<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5857
---------------------------------------------
CMG Fund Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts 02111
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Vincent Pietropaolo, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-617-772-3698
----------------------------
Date of fiscal year end: 07/31/05
--------------------------
Date of reporting period: 01/31/05
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
COLUMBIA MANAGEMENT(R)
CMG ENHANCED S&P 500(R) INDEX FUND
CMG LARGE CAP GROWTH FUND
CMG LARGE CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2005
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC.
NOT FDIC MAY LOSE VALUE
INSURED -------------------
NO BANK GUARANTEE
<Page>
TABLE OF CONTENTS
<Table>
Management Discussion of Fund Performance
CMG Enhanced S&P 500(R) Index Fund 1
CMG Large Cap Growth Fund 6
CMG Large Cap Value Fund 11
CMG Mid Cap Growth Fund 16
CMG Mid Cap Value Fund 21
CMG Small Cap Growth Fund 26
CMG Small Cap Value Fund 31
CMG Small/Mid Cap Fund 36
CMG International Stock Fund 41
Financial Statements
Financial Highlights 46
Schedule of Investments 55
Statements of Assets and Liabilities 118
Statements of Operations 120
Statements of Changes in Net Assets 122
Notes to Financial Statements 127
</Table>
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Enhanced S&P 500(R) Index Fund returned 9.25% for the six-month period ended
January 31, 2005. The fund's return was higher than the return of the S&P 500
Index, which was 8.16% for the same period. The fund also outperformed its peer
group. The average return for the Lipper Large Cap Core Funds Category was
7.27%.(1) Good stock selection and an emphasis on smaller-cap companies were
instrumental in the fund's outperformance relative to the index.
The fund reflects the characteristics of the S&P 500 Index in terms of sector
weights and market capitalization. To remain broadly diversified, we generally
limit exposure to any one stock to the company's weight in the S&P 500 Index,
plus or minus one half of one percentage point. For example, if the weight of a
stock in the S&P 500 Index were 3.00%, its position in the fund's portfolio
would typically not be greater than 3.50% or less than 2.50%. We select stocks
on a case-by-case basis, focusing on the financial, economic and operating
factors that we believe make them attractive.
Over the six-month period, overweight positions in several companies in diverse
economic sectors benefited return. Texas utility TXU (0.7% of net assets) was a
strong performer, as the company's restructuring program and increased focus on
its core power generation business contributed to earnings growth. Chemical
company Monsanto (0.6% of net assets) also performed well. Monsanto's success in
producing genetically engineered seeds that are resistant to insects and
pesticides helped generate a double-digit rise in sales. Monsanto also increased
its quarterly dividend, an action that was welcomed by investors, as the more
favorable tax treatment of dividends boosted enthusiasm for dividend-paying
stocks. In health care, an overweight in UnitedHealth Group (1.0% of net assets)
was positive. UnitedHealth added six million customers during 2004. In addition,
the company's year-over-year fourth quarter 2004 earnings rose substantially.
The company also announced a share buyback program.
Performance was also enhanced by merger activity. Procter & Gamble announced
that it would buy Gillette, and the fund holds positions in both companies (1.7%
and 1.0% of net assets, respectively). Sears Roebuck & Co. benefited when
Vornado Realty Trust took a position in the company, and subsequently, when
Kmart announced that it would purchase Sears. We sold our holdings in Sears
shortly after the merger with Kmart was announced, because we believed it had
reached full valuation.
A decision to underweight financial stocks, which did well during the period,
detracted from performance as did an overweight in Merck & Co. and Pfizer (0.6%
and 2.1% of net assets, respectively). Merck suffered when it withdrew its
arthritis drug Vioxx from the market. Pfizer was affected by Merck's actions and
concerns about the safety of its own arthritis drug Celebrex. We reduced Merck
to a benchmark weight but did not change Pfizer's weight because the drug
remained on the market.
1
<Page>
We believe the market has the potential to produce relatively modest gains in
2005. We plan to focus on large-cap, high quality companies which are appealing
because they are more attractively valued than small- and mid-cap companies and
because many are likely to raise their dividend payouts.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Exxon Mobil 3.5
General Electric 3.0
Microsoft 2.7
Wal-Mart Stores 2.4
Johnson & Johnson 2.2
Pfizer 2.1
International Business Machines 1.9
Citigroup 1.8
Intel 1.8
Procter & Gamble 1.7
</Table>
We appreciate your continued confidence in CMG Enhanced S&P 500(R) Index Fund.
Michael A. Welhoelter has managed the CMG Enhanced S&P 500(R) Index Fund since
May 2004 and has been with the advisor or its predecessors or affiliate
organizations since 2001.
/s/ Michael A. Welhoelter
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in the fund also includes market risk and tracking error risk. Unlike
the S&P 500 Index, the fund incurs administrative expenses and transaction costs
in trading stocks. The composition of the S&P 500 Index and the stocks held by
the fund will diverge.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG ENHANCED S&P 500(R)
INDEX FUND S&P 500 INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,415
6/30/2003 $ 10,540 $ 10,548
7/31/2003 $ 10,730 $ 10,734
8/31/2003 $ 10,930 $ 10,943
9/30/2003 $ 10,819 $ 10,827
10/31/2003 $ 11,399 $ 11,440
11/30/2003 $ 11,479 $ 11,541
12/31/2003 $ 12,085 $ 12,146
1/31/2004 $ 12,266 $ 12,369
2/29/2004 $ 12,408 $ 12,541
3/31/2004 $ 12,197 $ 12,352
4/30/2004 $ 12,005 $ 12,158
5/31/2004 $ 12,156 $ 12,324
6/30/2004 $ 12,378 $ 12,563
7/31/2004 $ 12,026 $ 12,147
8/31/2004 $ 12,116 $ 12,196
9/30/2004 $ 12,237 $ 12,328
10/31/2004 $ 12,438 $ 12,516
11/30/2004 $ 12,961 $ 13,023
12/31/2004 $ 13,458 $ 13,466
1/31/2005 $ 13,139 $ 13,139
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 9.25 7.11 16.96
S&P 500 Index 8.16 6.23 16.96
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER, 31 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Enhanced S&P 500(R) Index Fund 05/05/03 8.73 11.35 19.62
S&P 500 Index 7.19 10.88 19.67
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES WHEN
REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from May 5, 2003.
The Standard & Poor's (S&P) 500 Index is an unmanaged index that tracks the
performance of 500 widely held, large-capitalization US stocks. Unlike the fund,
indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG ENHANCED S&P 500(R) INDEX FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,092.50 1,023.95 1.32 1.28 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Large Cap Growth Fund returned 9.53% for the six-month period ended January
31, 2005. The fund beat both the Russell 1000 Growth Index and the Lipper Large
Cap Growth Funds Category average(1), which returned 6.01% and 7.42%,
respectively, over the same period. Large-cap stocks benefited from strong
earnings growth, driven by cost cutting and improved productivity. Our focus on
large-cap companies with strong competitive positions, high sustainable profits,
good balance sheets and above-average sales growth resulted in strong stock
selection, especially in the consumer discretionary and health care sectors.
In the consumer discretionary sector, lodging and specialty retailing stocks did
especially well. Lodging stocks, such as Marriott International (2.3% of net
assets), rallied nicely as travel spending recovered after dropping off in the
wake of 9/11. Demand for rooms also grew at a faster rate than supply, fueling
strong pricing. Among specialty retailers, a top gainer was Chico's FAS (1.2% of
net assets). Chico's FAS is a women's apparel store. Coach (1.1% of net assets),
a leather goods manufacturer and retailer was another top gainer. Both stocks
benefited from popular product lines, strong demand, good execution and steady
new store expansion.
Health care stocks were also strong contributors to performance. The fund
focused on medical device and specialty product companies, while keeping a
below-average stake in pharmaceuticals. This allocation worked well as drug
stocks remained under pressure from patent expirations and a lack of new
blockbuster products. Johnson & Johnson (4.1% of net assets) rallied nicely
following its acquisition of cardiac stent maker Guidant. In addition, HMOs
WellPoint and UnitedHealth Group (1.2% and 1.5% of net assets, respectively)
produced strong gains as revenue growth kept pace with rising medical costs.
Stock selection in other sectors was also strong. In consumer staples, both
Altria Group (formerly Philip Morris) and Alberto-Culver (1.5% and 1.7% of net
assets, respectively) were standouts. Altria Group rallied amid an improving
outlook for the settlement of pending tobacco litigation, while Alberto-Culver
continued to build its competitive advantage with beauty salons. In industrials,
Rockwell Automation and Tyco International (1.4% and 2.8% of net assets) were
winners. Rockwell Automation benefited from strong demand as companies here and
in China sought to automate manufacturing processes. Tyco International
generated strong earnings growth and excess cash that investors anticipated
would lead to share buybacks and an improved return on equity.
The fund's stake in technology stocks, which trailed the broader market, was in
line with the Russell 1000 Growth Index. Tech stocks apparently came under
pressure because of disappointing prospects for a new product cycle that could
drive future earnings growth. In addition, competition intensified as
technologies matured, products became more like commodities and manufacturers
proliferated in low-cost markets. Cisco Systems and Intel (2.5% and 2.6% of net
assets, respectively) were sizable investments. Both stocks declined during the
period. Elsewhere, disappointments included insurer American International Group
(0.9% of net assets), which declined as the government began investigating
industry practices.
6
<Page>
We believe that the environment for large-cap growth stocks remains favorable.
We expect economic and profit growth to support our outlook, although both are
likely to be lower than last year. If inflation remains low, as we expect,
longer-term interest rates are also likely to remain low. We also expect
large-cap growth stocks to benefit from attractive valuations relative to
large-cap value stocks.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Microsoft 4.4
Johnson & Johnson 4.1
Tyco International 2.8
Intel 2.6
Cisco Systems 2.5
Marriot International 2.3
International Business Machines 2.2
General Electric 2.1
Varian Medical Systems 2.1
Citigroup 1.8
</Table>
Thank you for investing in CMG Large Cap Growth Fund.
Alexander S. Macmillan has managed or co-managed the CMG Large Cap Growth Fund
since its inception and has been with the advisor or its predecessors or
affiliate organizations since 1989.
/s/ Alexander S. Macmillan
Paul J. Berlinguet, has co-managed the fund since October 2003 and has been with
the advisor since 2003.
/s/ Paul J. Berlinguet
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in growth stocks incurs the possibility of losses because their prices
are sensitive to changes in current or expected earnings.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
7
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG LARGE CAP GROWTH RUSSELL 1000 GROWTH
FUND INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,690 $ 9,695
10/31/2003 $ 10,230 $ 10,240
11/30/2003 $ 10,380 $ 10,347
12/31/2003 $ 10,627 $ 10,705
1/31/2004 $ 10,817 $ 10,924
2/29/2004 $ 10,888 $ 10,994
3/31/2004 $ 10,778 $ 10,789
4/30/2004 $ 10,488 $ 10,664
5/31/2004 $ 10,768 $ 10,862
6/30/2004 $ 10,948 $ 10,998
7/31/2004 $ 10,257 $ 10,377
8/31/2004 $ 10,127 $ 10,326
9/30/2004 $ 10,337 $ 10,424
10/31/2004 $ 10,557 $ 10,587
11/30/2004 $ 11,047 $ 10,951
12/31/2004 $ 11,507 $ 11,380
1/31/2005 $ 11,235 $ 11,000
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Large Cap Growth Fund 09/10/03 9.53 3.86 8.71
Russell 1000 Growth Index 6.01 0.70 7.07
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Large Cap Growth Fund 09/10/03 5.11 8.28 11.32
Russell 1000 Growth Index 3.47 6.30 10.37
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from September 10, 2003.
The Russell 1000 Growth Index is an unmanaged index that measures the
performance of those Russell 1000 Index companies with higher price-to-book
ratios and higher forecasted growth values. Unlike the fund, indices are not
investments, do not incur fees or expenses and are not professionally managed.
It is not possible to invest directly in an index. Securities in the fund may
not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
8
<Page>
UNDERSTANDING YOUR EXPENSES - CMG LARGE CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,095.28 1,022.68 2.64 2.55 0.50
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.50%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
9
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
10
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Large Cap Value Fund returned 9.61% for the six-month period ended January
31, 2005. The Russell 1000 Value Index gained 11.67%, and the average return of
the Lipper Multi-Cap Value Funds Category was 10.33%.(1) The fund's emphasis on
large cap, high quality names kept it out of some of the smaller, lower quality
names that led performance when the market rallied in the fourth quarter of
2004. However, we remain committed to our large cap, high quality strategy,
which has been rewarding to our shareholders over the long term.
Fund performance was led by the utility sector, which benefited from continued
low interest rates, restructuring and a general concern among investors that
economically-sensitive sectors were poised for a slowdown. TXU (2.0% of net
assets), which has benefited from new management and corporate restructuring,
continued its strong performance. It gained 76% for the period and was the best
performing stock in the portfolio. Entergy, a utilities holding company, (1.0%
of net assets) gained 22% over the period.
The fund also benefited from its investments in consumer staples companies. Good
news on the tobacco litigation front and continued strong cash flow helped
Altria Group (1.2% of net assets) to a 37% return for the period. The fund
benefited from holding Gillette, which agreed to be acquired by Procter & Gamble
at a handsome premium (1.2% and 1.3% of net assets, respectively). Several other
high quality consumer staple companies, including Clorox, ConAgra Foods and
Kraft Foods (1.1%, 0.5% and 1.4% of net assets, respectively), generated
double-digit gains during the period.
Although energy prices were volatile during the period, the energy sector, which
accounted for 13.5% of the fund's net assets, turned in a good performance for
the fund. Oil service company Halliburton (1.4% of net assets) led the group
with a 30% return. Shares of the company moved higher when the court approved
the company's settlement of all asbestos claims. The company also appears well
positioned to benefit from a pickup in spending by large integrated oil
companies. In addition, ConocoPhillips, Royal Dutch Petroleum and ChevronTexaco
(3.2%, 1.1% and 0.6% of net assets, respectively) each returned more than 15%
for the period.
Telecommunication services was the only sector that declined for the period, and
the fund was helped by its underweight in the sector throughout the period.
BellSouth, Verizon Communications and SBC Communications (0.8%, 1.6% and 2.1% of
net assets, respectively) each fell modestly during the period as cutthroat
competition and new technologies cast doubt on the continued success of their
existing business models.
Looking ahead, we remain optimistic about the stock market's long-term prospects
but cautiously optimistic about the short term. We believe that valuations are
reasonable but not cheap. If interest rates move higher, which they are likely
to do, it may be difficult for stock prices to move higher relative to earnings.
As a result, we expect gains to track the growth in corporate profits more
closely in the period ahead. Profits are likely to slow from the 20% growth rate
we saw in 2004.
In this environment, we continue to pay careful attention to the quality of the
fund's holdings, including cash flows, capital discipline and valuation. We
remain committed to implementing our value discipline and will continue to
emphasize relatively high quality, large companies.
11
<Page>
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Citigroup 4.4
Exxon Mobil 3.8
General Electric 3.6
ConocoPhillips 3.2
JPMorgan Chase & Co. 2.9
BP 2.7
Wells Fargo & Co. 2.5
US Bancorp 2.4
SBC Communications 2.1
American International Group 2.1
</Table>
Thank you for investing in CMG Large Cap Value Fund.
Brian Cunningham has co-managed the CMG Large Cap Value Fund since November 2003
and has been with the advisor or its predecessors or affiliate organizations
since 1987.
/s/ Brian Cunningham
Gregory M. Miller has co-managed the fund since May 2003 and has been with the
advisor or its predecessors or affiliate organizations since 1985.
/s/ Gregory M. Miller
Richard Dahlberg, CFA, has co-managed the fund since October 2003 and has been
with the advisor since 2003.
/s/ Richard Dahlberg
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Value stocks are securities of companies that may have experienced adverse
business or industry developments or may be subject to special risks that have
caused the stocks to be out of favor. If the advisor's assessment of a company's
prospects is wrong, the price of its stock may not approach the value the
advisor has placed on it.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
12
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 10, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG LARGE CAP VALUE RUSSELL 1000 VALUE
FUND INDEX
9/10/2003 $ 10,000 $ 10,000
9/30/2003 $ 9,820 $ 9,781
10/31/2003 $ 10,190 $ 10,380
11/30/2003 $ 10,230 $ 10,521
12/31/2003 $ 10,904 $ 11,169
1/31/2004 $ 11,045 $ 11,365
2/29/2004 $ 11,345 $ 11,609
3/31/2004 $ 11,265 $ 11,506
4/30/2004 $ 10,994 $ 11,226
5/31/2004 $ 11,004 $ 11,340
6/30/2004 $ 11,315 $ 11,608
7/31/2004 $ 11,114 $ 11,444
8/31/2004 $ 11,244 $ 11,607
9/30/2004 $ 11,424 $ 11,787
10/31/2004 $ 11,544 $ 11,982
11/30/2004 $ 12,035 $ 12,589
12/31/2004 $ 12,375 $ 13,010
1/31/2005 $ 12,183 $ 12,781
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Large Cap Value Fund 09/10/03 9.61 10.30 15.21
Russell 1000 Value Index 11.67 12.45 19.24
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Large Cap Value Fund 09/10/03 9.38 13.51 17.69
Russell 1000 Value Index 12.08 16.49 22.26
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from September 10, 2003.
The Russell 1000 Value Index is an unmanaged index that measures the performance
of those Russell 1000 Index companies with lower price-to-book ratios and lower
forecasted growth values. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these waivers or reimbursement arrangements,
performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
13
<Page>
UNDERSTANDING YOUR EXPENSES - CMG LARGE CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,096.08 1,022.68 2.64 2.55 0.50
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.50%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
14
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
15
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Mid Cap Growth Fund returned 16.30% for the six-month period ended January
31, 2005. The fund's performance exceeded the 13.61% return of the Russell
Midcap Growth Index and the 12.58% average of the Lipper Mid Cap Growth Funds
Category for the same period.(1) Stock selection in the health care, consumer
discretionary, materials and telecommunications sectors helped the fund
outperform its benchmark. Restructuring of the fund's technology holdings also
resulted in improved overall performance.
A new management team has been in place since June 2004. Our first task was to
reduce portfolio risk by restructuring certain of the fund's sectors. A good
example was the information technology sector. The team eliminated
commodity-type businesses in favor of those with greater intellectual property
content as reflected in companies with higher gross margins. The resulting
portfolio of higher quality names was well positioned for the market rally in
the fourth quarter of 2004, and certain semiconductor stocks performed
exceptionally well. Marvell Technology Group benefited from a new product
introduction, allowing it to attack new markets (1.6% of net assets). NVIDIA, a
position new to the portfolio, benefited from the introduction of a new graphics
chip (0.8% of net assets). Advanced Micro Devices also had a solid period due to
increased revenues and higher gross margins driven by market share gains (0.7%
of net assets). We believe that there is room for improvement and are expanding
coverage of Internet-related stocks, where we missed some opportunities and
misjudged others.
Although the fund had a neutral weight in health care, stocks selected for the
portfolio outperformed in the period. Kinetic Concepts, which produces a medical
device to accelerate the wound healing process, benefited from increased market
penetration (1.7% of net assets). DaVita, a dialysis service provider, advanced
on the news of its purchase of Gambro Healthcare's US dialysis business (1.9% of
net assets). Elan's stock price moved up with the successful introduction of
Tysabri, a drug treating multiple sclerosis (0.8% of net assets). Finally,
managed care company WellPoint continued to steadily grow earnings while
benefiting from positive investor sentiment associated with its ability to help
control health care costs (0.8% of net assets).
Consumer discretionary, materials and telecommunication services stocks also had
a positive impact on performance. Steady economic growth and some easing of oil
prices enhanced consumer confidence, benefiting retailers such as Chico's FAS
and Coach (1.5% and 1.2% of net assets, respectively). The restaurant industry
improved as cost pressures associated with commodities peaked, and Yum! Brands
gained 21% (1.5% of net assets). In the materials sector, stocks benefited from
strong commodity prices, and Potash Corp. of Saskatchewan jumped 68% (2.0% of
net assets). Finally, Western Wireless (0.4% of net assets) led performance
among our telecommunications stocks on news of its purchase by ALLTEL.
We maintained low exposure to the financial sector amid concerns about the
effects of a rising interest rate environment. Although the fund's financial
holdings advanced, they were not as strong as the sector overall. As the Federal
Reserve Board (the Fed) is unlikely to reverse its tightening policy in the near
term, we believe that financial stocks may not be as attractive as other market
sectors and are maintaining our low exposure. However, we improved our coverage
of this area by hiring an experienced finance analyst and will continue to
evaluate investment opportunities.
16
<Page>
We believe that the economy continues to grow at a healthy rate and that the
portfolio is positioned accordingly. We are bullish on the energy sector and see
continued strength in the materials and industrials sectors, where we are
maintaining exposure. Ongoing job creation, the unprecedented liquidity of
corporate balance sheets and a Fed that appears to be controlling inflation are
supportive of our outlook. Because of the portfolio's pro-cyclical positioning,
however, we are monitoring the economy and markets for signs of slowing growth.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Tempur-Pedic International 2.9
Potash Corp. of Saskatchewan 2.0
DaVita 1.9
Medicis Pharmaceuticals 1.9
Kinetic Concepts 1.7
Marvell Technology Group 1.6
Urban Outfitters 1.5
Manpower 1.5
Chico's FAS 1.5
Yum! Brands 1.5
</Table>
Thank you for investing in the CMG Mid Cap Growth Fund.
Kenneth A. Korngiebel has co-managed the CMG Mid Cap Growth Fund since June 2004
and has been with the advisor or its predecessors or affiliate organizations
since 1996.
/s/ Kenneth A. Korngiebel
Trent E. Nevills has co-managed the fund since June 2004 and has been with the
advisor since 2003.
/s/ Trent E. Nevills
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
17
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG MID CAP GROWTH RUSSELL MIDCAP GROWTH
FUND INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,580 $ 10,675
6/30/2003 $ 10,730 $ 10,828
7/31/2003 $ 10,930 $ 11,214
8/31/2003 $ 11,470 $ 11,832
9/30/2003 $ 10,849 $ 11,603
10/31/2003 $ 11,739 $ 12,538
11/30/2003 $ 12,059 $ 12,874
12/31/2003 $ 12,165 $ 13,014
1/31/2004 $ 12,445 $ 13,444
2/29/2004 $ 12,415 $ 13,669
3/31/2004 $ 12,265 $ 13,643
4/30/2004 $ 11,705 $ 13,259
5/31/2004 $ 11,865 $ 13,572
6/30/2004 $ 12,125 $ 13,787
7/31/2004 $ 11,045 $ 12,875
8/31/2004 $ 10,835 $ 12,716
9/30/2004 $ 11,295 $ 13,191
10/31/2004 $ 11,746 $ 13,638
11/30/2004 $ 12,456 $ 14,341
12/31/2004 $ 13,057 $ 15,028
1/31/2005 $ 12,847 $ 14,625
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Mid Cap Growth Fund 05/05/03 16.30 3.22 15.46
Russell Midcap Growth Index 13.61 8.80 24.38
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Mid Cap Growth Fund 05/05/03 7.67 7.32 17.46
Russell Midcap Growth Index 9.01 15.48 27.85
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from May 5, 2003.
The Russell Midcap Growth Index is an unmanaged index that measures the
performance of those Russell Midcap companies with higher price-to-book ratios
and higher forecasted growth values. Unlike the fund, indices are not
investments, do not incur fees or expenses and are not professionally managed.
It is not possible to invest directly in an index. Securities in the fund may
not match those in an index
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on the fund
distributions or the redemptions of fund shares.
18
<Page>
UNDERSTANDING YOUR EXPENSES - CMG MID CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,162.98 1,021.68 3.82 3.57 0.70
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.70%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
19
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
20
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Mid Cap Value Fund returned 10.30% for the six-month period ended January
31, 2005. The fund's return was less than the 15.88% return of the Russell
Midcap Value Index for the same period. The fund's emphasis on energy stocks and
stock selection within the consumer discretionary sector helped it achieve its
double-digit return. However, the fund fell short of its benchmark because it
had less exposure to certain areas of the market that were strong performers
during the period, including health care, utilities, homebuilders and food,
beverage and tobacco companies.
In a favorable environment of steady economic growth and continued low interest
rates, mid-cap value stocks were exceptional performers and health care,
utilities and energy stocks led the way. The fund participated in the strong
gains of all three sectors, although an underweight in health care and utilities
detracted from performance. During the period, we increased the fund's energy
exposure to an overweight relative to its benchmark. Some of the fund's best
performers included energy companies XTO Energy, Transocean and Noble (1.9%,
0.7% and 1.1% of net assets, respectively).
A late 2004 rally in stocks tied to consumer spending in the leisure and retail
areas also added to the fund's return. Federated Department Stores and Harrah's
Entertainment were among the sector's best performers for the fund (1.0% and
1.0% of net assets, respectively). However, these gains were partially offset by
disappointing results from Superior Industries and Gentex. Concerns about the
outlook for auto sales in 2005 hurt both companies, which have significant
exposure to the auto industry sales cycle, and the stocks were sold. Concerns
about a weak advertising environment hurt New York Times (0.5% of net assets)
and Mediacom Communications, a cable operator, which was sold before the period
ended. Within the consumer discretionary sector, the fund also gave up some
return because it did not have any exposure to homebuilders, which has been a
very strong group. Our decision to avoid the group is based on our belief that
the companies are currently operating at peak margins and our strategy is to
seek companies where there is room for positive incremental improvement in
operating margins. In the same vein, the fund's return from consumer staples
holdings was lower than its benchmark, primarily because of stocks we did not
own in the beverages, food products and tobacco group.
During the period, we added stocks that we believed would benefit from continued
economic growth. We added selectively to hotel REITs, such as Host Marriott
(1.1% of net assets) because we believe the sector is likely to benefit from
increased travel. We also added cyclical stocks such as Rohm and Haas,
Burlington Northern Santa Fe and Goodrich (1.1%, 1.1% and 1.1% of net assets,
respectively). If the commercial aerospace cycle continues to improve, we
believe that Goodrich, with its aerospace industry focus, is a likely
beneficiary.
Within the financials group, we have tried to mitigate the portfolio's
sensitivity to changes in interest rates by adding stocks such as Lincoln
National (0.8% of net assets), which derives a significant portion of its
earnings from variable annuities and other investment products.
During the period, our disciplined investment approach also led us to reduce
exposure to the auto parts industry because we believe that auto sales and
production have reached peak levels.
Despite the strong performance of mid-cap value stocks during the past year, we
continue to find attractively-valued stocks with the potential for continued
improvement in operating
21
<Page>
margins. Our research continues to point us toward economically-sensitive
companies. However, our focus has shifted from early-cycle industries, such as
semiconductors, to late-cycle industries, such as commercial construction and
infrastructure builders. We are also seeking companies that have the potential
to benefit from higher spending on equipment and technology.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Golden West Financial 1.9
XTO Energy 1.9
Brink's 1.8
Dean Foods 1.7
Amerada Hess 1.7
Exelon 1.6
Telephone & Data Systems 1.5
TJX Companies 1.5
Constellation Energy Group 1.5
UST 1.4
</Table>
We appreciate your continued confidence in CMG Mid Cap Value Fund.
Diane L. Sobin has co-managed the CMG Mid Cap Value Fund since September 2004
and has been with the advisor or its predecessors or affiliate organizations
since 2001.
/s/ Diane L. Sobin
David I. Hoffman has co-managed the fund since September 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2001.
/s/ David I. Hoffman
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investing in mid-cap stocks may present special risks, including possible
illiquidity and greater price volatility than stocks of larger, more established
companies.
Value stocks are securities of companies that may have experienced adverse
business or industry developments or may be subject to special risks that have
caused the stocks to be out of favor. If the advisor's assessment of a company's
prospects is wrong, the price of its stock may not approach the value the
advisor has placed on it.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
22
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG MID CAP VALUE RUSSELL MIDCAP VALUE
FUND INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,320 $ 10,719
6/30/2003 $ 10,370 $ 10,794
7/31/2003 $ 10,690 $ 11,130
8/31/2003 $ 10,970 $ 11,525
9/30/2003 $ 10,770 $ 11,435
10/31/2003 $ 11,491 $ 12,274
11/30/2003 $ 11,710 $ 12,630
12/31/2003 $ 12,214 $ 13,176
1/31/2004 $ 12,424 $ 13,524
2/29/2004 $ 12,804 $ 13,858
3/31/2004 $ 12,804 $ 13,880
4/30/2004 $ 12,563 $ 13,293
5/31/2004 $ 12,793 $ 13,633
6/30/2004 $ 13,164 $ 14,120
7/31/2004 $ 12,604 $ 13,737
8/31/2004 $ 12,523 $ 13,958
9/30/2004 $ 12,884 $ 14,364
10/31/2004 $ 13,003 $ 14,696
11/30/2004 $ 13,725 $ 15,690
12/31/2004 $ 14,155 $ 16,299
1/31/2005 $ 13,903 $ 15,918
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Mid Cap Value Fund 05/05/03 10.30 11.90 20.82
Russell Midcap Value Index 15.88 17.72 30.58
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Mid Cap Value Fund 05/05/03 7.53 15.91 23.33
Russell Midcap Value Index 15.43 23.71 34.27
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from May 5, 2003.
The Russell Midcap Value Index is an unmanaged index that measures the
performance of those Russell Midcap Index companies with lower price-to-book
ratios and lower forecasted growth values. The stocks are also members of the
Russell 1000 Value Index. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in indices. Securities in the fund may not match those in an
index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on the fund
distributions or the redemptions of fund shares.
23
<Page>
UNDERSTANDING YOUR EXPENSES - CMG MID CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,102.99 1,021.68 3.71 3.57 0.70
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.70%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
24
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
25
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Growth Fund returned 10.31% for the six-month period ended January
31, 2005. That was less than the Russell 2000 Growth Index and the Lipper Small
Cap Growth Funds Category average(1), which returned 13.48% and 12.58%,
respectively. As strong earnings growth fueled small-cap stock gains, the fund
benefited from its focus on higher quality companies with healthy balance
sheets, attractive business models and strong management teams. Disappointing
stock selection in the consumer discretionary, energy and industrials sectors
hampered returns relative to the Russell index. The fund also had a bias toward
companies with long-term, sustainable earnings growth at a time when investors
favored stocks with near-term earnings growth momentum.
Strong stock picking in technology, the fund's largest sector, helped
performance. F5 Networks (1.0% of net assets) rallied sharply as the company's
flexible software-based technology helped it gain market share. Retek and
Digitas (0.9% and 1.0% of net assets, respectively) also bolstered performance,
as they rebounded from earlier lows. Retek makes software that helps retailers
with merchandise projections, while Digitas is a marketing consultant
specializing in online media. Offsetting some of these gains was the fund's
overweight in semiconductor stocks, which were pressured by inventory issues. In
addition, PalmSource (0.4% of net assets) declined after failing to sign new
customers for its smart phone operating system.
Financial stocks helped performance, benefiting from favorable equity markets
and an increase in mergers and acquisitions. Top gainers included investment
banker Greenhill & Co. (0.8% of net assets). In addition, the fund did well by
owning banks that were well positioned for rising interest rates, such as
Mercantile Bank in the Midwest (0.8% of net assets).
Returns from consumer discretionary, energy and industrials stocks were strong,
but they trailed their respective sector averages. Top contributors to
performance included consumer discretionary stocks Scientific Games, Jarden and
Gaylord Entertainment (1.3%, 1.7% and 1.3% of net assets, respectively).
Scientific Games experienced strong demand from revenue-strapped states for its
lottery services, while consumer products conglomerate Jarden rose following a
recent acquisition. Gaylord Entertainment rallied on the popularity of its
convention and lodging facilities. However, the fund's overweight in media
stocks, as well as weak returns from retailers such as Sharper Image (0.8% of
net assets), detracted from sector returns.
Energy stocks rallied nicely, fueled by high commodity prices. The fund did not
fully participate in these gains because of its underweight in the sector. In
addition, the fund did not own the sector standouts but held exploration and
production stocks that trailed the sector average. Among industrials, the
biggest loss came from relocation firm Sirva (0.3% of net assets), which
suffered from accounting problems at its specialty insurance operation and a
drop in business at its European subsidiary. In health care, returns benefited
from investments in NeoPharm and Cell Therapeutics (0.8% and 0.6% of net assets,
respectively), which rebounded nicely as their outlooks improved. However, some
stocks that had previously done quite well, such as Salix Pharmaceuticals (0.7%
of net assets), retreated.
We remain optimistic about the prospects for small-cap growth stocks, which
stand to do well if the economy continues to grow. Although the valuation gap
between small- and large-cap
26
<Page>
stocks has closed, we believe earnings growth expectations for small company
stocks remain significantly higher than for stocks of larger companies.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Jarden 1.7
Scientific Games 1.3
Gaylord Entertainment 1.3
Infinity Property & Casualty 1.2
Advisory Board 1.2
DRS Technologies 1.1
Marvel Enterprises 1.1
UTI Worldwide 1.1
MTC Technologies 1.1
Bone Care International 1.0
</Table>
Thank you for investing in CMG Small Cap Growth Fund.
Paul J. Berlinguet has managed or co-managed the CMG Small Cap Growth Fund since
November 2003 and has been with the advisor since 2003.
/s/ Paul J. Berlinguet
Thomas P. Lettenberger has co-managed the fund since May 2004 and has been with
the advisor or its predecessors or affiliate organizations since 2000.
/s/ Thomas P. Lettenberger
Steven R. Lilly has co-managed the fund since May 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1995.
/s/ Steven R. Lilly
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because they may be thinly traded and less liquid than investments
in larger companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
27
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG SMALL CAP RUSSELL 2000
GROWTH FUND GROWTH INDEX
5/5/2003 $ 10,000 $ 10,000
5/31/2003 $ 10,750 $ 10,776
6/30/2003 $ 11,010 $ 10,984
7/31/2003 $ 11,530 $ 11,814
8/31/2003 $ 12,060 $ 12,449
9/30/2003 $ 11,620 $ 12,134
10/31/2003 $ 12,851 $ 13,182
11/30/2003 $ 13,141 $ 13,612
12/31/2003 $ 13,483 $ 13,673
1/31/2004 $ 14,037 $ 14,391
2/29/2004 $ 14,197 $ 14,369
3/31/2004 $ 14,410 $ 14,437
4/30/2004 $ 13,760 $ 13,712
5/31/2004 $ 13,781 $ 13,985
6/30/2004 $ 14,100 $ 14,451
7/31/2004 $ 12,769 $ 13,153
8/31/2004 $ 12,450 $ 12,870
9/30/2004 $ 13,163 $ 13,582
10/31/2004 $ 13,450 $ 13,912
11/30/2004 $ 14,399 $ 15,088
12/31/2004 $ 14,895 $ 15,629
1/31/2005 $ 14,085 $ 14,924
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small Cap Growth Fund 05/05/03 10.31 0.35 21.72
Russell 2000 Growth Index 13.48 3.71 25.83
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small Cap Growth Fund 05/05/03 5.64 10.48 27.17
Russell 2000 Growth Index 8.16 14.31 30.91
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from May 5, 2003.
The Russell 2000 Growth Index is an unmanaged index that measures the
performance of those Russell 2000 Index companies with higher price-to-book
ratios and higher forecasted growth values. Unlike the fund, indices are not
investments, do not incur fees or expenses and are not professionally managed.
It is not possible to invest directly in an index. Securities in the fund may
not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on the fund
distributions or the redemptions of fund shares.
28
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL CAP GROWTH FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,103.09 1,021.17 4.24 4.08 0.80
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.80%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
29
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
30
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Value Fund returned 13.73% for the six-month period ended January
31, 2005. Performance was behind the Russell 2000 Value Index, which gained
14.24% over the same period. The fund came out modestly ahead of the Lipper
Small Cap Value Funds Category average, which returned 13.32%.(1) Strong stock
selection bolstered returns, with the best gains coming from financials and
technology. Industrials and health care investments, however, hampered
performance relative to the Russell index.
We continued to focus on companies with strong competitive and financial
standings, good earnings growth prospects and reasonable stock valuations. We
also positioned the fund to take advantage of the economic recovery by keeping a
below-average stake in financials and above-average investments in technology
and industrials. Within financials, we downplayed thrifts and real estate
investment trusts, both of which tend to falter as interest rates rise. The
financials stocks the fund owned did quite well, as interest rates rose only
modestly. Among the biggest gainers were consumer specialty finance companies,
including a credit card company and a pawnshop. Banks and insurers also posted
strong returns.
Technology stocks trailed the overall market, as the sector failed to keep up
with investor expectations. The fund benefited from avoiding more speculative
tech companies, many of which disappointed investors during the period. The
fund's focus was on a diverse array of more conservative tech companies, which
moved into favor with investors. Among the strongest gainers were a cell phone
distributor, an information technology consultant/recruiter and a security
software company. Materials stocks also boosted performance. The fund had
overweights in metals, including steel and titanium, as well as coal. These
stocks rallied as commodity prices rose amid strong global demand and tightening
supply.
The fund's overweight in industrials should have helped performance as the
economy recovered and the sector posted strong gains. However, we focused the
fund on higher quality industrial companies, which hindered relative returns as
lower quality stocks posted exceptionally strong gains. Nevertheless, we kept
our emphasis on companies with strong balance sheets and good competitive
positioning, believing they will be the sector's long-term winners.
Within health care, the fund experienced some disappointments because the best
performers were more expensive and speculative stocks that snapped back from
earlier downturns. The fund tends not to own these types of stocks because they
do not meet either our valuation or quality criteria. In addition, the fund
owned positions in a funeral home, a contract service company, a specialty
pharmaceutical company and a dental practice, which were disappointments. Most
of these stocks faltered for company-specific reasons, and we held onto them
because we have confidence that the companies can overcome these short-term
challenges.
Our outlook for the US economy, stock market and small-cap value stocks, in
particular, is moderately optimistic. We expect the economy to continue to grow
at a measured pace in the coming year. We also think stocks have room to climb
as long as economic expansion continues and stock valuations remain reasonable.
As a result, we plan to maintain the fund's
31
<Page>
bias toward economically sensitive sectors. Although we believe small-cap stocks
are no longer inexpensive compared to large-cap stocks, we remain confident that
we will be able to find attractive investment opportunities in 2005.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Corn Products International 1.1
iShares Russell 2000
Value Index Fund 1.0
Cash America International 0.9
Scientific Games 0.8
Greif 0.8
Willbros Group 0.8
MPS Group 0.8
Consolidated Graphics 0.8
Harsco 0.8
Precision Castparts 0.8
</Table>
Thank you for investing in CMG Small Cap Value Fund.
Stephen Barbaro has managed the CMG Small Cap Value Fund since the fund's
inception and has been with the advisor or its predecessors or affiliate
organizations since 1997.
/s/ Stephen Barbaro
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because they may be thinly traded and less liquid than investments
in larger companies.
Value stocks are securities of companies that may have experienced adverse
business or industry developments or may be subject to special risks that have
caused the stocks to be out of favor. If the advisor's assessment of a company's
prospects is wrong, the price of its stock may not approach the value the
advisor has placed on it.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
32
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MAY 5, 2003 TO JANUARY 31, 2005
<Table>
<Caption>
CMG SMALL CAP RUSSELL 2000 RUSSELL 2000
VALUE FUND VALUE INDEX INDEX
5/5/2003 $ 10,000 $ 10,000 $ 10,000
5/31/2003 $ 10,510 $ 10,766 $ 10,771
6/30/2003 $ 10,720 $ 10,948 $ 10,966
7/31/2003 $ 11,291 $ 11,494 $ 11,652
8/31/2003 $ 11,820 $ 11,931 $ 12,186
9/30/2004 $ 11,710 $ 11,794 $ 11,961
10/31/2003 $ 12,660 $ 12,755 $ 12,965
11/30/2003 $ 13,160 $ 13,245 $ 13,426
12/31/2003 $ 13,619 $ 13,724 $ 13,698
1/31/2004 $ 14,119 $ 14,199 $ 14,293
2/29/2004 $ 14,353 $ 14,475 $ 14,421
3/31/2004 $ 14,619 $ 14,674 $ 14,555
4/30/2004 $ 14,017 $ 13,916 $ 13,813
5/31/2004 $ 14,109 $ 14,084 $ 14,033
6/30/2004 $ 14,885 $ 14,800 $ 14,623
7/31/2004 $ 14,200 $ 14,119 $ 13,639
8/31/2004 $ 14,139 $ 14,257 $ 13,570
9/30/2004 $ 14,722 $ 14,822 $ 14,206
10/31/2004 $ 14,926 $ 15,051 $ 14,486
11/30/2004 $ 16,285 $ 16,386 $ 15,742
12/31/2004 $ 16,741 $ 16,778 $ 16,208
1/31/2005 $ 16,150 $ 16,129 $ 15,533
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small Cap Value Fund 05/05/03 13.73 14.38 31.67
Russell 2000 Value Index 14.24 13.59 31.57
Russell 2000 Index 13.88 8.67 28.75
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small Cap Value Fund 05/05/03 12.46 22.92 36.46
Russell 2000 Value Index 13.37 22.25 36.64
Russell 2000 Index 10.83 18.33 33.83
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from May 5, 2003.
The Russell 2000 Value index is an unmanaged index that tracks the performance
of those Russell 2000 Index companies with lower price-to-book ratios and lower
forecasted growth values. The Russell 2000 Index is an unmanaged index that
tracks the performance of the 2,000 smallest of the 3,000 largest U.S. companies
based on market capitalization. Unlike the fund, indices are not investments, do
not incur fees or expenses and are not professionally managed. It is not
possible to invest directly in indices. Securities in the fund may not match
those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
33
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL CAP VALUE FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,137.32 1,021.17 4.31 4.08 0.80
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.80%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
34
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
35
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small/Mid Cap Fund returned 16.19% for the six-month period ended January
31, 2005. The fund outperformed the Russell 2500 Growth Index, which returned
13.53% for the same period. The fund also outperformed its peer group. The
average return for the Lipper MidCap Growth Funds Category was 12.58%.(1) Stock
selection in the health care, consumer discretionary and materials sectors
helped the fund outperform its benchmark. Restructuring of the fund's technology
holdings also resulted in improved performance.
A new management team has been in place since June 2004. Our first task was to
reduce portfolio risk by restructuring certain of the fund's sectors. A good
example was the information technology sector. The team eliminated
commodity-type businesses in favor of those with greater intellectual property
content as reflected in companies with higher gross margins. The resulting
portfolio of higher quality names was well positioned for the market rally in
the fourth quarter of 2004. Communications-related stocks, where the fund had
significant exposure, led performance: F5 Networks gained 83% and Amdocs rose
37% (1.0% and 1.0% of net assets, respectively). In the semiconductor industry,
Marvell Technology Group benefited from a new product introduction, allowing it
to attack new markets (1.2% of net assets). NVIDIA, a new position to the
portfolio, benefited from the introduction of a new graphics chip (0.4% of net
assets).
Although the fund had a lower weighting in health care, stocks selected for the
portfolio outperformed their benchmark counterparts. Kinetic Concepts, which
produces a medical device to accelerate the wound healing process, benefited
from increased market penetration (1.0% of net assets). Caremark Rx, a
pharmaceutical benefits manager, performed well after its acquisition of
AdvancePCS last spring (0.4% of net assets). We believe the company is well
positioned to capitalize on industry trends that call for greater cost control
as drug prices continue to rise. In addition, DaVita made strong gains on the
news of its purchase of Gambro Healthcare's US dialysis service business (1.5%
of net assets).
Consumer discretionary and materials stocks also had a positive impact on
performance. In the consumer discretionary sector, hotel and leisure stocks
benefited from the steady economic recovery and increased business travel.
Notable performers included Hilton Hotels and Harrah's Entertainment (0.7% and
0.9% of net assets, respectively). In addition, Tempur-Pedic International, a
manufacturer of foam mattresses and pillows, gained ground as the company's
products took market share (2.9% of net assets). Among materials holdings,
Potash Corp. of Saskatchewan led performance due to strong commodity prices
(2.1% of net assets).
The fund experienced some weakness in the energy sector during the fourth
quarter of 2004. We were willing to maintain our significant exposure in this
area because of our belief in the strength of longer-term industry fundamentals.
This patience has been rewarded in January as the sector rebounded strongly from
its lackluster fourth quarter performance. One stock that did disappoint was
Input/Output, which we eliminated during the period. The company reported
lower-than-expected earnings in the fourth quarter, after having previously
disappointed investors. We enhanced coverage of the financial sector by hiring
an experienced analyst. We have maintained low exposure in the finance area
because of concerns about the effects of a rising interest rate environment, but
we continue to hunt for new investment opportunities within the sector.
36
<Page>
We believe that the economy continues to grow at a healthy rate and that the
portfolio is positioned accordingly. We are bullish on the energy sector and see
continued strength in the materials and industrial sectors, where we are
maintaining exposure. Ongoing job creation, a build up of cash on corporate
balance sheets and a Federal Reserve Board that appears to be controlling
inflation support our outlook. However, we are monitoring the economy and
markets for any change in the pace of growth because of the fund's pro-cyclical
positioning.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Tempur-Pedic International 2.9
Potash Corp. of Saskatchewan 2.1
Medicis Pharmaceutical 1.9
Donaldson 1.9
Amylin Pharmaceuticals 1.8
United Defense Industries 1.5
Urban Outfitters 1.5
DaVita 1.5
Affiliated Managers Group 1.5
National-Oilwell 1.5
</Table>
We appreciate your continued confidence in the CMG Small/Mid Cap Fund.
Kenneth A. Korngiebel has co-managed the CMG Small/Mid Cap Fund since June 2004
and has been with the advisor or its predecessors or affiliate organizations
since 1996.
/s/ Kenneth A. Korngiebel
Trent E. Nevills has co-managed the fund since June 2004 and has been with the
advisor since 2003.
/s/ Trent E. Nevills
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investments in small- and mid-cap stocks may present special risks. They tend to
be more volatile and may be less liquid than the stocks of larger companies.
Small-cap stocks often have narrower markets, limited financial resources and
tend to be more thinly traded than stocks of larger companies.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
37
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, DECEMBER 1, 2000 TO JANUARY 31, 2005
<Table>
<Caption>
CMG SMALL/ RUSSELL 2500 RUSSELL 2500
MID CAP FUND GROWTH INDEX INDEX
1/12/2000 $ 10,000 $ 10,000 $ 10,000
12/31/2000 $ 10,830 $ 10,620 $ 10,861
1/31/2001 $ 10,780 $ 11,308 $ 11,218
2/28/2001 $ 9,480 $ 9,563 $ 10,496
3/31/2001 $ 8,650 $ 8,506 $ 9,920
4/30/2001 $ 9,689 $ 9,802 $ 10,796
5/31/2001 $ 9,710 $ 10,086 $ 11,120
6/30/2001 $ 9,640 $ 10,314 $ 11,278
7/31/2001 $ 9,290 $ 9,554 $ 10,875
8/31/2001 $ 8,730 $ 8,919 $ 10,518
9/30/2001 $ 7,659 $ 7,522 $ 9,157
10/31/2001 $ 7,999 $ 8,264 $ 9,630
11/30/2001 $ 8,499 $ 8,978 $ 10,409
12/31/2001 $ 8,900 $ 9,470 $ 10,993
1/31/2002 $ 8,650 $ 9,065 $ 10,857
2/28/2002 $ 8,290 $ 8,505 $ 10,667
3/31/2002 $ 8,740 $ 9,190 $ 11,404
4/30/2002 $ 8,580 $ 8,885 $ 11,376
5/31/2002 $ 8,420 $ 8,438 $ 11,042
6/30/2002 $ 7,840 $ 7,662 $ 10,420
7/31/2002 $ 7,081 $ 6,710 $ 9,177
8/31/2002 $ 7,030 $ 6,709 $ 9,204
9/30/2002 $ 6,690 $ 6,202 $ 8,475
10/31/2002 $ 6,960 $ 6,559 $ 8,751
11/30/2002 $ 7,270 $ 7,168 $ 9,465
12/31/2002 $ 6,870 $ 6,715 $ 9,038
1/31/2003 $ 6,890 $ 6,569 $ 8,797
2/28/2003 $ 6,770 $ 6,416 $ 8,586
3/31/2003 $ 6,860 $ 6,501 $ 8,668
4/30/2003 $ 7,271 $ 7,068 $ 9,440
5/31/2003 $ 7,881 $ 7,817 $ 10,368
6/30/2003 $ 8,060 $ 7,978 $ 10,566
7/31/2003 $ 8,300 $ 8,509 $ 11,134
8/31/2003 $ 8,691 $ 8,965 $ 11,650
9/30/2003 $ 8,271 $ 8,772 $ 11,491
10/31/2003 $ 9,071 $ 9,493 $ 12,399
11/30/2003 $ 9,371 $ 9,814 $ 12,866
12/31/2003 $ 9,441 $ 9,825 $ 13,150
1/31/2004 $ 9,671 $ 10,235 $ 13,630
2/29/2004 $ 9,752 $ 10,330 $ 13,841
3/31/2004 $ 9,622 $ 10,366 $ 13,924
4/30/2004 $ 9,242 $ 9,927 $ 13,256
5/31/2004 $ 9,392 $ 10,133 $ 13,526
6/30/2004 $ 9,551 $ 10,380 $ 13,971
7/31/2004 $ 8,771 $ 9,568 $ 13,158
8/31/2004 $ 8,491 $ 9,375 $ 13,124
9/30/2004 $ 8,951 $ 9,798 $ 13,619
10/31/2004 $ 9,342 $ 10,076 $ 13,929
11/30/2004 $ 9,992 $ 10,744 $ 14,970
12/31/2004 $ 10,481 $ 11,259 $ 15,556
1/31/2005 $ 10,190 $ 10,861 $ 15,033
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 16.19 5.38 0.45
Russell 2500 Growth Index 13.53 6.13 2.00
Russell 2500 Index 14.25 10.30 10.27
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Small/Mid Cap Fund 12/01/00 9.74 11.02 1.15
Russell 2500 Growth Index 8.47 14.59 2.94
Russell 2500 Index 11.35 18.29 11.42
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from December 1, 2000.
The Russell 2500 Growth Index is an unmanaged index that measures the
performance of those Russell 2500 Index companies with higher price-to-book
ratios and higher forecasted growth values. The Russell 2500 Index is an
unmanaged index that tracks the performance of the 2,500 smallest companies of
the Russell 3000 Index. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
38
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG SMALL/MID CAP FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,161.92 1,021.42 4.09 3.82 0.75
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.75%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
39
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
40
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2005, CMG International Stock Fund
returned 12.68%. The fund trailed the MSCI All Country World ex US Index, which
posted an 18.00% return during the period. The average return for the Lipper
International Multi-Cap Growth Funds Category was 15.62%.(1) Stock selection in
Japan and the United Kingdom (UK) were the principal reasons the fund fell
behind its benchmark.
During the period, we boosted the investment in Japan on the belief that its
economy was headed for a strong recovery after more than 10 years of recession
and deflation. We favored companies that had the potential to benefit from a
strong recovery. In fact, we were premature in our assessment of how quickly
this domestic expansion would occur. Inflation did not return as fast as
forecasts suggested, and consumer spending did not rebound at the pace we
originally anticipated. As a result, consumer-related Japanese stocks declined.
Telecommunications stocks in Japan also detracted from performance, especially
NTT DoCoMo (0.3% of net assets), a wireless communications company, which
suffered from stiff competition.
Pharmaceutical companies in the United Kingdom also held back results.
AstraZeneca (0.7% of net assets) lost traction when the FDA postponed approval
of IRESSA, a cancer drug. In addition, prescription trends were disappointing
for Crestor, AstraZeneca's cholesterol-lowering drug. However, the stock remains
in the portfolio because we continue to believe that it has long-term potential.
We raised the fund's commitment to Europe, where long-term growth prospects
appeared strong. We focused on smaller markets that were growing faster than
Europe as a whole and that were attractively priced relative to their potential
compared to larger markets. In particular, the fund's investments in Austria and
Greece did well. Both countries have fast-growing economies, relatively low
interest rates and policies that are friendly to business. When selecting
stocks, we gravitated toward banks, which have had a substantial increase in
loan demand in the improving economic environment. In Greece, for example, the
National Bank of Greece was a positive contributor (0.5% of net assets).
Two main themes dominated the fund's stock selection within its geographic
regions. We favored companies that we believed were 1) likely to increase
dividend payouts and/or 2) benefit from increased capital spending. With these
themes in mind, we increased investment in the industrials sector, a strategy
that added the most value over the period. Two companies were particularly
strong--Atlas Copco AB in Sweden, an electric tool manufacturer, and Vinci SA in
France, a construction company (1.2% and 1.1% of net assets, respectively).
Telecommunications companies also reflected these themes. We added Belgacom SA
(0.6% of net assets), Belgium's telecommunications company, which benefited from
cost-cutting and improved operations. In addition, we believe that the company
has the potential to raise its dividend.
Rising oil prices aided energy stocks, and one of the best performing companies
in the portfolio was Canada's EnCana (1.2% of net assets), the largest oil and
gas exploration company in North America.
We expect to emphasize four themes in 2005. First, we will continue to seek more
high-yielding companies that we believe are likely to increase dividends and/or
share buybacks.
41
<Page>
Second, we plan to increase the fund's exposure to companies that could benefit
from increased capital expenditures. Third, because we believe that improved
employment growth could boost consumer confidence, we plan to increase the
fund's exposure to retail stocks. Fourth, we expect to emphasize larger-cap
stocks. We believe they have the potential to outperform smaller caps, which
have led the global markets for three years.
The fund's top ten holdings and countries (as a percentage of net assets) as of
January 31, 2005 were:
<Table>
<Caption>
HOLDINGS (%)
ENI S.p.A. 1.8
Vodafone Group 1.8
BP 1.8
Nestle SA 1.8
GlaxoSmithKline 1.7
HSBC Holdings 1.6
Royal Bank of Scotland Group 1.4
Reckitt Benckiser 1.3
Barclays 1.3
Syngenta AG 1.3
<Caption>
COUNTRIES (%)
Japan 21.5
United Kingdom 21.3
France 8.5
Germany 7.7
Italy 5.3
Switzerland 4.8
Netherlands 4.5
Sweden 2.7
Canada 2.2
Ireland 1.9
</Table>
We appreciate your continued confidence in the CMG International Stock Fund.
Penelope L. Burgess has co-managed the CMG International Stock Fund since July
2004 and has been with the advisor or its predecessors or affiliate
organizations since 1993.
/s/ Penelope L. Burgess
Deborah F. Snee has co-managed the fund since July 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1999.
/s/ Deborah F. Snee
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
There are also specific risks involved when investing in foreign stocks, such as
currency exchange rate fluctuations, economic change, instability of emerging
countries and political developments.
A concentration of investments in a specific sector, such as the technology
sector, may cause the fund to experience increased volatility.
