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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-9555
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Commonfund Institutional Funds
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(Exact name of registrant as specified in charter)
15 Old Danbury Road, Wilton, CT 06897
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(Address of principal executive offices) (Zip code)
The Corporate Trust Company, 1209 Orange Street, Wilmington, Delaware 19801,
County of Newcastle
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(Name and address of agent for service)
Registrant's telephone number, including area code: (203) 563-5000
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Date of fiscal year end: 04/30/2004
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Date of reporting period: 04/30/2004
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ITEM 1. REPORTS TO STOCKHOLDERS.
The annual report is for the period May 1, 2003 through April 30, 2004 is
filed herewith.
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COMMONFUND INSTITUTIONAL FUNDS
ANNUAL REPORT APRIL 30, 2004
COMMONFUND
ORGANIZATIONS CHANGE, MISSIONS DON'T.
[GRAPHIC]
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TABLE OF CONTENTS
<Table>
MANAGEMENT REVIEW 3
SCHEDULE OF INVESTMENTS
CIF Core Equity Fund 10
CIF Small Cap Fund 13
CIF All Cap Equity Fund 18
CIF International Equity Fund 20
CIF Core Plus Bond Fund 25
CIF Inflation-Indexed Bond Fund 31
CIF Short Duration Fund 32
STATEMENTS OF ASSETS AND LIABILITIES 38
STATEMENTS OF OPERATIONS 40
STATEMENTS OF CHANGES IN NET ASSETS 42
FINANCIAL HIGHLIGHTS 46
NOTES TO FINANCIAL STATEMENTS 50
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 55
FEDERAL TAX INFORMATION 56
DIRECTORS AND OFFICERS 57
INVESTMENT MANAGERS LIST 59
</Table>
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CIF CORE EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Artisan Partners Limited Partnership
John A. Levin & Co., Inc.
Marsico Capital Management, LLC
Martingale Asset Management, L.P.
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
large and medium capitalization U.S. companies.
FUND STRATEGY
The CIF Core Equity Fund invests primarily in a diversified portfolio of common
stocks and securities convertible into common stocks of large and medium
capitalization U.S. companies. Generally, these issuers will have market
capitalizations in the range of the companies in the S&P 500 Composite Index,
which is the benchmark index for the fund. The fund is designed to add value
over its benchmark primarily through stock selection, rather than sector or
style variance, with volatility similar to that of its benchmark index.
The fund seeks to achieve its investment objective by taking advantage of the
stock selection expertise, primarily within the large cap sector, of its
Sub-Advisers. The fund uses a multi-manager approach, relying on one or more
Sub-Advisers who select stocks using quantitative and bottom-up fundamental
analysis. The Investment Manager actively manages the allocation of assets among
the Sub-Advisers based on the market environment and an assessment of each
Sub-Adviser's investment portfolio and its characteristics. The fund may use
derivative instruments for both hedging and non-hedging purposes.
ANALYSIS
For the twelve month period ending April 30, 2004, the CIF Core Equity Fund
returned 24.32%, outperforming the S&P 500 index return of 22.88% by 144 basis
points. Stronger economic data produced relatively volatile financial markets.
Subsiding deflationary fears and improved economic data led to speculation
regarding the course of interest rates. In the absence of significant job growth
and depressed wage labor rates, as a result of increased productivity, fiscal
stimulus in the form of tax benefits aided the consumer and continued to promote
economic recovery. In this environment marred by conflicting variables, stock
selection became a primary driver of investment performance. Performance was led
by strong stock selection in the Health Care, Consumer Discretionary, and
Information Technology sectors, which contributed over 300 basis points in
excess returns. In the Health Care sector, exposure to Pharmaceuticals and
Biotechnology stocks benefited returns more than exposure to the Equipment and
Service Provider sub-sectors. Although poor stock selection in the Industrials
sector and a 1.70% average cash balance slightly mitigated performance, it was
not enough to negate excess returns provided by exposure to the Health Care,
Consumer Discretionary and Information Technology sectors.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- --------------------------------------------------- ----------------- ------------------------
CIF Core Equity Fund 24.32% -2.00%
S&P 500 Composite Index 22.88% -3.63%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Equity Fund (since inception),
and the S&P 500 Composite Index
<Table>
<Caption>
CIF CORE EQUITY FUND S&P 500 COMPOSITE INDEX
1/1/2001 $ 10,000 $ 10,000
4/30/2001 $ 9,591 $ 9,500
10/31/2001 $ 8,280 $ 8,115
4/30/2002 $ 8,812 $ 8,302
10/31/2002 $ 7,217 $ 6,890
4/30/2003 $ 7,520 $ 7,195
10/31/2003 $ 8,869 $ 8,320
4/30/2004 $ 9,349 $ 8,841
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
3
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CIF SMALL CAP FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Artisan Partners Limited Partnership
Chartwell Investment Partners, L.P.
Martingale Asset Management, L.P.
TCW Asset Management Company
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
smaller capitalization U.S. companies.
FUND STRATEGY
The CIF Small Cap Fund invests primarily in equity securities of small U.S.
companies. Generally, these companies will have market capitalizations in the
range of the companies in the Russell 2000 Index, which is the benchmark index
for the fund. The fund hires Sub-Advisers whose approaches to stock selection
are complementary and are designed to add long-term value over the benchmark
index. Short-term volatility may be greater than that of the benchmark index.
The fund seeks to achieve its investment objective by taking advantage of
inefficiencies that are persistent within the small cap sector of the market.
The fund uses a multi-manager approach, relying on one or more Sub-Advisers who
select stocks using quantitative and bottom-up fundamental analysis. The
Investment Manger actively manages the allocation of assets among the
Sub-Advisers based on the market environment and an assessment of each
Sub-Adviser's investment portfolio and its characteristics. The fund may use
derivative instruments for both hedging and non-hedging purposes.
ANALYSIS
Since the CIF Small Cap Fund's inception on September 2, 2003 through April 30,
2004, the fund has returned 13.20%. This compares to the Russell 2000 index
return of 13.36% for the same time frame. Performance was led by strong stock
selection in the financials sector, particularly in the banking group.
Additionally, good selection in the information technology sector, the worst
performing sector in the index, added value in both the semiconductor and
hardware areas. Conversely, poor stock picking in the consumer discretionary
industries of retailing and consumer durables detracted from performance. From a
capitalization perspective, the fund did very well with positions in the $500
million to $1 billion range, but was also able to add value across all segments
of the small market cap spectrum. The 2.99% average cash position has proven to
be a drag on fund performance.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
SINCE INCEPTION (9/2/03)
- ------------------------------------------------------ -----------------------
CIF Small Cap Fund 13.20%
Russell 2000 Index 13.36%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Small Cap Fund (since inception),
and the Russell 2000 Index
<Table>
<Caption>
CIF SMALL CAP FUND RUSSELL 2000 INDEX
9/2/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,680 $ 9,815
10/31/2003 $ 10,570 $ 10,640
4/30/2004 $ 11,320 $ 11,336
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
4
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CIF ALL CAP EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: D.G. Capital Management, Inc.
Edgewood Management Company
Wellington Management Company, LLP
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of common stocks of
U.S. companies.
FUND STRATEGY
The CIF All Cap Equity Fund invests primarily in a portfolio of common stocks
and securities convertible into common stocks of U.S. companies. Generally,
these companies will have market capitalizations in the range of companies in
the Russell 3000 Index, which is the benchmark index for the fund. The Fund may
invest up to 10% of its assets in equity securities of foreign companies.
The fund seeks to achieve its investment objective by taking advantage of
inefficiencies that are persistent within the equity market. The fund uses a
multi-manager approach, relying on one or more Sub-Advisers who select stocks
using proprietary bottom-up fundamental research. The Investment Manager
actively manages the allocation of assets among the Sub-Advisers based on the
market environment and an assessment of each Sub-Adviser's investment portfolio
and its characteristics. The fund may use derivative instruments for both
hedging and non-hedging purposes. In addition, the fund may engage in short
sales.
ANALYSIS
Since the CIF All Cap Equity Fund's inception on February 3, 2004 through April
30, 2004, the fund has returned -3.90%. This compares to the Russell 3000 index
return of -1.93% for the same time frame. Due to the opportunistic nature of
this strategy, the underlying managers required some time to become fully
invested. As a result, the fund held an average weight of 18.11% cash during the
period. This high cash position added value over the short life of the fund as
markets declined, but is not indicative of future cash levels. From a sector
perspective, the fund provided relative outperformance through good stock
selection in the telecom services group, however, those gains were more than
offset by underweight positions in the consumer staples and energy sectors, the
best performers in the index, returning 6.62% and 6.86% respectively.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
SINCE INCEPTION (2/3/04)
- ------------------------------------------------------ ------------------------
CIF All Cap Equity Fund -3.90%
Russell 3000 Index -1.93%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF All Cap Equity Fund (since inception),
and the Russell 3000 Index
<Table>
<Caption>
CIF ALL CAP EQUITY FUND RUSSELL 3000 INDEX
2/2/2004 $ 10,000 $ 10,000
4/30/2004 $ 9,610 $ 9,807
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
5
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CIF INTERNATIONAL EQUITY FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Capital Guardian Trust Company
Causeway Capital Management, LLC
Mastholm Asset Management, LLC
Philadelphia International Advisors
TT International Investment Management
William Blair & Company, LLC
FUND OBJECTIVE
Long-term capital appreciation by investing in a portfolio of equity securities
of non-U.S. issuers.
FUND STRATEGY+
The CIF International Equity Fund invests primarily in common stocks and other
equity securities of foreign companies. The fund generally invests in equity
securities of non-U.S. issuers represented in the MSCI World Ex-US Net Index,
which is the benchmark index for the fund. The fund may also invest up to 10% of
its assets in equity securities of issuers located in emerging markets. The fund
may use derivative instruments for both hedging and non-hedging purposes. The
fund seeks to achieve its investment objective by taking advantage of the stock
selection expertise and distinct investment strategies of its Sub-Advisers. The
fund uses a multi-manager approach, relying on one or more Sub-Advisers who
select stocks utilizing bottom-up fundamental analysis. The Investment Manager
actively manages the allocation of assets among the Sub-Advisers based on the
market environment and an assessment of each Sub-Adviser's investment portfolio
and its characteristics. The fund may invest up to 10% of its assets in a
passively managed international equity index strategy.
ANALYSIS
For the twelve month period ending April 30, 2004, the CIF International Equity
Fund returned 37.06%, underperforming the MSCI World ex-US index return of
39.65% by 259 basis points. In an attempt to take advantage of developing market
conditions, the portfolio underwent a significant restructuring during the third
quarter of 2003. As a result, the over 3.00% average cash weight detracted 200
basis points from relative performance. Although the portfolio underperformed
its benchmark, a healthy global economic recovery resulted in strong absolute
returns. International markets, similar to their domestic counterparts,
benefited from a cyclical upturn in economic activity and an increase in capital
spending. A 2.56% overweight exposure to the well-performing Information
Technology sector contributed 23 basis points to excess returns. A survey
conducted by Nihon Keizai Shimbun, the leading Japanese business and financial
newspaper, indicated that consumer spending and consumer demand turned positive
for the first time since October 1996. As a result, consumer finance companies
reduced bad loan expenses and, fueled by consumer sentiment, outperformed the
broad market. In addition, strong stock selection in the Materials and Utilities
sectors contributed 35 and 33 basis points, respectively to excess returns.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- --------------------------------------------------- ----------------- ------------------------
CIF International Equity Fund 37.06% -0.52%
MSCI EAFE Net Dividend Index 40.23% -2.05%
MSCI World Ex-US Net Index 39.65% -1.94%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF International Equity Fund
(since inception), the MSCI EAFE Net Dividend Index,
and the MSCI World Ex-US Net Index
<Table>
<Caption>
CIF INTERNATIONAL EQUITY FUND MSCI WORLD EX-US NET INDEX MSCI EAFE NET DIVIDEND INDEX
1/1/2001 $ 10,000 $ 10,000 $ 10,000
4/30/2001 $ 9,411 $ 9,198 $ 9,228
10/31/2001 $ 7,732 $ 7,515 $ 7,531
4/30/2002 $ 8,366 $ 7,951 $ 7,947
10/31/2002 $ 7,043 $ 6,538 $ 6,537
4/30/2003 $ 7,171 $ 6,708 $ 6,655
10/31/2003 $ 8,916 $ 8,380 $ 8,304
4/30/2004 $ 9,829 $ 9,368 $ 9,367
</Table>
+THE FUND HAS CHANGED ITS INDEX FROM THE MSCI EAFE NET DIVIDEND INDEX TO THE
MSCI WORLD EX-US NET INDEX BECAUSE THE MSCI WORLD EX-US NET INDEX IS MORE
REPRESENTATIVE OF THE TYPE OF SECURITIES IN WHICH THE FUND INVESTS.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
6
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CIF CORE PLUS BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: BlackRock Advisors, Inc.
Western Asset Management Company
Western Asset Management Company Limited
FUND OBJECTIVE
High current income and price appreciation by investing in a diversified
portfolio of fixed income securities of varying maturities.
FUND STRATEGY
The CIF Core Plus Bond Fund invests primarily in investment grade bonds and
other fixed income securities in an attempt to outperform the broad U.S. bond
market. Investment grade securities are those rated in one of the four highest
categories at the time of investment, or determined by a Sub-Adviser to be of
equivalent quality. The fund also may invest up to 20 percent of its assets in
securities rated below investment grade, but in one of the six highest rating
categories, and up to 20 percent of its assets in non-dollar denominated
securities. The Sub-Advisers may invest in certain derivatives and may use
certain techniques, such as currency hedging, in order to outperform the broad
market. The benchmark for the fund is the Lehman Brothers Aggregate Bond Index.
The fund will be managed to have a targeted duration within a band of (+/-) 20
percent around the duration of the benchmark. The fund seeks to achieve its
investment objective by maintaining a core portfolio of securities that is
aligned with the composition and duration of the fund's benchmark index, which
tracks the overall U.S. bond market. The Sub-Advisers then seek to add value by
investing a portion of the fund's assets in fixed income securities that are not
represented in the benchmark and using investment techniques designed to
overweight or underweight the fund's portfolio relative to benchmark
characteristics.
ANALYSIS
The CIF Core Plus Bond Fund returned 3.03% for the twelve months ended 04/30/04
compared to its benchmark, the Lehman Brothers Aggregate Bond Index that
returned 1.82%. The fiscal year once again covered two very different market
regimes. In 2003, the focus continued to be on credit. Unlike 2002, it was a
generally positive experience as credit spreads tightened in a nearly linear
fashion. The fund entered the fiscal year with a significant overweight to
credit sensitive holdings, including lower quality investment grade credits,
high yield and emerging markets debt. As the rally continued, the fund slowly
took profits and reduced its credit exposure, locking in performance. In early
2004, the attention shifted to interest rates. Expectations of rising rates
coming into the new year were crushed as Treasuries rallied from January through
March. However, the strong employment report in early April reversed that trend.
The fund's defensive duration stance and barbelled yield curve position paid
off, recuperating the loss incurred during the first quarter of 2004 and adding
value over the previous four month period.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- --------------------------------------------------- ----------------- ------------------------
CIF Core Plus Bond Fund 3.03% 6.83%
Lehman Brothers Aggregate Bond Index 1.82% 6.79%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Core Plus Bond Fund (since inception),
and the Lehman Brothers Aggregate Bond Index
<Table>
<Caption>
CIF CORE PLUS BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX
1/1/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,133 $ 10,260
10/31/2001 $ 10,918 $ 11,066
4/30/2002 $ 10,946 $ 11,064
10/31/2002 $ 11,324 $ 11,718
4/30/2003 $ 12,097 $ 12,224
10/31/2003 $ 12,287 $ 12,293
4/30/2004 $ 12,464 $ 12,446
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
7
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CIF INFLATION-INDEXED BOND FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Western Asset Management Company
Western Asset Management Company Limited
FUND OBJECTIVE
Maximize real return to the extent consistent with preservation of capital and
liquidity by investing in a portfolio of U.S. Treasury Inflation-Indexed
Securities of varying maturities.
FUND STRATEGY
The CIF Inflation-Indexed Bond Fund invests primarily in inflation-indexed
securities, including U.S. Treasury inflation-indexed securities and non-U.S.
dollar denominated inflation-indexed securities. Inflation-indexed securities
are fixed income securities that are structured to provide protection against
inflation. The value of a bond's principal or the interest paid on the bond is
adjusted to track changes in the U.S. Consumer Price Index. Up to 20 percent of
the fund may be invested in investment grade securities that are not indexed to
inflation. Investment grade securities are those rated in one of the four
highest categories at the time of investment, or determined by a Sub-Adviser to
be of equivalent quality. The benchmark for the fund is the Lehman Brothers U.S.
TIPS Index. The fund will normally maintain effective duration within (+/-)1.5
years of the Lehman Brothers U.S. TIPS Index.
ANALYSIS
For the twelve months ended 04/30/2004, the CIF Inflation-Indexed Bond Fund
returned 5.36% compared to the Lehman Brothers U.S. TIPS Index's return of
5.73%. Relative value was lost from defensive duration management as longer
maturity real yields rallied throughout the course of the year.
Over the past 12 months, the market has gone from implying inflation should
average 1.7% for the next 10 years, to a more realistic 2.5% for the same
period. The change in market implied expectations was the major influence
driving the relative performance of Treasury inflation indexed securities
compared to nominal Treasury issues. During this period, real yields were
volatile, with the 10-year Treasury Inflation Indexed Security trading in a wide
range, but outperforming nominal Treasuries overall.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (1/2/01)
- --------------------------------------------------- ----------------- ------------------------
CIF Inflation-Indexed Bond Fund 5.36% 9.47%
Lehman Brothers U.S. TIPS Index 5.73% 9.76%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Inflation-Indexed Bond Fund
(since inception), and the Lehman Brothers U.S. TIPS Index
<Table>
<Caption>
CIF INFLATION-INDEXED BOND FUND LEHMAN BROTHERS U.S. TIPS INDEX
1/1/2001 $ 10,000 $ 10,000
4/30/2001 $ 10,527 $ 10,540
10/31/2001 $ 11,157 $ 11,166
4/30/2002 $ 11,233 $ 11,249
10/31/2002 $ 12,139 $ 12,177
4/30/2003 $ 12,829 $ 12,900
10/31/2003 $ 13,402 $ 13,488
4/30/2004 $ 13,517 $ 13,639
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
8
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CIF SHORT DURATION FUND
Adviser: Commonfund Asset Management Company, Inc.
(the "Investment Manager")
Sub-Advisers: Wellington Management Company, LLP
Western Asset Management Company
FUND OBJECTIVE
Current interest income with some price appreciation, each consistent with
liquidity and safety of principal by investing in a portfolio of U.S. Government
securities and other high quality debt securities.
FUND STRATEGY
The CIF Short Duration Fund invests primarily in a diversified portfolio of
securities issued or guaranteed by the U.S. Government and its agencies and
instrumentalities, obligations of U.S. and foreign commercial banks, corporate
debt securities, including commercial paper, and fully collateralized repurchase
agreements with highly rated counterparties. The fixed income securities
acquired by the fund may include mortgage-backed and asset-backed securities.
The fund will invest only in fixed income securities rated at the time of
investment in one of the three highest rating categories by a major rating
agency, or determined by a Sub-Adviser to be of equivalent quality. The
benchmark for the fund is the Merrill Lynch 3-Month U.S. Treasury Bill Index.
The fund's investment strategies are designed to produce a total rate of return
that exceeds the total return on 90-day U.S. Treasury Bills. The fund seeks to
minimize fluctuations in net asset value by maintaining high credit quality
standards and employing a relatively short effective duration. Duration is a
measure of a security's price volatility, or risk, associated with changes in
interest rates. The fund's effective duration generally will not exceed one (1)
year, and the maximum remaining maturity of any individual security will be five
and one-half (5 1/2) years, except for certain mortgage-related and asset-backed
securities.
ANALYSIS
The CIF Short Duration Fund returned 1.11% compared to 1.07% for the benchmark
Merrill Lynch 3-Month Treasury Bill Index for the twelve months ending 04/30/04.
The market's focus shifted dramatically from 12 months ago, and is a world away
from the fall of 2002. Although pessimism about a true economic recovery
burdened the markets, economic indicators continued to get stronger. Interest
rates were extremely volatile over the past 12 months, with the 2-year Treasury
note bouncing from a low in yield of 1.08% in June 2003 to finish near its high
of 2.35% on April 29th. Through all of this the volatility, the fund was able to
preserve principal and generate competitive levels of income. Value added came
primarily through issue selection in the corporate, mortgage and asset-backed
sectors, as well as managing duration and yield curve positions during a
tumultuous year.
TOTAL RETURN (AS OF 4/30/04)
<Table>
<Caption>
ONE-YEAR SINCE INCEPTION (5/1/00)
- --------------------------------------------------- ----------------- ------------------------
CIF Short Duration Fund 1.11% 3.35%
Merrill Lynch 3-Month U.S. Treasury Bill Index 1.07% 2.98%
</Table>
[CHART]
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT
Growth of a $10,000 Investment in CIF Short Duration Fund (since inception),
and the Merrill Lynch 3-Month U.S. Treasury Bill Index
<Table>
<Caption>
MERRILL LYNCH 3-MONTH
CIF SHORT DURATION FUND U.S. TREASURY BILL INDEX
5/1/2000 $ 10,000 $ 10,000
10/31/2000 $ 10,328 $ 10,310
4/30/2001 $ 10,695 $ 10,627
10/31/2001 $ 10,961 $ 10,845
4/30/2002 $ 11,071 $ 10,950
10/31/2002 $ 11,186 $ 11,053
4/30/2003 $ 11,286 $ 11,128
10/31/2003 $ 11,350 $ 11,191
4/30/2004 $ 11,411 $ 11,247
</Table>
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. TO OBTAIN CURRENT MONTH END PERFORMANCE DATA, VISIT THE
COMPANY'S WEBSITE AT www.commonfund.org. THE MARKET INDEX SHOWN ABOVE IS
UNMANAGED AND DOES NOT INCUR EXPENSES. TOTAL RETURNS ASSUME REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS AND DO NOT REFLECT THE TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
9
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK 97.66%
BANKING & FINANCE 0.13%
1,100 ACE CASH EXPRESS INC* $ 33,550
2,300 CAPITAL CROSSING BANK* 112,010
900 FIRST HORIZON NTL CORP 39,564
6,000 WILSHIRE STATE BANK/CALIFORNIA* 143,340
----------------
TOTAL BANKING & FINANCE $ 328,464
BASIC INDUSTRIES 2.36%
15,300 ALCAN ALUMINUM LTD $ 615,519
16,800 ALCOA INC 516,600
100 AVERY DENNISON CORP 6,423
12,000 COOPER INDS INC CL A 658,920
22,900 DOW CHEMICAL CO 908,901
4,800 FREEPORT MCMORAN COPPER & GOLD INC CL B 146,400
30,700 LOUISIANA-PACIFIC CORP 724,213
34,400 NEWELL RUBBERMAID INC 813,216
1,400 OCTEL CORP 32,620
11,900 PPG INDS INC 705,789
5,300 PRECISION CASTPARTS CORP 238,553
2,800 SCHWEITZER MAUDUIT INTL INC 86,772
5,400 UNITED TECHNOLOGIES CORP 465,804
----------------
TOTAL BASIC INDUSTRIES $ 5,919,730
CABLE & MEDIA 0.05%
6,900 JOURNAL COMMUNICATIONS INC $ 121,854
----------------
TOTAL CABLE & MEDIA $ 121,854
CAPITAL GOODS 5.61%
7,900 3M CO $ 683,192
4,900 APPLERA CORP-APPLIED BIOSYSTEMS GROUP 90,993
6,600 BRIGGS & STRATTON CORP 462,000
31,248 CATERPILLAR INC 2,428,907
4,600 CENTEX CORP 220,570
4,900 DANAHER CORP 453,348
3,600 EATON CORP 213,768
4,800 FISHER SCIENTIFIC INTL INC* 281,040
42,953 HONEYWELL INTL INC 1,485,315
6,700 ITT INDS INC 531,243
9,400 JABIL CIRCUIT INC* 248,066
48,500 KONINKLIJKE PHILIPS ELECTRS NV SPON ADR 1,300,285
11,700 MASCO CORP 327,717
11,750 NORTHROP GRUMMAN CORP 1,166,187
1,400 NVR INC* 631,400
6,100 PACCAR INC 344,406
18,000 SHARP CORP 324,589
14,700 SMURFIT-STONE CONTAINER CORP 252,693
22,300 TEXTRON INC 1,230,514
38,700 THERMO ELECTRON CORP* 1,130,040
1,000 US STEEL CORP 28,630
13,400 VISHAY INTERTECHNOLOGY INC* 233,160
----------------
TOTAL CAPITAL GOODS $ 14,068,063
CONSUMER DURABLES 6.08%
300 CDW CORP $ 18,747
8,700 DANA CORP 175,392
6,200 DOUBLECLICK INC* 50,034
4,200 ENERGIZER HLDGS INC* 181,860
55,500 FORD MOTOR CO 852,480
219,606 GENERAL ELECTRIC CO 6,577,200
11,400 GENERAL MOTORS CORP 540,588
4,100 GETTY IMAGES INC* 223,860
95,900 HOME DEPOT INC 3,374,721
19,894 LENNAR CORP CL A 932,034
1,890 LENNAR CORP CL B 82,971
21,973 LOWES COS INC 1,143,914
12,180 MDC HLDGS INC 752,602
7,700 PITNEY BOWES INC 336,875
----------------
TOTAL CONSUMER DURABLES $ 15,243,278
CONSUMER NON-DURABLES 8.37%
52,600 ALTRIA GROUP INC $ 2,912,988
14,400 CLOROX CO 745,632
13,500 COCA COLA CO 682,695
11,600 COCA COLA ENTERPRISES INC 313,200
5,800 CONSTELLATION BRANDS INC* 192,154
17,500 DIAGEO PLC SPON ADR 953,750
5,500 ESTEE LAUDER COS INC CL A 251,405
37,200 HASBRO INC 702,708
5,000 INTL GAME TECHNOLOGY 188,700
6,700 JONES APPAREL GROUP INC 245,220
7,900 KELLOGG CO 338,910
7,752 MONSANTO CO 268,142
16,488 NIKE INC CL B 1,186,312
8,400 PEPSI BOTTLING GROUP INC 245,868
42,548 PEPSICO INC 2,318,441
49,123 PROCTER & GAMBLE CO 5,194,757
33,400 RPM INTL INC 503,672
14,200 SANDERSON FARMS INC 527,956
47,600 SARA LEE CORP 1,098,608
18,200 SHERWIN WILLIAMS CO 692,510
62,100 TYSON FOODS INC CL A 1,163,754
7,200 UNITED STATIONERS INC* 273,600
----------------
TOTAL CONSUMER NON-DURABLES $ 21,000,982
CONSUMER SERVICES 11.14%
61,700 ACCENTURE LTD* $ 1,466,609
9,000 AMERICAN EAGLE OUTFITTERS INC* 231,210
2,800 AMERISTAR CASINOS INC 88,816
4,700 BECTON DICKINSON & CO 237,585
500 BRUNSWICK CORP 20,555
9,300 CAREMARK RX INC* 314,805
8,100 CARMAX INC* 209,952
500 CEC ENTERTAINMENT INC* 17,085
67,900 CENDANT CORP 1,607,872
71,300 COMCAST CORP CL A* 2,146,130
15,700 COMCAST CORP SPECIAL CL A* 455,143
6,300 COSTCO WHOLESALE CORP* 235,935
68,000 DELPHI CORP 693,600
6,700 DOLLAR TREE STORES INC* 180,565
31,300 EASTMAN KODAK CO 807,227
7,224 EBAY INC* 576,620
5,700 ECHOSTAR COMMUNICATIONS CORP CL A* 189,183
7,000 ECOLAB INC 208,600
6,600 EXPEDITORS INTL OF WASHINGTON INC 265,254
5,500 FAIR ISAAC CORP 185,460
26,800 FEDERATED DEPT STORES INC 1,313,200
11,671 FOUR SEASONS HOTELS INC 624,398
6,900 GAP INC 151,869
7,300 IRON MOUNTAIN INC* 332,223
5,600 KOHLS CORP* 234,024
6,300 LAMAR ADVERTISING CO* 258,678
37,504 LIMITED BRANDS 774,083
3,400 LINENS N THINGS INC* 110,296
2,500 LOEWS CORP 145,025
17,811 MANDALAY RESORT GROUP 1,023,242
900 MAY DEPT STORES CO 27,720
27,900 MCDONALDS CORP 759,717
1,300 MOVIE GALLERY INC 25,246
1,800 PANERA BREAD CO* 73,566
11,600 ROBERT HALF INTL INC* 316,332
15,102 ROYAL CARIBBEAN CRUISES LTD 612,084
9,500 STAPLES INC 244,720
12,426 STARBUCKS CORP* 482,874
10,500 SUPERVALU INC 323,295
18,700 TARGET CORP 811,019
47,668 TIFFANY & CO 1,859,052
72,900 TIME WARNER INC* 1,226,178
18,500 TRIBUNE CO 885,780
11,700 UNIVISION COMMUNICATIONS INC CL A* 396,045
19,000 VIACOM INTL INC CL B 734,350
24,561 WAL-MART STORES INC 1,399,977
</Table>
10
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
33,100 WALT DISNEY CO $ 762,293
4,800 WENDYS INTL INC 187,200
3,000 WHOLE FOODS MARKET INC 239,970
30,790 WYNN RESORTS LTD* 1,229,445
5,800 XM SATELITE RADIO HLDGS INC* 138,968
2,500 YUM! BRANDS INC* 96,975
----------------
TOTAL CONSUMER SERVICES $ 27,938,050
ENERGY 6.72%
300 ALLIANT ENERGY CORP $ 7,458
29,400 BP PLC SPON ADR 1,555,260
15,200 CHEVRONTEXACO CORP 1,390,800
35,900 CONOCOPHILLIPS 2,559,670
14,600 COOPER CAMERON CORP* 705,910
5,900 EOG RES INC 290,575
111,400 EXXON MOBIL CORP 4,740,070
43,000 OCCIDENTAL PETROLEUM CORP 2,029,600
7,400 SEMPRA ENERGY INC 234,950
5,700 SMITH INTL INC* 312,075
22,400 SUNOCO INC 1,408,960
22,800 UNOCAL CORP 821,712
6,400 WEATHERFORD INTL LTD* 278,272
51,900 WILLIAMS COS INC 534,570
----------------
TOTAL ENERGY $ 16,869,882
FINANCIAL SERVICES 21.05%
20,900 ALLSTATE CORP $ 959,310
69,200 AMERICAN INTL GROUP INC 4,958,180
30,600 AMERITRADE HLDG CORP CL A* 374,544
66,356 BANK OF AMERICA CORP 5,340,994
68,500 BANK OF NEW YORK CO INC 1,996,090
18,400 BANK ONE CORP 908,408
3,600 BEAR STEARNS COS INC 288,504
3,900 CAPITAL ONE FINL CORP 255,567
8,300 CAPITALSOURCE INC* 174,798
8,400 CIGNA CORP 541,884
12,900 CIT GROUP INC 443,373
171,930 CITIGROUP INC 8,268,114
6,900 CITY HLDG CO 211,140
17,800 COMMERCE BANCORP INC 1,014,778
28,100 COMPUCREDIT CORP* 465,617
13,341 COUNTRYWIDE FINL CORP 791,121
33,400 E*TRADE FINL CORP* 379,424
660 FIDELITY NATL FINL INC 24,156
2,900 GOLDEN WEST FINL CORP 304,819
12,032 GOLDMAN SACHS GROUP INC 1,161,088
7,900 HARTFORD FINL SVCS GROUP INC 482,532
83,257 JP MORGAN CHASE & CO INC 3,130,463
2,200 LEHMAN BROTHERS HLDGS INC 161,480
69,300 MBNA CORP 1,689,534
72,661 MERRILL LYNCH & CO INC 3,940,406
5,600 MGIC INVESTMENT CORP 412,272
12,400 MORGAN STANLEY 637,236
9,600 PAYCHEX INC 357,888
17,100 PNC FINL SVCS GROUP INC 908,010
43,200 PRINCIPAL FINL GROUP INC 1,524,960
59,988 SLM CORP 2,298,140
2,800 SOVEREIGN BANCORP INC 55,944
5,000 T ROWE PRICE GROUP INC 256,400
1,200 UNIONBANCAL CORP 64,116
87,258 US BANCORP 2,237,295
54,300 WACHOVIA CORP 2,484,225
33,300 WELLS FARGO & CO 1,880,118
100 WFS FINL INC 4,454
4,900 WILLIS GROUP HLDGS LTD 177,919
16,200 XL CAPITAL LTD CL A 1,236,870
100 ZENITH NATL INS CORP 4,312
----------------
TOTAL FINANCIAL SERVICES $ 52,806,483
HEALTH CARE 15.10%
19,400 ABBOTT LABS $ 853,988
2,800 AETNA INC 231,700
2,300 ALLERGAN INC 202,515
12,100 AMERISOURCEBERGEN CORP 700,469
35,600 AMGEN INC* 2,003,212
3,200 ANTHEM INC* 283,456
2,900 BIOGEN IDEC INC* 171,100
62,954 BOSTON SCIENTIFIC CORP* 2,593,075
1,000 DAVITA INC* 51,100
22,633 FOREST LABS INC* 1,459,376
32,131 GENENTECH INC* 3,945,687
900 GEN-PROBE INC* 30,006
2,900 HOSPIRA INC WI* 82,534
5,400 ICOS CORP* 172,746
1,900 IMS HEALTH INC 47,975
6,000 INVITROGEN CORP* 433,380
8,200 IVAX CORP* 174,660
76,900 JOHNSON & JOHNSON 4,154,907
700 KOS PHARMACEUTICALS INC* 28,812
5,600 MEDIMMUNE INC* 135,744
25,488 MEDTRONIC INC 1,286,124
55,700 MERCK & CO INC 2,617,900
16,800 MILLENNIUM PHARMACEUTICALS INC* 251,832
10,550 MYLAN LABS INC 241,701
700 NDCHEALTH CORP 16,009
12,200 OXFORD HEALTH PLANS INC 664,168
179,700 PFIZER INC 6,426,072
10,029 QUEST DIAGNOSTICS INC 845,946
8,616 ROCHE HLDG AG 903,730
6,069 ST JUDE MED INC* 462,822
2,600 SYBRON DENTAL SPECIALTIES INC* 76,050
56,242 UNITEDHEALTH GROUP INC 3,457,758
2,300 VARIAN MEDICAL SYS INC* 197,432
26,200 WYETH 997,434
21,101 ZIMMER HLDGS INC* 1,684,915
----------------
TOTAL HEALTH CARE $ 37,886,335
INDUSTRIALS 1.73%
41,100 LOCKHEED MARTIN CORP $ 1,960,470
86,303 TYCO INTL LTD 2,369,017
----------------
TOTAL INDUSTRIALS $ 4,329,487
REAL ESTATE (PUBLICLY TRADED) 0.36%
5,400 STARWOOD HOTELS & RESORTS $ 214,866
13,500 THORNBURG MTG INC 349,380
23,300 TRIZEC PPTYS INC 333,656
----------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 897,902
TECHNOLOGY 12.17%
6,600 ADOBE SYS INC $ 272,844
9,000 ADVANCED FIBER COMMUNICATIONS INC* 150,300
67,600 AGERE SYS INC CL A* 152,776
35,500 AGERE SYS INC CL B* 77,035
3,800 AMKOR TECHNOLOGY INC* 30,704
4,700 ANDREW CORP* 79,665
6,600 APPLE COMPUTER INC* 169,818
21,826 AUTOMATIC DATA PROCESSING INC 956,197
24,700 AVAYA INC* 337,896
4,600 AVID TECHNOLOGY INC* 220,662
7,300 AVOCENT CORP* 234,257
3,500 BROADCOM CORP CL A* 132,160
4,300 CERNER CORP* 184,126
42,600 CISCO SYS INC* 889,062
7,800 COGNOS INC* 245,934
26,400 CORNING INC* 291,192
1,000 CURTISS-WRIGHT CORP 47,100
25,223 DELL INC* 875,490
5,400 DIEBOLD INC 248,886
24,414 ELECTRONIC ARTS INC* 1,235,837
800 ELECTRONICS FOR IMAGING INC* 20,304
147,400 HEWLETT PACKARD CO 2,903,780
</Table>
11
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
46,500 IBM CORP $ 4,099,905
106,300 INTEL CORP 2,735,099
8,000 INTERACTIVE CORP* 254,960
10,300 JUNIPER NETWORKS INC* 225,364
5,700 KLA-TENCOR CORP* 237,519
30,500 KOMAG INC* 387,655
1,700 LAM RESEARCH CORP* 37,638
10,300 MACROMEDIA INC* 212,180
9,371 MAXIM INTEGRATED PRODS INC 430,972
216,600 MICROSOFT CORP 5,625,102
7,900 MOLEX INC 235,262
90,879 MOTOROLA INC 1,658,542
16,300 NOVELL INC* 157,132
8,300 NVIDIA CORP* 170,482
43,209 QUALCOMM INC 2,698,834
4,000 SANDISK CORP* 92,440
19,100 SYMBOL TECHNOLOGIES INC 229,200
1,000 TEXAS INSTRUMENTS INC 25,100
26,900 TIBCO SOFTWARE INC* 201,750
7,400 VERISIGN INC* 119,362
12,900 WESTERN WIRELESS CORP CL A* 268,578
1,600 XEROX CORP* 21,488
8,600 XILINX INC* 289,218
7,200 YAHOO! INC* 363,312
----------------
TOTAL TECHNOLOGY $ 30,533,119
TELECOMMUNICATIONS 3.47%
46,100 AT&T CORP $ 790,615
66,700 BELLSOUTH CORP 1,721,527
87,479 NEXTEL COMMUNICATIONS INC CL A* 2,087,249
46,100 SBC COMMUNICATIONS INC 1,147,890
4,700 SPRINT CORP (FON GROUP) 84,083
76,100 VERIZON COMMUNICATIONS INC 2,872,014
----------------
TOTAL TELECOMMUNICATIONS $ 8,703,378
TRANSPORTATION 1.06%
1,400 EXPRESSJET HLDGS INC* $ 17,808
22,424 FEDEX CORP 1,612,510
7,200 JETBLUE AIRWAYS CORP* 199,296
9,000 OVERSEAS SHIPHOLDING GROUP 294,930
9,500 RYDER SYS INC 349,505
10,200 SKYWEST INC 185,640
----------------
TOTAL TRANSPORTATION $ 2,659,689
U.S. AGENCIES 0.31%
13,500 FEDERAL HOME LOAN MORTGAGE CORP $ 788,400
----------------
TOTAL U.S. AGENCIES $ 788,400
UTILITIES 1.95%
5,300 AMERICAN ELECTRIC POWER INC $ 161,332
22,700 ENTERGY CORP 1,239,420
29,000 EXELON CORP 1,941,260
18,500 FIRSTENERGY CORP 723,350
6,900 FPL GROUP INC 438,978
23,800 XCEL ENERGY INC 398,174
----------------
TOTAL UTILITIES $ 4,902,514
----------------
TOTAL COMMON STOCK (COST $226,116,484) $ 244,997,610
PREFERRED STOCK 0.65%
CONSUMER DURABLES 0.65%
48,706 NEWS CORP LTD SPON ADR $ 1,643,828
----------------
TOTAL PREFERRED STOCK (COST $1,398,521) $ 1,643,828
----------------
TOTAL INVESTMENTS AT VALUE 98.31% (COST $227,515,005) 246,641,438
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 1.69% 4,236,103
----------------
NET ASSETS 100.00% $ 250,877,541
</Table>
See Notes to Financial Statements.
