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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 811-5857
---------------------------------------------
CMG Fund Trust
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts 02111
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(Address of principal executive offices) (Zip code)
Vincent Pietropaolo, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-617-772-3698
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Date of fiscal year end: July 31, 2004
--------------------------
Date of reporting period: January 31, 2004
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Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
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Item 1. Report to Stockholders
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[COLUMBIA MANAGEMENT GROUP(R) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP VALUE FUND
CMG LARGE CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2004
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
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CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The CMG Enhanced S&P 500(R) Index Fund returned 14.33% for the six-month period
ended January 31, 2004. That was less than the return of the S&P 500 Index,
which was 15.23% for the same period. The fund's underperformance can be
attributed to two factors: 1) as a new fund, we were challenged to put a strong
inflow of assets to work in a rapidly rising market and 2) we did not own
FleetBoston Financial, one of the strongest performing stocks in the S&P 500
Index during the period. To avoid any possible conflict of interest, we are not
permitted to own the stock since it is our parent company.
In managing the fund, we maintained a portfolio that is similar to the S&P 500
Index in terms of industry weights and market capitalization. However, we sought
what we believe are the most attractive individual companies in each market
sector. As of January 31, 2004, the portfolio had exposure to 206 companies
compared with the 500 companies that make up the S&P 500 Index. In keeping with
the fund's investment policy to remain broadly diversified, we generally limit
our exposure to any one stock to one-half of one percent plus or minus the
company's weight in the S&P 500 Index. For example, the fund's position in
Microsoft would normally not be greater than 3.50% or less than 2.50% if
Microsoft's weight in the S&P 500 Index was 3.00%(1).
The stock market made impressive gains over the six months as tax cuts, low
interest rates, continued corporate cost cutting and a weak dollar boosted
corporate earnings. High-quality large-cap stocks, which are the focus of this
fund, posted their best performance since 1999. However they lagged
lower-quality smaller-cap stocks, which were the best performers as investors
grew more comfortable with risk.
When purchasing stocks, we focused on the financial, economic and operating
factors that affect companies. We favored companies that were attractively
valued and had several years of demonstrated earnings growth. One example is
athletic shoe maker NIKE (0.4% of net assets), which was a strong contributor to
the fund's performance. Our investments in raw materials, energy and industrial
stocks also aided the fund's total return. These sectors benefited from
increased global demand for construction cranes, agricultural equipment and
commodities such as nickel and aluminum.
We have positioned the portfolio to take advantage of an improving economy. In
this environment, we believe the high-quality stocks in the portfolio have the
potential to do well because they have good balance sheets, competitive product
offerings, strong management and the potential to sustain earnings growth over
time.
We also think that the robust performance of lower-quality stocks may have run
its course. During 2003, investment returns on lower-quality companies were
nearly three times higher than those of higher-quality companies. However, that
difference in performance began to narrow considerably in the fourth quarter of
2003. We read this as an indication that lower-quality stocks may have reached
fair valuation and that investors may be ready to shift their interest to more
established companies with solid business credentials and earnings growth
prospects.
1
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The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Microsoft 3.3
Exxon Mobil 3.0
Wal-Mart Stores 2.7
General Electric 2.7
Intel 2.4
Pfizer 2.4
Citigroup 2.3
Johnson & Johnson 2.0
Coca-Cola 1.6
Merck & Co. 1.5
</Table>
We appreciate your continued confidence in the CMG Enhanced S&P 500(R) Index
Fund.
The Columbia Investment Team
January 31, 2004
The primary risks involved with investing in the fund include equity risk,
market risk and tracking error risk. Unlike the S&P 500 Index, the fund incurs
administrative expenses and transaction costs in trading stocks. The composition
of the S&P 500 Index and the stocks held by the fund will diverge.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Microsoft accounted for 2.86% of the S&P 500 Index on January 31, 2004, the
final day of the reporting period for the CMG Enhanced S&P 500(R) Index
Fund.
2
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[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG ENHANCED S&P 500(R) INDEX FUND S&P 500 INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,415
6/30/2003 $ 10,540 $ 10,548
7/31/2003 $ 10,730 $ 10,734
8/31/2003 $ 10,930 $ 10,943
9/30/2003 $ 10,819 $ 10,827
10/31/2003 $ 11,399 $ 11,440
11/30/2003 $ 11,479 $ 11,541
12/31/2003 $ 12,085 $ 12,146
1/31/2004 $ 12,267 $ 12,369
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 14.33 22.67
S&P 500 Index 15.23 23.69
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 14.67 20.86
S&P 500 Index 15.14 21.46
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. The graph and table do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from May 5, 2003.
The S&P 500 Index is an unmanaged index of 500 widely held, large capitalization
US stocks. Unlike the fund, indices are not investments, do not incur fees or
expenses and are not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
3
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CMG LARGE CAP VALUE FUND
A PORTFOLIO OF CMG FUND TRUST
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
As the stock market rallied, the CMG Large Cap Value Fund returned 10.45% from
its inception on September 10, 2003 through January 31, 2004. That was less than
the Russell 1000 Value Index, which returned 15.13% during the same period. The
fund trailed its benchmark, because of disappointing performance of financial
services, technology and consumer staples companies, relative to its benchmark.
The fund was launched in September 2003 in the midst of a rising stock market
and an improving economy. Some of the fund's best performers were industrial and
energy companies that benefited from the economic rebound that took shape during
the period. Diversified manufacturer, Textron Inc., performed well during the
period as did oil company, ConocoPhillips (1.6% and 2.4% of net assets,
respectively). Oil and gas prices rose above the market's expectations, as the
production of natural gas in the US declined and Iraqi oil output remained low.
Rapidly growing demand for oil in China also helped drive the price of crude oil
higher and boost returns in the energy sector.
Financial and telecommunications stocks posted strong returns during the period,
but the fund's emphasis on companies with track records of solid earnings growth
was a drag on performance as more speculative companies led the market rally.
This was the case with Citigroup (4.7% of net assets), the fund's largest
holding. Citigroup's stock price rose, but its return fell short of the returns
of more speculative companies in the financial services sector for the period.
One notable exception in the information technology sector was Finnish cell
phone manufacturer, Nokia (1.5% of net assets). The share price of this
worldwide market leader had fallen upon speculation that the company's market
share had declined. However, its stock rebounded strongly after the company
reported strong sales growth and the overall cell phone market exceeded sales
expectations.
The fund's technology positions did well during the period. However, they lagged
the index's return because the fund's exposure to the more speculative
companies, which led the market, was lower than the index. The fund also lost
ground as a result of its position in electronic components manufacturer,
Celestica. The company's earnings fell short of expectations as management was
unable to improve margins at its European operation. Realizing that improvement
may take much longer than we were led to believe, we sold the stock. In the
consumer staples area, our large position in PepsiCo stock (1.7% of net assets)
hampered the fund's return when it trailed the index during the period.
In an economic environment that shows signs of being able to sustain a
reasonable pace of growth, we believe that value stocks have the potential to
continue to do well. Personal income has risen, capital expenditures have
finally kicked in and some tangible signs of job growth appeared in the final
months of the reporting period. We also have been pleasantly surprised that
inflation has remained low, which has helped keep interest rates at or near
historical lows. In this environment, we have maintained a positive long-term
outlook on the fund, focusing on high-quality stocks with the potential to
prosper under a variety of economic conditions.
4
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The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Citigroup 4.7
Exxon Mobil 3.3
ConocoPhillips 2.4
U.S. Bancorp 2.4
BP PLC 2.3
Wells Fargo & Co. 2.3
Halliburton 2.3
American International Group 2.0
Aetna 2.0
Waste Management 1.9
</Table>
Thank you for investing in the CMG Large Cap Value Fund.
The Columbia Investment Team
January 31, 2004
An investment in the fund offers the potential for long-term growth, but also
involves certain risks, including stock market fluctuations due to economic and
business developments.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
Value stocks are securities of companies that may have experienced adverse
business or industry developments or may be subject to special risks that have
caused the stocks to be out of favor. If the Advisor's assessment of a company's
prospects is wrong, the price of its stock may not approach the value the
Advisor has placed on it.
5
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[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG LARGE CAP VALUE FUND RUSSELL 1000 VALUE INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,820 $ 9,908
10/31/2003 $ 10,190 $ 10,514
11/30/2003 $ 10,230 $ 10,657
12/31/2003 $ 10,904 $ 11,314
1/31/2004 $ 11,045 $ 11,513
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION LIFE
CMG Large Cap Value Fund 09/10/03 10.45
Russell 1000 Value Index 15.13
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Large Cap Value Fund 09/10/03 9.04
Russell 1000 Value Index 13.14
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. The graph and table do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from September 10, 2003.
The Russell 1000 Value Index measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth values.
Unlike the fund, indices are not investments, do not incur fees or expenses and
are not professionally managed. It is not possible to invest directly in an
index. Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
6
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CMG LARGE CAP GROWTH FUND
A Portfolio of Cmg Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The CMG Large Cap Growth Fund returned 8.17% from inception on September 10,
2003 through January 31, 2004. The fund trailed the Russell 1000 Growth Index,
which returned 9.24% during the same period. The fund's focus on sectors that
would benefit from an economic recovery aided performance. However,
disappointing returns from specific retail, semiconductor and health care stocks
hampered the fund's returns relative to its benchmark.
The fund began operations as a strengthening economy and higher-than-expected
corporate earnings growth were driving stock prices higher. In this environment,
we focused on large companies with strong competitive positions, high and
sustainable profits, good balance sheets and above-average sales growth. These
types of stocks posted strong gains, but trailed small-cap stocks and stocks of
companies with less dependable earnings growth.
Technology was the fund's largest sector position, and our holdings posted
robust gains. We focused on a number of themes, including the proliferation of
broadband, the increasing popularity of notebook computers, the spread of WiFi
(or the wireless Internet), advances in computer graphics, increased spending on
data networking and growing cell phone handset sales. Within technology, Cisco
Systems, a leader in data networking, and Intel, a leading semiconductor
manufacturer, were top performers (3.8% and 4.2% of net assets, respectively).
QUALCOMM, which makes semiconductors for cell phones, and Yahoo! also did quite
well (1.1% and 0.5% of net assets, respectively). However, our technology gains
were reduced by weak performers QLogic (0.5% of net assets), Seagate Technology
and SanDisk, companies that supply parts, peripherals and other components to
technology systems companies. Seagate and QLogic fell short of earnings
expectations. The earnings outlook for SanDisk has been clouded by competitive
issues. We sold SanDisk and Seagate Technology during the period. Our relatively
light exposure to storage stocks in the technology sector also hampered returns,
because the group was a strong performer.
Industrials, which tend to do well in an improving economy, boosted the fund's
return. Standouts included Tyco International, a conglomerate that has benefited
from new management, and General Electric (1.6% and 6.5% of net assets,
respectively). Health care and consumer discretionary stocks further helped
returns, although results were somewhat mixed. In the health care sector, we
favored medical device and generic pharmaceutical stocks. Our biggest gains came
from Boston Scientific, which makes drug-coated stents, and St. Jude Medical,
which makes cardiac rhythm management products (1.7% and 1.9% of net assets,
respectively). However, biotech stocks that declined during the period included
Gilead Sciences and Amgen (1.3% and 2.8% of net assets, respectively), as well
as Biovail, a generic drug company with accounting problems, which we
subsequently sold.
In the consumer discretionary sector, we emphasized retail and media stocks.
Chico's FAS, a woman's clothing chain, and eBay, the online auction service,
were strong performers (0.7% and 1.1% of net assets, respectively). But Kohl's,
a department store chain, tumbled amid concerns over the company's expansion
plans, competition and excess inventories. By the end of the period, we had sold
our stake in Kohl's as well as AutoZone, an auto parts retailer that
7
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lost ground as sales failed to materialize. We held on to our investment in
media companies, including Viacom and Clear Channel Communications, which stand
to benefit from an improving economy, the upcoming presidential election and
summer Olympics (2.4% and 0.9% of net assets, respectively).
Our outlook for large-cap stocks remains reasonably optimistic. Benign inflation
and strong economic earnings growth should be favorable for the stock market.
Tax cuts should continue to support strong consumer spending, while an
accelerated depreciation allowance that ends in 2004 should boost capital
spending. We also think that corporations, flush with cash, are likely to
increase spending on discretionary areas such as advertising, software and
information technology services, which would further enhance the outlook for
stocks.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
General Electric 6.5
Pfizer 5.2
Intel 4.2
Microsoft 4.1
Cisco Systems 3.8
Amgen 2.8
Wal-Mart Stores 2.5
Lowe's 2.4
Viacom, Class B 2.4
Teva Pharmaceutical Industries 2.3
</Table>
Thank you for investing in the CMG Large Cap Growth Fund.
The Columbia Investment Team
January 31, 2004
An investment in the fund offers the potential for long-term growth, but also
involves certain risks, including stock market fluctuations due to economic and
business developments and the possibility of losses due to the sensitivity of
growth stock prices to changes in current or expected earnings.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
8
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[CAHRT]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG LARGE CAP GROWTH FUND RUSSELL 1000 GROWTH INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,690 $ 9,695
10/31/2003 $ 10,230 $ 10,240
11/30/2003 $ 10,380 $ 10,347
12/31/2003 $ 10,627 $ 10,705
1/31/2004 $ 10,817 $ 10,924
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION LIFE
CMG Large Cap Growth Fund 09/10/03 8.17
Russell 1000 Growth Index 9.24
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION LIFE
CMG Large Cap Growth Fund 09/10/03 6.27
Russell 1000 Growth Index 7.05
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. The graph and table do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from September 10, 2003.
The Russell 1000 Growth Index is an unmanaged index that measures performance of
those Russell 1000 companies with higher price-to-book ratios and higher
forecasted growth values. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
9
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CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The CMG Mid Cap Value Fund returned 16.22% for the six months ending January 31,
2004. That was less than the Russell Midcap Value Index, which returned 21.51%
over the same period.
The fund provided a strong absolute return for the period, but our emphasis on
the stocks of stable, less-risky companies restrained performance during a bull
market led by sharp gains in more speculative stocks. While the fund's holdings
performed well, many of the more aggressive stocks in the index performed even
better, especially in the technology sector.
A stock market rally that began in the spring of 2003 broadened during the
six-month reporting period as more tangible evidence of a recovery emerged.
Industrial production rose, retail sales increased and both inflation and
interest rates remained low. By the end of the period, capital spending by
businesses appeared to have picked up, providing a needed boost to the
industrial, energy and telecommunications sectors.
The fund's underperformance compared to the Russell Midcap Value Index stemmed
mainly from poor stock selection in the information technology and healthcare
sectors. The fund's information technology stocks were up nicely during the
period, but the more aggressive, leveraged technology names in the index
returned substantially more.
The largest single disappointment during the period was First Health Group (0.7%
of net assets), which provides a variety of health care services, including cost
management and claims processing. The company announced that earnings would be
lower due to increased competition and severe pricing pressure in one its key
business segments, and its share price fell.
On the positive side, the fund's industrial holdings outperformed that sector of
the Russell Midcap Value Index because of solid stock selection. The fund's best
performer in this sector was Brink's (1.3% of net assets), which was up nearly
45% for the period. Brink's is an industrial conglomerate with a thriving home
security business. The company also appears to have turned its other businesses
around.
Outside the industrial sector, natural gas producer XTO Energy (2.3% of net
assets), rose more than 30%, helped by higher gas prices and strong production
growth. Andrew (1.6% of net assets), a telecom equipment supplier, soared over
50% during the period. Andrew recently completed a large acquisition which
offers the potential to improve its costs and its market position. Moreover, it
appears that spending on the kind of equipment which Andrew provides has
recovered.
Although we are generally optimistic that the US economy will continue to
recover, we are managing the fund with an eye on downside risk. Given the strong
showing by some of the industrial stocks in the portfolio, we may take profits
in this sector. As value managers, we focus our efforts on identifying
well-managed companies with good-to-improving business prospects and the ability
to thrive in a variety of market conditions. We will continue to seek companies
that meet these disciplined investment criteria.
10
<Page>
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Golden West Financial 2.4
Dean Foods 2.4
XTO Energy 2.3
Federated Department Stores 2.2
Navistar International 1.8
Amphenol, Class A 1.6
International Flavors &
Fragrances 1.6
Andrew 1.6
Janus Capital Group 1.6
TJX Companies 1.6
</Table>
We appreciate your continued confidence in the CMG Mid Cap Value Fund.
The Columbia Investment Team
January 31, 2004
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
11
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG MID CAP VALUE FUND RUSSELL MIDCAP VALUE INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,320 $ 10,719
6/30/2003 $ 10,370 $ 10,794
7/31/2003 $ 10,690 $ 11,130
8/31/2003 $ 10,970 $ 11,525
9/30/2003 $ 10,770 $ 11,435
10/31/2003 $ 11,491 $ 12,274
11/30/2003 $ 11,710 $ 12,630
12/31/2003 $ 12,214 $ 13,176
1/31/2004 $ 12,424 $ 13,522
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Mid Cap Value Fund 05/05/03 16.22 24.24
Russell Midcap Value Index 21.51 35.22
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Mid Cap Value Fund 05/05/03 17.78 22.13
Russell Midcap Value Index 22.06 31.75
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that the shares may be
worth more or less than the original cost. All results shown assume reinvestment
of distributions. The graph and table do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from May 5, 2003.
The Russell Midcap Value Index is an unmanaged index that measures performance
of those Russell Midcap companies with lower price-to-book ratios and lower
forecasted growth values. The stocks are also members of the Russell 1000 Value
Index. Unlike the fund, indices are not investments, do not incur fees or
expenses and are not professionally managed. It is not possible to invest
directly in indices. Securities in the fund may not match those in an index .
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
12
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The CMG Mid Cap Growth Fund returned 13.88% for the six-month period ended
January 31, 2004. That was less than the Russell Midcap Growth Index, which
returned 19.88% during the period, as the stock market rally that began in the
spring of 2003 continued. Small-cap and mid-cap stocks rose more than large-cap
stocks because investors believed smaller companies had more to gain in an
improving economy. The fund was the beneficiary of this positive investor
sentiment. However, it trailed the index primarily because of stock selection in
health care.
The fund's health care stocks underperformed over the past six months. We
eliminated our investment in Biovail, but not before a major earnings
disappointment brought the stock price down sharply. Investors lost confidence
in the stock after a truck accident destroyed a large shipment of one of the
company's primary drug products and questions were raised about their accounting
practices. The fund's performance was also hurt by its position in Gilead
Sciences (0.4% of net assets), which declined sharply during the period. The
company was hurt by declining sales prospects for the biotech firm's flagship
product, the anti-HIV drug Viread. Yet, several high-quality health care stocks
made positive contributions to the fund, including DaVita, a dialysis services
company; IVAX, a pharmaceutical company; and Varian Medical Systems, a medical
equipment company, (1.1%, 1.0% and 1.2% of net assets, respectively).
Although the fund was overweight in technology, it did not participate in some
of the strong gains by speculative technology companies because of its emphasis
on high-quality technology companies with established earnings. Still, the
fund's bottom-up research process did help us identify companies with
above-average earnings growth and reasonable valuations, such as Fairchild
Semiconductor International, Novell and AU Optronics (1.2%, 1.0%, and 0.6% of
net assets, respectively). All three stocks made positive contributions to the
fund's performance.
The fund's above-average weight in energy investments slightly hurt performance,
because the energy portion of the Russell Midcap Growth Index lagged the overall
index return. However, energy made a positive contribution to performance
relative to the index because we were invested in the types of companies that
did the best within the sector-energy producers and energy service companies.
Energy, in general, benefited as cold weather and global economic growth
resulted in higher demand for oil and gas. But energy producers and service
companies were the primary beneficiaries, as higher demand resulted in higher
commodity prices and the expectation that drilling activity would be more
attractive. These factors favored investments such as XTO Energy and
National-Oilwell (0.9% and 1.0% of net assets, respectively), which were strong
performers for the fund.
The fund's positioning at the end of the period reflects our outlook for
sustained economic growth. We continue to believe that selected technology and
energy companies have the potential to benefit from an improving economy.
However, we also believe that investors are likely to seek revenue and earnings
growth to justify higher stock prices after a year of strong returns,
particularly from smaller company stocks. And although we believe that companies
13
<Page>
have the potential to generate attractive revenue growth, it is unlikely to be
enough to fuel another year of returns as high as 2003. As a result, we are
seeking to reduce the overall risk exposure of the portfolio by focusing on
companies with reasonable valuations as well as good growth prospects.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Amphenol, Class A 2.5
Univision Communications, Class A 1.9
Microchip Technology 1.8
Garmin 1.8
Agilent Technology 1.7
Amdocs 1.7
Caremark Rx 1.6
Autoliv 1.6
Fair Isaac 1.6
Education Management 1.6
</Table>
Thank you for investing in the CMG Mid Cap Growth Fund.
The Columbia Investment Team
January 31, 2004
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
14
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG MID CAP GROWTH FUND RUSSELL MIDCAP GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,580 $ 10,675
6/30/2003 $ 10,730 $ 10,828
7/31/2003 $ 10,930 $ 11,214
8/31/2003 $ 11,470 $ 11,832
9/30/2003 $ 10,849 $ 11,603
10/31/2003 $ 11,739 $ 12,538
11/30/2003 $ 12,059 $ 12,874
12/31/2003 $ 12,165 $ 13,014
1/31/2004 $ 12,447 $ 13,443
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Mid Cap Growth Fund 05/05/03 13.88 24.47
Russell Midcap Growth Index 19.88 34.43
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Mid Cap Growth Fund 05/05/03 13.39 21.66
Russell Midcap Growth Index 20.19 30.13
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that the shares may be
worth more or less than the original cost. All results shown assume reinvestment
of distributions. The graph and table do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from May 5, 2003.
The Russell Midcap Growth Index is a market-weighted index that measures
performance of the 800 smallest companies in the Russell 1000 Index with higher
price-to-book ratios and higher forecasted growth values. Unlike the fund,
indices are not investments, do not incur fees or expenses and are not
professionally managed. Securities in the fund may not match those in an index.
It is not possible to invest directly in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
15
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The CMG Small/Mid Cap Fund returned 16.51% for the six-month period ended
January 31, 2004. That was less than the Russell 2500 Growth Index, which
returned 20.29%, as the stock market rally that began in the spring of 2003
continued throughout the reporting period.
Small-cap and mid-cap stocks rose more than large-cap stocks because investors
believed smaller companies had more to gain in an improving economy. The fund
was the beneficiary of this positive investor sentiment. However, it lagged its
benchmark primarily because of stock selection in health care. The fund also was
held back by our emphasis on profitable companies since by far the best
performance during the period was generated by companies without current
earnings. Investors were willing to take on much higher risk as war worries
dissolved and economic recovery came into focus.
Within health care, our investment in Gilead Sciences (0.5% of net assets) lost
ground, in part, because of concerns about sales prospects for the biotech
firm's flagship product, an anti-HIV drug. However, several of the fund's
high-quality health care stocks provided positive returns, including DaVita, a
dialysis services company; IVAX, a pharmaceutical company; and Varian Medical
Systems, a medical equipment company (1.3%, 1.0% and 1.2% of net assets,
respectively).
The fund was overweight in technology, the strongest-performing sector in the
benchmark. However, our added exposure did not benefit the fund as much as it
could have because we emphasized high-quality firms with established earnings
while speculative technology companies generated the sector's strongest gains.
Yet, many of the fund's technology investments performed well during the period,
including Fairchild Semiconductor International, F5 Networks, Symantec and
National Semiconductor (1.1%, 0.9%, 0.8% and 0.8% of net assets, respectively).
The fund's above-average weight in energy investments slightly hindered
performance, because the energy portion of the Russell 2500 Growth Index
slightly lagged the overall index return. However, energy made a positive
contribution to performance relative to the index because we were invested in
the types of companies that did the best within the sector--energy producers and
energy service companies. Energy, in general, benefited as cold weather and
global economic growth resulted in higher demand for oil and gas. But energy
producers and service companies were the primary beneficiaries, as higher demand
resulted in higher commodity prices and the expectation that drilling activity
would be more attractive. These factors favored investments such as XTO Energy
and National-Oilwell (1.1% and 1.0% of net assets, respectively), which were
strong performers for the fund.
The fund's positioning at the end of the period reflects our outlook for
sustained economic growth. We continue to believe that selected technology
companies have the potential to benefit from an improving economy. However, we
also believe that investors are likely to seek revenue and earnings growth to
justify higher stock prices after a year of strong returns, particularly from
smaller company stocks. And although we believe that companies have the
potential to generate
16
<Page>
attractive revenue growth, it is unlikely to be enough to fuel another year of
returns as high as 2003. As a result, we are seeking to reduce the overall risk
exposure of the portfolio by focusing on companies with reasonable valuations as
well as good growth prospects.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Amphenol, Class A 2.3
Education Management 2.0
Fair Issac 2.0
Mircochip Technology 1.8
Polycom 1.7
Electronics for Imaging 1.7
Caremark Rx 1.7
Harman International Industries 1.7
Univision Communications, Class A 1.7
Autoliv 1.6
</Table>
We appreciate your continued confidence in the CMG Small/Mid Cap Fund.
The Columbia Investment Team
January 31, 2004
Investing in small-cap stocks and mid-cap stocks may present special risks,
including possible illiquidity and greater price volatility than stocks of
larger, more established companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
17
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, DECEMBER 1, 2000 TO JANUARY 31, 2004
<Table>
<Caption>
CMG SMALL/MID CAP FUND RUSSELL 2500 INDEX RUSSELL 2500 GROWTH INDEX
12/1/2000 $ 10,000 $ 10,000 $ 10,000
12/31/2000 $ 10,830 $ 10,861 $ 10,620
1/31/2001 $ 10,780 $ 11,218 $ 11,308
2/28/2001 $ 9,480 $ 10,496 $ 9,563
3/31/2001 $ 8,650 $ 9,920 $ 8,506
4/30/2001 $ 9,689 $ 10,796 $ 9,802
5/31/2001 $ 9,710 $ 11,120 $ 10,086
6/30/2001 $ 9,640 $ 11,278 $ 10,314
7/31/2001 $ 9,290 $ 10,875 $ 9,554
8/31/2001 $ 8,730 $ 10,518 $ 8,919
9/30/2001 $ 7,659 $ 9,157 $ 7,522
10/31/2001 $ 7,999 $ 9,630 $ 8,264
11/30/2001 $ 8,499 $ 10,409 $ 8,978
12/31/2001 $ 8,900 $ 10,993 $ 9,470
1/31/2002 $ 8,650 $ 10,857 $ 9,065
2/28/2002 $ 8,290 $ 10,667 $ 8,505
3/31/2002 $ 8,740 $ 11,404 $ 9,190
4/30/2002 $ 8,580 $ 11,376 $ 8,885
5/31/2002 $ 8,420 $ 11,042 $ 8,438
6/30/2002 $ 7,840 $ 10,420 $ 7,662
7/31/2002 $ 7,081 $ 9,177 $ 6,710
8/31/2002 $ 7,030 $ 9,204 $ 6,709
9/30/2002 $ 6,690 $ 8,475 $ 6,202
10/31/2002 $ 6,960 $ 8,751 $ 6,559
11/30/2002 $ 7,270 $ 9,465 $ 7,168
12/31/2002 $ 6,870 $ 9,038 $ 6,715
1/31/2003 $ 6,890 $ 8,797 $ 6,569
2/28/2003 $ 6,770 $ 8,586 $ 6,416
3/31/2003 $ 6,860 $ 8,668 $ 6,501
4/30/2003 $ 7,271 $ 9,440 $ 7,068
5/31/2003 $ 7,881 $ 10,368 $ 7,817
6/30/2003 $ 8,060 $ 10,566 $ 7,978
7/31/2003 $ 8,300 $ 11,134 $ 8,509
8/31/2003 $ 8,691 $ 11,650 $ 8,965
9/30/2003 $ 8,271 $ 11,491 $ 8,772
10/31/2003 $ 9,071 $ 12,399 $ 9,493
11/30/2003 $ 9,371 $ 12,866 $ 9,814
12/31/2003 $ 9,441 $ 13,150 $ 9,825
1/31/2004 $ 9,670 $ 13,630 $ 10,233
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 16.51 40.35 -1.05
Russell 2500 Index 22.41 54.93 10.26
Russell 2500 Growth Index 20.29 55.81 0.73
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 17.12 37.41 -1.85
Russell 2500 Index 24.45 45.51 9.28
Russell 2500 Growth Index 23.17 46.31 -0.57
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. The graph and table do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from December 1, 2000.
The Russell 2500 Index is an unmanaged index generally considered representative
of the market for small and mid cap stocks. The Russell 2500 Growth Index, also
an unmanaged index, measures the performance of those Russell 2500 companies
with higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
18
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Value Fund. The fund returned 25.06% for the six-month period ended January 31,
2004, finishing ahead of both the Russell 2000 Value Index and Lipper Small Cap
Value Category average, which returned 23.53% and 22.96%, respectively(1). Our
decision to emphasize economically-sensitive sectors, such as industrials and
technology, and underweight sectors with less exposure to the recovering economy
helped us beat our Russell benchmark and Lipper peer group. Strong stock
selection, particularly in the industrials and health care sectors, also boosted
performance.
As the economic outlook improved, small-cap stocks posted strong gains that
outpaced those of their large-cap counterparts. Our focus remained on small-cap
companies with strong competitive and financial positions, good earnings growth
prospects and reasonable stock valuations. This strategy worked well as
investors moved away from more speculative stocks and began buying
higher-quality stocks with the potential to do well in a steadily improving
economy.
Industrial and technology stocks, which made sharp comebacks during the period,
were strong contributors to the fund's performance. In the industrial sector,
the fund benefited from strong stock selection among machinery and equipment,
transportation, business services and construction stocks. Within technology,
the fund owned a mix of software and hardware names, including semiconductor
stocks, which rallied sharply as demand grew. Many industrial and technology
stocks with overseas sales also benefited from the weak US dollar.
The fund benefited from its below-average stake in the financial sector, where
stock returns trailed those of the overall market. In addition, we sidestepped
weaker-performing groups within the financial sector, such as "thrifts"--savings
and loans and consumer savings banks--and real estate investment trusts. Our
focus instead was on commercial banks, which benefited from low interest rates
and an improving credit environment, and insurers, which gained because they
were able to raise prices. In health care, strong stock selection helped boost
the fund's return. We targeted nursing homes, medical facilities and health
maintenance organizations.
Our bias toward higher-quality stocks dampened returns in the materials and
utilities sectors where lower-quality, beaten-down names posted the biggest
gains. In the materials sector, we maintained our emphasis on higher-quality
chemicals, paper, packaging and construction materials names, which did not do
as well as lower-quality mining stocks. Among utilities stocks, we avoided
companies with high debt levels, which turned out to be the sector's biggest
winners. In the consumer discretionary sector, the fund owned reasonably-priced
restaurant, clothing manufacturer and specialty retailing stocks. These stocks
rallied, but they did not do as well as stocks of companies with the potential
to increase revenues at an above-average pace for the group, most of which were
trading at higher valuations.
We have positioned the portfolio to reflect our expectation that the economy
will continue to recover in 2004, an environment that would support higher stock
prices. However, we believe that the pace of the market's gains is likely to
slow as the recovery unfolds and interest rates edge higher. We believe
small-cap stocks remain reasonably valued with the potential to
19
<Page>
participate in any rally. We plan to maintain an economically-sensitive tilt to
the portfolio, focusing on small-cap companies with strong balance sheets,
market leadership positions and good earnings prospects.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004, were:
<Table>
<Caption>
(%)
MFC Bancorp 1.0
Peabody Energy 1.0
Imagistics International 1.0
US Oncology 1.0
MPS Group 0.9
Equinix 0.8
Consolidated Graphics 0.8
Harsco 0.8
CH Energy Group 0.8
Kellwood 0.8
</Table>
Thank you for investing in the CMG Small Cap Value Fund.
The Columbia Investment Team
January 31, 2004
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
20
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG SMALL CAP VALUE FUND RUSSELL 2000 INDEX RUSSELL 2000 VALUE INDEX
5/5/2003 $ 10,000 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,771 $ 10,766
6/30/2003 $ 10,720 $ 10,966 $ 10,948
7/31/2003 $ 11,291 $ 11,652 $ 11,494
8/31/2003 $ 11,820 $ 12,186 $ 11,931
9/30/2003 $ 11,710 $ 11,961 $ 11,794
10/31/2003 $ 12,660 $ 12,965 $ 12,755
11/30/2003 $ 13,160 $ 13,426 $ 13,245
12/31/2003 $ 13,619 $ 13,698 $ 13,724
1/31/2004 $ 14,120 $ 14,294 $ 14,200
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Small Cap Value Fund 05/05/03 25.06 41.20
Russell 2000 Index 22.67 42.94
Russell 2000 Value Index 23.53 42.00
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Small Cap Value Fund 05/05/03 27.05 36.19
Russell 2000 Index 24.92 36.99
Russell 2000 Value Index 25.36 37.25
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that the shares may be
worth more or less than the original cost. All results shown assume reinvestment
of distributions. The graph and table do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from May 5, 2003
The Russell 2000 Value index is an unmanaged index that measures the performance
of those Russell 2000 companies with lower price-to-book ratios and lower
forecasted growth rates. The Russell 2000 index is an unmanaged index generally
considered representative of the market for small domestic stocks. Unlike the
fund, indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in indices.
Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
21
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Growth Fund. The fund returned 21.73% for the six-month period ended January 31,
2004. That was just short of the 21.81% return of the Russell 2000 Growth Index
but higher than the average return of the Lipper Small Cap Growth Funds
Category, which was 20.05%.(1) The fund, which focuses on companies with healthy
balance sheets, attractive business models and strong management teams,
benefited as small-cap stocks continued to rally amid an improving economy.
Media and semiconductor stocks, which we emphasized, were especially strong
performers.
The fund's largest sector concentration was in technology stocks, which led the
market advance during the six-month period. Within technology, we focused on
semiconductor manufacturers and semiconductor equipment companies. We favored
companies with niche products and markets and avoided companies with
commodity-like products, which depend on economic growth to generate higher
earnings. The fund's top performers included Silicon Storage Technology (1.2% of
net assets), a company that is a leader in a type of memory known as low-density
flash. In the software industry, we did well owning companies that focus on the
digitization of documents, such as Documentum, which was bought out during the
period, and Digitas (0.9% of net assets).
We emphasized biotechnology, medical device and specialty pharmaceutical stocks
within the health care sector, and several of our investments generated strong
returns. Protein Design Labs (1.1% of net assets), a biotech stock, rose sharply
as new management cleaned up product development problems and existing products
gained ground. Salix Pharmaceuticals (0.9% of net assets), a specialty
pharmaceutical company that targets gastric illnesses, was another top
performer.
The fund's above-average stake in consumer discretionary stocks paid off as the
sector rebounded late in the period. We favored media stocks, especially
broadcasters with stable businesses, which have the potential to benefit from
the upcoming presidential election and summer Olympics. We also boosted our
investment in gaming stocks, which have gained popularity as
financially-strapped states look for alternative revenue sources. Station
Casinos (2.1% of net assets), which runs casinos for local residents in Las
Vegas and also partners with Native Americans to build new casinos, kept pace
with the market's returns. Within the materials sector, we also owned Jarden,
which markets a range of consumer products, and Sharper Image, a retail gadget
store within the consumer discretionary sector (2.0% and 1.3% of net assets,
respectively). Both stocks rallied nicely during the period.
Disappointing returns came from the consumer discretionary sector, which gained
ground but trailed the market, and from stocks that did not live up to our
expectations. For example, TiVo (0.7% of net assets), which makes digital TV
recording devices that are easy to operate and allow for skipping commercials,
was hampered by competitive headwinds. We kept our stake, believing that
investors have not recognized TiVo's unique ability to capture viewer data and
package it for advertisers and networks to gain insight into viewer behavior. We
also invested in Bombay (0.7% of net assets), a furniture retailer that declined
as its attempts to move stores from malls to strip centers, build new stores,
and introduce new technology turned out to be
22
<Page>
more than it could handle all at once. Sales suffered and the share price fell
30% or more. However, we held on to the stock because we believe the company
still has the potential to get its strategy on track.
Although small-cap stocks have enjoyed strong gains over the past year, we
believe that they were still reasonably valued at the period's end, given their
strong earnings growth prospects in a strengthening economy. However, we also
believe that stock selection will be more important in the period ahead. Last
year's gains were fairly wide-spread, but as the stocks have become more
expensive, investors have become more discriminating. Small-caps are probably
more vulnerable to disappointments in the economy, such as continued weakness in
the job market or a decline in the economy's growth rate. As a result, we have
focused our efforts on identifying high-quality companies that have the
potential to increase their profits independent of the economic environment. We
believe our approach allows us to tap the upside opportunity of an improving
economy while offering a downside cushion against volatility.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Station Casinos 2.1
Jarden 2.0
Sharper Image 1.3
Infinity Property & Casualty 1.3
Entegris 1.3
Cost Plus 1.2
Silicon Storage Technology 1.2
Investors Financial Services 1.2
Silicon Image 1.2
Lin TV, Class A 1.2
</Table>
Thank you for investing in the CMG Small Cap Growth Fund.
The Columbia Investment Team
January 31, 2004
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
23
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2004
<Table>
<Caption>
CMG SMALL CAP GROWTH FUND RUSSELL 2000 GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,750 $ 10,776
6/30/2003 $ 11,010 $ 10,984
7/31/2003 $ 11,530 $ 11,814
8/31/2003 $ 12,060 $ 12,449
9/30/2003 $ 11,620 $ 12,134
10/31/2003 $ 12,851 $ 13,182
11/30/2003 $ 13,141 $ 13,612
12/31/2003 $ 13,483 $ 13,673
1/31/2004 $ 14,036 $ 14,390
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Small Cap Growth Fund 05/05/03 21.73 40.36
Russell 2000 Growth Index 21.81 43.90
</Table>
CUMULATIVE RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Small Cap Growth Fund 05/05/03 22.45 34.82
Russell 2000 Growth Index 24.48 36.72
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that the shares may be
worth more or less than the original cost. All results shown assume reinvestment
of distributions. The graph and table do not reflect the deduction of taxes that
a shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from May 5, 2003.
The Russell 2000 Growth Index is an unmanaged index that measures the
performance of those Russell 2000 companies with higher price-to-book ratios and
higher forecasted growth values. Unlike the fund, indices are not investments,
do not incur fees or expenses and are not professionally managed. It is not
possible to invest directly in an index. Securities in the fund may not match
those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
24
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2004, the CMG International Stock
Fund returned 22.58%. That was less than the 25.94% return of the MSCI All
Country World ex U.S. Index.
The portfolio underperformed its benchmark because of its relatively small
commitment to German securities. We limited our investment in German stocks
because the prospects for the German market appeared unattractive at the
beginning of the period, and indeed, the German stock market had performed
poorly prior to this reporting period in the first half of 2003. However, German
stocks rebounded strongly in the second half of 2003 in response to government
changes in financial policy, and the fund did not fully participate in the
gains. We subsequently added to our German holdings after research visits to
Europe provided a more positive view of the country's investment and economic
environment. We invested in Allianz AG (2.0% net assets), a German insurance
company that aided the fund's return.
Despite the shortfall relative to the benchmark, the fund's results were strong
as prospects for improved global economic growth drove international stock
markets higher over the six-month reporting period. In this environment, the
portfolio benefited from investments in the materials, energy and industrials
sectors, all of which responded positively to an improving economy. As the
dollar fell, returns to US investors got an additional boost because the value
of securities purchased in local currencies rose when converted to US dollars.
The dollar was particularly weak against the Japanese yen and the euro, which
gained 14% and 11% against the dollar, respectively, during the period.
We maintained relatively large weights in Thailand and in Japan, a strategy that
generally benefited the fund's return. In Thailand, which was one of the
strongest performing markets during the period, we favored stocks with the
potential to benefit from the country's infrastructure development, such as Siam
Cement and Land & House (1.0% and 0.5% of net assets, respectively). Both
positions gained ground during the period. In Japan, which was the portfolio's
largest country weight, we increased our position in UFJ Holdings, a large bank,
and added Millea Holdings, an insurance company, to the portfolio after they
reacted positively to changes in government policies regarding financial
institutions (0.8% and 1.7% of net assets, respectively). Both stocks were
strong performers for the portfolio, although Japanese stocks generally lagged
other world markets in the last months of the period.
Near the end of the period, we reduced our exposure to China and other emerging
markets in Asia because valuations were high. While we continue to believe in
China's prospects, we became concerned about the country's ability to sustain
its recent strong economic growth. We believe that the emergence of a property
construction bubble, structural weakness in the banking system and rapidly
developing shortages in electric power capacity could cause Chinese authorities
to slow the country's extraordinary growth.
Looking ahead, we have positioned the portfolio to take advantage of the trend
toward restructuring among European companies and the attractive valuations and
earnings forecasts offered by Japanese companies. Although we reduced the fund's
overall exposure to emerging
25
<Page>
markets, we made modest new investments in the emerging markets of Eastern
Europe. We believe that these markets have the potential to perform well as they
become more integrated with Western Europe. We will continue to monitor emerging
markets and take advantage of investment opportunities as they arise.
The fund's top ten holdings and countries (as a percentage of net assets) as of
January 31, 2004 were:
<Table>
<Caption>
HOLDINGS (%)
BP PLC 2.4
ENI 2.3
Credit Suisse Group 2.1
ING Groep NV 2.0
Mitsubishi Estate 2.0
Allianz AG 2.0
Matsushita Electric Industrial 2.0
Nortel Networks 1.9
Siemens AG 1.8
Millea Holdings 1.7
</Table>
<Table>
<Caption>
COUNTRIES (%)
Japan 23.7
United Kingdom 20.9
Germany 9.4
France 6.2
Netherlands 5.0
Switzerland 4.7
Italy 4.7
United States 4.3
Canada 3.6
Thailand 3.4
</Table>
We appreciate your continued confidence in the CMG International Stock Fund.
The Columbia Investment Team
January 31, 2004
There are also specific risks involved when investing in foreign stocks, such as
currency exchange rate fluctuations, economic change, instability of emerging
countries and political developments.
Holdings and country breakdowns are disclosed as of January 31, 2004, and are
subject to change. Because the fund is actively managed, there is no guarantee
the fund will continue to maintain the holdings and country breakdowns listed.
The fund's holdings and their weights within the portfolio may change as market
conditions change.
26
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1994 TO JANUARY 31, 2004
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND MSCI EAFE INDEX MSCI ALL COUNTRY WORLD EX U.S. INDEX
2/1/94 $ 10,000 $ 10,000 $ 10,000
2/28/94 $ 10,058 $ 9,972 $ 9,924
3/31/94 $ 9,622 $ 9,542 $ 9,469
4/30/94 $ 9,735 $ 9,947 $ 9,790
5/31/94 $ 9,600 $ 9,890 $ 9,793
6/30/94 $ 9,690 $ 10,030 $ 9,863
7/31/94 $ 9,687 $ 10,126 $ 10,024
8/31/94 $ 9,962 $ 10,366 $ 10,361
9/30/94 $ 9,603 $ 10,039 $ 10,104
10/31/94 $ 9,877 $ 10,374 $ 10,375
11/30/94 $ 9,395 $ 9,875 $ 9,875
12/31/94 $ 9,243 $ 9,937 $ 9,853
1/31/95 $ 8,568 $ 9,555 $ 9,405
2/28/95 $ 8,443 $ 9,528 $ 9,354
3/31/95 $ 8,768 $ 10,122 $ 9,883
4/30/95 $ 8,951 $ 10,503 $ 10,268
5/31/95 $ 8,838 $ 10,378 $ 10,222
6/30/95 $ 8,805 $ 10,196 $ 10,081
7/31/95 $ 9,368 $ 10,831 $ 10,653
8/31/95 $ 9,236 $ 10,419 $ 10,283
9/30/95 $ 9,436 $ 10,622 $ 10,459
10/31/95 $ 9,316 $ 10,336 $ 10,180
11/30/95 $ 9,500 $ 10,623 $ 10,419
12/31/95 $ 9,753 $ 11,052 $ 10,832
1/31/96 $ 9,924 $ 11,097 $ 10,980
2/29/96 $ 9,924 $ 11,135 $ 10,980
3/31/96 $ 10,309 $ 11,371 $ 11,185
4/30/96 $ 10,657 $ 11,701 $ 11,524
5/31/96 $ 10,812 $ 11,486 $ 11,351
6/30/96 $ 11,038 $ 11,551 $ 11,409
7/31/96 $ 10,546 $ 11,213 $ 11,030
8/31/96 $ 10,711 $ 11,238 $ 11,095
9/30/96 $ 10,950 $ 11,537 $ 11,371
10/31/96 $ 10,869 $ 11,419 $ 11,257
11/30/96 $ 11,243 $ 11,874 $ 11,691
12/31/96 $ 11,389 $ 11,720 $ 11,556
1/31/97 $ 11,387 $ 11,310 $ 11,343
2/28/97 $ 11,664 $ 11,496 $ 11,551
3/31/97 $ 11,754 $ 11,537 $ 11,527
4/30/97 $ 12,017 $ 11,598 $ 11,624
5/31/97 $ 12,705 $ 12,353 $ 12,342
6/30/97 $ 13,301 $ 13,034 $ 13,023
7/31/97 $ 13,691 $ 13,245 $ 13,286
8/31/97 $ 12,716 $ 12,256 $ 12,240
9/30/97 $ 13,581 $ 12,942 $ 12,903
10/31/97 $ 12,551 $ 11,947 $ 11,803
11/30/97 $ 12,501 $ 11,825 $ 11,656
12/31/97 $ 12,549 $ 11,928 $ 11,790
1/31/98 $ 12,632 $ 12,473 $ 12,142
2/28/98 $ 13,175 $ 13,274 $ 12,952
3/31/98 $ 13,781 $ 13,683 $ 13,400
4/30/98 $ 14,165 $ 13,791 $ 13,497
5/31/98 $ 14,395 $ 13,723 $ 13,251
6/30/98 $ 14,327 $ 13,827 $ 13,202
7/31/98 $ 14,363 $ 13,967 $ 13,328
8/31/98 $ 12,638 $ 12,236 $ 11,448
9/30/98 $ 11,715 $ 11,861 $ 11,207
10/31/98 $ 12,397 $ 13,097 $ 12,381
11/30/98 $ 13,375 $ 13,767 $ 13,046
12/31/98 $ 14,078 $ 14,310 $ 13,495
1/31/99 $ 14,741 $ 14,267 $ 13,480
2/28/99 $ 14,375 $ 13,927 $ 13,178
3/31/99 $ 14,622 $ 14,508 $ 13,815
4/30/99 $ 15,038 $ 15,096 $ 14,505
5/31/99 $ 14,692 $ 14,318 $ 13,824
6/30/99 $ 15,591 $ 14,877 $ 14,460
7/31/99 $ 16,105 $ 15,318 $ 14,798
8/31/99 $ 16,471 $ 15,375 $ 14,850
9/30/99 $ 16,866 $ 15,530 $ 14,949
10/31/99 $ 17,659 $ 16,113 $ 15,505
11/30/99 $ 19,774 $ 16,672 $ 16,126
12/31/99 $ 22,387 $ 18,169 $ 17,664
1/31/2000 $ 21,220 $ 17,015 $ 16,705
2/29/2000 $ 22,701 $ 17,473 $ 17,156
3/31/2000 $ 22,145 $ 18,151 $ 17,801
4/30/2000 $ 20,137 $ 17,196 $ 16,808
5/31/2000 $ 18,403 $ 16,777 $ 16,377
6/30/2000 $ 19,443 $ 17,433 $ 17,075
7/31/2000 $ 18,434 $ 16,702 $ 16,401
8/31/2000 $ 18,896 $ 16,847 $ 16,604
9/30/2000 $ 17,740 $ 16,027 $ 15,682
10/31/2000 $ 17,025 $ 15,649 $ 15,184
11/30/2000 $ 16,269 $ 15,062 $ 14,503
12/31/2000 $ 17,052 $ 15,597 $ 14,998
1/31/2001 $ 16,874 $ 15,589 $ 15,223
2/28/2001 $ 15,950 $ 14,420 $ 14,017
3/31/2001 $ 14,886 $ 13,458 $ 13,026
4/30/2001 $ 15,798 $ 14,393 $ 13,912
5/31/2001 $ 15,482 $ 13,885 $ 13,528
6/30/2001 $ 14,937 $ 13,317 $ 13,010
7/31/2001 $ 14,468 $ 13,075 $ 12,720
8/31/2001 $ 14,202 $ 12,744 $ 12,404
9/30/2001 $ 12,859 $ 11,453 $ 11,088
10/31/2001 $ 13,201 $ 11,746 $ 11,399
11/30/2001 $ 13,479 $ 12,180 $ 11,920
12/31/2001 $ 13,800 $ 12,252 $ 12,073
1/31/2002 $ 13,241 $ 14,427 $ 11,557
2/28/2002 $ 13,330 $ 11,682 $ 11,640
3/31/2002 $ 13,978 $ 12,370 $ 12,258
4/30/2002 $ 14,040 $ 12,395 $ 12,352
5/31/2002 $ 14,206 $ 12,552 $ 12,487
6/30/2002 $ 13,862 $ 12,053 $ 11,948
7/31/2002 $ 12,731 $ 10,863 $ 10,783
8/31/2002 $ 12,667 $ 10,838 $ 10,784
9/30/2002 $ 11,397 $ 9,674 $ 9,641
10/31/2002 $ 11,841 $ 10,193 $ 10,157
11/30/2002 $ 12,298 $ 10,656 $ 10,646
12/31/2002 $ 11,824 $ 10,298 $ 10,303
1/31/2003 $ 11,326 $ 9,869 $ 9,942
2/28/2003 $ 11,186 $ 9,643 $ 9,740
3/31/2003 $ 11,109 $ 9,454 $ 9,551
4/30/2003 $ 11,939 $ 10,380 $ 10,472
5/31/2003 $ 12,590 $ 11,009 $ 11,139
6/30/2003 $ 12,833 $ 11,276 $ 11,447
7/31/2003 $ 13,191 $ 11,549 $ 11,752
8/31/2003 $ 13,510 $ 11,827 $ 12,102
9/30/2003 $ 13,881 $ 12,191 $ 12,441
10/31/2003 $ 14,723 $ 12,951 $ 13,247
11/30/2003 $ 14,838 $ 13,238 $ 13,536
12/31/2003 $ 15,823 $ 14,272 $ 14,568
1/31/2004 $ 16,169 $ 14,476 $ 14,805
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG International Stock Fund 02/01/94 22.58 42.76 1.87 4.92
MSCI EAFE Index 25.35 46.67 0.29 3.77
MSCI All Country World ex U.S. Index 25.94 48.87 1.89 4.00
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG International Stock Fund 02/01/94 23.30 33.81 2.37 4.74
MSCI EAFE 26.59 38.59 -0.05 3.65
MSCI All Country World ex U.S. Index 27.25 41.38 1.54 3.87
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. The graph and table do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please visit www.columbiamanagement.com for daily and most recent month-end
performance updates.
