allegheny Energy Supply Co. LLC
8.25%, 4/15/12 (1).................... 750 706,875
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
Centerpoint Energy, Inc.
6.85%, 6/1/15 (1)..................... $ 625 $ 642,372
Edison Mission Energy
9.88%, 4/15/11........................ 700 728,000
Great Lakes Power, Inc.
9.00%, 8/1/04......................... 1,000 1,035,165
Monongahela Power Co.
5.00%, 10/1/06........................ 1,000 1,017,500
PSEG Energy Holdings, Inc.
8.50%, 6/15/11........................ 200 221,750
-----------
4,351,662
-----------
ELECTRONICS - 1.1%
Jabil Circuit, Inc.
5.88%, 7/15/10........................ 700 730,150
-----------
FOODS - 2.2%
Dole Food Co., Inc.
7.25%, 6/15/10........................ 700 721,000
Kraft Foods, Inc.
5.25%, 10/1/13........................ 750 756,760
-----------
1,477,760
-----------
GAMING - 1.0%
MGM Mirage, Inc.
8.50%, 9/15/10........................ 600 688,500
-----------
GAS & PIPELINE UTILITIES - 0.3%
Dynegy Holdings, Inc.
6.88%, 4/1/11......................... 200 184,250
-----------
HEALTH SERVICES - 1.1%
Medco Health Solutions, Inc.
7.25%, 8/15/13........................ 650 709,118
-----------
INSURANCE - 2.3%
Aon Corp.
7.38%, 12/14/12....................... 700 800,392
Equitable Life Assurance Society
7.70%, 12/1/15 (1).................... 600 713,379
-----------
1,513,771
-----------
OIL - 2.2%
PDVSA Finance Ltd.
8.50%, 11/16/12....................... 775 751,750
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
46
<Page>
INVESTMENT GRADE BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
Pemex Finance Ltd.
9.03%, 2/15/11........................ $ 600 $ 718,434
-----------
1,470,184
-----------
PACKAGING - 1.4%
Pactiv Corp.
8.38%, 4/15/27........................ 750 924,863
-----------
PAPER - 1.0%
Abitibi-Consolidated, Inc.
5.25%, 6/20/08........................ 650 638,738
-----------
REAL ESTATE - 3.2%
Commercial Net Lease Realty
7.13%, 3/15/08........................ 600 645,219
Highwoods Properties, Inc.
7.13%, 2/1/08......................... 730 786,711
Realty Income Corp.
5.50%, 11/15/15....................... 700 701,781
-----------
2,133,711
-----------
TELECOMMUNICATIONS - 5.3%
AT&T Wireless Services, Inc.
8.75%, 3/1/31......................... 700 863,680
Deutsche Telekom International Finance
BV
5.25%, 7/22/13........................ 500 505,110
Intelsat
6.50%, 11/1/13 (1).................... 700 730,375
PCCW-HKTC Capital Ltd.
6.00%, 7/15/13 (1).................... 600 612,503
Sprint Capital Corp.
6.90%, 5/1/19......................... 800 817,231
-----------
3,528,899
-----------
TOBACCO - 1.2%
Altria Group, Inc.
7.00%, 11/4/13........................ 750 800,096
-----------
TRANSPORTATION - 0.7%
America West Airlines, Inc.
6.86%, 1/2/06......................... 12 10,263
Atlas Air, Inc.
9.70%, 1/2/08......................... 81 21,197
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
Continental Airlines, Inc.
6.41%, 10/15/08....................... $ 91 $ 85,112
8.05%, 11/1/20........................ 374 383,044
-----------
499,616
-----------
Total Corporate Debt Obligations
(cost $25,030,917).................... 26,346,341
-----------
COLLATERALIZED MORTGAGE OBLIGATION - 1.7%
Federal National Mortgage Assn.
6.00%, 1/25/32
(cost $1,021,018)................... 1,127 1,157,079
-----------
COMMERCIAL MORTGAGE BACKED SECURITIES - 4.4%
Commercial Mortgage Asset Trust
Series 1999-C1 Class F
6.25%, 1/17/32 (1).................... 400 337,603
CS First Boston Mortgage Securities
Corp. Series 2000-C1 Class A2
7.55%, 4/14/62........................ 400 466,319
GMAC Commercial Mortgage
Securities, Inc. Series 2003-C1
Class A2
4.08%, 5/10/36........................ 800 759,558
4.22%, 4/10/40........................ 220 221,691
LB-UBS Commercial Mortgage Trust
Series 2002-C2 Class A1
3.83%, 6/15/26........................ 718 737,236
Morgan Stanley Capital I
Series 1997-XL1 Class A1
6.59%, 10/3/30........................ 159 160,999
Wachovia Bank Comercial Mortgage Trust
Series 2003-C9 Class A2
3.96%, 12/15/35....................... 235 236,487
-----------
Total Commercial Mortgage Backed
Securities
(cost $2,824,837)..................... 2,919,893
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
47
<Page>
INVESTMENT GRADE BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
U.S. GOVERNMENT AGENCY
OBLIGATIONS - 47.7%
Federal Home Loan Mortgage
4.74%, 8/1/32......................... $1,265 $ 1,277,184
4.75%, 10/11/12....................... 2,000 1,969,006
5.00%, 11/1/33........................ 999 986,444
5.50%, 10/1/17........................ 447 463,507
5.50%, 11/1/17........................ 844 875,510
5.50%, 9/15/28........................ 600 612,365
5.50%, 12/1/32........................ 594 601,946
5.50%, 6/1/33......................... 697 705,997
5.75%, 4/15/08........................ 1,250 1,372,485
6.00%, 1/1/17......................... 542 568,709
6.00%, 2/1/29......................... 57 59,288
6.50%, 10/1/16........................ 486 514,639
6.50%, 11/1/16........................ 41 42,946
6.50%, TBA............................ 1,250 1,308,985
7.00%, 11/1/29........................ 121 127,831
7.00%, 1/1/31......................... 96 101,715
7.00%, 4/1/31......................... 26 27,552
7.00%, 8/1/31......................... 356 376,487
7.50%, 3/1/30......................... 25 26,805
7.50%, 12/1/30........................ 116 124,693
9.00%, 11/1/06........................ 4 4,264
Federal National Mortgage Assn.
4.63%, 10/15/13....................... 1,000 992,958
5.00%, 6/1/18......................... 914 933,168
5.00%, 8/1/33......................... 246 243,336
5.00%, 10/1/33........................ 494 488,876
5.50%, 5/2/06......................... 1,000 1,069,789
5.50%, 12/1/32........................ 2,007 2,034,290
6.00%, 12/1/13........................ 63 66,667
6.00%, 11/1/16........................ 63 65,696
6.00%, TBA............................ 750 775,079
8.00%, 8/1/30......................... 16 17,211
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
Government National Mortgage Assn.
5.00%, 10/15/33....................... $ 989 $ 980,590
6.00%, 8/15/16........................ 204 214,950
6.50%, 9/15/31........................ 363 383,414
6.50%, 3/15/32........................ 391 412,210
6.50%, 9/15/32........................ 559 588,892
6.50%, 10/15/32....................... 1,728 1,822,168
7.00%, 12/15/14....................... 118 127,147
7.00%, 2/15/28........................ 75 79,725
7.50%, 3/15/30........................ 78 83,389
7.50%, 9/15/30........................ 152 163,528
Tennessee Valley Authority Series A
5.63%, 1/18/11........................ 200 215,871
U.S. Treasury Bonds
5.25%, 11/15/28 (2)................... 1,735 1,747,539
5.50%, 8/15/28 (2).................... 250 260,400
6.25%, 5/15/30........................ 90 103,859
7.25%, 5/15/16 (2).................... 195 243,255
10.38%, 11/15/12...................... 1,100 1,403,402
U.S. Treasury Notes
3.88%, 1/15/09........................ 3,497 3,949,248
-----------
Total U.S. Government Agency Obligations
(cost $31,324,544).................... 31,615,015
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
48
<Page>
INVESTMENT GRADE BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
SHORT TERM INVESTMENTS - 7.1%
COMMERCIAL PAPER - 1.1%
UBS Finance, LLC
1.07%, 1/8/04......................... $ 700 $ 699,854
</Table>
<Table>
<Caption>
SHARES
----------
MUTUAL FUNDS - 6.0%
Federated Prime Obligation.............. 2,447,921 2,447,921
SSGA Money Market Fund.................. 1,558,021 1,558,021
----------
4,005,942
----------
Total Short Term Investments
(cost $4,705,796)..................... 4,705,796
----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
TOTAL INVESTMENTS - 102.2%
(cost $66,232,267).................... $67,810,829
Other assets less
liabilities - (2.2)%.................. (1,475,596)
-----------
NET ASSETS - 100.0%..................... $66,335,233
===========
</Table>
TBA = to be announced
(1) Eligible for resale under rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally
to qualified institutional buyers. At December 31, 2003 these securities
amounted to $4,700,482, representing 7.09% of net assets.
(2) Security or a portion of the security has been designated as a collateral
for TBA securities.
(3) Security is in default
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
49
<Page>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
BANKERS ACCEPTANCE - 3.1%
Bank of America NA
1.08%, 3/29/04
(amortized cost $3,495,821)........... $3,505 $ 3,495,821
------------
COMMERCIAL PAPER - 73.8%
American Express Credit Corp.
1.05%, 2/23/04........................ 3,380 3,380,000
American General Finance Corp.
1.15%, 2/11/04 (1).................... 4,700 4,693,844
BellSouth Corp.
1.02%, 1/14/04 (1).................... 4,525 4,523,333
Canadian Wheat Board
1.02%, 2/5/04......................... 2,100 2,097,917
Caterpillar Financial Services NV
1.02%, 1/20/04........................ 714 713,616
1.03%, 3/11/04........................ 570 568,858
1.06%, 2/2/04......................... 1,000 999,058
CIT Group, Inc.
2.40%, 1/9/04......................... 4,000 4,000,000
Citicorp
1.07%, 2/17/04........................ 4,000 4,000,000
Coca-Cola Co.
1.01%, 2/17/04........................ 1,445 1,443,095
Diageo Capital PLC
1.08%, 2/5/04 (1)..................... 1,500 1,498,425
Dupont (E. I.) de Nemours & Co.
1.05%, 2/10/04........................ 2,600 2,596,967
1.06%, 1/16/04........................ 1,835 1,834,189
Expert Development Corp.
1.02%, 1/27/04........................ 3,300 3,297,569
FCAR Owner Trust
1.09%, 2/19/04........................ 4,000 3,994,066
General Electric Capital Corp.
1.08%, 1/12/04........................ 1,700 1,700,000
1.10%, 1/15/04........................ 1,800 1,800,000
1.12%, 3/3/04......................... 1,137 1,137,000
Household Finance Corp.
1.07%, 1/16/04........................ 2,440 2,440,000
1.07%, 1/28/04........................ 1,600 1,600,000
Morgan Stanley Dean Witter & Co.
1.08%, 1/12/04........................ 4,300 4,298,581
National Rural Utilities Cooperative
Finance Corp.
1.08%, 1/23/04........................ 4,600 4,596,964
Province of British Columbia
1.10%, 4/19/04........................ 5,400 5,382,015
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
Province of Quebec
1.03%, 1/5/04......................... $4,600 $ 4,599,474
The Goldman Sachs Group, Inc.
1.11%, 3/30/04........................ 2,799 2,791,319
Thunder Bay Funding, Inc.
1.09%, 1/7/04 (1)..................... 1,000 999,818
1.09%, 1/26/04 (1).................... 3,400 3,397,427
Toyota Motor Credit Corp.
1.02%, 1/6/04 (1)..................... 1,000 999,858
1.02%, 1/9/04 (1)..................... 500 499,887
1.05%, 2/12/04 (1).................... 3,000 2,996,325
UBS Finance, Inc.
1.06%, 1/5/04......................... 1,900 1,899,777
1.07%, 1/21/04........................ 1,000 999,406
1.07%, 2/17/04........................ 1,600 1,597,765
------------
Total Commercial Paper
(amortized cost $83,376,553).......... 83,376,553
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 19.7%
Federal Home Loan Mortgage
1.08%, 1/15/04........................ 5,000 4,997,900
5.25%, 2/15/04........................ 2,000 2,009,386
Federal National Mortgage Assn.
1.05%, 1/12/04........................ 4,000 3,998,717
1.07%, 2/11/04........................ 3,029 3,025,309
1.08%, 2/18/04........................ 3,800 3,794,528
United States Treas Bills
0.86%, 3/25/04........................ 2,500 2,495,012
0.87%, 3/25/04........................ 2,000 1,995,940
------------
Total U.S. Government Agency Obligations
(amortized cost $22,316,792).......... 22,316,792
------------
<Caption>
SHARES
---------
MUTUAL FUNDS - 3.1%
Federated Prime Obligation.............. 3,456,743 3,456,743
SSGA Money Market Fund.................. 28 28
------------
Total Mutual Funds
(amortized cost $3,456,771)........... 3,456,771
------------
TOTAL INVESTMENTS - 99.7%
(cost $112,645,937)................... 112,645,937
Other assets less liabilities - 0.3%.... 357,731
------------
NET ASSETS - 100.0%..................... $113,003,668
============
</Table>
(1) Security exempt from registration under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally
to qualified institutional buyers. At December 31, 2003 these securities
amounted to $19,608,917, representing 17.35% of net assets.
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
50
<Page>
REAL ESTATE FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
REAL ESTATE INVESTMENT TRUSTS - 97.1%
APARTMENTS - 13.5%
Archstone-Smith Trust................... 105,249 $ 2,944,867
AvalonBay Communities, Inc.............. 64,497 3,082,956
BRE Properties, Inc..................... 82,324 2,749,622
Equity Residential Properties Trust..... 62,608 1,847,562
-----------
10,625,007
-----------
DIVERSIFIED - 4.8%
Vornado Realty Trust.................... 69,401 3,799,705
-----------
HEALTH & HOSPITAL - 3.1%
Tenet Healthcare Corp.*................. 149,985 2,407,259
-----------
HOTELS & RESTAURANTS - 3.4%
Orient Exprees Hotels Ltd. Class A...... 162,512 2,670,072
-----------
MIXED - 3.5%
Reckson Associates Realty Corp.......... 114,982 2,794,063
-----------
OFFICE - 16.8%
Alexandria Real Estate
Equities, Inc......................... 38,440 2,225,676
Crescent Real Estate Equities Co........ 109,452 1,874,913
Equity Office Properties Trust.......... 63,054 1,806,497
Mack-Cali Realty Corp................... 73,020 3,039,092
SL Green Realty Corp.................... 103,631 4,254,053
-----------
13,200,231
-----------
REAL ESTATE - 7.8%
American Financial Realty Trust......... 180,745 3,081,702
Annaly Mortgage Management, Inc......... 164,602 3,028,677
-----------
6,110,379
-----------
REGIONAL MALLS - 16.6%
CBL & Associates Properties, Inc........ 60,543 3,420,679
<Caption>
SHARES VALUE
General Growth Properties, Inc.......... 145,933 $ 4,049,641
Macerich Co............................. 78,413 3,489,378
Simon Property Group, Inc............... 44,640 2,068,618
-----------
13,028,316
-----------
RETAIL TRADE - 4.1%
Dillards, Inc. Class A.................. 194,610 3,203,281
-----------
SHOPPING CENTERS - 14.0%
Developers Diversified Realty Corp...... 110,964 3,725,062
Federal Realty Investment Trust......... 74,370 2,855,064
Kimco Realty Corp....................... 67,112 3,003,262
Regency Centers Corp.................... 36,027 1,435,676
-----------
11,019,064
-----------
STORAGE - 3.0%
Shurgard Storage Centers, Inc.
Class A............................... 63,848 2,403,877
-----------
WAREHOUSE & INDUSTRIAL - 6.5%
CenterPoint Properties Trust............ 34,176 2,559,782
ProLogis Trust.......................... 80,941 2,597,397
-----------
5,157,179
-----------
Total Real Estate Investment Trusts
(cost $63,791,629).................... 76,418,433
-----------
SHORT-TERM INVESTMENTS - 2.3%
MUTUAL FUNDS - 2.3%
Federated Prime Obligation.............. 1,817,028 1,817,028
SSGA Money Market Fund.................. 21,305 21,305
-----------
Total Short-Term Investments
(cost $1,838,334)..................... 1,838,333
-----------
TOTAL INVESTMENTS - 99.4%
(cost $65,629,962).................... 78,256,766
Other assets less liabilities - 0.6%.... 437,829
-----------
NET ASSETS - 100.0%..................... $78,694,595
===========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
51
<Page>
ALGER GROWTH FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 96.7%
BANKS - 1.2%
Mellon Financial Corp................... 1,775 $ 56,995
U.S. Bancorp............................ 3,100 92,318
-----------
149,313
-----------
BIOTECHNOLOGY - 5.1%
Amgen, Inc.*............................ 3,902 241,144
Chiron Corp.*........................... 950 54,140
Genentech, Inc.*........................ 3,400 318,138
-----------
613,422
-----------
CAPITAL MARKETS - 1.4%
T. Rowe Price Group, Inc................ 3,600 170,676
-----------
COMMUNICATION EQUIPMENT - 5.9%
Cisco Systems, Inc.*.................... 14,475 351,598
Corning, Inc.*.......................... 21,700 226,331
Nokia Corp. ADR......................... 8,000 136,000
-----------
713,929
-----------
COMMUNICATION SERVICES - 4.3%
Hughes Electronics Corp.*............... 10,166 168,247
Nextel Communications, Inc.
Class A*.............................. 2,300 64,538
Vodafone Group PLC ADR.................. 7,750 194,060
XM Satellite Radio Holdings, Inc.
Class A*.............................. 3,750 98,850
-----------
525,695
-----------
COMPUTERS & BUSINESS EQUIPMENT - 4.0%
EMC Corp.*.............................. 12,850 166,022
Hewlett-Packard Co...................... 7,700 176,869
Seagate Technology...................... 7,400 139,860
-----------
482,751
-----------
DIVERSIFIED FINANCIALS - 1.2%
Citigroup, Inc.......................... 2,960 143,678
-----------
DRUGS - 3.9%
GlaxoSmithKline PLC ADR................. 5,100 237,762
Novartis AG ADR......................... 5,150 236,334
-----------
474,096
-----------
DRUGS & HEALTH CARE - 0.5%
Varian Medical Systems, Inc.*........... 800 55,280
-----------
ENERGY EQUIPMENT & SERVICES - 0.9%
BJ Services Co.*........................ 2,900 104,110
-----------
FINANCIAL SERVICES - 2.0%
Affiliated Managers Group, Inc.*........ 1,050 73,070
<Caption>
SHARES VALUE
American Express Co..................... 1,850 $ 89,225
Capital One Financial Corp.............. 1,400 85,806
-----------
248,101
-----------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.7%
Boston Scientific Corp.*................ 8,750 321,650
-----------
HEALTH CARE FACILITIES - 1.5%
Medtronic, Inc.......................... 3,700 179,857
-----------
HEALTH CARE PROVIDER & SERVICES - 4.2%
Caremark Rx, Inc.*...................... 6,350 160,846
Medco Health Solutions, Inc.*........... 4,700 159,753
UnitedHealth Group, Inc................. 3,200 186,176
-----------
506,775
-----------
HOTELS - 1.4%
Starwood Hotels & Resorts
Worldwide, Inc........................ 4,800 172,656
-----------
INDUSTRIAL CONGLOMERATES - 5.6%
General Electric Co..................... 10,000 309,800
Tyco International Ltd.................. 14,050 372,325
-----------
682,125
-----------
INSURANCE - 2.1%
American International Group, Inc....... 3,900 258,492
-----------
INTERNET & CATALOG RETAIL - 7.2%
Amazon.com, Inc.*....................... 5,950 313,208
eBay, Inc.*............................. 5,900 381,081
Netflix, Inc.*.......................... 3,150 172,273
-----------
866,562
-----------
LEISURE & ENTERTAINMENT - 1.2%
International Game Technology........... 4,100 146,370
-----------
MEDIA - 2.2%
Disney Walt Co.......................... 5,900 137,647
Fox Entertainment Group, Inc.