SPON ADR Sponsored American Depositary Receipt
WI When-Issued Security
*Non-income producing security.
12
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SMALL CAP FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK 99.04%
BANKING & FINANCE 1.68%
15,375 ACE CASH EXPRESS INC* $ 468,937
1,100 AMERICANWEST BANCORP* 20,108
500 BRYN MAWR BANK CORP 10,250
2,700 CAPITAL CROSSING BANK* 131,490
2,000 CENTER FINL CORP 29,000
3,400 CENTRAL PACIFIC FINL CO 85,306
400 FIRST BANCORP/NC 12,260
14,300 FIRST MARBLEHEAD CORP* 424,138
20,100 FIRST NTL BANKSHARES OF FLORIDA 370,041
335 FIRSTBANK CORP 9,032
3,400 HUDSON RIVER BANCORP 61,234
200 NATIONAL BANKSHARES INC 8,812
600 OAK HILL FINL INC 19,428
5,710 SIGNATURE BANK/NEW YORK NY* 134,356
700 STATE FINL SVCS CORP CL A 20,489
25,300 TEXAS CAPITAL BANCSHARES INC* 379,500
1,000 TRICO BANCSHARES 34,780
1,400 WESBANCO INC 39,900
600 WESTERN SIERRA BANCORP* 25,044
700 WILSHIRE STATE BANK/CALIFORNIA* 16,723
1,700 YARDVILLE NTL BANCORP 41,650
----------------
TOTAL BANKING & FINANCE $ 2,342,478
BASIC INDUSTRIES 6.76%
17,400 ANCHOR GLASS CONTAINER CORP $ 275,094
300 BE AEROSPACE INC* 1,974
600 BUILDING MATERIALS HLDG CORP 9,864
10,300 CAMBREX CORP 254,616
1,600 CENTURY ALUMINUM CO* 31,680
8,100 CLEVELAND CLIFFS INC* 383,778
10,400 COMMERCIAL METALS CO 272,480
26,000 CROMPTON CORP 161,720
1,900 EAGLE MATERIALS INC 124,830
1,500 ENNIS BUSINESS FORMS INC 22,485
9,400 FERRO CORP 243,366
9,400 FMC CORP* 403,166
5,500 FMC TECHNOLOGIES INC* 149,875
20,400 GARDNER DENVER INC* 534,888
900 GEORGIA GULF CORP 28,674
7,700 GREIF INC CL A 253,099
41,600 GRIFFON CORP* 913,120
34,155 INSIGHT ENTERPRISES INC* 571,755
3,500 INTEGRATED ELECTRICAL SVCS INC* 34,125
11,200 INTERPOOL INC 182,000
2,200 LENNOX INTL INC 36,762
49,200 LOUISIANA-PACIFIC CORP 1,160,628
100 LSI INDS INC 1,159
22,200 MACDERMID INC 718,836
3,500 MAVERICK TUBE CORP* 79,205
11,700 O M GROUP INC* 297,765
7,600 OCTEL CORP 177,080
7,000 OLIN CORP 120,890
12,100 ONEOK INC 253,495
1,100 RELIANCE STEEL & ALUMINUM CO 36,322
2,100 ROCK TENNESSEE CO CL A 31,290
7,900 RTI INTL METALS INC* 115,735
450 SCHNITZER STEEL INDS INC CL A 11,821
2,200 SCHWEITZER MAUDUIT INTL INC 68,178
5,500 SILGAN HLDGS INC* 231,385
19,100 SPARTECH CORP 435,671
30,100 STEEL DYNAMICS INC* 724,507
3,300 TRC COS INC* 53,889
----------------
TOTAL BASIC INDUSTRIES $ 9,407,207
CABLE & MEDIA 0.22%
17,100 CITADEL BROADCASTING CORP* $ 296,685
500 DITECH COMMUNICATIONS CORP* 7,190
----------------
TOTAL CABLE & MEDIA $ 303,875
CAPITAL GOODS 9.80%
25,390 AAR CORP* $ 257,708
8,620 ACTEL CORP* 171,710
25,200 ACUITY BRANDS INC 616,644
300 ADE CORP* 5,364
12,800 ADTRAN INC 313,728
2,800 APPLIED INDUSTRIAL TECHNOLOGIES INC 73,584
3,500 ARMOR HLDGS INC* 115,640
400 ASBURY AUTOMOTIVE GROUP INC* 6,476
12,250 ATMI INC* 270,480
2,400 BALDOR ELECTRIC CO 54,192
4,500 BARNES GROUP INC 122,625
3,300 BEL FUSE INC CL B 101,904
25,100 BELDEN INC 438,999
6,500 BENCHMARK ELECTRONICS INC* 175,695
17,600 BRIGGS & STRATTON CORP 1,232,000
6,400 CHITTENDEN CORP 194,688
4,100 CIRCOR INTL INC 80,196
25,300 COHERENT INC* 618,585
31,178 CONEXANT SYS INC* 135,624
21,700 CTS CORP 283,185
19,100 DSP GROUP INC* 473,298
15,000 ELECTRO SCIENTIFIC INDS INC* 306,600
5,900 EMCOR GROUP INC* 241,310
10,000 ESTERLINE TECHNOLOGIES CORP* 247,500
3,200 EXCEL TECHNOLOGY INC* 108,288
5,805 FISHER SCIENTIFIC INTL INC* 339,883
8,000 FLOWSERVE CORP* 170,960
100 GENLYTE GROUP INC* 5,732
400 II-VI INC* 9,872
12,300 INSITUFORM TECHNOLOGIES INC CL A* 199,752
600 ITRON INC* 12,828
9,200 KAYDON CORP 257,324
59,200 KEMET CORP* 732,896
34,900 KULICKE & SOFFA INDS INC* 346,557
9,500 LECROY CORP* 183,065
9,400 LYDALL INC* 91,744
3,800 MASTEC INC* 27,854
31,875 MEMC ELECTRONICS MATERIALS INC* 254,044
7,800 MERIX CORP* 121,290
7,200 PARLEX CORP* 48,240
14,200 PEMSTAR INC* 46,292
4,600 PENN ENGINEERING & MFG CORP 78,200
10,400 PLANAR SYS INC* 126,776
16,400 PLEXUS CORP* 235,832
5,000 POWELL INDS INC* 79,500
3,200 QUAKER CHEMICAL CORP 80,832
18,500 RAYOVAC CORP* 493,025
6,600 REGAL BELOIT CORP 132,066
50,000 REMEC INC* 314,500
100 RICHARDSON ELECTRONICS LTD 1,101
900 ROFIN SINAR TECHNOLOGIES INC* 20,853
200 SAUER INC 3,000
20,100 STEELCASE INC CL A 247,029
5,600 STONERIDGE INC* 85,400
21,900 TECHNITROL INC* 465,813
6,200 TECUMSEH PRODS CO CL A 240,994
8,700 TEREX CORP* 285,795
6,300 VARIAN INC* 258,552
27,000 VISHAY INTERTECHNOLOGY INC* 469,800
10,800 WASTE CONNECTIONS INC* 434,916
5,700 WOODHEAD DANIEL INC 84,075
----------------
TOTAL CAPITAL GOODS $ 13,632,415
CONSUMER DURABLES 4.25%
39,700 AMERICAN WEST HLDGS CORP CL B* $ 393,030
1,700 BANDAG INC 74,035
900 CARMIKE CINEMAS INC* 33,966
2,200 CATALINA MARKETING CORP* 36,476
7,300 DURA AUTOMOTIVE SYS INC* 91,688
20,500 ELK CORP 568,260
14,900 FLEETWOOD ENTERPRISES INC* 216,050
</Table>
13
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
4,800 G & K SVCS INC CL A $ 181,920
5,900 HUGHES SUPPLY INC 329,751
5,700 INGRAM MICRO INC CL A* 68,115
12,100 INTER TEL INC 289,674
5,900 LA-Z-BOY INC 122,956
9,600 MAPICS INC* 76,320
1,150 MARINE PRODS CORP 20,332
10,100 MILLER HERMAN INC 265,428
4,900 MONACO COACH CORP 127,743
400 MTR GAMING GROUP INC* 3,460
14,000 OAKLEY INC 193,760
11,000 ONEIDA LTD* 15,400
33,400 PSS WORLD MEDICAL INC* 373,746
3,200 PULITZER INC 161,920
15,300 RALCORP HLDGS INC* 532,593
1,000 SUNTERRA CORP* 13,100
20,700 THOMAS NELSON INC 541,512
9,100 TORO CO 529,165
18,500 VISTEON CORP 200,910
10,300 WATSCO INC 300,245
3,800 YORK INTL CORP 148,960
----------------
TOTAL CONSUMER DURABLES $ 5,910,515
CONSUMER NON-DURABLES 1.93%
3,900 AEROPOSTALE INC* $ 85,761
6,100 CHIQUITA BRANDS INTL INC* 109,861
3,600 GENESCO INC* 80,100
4,900 HB FULLER CO 134,260
7,100 NASH FINCH CO 146,757
10,700 RUSSELL CORP 177,941
6,100 SANDERSON FARMS INC 226,798
8,300 STEINWAY MUSICAL INSTRUMENTS INC* 300,875
15,500 TNS INC* 331,700
6,600 TUPPERWARE CORP 123,618
6,400 UNIFIRST CORP 188,800
14,200 UNITED STATIONERS INC* 539,600
12,500 WARNACO GROUP INC* 239,125
----------------
TOTAL CONSUMER NON-DURABLES $ 2,685,196
CONSUMER SERVICES 20.64%
13,115 1-800-FLOWERS.COM INC* $ 132,330
1,600 7-ELEVEN INC* 25,760
29,400 AARON RENTS INC 851,424
10,500 ADVISORY BOARD CO* 363,405
47,200 ALAMOSA HLDGS INC* 339,840
2,800 ALDERWOODS GROUP INC* 34,384
12,100 ALLIANCE GAMING CORP* 302,137
24,200 ALLOY ONLINE INC* 115,918
11,200 AMERICAN EAGLE OUTFITTERS INC* 287,728
16,600 AMERISTAR CASINOS INC 526,552
2,100 ANGELICA CORP 48,300
5,355 ANN TAYLOR STORES CORP* 217,038
8,550 APPLEBEES INTL INC 331,569
16,500 ASCENTIAL SOFTWARE CORP* 280,500
4,400 ASPECT COMMUNICATIONS CORP* 52,052
38,300 BALLYS TOTAL FITNESS HLDG CORP* 157,796
5,800 BJ'S WHOLESALE CLUB INC* 140,534
2,250 BOOKHAM TECHNOLOGY SPON ADR* 3,127
39,700 BOSTON COMMUNICATIONS GROUP INC* 427,172
15,300 BOWNE & CO INC 259,029
13,950 BROOKSTONE INC* 277,465
2,200 BURLINGTON COAT FACTORY WAREHOUSE 41,712
10,995 CACHE INC* 307,860
12,100 CALIFORNIA PIZZA KITCHEN INC* 254,221
4,200 CALLAWAY GOLF CO 71,274
2,250 CEC ENTERTAINMENT INC* 76,882
9,670 CHARLES RIVER ASSOCIATES INC* 312,051
18,600 CHARMING SHOPPES INC* 131,316
10,000 CHILDRENS PLACE RETAIL STORES INC* 263,400
16,500 CHRISTOPHER & BANKS CORP 295,185
23,300 CIRCUIT CITY STORES INC 272,144
6,500 CKE RESTAURANT INC* 68,250
4,600 CONSOLIDATED GRAPHICS INC* $ 171,672
15,190 CORINTHIAN COLLEGES INC* 465,118
5,735 CORP EXECUTIVE BOARD CO 296,213
11,235 COST PLUS INC* 406,707
13,345 CUMULUS MEDIA INC* 280,512
700 DAVE & BUSTERS INC* 13,027
27,890 DIGITAS INC* 276,390
26,800 DOLLAR THRIFTY AUTOMOTIVE GROUP* 706,180
18,085 EDUCATION MANAGEMENT CORP* 641,294
3,600 EPIQ SYS INC* 51,300
15,275 FLAMEL TECHNOLOGIES SA SPON ADR* 403,107
7,200 FOOT LOCKER INC 172,800
6,300 FTI CONSULTING INC* 103,635
23,400 GAMESTOP CORP CL A* 412,074
22,800 GARTNER GROUP INC CL A* 272,232
12,800 GARTNER GROUP INC CL B* 151,168
5,200 GAYLORD ENTERTAINMENT CO* 162,968
1,400 GOLDEN TELECOM INC 39,578
7,400 GOODYS FAMILY CLOTHING INC 92,426
32,555 GRAY TELEVISION INC 482,465
21,500 GYMBOREE CORP* 379,475
1,500 HARTMARX CORP* 8,745
8,300 HAVERTY FURNITURE COS INC 149,981
10,100 HUDSON HIGHLAND GROUP INC* 308,959
28,290 INTEGRATED ALARM SVCS GROUP INC* 274,413
8,400 INTRAWEST CORP 128,352
8,200 J. JILL GROUP INC* 173,676
20,100 JACK IN THE BOX INC* 544,308
24,300 JOHN H HARLAND CO 748,683
3,800 JOURNAL REGISTER CO* 75,354
32,985 KROLL INC* 977,675
1,000 LIN TV CORP CL A* 22,490
8,900 LITHIA MOTORS INC CL A 229,887
24,700 MACROVISION CORP* 415,948
1,600 METHODE ELECTRONICS INC 18,144
18,900 MODEM MEDIA INC* 97,902
100 MONRO MUFFLER INC* 2,377
64,125 MOVIE GALLERY INC 1,245,307
13,925 MSC INDL DIRECT CO CL A 399,090
3,400 NEW ENGLAND BUSINESS SVC INC 118,014
13,100 PANTRY INC* 261,345
8,100 PAYLESS SHOESOURCE INC* 114,615
32,200 PENN NATL GAMING INC* 949,578
18,895 PETSMART INC 523,391
4,700 PHOTRONICS INC* 69,983
4,600 POMEROY COMPUTER RES INC 63,940
32,100 PRG SCHULTZ INTL INC* 150,870
1,100 R H DONNELLEY CORP* 49,819
25,462 RARE HOSPITALITY INTL INC* 696,895
9,300 RC2 CORP* 252,123
11,400 READERS DIGEST ASSN INC 163,362
56,000 REGENT COMMUNICATIONS INC* 356,720
8,000 RESOURCES CONNECTION INC* 322,480
13,200 RYAN'S FAMILY STEAK HOUSE INC* 239,448
12,200 SAKS INC 175,680
9,100 SCHOLASTIC CORP* 258,076
12,500 SCHOOL SPECIALTY INC* 445,375
37,800 SHOPKO STORES INC* 501,228
17,100 SONIC AUTOMOTIVE INC 425,790
8,100 SOTHEBYS HLDGS INC CL A* 105,219
6,600 SOURCECORP* 169,554
13,200 STAGE STORES INC* 518,232
6,500 TALBOTS INC 227,175
600 THE FINISH LINE INC* 20,118
27,100 TOO INC* 475,334
200 TRANS WORLD ENTERTAINMENT CORP* 2,076
4,900 UNITED AUTO GROUP INC 151,067
35,100 UNITED RENTALS INC* 603,720
7,000 UNIVERSAL TECHNICAL INSTITUTE INC* 311,430
2,800 VAIL RESORTS INC* 43,540
7,900 VALUEVISION MEDIA INC CL A* 110,916
1,400 VENTIV HEALTH INC* 19,698
</Table>
14
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
5,800 VOLT INFORMATION SCIENCES INC* $ 149,698
22,800 WET SEAL INC CL A* 125,628
8,300 ZALE CORP* 464,136
----------------
TOTAL CONSUMER SERVICES $ 28,706,260
ENERGY 5.21%
3,000 ADVANCED ENERGY INDS INC* $ 39,720
2,600 CLAYTON WILLIAMS ENERGY INC* 81,926
13,950 COMSTOCK RESOURCES INC* 283,882
4,300 CORE LABS NV* 97,782
8,100 DENBURY RESOURCES INC* 147,906
11,700 FORREST OIL CORP* 307,125
20,900 GRAFTECH INTL LTD* 185,383
64,400 GREY WOLF INC* 256,312
300 GULF ISLAND FABRICATION INC 6,744
21,900 MAGNUM HUNTER RESOURCES INC* 224,913
11,700 NATIONAL-OILWELL INC* 326,664
9,500 NUEVO ENERGY CO* 327,750
7,600 OCEANEERING INTL INC* 212,800
100 OIL STATES INTL INC* 1,354
9,900 PETROLEUM DEVELOPMENT CORP* 261,558
5,200 PLAINS EXPLORATION & PRODUCT* 102,440
35,400 PRIDE INTL INC* 597,198
9,700 ROWAN COS INC* 216,310
200 RPC INC 2,576
13,800 SOUTHWEST GAS CORP 314,640
2,700 SOUTHWESTERN ENERGY CO* 67,905
2,050 ST MARY LAND & EXPLORATION CO 74,107
27,000 TESORO PETROLEUM CORP* 548,370
2,300 TETRA TECHNOLOGIES INC* 54,993
3,900 TODCO* 57,720
14,700 UNIT CORP* 415,275
3,300 UNIVERSAL COMPRESSION HLDGS* 98,208
31,500 VARCO INTL INC* 651,735
45,400 VERITAS DGC INC* 927,522
19,000 W H ENERGY SVCS INC* 349,220
----------------
TOTAL ENERGY $ 7,240,038
FINANCIAL SERVICES 8.23%
900 ABC BANCORP $ 17,154
2,800 ADVANTA CORP CL B 44,856
900 AFFILIATED MANAGERS GROUP INC* 43,830
300 BANCFIRST CORP 16,515
100 BANK OF THE OZARKS INC 2,384
35,700 BANKATLANTIC BANCORP INC CL A 558,705
4,400 BANKUNITED FINL CORP CL A* 116,292
23,200 BISYS GROUP INC* 336,400
14,125 BRISTOL WEST HOLDINGS INC* 289,562
13,550 CAPITALSOURCE INC* 285,363
125 CASCADE BANCORP 2,096
6,400 CITY HLDG CO 195,840
500 COLUMBIA BANCORP 7,400
6,200 COLUMBIA BANKING SYS INC 139,128
2,300 COMMUNITY BANK SYS INC 46,782
9,200 COMMUNITY FIRST BANKSHARES INC 296,056
1,070 COMMUNITY TRUST BANCORP INC 31,233
25,000 COMPUCREDIT CORP* 414,250
9,350 CONSECO INC* 185,130
5,300 CORUS BANKSHARES INC 200,075
10,300 DELPHI FINL GROUP INC CL A 413,648
6,500 EAST WEST BANCORP INC 366,145
100 FIRST COMMUNITY BANCORP 3,415
400 FIRST COMMUNITY BANCSHARES 11,356
16,200 FIRST NIAGARA FINL GROUP INC 204,120
2,900 FIRST REPUBLIC BANK 110,490
4,200 FIRSTFED FINL CORP* 169,764
39,500 FLAGSTAR BANCORP INC 806,985
5,000 FLUSHING FINL CORP 86,000
6,400 FREMONT GENERAL CORP 137,920
1,400 FRONTIER FINL CORP 46,410
10,220 FULTON FINANCE CORP 210,532
3,600 HANCOCK HLDG CO 100,476
2,200 HANMI FINL CORP $ 54,494
200 HERITAGE COMMERCE CORP* 2,790
2,400 INDEPENDENT BANK CORP MA 64,694
2,850 INDEPENDENT BANK CORP MI 71,336
19,600 IRWIN FINL CORP 463,540
1,200 ITLA CAPITAL CORP* 51,600
1,000 MACATAWA BANK CORP 25,210
450 MAINSOURCE FINL GROUP INC 9,787
4,300 MID STATE BANCSHARES 96,707
4,100 NARA BANCORP INC 118,080
200 NAVIGATORS GROUP INC* 5,210
3,700 NBT BANCORP INC 77,404
300 NEW CENTURY FINL CORP 12,729
3,900 NYMAGIC INC 99,840
3,370 ORIENTAL FINL GROUP INC 96,112
6,100 PACIFIC CAPITAL BANCORP 223,748
7,940 PFF BANCORP INC COM 297,353
11,400 PHOENIX COS INC 144,438
3,800 PIPER JAFFRAY COS* 183,996
1,200 PRIVATEBANCORP INC 66,384
10,400 PROCENTURY CORP* 109,200
2,500 PROSPERITY BANCSHARES INC 57,925
10,200 R & G FINL CORP CL B 315,690
5,500 RLI CORP 191,125
1,400 SAFETY INS GROUP INC 30,254
11,700 SELECTIVE INS GROUP INC 418,392
300 SOUND FEDERAL BANCORP INC 3,960
500 STERLING FINL CORP* 15,748
4,200 STEWART INFORMATION SVCS CORP 149,100
3,000 SUSQUEHANNA BANCSHARES INC 70,200
400 TAYLOR CAPITAL GROUP INC 8,308
29,000 UICI CORP* 501,990
1,200 VIRGINIA COMMERCE BANCORP* 30,000
2,000 WASHINGTON TRUST BANCORP INC 51,840
2,000 WEST COAST BANCORP 44,000
5,725 WESTCORP INC 252,472
4,300 WFS FINL INC 191,522
16,100 WORLD ACCEPT CORP* 246,330
2,200 WSFS FINL CORP 106,612
13,800 ZENITH NATL INS CORP 595,056
----------------
TOTAL FINANCIAL SERVICES $ 11,451,488
HEALTH CARE 10.37%
13,625 ACCREDO HEALTH INC* $ 526,606
3,400 ADVANCED MEDICAL OPTICS INC* 107,236
1,800 ALARIS MEDICAL INC* 34,956
18,700 ALBANY MOLECULAR RESEARCH INC* 303,314
30,300 ALPHARMA INC CL A 658,419
23,620 AMERICAN HEALTHWAYS INC* 572,313
12,400 AMERICAN MEDICAL SYS HLDGS INC* 321,904
10,400 AMERIGROUP CORP* 431,704
615 ANALOGIC CORP 29,120
20,025 ANGIOTECH PHARMACEUTICALS IN* 417,521
2,300 APPLERA CORP-CELERA GENOMICS GROUP* 27,117
13,650 BRADLEY PHARMACEUTICALS INC* 357,903
4,880 CEPHALON INC* 277,721
8,700 CHARLES RIVER LABS INTL INC* 400,200
2,600 COLLAGENEX PHARMACEUTICALS INC* 26,520
19,210 CONCEPTUS INC* 220,915
2,600 CONNETICS CORP* 50,570
3,700 CROSS COUNTRY HEALTHCARE INC* 61,013
3,600 CURATIVE HEALTH SVCS INC* 41,760
19,300 CYPRESS BIOSCIENCE INC* 280,429
3,000 DADE BEHRING HLDGS INC* 138,000
1,100 DIAGNOSTIC PRODS CORP 46,926
9,700 GEN-PROBE INC* 323,398
29,300 HEALTHEXTRAS INC* 372,696
3,700 ICU MEDICAL INC* 123,469
2,800 IMMUCOR INC* 69,020
15,440 INTUITIVE SURGICAL INC* 249,356
600 INVACARE CORP 23,898
14,100 INVERESK RESEARCH GROUP INC* 399,594
</Table>
15
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
10,190 KEITHLEY INSTRUMENTS INC $ 212,462
7,500 KINDRED HEALTHCARE INC* 367,350
19,400 KOS PHARMACEUTICALS INC* 798,504
13,500 LABONE INC CL A* 398,790
9,200 LIFEPOINT HOSPS INC* 328,992
1,600 LUMINEX CORP* 15,280
11,250 MARINER HEALTH CARE INC* 203,175
13,750 MEDICIS PHARMACEUTICAL CORP CL A 590,150
300 MEDQUIST INC* 4,083
2,500 MERIDIAN BIOSCIENCE INC 27,500
6,905 MGI PHARMA INC* 426,867
2,600 NDCHEALTH CORP 59,462
30,350 NOVAVAX INC* 151,750
400 OCULAR SCIENCES INC* 11,240
9,100 PDI INC* 232,596
3,500 POLYMEDICA CORP 97,440
1,500 POZEN INC* 17,760
9,100 PRIORITY HEALTHCARE CORP CL B* 182,455
12,050 PSYCHIATRIC SOLUTIONS INC* 280,163
1,400 REHABCARE GROUP INC* 28,630
5,900 RES CARE INC* 80,004
5,500 RESPIRONICS INC* 288,255
11,350 SALIX PHARMACEUTICALS LTD* 351,056
6,000 SELECT MEDICAL CORP 113,700
40,500 SOLA INTL INC* 831,060
2,300 SYBRON DENTAL SPECIALTIES INC* 67,275
1,200 TANOX INC* 20,460
1,300 TECHNE CORP* 50,648
8,700 UNITED SURGICAL PARTNERS INTL INC* 315,114
1,300 USANA HEALTH SVCS INC* 35,035
10,300 VCA ANTECH INC* 421,167
12,150 VICURON PHARMACEUTICALS INC* 277,142
28,250 VIROLOGIC INC* 82,208
2,100 WEST PHARMACEUTICAL SVCS INC 81,480
2,800 ZOLL MEDICAL CORP* 84,336
----------------
TOTAL HEALTH CARE $ 14,427,187
INDUSTRIALS 0.68%
19,800 CHEROKEE INTL CORP* $ 295,020
300 CHESAPEAKE UTILITIES CORP 7,275
3,800 CSS INDS INC 128,440
24,200 DIAMONDCLUSTER INTL INC* 248,050
2,900 LADISH CO INC* 27,666
16,600 METAL MANAGEMENT INC* 240,700
----------------
TOTAL INDUSTRIALS $ 947,151
REAL ESTATE (PUBLICLY TRADED) 4.96%
8,400 ANWORTH MTG ASSET CORP $ 98,028
12,300 ASSOCIATED ESTATES REALTY CORP 100,245
10,500 BOYKIN LODGING CO* 82,845
22,700 BRANDYWINE REALTY TRUST 575,218
15,200 ENTERTAINMENT PPTYS TRUST 508,592
40,000 EQUITY INNS INC 328,000
12,600 FELCOR LODGING TRUST* 126,000
1,100 FIRST INDUSTRIAL REALTY TRUST 37,015
19,400 GLENBOROUGH REALTY TRUST INC 364,526
34,800 HRPT PPTYS TRUST 332,340
22,600 KILROY REALTY CORP 708,510
13,300 KOGER EQUITY INC 278,635
68,500 LA QUINTA CORP* 492,515
11,100 LASALLE HOTEL PPTYS 244,200
14,600 LTC PPTYS INC 227,176
15,200 NATIONAL HEALTH INVESTORS INC 364,344
2,400 NATIONWIDE HEALTH PPTYS INC 43,512
16,500 NEWCASTLE INVESTMENT CORP 440,880
13,600 OMEGA HEALTHCARE INVESTORS INC 125,800
8,200 PENNSYLVANIA REAL ESTATE TRUST 265,270
43,900 PRIME HOSPITALITY CORP* 441,195
23,700 SENIOR HSG PPTYS TRUST 354,315
10,900 THORNBURG MTG INC 282,092
7,700 WINSTON HOTELS INC 70,917
----------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 6,892,170
SOFTWARE & COMPUTER SERVICES 0.74%
28,800 AUTOBYTEL INC* $ 269,568
14,600 CITADEL SECURITY SOFTWARE INC* 62,488
37,125 INTERWOVEN INC* 311,479
15,000 OPNET TECHNOLOGIES INC* 218,700
20,630 PORTAL SOFTWARE INC* 112,021
4,400 QAD INC* 48,444
200 SPSS INC* 2,844
----------------
TOTAL SOFTWARE & COMPUTER SERVICES $ 1,025,544
TECHNOLOGY 18.97%
31,190 ACTIVCARD CORP* $ 196,809
31,025 ACTIVISION INC* 467,237
16,200 ADAPTEC INC* 126,684
59,650 AEROFLEX INC* 750,397
13,100 ANIXTER INTL INC 383,830
15,300 ANTEON INTL CORP* 477,360
30,850 ARRIS GROUP INC* 184,483
11,400 ASPEN TECHNOLOGY INC* 74,100
6,100 AUDIOVOX CORP CL A* 92,110
1,200 AUGUST TECHNOLOGY CORP* 15,816
600 AVID TECHNOLOGY INC* 28,782
14,400 AVOCENT CORP* 462,096
91,400 AXCELIS TECHNOLOGIES INC* 960,614
31,700 BELL MICROPRODUCTS INC* 206,684
34,900 BORLAND SOFTWARE CORP* 287,925
9,500 BROOKS AUTOMATION INC* 158,080
32,000 CABLE DESIGN TECHNOLOGIES CORP* 272,960
3,300 C-COR.NET CORP* 29,964
3,000 CERNER CORP* 128,460
13,700 CHECKPOINT SYS INC* 220,159
11,100 COMMSCOPE INC* 194,361
14,300 COMPUTER TASK GROUP INC* 68,640
5,100 COMTECH TELECOMMUNICATIONS CORP* 82,518
600 COVANSYS CORP* 8,388
30,700 CREDENCE SYS CORP* 341,998
2,800 CSG SYS INTL INC* 47,012
4,600 CURTISS-WRIGHT CORP 216,660
8,350 DIODES INC* 181,279
38,600 DOT HILL SYS CORP* 289,500
13,300 E.PIPHANY INC* 58,254
76,900 EARTHLINK INC* 708,249
8,700 ELECTRO RENT CORP 88,479
22,145 ELECTRONICS FOR IMAGING INC* 562,040
26,065 EMULEX CORP* 434,504
600 ENGINEERED SUPPORT SYS INC 29,178
26,305 ESPEED INC* 462,968
5,800 EVANS & SUTHERLAND COMPUTER CORP* 29,058
10,800 EXAR CORP* 164,808
28,759 EXTREME NETWORKS INC* 159,037
10,900 FACTSET RESEARCH SYS INC 433,384
11,300 FEDERAL SIGNAL CORP 205,660
15,700 FEI CO* 313,686
4,500 FILENET CORP* 123,570
16,200 FINDWHAT.COM INC* 326,576
17,800 FSI INTL INC* 106,800
1,200 GENERAL COMMUNICATION INC CL A* 10,680
17,300 GERBER SCIENTIFIC INC* 103,800
6,400 GLOBAL IMAGING SYS INC* 221,568
31,800 HARRIS INTERACTIVE INC* 231,822
4,200 HEICO CORP 67,200
5,400 HEICO CORP CL A 67,770
17,345 HYPERION SOLUTIONS CORP* 665,701
14,975 INFOCUS CORP* 122,346
1,000 INFOUSA INC* 9,090
3,900 INSIGHT COMMUNICATIONS INC* 35,529
21,300 INTEGRATED DEVICE TECHNOLOGY INC* 286,485
100 INTERNET SECURITY SYS INC* 1,329
7,900 KAMAN CORP CL A 98,197
40,900 KOMAG INC* 519,839
7,490 LAM RESEARCH CORP* 165,829
37,400 LATTICE SEMICONDUCTOR CORP* 266,288
</Table>
16
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
19,375 LIONBRIDGE TECHNOLOGIES INC* $ 174,763
23,100 LTX CORP* 252,483
10,125 MANHATTAN ASSOCS INC* 272,059
26,100 MANUGISTICS GROUP INC* 141,201
3,300 MATTSON TECHNOLOGY INC* 32,274
19,200 MAXTOR CORP* 124,992
5,200 MAXWELL TECHNOLOGIES INC* 75,868
100 MERCURY COMPUTER SYS INC* 2,240
41,400 MICROMUSE INC* 277,794
500 MICROS SYS INC* 21,935
36,140 MINDSPEED TECHNOLOGIES INC* 185,760
29,700 MKS INSTRUMENTS INC* 570,834
17,100 MTC TECHNOLOGIES INC* 448,191
8,700 MTS SYS CORP 204,885
27,500 MYKROLIS CORP* 400,125
1,700 NEOFORMA INC* 22,219
10,300 NETIQ CORP* 132,458
12,200 NETWORK ASSOCIATES INC* 191,296
16,400 NEWPORT CORP* 243,376
1,200 NII HOLDINGS INC CL B* 42,000
100 NORTH PITTSBURGH SYS INC 1,790
1,200 OMNIVISION TECHNOLOGIES INC* 26,762
4,500 ORBITAL SCIENCES CORP* 57,960
400 OVERLAND STORAGE INC* 5,676
22,500 PACKETEER INC* 271,125
69,900 PARAMETRIC TECHNOLOGY CORP* 320,142
14,300 PAXAR CORP* 235,664
12,140 PC TEL INC* 134,511
12,000 PEGASUS SOLUTIONS INC* 128,400
34,085 PHOENIX TECHNOLOGIES LTD* 193,603
7,800 POWERWAVE TECHNOLOGIES INC* 52,806
19,900 PROGRESS SOFTWARE CORP* 407,950
7,700 PROQUEST CO* 205,590
91,300 PTEK HLDGS INC* 928,521
1,500 RENAISSANCE LEARNING INC 33,900
12,795 RUDOLPH TECHNOLOGIES INC* 205,616
1,493 SAFENET INC* 32,100
40,800 SAPIENT CORP* 228,480
7,200 SBS TECHNOLOGIES INC* 107,280
12,000 SEMTECH CORP* 252,240
16,700 SERENA SOFTWARE INC* 296,759
200 SHENANDOAH TELECOM CO 5,450
12,475 SIGMATEL INC* 305,014
24,145 SILICON IMAGE INC* 246,038
22,400 SILICON STORAGE TECHNOLOGY INC* 296,800
750 SS & C TECHNOLOGIES INC 17,318
22,450 STAKTEK HLDGS INC* 202,050
14,400 SYMMETRICOM INC* 115,344
9,425 SYNAPTICS INC* 155,984
50,600 TALK AMERICA HLDGS INC* 451,352
20,600 TECHNOLOGY SOLUTIONS CO* 20,806
29,300 TEKELEC* 488,431
4,900 THQ INC* 90,846
18,900 TOLLGRADE COMMUNICATIONS INC* 230,202
4,000 TRANSACTION SYS ARCHITECTS INC CL A* 84,920
26,915 TTM TECHNOLOGIES INC* 299,026
5,500 ULTRATECH INC* 88,605
23,300 UNITED ONLINE INC* 386,780
5,500 VEECO INSTRUMENTS INC* 125,125
4,700 VERISITY LTD* 35,720
11,735 VIRAGE LOGIC CORP* 92,589
34,160 WATCHGUARD TECHNOLOGIES INC* 237,754
18,600 WITNESS SYS INC* 261,888
9,800 ZORAN CORP* 161,994
----------------
TOTAL TECHNOLOGY $ 26,378,294
TRANSPORTATION 3.56%
28,500 AIRTRAN HLDGS INC* $ 347,985
32,100 ATLANTIC COAST AIRLINES HLDGS INC* 210,255
7,100 CENTRAL FREIGHT LINES INC* 91,590
6,400 COVENANT TRANSPORT INC CL A* 112,704
32,100 EXPRESSJET HLDGS INC* 408,312
4,800 FLORIDA EAST COAST INDS INC $ 174,960
9,700 FORWARD AIR CORP* 322,816
21,700 FRONTIER AIRLINES INC* 197,036
3,700 MARTEN TRANSPORT LTD* 64,306
20,700 MESA AIR GROUP INC* 146,349
18,300 OVERNITE CORP 439,200
23,900 OVERSEAS SHIPHOLDING GROUP 783,203
36,895 PACER INTL INC* 693,626
8,100 SCS TRANSPORTATION INC* 185,328
30,900 SKYWEST INC 562,380
1,400 US XPRESS ENTERPRISES INC CL A* 20,706
4,400 WABTEC CORP 71,720
3,600 YELLOW ROADWAY CORP* 122,580
----------------
TOTAL TRANSPORTATION $ 4,955,056
UTILITIES 1.04%
27,500 AVISTA CORP $ 464,750
4,700 ENERGEN CORP 194,345
3,100 IONICS INC* 71,517
4,900 SOUTH JERSEY INDS INC 202,076
11,400 UIL HLDGS CORP 514,938
----------------
TOTAL UTILITIES $ 1,447,626
----------------
TOTAL COMMON STOCK (COST $131,209,863) $ 137,752,500
----------------
TOTAL INVESTMENTS AT VALUE 99.04% (COST $131,209,863) 137,752,500
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 0.96% 1,334,579
----------------
NET ASSETS 100.00% $ 139,087,079
</Table>
See Notes to Financial Statements.