The index performance is from January 31, 1994.
The MSCI EAFE Index (Morgan Stanley Capital International Europe, Australia and
Far East Index) is an unmanaged index representing major stock markets in
Europe, Australia and the Far East. The MSCI (Morgan Stanley Capital
International) All Country World ex U.S. Index is an unmanaged index designed to
measure equity market performance in the global developed and emerging markets
excluding the United States. Unlike the fund, indices are not investments, do
not incur fees and are not professionally managed. It is not possible to invest
directly in an index. Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the Advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
27
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.73 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.09 0.04
Net realized and unrealized gain on investments 1.45 0.69
------------ ------------
Total from investment operations 1.54 0.73
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.05) -
From net realized gains (0.01) -
------------ ------------
Total distributions declared to shareholders (0.06) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.21 $ 10.73
============ ============
Total return (c)(d)(e) 14.33% 7.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 61,275 $ 9,134
Ratio of net expenses to average net assets (f) 0.25% 0.25%
Ratio of net investment income to average net assets (f) 1.50% 1.50%
Reimbursement (f) 0.08% 1.37%
Portfolio turnover rate (e) 26% 2%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
28
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
(UNAUDITED)
PERIOD
ENDED
JANUARY 31,
2004 (a)
------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.07
Net realized and unrealized gain on investments 0.97
------------
Total from investment operations 1.04
------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.02)
------------
NET ASSET VALUE, END OF PERIOD $ 11.02
============
Total return (c)(d)(e) 10.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 38,183
Ratio of net expenses to average net assets (f) 0.50%
Ratio of net investment income to average net assets (f) 1.59%
Reimbursement (f) 0.15%
Portfolio turnover rate (e) 17%
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
29
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout the Period)
<Table>
<Caption>
(UNAUDITED)
PERIOD
ENDED
JANUARY 31,
2004 (a)
------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.01
Net realized and unrealized gain on investments 0.81
------------
Total from investment operations 0.82
------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.01)
------------
NET ASSET VALUE, END OF PERIOD $ 10.81
============
Total return (c)(d)(e) 8.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 39,939
Ratio of net expenses to average net assets (f) 0.50%
Ratio of net investment income to average net assets (f) 0.22%
Reimbursement (f) 0.14%
Portfolio turnover rate (e) 58%
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
30
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.69 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.03 0.01
Net realized and unrealized gain on investments 1.70 0.68
------------ ------------
Total from investment operations 1.73 0.69
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.02) -
From net realized gains -(c) -
------------ ------------
Total distributions declared to shareholders (0.02) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.40 $ 10.69
============ ============
Total return (d)(e)(f) 16.22% 6.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 15,423 $ 2,651
Ratio of net expenses to average net assets (g) 0.70% 0.70%
Ratio of net investment income to average net assets (g) 0.45% 0.49%
Reimbursement (g) 0.30% 3.61%
Portfolio turnover rate (f) 7% 2%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
31
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.93 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.02) (0.01)
Net realized and unrealized gain on investments 1.54 0.94
------------ ------------
Total from investment operations 1.52 0.93
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains (0.01) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.44 $ 10.93
============ ============
Total return (c)(d)(e) 13.88% 9.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 14,022 $ 2,161
Ratio of net expenses to average net assets (f) 0.70% 0.70%
Ratio of net investment loss to average net assets (f) (0.41)% (0.44)%
Reimbursement (f) 0.34% 3.85%
Portfolio turnover rate (e) 54% 23%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
32
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, OCTOBER 31, OCTOBER 31,
2004 2003 (a) 2002 2001 (b)
------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.30 $ 6.96 $ 8.00 $ 10.00
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)(c) (0.03)(c) (0.04)(c) (0.02)
Net realized and unrealized gain (loss)
on investments 1.39 1.37 (1.00) (1.98)
------------ ------------ ------------ ------------
Total from investment operations 1.37 1.34 (1.04) (2.00)
------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 9.67 $ 8.30 $ 6.96 $ 8.00
============ ============ ============ ============
Total return (d)(e) 16.51%(f) 19.25%(f) (13.00)% (20.00)%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 78,627 $ 73,926 $ 54,769 $ 49,391
Ratio of net expenses to
average net assets 0.75%(g) 0.78%(g)(h) 0.80%(h) 0.80%(g)(h)
Ratio of net investment loss to
average net assets (0.51)%(g) (0.50)%(g)(h) (0.45)%(h) (0.23)%(g)(h)
Reimbursement 0.05%(g) 0.06%(g) 0.06% 0.17%(g)
Portfolio turnover rate 54%(f) 84%(f) 125% 167%(f)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on December 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Total return at net asset value.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
See Accompanying Notes to Financial Statements.
33
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.29 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.07 0.02
Net realized and unrealized gain on investments 2.75 1.27
------------ ------------
Total from investment operations 2.82 1.29
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.06) -
From net realized gains (0.22) -
------------ ------------
Total distributions declared to shareholders (0.28) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 13.83 $ 11.29
============ ============
Total return (c)(d)(e) 25.06% 12.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 36,129 $ 21,356
Ratio of net expenses to average net assets (f) 0.80% 0.80%
Ratio of net investment income to average net assets (f) 1.06% 0.66%
Reimbursement (f) 0.10% 0.36%
Portfolio turnover rate (e) 26% 5%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
34
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.53 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.04) (0.02)
Net realized and unrealized gain on investments 2.50 1.55
------------ ------------
Total from investment operations 2.46 1.53
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains (0.81) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 13.18 $ 11.53
============ ============
Total return (c)(d)(e) 21.73% 15.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 32,484 $ 21,006
Ratio of net expenses to average net assets (f) 0.80% 0.80%
Ratio of net investment loss to average net assets (f) (0.63)% (0.62)%
Reimbursement (f) 0.11% 0.35%
Portfolio turnover rate (e) 44% 37%
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
35
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.33 $ 9.32
------------ ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02(b) 0.11(b)
Net realized and unrealized gain (loss) on
investments, foreign currency and foreign
capital gains tax 2.31 0.95
------------ ----------
Total from investment operations 2.33 1.06
------------ ----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.06) (0.05)
From net realized gains - -
------------ ----------
Total distributions declared
to shareholders (0.06) (0.05)
------------ ----------
NET ASSET VALUE, END OF PERIOD $ 12.60 $ 10.33
============ ==========
Total return (d) 22.58%(e)(f) 11.39%(e)(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 117,013 $ 58,488
Ratio of net expenses to average
net assets 0.75%(g) 0.93%(g)(h)
Ratio of net investment income (loss) to
average net assets 0.37%(g) 1.50%(g)(h)
Reimbursement 0.05%(g) 0.06%(g)
Portfolio turnover rate 35%(f) 59%(f)
<Caption>
YEAR ENDED OCTOBER 31,
------------------------------------------------------------------------------
2002 2001 2000 1999 1998
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.42 $ 16.20 $ 17.86 $ 12.54 $ 42.71
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02(b) 0.03 0.04 (0.02) 0.25
Net realized and unrealized gain (loss) on
investments, foreign currency and foreign
capital gains tax (1.09) (3.09) (0.36) 5.34 (0.78)
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.07) (3.06) (0.32) 5.32 (0.53)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.03) - - - -
From net realized gains - (2.72) (1.34) -(c) (29.64)
---------- ---------- ---------- ---------- ----------
Total distributions declared
to shareholders (0.03) (2.72) (1.34) -(c) (29.64)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.32 $ 10.42 $ 16.20 $ 17.86 $ 12.54
========== ========== ========== ========== ==========
Total return (d) (10.28)% (22.46)% (3.58)% 42.44% (1.24)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 20,616 $ 20,553 $ 22,975 $ 30,492 $ 15,377
Ratio of net expenses to average
net assets 1.31%(h) 1.26%(h) 1.11%(h) 1.31%(h) 1.04%(h)
Ratio of net investment income (loss) to
average net assets 0.21%(h) 0.29%(h) 0.12%(h) (0.14)%(h) 0.60%(h)
Reimbursement - - - - -
Portfolio turnover rate 111% 117% 140% 96% 53%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
See Accompanying Notes to Financial Statements.
36
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (99.1%)
Consumer Discretionary (10.5%)
Auto Components (0.3%)
Visteon Corp. 15,900 $ 170,130
---------------
Automobiles (0.6%)
Ford Motor Co. 24,100 350,414
---------------
Hotels, Restaurants & Leisure (1.6%)
Carnival Corp. 7,600 337,592
Hilton Hotels Corp. 3,600 57,600
McDonald's Corp. 18,800 483,912
Starwood Hotels & Resorts Worldwide, Inc. 2,400 84,816
---------------
963,920
---------------
Household Durables (0.1%)
Stanley Works 2,400 90,912
---------------
Internet & Catalog Retail (0.2%)
eBay, Inc. (a) 1,600 107,248
---------------
Leisure Equipment & Products (0.4%)
Brunswick Corp. 2,600 90,610
Hasbro, Inc. 2,900 57,275
Mattel, Inc. 6,600 124,806
---------------
272,691
---------------
Media (3.8%)
Clear Channel Communications, Inc. 2,500 112,475
Comcast Corp., Class A (a) 21,700 740,404
McGraw-Hill Companies, Inc. 5,100 382,602
Time Warner, Inc. (a) 42,600 748,482
Viacom, Inc., Class A 6,800 274,040
Walt Disney Co. 2,600 62,400
---------------
2,320,403
---------------
Multi-Line Retail (1.2%)
Federated Department Stores, Inc. 4,000 189,920
May Department Stores Co. 5,800 190,820
Sears, Roebuck and Co. 7,900 349,575
---------------
730,315
---------------
Specialty Retail (1.7%)
Barnes & Noble, Inc. (a) 3,300 111,705
Bed Bath & Beyond, Inc. (a) 2,000 81,220
Best Buy Co., Inc. 2,100 105,819
Home Depot, Inc. 10,500 372,435
Lowe's Companies, Inc. 1,900 101,745
RadioShack Corp. 8,300 270,414
---------------
1,043,338
---------------
Textiles, Apparel & Luxury Goods (0.6%)
Jones Apparel Group, Inc. 2,900 98,803
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (continued)
NIKE, Inc., Class B 3,800 $ 264,708
---------------
363,511
---------------
Consumer Staples (10.4%)
Beverages (2.4%)
Anheuser-Busch Companies, Inc. 5,000 253,600
Coca-Cola Co. 20,500 1,009,420
PepsiCo, Inc. 5,000 236,300
---------------
1,499,320
---------------
Food & Drug Retailing (3.0%)
BJ's Wholesale Club, Inc. (a) 4,700 101,755
Walgreen Co. 1,800 62,190
Wal-Mart Stores, Inc. 30,900 1,663,965
---------------
1,827,910
---------------
Food Products (1.4%)
Campbell Soup Co. 2,500 65,825
Hershey Foods Corp. 4,700 354,897
H.J. Heinz Co. 10,800 382,104
Kellogg Co. 1,700 64,277
---------------
867,103
---------------
Household Products (1.7%)
Colgate-Palmolive Co. 5,400 276,858
Procter & Gamble Co. 7,800 788,424
---------------
1,065,282
---------------
Personal Products (0.9%)
Gillette Co. 14,400 522,000
---------------
Tobacco (1.0%)
Altria Group, Inc. 10,000 555,900
RJ Reynolds Tobacco Holdings, Inc. 1,100 64,966
---------------
620,866
---------------
Energy (6.0%)
Energy Equipment & Services (0.5%)
Noble Corp. (a) 4,100 152,110
Schlumberger Ltd. 1,100 67,298
Transocean, Inc. (a) 2,900 78,126
---------------
297,534
---------------
Oil & Gas (5.5%)
Amerada Hess Corp. 3,400 191,726
Anadarko Petroleum Corp. 2,500 124,750
ChevronTexaco Corp. 9,800 846,230
ConocoPhillips 1,000 65,880
Devon Energy Corp. 4,400 248,424
Exxon Mobil Corp. 44,700 1,823,313
Marathon Oil Corp. 3,100 100,688
---------------
3,401,011
---------------
</Table>
See Accompanying Notes to Financial Statements.
38
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Financials (19.5%)
Banks (6.3%)
Bank of America Corp. 4,900 $ 399,154
Bank of New York Co., Inc. 13,700 434,975
Bank One Corp. 1,200 60,732
Comerica, Inc. 3,200 182,752
Mellon Financial Corp. 9,900 323,829
North Fork Bancorporation, Inc. 4,800 202,320
Northern Trust Corp. 2,600 123,500
PNC Financial Services Group, Inc. 3,000 169,530
U.S. Bancorp 20,800 588,016
Wachovia Corp. 14,300 661,232
Washington Mutual, Inc. 7,800 345,540
Wells Fargo & Co. 5,100 292,791
Zions Bancorporation 1,100 64,504
---------------
3,848,875
---------------
Diversified Financials (7.8%)
American Express Co. 2,300 119,232
Capital One Financial Corp. 2,400 170,592
Citigroup, Inc. 28,900 1,429,972
Fannie Mae 1,600 123,360
Federated Investors, Inc. 2,100 64,869
Franklin Resources, Inc. 6,700 387,059
Freddie Mac 7,100 443,182
J.P. Morgan Chase & Co. 19,600 762,244
Lehman Brothers Holdings, Inc. 5,200 426,920
MBNA Corp. 7,100 191,416
Merrill Lynch & Co., Inc. 7,600 446,804
Morgan Stanley 1,200 69,852
State Street Corp. 1,200 64,620
T. Rowe Price Group, Inc. 1,400 72,982
---------------
4,773,104
---------------
Insurance (5.0%)
AFLAC, Inc. 2,400 88,512
Ambac Financial Group, Inc. 4,800 358,896
American International Group, Inc. 10,800 750,060
Aon Corp. 3,400 83,538
Chubb Corp. 5,400 386,046
Hartford Financial Services Group, Inc. 6,500 418,210
Lincoln National Corp. 3,200 141,280
Marsh & McLennan Companies, Inc. 1,800 84,474
MBIA, Inc. 3,400 214,200
MetLife, Inc. 4,700 157,685
Prudential Financial, Inc. 6,900 300,150
SAFECO Corp. 1,800 78,354
---------------
3,061,405
---------------
</Table>
See Accompanying Notes to Financial Statements.
39
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Real Estate (0.4%)
Equity Office Properties Trust 4,600 $ 136,390
Equity Residential 4,200 122,220
---------------
258,610
---------------
Health Care (14.0%)
Biotechnology (1.0%)
Amgen, Inc. (a) 10,100 651,349
---------------
Health Care Equipment & Supplies (2.6%)
Bausch & Lomb, Inc. 1,200 64,500
Becton, Dickinson & Co. 2,300 103,638
Guidant Corp. 6,600 421,608
IMS Health, Inc. 13,300 342,209
Medtronic, Inc. 10,300 506,966
Zimmer Holdings, Inc. (a) 1,900 145,350
---------------
1,584,271
---------------
Health Care Providers & Services (1.7%)
Anthem, Inc. (a) 1,600 130,848
CIGNA Corp. 6,100 378,322
UnitedHealth Group, Inc. 8,500 517,480
---------------
1,026,650
---------------
Pharmaceuticals (8.7%)
Abbott Laboratories 5,600 241,248
Allergan, Inc. 800 66,280
Bristol-Myers Squibb Co. 4,900 137,445
Eli Lilly & Co. 3,200 217,728
Johnson & Johnson 23,200 1,239,344
King Pharmaceuticals, Inc. (a) 19,000 316,920
Medco Health Solutions, Inc. (a) 1,710 63,014
Merck & Co., Inc. 19,700 937,720
Pfizer, Inc. 39,500 1,446,885
Watson Pharmaceuticals, Inc. (a) 7,000 325,570
Wyeth 8,000 327,600
---------------
5,319,754
---------------
Industrials (12.8%)
Aerospace & Defense (2.3%)
Boeing Co. 2,500 104,375
General Dynamics Corp. 2,600 237,718
Goodrich Corp. 3,500 107,975
L-3 Communications Holdings, Inc. 5,800 310,068
Northrop Grumman Corp. 4,100 396,511
United Technologies Corp. 2,900 277,066
---------------
1,433,713
---------------
Air Freight & Logistics (1.2%)
FedEx Corp. 2,700 181,656
United Parcel Service, Inc., Class B 7,800 555,906
---------------
737,562
---------------
</Table>
See Accompanying Notes to Financial Statements.
40
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Airlines (0.1%)
Delta Air Lines, Inc. (a) 5,400 $ 56,700
---------------
Commercial Services & Supplies (1.7%)
Apollo Group, Inc., Class A (a) 900 66,834
Cendant Corp. (a) 10,600 240,090
Equifax, Inc. 4,600 119,646
H&R Block, Inc. 6,300 364,959
Pitney Bowes, Inc. 6,000 243,480
---------------
1,035,009
---------------
Electrical Equipment (0.3%)
American Power Conversion Corp. 2,600 64,454
Cooper Industries Ltd., Class A 1,200 67,560
Thomas & Betts Corp. 2,700 55,971
---------------
187,985
---------------
Industrial Conglomerates (5.0%)
3M Co. 8,000 632,720
General Electric Co. 49,400 1,661,322
Textron, Inc. 3,100 165,168
Tyco International Ltd. 22,600 604,550
---------------
3,063,760
---------------
Machinery (1.7%)
Danaher Corp. 700 64,085
Dover Corp. 3,000 123,960
Illinois Tool Works, Inc. 2,400 187,440
Ingersoll-Rand Co., Ltd., Class A 5,300 352,609
SPX Corp. (a) 5,000 283,700
---------------
1,011,794
---------------
Road & Rail (0.5%)
Burlington Northern Santa Fe Corp. 2,400 77,112
Union Pacific Corp. 3,500 225,400
---------------
302,512
---------------
Information Technology (16.8%)
Communications Equipment (2.0%)
Avaya, Inc. (a) 4,800 83,424
Cisco Systems, Inc. (a) 34,600 887,144
Motorola, Inc. 6,700 111,086
Scientific-Atlanta, Inc. 4,600 155,664
---------------
1,237,318
---------------
Computers & Peripherals (3.8%)
Apple Computer, Inc. (a) 2,900 65,424
Dell, Inc. (a) 15,000 502,050
Hewlett-Packard Co. 17,900 425,841
International Business Machines Corp. 9,200 912,916
Lexmark International, Inc. (a) 4,700 389,583
---------------
2,295,814
---------------
</Table>
See Accompanying Notes to Financial Statements.
41
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Electronic Equipment & Instruments (0.3%)
PerkinElmer, Inc. 3,500 $ 72,275
Sanmina-SCI Corp. (a) 4,900 64,239
Symbol Technologies, Inc. 3,900 67,470
---------------
203,984
---------------
Information Technology Consulting & Services (1.0%)
Automatic Data Processing, Inc. 1,600 68,400
Convergys Corp. (a) 7,100 118,712
First Data Corp. 4,300 168,388
Fiserv, Inc. (a) 1,600 59,776
Paychex, Inc. 2,300 86,204
SunGard Data Systems, Inc. (a) 2,600 80,938
---------------
582,418
---------------
Internet Software & Services (0.2%)
Yahoo!, Inc. (a) 2,500 117,125
---------------
Office Electronics (0.1%)
Xerox Corp. (a) 5,100 74,664
---------------
Semiconductor Equipment & Products (4.4%)
Advanced Micro Devices, Inc. (a) 4,000 59,440
Altera Corp. (a) 3,500 78,365
Applied Materials, Inc. (a) 5,900 128,384
Intel Corp. 47,700 1,459,620
Linear Technology Corp. 8,500 340,000
Maxim Integrated Products, Inc. 3,000 153,450
Teradyne, Inc. (a) 2,800 75,320
Texas Instruments, Inc. 10,200 319,770
Xilinx, Inc. (a) 2,300 96,393
---------------
2,710,742
---------------
Software (5.0%)
Adobe Systems, Inc. 6,400 246,144
Intuit, Inc. (a) 6,100 307,562
Microsoft Corp. 74,000 2,046,100
Oracle Corp. (a) 21,900 302,439
VERITAS Software Corp. (a) 4,700 154,442
---------------
3,056,687
---------------
Materials (3.1%)
Chemicals (0.8%)
Monsanto Co. 9,300 284,487
Sigma-Aldrich Corp. 3,400 199,206
---------------
483,693
---------------
Construction Materials (0.1%)
Vulcan Materials Co. 1,300 62,010
---------------
Containers & Packaging (0.5%)
Temple-Inland, Inc. 5,100 301,155
---------------
</Table>
See Accompanying Notes to Financial Statements.
42
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Metals & Mining (0.9%)
Alcoa, Inc. 8,500 $ 290,530
Allegheny Technologies, Inc. 7,100 66,740
Newmont Mining Corp. 2,900 120,814
United States Steel Corp. 2,400 81,720
---------------
559,804
---------------
Paper & Forest Products (0.8%)
Georgia-Pacific Corp. 4,700 132,070
Louisiana-Pacific Corp. 3,300 70,191
Weyerhaeuser Co. 4,400 270,424
---------------
472,685
---------------
Telecommunication Services (3.5%)
Diversified Telecommunication Services (3.0%)
BellSouth Corp. 21,100 616,753
CenturyTel, Inc. 5,400 142,560
SBC Communications, Inc. 28,900 736,950
Verizon Communications, Inc. 8,600 316,996
---------------
1,813,259
---------------
Wireless Telecommunication Services (0.5%)
Nextel Communications, Inc., Class A (a) 11,600 306,124
---------------
Utilities (2.5%)
Electric Utilities (2.1%)
American Electric Power Co., Inc. 5,600 182,840
Edison International 2,800 61,600
Entergy Corp. 1,500 87,720
Exelon Corp. 6,600 442,068
Pinnacle West Capital Corp. 1,600 62,800
Public Service Enterprise Group, Inc. 2,800 127,232
Southern Co. 4,600 137,080
TECO Energy, Inc. 5,000 71,350
TXU Corp. 2,500 60,000
Wisconsin Energy Corp. 1,900 62,871
---------------
1,295,561
---------------
Gas Utilities (0.3%)
Sempra Energy 6,400 199,296
---------------
Multi-Utilities & Unregulated Power (0.1%)
Duke Energy Corp. 3,200 69,536
---------------
Total Common Stocks
(Cost of $55,569,404) 60,708,836
---------------
Investment Management Company (0.6%)
SPDR Trust Series 1
(Cost of $363,892) 3,200 363,136
---------------
</Table>
See Accompanying Notes to Financial Statements.
43
<Page>
<Table>
<Caption>
PAR VALUE
------------- ---------------
Short-Term Obligation (0.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Note
maturing 05/15/07, market value of $325,588
(repurchase proceeds $315,024)
(Cost of $315,000) $ 315,000 $ 315,000
---------------
Total Investments (100.2%)
(Cost of $56,248,296) (b) 61,386,972
Other Assets & Liabilities, Net (-0.2%) (111,634)
---------------
Net Assets (100.0%) $ 61,275,338
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
See Accompanying Notes to Financial Statements.
44
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (99.6%)
Consumer Discretionary (8.3%)
Auto Components (1.1%)
Delphi Corp. 40,200 $ 425,316
---------------
Hotels, Restaurants & Leisure (1.5%)
Harrah's Entertainment, Inc. 2,385 126,405
Wendy's International, Inc. 10,900 433,057
---------------
559,462
---------------
Leisure Equipment & Products (0.8%)
Mattel, Inc. 15,300 289,323
---------------
Media (4.9%)
Clear Channel Communications, Inc. 5,464 245,825
Gannett Co., Inc. 3,900 334,269
McGraw-Hill Companies, Inc. 6,700 502,634
Time Warner, Inc. (a) 28,600 502,502
Viacom, Inc., Class A 7,400 300,218
---------------
1,885,448
---------------
Consumer Staples (8.3%)
Beverages (1.7%)
PepsiCo, Inc. 14,100 666,366
---------------
Food Products (1.9%)
ConAgra Foods, Inc. 13,600 352,784
Kraft Foods, Inc., Class A 11,100 357,531
---------------
710,315
---------------
Household Products (3.7%)
Clorox Co. 9,700 474,136
Kimberly-Clark Corp. 6,700 395,702
Procter & Gamble Co. 5,300 535,724
---------------
1,405,562
---------------
Tobacco (1.0%)
Altria Group, Inc. 6,945 386,073
---------------
Energy (14.2%)
Energy Equipment & Services (3.6%)
Baker Hughes, Inc. 14,400 505,152
Halliburton Co. 28,600 862,290
---------------
1,367,442
---------------
Oil & Gas (10.6%)
BP PLC, ADR 18,700 890,120
ConocoPhillips 13,900 915,732
Exxon Mobil Corp. 30,800 1,256,332
Marathon Oil Corp. 17,600 571,648
Royal Dutch Petroleum Co., N.Y. Registered Shares 8,500 402,900
---------------
4,036,732
---------------
</Table>
See Accompanying Notes to Financial Statements.
45
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Financials (31.3%)
Banks (10.7%)
Bank of America Corp. 7,200 $ 586,512
Bank of New York Co., Inc. 19,900 631,825
Bank One Corp. 12,526 633,941
Fifth Third Bancorp 4,000 231,160
National City Corp. 6,875 237,325
U.S. Bancorp 32,100 907,467
Wells Fargo & Co. 15,200 872,632
---------------
4,100,862
---------------
Diversified Financials (12.5%)
American Express Co. 8,500 440,640
Citigroup, Inc. 36,421 1,802,111
Countrywide Financial Corp. 2,766 231,099
Freddie Mac 6,480 404,482
Goldman Sachs Group, Inc. 2,004 199,498
J.P. Morgan Chase & Co. 15,238 592,606
Merrill Lynch & Co., Inc. 6,498 382,017
Morgan Stanley 6,568 382,323
State Street Corp. 6,000 323,100
---------------
4,757,876
---------------
Insurance (6.6%)
Aflac, Inc. 4,000 147,520
Ambac Financial Group, Inc. 2,500 186,925
American International Group, Inc. 11,100 770,895
Berkshire Hathaway, Inc., Class B (a) 80 238,480
Lincoln National Corp. 6,941 306,445
Travelers Property Casualty Corp., Class B 25,800 466,980
Willis Group Holdings Ltd. 10,766 398,342
---------------
2,515,587
---------------
Real Estate (1.5%)
Archstone-Smith Trust, REIT 6,800 186,524
Kimco Realty Corp., REIT 4,163 192,039
Vornado Realty Trust, REIT 3,397 190,062
---------------
568,625
---------------
Health Care (5.5%)
Health Care Providers & Services (2.5%)
Aetna, Inc. 10,900 763,000
McKesson Corp. 6,346 186,446
---------------
949,446
---------------
Pharmaceuticals (3.0%)
Bristol-Myers Squibb Co. 6,694 187,767
Johnson & Johnson 4,200 224,364
Merck & Co., Inc. 4,209 200,348
Pfizer, Inc. 14,600 534,798
---------------
1,147,277
---------------
</Table>
See Accompanying Notes to Financial Statements.
46
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Industrials (10.9%)
Aerospace & Defense (3.0%)
General Dynamics Corp. 4,100 $ 374,863
Raytheon Co. 10,400 317,304
United Technologies Corp. 4,700 449,038
---------------
1,141,205
---------------
Commercial Services & Supplies (2.9%)
Avery Dennison Corp. 6,200 385,392
Waste Management, Inc. 26,400 732,864
---------------
1,118,256
---------------
Industrial Conglomerates (3.1%)
Honeywell International, Inc. 15,200 549,024
Textron, Inc. 11,500 612,720
---------------
1,161,744
---------------
Machinery (1.9%)
Deere & Co. 5,928 371,093
Dover Corp. 8,900 367,748
---------------
738,841
---------------
Information Technology (6.6%)
Communications Equipment (1.5%)
Nokia Corp., ADR 27,000 557,820
---------------
Computers & Peripherals (2.2%)
Hewlett-Packard Co. 15,233 362,393
International Business Machines Corp. 4,700 466,381
---------------
828,774
---------------
Information Technology Consulting & Services (1.0%)
Accenture Ltd., Class A (a) 16,737 396,165
---------------
Office Electronics (1.5%)
Xerox Corp. (a) 39,700 581,208
---------------
Software (0.4%)
Microsoft Corp. 6,200 171,430
---------------
Materials (3.4%)
Chemicals (1.4%)
Air Products & Chemicals, Inc. 10,914 544,718
---------------
Paper & Forest Products (2.0%)
MeadWestvaco Corp. 16,400 442,308
Weyerhaeuser Co. 5,111 314,122
---------------
756,430
---------------
</Table>
See Accompanying Notes to Financial Statements.
47
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Telecommunication Services (5.4%)
Diversified Telecommunication Services (5.4%)
BellSouth Corp. 23,600 $ 689,828
CenturyTel, Inc. 4,700 124,080
SBC Communications, Inc. 24,800 632,400
Verizon Communications, Inc. 16,900 622,934
---------------
2,069,242
---------------
Utilities (5.7%)
Electric Utilities (5.7%)
American Electric Power Co., Inc. 13,400 437,510
Consolidated Edison, Inc. 15,400 674,982
Entergy Corp. 5,128 299,885
Southern Co. 9,570 285,186
TXU Corp. 20,100 482,400
---------------
2,179,963
---------------
Total Common Stocks
(Cost of $35,085,687) 38,017,508
---------------
Investment Management Company (0.9%)
iShares Russell 1000 Value Index
(Cost of $328,562) 6,112 362,870
---------------
<Caption>
PAR
-------------
Short-Term Obligation (0.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Bond
maturing 08/15/14, market value of $190,000
(repurchase proceeds $184,014)
(Cost of $184,000) $ 184,000 184,000
---------------
Total Investments (101.0%)
(Cost of $35,598,249) (b) 38,564,378
Other Assets & Liabilities, Net (-1.0%) (381,246)
---------------
Net Assets (100.0%) $ 38,183,132
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
-------------------- -----------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
48
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (99.5%)
Consumer Discretionary (18.2%)
Hotels, Restaurants & Leisure (0.6%)
Yum! Brands, Inc. (a) 6,900 $ 233,979
---------------
Household Durables (0.3%)
Matsushita Electric Industrial Co., Ltd., ADR 7,200 108,000
---------------
Internet & Catalog Retail (1.1%)
eBay, Inc. (a) 6,600 442,398
---------------
Media (5.6%)
Clear Channel Communications, Inc. 8,300 373,417
Omnicom Group, Inc. 4,000 329,600
Viacom, Inc., Class B 23,600 951,080
Walt Disney Co. 18,000 432,000
XM Satellite Radio Holdings, Inc., Class A (a) 6,700 158,120
---------------
2,244,217
---------------
Multi-Line Retail (3.8%)
Costco Wholesale Corp. (a) 13,900 515,412
Wal-Mart Stores, Inc. 18,500 996,225
---------------
1,511,637
---------------
Specialty Retail (6.0%)
Bed Bath & Beyond, Inc. (a) 8,900 361,429
Best Buy Co., Inc. 8,300 418,237
Chico's FAS, Inc. (a) 8,100 298,404
Home Depot, Inc. 10,500 372,435
Lowe's Companies, Inc. 17,800 953,190
---------------
2,403,695
---------------
Textiles, Apparel & Luxury Goods (0.8%)
Coach, Inc. (a) 8,800 311,784
---------------
Consumer Staples (5.4%)
Beverages (1.0%)
PepsiCo, Inc. 8,500 401,710
---------------
Food & Drug Retailing (0.7%)
Sysco Corp. 7,600 288,268
---------------
Food Products (0.8%)
Bunge Ltd. 9,000 307,800
---------------
Household Products (1.2%)
Procter & Gamble Co. 4,800 485,184
---------------
Personal Products (0.7%)
Alberto-Culver Co., Class B 4,700 294,596
---------------
</Table>
See Accompanying Notes to Financial Statements.
49
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Tobacco (1.0%)
Altria Group, Inc. 7,200 $ 400,248
---------------
Energy (1.2%)
Energy Equipment & Services (1.2%)
Noble Corp. (a) 4,000 148,400
Schlumberger Ltd. 5,200 318,136
---------------
466,536
---------------
Financials (5.2%)
Banks (1.3%)
Charter One Financial, Inc. 8,400 304,164
Wells Fargo & Co. 3,500 200,935
---------------
505,099
---------------
Diversified Financials (3.9%)
American Express Co. 3,900 202,176
Citigroup, Inc. 13,500 667,980
MBNA Corp. 14,000 377,440
Merrill Lynch & Co., Inc. 5,500 323,345
---------------
1,570,941
---------------
Health Care (20.1%)
Biotechnology (4.0%)
Amgen, Inc. (a) 17,200 1,109,228
Gilead Sciences, Inc. (a) 9,200 504,804
---------------
1,614,032
---------------
Health Care Equipment & Supplies (6.9%)
Alcon, Inc. 7,200 460,872
Boston Scientific Corp. (a) 16,200 660,798
St. Jude Medical, Inc. (a) 10,500 754,425
Varian Medical Systems, Inc. (a) 5,200 431,288
Zimmer Holdings, Inc. (a) 5,700 436,050
---------------
2,743,433
---------------
Health Care Providers & Services (1.7%)
Caremark Rx, Inc. (a) 24,800 663,400
---------------
Pharmaceuticals (7.5%)
Pfizer, Inc. 57,200 2,095,236
Teva Pharmaceutical Industries Ltd., ADR 14,700 920,073
---------------
3,015,309
---------------
Industrials (14.2%)
Aerospace & Defense (1.0%)
United Technologies Corp. 4,200 401,268
---------------
Commercial Services & Supplies (2.5%)
Cendant Corp. (a) 26,200 593,430
</Table>
See Accompanying Notes to Financial Statements.
50
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Commercial Services & Supplies (continued)
Paychex, Inc. 10,400 $ 389,792
---------------
983,222
---------------
Industrial Conglomerates (9.7%)
3M Co. 8,100 640,629
General Electric Co. 77,400 2,602,962
Tyco International Ltd. 23,250 621,937
---------------
3,865,528
---------------
Machinery (1.0%)
ITT Industries, Inc. 5,600 417,424
---------------
Information Technology (31.5%)
Communications Equipment (5.2%)
Avaya, Inc. (a) 6,500 112,970
Cisco Systems, Inc. (a) 59,900 1,535,836
QUALCOMM, Inc. 7,500 438,150
---------------
2,086,956
---------------
Computers & Peripherals (3.1%)
Dell, Inc. (a) 27,400 917,078
EMC Corp. (a) 17,000 238,680
Nvidia Corp. (a) 3,300 73,425
---------------
1,229,183
---------------
Electronic Equipment & Instruments (2.1%)
Agilent Technologies, Inc. (a) 9,700 357,542
Broadcom Corp., Class A (a) 5,300 215,127
Flextronics International Ltd. (a) 13,200 250,800
---------------
823,469
---------------
Internet Software & Services (0.5%)
Yahoo!, Inc. (a) 4,200 196,770
---------------
Information Technology Consulting & Services (0.6%)
Cognizant Technology Solutions Corp. (a) 4,400 237,732
---------------
Semiconductor Equipment & Products (10.7%)
Advanced Micro Devices, Inc. (a) 3,500 52,010
Analog Devices, Inc. (a) 2,900 138,765
ASML Holding NV, N.Y. Registered Shares (a) 14,000 269,640
Intel Corp. 55,400 1,695,240
Linear Technology Corp. 4,700 188,000
Marvell Technology Group Ltd. (a) 5,200 216,320
Maxim Integrated Products, Inc. 1,900 97,185
Microchip Technology, Inc. 7,000 201,600
QLogic Corp. (a) 4,500 202,320
Samsung Electronics Co., Ltd., GDR 1,829 405,581
Silicon Laboratories, Inc. (a) 2,100 107,667
Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) 17,000 190,060
Texas Instruments, Inc. 10,700 335,445
Xilinx, Inc. (a) 4,600 192,786
---------------
4,292,619
---------------
</Table>
See Accompanying Notes to Financial Statements.
51
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Software (9.3%)
Amdocs Ltd. (a) 7,600 $ 215,612
Electronic Arts, Inc. (a) 8,000 374,880
Mercury Interactive Corp. (a) 1,900 89,186
Microsoft Corp. 59,700 1,650,705
Oracle Corp. (a) 28,400 392,204
SAP AG, ADR 13,400 555,564
Symantec Corp. (a) 5,700 221,160
VERITAS Software Corp. (a) 6,700 220,162
---------------
3,719,473
---------------
Materials (2.9%)
Chemicals (1.5%)
Praxair, Inc. 16,300 577,183
---------------
Metals & Mining (1.4%)
Alcoa, Inc. 16,600 567,388
---------------
Telecommunication Services (0.8%)
Wireless Telecommunication Services (0.8%)
American Tower Corp., Class A (a) 6,400 70,336
Crown Castle International Corp. (a) 6,900 85,560
Mobile Telesystems, ADR 900 87,138
Vimpel Communications, ADR (a) 1,000 75,390
---------------
318,424
---------------
Total Common Stocks
(Cost of $37,310,956) 39,728,905
---------------
<Caption>
PAR
-------------
Short-Term Obligation (3.2%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by U.S. Treasury Notes with
various maturities to 10/15/08, market value of $1,297,150
(repurchase proceeds $1,268,098)
(Cost of $1,268,000) $ 1,268,000 1,268,000
---------------
Total Investments (102.7%)
(Cost of $38,578,956) (b) 40,996,905
Other Assets & Liabilities, Net (-2.7%) (1,057,559)
---------------
Net Assets (100.0%) $ 39,939,346
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
-------------------- -----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
52
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (96.8%)
Consumer Discretionary (17.5%)
Auto Components (3.9%)
Gentex Corp. 2,000 $ 87,460
Johnson Controls, Inc. 2,800 164,780
Lear Corp. 3,200 210,112
Superior Industries International 3,200 132,416
---------------
594,768
---------------
Hotels, Restaurants & Leisure (3.5%)
Brinker International, Inc. (a) 6,100 215,635
Darden Restaurants, Inc. 2,600 52,000
Harrah's Entertainment, Inc. 3,200 169,600
Six Flags, Inc. (a) 13,400 97,016
---------------
534,251
---------------
Household Durables (0.7%)
Newell Rubbermaid, Inc. 4,500 109,935
---------------
Leisure Equipment & Products (0.7%)
Mattel, Inc. 5,750 108,732
---------------
Media (2.7%)
Knight-Ridder, Inc. 2,300 176,916
Mediacom Communications Corp. (a) 7,200 64,368
New York Times Co., Class A 3,600 174,960
---------------
416,244
---------------
Multi-Line Retail (2.2%)
Federated Department Stores, Inc. 7,100 337,108
---------------
Specialty Retail (3.4%)
Borders Group, Inc. 6,600 145,002
Ross Stores, Inc. 5,300 148,135
TJX Companies, Inc. 10,400 239,096
---------------
532,233
---------------
Textiles, Apparel & Luxury Goods (0.4%)
Wolverine World Wide, Inc. 3,200 66,624
---------------
Consumer Staples (4.6%)
Beverages (1.0%)
Pepsi Bottling Group, Inc. 5,800 153,758
---------------
Food Products (3.1%)
Dean Foods Co. (a) 11,600 371,200
Hormel Foods Corp. 3,600 97,092
---------------
468,292
---------------
Personal Products (0.5%)
Avon Products, Inc. 1,300 82,316
---------------
</Table>
See Accompanying Notes to Financial Statements.
53
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Energy (6.9%)
Energy Equipment & Services (2.6%)
BJ Services Co. (a) 2,850 $ 111,549
Noble Corp. (a) 3,250 120,575
Transocean, Inc. (a) 4,400 118,536
Weatherford International Ltd. (a) 1,350 54,432
---------------
405,092
---------------
Oil & Gas (4.3%)
Amerada Hess Corp. 3,500 197,365
Occidental Petroleum Corp. 2,150 94,708
XTO Energy, Inc. 13,800 361,974
---------------
654,047
---------------
Financials (22.3%)
Banks (12.1%)
Banknorth Group, Inc. 5,800 186,760
Charter One Financial, Inc. 5,200 188,292
City National Corp. 3,050 184,586
Cullen/Frost Bankers, Inc. 2,750 111,183
Golden West Financial Corp. 3,600 373,428
Greenpoint Financial Corp. 5,200 205,816
North Fork Bancorporation, Inc. 5,300 223,395
Sovereign Bancorp, Inc. 10,200 230,622
Webster Financial Corp. 3,350 168,672
---------------
1,872,754
---------------
Diversified Financials (2.8%)
Bear Stearns Companies, Inc. 1,600 131,760
Janus Capital Group, Inc. 14,400 241,632
Lehman Brothers Holdings, Inc. 750 61,575
---------------
434,967
---------------
Insurance (7.4%)
Ambac Financial Group, Inc. 3,150 235,526
Cincinnati Financial Corp. 2,150 93,138
Loews Corp. 2,300 123,418
Nationwide Financial Services, Class A 3,150 112,928
Old Republic International Corp. 2,000 51,740
PMI Group, Inc. 5,200 200,824
Radian Group, Inc. 3,900 181,584
St. Paul Companies, Inc. 3,200 134,816
---------------
1,133,974
---------------
Health Care (4.5%)
Health Care Equipment & Supplies (1.5%)
Biomet, Inc. 3,600 139,176
Millipore Corp. (a) 1,800 93,510
---------------
232,686
---------------
</Table>
See Accompanying Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Health Care Providers & Services (3.0%)
Anthem, Inc. (a) 250 $ 20,445
First Health Group Corp. (a) 5,500 109,010
HCA, Inc. 3,500 157,150
WellPoint Health Networks, Inc. (a) 1,650 173,250
---------------
459,855
---------------
Industrials (13.0%)
Aerospace & Defense (0.9%)
Alliant Techsystems, Inc. (a) 1,950 109,200
Northrop Grumman Corp. 350 33,848
---------------
143,048
---------------
Air Freight & Logistics (0.5%)
CNF, Inc. 2,550 81,447
---------------
Airlines (0.7%)
AMR Corp. (a) 6,300 103,320
---------------
Commercial Services & Supplies (3.9%)
Brink's Co. 8,600 203,906
Cendant Corp. (a) 7,200 163,080
DST Systems, Inc. (a) 1,750 74,918
Manpower, Inc. 3,500 162,330
---------------
604,234
---------------
Electrical Equipment (0.6%)
Ametek, Inc. 1,900 97,850
---------------
Industrial Conglomerates (1.4%)
Carlisle Companies, Inc. 3,600 209,376
---------------
Machinery (5.0%)
AGCO Corp. (a) 2,900 58,464
Dover Corp. 3,050 126,026
Ingersoll-Rand Co., Ltd., Class A 2,400 159,672
Mueller Industries, Inc. (a) 2,000 61,640
Navistar International Corp. (a) 5,700 271,035
Parker Hannifin Corp. 1,750 96,232
---------------
773,069
---------------
Information Technology (8.8%)
Communications Equipment (1.6%)
Andrew Corp. (a) 14,100 241,674
---------------
Electronic Equipment & Instruments (4.8%)
Amphenol Corp., Class A (a) 3,700 244,459
Arrow Electronics, Inc. (a) 5,200 139,152
AVX Corp. 6,000 104,460
</Table>
See Accompanying Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Electronic Equipment & Instruments (continued)
Littelfuse, Inc. (a) 700 $ 20,300
Varian, Inc. (a) 3,200 128,000
Vishay Intertechnology, Inc. (a) 4,500 104,580
---------------
740,951
---------------
Information Technology Consulting & Services (1.1%)
Affiliated Computer Services, Inc., Class A (a) 3,200 177,440
---------------
Office Electronics (0.3%)
Zebra Technologies Corp., Class A (a) 650 41,990
---------------
Software (1.0%)
Reynolds & Reynolds Co., Class A 5,800 154,338
---------------
Materials (11.9%)
Chemicals (7.6%)
Air Products & Chemicals, Inc. 3,600 179,676
Eastman Chemical Co. 3,600 143,604
Engelhard Corp. 4,300 121,991
International Flavors & Fragrances, Inc. 6,600 241,956
Lubrizol Corp. 3,700 117,475
PPG Industries, Inc. 2,750 160,132
Praxair, Inc. 5,700 201,837
---------------
1,166,671
---------------
Containers & Packaging (1.6%)
Crown Holdings, Inc. (a) 9,400 78,772
Packaging Corp. of America 4,200 90,888
Pactiv Corp. (a) 3,600 78,084
---------------
247,744
---------------
Paper & Forest Products (2.7%)
Boise Cascade Corp. 3,350 108,708
Georgia-Pacific Corp. 5,600 157,360
MeadWestvaco Corp. 5,500 148,335
---------------
414,403
---------------
Telecommunication Services (1.5%)
Wireless Telecommunication Services (1.5%)
Telephone & Data Systems, Inc. 3,600 238,608
---------------
Utilities (5.8%)
Electric Utilities (5.8%)
Allete, Inc. 3,500 114,625
Energy East Corp. 5,100 119,850
Entergy Corp. 2,850 166,668
Exelon Corp. 2,600 174,148
PPL Corp. 2,750 125,730
</Table>
See Accompanying Notes to Financial Statements.