Holdings and country breakdowns are disclosed as a percentage of net assets, and
are subject to change. Because the fund is actively managed, there is no
guarantee the fund will continue to maintain the holdings and country breakdown
listed. The fund's holdings and their weights within the portfolio may change as
market conditions change.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
42
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1995 TO JANUARY 31, 2005
<Table>
<Caption>
CMG INTERNATIONAL MSCI EAFE MSCI ALL COUNTRY WORLD
STOCK FUND INDEX EX US INDEX
2/1/95 $ 10,000 $ 10,000 $ 10,000
2/28/95 $ 9,854 $ 9,971 $ 9,946
3/31/95 $ 10,233 $ 10,593 $ 10,508
4/30/95 $ 10,446 $ 10,991 $ 10,918
5/31/95 $ 10,315 $ 10,861 $ 10,869
6/30/95 $ 10,276 $ 10,671 $ 10,719
7/31/95 $ 10,933 $ 11,335 $ 11,326
8/31/95 $ 10,779 $ 10,904 $ 10,933
9/30/95 $ 11,013 $ 11,116 $ 11,120
10/31/95 $ 10,873 $ 10,817 $ 10,823
11/30/95 $ 11,087 $ 11,118 $ 11,078
12/31/95 $ 11,383 $ 11,566 $ 11,516
1/31/96 $ 11,582 $ 11,613 $ 11,674
2/29/96 $ 11,582 $ 11,653 $ 11,674
3/31/96 $ 12,032 $ 11,900 $ 11,893
4/30/96 $ 12,437 $ 12,246 $ 12,253
5/31/96 $ 12,619 $ 12,021 $ 12,069
6/30/96 $ 12,883 $ 12,088 $ 12,131
7/31/96 $ 12,308 $ 11,735 $ 11,728
8/31/96 $ 12,501 $ 11,761 $ 11,797
9/30/96 $ 12,780 $ 12,074 $ 12,090
10/31/96 $ 12,685 $ 11,951 $ 11,969
11/30/96 $ 13,122 $ 12,426 $ 12,431
12/31/96 $ 13,292 $ 12,266 $ 12,287
1/31/97 $ 13,290 $ 11,837 $ 12,060
2/28/97 $ 13,613 $ 12,031 $ 12,281
3/31/97 $ 13,718 $ 12,074 $ 12,255
4/30/97 $ 14,025 $ 12,138 $ 12,360
5/31/97 $ 14,828 $ 12,928 $ 13,122
6/30/97 $ 15,524 $ 13,641 $ 13,846
7/31/97 $ 15,979 $ 13,862 $ 14,126
8/31/97 $ 14,841 $ 12,826 $ 13,014
9/30/97 $ 15,850 $ 13,544 $ 13,719
10/31/97 $ 14,649 $ 12,503 $ 12,550
11/30/97 $ 14,590 $ 12,375 $ 12,393
12/31/97 $ 14,646 $ 12,483 $ 12,535
1/31/98 $ 14,742 $ 13,053 $ 12,910
2/28/98 $ 15,376 $ 13,891 $ 13,771
3/31/98 $ 16,084 $ 14,319 $ 14,248
4/30/98 $ 16,532 $ 14,432 $ 14,350
5/31/98 $ 16,800 $ 14,362 $ 14,089
6/30/98 $ 16,721 $ 14,471 $ 14,037
7/31/98 $ 16,763 $ 14,617 $ 14,170
8/31/98 $ 14,750 $ 12,806 $ 12,172
9/30/98 $ 13,673 $ 12,413 $ 11,916
10/31/98 $ 14,469 $ 13,706 $ 13,164
11/30/98 $ 15,610 $ 14,408 $ 13,871
12/31/98 $ 16,430 $ 14,976 $ 14,348
1/31/99 $ 17,204 $ 14,931 $ 14,333
2/28/99 $ 16,777 $ 14,575 $ 14,012
3/31/99 $ 17,066 $ 15,183 $ 14,688
4/30/99 $ 17,550 $ 15,798 $ 15,423
5/31/99 $ 17,147 $ 14,985 $ 14,698
6/30/99 $ 18,196 $ 15,569 $ 15,374
7/31/99 $ 18,797 $ 16,031 $ 15,734
8/31/99 $ 19,223 $ 16,091 $ 15,789
9/30/99 $ 19,685 $ 16,253 $ 15,895
10/31/99 $ 20,610 $ 16,863 $ 16,486
11/30/99 $ 23,079 $ 17,448 $ 17,145
12/31/99 $ 26,127 $ 19,015 $ 18,781
1/31/2000 $ 24,766 $ 17,807 $ 17,761
2/29/2000 $ 26,495 $ 18,286 $ 18,241
3/31/2000 $ 25,846 $ 18,996 $ 18,927
4/30/2000 $ 23,502 $ 17,997 $ 17,870
5/31/2000 $ 21,478 $ 17,557 $ 17,413
6/30/2000 $ 22,692 $ 18,244 $ 18,155
7/31/2000 $ 21,514 $ 17,479 $ 17,438
8/31/2000 $ 22,054 $ 17,632 $ 17,654
9/30/2000 $ 20,704 $ 16,773 $ 16,674
10/31/2000 $ 19,870 $ 16,377 $ 16,144
11/30/2000 $ 18,988 $ 15,763 $ 15,421
12/31/2000 $ 19,901 $ 16,323 $ 15,946
1/31/2001 $ 19,694 $ 16,314 $ 16,186
2/28/2001 $ 18,615 $ 15,091 $ 14,904
3/31/2001 $ 17,373 $ 14,084 $ 13,850
4/30/2001 $ 18,438 $ 15,063 $ 14,792
5/31/2001 $ 18,069 $ 14,531 $ 14,384
6/30/2001 $ 17,433 $ 13,937 $ 13,833
7/31/2001 $ 16,886 $ 13,683 $ 13,524
8/31/2001 $ 16,575 $ 13,337 $ 13,189
9/30/2001 $ 15,007 $ 11,986 $ 11,789
10/31/2001 $ 15,406 $ 12,293 $ 12,120
11/30/2001 $ 15,731 $ 12,747 $ 12,673
12/31/2001 $ 16,106 $ 12,822 $ 12,837
1/31/2002 $ 15,454 $ 12,141 $ 12,288
2/28/2002 $ 15,557 $ 12,226 $ 12,376
3/31/2002 $ 16,313 $ 12,946 $ 13,033
4/30/2002 $ 16,387 $ 12,972 $ 13,134
5/31/2002 $ 16,580 $ 13,137 $ 13,277
6/30/2002 $ 16,179 $ 12,614 $ 12,703
7/31/2002 $ 14,859 $ 11,369 $ 11,465
8/31/2002 $ 14,784 $ 11,343 $ 11,466
9/30/2002 $ 13,301 $ 10,124 $ 10,250
10/31/2002 $ 13,820 $ 10,668 $ 10,800
11/30/2002 $ 14,354 $ 11,153 $ 11,319
12/31/2002 $ 13,800 $ 10,778 $ 10,955
1/31/2003 $ 13,219 $ 10,328 $ 10,570
2/28/2003 $ 13,055 $ 10,092 $ 10,356
3/31/2003 $ 12,966 $ 9,894 $ 10,155
4/30/2003 $ 13,934 $ 10,864 $ 11,134
5/31/2003 $ 14,694 $ 11,522 $ 11,843
6/30/2003 $ 14,977 $ 11,801 $ 12,171
7/31/2003 $ 15,395 $ 12,086 $ 12,495
8/31/2003 $ 15,768 $ 12,378 $ 12,867
9/30/2003 $ 16,200 $ 12,759 $ 13,227
10/31/2003 $ 17,183 $ 13,554 $ 14,084
11/30/2003 $ 17,317 $ 13,855 $ 14,391
12/31/2003 $ 18,467 $ 14,937 $ 15,490
1/31/2004 $ 18,872 $ 15,147 $ 15,739
2/29/2004 $ 19,126 $ 15,497 $ 16,139
3/31/2004 $ 19,291 $ 15,584 $ 16,239
4/30/2004 $ 18,766 $ 15,232 $ 15,734
5/31/2004 $ 18,601 $ 15,284 $ 15,784
6/30/2004 $ 18,960 $ 15,618 $ 16,127
7/31/2004 $ 18,226 $ 15,111 $ 15,657
8/31/2004 $ 18,226 $ 15,177 $ 15,783
9/30/2004 $ 18,542 $ 15,573 $ 16,291
10/31/2004 $ 19,140 $ 16,104 $ 16,858
11/30/2004 $ 20,339 $ 17,204 $ 18,028
12/31/2004 $ 21,061 $ 17,960 $ 18,801
1/31/2005 $ 20,539 $ 17,633 $ 18,477
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG International Stock Fund 02/01/94 12.68 8.83 -3.67 7.46
MSCI EAFE Index 16.68 16.40 -0.20 5.84
MSCI All Country World ex US Index 18.00 17.39 0.79 6.33
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG International Stock Fund 02/01/94 11.08 14.05 -4.21 6.92
MSCI EAFE Index 15.00 20.25 -1.13 5.62
MSCI All Country World ex US Index 16.57 21.37 0.02 6.02
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East
(EAFE) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the US and
Canada. The Morgan Stanley Capital International (MSCI) All Country (AC) World
ex US Index is an unmanaged index of global stock market performance that
includes developed and emerging markets but excludes the United States. Unlike
the fund, indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any waivers or reimbursement of fund expenses by the
advisor or its affiliates. Absent these reimbursement arrangements, performance
results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
43
<Page>
UNDERSTANDING YOUR EXPENSES -- CMG INTERNATIONAL STOCK FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,126.78 1,021.42 4.02 3.82 0.75
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.75%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
44
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
45
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
-------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.97 $ 10.73 $ 10.00
-------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.14(c) 0.17 0.04
Net realized and unrealized gain on investments 0.97 1.13 0.69
-------------- -------------- --------------
Total from investment operations 1.11 1.30 0.73
-------------- -------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.20) (0.05) -
From net realized gains (0.10) (0.01) -
-------------- -------------- --------------
Total distributions declared to shareholders (0.30) (0.06) -
-------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 12.78 $ 11.97 $ 10.73
============== ============== ==============
Total return (d)(e) 9.25%(f) 12.08% 7.30%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 101,615 $ 98,247 $ 9,134
Ratio of net expenses to average net assets 0.25%(g) 0.25% 0.25%(g)
Ratio of net investment income to average net assets 2.16%(g) 1.43% 1.50%(g)
Reimbursement 0.04%(g) 0.05% 1.37%(g)
Portfolio turnover rate 28%(f) 60% 2%(f)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Net investment income per share reflects a special dividend which amounted
to $0.04 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
46
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2005 2004 (a)
-------------- -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.25 $ 10.00
-------------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.07(c) 0.03
Net realized and unrealized gain on investments 0.91 0.23
-------------- -----------------
Total from investment operations 0.98 0.26
-------------- -----------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.09) (0.01)
-------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 11.14 $ 10.25
============== =================
Total return (d)(e)(f) 9.53% 2.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 36,934 $ 40,684
Ratio of net expenses to average net assets (g) 0.50% 0.50%
Ratio of net investment income to average net assets (g) 1.34% 0.31%
Reimbursement (g) 0.05% 0.14%
Portfolio turnover rate (f) 57% 114%
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Net investment income per share reflects a special dividend which amounted
to $0.05 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
47
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2005 2004 (a)
-------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.09 $ 10.00
-------------- --------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.11 0.18
Net realized and unrealized gain on investments 0.96 0.93
-------------- --------------
Total from investment operations 1.07 1.11
-------------- --------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.22) (0.02)
From net realized gains (0.03) -
-------------- --------------
Total distributions declared to shareholders (0.25) (0.02)
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.91 $ 11.09
============== ==============
Total return (c)(d)(e) 9.61% 11.15%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 44,422 $ 47,855
Ratio of net expenses to average net assets (f) 0.50% 0.50%
Ratio of net investment income to average net assets (f) 1.90% 1.86%
Reimbursement (f) 0.04% 0.14%
Portfolio turnover rate (e) 26% 46%
</Table>
(a) The Fund commenced investment operations on September 10, 2003. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
48
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.04 $ 10.93 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.02) (0.05) (0.01)
Net realized and unrealized gain on investments 1.82 0.17 0.94
------------ ------------ ------------
Total from investment operations 1.80 0.12 0.93
------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains - (0.01) -
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.84 $ 11.04 $ 10.93
============ ============ ============
Total return (c)(d) 16.30%(e) 1.06% 9.30%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 19,510 $ 19,284 $ 2,161
Ratio of net expenses to average net assets 0.70%(f) 0.70% 0.70%(f)
Ratio of net investment loss to average net assets (0.27)%(f) (0.38)% (0.44)%(f)
Reimbursement 0.19%(f) 0.22% 3.85%(f)
Portfolio turnover rate 47%(e) 169% 23%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
49
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.58 $ 10.69 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.05 0.07 0.01
Net realized and unrealized gain on investments 1.25 1.84 0.68
------------ ------------ ------------
Total from investment operations 1.30 1.91 0.69
------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.09) (0.02) -
From net realized gains (0.09) -(c) -
------------ ------------ ------------
Total distributions declared to shareholders (0.18) (0.02) -
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 13.70 $ 12.58 $ 10.69
============ ============ ============
Total return (d)(e) 10.30%(f) 17.91% 6.90%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 23,101 $ 21,994 $ 2,651
Ratio of net expenses to average net assets 0.70%(g) 0.70% 0.70%(g)
Ratio of net investment income to average net assets 0.70%(g) 0.54% 0.49%(g)
Reimbursement 0.16%(g) 0.20% 3.61%(g)
Portfolio turnover rate 25%(f) 9% 2%(f)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
See Accompanying Notes to Financial Statements.
50
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.99 $ 11.53 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (b) (0.04) (0.08) (0.02)
Net realized and unrealized gain on investments 1.31 1.35 1.55
------------ ------------ ------------
Total from investment operations 1.27 1.27 1.53
------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net realized gains (0.74) (0.81) -
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.52 $ 11.99 $ 11.53
============ ============ ============
Total return (c)(d) 10.31%(e) 10.74% 15.30%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 37,087 $ 35,727 $ 21,006
Ratio of net expenses to average net assets 0.80%(f) 0.80% 0.80%(f)
Ratio of net investment loss to average net assets (0.62)%(f) (0.60)% (0.62)%(f)
Reimbursement 0.11%(f) 0.10% 0.35%(f)
Portfolio turnover rate 23%(e) 66% 37%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
51
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.91 $ 11.29 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.07 0.11 0.02
Net realized and unrealized gain on investments 1.87 2.79 1.27
------------ ------------ ------------
Total from investment operations 1.94 2.90 1.29
------------ ------------ ------------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.10) (0.06) -
From net realized gains (0.97) (0.22) -
------------ ------------ ------------
Total distributions declared to shareholders (1.07) (0.28) -
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 14.78 $ 13.91 $ 11.29
============ ============ ============
Total return (c)(d) 13.73%(e) 25.79% 12.90%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 43,934 $ 40,356 $ 21,356
Ratio of net expenses to average net assets 0.80%(f) 0.80% 0.80%(f)
Ratio of net investment income to average net assets 0.96%(f) 0.82% 0.66%(f)
Reimbursement 0.10%(f) 0.09% 0.36%(f)
Portfolio turnover rate 18%(e) 53% 5%(e)
</Table>
(a) The Fund commenced investment operations on May 5, 2003. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
52
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.77 $ 8.30 $ 6.96
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)(c) (0.05)(c) (0.03)(c)
Net realized and unrealized gain (loss) on
investments 1.44 0.52 1.37
------------ ------------ ------------
Total from investment operations 1.42 0.47 1.34
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 10.19 $ 8.77 $ 8.30
============ ============ ============
Total return (d)(e) 16.19%(f) 5.66% 19.25%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 43,760 $ 50,662 $ 73,926
Ratio of net expenses to average net assets 0.75%(g) 0.75% 0.78%(g)(h)
Ratio of net investment loss to average net assets (0.43)%(g) (0.49)% (0.50)%(g)(h)
Reimbursement 0.09%(g) 0.06% 0.06%(g)
Portfolio turnover rate 100%(f) 91% 84%(f)
<Caption>
YEAR PERIOD
ENDED ENDED
OCTOBER 31, OCTOBER 31,
2002 2001 (b)
------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.00 $ 10.00
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)(c) (0.02)
Net realized and unrealized gain (loss) on
investments (1.00) (1.98)
------------ ------------
Total from investment operations (1.04) (2.00)
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 6.96 $ 8.00
============ ============
Total return (d)(e) (13.00)% (20.00)%(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 54,769 $ 49,391
Ratio of net expenses to average net assets 0.80%(h) 0.80%(g)(h)
Ratio of net investment loss to average net assets (0.45)%(h) (0.23)%(g)(h)
Reimbursement 0.06% 0.17%(g)
Portfolio turnover rate 125% 167%(f)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on December 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Total return at net asset value.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
See Accompanying Notes to Financial Statements.
53
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
----------- ----------- -----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 12.17 $ 10.33 $ 9.32
----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income (loss) 0.04(b) 0.14(b) 0.11(b)
Net realized and unrealized
gain (loss) on investments,
foreign currency and
foreign capital gains tax 1.51 1.76 0.95
----------- ----------- -----------
Total from investment
operations 1.55 1.90 1.06
----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net investment
income (0.10) (0.06) (0.05)
From net realized gains . (0.29) - -
Total distributions declared
to shareholders (0.39) (0.06) (0.05)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 13.33 $ 12.17 $ 10.33
=========== =========== ===========
Total return (d) 12.68%(e)(f) 18.40%(e) 11.39%(e)(f)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 150,816 $ 152,251 $ 58,488
Ratio of net expenses to average
net assets 0.75%(g) 0.75% 0.93%(g)(h)
Ratio of net investment income
(loss) to average net assets 0.66%(g) 1.16% 1.50%(g)(h)
Reimbursement 0.03%(g) 0.05% 0.06%(g)
Portfolio turnover rate 39%(f) 91% 59%(f)
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------------------
2002 2001 2000 1999
----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 10.42 $ 16.20 $ 17.86 $ 12.54
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income (loss) 0.02(b) 0.03 0.04 (0.02)
Net realized and unrealized
gain (loss) on investments,
foreign currency and
foreign capital gains tax (1.09) (3.09) (0.36) 5.34
----------- ----------- ----------- -----------
Total from investment
operations (1.07) (3.06) (0.32) 5.32
----------- ----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED TO
SHAREHOLDERS:
From net investment
income (0.03) - - -
From net realized gains - (2.72) (1.34) -(c)
Total distributions declared
to shareholders (0.03) (2.72) (1.34) -(c)
----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 9.32 $ 10.42 $ 16.20 $ 17.86
=========== =========== =========== ===========
Total return (d) (10.28)% (22.46)% (3.58)% 42.44%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 20,616 $ 20,553 $ 22,975 $ 30,492
Ratio of net expenses to average
net assets 1.31%(h) 1.26%(h) 1.11%(h) 1.31%(h)
Ratio of net investment income
(loss) to average net assets 0.21%(h) 0.29%(h) 0.12%(h) (0.14)%(h)
Reimbursement - - - -
Portfolio turnover rate 111% 117% 140% 96%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Rounds to less than $0.01 per share.
(d) Total return at net asset value assuming all distributions reinvested.
(e) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(f) Not annualized.
(g) Annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
See Accompanying Notes to Financial Statements.
54
<Page>
CMG ENHANCED S&P 500(R) INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.3%)
Consumer Discretionary (11.0%)
Automobiles (0.4%)
Ford Motor Co. 34,100 $ 449,097
-------------
Distributors (0.1%)
Genuine Parts Co. 2,400 101,592
-------------
Hotels, Restaurants & Leisure (1.6%)
Carnival Corp. 9,700 558,720
Darden Restaurants, Inc. 3,500 103,460
McDonald's Corp. 27,700 897,203
Starwood Hotels & Resorts Worldwide, Inc. 1,800 104,202
-------------
1,663,585
-------------
Household Durables (0.6%)
Snap-On, Inc. 3,000 99,330
Stanley Works 11,300 537,428
-------------
636,758
-------------
Internet & Catalog Retail (0.5%)
Amazon.com, Inc. (a) 8,000 345,760
eBay, Inc. (a) 1,400 114,100
-------------
459,860
-------------
Leisure Equipment & Products (0.2%)
Hasbro, Inc. 5,900 115,640
Mattel, Inc. 5,300 103,085
-------------
218,725
-------------
Media (3.9%)
Comcast Corp., Class A (a) 30,100 968,919
Liberty Media Corp., Class A (a) 11,200 116,928
McGraw-Hill Companies, Inc. 6,700 606,350
Time Warner, Inc. (a) 68,500 1,233,000
UnitedGlobalCom, Inc., Class A (a) 53,600 523,672
Viacom, Inc., Class B 9,200 343,528
Walt Disney Co. 4,400 125,972
-------------
3,918,369
-------------
Multiline Retail (0.4%)
Dillard's, Inc., Class A 3,900 102,336
Federated Department Stores, Inc. 1,800 102,240
J.C. Penney Co., Inc. 2,800 119,616
Target Corp. 2,100 106,617
-------------
430,809
-------------
Specialty Retail (2.5%)
Abercrombie & Fitch Co., Class A 2,100 105,252
Barnes & Noble, Inc. (a) 14,100 461,070
Best Buy Co., Inc. 2,700 145,233
Gap, Inc. 5,100 112,251
Home Depot, Inc. 32,200 1,328,572
</Table>
See Accompanying Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Specialty Retail (continued)
Limited Brands, Inc. 4,500 $ 106,650
Lowe's Companies, Inc. 2,300 131,077
Toys "R" Us, Inc. (a) 5,300 113,685
-------------
2,503,790
-------------
Textiles, Apparel & Luxury Goods (0.8%)
NIKE, Inc., Class B 8,100 701,703
V.F. Corp. 2,000 106,300
-------------
808,003
-------------
Consumer Staples (11.4%)
Beverages (2.1%)
Adolph Coors Co., Class B 4,300 320,780
Coca-Cola Co. 34,600 1,435,554
PepsiCo, Inc. 7,100 381,270
-------------
2,137,604
-------------
Food & Staples Retailing (3.4%)
Albertson's, Inc. 4,600 105,248
Costco Wholesale Corp. 14,800 699,596
Safeway, Inc. (a) 5,600 105,560
SUPERVALU, Inc. 3,900 123,279
Wal-Mart Stores, Inc. 45,700 2,394,680
-------------
3,428,363
-------------
Food Products (1.4%)
ConAgra Foods, Inc. 3,500 103,250
H.J. Heinz Co. 15,700 593,617
Hershey Foods Corp. 2,200 128,678
Kellogg Co. 2,300 102,672
Tyson Foods, Inc., Class A 25,500 437,835
-------------
1,366,052
-------------
Household Products (1.9%)
Clorox Co. 1,800 106,956
Colgate-Palmolive Co. 2,300 120,842
Procter & Gamble Co. 32,300 1,719,329
-------------
1,947,127
-------------
Personal Products (1.1%)
Estee Lauder Companies, Inc., Class A 2,300 103,822
Gillette Co. 20,500 1,039,760
-------------
1,143,582
-------------
Tobacco (1.5%)
Altria Group, Inc. 14,800 944,684
UST, Inc. 11,900 602,854
-------------
1,547,538
-------------
</Table>
See Accompanying Notes to Financial Statements.
56
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Energy (7.1%)
Energy Equipment & Services (0.9%)
Baker Hughes, Inc. 2,800 $ 121,240
Halliburton Co. 4,300 176,859
Schlumberger Ltd. 7,300 496,692
Transocean, Inc. (a) 2,400 105,600
-------------
900,391
-------------
Oil & Gas (6.2%)
Amerada Hess Corp. 3,300 285,945
Apache Corp. 2,200 119,724
ChevronTexaco Corp. 28,900 1,572,160
ConocoPhillips 1,300 120,627
El Paso Corp. 10,800 117,396
Exxon Mobil Corp. 69,100 3,565,560
Kerr-McGee Corp. 1,800 111,150
Marathon Oil Corp. 2,700 104,571
Occidental Petroleum Corp. 1,800 105,084
Valero Energy Corp. 2,300 119,669
Williams Companies, Inc. 6,900 115,989
-------------
6,337,875
-------------
Financials (19.7%)
Capital Markets (3.4%)
Bank of New York Co., Inc. 12,700 377,317
Federated Investors, Inc., Class B 16,900 496,522
Franklin Resources, Inc. 6,400 434,304
Goldman Sachs Group, Inc. 7,400 798,090
Janus Capital Group, Inc. 8,800 130,504
Mellon Financial Corp. 3,400 99,790
Morgan Stanley 1,900 106,324
Northern Trust Corp. 11,600 506,224
State Street Corp. 9,200 412,252
T. Rowe Price Group, Inc. 1,700 101,745
-------------
3,463,072
-------------
Commercial Banks (4.7%)
BB&T Corp. 2,500 98,675
Commerce Bancorp, Inc. 7,800 448,812
KeyCorp 3,100 103,602
M&T Bank Corp. 1,200 122,832
National City Corp. 18,900 671,895
North Fork Bancorporation, Inc. 3,850 110,495
PNC Financial Services Group, Inc. 1,900 102,353
SunTrust Banks, Inc. 2,300 165,646
UnionBanCal Corp. 8,000 492,640
U.S. Bancorp 23,000 691,150
Wachovia Corp. 24,500 1,343,825
Wells Fargo & Co. 7,200 441,360
-------------
4,793,285
-------------
</Table>
See Accompanying Notes to Financial Statements.
57
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Consumer Finance (1.0%)
American Express Co. 2,700 $ 144,045
Capital One Financial Corp. 8,400 657,552
MBNA Corp. 9,300 247,194
-------------
1,048,791
-------------
Diversified Financial Services (4.1%)
Citigroup, Inc. 37,100 1,819,755
JPMorgan Chase & Co. 45,936 1,714,791
Principal Financial Group, Inc. 15,500 628,990
-------------
4,163,536
-------------
Insurance (5.7%)
AFLAC, Inc. 2,600 102,726
Ambac Financial Group, Inc. 1,400 107,632
American International Group, Inc. 17,600 1,166,704
Aon Corp. 5,000 113,700
Chubb Corp. 8,400 625,632
First American Corp. 14,000 517,720
Hartford Financial Services Group, Inc. 10,300 693,087
Lincoln National Corp. 4,300 198,402
MBIA, Inc. 1,700 101,558
MetLife, Inc. 19,500 775,125
Prudential Financial, Inc. 14,100 760,131
SAFECO Corp. 11,100 513,930
XL Capital Ltd., Class A 1,500 112,170
-------------
5,788,517
-------------
Real Estate (0.3%)
Apartment Investment & Management Co., Class A, REIT 7,700 276,430
-------------
Thrifts & Mortgage Finance (0.5%)
Countrywide Financial Corp. 8,100 299,700
Fannie Mae 1,800 116,244
Freddie Mac 1,500 97,935
-------------
513,879
-------------
Health Care (12.9%)
Biotechnology (0.7%)
Amgen, Inc. (a) 12,000 746,880
-------------
Health Care Equipment & Supplies (1.4%)
Bausch & Lomb, Inc. 1,700 123,913
Becton, Dickinson & Co. 1,900 107,635
Medtronic, Inc. 20,900 1,097,041
PerkinElmer, Inc. 5,500 126,445
-------------
1,455,034
-------------
Health Care Providers & Services (3.5%)
AmerisourceBergen Corp. 1,700 99,076
Cardinal Health, Inc. 13,100 737,792
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Caremark Rx, Inc. (a) 3,300 $ 129,030
CIGNA Corp. 1,300 104,325
HCA, Inc. 3,500 155,820
Humana, Inc. (a) 5,000 171,350
IMS Health, Inc. 20,100 469,938
Medco Health Solutions, Inc. (a) 13,710 583,634
UnitedHealth Group, Inc. 11,700 1,040,130
-------------
3,491,095
-------------
Pharmaceuticals (7.3%)
Abbott Laboratories 20,800 936,416
Allergan, Inc. 1,300 98,735
Bristol-Myers Squibb Co. 38,000 890,720
Eli Lilly & Co. 1,800 97,632
Johnson & Johnson 35,200 2,277,440
Merck & Co., Inc. 20,400 572,220
Pfizer, Inc. 88,300 2,133,328
Wyeth 10,500 416,115
-------------
7,422,606
-------------
Industrials (12.0%)
Aerospace & Defense (2.0%)
Boeing Co. 17,500 885,500
General Dynamics Corp. 6,900 712,425
Lockheed Martin Corp. 1,800 104,058
Raytheon Co. 6,800 254,320
United Technologies Corp. 1,100 110,748
-------------
2,067,051
-------------
Air Freight & Logistics (1.2%)
FedEx Corp. 1,200 114,780
Ryder System, Inc. 3,100 141,205
United Parcel Service, Inc., Class B 12,900 963,372
-------------
1,219,357
-------------
Building Products (0.1%)
Masco Corp. 3,400 125,120
-------------
Commercial Services & Supplies (1.5%)
Allied Waste Industries, Inc. (a) 14,000 116,340
Cendant Corp. 24,300 572,265
Equifax, Inc. 3,800 107,540
H&R Block, Inc. 11,600 560,396
Waste Management, Inc. 3,500 101,500
-------------
1,458,041
-------------
Electrical Equipment (0.1%)
Cooper Industries Ltd., Class A 1,500 104,250
-------------
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Industrial Conglomerates (5.6%)
3M Co. 12,800 $ 1,079,808
General Electric Co. 85,200 3,078,276
Textron, Inc. 5,300 381,494
Tyco International Ltd. 32,700 1,181,778
-------------
5,721,356
-------------
Machinery (0.8%)
Cummins, Inc. 1,500 116,505
Deere & Co. 1,500 104,145
Eaton Corp. 7,000 475,930
Parker Hannifin Corp. 1,500 97,740
-------------
794,320
-------------
Road & Rail (0.6%)
Norfolk Southern Corp. 2,800 97,776
Union Pacific Corp. 8,200 488,720
-------------
586,496
-------------
Trading Companies & Distributors (0.1%)
W.W. Grainger, Inc. 1,800 110,178
-------------
Information Technology (15.1%)
Communications Equipment (2.5%)
Avaya, Inc. (a) 34,300 492,205
Cisco Systems, Inc. (a) 55,900 1,008,436
Motorola, Inc. 9,000 141,660
QUALCOMM, Inc. 23,400 871,416
-------------
2,513,717
-------------
Computers & Peripherals (4.2%)
Apple Computer, Inc. (a) 3,400 261,460
Dell, Inc. (a) 11,200 467,712
EMC Corp. (a) 13,700 179,470
Hewlett-Packard Co. 42,800 838,452
International Business Machines Corp. 20,700 1,933,794
Lexmark International, Inc., Class A (a) 1,300 108,355
Storage Technology Corp. (a) 15,100 475,499
-------------
4,264,742
-------------
Electronic Equipment & Instruments (0.2%)
Agilent Technologies, Inc. (a) 4,500 99,495
Jabil Circuit, Inc. (a) 4,500 106,065
-------------
205,560
-------------
Internet Software & Services (0.2%)
Yahoo!, Inc. (a) 6,200 218,302
-------------
IT Services (0.8%)
Affiliated Computer Services, Inc., Class A (a) 1,900 102,961
Computer Sciences Corp. (a) 11,200 577,024
Convergys Corp. (a) 7,000 100,030
-------------
780,015
-------------
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Office Electronics (0.1%)
Xerox Corp. (a) 7,300 $ 115,924
-------------
Semiconductors & Semiconductor Equipment (3.0%)
Freescale Semiconductor, Inc., Class B (a) 6,159 107,598
Intel Corp. 80,000 1,796,000
Linear Technology Corp. 15,300 577,422
Texas Instruments, Inc. 25,300 587,213
-------------
3,068,233
-------------
Software (4.1%)
Adobe Systems, Inc. 8,300 472,270
Autodesk, Inc. 3,900 114,543
Citrix Systems, Inc. (a) 4,400 94,380
Computer Associates International, Inc. 3,700 100,603
Fair Isaac Corp. 3,200 110,560
Microsoft Corp. 106,300 2,793,564
Oracle Corp. (a) 28,900 397,953
Symantec Corp. (a) 4,400 102,740
-------------
4,186,613
-------------
Materials (3.1%)
Chemicals (1.2%)
Dow Chemical Co. 2,200 109,340
E.I. du Pont de Nemours & Co. 2,200 104,632
Eastman Chemical Co. 2,000 108,300
Monsanto Co. 11,700 633,321
PPG Industries, Inc. 1,600 110,048
Rohm and Haas Co. 2,300 101,752
-------------
1,167,393
-------------
Construction Materials (0.1%)
Vulcan Materials Co. 2,000 112,960
-------------
Containers & Packaging (0.2%)
Ball Corp. 2,400 102,528
Temple-Inland, Inc. 1,500 95,400
-------------
197,928
-------------
Metals & Mining (1.0%)
Phelps Dodge Corp. 6,000 577,800
United States Steel Corp. 8,400 435,120
-------------
1,012,920
-------------
Paper & Forest Products (0.6%)
Georgia-Pacific Corp. 11,800 378,780
Louisiana-Pacific Corp. 4,300 110,080
Weyerhaeuser Co. 1,600 99,840
-------------
588,700
-------------
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Telecommunication Services (3.5%)
Diversified Telecommunication Services (3.1%)
ALLTEL Corp. 2,500 $ 137,600
BellSouth Corp. 34,300 900,032
CenturyTel, Inc. 3,000 97,800
SBC Communications, Inc. 49,300 1,171,368
Sprint Corp. 4,700 112,001
Verizon Communications, Inc. 19,200 683,328
-------------
3,102,129
-------------
Wireless Telecommunication Services (0.4%)
Nextel Communications, Inc., Class A (a) 14,900 427,481
-------------
Utilities (3.5%)
Electric Utilities (2.2%)
American Electric Power Co., Inc. 15,300 539,325
Exelon Corp. 2,300 101,775
PG&E Corp. (a) 9,600 336,000
TECO Energy, Inc. 34,600 553,946
TXU Corp. 10,200 705,840
-------------
2,236,886
-------------
Gas Utilities (0.1%)
Nicor, Inc. 2,800 103,376
-------------
Multi-Utilities & Unregulated Power (1.2%)
Constellation Energy Group 9,100 455,000
Duke Energy Corp. 29,100 779,589
-------------
1,234,589
-------------
Total Common Stocks
(Cost of $91,235,656) 100,885,882
-------------
Investment Company (0.5%)
SPDR Trust Series 1 4,700 555,352
-------------
Total Investment Company
(Cost of $560,931) 555,352
-------------
Total Investments (99.8%)
(Cost of $91,796,587) (b) 101,441,234
Other Assets & Liabilities, Net (0.2%) 174,021
-------------
Net Assets (100.0%) $ 101,615,255
=============
</Table>
See Accompanying Notes to Financial Statements.
62
<Page>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $91,796,587.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Financials 19.7%
Information Technology 15.1
Health Care 12.9
Industrials 12.0
Consumer Staples 11.4
Consumer Discretionary 11.0
Energy 7.1
Utilities 3.5
Telecommunication Services 3.5
Materials 3.1
Investment Company 0.5
Other Assets & Liabilities, Net 0.2
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
----------- --------------------------------
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
63
<Page>
CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (96.3%)
Consumer Discretionary (18.0%)
Hotels, Restaurants & Leisure (5.6%)
Carnival Corp. 7,310 $ 421,056
Hilton Hotels Corp. 18,630 414,517
Marriott International, Inc., Class A 13,270 838,399
McDonald's Corp. 7,930 256,853
Starbucks Corp. (a) 2,700 145,800
-------------
2,076,625
-------------
Internet & Catalog Retail (1.1%)
eBay, Inc. (a) 4,700 383,050
-------------
Media (2.2%)
News Corp., Class A 10,040 170,680
Omnicom Group, Inc. 3,230 274,194
XM Satellite Radio Holdings, Inc., Class A (a) 11,770 375,581
-------------
820,455
-------------
Multiline Retail (1.2%)
Nordstrom, Inc. 9,460 456,445
-------------
Specialty Retail (6.1%)
Bed Bath & Beyond, Inc. (a) 3,610 145,447
Best Buy Co., Inc. 7,020 377,606
Chico's FAS, Inc. (a) 8,140 428,815
Home Depot, Inc. 11,800 486,868
Lowe's Companies, Inc. 5,100 290,649
Staples, Inc. 15,420 504,851
-------------
2,234,236
-------------
Textiles, Apparel & Luxury Goods (1.8%)
Coach, Inc. (a) 7,070 396,627
NIKE, Inc., Class B 3,230 279,815
-------------
676,442
-------------
Consumer Staples (11.6%)
Beverages (1.6%)
PepsiCo, Inc. 10,860 583,182
-------------
Food & Staples Retailing (1.9%)
Sysco Corp. 9,610 336,062
Wal-Mart Stores, Inc. 6,730 352,652
-------------
688,714
-------------
Food Products (0.5%)
Hershey Foods Corp. 3,500 204,715
-------------
Household Products (1.7%)
Procter & Gamble Co. 11,720 623,855
-------------
</Table>
See Accompanying Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Personal Products (4.4%)
Alberto-Culver Co. 11,650 $ 632,013
Avon Products, Inc. 14,410 608,390
Gillette Co. 7,900 400,688
-------------
1,641,091
-------------
Tobacco (1.5%)
Altria Group, Inc. 8,440 538,725
-------------
Energy (1.4%)
Energy Equipment & Services (0.9%)
National-Oilwell, Inc. (a) 5,320 196,202
Smith International, Inc. (a) 2,160 127,872
-------------
324,074
-------------
Oil & Gas (0.5%)
EOG Resources, Inc. 2,750 204,187
-------------
Financials (6.9%)
Capital Markets (1.9%)
Goldman Sachs Group, Inc. 4,620 498,267
Merrill Lynch & Co., Inc. 3,570 214,450
-------------
712,717
-------------
Commercial Banks (1.3%)
North Fork Bancorporation, Inc. 4,690 134,603
Wells Fargo & Co. 5,940 364,122
-------------
498,725
-------------
Consumer Finance (0.4%)
MBNA Corp. 5,470 145,393
-------------
Diversified Financial Services (1.8%)
Citigroup, Inc. 13,270 650,893
-------------
Insurance (1.5%)
American International Group, Inc. 5,000 331,450
Prudential Financial, Inc. 3,970 214,023
-------------
545,473
-------------
Health Care (23.5%)
Biotechnology (2.0%)
Amgen, Inc. (a) 4,810 299,374
Biogen Idec, Inc. (a) 2,700 175,392
Genentech, Inc. (a) 3,400 162,214
Gilead Sciences, Inc. (a) 3,110 102,941
-------------
739,921
-------------
</Table>
See Accompanying Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Equipment & Supplies (8.4%)
Alcon, Inc. 4,510 $ 357,192
Cooper Companies, Inc. 4,900 375,830
Kinetic Concepts, Inc. (a) 5,590 363,350
St. Jude Medical, Inc. (a) 10,060 395,157
Thermo Electron Corp. (a) 11,200 335,328
Varian Medical Systems, Inc. (a) 20,380 768,937
Zimmer Holdings, Inc. (a) 6,220 490,447
-------------
3,086,241
-------------
Health Care Providers & Services (3.4%)
Caremark Rx, Inc. (a) 7,390 288,949
UnitedHealth Group, Inc. 6,190 550,291
WellPoint, Inc. (a) 3,580 434,970
-------------
1,274,210
-------------
Pharmaceuticals (9.7%)
Abbott Laboratories 14,080 633,881
Johnson & Johnson 23,250 1,504,275
Novartis AG, ADR 11,320 542,002
Pfizer, Inc. 11,260 272,042
Teva Pharmaceutical Industries Ltd., ADR 21,760 625,165
-------------
3,577,365
-------------
Industrials (10.6%)
Aerospace & Defense (0.5%)
United Technologies Corp. 1,930 194,312
-------------
Building Products (1.3%)
American Standard Companies, Inc. (a) 12,000 480,480
-------------
Electrical Equipment (1.4%)
Rockwell Automation, Inc. 9,190 520,613
-------------
Industrial Conglomerates (4.9%)
General Electric Co. 21,500 776,795
Tyco International Ltd. 28,190 1,018,787
-------------
1,795,582
-------------
Machinery (2.5%)
Caterpillar, Inc. 1,940 172,854
Ingersoll-Rand Co., Ltd., Class A 5,000 371,900
ITT Industries, Inc. 4,350 371,012
-------------
915,766
-------------
Information Technology (24.3%)
Communications Equipment (4.7%)
Avaya, Inc. (a) 7,600 109,060
Cisco Systems, Inc. (a) 51,850 935,374
</Table>
See Accompanying Notes to Financial Statements.
66
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Communications Equipment (continued)
Nokia Oyj, ADR 11,630 $ 177,707
QUALCOMM, Inc. 13,460 501,250
-------------
1,723,391
-------------
Computers & Peripherals (5.6%)
Dell, Inc. (a) 14,710 614,289
EMC Corp. (a) 13,010 170,431
International Business Machines Corp. 8,880 829,570
Lexmark International, Inc., Class A (a) 5,700 475,095
-------------
2,089,385
-------------
Internet Software & Services (1.1%)
Yahoo!, Inc. (a) 11,420 402,098
-------------
IT Services (0.9%)
Automatic Data Processing, Inc. 3,280 142,615
Cognizant Technology Solutions Corp., Class A (a) 4,790 181,541
-------------
324,156
-------------
Semiconductors & Semiconductor Equipment (6.4%)
Altera Corp. (a) 15,970 306,624
ASML Holding N.V., N.Y. Registered Shares (a) 12,450 204,553
Intel Corp. 42,620 956,819
Linear Technology Corp. 4,820 181,907
National Semiconductor Corp. 11,240 190,293
Teradyne, Inc. (a) 12,420 174,253
Texas Instruments, Inc. 14,890 345,597
-------------
2,360,046
-------------
Software (5.6%)
Amdocs Ltd. (a) 5,850 174,038
Microsoft Corp. 62,530 1,643,288
Oracle Corp. (a) 19,200 264,384
-------------
2,081,710
-------------
Total Common Stocks
(Cost of $31,803,935) 35,574,273
-------------
</Table>
67
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (2.7%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Note
maturing 01/31/07, market value of $992,513
(repurchase proceeds $972,063) $ 972,000 $ 972,000
-------------
Total Short-Term Obligation
(Cost of $972,000) 972,000
-------------
Total Investments (99.0%)
(Cost of $32,775,935) (b) 36,546,273
Other Assets & Liabilities, Net (1.0%) 387,427
-------------
Net Assets (100.0%) $ 36,933,700
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $32,775,935.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ -------------
Information Technology 24.3%
Health Care 23.5
Consumer Discretionary 18.0
Consumer Staples 11.6
Industrials 10.6
Financials 6.9
Energy 1.4
Short-Term Obligation 2.7
Other Assets & Liabilities, Net 1.0
-------------
100.0%
=============
</Table>
<Table>
<Caption>
ACRONYM NAME
--------------- ------------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
68
<Page>
CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (98.8%)
Consumer Discretionary (8.6%)
Hotels, Restaurants & Leisure (1.4%)
Harrah's Entertainment, Inc. 2,332 $ 147,476
McDonald's Corp. 14,318 463,760
-------------
611,236
-------------
Media (3.8%)
Clear Channel Communications, Inc. 5,797 187,997
Comcast Corp., Class A (a) 6,886 221,660
McGraw-Hill Companies, Inc. 5,824 527,072
Time Warner, Inc. (a) 29,312 527,616
Viacom, Inc., Class A 5,299 199,401
-------------
1,663,746
-------------
Multiline Retail (1.1%)
Federated Department Stores, Inc. 6,292 357,385
May Department Stores Co. 4,254 144,211
-------------
501,596
-------------
Specialty Retail (2.3%)
Home Depot, Inc. 8,114 334,784
Limited Brands, Inc. 11,005 260,818
Office Depot, Inc. (a) 25,199 435,691
-------------
1,031,293
-------------
Consumer Staples (10.4%)
Beverages (1.9%)
PepsiCo, Inc. 15,391 826,497
-------------
Food Products (2.2%)
ConAgra Foods, Inc. 7,851 231,605
Hershey Foods Corp. 2,107 123,238
Kraft Foods, Inc., Class A 18,284 621,290
-------------
976,133
-------------
Household Products (3.6%)
Clorox Co. 7,904 469,655
Kimberly-Clark Corp. 8,994 589,197
Procter & Gamble Co. 10,473 557,478
-------------
1,616,330
-------------
Personal Products (1.2%)
Gillette Co. 10,286 521,706
-------------
</Table>
See Accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Tobacco (1.5%)
Altria Group, Inc. 8,687 $ 554,491
UST, Inc. 2,408 121,990
-------------
676,481
-------------
Energy (13.5%)
Energy Equipment & Services (1.7%)
Halliburton Co. 15,063 619,541
National-Oilwell, Inc. (a) 3,216 118,606
-------------
738,147
-------------
Oil & Gas (11.8%)
BP PLC, ADR 20,116 1,199,316
ChevronTexaco Corp. 4,620 251,328
ConocoPhillips 15,205 1,410,872
Exxon Mobil Corp. 32,674 1,685,978
Marathon Oil Corp. 6,030 233,542
Royal Dutch Petroleum Co., N.Y. Registered Shares 8,150 476,531
-------------
5,257,567
-------------
Financials (31.5%)
Capital Markets (3.9%)
Bank of New York Co., Inc. 18,696 555,458
Goldman Sachs Group, Inc. 3,985 429,782
Janus Capital Group, Inc. 14,024 207,976
Morgan Stanley 4,141 231,731
State Street Corp. 6,390 286,336
-------------
1,711,283
-------------
Commercial Banks (7.9%)
National City Corp. 12,104 430,297
PNC Financial Services Group, Inc. 4,061 218,766
US Bancorp 34,958 1,050,488
Wachovia Corp. 13,160 721,826
Wells Fargo & Co. 18,055 1,106,772
-------------
3,528,149
-------------
Consumer Finance (0.9%)
MBNA Corp. 14,082 374,299
-------------
</Table>
See Accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Diversified Financial Services (7.3%)
Citigroup, Inc. 40,244 $ 1,973,968
JPMorgan Chase & Co. 34,092 1,272,655
-------------
3,246,623
-------------
Insurance (8.1%)
AFLAC, Inc. 6,414 253,417
Ambac Financial Group, Inc. 6,370 489,726
American International Group, Inc. 13,776 913,211
Chubb Corp. 3,310 246,529
Hartford Financial Services Group, Inc. 5,921 398,424
Lincoln National Corp. 12,360 570,290
Willis Group Holdings Ltd. 6,249 241,711
XL Capital Ltd., Class A 6,559 490,482
-------------
3,603,790
-------------
Real Estate (1.8%)
Archstone-Smith Trust, REIT 8,077 277,041
AvalonBay Communities, Inc., REIT 3,861 258,378
Kimco Realty Corp., REIT 5,232 277,192
-------------
812,611
-------------
Thrifts & Mortgage Finance (1.6%)
Countrywide Financial Corp. 8,255 305,435
Freddie Mac 6,418 419,031
-------------
724,466
-------------
Health Care (4.2%)
Health Care Providers & Services (1.5%)
Aetna, Inc. 4,547 577,696
CIGNA Corp. 1,451 116,443
-------------
694,139
-------------
Pharmaceuticals (2.7%)
Bristol-Myers Squibb Co. 7,952 186,395
Johnson & Johnson 5,499 355,785
Merck & Co., Inc. 9,590 269,000
Pfizer, Inc. 15,384 371,677
-------------
1,182,857
-------------
</Table>
See Accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Industrials (12.0%)
Aerospace & Defense (3.2%)
General Dynamics Corp. 5,452 $ 562,919
United Technologies Corp. 8,421 847,827
-------------
1,410,746
-------------
Commercial Services & Supplies (1.9%)
Cendant Corp. 10,320 243,036
Republic Services, Inc. 4,130 136,166
Waste Management, Inc. 16,357 474,353
-------------
853,555
-------------
Industrial Conglomerates (5.4%)
General Electric Co. 44,161 1,595,537
Textron, Inc. 11,095 798,618
-------------
2,394,155
-------------
Machinery (1.5%)
Deere & Co. 4,810 333,958
Eaton Corp. 5,205 353,888
-------------
687,846
-------------
Information Technology (5.4%)
Communications Equipment (1.1%)
Nokia Oyj, ADR 32,073 490,075
-------------
Computers & Peripherals (1.9%)
International Business Machines Corp. 4,949 462,336
Lexmark International, Inc., Class A (a) 4,621 385,160
-------------
847,496
-------------
IT Services (1.2%)
Accenture Ltd., Class A (a) 20,926 545,122
-------------
Office Electronics (0.8%)
Xerox Corp. (a) 21,110 335,227
-------------
Software (0.4%)
Microsoft Corp. 7,364 193,526
-------------
</Table>
See Accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Materials (3.7%)
Chemicals (1.7%)
Air Products & Chemicals, Inc. 12,964 $ 763,709
-------------
Paper & Forest Products (2.0%)
MeadWestvaco Corp. 18,125 523,631
Neenah Paper, Inc. 1 32
Weyerhaeuser Co. 5,669 353,746
-------------
877,409
-------------
Telecommunication Services (4.5%)
Diversified Telecommunication Services (4.5%)
BellSouth Corp. 12,980 340,595
SBC Communications, Inc. 39,414 936,476
Verizon Communications, Inc. 20,074 714,434
-------------
1,991,505
-------------
Utilities (5.0%)
Electric Utilities (5.0%)
Entergy Corp. 6,330 440,062
Exelon Corp. 8,073 357,230
FPL Group, Inc. 2,949 226,011
PG&E Corp. (a) 7,654 267,890
TXU Corp. 13,048 902,922
-------------
2,194,115
-------------
Total Common Stocks
(Cost of $38,258,197) 43,883,435
-------------
</Table>
See Accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (1.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.360%,
collateralized by a U.S. Treasury Note
maturing 05/15/13, market value of $514,500
(repurchase proceeds $504,033) $ 504,000 $ 504,000
-------------
Total Short-Term Obligation
(Cost of $504,000) 504,000
-------------
Total Investments (99.9%)
(Cost of $38,762,197) (b) 44,387,435
Other Assets & Liabilities, Net (0.1%) 34,535
-------------
Net Assets (100.0%) $ 44,421,970
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security
(b) Cost for federal income tax purposes is $38,762,197
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ -------------
Financials 31.5%
Energy 13.5
Industrials 12.0
Consumer Staples 10.4
Consumer Discretionary 8.6
Information Technology 5.4
Utilities 5.0
Telecommunication Services 4.5
Health Care 4.2
Materials 3.7
Short-Term Obligation 1.1
Other Assets & Liabilities, Net 0.1
-------------
100.0%
=============
</Table>
<Table>
<Caption>
ACRONYM NAME
------------ -----------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
74
<Page>
CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.5%)
Consumer Discretionary (20.4%)
Auto Components (0.6%)
Autoliv, Inc. 2,330 $ 109,859
-------------
Hotels, Restaurants & Leisure (5.6%)
Applebee's International, Inc. 4,680 130,385
Cheesecake Factory, Inc. (a) 3,890 125,919
Four Seasons Hotels, Inc. 860 66,186
Harrah's Entertainment, Inc. 2,550 161,262
Hilton Hotels Corp. 8,110 180,447
Marriott International, Inc., Class A 2,150 135,837
Yum! Brands, Inc. 6,310 292,469
-------------
1,092,505
-------------
Household Durables (4.9%)
Black & Decker Corp. 880 72,512
Centex Corp. 840 51,500
D.R. Horton, Inc. 2,180 86,720
Harman International Industries, Inc. 1,470 178,826
Tempur-Pedic International, Inc. (a) 26,720 571,541
-------------
961,099
-------------
Leisure Equipment & Products (0.5%)
Marvel Enterprises, Inc. (a) 6,090 108,767
-------------
Media (2.1%)
Grupo Televisa SA, ADR 1,760 103,541
Lamar Advertising Co., Class A (a) 2,030 87,249
XM Satellite Radio Holdings, Inc., Class A (a) 6,770 216,031
-------------
406,821
-------------
Specialty Retail (5.5%)
Abercrombie & Fitch Co., Class A 2,320 116,279
Bed Bath & Beyond, Inc. (a) 2,165 87,228
Chico's FAS, Inc. (a) 5,630 296,588
PETCO Animal Supplies, Inc. (a) 3,280 124,542
PETsMART, Inc. 5,000 151,150
Urban Outfitters, Inc. (a) 7,120 299,538
-------------
1,075,325
-------------
Textiles, Apparel & Luxury Goods (1.2%)
Coach, Inc. (a) 4,040 226,644
-------------
Consumer Staples (4.5%)
Food & Staples Retailing (0.9%)
Whole Foods Market, Inc. 1,950 174,369
-------------
</Table>
See Accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Food Products (2.8%)
Bunge Ltd. 4,920 $ 278,177
Corn Products International, Inc. 5,720 167,939
Hershey Foods Corp. 1,670 97,678
-------------
543,794
-------------
Personal Products (0.8%)
Alberto-Culver Co. 1,930 104,703
Estee Lauder Companies, Inc., Class A 1,450 65,453
-------------
170,156
-------------
Energy (6.2%)
Energy Equipment & Services (3.6%)
Baker Hughes, Inc. 1,320 57,156
BJ Services Co. 3,025 145,351
Nabors Industries Ltd. (a) 3,190 160,776
National-Oilwell, Inc. (a) 5,250 193,620
Weatherford International Ltd. (a) 2,810 152,499
-------------
709,402
-------------
Oil & Gas (2.6%)
EOG Resources, Inc. 1,240 92,070
Murphy Oil Corp. 710 63,389
Range Resources Corp. 2,230 49,484
Ultra Petroleum Corp. (a) 2,120 109,243
XTO Energy, Inc. 5,226 187,666
-------------
501,852
-------------
Financials (5.3%)
Capital Markets (1.5%)
E*TRADE Financial Corp. (a) 15,250 209,687
T. Rowe Price Group, Inc. 1,390 83,192
-------------
292,879
-------------
Commercial Banks (2.0%)
North Fork Bancorporation, Inc. 6,050 173,635
TCF Financial Corp. 2,580 72,524
Zions Bancorporation 2,040 138,353
-------------
384,512
-------------
Consumer Finance (0.3%)
First Marblehead Corp. (a) 929 59,762
-------------
Diversified Financial Services (0.2%)
Chicago Mercantile Exchange 210 45,045
-------------
Insurance (0.7%)
Ambac Financial Group, Inc. 1,875 144,150
-------------
</Table>
See Accompanying Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Real Estate (0.6%)
St. Joe Co. 1,620 $ 111,456
-------------
Health Care (17.7%)
Biotechnology (3.1%)
Amylin Pharmaceuticals, Inc. (a) 8,990 201,466
Gen-Probe, Inc. (a) 3,810 185,966
Genzyme Corp. (a) 3,550 206,645
-------------
594,077
-------------
Health Care Equipment & Supplies (6.3%)
Beckman Coulter, Inc. 1,670 111,890
Biomet, Inc. 4,040 171,619
Cooper Companies, Inc. 1,460 111,982
Fisher Scientific International, Inc. (a) 2,490 157,244
Kinetic Concepts, Inc. (a) 5,010 325,650
Thermo Electron Corp. (a) 7,110 212,873
Varian Medical Systems, Inc. (a) 3,550 133,942
-------------
1,225,200
-------------
Health Care Providers & Services (3.8%)
Accredo Health, Inc. (a) 4,280 127,458
Community Health Systems, Inc. (a) 3,265 94,620
DaVita, Inc. (a) 8,787 368,703
WellPoint, Inc. (a) 1,260 153,090
-------------
743,871
-------------
Pharmaceuticals (4.5%)
Elan Corp. PLC, ADR (a) 6,130 165,081
Endo Pharmaceuticals Holdings, Inc. (a) 5,990 125,850
Medicis Pharmaceutical Corp., Class A 10,210 368,581
Nektar Therapeutics (a) 5,900 99,415
Teva Pharmaceutical Industries Ltd., ADR 4,280 122,964
-------------
881,891
-------------
Industrials (9.8%)
Aerospace & Defense (1.2%)
L-3 Communications Holdings, Inc. 1,340 95,689
United Defense Industries, Inc. (a) 3,060 146,666
-------------
242,355
-------------
Air Freight & Logistics (1.1%)
C.H. Robinson Worldwide, Inc. 2,620 134,930
Expeditors International of Washington, Inc. 1,390 78,035
-------------
212,965
-------------
Building Products (0.5%)
Masco Corp. 2,630 96,784
-------------
</Table>
See Accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Services & Supplies (6.0%)
ChoicePoint, Inc. (a) 5,975 $ 274,850
Cintas Corp. 2,040 88,740
Corporate Executive Board Co. 4,195 268,061
Education Management Corp. (a) 4,150 132,551
Manpower, Inc. 6,100 296,765
Robert Half International, Inc. 3,850 116,809
-------------
1,177,776
-------------
Construction & Engineering (1.0%)
Jacobs Engineering Group, Inc. (a) 3,670 186,399
-------------
Information Technology (25.1%)
Communications Equipment (3.5%)
Avocent Corp. (a) 2,440 89,085
Comverse Technology, Inc. (a) 6,760 151,086
Harris Corp. 2,090 135,369
Juniper Networks, Inc. (a) 4,480 112,582
Polycom, Inc. (a) 5,840 100,915
Tellabs, Inc. (a) 14,060 100,107
-------------
689,144
-------------
Computers & Peripherals (2.1%)
Apple Computer, Inc. (a) 2,530 194,557
Lexmark International, Inc., Class A (a) 300 25,005
SanDisk Corp. (a) 7,710 190,437
-------------
409,999
-------------
Electronic Equipment & Instruments (0.8%)
CDW Corp. 1,095 64,057
FLIR Systems, Inc. (a) 1,430 87,159
-------------
151,216
-------------
Internet Software & Services (1.0%)
Ask Jeeves, Inc. (a) 4,980 141,233
VeriSign, Inc. (a) 2,150 55,556
-------------
196,789
-------------
IT Services (2.3%)
Cognizant Technology Solutions Corp., Class A (a) 5,150 195,185
Iron Mountain, Inc. (a) 6,000 169,200
SunGard Data Systems, Inc. (a) 2,920 78,519
-------------
442,904
-------------
Office Electronics (0.8%)
Zebra Technologies Corp., Class A (a) 2,960 150,753
-------------
</Table>
See Accompanying Notes to Financial Statements.