SPON ADR Sponsored American Depositary Receipt
*Non-income producing security.
17
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF ALL CAP EQUITY FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK 81.26%
BASIC INDUSTRIES 4.54%
32,700 ALCOA INC $ 1,005,525
39,500 DOW CHEMICAL CO 1,567,755
25,100 MOHAWK INDS INC* 1,936,214
149,500 PACTIV CORP* 3,431,025
26,200 WEYERHAUSER CO 1,551,040
----------------
TOTAL BASIC INDUSTRIES $ 9,491,559
CABLE & MEDIA 0.68%
79,900 DIRECTV GROUP INC* $ 1,430,210
----------------
TOTAL CABLE & MEDIA $ 1,430,210
CAPITAL GOODS 0.63%
47,100 MASCO CORP $ 1,319,271
----------------
TOTAL CAPITAL GOODS $ 1,319,271
CONSUMER DURABLES 2.27%
46,900 CAESARS ENTERTAINMENT INC* $ 621,425
49,300 GENERAL ELECTRIC CO 1,476,535
56,600 MICHELIN (CGDE) CL B (FRANCE) 2,648,835
----------------
TOTAL CONSUMER DURABLES $ 4,746,795
CONSUMER NON-DURABLES 2.04%
69,500 BUNGE LTD $ 2,574,975
46,100 JONES APPAREL GROUP INC 1,687,260
----------------
TOTAL CONSUMER NON-DURABLES $ 4,262,235
CONSUMER SERVICES 12.46%
118,900 CIRCUIT CITY STORES INC $ 1,388,752
103,500 COMCAST CORP CL A* 3,115,350
92,600 COMCAST CORP SPECIAL CL A* 2,684,474
41,600 EBAY INC* 3,320,512
63,000 FOOT LOCKER INC 1,512,000
49,200 GAP INC 1,082,892
228,100 LIBERTY MEDIA CORP CL A* 2,495,414
106,200 LIMITED BRANDS 2,191,968
40,500 RENT-A-CENTER INC* 1,185,435
40,300 SCIENTIFIC GAMES CORP CL A* 727,012
61,000 TIME WARNER INC* 1,026,020
167,800 UNITEDGLOBALCOM INC* 1,255,144
75,700 UNIVISION COMMUNICATIONS INC CL A* 2,562,445
64,000 WALT DISNEY CO 1,473,920
----------------
TOTAL CONSUMER SERVICES $ 26,021,338
ENERGY 3.02%
26,800 APACHE CORP $ 1,122,116
26,300 DEVON ENERGY CORP 1,609,560
57,000 NOBLE CORP* 2,118,120
54,200 PETROKAZAKHSTAN INC 1,453,102
----------------
TOTAL ENERGY $ 6,302,898
FINANCIAL SERVICES 12.46%
37,700 BANK OF AMERICA CORP $ 3,034,473
89,300 CITIGROUP INC 4,294,437
32,900 HARTFORD FINL SVCS GROUP INC 2,009,532
48,600 INFINITY PPTY & CASUALTY CORP 1,511,460
36,100 JP MORGAN CHASE & CO INC 1,357,360
39,500 MERRILL LYNCH & CO INC 2,142,085
39,400 METLIFE INC 1,359,300
25,600 MORGAN STANLEY 1,315,584
48,400 NATIONAL CITY CORP 1,678,028
79,800 PLATINUM UNDERWRITERS HLDGS LTD 2,552,004
90,100 WILLIS GROUP HLDGS LTD (BERMUDA) 3,271,531
19,700 XL CAPITAL LTD CL A 1,504,095
----------------
TOTAL FINANCIAL SERVICES $ 26,029,889
HEALTH CARE 11.35%
40,500 AMERISOURCEBERGEN CORP $ 2,344,545
34,700 ANTHEM INC* 3,073,726
39,500 BIOGEN IDEC INC* 2,330,500
23,400 CELGENE CORP* 1,209,546
60,600 GENZYME CORP* 2,639,736
51,000 GILEAD SCIENCES INC* 3,102,330
8,900 GUIDANT CORP $ 560,789
29,600 MERCK & CO INC 1,391,200
29,500 PFIZER INC 1,054,920
96,000 WYETH 3,654,720
29,300 ZIMMER HLDGS INC* 2,339,605
----------------
TOTAL HEALTH CARE $ 23,701,617
INDUSTRIALS 3.61%
74,100 RINKER GROUP LTD ADR (AUSTRALIA) $ 3,801,330
136,400 TYCO INTL LTD 3,744,180
----------------
TOTAL INDUSTRIALS $ 7,545,510
TECHNOLOGY 18.20%
162,100 ANDREW CORP* $ 2,747,595
153,300 AXCELIS TECHNOLOGIES INC* 1,611,183
145,200 CISCO SYS INC* 3,030,324
163,600 CITRIX SYS INC* 3,116,580
64,700 FIRST DATA CORP 2,936,733
57,000 L 3 COMMUNICATIONS HLDGS INC 3,519,180
310,100 LSI LOGIC CORP* 2,307,144
145,100 MICROSOFT CORP 3,768,247
59,200 NII HOLDINGS INC CL B* 2,072,000
224,100 NOKIA CORP SPON ADR (FINLAND) 3,139,641
74,600 SUNGARD DATA SYS INC* 1,944,822
118,900 TEXAS INSTRUMENTS INC 2,984,390
49,400 UNITED DEFENSE INDS INC* 1,711,710
117,200 VERITAS SOFTWARE CORP* 3,125,724
----------------
TOTAL TECHNOLOGY $ 38,015,273
TELECOMMUNICATIONS 4.71%
56,000 ARCH WIRELESS INC* $ 1,913,520
92,200 NEXTEL COMMUNICATIONS INC CL A* 2,199,892
84,300 SPECTRASITE INC* 3,150,291
104,600 VODAFONE GROUP PLC SPON ADR (UNITED KINGDOM) 2,566,884
----------------
TOTAL TELECOMMUNICATIONS $ 9,830,587
TRANSPORTATION 2.78%
160,200 AMR CORP* $ 1,818,270
132,300 CONTINENTAL AIRLINES INC CL B* 1,410,318
45,600 OMI CORP 459,192
63,400 USF CORP 2,108,050
----------------
TOTAL TRANSPORTATION $ 5,795,830
U.S. AGENCIES 1.42%
43,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION $ 2,968,704
----------------
TOTAL U.S. AGENCIES $ 2,968,704
UTILITIES 1.09%
164,500 ALLEGHENY ENERGY INC* $ 2,266,810
----------------
TOTAL UTILITIES $ 2,266,810
----------------
TOTAL COMMON STOCK (COST $176,269,941) $ 169,728,526
PREFERRED STOCK 0.73%
CONSUMER DURABLES 0.73%
45,300 NEWS CORP LTD SPON ADR $ 1,528,875
----------------
TOTAL CONSUMER DURABLES $ 1,528,875
----------------
TOTAL PREFERRED STOCK (COST $1,389,768) $ 1,528,875
----------------
TOTAL INVESTMENTS AT VALUE 81.99% (COST $177,659,709) 171,257,401
----------------
TOTAL SECURITIES SOLD SHORT (1.81%) (PROCEEDS $3,948,897) (3,770,245)
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 19.82% 41,389,852
----------------
NET ASSETS 100.00% $ 208,877,008
</Table>
ADR American Depositary Receipt
SPON ADR Sponsored American Depositary Receipt
18
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
SECURITIES SOLD SHORT
COMMON STOCK 0.86%
CONSUMER SERVICES 0.33%
(21,300) WILLIAMS-SONOMA INC $ (691,824)
----------------
TOTAL CONSUMER SERVICES $ (691,824)
TECHNOLOGY 0.53%
(36,900) ESS TECHNOLOGY INC $ (395,568)
(36,000) INTERSIL CORP CL A (711,000)
----------------
TOTAL TECHNOLOGY $ (1,106,568)
----------------
TOTAL COMMON STOCK (Proceeds $1,971,554) $ (1,798,392)
INDEX FUND 0.95%
(49,200) MATERIALS SELECT SECTOR SPDRS TRUST^ $ (1,228,524)
(10,700) OIL SERVICE HOLDRS TRUST@ (743,329)
----------------
TOTAL INDEX FUND (Proceeds $1,977,343) $ (1,971,853)
----------------
TOTAL SECURITIES SOLD SHORT (1.81%) (PROCEEDS $3,948,897) $ (3,770,245)
</Table>
See Notes to Financial Statements.
HOLDRS Holding Company Depositary Receipt
SPDRS S&P Depositary Receipts
* Non-income producing security.
^ The Trust is an exchange-traded fund that invests in the chemical,
construction material, and packaging material industries.
@ The Trust invests in companies that provide drilling, well-site management,
related products and services for the oil service industry.
19
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INTERNATIONAL EQUITY FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK 96.38%
AUSTRALIA 2.12%
41,756 AMCOR LTD $ 209,284
11,000 BENDIGO BANK LTD 78,965
90,418 BHP BILLITON LTD 748,990
18,100 BILLABONG INTL LTD 99,346
13,600 MACQUARIE BANK LTD 340,330
150,000 PASMINCO LTD+ * -
3,600 PERPETUAL TRUSTEES AUSTRALIA 106,597
20,800 SIGMA CO LTD 116,268
87,100 ST GEORGE BANK LTD 1,268,137
39,200 TOLL HLDGS LTD 294,143
233,000 WMC RESOURCES LTD 806,026
----------------
TOTAL AUSTRALIA $ 4,068,086
AUSTRIA 0.23%
3,000 ERSTE BANK DER OESTERREICHISCHEN SPARKASSEN AG $ 448,992
----------------
TOTAL AUSTRIA $ 448,992
BELGIUM 0.25%
862 BELGACOM SA* $ 26,143
7,800 UMICORE 451,524
----------------
TOTAL BELGIUM $ 477,667
CANADA 3.10%
8,900 ALIMENTATION COUCHE TARD INC CL B* $ 151,434
45,100 BOMBARDIER INC CL B 198,076
38,600 CELESTICA INC* 678,394
6,200 COGNOS INC* 194,397
4,000 MACDONALD DETTWILER & ASSOC* 78,357
32,100 MANULIFE FINL CORP 1,183,633
3,600 PRECISION DRILLING CORP* 170,805
2,000 RESEARCH IN MOTION* 174,077
6,300 SHOPPERS DRUG MART CORP* 139,262
12,500 SUNCOR ENERGY INC 297,219
47,500 TALISMAN ENERGY INC 2,693,019
----------------
TOTAL CANADA $ 5,958,673
CHILE 0.10%
10,500 LAN CHILE SA ADR $ 201,600
----------------
TOTAL CHILE $ 201,600
CHINA 0.48%
262,500 BYD CO LTD CL H $ 780,789
216,000 ZHEJIANG EXPRESSWAY HLDGS 135,003
----------------
TOTAL CHINA $ 915,792
EGYPT 0.10%
7,400 ORASCOM CONSTRUCTION $ 113,812
8,800 ORASCOM TELECOM HLDG* 82,104
----------------
TOTAL EGYPT $ 195,916
FINLAND 0.40%
2,000 NOKIAN RENKAAT OYJ $ 167,801
6,000 TIETOENATOR OYJ 178,734
22,900 UPM KYMMENE OYJ 422,202
----------------
TOTAL FINLAND $ 768,737
FRANCE 9.94%
4,300 ACCOR SA $ 181,030
1,100 AIR LIQUIDE SA 192,651
7,877 ATOS ORIGIN* 456,547
27,308 AVENTIS SA* 2,080,339
34,380 AXA 724,113
2,478 BIC 107,532
18,780 BNP PARIBAS SA 1,127,878
30,400 BOUYGUES 1,038,233
5,100 CHRISTIAN DIOR SA 320,354
28,200 COMPAGNIE DE ST-GOBAIN 1,423,856
18,254 CREDIT AGRICOLE SA 450,331
1,500 GROUPE DANONE 251,378
1,600 HERMES INTL 318,772
15,000 JC DECAUX SA* $ 314,672
2,600 KLEPIERRE 160,201
8,300 LAGARDERE SCA 499,969
3,100 MR BRICOLAGE 101,450
5,600 ORPEA* 128,890
11,384 PSA PEUGEOT CITROEN 611,639
1,700 RODRIGUEZ GROUP 93,538
24,611 SANOFI-SYNTHELABO SA 1,563,629
4,290 SEB SA 503,978
4,000 TECHNIP-COFLEXIP SA 554,302
15,500 TELEVISION FRANCAISE 478,823
55,000 THOMSON 1,061,493
15,530 TOTAL SA 2,872,539
8,240 VINCI SA 802,069
26,905 VIVENDI UNIVERSAL SA* 676,977
----------------
TOTAL FRANCE $ 19,097,183
GERMANY 5.51%
49,583 BAYERISCHE MOTOREN WERKE AG $ 2,137,971
12,800 DAIMLER CHRYSLER AG 573,712
30,900 DEUTSCHE LUFTHANSA AG 496,354
62,329 DEUTSCHE POST AG 1,374,044
49,090 DEUTSCHE TELEKOM AG REGD* 847,392
21,400 E.ON AG 1,418,625
2,600 GFK AG 87,955
18,200 M.A.N. AG 668,481
9,616 MUENCHENER RUECKVERSICHERUNGS AG REGD 1,039,867
1,000 PUMA AG 230,040
4,100 SAP AG 621,732
8,228 SIEMENS AG REGD 594,265
18,248 THYSSEN KRUPP AG 316,747
7,000 UNITED INTERNET AG 176,216
----------------
TOTAL GERMANY $ 10,583,401
GREECE 0.56%
13,400 COCA COLA HELLENIC BOTTLING SA $ 355,319
700 EFG EUROBANK 14,886
5,400 FOLLI FOLLIE SA 161,702
92,000 HELLENIC TECHNODOMIKI TEV SA 469,814
2,200 NATIONAL BANK OF GREECE* 65,457
----------------
TOTAL GREECE $ 1,067,178
HONG KONG 1.76%
106,000 BOC HONG KONG HLDGS LTD $ 180,748
218,000 CHINA INSURANCE INTL HLDGS CO LTD 104,810
92,000 CHINA RESOURCES ENTERPRISES LTD 106,746
113,000 ESPRIT HLDGS LTD 463,602
228,000 GLOBAL BIO-CHEM TECHNOLOGY GROUP CO LTD 166,620
26,100 HANG SENG BANK LTD 331,278
225,000 HENDERSON LAND DEVELOPMENT CO 1,009,641
328,000 LI & FUNG 510,936
30,500 SWIRE PACIFIC LTD CL A 199,428
56,585 TECHTRONIC INDS CO 151,623
59,000 WHARF HLDGS LTD 161,876
----------------
TOTAL HONG KONG $ 3,387,308
INDIA 0.56%
4,402 BHARAT FORGE LTD $ 76,617
9,600 BIOCON LTD* 129,526
21,000 HDFC BANK LTD 177,511
2,800 INFOSYS TECHNOLOGIES LTD 324,072
15,000 MARUTI UDYOG LTD* 183,528
6,500 MPHASIS BFL LTD 71,636
5,600 OIL & NATURAL GAS CORP LTD 105,779
----------------
TOTAL INDIA $ 1,068,669
INDONESIA 0.12%
638,500 BANK RAKYAT INDONESIA* $ 125,417
255,500 PT UNILEVER INDONESIA TBK 106,919
----------------
TOTAL INDONESIA $ 232,336
</Table>
20
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
IRELAND 2.75%
43,580 ALLIED IRISH BANKS PLC $ 628,466
96,960 ALLIED IRISH BANKS PLC 1,401,743
14,300 ANGLO IRISH BANK PLC 233,990
61,800 CRH PLC 1,312,746
40,300 CRH PLC 855,080
3,391 DEPFA BANK PLC* 508,608
14,200 GRAFTON GROUP PLC UTS* 105,027
7,300 RYANAIR HLDGS PLC SPON ADR 243,236
----------------
TOTAL IRELAND $ 5,288,896
ISRAEL 0.14%
4,400 TEVA PHARMACEUTICAL INDS LTD SPON ADR $ 270,864
----------------
TOTAL ISRAEL $ 270,864
ITALY 1.03%
24,100 BANCA POPOLARE DI VERONA $ 400,991
147,203 CAPITALIA SPA* 407,622
17,900 CREDITO EMILIANO SPA 128,317
24,000 ENI SPA 487,939
9,300 MERLONI ELETTRODOMESTICI SPA 164,439
3,900 PIRELLI & C REAL ESTATE SPA* 136,981
26,800 SAIPEM SPA 251,229
----------------
TOTAL ITALY $ 1,977,518
JAPAN 18.90%
11,540 ACOM CO LTD $ 821,933
3,500 ADVANTEST CORP 266,096
6,000 AEON CO LTD 263,151
3,100 AEON CREDIT SVC CO LTD 196,919
2,300 AEON MALL CO LTD 126,927
24,000 AJINOMOTO CO INC 280,767
2,700 ARNEST ONE CORP 84,654
2,300 ASKUL CORP 158,815
58,000 BANK OF YOKOHAMA LTD/THE 316,923
12,000 BRIDGESTONE CORP 203,126
45,500 CANON INC 2,387,250
500 CAWACHI LTD* 24,195
500 CAWACHI LTD WI* 20,389
25,000 CHIYODA CORP* 150,877
5,200 CREDIT SAISON CO 152,200
29,000 DAIWA HOUSE INDUSTRY CO LTD 324,544
32 DENTSU INC 89,602
2,000 DON QUIJOTE CO LTD 142,449
3,600 FANUC LTD 220,525
12,600 FAST RETAILING CO LTD 981,922
99 FUJI TELEVISION NETWORK INC 256,572
47,000 HINO MOTORS LTD 278,963
22,300 HONDA MOTOR CO LTD 895,193
3,700 HOYA CORP 400,326
25,000 ISETAN CO LTD 345,249
62,000 ITOCHU CORP* 262,371
1,000 KAPPA CREATE CO LTD 121,789
36 KDDI CORP 215,631
1,870 KEYENCE CORP 449,051
2,100 KOHA CO LTD 86,584
72,000 KONICA MINOLTA HLDGS INC 996,928
5,300 KYOCERA CORP 438,485
36,500 MARUI CO LTD 572,860
3,900 MATSUI SECURITIES CO LTD 128,639
4,200 MISUMI CORP 148,430
64,500 MITSUBISHI ESTATE CO LTD 762,743
173 MITSUBISHI TOKYO FINL GROUP INC 1,539,450
86,000 MITSUI & CO 709,166
34,000 MITSUI FUDOSAN 374,337
28,000 MITSUI TRUST HLDGS INC 198,160
236 MIZUHO FINL GROUP INC 1,116,325
5,200 MURATA MANUFACTURING CO LTD 341,154
1,000 NAKANISHI INC 62,526
18 NET ONE SYS 76,662
3,600 NIDEC CORP 388,528
2,700 NINTENDO CO LTD $ 254,941
28,000 NIPPON ELECTRIC GLASS CO LTD 659,689
41,800 NISSAN MOTOR CO 465,518
2,520 NITORI CO LTD 162,816
14,500 NITTO DENKO CORP 805,446
10,000 OMRON CORP 243,759
3,100 ORACLE CORP JAPAN 174,446
11,800 ORIX CORP 1,251,053
4,200 PARK24 CO LTD 141,960
12 PASONA INC* 155,498
9,400 PIONEER CORP 268,316
3,480 POINT INC 116,363
18,550 PROMISE CO LTD 1,227,085
24 RAKUTEN INC 188,773
2,600 SAWAI PHARMACEUTICAL CO LTD 98,718
20,000 SECOM CO LTD 857,234
109,000 SEKISUI CHEMICAL 771,410
2,610 SFCG CO LTD 535,457
32,000 SHARP CORP 577,047
23,000 SHINSEI BANK LTD 154,855
3,200 SMC CORP 366,816
2,700 SOFTBANK CORP 122,332
36 SPARX ASSET MANAGEMENT CO 275,656
2,600 SUGI PHARMACY CO LTD 104,137
109,000 SUMITOMO CHEMICAL 503,738
100 SUMITOMO MITSUI FINL GROUP INC 755,743
71,000 SUMITOMO REALTY & DEVELOPMENT 797,146
175,000 SUMITOMO TRUST & BKG CO 1,052,965
39,000 TAKASHIMAYA CO LTD 470,382
12,200 TAKEFUJI CORP 774,972
234 THE GOODWILL GROUP INC 920,266
8,900 TOKYO ELECTRON LTD 541,960
68,000 TOKYU CORP 339,522
23,000 TOTO LTD 245,934
158 UFJ HLDGS 977,880
1,800 USS CO LTD 152,182
71 WEST JAPAN RAILWAY CO 276,009
13 YAHOO! JAPAN CORP* 147,252
----------------
TOTAL JAPAN $ 36,314,662
MALAYSIA 0.13%
111,400 COMMERCE ASSET HLDGS BERHAD $ 146,579
46,400 IOI CORP BERHAD 110,505
----------------
TOTAL MALAYSIA $ 257,084
MEXICO 0.42%
265,600 AMERICA MOVIL SA DE CV SER L $ 451,372
15,200 CORP GEO SA DE CV* 87,305
88,700 WAL-MART DE MEXICO SER V 259,401
----------------
TOTAL MEXICO $ 798,078
NETHERLANDS 5.37%
20,180 ABN AMRO HLDGS NV $ 438,821
32,800 AEGON NV 429,363
10,305 EUROPEAN AERONAUTIC DEFENSE AND SPACE CO 260,651
2,900 IHC CALAND NV 136,587
33,680 ING GROEP NV CVA 721,885
76,000 KONINKLIJKE KPN NV 547,541
88,699 KONINKLIJKE PHILIPS ELECTRS NV 2,415,771
8,300 QIAGEN NV* 100,690
93,000 REED ELSEVIER NV 1,306,590
19,650 ROYAL DUTCH PETROLEUM CO 955,644
88,060 TNT POST GROEP NV 1,899,059
6,100 UNILEVER NV CVA 401,815
48,484 VEDIOR NV CVA 704,417
----------------
TOTAL NETHERLANDS $ 10,318,834
NEW ZEALAND 0.32%
176,244 TELECOM CORP OF NEW ZEALAND $ 623,962
----------------
TOTAL NEW ZEALAND $ 623,962
</Table>
21
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
NORWAY 0.54%
22,200 STATOIL ASA $ 277,498
114,800 TELENOR ASA 754,729
----------------
TOTAL NORWAY $ 1,032,227
POLAND 0.07%
4,500 BANK PEKAO SA $ 139,979
----------------
TOTAL POLAND $ 139,979
PORTUGAL 0.45%
64,517 PORTUGAL TELECOM SA $ 699,925
7,600 PT MULTIMEDIA SERVICOS 172,735
----------------
TOTAL PORTUGAL $ 872,660
SINGAPORE 1.34%
135,000 CAPITALAND LTD $ 127,744
33,000 DBS GROUP HLDGS LTD 277,352
129,600 OSIM INTL LTD 89,119
9,300 SINGAPORE PRESS HLDGS LTD 114,784
770,700 SINGAPORE TELECOM LTD 1,059,942
119,000 UNISTEEL TECHNOLOGY LTD 88,125
57,000 UNITED OVERSEAS BANK 458,961
32,000 VENTURE MFG SINGAPORE LTD 359,223
----------------
TOTAL SINGAPORE $ 2,575,250
SOUTH AFRICA 0.14%
38,800 MTN GROUP LTD* $ 162,312
138,600 NETWORK HEALTHCARE HLDGS LTD* 98,626
----------------
TOTAL SOUTH AFRICA $ 260,938
SOUTH KOREA 2.57%
12,840 HANA BANK $ 277,406
7,300 HYUNDAI MOTOR CO 278,412
5,700 KOOKMIN BANK* 212,775
11,710 KT CORP 408,181
5,785 SAMSUNG ELECTRONICS CO LTD 2,746,193
3,820 SAMSUNG FIRE AND MARINE INS 253,940
7,798 SAMSUNG SECURITIES CO 161,164
3,550 SK TELECOM 605,105
----------------
TOTAL SOUTH KOREA $ 4,943,176
SPAIN 2.49%
18,385 ALTADIS SA SER A $ 519,680
130,187 AMADEUS GLOBAL TRAVEL DISTR SER A 767,823
2,900 ANTENA 3 TELEVISION SA* 147,398
45,100 BANCO BILBAO VIZCAYA ARGENTARIA SA 595,241
3,800 BANCO POPULAR ESPANOL 209,678
31,022 ENAGAS 352,167
72,900 ENDESA SA 1,336,176
4,600 GRUPO FERROVIAL SA 183,459
45,400 TELEFONICA SA 675,393
----------------
TOTAL SPAIN $ 4,787,015
SWEDEN 0.89%
6,000 AUTOLIV INC SPON ADR $ 255,254
289,200 ERICSSON (L M) TELEFONAKTIEBOLAGET SER B* 783,622
5,800 GUNNEBO AB* 140,455
12,300 HENNES & MAURITZ AB CL B 301,082
7,600 SECURITAS AB 109,432
17,700 SONG NETWORKS HLDG AB* 114,224
----------------
TOTAL SWEDEN $ 1,704,069
SWITZERLAND 7.75%
75,903 ABB LTD* $ 427,341
3,650 ACTELION LTD* 400,442
6,447 ADECCO SA* 288,141
16,800 CIBA SPECIALTY CHEMICALS* 1,166,127
45,877 CREDIT SUISSE GROUP* 1,616,982
1,118 GEBERIT AG 679,457
3,455 HOLCIM LTD 178,399
31,900 LOGITECH INTL SA* 1,383,908
2,366 MICRONAS SEMICONDUCTOR* 110,125
63,108 NOVARTIS AG $ 2,813,236
1,350 SERONO SA* 809,000
2,054 SIG HLDG AG 348,511
10,983 SWISS RE 722,544
14,166 SYNGENTA AG* 1,133,520
21,206 UBS AG 1,507,121
8,342 ZURICH FINL SVCS AG* 1,318,919
----------------
TOTAL SWITZERLAND $ 14,903,773
TAIWAN 1.12%
100,000 ACER INC $ 141,481
950,000 COMPAL ELECTRONICS INC 1,069,536
266,060 EVA AIRWAYS CORP 108,522
396,000 FIRST FNL HLDG CO LTD* 289,669
60,000 HON HAI PRECISION INDS 236,604
13,000 MEDIATEK INC 124,052
50,000 PREMIER IMAGE TECHNOLOGY CORP 79,771
53,000 QUANTA COMPUTER INC 111,680
----------------
TOTAL TAIWAN $ 2,161,315
THAILAND 0.52%
57,500 BANGKOK BANK PUBLIC CO* $ 140,840
3,000,000 CHAROEN POKPHAND FOODS PCL+ 275,931
79,300 KASIKORNBANK PCL* 96,127
79,700 KASIKORNBANK PCL NVDR* 96,612
386,000 LAND & HOUSE PUBLIC CO LTD 107,088
38,300 SIAM CEMENT PCL 201,025
115,600 TISCO FINANCE PCL+ 85,234
----------------
TOTAL THAILAND $ 1,002,857
TURKEY 0.06%
6,070,229 ENKA INSAAT VE SANAYI AS $ 117,682
----------------
TOTAL TURKEY $ 117,682
UNITED KINGDOM 24.08%
65,522 ABBEY NATL PLC $ 525,775
20,800 ACAMBIS PLC* 117,296
77,465 ARRIVA PLC 527,167
21,400 ASTRAZENECA PLC 1,014,052
71,800 AVIVA PLC 701,569
60,384 BAA PLC 556,826
258,017 BAE SYS PLC 959,720
182,500 BG GROUP PLC 1,054,246
38,576 BOC GROUP PLC 620,125
182,200 BP PLC 1,575,134
154,511 BRITISH AIRWAYS PLC* 774,056
50,614 BRITISH AMERICAN TOBACCO INDS PLC 767,417
143,600 BRITISH SKY BROADCASTING PLC 1,695,989
180,160 BT GROUP PLC 570,284
124,232 CADBURY SCHWEPPES PLC 988,076
53,600 CAPITA GROUP PLC 294,660
17,489 CARNIVAL PLC 783,727
7,900 CATTLES HLDGS PLC 48,613
460,000 CENTRICA PLC 1,782,394
48,500 COMPASS PLC 305,327
201,438 DAVIS SVC GROUP PLC 1,371,725
98,507 DIAGEO PLC 1,321,510
79,100 ENTERPRISE INNS 855,659
41,000 FIRSTGROUP PLC 195,219
13,300 FRENCH CONNECTION GROUP 104,602
12,400 GALEN HLDGS PLC 175,257
86,200 GLAXOSMITHKLINE PLC 1,783,909
235,350 HAYS PLC 492,482
121,801 HBOS PLC 1,577,849
15,172 IMPERIAL TOBACCO GROUP PLC 336,047
32,000 INTERCONTINENTAL HOTELS GROUP 299,058
187,784 ITV PLC 411,263
116,500 KINGFISHER PLC 585,181
86,334 LLOYDS TSB GROUP PLC 645,318
9,500 MAN GROUP PLC 284,374
10,300 MCCARTHY & STONE PLC 105,301
72,300 MICHAEL PAGE INTL 222,129
</Table>
22
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
322,000 MISYS PLC $ 1,184,864
376,139 MM02 PLC* 667,026
55,000 NEXT PLC 1,360,603
44,400 PEARSON PLC 518,088
43,700 PREMIER FARNELL PLC 195,288
18,900 RECKITT BENCKISER PLC 491,349
61,531 REED ELSEVIER PLC 572,859
102,293 REUTERS GROUP PLC 676,627
35,561 ROLLS-ROYCE GROUP PLC 145,989
94,200 ROYAL BANK OF SCOTLAND GROUP PLC 2,828,149
98,660 SHELL TRANS & TRDG PLC 680,589
39,700 SMITH & NEPHEW PLC 403,051
70,588 STANDARD CHARTERED PLC 1,081,531
724,173 TESCO PLC 3,194,478
85,807 UNILEVER PLC 809,522
1,400,900 VODAFONE GROUP PLC 3,403,472
11,700 WILLIS GROUP HLDGS LTD 424,827
42,200 WOLSELEY PLC 618,514
52,085 XSTRATA PLC 586,056
----------------
TOTAL UNITED KINGDOM $ 46,272,218
ZIMBABWE 0.07%
6,900 EDGARS CONSOLIDATED STORES $ 132,420
----------------
TOTAL ZIMBABWE $ 132,420
----------------
TOTAL COMMON STOCK (COST $164,792,650) $ 185,227,015
CORPORATE DEBT 1.22%
JAPAN 1.22%
JPY 106,900,000 JAPAN MIDCAP INDEX LINKED NOTE
(COUNTERPARTY: UBS AG) 0.000% 03/13/2006 $ 1,543,202
JPY 33,000,000 SMFG FINANCE CO 2.250% 07/11/2005 797,524
----------------
TOTAL JAPAN $ 2,340,726
----------------
TOTAL CORPORATE DEBT (COST $1,756,681) $ 2,340,726
PREFERRED STOCK 0.70%
BRAZIL 0.16%
2,100,000 BANCO ITAU HOLDING FINANCE $ 166,603
13,800 GERDAU SA DE CV 144,228
----------------
TOTAL BRAZIL $ 310,831
GERMANY 0.54%
8,700 FRESENIUS AG $ 607,497
688 PORSCHE AG PFD 426,819
----------------
TOTAL GERMANY $ 1,034,316
----------------
TOTAL PREFERRED STOCK (COST $1,283,167) $ 1,345,147
WARRANTS 0.00%
28,500 GLOBAL BIO-CHEM TECHNOLOGY WARRANTS+ * $ -
----------------
TOTAL WARRANTS (COST $-) $ -
----------------
TOTAL INVESTMENTS AT VALUE 98.30% (COST $167,832,498) 188,912,888
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 1.70% 3,266,521
----------------
NET ASSETS 100.00% $ 192,179,409
</Table>
<Table>
<Caption>
INDUSTRY SECTOR BREAKDOWN % OF TOTAL INVESTMENTS
- ------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 17.98%
CONSUMER DURABLES 12.42
TECHNOLOGY 10.44
CAPITAL GOODS 9.34
ENERGY 6.58
HEALTH CARE 6.51
CONSUMER NON-DURABLES 6.14
BANKING & FINANCE 5.80
CONSUMER SERVICES 5.28
BASIC INDUSTRIES 4.87
TRANSPORTATION 3.82
TELECOMMUNICATIONS 2.80
UTILITIES 2.59
REAL ESTATE (PUBLICLY TRADED) 1.77
INDUSTRIALS 1.16
SOFTWARE & COMPUTER SERVICES 1.06
FOOD AND DRUG RETAILERS 0.55
CABLE & MEDIA 0.40
GENERAL RETAILERS 0.23
OTHER 0.18
TELECOMMUNICATION SERVICES 0.08
-------------------------------------------------------------------------------
TOTAL 100.00%
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF COST ON APPRECIATION
DATE FOR USD CURRENCY ORIGINATION DATE VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------------------
Buys
5/03/04 AUD 496,671 $ 358,696 $ 358,696 $ -
5/03/04 EUR 5,854 6,933 7,018 85
5/03/04 HKD 362,816 46,517 46,516 (1)
5/03/04 SGD 37,937 22,355 22,297 (58)
5/04/04 AUD 235,723 170,404 170,239 (165)
5/04/04 EUR 60,249 72,252 72,224 (28)
5/04/04 GBP 246,904 437,232 437,846 614
5/04/04 SGD 64,129 37,634 37,691 57
5/05/04 AUD 156,690 113,271 113,148 (123)
5/05/04 EUR 6,890 8,259 8,260 1
5/05/04 GBP 76,844 136,700 136,259 (441)
5/06/04 GBP 268,924 478,631 476,807 (1,824)
5/07/04 JPY 11,507,948 104,898 104,291 (607)
- ------------------------------------------------------------------------------------------------
TOTAL $ (2,490)
Sales
5/03/04 CAD 25,250 $ 18,362 $ 18,360 $ 2
5/03/04 CHF 13,700 10,470 10,566 (96)
5/04/04 EUR 34,774 41,489 41,686 (197)
5/04/04 HKD 646,202 82,852 82,849 3
5/05/04 AUD 91,730 66,231 66,239 (8)
5/05/04 CAD 41,883 30,539 30,453 86
5/05/04 CHF 219,127 169,116 169,005 111
5/05/04 EUR 189,942 227,602 227,687 (85)
5/05/04 SEK 863,480 113,053 113,026 27
5/05/04 SGD 928,043 543,828 545,450 (1,622)
5/06/04 EUR 23,074 27,648 27,658 (10)
5/06/04 GBP 390,005 693,226 691,486 1,740
5/06/04 JPY 42,516,435 386,627 385,293 1,334
5/10/04 JPY 34,514,582 312,573 312,817 (244)
- ------------------------------------------------------------------------------------------------
TOTAL $ 1,041
</Table>
23
<Page>
CROSS CURRENCY FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
EXCHANGE DATE THROUGH CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED (DEPRECIATION)
- ------------------------------------------------------------------------------------------------
6/15/04 (722,880) SGD 360,000 EUR $ 5,977
6/17/04 (379,566) GBP 910,200 CAD (9,413)
6/21/04 (1,758,134) CHF 1,842,908 AUD (34,325)
6/21/04 (300,000) EUR 481,808 CAD (9,285)
6/21/04 (94,185,000) JPY 1,172,914 CAD (2,980)
6/30/04 (6,639,840) HKD 720,000 EUR 9,470
- ------------------------------------------------------------------------------------------------
TOTAL $ (40,556)
- ------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
NVDR Non-Voting Depositary Receipt
SPON ADR Sponsored American Depositary Receipt
WI When-Issued Security
+ Denotes a fair valued security.