Class A*.............................. 4,400 128,260
-----------
265,907
-----------
MULTILINE RETAIL - 0.6%
The TJX Cos., Inc....................... 3,200 70,560
-----------
MULTIMEDIA - 0.3%
The News Corp. Ltd. ADR................. 1,137 34,394
-----------
OIL & GAS - 1.8%
Devon Energy Corp....................... 3,875 221,883
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
52
<Page>
ALGER GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
PHARMACEUTICALS - 3.5%
Abbott Laboratories, Inc................ 1,175 $ 54,755
Allergan, Inc........................... 1,525 117,135
Teva Pharmaceutical Industries
Ltd. ADR.............................. 2,800 158,788
Watson Pharmaceuticals, Inc.*........... 2,150 98,900
-----------
429,578
-----------
RETAIL - 2.9%
Best Buy Co., Inc....................... 2,550 133,212
The Gap, Inc............................ 9,450 219,335
-----------
352,547
-----------
RETAIL - DISCOUNTERS - 1.8%
Target Corp............................. 5,750 220,800
-----------
SEMICONDUCTORS - 8.4%
Intel Corp.............................. 9,200 296,240
Teradyne, Inc.*......................... 11,700 297,765
Texas Instruments, Inc.................. 6,900 202,722
Xilinx, Inc.*........................... 5,600 216,944
-----------
1,013,671
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCT - 3.5%
Analog Devices, Inc..................... 6,150 280,748
Applied Materials, Inc.*................ 6,600 148,170
-----------
428,918
-----------
SOFTWARE - 12.3%
Microsoft Corp.......................... 17,250 475,065
PeopleSoft, Inc.*....................... 10,850 247,380
Synopsys, Inc.*......................... 7,100 239,696
<Caption>
SHARES VALUE
VERITAS Software Corp.*................. 4,750 $ 176,510
Yahoo, Inc.*............................ 7,900 356,843
-----------
1,495,494
-----------
SPECIALTY RETAIL - 2.2%
The Home Depot, Inc..................... 7,500 266,175
-----------
TRUCKING & FREIGHT FORWARDING - 0.9%
United Parcel Service, Inc. Class B..... 1,400 104,370
-----------
Total Common Stock
(cost $9,903,547)..................... 11,719,835
-----------
SHORT TERM INVESTMENTS - 2.8%
MUTUAL FUNDS - 1.2%
SSGA Money Market Fund.................. 141,359 141,359
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.6%
Federal Home Loan Mortgage Discount Note
1.05%, 1/15/04........................ $200 199,918
-----------
Total Short Term Investments
(amortized cost $341,277)............. 341,277
-----------
TOTAL INVESTMENTS - 99.5%
(cost $10,244,824).................... 12,061,112
Other assets less liabilities - 0.5%.... 58,421
-----------
NET ASSETS - 100.0%..................... $12,119,533
===========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
53
<Page>
ALGER INCOME & GROWTH FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 97.1%
BANKS - 1.5%
UCBH Holdings, Inc...................... 3,350 $ 130,550
----------
BIOTECHNOLOGY - 2.9%
Amgen, Inc.*............................ 1,950 120,510
Chiron Corp.*........................... 1,500 85,485
Genentech, Inc.*........................ 550 51,463
----------
257,458
----------
CAPITAL MARKETS - 2.5%
T. Rowe Price Group, Inc................ 4,700 222,827
----------
COMMUNICATION EQUIPMENT - 4.3%
Cisco Systems, Inc.*.................... 11,300 274,477
Corning, Inc.*.......................... 10,700 111,601
----------
386,078
----------
COMMUNICATION SERVICES - 2.1%
Vodafone Group PLC ADR.................. 7,575 189,678
----------
COMPUTERS & BUSINESS EQUIPMENT - 2.1%
Dell, Inc.*............................. 2,950 100,182
Hewlett-Packard Co...................... 3,900 89,583
----------
189,765
----------
CONGLOMERATES - 3.3%
Tyco International Ltd.................. 11,200 296,800
----------
DIVERSIFIED FINANCIALS - 2.6%
Citigroup, Inc.......................... 4,725 229,351
----------
DIVERSIFIED MANUFACTURING - 2.3%
Dover Corp.............................. 5,300 210,675
----------
DRUGS - 2.5%
GlaxoSmithKline PLC ADR................. 4,800 223,776
----------
DRUGS & HEALTH CARE - 1.4%
Boston Scientific Corp.*................ 3,500 128,660
----------
FINANCE - 0.5%
Capital One Financial Corp.............. 800 49,032
----------
FINANCIAL SERVICES - 2.0%
Goldman Sachs Group, Inc................ 1,850 182,650
----------
FOODS & BEVERAGES - 1.2%
The Coca-Cola Co........................ 2,200 111,650
----------
HEALTH CARE FACILITIES - 0.8%
Medtronic, Inc.......................... 1,400 68,054
----------
<Caption>
SHARES VALUE
HEALTH CARE PROVIDER & SERVICES - 1.8%
HCA, Inc................................ 3,700 $ 158,952
----------
HOTELS - 3.7%
Mandalay Resort Group................... 5,100 228,072
Starwood Hotels & Resorts
Worldwide, Inc........................ 3,000 107,910
----------
335,982
----------
HOTELS, RESTAURANT & LEISURE - 1.6%
Royal Caribbean Cruises Ltd............. 4,200 146,118
----------
INDUSTRIAL - 2.1%
Rockwell Automation, Inc................ 5,200 185,120
----------
INDUSTRIAL CONGLOMERATES - 3.4%
General Electric Co..................... 9,850 305,153
----------
INSURANCE - 2.8%
American International Group, Inc....... 2,300 152,444
MGIC Investment Corp.................... 1,800 102,492
----------
254,936
----------
INTERNET & CATALOG RETAIL - 3.4%
Amazon.com, Inc.*....................... 1,050 55,272
eBay, Inc.*............................. 3,900 251,901
----------
307,173
----------
MEDIA - 4.1%
Viacom, Inc. Class A.................... 2,700 119,826
The Walt Disney Co...................... 10,500 244,965
----------
364,791
----------
MULTILINE RETAIL - 2.1%
Target Corp............................. 1,800 69,120
The TJX Cos., Inc....................... 5,400 119,070
----------
188,190
----------
OIL & GAS - 2.1%
ChevronTexaco Corp...................... 2,200 190,058
----------
PHARMACEUTICALS - 10.0%
Abbott Laboratories..................... 4,500 209,700
Bristol-Myers Squibb Co................. 5,000 143,000
Johnson & Johnson....................... 3,800 196,308
Pfizer, Inc............................. 7,705 272,218
Wyeth................................... 1,725 73,226
----------
894,452
----------
RETAIL - 1.9%
Best Buy Co., Inc....................... 3,300 172,392
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
54
<Page>
ALGER INCOME & GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
SEMICONDUCTOR EQUIPMENT - 2.3%
Analog Devices, Inc..................... 3,100 $ 141,515
Applied Materials, Inc.*................ 3,000 67,350
----------
208,865
----------
SEMICONDUCTORS - 6.1%
Intel Corp.............................. 9,025 290,605
Texas Instruments, Inc.................. 3,200 94,016
Xilinx, Inc.*........................... 4,300 166,582
----------
551,203
----------
SOFTWARE - 8.7%
Microsoft Corp.......................... 11,770 324,146
PeopleSoft, Inc.*....................... 6,700 152,760
VERITAS Software Corp.*................. 1,900 70,604
Yahoo!, Inc.*........................... 5,100 230,367
----------
777,877
----------
SPECIALTY RETAIL - 2.3%
The Home Depot, Inc..................... 5,800 205,842
----------
STEEL - 0.1%
International Steel Group, Inc.*........ 150 5,843
----------
TOBACCO - 3.4%
Altria Group, Inc....................... 5,600 304,752
----------
<Caption>
SHARES VALUE
TRUCKING & FREIGHT FORWARDING - 1.3%
United Parcel Service, Inc. Class B..... 1,600 $ 119,280
----------
TRAVEL & LEISURE - 1.9%
Carnival Corp........................... 4,300 170,839
----------
Total Common Stock
(cost $7,391,208)..................... 8,724,822
----------
SHORT TERM INVESTMENTS - 2.7%
MUTUAL FUNDS - 0.5%
SSgA Money Market Fund.................. 42,700 42,700
----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 2.2%
Federal Home Loan Mortgage Discount Note
1.08%, 3/01/04........................ $200 199,640
----------
Total Short Term Investments
(amortized cost $242,340)............. 242,340
----------
TOTAL INVESTMENTS - 99.8%
(cost $7,633,548)..................... 8,967,162
Other assets less liabilities - 0.2%.... 18,410
----------
NET ASSETS - 100.0%..................... $8,985,572
==========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
55
<Page>
ALGER SMALL CAPITALIZATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 92.8%
AEROSPACE & DEFENSE - 0.9%
Alliant Techsystems, Inc.*.............. 1,010 $ 58,338
----------
APPAREL & TEXTILES - 1.1%
Oxford Industries, Inc.................. 2,300 77,924
----------
BANKS - 3.6%
Bank Mutual Corp........................ 6,603 75,208
BankAtlantic Bancorp, Inc. Class A...... 4,550 86,450
UCBH Holdings, Inc...................... 2,140 83,396
----------
245,054
----------
BIOTECHNOLOGY - 6.6%
InterMune, Inc.*........................ 3,850 89,166
Onyx Pharmaceuticals, Inc.*............. 2,100 59,283
Protein Design Labs, Inc.*.............. 4,700 84,130
QLT, Inc.*.............................. 4,000 75,400
Telik, Inc.*............................ 3,350 77,083
Tularik Inc*............................ 4,100 66,215
----------
451,277
----------
BUSINESS SERVICES - 1.7%
Gevity HR, Inc.......................... 4,000 88,960
Rent-A-Center, Inc.*.................... 975 29,133
----------
118,093
----------
CAPITAL MARKETS - 1.1%
Jeffries Group, Inc..................... 2,300 75,946
----------
COMMERCIAL SERVICES - 1.8%
Corinthian Colleges, Inc.*.............. 1,160 64,450
CoStar Group, Inc.*..................... 1,400 58,352
----------
122,802
----------
COMMERCIAL SERVICES & SUPPLIES - 2.2%
Education Management Corp.*............. 2,470 76,669
Westcorp................................ 2,100 76,755
----------
153,424
----------
COMMUNICATION EQUIPMENT - 4.7%
Advanced Fibre Communications, Inc.*.... 3,350 67,502
F5 Networks, Inc.*...................... 2,700 67,770
NetScreen Technologies, Inc.*........... 1,600 39,600
Power Integrations, Inc.*............... 2,600 86,996
Tekelec*................................ 3,900 60,645
----------
322,513
----------
<Caption>
SHARES VALUE
COMPUTER SOFTWARE - 1.0%
Hyperion Solutions Corp.*............... 2,300 $ 69,322
----------
DIVERSIFIED FINANCIALS - 1.2%
Affiliated Managers Group, Inc.*........ 1,230 85,596
----------
DIVERSIFIED MANUFACTURING - 1.1%
Furniture Brands International, Inc..... 2,600 76,258
----------
DRUGS & HEALTH CARE - 0.9%
ALARIS Medical Systems, Inc.*........... 4,050 61,601
----------
ELECTRICAL EQUIPMENT - 2.3%
GrafTech International Ltd.*............ 6,400 86,400
Roper Industries, Inc................... 1,450 71,427
----------
157,827
----------
FINANCE - 0.9%
The First Marblehead Corp.*............. 2,700 59,076
----------
FINANCIAL SERVICES - 1.8%
Doral Financial Corp.................... 1,870 60,364
National Financial Partners Corp........ 2,300 63,365
----------
123,729
----------
FOODS & BEVERAGES - 0.9%
American Italian Pasta Co. Class A*..... 1,500 62,850
----------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.2%
Cytyc Corp.*............................ 4,800 66,048
Fisher Scientific
International, Inc.*.................. 2,050 84,808
----------
150,856
----------
HEALTH CARE PROVIDER & SERVICES - 5.0%
Kindred Healthcare, Inc.*............... 1,950 101,361
Mid Atlantic Medical Services, Inc.*.... 1,530 99,144
Psychiatric Solutions, Inc.*............ 2,950 61,655
VCA Antech, Inc.*....................... 2,650 82,097
----------
344,257
----------
HOTELS, RESTAURANT & LEISURE - 4.8%
Applebee's International, Inc........... 2,120 83,252
Multimedia Games, Inc.*................. 2,200 90,420
P. F. Chang's China Bistro, Inc.*....... 1,400 71,232
Station Casinos, Inc.................... 2,750 84,233
----------
329,137
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
56
<Page>
ALGER SMALL CAPITALIZATION FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
INSURANCE - 1.0%
Arch Capital Group Ltd.*................ 1,780 $ 70,951
----------
INTERNET SOFTWARE & SERVICES - 10.2%
Alliance Data Systems Corp.*............ 2,850 78,888
Autobytel, Inc.*........................ 7,250 65,830
Chordiant Software, Inc*................ 14,200 77,390
Digital Insight Corp.*.................. 3,450 85,905
InfoSpace, Inc.*........................ 2,150 49,557
Internet Security Systems, Inc.*........ 2,600 48,958
ManTech International Corp. Class A*.... 3,200 79,840
Netegrity, Inc.*........................ 5,200 53,612
Openwave Systems, Inc.*................. 5,166 56,826
SINA Corp.*............................. 1,200 40,500
ValueClick, Inc.*....................... 7,150 64,922
----------
702,228
----------
MACHINERY - 1.4%
Actuant Corp. Class A*.................. 2,580 93,396
----------
MEDIA - 2.3%
Media General, Inc. Class A............. 1,310 85,281
Radio One, Inc. Class A*................ 3,590 70,184
----------
155,465
----------
MEDICAL DEVICES - 3.5%
Dade Behring Holdings, Inc.*............ 2,500 89,350
Intuitive Surgical, Inc.*............... 3,700 63,233
Wright Medical Group, Inc.*............. 2,925 89,037
----------
241,620
----------
MEDICAL PRODUCTS - 1.2%
PSS World Medical, Inc.*................ 7,100 85,697
----------
NETWORKING EQUIPMENT - 1.0%
Ixia*................................... 6,100 71,370
----------
OIL & GAS - 3.7%
Noble Energy, Inc....................... 1,925 85,528
Tom Brown, Inc.*........................ 2,550 82,238
Varco International, Inc.*.............. 4,050 83,551
----------
251,317
----------
PAPER & FOREST PRODUCTS - 1.2%
Louisiana-Pacific Corp.*................ 4,750 84,930
----------
PHARMACEUTICALS - 3.5%
Angiotech Pharmaceuticals, Inc.*........ 1,650 75,900
Medicines Co.*.......................... 3,250 95,745
Pharmaceutical Resources, Inc.*......... 1,060 69,059
----------
240,704
----------
<Caption>
SHARES VALUE
RAILROADS - 1.2%
J. B. Hunt Transportation
Services, Inc.*....................... 2,960 $ 79,950
----------
RETAILING - 2.1%
Guitar Center, Inc.*.................... 2,050 66,789
PETCO Animal Supplies, Inc.*............ 2,550 77,647
----------
144,436
----------
SEMICONDUCTOR EQUIPMENT - 1.9%
Axcelis Technologies, Inc.*............. 5,500 56,210
Brooks Automation, Inc.*................ 3,200 77,344
----------
133,554
----------
SEMICONDUCTORS - 2.0%
Fairchild Semiconductor Corp.
Class A*.............................. 3,510 87,645
Integrated Circuit Systems, Inc.*....... 1,850 52,706
----------
140,351
----------
SEMICONDUCTOR EQUIPMENT & PRODUCT - 2.2%
Semtech Corp.*.......................... 3,000 68,190
Varian Semiconductor Equipment
Associates, Inc.*..................... 1,930 84,322
----------
152,512
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
Avid Technology, Inc.*.................. 1,600 76,800
----------
SOFTWARE - 4.0%
Fair, Issac & Co., Inc.................. 1,580 77,673
Open Solutions, Inc.*................... 3,000 52,710
Quest Software, Inc.*................... 4,450 63,190
Verity, Inc.*........................... 5,050 84,284
----------
277,857
----------
SOFTWARE & SERVICES - 1.0%
Ascential Software Corp.*............... 2,650 68,714
----------
SPECIALTY RETAIL - 1.3%
AnnTaylor Stores Corp.*................. 2,300 89,700
----------
TRANSPORTATION - 0.7%
Sirva, Inc.*............................ 2,500 48,850
----------
WIRELESS TELECOMMUNICATION SERVICES - 0.5%
Sierra Wireless*........................ 2,400 36,912
----------
Total Common Stock
(cost $5,451,257)..................... 6,393,194
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
57
<Page>
ALGER SMALL CAPITALIZATION FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
SHORT TERM INVESTMENTS - 5.9%
MUTUAL FUNDS - 1.5%
SSGA Money Market Fund.................. 106,516 $ 106,516
----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 4.4%
Federal Home Loan Mortgage Discount Note
1.06%, 3/04/04........................ $100 99,815
----------
Federal National Mortgage Association
Discount Note
1.05%, 1/09/04........................ 100 99,976
2.00%, 2/11/04........................ 100 99,884
----------
299,675
----------
Total Short Term Investments
(amortized cost $406,191)............. 406,191
----------
TOTAL INVESTMENTS - 98.7%
(cost $5,857,448)..................... 6,799,385
Other assets less liabilities - 1.3%.... 91,840
----------
NET ASSETS - 100.0%..................... $6,891,225
==========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
58
<Page>
DAVIS FINANCIAL FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
COMMON STOCK - 95.3%
BANKING S & L - 22.6%
Bank One Corp. .................... 9,200 $ 419,428
Commerce Bancorp, Inc. ............ 5,600 295,008
Fifth Third Bancorp................ 7,100 419,610
Golden West Financial Corp. ....... 4,600 474,674
Wells Fargo & Co. ................. 7,200 424,008
----------
2,032,728
----------
CONSUMER PRODUCTS & SERVICES - 3.7%
Altria Group, Inc. ................ 6,100 331,962
----------
DIVERSIFIED MANUFACTURING - 5.8%
Tyco International Ltd. ........... 19,700 522,050
----------
FINANCIAL SERVICES - 19.1%
American Express Co. .............. 13,000 626,990
D&B Corp.*......................... 8,100 410,751
H&R Block, Inc. ................... 3,900 215,943
Moodys Corp. ...................... 5,400 326,970
Providian Financial Corp.*......... 6,700 77,988
The Charles Schwab Corp. .......... 4,900 58,016
----------
1,716,658
----------
INSURANCE - 25.2%
American International
Group, Inc. ..................... 3,650 241,922
Aon Corp. ......................... 7,900 189,126
Berkshire Hathaway, Inc.
Class A*......................... 4 337,000
China Life Insurance Co., Ltd.
ADR*............................. 1,900 62,643
Cincinnati Financial Corp. ........ 7,000 293,160
Everest Re Group, Ltd. ............ 2,500 211,500
FPIC Insurance Group, Inc.*........ 4,000 100,360
Loews Corp. ....................... 3,600 178,020
<Caption>
COUNTRY
CODE SHARES VALUE
Markel Corp.*...................... 700 $ 177,457
The Progressive Corp. ............. 1,000 83,590
Transatlantic Holdings, Inc. ...... 4,750 383,800
----------
2,258,578
----------
INVESTMENT FIRM - 15.7%
Citigroup, Inc. ................... 8,400 407,736
Janus Capital Group, Inc. ......... 24,000 393,840
Julius Baer Holding, Ltd. AG....... CH 1,800 606,644
----------
1,408,220
----------
PACKAGING - 3.2%
Sealed Air Corp.*.................. 5,300 286,942
----------
Total Common Stock
(cost $7,414,502)................ 8,557,138
----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
SHORT TERM INVESTMENT - 4.7%
REPURCHASE AGREEMENT - 4.7%
State Street Bank and Trust Company
0.92%, 1/2/04 (collateralized by
$420,000
Student Loan Mortgage Association,
3.375%, 07/15/04 with a value of
$431,400)
(amortized cost $422,000)............. $422 422,000
------------
TOTAL INVESTMENTS - 100.0%
(cost $7,836,502)..................... 8,979,138
Other assets less liabilities - 0.0%.... 3,086
------------
NET ASSETS - 100.0%..................... $ 8,982,224
============
</Table>
* Non-income producing security
ADR = American Depositary Receipt
CH = Switzerland
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
59
<Page>
DAVIS VENTURE VALUE FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
COMMON STOCK - 97.8%
BANKING S & L - 17.7%
Bank One Corp. .................... 34,800 $ 1,586,532
Fifth Third Bancorp................ 9,600 567,360
Golden West Financial Corp. ....... 14,300 1,475,617
HSBC Holdings PLC.................. GB 121,291 1,900,964
Lloyds TSB Group PLC ADR........... 13,800 449,190
State Street Corp. ................ 2,600 135,408
Wells Fargo & Co. ................. 29,100 1,713,699
-----------
7,828,770
-----------
BUILDING MATERIALS - 1.6%
Martin Marietta
Materials, Inc. ................. 7,300 342,881
Vulcan Materials Co. .............. 7,300 347,261
-----------
690,142
-----------
COMPUTERS - 1.9%
Lexmark International,
Inc. Class A*.................... 11,000 865,040
-----------
CONSUMER PRODUCTS & SERVICES - 6.1%
Altria Group, Inc. ................ 49,600 2,699,232
-----------
DIVERSIFIED MANUFACTURING - 4.3%
Tyco International Ltd. ........... 72,030 1,908,795
-----------
DRUGS - 0.5%
Novartis AG........................ CH 5,200 235,982
-----------
ELECTRONICS - 0.5%
Agere Systems, Inc. Class A*....... 76,500 233,325
-----------
ENERGY SOURCES - 1.9%
Devon Energy Corp. ................ 14,600 835,996
-----------
FINANCIAL SERVICES - 11.9%
American Express Co. .............. 69,300 3,342,339
D&B Corp.*......................... 9,300 471,603
H&R Block, Inc. ................... 9,600 531,552
Moody's Corp. ..................... 8,600 520,730
Providian Financial Corp.*......... 12,200 142,008
Takefuji Corp. .................... JP 5,400 252,522
-----------
5,260,754
-----------
<Caption>
COUNTRY
CODE SHARES VALUE
FOOD, BEVERAGES & RESTAURANTS - 3.7%
Diageo PLC ADR..................... 13,300 $ 703,038
Heineken Holding NV Class A........ NL 6,000 205,095
Hershey Foods Corp. ............... 5,200 400,348
Kraft Foods, Inc. Class A.......... 10,600 341,532
-----------
1,650,013
-----------
HEALTH CARE FACILITIES - 1.0%
HCA, Inc. ......................... 10,400 446,784
-----------
INSURANCE - 19.4%
American International
Group, Inc. ..................... 38,300 2,538,524
Aon Corp. ......................... 16,600 397,404
Berkshire Hathaway, Inc.
Class A*......................... 25 2,106,250
Loews Corp. ....................... 15,700 776,365
Markel Corp.*...................... 200 50,702
The Chubb Corp. ................... 2,300 156,630
The Principal Financial
Group, Inc. ..................... 5,200 171,964
The Progressive Corp. ............. 19,600 1,638,364
Transatlantic Holdings, Inc. ...... 8,950 723,160
-----------
8,559,363
-----------
INVESTMENT FIRM - 5.4%
Citigroup, Inc. ................... 37,033 1,797,582
Janus Capital Group, Inc. ......... 7,000 114,870
Morgan Stanley..................... 8,100 468,747
-----------
2,381,199
-----------
MULTIMEDIA - 1.3%
Lagardere S.C.A.................... FR 9,800 565,146
-----------
OIL & GAS - 4.5%
ConocoPhillips..................... 16,264 1,066,430
EOG Resources, Inc. ............... 10,300 475,551
Occidental Petroleum Corp. ........ 10,500 443,520
-----------
1,985,501
-----------
PACKAGING - 3.6%
Sealed Air Corp.*.................. 29,300 1,586,302
-----------
PHARMACEUTICALS - 3.2%
Eli Lilly & Co. ................... 10,900 766,597
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
60
<Page>
DAVIS VENTURE VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
Merck & Co. ....................... 3,800 $ 175,560
Pfizer, Inc. ...................... 12,880 455,050
-----------
1,397,207
-----------
PUBLISHING - 0.8%
Gannett, Inc. ..................... 4,000 356,640
-----------
REAL ESTATE - 2.8%
CenterPoint Properties Trust....... 11,598 868,690
Marriott International, Inc.
Class A.......................... 7,800 360,360
-----------
1,229,050
-----------
RETAILING - 3.2%
Costco Wholesale Corp.*............ 37,800 1,405,404
-----------
SOFTWARE - 0.9%
Microsoft Corp. ................... 14,800 407,592
-----------
TRANSPORTATION - 1.1%
United Parcel Service, Inc.
Class B.......................... 6,500 484,575
-----------
<Caption>
COUNTRY
CODE SHARES VALUE
WHOLESALE & RETAIL - 0.5%
AutoZone, Inc.*.................... 2,500 $ 213,025
-----------
Total Common Stock
(cost $37,720,884)............... 43,225,837
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
SHORT TERM INVESTMENT - 2.1%
REPURCHASE AGREEMENT - 2.1%
State Street Bank and Trust Company
0.92%, 1/2/04 (collateralized by
$930,000 Student Loan Mortgage
Association, 3.375%, 07/15/04 with a
value of $955,244)
(amortized cost $936,000)............. $936 936,000
-------------
TOTAL INVESTMENTS - 99.9%
(cost $38,656,884).................... 44,161,837
Other assets less liabilities - 0.1%.... 52,756
-------------
NET ASSETS - 100.0%..................... $ 44,214,593
=============
</Table>
* Non-income producing security
ADR = American Depositary Receipt
CH = Switzerland
FR = France
GB = Great Britain
JP = Japan
NL = Netherlands
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
61
<Page>
NEUBERGER BERMAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 94.7%
ADVERTISING - 0.7%
Getty Images, Inc.*..................... 1,000 $ 50,130
----------
APPAREL & TEXTILES - 1.5%
Coach, Inc.*............................ 2,800 105,700
----------
AUTO PARTS - 1.0%
Gentex Corp............................. 1,500 66,240
----------
BIOTECH RESEARCH & PRODUCTION - 3.6%
Chiron Corp.*........................... 1,500 85,485
Genzyme Corp.*.......................... 1,500 74,010
Gilead Sciences, Inc.*.................. 1,500 87,210
----------
246,705
----------
BIOTECHNOLOGY - 0.8%
Invitrogen Corp.*....................... 750 52,500
----------
BUILDING & CONSTRUCTION - 0.5%
Centex Corp............................. 300 32,295
----------
BUSINESS SERVICES - 3.3%
Alliance Data Systems Corp.*............ 3,350 92,728
Stericycle, Inc.*....................... 1,400 65,380
The Corporate Executive Board Co.*...... 1,400 65,338
----------
223,446
----------
CASINOS & GAMBLING - 1.3%
International Game Technology........... 2,500 89,250
----------
COMMUNICATION SERVICES - 1.7%
Nextel Partners, Inc. Class A*.......... 8,700 117,015
----------
COMPUTERS & BUSINESS EQUIPMENT - 5.5%
Lam Research Corp.*..................... 1,200 38,760
Qlogic Corp.*........................... 1,200 61,920
UTStarcom, Inc.*........................ 2,700 100,089
Zebra Technologies Corp. Class A*....... 2,700 179,199
----------
379,968
----------
COMPUTER SERVICES - 1.1%
Affiliated Computer Services, Inc.
Class A*.............................. 650 35,399
Unisys Corp.*........................... 2,500 37,125
----------
72,524
----------
<Caption>
SHARES VALUE
COMPUTER SERVICES & SOFTWARE SYSTEMS - 2.2%
Juniper Networks, Inc.*................. 3,500 $ 65,380
Mercury Interactive Corp.*.............. 1,700 82,688
----------
148,068
----------
CONSTRUCTION MATERIALS - 0.8%
United Rentals, Inc.*................... 3,000 57,780
----------
CONSUMER ELECTRONICS - 0.5%
Electronic Arts, Inc.*.................. 740 35,357
----------
CONTAINERS & GLASS - 2.1%
Packaging Corp. of America.............. 3,000 65,580
Pactiv Corp.*........................... 3,200 76,480
----------
142,060
----------
DIVERSIFIED FINANCIAL SERVICES - 3.7%
Capital One Financial Corp.............. 1,400 85,806
Franklin Resources, Inc................. 2,000 104,120
Moody's Corp............................ 1,100 66,605
----------
256,531
----------
DIVERSIFIED MANUFACTURING - 0.5%
Eaton Corp.............................. 350 37,793
----------
DIVERSIFIED MATERIALS & PROCESSING - 1.2%
Danaher Corp............................ 900 82,575
----------
DRUGS & HEALTH CARE - 5.2%
Allergan, Inc........................... 1,100 84,491
Celgene Corp.*.......................... 1,100 49,522
Henry Schein, Inc.*..................... 1,200 81,096
NPS Pharmaceuticals, Inc.*.............. 1,900 58,406
VISX, Inc.*............................. 3,500 81,025
----------
354,540
----------
DRUGS & MEDICAL PRODUCTS - 1.2%
Watson Pharmaceuticals, Inc.*........... 1,800 82,800
----------
DRUGS & PHARMACEUTICAL - 1.2%
Teva Pharmaceutical Industries Ltd.