78
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (7.8%)
Advanced Micro Devices (a) 8,960 $ 141,568
Altera Corp. (a) 3,460 66,432
Broadcom Corp., Class A (a) 7,210 229,494
Linear Technology Corp. 5,100 192,474
Marvell Technology Group Ltd. (a) 9,460 316,437
Microchip Technology, Inc. 4,715 122,826
National Semiconductor Corp. 3,960 67,043
NVIDIA Corp. (a) 6,860 157,231
Silicon Laboratories, Inc. (a) 6,570 224,037
-------------
1,517,542
-------------
Software (6.8%)
Amdocs Ltd. (a) 5,890 175,228
BMC Software, Inc. (a) 5,225 87,937
Business Objects SA, ADR (a) 2,260 55,121
Check Point Software Technologies (a) 7,150 173,602
Citrix Systems, Inc. (a) 7,120 152,724
Hyperion Solutions Corp. (a) 3,970 190,719
Mercury Interactive Corp. (a) 4,555 199,372
Novell, Inc. (a) 14,000 80,780
Shanda Interactive Entertainment Ltd., ADS (a) 3,470 113,816
VERITAS Software Corp. (a) 3,995 102,751
-------------
1,332,050
-------------
Materials (5.8%)
Chemicals (2.0%)
Potash Corp. of Saskatchewan, Inc. 4,780 386,224
-------------
Construction Materials (0.4%)
Florida Rock Industries, Inc. 1,090 68,070
-------------
Metals & Mining (3.4%)
Allegheny Technologies, Inc. 3,340 80,160
CONSOL Energy, Inc. 1,240 52,316
Freeport-McMoRan Copper & Gold, Inc., Class B 2,360 86,872
Inco Ltd. (a) 4,890 160,930
Peabody Energy Corp. 1,850 156,787
Phelps Dodge Corp. 1,380 132,894
-------------
669,959
-------------
</Table>
See Accompanying Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Telecommunication Services (4.7%)
Wireless Telecommunication Services (4.7%)
American Tower Corp., Class A (a) 4,660 $ 84,439
Crown Castle International Corp. (a) 12,920 211,888
Millicom International Cellular SA (a) 4,510 96,469
Mobile TeleSystems, ADR 4,130 148,598
Nextel Partners, Inc., Class A (a) 6,410 127,495
SpectraSite, Inc. (a) 1,200 70,320
VimpelCom, ADR (a) 2,670 96,654
Western Wireless Corp., Class A (a) 2,080 78,582
-------------
914,445
-------------
Total Investments (99.5%)
(Cost of $16,346,145) (b) 19,408,810
Other Assets & Liabilities, Net (0.5%) 101,401
-------------
Net Assets (100.0%) $ 19,510,211
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $16,346,145.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Information Technology 25.1%
Consumer Discretionary 20.4
Health Care 17.7
Industrials 9.8
Energy 6.2
Materials 5.8
Financials 5.3
Telecommunication Services 4.7
Consumer Staples 4.5
Other Assets & Liabilities, Net 0.5
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
------------ ----------------------------
ADR American Depositary Receipt
ADS American Depositary Share
</Table>
See Accompanying Notes to Financial Statements.
80
<Page>
CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (96.6%)
Consumer Discretionary (13.6%)
Auto Components (2.5%)
BorgWarner, Inc. 3,300 $ 177,177
Johnson Controls, Inc. 3,900 230,724
Lear Corp. 3,100 167,400
-------------
575,301
-------------
Hotels, Restaurants & Leisure (2.3%)
Brinker International, Inc. (a) 7,900 297,119
Harrah's Entertainment, Inc. 3,600 227,664
-------------
524,783
-------------
Household Durables (0.6%)
Newell Rubbermaid, Inc. 6,800 146,336
-------------
Leisure Equipment & Products (0.5%)
Mattel, Inc. 6,250 121,562
-------------
Media (1.0%)
Knight-Ridder, Inc. 1,800 117,198
New York Times Co., Class A 3,000 116,640
-------------
233,838
-------------
Multiline Retail (2.7%)
Federated Department Stores, Inc. 4,100 232,880
J.C. Penney Co., Inc. 5,800 247,776
May Department Stores Co. 4,500 152,550
-------------
633,206
-------------
Specialty Retail (3.3%)
Borders Group, Inc. 9,900 259,875
OfficeMax, Inc. 5,050 149,026
TJX Companies, Inc. 13,900 348,056
-------------
756,957
-------------
Textiles, Apparel & Luxury Goods (0.7%)
Wolverine World Wide, Inc. 4,800 150,864
-------------
Consumer Staples (4.9%)
Beverages (1.0%)
Pepsi Bottling Group, Inc. 8,700 237,945
-------------
Food Products (2.5%)
Dean Foods Co. (a) 11,300 398,099
Hormel Foods Corp. 5,400 170,100
-------------
568,199
-------------
Tobacco (1.4%)
UST, Inc. 6,300 319,158
-------------
</Table>
See Accompanying Notes to Financial Statements.
81
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Energy (8.1%)
Energy Equipment & Services (3.3%)
BJ Services Co. 2,850 $ 136,942
National-Oilwell, Inc. (a) 3,300 121,704
Noble Corp. (a) 4,750 253,413
Transocean, Inc. (a) 3,900 171,600
Weatherford International Ltd. (a) 1,650 89,546
-------------
773,205
-------------
Oil & Gas (4.8%)
Amerada Hess Corp. 4,500 389,925
EOG Resources, Inc. 800 59,400
Murphy Oil Corp. 700 62,496
Williams Companies, Inc. 8,800 147,928
XTO Energy, Inc. 12,375 444,386
-------------
1,104,135
-------------
Financials (21.3%)
Capital Markets (1.9%)
Bear Stearns Companies, Inc. 2,300 232,438
Janus Capital Group, Inc. 14,600 216,518
-------------
448,956
-------------
Commercial Banks (5.0%)
Banknorth Group, Inc. 6,800 243,848
City National Corp. 2,550 177,964
Cullen/Frost Bankers, Inc. 2,750 129,140
Marshall & Ilsley Corp. 4,200 179,802
North Fork Bancorporation, Inc. 8,750 251,125
UnionBanCal Corp. 2,800 172,424
-------------
1,154,303
-------------
Diversified Financial Services (1.0%)
CIT Group, Inc. 5,600 226,072
-------------
Insurance (6.4%)
Ambac Financial Group, Inc. 2,950 226,796
Cincinnati Financial Corp. 2,412 106,417
Endurance Specialty Holdings Ltd. 5,400 185,760
Hartford Financial Services Group, Inc. 2,700 181,683
Lincoln National Corp. 3,900 179,946
Loews Corp. 2,600 176,800
Nationwide Financial Services, Inc., Class A 3,250 120,088
Old Republic International Corp. 7,300 169,360
St. Paul Travelers Companies, Inc. 3,200 120,128
-------------
1,466,978
-------------
Real Estate (1.8%)
Equity Office Properties Trust, REIT 6,100 170,678
Host Marriott Corp., REIT 15,500 248,000
-------------
418,678
-------------
</Table>
See Accompanying Notes to Financial Statements.
82
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Thrifts & Mortgage Finance (5.2%)
Golden West Financial Corp. 6,900 $ 445,878
PMI Group, Inc. 7,200 286,344
Sovereign Bancorp, Inc. 10,900 247,866
Webster Financial Corp. 5,050 226,493
-------------
1,206,581
-------------
Health Care (4.1%)
Health Care Equipment & Supplies (1.0%)
Millipore Corp. (a) 2,500 108,825
Varian, Inc. (a) 3,000 119,790
-------------
228,615
-------------
Health Care Providers & Services (3.1%)
Community Health Systems, Inc. (a) 4,100 118,818
HCA, Inc. 3,800 169,176
Medco Health Solutions, Inc. (a) 4,400 187,308
WellPoint, Inc. (a) 1,900 230,850
-------------
706,152
-------------
Industrials (14.5%)
Aerospace & Defense (1.9%)
Goodrich Corp. 7,500 257,250
Northrop Grumman Corp. 3,500 181,580
-------------
438,830
-------------
Commercial Services & Supplies (4.3%)
Brink's Co. 11,500 407,215
Cendant Corp. 7,200 169,560
Manpower, Inc. 4,800 233,520
Waste Management, Inc. 5,900 171,100
-------------
981,395
-------------
Construction & Engineering (0.4%)
Fluor Corp. 1,700 91,018
-------------
Electrical Equipment (1.3%)
AMETEK, Inc. 4,900 187,180
Hubbell, Inc., Class B 2,200 108,944
-------------
296,124
-------------
Industrial Conglomerates (1.1%)
Carlisle Companies, Inc. 4,000 252,280
-------------
Machinery (4.4%)
AGCO Corp. (a) 5,400 110,862
Dover Corp. 4,650 178,095
Ingersoll-Rand Co., Ltd., Class A 3,300 245,454
Navistar International Corp. (a) 8,000 311,360
</Table>
See Accompanying Notes to Financial Statements.
83
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Machinery (continued)
Parker Hannifin Corp. 2,650 $ 172,674
-------------
1,018,445
-------------
Road & Rail (1.1%)
Burlington Northern Santa Fe Corp. 5,400 260,172
-------------
Information Technology (4.7%)
Communications Equipment (1.0%)
Andrew Corp. (a) 17,100 223,326
-------------
Electronic Equipment & Instruments (2.3%)
Amphenol Corp., Class A 6,200 243,846
Arrow Electronics, Inc. (a) 7,900 186,519
AVX Corp. 9,000 104,400
-------------
534,765
-------------
IT Services (1.4%)
Affiliated Computer Services, Inc., Class A (a) 4,100 222,179
DST Systems, Inc. (a) 2,350 113,928
-------------
336,107
-------------
Materials (15.1%)
Chemicals (9.9%)
Agrium, Inc. 16,500 266,310
Air Products & Chemicals, Inc. 4,800 282,768
Celanese Corp., Series A (a) 6,200 100,006
Eastman Chemical Co. 5,400 292,410
Engelhard Corp. 6,500 195,325
International Flavors & Fragrances, Inc. 5,900 249,098
Lubrizol Corp. 8,200 295,446
Nalco Holding Co. (a) 8,400 162,540
PPG Industries, Inc. 2,750 189,145
Rohm and Haas Co. 5,600 247,744
-------------
2,280,792
-------------
Construction Materials (0.5%)
Martin Marietta Materials, Inc. 2,400 129,648
-------------
Containers & Packaging (3.1%)
Bemis Co., Inc. 5,600 162,400
Crown Holdings, Inc. (a) 14,200 191,558
Packaging Corp. of America 9,500 211,945
Pactiv Corp. (a) 6,400 142,144
-------------
708,047
-------------
</Table>
See Accompanying Notes to Financial Statements.
84
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Paper & Forest Products (1.6%)
Georgia-Pacific Corp. 6,900 $ 221,490
MeadWestvaco Corp. 5,500 158,895
-------------
380,385
-------------
Telecommunication Services (1.5%)
Wireless Telecommunication Services (1.5%)
Telephone & Data Systems, Inc. 4,300 353,976
-------------
Utilities (8.8%)
Electric Utilities (6.4%)
Edison International 6,000 194,820
Entergy Corp. 3,550 246,796
Exelon Corp. 8,100 358,425
PG&E Corp. (a) 3,600 126,000
PPL Corp. 4,250 229,500
Progress Energy, Inc. 5,300 234,525
Reliant Energy, Inc. (a) 8,200 102,090
-------------
1,492,156
-------------
Multi-Utilities & Unregulated Power (2.4%)
Constellation Energy Group 6,900 345,000
Energy East Corp. 7,700 201,740
-------------
546,740
-------------
Total Common Stocks
(Cost of $18,932,652) 22,326,030
-------------
Convertible Preferred Stock (0.1%)
Materials (0.1%)
Chemicals (0.1%)
Celanese Corp., 5.250% 900 22,815
-------------
Total Convertible Preferred Stock
(Cost of $22,500) 22,815
-------------
</Table>
See Accompanying Notes to Financial Statements.
85
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (3.9%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.360%,
collateralized by a U.S. Treasury Note
maturing 05/15/13, market value of $916,300
(repurchase proceeds $897,059) $ 897,000 $ 897,000
-------------
Total Short-Term Obligation
(Cost of $897,000) 897,000
-------------
Total Investments (100.6%)
(Cost of $19,852,152) (b) 23,245,845
Other Assets & Liabilities, Net (-0.6%) (145,061)
-------------
Net Assets (100.0%) $ 23,100,784
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $19,852,152.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Financials 21.3%
Materials 15.2
Industrials 14.5
Consumer Discretionary 13.6
Utilities 8.8
Energy 8.1
Consumer Staples 4.9
Information Technology 4.7
Health Care 4.1
Telecommunication Services 1.5
Short-Term Obligation 3.9
Other Assets & Liabilities, Net (0.6)
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
----------------- ----------------------------
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
86
<Page>
CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.1%)
Consumer Discretionary (15.8%)
Hotels, Restaurants & Leisure (3.6%)
Gaylord Entertainment Co. (a) 12,000 $ 471,000
Pinnacle Entertainment, Inc. (a) 20,500 370,025
Scientific Games Corp., Class A (a) 18,600 478,392
-------------
1,319,417
-------------
Leisure Equipment & Products (1.1%)
Marvel Enterprises, Inc. (a) 23,100 412,566
-------------
Media (4.4%)
Arbitron, Inc. (a) 6,600 269,940
Cumulus Media, Inc., Class A (a) 21,800 301,712
Lin TV Corp., Class A (a) 18,000 334,980
Radio One, Inc., Class D (a) 19,800 310,860
Sinclair Broadcast Group, Inc., Class A 36,100 297,103
TiVo, Inc. (a) 32,500 130,325
-------------
1,644,920
-------------
Multiline Retail (0.5%)
Fred's, Inc. 10,500 172,935
-------------
Specialty Retail (5.3%)
Bombay Co., Inc. (a) 44,700 262,836
Cost Plus, Inc. (a) 12,200 320,006
Jarden Corp. (a) 13,450 618,700
Pacific Sunwear of California, Inc. (a) 13,400 328,166
Party City Corp. (a) 13,200 169,092
Sharper Image Corp. (a) 16,400 282,080
-------------
1,980,880
-------------
Textiles, Apparel & Luxury Goods (0.9%)
Carter's, Inc. (a) 9,400 343,664
-------------
Consumer Staples (0.5%)
Food & Staples Retailing (0.5%)
Performance Food Group Co. (a) 6,400 174,144
-------------
Energy (4.7%)
Energy Equipment & Services (2.0%)
Key Energy Services, Inc. (a) 19,400 240,754
Maverick Tube Corp. (a) 7,400 252,044
Unit Corp. (a) 6,800 248,472
-------------
741,270
-------------
</Table>
See Accompanying Notes to Financial Statements.
87
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Oil & Gas (2.7%)
Edge Petroleum Corp. (a) 13,400 $ 193,898
Energy Partners Ltd. (a) 5,500 120,725
Mission Resources Corp. (a) 35,100 200,070
Spinnaker Exploration Co. (a) 5,800 190,182
Western Gas Resources, Inc. 9,100 277,095
-------------
981,970
-------------
Financials (11.3%)
Capital Markets (1.0%)
Jefferies Group, Inc. 9,100 354,900
-------------
Commercial Banks (3.8%)
Boston Private Financial Holdings, Inc. 11,200 311,808
East-West Bancorp, Inc. 8,000 311,520
Main Street Banks, Inc. 3,400 110,942
Mercantile Bank Corp. 7,080 306,918
Prosperity Bancshares, Inc. 13,000 361,140
-------------
1,402,328
-------------
Diversified Financial Services (3.3%)
ACE Cash Express, Inc. (a) 8,200 216,480
Greenhill & Co., Inc. 10,500 311,430
MTC Technologies, Inc. (a) 12,000 389,760
National Financial Partners Corp. 6,300 246,141
optionsXpress Holdings, Inc. (a) 3,300 66,924
-------------
1,230,735
-------------
Insurance (2.0%)
Infinity Property & Casualty Corp. 13,300 435,575
National Interstate Corp. (a) 4,000 62,200
Philadelphia Consolidated Holding Co. (a) 3,700 248,159
-------------
745,934
-------------
Real Estate (0.5%)
Housevalues, Inc. (a) 13,900 197,380
-------------
Thrifts & Mortgage Finance (0.7%)
Commercial Capital Bancorp, Inc. 13,833 275,139
-------------
Health Care (22.2%)
Biotechnology (6.4%)
Cell Therapeutics, Inc. (a) 22,100 212,160
Cytogen Corp. (a) 20,700 226,458
Enzo Biochem, Inc. (a) 13,600 246,568
Exact Sciences Corp. (a) 23,300 77,123
NeoPharm, Inc. (a) 26,921 295,323
Neurocrine Biosciences, Inc. (a) 6,600 301,950
</Table>
See Accompanying Notes to Financial Statements.
88
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Biotechnology (continued)
Protein Design Labs, Inc. (a) 16,600 $ 334,822
QLT, Inc. (a) 22,000 355,740
Telik, Inc. (a) 17,500 332,850
-------------
2,382,994
-------------
Health Care Equipment & Supplies (4.9%)
Bio-Rad Laboratories, Inc., Class A (a) 5,100 299,829
Cardiac Science, Inc. (a) 52,400 90,128
Conceptus, Inc. (a) 19,300 135,293
Integra LifeSciences Holdings Corp. (a) 9,400 354,192
Medical Action Industries, Inc. (a) 19,200 354,816
Palomar Medical Technologies, Inc. (a) 5,300 132,500
SonoSite, Inc. (a) 11,600 368,068
SurModics, Inc. (a) 2,100 61,677
-------------
1,796,503
-------------
Health Care Providers & Services (4.5%)
Advisory Board Co. (a) 12,200 434,930
America Service Group, Inc. (a) 8,916 244,566
American Retirement Corp. (a) 17,500 219,625
Hythiam, Inc. (a) 7,200 42,768
Isolagen, Inc. (a) 21,800 148,458
LCA-Vision, Inc. 6,900 183,885
LifePoint Hospitals, Inc. (a) 7,600 287,280
U.S. Physical Therapy, Inc. (a) 8,300 120,931
-------------
1,682,443
-------------
Pharmaceuticals (6.4%)
Advancis Pharmaceutical Corp. (a) 20,300 91,756
BioSante Pharmaceuticals, Inc. (a) 16,300 91,769
Bone Care International, Inc. (a) 13,600 384,880
Caraco Pharmaceutical Laboratories Ltd. (a) 6,900 57,270
DepoMed, Inc. (a) 43,500 208,800
DOV Pharmaceutical, Inc. (a) 19,100 311,712
Nektar Therapeutics (a) 16,500 278,025
Noven Pharmaceuticals, Inc. (a) 14,500 264,117
Renovis, Inc. (a) 17,100 206,397
Salix Pharmaceuticals Ltd. (a) 18,050 271,653
Taro Pharmaceuticals Industries Ltd. (a) 6,800 204,272
-------------
2,370,651
-------------
Industrials (13.4%)
Aerospace & Defense (1.1%)
DRS Technologies, Inc. (a) 10,200 414,120
-------------
Air Freight & Logistics (2.1%)
EGL, Inc. (a) 12,300 371,829
UTI Worldwide, Inc. 5,700 392,616
-------------
764,445
-------------
</Table>
See Accompanying Notes to Financial Statements.
89
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Services & Supplies (4.5%)
Corporate Executive Board Co. 5,000 $ 319,500
Educate, Inc. (a) 21,800 283,182
Laureate Education, Inc. (a) 6,800 301,648
MDC Partners, Inc., Class A (a) 25,500 282,540
Navigant Consulting, Inc. (a) 10,700 256,051
NCO Group, Inc. (a) 9,900 225,522
-------------
1,668,443
-------------
Construction & Engineering (0.8%)
Chicago Bridge & Iron Co., NV, N.Y. Registered Shares 8,000 302,400
-------------
Electrical Equipment (0.6%)
Plug Power, Inc. (a) 40,000 217,600
-------------
Machinery (1.7%)
Cuno, Inc. (a) 4,900 281,407
RAE Systems, Inc. (a) 17,400 117,972
Wabash National Corp. (a) 9,700 246,186
-------------
645,565
-------------
Road & Rail (2.0%)
Genesee & Wyoming, Inc., Class A (a) 12,082 305,191
Heartland Express, Inc. 14,350 304,794
Sirva, Inc. (a) 14,100 124,926
-------------
734,911
-------------
Trading Companies & Distributors (0.6%)
Aceto Corp. 22,800 214,320
-------------
Information Technology (29.1%)
Communications Equipment (3.6%)
Audiovox Corp., Class A (a) 12,600 206,640
F5 Networks, Inc. (a) 7,400 354,756
Finisar Corp. (a) 61,600 107,800
Foundry Networks, Inc. (a) 26,200 269,336
Inter-Tel, Inc. 9,321 246,913
NMS Communications Corp. (a) 26,800 168,840
-------------
1,354,285
-------------
Computers & Peripherals (1.4%)
Applied Films Corp. (a) 10,900 232,933
PalmSource, Inc. (a) 15,500 160,270
Pinnacle Systems, Inc. (a) 27,500 117,700
-------------
510,903
-------------
Electronic Equipment & Instruments (3.5%)
Anixter International, Inc. 7,000 234,010
Global Imaging Systems, Inc. (a) 10,000 357,900
Itron, Inc. (a) 12,900 297,345
</Table>
See Accompanying Notes to Financial Statements.
90
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Electronic Equipment & Instruments (continued)
OSI Systems, Inc. (a) 12,200 $ 199,348
Photon Dynamics, Inc. (a) 9,500 205,105
-------------
1,293,708
-------------
Internet Software & Services (4.3%)
Corillian Corp. (a) 60,200 255,850
Digital River, Inc. (a) 7,500 293,325
Digitas, Inc. (a) 36,800 384,192
Equinix, Inc. (a) 6,500 272,610
Retek, Inc. (a) 52,600 330,328
TeleCommunication Systems, Inc., Class A (a) 29,800 76,586
-------------
1,612,891
-------------
IT Services (0.7%)
MAXIMUS, Inc. (a) 8,100 243,648
-------------
Semiconductors & Semiconductor Equipment (8.9%)
August Technology Corp. (a) 15,400 149,842
Brooks Automation, Inc. (a) 23,000 351,670
Cypress Semiconductor Corp. (a) 22,300 254,220
DSP Group, Inc. (a) 8,700 215,847
Entegris, Inc. (a) 37,200 330,708
FEI Co. (a) 13,500 272,160
Integrated Circuit Systems, Inc. (a) 7,700 146,300
IXYS Corp. (a) 34,400 336,088
Leadis Technology, Inc. (a) 17,200 121,088
Mykrolis Corp. (a) 17,600 232,144
Silicon Image, Inc. (a) 17,100 203,661
Silicon Storage Technology, Inc. (a) 33,600 154,224
Ultratech, Inc. (a) 18,300 271,023
Zoran Corp. (a) 24,300 247,617
-------------
3,286,592
-------------
Software (6.7%)
Captiva Software Corp. (a) 24,200 248,292
Epicor Software Corp. (a) 21,000 283,290
FileNET Corp. (a) 8,100 181,035
Magma Design Automation, Inc. (a) 19,600 264,600
Manhattan Associates, Inc. (a) 13,700 300,715
Micromuse, Inc. (a) 65,100 334,614
OpenTV Corp., Class A (a) 76,100 208,514
ScanSoft, Inc. (a) 40,500 170,505
Take-Two Interactive Software, Inc. (a) 9,000 317,250
Verity, Inc. (a) 14,900 179,843
-------------
2,488,658
-------------
Materials (2.1%)
Chemicals (1.5%)
Landec Corp. (a) 32,400 219,348
UAP Holding Corp. (a) 22,900 343,500
-------------
562,848
-------------
</Table>
See Accompanying Notes to Financial Statements.
91
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Metals & Mining (0.6%)
AMCOL International Corp. 10,300 $ 223,613
-------------
Total Common Stocks
(Cost of $33,312,098) 36,749,723
-------------
<Caption>
PAR
-------------
Short-Term Obligation (1.4%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.360%,
collateralized by a U.S. Treasury Bond
maturing 08/15/13, market value of $527,819
(repurchase proceeds $515,034) $ 515,000 515,000
-------------
Total Short-Term Obligation
(Cost of $515,000) 515,000
-------------
Total Investments (100.5%)
(Cost of $33,827,098) (b) 37,264,723
Other Assets & Liabilities, Net (-0.5%) (177,583)
-------------
Net Assets (100.0%) $ 37,087,140
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $33,827,098.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Information Technology 29.1%
Health Care 22.2
Consumer Discretionary 15.8
Industrials 13.4
Financials 11.3
Energy 4.7
Materials 2.1
Consumer Staples 0.5
Short-Term Obligation 1.4
Other Assets & Liabilities, Net (0.5)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
92
<Page>
CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (98.1%)
Consumer Discretionary (12.8%)
Auto Components (1.1%)
BorgWarner, Inc. 4,800 $ 257,712
Modine Manufacturing Co. 3,600 113,508
Standard Motor Products, Inc. 8,300 105,825
-------------
477,045
-------------
Hotels, Restaurants & Leisure (3.9%)
Bally Total Fitness Holding Corp. (a) 16,000 63,520
Bob Evans Farms, Inc. 4,561 111,106
Buca, Inc. (a) 19,600 134,848
Dave & Buster's, Inc. (a) 9,700 182,069
Landry's Restaurants, Inc. 8,100 228,420
Lone Star Steakhouse & Saloon, Inc. 10,700 294,250
Marcus Corp. 9,900 246,708
Scientific Games Corp., Class A (a) 14,500 372,940
Total Entertainment Restaurant Corp. (a) 1,200 13,704
Vail Resorts, Inc. (a) 3,200 76,704
-------------
1,724,269
-------------
Household Durables (1.4%)
American Greetings Corp., Class A 8,400 202,776
CSS Industries, Inc. 5,000 160,950
Kimball International, Inc., Class B 10,800 156,492
Russ Berrie & Co., Inc. 3,600 84,456
-------------
604,674
-------------
Leisure Equipment & Products (0.3%)
Action Performance Companies, Inc. 12,000 126,000
Travis Boats & Motors, Inc. (a) 300 113
-------------
126,113
-------------
Media (1.4%)
4Kids Entertainment, Inc. (a) 9,500 175,085
Journal Communications, Inc., Class A 6,500 111,475
Liberty Corp. 4,600 182,344
Media General, Inc., Class A 2,700 172,719
-------------
641,623
-------------
Multiline Retail (0.3%)
ShopKo Stores, Inc. (a) 7,200 129,816
-------------
Specialty Retail (2.5%)
Building Material Holding Corp. 4,800 177,264
GameStop Corp., Class A (a) 11,400 217,626
Goody's Family Clothing, Inc. 13,800 128,478
Monro Muffler, Inc. (a) 10,520 272,889
Movie Gallery, Inc. 3,400 71,230
Pier 1 Imports, Inc. 7,900 139,909
TBC Corp. (a) 2,900 74,066
-------------
1,081,462
-------------
</Table>
See Accompanying Notes to Financial Statements.
93
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (1.9%)
Culp, Inc. (a) 3,400 $ 21,420
Delta Apparel, Inc. 3,200 89,440
Hampshire Group Ltd. (a) 5,600 201,482
Kellwood Co. 7,100 205,474
Russell Corp. 7,900 142,200
Stride Rite Corp. 9,900 121,176
Tandy Brands Accessories, Inc. 5,200 75,608
-------------
856,800
-------------
Consumer Staples (2.6%)
Food & Staples Retailing (0.6%)
BJ's Wholesale Club, Inc. (a) 4,400 125,884
Chronimed, Inc. (a) 11,600 80,156
Winn-Dixie Stores, Inc. (a) 10,900 39,349
-------------
245,389
-------------
Food Products (2.0%)
Central Garden & Pet Co. (a) 2,400 98,352
Corn Products International, Inc. 16,000 469,760
John B. Sanfilippo & Son, Inc. (a) 4,700 121,354
M&F Worldwide Corp. (a) 8,300 118,856
Omega Protein Corp. (a) 11,100 87,024
-------------
895,346
-------------
Energy (7.2%)
Energy Equipment & Services (2.2%)
Gulf Island Fabrication, Inc. 4,000 89,200
Lufkin Industries, Inc. 6,500 261,885
Universal Compression Holdings, Inc. (a) 5,700 221,844
Willbros Group, Inc. (a) 17,200 368,768
-------------
941,697
-------------
Oil & Gas (5.0%)
Bill Barrett Corp. (a) 2,000 63,160
Brigham Exploration Co. (a) 12,300 106,026
Carrizo Oil & Gas, Inc. (a) 17,700 215,055
Cimarex Energy Co. (a) 5,200 188,500
Energy Partners Ltd. (a) 9,400 206,330
Harvest Natural Resources, Inc. (a) 13,900 180,283
InterOil Corp. (a) 4,300 146,200
Magnum Hunter Resources, Inc. (a) 15,800 235,578
Range Resources Corp. 9,800 217,462
Stone Energy Corp. (a) 5,600 239,680
Western Gas Resources, Inc. 8,300 252,735
Whiting Petroleum Corp. (a) 4,400 153,648
-------------
2,204,657
-------------
</Table>
See Accompanying Notes to Financial Statements.
94
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Financials (26.9%)
Capital Markets (0.2%)
LaBranche & Co., Inc. (a) 9,200 $ 91,816
-------------
Commercial Banks (11.2%)
BancFirst Corp. 900 69,066
BancorpSouth, Inc. 7,400 161,320
BancTrust Financial Group, Inc. 5,100 108,885
Bank of Granite Corp. 7,100 141,645
Bryn Mawr Bank Corp. 8,900 191,617
Capitol Bancorp Ltd. 7,700 250,173
Chemical Financial Corp. 7,475 277,322
Chittenden Corp. 9,950 269,745
Columbia Banking System, Inc. 5,700 134,235
Community Bancorp (a) 200 5,604
Community Trust Bancorp, Inc. 4,736 146,063
Corus Bankshares, Inc. 6,600 331,320
First Citizens BancShares, Inc., Class A 1,100 156,200
First Financial Bankshares, Inc. 3,650 167,754
Greater Bay Bancorp 5,800 158,166
Hancock Holding Co. 3,400 109,888
ITLA Capital Corp. (a) 3,500 194,390
MASSBANK Corp. 2,500 93,775
Merchants Bancshares, Inc. 5,800 159,088
Mid-State Bancshares 10,200 287,742
Northrim BanCorp, Inc. 5,300 126,193
Riggs National Corp. 5,800 126,672
S.Y. Bancorp, Inc. 1,000 24,300
Sterling Bancshares, Inc. 17,200 252,668
TriCo Bancshares 14,400 317,232
UMB Financial Corp. 4,600 252,264
Whitney Holding Corp. 5,100 232,458
Wintrust Financial Corp. 3,300 183,084
-------------
4,928,869
-------------
Consumer Finance (0.9%)
Cash America International, Inc. 13,200 377,520
-------------
Diversified Financial Services (1.6%)
Advance America Cash Advance Centers, Inc. (a) 2,200 49,060
Metris Companies, Inc. (a) 21,900 260,610
MFC Bancorp Ltd. 17,600 315,040
QC Holdings, Inc. (a) 5,100 88,740
-------------
713,450
-------------
Insurance (5.8%)
AmerUs Group Co. 2,900 129,253
Baldwin & Lyons, Inc., Class B 4,700 124,456
CNA Surety Corp. (a) 11,200 146,720
Commerce Group, Inc. 2,000 130,620
</Table>
See Accompanying Notes to Financial Statements.
95
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Insurance (continued)
Delphi Financial Group, Inc., Class A 6,500 $ 292,110
Harleysville Group, Inc. 8,800 190,080
Horace Mann Educators Corp. 8,800 162,096
Kansas City Life Insurance Co. 900 45,540
Navigators Group, Inc. (a) 7,100 212,077
Phoenix Companies, Inc. 18,200 237,874
ProCentury Corp. 11,900 127,330
Quanta Capital Holdings Ltd. (a) 14,800 145,040
RLI Corp. 5,300 230,338
UICI 3,100 95,852
United America Indemnity Ltd., Class A (a) 9,600 172,800
Universal American Financial Corp. (a) 7,400 112,776
-------------
2,554,962
-------------
Real Estate (7.2%)
Alexandria Real Estate Equities, Inc., REIT 3,800 252,928
American Financial Realty Trust, REIT 8,800 132,440
BioMed Realty Trust, Inc., REIT 12,700 253,365
Boykin Lodging Co., REIT (a) 14,600 133,882
Brandywine Realty Trust, REIT 5,800 160,660
EastGroup Properties, Inc., REIT 6,600 238,854
Equity One, Inc., REIT 8,600 175,526
First Potomac Realty Trust, REIT 7,800 167,310
Getty Realty Corp., REIT 5,800 154,802
Gladstone Commercial Corp., REIT 6,900 115,230
Mid-America Apartment Communities, Inc., REIT 6,700 253,394
Nationwide Health Properties, Inc., REIT 11,200 242,928
PS Business Parks, Inc., REIT 8,100 341,820
Tanger Factory Outlet Centers, Inc., REIT 7,800 184,080
U-Store-It Trust, REIT 5,200 85,280
Universal Health Realty Income Trust, REIT 3,900 117,546
Urstadt Biddle Properties, Inc., Class A, REIT 8,400 134,736
-------------
3,144,781
-------------
Health Care (5.2%)
Health Care Equipment & Supplies (0.4%)
Steris Corp. (a) 8,200 194,504
-------------
Health Care Providers & Services (4.1%)
Capital Senior Living Corp. (a) 3,900 22,542
Cross Country Healthcare, Inc. (a) 8,200 135,792
Genesis HealthCare Corp. (a) 4,500 156,060
Gentiva Health Services, Inc. (a) 11,400 181,260
Hooper Holmes, Inc. 21,100 106,555
Kindred Healthcare, Inc. (a) 9,600 262,944
OCA, Inc. (a) 17,100 94,734
PAREXEL International Corp. (a) 10,500 249,060
Pediatrix Medical Group, Inc. (a) 4,200 280,518
</Table>
See Accompanying Notes to Financial Statements.
96
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care Providers & Services (continued)
Province Healthcare Co. (a) 5,600 $ 126,784
Stewart Enterprises, Inc., Class A (a) 27,200 174,624
-------------
1,790,873
-------------
Pharmaceuticals (0.7%)
Bradley Pharmaceuticals, Inc. (a) 8,300 119,437
Perrigo Co. 10,600 181,790
-------------
301,227
-------------
Industrials (18.9%)
Aerospace & Defense (2.6%)
AAR Corp. (a) 12,035 140,208
Esterline Technologies Corp. (a) 8,400 252,084
Herley Industries, Inc. (a) 6,200 122,264
Kaman Corp., Class A 10,200 120,870
Ladish Co., Inc. (a) 12,900 139,965
Precision Castparts Corp. 5,000 351,500
-------------
1,126,891
-------------
Air Freight & Logistics (1.2%)
HUB Group, Inc., Class A (a) 6,311 343,697
Ryder System, Inc. 4,200 191,310
-------------
535,007
-------------
Airlines (0.5%)
MAIR Holdings, Inc. (a) 6,300 57,897
Skywest, Inc. 9,100 156,702
-------------
214,599
-------------
Building Products (0.6%)
NCI Building Systems, Inc. (a) 6,500 246,675
-------------
Commercial Services & Supplies (4.5%)
ABM Industries, Inc. 8,900 162,870
Angelica Corp. 4,700 134,608
Casella Waste Systems, Inc., Class A (a) 19,000 270,370
Century Business Services, Inc. (a) 11,242 49,015
Consolidated Graphics, Inc. (a) 8,500 358,700
Danka Business Systems PLC, ADR (a) 12,300 32,226
Electro Rent Corp. (a) 3,700 51,726
Healthcare Services Group, Inc. 10,850 211,575
Imagistics International, Inc. (a) 9,300 318,525
NCO Group, Inc. (a) 5,800 132,124
Sourcecorp, Inc. (a) 5,800 104,400
TeleTech Holdings, Inc. (a) 14,000 148,680
-------------
1,974,819
-------------
Construction & Engineering (1.7%)
Comfort Systems USA, Inc. (a) 19,400 132,114
Dycom Industries, Inc. (a) 8,500 230,945
EMCOR Group, Inc. (a) 2,800 120,288
</Table>
See Accompanying Notes to Financial Statements.
97
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Construction & Engineering (continued)
MasTec, Inc. (a) 3,500 $ 31,115
Quanta Services, Inc. (a) 5,800 43,384
Washington Group International, Inc. (a) 5,400 212,652
-------------
770,498
-------------
Electrical Equipment (1.6%)
C&D Technologies, Inc. 8,300 126,077
Genlyte Group, Inc. (a) 3,400 272,034
Powell Industries, Inc. (a) 4,100 74,620
Woodward Governor Co. (a) 3,200 227,952
-------------
700,683
-------------
Machinery (3.4%)
Alamo Group, Inc. 4,000 105,040
Briggs & Stratton Corp. 6,100 236,619
EnPro Industries, Inc. (a) 9,100 242,515
Harsco Corp. 6,500 354,835
Kadant, Inc. (a) 11,100 214,230
Robbins & Myers, Inc. 8,019 180,106
Tecumseh Products Co., Class A 3,800 154,394
-------------
1,487,739
-------------
Road & Rail (1.4%)
Covenant Transport, Inc., Class A (a) 6,600 136,917
Dollar Thrifty Automotive Group, Inc. (a) 5,800 181,018
U.S. Xpress Enterprises, Inc., Class A (a) 3,900 116,727
Werner Enterprises, Inc. 9,500 202,540
-------------
637,202
-------------
Trading Companies & Distributors (1.4%)
Hughes Supply, Inc. 8,910 270,686
Watsco, Inc. 9,900 342,639
-------------
613,325
-------------
Information Technology (11.4%)
Communications Equipment (1.2%)
Anaren, Inc. (a) 11,600 138,852
Belden CDT, Inc. 5,650 114,751
Black Box Corp. 3,500 162,855
Tollgrade Communications, Inc. (a) 9,100 93,548
-------------
510,006
-------------
Computers & Peripherals (1.1%)
ActivCard Corp. (a) 13,900 111,200
Advanced Digital Information Corp. (a) 2,700 28,242
Electronics for Imaging, Inc. (a) 3,100 52,700
Hypercom Corp. (a) 16,400 90,364
Imation Corp. 1,700 58,633
Innovex, Inc. (a) 10,900 53,410
Intergraph Corp. (a) 3,356 99,707
-------------
494,256
-------------
</Table>
See Accompanying Notes to Financial Statements.
98
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Electronic Equipment & Instruments (3.3%)
Agilysys, Inc. 7,000 $ 118,020
Anixter International, Inc. 3,600 120,348
Benchmark Electronics, Inc. (a) 4,600 147,062
Brightpoint, Inc. (a) 13,200 236,412
Checkpoint Systems, Inc. (a) 8,900 138,484
Identix, Inc. (a) 17,100 108,414
MTS Systems Corp. 6,400 228,032
NU Horizons Electronics Corp. (a) 14,600 109,792
OSI Systems, Inc. (a) 5,800 94,772
Planar Systems, Inc. (a) 6,800 61,676
Vishay Intertechnology, Inc. (a) 5,600 73,192
-------------
1,436,204
-------------
Internet Software & Services (0.6%)
Digitas, Inc. (a) 7,320 76,421
Keynote Systems, Inc. (a) 11,000 137,170
Stellent, Inc. (a) 6,200 53,010
-------------
266,601
-------------
IT Services (2.0%)
Acxiom Corp. 8,500 196,180
Computer Horizons Corp. (a) 16,000 62,720
Inforte Corp. (a) 10,900 69,760
Lightbridge, Inc. (a) 13,500 80,460
MAXIMUS, Inc. (a) 2,900 87,232
MPS Group, Inc. (a) 31,900 360,151
-------------
856,503
-------------
Semiconductors & Semiconductor Equipment (0.5%)
Exar Corp. (a) 11,000 158,070
Pericom Semiconductor Corp. (a) 8,900 74,671
-------------
232,741
-------------
Software (2.7%)
Ascential Software Corp. (a) 10,700 153,117
Captaris, Inc. (a) 22,800 111,948
Internet Security Systems, Inc. (a) 8,400 187,740
Lawson Software, Inc. (a) 10,900 71,395
MSC.Software Corp. (a) 14,500 149,495
PLATO Learning, Inc. (a) 20,300 148,393
SeaChange International, Inc. (a) 700 11,494
Sybase, Inc. (a) 6,800 132,396
Transaction Systems Architects, Inc., Class A (a) 10,600 225,144
-------------
1,191,122
-------------
Materials (8.5%)
Chemicals (2.5%)
Cytec Industries, Inc. 4,300 219,300
H.B. Fuller Co. 5,100 136,017
Lesco, Inc. (a) 700 9,506
</Table>
See Accompanying Notes to Financial Statements.
99
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Chemicals (continued)
Lubrizol Corp. 3,300 $ 118,899
Minerals Technologies, Inc. 3,400 212,432
Schulman (A.), Inc. 6,600 116,754
Sensient Technologies Corp. 6,400 145,600
Stepan Co. 5,500 127,820
-------------
1,086,328
-------------
Construction Materials (0.8%)
Eagle Materials, Inc. 4,200 334,992
-------------
Containers & Packaging (1.2%)
AptarGroup, Inc. 3,700 179,413
Greif, Inc., Class A 6,400 370,816
-------------
550,229
-------------
Metals & Mining (3.2%)
AMCOL International Corp. 6,000 130,260
Blue Earth Refineries, Inc. (a) 18,500 --(b)
Carpenter Technology Corp. 4,500 275,670
Coeur d'Alene Mines Corp. (a) 35,100 123,903
Metal Management, Inc. 6,200 167,028
Peabody Energy Corp. 3,800 322,050
RTI International Metals, Inc. (a) 11,400 278,160
Steel Technologies, Inc. 4,500 132,120
-------------
1,429,191
-------------
Paper & Forest Products (0.8%)
Glatfelter 13,500 183,330
Mercer International, Inc. (a) 15,700 150,720
-------------
334,050
-------------
Telecommunication Services (0.7%)
Diversified Telecommunication Services (0.4%)
North Pittsburgh Systems, Inc. 6,700 161,068
-------------
Wireless Telecommunication Services (0.3%)
Price Communications Corp. (a) 8,530 148,166
-------------
Utilities (3.9%)
Electric Utilities (3.3%)
ALLETE, Inc. 3,800 157,206
Central Vermont Public Service Corp. 9,400 217,140
CH Energy Group, Inc. 6,400 302,720
El Paso Electric Co. (a) 10,800 209,952
Maine & Maritimes Corp. 2,200 55,506
MGE Energy, Inc. 3,700 132,867
</Table>
See Accompanying Notes to Financial Statements.
100
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Electric Utilities (continued)
Otter Tail Corp. 5,600 $ 140,000
Puget Energy, Inc. 9,100 218,582
-------------
1,433,973
-------------
Gas Utilities (0.6%)
Cascade Natural Gas Corp. 4,100 83,804
Northwest Natural Gas Co. 3,100 105,245
WGL Holdings, Inc. 3,300 100,188
-------------
289,237
-------------
Total Common Stocks
(Cost of $32,788,974) 43,088,998
-------------
Investment Company (1.0%)
iShares Russell 2000 Value Index Fund 2,400 445,080
-------------
Total Investment Company
(Cost of $438,998) 445,080
-------------
<Caption>
PAR
-------------
Short-Term Obligation (0.8%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.360%,
collateralized by a U.S. Treasury Note
maturing 05/15/13, market value of $387,100
(repurchase proceeds $375,025) $ 375,000 375,000
-------------
Total Short-Term Obligation
(Cost of $375,000) 375,000
-------------
Total Investments (99.9%)
(Cost of $33,602,972) (c) 43,909,078
Other Assets & Liabilities, Net (0.1%) 25,162
-------------
Net Assets (100.0%) $ 43,934,240
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Security has no value.
(c) Cost for federal income tax purposes is $33,602,972.
See Accompanying Notes to Financial Statements.
101
<Page>
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Financials 26.9%
Industrials 18.9
Consumer Discretionary 12.8
Information Technology 11.4
Materials 8.5
Energy 7.2
Health Care 5.2
Utilities 3.9
Consumer Staples 2.6
Investment Company 1.0
Telecommunication Services 0.7
Short-Term Obligation 0.8
Other Assets & Liabilities, Net 0.1
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
-------------- -------------------------------
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
102
<Page>
CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (99.2%)
Consumer Discretionary (19.5%)
Auto Components (0.6%)
Autoliv, Inc. 5,240 $ 247,066
-------------
Hotels, Restaurants & Leisure (5.9%)
Applebee's International, Inc. 10,700 298,102
Brinker International, Inc. (a) 5,730 215,505
Cheesecake Factory, Inc. (a) 8,970 290,359
Four Seasons Hotels, Inc. 1,870 143,915
Harrah's Entertainment, Inc. 6,230 393,985
Hilton Hotels Corp. 14,710 327,297
Outback Steakhouse, Inc. 2,590 119,270
P.F. Chang's China Bistro, Inc. (a) 1,830 101,730
Panera Bread Co., Class A (a) 8,710 444,210
RARE Hospitality International, Inc. (a) 7,100 223,650
-------------
2,558,023
-------------
Household Durables (4.2%)
Harman International Industries, Inc. 4,640 564,456
Tempur-Pedic International, Inc. (a) 59,800 1,279,122
-------------
1,843,578
-------------
Internet & Catalog Retail (0.7%)
Blue Nile, Inc. (a) 11,480 321,440
-------------
Leisure Equipment & Products (0.6%)
Marvel Enterprises, Inc. (a) 15,390 274,865
-------------
Media (2.9%)
Getty Images, Inc. (a) 4,230 294,831
Grupo Televisa SA, ADR 7,860 462,404
XM Satellite Radio Holdings, Inc., Class A (a) 16,070 512,794
-------------
1,270,029
-------------
Specialty Retail (4.1%)
Abercrombie & Fitch Co., Class A 6,850 343,322
Chico's FAS, Inc. (a) 3,240 170,683
PETCO Animal Supplies, Inc. (a) 10,600 402,482
PETsMART, Inc. 7,340 221,888
Urban Outfitters, Inc. (a) 15,980 672,279
-------------
1,810,654
-------------
Textiles, Apparel & Luxury Goods (0.5%)
Quiksilver, Inc. (a) 6,470 193,259
-------------
Consumer Staples (2.5%)
Food & Staples Retailing (0.5%)
Whole Foods Market, Inc. 2,450 219,079
-------------
</Table>
See Accompanying Notes to Financial Statements.
103
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Food Products (2.0%)
Bunge Ltd. 8,340 $ 471,544
Corn Products International, Inc. 13,240 388,726
-------------
860,270
-------------
Energy (10.9%)
Energy Equipment & Services (6.3%)
BJ Services Co. 9,720 467,046
FMC Technologies, Inc. (a) 9,650 295,580
Key Energy Services, Inc. (a) 22,940 284,685
Nabors Industries Ltd. (a) 8,850 446,040
National-Oilwell, Inc. (a) 17,250 636,180
Precision Drilling Corp. (a) 3,120 212,784
Weatherford International Ltd. (a) 7,470 405,397
-------------
2,747,712
-------------
Oil & Gas (4.6%)
Cheniere Energy, Inc. (a) 4,000 299,600
EOG Resources, Inc. 3,030 224,977
KFx, Inc. (a) 18,300 254,553
McMoRan Exploration Co. (a) 7,360 124,384
Range Resources Corp. 15,040 333,738
Ultra Petroleum Corp. (a) 4,370 225,186
XTO Energy, Inc. 15,478 555,815
-------------
2,018,253
-------------
Financials (5.5%)
Capital Markets (2.6%)
Affiliated Managers Group, Inc. (a) 10,050 637,271
E*TRADE Financial Corp. (a) 29,460 405,075
optionsXpress Holdings, Inc. (a) 3,700 75,036
-------------
1,117,382
-------------
Commercial Banks (0.3%)
Umpqua Holdings Corp. 4,830 117,272
-------------
Consumer Finance (0.2%)
First Marblehead Corp. (a) 1,651 106,209
-------------
Insurance (1.5%)
Allmerica Financial Corp. (a) 8,420 274,913
Ambac Financial Group, Inc. 5,180 398,238
-------------
673,151
-------------
Thrifts & Mortgage Finance (0.9%)
Commercial Capital Bancorp, Inc. 20,610 409,933
-------------
</Table>
See Accompanying Notes to Financial Statements.
104
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Health Care (15.5%)
Biotechnology (3.4%)
Alexion Pharmaceuticals, Inc. (a) 4,260 $ 105,393
Amylin Pharmaceuticals, Inc. (a) 35,210 789,056
Digene Corp. (a) 12,040 308,344
Eyetech Pharmaceuticals, Inc. (a) 3,170 116,846
Onyx Pharmaceuticals, Inc. (a) 5,570 161,753
-------------
1,481,392
-------------
Health Care Equipment & Supplies (2.2%)
Kinetic Concepts, Inc. (a) 6,520 423,800
ResMed, Inc. (a) 6,840 350,892
Varian Medical Systems, Inc. (a) 4,750 179,218
-------------
953,910
-------------
Health Care Providers & Services (5.0%)
Accredo Health, Inc. (a) 10,040 298,991
Caremark Rx, Inc. (a) 4,810 188,071
Community Health Systems, Inc. (a) 6,260 181,415
DaVita, Inc. (a) 15,967 669,975
HealthExtras, Inc. (a) 22,400 345,632
Renal Care Group, Inc. (a) 13,750 524,700
-------------
2,208,784
-------------
Pharmaceuticals (4.9%)
Endo Pharmaceuticals Holdings, Inc. (a) 13,830 290,568
First Horizon Pharmaceutical Corp. (a) 5,790 103,525
IVAX Corp. (a) 21,795 327,579
Medicis Pharmaceutical Corp., Class A 22,610 816,221
Nektar Therapeutics (a) 9,230 155,525
Salix Pharmaceuticals Ltd. (a) 17,090 257,205
Teva Pharmaceutical Industries Ltd., ADR 6,770 194,502
-------------
2,145,125
-------------
Industrials (12.6%)
Aerospace & Defense (1.6%)
United Defense Industries, Inc. (a) 14,120 676,772
-------------
Air Freight & Logistics (1.2%)
C.H. Robinson Worldwide, Inc. 2,200 113,300
UTI Worldwide, Inc. 5,800 399,504
-------------
512,804
-------------
Commercial Services & Supplies (2.9%)
ChoicePoint, Inc. (a) 6,986 321,356
Education Management Corp. (a) 15,500 495,070
Manpower, Inc. 9,400 457,310
-------------
1,273,736
-------------
</Table>
See Accompanying Notes to Financial Statements.
105
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Construction & Engineering (1.2%)
Dycom Industries, Inc. (a) 12,270 $ 333,376
Jacobs Engineering Group, Inc. (a) 3,870 196,557
-------------
529,933
-------------
Electrical Equipment (0.2%)
Roper Industries, Inc. 1,810 105,089
-------------
Machinery (5.5%)
Bucyrus International, Inc., Class A 2,660 97,622
Cuno, Inc. (a) 1,860 106,820
Donaldson Co., Inc. 26,010 810,992
IDEX Corp. 8,830 340,396
Joy Global, Inc. 13,770 384,596
Kennametal, Inc. 10,740 525,616
Wabtec Corp. 7,980 148,747
-------------
2,414,789
-------------
Information Technology (22.4%)
Communications Equipment (4.5%)
Avocent Corp. (a) 5,400 197,154
Comverse Technology, Inc. (a) 17,070 381,514
F5 Networks, Inc. (a) 9,500 455,430
Polycom, Inc. (a) 16,450 284,256
SiRF Technology Holdings, Inc. (a) 33,880 357,434
Tellabs, Inc. (a) 42,230 300,678
-------------
1,976,466
-------------
Computers & Peripherals (1.2%)
Overland Storage, Inc. (a) 6,330 93,178
SanDisk Corp. (a) 17,760 438,672
-------------
531,850
-------------
Electronic Equipment & Instruments (0.5%)
Symbol Technologies, Inc. 12,050 220,515
-------------
Internet Software & Services (1.2%)
Ask Jeeves, Inc. (a) 9,300 263,748
Digital River, Inc. (a) 3,400 132,974
SupportSoft, Inc. (a) 18,770 115,060
-------------
511,782
-------------
IT Services (1.5%)
Anteon International Corp. (a) 2,710 93,007
CACI International, Inc., Class A (a) 3,710 193,477
DST Systems, Inc. (a) 3,140 152,227
Global Payments, Inc. 3,780 216,556
-------------
655,267
-------------
</Table>
See Accompanying Notes to Financial Statements.