* Non-income producing security.
Currency Code Key
AUD AUSTRALIAN DOLLAR
CAD CANADIAN DOLLAR
CHF SWISS FRANC
EUR EURO
GBP GREAT BRITISH POUND
HKD HONG KONG DOLLAR
JPY JAPANESE YEN
SEK SWEDISH KRONA
SGD SINGAPORE DOLLAR
24
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE PLUS BOND FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 3.43%
543,899 BAYVIEW FINL ACQUISITION TRUST 03-DA CL A (FRN)
1.550% 05/28/2034 $ 545,768
320,000 BAYVIEW FINL ACQUISITION TRUST 20-FA CL A IO 144A
7.000% 06/25/2005* 11,200
364,089 CDC MTG CAPITAL TRUST 02-HE3 CL A (FRN)
1.590% 03/25/2033 366,382
322,941 CENTEX HOME EQUITY 02-D CL AV (FRN)
1.540% 12/25/2032 323,777
750,000 CITIBANK CREDIT CARD ISSUANCE TRUST
2.550% 01/20/2009++ 739,531
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-C1 CL C1
(FRN) 2.120% 02/09/2009 203,232
900,000 CONSECO FINANCE 00-6 CL A5
7.270% 09/01/2032 915,163
286,828 COUNTRYWIDE ASSET-BACKED CERT 02-BC1 CL A
1.430% 04/25/2032 287,290
326,403 COUNTRYWIDE HOME EQ LOAN TRUST 02-F CL A (FRN)
1.450% 11/15/2028 329,845
270,000 DAIMLER CHRYSLER MASTER OWNER TRUST 02-A CL A
(FRN) 1.160% 05/15/2007 270,170
193,290 EQCC HOME EQUITY LOAN TRUST 02-1 CL 2A (FRN)
1.400% 11/25/2031 193,770
118,219 GREEN TREE FINL CORP 92-2 CL B 9.150% 01/15/2018 107,128
27,955 LONG BEACH MTG LOAN TRUST 01-2 CL A2
1.380% 07/25/2031 27,962
500,000 MBNA MASTER CREDIT CARD NT TRUST 03-A6 CL A6
2.750% 10/15/2010 481,520
575,000 MBNA MASTER CREDIT CARD NT TRUST 04-A4 CL A4
2.700% 09/15/2009 566,355
100,000 PEGASUS AVIATION LEASE SECURITIZATION 00-1
CL A2 144A 8.370% 03/25/2030* 63,734
375,000 SEARS CREDIT ACCOUNT MASTER TRUST 02-5 (FRN)
1.480% 11/17/2009 375,406
88,467 SLM STUDENT LOAN TRUST 01-4 CL A1 (FRN)
1.220% 01/25/2011 88,493
----------------
TOTAL ASSET BACKED SECURITIES (COST $5,891,048) $ 5,896,726
COLLATERALIZED MORTGAGE OBLIGATIONS 7.71%
PRIVATE LABEL CMO'S 7.63%
534,944 ADVANTA MTG LOAN TRUST 98-3 CL A2 (FRN)
1.400% 09/25/2028 $ 535,719
900,000 AESOP 03-4A CL A1 144A (FRN) 1.330% 08/20/2007* 900,377
85,509 AMORTIZING RESIDENTIAL COLLATERAL TRUST 02-BC1M
CL A (FRN) 1.380% 01/01/2032 85,643
100,000 ASC 1997-D5 CL A2 6.820% 02/14/2043 93,767
276,505 CHASE FUNDING LOAN ACQUISITION TRUST 03-C1 CL 2A1
(FRN) 1.250% 05/25/2024 276,539
994,586 CHEVY CHASE FUNDING LLC 144A 1.390% 01/25/2035* ~ 994,586
360,000 COMM 04-LB2A CL A4 4.715% 03/10/2039 346,835
425,090 COMMERCIAL MTG ACCEPT CORP 97-ML1 CL A4
6.735% 12/15/2030 454,520
600,000 CRIMI MAE COMMERCIAL MTG TRUST 98-C1 CL A2 144A
7.000% 06/02/2033* 639,819
250,000 DLJ COMMERCIAL MTG CORP 00-CKP1 CL A1B
7.180% 08/10/2010 277,850
360,000 GCCFC 2004-GG1A A4 4.755% 02/10/2011~ 361,788
250,000 GMAC COML MTG SEC 99-C2 CL A2 6.945% 09/15/2033 278,334
385,000 GMACC 2000-C2 CL A2 7.455% 08/16/2033 438,369
8,307,410 GS MTG SECURITIES CORP II 03-C1 CL X2 144A IO
1.016% 01/10/2040* 322,535
240,085 GS MTG SECURITIES CORP IL 98-C1 CL A3
6.135% 10/18/2030 255,712
41,797 HFC HOME EQUITY LOAN ASSET BACKED CERT 02-4 CL A
(FRN) 1.650% 10/20/2032 41,914
378,647 IMPAC CMB TRUST 02-1 CL A1 (FRN) 1.420% 03/25/2032 379,334
960,835 IMPAC CMB TRUST 03-12 CL A1 1.480% 12/25/2033 963,570
174,458 IMPAC SECURED ASSETS CMN OWNER TRUST 03-2 CL A2
6.000% 08/25/2033 176,639
270,000 JP MORGAN CHASE COMMERCIAL MTG SEC CORP 01-CIB2
CL A3 6.429% 04/15/2035 295,918
61,585 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.420% 05/25/2033 $ 61,674
325,000 MORGAN STANLEY CAPITAL I 99-FNV1 CL A2
6.530% 03/15/2031 355,783
1,598,308 RESIDENTIAL ASSET SECURITIZATION TRUST 2003-A14
CL A1 4.750% 02/25/2019 1,564,227
539,698 RESIDENTIAL FUNDING SECURITIES CORP 03-RP2
CL A1 144A 1.570% 07/25/2041* ~ 539,698
362,177 STRUCTURED ASSET INVESTMENT LOAN TRUST 03-BC4
CL 1A1 (FRN) 1.220% 05/25/2033 362,177
285,314 STRUCTURED ASSET INVESTMENT LOAN TRUST 03-BC5
CL 1A1 (FRN) 1.220% 06/25/2033 285,314
351,373 STRUCTURED ASSET SECURITIES CORP 03-AL2 CL A 144A
3.357% 01/25/2031* ~ 338,389
500,000 STRUCTURED ASSET SECURITIES CORP 96-CFL CL G
7.750% 02/25/2028 549,732
800,000 WACHOVIA BANK COMMERCIAL MTG TRUST 03-WHL2
CL A1 144A (FRN) 1.290% 06/15/2013* 799,876
29,924 WASHINGTON MUTUAL MTG CERT 02-MS12 CL A
6.500% 05/25/2032 30,532
98,509 WASHINGTON MUTUAL MTG CERT 20-S8 CL IA1
5.750% 01/25/2033 99,137
----------------
TOTAL PRIVATE LABEL CMO'S $ 13,106,307
U.S. AGENCY CMO'S 0.08%
123,391 FHLMC 2277 CL B 7.500% 01/15/2031 $ 125,893
----------------
TOTAL U.S. AGENCY CMO'S $ 125,893
----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $13,347,074) $ 13,232,200
COMMON STOCK 0.03%
3,082 MCI INC WI $ 43,705
----------------
TOTAL COMMON STOCK (COST $166,159) $ 43,705
PREFERRED STOCK 0.31%
1,000,000 RC TRUST I 7.000% 05/15/2006 $ 540,938
----------------
TOTAL PREFERRED STOCK (COST $563,297) $ 540,938
CORPORATE DEBT 22.27%
BANKING & FINANCE 9.21%
35,000 AMERICAN GENERAL CORP TREASURY SECURITIES
8.500% 07/01/2030 $ 44,956
75,000 ANADARKO FINANCE CO 7.500% 05/01/2031 85,642
85,000 ANZ CAPITAL TRUST I 144A 4.484% 12/31/2049* 83,541
60,000 ANZ CAPITAL TRUST I 144A 5.360% 12/31/2049* 58,541
579,999 ARCEL FINANCE LTD SECD 144A 5.984% 02/01/2009* 608,019
125,000 ASIF GBL FINANCING XVII SR NTS 144A
3.850% 11/26/2007* 126,331
230,000 ASIF GBL FINANCING XXIII 144A 3.900% 10/22/2008* 230,026
20,000 BANK OF AMERICA CORP SR NTS 3.875% 01/15/2008 20,157
185,000 BANK OF AMERICA CORP SR NTS 4.375% 12/01/2010 182,162
20,000 BANK OF AMERICA CORP SUB NTS 7.800% 02/15/2010 23,255
285,000 BANK OF AMERICA CORP SUB NTS 7.400% 01/15/2011 327,720
250,000 BANK ONE CORP SUB NTS 7.875% 08/01/2010 293,546
130,000 BARCLAYS BANK PLC BDS 144A (FRN) 8.550% 09/15/2049* 157,151
50,000 BEAR STEARNS COS INC SR NTS 7.000% 03/01/2007 54,919
145,000 BOEING CAPITAL CORP 7.375% 09/27/2010 164,959
50,000 CHASE MANHATTAN CORP SUB NTS 7.125% 06/15/2009 56,453
160,000 CIT GROUP INC 6.500% 02/07/2006 170,486
50,000 CITIGROUP INC 6.200% 03/15/2009 54,491
200,000 CITIGROUP INC 5.125% 05/05/2014 198,207
20,000 CITIGROUP INC 5.875% 02/22/2033 19,053
200,000 CITIGROUP INC 6.000% 10/31/2033 193,824
700,000 CITIGROUP INC GBL SR NTS 5.750% 05/10/2006 742,076
100,000 CITIGROUP INC GBL SR NTS 3.500% 02/01/2008 99,358
130,000 CITIGROUP INC GBL SR NTS 6.000% 02/21/2012 139,794
260,000 CITIGROUP INC SUB NTS 5.625% 08/27/2012 271,116
140,000 CREDIT SUISSE FIRST BOSTON USA INC GBL SR NTS
4.625% 01/15/2008 144,116
75,000 CREDIT SUISSE FIRST BOSTON USA INC NTS
6.125% 11/15/2011 80,260
</Table>
25
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
70,000 DEVON FINANCING CORP PLC GTD 6.875% 09/30/2011 $ 77,717
395,680 DRYDEN INVESTOR TRUST BDS 144A 7.157% 07/23/2008* 430,738
30,000 EIRCOM FUNDING 8.250% 08/15/2013 32,400
50,000 EL PASO PRODUCTION HLDG 7.750% 06/01/2013 47,500
255,000 FORD MOTOR CR CO 7.250% 10/25/2011 270,583
210,000 FORD MOTOR CR CO (FRN) 1.920% 08/17/2004 210,505
250,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.875% 06/15/2010 274,654
200,000 FORD MOTOR CR CO GBL LANDMARK NTS
7.375% 02/01/2011 213,865
5,000 FUND AMERICAN COS INC GTD SR NTS
5.875% 05/15/2013 5,029
405,000 GENERAL ELECTRIC CAP CORP 2.800% 01/15/2007 401,462
120,000 GENERAL ELECTRIC CAP CORP 5.450% 01/15/2013 122,864
25,000 GENERAL ELECTRIC CAP CORP MTN 6.500% 12/10/2007 27,480
255,000 GENERAL ELECTRIC CAP CORP MTN 5.875% 02/15/2012 270,646
170,000 GENERAL ELECTRIC CAP CORP MTN 6.000% 06/15/2012 181,268
25,000 GENERAL ELECTRIC CAP CORP MTN 6.750% 03/15/2032 26,915
200,000 GENERAL MTRS ACCEPT CORP 6.875% 09/15/2011 209,922
45,000 GENERAL MTRS ACCEPT CORP 8.000% 11/01/2031 47,494
500,000 GENERAL MTRS ACCEPT CORP (FRN) 2.042% 01/16/2007 497,382
510,000 GENERAL MTRS NOVA SCOTIA FINANCE CO
6.850% 10/15/2008 538,566
220,000 GOLDMAN SACHS GROUP INC 6.600% 01/15/2012 240,901
60,000 GOLDMAN SACHS GROUP INC 5.150% 01/15/2014 58,391
20,000 GOLDMAN SACHS GROUP INC 6.125% 02/15/2033 19,238
300,000 HELLER FINL INC NTS 8.000% 06/15/2005 319,818
225,000 HOUSEHOLD FINANCE CORP 6.400% 06/17/2008 245,648
185,000 HOUSEHOLD FINANCE CORP 6.500% 11/15/2008 203,184
60,000 HOUSEHOLD FINANCE CORP 8.000% 07/15/2010 70,633
5,000 HOUSEHOLD FINANCE CORP 6.375% 08/01/2010 5,443
200,000 HOUSEHOLD FINANCE CORP 6.750% 05/15/2011 221,435
135,000 HOUSEHOLD FINANCE CORP 6.375% 10/15/2011 146,474
105,000 HOUSEHOLD FINANCE CORP 7.000% 05/15/2012 117,640
115,000 HOUSEHOLD FINANCE CORP 6.375% 11/27/2012 123,836
110,000 HSBC BANK USA 4.625% 04/01/2014 103,980
80,000 HSBC CAPITAL FUNDING LP/JERSEY CHANNEL
ISLANDS 144A (VRN) 4.610% 12/29/2049* 73,739
25,000 JP MORGAN CHASE & CO 5.250% 05/30/2007 26,339
55,000 JP MORGAN CHASE & CO GBL SR NTS 3.625% 05/01/2008 54,526
75,000 JP MORGAN CHASE & CO NTS 5.350% 03/01/2007 79,314
40,000 JP MORGAN CHASE & CO SUB NTS 6.750% 02/01/2011 44,685
320,000 JP MORGAN CHASE & CO SUB NTS 6.625% 03/15/2012 352,238
100,000 LEHMAN BROS HLDG INC NTS 8.250% 06/15/2007 114,057
45,000 LEHMAN BROS HLDG INC NTS 4.000% 01/22/2008 45,426
25,000 LEHMAN BROS HLDG INC NTS 7.000% 02/01/2008 27,846
110,000 MERRILL LYNCH & CO MTN 3.375% 09/14/2007 110,134
100,000 MORGAN STANLEY 5.800% 04/01/2007 106,816
385,000 MORGAN STANLEY 3.875% 01/15/2009 379,405
275,000 MORGAN STANLEY 6.750% 04/15/2011 303,793
125,000 MORGAN STANLEY 5.300% 03/01/2013 124,931
50,000 OSPREY TRUST/OSPREY I 144A 7.797% 01/15/2049* @ 15,250
25,000 OSPREY TRUST/OSPREY I 144A 8.310% 01/15/2049* @ 7,625
20,000 PDVSA FINANCE LTD 8.500% 11/16/2012 18,400
140,000 PETROZUATA FINANCE INC 144A 8.220% 04/01/2017* 122,500
85,000 PROTECTIVE LIFE SECURED TRUST 3.700% 11/24/2008 83,953
200,000 PRUDENTIAL FDG LLC NTS 144A MTN 6.600% 05/15/2008* 218,915
120,000 QWEST CAPITAL FUNDING INC 7.900% 08/15/2010 102,600
350,000 SLM CORP 3.050% 04/01/2009 342,839
105,000 SLM CORP 5.000% 10/01/2013 102,741
185,000 SLM CORP 5.375% 05/15/2014 184,619
20,000 SLM CORP MTN 3.625% 03/17/2008 19,899
900,000 SOCIETE GENERALE NY CD (FRN) 1.030% 12/13/2004 900,028
25,000 SOVEREIGN BANCORP INC 10.500% 11/15/2006 29,160
170,000 SUMITOMO MITSUI BANK NY SUB NTS 8.000% 06/15/2012 200,544
35,000 SUN LIFE CANADA US CAPITAL 144A 8.526% 05/29/2049* 40,038
35,000 TEXACO CAPITAL 9.750% 03/15/2020 50,164
50,000 UBS PFD FUNDING TR GTD (VRN) 8.622% 10/29/2049 60,446
140,000 US BANCORP MTN 3.125% 03/15/2008 137,288
20,000 US BANCORP SR MTN 3.950% 08/23/2007 20,351
250,000 US BANK NTL ASSOCIATION 2.870% 02/01/2007 248,208
215,000 VERIZON GLOBAL FDG CORP 7.250% 12/01/2010 243,062
100,000 WELLS FARGO BANK NA (VRN) 7.800% 06/15/2010 $ 105,819
300,000 WELLS FARGO FINL INC 5.875% 08/15/2008 323,654
----------------
TOTAL BANKING & FINANCE $ 15,815,122
BASIC INDUSTRIES 0.54%
11,000 ABITIBI CONSOLIDATED INC 8.500% 08/01/2029 $ 10,794
50,000 ALCAN INC 6.125% 12/15/2033 49,091
73,000 ALLIED WASTE NORTH AMER INC 8.875% 04/01/2008 81,030
35,000 ALLIED WASTE NORTH AMER INC SR NT
7.875% 04/15/2013 37,625
38,000 AMERICAN STANDARD COS INC 7.375% 04/15/2005 39,567
10,000 AMERICAN STANDARD COS INC 8.250% 06/01/2009 11,500
7,000 BALL CORP SR NT 6.875% 12/15/2012 7,385
20,000 BRIGGS & STRATTON CORP 8.875% 03/15/2011 23,700
25,000 CROWN EURO HLDGS SA 9.500% 03/01/2011 28,031
75,000 DOW CHEMICAL CO 5.970% 01/15/2009 80,268
65,000 DOW CHEMICAL CO 7.375% 11/01/2029 72,036
13,000 FMC CORP SR SECD NT 10.250% 11/01/2009 15,340
9,000 GEORGIA PACIFIC CORP 8.875% 02/01/2010 10,395
17,000 GEORGIA PACIFIC CORP 9.500% 12/01/2011 20,485
1,000 GEORGIA PACIFIC CORP 8.875% 05/15/2031 1,120
70,000 GEORGIA PACIFIC CORP 144A 8.000% 01/15/2024* 73,500
7,000 GEORGIA PACIFIC CORP NT 7.700% 06/15/2015 7,647
10,000 IMC GLOBAL INC 10.875% 08/01/2013 12,275
26,000 IMC GLOBAL INC GTD 10.875% 06/01/2008 30,745
3,000 IMC GLOBAL INC GTD 11.250% 06/01/2011 3,480
35,000 INTERNATIONAL STEEL GROUP INC 144A
6.500% 04/15/2014* 33,600
11,000 LENNAR CORP SR NTS 9.950% 05/01/2010 12,416
32,000 MACDERMID INC 9.125% 07/15/2011 36,000
95,000 MEADWESTVACO CORP 6.850% 04/01/2012 103,079
31,000 SPX CORP SR NTS 7.500% 01/01/2013 32,782
35,000 SUNCOR ENERGY 5.950% 12/01/2034 34,076
10,000 WESTLAKE CHEMICAL CORP 8.750% 07/15/2011 10,975
10,000 WEYERHAEUSER CO 6.750% 03/15/2012 10,963
30,000 WEYERHAEUSER CO 7.125% 07/15/2023 31,764
----------------
TOTAL BASIC INDUSTRIES $ 921,669
CABLE & MEDIA 1.51%
10,000 AOL TIME WARNER INC 6.875% 05/01/2012 $ 10,933
295,000 AOL TIME WARNER INC 7.625% 04/15/2031 322,844
75,000 AOL TIME WARNER INC 7.700% 05/01/2032 82,873
35,000 AOL TIME WARNER INC GTD 6.125% 04/15/2006 37,118
26,000 BRITISH SKY BROADCASTING GROUP PLC GTD
6.875% 02/23/2009 28,750
105,000 CHARTER COMMUNICATIONS HLDGS LLC SR NTS
10.750% 10/01/2009 92,137
300,000 COMCAST CABLE COMMUNICATIONS CORP SR NTS
6.750% 01/30/2011 328,767
70,000 COMCAST CORP 8.375% 11/01/2005 75,823
75,000 COMCAST CORP NT 6.500% 01/15/2015 79,065
15,000 COX COMMUNICATIONS INC 7.125% 10/01/2012 16,611
50,000 COX COMMUNICATIONS INC 4.625% 06/01/2013 46,533
10,000 COX COMMUNICATIONS INC 5.500% 10/01/2015 9,735
52,000 CSC HLDGS INC 7.875% 02/15/2018 53,430
35,000 CSC HLDGS INC 144A 6.750% 04/15/2012* 34,737
20,000 DEX MEDIA FINANCE WEST 144A 8.500% 08/15/2010* 21,700
43,000 ECHOSTAR DBS CORP (FRN) 144A 4.360% 10/01/2008* 44,720
36,000 LAMAR MEDIA CORP SUB NT 7.250% 01/01/2013 38,700
300,000 LIBERTY MEDIA CORP (FRN) 2.610% 09/17/2006 305,245
20,000 LIBERTY MEDIA CORP CV 3.750% 02/15/2030 13,300
25,000 NEWS AMER HLDGS DEB 8.875% 04/26/2023 31,291
50,000 NEWS AMERICA INC 7.300% 04/30/2028 54,633
25,000 NEWS AMERICA INC 7.280% 06/30/2028 27,260
23,000 ROGERS CABLE INC 6.250% 06/15/2013 22,148
1,259 SHAW COMMUNICATIONS INC 8.250% 04/11/2010 1,414
20,000 SHAW COMMUNICATIONS INC SR NTS 7.250% 04/06/2011 21,408
18,000 SHAW COMMUNICATIONS INC SR NTS 7.200% 12/15/2011 19,268
15,000 SUN MEDIA CORP 7.625% 02/15/2013 15,975
55,000 TCI COMMUNICATIONS INC 7.875% 08/01/2013 63,471
105,000 TCI COMMUNICATIONS INC 7.875% 02/15/2026 119,303
45,000 TCI COMMUNICATIONS INC 7.125% 02/15/2028 47,363
</Table>
26
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
65,000 TIME WARNER COS INC 7.570% 02/01/2024 $ 70,741
60,000 TIME WARNER COS INC 6.950% 01/15/2028 61,458
130,000 TIME WARNER COS INC GTD 6.625% 05/15/2029 128,169
60,000 TIME WARNER ENTERTAINMENT CO LP SR SUB NTS
8.375% 07/15/2033 71,722
130,000 VIACOM INC 5.625% 08/15/2012 135,352
30,000 VIVENDI UNIVERSAL SA 6.250% 07/15/2008 31,312
25,000 WALT DISNEY CO 6.200% 06/20/2014 26,253
----------------
TOTAL CABLE & MEDIA $ 2,591,562
CONSUMER DURABLES 0.24%
30,000 EASTMAN KODAK CO 7.250% 11/15/2013 $ 31,211
285,000 GENERAL ELECTRIC CO 5.000% 02/01/2013 283,365
40,000 MGM MIRAGE 8.500% 09/15/2010 45,100
50,000 STATION CASINOS INC 144A 6.000% 04/01/2012* 49,625
----------------
TOTAL CONSUMER DURABLES $ 409,301
CONSUMER NON-DURABLES 1.32%
90,000 ALTRIA GROUP INC 7.000% 11/04/2013 $ 95,805
260,000 ALTRIA GROUP INC 7.750% 01/15/2027 277,218
320,000 ALTRIA GROUP INC (FRN) 1.870% 10/22/2004 320,855
43,000 CONSTELLATION BRANDS INC 8.000% 02/15/2008 47,300
50,000 DIAGEO CAPITAL PLC 3.500% 11/19/2007 50,030
45,000 DIAGEO CAPITAL PLC GBL NTS 3.375% 03/20/2008 44,376
55,000 GENERAL MILLS INC 5.125% 02/15/2007 57,706
70,000 GLAXOSMITHKLINE CAPITAL INC 4.375% 04/15/2014 66,286
120,000 KRAFT FOODS INC 5.625% 11/01/2011 123,979
250,000 NABISCO INC DEBS 7.550% 06/15/2015 291,712
250,000 PROCTER & GAMBLE CO DEB 8.500% 08/10/2009 301,593
10,000 REYNOLDS RJ TOBACCO HLDGS INC 7.250% 06/01/2012 10,025
200,000 REYNOLDS RJ TOBACCO HLDGS INC GTD SER B
7.750% 05/15/2006 212,500
100,000 SARA LEE CORP 6.250% 09/15/2011 109,477
33,000 SMITHFIELD FOODS INC SR NTS 8.000% 10/15/2009 36,382
125,000 UNILEVER CAP CORP GTD 7.125% 11/01/2010 143,045
80,000 WYETH 6.500% 02/01/2034 79,563
----------------
TOTAL CONSUMER NON-DURABLES $ 2,267,852
CONSUMER SERVICES 0.50%
24,000 AVIS GROUP HLDGS INC 11.000% 05/01/2009 $ 25,320
26,000 HARRAHS OPER CO INC GTD 7.875% 12/15/2005 27,852
24,000 JC PENNEY CORP INC 8.000% 03/01/2010 27,360
10,000 MOHEGAN TRIBAL GAMING AUTHORITY SR NTS
8.125% 01/01/2006 10,650
40,000 MOHEGAN TRIBAL GAMING AUTHORITY SR SUB NTS
8.375% 07/01/2011 43,600
25,000 NORAMPAC INC 6.750% 06/01/2013 26,000
5,000 PARK PLACE ENTERTAINMENT CORP SR NT
7.000% 04/15/2013 5,250
23,000 PARK PLACE ENTERTAINMENT CORP SR SUB NTS
9.375% 02/15/2007 25,415
8,000 RYLAND GROUP INC NT 8.000% 08/15/2006 8,740
140,000 TARGET CORP 5.875% 03/01/2012 149,104
5,000 TRICON GLOBAL RESTAURANTS INC SR NTS
8.500% 04/15/2006 5,519
110,000 WASTE MANAGEMENT INC 6.375% 11/15/2012 118,105
135,000 WASTE MANAGEMENT INC GTD 7.375% 05/15/2029 148,434
120,000 WASTE MANAGEMENT INC SR NTS 7.375% 08/01/2010 136,420
100,000 WASTE MANAGEMENT INC SR NTS 7.125% 12/15/2017 108,893
----------------
TOTAL CONSUMER SERVICES $ 866,662
ENERGY 2.55%
65,000 AMERADA HESS CORP SR NTS 7.125% 03/15/2033 $ 65,031
40,000 ANADARKO PETROLEUM CORP 5.375% 03/01/2007 42,247
17,000 CHESAPEAKE ENERGY CORP SR NTS 9.000% 08/15/2012 19,423
80,000 CHEVRONTEXACO CAPITAL CO 3.500% 09/17/2007 80,711
260,000 CONOCO FDG CO 6.350% 10/15/2011 286,731
70,000 CONOCO FDG CO 7.250% 10/15/2031 80,142
120,000 CONOCO INC SR NTS 6.950% 04/15/2029 131,995
180,000 CONOCOPHILLIPS CO 8.750% 05/25/2010 219,984
80,000 CONOCOPHILLIPS CO 4.750% 10/15/2012 79,122
60,000 CONOCOPHILLIPS CO 7.000% 03/30/2029 66,207
90,000 CONSOLIDATED NATURAL GAS CO 5.375% 11/01/2006 $ 94,528
50,000 CONSOLIDATED NATURAL GAS CO 5.000% 03/01/2014 48,483
260,000 DEVON ENERGY CORP 7.950% 04/15/2032 302,272
245,000 DYNEGY HLDGS INC SR NT 8.750% 02/15/2012 229,688
90,000 ENCANA CORP 4.750% 10/15/2013 86,479
20,000 EXELON CORP 6.750% 05/01/2011 22,079
190,000 FIRSTENERGY CORP SER A 5.500% 11/15/2006 198,253
70,000 FIRSTENERGY CORP SER B 6.450% 11/15/2011 73,696
430,000 FIRSTENERGY CORP SER C 7.375% 11/15/2031 451,617
50,000 GAZ CAPITAL FOR GAZPROM 144A 8.625% 04/28/2034* 48,250
40,000 HANOVER EQUIPMENT TRUST 8.750% 09/01/2011 43,000
15,000 MIDWEST GENERATION LLC 8.560% 01/02/2016 15,375
100,000 MIDWEST GENERATION LLC 144A 8.750% 05/01/2034* 99,500
40,000 NRG ENERGY INC 144A 8.000% 12/15/2013* 40,300
25,000 OCCIDENTAL PETROLEUM 8.450% 02/15/2029 32,032
30,000 ONCOR ELECTRIC DELIVERY 6.375% 01/15/2015 32,045
20,000 PARKER & PARSLEY PETROLEUM SR NTS 8.250% 08/15/2007 22,710
10,000 PEABODY ENERGY CORP 5.875% 04/15/2016 9,300
45,000 PEABODY ENERGY CORP SER B 6.875% 03/15/2013 46,800
7,000 PIONEER NATURAL RESOURCE CO GTD 9.625% 04/01/2010 8,673
450,000 PROGRESS ENERGY INC NTS NCL 7.100% 03/01/2011 501,512
50,000 TXU ENERGY CO 7.000% 03/15/2013 55,270
31,000 VINTAGE PETROLEUM INC SR NTS 8.250% 05/01/2012 33,945
27,000 WESTERN OIL SANDS INC 8.375% 05/01/2012 30,578
11,000 WESTPORT RESOURCES CORP SUB NT 8.250% 11/01/2011 12,348
20,000 WILLIAMS COS INC 7.125% 09/01/2011 20,900
30,000 WILLIAMS COS INC 8.125% 03/15/2012 32,625
25,000 WILLIAMS COS INC 7.625% 07/15/2019 24,375
58,000 WILLIAMS COS INC 7.500% 01/15/2031 54,230
380,000 WILLIAMS COS INC 8.750% 03/15/2032 387,600
130,000 XTO ENERGY INC 4.900% 02/01/2014 124,924
57,000 XTO ENERGY INC SR NT 6.250% 04/15/2013 60,732
51,000 XTO ENERGY INC SR NTS 7.500% 04/15/2012 58,580
----------------
TOTAL ENERGY $ 4,374,292
FINANCIAL SERVICES 0.81%
30,000 PACIFIC LIFE CORP 144A 6.600% 09/15/2033* $ 31,246
165,000 WACHOVIA CORP 3.625% 02/17/2009 161,758
55,000 WESTPAC CAPITAL TRUST 144A 5.819% 12/31/2049* 55,667
950,000 WILLIAMS COS INC CREDIT LINKED CERTIFICATE
TRUST/THE 144A 6.750% 04/15/2009* 940,500
195,000 WILLIAMS COS INC CREDIT LINKED CERTIFICATE
TRUST/THE 144A (FRN) 4.420% 05/01/2009* ~ 195,000
----------------
TOTAL FINANCIAL SERVICES $ 1,384,171
FORESTRY AND PAPER 0.05%
52,000 CASCADES INC SR NTS 7.250% 02/15/2013 $ 54,210
35,000 INTERNATIONAL PAPER CO 5.500% 01/15/2014 34,684
----------------
TOTAL FORESTRY AND PAPER $ 88,894
HEALTH CARE 0.69%
305,000 BRISTOL-MYERS SQUIBB CO 5.750% 10/01/2011 $ 321,884
20,000 FRESENIUS MED CAP TR II 7.875% 02/01/2008 21,725
60,000 FRESENIUS MED CAP TR IV GTD 7.875% 06/15/2011 65,700
20,000 HCA INC 6.910% 06/15/2005 20,813
60,000 HCA INC 7.125% 06/01/2006 63,798
45,000 HCA INC 7.250% 05/20/2008 48,255
200,000 HCA INC 5.750% 03/15/2014 190,718
72,000 MANOR CARE INC SR NTS 7.500% 06/15/2006 77,940
26,000 OMNICARE INC 8.125% 03/15/2011 28,600
75,000 TENET HEALTHCARE CORP 6.375% 12/01/2011 65,438
309,000 TENET HEALTHCARE CORP 7.375% 02/01/2013 279,645
----------------
TOTAL HEALTH CARE $ 1,184,516
INDUSTRIALS 1.58%
15,000 AGCO CORP 9.500% 05/01/2008 $ 16,425
35,000 BE AEROSPACE INC 8.500% 10/01/2010 37,975
30,000 DAIMLER CHRYSLER AG 7.450% 03/01/2027 31,035
380,000 DAIMLER CHRYSLER NORTH AMER GTD HLDG CORP
4.050% 06/04/2008 373,262
20,000 DR HORTON INC 10.500% 04/01/2005 21,250
20,000 DR HORTON INC 7.875% 08/15/2011 22,300
</Table>
27
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
5,000 DRESSER INC 9.375% 04/15/2011 $ 5,400
3,000 LEAR CORP 7.960% 05/15/2005 3,158
8,000 LEAR CORP SER B 8.110% 05/15/2009 9,190
190,000 LOCKHEED MARTIN CORP 8.500% 12/01/2029 240,449
45,000 LOCKHEED MARTIN CORP 7.200% 05/01/2036 52,218
20,000 NALCO CO 144A 7.750% 11/15/2011* 21,050
40,000 NORTHROP GRUMMAN CORP 7.750% 02/15/2031 46,846
5,000 RAYTHEON CO 6.000% 12/15/2010 5,379
60,000 RAYTHEON CO 4.850% 01/15/2011 59,737
5,000 RAYTHEON CO 5.500% 11/15/2012 5,066
25,000 RAYTHEON CO NTS 5.375% 04/01/2013 25,064
23,000 SCHULER HOMES GTD 9.375% 07/15/2009 25,415
355,210 SYSTEMS 2001 ASSET TRUST CL G 144A
6.664% 09/15/2013* 387,523
40,000 TEEKAY SHIPPING CORP 8.875% 07/15/2011 46,000
10,000 TYCO INTL GROUP SA 5.875% 11/01/2004 10,197
30,000 TYCO INTL GROUP SA 6.125% 11/01/2008 31,675
10,000 TYCO INTL GROUP SA 6.125% 01/15/2009 10,554