ADR................................... 1,400 79,394
----------
EDUCATION SERVICES - 1.4%
Education Management Corp.*............. 3,000 93,120
----------
ELECTRICAL EQUIPMENT - 1.3%
Molex, Inc.............................. 2,500 87,225
----------
ELECTRONICS - 0.9%
SPX Corp.*.............................. 1,100 64,691
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
62
<Page>
NEUBERGER BERMAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.6%
Agilent Technologies, Inc.*............. 2,400 $ 70,176
Jabil Circuit, Inc.*.................... 1,500 42,450
----------
112,626
----------
ELECTRONICS - SEMICONDUCTORS - 7.1%
Broadcom Corp. Class A*................. 1,300 44,317
Fairchild Semiconductor
International, Inc. Class A*.......... 2,750 68,667
Intersil Corp. Class A.................. 2,650 65,853
KLA-Tencor Corp.*....................... 1,000 58,670
Microchip Technology, Inc............... 3,000 100,080
National Semiconductor Corp.*........... 2,200 86,702
Silicon Laboratories, Inc.*............. 1,400 60,508
----------
484,797
----------
FINANCIAL SERVICES - 1.4%
Investors Financial Services Corp....... 2,500 96,025
----------
FOODS - 1.0%
Whole Foods Market, Inc.*............... 1,000 67,130
----------
HEALTH CARE - DIVERSE - 2.6%
C. R. Bard, Inc......................... 1,050 85,313
Varian Medical Systems, Inc.*........... 1,375 95,012
----------
180,325
----------
HEALTH CARE - MANAGEMENT SERVICES - 1.3%
Caremark Rx, Inc.*...................... 3,600 91,188
----------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS - 1.4%
Harman International Industries, Inc.... 1,300 96,174
----------
HOTELS - 1.3%
Mandalay Resort Group................... 2,000 89,440
----------
INDUSTRIAL MACHINERY - 1.7%
Donaldson Co., Inc...................... 1,000 59,160
Parker-Hannifin Corp.................... 1,000 59,500
----------
118,660
----------
INSURANCE - 0.4%
China Life Insurance Co., Ltd. ADR*..... 800 26,376
----------
INTERNET RETAIL - 0.8%
Amazon.com, Inc.*....................... 1,000 52,640
----------
INTERNET SOFTWARE & SERVICES - 1.5%
Symantec Corp.*......................... 3,000 103,950
----------
<Caption>
SHARES VALUE
MEDICAL DEVICES - 0.6%
INAMED Corp.*........................... 900 $ 43,254
----------
MEDICAL PRODUCTS - 1.3%
Zimmer Holdings, Inc.*.................. 1,250 88,000
----------
METALS & MINERALS - 0.5%
Freeport-McMoran Copper & Gold, Inc.
Class B............................... 800 33,704
----------
MUTUAL FUNDS - 0.7%
IShares Trust Russell 2000 Growth Index
Fund.................................. 800 47,408
----------
OIL - EXPLORATION & PRODUCTION - 0.9%
Murphy Oil Corp......................... 1,000 65,310
----------
OIL CRUDE PRODUCERS - 0.9%
XTO Energy, Inc......................... 2,160 61,128
----------
PIPELINES - 1.0%
Kinder Morgan, Inc...................... 1,150 67,965
----------
RADIO & TV BROADCASTING - 2.8%
The E.W. Scripps Co. Class A............ 900 84,726
Univision Communications, Inc.
Class A*.............................. 2,700 107,163
----------
191,889
----------
RETAIL - 3.1%
CarMax, Inc.*........................... 1,500 46,395
Ross Stores, Inc........................ 2,900 76,647
Tiffany & Co............................ 2,000 90,400
----------
213,442
----------
RETAIL - APPAREL - 1.5%
Nordstrom, Inc.......................... 3,000 102,900
----------
RETAIL TRADE - 5.5%
Michaels Stores, Inc.................... 2,000 88,400
PETsMART, Inc........................... 3,000 71,400
Staples, Inc.*.......................... 2,500 68,250
Tuesday Morning Corp.*.................. 2,000 60,500
Williams-Sonoma, Inc.*.................. 2,600 90,402
----------
378,952
----------
SAVINGS & LOANS - 1.3%
New York Community Bancorp, Inc......... 2,300 87,515
----------
SEMICONDUCTOR EQUIPMENT - 1.2%
ASML Holdings N.V.*..................... 4,000 80,200
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
63
<Page>
NEUBERGER BERMAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
SOFTWARE - 1.2%
VERITAS Software Corp.*................. 2,200 $ 81,752
----------
SOFTWARE & SERVICES - 1.0%
PeopleSoft, Inc.*....................... 3,000 68,400
----------
TECHNOLOGY - 1.1%
SanDisk Corp.*.......................... 1,200 73,368
----------
TELECOMMUNICATIONS EQUIPMENT - 0.6%
Corning, Inc.*.......................... 4,000 41,720
----------
TRUCKING & FREIGHT FORWARDING - 1.3%
J.B. Hunt Transport Services, Inc.*..... 3,400 91,834
----------
TRANSPORTATION - 0.6%
Swift Transportation Co., Inc.*......... 2,000 42,040
----------
TRAVEL & LEISURE - 1.0%
Royal Caribbean Cruises Ltd............. 2,000 69,580
----------
WHOLESALE - 1.3%
Fastenal Co............................. 1,850 92,389
----------
Total Common Stock
(cost $5,362,499)..................... 6,499,788
----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000) VALUE
SHORT TERM INVESTMENT - 5.4%
REPURCHASE AGREEMENT - 5.4%
State Street Bank and Trust Company
0.78%, 1/02/04
(collateralized by $372,000 Federal
Home Loan Mortgage Corporation,
2.000%, 01/21/05 with a value of
$383,563)
(amortized cost $372,000)............. $372 $ 372,000
----------
TOTAL INVESTMENTS - 100.1%
(cost $5,734,499)..................... 6,871,788
Other assets less
liabilities - (0.1%).................. (4,326)
----------
NET ASSETS - 100.0%..................... $6,867,462
==========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
64
<Page>
NEUBERGER BERMAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 97.5%
APPAREL & TEXTILES - 2.3%
V. F. Corp.............................. 5,100 $ 220,524
----------
AUTO PARTS - 5.3%
BorgWarner, Inc......................... 2,000 170,140
Johnson Controls, Inc................... 1,100 127,732
Lear Corp............................... 3,550 217,721
----------
515,593
----------
BANKS - 4.9%
Charter One Financial, Inc.............. 6,500 224,575
North Fork Bancorporation, Inc.......... 3,800 153,786
Southtrust Corp......................... 2,900 94,917
----------
473,278
----------
BUILDING MATERIALS - 0.9%
American Standard Cos., Inc.*........... 900 90,630
----------
COMMERCIAL SERVICES & SUPPLIES - 2.3%
Manpower, Inc........................... 4,700 221,276
----------
COMPUTER SERVICES & SOFTWARE SYSTEMS - 1.7%
Computer Associates
International, Inc.................... 6,000 164,040
----------
CONSUMER DURABLES & APPAREL - 1.7%
Liz Claiborne, Inc...................... 4,700 166,662
----------
DIVERSIFIED FINANCIAL SERVICES - 1.5%
TCF Financial Corp...................... 2,900 148,915
----------
DIVERSIFIED MANUFACTURING - 2.0%
SPX Corp.*.............................. 3,300 194,073
----------
DRUGS & HEALTH CARE - 3.8%
Laboratory Corp. of America Holdings*... 3,600 133,020
Oxford Health Plans, Inc.*.............. 5,400 234,900
----------
367,920
----------
ELECTRIC UTILITIES - 1.8%
Pepco Holdings, Inc..................... 2,500 48,850
PPL Corp................................ 2,800 122,500
----------
171,350
----------
FINANCIAL MISCELLANEOUS - 6.4%
Ambac Financial Group, Inc.............. 2,850 197,762
IndyMac Bancorp, Inc.................... 6,600 196,614
Radian Group, Inc....................... 4,550 221,812
----------
616,188
----------
<Caption>
SHARES VALUE
FINANCIAL SERVICES - 5.2%
CIT Group, Inc.......................... 2,800 $ 100,660
First Tennessee National Corp........... 5,200 229,320
The Bear Stearns Cos., Inc.............. 2,200 175,890
----------
505,870
----------
FOODS & BEVERAGES - 4.0%
Constellation Brands, Inc. Class A*..... 7,400 243,682
Del Monte Foods Co.*.................... 13,400 139,360
----------
383,042
----------
FOODS - 1.5%
Fresh Del Monte Produce, Inc............ 6,100 145,363
----------
HEALTHCARE - 1.5%
WellChoice, Inc.*....................... 4,200 144,900
----------
HEALTH CARE FACILITIES - 4.1%
Triad Hospitals, Inc.*.................. 7,300 242,871
Universal Health Services, Inc.
Class B............................... 2,900 155,788
----------
398,659
----------
HEALTH CARE - SERVICES - 3.0%
DaVita, Inc.*........................... 3,700 144,300
Omnicare, Inc........................... 3,600 145,404
----------
289,704
----------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS - 1.5%
Mohawk Industries, Inc.*................ 2,000 141,080
----------
INSURANCE - 4.2%
RenaissanceRe Holdings Ltd.............. 4,600 225,630
The PMI Group, Inc...................... 4,800 178,704
----------
404,334
----------
INSURANCE - MULTILINE - 3.3%
Loews Corp.............................. 3,000 148,350
PartnerRe Ltd........................... 2,900 168,345
----------
316,695
----------
INSURANCE - PROPERTY & CASUALTY - 3.3%
Anthem, Inc.*........................... 2,400 180,000
XL Capital Ltd. Class A................. 1,730 134,162
----------
314,162
----------
INVESTMENT MANAGEMENT COMPANIES - 0.8%
Federated Investors, Inc. Class B....... 2,500 73,400
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
65
<Page>
NEUBERGER BERMAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
LEISURE TIME - 1.0%
Brunswick Corp.......................... 3,000 $ 95,490
----------
MEDICAL DEVICES - 1.2%
Quest Diagnostics, Inc.*................ 1,600 116,976
----------
OIL - EXPLORATION & PRODUCTION - 1.7%
EOG Resources, Inc...................... 3,500 161,595
----------
OIL CRUDE PRODUCERS - 6.7%
Apache Corp............................. 650 52,715
Sunoco, Inc............................. 4,100 209,715
Talisman Energy, Inc.................... 3,200 181,120
XTO Energy, Inc......................... 7,166 202,798
----------
646,348
----------
OIL & GAS - EXPLORATION & PRODUCTION - 2.6%
Murphy Oil Corp......................... 800 52,248
Pioneer Natural Resources Co.*.......... 6,200 197,966
----------
250,214
----------
RAILROADS - 1.0%
Canadian National Railway Co............ 1,600 101,248
----------
RESTAURANTS - 1.5%
Darden Restaurants, Inc................. 7,000 147,280
----------
RETAIL - 4.1%
Foot Locker, Inc........................ 7,100 166,495
May Department Stores Co................ 1,200 34,884
<Caption>
SHARES VALUE
Payless ShoeSource, Inc.*............... 5,650 $ 75,710
Reebok International Ltd................ 3,100 121,892
----------
398,981
----------
RETAIL TRADE - 3.0%
Office Depot, Inc.*..................... 3,100 51,801
Pier 1 Imports, Inc..................... 7,000 153,020
Regis Corp.............................. 2,200 86,944
----------
291,765
----------
SAVINGS & LOANS - 2.0%
GreenPoint Financial Corp............... 5,450 192,494
----------
SERVICE COMMERCIAL - 1.2%
Viad Corp............................... 4,800 120,000
----------
SHIPPING - 1.8%
Teekay Shipping Corp.................... 3,100 176,793
----------
TRUCKING & FREIGHT FORWARDING - 1.5%
CNF, Inc................................ 4,200 142,380
----------
UTILITIES - GAS PIPELINES - 1.2%
Equitable Resources, Inc................ 2,800 120,176
----------
TOTAL INVESTMENTS - 97.5%
(cost $7,733,010)..................... 9,429,398
Other assets less liabilities - 2.5%.... 245,773
----------
NET ASSETS - 100.0%..................... $9,675,171
==========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
66
<Page>
VALUE EQUITY FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 96.3%
ADVERTISING - 1.1%
Omnicom Group, Inc...................... 1,100 $ 96,063
----------
BANKING - 10.6%
Bank New York, Inc...................... 7,500 248,400
Commerce Bancorp, Inc................... 2,500 131,700
FleetBoston Financial Corp.............. 4,000 174,600
J.P. Morgan Chase & Co.................. 3,150 115,700
Wells Fargo & Co........................ 4,300 253,227
----------
923,627
----------
CHEMICALS - 2.0%
E. I. du Pont de Nemours & Co........... 3,800 174,382
----------
COMMERCIAL SERVICES - 1.0%
ChoicePoint, Inc.*...................... 2,300 87,607
----------
COMPUTERS & OFFICE EQUIPMENT - 0.9%
Dell, Inc.*............................. 2,300 78,108
----------
CONSUMER PRODUCTS - 3.4%
Altria Group, Inc....................... 1,800 97,956
Procter & Gamble Co..................... 1,900 189,772
The Sherwin-Williams Co................. 400 13,896
----------
301,624
----------
DIVERSIFIED MANUFACTURING - 1.7%
Tyco International Ltd.................. 5,600 148,400
----------
DRUGS & MEDICAL PRODUCTS - 4.7%
Pfizer, Inc............................. 5,400 190,782
Sanofi-Synthelabo SA ADR................ 3,700 139,675
Wyeth................................... 1,800 76,410
----------
406,867
----------
ELECTRONICS - 2.5%
Flextronics International Ltd.*......... 8,100 120,204
Parker Hannifin Corp.................... 1,600 95,200
----------
215,404
----------
ENERGY - 10.6%
ConocoPhillips.......................... 6,700 439,319
Duke Energy Corp........................ 6,500 132,925
Exelon Corp............................. 4,100 272,076
General Electric Co..................... 2,500 77,450
----------
921,770
----------
FIBER OPTICS - 0.9%
JDS Uniphase Corp.*..................... 22,400 81,760
----------
<Caption>
SHARES VALUE
FINANCIAL SERVICES - 14.6%
Citigroup, Inc.......................... 5,950 $ 288,813
Fannie Mae.............................. 4,100 307,746
Freddie Mac............................. 6,450 376,164
Merrill Lynch & Co., Inc................ 1,300 76,245
Morgan Stanley.......................... 3,900 225,693
----------
1,274,661
----------
HEALTHCARE - 2.4%
WellPoint Health Networks, Inc.*........ 2,200 213,378
----------
HEALTH CARE FACILITIES - 1.7%
Quest Diagnostics, Inc.*................ 2,000 146,220
----------
INDUSTRIAL PRODUCTS & SERVICES - 2.5%
Textron, Inc............................ 3,824 218,197
----------
INSURANCE - 6.4%
AFLAC, Inc.............................. 4,700 170,046
The Hartford Financial Services
Group, Inc............................ 1,400 82,642
UnumProvident Corp...................... 10,300 162,431
XL Capital Ltd. Class A................. 1,800 139,590
----------
554,709
----------
LEISURE - 1.9%
Carnival Corp........................... 4,200 166,866
----------
MEDIA - 5.5%
Hughes Electronics Corp.*............... 15,064 249,309
The News Corp. Ltd. ADR................. 1,684 50,941
The Walt Disney Co...................... 7,700 179,641
----------
479,891
----------
METAL & MINING - 4.5%
Inco Ltd.*.............................. 6,400 254,848
Nucor Corp.............................. 2,400 134,400
----------
389,248
----------
MULTIMEDIA - 1.7%
Clear Channel Communications, Inc....... 3,150 147,515
----------
OIL & GAS - 3.3%
BP PLC ADR.............................. 5,800 286,230
----------
PAPER & FOREST PRODUCTS - 3.8%
International Paper Co.................. 7,800 336,258
----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
67
<Page>
VALUE EQUITY FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
RETAIL - 4.7%
Dollar General Corp..................... 9,000 $ 188,910
Office Depot, Inc.*..................... 13,200 220,572
----------
409,482
----------
SOFTWARE - 1.0%
Dassault Systems S.A. ADR............... 1,900 87,210
----------
TELECOMMUNICATIONS - 2.0%
AT&T Wireless Services, Inc.*........... 12,000 95,880
Nokia Corp. ADR......................... 4,700 79,900
----------
175,780
----------
TRANSPORTATION - 0.9%
Union Pacific Corp...................... 1,100 76,428
----------
TOTAL INVESTMENTS - 96.3%
(cost $7,205,804)..................... 8,397,685
Other assets less liabilities - 3.7%.... 320,488
----------
NET ASSETS - 100.0%..................... $8,718,173
==========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
68
<Page>
VALUE MANAGED FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 99.6%
AUTOMOTIVE - 2.0%
Nissan Motor Co., Ltd. ADR.............. 4,900 $ 110,054
----------
BANKING - 6.4%
The Bank of New York Co., Inc........... 3,500 115,920
Wells Fargo & Co........................ 4,100 241,449
----------
357,369
----------
COMMERCIAL SERVICES - 1.0%
ChoicePoint, Inc.*...................... 1,500 57,135
----------
COMPUTERS - 0.9%
Dell, Inc.*............................. 1,500 51,465
----------
DIVERSIFIED MANUFACTURING - 6.2%
Textron, Inc............................ 1,900 108,414
Tyco International Ltd.................. 9,000 238,500
----------
346,914
----------
DRUGS & MEDICAL PRODUCTS - 5.1%
Pfizer, Inc............................. 5,300 187,249
Sanofi-Synthelabo SA ADR................ 2,600 98,150
----------
285,399
----------
ENERGY - 7.4%
ChevronTexaco Corp...................... 700 60,473
ConocoPhillips.......................... 2,800 183,596
General Electric Co..................... 5,400 167,292
----------
411,361
----------
FIBER OPTICS - 2.1%
JDS Uniphase Corp.*..................... 32,000 116,800
----------
FINANCIAL SERVICES - 19.6%
Citigroup, Inc.......................... 4,450 216,003
Fannie Mae.............................. 3,400 255,204
Freddie Mac............................. 5,500 320,760
Merrill Lynch & Co., Inc................ 1,000 58,650
Morgan Stanley.......................... 1,000 57,870
Washington Mutual, Inc.................. 4,500 180,540
----------
1,089,027
----------
HEALTH CARE FACILITIES - 7.4%
Anthem, Inc.*........................... 1,000 75,000
Quest Diagnostics, Inc.*................ 2,350 171,809
Tenet Healthcare Corp.*................. 4,100 65,805
WellPoint Health Networks, Inc.*........ 1,000 96,990
----------
409,604
----------
HOUSEHOLD & PERSONAL PRODUCTS - 3.1%
Procter & Gamble Co..................... 1,700 169,796
----------
<Caption>
SHARES VALUE
HOTELS, RESTAURANT & LEISURE - 3.0%
Carnival Corp........................... 3,000 $ 119,190
Royal Caribbean Cruises Ltd............. 1,400 48,706
----------
167,896
----------
INSURANCE - 5.9%
American International Group, Inc....... 2,500 165,700
UnumProvident Corp...................... 3,000 47,310
XL Capital Ltd. Class A................. 1,500 116,325
----------
329,335
----------
MULTIMEDIA - 7.5%
Clear Channel Communications, Inc....... 1,900 88,977
EchoStar Communications Corp.
Class A*.............................. 1,600 54,400
Hughes Electronics Corp*................ 16,628 275,193
----------
418,570
----------
OIL & GAS - 4.3%
BP PLC ADR.............................. 3,700 182,595
Nabors Industries Ltd.*................. 1,400 58,100
----------
240,695
----------
PAPER & RELATED PRODUCTS - 2.1%
International Paper Co.................. 2,700 116,397
----------
RETAIL - 7.6%
Dollar General Corp..................... 2,400 50,376
Office Depot, Inc.*..................... 5,300 88,563
Sears Roebuck & Co...................... 6,200 282,038
----------
420,977
----------
SOFTWARE - 1.1%
Dassault Systemes S.A. ADR.............. 1,300 59,670
----------
TELECOMMUNICATIONS - 4.7%
AT&T Wireless Services, Inc.*........... 12,400 99,076
Nokia Corp. ADR......................... 9,600 163,200
----------
262,276
----------
UTILITIES - 2.2%
Exelon Corp............................. 1,800 119,448
----------
TOTAL INVESTMENTS - 99.6%
(cost $4,875,830)..................... 5,540,188
Other assets less liabilities - 0.4%.... 20,348
----------
NET ASSETS - 100.0%..................... $5,560,536
==========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
69
<Page>
VALUE MID CAP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 97.2%
ADVERTISING - 7.6%
Lamar Advertising Co. Class A*.......... 22,300 $ 832,236
Omnicom Group, Inc. .................... 4,000 349,320
WPP Group PLC ADR....................... 7,900 388,285
-----------
1,569,841
-----------
AEROSPACE - 6.1%
Alliant Techsystems, Inc.*.............. 12,700 733,552
Rockwell Collins, Inc. ................. 17,300 519,519
-----------
1,253,071
-----------
BANKING - 5.3%
M&T Bank Corp. ......................... 3,500 344,050
SouthTrust Corp. ....................... 9,300 304,389
Trustmark Corp. ........................ 15,200 444,904
-----------
1,093,343
-----------
BIOTECHNOLOGY - 2.2%
Inveresk Research Group, Inc.*.......... 18,300 452,559
-----------
BUSINESS SERVICES - 3.8%
Certegy, Inc. .......................... 8,300 272,240
Gartner, Inc. Class A*.................. 19,000 214,890
Harte-Hanks, Inc. ...................... 13,400 291,450
-----------
778,580
-----------
COMMERCIAL SERVICES - 8.8%
ARAMARK Corp. Class B................... 37,000 1,014,540
Kroll, Inc.*............................ 8,600 223,600
Unisys Corp.*........................... 18,000 267,300
Viad Corp. ............................. 12,000 300,000
-----------
1,805,440
-----------
CONSUMER PRODUCTS - 2.8%
The Dial Corp. ......................... 10,700 304,629
The Sherwin-Williams Co. ............... 7,600 264,024
-----------
568,653
-----------
DRUGS & MEDICAL PRODUCTS - 5.2%
Millipore Corp.*........................ 18,300 787,815
Pharmaceutical Product
Development, Inc.*.................... 10,500 283,185
-----------
1,071,000
-----------
ELECTRONICS - 5.7%
AMETEK, Inc. ........................... 6,700 323,342
<Caption>
SHARES VALUE
Arrow Electronics, Inc.*................ 14,200 $ 328,588
Diebold, Inc. .......................... 5,900 317,833
Jabil Circuit, Inc.*.................... 7,000 198,100
-----------
1,167,863
-----------
ENERGY - 1.5%
Nabors Industries Ltd.*................. 7,300 302,950
-----------
FOOD SERVICES - 2.2%
Ruby Tuesday, Inc. ..................... 5,700 162,393
Yum Brands, Inc.*....................... 8,700 299,280
-----------
461,673
-----------
HEALTHCARE - 1.6%
Priority Healthcare Corp. Class B*...... 13,500 325,485
-----------
INSURANCE - 8.0%
Nationwide Financial Services, Inc.