56
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Electric Utilities (continued)
Progress Energy, Inc. 4,200 $ 188,076
---------------
889,097
---------------
Total Common Stocks
(Cost of $13,373,766) 14,922,896
---------------
<Caption>
PAR
-------------
Short-Term Obligation (3.3%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Bond
maturing 08/15/13, market value of $523,467
(repurchase proceeds $511,040)
(Cost of $511,000) $ 511,000 511,000
---------------
Total Investments (100.1%)
(Cost of $13,884,766) (b) 15,433,896
Other Assets & Liabilities, Net (-0.1%) (11,190)
---------------
Net Assets (100.0%) $ 15,422,706
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
See Accompanying Notes to Financial Statements.
57
<Page>
CMG MID CAP GROWTH FUND A
Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (96.1%)
Consumer Discretionary (17.7%)
Auto Components (3.4%)
Autoliv, Inc. 5,420 $ 224,117
Dana Corp. 5,500 114,400
Gentex Corp. 3,235 141,467
---------------
479,984
---------------
Hotels, Restaurants & Leisure (2.1%)
Harrah's Entertainment, Inc. 700 37,100
Hilton Hotels Corp. 6,600 105,600
MGM MIRAGE (a) 1,970 79,608
Outback Steakhouse, Inc. 1,750 77,595
---------------
299,903
---------------
Household Durables (1.8%)
Garmin Ltd. 4,630 246,038
---------------
Internet & Catalog Retail (1.1%)
InterActiveCorp (a) 4,745 153,738
---------------
Leisure Equipment & Products (0.6%)
Brunswick Corp. 2,520 87,822
---------------
Media (2.7%)
Cox Radio, Inc., Class A (a) 4,615 107,391
Univision Communications, Inc., Class A (a) 7,470 264,214
---------------
371,605
---------------
Multi-Line Retail (0.9%)
Dollar Tree Stores, Inc. (a) 3,940 126,119
---------------
Specialty Retail (5.1%)
Bed Bath & Beyond, Inc. (a) 4,055 164,674
CDW Corp. 3,015 204,839
Rent-A-Center, Inc. (a) 2,200 68,574
Staples, Inc. (a) 3,920 104,311
Williams-Sonoma, Inc. (a) 5,455 175,160
---------------
717,558
---------------
Consumer Staples (0.5%)
Food Products (0.5%)
Dean Foods Co. (a) 2,150 68,800
---------------
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Energy (5.9%)
Energy Equipment & Services (2.7%)
BJ Services Co. (a) 2,195 $ 85,912
Nabors Industries Ltd. (a) 1,110 48,840
National-Oilwell, Inc. (a) 5,350 137,548
Patterson-UTI Energy, Inc. (a) 3,245 112,212
---------------
384,512
---------------
Oil & Gas (3.2%)
Apache Corp. 4,150 159,692
Murphy Oil Corp. 2,200 133,232
Pioneer Natural Resources Co. (a) 1,000 31,920
XTO Energy, Inc. 4,705 123,412
---------------
448,256
---------------
Financials (1.5%)
Insurance (1.5%)
Ambac Financial Group, Inc. 1,975 147,671
Stancorp Financial Group, Inc. 1,055 68,575
---------------
216,246
---------------
Health Care (17.9%)
Biotechnology (2.1%)
Amylin Pharmaceuticals, Inc. (a) 4,030 77,860
Gilead Sciences, Inc. (a) 1,075 58,985
ICOS Corp. (a) 3,550 154,993
---------------
291,838
---------------
Health Care Equipment & Supplies (2.8%)
Boston Scientific Corp. (a) 4,000 163,160
Varian Medical Systems, Inc. (a) 2,000 165,880
Zimmer Holdings, Inc. (a) 900 68,850
---------------
397,890
---------------
Health Care Providers & Services (7.8%)
Anthem, Inc. (a) 1,540 125,941
Caremark Rx, Inc. (a) 8,390 224,432
Community Health Systems, Inc. (a) 4,045 114,312
DaVita, Inc. (a) 3,915 157,070
Health Management Associates, Inc., Class A 2,550 62,500
Manor Care, Inc. 4,360 155,652
UnitedHealth Group, Inc. 2,460 149,765
WellPoint Health Networks, Inc. (a) 1,015 106,575
---------------
1,096,247
---------------
Pharmaceuticals (5.2%)
Barr Laboratories, Inc. (a) 2,450 184,460
Endo Pharmaceuticals Holdings, Inc. (a) 4,500 97,335
IVAX Corp. (a) 5,800 145,000
Medicis Pharmaceutical Corp., Class A 5,000 181,800
Teva Pharmaceutical Industries Ltd., ADR 1,845 115,479
---------------
724,074
---------------
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Industrials (12.7%)
Aerospace & Defense (0.9%)
Raytheon Co. 4,205 $ 128,295
---------------
Commercial Services & Supplies (9.7%)
Allied Waste Industries, Inc. (a) 12,230 166,939
CheckFree Corp. (a) 3,970 124,618
ChoicePoint, Inc. (a) 4,195 161,507
Corporate Executive Board Co. (a) 3,245 154,949
DST Systems, Inc. (a) 2,180 93,326
Education Management Corp. (a) 6,560 220,219
Manpower, Inc. 3,300 153,054
Monster Worldwide, Inc. (a) 7,570 185,314
Robert Half International, Inc. (a) 4,170 97,953
---------------
1,357,879
---------------
Electrical Equipment (1.3%)
American Power Conversion Corp. 7,185 178,116
---------------
Trading Companies & Distributors (0.8%)
Fastenal Co. 2,345 112,748
---------------
Information Technology (38.6%)
Communications Equipment (6.1%)
3Com Corp. (a) 14,865 114,460
Avaya, Inc. (a) 9,400 163,372
Comverse Technology, Inc. (a) 7,450 131,120
Foundry Networks, Inc. (a) 3,000 71,490
Polycom, Inc. (a) 8,900 210,663
UTStarcom, Inc. (a) 4,770 159,700
---------------
850,805
---------------
Computers & Peripherals (1.2%)
Lexmark International, Inc. (a) 1,990 164,951
---------------
Electronic Equipment & Instruments (8.1%)
Agilent Technologies, Inc. (a) 6,590 242,907
Amphenol Corp., Class A (a) 5,215 344,555
AU Optronics Corp., ADR 5,345 80,709
Flextronics International Ltd. (a) 6,000 114,000
Sanmina-SCI Corp. (a) 7,320 95,965
Symbol Technologies, Inc. 4,395 76,034
Vishay Intertechnology, Inc. (a) 7,590 176,392
---------------
1,130,562
---------------
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Semiconductor Equipment & Products (11.4%)
Altera Corp. (a) 3,485 $ 78,029
Amkor Technology, Inc. (a) 9,310 162,087
ASML Holding NV, N.Y. Registered Shares (a) 7,490 144,257
Fairchild Semiconductor International, Inc. (a) 6,770 165,865
Marvell Technology Group Ltd. (a) 1,795 74,672
Microchip Technology, Inc. 8,625 248,400
National Semiconductor Corp. (a) 2,755 105,930
PMC-Sierra, Inc. (a) 3,100 67,921
QLogic Corp. (a) 2,050 92,168
Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) 16,114 180,155
Teradyne, Inc. (a) 6,530 175,657
United Microelectronics Corp., ADR (a) 18,860 102,033
---------------
1,597,174
---------------
Software (11.8%)
Adobe Systems, Inc. 2,140 82,304
Amdocs Ltd. (a) 8,360 237,173
BEA Systems, Inc. (a) 7,820 98,767
BMC Software, Inc. (a) 7,025 139,798
Fair Isaac Corp. 3,750 222,638
Intuit, Inc. (a) 2,160 108,907
Mercury Interactive Corp. (a) 3,015 141,524
Novell, Inc. (a) 10,520 133,604
PeopleSoft, Inc. (a) 5,220 112,491
Siebel Systems, Inc. (a) 8,130 108,373
Symantec Corp. (a) 2,820 109,416
VERITAS Software Corp. (a) 5,095 167,422
---------------
1,662,417
---------------
Materials (0.5%)
Chemicals (0.5%)
Potash Corp. of Saskatchewan, Inc. 800 65,792
---------------
Telecommunication Services (0.8%)
Wireless Telecommunication Services (0.8%)
Nextel Partners, Inc., Class A (a) 8,550 110,552
---------------
Total Common Stocks
(Cost of $12,243,163) 13,469,921
---------------
Investment Management Company (1.0%)
iShares MSCI Japan Index Fund
(Cost of $133,909) 14,430 139,971
---------------
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
PAR VALUE
------------- ---------------
Short-Term Obligation (6.8%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Note
maturing 05/15/08, market value of $982,350
(repurchase proceeds $960,074)
(Cost of $960,000) $ 960,000 $ 960,000
---------------
Total Investments (103.9%)
(Cost of $13,337,072) (b) 14,569,892
Other Assets & Liabilities, Net (-3.9)% (548,186)
---------------
NET ASSETS (100.0%) $ 14,021,706
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
-------------------- -----------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
62
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (98.4%)
Consumer Discretionary (19.1%)
Auto Components (3.3%)
Autoliv, Inc. 30,800 $ 1,273,580
Dana Corp. 31,800 661,440
Gentex Corp. 15,365 671,911
---------------
2,606,931
---------------
Hotels, Restaurants & Leisure (1.8%)
Hilton Hotels Corp. 38,600 617,600
MGM MIRAGE (a) 9,900 400,059
Outback Steakhouse, Inc. 9,320 413,249
---------------
1,430,908
---------------
Household Durables (3.1%)
Garmin Ltd. 20,980 1,114,877
Harman International Industries, Inc. 17,560 1,303,479
---------------
2,418,356
---------------
Internet & Catalog Retail (1.1%)
InterActiveCorp (a) 27,090 877,716
---------------
Leisure Equipment & Products (0.6%)
Brunswick Corp. 13,200 460,020
---------------
Media (3.5%)
Entercom Communications Corp. (a) 20,185 961,008
Getty Images, Inc. (a) 10,300 508,305
Univision Communications, Inc., Class A (a) 36,730 1,299,140
---------------
2,768,453
---------------
Multi-Line Retail (0.9%)
Dollar Tree Stores, Inc. (a) 21,470 687,255
---------------
Specialty Retail (4.3%)
Advance Auto Parts, Inc. (a) 15,020 584,578
Bed Bath & Beyond, Inc. (a) 7,360 298,890
CDW Corp. 16,480 1,119,651
Rent-A-Center, Inc. (a) 12,000 374,040
Williams-Sonoma, Inc. (a) 31,290 1,004,722
---------------
3,381,881
---------------
Textiles, Apparel & Luxury Goods (0.5%)
Columbia Sportswear Co. (a) 7,490 397,944
---------------
Consumer Staples (0.6%)
Personal Products (0.6%)
NBTY, Inc. (a) 14,700 481,866
---------------
</Table>
See Accompanying Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Energy (6.9%)
Energy Equipment & Services (3.5%)
BJ Services Co. (a) 12,180 $ 476,725
Nabors Industries Ltd. (a) 6,490 285,560
National-Oilwell, Inc. (a) 29,120 748,675
Patterson-UTI Energy, Inc. (a) 19,180 663,244
Precision Drilling Corp. (a) 12,850 595,341
---------------
2,769,545
---------------
Oil & Gas (3.4%)
Apache Corp. 20,130 774,602
Murphy Oil Corp. 12,550 760,028
Pioneer Natural Resources Co. (a) 6,100 194,712
XTO Energy, Inc. 34,103 894,522
---------------
2,623,864
---------------
Financials (1.7%)
Insurance (1.7%)
Allmerica Financial Corp. (a) 14,600 506,328
Ambac Financial Group, Inc. 10,740 803,030
---------------
1,309,358
---------------
Health Care (18.8%)
Biotechnology (1.9%)
Amylin Pharmaceuticals, Inc. (a) 22,300 430,836
Gilead Sciences, Inc. (a) 6,470 355,009
ICOS Corp. (a) 16,990 741,783
---------------
1,527,628
---------------
Health Care Equipment & Supplies (2.6%)
Boston Scientific Corp. (a) 17,180 700,772
Dade Behring Holdings, Inc. (a) 11,500 445,625
Varian Medical Systems, Inc. (a) 11,100 920,634
---------------
2,067,031
---------------
Health Care Providers & Services (9.2%)
Anthem, Inc. (a) 8,247 674,440
Caremark Rx, Inc. (a) 48,955 1,309,546
Community Health Systems, Inc. (a) 15,730 444,530
Coventry Health Care, Inc. (a) 6,360 421,668
DaVita, Inc. (a) 25,365 1,017,644
Health Management Associates, Inc., Class A 14,630 358,581
Manor Care, Inc. 24,600 878,220
Mid Atlantic Medical Services, Inc. (a) 6,110 413,952
Renal Care Group, Inc. (a) 25,100 1,089,591
WellPoint Health Networks, Inc. (a) 5,950 624,750
---------------
7,232,922
---------------
Pharmaceuticals (5.1%)
Barr Laboratories, Inc. (a) 13,720 1,032,979
Endo Pharmaceuticals Holdings, Inc. (a) 26,000 562,380
IVAX Corp. (a) 32,200 805,000
</Table>
See Accompanying Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Pharmaceuticals (continued)
Medicis Pharmaceutical Corp., Class A 26,800 $ 974,448
Teva Pharmaceutical Industries Ltd., ADR 9,820 614,634
---------------
3,989,441
---------------
Industrials (10.6%)
Aerospace & Defense (0.3%)
United Defense Industries, Inc. (a) 8,800 257,840
---------------
Commercial Services & Supplies (8.6%)
Allied Waste Industries, Inc. (a) 63,320 864,318
CheckFree Corp. (a) 21,000 659,190
ChoicePoint, Inc. (a) 22,816 878,416
DST Systems, Inc. (a) 8,540 365,597
Education Management Corp. (a) 47,560 1,596,589
Global Payments, Inc. 9,560 444,540
Manpower, Inc. 8,400 389,592
Monster Worldwide, Inc. (a) 40,860 1,000,253
Robert Half International, Inc. (a) 23,300 547,317
---------------
6,745,812
---------------
Electrical Equipment (1.2%)
American Power Conversion Corp. 37,620 932,600
---------------
Trading Companies & Distributors (0.5%)
Fastenal Co. 8,850 425,508
---------------
Information Technology (39.0%)
Communications Equipment (6.9%)
3Com Corp. (a) 79,960 615,692
Advanced Fibre Communications, Inc. (a) 31,670 747,729
Comverse Technology, Inc. (a) 41,320 727,232
F5 Networks, Inc. (a) 21,710 738,357
Foundry Networks, Inc. (a) 16,500 393,195
Polycom, Inc. (a) 56,330 1,333,331
UTStarcom, Inc. (a) 25,540 855,079
---------------
5,410,615
---------------
Computers & Peripherals (2.7%)
Electronics for Imaging, Inc. (a) 49,285 1,319,360
Lexmark International, Inc. (a) 10,070 834,702
---------------
2,154,062
---------------
Electronic Equipment & Instruments (6.2%)
Amphenol Corp., Class A (a) 27,870 1,841,371
AVX Corp. 50,910 886,343
Roper Industries, Inc. 5,600 271,544
Sanmina-SCI Corp. (a) 40,340 528,857
Symbol Technologies, Inc. 25,230 436,479
Vishay Intertechnology, Inc. (a) 37,770 877,775
---------------
4,842,369
---------------
</Table>
See Accompanying Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Internet Software & Services (0.7%)
Ask Jeeves, Inc. (a) 25,100 $ 544,921
---------------
Information Technology Consulting & Services (0.3%)
Anteon International Corp. (a) 7,000 203,630
---------------
Semiconductor Equipment & Products (8.4%)
Amkor Technology, Inc. (a) 48,180 838,814
ASML Holding NV, N.Y. Registered Shares (a) 23,000 442,980
Conexant Systems, Inc. (a) 57,940 386,460
Fairchild Semiconductor International, Inc. (a) 36,500 894,250
Integrated Device Technology, Inc. (a) 52,000 947,440
Lattice Semiconductor Corp. (a) 32,600 349,798
Marvell Technology Group Ltd. (a) 9,850 409,760
Microchip Technology, Inc. 47,910 1,379,808
National Semiconductor Corp. (a) 15,500 595,975
PMC-Sierra, Inc. (a) 17,100 374,661
---------------
6,619,946
---------------
Software (13.8%)
Adobe Systems, Inc. 9,300 357,678
Amdocs Ltd. (a) 44,420 1,260,195
Autodesk, Inc. 24,580 628,019
BEA Systems, Inc. (a) 41,700 526,671
BMC Software, Inc. (a) 38,810 772,319
Fair Isaac Corp. 26,040 1,545,995
Intuit, Inc. (a) 10,965 552,855
Macromedia, Inc. (a) 39,700 716,585
Mercury Interactive Corp. (a) 15,530 728,978
National Instruments Corp. 13,000 640,510
Novell, Inc. (a) 58,700 745,490
PeopleSoft, Inc. (a) 27,800 599,090
Siebel Systems, Inc. (a) 45,100 601,183
Symantec Corp. (a) 15,440 599,072
VERITAS Software Corp. (a) 18,610 611,525
---------------
10,886,165
---------------
Materials (0.9%)
Chemicals (0.5%)
Potash Corp. of Saskatchewan, Inc. 4,900 402,976
---------------
Metals & Mining (0.4%)
Arch Coal, Inc. 6,100 168,482
Massey Energy Co. 9,100 182,000
---------------
350,482
---------------
Telecommunication Services (0.8%)
Wireless Telecommunication Services (0.8%)
Nextel Partners, Inc., Class A (a) 46,800 605,124
---------------
Total Common Stocks
(Cost of $58,783,958) 77,413,169
---------------
</Table>
See Accompanying Notes to Financial Statements.
66
<Page>
<Table>
<Caption>
PAR VALUE
------------- ---------------
Short-Term Obligation (0.2%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Note
maturing 02/15/04, market value of $138,038
(repurchase proceeds $134,010)
(Cost of $134,000) $ 134,000 $ 134,000
---------------
Total Investments (98.6%)
(Cost of $58,917,958) (b) 77,547,169
Other Assets & Liabilities, Net (1.4%) 1,080,050
---------------
Net Assets (100.0%) $ 78,627,219
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
------------ -----------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
67
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (99.7%)
Consumer Discretionary (17.3%)
Auto Components (1.3%)
BorgWarner, Inc. 2,300 $ 213,716
Federal Signal Corp. 3,650 67,525
Modine Manufacturing Co. 3,500 93,695
Standard Motor Products, Inc. 8,000 111,360
---------------
486,296
---------------
Hotels, Restaurants & Leisure (3.1%)
Bally Total Fitness Holding Corp. (a) 14,800 113,960
Bob Evans Farms, Inc. 4,061 128,043
Landry's Restaurants, Inc. 7,700 213,367
Lone Star Steakhouse & Saloon, Inc. 10,300 265,843
Marcus Corp. 4,782 78,903
Prime Hospitality Corp. (a) 12,700 130,302
Scientific Games Corp., Class A (a) 14,000 209,860
---------------
1,140,278
---------------
Household Durables (2.3%)
American Greetings Corp., Class A (a) 5,700 119,586
CSS Industries, Inc. 4,700 141,000
Interface, Inc., Class A (a) 16,000 123,680
Jacuzzi Brands, Inc. (a) 15,200 130,720
Kimball International, Inc., Class B 10,400 169,624
Russ Berrie & Co, Inc. 1,600 50,608
Toro Co. 1,700 80,920
---------------
816,138
---------------
Leisure Equipment & Products (0.9%)
JAKKS Pacific, Inc. (a) 9,900 139,590
Johnson Outdoors, Inc., Class A (a) 5,300 90,206
M&F Worldwide Corp. (a) 5,600 79,912
Travis Boats & Motors, Inc. (a) 300 300
---------------
310,008
---------------
Media (2.4%)
Alliance Atlantis Communications, Inc., Class B (a) 15,800 255,644
Catalina Marketing Corp. (a) 6,900 131,790
Journal Communications, Inc., Class A 6,200 119,164
Liberty Corp. 4,400 207,020
Media General, Inc., Class A 2,400 154,320
---------------
867,938
---------------
Multi-Line Retail (0.5%)
BJ's Wholesale Club, Inc. (a) 4,200 90,930
ShopKo Stores, Inc. (a) 6,900 97,152
---------------
188,082
---------------
Specialty Retail (4.2%)
Building Materials Holding Corp. 4,600 70,564
CompuCom Systems, Inc. (a) 16,353 96,810
</Table>
See Accompanying Notes to Financial Statements.
68
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Specialty Retail (continued)
Friedman's, Inc., Class A 3,960 $ 29,066
GameStop Corp., Class A (a) 7,700 127,820
Goody's Family Clothing, Inc. 13,400 113,230
Hughes Supply, Inc. 4,305 212,882
Linens 'N Things, Inc. (a) 4,100 118,326
Monro Muffler Brake, Inc. (a) 10,120 234,582
Movie Gallery, Inc. 3,300 66,198
Rent-Way, Inc. (a) 22,000 195,800
TBC Corp. (a) 2,800 75,600
United Rentals, Inc. (a) 7,500 168,000
---------------
1,508,878
---------------
Textiles, Apparel & Luxury Goods (2.6%)
Delta Apparel, Inc. 3,100 58,900
Hampshire Group Ltd. (a) 5,300 162,445
Kellwood Co. 6,900 281,589
Maxwell Shoe Co., Inc., Class A (a) 10,800 189,864
Russell Corp. 7,600 133,836
Stride Rite Corp. 9,500 104,310
---------------
930,944
---------------
Consumer Staples (3.2%)
Food & Drug Retailing (0.8%)
NeighborCare, Inc. (a) 8,700 197,577
Winn-Dixie Stores, Inc. 10,600 69,536
---------------
267,113
---------------
Food Products (2.4%)
Central Garden & Pet Co. (a) 4,300 145,641
Corn Products International, Inc. 7,600 267,292
Omega Protein Corp. (a) 10,800 85,536
Ralcorp Holdings, Inc. (a) 7,600 251,712
Sensient Technologies Corp. 6,300 128,709
---------------
878,890
---------------
Energy (4.5%)
Energy Equipment & Services (1.6%)
Lufkin Industries, Inc. 6,200 187,364
Universal Compression Holdings, Inc. (a) 5,400 165,618
Willbros Group, Inc. (a) 16,600 213,808
---------------
566,790
---------------
Oil & Gas (2.9%)
Cimarex Energy Co. (a) 1,700 44,846
Harvest Natural Resources, Inc. (a) 13,500 147,555
Stone Energy Corp. (a) 5,300 223,236
Vintage Petroleum, Inc. 9,700 121,444
Western Gas Resources, Inc. 2,800 129,920
</Table>
See Accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Oil & Gas (continued)
Westport Resources Corp. (a) 7,900 $ 230,601
Whiting Petroleum Corp. (a) 8,300 159,692
---------------
1,057,294
---------------
Financials (22.5%)
Banks (10.6%)
BancFirst Corp. 1,000 55,920
BancorpSouth, Inc. 7,200 161,352
BancTrust Financial Group, Inc. 3,015 48,572
Bank of Granite Corp. 6,900 150,620
Bryn Mawr Bank Corp. 8,500 189,975
Capitol Bancorp Ltd. 3,100 90,644
Chemical Financial Corp. 6,800 235,484
Chittenden Corp. 7,800 254,670
Community First Bankshares, Inc. 5,400 149,904
Community Trust Bancorp, Inc. 4,160 125,299
Corus Bankshares, Inc. 7,300 264,406
First Citizens BancShares, Inc., Class A 1,100 129,822
First Financial Bankshares, Inc. 3,550 142,504
Greater Bay Bancorp 5,500 149,710
Hancock Holding Co. 1,600 92,000
MainSource Financial Group, Inc. 2,830 90,758
MASSBANK Corp. 2,300 90,965
Merchants Bancshares, Inc. 5,500 163,845
MetroCorp. Bancshares, Inc. 1,100 16,115
Mid-State Bancshares 9,900 241,263
Northrim BanCorp, Inc. 5,100 115,566
Omega Financial Corp. 1,200 43,427
Riggs National Corp. 10,900 167,315
S.Y. Bancorp, Inc. 1,100 23,452
Simmons First National Corp., Class A 5,100 138,465
Sterling Bancshares, Inc. 7,800 97,344
TriCo Bancshares 7,000 237,300
Whitney Holding Corp. 4,000 161,240
---------------
3,827,937
---------------
Diversified Financials (2.4%)
Cash America International, Inc. 12,800 279,808
LaBranche & Co., Inc. 8,800 87,824
Metris Companies, Inc. (a) 21,100 127,444
MFC Bancorp Ltd. (a) 17,000 371,450
---------------
866,526
---------------
Insurance (4.2%)
AmerUs Group Co. 2,800 102,620
CNA Surety Corp. (a) 8,300 84,162
Commerce Group, Inc. 3,500 147,945
Delphi Financial Group, Inc., Class A 7,300 276,232
Horace Mann Educators Corp. 8,300 129,480
</Table>
See Accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Insurance (continued)
Kansas City Life Insurance Co. 800 $ 36,792
Navigators Group, Inc. (a) 3,200 102,080
Phoenix Companies, Inc. 17,600 223,520
RLI Corp. 5,100 207,264
State Auto Financial Corp. 5,200 128,804
Universal American Financial Corp. (a) 7,200 74,808
---------------
1,513,707
---------------
Real Estate (5.3%)
American Financial Realty Trust 3,300 59,796
Boykin Lodging Co., REIT (a) 14,100 133,527
EastGroup Properties, Inc., REIT 5,200 180,700
Equity One, Inc., REIT 8,200 149,240
First Potomac Realty Trust, REIT 3,100 62,310
Getty Realty Corp., REIT 5,500 146,740
Gladstone Commercial Corp., REIT 6,600 111,210
Keystone Property Trust, REIT 5,600 131,992
Mid-America Apartment Communities, Inc., REIT 5,500 189,805
Nationwide Health Properties, Inc., REIT 9,000 196,200
PS Business Parks, Inc., REIT 5,800 251,140
Tanger Factory Outlet Centers, Inc., REIT 2,000 83,800
Universal Health Realty Income Trust, REIT 3,700 112,665
Urstadt Biddle Properties, Inc., Class A, REIT 8,100 119,880
---------------
1,929,005
---------------
Health Care (5.1%)
Health Care Equipment & Supplies (0.3%)
Sola International, Inc. (a) 5,100 108,120
---------------
Health Care Providers & Services (4.8%)
Capital Senior Living Corp. (a) 3,800 25,384
Chronimed, Inc. (a) 11,100 100,344
Cross Country Healthcare, Inc. (a) 7,900 145,992
Genesis HealthCare Corp. (a) 4,300 92,880
Hooper Holmes, Inc. 8,900 61,232
Kindred Healthcare, Inc. (a) 4,600 257,508
MAXIMUS, Inc. (a) 2,800 107,800
PAREXEL International Corp. (a) 5,200 89,700
Pediatrix Medical Group, Inc. (a) 4,000 235,200
Province Healthcare Co. (a) 5,600 101,920
Stewart Enterprises, Inc., Class A (a) 26,100 166,779
US Oncology, Inc. (a) 27,000 354,780
---------------
1,739,519
---------------
Industrials (18.9%)
Aerospace & Defense (2.7%)
AAR Corp. (a) 11,635 155,327
Armor Holdings, Inc. (a) 4,300 117,476
Herley Industries, Inc. (a) 5,800 126,324
</Table>
See Accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Aerospace & Defense (continued)
Invision Technologies, Inc. (a) 4,400 $ 162,580
Kaman Corp., Class A 5,274 69,617
Ladish Co., Inc. (a) 12,400 103,168
Precision Castparts Corp. 4,800 224,592
---------------
959,084
---------------
Air Freight & Logistics (0.9%)
Hub Group, Inc., Class A (a) 4,411 104,232
Ryder System, Inc. 5,700 209,760
---------------
313,992
---------------
Airlines (0.8%)
Atlantic Coast Airlines Holdings, Inc. (a) 7,300 62,123
MAIR Holdings, Inc. (a) 6,600 57,750
SkyWest, Inc. 8,700 168,084
---------------
287,957
---------------
Building Products (1.0%)
NCI Building Systems, Inc. (a) 6,300 159,012
Watsco, Inc. 9,600 221,184
---------------
380,196
---------------
Commercial Services & Supplies (5.7%)
ActivCard Corp. (a) 13,500 97,200
Angelica Corp. 3,700 81,400
Casella Waste Systems, Inc., Class A (a) 19,800 279,180
Century Business Services, Inc. (a) 21,900 103,806
Consolidated Graphics, Inc. (a) 8,200 302,498
Danka Business Systems PLC, ADR (a) 21,300 85,200
Electro Rent Corp. (a) 3,600 32,436
First Consulting Group, Inc. (a) 10,629 68,770
Healthcare Services Group, Inc. 7,000 139,650
Imagistics International, Inc. (a) 9,000 359,280
Ionics, Inc. (a) 4,900 134,211
Lightbridge, Inc. (a) 12,400 97,340
NCO Group, Inc. (a) 5,500 133,815
SOURCECORP, Inc. (a) 5,500 145,035
---------------
2,059,821
---------------
Construction & Engineering (1.7%)
Comfort Systems USA, Inc. (a) 18,600 124,434
EMCOR Group, Inc. (a) 2,700 110,187
MasTec, Inc. (a) 3,400 42,704
Quanta Services, Inc. (a) 5,500 44,990
Shaw Group, Inc. (a) 9,100 106,288
Washington Group International, Inc. (a) 5,200 193,336
---------------
621,939
---------------
Electrical Equipment (1.9%)
C&D Technologies, Inc. 8,000 162,640
Genlyte Group, Inc. (a) 3,100 170,500
Tecumseh Products Co., Class A 3,700 164,909
Woodward Governor Co. 3,000 176,700
---------------
674,749
---------------
</Table>
See Accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Machinery (3.4%)
Alamo Group, Inc. 3,900 $ 62,790
Briggs & Stratton Corp. 2,800 184,912
EnPro Industries, Inc. (a) 3,100 55,273
Esterline Technologies Corp. (a) 8,000 222,000
Harsco Corp. 6,200 285,200
Kadant, Inc. (a) 8,100 177,795
Robbins & Myers, Inc. 5,519 111,539
UNOVA, Inc. (a) 4,600 112,746
---------------
1,212,255
---------------
Road & Rail (0.8%)
Covenant Transport, Inc., Class A (a) 6,300 111,258
Dollar Thrifty Automotive Group, Inc. (a) 5,500 136,675
U.S. Xpress Enterprises, Inc., Class A (a) 3,800 53,200
---------------
301,133
---------------
Information Technology (15.8%)
Communications Equipment (2.9%)
Anaren, Inc. (a) 11,100 216,339
Andrew Corp. (a) 13,207 226,368
Black Box Corp. 3,400 176,902
Cable Design Technologies Corp. (a) 10,600 106,106
McDATA Corp., Class A (a) 13,200 116,028
Optical Communication Products, Inc. (a) 21,900 98,550
Tollgrade Communications, Inc. (a) 6,800 124,780
---------------
1,065,073
---------------
Computers & Peripherals (1.4%)
Advanced Digital Information Corp. (a) 2,300 41,032
Electronics for Imaging, Inc. (a) 5,700 152,589
Imation Corp. 1,600 58,640
Innovex, Inc. (a) 10,600 89,570
Intergraph Corp. (a) 3,256 78,958
Iomega Corp. 15,000 89,400
---------------
510,189
---------------
Electronic Equipment & Instruments (3.5%)
Analogic Corp. 2,300 98,210
Anixter International, Inc. (a) 3,400 94,010
Benchmark Electronics, Inc. (a) 3,100 108,996
Checkpoint Systems, Inc. (a) 8,500 169,575
MTS Systems Corp. 9,200 216,200
Nu Horizons Electronics Corp. (a) 14,100 140,154
OSI Systems, Inc. (a) 5,500 113,575
Planar Systems, Inc. (a) 6,500 109,525
Plexus Corp. (a) 4,300 94,299
Vishay Intertechnology, Inc. (a) 5,300 123,172
---------------
1,267,716
---------------
</Table>
See Accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Information Technology Consulting & Services (1.6%)
Acxiom Corp. (a) 8,200 $ 156,046
Agilysys, Inc. 6,800 89,964
American Management Systems, Inc. (a) 9,600 159,072
Computer Horizons Corp. (a) 15,500 64,325
Inforte Corp. (a) 10,600 109,392
---------------
578,799
---------------
Internet Software & Services (1.4%)
Equinix, Inc. (a) 9,300 306,063
Keynote Systems, Inc. (a) 10,700 129,256
Modem Media, Inc. (a) 10,000 76,000
---------------
511,319
---------------
Semiconductor Equipment & Products (2.3%)
DuPont Photomasks, Inc. (a) 6,100 142,923
Exar Corp. (a) 8,600 173,892
FSI International, Inc. (a) 8,900 77,341
MPS Group, Inc. (a) 30,600 313,650
Pericom Semiconductor Corp. (a) 8,500 104,125
---------------
811,931
---------------
Software (2.7%)
Captaris, Inc. (a) 15,700 82,268
Group 1 Software, Inc. (a) 8,000 106,240
Internet Security Systems, Inc. (a) 8,000 142,720
Lawson Software, Inc. (a) 10,600 103,668
MSC.Software Corp. (a) 13,900 141,363
PLATO Learning, Inc. (a) 20,600 242,050
Sybase, Inc. (a) 6,600 142,692
---------------
961,001
---------------
Materials (7.3%)
Chemicals (2.5%)
A. Schulman, Inc. 6,400 111,360
Cytec Industries, Inc. (a) 4,100 143,131
H.B. Fuller Co. 4,800 134,400
Hercules, Inc. (a) 6,200 75,640
Lubrizol Corp. 6,000 190,500
Minerals Technologies, Inc. 3,100 164,083
Stepan Co. 3,800 95,228
---------------
914,342
---------------
Construction Materials (0.9%)
AMCOL International Corp. 5,700 113,487
Centex Construction Products, Inc. 4,000 221,960
---------------
335,447
---------------
Containers & Packaging (1.1%)
AptarGroup, Inc. 3,600 144,252
Greif, Inc., Class A 6,100 230,641
---------------
374,893
---------------
</Table>
See Accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Metals & Mining (2.2%)
Carpenter Technology Corp. 8,700 $ 263,262
IMCO Recycling, Inc. (a) 1,500 12,690
Peabody Energy Corp. 9,200 368,276
RTI International Metals, Inc. (a) 11,000 163,790
---------------
808,018
---------------
Paper & Forest Products (0.6%)
Glatfelter 4,600 55,200
Mercer International, Inc. (a) 10,800 85,860
Schweitzer-Mauduit International, Inc. 2,300 73,370
---------------
214,430
---------------
Telecommunication Services (1.2%)
Diversified Telecommunication Services (0.9%)
Advanced Fibre Communications, Inc. (a) 8,700 205,407
North Pittsburgh Systems, Inc. 6,500 120,445
---------------
325,852
---------------
Wireless Telecommunication Services (0.3%)
Price Communications Corp. (a) 8,000 119,600
---------------
Utilities (3.9%)
Electric Utilities (2.9%)
Central Vermont Public Service Corp. 9,200 218,500
CH Energy Group, Inc. 6,100 281,942
El Paso Electric Co. (a) 10,400 145,392
Maine & Maritimes Corp. 2,000 66,000
MGE Energy, Inc. 3,700 115,921
Northeast Utilities 7,400 142,450
Otter Tail Corp. 3,300 87,615
---------------
1,057,820
---------------
Gas Utilities (0.7%)
Cascade Natural Gas Corp. 3,900 85,293
Northwest Natural Gas Co. 3,000 92,400
WGL Holdings, Inc. 3,200 89,440
---------------
267,133
---------------
Multi-Utilities & Unregulated Power (0.3%)
MDU Resources Group, Inc. 3,750 88,575
---------------
Total Common Stocks
(Cost of $28,749,965) 36,026,727
---------------
</Table>
See Accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
PAR VALUE
------------- ---------------
Short-Term Obligation (0.6%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Bond
maturing 02/15/29, market value of $220,153
(repurchase proceeds $213,017)
(Cost of $213,000) $ 213,000 $ 213,000
---------------
Total Investments (100.3%)
(Cost of $28,962,965) (b) 36,239,727
Other Assets & Liabilities, Net (-0.3%) (110,284)
---------------
Net Assets (100.0%) $ 36,129,443
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
------------ -----------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
76
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Funds Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (96.9%)
Consumer Discretionary (16.1%)
Hotels, Restaurants & Leisure (4.9%)
Alliance Gaming Corp. (a) 10,300 $ 248,230
Dave & Buster's, Inc. (a) 5,300 66,091
Gaylord Entertainment Co. (a) 9,400 272,882
Pinnacle Entertainment, Inc. (a) 6,700 83,482
Scientific Games Corp., Class A (a) 16,000 239,840
Station Casinos, Inc. 19,300 675,693
---------------
1,586,218
---------------
Household Durables (0.9%)
Meritage Corp. (a) 4,400 285,560
---------------
Media (4.7%)
Cumulus Media, Inc., Class A (a) 11,000 224,840
Journal Communications, Inc., Class A 4,200 80,724
Lin TV Corp., Class A (a) 15,400 375,144
Radio One, Inc., Class D (a) 14,100 259,863
Sinclair Broadcast Group, Inc., Class A (a) 27,100 370,728
TiVo, Inc. (a) 21,600 232,632
---------------
1,543,931
---------------
Specialty Retail (4.8%)
Bombay Co., Inc. (a) 28,300 213,099
Cost Plus, Inc. (a) 9,300 403,434
Party City Corp. (a) 11,800 143,370
PETCO Animal Supplies, Inc. (a) 11,600 367,836
Sharper Image Corp. (a) 11,600 419,456
---------------
1,547,195
---------------
Textiles, Apparel & Luxury Goods (0.8%)
Quiksilver, Inc. (a) 16,100 265,328
---------------
Consumer Staples (1.1%)
Food & Drug Retailing (0.4%)
Performance Food Group Co. (a) 4,400 137,896
---------------
Food Products (0.7%)
American Italian Pasta Co., Class A 5,500 213,400
---------------
Energy (4.6%)
Energy Equipment & Services (2.5%)
Key Energy Services, Inc. (a) 19,300 215,774
Maverick Tube Corp. (a) 17,200 312,352
Unit Corp. (a) 11,400 283,062
---------------
811,188
---------------
</Table>
See Accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Oil & Gas (2.1%)
Patina Oil & Gas Corp. 6,575 $ 288,314
Tom Brown, Inc. (a) 4,300 133,730
Western Gas Resources, Inc. 5,400 250,560
---------------
672,604
---------------
Financials (8.7%)
Banks (4.2%)
Boston Private Financial Holdings, Inc. 8,500 219,130
East West Bancorp, Inc. 5,700 298,111
Investors Financial Services Corp. 9,157 379,466
Mercantile Bank Corp. 6,600 233,897
Prosperity Bancshares, Inc. 10,100 238,865
---------------
1,369,469
---------------
Diversified Financials (2.5%)
Commercial Capital Bancorp, Inc. (a) 10,050 248,738
Jefferies Group, Inc. 8,700 330,078
MTC Technologies, Inc. (a) 7,400 225,922
---------------
804,738
---------------
Insurance (2.0%)
Infinity Property & Casualty Corp. 11,200 408,128
Philadelphia Consolidated Holding Co. (a) 4,800 239,088
---------------
647,216
---------------
Health Care (21.7%)
Biotechnology (7.0%)
BioMarin Pharmaceuticals, Inc. (a) 25,500 203,720
Ciphergen Biosystems, Inc. (a) 12,900 136,353
Cytogen Corp. (a) 19,400 262,094
Harvard Bioscience, Inc. (a) 4,865 43,785
ILEX Oncology, Inc. (a) 12,700 295,275
NeoPharm, Inc. (a) 7,021 131,925
Neurocrine Biosciences, Inc. (a) 4,600 260,314
Protein Design Labs, Inc. (a) 17,200 347,440
Serologicals Corp. (a) 20,800 333,424
Telik, Inc. (a) 11,200 268,722
---------------
2,283,052
---------------
Health Care Equipment & Supplies (6.5%)
Bio-Rad Laboratories, Inc., Class A (a) 5,500 297,275
Conceptus (a) 16,600 166,498
Cytyc Corp. (a) 14,300 231,660
Integra LifeSciences Holdings Corp. (a) 8,000 260,240
LCA-Vision, Inc. (a) 3,200 78,080
Medical Action Industries, Inc. (a) 16,300 290,466
Noven Pharmaceuticals, Inc. (a) 18,000 365,760
SonoSite, Inc. (a) 10,600 259,912
SurModics, Inc. (a) 7,700 159,921
---------------
2,109,812
---------------
</Table>
See Accompanying Notes to Financial Statements.
78
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Health Care Providers & Services (2.7%)
Advisory Board Co (a) 7,900 $ 309,522
America Service Group, Inc. (a) 5,111 143,210
LifePoint Hospitals, Inc. (a) 6,200 213,962
Priority Healthcare Corp., Class B (a) 5,400 139,806
U.S. Physical Therapy, Inc. (a) 5,900 82,600
---------------
889,100
---------------
Pharmaceuticals (5.5%)
Advancis Pharmaceutical Corp (a) 17,300 171,270
Atrix Laboratories, Inc. (a) 9,700 247,059
Caraco Pharmaceutical Laboratories Ltd. (a) 6,000 55,080
DepoMed, Inc. (a) 19,400 144,336
DOV Pharmaceutical, Inc. (a) 14,200 190,990
Eyetech Pharmaceutical, Inc. 6,300 9,719
Nektar Therapeutics (a) 18,900 322,812
Salix Pharmaceuticals Ltd. (a) 12,500 285,375
Taro Pharmaceuticals Industries Ltd. (a) 5,900 368,160
---------------
1,794,801
---------------
Industrials (11.3%)
Aerospace & Defense (0.8%)
DRS Technologies, Inc. (a) 8,800 252,648
---------------
Air Freight & Logistics (1.5%)
EGL, Inc. (a) 19,300 309,765
UTI Worldwide, Inc. 4,300 177,203
---------------
486,968
---------------
Commercial Services & Supplies (3.2%)
Arbitron, Inc. (a) 6,700 291,651
Corporate Executive Board Co. (a) 2,800 133,700
Exult, Inc. (a) 10,800 68,148
Navigant Consulting, Inc. (a) 8,800 159,544
NCO Group, Inc. (a) 8,400 204,372
Sylvan Learning Systems, Inc. (a) 6,100 184,281
---------------
1,041,696
---------------
Construction & Engineering (0.8%)
Chicago Bridge & Iron Co. NV, N.Y. Registered Shares 8,100 247,536
---------------
Electrical Equipment (0.9%)
Plug Power, Inc. (a) 30,000 283,200
---------------
Machinery (1.7%)
AGCO Corp. (a) 10,800 217,728
CUNO, Inc. (a) 4,300 179,224
RAE Systems, Inc. (a) 35,000 171,500
---------------
568,452
---------------
</Table>
See Accompanying Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Road & Rail (2.4%)
Central Freight Lines, Inc. (a) 1,179 $ 20,656
Genesee & Wyoming, Inc., Class A (a) 7,455 245,642
Heartland Express, Inc. 8,600 187,824
Old Dominion Freight Line, Inc. (a) 5,000 155,000
Sirva, Inc. (a) 8,400 176,064
---------------
785,186
---------------
Information Technology (30.9%)
Communications Equipment (2.7%)
Brocade Communications Systems, Inc. (a) 18,700 119,867
DSP Group, Inc. (a) 5,900 156,114
F5 Networks, Inc. (a) 6,300 214,263
Finisar Corp. (a) 52,700 178,126
Netopia, Inc. (a) 14,300 196,768
---------------
865,138
---------------
Computers & Peripherals (2.1%)
Applied Films Corp. (a) 9,300 316,200
Cray, Inc. (a) 21,900 169,725
Pinnacle Systems, Inc. (a) 24,600 196,554
---------------
682,479
---------------
Electronic Equipment & Instruments (3.1%)
Anixter International, Inc. (a) 6,100 168,665
Coherent, Inc. (a) 7,000 214,130
Global Imaging Systems, Inc. (a) 9,400 297,792
Itron, Inc. (a) 11,600 239,656
Planar Systems, Inc. (a) 5,600 94,360
---------------
1,014,603
---------------
Information Technology Consulting & Services (0.4%)
GRIC Communications, Inc. 24,500 130,340
---------------
Internet Software & Services (3.3%)
Digital River, Inc. (a) 12,000 284,160
Digitas, Inc. (a) 26,900 303,970
Equinix, Inc. (a) 5,000 164,550
Modem Media, Inc. (a) 4,500 34,200
PEC Solutions, Inc. (a) 6,300 90,720
Quovadx, Inc. (a) 31,400 186,830
---------------
1,064,430
---------------
Semiconductor Equipment & Products (11.8%)
Artisan Components, Inc. (a) 16,000 290,240
August Technology Corp. (a) 12,100 221,430
Brooks Automation, Inc. (a) 12,700 317,500
Entegris, Inc. (a) 31,900 407,044
FEI Co. (a) 9,500 238,260
Integrated Circuit Systems, Inc. (a) 5,300 136,475
IXYS Corp. (a) 29,500 287,625
Lattice Semiconductor Corp. (a) 16,800 180,264
Monolithic System Technology, Inc. (a) 31,200 248,352
Mykrolis Corp. (a) 15,100 259,871
</Table>
See Accompanying Notes to Financial Statements.