10,000 TYCO INTL GROUP SA 6.750% 02/15/2011 10,784
320,000 TYCO INTL GROUP SA 6.375% 10/15/2011 336,965
306,000 TYCO INTL GROUP SA 7.000% 06/15/2028 312,077
554,000 TYCO INTL GROUP SA 6.875% 01/15/2029 558,862
----------------
TOTAL INDUSTRIALS $ 2,705,856
REAL ESTATE (PUBLICLY TRADED) 0.15%
75,000 CAMDEN PROPERTY TRUST 5.375% 12/15/2013 $ 74,033
65,000 EOP OPERATING LP 4.750% 03/15/2014 60,622
75,000 EOP OPERATING LP NTS 7.750% 11/15/2007 84,897
23,000 HMH PPTYS INC SR NTS SER B 7.875% 08/01/2008 23,748
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
8.750% 05/01/2009 11,200
10,000 VENTAS REALTY LP/VENTAS CAPITAL CORP
9.000% 05/01/2012 11,300
----------------
TOTAL REAL ESTATE (PUBLICLY TRADED) $ 265,800
TECHNOLOGY 0.31%
120,000 ELECTRONIC DATA SYS CORP 6.000% 08/01/2013 $ 111,527
270,000 ELECTRONIC DATA SYS CORP NTS 7.125% 10/15/2009 277,446
150,000 US WEST COMMUNICATIONS INC NT 5.625% 11/15/2008 145,500
----------------
TOTAL TECHNOLOGY $ 534,473
TELECOMMUNICATIONS 0.97%
35,000 AT&T BROADBAND CORP NTS 8.375% 03/15/2013 $ 41,759
35,000 AT&T WIRELESS SVCS INC 8.125% 05/01/2012 40,823
50,000 BRITISH TELECOM PLC BDS
8.625% 12/15/2030+ 63,251
50,000 CINCINNATI BELL INC 7.250% 07/15/2013 48,500
75,000 DEUTSCHE TELEKOM INTL 8.250% 06/15/2005+ 79,835
20,000 DEUTSCHE TELEKOM INTL 8.500% 06/15/2010+ 23,632
130,000 DEUTSCHE TELEKOM INTL 8.750% 06/15/2030+ 161,471
155,000 DEUTSCHE TELEKOM INTL FINANCE BV GBL NT
5.250% 07/22/2013 153,860
10,000 INTELSAT LTD 6.500% 11/01/2013 9,171
31,000 L-3 COMMUNICATIONS CORP SR SUB NTS
7.625% 06/15/2012 33,403
24,000 MCI INC 5.908% 05/01/2007 23,730
24,000 MCI INC 6.688% 05/01/2009 22,800
21,000 MCI INC 7.735% 05/01/2014 19,478
- MCI INC TRADE CLAIMS -
10,000 NEW JERSEY BELL TELEPHONE NT 7.850% 11/15/2029 11,557
25,000 PANAMSAT CORP SR NTS 8.500% 02/01/2012 28,250
60,000 QWEST COMMUNICATIONS INTERNATIONAL 144A (FRN)
4.630% 02/15/2009* 55,500
30,000 ROGERS WIRELESS COMMUNICATIONS INC 144A
6.375% 03/01/2014* 28,200
15,000 SBC COMMUNICATIONS INC 5.875% 08/15/2012 15,651
85,000 TELECOM ITALIA CAPITAL 144A 5.250% 11/15/2013* 83,804
380,000 VERIZON NEW JERSEY INC 5.875% 01/17/2012 397,273
75,000 VERIZON PENNSYLVANIA INC SER A 5.650% 11/15/2011 77,499
95,000 VODAFONE GROUP PLC 7.750% 02/15/2010 110,012
75,000 VODAFONE GROUP PLC 5.000% 12/16/2013 73,478
55,000 VODAFONE GROUP PLC 6.250% 11/30/2032 54,982
----------------
TOTAL TELECOMMUNICATIONS $ 1,657,919
TRANSPORTATION 0.39%
150,000 BURLINGTON NORTH SANTA FE CORP NTS
6.375% 12/15/2005 $ 159,122
40,000 CANADIAN NATIONAL RAILWAY CO 6.900% 07/15/2028 43,576
50,000 CANADIAN NATIONAL RAILWAY CO NT 4.400% 03/15/2013 47,250
68,405 DELTA AIR LINES INC 6.619% 03/18/2011 66,865
177,508 DELTA AIR LINES INC 6.718% 01/02/2023 183,162
23,000 KANSAS CITY SOUTHERN RAILWAY GTD
9.500% 10/01/2008 25,473
75,000 NORFOLK SOUTHERN CORP SR NTS 6.200% 04/15/2009 81,287
30,000 OMI CORP 7.625% 12/01/2013 31,050
40,000 OVERSEAS SHIPHOLDING GROUP 7.500% 02/15/2024 39,400
----------------
TOTAL TRANSPORTATION $ 677,185
UTILITIES 1.45%
12,000 AES CORP 8.750% 06/15/2008 $ 12,480
29,000 AES CORP 9.375% 09/15/2010 31,175
15,000 AES CORP 8.875% 02/15/2011 15,750
242,000 AES CORP 144A 8.750% 05/15/2013* 263,175
27,000 AES CORP 144A 9.000% 05/15/2015* 29,430
18,720 AES CORP NT 144A 10.000% 07/15/2005* 19,188
86,000 AES CORP SR NTS 9.500% 06/01/2009 92,020
47,000 CALPINE CORP 8.500% 02/15/2011 32,900
40,000 CALPINE CORP 144A 8.500% 07/15/2010* 35,400
80,000 CALPINE CORP SR NTS 8.250% 08/15/2005 74,800
80,000 CLEVELAND ELECTRIC ILLUMINATING CO/THE 144A
5.650% 12/15/2013* 78,940
110,000 DETROIT EDISON CO 6.125% 10/01/2010 118,314
40,000 DOMINION RESOURCES CAPITAL TRUST III
8.400% 01/15/2031 47,201
20,000 DOMINION RESOURCES INC 4.125% 02/15/2008 20,111
80,000 DOMINION RESOURCES INC 5.700% 09/17/2012 82,620
90,000 DOMINION RESOURCES INC SER D SR NTS
5.125% 12/15/2009 92,255
80,000 DUKE ENERGY CORP SR NTS 5.625% 11/30/2012 81,049
50,000 EL PASO CORP CV 0.000% 02/28/2021 23,313
430,000 EL PASO CORP MTN 7.800% 08/01/2031 335,400
160,000 EL PASO CORP MTN 7.750% 01/15/2032 124,800
140,000 EL PASO NATURAL GAS 8.375% 06/15/2032 139,300
13,000 GULFTERRA ENERGY PARTNER NT 10.625% 12/01/2012 15,990
130,000 HYDRO-QUEBEC GTD 6.300% 05/11/2011 143,419
15,000 NATIONAL WATERWORKS INC SR SUB NT
10.500% 12/01/2012 16,875
125,000 OHIO EDISON CO 5.450% 05/01/2015 120,488
67,000 ORION POWER HLDGS INC SR NTS 12.000% 05/01/2010 82,410
140,000 PACIFIC GAS & ELECTRIC CO 6.050% 03/01/2034 132,398
100,000 PACIFIC GAS & ELECTRIC CO (FRN) 1.810% 04/03/2006 100,039
50,000 SONAT INC 7.625% 07/15/2011 43,250
50,000 SOUTHERN NATURAL GAS CO 8.875% 03/15/2010 55,250
30,000 SOUTHERN NATURAL GAS CO 8.000% 03/01/2032 30,000
----------------
TOTAL UTILITIES $ 2,489,740
----------------
TOTAL CORPORATE DEBT (COST $37,385,545) $ 38,235,014
FOREIGN DEBT 10.01%
300,000 AID ISRAEL 5.500% 09/18/2023 $ 297,790
EUR 250,000 BUNDESOBLIGATION 3.500% 10/10/2008 301,920
EUR 2,200,000 BUNDESOBLIGATION 3.250% 04/17/2009 2,614,702
EUR 1,448,000 DEUTSCHLAND REPUBLIC 3.750% 01/04/2009 1,764,344
EUR 2,609,000 DEUTSCHLAND REPUBLIC 5.000% 01/04/2012 3,337,084
EUR 750,000 DEUTSCHLAND REPUBLIC 4.250% 01/04/2014 902,299
EUR 284,000 DEUTSCHLAND REPUBLIC 5.500% 01/04/2031 369,485
75,000 EXPORT-IMPORT BANK OF KOREA 144A
5.250% 02/10/2014* 73,722
280,000 FED REPUBLIC OF BRAZIL 14.500% 10/15/2009 328,300
185,000 FED REPUBLIC OF BRAZIL 12.000% 04/15/2010 197,950
258,010 FED REPUBLIC OF BRAZIL 8.000% 04/15/2014 236,853
135,000 FED REPUBLIC OF BRAZIL 11.000% 08/17/2040 125,550
244,707 FED REPUBLIC OF BRAZIL (FRN) 2.125% 04/15/2012 203,107
70,366 FED REPUBLIC OF BRAZIL C BD 8.000% 04/15/2014 64,596
1,214,476 MEXICO GOVERNMENT INTERNATIONAL BOND
7.500% 04/08/2033 1,202,331
</Table>
28
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<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
50,000 PANAMA GOVERNMENT INTERNATIONAL BOND
9.375% 01/16/2023 $ 52,375
209,300 PERU PDI (VRN) 5.000% 03/07/2017 183,661
65,000 PROVINCE OF QUEBEC 7.380% 04/09/2026 77,630
25,000 QUEBEC PROV NTS MTN (STEP BOND) 7.365% 03/06/2026 29,870
285,000 REPUBLIC OF BULGARIA 144A 8.250% 01/15/2015* 327,037
70,000 REPUBLIC OF COLOMBIA 10.500% 07/09/2010 77,000
110,910 REPUBLIC OF COLOMBIA 9.750% 04/09/2011 122,001
105,000 REPUBLIC OF COLOMBIA 11.750% 02/25/2020 123,375
10,000 REPUBLIC OF PANAMA 9.375% 07/23/2012 11,300
127,000 REPUBLIC OF PANAMA 10.750% 05/15/2020 151,765
11,454 REPUBLIC OF PANAMA - PDI 2.000% 07/17/2016 9,965
20,000 REPUBLIC OF PERU 9.125% 02/21/2012 21,000
20,000 REPUBLIC OF PERU 9.875% 02/06/2015 21,500
40,000 REPUBLIC OF PERU 8.750% 11/21/2033 35,600
30,000 REPUBLIC OF PHILIPPINES 9.875% 01/15/2019 30,615
55,000 REPUBLIC OF PHILIPPINES GBL BDS 9.875% 01/15/2019 56,512
20,000 RUSSIAN FEDERATION 8.250% 03/31/2010 21,650
730,000 RUSSIAN FEDERATION (STEP BOND) 144A
5.000% 03/31/2030* 669,410
EUR 385,000 SPANISH GOVERNMENT 6.000% 01/31/2008 505,363
SEK 2,565,000 SWEDEN (KINGDOM OF) BDS 8.000% 08/15/2007 382,313
SEK 3,075,000 SWEDEN (KINGDOM OF) BDS 5.000% 01/28/2009 421,515
100,000 SWEDISH EXPORT CREDIT 2.875% 01/26/2007 99,266
GBP 550,000 UNITED KINGDOM GILT 5.000% 03/07/2008 981,195
50,000 UNITED MEXICAN STATES 4.625% 10/08/2008 49,750
300,000 UNITED MEXICAN STATES 8.375% 01/14/2011 345,000
30,000 UNITED MEXICAN STATES 6.625% 03/03/2015 30,225
250,000 UNITED MEXICAN STATES 8.125% 12/30/2019 271,875
60,000 UNITED MEXICAN STATES (MTN) 8.000% 09/24/2022 63,300
----------------
TOTAL FOREIGN DEBT (COST $16,674,369) $ 17,192,101
U.S. GOVERNMENT AND AGENCIES 67.89%
FHLMC POOLS 4.81%
39,151 FHLMC GOLD POOL #A12429 5.500% 08/01/2033 $ 39,125
220,637 FHLMC GOLD POOL #A12699 5.000% 08/01/2033 214,077
99,052 FHLMC GOLD POOL #A19610 5.500% 03/01/2034 98,983
99,534 FHLMC GOLD POOL #A19810 5.500% 03/01/2034 99,464
99,896 FHLMC GOLD POOL #A19836 5.500% 03/01/2034 99,825
2,492,097 FHLMC GOLD POOL #B10632 5.500% 11/01/2018 2,559,262
36,755 FHLMC GOLD POOL #C01623 5.500% 09/01/2033 36,731
48,349 FHLMC GOLD POOL #C90213 7.000% 04/01/2018 51,227
71,826 FHLMC GOLD POOL #E00535 6.000% 02/01/2013 75,223
39,443 FHLMC GOLD POOL #E01095 6.000% 01/01/2017 41,210
163,062 FHLMC GOLD POOL #E01184 6.000% 08/01/2017 170,344
76,375 FHLMC GOLD POOL #E90471 5.500% 07/01/2017 78,424
173,902 FHLMC GOLD POOL #E91323 6.000% 09/01/2017 181,668
371,534 FHLMC GOLD POOL #G01391 7.000% 04/01/2032 392,361
157,770 FHLMC GOLD POOL #G11149 6.500% 07/01/2011 167,747
200,000 FHLMC GOLD TBA 4.000% 05/01/2019 192,312
900,000 FHLMC GOLD TBA 5.000% 05/01/2034 872,437
1,000,000 FHLMC GOLD TBA 6.000% 05/01/2034 1,022,812
1,800,000 FHLMC TBA 6.500% 05/01/2034 1,874,250
----------------
TOTAL FHLMC POOLS $ 8,267,482
FNMA POOLS 12.91%
17,311 FNMA POOL #190000 6.000% 09/01/2008 $ 18,175
19,248 FNMA POOL #190040 6.000% 09/01/2008 20,209
189,821 FNMA POOL #252345 6.000% 03/01/2014 198,536
996,136 FNMA POOL #255176 4.500% 04/01/2019 981,683
75,046 FNMA POOL #323120 6.000% 10/01/2011 78,573
120,740 FNMA POOL #323842 5.500% 07/01/2014 124,580
219,371 FNMA POOL #512117 7.500% 12/01/2029 234,855
169,837 FNMA POOL #555144 7.000% 10/01/2032 179,536
1,918,377 FNMA POOL #555291 5.500% 12/01/2017 1,970,404
852,019 FNMA POOL #555417 6.000% 05/01/2033 871,796
265,131 FNMA POOL #555720 6.500% 06/01/2015 281,406
22,594 FNMA POOL #568053 6.500% 05/01/2016 23,938
6,156 FNMA POOL #569336 7.500% 01/01/2031 6,585
19,746 FNMA POOL #583203 6.500% 05/01/2031 20,554
838,873 FNMA POOL #616639 7.500% 02/01/2032 897,316
12,621 FNMA POOL #631415 6.500% 02/01/2032 13,139
29,317 FNMA POOL #641482 6.500% 07/01/2032 30,520
35,641 FNMA POOL #668339 5.500% 11/01/2017 $ 36,608
411,155 FNMA POOL #670370 5.500% 09/01/2017 422,306
500,328 FNMA POOL #681343 5.500% 02/01/2018 513,791
1,676,930 FNMA POOL #725232 5.000% 03/01/2034 1,625,919
98,006 FNMA POOL #744728 4.000% 10/01/2018 94,398
497,912 FNMA POOL #757530 4.500% 03/01/2019 490,688
400,040 FNMA POOL #770082 4.500% 03/01/2019 394,236
99,888 FNMA POOL #770124 5.000% 02/01/2034 96,853
400,000 FNMA POOL #777336 4.500% 04/01/2019 394,196
2,100,000 FNMA TBA 4.500% 05/01/2019 2,066,530
2,900,000 FNMA TBA 5.000% 05/01/2019 2,916,312
1,000,000 FNMA TBA 5.500% 05/01/2019 1,025,938
500,000 FNMA TBA 6.000% 05/01/2019 521,406
2,100,000 FNMA TBA 5.000% 05/01/2034 2,034,375
3,600,000 FNMA TBA 5.500% 05/01/2034 3,591,000
----------------
TOTAL FNMA POOLS $ 22,176,361
GNMA POOLS 18.01%
203,382 GNMA POOL #493555 6.500% 04/15/2031 $ 212,494
116,075 GNMA POOL #563599 7.000% 06/15/2032 123,397
86,617 GNMA POOL #612927 5.500% 07/15/2033 86,728
146,735 GNMA POOL #780914 6.000% 11/15/2028 150,742
193,241 GNMA POOL #781276 6.500% 04/15/2031 201,994
82,203 GNMA POOL #781328 7.000% 09/15/2031 87,456
2,851,215 GNMA POOL #781340 6.500% 10/15/2031 2,979,127
3,500,000 GNMA TBA 5.000% 05/01/2034 3,400,467
6,300,000 GNMA TBA 5.500% 05/01/2034 6,300,000
10,460,000 GNMA TBA 6.000% 05/01/2034 10,721,500
6,370,000 GNMA TBA 6.500% 05/01/2034 6,652,669
----------------
TOTAL GNMA POOLS $ 30,916,574
OTHER U.S. AGENCIES 16.02%
100,000 FHLB 432 4.500% 09/16/2013 $ 96,748
7,300,000 FHLB DISC NT 0.540% 05/03/2004^ 7,299,676
1,195,000 FHLB DISC NT 0.869% 05/07/2004^ 1,194,801
5,070,000 FHLB DISC NT 0.925% 05/12/2004^ 5,068,459
2,835,000 FHLB DISC NT 0.913% 05/19/2004^ 2,833,653
1,215,000 FHLB DISC NT 0.917% 05/21/2004^ 1,214,359
1,285,000 FHLB DISC NT 0.927% 05/26/2004^ 1,284,152
40,000 FHLMC 3.375% 04/15/2009 38,827
400,000 FHLMC 4.750% 12/08/2010 398,620
1,520,000 FHLMC 4.500% 12/16/2010 1,494,912
255,000 FHLMC 4.125% 02/24/2011 246,470
275,000 FHLMC MTN 3.500% 04/01/2008 271,720
30,000 FHLMC MTN 3.875% 11/10/2008 30,029
125,000 FHLMC NTS 7.000% 03/15/2010 142,506
220,000 FICO STRIP CPN-3 DEB 0.000% 11/30/2017 102,783
85,000 FNMA 1.750% 06/16/2006 83,432
290,000 FNMA 5.750% 02/15/2008 312,199
805,000 FNMA 7.125% 06/15/2010 925,020
1,900,000 FNMA 6.125% 03/15/2012 2,069,070
320,000 FNMA 4.750% 02/21/2013 310,878
970,000 FNMA DEBS 6.000% 05/15/2008 1,053,141
452,000 FNMA DISC NT 1.084% 09/08/2004++^ 450,248
100,000 RESOLUTION FDG CORP FED STRIPS 0.000% 07/15/2018 45,583
100,000 RESOLUTION FDG CORP FED STRIPS 0.000% 10/15/2018 44,768
190,730 SMALL BUSINESS ADMINISTRATION 5.199% 08/01/2012 192,174
325,000 SMALL BUSINESS ADMINISTRATION 4.504% 02/10/2014 308,514
----------------
TOTAL OTHER U.S. AGENCIES $ 27,512,742
U.S. TREASURIES 16.14%
335,000 U.S. TREASURY BDS 10.375% 11/15/2012 $ 415,309
810,000 U.S. TREASURY BDS 8.125% 08/15/2019 1,068,124
265,000 U.S. TREASURY BDS 8.500% 02/15/2020 361,031
415,000 U.S. TREASURY BDS 6.000% 02/15/2026 448,783
1,005,000 U.S. TREASURY BDS 6.750% 08/15/2026 1,185,626
2,085,000 U.S. TREASURY BDS 5.375% 02/15/2031 2,112,366
304,086 U.S. TREASURY INFLATION-INDEXED BD 1.875% 07/15/2013 299,881
1,220,081 U.S. TREASURY INFLATION-INDEXED BD 3.625% 04/15/2028 1,456,282
3,102,913 U.S. TREASURY INFLATION-INDEXED BD 3.875% 04/15/2029 3,868,945
113,516 U.S. TREASURY INFLATION-INDEXED NT 3.875% 01/15/2009 127,302
1,895,000 U.S. TREASURY NTS 1.500% 03/31/2006 1,868,574
</Table>
29
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
1,270,000 U.S. TREASURY NTS 2.250% 04/30/2006 $ 1,268,512
190,000 U.S. TREASURY NTS 3.250% 08/15/2008 188,827
870,000 U.S. TREASURY NTS 3.375% 11/15/2008 865,140
440,000 U.S. TREASURY NTS 2.625% 03/15/2009 421,076
5,545,000 U.S. TREASURY NTS 3.125% 04/15/2009 5,423,054
80,000 U.S. TREASURY NTS 5.750% 08/15/2010 87,931
680,000 U.S. TREASURY NTS 4.000% 11/15/2012 662,309
25,000 U.S. TREASURY NTS 4.250% 08/15/2013 24,582
4,470,000 U.S. TREASURY NTS 4.000% 02/15/2014 4,293,994
3,140,000 U.S. TREASURY STRIP PO 11/15/2021 1,184,154
190,000 U.S. TREASURY STRIP PO 08/15/2027 50,991
90,000 U.S. TREASURY STRIP PO 11/15/2027 23,869
----------------
TOTAL U.S. TREASURIES $ 27,706,662
----------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $117,245,350) $ 116,579,821
STATE AND MUNICIPAL OBLIGATIONS 0.06%
100,000 CALIFORNIA STATE DEPARTMENT OF WATER RESOURCES
3.975% 05/01/2005 $ 101,855
----------------
TOTAL STATE AND MUNICIPAL OBLIGATIONS (COST $99,995) $ 101,855
PURCHASED OPTION CONTRACTS 0.00%
11,000 U.S. TREASURY 10YR NOTE FUT EXP 5/21/04
CALL 119 05/21/2004 $ 172
----------------
TOTAL PURCHASED OPTION CONTRACTS (COST $3,664) $ 172
----------------
TOTAL INVESTMENTS AT VALUE 111.71% (COST $191,376,501) 191,822,532
----------------
LIABILITIES IN EXCESS OF OTHER ASSETS (11.71%) (20,113,953)
----------------
NET ASSETS 100.00% $ 171,708,579
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NOTIONAL PREMIUM
TYPE OF CONTRACT AMOUNT RECEIVED VALUE
- ------------------------------------------------------------------------------------------------------
FNMA 30YR 5.0% EXP 5/6/04 CALL 99.5781~ $ 600,000 $ 4,453 $ 4,453
US 10YR NOTE FUT JUN EXP 5/21/04 PUT 108 900,000 8,111 1,828
US 10YR NOTE FUT JUN EXP 5/21/04 PUT 112 1,000,000 9,816 18,437
US 10YR NOTE FUT JUN EXP 5/21/04 PUT 113 600,000 4,189 15,938
US 10YR NOTE FUT SEP EXP 08/27/04 CALL 109 1,200,000 16,815 24,375
US 10YR NOTE FUT SEP EXP 08/27/04 CALL 114 1,600,000 21,170 6,750
US 10YR NOTE FUT SEP EXP 08/27/04 CALL 115 2,000,000 18,150 5,938
US 10YR NOTE FUT SEP EXP 08/27/04 CALL 116 1,200,000 9,315 2,250
US 10YR NOTE FUT SEP EXP 08/27/04 CALL 117 3,200,000 27,840 4,000
US 10YR NOTE FUT SEP EXP 08/27/04 PUT 107 1,600,000 14,920 20,250
US 10YR NOTE FUT SEP EXP 08/27/04 PUT 111 1,600,000 20,420 50,000
US LONG BOND (CBT) FUT JUN EXP 5/21/04 PUT 105 1,300,000 15,779 6,906
US LONG BOND (CBT) FUT SEP EXP 8/27/04 CALL 110 4,800,000 67,088 54,750
US LONG BOND (CBT) FUT SEP EXP 8/27/04 CALL 114 1,500,000 13,425 5,859
US LONG BOND (CBT) FUT SEP EXP 8/27/04 PUT 107 2,000,000 21,963 70,313
US LONG BOND (CBT) FUT SEP EXP 8/27/04 PUT 108 300,000 7,158 12,281
- ------------------------------------------------------------------------------------------------------
TOTAL $ 280,612 $ 304,328
</Table>
FORWARD AND SPOT CONTRACTS
<Table>
<Caption>
DELIVER/RECEIVE COST ON NET UNREALIZED
SETTLEMENT IN EXCHANGE UNITS OF ORIGINATION APPRECIATION
DATE FOR USD CURRENCY DATE VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------
Buys
5/11/04 EUR 10,382,080 $ 12,482,015 $ 12,443,151 $ (38,864)
7/22/04 SEK 153,000 19,730 19,984 254
7/23/04 EUR 3,875,475 4,614,705 4,636,056 21,351
7/28/04 CAD 657,053 480,391 476,726 (3,665)
8/10/04 EUR 2,059,327 2,448,539 2,462,552 14,013
- ------------------------------------------------------------------------------------------------------
TOTAL $ (6,911)
Sales
5/04/04 CAD 324,053 $ 236,637 $ 235,625 $ 1,012
5/11/04 EUR 10,382,080 12,839,013 12,443,151 395,862
7/21/04 GBP 568,323 1,012,354 1,000,939 11,415
7/22/04 SEK 5,978,233 784,475 780,853 3,622
7/23/04 EUR 5,166,252 6,142,674 6,180,156 (37,482)
7/28/04 CAD 657,053 485,772 476,726 9,046
8/10/04 EUR 8,322,754 9,870,755 9,952,387 (81,632)
- ------------------------------------------------------------------------------------------------------
TOTAL $ 301,843
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
EXPIRATION NUMBER OF ORIGINAL APPRECIATION
TYPE OF CONTRACT DATE POSITION CONTRACTS VALUE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
90 DAY L LIBOR FUT
JUN 04 06/2004 LONG 18 $ 3,851,580 $ 3,808,890 $ (42,690)
90 DAY EURO FUT
MAR 05 03/2005 LONG 55 13,400,438 13,382,188 (18,250)
90 DAY EURO FUT
SEP 05 09/2005 LONG 8 1,930,700 1,929,700 (1,000)
EURO BOBL FUT
JUN 04 06/2004 LONG 2 268,367 267,249 (1,118)
EURO BUND FUT
JUN 04 06/2004 LONG 3 411,249 410,296 (953)
US 10YR NOTE FUT
JUN 04 06/2004 SHORT 161 18,378,110 17,790,500 587,610
US 5YR NOTE (CBT)
JUNE 04 06/2004 SHORT 86 9,601,777 9,454,625 147,152
US LONG BOND (CBT)
SEP 04 09/2004 SHORT 1 110,636 105,719 4,917
US LONG BOND FUT (CBT)
JUN 04 06/2004 LONG 51 5,780,379 5,461,781 (318,598)
- -------------------------------------------------------------------------------------------------------------------
TOTAL $ 357,070
</Table>
See Notes to Financial Statements.
CV Convertible Security
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FICO Financing Corporation
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage Association
IO Interest Only Security
MTN Medium Term Note
PDI Past Due Interest
PO Principal Only Security
STEP BOND Coupon rate increases in increments to maturity. Rate disclosed is
as of April 30, 2004. Maturity date shown is the stated maturity
date of the security.
TBA Securities purchased on a forward commitment basis with an
approximate principal amount and no definite maturity date. The
actual principal amount and maturity date will be determined on
settlement.
VRN Variable Rate Note
WI When-Issued Security
* Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2004, these
securities amounted to $10,523,352 or 6.13% of net assets.
++ Denotes that all or a portion of these securities are maintained with
counterparties as collateral for futures and written options.
~ Denotes a fair valued security.
@ Denotes that this security is in default.
^ Denotes yield to maturity.
+ Denotes multi-coupon bonds with coupon rates linked to changes in Moody's
and S&P ratings.
Currency Code Key
CAD CANADIAN DOLLAR
EUR EURO
GBP GREAT BRITISH POUND
SEK SWEDISH KRONA
30
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF INFLATION-INDEXED BOND FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCIES 97.99%
OTHER U.S. AGENCIES 2.27%
96,000 FNMA DISC NT 1.084% 09/08/2004++^ $ 95,628
2,032,802 TENNESSEE VALLEY AUTH BD 3.375% 01/15/2007 2,177,110
----------------
TOTAL OTHER U.S. AGENCIES $ 2,272,738
U.S. TREASURIES 95.72%
6,193,218 U.S. TREASURY INFLATION-INDEXED BD
1.875% 07/15/2013 $ 6,107,578
9,231,180 U.S. TREASURY INFLATION-INDEXED BD
3.625% 04/15/2028 11,018,282
2,800,000 U.S. TREASURY INFLATION-INDEXED BD
5.250% 02/15/2029 2,753,626
9,497,409 U.S. TREASURY INFLATION-INDEXED BD
3.875% 04/15/2029 11,842,082
3,425,212 U.S. TREASURY INFLATION-INDEXED NT
3.375% 01/15/2007 3,693,342
4,378,892 U.S. TREASURY INFLATION-INDEXED NT
3.625% 01/15/2008 4,817,977
15,256,550 U.S. TREASURY INFLATION-INDEXED NT
3.875% 01/15/2009 17,109,382
9,029,203 U.S. TREASURY INFLATION-INDEXED NT
4.250% 01/15/2010 10,392,757
5,412,429 U.S. TREASURY INFLATION-INDEXED NT
3.500% 01/15/2011 6,029,148
1,567,433 U.S. TREASURY INFLATION-INDEXED NT
3.375% 01/15/2012 1,738,871
10,778,618 U.S. TREASURY INFLATION-INDEXED NT
3.000% 07/15/2012 11,650,587
8,967,106 U.S. TREASURY INFLATION-INDEXED NT
2.000% 01/15/2014 8,903,359
----------------
TOTAL U.S. TREASURIES $ 96,056,991
----------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $95,863,020) $ 98,329,729
----------------
TOTAL INVESTMENTS AT VALUE 97.99% (COST $95,863,020) 98,329,729
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 2.01% 2,020,964
----------------
NET ASSETS 100.00% $ 100,350,693
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
EXPIRATION NUMBER OF ORIGINAL APPRECIATION
TYPE OF CONTRACT DATE POSITION CONTRACTS VALUE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
90 DAY EURO FUT
MAR 05 03/2005 LONG 34 $ 8,296,000 $ 8,272,625 $ (23,375)
90 DAY EURO FUT
SEP 05 09/2005 LONG 38 9,206,413 9,166,075 (40,338)
US LONG BOND FUT
(CBT) JUN 04 06/2004 LONG 18 1,976,590 1,927,688 (48,902)
- -------------------------------------------------------------------------------------------------------------------
TOTAL $ (112,615)
</Table>
See Notes to Financial Statements.
++ Denotes that all or a portion of these securities are maintained with
counterparties as collateral for futures.
^ Denotes yield to maturity.