106
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (4.6%)
Altera Corp. (a) 8,980 $ 172,416
Broadcom Corp., Class A (a) 6,340 201,802
Marvell Technology Group Ltd. (a) 15,520 519,144
Microchip Technology, Inc. 11,640 303,222
National Semiconductor Corp. 12,990 219,921
NVIDIA Corp. (a) 8,240 188,861
Silicon Laboratories, Inc. (a) 12,750 434,775
-------------
2,040,141
-------------
Software (8.9%)
Altiris, Inc. (a) 8,960 291,290
Amdocs Ltd. (a) 15,420 458,745
Autodesk, Inc. 6,850 201,184
BMC Software, Inc. (a) 11,640 195,901
Business Objects SA, ADR (a) 7,520 183,413
Epicor Software Corp. (a) 21,220 286,258
Hyperion Solutions Corp. (a) 4,250 204,170
Jack Henry & Associates, Inc. 8,280 172,141
Macromedia, Inc. (a) 15,960 546,470
Mercury Interactive Corp. (a) 6,570 287,569
Parametric Technology Corp. (a) 41,620 237,234
Serena Software, Inc. (a) 10,070 216,505
Siebel Systems, Inc. (a) 22,420 195,278
TIBCO Software, Inc. (a) 11,840 130,122
VERITAS Software Corp. (a) 10,690 274,947
-------------
3,881,227
-------------
Materials (8.2%)
Chemicals (3.8%)
Airgas, Inc. 13,490 317,285
OM Group, Inc. (a) 12,660 410,437
Potash Corp. of Saskatchewan, Inc. 11,250 909,000
-------------
1,636,722
-------------
Metals & Mining (4.4%)
Allegheny Technologies, Inc. 5,340 128,160
Arch Coal, Inc. 10,420 380,851
Century Aluminum Co. (a) 5,010 124,849
CONSOL Energy, Inc. 3,170 133,742
Freeport-McMoRan Copper & Gold, Inc., Class B 7,610 280,124
Inco Ltd. (a) 14,130 465,018
Peabody Energy Corp. 5,050 427,988
-------------
1,940,732
-------------
Telecommunication Services (2.1%)
Wireless Telecommunication Services (2.1%)
Crown Castle International Corp. (a) 8,600 141,040
Nextel Partners, Inc., Class A (a) 28,910 575,020
</Table>
See Accompanying Notes to Financial Statements.
107
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Wireless Telecommunication Services (continued)
VimpelCom, ADR (a) 5,990 $ 216,838
-------------
932,898
-------------
Total Common Stocks
(Cost of $38,477,184) 43,418,109
-------------
<Caption>
PAR
-------------
Short-Term Obligation (1.3%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Bond maturing 08/15/13,
market value of $587,950 (repurchase proceeds $575,038) $ 575,000 575,000
-------------
Total Short-Term Obligation
(Cost of $575,000) 575,000
-------------
Total Investments (100.5%)
(Cost of $39,052,184) (b) 43,993,109
Other Assets & Liabilities, Net (- 0.5%) (233,289)
-------------
Net Assets (100.0%) $ 43,759,820
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $39,052,184.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Information Technology 22.4%
Consumer Discretionary 19.5
Health Care 15.5
Industrials 12.6
Energy 10.9
Materials 8.2
Financials 5.5
Consumer Staples 2.5
Telecommunication Services 2.1
Short-Term Obligation 1.3
Other Assets & Liabilities, Net (0.5)
----------
100.0%
==========
</Table>
<Table>
<Caption>
ACRONYM NAME
---------------- -----------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
108
<Page>
CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (95.2%)
Consumer Discretionary (11.9%)
Auto Components (1.5%)
Continental AG 14,100 $ 979,376
Denso Corp. 47,500 1,233,647
-------------
2,213,023
-------------
Automobiles (2.3%)
Nissan Motor Co., Ltd. 58,400 617,408
Renault SA 17,870 1,461,514
Toyota Motor Corp. 35,600 1,385,160
-------------
3,464,082
-------------
Hotels, Restaurants & Leisure (0.8%)
Carnival Corp. 20,300 1,169,280
-------------
Household Durables (2.7%)
Koninklijke (Royal) Philips Electronics NV 24,500 641,074
Matsushita Electric Industrial Co., Ltd. 107,000 1,587,825
Pioneer Corp. 37,200 688,151
Sekisui Chemical Co., Ltd. 60,000 469,225
Sharp Corp. 44,000 674,178
-------------
4,060,453
-------------
Leisure Equipment & Products (0.9%)
Fuji Photo Film Co., Ltd. 39,000 1,400,724
-------------
Media (2.7%)
JC Decaux SA (a) 28,400 759,792
Mediaset S.p.A 32,900 458,759
News Corp., Class B 53,400 938,772
Pearson PLC 106,220 1,231,879
Vivendi Universal SA (a) 20,900 661,648
-------------
4,050,850
-------------
Textiles, Apparel & Luxury Goods (1.0%)
Burberry Group PLC 130,186 980,405
Swatch Group AG, Registered Shares 19,900 560,174
-------------
1,540,579
-------------
Consumer Staples (8.8%)
Beverages (1.9%)
Diageo PLC 109,810 1,495,759
SABMiller PLC 85,089 1,303,203
-------------
2,798,962
-------------
Food & Staples Retailing (1.1%)
Ito-Yokado Co., Ltd. 22,000 881,487
Metro AG 13,772 720,005
-------------
1,601,492
-------------
</Table>
See Accompanying Notes to Financial Statements.
109
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Food Products (2.9%)
Nestle SA, Registered Shares 10,062 $ 2,641,878
Unilever PLC 190,320 1,805,910
-------------
4,447,788
-------------
Household Products (1.8%)
Kao Corp. 29,000 674,777
Reckitt Benckiser PLC 67,968 2,017,982
-------------
2,692,759
-------------
Tobacco (1.1%)
Imperial Tobacco Group PLC 49,596 1,299,772
Japan Tobacco, Inc. 37 392,952
-------------
1,692,724
-------------
Energy (8.1%)
Energy Equipment & Services (0.7%)
Saipem S.p.A 50,400 637,695
Stolt Offshore SA (a) 56,200 393,211
-------------
1,030,906
-------------
Oil & Gas (7.4%)
BG Group PLC 120,001 817,287
BP PLC, ADR 44,380 2,645,936
EnCana Corp. 31,000 1,835,554
ENI S.p.A 112,530 2,736,056
Norsk Hydro ASA 10,120 769,318
Shell Transport & Trading Co., PLC 82,700 721,666
Total SA 8,030 1,723,028
-------------
11,248,845
-------------
Financials (24.0%)
Capital Markets (1.5%)
Deutsche Bank AG, Registered Shares 19,629 1,670,665
Nomura Holdings, Inc. 50,000 657,012
-------------
2,327,677
-------------
Commercial Banks (14.9%)
ABN AMRO Holding NV 36,881 998,713
Anglo Irish Bank Corp., PLC 31,760 773,870
Banco Bilbao Vizcaya Argentaria SA 54,900 925,221
Banco de Sabadell SA 23,615 603,131
Banco Popolare di Verona E Novara 52,800 1,014,489
Banco Popular Espanol SA 15,560 1,033,090
Bank of Ireland 78,809 1,254,141
Bank of Yokohama Ltd. 86,000 542,197
Barclays PLC 182,890 2,003,983
BNP Paribas SA 23,037 1,663,238
DBS Group Holdings Ltd. 63,000 608,156
DNB NOR ASA 99,000 906,693
</Table>
See Accompanying Notes to Financial Statements.
110
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Banks (continued)
HSBC Holdings PLC 149,500 $ 2,472,659
Mitsubishi Tokyo Financial Group, Inc. 124 1,169,665
Mizuho Financial Group, Inc. 193 929,829
National Bank of Greece SA 23,687 800,241
Royal Bank of Scotland Group PLC 64,460 2,137,129
Skandinaviska Enskilda Banken AB, Class A 33,800 602,957
Sumitomo Mitsui Financial Group, Inc. 118 827,111
UniCredito Italiano S.p.A 121,100 666,603
United Overseas Bank Ltd. 63,000 535,024
-------------
22,468,140
-------------
Consumer Finance (0.4%)
Credit Saison Co., Ltd. 20,300 689,896
-------------
Diversified Financial Services (0.7%)
ING Groep NV 36,850 1,061,323
-------------
Insurance (4.9%)
Aegon NV 119,688 1,623,659
Allianz AG, Registered Shares 11,732 1,391,828
Axa 44,000 1,068,669
Irish Life & Permanent PLC 48,600 883,894
Mitsui Sumitomo Insurance Co., Ltd. 82,000 719,652
Riunione Adriatica di Sicurta S.p.A 34,242 774,496
T&D Holdings, Inc. (a) 6,600 309,688
Zurich Financial Services AG (a) 3,622 602,600
-------------
7,374,486
-------------
Real Estate (1.6%)
City Developments Ltd. 73,000 305,514
Sumitomo Realty & Development Co., Ltd. 74,000 1,034,535
Sun Hung Kai Properties Ltd. 65,000 604,182
Swire Pacific Ltd., Class A 53,000 416,197
-------------
2,360,428
-------------
Health Care (8.6%)
Health Care Equipment & Supplies (1.6%)
GN Store Nord A/S 41,000 441,988
Smith & Nephew PLC 84,800 828,599
Synthes, Inc. (a) 6,500 745,014
Terumo Corp. 12,500 361,453
-------------
2,377,054
-------------
Pharmaceuticals (7.0%)
AstraZeneca PLC 29,200 1,093,999
GlaxoSmithKline PLC 113,400 2,508,604
Novartis AG, Registered Shares 31,670 1,519,137
Sanofi-Aventis 18,210 1,359,866
Schering AG 16,600 1,123,793
</Table>
See Accompanying Notes to Financial Statements.
111
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Pharmaceuticals (continued)
Shire Pharmaceuticals Group PLC 52,700 $ 614,657
Takeda Pharmaceutical Co., Ltd. 29,000 1,377,553
Teva Pharmaceutical Industries Ltd., ADR 32,500 933,725
-------------
10,531,334
-------------
Industrials (11.9%)
Aerospace & Defense (0.1%)
Singapore Technologies Engineering Ltd. 147,000 215,549
-------------
Building Products (0.9%)
Nippon Sheet Glass Co., Ltd. 111,000 480,116
Wienerberger AG 20,266 935,798
-------------
1,415,914
-------------
Commercial Services & Supplies (0.8%)
Randstad Holding NV 30,300 1,185,700
-------------
Construction & Engineering (1.9%)
Obayashi Corp. 73,000 467,285
Shimizu Corp. 128,000 635,211
Vinci SA 11,778 1,689,954
-------------
2,792,450
-------------
Electrical Equipment (0.5%)
Mitsubishi Electric Corp. 141,000 694,280
-------------
Industrial Conglomerates (1.8%)
Hutchison Whampoa Ltd. 97,000 882,971
Siemens AG, Registered Shares 10,945 868,592
Smiths Group PLC 58,425 925,623
-------------
2,677,186
-------------
Machinery (2.8%)
Atlas Copco AB, Class B 43,300 1,867,476
Heidelberger Druckmaschinen AG (a) 23,900 811,489
Komatsu Ltd. 65,000 482,597
Volvo AB, Class B 26,200 1,064,278
-------------
4,225,840
-------------
Marine (0.3%)
Kawasaki Kisen Kaisha Ltd. 78,000 529,413
-------------
Road & Rail (1.7%)
Canadian National Railway Co. 24,145 1,436,286
ComfortDelGro Corp., Ltd. 594,000 544,371
East Japan Railway Co. 121 653,044
-------------
2,633,701
-------------
</Table>
See Accompanying Notes to Financial Statements.
112
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Trading Companies & Distributors (0.8%)
Mitsubishi Corp. 103,000 $ 1,209,249
-------------
Transportation Infrastructure (0.3%)
BAA PLC 34,040 399,904
-------------
Information Technology (6.1%)
Communications Equipment (1.6%)
Nokia Oyj 61,800 947,190
Tandberg ASA 77,300 838,606
Telefonaktiebolaget LM Ericsson, ADR (a) 20,500 601,265
-------------
2,387,061
-------------
Computers & Peripherals (0.4%)
Toshiba Corp. 164,000 663,442
-------------
Electronic Equipment & Instruments (0.9%)
Hoya Corp. 4,200 432,672
TDK Corp. 12,700 882,839
-------------
1,315,511
-------------
Internet Software & Services (0.2%)
NIWS Co., Ltd. 125 356,022
-------------
Office Electronics (0.7%)
Canon, Inc. 20,500 1,068,791
-------------
Semiconductors & Semiconductor Equipment (1.7%)
Marvell Technology Group Ltd. (a) 19,900 665,655
Samsung Electronics Co., Ltd. 2,920 1,406,715
STMicroelectronics NV, N.Y. Registered Shares 32,500 543,725
-------------
2,616,095
-------------
Software (0.6%)
Sage Group PLC 224,300 834,022
-------------
Materials (5.6%)
Chemicals (4.2%)
BASF AG 12,670 865,836
Novozymes A/S, Class B 8,650 413,934
Shin-Etsu Chemical Co., Ltd. 26,400 1,045,040
Solvay SA, Class A 3,600 386,233
Sumitomo Chemical Co., Ltd. 244,000 1,262,699
Syngenta AG (a) 18,230 1,962,145
Teijin Ltd. 103,000 426,618
-------------
6,362,505
-------------
</Table>
See Accompanying Notes to Financial Statements.
113
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Construction Materials (0.9%)
Cemex SA de CV, ADR 38,000 $ 1,424,240
-------------
Paper & Forest Products (0.5%)
UPM-Kymmene Oyj 32,700 692,699
-------------
Telecommunication Services (5.8%)
Diversified Telecommunication Services (3.7%)
Belgacom SA (a) 23,300 963,139
Deutsche Telekom AG, Registered Shares (a) 49,709 1,075,054
France Telecom SA 42,320 1,328,717
Nippon Telegraph & Telephone Corp. 108 455,670
Royal Koninklijke KPN NV 68,294 656,540
Telecom Italia S.p.A 256,604 1,017,531
-------------
5,496,651
-------------
Wireless Telecommunication Services (2.1%)
NTT DoCoMo, Inc. 267 464,012
Vodafone Group PLC 1,057,250 2,726,964
-------------
3,190,976
-------------
Utilities (4.4%)
Electric Utilities (2.3%)
E.ON AG 10,198 914,132
Enel S.p.A 79,531 747,967
Fortum Oyj 53,200 950,699
Tokyo Electric Power Co., Inc. 38,400 915,742
-------------
3,528,540
-------------
Gas Utilities (0.5%)
Tokyo Gas Co., Ltd. 176,000 727,280
-------------
Multi-Utilities & Unregulated Power (1.6%)
National Grid Transco PLC 128,400 1,247,983
Veolia Environnement 31,500 1,126,650
-------------
2,374,633
-------------
Total Common Stocks
(Cost of $124,708,762) 143,620,459
-------------
Preferred Stock (0.8%)
Consumer Discretionary (0.8%)
Automobiles (0.8%)
Porsche AG 1,713 1,116,816
-------------
Total Preferred Stock
(Cost of $1,093,487) 1,116,816
-------------
</Table>
See Accompanying Notes to Financial Statements.
114
<Page>
<Table>
<Caption>
PAR VALUE
------------- -------------
Short-Term Obligation (4.0%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Bond maturing 05/15/13,
market value of $6,200,200 (repurchase proceeds $6,073,396) $ 6,073,000 $ 6,073,000
-------------
Total Short-Term Obligation
(Cost of $6,073,000) 6,073,000
-------------
Total Investments (100.0%)
(Cost of $131,875,249) (b) 150,810,275
Other Assets & Liabilities, Net (0.0%) 5,627
-------------
Net Assets (100.0%) $ 150,815,902
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $131,875,249.
See Accompanying Notes to Financial Statements.
115
<Page>
The Fund was invested in the following countries at January 31, 2005:
<Table>
<Caption>
SUMMARY OF SECURITIES % OF TOTAL
BY COUNTRY VALUE INVESTMENTS
-------------------------------- ------------- -------------
Japan $ 32,476,145 21.5%
United Kingdom 32,113,926 21.3
France 12,843,075 8.5
Germany 11,537,588 7.7
United States* 8,422,440 5.6
Italy 8,053,597 5.3
Switzerland 7,285,934 4.8
Netherlands 6,710,732 4.5
Sweden 4,135,976 2.7
Canada 3,271,840 2.2
Ireland 2,911,906 1.9
Finland 2,590,588 1.7
Spain 2,561,442 1.7
Norway 2,514,617 1.7
Singapore 2,208,615 1.5
Hong Kong 1,903,350 1.3
Mexico 1,424,240 0.9
South Korea 1,406,715 0.9
Belgium 1,349,372 0.9
Panama 1,169,280 0.8
Austria 935,798 0.6
Israel 933,725 0.6
Denmark 855,922 0.6
Greece 800,241 0.5
Luxembourg 393,211 0.3
------------- -------------
$ 150,810,275 100.0%
============= =============
</Table>
* Includes short-term obligation.
Certain securities are listed by country of underlying exposure but may
trade predominantly on other exchanges.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ------------
Financials 24.0%
Consumer Discretionary 12.7
Industrials 11.9
Consumer Staples 8.8
Health Care 8.6
Energy 8.1
Information Technology 6.1
Telecommunication Services 5.8
Materials 5.6
Utilities 4.4
Short-Term Obligation 4.0
Other Assets & Liabilities, Net 0.0
------------
100.0%
============
</Table>
<Table>
<Caption>
ACRONYM NAME
- ----------------- -----------------------------
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
116
<Page>
This page is intentionally left blank.
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
January 31, 2005 (Unaudited)
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND GROWTH FUND VALUE FUND
--------------- --------------- ---------------
ASSETS:
Investments, at identified cost $ 91,796,587 $ 32,775,935 $ 38,762,197
--------------- --------------- ---------------
Investments, at value $ 101,441,234 $ 36,546,273 $ 44,387,435
Cash 99,110 765 409
Cash denominated in foreign currency (cost of $0, $0, $0,
$38, $0, $0, $0, $83 and $56,688, respectively) - - -
Receivable for:
Investments sold - 1,028,242 2,272
Capital stock sold - - -
Interest - 63 33
Dividends and foreign tax reclaims 97,213 15,934 62,021
Expense reimbursement due from Investment Advisor 10,217 2,738 2,640
Deferred Trustees' compensation plan 1,119 997 1,018
Other assets 2,720 3,056 3,006
--------------- --------------- ---------------
Total assets 101,651,613 37,598,068 44,458,834
--------------- --------------- ---------------
LIABILITIES:
Payable to custodian bank - - -
Payable for:
Investments purchased - 630,168 -
Fund shares repurchased - - -
Investment advisory fee 21,647 17,317 20,291
Trustees' fees 4,885 1,152 2,521
Audit fee 8,707 14,734 13,034
Deferred Trustees' fees 1,119 997 1,018
--------------- --------------- ---------------
Total liabilities 36,358 664,368 36,864
--------------- --------------- ---------------
NET ASSETS $ 101,615,255 $ 36,933,700 $ 44,421,970
=============== =============== ===============
NET ASSETS consist of:
Paid-in capital $ 90,925,659 $ 33,648,422 $ 37,799,217
Undistributed (overdistributed) net investment income 85,488 (704) 57,836
Accumulated net investment loss - - -
Accumulated net realized gain (loss) 959,461 (484,356) 939,679
Net unrealized appreciation (depreciation) on:
Investments 9,644,647 3,770,338 5,625,238
Foreign currency translations - - -
--------------- --------------- ---------------
NET ASSETS $ 101,615,255 $ 36,933,700 $ 44,421,970
=============== =============== ===============
Shares of capital stock outstanding 7,948,829 3,314,093 3,729,836
=============== =============== ===============
Net asset value, offering and redemption price per share $ 12.78 $ 11.14 $ 11.91
=============== =============== ===============
</Table>
See Accompanying Notes to Financial Statements.
118
<Page>
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL CAP
GROWTH FUND VALUE FUND GROWTH FUND
--------------- --------------- ---------------
ASSETS:
Investments, at identified cost $ 16,346,145 $ 19,852,152 $ 33,827,098
--------------- --------------- ---------------
Investments, at value $ 19,408,810 $ 23,245,845 $ 37,264,723
Cash - 291 7,280
Cash denominated in foreign currency (cost of $0, $0, $0,
$38, $0, $0, $0, $83 and $56,688, respectively) 38 - -
Receivable for:
Investments sold 626,440 116,466 121,225
Capital stock sold - - -
Interest - 59 34
Dividends and foreign tax reclaims 4,848 14,811 1,872
Expense reimbursement due from Investment Advisor 10,295 13,102 13,610
Deferred Trustees' compensation plan 988 963 1,053
Other assets 2,782 3,250 3,055
--------------- --------------- ---------------
Total assets 20,054,201 23,394,787 37,412,852
--------------- --------------- ---------------
LIABILITIES:
Payable to custodian bank 284,675 - -
Payable for:
Investments purchased 234,803 270,585 231,943
Fund shares repurchased - - 56,000
Investment advisory fee 12,338 13,852 25,287
Trustees' fees 1,778 895 1,721
Audit fee 9,408 7,708 9,708
Deferred Trustees' fees 988 963 1,053
--------------- --------------- ---------------
Total liabilities 543,990 294,003 325,712
--------------- --------------- ---------------
NET ASSETS $ 19,510,211 $ 23,100,784 $ 37,087,140
=============== =============== ===============
NET ASSETS consist of:
Paid-in capital $ 17,451,944 $ 19,415,301 $ 33,159,586
Undistributed (overdistributed) net investment income - (9,204) -
Accumulated net investment loss (29,352) - (121,287)
Accumulated net realized gain (loss) (975,046) 300,994 611,216
Net unrealized appreciation (depreciation) on:
Investments 3,062,665 3,393,693 3,437,625
Foreign currency translations - - -
--------------- --------------- ---------------
NET ASSETS $ 19,510,211 $ 23,100,784 $ 37,087,140
=============== =============== ===============
Shares of capital stock outstanding 1,519,482 1,686,327 2,962,863
=============== =============== ===============
Net asset value, offering and redemption price per share $ 12.84 $ 13.70 $ 12.52
=============== =============== ===============
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID INTERNATIONAL
VALUE FUND CAP FUND STOCK FUND
--------------- --------------- ---------------
ASSETS:
Investments, at identified cost $ 33,602,972 $ 39,052,184 $ 131,875,249
--------------- --------------- ---------------
Investments, at value $ 43,909,078 $ 43,993,109 $ 150,810,275
Cash 624 319 691
Cash denominated in foreign currency (cost of $0, $0, $0,
$38, $0, $0, $0, $83 and $56,688, respectively) - 83 55,967
Receivable for:
Investments sold 44,734 132,839 2,373,276
Capital stock sold 17,000 - -
Interest 25 38 396
Dividends and foreign tax reclaims 28,933 3,557 175,054
Expense reimbursement due from Investment Advisor 13,028 3,503 3,922
Deferred Trustees' compensation plan 1,063 1,235 1,742
Other assets 3,153 15,304 250
--------------- --------------- ---------------
Total assets 44,017,638 44,149,987 153,421,573
--------------- --------------- ---------------
LIABILITIES:
Payable to custodian bank - - -
Payable for:
Investments purchased 43,700 341,861 2,384,827
Fund shares repurchased - - 100,000
Investment advisory fee 28,937 28,426 100,255
Trustees' fees 1,990 - 741
Audit fee 7,708 18,645 18,106
Deferred Trustees' fees 1,063 1,235 1,742
--------------- --------------- ---------------
Total liabilities 83,398 390,167 2,605,671
--------------- --------------- ---------------
NET ASSETS $ 43,934,240 $ 43,759,820 $ 150,815,902
=============== =============== ===============
NET ASSETS consist of:
Paid-in capital $ 33,119,780 $ 41,524,564 $ 128,323,554
Undistributed (overdistributed) net investment income 77,052 - (39,676)
Accumulated net investment loss - (101,325) -
Accumulated net realized gain (loss) 431,302 (2,604,344) 3,598,582
Net unrealized appreciation (depreciation) on:
Investments 10,306,106 4,940,925 18,935,026
Foreign currency translations - - (1,584)
--------------- --------------- ---------------
NET ASSETS $ 43,934,240 $ 43,759,820 $ 150,815,902
=============== =============== ===============
Shares of capital stock outstanding 2,971,889 4,294,836 11,318,053
=============== =============== ===============
Net asset value, offering and redemption price per share $ 14.78 $ 10.19 $ 13.33
=============== =============== ===============
</Table>
See Accompanying Notes to Financial Statements.
119
<Page>
STATEMENTS OF OPERATIONS
For the Six Months Ended January 31, 2005 (Unaudited)
<Table>
<Caption>
CMG ENHANCED CMG CMG
S&P 500(R) LARGE CAP LARGE CAP
INDEX FUND GROWTH FUND VALUE FUND
--------------- --------------- ---------------
NET INVESTMENT INCOME:
Income:
Dividends $ 1,260,076 $ 377,959 $ 599,005
Interest 4,893 13,306 4,291
Foreign taxes withheld - (1,870) (2,073)
--------------- --------------- ---------------
Total income 1,264,969 389,395 601,223
--------------- --------------- ---------------
Expenses:
Investment advisory fee 131,181 105,729 125,056
Trustees' fees 8,035 4,844 6,283
Audit fee 12,565 4,315 4,315
Trustee legal counsel fees 1,121 359 486
Non-recurring costs (See Note 9) 805 320 378
--------------- --------------- ---------------
Total expenses 153,707 115,567 136,518
Expense reimbursement from Investment Advisor (21,721) (9,518) (11,084)
Non-recurring costs assumed by Investment Advisor
(See Note 9) (805) (320) (378)
--------------- --------------- ---------------
Net expenses 131,181 105,729 125,056
--------------- --------------- ---------------
Net investment income (loss) 1,133,788 283,666 476,167
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 1,308,001 514,032 1,038,855
Foreign currency transactions - - -
Foreign capital gains tax - - -
--------------- --------------- ---------------
Net realized gain 1,308,001 514,032 1,038,855
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments 6,923,908 3,008,768 2,973,432
Foreign currency translations - - -
Foreign capital gains tax - - -
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) 6,923,908 3,008,768 2,973,432
--------------- --------------- ---------------
Net gain 8,231,909 3,522,800 4,012,287
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 9,365,697 $ 3,806,466 $ 4,488,454
--------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
120
<Page>
<Table>
<Caption>
CMG CMG CMG
MID CAP MID CAP SMALL CAP
GROWTH FUND VALUE FUND GROWTH FUND
--------------- --------------- ---------------
NET INVESTMENT INCOME:
Income:
Dividends $ 38,625 $ 156,836 $ 29,084
Interest 5,152 4,568 6,438
Foreign taxes withheld - - (110)
--------------- --------------- ---------------
Total income 43,777 161,404 35,412
--------------- --------------- ---------------
Expenses:
Investment advisory fee 70,738 80,675 156,189
Trustees' fees 5,210 4,356 5,362
Audit fee 13,665 13,665 15,666
Trustee legal counsel fees - 105 273
Non-recurring costs (See Note 9) 156 177 297
--------------- --------------- ---------------
Total expenses 89,769 98,978 177,787
Expense reimbursement from Investment Advisor (18,875) (18,126) (21,301)
Non-recurring costs assumed by Investment Advisor
(See Note 9) (156) (177) (297)
--------------- --------------- ---------------
Net expenses 70,738 80,675 156,189
--------------- --------------- ---------------
Net investment income (loss) (26,961) 80,729 (120,777)
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 200,069 388,504 903,824
Foreign currency transactions - - -
Foreign capital gains tax - - -
--------------- --------------- ---------------
Net realized gain 200,069 388,504 903,824
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments 2,799,552 1,773,653 3,050,620
Foreign currency translations - - -
Foreign capital gains tax - - -
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) 2,799,552 1,773,653 3,050,620
--------------- --------------- ---------------
Net gain 2,999,621 2,162,157 3,954,444
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 2,972,660 $ 2,242,886 $ 3,833,667
--------------- --------------- ---------------
<Caption>
CMG CMG CMG
SMALL CAP SMALL/MID INTERNATIONAL
VALUE FUND CAP FUND STOCK FUND
--------------- --------------- ---------------
NET INVESTMENT INCOME:
Income:
Dividends $ 386,774 $ 59,497 $ 1,218,135
Interest 2,329 17,927 46,943
Foreign taxes withheld - (717) (114,339)
--------------- --------------- ---------------
Total income 389,103 76,707 1,150,739
--------------- --------------- ---------------
Expenses:
Investment advisory fee 176,256 177,435 612,519
Trustees' fees 7,241 2,815 4,293
Audit fee 13,665 15,454 17,767
Trustee legal counsel fees 637 2,525 1,220
Non-recurring costs (See Note 9) 337 357 1,241
--------------- --------------- ---------------
Total expenses 198,136 198,586 637,040
Expense reimbursement from Investment Advisor (21,543) (20,794) (23,280)
Non-recurring costs assumed by Investment Advisor
(See Note 9) (337) (357) (1,241)
--------------- --------------- ---------------
Net expenses 176,256 177,435 612,519
--------------- --------------- ---------------
Net investment income (loss) 212,847 (100,728) 538,220
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY AND
FOREIGN CAPITAL GAINS TAX:
Net realized gain (loss) on:
Investments 1,010,662 9,100,511 8,512,140
Foreign currency transactions - - (181,941)
Foreign capital gains tax - - (78,730)
--------------- --------------- ---------------
Net realized gain 1,010,662 9,100,511 8,251,469
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments 4,472,278 (2,023,868) 10,893,041
Foreign currency translations - - (4,729)
Foreign capital gains tax - - 53,956
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) 4,472,278 (2,023,868) 10,942,268
--------------- --------------- ---------------
Net gain 5,482,940 7,076,643 19,193,737
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 5,695,787 $ 6,975,915 $ 19,731,957
--------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
121
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
CMG ENHANCED
S&P 500(R)
Index Fund
---------------------------------
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JANUARY 31, JULY 31,
2005 2004
--------------- ---------------
Operations:
Net investment income $ 1,133,788 $ 885,309
Net realized gain on investments 1,308,001 582,070
Net change in unrealized appreciation (depreciation) on
investments 6,923,908 2,619,440
--------------- ---------------
Net increase from operations 9,365,697 4,086,819
Distributions declared to shareholders:
From net investment income (1,713,416) (232,474)
From net realized gains (896,196) (40,302)
--------------- ---------------
Total distributions declared to shareholders (2,609,612) (272,776)
Share transactions:
Subscriptions 10,305,200 94,353,306
Distributions reinvested 408,128 29,758
Redemptions (14,101,441) (9,084,292)
--------------- ---------------
Net increase (decrease) in share transactions (3,388,113) 85,298,772
--------------- ---------------
Net increase in net assets 3,367,972 89,112,815
NET ASSETS:
Beginning of period 98,247,283 9,134,468
--------------- ---------------
End of period $ 101,615,255 $ 98,247,283
=============== ===============
Undistributed net investment income, at end of period $ 85,488 $ 665,116
=============== ===============
Change in shares:
Subscriptions 817,497 8,102,596
Issued for distributions reinvested 31,274 2,509
Redemptions (1,110,248) (746,472)
--------------- ---------------
Net increase (decrease) (261,477) 7,358,633
--------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
122
<Page>
<Table>
<Caption>
CMG CMG
LARGE CAP LARGE CAP
GROWTH FUND VALUE FUND
--------------------------------- ---------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED ENDED PERIOD ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2005 2004 (a) 2005 2004 (a)
--------------- --------------- --------------- ---------------
Operations:
Net investment income $ 283,666 $ 91,165 $ 476,167 $ 572,398
Net realized gain (loss) on
investments 514,032 (998,388) 1,038,855 43,501
Net change in unrealized
appreciation (depreciation)
on investments 3,008,768 761,570 2,973,432 2,651,806
--------------- --------------- --------------- ---------------
Net increase (decrease) from
operations 3,806,466 (145,653) 4,488,454 3,267,705
Distributions declared to shareholders:
From net investment income (349,571) (25,964) (908,008) (82,818)
From net realized gains - - (142,837) -
--------------- --------------- --------------- ---------------
Total distributions declared
to shareholders (349,571) (25,964) (1,050,845) (82,818)
Share transactions:
Subscriptions 2,240,146 45,852,862 1,972,823 49,285,154
Distributions reinvested 60,880 4,175 327,447 14,274
Redemptions (9,507,798) (5,001,843) (9,170,627) (4,629,597)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions (7,206,772) 40,855,194 (6,870,357) 44,669,831
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets (3,749,877) 40,683,577 (3,432,748) 47,854,718
NET ASSETS:
Beginning of period 40,683,577 - 47,854,718 -
--------------- --------------- --------------- ---------------
End of period $ 36,933,700 $ 40,683,577 $ 44,421,970 $ 47,854,718
=============== =============== =============== ===============
Undistributed (overdistributed)
net investment income, at end of
period $ (704) $ 65,201 $ 57,836 $ 489,677
=============== =============== =============== ===============
Change in shares:
Subscriptions 210,939 4,440,392 166,452 4,742,377
Issued for distributions reinvested 5,350 399 27,062 1,333
Redemptions (871,225) (471,762) (777,940) (429,448)
--------------- --------------- --------------- ---------------
Net increase (decrease) (654,936) 3,969,029 (584,426) 4,314,262
--------------- --------------- --------------- ---------------
</Table>
(a) The Fund commenced investment operations on September 10, 2003.
See Accompanying Notes to Financial Statements.
123
<Page>
<Table>
<Caption>
CMG CMG
MID CAP MID CAP
GROWTH FUND VALUE FUND
--------------------------------- ---------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
Operations:
Net investment income (loss) $ (26,961) $ (51,797) $ 80,729 $ 80,641
Net realized gain (loss) on
investments 200,069 (1,172,749) 388,504 75,700
Net change in unrealized
appreciation (depreciation)
on investments 2,799,552 146,764 1,773,653 1,512,473
--------------- --------------- --------------- ---------------
Net increase (decrease) from
operations 2,972,660 (1,077,782) 2,242,886 1,668,814
Distributions declared to shareholders:
From net investment income - - (147,310) (25,250)
From net realized gains - (6,844) (163,068) (2,382)
--------------- --------------- --------------- ---------------
Total distributions declared
to shareholders - (6,844) (310,378) (27,632)
Share transactions:
Subscriptions 1,231,292 20,789,926 1,129,206 21,123,853
Distributions reinvested - 2,911 93,631 4,042
Redemptions (3,977,255) (2,585,860) (2,048,760) (3,425,821)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions (2,745,963) 18,206,977 (825,923) 17,702,074
--------------- --------------- --------------- ---------------
Net increase in net assets 226,697 17,122,351 1,106,585 19,343,256
NET ASSETS:
Beginning of period 19,283,514 2,161,163 21,994,199 2,650,943
--------------- --------------- --------------- ---------------
End of period $ 19,510,211 $ 19,283,514 $ 23,100,784 $ 21,994,199
=============== =============== =============== ===============
Undistributed (overdistributed)
net investment income, at end of period $ - $ - $ (9,204) $ 57,377
=============== =============== =============== ===============
Accumulated net investment loss,
at end of period $ (29,352) $ (2,391) $ - $ -
=============== =============== =============== ===============
Change in shares:
Subscriptions 104,665 1,764,371 85,189 1,773,133
Issued for distributions reinvested - 241 6,769 336
Redemptions (331,113) (216,392) (154,052) (273,086)
--------------- --------------- --------------- ---------------
Net increase (decrease) (226,448) 1,548,220 (62,094) 1,500,383
--------------- --------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
124
<Page>
<Table>
<Caption>
CMG CMG
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
--------------------------------- ---------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
Operations:
Net investment income (loss) $ (120,777) $ (186,093) $ 212,847 $ 282,800
Net realized gain on investments 903,824 3,236,594 1,010,662 2,739,432
Net change in unrealized
appreciation (depreciation)
on investments 3,050,620 (1,228,396) 4,472,278 3,889,062
--------------- --------------- --------------- ---------------
Net increase from operations 3,833,667 1,822,105 5,695,787 6,911,294
Distributions declared to shareholders:
From net investment income - - (284,580) (146,373)
From net realized gains (2,288,049) (1,853,636) (2,878,862) (557,335)
--------------- --------------- --------------- ---------------
Total distributions declared to
shareholders (2,288,049) (1,853,636) (3,163,442) (703,708)
Share transactions:
Subscriptions 3,492,227 20,340,250 4,175,369 22,163,080
Distributions reinvested 1,423,106 1,248,755 1,901,545 445,442
Redemptions (5,101,273) (6,836,214) (5,031,378) (9,816,077)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions (185,940) 14,752,791 1,045,536 12,792,445
--------------- --------------- --------------- ---------------
Net increase in net assets 1,359,678 14,721,260 3,577,881 19,000,031
NET ASSETS:
Beginning of period 35,727,462 21,006,202 40,356,359 21,356,328
--------------- --------------- --------------- ---------------
End of period $ 37,087,140 $ 35,727,462 $ 43,934,240 $ 40,356,359
=============== =============== =============== ===============
Undistributed net investment
income, at end of period $ - $ - $ 77,052 $ 148,785
=============== =============== =============== ===============
Accumulated net investment loss,
at end of period $ (121,287) $ (510) $ - $ -
=============== =============== =============== ===============
Change in shares:
Subscriptions 280,698 1,583,555 287,264 1,716,774
Issued for distributions reinvested 108,304 100,382 124,773 33,618
Redemptions (405,629) (526,058) (341,291) (740,106)
--------------- --------------- --------------- ---------------
Net increase (decrease) (16,627) 1,157,879 70,746 1,010,286
--------------- --------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
125
<Page>
<Table>
<Caption>
CMG CMG
SMALL/MID INTERNATIONAL
CAP FUND STOCK FUND
--------------------------------- ---------------------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JANUARY 31, JULY 31, JANUARY 31, JULY 31,
2005 2004 2005 2004
--------------- --------------- --------------- ---------------
Operations:
Net investment income (loss) $ (100,728) $ (369,067) $ 538,220 $ 1,329,857
Net realized gain on investments,
foreign currency transactions
and foreign capital gains tax 9,100,511 12,174,435 8,251,469 7,546,165
Net change in unrealized
appreciation (depreciation) on
investments, foreign currency
translations and foreign capital
gains tax (2,023,868) (6,374,728) 10,942,268 3,816,938
--------------- --------------- --------------- ---------------
Net increase from operations 6,975,915 5,430,640 19,731,957 12,692,960
Distributions declared to shareholders:
From net investment income - - (1,284,092) (529,435)
From net realized gains - - (3,640,599) -
--------------- --------------- --------------- ---------------
Total distributions declared
to shareholders - - (4,924,691) (529,435)
Share transactions:
Subscriptions 92,000 4,155,162 11,253,340 89,977,364
Distributions reinvested - - 2,823,586 330,247
Redemptions (13,969,678) (32,850,066) (30,319,215) (8,707,904)
--------------- --------------- --------------- ---------------
Net increase (decrease) in share
transactions (13,877,678) (28,694,904) (16,242,289) 81,599,707
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets (6,901,763) (23,264,264) (1,435,023) 93,763,232
NET ASSETS:
Beginning of period 50,661,583 73,925,847 152,250,925 58,487,693
--------------- --------------- --------------- ---------------
End of period $ 43,759,820 $ 50,661,583 $ 150,815,902 $ 152,250,925
=============== =============== =============== ===============
Undistributed (overdistributed)
net investment income, at end of
period $ - $ - $ (39,676) $ 706,196
=============== =============== =============== ===============
Accumulated net investment loss,
at end of period $ (101,325) $ (597) $ - $ -
=============== =============== =============== ===============
Change in shares:
Subscriptions 9,064 455,080 884,321 7,516,797
Issued for distributions reinvested - - 209,932 27,705
Redemptions (1,489,131) (3,586,319) (2,282,478) (698,471)
--------------- --------------- --------------- ---------------
Net increase (decrease) (1,480,067) (3,131,239) (1,188,225) 6,846,031
--------------- --------------- --------------- ---------------
</Table>
See Accompanying Notes to Financial Statements.
126
<Page>
NOTES TO FINANCIAL STATEMENTS
January 31, 2005 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Enhanced S&P 500(R) Index Fund
CMG Large Cap Growth Fund
CMG Large Cap Value Fund
CMG Mid Cap Growth Fund
CMG Mid Cap Value Fund
CMG Small Cap Growth Fund
CMG Small Cap Value Fund
CMG Small/Mid Cap Fund
CMG International Stock Fund
INVESTMENT GOALS. The CMG Enhanced S&P 500(R) Index Fund seeks to outperform the
total return, over the long run, of the Standard & Poor's 500 Composite Stock
Index (the "S&P 500(R)"). The CMG Large Cap Growth Fund and CMG Large Cap Value
Fund seek long-term growth by investing primarily in large capitalization
equities. The CMG Mid Cap Growth Fund and CMG Mid Cap Value Fund seek long-term
growth by investing primarily in middle capitalization equities. The CMG Small
Cap Growth Fund and CMG Small Cap Value Fund seek long-term growth by investing
primarily in small capitalization equities. The CMG Small/Mid Cap Fund seeks
long-term capital appreciation by investing in small and middle capitalization
equities. The CMG International Stock Fund seeks long-term capital appreciation.
FUND SHARES. Each Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
SECURITY VALUATION. Equity securities and securities of certain investment
companies are valued at the last sale price on the principal exchange on which
they trade, except for securities traded on the NASDAQ, which are valued at the
NASDAQ official close price. Unlisted securities or listed securities for which
there were no sales during the day are valued at the closing bid price on such
exchanges or over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Foreign securities are generally valued at the last sale price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
127
<Page>
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Funds'
shares are determined as of such times. Foreign currency exchange rates are
generally determined at 2:00 p.m. Eastern (U.S.) time. Occasionally, events
affecting the values of such foreign securities and such exchange rates may
occur between the times at which they are determined and the close of the
customary trading session of the NYSE, which would not be reflected in the
computation of the Funds' net asset value. If events materially affecting the
values of such foreign securities occur and it is determined that market
quotations are not reliable, then these foreign securities will be valued at
their fair value using procedures approved by the Board of Trustees. The Funds
may use a systematic fair valuation model provided by an independent third party
to value securities principally traded in foreign markets in order to adjust for
possible stale pricing that may occur between the close of the foreign exchanges
and the time for valuation. If a security is valued at a "fair value", such
value is likely to be different from the last quoted market price for the
security.
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. Each Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while the Funds seek to assert their rights.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Funds become
aware of such, net of non-reclaimable tax withholdings. The Funds estimate
components of distributions from real estate investment trusts (REITs).
Distributions received in excess of income are recorded as a reduction of the
cost of the related investments. If the Funds no longer own the applicable
securities, any distributions received in excess of income are recorded as
realized gains.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
For financial statement purposes, the Funds do not distinguish that portion of
gains (losses) on investments which is due to changes in foreign exchange rates
from that which is due to changes in market prices of the investments. Such
fluctuations are included with the net realized and unrealized gains (losses) on
investments.
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, each Fund intends to distribute in each calendar year substantially
all of its net investment income, capital gains and certain other amounts, if
any, such that each Fund should not be subject to federal excise tax. Therefore,
no federal income or excise tax provision is recorded.
FOREIGN CAPITAL GAINS TAX. Realized gains in certain countries may be subject to
foreign taxes at the fund level, at rates ranging from approximately 10% to 30%.
The Funds accrue for such foreign taxes on net realized and unrealized gains at
the appropriate rate for each jurisdiction.
128
<Page>
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on the
ex-date. Net realized capital gains, if any, are distributed at least annually.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the year ended July 31, 2004 was
as follows:
<Table>
<Caption>
ORDINARY LONG-TERM
INCOME* CAPITAL GAINS
----------- -------------
CMG Enhanced S&P 500(R) Index Fund $ 272,776 $ --
CMG Large Cap Growth Fund 25,964 --
CMG Large Cap Value Fund 82,818 --
CMG Mid Cap Growth Fund 6,844 --
CMG Mid Cap Value Fund 27,632 --
CMG Small Cap Growth Fund 1,853,636 --
CMG Small Cap Value Fund 703,708 --
CMG Small/Mid Cap Fund -- --
CMG International Stock Fund 529,435 --
</Table>
* For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
Unrealized appreciation and depreciation at January 31, 2005, based on cost of
investments for federal income tax purposes, excluding any unrealized
appreciation and depreciation from changes in the value of other assets and
liabilities resulting from changes in exchange rates, was:
<Table>
<Caption>
NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------ ------------ ------------
CMG Enhanced S&P 500(R) Index Fund $ 12,356,540 $ (2,711,893) $ 9,644,647
CMG Large Cap Growth Fund 4,398,128 (627,790) 3,770,338
CMG Large Cap Value Fund 6,247,100 (621,862) 5,625,238
CMG Mid Cap Growth Fund 3,292,288 (229,623) 3,062,665
CMG Mid Cap Value Fund 3,609,065 (215,372) 3,393,693
CMG Small Cap Growth Fund 7,083,398 (3,645,773) 3,437,625
CMG Small Cap Value Fund 11,335,667 (1,029,561) 10,306,106
CMG Small/Mid Cap Fund 5,987,978 (1,047,053) 4,940,925
CMG International Stock Fund 20,218,333 (1,283,307) 18,935,026
</Table>
The following capital loss carryforwards, determined as of July 31, 2004, may be
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
------------------------------------------------------------------------
2009 2010 2011 2012 Total
------------ ------------ ------------ ------------ ------------
CMG Large Cap Growth Fund $ -- $ -- $ -- $ 67,035 $ 67,035
CMG Mid Cap Growth Fund -- -- -- 49,708 49,708
CMG Small/Mid Cap Fund -- 11,217,812 55,830 -- 11,273,642
CMG International Stock Fund 616,859 3,440,479 420,427 -- 4,477,765
</Table>
129
<Page>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Funds. Each Fund's investment advisory fee is a
unified fee. Columbia, out of the unified fee it receives from the Funds, pays
all accounting fees, legal fees, transfer agent fees, custody fees and
miscellaneous expenses of the Funds. The unified fee does not include brokerage
fees, taxes, Trustees' fees, Trustee legal counsel fees, audit fees, interest
expenses associated with any borrowings by the Funds or extraordinary expenses,
if any. The unified fees are paid monthly to Columbia at the following annual
rates based on average daily net assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Growth Fund 0.50%
CMG Large Cap Value Fund 0.50%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
CMG Small/Mid Cap Fund 0.75%
CMG International Stock Fund 0.75%
</Table>
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). As a result, Columbia pays fees to State Street
under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds
are included in the unified fee.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Funds and has
subcontracted with Boston Financial Data Services ("BFDS") to serve as
sub-transfer agent. The transfer agent fees for the Funds are included in the
unified fee.
EXPENSE LIMITS AND FEE WAIVERS. Columbia has contractually agreed to reimburse
the Funds through March 1, 2009 for certain expenses so that the expenses
incurred by the Funds, including the investment advisory fees, would not exceed
the following annual rates based on each Fund's average daily net assets:
<Table>
CMG Enhanced S&P 500(R) Index Fund 0.25%
CMG Large Cap Growth Fund 0.50%
CMG Large Cap Value Fund 0.50%
CMG Mid Cap Growth Fund 0.70%
CMG Mid Cap Value Fund 0.70%
CMG Small Cap Growth Fund 0.80%
CMG Small Cap Value Fund 0.80%
CMG Small/Mid Cap Fund 0.75%
CMG International Stock Fund 0.75%
</Table>
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Funds are employees of Columbia or its affiliates and receive no
compensation from the Funds. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Funds in accordance with federal
securities regulations. Each Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Office of the Chief
Compliance Officer. Each Fund's fee, which is included in the unified fee, will
not exceed $15,000 per year.
130
<Page>
The Funds' Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Funds' assets.
OTHER. Columbia provides certain services to the Funds related to Sarbanes-Oxley
compliance. The fees for such services are included in the unified fee.
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2005, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
PURCHASES SALES
---------------- ----------------
CMG Enhanced S&P 500(R) Index Fund $ 28,779,068 $ 33,313,333
CMG Large Cap Growth Fund 22,763,992 30,817,292
CMG Large Cap Value Fund 12,349,730 19,479,000
CMG Mid Cap Growth Fund 9,168,482 11,076,289
CMG Mid Cap Value Fund 5,636,668 6,367,682
CMG Small Cap Growth Fund 8,725,808 10,396,741
CMG Small Cap Value Fund 7,715,697 9,837,228
CMG Small/Mid Cap Fund 46,275,133 59,261,047
CMG International Stock Fund 60,260,801 82,504,676
</Table>
NOTE 6. OTHER RELATED PARTY TRANSACTIONS:
During the six months ended January 31, 2005, the CMG Small Cap Growth Fund used
Bank of America Securities, a wholly owned subsidiary of BOA, as a broker. Total
commissions paid to Bank of America Securities during the period were $330.
NOTE 7. LINE OF CREDIT:
The Fund and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in the unified fee.
For the six months ended January 31, 2005, the Funds did not borrow under this
arrangement.
NOTE 8. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2005, the Funds had shareholders whose shares were
beneficially owned by participant accounts over which BOA and/or its affiliates
had either sole or joint investment discretion. Subscription and redemption
activity in
131
<Page>
these accounts may have a significant effect on the operations of the Funds. The
numbers of such accounts and the percentage of shares of beneficial interest
outstanding held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Enhanced S&P 500(R) Index Fund 1 100.0%
CMG Large Cap Growth Fund 1 100.0%
CMG Large Cap Value Fund 1 100.0%
CMG Mid Cap Growth Fund 1 100.0%
CMG Mid Cap Value Fund 1 100.0%
CMG Small Cap Growth Fund 1 97.4%
CMG Small Cap Value Fund 1 97.6%
CMG International Stock Fund 1 92.2%
</Table>
As of January 31, 2005, CMG Small/Mid Cap Fund had shareholders that held
greater than 5% of the shares outstanding. Subscription and redemption activity
of these shareholders may have a material effect on the Fund. The number of
accounts and the percentage of shares of beneficial interest outstanding held
therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
9 93.8%
</Table>
NOTE 9. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
FOREIGN SECURITIES. There are certain additional risks involved when investing
in foreign securities that are not inherent with investments in domestic
securities. These risks may involve foreign currency exchange rate fluctuations,
adverse political and economic developments and the possible prevention of
currency exchange or other foreign governmental laws or restrictions. In
addition, the liquidity of foreign securities may be more limited than that of
domestic securities.
Investments in emerging market countries are subject to additional risk. The
risk of foreign investments is typically increased in less developed countries.
These countries are also more likely to experience high levels of inflation,
deflation or currency devaluation which could hurt their economies and
securities markets.
INDUSTRY FOCUS. The Funds may focus their investments in certain industries,
subjecting them to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and Columbia Funds Distributor,
Inc. (collectively the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and
the NYAG Settlement are referred to collectively as the "Settlements". The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed, among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also voluntarily undertaken to implement
certain governance measures designed to maintain the independence of
132
<Page>
their boards of trustees. The NYAG Settlement also, among other things, requires
Columbia and its affiliates, Banc of America Capital Management, LLC and BACAP
Distributors LLC to reduce certain Columbia Funds, Nations Funds and other
mutual fund management fees collectively by $32 million per year for five years,
for a projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC Order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Fund's independent trustees and not unacceptable to
the staff of the SEC.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in the previous page, various parties
have filed suit against certain funds, their Boards and/or Bank of America (and
affiliated entities). More than 300 cases (including those filed against
entities unaffiliated with the funds, their Boards and/or FleetBoston and its
affiliated entities) have been consolidated in a multi-district proceeding and
transferred to the Federal District Court in Maryland. Recently, certain
Columbia funds and affiliated entities have been named as defendants in several
direct and derivative actions under various sections of the Investment Company
Act of 1940, as amended, alleging, among other things, that the fees and
expenses paid by those funds are excessive.
On January 11, 2005 a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the Funds
and Columbia. The lawsuit alleges that defendants violated common law duties to
fund shareholders as well as sections of the Investment Company Act of 1940, by
failing to ensure that the Fund and other affiliated funds participated in
securities class action settlements for which the funds were eligible.
Specifically, plaintiffs allege that defendants failed to submit proof of claims
in connection with settlements of securities class action lawsuits filed against
companies in which the funds held positions.
The funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the funds.
For the six months ended January 31, 2005, Columbia has assumed legal,
consulting services and Trustees' fees incurred by the Funds in connection with
these matters as follows:
<Table>
CMG Enhanced S&P 500(R) Index Fund $ 805
CMG Large Cap Growth Fund 320
CMG Large Cap Value Fund 378
CMG Mid Cap Growth Fund 156
CMG Mid Cap Value Fund 177
CMG Small Cap Growth Fund 297
CMG Small Cap Value Fund 337
CMG Small/Mid Cap Fund 357
CMG International Stock Fund 1,241
</Table>
133
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MA 02110-2624
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/440U-0205 (03/05) 4640
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30, 2004 is available
from the SEC's website. Information regarding how the fund voted proxies
relating to portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 S.W. Fifth
Avenue, Portland, Oregon 97201
<Page>
COLUMBIA MANAGEMENT(R)
CMG SMALL CAP FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2005
Not FDIC May Lose Value
Advised by Columbia Management Advisors, Inc. Insured No Bank Guarantee
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Small Cap Fund returned 10.65% for the six-month period ended January 31,
2005. Fund performance was less than the Russell 2000 Growth Index and the
Russell 2000 Index, which returned 13.48% and 13.88%, respectively, for the same
period. Fund performance was also less than the Lipper Small Cap Growth Funds
Category average, which was 12.58% for the period.(1) Decisions to reduce
exposure to health care services and to increase exposure to pharmaceutical
stocks were the primary reasons for the fund's underperformance. Health services
stocks continued to do well while our pharmaceutical stocks experienced some
near-term setbacks.
A new management team took over the fund in July 2004. Early efforts to
restructure the fund's technology holdings resulted in improved performance from
the sector relative to its benchmarks. We eliminated commodity-type businesses
in favor of those with greater intellectual property content as reflected in
companies with higher gross margins. As a result of this emphasis on higher
quality names, the fund was positioned to do well in the market rally in the
fourth quarter 2004. Communications equipment stocks, where the fund had
significant weight, led performance: Ixia advanced 99%, F5 Networks gained 83%
and Packeteer rose 55%.(2)
In the consumer discretionary sector, well-timed investments in restaurants also
had a positive impact on performance. Restaurants struggled in early 2004 as
energy prices rose and traffic to restaurants decelerated. We added to the
industry in the summer and benefited from a rebound when concerns about
commodity cost pressures peaked. Buffalo Wild Wings, Panera Bread, CBRL Group,
P.F. Chang's China Bistro and Cheesecake Factory all made solid gains.