80
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Semiconductor Equipment & Products (continued)
Silicon Image, Inc. (a) 37,100 $ 376,565
Silicon Storage Technology, Inc. (a) 32,200 387,366
Skyworks Solutions, Inc. (a) 12,400 132,556
Transmeta Corp. (a) 50,979 193,720
Zoran Corp. (a) 8,700 166,866
---------------
3,844,134
---------------
Software (7.5%)
Activision, Inc. (a) 9,341 175,704
Borland Software Corp. (a) 21,000 216,510
Captiva Software Corp. (a) 21,800 261,600
Epicor Software Corp. (a) 11,300 179,218
Inter-Tel, Inc. 4,721 133,368
Magma Design Automation, Inc. (a) 8,700 249,255
Manhattan Associates, Inc. (a) 12,800 359,680
Micromuse, Inc. (a) 34,900 280,596
OpenTV Corp. (a) 65,100 215,481
Take-Two Interactive Software, Inc. (a) 7,200 208,800
Verity, Inc. (a) 9,800 156,702
---------------
2,436,914
---------------
Materials (2.5%)
Construction Materials (0.5%)
AMCOL International Corp. 8,900 177,199
---------------
Containers & Packaging (2.0%)
Jarden Corp. (a) 19,650 638,036
---------------
Total Common Stocks
(Cost of $26,436,875) 31,480,467
---------------
<Caption>
PAR
-------------
Short-Term Obligation (3.8%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Bond
maturing 08/15/26, market value of $1,275,094
(repurchase proceeds $1,248,097)
(Cost of $1,248,000) $ 1,248,000 1,248,000
---------------
Total Investments (100.7%)
(Cost of $27,684,875) (b) 32,728,467
Other Assets & Liabilities, Net (-0.7%) (244,120)
---------------
Net Assets (100.0%) $ 32,484,347
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
See Accompanying Notes to Financial Statements.
81
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (97.7%)
Consumer Discretionary (17.4%)
Auto Components (0.9%)
Continental AG 24,500 $ 966,403
F.C.C. Co., Ltd. 3,700 128,641
---------------
1,095,044
---------------
Automobiles (1.3%)
Honda Motor Co., Ltd. 6,300 258,916
Nissan Motor Co., Ltd. 60,000 639,992
Toyota Motor Corp. 17,200 562,256
---------------
1,461,164
---------------
Hotels, Restaurants & Leisure (2.2%)
Accor SA 22,730 1,023,132
Compass Group PLC 126,820 850,526
InterContinental Hotel Group PLC 68,600 674,645
---------------
2,548,303
---------------
Household Durables (5.2%)
Koninklijke (Royal) Philips Electronics NV 56,800 1,714,138
Land and House Public Co., Ltd., NVDR 1,997,100 580,197
Matsushita Electric Industrial Co., Ltd. 153,000 2,283,906
Sanyo Electric Co., Ltd. 107,000 594,416
Sony Corp. 23,100 927,536
---------------
6,100,193
---------------
Media (3.1%)
JC Decaux SA (a) 24,560 453,948
Pearson PLC 127,520 1,429,432
ProSiebenSat.1 Media AG 29,600 616,413
United Business Media PLC 57,500 575,954
WPP Group PLC 53,500 590,938
---------------
3,666,685
---------------
Multi-Line Retail (0.6%)
Don Quijote Co., Ltd. 8,400 503,945
Seiyu Ltd. (a) 74,000 253,087
---------------
757,032
---------------
Specialty Retail (2.4%)
Aoyama Trading Co. 24,700 498,224
Next PLC 38,600 904,036
Shimamura Co., Ltd. 13,000 872,030
USS Co., Ltd. 7,060 477,581
---------------
2,751,871
---------------
Textiles, Apparel & Luxury Goods (1.7%)
Burberry Group PLC 130,186 825,089
Puma AG 3,500 640,810
Sanyo Shokai, Ltd. 80,000 496,575
---------------
1,962,474
---------------
</Table>
See Accompanying Notes to Financial Statements.
82
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Consumer Staples (5.3%)
Beverages (1.2%)
Diageo PLC 44,500 $ 583,512
Pernod-Ricard SA 7,745 844,060
---------------
1,427,572
---------------
Food & Drug Retailing (0.9%)
Casino Gulchard-Perrachon SA 6,100 567,157
Seven-Eleven Japan Co., Ltd. 9,000 270,395
Seven-Eleven Public Co., Ltd. (a) 169,300 261,026
---------------
1,098,578
---------------
Food Products (1.2%)
Nestle SA, Registered Shares 4,600 1,212,930
Thai Union Frozen Products Public Co., Ltd. 220,700 160,294
---------------
1,373,224
---------------
Household Products (1.5%)
Reckitt Benckiser PLC 76,400 1,785,161
---------------
Tobacco (0.5%)
Imperial Tobacco Group PLC 28,000 551,750
---------------
Energy (7.5%)
Oil & Gas (7.5%)
BP PLC, ADR 59,580 2,836,008
EnCana Corp. 39,000 1,516,144
ENI S.p.A. 143,900 2,679,452
PTT Public Co., Ltd. 175,300 714,781
Total SA 5,841 1,029,408
---------------
8,775,793
---------------
Financials (25.3%)
Banks (13.6%)
Alpha Bank A.E. 28,400 873,694
Anglo Irish Bank Corp. PLC 27,700 468,170
Banca Intesa S.p.A. 204,100 795,667
Banco Popolare di Verona e Novara 39,100 699,806
Banco Santander Central Hispano SA 125,900 1,448,911
Barclays PLC 154,545 1,393,213
Credit Agricole SA 45,174 1,104,467
Credit Suisse Group 64,390 2,431,693
Erste Bank der oesterreichischen Sparkassen AG 7,250 940,101
Hansabank Ltd. 15,961 458,221
Kookmin Bank 14,500 590,008
Royal Bank of Scotland Group PLC 60,304 1,779,174
Siam Commercial Bank Public Co., Ltd. (a) 761,700 910,391
Societe Generale 6,500 576,418
Standard Chartered PLC 34,800 567,864
UFJ Holdings, Inc. 210 912,655
---------------
15,950,453
---------------
</Table>
See Accompanying Notes to Financial Statements.
83
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Diversified Financials (3.0%)
ING Groep NV 95,250 $ 2,378,610
Nomura Holdings, Inc. 69,000 1,129,085
---------------
3,507,695
---------------
Insurance (5.1%)
Allianz AG, Registered Shares 18,300 2,346,504
Daido Life Insurance Co., Ltd. 160 456,517
Irish Life & Permanent PLC 30,300 515,637
Millea Holdings, Inc. 150 1,941,518
Mitsui Sumitomo Insurance Co., Ltd. 82,000 675,554
---------------
5,935,730
---------------
Real Estate (3.6%)
Mitsubishi Estate Co., Ltd. 215,000 2,364,401
Sun Hung Kai Properties, Ltd. 185,000 1,783,992
---------------
4,148,393
---------------
Health Care (7.7%)
Health Care Equipment & Supplies (2.6%)
Olympus Optical Co., Ltd. 37,000 774,293
Phonak Holding AG 4,004 95,560
ResMed, Inc. (a) 8,600 378,830
Smith & Nephew PLC 209,900 1,831,071
---------------
3,079,754
---------------
Pharmaceuticals (5.1%)
Chugai Pharmaceutical Co., Ltd. 78,900 1,244,122
Dr. Reddy's Laboratories, Ltd., ADR 11,400 341,430
GlaxoSmithKline PLC 81,089 1,742,614
Novartis AG, Registered Shares 38,860 1,748,407
Ranbaxy Laboratories Ltd., GDR 3,972 91,356
Takeda Chemical Industries, Ltd. 6,000 249,421
Teva Pharmaceutical Industries, Ltd., ADR 8,000 500,720
---------------
5,918,070
---------------
Industrials (7.7%)
Building Products (0.1%)
Wienerberger AG 6,123 181,504
---------------
Commercial Services & Supplies (1.8%)
Amadeus Global Travel Distribution SA, Class A 71,400 480,215
Capita Group PLC 206,500 964,639
Randstad Holding NV 22,800 633,830
---------------
2,078,684
---------------
Electrical Equipment (2.3%)
Nitto Denko Corp. 10,500 554,537
Siemens AG 25,900 2,096,478
---------------
2,651,015
---------------
</Table>
See Accompanying Notes to Financial Statements.
84
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Industrial Conglomerates (0.2%)
Big C Supercenter Public Co., Ltd. 517,000 $ 238,474
---------------
Machinery (1.8%)
Atlas Copco AB, Class B 43,900 1,518,796
Linde AG 10,100 568,470
---------------
2,087,266
---------------
Trading Companies & Distributors (0.9%)
Mitsubishi Corp. 103,000 1,040,266
---------------
Transportation Infrastructure (0.6%)
BAA PLC 83,140 779,406
---------------
Information Technology (13.6%)
Communications Equipment (1.8%)
Nortel Networks Corp. (a) 276,985 2,166,946
---------------
Electronic Equipment & Instruments (3.3%)
Celestica, Inc. (a) 31,200 534,971
Epcos AG 22,800 609,125
Hoya Corp. 6,100 599,943
Ibiden Co., Ltd. 41,000 519,061
Keyence Corp. 2,000 415,513
TDK Corp. 15,700 1,127,309
---------------
3,805,922
---------------
Internet Software & Services (0.7%)
T-Online International AG (a) 59,900 781,866
---------------
Information Technology Consulting & Services (0.6%)
Indra Sistemas SA 53,100 714,270
---------------
Office Electronics (0.8%)
Canon, Inc. 19,000 969,342
---------------
Semiconductor Equipment & Products (5.8%)
ARM Holdings PLC (a) 543,460 1,239,660
Nikon Corp. 71,000 1,102,782
Samsung Electronics Co., Ltd. 4,050 1,808,436
STMicroelectronics NV, ADR 39,800 1,068,232
Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) 60,276 673,886
Tokyo Electron, Ltd. 13,000 922,386
---------------
6,815,382
---------------
Software (0.6%)
Dassault Systemes SA 15,352 678,793
---------------
</Table>
See Accompanying Notes to Financial Statements.
85
<Page>
<Table>
<Caption>
SHARES VALUE
------------- ---------------
Common Stocks (continued)
Materials (4.2%)
Chemicals (1.5%)
BASF AG 14,100 $ 779,558
MG Technologies AG 46,100 723,462
Shin-Etsu Chemical Co., Ltd. 6,100 249,544
---------------
1,752,564
---------------
Construction Materials (1.0%)
Siam Cement Public Co., Ltd., ADR 189,850 1,170,258
---------------
Metals & Mining (0.5%)
BHP Billiton, Ltd. 65,500 563,902
---------------
Paper & Forest Products (1.2%)
Stora Enso Oyj, Class R 77,600 1,010,001
UPM-Kymmene Oyj 24,300 450,958
---------------
1,460,959
---------------
Telecommunication Services (7.1%)
Diversified Telecommunication Services (4.7%)
France Telecom AG 31,420 931,772
Nippon Telegraph & Telephone Corp. 140 641,504
Portugal Telecom SGPS, SA 84,060 868,983
Telecom Italia S.p.A. 415,200 1,277,316
Telefonica SA (a) 72,913 1,136,981
Telefonaktiebolaget LM Ericsson, ADR 27,700 637,100
---------------
5,493,656
---------------
Wireless Telecommunication Services (2.4%)
NTT DoCoMo, Inc. 483 1,044,990
Vodafone Group PLC (a) 715,928 1,792,790
---------------
2,837,780
---------------
Utilities (1.9%)
Electric Utilities (1.9%)
E.ON AG 13,000 833,215
National Grid Transco PLC 104,800 748,177
Public Power Corp. 23,100 585,779
---------------
2,167,171
---------------
Total Common Stocks
(Cost of $95,268,998) 114,330,365
---------------
</Table>
See Accompanying Notes to Financial Statements.
86
<Page>
<Table>
<Caption>
PAR VALUE
------------- ---------------
Short-Term Obligation (4.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Note
maturing 05/15/08, market value of $4,734,150
(repurchase proceeds $4,641,360)
(Cost of $4,641,000) $ 4,641,000 $ 4,641,000
Total Investments (101.7%)
(Cost of $99,909,998) (b) 118,971,365
Other Assets & Liabilities, Net (-1.7%) (1,958,327)
---------------
Net Assets (100.0%) $ 117,013,038
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
----------- -----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
NVDR Non-Voting Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
87
<Page>
<Table>
<Caption>
SUMMARY OF SECURITIES % OF TOTAL
BY COUNTRY VALUE INVESTMENTS
- --------------------- ------------- -----------
Japan $ 27,702,246 23.3%
United Kingdom 24,445,658 20.6
Germany 10,962,302 9.2
France 7,209,155 6.1
Netherlands 5,794,810 4.9
Switzerland 5,488,590 4.6
Italy 5,452,240 4.6
United States* 5,019,830 4.2
Canada 4,218,062 3.5
Thailand 4,035,420 3.4
Spain 3,780,377 3.2
South Korea 2,398,445 2.0
Sweden 2,155,896 1.8
Hong Kong 1,783,992 1.5
Finland 1,460,960 1.2
Greece 1,459,473 1.2
Austria 1,121,604 0.9
Ireland 983,807 0.8
Portugal 868,983 0.7
Taiwan 673,886 0.6
Australia 563,902 0.5
Israel 500,720 0.4
Estonia 458,221 0.4
India 432,786 0.4
------------- -----------
$ 118,971,365 100.0%
============= ===========
</Table>
* Includes short-term obligation.
See Accompanying Notes to Financial Statements.
88
<Page>
This page is intentionally left blank.
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP VALUE FUND
CMG LARGE CAP GROWTH FUND
Portfolios of CMG Fund Trust
STATEMENTS OF ASSETS AND LIABILITIES
January 31, 2004 (Unaudited)
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND VALUE FUND GROWTH FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 56,248,296 $ 35,598,249 $ 38,578,956
-------------- -------------- --------------
Investments, at value $ 61,386,972 $ 38,564,378 $ 40,996,905
Cash 416 461 629
Receivable for:
Investments sold 300,000 - 708,150
Capital stock sold - - -
Interest 16 9 65
Dividends and foreign tax reclaims 65,978 75,546 14,741
Expense reimbursement due from Investment Advisor 2,244 3,389 3,389
-------------- -------------- --------------
Total assets 61,755,626 38,643,783 41,723,879
-------------- -------------- --------------
LIABILITIES:
Payable for:
Payable to custodian bank (cost of $240) - - -
Investments purchased 363,892 - 1,383,076
Fund shares repurchased 90,000 415,000 345,700
Investment advisory fee 12,417 16,271 16,808
Trustees' fees 586 198 198
Audit fee 10,602 9,747 9,747
Foreign capital gains tax accrued - - -
Other liabilities 2,791 19,435 29,004
-------------- -------------- --------------
Total liabilities 480,288 460,651 1,784,533
-------------- -------------- --------------
NET ASSETS $ 61,275,338 $ 38,183,132 $ 39,939,346
============== ============== ==============
NET ASSETS consist of:
Paid-in capital $ 55,835,425 $ 35,173,053 $ 37,841,980
Undistributed (overdistributed) net investment income 54,626 58,120 (5,090)
Accumulated net investment loss - - -
Accumulated net realized gain (loss) 246,611 (14,170) (315,493)
Net unrealized appreciation (depreciation) on:
Investments 5,138,676 2,966,129 2,417,949
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
NET ASSETS $ 61,275,338 $ 38,183,132 $ 39,939,346
============== ============== ==============
Shares of capital stock outstanding 5,016,461 3,464,201 3,696,094
============== ============== ==============
Net asset value, offering and redemption price per share $ 12.21 $ 11.02 $ 10.81
============== ============== ==============
</Table>
See Accompanying Notes to Financial Statements
90
<Page>
CMG MID CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG INTERNATIONAL STOCK FUND
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL/MID
VALUE FUND GROWTH FUND CAP FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 13,884,766 $ 13,337,072 $ 58,917,958
-------------- -------------- --------------
Investments, at value $ 15,433,896 $ 14,569,892 $ 77,547,169
Cash 306 650 396
Receivable for:
Investments sold - 266,166 1,572,405
Capital stock sold - - -
Interest 26 49 7
Dividends and foreign tax reclaims 6,834 327 1,713
Expense reimbursement due from Investment Advisor 4,273 2,535 4,478
-------------- -------------- --------------
Total assets 15,445,335 14,839,619 79,126,168
-------------- -------------- --------------
LIABILITIES:
Payable for:
Payable to custodian bank (cost of $240) - - -
Investments purchased - 795,785 438,903
Fund shares repurchased - - -
Investment advisory fee 9,210 8,389 50,682
Trustees' fees 395 210 139
Audit fee 11,439 11,439 9,137
Foreign capital gains tax accrued - - -
Other liabilities 1,585 2,090 88
-------------- -------------- --------------
Total liabilities 22,629 817,913 498,949
-------------- -------------- --------------
NET ASSETS $ 15,422,706 $ 14,021,706 $ 78,627,219
============== ============== ==============
NET ASSETS consist of:
Paid-in capital $ 13,864,132 $ 12,852,997 $ 77,325,671
Undistributed (overdistributed) net investment income (1,774) - -
Accumulated net investment loss - (17,746) (172,128)
Accumulated net realized gain (loss) 11,218 (46,365) (17,155,535)
Net unrealized appreciation (depreciation) on:
Investments 1,549,130 1,232,820 18,629,211
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
NET ASSETS $ 15,422,706 $ 14,021,706 $ 78,627,219
============== ============== ==============
Shares of capital stock outstanding 1,243,792 1,126,895 8,129,782
============== ============== ==============
Net asset value, offering and redemption price per share $ 12.40 $ 12.44 $ 9.67
============== ============== ==============
<Caption>
CMG CMG CMG
SMALL CAP SMALL CAP INTERNATIONAL
VALUE FUND GROWTH FUND STOCK FUND
-------------- -------------- --------------
ASSETS:
Investments, at identified cost $ 28,962,965 $ 27,684,875 $ 99,909,998
-------------- -------------- --------------
Investments, at value $ 36,239,727 $ 32,728,467 $ 118,971,365
Cash 829 55,632 467
Receivable for:
Investments sold 197,939 146,685 4,891,687
Capital stock sold - - 300,000
Interest 11 64 240
Dividends and foreign tax reclaims 25,618 1,542 135,263
Expense reimbursement due from Investment Advisor 2,233 2,073 6,730
-------------- -------------- --------------
Total assets 36,466,357 32,934,463 124,305,752
-------------- -------------- --------------
LIABILITIES:
Payable for:
Payable to custodian bank (cost of $240) - - 282
Investments purchased 300,259 416,082 6,981,119
Fund shares repurchased - - -
Investment advisory fee 23,647 21,159 74,597
Trustees' fees 215 13 152
Audit fee 11,439 11,439 8,964
Foreign capital gains tax accrued - - 226,952
Other liabilities 1,354 1,423 648
-------------- -------------- --------------
Total liabilities 336,914 450,116 7,292,714
-------------- -------------- --------------
NET ASSETS $ 36,129,443 $ 32,484,347 $ 117,013,038
============== ============== ==============
NET ASSETS consist of:
Paid-in capital $ 28,124,444 $ 26,717,082 $ 104,379,351
Undistributed (overdistributed) net investment income 40,551 - (13,604)
Accumulated net investment loss - (83,076) -
Accumulated net realized gain (loss) 687,686 806,749 (6,194,325)
Net unrealized appreciation (depreciation) on:
Investments 7,276,762 5,043,592 19,061,367
Foreign currency translations - - 7,201
Foreign capital gains tax - - (226,952)
-------------- -------------- --------------
NET ASSETS $ 36,129,443 $ 32,484,347 $ 117,013,038
============== ============== ==============
Shares of capital stock outstanding 2,613,254 2,464,265 9,286,954
============== ============== ==============
Net asset value, offering and redemption price per share $ 13.83 $ 13.18 $ 12.60
============== ============== ==============
</Table>
See Accompanying Notes to Financial Statements
91
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP VALUE FUND
CMG LARGE CAP GROWTH FUND
Portfolios of CMG Fund Trust
STATEMENTS OF OPERATIONS
For the Six Months Ended January 31, 2004 (Unaudited)
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND VALUE FUND(a) GROWTH FUND(a)
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 314,939 $ 178,025 $ 62,571
Interest 2,341 7,423 4,761
Foreign withholding tax - (256) -
-------------- -------------- --------------
Total income 317,280 185,192 67,332
-------------- -------------- --------------
Expenses:
Investment advisory fee 44,938 44,254 46,458
Trustees' fees 1,495 1,129 1,129
Audit fee 10,313 9,857 9,857
Trustee legal counsel fees 2,710 2,164 2,163
-------------- -------------- --------------
Total expenses 59,456 57,404 59,607
Expense reimbursement from Investment Advisor (14,518) (13,150) (13,149)
-------------- -------------- --------------
Net expenses 44,938 44,254 46,458
-------------- -------------- --------------
Net investment income (loss) 272,342 140,938 20,874
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCY AND FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 283,378 (14,170) (315,493)
Foreign currency transactions - - -
-------------- -------------- --------------
Net realized gain (loss) 283,378 (14,170) (315,493)
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 5,037,501 2,966,129 2,417,949
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation 5,037,501 2,966,129 2,417,949
-------------- -------------- --------------
Net gain 5,320,879 2,951,959 2,102,456
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 5,593,221 $ 3,092,897 $ 2,123,330
-------------- -------------- --------------
</Table>
(a) The Fund commenced investment operations on September 10, 2003.
See Accompanying Notes to Financial Statements
92
<Page>
CMG MID CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG INTERNATIONAL STOCK FUND
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL/MID
VALUE FUND GROWTH FUND CAP FUND
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 51,288 $ 10,393 $ 86,776
Interest 3,490 2,033 7,352
Foreign withholding tax - (28) (452)
-------------- -------------- --------------
Total income 54,778 12,398 93,676
-------------- -------------- --------------
Expenses:
Investment advisory fee 33,288 30,144 291,629
Trustees' fees 1,048 1,358 1,503
Audit fee 11,149 11,149 14,314
Trustee legal counsel fees 2,165 2,164 3,066
-------------- -------------- --------------
Total expenses 47,650 44,815 310,512
Expense reimbursement from Investment Advisor (14,362) (14,671) (18,883)
-------------- -------------- --------------
Net expenses 33,288 30,144 291,629
-------------- -------------- --------------
Net investment income (loss) 21,490 (17,746) (197,953)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCY AND FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 11,360 (42,034) 6,749,578
Foreign currency transactions - - -
-------------- -------------- --------------
Net realized gain (loss) 11,360 (42,034) 6,749,578
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 1,441,563 1,116,471 5,289,690
Foreign currency translations - - -
Foreign capital gains tax - - -
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation 1,441,563 1,116,471 5,289,690
-------------- -------------- --------------
Net gain 1,452,923 1,074,437 12,039,268
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,474,413 $ 1,056,691 $ 11,841,315
-------------- -------------- --------------
<Caption>
CMG CMG CMG
SMALL CAP SMALL CAP INTERNATIONAL
VALUE FUND GROWTH FUND STOCK FUND
-------------- -------------- --------------
NET INVESTMENT INCOME:
Income:
Dividends $ 278,104 $ 17,144 $ 533,288
Interest 2,062 4,850 20,033
Foreign withholding tax - - (56,743)
-------------- -------------- --------------
Total income 280,166 21,994 496,578
-------------- -------------- --------------
Expenses:
Investment advisory fee 120,051 105,070 332,882
Trustees' fees 1,049 1,049 3,533
Audit fee 11,149 11,149 14,578
Trustee legal counsel fees 2,171 2,011 2,697
-------------- -------------- --------------
Total expenses 134,420 119,279 353,690
Expense reimbursement from Investment Advisor (14,369) (14,209) (20,808)
-------------- -------------- --------------
Net expenses 120,051 105,070 332,882
-------------- -------------- --------------
Net investment income (loss) 160,115 (83,076) 163,696
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCY AND FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 1,129,148 1,862,319 2,886,022
Foreign currency transactions - - (75,533)
-------------- -------------- --------------
Net realized gain (loss) 1,129,148 1,862,319 2,810,489
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation on:
Investments 5,344,916 3,428,191 14,841,684
Foreign currency translations - - 6,991
Foreign capital gains tax - - (181,295)
-------------- -------------- --------------
Net change in unrealized appreciation/depreciation 5,344,916 3,428,191 14,667,380
-------------- -------------- --------------
Net gain 6,474,064 5,290,510 17,477,869
-------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 6,634,179 $ 5,207,434 $ 17,641,565
-------------- -------------- --------------
</Table>
See Accompanying Notes to Financial Statements
93
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG ENHANCED
S&P 500(R)
INDEX FUND
--------------------------------
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
-------------- --------------
Operations:
Net investment income $ 272,342 $ 14,758
Net realized gain on investments 283,378 3,535
Net change in unrealized appreciation/depreciation on investments 5,037,501 101,175
-------------- --------------
Net increase from operations 5,593,221 119,468
Distributions declared to shareholders:
From net investment income (232,474) -
From net realized gains (40,302) -
-------------- --------------
Total distributions declared to shareholders (272,776) -
Net capital shares transactions 46,820,425 9,015,000
-------------- --------------
Net increase in net assets 52,140,870 9,134,468
NET ASSETS:
Beginning of period 9,134,468 -
-------------- --------------
End of period $ 61,275,338 $ 9,134,468
============== ==============
Undistributed net investment income $ 54,626 $ 14,758
============== ==============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements
94
<Page>
CMG LARGE CAP VALUE FUND
CMG LARGE CAP GROWTH FUND
CMG MID CAP VALUE FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG CMG
LARGE CAP LARGE CAP MID CAP
VALUE FUND GROWTH FUND VALUE FUND
-------------- -------------- ------------------------------
(UNAUDITED)
(UNAUDITED) (UNAUDITED) SIX MONTHS
PERIOD ENDED PERIOD ENDED ENDED PERIOD ENDED
JANUARY 31, JANUARY 31, JANUARY 31, JULY 31,
2004 (a) 2004 (a) 2004 2003 (b)
-------------- -------------- -------------- ------------
Operations:
Net investment income $ 140,938 $ 20,874 $ 21,490 $ 1,986
Net realized gain (loss) on
investments (14,170) (315,493) 11,360 2,240
Net change in unrealized
appreciation/depreciation
on investments 2,966,129 2,417,949 1,441,563 107,567
-------------- -------------- -------------- ------------
Net increase from operations 3,092,897 2,123,330 1,474,413 111,793
Distributions declared to shareholders:
From net investment income (82,818) (25,964) (25,250) -
From net realized gains - - (2,382) -
-------------- -------------- -------------- ------------
Total distributions declared
to shareholders (82,818) (25,964) (27,632) -
Net capital shares transactions 35,173,053 37,841,980 11,324,982 2,539,150
-------------- -------------- -------------- ------------
Net increase in net assets 38,183,132 39,939,346 12,771,763 2,650,943
NET ASSETS:
Beginning of period - - 2,650,943 -
-------------- -------------- -------------- ------------
End of period $ 38,183,132 $ 39,939,346 $ 15,422,706 $ 2,650,943
============== ============== ============== ============
Undistributed (overdistributed)
net investment income $ 58,120 $ (5,090) $ (1,774) $ 1,986
============== ============== ============== ============
</Table>
(a) The Fund commenced investment operations on September 10, 2003.
(b) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements
95
<Page>
CMG MID CAP GROWTH FUND
Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG
MID CAP
GROWTH FUND
--------------------------------
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
-------------- --------------
Operations:
Net investment loss $ (17,746) $ (1,676)
Net realized gain (loss) on investments (42,034) 4,190
Net change in unrealized appreciation/depreciation on investments 1,116,471 116,349
-------------- --------------
Net increase from operations 1,056,691 118,863
Distributions declared to shareholders:
From net realized gains (6,845) -
-------------- --------------
Net capital shares transactions 10,810,697 2,042,300
-------------- --------------
Net increase in net assets 11,860,543 2,161,163
NET ASSETS:
Beginning of period 2,161,163 -
-------------- --------------
End of period $ 14,021,706 $ 2,161,163
============== ==============
Accumulated net investment loss $ (17,746) $ -
============== ==============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements
96
<Page>
CMG SMALL/MID CAP FUND
Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG
SMALL/MID
CAP FUND
--------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, JULY 31, OCTOBER 31,
2004 2003 (a) 2002
-------------- -------------- --------------
Operations:
Net investment loss $ (197,953) $ (234,660) $ (287,809)
Net realized gain (loss) on investments 6,749,578 98,697 (11,733,008)
Net change in unrealized appreciation/depreciation
on investments 5,289,690 12,048,506 1,504,894
-------------- -------------- --------------
Net increase (decrease) from operations 11,841,315 11,912,543 (10,515,923)
Net capital shares transactions (7,139,943) 7,244,525 15,893,745
-------------- -------------- --------------
Net increase in net assets 4,701,372 19,157,068 5,377,822
NET ASSETS:
Beginning of period 73,925,847 54,768,779 49,390,957
-------------- -------------- --------------
End of period $ 78,627,219 $ 73,925,847 $ 54,768,779
============== ============== ==============
Undistributed net investment income $ - $ 25,825 $ 21,326
============= ============== ==============
Accumulated net investment loss $ (172,128) $ - $ -
============== ============== ==============
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
97
<Page>
CMG SMALL CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
Portfolios of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG CMG
SMALL CAP SMALL CAP
VALUE FUND GROWTH FUND
-------------------------------- ------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED ENDED PERIOD ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2004 2003 (a) 2004 2003 (a)
-------------- -------------- -------------- ------------
Operations:
Net investment income (loss) $ 160,115 $ 26,809 $ (83,076) $ (25,882)
Net realized gain on
investments 1,129,148 115,873 1,862,319 823,948
Net change in unrealized
appreciation/depreciation
on investments 5,344,916 1,931,846 3,428,191 1,615,401
-------------- -------------- -------------- ------------
Net increase from operations 6,634,179 2,074,528 5,207,434 2,413,467
Distributions declared to shareholders:
From net investment income (146,373) - - -
From net realized gains (557,335) - (1,853,636) -
-------------- -------------- -------------- ------------
Total distributions declared
to shareholders (703,708) - (1,853,636) -
Net capital shares transactions 8,842,644 19,281,800 8,124,347 18,592,735
-------------- -------------- -------------- ------------
Net increase in net assets 14,773,115 21,356,328 11,478,145 21,006,202
NET ASSETS:
Beginning of period 21,356,328 - 21,006,202 -
-------------- -------------- -------------- ------------
End of period $ 36,129,443 $ 21,356,328 $ 32,484,347 $ 21,006,202
============== ============== ============== ============
Undistributed net investment income $ 40,551 $ 26,809 $ - $ -
============== ============== ============== ============
Accumulated net investment loss $ - $ - $ (83,076) $ -
============== ============== ============== ============
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
See Accompanying Notes to Financial Statements
98
<Page>
CMG INTERNATIONAL STOCK FUND
Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG
INTERNATIONAL
STOCK FUND
--------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, JULY 31, OCTOBER 31,
2004 2003 (a) 2002
-------------- -------------- --------------
Operations:
Net investment income $ 163,696 $ 403,458 $ 48,664
Net realized gain (loss) on investments,
foreign currency transactions and
foreign capital gains tax 2,810,489 (1,950,231) (3,433,114)
Net change in unrealized appreciation/depreciation
on investments, foreign currency translations and
foreign capital gains tax 14,667,380 5,770,512 68,234
-------------- -------------- --------------
Net increase (decrease) from operations 17,641,565 4,223,739 (3,316,216)
Distributions declared to shareholders:
From net investment income (529,435) (92,056) (69,418)
-------------- -------------- --------------
Net capital shares transactions 41,413,215 33,740,397 3,448,057
-------------- -------------- --------------
Net increase in net assets 58,525,345 37,872,080 62,423
NET ASSETS:
Beginning of period 58,487,693 20,615,613 20,553,190
-------------- -------------- --------------
End of period $ 117,013,038 $ 58,487,693 $ 20,615,613
============== ============== ==============
Undistributed (overdistributed) net
investment income $ (13,604) $ 352,135 $ 84,225
============== ============== ==============
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements
99
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP VALUE FUND
CMG LARGE CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG SMALL/MID CAP FUND
CMG SMALL CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG INTERNATIONAL STOCK FUND
Portfolios of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2004 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Enhanced S&P 500(R) Index Fund
CMG Large Cap Value Fund
CMG Large Cap Growth Fund
CMG Mid Cap Value Fund
CMG Mid Cap Growth Fund
CMG Small/Mid Cap Fund
CMG Small Cap Value Fund
CMG Small Cap Growth Fund
CMG International Stock Fund
INVESTMENT GOALS. The CMG Enhanced S&P 500(R) Index Fund seeks to outperform the
total return, over the long term, of the Standard & Poor's 500 Composite Stock
Index (the "S&P 500"). The CMG Large Cap Value Fund and CMG Large Cap Growth
Fund seek long-term growth by investing primarily in large capitalization
equities. The CMG Mid Cap Value Fund and CMG Mid Cap Growth Fund seek long-term
growth by investing in middle capitalization equities. The CMG Small/Mid Cap
Fund seeks long-term capital appreciation by investing in small and middle
capitalization equities. The CMG Small Cap Value Fund and CMG Small Cap Growth
Fund seek long-term growth by investing in small capitalization equities. The
CMG International Stock Fund seeks long-term capital appreciation.
FUND SHARES. Each Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
100
<Page>
SECURITY VALUATION. Equity securities are valued at the last sale price at the
close of the principal exchange on which they trade. Unlisted securities or
listed securities for which there were no sales during the day are valued at the
closing bid price on such exchanges or over-the-counter markets.
Short-term obligations maturing within 60 days are valued at amortized cost,
which approximates market value.
Investments in other investment companies are valued at net asset value.
Forward currency exchange contracts are valued at the prevailing forward
exchange rate of the underlying currencies.
Foreign securities are generally valued at the closing price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Funds'
shares are determined as of such times. Foreign currency exchange rates are also
generally determined prior to the close of the NYSE at 2:00 p.m. Eastern (U.S.)
time. Occasionally, events affecting the values of such foreign securities and
such exchange rates may occur between the times at which they are determined and
the close of the customary trading session of the NYSE, which would not be
reflected in the computation of the Funds' net asset value. If events materially
affecting the values of such foreign securities occur and it is determined that
market quotations are not readily available, then these foreign securities will
be valued at their fair value as determined in good faith by or under the
supervision of the Board of Trustees.
Investments for which market quotations are not readily available, or quotations
which management believes are not appropriate, are valued at fair value under
procedures approved by the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. The Funds, through their custodian, receive delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while each Fund seeks to assert its rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Funds become
aware of such, net of non-reclaimable tax withholdings.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
The Funds do not distinguish that portion of gains (losses) on investments which
is due to changes in foreign exchange rates from that which is due to changes in
market prices of the investments. Such fluctuations are included with the net
realized and unrealized gains (losses) on investments.
FOREIGN CAPITAL GAINS TAX. Realized gains in certain countries may be subject to
foreign taxes at the fund level, at rates ranging from approximately 10% to 30%.
The Funds accrue for such foreign taxes on net realized and unrealized gains at
the rate appropriate for each jurisdiction.
101
<Page>
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, by distributing in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Fund
will not be subject to federal excise tax. Therefore, no federal income or
excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
Income and capital gains dividends are determined in accordance with income tax
regulations which may differ from GAAP.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the period ended July 31, 2003
and the year ended October 31, 2002 was as follows:
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND
-------------------------------
PERIOD ENDED YEAR ENDED
JULY 31, 2003 OCTOBER 31, 2002
-------------- ----------------
Distributions paid from:
Ordinary income* $ 92,056 $ 69,418
Long-term capital gains -- --
-------------- ----------------
$ 92,056 $ 69,418
============== ================
</Table>
* For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
Unrealized appreciation and depreciation at January 31, 2004, based on cost of
investments for federal income tax purposes, and excluding any unrealized
appreciation and depreciation from changes in the value of assets and
liabilities resulting from changes in exchange rates, was:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------- ------------ -------------
CMG Enhanced S&P 500(R) Index Fund $ 5,733,491 $ (594,815) $ 5,138,676
CMG Large Cap Value Fund 3,128,435 (162,306) 2,966,129
CMG Large Cap Growth Fund 2,836,608 (418,659) 2,417,949
CMG Mid Cap Value Fund 1,653,924 (104,794) 1,549,130
CMG Mid Cap Growth Fund 1,436,458 (203,638) 1,232,820
CMG Small/Mid Cap Fund 19,367,169 (737,958) 18,629,211
CMG Small Cap Value Fund 7,723,218 (446,456) 7,276,762
CMG Small Cap Growth Fund 5,854,452 (810,860) 5,043,592
CMG International Stock Fund 20,051,365 (989,998) 19,061,367
</Table>
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
---------------------------------------------------------
2009 2010 2011 TOTAL
------------ ------------ ------------ ------------
CMG Small/Mid Cap Fund $ 11,372,398 $ 11,756,670 $ 55,830 $ 23,184,898
CMG International Stock Fund 3,488,300 3,440,479 1,639,666 8,568,445
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect, wholly owned subsidiary of FleetBoston Financial Corporation
("FleetBoston") is the investment advisor to the Funds. Each Fund's investment
102
<Page>
advisory fee is a unified fee. Columbia, out of the unified fee it receives
from the Funds, pays all accounting fees, legal fees, transfer agent fees,
custody fees and miscellaneous expenses of the Funds. The unified fee does not
include brokerage fees, taxes, Trustees' fees, Trustee legal counsel fees, audit
fees, interest expenses associated with any borrowings by the Funds or
extraordinary expenses, if any. Investment advisory fees are paid monthly to
Columbia at the following annual rates based on average daily net assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Value Fund 0.50%
CMG Large Cap Growth Fund 0.50%
CMG Mid Cap Value Fund 0.70%
CMG Mid Cap Growth Fund 0.70%
CMG Small/Mid Cap Fund 0.75%
CMG Small Cap Value Fund 0.80%
CMG Small Cap Growth Fund 0.80%
CMG International Stock Fund 0.75%
</Table>
FleetBoston has entered into an agreement with Bank of America Corporation
("BOA") to merge the two financial services companies. On March 17, 2004, the
shareholders of FleetBoston and BOA voted to approve the merger. The transaction
is expected to be completed in the second quarter of 2004.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). Columbia pays fees to State Street under the
Outsourcing Agreement. The Funds are not charged a fee for these services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"),
formerly Liberty Funds Services, Inc., an affiliate of Columbia, provides
shareholder services to the Funds. The transfer agent fees for the Funds are
included in the unified fee.
EXPENSE LIMITS AND FEE REIMBURSEMENTS. Columbia has contractually agreed to
reimburse the Funds until March 1, 2009 for certain expenses so that the
expenses incurred by the Funds, including the investment advisory fees, would
not exceed the following annual rates based on each Fund's average daily net
assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Value Fund 0.50%
CMG Large Cap Growth Fund 0.50%
CMG Mid Cap Value Fund 0.70%
CMG Mid Cap Growth Fund 0.70%
CMG Small/Mid Cap Fund 0.75%
CMG Small Cap Value Fund 0.80%
CMG Small Cap Growth Fund 0.80%
CMG International Stock Fund 0.75%
</Table>
FEES PAID TO OFFICERS AND TRUSTEES. Trustees' fees and expenses are paid
directly by each Fund to trustees having no affiliation with the Funds other
than their capacity as trustees. Other trustees and officers receive no
compensation from the Funds.
103
<Page>
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2004, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
--------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
------------ ------------ ------------ ------------
CMG Enhanced S&P 500(R)
Index Fund $ 429,038 $ -- $ 56,588,505 $ 9,531,883
CMG Large Cap Value Fund -- -- 39,036,288 3,607,869
CMG Large Cap Growth Fund -- -- 52,455,532 14,828,991
CMG Mid Cap Value Fund -- -- 11,565,787 611,585
CMG Mid Cap Growth Fund -- -- 14,831,113 4,414,795
CMG Small/Mid Cap Fund -- -- 40,470,030 48,346,932
CMG Small Cap Value Fund -- -- 16,072,759 7,580,201
CMG Small Cap Growth Fund -- -- 17,017,766 11,177,487
CMG International Stock Fund -- -- 68,549,223 28,609,721
</Table>
NOTE 6. CAPITAL STOCK ACTIVITY:
Transactions of capital shares were as follows:
<Table>
<Caption>
CMG ENHANCED S&P 500(R) INDEX FUND
--------------------------------------
SIX MONTHS ENDED PERIOD ENDED
JANUARY 31, 2004 JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 4,215,201 851,673
Shares issued for reinvestment of dividends 2,509 --
Less shares redeemed (52,922) --
----------------- -----------------
Net increase in shares 4,164,788 851,673
================= =================
AMOUNTS:
Sales $ 47,432,930 $ 9,015,000
Reinvestment of dividends 29,758 --
Less redemptions (642,263) --
----------------- -----------------
Net increase $ 46,820,425 $ 9,015,000
================= =================
<Caption>
CMG LARGE CAP
VALUE FUND
--------------------
PERIOD ENDED
JANUARY 31, 2004 (b)
--------------------
SHARES:
Shares sold 3,638,927
Shares issued for reinvestment of dividends 1,333
Less shares redeemed (176,059)
-----------------
Net increase in shares 3,464,201
=================
AMOUNTS:
Sales $ 36,999,779
Reinvestment of dividends 14,274
Less redemptions (1,841,000)
-----------------
Net increase $ 35,173,053
=================
</Table>
104
<Page>
<Table>
<Caption>
CMG LARGE CAP
GROWTH FUND
--------------------
PERIOD ENDED
JANUARY 31, 2004 (b)
--------------------
SHARES:
Shares sold 3,840,948
Shares issued for reinvestment of dividends 399
Less shares redeemed (145,253)
-----------------
Net increase in shares 3,696,094
=================
AMOUNTS:
Sales $ 39,353,912
Reinvestment of dividends 4,175
Less redemptions (1,516,107)
-----------------
Net increase $ 37,841,980
=================
<Caption>
CMG MID CAP VALUE FUND
--------------------------------------
SIX MONTHS ENDED PERIOD ENDED
JANUARY 31, 2004 JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 1,017,801 248,038
Shares issued for reinvestment of dividends 336 -
Less shares redeemed (22,383) -
----------------- -----------------
Net increase in shares 995,754 248,038
================= =================
AMOUNTS:
Sales $ 11,588,937 $ 2,539,150
Reinvestment of dividends 4,042 -
Less redemptions (267,997) -
----------------- -----------------
Net increase $ 11,324,982 $ 2,539,150
================= =================
<Caption>
CMG MID CAP VALUE FUND
--------------------------------------
SIX MONTHS ENDED PERIOD ENDED
JANUARY 31, 2004 JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 948,164 197,710
Shares issued for reinvestment of dividends 242 -
Less shares redeemed (19,221) -
----------------- -----------------
Net increase in shares 929,185 197,710
================= =================
AMOUNTS:
Sales $ 11,041,299 $ 2,042,300
Reinvestment of dividends 2,911 -
Less redemptions (233,513) -
----------------- -----------------
Net increase $ 10,810,697 $ 2,042,300
================= =================
</Table>
105
<Page>
<Table>
<Caption>
CMG SMALL/MID CAP FUND
-----------------------------------------------------------
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (c) OCTOBER 31, 2002
----------------- ----------------- -----------------
SHARES:
Shares sold 288,413 1,296,527 2,797,021
Less shares redeemed (1,064,773) (262,053) (1,096,189)
----------------- ----------------- -----------------
Net increase (decrease) in shares (776,360) 1,034,474 1,700,832
================= ================= =================
AMOUNTS:
Sales $ 2,505,162 $ 9,106,124 $ 23,551,961
Less redemptions (9,645,105) (1,861,599) (7,658,216)
----------------- ----------------- -----------------
Net increase (decrease) $ (7,139,943) $ 7,244,525 $ 15,893,745
================= ================= =================
<Caption>
CMG SMALL CAP VALUE FUND
--------------------------------------
SIX MONTHS ENDED PERIOD ENDED
JANUARY 31, 2004 JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 1,104,823 1,931,086
Shares issued for reinvestment of dividends 33,618 -
Less shares redeemed (416,044) (40,229)
----------------- -----------------
Net increase in shares 722,397 1,890,857
================= =================
AMOUNTS:
Sales $ 13,665,245 $ 19,724,518
Reinvestment of dividends 445,442 -
Less redemptions (5,268,043) (442,718)
----------------- -----------------
Net increase $ 8,842,644 $ 19,281,800
================= =================
<Caption>
CMG SMALL CAP GROWTH FUND
--------------------------------------
SIX MONTHS ENDED PERIOD ENDED
JANUARY 31, 2004 JULY 31, 2003 (a)
----------------- -----------------
SHARES:
Shares sold 819,691 1,873,343
Shares issued for reinvestment of dividends 100,382 -
Less shares redeemed (277,419) (51,732)
----------------- -----------------
Net increase in shares 642,654 1,821,611
================= =================
AMOUNTS:
Sales $ 10,393,256 $ 19,177,304
Reinvestment of dividends 1,248,755 -
Less redemptions (3,517,664) (584,569)
----------------- -----------------
Net increase $ 8,124,347 $ 18,592,735
================= =================
</Table>
106
<Page>
<Table>
<Caption>
CMG INTERNATIONAL STOCK FUND
-----------------------------------------------------------
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (c) OCTOBER 31, 2002
----------------- ----------------- -----------------
SHARES:
Shares sold 3,887,957 3,755,927 944,395
Shares issued for reinvestment of dividends 27,705 9,466 6,392
Less shares redeemed (288,955) (317,061) (710,896)
----------------- ----------------- -----------------
Net increase in shares 3,626,707 3,448,332 239,891
================= ================= =================
AMOUNTS:
Sales $ 44,648,435 $ 36,683,376 $ 10,312,316
Reinvestment of dividends 330,247 86,707 69,418
Less redemptions (3,565,467) (3,029,686) (6,933,677)
----------------- ----------------- -----------------
Net increase $ 41,413,215 $ 33,740,397 $ 3,448,057
================= ================= =================
</Table>
(a) The Fund commenced investment operations on May 5, 2003.
(b) The Fund commenced investment operations on September 10, 2003.
(c) The Fund changed its fiscal year end from October 31 to July 31.
NOTE 7. LINE OF CREDIT:
The Funds participate in a $100,000,000 uncommitted line of credit along with
the other funds of the Trust and several of the Columbia Funds, an affiliated
group of funds managed by Columbia. The uncommitted line of credit expires on
July 2, 2004. For the six months ended January 31, 2004, the Funds did not
borrow under this arrangement.
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2004, the Funds had shareholders that held greater than 5% of
the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the Funds. The numbers of
shareholders greater than 5% and the aggregate percentage of shares outstanding
held were as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Enhanced S&P 500(R) Index Fund 5 65.79%
CMG Large Cap Value Fund 6 66.91%
CMG Large Cap Growth Fund 5 58.22%
CMG Mid Cap Value Fund 5 40.54%
CMG Mid Cap Growth Fund 5 42.87%
CMG Small/Mid Cap Fund 10 89.63%
CMG Small Cap Value Fund 7 64.44%
CMG Small Cap Growth Fund 6 61.36%
CMG International Stock Fund 4 32.71%
</Table>
NOTE 9. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
FOREIGN SECURITIES. There are certain additional risks involved when investing
in foreign securities that are not inherent with investments in domestic
securities. These risks may involve foreign currency exchange rate fluctuations,
adverse
107
<Page>
political and economic developments and the possible prevention of currency
exchange or other foreign governmental laws or restrictions. In addition, the
liquidity of foreign securities may be more limited than that of domestic
securities.