Class A............................... 15,700 519,042
PartnerRe Ltd. ......................... 4,500 261,225
Platinum Underwriters Holdings Ltd. .... 9,200 276,000
Radian Group, Inc. ..................... 4,000 195,000
Scottish Re Group Ltd. ................. 18,500 384,430
-----------
1,635,697
-----------
MACHINERY & ENGINEERING - 2.1%
National-Oilwell, Inc.*................. 19,700 440,492
-----------
MANUFACTURING - 9.9%
Actuant Corp. Class A*.................. 14,200 514,040
Eaton Corp. ............................ 4,300 464,314
Navistar International Corp.*........... 9,000 431,010
Roper Industries, Inc. ................. 6,300 310,338
Varian, Inc.*........................... 7,600 317,148
-----------
2,036,850
-----------
MEASURING INSTRUMENTS - 2.7%
Mettler-Toledo International, Inc.*..... 13,100 552,951
-----------
MEDICAL RESEARCH - 4.3%
Charles River Laboratories
International, Inc.*.................. 11,600 398,228
Laboratory Corp. of America Holdings*... 13,300 491,435
-----------
889,663
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
70
<Page>
VALUE MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
OIL & GAS - 3.0%
Anadarko Petroleum Corp. ............... 8,600 $ 438,686
GlobalSantaFe Corp. .................... 7,300 181,259
-----------
619,945
-----------
RETAIL - 4.3%
Dollar General Corp. ................... 23,800 499,562
Ross Stores, Inc. ...................... 14,800 391,164
-----------
890,726
-----------
TRANSPORTATION - 6.0%
Canadian National Railway Co. .......... 9,500 601,160
Pacer International, Inc.*.............. 20,400 412,488
UTI Worldwide, Inc. .................... 5,800 219,994
-----------
1,233,642
-----------
TRUCKING & SHIPPING - 2.5%
Oshkosh Truck Corp. .................... 10,100 515,403
-----------
UTILITIES - 1.6%
Cinergy Corp. .......................... 8,700 337,647
-----------
TOTAL INVESTMENTS - 97.2%
(cost $16,294,310).................... 20,003,474
Other assets less liabilities - 2.8%.... 578,413
-----------
NET ASSETS - 100.0%..................... $20,581,887
===========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
71
<Page>
VALUE SMALL CAP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 96.6%
BUSINESS SERVICES - 1.5%
Cornell Cos., Inc.*..................... 80,700 $ 1,101,555
-----------
COMPUTER SERVICES - 5.8%
Mercury Computer Systems, Inc.*......... 53,413 1,329,984
Overland Storage, Inc.*................. 51,800 973,840
RadiSys Corp.*.......................... 59,300 999,798
Tier Technologies, Inc. Class B*........ 107,700 879,909
-----------
4,183,531
-----------
COMPUTER SOFTWARE - 2.0%
Advent Software, Inc.*.................. 36,900 643,167
Parametric Technology Corp.*............ 199,000 784,060
-----------
1,427,227
-----------
CONSULTING SERVICES - 1.4%
Gartner, Inc. Class A*.................. 86,300 976,053
-----------
CONSUMER PRODUCTS & SERVICES - 3.2%
Kroll, Inc.*............................ 46,100 1,198,600
Mobile Mini, Inc.*...................... 54,300 1,070,796
-----------
2,269,396
-----------
DRUGS & MEDICAL PRODUCTS - 3.5%
K-V Pharmaceutical Co. Class A*......... 31,850 812,175
NeoPharm, Inc........................... 91,900 1,683,608
-----------
2,495,783
-----------
ELECTRICAL EQUIPMENT & INSTRUMENTS - 2.3%
EMCOR Group, Inc.*...................... 37,200 1,633,080
-----------
ENERGY - 3.7%
Advanced Energy Industries, Inc.*....... 25,700 669,485
Black Hills Corp. ...................... 29,100 868,053
MDU Resources Group, Inc. .............. 46,593 1,109,379
-----------
2,646,917
-----------
FINANCIAL SERVICES - 14.5%
Affiliated Managers Group, Inc.*........ 17,800 1,238,702
Allied Capital Corp. ................... 25,791 719,053
American Capital Strategies Ltd. ....... 40,100 1,192,173
BISYS Group, Inc.*...................... 62,500 930,000
CapitalSource, Inc.*.................... 37,500 813,000
Certegy, Inc. .......................... 40,300 1,321,840
First State Bancorporation.............. 23,000 799,250
Hancock Holding Co. .................... 13,200 720,324
<Caption>
SHARES VALUE
Pacific Capital Bancorp................. 23,100 $ 850,542
Texas Regional Bancshares, Inc.
Class A............................... 21,800 806,600
Triad Guaranty, Inc.*................... 20,800 1,047,280
-----------
10,438,764
-----------
FOOD SERVICES - 0.8%
American Italian Pasta Co. Class A*..... 14,300 599,170
-----------
INSURANCE - 1.5%
Scottish Re Group Ltd. ................. 52,700 1,095,106
-----------
MACHINERY & MANUFACTURING - 9.2%
Astec Industries, Inc.*................. 155,700 1,910,439
Precision Castparts Corp. .............. 26,000 1,180,660
Roper Industries, Inc. ................. 27,000 1,330,020
RTI International Metals, Inc.*......... 61,500 1,037,505
Teleflex, Inc. ......................... 23,100 1,116,423
-----------
6,575,047
-----------
MEDIA & BROADCASTING - 1.4%
Emmis Communications Corp. Class A*..... 38,000 1,027,900
-----------
MEDICAL PRODUCTS - 5.6%
Regeneration Technologies, Inc.*........ 186,000 2,038,560
Third Wave Technologies*................ 150,200 683,410
Zoll Medical Corp.*..................... 36,600 1,298,568
-----------
4,020,538
-----------
OFFICE EQUIPMENT - 2.8%
Interface, Inc. Class A*................ 368,600 2,038,358
-----------
OIL & GAS - DRILLING EQUIPMENT - 3.6%
National-Oilwell, Inc.*................. 53,800 1,202,968
Universal Compression
Holdings, Inc.*....................... 53,200 1,391,712
-----------
2,594,680
-----------
PAPER PRODUCTS - 2.2%
Intertape Polymer Group, Inc.*.......... 123,678 1,574,421
-----------
REAL ESTATE - 5.7%
Correctional Properties Trust........... 25,000 720,000
Federal Realty Investment Trust......... 16,400 629,596
Heritage Property Investment Trust...... 20,900 594,605
Innkeepers USA Trust.................... 176,400 1,476,468
Sun Communities, Inc. .................. 18,000 696,600
-----------
4,117,269
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
72
<Page>
VALUE SMALL CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
RETAIL - 10.3%
Casual Male Retail Group, Inc.*......... 203,300 $ 1,410,902
Guitar Center, Inc.*.................... 36,800 1,198,944
Jos. A. Bank Clothiers, Inc.*........... 52,600 1,824,694
School Specialty, Inc.*................. 41,300 1,404,613
West Marine, Inc.*...................... 55,600 1,546,236
-----------
7,385,389
-----------
SEMICONDUCTORS - 4.5%
DuPont Photomasks, Inc.*................ 28,700 692,818
Entegris, Inc.*......................... 49,000 629,650
Fairchild Semiconductor
International, Inc. Class A*.......... 40,700 1,016,279
Semtech Corp.*.......................... 38,600 877,378
-----------
3,216,125
-----------
SOFTWARE - 1.7%
Renaissance Learning, Inc.*............. 50,200 1,208,816
-----------
TECHNOLOGY - 2.5%
SBS Technologies, Inc.*................. 61,600 906,136
ScanSource, Inc.*....................... 19,500 889,590
-----------
1,795,726
-----------
TELECOMMUNICATIONS - 1.9%
EMS Technologies, Inc.*................. 64,900 1,333,046
-----------
TRUCKING & SHIPPING - 5.0%
Overnite Corp.*......................... 43,500 989,625
<Caption>
SHARES VALUE
Pacer International, Inc.*.............. 52,300 $ 1,057,506
Wabash National Corp.*.................. 53,500 1,567,550
-----------
3,614,681
-----------
Total Common Stock
(cost $57,799,903).................... 69,368,578
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
SHORT TERM INVESTMENT - 3.7%
REPURCHASE AGREEMENT - 3.7%
State Street Bank and Trust Company
0.35%, 1/02/04
(collateralized by $2,600,000
U.S. Treasury Notes, 6.000%, 08/15/04
with a value of $2,736,500)
(amortized cost $2,681,000)........... $2,681 2,681,000
-----------
TOTAL INVESTMENTS - 100.3%
(cost $60,480,903).................... 72,049,578
Other assets less
liabilities - (0.3%).................. (222,861)
-----------
NET ASSETS - 100.0%..................... $71,826,717
===========
</Table>
* Non-income producing security
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
73
<Page>
BLUE CHIP MID CAP FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
COMMON STOCK - 99.7%
AUTOMOBILES & COMPONENTS - 4.0%
BorgWarner, Inc. .................. 11,600 $ 986,812
Johnson Controls, Inc. ............ 8,200 952,184
Lear Corp. ........................ 17,700 1,085,541
-----------
3,024,537
-----------
BANKS - 8.6%
Bank of Hawaii Corp. .............. 19,400 818,680
City National Corp. ............... 7,000 434,840
Countrywide Financial Corp. ....... 24,800 1,881,080
Golden West Financial Corp. ....... 8,100 835,839
Hibernia Corp. Class A............. 25,200 592,452
Hudson City Bancorp, Inc. ......... 20,200 771,236
M&T Bank Corp. .................... 5,300 520,990
UnionBanCal Corp. ................. 11,900 684,726
-----------
6,539,843
-----------
CAPITAL GOODS - 7.7%
American Power Conversion Corp. ... 31,700 775,065
Eaton Corp. ....................... 7,500 809,850
Fluor Corp. ....................... 23,600 935,504
Paccar, Inc. ...................... 7,500 638,400
Parker-Hannifin Corp. ............. 18,800 1,118,600
Precision Castparts Corp. ......... 22,000 999,020
Rockwell Collins, Inc. ............ 19,200 576,576
-----------
5,853,015
-----------
COMMERCIAL SERVICES & SUPPLIES - 6.2%
ARAMARK Corp. Class B.............. 37,200 1,020,024
Avery Dennison Corp. .............. 11,000 616,220
ChoicePoint, Inc.*................. 12,000 457,080
Education Management Corp.*........ 30,800 956,032
Equifax, Inc. ..................... 29,600 725,200
Manpower, Inc. .................... 13,000 612,040
Republic Services, Inc. ........... 13,000 333,190
-----------
4,719,786
-----------
CONSUMER DURABLES & APPAREL - 4.3%
Lennar Corp. ...................... 9,920 952,320
Liz Claiborne, Inc. ............... 22,200 787,212
<Caption>
COUNTRY
CODE SHARES VALUE
Mattel, Inc. ...................... 48,600 $ 936,522
Mohawk Industries, Inc.*........... 7,600 536,104
-----------
3,212,158
-----------
DIVERSIFIED FINANCIALS - 4.6%
Blackrock, Inc. Class A............ 10,300 547,033
Federated Investors, Inc.
Class B.......................... 9,300 273,048
Legg Mason, Inc. .................. 12,900 995,622
Moody's Corp. ..................... 16,500 999,075
Providian Financial Corp.*......... 58,100 676,284
-----------
3,491,062
-----------
ENERGY - 4.4%
EOG Resources, Inc. ............... 23,700 1,094,229
GlobalSantaFe Corp. ............... 17,200 427,076
Nabors Industries Ltd.*............ 13,900 576,850
XTO Energy, Inc.................... 43,200 1,222,560
-----------
3,320,715
-----------
FOOD, BEVERAGES & TOBACCO - 0.8%
Constellation Brands, Inc.
Class A*......................... 18,800 619,084
-----------
HEALTHCARE EQUIPMENT & SERVICES - 5.3%
Edwards Lifesciences Corp.*........ 31,500 947,520
Guidant Corp. ..................... 22,100 1,330,420
Health Management Associates, Inc.
Class A.......................... 45,600 1,094,400
McKesson HBOC, Inc. ............... 19,100 614,256
-----------
3,986,596
-----------
HOTELS, RESTAURANT & LEISURE - 0.6%
Gtech Holdings Corp. .............. 9,800 485,002
-----------
INSURANCE - 5.5%
Ambac Financial Group, Inc. ....... 10,775 747,677
Brown & Brown, Inc. ............... 18,400 600,024
Everest Re Group, Ltd. ............ 10,500 888,300
Gallagher Arthur J. & Co. ......... 16,400 532,836
IPC Holdings Ltd. ................. 15,100 587,994
White Mountains Insurance Group
Ltd. ............................ 1,720 791,114
-----------
4,147,945
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
74
<Page>
BLUE CHIP MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
MATERIALS - 4.4%
Abitibi-Consolidated, Inc. ........ 56,100 $ 454,971
Pactiv Corp.*...................... 27,400 654,860
Rinker Group....................... AU 130,957 645,857
Rohm & Haas Co. ................... 12,100 516,791
Sealed Air Corp.*.................. 6,900 373,566
Smurfit Stone Container Corp.*..... 38,500 714,945
-----------
3,360,990
-----------
MEDIA - 2.3%
E.W. Scripps Co. Class A........... 4,800 451,872
Lamar Advertising Co. Class A*..... 22,750 849,030
Univision Communications, Inc.
Class A*......................... 11,300 448,497
-----------
1,749,399
-----------
PHARMACEUTICALS & BIOTECHNOLOGY - 6.4%
Celera Genomics Group*............. 21,200 294,892
Cephalon, Inc.*.................... 13,900 672,899
Gilead Sciences, Inc.*............. 7,900 459,306
Human Genome Sciences, Inc.*....... 35,200 466,400
IVAX Corp.*........................ 36,900 881,172
Millennium Pharmaceuticals*........ 52,600 982,042
Vertex Pharmaceuticals, Inc.*...... 27,600 282,348
Watson Pharmaceuticals, Inc.*...... 16,600 763,600
-----------
4,802,659
-----------
REAL ESTATE - 1.8%
Host Marriott Corp.*............... 61,000 751,520
iStar Financial, Inc. ............. 16,100 626,290
-----------
1,377,810
-----------
RETAILING - 3.7%
AutoZone Inc.*..................... 3,900 332,319
Dollar Tree Stores, Inc.*.......... 11,300 339,678
Michaels Stores, Inc. ............. 24,000 1,060,800
Nordstrom, Inc. ................... 6,600 226,380
PETsMART, Inc. .................... 34,500 821,100
-----------
2,780,277
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.3%
Analog Devices, Inc. .............. 18,000 821,700
<Caption>
COUNTRY
CODE SHARES VALUE
ASML Holdings N.V.*................ 57,287 $ 1,148,605
International Rectifier Corp.*..... 3,000 148,230
KLA-Tencor Corp.*.................. 6,400 375,488
-----------
2,494,023
-----------
SOFTWARE & SERVICES - 10.1%
Affiliated Computer Services, Inc.
Class A*......................... 10,700 582,722
Alliance Data Systems Corp.*....... 18,500 512,080
Amdocs Ltd.*....................... 29,100 654,168
BEA Systems, Inc.*................. 34,600 425,580
CheckFree Corp.*................... 14,300 395,395
Intuit, Inc.*...................... 23,000 1,216,930
PeopleSoft, Inc.*.................. 42,000 957,600
Siebel Systems, Inc.*.............. 26,200 363,394
Symantec Corp.*.................... 17,300 599,445
The BISYS Group, Inc.*............. 53,300 793,104
VeriSign, Inc.*.................... 70,300 1,145,890
-----------
7,646,308
-----------
TECHNOLOGY HARDWARE & EQUIPMENT - 5.7%
CDW Corp. ......................... 14,800 854,848
Diebold, Inc. ..................... 14,400 775,728
Solectron Corp.*................... 134,200 793,122
Waters Corp.*...................... 26,500 878,740
Xerox Corp. ....................... 73,000 1,007,400
-----------
4,309,838
-----------
TELECOMMUNICATION SERVICES - 3.4%
American Tower Corp. Class A*...... 89,500 968,390
Citizens Communications Co.*....... 49,600 616,032
Nextel Communications, Inc.
Class A*......................... 33,900 951,234
-----------
2,535,656
-----------
TRANSPORTATION - 3.1%
AMR Corp.*......................... 50,100 648,795
CNF, Inc. ......................... 9,700 328,830
Exel............................... GB 35,318 465,583
JetBlue Airways Corp.*............. 6,150 163,098
Ryanair Holdings PLC ADR*.......... 14,300 724,152
-----------
2,330,458
-----------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
75
<Page>
BLUE CHIP MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
COUNTRY
CODE SHARES VALUE
UTILITIES - 3.5%
Cinergy Corp. ..................... 22,100 $ 857,701
Energy East Corp. ................. 21,000 470,400
Pinnacle West Capital Corp. ....... 14,700 588,294
Wisconsin Energy Corp. ............ 22,300 745,935
-----------
2,662,330
-----------
Total Common Stock
(cost $60,629,126)............... 75,449,491
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
SHORT TERM INVESTMENT - 0.6%
REPURCHASE AGREEMENT - 0.6%
State Street Bank and Trust Company
0.83%, 1/2/04 (collateralized by
$448,000 United States Treasury Note,
6.00%, 08/15/04 with a value of
$457,838)
(amortized cost $448,000)............. $448 448,000
-------------
TOTAL INVESTMENTS - 100.3%
(cost $61,077,126).................... 75,897,491
Liabilities in excess of other
assets - (0.3%)....................... (228,616)
-------------
NET ASSETS - 100.0%..................... $ 75,668,875
=============
</Table>
* Non-income producing security
ADR = American Depositary Receipt
AU = Australia
GB = Great Britain
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
76
<Page>
INVESTORS FOUNDATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 99.8%
AUTOMOBILES & COMPONENTS - 1.2%
Dana Corp. ............................. 1,300 $ 23,855
General Motors Corp. ................... 350 18,690
Johnson Controls, Inc. ................. 425 49,351
----------
91,896
----------
BANKS - 9.1%
Bank of America Corp. .................. 2,475 199,064
Bank One Corp. ......................... 2,860 130,388
Countrywide Financial Corp. ............ 1,833 139,033
Fannie Mae.............................. 2,250 168,885
Freddie Mac............................. 1,050 61,236
----------
698,606
----------
CAPITAL GOODS - 6.5%
General Dynamics Corp. ................. 1,650 149,144
General Electric Co. ................... 3,850 119,273
Graco, Inc. ............................ 1,500 60,150
United Technologies Corp. .............. 1,825 172,955
----------
501,522
----------
COMMERCIAL SERVICES & SUPPLIES - 2.0%
Avery Dennison Corp. ................... 1,250 70,025
Cendant Corp.*.......................... 2,225 49,551
Waste Management, Inc. ................. 1,100 32,560
----------
152,136
----------
CONSUMER DURABLES & APPAREL - 1.5%
Fortune Brands, Inc. ................... 900 64,341
NIKE, Inc. Class B...................... 700 47,922
----------
112,263
----------
DIVERSIFIED FINANCIALS - 7.7%
Capital One Financial Corp. ............ 675 41,371
Citigroup, Inc. ........................ 6,786 329,392
Franklin Resources, Inc. ............... 900 46,854
Merrill Lynch & Co., Inc. .............. 2,290 134,309
The Goldman Sachs Group, Inc. .......... 365 36,036
----------
587,962
----------
ENERGY - 4.3%
ChevronTexaco Corp. .................... 500 43,195
ConocoPhillips.......................... 1,370 89,831
Exxon Mobil Corp. ...................... 3,000 123,000
Unocal Corp. ........................... 2,000 73,660
----------
329,686
----------
<Caption>
SHARES VALUE
FOOD, BEVERAGES & TOBACCO - 4.7%
Altria Group, Inc. ..................... 3,575 $ 194,551
The Coca-Cola Co. ...................... 3,325 168,744
----------
363,295
----------
FOOD & STAPLES RETAILING - 1.9%
CVS Corp. .............................. 1,600 57,792
Supervalu, Inc. ........................ 1,550 44,315
Wal-Mart Stores, Inc. .................. 845 44,827
----------
146,934
----------
HEALTHCARE EQUIPMENT & SERVICES - 4.5%
Anthem, Inc.*........................... 525 39,375
Guidant Corp. .......................... 2,325 139,965
IMS Health, Inc. ....................... 1,575 39,154
McKesson HBOC, Inc. .................... 1,150 36,984
Medco Health Solutions, Inc.*........... 2,725 92,623
----------
348,101
----------
HOUSEHOLD & PERSONAL PRODUCTS - 4.2%
Kimberly-Clark Corp. ................... 1,325 78,294
Procter & Gamble Co. ................... 950 94,886
The Gillette Co. ....................... 4,100 150,593
----------
323,773
----------
INSURANCE - 4.3%
Ambac Financial Group, Inc. ............ 700 48,573
MBIA, Inc. ............................. 1,300 76,999
The St. Paul Cos., Inc. ................ 2,910 115,381
XL Capital Ltd. Class A................. 1,125 87,244
----------
328,197
----------
MATERIALS - 2.9%
International Paper Co. ................ 1,150 49,576
The Dow Chemical Co. ................... 1,050 43,649
Weyerhaeuser Co. ....................... 2,000 128,000
----------
221,225
----------
MEDIA - 5.7%
Comcast Corp. Class A*.................. 4,729 151,944
Gannett Co. ............................ 850 75,786
Omnicom Group........................... 825 72,047
Time Warner Inc.*....................... 7,450 134,026
----------
433,803
----------
MUTUAL FUNDS - 1.2%
S&P 500 SPDR Trust...................... 825 91,806
----------
PHARMACEUTICALS & BIOTECHNOLOGY - 8.7%
Abbott Laboratories..................... 2,250 104,850
Cephalon, Inc.*......................... 600 29,046
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
77
<Page>
INVESTORS FOUNDATION FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
Eli Lilly & Co. ........................ 1,450 $ 101,978
Genzyme Corp.*.......................... 1,925 94,980
King Pharmaceuticals, Inc. ............. 4,300 65,618
Merck & Co., Inc. ...................... 750 34,650
Pfizer, Inc. ........................... 4,028 142,309
Schering-Plough Corp. .................. 5,300 92,167
----------
665,598
----------
RETAILING - 3.9%
Dollar General Corp. ................... 2,675 56,148
Federated Department Stores, Inc. ...... 1,850 87,190
Lowe's Cos., Inc. ...................... 1,350 74,777
The Gap, Inc. .......................... 3,425 79,494
----------
297,609
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.8%
Altera Corp.*........................... 3,200 72,640
Intel Corp. ............................ 775 24,955
National Semiconductor Corp.*........... 1,610 63,450
Texas Instruments, Inc. ................ 3,325 97,689
Xilinx, Inc.*........................... 850 32,929
----------
291,663
----------
SOFTWARE & SERVICES - 7.3%
Adobe Systems, Inc. .................... 850 33,405
First Data Corp. ....................... 3,800 156,142
Intuit, Inc.*........................... 575 30,423
Microsoft Corp. ........................ 12,475 343,562
----------
563,532
----------
TECHNOLOGY HARDWARE & EQUIPMENT - 7.2%
Cisco Systems, Inc.*.................... 8,580 208,408
<Caption>
SHARES VALUE
Dell, Inc.*............................. 2,700 $ 91,692
International Business Machines
Corp. ................................ 1,750 162,190
Motorola, Inc. ......................... 6,600 92,862
----------
555,152
----------
TELECOMMUNICATION SERVICES - 3.2%
AT&T Corp. ............................. 3,290 66,787
Citizens Communications Co.*............ 3,060 38,005
Nextel Communications, Inc.