Tempur-Pedic International, a manufacturer and distributor of therapeutic foam
mattresses and pillows, gained ground as investors anticipated increasing market
share in the United States. We liquidated investments in traditional media
companies, where a rebound in advertising revenues did not materialize, in favor
of non-traditional media businesses such as Getty Images. Getty provides imagery
and related products to advertisers. Its stock price advanced 28% during this
reporting period, and we believe that the company's business prospects remain
favorable.
In health care, a decision to reduce exposure to the services industry hurt
performance because the group did well during the period. We remain concerned
about the budget deficit's potential effect on Medicare reimbursement to
hospitals, which we are avoiding in the portfolio. However, we continued to
invest in dialysis service providers such as DaVita and Renal Care Group, both
of which benefited from positive long-term demographic trends. Our decision to
increase exposure to pharmaceuticals was ill-timed, as these stocks generally
declined in the period. Salix Pharmaceuticals experienced a slow start for
Xiphaxan and MGI Pharma acquired the rights to Dacogen and surprised investors
with additional expenses.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates an
average total return for mutual funds with similar investment objectives as
those of the fund.
(2) Holdings are disclosed as a percentage of net assets on January 31, 2005,
and are subject to change: Ixia (1.4%), F5 Networks (1.3%), Packeteer
(1.2%), Buffalo Wild Wings (0.7%), Panera Bread (1.0%), CBRL Group (0.3%),
P.F. Chang's China Bistro (0.9%), Cheesecake Factory (0.6%), Tempur-Pedic
International (2.9%), Getty Images (0.6%), DaVita (1.1%), Renal Care Group
(1.5%), Salix Pharmaceuticals (1.4%), MGI Pharma (0.8%), Connetics
(0.9%).
1
<Page>
However, we believe that these setbacks are minor and added to each of these
stocks during the period. We reduced our position in Connetics because the FDA
denied approval of one of their pipeline drugs, thereby increasing the company's
risk profile.
We believe that the economy continues to grow at a healthy rate and that the
portfolio is positioned correctly. We are bullish on the energy sector, and see
continued strength in the materials and industrial sectors, where we are
maintaining exposure. Ongoing job creation, a build up of cash on corporate
balance sheets and a Federal Reserve Board that appears to be controlling
inflation support our outlook. However, we are monitoring the economy and
markets for any change in the pace of growth because of the portfolio's
pro-cyclical positioning.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
Tempur-Pedic International 2.9
United Defense Industries 2.1
Silicon Laboratories 1.7
Affiliated Managers Group 1.6
Renal Care Group 1.5
Salix Pharmaceuticals 1.4
Ixia 1.4
ICON 1.3
Macromedia 1.3
Joy Global 1.3
</Table>
We appreciate your continued confidence in the CMG Small Cap Fund.
Kenneth A. Korngiebel has co-managed the CMG Small Cap Fund since July 2004 and
has been with the advisor or its predecessors or affiliate organizations since
1996.
/s/ Kenneth A. Korngiebel
Trent E. Nevills has co-managed the fund since July 2004 and has been with the
advisor since 2003.
/s/ Trent E. Nevills
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
Investments in small-cap stocks may be subject to greater volatility and price
fluctuations because small companies often have narrower markets and limited
financial resources and their stocks tend to be thinly traded and less liquid
than investments in larger companies.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1995 TO JANUARY 31, 2005
<Table>
<Caption>
CMG SMALL CAP FUND RUSSELL 2000 INDEX RUSSELL 2000 GROWTH INDEX
2/1/1995 $ 10,000 $ 10,000 $ 10,000
2/28/1995 $ 10,449 $ 10,416 $ 10,461
3/31/1995 $ 10,737 $ 10,595 $ 10,768
4/30/1995 $ 10,847 $ 10,830 $ 10,930
5/31/1995 $ 11,015 $ 11,017 $ 11,073
6/30/1995 $ 11,668 $ 11,588 $ 11,836
7/31/1995 $ 12,380 $ 12,256 $ 12,758
8/31/1995 $ 12,557 $ 12,510 $ 12,915
9/30/1995 $ 12,993 $ 12,734 $ 13,181
10/31/1995 $ 12,721 $ 12,164 $ 12,533
11/30/1995 $ 13,427 $ 12,675 $ 13,085
12/31/1995 $ 13,976 $ 13,010 $ 13,376
1/31/1996 $ 13,969 $ 12,996 $ 13,265
2/29/1996 $ 14,611 $ 13,401 $ 13,870
3/31/1996 $ 14,844 $ 13,674 $ 14,144
4/30/1996 $ 16,262 $ 14,406 $ 15,231
5/31/1996 $ 17,254 $ 14,974 $ 16,012
6/30/1996 $ 16,208 $ 14,358 $ 14,971
7/31/1996 $ 14,834 $ 13,105 $ 13,143
8/31/1996 $ 15,898 $ 13,866 $ 14,116
9/30/1996 $ 16,883 $ 14,408 $ 14,843
10/31/1996 $ 16,574 $ 14,186 $ 14,203
11/30/1996 $ 16,985 $ 14,771 $ 14,598
12/31/1996 $ 17,026 $ 15,158 $ 14,883
1/31/1997 $ 17,724 $ 15,461 $ 15,255
2/28/1997 $ 16,756 $ 15,087 $ 14,333
3/31/1997 $ 15,625 $ 14,375 $ 13,321
4/30/1997 $ 15,708 $ 14,415 $ 13,167
5/31/1997 $ 17,450 $ 16,018 $ 15,146
6/30/1997 $ 18,323 $ 16,705 $ 15,659
7/31/1997 $ 19,721 $ 17,482 $ 16,461
8/31/1997 $ 20,545 $ 17,882 $ 16,955
9/30/1997 $ 22,236 $ 19,191 $ 18,308
10/31/1997 $ 21,044 $ 18,349 $ 17,208
11/30/1997 $ 20,556 $ 18,229 $ 16,798
12/31/1997 $ 20,757 $ 18,548 $ 16,808
1/31/1998 $ 19,956 $ 18,255 $ 16,585
2/28/1998 $ 21,295 $ 19,604 $ 18,049
3/31/1998 $ 22,911 $ 20,412 $ 18,805
4/30/1998 $ 23,102 $ 20,524 $ 18,920
5/31/1998 $ 21,152 $ 19,418 $ 17,544
6/30/1998 $ 21,619 $ 19,459 $ 17,723
7/31/1998 $ 20,703 $ 17,883 $ 16,243
8/31/1998 $ 15,987 $ 14,410 $ 12,494
9/30/1998 $ 17,262 $ 15,538 $ 13,761
10/31/1998 $ 17,571 $ 16,172 $ 14,480
11/30/1998 $ 18,590 $ 17,020 $ 15,603
12/31/1998 $ 20,537 $ 18,073 $ 17,016
1/31/1999 $ 20,317 $ 18,313 $ 17,781
2/28/1999 $ 18,046 $ 16,830 $ 16,154
3/31/1999 $ 18,403 $ 17,093 $ 16,729
4/30/1999 $ 18,999 $ 18,624 $ 18,207
5/31/1999 $ 19,432 $ 18,896 $ 18,236
6/30/1999 $ 21,245 $ 19,750 $ 19,197
7/31/1999 $ 21,806 $ 19,209 $ 18,603
8/31/1999 $ 21,311 $ 18,498 $ 17,908
9/30/1999 $ 21,691 $ 18,502 $ 18,253
10/31/1999 $ 24,024 $ 18,578 $ 18,721
11/30/1999 $ 27,366 $ 19,687 $ 20,699
12/31/1999 $ 32,864 $ 21,915 $ 24,349
1/31/2000 $ 33,074 $ 21,563 $ 24,122
2/29/2000 $ 42,064 $ 25,123 $ 29,735
3/31/2000 $ 40,638 $ 23,467 $ 26,610
4/30/2000 $ 35,652 $ 22,054 $ 23,923
5/31/2000 $ 33,841 $ 20,769 $ 21,827
6/30/2000 $ 38,809 $ 22,580 $ 24,647
7/31/2000 $ 35,615 $ 21,853 $ 22,535
8/31/2000 $ 39,792 $ 23,520 $ 24,905
9/30/2000 $ 38,041 $ 22,828 $ 23,668
10/31/2000 $ 36,155 $ 21,810 $ 21,746
11/30/2000 $ 31,747 $ 19,570 $ 17,797
12/31/2000 $ 34,185 $ 21,251 $ 18,886
1/31/2001 $ 34,654 $ 22,359 $ 20,414
2/28/2001 $ 30,863 $ 20,892 $ 17,615
3/31/2001 $ 28,354 $ 19,870 $ 16,014
4/30/2001 $ 31,563 $ 21,424 $ 17,974
5/31/2001 $ 31,797 $ 21,951 $ 18,391
6/30/2001 $ 32,496 $ 22,709 $ 18,893
7/31/2001 $ 30,803 $ 21,480 $ 17,282
8/31/2001 $ 28,527 $ 20,786 $ 16,201
9/30/2001 $ 24,034 $ 17,988 $ 13,587
10/31/2001 $ 25,726 $ 19,041 $ 14,894
11/30/2001 $ 27,534 $ 20,514 $ 16,137
12/31/2001 $ 29,467 $ 21,780 $ 17,142
1/31/2002 $ 28,533 $ 21,554 $ 16,532
2/28/2002 $ 26,958 $ 20,963 $ 15,463
3/31/2002 $ 28,826 $ 22,646 $ 16,806
4/30/2002 $ 27,892 $ 22,852 $ 16,443
5/31/2002 $ 26,841 $ 21,838 $ 15,481
6/30/2002 $ 25,091 $ 20,755 $ 14,169
7/31/2002 $ 21,530 $ 17,621 $ 11,991
8/31/2002 $ 21,998 $ 17,577 $ 11,985
9/30/2002 $ 21,006 $ 16,315 $ 11,120
10/31/2002 $ 21,413 $ 16,838 $ 11,682
11/30/2002 $ 22,696 $ 18,340 $ 12,840
12/31/2002 $ 21,529 $ 17,319 $ 11,954
1/31/2003 $ 21,471 $ 16,839 $ 11,629
2/28/2003 $ 21,179 $ 16,331 $ 11,318
3/31/2003 $ 21,588 $ 16,541 $ 11,489
4/30/2003 $ 23,280 $ 18,109 $ 12,576
5/31/2003 $ 25,380 $ 20,052 $ 13,993
6/30/2003 $ 26,022 $ 20,415 $ 14,263
7/31/2003 $ 26,956 $ 21,693 $ 15,342
8/31/2003 $ 28,531 $ 22,687 $ 16,166
9/30/2003 $ 27,715 $ 22,267 $ 15,757
10/31/2003 $ 30,456 $ 24,138 $ 17,118
11/30/2003 $ 31,156 $ 24,995 $ 17,676
12/31/2003 $ 31,097 $ 25,502 $ 17,756
1/31/2004 $ 33,022 $ 26,609 $ 18,688
2/29/2004 $ 32,906 $ 26,848 $ 18,660
3/31/2004 $ 32,557 $ 27,098 $ 18,747
4/30/2004 $ 30,923 $ 25,716 $ 17,806
5/31/2004 $ 31,508 $ 26,125 $ 18,161
6/30/2004 $ 32,500 $ 27,225 $ 18,765
7/31/2004 $ 29,582 $ 25,392 $ 17,080
8/31/2004 $ 28,416 $ 25,263 $ 16,713
9/30/2004 $ 30,166 $ 26,448 $ 17,637
10/31/2004 $ 31,041 $ 26,969 $ 18,066
11/30/2004 $ 32,966 $ 29,307 $ 19,592
12/31/2004 $ 34,423 $ 30,174 $ 20,296
1/31/2005 $ 32,740 $ 28,918 $ 19,386
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 10.65 -0.88 -0.21 12.59
Russell 2000 Index 13.88 8.67 6.05 11.20
Russell 2000 Growth Index 13.48 3.71 -4.28 6.84
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG Small Cap Fund 08/30/89 5.92 10.69 0.93 12.88
Russell 2000 Index 10.83 18.33 6.61 11.54
Russell 2000 Growth Index 8.16 14.31 -3.57 7.12
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
The Russell 2000 Index is an unmanaged index that tracks the performance of the
2,000 smallest of the 3,000 largest U.S. companies based on market
capitalization. The Russell 2000 Growth Index is also an unmanaged index that
measures the performance of those Russell 2000 Index companies with higher
price-to-book ratios and higher forecasted growth values. Unlike the fund,
indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that the shareholder would pay on fund
distributions or the redemption of fund shares.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG SMALL CAP FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,106.52 1,021.02 4.41 4.23 0.83
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.83%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED YEAR ENDED OCTOBER 31,
JANUARY 31, JULY 31, JULY 31, -----------------------------------------------
2005 2004 2003(a) 2002 2001 2000 1999(b)
----------- ---------- ---------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 5.07 $ 4.62 $ 3.67 $ 4.41 $ 18.78 $ 13.59 $ 9.96
----------- ---------- ---------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment loss (0.02)(c) (0.03)(c) (0.02)(c) (0.02)(c) (0.01) (0.09) (0.04)
Net realized and unrealized
gain (loss) on investments 0.56 0.48 0.97 (0.72) (2.18) 6.80 3.69
----------- ---------- ---------- --------- --------- --------- ---------
Total from investment
operations 0.54 0.45 0.95 (0.74) (2.19) 6.71 3.65
----------- ---------- ---------- --------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED
TO SHAREHOLDERS:
From net realized gains - - - -(d) (12.18) (1.52) (0.02)
----------- ---------- ---------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 5.61 $ 5.07 $ 4.62 $ 3.67 $ 4.41 $ 18.78 $ 13.59
=========== ========== ========== ========= ========= ========= =========
Total return (e) 10.65%(f) 9.74% 25.89%(f) (16.76)% (28.84)% 50.49% 36.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 75,455 $ 292,028 $ 293,924 $ 227,874 $ 283,521 $ 258,480 $ 240,129
Ratio of net expenses to
average net assets (g) 0.83%(h) 0.79% 0.81%(h) 0.79% 0.82% 0.79% 0.79%
Ratio of net investment loss to
average net assets (g) (0.59)%(h) (0.62)% (0.55)%(h) (0.49)% (0.22)% (0.39)% (0.33)%
Portfolio turnover rate 61%(f) 123% 89%(f) 120% 160% 163% 186%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Not annualized.
(g) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(h) Annualized.
See Accompanying Notes to Financial Statements.
6
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
---------- ------------
Common Stocks (99.2%)
Consumer Discretionary (14.5%)
Auto Components (0.6%)
Autoliv, Inc. 9,962 $ 469,708
------------
Hotels, Restaurants & Leisure (5.2%)
Buffalo Wild Wings, Inc. (a) 13,960 565,240
California Pizza Kitchen, Inc. (a) 7,220 183,460
CBRL Group, Inc. 5,200 213,772
Cheesecake Factory, Inc. (a) 13,980 452,533
P.F. Chang's China Bistro, Inc. (a) 12,490 694,319
Panera Bread Co., Class A (a) 14,210 724,710
RARE Hospitality International, Inc. (a) 9,470 298,305
Scientific Games Corp., Class A (a) 29,490 758,483
------------
3,890,822
------------
Household Durables (2.9%)
Tempur-Pedic International, Inc. (a) 104,120 2,227,127
------------
Internet & Catalog Retail (1.3%)
Blue Nile, Inc. (a) 26,230 734,440
PC Mall, Inc. (a) 13,060 215,751
------------
950,191
------------
Leisure Equipment & Products (0.5%)
Marvel Enterprises, Inc. (a) 21,240 379,347
------------
Media (0.6%)
Getty Images, Inc. (a) 6,990 487,203
------------
Specialty Retail (2.8%)
PETCO Animal Supplies, Inc. (a) 24,340 924,190
Talbots, Inc. 15,210 411,735
Too, Inc. (a) 27,710 752,603
------------
2,088,528
------------
Textiles, Apparel & Luxury Goods (0.6%)
Quiksilver, Inc. (a) 15,910 475,232
------------
10,968,158
------------
Consumer Staples (1.5%)
Food Products (1.5%)
Bunge Ltd. 6,950 392,953
Corn Products International, Inc. 24,220 711,099
------------
1,104,052
------------
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Common Stocks (continued)
Energy (5.9%)
Energy Equipment & Services (2.8%)
Atwood Oceanics, Inc. (a) 7,670 $ 467,870
CAL Dive International, Inc. (a) 7,147 312,324
Grey Wolf, Inc. (a) 56,020 296,906
Input/Output, Inc. (a) 16,510 104,013
Key Energy Services, Inc. (a) 44,850 556,589
Precision Drilling Corp. (a) 4,886 333,225
------------
2,070,927
------------
Oil & Gas (3.1%)
Cheniere Energy, Inc. (a) 6,680 500,332
KFx, Inc. (a) 29,400 408,954
McMoRan Exploration Co. (a) 14,130 238,797
Quicksilver Resources, Inc. (a) 6,030 267,913
Range Resources Corp. 26,000 576,940
Warren Resources, Inc. (a) 39,520 346,985
------------
2,339,921
------------
4,410,848
------------
Financials (6.1%)
Capital Markets (1.8%)
Affiliated Managers Group, Inc. (a) 19,220 1,218,740
optionsXpress Holdings, Inc. (a) 6,460 131,009
------------
1,349,749
------------
Commercial Banks (1.1%)
MB Financial, Inc. 10,660 423,095
Umpqua Holdings Corp. 16,820 408,390
------------
831,485
------------
Insurance (1.6%)
Allmerica Financial Corp. (a) 9,430 307,889
ProAssurance Corp. (a) 24,650 942,863
------------
1,250,752
------------
Thrifts & Mortgage Finance (1.6%)
Commercial Capital Bancorp, Inc. 42,640 848,110
Sterling Financial Corp. (a) 8,970 336,375
------------
1,184,485
------------
4,616,471
------------
Health Care (21.6%)
Biotechnology (5.3%)
Alexion Pharmaceuticals, Inc. (a) 16,060 397,324
Alkermes, Inc. (a) 21,360 270,631
Cubist Pharmaceuticals, Inc. (a) 59,350 677,777
CV Therapeutics, Inc. (a) 18,210 375,308
Digene Corp. (a) 23,580 603,884
Nabi Biopharmaceuticals (a) 42,750 551,903
Onyx Pharmaceuticals, Inc. (a) 9,440 274,138
Rigel Pharmaceuticals, Inc. (a) 22,160 425,250
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Common Stocks (continued)
Biotechnology (continued)
United Therapeutics Corp. (a) 9,860 $ 420,726
------------
3,996,941
------------
Health Care Equipment & Supplies (3.4%)
Advanced Neuromodulation Systems, Inc. (a) 10,450 412,879
ArthroCare Corp. (a) 31,790 945,753
Kyphon, Inc. (a) 12,952 355,791
ResMed, Inc. (a) 16,812 862,456
------------
2,576,879
------------
Health Care Providers & Services (9.4%)
Accredo Health, Inc. (a) 24,350 725,143
Cerner Corp. (a) 13,780 685,555
Chemed Corp. 9,270 663,917
DaVita, Inc. (a) 20,319 852,585
Eclipsys Corp. (a) 10,450 196,460
HealthExtras, Inc. (a) 50,850 784,615
ICON PLC, ADR (a) 28,780 1,010,754
IDX Systems Corp. (a) 17,330 537,577
Renal Care Group, Inc. (a) 30,560 1,166,170
United Surgical Partners International, Inc. (a) 12,500 492,375
------------
7,115,151
------------
Pharmaceuticals (3.5%)
Connetics Corp. (a) 27,780 678,388
MGI Pharma, Inc. (a) 28,230 640,539
Nektar Therapeutics (a) 16,510 278,193
Salix Pharmaceuticals Ltd. (a) 68,605 1,032,505
------------
2,629,625
------------
16,318,596
------------
Industrials (15.6%)
Aerospace & Defense (2.6%)
BE Aerospace, Inc. (a) 38,040 410,451
United Defense Industries, Inc. (a) 32,620 1,563,477
------------
1,973,928
------------
Air Freight & Logistics (0.7%)
UTI Worldwide, Inc. 7,280 501,446
------------
Commercial Services & Supplies (4.1%)
Corporate Executive Board Co. 13,283 848,784
Education Management Corp. (a) 18,562 592,870
Huron Consulting Group, Inc. (a) 12,170 287,699
Ionics, Inc. (a) 5,660 248,247
Resources Connection, Inc. (a) 17,290 881,963
Waste Connections, Inc. (a) 7,960 250,422
------------
3,109,985
------------
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Common Stocks (continued)
Construction & Engineering (1.8%)
Dycom Industries, Inc. (a) 17,270 $ 469,226
URS Corp. (a) 32,300 911,183
------------
1,380,409
------------
Electrical Equipment (0.6%)
Roper Industries, Inc. 8,230 477,834
------------
Machinery (5.7%)
IDEX Corp. 18,710 721,270
Joy Global, Inc. 35,540 992,632
Kennametal, Inc. 20,220 989,567
Terex Corp. (a) 13,850 596,243
Wabtec Corp. 53,210 991,834
------------
4,291,546
------------
Road & Rail (0.1%)
Sirva, Inc. (a) 7,350 65,121
------------
11,800,269
------------
Information Technology (28.0%)
Communications Equipment (7.4%)
Adtran, Inc. 16,180 289,784
Alvarion Ltd. (a) 50,880 526,099
Avocent Corp. (a) 10,320 376,783
Carrier Access Corp. (a) 67,260 496,379
F5 Networks, Inc. (a) 20,050 961,197
Ixia (a) 65,990 1,024,165
Packeteer, Inc. (a) 59,520 867,802
Polycom, Inc. (a) 14,250 246,240
SiRF Technology Holdings, Inc. (a) 78,510 828,280
------------
5,616,729
------------
Computers & Peripherals (0.5%)
Stratasys, Inc. (a) 11,010 375,991
------------
Electronic Equipment & Instruments (1.8%)
Cogent, Inc. (a) 8,900 269,670
Trimble Navigation Ltd. (a) 15,950 567,182
Viisage Technology, Inc. (a) 70,270 501,025
------------
1,337,877
------------
Internet Software & Services (2.3%)
Ask Jeeves, Inc. (a) 17,860 506,510
Digital River, Inc. (a) 8,330 325,786
Equinix, Inc. (a) 11,040 463,018
WebEx Communications, Inc. (a) 20,540 412,854
------------
1,708,168
------------
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
---------- ------------
Common Stocks (continued)
IT Services (4.2%)
Anteon International Corp. (a) 21,630 $ 742,342
CACI International, Inc., Class A (a) 14,910 777,556
Cognizant Technology Solutions Corp., Class A (a) 14,500 549,550
Euronet Worldwide, Inc. (a) 19,330 464,886
Global Payments, Inc. 11,264 645,315
------------
3,179,649
------------
Semiconductors & Semiconductor Equipment (3.2%)
Cambridge Display Technology, Inc. (a) 22,480 150,841
Microsemi Corp. (a) 34,030 525,083
Microtune, Inc. (a) 107,000 494,340
Silicon Laboratories, Inc. (a) 36,750 1,253,175
------------
2,423,439
------------
Software (8.6%)
Agile Software Corp. (a) 45,410 331,947
Altiris, Inc. (a) 20,000 650,200
Borland Software Corp. (a) 25,450 218,361
Citrix Systems, Inc. (a) 22,170 475,547
Embarcadero Technologies, Inc. (a) 85,530 670,555
Epicor Software Corp. (a) 59,020 796,180
Hyperion Solutions Corp. (a) 5,680 272,867
Macromedia, Inc. (a) 29,020 993,645
Parametric Technology Corp. (a) 112,570 641,649
Quest Software, Inc. (a) 40,890 580,638
Serena Software, Inc. (a) 13,330 286,595
The9 Ltd., ADR (a) 26,760 556,581
------------
6,474,765
------------
21,116,618
------------
Materials (3.9%)
Chemicals (2.0%)
Airgas, Inc. 27,170 639,039
OM Group, Inc. (a) 27,910 904,842
------------
1,543,881
------------
Metals & Mining (1.9%)
Allegheny Technologies, Inc. 20,100 482,400
Arch Coal, Inc. 12,283 448,944
Century Aluminum Co. (a) 19,570 487,684
------------
1,419,028
------------
2,962,909
------------
Telecommunication Services (2.1%)
Diversified Telecommunication Services (0.6%)
Premiere Global Services, Inc. (a) 46,790 459,946
------------
Wireless Telecommunication Services (1.5%)
Leap Wireless International, Inc. (a) 9,260 252,335
Millicom International Cellular SA (a) 20,470 437,853
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
----------- ------------
Common Stocks (continued)
Wireless Telecommunication Services (continued)
SBA Communications Corp., Class A (a) 46,220 $ 395,643
------------
1,085,831
------------
1,545,777
------------
Total Common Stocks
(Cost of $69,796,900) 74,843,698
------------
<Caption>
PAR
-----------
Short-Term Obligation (1.6%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Note
maturing 02/15/12, market value of $1,263,600
(repurchase proceeds $1,238,081) $ 1,238,000 1,238,000
------------
Total Short-Term Obligation
(Cost of $1,238,000) 1,238,000
------------
Total Investments (100.8%)
(Cost of $71,034,900) (b) 76,081,698
Other Assets & Liabilities, Net (-0.8)% (626,210)
------------
Net Assets (100.0%) $ 75,455,488
============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Cost for federal income tax purposes is $71,034,900.
See Accompanying Notes to Financial Statements.
12
<Page>
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR NET ASSETS
------ ----------
Information Technology 28.0%
Health Care 21.6
Industrials 15.6
Consumer Discretionary 14.5
Financials 6.1
Energy 5.9
Materials 3.9
Telecommunication Services 2.1
Consumer Staples 1.5
Short-Term Obligation 1.6
Other Assets & Liabilities, Net (0.8)
-----
100.0%
=====
</Table>
<Table>
<Caption>
ACRONYM NAME
------- ----
ADR American Depositary Receipt
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2005 (Unaudited)
<Table>
ASSETS:
Investments, at identified cost $ 71,034,900
--------------
Investments, at value $ 76,081,698
Cash 653
Receivable for:
Investments sold 2,140,042
Interest 81
Dividends 1,620
Deferred Trustees' compensation plan 4,086
--------------
Total assets 78,228,180
--------------
LIABILITIES:
Payable for:
Investments purchased 381,306
Fund shares repurchased 2,265,848
Investment advisory fee 61,171
Transfer agent fee 2,048
Audit fee 17,860
Custody fee 4,560
Reports to shareholders 18,829
Deferred Trustees' fee 4,086
Other liabilities 16,984
--------------
Total liabilities 2,772,692
--------------
NET ASSETS $ 75,455,488
==============
NET ASSETS consist of:
Paid-in capital $ 69,107,002
Accumulated net investment loss (499,625)
Accumulated net realized gain 1,801,313
Net unrealized appreciation on investments 5,046,798
--------------
NET ASSETS $ 75,455,488
==============
Shares of capital stock outstanding 13,456,643
==============
Net asset value, offering and redemption price per share $ 5.61
==============
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
STATEMENT OF OPERATIONS
For the Six Months Ended January 31, 2005 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 159,489
Interest 39,867
Foreign taxes withheld (683)
--------------
Total income 198,673
--------------
Expenses:
Investment advisory fee 627,820
Transfer agent fee 2,315
Trustees' fees 6,392
Custody fee 13,701
Non-recurring costs (See Note 8) 1,157
Other expenses 45,903
--------------
Total expenses 697,288
Non-recurring costs assumed by Investment Advisor (See Note 8) (1,157)
Custody earnings credit (102)
--------------
Net expenses 696,029
--------------
Net investment loss (497,356)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments 41,391,591
Net change in unrealized appreciation (depreciation) on investments (27,093,922)
--------------
Net gain 14,297,669
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 13,800,313
==============
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
Operations:
Net investment loss $ (497,356) $ (2,093,298)
Net realized gain on investments 41,391,591 59,673,743
Net change in unrealized appreciation (depreciation) on investments (27,093,922) (26,262,756)
---------------- ----------------
Net increase from operations 13,800,313 31,317,689
---------------- ----------------
Share Transactions:
Subscriptions 160,000 36,596,397
Redemptions (230,533,091) (69,810,079)
---------------- ----------------
Net decrease from share transactions (230,373,091) (33,213,682)
---------------- ----------------
Total decrease in net assets (216,572,778) (1,895,993)
---------------- ----------------
NET ASSETS:
Beginning of period 292,028,266 293,924,259
---------------- ----------------
End of period $ 75,455,488 $ 292,028,266
================ ================
Accumulated net investment loss $ (499,625) $ (2,269)
================ ================
Changes in shares:
Subscriptions 28,933 7,088,643
Redemptions (44,221,585) (13,033,571)
---------------- ----------------
Net decrease (44,192,652) (5,944,928)
================ ================
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2005 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Small Cap Fund (the "Fund"), a series of CMG Fund Trust (the "Trust"), is a
diversified portfolio. The Trust is an Oregon business trust registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company.
INVESTMENT GOAL. The Fund seeks to provide investors with long-term capital
appreciation, by investing primarily in smaller capitalization companies.
FUND SHARES. The Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
SECURITY VALUATION. Equity securities are valued at the last sale price on the
principal exchange on which they trade, except for securities traded on the
NASDAQ, which are valued at the NASDAQ official close price. Unlisted securities
or listed securities for which there were no sales during the day are valued at
the closing bid price on such exchanges or over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
17
<Page>
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date. Awards from class
action litigation are recorded as a reduction of cost if the Fund still owns the
applicable securities on the payment date. If the Fund no longer owns the
applicable securities, the proceeds are recorded as realized gains.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, the
Fund intends to distribute in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, such that
the Fund should not be subject to federal excise tax. Therefore, no federal
income or excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
NOTE 3. FEDERAL TAX INFORMATION:
Unrealized appreciation and depreciation at January 31, 2005, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 8,998,798
Unrealized depreciation (3,952,000)
------------
Net unrealized appreciation $ 5,046,798
============
</Table>
The following capital loss carryforward, determined as of July 31, 2004, may be
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
CAPITAL LOSS
CARRYFORWARD
------------
YEAR OF EXPIRATION
2010 $ 38,443,526*
</Table>
* Utilization of these losses could be subject to limitations imposed by the
Internal Revenue Code.
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Fund and provides administrative and other services to
the Fund. Columbia receives a monthly investment advisory fee at the annual rate
of 0.75% of the Fund's average daily net assets.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing services to
the Fund under a pricing, bookkeeping and fund administration agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of those functions to State Street Corporation ("State Street"). As a result,
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for pricing and bookkeeping services.
18
<Page>
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Fund and has
subcontracted with Boston Financial Data Services ("BFDS") to serve as
sub-transfer agent. For such services, the Transfer Agent receives a fee, paid
monthly, at the annual rate of $28.00 per open account.
For the six months ended January 31, 2005, the Fund's annualized effective
transfer agent fee rate was less than 0.01%.
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. These credits are recorded as a
reduction of total expenses on the Statement of Operations. The Fund could have
invested a portion of the assets utilized in connection with the expense offset
arrangement in an income-producing asset if it had not entered into such an
agreement.
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Fund are employees of Columbia or its affiliates and receive no
compensation from the Fund. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Fund in accordance with federal
securities regulations. The Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Office of the Chief
Compliance Officer. The Fund's fee will not exceed $15,000 per year.
The Fund's Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Fund's assets.
OTHER. Columbia provides certain services to the Fund related to Sarbanes-Oxley
compliance. For the six months ended January 31, 2005, the Fund paid $456 to
Columbia for such services. This amount is included in "Other expenses" on the
Statement of Operations.
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2005, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were $97,687,098 and
$324,656,171, respectively.
NOTE 6. LINE OF CREDIT:
The Fund and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statement
of Operations. For the six months ended January 31, 2005, the Fund did not
borrow under this arrangement.
NOTE 7. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2005, 5.5% of the outstanding shares of the Fund were
beneficially owned by a participant account over which Bank of America and/or
its affiliates had either sole or joint investment discretion. Subscription and
redemption activity of this account may have a significant effect on the
operations of the Fund.
19
<Page>
As of January 31, 2005, the Fund also had other shareholders that held greater
than 5% of the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the Fund. The number of accounts and
the percentage of shares of beneficial interest outstanding held therein are as
follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
7 71.5%
</Table>
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia and Columbia Funds Distributor,
Inc. (collectively the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission (the "SEC") (the "SEC Order"). The SEC Order
and the NYAG Settlement are referred to collectively as the "Settlements". The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed, among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violation of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also voluntarily undertaken to implement
certain governance measures designed to maintain the independence of their
boards of trustees. The NYAG Settlement also, among other things, requires
Columbia and its affiliates, Banc of America Capital Management, LLC and BACAP
Distributors, LLC to reduce certain Columbia Funds, Nations Funds and other
mutual fund management fees collectively by $32 million per year for five years,
for a projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC Order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on the methodology developed in consultation
with the Columbia Group and the Fund's independent trustees and not unacceptable
to the staff of the SEC.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, their Boards and/or Bank of America (and
affiliated entities). More than 300 cases (including those filed against
entities unaffiliated with the funds, their Boards and/or FleetBoston and its
affiliated entities) have been consolidated in a
20
<Page>
multi-district proceeding and transferred to the Federal District Court in
Maryland. Recently, certain Columbia funds and affiliated entities have been
named as defendants in several derivative actions under various sections of the
Investment Company Act of 1940, as amended, alleging, among other things, that
the fees and expenses paid by those funds are excessive.
On January 11, 2005 a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the Fund
and Columbia. The lawsuit alleges that defendants violated common law duties to
fund shareholders as well as sections of the Investment Company Act of 1940, by
failing to ensure that the Fund and other affiliated funds participated in
securities class action settlements for which the funds were eligible.
Specifically, plaintiffs allege that defendants failed to submit proof of claims
in connection with settlements of securities class action lawsuits filed against
companies in which the funds held positions.
The funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the funds.
For the six months ended January 31, 2005, Columbia has assumed $1,157 of legal,
consulting services and Trustees' fees incurred by the Fund in connection with
these matters.
21
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MA 02110-2624
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/439U-0205 (03/05) 4641
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30, 2004 is available
from the SEC's website. Information regarding how the fund voted proxies
relating to portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 S.W. Fifth
Avenue, Portland, Oregon 97201
<Page>
COLUMBIA MANAGEMENT(R)
CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2005
Not FDIC May Lose Value
Advised by Columbia Management Advisors, Inc. Insured No Bank Guarantee
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Strategic Equity Fund returned 9.95% for the six-month period ended January
31, 2005. The fund outperformed the S&P 500 Index and the Lipper Multi-Cap Core
Funds average(1), which returned 8.16% and 9.43%, respectively. The fund's
emphasis on energy, materials and industrial stocks contributed to its strong
performance, along with good stock selection in the consumer staples and
consumer discretionary sectors.
Our focus on the potential beneficiaries of rising commodity prices made a
positive impact on performance. We believe that emerging markets are driving
demand for energy and raw materials. Companies in the energy and materials
sectors benefited from higher commodity prices caused by an increase in demand
as well as constraints on supply. During the period, the fund benefited from
exposure to both sectors. In the energy sector, oil service and offshore
exploration companies did well as demand for their services increased:
Transocean and TGS Nopec Geophysical both advanced 50% or more (0.8% and 0.6% of
net assets respectively). One exception to the strong performance in the sector
was Input/Output (0.2% of net assets), a provider of seismic equipment, software
and processing services to the oil and gas industry, which suffered a revenue
disappointment and returned -34% for the period. We still are hopeful about the
long-term prospects for the company and maintained our position. In the
materials sector, commodity producers also made gains. Potash Corporation of
Saskatchewan experienced higher prices and demand for potash, and gained 67%
(0.8% of net assets). Companhia Vale do Rio Doce, a Brazilian iron ore producer,
advanced 70% (0.5% of net assets). The fund also invested in the industrials
sector, where among other things, we looked for companies that stand to benefit
from a favorable environment for commodities. Caterpillar shares gained 22% and
Bucyrus International, a manufacturer of mining equipment, saw its stock price
increase 53% (0.6% and 0.2% of net assets, respectively). On the downside,
Insituform Technologies (0.2% of net assets) declined 12% due to cost overruns
in their tunneling operations. We are still holding the stock because we believe
state and local spending prospects will improve.
In the consumer staples sector, Walgreen did well because of robust sales, while
Gillette was a strong performer due to its announced acquisition by Procter &
Gamble (0.8%, 0.8% and 0.3% of net assets, respectively). Within the consumer
discretionary sector, several foreign stocks also did well during the period.
Grupo Televisa, a large Mexican media group, benefited from a better business
climate and Stockmann Oyj, a Finnish department store retailer, benefited from
growth in the Russian and Baltic economies (0.6% and 0.4% of net assets,
respectively).
Within the health care sector the fund's investments generally did well,
however, the fund's investments in some large pharmaceutical companies suffered.
Eli Lilly's price came down due to disappointing sales reports and a risk of
litigation (0.6% of net assets). Pfizer struggled as new risks were revealed
about a popular pain management drug and as litigation and patent expiration
risks increased (0.3% of net assets).
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates an
average total return for mutual funds with similar investment objectives as
those of the fund.
1
<Page>
We are gradually shifting the fund's emphasis from small- and mid-cap stocks
toward higher-growth, large-cap companies. We remain cautious about putting cash
to work too quickly as we prefer to dampen volatility in the fund amid
uncertainty about potential slowing in the economy in 2006. As the current
economic recovery matures, we seek companies that are less sensitive to economic
cycles and able to maintain stable growth. In addition, we will continue to
evaluate investment opportunities overseas, considering areas with compelling
growth trends and reasonable prices.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were:
<Table>
<Caption>
(%)
3M 1.1
Berkshire Hathaway 1.0
Microsoft 1.0
Samsung Electronics 1.0
Schlumberger 0.9
Potash Corp. of Saskatchewan 0.8
Transocean 0.8
Gillette 0.8
Walgreen 0.8
Biogen Idec 0.8
</Table>
We appreciate your continued confidence in CMG Strategic Equity Fund.
Robert A. Unger has managed or co-managed the CMG Strategic Equity Fund since
its inception and has been with the advisor or its predecessors or affiliate
organizations since 1984.
/s/ Robert A. Unger
Emil A. Gjester has co-managed the fund since January 2004 and has been with the
advisor or its predecessors or affiliate organizations since 1996.
/s/ Emil A. Gjester
Equity investments are affected by stock market fluctuations that occur in
response to economic and business developments.
International investing may involve certain risks, including foreign taxation,
currency fluctuations, risks associated with possible differences in financial
standards and other monetary and political risks.
Holdings are calculated as a percentage of net assets and are subject to change.
Because the fund is actively managed, there is no guarantee the fund will
continue to maintain the holdings breakdown listed. The fund's holdings and
their weighting within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, OCTOBER 9, 2001 TO JANUARY 31, 2005
<Table>
<Caption>
CMG STRATEGIC EQUITY FUND S&P 500 INDEX
10/9/2001 $ 10,000 $ 10,000
10/31/2001 $ 10,100 $ 10,033
11/30/2001 $ 11,040 $ 10,803
12/31/2001 $ 11,386 $ 10,898
1/31/2002 $ 11,315 $ 10,738
2/28/2002 $ 11,295 $ 10,531
3/31/2002 $ 11,956 $ 10,927
4/30/2002 $ 11,816 $ 10,265
5/31/2002 $ 11,836 $ 10,189
6/30/2002 $ 11,286 $ 9,464
7/31/2002 $ 10,494 $ 8,726
8/31/2002 $ 10,565 $ 8,783
9/30/2002 $ 9,633 $ 7,828
10/31/2002 $ 10,154 $ 8,517
11/30/2002 $ 11,025 $ 9,019
12/31/2002 $ 10,357 $ 8,490
1/31/2003 $ 10,105 $ 8,267
2/28/2003 $ 9,954 $ 8,143
3/31/2003 $ 9,924 $ 8,222
4/30/2003 $ 10,800 $ 8,900
5/31/2003 $ 11,606 $ 9,369
6/30/2003 $ 11,757 $ 9,489
7/31/2003 $ 12,150 $ 9,656
8/31/2003 $ 12,603 $ 9,844
9/30/2003 $ 12,462 $ 9,739
10/31/2003 $ 13,137 $ 10,291
11/30/2003 $ 13,398 $ 10,381
12/31/2003 $ 14,009 $ 10,925
1/31/2004 $ 14,256 $ 11,126
2/29/2004 $ 14,513 $ 11,281
3/31/2004 $ 14,543 $ 11,111
4/30/2004 $ 14,338 $ 10,936
5/31/2004 $ 14,430 $ 11,086
6/30/2004 $ 14,799 $ 11,301
7/31/2004 $ 14,163 $ 10,927
8/31/2004 $ 14,214 $ 10,971
9/30/2004 $ 14,542 $ 11,089
10/31/2004 $ 14,676 $ 11,259
11/30/2004 $ 15,455 $ 11,715
12/31/2004 $ 15,962 $ 12,113
1/31/2005 $ 15,573 $ 11,818
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 9.95 9.23 14.31
S&P 500 Index 8.16 6.23 5.17
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Strategic Equity Fund 10/09/01 7.86 13.95 15.60
S&P 500 Index 7.19 10.88 6.12
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from October 9, 2001.
The Standard & Poor's (S&P) 500 Index is an unmanaged index that tracks the
performance of 500 widely held, large-capitalization U.S. stocks. Unlike the
fund, indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG STRATEGIC EQUITY FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,099.51 1,023.19 2.12 2.04 0.40
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.40%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31, OCTOBER 31, OCTOBER 31,
2005 2004 2003(a) 2002 2001(b)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.80 $ 12.06 $ 10.14 $ 10.10 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08(c) 0.12(c) 0.10(c) 0.11(c) -(d)
Net realized and unrealized gain (loss)
on investments and foreign currency 1.31 1.87 1.88 (0.05) 0.10
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.39 1.99 1.98 0.06 0.10
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.14) (0.09) (0.06) (0.02) -
From net realized gains (0.72) (0.16) - - -
----------- ----------- ----------- ----------- -----------
Total distributions declared to
shareholders (0.86) (0.25) (0.06) (0.02) -
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 14.33 $ 13.80 $ 12.06 $ 10.14 $ 10.10
=========== =========== =========== =========== ===========
Total return (e)(f) 9.95%(g) 16.58% 19.66%(g) 0.53% 1.00%(g)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 735,319 $ 618,714 $ 370,620 $ 188,179 $ 36,942
Ratio of net expenses to
average net assets (h) 0.40%(i) 0.40% 0.40%(i) 0.40% 0.40%(i)
Ratio of net investment income to
average net assets (h) 1.13%(i) 0.88% 1.22%(i) 1.01% 0.04%(i)
Waiver/reimbursement 0.03%(i) 0.05% 0.05%(i) 0.07% 0.80%(i)
Portfolio turnover rate 30%(g) 81% 78%(g) 172% 14%(g)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on October 9, 2001. Per share data,
total return and portfolio turnover rate reflect activity from that date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Had the Investment Advisor not waived or reimbursed a portion of expenses,
total return would have been reduced.
(g) Not annualized.
(h) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(i) Annualized.
See Accompanying Notes to Financial Statements.
6
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (82.8%)
Consumer Discretionary (9.6%)
Auto Components (0.9%)
Modine Manufacturing Co. 85,350 $ 2,691,086
Nokian Renkaat Oyj 28,760 4,135,978
-------------
6,827,064
-------------
Automobiles (0.0%)
Brilliance China Automotive Holdings Ltd., ADR 10,000 177,500
-------------
Hotels, Restaurants & Leisure (0.4%)
Fairmont Hotels & Resorts, Inc. 40,000 1,249,200
Six Flags, Inc. (a) 100,000 428,000
Yum! Brands, Inc. 30,000 1,390,500
-------------
3,067,700
-------------
Household Durables (0.7%)
Ekornes ASA 70,000 1,617,874
Matsushita Electric Industrial Co. Ltd., ADR 125,000 1,865,000
Pioneer Corp., ADR 40,000 694,400
Sony Corp., ADR 22,500 832,950
-------------
5,010,224
-------------
Internet & Catalog Retail (0.9%)
1-800-FLOWERS.COM, Inc., Class A (a) 100,000 735,000
eBay, Inc. (a) 42,500 3,463,750
IAC/InterActiveCorp (a) 82,500 1,998,975
-------------
6,197,725
-------------
Leisure Equipment & Products (0.3%)
Eastman Kodak Co. 60,000 1,985,400
-------------
Media (3.9%)
Cablevision Systems Corp., Class A (a) 30,000 821,700
Comcast Corp., Class A (a) 100,000 3,161,000
DIRECTV Group, Inc. (a) 75,000 1,128,750
Entravision Communications Corp., Class A (a) 90,000 720,000
Fox Entertainment Group, Inc., Class A (a) 20,000 673,000
Grupo Televisa SA, ADR 75,000 4,412,250
John Wiley & Sons, Inc., Class A 30,000 1,009,500
Liberty Media Corp., Class A (a) 170,000 1,774,800
Liberty Media International, Inc., Class A (a) 7,500 339,600
Media General, Inc., Class A 52,500 3,358,425
News Corp., Class B 136,828 2,326,076
Pixar, Inc. (a) 20,000 1,743,400
Time Warner, Inc. (a) 150,815 2,714,670
</Table>
See Accompanying Notes to Financial Statements.
7
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Media (continued)
Viacom, Inc., Class B 80,310 $ 2,998,775
Westwood One, Inc. (a) 75,000 1,811,250
-------------
28,993,196
-------------
Multiline Retail (1.7%)
Big Lots, Inc. (a) 158,000 1,779,080
Dillard's, Inc., Class A 77,500 2,033,600
Dollar General Corp. 75,000 1,515,750
May Department Stores Co. 82,500 2,796,750
Saks, Inc. (a) 100,000 1,423,000
Stockmann Oyj ABP, Class B 94,750 2,903,174
-------------
12,451,354
-------------
Specialty Retail (0.8%)
CarMax, Inc. (a) 87,996 2,545,724
PETsMART, Inc. 30,000 906,900
Restoration Hardware, Inc. (a) 100,000 575,000
Weight Watchers International, Inc. (a) 40,000 1,874,400
-------------
5,902,024
-------------
Consumer Staples (7.5%)
Beverages (1.4%)
Coca-Cola Co. 97,500 4,045,275
Coca-Cola Femsa, SA de CV, ADR 90,000 2,333,700
Coca-Cola Hellenic Bottling Co. SA 65,000 1,541,410
PepsiCo, Inc. 40,000 2,148,000
-------------
10,068,385
-------------
Food & Staples Retailing (1.7%)
Albertson's, Inc. 108,500 2,482,480
United Natural Foods, Inc. (a) 80,000 2,528,800
Wal-Mart Stores, Inc. 40,000 2,096,000
Walgreen Co. 137,500 5,858,875
-------------
12,966,155
-------------
Food Products (1.5%)
Campbell Soup Co. 40,000 1,172,800
Delta & Pine Land Co. 40,000 1,177,600
General Mills, Inc. 40,000 2,119,600
Hain Celestial Group, Inc. (a) 40,000 804,800
Kellogg Co. 30,000 1,339,200
Tyson Foods, Inc., Class A 62,500 1,073,125
Unilever NV, NY Registered Shares 50,000 3,265,500
-------------
10,952,625
-------------
</Table>
See Accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Household Products (0.6%)
Kimberly-Clark Corp. 32,500 $ 2,129,075
Procter & Gamble Co. 40,000 2,129,200
-------------
4,258,275
-------------
Personal Products (1.7%)
Avon Products, Inc. 75,000 3,166,500
Gillette Co. 118,050 5,987,496
L'Oreal SA 32,500 2,435,478
Natura Cosmeticos SA 37,800 925,448
-------------
12,514,922
-------------
Tobacco (0.6%)
Altria Group, Inc. 67,500 4,308,525
-------------
Energy (8.6%)
Energy Equipment & Services (5.1%)
Cooper Cameron Corp. (a) 57,500 3,243,575
Core Laboratories NV (a) 67,500 1,457,325
GlobalSantaFe Corp. 30,275 1,070,524
Halliburton Co. 100,000 4,113,000
Input/Output, Inc. (a) 275,000 1,732,500
Schlumberger Ltd. 100,000 6,804,000
TGS Nopec Geophysical Co., ASA (a) 160,000 4,050,187
Transocean, Inc. (a) 137,500 6,050,000
Varco International, Inc. (a) 132,500 4,055,825
Weatherford International Ltd. (a) 37,500 2,035,125
Willbros Group, Inc. (a) 150,000 3,216,000
-------------
37,828,061
-------------
Oil & Gas (3.5%)
Anadarko Petroleum Corp. 30,000 1,986,300
BP PLC, ADR 62,500 3,726,250
ConocoPhillips 35,000 3,247,650
Devon Energy Corp. 20,000 813,400
Exxon Mobil Corp. 72,500 3,741,000
McMoRan Exploration Co. (a) 100,000 1,690,000
Newfield Exploration Co. (a) 65,000 3,978,000
Petroleo Brasileiro SA, ADR 40,000 1,626,000
Unocal Corp. 32,500 1,546,025
Valero Energy Corp. 20,000 1,040,600
Williams Companies, Inc. 125,000 2,101,250
-------------
25,496,475
-------------
Financials (10.8%)
Capital Markets (1.9%)
Bank of New York Co., Inc. 75,000 2,228,250
Charles Schwab Corp. 180,000 2,023,200
</Table>
See Accompanying Notes to Financial Statements.
9
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Capital Markets (continued)
Morgan Stanley 97,500 $ 5,456,100
Nikko Cordial Corp. 170,000 802,607
Nomura Holdings, Inc., ADR 125,000 1,653,750
Piper Jaffray Companies, Inc. (a) 49,950 1,977,021
-------------
14,140,928
-------------
Commercial Banks (2.6%)
Allied Irish Banks PLC, ADR 30,000 1,194,000
Fifth Third Bancorp 37,500 1,742,625
HSBC Holdings PLC, ADR 42,500 3,528,775
Mitsubishi Tokyo Financial Group, Inc., ADR 325,000 3,094,000
SunTrust Banks, Inc. 32,500 2,340,650
U.S. Bancorp 72,500 2,178,625
Wachovia Corp. 25,000 1,371,250
Zions Bancorporation 47,500 3,221,450
-------------
18,671,375
-------------
Consumer Finance (0.7%)
American Express Co. 76,700 4,091,945
MBNA Corp. 50,000 1,329,000
-------------
5,420,945
-------------
Diversified Financial Services (1.7%)
Citigroup, Inc. 83,283 4,085,031
GATX Corp. 72,500 2,159,050
Instinet Group, Inc. (a) 100,000 616,000
JPMorgan Chase & Co. 147,026 5,488,481
-------------
12,348,562
-------------
Insurance (3.2%)
American International Group, Inc. 52,724 3,495,074
Berkshire Hathaway, Inc., Class B (a) 2,500 7,485,275
Chubb Corp. 20,000 1,489,600
Cincinnati Financial Corp. 31,500 1,389,780
Hannover Rueckversicherung AG, Registered Shares 92,500 3,563,001
Jefferson-Pilot Corp. 40,000 1,996,000
Marsh & McLennan Companies, Inc. 40,000 1,300,000
PartnerRe Ltd. 10,000 633,700
St. Paul Travelers Companies, Inc. 62,510 2,346,626
-------------
23,699,056
-------------
Real Estate (0.3%)
Mitsubishi Estate Co., Ltd. 100,000 1,263,818
Post Properties, Inc., REIT 30,000 950,400
-------------
2,214,218
-------------
</Table>
See Accompanying Notes to Financial Statements.
10
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Thrifts & Mortgage Finance (0.4%)
Freddie Mac 42,500 $ 2,774,825
-------------
Health Care (14.8%)
Biotechnology (2.3%)
Abgenix, Inc. (a) 100,000 878,000
Amgen, Inc. (a) 62,500 3,890,000
Applera Corp. - Applied Biosystems Group 125,000 2,506,250
Biogen Idec, Inc. (a) 87,500 5,684,000
Chiron Corp. (a) 40,000 1,314,000
MedImmune, Inc. (a) 50,000 1,182,750
Protein Design Labs, Inc. (a) 75,000 1,512,750
-------------
16,967,750
-------------
Health Care Equipment & Supplies (4.1%)
Alcon, Inc. 42,500 3,366,000
Baxter International, Inc. 100,000 3,376,000
Boston Scientific Corp. (a) 60,000 1,983,600
Cooper Companies, Inc. 19,501 1,495,727
Cyberonics, Inc. (a) 60,000 1,510,200
Cytyc Corp. (a) 30,000 751,500
Guidant Corp. 10,000 724,900
Haemonetics Corp. (a) 62,500 2,429,375
Hospira, Inc. (a) 100,350 2,899,111
Kinetic Concepts, Inc. (a) 28,000 1,820,000
Kyphon, Inc. (a) 50,000 1,373,500
Medtronic, Inc. 67,500 3,543,075
Millipore Corp. (a) 30,000 1,305,900
Steris Corp. (a) 40,000 948,800
Zimmer Holdings, Inc. (a) 40,000 3,154,000
-------------
30,681,688
-------------
Health Care Providers & Services (3.3%)
Accredo Health, Inc. (a) 75,000 2,233,500
Andrx Corp. (a) 85,000 1,856,400
Cardinal Health, Inc. 10,000 563,200
Community Health Systems, Inc. (a) 67,500 1,956,150
Health Management Associates, Inc., Class A 40,000 883,200
HEALTHSOUTH Corp. (a) 125,000 731,250
Henry Schein, Inc. (a) 42,500 2,892,550
Laboratory Corp. of America Holdings (a) 10,000 478,500
LifePoint Hospitals, Inc. (a) 30,000 1,134,000
McKesson Corp. 100,000 3,449,000
Omnicare, Inc. 40,000 1,230,000
Quest Diagnostics, Inc. 20,000 1,906,000
Triad Hospitals, Inc. (a) 30,000 1,220,700
UnitedHealth Group, Inc. 27,500 2,444,750
WebMD Corp. (a) 150,000 1,132,500
-------------
24,111,700
-------------
</Table>
See Accompanying Notes to Financial Statements.