INDUSTRY FOCUS. The Funds may focus their investments in certain industries,
subjecting them to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. Columbia, and Columbia Funds Distributor, Inc. ("CFDI"), and
certain of their affiliates (collectively, "the Columbia Group") have received
information requests and subpoenas from various regulatory and law enforcement
authorities in connection with their investigations of late trading and market
timing in mutual funds. The Columbia Group has not uncovered any instances where
Columbia or CFDI were knowingly involved in late trading of mutual fund shares.
On February 24, 2004, the Securities and Exchange Commission ("SEC") filed a
civil complaint in the United States District Court for the District of
Massachusetts against Columbia and CFDI, alleging that they had violated certain
provisions of the federal securities laws in connection with trading activity in
mutual fund shares. Also on February 24, 2004, the New York Attorney General
("NYAG") filed a civil complaint in New York Supreme Court, County of New York
against Columbia and CFDI alleging that Columbia and CFDI had violated certain
New York anti-fraud statutes. On March 15, 2004, Columbia and CFDI entered into
agreements in principle with the SEC Division of Enforcement and NYAG in
settlement of the charges. Under the agreements, Columbia and CFDI agreed, inter
alia, to the following conditions: payment of $70 million in disgorgement;
payment of $70 million in civil penalties; an order requiring Columbia and CFDI
to cease and desist from violations of the antifraud provisions and other
provisions of the federal securities laws; governance changes designed to
maintain the independence of the mutual fund boards of trustees and ensure
compliance with securities laws and their fiduciary duties; and retention of an
independent consultant to review Columbia's and CFDI's compliance policies and
procedures. The agreement requires the final approval of the SEC. In a separate
agreement with the NYAG, the Columbia Group has agreed to reduce mutual fund
fees by $80 million over a five-year period.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
NOTE 10. COMPARABILITY OF FINANCIAL STATEMENTS:
On January 29, 2003, the Board of Trustees approved a change in the fiscal year
ends of the CMG Small/Mid Cap Fund and CMG International Stock Fund from October
31 to July 31.
108
<Page>
Shareholder Meeting Results
On October 7, 2003, a Special Meeting of Shareholders of CMG Fund Trust was held
to conduct a vote for and against the approval of the Item listed on the Proxy
Statement for said meeting. The votes cast at the Meeting were as follows:
PROPOSAL 1.
Election of the following Trustees:
Douglas A. Hacker, Janet Langford Kelly, Richard W. Lowry, Charles R.
Nelson, John J. Neuhauser, Patrick J. Simpson, Thomas E. Stitzel, Thomas C.
Theobald, Anne-Lee Verville, Richard L. Woolworth, William E. Mayer and
Joseph R. Palombo:
<Table>
Total shares in favor of proposal: 55,945,086
Total shares against or abstaining proposal: 131,926
</Table>
109
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02266-8081
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-02/094R-0204 (03/04) C04/041
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to its portfolio securities is available (i) without
charge, upon request, by calling 800-547-1037 and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER, INC.
PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES OF A
MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT US AT 800-547-1037 FOR A
PROSPECTUS, WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND.
READ IT CAREFULLY BEFORE YOU INVEST.
The manager's views contained in this report are subject to change at any time,
based on market and other considerations. Portfolio changes should not be
considered recommendations for action by individual investors.
Funds distributed by Columbia Financial Center, Incorporated, 1301 SW Fifth
Avenue, Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG SMALL CAP FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2004
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Small Cap
Fund. The fund returned 22.51% for the six-month period ended January 31, 2004,
which exceeded the Russell 2000 Growth Index return of 21.81%. However, the
fund's return was slightly lower than the 22.67% return of the Russell 2000
Index for the same period. The fund benefited from its emphasis on technology
stocks, which posted strong gains during the period, and from stock selection in
the energy sector. However, our emphasis on companies with current earnings
limited our performance relative to the index, since the best performance during
the period was generated by companies without current earnings. Investors were
far more willing to take on risk as war worries dissolved and economic recovery
came into focus.
With the end of major military action in Iraq and an economy on the mend, the US
stock market moved sharply higher during the six-month reporting period. Small
caps were the greatest beneficiaries of the trend. Investors favored small caps
on the expectation that they had more to gain in an improving economy. And, they
favored sectors that were likely to benefit from a stronger economy. The fund
was positioned to capitalize on both trends.
During this six-month period, the fund's strongest gains came from many of the
same technology stocks that had been hit hard during the three-year bear market.
Technology companies benefited from stronger demand as the economy improved.
Among the fund's technology holdings, Cognizant Technology Solutions, Aspect
Communications and F5 Networks (0.5%, 1.0% and 0.5% of net assets, respectively)
performed well.
Relative to the Russell 2000 Growth Index, the fund held an above-average
position in energy this period. Our stock selection within this sector not only
performed better than the index's sector holdings, but also made a positive
contribution to fund performance relative to the index. The fund invested in the
types of companies that did best within the sector-energy producers and energy
service companies. Energy, in general, benefited as cold weather and global
economic growth resulted in higher demand for oil and gas. Energy producers and
service companies were the primary beneficiaries of these trends, as higher
demand resulted in higher commodity prices and the expectation of increased
drilling activities. These factors favored investments such as XTO Energy,
National-Oilwell and Chesapeake Energy (1.1%, 0.9% and 0.9% of net assets,
respectively), which were strong performers for the fund.
The fund's health care stocks underperformed during the period. Although the
health care component of the Russell 2000 Growth Index was up 20% for the
period, the fund's health care stocks advanced just 14%. The fund was hurt by
its emphasis on high-quality companies with track records of consistent earnings
growth during a period when more speculative companies were the sector's top
performers. However, we believe our strategy will benefit the fund in the
long-term. The fund was also hurt by its holdings of First Health Group, which
declined sharply in the face of strong competition from a major health
maintenance organization. We sold the stock before the end of the period and
took a loss on the sale.
1
<Page>
At the end of the period, the fund was positioned to take advantage of an
improving economy. We maintained our emphasis on technology companies, because
their prospects are closely linked to economic growth. However, in light of the
strong run-up in small-cap stock prices, we do not expect returns in 2004 to
match the returns of 2003. We believe that investors are likely to become more
selective-and more demanding of revenue and earnings growth to justify higher
stock prices. As a result, we have focused on companies with reasonable
valuations as well as growth prospects in order to manage the fund's overall
risk exposure.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
Amphenol 2.5
Education Management 2.0
Fair Isaac 1.9
Polycom 1.7
Electronics for Imaging 1.7
Autoliv 1.6
OM Group 1.5
Henry Schein 1.5
Renal Care Group 1.3
AVX 1.3
</Table>
We appreciate your continued confidence in CMG Small Cap Fund.
The Columbia Investment Team
January 31, 2004
Investing in small-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1994 TO JANUARY 31, 2004
<Table>
<Caption>
CMG SMALL CAP FUND RUSSELL 2000 INDEX RUSSELL 2000 GROWTH INDEX
2/1/1994 $ 10,000 $ 10,000 $ 10,000
2/28/1994 $ 9,953 $ 9,964 $ 9,956
3/31/1994 $ 9,541 $ 9,438 $ 9,344
4/30/1994 $ 9,552 $ 9,494 $ 9,358
5/31/1994 $ 9,498 $ 9,387 $ 9,149
6/30/1994 $ 9,242 $ 9,068 $ 8,755
7/31/1994 $ 9,309 $ 9,217 $ 8,880
8/31/1994 $ 9,702 $ 9,730 $ 9,533
9/30/1994 $ 9,813 $ 9,698 $ 9,574
10/31/1994 $ 9,931 $ 9,660 $ 9,677
11/30/1994 $ 9,500 $ 9,270 $ 9,285
12/31/1994 $ 9,804 $ 9,519 $ 9,505
1/31/1995 $ 9,567 $ 9,399 $ 9,312
2/28/1995 $ 9,996 $ 9,790 $ 9,741
3/31/1995 $ 10,272 $ 9,959 $ 10,027
4/30/1995 $ 10,377 $ 10,180 $ 10,178
5/31/1995 $ 10,538 $ 10,355 $ 10,312
6/30/1995 $ 11,163 $ 10,892 $ 11,022
7/31/1995 $ 11,844 $ 11,520 $ 11,881
8/31/1995 $ 12,013 $ 11,758 $ 12,027
9/30/1995 $ 12,430 $ 11,969 $ 12,275
10/31/1995 $ 12,170 $ 11,434 $ 11,671
11/30/1995 $ 12,846 $ 11,914 $ 12,185
12/31/1995 $ 13,371 $ 12,228 $ 12,456
1/31/1996 $ 13,364 $ 12,215 $ 12,352
2/29/1996 $ 13,978 $ 12,596 $ 12,916
3/31/1996 $ 14,201 $ 12,853 $ 13,171
4/30/1996 $ 15,558 $ 13,541 $ 14,183
5/31/1996 $ 16,507 $ 14,074 $ 14,911
6/30/1996 $ 15,506 $ 13,496 $ 13,941
7/31/1996 $ 14,191 $ 12,318 $ 12,239
8/31/1996 $ 15,209 $ 13,033 $ 13,145
9/30/1996 $ 16,152 $ 13,543 $ 13,822
10/31/1996 $ 15,856 $ 13,334 $ 13,226
11/30/1996 $ 16,250 $ 13,884 $ 13,594
12/31/1996 $ 16,289 $ 14,247 $ 13,859
1/31/1997 $ 16,956 $ 14,532 $ 14,205
2/28/1997 $ 16,031 $ 14,181 $ 13,347
3/31/1997 $ 14,949 $ 13,511 $ 12,405
4/30/1997 $ 15,028 $ 13,549 $ 12,261
5/31/1997 $ 16,694 $ 15,056 $ 14,104
6/30/1997 $ 17,529 $ 15,702 $ 14,582
7/31/1997 $ 18,867 $ 16,432 $ 15,329
8/31/1997 $ 19,655 $ 16,808 $ 15,789
9/30/1997 $ 21,273 $ 18,039 $ 17,049
10/31/1997 $ 20,133 $ 17,247 $ 16,024
11/30/1997 $ 19,666 $ 17,135 $ 15,643
12/31/1997 $ 19,858 $ 17,434 $ 15,652
1/31/1998 $ 19,092 $ 17,159 $ 15,444
2/28/1998 $ 20,373 $ 18,427 $ 16,807
3/31/1998 $ 21,919 $ 19,186 $ 17,512
4/30/1998 $ 22,101 $ 19,292 $ 17,619
5/31/1998 $ 20,236 $ 18,252 $ 16,338
6/30/1998 $ 20,683 $ 18,290 $ 16,504
7/31/1998 $ 19,806 $ 16,809 $ 15,126
8/31/1998 $ 15,294 $ 13,544 $ 11,635
9/30/1998 $ 16,515 $ 14,605 $ 12,815
10/31/1998 $ 16,810 $ 15,201 $ 13,484
11/30/1998 $ 17,785 $ 15,997 $ 14,530
12/31/1998 $ 19,647 $ 16,988 $ 15,845
1/31/1999 $ 19,437 $ 17,214 $ 16,558
2/28/1999 $ 17,264 $ 15,819 $ 15,043
3/31/1999 $ 17,606 $ 16,066 $ 15,579
4/30/1999 $ 18,176 $ 17,506 $ 16,954
5/31/1999 $ 18,591 $ 17,761 $ 16,981
6/30/1999 $ 20,325 $ 18,564 $ 17,876
7/31/1999 $ 20,862 $ 18,055 $ 17,324
8/31/1999 $ 20,388 $ 17,387 $ 16,676
9/30/1999 $ 20,751 $ 17,391 $ 16,998
10/31/1999 $ 22,984 $ 17,462 $ 17,433
11/30/1999 $ 26,181 $ 18,505 $ 19,276
12/31/1999 $ 31,441 $ 20,599 $ 22,674
1/31/2000 $ 31,642 $ 20,268 $ 22,463
2/29/2000 $ 40,242 $ 23,614 $ 27,690
3/31/2000 $ 38,878 $ 22,058 $ 24,780
4/30/2000 $ 34,108 $ 20,730 $ 22,277
5/31/2000 $ 32,375 $ 19,521 $ 20,326
6/30/2000 $ 37,128 $ 21,223 $ 22,952
7/31/2000 $ 34,072 $ 20,540 $ 20,985
8/31/2000 $ 38,069 $ 22,107 $ 23,192
9/30/2000 $ 36,394 $ 21,457 $ 22,040
10/31/2000 $ 34,589 $ 20,500 $ 20,250
11/30/2000 $ 30,372 $ 18,395 $ 16,573
12/31/2000 $ 32,705 $ 19,975 $ 17,587
1/31/2001 $ 33,153 $ 21,016 $ 19,010
2/28/2001 $ 29,526 $ 19,637 $ 16,403
3/31/2001 $ 27,126 $ 18,677 $ 14,912
4/30/2001 $ 30,196 $ 20,137 $ 16,738
5/31/2001 $ 30,420 $ 20,633 $ 17,126
6/30/2001 $ 31,089 $ 21,345 $ 17,594
7/31/2001 $ 29,469 $ 20,190 $ 16,093
8/31/2001 $ 27,291 $ 19,538 $ 15,087
9/30/2001 $ 22,993 $ 16,908 $ 12,652
10/31/2001 $ 24,612 $ 17,897 $ 13,869
11/30/2001 $ 26,342 $ 19,282 $ 15,027
12/31/2001 $ 28,191 $ 20,472 $ 15,963
1/31/2002 $ 27,297 $ 20,259 $ 15,395
2/28/2002 $ 25,791 $ 19,704 $ 14,399
3/31/2002 $ 27,578 $ 21,288 $ 15,650
4/30/2002 $ 26,684 $ 21,482 $ 15,312
5/31/2002 $ 25,678 $ 20,528 $ 14,416
6/30/2002 $ 24,004 $ 19,510 $ 13,194
7/31/2002 $ 20,598 $ 16,564 $ 11,166
8/31/2002 $ 21,045 $ 16,523 $ 11,160
9/30/2002 $ 20,096 $ 15,336 $ 10,355
10/31/2002 $ 20,486 $ 15,829 $ 10,879
11/30/2002 $ 21,713 $ 17,240 $ 11,957
12/31/2002 $ 20,597 $ 16,280 $ 11,132
1/31/2003 $ 20,541 $ 15,829 $ 10,829
2/28/2003 $ 20,262 $ 15,351 $ 10,540
3/31/2003 $ 20,653 $ 15,549 $ 10,699
4/30/2003 $ 22,272 $ 17,023 $ 11,711
5/31/2003 $ 24,281 $ 18,850 $ 13,031
6/30/2003 $ 24,895 $ 19,191 $ 13,282
7/31/2003 $ 25,789 $ 20,392 $ 14,286
8/31/2003 $ 27,295 $ 21,326 $ 15,054
9/30/2003 $ 26,514 $ 20,932 $ 14,673
10/31/2003 $ 29,137 $ 22,690 $ 15,941
11/30/2003 $ 29,807 $ 23,496 $ 16,460
12/31/2003 $ 29,750 $ 23,973 $ 16,534
1/31/2004 $ 31,601 $ 25,011 $ 17,404
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 22.51 53.80 10.20 12.19
Russell 2000 Index 22.67 58.03 7.76 9.60
Russell 2000 Growth Index 21.81 60.71 1.01 5.70
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 19.51 44.44 8.65 11.93
Russell 2000 Index 24.92 47.25 7.13 9.47
Russell 2000 Growth Index 24.48 48.54 0.86 5.43
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. Please visit www.columbiamanagement.com for daily and most recent
month-end performance updates.
The Russell 2000 Index is an unmanaged index generally considered representative
of the market for small domestic stocks. The Russell 2000 Growth Index, also an
unmanaged index, measures the performance of those Russell 2000 companies with
higher price-to-book ratios and higher forecasted growth values. Unlike the
fund, indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
3
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED YEAR ENDED OCTOBER 31,
JANUARY 31, JULY 31, -------------------------
2004 2003(a) 2002 2001
------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 4.62 $ 3.67 $ 4.41 $ 18.78
------------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment loss (0.02)(c) (0.02)(c) (0.02)(c) (0.01)
Net realized and unrealized
gain (loss) on investments 1.06 0.97 (0.72) (2.18)
------------- ---------- ---------- ----------
Total from investment
operations 1.04 0.95 (0.74) (2.19)
------------- ---------- ---------- ----------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net realized gains - - -(d) (12.18)
------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.66 $ 4.62 $ 3.67 $ 4.41
============= ========== ========== ==========
Total return (e) 22.51%(f) 25.89%(f) (16.76)% (28.84)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 359,614 $ 293,924 $ 227,874 $ 283,521
Ratio of net expenses to
average net assets (g) 0.79%(h) 0.81%(h) 0.79% 0.82%
Ratio of net investment loss to
average net assets (g) (0.63)%(h) (0.55)%(h) (0.49)% (0.22)%
Portfolio turnover rate 71%(f) 89%(f) 120% 160%
<Caption>
YEAR ENDED OCTOBER 31,
----------------------------------------
2000 1999(b) 1998(b)
---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 13.59 $ 9.96 $ 13.60
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment loss (0.09) (0.04) (0.03)
Net realized and unrealized
gain (loss) on investments 6.80 3.69 (2.21)
---------- ---------- ----------
Total from investment
operations 6.71 3.65 (2.24)
---------- ---------- ----------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net realized gains (1.52) (0.02) (1.40)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 18.78 $ 13.59 $ 9.96
========== ========== ==========
Total return (e) 50.49% 36.70% (16.49)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 258,480 $ 240,129 $ 267,789
Ratio of net expenses to
average net assets (g) 0.79% 0.79% 0.77%
Ratio of net investment loss to
average net assets (g) (0.39)% (0.33)% (0.20)%
Portfolio turnover rate 163% 186% 159%
</Table>
(a)The Fund has changed its fiscal year end from October 31 to July 31.
(b)Per share amounts have been adjusted to retroactively reflect a 4 for 1 share
split effective September 1, 1999.
(c)Per share data was calculated using average shares outstanding during the
period.
(d)Rounds to less than $0.01 per share.
(e)Total return at net asset value assuming all distributions reinvested.
(f)Not annualized.
(g)The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h)Annualized.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (95.9%)
Consumer Discretionary (13.8%)
Auto Components (3.3%)
Autoliv, Inc. 137,372 $ 5,680,332
Gentex Corp. 80,915 3,538,413
Wabtec Corp. 150,500 2,448,635
---------------
11,667,380
---------------
Hotels, Restaurants & Leisure (2.7%)
Fairmont Hotels Resorts, Inc. 63,500 1,628,775
P.F. Chang's China Bistro, Inc. (a) 43,817 2,028,727
RARE Hospitality International, Inc. (a) 69,500 1,795,185
Ruby Tuesday, Inc. 101,900 2,847,086
WMS Industries, Inc. (a) 52,300 1,519,315
---------------
9,819,088
---------------
Household Durables (0.8%)
Harman International Industries, Inc. 37,700 2,798,471
---------------
Internet & Catalog Retail (0.5%)
Insight Enterprises, Inc. (a) 91,300 1,813,218
---------------
Media (3.6%)
Entercom Communications Corp. (a) 96,819 4,609,553
Entravision Communications Corp., Class A (a) 139,830 1,464,020
Getty Images, Inc. (a) 61,600 3,039,960
Radio One, Inc., Class D (a) 208,592 3,844,351
---------------
12,957,884
---------------
Specialty Retail (2.4%)
Advance Auto Parts, Inc. (a) 64,800 2,522,016
Guitar Center, Inc. (a) 54,800 1,882,928
O'Reilly Automotive, Inc. (a) 44,736 1,720,994
PETsMART, Inc. 106,700 2,504,249
---------------
8,630,187
---------------
Textiles, Apparel & Luxury Goods (0.5%)
Columbia Sportswear Co. (a) 33,900 1,801,107
---------------
Consumer Staples (2.1%)
Food Products (0.8%)
SunOpta, Inc. (a) 318,900 3,074,196
---------------
Personal Products (1.3%)
NBTY, Inc. (a) 138,100 4,526,918
---------------
Energy (6.1%)
Energy Equipment & Services (3.6%)
CAL Dive International, Inc. (a) 72,087 1,656,559
Key Energy Services, Inc. (a) 161,700 1,807,806
National-Oilwell, Inc. (a) 128,438 3,302,141
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Patterson-UTI Energy, Inc. (a) 36,100 $ 1,248,338
Precision Drilling Corp. (a) 31,476 1,458,283
Varco International, Inc. (a) 150,522 3,266,327
---------------
12,739,454
---------------
Oil & Gas (2.5%)
Chesapeake Energy Corp. 250,000 3,115,000
Spinnaker Exploration Co. (a) 58,600 1,993,572
XTO Energy, Inc. 153,796 4,034,069
---------------
9,142,641
---------------
Financials (2.4%)
Diversified Financials (0.8%)
Affiliated Managers Group, Inc. (a) 32,900 2,789,920
---------------
Insurance (1.6%)
Allmerica Financial Corp. (a) 98,700 3,422,916
ProAssurance Corp. (a) 77,900 2,535,645
---------------
5,958,561
---------------
Health Care (14.7%)
Biotechnology (2.2%)
Alkermes, Inc. (a) 127,300 1,906,954
Connetics Corp. (a) 85,200 1,875,252
ICOS Corp. (a) 76,400 3,335,624
OraSure Technologies, Inc. (a) 87,000 810,840
---------------
7,928,670
---------------
Health Care Equipment & Supplies (2.8%)
ArthroCare Corp. (a) 70,500 1,725,135
Dade Behring Holdings, Inc. (a) 53,300 2,065,375
Kyphon, Inc. (a) 42,952 1,245,179
Regeneration Technologies, Inc. (a) 163,000 1,630,000
ResMed, Inc. (a) 41,100 1,810,455
Wilson Greatbatch Technologies, Inc. (a) 44,475 1,796,790
---------------
10,272,934
---------------
Health Care Providers & Services (8.1%)
Community Health Systems, Inc. (a) 70,600 1,995,156
Coventry Health Care, Inc. (a) 28,500 1,889,550
DaVita, Inc. (a) 112,446 4,511,334
Henry Schein, Inc. (a) 76,295 5,351,331
ICON PLC, ADR (a) 89,150 3,263,782
Kindred Healthcare, Inc. (a) 50,100 2,804,598
Renal Care Group, Inc. (a) 111,100 4,822,851
Sierra Health Services, Inc. (a) 76,300 2,243,220
United Surgical Partners International, Inc. (a) 56,200 2,143,468
---------------
29,025,290
---------------
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Pharmaceuticals (1.6%)
MGI Pharma, Inc. (a) 42,300 $ 2,017,287
NPS Pharmaceuticals, Inc. (a) 109,100 3,765,041
---------------
5,782,328
---------------
Industrials (11.8%)
Aerospace & Defense (0.8%)
Armor Holdings, Inc. (a) 68,200 1,863,224
United Defense Industries, Inc. (a) 39,700 1,163,210
---------------
3,026,434
---------------
Air Freight & Logistics (0.6%)
UTI Worldwide, Inc. 50,000 2,060,500
---------------
Airlines (0.0%)
SkyWest, Inc. (a) 5,800 112,056
---------------
Commercial Services & Supplies (7.9%)
CheckFree Corp. (a) 94,100 2,953,799
Corinthian Colleges, Inc. (a) 73,927 4,604,913
Corporate Executive Board Co. 73,833 3,525,526
Education Management Corp. (a) 217,192 7,291,135
Global Payments, Inc. 55,764 2,593,026
Resources Connection, Inc. (a) 102,800 3,521,928
Roto-Rooter, Inc. 16,300 1,028,204
Tetra Tech, Inc. (a) 127,800 2,798,820
---------------
28,317,351
---------------
Construction & Engineering (0.7%)
Chicago Bridge & Iron Co. NV, N.Y. Shares 76,652 2,342,485
---------------
Electrical Equipment (0.7%)
Power-One, Inc. (a) 196,900 2,465,188
---------------
Machinery (1.0%)
Albany International Corp., Class A 84,554 2,726,866
Terex Corp. (a) 28,900 853,128
---------------
3,579,994
---------------
Road & Rail (0.1%)
Yellow Roadway Corp. (a) 15,400 484,315
---------------
Information Technology (39.9%)
Communications Equipment (9.4%)
Advanced Fibre Communications, Inc. (a) 141,400 3,338,454
Aspect Communications Corp. (a) 206,500 3,603,425
AudioCodes Ltd. (a) 41,300 567,875
Extreme Networks, Inc. (a) 437,000 3,710,130
F5 Networks, Inc. (a) 52,900 1,799,129
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Communications Equipment (continued)
Foundry Networks, Inc. (a) 74,800 $ 1,782,484
Ixia (a) 233,800 3,413,480
NetScreen Technologies, Inc. (a) 138,400 3,615,008
Polycom, Inc. (a) 259,900 6,151,833
Powerwave Technologies, Inc. (a) 243,100 2,394,535
REMEC, Inc. (a) 140,400 1,405,404
Westell Technologies, Inc., Class A (a) 272,200 2,150,380
---------------
33,932,137
---------------
Computers & Peripherals (2.0%)
Advanced Digital Information Corp. (a) 51,200 913,408
Electronics for Imaging, Inc. (a) 226,764 6,070,472
---------------
6,983,880
---------------
Electronic Equipment & Instruments (7.9%)
Amphenol Corp., Class A (a) 135,328 8,941,121
Artesyn Technologies, Inc. (a) 278,700 2,959,794
AVX Corp. 267,500 4,657,175
Benchmark Electronics, Inc. (a) 25,900 910,644
Electro Scientific Industries, Inc. (a) 99,500 2,557,150
Exar Corp. (a) 134,500 2,719,590
KEMET Corp. (a) 193,900 2,947,280
Merix Corp. (a) 57,700 1,566,555
Roper Industries, Inc. 24,600 1,192,854
---------------
28,452,163
---------------
Internet Software & Services (3.2%)
Ask Jeeves, Inc. (a) 176,700 3,836,157
CNET Networks, Inc. (a) 349,800 3,756,852
DoubleClick, Inc. (a) 333,200 4,011,728
---------------
11,604,737
---------------
Information Technology Consulting & Services (1.8%)
Anteon International Corp. (a) 62,200 1,809,398
CACI International, Inc., Class A (a) 60,400 2,671,492
Cognizant Technology Solutions Corp. (a) 35,400 1,912,662
---------------
6,393,552
---------------
Semiconductor Equipment & Products (7.6%)
ASE Test Ltd. (a) 181,500 2,444,805
Axcelis Technologies, Inc. (a) 176,400 2,238,516
ChipPAC, Inc., Class A (a) 398,800 2,923,204
Conexant Systems, Inc. (a) 266,800 1,779,556
Credence Systems Corp. (a) 292,700 4,150,486
Integrated Device Technology (a) 239,700 4,367,334
Lattice Semiconductor Corp. (a) 178,700 1,917,451
ON Semiconductor Corp. (a) 261,600 1,831,200
TriQuint Semiconductor, Inc. (a) 286,200 2,452,734
Ultratech, Inc. (a) 110,800 3,219,848
---------------
27,325,134
---------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
--------------- ---------------
Common Stocks (continued)
Software (8.0%)
Agile Software Corp. (a) 30,400 $ 316,160
Amdocs Ltd. (a) 51,800 1,469,566
Autodesk, Inc. 67,500 1,724,625
Cerner Corp. (a) 71,200 2,791,040
Citrix Systems, Inc. (a) 93,900 1,888,329
Embarcadero Technologies, Inc. (a) 126,100 1,796,925
Fair Isaac Corp. 113,050 6,711,778
Macromedia, Inc. (a) 178,900 3,229,145
Manhattan Associates, Inc. (a) 48,800 1,371,280
National Instruments Corp. 58,166 2,865,839
Quest Software, Inc. (a) 112,800 1,897,296
RadiSys Corp. (a) 30,200 698,526
Verity, Inc. (a) 117,300 1,875,627
---------------
28,636,136
---------------
Materials (3.4%)
Chemicals (1.5%)
OM Group, Inc. (a) 166,800 5,362,620
---------------
Metals & Mining (1.9%)
Arch Coal, Inc. 27,000 745,740
GrafTech International Ltd. (a) 253,300 3,151,052
Massey Energy Co. 40,300 806,000
Steel Dynamics, Inc. (a) 94,400 2,105,120
---------------
6,807,912
---------------
Telecommunication Services (1.7%)
Diversified Telecommunication Services (0.7%)
Covad Communications Group, Inc. (a) 264,300 927,693
PTEK Holdings, Inc. (a) 182,700 1,772,190
---------------
2,699,883
---------------
Wireless Telecommunication Services (1.0%)
Wireless Facilities, Inc. (a) 247,400 3,540,294
---------------
Total Common Stocks
(Cost of $263,804,077) 344,855,018
---------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Short-Term Obligation (4.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at 0.930%,
collateralized by a U.S. Treasury Note
maturing 05/15/07, market value of $16,578,275
(repurchase proceeds $16,250,259)
(Cost of $16,249,000) $ 16,249,000 $ 16,249,000
---------------
Total Investments (100.4%)
(Cost of $280,053,077) (b) 361,104,018
Other Assets & Liabilities, Net (-0.4%) (1,489,772)
---------------
Net Assets (100.0%) $ 359,614,246
===============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
------- ----
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2004 (Unaudited)
<Table>
ASSETS:
Investments, at identified cost $ 280,053,077
----------------
Investments, at value $ 361,104,018
Cash 864
Receivable for:
Investments sold 6,148,488
Interest 840
Dividends 5,645
----------------
Total assets 367,259,855
----------------
LIABILITIES:
Payable for:
Investments purchased 7,320,018
Capital stock redeemed 58,311
Investment advisory fee 227,166
Transfer agent fee 2,388
Trustees' fees 3,415
Custody fee 3,892
Other liabilities 30,419
----------------
Total liabilities 7,645,609
----------------
NET ASSETS $ 359,614,246
================
NET ASSETS consist of:
Paid-in capital $ 333,161,158
Accumulated net investment loss (989,937)
Accumulated net realized loss (53,607,916)
Net unrealized appreciation on investments 81,050,941
----------------
NET ASSETS $ 359,614,246
================
Shares of capital stock outstanding 63,558,114
================
Net asset value, offering and redemption price per share $ 5.66
================
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
STATEMENT OF OPERATIONS
For the Six Months Ended January 31, 2004 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 216,431
Interest 51,839
Foreign withholding tax (1,313)
----------------
Total income 266,957
----------------
Expenses:
Investment advisory fee 1,269,801
Transfer agent fee 6,311
Trustees' fees 2,195
Custody fee 10,405
Other expenses 48,255
----------------
Total expenses 1,336,967
Custody earnings credit (194)
----------------
Net expenses 1,336,773
----------------
Net investment loss (1,069,816)
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments 45,745,178
Net change in unrealized appreciation/depreciation on investments 22,647,465
----------------
Net gain 68,392,643
----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 67,322,827
----------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
Operations:
Net investment loss $ (1,069,816) $ (1,028,938) $ (1,466,876)
Net realized gain (loss) on investments 45,745,178 7,809,978 (50,084,055)
Net change in unrealized appreciation/depreciation
on investments 22,647,465 52,680,821 (2,348,752)
---------------- ---------------- ----------------
Net increase (decrease) from operations 67,322,827 59,461,861 (53,899,683)
Distributions declared to shareholders:
From net realized gains - - (74,803)
---------------- ---------------- ----------------
Net capital share transactions (1,632,840) 6,588,720 (1,672,970)
---------------- ---------------- ----------------
Net increase (decrease) in net assets 65,689,987 66,050,581 (55,647,456)
NET ASSETS:
Beginning of period 293,924,259 227,873,678 283,521,134
---------------- ---------------- ----------------
End of period $ 359,614,246 $ 293,924,259 $ 227,873,678
================ ================ ================
Undistributed (accumulated) net investment
income (loss) $ (989,937) $ 79,879 $ 72,143
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
13
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2004 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Small Cap Fund (the "Fund"), a series of CMG Fund Trust (the "Trust"), is a
diversified portfolio. The Trust is an Oregon business trust registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company.
INVESTMENT GOAL. The Fund seeks to provide investors with long-term capital
appreciation, by investing primarily in smaller capitalization companies.
FUND SHARES. The Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
Equity securities are valued at the last sale price at the close of the
principal exchange on which they trade. Unlisted securities or listed securities
for which there were no sales during the day are valued at the closing bid price
on such exchanges or over-the-counter markets.
Short-term obligations maturing within 60 days are valued at amortized cost,
which approximates market value.
Foreign securities are generally valued at the closing price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Fund's
shares are determined as of such times. Foreign currency exchange rates are also
generally determined prior to the close of the NYSE at 2:00 p.m. Eastern (U.S.)
time. Occasionally, events affecting the values of such foreign securities and
such exchange rates may occur between the times at which they are determined and
the close of the customary trading session of the NYSE, which would not be
reflected in the computation of the Fund's net asset value. If events materially
affecting the values of such foreign securities occur and it is determined that
market quotations are not readily available, then these foreign securities will
be valued at their fair value as determined in good faith by or under the
supervision of the Board of Trustees.
Investments for which market quotations are not readily available, or quotations
which management believes are not appropriate, are valued at fair value under
procedures approved by the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
14
<Page>
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Fund becomes
aware of such, net of non-reclaimable tax withholdings. Awards from class action
litigation are recorded as a reduction of cost if the Fund still owns the
applicable securities on the payment date. If the Fund no longer owns the
applicable securities, the proceeds are recorded as realized gains.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
The Fund does not distinguish that portion of gains (losses) on investments
which is due to changes in foreign exchange rates from that which is due to
changes in market prices of the investments. Such fluctuations are included with
the net realized and unrealized gains (losses) on investments.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, by
distributing in each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, the Fund will not be
subject to federal excise tax. Therefore, no federal income or excise tax
provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
Income and capital gains dividends are determined in accordance with income tax
regulations which may differ from GAAP.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal year ended October 31, 2002 was as follows:
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003 OCTOBER 31, 2002
--------------- ------------------
Distributions paid from:
Ordinary income* $ - $ 74,803
</Table>
*For tax purposes short-term capital gains distributions, if any, are considered
ordinary income distributions.
15
<Page>
Unrealized appreciation and depreciation at January 31, 2004, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 83,634,734
Unrealized depreciation (2,583,793)
---------------
Net unrealized appreciation $ 81,050,941
===============
</Table>
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARD
---------------
YEAR OF EXPIRATION
2009 $ 44,821,859
2010 52,106,545
---------------
$ 96,928,404
===============
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect, wholly owned subsidiary of FleetBoston Financial Corporation
("FleetBoston"), is the investment advisor to the Fund and provides
administrative and other services. Columbia receives a monthly investment
advisory fee at the annual rate of 0.75% of the Fund's average daily net assets.
FleetBoston has entered into an agreement with Bank of America Corporation
("BOA") to merge the two financial services companies. On March 17, 2004, the
shareholders of FleetBoston and BOA voted to approve the merger. The transaction
is expected to be completed in the second quarter of 2004.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to the Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). Columbia pays fees to State Street under the
Outsourcing Agreement. The Fund is not charged a fee for these services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"),
formerly Liberty Funds Services, Inc., an affiliate of Columbia, provides
shareholder services to the Fund. For such services, the Transfer Agent receives
a fee, paid monthly, at the annual rate of $28.00 per open account.
Prior to November 1, 2003, the Transfer Agent was entitled to receive a monthly
transfer agent fee based on a per account fee or a minimum of $1,500 per month.
For the six months ended January 31, 2004, the Fund's annualized effective
transfer agent fee rate was 0.004%.
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. The Fund could have invested a
portion of the assets utilized in connection with the expense offset arrangement
in an income-producing asset if it had not entered into such an agreement.
FEES PAID TO OFFICERS AND TRUSTEES. Trustees' fees and expenses are paid
directly by the Fund to trustees having no affiliation with the Fund other than
their capacity as trustees. Other trustees and officers receive no compensation
from the Fund.
16
<Page>
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2004, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were $230,432,828
and $237,300,365, respectively.
NOTE 6. CAPITAL STOCK ACTIVITY:
Transactions of capital shares were as follows:
<Table>
<Caption>
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
SHARES:
Shares sold 4,512,524 6,868,955 28,006,875
Shares issued for reinvestment of dividends - - 15,143
Less shares redeemed (4,548,633) (5,286,942) (30,327,298)
---------------- ---------------- ----------------
Net increase (decrease) in shares (36,109) 1,582,013 (2,305,280)
================ ================ ================
AMOUNTS:
Sales $ 22,599,397 $ 26,844,551 $ 122,231,939
Reinvestment of dividends - - 74,656
Less redemptions (24,232,237) (20,255,831) (123,979,565)
---------------- ---------------- ----------------
Net increase (decrease) $ (1,632,840) $ 6,588,720 $ (1,672,970)
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
NOTE 7. LINE OF CREDIT:
The Fund participates in a $100,000,000 uncommitted line of credit along with
the other funds of the Trust and several of the Columbia Funds, an affiliated
group of funds managed by Columbia. The uncommitted line of credit expires on
July 2, 2004. For the six months ended January 31, 2004, the Fund did not borrow
under these arrangements.
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2004, 44.51% of the outstanding shares of the Fund were held
by 44.51% shareholders, each of which represents in excess of 5% of the Fund's
shares outstanding. Subscription and redemption activity of these shareholders
may have a material effect on the fund.
NOTE 9. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
17
<Page>
LEGAL PROCEEDINGS. Columbia, and Columbia Funds Distributor, Inc. ("CFDI"), and
certain of their affiliates (collectively, "the Columbia Group") have received
information requests and subpoenas from various regulatory and law enforcement
authorities in connection with their investigations of late trading and market
timing in mutual funds. The Columbia Group has not uncovered any instances where
Columbia or CFDI were knowingly involved in late trading of mutual fund shares.
On February 24, 2004, the Securities and Exchange Commission ("SEC") filed a
civil complaint in the United States District Court for the District of
Massachusetts against Columbia and CFDI, alleging that they had violated certain
provisions of the federal securities laws in connection with trading activity in
mutual fund shares. Also on February 24, 2004, the New York Attorney General
("NYAG") filed a civil complaint in New York Supreme Court, County of New York
against Columbia and CFDI alleging that Columbia and CFDI had violated certain
New York anti-fraud statutes. On March 15, 2004, Columbia and CFDI entered into
agreements in principle with the SEC Division of Enforcement and NYAG in
settlement of the charges. Under the agreements, Columbia and CFDI agreed, inter
alia, to the following conditions: payment of $70 million in disgorgement;
payment of $70 million in civil penalties; an order requiring Columbia and CFDI
to cease and desist from violations of the antifraud provisions and other
provisions of the federal securities laws; governance changes designed to
maintain the independence of the mutual fund boards of trustees and ensure
compliance with securities laws and their fiduciary duties; and retention of an
independent consultant to review Columbia's and CFDI's compliance policies and
procedures. The agreement requires the final approval of the SEC. In a separate
agreement with the NYAG, the Columbia Group has agreed to reduce mutual fund
fees by $80 million over a five-year period.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
NOTE 10. COMPARABILITY OF FINANCIAL STATEMENTS:
On January 29, 2003, the Board of Trustees approved a change in the fiscal year
end of the Fund from October 31 to July 31.
18
<Page>
Shareholder Meeting Results
On October 7, 2003, a Special Meeting of Shareholders of CMG Fund Trust was held
to conduct a vote for and against the approval of the Item listed on the Proxy
Statement for said meeting. The votes cast at the Meeting were as follows:
PROPOSAL 1.
Election of the following Trustees:
Douglas A. Hacker, Janet Langford Kelly, Richard W. Lowry, Charles R.
Nelson, John J. Neuhauser, Patrick J. Simpson, Thomas E. Stitzel, Thomas C.
Theobald, Anne-Lee Verville, Richard L. Woolworth, William E. Mayer and
Joseph R. Palombo:
<Table>
Total shares in favor of proposal: 55,945,086
Total shares against or abstaining proposal: 131,926
</Table>
19
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/092R-0204 (03/04) C04/020
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to its portfolio securities is available (i) without
charge, upon request, by calling 800-547-1037 and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT US AT 800-547-1037
FOR A PROSPECTUS, WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE
FUND. READ IT CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 SW Fifth
Avenue, Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP(SM) LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2004
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of the CMG Strategic
Equity Fund. For the six-month period ended January 31, 2004, the fund returned
17.34%. The fund's emphasis on stocks that benefited from the economic recovery
helped it perform better than the S&P 500 Index, which returned 15.23%.
The fund started the period with an emphasis on cyclical sectors such as
industrials, materials and construction, poised to benefit from a stronger
economy. Within these sectors, our investments in Caterpillar and CNH Global in
machinery and construction, Timken and Eaton in engineering, and materials
producers Temple-Inland, Georgia-Pacific and Dow Chemical all contributed to the
fund's positive return.(1)
The fund's technology positions, including Atmel, SanDisk and Polycom, also
generated attractive returns. We sold Atmel and SanDisk, makers of memory
products for a range of consumer items, at a profit. However, we held on to
Polycom, a leader in voice and video conferencing. We believe that the company
has the potential to continue to benefit from the trend toward reduced business
travel that is part of cost-cutting initiatives at many companies. Korean
electronics maker, Samsung Electronics, and semiconductor manufacturer, Texas
Instruments, also had a positive impact on the fund's return.
We did well to limit our exposure to consumer-oriented stocks, which were
disappointing performers during the period. The fund suffered a loss in Newell
Rubbermaid when an expected turnaround failed to materialize. We sold the stock
during the period. Japanese retailer Ito-Yokado also fell short of our
expectations.
In health care, Quest Diagnostics benefited from the aging of the US population
as well as increased health testing for corporate employees. The company
provides clinical lab testing to health care facilities. However, results at
major pharmaceutical companies, such as Schering-Plough and Bristol-Myers
Squibb, were hurt by competition from low-priced generic formulations of
profitable drugs and slim product pipelines.
Our investments in three emerging market cellular phone companies rose over the
period. PT Perusahaan Telekomunikasi; Millicom International Cellular, which is
active in Vietnam, Pakistan and other Asian nations; and Russia's Mobile
Telesystems all operate in markets where cell phone penetration is relatively
low but growing rapidly.
- ----------
(1) Holdings are disclosed as a percentage of net assets as of January 31, 2004
and are subject to change: Caterpillar (0.5%), CNH Global (0.2%), Timken
(0.5%), Eaton (0.6%), Temple-Inland (0.1%), Georgia-Pacific (0.3%), Dow
Chemical (0.6%), Polycom (0.5%), Samsung Electronics (0.5%), Texas
Instruments (0.5%), Ito-Yokado (0.3%), Quest Diagnostics (0.7%),
Schering-Plough (0.2%), Bristol-Myers Squibb (0.3%), PT Perusahaan
Telekomunikasi (0.4%), Millicom International Cellular (0.7%), Mobile
Telesystems (0.4%), DST Systems (0.6%), Check Point Software Technologies
(0.3%), Novell (0.4%), Kroll (0.3%) and Microsoft (0.9%).
1
<Page>
Late in the period, we reduced the fund's exposure to semiconductor-related
issues. We reinvested the proceeds in software and service companies, such as
DST Systems, Check Point Software Technologies, Novell and Kroll, where values
appear more attractive. We also increased our position in Microsoft. These
shifts resulted in a portfolio with greater emphasis on growth-oriented
companies than we had at the beginning of the period. The change reflects our
belief that many of the cyclical stocks that did so well during the period have
appreciated up to and beyond their fair value. It also reflects our concern that
the current economic recovery may not have the power to sustain itself through
2005.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were:
<Table>
<Caption>
(%)
3M 1.3
Schlumberger 0.9
Microsoft 0.9
Pfizer 0.9
Berkshire Hathaway 0.9
American Express 0.7
General Electric 0.7
Quest Diagnostics 0.7
Millicom International Cellular 0.7
Abbott Laboratories 0.6
</Table>
We appreciate your continued confidence in CMG Strategic Equity Fund.
The Columbia Investment Team
January 31, 2004
An investment in CMG Strategic Equity Fund offers the potential for long-term
growth, but also involves certain risks, including stock market fluctuations due
to economic and business developments.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, OCTOBER 9, 2001 TO JANUARY 31, 2004
<Table>
<Caption>
CMG STRATEGIC EQUITY FUND S&P 500 INDEX
10/1/2001 $ 10,000 $ 10,000
10/09/2001 - 10/31/2001 $ 10,100 $ 10,033
11/01/2001 - 11/30/2001 $ 11,040 $ 10,803
12/01/2001 - 12/31/2001 $ 11,386 $ 10,898
01/01/2002 - 01/31/2002 $ 11,315 $ 10,738
02/01/2002 - 02/28/2002 $ 11,295 $ 10,531
03/01/2002 - 03/31/2002 $ 11,956 $ 10,927
04/01/2002 - 04/30/2002 $ 11,816 $ 10,265
05/01/2002 - 05/31/2002 $ 11,836 $ 10,189
06/01/2002 - 06/30/2002 $ 11,286 $ 9,464
07/01/2002 - 07/31/2002 $ 10,494 $ 8,726
08/01/2002 - 08/31/2002 $ 10,565 $ 8,783
09/01/2002 - 09/30/2002 $ 9,633 $ 7,828
10/01/2002 - 10/31/2002 $ 10,154 $ 8,517
11/01/2002 - 11/30/2002 $ 11,025 $ 9,019
12/01/2002 - 12/31/2002 $ 10,357 $ 8,490
01/01/2003 - 01/31/2003 $ 10,105 $ 8,267
02/01/2003 - 02/28/2003 $ 9,954 $ 8,143
03/01/2003 - 03/31/2003 $ 9,924 $ 8,222
04/01/2003 - 04/30/2003 $ 10,800 $ 8,900
05/01/2003 - 05/31/2003 $ 11,606 $ 9,369
06/01/2003 - 06/30/2003 $ 11,757 $ 9,489
07/01/2003 - 07/31/2003 $ 12,150 $ 9,656
08/01/2003 - 08/31/2003 $ 12,603 $ 9,844
09/01/2003 - 09/30/2003 $ 12,462 $ 9,739
10/01/2003 - 10/31/2003 $ 13,137 $ 10,291
11/01/2003 - 11/30/2003 $ 13,398 $ 10,381
12/01/2003 - 12/31/2003 $ 14,009 $ 10,925
01/01/2004 - 01/31/2004 $ 14,256 $ 11,125
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 17.34 41.08 16.57
S&P 500 Index 15.23 34.57 4.72
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 19.16 35.27 16.34
S&P 500 Index 15.14 28.68 4.05
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. Please visit www.columbiamanagement.com for daily and most recent
month-end performance updates.
The fund's inception date is October 9, 2001, and the index performance is from
October 9, 2001.