Class A*.............................. 3,875 108,733
SBC Communications, Inc. ............... 1,330 34,673
----------
248,198
----------
TRANSPORTATION - 1.5%
CSX Corp. .............................. 1,750 62,895
FedEx Corp. ............................ 800 54,000
----------
116,895
----------
UTILITIES - 2.5%
Ameren Corp. ........................... 625 28,750
Exelon Corp. ........................... 2,012 133,516
TXU Corp. .............................. 1,200 28,464
----------
190,730
----------
TOTAL INVESTMENTS - 99.8%
(cost $6,684,416)..................... 7,660,582
Other assets less liabilities - 0.2%.... 18,246
----------
NET ASSETS - 100.0%..................... $7,678,828
==========
</Table>
* Non-income producing security
SPDR = Standard and Poor's Depositary Receipts
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
78
<Page>
SELECT EQUITY FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
COMMON STOCK - 99.2%
BANKS - 3.2%
Bank of America Corp. .................. 4,300 $ 345,849
-----------
CAPITAL GOODS - 9.0%
Caterpillar, Inc. ...................... 2,500 207,550
General Electric Co. ................... 12,200 377,956
United Technologies Corp. .............. 4,000 379,080
-----------
964,586
-----------
COMMERCIAL SERVICES & SUPPLIES - 2.9%
Manpower, Inc. ......................... 6,700 315,436
-----------
CONSUMER DURABLES & APPAREL - 3.1%
Nike, Inc. Class B...................... 4,800 328,608
-----------
DIVERSIFIED FINANCIALS - 14.8%
American Express Co. ................... 7,700 371,371
Citigroup, Inc. ........................ 10,466 508,020
Merrill Lynch & Co., Inc. .............. 5,600 328,440
The Goldman Sachs Group, Inc. .......... 3,900 385,047
-----------
1,592,878
-----------
ENERGY SERVICES - 2.8%
Schlumberger Ltd. ...................... 5,500 300,960
-----------
INSURANCE - 3.8%
American International Group, Inc. ..... 6,200 410,936
-----------
MEDIA - 7.0%
Comcast Corp. Class A*.................. 9,038 297,079
Time Warner Inc.*....................... 25,400 456,946
-----------
754,025
-----------
PHARMACEUTICALS & BIOTECHNOLOGY - 18.6%
Amgen, Inc.*............................ 5,400 333,720
Eli Lilly & Co. ........................ 6,200 436,046
Forest Laboratories Class A*............ 4,200 259,560
<Caption>
SHARES VALUE
Genzyme Corp.*.......................... 5,200 $ 256,568
Pfizer, Inc. ........................... 14,000 494,620
Wyeth................................... 5,200 220,740
-----------
2,001,254
-----------
RETAILING - 8.0%
Kohl's Corp.*........................... 4,200 188,748
Target Corp. ........................... 6,100 234,240
The Gap, Inc. .......................... 19,100 443,311
-----------
866,299
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.7%
Intel Corp. ............................ 10,500 338,100
Texas Instruments, Inc. ................ 5,700 167,466
-----------
505,566
-----------
SOFTWARE & SERVICES - 6.0%
Microsoft Corp. ........................ 15,700 432,378
SAP AG ADR.............................. 5,200 216,112
-----------
648,490
-----------
TECHNOLOGY HARDWARE & EQUIPMENT - 12.5%
Cisco Systems, Inc.*.................... 11,100 269,619
Corning, Inc. .......................... 25,400 264,922
Hewlett-Packard Co. .................... 14,426 331,365
Motorola, Inc. ......................... 19,800 278,586
Nokia Corp. ADR......................... 11,700 198,900
-----------
1,343,392
-----------
TRANSPORTATION - 2.8%
Fedex Corp. ............................ 4,400 297,000
-----------
TOTAL INVESTMENTS - 99.2%
(cost $9,350,719)..................... 10,675,279
Other assets less liabilities - 0.8%.... 88,353
-----------
NET ASSETS - 100.0%..................... $10,763,632
===========
</Table>
* Non-income producing security
ADR = American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
79
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALL CAP INVESTMENT GRADE MONEY MARKET REAL ESTATE ALGER GROWTH ALGER INCOME &
FUND BOND FUND FUND FUND FUND GROWTH FUND
---------- ---------------- ------------ ----------- ------------ ---------------
ASSETS
Investment in securities,
at value............... $4,999,945 $67,810,829 $112,645,937 $78,256,766 $12,061,112 $8,967,162
Cash..................... 15,027 24,185 18,402 -- 35,970 7,418
Foreign Currency
(cost-$0, $0, $0, $0,
$0, $0)................ -- -- -- -- -- --
Interest and dividends
receivable............. 11,204 722,132 86,323 501,151 11,871 14,987
Receivable for Fund
shares sold............ 56,367 2,837 823,970 135,159 26,178 5,129
Receivable for
investments sold....... -- -- -- -- -- --
Receivable due from
adviser................ 24,806 -- -- -- 15,422 20,961
Other assets............. 846 13,608 19,157 13,442 2,035 1,533
---------- ----------- ------------ ----------- ----------- ----------
Total Assets............. 5,108,195 68,573,591 113,593,789 78,906,518 12,152,588 9,017,190
---------- ----------- ------------ ----------- ----------- ----------
LIABILITIES
Payable for investments
purchased.............. -- 2,075,130 -- -- -- --
Payable for Fund shares
redeemed............... 216 43,312 393,873 1,444 19 11
Adviser fee payable...... -- 82,338 160,414 176,660 -- --
Accrued expenses and
other liabilities...... 25,714 37,578 35,834 33,819 33,036 31,607
---------- ----------- ------------ ----------- ----------- ----------
Total Liabilities........ 25,930 2,238,358 590,121 211,923 33,055 31,618
---------- ----------- ------------ ----------- ----------- ----------
NET ASSETS............... $5,082,265 $66,335,233 $113,003,668 $78,694,595 $12,119,533 $8,985,572
========== =========== ============ =========== =========== ==========
COMPOSITION OF NET ASSETS
Paid-in Capital.......... 4,396,939 64,348,953 113,005,004 60,874,265 11,032,934 8,385,485
Undistributed
(distributions in
excess of) net
investment income...... 1,682 5,587 -- 1,894,821 -- --
Accumulated net realized
gain (loss) on
investments............ 90,808 402,131 (1,336) 3,298,705 (729,689) (733,527)
Net unrealized
appreciation
(depreciation) of
investments and foreign
currency
transactions........... 592,836 1,578,562 -- 12,626,804 1,816,288 1,333,614
---------- ----------- ------------ ----------- ----------- ----------
$5,082,265 $66,335,233 $113,003,668 $78,694,595 $12,119,533 $8,985,572
========== =========== ============ =========== =========== ==========
Share of beneficial
interest outstanding
(unlimited shares
authorized without par
value)................. 443,737 6,620,142 113,005,004 5,214,233 1,267,594 940,906
========== =========== ============ =========== =========== ==========
Net asset value, offering
price and redemption
price per share (net
assets/shares of
beneficial interest
outstanding)........... $ 11.45 $ 10.02 $ 1.00 $ 15.09 $ 9.56 $ 9.55
========== =========== ============ =========== =========== ==========
Investments in
securities, at cost.... $4,407,109 $66,232,267 $112,645,937 $65,629,962 $10,244,824 $7,633,548
========== =========== ============ =========== =========== ==========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 80
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2003 (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALGER SMALL NEUBERGER BERMAN NEUBERGER BERMAN
CAPITALIZATION DAVIS FINANCIAL DAVIS VENTURE MID CAP GROWTH MID CAP VALUE VALUE EQUITY
FUND FUND VALUE FUND FUND VALUE FUND FUND
-------------- --------------- ------------- ---------------- ---------------- ------------
ASSETS
Investment in securities,
at value............... $6,799,385 $ 8,979,138 $44,161,837 $ 6,871,788 $9,429,398 $ 8,397,685
Cash..................... 26,511 1,615 1,434 542 223,500 283,307
Foreign Currency
(cost-$0, $0, $0, $0,
$835, $0).............. -- -- -- -- 842 --
Interest and dividends
receivable............. 632 15,697 79,897 884 6,009 8,819
Receivable for Fund
shares sold............ 29,972 -- 81,075 4,984 41,872 --
Receivable for
investments sold....... 148,630 -- -- -- 36,372 57,862
Receivable due from
adviser................ 24,920 12,412 -- 16,060 9,456 15,024
Other assets............. 1,170 1,529 7,547 1,172 1,646 1,475
---------- ----------- ----------- ----------- ---------- -----------
Total Assets............. 7,031,220 9,010,391 44,331,790 6,895,430 9,749,095 8,764,172
---------- ----------- ----------- ----------- ---------- -----------
LIABILITIES
Payable for investments
purchased.............. 112,170 -- 31,493 -- 45,024 13,640
Payable for Fund shares
redeemed............... 1 1,053 114 -- 783 3,388
Adviser fee payable...... -- -- 50,921 -- -- --
Accrued expenses and
other liabilities...... 27,824 27,114 34,669 27,968 28,117 28,971
---------- ----------- ----------- ----------- ---------- -----------
Total Liabilities........ 139,995 28,167 117,197 27,968 73,924 45,999
---------- ----------- ----------- ----------- ---------- -----------
NET ASSETS............... $6,891,225 $ 8,982,224 $44,214,593 $ 6,867,462 $9,675,171 $ 8,718,173
========== =========== =========== =========== ========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital.......... 5,826,912 8,905,903 43,818,594 7,496,071 7,868,779 9,310,147
Undistributed
(distributions in
excess of) net
investment income...... -- 48,687 331,307 -- 1,437 --
Accumulated net realized
gain (loss) on
investments............ 122,376 (1,115,373) (5,440,261) (1,765,898) 108,560 (1,783,855)
Net unrealized
appreciation
(depreciation) of
investments and foreign
currency
transactions........... 941,937 1,143,007 5,504,953 1,137,289 1,696,395 1,191,881
---------- ----------- ----------- ----------- ---------- -----------
$6,891,225 $ 8,982,224 $44,214,593 $ 6,867,462 $9,675,171 $ 8,718,173
========== =========== =========== =========== ========== ===========
Share of beneficial
interest outstanding
(unlimited shares
authorized without par
value)................. 630,892 785,726 4,652,150 859,529 796,774 880,135
========== =========== =========== =========== ========== ===========
Net asset value, offering
price and redemption
price per share (net
assets/shares of
beneficial interest
outstanding)........... $ 10.92 $ 11.43 $ 9.50 $ 7.99 $ 12.14 $ 9.91
========== =========== =========== =========== ========== ===========
Investments in
securities, at cost.... $5,857,448 $ 7,836,502 $38,656,884 $ 5,734,499 $7,733,010 $ 7,205,804
========== =========== =========== =========== ========== ===========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 81
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2003 (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
BLUE CHIP
VALUE MANAGED VALUE MID CAP VALUE SMALL CAP MID CAP INVESTORS SELECT EQUITY
FUND FUND FUND FUND FOUNDATION FUND FUND
------------- ------------- --------------- ----------- --------------- -------------
ASSETS
Investment in securities,
at value............... $5,540,188 $20,003,474 $72,049,578 $75,897,491 $ 7,660,582 $10,675,279
Cash..................... 44,024 603,829 630 638 16,283 104,765
Foreign Currency
(cost-$0, $0, $0, $0,
$0, $0)................ -- -- -- -- -- --
Interest and dividends
receivable............. 2,771 9,911 39,284 33,338 9,195 6,805
Receivable for Fund
shares sold............ -- 5,997 58,976 127,181 797 --
Receivable for
investments sold....... 125,948 -- -- 328,011 -- --
Receivable due from
adviser................ 19,948 -- -- -- 18,622 12,281
Other assets............. 939 3,575 12,381 13,039 1,309 1,878
---------- ----------- ----------- ----------- ----------- -----------
Total Assets............. 5,733,818 20,626,786 72,160,849 76,399,698 7,706,788 10,801,008
---------- ----------- ----------- ----------- ----------- -----------
LIABILITIES
Payable for investments
purchased.............. 147,234 -- 182,329 568,426 -- --
Payable for Fund shares
redeemed............... 128 -- -- 1,642 4 6,209
Adviser fee payable...... -- 11,970 116,669 121,820 -- --
Accrued expenses and
other liabilities...... 25,920 32,929 35,134 38,935 27,956 31,167
---------- ----------- ----------- ----------- ----------- -----------
Total Liabilities........ 173,282 44,899 334,132 730,823 27,960 37,376
---------- ----------- ----------- ----------- ----------- -----------
NET ASSETS............... $5,560,536 $20,581,887 $71,826,717 $75,668,875 $ 7,678,828 $10,763,632
========== =========== =========== =========== =========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital.......... 5,541,276 16,685,102 54,551,636 64,690,912 8,741,169 16,235,404
Undistributed
(distributions in
excess of) net
investment income...... 248 -- 6,834 438 -- --
Accumulated net realized
gain (loss) on
investments............ (645,346) 187,621 5,699,572 (3,843,030) (2,038,507) (6,796,332)
Net unrealized
appreciation
(depreciation) of
investments and foreign
currency
transactions........... 664,358 3,709,164 11,568,675 14,820,555 976,166 1,324,560
---------- ----------- ----------- ----------- ----------- -----------
$5,560,536 $20,581,887 $71,826,717 $75,668,875 $ 7,678,828 $10,763,632
========== =========== =========== =========== =========== ===========
Share of beneficial
interest outstanding
(unlimited shares
authorized without par
value)................. 531,238 1,596,428 5,106,703 4,846,770 897,237 1,246,652
========== =========== =========== =========== =========== ===========
Net asset value, offering
price and redemption
price per share (net
assets/shares of
beneficial interest
outstanding)........... $ 10.47 $ 12.89 $ 14.07 $ 15.61 $ 8.56 $ 8.63
========== =========== =========== =========== =========== ===========
Investments in
securities, at cost.... $4,875,830 $16,294,310 $60,480,903 $61,077,126 $ 6,684,416 $ 9,350,719
========== =========== =========== =========== =========== ===========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 82
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2003 SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALL CAP INVESTMENT GRADE MONEY MARKET REAL ESTATE ALGER GROWTH ALGER INCOME &
FUND BOND FUND FUND FUND FUND GROWTH FUND
---------- ---------------- ------------ ----------- ------------ ---------------
INVESTMENT INCOME
Interest............... $ 444 $4,113,526 $1,714,188 $ 13,393 $ 4,363 $ 3,622
Dividends.............. 42,714 -- -- 3,171,486 67,893 91,477
---------- ---------- ---------- ----------- ---------- ----------
Total investment
income................. 43,158 4,113,526 1,714,188 3,184,879 72,256 95,099
---------- ---------- ---------- ----------- ---------- ----------
EXPENSES
Investment advisory
fee.................. 18,832 413,420 713,192 522,614 67,988 43,660
Custody and fund
accounting........... 49,063 68,379 67,118 53,904 53,502 48,712
Audit.................. 18,331 17,438 17,430 17,605 18,331 18,331
Legal.................. 936 23,054 43,341 18,899 4,202 4,046
Printing............... 401 11,379 8,270 10,341 10,092 7,553
Administration......... 48,293 50,392 50,400 50,391 49,342 49,342
Transfer agency........ 5,792 8,147 7,646 8,950 6,162 7,262
Trustees fees.......... 5,002 5,001 5,024 5,002 5,003 5,002
Insurance.............. 164 4,965 8,449 3,225 448 350
Miscellaneous fees..... 387 4,005 641 2,562 1,014 746
---------- ---------- ---------- ----------- ---------- ----------
Total expenses........... 147,201 606,180 921,511 693,493 216,084 185,004
---------- ---------- ---------- ----------- ---------- ----------
Less: Reduction of
advisory fees........ (18,832) (89,405) -- (5,843) (67,988) (43,660)
Reimbursement of
operating expenses... (104,156) -- -- -- (66,509) (85,460)
---------- ---------- ---------- ----------- ---------- ----------
Net expenses............. 24,213 516,775 921,511 687,650 81,587 55,884
---------- ---------- ---------- ----------- ---------- ----------
NET INVESTMENT INCOME
(LOSS)................. 18,945 3,596,751 792,677 2,497,229 (9,331) 39,215
---------- ---------- ---------- ----------- ---------- ----------
REALIZED AND UNREALIZED
GAIN (LOSS)
ON INVESTMENTS
Net realized gain
(loss) on investment
transactions......... 280,430 788,671 453 2,592,748 772,038 316,233
Net unrealized
appreciation
(depreciation) on
investment and
foreign currency
transactions......... 911,409 1,907,043 -- 12,262,673 1,836,290 1,445,958
---------- ---------- ---------- ----------- ---------- ----------
Net realized and
unrealized gain (loss)
on investments......... 1,191,839 2,695,714 453 14,855,421 2,608,328 1,762,191
---------- ---------- ---------- ----------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS............. $1,210,784 $6,292,465 $ 793,130 $17,352,650 $2,598,997 $1,801,406
========== ========== ========== =========== ========== ==========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 83
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2003 (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALGER SMALL NEUBERGER BERMAN NEUBERGER BERMAN
CAPITALIZATION DAVIS FINANCIAL DAVIS VENTURE MID CAP GROWTH MID CAP VALUE EQUITY
FUND FUND VALUE FUND FUND VALUE FUND FUND
-------------- --------------- ------------- ---------------- ---------------- ------------
INVESTMENT INCOME
Interest............... $ 3,167 $ 1,457 $ 19,990 $ 1,754 $ 3,228 $ 35
Dividends.............. 7,811 117,270 620,985 11,572 90,972 127,630
---------- ---------- ----------- ---------- ---------- ----------
Total investment
income................. 10,978 118,727 640,975 13,326 94,200 127,665
---------- ---------- ----------- ---------- ---------- ----------
EXPENSES
Investment advisory
fee.................. 39,832 58,043 273,412 48,705 74,063 57,525
Custody and fund
accounting........... 59,741 40,762 55,567 52,081 50,744 43,703
Audit.................. 18,331 17,539 17,376 17,931 17,932 17,538
Legal.................. 2,413 3,428 13,096 4,872 4,448 2,706
Printing............... 3,384 1,820 9,445 1,034 915 4,726
Administration......... 49,312 50,392 50,391 50,393 50,391 50,391
Transfer agency........ 5,817 4,373 6,044 4,356 6,312 6,191
Trustees fees.......... 5,002 5,002 5,002 5,002 4,927 5,002
Insurance.............. 270 600 2,425 358 453 479
Miscellaneous fees..... 522 640 1,848 458 747 573
---------- ---------- ----------- ---------- ---------- ----------
Total expenses........... 184,624 182,599 434,606 185,190 210,932 188,834
---------- ---------- ----------- ---------- ---------- ----------
Less: Reduction of
advisory fees........ (39,832) (58,043) (106,512) (48,705) (74,063) (57,525)
Reimbursement of
operating expenses... (97,929) (54,904) -- (80,090) (51,112) (66,594)
---------- ---------- ----------- ---------- ---------- ----------
Net expenses............. 46,863 69,652 328,094 56,395 85,757 64,715
---------- ---------- ----------- ---------- ---------- ----------
NET INVESTMENT INCOME
(LOSS)................. (35,885) 49,075 312,881 (43,069) 8,443 62,950
---------- ---------- ----------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain
(loss) on investment
transactions......... 771,221 (670,776) (509,763) 112,556 451,864 (134,087)
Net unrealized
appreciation
(depreciation) on
investment and
foreign currency
transactions......... 919,723 2,896,177 10,401,882 1,223,747 2,028,649 2,124,510
---------- ---------- ----------- ---------- ---------- ----------
Net realized and
unrealized gain (loss)
on investments......... 1,690,944 2,225,401 9,892,119 1,336,303 2,480,513 1,990,423
---------- ---------- ----------- ---------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS............. $1,655,059 $2,274,476 $10,205,000 $1,293,234 $2,488,956 $2,053,373
========== ========== =========== ========== ========== ==========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 84
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2003 (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
BLUE CHIP
VALUE MANAGED VALUE MID CAP VALUE SMALL CAP MID CAP INVESTORS SELECT EQUITY
FUND FUND FUND FUND FOUNDATION FUND FUND
------------- ------------- --------------- ----------- --------------- -------------
INVESTMENT INCOME
Interest............... $ 124 $ 1,132 $ 8,761 $ 13,486 $ 26 $ 1,105
Dividends.............. 81,706 174,112 637,097 561,408 108,275 114,246
---------- ---------- ----------- ----------- ---------- ----------
Total investment
income................. 81,830 175,244 645,858 574,894 108,301 115,351
---------- ---------- ----------- ----------- ---------- ----------
EXPENSES
Investment advisory
fee.................. 37,842 136,429 455,596 502,861 48,527 69,552
Custody and fund
accounting........... 41,301 46,317 65,521 94,863 57,880 45,760
Audit.................. 17,539 17,814 16,826 17,376 17,538 18,364
Legal.................. 1,685 6,337 19,919 19,556 2,479 4,110
Printing............... 921 9,127 11,430 13,512 956 6,128
Administration......... 50,391 50,391 50,392 50,390 50,709 50,391
Transfer agency........ 6,271 6,094 7,371 7,370 6,189 6,189
Trustees fees.......... 5,002 4,999 5,001 5,002 5,002 5,001
Insurance.............. 319 1,113 3,008 3,998 446 653
Miscellaneous fees..... 464 1,007 2,766 3,266 543 725
---------- ---------- ----------- ----------- ---------- ----------
Total expenses........... 161,735 279,628 637,830 718,194 190,269 206,873
---------- ---------- ----------- ----------- ---------- ----------
Less: Reduction of
advisory fees........ (37,842) (109,092) (68,336) (89,619) (48,527) (69,552)
Reimbursement of
operating expenses... (81,322) -- -- -- (83,510) (53,859)
---------- ---------- ----------- ----------- ---------- ----------
Net expenses............. 42,571 170,536 569,494 628,575 58,232 83,462
---------- ---------- ----------- ----------- ---------- ----------
NET INVESTMENT INCOME
(LOSS)................. 39,259 4,708 76,364 (53,681) 50,069 31,889
---------- ---------- ----------- ----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain
(loss) on investment
transactions......... 179,313 1,982,014 8,423,726 3,619,234 (322,767) 3,828
Net unrealized
appreciation
(depreciation) on
investment and
foreign currency
transactions......... 1,013,325 2,931,562 12,833,360 16,340,552 1,965,338 2,528,346
---------- ---------- ----------- ----------- ---------- ----------
Net realized and
unrealized gain (loss)
on investments......... 1,192,638 4,913,576 21,257,086 19,959,786 1,642,571 2,532,174
---------- ---------- ----------- ----------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS............. $1,231,897 $4,918,284 $21,333,450 $19,906,105 $1,692,640 $2,564,063
========== ========== =========== =========== ========== ==========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 85
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALL CAP FUND INVESTMENT GRADE BOND FUND MONEY MARKET FUND
------------------------ -------------------------- ----------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
------------------------ -------------------------- ----------------------------
2003 2002* 2003 2002 2003 2002
----------- ----------- ------------ ------------ ------------- -------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ 18,945 $ 4,609 $ 3,596,751 $ 5,508,843 $ 792,677 $ 1,456,365
Net realized gain
(loss) on investment
transactions......... 280,430 (174,515) 788,671 (26,078) 453 116
Net unrealized
appreciation
(depreciation) of
investments.......... 911,409 (318,573) 1,907,043 (566,146) -- --
---------- ---------- ------------ ------------ ------------- -------------
Net increase (decrease)
in net assets resulting
from operations........ 1,210,784 (488,479) 6,292,465 4,916,619 793,130 1,456,481
---------- ---------- ------------ ------------ ------------- -------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... (17,001) (4,031) (3,611,788) (5,508,843) (792,677) (1,456,365)
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... (15,947) -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
---------- ---------- ------------ ------------ ------------- -------------
Net decrease in net
assets from
distributions.......... (32,948) (4,031) (3,611,788) (5,508,843) (792,677) (1,456,365)
---------- ---------- ------------ ------------ ------------- -------------
SHARE TRANSACTIONS
Net proceeds from
sales................ 2,358,428 2,280,692 12,560,488 63,184,886 138,242,739 254,620,934
Net proceeds from
reinvestment of
distributions........ 32,948 4,031 3,611,788 5,508,843 792,677 1,456,365
Cost of shares
redeemed............. (267,389) (11,771) (20,196,327) (81,422,212) (175,395,161) (223,660,252)
---------- ---------- ------------ ------------ ------------- -------------
Net increase (decrease)
in net assets from
capital stock
transactions........... 2,123,987 2,272,952 (4,024,051) (12,728,483) (36,359,745) 32,417,047
---------- ---------- ------------ ------------ ------------- -------------
Total increase (decrease)
in net assets.......... 3,301,823 1,780,442 (1,343,374) (13,320,707) (36,359,292) 32,417,163
NET ASSETS
Beginning of period...... 1,780,442 -- 67,678,607 80,999,314 149,362,960 116,945,797
---------- ---------- ------------ ------------ ------------- -------------
End of period+........... $5,082,265 $1,780,442 $ 66,335,233 $ 67,678,607 $ 113,003,668 $ 149,362,960
========== ========== ============ ============ ============= =============
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 233,939 237,184 1,278,813 6,609,864 138,242,739 254,620,934
Shares issued to
shareholders from
reinvestment of
distributions........ 2,918 531 365,651 576,601 792,677 1,456,365
Shares redeemed........ (29,224) (1,611) (2,055,489) (8,520,760) (175,395,161) (223,660,252)
---------- ---------- ------------ ------------ ------------- -------------
Net increase
(decrease)........... 207,633 236,104 (411,025) (1,334,295) (36,359,745) 32,417,047
========== ========== ============ ============ ============= =============
+ Includes undistributed
net investment income
(loss)................. $ 1,682 $ 578 $ 5,587 $ 15,037 $ -- $ --
========== ========== ============ ============ ============= =============
</Table>
* For the period May 1, 2002 (commencement of operations) to December 31,
2002.
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 86
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALGER GROWTH FUND ALGER INCOME & GROWTH FUND
REAL ESTATE FUND ------------------------- ---------------------------
------------------------- DECEMBER 31, DECEMBER 31,
YEAR ENDED DECEMBER 31, ------------------------- ---------------------------
------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
2003 2002 2003 2002** 2003 2002**
----------- ------------ ----------- ------------ ------------ -------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ 2,497,229 $ 1,894,063 $ (9,331) $ 4,885 $ 39,215 $ 13,594
Net realized gain
(loss) on investment
transactions......... 2,592,748 1,669,332 772,038 (1,501,727) 316,233 (1,049,954)
Net unrealized
appreciation
(depreciation) of
investments.......... 12,262,673 (1,929,150) 1,836,290 (20,002) 1,445,958 (112,344)
----------- ------------ ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations........ 17,352,650 1,634,245 2,598,997 (1,516,844) 1,801,406 (1,148,704)
----------- ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... -- (1,676,108) (47) (4,838) (39,651) (13,135)
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... -- (2,000,386) -- -- -- --
In excess of net
realized gain on
investments.......... -- (239,579) -- -- -- --
Capital................ -- (331,137) -- -- -- --
----------- ------------ ----------- ----------- ----------- -----------
Net decrease in net
assets from
distributions.......... -- (4,247,210) (47) (4,838) (39,651) (13,135)
----------- ------------ ----------- ----------- ----------- -----------
SHARE TRANSACTIONS
Net proceeds from
sales................ 25,727,511 29,877,714 5,112,479 12,253,910 3,287,067 9,537,974
Net proceeds from
reinvestment of
distributions........ -- 4,247,210 47 4,838 39,651 13,135
Cost of shares
redeemed............. (8,695,925) (13,025,877) (3,271,853) (3,057,156) (2,309,129) (2,183,042)
----------- ------------ ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets from
capital stock
transactions........... 17,031,586 21,099,047 1,840,673 9,201,592 1,017,589 7,368,067
----------- ------------ ----------- ----------- ----------- -----------
Total increase (decrease)
in net assets.......... 34,384,236 18,486,082 4,439,623 7,679,910 2,779,344 6,206,228
NET ASSETS
Beginning of period...... 44,310,359 25,824,277 7,679,910 -- 6,206,228 --
----------- ------------ ----------- ----------- ----------- -----------
End of period+........... $78,694,595 $ 44,310,359 $12,119,533 $ 7,679,910 $ 8,985,572 $ 6,206,228
=========== ============ =========== =========== =========== ===========
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 1,954,473 2,450,347 635,347 1,472,442 407,644 1,119,593
Shares issued to
shareholders from
reinvestment of
distributions........ -- 385,926 5 671 4,216 1,761
Shares redeemed........ (732,041) (1,024,269) (446,821) (394,050) (313,806) (278,502)
----------- ------------ ----------- ----------- ----------- -----------
Net increase
(decrease)........... 1,222,432 1,812,004 188,531 1,079,063 98,054 842,852
=========== ============ =========== =========== =========== ===========
+ Includes undistributed
net investment income
(loss)................. $ 1,894,821 $ 343,128 $ -- $ 47 $ -- $ 459
=========== ============ =========== =========== =========== ===========
</Table>
** For the period April 1, 2002 (commencement of operations) to December 31,
2002.