31
<Page>
Schedule of Investments
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
April 30, 2004
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES 20.26%
19,110 ACE SEC CORP 01-AQ1 CL A1 (FRN)
1.360% 04/25/2031 $ 19,129
142,878 AFC HOME EQ LOAN TRUST 00-2 CL 1A (FRN)
1.490% 06/25/2030 143,482
249,663 AFC HOME EQ LOAN TRUST 99-1 CL 1A (FRN)
1.580% 02/24/2029 250,512
280,000 AMERICAN EXPRESS MASTER TRUST 02-2 CL A (FRN)
1.150% 05/15/2006 280,222
65,000 AMERICAN EXPRESS MASTER TRUST 03-4 CL A
1.690% 01/15/2009 63,647
216,940 AMERICREDIT AUTO REC TRUST 00-C CL A4 (FRN)
1.310% 07/12/2007 217,063
289,725 AMERICREDIT AUTO REC TRUST 00-D CL A4 (FRN)
1.310% 09/12/2007 290,070
469,110 AMERICREDIT AUTO REC TRUST 02-1 CL A3
4.230% 10/06/2006 474,038
180,000 AMERICREDIT AUTO REC TRUST 04-BM CL A2
1.450% 09/06/2007 179,324
250,000 ARG FUNDING 01-2A CL A 144A (FRN)
1.340% 03/20/2006* 250,242
71,882 ASSET BACKED SEC CORP HOME EQ LOAN
TRUST 01-HE3 CL A1 (FRN)
1.370% 11/15/2031 71,956
217,189 BANK ONE AUTO SEC TRUST 03-1 CL A2
1.290% 08/21/2006 217,021
250,000 BANK ONE ISSUANCE TRUST 03-A2 CL A2 (FRN)
1.150% 10/15/2008 250,135
615,384 BAYVIEW FINL ACQUISITION TRUST 03 (FRN)
1.600% 09/28/2043 617,980
618,685 BAYVIEW FINL ACQUISITION TRUST 03-DA CL A (FRN)
1.550% 05/28/2034 620,811
81,981 BMW VEHICLE OWNER TRUST 03-A CL A2
1.450% 11/25/2005 82,025
130,352 CAPITAL AUTO REC ASSET TRUST 03-1 CL A1B (FRN)
1.150% 06/15/2005 130,370
120,861 CAPITAL AUTO REC ASSET TRUST 03-2 A2A
1.200% 05/16/2005 120,864
345,000 CAPITAL AUTO REC ASSET TRUST 03-3 CL A1A
1.770% 01/16/2006 345,523
170,000 CAPITAL AUTO REC ASSET TRUST 04-1 CL A2
1.400% 05/15/2006 169,607
500,000 CAPITAL ONE AUTO FINANCE TRUST 02-B CL A3A
2.710% 10/16/2006 503,627
179,661 CAPITAL ONE AUTO FINANCE TRUST 03-A A2
1.400% 03/15/2006 179,716
195,000 CAPITAL ONE MULTI-ASSET EXECUTION TRUST 03-A1 CL A1
(FRN) 1.490% 01/15/2009 195,988
250,000 CAPITAL ONE PRIME AUTO REC TRUST 03-2 CL A2
1.430% 03/15/2006 250,030
350,000 CAPITAL ONE PRIME AUTO REC TRUST 04-1 CL A4
1.170% 08/17/2009 350,298
130,951 CARMAX AUTO OWNER TRUST 03-1 A2
1.230% 10/15/2005 130,937
250,000 CARMAX AUTO OWNER TRUST 03-3 CL A2
1.680% 08/15/2006 250,171
245,000 CARMAX AUTO OWNER TRUST 04-1 CL A2
1.870% 12/15/2006 244,847
590,569 CDC MORTGAGE CAPITAL TRUST 03-HE1 CL A1
1.430% 08/25/2033 591,595
510,596 CENTEX HOME EQUITY 02-D CL AV (FRN)
1.540% 12/25/2032 511,918
300,000 CHASE CREDIT CARD MASTER TRUST 02-4 CL A (FRN)
1.150% 10/15/2007 300,170
196,674 CHASE FUNDING MTG LOAN ASSET BACKED
CERT 00-2 CL IIA1 1.380% 05/25/2030 196,857
28,611 CHASE MANHATTAN AUTO OWNER TRUST 01-B CL A3
3.090% 11/15/2005 28,646
64,398 CHASE MANHATTAN AUTO OWNER TRUST 02-A CL A3
3.490% 03/15/2006 64,718
80,669 CHASE MANHATTAN AUTO OWNER TRUST 02-B CL A3
3.580% 05/15/2006 $ 81,214
105,216 CHASE MANHATTAN AUTO OWNER TRUST 03-A A2
1.260% 01/16/2006 105,208
600,000 CHESAPEAKE FUNDING LLC 03-1 CL A1 (FRN)
1.350% 08/07/2008 601,289
118,117 CIT GROUP HOME EQ LOAN TRUST 02-1 CL AV (FRN)
1.390% 03/25/2033 118,280
199,815 CIT GROUP HOME EQ LOAN TRUST 02-2 CL AV (FRN)
1.370% 06/25/2033 200,009
200,000 CITIBANK CREDIT CARD ISSUANCE TRUST 02-A9 CL A9 (FRN)
1.150% 12/17/2007 200,076
175,000 CITIBANK CREDIT CARD ISSUANCE TRUST 03-A5 CL A5
2.500% 04/07/2008 174,647
255,918 CITIFINANCIAL MORTGAGE SECURITIES INC 04-1 CL AF1
1.190% 04/25/2034 255,719
401,723 COUNTRYWIDE ASSET-BACKED CERT 02-1 CL A (FRN)
1.380% 08/25/2032 402,191
140,546 COUNTRYWIDE ASSET-BACKED CERT 02-BC1 CL A
1.430% 04/25/2032 140,772
350,000 COUNTRYWIDE ASSET-BACKED CERT 03-BC3 CL A2
1.410% 09/25/2033 350,608
184,600 COUNTRYWIDE HOME EQ LOAN TRUST 02-A CL A (FRN)
1.360% 04/15/2028 184,459
63,267 CREDIT BASED ASSET SERV & SEC 00-CB2 CL A1A
1.510% 09/25/2029 63,254
91,868 CREDIT BASED ASSET SERV & SEC 01-CB4 CL 1A1
1.550% 11/25/2033 92,277
642,158 CREDIT BASED ASSET SERV & SEC 03-CB3 CL AV1
1.440% 02/25/2033 643,857
189,882 DAIMLER CHRYSLER AUTO TRUST 01-A CL AA4
5.400% 03/06/2006 191,920
26,050 DAIMLER CHRYSLER AUTO TRUST 02-C CL A2
2.070% 06/08/2005 26,066
155,000 DAIMLER CHRYSLER MASTER OWNER
TRUST 03-A CL A (FRN) 1.150% 02/15/2008 155,084
28,574 DELTA FUNDING HOME EQ LOAN TRUST 99-3 CL A1A
1.510% 09/15/2029 28,671
300,000 DRIVETIME AUTO OWNER TRUST 02-C CL A3
144A 3.070% 12/17/2007* 303,047
173,989 EMC MTG LOAN TRUST 02-AA CL A1 144A (FRN)
1.570% 05/25/2039* 175,013
303,742 EQCC HOME EQUITY LOAN TRUST 02-1 CL 2A (FRN)
1.400% 11/25/2031 304,496
400,000 FIRST NORTH AMERICAN NATL BANK 03-A CL A (FRN)
1.580% 05/16/2011 402,777
300,000 FIRST USA CREDIT CARD MASTER TRUST 99-2 CL A
1.290% 10/19/2008 300,928
176,440 FORD CREDIT AUTO OWNER TRUST 02-A CL A3B (FRN)
1.220% 01/15/2006 176,505
34,226 FORD CREDIT AUTO OWNER TRUST 03-A CL A2B (FRN)
1.150% 08/15/2005 34,235
300,000 FORD CREDIT FLOORPLAN MASTER OWNER
TRUST 01-1 CL A (FRN) 1.190% 07/17/2006 300,107
275,000 GMAC MTG CORP LOAN TRUST 04-HE1 CL A1
1.180% 06/25/2034 275,172
17,939 GUARANTEED EXPORT TRUST 96-A CL A
6.550% 06/15/2004 18,055
32,612 HARLEY-DAVIDSON MOTOR TRUST 03-2 A1
1.340% 01/15/2008 32,587
140,889 HARLEY-DAVIDSON MOTOR TRUST 04-1 CL A1
1.400% 10/15/2008 140,477
74,142 HONDA AUTO REC OWNER TRUST 03-1 CL A2
1.460% 09/19/2005 74,179
196,252 HONDA AUTO REC OWNER TRUST 03-2 A2
1.340% 12/21/2005 196,275
315,000 HONDA AUTO REC OWNER TRUST 04-1 CL A2
1.680% 11/21/2006 314,588
245,000 HOUSEHOLD AUTO TRUST 02-3 CL A3B (FRN)
1.290% 06/18/2007 245,347
300,000 HOUSEHOLD AUTO TRUST 03-1 A3 1.730% 12/17/2007 298,938
151,070 HOUSEHOLD AUTO TRUST 03-1A A2 1.300% 09/18/2006 151,068
</Table>
32
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
75,018 HOUSEHOLD HOME EQ LOAN TRUST 01-2 CL A (FRN)
1.470% 07/20/2031 $ 75,199
43,857 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL A (FRN)
1.470% 12/22/2031 43,958
21,929 HOUSEHOLD HOME EQ LOAN TRUST 02-1 CL M (FRN)
1.920% 12/22/2031 22,064
304,069 HOUSEHOLD HOME EQ LOAN TRUST 02-2 CL A (FRN)
1.400% 04/20/2032 304,801
195,000 HYUNDAI AUTO RECEIVABLES TRUST 03-A A2
1.560% 09/15/2006 194,971
395,442 INDYMAC HOME EQ LOAN ASSET BACKED
TRUST 01-A CL AV (FRN) 1.360% 03/25/2031 395,061
209,500 INDYMAC HOME EQ LOAN ASSET BACKED
TRUST 03-A CL AV1 (FRN) 1.260% 09/25/2019 209,534
197,458 IRWIN HOME EQ TRUST 03-A CL A1 (FRN)
1.600% 10/25/2027 198,954
300,000 JOHN DEERE OWNER TRUST 04-A CL A2
1.680% 11/15/2006 298,219
96,106 KEYCORP STUDENT LOAN TRUST 95-B CL A (FRN)
1.330% 09/27/2024 96,106
84,006 LONG BEACH ASSET HLDGS CORP 03-1 CL N 144A (FRN)
1.480% 02/25/2008* 84,068
42,840 LONG BEACH MTG LOAN TRUST 00-1 CL AV-1 (FRN)
1.360% 01/21/2031 42,881
12,580 LONG BEACH MTG LOAN TRUST 01-2 CL A2
1.380% 07/25/2031 12,583
250,922 MADISON AVENUE MANUFACTURED HOUSING
CONTRACT 02-A CL A1 (FRN) 1.450% 03/25/2032 251,014
265,000 MBNA CREDIT CARD MASTER NOTE TRUST 01-A4
CL A (FRN) 1.230% 02/15/2007 265,132
640,000 MBNA CREDIT CARD MASTER NOTE TRUST 02-A3 CL A3
1.340% 09/15/2014 644,423
342,736 NAVISTAR FINL CORP OWNER TRUST 01-A CL A4
5.420% 05/15/2008 347,699
295,000 NAVISTAR FINL CORP OWNER TRUST 03-A CL A3
1.730% 02/15/2007 293,811
200,000 NAVISTAR FINL CORP OWNER TRUST 03-B CL A2
1.690% 09/15/2006 200,053
165,000 NELNET STUDENT LOAN CORP 04-2A CL A1
1.219% 11/25/2009 165,026
109,268 NISSAN AUTO REC OWNER TRUST 02-B CL A3
3.990% 12/15/2005 110,013
225,000 NISSAN AUTO REC OWNER TRUST 02-C CL A4
3.330% 01/15/2008 228,220
52,473 NISSAN AUTO REC OWNER TRUST 03-A CL A2
1.450% 05/16/2005 52,491
350,000 NISSAN AUTO REC OWNER TRUST 03-A CL A3
1.890% 12/15/2006 350,622
193,093 NISSAN AUTO REC OWNER TRUST 03-B
1.200% 11/15/2005 193,079
200,000 ONYX ACCEPT GRANTOR TRUST 03-C CL A3
1.870% 08/15/2007 199,623
185,000 ONYX ACCEPT GRANTOR TRUST 04-A CL A2
1.520% 11/15/2006 184,770
200,000 PROVIDIAN GATEWAY MASTER TRUST 04-AA CL A (FRN)
144A 1.330% 03/15/2011* 200,000
321,329 RESIDENTIAL ASSET MTG PRODUCTS 03-RS1 CL AII1 (FRN)
1.490% 02/25/2033 322,325
206,510 RESIDENTIAL ASSET SECURITIES CORP 00-KS3 CL AII (FRN)
1.330% 07/25/2031 206,637
389,402 RESIDENTIAL ASSET SECURITIES CORP 00-KS5 CL AII (FRN)
1.340% 12/25/2031 389,693
78,443 RESIDENTIAL ASSET SECURITIES CORP 01-KS4 CL AIB
1.420% 05/25/2032 78,519
273,075 RESIDENTIAL ASSET SECURITIES CORP 03-KS2 CL AIIB (FRN)
1.400% 04/25/2033 273,459
228,202 RESIDENTIAL ASSET SECURITIES CORP 03-KS8 CL AI1 (FRN)
1.220% 05/25/2021 228,188
616,438 RESIDENTIAL ASSET SECURITIES CORP 03-RS2 CL AII (FRN)
1.440% 03/25/2033 617,765
296,091 RESIDENTIAL ASSET SECURITIES CORP 04-KS3 CL AI1
1.190% 11/25/2020 295,952
650,000 SEARS CREDIT ACCOUNT MASTER TRUST 01-1 CL A
1.280% 02/15/2010 $ 649,532
75,000 SEARS CREDIT ACCOUNT MASTER TRUST 96-3 CL A
7.000% 07/15/2008 75,528
200,152 SLM STUDENT LOAN TRUST 02-A CL A1 (FRN)
1.250% 06/15/2016 200,427
89,934 SLM STUDENT LOAN TRUST 03-A CL A1 (FRN)
1.220% 12/15/2015 89,925
240,000 SLM STUDENT LOAN TRUST 04-4 CL A1
1.160% 04/27/2009 240,000
58,666 SLM STUDENT LOAN TRUST 99-2 CL A2L (FRN)
1.370% 04/25/2011 58,791
126,169 SOUTHERN PACIFIC SECURED ASSETS CORP 98-2 CL A1
(FRN) 1.270% 07/25/2029 126,186
275,000 TOYOTA AUTO REC OWNER TRUST 01-C CL A4
4.720% 09/15/2008 279,019
57,809 TOYOTA AUTO REC OWNER TRUST 02-C CL A3
2.650% 11/15/2006 58,142
72,274 TOYOTA AUTO REC OWNER TRUST 03-A CL A2
1.280% 08/15/2005 72,287
125,000 TOYOTA AUTO REC OWNER TRUST 03-B CL A2
1.430% 02/15/2006 124,951
325,000 USAA AUTO OWNER TRUST 04-1 CL A2
1.430% 09/15/2006 324,171
397,691 WACHOVIA ASSET SECURITIZATION INC 02- HE2 CL A (FRN)
1.530% 12/25/2032 399,582
132,736 WFS FINL OWNER TRUST 01-A CL A4 (FRN)
1.370% 10/20/2008 132,766
11,387 WFS FINL OWNER TRUST 01-C CL A3 (FRN)
1.250% 03/20/2006 11,388
190,249 WFS FINL OWNER TRUST 02-1 CL A3B (FRN)
1.240% 12/20/2006 190,315
37,664 WFS FINL OWNER TRUST 03-1 CL A2
1.500% 03/20/2006 37,684
102,167 WFS FINL OWNER TRUST 03-2 A2
1.320% 05/22/2006 102,184
150,000 WFS FINL OWNER TRUST 04-1 CL A2
1.510% 07/20/2007 149,736
140,000 WFS FINL OWNER TRUST 04-1 CL A3
2.190% 06/20/2008 138,829
41,693 WHOLE AUTO LOAN TRUST 02-1 CL A2
1.880% 06/15/2005 41,734
275,000 WHOLE AUTO LOAN TRUST 03-1 CL A2A
1.400% 04/15/2006 274,970
29,139 WORLD OMNI AUTO REC TRUST 03-A CL A2
1.460% 08/15/2005 29,155
----------------
TOTAL ASSET BACKED SECURITIES (COST $28,259,551) $ 28,237,149
COLLATERALIZED MORTGAGE OBLIGATIONS 17.43%
PRIVATE LABEL CMO'S 16.41%
215,000 AESOP 03-4A CL A1 144A (FRN) 1.330% 08/20/2007* $ 215,090
541,560 AMORTIZING RESIDENTIAL COLLATERAL
TRUST 02-BC1M CL A (FRN) 1.380% 01/01/2032 542,406
195,471 AMSI 01-1 CL A 1.390% 06/25/2031 195,688
98,420 ARMS G3 A1A 1.350% 01/10/2035 98,656
165,280 ARMS II G1 CL A (FRN) 1.340% 09/10/2034 165,660
333,507 BANK OF AMERICA FUNDING CORP 03-1
CL A1 6.000% 05/20/2033 341,271
225,000 BANK ONE ISSUANCE TRUST 02-A4
CL A4 2.940% 06/16/2008 227,313
142,758 BMW VEHICLE OWNER TRUST 02-A
CL A-3 3.800% 05/25/2006 143,710
250,000 CAPITAL ONE PRIME AUTO REC TRUST 03-2
CL A4 2.880% 06/15/2010 247,712
110,000 CAPITAL ONE PRIME AUTO REC TRUST 04-1
CL A2 1.470% 06/15/2006 109,848
114,070 CENTEX HOME EQUITY 04-A CL AF1 2.030% 06/25/2019 114,050
274,184 CHASE MANHATTAN AUTO OWNER TRUST 03-B
CL A2 1.280% 03/15/2006 274,114
325,000 CHASE MANHATTAN AUTO OWNER TRUST 03-C
CL A2 1.600% 09/15/2006 324,999
</Table>
33
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
250,000 CNH EQUIPMENT TRUST 03-B CL A3A 1.240% 01/15/2008 $ 250,543
578,036 CRUSADE GLOBAL TRUST 03-1 CL A (FRN)
1.350% 01/17/2034 577,979
246,078 CRUSADE GLOBAL TRUST 03-2 CL A (FRN)
1.300% 09/18/2034 246,385
120,691 CRUSADE GLOBAL TRUST 04-1 CL A1 (FRN)
1.292% 01/16/2035 120,712
650,000 CS FIRST BOSTON 03-TFLA CL A1 144A (FRN)
1.350% 04/15/2013* 650,000
32,693 CS FIRST BOSTON MTG SECURITIES
CORP 01-FL2A CL A 144A (FRN) 1.350% 09/15/2013* 32,686
164,792 CS FIRST BOSTON MTG SECURITIES CORP 03-NP6 CL A1
144A (FRN) 2.000% 08/25/2032* + 164,586
245,000 DAIMLER CHRYSLER AUTO TRUST 03-B CL A2
1.610% 07/10/2006 245,045
399,523 EMC MTG LOAN TRUST 02-B CL A1 144A (FRN)
1.740% 02/25/2041* 399,523
299,332 EMC MTG LOAN TRUST 03-A CL A1 144A (FRN)
1.650% 08/25/2040* 301,110
500,000 FORD CREDIT AUTO OWNER TRUST 02-D CL A4B
1.220% 11/15/2006 500,692
110,192 GRANITE MTG PLC 01-2 CL 1A (FRN) 1.380% 10/20/2021 110,298
821,496 GRANITE MTG PLC 03-1 CL 1A2 (FRN) 1.340% 01/20/2020 821,981
600,000 GRANITE MTG PLC 03-2 CL 1A2 (FRN)
1.310% 07/20/2020 600,187
230,000 GRANITE MTG PLC 04-1 CL 1A2 (FRN) 1.180% 03/20/2025 230,000
71,959 GS MTG SECS CORP II 00-GSFL CL A 144A (FRN)
1.380% 08/15/2012* 71,960
585,156 HFC HOME EQUITY LOAN ASSET BACKED
CERT 02-4 CL A (FRN) 1.650% 10/20/2032 586,789
66,250 HOLMES FINANCING PLC 4 CL 1A (FRN) 1.330% 07/15/2015 66,267
890,000 HOLMES FINANCING PLC 6 CL 2A (FRN) 1.310% 04/15/2008 891,321
500,000 HOLMES FINANCING PLC 8 CL 2A 1.194% 04/15/2011 500,000
215,000 HONDA AUTO REC OWNER TRUST 03-5 CL A2
1.570% 06/19/2006 214,971
195,000 HOUSEHOLD AUTO TRUST 03-2 CL A2 1.560% 12/18/2006 194,937
158,263 IMPAC CMB TRUST 02-5 CL A1 1.470% 07/25/2032 158,655
624,543 IMPAC CMB TRUST 03-12 CL A1 1.480% 12/25/2033 626,321
596,862 IMPAC CMB TRUST 03-6 CL A (FRN)
1.420% 07/25/2033 598,060
260,000 INTERSTAR MILLENNIUM TRUST 04-2G CL A
1.311% 03/14/2036 259,837
424,097 IRWIN HOME EQ TRUST 03-1 CL 1A1 (FRN)
1.600% 02/25/2028 426,449
280,763 IRWIN HOME EQ TRUST 03-1 CL 2A1 (FRN)
1.600% 02/25/2028 281,807
190,488 JOHN DEERE OWNER TRUST 03 CL A2
1.310% 01/15/2006 190,441
718,650 JP MORGAN CHASE COML MTG SEC
TRUST 03-FL1A CL A1 144A (FRN) 1.370% 02/17/2015* 718,650
89,758 KINGFISHER SECURITIZATION 01-1G CL A
1.290% 09/20/2032 89,734
172,912 MEDALLION TRUST 03-1G CL A (FRN) 1.300% 12/21/2033 172,946
175,000 MEDALLION TRUST 04-1G CL A1 1.230% 05/25/2035 175,000
61,159 MERRILL LYNCH MTG INVESTORS 02-AFC1 CL AV1 (FRN)
1.470% 04/25/2031 61,317
277,135 MERRILL LYNCH MTG INVESTORS 02-NC1 CL A1 (FRN)
1.420% 05/25/2033 277,532
83,400 MMCA AUTOMOBILE TRUST 02-1 CL A4 1.380% 01/15/2010 82,679
640,000 MOUND FINANCING PLC 1A CL A2 144A (FRN)
1.390% 02/08/2007* 639,930
250,000 MOUND FINANCING PLC 3A A1-1 144A (FRN)
1.320% 02/08/2008* 250,220
250,000 NAVISTAR FINL DEALER NOTE MASTER TRUST 03-1 CL A
1.400% 06/25/2009 250,108
320,000 NELNET STUDENT LOAN CORP 04-1 CL A2 144A (FRN)
1.300% 08/26/2030* 319,900
124,392 NEW CENTURY HOME EQ LOAN TRUST 01-NC1 CL A
1.390% 06/20/2031 124,552
54,709 ONYX ACCEPT GRANTOR TRUST 03-A CL A2
1.640% 11/15/2005 54,725
170,156 OPTION ONE MTG LOAN TRUST 01-4 CL A (FRN)
1.400% 01/25/2032 $ 170,371
313,121 OPTION ONE MTG LOAN TRUST 03-1 CL A2
1.520% 02/25/2033 314,220
305,000 PERMANENT FINANCING PLC 1 CL 3A (FRN)
1.235% 06/10/2007 305,247
225,000 PERMANENT FINANCING PLC 2 CL 2A (FRN)
1.260% 09/10/2007 225,137
175,000 PERMANENT FINANCING PLC 3 CL 2A (FRN)
1.220% 09/10/2010 175,150
285,000 PERMANENT FINANCING PLC 4 CL 2A
1.179% 03/10/2009 285,000
277,490 PROVIDENT BANK HOME EQ LOAN TRUST 00-2 CL A2
1.370% 08/25/2031 277,745
290,000 PROVIDIAN GATEWAY MASTER TRUST 03-A CL A
144A 1.400% 06/15/2010* 290,544
214,716 RESIDENTIAL ASSET SECURITIES CORP 03-KS6 CL A2 (FRN)
1.400% 08/25/2033 215,082
162,346 RESIDENTIAL ASSET SECURITIES CORP 04-KS1 CL AI1
1.250% 09/25/2020 162,404
95,305 RMAC 03-NS1A CL A1B 144A (FRN) 1.260% 09/12/2017* 95,305
156,312 RMAC 03-NS2A CL A1B 144A (FRN) 1.260% 06/12/2018* 156,336
90,427 RMAC 03-NS3A CL A1B 144A (FRN)
1.240% 09/12/2018* 90,427
200,000 RMAC 03-NS4A CL A2B 144A 1.487% 03/12/2036* 200,500
200,000 RMAC 04-NS1A CL A2B 144A 1.323% 06/12/2036* 199,980
158,153 SLM STUDENT LOAN TRUST 04-1 CL A1 1.210% 01/26/2015 158,261
600,000 STRATEGIC HOTEL CAPITAL INC 03-1 CL A (FRN)
144A 1.650% 02/15/2013* 597,767
132,125 TORRENS TRUST 00-1GA CL A 144A (FRN)
1.360% 07/15/2031* 132,425
90,000 UCFC HOME EQ LOAN 98-D CL MF1 6.905% 04/15/2030 93,837
167,844 USAA AUTO OWNER TRUST 03-1 CL A2
1.220% 04/17/2006 167,814
509,332 WACHOVIA ASSET SECURITIZATION INC 02-HE1 CL A
1.470% 09/27/2032 513,424
700,000 WASHINGTON MUTUAL MSC MTG 04-RA1 CL 2A
7.000% 03/25/2034+ 726,004
207,154 WESTPAC SECURITIZATION TRUST 98-1G CL A (FRN)
1.290% 07/19/2029 207,492
225,000 WHOLE AUTO LOAN TRUST 03-1 CL A3C
2.150% 05/15/2007 224,221
350,000 WORLD OMNI AUTO REC TRUST 03-B CL A2
1.540% 08/15/2006 349,801
----------------
TOTAL PRIVATE LABEL CMO'S $ 22,871,846
U.S. AGENCY CMO'S 1.02%
300,000 FHLMC 2638 CL KA 3.000% 07/15/2009 $ 301,895
376,179 FHLMC 2684 CL PA 5.000% 02/15/2010 380,979
419,035 FHR 2676 CL NA 4.000% 03/15/2014 425,190
236,673 FNMA 02-63 CL QF 1.400% 04/25/2029 237,438
21,603 GNMA 01-21 CL PH 6.500% 09/16/2028 21,592
49,851 GNMA 02-29 CL BK 6.150% 04/16/2029 49,875
----------------
TOTAL U.S. AGENCY CMO'S $ 1,416,969
----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $24,295,814) $ 24,288,815
CORPORATE DEBT 11.58%
BANKING & FINANCE 8.13%
100,000 ABBEY NATL FIRST CAPITAL BV GTD SUB NT
8.200% 10/15/2004 $ 102,982
250,000 ABBEY NATL TREASURY SERV 144A 1.232% 01/16/2007* 250,119
500,000 ABN AMRO BANK NV CHICAGO 1.020% 12/30/2004 498,565
300,000 ALLSTATE LIFE GLOBAL FUNDING II 144A
1.180% 04/02/2007* 299,751
250,000 AMERICAN EXPRESS CREDIT CORP 1.270% 05/16/2006 250,694
250,000 AMERICAN HONDA FINANCE 144A 1.220% 04/11/2005* 250,270
360,000 AMERICAN HONDA FINANCE MTN 144A (FRN)
1.280% 09/11/2006* 360,730
250,000 ASIF GLOBAL FINANCING XXII 144A (FRN)
1.270% 05/30/2006* 250,591
</Table>
34
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
250,000 BANK OF AMERICA CORP MTN (FRN) 1.380% 05/03/2004 $ 250,000
250,000 BANK OF AMERICA CORP MTN (FRN) 1.430% 10/22/2004 250,355
260,000 BANK ONE CORP 6.500% 02/01/2006 277,610
350,000 BAYERISCHE LANDESBANK 4.125% 01/14/2005 355,717
100,000 BOEING CAPITAL CORP MTN (FRN) 4.880% 08/20/2004 101,018
500,000 BRADFORD & BINGLEY PLC 144A 1.150% 01/07/2005* 499,297
300,000 CIT GROUP INC MTN 1.200% 12/01/2004 300,043
300,000 CITIGROUP GLOBAL MARKETS MTN 1.330% 12/13/2005 300,199
200,000 COUNTRYWIDE HOME LOAN MTN 6.840% 10/22/2004 204,825
300,000 COUNTRYWIDE HOME LOAN MTN 1.210% 01/18/2005 299,974
300,000 CS FIRST BOSTON USA INC MTN (FRN) 1.420% 09/07/2004 300,310
100,000 GENERAL ELECTRIC CAP CORP (FRN) 1.260% 09/15/2004 100,075
150,000 GENERAL ELECTRIC CAP CORP MTN 1.370% 10/25/2004 150,188
500,000 GENERAL ELECTRIC CAP CORP MTN (FRN)
1.235% 03/15/2005 500,797
300,000 GENERAL MTRS ACCEPT CORP MTN (FRN)
3.020% 05/19/2005 303,850
350,000 HOUSEHOLD FINANCE CORP NTS 6.000% 05/01/2004 350,000
500,000 INTERNATIONAL BANK FOR RECONSTRUCTION &
DEVELOPMENT MTN 3.500% 10/22/2004 505,330
250,000 JACKSON NATL LIFE FUNDING MTN 144A
1.200% 01/20/2006* 255,255
250,000 JP MORGAN CHASE & CO 1.350% 06/04/2004 250,035
275,000 JP MORGAN CHASE & CO MTN (FRN) 1.290% 05/20/2004 275,020
275,000 MBIA GLOBAL FUNDING LLC MTN 144A (FRN)
1.200% 01/26/2007* 275,003
250,000 MONUMENT GLOBAL FDG II 144A (FRN)
1.315% 02/11/2005* 250,261
250,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CO
5.250% 07/15/2004 251,926
250,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CO (FRN)
1.530% 02/07/2005 250,747
250,000 NATIONWIDE BUILDING SOCIETY 144A
1.230% 12/11/2006* 250,194
250,000 NATIONWIDE BUILDING SOCIETY MTN 144A (FRN)
1.139% 07/23/2004* 250,021
300,000 SLM CORP MTN (FRN) 1.500% 10/25/2004 300,495
250,000 SLM CORP MTN (FRN) 1.450% 01/25/2005 250,572
300,000 SLM CORP MTN (FRN) 1.290% 01/25/2007 299,964
250,000 TOYOTA MOTOR CREDIT CORP MTN 2.800% 01/18/2006 253,451
250,000 US BANCORP MTN (FRN) 1.260% 09/16/2005 250,291
360,000 WELLS FARGO & CO (FRN) 1.170% 10/01/2004 360,133
----------------
TOTAL BANKING & FINANCE $ 11,336,658
BASIC INDUSTRIES 0.31%
250,000 ALCOA INC NT (FRN) 1.400% 12/06/2004 $ 250,369
185,000 DOW CHEMICAL CO 5.250% 05/14/2004 185,175
----------------
TOTAL BASIC INDUSTRIES $ 435,544
CAPITAL GOODS 0.23%
300,000 HONEYWELL INTL INC 6.875% 10/03/2005 $ 319,345
----------------
TOTAL CAPITAL GOODS $ 319,345
CONSUMER NON-DURABLES 0.77%
300,000 ANHEUSER-BUSCH COS INC 7.100% 06/15/2007 $ 301,872
200,000 COCA COLA ENTERPRISES INC 6.625% 08/01/2004 202,406
250,000 DIAGEO CAPITAL PLC GTD 6.625% 06/24/2004 251,877
325,000 DIAGEO CAPITAL PLC MTN 1.240% 04/20/2007 324,726
----------------
TOTAL CONSUMER NON-DURABLES $ 1,080,881
CONSUMER SERVICES 0.58%
310,000 INTERNATIONAL LEASE FINANCE CORP 2.500% 10/18/2004 $ 311,845
300,000 MCDONALDS CORP MTN 5.150% 07/01/2004 301,876
194,000 WAL-MART STORES INC 6.550% 08/10/2004 196,757
----------------
TOTAL CONSUMER SERVICES $ 810,478
ENERGY 0.30%
200,000 ALABAMA POWER 4.875% 09/01/2004 $ 202,282
200,000 CONOCO FDG CO 5.450% 10/15/2006 212,731
----------------
TOTAL ENERGY $ 415,013
HEALTH CARE 0.65%
250,000 ABBOTT LABS INC 5.125% 07/01/2004 $ 251,543
400,000 METROPOLITAN LIFE GLOBAL FUNDING I 1.180% 03/16/2007 400,050
250,000 UNITED HEALTH GROUP INC 144A (FRN)
1.730% 11/09/2004* 250,160
----------------
TOTAL HEALTH CARE $ 901,753
INDUSTRY 0.02%
29,000 SP POWERASSETS LTD NTS 144A 3.800% 10/22/2008* $ 28,686
----------------
TOTAL INDUSTRY $ 28,686
TELECOMMUNICATIONS 0.15%
200,000 VODAFONE GROUP PLC NTS 7.625% 02/15/2005 $ 208,897
----------------
TOTAL TELECOMMUNICATIONS $ 208,897
TRANSPORTATION 0.08%
105,379 AMERICAN AIRLINES INC (FRN) 1.730% 09/23/2007 $ 105,481
----------------
TOTAL TRANSPORTATION $ 105,481
UTILITIES 0.36%
500,000 FPL GROUP CAPITAL INC 6.875% 06/01/2004 $ 501,985
----------------
TOTAL UTILITIES $ 501,985
----------------
TOTAL CORPORATE DEBT (COST $16,125,731) $ 16,144,721
FOREIGN DEBT 0.71%
300,000 MANITOBA (PROVINCE OF) 2.750% 01/17/2006 $ 302,373
500,000 ONTARIO (PROVINCE OF) 2.625% 12/15/2005 501,729
190,000 REPUBLIC OF ITALY MTN 2.500% 03/31/2006 190,701
----------------
TOTAL FOREIGN DEBT (COST $998,325) $ 994,803
U.S. GOVERNMENT AND AGENCIES 30.41%
OTHER U.S. AGENCIES 29.74%
300,000 FEDERAL FARM CREDIT BANK 3.875% 02/01/2005 $ 305,369
271,000 FEDERAL FARM CREDIT BANK DISC NT 0.925% 06/18/2004^ 270,664
250,000 FHLB 5.715% 05/12/2004 250,288
130,000 FHLB 4.875% 05/14/2004 130,150
750,000 FHLB 3.375% 06/15/2004 751,993
250,000 FHLB 6.390% 06/22/2004 251,848
1,000,000 FHLB 3.625% 10/15/2004 1,011,058
600,000 FHLB 2.125% 12/15/2004 602,929
500,000 FHLB 1.500% 01/07/2005 499,952
540,000 FHLB 5.375% 02/15/2005 556,311
350,000 FHLB 1.500% 03/01/2005 349,813
500,000 FHLB 1.225% 03/23/2005 499,994
250,000 FHLB 1.400% 04/01/2005 249,545
500,000 FHLB 1.260% 04/08/2005 498,313
500,000 FHLB 1.305% 04/22/2005 498,256
500,000 FHLB 1.300% 04/25/2005 498,173
500,000 FHLB 5.250% 05/13/2005 518,486
500,000 FHLB 1.780% 05/27/2005 500,063
500,000 FHLB 1.625% 06/15/2005 499,252
250,000 FHLB 5.890% 06/15/2005 261,674
400,000 FHLB 1.500% 08/19/2005 397,947
650,000 FHLB 1.500% 08/26/2005 646,487
361,000 FHLB DISC NT 1.020% 05/21/2004^ 360,795
460,000 FHLB DISC NT 9.381% 05/24/2004^ 459,718
600,000 FHLB DISC NT 0.970% 07/23/2004^ 598,664
250,000 FHLMC 5.000% 05/15/2004 250,324
500,000 FHLMC 3.250% 11/15/2004 505,277
500,000 FHLMC 2.000% 02/23/2006 496,979
500,000 FHLMC 2.875% 11/03/2006 498,221
300,000 FHLMC DISC NT 0.938% 05/17/2004^ 299,869
340,000 FHLMC DISC NT 0.827% 05/20/2004^ 339,846
300,000 FHLMC DISC NT 0.937% 05/20/2004^ 299,846
200,000 FHLMC DISC NT 0.942% 05/25/2004^ 199,871
190,000 FHLMC DISC NT 0.953% 05/25/2004^ 189,876
373,000 FHLMC DISC NT 0.893% 06/02/2004^ 372,699
100,000 FHLMC DISC NT 0.913% 06/11/2004^ 99,895
750,000 FHLMC DISC NT 0.922% 06/16/2004^ 749,111
545,000 FHLMC DISC NT 0.957% 07/02/2004^ 544,101
</Table>
35
<Page>
<Table>
<Caption>
PAR VALUE OR SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
370,000 FHLMC DISC NT 1.027% 08/12/2004^ $ 368,920
1,100,000 FHLMC DISC NT 1.028% 08/16/2004^ 1,096,664
1,000,000 FHLMC DISC NT 1.029% 08/19/2004^ 996,880
1,000,000 FHLMC MTN 3.125% 05/20/2004 1,000,958
250,000 FHLMC MTN 1.360% 08/06/2004 250,178
500,000 FHLMC MTN 2.150% 01/30/2006 498,852
500,000 FHLMC MTN 2.250% 02/17/2006 499,303
250,000 FHLMC MTN 1.472% 07/14/2006 249,888
500,000 FHLMC MTN (FRN) 1.085% 09/09/2005 500,038
198,000 FNMA 0.923% 06/16/2004 197,765
400,000 FNMA 0.936% 06/30/2004 399,375
1,000,000 FNMA 7.400% 07/01/2004 1,009,955
518,000 FNMA 1.024% 08/04/2004 516,608
1,450,000 FNMA 1.029% 08/20/2004 1,445,434
500,000 FNMA 1.151% 10/15/2004 497,365
500,000 FNMA 1.090% 12/15/2004 499,916
300,000 FNMA 1.875% 12/15/2004 301,005
1,080,000 FNMA 1.375% 02/14/2005 1,078,919
500,000 FNMA 1.375% 02/18/2005 499,468
450,000 FNMA 1.330% 02/23/2005 449,302
1,000,000 FNMA 1.400% 02/25/2005 998,956
500,000 FNMA 1.480% 03/04/2005 499,662
650,000 FNMA 1.650% 05/16/2005 649,455
500,000 FNMA 1.660% 05/20/2005 499,613
750,000 FNMA 1.750% 05/23/2005 749,923
500,000 FNMA 1.800% 05/27/2005 500,000
350,000 FNMA 1.500% 09/21/2005 347,590
500,000 FNMA 0.113% 10/03/2005 499,758
500,000 FNMA 2.270% 11/17/2005 500,910
600,000 FNMA 2.250% 12/30/2005 599,779
475,000 FNMA 2.590% 05/05/2006 475,039
173,000 FNMA DISC NT 0.931% 05/17/2004^ 172,925
378,000 FNMA DISC NT 1.010% 05/19/2004^ 377,809
550,000 FNMA DISC NT 1.020% 05/20/2004^ 549,704
450,000 FNMA DISC NT 0.969% 05/28/2004^ 449,666
600,000 FNMA DISC NT 1.010% 06/01/2004^ 599,478
1,175,000 FNMA DISC NT 0.932% 06/25/2004^ 1,173,322
250,000 FNMA DISC NT 0.960% 07/06/2004^ 249,560
2,500,000 FNMA DISC NT 1.086% 09/17/2004^ 2,489,630
400,000 SLMA MTN 3.375% 07/15/2004 401,840
----------------
TOTAL OTHER U.S. AGENCIES $ 41,455,069
U.S. TREASURIES 0.67%
700,000 U.S. TREASURY NTS 1.500% 03/31/2006 $ 690,239
250,000 U.S. TREASURY NTS 3.125% 04/15/2009 244,502
----------------
TOTAL U.S. TREASURIES $ 934,741
----------------
TOTAL U.S. GOVERNMENT AND AGENCIES (COST $42,416,752) $ 42,389,810
CERTIFICATES OF DEPOSIT 2.12%
1,000,000 SOUTHTRUST BANK NA CD 1.040% 06/15/2004 $ 999,991
500,000 SVENSKA HANDELSBANKEN AB CD 1.230% 10/12/2004 499,841
250,000 WESTDEUTSCHE LANDESBANK NY CD 1.210% 06/03/2004 250,040
1,200,000 WESTDEUTSCHE LANDESBANK NY CD 1.320% 01/27/2005 1,198,192
----------------
TOTAL CERTIFICATES OF DEPOSIT (COST $2,950,000) $ 2,948,064
COMMERCIAL PAPER 4.23%
500,000 ANZ (DE) INC 1.047% 06/21/2004^ $ 499,255
310,000 BANQUE ET CAISSE 1.072% 07/09/2004^ 309,364
555,000 CAFCO LLC 1.020% 05/24/2004^ 554,628
500,000 CAISSE NTLE DES CAISSE 1.029% 06/07/2004^ 499,465
400,000 DANSKE CORP 1.033% 06/11/2004^ 399,525
600,000 HBOS TREASURY SVCS PLC 1.067% 07/06/2004^ 598,827
500,000 HBOS TREASURY SVCS PLC 1.098% 07/28/2004^ 498,665
139,000 JP MORGAN CHASE BANK 1.257% 09/10/2004^ 138,404
1,000,000 MET-LIFE FUNDING INC 1.088% 07/21/2004^ 997,562
500,000 SVENSKA HANDELSBANKEN INC 1.097% 07/28/2004^ 498,666
900,000 UBS FINANCE (DE) LLC 1.060% 07/01/2004^ 898,382
----------------
TOTAL COMMERCIAL PAPER (COST $5,892,798) $ 5,892,743
TIME DEPOSITS 10.28%
1,000,000 APRECO INC 1.040% 06/10/2004 $ 998,844
800,000 CAFCO LLC 1.040% 06/08/2004 799,122
500,000 CATERPILLAR FINL SVCS 1.060% 06/17/2004 499,308
500,000 CBA (DE) FINANCE INC 1.020% 05/03/2004 499,972
380,000 CIESCO LLC 1.020% 05/04/2004 379,968
850,000 CIESCO LLC 1.030% 06/22/2004 848,735
500,000 COCA-COLA ENTERPRISES INC 1.020% 06/01/2004 499,561
737,000 CORPORATE REC CORP 1.040% 06/02/2004 736,319
850,000 DELAWARE FUNDING CORP 1.020% 05/10/2004 849,783
500,000 DEXIA DELAWARE LLC 1.030% 06/03/2004 499,528
585,000 EUREKA SECURITIZATION INC 1.020% 05/04/2004 584,950
730,000 INTERNATIONAL LEASE FINANCE CORP 1.010% 06/01/2004 729,365
800,000 MASS MUTUAL FUNDING LLC 1.010% 05/05/2004 799,910
1,250,000 OLD LINE FUNDING CORP 1.020% 05/18/2004 1,249,398
850,000 PARK AVENUE RECEIVABLE CORP 1.030% 05/11/2004 849,757
300,000 PFIZER INC 1.010% 05/03/2004 299,983
1,000,000 PREFERRED RECEIVABLES FUNDING CORP
1.040% 06/10/2004 998,844
1,000,000 WINDMILL FUNDING CORP 1.030% 05/24/2004 999,342
1,200,000 YORKTOWN CAPITAL LLC 1.030% 05/07/2004 1,199,794
----------------
TOTAL TIME DEPOSITS (COST $14,322,483) $ 14,322,483
----------------
TOTAL INVESTMENTS AT VALUE 97.02% (COST $135,261,454) 135,218,588
----------------
OTHER ASSETS IN EXCESS OF LIABILITIES 2.98% 4,158,152
----------------
NET ASSETS 100.00% $ 139,376,740
</Table>
See Notes to Financial Statements.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FHR Freddie Mac
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage Association
MTN Medium Term Note
SLMA Student Loan Marketing Association
* Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, to qualified institutional buyers. At April 30, 2004, these
securities amounted to $10,009,647 or 7.18% of net assets.
+ Denotes a fair valued security.
^ Denotes yield to maturity.