The S&P (Standard & Poor's) 500 Index is an unmanaged index that tracks the
performance of 500 widely held, large-capitalization US stocks. Unlike the fund,
indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any reimbursement of fund expenses by the advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
3
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, OCTOBER 31, OCTOBER 31,
2004 2003(a) 2002 2001(b)
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.06 $ 10.14 $ 10.10 $ 10.00
------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05(c) 0.10(c) 0.11(c) -(d)
Net realized and unrealized gain (loss)
on investments and foreign currency 2.03 1.88 (0.05) 0.10
------------- ------------- ------------- -------------
Total from investment operations 2.08 1.98 0.06 0.10
------------- ------------- ------------- -------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.09) (0.06) (0.02) -
From realized capital gains (0.16) - - -
------------- ------------- ------------- -------------
Total distributions (0.25) (0.06) (0.02) -
------------- ------------- ------------- -------------
NET ASSET VALUE, END OF PERIOD $ 13.89 $ 12.06 $ 10.14 $ 10.10
============= ============= ============= =============
Total return (e)(f) 17.34%(g) 19.66%(g) 0.53% 1.00%(g)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 608,189 $ 370,620 $ 188,179 $ 36,942
Ratio of net expenses to
average net assets (h) 0.40%(i) 0.40%(i) 0.40% 0.40%(i)
Ratio of net investment income to
average net assets (h) 0.81%(i) 1.22%(i) 1.01% 0.04%(i)
Waiver/reimbursement 0.05%(i) 0.05%(i) 0.07% 0.80%(i)
Portfolio turnover rate 43%(g) 78%(g) 172% 14%(g)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on October 9, 2001. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(g) Not annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(i) Annualized.
See Accompanying Notes to Financial Statements.
4
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (83.5%)
Consumer Discretionary (11.9%)
Auto Components (1.3%)
Dana Corp. 30,000 $ 624,000
Modine Manufacturing Co. 85,350 2,284,819
Nokian Renkaat Oyj 30,360 2,457,871
Visteon Corp. 200,000 2,140,000
Wabtec Corp. 40,000 650,800
--------------
8,157,490
--------------
Hotels, Restaurants & Leisure (1.4%)
Caesars Entertainment, Inc. (a) 200,000 2,290,000
California Pizza Kitchen, Inc. (a) 30,000 513,000
Fairmont Hotels & Resorts, Inc. 50,000 1,282,500
McDonald's Corp. 121,000 3,114,540
Starwood Hotels & Resorts Worldwide, Inc. 30,000 1,060,200
--------------
8,260,240
--------------
Household Durables (1.5%)
Cavco Industries, Inc. (a) 40,000 1,260,000
Ekornes ASA 100,000 1,839,336
Matsushita Electric Industrial Co., Ltd., ADR 135,000 2,025,000
Pioneer Corp., ADR 50,000 1,495,000
Sony Corp., ADR 57,500 2,337,375
--------------
8,956,711
--------------
Internet & Catalog Retail (0.8%)
eBay, Inc. (a) 42,500 2,848,775
InterActiveCorp. (a) 62,500 2,025,000
--------------
4,873,775
--------------
Media (4.8%)
Belo Corp., Class A 67,500 1,859,625
Clear Channel Communications, Inc. (a) 20,000 899,800
Comcast Corp., Class A (a) 50,000 1,647,500
Entravision Communications Corp. (a) 100,000 1,047,000
Grupo Televisa SA, ADR (a) 55,000 2,227,500
Hughes Electronics Corp. (a) 164,643 2,756,124
John Wiley & Sons, Inc., Class A 30,000 802,500
Liberty Media Corp. 100,000 1,164,000
Media General, Inc., Class A 37,500 2,411,250
News Corp., Ltd., ADR, PRF 68,414 2,193,353
Pixar, Inc. 20,000 1,330,000
Pulitzer, Inc. 22,500 1,197,000
Time Warner, Inc. (a) 125,815 2,210,570
Viacom, Inc., Class B 75,310 3,034,993
Vivendi Universal SA, ADR 50,000 1,326,000
Walt Disney Co. 132,500 3,180,000
--------------
29,287,215
--------------
Multi-line Retail (1.3%)
Big Lots, Inc. (a) 75,000 1,059,750
Dillard's, Inc., Class A 100,000 1,696,000
Ito-Yokado Co., Ltd. 55,000 1,901,838
</Table>
See Accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Multi-line Retail (continued)
Kohl's Corp. (a) 42,500 $ 1,882,750
Stockmann Oyj ABP, Class B 70,000 1,660,875
--------------
8,201,213
--------------
Specialty Retail (0.8%)
American Eagle Outfitters, Inc. (a) 30,000 558,000
Carmax, Inc. (a) 53,496 1,784,092
Cole National Corp. (a) 60,000 1,321,800
Home Depot, Inc. 30,000 1,064,100
--------------
4,727,992
--------------
Consumer Staples (6.9%)
Beverages (1.9%)
Coca-Cola Co. 72,500 3,569,900
Coca-Cola Femsa, SA de CV, ADR 125,000 2,912,500
Coca Cola Hellenic Bottling Co. SA 85,000 1,852,682
Companhia de Bebidas das Americas, ADR 112,500 2,716,875
Harbin Brewery Group Ltd. 1,000,000 417,872
--------------
11,469,829
--------------
Food & Staples Retailing (1.6%)
Albertson's, Inc. 62,200 1,452,992
Costco Wholesale Corp. (a) 40,000 1,483,200
Longs Drug Stores Corp. 50,000 1,113,500
United Natural Foods, Inc. (a) 55,000 2,190,650
Walgreen Co. 97,500 3,368,625
--------------
9,608,967
--------------
Food Products (1.6%)
General Mills, Inc. 40,000 1,817,200
Hain Celestial Group, Inc. (a) 50,000 1,130,500
Interstate Bakeries Corp. 57,500 829,150
Kellogg Co. 47,500 1,795,975
Kraft Foods, Inc. 30,000 966,300
Nestle SA, Registered Shares 5,000 1,318,402
Tootsie Roll Industries, Inc. 20,000 720,000
Tyson Foods, Inc. 80,000 1,230,400
--------------
9,807,927
--------------
Household Products (0.7%)
Kimberly-Clark Corp. 42,500 2,510,050
Procter & Gamble Co. 20,000 2,021,600
--------------
4,531,650
--------------
Personal Products (1.1%)
Estee Lauder Companies, Inc. 67,500 2,765,475
Gillette Co. 98,050 3,554,312
--------------
6,319,787
--------------
Energy (6.7%)
Energy Equipment & Services (3.6%)
BJ Services Co. (a) 60,000 2,348,400
</Table>
See Accompanying Notes to Financial Statements.
6
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Energy Equipment & Services (continued)
Core Laboratories NV (a) 67,500 $ 1,083,375
GlobalSantaFe Corp. 60,275 1,645,507
Grant PrideCo, Inc. (a) 132,500 1,802,000
Halliburton Co. 125,000 3,768,750
Helmerich & Payne, Inc. 20,000 580,400
Schlumberger Ltd. 92,100 5,634,678
Transocean, Inc. (a) 87,500 2,357,250
Weatherford International Ltd. (a) 40,000 1,612,800
Willbros Group, Inc. (a) 100,000 1,288,000
--------------
22,121,160
--------------
Oil & Gas (3.1%)
Anadarko Petroleum Corp. 35,000 1,746,500
BP PLC, ADR 77,500 3,689,000
ConocoPhillips 30,000 1,976,400
Devon Energy Corp. 37,500 2,117,250
Energy Partners Ltd. (a) 100,000 1,371,000
Exxon Mobil Corp. 30,000 1,223,700
Murphy Oil Corp. 20,000 1,211,200
Newfield Exploration Co. (a) 42,500 2,005,575
Stelmar Shipping Ltd. (a) 36,500 948,635
Unocal Corp. 62,500 2,301,250
--------------
18,590,510
--------------
Financials (11.6%)
Banks (4.2%)
Allied Irish Banks PLC, ADR 50,000 1,692,000
Banco Bradesco SA, ADR 65,000 1,641,250
Banco Itau SA, ADR 15,000 729,000
Bank One Corp. 67,520 3,417,187
Columbia Banking Systems, Inc. 47,500 1,040,725
Fifth Third Bancorp 50,000 2,889,500
Freddie Mac 37,500 2,340,750
Grupo Financiero BBVA Bancomer, SA, Class B (a) 1,600,000 1,538,476
HSBC Holdings PLC, ADR 27,500 2,134,000
Keycorp 40,000 1,243,600
Mitsubishi Tokyo Financial Group, Inc., ADR (a) 225,000 1,739,250
Radian Group, Inc. 40,000 1,862,400
U.S. Bancorp 72,500 2,049,575
Wachovia Corp. 30,000 1,387,200
--------------
25,704,913
--------------
Diversified Financials (4.1%)
American Express Co. 86,700 4,494,528
Bank of New York Co., Inc. 77,500 2,460,625
Charles Schwab Corp. 100,000 1,259,000
Citigroup, Inc. 60,783 3,007,543
GATX Corp. 112,500 2,542,500
Instinet Group, Inc. (a) 100,000 626,000
JP Morgan Chase & Co. 67,900 2,640,631
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Diversified Financials (continued)
Mellon Financial Corp. 30,000 $ 981,300
Morgan Stanley 25,000 1,455,250
Nikko Cordial Corp. 200,000 1,088,384
Nomura Holdings, Inc., ADR 125,000 2,072,500
Piper Jaffray Companies, Inc. (a) 39,950 1,875,652
--------------
24,503,913
--------------
Insurance (2.5%)
Allstate Corp. 50,800 2,309,368
American International Group, Inc. 52,724 3,661,682
Berkshire Hathaway, Inc., Class B (a) 1,800 5,365,800
Cincinnati Financial Corp. 30,000 1,299,600
St. Paul Companies, Inc. 42,500 1,790,525
Travelers Property Casualty Corp., Class A 50,000 908,000
--------------
15,334,975
--------------
Real Estate (0.8%)
Apartment Investment & Management Co., Class A, REIT 30,000 1,055,400
MI Developments, Inc., Class A (a) 72,500 2,033,625
Post Properties, Inc., REIT 62,500 1,746,875
--------------
4,835,900
--------------
Health Care (12.4%)
Biotechnology (1.7%)
Abgenix, Inc. (a) 100,000 1,560,000
Amgen, Inc. (a) 32,500 2,095,925
Biogen Idec, Inc (a) 91,375 3,909,936
Celgene Corp. (a) 20,000 808,200
MedImmune, Inc. (a) 52,500 1,233,750
Millennium Pharmaceuticals, Inc. (a) 40,000 705,600
--------------
10,313,411
--------------
Health Care Equipment & Supplies (2.6%)
Alcon, Inc. 50,000 3,200,500
Applera Corp. - Applied Biosystems Group 100,800 2,382,912
Bausch & Lomb, Inc. 20,000 1,075,000
Baxter International, Inc. 40,000 1,166,000
Haemonetics Corp. (a) 62,500 1,781,250
ICU Medical, Inc. (a) 15,000 565,500
Medtronic, Inc. 42,680 2,100,710
Millipore Corp. (a) 45,000 2,337,750
Zimmer Holdings, Inc. (a) 15,000 1,147,500
--------------
15,757,122
--------------
Health Care Providers & Services (2.7%)
Accredo Health, Inc. (a) 50,000 1,695,000
AmerisourceBergen Corp. 22,500 1,238,625
Anthem, Inc. (a) 20,000 1,635,600
Laboratory Corp. of America Holdings (a) 75,000 3,202,500
McKesson Corp. 64,200 1,886,196
Quest Diagnostics, Inc. 50,000 4,250,000
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Tenet Healthcare Corp. (a) 50,000 $ 620,000
UnitedHealth Group, Inc. 30,000 1,826,400
--------------
16,354,321
--------------
Pharmaceuticals (5.4%)
Abbott Laboratories 91,100 3,924,588
Bristol-Myers Squibb Co. 72,080 2,021,844
Dr. Reddy's Laboratories Ltd., ADR 57,500 1,722,125
Elan Corp. PLC, ADR 142,500 1,225,500
Eli Lilly & Co. 50,000 3,402,000
Novartis AG, ADR 75,000 3,386,250
Pfizer, Inc. 150,092 5,497,870
Richter Gedeon Ltd. 25,000 3,164,191
Schering AG, ADR 20,000 1,060,800
Schering-Plough Corp. 75,000 1,315,500
Sepracor, Inc. (a) 42,500 1,149,625
Shire Pharmaceuticals Group PLC, ADR (a) 52,500 1,535,625
Valeant Pharmaceuticals International 100,000 2,348,000
Wyeth 30,000 1,228,500
--------------
32,982,418
--------------
Industrials (10.7%)
Aerospace & Logistics (0.1%)
Raytheon Co. 30,000 915,300
--------------
Air Freight & Couriers (0.9%)
FedEx Corp. 20,000 1,345,600
United Parcel Service, Inc. 45,000 3,207,150
Yamato Transport Co. Ltd. 65,000 822,901
--------------
5,375,651
--------------
Building Products (0.1%)
TOTO Ltd. 100,000 813,454
--------------
Commercial Services & Supplies (2.5%)
Allied Waste Industries, Inc. (a) 100,000 1,365,000
Avery Dennison Corp. (a) 30,000 1,864,800
Cendant Corp. (a) 137,500 3,114,375
Central Parking Corp. 50,000 1,000,000
G & K Services, Inc., Class A 52,500 2,034,375
Ionics, Inc. (a) 47,500 1,301,025
Kroll, Inc. (a) 67,500 1,815,750
Waste Management, Inc. 100,250 2,782,940
--------------
15,278,265
--------------
Construction & Engineering (0.2%)
Insituform Technologies, Inc., Class A (a) 75,000 1,206,750
--------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Electrical Equipment (0.7%)
Emerson Electric Co. 30,000 $ 1,917,000
Thomas & Betts Corp. 102,500 2,124,825
--------------
4,041,825
--------------
Industrial Conglomerates (2.6%)
3M Co. 100,000 7,909,000
General Electric Co. 132,550 4,457,656
Siemens AG, ADR 40,000 3,255,200
--------------
15,621,856
--------------
Machinery (3.1%)
Caterpillar, Inc. 42,500 3,320,525
CNH Global NV 75,000 1,227,750
Eaton Corp. 30,000 3,484,500
Federal Signal Corp. 90,000 1,665,000
Flowserve Corp. (a) 40,000 770,000
Joy Global, Inc. 50,000 1,316,500
Kaydon Corp. 57,500 1,587,575
Manitowoc Co., Inc. 20,000 597,600
Paccar, Inc. 25,000 1,965,750
Timken Co. 125,000 2,756,250
--------------
18,691,450
--------------
Road & Rail (0.2%)
Kansas City Southern (a) 60,000 884,400
--------------
Trading & Distribution (0.3%)
Fastenal Co. 40,000 1,923,200
--------------
Information Technology (13.3%)
Communications Equipment (2.2%)
3Com Corp. (a) 220,000 1,694,000
Ciena Corp. (a) 100,000 725,000
Cisco Systems, Inc. (a) 125,680 3,222,435
Motorola, Inc. 101,400 1,681,212
Polycom, Inc. (a) 137,500 3,254,625
Telefonaktiebolaget LM Ericsson, ADR (a) 75,000 1,725,000
Tellabs, Inc. (a) 100,000 990,000
--------------
13,292,272
--------------
Computers & Peripherals (0.9%)
EMC Corp. (a) 101,650 1,427,166
International Business Machines Corp. 25,000 2,480,750
Pinnacle Systems, Inc. (a) 75,000 599,250
Synaptics, Inc. (a) 65,000 1,223,950
--------------
5,731,116
--------------
Electronic Equipment & Instruments (1.0%)
Celestica, Inc. (a) 88,000 1,509,200
Methode Electronics, Inc., Class A 75,000 943,500
OKI Electric Industry Co., Ltd. (a) 125,000 572,772
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Electronic Equipment & Instruments (continued)
Solectron Corp. 100,000 $ 710,000
Symbol Technologies, Inc. 50,000 865,000
TDK Corp., ADR 20,000 1,444,800
--------------
6,045,272
--------------
Information Technology Consulting & Services (1.3%)
Automatic Data Processing, Inc. 47,500 2,030,625
DST Systems, Inc. (a) 82,500 3,531,825
First Data Corp. 62,500 2,447,500
--------------
8,009,950
--------------
Internet Software & Services (1.3%)
Check Point Software Technologies Ltd. (a) 100,000 2,050,000
Corillian Corp. (a) 100,000 756,000
Internet Security Systems, Inc. (a) 50,000 892,000
webMethods, Inc. (a) 100,000 1,074,000
Yahoo!, Inc. (a) 62,700 2,937,495
--------------
7,709,495
--------------
Office Electronics (0.2%)
Canon, Inc., ADR 30,000 1,535,400
--------------
Semiconductor Equipment & Products (3.1%)
Analog Devices, Inc. 47,500 2,272,875
FEI Co. (a) 75,000 1,881,000
Intel Corp. 65,300 1,998,180
Micron Technology, Inc. (a) 75,575 1,217,513
Murata Manufacturing Co., Ltd. 30,000 1,723,275
Nvidia Corp. (a) 100,000 2,225,000
Samsung Electronics Co., Ltd., GDR (b) 15,000 3,326,250
Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) 143,100 1,599,858
Texas Instruments, Inc. 88,150 2,763,502
--------------
19,007,453
--------------
Software (3.3%)
Activision, Inc. 125,000 2,351,250
Borland Software Corp. (a) 100,000 1,031,000
Microsoft Corp. 200,620 5,547,143
Network Associates, Inc. (a) 50,000 867,500
Novell, Inc. (a) 200,000 2,540,000
Oracle Corp. (a) 124,230 1,715,616
Quest Software, Inc. (a) 70,000 1,177,400
SAP AG, ADR 30,000 1,243,800
Siebel Systems, Inc. (a) 100,000 1,333,000
Verity, Inc. (a) 125,000 1,998,750
--------------
19,805,459
--------------
Materials (5.7%)
Chemicals (2.4%)
Air Products & Chemicals, Inc. 40,000 1,996,400
Dow Chemical Co. 82,700 3,469,265
E.I. du Pont de Nemours & Co. 42,500 1,865,750
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Chemicals (continued)
H.B. Fuller Co. 30,000 $ 840,000
Great Lakes Chemical Corp. 30,000 768,000
Potash Corp. of Saskatchewan, Inc. 37,500 3,084,000
Rohm & Haas Co. 40,000 1,570,800
Zeon Corp. 150,000 1,206,009
--------------
14,800,224
--------------
Containers & Packaging (0.3%)
Smurfit-Stone Container Corp. (a) 75,800 1,306,792
Temple-Inland, Inc. 8,600 507,830
--------------
1,814,622
--------------
Metals & Mining (1.6%)
Allegheny Technologies, Inc. 50,000 470,000
Barrick Gold Corp. 75,000 1,477,500
Companhia Vale do Rio Doce, ADR 35,000 1,878,450
CONSOL Energy, Inc. 40,000 924,000
Inco Ltd. (a) 50,000 1,871,500
Nippon Steel Corp. 500,000 1,029,808
Placer Dome, Inc. 100,000 1,581,000
Wolfden Resources, Inc. (a) 100,000 405,487
--------------
9,637,745
--------------
Paper & Forest Products (1.4%)
Bowater, Inc. 67,500 3,020,625
Georgia-Pacific Corp. 75,000 2,107,500
International Paper Co. 30,000 1,268,100
Votorantim Celulose e Papel SA, ADR 72,800 2,194,920
--------------
8,591,145
--------------
Telecommunication Services (2.8%)
Diversified Telecommunication Services (1.8%)
Compania Anonima Nacional Telefonos de Venezuela, ADR 85,000 1,553,800
Level 3 Communications, Inc. (a) 200,000 1,200,000
PT Perusahaan Telekomunikasi 125,000 2,226,250
Phillippine Long Distance Telephone Co., ADR 75,000 1,131,750
SBC Communications, Inc. 50,000 1,275,000
Telefonos de Mexico SA de CV, ADR 60,000 2,064,600
Verizon Communications, Inc. 40,000 1,474,400
--------------
10,925,800
--------------
Wireless Telecommunication Services (1.0%)
Millicom International Cellular SA (a) 57,500 4,198,075
Mobile Telesystems, ADR (a) 22,500 2,178,450
--------------
6,376,525
--------------
Utilities (1.5%)
Electric Utilities (0.4%)
DPL, Inc. 45,400 918,896
TECO Energy, Inc. 112,500 1,605,375
--------------
2,524,271
--------------
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
SHARES VALUE
-------------- --------------
Common Stocks (continued)
Gas Utilities (0.3%)
NiSource, Inc. 50,000 $ 1,050,000
NUI Corp. 45,000 777,600
--------------
1,827,600
--------------
Multi-Utilities & Unregulated Power (0.8%)
Calpine Corp. (a) 125,000 727,500
Duke Energy Corp. 60,000 1,303,800
Oneok, Inc. 50,000 1,134,500
Westar Energy, Inc. 57,000 1,116,060
Williams Companies, Inc. 75,000 760,500
--------------
5,042,360
--------------
Total Common Stocks
(Cost of $398,430,683) 508,130,299
--------------
Investment Management Company (0.4%)
iShares MSCI Japan Index Fund
(Cost of $1,773,500) 225,000 2,182,500
--------------
<Caption>
PAR
--------------
Short-Term Obligation (14.7%)
Repurchase agreement with State Street Bank &
Trust, dated 01/30/04, due 02/02/04 at 0.930%
collateralized by U.S. Treasury Notes
with various maturities to 02/15/12, market value of $91,434,488
(repurchase proceeds $89,639,947)
(Cost of $89,633,000) $ 89,633,000 89,633,000
--------------
Total Investments (98.6%)
(Cost of $489,837,183) (c) 599,945,799
Other Assets and Liabilities, Net (1.4%) 8,243,266
--------------
Net Assets (100.0%) $ 608,189,065
==============
</Table>
Notes to Schedule of Investments:
(a) Non-income producing.
(b) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration normally to qualified institutional buyers. At January 31,
2004, the value of this security amounted to $3,326,250 or 0.5% of net
assets.
(c) Cost for both financial statement and federal income tax purposes is the
same.
<Table>
<Caption>
ACRONYM NAME
----------- ----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
PRF Preferred
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2004 (Unaudited)
<Table>
ASSETS:
Investments, at identified cost $ 400,204,183
---------------
Investments, at value $ 510,312,799
Repurchase agreements 89,633,000
Cash 242
Receivable for:
Investments sold 9,008,597
Capital stock sold 40,054
Dividends 476,683
Interest 4,631
Expense reimbursement due from Investment Advisor 93,338
Other assets 10,071
---------------
Total assets 609,579,415
---------------
LIABILITIES:
Payable for:
Investments purchased 1,103,344
Capital stock redeemed 69,517
Investment advisory fee 206,364
Transfer agent fee 2,360
Trustees' fees 525
Custody fee 8,240
---------------
Total liabilities 1,390,350
---------------
NET ASSETS $ 608,189,065
===============
NET ASSETS consist of:
Paid-in capital $ 491,094,239
Undistributed net investment income 304,300
Accumulated net realized gains 6,681,636
Net unrealized appreciation on:
Investments 110,108,616
Foreign currency translations 274
---------------
NET ASSETS: $ 608,189,065
===============
Shares of capital stock outstanding: 43,777,108
===============
Net asset value, offering and redemption price per share $ 13.89
===============
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
STATEMENT OF OPERATIONS
For the Six Months Ended January 31, 2004 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 2,782,491
Interest 361,351
Foreign withholding tax (31,024)
---------------
Total income 3,112,818
---------------
Expenses:
Investment advisory fee 1,028,957
Transfer agent fee 6,321
Trustees' fees 7,836
Custody fee 32,767
Other expenses 89,577
---------------
Total expenses 1,165,458
Expense reimbursement by Investment Advisor (135,285)
Custody earnings credit (1,024)
---------------
Net expenses 1,029,149
---------------
Net investment income 2,083,669
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments 21,436,319
Foreign currency transactions (41,403)
---------------
Net realized gain 21,394,916
---------------
Net change in unrealized appreciation/depreciation on:
Investments 58,931,424
Foreign currency translations 274
---------------
Net change in unrealized appreciation/depreciation 58,931,698
---------------
Net gain 80,326,614
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 82,410,283
---------------
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (a) OCTOBER 31, 2002
---------------- ----------------- ----------------
Operations:
Net investment income $ 2,083,669 $ 2,657,828 $ 1,070,922
Net realized gain (loss) on investments and
foreign currency transactions 21,394,916 1,504,435 (9,099,006)
Net change in unrealized appreciation/depreciation
on investments and foreign currency translations 58,931,698 54,067,910 (3,343,013)
--------------- --------------- ---------------
Net increase (decrease) from operations 82,410,283 58,230,173 (11,371,097)
Distributions declared to shareholders:
From net investment income (3,979,500) (1,463,038) (63,470)
From net realized gains (6,937,177) - -
--------------- --------------- ---------------
Total distributions declared to shareholders (10,916,677) (1,463,038) (63,470)
--------------- --------------- ---------------
Net capital share transactions 166,075,398 125,673,780 162,672,129
--------------- --------------- ---------------
Net increase in net assets 237,569,004 182,440,915 151,237,562
NET ASSETS:
Beginning of period 370,620,061 188,179,146 36,941,584
--------------- --------------- ---------------
End of period $ 608,189,065 $ 370,620,061 $ 188,179,146
=============== =============== ===============
Undistributed net investment income $ 304,300 $ 2,200,131 $ 1,009,924
=============== =============== ===============
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
16
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2004 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Strategic Equity Fund (the "Fund"), a series of CMG Fund Trust (the
"Trust"), is a diversified portfolio. The Trust is an Oregon business trust
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company.
INVESTMENT GOAL. The Fund seeks long-term growth of capital and total returns
greater than those of the market over time.
FUND SHARES. The Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
Equity securities are valued at the last sale price at the close of the
principal exchange on which they trade. Unlisted securities or listed securities
for which there were no sales during the day are valued at the closing bid price
on such exchanges or over-the-counter markets.
Short term obligations maturing within 60 days are valued at amortized cost,
which approximates market value.
Investments in other investment companies are valued at net asset value.
Foreign securities are generally valued at the closing price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Fund's
shares are determined as of such times. Foreign currency exchange rates are also
generally determined prior to the close of the NYSE at 2:00 p.m. Eastern (U.S.)
time. Occasionally, events affecting the values of such foreign securities and
such exchange rates may occur between the times at which they are determined and
the close of the customary trading session of the NYSE, which would not be
reflected in the computation of the Fund's net asset value. If events materially
affecting the values of such foreign securities occur and it is determined that
market quotations are not readily available, then these foreign securities will
be valued at their fair value as determined in good faith by or under the
supervision of the Board of Trustees.
Investments for which market quotations are not readily available, or quotations
which management believes are not appropriate, are valued at fair value under
procedures approved by the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
17
<Page>
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Fund becomes
aware of such, net of non-reclaimable tax withholdings.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
The Fund does not distinguish that portion of gains (losses) on investments
which is due to changes in foreign exchange rates from that which is due to
changes in market prices of the investments. Such fluctuations are included with
the net realized and unrealized gains (losses) on investments.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, by
distributing in each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, the Fund will not be
subject to federal excise tax. Therefore, no federal income or excise tax
provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
Income and capital gains dividends are determined in accordance with income tax
regulations which may differ from GAAP.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal year ended October 31, 2002 was as follows:
<Table>
<Caption>
PERIOD ENDED YEAR ENDED
JULY 31, 2003 OCTOBER 31, 2002
------------- ----------------
DISTRIBUTIONS PAID FROM:
Ordinary Income* $ 1,463,038 $ 63,470
</Table>
* For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
18
<Page>
Unrealized appreciation and depreciation at January 31, 2004, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 112,256,974
Unrealized depreciation (2,148,358)
-------------
Net unrealized appreciation $ 110,108,616
=============
</Table>
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARD
------------
YEAR OF EXPIRATION
2010 $ 4,679,207
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect, wholly owned subsidiary of FleetBoston Financial Corporation
("FleetBoston"), is the investment advisor to the Fund and provides
administrative and other services. Columbia receives a monthly investment
advisory fee at the annual rate of 0.40% of the Fund's average daily net assets.
In addition to the investment management fee, each shareholder pays an annual
fee calculated as a percentage of the shareholder's net assets in the Fund. The
annual fee ranges between 0.20% on the first $25 million of the shareholder's
net assets in the Fund, to 0.00% on the shareholder's net assets in the Fund in
excess of $25 million.
FleetBoston has entered into an agreement with Bank of America Corporation
("BOA") to merge the two financial services companies. On March 17, 2004, the
shareholders of FleetBoston and BOA voted to approve the merger. The transaction
is expected to be completed in the second quarter of 2004.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to the Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). Columbia pays fees to State Street under the
Outsourcing Agreement. The Fund is not charged a fee for these services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"),
formerly Liberty Funds Services, Inc., an affiliate of Columbia, provides
shareholder services to the Fund. For such services, the Transfer Agent receives
a fee, paid monthly, at the annual rate of $28.00 per open account.
Prior to November 1, 2003, the Transfer Agent was entitled to receive a monthly
transfer agent fee based on a per account fee or a minimum of $1,500 per month.
For the six months ended January 31, 2004, the Fund's annualized effective
transfer agent fee rate was 0.002%.
EXPENSE LIMITS AND FEE REIMBURSEMENTS. Columbia has contractually agreed,
through October 31, 2004, to reimburse the Fund for certain expenses so that the
expenses incurred by the Fund, including the investment advisory fees, would not
exceed 0.40% of the Fund's average daily net assets.
19
<Page>
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. The Fund could have invested a
portion of the assets utilized in connection with the expense offset arrangement
in an income-producing asset if it had not entered into such an agreement.
FEES PAID TO OFFICERS AND TRUSTEES. Trustees' fees and expenses are paid
directly by the Fund to trustees having no affiliation with the Fund other than
their capacity as trustees. Other trustees and officers receive no compensation
from the Fund.
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2004, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were $285,164,377
and $185,162,622, respectively.
NOTE 6. CAPITAL STOCK ACTIVITY:
Transactions of capital shares were as follows:
<Table>
<Caption>
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
SHARES:
Shares sold 14,708,924 13,628,484 15,932,938
Shares issued for reinvestment of
dividends and distributions 795,344 140,587 5,562
Less shares redeemed (2,463,990) (1,583,795) (1,045,757)
---------------- ----------------- -----------------
Net increase 13,040,278 12,185,276 14,892,743
================ ================= =================
AMOUNTS:
Sales $ 187,747,577 $ 141,164,376 $ 174,100,499
Reinvestment of dividends and distributions 10,729,185 1,438,209 63,245
Less redemptions (32,401,364) (16,928,805) (11,491,615)
---------------- ----------------- -----------------
Net increase $ 166,075,398 $ 125,673,780 $ 162,672,129
================ ================= =================
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
NOTE 7. LINE OF CREDIT:
The Fund participates in a $100,000,000 uncommitted line of credit along with
the other funds of the Trust and several of the Columbia Funds, an affiliated
group of funds managed by Columbia. The uncommitted line of credit expires on
July 2, 2004. For the six months ended January 31, 2004, the Fund did not borrow
under these arrangements.
20
<Page>
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2004, 42.76% of the outstanding shares of the Fund were held
by 5 shareholders, each of which represents in excess of 5% of the Fund's shares
outstanding. Subscription and redemption activity of these shareholders may have
a material effect on the fund.
NOTE 9. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. Columbia, and Columbia Funds Distributor, Inc. ("CFDI"), and
certain of their affiliates (collectively, "the Columbia Group") have received
information requests and subpoenas from various regulatory and law enforcement
authorities in connection with their investigations of late trading and market
timing in mutual funds. The Columbia Group has not uncovered any instances where
Columbia or CFDI were knowingly involved in late trading of mutual fund shares.
On February 24, 2004, the Securities and Exchange Commission ("SEC") filed a
civil complaint in the United States District Court for the District of
Massachusetts against Columbia and CFDI, alleging that they had violated certain
provisions of the federal securities laws in connection with trading activity in
mutual fund shares. Also on February 24, 2004, the New York Attorney General
("NYAG") filed a civil complaint in New York Supreme Court, County of New York
against Columbia and CFDI alleging that Columbia and CFDI had violated certain
New York anti-fraud statutes. On March 15, 2004, Columbia and CFDI entered into
agreements in principle with the SEC Division of Enforcement and NYAG in
settlement of the charges. Under the agreements, Columbia and CFDI agreed, inter
alia, to the following conditions: payment of $70 million in disgorgement;
payment of $70 million in civil penalties; an order requiring Columbia and CFDI
to cease and desist from violations of the antifraud provisions and other
provisions of the federal securities laws; governance changes designed to
maintain the independence of the mutual fund boards of trustees and ensure
compliance with securities laws and their fiduciary duties; and retention of an
independent consultant to review Columbia's and CFDI's compliance policies and
procedures. The agreement requires the final approval of the SEC. In a separate
agreement with the NYAG, the Columbia Group has agreed to reduce mutual fund
fees by $80 million over a five-year period.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
NOTE 10. COMPARABILITY OF FINANCIAL STATEMENTS:
On January 29, 2003, the Board of Trustees approved a change in the fiscal year
end of the Fund from October 31 to July 31.
21
<Page>
Shareholder Meeting Results
On October 7, 2003, a Special Meeting of Shareholders of CMG Fund Trust was held
to conduct a vote for and against the approval of the Item listed on the Proxy
Statement for said meeting. The votes cast at the Meeting were as follows:
PROPOSAL 1.
Election of the following Trustees:
Douglas A. Hacker, Janet Langford Kelly, Richard W. Lowry, Charles R.
Nelson, John J. Neuhauser, Patrick J. Simpson, Thomas E. Stitzel, Thomas
C. Theobald, Anne-Lee Verville, Richard L. Woolworth, William E. Mayer
and Joseph R. Palombo:
<Table>
Total shares in favor of proposal: 55,945,086
Total shares against or abstaining proposal: 131,926
</Table>
22
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
941-03/093R-0204 (03/04) C04/017
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to its portfolio securities is available (i) without
charge, upon request, by calling 800-547-1037 and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT US AT 800-547-1037
FOR A PROSPECTUS, WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE
FUND. READ IT CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 SW Fifth
Avenue, Portland, Oregon 97201
<Page>
[COLUMBIA MANAGEMENT GROUP LOGO]
A FLEETBOSTON FINANCIAL COMPANY
CMG CORE BOND FUND
(FORMERLY CMG FIXED INCOME SECURITIES FUND)
CMG HIGH YIELD FUND
CMG SHORT TERM BOND FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2004
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
CMG CORE BOND FUND
(Formerly CMG Fixed Income Securities Fund)
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2004, the fund returned 4.19%. The
fund modestly underperformed the Lehman Brothers Aggregate Bond Index, which
returned 4.49%, and the Lipper Corporate Debt Funds A-Rated Category, which
returned 4.85% over the same period. The fund trailed its index primarily
because of its relatively conservative positioning: it carried a shorter
duration while interest rates were falling and a higher average credit quality
than its index at a time when risk was rewarded. Duration is a measure of
interest rate sensitivity. We shortened duration as a defensive move because,
with interest rates at historical lows, we believed it was important to limit
the potential for capital erosion as well as to provide investors with current
income. In fact, interest rates fell during the period, and we gave up some
performance because of our decision. However, those results were partially
offset by the portfolio's increased exposure to corporate bonds, which
outperformed during the period.
Most economic indicators were strong throughout the second half of 2003,
highlighted by impressive third-quarter GDP growth of 8.2%. Although the fourth
quarter GDP growth of 4.0% was modest by comparison, it was still indicative of
a recovering economy. Although interest rates often rise as economic activity
picks up, the Federal Reserve Board (the "Fed") maintained a monetary policy
aimed at keeping interest rates low. With no great build-up in inflation and a
sluggish job market, the Fed left a key short-term interest rate-the federal
funds rate-unchanged at just 1.0% throughout the period. Against this backdrop,
rates on short-term Treasury notes rose by 8 basis points or 0.08% and the
10-year Treasury rate declined by 40 basis points or 0.40%. A basis point is one
one-hundredth of one percent.
As noted above, declining interest rates favored fixed-income investments with
longer maturities, so our relatively short duration hurt performance. The fund
also lost some ground because lower-quality securities outperformed the
investment grade securities in which the fund exclusively invests. We believe
our BBB weighting of 11% is about average for the fund's peer group. But even at
the low-quality end of our holdings, we concentrated on bonds that were
candidates for a ratings upgrade rather than the marginal credits whose higher
yields were in strong demand during the period.
We also repositioned the fund's mortgage investments during the period. We
shifted away from conventional pass-through securities in favor of structured
instruments, such as collateralized mortgage obligations (CMOs). This move was
designed to defend against a slowdown in mortgage prepayment activity. As
homeowners hold on to their mortgages longer than expected-because mortgage
rates have begun to edge higher-it delays the return of principal to
bondholders and hurts the value of conventional mortgage bonds.
Separately, we increased our position in corporate bonds by three percentage
points, from 34% to 37% of the portfolio. Because the yield advantage of
corporates versus Treasuries declined throughout the period, this move aided
overall performance.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates an
average total return for mutual funds with similar investment objectives as
those of the fund.
1
<Page>
We expect the economy to continue to expand throughout 2004, with consensus
estimates calling for GDP growth on the order of 4%. At some point we expect
this growth to translate into higher interest rates, especially if the US budget
deficit becomes an issue during the presidential campaign. Although the timing
of an upward shift in rates is impossible to pinpoint, the portfolio's
shorter-than-average duration makes it well-positioned for a rising-rate
scenario, and our shift from pass-throughs to CMOs has the potential to provide
additional protection.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were (%):
Federal National Mortgage Association, 4.000% 11/01/2018-TBA 8.6
Federal Home Loan Mortgage Corp., 5.000% 2034 (various pools) 3.8
U.S. Treasury Bond, 7.250% 05/15/2016 3.4
Structured Asset Securities Corp., 5.500% 07/25/2033 3.1
ABFS Mortgage Loan Trust, 4.428% 12/15/2033 2.8
New Century Home Equity Loan Trust, 2.940% 11/25/2033 2.4
Federal Home Loan Mortgage Corp., 4.500% 08/15/2028 2.4
Residential Asset Mortgage Products, Inc., 5.050% 05/25/2032 2.4
Government National Mortgage Association, 4.500% 04/16/2028 2.4
Federal Home Loan Mortgage Corp., 4.000% 10/15/2026 2.2
We appreciate your continued confidence in CMG Core Bond Fund.
The Columbia Investment Team
January 31, 2004
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates; the
financial strength of issuers of lower-rated bonds; political and economic
developments.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 1, 2000 TO JANUARY 31, 2004
<Table>
<Caption>
CMG CORE BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX
9/1/2000 $ 10,000 $ 10,000
9/30/2000 $ 10,075 $ 10,063
10/31/2000 $ 10,130 $ 10,129
11/30/2000 $ 10,309 $ 10,296
12/31/2000 $ 10,522 $ 10,487
1/31/2001 $ 10,681 $ 10,659
2/28/2001 $ 10,786 $ 10,752
3/31/2001 $ 10,844 $ 10,806
4/30/2001 $ 10,784 $ 10,760
5/31/2001 $ 10,850 $ 10,825
6/30/2001 $ 10,897 $ 10,866
7/31/2001 $ 11,144 $ 11,109
8/31/2001 $ 11,264 $ 11,237
9/30/2001 $ 11,424 $ 11,368
10/31/2001 $ 11,651 $ 11,606
11/30/2001 $ 11,503 $ 11,446
12/31/2001 $ 11,445 $ 11,373
1/31/2002 $ 11,499 $ 11,465
2/28/2002 $ 11,605 $ 11,576
3/31/2002 $ 11,426 $ 11,384
4/30/2002 $ 11,636 $ 11,605
5/31/2002 $ 11,736 $ 11,703
6/30/2002 $ 11,823 $ 11,804
7/31/2002 $ 11,911 $ 11,947
8/31/2002 $ 12,114 $ 12,149
9/30/2002 $ 12,295 $ 12,345
10/31/2002 $ 12,114 $ 12,289
11/30/2002 $ 12,093 $ 12,285
12/31/2002 $ 12,281 $ 12,539
1/31/2003 $ 12,292 $ 12,551
2/28/2003 $ 12,473 $ 12,724
3/31/2003 $ 12,458 $ 12,714
4/30/2003 $ 12,554 $ 12,819
5/31/2003 $ 12,776 $ 13,058
6/30/2003 $ 12,731 $ 13,031
7/31/2003 $ 12,330 $ 12,594
8/31/2003 $ 12,399 $ 12,677
9/30/2003 $ 12,730 $ 13,013
10/31/2003 $ 12,609 $ 12,892
11/30/2003 $ 12,633 $ 12,923
12/31/2003 $ 12,741 $ 13,054
1/31/2004 $ 12,847 $ 13,157
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 4.19 4.51 7.60
Lehman Brothers Aggregate Bond Index 4.49 4.85 8.36
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 0.08 3.75 7.54
Lehman Brothers Aggregate Bond Index 0.17 4.10 8.32
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. Please visit www.columbiamanagement.com for daily and most recent
month-end performance updates.
The fund's inception date is September 1, 2000, and index performance is from
August 31, 2000.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of
investment-grade US Treasury and agency securities, corporate bonds and
mortgage-backed bonds. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any reimbursement of fund expenses by the advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
3
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2004, the fund returned 7.23%. That
was less than both the Merrill Lynch Intermediate BB Index, which returned
8.86%, and the average return of the Lipper High Current Yields Category, which
was 11.15% for the period(1).
The fund's relative performance was hurt by its emphasis on the higher-quality
segment of the high-yield marketplace. The fund generally holds no CCC-rated
bonds, which constitute approximately 15% of the index. These ultra low-quality
bonds have outperformed bonds rated both B and BB for more than a year. In
particular, the fund suffered from its underweight in electric utilities,
telecommunications and airlines-industries that were dominated by companies
with CCC ratings. The fund's performance was also held back by its overweight
positions in health care and gaming, two sectors that lagged the overall market.
The market's preference for lower-rated securities during the period can be
traced to several factors. Early in the period, lower-quality bonds enjoyed a
substantial yield advantage. Yields were driven up by risk averse investors who
retreated from the lower quality bonds in 2001 and 2002. Then, as yield-hungry
investors poured money into lower quality bonds, companies were able to
refinance their debt on advantageous terms and bankruptcy rates began to decline
from record levels. Finally, the emergence of a genuine economic recovery in the
third quarter of 2003 gave investors hope that many struggling companies would
be able to improve their competitive positions. Yet, the overall credit quality
of the high-yield market actually declined during the period as many more
companies were downgraded than upgraded by the major rating agencies.
The composition of the fund was relatively unchanged during the period. However,
we reduced our commitment to the cable sector by selling our positions in
Cablevision, Mediacom and TCI which, in our judgment, no longer represented good
values. From an operating perspective, we have been concerned that cable as a
group has been losing market share to satellite TV, especially in rural markets.
In an effort to participate in this trend, we purchased bonds of satellite dish
company Echostar to supplement our existing position in DirecTV (1.8% and 1.4%
of net assets, respectively.)
Although we believe that a combination of GDP growth and low inflation have the
potential to extend the favorable environment for high-yield securities into
2004, we believe that the market's advances in 2003 already reflect much of this
improvement. If the economic recovery proves unsustainable because it has been
built on a combination of factors that may have run their course-historically
low interest rates, massive tax cuts and substantial budget deficits-we will
enjoy an advantage in having maintained a conservative posture for the fund. The
fund's focus on quality hurt relative performance last year, but the yield
advantage of low-quality
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates an
average total return for mutual funds with similar investment objectives as
those of the fund.
4
<Page>
bonds has already contracted sharply. If the economy is stronger than we expect,
the fund should benefit from having a shorter-than-average maturity relative to
its benchmark, a defensive stance designed to cushion the fund against the
possibility of higher interest rates.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were (%):
Lamar Media Corp., 7.250% 01/01/2013 2.1
Ball Corp., 6.875% 12/15/2012 2.0
Allied Waste North America, Inc., 10.000% 08/01/2009 1.9
L-3 Communications Corp., 7.625% 06/15/2012 1.8
Echostar DBS Corp., 5.750% 10/01/2008 1.8
Park Place Entertainment Corp., 9.375% 02/15/2007 1.8
Cott Beverages, Inc., 8.000% 12/15/2011 1.6
R.H. Donnelley Financial Corp., 10.875% 12/15/2012 1.6
Triad Hospitals, Inc., 8.750% 05/01/2009 1.5
Extended Stay America, Inc., 9.875% 06/15/2011 1.5
We appreciate your continued confidence in CMG High Yield Fund.