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 87
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
ALGER SMALL CAPITALIZATION
FUND DAVIS FINANCIAL FUND DAVIS VENTURE VALUE FUND
--------------------------- ------------------------ ------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
--------------------------- ------------------------ ------------------------
2003 2002** 2003 2002 2003 2002
------------- ------------ ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ (35,885) $ (13,094) $ 49,075 $ 36,539 $ 312,881 $ 237,562
Net realized gain
(loss) on investment
transactions......... 771,221 (612,960) (670,776) (133,154) (509,763) (1,532,697)
Net unrealized
appreciation
(depreciation) of
investments.......... 919,723 22,214 2,896,177 (2,014,937) 10,401,882 (4,996,981)
----------- ---------- ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations........ 1,655,059 (603,840) 2,274,476 (2,111,552) 10,205,000 (6,292,116)
----------- ---------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... -- -- (35,018) (14,070) (213,141) (1,149)
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
----------- ---------- ----------- ----------- ----------- -----------
Net decrease in net
assets from
distributions.......... -- -- (35,018) (14,070) (213,141) (1,149)
----------- ---------- ----------- ----------- ----------- -----------
SHARE TRANSACTIONS
Net proceeds from
sales................ 3,874,624 5,292,605 899,814 3,261,843 5,447,573 9,886,049
Net proceeds from
reinvestment of
distributions........ -- -- 35,018 14,070 213,141 1,149
Cost of shares
redeemed............. (2,460,127) (867,096) (2,076,389) (3,418,519) (3,631,725) (3,510,231)
----------- ---------- ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets from
capital stock
transactions........... 1,414,497 4,425,509 (1,141,557) (142,606) 2,028,989 6,376,967
----------- ---------- ----------- ----------- ----------- -----------
Total increase (decrease)
in net assets.......... 3,069,556 3,821,669 1,097,901 (2,268,228) 12,020,848 83,702
NET ASSETS
Beginning of period...... 3,821,669 -- 7,884,323 10,152,551 32,193,745 32,110,043
----------- ---------- ----------- ----------- ----------- -----------
End of period+........... $ 6,891,225 $3,821,669 $ 8,982,224 $ 7,884,323 $44,214,593 $32,193,745
=========== ========== =========== =========== =========== ===========
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 427,555 611,054 93,966 339,464 681,374 1,209,410
Shares issued to
shareholders from
reinvestment of
distributions........ -- -- 3,474 1,619 25,711 154
Shares redeemed........ (298,971) (108,746) (235,276) (385,508) (455,533) (482,917)
----------- ---------- ----------- ----------- ----------- -----------
Net increase
(decrease)........... 128,584 502,308 (137,836) (44,425) 251,552 726,647
=========== ========== =========== =========== =========== ===========
+ Includes undistributed
net investment income
(loss)................. $ -- $ -- $ 48,687 $ 35,013 $ 331,307 $ 237,253
=========== ========== =========== =========== =========== ===========
</Table>
** For the period April 1, 2002 (commencement of operations) to December 31,
2002.
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 88
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
NEUBERGER BERMAN NEUBERGER BERMAN
MID CAP GROWTH FUND MID CAP VALUE FUND VALUE EQUITY FUND
------------------------- ------------------------- ------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
------------------------- ------------------------- ------------------------
2003 2002 2003 2002 2003 2002
----------- ------------ ------------ ----------- ----------- -----------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ (43,069) $ (36,909) $ 8,443 $ 7,810 $ 62,950 $ 62,635
Net realized gain
(loss) on investment
transactions......... 112,556 (1,433,465) 451,864 (178,411) (134,087) (1,517,768)
Net unrealized
appreciation
(depreciation) of
investments.......... 1,223,747 (139,784) 2,028,649 (526,125) 2,124,510 (789,247)
---------- ----------- ----------- ---------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations........ 1,293,234 (1,610,158) 2,488,956 (696,726) 2,053,373 (2,244,380)
---------- ----------- ----------- ---------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... -- -- (6,994) (7,866) (63,010) (62,708)
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
---------- ----------- ----------- ---------- ----------- -----------
Net decrease in net
assets from
distributions.......... -- -- (6,994) (7,866) (63,010) (62,708)
---------- ----------- ----------- ---------- ----------- -----------
SHARE TRANSACTIONS
Net proceeds from
sales................ 2,171,453 3,055,282 2,825,472 4,969,071 1,411,636 3,668,013
Net proceeds from
reinvestment of
distributions........ -- -- 6,994 7,866 63,011 62,708
Cost of shares
redeemed............. (779,302) (1,498,086) (2,457,850) (968,602) (1,200,128) (1,896,109)
---------- ----------- ----------- ---------- ----------- -----------
Net increase (decrease)
in net assets from
capital stock
transactions........... 1,392,151 1,557,196 374,616 4,008,335 274,519 1,834,612
---------- ----------- ----------- ---------- ----------- -----------
Total increase (decrease)
in net assets.......... 2,685,385 (52,962) 2,856,578 3,303,743 2,264,882 (472,476)
NET ASSETS
Beginning of period...... 4,182,077 4,235,039 6,818,593 3,514,850 6,453,291 6,925,767
---------- ----------- ----------- ---------- ----------- -----------
End of period+........... $6,867,462 $ 4,182,077 $ 9,675,171 $6,818,593 $ 8,718,173 $ 6,453,291
========== =========== =========== ========== =========== ===========
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 304,458 408,208 288,934 516,267 167,427 419,315
Shares issued to
shareholders from
reinvestment of
distributions........ -- -- 584 880 6,463 8,240
Shares redeemed........ (120,141) (217,409) (257,930) (108,350) (152,280) (230,565)
---------- ----------- ----------- ---------- ----------- -----------
Net increase
(decrease)........... 184,317 190,799 31,588 408,797 21,610 196,990
========== =========== =========== ========== =========== ===========
+ Includes undistributed
net investment income
(loss)................. $ -- $ -- $ 1,437 $ (5) $ -- $ --
========== =========== =========== ========== =========== ===========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 89
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
VALUE MANAGED FUND VALUE MID CAP FUND VALUE SMALL CAP FUND
------------------------- ------------------------ ------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
------------------------- ------------------------ ------------------------
2003 2002 2003 2002 2003 2002
----------- ------------ ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ 39,259 $ 37,875 $ 4,708 $ 9,801 $ 76,364 $ 55,556
Net realized gain
(loss) on investment
transactions......... 179,313 (770,120) 1,982,014 (410,197) 8,423,726 (2,732,972)
Net unrealized
appreciation
(depreciation) of
investments.......... 1,013,325 (389,980) 2,931,562 (867,449) 12,833,360 (2,707,059)
---------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations........ 1,231,897 (1,122,225) 4,918,284 (1,267,845) 21,333,450 (5,384,475)
---------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... (39,011) (37,924) (5,090) (9,666) (33,939) --
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... -- -- (1,094,852) -- -- (643,740)
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
---------- ----------- ----------- ----------- ----------- -----------
Net decrease in net
assets from
distributions.......... (39,011) (37,924) (1,099,942) (9,666) (33,939) (643,740)
---------- ----------- ----------- ----------- ----------- -----------
SHARE TRANSACTIONS
Net proceeds from
sales................ 795,633 1,866,801 2,872,186 7,445,231 20,401,216 35,999,416
Net proceeds from
reinvestment of
distributions........ 39,011 37,924 1,099,942 9,666 33,939 643,740
Cost of shares
redeemed............. (834,356) (1,005,857) (2,890,759) (5,535,273) (14,189,636) (8,473,212)
---------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease)
in net assets from
capital stock
transactions........... 288 898,868 1,081,369 1,919,624 6,245,519 28,169,944
---------- ----------- ----------- ----------- ----------- -----------
Total increase (decrease)
in net assets.......... 1,193,174 (261,281) 4,899,711 642,113 27,545,030 22,141,729
NET ASSETS
Beginning of period...... 4,367,362 4,628,643 15,682,176 15,040,063 44,281,687 22,139,958
---------- ----------- ----------- ----------- ----------- -----------
End of period+........... $5,560,536 $ 4,367,362 $20,581,887 $15,682,176 $71,826,717 $44,281,687
========== =========== =========== =========== =========== ===========
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 88,796 200,387 251,244 714,384 1,849,477 3,398,033
Shares issued to
shareholders from
reinvestment of
distributions........ 3,787 4,590 86,271 948 2,637 61,134
Shares redeemed........ (95,957) (111,796) (261,190) (564,502) (1,198,736) (732,714)
---------- ----------- ----------- ----------- ----------- -----------
Net increase
(decrease)........... (3,374) 93,181 76,325 150,830 653,378 2,726,453
========== =========== =========== =========== =========== ===========
+ Includes undistributed
net investment income
(loss)................. $ 248 $ -- $ -- $ 119 $ 6,834 $ 45,827
========== =========== =========== =========== =========== ===========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 90
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
BLUE CHIP MID CAP FUND INVESTORS FOUNDATION FUND SELECT EQUITY FUND
------------------------ ------------------------- ------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
------------------------ ------------------------- ------------------------
2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ------------ ----------- -----------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS
Net investment income
(loss)............... $ (53,681) $ (111,781) $ 50,069 $ 32,317 $ 31,889 $ 7,796
Net realized gain
(loss) on investment
transactions......... 3,619,234 (3,075,691) (322,767) (1,122,571) 3,828 (1,500,118)
Net unrealized
appreciation
(depreciation) of
investments.......... 16,340,552 (5,494,990) 1,965,338 (852,897) 2,528,346 (1,887,125)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations........ 19,906,105 (8,682,462) 1,692,640 (1,943,151) 2,564,063 (3,379,447)
----------- ----------- ---------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment
income............... -- -- (50,657) (31,738) (31,889) (14,419)
In excess of net
investment income.... -- -- -- -- (2,024) --
Net realized gain on
investments.......... -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
----------- ----------- ---------- ----------- ----------- -----------
Net decrease in net
assets from
distributions.......... -- -- (50,657) (31,738) (33,913) (14,419)
----------- ----------- ---------- ----------- ----------- -----------
SHARE TRANSACTIONS
Net proceeds from
sales................ 11,315,742 18,389,810 861,827 2,068,184 1,772,700 2,323,112
Net proceeds from
reinvestment of
distributions........ -- -- 50,657 31,738 33,913 14,419
Cost of shares
redeemed............. (9,058,622) (8,559,070) (950,037) (708,590) (1,974,013) (1,990,885)
----------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease)
in net assets from
capital stock
transactions........... 2,257,120 9,830,740 (37,553) 1,391,332 (167,400) 346,646
----------- ----------- ---------- ----------- ----------- -----------
Total increase (decrease)
in net assets.......... 22,163,225 1,148,278 1,604,430 (583,557) 2,362,750 (3,047,220)
NET ASSETS
Beginning of period...... 53,505,650 52,357,372 6,074,398 6,657,955 8,400,882 11,448,102
----------- ----------- ---------- ----------- ----------- -----------
End of period+........... $75,668,875 $53,505,650 $7,678,828 $ 6,074,398 $10,763,632 $ 8,400,882
=========== =========== ========== =========== =========== ===========
SHARES OF BENEFICIAL
INTEREST
Shares sold............ 865,348 1,509,640 116,404 260,193 239,409 290,860
Shares issued to
shareholders from
reinvestment of
distributions........ -- -- 6,009 4,695 3,966 2,166
Shares redeemed........ (684,940) (728,027) (135,530) (100,919) (267,073) (275,175)
----------- ----------- ---------- ----------- ----------- -----------
Net increase
(decrease)........... 180,408 781,613 (13,117) 163,969 (23,698) 17,851
=========== =========== ========== =========== =========== ===========
+ Includes undistributed
net investment income
(loss)................. $ 438 $ (216) $ -- $ 579 $ -- $ --
=========== =========== ========== =========== =========== ===========
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 91
<Page>
FINANCIAL HIGHLIGHTS
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
ALL CAP FUND INVESTMENT GRADE BOND FUND
---------------------------- --------------------------------------------------------
FOR THE PERIOD YEAR ENDED DECEMBER 31
YEAR ENDED 05/1/02* TO --------------------------------------------------------
12/31/2003 12/31/2002 2003 2002 2001 2000 1999
---------- -------------- -------- -------- -------- -------- --------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 7.540 $10.000 $ 9.630 $ 9.680 $ 9.600 $ 9.340 $ 9.970
------- ------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.040 0.020 0.514 0.538 0.601 0.626 0.576
Net realized and
unrealized gain
(loss) on
investments.......... 3.943 (2.462) 0.393 (0.050) 0.079 0.260 (0.630)
------- ------- ------- ------- ------- ------- -------
Total from Investment
Operations........... 3.983 (2.442) 0.907 0.488 0.680 0.886 (0.054)
------- ------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.036) (0.018) (0.517) (0.538) (0.600) (0.626) (0.576)
In excess of net
investment income.... -- -- -- -- -- -- --
Net realized gain on
investments.......... (0.037) -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- -- --
Capital................ -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
Total distributions.... (0.073) (0.018) (0.517) (0.538) (0.600) (0.626) (0.576)
------- ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $11.450 $ 7.540 $10.020 $ 9.630 $ 9.680 $ 9.600 $ 9.340
======= ======= ======= ======= ======= ======= =======
TOTAL RETURN(b).......... 52.89% (24.43)% 9.63% 5.23% 7.21% 9.86% (0.56)%
======= ======= ======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 5,082 $ 1,780 $66,335 $67,679 $80,999 $40,376 $18,184
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.75% 0.75% 0.75% 0.75% 0.75%
Gross expenses(a)...... 5.47% 5.73% 0.88% 0.81% 0.95% 1.31% 1.98%
Net investment income
(loss)(a)............ 0.70% 0.41% 5.22% 5.60% 6.11% 6.70% 6.00%
Portfolio turnover
rate................... 150% 67% 57% 144% 92% 69% 78%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
92
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
MONEY MARKET FUND
--------------------------------------------------------
YEAR ENDED DECEMBER 31
--------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.005 0.011 0.035 0.057 0.045
Net realized and
unrealized gain
(loss) on
investments.......... -- -- -- -- --
-------- -------- -------- ------- -------
Total from Investment
Operations........... 0.005 0.011 0.035 0.057 0.045
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.005) (0.011) (0.035) (0.057) (0.045)
In excess of net
investment income.... -- -- -- -- --
Net realized gain on
investments.......... -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- --
Capital................ -- -- -- -- --
-------- -------- -------- ------- -------
Total distributions.... (0.005) (0.011) (0.035) (0.057) (0.045)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======= =======
TOTAL RETURN(b).......... 0.55% 1.12% 3.59% 5.90% 4.63%
======== ======== ======== ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $113,004 $149,363 $116,946 $41,279 $13,971
Ratios to average net
assets:
Net expenses(a)........ 0.65% 0.65% 0.65% 0.65% 0.65%
Gross expenses(a)...... 0.65% 0.65% 0.74% 1.22% 2.70%
Net investment income
(loss)(a)............ 0.56% 1.11% 3.16% 5.83% 4.69%
Portfolio turnover
rate................... N/A N/A N/A N/A N/A
<Caption>
REAL ESTATE FUND
--------------------------------------------------------
YEAR ENDED DECEMBER 31
--------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $11.100 $11.850 $11.250 $ 8.940 $ 9.850
------- ------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.277 0.496 0.629 0.388 0.477
Net realized and
unrealized gain
(loss) on
investments.......... 3.713 (0.036) 0.772 2.402 (0.888)
------- ------- ------- ------- -------
Total from Investment
Operations........... 3.990 0.460 1.401 2.790 (0.411)
------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... -- (0.463) (0.618) (0.417) (0.447)
In excess of net
investment income.... -- -- -- -- --
Net realized gain on
investments.......... -- (0.583) (0.183) (0.054) --
In excess of net
realized gain on
investments.......... -- (0.070) -- (0.009) --
Capital................ -- (0.094) -- -- (0.052)
------- ------- ------- ------- -------
Total distributions.... -- (1.210) (0.801) (0.480) (0.499)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $15.090 $11.100 $11.850 $11.250 $ 8.940
======= ======= ======= ======= =======
TOTAL RETURN(b).......... 35.95% 4.04% 12.58% 31.30% (3.98)%
======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $78,695 $44,310 $25,824 $17,162 $ 6,089
Ratios to average net
assets:
Net expenses(a)........ 1.25% 1.25% 1.25% 1.25% 1.25%
Gross expenses(a)...... 1.26% 1.41% 1.68% 2.67% 3.39%
Net investment income
(loss)(a)............ 4.54% 5.51% 5.60% 6.13% 6.09%
Portfolio turnover
rate................... 42% 49% 25% 15% 13%
</Table>
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
93
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each Period:
<Table>
<Caption>
ALGER INCOME & ALGER SMALL
ALGER GROWTH FUND GROWTH FUND CAPITALIZATION FUND
---------------------------- ---------------------------- ----------------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
YEAR ENDED 04/1/02* TO YEAR ENDED 04/1/02* TO YEAR ENDED 04/1/02* TO
12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002
---------- -------------- ---------- -------------- ---------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 7.120 $10.000 $ 7.360 $10.000 $ 7.610 $10.000
------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... (0.007) 0.006 0.042 0.021 (0.057) (0.026)
Net realized and
unrealized gain
(loss) on
investments.......... 2.447 (2.880) 2.190 (2.640) 3.367 (2.364)
------- ------- ------- ------- ------- -------
Total from Investment
Operations........... 2.440 (2.874) 2.232 (2.619) 3.310 (2.390)
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... --(c) (0.006) (0.042) (0.021) -- --
In excess of net
investment income.... -- -- -- -- -- --
Net realized gain on
investments.......... -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions.... (0.000) (0.006) (0.042) (0.021) -- --
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 9.560 $ 7.120 $ 9.550 $ 7.360 $10.920 $ 7.610
======= ======= ======= ======= ======= =======
TOTAL RETURN(b).......... 34.27% (28.74)% 30.34% (26.20)% 43.50% (23.90)%
======= ======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $12,120 $ 7,680 $ 8,986 $ 6,206 $ 6,891 $ 3,822
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.80% 0.80% 1.00% 1.00%
Gross expenses(a)...... 2.38% 3.12% 2.65% 3.32% 3.94% 5.16%
Net investment income
(loss)(a)............ (0.10)% 0.14% 0.56% 0.45% (0.77)% (0.68)%
Portfolio turnover
rate................... 161% 217% 176% 223% 169% 107%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) Amount is less than $0.001 per share.
94
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each Period:
<Table>
<Caption>
DAVIS FINANCIAL FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 8.540 $10.490 $11.320 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.068 0.040 0.015 0.013
Net realized and
unrealized gain
(loss) on
investments.......... 2.866 (1.975) (0.757) 1.325
------- ------- ------- -------
Total from Investment
Operations........... 2.934 (1.935) (0.742) 1.338
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.044) (0.015) -- (0.013)
In excess of net
investment income.... -- -- -- --
Net realized gain on
investments.......... -- -- (0.088) (0.005)
In excess of net
realized gain on
investments.......... -- -- -- --
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.044) (0.015) (0.088) (0.018)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $11.430 $ 8.540 $10.490 $11.320
======= ======= ======= =======
TOTAL RETURN(b).......... 34.42% (18.45)% (6.57)% 13.39%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 8,982 $ 7,884 $10,153 $ 4,729
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 2.36% 2.09% 2.72% 5.50%
Net investment income
(loss)(a)............ 0.63% 0.39% 0.20% 0.35%
Portfolio turnover
rate................... 17% 56% 35% 1%
<Caption>
DAVIS VENTURE VALUE FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 7.320 $ 8.740 $ 9.830 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.065 0.054 0.049 0.028
Net realized and
unrealized gain
(loss) on
investments.......... 2.161 (1.474) (1.092) (0.172)(c)
------- ------- ------- -------
Total from Investment
Operations........... 2.226 (1.420) (1.043) (0.144)
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.046) --(d) (0.047) (0.026)
In excess of net
investment income.... -- -- -- --
Net realized gain on
investments.......... -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- --
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.046) -- (0.047) (0.026)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 9.500 $ 7.320 $ 8.740 $ 9.830
======= ======= ======= =======
TOTAL RETURN(b).......... 30.50% (16.24)% (10.61)% (1.42)%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $44,215 $32,194 $32,110 $12,611
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 1.19% 1.21% 1.28% 3.20%
Net investment income
(loss)(a)............ 0.86% 0.71% 0.51% 1.08%
Portfolio turnover
rate................... 7% 26% 84% 0%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) The amount shown for a share outstanding does not correspond with aggregate
net gain on investments for the period due to timing of sales and
repurchases of Fund shares in relation to fluctuating market values of the
investments of the fund.
(d) Amount is less than .001 per share.
95
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
NEUBERGER BERMAN NEUBERGER BERMAN
MID CAP GROWTH FUND MID CAP VALUE FUND
-------------------------------------- --------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31 FOR THE PERIOD DECEMBER 31 FOR THE PERIOD
-------------------- 05/01/01* TO -------------------- 05/01/01* TO
2003 2002 12/31/2001 2003 2002 12/31/2001
-------- -------- -------------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 6.190 $ 8.740 $10.000 $ 8.910 $ 9.860 $10.000
------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... --(c) (0.055) (0.023) 0.011 0.011 0.032
Net realized and
unrealized gain
(loss) on
investments.......... 1.800 (2.495) (1.237) 3.228 (0.950) (0.140)
------- ------- ------- ------- ------- -------
Total from Investment
Operations........... 1.800 (2.550) (1.260) 3.239 (0.939) (0.108)
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... -- -- -- (0.009) (0.010) (0.032)
In excess of net
investment income.... -- -- -- -- --(c) --
Net realized gain on
investments.......... -- -- -- -- -- --
In excess of net
realized gain on
investments.......... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions.... -- -- -- (0.009) (0.011) (0.032)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 7.990 $ 6.190 $ 8.740 $12.140 $ 8.910 $ 9.860
======= ======= ======= ======= ======= =======
TOTAL RETURN(b).......... 29.08% (29.26)% (12.60)% 36.35% (9.53)% (1.08)%
======= ======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 6,867 $ 4,182 $ 4,235 $ 9,675 $ 6,819 $ 3,515
Ratios to average net
assets:
Net expenses(a)........ 1.10% 1.10% 1.10% 1.10% 1.10% 1.10%
Gross expenses(a)...... 3.61% 4.06% 5.84% 2.71% 3.38% 7.47%
Net investment income
(loss)(a)............ (0.84)% (0.84)% (0.53)% 0.11% 0.14% 0.69%
Portfolio turnover
rate................... 146% 163% 63% 74% 74% 108%
<Caption>
VALUE EQUITY FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 7.520 $10.470 $11.290 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.072 0.075 0.057 0.036
Net realized and
unrealized gain
(loss) on
investments.......... 2.390 (2.950) (0.344) 1.297
------- ------- ------- -------
Total from Investment
Operations........... 2.462 (2.875) (0.287) 1.333
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.072) (0.075) (0.057) (0.038)
In excess of net
investment income.... -- --(c) --(c) --
Net realized gain on
investments.......... -- -- (0.265) --
In excess of net
realized gain on
investments.......... -- -- (0.211) (0.005)
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.072) (0.075) (0.533) (0.043)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 9.910 $ 7.520 $10.470 $11.290
======= ======= ======= =======
TOTAL RETURN(b).......... 32.76% (27.47)% (2.53)% 13.35%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 8,718 $ 6,453 $ 6,926 $ 2,579
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 2.63% 2.72% 3.97% 7.65%
Net investment income
(loss)(a)............ 0.88% 0.92% 0.75% 0.81%
Portfolio turnover
rate................... 92% 71% 72% 38%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) Amount is less than $0.001 per share.