36
<Page>
This page intentionally left blank
<Page>
Financial Statements for
COMMONFUND INSTITUTIONAL FUNDS
Statement of Assets and Liabilities as of April 30, 2004
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP ALL CAP EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
ASSETS:
Investments at value(1) $ 246,641,438 $ 137,752,500 $ 171,257,401 $ 188,912,888
Cash 4,170,557 1,791,646 18,229,271 232,173
Foreign currency at value(2) - - - 847,174
Receivable for investments sold 1,841,130 1,235,733 13,720,053 4,569,300
Receivable for Fund shares sold - - 7,100,000 -
Receivable for expense reimbursement 9,015 13,834 33,214 65,734
Dividend and interest receivable 233,355 88,136 91,210 747,346
Tax reclaim receivable 2,950 - - 123,023
Receivable for daily variation margin on open
financial futures contracts - - - -
Unrealized appreciation on forward foreign currency
contracts - - - 19,507
Prepaid expenses 1,743 1,128 987 1,316
Deposits at brokers held as collateral for
securities sold short - - 10,291,584 -
TOTAL ASSETS 252,900,188 140,882,977 220,723,720 195,518,461
--------------- --------------- --------------- ---------------
LIABILITIES:
Securities sold short, at value(3) - - 3,770,245 -
Payable for investments purchased 1,860,827 1,632,372 7,838,610 3,024,706
Payable for Fund shares redeemed - - - 31,191
Payable for daily variation margin on open financial
futures contracts - - - -
Unrealized depreciation on forward foreign currency
contracts - - - 61,512
Written options, at value(4) - - - -
Directors' fee payable 1,878 2,118 2,068 2,008
Advisory fee payable 95,114 108,452 153,761 116,028
Accrued capital gain withholding taxes - - - 5,546
Accrued expenses and other payables 64,828 52,956 82,028 98,061
TOTAL LIABILITIES 2,022,647 1,795,898 11,846,712 3,339,052
--------------- --------------- --------------- ---------------
NET ASSETS $ 250,877,541 $ 139,087,079 $ 208,877,008 $ 192,179,409
--------------- --------------- --------------- ---------------
NET ASSETS CONSIST OF:
Capital stock, 0.001 par value $ 27,609 $ 12,426 $ 21,727 $ 20,618
--------------- --------------- --------------- ---------------
Paid-in capital 247,210,354 118,405,958 216,725,089 178,956,148
Undistributed net investment income 104,076 - - 938,970
Accumulated (distribution in excess of) net realized
gain (loss) on investments (15,590,926) 14,126,058 (1,646,152) (8,759,929)
Net unrealized appreciation (depreciation) 19,126,428 6,542,637 (6,223,656) 21,023,602
TOTAL NET ASSETS $ 250,877,541 $ 139,087,079 $ 208,877,008 $ 192,179,409
--------------- --------------- --------------- ---------------
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED, $0.001
PAR VALUE) 27,609,313 12,425,989 21,727,059 20,618,441
--------------- --------------- --------------- ---------------
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER
SHARE $ 9.09 $ 11.19 $ 9.61 $ 9.32
--------------- --------------- --------------- ---------------
</Table>
<Table>
(1) Investments at cost $ 227,515,005 $ 131,209,863 $ 177,659,709 $ 167,832,498
(2) Cost of cash denominated in foreign currencies - - - 843,171
(3) Proceeds received from securites sold short - - 3,948,897 -
(4) Premiums received on written options - - - -
</Table>
See Notes to the Financial Statements.
38
<Page>
<Table>
<Caption>
CIF CIF CIF
CORE PLUS INFLATION-INDEXED SHORT DURATION
BOND FUND BOND FUND FUND
ASSETS:
Investments at value(1) $ 191,822,532 $ 98,329,729 $ 135,218,588
Cash 22,535,200 1,813,600 6,155,766
Foreign currency at value(2) 211,595 - -
Receivable for investments sold 16,045,665 3,455,748 -
Receivable for Fund shares sold 100,000 - -
Receivable for expense reimbursement 4,209 4,576 8,612
Dividend and interest receivable 1,263,776 702,504 333,578
Tax reclaim receivable - - -
Receivable for daily variation margin on open
financial futures contracts - 17,150 -
Unrealized appreciation on forward foreign currency
contracts 456,575 - -
Prepaid expenses 1,215 693 1,295
Deposits at brokers held as collateral for
securities sold short - - -
TOTAL ASSETS 232,440,767 104,324,000 141,717,839
--------------- ----------------- ---------------
LIABILITIES:
Securities sold short, at value(3) - - -
Payable for investments purchased 60,076,968 3,917,445 1,984,986
Payable for Fund shares redeemed - - 300,000
Payable for daily variation margin on open financial
futures contracts 86,993 - -
Unrealized depreciation on forward foreign currency
contracts 161,643 - -
Written options, at value(4) 304,328 - -
Directors' fee payable 2,049 2,201 2,153
Advisory fee payable 49,612 17,104 20,409
Accrued capital gain withholding taxes - - -
Accrued expenses and other payables 50,595 36,557 33,551
TOTAL LIABILITIES 60,732,188 3,973,307 2,341,099
--------------- ----------------- ---------------
NET ASSETS $ 171,708,579 $ 100,350,693 $ 139,376,740
--------------- ----------------- ---------------
NET ASSETS CONSIST OF:
Capital stock, 0.001 par value $ 16,593 $ 10,439 $ 13,819
--------------- ----------------- ---------------
Paid-in capital 167,600,286 97,027,648 139,410,959
Undistributed net investment income 1,871,093 41,303 11,105
Accumulated (distribution in excess of) net realized
gain (loss) on investments 1,136,045 917,209 (16,277)
Net unrealized appreciation (depreciation) 1,084,562 2,354,094 (42,866)
TOTAL NET ASSETS $ 171,708,579 $ 100,350,693 $ 139,376,740
--------------- ----------------- ---------------
SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED, $0.001
PAR VALUE) 16,593,146 10,438,701 13,819,157
--------------- ----------------- ---------------
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER
SHARE $ 10.35 $ 9.61 $ 10.09
--------------- ----------------- ---------------
</Table>
<Table>
(1) Investments at cost $ 191,376,501 $ 95,863,020 $ 135,261,454
(2) Cost of cash denominated in foreign currencies 202,922 - -
(3) Proceeds received from securites sold short - - -
(4) Premiums received on written options 280,612 - -
</Table>
39
<Page>
Statement of Operations for the Period Ended April 30, 2004
<Table>
<Caption>
CIF CIF CIF CIF
CORE EQUITY SMALL CAP ALL CAP EQUITY INTERNATIONAL
FUND FUND(a) FUND(b) EQUITY FUND
INVESTMENT INCOME
Interest $ 19,291 $ 6,452 $ 27,218 $ 34,409
Dividends(1) 3,052,707 818,095 248,734 3,227,849
INVESTMENT INCOME 3,071,998 824,547 275,952 3,262,258
--------------- --------------- --------------- ---------------
Advisory fees 969,373 955,573 396,413 1,164,961
Directors' fees and expenses 6,599 5,485 2,423 6,588
Custodian, transfer agent and fund accounting 148,691 75,915 26,687 428,493
Professional 77,257 59,670 52,601 67,904
Registration 21,744 30,128 33,484 18,432
Miscellaneous 31,768 22,021 9,133 22,683
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 1,255,432 1,148,792 520,741 1,709,061
--------------- --------------- --------------- ---------------
Less expense reimbursements and waivers (70,643) (87,043) (82,601) (234,675)
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND
WAIVERS 1,184,789 1,061,749 438,140 1,474,386
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 1,887,209 (237,202) (162,188) 1,787,872
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 16,139,999 16,409,883 (1,624,704) 13,999,937
In-kind transactions - - - -
Financial futures contracts 15,493 - - 217,705
Securities sold short - - (21,448) -
Written options - - - -
Foreign currency transactions (24,888) - 4,244 (404,216)
NET REALIZED GAIN (LOSS) 16,130,604 16,409,883 (1,641,908) 13,813,426
--------------- --------------- --------------- ---------------
Change in unrealized appreciation (depreciation) on:
Investments 24,449,342 6,542,637 (6,402,308) 33,514,990
Financial futures contracts - - - -
Securities sold short - - 178,652 -
Written options - - - -
Foreign currency translations (66) - - (244,817)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 24,449,276 6,542,637 (6,223,656) 33,270,173
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 40,579,880 22,952,520 (7,865,564) 47,083,599
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 42,467,089 $ 22,715,318 $ (8,027,752) $ 48,871,471
--------------- --------------- --------------- ---------------
</Table>
<Table>
(1) Dividend income is net of withholding taxes of: $ 11,230 $ 850 $ 5,955 $ 387,124
</Table>
See Notes to the Financial Statements.
(a) Fund commenced operations on September 2, 2003.
(b) Fund commenced operations on February 3, 2004.
40
<Page>
<Table>
<Caption>
CIF CIF CIF
CORE PLUS INFLATION-INDEXED SHORT DURATION
BOND FUND BOND FUND FUND
INVESTMENT INCOME
Interest $ 6,154,096 $ 4,060,411 $ 1,553,994
Dividends(1) - - -
INVESTMENT INCOME 6,154,096 4,060,411 1,553,994
--------------- ----------------- ---------------
Advisory fees 557,829 172,237 217,287
Directors' fees and expenses 6,592 6,592 6,571
Custodian, transfer agent and fund accounting 139,744 97,643 40,679
Professional 57,934 46,593 42,345
Registration 18,462 16,994 23,969
Miscellaneous 20,365 16,139 19,824
TOTAL EXPENSES BEFORE REIMBURSEMENTS AND WAIVERS 800,926 356,198 350,675
--------------- ----------------- ---------------
Less expense reimbursements and waivers (83,718) (69,025) (64,768)
TOTAL EXPENSES NET OF EXPENSE REIMBURSEMENTS AND
WAIVERS 717,208 287,173 285,907
--------------- ----------------- ---------------
NET INVESTMENT INCOME (LOSS) 5,436,888 3,773,238 1,268,087
--------------- ----------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 3,839,138 7,233,523 (15,099)
In-kind transactions - 1,698,711 -
Financial futures contracts (76,395) (615,673) -
Securities sold short - - -
Written options 418,962 98,491 -
Foreign currency transactions (1,174,829) - -
NET REALIZED GAIN (LOSS) 3,006,876 8,415,052 (15,099)
--------------- ----------------- ---------------
Change in unrealized appreciation (depreciation) on:
Investments (4,374,615) (6,755,967) (98,077)
Financial futures contracts 382,261 (112,615) -
Securities sold short - - -
Written options (60,728) (36,728) -
Foreign currency translations 638,480 - -
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (3,414,602) (6,905,310) (98,077)
--------------- ----------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (407,726) 1,509,742 (113,176)
--------------- ----------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 5,029,162 $ 5,282,980 $ 1,154,911
--------------- ----------------- ---------------
</Table>
<Table>
(1) Dividend income is net of withholding taxes of: $ - $ - $ -
</Table>
41
<Page>
Statement of Changes in Net Assets
<Table>
<Caption>
CIF ALL CAP
CIF CORE EQUITY FUND CIF SMALL CAP FUND EQUITY FUND
-------------------------------- ------------------ ---------------
YEAR ENDED YEAR ENDED PERIOD ENDED PERIOD ENDED
APRIL 30, 2004 APRIL 30, 2003 APRIL 30, 2004(a) APRIL 30, 2004(b)
FROM OPERATIONS:
Net investment income (loss) $ 1,887,209 $ 1,440,946 $ (237,202) $ (162,188)
Net realized gain (loss) 16,130,604 (19,689,883) 16,409,883 (1,641,908)
Change in unrealized appreciation (depreciation) 24,449,276 (1,979,977) 6,542,637 (6,223,656)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS 42,467,089 (20,228,914) 22,715,318 (8,027,752)
--------------- --------------- ------------------ ---------------
DISTRIBUTIONS:
Net investment income (1,774,233) (1,435,841) - -
Net realized gain - - (2,046,623) -
DECREASE IN NET ASSETS RESULTING FROM
DISTRIBUTIONS (1,774,233) (1,435,841) (2,046,623) -
--------------- --------------- ------------------ ---------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 73,974,708 43,318,229 160,607,003 216,904,760
Reinvestment of distributions 1,758,309 712,165 2,046,623 -
Cost of shares repurchased (19,559,298) (4,407,940) (44,235,242) -
INCREASE FROM CAPITAL SHARE TRANSACTIONS 56,173,719 39,622,454 118,418,384 216,904,760
INCREASE IN NET ASSETS 96,866,575 17,957,699 139,087,079 208,877,008
--------------- --------------- ------------------ ---------------
NET ASSETS
Beginning of period $ 154,010,966 $ 136,053,267 $ - $ -
--------------- --------------- ------------------ ---------------
END OF PERIOD $ 250,877,541 $ 154,010,966 $ 139,087,079 $ 208,877,008
--------------- --------------- ------------------ ---------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 104,076 $ 16,038 $ - $ -
--------------- --------------- ------------------ ---------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 20,898,891 15,606,622 - -
Sold 8,648,333 5,837,279 15,994,334 21,727,059
Reinvestment of distributions 199,991 99,251 182,571 -
Repurchased (2,137,902) (644,261) (3,750,916) -
INCREASE IN SHARES OUTSTANDING 6,710,422 5,292,269 12,425,989 21,727,059
SHARES OUTSTANDING AT END OF PERIOD 27,609,313 20,898,891 12,425,989 21,727,059
--------------- --------------- ------------------ ---------------
</Table>
See Notes to the Financial Statements.
(a) Fund commenced operations on September 2, 2003.
(b) Fund commenced operations on February 3, 2004.
42
<Page>
<Table>
<Caption>
CIF INTERNATIONAL EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
APRIL 30, 2004 APRIL 30, 2003
FROM OPERATIONS:
Net investment income (loss) $ 1,787,872 $ 1,656,902
Net realized gain (loss) 13,813,426 (10,036,547)
Change in unrealized appreciation (depreciation) 33,270,173 (3,928,984)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS 48,871,471 (12,308,629)
--------------- -----------------
DISTRIBUTIONS:
Net investment income (2,803,668) (1,911,078)
Net realized gain - -
DECREASE IN NET ASSETS RESULTING FROM
DISTRIBUTIONS (2,803,668) (1,911,078)
--------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 35,745,803 36,404,119
Reinvestment of distributions 2,803,536 540,915
Cost of shares repurchased (14,836,563) (1,628,290)
INCREASE FROM CAPITAL SHARE TRANSACTIONS 23,712,776 35,316,744
INCREASE IN NET ASSETS 69,780,579 21,097,037
--------------- -----------------
NET ASSETS
Beginning of period $ 122,398,830 $ 101,301,793
--------------- -----------------
END OF PERIOD $ 192,179,409 $ 122,398,830
--------------- -----------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 938,970 $ 1,349,486
--------------- -----------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 17,699,471 12,301,877
Sold 4,209,649 5,563,437
Reinvestment of distributions 336,437 78,135
Repurchased (1,627,116) (243,978)
INCREASE IN SHARES OUTSTANDING 2,918,970 5,397,594
SHARES OUTSTANDING AT END OF PERIOD 20,618,441 17,699,471
--------------- -----------------
</Table>
43
<Page>
<Table>
<Caption>
CIF CORE PLUS BOND FUND CIF INFLATION-INDEXED BOND FUND
---------------------------------- --------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2004 APRIL 30, 2003 APRIL 30, 2004 APRIL 30, 2003
FROM OPERATIONS:
Net investment income $ 5,436,888 $ 7,136,454 $ 3,773,238 $ 10,438,084
Net realized gain (loss) 3,006,876 3,262,529 8,415,052 14,631,515
Change in unrealized appreciation
(depreciation) (3,414,602) 3,550,310 (6,905,310) 4,448,976
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 5,029,162 13,949,293 5,282,980 29,518,575
--------------- --------------- ------------------ ---------------
DISTRIBUTIONS:
Net investment income (4,925,953) (5,977,705) (3,870,223) (11,578,425)
Net realized gain (3,780,628) (2,081,762) (9,744,167) (11,262,021)
DECREASE IN NET ASSETS RESULTING FROM
DISTRIBUTIONS (8,706,581) (8,059,467) (13,614,390) (22,840,446)
--------------- --------------- ------------------ ---------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 139,513,098 60,061,060 21,588,004 14,105,306
Reinvestment of distributions 7,746,167 4,980,856 10,776,739 15,327,475
Cost of shares repurchased (119,550,636) (85,259,970) (75,276,558)(a) (151,185,337)
INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS 27,708,629 (20,218,054) (42,911,815) (121,752,556)
INCREASE (DECREASE) IN NET ASSETS 24,031,210 (14,328,228) (51,243,225) (115,074,427)
--------------- --------------- ------------------ ---------------
NET ASSETS
Beginning of period $ 147,677,369 $ 162,005,597 $ 151,593,918 $ 266,668,345
--------------- --------------- ------------------ ---------------
END OF PERIOD $ 171,708,579 $ 147,677,369 $ 100,350,693 $ 151,593,918
--------------- --------------- ------------------ ---------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,871,093 $ 1,315,075 $ 41,303 $ 138,288
--------------- --------------- ------------------ ---------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 13,952,825 15,956,469 14,574,271 25,847,717
Sold 13,069,781 5,778,912 2,034,859 1,321,018
Reinvestment of distributions 742,865 484,390 1,091,449 1,485,428
Repurchased (11,172,325) (8,266,946) (7,261,878) (14,079,892)
INCREASE (DECREASE) IN SHARES OUTSTANDING 2,640,321 (2,003,644) (4,135,570) (11,273,446)
SHARES OUTSTANDING AT END OF PERIOD 16,593,146 13,952,825 10,438,701 14,574,271
--------------- --------------- ------------------ ---------------
</Table>
See Notes to the Financial Statements.
(a) On August 4, 2003, the CIF Inflation-Indexed Bond Fund made an in-kind
redemption of 4,762,510 shares, valued at $48,958,606, resulting in a net
realized gain of $1,698,711. (See Note 1)
44
<Page>
<Table>
<Caption>
CIF SHORT DURATION FUND
------------------------------------
YEAR ENDED YEAR ENDED
APRIL 30, 2004 APRIL 30, 2003
FROM OPERATIONS:
Net investment income $ 1,268,087 $ 1,228,261
Net realized gain (loss) (15,099) 40,907
Change in unrealized appreciation
(depreciation) (98,077) (21,063)
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 1,154,911 1,248,105
--------------- -----------------
DISTRIBUTIONS:
Net investment income (1,262,564) (1,222,666)
Net realized gain (33,792) (28,947)
DECREASE IN NET ASSETS RESULTING FROM
DISTRIBUTIONS (1,296,356) (1,251,613)
--------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 197,819,428 92,132,065
Reinvestment of distributions 1,245,155 1,192,922
Cost of shares repurchased (138,233,863) (87,503,963)
INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS 60,830,720 5,821,024
INCREASE (DECREASE) IN NET ASSETS 60,689,275 5,817,516
--------------- -----------------
NET ASSETS
Beginning of period $ 78,687,465 $ 72,869,949
--------------- -----------------
END OF PERIOD $ 139,376,740 $ 78,687,465
--------------- -----------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 11,105 $ 5,595
--------------- -----------------
OTHER INFORMATION:
Share transactions:
Shares outstanding at beginning of period 7,799,343 7,219,695
Sold 19,590,183 9,127,373
Reinvestment of distributions 123,397 118,270
Repurchased (13,693,766) (8,665,995)
INCREASE (DECREASE) IN SHARES OUTSTANDING 6,019,814 579,648
SHARES OUTSTANDING AT END OF PERIOD 13,819,157 7,799,343
--------------- -----------------
</Table>
45
<Page>
Financial Highlights for a Share Outstanding Throughout the Period
<Table>
<Caption>
CIF CORE EQUITY FUND CIF SMALL CAP FUND
------------------------------------------------- ------------------
PERIOD PERIOD
ENDED ENDED
YEARS ENDED APRIL 30, APRIL 30, APRIL 30,
2004 2003 2002 2001(a) 2004(b)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.37 $ 8.72 $ 9.56 $ 10.00 $ 10.00
---------- ---------- ---------- ---------- ------------------
Income from Investment Operations:
Net investment income (loss) 0.07 0.07 0.06 0.03 (0.02)
Net realized and unrealized gain (loss)
on investments 1.72 (1.35) (0.84) (0.44) 1.34
Total from Investment Operations: 1.79 (1.28) (0.78) (0.41) 1.32
Less Distributions from:
Net investment income (0.07) (0.07) (0.06) (0.03) -
Net realized gain on investments - - - - (0.13)
Total distributions (0.07) (0.07) (0.06) (0.03) (0.13)
Net increase (decrease) in net asset value 1.72 (1.35) (0.84) (0.44) 1.19
NET ASSET VALUE, END OF PERIOD $ 9.09 $ 7.37 $ 8.72 $ 9.56 $ 11.19
TOTAL RETURN(d) 24.32% (14.65%) (8.13%) (4.09%)** 13.20%**
Net Assets, end of period (000's) $ 250,878 $ 154,011 $ 136,053 $ 104,813 $ 139,087
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 0.88% 1.02% 0.71% 1.07%* (0.23)%*
Net investment income (before reimbursement
and waiver of certain operating expenses) 0.84% 0.98% 0.67% 0.80%* (0.31)%*
Operating expenses (after reimbursement and
waiver of certain operating expenses) 0.55% 0.55% 0.55% 0.55%* 1.00%*
Operating expenses (before reimbursement and
waiver of certain operating expenses) 0.59% 0.59% 0.59% 0.82%* 1.08%*
Portfolio Turnover 127% 66% 66% 20%** 103%**
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
(a) Fund commenced operations on January 2, 2001.
(b) Fund commenced operations on September 2, 2003.
(c) Fund commenced operations on February 3, 2004.
(d) Total return would have been lower had certain expenses not been reimbursed
or waived.
46
<Page>
<Table>
<Caption>
CIF ALL CAP EQUITY FUND CIF INTERNATIONAL EQUITY FUND
----------------------- ------------------------------------
PERIOD
ENDED
APRIL 30, YEARS ENDED APRIL 30,
2004(c) 2004 2003 2002
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 6.92 $ 8.23 $ 9.37
----------------------- ---------- ---------- ----------
Income from Investment Operations:
Net investment income (loss) (0.01) 0.09 0.10 0.08
Net realized and unrealized gain (loss)
on investments (0.38) 2.46 (1.28) (1.12)
Total from Investment Operations: (0.39) 2.55 (1.18) (1.04)
Less Distributions from:
Net investment income - (0.15) (0.13) (0.10)
Net realized gain on investments - - - -
Total distributions - (0.15) (0.13) (0.10)
Net increase (decrease) in net asset value (0.39) 2.40 (1.31) (1.14)
NET ASSET VALUE, END OF PERIOD $ 9.61 $ 9.32 $ 6.92 $ 8.23
TOTAL RETURN(d) (3.90%)* 37.06% (14.29%) (11.10%)
Net Assets, end of period (000's) $ 208,877 $ 192,179 $ 122,399 $ 101,302
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) (0.39)%* 1.07% 1.63% 1.01%
Net investment income (before reimbursement
and waiver of certain operating expenses) (0.59)%* 0.93% 1.41% 0.54%
Operating expenses (after reimbursement and
waiver of certain operating expenses) 1.05%* 0.89% 0.80% 0.80%
Operating expenses (before reimbursement and
waiver of certain operating expenses) 1.25%* 1.03% 1.02% 1.27%
Portfolio Turnover 58%** 139% 61% 66%
<Caption>
CIF INTERNATIONAL EQUITY FUND
-----------------------------
PERIOD
ENDED
APRIL 30,
2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
----------
Income from Investment Operations:
Net investment income (loss) 0.04
Net realized and unrealized gain (loss)
on investments (0.63)
Total from Investment Operations: (0.59)
Less Distributions from:
Net investment income (0.04)
Net realized gain on investments -
Total distributions (0.04)
Net increase (decrease) in net asset value (0.63)
NET ASSET VALUE, END OF PERIOD $ 9.37
TOTAL RETURN(d) (5.89%)**
Net Assets, end of period (000's) $ 98,887
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) 1.37%*
Net investment income (before reimbursement
and waiver of certain operating expenses) 1.08%*
Operating expenses (after reimbursement and
waiver of certain operating expenses) 0.80%*
Operating expenses (before reimbursement and
waiver of certain operating expenses) 1.09%*
Portfolio Turnover 21%**
</Table>
47
<Page>
<Table>
<Caption>
CIF CORE PLUS BOND FUND
-------------------------------------------------
PERIOD
ENDED
YEARS ENDED APRIL 30, APRIL 30,
2004 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.58 $ 10.15 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
Income from Investment Operations:
Net Investment Income 0.35 0.51 0.51 0.15
Net realized and unrealized gain (loss) on investments (0.03) 0.53 0.28 (0.02)
Total from Investment Operations: 0.32 1.04 0.79 0.13
Less Distributions from:
Net investment income (0.33) (0.43) (0.52) (0.13)
Net realized gain on investments (0.22) (0.18) (0.12) -
Total distributions (0.55) (0.61) (0.64) (0.13)
Net increase (decrease) in net asset value (0.23) 0.43 0.15 -
NET ASSET VALUE, END OF PERIOD $ 10.35 $ 10.58 $ 10.15 $ 10.00
---------- ---------- ---------- ----------
TOTAL RETURN(c) 3.03% 10.51% 8.02% 1.33%**
Net Assets, end of period (000's) $ 171,709 $ 147,677 $ 162,006 $ 132,265
Ratios to average net assets:
Net investment income (after reimbursement and waiver of
certain operating expenses) 3.41% 4.95% 5.01% 4.61%*
Net investment income (before reimbursement and waiver of
certain operating expenses) 3.36% 4.90% 4.96% 4.37%*
Operating expenses (after reimbursement and waiver of
certain operating expenses) 0.45% 0.45% 0.45% 0.45%*
Operating expenses (before reimbursement and waiver of
certain operating expenses) 0.50% 0.50% 0.50% 0.69%*
Portfolio Turnover 589% 455% 480% 356%**
</Table>
See Notes to Financial Statements.
* Annualized.
** Not annualized.
++ Calculates to less than $0.01.
(a) Fund commenced operations on January 2, 2001.
(b) Fund commenced operations on May 1, 2000.
(c) Total return would have been lower had certain expenses not been reimbursed
or waived.
48
<Page>
<Table>
<Caption>
CIF INFLATION-INDEXED BOND FUND
-------------------------------------------------
PERIOD
ENDED
YEARS ENDED APRIL 30, APRIL 30,
2004 2003 2002 2001(a)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.40 $ 10.32 $ 10.40 $ 10.00
---------- ---------- ---------- ----------
Income from Investment Operations:
Net Investment Income 0.35 0.59 0.43 0.19
Net realized and unrealized gain (loss) on investments 0.21 0.83 0.24 0.33
Total from Investment Operations: 0.56 1.42 0.67 0.52
Less Distributions from:
Net investment income (0.36) (0.63) (0.45) (0.12)
Net realized gain on investments (0.99) (0.71) (0.30) -
Total distributions (1.35) (1.34) (0.75) (0.12)
Net increase (decrease) in net asset value (0.79) 0.08 (0.08) 0.40
NET ASSET VALUE, END OF PERIOD $ 9.61 $ 10.40 $ 10.32 $ 10.40
TOTAL RETURN(c) 5.36% 14.22% 6.71% 5.27%**
Net Assets, end of period (000's) $ 100,351 $ 151,594 $ 266,668 $ 275,342
Ratios to average net assets:
Net investment income (after reimbursement and waiver of
certain operating expenses) 3.28% 5.23% 4.12% 6.99%*
Net investment income (before reimbursement and waiver of
certain operating expenses) 3.22% 5.19% 4.11% 6.77%*
Operating expenses (after reimbursement and waiver of
certain operating expenses) 0.25% 0.25% 0.25% 0.25%*
Operating expenses (before reimbursement and waiver of
certain operating expenses) 0.31% 0.29% 0.26% 0.47%*
Portfolio Turnover 149% 78% 185% 182%**
<Caption>
CIF SHORT DURATION FUND
-----------------------------------------------------
PERIOD
ENDED
YEARS ENDED APRIL 30, APRIL 30,
2004 2003 2002 2001(b)
FINANCIAL HIGHLIGHTS
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.09 $ 10.09 $ 10.09 $ 10.00
---------- ---------- ---------- ----------
Income from Investment Operations:
Net Investment Income 0.11 0.19 0.33 0.59
Net realized and unrealized gain (loss) on investments -++ -++ 0.02 0.09
Total from Investment Operations: 0.11 0.19 0.35 0.68
Less Distributions from:
Net investment income (0.11) (0.19) (0.34) (0.58)
Net realized gain on investments -++ -++ (0.01) (0.01)
Total distributions (0.11) (0.19) (0.35) (0.59)
Net increase (decrease) in net asset value - - - 0.09
NET ASSET VALUE, END OF PERIOD $ 10.09 $ 10.09 $ 10.09 $ 10.09
TOTAL RETURN(c) 1.11% 1.94% 3.52% 6.95%
Net Assets, end of period (000's) $ 139,377 $ 78,687 $ 72,870 $ 35,911
Ratios to average net assets:
Net investment income (after reimbursement and waiver of
certain operating expenses) 1.11% 1.83% 3.22% 5.93%
Net investment income (before reimbursement and waiver of
certain operating expenses) 1.05% 1.71% 3.10% 5.46%
Operating expenses (after reimbursement and waiver of
certain operating expenses) 0.25% 0.25% 0.25% 0.25%
Operating expenses (before reimbursement and waiver of
certain operating expenses) 0.31% 0.37% 0.37% 0.72%
Portfolio Turnover 73% 84% 202% 129%
</Table>
49
<Page>
NOTES TO FINANCIAL STATEMENTS FOR COMMONFUND INSTITUTIONAL FUNDS
April 30, 2004
1. ORGANIZATION
Commonfund Institutional Funds (the "Company") was established as a Delaware
business trust under an Agreement and Declaration of Trust dated August 7, 1999
and is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end, management investment company. The Company
currently consists of one non-diversified series, CIF All Cap Equity Fund, and
six diversified series, CIF Core Equity Fund, CIF Small Cap Fund, CIF
International Equity Fund, CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond
Fund and CIF Short Duration Fund (each a "Fund" and collectively the "Funds"),
each of which operates as a distinct investment vehicle of the Company.
Commonfund Asset Management Company, Inc. ("COMANCO") manages each of the Funds.
Each Fund seeks to improve the net investment returns of its shareholders with
its own investment objectives and policies. There can be no assurance that any
Fund will achieve its investment objective.
The CIF Small Cap Fund and the CIF All Cap Equity Fund, each a new series of
the Company, commenced operations on September 2, 2003 and February 3, 2004,
respectively.
Fund objectives:
CIF Core Equity Fund, CIF Small Cap Fund, CIF All Cap Equity Fund and CIF
International Equity Fund seek to provide long-term capital appreciation.
CIF Core Plus Bond Fund seeks to provide high current income and price
appreciation.
CIF Inflation-Indexed Bond Fund seeks to maximize real return to the extent
consistent with preservation of capital and liquidity.
CIF Short Duration Fund seeks to provide current interest income with some
price appreciation, each consistent with liquidity and safety of principal.
On August 4, 2003, the Commonfund Endowment Multi-Strategy Bond Fund redeemed
a portion of its investment in the CIF Inflation-Indexed Bond Fund and in
exchange received securities valued at $48,958,606, which resulted in a net
realized gain of $1,698,711.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in conformity with accounting
principles generally accepted in the United States of America, which require
management to make estimates and assumptions in the preparation of the financial
statements. Actual results could differ from these estimates or assumptions.
The following is a summary of significant accounting policies, which are in
conformity with accounting principles generally accepted in the United States of
America, and are consistently followed by the Company in the preparation of its
financial statements:
SECURITY VALUATION
Equity securities listed on securities exchanges are valued at last sale prices
except for those securities reported through the NASDAQ system which use the
NASDAQ Official Closing Price. In the absence of a last sale price or the
closing price from the NASDAQ system, the current bid price is used. Unlisted
securities are valued at the current bid prices obtained from reputable brokers.
Corporate debt securities and debt securities of the U.S. Government and its
agencies (other than short-term investments which mature in less than sixty
days) are valued by an independent pricing service approved by the Board of
Directors, which utilizes market quotations and transactions, quotations from
dealers and various relationships among securities in determining value. If not
valued by a pricing service, such securities are valued at prices obtained from
independent brokers. Investments with prices that cannot be readily obtained are
carried at fair value as determined in good faith under consistently applied
procedures established by and under the supervision of the Board of Directors.
Short-term investments with an original maturity of 60 days or less are valued
at amortized cost which approximates market value. Short sales are generally
valued at the last close price. If the last close price is not available, the
ask price is used. Purchased options are generally valued at the last sale
price. If the last sale price is not available, the current bid price is used.
Written options are generally valued at the last trade price. If the last trade
price is not available, the ask price is used.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are recorded as of trade date. Realized gains and losses
from security transactions are determined on the basis of identified cost.
Interest income, including amortization of premium and accretion of discount on
securities, is accrued daily. Dividend income is recorded on the ex-dividend
date. Payments received from certain investments in the CIF Core Equity Fund and
CIF Small Cap Fund may be comprised of dividends and return of capital. The
payments may initially be recorded as dividend income and may subsequently be
reclassified as a return of capital upon receipt of information from the issuer.
Foreign income and foreign capital gains realized on some foreign securities may
be subject to foreign withholding taxes, which are accrued as applicable. Gains
and losses realized on prepayments received on mortgage-related securities are
recorded in interest income. Most expenses of the Company can be directly
attributed to a particular Fund. Expenses which cannot be directly attributed
are apportioned among the Funds based upon relative net assets or other
appropriate methods.
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders resulting from net investment income are recorded on
the ex-dividend date. The dividends are paid quarterly for CIF Core Equity Fund,
CIF Small Cap Fund, CIF All Cap Equity Fund and CIF International Equity Fund,
and monthly for CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond Fund and CIF
Short Duration Fund. Net realized capital gains, if any, are distributed at
least annually. Income and capital gains distributions are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These differences
are primarily due to differing book and tax treatments in the timing of the
recognition of gains or losses, including "Post-October Losses" and losses
deferred due to wash sales; and permanent differences due to differing
treatments for foreign currency transactions and non-taxable dividends. Any
taxable income or gain remaining at fiscal year end is distributed in the
following year. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications among the components of capital.
Undistributed net investment income may include temporary book and tax basis
differences which will reverse in a subsequent period. Permanent book-tax
differences, if any, are not included in ending undistributed net investment
income for the purpose of calculating net investment income per share in the
Financial Highlights. For the year ended April 30, 2004, the Funds reclassified
the following book to tax basis differences:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME GAIN/LOSS CAPITAL
- ------------------------------------------------------------------------------------
CIF Core Equity Fund $ (24,938) $ 24,938 $ -
- ------------------------------------------------------------------------------------
CIF Small Cap Fund 237,202 (237,202) -
- ------------------------------------------------------------------------------------
CIF All Cap Equity Fund 162,188 (4,244) (157,944)
- ------------------------------------------------------------------------------------
CIF International Equity Fund 605,280 (605,280) -
- ------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 45,083 (45,082) (1)
- ------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund - (1,640,320) 1,640,320
- ------------------------------------------------------------------------------------
CIF Short Duration Fund (13) 13 -
- ------------------------------------------------------------------------------------
</Table>
50
<Page>
REDEMPTION FEES
Shares of the CIF All Cap Equity Fund redeemed without a 30-day prior notice to
the Fund in amounts greater than $1 million, are subject to a redemption fee
equal to 2% of the amount redeemed. Redemption fees are recorded as paid-in
capital. For the year ended April 30, 2004, there were no redemption fees
charged.
SECURITIES SOLD SHORT
The CIF All Cap Equity Fund makes short sales in which a security is sold in
anticipation of a decline in the market value of that security or may use short
sales for various arbitrage and hedging transactions. To enter a short sale, the
CIF All Cap Equity Fund must borrow the security for delivery to the buyer. On
each day the short sale transaction is open, the liability for the obligation to
replace the borrowed security is marked-to-market and an unrealized gain or loss
is recorded. At the time the transaction is closed, the CIF All Cap Equity Fund
realizes a gain or loss equal to the difference between the proceeds from the
short sale and the cost of replacing the borrowed security. While the
transaction is open, the CIF All Cap Equity Fund also incurs an expense for any
accrued dividends or interest on the loaned securities which are paid to the
lender. (See Schedule of Investments for short positions outstanding at April
30, 2004). Short sales by the CIF All Cap Equity Fund involve certain risks and
special considerations. Possible losses from short sales differ from losses that
could be incurred from a purchase of a security, because losses from short sales
may be unlimited, whereas losses from purchases cannot exceed the total amount
invested. The CIF All Cap Equity Fund has cash or a significant portion of their
long investments equal to at least the liability for securities sold short
pledged as collateral.