The Columbia Investment Team
January 31, 2004
Investing in high yield securities offers the potential for high current income
and attractive total return, but involves certain risks. Lower-rated bond risks
include default of the issuer, rising interest rates and risk associated with
investing in securities of foreign and emerging markets, including currency
exchange rate fluctuations and economic and political change.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
5
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, JULY 6, 1994 TO JANUARY 31, 2004
<Table>
<Caption>
CMG HIGH YIELD BOND FUND MERRILL LYNCH INTERMEDIATE BB INDEX MERRILL LYNCH U.S. HIGH YIELD, CASH PAY INDEX
7/6/94 $ 10,000 $ 10,000 $ 10,000
7/30/94 $ 9,989 $ 10,101 $ 10,073
8/31/94 $ 10,063 $ 10,181 $ 10,143
9/30/94 $ 10,105 $ 10,170 $ 10,138
10/31/94 $ 10,119 $ 10,192 $ 10,164
11/30/94 $ 9,990 $ 10,127 $ 10,077
12/31/94 $ 10,118 $ 10,222 $ 10,189
1/31/95 $ 10,261 $ 10,388 $ 10,333
2/28/95 $ 10,570 $ 10,671 $ 10,655
3/31/95 $ 10,660 $ 10,797 $ 10,803
4/30/95 $ 10,896 $ 10,999 $ 11,056
5/31/95 $ 11,176 $ 11,350 $ 11,401
6/30/95 $ 11,271 $ 11,451 $ 11,488
7/31/95 $ 11,417 $ 11,505 $ 11,619
8/31/95 $ 11,447 $ 11,593 $ 11,690
9/30/95 $ 11,613 $ 11,721 $ 11,823
10/31/95 $ 11,787 $ 11,833 $ 11,907
11/30/95 $ 11,925 $ 11,994 $ 12,024
12/31/95 $ 12,125 $ 12,167 $ 12,217
1/31/96 $ 12,304 $ 12,337 $ 12,410
2/29/96 $ 12,369 $ 12,299 $ 12,429
3/31/96 $ 12,212 $ 12,219 $ 12,395
4/30/96 $ 12,188 $ 12,164 $ 12,401
5/31/96 $ 12,204 $ 12,197 $ 12,491
6/30/96 $ 12,221 $ 12,313 $ 12,566
7/31/96 $ 12,324 $ 12,379 $ 12,651
8/31/96 $ 12,557 $ 12,481 $ 12,781
9/30/96 $ 12,778 $ 12,693 $ 13,056
10/31/96 $ 12,920 $ 12,892 $ 13,200
11/30/96 $ 13,210 $ 13,144 $ 13,466
12/31/96 $ 13,300 $ 13,166 $ 13,570
1/31/97 $ 13,407 $ 13,274 $ 13,675
2/28/97 $ 13,586 $ 13,415 $ 13,866
3/31/97 $ 13,384 $ 13,289 $ 13,712
4/30/97 $ 13,515 $ 13,432 $ 13,868
5/31/97 $ 13,860 $ 13,647 $ 14,149
6/30/97 $ 14,030 $ 13,838 $ 14,364
7/31/97 $ 14,409 $ 14,170 $ 14,708
8/31/97 $ 14,386 $ 14,128 $ 14,683
9/30/97 $ 14,593 $ 14,330 $ 14,927
10/31/97 $ 14,584 $ 14,419 $ 15,026
11/30/97 $ 14,740 $ 14,511 $ 15,168
12/31/97 $ 14,913 $ 14,644 $ 15,313
1/31/98 $ 15,165 $ 14,823 $ 15,541
2/28/98 $ 15,242 $ 14,857 $ 15,604
3/31/98 $ 15,334 $ 14,939 $ 15,739
4/30/98 $ 15,390 $ 15,033 $ 15,813
5/31/98 $ 15,472 $ 15,152 $ 15,923
6/30/98 $ 15,585 $ 15,253 $ 16,003
7/31/98 $ 15,781 $ 15,352 $ 16,094
8/31/98 $ 15,250 $ 15,030 $ 15,399
9/30/98 $ 15,545 $ 15,308 $ 15,430
10/31/98 $ 15,460 $ 15,136 $ 15,177
11/30/98 $ 15,987 $ 15,463 $ 15,867
12/31/98 $ 16,005 $ 15,572 $ 15,872
1/31/99 $ 16,187 $ 15,673 $ 16,029
2/28/99 $ 16,100 $ 15,601 $ 15,907
3/31/99 $ 16,246 $ 15,765 $ 16,044
4/30/99 $ 16,371 $ 15,936 $ 16,294
5/31/99 $ 16,185 $ 15,775 $ 16,182
6/30/99 $ 16,154 $ 15,766 $ 16,151
7/31/99 $ 16,162 $ 15,801 $ 16,175
8/31/99 $ 16,021 $ 15,733 $ 16,010
9/30/99 $ 16,023 $ 15,796 $ 15,949
10/31/99 $ 16,047 $ 15,723 $ 15,855
11/30/99 $ 16,292 $ 15,872 $ 16,036
12/31/99 $ 16,389 $ 15,960 $ 16,120
1/31/2000 $ 16,315 $ 15,882 $ 16,039
2/29/2000 $ 16,351 $ 15,858 $ 16,053
3/31/2000 $ 16,243 $ 15,751 $ 15,829
4/30/2000 $ 16,358 $ 15,731 $ 15,833
5/31/2000 $ 16,342 $ 15,613 $ 15,659
6/30/2000 $ 16,714 $ 15,956 $ 15,927
7/31/2000 $ 16,856 $ 16,151 $ 16,042
8/31/2000 $ 17,165 $ 16,382 $ 16,237
9/30/2000 $ 17,146 $ 16,289 $ 16,143
10/31/2000 $ 17,009 $ 15,953 $ 15,670
11/30/2000 $ 16,786 $ 15,931 $ 15,180
12/31/2000 $ 17,266 $ 16,235 $ 15,509
1/31/2001 $ 17,933 $ 16,875 $ 16,433
2/28/2001 $ 18,098 $ 17,130 $ 16,693
3/31/2001 $ 18,000 $ 17,272 $ 16,473
4/30/2001 $ 17,957 $ 17,387 $ 16,293
5/31/2001 $ 18,046 $ 17,673 $ 16,606
6/30/2001 $ 17,812 $ 17,544 $ 16,264
7/31/2001 $ 17,983 $ 17,845 $ 16,516
8/31/2001 $ 18,262 $ 18,049 $ 16,676
9/30/2001 $ 17,507 $ 17,148 $ 15,607
10/31/2001 $ 18,187 $ 17,565 $ 16,066
11/30/2001 $ 18,712 $ 18,016 $ 16,588
12/31/2001 $ 18,529 $ 17,854 $ 16,471
1/31/2002 $ 18,657 $ 17,847 $ 16,563
2/28/2002 $ 18,502 $ 17,729 $ 16,404
3/31/2002 $ 18,742 $ 18,102 $ 16,794
4/30/2002 $ 18,887 $ 18,442 $ 17,061
5/31/2002 $ 18,851 $ 18,460 $ 16,969
6/30/2002 $ 18,359 $ 17,068 $ 15,763
7/31/2002 $ 18,060 $ 16,375 $ 15,135
8/31/2002 $ 18,401 $ 16,685 $ 15,514
9/30/2002 $ 18,314 $ 16,618 $ 15,265
10/31/2002 $ 18,296 $ 16,583 $ 15,137
11/30/2002 $ 18,900 $ 17,189 $ 16,039
12/31/2002 $ 19,047 $ 17,426 $ 16,283
1/31/2003 $ 19,245 $ 17,745 $ 16,752
2/28/2003 $ 19,442 $ 17,895 $ 16,968
3/31/2003 $ 19,788 $ 18,114 $ 17,408
4/30/2003 $ 20,288 $ 18,737 $ 18,386
5/31/2003 $ 20,315 $ 18,898 $ 18,585
6/30/2003 $ 20,591 $ 19,263 $ 19,092
7/31/2003 $ 20,247 $ 18,939 $ 18,819
8/31/2003 $ 20,395 $ 19,079 $ 19,065
9/30/2003 $ 20,850 $ 19,581 $ 19,574
10/31/2003 $ 21,081 $ 19,867 $ 19,974
11/30/2003 $ 21,254 $ 20,089 $ 20,249
12/31/2003 $ 21,505 $ 20,393 $ 20,719
1/31/2004 $ 21,726 $ 20,626 $ 21,043
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR 5-YEAR LIFE
CMG High Yield Fund 7/6/94 7.23 12.82 6.05 8.44
Merrill Lynch Intermediate BB Index 8.86 16.19 5.65 7.84
Merrill Lynch U.S. High Yield, Cash Pay Index 11.80 25.59 5.59 8.08
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTH 1-YEAR 5-YEAR LIFE
CMG High Yield Fund 7/6/94 4.46 12.93 6.10 8.41
Merrill Lynch Intermediate BB Index 5.86 17.03 5.55 7.79
Merrill Lynch U.S. High Yield, Cash Pay Index 8.52 27.23 5.47 7.98
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. Please visit www.columbiamanagement.com for daily and most recent
month-end performance updates.
The fund's inception date is July 6, 1994. Merrill Lynch Intermediate BB Index
performance is from June 30, 1994. Merrill Lynch U.S. High Yield, Cash Pay Index
performance is from July 6, 1994.
The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting
of BB cash pay bonds, which are US dollar denominated bonds issued in the US
domestic market with maturities between 1 and 10 years. The Merrill Lynch U.S.
High Yield, Cash Pay Index is an unmanaged index of non-investment-grade
corporate bonds. Unlike the fund, indices are not an investments, do not incur
fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any reimbursement of fund expenses by the advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
6
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
We are pleased to provide you with an investment review of CMG Short Term Bond
Fund. For the six-month period ended January 31, 2004, the fund returned 2.15%.
The fund's performance was higher than the Merrill Lynch 1-3 Year Treasury
Index, which returned 1.34%, and in line with the Merrill Lynch 1-5 Year
Government/Corporate Bond Index, which returned 2.17% during the period. The
fund outperformed its peer group, the Lipper Short Investment Grade Debt Funds
Category, whose average return was 1.65%(1). The fund's "barbell"
structure-emphasizing short-term floating rate notes and longer-term securities
within the fund's maturity range-aided performance during the period.
Most economic indicators were strong throughout the second half of 2003,
highlighted by impressive third-quarter GDP growth of 8.2%. Although fourth
quarter GDP growth of 4.0% was modest by comparison, it was indicative of a
recovering economy. Although interest rates often rise as economic activity
picks up, the Federal Reserve Board (the "Fed") maintained a monetary policy
aimed at keeping interest rates low because inflationary pressures have not
materialized and the job market has remained sluggish. The Fed left a key
short-term interest rate-the federal funds rate-unchanged at just 1.0%
throughout the period. Against this backdrop, rates on short-term Treasury notes
rose by 8 basis points or 0.08% and the 10-year Treasury rate declined by 40
basis points or 0.40%. A basis point is one one-hundredth of one percent.
The market environment that prevailed during the period favored fixed-income
investments with longer maturities. Generally speaking, risk-taking was rewarded
throughout the bond market, as lower-quality securities consistently
outperformed investment grade bonds. These trends were modestly negative for the
fund, which focuses on higher-quality short-term bonds.
The fund was able to generate a competitive return even though its overall
duration was shorter than that of the index. Duration is a measure of interest
rate sensitivity. By keeping the fund's duration short while interest rates
declined, we gave up some performance relative to the market. However we more
than made up for that decision with the fund's "barbell" investment
approach-combining short-term floating rate instruments with securities at the
long end of our maturity spectrum (five years). The floating rate securities
carried higher yields than Treasury securities of comparable maturities, while
the longer-term securities increased in value as long-term rates declined.
We also repositioned the fund's mortgage investments during the period. We
shifted away from conventional pass-through securities in favor of structured
instruments, such as collateralized mortgage obligations (CMOs). This move was
designed to defend against a slowdown in mortgage prepayment activity. If
homeowners hold on to their mortgages longer than expected-because mortgage
rates have begun to edge higher-it would delay the return of principal to
bondholders and hurt the value of conventional mortgage bonds.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates an
average total return for mutual funds with similar investment objectives as
those of the fund.
7
<Page>
We expect the economy to continue to expand throughout 2004, with consensus
estimates calling for GDP growth on the order of 4%. If the economy lives up to
this estimate, at some point we expect economic growth to translate into higher
short-term interest rates-especially if the labor market begins to improve.
Although the timing of such an upward shift is impossible to pinpoint, the
portfolio's shorter-than-average duration and its emphasis on floating rate
securities make it well-positioned for such a scenario, and our emphasis on
relatively well-structured mortgage-related securities should provide additional
protection.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2004 were (%):
U.S. Treasury Bills, 0.890% 05/06/2004 5.9
Federal Home Loan Mortgage Corp., 4.500% 2019 (various pools) 3.3
Federal Home Loan Mortgage Corp., 3.000% 06/15/2009 3.0
Countrywide Home Loans, 1.500% 08/25/2018 2.2
New Century Home Equity Loan Trust, 1.470% 01/25/2034 2.2
KeyCorp Student Loan Trust, 1.430% 10/25/2025 1.9
SLM Student Loan Trust, 1.667% 10/25/2011 1.8
Federal Home Loan Mortgage Corp., 4.000% 10/15/2026 1.7
SLM Student Loan Trust, 1.637% 01/25/2014 1.7
SLM Student Loan Trust, 1.617% 07/27/2009 1.7
We appreciate your continued confidence in CMG Short Term Bond Fund.
The Columbia Investment Team
January 31, 2004
Investing in fixed-income securities offers the potential for attractive current
income and total returns, but also involves certain risks. The value and return
of your investment may fluctuate as a result of changes in interest rates; the
financial strength of issuers of lower-rated bonds and political and economic
developments.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weightings within the portfolio may change as market conditions change.
8
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 2, 1998 TO JANUARY 31, 2004
<Table>
<Caption>
CMG SHORT TERM BOND FUND MERRILL LYNCH 1-5 YEAR GOVERNMENT/CORPORATE BOND INDEX MERRILL LYNCH 1-3 YEAR TREASURY INDEX
2/2/98 $ 10,000 $ 10,000 $ 10,000
2/28/98 $ 10,005 $ 10,002 $ 10,010
3/31/98 $ 10,040 $ 10,041 $ 10,051
4/30/98 $ 10,099 $ 10,088 $ 10,098
5/31/98 $ 10,168 $ 10,150 $ 10,152
6/30/98 $ 10,236 $ 10,209 $ 10,205
7/31/98 $ 10,279 $ 10,255 $ 10,253
8/31/98 $ 10,425 $ 10,403 $ 10,382
9/30/98 $ 10,563 $ 10,589 $ 10,519
10/31/98 $ 10,536 $ 10,623 $ 10,570
11/30/98 $ 10,561 $ 10,608 $ 10,561
12/31/98 $ 10,612 $ 10,648 $ 10,598
1/31/99 $ 10,691 $ 10,701 $ 10,640
2/28/99 $ 10,608 $ 10,605 $ 10,588
3/31/99 $ 10,688 $ 10,692 $ 10,661
4/30/99 $ 10,723 $ 10,727 $ 10,695
5/31/99 $ 10,687 $ 10,685 $ 10,689
6/30/99 $ 10,704 $ 10,716 $ 10,722
7/31/99 $ 10,695 $ 10,728 $ 10,756
8/31/99 $ 10,705 $ 10,749 $ 10,787
9/30/99 $ 10,815 $ 10,836 $ 10,858
10/31/99 $ 10,847 $ 10,861 $ 10,887
11/30/99 $ 10,875 $ 10,879 $ 10,908
12/31/99 $ 10,886 $ 10,881 $ 10,923
1/31/2000 $ 10,879 $ 10,857 $ 10,918
2/29/2000 $ 10,956 $ 10,934 $ 10,992
3/31/2000 $ 11,046 $ 11,019 $ 11,060
4/30/2000 $ 11,040 $ 11,027 $ 11,088
5/31/2000 $ 11,075 $ 11,059 $ 11,134
6/30/2000 $ 11,233 $ 11,205 $ 11,250
7/31/2000 $ 11,316 $ 11,284 $ 11,321
8/31/2000 $ 11,431 $ 11,389 $ 11,404
9/30/2000 $ 11,543 $ 11,492 $ 11,487
10/31/2000 $ 11,598 $ 11,544 $ 11,549
11/30/2000 $ 11,743 $ 11,676 $ 11,658
12/31/2000 $ 11,929 $ 11,846 $ 11,797
1/31/2001 $ 12,094 $ 12,017 $ 11,944
2/28/2001 $ 12,197 $ 12,111 $ 12,022
3/31/2001 $ 12,295 $ 12,221 $ 12,122
4/30/2001 $ 12,301 $ 12,229 $ 12,155
5/31/2001 $ 12,386 $ 12,301 $ 12,223
6/30/2001 $ 12,440 $ 12,346 $ 12,264
7/31/2001 $ 12,639 $ 12,544 $ 12,402
8/31/2001 $ 12,734 $ 12,636 $ 12,473
9/30/2001 $ 12,918 $ 12,862 $ 12,679
10/31/2001 $ 13,064 $ 13,013 $ 12,800
11/30/2001 $ 12,973 $ 12,935 $ 12,772
12/31/2001 $ 12,945 $ 12,908 $ 12,777
1/31/2002 $ 13,010 $ 12,946 $ 12,802
2/28/2002 $ 13,080 $ 13,026 $ 12,864
3/31/2002 $ 12,995 $ 12,896 $ 12,776
4/30/2002 $ 13,104 $ 13,074 $ 12,919
5/31/2002 $ 13,205 $ 13,174 $ 12,971
6/30/2002 $ 13,284 $ 13,289 $ 13,080
7/31/2002 $ 13,352 $ 13,459 $ 13,240
8/31/2002 $ 13,464 $ 13,573 $ 13,285
9/30/2002 $ 13,588 $ 13,746 $ 13,395
10/31/2002 $ 13,456 $ 13,744 $ 13,426
11/30/2002 $ 13,452 $ 13,720 $ 13,384
12/31/2002 $ 13,581 $ 13,930 $ 13,511
1/31/2003 $ 13,599 $ 13,937 $ 13,510
2/28/2003 $ 13,699 $ 14,059 $ 13,567
3/31/2003 $ 13,724 $ 14,087 $ 13,591
4/30/2003 $ 13,774 $ 14,151 $ 13,617
5/31/2003 $ 13,888 $ 14,302 $ 13,669
6/30/2003 $ 13,900 $ 14,321 $ 13,689
7/31/2003 $ 13,713 $ 14,136 $ 13,615
8/31/2003 $ 13,743 $ 14,144 $ 13,625
9/30/2003 $ 13,919 $ 14,369 $ 13,749
10/31/2003 $ 13,863 $ 14,282 $ 13,698
11/30/2003 $ 13,866 $ 14,280 $ 13,691
12/31/2003 $ 13,949 $ 14,389 $ 13,770
1/31/2004 $ 14,008 $ 14,447 $ 13,795
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTHS 1-YEAR 5-YEAR LIFE
CMG Short Term Bond 2/2/98 2.15 3.01 5.55 5.78
Merrill Lynch 1-5 Year Government/Corporate
Bond Index 2.17 3.64 6.18 6.33
Merrill Lynch 1-3 Year Treasury Index 1.34 2.12 5.33 5.51
</Table>
AVERAGE ANNUAL TOTAL RETURN (%), PERIOD ENDED DECEMBER 31, 2003
<Table>
<Caption>
(CUMULATIVE)
INCEPTION 6-MONTHS 1-YEAR 5-YEAR LIFE
CMG Short Term Bond 2/2/98 0.35 2.71 5.62 5.79
Merrill Lynch 1-5 Year Government/Corporate Bond
Index 0.48 3.30 6.21 6.36
Merrill Lynch 1-3 Year Treasury Index 0.58 1.90 5.37 5.56
</Table>
Performance data quoted represents past performance and current performance may
be lower or higher. Past performance is no guarantee of future results. The
investment return and principal value will fluctuate so that shares may be worth
more or less than the original cost. All results shown assume reinvestment of
distributions. Please visit www.columbiamanagement.com for daily and most recent
month-end performance updates.
The fund's inception date is February 2, 1998 and index performance is as of
February 2, 1998.
The Merrill Lynch 1-5 Year Government/Corporate Bond Index is an unmanaged index
that includes all U.S. government debt with at least $100 million face value
outstanding, as well as investment grade rated corporate debt with at least $100
million outstanding, with maturities between 1-5 years. The Merrill Lynch 1-3
Year Treasury Index is an unmanaged index that measures the return of Treasury
notes with maturities of 1-3 years. Unlike the fund, indices are not
investments, do not incur fees or expenses and are not professionally managed.
It is not possible to invest directly in an index. Securities in the fund may
not match those in an index.
Performance results reflect any reimbursement of fund expenses by the advisor or
its affiliates. Absent these reimbursement arrangements, performance results
would have been lower.
9
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD PERIOD
ENDED ENDED YEAR ENDED OCTOBER 31, ENDED
JANUARY 31, JULY 31, ------------------------------ OCTOBER 31,
2004 2003 (a) 2002 2001 2000 (b)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.38 $ 10.52 $ 10.83 $ 10.02 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17(c) 0.31(c) 0.56(c)(d) 0.65 0.11
Net realized and unrealized gain (loss)
on investments and futures contracts 0.26 (0.12) (0.15)(d) 0.81 0.02
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.43 0.19 0.41 1.46 0.13
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.19) (0.33) (0.58) (0.65) (0.11)
From net realized gains (0.09) - (0.14) -(e) -
----------- ----------- ----------- ----------- -----------
Total distributions (0.28) (0.33) (0.72) (0.65) (0.11)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 10.38 $ 10.52 $ 10.83 $ 10.02
=========== =========== =========== =========== ===========
TOTAL RETURN (f)(g) 4.19%(h) 1.76%(h) 3.97% 15.01% 1.31%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 42,930 $ 30,512 $ 27,412 $ 28,774 $ 10,866
Ratio of net expenses to average net assets (i) 0.40%(j) 0.40%(j) 0.40% 0.40% 0.40%(j)
Ratio of net investment income to average
net assets (i) 3.28%(j) 3.95%(j) 5.34%(d) 6.14% 6.57%(j)
Waiver/reimbursement 0.35%(j) 0.29%(j) 0.16% 0.25% 1.06%(j)
Portfolio turnover rate 139%(h) 181%(h) 147% 140% 103%(h)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on September 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.02, decrease net realized and unrealized loss per
share data by $0.02 and decrease the ratio of net investment income to
average net assets from 5.53% to 5.34%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
10
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.90 $ 7.55
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.27(c) 0.43(c)
Net realized and unrealized gain (loss)
on investments 0.29 0.37
------------ ------------
Total from investment operations 0.56 0.80
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.28) (0.45)
From net realized gains - -
------------ ------------
Total distributions declared
to shareholders (0.28) (0.45)
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 8.18 $ 7.90
============ ============
TOTAL RETURN (f) 7.23%(g)(h) 10.67%(g)(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 485,206 $ 429,042
Ratio of net expenses to average net assets (i) 0.40%(j) 0.42%(j)
Ratio of net investment income to average
net assets (i) 6.63%(j) 7.32%(j)
Waiver/reimbursement 0.01%(j) 0.01%(j)
Portfolio turnover rate 19%(h) 47%(h)
<Caption>
YEAR ENDED OCTOBER 31,
------------------------------------------------------------------------------
2002 2001 2000 1999(b) 1998(b)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.14 $ 8.30 $ 8.54 $ 8.95 $ 9.21
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.64(c)(d) 0.72 0.73 0.74 0.76
Net realized and unrealized gain (loss)
on investments (0.58)(d) (0.16) (0.24) (0.41) (0.21)
------------ ------------ ------------ ------------ ------------
Total from investment operations 0.06 0.56 0.49 0.33 0.55
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.65) (0.72) (0.73) (0.74) (0.76)
From net realized gains - - - -(e) (0.05)
------------ ------------ ------------ ------------ ------------
Total distributions declared
to shareholders (0.65) (0.72) (0.73) (0.74) (0.81)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 7.55 $ 8.14 $ 8.30 $ 8.54 $ 8.95
============ ============ ============ ============ ============
TOTAL RETURN (f) 0.60% 6.92% 6.01% 3.75% 6.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 286,228 $ 348,979 $ 319,985 $ 271,551 $ 263,912
Ratio of net expenses to average net assets (i) 0.42% 0.44% 0.43% 0.43% 0.45%
Ratio of net investment income to average
net assets (i) 7.98%(d) 8.63% 8.70% 8.39% 8.28%
Waiver/reimbursement - - - - -
Portfolio turnover rate 62% 59% 56% 62% 71%
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.01, decrease net realized and unrealized loss per
share data by $0.01 and decrease the ratio of net investment income to
average net assets from 8.11% to 7.98%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
11
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2004 2003 (a)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.01 $ 12.15
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17(c) 0.34(c)
Net realized and unrealized gain (loss)
on investments 0.09 (0.11)
------------ ------------
Total from investment operations 0.26 0.23
------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.19) (0.37)
From net realized gains - -
------------ ------------
Total distributions (0.19) (0.37)
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.08 $ 12.01
============ ============
TOTAL RETURN (f)(g) 2.15%(h) 1.91%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 135,894 $ 113,193
Ratio of net expenses to average net assets (i) 0.25%(j) 0.25%(j)
Ratio of interest expense to average net assets - -(j)(k)
Ratio of net investment income to average
net assets (i) 2.86%(j) 3.79%(j)
Waiver/reimbursement 0.14%(j) 0.08%(j)
Portfolio turnover rate 37%(h) 93%(h)
<Caption>
PERIOD
YEAR ENDED OCTOBER 31, ENDED
-------------------------------------------------------------- OCTOBER 31,
2002 2001 2000 1999 1998 (b)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.41 $ 11.73 $ 11.72 $ 12.09 $ 12.00
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.59(c)(d) 0.76 0.77 0.72 0.54
Net realized and unrealized gain (loss)
on investments (0.22)(d) 0.68 0.01 (0.37) 0.09
------------ ------------ ------------ ------------ ------------
Total from investment operations 0.37 1.44 0.78 0.35 0.63
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.63) (0.76) (0.77) (0.72) (0.54)
From net realized gains - - - -(e) -
------------ ------------ ------------ ------------ ------------
Total distributions (0.63) (0.76) (0.77) (0.72) (0.54)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.15 $ 12.41 $ 11.73 $ 11.72 $ 12.09
============ ============ ============ ============ ============
TOTAL RETURN (f)(g) 3.12% 12.62% 6.92% 2.96% 5.38%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 140,757 $ 89,791 $ 82,809 $ 144,821 $ 42,692
Ratio of net expenses to average net assets (i) 0.25% 0.25% 0.25% 0.25% 0.25%(j)
Ratio of interest expense to average net assets - - - - -
Ratio of net investment income to average
net assets (i) 4.73%(d) 6.27% 6.56% 6.22% 5.97%(j)
Waiver/reimbursement 0.05% 0.08% 0.08% 0.07% 0.13%(j)
Portfolio turnover rate 132% 82% 86% 128% 132%(h)
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on February 2, 1998. Per share
data, total return and portfolio turnover reflect activity from that date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the period ended October 31, 2002, was to decrease net investment
income per share by $0.04, decrease net realized and unrealized loss per
share by $0.04 and decrease the ratio of net investment income to average
net assets from 5.08% to 4.73%. Per share data and ratios for periods prior
to October 31, 2002 have not been restated to reflect this change in
presentation.
(e) Rounds to less than $0.01 per share.
(f) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(g) Total return at net asset value assuming all distributions reinvested.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage agreements,
if applicable, had an impact of less than 0.01%.
(j) Annualized.
(k) Rounds to less than 0.01%.
See Accompanying Notes to Financial Statements.
12
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
U.S. Government & Agency Securities (37.9%)
U.S. Treasury Notes & Bonds (5.9%)
U.S. Treasury Bonds
7.250% 05/15/2016 $ 1,155,000 $ 1,455,301
U.S. Treasury Inflation Index Bonds
3.625% 01/15/2008 308,375 343,164
U.S. Treasury Notes
3.500% 11/15/2006 705,000 728,932
---------------
2,527,397
---------------
U.S. Agency Bonds (1.2%)
Federal Home Loan Bank
2.125% 12/15/2004 (a) 50,000 50,366
3.625% 10/15/2004 480,000 488,098
---------------
538,464
---------------
Government National Mortgage Association (GNMA)
(0.4%)
7.000% 01/15/2032 - 03/15/2032 146,524 156,290
---------------
Federal Home Loan Mortgage Corp. (FHLMC) (5.4%)
3.500% 10/01/2018 368,221 347,362
5.000% 08/01/2033 - 01/01/2034 1,646,324 1,635,715
6.000% 05/01/2017 313,669 330,046
---------------
2,313,123
---------------
Federal National Mortgage Association (FNMA)
(8.6%)
4.000% 11/01/2018 1,168,395 1,150,373
To Be Announced
4.000% 03/18/2019 (b) 2,594,000 2,538,878
---------------
3,689,251
---------------
Agency Collateralized Mortgage Obligations
(16.4%)
FHLMC GNMA Gtd. Multiclass Mtg. Partn. Ctfs.
Series 24 Cl. J
6.250% 11/25/2023 150,000 158,225
Series 1602 Cl. PJ
6.500% 10/15/2023 100,000 108,749
Series 2113 Cl. MU
6.500% 08/15/2027 80,144 81,234
Series 2687 Cl. MQ
4.500% 10/15/2018 220,000 225,853
Series 2689 Cl. PC
4.000% 09/15/2015 360,000 357,291
Series 2695 Cl. AT
4.000% 10/15/2026 925,000 931,669
Series 2695 Cl. BO
4.500% 08/15/2028 1,030,000 1,022,779
Series 2695 Cl. DG
4.000% 10/15/2018 600,000 553,195
Series 2700 Cl. PD
4.500% 02/15/2027 900,000 908,404
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
U.S. Government & Agency Securities (continued)
FNMA Gtd. Remic Pass Thru Ctfs.
Remic Tr. 2001-34 Cl. AE
6.000% 07/25/2029 $ 331,904 $ 334,873
Remic Tr. 2001-56 Cl. KD
6.500% 07/25/2030 73,250 74,769
Remic Tr. 2002-8 Cl. PD
6.500% 07/25/2030 100,000 102,861
Remic Tr. 2003-87 Cl. TG
4.500% 11/25/2014 900,000 909,325
GNMA Gtd. Remic Pass Thru Secs.
Remic Tr. 1999-14 Cl. PE
6.000% 11/20/2025 70,912 71,206
Remic Tr. 2002-40 Cl. UL
6.500% 06/01/2032 170,000 174,851
Remic Tr. 2003-97 Cl. NC
4.500% 04/16/2028 1,000,000 1,009,739
---------------
7,025,023
---------------
Total U.S. Government & Agency Securities
(Cost of $16,108,367) 16,249,548
---------------
Corporate Notes & Bonds (34.1%)
Financials (13.8%)
American Express Credit Corp.
3.000% 05/16/2008 475,000 468,262
American General Finance
5.375% 09/01/2009 50,000 53,744
Allstate Financial Global Funding II
2.625% 10/22/2006 (c) 150,000 150,178
Bank of America Corp.
7.800% 02/15/2010 100,000 119,502
Bear Stearns Co., Inc.
6.500% 05/01/2006 150,000 163,405
CIT Group, Inc.
7.250% 08/15/2005 60,000 64,617
Citigroup, Inc.
7.250% 10/01/2010 315,000 368,890
Equitable Companies, Inc.
9.000% 12/15/2004 175,000 185,311
Ford Motor Credit Co.
7.375% 10/28/2009 460,000 506,332
General Electric Capital Corp.
6.750% 03/15/2032 100,000 113,164
General Motors Acceptance Corp.
7.750% 01/19/2010 300,000 341,932
Goldman Sachs Group, Inc.
6.125% 02/15/2033 175,000 178,328
Health Care Property Investors, Inc.
6.875% 06/08/2005 125,000 130,632
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Financials (continued)
Household Finance Corp.
6.400% 06/17/2008 $ 230,000 $ 256,053
J.P. Morgan Chase & Co.
5.750% 01/02/2013 250,000 268,228
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 150,000 153,852
Merrill Lynch & Co.
4.125% 01/15/2009 275,000 279,603
Morgan Stanley & Co.
4.250% 05/15/2010 50,000 50,341
6.100% 04/15/2006 225,000 243,099
SLM Corp.
5.125% 08/27/2012 350,000 358,406
US Bank N.A
6.375% 08/01/2011 425,000 478,910
Wachovia Corp.
3.500% 08/15/2008 250,000 250,361
Washington Mutual, Inc.
5.625% 01/15/2007 250,000 269,036
Wells Fargo Financial, Inc.
4.875% 06/12/2007 460,000 489,274
---------------
5,941,460
---------------
Industrial (18.5%)
Alcan, Inc.
7.250% 03/15/2031 125,000 147,966
Anadarko Finance Co.
7.500% 05/01/2031 125,000 149,320
Anheuser-Busch Companies, Inc.
5.750% 04/01/2010 50,000 55,017
Anthem, Inc.
6.800% 08/01/2012 200,000 229,349
AT&T Corp.
8.000% 11/15/2031 175,000 205,337
AT&T Wireless Services, Inc.
8.750% 03/01/2031 175,000 222,563
Boeing Co.
6.125% 02/15/2033 250,000 256,883
Canadian National Railway Co.
7.195% 01/02/2016 74,295 85,767
Caterpillar Financial Services Corp.
2.500% 10/03/2006 250,000 250,278
Coca-Cola Enterprises, Inc.
6.950% 11/15/2026 225,000 260,125
Conoco, Inc.
5.900% 04/15/2004 50,000 50,464
Coors Brewing Co.
6.375% 05/15/2012 75,000 82,906
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Cox Enterprises, Inc.
8.000% 02/15/2007 (c) $ 180,000 $ 206,129
CSX Corp.
4.875% 11/01/2009 175,000 181,972
DaimlerChrysler N.A. Holding Corp.
8.500% 01/18/2031 140,000 168,127
Deutsche Telekom International Finance BV
8.000% 06/15/2010 150,000 181,448
Devon Financing Corp.
6.875% 09/30/2011 125,000 142,780
Diageo Capital PLC
3.375% 03/20/2008 250,000 249,870
General Electric Co.
5.000% 02/01/2013 550,000 564,188
Honeywell International, Inc.
7.500% 03/01/2010 250,000 296,803
International Business Machines Corp.
5.875% 11/29/2032 300,000 307,574
International Paper Co.
4.250% 01/15/2009 175,000 176,971
Jones Intercable, Inc.
7.625% 04/15/2008 175,000 201,000
Kroger Co.
6.200% 06/15/2012 160,000 173,607
Lockheed Martin Corp.
8.500% 12/01/2029 160,000 213,072
Lowe's Companies, Inc.
6.500% 03/15/2029 175,000 193,154
Marathon Oil Corp.
6.800% 03/15/2032 275,000 300,902
Newell Rubbermaid, Inc.
4.000% 05/01/2010 110,000 107,570
Occidental Petroleum
4.250% 03/15/2010 100,000 101,386
Proctor & Gamble Co.
4.750% 06/15/2007 250,000 265,713
Target Corp.
7.000% 07/15/2031 150,000 172,649
Time Warner, Inc.
6.625% 05/15/2029 200,000 206,468
Union Pacific Corp.
3.875% 02/15/2009 235,000 234,910
United Technologies Corp.
6.700% 08/01/2028 110,000 123,874
7.125% 11/15/2010 100,000 117,518
Verizon Global Funding Corp.
7.250% 12/01/2010 350,000 404,125
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Viacom, Inc.
5.500% 05/15/2033 $ 200,000 $ 189,557
Waste Management, Inc.
7.375% 08/01/2010 150,000 175,048
Wyeth
5.500% 02/01/2014 275,000 282,938
---------------
7,935,328
---------------
Utilities (1.8%)
CenterPoint Energy Houston
5.750% 01/15/2014 150,000 157,349
Consolidated Edison, Inc.
3.625% 08/01/2008 150,000 150,308
Dominion Resources, Inc.
2.800% 02/15/2005 150,000 151,686
Kinder Morgan Energy Partners LP
6.750% 03/15/2011 150,000 170,010
8.000% 03/15/2005 125,000 133,242
---------------
762,595
---------------
Total Corporate Notes & Bonds
(Cost of $14,236,720) 14,639,383
---------------
International Notes & Bonds (2.4%)
Quebec Province
6.500% 01/17/2006 475,000 511,882
Republic of Italy
2.500% 03/31/2006 300,000 301,345
United Mexican States
8.000% 09/24/2022 210,000 232,050
---------------
Total International Notes & Bonds
(Cost of $1,035,654) 1,045,277
---------------
Other Securitized Loans (21.6%)
Asset-Backed Securities (10.9%)
ABSF Mortgage Loan Trust
Series 2002-4 Cl. A
4.428% 12/15/2033 1,190,824 1,212,973
Americredit Automobile Receivables Trust
Series 2000-1 Cl. B
7.160% 09/05/2005 297,367 300,076
Honda Auto Receivables Owner Trust
Series 2000-3 Cl. A3
3.000% 05/18/2006 500,000 504,802
IMC Home Equity Loan Trust
Series 1997-3 Cl. A6
7.520% 08/20/2028 41,195 41,199
Series 1997-5 Cl. A9
7.310% 11/20/2028 90,092 92,755
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Asset-Backed Securities (continued)
New Century Home Equity Loan Trust
Series 1999-NCA Cl. A7
7.320% 07/25/2029 $ 72,791 $ 76,581
Series 2003-5 Cl. AI2
2.940% 11/25/2033 1,020,000 1,028,366
Residential Asset Mortgage Products, Inc.
Series 2003-RZ5 Cl. A5
5.050% 05/25/2032 1,000,000 1,010,077
SLM Student Loan Trust
Series 1997-3 Cl. A2
1.547% 10/25/2010 (d) 154,545 155,433
Series 1997-4 Cl. A2
1.657% 10/25/2010 (d) 139,246 140,954
Wilshire Mortgage Loan Trust
Series 1997-2 Cl. A5
7.255% 05/25/2028 118,588 121,569
---------------
4,684,785
---------------
Collateralized Mortgage Obligations (10.1%)
Bear Stearns Asset Backed Securities, Inc.
Series 2003-AC7 Cl. A1
5.000% 01/25/2034 715,102 724,328
Countrywide Home Loans
Series 2003-49 Cl. A9
4.646% 12/19/2033 351,956 355,206
First Nationwide Trust
Series 2000-1 Cl. IIA3
8.000% 10/25/2030 123,403 123,345
GMAC Mortgage Corporation Loan Trust
Series 2003-GH2 Cl. A4
5.000% 10/25/2033 680,000 608,070
IMPAC Secured Assets Corp.
Series 2002-3 Cl. A3
6.360% 08/25/2032 518,348 531,510
PNC Mortgage Securities Corp.
Series 1998-12 Cl. 4A4
6.500% 01/25/2029 7,394 7,445
Residential Asset Securitization Trust
Series 1999-A1 Cl. A1
6.750% 03/25/2029 31,573 31,724
Series 2002-A1 Cl. A4
5.305% 01/25/2030 (d) 51,345 51,280
Residential Funding Mortgage Securities I,
Inc.,
Mtg. Pass Thru Secs
Series 2003-S14 Cl. A5
1.500% 07/25/2018 (d) 556,140 555,836
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Collateralized Mortgage Obligations (continued)
Structured Asset Securities Corp.
Series 2003-21 Cl. 1A3
5.500% 07/25/2033 $ 1,287,688 $ 1,327,433
---------------
4,316,177
---------------
Commercial Mortgage-Backed Securities (0.6%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.607% 6/15/2013 (c)(d) 148,159 148,212
NationsLink Funding Corp.
Series 1999-Sl Cl. A5
6.888% 11/10/2030 90,000 99,625
---------------
247,837
---------------
Total Other Securitized Loans
(Cost of $9,105,290) 9,248,799
---------------
Short-Term Obligation (3.0%)
Repurchase agreement with State Street Bank
& Trust Co., dated 01/30/04, due 02/02/04
at 0.930%, collateralized by a U.S.
Treasury Note maturing 05/15/07, market
value of $1,334,375 (repurchase proceeds
$1,307,101) (Cost of $1,307,000) 1,307,000 1,307,000
---------------
Total Investments (99.0%)
(Cost of $41,793,031) (e) 42,490,007
Other Assets & Liabilities, Net (1.0%) 440,220
---------------
Net Assets (100.0%) $ 42,930,227
===============
</Table>
Futures Contracts open at January 31, 2004:
<Table>
<Caption>
NET UNREALIZED
PURCHASED EXPIRES CONTRACTS VALUE DEPRECIATION
- -------------------------------------------------------------------------------------------------------------------------
Short - U.S. Treasury Note March 2004 (20) $ (4,290,000) $ (31,250)
</Table>
Notes to Schedule of Investments:
(a) This security, or a portion thereof, with a market value of $50,366, is
being used to collateralize open futures contracts.
(b) This security, or a portion thereof, has been purchased on a delayed
delivery basis whereby the terms that are fixed are the purchase price,
interest rate and settlement date. The exact quantity purchased may be
slightly more or less than the amount shown.
(c) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At January 31,
2004, the value of these securities amounted to $504,519 which represents
1.2% of net assets.
(d) Variable rate security - the rate reported is the current rate in effect.
(e) Cost for federal income tax purposes is $41,862,851.
See Accompanying Notes to Financial Statements.
19
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (90.8%)
Aerospace (3.7%)
K & F Industries, Inc.
Senior Subordinated Notes, Series B
9.625% 12/15/2010 $ 3,625,000 $ 4,060,000
L-3 Communications Corp.
Senior Subordinated Notes
7.625% 06/15/2012 7,975,000 8,792,438
TD Funding Corp.
Senior Subordinated Notes
8.375% 07/15/2011 4,500,000 4,860,000
---------------
17,712,438
---------------
Automotive/Auto Parts (2.6%)
American Axle & Manufacturing, Inc.
Senior Subordinated Notes
9.750% 03/01/2009 5,850,000 6,157,125
Lear Corp.
Senior Notes, Series B
7.960% 05/15/2005 2,700,000 2,878,875
8.110% 05/15/2009 3,235,000 3,768,775
---------------
12,804,775
---------------
Broadcasting (1.9%)
LIN Television Corp.
Senior Subordinated Notes
6.500% 05/15/2013 (a) 3,700,000 3,737,000
Sinclair Broadcast Group, Inc.
Senior Subordinated Notes
8.000% 03/15/2012 695,000 750,600
8.750% 12/15/2011 4,360,000 4,796,000
---------------
9,283,600
---------------
Cable TV (4.7%)
British Sky Broadcasting Group PLC
7.300% 10/15/2006 1,850,000 2,059,816
8.200% 07/15/2009 875,000 1,043,668
DirecTV Holdings
Senior Notes
8.375% 03/15/2013 (a) 5,990,000 6,783,675
Echostar DBS
Senior Notes
5.750% 10/01/2008 (a) 8,525,000 8,631,563
Rogers Cable, Inc.
Notes
6.250% 06/15/2013 (a) 1,125,000 1,164,375
7.875% 05/01/2012 2,640,000 2,983,200
---------------
22,666,297
---------------
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Capital Goods (1.9%)
Kennametal, Inc.
Senior Notes
7.200% 06/15/2012 $ 5,460,000 $ 5,965,689
Westinghouse Air Brake Co.
Senior Notes
6.875% 07/31/2013 (a) 3,250,000 3,461,250
---------------
9,426,939
---------------
Chemicals (3.8%)
Acetex Corp.
Senior Notes
10.875% 08/01/2009 (a) 2,645,000 2,935,950
Airgas, Inc.
Senior Subordinated Notes
9.125% 10/01/2011 4,070,000 4,588,925
Equistar Chemical LP
Senior Notes
10.125% 09/01/2008 1,100,000 1,193,500
10.625% 05/01/2011 (a) 675,000 732,375
Ethyl Corp.
Senior Notes
8.875% 05/01/2010 2,750,000 2,970,000
MacDermid, Inc.
Senior Subordinated Notes
9.125% 07/15/2011 2,960,000 3,344,800
Nalco Co.
Senior Notes
7.750% 11/15/2011 (a) 2,590,000 2,732,450
---------------
18,498,000
---------------
Consumer Products (2.1%)
Elizabeth Arden, Inc.
Senior Subordinated Notes
7.750% 01/15/2014 (a) 75,000 76,875
Hasbro, Inc.
Notes
6.150% 07/15/2008 4,450,000 4,728,125
Scotts Co.
Senior Subordinated Notes
6.625% 11/15/2013 5,135,000 5,340,400
---------------
10,145,400
---------------
Diversified Media (2.1%)
Lamar Media Corp.
Senior Subordinated Notes
7.250% 01/01/2013 9,535,000 10,345,475
---------------
</Table>
See Accompanying Notes to Financial Statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Energy (11.4%)
Chesapeake Energy Corp.
8.375% 11/01/2008 $ 105,000 $ 116,025
9.000% 08/15/2012 3,775,000 4,322,375
Senior Notes
7.500% 09/15/2013 (a) 4,375,000 4,768,750
Grant Prideco, Inc.
Senior Notes
9.000% 12/15/2009 5,505,000 6,234,412
Grant Prideco, Inc.
Senior Notes, Series B
9.625% 12/01/2007 2,270,000 2,599,150
Key Energy Services, Inc.
Senior Notes
6.375% 05/01/2013 2,635,000 2,746,988
Key Energy Services, Inc.
Senior Notes, Series C
8.375% 03/01/2008 880,000 952,600
Offshore Logistic, Inc.
Senior Notes
6.125% 06/15/2013 (a) 5,305,000 5,225,425
Pogo Producing Co.
Senior Subordinated Notes, Series B
8.250% 04/15/2011 1,120,000 1,232,000
Pride International, Inc.
Senior Notes
9.375% 05/01/2007 1,215,000 1,251,450
10.000% 06/01/2009 2,125,000 2,276,406
Suburban Propane Partners
Senior Notes
6.875% 12/15/2013 (a) 2,405,000 2,465,125
Tom Brown, Inc.
Subordinated Notes
7.250% 09/15/2013 100,000 106,000
Universal Compression, Inc.
Senior Notes
7.250% 05/15/2010 (a) 1,800,000 1,917,000
Vintage Petroleum, Inc.
Senior Subordinated Notes
9.750% 06/30/2009 3,945,000 4,142,250
Westport Resources Corp.
Senior Subordinated Notes
8.250% 11/01/2011 (a) 225,000 247,500
8.250% 11/01/2011 6,330,000 6,963,000
XTO Energy, Inc.
Senior Notes
6.250% 04/15/2013 300,000 323,250
7.500% 04/15/2012 6,200,000 7,223,000
---------------
55,112,706
---------------
</Table>
See Accompanying Notes to Financial Statements.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Entertainment/Film (1.4%)
Cinemark USA, Inc.
Senior Subordinated Notes
9.000% 02/01/2013 $ 5,875,000 $ 6,638,750
---------------
Environmental (2.3%)
Allied Waste North America, Inc.
Senior Subordinated Notes, Series B
10.000% 08/01/2009 8,600,000 9,266,500
Synagro Technologies, Inc.
Senior Subordinated Notes
9.500% 04/01/2009 1,760,000 1,927,200
---------------
11,193,700
---------------
Food/Beverage/Tobacco (3.4%)
Constellation Brands, Inc.
Senior Subordinated Notes
8.500% 03/01/2009 6,050,000 6,307,125
Constellation Brands, Inc.
Senior Subordinated Notes, Series B
8.125% 01/15/2012 1,845,000 2,038,725
Cott Beverages, Inc.
Senior Subordinated Notes
8.000% 12/15/2011 7,275,000 8,002,500
---------------
16,348,350
---------------
Food & Drug Retail (0.6%)
Couche-Tard US
Senior Subordinated Notes
7.50% 12/15/2013 (a) 2,730,000 2,948,400
---------------
Gaming (7.1%)
Harrah's Operating Co., Inc.
Senior Subordinated Notes
7.875% 12/15/2005 5,025,000 5,458,406
International Game Technology
Senior Notes
8.375% 05/15/2009 1,030,000 1,238,529
Kerzner International
Senior Subordinated Notes
8.875% 08/15/2011 485,000 528,650
MGM MIRAGE, Inc.
Senior Notes
6.000% 10/01/2009 5,450,000 6,267,500
9.750% 06/01/2007 3,400,000 3,536,000
Park Place Entertainment Corp.
Senior Subordinated Notes
9.375% 02/15/2007 7,500,000 8,493,750
</Table>
See Accompanying Notes to Financial Statements.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Gaming (continued)
Station Casinos, Inc.
Senior Subordinated Notes
6.500% 02/01/2014 (a) $ 5,470,000 $ 5,606,750
9.875% 07/01/2010 3,150,000 3,496,500
---------------
34,626,085
---------------
Health Care (8.9%)
AdvancePCS
Senior Notes
8.500% 04/01/2008 4,225,000 4,605,250
AmerisourceBergen Corp.
Senior Notes
8.125% 09/01/2008 6,000,000 6,705,000
Apogent Technologies, Inc.
Senior Subordinated Notes
6.500% 05/15/2013 (a) 5,825,000 6,130,813
Omnicare, Inc.
Senior Subordinated Notes
6.125% 06/01/2013 1,775,000 1,801,625
Senior Subordinated Notes, Series B
8.125% 03/15/2011 5,750,000 6,238,750
Province Healthcare Co.
Senior Subordinated Notes
7.500% 06/01/2013 3,400,000 3,502,000
Select Medical Corp.
Senior Subordinated Notes
7.500% 08/01/2013 (a) 2,600,000 2,756,000
9.500% 06/15/2009 3,625,000 3,951,250
Triad Hospitals, Inc.