96
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
VALUE MANAGED FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD...... $ 8.170 $10.490 $11.300 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.074 0.073 0.075 0.085
Net realized and
unrealized gain
(loss) on
investments.......... 2.300 (2.320) (0.763) 1.300
------- ------- ------- -------
Total from Investment
Operations........... 2.374 (2.247) (0.688) 1.385
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.074) (0.073) (0.075) (0.085)
In excess of net
investment income.... -- --(c) --(c) --(c)
Net realized gain on
investments.......... -- -- (0.047) --
In excess of net
realized gain on
investments.......... -- -- -- --
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.074) (0.073) (0.122) (0.085)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $10.470 $ 8.170 $10.490 $11.300
======= ======= ======= =======
TOTAL RETURN(b).......... 29.07% (21.43)% (6.08)% 13.88%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 5,561 $ 4,367 $ 4,629 $ 2,397
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 3.42% 3.55% 4.68% 7.84%
Net investment income
(loss)(a)............ 0.83% 0.83% 0.88% 1.80%
Portfolio turnover
rate................... 91% 55% 54% 32%
<Caption>
VALUE MID CAP FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD...... $10.320 $10.980 $10.290 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.004 0.006 0.016 0.021
Net realized and
unrealized gain
(loss) on
investments.......... 3.294 (0.660) 0.688 0.312
------- ------- ------- -------
Total from Investment
Operations........... 3.298 (0.654) 0.704 0.333
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.003) (0.006) (0.014) (0.021)
In excess of net
investment income.... -- -- -- --(c)
Net realized gain on
investments.......... (0.725) -- -- --
In excess of net
realized gain on
investments.......... -- -- -- (0.022)
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.728) (0.006) (0.014) (0.043)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $12.890 $10.320 $10.980 $10.290
======= ======= ======= =======
TOTAL RETURN(b).......... 32.04% (5.95)% 6.84% 3.37%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $20,582 $15,682 $15,040 $ 8,122
Ratios to average net
assets:
Net expenses(a)........ 1.00% 1.00% 1.00% 1.00%
Gross expenses(a)...... 1.64% 1.71% 1.70% 4.27%
Net investment income
(loss)(a)............ 0.03% 0.06% 0.12% 0.71%
Portfolio turnover
rate................... 88% 104% 158% 36%
<Caption>
VALUE SMALL CAP FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------- 7/17/00* TO
2003 2002 2001 12/31/2000
-------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD...... $ 9.940 $12.820 $11.930 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... (0.003) 0.012 (0.005) 0.065
Net realized and
unrealized gain
(loss) on
investments.......... 4.139 (2.640) 1.062 2.109
------- ------- ------- -------
Total from Investment
Operations........... 4.136 (2.628) 1.057 2.174
------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.006) -- --(c) (0.065)
In excess of net
investment income.... -- -- (0.002) (0.001)
Net realized gain on
investments.......... -- (0.220) (0.165) (0.178)
In excess of net
realized gain on
investments.......... -- (0.032) -- --
Capital................ -- -- -- --
------- ------- ------- -------
Total distributions.... (0.006) (0.252) (0.167) (0.244)
------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $14.070 $ 9.940 $12.820 $11.930
======= ======= ======= =======
TOTAL RETURN(b).......... 41.62% (20.61)% 8.91% 21.91%
======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $71,827 $44,282 $22,140 $ 5,973
Ratios to average net
assets:
Net expenses(a)........ 1.00% 1.00% 1.00% 1.00%
Gross expenses(a)...... 1.12% 1.34% 2.06% 5.02%
Net investment income
(loss)(a)............ 0.13% 0.18% (0.08)% 1.83%
Portfolio turnover
rate................... 144% 136% 138% 42%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) Amount is less than $0.001 per share.
97
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
BLUE CHIP MID CAP FUND
--------------------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------------------- 9/1/99* TO
2003 2002 2001 2000 12/31/1999
-------- -------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $11.470 $13.480 $13.930 $12.300 $10.000
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... (0.011) (0.024) (0.022) (0.018) --
Net realized and
unrealized gain
(loss) on
investments.......... 4.151 (1.986) (0.428) 2.994 2.683
------- ------- ------- ------- -------
Total from Investment
Operations........... 4.140 (2.010) (0.450) 2.976 2.683
------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... -- -- -- -- --
In excess of net
investment income.... -- -- -- -- --
Net realized gain on
investments.......... -- -- -- (0.968) (0.383)
In excess of net
realized gain on
investments.......... -- -- -- (0.378) --
Capital................ -- -- -- -- --
------- ------- ------- ------- -------
Total distributions.... -- -- -- (1.346) (0.383)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $15.610 $11.470 $13.480 $13.930 $12.300
======= ======= ======= ======= =======
TOTAL RETURN(b).......... 36.09% (14.91)% (3.23)% 24.96% 27.07%
======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $75,669 $53,506 $52,357 $37,593 $ 6,780
Ratios to average net
assets:
Net expenses(a)........ 1.00% 1.00% 1.00% 1.00% 1.00%
Gross expenses(a)...... 1.14% 1.17% 1.26% 1.96% 4.11%
Net investment income
(loss)(a)............ (0.09)% (0.21)% (0.17)% (0.26)% (0.16)%
Portfolio turnover
rate................... 76% 90% 125% 138% 51%
<Caption>
INVESTORS FOUNDATION FUND
--------------------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------------------- 9/1/99* TO
2003 2002 2001 2000 12/31/1999
-------- -------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 6.670 $ 8.920 $ 9.720 $11.190 $10.000
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.057 0.036 0.029 0.017 0.015
Net realized and
unrealized gain
(loss) on
investments.......... 1.890 (2.251) (0.800) (0.708) 1.197
------- ------- ------- ------- -------
Total from Investment
Operations........... 1.947 (2.215) (0.771) (0.691) 1.212
------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment
income............... (0.057) (0.035) (0.029) (0.017) (0.015)
In excess of net
investment income.... -- -- --(c) --(c) --
Net realized gain on
investments.......... -- -- -- (0.495) (0.007)
In excess of net
realized gain on
investments.......... -- -- -- (0.267) --
Capital................ -- -- -- -- --
------- ------- ------- ------- -------
Total distributions.... (0.057) (0.035) (0.029) (0.779) (0.022)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 8.560 $ 6.670 $ 8.920 $ 9.720 $11.190
======= ======= ======= ======= =======
TOTAL RETURN(b).......... 29.20% (24.84)% (7.93)% (5.94)% 12.13%
======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $ 7,679 $ 6,074 $ 6,658 $ 5,653 $ 3,867
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 2.94% 2.89% 3.34% 3.99% 5.12%
Net investment income
(loss)(a)............ 0.77% 0.49% 0.34% 0.18% 0.46%
Portfolio turnover
rate................... 83% 92% 119% 82% 31%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) Amount is less than $0.001 per share
98
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
SELECT EQUITY FUND
--------------------------------------------------------------
YEAR ENDED DECEMBER 31 FOR THE PERIOD
-------------------------------------------- 9/1/99* TO
2003 2002 2001 2000 12/31/1999
-------- -------- -------- -------- --------------
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 6.610 $ 9.140 $10.970 $12.640 $10.000
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss)............... 0.026 0.006 0.045 0.005 --
Net realized and
unrealized gain
(loss) on
investments.......... 2.021 (2.525) (1.824) (1.251) 2.640
------- ------- ------- ------- -------
Total from Investment
Operations........... 2.047 (2.519) (1.779) (1.246) 2.640
------- ------- ------- ------- -------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.025) (0.010) (0.051) (0.005) --
In excess of net
investment income.... (0.002) (0.001) -- --(c) --
Net realized gain on
investments.......... -- -- -- (0.123) --
In excess of net
realized gain on
investments.......... -- -- -- (0.296) --
Capital................ -- -- -- -- --
------- ------- ------- ------- -------
Total distributions.... (0.027) (0.011) (0.051) (0.424) --
------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD................. $ 8.630 $ 6.610 $ 9.140 $10.970 $12.640
======= ======= ======= ======= =======
TOTAL RETURN(b).......... 30.98% (27.56)% (16.22)% (9.71)% 26.40%
======= ======= ======= ======= =======
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's)................ $10,764 $ 8,401 $11,448 $14,848 $ 5,140
Ratios to average net
assets:
Net expenses(a)........ 0.90% 0.90% 0.90% 0.90% 0.90%
Gross expenses(a)...... 2.23% 2.19% 1.50% 2.44% 4.25%
Net Investment income
(loss)(a)............ 0.34% 0.08% 0.31% 0.07% (0.06)%
Portfolio turnover rate.. 89% 144% 263% 271% 51%
</Table>
* Commencement of operations
(a) Annualized for periods of less than one year.
(b) Total returns are historical and assume changes in share price,
reinvestments of all dividends and distributions, and no sales charge. Had
certain expenses not been reduced during the periods shown, total returns
would have been lower. Total returns for periods of less than one year are
not annualized.
(c) Amount is less than $0.001 per share
99
<Page>
NOTES TO FINANCIAL STATEMENTS SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
NOTE A -- ORGANIZATION
Sun Capital Advisers Trust (the "Trust") is registered under the Investment
Company Act of 1940 as amended (the "1940 Act") as an open-end management
investment company. The Trust was established as a Delaware business trust under
the laws of Delaware by an Agreement and Declaration of Trust dated July 13,
1998. It currently consists of eighteen funds (each referred to as a "Fund"
collectively as "the Funds"), which are offered only to qualified pension and
retirement plans and variable annuity and variable life insurance separate
accounts established by insurance companies to fund variable annuity contracts
and variable life insurance policies. The Funds are the Sun Capital All Cap Fund
("All Cap Fund"), Sun Capital Investment Grade Bond Fund ("Investment Grade Bond
Fund"), Sun Capital Money Market Fund ("Money Market Fund"), Sun Capital Real
Estate Fund ("Real Estate Fund"), SC Alger Growth Fund ("Alger Growth Fund"), SC
Alger Income & Growth Fund ("Alger Income & Growth Fund"), SC Alger Small
Capitalization Fund ("Alger Small Capitalization Fund"), SC Davis Financial Fund
("Davis Financial Fund"), SC Davis Venture Value Fund ("Davis Venture Value
Fund"), SC Neuberger Berman Mid Cap Growth Fund ("Neuberger Berman Mid Cap
Growth Fund"), SC Neuberger Berman Mid Cap Value Fund ("Neuberger Berman Mid Cap
Value Fund"), SC Value Equity Fund ("Value Equity Fund"), SC Value Managed Fund
("Value Managed Fund"), SC Value Mid Cap Fund ("Value Mid Cap Fund"), SC Value
Small Cap Fund ("Value Small Cap Fund"), SC Blue Chip Mid Cap Fund ("Blue Chip
Mid Cap Fund"), SC Investors Foundation Fund ("Investors Foundation Fund") and
the SC Select Equity Fund ("Select Equity Fund"). Each of the Funds, other than
the Real Estate Fund and the Select Equity Fund, is classified as a diversified
fund under the 1940 Act.
NOTE B -- SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements.
VALUATION OF INVESTMENTS
Securities for which exchange quotations are readily available are valued at the
last sales price, or, if no sales occurred on that day, at the mean between the
closing bid and asked prices. Certain fixed income securities are valued by a
dealer or by a pricing service based upon a computerized matrix system, which
considers market transactions and dealer supplied valuations. Short-term
securities maturing in 60 days or less are valued at cost plus earned discount
to maturity (amortized cost), which approximates market value. Securities for
which current market quotations are not readily available are stated at fair
value as determined in good faith under the direction of the Board of Trustees.
In accordance with Rule 2a-7 of the 1940 Act, the Money Market Fund values its
securities initially at cost, and thereafter, securities are assumed to have a
constant amortization to maturity of any discount or premium. Amortized cost
approximates fair value.
100
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
INVESTMENT TRANSACTIONS AND INCOME
Investment security transactions are accounted for as of trade date. Dividend
income is recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. Realized gains and losses from security transactions are
determined on the basis of identified cost for both financial statement and
federal income tax purposes.
The Real Estate Fund and Davis Financial Fund may have elements of risk due to
concentrated investments in specific industries or foreign issuers located in a
specific country. Such concentrations may subject each of these funds to
additional risks resulting from future political or economic conditions and/or
possible impositions of adverse foreign governmental laws or currency exchange
restrictions.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The accounting records of the Funds are maintained in U.S. dollars. Portfolio
securities and other assets and liabilities denominated in a foreign currency
are translated to U.S. dollars at the prevailing rates of exchange at period
end. Purchases and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of transactions. The effects of changes in foreign currency exchange rates
on portfolio investments are included in the net realized and unrealized gains
and losses on investments. Net gains and losses on foreign currency transactions
include disposition of foreign currencies, and currency gains and losses between
the accrual and receipt dates of portfolio investment income and between the
trade and settlement dates of portfolio investment transactions.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for Federal tax purposes. Each Fund
has qualified and intends to elect and continue to qualify each year to be
treated as a regulated investment company under Subchapter M of the Internal
Revenue Code, as amended. By so qualifying, the Funds will not be subject to
Federal income taxes to the extent that they distribute all of their taxable
income, including realized capital gains, for the fiscal year. In addition, by
distributing during each calendar year substantially all of their net investment
income, capital gains and certain other amounts, if any, the Funds will not be
subject to a Federal excise tax.
A portion of the dividend income recorded by Real Estate Fund is from
distributions by publicly traded REITs, and such distributions for tax purposes
may also consist of capital gains and return of capital. The actual return of
capital and capital gains portions of such distributions will be determined by
formal notifications from the REITs subsequent to the calendar year-end.
Distributions received from the REITs that are determined to be a return of
capital are recorded by the Fund as a reduction to the cost basis of the
securities held.
101
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
At December 31, 2003, the following Funds have available for federal income tax
purposes capital loss carryovers which can be used to offset certain future
realized capital gains.
<Table>
<Caption>
EXPIRES DECEMBER 31,
-----------------------------------------------
2007 2008 2009 2010 2011
------ ------ ---------- ---------- -------
Money Market Fund........ $1,180 $ 156 $ -- $ -- $ --
Alger Growth Fund........ -- -- -- 670,117 --
Alger Income & Growth
Fund.................... -- -- -- 701,671 --
Davis Financial Fund..... -- -- 229,846 6,594 718,742
Davis Venture Value
Fund.................... -- 4,588 764,787 3,314,207 347,308
Neuberger Berman Mid Cap
Growth Fund............. -- -- 414,660 1,160,447 183,189
Value Equity Fund........ -- -- -- 1,372,093 385,176
Value Managed Fund....... -- -- -- 634,631 --
Value Small Cap Fund..... -- -- -- 1,321,563 --
Blue Chip Mid Cap Fund... -- -- 400,454 3,013,132 --
Investors Foundation
Fund.................... -- -- 462,398 1,111,503 401,488
Select Equity Fund....... -- -- 3,929,604 2,261,999 348,713
</Table>
Under current tax law, certain capital losses realized after October 31 within a
taxable year may be deferred and treated as occurring on the first day of the
following tax year. For the tax period ended December 31, 2003, the following
Funds elected to defer net losses arising between November 1, 2003 and
December 31, 2003.
<Table>
<Caption>
AMOUNT
--------
Davis Financial Fund.............................. $ 57,516
Davis Venture Value Fund.......................... 208,230
Blue Chip Mid Cap Fund............................ 497
</Table>
DOLLAR ROLL TRANSACTIONS
The Investment Grade Bond Fund may enter into dollar roll transactions with
financial institutions to take advantage of opportunities in the mortgage
market. The Fund will only enter into "covered" rolls. A "covered" roll is a
specific type of dollar roll for which there is an offsetting cash position or
liquid security position. A dollar roll transaction involves a sale by the Fund
of securities that it holds with an agreement by the Fund to repurchase similar
securities at an agreed upon price and date. The securities repurchased will be
substantially similar as to type, coupon and maturity as those sold. The Fund is
paid a fee for entering into a dollar roll transaction, that is accrued as
income over the life of the dollar roll contract. During the period between the
sale and repurchase, the Fund will not be entitled to receive interest and
principal payments on the securities sold.
The proceeds of the sale will generally be invested in additional instruments
for the Fund, and the income from these investments, together with any
additional fee income received on the dollar roll transaction, will generally
exceed the interest income that would have been earned on the securities sold.
Dollar roll transactions involve the risk that the market value of the
securities sold by the Fund may decline below the repurchase price of those
similar securities which the Fund is obligated to purchase or that the return
earned by the Fund with the proceeds of a dollar roll may not exceed transaction
costs.
REPURCHASE AGREEMENTS
In connection with transactions in repurchase agreements, the Trust's custodian
takes possession of the underlying collateral securities, the value of which at
least equals 102% of the principal amount of the repurchase transaction.
102
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
The value of the collateral is marked-to-market on a daily basis to ensure the
adequacy of the collateral. In the event of default, the Funds have the right to
liquidate the collateral and apply the proceeds in satisfaction of the
obligation. There is the risk that the collateral may be insufficient to meet
the obligation in the event of default.
WHEN ISSUED SECURITIES AND FORWARD COMMITMENTS
The Funds may purchase or sell securities on a when issued or forward commitment
basis. These transactions are arrangements in which the Funds purchase and sell
securities with payment and delivery scheduled for a future time. Settlement
dates may be a month or more after entering into these transactions and such
transactions may involve a risk of loss if the value of the underlying security
declines prior to the settlement date. The price of the underlying securities
and the date when these securities will be delivered and paid for are fixed at
the time the transaction is negotiated. This may increase the risk if the other
party involved in the transaction fails to deliver and causes the Funds to
subsequently invest at less advantageous prices and yields. In connection with
such purchases the Funds maintain cash or liquid assets in an amount equal to
purchase commitments for such underlying securities until settlement date and
for sales commitments the Funds maintain equivalent deliverable securities as
"cover" for the transaction. Unsettled commitments are valued at current market
value of the underlying security. Daily fluctuations in the value of such
contracts are recorded as unrealized gains or losses. The Funds will not enter
into such agreements for the purpose of investment leverage.
OPTIONS
A Fund may purchase and write (sell) call and put options on any securities in
which it may invest or on any securities index based on securities in which it
may invest. A Fund may write covered put and call options and purchase put and
call options for hedging or investment purposes. The risk associated with
purchasing an option is that the Fund pays a premium whether or not the option
is exercised. Additionally, the Fund bears the risk of loss of premium and
change in market value should the counterparty not perform under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of call options
is increased by the premium paid. The proceeds from securities sold through the
exercise of put options are decreased by the premium paid.
When a Fund writes an option, the premium received by the Fund is recorded as a
liability and is subsequently adjusted to the current market value of the option
written. Premiums received from writing options that expire unexercised are
recorded by a Fund on the expiration date as realized gains from options
transactions. The difference between the premium received and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or if the premium received is less than the
amount paid for the closing purchase transaction, as a realized loss. If a call
option is exercised, the premium received is added to the proceeds from the sale
of the underlying security in determining whether the Fund has realized a gain
or loss. If a put option is exercised, the premium received reduces the cost
basis of the security purchased by the Fund. The risk involved in writing an
option is that, if the option was exercised the underlying security could then
be purchased or sold by the Fund at a disadvantageous price.
Exchange-traded options are valued at the last sale price in the market where
such contracts are principally traded.
EXPENSES
Expenses directly attributable to a Fund are charged to that Fund. Expenses not
directly attributable to a particular Fund are allocated evenly among the
affected Funds, allocated on the basis of relative net assets, or otherwise
allocated among the Funds as the Trustees may direct or approve.
103
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS
The Investment Grade Bond Fund and Money Market Fund declare dividends daily
from net investment income, if any. Each of the remaining Funds in the Trust
distributes net investment income, if any, at least annually. Each Fund
distributes its net realized capital gains, if any, at least annually. Income
and capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences, which may result in distribution reclassifications, are
primarily due to differing treatments for non-taxable dividends, capital loss
carryforwards and losses deferred due to wash sales. Permanent book and tax
basis differences relating to shareholder distributions will result in
reclassifications to paid in capital and may affect the per share allocation
between net investment income and realized and unrealized gain (loss).
Undistributed net investment income and accumulated undistributed net realized
gain (loss) on investments may include temporary book and tax differences which
will reverse in a subsequent period. Any taxable income or gain remaining at
fiscal year end is distributed in the following year.
<Table>
<Caption>
INCREASE (DECREASE)
-------------------------------------------------
UNDISTRIBUTED
(DISTRIBUTIONS IN ACCUMULATED NET
PAID IN EXCESS OF) NET REALIZED GAIN (LOSS)
CAPITAL INVESTMENT INCOME ON INVESTMENTS
-------- ----------------- --------------------
All Cap Fund....................... $ -- $ (840) $ 840
Investment Grade Bond Fund......... -- 5,587 (5,587)
Real Estate Fund................... -- (945,536) 945,536
Alger Growth Fund.................. (9,331) 9,331 --
Alger Income & Growth Fund......... (171) (23) 194
Alger Small Capitalization Fund.... -- 35,885 (35,885)
Davis Financial Fund............... -- (383) 383
Davis Venture Value Fund........... -- (5,686) 5,686
Neuberger Berman Mid Cap Growth
Fund.............................. (43,068) 43,069 (1)
Neuberger Berman Mid Cap Value
Fund.............................. -- (7) 7
Value Equity Fund.................. (60) 60 --
Value Mid Cap Fund................. -- 263 (263)
Value Small Cap Fund............... -- (81,418) 81,418
Blue Chip Mid Cap Fund............. (51,808) 54,335 (2,527)
Investors Foundation Fund.......... (9) 9 --
Select Equity Fund................. (2,111) 2,024 87
</Table>
NOTE C -- INVESTMENT ADVISORY AND OTHER RELATED PARTY AGREEMENTS
INVESTMENT ADVISORY AGREEMENT
Sun Capital Advisers, Inc. (the "Adviser") is the investment adviser to the
Investment Grade Bond Fund, Money Market Fund, and Real Estate Fund under an
investment advisory agreement with the Trust dated November 4, 1998. The Adviser
is the investment adviser to the Blue Chip Mid Cap Fund, Investors Foundation
Fund, and Select Equity Fund under separate investment advisory agreements with
the Trust dated August 27, 1999. The Adviser is the investment adviser to the
Davis Financial Fund, Davis Venture Value Fund, Value Equity Fund, Value Managed
Fund, Value Mid Cap Fund, and Value Small Cap Fund under separate investment
advisory agreements with the Trust dated May 1, 2000. The Adviser is the
investment adviser to the Neuberger Berman Mid Cap Growth Fund and Neuberger
Berman Mid Cap Value Fund under separate investment advisory agreements with the
Trust dated May 1, 2001. The Adviser is the investment adviser to the Alger
Growth Fund, Alger Income & Growth Fund, and Alger Small Capitalization Fund
under separate investment advisory agreements with the Trust dated April 1,
2002.
104
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
The Adviser is the investment adviser to the All Cap Fund under separate
investment advisory agreement with the Trust dated May 1, 2002. The Adviser is a
wholly-owned subsidiary of Sun Life Assurance Company of Canada (U.S.), ("Sun
Life (U.S.)") which is an indirect wholly owned subsidiary of Sun Life Assurance
Company of Canada ("Sun Life of Canada"). Sun Life Financial Services of Canada
Inc. ("Sun Life Financial"), a holding company, is the ultimate parent of Sun
Life of Canada and the Adviser. The Adviser has retained Wellington Management
Company LLP at its own cost, as subadviser for Blue Chip Mid Cap Fund, Investors
Foundation Fund, and Select Equity Fund, Davis Selected Advisers L.P., as
subadviser for the Davis Financial Fund, and the Davis Venture Value Fund, OpCap
Advisors, as subadviser for the Value Equity Fund, Value Managed Fund, Value Mid
Cap Fund, and Value Small Cap Fund, Neuberger Berman Management Inc., as
subadviser for the Neuberger Berman Mid Cap Growth Fund, and Neuberger Berman
Mid Cap Value Fund, and Fred Alger Management, Inc., as subadviser for the Alger
Growth Fund, Alger Income & Growth Fund, and Alger Small Capitalization Fund.