11
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Pharmaceuticals (5.1%)
Abbott Laboratories 98,500 $ 4,434,470
Dr. Reddy's Laboratories Ltd., ADR 50,000 845,000
Elan Corp. PLC, ADR (a) 132,500 3,568,225
Eli Lilly & Co. 87,500 4,746,000
Gedeon Richter Ltd. 20,000 2,624,352
Merck & Co., Inc. 52,500 1,472,625
Novartis AG, ADR 75,000 3,591,000
Pfizer, Inc. 100,092 2,418,223
Schering-Plough Corp. 150,000 2,784,000
Shire Pharmaceuticals Group PLC, ADR 47,500 1,662,500
Taro Pharmaceuticals Industries Ltd. (a) 72,500 2,177,900
Teva Pharmaceutical Industries Ltd., ADR 30,000 861,900
Valeant Pharmaceuticals International 100,000 2,497,000
Watson Pharmaceuticals, Inc. (a) 40,000 1,193,200
Wyeth 62,500 2,476,875
-------------
37,353,270
-------------
Industrial (11.4%)
Aerospace & Defense (0.2%)
Raytheon Co. 30,000 1,122,000
-------------
Air Freight & Logistics (0.9%)
United Parcel Service, Inc., Class B 55,000 4,107,400
YAMATO TRANSPORT Co. Ltd. 160,000 2,395,945
-------------
6,503,345
-------------
Airlines (0.2%)
Alaska Air Group, Inc. (a) 10,000 297,900
AMR Corp. (a) 100,000 860,000
Delta Air Lines, Inc. (a) 50,000 269,500
-------------
1,427,400
-------------
Building Products (0.4%)
American Standard Cos., Inc. (a) 32,500 1,301,300
TOTO Ltd. 150,000 1,362,781
-------------
2,664,081
-------------
Commercial Services & Supplies (2.5%)
Avery Dennison Corp. 75,000 4,506,750
Career Education Corp. (a) 30,000 1,208,700
Cendant Corp. 117,500 2,767,125
Central Parking Corp. 50,000 714,000
ChoicePoint, Inc. (a) 47,500 2,185,000
Cintas Corp. 10,000 435,000
G & K Services, Inc., Class A 40,000 1,783,600
Ionics, Inc. (a) 32,500 1,425,450
</Table>
See Accompanying Notes to Financial Statements.
12
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Commercial Services & Supplies (continued)
Tomra Systems ASA 255,000 $ 1,335,100
Waste Management, Inc. 75,000 2,175,000
-------------
18,535,725
-------------
Construction & Engineering (0.6%)
Fluor Corp. 30,000 1,606,200
Insituform Technologies, Inc., Class A (a) 100,000 1,571,000
Shaw Group, Inc. (a) 87,500 1,470,875
-------------
4,648,075
-------------
Electrical Equipment (0.7%)
Emerson Electric Co. 27,500 1,849,100
Thomas & Betts Corp. (a) 125,000 3,651,250
-------------
5,500,350
-------------
Industrial Conglomerates (1.9%)
3M Co. 100,000 8,436,000
General Electric Co. 117,550 4,247,081
Siemens AG, ADR 20,000 1,588,200
-------------
14,271,281
-------------
Machinery (3.0%)
Bucyrus International, Inc., Class A 42,500 1,559,750
Caterpillar, Inc. 50,000 4,455,000
Eaton Corp. 60,000 4,079,400
Flowserve Corp. (a) 40,000 998,000
Hitachi Construction Machinery Co. Ltd. 125,000 1,787,352
Kaydon Corp. 62,500 1,939,375
Navistar International Corp. (a) 50,000 1,946,000
Pall Corp. 50,000 1,346,500
Parker Hannifin Corp. 17,500 1,140,300
Timken Co. 100,000 2,576,000
-------------
21,827,677
-------------
Marine (0.6%)
A.P. Moller - Maersk 275 2,255,955
Finnlines Oyj 110,000 1,926,990
-------------
4,182,945
-------------
Road & Rail (0.1%)
Kansas City Southern (a) 47,500 829,350
-------------
Trading Companies & Distributors (0.3%)
Fastenal Co. 40,000 2,405,200
-------------
</Table>
See Accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Information Technology (10.7%)
Communications Equipment (2.0%)
Cisco Systems, Inc. (a) 125,680 $ 2,267,267
Motorola, Inc. 50,400 793,296
Nokia Oyj, ADR 100,000 1,528,000
Packeteer, Inc. (a) 97,500 1,421,550
Polycom, Inc. (a) 100,000 1,728,000
QUALCOMM, Inc. 72,500 2,699,900
Tandberg ASA 220,000 2,386,718
UTStarcom, Inc. (a) 100,000 1,643,000
-------------
14,467,731
-------------
Computers & Peripherals (1.1%)
Brocade Communications Systems, Inc. (a) 100,000 620,000
EMC Corp. (a) 101,650 1,331,615
Hypercom Corp. (a) 100,000 551,000
International Business Machines Corp. 37,500 3,503,250
NEC Corp., ADR 175,000 1,006,250
Sun Microsystems, Inc. (a) 250,000 1,090,000
-------------
8,102,115
-------------
Electronic Equipment & Instruments (0.7%)
Celestica, Inc. (a) 125,000 1,631,250
Molex, Inc. 30,000 861,600
Murata Manufacturing Co. Ltd. 18,000 940,188
Symbol Technologies, Inc. 82,500 1,509,750
-------------
4,942,788
-------------
Internet Software & Services (0.5%)
Yahoo!, Inc. (a) 115,000 4,049,150
-------------
IT Services (1.6%)
Automatic Data Processing, Inc. 60,000 2,608,800
Convergys Corp. (a) 85,000 1,214,650
DST Systems, Inc. (a) 100,000 4,848,000
First Data Corp. 40,000 1,629,600
Paychex, Inc. 52,500 1,600,725
-------------
11,901,775
-------------
Office Electronics (0.1%)
Canon, Inc., ADR 15,000 788,700
-------------
Semiconductors & Semiconductor Equipment (2.6%)
Advanced Micro Devices (a) 50,000 790,000
Analog Devices, Inc. 20,000 717,800
</Table>
See Accompanying Notes to Financial Statements.
14
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (continued)
Applied Materials, Inc. (a) 50,000 $ 795,000
FEI Co. (a) 90,000 1,814,400
Intel Corp. 100,300 2,251,735
Intersil Corp., Class A 65,000 963,950
Micron Technology, Inc. (a) 100,575 1,046,986
Samsung Electronics Co., Ltd., GDR (b) 30,000 7,200,000
Taiwan Semiconductor Manufacturing Co., Ltd., ADR 100,000 875,000
Texas Instruments, Inc. 104,150 2,417,321
-------------
18,872,192
-------------
Software (2.1%)
Business Objects SA, ADR (a) 50,000 1,219,500
Cadence Design Systems, Inc. (a) 50,000 666,500
Check Point Software Technologies (a) 75,000 1,821,000
Microsoft Corp. 275,620 7,243,294
Novell, Inc. (a) 100,000 577,000
Oracle Corp. (a) 124,230 1,710,647
SAP AG, ADR 30,000 1,161,600
Wind River Systems, Inc. (a) 100,000 1,255,000
-------------
15,654,541
-------------
Materials (5.1%)
Chemicals (2.8%)
Air Products & Chemicals, Inc. 57,500 3,387,325
Dow Chemical Co. 50,000 2,485,000
E.I. du Pont de Nemours & Co. 67,500 3,210,300
International Flavors & Fragrances, Inc. 62,500 2,638,750
Lyondell Chemical Co. 20,000 588,400
Potash Corp. of Saskatchewan, Inc. 75,000 6,060,000
Rohm and Haas Co. 30,000 1,327,200
Zeon Corp. 125,000 1,033,068
-------------
20,730,043
-------------
Construction Materials (0.2%)
Vulcan Materials Co. 30,000 1,694,400
-------------
Containers & Packaging (0.2%)
Smurfit-Stone Container Corp. (a) 75,000 1,128,000
-------------
Metals & Mining (1.4%)
Alumina Ltd., ADR 67,500 1,287,225
AngloGold Ashanti Ltd. 20,000 655,400
Barrick Gold Corp. 50,000 1,093,000
Companhia Vale do Rio Doce, ADR 130,000 3,932,500
Inco Ltd. (a) 57,500 1,892,325
Placer Dome, Inc. 75,000 1,278,750
-------------
10,139,200
-------------
</Table>
See Accompanying Notes to Financial Statements.
15
<Page>
<Table>
<Caption>
SHARES VALUE
------------- -------------
Common Stocks (continued)
Paper & Forest Products (0.5%)
Bowater, Inc. 30,000 $ 1,140,000
Neenah Paper, Inc. 10,784 343,902
Votorantim Celulose e Papel SA, ADR 133,750 1,956,762
-------------
3,440,664
-------------
Telecommunication Services (2.1%)
Diversified Telecommunication Services (1.8%)
BellSouth Corp. 77,500 2,033,600
Cincinnati Bell, Inc. (a) 192,500 818,125
Citizens Communications Co. 30,000 404,700
Compania Anonima Nacional Telefonos de Venezuela, ADR 125,000 2,476,250
Philippine Long Distance Telephone Co., ADR 36,800 956,800
SBC Communications, Inc. 50,000 1,188,000
TDC A/S, ADR 60,000 1,251,000
Telekomunikasi Indonesia, ADR 100,000 2,075,000
Verizon Communications, Inc. 50,000 1,779,500
-------------
12,982,975
-------------
Wireless Telecommunication Services (0.3%)
Millicom International Cellular SA (a) 62,500 1,336,875
Mobile TeleSystems, ADR 30,000 1,079,400
-------------
2,416,275
-------------
Utilities (2.2%)
Electric Utilities (1.3%)
Edison International 100,000 3,247,000
Exelon Corp. 40,000 1,770,000
TECO Energy, Inc. 137,500 2,201,375
TXU Corp. 20,000 1,384,000
Westar Energy, Inc. 30,000 699,000
-------------
9,301,375
-------------
Gas Utilities (0.4%)
NiSource, Inc. 125,000 2,862,500
-------------
Multi-Utilities & Unregulated Power (0.4%)
Duke Energy Corp. 60,000 1,607,400
Oneok, Inc. 57,500 1,592,750
-------------
3,200,150
-------------
Water Utilities (0.1%)
American States Water Co. 30,700 796,664
-------------
Total Common Stocks
(Cost of $485,586,086) 608,778,594
-------------
Investment Company (0.4%)
iShares MSCI Japan Index Fund
(Cost of $2,284,000) 275,000 2,912,250
-------------
</Table>
See Accompanying Notes to Financial Statements.
16
<Page>
<Table>
<Caption>
PAR ($) VALUE
------------- -------------
Short-Term Obligation (16.4%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Note maturing 08/15/09,
market value of $123,279,240
(repurchase proceeds $120,869,890)
(Cost of $120,862,000) $ 120,862,000 $ 120,862,000
-------------
Total Investments (99.6%)
(Cost of $608,732,086) (c) 732,552,844
Other Assets & Liabilities, Net (0.4%) 2,765,993
-------------
Net Assets (100.0%) $ 735,318,837
=============
</Table>
Notes to Investment Portfolio:
(a) Non-income producing security.
(b) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. This security may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At January
31, 2005, the value of this security represents 1.0% of net assets.
(c) Cost for federal income tax purposes is $608,732,086.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Health Care 14.8%
Industrial 11.4
Financials 10.8
Information Technology 10.7
Consumer Discretionary 9.6
Energy 8.6
Consumer Staples 7.5
Materials 5.1
Utilities 2.2
Telecommunication Services 2.1
Investment Company 0.4
Short-Term Obligation 16.4
Other Assets & Liabilities, Net 0.4
------
100.0%
======
</Table>
<Table>
<Caption>
ACRONYM NAME
------- ----------------------------
ADR American Depositary Receipt
GDR Global Depositary Receipt
REIT Real Estate Investment Trust
</Table>
See Accompanying Notes to Financial Statements.
17
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2005 (Unaudited)
<Table>
ASSETS:
Investments, at identified cost (including repurchase agreement) $ 608,732,086
--------------
Investments, at value $ 611,690,844
Repurchase agreement 120,862,000
Receivable for:
Investments sold 7,269,128
Capital stock sold 1,166,183
Interest 7,890
Dividends 370,588
Foreign tax reclaims 28,556
Expense reimbursement due from Investment Advisor 9,234
Deferred Trustees' compensation plan 2,891
--------------
Total Assets 741,407,314
--------------
LIABILITIES:
Payable to custodian bank 108,738
Payable for:
Investments purchased 5,375,200
Capital stock redeemed 280,752
Investment advisory fee 245,232
Transfer agent fee 1,736
Custody fee 13,101
Deferred Trustees' fees 2,891
Other liabilities 60,827
--------------
Total Liabilities 6,088,477
--------------
NET ASSETS $ 735,318,837
==============
NET ASSETS consists of:
Paid-in capital $ 599,969,037
Undistributed net investment income 286,110
Accumulated net realized gain 11,242,837
Net unrealized appreciation on:
Investments 123,820,758
Foreign currency translations 95
--------------
NET ASSETS $ 735,318,837
==============
Shares of capital stock outstanding 51,318,830
==============
Net asset value, offering and redemption price per share $ 14.33
==============
</Table>
See Accompanying Notes to Financial Statements.
18
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS
For the Six Months Ended January 31, 2005 (Unaudited)
<Table>
NET INVESTMENT INCOME:
Income:
Dividends $ 4,320,960
Interest 914,636
Foreign taxes withheld (68,967)
--------------
Total Income 5,166,629
--------------
Expenses:
Investment advisory fee 1,346,510
Transfer agent fee 2,517
Trustees' fees 6,994
Custody fee 26,912
Non-recurring costs (See Note 8) 5,278
Other expenses 81,315
--------------
Total Expenses 1,469,526
Expense reimbursements by Investment Advisor (116,414)
Non-recurring costs assumed by Investment Advisor (See Note 8) (5,278)
Custody earnings credit (1,182)
--------------
Net Expenses 1,346,652
--------------
Net Investment Income 3,819,977
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments 16,628,364
Foreign currency transactions (25,074)
--------------
Net realized gain 16,603,290
--------------
Net change in unrealized appreciation/depreciation on:
Investments 41,654,329
Foreign currency translations (364)
--------------
Net change in unrealized appreciation/depreciation 41,653,965
--------------
Net Gain 58,257,255
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 62,077,232
==============
</Table>
See Accompanying Notes to Financial Statements.
19
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
Operations:
Net investment income $ 3,819,977 $ 5,021,621
Net realized gain on investments and foreign currency transactions 16,603,290 42,218,753
Net change in unrealized appreciation on investments
and foreign currency translations 41,653,965 30,946,840
---------------- ----------------
Net increase from operations 62,077,232 78,187,214
Distributions declared to shareholders:
From net investment income (6,517,434) (3,979,500)
From net realized gains (33,081,757) (6,937,177)
---------------- ----------------
Total distributions declared to shareholders (39,599,191) (10,916,677)
---------------- ----------------
Share Transactions:
Subscriptions 78,151,115 236,903,542
Distributions reinvested 38,913,286 10,729,185
Redemptions (22,937,853) (66,809,077)
---------------- ----------------
Net increase in share transactions 94,126,548 180,823,650
---------------- ----------------
Net increase in net assets 116,604,589 248,094,187
NET ASSETS:
Beginning of period 618,714,248 370,620,061
---------------- ----------------
End of period $ 735,318,837 $ 618,714,248
================ ================
Undistributed net investment income $ 286,110 $ 2,983,567
================ ================
Changes in Shares:
Subscriptions 5,409,374 18,201,135
Issued for distributions reinvested 2,670,781 795,344
Redemptions (1,591,401) (4,903,233)
---------------- ----------------
Net increase 6,488,754 14,093,246
---------------- ----------------
</Table>
See Accompanying Notes to Financial Statements.
20
<Page>
CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2005 (Unaudited)
NOTE 1. ORGANIZATION
CMG Strategic Equity Fund (the "Fund"), a series of CMG Fund Trust (the
"Trust"), is a diversified portfolio. The Trust is an Oregon business trust
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company.
INVESTMENT GOAL. The Fund seeks long-term growth of capital and total returns
greater than those of the market over time.
FUND SHARES. The Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
SECURITY VALUATION. Equity securities and exchange traded funds are valued at
the last sale price on the principal exchange on which they trade, except for
securities traded on the NASDAQ, which are valued at the NASDAQ official close
price. Unlisted securities or listed securities for which there were no sales
during the day are valued at the closing bid price on such exchanges or
over-the-counter markets.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
Foreign securities are generally valued at the last sale price on the foreign
exchange or market on which they trade. If any foreign share prices are not
readily available as a result of limited share activity, the securities are
valued at the last sale price of the local shares in the principal market in
which such securities are normally traded.
Generally, trading in foreign securities is substantially completed each day at
various times prior to the close of the New York Stock Exchange ("NYSE"). The
values of such securities used in computing the net asset value of the Fund's
shares are determined as of such times. Foreign currency exchange rates are
generally determined at 2:00 p.m. Eastern (U.S.) time. Occasionally, events
affecting the values of such foreign securities and such exchange rates may
occur between the times at which they are determined and the close of the
customary trading session of the NYSE, which would not be reflected in the
computation of the Fund's net asset value. If events materially affecting the
values of such foreign securities occur and it is determined that market
quotations are not reliable, then these foreign securities will be valued at
their fair value using procedures approved by the Board of Trustees. The Fund
may use a systematic fair valuation model provided by an independent third party
to value securities principally traded in foreign markets in order to adjust for
possible stale pricing that may occur between the close of the foreign exchanges
and the time for valuation. If a security is valued at a "fair value", such
value is likely to be different from the last quoted market price for the
security.
21
<Page>
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
REPURCHASE AGREEMENTS. The Fund may engage in repurchase agreement transactions
with institutions that the Fund's investment advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon the Fund's ability to dispose of the underlying securities and
a possible decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights.
FOREIGN CURRENCY TRANSACTIONS. The values of all assets and liabilities quoted
in foreign currencies are translated into U.S. dollars at that day's exchange
rates. Net realized and unrealized gains (losses) on foreign currency
transactions include gains (losses) arising from the fluctuation in exchange
rates between trade and settlement dates on securities transactions, gains
(losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and
foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of
gains (losses) on investments which is due to changes in foreign exchange rates
from that which is due to changes in market prices of the investments. Such
fluctuations are included with the net realized and unrealized gains (losses) on
investments.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Corporate
actions and dividend income are recorded on the ex-date, except for certain
foreign securities which are recorded as soon after ex-date as the Fund becomes
aware of such, net of non-reclaimable tax withholdings. The Fund estimates
components of distributions from real estate investment trusts (REITs).
Distributions received in excess of income are recorded as a reduction of the
cost of the related investments. If the Fund no longer owns the applicable
securities, any distributions received in excess of income are recorded as
realized gains.
FEDERAL INCOME TAX STATUS. The Fund intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and will distribute substantially all of its taxable income, if any, for its tax
year, and as such will not be subject to federal income taxes. In addition, the
Fund intends to distribute in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, such that
the Fund should not be subject to federal excise tax. Therefore, no federal
income or excise tax provision is recorded.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on
ex-date. Net realized capital gains, if any, are distributed at least annually.
22
<Page>
NOTE 3. FEDERAL TAX INFORMATION
The tax character of distributions paid during the year ended July 31, 2004 was
as follows:
<Table>
<Caption>
JULY 31, 2004
-------------
DISTRIBUTIONS PAID FROM:
Ordinary Income* $ 8,312,541
Long-Term Capital Gains 2,604,136
</Table>
*For tax purposes short-term capital gains distributions, if any, are considered
ordinary income distributions.
Unrealized appreciation and depreciation at January 31, 2005, based on cost of
investments for federal income tax purposes was:
<Table>
Unrealized appreciation $ 131,380,706
Unrealized depreciation (7,559,948)
-------------
Net unrealized appreciation $ 123,820,758
=============
</Table>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Fund and provides administrative and other services to
the Fund. Columbia receives a monthly investment advisory fee at the annual rate
of 0.40% of the Fund's average daily net assets.
In addition to the investment advisory fee, each shareholder pays an annual fee
calculated as a percentage of the shareholder's net assets in the Fund. The
annual fee ranges between 0.20% on the first $25 million of the shareholder's
net assets in the Fund, to 0.00% on the shareholder's net assets in the Fund in
excess of $25 million.
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing services to
the Fund under a pricing, bookkeeping and fund administration agreement. Under a
separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain
of those functions to State Street Corporation ("State Street"). As a result,
Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is
not charged a fee for pricing and bookkeeping services.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Fund and has
subcontracted with Boston Financial Data Services ("BFDS") to serve as
sub-transfer agent. For such services, the Transfer Agent receives a fee, paid
monthly, at the annual rate of $28.00 per open account. For the six months ended
January 31, 2005, the Fund's annualized effective transfer agent fee was 0.001%
EXPENSE LIMITS AND FEE REIMBURSEMENTS. Columbia has agreed to reimburse the Fund
through October 31, 2004 for certain expenses so that the expenses incurred by
the Fund, including the investment advisory fee, would not exceed 0.40% of the
Fund's average daily net assets. Effective November 1, 2004, Columbia
contractually agreed to continue this arrangement through November 30, 2005.
23
<Page>
CUSTODY CREDITS. The Fund has an agreement with its custodian bank under which
custody fees may be reduced by balance credits. These credits are recorded as a
reduction of total expenses on the Statement of Operations. The Fund could have
invested a portion of the assets utilized in connection with the expense offset
arrangement in an income-producing asset if it had not entered into such an
agreement.
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Fund are employees of Columbia or its affiliates and receive no
compensation from the Fund. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Fund in accordance with federal
securities regulations. The Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Office of the Chief
Compliance Officer. The Fund's fee will not exceed $15,000 per year.
The Fund's Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Fund's assets.
OTHER. Columbia provides certain services to the Fund related to Sarbanes-Oxley
compliance. For the six months ended January 31, 2005, the Fund paid $730 to
Columbia for such services. This amount is included in "Other expenses" on the
Statement of Operations.
NOTE 5. PORTFOLIO INFORMATION
For the six months ended January 31, 2005, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were $218,525,476
and $172,616,028, respectively.
NOTE 6. LINE OF CREDIT
The Fund and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statement
of Operations.
For the six months ended January 31, 2005, the Fund did not borrow under these
arrangements.
NOTE 7. SHARES OF BENEFICIAL INTEREST
As of January 31, 2005, 41.8% of the outstanding shares of the Fund were held by
5 shareholders, each of which owns in excess of 5% of the Fund's shares
outstanding. Subscription and redemption activity of these shareholders may have
a material effect on the Fund.
24
<Page>
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES
INDUSTRY FOCUS. The Fund may focus its investments in certain industries,
subjecting it to greater risk than a fund that is more diversified.
FOREIGN SECURITIES. There are certain additional risks involved when investing
in foreign securities that are not inherent with investments in domestic
securities. These risks may involve foreign currency exchange rate fluctuations,
adverse political and economic developments and the possible prevention of
currency exchange or other foreign governmental laws or restrictions. In
addition, the liquidity of foreign securities may be more limited than that of
domestic securities.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia, Columbia Funds Distributor,
Inc. (collectively the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission (the "SEC") (the "SEC Order"). The SEC Order
and the NYAG Settlement are referred to collectively as the "Settlements". The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed, among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also voluntarily undertaken to implement
certain governance measures designed to maintain the independence of their
boards of trustees. The NYAG Settlement also, among other things, requires
Columbia and its affiliates, Banc of America Capital Management, LLC and BACAP
Distributors LLC to reduce certain Columbia Funds, Nations Funds and other
mutual fund management fees collectively by $32 million per year for five years,
for a projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC Order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Fund's independent trustees and not unacceptable to
the staff of the SEC.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, their Boards and/or Bank of America (and
affiliated entities). More than 300 cases (including those filed against
entities unaffiliated with the funds, their Boards and/or FleetBoston and its
affiliated entities) have been consolidated in a multi-district proceeding and
transferred to the Federal District Court in Maryland. Recently, certain
Columbia funds and affiliated entities have been named as defendants in several
direct and derivative actions under various sections of
25
<Page>
the Investment Company Act of 1940, as amended, alleging, among other things,
that the fees and expenses paid by those funds are excessive.
On January 11, 2005 a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the Fund
and Columbia. The lawsuit alleges that defendants violated common law duties to
fund shareholders as well as sections of the Investment Company Act of 1940, by
failing to ensure that the Fund and other affiliated funds participated in
securities class action settlements for which the funds were eligible.
Specifically, plaintiffs allege that defendants failed to submit proof of claims
in connection with settlements of securities class action lawsuits filed against
companies in which the funds held positions.
The funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the funds.
For the six months ended January 31, 2005, Columbia has assumed $5,278 of legal,
consulting services and Trustees' fees incurred by the Fund in connection with
these matters.
26
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
941-03/438U-0205 (03/05) 4655
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30, 2004 is available
from the SEC's website. Information regarding how the fund voted proxies
relating to portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 S.W. Fifth
Avenue, Portland, Oregon 97201
<Page>
COLUMBIA MANAGEMENT(R)
CMG CORE BOND FUND
CMG SHORT TERM BOND FUND
CMG ULTRA SHORT TERM BOND FUND
CMG HIGH YIELD FUND
PORTFOLIOS OF CMG FUND TRUST
SEMIANNUAL REPORT
JANUARY 31, 2005
NOT FDIC MAY LOSE VALUE
ADVISED BY COLUMBIA MANAGEMENT ADVISORS, INC. INSURED NO BANK GUARANTEE
<Page>
TABLE OF CONTENTS
<Table>
Management Discussion of Fund Performance
CMG Core Bond Fund 1
CMG Short Term Bond Fund 6
CMG Ultra Short Term Bond Fund 11
CMG High Yield Fund 16
Financial Statements
Financial Highlights 21
Schedule of Investments 25
Statements of Assets and Liabilities 58
Statements of Operations 59
Statements of Changes in Net Assets 60
Notes to Financial Statements 64
</Table>
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2005, the CMG Core Bond Fund returned
3.81%. The fund's performance was in line with the Lehman Brothers Aggregate
Bond Index, which also returned 3.81%, and the Lipper Corporate Debt Funds
A-Rated Category, which averaged 3.88% over the same period.(1) The fund
benefited from its emphasis on mortgage-backed securities, which performed well
during the period. We believe that the fund's exposure to longer-term bonds,
which led a rally late in the period, may have been lower than its peer group
and accounted for its slight underperformance. However, we believe that our
positioning is appropriate, given the likelihood of rising interest rates in the
period ahead.
During the six-month reporting period, short-term rates rose while long-term
rates fell, resulting in what is known as a flattening yield curve. The yield
curve connects the points on a graph depicting the yields for various Treasury
maturities, from short- to long-term.
The rise in short-term rates came as no surprise. On June 30, 2004, the Federal
Reserve Board (the Fed) raised a key short-term interest rate--the federal funds
rate--for the first time in four years. The Fed indicated that it would continue
to raise short-term rates in an effort to control inflation. True to its word,
the Fed raised the federal funds rate by one-quarter of one percentage point at
each of its four meetings during this reporting period, from 1.25% to 2.25%.(2)
The yield on three-month Treasury securities also rose by a full percentage
point during the period, while two-year Treasury yields rose by about six-tenths
of a percentage point.
The decline in long-term rates was somewhat surprising to investors because it
occurred despite weakness in the dollar and high energy prices, both of which
tend to lead to higher inflation. Ultimately the Consumer Price Index (CPI), a
common measure of inflation, rose 3.3% in 2004. However, the core rate of
inflation rose only 2.2%, an indication that energy prices did not spread to the
entire economy. Also, foreign central banks have been substantial buyers of
dollar-denominated assets, including Treasury obligations with longer
maturities. Their purchases helped to bring long-term yields down.
The fund's emphasis on corporate bonds and mortgage-backed securities helped the
fund's performance relative to its benchmark. Altogether, 31% of the fund's
assets are invested in corporate bonds. This figure is down one percentage point
from the level of six months ago, as we have used the rally in the corporate
sector to trim our exposure. Mortgage-backed and asset-backed securities
accounted for about 54% of the portfolio. We have emphasized CMOs
(collateralized mortgage obligations) because they provide slightly better
protection against interest-rate shifts than offered by conventional
pass-through securities.
Gains from these sectors helped offset a modest shortfall that resulted from the
fund's duration, which was slightly lower than the benchmark. Duration is a
measure of the fund's sensitivity to interest rates. Generally, we lower
duration when we expect interest rates to rise. If we are right, our move helps
cushion the fund because interest rates and prices move in opposite directions.
However, longer-term interest rates declined during this reporting period and
this strategy did not help performance.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
(2) The federal funds rate was increased to 2.50% on February 2, 2005.
1
<Page>
We have maintained the fund's relatively short duration because we believe that
interest rates are likely to rise in 2005. In addition, we have added slightly
to the fund's holdings of TIPS (Treasury Inflation-Protected Securities).
Although we are not overly concerned about inflation, we viewed these securities
as attractively priced.
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were (%):
<Table>
Federal National Mortgage Association, TBA 5.000% 02/10/2035 9.0
Federal National Mortgage Association, TBA 5.500% 02/10/2035 3.9
U.S. Treasury Bonds, 6.250% 08/15/2023 3.5
U.S. Treasury Inflation Index Notes, 3.625% 01/15/2008 3.1
Federal Home Loan Mortgage Corp. TBA 4.500% 02/15/2020 3.0
Federal Home Loan Mortgage Corp. 4.500% 03/01/2019 2.7
Federal National Mortgage Association, 5.000% 01/25/2031 2.6
Federal Home Loan Mortgage Corp. 4.500% 02/01/2019 2.5
AmeriCredit Automobile Receivable Trust 3.220% 07/06/2008 2.0
Federal Home Loan Mortgage Corp., Discount Note, 02/09/2005 1.9
</Table>
We appreciate your continued confidence in the CMG Core Bond Fund.
Leonard A. Aplet has co-managed the CMG Core Bond Fund since September 2000 and
has been with the advisor or its predecessors or affiliate organizations since
1987.
/s/ Leonard A. Aplet
Richard R. Cutts has co-managed the fund since November 2000 and has been with
the advisor or its predecessors or affiliate organizations since 1994.
/s/ Richard R. Cutts
Investing in fixed-income securities may involve certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
2
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, SEPTEMBER 1, 2000 TO JANUARY 31, 2005
<Table>
<Caption>
LEHMAN BROTHERS
CMG CORE BOND FUND AGGREGATE BOND INDEX
9/1/2000 $ 10,000 $ 10,000
9/30/2000 $ 10,075 $ 10,063
10/31/2000 $ 10,130 $ 10,129
11/30/2000 $ 10,309 $ 10,296
12/31/2000 $ 10,522 $ 10,487
1/31/2001 $ 10,681 $ 10,659
2/28/2001 $ 10,786 $ 10,752
3/31/2001 $ 10,844 $ 10,806
4/30/2001 $ 10,784 $ 10,760
5/31/2001 $ 10,850 $ 10,825
6/30/2001 $ 10,897 $ 10,866
7/31/2001 $ 11,144 $ 11,109
8/31/2001 $ 11,264 $ 11,237
9/30/2001 $ 11,424 $ 11,368
10/31/2001 $ 11,651 $ 11,606
11/30/2001 $ 11,503 $ 11,446
12/31/2001 $ 11,445 $ 11,373
1/31/2002 $ 11,499 $ 11,465
2/28/2002 $ 11,605 $ 11,576
3/31/2002 $ 11,426 $ 11,384
4/30/2002 $ 11,636 $ 11,605
5/31/2002 $ 11,736 $ 11,703
6/30/2002 $ 11,823 $ 11,804
7/31/2002 $ 11,911 $ 11,947
8/31/2002 $ 12,114 $ 12,149
9/30/2002 $ 12,295 $ 12,345
10/31/2002 $ 12,114 $ 12,289
11/30/2002 $ 12,093 $ 12,285
12/31/2002 $ 12,281 $ 12,539
1/31/2003 $ 12,292 $ 12,551
2/28/2003 $ 12,473 $ 12,724
3/31/2003 $ 12,458 $ 12,714
4/30/2003 $ 12,554 $ 12,819
5/31/2003 $ 12,776 $ 13,058
6/30/2003 $ 12,731 $ 13,031
7/31/2003 $ 12,330 $ 12,594
8/31/2003 $ 12,399 $ 12,677
9/30/2003 $ 12,730 $ 13,013
10/31/2003 $ 12,609 $ 12,892
11/30/2003 $ 12,633 $ 12,923
12/31/2003 $ 12,741 $ 13,054
1/31/2004 $ 12,846 $ 13,159
2/29/2004 $ 12,988 $ 13,301
3/31/2004 $ 13,090 $ 13,401
4/30/2004 $ 12,767 $ 13,052
5/31/2004 $ 12,699 $ 13,000
6/30/2004 $ 12,773 $ 13,074
7/31/2004 $ 12,907 $ 13,204
8/31/2004 $ 13,129 $ 13,456
9/30/2004 $ 13,178 $ 13,492
10/31/2004 $ 13,296 $ 13,605
11/30/2004 $ 13,181 $ 13,497
12/31/2004 $ 13,319 $ 13,621
1/31/2005 $ 13,399 $ 13,704
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 3.81 4.29 6.84
Lehman Brothers Aggregate Bond Index 3.81 4.16 7.39
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR LIFE
CMG Core Bond Fund 9/1/00 4.27 4.52 6.84
Lehman Brothers Aggregate Bond Index 4.18 4.34 7.39
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from September 1, 2000.
The Lehman Brothers Aggregate Bond Index is a market value-weighted index that
tracks the daily price, coupon, pay-downs, and total return performance of
fixed-rate, publicly placed, dollar-denominated, and non-convertible investment
grade debt issues with at least $250 million par amount outstanding and with at
least one year to final maturity. Unlike the fund, indices are not investments,
do not incur fees or expenses and are not professionally managed. It is not
possible to invest directly in an index. Securities in the fund may not match
those in an index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
3
<Page>
UNDERSTANDING YOUR EXPENSES - CMG CORE BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,038.11 1,023.95 1.28 1.28 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
4
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
5
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Short Term Bond Fund returned 1.36% for the six-month period ended January
31, 2005. The fund outperformed both the Merrill Lynch 1-3 Year Treasury Index
and the Merrill Lynch 1-5 Year Government/Corporate Bond Index, which returned
0.58% and 1.22%, respectively, during the period. The fund also outperformed its
peer group, the Lipper Short Investment Grade Debt Funds Category, whose average
return was 0.94%.(1) The fund's positions in floating-rate securities aided
performance during a period of rising short-term interest rates.
The most important development during the period was the sustained effort by the
Federal Reserve Board (the Fed) to push short-term interest rates higher. On
June 30, 2004, the Fed raised the federal funds rate--the overnight lending rate
for banks--from 1.00% to 1.25%. It intervened on four subsequent occasions to
raise the federal funds rate in one-quarter percentage point increments to
2.25%.(2) In response to these increases, rates on three-month Treasury
securities moved one percentage point higher, while two-year yields rose by
about six-tenths of a percentage point. These increases helped boost the fund's
yield above the very low yield levels that have prevailed for more than a year.
Furthermore, because approximately 27% of the portfolio was invested in
floating-rate securities, whose coupons are reset as interest rates change, fund
performance received an added boost.
Our overall response to the Fed's interest rate increases was to employ a
barbell strategy that minimized our exposure to intermediate (two- to three-year
maturity) bonds. This maturity range was the worst-performing segment of the
fixed-income market. By using a combination of floating rate securities and 4 to
5 years securities we were able to partially avoid the 2 to 3 year part of the
market.
Generally speaking, we made few changes to the fund's sector allocations during
the period. Approximately 49% of the fund's assets were devoted to mortgage and
asset-backed securities, 36% to corporate obligations with the remainder in
Treasuries and a small amount of cash.
Now that the economy has produced several quarters of solid, though
unexceptional growth, we expect the Fed to continue to push short-term rates
higher for at least the first half of 2005. Overall, the economy is expected to
grow at a pace of roughly 3.5% for the year, with inflation, as measured by the
Consumer Price Index, at about 2.5%. Although we do not view this amount of
inflation as particularly worrisome, we have recently added slightly to the
portfolio's holdings of TIPS (Treasury Inflation-Protected Securities). We were
able to purchase these securities at attractive prices during January,
essentially providing a hedge against higher-than-expected inflation.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
(2) On February 2, 2005 the federal funds rate was increased to 2.50%.
6
<Page>
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were (%):
<Table>
U.S. Treasury Inflation Index Bond, 3.625% 01/15/2008 3.0
SLM Student Loan Trust, 3.416% 01/25/2013 2.9
Federal Home Loan Mortgage, 3.000% 06/15/2009 2.6
KeyCorp Student Loan Trust, 3.010% 10/25/2025 2.4
Countrywide Home Loans, 2.930% 08/25/2018 2.2
Federal Home Loan Mortgage, 4.000% 10/15/2026 2.1
SLM Student Loan Trust, 2.810% 04/25/2017 2.0
United States Treasury Note, 3.500% 11/15/2006 2.0
Residential Asset Securitization Trust, 2.980% 02/25/2034 1.9
Federal Home Loan Mortgage, 4.000% 05/01/2011 1.7
</Table>
We appreciate your continued confidence in the CMG Short Term Bond Fund.
Leonard A. Aplet has co-managed the CMG Short Term Bond Fund since February 1998
and has been with the advisor or its predecessors or affiliate organizations
since 1987.
/s/ Leonard A. Aplet
Richard R. Cutts has co-managed the fund since November 2000 and has been with
the advisor or its predecessors or affiliate organizations since 1994.
/s/ Richard R. Cutts
Investing in fixed-income securities may involve certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
7
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 2, 1998 TO JANUARY 31, 2005
<Table>
<Caption>
MERRILL LYNCH 1-5 YEAR
CMG SHORT GOVERNMENT/CORPORATE MERRILL LYNCH 1-3 YEAR
TERM BOND FUND BOND INDEX TREASURY INDEX
2/2/1998 $ 10,000 $ 10,000 $ 10,000
2/28/1998 $ 10,005 $ 10,002 $ 10,010
3/31/1998 $ 10,040 $ 10,041 $ 10,051
4/30/1998 $ 10,099 $ 10,088 $ 10,098
5/31/1998 $ 10,168 $ 10,150 $ 10,152
6/30/1998 $ 10,236 $ 10,209 $ 10,205
7/31/1998 $ 10,279 $ 10,255 $ 10,253
8/31/1998 $ 10,425 $ 10,403 $ 10,382
9/30/1998 $ 10,563 $ 10,589 $ 10,519
10/31/1998 $ 10,536 $ 10,623 $ 10,570
11/30/1998 $ 10,561 $ 10,608 $ 10,561
12/31/1998 $ 10,612 $ 10,648 $ 10,598
1/31/1999 $ 10,691 $ 10,701 $ 10,640
2/28/1999 $ 10,608 $ 10,605 $ 10,588
3/31/1999 $ 10,688 $ 10,692 $ 10,661
4/30/1999 $ 10,723 $ 10,727 $ 10,695
5/31/1999 $ 10,687 $ 10,685 $ 10,689
6/30/1999 $ 10,704 $ 10,716 $ 10,722
7/31/1999 $ 10,695 $ 10,728 $ 10,756
8/31/1999 $ 10,705 $ 10,749 $ 10,787
9/30/1999 $ 10,815 $ 10,836 $ 10,858
10/31/1999 $ 10,847 $ 10,861 $ 10,887
11/30/1999 $ 10,875 $ 10,879 $ 10,908
12/31/1999 $ 10,886 $ 10,881 $ 10,923
1/31/2000 $ 10,879 $ 10,857 $ 10,918
2/29/2000 $ 10,956 $ 10,934 $ 10,992
3/31/2000 $ 11,046 $ 11,019 $ 11,060
4/30/2000 $ 11,040 $ 11,027 $ 11,088
5/31/2000 $ 11,075 $ 11,059 $ 11,134
6/30/2000 $ 11,233 $ 11,205 $ 11,250
7/31/2000 $ 11,316 $ 11,284 $ 11,321
8/31/2000 $ 11,431 $ 11,389 $ 11,404
9/30/2000 $ 11,543 $ 11,492 $ 11,487
10/31/2000 $ 11,598 $ 11,544 $ 11,549
11/30/2000 $ 11,743 $ 11,676 $ 11,658
12/31/2000 $ 11,929 $ 11,846 $ 11,797
1/31/2001 $ 12,094 $ 12,017 $ 11,944
2/28/2001 $ 12,197 $ 12,111 $ 12,022
3/31/2001 $ 12,295 $ 12,221 $ 12,122
4/30/2001 $ 12,301 $ 12,229 $ 12,155
5/31/2001 $ 12,386 $ 12,301 $ 12,223
6/30/2001 $ 12,440 $ 12,346 $ 12,264
7/31/2001 $ 12,639 $ 12,544 $ 12,402
8/31/2001 $ 12,734 $ 12,636 $ 12,473
9/30/2001 $ 12,918 $ 12,862 $ 12,679
10/31/2001 $ 13,064 $ 13,013 $ 12,800
11/30/2001 $ 12,973 $ 12,935 $ 12,772
12/31/2001 $ 12,945 $ 12,908 $ 12,777
1/31/2002 $ 13,010 $ 12,946 $ 12,802
2/28/2002 $ 13,080 $ 13,026 $ 12,864
3/31/2002 $ 12,995 $ 12,896 $ 12,776
4/30/2002 $ 13,104 $ 13,074 $ 12,919
5/31/2002 $ 13,205 $ 13,174 $ 12,971
6/30/2002 $ 13,284 $ 13,289 $ 13,080
7/31/2002 $ 13,352 $ 13,459 $ 13,240
8/31/2002 $ 13,464 $ 13,573 $ 13,285
9/30/2002 $ 13,588 $ 13,746 $ 13,395
10/31/2002 $ 13,456 $ 13,744 $ 13,426
11/30/2002 $ 13,452 $ 13,720 $ 13,384
12/31/2002 $ 13,581 $ 13,930 $ 13,511
1/31/2003 $ 13,599 $ 13,937 $ 13,510
2/28/2003 $ 13,699 $ 14,059 $ 13,567
3/31/2003 $ 13,724 $ 14,087 $ 13,591
4/30/2003 $ 13,774 $ 14,151 $ 13,617
5/31/2003 $ 13,888 $ 14,302 $ 13,669
6/30/2003 $ 13,900 $ 14,321 $ 13,689
7/31/2003 $ 13,713 $ 14,136 $ 13,615
8/31/2003 $ 13,743 $ 14,144 $ 13,625
9/30/2003 $ 13,919 $ 14,369 $ 13,749
10/31/2003 $ 13,863 $ 14,282 $ 13,698
11/30/2003 $ 13,866 $ 14,280 $ 13,691
12/31/2003 $ 13,949 $ 14,389 $ 13,770
1/31/2004 $ 14,008 $ 14,442 $ 13,798
2/29/2004 $ 14,082 $ 14,546 $ 13,864
3/31/2004 $ 14,133 $ 14,627 $ 13,907
4/30/2004 $ 14,018 $ 14,399 $ 13,774
5/31/2004 $ 13,997 $ 14,362 $ 13,761
6/30/2004 $ 14,022 $ 14,378 $ 13,760
7/31/2004 $ 14,085 $ 14,461 $ 13,809
8/31/2004 $ 14,184 $ 14,623 $ 13,905
9/30/2004 $ 14,201 $ 14,623 $ 13,892
10/31/2004 $ 14,241 $ 14,690 $ 13,935
11/30/2004 $ 14,212 $ 14,589 $ 13,865
12/31/2004 $ 14,269 $ 14,646 $ 13,895
1/31/2005 $ 14,279 $ 14,641 $ 13,887
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond 2/2/98 1.36 1.93 5.58 5.22
Merrill Lynch 1-5 Year Government/Corporate
Bond Index 1.22 1.34 6.16 5.60
Merrill Lynch 1-3 Year Treasury Index 0.58 0.67 4.93 4.81
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR LIFE
CMG Short Term Bond 2/2/98 1.76 2.31 5.56 5.28
Merrill Lynch 1-5 Year Government/Corporate
Bond Index 1.85 1.77 6.12 5.68
Merrill Lynch 1-3 Year Treasury Index 0.98 0.91 4.93 4.87
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from February 2, 1998.
The Merrill Lynch 1-5 Year Government/Corporate Index is an unmanaged index that
includes all US government debt with at least $100 million face value
outstanding, and investment-grade rated corporate debt with at least $100
million face value outstanding, with a maturity between 1-5 years. The Merrill
Lynch 1-3 Year Treasury Index is an unmanaged index that measures the return of
Treasury notes and bonds with maturities of 1-3 years and a minimum amount
outstanding of $1 billion. Unlike the fund, indices are not investments, do not
incur fees or expenses and are not professionally managed. It is not possible to
invest directly in an index. Securities in the fund may not match those in an
index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
8
<Page>
UNDERSTANDING YOUR EXPENSES - CMG SHORT TERM BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,013.61 1,023.95 1.27 1.28 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
9
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
10
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
CMG Ultra Short Term Bond Fund returned 0.76% for the six-month period ended
January 31, 2005. The fund outperformed the return of the Citigroup One-Year
U.S. Treasury Bill Index, which was 0.49% for the period. The fund's performance
was lower than the Lipper Short Investment Grade Debt Funds Category average,
which was 0.94% for the period.(1) We believe our decision to emphasize
short-term corporate bonds, in particular floating-rate notes, helped the fund
perform better than its benchmark in an environment of sharply rising rates.
The past six months have been challenging for the bond markets. In the face of
continued economic growth, the Federal Reserve Board continued to raise
short-term interest rates, a course of action set into motion in June, 2004. By
year-end, the federal funds rate stood at 2.25% compared to a low of 1.0% in the
prior reporting period.(2) This activity had a negative impact on the fund's
fixed-income holdings because bond yields and prices move in opposite
directions.
During the period, we emphasized corporate securities, asset-backed securities
and mortgage-backed bonds due to their yield advantage over US Treasuries. Even
during a period of rising interest rates these sectors outperformed short-term
Treasuries and agencies.
By the end of the period, approximately 47% of the fund's portfolio was invested
in short-term corporate bonds. Asset-backed securities accounted for about 20%
and mortgage-backed securities were about 20% of the fund's portfolio.
Asset-backed bonds are secured by an issuing corporation's income-producing
assets, such as auto, credit card, real estate or equipment loans, while
mortgage-backed bonds are secured by a pool of mortgage loans. Both were buoyed
by recent economic growth and aided the fund's performance.
The fund was insulated to a degree from rising rates because we increased its
position in floating-rate notes, which represented almost half of its corporate
position at the end of the period. Floating-rate bonds are less affected by
changing interest rates because their yields typically adjust quarterly.
We are comfortable with the fund's current corporate holdings; however, it has
become more challenging to identify value in this sector as yields are only
fractionally higher than comparable Treasury yields. The asset-backed and
mortgage-backed sectors still appear to offer some value. However, their recent
outperformance makes these bonds less attractive.
Although floating-rate securities were positive performers during this reporting
period, we began reducing their weight in the fund toward the end of the period
as part of our strategy to shift the fund's emphasis to longer-maturity bonds
with fixed coupons. While it is impossible to predict the timing or extent of
future rate increases, we plan to pursue this strategy over the next six months
as we expect the federal funds rate to move toward a "neutral" range (generally
defined as between 3% and 4%). We also continue to keep a close eye on the
economy. Should weaker economic signals emerge, we are prepared to assume a more
defensive stance by reducing the portfolio's exposure to corporate securities.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund. Performance as of February 29, 2004 was closest
available date to the fund's inception.
(2) The federal funds rate was increased to 2.50% on February 2, 2005.
11
<Page>
The fund's top ten holdings (as a percentage of net assets) as of January 31,
2005 were (%):
<Table>
United States Treasury Notes, 2.500% 10/31/2006 3.0
Federal National Mortgage Association, 5.500% 02/15/2020 3.0
Federal National Mortgage Association, 6.000% 09/19/2019 3.0
Federal Home Loan Mortgage Corp., 5.000% 12/01/2019 2.9
Federal National Mortgage Association, 3.250% 06/28/2006 2.9
United States Treasury Notes, 1.630% 04/30/2005 2.5
Countrywide Home Loans, 4.250% 12/19/2007 2.3
SLM, 2.690% 09/15/2006 2.2
Hewlett Packard, 7.150% 06/15/2005 2.2
Household Financial, 7.650% 05/15/2007 2.2
</Table>
We appreciate your continued confidence in the CMG Ultra Short Term Bond Fund.
Guy C. Holbrook has managed the fund since its inception and has been with the
advisor or its predecessors or affiliate organizations since 1998.
/s/ Guy C. Holbrook
Investing in fixed-income securities may involves certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
12
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, MARCH 8, 2004 TO JANUARY 31, 2005
<Table>
<Caption>
CMG ULTRA SHORT CITIGROUP ONE-YEAR
TERM BOND FUND U.S. TREASURY BILL INDEX
3/8/2004 $ 10,000 $ 10,000
3/31/2004 $ 9,999 $ 10,006
4/30/2004 $ 9,977 $ 9,979
5/31/2004 $ 9,972 $ 9,977
6/30/2004 $ 9,972 $ 9,974
7/31/2004 $ 9,991 $ 9,996
8/31/2004 $ 10,015 $ 10,025
9/30/2004 $ 10,021 $ 10,022
10/31/2004 $ 10,046 $ 10,039
11/30/2004 $ 10,042 $ 10,022
12/31/2004 $ 10,079 $ 10,038
1/31/2005 $ 10,068 $ 10,044
</Table>
CUMULATIVE TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Ultra Short Term Bond Fund 3/8/04 0.76 0.68
Citigroup One-Year U.S. Treasury Bill Index 0.49 0.44
</Table>
CUMULATIVE TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
INCEPTION 6-MONTH LIFE
CMG Ultra Short Term Bond Fund 3/8/04 1.07 0.80
Citigroup One-Year U.S. Treasury Bill Index 0.64 0.37
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
Index performance is from March 8, 2004.
The Citigroup One-Year U.S. Treasury Bill Index consists of a single 1-year U.S.
Treasury Bill whose return is tracked until its maturity. Unlike the fund,
indices are not investments, do not incur fees or expenses and are not
professionally managed. It is not possible to invest directly in an index.
Securities in the fund may not match those in an index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
13
<Page>
UNDERSTANDING YOUR EXPENSES - CMG ULTRA SHORT TERM BOND FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,009.58 1,023.95 1.27 1.28 0.25
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.25%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
14
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
15
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the six-month period ended January 31, 2005, the CMG High Yield Fund
returned 5.60%. That was in line with the Merrill Lynch Intermediate BB Index,
which returned 5.65%. It was lower than the average return of the Lipper High
Current Yield Funds Category, which was 7.28% for the period.(1) We believe that
the fund underperformed relative to its peer group because it emphasized higher
quality credits at a time when investors favored lower quality segments of the
market. However, we will continue to emphasize quality because it is an
important part of our strategy to manage risk over the long term.
A strong economy enabled companies in the high-yield universe to improve their
cash flows and to reduce their debt. As a result, corporate balance sheets have
improved and default rates have continued to decline. The Moody's trailing
12-month issuer-based default rate--a widely monitored indicator of corporate
credit quality--is now just 2%, down from 5% at the beginning of 2004 and nearly
11% three years ago.
Although the Federal Reserve Board (the Fed) has pushed short-term rates higher,
long-term interest rates have actually declined. This favorable development
surprised many market observers, which helped explain the strength of the
high-yield rally in late 2004. The fund participated in this rally, but it did
not have much exposure to the lower quality credits that led the rally. The fund
holds very few securities with credit ratings as low as CCC. The CCC index was
up 11.85% for the period, far above the 5.65% gain posted by the higher-quality
intermediate BB index.
The energy and utility industries were strong performers during the period, and
the fund added to its holdings in both categories. We purchased bonds issued by
the Williams Companies (1.2% of net assets), a well known high-yield issuer.
Williams Companies is a natural gas and pipeline company that suffered a severe
setback beginning three years ago because of its involvement in the ill-fated
power trading business. We are optimistic that these bonds have the potential to
return to investment-grade quality. We also purchased AES (0.8% of net assets),
an independent power producer that has improved its financial position by
selling off non-performing assets.
Chemical companies rebounded with the economy in 2004, benefiting fund holdings
such as Ethyl and Equistar Chemical (0.5% and 0.6% of net assets, respectively).
The fund also owned holdings in several companies that agreed to be acquired
during the period. For example, Nextel Communications (1.9% of net assets)
agreed to be acquired by Sprint in December.
One specific disappointment during the period was Allied Waste (1.5% of net
assets), a non-hazardous solid waste management company. Allied had difficulty
controlling its expenses and produced several quarters of substandard earnings.
Its rating was downgraded to Caal by Moody's in late 2004. We sold a portion of
the holding, but the issue remains in the portfolio because we believe that the
company has the potential to generate the free cash flow necessary to reduce its
debt burden.
- ----------
(1) Lipper Inc., a widely respected data provider in the industry, calculates
an average total return for mutual funds with similar investment objectives
as those of the fund.
16
<Page>
Looking ahead, we believe that the fund is well-positioned with its emphasis on
higher quality high-yield bonds. With the current yield advantage of lower
quality bonds close to a historical low, investors no longer enjoy a significant
yield premium for delving into riskier areas of the market. As a result, we
continue to seek higher quality companies with improving business prospects. As
the yield spread between lower quality and higher quality bonds narrows, we
believe these types of companies have the potential to perform well for the
fund.
The fund's top ten issuers (as a percentage of net assets) as of January 31,
2005 were (%):
<Table>
Teekay Shipping 2.1
Peabody Energy 2.1
Cott Beverages 2.1
Chesapeake Energy 2.0
Royal Caribbean Cruises 2.0
Echostar DBS 2.0
DirecTV Holdings 1.9
Station Casinos 1.9
L-3 Communications 1.9
Nextel Communications 1.9
</Table>
We appreciate your continued confidence in the CMG High Yield Fund.
Jeffrey L. Rippey has managed or co-managed the CMG High Yield Fund since its
inception in 1994 and has been with the advisor or its predecessors or affiliate
organizations since 1981.
/s/ Jeffrey L. Rippey
Kurt M. Havnaer has co-managed the fund since February 2000. He has been with
the advisor or its predecessors or affiliate organizations since 1996.
/s/ Kurt M. Havnaer
Investing in fixed-income securities may involves certain risks, including the
credit quality of individual issuers, possible prepayments, market or economic
developments and yields and share price fluctuations due to changes in interest
rates. When interest rates go up, bond prices typically drop, and vice versa.
Investing in high yield securities (commonly known as "junk bonds") offers the
potential for high current income and attractive total return, but involves
certain risks. Changes in economic conditions or other circumstances may
adversely affect a junk bond issuer's ability to make principal and interest
payments. Rising interest rates tend to lower the value of all bonds.
Holdings are calculated as a percentage of net assets, and are subject to
change. Because the fund is actively managed, there is no guarantee the fund
will continue to maintain the holdings breakdown listed. The fund's holdings and
their weights within the portfolio may change as market conditions change.