Senior Notes, Series B
8.750% 05/01/2009 6,805,000 7,434,462
---------------
43,125,150
---------------
Homebuilders (2.7%)
KB Home
Senior Subordinated Notes
7.750% 02/01/2010 260,000 275,600
8.625% 12/15/2008 5,250,000 5,906,250
9.500% 02/15/2011 630,000 708,750
Toll Corp.
Senior Subordinated Notes
8.250% 02/01/2011 150,000 165,750
8.250% 12/01/2011 5,485,000 6,074,637
---------------
13,130,987
---------------
</Table>
See Accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Hotels (2.4%)
Extended Stay America, Inc.
Senior Subordinated Notes
9.875% 06/15/2011 $ 6,700,000 $ 7,403,500
ITT Corp.
Notes
6.750% 11/15/2005 2,750,000 2,873,750
Starwood Hotels & Resorts Worldwide, Inc.
Senior Notes
7.375% 05/01/2007 1,305,000 1,399,612
---------------
11,676,862
---------------
Leisure (1.2%)
Six Flags, Inc.
Senior Notes
9.500% 02/01/2009 400,000 419,000
9.625% 06/01/2014 (a) 1,625,000 1,730,625
Speedway Motorsports, Inc.
Senior Subordinated Notes
6.750% 06/01/2013 (a) 3,350,000 3,509,125
---------------
5,658,750
---------------
Metals & Mining (2.2%)
Arch Western Finance
Senior Notes
6.750% 07/01/2013 (a) 5,660,000 5,886,400
Peabody Energy Corp.
Senior Notes
6.875% 03/15/2013 4,760,000 5,069,400
---------------
10,955,800
---------------
Packaging (4.6%)
Ball Corp.
Senior Notes
6.875% 12/15/2012 9,195,000 9,838,650
7.750% 08/01/2006 1,250,000 1,350,000
Owens-Illinois, Inc.
Senior Notes
7.150% 05/15/2005 1,290,000 1,328,700
7.350% 05/15/2008 1,750,000 1,785,000
8.100% 05/15/2007 2,110,000 2,204,950
Silgan Holdings, Inc.
Senior Subordinated Notes
6.750% 11/15/2013 (a) 5,550,000 5,702,625
---------------
22,209,925
---------------
Paper & Forest Products (1.9%)
Cascades, Inc.
Senior Notes
7.250% 02/15/2013 (a) 2,240,000 2,413,600
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Paper & Forest Products (continued)
Smurfit-Stone Container Corp.
Senior Notes
8.250% 10/01/2012 $ 625,000 $ 678,125
Stone Container Corp.
Senior Notes
8.375% 07/01/2012 2,665,000 2,891,525
9.750% 02/01/2011 2,810,000 3,098,025
---------------
9,081,275
---------------
Printing & Publishing (4.5%)
Dex Media East LLC
Senior Subordinated Notes
12.125% 11/15/2012 5,670,000 6,846,525
Houghton Mifflin Co.
Senior Subordinated Notes
9.875% 02/01/2013 (a) 5,130,000 5,643,000
R.H. Donnelley Financial Corp.
Senior Notes
8.875% 12/15/2010 (a) 45,000 50,512
R.H. Donnelley Financial Corp.
Senior Subordinated Notes
10.875% 12/15/2012 (a) 6,585,000 7,852,612
10.875% 12/15/2012 1,175,000 1,401,188
---------------
21,793,837
---------------
Real Estate Investment Trust (1.8%)
Health Care REIT, Inc.
Notes
7.500% 08/15/2007 3,600,000 4,074,408
8.000% 09/12/2012 125,000 145,628
iStar Financial, Inc.
Senior Notes
6.000% 12/15/2010 450,000 469,125
7.000% 03/15/2008 3,350,000 3,643,125
8.750% 08/15/2008 500,000 571,250
---------------
8,903,536
---------------
Restaurants (2.2%)
Yum! Brands, Inc.
Senior Notes
7.450% 05/15/2005 520,000 549,900
7.650% 05/15/2008 575,000 649,750
7.700% 07/01/2012 2,155,000 2,478,250
8.500% 04/15/2006 4,080,000 4,508,400
8.875% 04/15/2011 1,875,000 2,282,812
---------------
10,469,112
---------------
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Services (5.4%)
Corrections Corp. of America
Senior Notes
7.500% 05/01/2011 (a) $ 5,850,000 $ 6,142,500
7.500% 05/01/2011 2,300,000 2,415,000
Iron Mountain, Inc.
Senior Subordinated Notes
7.750% 01/15/2015 3,990,000 4,169,550
8.625% 04/01/2013 5,350,000 5,737,875
United Rentals, Inc.
Senior Subordinated Notes
7.000% 02/15/2014 (a) 1,200,000 1,152,000
7.750% 11/15/2013 (a) 5,450,000 5,477,250
Senior Subordinated Notes, Series B
9.250% 01/15/2009 1,075,000 1,129,825
---------------
26,224,000
---------------
Shipping (1.3%)
Teekay Shipping Corp.
Senior Notes
8.875% 07/15/2011 5,340,000 6,127,650
---------------
Specialty Retail (0.9%)
AutoNation, Inc.
Senior Notes
9.000% 08/01/2008 3,200,000 3,680,000
Group 1 Automotive
Senior Subordinated Notes
8.250% 08/15/2013 700,000 766,500
---------------
4,446,500
---------------
Telecommunications (1.8%)
Nextel Communications, Inc.
Senior Notes
9.375% 11/15/2009 3,050,000 3,297,813
9.500% 02/01/2011 1,300,000 1,456,000
Serial Redeemable Note
7.375% 08/01/2015 3,950,000 4,241,313
---------------
8,995,126
---------------
Total Corporate Notes & Bonds
(Cost of $417,733,968) 440,549,425
---------------
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Short-Term Obligation (7.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/30/04, due 02/02/04 at
0.930%, collateralized by a U.S. Treasury
Bond maturing 08/15/13, market value of
$34,599,038 (repurchase proceeds $33,920,629)
(Cost of $33,918,000) $ 33,918,000 $ 33,918,000
---------------
Total Investments (97.8%)
(Cost of $451,651,968) (b) 474,467,425
Other Assets & Liabilities, Net (2.2%) 10,739,028
---------------
Net Assets (100.0%) $ 485,206,453
===============
</Table>
Notes to Schedule of Investments:
(a) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At January 31,
2004, the value of these securities amounted to $107,881,525 which
represents 22.2% of net assets.
(b) Cost for federal income tax purposes is $452,728,685.
<Table>
<Caption>
ACRONYM NAME
------- ----
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2004 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
U.S. Government & Agency Securities (17.4%)
U.S. Treasury Note & Bond (1.0%)
U.S. Treasury Inflation Index Bond
3.625% 01/15/2008 $ 1,170,683 $ 1,302,752
---------------
U.S. Agency Bonds (4.9%)
Federal Home Loan Mortgage Corp. (FHLMC)
4.500% 11/01/2007 - 01/01/2019 4,435,999 4,493,879
5.000% 01/01/2034 549,999 546,437
5.500% 09/01/2017 - 12/01/2017 1,555,424 1,616,234
---------------
6,656,550
---------------
Federal National Mortgage Association (FNMA)
(3.6%)
5.000% 06/01/2018 1,823,564 1,866,697
5.500% 02/01/2018 1,797,970 1,867,699
6.000% 03/01/2009 - 05/01/2009 1,125,991 1,154,489
---------------
4,888,885
---------------
Agency Collateralized Mortgage Obligations (6.7%)
FHLMC GNMA Multiclass Mtg. Partn. Ctfs.
Gtd. Series 24 Cl. J
6.250% 11/25/2023 420,000 443,030
FHLMC Multiclass Mtg. Partn. Ctfs.
Gtd. Series 2462 Cl. JE
6.500% 11/15/2030 680,000 708,306
Gtd. Series 2617 Cl. UA
3.000% 06/15/2009 4,000,000 4,044,003
Gtd. Series 2695 Cl. AT
4.000% 10/15/2026 2,330,000 2,346,798
Gtd. Series 2695 Cl. DB
4.000% 09/15/2015 640,000 641,090
FNMA Series 2003-92 Cl. FA
1.650% 09/25/2018 (a) 986,797 987,934
---------------
9,171,161
---------------
Other Government Agencies (1.2%)
A.I.D., Morocco
1.156% 05/01/2023 (a) 390,000 384,150
Small Business Administration
1.625% 10/25/2021 - 06/25/2022 (a) 666,924 667,912
1.750% 07/25/2021 - 11/25/2021 (a) 133,123 133,295
2.125% 01/25/2017 (a) 384,455 388,246
---------------
1,573,603
---------------
Total U.S. Government & Agency Securities
(Cost of $23,462,166) 23,592,951
---------------
Corporate Notes & Bonds (33.3%)
Financials (15.7%)
Allstate Financial Global Funding II
2.625% 10/22/2006 (b) 600,000 600,713
American General Finance Corp.
3.000% 11/15/2006 250,000 252,154
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Financials (continued)
American International Group, Inc.
2.875% 05/15/2008 (b) $ 1,150,000 $ 1,126,531
AXA Financial, Inc.
9.000% 12/15/2004 525,000 555,933
Bank of America Corp.
6.625% 10/15/2007 1,000,000 1,118,078
Bank One Corp.
2.625% 06/30/2008 750,000 726,596
Bear Stearns Co., Inc.
6.500% 05/01/2006 600,000 653,621
CIT Group, Inc.
7.625% 08/16/2005 250,000 271,190
Citigroup, Inc.
6.750% 12/01/2005 950,000 1,031,128
Credit Suisse First Boston (USA), Inc.
5.750% 04/15/2007 600,000 649,786
Fifth Third Bank
2.700% 01/30/2007 700,000 700,889
Ford Motor Credit Co.
7.375% 10/28/2009 1,085,000 1,194,283
FPL Group Capital, Inc.
6.875% 06/01/2004 750,000 763,259
General Electric Capital Corp.
4.250% 01/15/2008 1,450,000 1,505,590
General Motors Acceptance Corp.
7.750% 01/19/2010 1,000,000 1,139,773
Goldman Sachs Group, Inc.
4.125% 01/15/2008 325,000 334,523
Health Care Property Investors, Inc.
6.875% 06/08/2005 500,000 522,528
Household Finance Corp.
6.400% 06/17/2008 475,000 528,806
J.P. Morgan Chase & Co.
3.125% 12/11/2006 1,000,000 1,011,432
Lehman Brothers Holdings, Inc.
4.000% 01/22/2008 550,000 564,125
Merrill Lynch & Co., Inc.
2.470%, 03/10/2006 700,000 706,992
Morgan Stanley
6.100% 04/15/2006 650,000 702,285
SLM Corp.
5.625% 04/10/2007 800,000 864,210
US Bancorp
3.125% 03/15/2008 1,000,000 991,686
Wachovia Corp.
4.950% 11/01/2006 850,000 903,831
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Financials (continued)
Washington Mutual, Inc.
5.625% 01/15/2007 $ 600,000 $ 645,686
Wells Fargo & Co.
5.900% 05/21/2006 1,100,000 1,190,080
---------------
21,255,708
---------------
Industrial (16.1%)
Alcan, Inc.
1.580% 12/08/2005 (a)(b) 850,000 850,393
Anadarko Petroleum Corp.
3.250% 05/01/2008 625,000 618,614
Anthem, Inc.
4.875% 08/01/2005 475,000 495,333
AT&T Corp.
7.000% 11/15/2006 350,000 389,218
Boeing Co.
8.100% 11/15/2006 525,000 596,265
Bottling Group LLC
2.450% 10/16/2006 1,000,000 996,956
ChevronTexaco Capital Co.
3.500% 09/17/2007 500,000 511,276
Coca-Cola Enterprises, Inc.
8.000% 01/04/2005 925,000 976,956
Costco Wholesale Corp.
5.500% 03/15/2007 975,000 1,053,457
Cox Enterprises, Inc.
8.000% 02/15/2007 (b) 475,000 543,952
CSX Corp.
6.460% 06/22/2005 525,000 555,536
DaimlerChrysler N.A. Holding Corp.
4.750% 01/15/2008 300,000 308,236
Deutsche Telekom International Finance BV
8.500% 06/15/2010 275,000 332,655
Devon Energy Corp.
2.750% 08/01/2006 550,000 550,186
Fortune Brands, Inc.
2.875% 12/01/2006 725,000 730,981
General Mills, Inc.
2.625% 10/24/2006 625,000 622,552
Honeywell International, Inc.
5.125% 11/01/2006 800,000 856,128
International Business Machines Corp.
4.250% 09/15/2009 680,000 703,350
International Paper Co.
4.250% 01/15/2009 550,000 556,195
Jones Intercable, Inc.
7.625% 04/15/2008 500,000 574,286
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Corporate Notes & Bonds (continued)
Industrial (continued)
Kroger Co.
7.650% 04/15/2007 $ 275,000 $ 310,516
Lockheed Martin Corp.
7.700% 06/15/2008 475,000 553,621
Lowe's Companies, Inc.
7.500% 12/15/2005 500,000 549,371
Marathon Oil Corp.
5.375% 06/01/2007 500,000 536,706
Newell Rubbermaid, Inc.
2.000% 05/01/2005 600,000 599,287
Occidental Petroleum Corp.
4.250% 03/15/2010 425,000 430,891
Procter & Gamble Co.
4.750% 06/15/2007 675,000 717,424
Time Warner, Inc.
6.125% 04/15/2006 565,000 607,165
Union Pacific Corp.
3.875% 02/15/2009 325,000 324,875
United Technologies Corp.
4.875% 11/01/2006 900,000 954,427
Verizon Global Funding Corp.
7.600% 03/15/2007 825,000 937,880
Wal-Mart Stores
4.375% 07/12/2007 750,000 785,644
Waste Management, Inc.
7.125% 10/01/2007 525,000 588,487
WellPoint Health Networks, Inc.
6.375% 06/15/2006 600,000 652,528
Wyeth
4.375% 03/01/2008 500,000 511,410
---------------
21,882,757
---------------
Utilities (1.5%)
Alabama Power Co.
3.125% 05/01/2008 725,000 716,594
Dominion Resources, Inc.
2.800% 02/15/2005 700,000 707,867
Kinder Morgan Energy Partners LP
8.000% 03/15/2005 585,000 623,572
---------------
2,048,033
---------------
Total Corporate Notes & Bonds
(Cost of $44,358,624) 45,186,498
---------------
International Notes & Bonds (2.0%)
Ontario Province
6.000% 02/21/2006 700,000 753,612
Quebec Province
6.500% 01/17/2006 600,000 646,588
7.000% 01/30/2007 85,000 95,334
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
International Notes & Bonds (continued)
Republic of Italy
2.500% 03/31/2006 $ 750,000 $ 753,361
United Mexican States
4.625% 10/08/2008 505,000 512,575
---------------
Total International Notes & Bonds
(Cost of $2,702,398) 2,761,470
---------------
Other Securitized Loans (35.0%)
Asset Backed Securities (21.7%)
ABFS Mortgage Loan Trust
Series 1997-2 Cl. A5
7.125% 01/15/2029 196,435 204,127
AmeriCredit Automobile Receivables Trust
Series 2002-EM Cl. A3A
2.970% 03/06/2007 1,255,000 1,272,548
Cityscape Home Equity Loan Trust
Series 1996-3 Cl. A8
7.650% 09/25/2025 1,036,564 1,036,496
Series 1997-B Cl. A7
7.410% 05/25/2028 207,905 207,855
Series 1997-3 Cl. A5
7.890% 07/25/2018 311,805 313,435
Series 1997-4 Cl. A4
7.440% 10/25/2018 205,412 207,474
ContiMortgage Home Equity Loan Trust
Series 1997-3 Cl. A8
7.580% 08/15/2028 764,211 764,359
IMC Home Equity Loan Trust
Series 1995-3 Cl. A5
7.500% 04/25/2026 1,213,215 1,213,131
Series 1997-3 Cl. A6
7.520% 08/20/2028 98,233 98,244
KeyCorp Student Loan Trust
Series 1996-A Cl. A2
1.557% 08/27/2025 (a) 1,450,261 1,459,512
Series 1997-1, Cl. A2
1.787% 01/27/2023 (a)(b) 1,413,413 1,433,494
Series 2003-A, Cl. 2A2
1.430% 10/25/2025 (a) 2,600,000 2,611,011
Lehman Home Equity Loan Trust
Series 1996-3 Cl. A2
1.330% 12/15/2027 (a) 258,052 257,582
New Century Home Equity Loan Trust
Series 2003-6, Cl. A2
1.470% 01/25/2034 (a) 2,977,022 2,979,820
</Table>
See Accompanying Notes to Financial Statements.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Asset Backed Securities (continued)
SLM Student Loan Trust
Series 1996-1 Cl. CTFS
1.887% 07/25/2011 (a) $ 1,300,000 $ 1,318,609
Series 1996-2 Cl. A2
1.617% 07/27/2009(a) 2,226,639 2,248,351
Series 1996-3 Cl. A2
1.587% 10/26/2009 (a) 938,438 944,122
Series 1996-4 Cl. CTFS
1.837% 07/25/2011 (a) 1,400,000 1,401,813
Series 1997-2 Cl. A2
1.507% 01/25/2010 (a) 1,953,991 1,960,891
Series 1997-3 Cl. A2
1.547% 10/25/2010 (a) 814,871 819,558
Series 1997-4 Cl. A2
1.657% 10/25/2010 (a) 823,097 833,195
Series 1998-1 Cl. A2
1.667% 10/25/2011 (a) 2,413,596 2,438,906
Series 1998-2 Cl. A2
1.637% 01/25/2014 (a) 2,248,290 2,266,939
Series 2001-2 Cl. A1T
1.677% 07/27/2009 (a) 856,009 858,461
UCFC Home Equity Loan Trust
Series 1998-D Cl. AF7
6.315% 04/15/2030 296,692 313,105
---------------
29,463,038
---------------
Collateralized Mortgage Obligations (11.8%)
Bear Stearns Asset Backed Securities, Inc.
Series 2003-AC2 Cl. A3
3.500% 06/25/2033 782,551 784,147
Series 2003-AC7 Cl. A1
5.000% 01/25/2034 1,790,222 1,813,317
Countrywide Home Loans
Series 2002-5 Cl. 2A1
6.000% 04/25/2017 238,885 240,659
Series 2003-J7 Cl. 4A2
1.500% 08/25/2018 3,011,323 3,007,409
First Horizon Mortgage Pass-Through Trust
Series 2003-2 Cl. 2A1
1.600% 03/25/2018 2,185,448 2,196,399
Series 2003-4 Cl. 2A2
1.550% 06/25/2018 1,671,004 1,676,341
First Nationwide Trust
Series 2000-1 Cl. 2A3
8.000% 10/25/2030 283,100 282,968
IMPAC CMB Trust
Series 2003-12 Cl. A1
1.480% 12/25/2033 995,450 997,550
</Table>
See Accompanying Notes to Financial Statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Other Securitized Loans (continued)
Collateralized Mortgage Obligations (continued)
IMPAC Secured Assets CMN Owner Trust
Series 2002-3 Cl. A3
6.360% 08/25/2032 $ 1,184,795 $ 1,214,881
Ocwen Residential MBS Corp.
Series 1998-R1 Cl. A1
7.000% 10/25/2040 (b) 462,729 481,482
PNC Mortgage Securities Corp.
Series 1996-PR1 Cl. A
0.514% 4/28/2027 (a) 83,598 82,762
Series 1998-12 Cl. 4A5
6.475% 01/25/2029 23,147 23,273
Residential Asset Securitization Trust
Series 1999-A1 Cl. A1
6.750% 03/25/2029 49,097 49,333
Series 2002-A1 Cl. A4
5.305% 01/25/2030 (a) 355,469 355,016
Residential Funding Mortgage Securities I, Inc.
Series 1999-S25 Cl. A1
6.750% 12/25/2014 108,255 108,242
Saco I, Inc.
Series 1997-2 Cl. A5
7.000% 08/25/2036 (b) 697,957 711,916
Washington Mutual Mortgage Securities Corp.
Series 2003-MS5 Cl. 1A4
1.600% 03/25/2018 (a) 1,232,196 1,234,633
Series 2003-S4 Cl. 1A3
1.600% 06/25/2018 (a) 778,027 777,894
---------------
16,038,222
---------------
Commercial Mortgage Backed Securities (1.5%)
GMAC Commercial Mortgage Asset Corp.
Series 2001-FLAA Cl. B1
1.600% 06/15/2013 (a)(b) 899,537 899,860
NationsLink Funding Corp.
Series 1999-Sl Cl. A5
6.888% 05/10/2007 500,000 553,474
Nomura Asset Securities Corp.
Series 1996-MD5 Cl. A1B
7.120% 04/13/2039 530,000 577,304
---------------
2,030,638
---------------
Total Other Securitized Loans
(Cost of $46,891,587) 47,531,898
---------------
</Table>
See Accompanying Notes to Financial Statements.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT VALUE
--------------- ---------------
Short-Term Obligations (14.0%)
U.S. Treasury Bill (5.9%)
0.890% 05/06/2004 $ 8,000,000 $ 7,981,844
---------------
Repurchase Agreement (8.1%)
Repurchase agreement with State Street Bank
& Trust Co., dated 01/30/04, due 02/02/04
at 0.930%, collateralized by a
U.S. Treasury Note maturing 05/15/07,
market value of $11,326,175 (repurchase
proceeds $11,100,860) 11,100,000 11,100,000
---------------
Total Short-Term Obligations
(Cost of $19,081,844) 19,081,844
---------------
Total Investments (101.7%)
(Cost of $136,496,619) (c) 138,154,661
Other Assets & Liabilities, Net (-1.7%) (2,260,886)
---------------
Net Assets (100.0%) $ 135,893,775
===============
</Table>
Notes to Schedule of Investments:
(a) Variable rate security - the rate reported is the current rate in
effect.
(b) This security is exempt from registration under Rule 144A of the
Securities Act of 1933 and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At January 31,
2004, the value of these securities amounted to $6,648,341 which
represents 4.9% of net assets.
(c) Cost for federal income tax purposes is $136,864,744.
See Accompanying Notes to Financial Statements.
36
<Page>
CMG CORE BOND FUND
CMG HIGH YIELD FUND
CMG SHORT TERM BOND FUND
Portfolios of CMG Fund Trust
STATEMENTS OF ASSETS AND LIABILITIES
January 31, 2004 (Unaudited)
<Table>
<Caption>
CMG CMG CMG
CORE BOND HIGH YIELD SHORT TERM
FUND FUND BOND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at identified cost $ 41,793,031 $ 451,651,968 $ 136,496,619
--------------- --------------- ---------------
Investments, at value $ 42,490,007 $ 474,467,425 $ 138,154,661
Cash 870 505 22,858
Receivable for:
Investments sold 2,540,184 - -
Capital stock sold 134,000 6,752,936 66,980
Interest 343,316 8,086,109 725,927
Expense reimbursement due from Investment Advisor 32,446 15,555 35,100
Other assets 14,459 - 18,301
--------------- --------------- ---------------
Total Assets 45,555,282 489,322,530 139,023,827
--------------- --------------- ---------------
LIABILITIES:
Payable for:
Investments purchased - 2,009,019 2,980,785
Investments purchased on a delayed delivery basis 2,531,618 - -
Fund shares repurchased - 1,401,491 -
Futures variation margin 3,125 - -
Distributions 64,555 533,491 104,770
Investment advisory fee 16,399 160,376 30,095
Transfer agent fee 1,288 - 1,198
Trustees' fees 471 285 407
Audit fee 4,973 11,260 10,507
Custody fee 781 - 2,290
Other liabilities 1,845 155 -
--------------- --------------- ---------------
Total Liabilities 2,625,055 4,116,077 3,130,052
--------------- --------------- ---------------
NET ASSETS $ 42,930,227 $ 485,206,453 $ 135,893,775
=============== =============== ===============
NET ASSETS consist of:
Paid-in capital $ 42,029,590 $ 522,358,086 $ 137,550,073
Overdistributed net investment income (119,098) (1,254,989) (362,666)
Accumulated net realized gain (loss) 354,009 (58,712,101) (2,951,674)
Net unrealized appreciation (depreciation) on:
Investments 696,976 22,815,457 1,658,042
Futures contracts (31,250) - -
--------------- --------------- ---------------
NET ASSETS $ 42,930,227 $ 485,206,453 $ 135,893,775
=============== =============== ===============
Shares of capital stock outstanding 4,075,482 59,340,789 11,252,068
=============== =============== ===============
Net asset value, offering and redemption price per share $ 10.53 $ 8.18 $ 12.08
=============== =============== ===============
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
CMG CORE BOND FUND
CMG HIGH YIELD FUND
CMG SHORT TERM BOND FUND
Portfolios of CMG Fund Trust
STATEMENTS OF OPERATIONS
For the Six Months Ended January 31, 2004 (Unaudited)
<Table>
<Caption>
CMG CMG CMG
CORE BOND HIGH YIELD SHORT TERM
FUND FUND BOND FUND
--------------- --------------- ---------------
NET INVESTMENT INCOME:
Income:
Interest $ 764,959 $ 15,824,608 $ 1,954,578
--------------- --------------- ---------------
Expenses:
Investment advisory fee 72,573 899,985 157,722
Transfer agent fee 5,125 - 5,292
Trustees' fees 4,000 7,959 3,253
Custody fee 4,083 - 6,181
Audit fee 11,162 16,299 13,896
Legal fee 2,796 7,036 2,778
Registration fee 35,602 - 30,707
Reports to shareholders 12,358 - 8,317
Other expenses 8,556 - 17,617
--------------- --------------- ---------------
Total expenses 156,255 931,279 245,763
Expense reimbursement from Investment Advisor (73,034) (31,294) (87,736)
Custody earnings credit (321) - (305)
--------------- --------------- ---------------
Net expenses 82,900 899,985 157,722
--------------- --------------- ---------------
Net investment income 682,059 14,924,623 1,796,856
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 395,926 3,899,409 (35,776)
Futures contracts (3,142) - -
--------------- --------------- ---------------
Net realized gain (loss) 392,784 3,899,409 (35,776)
--------------- --------------- ---------------
Net change in unrealized appreciation/depreciation on:
Investments 654,051 12,162,043 754,053
Futures contracts (2,219) - -
--------------- --------------- ---------------
Net change in unrealized
appreciation/depreciation 651,832 12,162,043 754,053
--------------- --------------- ---------------
Net gain 1,044,616 16,061,452 718,277
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,726,675 $ 30,986,075 $ 2,515,133
--------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
38
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (a) OCTOBER 31, 2002
------------------ ------------------ ------------------
Operations:
Net investment income $ 682,059 $ 804,361 $ 1,502,637
Net realized gain (loss) on investments
and futures contracts 392,784 451,945 22,974
Net change in unrealized appreciation/depreciation
on investments and futures contracts 651,832 (884,129) (441,733)
------------------ ------------------ ------------------
Net increase from operations 1,726,675 372,177 1,083,878
Distributions declared to shareholders:
From net investment income (745,543) (845,766) (1,555,680)
From net realized gains (424,522) - (361,418)
------------------ ------------------ ------------------
Total distributions declared to shareholders (1,170,065) (845,766) (1,917,098)
Net capital shares transactions 11,861,472 3,573,954 (529,328)
------------------ ------------------ ------------------
Net increase (decrease) in net assets 12,418,082 3,100,365 (1,362,548)
NET ASSETS:
Beginning of period 30,512,145 27,411,780 28,774,328
------------------ ------------------ ------------------
End of period $ 42,930,227 $ 30,512,145 $ 27,411,780
================== ================== ==================
Overdistributed net investment income $ (119,098) $ (55,614) $ (41,336)
================== ================== ==================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
39
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (a) OCTOBER 31, 2002
------------------ ------------------ ------------------
Operations:
Net investment income $ 14,924,623 $ 19,360,784 $ 28,534,687
Net realized gain (loss) on investments 3,899,409 1,182,628 (24,532,571)
Net change in unrealized appreciation/depreciation
on investments 12,162,043 11,692,827 (3,668,160)
------------------ ------------------ ------------------
Net increase from operations 30,986,075 32,236,239 333,956
Distributions declared to shareholders:
From net investment income (15,697,097) (19,919,406) (28,989,392)
------------------ ------------------ ------------------
Net capital shares transactions 40,875,801 130,496,403 (34,095,515)
------------------ ------------------ ------------------
Net increase (decrease) in net assets 56,164,779 142,813,236 (62,750,951)
NET ASSETS:
Beginning of period 429,041,674 286,228,438 348,979,389
------------------ ------------------ ------------------
End of period $ 485,206,453 $ 429,041,674 $ 286,228,438
================== ================== ==================
Overdistributed net investment income $ (1,254,989) $ (482,515) $ (370,235)
================== ================== ==================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
40
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003 (a) OCTOBER 31, 2002
------------------ ------------------ ------------------
Operations:
Net investment income $ 1,796,856 $ 3,700,095 $ 6,621,939
Net realized gain (loss) on investments (35,776) 2,198,748 (2,162,083)
Net change in unrealized appreciation/depreciation
on investments 754,053 (2,821,216) 67,269
------------------ ------------------ ------------------
Net increase from operations 2,515,133 3,077,627 4,527,125
Distributions declared to shareholders:
From net investment income (1,932,757) (4,009,769) (7,115,313)
------------------ ------------------ ------------------
Net capital shares transactions 22,118,459 (26,631,502) 53,553,765
------------------ ------------------ ------------------
Net increase (decrease) in net assets 22,700,835 (27,563,644) 50,965,577
NET ASSETS:
Beginning of period 113,192,940 140,756,584 89,791,007
------------------ ------------------ ------------------
End of period $ 135,893,775 $ 113,192,940 $ 140,756,584
================== ================== ==================
Overdistributed net investment income $ (362,666) $ (226,765) $ (339,254)
================== ================== ==================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
See Accompanying Notes to Financial Statements.
41
<Page>
CMG CORE BOND FUND
CMG HIGH YIELD FUND
CMG SHORT TERM BOND FUND
Portfolios of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2004 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified Funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Core Bond Fund (Formerly CMG Fixed Income Securities Fund)
CMG High Yield Fund
CMG Short Term Bond Fund
On February 27, 2004, the CMG Fixed Income Securities Fund name was changed to
the CMG Core Bond Fund.
INVESTMENT GOALS. The CMG Core Bond Fund seeks a high level of current income
consistent with capital preservation. The CMG High Yield Fund seeks a high level
of current income. Capital appreciation is a secondary objective when consistent
with a high level of current income. The CMG Short Term Bond Fund seeks a high
level of current income consistent with a high degree of stability of principle.
FUND SHARES. Each Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
SECURITY VALUATION. Debt securities generally are valued by a pricing service
approved by the Trust's Board of Trustees, based upon market transactions for
normal, institutional-size trading units of similar securities. The services may
use various pricing techniques which take into account appropriate factors such
as yield, quality, coupon rate, maturity, type of issue, trading characteristics
and other data, as well as broker quotes. Debt securities for which quotations
are readily available are valued at an over-the-counter or exchange bid
quotation. Certain debt securities, which tend to be more thinly traded and of
lesser quality, are priced based on fundamental analysis of the financial
condition of the issuer and the estimated value of any collateral. Valuations
developed through pricing techniques may vary from the actual amounts realized
upon sale of the securities, and the potential variation may be greater for
those securities valued using fundamental analysis.
Short term obligations maturing within 60 days are valued at amortized cost,
which approximates market value.
Investments in other investment companies are valued at net asset value.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
42
<Page>
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
FUTURES CONTRACTS. Each Fund may invest in municipal and U.S. Treasury futures
contracts. The Funds will invest in these instruments to hedge against the
effects of changes in the value of portfolio securities due to anticipated
changes in interest rates and/or market conditions, for duration management, or
when the transactions are economically appropriate to the reduction of risk
inherent in the management of the Funds and not for trading purposes. The use of
futures contracts involves certain risks, which include: (1) imperfect
correlation between the price movement of the instruments and the underlying
securities, (2) inability to close out positions due to differing trading hours,
or the temporary absence of a liquid market, for either the instrument or the
underlying securities, or (3) an inaccurate prediction by Columbia Management
Advisors, Inc. of the future direction of interest rates. Any of these risks may
involve amounts exceeding the variation margin recorded in the Funds' Statement
of Assets and Liabilities at any given time.
Upon entering into a futures contract, each Fund deposits cash or securities
with the broker in an amount sufficient to meet the initial margin requirement.
Subsequent payments are made or received by the Funds equal to the daily change
in the contract value and are recorded as variation margin payable or receivable
and offset in unrealized gains or losses. Each Fund also identifies portfolio
securities as segregated with the custodian in a separate account in an amount
equal to the futures contract. The Funds recognize a realized gain or loss when
the contract is closed or expires.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. The Funds, through their custodian, receive delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while the Funds seek to assert their rights.
RESTRICTED SECURITIES. Restricted securities are securities that may only be
resold upon registration under federal securities laws or in transactions exempt
from registration. In some cases, the issuer of restricted securities has agreed
to register such securities for resale at the issuer's expense either upon
demand by the Funds or in connection with another registered offering of the
securities. Many restricted securities may be resold in the secondary market in
transactions exempt from registration. Such restricted securities may be
determined to be liquid under criteria established by the Board of Trustees. The
Funds will not incur any registration costs upon such resale.
DELAYED DELIVERY SECURITIES. The Funds may trade securities on other than normal
settlement terms, including securities purchased or sold on a "when-issued"
basis. This may increase the risk if the other party to the transaction fails to
deliver and causes the Funds to subsequently invest at less advantageous prices.
The Funds identify cash or liquid portfolio securities as segregated with the
custodian in an amount equal to the delayed delivery commitment.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Premium
and discount are amortized and accreted, respectively, on all debt securities.
43
<Page>
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, by distributing in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Fund
will not be subject to federal excise tax. Therefore, no federal income or
excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment income are declared
daily and paid monthly. Net realized capital gains, if any, are distributed at
least annually. Income and capital gains dividends are determined in accordance
with income tax regulations and may differ from GAAP.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the period ended July 31, 2003
and the fiscal year ended October 31, 2002 was as follows:
<Table>
<Caption>
JULY 31, 2003
--------------------------------------
ORDINARY LONG-TERM
INCOME* CAPITAL GAINS
-------------- ---------------
CMG Core Bond Fund $ 845,766 $ -
CMG High Yield Fund 19,919,406 -
CMG Short Term Bond Fund 4,009,769 -
<Caption>
OCTOBER 31, 2002
--------------------------------------
ORDINARY LONG-TERM
INCOME* CAPITAL GAINS
-------------- ---------------
CMG Core Bond Fund $ 1,881,625 $ 35,473
CMG High Yield Fund 28,989,392 -
CMG Short Term Bond Fund 7,115,313 -
</Table>
*For tax purposes short-term capital gains distributions, if any, are considered
ordinary income distributions.
44
<Page>
Unrealized appreciation and depreciation at January 31, 2004, based on cost of
investments for federal income tax purposes, was:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------ ------------ -------------
CMG Core Bond Fund $ 721,870 $ (94,714) $ 627,156
CMG High Yield Fund 22,151,149 (412,409) 21,738,740
CMG Short Term Bond Fund 1,574,813 (284,896) 1,289,917
</Table>
The following capital loss carryforwards, determined as of July 31, 2003, are
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
------------------------------------------------------------------
2007 2008 2009 2010 TOTAL
----------- ----------- ------------ ------------ ------------
CMG High Yield Fund $ 7,445,989 $ 5,633,565 $ 24,244,763 $ 25,194,365 $ 62,518,682
CMG Short Term Bond Fund - 537,548 - 2,365,257 2,902,805
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect, wholly owned subsidiary of FleetBoston Financial Corporation
("FleetBoston"), is the investment advisor to the Funds and provides
administrative and other services. Columbia receives monthly investment advisory
fees based on each Fund's average daily net assets at the following annual
rates:
<Table>
CMG Core Bond Fund 0.35%
CMG High Yield Fund 0.40%
CMG Short Term Bond Fund 0.25%
</Table>
The CMG High Yield Fund's investment advisory fee is a unified fee. Columbia,
out of the unified fee it receives, pays all accounting fees, legal fees,
transfer agent fees, custody fees and miscellaneous expenses of the CMG High
Yield Fund. The unified fee does not include brokerage fees, taxes, Trustees'
fees, Trustee legal counsel fees, audit fees, interest expenses associated with
any borrowings by the Fund or extraordinary expenses, if any.
Effective February 27, 2004, the investment advisory fee for the CMG Core Bond
Fund and the CMG Short Term Bond Fund became a unified fee. The unified fee is
at the annual rate of 0.25% for each fund and includes all accounting fees,
legal fees, transfer agent fees, custody fees and miscellaneous expenses of each
Fund.
FleetBoston has entered into an agreement with Bank of America Corporation
("BOA") to merge the two financial services companies. On March 17, 2004, the
shareholders of FleetBoston and BOA voted to approve the merger. The transaction
is expected to be completed in the second quarter of 2004.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). Columbia pays fees to State Street under the
Outsourcing Agreement. The Funds are not charged a fee for these services.
45
<Page>
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"),
formerly Liberty Funds Services, Inc., an affiliate of Columbia, provides
shareholder services to the Funds. For such services, the Transfer Agent
receives a fee, paid monthly, at the annual rate of $34.00 per open account. The
transfer agent fees for the CMG High Yield Fund are included in the unified fee.
Effective February 27, 2004, the transfer agent fees for the CMG Core Bond Fund
and the CMG Short Term Bond Fund are included in the unified fee.
Prior to November 1, 2003, the Transfer Agent was entitled to receive a monthly
transfer agent fee based on a per account fee or a minimum of $1,500 per month
for the CMG Core Bond Fund and the CMG Short Term Bond Fund. For the six months
ended January 31, 2004, the annualized effective transfer agent fee rate for the
CMG Core Bond Fund and the CMG Short Term Bond Fund was 0.02% and 0.01%,
respectively.
EXPENSE LIMITS AND FEE REIMBURSEMENTS. Columbia has contractually agreed to
reimburse the Funds for certain expenses so that the expenses incurred by the
Funds, including the investment advisory fees, would not exceed the following
annual rates based on each Fund's average daily net assets:
<Table>
CMG Core Bond Fund 0.40%
CMG High Yield Fund 0.40%
CMG Short Term Bond Fund 0.25%
</Table>
Columbia has contractually agreed to reimburse the Funds through March 1, 2009.
Effective February 27, 2004, Columbia has agreed to reimburse the CMG Core Bond
Fund so that the expenses incurred by the Fund, including the investment
advisory fees, would not exceed 0.25% of the Fund's average daily net assets.
CUSTODY CREDITS. The CMG Core Bond Fund and CMG Short Term Bond Fund have an
agreement with their custodian bank under which custody fees may be reduced by
balance credits. A Fund could have invested a portion of the assets utilized in
connection with the expense offset arrangement in an income-producing asset if
it had not entered into such an agreement.
FEES PAID TO OFFICERS AND TRUSTEES. Trustees' fees and expenses are paid
directly by each Fund to trustees having no affiliation with the Funds other
than their capacity as trustees. Other trustees and officers receive no
compensation from the Funds.
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2004, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
---------------------------- -----------------------------
PURCHASES SALES PURCHASES SALES
------------- ------------- -------------- -------------
CMG Core Bond Fund $ 40,141,635 $ 40,951,464 $ 22,729,182 $ 9,870,349
CMG High Yield Fund - - 104,706,062 80,012,604
CMG Short Term Bond Fund 19,105,589 13,773,319 44,489,611 25,859,429
</Table>
46
<Page>
NOTE 6. CAPITAL STOCK ACTIVITY:
Transactions of capital shares were as follows:
<Table>
<Caption>
CMG CORE BOND FUND
------------------------------------------------------------
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
SHARES:
Shares sold 2,791,893 1,265,332 226,168
Shares issued for reinvestment of dividends 83,117 67,108 182,889
Less shares redeemed (1,738,394) (1,000,170) (458,196)
---------------- ---------------- ----------------
Net increase (decrease) in shares 1,136,616 332,270 (49,139)
================ ================ ================
AMOUNTS:
Sales $ 29,346,384 $ 13,544,369 $ 2,380,359
Reinvestment of dividends 872,872 712,005 1,909,849
Less redemptions (18,357,784) (10,682,420) (4,819,536)
---------------- ---------------- ----------------
Net increase (decrease) $ 11,861,472 $ 3,573,954 $ (529,328)
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
<Table>
<Caption>
CMG HIGH YIELD FUND
------------------------------------------------------------
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
SHARES:
Shares sold 9,997,093 34,794,784 16,446,956
Shares issued for reinvestment of dividends 1,607,206 2,111,371 3,176,244
Less shares redeemed (6,577,399) (20,522,378) (24,583,292)
---------------- ---------------- ----------------
Net increase (decrease) in shares 5,026,900 16,383,777 (4,960,092)
================ ================ ================
AMOUNTS:
Sales $ 80,424,130 $ 274,845,721 $ 131,994,303
Reinvestment of dividends 12,978,631 16,684,887 25,255,040
Less redemptions (52,526,960) (161,034,205) (191,344,858)
---------------- ---------------- ----------------
Net increase (decrease) $ 40,875,801 $ 130,496,403 $ (34,095,515)
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
47
<Page>
<Table>
<Caption>
CMG SHORT TERM BOND FUND
------------------------------------------------------------
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JANUARY 31, 2004 JULY 31, 2003(a) OCTOBER 31, 2002
---------------- ---------------- ----------------
SHARES:
Shares sold 2,993,572 4,425,228 7,604,040
Shares issued for reinvestment of distributions 125,609 318,466 574,008
Less shares redeemed (1,288,334) (6,910,326) (3,823,461)
---------------- ---------------- ----------------
Net increase (decrease) in shares 1,830,847 (2,166,632) 4,354,587
================ ================ ================
AMOUNTS:
Sales $ 36,135,043 $ 53,909,699 $ 93,097,391
Reinvestment of distributions 1,514,943 3,872,033 7,003,463
Less redemptions (15,531,527) (84,413,234) (46,547,089)
---------------- ---------------- ----------------
Net increase (decrease) $ 22,118,459 $ (26,631,502) $ 53,553,765
================ ================ ================
</Table>
(a) The Fund has changed its fiscal year end from October 31 to July 31.
NOTE 7. LINE OF CREDIT:
The Funds participate in a $100,000,000 uncommitted line of credit along with
the other funds of the Trust and several of the Columbia Funds, an affiliated
group of funds managed by Columbia. The uncommitted line of credit expires on
July 2, 2004. For the six months ended January 31, 2004, the Funds did not
borrow under these arrangements.
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2004, the Funds had shareholders that held greater than 5% of
the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the funds. The numbers of
shareholders greater than 5% and the aggregate percentage of shares outstanding
held were as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Core Bond Fund 4 43.36%
CMG High Yield Fund 4 29.43%
CMG Short Term Bond Fund 3 39.08%
</Table>
NOTE 9. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
HIGH-YIELD SECURITIES. Investing in high-yield securities may involve greater
credit risk and considerations not typically associated with investing in U.S.
Government bonds and other higher quality fixed income securities. These
securities are non-investment grade securities, often referred to as "junk
bonds." Economic downturns may disrupt the high yield market and impair the
ability of issuers to repay principal and interest. Also, an increase in
interest rates would likely have an adverse impact on the value of such
obligations. Moreover, high-yield securities may be less liquid due to the
extent that there is no established retail secondary market and because of a
decline in the value of such securities.
48
<Page>
INDUSTRY FOCUS. Each Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. Columbia, and Columbia Funds Distributor, Inc. ("CFDI"), and
certain of their affiliates (collectively, "the Columbia Group") have received
information requests and subpoenas from various regulatory and law enforcement
authorities in connection with their investigations of late trading and market
timing in mutual funds. The Columbia Group has not uncovered any instances where
Columbia or CFDI were knowingly involved in late trading of mutual fund shares.
On February 24, 2004, the Securities and Exchange Commission ("SEC") filed a
civil complaint in the United States District Court for the District of
Massachusetts against Columbia and CFDI, alleging that they had violated certain
provisions of the federal securities laws in connection with trading activity in
mutual fund shares. Also on February 24, 2004, the New York Attorney General
("NYAG") filed a civil complaint in New York Supreme Court, County of New York
against Columbia and CFDI alleging that Columbia and CFDI had violated certain
New York anti-fraud statutes. On March 15, 2004, Columbia and CFDI entered into
agreements in principle with the SEC Division of Enforcement and NYAG in
settlement of the charges. Under the agreements, Columbia and CFDI agreed, inter
alia, to the following conditions: payment of $70 million in disgorgement;
payment of $70 million in civil penalties; an order requiring Columbia and CFDI
to cease and desist from violations of the antifraud provisions and other
provisions of the federal securities laws; governance changes designed to
maintain the independence of the mutual fund boards of trustees and ensure
compliance with securities laws and their fiduciary duties; and retention of an
independent consultant to review Columbia's and CFDI's compliance policies and
procedures. The agreement requires the final approval of the SEC. In a separate
agreement with the NYAG, the Columbia Group has agreed to reduce mutual fund
fees by $80 million over a five-year period.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
NOTE 10. COMPARABILITY OF FINANCIAL STATEMENTS
On January 29, 2003, the Board of Trustees approved a change in the fiscal year
ends of each Fund from October 31 to July 31.
49
<Page>
Shareholder Meeting Results
On October 7, 2003, a Special Meeting of Shareholders of CMG Fund Trust was held
to conduct a vote for and against the approval of the Item listed on the Proxy
Statement for said meeting. The votes cast at the Meeting were as follows:
PROPOSAL 1.
Election of the following Trustees:
Douglas A. Hacker, Janet Langford Kelly, Richard W. Lowry,
Charles R. Nelson, John J. Neuhauser, Patrick J. Simpson,
Thomas E. Stitzel, Thomas C. Theobald, Anne-Lee Verville,
Richard L. Woolworth, William E. Mayer and Joseph R. Palombo:
<Table>
Total shares in favor of proposal: 55,945,086
Total shares against or abstaining proposal: 131,926
</Table>
50
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MA 02110
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/095R-0204 (03/04) C-04/030
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to its portfolio securities is available (i) without
charge, upon request, by calling 800-547-1037 and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT US AT 800-547-1037
FOR A PROSPECTUS, WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE
FUND. READ IT CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 SW Fifth
Avenue, Portland, Oregon 97201
<Page>
ITEM 2. CODE OF ETHICS.
Note applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Note applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Note applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Note applicable at this time.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. CONTROLS AND PROCEDURES.
<Page>
(a) The registrant's principal executive officer and principal financial
officer, based on his evaluation of the registrant's disclosure controls
and procedures as of a date within 90 days of the filing of this report,
has concluded that such controls and procedures are adequately designed
to ensure that information required to be disclosed by the registrant in
Form N-CSR is accumulated and communicated to the registrant's management,
including the principal executive officer and principal financial officer,
or persons performing similar functions, as appropriate to allow timely
decisions regarding required disclosure.
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the registrant's last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not
applicable at this time.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of
1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) CMG Fund Trust
----------------------------------------------------------------
By (Signature and Title) /s/ J. Kevin Connaughton
----------------------------------------------------
J. Kevin Connaughton, President and Treasurer
Date April 6, 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/ J. Kevin Connaughton
----------------------------------------------------
J. Kevin Connaughton, President and Treasurer
Date April 6, 2004
------------------------------------------------------------------------