As compensation for all services rendered, facilities provided and expenses paid
or assumed by the Adviser under the advisory agreement, the Trust pays
compensation monthly to the Adviser at the following annual rates based on the
average daily net assets of each Fund taken separately:
<Table>
<Caption>
DAILY NET ASSETS ADVISORY FEE
All Cap Fund All 0.70%
Investment Grade Bond Fund All 0.60%
Money Market Fund All 0.50%
Real Estate Fund All 0.95%
Alger Growth Fund All 0.75%
Alger Income & Growth Fund All 0.625%
Alger Small Capitalization Fund All 0.85%
Davis Financial Fund $0-$500 million 0.75%
Davis Venture Value Fund over $500 million 0.70%
Neuberger Berman Mid Cap Growth Fund $0-$750 million 0.95%
Neuberger Berman Mid Cap Value Fund over $750 million 0.90%
Value Equity Fund $0-$400 million 0.80%
Value Managed Fund $400 million-$800 million 0.75%
Value Mid Cap Fund over $800 million 0.70%
Value Small Cap Fund
Blue Chip Mid Cap Fund $0-$300 million 0.80%
over $300 million 0.75%
Investors Foundation Fund $0-$300 million 0.75%
Select Equity Fund over $300 million 0.70%
</Table>
105
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
LIMITATIONS
The Adviser has contractually agreed to reduce its advisory fee and to reimburse
each Fund's other expenses to reduce each Fund's total annual operating expenses
to:
<Table>
<Caption>
TOTAL OPERATING EXPENSE
-----------------------
All Cap Fund...................................... 0.90%
Investment Grade Bond Fund........................ 0.75%
Money Market Fund................................. 0.65%
Real Estate Fund.................................. 1.25%
Alger Growth Fund................................. 0.90%
Alger Income & Growth Fund........................ 0.80%
Alger Small Capitalization Fund................... 1.00%
Davis Financial Fund.............................. 0.90%
Davis Venture Value Fund.......................... 0.90%
Neuberger Berman Mid Cap Growth Fund.............. 1.10%
Neuberger Berman Mid Cap Value Fund............... 1.10%
Value Equity Fund................................. 0.90%
Value Managed Fund................................ 0.90%
Value Mid Cap Fund................................ 1.00%
Value Small Cap Fund.............................. 1.00%
Blue Chip Mid Cap Fund............................ 1.00%
Investors Foundation Fund......................... 0.90%
Select Equity Fund................................ 0.90%
</Table>
The Adviser has contractually agreed to maintain the above limits until
April 30, 2004. For the year ended December 31, 2003, the Adviser did not impose
all or part of its advisory fee and reimbursed certain operating expenses in the
following amounts:
<Table>
<Caption>
EXPENSES
FEES WAIVED REIMBURSED
----------- ----------
All Cap Fund............................ $ 18,832 $104,156
Investment Grade Bond Fund.............. 89,405 --
Money Market Fund....................... -- --
Real Estate Fund........................ 5,843 --
Alger Growth Fund....................... 67,988 66,509
Alger Income & Growth Fund.............. 43,660 85,460
Alger Small Capitalization Fund......... 39,832 97,929
Davis Financial Fund.................... 58,043 54,904
Davis Venture Value Fund................ 106,512 --
Neuberger Berman Mid Cap Growth Fund.... 48,705 80,090
Neuberger Berman Mid Cap Value Fund..... 74,063 51,112
Value Equity Fund....................... 57,525 66,594
Value Managed Fund...................... 37,842 81,322
Value Mid Cap Fund...................... 109,092 --
Value Small Cap Fund.................... 68,336 --
Blue Chip Mid Cap Fund.................. 89,619 --
Investors Foundation Fund............... 48,527 83,510
Select Equity Fund...................... 69,552 53,859
</Table>
106
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
To the extent that a Fund's total expense ratio falls below the expense limit
stated above in future years, the Adviser reserves the right to be reimbursed
for advisory fees waived and fund expenses paid by it during the prior two
fiscal years.
TRUSTEES' COMPENSATION
Trustees' fees are paid by the Trust to each independent trustee of the Trust.
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with the Adviser, Sun Life (U.S.) or Sun Life of Canada, all of whom
receive remuneration for their services to the Trust from the Adviser, Sun Life
(U.S.) or Sun Life of Canada. Certain officers and Trustees of the Trust are
officers and directors of the Adviser, Sun Life (U.S.) or Sun Life of Canada.
NOTE D -- INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities for the year ended December 31, 2003 were as follows:
<Table>
<Caption>
NON- NON-
GOVERNMENT GOVERNMENT GOVERNMENT GOVERNMENT
PURCHASES PURCHASES SALES SALES
----------- ----------- ----------- -----------
All Cap Fund.................. $ 5,887,139 $ -- $ 3,998,332 $ --
Investment Grade Bond Fund.... 26,373,406 27,792,282 21,387,475 17,122,970
Real Estate Fund.............. 42,142,789 -- 22,627,932 --
Alger Growth Fund............. 15,955,450 -- 13,900,806 --
Alger Income & Growth Fund.... 12,954,964 11,610 11,653,790 31,473
Alger Small Capitalization
Fund......................... 8,720,042 -- 7,514,153 19,993
Davis Financial Fund.......... 1,276,406 -- 2,634,448 --
Davis Venture Value Fund...... 6,545,054 -- 2,541,756 --
Neuberger Berman Mid Cap
Growth Fund.................. 8,413,028 -- 7,091,556 --
Neuberger Berman Mid Cap Value
Fund......................... 5,852,982 -- 5,520,701 --
Value Equity Fund............. 6,362,980 128,003 6,272,854 106,057
Value Managed Fund............ 4,572,182 127,840 4,067,263 26,977
Value Mid Cap Fund............ 14,679,872 -- 15,372,423 --
Value Small Cap Fund.......... 84,741,381 -- 79,134,566 --
Blue Chip Mid Cap Fund........ 48,617,883 -- 46,678,690 --
Investors Foundation Fund..... 5,214,860 117,443 5,351,483 16,564
Select Equity Fund............ 7,998,320 14,791 7,851,357 234,007
</Table>
Purchases and sales, including maturities, of short-term securities by the Money
Market Fund for the year ended December 31, 2003 were $990,050,739 and
$1,027,919,253, respectively.
107
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
The identified cost for federal income tax purposes of investments owned by each
Fund and their respective gross unrealized appreciation and depreciation at
December 31, 2003 were as follows:
<Table>
<Caption>
GROSS UNREALIZED NET UNREALIZED
---------------------------- APPRECIATION/
IDENTIFIED COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------------- ------------ -------------- --------------
All Cap Fund.................. $ 4,427,141 $ 582,581 $ (9,777) $ 572,804
Investment Grade Bond Fund.... 66,237,900 2,132,717 (559,788) 1,572,929
Money Market Fund............. 112,645,937 -- -- --
Real Estate Fund.............. 65,387,967 13,025,538 (156,739) 12,868,799
Alger Growth Fund............. 10,304,396 1,809,687 (52,971) 1,756,716
Alger Income & Growth Fund.... 7,665,404 1,317,973 (16,215) 1,301,758
Alger Small Capitalization
Fund......................... 5,935,158 912,284 (48,057) 864,227
Davis Financial Fund.......... 7,939,027 1,555,056 (514,945) 1,040,111
Davis Venture Value Fund...... 39,433,868 6,230,552 (1,502,583) 4,727,969
Neuberger Berman Mid Cap
Growth Fund.................. 5,742,101 1,165,943 (36,256) 1,129,687
Neuberger Berman Mid Cap Value
Fund......................... 7,770,163 1,703,196 (43,961) 1,659,235
Value Equity Fund............. 7,232,390 1,243,257 (77,963) 1,165,295
Value Managed Fund............ 4,886,545 727,599 (73,956) 653,643
Value Mid Cap Fund............ 16,474,003 3,574,131 (44,660) 3,529,471
Value Small Cap Fund.......... 61,488,563 11,150,973 (589,958) 10,561,015
Blue Chip Mid Cap Fund........ 61,497,631 15,667,184 (1,267,324) 14,399,860
Investors Foundation Fund..... 6,747,554 1,040,987 (127,959) 913,028
Select Equity Fund............ 9,606,735 1,336,632 (268,088) 1,068,544
</Table>
NOTE E -- LINE OF CREDIT
The Trust has entered into a $15 million committed unsecured revolving line of
credit (the "Agreement") primarily for temporary or emergency purposes. The
Money Market Fund is not a party to this agreement. Interest is charged to each
Fund based on its borrowings at an amount above the overnight federal funds
rate. In addition, a fee on the daily unused portion of the $15 million
committed line is allocated among the participating funds at the end of each
quarter. During the year ended December 31, 2003, the following Funds had
borrowings under this Agreement as follows:
<Table>
<Caption>
AVERAGE DAILY WEIGHTED AVERAGE TOTAL INTEREST
MAXIMUM LOAN AMOUNT OF LOAN INTEREST RATE PAID
------------ -------------- ---------------- --------------
Real Estate Fund.............. $1,394,000 $1,394,000 1.833% $213
Alger Growth Fund............. 1,255,000 562,167 1.755 329
Alger Income & Growth Fund.... 683,000 598,600 1.761 146
Alger Small Capitalization
Fund......................... 320,000 139,667 1.761 82
Davis Financial Fund.......... 255,000 255,000 1.833 39
Neuberger Berman Mid Cap Value
Fund......................... 454,000 320,111 1.607 129
Value Managed Fund............ 16,000 16,000 1.500 3
Value Small Cap Fund.......... 5,396,000 2,490,250 1.581 437
Blue Chip Mid Cap Fund........ 653,000 276,153 1.520 152
Select Equity Fund............ 329,000 144,625 1.604 52
</Table>
108
<Page>
INDEPENDENT AUDITORS' REPORT
- ----------------------------------------------------------------------
To the Trustees and Shareholders of Sun Capital Advisers Trust:
We have audited the accompanying statement of assets and liabilities of Sun
Capital All Cap Fund, Sun Capital Investment Grade Bond Fund, Sun Capital Money
Market Fund, Sun Capital Real Estate Fund, SC Alger Growth Fund, SC Alger
Income & Growth Fund, SC Alger Small Capitalization Fund, SC Davis Financial
Fund, SC Davis Venture Value Fund, SC Neuberger Berman Mid Cap Growth Fund, SC
Neuberger Berman Mid Cap Value Fund, SC Value Equity Fund, SC Value Managed
Fund, SC Value Mid Cap Fund, SC Value Small Cap Fund, SC Blue Chip Mid Cap Fund,
SC Investors Foundations Fund, SC Select Equity (each a portfolio of Sun Capital
Advisers Trust, the "Trust"), including the schedules of investments, as of
December 31, 2003, and the related statements of operations for the year then
ended, the statements of changes in net assets and the financial highlights for
each of the periods presented. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2003, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Sun
Capital All Cap Fund, Sun Capital Investment Grade Bond Fund, Sun Capital Money
Market Fund, Sun Capital Real Estate Fund, SC Alger Growth Fund, SC Alger
Income & Growth Fund, SC Alger Small Capitalization Fund, SC Davis Financial
Fund, SC Davis Venture Value Fund, SC Neuberger Berman Mid Cap Growth Fund, SC
Neuberger Berman Mid Cap Value Fund, SC Value Equity Fund, SC Value Managed
Fund, SC Value Mid Cap Fund, SC Value Small Cap Fund, SC Blue Chip Mid Cap Fund,
SC Investors Foundations Fund, SC Select Equity as of December 31, 2003, the
results of their operations for the year then ended, the changes in its net
assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 20, 2004
109
<Page>
OTHER INFORMATION (UNAUDITED)
- ----------------------------------------------------------------------
FEDERAL TAX INFORMATION
For the year ended December 31, 2003, the following Funds paid distributions
which were designated as 20% long-term capital gains dividends:
<Table>
<Caption>
AMOUNT
--------
All Cap Fund...................................... $ 15,947
Value Mid Cap Fund................................ 343,225
</Table>
PROXY VOTING POLICIES
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available (i) without
charge, upon request, by calling 1-800-432-1102 x1687 and (ii) on the U.S.
Securities and Exchange Commission's website at http://www.sec.gov.
110
<Page>
THE FUNDS' MANAGEMENT SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
Each fund's business is managed by the trustees. Several of the funds' trustees
and officers are also directors and officers of Sun Life Assurance Company of
Canada or the adviser. The table below provides more information about the
funds' trustees and officers.
<Table>
<Caption>
OTHER
NUMBER OF DIRECTORSHIPS
PRINCIPAL FUNDS WITHIN HELD OUTSIDE OF
OCCUPATION FUND COMPLEX THE FUND
POSITION WITH LENGTH OF TIME PAST OVERSEEN BY COMPLEX
NAME, ADDRESS AND AGE THE TRUST SERVED 5 YEARS TRUSTEE BY TRUSTEE
- ------------------------------ -------------------- -------------------- ---------------- ------------ --------------------
Graham E. Jones Trustee Since October 1998 Senior Vice 18 Trustee, Weiss,
330 Garfield Street President, BGK Peck & Greer Funds
Santa Fe, NM 87501 Properties, Inc. (8 mutual funds)
Year of birth: 1933 (real estate), since 1985, Trustee,
since 1994. Scudder Funds (New
York) Board (65
mutual funds) since
1993
Anthony C. Paddock Trustee Since October 1998 Managing 18
350 Fifth Avenue, Suite 5513 Director, Empire
New York, NY 10118 Valuation
Year of birth: 1935 Consultants, Inc.,
since 1996.
President, AC
Paddock &
Associates
(consulting),
since 1996.
William N. Searcy, Jr. Trustee Since October 1998 Private investor 18 Trustee, Scudder
4411 133rd St. Ct. NW since 2003. Funds (New York)
Gig Harbor, WA 98332 Pension and Board (65 mutual
Year of birth: 1946 savings trust funds) since 1993
officer, Sprint
Corp.,
1989-2003.
</Table>
111
<Page>
THE FUNDS' MANAGEMENT (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
OTHER
NUMBER OF DIRECTORSHIPS
PRINCIPAL FUNDS WITHIN HELD OUTSIDE OF
OCCUPATION FUND COMPLEX THE FUND
POSITION WITH LENGTH OF TIME PAST OVERSEEN BY COMPLEX
NAME, ADDRESS AND AGE THE TRUST SERVED 5 YEARS TRUSTEE BY TRUSTEE
- ------------------------------ -------------------- -------------------- ---------------- ------------ --------------------
C. James Prieur* Chairman, Executive Trustee since Chairman, Sun 18 Chairman, Sun
150 King Street West 6th Floor Vice President and October 1998 Capital Capital Advisers,
Toronto, Ontario M5H 1J9 Trustee Advisers, Inc. Inc, since 1992,
Year of birth: 1951 since 1998, and Chairman, McLean
previously Budden Limited since
director 2000, Chairman, Sun
(1992-1998). Life of Canada U.K.
President and Holdings PLC since
Chief Operating 2002, Chairman, Sun
Officer, Sun Life Assurance
Life Financial, Company of Canada
since 1999 and (UK) Limited since
previously 2002, Director, Sun
senior vice Life Assurance
president and Company of Canada
general manager (U.S.) since 1998,
(1997-1999). Director, Sun Life
Assurance Company of
Canada -- U.S.
Operations
Holdings, Inc. since
1997, Director, Sun
Life of Canada
(U.S.) Financial
Services
Holdings, Inc. since
2000, Director, Sun
Life of Canada
(U.S.)
Holdings, Inc. since
1997, Director, Sun
Life (India) AMC
Investments Inc.
since 1999,
Director, Sun Life
(India) Distribution
Investments Inc.
since 1999,
Director, Sun Life
(India) Securities
Investments Inc.
since 1999,
Director, Sun Life
Information Services
Ireland Limited
since 1999,
Chairman, Sun Life
Insurance and
Annuity Company of
New York since 2003,
Director,
Massachusetts
Financial Services
Company since 1999,
Chairman,
Massachusetts
Financial Services
Compass Funds since
2001, Director, Sun
Life Financial
(Japan), Inc. Since
2000, Director, Sun
Life Financial
Services of Canada
since 2000,
Director, Sun Life
Assurance Company of
Canada since 2000,
Director, Sun Life
Financial (Bermuda)
Holdings, Inc. since
2002, Chairman,
Independent Life &
Annuity Company
since 2003,
Director, Sun Life
Financial (U.S.)
Investments LLC
since 2001,
Director, Sun Life
Financial (U.S.)
Holdings Inc. since
2001, Director, Sun
Life Financial
(India) Insurance
Investments Inc.
since 2000,
Director, Sun Life
Inversiones S.A.
since 2000,
Director, Sun Life
Financial
Investments
(Bermuda) Ltd. since
2003, Director, Sun
Life
Financial, Inc.
since 2002,
Director, Newton
Wellesley Hospital
Since 1999,
Director, Canadian
Opera Company Since
1999, Director,
LIMRA International
Since 2001.
</Table>
112
<Page>
THE FUNDS' MANAGEMENT (CONTINUED) SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
<Table>
<Caption>
OTHER
NUMBER OF DIRECTORSHIPS
PRINCIPAL FUNDS WITHIN HELD OUTSIDE OF
OCCUPATION FUND COMPLEX THE FUND
POSITION WITH LENGTH OF TIME PAST OVERSEEN BY COMPLEX
NAME, ADDRESS AND AGE THE TRUST SERVED 5 YEARS TRUSTEE BY TRUSTEE
- ------------------------------ -------------------- -------------------- ---------------- ------------ --------------------
James M.A. Anderson* President, Chief Trustee since Chief Investment 18 Director, Sun
One Sun Life Executive Park Executive Officer October 1998 Officer, Sun Capital
Wellesley Hills, MA 02481 and Trustee Capital Advisers, Inc. since
Year of birth: 1949 Advisers, Inc., 1998, Director,
since 2000, and Director, Sun
previously Benefit Services
president and Company, Inc. since
director 1998, Director,
(1998-2000). Clarendon Insurance
Vice president, Agency Inc. since
Sun Life 1998, Director, Sun
Financial, since Life of Canada
1995. (U.S.)
Holdings, Inc. since
1997, Director, Sun
Life Assurance
Company of Canada
(U.S.) Operations
Holdings, Inc. since
1997, Director, Sun
Life of Canada
(U.S.) Holdings
General
Partner, Inc. since
1998, Director, Sun
Canada Financial Co.
since 1997,
Director, Sunesco
Insurance
Agency, Inc. since
1999, Director, Sun
Life Financial
(Japan), Inc. since
2000, Director, Sun
Life Financial
(U.S.)
Finance, Inc. since
2001, Director, Sun
Life Financial
(U.S.)
Holdings, Inc.
since 2001,
Director, Sun Life
Financial (Bermuda)
Holdings, Inc. since
2002, Director,
Presidio Apartments
LLC since 2003,
Director, Sun Life
of Canada (U.S.) SPE
97-I, Inc. since
2003.
James F. Alban* Chief Financial Since October 1998 Senior vice N/A N/A
One Sun Life Executive Park Officer and president and
Wellesley Hills, MA 02481 Treasurer Chief Financial
Year of birth: 1962 Officer, Sun
Capital
Advisers, Inc.,
since 2000.
Assistant vice
president, Sun
Life Financial,
since 1998.
Maura A. Murphy, Esq.* Secretary Since October 1998 Senior vice N/A N/A
One Sun Life Executive Park president and
Wellesley Hills, MA 02481 chief counsel,
Year of birth: 1960 Sun Capital
Advisers, Inc.,
since 2000 and
secretary since
1998. Senior
counsel at Sun
Life Financial
since 1998.
</Table>
* An interested person of the funds for purposes of Section 2(a)(19) of the
1940 Act.
The Statement of Additional Information (SAI) includes additional information
about the Funds' trustees and is available, without charge, upon request by
calling 1-800-432-1102 x1780.
113
<Page>
SUN CAPITAL ADVISERS TRUST
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS
GRAHAM E. JONES, TRUSTEE
ANTHONY C. PADDOCK, TRUSTEE
WILLIAM N. SEARCY, JR., TRUSTEE
C. JAMES PRIEUR, CHAIRMAN, EXECUTIVE V.P. AND TRUSTEE
JAMES M.A. ANDERSON, PRESIDENT, CEO AND TRUSTEE
JAMES F. ALBAN, TREASURER AND CFO
SUSAN J. WALSH, ASSISTANT TREASURER
JOHN W. DONOVAN, VICE PRESIDENT
RICHARD GORDON, VICE PRESIDENT
EVAN S. MOSKOVIT, VICE PRESIDENT
THOMAS V. PEDULLA, VICE PRESIDENT
LEO D. SARACENO, VICE PRESIDENT
MICHAEL A. SAVAGE, VICE PRESIDENT
MAURA A. MURPHY, SECRETARY
SAMANTHA M. BURGESS, ASSISTANT SECRETARY
INVESTMENT ADVISER
SUN CAPITAL ADVISERS, INC.
ONE SUN LIFE EXECUTIVE PARK
WELLESLEY HILLS, MA 02481
INDEPENDENT AUDITORS
DELOITTE & TOUCHE LLP
200 BERKELEY STREET
BOSTON, MA 02116
ADMINISTRATOR, CUSTODIAN, TRANSFER AGENT
STATE STREET BANK & TRUST COMPANY
225 FRANKLIN STREET
BOSTON, MA 02110
LEGAL COUNSEL
HALE AND DORR LLP
60 STATE STREET
BOSTON, MA 02109
This report must be preceded or accompanied by a prospectus for Sun Capital
Advisers Trust which includes more information about charges and expenses.
Please read the prospectus carefully before you invest or send money.
<Page>
Item 2. Code of Ethics.
Registrant has adopted a code of ethics that applies to registrant's principal
executive officer and principal financial officer. This code of ethics is
available without charge, upon request, by calling 1-800-432-1102 x1687. A copy
of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive
amendments were approved or waivers granted to this code of ethics during the
period covered by this report.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that the registrant has at
least one financial expert, Graham E. Jones, serving on its Committee of
Independent Trustees, which also serves as the registrant's audit committee
pursuant to an Audit Charter. Mr. Jones is considered "independent" for purposes
of Item 3(a)(2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Aggregate fees billed for professional services rendered to the registrant for
the last two fiscal years by the registrant's principal accountant were as
follows:
(a) Audit Fees: Includes amounts related to the audit of the registrant's annual
financial statements and services normally provided by the accountant in
connection with statutory and regulatory filings.
<Table>
<Caption>
FY 2002 FY 2003
-------- --------
$ 245,270 $ 237,000
</Table>
(b) Audit-related Fees:
<Table>
<Caption>
FY 2002 FY 2003
------- -------
None None
</Table>
(c) Tax Fees: Includes amounts related to tax compliance, tax planning and tax
advice. FY 2002 fees include fees billed for four of the registrant's mutual
funds that were closed during 2002.
<Table>
<Caption>
FY 2002 FY 2003
------- -------
$ 81,141 $ 64,105
</Table>
(d) All Other Fees:
<Page>
<Table>
<Caption>
FY 2002 FY 2003
------- -------
None None
</Table>
(e)(1) The registrant's Committee of Independent Trustees (the "Committee") has
adopted a policy whereby audit and non-audit services performed by the
registrant's principal accountant for the registrant, its investment adviser and
any entity controlling, controlled by or under common control with the
investment adviser that provides ongoing services to the registrant require
pre-approval.
The policy includes a list of specified services that are deemed to be
pre-approved, subject to stated dollar limits, by the Committee. The Committee
must provide specific advance approval for any service that is not included in
the list of pre-approved services, or for any pre-approved service that exceeds
the dollar limit set forth in the policy. In determining whether to approve
services, the Committee considers whether the services are consistent with
maintaining the principal accountant's independence.
(e)(2) No services included in this Item 4 (b) through (d) were approved
pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable
(g) During the registrant's fiscal years ended December 31, 2003 and December
31, 2002, the registrant's principal accountant did not render any non-audit
services to the registrant, the registrant's investment adviser, or to any
entity controlling, controlled by, or under common control with the adviser that
provides ongoing services to the registrant.
(h) Not applicable
Item 5. Audit Committee of Listed Registrants.
Not applicable
Item 6. (Reserved)
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable
Item 8. (Reserved)
Item 9. Controls and Procedures.
(a) Based upon their evaluation of the registrant's disclosure controls and
procedures as conducted within 90 days of the filing date of this Form
N-CSR, the registrant's principal financial
<Page>
officer and principal executive officer have concluded that those disclosure
controls and procedures provide reasonable assurance that the material
information required to be disclosed by the registrant on this report is
recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms.
(b) There have been no significant changes in the registrant's internal
controls or in other factors that could significantly affect these controls
subsequent to the date of their evaluation.
Item 10. Exhibits.
(a)(1) The code of ethics as required by Form N-CSR Item 2 is filed
herewith.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Investment Company Act of 1940, as amended, are filed herewith.
(b) The certification required by Section 906 of the Sarbanes-Oxley
Act of 2002 is filed herewith.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SUN CAPITAL ADVISERS TRUST
-------------------------------------------------------------------
By (Signature and Title)* /s/ JAMES M.A. ANDERSON
----------------------------------------------------
James M.A. Anderson, President
Date: March 4, 2004
---------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ JAMES M.A. ANDERSON
----------------------------------------------------
James M.A. Anderson, President
(Chief Executive Officer)
Date: March 4, 2004
------------------------
By (Signature and Title)* /s/ JAMES F. ALBAN
----------------------------------------------------
James F. Alban, Treasurer
(Chief Financial Officer)
Date: March 4, 2004
------------------------
* Print name and title of each signing officer under his or her signature.