17
<Page>
[CHART]
GROWTH OF A $10,000 INVESTMENT, FEBRUARY 1, 1995 TO JANUARY 31, 2005
<Table>
<Caption>
MERRILL LYNCH MERRILL LYNCH U.S. HIGH
CMG HIGH YIELD FUND INTERMEDIATE BB INDEX YIELD, CASH PAY INDEX
2/1/1995 $ 10,000 $ 10,000 $ 10,000
02/28/1995 $ 10,301 $ 10,273 $ 10,312
03/31/1995 $ 10,389 $ 10,394 $ 10,455
04/30/1995 $ 10,618 $ 10,589 $ 10,700
05/31/1995 $ 10,891 $ 10,926 $ 11,034
06/30/1995 $ 10,984 $ 11,024 $ 11,118
07/31/1995 $ 11,126 $ 11,075 $ 11,244
08/31/1995 $ 11,155 $ 11,161 $ 11,313
09/30/1995 $ 11,317 $ 11,283 $ 11,442
10/31/1995 $ 11,487 $ 11,392 $ 11,523
11/30/1995 $ 11,621 $ 11,547 $ 11,636
12/31/1995 $ 11,816 $ 11,713 $ 11,823
01/31/1996 $ 11,990 $ 11,877 $ 12,010
02/29/1996 $ 12,054 $ 11,840 $ 12,028
03/31/1996 $ 11,901 $ 11,763 $ 11,996
04/30/1996 $ 11,878 $ 11,710 $ 12,002
05/31/1996 $ 11,893 $ 11,742 $ 12,088
06/30/1996 $ 11,910 $ 11,853 $ 12,161
07/31/1996 $ 12,010 $ 11,919 $ 12,243
08/31/1996 $ 12,237 $ 12,015 $ 12,370
09/30/1996 $ 12,453 $ 12,219 $ 12,636
10/31/1996 $ 12,591 $ 12,411 $ 12,775
11/30/1996 $ 12,874 $ 12,653 $ 13,033
12/31/1996 $ 12,962 $ 12,675 $ 13,133
01/31/1997 $ 13,065 $ 12,779 $ 13,234
02/28/1997 $ 13,240 $ 12,914 $ 13,419
03/31/1997 $ 13,043 $ 12,793 $ 13,270
04/30/1997 $ 13,171 $ 12,931 $ 13,422
05/31/1997 $ 13,507 $ 13,138 $ 13,693
06/30/1997 $ 13,673 $ 13,322 $ 13,901
07/31/1997 $ 14,042 $ 13,642 $ 14,235
08/31/1997 $ 14,020 $ 13,599 $ 14,210
09/30/1997 $ 14,221 $ 13,794 $ 14,446
10/31/1997 $ 14,213 $ 13,879 $ 14,542
11/30/1997 $ 14,365 $ 13,969 $ 14,680
12/31/1997 $ 14,533 $ 14,098 $ 14,819
01/31/1998 $ 14,779 $ 14,270 $ 15,040
02/28/1998 $ 14,854 $ 14,301 $ 15,102
03/31/1998 $ 14,943 $ 14,380 $ 15,232
04/30/1998 $ 14,998 $ 14,471 $ 15,303
05/31/1998 $ 15,078 $ 14,585 $ 15,410
06/30/1998 $ 15,188 $ 14,683 $ 15,487
07/31/1998 $ 15,379 $ 14,778 $ 15,576
08/31/1998 $ 14,861 $ 14,468 $ 14,903
09/30/1998 $ 15,149 $ 14,735 $ 14,932
10/31/1998 $ 15,066 $ 14,570 $ 14,688
11/30/1998 $ 15,580 $ 14,885 $ 15,356
12/31/1998 $ 15,597 $ 14,989 $ 15,360
01/31/1999 $ 15,775 $ 15,087 $ 15,513
02/28/1999 $ 15,690 $ 15,017 $ 15,395
03/31/1999 $ 15,832 $ 15,175 $ 15,527
04/30/1999 $ 15,954 $ 15,339 $ 15,769
05/31/1999 $ 15,772 $ 15,184 $ 15,660
06/30/1999 $ 15,742 $ 15,175 $ 15,631
07/31/1999 $ 15,750 $ 15,208 $ 15,654
08/31/1999 $ 15,613 $ 15,144 $ 15,494
09/30/1999 $ 15,615 $ 15,205 $ 15,436
10/31/1999 $ 15,638 $ 15,135 $ 15,345
11/30/1999 $ 15,878 $ 15,279 $ 15,519
12/31/1999 $ 15,971 $ 15,363 $ 15,600
01/31/2000 $ 15,899 $ 15,289 $ 15,522
02/29/2000 $ 15,934 $ 15,266 $ 15,536
03/31/2000 $ 15,829 $ 15,164 $ 15,319
04/30/2000 $ 15,942 $ 15,144 $ 15,323
05/31/2000 $ 15,926 $ 15,031 $ 15,155
06/30/2000 $ 16,289 $ 15,361 $ 15,414
07/31/2000 $ 16,427 $ 15,547 $ 15,525
08/31/2000 $ 16,728 $ 15,769 $ 15,714
09/30/2000 $ 16,709 $ 15,679 $ 15,623
10/31/2000 $ 16,576 $ 15,357 $ 15,165
11/30/2000 $ 16,359 $ 15,335 $ 14,691
12/31/2000 $ 16,826 $ 15,629 $ 15,009
01/31/2001 $ 17,476 $ 16,245 $ 15,904
02/28/2001 $ 17,637 $ 16,491 $ 16,155
03/31/2001 $ 17,541 $ 16,627 $ 15,942
04/30/2001 $ 17,499 $ 16,739 $ 15,768
05/31/2001 $ 17,587 $ 17,013 $ 16,071
06/30/2001 $ 17,358 $ 16,889 $ 15,740
07/31/2001 $ 17,525 $ 17,180 $ 15,984
08/31/2001 $ 17,797 $ 17,375 $ 16,139
09/30/2001 $ 17,062 $ 16,508 $ 15,104
10/31/2001 $ 17,723 $ 16,911 $ 15,548
11/30/2001 $ 18,236 $ 17,346 $ 16,054
12/31/2001 $ 18,057 $ 17,191 $ 15,940
01/31/2002 $ 18,182 $ 17,185 $ 16,029
02/28/2002 $ 18,031 $ 17,071 $ 15,875
03/31/2002 $ 18,265 $ 17,430 $ 16,253
04/30/2002 $ 18,406 $ 17,757 $ 16,511
05/31/2002 $ 18,371 $ 17,775 $ 16,422
06/30/2002 $ 17,891 $ 16,435 $ 15,255
07/31/2002 $ 17,600 $ 15,768 $ 14,648
08/31/2002 $ 17,932 $ 16,066 $ 15,014
09/30/2002 $ 17,848 $ 16,001 $ 14,774
10/31/2002 $ 17,830 $ 15,968 $ 14,649
11/30/2002 $ 18,419 $ 16,551 $ 15,523
12/31/2002 $ 18,562 $ 16,781 $ 15,758
01/31/2003 $ 18,755 $ 17,086 $ 16,212
02/28/2003 $ 18,947 $ 17,231 $ 16,421
03/31/2003 $ 19,284 $ 17,441 $ 16,847
04/30/2003 $ 19,772 $ 18,043 $ 17,794
05/31/2003 $ 19,797 $ 18,197 $ 17,986
06/30/2003 $ 20,067 $ 18,548 $ 18,477
07/31/2003 $ 19,732 $ 18,236 $ 18,213
08/31/2003 $ 19,876 $ 18,371 $ 18,451
09/30/2003 $ 20,319 $ 18,854 $ 18,944
10/31/2003 $ 20,544 $ 19,128 $ 19,330
11/30/2003 $ 20,713 $ 19,342 $ 19,597
12/31/2003 $ 20,957 $ 19,634 $ 20,052
01/31/2004 $ 21,156 $ 19,850 $ 20,364
02/29/2004 $ 21,249 $ 19,987 $ 20,356
03/31/2004 $ 21,479 $ 20,229 $ 20,499
04/30/2004 $ 21,283 $ 19,921 $ 20,351
05/31/2004 $ 20,868 $ 19,640 $ 20,026
06/30/2004 $ 21,094 $ 19,854 $ 20,318
07/31/2004 $ 21,427 $ 20,146 $ 20,596
08/31/2004 $ 21,856 $ 20,513 $ 20,969
09/30/2004 $ 22,194 $ 20,759 $ 21,261
10/31/2004 $ 22,505 $ 21,035 $ 21,664
11/30/2004 $ 22,550 $ 21,067 $ 21,883
12/31/2004 $ 22,645 $ 21,271 $ 22,209
01/31/2005 $ 22,643 $ 21,295 $ 22,188
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF JANUARY 31, 2005 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG High Yield Fund 7/6/94 5.60 6.95 7.32 8.52
Merrill Lynch Intermediate BB Index 5.65 7.25 6.85 7.85
Merrill Lynch U.S. High Yield, Cash Pay Index 7.74 8.98 7.41 8.30
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 (%)
<Table>
<Caption>
6-MONTH
INCEPTION (CUMULATIVE) 1-YEAR 5-YEAR 10-YEAR
CMG High Yield Fund 7/6/94 7.36 8.05 7.24 8.68
Merrill Lynch Intermediate BB Index 7.14 8.33 6.73 8.02
Merrill Lynch U.S. High Yield, Cash Pay Index 9.31 10.76 7.32 8.46
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PLEASE VISIT
www.columbiamanagement.com FOR DAILY AND MOST RECENT MONTH-END PERFORMANCE
UPDATES.
The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting
of BB cash pay bonds, which are US dollar denominated bonds issued in the US
domestic market with maturities between 1 and 10 years. The Merrill Lynch U.S.
High Yield, Cash Pay Index is an unmanaged index that tracks the performance of
non-investment-grade corporate bonds. Unlike the fund, indices are not
investments, do not incur fees or expenses and are not professionally managed.
It is not possible to invest directly in an index. Securities in the fund may
not match those in an index.
Performance results reflect any voluntary waivers or reimbursement of fund
expenses by the advisor or its affiliates. Absent these waivers or reimbursement
arrangements, performance results would have been lower.
All results shown assume reinvestment of distributions. The graph and table do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
18
<Page>
UNDERSTANDING YOUR EXPENSES - CMG HIGH YIELD FUND
As a fund shareholder, you incur two types of costs. There are transaction
costs, which generally include sales charges on purchases and may include
redemption or exchange fees. There are also ongoing costs, which generally
include investment advisory fees and other fund expenses. The information on
this page is intended to help you understand your ongoing costs of investing in
the fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
ANALYZING YOUR FUND'S EXPENSES
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors during the reporting period. The information in
the following table is based on an initial investment of $1,000, which is
invested at the beginning of the reporting period and held for the entire
period. Expense information is calculated two ways and each method provides you
with different information. The amount listed in the "actual" column is
calculated using the fund's actual operating expenses and total return for the
period. The amount listed in the "hypothetical" column assumes that the return
each year is 5% before expenses and includes the fund's actual expense ratio.
You should not use the hypothetical account values and expenses to estimate
either your actual account balance at the end of the period or the expenses you
paid during this reporting period.
ESTIMATING YOUR ACTUAL EXPENSES
To estimate the expenses that you paid over the period, first you will need your
account balance at the end of the period:
1. Divide your ending account balance by $1,000. For example, if an account
balance was $8,600 at the end of the period, the result would be 8.6.
2. In the section of the table below titled "Expenses paid during the period,"
locate the amount under "actual." Multiply this number by the result from
step 1. Your answer is an estimate of the expenses you paid on your account
during the period.
AUGUST 1, 2004 - JANUARY 31, 2005
<Table>
<Caption>
ACCOUNT VALUE AT THE ACCOUNT VALUE AT THE EXPENSES PAID FUND'S ANNUALIZED
BEGINNING OF THE PERIOD ($) END OF THE PERIOD ($) DURING THE PERIOD ($) EXPENSE RATIO (%)
ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL ACTUAL HYPOTHETICAL
1,000.00 1,000.00 1,056.01 1,023.19 2.07 2.04 0.40
</Table>
Expenses paid during the period are equal to the fund's annualized expense ratio
of 0.40%, multiplied by the average account value over the period, then
multiplied by the number of days in the fund's most recent fiscal half-year and
divided by 365.
Had the Investment Advisor not reimbursed a portion of expenses, total return
would have been reduced.
It is important to note that the expense amounts shown in the table are meant to
highlight only ongoing costs of investing in the fund and do not reflect any
transactional costs, such as sales charges, redemption or exchange fees.
Therefore, the hypothetical examples provided may not help you determine the
relative total costs of owning shares of different funds. If these transactional
costs were included, your costs would have been higher.
19
<Page>
COMPARE WITH OTHER FUNDS
Since all mutual fund companies are required to include the same hypothetical
calculations about expenses in shareholder reports, you can use this information
to compare the ongoing cost of investing in the fund with other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical
examples of other funds, it is important to note that hypothetical examples are
meant to highlight the continuing costs of investing in a fund and do not
reflect any transactional costs, such as sales charges or redemption or exchange
fees.
20
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD PERIOD
ENDED ENDED ENDED YEAR ENDED OCTOBER 31, ENDED
JANUARY 31, JULY 31, JULY 31, ----------------------- OCTOBER 31,
2005 2004 2003 (a) 2002 2001 2000 (b)
----------- -------- -------- -------- -------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 10.38 $ 10.52 $ 10.83 $ 10.02 $ 10.00
----------- -------- -------- -------- -------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.20(c) 0.37(c) 0.31(c) 0.56(c)(d) 0.65 0.11
Net realized and unrealized gain (loss)
on investments and futures contracts 0.19 0.11 (0.12) (0.15)(d) 0.81 0.02
----------- -------- -------- -------- -------- -----------
Total from investment operations 0.39 0.48 0.19 0.41 1.46 0.13
----------- -------- -------- -------- -------- -----------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.22) (0.41) (0.33) (0.58) (0.65) (0.11)
From net realized gains - (0.09) - (0.14) -(e) -
----------- -------- -------- -------- -------- -----------
Total distributions (0.22) (0.50) (0.33) (0.72) (0.65) (0.11)
----------- -------- -------- -------- -------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 10.36 $ 10.38 $ 10.52 $ 10.83 $ 10.02
=========== ======== ======== ======== ======== ===========
TOTAL RETURN (f)(g) 3.81%(h) 4.67% 1.76%(h) 3.97% 15.01% 1.31%(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 77,813 $ 32,810 $ 30,512 $ 27,412 $ 28,774 $ 10,866
Ratio of net expenses to average
net assets (i) 0.25%(j) 0.35% 0.40%(j) 0.40% 0.40% 0.40%(j)
Ratio of investment income to average
net assets (i) 3.84%(j) 3.54% 3.95%(j) 5.34%(d) 6.14% 6.57%(j)
Waiver/reimbursement 0.10%(j) 0.25% 0.29%(j) 0.16% 0.25% 1.06%(j)
Portfolio turnover rate 35%(h) 231% 181%(h) 147% 140% 103%(h)
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) The Fund commenced investment operations on September 1, 2000. Per share
data, total return and portfolio turnover rate reflect activity from that
date.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.02, decrease net realized and unrealized loss per
share data by $0.02 and decrease the ratio of net investment income to
average net assets from 5.53% to 5.34%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
21
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED YEAR ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
----------- ---------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.95 $ 12.01 $ 12.15
----------- ---------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.19(b) 0.35(b) 0.34(b)
Net realized and unrealized gain (loss)
on investments (0.03) (0.03) (0.11)
----------- ---------- ---------
Total from investment operations 0.16 0.32 0.23
----------- ---------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.21) (0.38) (0.37)
From net realized gains - - -
----------- ---------- ---------
Total distributions (0.21) (0.38) (0.37)
----------- ---------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.90 $ 11.95 $ 12.01
=========== ========== =========
TOTAL RETURN (e)(f) 1.36%(g) 2.72% 1.91%(g)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 109,088 $ 119,125 $ 113,193
Ratio of net expenses to average net assets (h) 0.25%(i) 0.25% 0.25%(i)
Ratio of interest expense to average net assets - - -(i)(j)
Ratio of net investment income to average
net assets (h) 3.12%(i) 2.91% 3.79%(i)
Waiver/reimbursement 0.04%(i) 0.10% 0.08%(i)
Portfolio turnover rate 22%(g) 79% 93%(g)
<Caption>
YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2002 2001 2000 1999
--------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.41 $ 11.73 $ 11.72 $ 12.09
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.59(b)(c) 0.76 0.77 0.72
Net realized and unrealized gain (loss)
on investments (0.22)(c) 0.68 0.01 (0.37)
--------- --------- --------- ---------
Total from investment operations 0.37 1.44 0.78 0.35
--------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.63) (0.76) (0.77) (0.72)
From net realized gains - - - -(d)
--------- --------- --------- ---------
Total distributions (0.63) (0.76) (0.77) (0.72)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 12.15 $ 12.41 $ 11.73 $ 11.72
========= ========= ========= =========
TOTAL RETURN (e)(f) 3.12% 12.62% 6.92% 2.96%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 140,757 $ 89,791 $ 82,809 $ 144,821
Ratio of net expenses to average net assets (h) 0.25% 0.25% 0.25% 0.25%
Ratio of interest expense to average net assets - - - -
Ratio of net investment income to average
net assets (h) 4.73%(c) 6.27% 6.56% 6.22%
Waiver/reimbursement 0.05% 0.08% 0.08% 0.07%
Portfolio turnover rate 132% 82% 86% 128%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the period ended October 31, 2002, was to decrease net
investment income per share by $0.04, decrease net realized and unrealized
loss per share by $0.04 and decrease the ratio of net investment income to
average net assets from 5.08% to 4.73%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(d) Rounds to less than $0.01 per share.
(e) Total return at net asset value assuming all distributions reinvested.
(f) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(g) Not annualized.
(h) The benefits derived from custody credits and directed brokerage
agreements, if applicable, had an impact of less than 0.01%.
(i) Annualized.
(j) Rounds to less than 0.01%.
See Accompanying Notes to Financial Statements.
22
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS PERIOD
ENDED ENDED
JANUARY 31, JULY 31,
2005 2004 (a)
----------- --------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.88 $ 10.00
----------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.09 0.07
Net realized and unrealized loss on investments (0.02) (0.08)
----------- --------
Total from investment operations 0.07 (0.01)
----------- --------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.19) (0.11)
----------- --------
NET ASSET VALUE, END OF PERIOD $ 9.76 $ 9.88
=========== ========
TOTAL RETURN (c)(d)(e) 0.76% (0.08)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 68,783 $ 67,235
Ratio of net expenses to average net assets (f) 0.25% 0.25%
Ratio of net investment income to average net assets (f) 1.85% 1.69%
Waiver/reimbursement (f) 0.08% 0.22%
Portfolio turnover rate (e) 47% 12%
</Table>
(a) The Fund commenced investment operations on March 8, 2004. Per share data,
total return and portfolio turnover reflect activity from that date.
(b) Per share data was calculated using average shares outstanding during the
period.
(c) Total return at net asset value assuming all distributions reinvested.
(d) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(e) Not annualized.
(f) Annualized.
See Accompanying Notes to Financial Statements.
23
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS
(For a Fund Share Outstanding Throughout Each Period)
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JANUARY 31, JULY 31, JULY 31,
2005 2004 2003 (a)
----------- ---------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.00 $ 7.90 $ 7.55
----------- ---------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.26(c) 0.53(c) 0.43(c)
Net realized and unrealized
gain (loss) on investments 0.19 0.14 0.37
----------- ---------- ---------
Total from investment operations 0.45 0.67 0.80
----------- ---------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.28) (0.57) (0.45)
From net realized gains - - -
----------- ---------- ---------
Total distributions declared
to shareholders (0.28) (0.57) (0.45)
----------- ---------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.17 $ 8.00 $ 7.90
=========== ========== =========
TOTAL RETURN (f) 5.60%(g)(h) 8.60%(g) 10.67%(g)(h)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 352,203 $ 382,157 $ 429,042
Ratio of net expenses to average
net assets (i) 0.40%(j) 0.40% 0.42%(j)
Ratio of investment income
to average net assets (i) 6.25%(j) 6.64% 7.32%(j)
Waiver/reimbursement 0.02%(j) 0.02% 0.01%(j)
Portfolio turnover rate 21%(h) 47% 47%(h)
<Caption>
YEAR ENDED OCTOBER 31,
-----------------------------------------------------
2002 2001 2000 1999 (b)
--------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.14 $ 8.30 $ 8.54 $ 8.95
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.64(c)(d) 0.72 0.73 0.74
Net realized and unrealized
gain (loss) on investments (0.58)(d) (0.16) (0.24) (0.41)
--------- --------- --------- ---------
Total from investment operations 0.06 0.56 0.49 0.33
--------- --------- --------- ---------
LESS DISTRIBUTIONS DECLARED TO SHAREHOLDERS:
From net investment income (0.65) (0.72) (0.73) (0.74)
From net realized gains - - - -(e)
--------- --------- --------- ---------
Total distributions declared
to shareholders (0.65) (0.72) (0.73) (0.74)
--------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 7.55 $ 8.14 $ 8.30 $ 8.54
========= ========= ========= =========
TOTAL RETURN (f) 0.60% 6.92% 6.01% 3.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 286,228 $ 348,979 $ 319,985 $ 271,551
Ratio of net expenses to average
net assets (i) 0.42% 0.44% 0.43% 0.43%
Ratio of investment income
to average net assets (i) 7.98%(d) 8.63% 8.70% 8.39%
Waiver/reimbursement - - - -
Portfolio turnover rate 62% 59% 56% 62%
</Table>
(a) The Fund changed its fiscal year end from October 31 to July 31.
(b) Per share amounts have been adjusted to retroactively reflect a 4 for 1
share split effective September 1, 1999.
(c) Per share data was calculated using average shares outstanding during the
period.
(d) Effective November 1, 2001, the Fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and accreting discount on all debt securities. The effect of this
change for the year ended October 31, 2002, was to decrease net investment
income per share by $0.01, decrease net realized and unrealized loss per
share data by $0.01 and decrease the ratio of net investment income to
average net assets from 8.11% to 7.98%. Per share data and ratios for
periods prior to October 31, 2002 have not been restated to reflect this
change in presentation.
(e) Rounds to less than $0.01 per share.
(f) Total return at net asset value assuming all distributions reinvested.
(g) Had the Investment Advisor not reimbursed a portion of expenses, total
return would have been reduced.
(h) Not annualized.
(i) The benefits derived from custody credits and directed brokerage
arrangements, if applicable, had an impact of less than 0.01%.
(j) Annualized.
See Accompanying Notes to Financial Statements.
24
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (30.9%)
Basic Materials (0.9%)
Forest Products & Paper (0.5%)
International Paper Co.
4.250% 01/15/09 $ 350,000 $ 351,260
---------------
Metal & Mining (0.4%)
Alcan, Inc.
7.250% 03/15/31 275,000 342,532
---------------
693,792
---------------
Communications (3.8%)
Media (1.2%)
Cox Communications, Inc.
7.875% 08/15/09 125,000 141,035
Jones Intercable, Inc.
7.625% 04/15/08 375,000 412,466
Time Warner, Inc.
6.625% 05/15/29 375,000 412,305
---------------
965,806
---------------
Telecommunications (2.6%)
AT&T Wireless Services, Inc.
8.750% 03/01/31 275,000 377,655
Deutsche Telekom International Finance BV
8.500% 06/15/10 325,000 385,811
Sprint Capital Corp.
6.875% 11/15/28 200,000 223,590
Verizon Global Funding Corp.
7.250% 12/01/10 500,000 569,995
Vodafone Group PLC
7.750% 02/15/10 375,000 433,331
---------------
1,990,382
---------------
2,956,188
---------------
Consumer Cyclical (2.8%)
Auto Manufacturers (1.7%)
DaimlerChrysler N.A. Holdings Corp.
8.500% 01/18/31 215,000 275,342
Ford Motor Credit Co.
7.375% 10/28/09 550,000 587,202
General Motors Acceptance Corp.
7.750% 01/19/10 450,000 473,292
---------------
1,335,836
---------------
Housewares (0.5%)
Newell Rubbermaid, Inc.
4.000% 05/01/10 385,000 376,052
---------------
Retail (0.6%)
Lowe's Companies, Inc.
6.500% 03/15/29 175,000 203,611
</Table>
See Accompanying Notes to Financial Statements.
25
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Retail (continued)
Wal-Mart Stores, Inc.
4.000% 01/15/10 $ 300,000 $ 298,914
---------------
502,525
---------------
2,214,413
---------------
Consumer Non-Cyclical (3.7%)
Beverages (1.0%)
Anheuser-Busch Companies, Inc.
5.750% 04/01/10 50,000 53,704
Diageo Capital PLC
3.375% 03/20/08 250,000 246,362
Pepsi Americas, Inc.
3.875% 09/12/07 475,000 475,252
---------------
775,318
---------------
Commercial Services (0.1%)
Deluxe Corp.
3.500% 10/01/07 125,000 122,917
---------------
Food (1.2%)
General Mills, Inc.
2.625% 10/24/06 400,000 392,980
Kroger Co.
6.200% 06/15/12 335,000 366,011
Safeway, Inc.
4.950% 08/16/10 170,000 172,295
---------------
931,286
---------------
Healthcare Services (1.1%)
Anthem, Inc.
6.800% 08/01/12 100,000 113,557
UnitedHealth Group, Inc.
3.375% 08/15/07 400,000 395,432
WellPoint Health Network
6.375% 01/15/12 300,000 331,968
---------------
840,957
---------------
Household Products/Wares (0.3%)
Fortune Brands, Inc.
2.875% 12/01/06 225,000 222,163
---------------
2,892,641
---------------
Energy (1.9%)
Oil & Gas (1.4%)
ChevronTexaco Capital Co.
3.500% 09/17/07 200,000 199,488
Devon Energy Corp.
7.950% 04/15/32 175,000 229,624
Marathon Oil Corp.
6.800% 03/15/32 350,000 403,253
Occidental Petroleum Corp.
4.250% 03/15/10 225,000 224,773
---------------
1,057,138
---------------
</Table>
See Accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Pipelines (0.5%)
Kinder Morgan Energy Partners
7.300% 08/15/33 $ 350,000 $ 417,700
---------------
1,474,838
---------------
Financials (12.4%)
Banks (2.9%)
Marshall & Ilsley Corp.
4.375% 08/01/09 400,000 402,684
U.S. Bank N.A. Minnesota
6.375% 08/01/11 375,000 417,836
Wachovia Corp.
4.875% 02/15/14 700,000 704,424
Wells Fargo Financial, Inc.
5.900% 05/21/06 700,000 721,644
---------------
2,246,588
---------------
Diversified Financial Services (6.9%)
American Express Credit Corp.
3.000% 05/16/08 700,000 683,130
American General Finance Corp.
5.375% 09/01/09 50,000 52,313
Bear Stearns Co., Inc.
6.500% 05/01/06 200,000 207,298
Capital One Bank
4.875% 05/15/08 200,000 204,954
CIT Group, Inc.
4.125% 02/21/06 150,000 151,091
Citigroup, Inc.
5.000% 09/15/14 430,000 434,635
Countrywide Home Loans
2.875% 02/15/07 425,000 417,112
Goldman Sachs Group, Inc.
6.345% 02/15/34 325,000 347,737
HSBC Finance Corp.
6.400% 06/17/08 455,000 488,629
JPMorgan Chase & Co.
5.750% 01/02/13 600,000 639,666
Lehman Brothers Holdings, Inc.
4.000% 01/22/08 225,000 225,866
Merrill Lynch & Co., Inc.
4.125% 01/15/09 400,000 398,460
Morgan Stanley & Co.
4.750% 04/01/14 400,000 393,340
Pitney Bowes Credit Corp.
5.750% 08/15/08 225,000 238,754
SLM Corp.
5.125% 08/27/12 425,000 439,722
---------------
5,322,707
---------------
</Table>
See Accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Insurance (1.2%)
Allstate Financial Global Funding II
2.625% 10/22/06 (a) $ 150,000 $ 147,621
American International Group, Inc.
2.875% 05/15/08 625,000 605,013
Genworth Financial, Inc.
4.750% 06/15/09 200,000 204,648
---------------
957,282
---------------
Investment Companies (0.5%)
Credit Suisse First Boston USA, Inc.
4.625% 01/15/08 400,000 407,756
---------------
Real Estate Investment Trusts (0.4%)
Health Care Property Investors, Inc.
6.875% 06/08/05 125,000 126,585
6.450% 06/25/12 175,000 192,355
---------------
318,940
---------------
Savings & Loans (0.5%)
Washington Mutual, Inc.
4.200% 01/15/10 400,000 397,860
---------------
9,651,133
---------------
Industrials (3.9%)
Aerospace & Defense (0.7%)
Boeing Co.
6.125% 02/15/33 175,000 194,807
Lockheed Martin Corp.
8.500% 12/01/29 160,000 223,963
United Technologies Corp.
7.125% 11/15/10 100,000 114,375
---------------
533,145
---------------
Environmental Control (0.5%)
Waste Management, Inc.
7.375% 08/01/10 325,000 371,056
---------------
Machinery (0.7%)
Caterpillar Financial Services Corp.
3.625% 11/15/07 350,000 348,278
John Deere Capital
3.900% 01/15/08 225,000 225,171
---------------
573,449
---------------
Miscellaneous Manufacturing (1.0%)
General Electric Co.
5.000% 02/01/13 750,000 772,522
---------------
Transportation (1.0%)
Canadian National Railway Co.
7.195% 01/02/16 74,295 88,464
</Table>
See Accompanying Notes to Financial Statements.
28
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Transportation (continued)
CSX Corp.
4.875% 11/01/09 $ 300,000 $ 306,543
Union Pacific Corp.
3.875% 02/15/09 385,000 380,799
---------------
775,806
---------------
3,025,978
---------------
Technology (0.4%)
Computers (0.4%)
International Business Machines Corp.
5.875% 11/29/32 250,000 271,483
---------------
Utilities (1.1%)
Electric (1.0%)
CenterPoint Energy Houston Electric LLC
5.750% 01/15/14 350,000 372,964
Exelon Generation Co. LLC
6.950% 06/15/11 325,000 366,951
---------------
739,915
---------------
Gas (0.1%)
Sempra Energy
4.750% 05/15/09 100,000 101,342
---------------
841,257
---------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $23,739,765) 24,021,723
---------------
U.S. Government Agencies & Obligations (42.9%)
Mortgage-Backed Securities (33.4%)
Federal Home Loan Mortgage Corp.
3.500% 10/01/18 334,744 317,598
4.000% 06/01/19 298,629 292,525
4.500% 02/01/19 - 07/01/19 4,546,221 4,545,819
5.000% 01/01/19 - 05/01/34 3,915,202 3,963,460
5.500% 11/01/17 - 09/01/34 610,349 625,736
6.000% 05/01/17 207,623 217,079
To Be Announced,
4.500% 02/15/20 (b) 2,300,000 2,295,688
Federal Home Loan Mortgage Corp., Discount Note 02/09/05 1,500,000 1,499,207
Federal National Mortgage Association
5.000% 10/01/34 680,000 678,813
5.500% 12/01/33 1,416,236 1,443,937
Federal National Mortgage Association
To Be Announced,
5.000% 12/01/35 (b) 7,000,000 6,982,500
5.500% 12/01/35 (b) 3,000,000 3,054,375
Government National Mortgage Association
7.000% 01/15/32 - 03/15/32 77,044 81,799
---------------
25,998,536
---------------
</Table>
See Accompanying Notes to Financial Statements.
29
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
U.S. Government Agencies & Obligations (continued)
U.S. Agency Bonds (0.6%)
Federal Home Loan Bank
3.000% 05/15/06 (c) $ 100,000 $ 99,634
2.250% 09/13/05 375,000 373,439
---------------
473,073
---------------
U.S. Treasury Notes & Bonds (8.9%)
U.S. Treasury Bond
6.250% 08/15/23 2,250,000 2,698,506
7.250% 05/15/16 1,025,000 1,294,903
U.S. Treasury Inflation Index Notes
3.625% 01/15/08 2,210,789 2,382,297
U.S. Treasury Notes
3.500% 11/15/06 540,000 542,532
---------------
6,918,238
---------------
Total U.S. Government Agencies & Obligations
(Cost of $33,154,946) 33,389,847
---------------
Collateralized Mortgage Obligations (15.8%)
Commercial Mortgaged Backed Securities (0.1%)
NationsLink Funding Corp.
6.888% 11/10/30 90,000 96,177
---------------
Collateralized Mortgage Obligations (4.0%)
Asset Securitization Corp.
7.400% 10/13/26 546,479 574,683
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34 461,423 462,733
Countrywide Alternative Loan Trust
2.930% 03/25/34 (d) 245,893 245,386
Countrywide Home Loans, Inc.
4.613% 12/19/33 (d) 296,847 291,613
IMPAC Secured Assets Corp.
6.360% 08/25/32 40,055 40,059
Residential Funding Mortgage Securities I, Inc.
2.930% 07/25/18 (d) 435,784 434,363
Structured Asset Securities Corp.
5.500% 07/25/33 1,059,314 1,059,369
---------------
3,108,206
---------------
Mortgage-Backed Securities (11.7%)
Agency Collateralized Mortgage Obligations (11.7%)
Federal Home Loan Mortgage Corp.
6.500% 10/15/23 100,000 107,127
4.500% 10/15/18 - 08/15/28 2,150,000 2,149,598
4.000% 09/15/15 - 10/15/26 2,935,000 2,860,441
Federal National Mortgage Association
5.000% 01/25/31 2,000,000 2,010,295
6.500% 07/25/30 58,325 58,807
4.500% 11/25/14 900,000 907,688
</Table>
See Accompanying Notes to Financial Statements.
30
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Collateralized Mortgage Obligations (continued)
Agency Collateralized Mortgage Obligations (continued)
Government National Mortgage Association
4.500% 04/16/28 $ 1,000,000 $ 1,006,775
---------------
9,100,731
---------------
Total Collateralized Mortgage Obligations
(Cost of $12,304,860) 12,305,114
---------------
Asset-Backed Securities (4.3%)
ABFS Mortgage Loan Trust
4.428% 12/15/33 500,002 479,507
AmeriCredit Automobile Receivables Trust
3.220% 07/06/08 1,575,000 1,568,243
Honda Auto Receivables Owner Trust
3.000% 05/18/06 72,253 72,304
IMC Home Equity Loan Trust
7.310% 11/20/28 67,553 67,645
7.520% 08/20/28 34,617 34,636
New Century Home Equity Loan Trust
2.940% 11/25/33 1,020,000 1,014,268
7.320% 07/25/29 9,603 9,910
Wilshire Mortgage Loan Trust
7.255% 05/25/28 76,831 76,768
---------------
Total Asset-Backed Securities
(Cost of $3,370,211) 3,323,281
---------------
Foreign Government Obligations (1.5%)
Ontario Province
3.500% 09/17/07 350,000 348,670
Quebec Province
6.500% 01/17/06 275,000 283,376
Republic of Italy
2.500% 03/31/06 300,000 297,624
United Mexican States
7.500% 04/08/33 230,000 257,370
---------------
Total Foreign Government Obligations
(Cost of $1,169,254) 1,187,040
---------------
Short-Term Obligations (22.6%)
Repurchase Agreement (19.5%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Note maturing 02/15/12,
market value of $15,460,200 (repurchase proceeds $15,155,989)
(Cost of $15,155,000) 15,155,000 15,155,000
---------------
</Table>
See Accompanying Notes to Financial Statements.
31
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Short-Term Obligations (continued)
U.S. Government Agencies (3.1%)
United States Treasury Bill
1.910% 02/10/05 (e) $ 1,810,000 $ 1,809,146
1.940% 02/10/05 (e) 590,000 589,712
---------------
2,398,858
---------------
Total Short-Term Obligations
(Cost of $17,553,858) 17,553,858
---------------
Total Investments (118.0%)
(Cost of $91,292,894) (f) 91,780,863
Other Assets & Liabilities, Net (-18.0%) (13,967,963)
---------------
Net Assets (100.0%) $ 77,812,900
===============
</Table>
Notes to Investment Portfolio:
(a) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. This security may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
January 31, 2005, the value of this security represents 0.2% of net
assets.
(b) Security purchased on a delayed delivery basis.
(c) Security pledged as collateral for open futures contracts.
(d) Variable rate security. The interest rate shown reflects the rate as of
January 31, 2005.
(e) The rate shown represents the annualized yield at the date of purchase.
(f) Cost for federal income tax purposes is $91,395,224.
At January 31, 2005, the Fund held the following open short futures contracts:
<Table>
<Caption>
NUMBER OF AGGREGATE FACE EXPIRATION UNREALIZED
TYPE CONTRACTS VALUE VALUE DATE APPRECIATION
- --------------------------------------------------------------------------------------------
2-Year
U.S. Treasury Note 16 $ 3,345,000 $ 3,352,000 Mar-2005 $ 7,000
</Table>
See Accompanying Notes to Financial Statements.
32
<Page>
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTORS (UNAUDITED) NET ASSETS
------------------- ----------
Mortgage-Backed Securities 45.1%
Financials 12.4
U.S. Treasury Notes & Bonds 8.9
Asset-Backed Securities 4.3
Collateralized Mortgage Obligations 4.1
Industrials 3.9
Communications 3.8
Consumer Non-Cyclical 3.7
Consumer Cyclical 2.8
Energy 1.9
Foreign Government Bonds 1.5
Utilities 1.1
Basic Materials 0.9
U.S. Agency Bonds 0.6
Technology 0.4
Short-Term Obligations 22.6
Other Assets & Liabilities, Net (18.0)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
33
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (35.7%)
Basic Materials (0.5%)
Forest Products & Paper (0.5%)
International Paper Co.
4.250% 01/15/09 $ 550,000 $ 551,980
---------------
Communications (3.9%)
Media (1.3%)
AOL Time Warner, Inc.
6.125% 04/15/06 565,000 581,922
Cox Communications, Inc.
7.875% 08/15/09 (a) 300,000 338,484
Jones Intercable, Inc.
7.625% 04/15/08 500,000 549,955
---------------
1,470,361
---------------
Telecommunications (2.6%)
AT&T Wireless Services, Inc.
7.500% 05/01/07 550,000 593,439
Deutsche Telekom International Finance BV
8.500% 06/15/10 350,000 415,488
Sprint Capital Corp.
6.375% 05/01/09 345,000 371,765
Verizon Global Funding Corp.
7.600% 03/15/07 825,000 886,702
Vodafone Group PLC
7.750% 02/15/10 475,000 548,886
---------------
2,816,280
---------------
4,286,641
---------------
Consumer Cyclical (3.3%)
Auto Manufacturers (1.8%)
DaimlerChrysler N.A. Holding Corp.
4.750% 01/15/08 300,000 304,761
Ford Motor Credit Co.
7.375% 10/28/09 1,050,000 1,121,022
General Motors Acceptance Corp.
7.750% 01/19/10 500,000 525,880
---------------
1,951,663
---------------
Housewares (0.5%)
Newell Rubbermaid, Inc.
2.000% 05/01/05 600,000 598,464
---------------
Retail (1.0%)
Costco Wholesale Corp.
5.500% 03/15/07 575,000 596,787
Wal-Mart Stores, Inc.
4.000% 01/15/10 500,000 498,190
---------------
1,094,977
---------------
3,645,104
---------------
</Table>
See Accompanying Notes to Financial Statements.
34
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Consumer Non-Cyclical (4.4%)
Beverages (0.7%)
Coca-Cola Enterprises, Inc.
5.750% 11/01/08 $ 750,000 $ 797,595
---------------
Commercial Services (0.3%)
Deluxe Corp.
3.500% 10/01/07 (a) 300,000 295,035
---------------
Cosmetics/Personal Care (0.6%)
Procter & Gamble Co.
4.750% 06/15/07 675,000 692,435
---------------
Food (1.2%)
General Mills, Inc.
2.625% 10/24/06 625,000 614,031
Kroger Co.
7.650% 04/15/07 275,000 296,505
Safeway, Inc.
4.950% 08/16/10 430,000 435,805
---------------
1,346,341
---------------
Healthcare Services (0.9%)
Anthem, Inc.
4.875% 08/01/05 475,000 479,047
UnitedHealth Group, Inc.
3.375% 08/15/07 500,000 494,290
---------------
973,337
---------------
Household Products/Wares (0.7%)
Fortune Brands, Inc.
2.875% 12/01/06 725,000 715,858
---------------
4,820,601
---------------
Energy (1.8%)
Oil & Gas (1.8%)
ChevronTexaco Capital Co.
3.500% 09/17/07 500,000 498,720
Devon Energy Corp.
2.750% 08/01/06 550,000 543,554
Marathon Oil Corp.
5.375% 06/01/07 500,000 518,040
Occidental Petroleum Corp.
4.250% 03/15/10 425,000 424,571
---------------
1,984,885
---------------
Financials (15.8%)
Banks (3.3%)
Marshall & Ilsley Corp.
4.375% 08/01/09 600,000 604,026
</Table>
See Accompanying Notes to Financial Statements.
35
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Banks (continued)
US Bancorp
3.125% 03/15/08 $ 1,000,000 $ 980,250
Wachovia Corp.
3.500% 08/15/08 850,000 839,987
Wells Fargo Financial, Inc.
5.900% 05/21/06 1,100,000 1,134,012
---------------
3,558,275
---------------
Diversified Financial Services (9.5%)
American Express Credit Corp.
3.000% 05/16/08 1,000,000 975,900
American General Finance Corp.
3.000% 11/15/06 250,000 247,072
Bear Stearns Co., Inc.
6.500% 05/01/06 600,000 621,894
Capital One Bank
4.875% 05/15/08 350,000 358,669
CIT Group, Inc.
4.125% 02/21/06 350,000 352,544
Citigroup, Inc.
6.750% 12/01/05 950,000 977,636
Countrywide Home Loans
2.875% 02/15/07 500,000 490,720
General Electric Capital Corp.
4.250% 01/15/08 1,450,000 1,467,139
Goldman Sachs Group, Inc.
4.125% 01/15/08 325,000 327,899
HSBC Finance Corp.
6.400% 06/17/08 475,000 510,107
JPMorgan Chase & Co.
3.800% 10/02/09 1,000,000 982,360
Lehman Brothers Holdings, Inc.
4.000% 01/22/08 550,000 552,117
Merrill Lynch & Co., Inc.
2.470% 03/10/06 700,000 692,832
Morgan Stanley
6.100% 04/15/06 650,000 670,716
Pitney Bowes Credit Corp.
5.750% 08/15/08 350,000 371,396
USA Education
5.625% 04/10/07 800,000 829,656
---------------
10,428,657
---------------
Insurance (1.6%)
Allstate Financial Global Funding II
2.625% 10/22/06 (a) 600,000 590,484
American International Group, Inc.
2.875% 05/15/08 650,000 629,213
Genworth Financial, Inc.
4.750% 06/15/09 500,000 511,620
---------------
1,731,317
---------------
</Table>
See Accompanying Notes to Financial Statements.
36
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Investment Companies (0.3%)
Credit Suisse First Boston USA, Inc.
4.625% 01/15/08 $ 350,000 $ 356,786
---------------
Real Estate Investment Trusts (0.5%)
Health Care Property Investors, Inc.
6.875% 06/08/05 500,000 506,340
---------------
Savings & Loans (0.6%)
Washington Mutual, Inc.
4.200% 01/15/10 650,000 646,523
---------------
17,227,898
---------------
Industrials (4.2%)
Aerospace & Defense (1.2%)
Boeing Co.
8.100% 11/15/06 525,000 564,543
United Technologies Corp.
4.875% 11/01/06 700,000 715,183
---------------
1,279,726
---------------
Environmental Control (0.5%)
Waste Management, Inc.
7.125% 10/01/07 525,000 568,307
---------------
Machinery (1.1%)
Caterpillar Financial Services Corp.
3.625% 11/15/07 600,000 597,048
John Deere Capital
3.900% 01/15/08 600,000 600,456
---------------
1,197,504
---------------
Transportation (1.4%)
Canadian National Railway Co.
6.450% 07/15/06 (b) 600,000 623,544
CSX Corp.
6.460% 06/22/05 525,000 531,836
Union Pacific Corp.
3.875% 02/15/09 325,000 321,454
---------------
1,476,834
---------------
4,522,371
---------------
Technology (0.5%)
Computers (0.5%)
International Business Machines Corp.
4.250% 09/15/09 580,000 587,754
---------------
</Table>
See Accompanying Notes to Financial Statements.
37
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Note (coninued)
Utilities (1.3%)
Electric (0.5%)
Exelon Generation Co. LLC
6.950% 06/15/11 $ 475,000 $ 536,313
---------------
Gas (0.8%)
Kinder Morgan Energy Partners LP
8.000% 03/15/05 585,000 588,481
Sempra Energy
4.750% 05/15/09 250,000 253,355
---------------
841,836
---------------
1,378,149
---------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $38,878,637) 39,005,383
---------------
Asset-Backed Securities (17.0%)
AmeriCredit Automobile Receivables Trust
2.970% 03/06/07 543,137 542,213
Ameriquest Mortgage Securities, Inc.
2.880% 05/25/33 (b) 793,659 794,135
CIT Equipment Collateral Trust
2.200% 03/20/08 150,000 147,974
Cityscape Home Equity Loan Trust
7.410% 05/25/28 124,216 124,260
7.650% 09/25/25 580,360 579,334
7.890% 07/25/18 257,993 257,961
7.940% 10/25/18 122,214 122,216
ContiMortgage Home Loan Equity Trust
7.580% 08/15/28 567,616 578,736
IMC Home Equity Loan Trust
7.500% 04/25/26 778,615 799,849
7.520% 08/20/28 82,549 82,595
KeyCorp Student Loan Trust
3.246% 01/27/23 (a)(b) 1,129,782 1,137,961
3.010% 10/25/25 (b) 2,600,000 2,620,072
3.016% 08/27/25 (b) 1,030,818 1,036,664
New Century Home Equity Loan Trust
2.900% 01/25/34 (b) 1,461,504 1,467,014
SLM Student Loan Trust
2.810% 04/25/17 (b) 2,210,450 2,215,423
2.966% 01/25/10 (b) 1,122,690 1,125,088
3.296% 07/25/11 (b) 1,400,000 1,400,602
3.416% 01/25/13 (b) 3,140,000 3,176,167
UCFC Home Equity Loan
6.315% 04/15/30 296,692 304,563
---------------
Total Asset-Backed Securities
(Cost of $18,449,906) 18,512,827
---------------
</Table>
See Accompanying Notes to Financial Statements.
38
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Collateralized Mortgage Obligations (24.7%)
Commercial Mortgage Backed Securities (1.0%)
NationsLink Funding Corp.
6.888% 11/10/30 $ 500,000 $ 534,315
Nomura Asset Securities Corp.
7.120% 04/13/39 530,000 549,663
---------------
1,083,978
---------------
Collateralized Mortgage Obligations (17.6%)
Bear Stearns Adjustable Rate Mortgage Trust
3.515% 06/25/34 (b) 1,000,000 1,024,970
Bear Stearns Alternatives A Trust
2.880% 09/25/34 (b) 1,040,455 1,040,384
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34 1,155,148 1,158,428
Countrywide Alternative Loan Trust
2.930% 03/25/34 (b) 1,373,610 1,370,779
Countrywide Home Loans
2.930% 08/25/18 (b) 2,396,196 2,383,328
3.030% 03/25/34 (b) 1,615,169 1,617,059
First Horizon Mortgage Pass-Through Trust
2.980% 06/25/18 1,157,138 1,161,997
3.030% 03/25/18 1,360,565 1,367,572
IMPAC CMB Trust
2.910% 12/25/33 660,750 662,766
IMPAC Secured Assets Corp.
6.360% 08/25/32 (b) 91,554 91,562
Ocwen Residential MBS Corp.
7.000% 10/25/40 (a) 188,340 190,244
PNC Mortgage Securities Corp.
0.000% 04/28/27 (a)(b) 15,587 14,107
Residential Asset Credit Loans, Inc.
2.930% 06/25/34 (b) 1,079,614 1,079,614
Residential Asset Securitization Trust
2.980% 02/25/34 (b) 2,053,954 2,053,728
5.500% 07/25/33 917,330 917,165
SACO I, Inc.
7.000% 08/25/36 377,815 383,482
Structured Asset Securities Corporation
5.750% 04/25/33 1,234,065 1,237,071
Washington Mutual Mortgage Securities Corp.
3.030% 03/25/18 06/25/18 (b) 1,450,713 1,458,426
---------------
19,212,682
---------------
Agency Collateralized Mortgage Obligations (6.1%)
Federal Home Loan Mortgage Corp.
3.000% 06/15/09 2,875,289 2,869,734
4.000% 09/15/15 - 10/15/26 2,970,000 2,964,020
6.500% 11/15/30 305,248 311,809
Federal National Mortgage Association
3.080% 09/25/18 518,453 518,684
---------------
6,664,247
---------------
Total Collateralized Mortgage Obligations
(Cost of $26,939,440) 26,960,907
---------------
</Table>
See Accompanying Notes to Financial Statements.
39
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
U.S. Governement Agencies & Obligations (13.4%)
Mortgage-Backed Securities (7.2%)
Federal Home Loan Bank
2.250% 09/13/05 $ 1,150,000 $ 1,145,214
4.500% 11/01/19 988,636 987,896
Federal Home Loan Mortgage Corp.
4.000% 05/01/11 1,908,155 1,897,279
4.500% 11/01/07 869,035 873,502
Federal National Mortgage Association
4.500% 01/01/20 990,000 989,258
5.500% 12/01/17 - 11/01/18 1,339,198 1,381,877
6.000% 03/01/09 - 05/01/09 538,655 548,046
---------------
7,823,072
---------------
U.S. Agency Bonds (1.2%)
A.I.D. Morocco
2.906% 05/01/23 (b) 370,000 366,300
Small Business Administration
2.875% 10/25/21 - 06/25/22 (b) 582,629 582,990
3.000% 07/25/21 - 11/25/21 (b) 114,884 114,525
3.375% 01/25/17 (b) 276,519 277,109
---------------
1,340,924
---------------
U.S. Treasury Notes & Bonds (5.0%)
U.S. Treasury Inflation Index Bond
3.625% 01/15/08 3,038,357 3,274,067
U.S. Treasury Note
3.500% 11/15/06 2,150,000 2,160,079
---------------
5,434,146
---------------
Total U.S. Government Agencies & Obligations
(Cost of $14,687,262) 14,598,142
---------------
Foreign Government Obligations (2.4%)
Mexico Government International Bond
4.625% 10/08/08 780,000 787,800
Province of Ontario
6.000% 02/21/06 350,000 360,013
Quebec Province
6.500% 01/17/06 600,000 618,276
7.000% 01/30/07 85,000 90,498
Republic of Italy
2.500% 03/31/06 750,000 744,060
---------------
2,600,647
---------------
Total Foreign Government Obligations
(Cost of $2,601,198) 2,600,647
---------------
</Table>
See Accompanying Notes to Financial Statements.
40
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Short-Term Obligations (8.4%)
Repurchase Agreements (5.8%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Bond maturing 02/15/12,
market value of $6,463,800 (repurchase proceeds $6,334,413) $ 6,334,000 $ 6,334,000
---------------
U.S. Treasury Bill (2.6%)
1.980% 02/10/2005 (c) 2,850,000 2,848,613
---------------
Total Short-Term Obligation
(Cost of $9,182,613) 9,182,613
---------------
Total Investments (101.6%)
(Cost of $110,739,056) (d) 110,860,519
Other Assets & Liabilities, Net (-1.6)% (1,772,996)
---------------
Net Assets (100.0%) $ 109,087,523
===============
</Table>
Notes to Investment Portfolio:
(a) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
January 31, 2005, these securities amounted to $2,566,315, which
represents 2.4% of net assets.
(b) Variable rate security. The interest rate shown reflects the rate as of
January 31, 2005.
(c) The rate shown represents the annualized yield at the date of purchase.
(d) Cost for federal income tax purposes is $111,316,796.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTORS (UNAUDITED) NET ASSETS
------------------- ----------
Corporate Fixed-Income Bonds & Notes 35.7%
U.S. Government Agencies & Obligations 13.4
Asset-Backed Securities 17.0
Collateralized Mortgage Obligations 24.7
Foreign Government Obligations 2.4
Short-Term Obligations 8.4
Other Assets & Liabilities, Net (1.6)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
41
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENT
January 31, 2005 (Unaudited)
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (46.6%)
Communications (3.0%)
Media (0.4%)
Time Warner, Inc.
5.625% 05/01/05 $ 275,000 $ 276,724
---------------
Telecommunications (2.6%)
France Telecom SA
7.950% 03/01/06 400,000 417,944
Sprint Capital Corp.
7.900% 03/15/05 300,000 301,797
Verizon Global Funding Corp.
6.750% 12/01/05 536,000 551,201
Vodafone Group PLC
7.625% 02/15/05 500,000 500,780
---------------
1,771,722
---------------
2,048,446
---------------
Consumer Cyclical (3.6%)
Auto Manufacturers (0.9%)
DaimlerChrysler North America Holding
2.960% 05/24/06 (a) 600,000 602,952
---------------
Retail (2.7%)
Lowe's Companies, Inc.
7.500% 12/15/05 400,000 413,640
Target Corp.
5.950% 05/15/06 885,000 912,736
7.500% 02/15/05 560,000 560,896
---------------
1,887,272
---------------
2,490,224
---------------
Consumer Non-Cyclical (3.5%)
Beverages (0.7%)
Coca-Cola Co.
4.000% 06/01/05 500,000 501,770
---------------
Commercial Services (0.4%)
Waste Management, Inc.
7.000% 05/15/05 245,000 247,418
---------------
Food (0.7%)
Nabisco, Inc.
6.375% 02/01/05 500,000 500,000
---------------
</Table>
See Accompanying Notes to Financial Statements.
42
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Consumer Non-Cyclical (continued)
Pharmaceuticals (1.4%)
Abbott Laboratories
6.800% 05/15/05 $ 430,000 $ 434,821
Eli Lilly & Co.
2.410% 08/24/07 (a) 500,000 500,005
---------------
934,826
---------------
Tobacco (0.3%)
Altria Group, Inc.
6.375% 02/01/06 200,000 204,424
---------------
2,388,438
---------------
Energy (1.7%)
Oil & Gas (0.9%)
Ocean Energy, Inc.
7.625% 07/01/05 150,000 152,724
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% 09/15/09 (b) 503,800 491,895
---------------
644,619
---------------
Pipelines (0.8%)
Duke Energy Field Services LLC
7.500% 08/16/05 300,000 306,111
Kinder Morgan, Inc.
6.650% 03/01/05 250,000 250,683
---------------
556,794
---------------
1,201,413
---------------
Financials (28.5%)
Banks (2.2%)
Bank of Scotland
3.500% 11/30/07 (b) 1,000,000 991,400
Bank One Corp.
2.581% 02/27/06 (a) 545,000 545,104
---------------
1,536,504
---------------
Diversified Financial Services (23.6%)
Caterpillar Financial Services Corp.
2.470% 09/08/06 (a) 1,000,000 1,000,340
CIT Group, Inc.
6.625% 06/15/05 448,000 453,945
Countrywide Home Loans, Inc.
4.250% 12/19/07 1,580,000 1,590,491
Ford Motor Credit Co.
4.950% 01/15/08 350,000 347,414
6.875% 02/01/06 150,000 153,939
General Electric Capital Corp.
2.446% 05/12/06 (a) 1,000,000 1,001,740
5.350% 03/30/06 500,000 511,355
Goldman Sachs Group, Inc.
2.870% 10/27/06 (a) 1,500,000 1,502,130
</Table>
See Accompanying Notes to Financial Statements.
43
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
Household Financial Corp.
7.650% 05/15/07 $ 1,400,000 $ 1,515,038
International Lease Finance Corp.
5.120% 06/01/05 400,000 402,820
John Deere Capital Corp.
2.639% 05/20/05 (a) 250,000 250,135
2.850% 07/11/05 (a) 800,000 800,272
4.125% 07/15/05 360,000 361,771
JPMorgan & Co., Inc.