SWAP AGREEMENTS
Certain Funds may enter into swap agreements to exchange one return or cash flow
for another return or cash flow in order to hedge against unfavorable changes in
the value of securities or to remain fully invested and to reduce transaction
costs. Interest rate swaps involve the exchange of commitments to pay and
receive interest based on a notional principal amount. Net periodic interest
payments to be received or paid are accrued daily. Interest rate swaps are
marked-to-market daily based upon quotations from market makers and the change,
if any, is recorded as unrealized appreciation or depreciation in the Statement
of Operations. Realized gains or losses on maturity or termination of interest
rate swaps are presented in the Statement of Operations. Because there is no
organized market for these swap agreements, the value reported in the Statement
of Assets and Liabilities may differ from that which would be realized in the
event the Fund terminated its position in the agreement. Credit risks may arise
upon entering into these agreements from the potential inability of the
counterparties to meet the terms of the agreements and are generally limited to
the amount of net interest payments to be received and/or favorable movements in
the value of the underlying security, if any, at the date of default. Risks also
arise from potential for losses from adverse market movements; and such losses
could exceed the related amounts shown in the Statement of Assets and
Liabilities. The Funds entered into no such agreements during the year ended
April 30, 2004.
WHEN-ISSUED/DELAYED DELIVERY SECURITIES
The Funds may purchase or sell securities on a when-issued or delayed delivery
basis. Securities traded on a when-issued basis are traded for delivery beyond
the normal settlement date at a stated price and yield, and no income accrues to
the purchaser prior to delivery. Purchasing or selling securities on a
when-issued or delayed delivery basis involves the risk that the market price at
the time of delivery may be lower or higher than the agreed upon price, in which
case an unrealized loss may be incurred at the time of delivery.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The books and records of the Funds are maintained in U.S. dollars. Foreign
currency amounts are translated into U.S. dollars at the mean of the bid and
asked prices of such currencies against U.S. dollars last quoted by a major bank
as follows:
- investments, other assets and liabilities - at the prevailing rates of
exchange on the valuation date;
- investment transactions, investment income and expenses - at the prevailing
rates of exchange on the dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange
rates and market prices at the close of the period, the Funds do not isolate
that portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of the securities held at period end. Similarly, the Funds do not isolate
the effect of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities sold during the period.
Accordingly, realized and unrealized foreign currency gains (losses) on
investments in securities are included in the reported net realized and
unrealized gains (losses) on investment transactions and balances.
Net realized gains (losses) on foreign currency transactions represent net
foreign exchange gains (losses) from foreign currency exchange contracts,
disposition of foreign currencies, currency gains or losses realized between the
trade and settlement dates on securities transactions, and the difference
between the amount of investment income and foreign taxes recorded on each of
the Fund's books and the U.S. dollar equivalent of amounts actually received or
paid. Net unrealized currency gains (losses) from valuing foreign currency
denominated assets and liabilities at period end exchange rates are reflected as
a component of unrealized appreciation (depreciation) in the Statement of
Assets and Liabilities. The change in net unrealized foreign currency gains
(losses) for the period is reflected in the Statement of Operations.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, fluctuations of exchange rates
in relation to the U.S. dollar, the possibility of lower levels of government
supervision and regulation of foreign securities markets and the possibility of
political or economic instability.
FOREIGN CURRENCY CONTRACTS
Certain Funds may enter into foreign currency contracts generally to attempt to
protect securities and related receivables and payables against changes in
future foreign currency rates and, in certain situations, to gain exposure to
foreign currencies. A foreign currency contract is an agreement between two
parties to buy or sell currency at a set price on a future date. The value of
the contract will fluctuate with changes in currency exchange rates. The
contract is marked-to-market daily and the change in value is recorded by the
Funds as unrealized gain or loss. The Funds record realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Credit risk
may arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and is generally limited to
the amount of the unrealized gains on the contracts, if any, at the date of
default. Risks may also arise from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. See Schedules of Investments for
all open foreign currency contracts at April 30, 2004.
51
<Page>
FUTURES
Certain Funds may use futures contracts in order to manage their exposure to the
stock and bond markets, to hedge against unfavorable changes in the value of
securities or to remain fully invested and to reduce transaction costs. Futures
contracts provide for the sale by one party and purchase by another party of a
specified amount of a specified security, index or instrument. Futures contracts
(for which cash, government securities or other high grade liquid investments is
pledged as collateral with brokers or custodians as "initial margin") are valued
based upon their quoted daily settlement prices; changes in initial settlement
value (represented by cash paid to or received from brokers as "variation
margin") are accounted for as unrealized appreciation (depreciation). When
futures contracts are closed, the difference between the opening value at the
date the contract was entered into and the value at closing is recorded as
realized gains or losses in the Statement of Operations.
Futures contracts involve market risk in excess of the amounts recognized in
the Statement of Assets and Liabilities. Risks arise from the possible movements
in security values underlying these instruments. The change in value of futures
contracts primarily corresponds with the value of their underlying instruments,
which may not correlate with the change in value of hedged investments. See
Schedules of Investments for all open futures contracts at April 30, 2004.
PURCHASED AND WRITTEN OPTIONS
Certain Funds may write covered call and put options on portfolio securities and
other financial instruments. Premiums are received and are recorded as
liabilities. The liabilities are subsequently adjusted to reflect the current
value of the options written. Premiums received from writing options which
expire are treated as realized gains. Premiums received from writing options
which are exercised or are closed are added to or offset against the proceeds or
amount paid on the transaction to determine the net realized gain or loss. By
writing a covered call option, a Fund, in exchange for the premium, foregoes the
opportunity for capital appreciation above the exercise price should the market
price of the underlying security increase. By writing a put option, a Fund, in
exchange for the premium, accepts the risk of having to purchase a security at
an exercise price that is above the current market price. The writer of an
option may incur losses in excess of the amounts included in the Statement of
Assets and Liabilities.
Certain Funds may purchase call and put options on their portfolio securities
or other financial instruments. The Funds may purchase call options to protect
against an increase in the price of the security or financial instrument it
anticipates purchasing. The Funds may purchase put options on securities which
it holds or other financial instruments to protect against a decline in the
value of the security or financial instrument or to close out covered written
put positions. Risks may arise from an imperfect correlation between the change
in market value of the securities held by the Funds and the prices of options
relating to the securities purchased or sold by the Funds and from the possible
lack of a liquid secondary market for an option. The maximum exposure to loss
for any purchased option is limited to the premium initially paid for the
option. See Schedules of Investments for all open purchased and written option
contracts at April 30, 2004.
3. INVESTMENT ADVISORY FEES AND OTHER RELATED PARTY TRANSACTIONS
The Company has retained the services of COMANCO, an indirect wholly-owned
subsidiary of The Common Fund for Nonprofit Organizations ("Commonfund"), as
investment manager. COMANCO exercises overall responsibility for supervision of
the investment program for the Funds but has contracted out the day-to-day
management of the investment operations of the Funds to sub-advisers, who are
compensated by COMANCO. As compensation for the services rendered by COMANCO
under the investment advisory agreement with the Company, COMANCO receives a fee
from the Funds, which is computed daily and generally paid quarterly. The Funds
pay COMANCO an annual fee shown as a percentage of average net assets for its
services, as follows:
<Table>
<Caption>
FUND EFFECTIVE RATE
- ---------------------------------------------------------------------
CIF Core Equity Fund 0.45%
- ---------------------------------------------------------------------
CIF Small Cap Fund 0.90%
- ---------------------------------------------------------------------
CIF All Cap Equity Fund 0.95%
- ---------------------------------------------------------------------
CIF International Equity Fund 0.70%
- ---------------------------------------------------------------------
CIF Core Plus Bond Fund 0.35%
- ---------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 0.15 - 0.35%*
- ---------------------------------------------------------------------
CIF Short Duration Fund 0.19%
- ---------------------------------------------------------------------
</Table>
*The Investment Advisory Fees vary with Fund performance. The total advisory fee
payable by the Fund will be 0.25% (25 basis points) per annum of assets under
management if the return of the Fund is 50 basis points above the Lehman U.S.
TIPS Index for the prior twelve months ("fulcrum point"), and will vary upwards
or downwards by an amount equal to 20% of any performance above or below the
fulcrum point. In no event will the fee exceed 35 basis points or decline below
15 basis points.
The Company and Investors Bank & Trust Company ("IBT Co.") have entered into
an administration agreement (the "Administration Agreement"), a custodian
agreement and a transfer agency and service agreement, pursuant to which IBT Co.
will provide general fund administration services to the Funds including fund
administration, fund accounting, custody and transfer agent services.
The Company has entered into a distribution agreement with Commonfund
Securities, Inc. ("Commonfund Securities"), an indirect wholly-owned subsidiary
of Commonfund and an affiliate of COMANCO, to serve as principal distributor for
shares of each Fund. COMANCO has agreed to pay Commonfund Securities for
services rendered to the Company and thus the Funds are not charged for these
services.
The Company will pay each Director, other than Directors that are officers of
COMANCO, an annual fee of $12,000 plus reimbursement of out-of-pocket expenses.
4. PRINCIPAL SHAREHOLDERS
The following table shows certain concentrations of principal shareholders of
each Fund as of April 30, 2004. Investment activities of these shareholders
could have a material effect on the Fund.
<Table>
<Caption>
SHAREHOLDERS
HOLDING IN EXCESS OF
10% OF FUND'S TOTAL % OWNED TOTAL %
OUTSTANDING SHARES BY PRINCIPAL OWNERSHIP BY
FUND ("PRINCIPAL SHAREHOLDERS") SHAREHOLDERS COMMONFUND
- ---------------------------------------------------------------------------------------------------
CIF Core Equity Fund 1 41.1% 41.1%
- ---------------------------------------------------------------------------------------------------
CIF Small Cap Fund 1 84.2% 84.2%
- ---------------------------------------------------------------------------------------------------
CIF All Cap Equity Fund 1 85.5% 85.5%
- ---------------------------------------------------------------------------------------------------
CIF International Equity Fund 2 61.3% 49.4%
- ---------------------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 2 33.3% 0.0%
- ---------------------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 2 49.3% 0.0%
- ---------------------------------------------------------------------------------------------------
CIF Short Duration Fund 0 0.0% 15.8%
- ---------------------------------------------------------------------------------------------------
</Table>
5. EXPENSE LIMITATIONS AND UNDERTAKINGS
COMANCO has contractually agreed that it will waive its fee or reimburse the
Funds for expenses so long as it serves as investment manager of a Fund to the
extent necessary to maintain each individual Fund's total operating expenses
from exceeding a certain percentage of average daily net assets per year stated
in the
52
<Page>
following table. This agreement may be amended only with the approval of the
Board of Directors of the Company.
<Table>
<Caption>
MAXIMUM OPERATING
EXPENSES AS A % OF
FUND AVERAGE DAILY NET ASSETS
- ---------------------------------------------------------------------
CIF Core Equity Fund 0.55%
- ---------------------------------------------------------------------
CIF Small Cap Fund 1.00%
- ---------------------------------------------------------------------
CIF All Cap Equity Fund 1.05%
- ---------------------------------------------------------------------
CIF International Equity Fund 0.95%*
- ---------------------------------------------------------------------
CIF Core Plus Bond Fund 0.45%
- ---------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 0.25%**
- ---------------------------------------------------------------------
CIF Short Duration Fund 0.25%
- ---------------------------------------------------------------------
</Table>
*Effective November 1, 2003, the expense cap for the Fund increased from 0.80%
to 0.95%.
**COMANCO has contractually agreed to waive fees and to reimburse expenses, so
long as it serves as Investment Manager to the Fund, in order to keep other
expenses from exceeding 10 basis points of average daily net assets. The
investment advisory fees paid for the year ended April 30, 2004 were equal to
0.15% of average net assets, but can vary from 0.15%-0.35% as more fully
described in Note 3.
6. FEDERAL TAXES
Each Fund intends to continue to qualify as a "Regulated Investment Company"
under Subchapter M of the Internal Revenue Code of 1986, as amended. By so
qualifying, a Fund will not be subject to Federal income taxes to the extent
that it distributes all of its taxable income and net realized gains, if any,
for its fiscal year. In addition, by distributing during each calendar year
substantially all of its net investment income, capital gains and certain other
amounts, if any, a Fund will not be subject to Federal excise tax. Therefore, no
Federal income tax provision is required.
Certain losses incurred by a Fund between November 1 and April 30 may be
deferred until the Fund's next fiscal year. Such losses are referred to as
"Post-October Losses." CIF All Cap Equity Fund and CIF Short Duration Fund have
elected to defer to May 1, 2004 Post-October Capital Losses of $1,305,363 and
$16,225, respectively.
At April 30, 2004, the Funds, for Federal income tax purposes, had capital
loss carryovers which will reduce the Funds' taxable income arising from net
realized gains on investments, if any, to the extent permitted by the Internal
Revenue Code and thus will reduce the amount of distributions to shareholders
which would otherwise be necessary to relieve the Funds of any tax liability for
federal income tax. The capital loss carryovers are as follows:
<Table>
<Caption>
FUND AMOUNT EXPIRATION DATE
- ---------------------------------------------------------------------
CIF Core Equity Fund $ 2,018,285 April 30, 2010
- ---------------------------------------------------------------------
CIF Core Equity Fund 9,847,829 April 30, 2011
- ---------------------------------------------------------------------
CIF International Equity Fund 2,041,440 April 30, 2010
- ---------------------------------------------------------------------
CIF International Equity Fund 5,540,486 April 30, 2011
- ---------------------------------------------------------------------
</Table>
During the year ended April 30, 2004, the CIF Core Equity Fund and CIF
International Equity Fund utilized $5,113,561 and $6,925,307, respectively, of
capital loss carryforwards.
The tax character of distributions paid during the year ended April 30, 2004
was as follows:
<Table>
<Caption>
ORDINARY LONG TERM
FUND INCOME CAPITAL GAIN RETURN OF CAPITAL
- ---------------------------------------------------------------------------------
CIF Core Equity Fund $ 1,774,233 $ - $ -
- ---------------------------------------------------------------------------------
CIF Small Cap Fund 2,046,623 - -
- ---------------------------------------------------------------------------------
CIF All Cap Equity Fund - - -
- ---------------------------------------------------------------------------------
CIF International Equity Fund 2,803,668 - -
- ---------------------------------------------------------------------------------
CIF Core Plus Bond Fund 7,753,035 953,546 -
- ---------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 8,821,513 4,792,877 -
- ---------------------------------------------------------------------------------
CIF Short Duration Fund 1,296,183 173 -
- ---------------------------------------------------------------------------------
</Table>
The tax character of distributions paid during the year ended April 30, 2003
was as follows:
<Table>
<Caption>
ORDINARY LONG TERM
FUND INCOME CAPITAL GAIN RETURN OF CAPITAL
- ---------------------------------------------------------------------------------
CIF Core Equity Fund $ 1,435,841 $ - $ -
- ---------------------------------------------------------------------------------
CIF Small Cap Fund N/A N/A N/A
- ---------------------------------------------------------------------------------
CIF All Cap Equity Fund N/A N/A N/A
- ---------------------------------------------------------------------------------
CIF International Equity Fund 1,911,078 - -
- ---------------------------------------------------------------------------------
CIF Core Plus Bond Fund 7,629,283 430,184 -
- ---------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 19,319,571 3,520,875 -
- ---------------------------------------------------------------------------------
CIF Short Duration Fund 1,250,984 629 -
- ---------------------------------------------------------------------------------
</Table>
As of April 30, 2004, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
LONG TERM
CAPITAL GAIN UNREALIZED
UNDISTRIBUTED (CAPITAL LOSS APPRECIATION
FUND ORDINARY INCOME CARRYOVER) (DEPRECIATION)*
- ---------------------------------------------------------------------------------------
CIF Core Equity Fund $ 104,076 $ (11,866,114) $ 15,401,616
- ---------------------------------------------------------------------------------------
CIF Small Cap Fund 14,696,306 4,772 5,967,617
- ---------------------------------------------------------------------------------------
CIF All Cap Equity Fund - - (6,564,445)
- ---------------------------------------------------------------------------------------
CIF International Equity Fund 1,966,340 (7,581,926) 18,818,229
- ---------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 2,951,714 863,992 287,824
- ---------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 439,966 766,480 2,106,160
- ---------------------------------------------------------------------------------------
CIF Short Duration Fund 11,105 - (42,918)
- ---------------------------------------------------------------------------------------
</Table>
*Includes unrealized appreciation (depreciation) on investments, derivatives,
and foreign currency denominated assets and liabilities, if any.
At April 30, 2004, the cost of securities for Federal income tax purposes and
the unrealized appreciation (depreciation) of investments for Federal income tax
purposes for each Fund were as follows:
<Table>
<Caption>
FEDERAL GROSS GROSS NET UNREALIZED
INCOME UNREALIZED UNREALIZED APPRECIATION/
FUND TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------
CIF Core Equity Fund $ 231,239,818 $ 19,427,703 $ (4,026,083) $ 15,401,620
- ----------------------------------------------------------------------------------------------------
CIF Small Cap Fund 131,784,883 5,967,617 - 5,967,617
- ----------------------------------------------------------------------------------------------------
CIF All Cap Equity Fund 178,000,498 3,336,138 (10,079,235) (6,743,097)
- ----------------------------------------------------------------------------------------------------
CIF International
Equity Fund 170,073,884 21,555,516 (2,716,512) 18,839,004
- ----------------------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 191,495,011 2,724,144 (2,396,623) 327,521
- ----------------------------------------------------------------------------------------------------
CIF Inflation-Indexed
Bond Fund 96,223,569 2,403,071 (296,911) 2,106,160
- ----------------------------------------------------------------------------------------------------
CIF Short Duration Fund 135,261,506 79,088 (122,006) (42,918)
- ----------------------------------------------------------------------------------------------------
</Table>
53
<Page>
7. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the year ended April 30, 2004 were as
follows:
LONG-TERM PURCHASES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- --------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 319,180,945 $ 319,180,945
- --------------------------------------------------------------------------------------
CIF Small Cap Fund - 270,417,393 270,417,393
- --------------------------------------------------------------------------------------
CIF All Cap Equity Fund - 267,207,256 267,207,256
- --------------------------------------------------------------------------------------
CIF International Equity Fund - 241,970,596 241,970,596
- --------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 890,650,066 73,250,719 963,900,785
- --------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 164,233,453 - 164,233,453
- --------------------------------------------------------------------------------------
CIF Short Duration Fund 31,773,434 62,387,810 94,161,244
- --------------------------------------------------------------------------------------
</Table>
LONG-TERM SALES
<Table>
<Caption>
FUND U.S. GOVERNMENT NON-U.S. GOVERNMENT TOTAL
- --------------------------------------------------------------------------------------
CIF Core Equity Fund $ - $ 263,466,958 $ 263,466,958
- --------------------------------------------------------------------------------------
CIF Small Cap Fund - 155,573,480 155,573,480
- --------------------------------------------------------------------------------------
CIF All Cap Equity Fund - 87,914,462 87,914,462
- --------------------------------------------------------------------------------------
CIF International Equity Fund - 216,849,899 216,849,899
- --------------------------------------------------------------------------------------
CIF Core Plus Bond Fund 860,305,747 69,768,273 930,074,020
- --------------------------------------------------------------------------------------
CIF Inflation-Indexed Bond Fund 169,313,462 - 169,313,462
- --------------------------------------------------------------------------------------
CIF Short Duration Fund 12,091,506 37,266,978 49,358,484
- --------------------------------------------------------------------------------------
</Table>
8. WRITTEN OPTIONS
The following table summarizes the written option transactions for CIF Core Plus
Bond Fund and CIF Inflation-Indexed Bond Fund for the year ended April 30, 2004:
CIF Core Plus Bond Fund
<Table>
<Caption>
PUTS CALLS
- ------------------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------
Outstanding, beginning of period 52 $ 54,052 33 $ 25,851
- ------------------------------------------------------------------------------------------
Options written 1,399 402,203 437 415,597
- ------------------------------------------------------------------------------------------
Options exercised 10 9,012 42 40,869
- ------------------------------------------------------------------------------------------
Options expired 151 159,455 38 34,872
- ------------------------------------------------------------------------------------------
Options sold 585 164,164 247 208,719
- ------------------------------------------------------------------------------------------
Outstanding, end of period 705 $ 123,624 143 $ 156,988
- ------------------------------------------------------------------------------------------
</Table>
CIF Inflation-Indexed Bond Fund
<Table>
<Caption>
PUTS CALLS
- ------------------------------------------------------------------------------------------
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------
Outstanding, beginning of period - $ - 192 $ 132,166
- ------------------------------------------------------------------------------------------
Options written 653 367,524 651 453,194
- ------------------------------------------------------------------------------------------
Options exercised 31 10,595 222 148,579
- ------------------------------------------------------------------------------------------
Options expired - - 78 55,938
- ------------------------------------------------------------------------------------------
Options sold 622 356,929 543 380,843
- ------------------------------------------------------------------------------------------
Outstanding, end of period - $ - - $ -
- ------------------------------------------------------------------------------------------
</Table>
9. FINANCIAL INSTRUMENTS WITH CONCENTRATIONS OF CREDIT RISK
Certain Funds invest in various fixed and adjustable rate mortgage-related
securities. Yields on mortgage-related securities are affected by prevailing
interest rates, prepayment rates and other factors, which are influenced by a
variety of economic, geographic, social and other factors. The Fund may invest a
significant portion of its portfolio in various financial service issuers and in
asset-backed securities collateralized by auto loans, credit card receivables or
mortgages.
10. CONTINGENCIES AND COMMITMENTS
In the normal course of business, the Funds enter into contracts that contain a
variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
11. SUBSEQUENT EVENTS
At a meeting of the Board of Directors held on April 22, 2004, the Board of
Directors approved the closing and liquidation of the Funds. As of July 30,
2004, or such subsequent date as may be approved by the Board of Directors, the
Funds will cease operations and initiate the orderly liquidation and
distribution of the Funds' portfolios.
54
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
[PRICEWATERHOUSECOOPERS LOGO]
To the Board of Directors and the Shareholders of
Commonfund Institutional Funds
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights, present fairly, in all
material respects, the financial position of CIF Core Equity Fund, CIF Small Cap
Fund, CIF All Cap Equity Fund, CIF International Equity Fund, CIF Core Plus Bond
Fund, CIF Inflation-Indexed Bond Fund and CIF Short Duration Fund (collectively
Commonfund Institutional Funds, referred to as the "Funds") at April 30, 2004,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods indicated, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with standards of the Public Company Accounting Oversight Board
(United States), which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at April 30, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
As discussed in Note 11, the Board of Directors approved the closing and
liquidation of the Funds.
/s/ PricewaterhouseCoopers LLP
- ------------------------------
PricewaterhouseCoopers LLP
New York, New York
June 14, 2004
55
<Page>
FEDERAL TAX INFORMATION (UNAUDITED)
For corporate shareholders, a portion of the ordinary dividends paid during the
Fund's year ended April 30, 2004 qualified for the dividends received deduction,
as follows:
<Table>
<Caption>
FUND AMOUNT
- ---------------------------------------------------------------------
CIF Core Equity Fund 100.00%
- ---------------------------------------------------------------------
CIF Small Cap Fund 3.97%
- ---------------------------------------------------------------------
</Table>
CIF International Equity Fund paid foreign taxes available for pass through
to shareholders of $376,711 or $0.01827 per share, and the Fund recognized
$3,632,249 of gross foreign source income during the year ended April 30, 2004.
CIF Core Plus Bond Fund, CIF Inflation-Indexed Bond Fund and CIF Short
Duration Fund have designated $953,546, $4,792,877 and $173 of its current year
distributions as capital gain distributions.
The following are estimates of qualified dividend income received by the
funds through April 30, 2004:
<Table>
<Caption>
FUND AMOUNT
- ---------------------------------------------------------------------
CIF Core Equity Fund $ 2,910,247
- ---------------------------------------------------------------------
CIF Small Cap Fund 534,585
- ---------------------------------------------------------------------
CIF All Cap Equity Fund 192,522
- ---------------------------------------------------------------------
CIF International Equity Fund 3,657,203
- ---------------------------------------------------------------------
</Table>
56
<Page>
DIRECTORS AND OFFICERS (UNAUDITED)
The following table lists the Company's directors and officers, their address
and age, their position with the Company, the length of time holding that
position with the Company, their principal occupation(s) during the past five
years, the number of portfolios in the fund complex they oversee, and other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies. The Company's Statement of
Additional Information includes additional information about the Company's
directors and is available, without charge, upon request by calling
1-888-TCF-MAIN or by writing The Commonfund, 15 Old Danbury Road, Wilton, CT
06897-0812.
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR TERM OF OFFICE OTHER DIRECTORSHIPS HELD
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
INDEPENDENT DIRECTORS
John B. Carroll 7 Director since Retired since 2001. President of GTE (Verizon) Investment
J2025 Main Street 1999. Management Corporation (communications) (1997-2000);
Ridgefield, CT 06877 Vice President of Investment Management for GTE (Verizon)
Age: 67 Corporation (communications) (1984-1997).
Trustee of iShares Trust and Director of iShares, Inc. since 1996;
and Director of the J.P. Morgan Private Equity Fund since 1998.
Formerly, Trustee and Member of the Executive Committee of
Commonfund (1991-1997).
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Louis W. Moelchert, Jr. 7 Director since President & Owner of Private Advisor, LLC (investments) since 1996;
3712 Berrington Bridge Place 1999. President of Spider Management Co. (investments) since 2000; and
Richmond, VA 23223 employed by the University of Richmond as Vice President for
Age: 61 Business and Finance from 1975 through 1997, and as Vice President
for Investments since 1997.
Member of the Board of Trustees of Commonfund as Vice Chairman from
1991 through 1993 and as Chairman from 1994 through 1998.
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Jerald L. Stevens 7 Director since Consultant in the areas of investment and financial management to a
1246 Old Stage Road 1999. range of clients including American Express, Rockefeller & Company,
Chester, VT 05143 James Wolfenson & Co., Indiana University and Xerox Financial
Services.
Formerly, Trustee of the Hospital Fund, Inc. (1991-1999), and
Chairman (1995-1999).
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
INTERESTED DIRECTORS(1)
Robert L. Bovinette 7 Director and President Emeritus of Commonfund since 2003; President and Chief
14 Via Entrada Chairman of the Executive Officer of Commonfund (1996-2003); Trustee of Commonfund,
Sandia Park, NM 87047 Board since (1996-2003) (EX OFFICIO) and 1982 to 1994 (Chair, 1986 to 1990).
Age: 63 1999. Chairman of the Board of Directors of the Investment Manager
(1999-2003); Chairman of the Board of Commonfund Realty Inc.
(1998-2003), and Director of Commonfund Capital, Inc. since 1998
(Chair of the Board, 2001-2003, and Chair of the Executive
Committee of the Board from 1998 through 2001).
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
William C. Hromadka 7 Director since Employed by the University of Southern California as Treasurer and
2221 Anacapa Street 2003. Associate Senior Vice President since 1990, and as Treasurer from
Santa Barbara, CA 93105 1987 through 1990.
Age: 61
Member of the Board of Trustees of Commonfund since 1994 (Chair
since 2003); Chair of the Board of Trustees of Endowment Realty
Investors II, Inc. since 1995; and Chair of the Board of Trustees
of Commonfund Capital, Inc. from 1998 through 2001.
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
PRINCIPAL OFFICERS
Verne O. Sedlacek 7 President since President and Chief Executive Officer of Commonfund since July 1,
Commonfund Institutional Funds 2003. 2003, and Executive Vice President and Chief Operating Officer
15 Old Danbury Road (2002-2003). Trustee of Commonfund Capital (1999-2001). President
P.O. Box 812 and Chief Operating Officer of John W. Henry Company (1998-2001).
Wilton, CT 06897-0812
Age: 48
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
John W. Auchincloss 7 Secretary and General Counsel and Secretary of Commonfund since 2000, and
Commonfund Institutional Funds Chief Legal Assistant/Associate General Counsel (1996-2000).
15 Old Danbury Road Officer
P.O. Box 812 since 1999.
Wilton, CT 06897-0812
Age: 45
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
James P. Feeney 7 Vice President Director of Compliance of Commonfund since 1999. Compliance Manager
Commonfund Institutional Funds since 2002. at Prudential Insurance Company of America (1997-1999).
15 Old Danbury Road
P.O. Box 812
Wilton, CT 06897-0812
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
57
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX POSITION(S) WITH
OVERSEEN COMPANY AND PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS AND
NAME, ADDRESS AND AGE BY DIRECTOR TERM OF OFFICE OTHER DIRECTORSHIPS HELD
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Jill Grossberg 7 Assistant Director and Counsel of Mutual Fund Administration at Investors
Investors Bank & Trust Company Secretary Bank & Trust Co. since 2000. Associate Counsel at Putnam
200 Clarendon Street since 2000. Investments, Inc. (investments) (1995-2000).
P.O. Box 9130
Boston, MA 02116
Age: 57
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Peter Kirby 7 Treasurer since Managing Director, Operations of Commonfund since 2002. Senior
Commonfund Institutional Funds 2003. Managing Director, Chief Administrative Officer of Whitehall Asset
15 Old Danbury Road Management (2001-2002). Principal for Morgan Stanley Asset
P.O. Box 812 Management, Chief Operating Officer of Graystone Wealth Management
Wilton, CT 06897-0812 Services (1998-2000).
Age: 46
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Victoria McFarlane 7 Assistant Director of Fund Administration at Investors Bank & Trust Co. since
Investors Bank & Trust Company Treasurer 2002. Assistant Vice President at MFS Investment Management
200 Clarendon Street since 2003. (1998-2002).
P.O. Box 9130
Boston, MA 02116
Age: 36
- ------------------------------ ------------- ---------------- -------------------------------------------------------------------
Susan C. Mosher 7 Assistant Senior Director and Senior Counsel of Mutual Fund Administration at
Investors Bank & Trust Company Secretary Investors Bank & Trust Co. since 1995.
200 Clarendon Street since 1999.
P.O. Box 9130
Boston, MA 02116
Age: 48
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Messrs. Bovinette and Hromadka are "interested persons" of the Company (as
such term is defined in the 1940 Act) by virtue of their employment with
Commonfund. The Investment Manager is an indirect, wholly-owned subsidiary of
Commonfund.
A description of the Company's proxy voting policies and procedures is available
on the Company's website at www.commonfund.org.
58
<Page>
INVESTMENT MANAGERS
COMMONFUND INSTITUTIONAL FUNDS
CIF CORE EQUITY FUND
Artisan Partners Limited Partnership, Milwaukee, WI
John A. Levin & Co., Inc., New York, NY
Marsico Capital Management, LLC, Denver, CO
Martingale Asset Management, L.P., Boston, MA
CIF SMALL CAP FUND
Artisan Partners Limited Partnership, Milwaukee, WI
Chartwell Investment Partners, L.P., Berwyn, PA
Martingale Asset Management, L.P., Boston, MA
TCW Asset Management Company, Los Angeles, CA
CIF ALL CAP EQUITY FUND
D.G. Capital Management, Inc., Boston, MA
Edgewood Management Company, New York, NY
Wellington Management Company, LLP, Boston, MA
CIF INTERNATIONAL EQUITY FUND
Capital Guardian Trust Company, Los Angeles, CA
Causeway Capital Management, LLC, Los Angeles, CA
Mastholm Asset Management, Atlanta, GA
Philadelphia International Advisors, Philadelphia, PA
TT International Investment Management, London, England
William Blair & Company, LLC, Chicago, IL
CIF CORE PLUS BOND FUND
BlackRock Advisors, Inc., New York, NY
Western Asset Management Company, Pasadena, CA
Western Asset Management Company Limited, London, England
CIF INFLATION-INDEXED BOND FUND
Western Asset Management Company, Pasadena, CA
Western Asset Management Company Limited, London, England
CIF SHORT DURATION FUND
Wellington Management Company, LLP, Boston, MA
Western Asset Management Company, Pasadena, CA
CUSTODIAN
Investors Bank & Trust Company, Boston, MA
AN INVESTOR SHOULD CONSIDER A FUND'S INVESTMENT OBJECTIVES, RISKS, AND CHARGES
AND EXPENSES CAREFULLY BEFORE INVESTING. THIS AND OTHER INFORMATION ABOUT A FUND
CAN BE FOUND IN THE FUND'S PROSPECTUS. YOU CAN OBTAIN A FUND'S PROSPECTUS BY
VISITING THE COMPANY'S WEBSITE AT www.commonfund.org.
59
<Page>
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<Page>
Commonfund Tel 888-TCF-MAIN
15 Old Danbury Road Tel 203-563-5000
P.O. Box 812 www.commonfund.org
Wilton, CT 06897-0812
[COMMONFUND LOGO]
INVESTED IN YOUR SUCCESS.
<Page>
ITEM 2. CODE OF ETHICS.
As of April 30, 2004, the Registrant has adopted a code of ethics that
applies to the Registrant's Principal Executive Officer and Principal
Financial Officer. For the year ended April 30, 2004, there were no
amendments to a provision of its code of ethics, nor were there any waivers
granted from a provision of the code of ethics. A copy of the Registrant's
code of ethics is filed with this Form N-CSR under Item 11(a)(1).
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that the Registrant has
two audit committee financial experts serving on its audit committee. The
audit committee financial experts serving on the Registrant's audit
committee are John B. Carroll and Jerald L. Stevens, who are "independent"
as defined in Item 3 of Form N-CSR.
The designation of each of John B. Carroll and Jerald L. Stevens as an
"audit committee financial expert" pursuant to Item 3 of Form N-CSR does
not (i) impose upon such individual any duties, obligations, or liability
that are greater than the duties, obligations and liability imposed upon
such individual as a member of Registrant's audit committee of Board of
Directors in the absence of such designation, and (ii) affect the duties,
obligations or liability of any other member of Registrant's audit
committee or Board of Directors.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES: The aggregate fees billed for professional services
rendered by the Registrant's principle accountants,
PricewaterhouseCoopers LLP, for the audit of the Registrant's
annual financial statements or services that are normally
provided by the accountants in connection with statutory and
regulatory filings and engagements for 2004 and 2003 were
$182,000 and $208,000, respectively.
(b) AUDIT RELATED FEES: No such fees were billed to the Registrant by
PricewaterhouseCoopers LLP for 2004 or 2003.
(c) TAX FEES: The aggregate fees billed for professional services
rendered by PricewaterhouseCoopers LLP for tax compliance, tax
advice, and tax planning for 2004 and 2003 were $33,500 and
$32,000, respectively. Such services included the review of
excise tax distribution requirement calculations, preparation of
federal and state regulated investment company income tax return,
federal excise tax returns and preparation of requests for filing
extensions.
(d) ALL OTHER FEES: No such fees were billed to the Registrant by
PricewaterhouseCoopers LLP for 2004 or 2003.
(e) (1)The Registrant's audit committee pre-approves all audit and
non-audit services to be performed by the Registrant's accountant
before the accountant is engaged by the Registrant to perform
such services and had not adopted pre-approval policies and
procedures as described in Rule 2-01(c) (7)(i)(B) of Reg. S-X.
(2) Not applicable.
(f) Not applicable.
(g) No such services were billed for aggregate non-audit fees for
professional services rendered to the Registrant by
PricewaterhouseCoopers LLP for 2004 or 2003. No such services
were rendered to the registrant's investment adviser and any
entity controlling, controlled by, or under common control with
the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable.
<Page>
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
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.
(a) Based on the evaluation of Registrant's disclosure controls and
procedures, as of a date within 90 days of the filing date,
Registrant's Chief Executive Officer and Principal Financial
Officer have concluded that Registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) are: (i) reasonably designed to ensure that
information required to be disclosed in this report is
appropriately communicated to Registrant's officers to allow
timely decisions regarding disclosures required to be reported;
(ii) reasonably designed to ensure that information required to
be disclosed in this report is recorded, processed, summarized
and reported in a timely manner; and (iii) are effective in
achieving the goals described in (i) and (ii) above.
(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 is attached.
(a) (2) Separate certifications for Registrant's principal executive
and principal financial officer, as required by Rule 30a-2(a)
under the Investment Company Act of 1940, are attached.
(b) A certification for Registrant's principal executive officer and
principal financial officer, as required by Rule 30a-2(b) under
the Investment Company Act of 1940, is attached. This
certification is being furnished to the Securities and Exchange
Commission solely pursuant to 18 U.S.C. section 1350 and is not
being filed as part of the Form N-CSR with the Commission.
<Page>
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Commonfund Institutional Funds
By: /S/ Verne Sedlacek
-------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date: July 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: /S/ Verne Sedlacek
---------------------------------------------------------------
Verne Sedlacek, President and Chief Executive Officer
Date: July 6, 2004
By: /S/ Peter Kirby
---------------------------------------------------------------
Peter Kirby, Treasurer
Date: July 6, 2004