6.250% 12/15/05 500,000 510,990
MBNA America Bank NA
7.750% 09/15/05 280,000 287,305
Merrill Lynch & Co.
2.688% 06/06/06 (a) 700,000 700,168
2.739% 05/22/06 (a) 800,000 804,971
Morgan Stanley
2.510% 11/24/06 (a) 1,500,000 1,501,785
National Rural Utilities
2.610% 02/07/05 (a) 690,000 689,959
6.650% 10/01/05 325,000 332,283
SLM Corp.
2.690% 09/15/06 (a) 1,510,000 1,510,649
---------------
16,229,500
---------------
Insurance (2.7%)
Allstate Corp.
7.875% 05/01/05 500,000 506,005
Genworth Financial, Inc.
2.640% 06/15/07 (a) 1,100,000 1,100,935
Prudential Financial, Inc.
4.104% 11/15/06 225,000 226,577
---------------
1,833,517
---------------
19,599,521
---------------
Industrials (3.0%)
Aerospace & Defense (0.1%)
Raytheon Co.
6.500% 07/15/05 67,000 67,969
---------------
Electrical Components & Equipment (2.2%)
Emerson Electric Co.
6.300% 11/01/05 1,470,000 1,503,751
---------------
Transportation (0.7%)
CSX Corp.
2.480% 08/03/06 (a) 500,000 500,000
---------------
2,071,720
---------------
Technology (2.2%)
Computers (2.2%)
Hewlett-Packard Co.
7.150% 06/15/05 1,500,000 1,522,860
---------------
</Table>
See Accompanying Notes to Financial Statements.
44
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Utilities (1.1%)
Electric (1.1%)
Wisconsin Electric Power Co.
3.500% 12/01/07 $ 750,000 $ 743,550
---------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $32,158,936) 32,066,172
---------------
U.S. Government Agencies & Obligations (27.3%)
Mortgage-Backed Securities (19.7%)
FHLMC Collateral (2.9%)
Federal Home Loan Mortgage Corp.
5.000% 12/01/19 1,992,693 2,025,409
---------------
FNMA Collateral (6.7%)
Federal National Mortgage Association
6.000% 09/01/19 1,953,031 2,045,024
6.500% 07/01/34 466,525 488,871
To Be Announced,
5.500% 02/15/20 (c) 2,000,000 2,062,500
---------------
4,596,395
---------------
Sovereign (10.1%)
Federal Home Loan Bank
1.625% 04/15/05 1,000,000 997,879
2.500% 11/15/05 - 03/13/06 1,500,000 1,489,748
Federal Home Loan Mortgage Corp.
2.750% 10/15/06 1,500,000 1,484,211
2.810% 02/02/06 1,000,000 996,071
Federal National Mortgage Association
3.250% 06/28/06 2,000,000 1,995,410
---------------
6,963,319
---------------
13,585,123
---------------
U.S. Treasury Notes (7.6%)
U.S. Treasury Notes
1.500% 07/31/05 1,400,000 1,391,578
1.625% 04/30/05 1,750,000 1,746,171
2.500% 10/31/06 2,100,000 2,074,571
---------------
5,212,320
---------------
Total U.S. Government Agencies & Obligations
(Cost of $18,873,635) 18,797,443
---------------
</Table>
See Accompanying Notes to Financial Statements.
45
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Asset-Backed Securities (20.1%)
Agency Collatateral Planned Amortization Class
Collateralized Mortgage Obligation (3.1%)
Federal Home Loan Mortgage Corp.
4.000% 05/15/14 $ 100,000 $ 99,709
4.250% 03/15/17 1,050,000 1,055,784
Federal National Mortgage Association
5.000% 01/25/23 985,793 1,000,544
---------------
2,156,037
---------------
Automobile Asset-Backed Securities (7.0%)
AmeriCredit Automobile Receivables Trust
3.930% 10/06/11 500,000 500,847
DaimlerChrysler Auto Trust
3.090% 01/08/08 300,000 300,423
Franklin Auto Trust
3.130% 11/15/11 500,000 493,085
Harley-Davidson Motorcycle Trust
2.630% 11/15/10 275,000 271,125
Nissan Auto Lease Trust
2.570% 06/15/09 750,000 744,966
Onyx Acceptance Grantor Trust
2.400% 12/15/07 285,000 283,566
3.090% 09/15/08 500,000 497,015
Triad Auto Receivables Owner Trust
1.400% 09/12/07 180,751 179,871
UPFC Auto Receivables Trust
1.939% 09/15/05 268,523 268,374
USAA Auto Owner Trust
2.930% 07/16/07 300,000 298,755
Volkswagen Auto Loan Enhanced Trust
2.270% 10/22/07 203,000 200,700
WFS Financial Owner Trust
1.760% 01/21/08 250,568 249,052
2.850% 09/22/08 500,000 496,480
---------------
4,784,259
---------------
Commercial Mortgage-Backed Securities (0.2%)
Credit-Based Asset Servicing & Securities
2.700% 05/25/35 (a) 108,820 108,843
---------------
Credit Card Asset-Backed Securities (3.3%)
Citibank Credit Card Issuance Trust
2.700% 01/15/08 310,000 308,304
MBNA Credit Card Master Note Trust
5.750% 10/15/08 439,000 452,043
Providian Gateway Master Trust
3.350% 09/15/11 (b) 1,500,000 1,481,790
---------------
2,242,137
---------------
Home Equity Asset-Backed Securities (5.1%)
Ameriquest Mortgage Securities, Inc.
5.000% 06/25/06, I.O. (d) 10,050,000 445,416
Long Beach Mortgage Loan Trust
4.500% 12/25/06, I.O. (d) 6,015,017 307,428
</Table>
See Accompanying Notes to Financial Statements.
46
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Asset-Backed Securities (continued)
Home Equity Asset-Backed Securities (continued)
Residential Asset Mortgage Products, Inc.
2.710% 04/25/24 (a) $ 641,193 $ 641,334
2.920% 07/25/22 239,256 238,552
3.420% 10/25/27 1,237,000 1,224,444
3.810% 01/25/26 700,000 693,791
---------------
3,550,965
---------------
Student Loan Asset-Backed Securities (1.4%)
Education Loans, Inc.
2.500% 12/01/36 (a) 950,000 950,000
---------------
Total Asset-Backed Securities
(Cost of $13,891,676) 13,792,241
---------------
Municipal Bonds (6.1%)
Variable Rate Demand Notes (e) (6.1%)
CA El Dorado District
2.950% 03/01/34 500,000 499,890
FL Educational Loan Marketing Corp.
2.520% 12/01/36 500,000 500,000
IL Midwestern University Foundation Education Loan Revenue
2.500% 10/01/37 1,000,000 1,000,000
MO Higher Education Loan Authority
2.430% 02/15/25 500,000 500,000
NY State Urban Development Corp. Revenue
3.580% 12/15/07 800,000 795,360
OH Knowledge Works Foundation Student Loan Revenue
2.440% 11/01/35 400,000 400,000
OK State Student Loan Authority
2.399% 06/01/30 500,000 500,000
---------------
4,195,250
---------------
Total Municipal Bonds
(Cost of $4,200,000) 4,195,250
---------------
Short-Term Obligation (3.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.360%,
collateralized by a U.S. Treasury Note
maturing 05/31/06, market value of $2,201,713
(repurchase proceeds $2,158,141) 2,158,000 2,158,000
---------------
Total Short-Term Obligation
(Cost of $2,158,000) 2,158,000
---------------
Total Investments (103.2%)
(Cost of $71,282,247) (f) 71,009,106
Other Assets & Liabilities, Net (-3.2%) (2,226,217)
---------------
Net Assets (100.0%) $ 68,782,889
===============
</Table>
See Accompanying Notes to Financial Statements.
47
<Page>
Notes to Investment Portfolio:
(a) Variable rate security. The interest rate shown reflects the rate as of
January 31, 2005.
(b) Security exempt from registration pursuant to Rule 144A under the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
January 31, 2005, these securities amounted to $2,965,085, which
represents 4.3% of net assets.
(c) Security purchased on a delayed delivery basis.
(d) Interest only security.
(e) Variable rate demand note. This security is payable upon demand and is
secured by letters of credit or other credit support aggrements from
banks. The interest rate changes periodically and the interest rate
shown reflects the rate as of January 31, 2005.
(f) Cost for federal income tax purposes is $71,660,408.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Financials:
Diversified Financial Services 23.6%
Insurance 2.7
Banks 2.2
Asset-Backed Securities 20.1
Mortgage-Backed Securities 19.7
U.S. Treasury Notes 7.6
Variable Rate Demand Notes 6.1
Consumer Cyclical 3.6
Consumer Non-Cyclical 3.5
Industrials 3.0
Communications 3.0
Technology 2.2
Energy 1.7
Utilities 1.1
Short-Term Obligation 3.1
Other Assets & Liabilities, Net (3.2)
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
48
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS
January 31, 2005 (Unaudited)
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (93.4%)
Basic Materials (5.3%)
Chemicals (3.7%)
Chemicals-Diversified (0.6%)
Equistar Chemical LP
10.125% 09/01/08 $ 1,100,000 $ 1,254,000
10.625% 05/01/11 675,000 776,250
---------------
2,030,250
---------------
Chemicals-Specialty (1.9%)
Ethyl Corp.
8.875% 05/01/10 1,625,000 1,787,500
MacDermid, Inc.
9.125% 07/15/11 2,510,000 2,786,100
Nalco Co.
7.750% 11/15/11 1,890,000 2,031,750
---------------
6,605,350
---------------
Industrial Gases (1.2%)
Airgas, Inc.
9.125% 10/01/11 3,970,000 4,411,663
---------------
13,047,263
---------------
Forest Products & Paper (1.0%)
Paper & Related Products (1.0%)
Boise Cascade LLC
7.125% 10/15/14 (a) 3,565,000 3,725,425
---------------
Iron/Steel (0.6%)
Steel-Producers (0.6%)
Russel Metals, Inc.
6.375% 03/01/14 2,035,000 2,045,175
---------------
18,817,863
---------------
Communications (14.3%)
Advertising (1.9%)
Advertising Sales (1.9%)
Lamar Media Corp.
7.250% 01/01/13 6,085,000 6,541,375
---------------
Media (9.6%)
Cable TV (5.4%)
DirecTV Holdings LLC
8.375% 03/15/13 6,065,000 6,823,125
EchoStar DBS Corp.
5.750% 10/01/08 4,435,000 4,468,263
6.625% 10/01/14 (a) 2,395,000 2,415,956
Rogers Cable, Inc.
6.250% 06/15/13 2,950,000 2,950,000
7.875% 05/01/12 2,170,000 2,365,300
---------------
19,022,644
---------------
</Table>
See Accompanying Notes to Financial Statements.
49
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Multimedia (0.2%)
Emmis Operating Co.
6.875% 05/15/12 $ 780,000 $ 797,550
---------------
Publishing Periodicals (2.8%)
Dex Media West LLC
5.875% 11/15/11 (a) 4,705,000 4,610,900
R.H. Donnelley Finance Corp.
8.875% 12/15/10 (a) 45,000 49,837
10.875% 12/15/12 (a) 4,360,000 5,101,200
---------------
9,761,937
---------------
Television (1.2%)
LIN Television Corp.
6.500% 05/15/13 3,525,000 3,542,625
Sinclair Broadcast Group, Inc.
8.750% 12/15/11 660,000 704,550
---------------
4,247,175
---------------
33,829,306
---------------
Telecommunications (2.8%)
Cellular Telecom (2.8%)
Nextel Communications, Inc.
5.950% 03/15/14 600,000 622,500
6.875% 10/31/13 700,000 761,250
7.375% 08/01/15 4,750,000 5,236,875
Rogers Wireless, Inc.
7.500% 03/15/15 (a) 980,000 1,047,375
8.000% 12/15/12 (a) 2,210,000 2,359,175
---------------
10,027,175
---------------
50,397,856
---------------
Consumer Cyclical (20.8%)
Auto Parts & Equipment (0.3%)
Auto/Truck Parts & Equipment (0.3%)
Accuride Corp.
8.500% 02/01/15 (a) 1,125,000 1,150,312
---------------
Entertainment (2.9%)
Music (0.8%)
Warner Music Group
7.375% 04/15/14 (a) 2,640,000 2,758,800
---------------
Racetracks (1.0%)
Speedway Motorsports, Inc.
6.750% 06/01/13 3,455,000 3,593,200
---------------
</Table>
See Accompanying Notes to Financial Statements.
50
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Entertainment (continued)
Theaters (1.1%)
Cinemark USA, Inc.
9.000% 02/01/13 $ 3,300,000 $ 3,696,000
---------------
10,048,000
---------------
Home Builders (3.5%)
Building Residential/Commercial (3.5%)
KB Home
7.750% 02/01/10 260,000 282,100
8.625% 12/15/08 5,175,000 5,847,750
Toll Corp.
8.250% 02/01/11 150,000 161,437
8.250% 12/01/11 5,485,000 6,026,644
---------------
12,317,931
---------------
Leisure Time (2.5%)
Cruise Lines (2.0%)
Royal Caribbean Cruises Ltd.
6.750% 03/15/08 1,185,000 1,262,025
6.875% 12/01/13 1,500,000 1,627,500
8.750% 02/02/11 3,460,000 4,056,850
---------------
6,946,375
---------------
Leisure & Recreational Products (0.5%)
K2, Inc.
7.375% 07/01/14 1,735,000 1,865,125
---------------
8,811,500
---------------
Lodging (7.8%)
Casino Hotels (7.2%)
Caesars Entertainment, Inc.
9.375% 02/15/07 2,505,000 2,742,975
Kerzner International
8.875% 08/15/11 2,260,000 2,469,050
MGM Mirage, Inc.
6.000% 10/01/09 5,500,000 5,623,750
9.750% 06/01/07 800,000 890,000
Park Place Entertainment Corp.
7.875% 03/15/10 2,700,000 3,030,750
8.875% 09/15/08 925,000 1,045,250
Station Casinos, Inc.
6.500% 02/01/14 3,745,000 3,847,988
6.875% 03/01/16 2,850,000 2,971,125
Wynn Las Vegas LLC
6.625% 12/01/14 (a) 2,720,000 2,679,200
---------------
25,300,088
---------------
Hotels & Motels (0.6%)
Starwood Hotels & Resorts Worldwide, Inc.
7.375% 05/01/07 375,000 400,312
7.875% 05/01/12 1,650,000 1,881,000
---------------
2,281,312
---------------
27,581,400
---------------
</Table>
See Accompanying Notes to Financial Statements.
51
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Retail (3.8%)
Convenience Stores (1.1%)
Couche-Tard US
7.500% 12/15/13 $ 3,590,000 $ 3,787,450
---------------
Retail-Automobile (1.5%)
AutoNation, Inc.
9.000% 08/01/08 3,175,000 3,579,813
Group 1 Automotive, Inc.
8.250% 08/15/13 1,605,000 1,677,225
---------------
5,257,038
---------------
Retail-Jewelry (0.4%)
Finlay Fine Jewelry Corp.
8.375% 06/01/12 1,250,000 1,265,625
---------------
Retail-Propane Distribution (0.5%)
Suburban Propane Partners
6.875% 12/15/13 1,690,000 1,715,350
---------------
Retail-Restaurants (0.2%)
Domino's, Inc.
8.250% 07/01/11 875,000 936,250
---------------
12,961,713
---------------
Toys/Games/Hobbies (0.1%)
Toys (0.1%)
Hasbro, Inc.
6.150% 07/15/08 450,000 478,148
---------------
73,349,004
---------------
Consumer Non-Cyclical (18.7%)
Beverages (3.9%)
Beverages-Non-Alcoholic (2.1%)
Cott Beverages, Inc.
8.000% 12/15/11 6,800,000 7,301,500
---------------
Beverages-Wine/Spirits (1.8%)
Constellation Brands, Inc.
8.000% 02/15/08 1,698,000 1,850,820
8.125% 01/15/12 3,995,000 4,334,575
---------------
6,185,395
---------------
13,486,895
---------------
Commercial Services (4.1%)
Commercial Services (1.5%)
Iron Mountain, Inc.
7.750% 01/15/15 2,140,000 2,174,775
8.625% 04/01/13 3,090,000 3,263,812
---------------
5,438,587
---------------
</Table>
See Accompanying Notes to Financial Statements.
52
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Commercial Services (continued)
Private Corrections (1.6%)
Corrections Corp. of America
7.500% 05/01/11 $ 5,375,000 $ 5,697,500
---------------
Rental Auto/Equipment (1.0%)
United Rentals, Inc.
7.000% 02/15/14 1,200,000 1,122,000
7.750% 11/15/13 2,290,000 2,238,475
---------------
3,360,475
---------------
14,496,562
---------------
Healthcare Services (6.7%)
Medical-HMO (0.5%)
Coventry Health Care, Inc.
5.875% 01/15/12 (a) 1,640,000 1,660,615
---------------
Medical-Hospitals (3.8%)
HCA, Inc.
6.950% 05/01/12 4,245,000 4,474,103
Province Healthcare Co.
7.500% 06/01/13 3,400,000 3,791,000
Triad Hospitals, Inc.
7.000% 05/15/12 5,000,000 5,212,500
---------------
13,477,603
---------------
Medical-Nursing Homes (0.3%)
Extendicare Health Services, Inc.
6.875% 05/01/14 660,000 664,950
9.500% 07/01/10 295,000 327,450
---------------
992,400
---------------
Medical-Outpatient/Home Medicine (1.7%)
Select Medical Corp.
7.500% 08/01/13 1,775,000 2,014,625
9.500% 06/15/09 3,625,000 3,869,687
---------------
5,884,312
---------------
Medical Products (0.4%)
Fisher Scientific International, Inc.
6.750% 08/15/14 (a) 1,480,000 1,565,100
---------------
23,580,030
---------------
Household Products/Wares (1.0%)
Consumer Products-Miscellaneous (1.0%)
Scotts Co.
6.625% 11/15/13 3,385,000 3,562,713
---------------
Pharmaceuticals (3.0%)
Medical-Wholesale Drug District (1.3%)
AmerisourceBergen Corp.
8.125% 09/01/08 4,025,000 4,447,625
---------------
</Table>
See Accompanying Notes to Financial Statements.
53
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Pharmaceuticals (continued)
Pharmacy Service (1.7%)
Omnicare, Inc.
8.125% 03/15/11 $ 5,750,000 $ 6,123,750
---------------
10,571,375
---------------
65,697,575
---------------
Energy (14.2%)
Coal (3.4%)
Coal (3.4%)
Arch Western Finance LLC
6.750% 07/01/13 4,480,000 4,547,200
Peabody Energy Corp.
6.875% 03/15/13 6,860,000 7,357,350
---------------
11,904,550
---------------
Oil & Gas (5.9%)
Oil Comp-Explore & Production (4.9%)
Chesapeake Energy Corp.
6.375% 06/15/15 (a) 4,000,000 4,090,000
7.500% 09/15/13 2,675,000 2,902,375
Newfield Exploration Co.
6.625% 09/01/14 (a) 3,100,000 3,270,500
Plains Exploration & Production Co.
7.125% 06/15/14 2,930,000 3,215,675
Vintage Petroleum, Inc.
7.875% 05/15/11 3,525,000 3,762,937
---------------
17,241,487
---------------
Oil & Gas Drilling (1.0%)
Pride International, Inc.
7.375% 07/15/14 3,180,000 3,486,075
---------------
20,727,562
---------------
Oil & Gas Services (3.2%)
Oil Field Machine & Equipment (1.9%)
Grant Prideco, Inc.
9.000% 12/15/09 3,730,000 4,130,975
9.625% 12/01/07 2,220,000 2,464,200
---------------
6,595,175
---------------
Oil-Field Services (1.3%)
Hornbeck Offshore Services, Inc.
6.125% 12/01/14 (a) 1,250,000 1,250,000
Universal Compression, Inc.
7.250% 05/15/10 3,290,000 3,470,950
---------------
4,720,950
---------------
11,316,125
---------------
</Table>
See Accompanying Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Pipelines (1.7%)
Pipelines (1.7%)
Markwest Energy Partners
6.875% 11/01/14 (a) $ 1,805,000 $ 1,814,025
Williams Companies, Inc.
7.125% 09/01/11 430,000 466,550
8.125% 03/15/12 3,165,000 3,623,925
---------------
5,904,500
---------------
49,852,737
---------------
Industrial (16.6%)
Aerospace & Defense (2.9%)
Aerospace & Defense-Equipment (1.0%)
TransDigm, Inc.
8.375% 07/15/11 3,325,000 3,524,500
---------------
Electronics-Military (1.9%)
L-3 Communications Corp.
7.625% 06/15/12 6,125,000 6,676,250
---------------
10,200,750
---------------
Environmental Control (2.1%)
Alternative Waste Technology (0.6%)
Synagro Technologies, Inc.
9.500% 04/01/09 1,760,000 1,949,200
---------------
NonHazardous Waste Disposal (1.5%)
Allied Waste North America, Inc.
6.375% 04/15/11 1,900,000 1,790,750
6.500% 11/15/10 325,000 309,562
7.375% 04/15/14 3,625,000 3,335,000
---------------
5,435,312
---------------
7,384,512
---------------
Hand/Machine Tools (0.9%)
Machine Tools & Related Products (0.9%)
Kennametal, Inc.
7.200% 06/15/12 2,960,000 3,282,374
---------------
Machinery Diversified (1.2%)
Machinery-General Industrial (1.2%)
Manitowoc Co., Inc.
7.125% 11/01/13 200,000 214,500
Westinghouse Air Brake Technologies Corp.
6.875% 07/31/13 3,860,000 4,038,525
---------------
4,253,025
---------------
</Table>
See Accompanying Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Packaging & Containers (6.4%)
Containers & Metal/Glass (6.4%)
Ball Corp.
6.875% 12/15/12 $ 6,060,000 $ 6,453,900
Owens-Brockway Glass Container
6.750% 12/01/14 (a) 850,000 858,500
8.875% 02/15/09 1,290,000 1,396,425
Owens-Illinois, Inc.
7.500% 05/15/10 2,175,000 2,316,375
Silgan Holdings, Inc.
6.750% 11/15/13 5,550,000 5,744,250
Smurfit-Stone Container Corp.
7.375% 07/15/14 1,590,000 1,641,675
8.375% 07/01/12 2,665,000 2,831,562
9.750% 02/01/11 1,135,000 1,234,313
---------------
22,477,000
---------------
Transportation (3.1%)
Transport-Marine (2.1%)
Teekay Shipping Corp.
8.875% 07/15/11 6,390,000 7,412,400
---------------
Transport-Services (1.0%)
Offshore Logistics, Inc.
6.125% 06/15/13 3,605,000 3,605,000
---------------
11,017,400
---------------
58,615,061
---------------
Technology (1.2%)
Semiconductors (1.2%)
Electronic Components-Semiconductor (1.2%)
Freescale Semiconductor, Inc.
6.875% 07/15/11 4,080,000 4,335,000
---------------
Utilities (2.3%)
Electric (2.3%)
Electric-Generation (1.7%)
AES Corp.
7.750% 03/01/14 2,760,000 2,925,600
Texas Genco LLC
6.875% 12/15/14 (a) 3,060,000 3,167,100
---------------
6,092,700
---------------
Electric-Integrated (0.6%)
Nevada Power Co.
5.875% 01/15/15 (a) 815,000 819,075
6.500% 04/15/12 850,000 892,500
</Table>
See Accompanying Notes to Financial Statements.
56
<Page>
<Table>
<Caption>
PAR VALUE
--------------- ---------------
Corporate Fixed-Income Bonds & Notes (continued)
Electric (continued)
Northwestern Corp.
5.875% 11/01/14 (a) $ 200,000 $ 205,000
---------------
1,916,575
---------------
8,009,275
---------------
Total Corporate Fixed-Income Bonds & Notes
(Cost of $318,795,049) 329,074,371
---------------
Short-Term Obligation (5.1%)
Repurchase agreement with State Street Bank &
Trust Co., dated 01/31/05, due 02/01/05 at 2.350%,
collateralized by a U.S. Treasury Bond
maturing 01/31/07, market value of $18,393,900
(repurchase proceeds $18,031,177) 18,030,000 18,030,000
---------------
Total Short-Term Obligation
(Cost of $18,030,000) 18,030,000
---------------
Total Investments (98.5%)
(Cost of $336,825,049) (b) 347,104,371
Other Assets & Liabilities, Net (1.5%) 5,098,871
---------------
Net Assets (100.0%) $ 352,203,242
===============
</Table>
Notes to Investment Portfolio:
(a) Security exempt from registration pursuant to rule 144A of the
Securities Act of 1933. These Securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
January 31, 2005, these securities amounted to $44,598,095, which
represents approximately 12.7% of net assets.
(b) Cost for federal income tax purposes is $338,221,269.
At January 31, 2005, the Fund held investments in the following sectors:
<Table>
<Caption>
% OF
SECTOR (UNAUDITED) NET ASSETS
------------------ ----------
Consumer Cyclical 20.8%
Consumer Non-Cyclical 18.7
Industrial 16.6
Communications 14.3
Energy 14.2
Basic Materials 5.3
Utilities 2.3
Technology 1.2
Short-Term Obligation 5.1
Other Assets & Liabilities, Net 1.5
----------
100.0%
==========
</Table>
See Accompanying Notes to Financial Statements.
57
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
January 31, 2005 (Unaudited)
<Table>
<Caption>
CMG CMG CMG CMG
CORE BOND SHORT TERM ULTRA SHORT TERM HIGH YIELD
FUND BOND FUND BOND FUND FUND
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at identified cost
(including repurchase agreements) $ 91,292,894 $ 110,739,056 $ 71,282,247 $ 336,825,049
---------------- ---------------- ---------------- ----------------
Investments, at value $ 76,625,863 $ 104,526,519 $ 68,851,106 $ 329,074,371
Repurchase agreement 15,155,000 6,334,000 2,158,000 18,030,000
Cash 293,754 491 6,002 945
Receivable for:
Investments sold 126,402 856,640 - -
Capital stock sold - - 419,500 219,365
Interest 552,328 669,599 539,701 5,560,409
Futures variation margin 2,250 - - -
Expense reimbursement due from
Investment Advisor 3,466 3,811 4,196 5,418
Deferred Trustees' compensation plan 1,134 1,894 292 2,541
Other assets 881 1,319 10,495 -
---------------- ---------------- ---------------- ----------------
Total Assets 92,761,078 112,394,273 71,989,292 352,893,049
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payable for:
Investments purchased 419,532 3,102,352 918,595 -
Investments purchased on a delayed
delivery basis 14,340,902 - 2,068,965 -
Fund shares repurchased - 50,000 50,000 146,000
Distributions 154,365 107,216 127,593 404,154
Investment advisory fee 13,290 26,084 13,649 118,879
Trustees' fees 121 1,034 1,852 -
Audit fee 18,834 18,170 25,457 17,777
Deferred Trustees' fees 1,134 1,894 292 2,541
Other liabilities - - - 456
---------------- ---------------- ---------------- ----------------
Total liabilities 14,948,178 3,306,750 3,206,403 689,807
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 77,812,900 $ 109,087,523 $ 68,782,889 $ 352,203,242
================ ================ ================ ================
NET ASSETS consist of:
Paid-in capital $ 77,402,417 $ 112,456,445 $ 69,968,536 $ 390,095,073
Overdistributed net investment income (140,286) (647,957) (888,175) (2,174,200)
Accumulated net realized gain (loss) 55,800 (2,842,428) (24,331) (45,996,953)
Net unrealized appreciation
(depreciation) on:
Investments 487,969 121,463 (273,141) 10,279,322
Futures contracts 7,000 - - -
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 77,812,900 $ 109,087,523 $ 68,782,889 $ 352,203,242
================ ================ ================ ================
Shares of capital stock outstanding 7,389,755 9,164,787 7,046,436 43,130,231
================ ================ ================ ================
Net asset value, offering and redemption
price per share $ 10.53 $ 11.90 $ 9.76 $ 8.17
================ ================ ================ ================
</Table>
See Accompanying Notes to Financial Statements.
58
<Page>
STATEMENTS OF OPERATIONS
For the Six Months Ended January 31, 2005 (Unaudited)
<Table>
<Caption>
CMG CMG CMG CMG
CORE BOND SHORT TERM ULTRA SHORT TERM HIGH YIELD
FUND BOND FUND BOND FUND FUND
---------------- ---------------- ---------------- ----------------
NET INVESTMENT INCOME:
Income:
Interest $ 845,248 $ 1,916,636 $ 726,141 $ 12,362,993
Foreign taxes withheld - (2,150) - -
---------------- ---------------- ---------------- ----------------
Total income 845,248 1,914,486 726,141 12,362,993
---------------- ---------------- ---------------- ----------------
Expenses:
Investment advisory fee 51,364 142,159 86,310 743,379
Trustees' fees 3,546 5,211 3,875 8,344
Audit fee 16,534 16,490 23,656 18,608
Trustees legal council fees 493 918 700 5,208
Non-recurring costs (See Note 8) 350 854 206 2,781
---------------- ---------------- ---------------- ----------------
Total expenses 72,287 165,632 114,747 778,320
Expense reimbursement from
Investment Advisor (20,573) (22,619) (28,231) (32,160)
Non-recurring costs assumed by
Investment Advisor (See Note 8) (350) (854) (206) (2,781)
---------------- ---------------- ---------------- ----------------
Net expenses 51,364 142,159 86,310 743,379
---------------- ---------------- ---------------- ----------------
Net investment income 793,884 1,772,327 639,831 11,619,614
---------------- ---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 172,199 84,525 5,309 5,805,901
Futures contracts (15,134) - - -
---------------- ---------------- ---------------- ----------------
Net realized gain (loss) 157,065 84,525 5,309 5,805,901
---------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation/
depreciation on:
Investments 489,611 (269,318) (105,440) 3,344,910
Futures contracts 19,750 - - -
---------------- ---------------- ---------------- ----------------
Net change in unrealized
appreciation/depreciation 509,361 (269,318) (105,440) 3,344,910
---------------- ---------------- ---------------- ----------------
Net gain (loss) 666,426 (184,793) (100,131) 9,150,811
---------------- ---------------- ---------------- ----------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,460,310 $ 1,587,534 $ 539,700 $ 20,770,425
================ ================ ================ ================
</Table>
See Accompanying Notes to Financial Statements.
59
<Page>
CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
Operations:
Net investment income $ 793,884 $ 1,476,947
Net realized gain on investments and futures contracts 157,065 58,772
Net change in unrealized appreciation/depreciation on investments and
futures contracts 509,361 (28,286)
---------------- ----------------
Net increase from operations 1,460,310 1,507,433
---------------- ----------------
Distributions declared to shareholders:
From net investment income (858,312) (1,618,453)
From net realized gains - (424,522)
---------------- ----------------
Total distributions declared to shareholders (858,312) (2,042,975)
Share transactions:
Subscriptions 53,875,893 45,285,510
Distributions reinvested 161,433 1,214,069
Redemptions (9,636,459) (43,666,147)
---------------- ----------------
Net increase in share transactions 44,400,867 2,833,432
---------------- ----------------
Net increase in net assets 45,002,865 2,297,890
NET ASSETS:
Beginning of period 32,810,035 30,512,145
---------------- ----------------
End of period $ 77,812,900 $ 32,810,035
================ ================
Overdistributed net investment income $ (140,286) $ (75,858)
================ ================
Changes in shares:
Subscriptions 5,123,474 4,306,892
Issued for distributions reinvested 15,373 115,771
Redemptions (917,203) (4,193,418)
---------------- ----------------
Net increase 4,221,644 229,245
</Table>
See Accompanying Notes to Financial Statements.
60
<Page>
CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
Operations:
Net investment income $ 1,772,327 $ 3,613,606
Net realized gain on investments and futures contracts 84,525 141,676
Net change in unrealized appreciation/depreciation on investments and
futures contracts (269,318) (513,208)
---------------- ----------------
Net increase from operations 1,587,534 3,242,074
---------------- ----------------
Distributions declared to shareholders:
From net investment income (1,993,970) (3,965,886)
---------------- ----------------
Share transactions:
Subscriptions 22,462,877 59,951,561
Distributions reinvested 1,382,185 3,016,948
Redemptions (33,476,223) (56,312,517)
---------------- ----------------
Net increase (decrease) in share transactions (9,631,161) 6,655,992
---------------- ----------------
Net increase (decrease) in net assets (10,037,597) 5,932,180
NET ASSETS:
Beginning of period 119,125,120 113,192,940
---------------- ----------------
End of period $ 109,087,523 $ 119,125,120
================ ================
Overdistributed net investment income $ (647,957) $ (426,314)
================ ================
Changes in shares:
Subscriptions 1,875,489 4,971,382
Issued for distributions reinvested 115,640 250,706
Redemptions (2,796,435) (4,673,216)
---------------- ----------------
Net increase (decrease) (805,306) 548,872
</Table>
See Accompanying Notes to Financial Statements.
61
<Page>
CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED PERIOD ENDED
JANUARY 31, 2005 JULY 31, 2004 (a)
---------------- -----------------
Operations:
Net investment income $ 639,831 $ 207,140
Net realized gain (loss) on investments 5,309 (19,498)
Net change in unrealized appreciation/depreciation on investments (105,440) (167,701)
---------------- -----------------
Net increase from operations 539,700 19,941
---------------- -----------------
Distributions declared to shareholders:
From net investment income (1,358,196) (387,092)
---------------- -----------------
Share transactions:
Subscriptions 12,636,550 72,925,807
Distributions reinvested 663,667 110,468
Redemptions (10,934,075) (5,433,881)
---------------- -----------------
Net increase in share transactions 2,366,142 67,602,394
---------------- -----------------
Net increase in net assets 1,547,646 67,235,243
NET ASSETS:
Beginning of period 67,235,243 -
---------------- -----------------
End of period $ 68,782,889 $ 67,235,243
================ =================
Overdistributed net investment income $ (888,175) $ (169,810)
================ =================
Changes in shares:
Subscriptions 1,285,311 7,343,456
Issued for distributions reinvested 67,537 11,162
Redemptions (1,112,333) (548,697)
---------------- -----------------
Net increase 240,515 6,805,921
</Table>
(a) The Fund commenced investment operations on March 8, 2004.
See Accompanying Notes to Financial Statements.
62
<Page>
CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
Operations:
Net investment income $ 11,619,614 $ 28,629,074
Net realized gain on investments 5,805,901 11,465,251
Net change in unrealized appreciation/depreciation on investments 3,344,910 (3,719,002)
---------------- ----------------
Net increase from operations 20,770,425 36,375,323
---------------- ----------------
Distributions declared to shareholders:
From net investment income (12,392,483) (30,204,485)
---------------- ----------------
Share transactions:
Subscriptions 23,785,583 118,229,818
Distributions reinvested 9,902,363 24,159,735
Redemptions (72,019,996) (195,444,715)
---------------- ----------------
Net decrease in share transactions (38,332,050) (53,055,162)
---------------- ----------------
Net decrease in net assets (29,954,108) (46,884,324)
NET ASSETS:
Beginning of period 382,157,350 429,041,674
---------------- ----------------
End of period $ 352,203,242 $ 382,157,350
================ ================
Overdistributed net investment income $ (2,174,200) $ (1,401,331)
================ ================
Changes in shares:
Subscriptions 2,904,627 14,671,669
Issued for distributions reinvested 1,208,336 2,996,559
Redemptions (8,768,748) (24,196,101)
---------------- ----------------
Net decrease (4,655,785) (6,527,873)
</Table>
See Accompanying Notes to Financial Statements.
63
<Page>
NOTES TO FINANCIAL STATEMENTS
January 31, 2005 (Unaudited)
NOTE 1. ORGANIZATION:
CMG Fund Trust (the "Trust") is an Oregon business trust registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. Information presented in these financial statements pertains to the
following diversified funds (individually referred to as a "Fund", collectively
referred to as the "Funds"):
CMG Core Bond Fund
CMG Short Term Bond Fund
CMG Ultra Short Term Bond Fund
CMG High Yield Fund
INVESTMENT GOALS. The CMG Core Bond Fund seeks a high level of current income
consistent with capital preservation. The CMG Short Term Bond Fund seeks a high
level of current income consistent with a high degree of stability of principal.
The CMG Ultra Short Term Bond Fund seeks a high level of current income
consistent with the maintenance of liquidity and the preservation of principal.
The CMG High Yield Fund seeks a high level of current income. Capital
appreciation is a secondary objective when consistent with a high level of
current income.
FUND SHARES. Each Fund may issue 100 million shares of no par value capital
stock, which are offered continuously at net asset value.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES:
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
("GAAP") requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenue and expenses during the reporting period. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements.
SECURITY VALUATION. Debt securities generally are valued by pricing services
approved by the Trust's Board of Trustees, based upon market transactions for
normal, institutional-size trading units of similar securities. The services may
use various pricing techniques which take into account appropriate factors such
as yield, quality, coupon rate, maturity, type of issue, trading characteristics
and other data, as well as broker quotes. Debt securities for which quotations
are readily available are valued at an over-the-counter or exchange bid
quotation. Certain debt securities, which tend to be more thinly traded and of
lesser quality, are priced based on fundamental analysis of the financial
condition of the issuer and the estimated value of any collateral. Valuations
developed through pricing techniques may vary from the actual amounts realized
upon sale of the securities, and the potential variation may be greater for
those securities valued using fundamental analysis.
Short-term debt obligations maturing within 60 days are valued at amortized
cost, which approximates market value.
64
<Page>
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
Investments for which market quotations are not readily available, or have
quotations which management believes are not appropriate, are valued at fair
value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees.
SECURITY TRANSACTIONS. Security transactions are accounted for on the trade
date. Cost is determined and gains (losses) are based upon the specific
identification method for both financial statement and federal income tax
purposes.
FUTURES CONTRACTS. Each Fund may invest in municipal and U.S. Treasury futures
contracts. The Funds may invest in these instruments to hedge against the
effects of changes in the value of portfolio securities due to anticipated
changes in interest rates and/or market conditions, for duration management, or
when the transactions are economically appropriate to the reduction of risk
inherent in the management of the Funds and not for trading purposes. The use of
futures contracts involves certain risks, which include: (1) imperfect
correlation between the price movement of the instruments and the underlying
securities, (2) inability to close out positions due to differing trading hours,
or the temporary absence of a liquid market, for either the instrument or the
underlying securities, or (3) an inaccurate prediction by Columbia Management
Advisors, Inc. of the future direction of interest rates. Any of these risks may
involve amounts exceeding the variation margin recorded in the Funds' Statement
of Assets and Liabilities at any given time.
Upon entering into a futures contract, each Fund deposits cash or securities
with the broker in an amount sufficient to meet the initial margin requirement.
Subsequent payments are made or received by the Funds equal to the daily change
in the contract value and are recorded as variation margin payable or receivable
and offset in unrealized gains or losses. Each Fund also identifies portfolio
securities as segregated with the custodian in a separate account in an amount
equal to the futures contract. The Funds recognize a realized gain or loss when
the contract is closed or expires.
REPURCHASE AGREEMENTS. Each Fund may engage in repurchase agreement transactions
with institutions that the Funds' investment advisor has determined are
creditworthy. Each Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral is at least equal,
at all times, to the value of the repurchase obligation including interest. A
repurchase agreement transaction involves certain risks in the event of default
or insolvency of the counterparty. These risks include possible delays or
restrictions upon each Fund's ability to dispose of the underlying securities
and a possible decline in the value of the underlying securities during the
period while the Funds seek to assert their rights.
DELAYED DELIVERY SECURITIES. The Funds may trade securities on other than normal
settlement terms, including securities purchased or sold on a "when-issued"
basis. This may increase the risk if the other party to the transaction fails to
deliver and causes the Funds to subsequently invest at less advantageous prices.
The Funds identify cash or liquid portfolio securities as segregated with the
custodian in an amount equal to the delayed delivery commitment.
INCOME RECOGNITION. Interest income is recorded on the accrual basis. Premium
and discount are amortized and accreted, respectively, on all debt securities.
FEDERAL INCOME TAX STATUS. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code,
as amended, and will distribute substantially all of its taxable income, if any,
for its tax year, and as such will not be subject to federal income taxes. In
addition, each Fund intends to distribute in each calendar year substantially
all of its net investment income, capital gains and certain other amounts, if
any, such that each Fund should not be subject to federal excise tax. Therefore,
no federal income or excise tax provision is recorded.
65
<Page>
DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment income are declared
daily and paid monthly. Net realized capital gains, if any, are distributed at
least annually.
NOTE 3. FEDERAL TAX INFORMATION:
The tax character of distributions paid during the year ended July 31, 2004 was
as follows:
<Table>
<Caption>
JULY 31, 2004
---------------------------------------------------
TAX
ORDINARY LONG-TERM RETURN
INCOME* CAPITAL GAINS OF CAPITAL
--------------- --------------- ---------------
CMG Core Bond Fund $ 1,801,868 $ 241,107 $ -
CMG Short Term Bond Fund 3,965,886 - -
CMG Ultra Short Term Bond Fund 387,092 - -
CMG High Yield Fund 30,204,485 - -
</Table>
*For tax purposes short-term capital gains distributions, if any, are
considered ordinary income distributions.
Unrealized appreciation and depreciation at January 31, 2005, based on cost of
investments for federal income tax purposes was:
<Table>
<Caption>
NET
UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- --------------- ---------------
CMG Core Bond Fund $ 641,411 $ (255,772) $ 385,639
CMG Short Term Bond Fund 426,345 (882,622) (456,277)
CMG Ultra Short Term Bond Fund 25,162 (676,464) (651,302)
CMG High Yield Fund 10,661,011 (1,777,909) 8,883,102
</Table>
The following capital loss carryforwards determined as of July 31, 2004, may be
available to reduce taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code:
<Table>
<Caption>
YEAR OF EXPIRATION
--------------------------------------------------------------------------------------------
2008 2009 2010 2011 2012 Total
-------------- -------------- -------------- ------- -------------- --------------
CMG Short Term Bond Fund $ 537,548 $ - $ 2,365,257 $ - $ 19,156 $ 2,921,961
CMG Ultra Short Term Bond Fund - - - - 29,640 29,640
CMG High Yield Fund 2,316,195 24,244,763 25,194,365 - - 51,755,323
</Table>
Under current tax rules, certain capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal year.
As of July 31, 2004, post-October capital losses of $66,169 attributed to
security transactions were deferred to August 1, 2004 for the CMG Core Bond
Fund.
66
<Page>
NOTE 4. FEES AND COMPENSATION PAID TO AFFILIATES:
INVESTMENT ADVISORY FEE. Columbia Management Advisors, Inc. ("Columbia"), an
indirect wholly owned subsidiary of Bank of America Corporation ("BOA"), is the
investment advisor to the Funds. Each Fund's investment advisory fee is a
unified fee. Columbia, out of the unified fee it receives from the Funds, pays
all accounting fees, legal fees, transfer agent fees, custody fees and
miscellaneous expenses of the Funds. The unified fee does not include brokerage
fees, taxes, Trustees' fees, Trustee legal counsel fees, audit fees, interest
expense associated with any borrowings by the Funds or extraordinary expenses,
if any. The unified fees are paid monthly to Columbia at the following annual
rates based on average daily net assets:
<Table>
CMG Core Bond Fund 0.25%
CMG Short Term Bond Fund 0.25%
CMG Ultra Short Term Bond Fund 0.25%
CMG High Yield Fund 0.40%
</Table>
PRICING & BOOKKEEPING FEES. Columbia is responsible for providing pricing and
bookkeeping services to each Fund under a pricing, bookkeeping and fund
administration agreement. Under a separate agreement (the "Outsourcing
Agreement"), Columbia has delegated certain of those functions to State Street
Corporation ("State Street"). As a result, Columbia pays fees to State Street
under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds
are included in the unified fee.
TRANSFER AGENT FEE. Columbia Funds Services, Inc. (the "Transfer Agent"), an
affiliate of Columbia, provides shareholder services to the Funds and has
subcontracted with Boston Financial Data Services ("BFDS") to serve as
sub-transfer agent. The transfer agent fees for the Funds are included in the
unified fee.
FEE WAIVERS. Columbia has contractually agreed to reimburse the Funds through
March 1, 2009 for certain expenses so that the expenses incurred by the Funds,
including the investment advisory fees, would not exceed the following annual
rates based on each Fund's average daily net assets:
<Table>
CMG Core Bond Fund 0.25%
CMG Short Term Bond Fund 0.25%
CMG Ultra Short Term Bond Fund 0.25%
CMG High Yield Fund 0.40%
</Table>
FEES PAID TO OFFICERS AND TRUSTEES. With the exception of one officer, all
officers of the Funds are employees of Columbia or its affiliates and receive no
compensation from the Funds. Effective August 23, 2004, the Board of Trustees
appointed a Chief Compliance Officer to the Funds in accordance with federal
securities regulations. Each Fund, along with other affiliated funds, will pay
its pro-rata share of the expenses associated with the Office of the Chief
Compliance Officer. Each Fund's fee will not exceed $15,000 per year.
The Funds' Trustees may participate in a deferred compensation plan which may be
terminated at any time. Obligations of the plan will be paid solely out of the
Funds' assets.
OTHER. Columbia provides certain services to the Funds related to Sarbanes-Oxley
compliance. The fees for such services are included in the unified fee.
67
<Page>
NOTE 5. PORTFOLIO INFORMATION:
For the six months ended January 31, 2005, the cost of purchases and proceeds
from sales of securities, excluding short-term obligations, were as follows:
<Table>
<Caption>
U.S GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
--------------------------------- ---------------------------------
PURCHASES SALES PURCHASES SALES
--------------- --------------- --------------- ---------------
CMG Core Bond Fund $ 37,595,839 $ 9,685,736 $ 19,379,901 $ 4,633,827
CMG Short Term Bond Fund 10,143,358 5,146,393 12,666,973 23,147,375
CMG Ultra Short Term Bond Fund 25,082,871 14,281,665 31,581,073 14,166,650
CMG High Yield Fund - - 74,633,758 121,941,284
</Table>
NOTE 6. LINE OF CREDIT:
The Funds and other affiliated funds participate in a $350,000,000 committed
unsecured revolving line of credit provided by State Street Bank and Trust
Company. Borrowings are used for temporary or emergency purposes to facilitate
portfolio liquidity. Interest is charged to each participating fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.10% per annum is accrued and apportioned among
the participating funds based on their pro-rata portion of the unutilized line
of credit. The commitment fee is included in "Other expenses" on the Statements
of Operations. For the six months ended January 31, 2005, the Funds did not
borrow under this arrangement.
NOTE 7. SHARES OF BENEFICIAL INTEREST:
As of January 31, 2005, the Funds had shareholders whose shares were
beneficially owned by participant accounts over which Bank of America and/or its
affiliates had either sole or joint investment discretion. Subscription and
redemption activity of these accounts may have a significant effect on the
operations of the Funds. The number of accounts and the percentage of shares of
beneficial interest outstanding held therein are as follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Core Bond Fund 3 93.9%
CMG Short Term Bond Fund 2 40.9%
CMG Ultra Short Term Bond Fund 2 99.7%
CMG High Yield Fund 2 28.6%
</Table>
As of January 31, 2005, the Funds also had other shareholders that held greater
than 5% of the shares outstanding. Subscription and redemption activity of these
shareholders may have a material effect on the Funds. The number of accounts and
the percentage of shares of beneficial interest outstanding held therein are as
follows:
<Table>
<Caption>
NUMBER OF % OF SHARES
SHAREHOLDERS OUTSTANDING HELD
------------ ----------------
CMG Short Term Bond Fund 1 23.8%
CMG High Yield Fund 2 26.4%
</Table>
68
<Page>
NOTE 8. DISCLOSURE OF SIGNIFICANT RISKS AND CONTINGENCIES:
HIGH-YIELD SECURITIES. Investing in high-yield securities may involve greater
credit risk and considerations not typically associated with investing in U.S.
Government bonds and other higher quality fixed income securities. These
securities are non-investment grade securities, often referred to as "junk
bonds." Economic downturns may disrupt the high yield market and impair the
ability of issuers to repay principal and interest. Also, an increase in
interest rates would likely have an adverse impact on the value of such
obligations. Moreover, high-yield securities may be less liquid due to the
extent that there is no established retail secondary market and because of a
decline in the value of such securities.
INDUSTRY FOCUS. The Funds may focus their investments in certain industries,
subjecting them to greater risk than a fund that is more diversified.
LEGAL PROCEEDINGS. On February 9, 2005, Columbia, Columbia Funds Distributor,
Inc. (collectively the "Columbia Group") entered into an Assurance of
Discontinuance with the New York Attorney General ("NYAG") (the "NYAG
Settlement") and consented to the entry of a cease-and-desist order by the
Securities and Exchange Commission (the "SEC") (the "SEC Order"). The SEC Order
and the NYAG Settlement are referred to collectively as the "Settlements". The
Settlements contain substantially the same terms and conditions as outlined in
the agreements in principle which Columbia Group entered into with the SEC and
NYAG in March 2004.
Under the terms of the SEC Order, the Columbia Group has agreed, among other
things, to: pay $70 million in disgorgement and $70 million in civil money
penalties; cease and desist from violations of the antifraud provisions and
certain other provisions of the federal securities laws; maintain certain
compliance and ethics oversight structures; retain an independent consultant to
review the Columbia Group's applicable supervisory, compliance, control and
other policies and procedures; and retain an independent distribution consultant
(see below). The Columbia Funds have also voluntarily undertaken to implement
certain governance measures designed to maintain the independence of their
boards of trustees. The NYAG Settlement also, among other things, requires
Columbia and its affiliates, Banc of America Capital Management, LLC and BACAP
Distributors LLC to reduce certain Columbia Funds, Nations Funds and other
mutual fund management fees collectively by $32 million per year for five years,
for a projected total of $160 million in management fee reductions.
Pursuant to the procedures set forth in the SEC Order, the $140 million in
settlement amounts described above will be distributed in accordance with a
distribution plan to be developed by an independent distribution consultant, who
is acceptable to the SEC staff and the Columbia Funds' independent trustees. The
distribution plan must be based on a methodology developed in consultation with
the Columbia Group and the Fund's independent trustees and not unacceptable to
the staff of the SEC.
As a result of these matters or any adverse publicity or other developments
resulting from them, there may be increased redemptions or reduced sales of fund
shares, which could increase transaction costs or operating expenses, or have
other adverse consequences for the funds.
A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A
copy of the NYAG Settlement is available as part of the Bank of America
Corporation Form 8-K filing on February 10, 2005.
In connection with the events described in detail above, various parties have
filed suit against certain funds, their Boards and/or Bank of America (and
affiliated entities). More than 300 cases (including those filed against
entities unaffiliated with the funds, their Boards and/or FleetBoston and its
affiliated entities) have been consolidated in a
69
<Page>
multi-district proceeding and transferred to the Federal District Court in
Maryland. Recently, certain Columbia funds and affiliated entities have been
named as defendants in several direct and derivative actions under various
sections of the Investment Company Act of 1940, as amended, alleging, among
other things, that the fees and expenses paid by those funds are excessive.
On January 11, 2005 a putative class action lawsuit was filed in federal
district court in Massachusetts against, among others, the Trustees of the Funds
and Columbia. The lawsuit alleges that defendants violated common law duties to
fund shareholders as well as sections of the Investment Company Act of 1940, by
failing to ensure that the Funds and other affiliated funds participated in
securities class action settlements for which the funds were eligible.
Specifically, plaintiffs allege that defendants failed to submit proof of claims
in connection with settlements of securities class action lawsuits filed against
companies in which the funds held positions.
The funds and the other defendants to these actions, including Columbia and
various of its affiliates, certain other mutual funds advised by Columbia and
its affiliates, and various directors of such funds, have denied these
allegations and are contesting the plaintiffs' claims. These proceedings are
ongoing, however, based on currently available information, Columbia believes
that these lawsuits are without merit, that the likelihood they will have a
material adverse impact on any fund is remote, and that the lawsuits are not
likely to materially affect its ability to provide investment management
services to its clients, including the funds.
For the six months ended January 31, 2005, Columbia has assumed legal,
consulting services and Trustees' fees incurred by the Funds in connection with
these matters as follows:
<Table>
CMG Core Bond Fund $ 350
CMG Short Term Bond Fund 854
CMG Ultra Short Term Bond Fund 206
CMG High Yield Fund 2,781
</Table>
70
<Page>
CMG FUND TRUST
1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201
- INVESTMENT ADVISOR -
COLUMBIA MANAGEMENT ADVISORS, INC.
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624
- LEGAL COUNSEL -
ROPES & GRAY LLC
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624
- TRANSFER AGENT -
COLUMBIA FUNDS SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081
CMC-03/441U-0205 (03/05) 4656
A description of the policies and procedures that the fund uses to determine how
to vote proxies and a copy of the fund's voting record are available (i) at
www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's
website at www.sec.gov, and (iii) without charge, upon request, by calling
800-368-0346. Information regarding how the fund voted proxies relating to
portfolio securities during the 12-month period ended June 30, 2004 is available
from the SEC's website. Information regarding how the fund voted proxies
relating to portfolio securities is also available from the fund's website.
The fund files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is
available on the SEC's website at www.sec.gov and may be reviewed and copied at
the SEC's Public Reference Room in Washington, D.C. Information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
THE CMG FUNDS ARE OFFERED BY PROSPECTUS THROUGH COLUMBIA FINANCIAL CENTER,
INCORPORATED. PLEASE CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES OF A MUTUAL FUND CAREFULLY BEFORE INVESTING. CONTACT YOUR COLUMBIA
MANAGEMENT REPRESENTATIVE OR VISIT www.columbiamanagement.com FOR A PROSPECTUS,
WHICH CONTAINS THIS AND OTHER IMPORTANT INFORMATION ABOUT THE FUND. READ IT
CAREFULLY BEFORE YOU INVEST.
Fund distributed by Columbia Financial Center, Incorporated, 1301 S.W. Fifth
Avenue, Portland, Oregon 97201
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
The registrant's "Schedule I - Investments in securities of unaffiliated
issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this
Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have not been any material changes to the procedures by which
shareholders may recommend nominees to the registrant's board of directors,
since those procedures were last disclosed in response to the requirements of
Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.
<Page>
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officers, based on their evaluation of the registrant's disclosure
controls and procedures as of a date within 90 days of the filing of
this report, have concluded that such controls and procedures are
adequately designed to ensure that information required to be disclosed
by the registrant in Form N-CSR is accumulated and communicated to the
registrant's management, including the principal executive officer and
principal financial officer, or persons performing similar functions, as
appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes in the registrant's internal control over
financial reporting that occurred during the registrant's second fiscal
quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR:
Not applicable at this time.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) CMG Fund Trust
----------------------------------------------------------------
By (Signature and Title) /S/ Christopher L. Wilson
----------------------------------------------------
Christopher L. Wilson, President
Date March 30, 2005
------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /S/ Christopher L. Wilson
----------------------------------------------------
Christopher L. Wilson, President
Date March 30, 2005
------------------------------------------------------------------------
By (Signature and Title) /S/ J. Kevin Connaughton
----------------------------------------------------
J. Kevin Connaughton, Treasurer
Date March 30, 2005
------------------------------------------------------------------------